<PAGE>
 
               UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                            Washington, D.C. 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 30 June 1998

                       Commission File Number: 001-12809

                            ELMWOOD FUNDING LIMITED
            (Exact name of registrant as specified in its charter)

  Cayman Islands                                           N/A
(state or other jurisdiction of                           (IRS Employer
  incorporation or organisation)                         Identification No.)
     
                                  PO Box 1984
                               Elizabethan Square
                                  George Town
                                  Grand Cayman
                              British West Indies
                                 (345) 949-8244

    (Address, including zip code, and telephone number, including area code
                  of registrant's principal executive office)
                   Deutsche Morgan Grenfell (Cayman) Limited
                                  PO Box 1984
                               Elizabethan Square
                                  George Town
                                  Grand Cayman
                              British West Indies
                           Attention: Derrie Boggess
                                 (345) 949-8244
           (Name, address, including zip code, and telephone number,
                   including area code, of agent for service)

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
requirements for the past 90 days.

                  Yes  X               No 
                       -                  -    
Registrant had 1,000 shares of common stock outstanding (all owned directly by
Deutsche Morgan Grenfell (Cayman) Limited, as share trustee) as of 30 June 1998.
<PAGE>
 
ELMWOOD FUNDING LIMITED
Quarterly period ended 30 June 1998
--------------------------------------------------------------------------------


INDEX

                                                          Page number

PART I         FINANCIAL INFORMATION

  Item 1       Financial statements (unaudited)
 
                Unaudited statement of operations:
                Three months ended 30 June 1998,
                six months ended 30 June 1998
                and year ended 31 December 1997                 3
 
                Unaudited statement of financial condition:
                30 June 1998 and 31 December 1997               4
 
                Unaudited statement of cash flows:
                Six  months ended 30 June 1998
                and year ended 31 December 1997                 5
 
                Notes to financial statements                   6
 
  Item 2        Management's discussion and analysis of
                financial condition and results of operations  10
 
PART II         OTHER INFORMATION
 
  Item 6        Exhibits and Reports on Form 8-K               11
 
  Signatures                                                   12
 
--------------------------------------------------------------------------------
<PAGE>
 
<TABLE>
<CAPTION>
ELMWOOD FUNDING LIMITED
Unaudited statement of operations

---------------------------------------------------------------------------------------------------------------------
<S>                               <C>                           <C>                            <C> 
                                              THREE MONTHS ENDED          SIX MONTHS ENDED                YEAR ENDED
                                                         30 JUNE                   30 JUNE          31 DECEMBER 1997
                                                            1998                      1998
                                       Note                 (US$)                     (US$)                     (US$)
 
INCOME
                                                               -                         -                         -
 
 
                                                               -                         -                         -
                                             -------------------      --------------------      --------------------
 
EXPENDITURE
                                                               -                         -                         -
 
 
                                                               -                         -                         -
                                             -------------------      --------------------      --------------------
 
 
 
NET INCOME FOR THE PERIOD                                      -                         -                         -
                                             ===================      ====================      ====================
 
 
RETAINED EARNINGS AT THE BEGINNING
 AND END OF THE PERIOD                                         -                         -                         -
 
                                             ===================      ====================      ====================

                                      See notes to financial statements
--------------------------------------------------------------------------------------------------------------------
                                                                                                             Page 3
                                    These financial statements are unaudited
</TABLE>
<PAGE>
 
ELMWOOD FUNDING LIMITED
Unaudited statement of financial condition
as at 30 June 1998 and 31 December 1997
<TABLE>
<CAPTION>

----------------------------------------------------------------------------------------
<S>                                  <C>       <C>                 <C>

                                                    30 JUNE               31 DECEMBER 
                                                       1998                      1997
                                        Note          (US$)                     (US$)
ASSETS                               
                                     
Cash at bank                               4          1,000                        -
Sundry debtors and prepayments                            -                    1,000
                                     
                                     
                                                      1,000                    1,000
                                            ---------------       ------------------
                                     
LIABILITIES                          
                                     
                                     
                                                          -                        -
                                            ---------------       ------------------
                                     
                                     
                                     
NET ASSETS                                            1,000                    1,000
                                            ===============       ==================
                                     
                                     
CAPITAL AND RESERVES                 
Share capital                              9          1,000                    1,000
Retained earnings                                         -                        -
                                     
                                     
                                                      1,000                    1,000
                                            ===============       ==================

                      See notes to financial statements
----------------------------------------------------------------------------------------
                                                                                Page 4
                   These financial statements are unaudited
</TABLE>
<PAGE>
 
<TABLE>
<CAPTION>

ELMWOOD FUNDING LIMITED
Unaudited statement of cash flows

------------------------------------------------------------------------------------------------------
<S>                                        <C>      <C>                       <C>

                                                        SIX MONTHS                           YEAR
                                                             ENDED                          ENDED
                                                       30 JUNE 1998              31 DECEMBER 1997
                                            Note              (US$)                         (US$)
 
CASH FLOWS FROM OPERATING ACTIVITIES
Net income                                                           -                            -
Adjustments to reconcile net income to
 net cash used in operating activities
 Net change in:
  Sundry debtors                                                 1,000                            -
 
  NET CASH USED IN OPERATING ACTIVITIES
                                                                 1,000                            -
                                                  --------------------      -----------------------
 
CASH FLOWS FROM INVESTING ACTIVITIES
Proceeds of disposal of investments          6,7            21,531,997                   76,453,768
Purchase of investments                        5           (21,531,997)                 (76,453,768)
 
  NET CASH USED IN INVESTING ACTIVITIES                              -                            -
                                                  --------------------      -----------------------
 
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from issue of share capital                                 -                            -
 
  NET CASH PROVIDED BY FINANCING
   ACTIVITIES                                                        -                            -
 
                                                  --------------------      -----------------------
 
 
NET CHANGE IN CASH FOR THE PERIOD                                1,000                            -
                                                  ====================      =======================
 
CASH AT THE BEGINNING OF THE PERIOD                                  -                            -
 
 
CASH AT THE END OF THE PERIOD                                    1,000                            -
                                                  ====================      =======================

                        See notes to financial statements
------------------------------------------------------------------------------------------------------
                                                                                                Page 5
                   These financial statements are unaudited
</TABLE>
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements
30 June 1998

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

1 ORGANIZATION

  ELMWOOD FUNDING LIMITED (the "Company") was incorporated under the Companies
  Law (Revised) of the Cayman Islands on 17 September 1996 as an exempted
  company. The Company's operations consist solely of fulfilling its obligations
  as depositor, relating to the issue of Bond-backed Investment Certificates
  (the "Certificates") offered through, and which represent in the aggregate,
  the entire beneficial ownership in a trust (the "Trust") formed pursuant to
  the Trust Agreement dated as of 14 March 1997 between the Company and the
  United States Trust Company, as trustee. The first series of Certificates,
  Series 1997-AT&T, were issued on 25 March 1997.

  The Company has thus surrendered to the Trust all future economic interests in
  both the Certificates issued and the underlying securities by which they are
  collateralised.   According to the terms of the trust agreements, the holders
  of the Certificates can look only to the related collateral held by the Trust
  for repayment of both principal and interest. The Certificates do not
  represent a recourse obligation or interest in the Company and in accordance
  with United States generally accepted accounting principles the Certificates
  and related collateral are not reflected in the accompanying statement of
  financial condition.

  Each series of Certificates represents the entire beneficial ownership 
  interest in a publicly issued fixed income debt security issued pursuant to an
  effective registration statement filed with the Securities and Exchange
  Commission, or in a debt security issued, or directly and fully guaranteed or
  insured, by the Government of the United States of America, or by any of
  certain specified entities controlled or supervised by and acting as an
  instrumentality of the Government of the United States of America and exempt
  from the Securities Act of 1933, as amended, by reason of Section 3(a)(2)
  thereof, or another Federal Statute, or a pool of such debt securities
  together with other assets designed to assure the service or timely
  distribution of payments to holders of the Certificates. These underlying
  securities are deposited in a trust for the benefit of holders of Certificates
  of such series.

--------------------------------------------------------------------------------
                                                                         Page 6
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 June 1998

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

2. SIGNIFICANT ACCOUNTING POLICIES

   These unaudited financial statements are prepared in accordance with United
   States generally accepted accounting principles.  The following are the
   significant accounting policies adopted by the Company:

   1. USE OF ESTIMATES
   
   The preparation of financial statements in conformity with United States
   generally accepted accounting principles requires management to make 
   estimates and assumptions that affect the reported amounts of assets and
   liabilities at the date of the financial statements and the reported amounts
   of revenues and expenses during the reported period. Actual results could
   differ from those estimates

3  FEES AND EXPENSES

   All ongoing fees of the Company are met by the holders of the Retained 
   Interest and distributed by the trusts (see Note 6). Therefore, these 
   expenses are not included in the statement of operations.
 
4  CASH AT BANK

   Cash at bank is comprised of funds on a call account maintained at Deutsche
   Morgan Grenfell (Cayman) Limited.

5  INVESTMENTS

   The Company purchased US$20,000,000, nominal value, of the US$250,000,000 
   7.125% notes due 15 June 2009 issued by The Chase Manhattan Corporation on 12
   June 1997 (the "Notes"). The Notes were transferred to the Trust as 
   collateral for the Series 1998-Chase-1 series of Bond-backed Investment
   Certificates issued by the Trust. The transfer extinguished all amounts due
   to the Trust by the Company and fulfilled its obligation as depositor
   pursuant to the Trust Agreement.

--------------------------------------------------------------------------------
                                                                         Page 7
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 June 1998

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

6 BOND BACKED INVESTMENT CERTIFICATES

  On 9 February 1998, the Company effected an issue on behalf of the Trust of
  US$20,000,000, nominal value, Bond-backed Investment Certificates under the
  Series 1998-Chase-1 series.  The underwriters purchased the Certificates at
  98.65% of the outstanding principal balance.  The proceeds were immediately
  transferred to the Company to purchase the Notes.  The Certificates bear
  interest at a fixed rate of 6.375%.  Distributions of interest and principal
  will be made on or about 15 June and 15 December of each year commencing 15
  June 1998.  The holders of the Certificates will receive principal
  distributions as principal is received on the Notes.  The Certificates are
  scheduled to mature on 15 June 2009.

7 OPTIONS, RIGHTS AND RETAINED INTERESTS

  The holder of the retained interest retains the right to a distribution 
  equal to the premium of the interest earned on the underlying security over
  that paid on the trust certificate subject to payment of ordinary expenses of
  the trustee and administration expenses of the Company. The rights of the
  holder of the retained interest to the above premium is equal in priority to
  the rights of the holders of the certificate to receive interest on the
  underlying securities.

  In respect of current series of bond-backed investment certificates, in
  accordance with the terms of the Trust and those outlined in the related
  Prospectus Supplemental dated  15 January 1998, the options, rights and
  Retained Interests were immediately sold by the Trust to a third party and
  then transferred to the Company to complete the purchase of the Notes.

--------------------------------------------------------------------------------
                                                                         Page 8
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 June 1998

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

8  FINANCIAL INSTRUMENTS WITH OFF BALANCE SHEET RISK

   The Company's activities are primarily conducted with financial institutions.
   In connection with the terms of securitisation transactions, the bond backed
   investment certificates together with the underlying securities are held by
   the Trust and do not represent obligations of the Company.

9  SHARE CAPITAL

   Authorised.............50,000 ordinary shares of US$1.00 each.
   Issued and fully paid...1,000 ordinary shares of US$1.00 each.

10 RELATED PARTY TRANSACTIONS

   Under the terms of a Declaration of Trust dated 27 September 1996,
   all of the issued and fully paid shares have been issued to the Share 
   Trustee, Deutsche Morgan Grenfell (Cayman) Limited. Pursuant to an
   administration agreement also dated 27 September 1996, Deutsche Morgan
   Grenfell (Cayman) Limited provides directors and administrative services to
   the Company.

11 TAXATION

   Under the Cayman Islands Tax Concessions Law (1995 Revision), the
   Governor-in-Council of the Cayman Islands issued an undertaking to the 
   Company on 8 October 1996 exempting it from all local income, profit or
   capital gains taxes. The undertaking has been issued for a period of 20 years
   and, at the present time, no such taxes are levied in the Cayman Islands.
   Accordingly, no provision for taxes on the Company's income in the Cayman
   Islands is recorded.

--------------------------------------------------------------------------------
                                                                         Page 9
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Managements discussion and analysis of financial condition and results of
operations as at 30 June 1998

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

FINANCIAL CONDITION

The Company purchased US$20,000,000, nominal value, of the US$250,000,000 7.125%
notes due  15 June 2009 issued by The Chase Manhattan Corporation on 12 June
1997 (the "Notes").  The Notes were transferred to the Trust as collateral for
the Series 1998-Chase-1 bond backed investment certificates issued by the Trust.
The transfer extinguished all amounts due to the Trust by the Company and
fulfilled its obligation as depositor pursuant to the Trust Agreement.

On 9 February 1998, the Company effected an issue on behalf of the Trust of
US$20,000,000, nominal value, Bond-backed Investment Certificates under the
Series 1998-Chase-1 series.  The underwriters purchased the Certificates at
98.65% of the outstanding principal balance.  The proceeds were immediately
transferred to the Company to purchase the Notes.  The Certificates bear
interest at a fixed rate of 6.375%.  Distributions of interest and principal
will be made on or about 15 June and 15 December  of each year commencing 15
June 1998.  The holders of the Certificates will receive principal distributions
as principal is received on the Notes.  The Certificates are scheduled to mature
on 15 June 2009.

The Company has surrendered to the Trust all future economic interests in both
the Certificates issued and the underlying securities by which they are
collateralised.   According to the terms of the trust agreements, the holders of
the Certificates can look only to the related collateral held by the Trust for
repayment of both principal and interest. The Certificates do not represent a
recourse obligation or interest in the Company.

RESULTS OF OPERATIONS

In fulfilling its obligations as depositor and pursuant to the Trust Agreement,
the Company has no future economic interest or obligation in relation to the
Certificates issued or the underlying securities transferred to the Trust.
Accordingly no income or expenses have been incurred through the operations of
the Company.

All ongoing fees of the Company are met by the holders of the Retained Interest
and distributed by the trusts.  Therefore, these expenses are not included in
the statement of operations.

--------------------------------------------------------------------------------
                                                                         Page 10
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
PART II - OTHER INFORMATION
Item 6
as at 30 June 1998

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

The following exhibits are filed as part of this Quarterly Report, or where
indicated, were heretofore filed and are hereby incorporated by reference:

                              Exhibits

      27    Financial Data Schedule

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                                                                         Page 11
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Signatures

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

Pursuant to the requirements of the Securities Exchange Act of 1934, the Company
has duly caused this report to be signed on its behalf by the undersigned
thereunto duly authorised.



ELMWOOD FUNDING LIMITED



/s/ David JJ Egglishaw                      July 30, 1998
----------------------                      -------------
David JJ Egglishaw                          Date
Director



/s/ Derrie Boggess                          July 30, 1998
------------------                          -------------
Derrie Boggess                              Date
Director



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                                                                         Page 12
                   These financial statements are unaudited