<PAGE>   1
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                    FORM 10-Q

                   Quarterly Report under Section 13 or 15(d)
                     of the Securities Exchange Act of 1934


For Quarter Ended      September 30, 1997
                 --------------------------------------------------------------
Commission File Number 33-19863
                      ---------------------------------------------------------

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

       Colorado                                          84-1075984
------------------------                      ---------------------------------
(State of Incorporation)                      (IRS Employer Identification No.)

                  621 17th Street, Suite 1900, Denver, CO 80202
-------------------------------------------------------------------------------
              (Address and Zip Code of Principal Executive Offices)


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

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


                      APPLICABLE ONLY TO CORPORATE ISSUERS:

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

CLASS                      SHARES OUTSTANDING AT SEPTEMBER 30, 1997
-----                      ----------------------------------------

Common                                      1,000

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                                TABLE OF CONTENTS

PART I
------

<TABLE>
<CAPTION>
                                                                                    Page
                                                                                    ----
<S>               <C>                                                                <C>
Item 1.           Financial Statement

                  Balance Sheets as of December 31, 1996 and
                     September 30, 1997                                              
                                                                                      3

                  Statement of Cash Flows for the Periods
                     January 1, 1996 through September 30, 1996
                     and January 1, 1997 through September 30, 1997                   4

                  Notes to Financial Statements                                       5

Item 2.           Management's Discussion and Analysis of Financial
                     Condition and Results of Operations                              6


PART II
-------

Item 1.           Legal Proceedings                                                   7

Item 2.           Changes in Securities                                               7

Item 3.           Defaults Upon Senior Securities                                     7

Item 4.           Submission of Matters to a Vote of Security Holders                 7

Item 5.           Other Information                                                   7

Item 6.           Exhibits and Reports on Form 8-K                                    7

Signatures                                                                            8

Index to Exhibits                                                                     9
</TABLE>


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<PAGE>   3



                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY

                                 Balance Sheets
                    December 31, 1996 and September 30, 1997
                                   (Unaudited)



<TABLE>
<CAPTION>
                                 ASSETS
                                 ------
                                            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.


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                    MOUNTAIN STATES GUARANTY MORTGAGE COMPANY

                         Statement of Cash Flows for the
                           Periods January 1, 1996 to
                    September 30, 1996 and January 1, 1997 to
                               September 30, 1997
                                   (Unaudited)



<TABLE>
<CAPTION>
                                                                 1997            1996
                                                                 -----          -----
<S>                                                               <C>             <C>
Net Proceeds from issuance of collateralized
    mortgage obligations (including accrued
   
    interest) and sale of residual interest in bonds              $   0           $   0

Purchase price of Certificates (including
    accrued interest)                                                 0               0
                                                                 ------          ------
Net Increase in Cash                                                  0               0

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







See accompanying notes to financial statements.


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<PAGE>   5



                    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.

NOTE 2 - COLLATERALIZED MORTGAGE OBLIGATIONS

On July 28, 1988, the Company issued Bonds in the aggregate principal amount of
$20,000,000. The principal amounts outstanding at September 30, 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                          $  300,000                      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
                             ----------
                             $3,660,000
                             ==========
</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
September 30, 1997, is $3,655,000.

On March 28, 1989, the Company issued Bonds in the aggregate principal amount of
$20,000,000. The principal amounts outstanding at September 30, 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>
II-D                          $  828,000                     10.45                          03/01/2017
II-E                           2,025,000                     10.40                          04/01/2019
II-F                              14,000                     10.45                          04/01/2019
                              ----------
                              $2,867,000
                              ==========
</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
September 30, 1997, is $2,811,000.

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, and the 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.

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

General
-------

Mountain States Guaranty Mortgage Company is a corporation established under the
laws of Colorado on January 12, 1988. The Company was created for the sole
purpose of the issuance and sale of collateralized mortgage obligations (the
"Bonds") secured by mortgage-backed certificates (the "Certificates"). The Bonds
represent obligations solely of the Company.

Capital Resources and Liquidity
-------------------------------

The Company's sources of funds with respect to the payment of Bonds are receipts
of principal and interest payments on the related Certificates. It is
anticipated that payments of principal and interest on the Certificates
collateralizing the Bonds will provide sufficient funds for the payment of all
fees and expenses, including amounts necessary to make principal and interest
payments on the Bonds, and to retire the Bonds not later than their respective
stated maturities.

Results of Operations
---------------------

For the period ended September 30, 1997, the Company did not recognize any gains
on issuance of Bonds. Any excess of either receipts of principal and interest on
the related Certificates or debt service payments and other fees and expenses
will revert to the residual class of bondholders in each of the Series One,
Series Two, Series Three and Series Four Bonds and not to the Company.



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                                     PART II
                                     -------

Item 1.  Legal Proceedings

             None


Item 2.  Changes in Securities

             Not Applicable


Item 3.  Defaults upon Senior Securities

             Not Applicable


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

             Not Applicable


Item 5.  Other Information

             Not Applicable


Item 6.  Exhibits and Reports on Form 8-K

         a)         The exhibits required by this item and incorporated
                    herein by reference are listed in the accompanying
                    index (page 1 ) to exhibits.

         b)         There were no reports on Form 8-K filed by the
                    Company during the period covered by this report.


         27         Financial Data Schedule



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Signatures
----------

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 thereunto duly authorized.



    Registrant:            MOUNTAIN STATES GUARANTY MORTGAGE COMPANY


                           Mountain States Guaranty Mortgage Company



Dated:

October 31, 1997           By: /s/ Dennis F. Coughlin
                               ------------------------------------------------
                               Name:   Dennis F. Coughlin
                               Title:  President & Chief Executive Officer




Dated:

October 31, 1997           By: /s/ Harold C. Jones
                               ------------------------------------------------
                               Name:   Harold C. Jones
                               Title:  Treasurer & Chief Financial Officer


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                                INDEX TO EXHIBITS



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-Q:

Exhibit No.                        Description
-----------                        -----------

    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).

   27                   Financial Data Schedule

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