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                                                                    EXHIBIT 23.5
 
                          CONSENT OF FINANCIAL ADVISOR
 
    We hereby consent to the inclusion of our opinion letter to the Board of
Directors of ONBANCorp, Inc. (the "Company") as Appendix D in the Joint Proxy
Statement/Prospectus relating to the proposed merger of the Company with and
into First Empire State Corporation's subsidiary Olympia Financial Corp.
contained in the Registration Statement on Form S-4, and to the references to
our firm and such opinion in such Joint Proxy Statement/Prospectus. In giving
such consent, we do not admit that we come within the category of persons whose
consent is required under Section 7 of the Securities Act of 1933, as amended
(the "Act"), or the rules and regulations of the Securities and Exchange
Commission thereunder (the "Regulations"), nor do we admit that we are experts
with respect to any part of such Registration Statement within the meaning of
the term "experts" as used in the Act or the Regulations.
 
                                          SANDLER O'NEILL & PARTNERS, L.P.
 
February 9, 1998
