<PAGE>   1

                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549


                                    FORM 10-K



(Mark One)

X        ANNUAL REPORT PURSUANT TO SECTION 13 OF THE SECURITIES EXCHANGE ACT OF
         1934 FOR THE YEAR ENDED JUNE 30, 1998

         TRANSITION REPORT PURSUANT TO SECTION 13 OF THE SECURITIES EXCHANGE ACT
         OF 1934 FOR THE TRANSITION PERIOD FROM ______________ TO _____________.




         AFG RECEIVABLES TRUST, 1995-A                   33-82064 
         AFG RECEIVABLES TRUST, 1996-A                   33-99536 
         AFG RECEIVABLES TRUST, 1996-B                   33-99536 
         AFG RECEIVABLES TRUST, 1996-C                   33-99536 
         AFG RECEIVABLES TRUST, 1996-D                   33-99536 
         -----------------------------                   -------- 
         Exact Name of registrant as specified          Commission
                  in its charter                        file number


          California                                     36-3792182
-------------------------------                      ---------------------
 State or other jurisdiction of                          IRS Employer
incorporation or organization                        Identification Number


                       Oakmont Circle 1, 601 Oakmont Lane
                          Westmont, Illinois 60559-5549
                          -----------------------------
                     (Address of Principal Executive Office)


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(c) 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
requirements for the last 90 days. X  Yes     No
                                  ---     ---

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained herein, to
the best of the registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part III of this Form 10-K or any
amendment to this Form 10-K. [X]



<PAGE>   2



                                     PART I.

ITEM 1.           BUSINESS

Each Trust was formed pursuant to a Pooling and Servicing Agreement between AFG
Receivables Corporation as Seller, AutoFinance Group, Inc. (now known as Key
Bank USA, National Association) as Servicer, and The Chase Manhattan Bank
(formerly known as Chemical Bank) as Trustee dated November 1, 1995 for Trust
1995-A, February 1, 1996 for Trust 1996-A, May 1, 1996 for Trust 1996-B, August
1, 1996 for Trust 1996-C and November 1, 1996 for Trust 1996-D. The Trusts have
each issued asset backed certificates. The Trusts include retail installment
contracts secured by new and used automobiles and light trucks.

ITEM 2.           PROPERTIES

The following table sets forth the aggregate information for the respective
Trusts for the period indicated:

TRUST 1995-A (July 1, 1997 through June 30, 1998)

<TABLE>

<S>                                                         <C>         
         Class A Certificate Balance                        $14,655,917 
         Class A Pass Through Rate                                 6.15%
         Class B Certificate Balance                        $   977,061 
         Class B Pass Through Rate                                 6.45%
         Class C Certificate Balance                        $   651,374 
         Subordinated Spread Account Balance                $ 2,000,236 
         Distributions Allocable to Principal               $21,396,798
         Distributions Allocable to Interest                $ 5,177,011 
         Servicing Fees Paid or accrued to Servicer         $   944,806 
         Net Losses                                         $ 1,833,653 
         Net Liquidation Proceeds Received                  $ 1,220,160 
         Number of Charged off Accounts                             577 
         Gross Principal Balance of Liquidated Accounts     $ 4,054,456 
         Recoveries of Previously Liquidated Contracts      $ 1,000,643 
         Average Annualized Net Loss Ratio                         6.29% 
         Number of Accounts in Repossession as of
            June 30, 1998                                            34
</TABLE>

<TABLE>
<CAPTION>

                                                   Number of           Dollar
                                                   Contracts           Amount
                                                   ---------           ------
<S>                                                  <C>                <C>  
         Average Delinquency Ratios
                  30-59 Days Delinquent              2.58%              2.50%
                  60-89 Days Delinquent               .00%               .00%
                  90 Days and Over                    .00%               .00%
</TABLE>












                                     Page 1


<PAGE>   3


ITEM 2.(continued) PROPERTIES

TRUST 1996-A (July 1, 1997 through June 30, 1998)

<TABLE>

<S>                                                           <C>        
         Class A Certificate Balance                          $ 9,235,238
         Class A Pass Through Rate                                   5.45%
         Class B Certificate Balance                          $   554,114
         Class B Pass Through Rate                                   5.80%
         Class C Certificate Balance                          $   369,410
         Subordinated Spread Account Balance                  $   923,524
         Distributions Allocable to Principal                 $ 9,860,512
         Distributions Allocable to Interest                  $ 2,721,926
         Servicing Fees Paid or accrued to Servicer           $   494,515
         Net Losses                                           $ 1,103,556
         Net Liquidation Proceeds Received                    $   770,049
         Number of Charged off Accounts                               293
         Gross Principal Balance of Liquidated Accounts       $ 2,316,497
         Recoveries of Previously Liquidated Contracts        $   442,892
         Average Annualized Net Loss Ratio                           7.17%
         Number of Accounts in Repossession as of
            June 30, 1998                                              17
</TABLE>

<TABLE>
<CAPTION>

                                                       Number of       Dollar
                                                       Contracts       Amount
                                                       ---------       ------
<S>                                                      <C>            <C> 
         Average Delinquency Ratios
                  30-59 Days Delinquent                  2.77%          2.76%
                  60-89 Days Delinquent                   .00%           .00%
                  90 Days and Over                        .00%           .00%
</TABLE>

TRUST 1996-B (July 1, 1997 through June 30, 1998)

<TABLE>

<S>                                                           <C>          
         Class A Certificate Balance                          $ 12,309,222 
         Class A Pass Through Rate                                    6.60%
         Class B Certificate Balance                          $    691,529 
         Class B Pass Through Rate                                    7.05%
         Class C Certificate Balance                          $    829,835 
         Subordinated Spread Account Balance                  $  1,659,670 
         Distributions Allocable to Principal                 $ 13,738,153
         Distributions Allocable to Interest                  $  3,907,491 
         Servicing Fees Paid or accrued to Servicer           $    722,384 
         Net Losses                                           $  1,726,738 
         Net Liquidation Proceeds Received                    $  1,261,307 
         Number of Charged off Accounts                                423 
         Gross Principal Balance of Liquidated Accounts       $  3,647,778 
         Recoveries of Previously Liquidated Contracts        $    656,733 
         Average Annualized Net Loss Ratio                            7.95% 
         Number of Accounts in Repossession as of
             June 30, 1998                                              28
</TABLE>

<TABLE>
<CAPTION>

                                                       Number of       Dollar
                                                       Contracts       Amount
                                                       ---------       ------
<S>                                                      <C>            <C> 
         Average Delinquency Ratios
                  30-59 Days Delinquent                  2.79%          2.93%
                  60-89 Days Delinquent                   .00%           .00%
                  90 Days and over                        .00%           .00%

</TABLE>
                                     Page 2


<PAGE>   4



ITEM 2.  (continued)       PROPERTIES

TRUST 1996-C (July 1, 1997 through June 30, 1998)

<TABLE>
<CAPTION>

<S>                                                       <C>         
         Class A Certificate Balance                      $18,698,407 
         Class A Pass Through Rate                               6.45%
         Class B Certificate Balance                      $ 1,050,472 
         Class B Pass Through Rate                               6.95%
         Class C Certificate Balance                      $ 1,260,567 
         Subordinated Spread Account Balance              $ 3,000,447 
         Distributions Allocable to Principal             $18,145,778
         Distributions Allocable to Interest              $ 5,694,168 
         Servicing Fees Paid or accrued to Servicer       $ 1,056,416 
         Net Losses                                       $ 2,971,791 
         Net Liquidation Proceeds Received                $ 2,173,156 
         Number of Charged off Accounts                           640 
         Gross Principal Balance of Liquidated Accounts   $ 6,008,439 
         Recoveries of Previously Liquidated Contracts    $   863,491 
         Average Annualized Net Loss Ratio                       9.43% 
         Number of Accounts in Repossession as of
            June 30, 1998                                          36
</TABLE>

<TABLE>
<CAPTION>

                                                      Number of        Dollar
                                                      Contracts        Amount
                                                      ---------        ------
<S>                                                     <C>            <C>  
         Average Delinquency Ratios
                  30-59 Days Delinquent                 2.13%          2.29%
                  60-89 Days Delinquent                  .00%           .00%
                  90 Days and Over                       .00%           .00%
</TABLE>

TRUST 1996-D (July 1, 1997 through June 30, 1998)

         Class A Certificate Balance                      $28,314,722 
         Class A Pass Through Rate                               6.10%
         Class B Certificate Balance                      $ 1,590,715 
         Class B Pass Through Rate                               6.65%
         Class C Certificate Balance                      $ 1,908,858 
         Subordinated Spread Account Balance              $ 3,516,075 
         Distributions Allocable to Principal             $24,436,550
         Distributions Allocable to Interest              $ 8,305,008 
         Servicing Fees Paid or accrued to Servicer       $ 1,549,012 
         Net Losses                                       $ 4,519,576 
         Net Liquidation Proceeds Received                $ 3,105,757 
         Number of Charged off Accounts                           912 
         Gross Principal Balance of Liquidated Accounts   $ 8,865,008 
         Recoveries of Previously Liquidated Contracts    $ 1,239,675 
         Average Annualized Net Loss Ratio                       9.93% 
         Number of Accounts in Repossession as of
            June 30, 1998                                          66

<PAGE>   5
<TABLE>
<CAPTION>

                                                      Number of        Dollar
                                                      Contracts        Amount
                                                      ---------        ------
<S>                                                     <C>            <C>  
         Average Delinquency Ratios
                  30-59 Days Delinquent                 2.98%          2.98%
                  60-89 Days Delinquent                  .00%           .00%
                  90 Days and over                       .00%           .00%
</TABLE>



                                     Page 3
<PAGE>   6


ITEM 3.          LEGAL PROCEEDINGS

Nothing to report.

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

Nothing to report.

                                    PART II.

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

There were 18 and 1 holders of record for the Class A and Class B Certificates,
respectively, of Trust 1995-A. There were 2 and 1 holders of record for the
Class A and Class B Certificates, respectively, of Trust 1996-A. There were 10
and 1 holders of record for the Class A and Class B Certificates, respectively,
of Trust 1996-B. There was 1 holder of record for both the Class A and Class B
Certificates of Trust 1996-C. There were 13 and 1 holders of record for both the
Class A and Class B Certificates, respectively, of Trust 1996-D.

There is no established public trading market for any of the certificates.


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

Nothing to report.


                                    PART III


ITEM 12.         SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT.

<TABLE>
<CAPTION>

                              Name and           Amount and Nature
     Title of          Address of Beneficial  of Beneficial Ownership  Percent of
      Class                    Owner             (in thousands)          Class
-------------------    ---------------------  -----------------------  ----------

<S>                   <C>                              <C>                 <C>
Trust 1995-A           Bank of New York                $ 5,710             39%
6.15% Asset Backed     925 Patterson Plank Rd
Certificates, Class A  Secaucus, NJ  07094

                       UMB Bank, N.A.                  $ 3,582             24%
                       P.O. Box 419260
                       Kansas City, OH 64141

                       Chase Manhattan Bank            $ 1,863             13%
                       4 New York Plaza
                       New York, NY  10004

</TABLE>

                                     Page 4


<PAGE>   7


ITEM 12. (continued)

<TABLE>
<CAPTION>

                              Name and           Amount and Nature
     Title of          Address of Beneficial  of Beneficial Ownership  Percent of
      Class                    Owner             (in thousands)          Class
-------------------    ---------------------  -----------------------  ----------

<S>                    <C>                           <C>                    <C>
Trust 1995-A           State Street Bank and         $  1,509               10%
6.15% Asset Backed        Trust Company
Certificates, Class A  P.O. Box 1631
(continued)            Boston, MA  02105

                       Northern Trust Co.            $  1,107                8%
                       801 S. Canal
                       Chicago, IL  60607

Trust 1995-A           State Street Bank and         $    977              100%
6.45% Asset Backed       Trust Company
Certificates, Class B  P.O. Box 1631
                       Boston, MA  02105

Trust 1996-A           Bank of New York              $  6,003               72%
5.45% Asset Backed     925 Patterson Plank Rd
Certificates, Class A  Secaucus, NJ  07094

                       Chase Manhattan  Bank         $  2,308               28%
                       4 New York Plaza
                       New York, NY  10004

Trust 1996-A           Brown Brothers Harriman       $    554              100%
5.80% Asset Backed     63 Wall Street, 8th Floor    
Certificates, Class B  New York, NY  10005          
                                                    
Trust 1996-B           Bank of New York              $  6,932               56%
6.60% Asset Backed     925 Patterson Plank Rd       
Certificates, Class A  Secaucus, NJ  07094          
                                                    
                       Chase Manhattan Bank          $  3,429               28%
                       4 New York Plaza             
                       New York, NY  10004          
                                                    
                       Bank of America               $    832                7%
                         Personal Trust             
                       555 S. Flower St.            
                       Los Angeles, CA  90071       
                                                    
Trust 1996-B           State Street Bank and         $    691              100%
7.05% Asset Backed        Trust Company             
Certificates, Class B  P.O. Box 1631                
                       Boston, MA  02105            
                                                    
Trust 1996-C           Bank of New York              $ 18,698              100%
6.45% Asset Backed     925 Patterson Plank Rd.      
Certificates, Class A  Secaucus, NJ  07094          
</TABLE>

                                                    
                                     Page 5





<PAGE>   8

ITEM 12. (continued)

<TABLE>
<CAPTION>

                              Name and           Amount and Nature
     Title of          Address of Beneficial  of Beneficial Ownership  Percent of
      Class                    Owner             (in thousands)          Class
-------------------    ---------------------  -----------------------  ----------


<S>                    <C>                          <C>                    <C> 
Trust 1996-C           First National Bank of       $  1,050               100%
6.95% Asset Backed        Maryland
Certificates, Class B  25 S. Charles Street
                       Baltimore, MD  21201

Trust 1996-D           Bank of New York             $ 13,562                47%
6.10% Asset Backed     925 Patterson Plank Rd.
Certificates, Class A  Secaucus, NJ  07094

                       Boston Safe Deposit          $  8,613                30%
                        c/o Mellon Bank N.A.
                       Three Mellon Bank Center
                       Pittsburgh, PA  15259

                       Northern Trust Co.           $  2,407                 9%
                       801 S. Canal
                       Chicago, IL  60607


Trust 1996-D           First National Bank of       $  1,591               100%
6.65% Asset Backed         Maryland
Certificates, Class B  25 S. Charles Street
                       Baltimore, MD  21201
</TABLE>



ITEM 13.         CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

Nothing to report.


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

                 (a)(1)  FINANCIAL STATEMENTS

                 Not applicable.

                 (a)(2)  FINANCIAL STATEMENT SCHEDULES

                 Not applicable.





                                     Page 6








<PAGE>   9

Item 14. (continued)

                  (a) (3)  EXHIBITS

<TABLE>
<CAPTION>

                  Designation                     Description                      Method of Filing
                  -----------                     -----------                      ----------------

<S>                                         <C>                                 <C>  
                  Exhibit 19.1              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period July 1 -             AFG Receivables Corp.
                                            to July 31, 1997                    Current Report on Form
                                                                                8-K dated August 27,
                                                                                1997 and incorporated
                                                                                herein by reference

                  Exhibit 19.2              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period August 1 -           AFG Receivables Corp.
                                            to August 31, 1997                  Current Report on Form
                                                                                8-K dated September 24,
                                                                                1997 and incorporated
                                                                                herein by reference.

                  Exhibit 19.3              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period September 1-         AFG Receivables Corp.
                                            to September 30, 1997               Current Report on Form
                                                                                8-K dated October 29,
                                                                                1997 and incorporated
                                                                                herein by reference.

                  Exhibit 19.4              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period October 1-           AFG Receivables Corp.
                                            to October 31, 1997                 Current Report on Form
                                                                                8-K dated November 20,
                                                                                1997 and incorporated
                                                                                herein by reference.

                  Exhibit 19.5              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period November 1-          AFG Receivables Corp.
                                            to November 30, 1997                Current Report on Form
                                                                                8-K dated December 26,
                                                                                1997 and incorporated
                                                                                herein by reference

                  Exhibit 19.6              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period December 1-          AFG Receivables Corp.
                                            to December 31, 1997                Current Report on Form
                                                                                8-K dated January 28,
                                                                                1998 and incorporated 
                                                                                herein by reference.
</TABLE>




                                     Page 7





<PAGE>   10

Item 14. (continued)

<TABLE>
<CAPTION>

                  Designation                     Description                      Method of Filing
                  -----------                     -----------                      ----------------

<S>                                         <C>                                 <C>  
                  Exhibit 19.7              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period January 1-           AFG Receivables Corp.
                                            to January 31, 1998                 Current Report on Form
                                                                                8-K dated February 23,
                                                                                1998 and incorporated
                                                                                herein by reference.

                  Exhibit 19.8              Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period February 1-          AFG Receivables Corp.
                                            to February 28, 1998                Current Report on Form
                                                                                8-K dated March 25,
                                                                                1998 and incorporated
                                                                                herein by reference.

                  Exhibit 19.9              Notification of change              AFG Receivables Corp.
                                            in Servicer as of                   Current Report on Form
                                            April 1, 1998                       8-K dated April 2,
                                                                                1998 and incorporated
                                                                                herein by reference

                  Exhibit 19.10             Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period March 1-             AFG Receivables Corp.
                                            to March 31, 1998                   Current Report on Form
                                                                                8-K dated April 29,
                                                                                1998 and incorporated
                                                                                herein by reference..

                  Exhibit 19.11             Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period April 1-             AFG Receivables Corp.
                                            to April 30, 1998                   Current Report on Form
                                                                                8-K dated May 26,
                                                                                1998 and incorporated
                                                                                herein by reference.

                  Exhibit 19.12             Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period May 1-               AFG Receivables Corp.
                                            to May 31, 1998                     Current Report on Form
                                                                                8-K dated June 26,
                                                                                1998 and incorporated
                                                                                herein by reference.

                  Exhibit 19.13             Monthly Servicing Report -          Filed as Exhibit 20 to
                                            for the period June 1-              AFG Receivables Corp.
                                            to June 30, 1998                    Current Report on Form
                                                                                8-K dated July 27,
                                                                                1998 and incorporated
                                                                                herein by reference.
</TABLE>


                                     Page 8
<PAGE>   11
ITEM 14. (continued)

<TABLE>
<CAPTION>

                  Designation                     Description                      Method of Filing
                  -----------                     -----------                      ----------------


<S>                                         <C>                                 <C>  
                  Exhibit 99.1              Officers Certificate dated as       Filed with this report.
                                            of June 30, 1998

                  Exhibit 99.2              Report of Independent               Filed with this report.
                                            Accountants on internal
                                            control over securitized
                                            receivables.

                  Exhibit 99.3              Management's Report on              Filed with this report
                                            Internal Control over
                                            Securitized Receivables
</TABLE>


                                   SIGNATURES

Pursuant to the requirements of Section 13 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.

Date: September 25, 1998      AFG Receivables Trust, 1995-A
                              AFG Receivables Trust, 1996-A
                              AFG Receivables Trust, 1996-B
                              AFG Receivables Trust, 1996-C
                              AFG Receivables Trust, 1996-D


                              By: Key Bank USA, National Association, successor 
                                   to AutoFinance Group, Inc., as servicer

                              By: /s/ Thomas R. Blend
                                  ------------------------------
                              Name:  Thomas R. Blend
                              Title: Vice President
















                                     Page 9