<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 1999

                       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 Bank (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 Bank (Cayman) Limited, as share trustee) as of 30 June 1999.
<PAGE>

ELMWOOD FUNDING LIMITED
Quarterly period ended 30 June 1999

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INDEX

<TABLE>
<CAPTION>
                                                                  Page number
<S>                                                               <C>
PART I         FINANCIAL INFORMATION

  Item 1       Financial statements (unaudited)

               Unaudited statement of operations:
               Three months ended 30 June 1999,
               six months ended 30 June 1999
               and year ended 31 December 1998                          3

               Unaudited statement of financial condition:
               30 June 1999 and 31 December 1998                        4

               Unaudited statement of cash flows:
               Three months ended 30 June 1999
               and year ended 31 December 1998                          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
</TABLE>
<PAGE>

ELMWOOD FUNDING LIMITED
Unaudited statement of operations

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

<TABLE>
<CAPTION>
                                             Three months ended          Six months ended                Year ended
                                                        30 June                   30 June               31 December
                                                           1999                      1999                      1998
                                    Note                   (US$)                     (US$)                     (US$)
<S>                                 <C>      <C>                         <C>                       <C>
Income
                                                               -                         -                         -
                                             -------------------         -----------------         -----------------
                                                               -                         -                         -
                                             -------------------         -----------------         -----------------

Expenditure
                                                               -                         -                         -
                                             -------------------         -----------------         -----------------
                                                               -                         -                         -
                                             -------------------         -----------------         -----------------

                                             -------------------         -----------------         -----------------
Net income for the period                                      -                         -                         -
                                             ===================         =================         =================

                                             -------------------         -----------------         -----------------
Retained earnings at the beginning
 and end of the period                                         -                         -                         -
                                             ===================         =================         =================
</TABLE>


                       See notes to financial statements

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                                                                          Page 3

                   These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
Unaudited statement of financial condition
as at 30 June 1999 and 31 December 1998

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

<TABLE>
<CAPTION>
                                                             30 June      31 December
                                                                1999             1998
                                                     Note       (US$)            (US$)
<S>                                                  <C>     <C>          <C>
Assets

Cash at bank                                          4         1,000            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
                                                            =========      ===========
</TABLE>

                       See notes to financial statements

--------------------------------------------------------------------------------
                                                                          Page 4

                   These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
Unaudited statement of cash flows
for the three months ended 30 June 1999 and year ended 31 December 1998

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

<TABLE>
<CAPTION>

                                                     Three months ended             Year ended
                                                           30 June 1999       31 December 1998

                                            Note                  (US$)                  (US$)
<S>                                         <C>      <C>                      <C>
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

Purchase of investments                       5                      -             (21,531,997)

  Net cash used in investing                                         -                       -
   activities
                                                            ----------      -      -----------

Cash flows from financing activities

                                                            ----------      -      -----------
  Net cash provided by financing
   activities                                                        -                       -
                                                            ----------      -      -----------
                                                            ----------      -      -----------

Net change in cash for the period                                    -                   1,000
                                                            ==========      =      ===========

Cash at the beginning of the period                              1,000                       -
                                                            ----------      -      -----------

Cash at the end of the period                                    1,000                   1,000
                                                            ==========             ===========
</TABLE>

                       See notes to financial statements

--------------------------------------------------------------------------------
                                                                          Page 5

                   These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
Notes to the financial statements
30 June 1999

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

1    Organisation

     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 1999

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

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 7). 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
     Bank (Cayman) Limited.

5    Investments

     No investments were purchased during the period ended 30 June 1999.

6    Bond backed investment certificates

     There was no activity for the period ended 30 June 1999.

--------------------------------------------------------------------------------
                                                                          Page 7

                   These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 June 1999

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

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.

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 Bank (Cayman) Limited. Pursuant to an administration agreement
     also dated 27 September 1996, Deutsche Bank (Cayman) Limited provides
     directors and administrative services to the Company.

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                                                                          Page 8
                   These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 June 1999

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

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.

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                                                                          Page 9
                   These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
Management's discussion and analysis of financial condition and results of
operations
as at 30 June 1999

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

Financial condition

There was no activity for the period ended 30 June 1999.

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.

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                                                                         Page 10
                    These financial statements are unaudited
<PAGE>

ELMWOOD FUNDING LIMITED
PART II - OTHER INFORMATION
Item 6
as at 30 June 1999

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

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
as at 30 June 1999

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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                13/10/99
----------------------                --------
David JJ Egglishaw                    Date
Director


/s/ John Cullinane                    13/th/ October, 1999
------------------                    --------------------
John Cullinane                        Date
Director


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                                                                         Page 12
                   These financial statements are unaudited