<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549




                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)
                     of the Securities Exchange Act of 1934


For the fiscal year ended:                         Commission file number:
    December 31, 1998                                     33-19863         
--------------------------                         -----------------------

                    Mountain States Guaranty Mortgage Company
-------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)




140 East 19th Ave., Suite 700
      Denver, Colorado                                     80203             
-----------------------------                            ----------     
   (Address of Principal                                 (Zip Code)
     Executive Offices)


Registrant's telephone number, including area code:        (303) 863-1900      
                                                   ----------------------------

Securities registered pursuant to Section 12(b) of the Act:  None

Securities registered pursuant to Section 12(g) of the Act:  None


         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 period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirement for the past ninety days.

Yes     X                                   No            
      -----                                      -----


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<PAGE>   2




                                     PART I

ITEM 1.           BUSINESS

         Mountain States Guaranty Mortgage Company (the "Company") is a
corporation established under the laws of the State of Colorado on January 22,
1988.

         The Company was created for the sole purpose of issuing and selling
collateralized mortgage obligations (the "Bonds") secured by mortgage-backed
certificates (the "Certificates"). The Bonds represent obligations solely of the
company.


ITEM 2.           PROPERTIES

         The Company does not own any buildings or real estate and has no
physical properties.


ITEM 3.           LEGAL PROCEEDINGS

         The Company is not a part to any pending legal proceedings, nor is the
Company aware of any proceedings contemplated by governmental authorities.


ITEM 4.           SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

         Not applicable.


                                     PART II


ITEM 5.           MARKET FOR REGISTRANT'S COMMON STOCK AND RELATED STOCKHOLDER 
                  MATTERS

         Not Applicable.

         (a) There is no established public-trading market for any of the 
classes of stock.

         (b) There are three holders of common stock as of December 31, 1998.

         (c) There have been no dividends declared or paid since inception of
the Company.



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ITEM 6.           SELECTED FINANCIAL DATA

         Not applicable as the Company has had no income or expenses since
inception of the company (see Item 7 and 8).

ITEM 7.           MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION 
                  AND RESULTS OF OPERATIONS

RESULTS OF OPERATIONS

         On July 28, 1988, the Company issued bonds with an outstanding
aggregate principal balance of $20,000,000 (the "Series One Bonds") which are
collateralized by mortgage-backed certificates having annual pass-through rates
of 9.5%. (See Note 2 in Notes to Financial Statements for information on the
principal amounts of the Bonds outstanding at December 31, 1998, and the
interest rates and stated maturities of the Bonds).

         On March 28, 1989, the Company issued bonds with an outstanding
aggregate principal balance of $20,000,000 (the "Series Two Bonds") which are
collateralized by mortgage-backed certificates having annual pass-through rates
of 10.5%. All Bonds were paid and retired on December 1, 1998, and therefor no
balances were outstanding on December 31, 1998.

         Issuance of the Bonds and simultaneous delivery of the Certificates to
the Trustee for the benefit of the Bondholders has been accounted for as a sale
of the Certificates. The net proceeds from the sale of the Bonds and the
residual interest therein equaled the purchase price of the Certificates;
accordingly, there is no income, expense, gain or loss resulting from the
aforementioned transactions.


CAPITAL RESOURCES AND LIQUIDITY

         The Company's sole source of funds with respect to repaying the Bonds
is the receipt of payments of principal and interest, including prepayments on
the Certificates, together with the reinvestment income thereon. The Company
expects that, at all times, the aggregate future receipts of principal and
interest on the Certificates securing the Bonds, together with reinvestment
income thereon, will exceed the aggregate of future amounts due as payments of
principal and interest on the Bonds.



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<PAGE>   4




ITEM 8.           FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

<TABLE>
<CAPTION>
                      Description                                                              Page
                      -----------                                                              ----
<S>                                                                                            <C>
         Independent Auditors' Report                                                            5
         Balance Sheets at December 31, 1998 and 1997                                            6
         Statements of Cash Flow for Years ended
              December 31, 1998, 1997 and 1996                                                   7
         Notes to Financial Statements                                                           8
</TABLE>


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<PAGE>   5




INDEPENDENT AUDITORS' REPORT
----------------------------




To the Board of Directors of
    Mountain States Guaranty Mortgage Company:


We have audited the accompanying balance sheet of Mountain States Guaranty
Mortgage Company as of December 31, 1998 and the related statement of cash flow.
These financial statements are the responsibility of the Company's management.
Our responsibility is to express an opinion on these financial statements based
on our audit.

We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatements. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audit provides a reasonable basis for our opinion.

In our opinion, such financial statements described above present fairly, in all
material respects, the financial position of the Company at December 31, 1998,
and its cash flow for the year then ended, in conformity with generally accepted
accounting principles.





/s/ HEIN + ASSOCIATES LLP
HEIN + ASSOCIATES LLP
Denver, Colorado
March 9, 1999



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<PAGE>   6



                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY

                                 Balance Sheets
                           December 31, 1998 and 1997



<TABLE>
<CAPTION>
                                     ASSETS
                                                                                                     1998                     1997
                                                                                                     ----                     ----
<S>                                                                                                 <C>                      <C>
Cash                                                                                                $1,000                   $1,000
                                                                                                    ------                   ------


Total Assets                                                                                        $1,000                   $1,000
                                                                                                    ======                   ======




                              STOCKHOLDERS' EQUITY


Common Stock, par value $1.00 per share,
authorized 1,000,000 shares, issued and
outstanding 1,000 shares                                                                            $1,000                   $1,000
                                                                                                    ------                   ------

Total stockholders' equity                                                                          $1,000                   $1,000
                                                                                                    ======                   ======
</TABLE>







See accompanying notes to financial statements.


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<PAGE>   7



                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY

                      STATEMENTS OF CASH FLOW FOR THE YEARS
                     ENDED DECEMBER 31, 1998, 1997 AND 1996


<TABLE>
<CAPTION>
                                                                                   1998                  1997                1996 
                                                                                  ------                ------             --------
<S>                                                                               <C>                   <C>                <C>

Cash balance at beginning of the Period                                           $1,000                $1,000               $1,000
                                                                                  ------                ------               ------

Cash balance at end of the Period                                                 $1,000                $1,000               $1,000
                                                                                  ======                ======               ======
</TABLE>







See accompanying notes to financial statements.


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<PAGE>   8



                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY

                          NOTES TO FINANCIAL STATEMENTS

Note 1 - Organization and Operations

Mountain States Guaranty Mortgage Company (the "Company") is a limited purpose
corporation established under the laws of Colorado on January 22, 1988. The
Company was organized for the purpose of issuing collateralized mortgage
obligations (the "Bonds") secured by mortgage-backed certificates (the
"Certificates"). Bonds issued are obligations solely of the Company.

Statement of Financial Accounting Standards (SFAS) No. 125 "Accounting for
Transfers and Servicing of Financial Assets and Extinguishment of Liabilities",
effective for the transfers and servicing of financial assets and extinguishment
of liabilities occurring after December 31, 1996, would preclude sales treatment
for transactions involving the issuance of collateralized mortgage obligations
and simultaneous transfer of mortgage-backed securities as previously entered
into by the Company. However, as SFAS No. 125, is to be applied prospectively,
there is no effect on the Company's December 31, 1998 financial statements or
transactions entered into prior to December 31, 1998.

Note 2 - Collateralized Mortgage Obligations

On July 28, 1988, the Company issued Bonds (the Series One Bonds) in the
aggregate principal amount of $20,000,000. The principal amounts outstanding at
December 31, 1998, the interest rates and the stated maturities of the Bonds are
as follows:


<TABLE>
<CAPTION>
        Class                    Principal Amount                    Interest Rate                      Stated Maturity
        -----                    ----------------                    -------------                      ---------------
<S>                              <C>                                 <C>                                <C>
         I-F                         1,261,000                           9.40                              08/01/2018
         I-G                         1,304,000                           9.40                              08/01/2018
                                    ----------
                                    $2,565,000
</TABLE>

The Series One Bonds are collateralized by Certificates having annual
pass-through rates of 9.5%. The par value of the Certificates outstanding at
December 31, 1998, is $2,446,000. The Trustee is in possession of $119,000 which
reduced the Principal Amount of Bonds outstanding on January 1, 1999.

The issuance of Series One and related residual interest, and the respective
simultaneous delivery of the Certificates to State Street Bank and Trust Company
(the "Trustee) for the benefit of the Bondholders has been accounted for as a
sale of the Certificates, which transaction resulted in no gain or loss to the
Company. Accordingly, no statement of operations is presented and

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<PAGE>   9




the Bonds and the related Certificates do not appear in the accompanying
balance sheets.

On March 28, 1989, the Company issued bonds with an outstanding aggregate
principal balance of $20,000,000 (the "Series Two Bonds") which are
collateralized by mortgage-backed certificates having annual pass-through rates
of 10.5%. All Bonds were paid and retired on December 1, 1998, and therefor no
balances were outstanding on December 31, 1998.

Coughlin & Company Inc., an entity which has common ownership with the Company,
served as Underwriter for these issuances. Another entity having the same owners
purchased the residual interest in the collateral securing the Bonds.

Note 3 - Certificates held by Trustee

As required by the Indenture relating to the Bonds, the Certificates securing
the Bonds are held as collateral by the Trustee. The Trustee collects principal
and interest payments on the Certificates and makes principal and interest
payments on the Bonds using a collection account, including reinvestment
earnings thereon, established for the Bonds.

Note 4 - Income Taxes

The Company has elected to treat each issuance as a real estate mortgage
investment conduit for federal income tax purposes. Accordingly, the Company
does not report any income or loss. Therefore, no provision for income taxes has
been made in the accompanying financial statements


ITEM 9.  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND 
         FINANCIAL DISCLOSURE

On February 25, 1999, Deloitte & Touche LLP, Certified Public Accountants, the
Company's Certifying Accountant for the previous two fiscal years, was
dismissed. Hein + Associates LLP, Certified Public Accountants, were engaged to
serve as the Company's new auditors. The selection of Hein + Associates LLP was
approved by the Company's Board of Directors.

Deloitte & Touche LLP's report on the financial statements for the fiscal years
ended December 31, 1997 and 1996 did not contain an adverse opinion or a
disclaimer of opinion, nor were qualified or modified as to uncertainty, audit
scope, or accounting principles. Nor has there been any disagreement with
Deloitte & Touche LLP on any matter of principles or practices, financial
statement disclosure or auditing scope or procedure.





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<PAGE>   10




ITEM 10.          DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

Directors and Executive Officers

The following is a list of directors and executive officers of the Company. All
of such directors and executive officers have served in their respective
capacities since the incorporation of the Company.

Dennis F. Coughlin         55       Director/President
James M. Coughlin          63       Director
George F. Coughlin         60       Director
Harold C. Jones            44       Secretary/Treasurer

Dennis F. Coughlin, 55, is President and a Director of the Company.  He joined
Coughlin & Company Inc., a regional investment banking firm, in 1966 and
became head of the Marketing Department and Vice President in 1972, a member
of the Board of Directors in 1987 and President in 1997.  He served in the
Colorado Air National Guard in Korea from 1968 to 1969.  Mr. Coughlin
graduated from St. Mary's College in Moraga, California, with a B.S. in
Business Administration in 1966.  Mr. Coughlin has served as a member of the
Executive Committee of Coughlin & Company, Managing Partner of Coughlin
Properties, and Director of Coughlin Asset Management.  Mr. Coughlin has also
served as President and Treasurer of the Colorado Municipal Bond Dealers
Association.

James M. Coughlin, 63 is a Director of the Company.  He has been Managing
Director and President of Coughlin Company, Inc. since January, 1968, and has
been a member of the Executive Committee of Coughlin & Company since 1987.
Mr. Coughlin was elected Vice President of Coughlin & Company in January 1964,
and was responsible for the underwriting of debt issues of non-profit
corporations.  Mr. Coughlin is also a Director and Officer of Coughlin Asset
Management, a registered investment advisor.  In January, 1988, Mr. Coughlin
completed a three year term on the District 3 Business Conduct Committee of
the National Association of Securities Dealers, Inc., serving as Vice Chairman
in 1986, and as Chairman in 1987.  Mr. Coughlin joined Coughlin & Company in
June 1957, after graduating from the University of Notre Dame with a Bachelor
of Business Administration Degree.

George F. Coughlin, 60, is a Director of the Company. He joined Coughlin &
Company, Inc. in 1961 after graduating from Regis College in Denver. As an
Officer and Director of Coughlin & Company since 1965, Mr. Coughlin oversees the
underwriting and trading activities of the firm. He has been a member of the
Executive Committee of Coughlin & Company since 1987. He is a Director of
Coughlin Asset Management, a registered investment advisor. Mr. Coughlin is a
past President of the Colorado Municipal Bond Dealers Association and a past
member of the Board of Directors of the Public Securities Association.

Harold C. Jones, 44, is Secretary/Treasurer of the Company.  He has been
Treasurer of Coughlin & Company, Inc. since March, 1982, and has been on the

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<PAGE>   11




Executive Committee of Coughlin & Company since 1987. Mr Jones served as
Assistant Treasurer for Coughlin & Company from February 1981 to March, 1982. He
received his accreditation as a Certified Public Accountant while working for
Deloitte Haskins & Sells from July 1979 to February, 1981. Mr. Jones graduated
from Brigham Young University in 1979.

All directors and executive officers of the Company hold office during the term
for which they are elected and until their successors are elected and qualified.


ITEM 11.          EXECUTIVE COMPENSATION

         The Company has not paid any remuneration to any of its directors or
officers. The Company may in the future pay to one or more of its directors or
officers, consulting fees, underwriting discounts and commissions or other
remuneration.


ITEM 12.          SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

         The following table sets forth information regarding the beneficial
owners of more than five percent of the Company's common stock, par value $1.00
per share (the "Common Stock"):

<TABLE>
<CAPTION>
                                                          Amount of
Name & Address of                                     Direct Beneficial                     Percent of
Beneficial Owners                                          Owners                              Class  
-----------------                                     -----------------                     ----------
<S>                                                   <C>                                   <C>
Dennis F. Coughlin                                       334 Shares                            33.4%
140 E. 19th Ave., #700                                  Common Stock
Denver, Co   80203

George G. Coughlin                                       333 Shares                            33.3%
140 E. 19th Ave., #700                                  Common Stock
Denver, Co   80203

James M. Coughlin                                        333 Shares                            33.3%
140 E. 19th Ave., #700                                  Common Stock
Denver, Co   80203
</TABLE>


         Dennis F. Coughlin, George F. Coughlin and James M. Coughlin are all
Directors, and Dennis F. Coughlin is President and Chief Executive Officer of
the Company and is a cousin of George Coughlin and Jim Coughlin. George Coughlin
and Jim Coughlin are brothers. Each of such individuals may be deemed to be
promoters of the Company as that term is defined in regulations promulgated
under the Securities Act of 1933.


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<PAGE>   12




ITEM 13.          CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

         Refer to Note 2 on Page 9 of the Financial Statements.


                                     PART IV


ITEM 14.          EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON 
                  FORM 8-K

(A)      1.       Financial Statements:

<TABLE>
<CAPTION>
                  Description                                                                  Page
                  -----------                                                                  ----
<S>                                                                                            <C>
                  Independent Auditors' Report                                                   5

                  Balance Sheets at December 31, 1998 & 1997                                     7

                  Statements of Cash Flow for the Years ended
                     December 31, 1998, 1997 and 1996                                            8

                  Notes to Financial Statements                                                  9
</TABLE>

         2.       Financial Statement Schedules:

                  All schedules are omitted because they are not applicable, not
                  required or the required information is included in the
                  financial statements or notes thereto.

         3.       Exhibits:

                  The exhibits required by this item and incorporation herein by
                  reference are listed in the accompanying index (page 15) to
                  exhibits.


(b)      Reports on Form 8-K:

                  No reports were filed on form 8-K.


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<PAGE>   13




                                    SIGNATURE

         Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.

Dated:            March 9, 1999



                                 By: Mountain States Guaranty Mortgage Company



                                 By:    /s/ Dennis F. Coughlin            
                                    ------------------------------------------
                                 Name:  Dennis F. Coughlin               
                                      ----------------------------------------
                                 Title: President                       
                                       ---------------------------------------

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                                INDEX TO EXHIBITS
                                   Item 14(c)


         Pursuant to the General Rules and Regulations under the Securities
Exchange Act of 1934, as amended, the following Exhibits previously filed with
the Securities and Exchange Commission are incorporated by reference as Exhibits
to the Form 10-K:


<TABLE>
<CAPTION>
         Exhibit No.                Description
         -----------                -----------
<S>                                 <C>
              1                     Indenture dated as of July 1, 1988, between the Company,
                                    and the Trustee (incorporated by reference to Exhibit 4(a)
                                    of Registrant's Form 10-Q filed with the SEC on November
                                    11, 1988).


              2                     Underwriting Agreement dated as of July 28,
                                    1988, between the Company and Coughlin &
                                    Company (incorporated by reference to
                                    Exhibit 1(a) of Registrant's Form 10-Q filed
                                    with the SEC on November 11, 1988).


              3                     Series One Supplement dated as of July 1,
                                    1988, between the Company and the Bond
                                    Trustee (incorporated by reference to
                                    Exhibit 4(b) of Registrant's form 10-Q filed
                                    with the SEC on November 11, 1988).

             27                     Financial Data Schedule.
</TABLE>

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