<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 September 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                             (IRS Employer
 of 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 September 1999.
<PAGE>

ELMWOOD FUNDING LIMITED
Quarterly period ended 30 September 1999

________________________________________________________________________________


INDEX

                                                                     Page number

PART I               FINANCIAL INFORMATION

  Item 1             Financial statements (unaudited)

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

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

                     Unaudited statement of cash flows:
                     Three months ended 30 September 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

________________________________________________________________________________
<PAGE>

ELMWOOD FUNDING LIMITED
Unaudited statement of operations
________________________________________________________________________________

<TABLE>
<CAPTION>
                                          Three months ended             Nine months ended           Year ended
                                                30 September                  30 September          31 December
                                                        1999                          1999                 1998
                                        Note          (US$)                         (US$)                 (US$)
<S>                                     <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
________________________________________________________________________________
                                                                          Page 3

                    These financial statements are unaudited


<PAGE>

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

________________________________________________________________________________

<TABLE>
<CAPTION>
                                                         30                31
                                                  September          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 September 1999 and year ended 31 December 1998

________________________________________________________________________________


<TABLE>
<CAPTION>

                                                     Three months ended                 Year ended
                                                      30 September 1999           31 December 1998
                                          Note                    (US$)                      (US$)
<S>                                       <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 September 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 September 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 September 1999.

6  Bond backed investment certificates

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

________________________________________________________________________________
                                                                          Page 7
                   These financial statements are unaudited


<PAGE>

ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 September 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.

________________________________________________________________________________
                                                                          Page 8
                   These financial statements are unaudited



<PAGE>

ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
30 September 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.

________________________________________________________________________________
                                                                          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 September 1999

________________________________________________________________________________

Financial condition

There was no activity for the period ended 30 September 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.

________________________________________________________________________________
                                                                         Page 10

                   These financial statements are unaudited

<PAGE>

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

________________________________________________________________________________
                                                                         Page 11
                   These financial statements are unaudited


<PAGE>

ELMWOOD FUNDING LIMITED
Signatures
as at 30 September 1999

________________________________________________________________________________

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                             19/11/99
----------------------                             -----------
David JJ Egglishaw                                 Date
Director



/s/ John Culliname                                 19/11/99
----------------------                             -----------
John Cullinane                                     Date
Director




_______________________________________________________________________________
                                                                        Page 12

                   These financial statements are unaudited