<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 31 March 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 31 March
1998.
<PAGE>
 
ELMWOOD FUNDING LIMITED
Quarterly period ended 31 March 1998

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INDEX

                                                                    Page number

PART I          FINANCIAL INFORMATION

  Item 1        Financial statements (unaudited)
 
                Unaudited statement of operations:
                Three months ended 31 March 1998
                and 31 December 1997                                     3 
                                                                           
                Unaudited statement of financial condition:                
                31 March 1998 and 31 December 1997                       4 
                                                                           
                Unaudited statement of cash flows:                         
                Three months ended 31 March 1998                           
                and 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 
 


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<PAGE>
 
ELMWOOD FUNDING LIMITED
Unaudited statement of operations
for the three months ended 31 March 1998 and 31 December 1997

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<TABLE> 
<CAPTION> 
                                                      THREE MONTHS ENDED
                                            31 MARCH 1998        31 DECEMBER 1997
                                NOTE                 (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

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                                                                          Page 3
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Unaudited statement of financial condition
as at 31 March 1998 and 31 December 1997

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<TABLE>
<CAPTION>
                                                        31 MARCH 1998         31 DECEMBER 1997
                                            NOTE            (US$)                   (US$)
<S>                                    <C>              <C>                   <C>
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
                                                      ===============       ==================
</TABLE>


                       See notes to financial statements

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                                                                          Page 4

                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Unaudited statement of cash flows
for the three months ended 31 March 1998 and 31 December 1997


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<TABLE>
<CAPTION>
                                                                       THREE MONTHS ENDED
                                                               31 MARCH 1998           31 DECEMBER
                                                                                          1997
                                                 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                (1,000)
 
  NET CASH USED IN OPERATING ACTIVITIES
                                                                  1,000                (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
Proceeds from issue of share capital                9                 -                 1,000
 
  NET CASH PROVIDED BY FINANCING
   ACTIVITIES                                                         -                 1,000
 
                                                           -------------------     ----------------
 
 
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                     -
                                                           ===================     ================
</TABLE>
ELMWOOD FUNDING LIMITED
Notes to the financial statements
31 March 1998

                       See notes to financial statements

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                                                                          Page 5
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Unaudited statement of cash flows
for the three months ended 31 March 1998 and 31 December 1997

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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.


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                                                                          Page 6
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
31 March 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.


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                                                                          Page 7
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
31 March 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.



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                                                                          Page 8
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Notes to the financial statements (continued)
31 March 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.


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                                                                          Page 9
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Managements discussion and analysis of financial condition and results of
operations
as at 31 March 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.


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                                                                        Page 10
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
PART II - OTHER INFORMATION
Item 6
as at 31 March 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

       4.1    Series Supplement dated as of 9 February 1998 by and between
              Elmwood Funding Limited as Depositor, and United States Trust
              Company of New York, as Trustee, incorporated herein by reference
              from Exhibit 4 to the Company's Registration Statement on Form 8-A
              (File No. 333 -29327), filed with the Securities and Exchange
              Commission on February 3, 1998.

       27     Financial Data Schedule












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                                                                        Page 11
                   These financial statements are unaudited
<PAGE>
 
ELMWOOD FUNDING LIMITED
Signatures
as at 31 March 1998

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

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                      15 May 1998
----------------------                      -----------
David JJ Egglishaw                          Date
Director



/s/ Derrie Boggess                          15 May 1998
------------------                          -----------
Derrie Boggess                              Date
Director








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                                                                        Page 12
                   These financial statements are unaudited