UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549

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

                                    FORM 10-Q

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


      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
      EXCHANGE ACT OF 1934
                 For the quarterly period ended March 31, 2005

                        For the transition period from to
                        Commission File Number 000-23745

                              BNP US FUNDING L.L.C.
             (Exact name of registrant as specified in its charter)


Delaware                                                 13-3972207
(State or other jurisdiction of                          (I.R.S. Employer
incorporation or organization)                           Identification No.)


787 Seventh Avenue New York, NY                          10019
(Address of principal executive offices)                 (Zip Code)

                                 (212) 841-2000
              (Registrant's telephone number, including area code)

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 twelve 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 past ninety days. Yes |X| No |_|

Indicate by check mark whether the registrant is an accelerated filer (as
defined in Rule 12b-2 of the Exchange Act). Yes |_| No |X|

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

All outstanding shares of Common Stock were held by BNP Paribas at March 31,
2005.

The number of shares outstanding of each of the issuer's classes of common
stock, as of the close of business on May 16, 2005, were as follows:

Class                                                    Number of Shares
Common Stock, $10,000 per share par value                53,011

<PAGE>
                                 Form 10-Q Index

PART I
                                                                          PAGE
                                                                          ----
 Item 1:  Financial Statements (Unaudited)
          Balance Sheets                                                     3
          Statements of Income                                               4
          Statements of Comprehensive Income (Loss)                          5
          Statements of Cash Flows                                           6
          Notes to Financial Statements                                      7

 Item 2:  Management's Discussion and Analysis of Financial Condition
          and Results of Operations                                         14

 Item 3:  Quantitative and Qualitative Disclosures about Market Risk        18

 Item 4:  Controls and Procedures                                           22


PART II

 Item 1:  Legal Proceedings                                                 22

 Item 2:  Unregistered Sales of Equity Securities and Use of Proceeds       22

 Item 3:  Defaults Upon Senior Securities                                   22

 Item 4:  Submission of Matters to a Vote Security Holders                  22

 Item 5:  Other Information                                                 22

 Item 6:  Exhibits                                                          22

<PAGE>

Part I
Item 1.
FINANCIAL STATEMENTS

<TABLE>
                                   BNP U.S. FUNDING L.L.C.

                                       BALANCE SHEETS
                            (in thousands, except per share data)


                                                        March 31, 2005    December 31, 2004
                                                         (unaudited)          (audited)
                                                        --------------    -----------------
<S>                                                     <C>               <C>
ASSETS

Cash and cash equivalents                                    $ 24,528          $ 112,207

Certificates of deposits                                      120,000                  -

Investment securities (Notes 3 and 4)
Available-for-sale, at fair value                             930,371            986,218

Receivable arising from payment for securities,
     pursuant to the application of SFAS 125, as
     replaced by SFAS 140 (Note 3)                             19,582             20,869

Accounts receivable                                                26                 27

Accrued interest receivable                                     8,003              8,531
                                                        --------------     --------------


TOTAL ASSETS                                              $ 1,102,510        $ 1,127,852
                                                        ==============     ==============

LIABILITIES

Accrued interest payable                                        $ 834            $ 2,749
Accrued expenses                                                  434                338
Other liabilities                                              52,252             75,415
                                                        --------------     --------------

TOTAL LIABILITIES                                              53,520             78,502
                                                        --------------     --------------

Redeemable common securities, par value and
     redeemable value $10,000 per security; 150,000
     securities authorized, 53,011 securities
     issued and outstanding                                   530,110            530,110
Preferred securities, liquidation preference $10,000
     per security; 150,000 securities authorized,
     50,000 securities issued and outstanding                 500,000            500,000
Additional paid-in capital                                        651                651
Accumulated other comprehensive income                         10,737             16,830
Retained earnings                                               7,492              1,759
                                                        --------------     --------------

TOTAL REDEEMABLE COMMON SECURITIES,
     PREFERRED SECURITIES AND
     SECURITYHOLDERS' EQUITY                                1,048,990          1,049,350
                                                        --------------     --------------

TOTAL LIABILITIES AND TOTAL REDEEMABLE
     COMMON SECURITIES, PREFERRED
     SECURITIES AND SECURITYHOLDERS' EQUITY               $ 1,102,510        $ 1,127,852
                                                        ==============     ==============
</TABLE>


See Notes to Financial Statements.

<PAGE>

<TABLE>
                                   BNP U.S. FUNDING L.L.C.

                              STATEMENTS OF INCOME (UNAUDITED)
                            (in thousands, except per share data)


                                                      For the Three Months Ended March 31,
                                                      ------------------------------------
INTEREST INCOME                                               2005              2004
                                                        --------------    --------------
<S>                                                     <C>               <C>
Collateralized Mortgage Obligations:
     Floating-Rate REMICs                                 $        36        $        34
     Fixed-Rate REMICs                                            195                 29
Mortgage Backed Securities:
     Agency ARMs                                                   80                109
     Agency Hybrid ARMs                                           162                198
     Agency DUSs                                                2,023              1,272
Agency Debentures                                               2,451              4,299
Interest on deposits                                              834                 65
                                                        --------------     --------------

Total                                                           5,781              6,006
                                                        --------------     --------------

NONINTEREST INCOME (EXPENSE)

Other financial instrument                                        299               (453)
Fees and expenses                                                (348)              (317)
                                                        --------------     --------------
                                                                  (49)              (770)
                                                        --------------     --------------


NET INCOME APPLICABLE TO PREFERRED AND
     REDEEMABLE COMMON SECURITIES                         $     5,732        $     5,236
                                                        ==============     ==============

NET INCOME PER REDEEMABLE
     COMMON SECURITY                                      $    108.13        $     98.77
                                                        ==============     ==============



See Notes to Financial Statements.
</TABLE>

<PAGE>

<TABLE>
                                   BNP U.S. FUNDING L.L.C.

                    STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (UNAUDITED)
                                       (in thousands)


                                                      For the Three Months Ended March 31,
                                                      ------------------------------------
NET INCOME                                                   2005              2004
                                                        --------------    --------------
<S>                                                     <C>               <C>
NET INCOME                                                $     5,732        $     5,236


OTHER COMPREHENSIVE INCOME (LOSS)

Net change in unrealized gain in fair value of
    available-for-sale securities that are not
    treated as collateral and that are not hedged
    by derivative instruments                                  (6,094)             3,766
                                                        --------------     --------------

TOTAL OTHER COMPREHENSIVE INCOME (LOSS)                        (6,094)             3,766
                                                        --------------     --------------


COMPREHENSIVE INCOME (LOSS)                               $      (362)       $     9,002
                                                        ==============     ==============



See Notes to Financial Statements.
</TABLE>

<PAGE>

<TABLE>
                                   BNP U.S. FUNDING L.L.C.

                            STATEMENTS OF CASH FLOWS (UNAUDITED)
                                       (in thousands)


                                                      For the Three Months Ended March 31,
                                                      ------------------------------------
OPERATING ACTIVITIES                                         2005              2004
                                                        --------------    --------------
<S>                                                     <C>               <C>
Net income                                                $     5,732        $     5,236
Adjustments to reconcile net income to net cash
  provided by operating activities:
     Amortization                                                 171                227
     (Gain) loss on other financial instrument                   (299)               453
     (Gain) loss on hedge activity                              2,551               (181)
Changes in assets and liabilities:
     Interest receivable                                          528                647
     Accounts receivable                                            1                (43)
     Accrued expenses                                              97                115
     Accrued interest payable                                  (1,915)            (1,687)
                                                        --------------     --------------
Net cash provided by operating activities                       6,866              4,767
                                                        --------------     --------------

INVESTING ACTIVITIES

Purchase of certificates of deposits                         (120,000)                 -
Proceeds from principal payments of securities,
   not treated as collateral                                   24,187              3,255
Proceeds from principal payments of securities,
  treated as collateral                                         1,268              3,297
                                                        --------------     --------------
Net cash provided by (used in) investing activities           (94,545)             6,552
                                                        --------------     --------------


NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS          (87,679)            11,319

CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                112,207             25,181
                                                        --------------     --------------

CASH AND CASH EQUIVALENTS, END OF PERIOD                  $    24,528        $    36,500
                                                        ==============     ==============

NONCASH FINANCING AND INVESTING ACTIVITIES

Decrease in receivable arising from payment for
  securities, pursuant to the application of SFAS 125,
  as replaced by SFAS 140 (Note 3)                        $     1,268        $     3,356


See Notes to Financial Statements.

</TABLE>

<PAGE>

UNAUDITED

NOTE 1--ORGANIZATION AND BASIS OF PRESENTATION

BNP U.S. Funding L.L.C. (the "Company" or the "Registrant") is a Delaware
limited liability company formed on October 14, 1997, for the purpose of
acquiring and holding certain types of eligible securities that generate net
income for distribution to the holders of its Series A Preferred Securities (as
defined below) and its redeemable Common Securities (as defined below). The
Company has no subsidiaries and is a wholly owned subsidiary of the New York
Branch (the "Branch") of BNP PARIBAS (formerly, Banque Nationale de Paris), a
societe anonyme or limited liability corporation organized under the laws of the
Republic of France (the "Bank", "BNP PARIBAS" or "BNPP"). The Company was
continued pursuant to the Amended and Restated Limited Liability Company
Agreement of the Company (the "Company's Charter" or the "Charter") entered into
on December 5, 1997, by the Branch.

The Company was initially capitalized on October 14, 1997, with the issuance to
the Branch of one share of the Company's redeemable common securities, $10,000
par value (the "Common Securities"). On December 5, 1997 (inception), the
Company commenced operations concurrent with the issuance of 50,000
noncumulative preferred securities, Series A, liquidation preference $10,000 per
security (the "Series A Preferred Securities"), to qualified institutional
buyers, and the issuance of an additional 53,010 Common Securities to the
Branch. These issuances raised in the aggregate $1,030,115,873 of net capital
(including $5,873 of additional paid-in capital). This entire amount was used to
acquire a portfolio of debt securities (the "Initial Portfolio") at their fair
values from the Branch. The Branch contributed additional paid-in capital of
$3,000,000, $5,500,000, $7,500,000, $8,500,000, $6,800,000 on December 3, 2002,
June 3, 2003, December 3, 2003, June 3, 2004 and December 2, 2004, respectively.

The Company entered into a services agreement (the "Services Agreement") with
the Branch on December 5, 1997, pursuant to which the Branch maintains the
securities portfolio of the Company (the "Portfolio") and performs other
administrative functions. The Company has no employees. All of the Company's
officers are officers or employees of the Branch or the Bank or their
affiliates. The securities in the Portfolio are held by Citibank N.A., acting as
trustee (the "Trustee") under the trust agreement between the Company and
Citibank N.A. dated December 1, 1997 (the "Trust Agreement").

The accounting and financial reporting policies of the Company conform to U.S.
generally accepted accounting principles (the "GAAP") and current industry
practices. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make certain estimates and
assumptions that affect the reported amounts and disclosures and may vary from
actual results.

The accompanying financial statements are unaudited but, in the opinion of
management, contain all the adjustments (consisting of those of a normal
recurring nature) considered necessary to present fairly the financial position
and the results of operations and cash flows for the periods presented in
conformity with GAAP applicable to interim periods. The accompanying financial
statements should be read in conjunction with the audited financial statements
of BNP US Funding L.L.C reported in Form 10-K for the year ended December 31,
2004, filed on March 31, 2005.

NOTE 2--SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

INVESTMENT SECURITIES

Investments in debt securities are classified as available-for-sale (recorded on
a trade-date basis) and are carried at fair value. The debt securities can be
categorized as hedged or non-hedged securities. Fair values of non-hedged debt
securities are estimated based on quoted market price for these securities. For
the hedged securities, changes in the fair market value of both the securities
and the derivatives used as hedging instruments (cross currency and interest
rate swaps) are reported in current earnings in the Statements of Income,
pursuant to application of SFAS 133, (see below, "Accounting for Derivatives and
Hedging Activities"). Unrealized gains and losses on the non-hedged securities
are reported as a component of "Other Comprehensive Income (Loss)". The hedged
securities are generally valued using discounted cash flows in a yield-curve
model based on LIBOR.

Interest on securities is included in interest income and is recognized using
the interest method. Premiums and discounts are amortized in a manner that
approximates the constant yield method.

ACCOUNTING FOR DERIVATIVES AND HEDGING ACTIVITIES

Statement of Financial Accounting Standards No. 133 ("SFAS 133"), "Accounting
for Derivative Instruments and Hedging Activities", requires that an entity
measure all derivatives at fair value and recognize those derivatives as either
assets or liabilities on the balance sheet. The change in the derivative's fair
value is generally to be recognized in current period earnings. However, if
certain conditions are met, a derivative may be specifically designated as a
hedge of an exposure to changes in fair value, variability of cash flows, or
certain foreign currency exposures.

The Company has made an assessment of all its financial instruments and
concluded that it holds freestanding derivative instruments but no embedded
derivative instruments at March 31, 2005. As part of its asset management
activities the Company uses foreign exchange and interest rate swaps to modify
the interest rate and foreign exchange characteristics of existing assets. The
interest rate swaps have a high correlation between the instrument and the asset
being hedged, both at inception and throughout the hedge period.

CASH AND CASH EQUIVALENTS

The Company considers all highly liquid investments with a maturity of three
months or less at acquisition date to be cash equivalents.

CERTIFICATES OF DEPOSITS

The Company has four certificates of deposits stated at cost that mature in less
than six months.

DIVIDENDS

Dividends on the Series A Preferred Securities, when, as and if declared by the
Company's Board of Directors, are payable semi-annually in arrears on a
non-cumulative basis on the fifth day of June and December of each year,
commencing June 5, 1998, at a rate per annum of 7.738% of the liquidation
preference through and including December 5, 2007. Thereafter, dividends, when,
as and if declared by the Company's Board of Directors, will be payable
quarterly in arrears on the third Wednesday of March, June, September, and
December of each year and will be calculated on a weekly basis in each quarter
at a rate per annum of the liquidation preference equal to 2.8% per annum above
one-week LIBOR for the week concerned as determined on the related LIBOR
Determination Date. Holders of Common Securities are entitled to receive
dividends when, as and if declared by the Company's Board of Directors out of
the Company's net income not required to be applied to fund dividends with
respect to the Series A Preferred Securities. Dividends to the Preferred
Securityholders may be paid out of (i) net income, determined without regard to
capital gains or losses, and or (ii) amounts contributed by the Bank or the
Branch to the Company's capital. As of March 31, 2005, the Branch has
contributed a total of $31,300,000 of additional paid-in capital, which was used
to facilitate the semi-annual payments of dividends to the holders of the Series
A Preferred Securities.

To date, the Company has declared and paid dividends as follows:



Security                                       Amount              Date Paid
-----------------------------               ------------       -----------------
Series A Preferred Securities               $ 19,345,000       June 5, 1998
Common Securities                           $  5,347,365       June 22, 1998
Series A Preferred Securities               $ 19,345,000       December 5, 1998
Common Securities                           $  8,787,127       December 15, 1998
Series A Preferred Securities               $ 19,345,000       June 5, 1999
Common Securities                           $  8,454,284       June 15, 1999
Series A Preferred Securities               $ 19,345,000       December 5, 1999
Common Securities                           $ 10,352,672       December 15, 1999
Series A Preferred Securities               $ 19,345,000       June 5, 2000
Common Securities                           $ 12,508,486       June 19, 2000
Series A Preferred Securities               $ 19,345,000       December 5, 2000
Common Securities                           $ 14,792,297       December 19, 2000
Series A Preferred Securities               $ 19,345,000       June 5, 2001
Common Securities                           $ 10,718,708       June 19, 2001
Series A Preferred Securities               $ 19,345,000       December 5, 2001
Series A Preferred Securities               $ 19,345,000       June 5, 2002
Series A Preferred Securities               $ 19,345,000       December 5, 2002
Series A Preferred Securities               $ 19,345,000       June 5, 2003
Series A Preferred Securities               $ 19,345,000       December 5, 2003
Series A Preferred Securities               $ 19,345,000       June 5, 2004
Series A Preferred Securities               $ 19,345,000       December 5, 2004

If the Bank's financial condition were to deteriorate with the consequence that
a Shift Event (as defined below) were to occur, substantially all of the Common
Securities would be redeemed automatically without prior redemption of the
Series A Preferred Securities and dividends payable on each Series A Preferred
Security could be substantially reduced or completely eliminated. In addition,
if the Bank's Tier 1 risk-based capital ratio were to decline below the minimum
percentage required by French banking regulations (currently 4%), the Company
would pay a special dividend consisting of all of the Company's net assets
(other than assets having a total market value of approximately $40,000,000) to
the Branch as holder of the Common Securities.

A "Shift Event" would be deemed to have occurred if (i) the Bank's total
risk-based capital ratio or Tier 1 risk-based capital ratio were to decline
below the minimum percentages required by French banking regulations, (ii) the
Bank were to become subject to certain specified receivership proceedings or
(iii) the French Banking Commission (Commission Bancaire), in its sole
discretion, were to notify the Bank and the Company that it has determined that
the Bank's financial condition was deteriorating such that either of the
foregoing clauses (i) or (ii) would apply in the near term. French banking
regulations currently require French banks to maintain a minimum total
risk-based capital ratio of at least 8.0% and a minimum Tier 1 risk-based
capital ratio of at least 4.0%.

The Company may not pay dividends or make other distributions on the Common
Securities or the Series A Preferred Securities if, after giving effect to the
distributions, the Company's liabilities would exceed the fair value of its
assets. Additionally, as long as any Series A Preferred Securities are
outstanding, except during a Shift Period (i.e., following the occurrence of a
Shift Event causing a shift in dividend preference and before the termination
thereof), the amount of dividends on the Common Securities in any fiscal year
may not exceed the amount by which the net income of the Company for such fiscal
year exceeds the stated dividends on the Series A Preferred Securities scheduled
to be paid during such fiscal year irrespective of whether dividends on the
Series A Preferred Securities are in fact declared and paid. Additionally, other
than during a Shift Period, no dividends may be declared, paid or set apart for
payment on the Common Securities (a) with respect to any period of time included
in any Dividend Period unless full dividends have been or contemporaneously are
declared and paid, or declared and a sum sufficient for the payment thereof is
set apart for such payment on the Series A Preferred Securities for the
then-current Dividend Period and (b) the Company may not declare, pay or set
apart funds for any dividends or other distributions with respect to any Common
Securities unless and until (x) full dividends on the Series A Preferred
Securities for the two most recent preceding Dividend Periods are declared and
paid, or declared and a sum sufficient for payment has been paid over to the
dividend disbursing agent for payment of such dividends and (y) the Company has
declared a cash dividend on the Series A Preferred Securities at the annual
dividend rate for the then-current Dividend Period, and sufficient funds have
been paid over to the dividend disbursing agent for payment of such cash
dividends for such then-current Dividend Period.

COMPREHENSIVE INCOME (LOSS)

Statement of Financial Accounting Standards No. 130, ("SFAS 130"), "Reporting
Comprehensive Income," established standards for reporting and display of
comprehensive income (loss) and its components. Components of comprehensive
income (loss) include net income. Other comprehensive income (loss) consists of
unrealized gains and losses on marketable securities available for sale.

NET INCOME PER REDEEMABLE COMMON SECURITY

Net income per redeemable common security is calculated by dividing net income
after preferred dividends by the weighted average number of Common Securities
outstanding.

INCOME TAXES

The Company is treated as a partnership for U.S. federal income tax purposes. As
a partnership it is not a taxable entity, the Company will not be subject to
U.S. federal, state and local income tax on its income. Instead, each
securityholder is required to take into account its allocable share of items of
income, gain, loss and deduction of the Company in computing its U.S. federal
tax liability. Accordingly, the Company has made no provision for income taxes
in the accompanying statements of income.

FOREIGN CURRENCY TRANSLATION

Assets denominated in foreign currencies are translated to U.S. dollars using
applicable rates of exchange.

All of the Company's assets denominated in a foreign currency are included in
its available-for-sale securities portfolio, and their foreign currency exchange
risk is hedged by means of cross currency swaps. In accordance with the
requirements of SFAS 133, the change in fair value, due to the change in the
foreign currency exchange rate, of both the hedged securities and the hedging
instruments is recorded in current period earnings.

Revenues and expenses are translated monthly at amounts which approximate
weighted average exchange rates.

NOTE 3--RECEIVABLE ARISING FROM PAYMENT FOR SECURITIES

Statement of Financial Accounting Standards No. 140 ("SFAS 140"), "Accounting
for Transfers and Servicing of Financial Assets and Extinguishments of
Liabilities" addresses the accounting for the transfer of financial assets.
Under SFAS 140, transfers of financial assets that do not meet certain sale
accounting requirements must be accounted for as a secured borrowing transaction
with a pledge of collateral. Due to the potential consequences of a Shift Event
(as described above), the Company's purchase of the Initial Portfolio from the
Branch did not meet certain SFAS 125, as replaced by SFAS 140, sale accounting
requirements. Therefore, the purchase of the Initial Portfolio has been
accounted for as a secured borrowing transaction with a pledge of collateral. In
accounting for this transaction as a secured borrowing transaction in accordance
with SFAS 125, as replaced by SFAS 140, the Company has recorded a receivable in
an amount equal to the remaining amount paid to the Branch to acquire the
Initial Portfolio. In this case, however, having delivered the securities in the
Initial Portfolio to the Company, neither the Branch nor BNPP has any further
obligation to the Company to repay any part of the purchase price for the
Initial Portfolio or otherwise to repurchase or redeem any securities in the
Initial Portfolio.

The Company has not sold or repledged the collateral; the securities within the
Initial Portfolio mature or prepay over time. As they do, the Company recognizes
the cash proceeds as a reduction in the receivable arising from payment for
securities. The collateral at March 31, 2005 is reported in Note 4 below.

NOTE 4--INVESTMENT SECURITIES

The amortized cost and estimated fair value of the securities were as follows
based on management's prepayment assumptions (in thousands):

<TABLE>
March 31, 2005
--------------                                                        Gross             Gross
                                                                    Unrealized        Unrealized
 Non-Collateral                                 Amortized Cost        Gains             Losses        Fair Value
----------------                                --------------      ----------        ----------      ----------
<S>                                             <C>                 <C>               <C>             <C>
Collateralized Mortgage Obligations:
   Floating-Rate REMICs                           $      493        $      ---        $        5      $      488
   Fixed-Rate REMICs                                  30,915             1,743               ---          32,658
Mortgage Backed Securities:
   Agency ARMs                                         3,030                12                28           3,014
   Agency Hybrid ARMs                                  6,074                45                 3           6,116
   Agency DUSs                                       324,675            17,000               ---         341,675
Agency Debentures                                    505,522            41,350               452         546,420
                                                  ----------        ----------        ----------      ----------
     Total Non-Collateral                         $  870,709        $   60,150        $      488      $  930,371
                                                  ----------        ----------        ----------      ----------
Collateral
----------
Collateralized Mortgage Obligations:
   Floating-Rate REMICs                           $    4,893        $      ---        $       58      $    4,835

   Fixed-Rate REMICs                                     ---               ---               ---             ---

Mortgage Backed Securities:
   Agency ARMs                                         5,405                38                 2           5,441
   Agency Hybrid ARMs                                  9,284                38                59           9,263
   Agency DUSs                                           ---               ---               ---             ---
Agency Debentures                                        ---               ---               ---             ---
                                                  ----------        ----------        ----------      ----------
     Total Collateral                             $   19,582        $       76        $      119      $   19,539
                                                  ----------        ----------        ----------      ----------
March 31, 2005 Total Portfolio                    $  890,291        $   60,226        $      607      $  949,910
------------------------------                    ==========        ==========        ==========      ==========

</TABLE>

The breakdown of the Company's securities by category and weighted average life
distribution (stated in terms of amortized cost) is summarized below based on
management's prepayment assumptions (Actual maturities may differ from
maturities shown below due to prepayments) (in thousands):

<TABLE>
March 31, 2005
--------------                                              Due after 1    Due after 5
                                           Due in 1 year     through 5      through 10     Due after 10
Non-Collateral                                or less          years          years           years            Total
--------------                             -------------    -----------    -----------     ------------     -----------
<S>                                        <C>              <C>            <C>             <C>              <C>
Collateralized Mortgage Obligations:
   Floating-Rate REMICs                    $       ---      $       493    $       ---     $       ---      $       493
   Fixed-Rate REMICs                               ---           30,915            ---             ---           30,915
Mortgage Backed Securities:
   Agency ARMs                                     ---            2,277            502             251            3,030
   Agency Hybrid ARMs                              268            4,130            562           1,114            6,074
   Agency DUSs                                     ---          324,675            ---             ---          324,675
Agency Debentures                                  ---          505,522            ---             ---          505,522
                                           -----------      -----------    -----------     -----------      -----------
     Total Non-Collateral                  $       268      $   868,012    $     1,064     $     1,365      $   870,709
                                           -----------      -----------    -----------     -----------      -----------

Collateral
----------
Collateralized Mortgage Obligations:
   Floating-Rate REMICs                    $       839      $     4,054            ---             ---      $     4,893
   Fixed-Rate REMICs                               ---              ---            ---             ---              ---
Mortgage Backed Securities:
   Agency ARMs                                     ---            1,270            851           3,284            5,405
   Agency Hybrid ARMs                              ---            2,070          6,285             929            9,284
   Agency DUSs                                     ---             ---             ---             ---              ---
Agency Debentures                                  ---             ---             ---             ---              ---
                                           -----------      -----------    -----------     -----------      -----------
     Total Collateral                      $       839      $     7,394    $     7,136     $     4,213      $    19,582
                                           -----------      -----------    -----------     -----------      -----------
March 31, 2005 Total Portfolio             $     1,107      $   875,406    $     8,200     $     5,578      $   890,291
------------------------------             ===========      ===========    ===========     ===========      ===========

</TABLE>


The breakdown of the Company's securities by category and yield, before the
result of hedges, is summarized below:

<TABLE>

                                                     Due after 1    Due after 5
                                    Due in 1 year     through 5      through 10     Due after 10                 Yield after
March 31, 2005                         or less          years          years           years          Total        Hedging
---------------                     -------------    -----------    -----------     ------------     -------     -----------
<S>                                 <C>              <C>            <C>             <C>              <C>         <C>
Collateralized Mortgage
Obligations:
   Floating-Rate REMICs                   2.37%          2.63%           ---%            ---%          2.59%         2.59%
   Fixed-Rate REMICs                       ---           6.59            ---             ---           6.59          2.53
Mortgage Backed Securities:
   Agency ARMs                             ---           3.81           3.76            3.71           3.74          3.74
   Agency Hybrid ARMs                     5.68           4.18           3.62            5.62           4.15          4.15
   Agency DUSs                            2.33           6.13            ---             ---           6.12          2.47
Agency Debentures                          ---           5.87            ---             ---           5.87          1.94
                                      --------       --------       --------        --------       --------      --------
     Total                                2.63%          5.98%          3.65%           4.41%          5.93%         2.21%
                                      ========       ========       ========        ========       ========      ========

</TABLE>


NOTE 5--FAIR VALUE OF FINANCIAL INSTRUMENTS

The fair values of securities at March 31, 2005 was obtained from independent
market sources and is summarized in Note 4. The carrying values of securities,
as shown in Note 4, approximates their fair value. The fair value of the
receivable arising from payment for securities, pursuant to the application of
SFAS 125, as replaced by SFAS 140, was $19,538,851 at March 31, 2005.

The carrying value of cash and cash equivalents, certificates of deposits,
accounts receivable, accrued interest receivable, accrued expenses, and accounts
payable approximates fair value due to their short-term maturity of less than
nine months.

The fair value of the cross currency and interest rate swaps was $(52,252,050)
at March 31, 2005 and is reflected in "Other liabilities".

NOTE 6--DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES

The Company maintains an overall risk management strategy that incorporates the
use of derivative instruments to hedge the interest rate risk and foreign
currency risk of fixed-income securities. As a result of interest rate or
exchange rate fluctuations, hedged fixed-rate assets will appreciate or
depreciate in market value. The effect of this unrealized appreciation or
depreciation is expected to substantially offset the Company's gains or losses
on the derivative instruments that are linked to these hedged assets and
liabilities. The Company considers its use of derivatives to be a prudent method
of managing interest rate and foreign currency rate sensitivity, as it prevents
earnings from being exposed to undue risk posed by changes in interest and
exchange rates in compliance with the Company's policies.

Derivative instruments that are used as part of the Company's interest rate risk
management strategy include interest rate and cross currency swap contracts that
have indices related to the pricing of specific balance sheet assets and
liabilities. As a matter of policy, the Company does not use highly leveraged
derivative instruments for interest rate risk management. Interest rate swaps
generally involve the exchange of fixed and variable rate interest payments
between two parties, based on a common notional principal amount and maturity
date.

By using derivative instruments, the Company exposes itself to credit and market
risk. If a counterparty fails to fulfill its performance obligations under a
derivative contract, the Company's credit risk will equal the fair value gain in
a derivative. Generally, when the fair value of a derivative contract is
positive, this indicates that the counterparty owes the Company, thus creating a
repayment risk for the Company. When the fair value of a derivative contract is
negative, the Company owes the counterparty and, therefore, assumes no repayment
risk. The Company minimizes the credit (or repayment) risk in derivative
instruments by entering into transactions with BNP PARIBAS S.A. Consequently,
the Company does not require that collateral be provided by the counterparty.

Market risk is the adverse effect that a change in interest rates, currency, or
implied volatility rates might have on the value of a financial instrument. The
Company does not expose itself to market risk by using derivatives but rather
reduces market risk since it uses derivatives only for fair value hedges that
effectively offset fluctuations in the fair value of the hedged items.

The Company formally documents all relationships between derivatives and hedged
items, as well as its risk management objectives and strategies for undertaking
various hedge transactions. This process includes linking all derivatives that
are designated as fair value or cash flow hedges to (1) assets and liabilities
on the balance sheet, (2) firm commitments or (3) forecasted transactions.

Fair Value Hedges

The Company mainly enters into interest rate swaps and cross currency interest
rate swaps to convert fixed rate Agency Debentures, Agency DUSs and Fixed-Rate
REMICs into variable rate securities.

All of the Company's outstanding hedging transactions are fair value hedges. The
fair value of these hedging instruments was $(50,807,823) at March 31, 2005, and
has been recorded in "Other liabilities". It has been offset, except for the
ineffective portion of the hedge, by the revaluation of the respective hedged
investment securities. The fair value of the hedging instruments does not
include accrued interest receivable and payable, which are shown separately on
the balance sheet. For the three months ended March 31, 2005, the Company
recognized a loss of $(2,550,875) in earnings related to the ineffective portion
of fair value hedges. The Company also recognized a gain of $298,644 in current
year's earnings related to a cross currency swap that no longer qualified as a
fair value hedging instrument.

Cash Flow Hedges

For the three months ended March 31, 2005, the Company did not enter into cash
flow hedge transactions and it is not the intention of the Company to use
interest rate swaps to convert floating rate financial instruments to fixed rate
financial instruments as part of a cash flow hedge strategy.

At March 31, 2005, the Company had outstanding interest rate and cross currency
swap agreements with a notional principal amount of $644,989,150.

NOTE 7-- RELATED PARTY TRANSACTIONS

The Company entered into a Services Agreement with the Branch on December 5,
1997 pursuant to which the Branch manages the securities portfolio of the
Company and performs other administrative functions. Expenses incurred under
such Agreement was $246,917 for the period ended March 31, 2005. Under a
specific allocation methodology, the costs of personnel servicing the Company is
based on actual man-hours devoted to the activities of the Company and remains
at arms length.

The counterparty to all cross currency and interest rate swaps is BNP Paribas.

The Branch also serves as the dividend paying agent, registrar and transfer
agent with respect to the Series A Preferred Securities. The fee is $4,000 per
annum for these services.

All of the Company's officers and employees and all but one of the members of
the Company's Board of Directors are officers and employees of the Branch or BNP
Paribas or their affiliates.


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

Set forth on the following pages is management's discussion and analysis of the
results of operations for the three months ended March 31, 2005, 2004 and 2003.
Such information should be read in conjunction with our Financial Statements
together with the Notes to the Financial Statements.

General

The Company was formed on October 14, 1997, and commenced operations on December
5, 1997, by the sale to qualified institutional buyers of 50,000 Series A
Preferred Securities and the sale to the Branch of 53,010 Common Securities.
Together, such sales raised net capital of $1,030,115,873, which the Company
used to purchase the Initial Portfolio from the Branch. The Branch has
contributed $6,800,000, $8,500,000, $7,500,000, $5,500,000, and $3,000,000 of
additional paid-in capital on December 2, 2004, June 3, 2004, December 3, 2003,
June 3, 2003 and December 3, 2002, respectively.

The Company's sole business is to acquire, hold and manage debt instruments,
largely consisting of mortgage obligations, in the Portfolio, which generate net
income for distribution to securityholders. The Company's major source of income
is interest generated by the securities in the Portfolio.

Critical Accounting Policies

The Notes to the Financial Statements contain a summary of the Company's
significant accounting policies, including a discussion of recently issued
accounting pronouncements. Certain of these policies as well as estimates made
by management are considered to be important to the portrayal of the Company's
financial condition, since they require management to make difficult, complex or
subjective judgments and estimates, some of which may relate to matters that are
inherently uncertain. Additional information about these policies can be found
in Note 2 to the Financial Statements.

Valuations of Financial Instruments

Investments include mortgage backed securities and derivatives. the Company
carries its investments at fair value if they are considered to be
available-for-sale. For a substantial majority of the Company's investments,
fair values are determined based upon quoted prices or validated models with
externally verifiable model inputs. If available, quoted market prices provide
the best indication of fair value. If quoted market prices are not available for
mortgage backed securities and derivatives, the Company discounts the expected
cash flows using market interest rates commensurate with the duration of the
investment.

The Company has made an assessment of all its financial instruments and
concluded that it holds freestanding derivative instruments but no embedded
derivative instruments at March 31, 2005. As part of its asset management
activities the Company uses foreign exchange and interest rate swaps to modify
the interest rate and foreign exchange characteristics of existing assets. The
interest rate swaps have a high correlation between the instrument and the asset
being hedged, both at inception and throughout the hedge period.

Results of Operations

The following discussion pertains to the three months ended March 31, 2005,
March 31, 2004, and March 31, 2003 (the "2005 Period", the "2004 Period" and the
"2003 Period," respectively).

     Portfolio

The average amortized cost of the Portfolio during the 2005 Period, 2004 Period
and 2003 Period was $893,495,517, $997,292,946 and $995,300,406, respectively.
This reflects the following prepayments and reinvestments:

<TABLE>
PREPAYMENTS                                  2005                2004               2003
-----------------------------------      ------------       ------------       ------------
<S>                                      <C>                <C>                <C>
Floating-Rate REMICs...............      $    819,821       $  1,642,747       $  3,387,183
Fixed-Rate REMICs..................      $        ---       $    298,027       $  3,572,384
Agency ARMs........................      $    241,694       $  1,135,209       $  4,741,166
Agency Hybrid ARMs.................      $    717,155       $  2,058,420       $  4,534,169
Agency DUS.........................      $ 23,674,642       $  1,418,248       $  1,054,488
Agency Debentures..................      $        ---       $        ---       $        ---

-------------------------------------------------------------------------------------------
REINVESTMENTS                                2005                2004               2003
-----------------------------------      ------------       ------------       ------------
Floating-Rate REMICs...............      $        ---       $        ---       $        ---
Fixed-Rate REMICs..................      $        ---       $        ---       $        ---
Agency ARMs........................      $        ---       $        ---       $        ---
Agency Hybrid ARMs.................      $        ---       $        ---       $        ---
Agency DUS.........................      $        ---       $        ---       $ 27,089,545
Agency Debentures..................      $        ---       $        ---       $ 20,038,400
</TABLE>


As of March 31, 2005, 2004, and 2003, as calculated by aggregate amortized cost,
approximately 43.22%, 49.15% and 49.68%, respectively, of the Portfolio
consisted of collateralized mortgage obligations (Floating-Rate REMICs and
Fixed-Rate REMICs) and mortgage backed securities (Agency ARMs, Agency Hybrid
ARMs and Agency DUSs), and approximately 56.78%, 50.85%, and 50.32%,
respectively, consisted of Agency Debentures. As of March 31, 2005, 2004 and
2003, floating rate securities accounted for approximately 3.28%, 4.09% and
7.54%, respectively, of the Portfolio's collateralized mortgage obligations and
mortgage backed securities. In addition, a significant portion of the Agency
Debentures and the Agency DUSs are hedged so that in all but one case, the fixed
interest rates received on the bonds are converted into prevailing floating
rates.

The aggregate market value of the securities in the Portfolio as of March 31,
2005, 2004 and 2003 was higher than the amortized cost by approximately 6.70%,
13.26%, and 11.48%, respectively, due to a net decrease in interest rates from
the time of their original purchase. For the hedged securities, changes in the
fair market value of both the securities and the derivatives used as hedging
instruments (cross currency and interest rate swaps) are reported in current
earnings in the Statements of Income, pursuant to application of SFAS 133 (Note
2). Unrealized gains and losses on the non-hedged securities are reported as a
component of Other Comprehensive Income (Loss).


     Revenue

For the 2005 Period, 2004 Period and 2003 Period, the Company had revenues of
$5,780,454, $6,005,545 and $6,886,906, respectively. These amounts consisted of
interest income on the investment securities, the unrealized gain/loss on hedged
securities and derivatives used as hedging instruments, and interest on
deposits. The Company believes the factor having the greatest impact on revenues
is the interest rate environment. The decrease in revenues, is mainly due to the
derivatives used as hedging instruments. The floating rate component of the
swaps has generated less income due to decreasing interest rates in 2003 Period
continuing through beginning of 2005 Period.

The Company's net income for the 2005 Period, 2004 Period and 2003 Period was
$5,731,742, $5,235,993 and $6,250,803, respectively. The Company has declared
and paid dividends for the 2005 Period, 2004 Period and 2003 Period as follows:


-------------------------------------------------------------------------------
Security                                Amount               Date Paid
-------------------------------------------------------------------------------
Series A Preferred                      $19,345,000          December 5, 2004
-------------------------------------------------------------------------------
Series A Preferred                      $19,345,000          June 5, 2004
-------------------------------------------------------------------------------
Series A Preferred                      $19,345,000          December 5, 2003
-------------------------------------------------------------------------------
Series A Preferred                      $19,345,000          June 5, 2003
-------------------------------------------------------------------------------
Series A Preferred                      $19,345,000          December 5, 2002
-------------------------------------------------------------------------------
Series A Preferred                      $19,345,000          June 5, 2002
-------------------------------------------------------------------------------


     Interest Income and Yields

For the 2005 Period, 2004 Period and 2003 Period, interest on the securities in
the Portfolio amounted to $10,431,548, $12,326,457 and $11,970,537,
respectively, representing an aggregate yield of 6.20%, 6.11 and 6.95%,
respectively. Interest earned and average yield with respect to each category of
security in the Portfolio was as follows (yield based on average amortized
cost):

<TABLE>
                                    2005                     2004                     2003
                            ---------------------    ---------------------    ---------------------
<S>                         <C>             <C>      <C>             <C>      <C>             <C>
Floating-Rate REMICs......  $     36,182    2.59%    $     33,914    1.31%    $    129,580    2.30%
Fixed-Rate REMICs.........  $    509,342    6.59%    $    169,104    6.76%    $    606,983    6.57%
Agency ARMs...............  $     79,563    3.74%    $    108,967    3.77%    $    239,752    4.48%
Agency Hybrid ARMs........  $    161,602    4.15%    $    197,979    3.91%    $    419,037    4.95%
Agency DUS................  $  5,007,226    6.12%    $  7,071,208    6.44%    $  5,868,197    6.28%
Agency Debentures.........  $  4,637,633    5.87%    $  4,745,285    6.00%    $  4,706,988    5.95%
</TABLE>


The yield on Agency Debentures is based on U.S. dollar denominated securities
which excludes the Japanese Yen denominated securities.

During the 2005 Period, the yields on the Agency DUSs, Agency Debentures and
Fixed-Rate REMICs were approximately 2.47%, 1.94% and 2.53%, respectively, when
taking into account the income and expense from the derivative products used to
hedge these securities. During the 2004 Period, the yields on the Agency DUSs,
Agency Debentures and Fixed-Rate REMICS were approximately 1.16%, 3.40% and
1.15%, respectively, when taking into account the income and expense from the
derivative products used to hedge these securities. During the 2003 Period, the
yields on the Agency DUSs, Agency Debentures and Fixed-Rate REMICS were
approximately 1.40%, 3.33% and 5.12%, respectively, when taking into account the
income and expense from the derivative products used to hedge these securities.

The Company also recorded interest income from short-term investments for the
2005 Period, 2004 Period and 2003 Period of $833,580, $65,226 and $102,368,
respectively. These amounts are attributable to the interest earned on (i)
interest payments on securities in the Portfolio, (ii) prepayments of principal
pending their reinvestment and (iii) short-term investments classified as cash
equivalents. In the fourth quarter of 2004, the Company began reinvesting
prepayments mainly into short-term Certificates of Deposits.

     Operating Expenses

Operating expenses for the 2005 Period, 2004 Period and 2003 Period totaled
$347,356, $316,604 and $332,402, respectively. Operating expenses consisted
largely of fees paid to the Branch under the Services Agreement, fees to
Citibank as Trustee, consulting fees and audit fees. The cost of Branch
personnel servicing the Company is based on actual man-hours devoted to the
activities of the Company and remains at arms length. Expenses incurred under
the Services Agreement for the 2005 Period, 2004 Period and 2003 Period totaled
$246,917, $203,876 and $241,941, respectively.

Receivable Arising from Payment for Securities

Due to the potential consequences of a Shift Event (as defined in Item 1 Note 2
herein), the Company's purchase of the Initial Portfolio (as defined in Item 1
herein) from the Branch did not meet certain SFAS 125, as replaced by SFAS 140,
sale accounting requirements. Accordingly, the Company recorded at December 5,
1997 a receivable for the consideration paid to the Branch for the Initial
Portfolio treated as collateral. As a legal and economic matter, however, there
is no such receivable since (a) neither the Bank nor the Branch has any
obligation to repay any part of the purchase price for the Initial Portfolio or
to repurchase or redeem any of the securities included therein, and (b) the
Company has no obligation to return any of such securities to the Bank or the
Branch (except in the limited circumstances and to the extent that the
occurrence of a Shift Event under the Charter would require the transfer of any
assets held by the Company at the time). As the securities in the Initial
Portfolio are paid, the receivable will be deemed to be realized by an amount
corresponding to the amount of the payments received. At March 31, 2005, the
receivable arising from payment for securities amounted to $19,581,388
respectively. The decrease in the amount of such receivable between the two
dates reflects the prepayment of securities in the Initial Portfolio. The
Company recognized the cash proceeds of such prepayments as a reduction in the
receivable. Such decreases in the receivable did not affect the Company's
results of operations or cash flow. Disclosures required under SFAS 125, as
replaced by SFAS 140, are included in Note 3.

Investment Income

The interest income on the investment securities includes interest income on the
remaining securities in the Initial Portfolio, which are considered to be
collateral held by the Company and which are no longer recognized on the balance
sheet pursuant to guidance in Statement of Financial Accounting Standards No.
140 ("SFAS 140"), "Accounting for Transfers and Servicing of Financial Assets
and Extinguishments of Liabilities, a replacement of SFAS 125", which modified
SFAS 125 in this respect, as explained in Note 3 to the financial statements.
The receivable for the consideration paid to the Branch for the Initial
Portfolio is recognized on the balance sheet and is an asset of similar size as
the remaining securities in the Initial Portfolio. The balance sheet
presentation results from compliance with SFAS 140 but does not reflect the
economic substance of the transaction, as further explained in the section on
the application of SFAS 125, as replaced by SFAS 140, below. For all economic
intent and purposes, the securities in the Initial Portfolio are owned by the
Company and managed as any other investment security, with related revenues
belonging to the Company and recorded as such in the income statements.

Liquidity and Capital Resources

The objective of liquidity management is to ensure the availability of
sufficient cash flows to meet all of the Company's financial commitments. The
Company's sole liquidity needs are to acquire reinvestment securities as
original securities repay or prepay and to pay dividends on the Series A
Preferred Securities. The acquisition of reinvestment securities is funded with
the proceeds of principal repayments or prepayments on original securities, and
the payments of dividends on the Series A Preferred Securities are funded
through interest income from the securities in the Portfolio.

The low interest rate environment has adversely affected the Company's income.
The Company has not declared dividends on the Common Securities since June 2001
in order to retain earnings available for the payment of dividends to the
holders of the Series A Preferred Securities. Dividends to the Preferred
Securityholders may be paid out of (i) net income, determined without regard to
capital gains or losses, or (ii) amounts contributed by the Bank or the Branch
to the Company's capital. As of March 31, 2005, the Branch has contributed a
total of $31,300,000 of additional paid-in capital, which was used to facilitate
the semi-annual payments of dividends to the holders of the Series A Preferred
Securities.

The Company cannot make any assurances that a decrease in interest rates, only a
modest increase in interest rates or the sustained low interest rate environment
will not adversely effect the Company's future income. Based on 2005 projected
earnings, the Company may require additional cash contributions from the Branch
to facilitate payment of preferred dividends.

BNP PARIBAS Group's total and Tier 1 risk-based capital ratios at March 31, 2005
were 10.0% and 7.4%, which are well above the minimum standards required by
French banking regulations, currently 8% for total risk-based capital and 4% for
Tier 1 risk-based capital. A "Shift Event" would occur if BNP PARIBAS'
risk-based capital fell below these minimum standards of 8% and 4%,
respectively. See Note 2 of the attached financial statements for a detailed
explanation of "Shift Events".

Accounting and Reporting Developments

In May 2003, the Financial Accounting Standards Board ("FASB") issued Statement
of Financial Accounting Standards No. 150 ("SFAS No. 150"), "Accounting for
Certain Financial Instruments with Characteristics of both Liabilities and
Equity". The statement requires that an issuer classify financial instruments
that are within its scope as a liability. Many of those instruments were
classified as equity under previous guidance. SFAS No. 150 is effective for all
financial instruments entered into or modified after May 31, 2003. Otherwise, it
is effective at the beginning of the first interim period beginning after June
15, 2003. The adoption of SFAS No. 150 did not have an impact on the Company's
Balance Sheet or Statement of Income.

In April 2003, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards ("SFAS No. 149"), "Amendment of
Statement 133 on Derivative Instruments and Hedging Activities" ("SFAS 149").
SFAS 149 amends and clarifies accounting for derivative instruments, including
certain derivative instruments embedded in other contracts, and for hedging
activities under SFAS No. 133, and decisions made in connection with other FASB
projects dealing with financial instruments and in connection with
implementation issues raised in relation to the application of the definition of
a derivative and characteristics of a derivative that contains financing
components. In addition, it clarifies when a derivative contains a financing
component that warrants special reporting in the statement of cash flows. SFAS
149 is effective for contracts entered into or modified after June 30, 2003 and
for hedging relationships designated after June 30, 2003. SFAS 149 did not have
a material impact on our Balance Sheet or Statement of Income.

SFAS 133 requires that an entity measure all derivatives at fair value and
recognize those derivatives as either assets or liabilities on the balance
sheet. The change in the derivative's fair value is generally to be recognized
in current period earnings. However, if certain conditions are met, a derivative
may be specifically designated as a hedge of an exposure to changes in fair
value, variability of cash flows, or certain foreign currency exposures.


Item 3:  Quantitative and Qualitative Disclosures About Market Risk

Interest Rate Sensitivity

The Company's principal market risk exposure is to changes in interest rates.
This exposure arises from its investments in collateralized mortgage
obligations, mortgage-backed securities, agency debentures, agency DUSs and
certain derivative instruments used by the Company to modify interest rate
exposure.

The outstanding principal amount and estimated fair value as of March 31, 2005,
by each category of investment, is depicted in Item 1.

Interest Rate Risk

The Company's income consists primarily of interest payments on collateralized
mortgage obligations, mortgage-backed securities, agency debentures and agency
DUSs. Currently, the Company uses derivative products to manage a portion of its
interest rate risk.

For the three months ended March 31, 2005, the interest rate environment
remained at a historically low level. This situation continues to affect the
Company's income through the floating rate component of the portfolio
(floating-rate securities and fixed-rate securities converted to floating-rate
instruments through interest rate swaps based upon LIBOR). This situation will
likely prevail as long as LIBOR rates remain near or below the March 31, 2005
rate.

The Company regularly reviews its hedging requirements. In the future, the
Company may enter into additional swaps and unwind part or all of the initial
and any future swaps. This strategy is implemented in order to rebalance the
fixed and floating mix of interest obligations (including those arising as a
result of previous interest rate swaps entered into) and the fixed and floating
mix of interest payments.

The Company's interest rate management strategy will continue to be rebalanced
with any purchases of new investments. There can be no assurance, however, that
the Company's interest rate risk management strategies will be effective in this
regard.

The Company is a party to thirty interest rate swaps and six cross currency
swaps with BNP PARIBAS, as set out in the table below. In all but one of these
swaps, the Company pays a fixed coupon and receives floating rate payments on
the notional balances. The notional amount of each swap is tied to the
outstanding principal of the securities they hedge. The maturity dates of the
swaps reflect the maturity of these securities. However, the maturity date maybe
earlier due to prepayments on some of these securities.

<TABLE>
                                                                                            Fair Value at
                                                                                           March 31, 2005       Notional Balance
   Value Date           Maturity Date        Fixed Rate          Receive Rate                (in 000's)             (in 000's)
-----------------     -----------------     ------------     ----------------------      ------------------     ----------------
<S>                   <C>                   <C>              <C>                         <C>                    <C>
November 25, 1998     March 26, 2008        JPY 1.75         U.S. Three Month LIBOR          $   (6,628)         $   42,000
                                                             Plus Six Basis Points
November 25, 1998     October 9, 2007       JPY 2.125        U.S. Three Month LIBOR             (10,373)             58,000
                                                             Plus Six Basis Points
November 25, 1998     August 25, 2008       U.S. 6.15        U.S. One Month LIBOR                  (959)             18,273
                                                             Plus Five Basis Points
February 11, 1999     March 14, 2007        U.S. 6.80        U.S. Three Month LIBOR              (2,469)             50,000
                                                             Minus Two Basis Points
February 12, 1999     March 5, 2007         U.S. 6.68        U.S. Three Month LIBOR              (2,551)             50,000
                                                             Minus Two Basis Points
February 25, 1999     February 25, 2009     U.S. 5.95        U.S. One Month LIBOR                (1,015)             19,894
                                                             Plus Three Basis Points
March 29, 1999        October 9, 2007       JPY 2.125        U.S. Three Month LIBOR              (4,389)             30,000
                                                             Minus Two and Half
                                                             Basis Points
April 6, 1999         October 9, 2007       JPY 2.125        U.S. Three Month LIBOR              (4,740)             26,400
                                                             Minus One Basis Point
June 25, 1999         June 25, 2009         U.S. 6.06        U.S. One Month LIBOR                (1,446)             25,112
                                                             Plus Three and Half
                                                             Basis Points
July 1, 1999          June 25, 2009         U.S. 6.39        U.S. One Month LIBOR                (1,061)             15,140
                                                             Plus Three and Half
                                                             Basis Points
September 27, 1999    March 25, 2008        U.S. 6.29        U.S. One Month LIBOR                (2,161)             41,270
                                                             Plus Five Basis Points
September 27, 1999    March 25, 2009        U.S. 5.858       U.S. One Month LIBOR                (1,304)             27,076
                                                             Plus Four Basis Points
November 26, 1999     April 25, 2009        U.S. 6.04        U.S. One Month LIBOR                  (819)             14,858
                                                             Plus Four Basis Points
June 26, 2000         October 1, 2007       U.S. 6.68        U.S. One Month LIBOR                  (451)              7,965
                                                             Plus One and Half Basis
                                                             Points
June 26, 2000         October 1, 2008       U.S. 6.26        U.S. One Month LIBOR                  (525)              8,938
August 1, 2000        December 25, 2007     U.S. 6.42        U.S. One Month LIBOR                  (385)              7,000
October 2, 2000       June 1, 2007          U.S. 7.024       U.S. One Month LIBOR                  (352)              5,920
                                                             Minus Two Basis Points
October 2, 2000       July 1, 2007          U.S. 7.405       U.S. One Month LIBOR                  (521)              7,395
                                                             Minus Two Basis Points
November 2, 2000      October 9, 2007       JPY 2.125        U.S. Three Month LIBOR                (912)             15,000
                                                             Minus Two Basis Points
March 25, 2001        October 25, 2007      U.S. 6.94        U.S. One Month LIBOR                  (397)              6,203
                                                             Plus Two Basis Points
May 1, 2002           October 25, 2007      U.S. 6.63        U.S. One Month LIBOR                  (501)              8,913
                                                             Plus One Basis Point
May 3, 2002           August 25, 2007       U.S. 6.74        U.S. One Month LIBOR                  (570)             10,000
                                                             Plus One Basis Point
August 25, 2002       August 25, 2007       U.S. 4.90        U.S. One Month LIBOR                  (389)             26,500
                                                             Plus Five Basis Points
September 25, 2002    June 25, 2007         U.S. 7.007       U.S. One Month LIBOR                  (588)             10,239
                                                             Plus Seven Basis Points
March 21, 2003        February 25, 2009     U.S. 5.945       U.S. One Month LIBOR                  (761)             15,661
                                                             Plus Nine Basis Points
May 8, 2003           July 25, 2006         U.S. 7.239       U.S. One Month LIBOR                  (442)             10,716
                                                             Plus Seven Basis Points
August 1, 2003        April 25, 2008        U.S. 6.568       U.S. One Month LIBOR                  (792)             12,950
                                                             Plus Ten Basis Points
August 1, 2003        October 25, 2007      U.S. 6.812       U.S. One Month LIBOR                (1,103)             18,641
                                                             Plus Ten Basis Points
October 9, 2003       October 25, 2007      U.S. 6.96        U.S. One Month LIBOR                (1,031)             16,010
                                                             Plus Five Basis Points
April 1, 2004         August 25, 2007       U.S. 6.74        U.S. One Month LIBOR                (1,173)             20,915
                                                                                                 -------             ------
                                                             Plus Five Basis Points

Total Swaps- Fair Value Hedges                                                               $  (50,808)        $   626,989
                                                                                              ----------         ----------
January 17, 2001      March 26, 2008        JPY 1.750        U.S. 5.80                           (1,444)             18,000
                                                                                              ----------         ----------
Other Swap                                                                                   $   (1,444)        $    18,000
                                                                                              ----------         ----------
Total Swap Portfolio (Other liabilities)                                                     $  (52,252)        $   644,989
                                                                                              ==========         ==========
</TABLE>

The main feature of the mortgage securities is their sensitivity to the
prepayment of mortgage loans, creating a contraction risk when interest rates
decline and an extension risk when interest rates increase. The estimate of the
prepayment rate is given either by the CPR (Conditional Prepayment Rate) or the
PSA (Public Securities Association) prepayment model. Because of this risk, the
securities are valued based on their average life rather than on their stated
maturity date. The prepayment risk is evaluated and analyzed as this impacts the
structure of the portfolio and the re-investment policy.

The breakdown of the Company's securities by category and weighted average life
distribution (stated in terms of amortized cost) is summarized below based on
management's prepayment assumptions (see Note 4 under Item 1 for yield
information) (actual maturities may differ from maturities shown below due to
prepayments) (in thousands):

<PAGE>

<TABLE>
                                                                             March 31, 2005
                                                                             --------------
                                              Due        Due        Due        Due        Due        Due        Due
                                              In        after      after      after      after      After      After
Non-Collateral                               2005       2005       2006       2007       2008       2009       2010        Total
--------------                             ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------
<S>                                        <C>        <C>        <C>        <C>        <C>        <C>        <C>         <C>
Fixed-Rate Instruments:
  Fixed-Rate REMICs......................  $     ---  $     ---   $ 30,915  $     ---  $     ---  $     ---  $     ---   $  30,915
  Agency DUS..............................       ---     10,716     92,845    143,193     77,921        ---        ---     324,675
  Agency Debentures ......................       ---        ---    373,817    131,705        ---        ---        ---     505,522
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------
Total Fixed-Rate Instruments..............      ---      10,716    497,577    274,898     77,921        ---        ---     861,112
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------

Floating-Rate Instruments:
  Floating-Rate REMICs....................       ---        ---        493        ---        ---        ---        ---         493
  Agency ARMs.............................       ---         95        620        ---      1,562        ---        753       3,030
  Agency Hybrid ARMs......................        86        182        459      2,607      1,064        ---      1,676       6,074
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------

Total Floating-Rate Instruments...........        86        277      1,572      2,607      2,626       ----      2,429       9,597
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------

Total Non-Collateral                       $      86  $  10,993  $ 499,149  $ 277,505  $  80,547  $     ---  $   2,429   $ 870,709
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------
Collateral
Fixed-Rate Instruments:
  Fixed-Rate REMICs....................... $     ---  $     ---  $     ---  $     ---  $     ---  $     ---  $     ---   $     ---
  Agency DUS..............................       ---        ---        ---        ---        ---        ---        ---         ---
  Agency Debentures ......................       ---        ---        ---        ---        ---        ---        ---         ---
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------
Total Fixed-Rate Instruments..............       ---        ---        ---        ---        ---        ---        ---         ---
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------

  Floating-Rate Instruments:
  Floating-Rate REMICs....................       606        233      2,742      1,312        ---        ---        ---       4,893
  Agency ARMs.............................       ---        ---        ---      1,270        ---        ---      4,135       5,405
  Agency Hybrid ARMs......................       ---        ---        ---        ---      2,070      2,846      4,368       9,284
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------
Total Floating-Rate Instruments...........       606        233      2,742      2,582      2,070      2,846      8,503      19,582
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------

Total Collateral.......................... $     606  $     233  $   2,742  $   2,582  $   2,070  $   2,846  $   8,503   $  19,582
                                           ---------  ---------  ---------  ---------  ---------  ---------  ---------   ---------
March 31, 2005 Total Portfolio             $     692  $  11,226  $ 501,891  $ 280,087  $  82,617  $   2,846  $  10,932   $ 890,291
                                           =========  =========  =========  =========  =========  =========  =========   =========
</TABLE>

<PAGE>

Item 4: Controls and Procedures

Evaluation of Disclosure Controls and Procedures

As of March 31, 2005, the Company carried out an evaluation under the
supervision and with the participation of the Company's management, including
the President and Chief Financial Officer, of the effectiveness of the design
and operation of the Company's disclosure controls and procedures. There are
inherent limitations to the effectiveness of any system of disclosure controls
and procedures, including the possibility of human error and the circumvention
or overriding of the controls and procedures. Accordingly, even effective
disclosure controls and procedures can only provide reasonable assurance of
achieving their control objectives. Based upon and as of the date of the
Company's evaluation, the President and Chief Financial Officer concluded that
the disclosure controls and procedures are effective in all material respects to
provide reasonable assurance that information required to be disclosed in the
reports the Company files and submits under the Exchange Act is recorded,
processed, summarized and reported as and when required. There have been no
significant changes in the Company's internal control over financial reporting
that occurred during the first fiscal quarter that have materially affected, or
are reasonably likely to materially affect, the Company's internal control over
financial reporting.

Part II

Item 1:         Legal Proceedings

         None.

Item 2:         Unregistered Sales of Equity Securities and Use of Proceeds

         None.

Item 3:         Defaults upon Senior Securities

         None.

Item 4:         Submission of Matters to a Vote of Securityholders

         None.

Item 5:         Other Information

         None

Item 6:         Exhibits

EXHIBITS

         A) Exhibits:

              11)   Computation of Per Share Earnings (omitted in accordance
                    with section (b)(11) of Item 601 of Regulation S-K)

              12)   Computation of ratio of earnings to fixed charges and
                    preferred security dividends

              31.1) Certification of Chief Financial Officer pursuant to Section
                    302 of the Sarbanes-Oxley Act of 2002

              31.2) Certification of President pursuant to Section 302 of the
                    Sarbanes-Oxley Act of 2002

              32)   Certification pursuant to 18 U.S.C. Section 1350, as adopted
                    pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
<PAGE>

                                    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 thereto duly authorized.

                                                  BNP U.S. FUNDING L.L.C.
                                                               Registrant



Date: May 16, 2005                                By  /s/ Oliver Meisel
                                                      -------------------------
                                                        Olivier Meisel
                                                        President and Director

Date: May 16, 2005                                By  /s/ Thomas Clyne
                                                      -------------------------
                                                        Thomas Clyne
                                                        Chief Financial Officer
                                                        and Director