<PAGE>   1

                                        FORM 10-Q 

                            SECURITIES AND EXCHANGE COMMISSION 

                                 WASHINGTON, D.C.  20549 

   [X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
       EXCHANGE ACT OF 1934 
   For the quarterly period ended................................June 30, 1997 

                                     OR

   [ ] TRANSITION REPORT PURSUANT TO SECTION 13 0R 15(d) OF THE SECURITIES
       EXCHANGE ACT OF 1934

   For the transition quarter from..................to....................... 

   Commission file number.............................................0-18046 


                         FIRST FEDERAL CAPITAL CORP
            ----------------------------------------------------
           (Exact name of Registrant as specified in its charter)


              Wisconsin                                      39-165128
  -----------------------------------------           ----------------------
   (State or other jurisdiction of                        (IRS Employer 
    incorporation or organization)                     Identification No.) 


             605 State Street 
           La Crosse, Wisconsin                                54601  
  -----------------------------------------           ----------------------
   (Address of principal executive office)                  (Zip code) 


                605 State Street, La Crosse, Wisconsin 54601
            -----------------------------------------------------
             (Address of principal executive office) (Zip code)


                               (608) 784-8000
            -----------------------------------------------------
            (Registrant's Telephone Number, including area code)


                               Not applicable
            -----------------------------------------------------
            (Former name, former address, and former fiscal year,
                        if changed since last report)


Indicate by check mark whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act
of 1934 during the preceding 12 months (or for such shorter quarter that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. 

Yes X   No    
   ----   ----

Indicate the number of shares outstanding of each of the issuer's classes of
common stock, as of the latest practicable date. 

Class: Common Stock--$.10 Par Value Outstanding at August 8, 1997: 9,158,365 
       ----------------------------                                ---------


<PAGE>   2








                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                 Consolidated Statements of Financial Condition 
                      June 30, 1997, and December 31, 1996 


<TABLE>
<CAPTION>
                                                                 June 30                    December 31  
                                                                  1997                         1996      
   ASSETS                                                      (Unaudited)                 
   <S>                                                          <C>                         <C>
   Cash and due from banks                                      $29,520,427                 $24,644,254 
   Interest-bearing deposits                                     11,568,288                   2,456,901 
   Investment securities available for sale,                                                            
     at fair value                                               57,401,801                  74,029,474 
   Mortgage-backed and related securities:                                                              
     Available for sale, at fair value                           55,853,883                  61,875,130 
     Held for investment, at cost (fair                                                                 
       value of $136,105,395 and $145,217,199,                                                          
       respectively)                                            138,100,775                 147,834,733 
   Loans held for sale                                           41,329,353                  20,338,790 
   Loans held for investment, net                             1,159,274,968               1,106,039,995 
   Federal Home Loan Bank stock                                  18,811,300                  18,823,200 
   Accrued interest receivable, net                              12,420,549                  11,487,427 
   Office properties and equipment                               25,263,981                  26,210,947 
   Mortgage servicing rights, net                                13,304,255                  11,887,202 
   Intangible assets                                              5,987,422                   5,221,245 
   Other assets                                                   3,144,108                   4,564,171 
                                                             --------------              -------------- 
     Total assets                                            $1,571,981,110              $1,515,413,469 
                                                             ==============              ============== 
   LIABILITIES AND STOCKHOLDERS' EQUITY                                                                 
                                                                                                        
   Deposit liabilities                                       $1,079,922,641              $1,024,092,887 
   Federal Home Loan Bank advances and                                                                  
     other borrowings                                           373,501,999                 383,592,983 
   Advance payments by borrowers for taxes                                                              
     and insurance                                                9,030,896                   3,912,206 
   Accrued interest payable                                       2,455,186                   2,432,796 
   Other liabilities                                              5,827,724                   5,968,239 
                                                             --------------              -------------- 
     Total liabilities                                        1,470,738,446               1,419,999,111 
                                                             --------------              -------------- 
   Preferred stock, $.10 par value, 5,000,000                                                           
     shares authorized, none outstanding                            -                           -       
   Common stock, $.10 par value, 20,000,000                                                             
     shares authorized, 9,970,815 and 9,958,989                                                         
     shares issued and outstanding, including                                                           
     829,950 and 768,450 shares of treasury                                                             
     stock, respectively                                            997,082                     663,933 
   Additional paid-in capital                                    35,610,485                  35,580,114 
   Unearned restricted stock                                       (284,368)                   (414,392)
   Securities valuation allowance, net                           (1,687,607)                 (2,450,764)
   Retained earnings                                             78,290,135                  72,569,092 
   Treasury stock, at cost                                      (11,683,063)                (10,533,625)
                                                             --------------              -------------- 
   Total stockholders' equity                                   101,242,664                  95,414,358 
                                                             --------------              -------------- 
     Total liabilities and stockholders' equity              $1,571,981,110              $1,515,413,469 
                                                             ==============              ============== 

</TABLE>

   See accompanying notes to consolidated financial statements. 


                                       1 



<PAGE>   3





                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
                    Consolidated Statements of Operations
                  Three Months Ended June 30, 1997 and 1996


<TABLE>
<CAPTION>
                                                            Three Months Ended      
                                                                 June 30            
                                                      -----------------------------
                                                           1997           1996     
                                                        (Unaudited)    (Unaudited) 
                                                                                   
<S>                                                   <C>            <C>
Interest on loans                                        $24,153,490    $19,962,938
Interest on mortgage-backed and related                                            
  securities                                               3,128,424      3,710,438
Interest and dividends on investments                      1,335,240      1,353,256
                                                      -------------- --------------
  Total interest income                                   28,617,154     25,026,632
                                                      -------------- --------------
Interest on deposit liabilities                           12,376,766     11,485,572
Interest on advances and other borrowings                  5,090,163      3,734,776
                                                      -------------- --------------
  Total interest expense                                  17,466,929     15,220,348
                                                      -------------- --------------
  Net interest income                                     11,150,225      9,806,284
Provision for loan losses                                    131,581        -      
                                                      -------------- --------------
  Net interest income after provision                                              
    for loan losses                                       11,018,644      9,806,284
                                                      -------------- --------------
Retail banking fees and service charges                    3,111,367      2,531,240
Loan servicing fees                                          597,718        624,387
Commissions on annuity and insurance sales                   503,659        516,173
Gain on sales of loans                                       991,798      1,134,187
Loss on sales of investments                                 (42,860)      (136,408)
Other income                                                 463,758        286,775
                                                      -------------- --------------
  Total non-interest income                                5,625,440      4,956,354
                                                      -------------- --------------
Compensation and employee benefits                         5,309,649      4,912,324
Occupancy and equipment                                    1,450,635      1,633,883
Advertising and marketing                                    699,909        455,026
Federal deposit insurance premiums                           164,058        552,446
Other expenses                                             2,122,475      1,982,935
                                                      -------------- --------------
  Total non-interest expense                               9,746,726      9,536,614
                                                      -------------- --------------
  Income before income taxes                               6,897,358      5,226,024
Income tax expense                                         2,688,442      1,969,546
                                                      -------------- --------------
  Net income                                              $4,208,916     $3,256,478
                                                      ============== ==============
                                                                                   
Primary earnings per share                                     $0.43          $0.32
Fully-diluted earnings per share                                0.42           0.32
Dividends paid per share                                        0.12          0.107


</TABLE>


See accompanying notes to consolidated financial statements. 




                                       2 

        
<PAGE>   4






                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
                    Consolidated Statements of Operations
                   Six Months Ended June 30, 1997 and 1996


<TABLE>
<CAPTION>
                                                                Six Months Ended         
                                                                    June 30              
                                                     -----------------------------------  
                                                          1997                   1996       
                                                       (Unaudited)            (Unaudited)   
                                                                                    
<S>                                                  <C>                    <C>             
Interest on loans                                       $47,454,992            $39,970,797  
Interest on mortgage-backed and related                                                     
  securities                                              6,343,364              7,583,090  
Interest and dividends on investments                     2,775,118              2,815,625  
                                                     --------------         --------------  
  Total interest income                                  56,573,474             50,369,512  
                                                     --------------         --------------  
Interest on deposit liabilities                          24,355,127             22,941,506  
Interest on advances and other borrowings                10,262,288              8,067,426  
                                                     --------------         --------------  
  Total interest expense                                 34,617,415             31,008,932  
                                                     --------------         --------------  
  Net interest income                                    21,956,059             19,360,580  
Provision for loan losses                                   252,421                -        
                                                     --------------         --------------  
  Net interest income after provision                                                       
    for loan losses                                      21,703,638             19,360,580  
                                                     --------------         --------------  
Retail banking fees and service charges                   5,917,579              4,834,795  
Loan servicing fees                                       1,176,482                828,962  
Commissions on annuity and insurance sales                1,119,529              1,005,386  
Gain on sales of loans                                    1,780,828              2,680,728  
Loss on sales of investments                                (97,415)              (190,137) 
Other income                                                881,150                631,253  
                                                     --------------         --------------  
  Total non-interest income                              10,778,153              9,790,987  
                                                     --------------         --------------  
Compensation and employee benefits                       10,460,037              9,718,649  
Occupancy and equipment                                   3,268,325              3,310,957  
Advertising and marketing                                 1,185,523                721,534  
Federal deposit insurance premiums                          326,152              1,114,450  
Other expenses                                            4,219,185              4,158,462  
                                                     --------------         --------------  
  Total non-interest expense                             19,459,222             19,024,052  
                                                     --------------         --------------  
  Income before income taxes                             13,022,569             10,127,515  
Income tax expense                                        5,055,888              3,801,712  
                                                     --------------         --------------  
  Net income                                             $7,966,681             $6,325,803  
                                                     ==============         ==============  
                                                                                            
Primary earnings per share                                    $0.81                  $0.62  
Fully-diluted earnings per share                               0.80                   0.62  
Dividends paid per share                                      0.227                   0.20  
        
        
</TABLE>        
        
        
See accompanying notes to consolidated financial statements.         




                                    3 


<PAGE>   5






               FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                  Consolidated Statements of Cash Flows 
                Three Months Ended June 30, 1997 and 1996 

 
<TABLE>
<CAPTION>
                                                                Three Months Ended        
                                                                      June 30              
                                                      -------------------------------------  
                                                           1997                    1996       
                                                        (Unaudited)             (Unaudited)   
<S>                                                    <C>                      <C>
Cash flows from operating activities:                                                         
  Net income                                              $4,208,915              $3,256,477  
  Adjustments to reconcile net income to net                                                  
    cash provided (used) by operations:                                                       
    Provision for loan and real estate losses                108,431                  (3,903) 
    Net loan fees (costs) deferred                          (180,726)                 24,566  
    Depreciation and amortization                          1,516,771               1,442,264  
    Net gains on sales of loans and other                                                     
       investments                                          (948,938)               (997,779) 
    Increase in accrued interest receivable                 (230,907)               (149,674) 
    Decrease in accrued interest payable                     (67,747)               (490,981) 
    Decrease in current and deferred                                                          
       income taxes                                       (1,509,171)               (672,205) 
    Other, net                                               (45,361)               (195,015) 
                                                      --------------          --------------  
      Net cash provided by operations before                                                  
        loan originations and sales                        2,851,267               2,213,750  
                                                      --------------          --------------  
    Loans originated for sale                            (43,564,700)            (59,759,046) 
    Sales of loans originated for sale                    43,123,536              77,889,089  
                                                      --------------          --------------  
      Net cash provided by operations                      2,410,103              20,343,793  
                                                      --------------          --------------  
Cash flows from investing activities:                                                         
  Increase in interest-bearing deposits                   (4,607,319)             (6,836,121) 
  Purchases of investment securities                         -                    (6,201,585) 
  Sales of investment securities                           1,772,050               2,004,640  
  Maturities of investment securities                      8,221,497              10,093,316  
  Mortgage-backed and related securities                                                      
    principal repayments                                   8,535,856              11,799,635  
  Loans originated for investment                       (153,264,345)           (112,587,728) 
  Loan principal repayments                               95,764,817              70,571,963  
  Sales of loans originated for investment                 5,609,453               1,449,084  
  Additions to office properties and                                                          
    equipment                                               (451,792)               (852,304) 
  Other, net                                               1,339,867               2,247,251  
                                                      --------------          --------------  
    Net cash used by investing activities                (37,079,916)            (28,311,849) 
                                                      --------------          --------------  

                                                                                  (Continued)

</TABLE>
         



                                    4 



<PAGE>   6





                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
              Consolidated Statements of Cash Flows (Continued)


<TABLE>
<CAPTION>
                                                           Three Months Ended         
                                                                June 30               
                                                      -----------------------------   
                                                           1997           1996               
                                                        (Unaudited)    (Unaudited)    
                                                                                      
<S>                                                     <C>             <C>
Cash flows from financing activities:                                                 
  Net increase in deposit liabilities                    $26,199,399     $3,694,352   
  Repayment of long-term Federal Home Loan                                            
    Bank advances                                        (50,000,000)   (33,300,000)  
  Net increase in short-term Federal Home                                             
    Loan Bank borrowings                                  59,355,000     30,422,000   
  Increase (decrease) in other borrowings                 (1,001,298)     4,998,805   
  Increase in advance payments by borrowers                                           
    for taxes and insurance                                3,929,146      3,248,657   
  Purchase of treasury stock                                (134,999)    (1,571,250)  
  Dividends paid                                          (1,101,555)      (987,471)  
  Other, net                                                 681,721     (1,405,339)  
                                                      -------------- --------------   
    Net cash provided by financing                                                    
      activities                                          37,927,414      5,099,754   
                                                      -------------- --------------   
Net increase (decrease) in cash                            3,257,601     (2,868,302)  
Cash at beginning of period                               26,262,826     23,397,994   
                                                      -------------- --------------   
    Cash at end of period                                $29,520,427    $20,529,692   
                                                      ============== ==============   
                                                                                      
Supplemental disclosures of cash flow information:                           
  Interest and dividends received on loans                                            
    and investments                                      $28,386,247    $24,876,958   
  Interest paid on deposits and borrowings                17,534,676     15,711,329   
  Income taxes paid                                        4,331,000      2,659,500   
  Income taxes refunded                                       97,575        -         


</TABLE>

See accompanying notes to consolidated financial statements. 



                                    5 



<PAGE>   7

               FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                  Consolidated Statements of Cash Flows 
                 Six Months Ended June 30, 1997 and 1996 


<TABLE>
<CAPTION>
                                                             Six Months Ended                   
                                                                 June 30                        
                                                   ----------------------------------            
                                                         1997                 1996                 
                                                      (Unaudited)          (Unaudited)             
<S>                                                   <C>                  <C>
Cash flows from operating activities:                                                             
  Net income                                           $7,966,681           $6,325,803            
  Adjustments to reconcile net income to net                                                      
    cash provided (used) by operations:                                                           
    Provision for loan and real estate losses             227,825               (9,940)           
    Net loan fees (costs) deferred                       (384,609)              61,791            
    Depreciation and amortization                       3,099,084            3,309,431            
    Net gains on sales of loans and other                                                         
       investments                                     (1,683,413)          (2,490,591)           
    Increase in accrued interest receivable              (933,122)            (443,311)           
    Increase (decrease) in accrued interest                                                       
      payable                                              22,390             (476,826)           
    Increase in current and deferred                                                              
       income taxes                                       462,775            1,117,009            
    Other, net                                           (478,381)            (721,117)           
                                                   --------------       --------------            
      Net cash provided by operations before                                                      
        loan originations and sales                     8,299,230            6,672,249            
                                                   --------------       --------------            
    Loans originated for sale                         (84,197,169)        (147,867,026)           
    Sales of loans originated for sale                 86,444,507          155,155,313            
                                                   --------------       --------------            
      Net cash provided by operations                  10,546,568           13,960,536            
                                                   --------------       --------------            
Cash flows from investing activities:                                                             
  Increase in interest-bearing deposits                (9,111,387)         (11,598,403)           
  Purchases of investment securities                      -                (11,260,884)           
  Sales of investment securities                        4,773,621            5,013,779            
  Maturities of investment securities                  11,710,379           19,256,065            
  Mortgage-backed and related securities                                                          
    principal repayments                               16,689,405           21,040,525            
  Loans originated for investment                    (246,651,629)        (191,896,495)           
  Loan principal repayments                           160,866,667          148,992,356            
  Sales of loans originated for investment              8,879,751           10,690,499            
  Additions to office properties and                                                              
    equipment                                          (1,364,569)          (1,040,525)           
  Other, net                                            1,034,614            5,064,052            
                                                   --------------       --------------            
    Net cash used by investing activities             (53,173,148)          (5,739,031)           
                                                   --------------       --------------            
                                                                                                  
                                                                           (Continued)            

</TABLE>
      



                                    6 




<PAGE>   8




               FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Consolidated Statements of Cash Flows (Continued) 


<TABLE>
<CAPTION>
                                                                  Six Months Ended
                                                                      June 30
                                                           -----------------------------
                                                              1997                 1996
                                                           (Unaudited)          (Unaudited)
<S>                                                        <C>                   <C>
Cash flows from financing activities:                   
  Net increase in deposit liabilities                       $55,829,754          $29,545,430
  Long-term advances from Federal Home                   
    Loan Bank                                                25,000,000          100,000,000
  Repayment of long-term Federal Home Loan                   
    Bank advances                                          (177,776,000)         (76,050,000)
  Net increase (decrease) in short-term                   
    Federal Home Loan Bank borrowings                       143,688,000          (72,713,000)
  Increase (decrease) in other borrowings                    (1,002,984)           5,997,252
  Increase in advance payments by borrowers                   
    for taxes and insurance                                   5,118,690            4,383,746
  Purchase of treasury stock                                 (1,341,437)          (7,193,313)
  Dividends paid                                             (2,081,082)          (1,904,583)
  Other, net                                                     67,812             (141,829)
                                                         ---------------       -------------
    Net cash provided (used) by financing                   
      activities                                             47,502,753          (18,076,297)
                                                         ---------------       -------------
Net increase (decrease) in cash                               4,876,173           (9,854,792)
Cash at beginning of period                                  24,644,254           30,384,484
                                                         ---------------       -------------
    Cash at end of period                                   $29,520,427          $20,529,692
                                                         ===============       =============
                  
Supplemental disclosures of cash flow information:             
  Interest and dividends received on loans                   
    and investments                                         $55,640,352          $49,926,201
  Interest paid on deposits and borrowings                   34,595,025           31,485,758
  Income taxes paid                                           4,729,000            2,964,402
  Income taxes refunded                                          97,545              272,075
                  

</TABLE>
                  
See accompanying notes to consolidated financial statements.       
                  
                  
                  
                                    7 


<PAGE>   9


                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
                  Notes to Consolidated Financial Statements
                                June 30, 1997


(1) Principles of Consolidation 

The consolidated financial statements include the accounts and balances of First
Federal Capital Corp (the "Corporation"), First Federal Savings Bank La
Crosse-Madison (the "Bank"), and the Bank's wholly-owned subsidiaries.  All
significant intercompany accounts and transactions have been eliminated in
consolidation. 

Unconsolidated partnership interests are accounted for using the equity method. 

(2) Basis of Presentation 

The accompanying interim consolidated financial statements are unaudited and do
not include information or footnotes necessary for a complete   presentation of
financial condition, results of operations, or cash flows in accordance with
generally accepted accounting principles.  However, in the opinion of
management, all adjustments (consisting of normal recurring accruals) necessary
for a fair presentation of the consolidated financial statements have been
included.  Operating results for the three and six month periods ended June 30,
1997, may not necessarily be indicative of the results which may be expected for
the entire year ending December 31, 1997. 

Certain 1996 balances have been reclassified to conform with the 1997
presentation.  

(4) Pending Accounting Change 

In the first quarter of 1997 the Financial Accounting Standards Board ("FASB")
issued Statement of Financial Accounting Standards No. 128, "Earnings per Share"
("SFAS 128").  This standard replaces "primary earnings per share" with "basic
earnings per share".  In general, basic earnings per share is computed using the
actual shares outstanding during the period, unadjusted for common stock
equivalents.  "Fully-diluted earnings per share" is retained under the new
standard, but is referred to as "diluted earnings per share".  The new standard
is effective for periods ending after December 15, 1997.  All prior-period
earnings per share data must be restated.  Earlier adoption is not permitted. 

If the Corporation had reported its earnings per share in accordance with SFAS
128 for the three months ended June 30, 1997 and 1996, it would have    reported
basic earnings per share of $0.46 and $0.35, respectively.  It would have
reported $0.87 and $0.66 for the six months ended June 30, 1997 and 1996,
respectively. 

(3) Contingencies 

First Enterprises, Inc. ("FEI"), a wholly-owned subsidiary of the Bank that was
formerly involved in the acquisition and development of hotels, received a
favorable judgement in a United States District Court in 1996 awarding it $1.1
million in compensatory damages, plus post-judgement    interest on the damages,
as well as filing fees and other court costs.  The defendant in the action is a
well-capitalized money-center bank that provided certain trust services relating
to one of FEI's hotel joint ventures in the 1980s. 


                                    8 



<PAGE>   10





                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
            Notes to Consolidated Financial Statements (Continued)


In addition to this judgement, FEI also has a pending claim against the
defendant for punitive damages which could substantially increase the final
award, if any.  A hearing on this claim was conducted in in the second  quarter
of 1997; the Corporation does not know at this time when it will be informed of
the court's decision with respect to this hearing.  The defendant is expected to
appeal the initial judgement as well as vigorously oppose any award of punitive
damages.  As a result, management of the Corporation is unable to determine the
likelihood of a favorable outcome or reliably estimate the amount of the final
award, if any.  Accordingly, the Corporation has not recognized any portion of
the current judgement or possible future punitive damages in its results of
operations. 

The Corporation and its subsidiaries are also engaged in various routine        
legal proceedings occurring in the ordinary course of business which in the
aggregate are believed by management to be immaterial to the consolidated
financial condition of the Corporation. 


(4) Stock Splits 

Earnings per share and dividends paid per share, as presented in the
Corporation's Consolidated Statements of Operations and accompanying notes,     
have been adjusted to recognize a three-for-two stock split on June 5, 1997. 
Common shares issued and outstanding, as presented in the Corporation's
Consolidated Statements of Financial Condition, have also been adjusted for such
stock split. 



                                    9 


<PAGE>   11






                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
                 Item 2--Management's Discussion and Analysis
                                June 30, 1997


Results of Operations 

Overview The Corporation's net income for the three months ended June 30, 1997
and 1996, was $4.2 million or $0.43 per share and $3.3 million or $0.32 per
share, respectively.  The increase in earnings between these two periods
was primarily attributable to a $1.3 million increase in net interest income, a
$580,000 increase in retail banking fees, and a $388,000 decrease in federal
deposit insurance premiums.  These developments were partially offset by a
$599,000 increase in total non-interest expense (excluding the decline in
deposit insurance) and a $719,000 increase in income tax expense.  Net income
for these periods represented a return on average assets of 1.10% and 0.96%,
respectively, and a return on average equity of 16.88% and 13.83%, 
respectively.  


The Corporation's net income for the six months ended June 30, 1997 and 1996,
was $8.0 million or $0.81 per share and $6.3 million or $0.62 per share,
respectively.  The increase in earnings between these two periods       was
attributable to a variety of factors including a $2.6 million increase in net
interest income, a $1.1 million increase in retail banking fees, a $788,000
decrease in federal deposit insurance premiums, and a $348,000 increase in loan
servicing fees.  These developments were partially offset by a $1.2 million
increase in total non-interest expense (excluding the decline in deposit
insurance), a $900,000 decrease in gain on sales of loans, and a $1.3 million
increase in income tax expense.  Net income for these periods represented a
return on average assets of 1.05% and 0.92%, respectively, and a return on
average equity of 16.31% and 13.18%, respectively. 

The following paragraphs discuss the aforementioned changes in more detail      
as well as other changes in the Corporation's results of operations during the
three and six month periods ended June 30, 1997, as compared to the same periods
in the previous year. 

Net Interest Income Net interest income increased by $1.3 million or 13.7% and
$2.6 million or 13.4% during the three and six month periods ended      June 30,
1997, respectively, as compared to the same periods in the previous year.  Net
interest income was favorably impacted in both periods by increases in average
interest-earning assets of $163.0 million or 12.7% and $148.1 million or 11.4%
as compared to the same periods in the previous year, respectively.  This growth
was principally due to increases in mortgage and consumer loans outstanding, the
origination of which were funded by increases in Federal Home Loan Bank ("FHLB")
advances and deposit liabilities. 

Also contributing to the increase in net interest income in both periods was a
modest improvement in the Corporation's average interest rate spread.   
Management attributes these improvements to a higher mix of interest-earning
assets invested in mortgage and consumer loans, which generally earn higher
yields than the Corporation's other interest-earning assets. 

The following tables set forth information regarding (i) the total dollar       
amount of interest income from interest-earning assets and the resulting average
yields, (ii) the total dollar amount of interest expense from


                                    10 




<PAGE>   12




                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


interest-bearing liabilities and the resulting average costs, (iii) net interest
income, (iv) interest rate spread, (v) net interest margin, and (vi) the ratio
of average interest-earning assets to average interest- bearing liabilities. 
The information is based on daily average balances during the three and six
month periods ended June 30, 1997 and 1996, respectively. 


<TABLE>
<CAPTION>
                                                          Three Months Ended                          Three Months Ended
Dollars in thousands                                        June 30, 1997                               June 30, 1996
                                             ------------------------------------------- -------------------------------------------
                                                 Average                                     Average
                                                 Balance       Interest      Yield/Cost      Balance       Interest      Yield/Cost
<S>                                           <C>              <C>          <C>            <C>            <S>            <C>
Interest-earning assets: 
  Loans held for investment and loans held 
    for sale                                     $1,166,686     $24,153          8.28%      $957,973        $19,963          8.34%
  Mortgage-backed and related securities            198,402       3,128          6.31        240,452          3,710          6.17
  Investment securities                              63,361         967          6.10         69,824          1,031          5.91
  Interest-bearing deposits                           4,731          64          5.38          5,307             73          5.50
  Other earning assets                               18,118         305          6.73         14,763            250          6.77
                                               ------------   ---------    ----------    -----------      ---------     ---------
    Total interest-earning assets                 1,451,298      28,617          7.89      1,288,319         25,027          7.77
                                                              ---------    ----------                     ---------     ---------
Non-interest-earning assets:                                                                                            
  Office properties and equipment                    25,525                                   26,916                    
  Other non-interest-earning assets                  56,111                                   48,717                    
                                               ------------                              -----------                    
    Total assets                                 $1,532,934                               $1,363,952                    
                                               ============                              ===========                    
Interest-bearing liabilities:                                                                                           
  Deposit liabilities                              $973,585      12,377          5.09       $911,665         11,486          5.04
  FHLB advances                                     346,313       4,935          5.70        261,620          3,624          5.54
  Other borrowed funds                               15,909         155          3.89         12,430            110          3.54
                                               ------------   ---------    ----------    -----------      ---------     ---------
    Total interest-bearing liabilities            1,335,807      17,467          5.23      1,185,715         15,220          5.13
                                                              ---------    ----------                     ---------     ---------
Non-interest-bearing liabilities:                                                                                       
  Non-interest-bearing deposits                      87,359                                   75,750                    
  Other liabilities                                  10,031                                    8,293                    
                                               ------------                              -----------                    
    Total liabilities                             1,433,197                                1,269,758                    
Stockholders' equity                                 99,737                                   94,194                    
                                               ------------                              -----------                    
    Total liabilities and stockholders'                                                                                 
      equity                                     $1,532,934                               $1,363,952                    
                                               ============                              ===========                    
Net interest income                                             $11,150                                      $9,807     
                                                              =========                                   =========     
Interest rate spread                                                             2.66%                                       2.64%
                                                                           ==========                                   =========
Net yield on interest-earning assets                                             3.07%                                       3.04%
                                                                           ==========                                   =========
Average earning assets to average                                                                                       
  interest-bearing liabilities                                                 108.65%                                     108.65%
                                                                           ==========                                   =========
                                                                                                                        

</TABLE>


                                    11 




<PAGE>   13

                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


<TABLE>
<CAPTION>
                                                           Six Months Ended                            Six Months Ended
Dollars in thousands                                        June 30, 1997                               June 30, 1996
                                             ------------------------------------------- -------------------------------------------
                                                 Average                                     Average
                                                 Balance     Interest      Yield/Cost      Balance       Interest      Yield/Cost
<S>                                              <C>         <C>           <C>          <C>            <C>             <C>  
Interest-earning assets: 
  Loans held for investment and loans held 
    for sale                                     $1,149,708   $47,455          8.26%      $955,407        $39,970          8.37%
  Mortgage-backed and related securities            202,563     6,343          6.26        245,733          7,583          6.17
  Investment securities                              66,558     2,005          6.02         73,446          2,169          5.91
  Interest-bearing deposits                           5,433       145          5.34          4,623            128          5.54
  Other earning assets                               18,698       625          6.68         15,698            520          6.63
                                               ------------ ---------      --------    -----------      ---------     ---------
    Total interest-earning assets                 1,442,960    56,573          7.84      1,294,907         50,370          7.78
                                                            ---------      --------                     ---------     ---------
Non-interest-earning assets:                                                                                          
  Office properties and equipment                    25,932                                 26,986                    
  Other non-interest-earning assets                  54,951                                 51,317                    
                                               ------------                            -----------                    
    Total assets                                 $1,523,843                             $1,373,210                    
                                               ============                            ===========                    
Interest-bearing liabilities:                                                                                         
  Deposit liabilities                              $963,809    24,355          5.05       $903,692         22,942          5.08
  FHLB advances                                     355,390     9,947          5.60        281,448          7,871          5.59
  Other borrowed funds                               14,720       315          4.29         10,248            196          3.83
                                               ------------ ---------      --------    -----------      ---------     ---------
    Total interest-bearing liabilities            1,333,919    34,617          5.19      1,195,388         31,009          5.19
                                                            ---------      --------                     ---------     ---------
Non-interest-bearing liabilities:                                                                                     
  Non-interest-bearing deposits                      82,450                                 72,783                    
  Other liabilities                                   9,807                                  9,037                    
                                               ------------                            -----------                    
    Total liabilities                             1,426,176                              1,277,208                    
Stockholders' equity                                 97,667                                 96,002                    
                                               ------------                            -----------                    
    Total liabilities and stockholders'                                                                               
      equity                                     $1,523,843                             $1,373,210                    
                                               ============                            ===========                    
Net interest income                                           $21,956                                     $19,361     
                                                            =========                                   =========     
Interest rate spread                                                           2.65%                                       2.59%
                                                                           ========                                   =========
Net yield on interest-earning assets                                           3.04%                                       2.99%
                                                                           ========                                   =========
Average earning assets to average                                                                                     
  interest-bearing liabilities                                               108.17%                                     108.33%
                                                                           ========                                   =========

</TABLE>

Provision for Loan Losses Due to growth in the Corporation's loan portfolio in
recent periods, management of the Corporation elected to record provisions for
loan losses during the three and six month periods ended June 30, 1997. 
In general, the provision recorded during such periods was equal to the
Corporation's actual charge-off activity. 




                                    12 



<PAGE>   14





                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


As of June 30, 1997, and December 31, 1996, the Corporation's allowance for loan
losses was $7.9 million or 0.68% and 0.71% of loans held for investment,
respectively.  Although management believes that the Corporation's present
level of allowance for loan losses is adequate, there can be no assurance that
future adjustments to the allowance won't be necessary, which could adversely
affect the Corporation's results of operations. 

Non-Interest Income Non-interest income was $5.6 million and $5.0 million       
during the three months ended June 30, 1997 and 1996, respectively.  The
following paragraphs discuss the principal reasons for this increase. 

Retail banking fees increased by $580,000 or 22.9% during the three months      
ended June 30, 1997, compared to the same period in the previous year. This
increase was primarily due to a general increase in per-transaction service
charges and a 9.3% increase in the number of checking accounts serviced by the
Corporation since June 30, 1996.  Also contributing was $231,000 in fees earned
on customers' use of debit cards, which were first introduced by the Corporation
in the fourth quarter of 1996. 

Loan servicing fees decreased by $27,000 or 4.3% during the three months ended
June 30, 1997, compared to the same period in the previous year. This decrease
was primarily caused by losses recorded on the Corporation's mortgage servicing
rights.  Declining interest rates generally result in increased mortgage
refinance activity which leads to increased loan prepayment activity.  As a
result of such activity, the value of the Corporation's mortgage servicing
rights generally decline; such declines are recorded as losses against servicing
fee revenue.  During the second quarter of 1997 $150,000 in such losses were
recorded; this compares to only $100,000 during the second quarter of 1996. 

Gain on sales of mortgage loans decreased by $142,000 or 12.6% during the three
months ended June 30, 1997, compared to the same period in the previous year. 
This decrease was primarily attributable to a $30.6 million or approximately 40%
decline in the Corporation's mortgage loan sales between the two periods.  This
decline was principally due to a more favorable interest rate environment in
early 1996, which resulted in the origination and sale of more fixed-rate
mortgage loans during such period as compared to the more recent period. 
However, recent declines in market interest rates may result in increased
customer demand for fixed-rate mortgage loans in the immediate future.  This
development could result in increased gain on sales of such loans, although
there can be no assurances. 

Other income increased by $177,000 or approximately 60% during the three months
ended June 30, 1997, compared to the same period in the previous year.  This
improvement was primarily due to a change in the manner in which the Corporation
accounts for certain fees and costs to originate consumer loans.  Prior to 1997,
such fees and costs were netted and were recorded in other income. 
However, due to the increased materiality of these fees and costs, the
Corporation elected to conform its accounting for such with that which is done
for mortgage loans.  That is, loan origination fees and certain direct loan
origination costs are deferred and amortized over the life of the related loans
as an adjustment of yield. 




                                    13 


<PAGE>   15






                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


Non-interest income was $10.8 million and $9.8 million during the six months
ended June 30, 1997 and 1996, respectively.  This increase was primarily due to
a $1.1 million or 22.4% increase in retail banking fees and a $250,000 or
approximately 40% increase in other income.  These developments were partially
offset by a $900,000 or approximately 35% decrease in gain on sales of
loans.  Reasons for these changes are similar to those discussed in previous
paragraphs. 

Also contributing to the improvement in non-interest income during the six
months ended June 30, 1997, was a $348,000 or approximately 40% increase in loan
servicing fees.  This increase was primarily the result of losses recorded on
the Corporation's mortgage servicing rights.  A declining interest rate
environment in late 1995 resulted in a high level of prepayment activity in
early 1996.  Losses recorded as a result of such activity were $624,000 during
the first six months of 1996.  This compares to only $300,000 for the same
period in 1997. 

Non-Interest Expense Non-interest expense was $9.7 million and $9.5 million or
2.55% and 2.80% of average assets during the three months ended June 30,        
1997 and 1996, respectively.  The following paragraphs discuss the principal
reasons for this increase. 

Compensation and employee benefits increased by $397,000 or 8.1% during the
three months ended June 30, 1997, compared to the same period in the previous
year.  This increase was due in part to normal annual merit increases as well as
the Corporation's net addition of four banking  locations in 1996.  The
Corporation also opened one supermarket banking location during the first six
months of 1997, but also closed a traditional location during the same period. 
The Corporation intends to open two or three additional supermarket banking
offices during the remainder of 1997, although there can be no assurances.  As
of June 30, 1997, the Corporation employed 673 full-time equivalent employees. 
This compares to 641 and 642 at December 31, 1996, and June 30, 1996,
respectively. 

Occupancy and equipment expense decreased by $183,000 or 11.2% during the three
months ended June 30, 1997, compared to the same period in the previous year. 
This decrease was principally due to the Corporation's  efforts in recent
periods to reduce its real estate and personal property tax obligations through
discussions with taxing authorities.  As a result of these efforts, the
Corporation's obligations have been reduced and taxes accrued in previous
periods were reversed during the current period. 

Advertising and marketing expense increased by $245,000 or approximately 55%
during the three months ended June 30, 1997, compared to the same period
in the previous year.  The Corporation's expenditures in this area have
increased in recent periods due to a larger branch network and increased media
advertising in new market areas.  Also contributing were increased expenditures
related to checking and consumer loan promotions. Management expects advertising
and marketing expenditures during the remaining half of 1997 to be comparable to
the same period in the previous year, although there can be no assurances. 

Federal insurance premiums decreased by $388,000 or approximately 70% during
the three months ended June 30, 1997, compared to the same period in the
previous year.  This decrease was attributable to a decline in the 


                                    14 





<PAGE>   16



                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


Bank's federal insurance premiums as a result of the recapitalization of        
the Saving Association Insurance Fund ("SAIF") in the third quarter of 1996. 

Non-interest expense was $19.5 million and $19.0 million or 2.56% and 2.77% of
average assets during the six months ended June 30, 1997 and 1996,      
respectively.  This increase was due primarily to a $741,000 or 7.6% increase in
compensation and employee benefits and a $464,000 or approximately 65% increase
in advertising and marketing.  These developments were partially offset by a
$788,000 or approximately 70% decline in federal insurance premiums.  Reasons
for these changes are similar to those discussed in previous paragraphs. 

Income Tax Expense Income tax expense for the three months ended  June 30, 1997
and 1996, was $2.7 million and $2.0 million, respectively, on pretax income of
$6.9 million and $5.2 million, respectively.  The effective tax rates for these
periods were 39.0% and 37.7%, respectively. 

Income tax expense for the six months ended June 30, 1997 and 1996, was $5.1
million and $3.8 million, respectively, on pretax income of $13.0 million
and $10.1 million, respectively.  The effective tax rates for these periods were
38.8% and 37.5%, respectively. 

The Corporation's effective tax rate has increased in recent periods due to     
a higher mix of taxable earnings in the State of Wisconsin relative to the State
of Nevada, where the Corporation has established a wholly-owned investment
subsidiary. 

Financial Condition 

The Corporation's total assets increased by $56.7 million or 3.7% during the six
months ended June 30, 1997.  This increase was primarily the result of a
$53.2 million or 4.8% increase in loans held for investment due principally to
continued strong demand for the Corporation's single-family adjustable-rate
mortgage loans.  The Corporation has experienced consistent growth in this loan
category since the first quarter of 1996.  Management attributes this growth to
an interest rate environment that favored the origination of adjustable-rate
mortgage loans, which the Corporation generally retains in its portfolio. 
Management is uncertain whether this trend will continue in the immediate future
as a result of recent declines in market interest rates.  Also contributing to
the increase in loans held for investment during the period, were increases in
the Corporation's education, consumer, and commercial real estate loans. 

The growth in loans held for investment was principally funded by a $55.8
million or 5.5% increase in deposit liabilities.  This growth was evenly        
distributed between certificates of deposit, money market savings accounts, and
non-interest-bearing checking accounts.  Management attributes this growth to a
combination of its expansion efforts in recent years, competitive product and
interest rate offerings, convenient banking locations, and strong local
economies in its market areas.  Management expects deposit liabilities to
continue to grow modestly in the immediate future, although there can be no
assurances. 




                                    15 




<PAGE>   17




                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


Growth in the Corporation's deposit liabilities was also used to reduce the
Corporation's borrowings from the FHLB. As a result, FHLB advances      
outstanding declined by $9.1 million or 2.4% during the six months ended June
30, 1997. 

The Corporation's aggregate investment in its investment securities and
mortgage-backed and related securities portfolios declined by $32.0 million     
or 11.3% during the six months ended June 30, 1997.  This decline was
principally due to the normal periodic amortization of the mortgage loans that
underlie mortgage-backed securities and/or the periodic sale or maturity of
investment securities.  The proceeds from such amortization, maturities, and/or
sales were reinvested in loans held for investment or were used to reduce
borrowings from the FHLB, as previously described. 

The Corporation's loans held for sale increased by $$21.0 million or
approximately 100% during the six months ended June 30, 1997.  This increase was
principally due to the transfer of $19.7 million in single-family
adjustable-rate mortgage loans from the Corporation's held for investment
portfolio.  Management expects to sell these loans in the third quarter,
although there can be no assurances.  Management also   expects that the
proceeds from the sale will be used to reduce FHLB borrowings.  In the future,
the Corporation may elect to sell modest amounts of its single-family adjustable
rate mortgage loans in an effort to manage its borrowing capacity at the FHLB.
The recognition of gains or losses on the sales of such loans is dependent on
market conditions. Accordingly, there can be no assurance that that there will
not be significant inter-period variations in gains or losses from such sales. 

Although management expects the aforementioned loans to be sold at a gain, it is
also anticipated that a loss of approximately the same amount may be recorded on
the sale of $27.7 million in mutual fund securities.  These securities are
currently classified as available for sale and management is considering their
possible sale in the third quarter.  However, there can be no assurances that
such will occur.  The proceeds from any sale are expected to be used to reduce
borrowings at the FHLB. 

The Corporation's non-performing assets (consisting of non-accrual loans, real
estate acquired through foreclosure or deed-in-lieu thereof, and real estate in
judgement) were $1.9 million or 0.12% of total assets at June 30, 1997, compared
to $2.4 million or 0.16% at December 31, 1996.  The Corporation's other
classified assets were $10.9 million or 0.69% of total assets at June 30, 1997,
compared to $10.0 million or 0.66% at December 31, 1996. 

Asset/Liability Management 

The Corporation manages the exposure of its operations to changes in interest
rates ("interest rate risk") by monitoring its ratio of interest-earning assets
to interest-bearing liabilities within one- and three-year maturities and/or
repricing dates.  Management has sought to control these ratios, thereby
limiting the affects of changes in interest rates on the Corporation's earnings,
by selling substantially all of its originations of long-term, fixed-rate,
single-family mortgage loans in the secondary market, investing in
adjustable-rate single-family residential loans, investing in short- to
medium-term CMOs, and investing in consumer


                                    16 



<PAGE>   18





               FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
         Item 2--Management's Discussion and Analysis (Continued) 


loans and education loans, which generally have shorter terms to maturity
and higher interest rates. 

The Corporation also originates multi-family residential and commercial real
estate loans for its own portfolio, which generally have adjustable or floating
interest rates and/or shorter terms to maturity than conventional       
single-family residential loans. 

Long-term, fixed-rate, single-family mortgage loans originated for sale in the
secondary market are generally committed for sale at the time the interest rate
is locked with the borrower.  As such, these loans pose little interest rate
risk to the Corporation. 

Although management believes that its asset/liability management strategies
reduce the potential effects of changes in interest rates on the Corporation's
operations, material and prolonged increases in interest rates may adversely
affect the Corporation's operations because the Corporation's interest-bearing
liabilities which mature or reprice within one year are greater than the
Corporation's interest- earning assets which mature or reprice within the same
period.  Alternatively, material and prolonged decreases in interest rates may
benefit the Corporation's operations. 

Liquidity and Capital Resources 

The Bank is required under applicable federal regulations to maintain specified
levels of qualifying types of U.S.  government, federal agency, and other
investment securities of not less than 5% of its net withdrawable accounts
and short-term borrowings, of which liquid assets maturing in one year or less
must consist of not less than 1%.  The Bank was in full compliance with these
regulations during the three and six month periods ended June 30, 1997. 

The Corporation's stockholders' equity ratio as of June 30, 1997, was 6.44% of
total assets.  The Corporation's long-term objective is to maintain this ratio
in a range of approximately 6.5% to 7.0%, which is consistent with return on
asset and return on equity goals of 1% and 15%, respectively. The Corporation's
equity ratio is below its target range as of June 30, 1997.  Management expects
the ratio to return to its target range within  the next six to twelve months,
although there can be no assurances. 

The Bank is also required to maintain specified amounts of capital pursuant to
regulations promulgated by the Office of Thrift Supervision ("OTS") and the
Federal Deposit Insurance Corporation ("FDIC").  The Bank's long-term objective
is to maintain its regulatory capital in an amount sufficient to be classified
in the highest regulatory capital category (i.e., as a "well capitalized"
institution).  At June 30, 1997, the Bank's regulatory capital exceeded all
regulatory minimum requirements as well as the minimum amount   required to be
classified as a "well capitalized" institution. 

The Corporation paid cash dividends of $1.1 million and $987,000 during the
three months ended June 30, 1997 and 1996, respectively.  These amounts equated
to dividend payout ratios of 26.2% and 30.3% of net income in such periods,
respectively.  The Corporation paid cash dividends of $2.1 million and $1.9
million during the six months ended June 30, 1997 and 1996,


                                    17 


<PAGE>   19






                 FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES
           Item 2--Management's Discussion and Analysis (Continued)


respectively.  These amounts equated to dividend payout ratios of 26.1% and
30.1% of net income in such periods, respectively.  It is the Corporation's
long-term objective to maintain its dividend payout ratio in a range of 25% to
35% of net income.  However, the Corporation's dividend policy and/or dividend
payout ratio will be impacted by considerations such as the level of
stockholders' equity in relation to the Corporation's stated goal, as   
previously described, regulatory capital requirements for the Bank, as
previously described, and certain regulatory restrictions on the payment of
dividends.  Furthermore, unanticipated or non-recurring fluctuations in earnings
may impact the Corporation's ability to pay dividends and/or maintain a given
dividend payout ratio. 

On July 22, 1997, the Board of Directors of the Corporation declared a $0.12 per
share dividend payable on September 4, 1997, to shareholders of record on August
14, 1997. 

During the six months ended June 30, 1997, the Corporation repurchased 72,000
shares of common stock at a cost of $1.3 million under its 1996 stock repurchase
plan.  The Corporation also reissued 10,500 shares out of treasury stock during
this period at an average cost of $18.29 per share. The Corporation uses the
"last-in/first-out" method when accounting for reissuance of shares out of
treasury stock. 

Forward-Looking Statements 

The discussion in this report includes certain forward-looking statements based
on current management expectations.  Examples of factors which could cause
future results to differ from management's expectations include, but are not
limited to the following: general economic and competitive      conditions;
legislative and regulatory initiatives; monetary and fiscal policies of the
federal government; general market rates of interest; interest rates on
competing investments; interest rates on funding sources; consumer demand for
deposit and loan products and services; consumer demand for other financial
services; changes in accounting policies or guidelines; and changes in the
quality or composition of the Corporation's loan and investment portfolios. 





















                                    18 



<PAGE>   20





               FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                        Part II--Other Information 
                              June 30, 1997 


Item 1--Legal Proceedings. 

Refer to Note 4 of the Corporation's Consolidated Financial Statements. 

Item 2--Changes in Securities. 

None. 

Item 3--Defaults Upon Senior Securities. 

Not applicable. 

Item 4--Submission of Matters to Vote of Security Holders. 

None. 

Item 5--Other Information. 

None. 

Item 6--Exhibits and Reports on Form 8-K. 

None. 

































                                    19 




<PAGE>   21




                                SIGNATURES 


Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant duly caused this report to be signed on its behalf by the undersigned
thereunto duly authorized. 
        

                                             FIRST FEDERAL CAPITAL CORP 


Date: August 8, 1997                    By:  /s/ Thomas W. Schini 
                                             Thomas W. Schini, Chairman 
                                             of the Board, President, and 
                                             Chief Executive Officer 
                                             (duly authorized officer) 


Date: August 8, 1997                    By:  /s/ Jack C. Rusch 
                                             Jack C. Rusch, 
                                             Executive Vice President, 
                                             Treasurer, and Chief 
                                             Financial Officer 

















                                    20