<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, 1997                                        33-19863
--------------------------                           -----------------------


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




621 17th Street, Suite 1900
Denver, Colorado                                            80293-0621
---------------------------                                 ----------
(Address of Principal                                       (Zip Code)
    Executive Offices)


Registrant's telephone number, including area code:        (303) 295-3000

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
       ---                                        ---


                                       1
<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, 1997.

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



                                       2
<PAGE>   3

ITEM 6.  SELECTED FINANCIAL DATA

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, 1997, 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%. (See Note 2 in Notes to Financial Statements for information on the
principal amounts of the Bonds outstanding at December 31, 1997, and the
interest rates and stated maturities of the Bonds).

         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 equalled 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, 1997 and 1996                 6
         Statements of Cash Flow for Years ended
              December 31, 1997, 1996 and 1995                        7
         Notes to Financial Statements                                8
</TABLE>



                                       4
<PAGE>   5

INDEPENDENT AUDITORS' REPORT




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


We have audited the accompanying balance sheets of Mountain States Guaranty
Mortgage Company as of December 31, 1997 and 1996 and the related statements of
cash flow for each of the three years in the period ended December 31, 1997.
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 audits.

We conducted our audits 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 audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material
respects, the financial position of the Company at December 31, 1997 and 1996,
and its cash flow for each of the three years in the period ended December 31,
1997, in conformity with generally accepted accounting principles.





/s/ DELOITTE & TOUCHE LLP

DELOITTE & TOUCHE LLP
Denver, Colorado
April 22, 1998




                                       5
<PAGE>   6

                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY

                                 BALANCE SHEETS
                           DECEMBER 31, 1997 AND 1996




                                     ASSETS

<TABLE>
<CAPTION>
                                             1997                      1996
                                             ----                      ----
<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.



                                       6
<PAGE>   7

                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY


                      STATEMENTS OF CASH FLOW FOR THE YEARS
                     ENDED DECEMBER 31, 1997, 1996 AND 1995


<TABLE>
<CAPTION>
                                           1997           1996          1995
                                           ----           ----          ----
<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.




                                       7
<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 Extinguishments of Liabilities",
effective for the transfers and servicing of financial assets and
extinguishments 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, 1997
financial statements or transactions entered into prior to December 31, 1996.

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, 1997, 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-D                221,000           9.40           04/01/2016
         I-F              1,982,000           9.40           08/01/2018
         I-G              1,378,000           9.40           08/01/2018
                         ----------
                         $3,581,000
                         ==========
</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, 1997, is $3,573,000. The Trustee is in possession of $8,000 which reduced
the Principal Amount of Bonds outstanding on January 1, 1998.

On March 28, 1989, the Company issued Bonds (the Series Two Bonds) in the
aggregate principal amount of $20,000,000. The principal amounts outstanding at
December 31, 1997, the interest rates and the stated maturities of the Bonds are
as follows:



                                       8
<PAGE>   9
                  MOUNTAIN STATES GUARANTY MORTGAGE COMPANY
<TABLE>
<CAPTION>
         CLASS          PRINCIPAL AMOUNT     INTEREST RATE    STATED MATURITY
         -----          ----------------     -------------    ---------------
         <S>                  <C>                <C>             <C>
         II-D                    766,000         10.45           03/01/2017
         II-E                  2,025,000         10.40           04/01/2019
         II-F                     14,000         10.45           04/01/2019
                              ----------
                              $2,805,000
                              ==========
</TABLE>


The Series Two Bonds are collateralized by Certificates having annual pass-
through rates of 10.5%. The par value of the Certificates outstanding at
December 31, 1997, is $2,713,000. The Trustee is in possession of $93,000 which
reduced the Principal Amount of Bonds outstanding on January 1, 1998.

The issuance of Series One and Two Bonds and related residual interests, 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 the Bonds and the related Certificates do not appear in the
accompanying balance sheets.

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

None



                                       9
<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.

<TABLE>
<S>                        <C>     <C>
Dennis F. Coughlin         54       Director/President
James M. Coughlin          62       Director
George F. Coughlin         59       Director
Harold C. Jones            43       Secretary/Treasurer
</TABLE>

DENNIS F. COUGHLIN, 54, 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, and a member of the
Board of Directors in 1987. 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, 62 is a Director of the Company. He has been President and
Director 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, 59, 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, 43, is Secretary/Treasurer of the Company. He has been
Treasurer of Coughlin & Company, Inc. since March, 1982, and has been on the
Executive Committee of Coughlin & Company since 1987. Mr Jones served as
Assistant Treasurer for Coughlin & Company from February 1981 to March, 1982. 



                                       10
<PAGE>   11

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%
621 17th Street, #1900             Common Stock
Denver, Co   80202

George G. Coughlin                  333 Shares                33.3%
621 17th Street, #1900             Common Stock
Denver, Co   80202

James M. Coughlin                   333 Shares                33.3%
621 17th Street, #1900             Common Stock
Denver, Co   80202
</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.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

         Refer to Note 2 on Page 8 of the Financial Statements.



                                       11
<PAGE>   12
                                     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, 1997 & 1996          6

                  Statements of Cash Flow for the Years ended         
                     December 31, 1997, 1996 and 1995                 7

                  Notes to Financial Statements                       8
</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 31, 1998



                           By:  Mountain States Guaranty Mortgage Company
                               ---------------------------------------------

                           By:  /s/ DENNIS F. COUGHLIN, 
                                --------------------------------------------

                         Name:  Dennis F. Coughlin
                                --------------------------------------------
                                
                        Title:  President
                                --------------------------------------------




                                       13
<PAGE>   14

                                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, 1822,
                           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).

              4            Series Two Supplement dated as of March 1, 1989,
                           between the Company and the Bond Trustee
                           (incorporated by reference to Exhibit 4(iii)(b) of
                           Registrant's form 10-Q filed with the SEC on April
                           10, 1989).

             27            Financial Data Schedule.
</TABLE>



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