<PAGE>   1
    As filed with the Securities and Exchange Commission on August 13, 1999

                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 10-Q

    [ X ] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES
                              EXCHANGE ACT OF 1934
                    For quarterly period ended June 30, 1999

[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE
                                  ACT OF 1934
          For the transition period from              to
                                         ------------    ----------------
                        Commission File Number: 0-21443

                       PLYMOUTH COMMERCIAL MORTGAGE FUND
             (Exact name of registrant as specified in its charter)

<TABLE>
<CAPTION>
                      Delaware                                             74-6439983
<S>                                                           <C>
  (State or other jurisdiction of incorporation or            (I.R.S. Employer Identification No.)
                    organization)
</TABLE>

                         (%) Greystone Advisers, Inc.,
                          13333 Blanco Road, Suite 314
                         San Antonio, Texas 78216-7756
          (Address of principal executive offices, including zip code)

                                  210-493-3971
              (Registrant's telephone number, including area code)

                                 Not Applicable
             (Former name, former address, and former fiscal year,
                         if changed since last report)

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.

                                [X] Yes   [ ] No

 As of August 12, 1999, 921,627 of the registrant's common shares of beneficial
                   interest, no par value, were outstanding.

<PAGE>   2

                       PLYMOUTH COMMERCIAL MORTGAGE FUND
                      Statements of Assets and Liabilities
                      June 30, 1999 and December 31, 1998
                                  (Unaudited)

<TABLE>
<CAPTION>
                                                                                      June 30, 1999     December 31, 1998
                                                                                      -------------     -----------------
                          Assets
                          ------
<S>                                                                                <C>                   <C>
Investments in securities at fair value, cost of $6,252,293 and $9,210,118          $       6,060,651     $      7,943,201

Investment in affiliate                                                                     2,373,175            2,362,165

Cash                                                                                            9,386               86,940

Accounts Receivable                                                                            25,000                    -

                       Total Assets                                                  $      8,468,212     $     10,392,306
                                                                                    ==================   ==================

                        Liabilities
                        -----------

Accounts Payable                                                                     $        189,002     $        120,284

Investment Advisory Fee Payable                                                                     -               51,030

Note Payable                                                                                1,977,616            4,448,795

Escrow Funds                                                                                    7,353               10,589
                                                                                    ------------------   ------------------
                     Total Liabilities                                                      2,173,971            4,630,698


                        Net Assets
                        ----------

Common shares of beneficial interest, no par value, 1,750,000 shares
authorized, 921,627 shares issued and outstanding                                           7,976,773            7,976,773

Accumulated undistributed net investment loss                                             (2,263,797)          (1,716,978)

Accumulated undistributed net realized gains net of distributions of
$1,610,805                                                                                 1,488,283            1,502,310

Accumulated undistributed equity of subsidiary                                              (715,376)            (733,580)

Accumulated undistributed unrealized gain (loss) on investments                             (191,642)          (1,266,917)
                                                                                    ------------------   ------------------
Total Net Assets ($6.82 and $6.25 per share)                                                6,294,241            5,761,608

Total Liabilities & Net Assets                                                       $      8,468,212     $     10,392,306
                                                                                    ==================   ==================
</TABLE>

   The accompanying notes are an integral part of these financial statements

                                    Page -2-

<PAGE>   3


                       PLYMOUTH COMMERCIAL MORTGAGE FUND
                            STATEMENT OF OPERATIONS
                                  (UNAUDITED)

<TABLE>
<CAPTION>

                                         FOR THE THREE   FOR THE THREE    FOR THE SIX     FOR THE SIX
                                         MONTHS ENDED    MONTHS ENDED     MONTHS ENDED    MONTHS ENDED
                                         JUNE 30, 1999   JUNE 30, 1998    JUNE 30, 1999   JUNE 30, 1998
                                         -------------   -------------    -------------   -------------
<S>                                     <C>              <C>              <C>             <C>
INVESTMENT INCOME:

INTEREST                                 $     142,087    $     223,110    $    255,299    $    420,284

OTHER INVESTMENT INCOME                              -              260             814             260
                                        ---------------  ---------------  --------------  --------------
TOTAL INVESTMENT INCOME                        142,087          223,370         256,113         420,544

EXPENSES:

INVESTMENT ADVISORY FEE                        125,966          192,263         271,537         431,356

LEGAL AND PROFESSIONAL                          76,082           34,659         112,571          69,268

INTEREST EXPENSE                                74,175          143,416         172,889         314,081

OPERATING EXPENSE                              147,329           53,405         245,935         127,520
                                        ---------------  ---------------  --------------  --------------
TOTAL EXPENSES                                 423,552          423,743         802,932         942,225

NET INVESTMENT LOSS                          (281,465)        (200,373)       (546,819)       (521,681)

REALIZED GAIN ON SALE OF INVESTMENTS          (43,305)        1,032,091       (211,939)       1,067,091

REALIZED GAIN ON COLLECTION OF NOTES           154,740          330,243         197,912         479,754

CHANGE IN UNREALIZED APPRECIATION ON
ASSETS                                         105,318        (847,207)       1,075,275       (798,192)

EQUITY IN EARNINGS OF AFFILIATE              (138,262)           12,844          18,204        (47,805)
                                        ---------------  ---------------  --------------  --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS                $   (202,974)    $     327,598    $    532,633    $    179,167
                                        ===============  ===============  ==============  ==============
</TABLE>

   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS

                                    Page -3-

<PAGE>   4


                       PLYMOUTH COMMERCIAL MORTGAGE FUND
                      STATEMENTS OF CHANGES IN NET ASSETS
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                       FOR THE THREE     FOR THE THREE       FOR THE SIX        FOR THE SIX
                                                       MONTHS ENDED      MONTHS ENDED        MONTHS ENDED       MONTHS ENDED
                                                       JUNE 30, 1999     JUNE 30, 1998       JUNE 30, 1999      JUNE 30, 1998
<S>                                                   <C>                <C>                  <C>              <C>
OPERATIONS BEFORE DISTRIBUTIONS:

NET INVESTMENT LOSS                                     $     (281,465)    $     (200,373)     $    (546,819)     $       52,168

NET REALIZED GAIN ON SALE OF INVESTMENTS                       (43,305)          1,032,091          (211,939)          1,067,091

NET REALIZED GAIN ON COLLECTIONS                                154,740            330,243            197,912            479,754

CHANGES IN UNREALIZED APPRECIATION ON INVESTMENTS               105,318          (847,208)          1,075,275          (798,193)

EQUITY IN EARNINGS OF AFFILIATE                               (138,262)             12,844             18,204           (47,805)
                                                       -----------------  -----------------   -----------------  -----------------

NET INCREASE IN NET ASSETS FROM OPERATIONS BEFORE
DISTRIBUTION TO SHAREHOLDERS                                  (202,974)            327,597            532,633            179,166

DISTRIBUTION TO SHAREHOLDERS FROM:

NET REALIZED GAIN ON INVESTMENTS                                      -                  -                  -                  -

CAPITAL SHARE TRANSACTIONS                                            -                  -                  -                  -
                                                       -----------------  -----------------   -----------------  -----------------
TOTAL INCREASE IN NET ASSETS                                  (202,974)            327,597            532,633            179,166


NET ASSETS, BEGINNING OF PERIOD                               6,497,215          8,269,729          5,761,608          8,418,160
                                                       -----------------  -----------------   -----------------  -----------------

NET ASSETS, END OF PERIOD                               $     6,294,241          8,597,326          6,294,241          8,597,326
                                                       =================  =================   =================  =================

PER SHARE DATA


INVESTMENT INCOME                                                  0.15               0.24               0.27               0.46

EXPENSES                                                         (0.45)             (0.46)             (0.87)             (1.02)

NET REALIZED GAIN ON SALE OF INVESTMENTS                         (0.04)               1.12             (0.22)               1.16

NET REALIZED GAIN ON COLLECTION OF NOTES                           0.16               0.36               0.21               0.52

EQUITY IN EARNINGS OF AFFILIATE                                  (0.15)               0.01               0.01             (0.05)

CHANGE IN UNREALIZED APPRECIATION ON ASSETS                        0.11             (0.92)               1.17             (0.87)
                                                       -----------------  -----------------   -----------------  -----------------

INCREASE (DECREASE)IN NET ASSETS FROM OPERATIONS
BEFORE DISTRIBUTIONS                                             (0.22)               0.35               0.57               0.20

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

DISTRIBUTIONS FROM REALIZED GAIN ON SECURITIES                     0.00               0.00               0.00               0.00
                                                       -----------------  -----------------   -----------------  -----------------
NET INCREASE (DECREASE) IN NET ASSET VALUE                       (0.22)               0.35               0.57               0.20

NET ASSET VALUE

BEGINNING OF PERIOD                                                7.04               8.98               6.25               9.13
                                                       -----------------  -----------------   -----------------  -----------------

END OF PERIOD                                           $          6.82               9.33               6.82               9.33
                                                       =================  =================   =================  =================

RATIOS:

EXPENSES TO AVERAGE ASSETS                                       -4.05%             -5.02%            -13.32%            -11.07%

NET INVESTMENT LOSS TO AVERAGE ASSETS                            _4.04%             -2.38%             -9.07%             -6.13%
</TABLE>

   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS

                                    Page -4-

<PAGE>   5


                       PLYMOUTH COMMERCIAL MORTGAGE FUND
                            STATEMENTS OF CASH FLOWS
                                  (UNAUDITED)

<TABLE>
<CAPTION>

                                                             FOR THE SIX MONTHS          FOR THE SIX MONTHS
                                                             ENDED JUNE 30, 1999         ENDED JUNE 30, 1998
                                                            ------------------------    -------------------------
<S>                                                         <C>                         <C>
CASH FLOWS FROM OPERATING ACTIVITIES:

INCREASE (DECREASES) IN NET ASSETS FROM OPERATIONS BEFORE
DISTRIBUTIONS                                                 $              532,633         $              179,167

ADJUSTMENTS TO RECONCILE INCREASES IN NET ASSETS FROM
OPERATIONS BEFORE DISTRIBUTIONS TO NET CASH PROVIDED BY
OPERATING ACTIVITIES


       AMORTIZATION OF ORGANIZATION COSTS                                                                    15,600

       CHANGE IN UNREALIZED APPRECIATION ON INVESTMENTS                  (1,075,275)                        798,192

       CHANGES IN OTHER ASSETS                                                     -                              -

       EQUITY IN LOSS OF AFFILIATES                                         (18,204)                         47,805

       CHANGES IN RECEIVABLES                                               (25,000)                            200

       CHANGE IN PAYABLES                                                     17,688                       (42,953)

       CHANGES IN DIVIDEND PAYABLE                                                 -                      (275,001)

       CHANGE IN ESCROW                                                      (3,236)                       (21,076)
                                                             ------------------------       ------------------------
NET CASH PROVIDED(USED) BY OPERATING ACTIVITIES                            (571,394)                        701,934


CASH FLOW FROM INVESTING ACTIVITIES:

       PURCHASE OF SECURITIES AND CAPITAL EXPENDITURES                     (135,878)                      (903,597)

       SALE OF SECURITIES/PRINCIPAL COLLECTION ON
       SECURITIES/

                TRANSFER TO AFFILIATE                                      3,019,018                      6,347,995

       INVESTMENT IN AFFILIATE                                                81,878                         35,996
                                                             ------------------------       ------------------------
NET CASH PROVIDED(USED) BY INVESTING ACTIVITIES                            2,965,018                      5,480,394


CASH FLOW FROM FINANCING ACTIVITIES:


       CHANGE IN NOTE, NET                                               (2,471,179)                    (6,599,971)

       DIVIDENDS PAID                                                              -                              -

       DISTRIBUTION FROM NET REALIZED GAIN ON INVESTMENTS                          -                              -
                                                             ------------------------       ------------------------
NET CASH PROVIDED BY FINANCING ACTIVITIES                                (2,471,179)                    (6,599,971)

NET DECREASE IN CASH AND CASH EQUIVALENTS                                   (77,555)                      (417,643)

CASH AND CASH EQUIVALENTS AT BEGINNING OF PERIOD                              86,940                        568,899
                                                             ------------------------       ------------------------
CASH AND CASH EQUIVALENTS AT END OF PERIOD                      $              9,385         $              151,256
                                                             ========================       ========================
</TABLE>

   THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS

                                    Page -5-

<PAGE>   6


1. ORGANIZATION AND BUSINESS PURPOSE

Plymouth Commercial Mortgage Fund, a Delaware business trust, (the "Fund") was
organized on August 23, 1996 and commenced operations on September 27, 1996. The
Fund seeks to achieve a high level of current income by purchasing loans where
the obligor is having trouble meeting the loan's contractual requirements. The
loans that the Fund purchases are typically secured by commercial real estate.

The Fund has elected to be regulated as a business development company under the
Investment Company Act of 1940, as amended ("1940 Act").

2.  SIGNIFICANT ACCOUNTING POLICIES

         A.    Basis of Presentation- The financial statements included herein
         have been prepared in accordance with generally accepted accounting
         principles for interim financial information and the instructions to
         Form 10-Q and Article 6 of Regulation S-X. Accordingly, certain
         information and notes that are required by generally accepted
         accounting principles for complete financial statements are not
         included herein. The interim statements should be read in conjunction
         with the financial statements and notes included in the Fund's most
         recent annual report on Form 10-K. Interim statements are subject to
         possible adjustments in connection with the annual audit of the Fund.
         Management believes all adjustments necessary for a fair presentation
         of these interim statements have been included.

         B.    Security Valuation -There is no publicly quoted market for the
         Fund's impaired loan portfolio. As such, the fair value of the
         portfolio is established by the Fund's Board of Trustees using their
         best judgment. Such values are based upon what the Board believes the
         Fund could reasonably expect to receive for each impaired loan in an
         orderly disposition over a reasonable time period.

         In establishing the fair value of a loan, the Board considers aspects
         about the individual loan as well as the general economy. Such factors
         include but are not limited to: the type of loan, whether the borrower
         is currently meeting the contractual terms of the obligation, the
         length of time that the borrower has or has not been meeting the
         contractual terms, the probability that the borrower will begin or stop
         making payments, the value of the collateral and the guarantees
         securing the loans, the Fund's historical experience selling the type
         of loan being valued, various standard financial measurements, the
         remaining contract terms, and prevailing interest rates.

         Certain elements of the valuation procedure involve subjective
         judgment. Because the majority of the Fund's impaired loans are
         delinquent, no assurance can be given that the Fund will be able to
         recover the fair value that the Board has established. The Fund's
         impaired loans are not typically backed by any government guarantee or
         private credit enhancement. In many cases, the Fund will also incur
         certain costs and delays in attempting to assert its right to payment
         or in foreclosing on the loan's collateral. The actual value realized
         on any particular loan will vary from the values determined by the
         Board and can only be determined in negotiations between the Fund and
         third parties.

         In asserting its rights, the Fund will often attempt to foreclose on a
         loan and acquire the collateral. Pursuant to the terms of its credit
         agreement, any real estate that is acquired through foreclosure is held
         by Plymouth REO, a wholly owned subsidiary of the Fund. Real estate
         acquired through foreclosure is recorded at its estimated fair value.

         C.    Federal Income Taxes - The Fund has elected the special income
         tax treatment available to "regulated investment companies" under
         Subchapter M of the Internal Revenue Code. If the Fund

                                    Page -6-

<PAGE>   7

         qualifies as a regulated investment company and distributes to
         shareholders annually in a timely manner at least 90% of its investment
         company taxable income, as defined by the Code (i.e., net investment
         income, including accrued discount, and net short-term capital gains),
         it will not be subject to federal income tax on the portion of its
         taxable investment income and net capital gain distributed to
         shareholders. In addition, if the Fund distributes in a timely manner
         98% of its net capital gain income for each fiscal year, and
         distributes 98% of its investment company taxable income for each
         calendar year (as well as any income not distributed in prior years),
         it will not be subject to the 4% nondeductible federal excise tax
         imposed with respect to certain undistributed income of regulated
         investment companies.

         D.    Distributions to Shareholders - The Fund paid no dividends to
         shareholders in respect of its operations during the second quarter of
         1999, and none were declared.

         E.    Other - Principal and interest payments due on notes held by the
         Fund are recognized on the date received. Interest income is typically
         not accrued because of the impaired nature of the Fund's loan
         portfolio.

3.  INVESTMENT ADVISORY AGREEMENT

The Fund has to entered into an Investment Advisory Agreement (Agreement) with
Greystone Advisers, Inc., a Delaware corporation, (Adviser). Initially, the
Adviser was a federally registered investment adviser under the Investment
Advisers Act of 1940. The Securities Markets Improvements Act of 1996, however,
altered the requirements for federal investment adviser registration. To
maintain its federal registration, the Adviser would have needed to have at
least $25,000,000.00 in assets under management. Accordingly, as of July 8,
1997, the Adviser was required by law to, and did, withdraw its federal
registration. Further, upon consultation with Texas securities counsel, the
Adviser determined that it was not required to have a Texas investment adviser
registration.

Under the Agreement, the Adviser manages the investments of the Fund, subject to
the supervision and control of the Fund's Board of Trustees. Specifically, the
Adviser identifies, evaluates, structures, closes and monitors the investments
made by the Fund. The Agreement was ratified by the Board of Trustees at its
February1, 1999 meeting remains in effect for a year from that time. It will
need to be renewed at least annually by the Board of Trustees, including a
majority of its members casting their votes in person who are not interested
persons of the Fund (as defined by the 1940 Act) at a meeting called for the
purpose of voting on such approval, or by a vote of a majority of the
outstanding voting securities of the Fund. The Agreement can be terminated by
the Fund at any time, without payment of any penalty, on sixty day's written
notice to the Adviser if the decision to terminate has been made by the Board of
Trustees or by a vote of a majority of the outstanding voting securities of the
Fund. The Agreement will terminate automatically in the event of its assignment.

The Adviser is required to pay all expenses that are incurred in rendering its
services. Generally, these expenses include the cost of office space, telephone
service, equipment and personnel required to perform its obligations under the
Agreement. The Fund will be required to pay its operating expenses and reimburse
the Adviser promptly for expenses that the Adviser may pay on the Fund's behalf,
except those specifically required to be borne by the Adviser under the
Agreement. Without limitation, the expenses to be borne by the Fund will
include: all expenses of any offering and sale by the Fund of its shares; the
fees and disbursements of the Fund's counsel, accountants, and custodian; fees
and expenses incurred in producing and effecting filings with federal and state
securities administrators; costs of the Fund's periodic reports to and other
communications with the Fund's shareholders; fees and expenses of members of the
Fund's Board of Trustees who are not directors, officers or employees of the
Adviser; premiums for the fidelity bond maintained by the

                                    Page -7-

<PAGE>   8

Fund; all costs related to portfolio investments, including without limitation
financing costs, legal and accounting fees, expenses related to protecting or
maintaining the value of the loan portfolio or its underlying collateral, and
other professional or technical fees and expenses (e.g., credit reports, title
searches and delivery charges, property taxes, insurance premiums, long-distance
telephone charges, costs of specialized consultants such as accountants or
industry-specific technical experts, and travel expenses) incurred in acquiring,
monitoring, negotiating, working-out, and effecting disposition of such
investments, as well as responding to any litigation arising therefrom; and all
expenses related to any borrowings by the Fund.

During the term of this Agreement, the Fund pays to the Adviser, on the 15th day
of each month: (a) a fee calculated at an effective annual rate of 5.94% of the
Fund's invested assets as of the end of the previous month; and (b) a fee
calculated at an effective annual rate of 0.48% of the Fund's cash and
short-term investments as of the end of the previous month. For purposes of
calculating the fee to be paid on a monthly basis, "invested assets" means the
asset value as determined by the Board as of the end of the previous fiscal
quarter minus cash, short-term investments, intangible assets, and the amount of
collections applied to the carrying value of the loan portfolio since the end of
the previous quarter, plus the cost of loans purchased and capitalized advances
to protect portfolio investments or underlying collateral since the end of the
previous quarter.

4.  INVESTMENTS

The Fund invests primarily in impaired loans of companies that qualify as
"eligible portfolio companies" as defined in Section 2(a)(46) of the 1940 Act or
in securities that otherwise qualify for investment as permitted in Section
55(a)(1) through (6). These loans are carried on the Statement of Assets and
Liabilities as of June 30,1998, at fair value, as determined in good faith by
the Fund's Board of Trustees.

These loans typically are offered at auction in packages of multiple loans.
Sellers include entities such as the Federal Deposit Insurance Corporation
(FDIC), banks, savings and loans, insurance companies and other financial
institutions. The Fund's investments in loan packages will be directed by the
Adviser. The Fund holds its real estate assets in a wholly-owned subsidiary as
required in the agreement establishing its senior credit facility.

Generally, a loan is considered impaired when, based on current information and
events, it is probable that a creditor will be unable to collect all amounts due
according to the contractual terms of the loan agreement unless the borrower
receives material assistance. While several types of impaired loans are
available for purchase, the Fund's portfolio is concentrated in impaired loans
secured by commercial real estate. For both financial and regulatory reasons,
commercial banks, either directly or indirectly through the FDIC, make these
loans available for sale in packages with prices that are typically more than $1
million per package. Quite often the sale of impaired loans in this market
offers creditors the only alternative to foreclosure.

5.  INDEBTEDNESS

During the period to which this report relates, the Fund had an $8,000,000 line
of credit with a Texas bank that is secured by a first lien on all of the Fund's
assets. As of June 30,1999 the Fund had borrowed $1,977,616 on the credit
facility.

During the second quarter, the Fund's lender reduced the Fund's maximum credit
limit from $8,000,000 to $4,000,000 and has informed the Fund that it should
move the credit line to another institution. See the discussion regarding the
Fund's credit needs set forth below under "Liquidity and Capital Resources."

                                    Page -8-

<PAGE>   9

ITEM 2: MANAGEMENT'S DISCUSSION AND ANALYSIS OF LIQUIDITY, CAPITAL RESOURCES,
        AND RESULTS OF OPERATIONS.

Liquidity and Capital Resources

As of June 30, 1999, Plymouth has $6,294,241 in net assets and had borrowed
$1,977,616 on its credit line.

Plymouth's liquidity consists of its capital not invested in loans plus the
amount that is available on its line of credit with Comerica Bank, N.A.
Plymouth's original capital is long since invested so amounts available under
its credit line are its only source of liquidity. Collections add to liquidity
only indirectly, to the extent they free up a portion of the borrowing base,
since all collections are paid into the bank lockbox. When Plymouth's borrowing
base goes to zero or below, it has no liquidity. There are no material, unused
sources of liquidity.

Plymouth continued to have difficulty with the borrowing base throughout the
second quarter. It was unable to make any new purchases of loans. The inability
to purchase new loans not only suppressed income in the second quarter of 1999
but also will likely have adverse effects in later quarters.

During the second quarter, the ratio required by the Comerica loan agreement
between Plymouth's net income and its interest expense went out of compliance.
Although the lender demanded that the breach be corrected, the non-compliance
will be waived if a renewal is entered into as discussed below.

In addition, Plymouth's loan agreement with Comerica expired July 15, 1999.
Comerica has agreed to a 90 day extension until October 15, 1999. There would be
a $25,000 fee and interest would be at prime plus 3. The renewal would eliminate
the revolving aspect of the loan. Comerica would make no new advances and
payments would be due in the amount of 70% of cash collections. Management does
not believe the terms are reasonable and has asked Comerica to reconsider.
Unless and until an agreement is reached, Plymouth will remain without a credit
line. Plymouth does not have the cash to repay the present debt balance and,
without a credit line, it has no source of cash to meet current obligations.
Plymouth believes that an agreement will be reached soon.

Management has obtained a proposal for long term financing from Transamerica
Business Credit Corporation. The terms of the financing are more favorable than
those in Plymouth's present agreement with Comerica and management believes the
Transamerica terms will permit Plymouth to return to profitability.
Transamerica, however, will not lend to Plymouth while it retains its BDC status
because of the attendant regulatory complexity.

To try to change Plymouth's situation, management sought and obtained from the
Board of Trustees a recommendation to drop Plymouth's BDC election. To preserve
pass-through federal income tax status, Plymouth plans to convert to a limited
partnership. Management has tried to accomplish the conversion by means of an
exchange offer whereby Plymouth's shareholders would exchange their shares for
units of a newly formed limited partnership. Shareholders not wishing to
participate in the limited partnership are offered notes. Those refusing both
partnership units and notes will receive an in-kind distribution of a pro rata
portion of Plymouth's assets.

The exchange offer was presented to Plymouth's shareholders by means of a
Confidential Private Exchange Offer Memorandum that was mailed out on August 10,
1999. The shareholders have until August 31, 1999 to decide whether to accept
the offer, although the offeror can extend that period for up to 90 days. For
the offer to be successful, 85% in interest must accept it. If the offer fails,
the Board of Trustees will have to decide how best to proceed. If that happens,
the most likely occurrence will be a bulk-sale of Plymouth's assets followed by
a dissolution.

                                    Page -9-

<PAGE>   10

Transamerica will not begin its final due diligence until Plymouth pays a
$75,000 fee. The Board of Trustees decided to wait to pay the fee until August
17, 1999. Because there is a meeting scheduled for August 16 at which
shareholders can ask questions about the offer, the Board believed that by the
17th Plymouth might have a better idea whether the offer will be successful.
Once the $75,000 is paid, Transamerica has estimated six weeks to close. Thus,
the extension from Comerica until October 15 should provide enough time to close
with Transamerica and take Comerica out.

Results of Operations

         Six Months Ending 6/30/99

During the six month period Plymouth has been trying to convert to a limited
partnership and bring on a new senior lender. Throughout the period, Plymouth
had insufficient liquidity for normal operations, so it had to sell assets
before they reached full value so as to keep the Comerica borrowing base in
compliance. If Plymouth is not successful in the conversion to a limited
partnership, its ability to continue is in question.

During The six month period ending June 30,1999, Plymouth was able to purchase
only one small asset for $59,000 due to the inability to borrow. Plymouth's per
share value increased from $6.25 at December 31,1998 to $6.82 at June 30,1999.
The increase was mainly due to an increase in unrealized appreciation of assets.
This indicates that several assets were closer to resolution than was believed
at 12/31/98. Also, one asset sold in early 1999 for $150,000 that had a fair
value of zero at 12/31/98.

During the six month period ending June 30,1999 Plymouth had gross collections
of $3,342,191. Those collections resulted in a realized loss of $560,846. The
loss arose from slow collections and the disposition of one asset that produced
a $245,000 loss. The fact that Plymouth has had to dispose off assets before
they have had an opportunity to reach full value in order to satisfy the
borrowing base has resulted in lower income from collections . Expenses for the
period were consistent with the level of assets under management. However, legal
expense has been higher due to the fact the assets remaining in the portfolio
are tougher to resolve. All potential losses management foresees are reflected
in the financial statements in the unrealized and undistributed accounts on the
balance sheet.

         Comparable Period Six Months Ending 06/30/98

During the six month period ending June 30,1998, Plymouth purchased nine
additional loans with a cost of $721,702 and a total outstanding principal
balance of $1,044,073. Plymouth's per share value increased to $9.33 from $9.13
at December 31, 1997. The increase was due to strong results realized at the
June 1998 loan auction that exceeded expected unrealized gains. For the period
Plymouth realized approximately $1,000,000 in taxable income and declared a
dividend to shareholders of 554 per share. The dividend was paid on July 18,
1998 to shareholders of record on that date. The aggregate amount of the
dividend was $506,894 and represents approximately half of taxable income for
the period. If the accompanying June 30, 1998 financial statements reflected the
dividend, the per share value would decline to $8.78.

During the six month period ending June 30,1998, Plymouth had gross collections
of $8,315,123, including fifty-five notes that settled or sold. Plymouth's
collections resulted in a net increase in net assets from operations, before
changes in unrealized appreciation on investments and equity in earnings of
affiliates, of $1,025,164 for the six month period ending June 30, 1998. The
gain principally arises from loan sales effected through a loan auction held in
June 1998. The GAAP net increase in assets for the six month period was $179,167
after a change in unrealized appreciation of ($798,192). The number is negative
because gain was moved from unrealized to realized as a result of the loan
auction.

                                   Page -10-

<PAGE>   11

The results above compare to 1999 numbers were due to the fact at that time
Plymouth was able to make purchases and maximize returns. Plymouth believes it
can produced these results again if the exchange offer is successful.

         Three Month period ending June 30,1999 and Comparable Period Ending
June 30.1998.

During the three month period ending June 30,1999, Plymouth had gross
collections of $2,280,087. Those collections resulted in a realized loss of $
170,030. Once again this was a result of the assets being resolved having lower
income margins and operating expenses to high for the assets under management.
This is why it is necessary to find a senior lender that will allow Plymouth to
purchase on a consistent basis. For the three month period ending June 30, 1998,
Plymouth realized gross collections of over $7,000,000 and realized a gain of
$532,453 The magnitude of both the collections and the gain arose from the June
1998 loan auction that had stronger assets then the 1999 auctions and Plymouth
had assets under management that could support the overhead of the BDC.

PART II - OTHER INFORMATION

Item 1:  LEGAL PROCEEDINGS

         None.

Item 2:  CHANGES IN SECURITIES

         None.

Item 3:  DEFAULTS UPON SENIOR SECURITIES

         During the second quarter, Plymouth's lender formally notified Plymouth
         of its obligation under the loan agreement to bring the interest
         coverage ratio back up into compliance.

         Plymouth's current line of credit is matured. Plymouth does not have
         the cash to repay the balance. Plymouth is in negotiations with the
         lender regarding a 90 day extension. It also has a term sheet from
         Transamerica Business Credit Corporation regarding permanent
         refinancing, but the Transamerica financing is dependent on Plymouth's
         withdrawal of its BDC status.

Item 4:  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

         None.

Item 5:  OTHER INFORMATION

         The shareholders of Plymouth have just been presented with a
         Confidential Private Exchange Offer Memorandum from PCMF, Ltd. a newly
         formed Texas limited partnership. If the offer is successful, PCMF will
         have basically the same ownership as Plymouth and continue Plymouth's
         business as a limited partnership. PCMF will not be a business
         development company. The shareholders have until August 31, 1999,
         unless extended, within which to indicate their acceptance or
         rejection. For the offer to be successful, 85% in interest must accept.
         If the offer is not successful, there is a question whether Plymouth
         will be able to continue in business.

                                   Page -11-

<PAGE>   12

Item 6.  EXHIBITS AND REPORTS ON FORM 8-K

         (a) EXHIBITS-

               (2)Plan of acquisition, reorganization, arrangement, liquidation
                  or succession: (None)

               (3)(i)   (A)Certificate of Trust of the registrant, as filed
                        August 23, 1996(1)
                        (B)Declaration of Trust of the registrant, dated August
                        23, 1996(1)

               (3)(ii)Bylaws of the registrant, dated September 3, 1996(1)

               (4)      (A)Loan Agreement between Comerica Bank-Texas and the
                        registrant, dated September 27, 1996(1)
                        (B)Agreement to furnish to the Commission upon request a
                        copy of Subordinated Note Agreement between the
                        registrant and SouthWest Holding Company, Inc., dated
                        September 27, 1996(2)

               (10)     (A)Investment Advisory Agreement by and between the
                        registrant and Greystone Advisers, Inc.(3)
                        (B)Custodial Agreement by and between Broadway National
                        Bank, Comerica Bank-Texas and the registrant, dated
                        September 27, 1996(4)

               (15)     Letter re unaudited interim financial information:
                        (None)

               (18)     Letter re change in accounting principles: (None)

               (19)     Report furnished to security holders: (None)

               (22)     Published report regarding matters submitted to vote of
                        security holders: (None)

               (23)     Consents of experts and counsel: (None)

               (24)     Power of attorney: (None)

               (27)     Financial Data Schedule(1)

         REPORTS ON FORM 8-K- None.

----------------------------
          1(1) Incorporated Herein By Reference From The Registrant'S Initial
          Registration Statement On Form 10 (File No. 0-21443), As Filed With
          The Commission On January 15, 1997.
          (2) Incorporated Herein By Reference From Amendment #1to The
          Registrant'S Initial Registration Statement On Form 10 (File No.
          0-21443), As Filed With The Commission On January 15, 1997.
          (3)  Filed Herewith.
          (4) Incorporated Herein By Reference From The Registrant'S Form 10-Q
          Filed With The Commission For The Period Ending June 30, 1997 On Or
          About August 14, 1997.

                                   Page -12-

<PAGE>   13

                                   SIGNATURES

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

<TABLE>
<CAPTION>
                                            PLYMOUTH COMMERCIAL MORTGAGE FUND
<S>                                        <C>
                                            /s/ Robert R. Swendson

August 13, 1999                                      -----------------------------------
                                            Robert R. Swendson, President and Chief Executive
                                            Officer

                                            /s/ Patrick J. Panzarella

August 13, 1999                                      -----------------------------------
                                            Patrick J. Panzarella, Chief Financial Officer (Principal
                                            Financial Officer)
</TABLE>

                                   Page -13-