<PAGE>   1



                UNITED STATES SECURITIES AND EXCHANGE COMMISSION

                              WASHINGTON, DC 20549

                                    FORM 10-Q


[X]      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

                  For the quarterly period ended March 31, 1999

                                       OR

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

             For the transition period from            to
                                            ----------    ----------

                        Commission File Number 000-23849
                                               ---------

                      UNION PLANTERS MORTGAGE FINANCE CORP.
             (Exact name of registrant as specified in its charter)


           Delaware                                        62-1712370
-------------------------------                ---------------------------------
(State or other Jurisdiction of                (IRS Employer Identification No.)
Incorporation or Organization)

                      Union Planters Administrative Center
                           7130 Goodlett Farms Parkway
                            Cordova, Tennessee 38018
                    ----------------------------------------
                   (Address of principal executive offices)

       Registrant's telephone number, including area code: (901) 580-6000
                                                           --------------

                                       N/A
                                  (former name)

Indicate by check mark whether the Registrant (i) 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 short period that the Registrant was
required to file such report), and (ii) has been subject to such filing
requirements for the past 90 days:

                                 Yes [X] No [ ]

As of March 31, 1999, the latest practicable date, there were 1,000 shares of
Union Planters Mortgage Finance Corp. common stock outstanding.

The registrant meets the conditions set forth in General Instruction H(1)(a) and
(b) of Form 10-Q and is therefore filing this Form 10-Q with the reduced
disclosure format.



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                      UNION PLANTERS MORTGAGE FINANCE CORP.


                                    FORM 10-Q



                                      INDEX


<TABLE>
<CAPTION>
                                                                             Page
                                                                             ----

PART I.    FINANCIAL INFORMATION

<S>   <C>                                                                    <C>
      Item 1.   Financial Statements

                Balance Sheet March 31, 1999 and December 31, 1998..............3

                Statement of Operations for the three months
                ended March 31, 1999 and 1998 ..................................4

                Statement of Changes in Shareholder's Equity
                for the three months ended March 31, 1999 and 1998 .............5

                Statement of Cash Flows for the three months
                ended March 31, 1999 and 1998 ..................................6

                Notes to Unaudited Financial Statements.........................7

      Item 2.   Management's Discussion and Analysis of
                Financial Condition and Results of Operations...................8

PART II.   OTHER INFORMATION

      Item 1.   Legal Proceedings...............................................9

      Item 5.   Other Information...............................................9

      Item 6.   Exhibits and Reports on Form 8-K................................9

      Signatures...............................................................11
</TABLE>



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                      UNION PLANTERS MORTGAGE FINANCE CORP.
                                  BALANCE SHEET
                                   (UNAUDITED)



<TABLE>
<CAPTION>
                                                                             MARCH 31,              DECEMBER 31,
                                                                                1999                    1998
                                                                        ---------------------   ---------------------
                                                                                   (DOLLARS IN THOUSANDS)

<S>                                                                     <C>                     <C>
Cash...............................................................         $    5,341              $      502
Deferred income taxes..............................................                142                      35
                                                                            ----------              ----------
          TOTAL ASSETS.............................................         $    5,483              $      537
                                                                            ==========              ==========

Accrued expenses...................................................         $      407              $      101
Tax and other payables to affiliates...............................              1,753                      --
                                                                            ----------              ----------
          TOTAL LIABILITIES........................................              2,160                     101
                                                                            ----------              ----------

Shareholder's equity
  Common stock, par value $.01 per share,
     1,000 shares authorized, issued, and outstanding..............                 --                      --
  Additional paid-in capital.......................................                 10                      10
  Retained earnings................................................              3,313                     426
                                                                            ----------              ----------
          TOTAL SHAREHOLDER'S EQUITY...............................              3,323                     436
                                                                            ----------              ----------
          TOTAL LIABILITIES AND SHAREHOLDER'S EQUITY...............         $    5,483              $      537
                                                                            ==========              ==========
</TABLE>

--------------------

The accompanying notes are an integral part of these financial statements.






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<PAGE>   4


                      UNION PLANTERS MORTGAGE FINANCE CORP.
                             STATEMENT OF OPERATIONS
                                   (UNAUDITED)



<TABLE>
<CAPTION>
                                                                                 THREE MONTHS ENDED
                                                                                      MARCH 31,
                                                                        --------------------------------------
                                                                              1999                 1998
                                                                        -----------------    -----------------
                                                                               (DOLLARS IN THOUSANDS)

<S>                                                                     <C>                  <C>
NONINTEREST INCOME
  Net gain on the sale of residential mortgages....................         $    4,442           $       --
                                                                            ----------           ----------

NONINTEREST EXPENSE
  Professional fees................................................                 --                   48
  Contracted clerical labor........................................                 --                   50
  Other............................................................                 --                   10
                                                                            ----------           ----------
                                                                                    --                  108
                                                                            ----------           ----------
          EARNINGS (LOSS) BEFORE INCOME TAXES......................              4,442                 (108)
Applicable income taxes............................................              1,555                   --
                                                                            ----------           ----------
         NET EARNINGS (LOSS) ......................................         $    2,887           $     (108)
                                                                            ==========           ==========
</TABLE>

--------------------

The accompanying notes are an integral part of these financial statements.






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<PAGE>   5


                      UNION PLANTERS MORTGAGE FINANCE CORP.
                  STATEMENT OF CHANGES IN SHAREHOLDER'S EQUITY
                                   (UNAUDITED)


<TABLE>
<CAPTION>
                                                                ADDITIONAL
                                             COMMON               PAID-IN             RETAINED
                                              STOCK               CAPITAL             EARNINGS               TOTAL
                                        ------------------   ------------------   ------------------   ------------------
                                                                     (DOLLARS IN THOUSANDS)

<S>                                     <C>                  <C>                  <C>                  <C>
BALANCE, JANUARY 1, 1999..........         $      --            $       10           $      426           $      436

Net earnings......................                --                    --                2,887                2,887
                                           ---------            ----------           ----------           ----------

BALANCE, MARCH 31, 1999...........         $      --            $       10           $    3,313           $    3,323
                                           =========            ==========           ==========           ==========
</TABLE>

--------------------

The accompanying notes are an integral part of these financial statements.












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                      UNION PLANTERS MORTGAGE FINANCE CORP.
                             STATEMENT OF CASH FLOWS
                                   (UNAUDITED)


<TABLE>
<CAPTION>
                                                                                   THREE MONTHS ENDED
                                                                                       MARCH 31,
                                                                         ---------------------------------------
                                                                              1999                   1998
                                                                         ----------------       ----------------
                                                                                 (DOLLARS IN THOUSANDS)
<S>                                                                      <C>                    <C>
OPERATING ACTIVITIES
  Net earnings (loss) .............................................          $    2,887             $     (108)
  Deferred income tax benefit......................................                (107)                    --
  Gain on sale of loans............................................              (4,442)                    --
  Net increase in other assets.....................................                  --                   (266)
  Net increase in other liabilities................................               2,059                    375
                                                                             ----------             ----------
          Net cash provided by operating activities................                 397                      1
                                                                             ----------             ----------

INVESTING ACTIVITIES
  Purchase of loans from parent company............................            (132,467)                    --
  Proceeds from sale of loans to a trust...........................             136,909                     --
                                                                             ----------             ----------
          Net cash provided by investing activities................               4,442                     --
                                                                             ----------             ----------

FINANCING ACTIVITIES
  Issuance of notes payable to parent company......................             132,467                     --
  Repayment of notes payable to parent company.....................            (132,467)                    --
                                                                             ----------             ----------
          Net cash used by financing activities....................                  --                     --
                                                                             ----------             ----------
Net increase in cash...............................................               4,839                      1
Cash at beginning of period........................................                 502                     10
                                                                             ----------             ----------
Cash at end of period..............................................          $    5,341             $       11
                                                                             ==========             ==========
</TABLE>

--------------------

The accompanying notes are an integral part of these financial statements.






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                      UNION PLANTERS MORTGAGE FINANCE CORP.
                          NOTES TO FINANCIAL STATEMENTS


NOTE 1.  BUSINESS AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

      USE OF ESTIMATES. The accounting and reporting policies of Union Planters
Mortgage Finance Corp. (the "Company") conform with generally accepted
accounting principles and general practice within the financial services
industry. The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes; actual results could differ from these estimates.

      BASIS OF PRESENTATION. The financial statements include the accounts of
the Company. The Company was established September 5, 1997 as a wholly owned,
limited-purpose finance subsidiary of Union Planters Bank, National Association
(the "Bank"), which in turn is a subsidiary of Union Planters Corporation
("UPC"). The Company was organized to facilitate the securitization of loans and
other assets through the issuance and sale of collateralized bonds and
pass-through securities through trusts established by the Company. Securities
issued through trusts will be secured primarily by residential mortgage loans
and mortgage-backed certificates of various types. These financial statements do
not include the accounts of the trusts established to carry out the issuance and
sale of collateralized bonds and pass-through securities.

NOTE 2.  SALE OF LOANS

      In February 1999, the Company securitized approximately $132 million in
principal amount of previously defaulted FHA insured and VA guaranteed mortgage
loans serviced by the Bank. The transaction was accounted for as a sale in
accordance with the provisions of Statement of Financial Accounting Standards
("SFAS") No. 125, "Accounting for Transfer and Servicing of Financial Assets and
Extinguishment of Liabilities." The following summarizes the gain:

<TABLE>
<S>                                              <C>
Proceeds from sale of loans...............       $  137,817
Principal balance of loans................         (132,467)
                                                 ----------
          Gain............................            5,350
Costs.....................................             (908)
                                                 ----------
          Net gain on the sale of loans...       $    4,442
                                                 ==========
</TABLE>

NOTE 3.  INCOME TAXES

      Income taxes are computed on a separate company basis. The Company will
file a consolidated federal income tax return with the Bank and UPC. Deferred
income taxes are provided in accordance with SFAS No. 109, "Accounting for
Income Taxes." The components of income tax expense (benefit) are as follows:

<TABLE>
<S>                                              <C>
Current...................................       $    1,662
Deferred..................................             (107)
                                                 ----------
          Total income tax expense........       $    1,555
                                                 ==========
</TABLE>

      The deferred tax asset is composed of accrued expenses that have not been
paid. The Company's effective tax rate does not differ from the federal
statutory rate of 35%.





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<PAGE>   8


ITEM 2.    MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
           RESULTS OF OPERATIONS



                      UNION PLANTERS MORTGAGE FINANCE CORP.
                     MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                  FINANCIAL CONDITION AND RESULTS OF OPERATIONS


      The following discussion and analysis should be read in conjunction with
the financial statements and related notes thereto.

GENERAL

      Union Planters Mortgage Finance Corp. (the "Company") was established
September 5, 1997 as a wholly owned, limited purpose, finance subsidiary of
Union Planters Bank, National Association (the "Bank"), which in turn is a
subsidiary of Union Planters Corporation. There was essentially no business
activity on the part of the Company until May 1998. The Company was organized to
facilitate the securitization of loans and other assets through the issuance and
sale of collateralized bonds and pass-through securities. Securities issued will
be secured primarily by residential mortgage loans and mortgage-backed
certificates of various types. In the future, the Company may finance other
types of loans and assets.

      In February 1999, the Company securitized approximately $132 million in
principal amount of previously defaulted FHA-insured and VA-guaranteed mortgage
loans serviced by the Bank. The loans securitized had a weighted-average
maturity of 222 months and a weighted-average interest rate of 9.67% per annum.
The loans will continue to be serviced by the Bank for a one percent fee.
Affiliates of the Company purchased all of the subordinated securities issued in
this transaction, with an approximate market value of $9.3 million. This
securitization, treated as a sale, resulted in a total gain of approximately
$5.4 million before costs and expenses. Securitization costs and expenses
accrued by the Company were approximately $954,000 and at March 31, 1999, the
balance of the accrual was $405,000. Securitization costs and expenses included
underwriting costs, legal and accounting fees, as well as cost to prepare,
record and deliver loan documents and files. Credit losses not covered by
insurance or guarantees are absorbed by subordinated security holders or, in
limited circumstances, the Bank as servicer. Therefore, the Company carries no
loan loss reserves.







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                      UNION PLANTERS MORTGAGE FINANCE CORP.

                           PART II - OTHER INFORMATION


ITEM 1 -- LEGAL PROCEEDINGS

           None.

ITEM 5 -- OTHER INFORMATION

           None.

ITEM 6 -- EXHIBITS AND REPORTS ON FORM 8-K

      (a)  EXHIBITS

<TABLE>
<S>   <C>
3.1      Certificate of Incorporation of the Registrant (Incorporated herein by
         reference to the Exhibits to Registrant's Registration Statement No.
         333-35471 on Form S-3, filed September 12, 1997).

3.2      Amended and Restated Bylaws of the Registrant (Incorporated herein by
         reference to the Exhibits to Pre-Effective Amendment No. 3 to the
         Registrant's Registration Statement No. 333-35471 on Form S-3, filed
         January 16, 1998).

4.1      Standard Terms to Pooling and Servicing Agreement (January 1998
         Edition) (Incorporated herein by reference to the Exhibits to
         Pre-Effective Amendment No. 3 to the Registrant's Registration
         Statement No. 333-35471 on Form S-3, filed January 16, 1998).

4.2      Form of Indenture between Registrant and Trustee (Incorporated herein
         by reference to the Exhibits to Pre-Effective Amendment No. 3 to the
         Registrant's Registration Statement No. 333-35471 on Form S-3, filed
         January 16, 1998).

4.3      Form of Trust Agreement between Registrant and Trustee (Incorporated
         herein by reference to the Exhibits to Pre-Effective Amendment No. 3 to
         the Registrant's Registration Statement No. 333-35471 on Form S-3,
         filed January 16, 1998).

4.4      Form of Deposit Trust Agreement between Registrant and Trustee
         (Incorporated herein by reference to the Exhibits to Pre-Effective
         Amendment No. 3 to the Registrant's Registration Statement No.
         333-35471 on Form S-3, filed January 16, 1998).

4.5      Standard Terms to Pooling and Servicing Agreement (May 1998 Edition)
         (Incorporated herein by reference to Exhibit to the Registrant's
         Current Report on Form 8-K, filed June 11, 1998).

4.6      Copy of the Series 1998-1 Pooling and Servicing Agreement, dated as of
         May 1, 1998, by and among the Registrant, Union Planters Bank, N.A., as
         Master Servicer, The Bank of New York, as Contract of Insurance Holder,
         and The Bank of New York, as Trustee (Incorporated herein by reference
         to Exhibit to the Registrant's Current Report on Form 8-K, filed June
         11, 1998).

4.7      Copy of Series 1999-1 Pooling and Servicing Agreement, dated as of
         February 1, 1999, by and among the Registrant, Union Planters Bank,
         N.A., as Master Servicer, and Contract of Insurance Holder, and The
         Bank of New York, as Trustee (Incorporated herein by reference to
         Exhibit to the Registrant's Current Report on Form 8-K, filed March 2,
         1999).

27       Financial Data Schedule (for SEC use only)
</TABLE>




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<PAGE>   10

<TABLE>
<S>      <C>
99.1     Form of Sales Agreement between the Registrant, as Purchaser, and the
         Seller (Incorporated herein by reference to the Exhibits to
         Pre-Effective Amendment No. 3 to the Registrant's Registration
         Statement No. 333-35471 on Form S-3, filed January 16, 1998).

99.2     Form of Supplemental Servicing Agreement (Incorporated herein by
         reference to the Exhibits to Pre-Effective Amendment No. 3 to the
         Registrant's Registration Statement No. 333-35471 on Form S-3, filed
         January 16, 1998).

(b)      REPORTS ON FORM 8-K

         1.       Form 8-K filed February 10, 1999 (Item 5).

         2.       Form 8-K filed February 19, 1999 (Item 5).

         3.       Form 8-K filed March 2, 1999 (Item 5, Item 7).
</TABLE>




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                                    SIGNATURE


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



                                     UNION PLANTERS MORTGAGE FINANCE CORP.
                                                 (REGISTRANT)


Date:   April 30, 1999         By:             /s/ Joel P. Katz
     ------------------            ---------------------------------------------
                                               Joel P. Katz
                                              President and
                                          Chief Executive Officer




                               By:            /s/ Mark Mosteller
                                  ---------------------------------------------
                                               Mark Mosteller
                                               Vice President
                                          (Principal Financial Officer)





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