<PAGE>   1

   As filed with the Securities and Exchange Commission on November 15, 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 September 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)

             Delaware                                  74-6439983
  (State or other jurisdiction of          (I.R.S. Employer Identification No.)
    incorporation or organization)


                          c/o 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 November 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
                    September 30, 1999 and December 31, 1998
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                       September 30, 1999         December 31, 1998
                                                                       ------------------         -----------------
<S>                                                                   <C>                        <C>
                             Assets

Investments in securities at fair value,  cost of $6,393,820 and
$9,210,118                                                            $         5,499,225        $        7,943,201

Investment in affiliate                                                         1,241,509                 2,362,165

Cash                                                                              160,902                    86,940

Accounts Receivable                                                                     -                         -

Organization Costs, Net                                                                 -                         -
                                                                       ------------------         -----------------

                          Total Assets                                  $       6,901,636        $       10,392,306
                                                                       ==================         =================



                          Liabilities



Accounts Payable                                                        $         176,701        $          120,284

Investment Advisory Fee Payable                                                         -                    51,030

Dividend Payable                                                                        -                         -

Note Payable                                                                      986,634                 4,448,795

Escrow Funds                                                                        7,625                    10,589
                                                                       ------------------         -----------------

                       Total Liabilities                                        1,170,960                 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                                 (2,436,336)               (1,716,978)

Accumulated undistributed net realized gains net of
distributions of $1,610,805 and $1,610,805                                      1,388,207                 1,502,310

Accumulated undistributed equity of subsidiary                                  (303,373)                 (733,580)

Accumulated undistributed unrealized gain (loss)on investments                  (894,595)               (1,266,917)
                                                                       ------------------         -----------------

Total Net Assets ($6.21 and $6.25 per share)                                    5,730,676                 5,761,608


Total Liabilities & Net Assets                                          $       6,901,636        $       10,392,306
                                                                       ==================         =================
</TABLE>


   The accompanying notes are an integral part of these financial statements


                                    Page -2-

<PAGE>   3


                        PLYMOUTH COMMERCIAL MORTGAGE FUND
                            Statements of Operations
                                   (unaudited)

<TABLE>
<CAPTION>
                                         For the three      For the three      For the nine      For the nine
                                         months ended       months ended       months ended      months ended
                                         September 30,      September 30,      September 30,     September 30,
                                         1999               1998               1999              1998
                                         -------------      -------------      -------------     -------------
<S>                                      <C>                <C>                <C>               <C>
INVESTMENT INCOME:

Interest                                 $     151,597       $     160,333      $    406,896      $    580,617

Other Investment Income                              -                   -               814               260
                                         -------------      --------------     -------------     -------------

Total Investment Income                  $     151,597             160,333           407,710           580,877

EXPENSES:

Investment advisory fee                        110,501             151,041           382,038           582,397

Legal and Professional                          93,059              38,893           205,630           108,161

Interest expense                                20,006              28,015           192,895           342,096

Operating expense                              100,570              66,217           346,505           193,737
                                         -------------      --------------     -------------     -------------

Total Expenses                                 324,136             284,166         1,127,068         1,226,391

Net Investment Loss                      $   (172,539)       $   (123,833)      $  (719,358)      $  (645,514)
                                         -------------      --------------     -------------     -------------

Realized gain on sale of investment          (142,891)             359,577         (354,830)         1,426,668

Realized gain on collection of notes            42,815             132,091           240,727           611,845

Change in unrealized appreciation on
assets                                       (702,953)           (337,120)           372,322       (1,135,312)

Equity in earnings of affiliate                412,003            (90,855)           430,207         (138,660)
                                         -------------      --------------     -------------     -------------

Net increase (decrease) in net assets
resulting from operations                $   (563,565)       $    (60,140)      $   (30,932)      $    119,027
                                         =============      ==============     =============     =============
</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 nine      For the nine
                                           months ended      months ended     months ended      months ended
                                           September 30,     September 30,    September 30,     September 30,
                                           1999              1998             1999              1998
                                           -------------     -------------    -------------     -------------
<S>                                          <C>               <C>              <C>               <C>
Operations before distributions

Net investment loss                             (172,539)         (123,833)         (719,358)        (645,514)

Net realized gain on sale of investments        (142,891)           359,577         (354,830)        1,426,668

Net realized gain on collections                   42,815           132,092           240,727          611,845

Changes in unrealized appreciation on
investments                                     (702,953)         (337,120)           372,322      (1,135,312)

Equity in earnings of affiliates                  412,003          (90,855)           430,207        (138,660)
                                           ---------------   --------------   ----------------  --------------


Net increase in net assets from
operations before distributions                 (563,565)          (60,139)          (30,932)          119,027


Distribution to shareholders from:

Capital share transactions:                             -         (967,709)                 -        (967,709)
                                           ---------------   --------------   ----------------  --------------

Total increase in net assets                    (563,565)       (1,027,848)          (30,932)        (848,682)


Net assets, beginning of period                 6,294,241         8,597,326         5,761,608        8,418,160
                                           ---------------   --------------   ----------------  --------------

Net assets, end of period                       5,730,676         7,569,478         5,730,676        7,569,478
                                           ===============   ==============   ================  ==============

Per Share Data


Investment income                                    0.16              0.17              0.44             0.63

Expenses                                           (0.35)            (0.31)            (1.22)           (1.33)

Net realized gain on sale of investments           (0.15)              0.39            (0.38)             1.55

Net realized gain on collection of notes             0.04              0.14              0.26             0.66

Equity in earnings of affiliate                      0.44            (0.10)              0.46           (0.15)

Change in unrealized appreciation on
assets                                             (0.75)            (0.36)              0.40           (1.23)
                                           ---------------   --------------   ----------------  --------------

Increase in net assets from operations
before distributions                               (0.61)            (0.07)            (0.04)             0.13

Capital share transactions

Distributions from realized gain on
securities                                           0.00            (1.05)              0.00           (1.05)
                                           ---------------   --------------   ----------------  --------------

Net Increase (decrease) in net asset value         (0.61)            (1.12)            (0.04)           (0.92)

Net asset value

Beginning of period                                  6.82              9.33              6.25             9.13
                                           ---------------   --------------   ----------------  --------------

End of period                                        6.21              8.21              6.21             8.21
                                           ===============   ==============   ================  ==============

Ratio:

Expenses to Average Assets                         -3.70%             3.52%           -13.00%           15.34%

Net Investment Income to Average Assets            -1.09%            -1.53%            -8.03%           -8.08%
</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 nine months           For the nine months
                                                         ended September 30, 1999      ended September 30, 1998
                                                         ------------------------      ------------------------
<S>                                                      <C>                           <C>
Cash flows from operating activities


Increase (decreases) in net asserts from operations
before distributions                                       $              (30,932)     $               119,027
                                                          -------------------------    ------------------------



Adjustments to reconcile increases in net assets
from operations before distributions to net cash
provided


       Amortization of organization costs                                (372,322)                      23,400

       Change in unrealized appreciation on
       investments                                                               -                   1,135,312

       Changes in other assets                                           (430,207)                       4,707

       Equity in loss of affiliates                                              -                     138,660

       Changes in receivables                                                    -                           -

       Changes in payables                                                   5,387                     (1,127)

       Change in dividend s payable                                              -

       Change in escrow                                                    (2,964)                    (35,869)
                                                          -------------------------    ------------------------
Net cash provided/used by operating activities                           (831,038)                   1,384,110

Cash flow from investing activities

       Purchase of securities and capital
       expenditures                                                      (135,878)                 (3,633,746)

       Sale of securities/principal collection on
       securities                                                        4,391,564                   7,616,950

       Investment in affiliate                                             111,474                      35,997
                                                          -------------------------    ------------------------
Net cash provided/used  by investing activities                          4,367,160                   4,019,201



Cash flow from financing activities

       Change in note net                                              (3,462,161)                 (5,024,842)

       Dividends paid                                                            -                   (781,896)
                                                          -------------------------    ------------------------
Net cash provided by financing activities                              (3,462,161)                 (5,806,738)


Net decrease in cash and cash equivalents                                   73,962                   (403,426)


Cash and cash equivalents at beginning of period                            86,940                     568,899
                                                          -------------------------    ------------------------

Cash and cash equivalents at end of period                                 160,902                     165,473
                                                          =========================    ========================
</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").

The foregoing facts do not reflect the Fund's plans for the future. Beginning in
August 1999, the shareholders were presented with a proposal to convert the
Fund's operations from a Delaware business trust to a Texas limited partnership.
The proposal was approved by just over 90% of the Fund's shareholders, which
exceeds the 85% minimum approval necessary for the plan to go forward. The only
remaining contingency to proceeding with the Texas limited partnership is to
close new financing with Transamerica Business Credit Corp. The Fund expects
that financing to close late in November or early in December, 1999. If the
limited partnership goes forward, it will not be a business development company,
and the partnership will not be a reporting company.

At the time that the Transamerica financing closes, the shareholders who
dissented from the Fund's contiuation as a Texas limited partnership will
receive an in-kind distribution of the Fund's assets. Those shareholders have
already selected the assets they will take.

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


                                    Page -6-
<PAGE>   7


         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 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 third 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 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


                                    Page -7-
<PAGE>   8

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 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.

Under the 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.


                                    Page -8-
<PAGE>   9

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 September 30,1999, 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.

5.  INDEBTEDNESS

During the period to which this report relates, the Fund had a term loan with
Comerica Bank--Texas, N.A. that is secured by a first lien on all of the Fund's
assets. As of September 30,1999, the amount of $986,634 remained outstanding
under the loan.

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

Liquidity and Capital Resources

As of September 30, 1999, Plymouth has $5,730,676 in net assets and owed
$986,634 on its term loan..

Plymouth's liquidity consists of its capital not invested in loans plus any
amounts it might be able to borrow. Plymouth's original capital is long since
invested so borrowings would be its only available source of liquidity. During
the last quarter, however, Plymouth no longer had a credit line, only a term
loan. Thus, borrowing offered Plymouth no source of liquidity. There are no
material, unused sources of liquidity.

As with recent previous quarters, Plymouth's credit limitations prevented it
from making any new purchases in the third quarter. As with recent previous
quarters, the inability to purchase new loans not only suppressed income in the
quarter but also will likely have adverse effects in later quarters. Lack of
purchases in prior quarters was a part of the reason for lack of income in this
quarter.

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

Plymouth entered into a term loan that extended the maturity date of the debt to
November 15, 1999. Under the terms of the loan, Plymouth receives 30% of cash
receipts for operating expense and the remainder goes to Comerica to be applied
to the debt. Management believes the debt is well secured


                                    Page -9-
<PAGE>   10

by the available assets, but the arrangement leaves Plymouth tight on operating
cash and allows no room for growth.

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. Just over 90% of the shareholders accepted. Thus, the offer was successful
and the plan of conversion to a limited partnership will go forward if
management is successful in closing on the financing from Transamerica Business
Credit Corp. If the financing fails, the Board of Trustees will have to decide
how best to proceed. The most likely occurrence remains a bulk-sale of
Plymouth's assets followed by a dissolution. If the financing closes, the new
entity will be Plymouth Commercial Mortgage, Ltd.

Plymouth is not able to repay the indebtedness to Comerica on the November 15,
1999 due date. Based on telephone conversations with Comerica representatives,
Plymouth believes that Comerica will give it time to close on the Transamerica
financing so that Comerica can be paid off in that way. If Comerica does not
provide Plymouth with that latitude, although the debt is well collateralized,
Plymouth will be unable to repay the debt and will have to review its options to
prevent foreclosure.

Results of Operations

         Nine Months Ending 9/30/99

During the nine 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. Plymouth has received the shareholder vote requisite to conversion
and the only remaining contingency is the closing of the Transamerica financing.
If Plymouth does not get the financing, its ability to continue is in question.

During the nine month period ending September 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 decreased from $6.25 at December 31,1998 to $6.21 at
September 30,1999.


                                   Page -10-
<PAGE>   11

During the nine month period ending September 30,1999 Plymouth had gross
collections of $4,806,794. Those collections resulted in a realized loss of over
$833,000. The loss arose from slow collections and two assets having been
written off creating a loss of $476,000. The per share value did not drop
significantly, because the losses had been expected and had been previously
accounted for in Plymouth's estimates of fair market value. The assets remaining
in Plymouth's portfolio are those left over from prior purchases that Plymouth
has had the most difficulty in resolving. If Plymouth continues to be unable to
purchase new assets, it will not remain financially viable.

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 Nine Months Ending 09/30/98

During the nine month period ending September 30,1998, Plymouth purchased 24
additional loans with a cost of $3,551,543 and a total outstanding principal
balance of $5,378,285. Plymouth's per share value decreased to $8.21 from $9.13
at December 31, 1997. The decrease was principally due to a $1.05 per share
dividend declared year to date for 1998. The aggregate dividends declared year
to date from realized income is $967,709. The per share value has also been
reduced by undistributed unrealized losses.

During the nine month period ending September 30,1998, Plymouth had gross
collections of $10,236,782. 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 $1,393,000 for the nine
month period ending September 30, 1998. The GAAP net increase in assets for the
nine month period was $119,027 after a change in unrealized appreciation of
($1,273,972). The number is negative because gain was moved from unrealized to
realized as a result of settlements and sales of loans.

         Three Month period ending September 30,1999 and Comparable Period
         Ending September 30,1998.

During the three month period ending September 30,1999, Plymouth had gross
collections of $2,526,707. Those collections resulted in a realized loss of
$272,615. Once again this was a result of the assets being resolved having lower
income margins and operating expenses too high for the assets under management.



                                   Page -11-
<PAGE>   12

YEAR 2000 ANALYSIS

The Year 2000 problem ("Y2K") relates back to a formerly common practice among
writers of computer code. To reduce the length of the code, writers often used
only the last two digits to represent a year, building into the system that all
two-digit years are preceded by "19." That assumption will, of course, prove to
be erroneous at the end of this year.

The problem is most often thought of as relating to software. If a program's
code abbreviates references to years to two digits, when presented with a year
2000 or later number, the program may produce erratic results or cease to
function altogether, depending on how crucial dates are to its operation. The
problem can also arise, however, with what we think of as hardware. Much
hardware contains chips with embedded code. If the writers of that code
abbreviated references to years to two digits, then, when presented with a year
2000 or later number, the hardware too may present the same problems described
for software.

As to hardware, Plymouth relies upon Greystone's computer system. Both the file
server and the work stations are Pentium class machines. Greystone obtained a
software program that tested


                                   Page -12-
<PAGE>   13

machines for Y2K compliance. Several of Greystone's personal computers did not
pass the test, and they have been replaced.

As to software, Greystone's server is a personal computer running a Windows NT
based network. Each work station is an independent personal computer using
Windows 95 as an operating system. Depending on the versions, neither Windows NT
nor Windows 95 can be relied upon to be Y2K compliant. Greystone has updated its
operating system and principal application programs to versions that are Y2K
compliant.

Neither Plymouth nor Greystone have any online connections with third parties
that are material to its operations.

Failure to correct a material Y2K problem could result in an interruption in, or
a failure of certain normal business activities or operations. Such failures
could materially and adversely affect the Plymouth's operations, liquidity and
financial condition. Due to the general uncertainty inherent in the Y2K,
Plymouth is unable to determine at this time whether the consequences of Y2K
failures will have a material impact on the its operations, liquidity or
financial condition.

PART II - OTHER INFORMATION

Item 1:  LEGAL PROCEEDINGS

         None.

Item 2:  CHANGES IN SECURITIES

         None.

Item 3:  DEFAULTS UPON SENIOR SECURITIES

         Plymouth's current line of credit is was extended until November 15,
         1999. As of that date, there is no immediate substitute and Plymouth is
         not in a position to repay. Plymouth expects to close o new financing
         with Transamerica Business Credit Corp. in the next few weeks.

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

         None.

Item 5:  OTHER INFORMATION

         The requisite number of Plymouth's shareholders accepted the offer
         represented by the Confidential Private Exchange Offer Memorandum for
         the offer to become effective. Just under 10% in interest rejected the
         offer and, if the conversion into a limited partnership proceeds, will
         receive an in-kind distribution of assets. The conversion to a limited
         partnership is still contingent on the closing of the financing from
         Transamerica Business Credit Corporation, which management expects to
         happen later in November.



                                   Page -13-
<PAGE>   14

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)

-----------

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 #1 to the registrant's
initial registration statement on Form 10 (File no. 0-21443), as filed with
the commission on January 15, 1997.

(3) Incorporated herein by reference from the registrant's Form 10-Q filed with
the Commission for the period ending March 31, 1998 on or about May 14, 1998.

(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.

         REPORTS ON FORM 8-K- None.


                                    Page -14-
<PAGE>   15

                                   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.

                                 PLYMOUTH COMMERCIAL MORTGAGE FUND

                                 /s/ Robert R. Swendson
November 15, 1999
                                 ---------------------------------------
                                 Robert R. Swendson, President and Chief
                                 Executive Officer

                                 /s/ Patrick J. Panzarella
November 15, 1999
                                 ----------------------------------------------
                                 Patrick J. Panzarella, Chief Financial Officer
                                 (Principal Financial Officer)



----------------
    Commission for the period ending June 30, 1997 on or about August 14, 1997.

                                   Page -15-