<PAGE>   1

                       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 QUARTER ENDED JUNE 30, 1999            COMMISSION FILE NUMBER: 814-00127

                          BRANTLEY CAPITAL CORPORATION
             (EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)

                                    MARYLAND
             ------------------------------------------------------
                        (STATE OR OTHER JURISDICTION OF
                         INCORPORATION OR ORGANIZATION)

                                   34-1838462
             ------------------------------------------------------
                    (I.R.S. EMPLOYER IDENTIFICATION NUMBER)

           20600 CHAGRIN BOULEVARD, SUITE 1150, CLEVELAND, OHIO 44122
          (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES INCLUDING ZIP CODE)

                                 (216) 283-4800
              (REGISTRANT'S TELEPHONE NUMBER INCLUDING AREA CODE)

        Securities registered pursuant to Section 12(b) of the Act: None

          Securities registered pursuant to Section 12(g) of the Act:
                          Common Stock, $.01 par value

     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 [ ]

     The number of shares of common stock outstanding as of June 30, 1999 was
3,810,535.
<PAGE>   2

                        PART I.   FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

                          BRANTLEY CAPITAL CORPORATION
                                 BALANCE SHEETS

<TABLE>
<CAPTION>
                                                                               DECEMBER 31,
                                                              JUNE 30, 1999        1998
                                                              -------------    ------------
                                                               (UNAUDITED)
<S>                                                           <C>              <C>
          ASSETS
Cash and cash equivalents (Note 2)..........................   $18,114,431     $22,973,379
Investments, at market (Note 2).............................    31,481,528      26,911,160
Dividends and interest receivable...........................       472,313         433,874
Other assets................................................        63,641         137,113
                                                               -----------     -----------
          TOTAL ASSETS......................................   $50,131,913     $50,455,526
                                                               ===========     ===========
          LIABILITIES AND STOCKHOLDERS' EQUITY
LIABILITIES:
Advisory fee payable (Note 3)...............................   $   350,352     $   361,153
Administration fee payable..................................        18,691          12,500
Professional fee payable....................................        24,864          39,319
Organization and offering costs payable.....................        68,117          68,117
Other liabilities...........................................        66,280          32,909
                                                               -----------     -----------
          TOTAL LIABILITIES.................................   $   528,304     $   513,998
                                                               ===========     ===========
STOCKHOLDERS' EQUITY:
  Common Stock, $0.01 par value; 25,000,000 shares
     authorized and 3,810,535 outstanding at June 30, 1999
     and December 31, 1998 respectively.....................   $    38,105     $    38,105
  Additional paid in capital................................    37,505,433      37,505,433
  Retained earnings.........................................    12,060,071      12,397,990
                                                               -----------     -----------
          TOTAL STOCKHOLDERS' EQUITY........................    49,603,609      49,941,528
                                                               ===========     ===========
TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY..................   $50,131,913     $50,455,526
                                                               ===========     ===========
NET ASSET VALUE PER SHARE...................................   $     13.02     $     13.11
                                                               ===========     ===========
</TABLE>

See accompanying notes to the financial statements.

                                        2
<PAGE>   3

                          BRANTLEY CAPITAL CORPORATION

                            STATEMENTS OF OPERATIONS

                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                              FOR THE QUARTER    FOR THE QUARTER
                                                                   ENDED              ENDED
                                                                 JUNE 30,           JUNE 30,
                                                                   1999               1998
                                                              ---------------    ---------------
<S>                                                           <C>                <C>
INVESTMENT INCOME:
  Interest and dividend income..............................    $  303,467         $  432,573
                                                                ----------         ----------
OPERATING EXPENSES:
  Advisory fees.............................................       350,352            317,223
  Administration fees.......................................        33,122             29,867
  Professional fees.........................................        33,605             22,883
  Organization costs (Note 1)...............................            --              8,336
  Other.....................................................        46,711             35,156
                                                                ----------         ----------
  TOTAL EXPENSES............................................       463,790            413,465
                                                                ----------         ----------
NET (LOSS) INCOME...........................................    $ (160,323)        $   19,108
                                                                ----------         ----------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENT
  TRANSACTIONS:
  Net realized gain on investment transactions..............       791,086              9,201
  Net unrealized appreciation (depreciation) on investment
     transactions...........................................       328,119           (161,381)
                                                                ----------         ----------
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS..................     1,119,205           (152,180)
                                                                ----------         ----------
NET CHANGE IN NET ASSETS RESULTING FROM OPERATIONS..........    $  958,882         $ (133,072)
                                                                ==========         ==========
INCOME (LOSS) PER SHARE.....................................    $     0.25         $    (0.03)
                                                                ==========         ==========
DIVIDENDS DECLARED PER SHARE................................            --                .01
                                                                ==========         ==========
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING...............     3,810,535          3,810,535
                                                                ==========         ==========
</TABLE>

See accompanying notes to the financial statements.

                                        3
<PAGE>   4

                          BRANTLEY CAPITAL CORPORATION

                            STATEMENTS OF OPERATIONS

                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                                  FOR THE             FOR THE
                                                              SIX MONTHS ENDED    SIX MONTHS ENDED
                                                                  JUNE 30,            JUNE 30,
                                                                    1999                1998
                                                              ----------------    ----------------
<S>                                                           <C>                 <C>
INVESTMENT INCOME:
  Interest and dividend income..............................    $   613,170          $  857,765
                                                                -----------          ----------
OPERATING EXPENSES:
  Advisory fees.............................................        698,017             591,862
  Administration fees.......................................         66,921              59,456
  Professional fees.........................................         61,356              48,923
  Organization costs (Note 1)...............................         96,376              16,580
  Other.....................................................         92,361              93,598
                                                                -----------          ----------
  TOTAL EXPENSES............................................      1,015,031             810,419
                                                                -----------          ----------
NET (LOSS) INCOME...........................................    $  (401,861)         $   47,346
                                                                -----------          ----------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENT
  TRANSACTIONS:
  Net realized gain on investment transactions..............      1,250,296              74,679
  Net unrealized (depreciation) appreciation on investment
     transactions...........................................     (1,186,354)          1,649,379
                                                                -----------          ----------
NET GAIN ON INVESTMENT TRANSACTIONS.........................         63,942           1,724,058
                                                                -----------          ----------
NET CHANGE IN NET ASSETS RESULTING FROM OPERATIONS..........    $  (337,919)         $1,771,404
                                                                ===========          ==========
(LOSS) INCOME PER SHARE.....................................    $     (0.09)         $     0.47
                                                                ===========          ==========
DIVIDENDS DECLARED PER SHARE................................             --                 .01
                                                                ===========          ==========
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING...............      3,810,535           3,810,535
                                                                ===========          ==========
</TABLE>

See accompanying notes to the financial statements.

                                        4
<PAGE>   5

                          BRANTLEY CAPITAL CORPORATION

                            STATEMENTS OF CASH FLOWS

                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                             FOR THE SIX MONTHS    FOR THE SIX MONTHS
                                                               ENDED JUNE 30,        ENDED JUNE 30,
                                                                    1999                  1998
                                                             ------------------    ------------------
<S>                                                          <C>                   <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
  NET CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:......   $      (337,919)      $     1,771,404
  Adjustments to reconcile net change in net assets
     resulting from operations to net cash provided by
     operations:
       Net realized gain from investments..................        (1,250,296)              (74,679)
       Change in unrealized depreciation (appreciation)....         1,186,354            (1,649,379)
       Changes in assets and liabilities:
          Organization costs...............................            96,376                16,569
          Advisory fee payable.............................           (10,801)              (41,471)
          Administration fee payable.......................             6,191                (6,056)
          Professional fee payable.........................           (14,455)              (79,093)
          Distribution payable.............................                --              (342,948)
          Organization costs payable.......................                --               (25,000)
          Dividend and interest receivable.................           (38,439)             (135,424)
          Other assets.....................................           (22,904)               33,533
          Other liabilities................................            33,371                (6,739)
                                                              ---------------       ---------------
          NET CASH USED FOR OPERATING ACTIVITIES...........          (352,522)             (539,283)
                                                              ---------------       ---------------
CASH FLOWS FROM INVESTING ACTIVITIES:
       Purchases of investment securities..................        (8,960,826)                   --
       Sales/maturities of investment securities...........         4,455,475               876,646
       Purchases of short-term investments.................    (2,410,729,004)       (2,972,377,150)
       Sales/Maturities of short-term investments..........     2,410,727,929         2,972,382,144
                                                              ---------------       ---------------
          NET CASH (USED FOR) PROVIDED BY INVESTING
            ACTIVITIES.....................................        (4,506,426)              881,640
                                                              ---------------       ---------------
CASH FLOWS FROM FINANCING ACTIVITIES:
       Distribution from net investment income.............                --               (37,446)
                                                              ---------------       ---------------
          NET CASH USED FOR FINANCING ACTIVITIES...........                --               (37,446)
                                                              ---------------       ---------------
NET CHANGE IN CASH AND CASH EQUIVALENTS FOR THE PERIOD.....        (4,858,948)              304,911
                                                              ---------------       ---------------
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD.............        22,973,379            24,691,345
                                                              ---------------       ---------------
CASH AND CASH EQUIVALENTS, END OF THE PERIOD...............   $    18,114,431       $    24,996,256
                                                              ===============       ===============
</TABLE>

The Company paid no interest or federal income tax during the period.

See accompanying notes to the financial statements

                                        5
<PAGE>   6

                          BRANTLEY CAPITAL CORPORATION

                       STATEMENTS OF STOCKHOLDERS' EQUITY

                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                      ADDITIONAL                       TOTAL
                                           COMMON       PAID IN       RETAINED      STOCKHOLDERS
                                            STOCK       CAPITAL       EARNINGS         EQUITY
                                           -------    -----------    -----------    ------------
<S>                                        <C>        <C>            <C>            <C>
Balance at December 31, 1997.............  $38,105    $37,611,421    $ 5,262,089    $42,911,615
Net increase in net assets from
  operations.............................       --             --      7,068,018      7,068,018
Net investment loss reclassification.....       --       (105,988)       105,988             --
Distributions from net investment
  income.................................       --             --        (38,105)       (38,105)
                                           -------    -----------    -----------    -----------
Balance at December 31, 1998.............  $38,105    $37,505,433    $12,397,990    $49,941,528
                                           -------    -----------    -----------    -----------
Net decrease in net assets from
  operations.............................       --             --       (337,919)      (337,919)
Distributions from net investment
  income.................................       --             --             --             --
                                           -------    -----------    -----------    -----------
Balance at June 30, 1999.................  $38,105    $37,505,433    $12,060,071    $49,603,609
                                           =======    ===========    ===========    ===========
</TABLE>

See accompanying notes to the financial statements.

                                        6
<PAGE>   7

                          BRANTLEY CAPITAL CORPORATION

                 NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)

1. SIGNIFICANT ACCOUNTING POLICIES

       The interim financial statements have been prepared by Brantley Capital
   Corporation ("the Company") pursuant to the rules and regulations of the
   Securities and Exchange Commission applicable to quarterly reports on Form
   10-Q. Certain information and footnote disclosures normally included in
   financial statements prepared in accordance with generally accepted
   accounting principles have been condensed or omitted pursuant to such rules
   and regulations, although management believes that the disclosures are
   adequate to make the information presented not misleading. These financial
   statements should be read in conjunction with the audited financial
   statements and related notes and schedules included in the Company's 1998
   Annual Report filed on Form 10-K dated December 31, 1998.

       The unaudited financial statements reflect, in the opinion of management,
   all adjustments, all of which are of a normal recurring nature, necessary to
   present fairly the financial position of the Company as of June 30, 1999, the
   results of its operations for the six month period ended June 30, 1999, the
   results of its operations for the three month period ended June 30, 1999, and
   its cash flows for the six month period ended June 30, 1999. Interim results
   are not necessarily indicative of results to be expected for a full fiscal
   year.

       In April 1998, the American Institute of Certified Public Accountants
   issued Statement of Position 98-5, Reporting the Costs of Start-Up
   Activities, which requires that costs related to start-up activities be
   expensed as incurred. Prior to 1998, the Company capitalized its legal and
   other professional fees incurred in connection with organizing the Company.
   The Company adopted the provisions of the SOP as of January 1, 1999. The
   effect of the adoption of SOP 98-5 was to decrease income from continuing
   operations in 1999 by $96,376 ($0.03 per share) to expense costs that had
   been previously capitalized prior to 1999.

2. INVESTMENTS, CASH AND CASH EQUIVALENTS

       As of June 30, 1999 and December 31, 1998, the identified costs of
   investments were $38,326,114 and $37,163,014, respectively.

       Cash equivalents consist of highly liquid investments with insignificant
   interest rate risk and original maturities of three months or less at
   acquisition date. Cash and cash equivalents consisted of the following:

<TABLE>
<CAPTION>
                                                                   JUNE 30,      DECEMBER 31,
                                                                     1999            1998
                                                                  -----------    ------------
                                                                  (UNAUDITED)     (AUDITED)
    <S>                                                           <C>            <C>
    Cash........................................................  $       795    $   266,120
    United States Treasury Bill
      4.00% 7/22/99.............................................   18,113,636
      4.25% 1/21/99.............................................                  22,707,259
                                                                  -----------    -----------
                                                                  $18,114,431    $22,973,379
                                                                  ===========    ===========
</TABLE>

3. INVESTMENT ADVISORY AGREEMENT

       The Company has entered into an investment advisory agreement (the
   "Advisory Agreement") with Brantley Capital Management, L.L.C. (the
   "Adviser") under which the Adviser is entitled to an annual management fee of
   2.85% of the Company's net assets, determined at the end of each calendar
   quarter, and payable quarterly in arrears throughout the term of the Advisory
   Agreement. For the six months ended June 30, 1999 the Adviser earned $698,017
   under the Advisory Agreement. Certain officers of the Company are also
   officers of the Adviser. No officer of the Adviser receives any compensation
   from the Company for serving as officer of the Company.

                                        7
<PAGE>   8
                          BRANTLEY CAPITAL CORPORATION

          NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)

4. FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
                                                                  SIX MONTHS    SIX MONTHS
                                                                    ENDED         ENDED
                                                                   JUNE 30,      JUNE 30,
                       FOR THE PERIODS ENDED                         1999          1998
                       ---------------------                      ----------    ----------
    <S>                                                           <C>           <C>
    Net Asset Value, Beginning of the Period....................    $13.11        $11.26
    Income from investment operations:
    Net (Loss) Income...........................................     (0.11)         0.01
    Net Realized and Unrealized Gain on Investments.............      0.02          0.46
                                                                    ------        ------
    Total from investment operations:...........................     (0.09)         0.47
                                                                    ------        ------
    Less Distributions:
    Dividends from net investment income........................        --        (0.01)
                                                                    ------        ------
    Total Distributions.........................................        --        (0.01)
                                                                    ------        ------
    Net Asset Value, End of the Period..........................    $13.02        $11.72
                                                                    ======        ======
    Market Value, End of the Period.............................    $ 7.38        $ 9.50
                                                                    ======        ======
    Total Return, At Market Value...............................      3.51%       (1.27)%
    Total Return, At NAV........................................     (0.69)%        4.17%
</TABLE>

                                        8
<PAGE>   9

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

     Brantley Capital Corporation (the "Company") is a closed end,
non-diversified investment company that has elected to be treated as a "business
development company" under the Investment Company Act of 1940, as amended (the
"Act"). The Company invests primarily in the equity and equity-linked debt
securities of private companies. The Company's principal investment objective is
the realization of long-term capital appreciation in respect of such
investments.

     This Quarterly Report on Form 10-Q may contain certain statements of a
forward-looking nature relating to future events or the future financial
performance of the Company and its investment portfolio companies. Such
statements are only predictions and the actual events or results may differ
materially from the results discussed in the forward-looking statements. Factors
that could cause or contribute to such differences include, but are not limited
to, those relating to investment capital demand, pricing, market acceptance, the
effect of economic conditions, litigation and the effect of regulatory
proceedings, competitive forces, the results of financing and investing efforts,
the ability to complete transactions and other risks identified below or in the
Company's filings with the Securities and Exchange Commission. The following
analysis of the financial condition and results of operation of the Company
should be read in conjunction with the Financial Statements, the Notes thereto
and the other financial information included elsewhere in this report.

RESULTS OF OPERATIONS

     The Company began operations upon the completion of an initial public
offering on December 3, 1996. Its principal investment objective is the
realization of long-term capital appreciation from investing primarily in the
equity and equity-linked debt securities of private companies. In addition, the
Company can invest, and has invested, a portion of its assets in post-venture
small-cap public companies.

     Pending the completion of equity and equity-linked debt security
investments that meet the Company's investment objectives, available funds are
invested in short-term securities. In addition, whenever feasible in light of
market conditions and the cash flow characteristics of its portfolio companies,
the Company seeks to provide an element of current income primarily from
interest, dividends and fees paid by its portfolio companies. Dividend and
interest income on investments for the quarter and six months ended June 30,
1999 were $303,467 and $613,170 respectively. The significant components of
total operating expenses were fees of $350,352 and $698,017 to the Investment
Adviser during the quarter and six months ended June 30, 1999 respectively, and
other professional fees.

     During the quarters ended June 30, 1999 and June 30, 1998, the Company's
equity and equity-linked debt security investments resulted in net realized and
unrealized gains (losses) on investment transactions of $1,119,205 and
($152,180), respectively. For the six months ended June 30, 1999 and June 30,
1998, the Company's equity and equity-linked debt security investments resulted
in net realized and unrealized gains (losses) on investment transactions of
$63,942 and $1,724,058 respectively. During 1999 and 1998, the Company was
invested in small capitalization public stocks which are subject to general
stock market and business conditions and the six private investments described
below. The 1999 unrealized gains have been significantly influenced by these
general stock market and business conditions.

     Like other business development companies, mutual funds, financial and
business organizations and individuals around the world, the Company could be
adversely affected if the computer systems used by the Investment Adviser and
third party administrator, custodian and transfer agent do not properly process
and calculate date-related information from and after January 1, 2000.
Significant accounting and custodial services of the fund are provided by State
Street Bank & Trust Company. In addition, transfer agency services are provided
by Boston Equiserv. The Company has made inquiries to the Investment Adviser,
State Street Bank & Trust Company, and Boston Equiserv regarding whether they
expect to have their computer systems year 2000 compliant. Reports describing
the progress State Street Bank & Trust Company and Boston Equiserv are making in
preparing for January 1, 2000 are reviewed on a regular basis. While there can
be no assurances that the steps being taken by the service providers will be
sufficient to avoid any adverse impact on the Company, all of these service
providers have reported that they expect their systems to be in compliance with
year 2000 requirements prior to that time. While all of the Company's service
providers are reporting an appropriate state of readiness,
                                        9
<PAGE>   10

the risk of a service provider failing to be year 2000 compliant could mean many
things based upon the specific conditions of non-compliance. As such, the
Company is regularly monitoring the projected readiness of its service providers
to establish optimal time frames in which to invoke contingency efforts should a
year 2000 transition plan fail. These contingency efforts may involve the
development of alternative operational procedures or, in a worse case scenario,
requests for proposals to identify alternative service providers prior to
January 1, 2000. Because the Company uses third parties for nearly all of its
operating and administrative activities, it has no material computer systems to
maintain itself, and as such, it's cost of complying with the year 2000 issue is
expected to be minimal.

     Year 2000 issues can also increase the risks of the Company's investments.
To assess the potential effect of year 2000 issues, the Advisor reviews
information regarding the year 2000 readiness of issuers of securities the
Company may purchase. However, this may be difficult with certain issuers. For
example, the Company primarily invests in the equity and equity-linked debt
securities of private companies which are not required to publish detailed
information regarding their year 2000 readiness. The financial impact of these
issues is under continual evaluation. There can be no assurance that potential
year 2000 problems of issuers of securities purchased by the Company would not
have a material adverse effect on the Company's performance.

FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

     The Company completed an initial public offering of common stock of $36.5
million on December 3, 1996 and a related over-allotment option of $1.5 million
on January 15, 1997. The Company believes that the net proceeds of this offering
will be adequate to fund the growth of the Company's investment portfolio
through 2000.

     At June 30, 1999, the Company had $18,114,431 in cash and cash equivalents.
The Company invested the proceeds of the initial public offering on a short-term
basis pending completion of investments in equity and equity-linked debt
securities of private companies and post-venture small-cap public companies. At
June 30, 1999, the cash was primarily invested in a United States Treasury
security.

     At June 30, 1999, the cost of equity and equity-linked debt security
investments made to date was $20,212,478 and their aggregate market value was
$31,481,528 for an increase of 56%. Management believes the companies identified
have significant potential for long-term growth in sales and earnings. The
individually significant equity and equity-linked debt security holdings of the
Company at June 30, 1999 were comprised of the following investments:

  Business Essentials, Inc.

     On April 22, 1999, the Company entered into a $1.7 million commitment to
invest with Brantley Partners IV, L.P. and Massey Burch Capital Corp. in a $10.0
million preferred stock issue for Business Essentials, Inc. ("BEI"). BEI is a
$26.0 million office products marketing and distribution company based in
Nashville, Tennessee. The first $6.0 million of the commitment was funded to
launch an acquisition strategy focused on office distribution companies serving
primarily commercial and industrial customers. The remaining commitment will be
funded upon the closing of additional acquisitions. As a result of the initial
closing, the Company has purchased 510,000 shares of Class A Convertible
Preferred Stock at $2.00 per share. The terms of the transaction provide for an
8% annual dividend, paid quarterly.

  Corporate Wings, Inc.

     On December 23, 1997, the Company completed a $2.1 million investment with
Brantley Venture Partners III, L.P. to purchase a $6.0 million preferred stock
issue for Corporate Wings, Inc. ("Corporate Wings"). The Company's investment
consists of approximately 644,000 shares of Corporate Wings Series A Convertible
Preferred Stock at $3.26 per share. The terms of the transaction provide for an
8% annual dividend, payable quarterly. Corporate Wings' businesses include fixed
base operations, related flight management services and inertial navigation
systems repair services for private and commercial aircraft from six locations.
The proceeds of the transaction were used by Corporate Wings to continue to
execute an acquisition strategy. Corporate Wings

                                       10
<PAGE>   11

has been in business since 1978 and had sales of approximately $40 million at
the time of the Company's investment.

     On December 29, 1998, the Company announced the completion of a second
private equity investment in Corporate Wings, Inc. As a result, the Company
purchased $962,500 of a $5.5 million preferred stock transaction led by The
Provident Bank. The Company also agreed to purchase approximately 65,034 shares
of a Class A Convertible Preferred Stock at $14.80 per share. The terms of the
transaction provide for an 8% dividend payable quarterly. Proceeds will be used
to fund the expansion of Corporate Wings' Flight Option program and to continue
to execute an acquisition strategy. During 1998, Corporate Wings completed the
acquisition of Miller Aviation and grew to over $125 million in annual revenues.
As a result of the price of this subsequent financing, which was led by
Provident Bank, and the superior operating performance of Corporate Wings during
1998, the market value of the Company's original investment in Corporate Wings
was increased to $9,531,760 resulting in an unrealized gain of $7,431,760. This
valuation was based on the $14.80 per share price negotiated by The Provident
Bank and approved by the Company's Board of Directors.

     At the June 1999 Paris Air Show, Corporate Wings announced the purchase of
25 Fairchild Aerospace Envoy 7 business jets. The deal is valued at more than
$760 million and will provide Corporate Wings' business clients with the
performance, reliability, and comfort they have come to expect at 35% savings
over competitive products. The Flight Options division of Corporate Wings has
quickly developed into the fastest growing fractional ownership operation in the
United States.

  Disposable Products Company, LLC

     On August 10, 1998, the Company entered into an investment led by Banc One
Capital to provide $1.0 million of a $3.0 million subordinated debt facility
with warrants to Disposable Products Company, LLC. ("DPC"). DPC is an
acquisition strategy company in the business of manufacturing and converting of
paper and nonwoven materials into wiping products for sale to commercial,
institutional, industrial and government markets. In addition, DPC is a
converter and reseller of other safety and industrial/janitorial products. Upon
completion of a pending acquisition, DPC will have revenues of approximately $25
million. The terms of the debt facility call for a 12% interest rate per annum
with a final maturity five years from the closing. Brantley also received a
detachable capital stock purchase warrant exercisable into 5% of the
fully-diluted capital stock of the company at the time of exercise at a nominal
exercise price. The proceeds of the facility were used to finance acquisitions.

  Fitness Quest, Inc.

     On December 16, 1997, the Company funded a $1.35 million commitment to
invest with Brantley Venture Partners III, L.P. in a $3.85 million preferred
stock issue for Fitness Quest, Inc. ("Fitness Quest"). As a result, the Company
purchased approximately 788,961 shares of Fitness Quest Series A Convertible
Preferred Stock at $1.71 per share. Fitness Quest is a direct marketing and
distribution company launching an acquisition strategy. A portion of the
proceeds were used by Fitness Quest for a management buy-out of the company from
its previous owner, The Time Warner Music Group, a 100% wholly owned subsidiary
of Time Warner, Inc., and the remainder was used for acquisitions. Fitness Quest
has been in the fitness promotional products business since 1994 and, at the
time of the purchase, had revenues at a $100 million annual sales rate level.
The terms of the Preferred Stock provide for payment of a 10% annual dividend,
payable quarterly.

     During 1997, Fitness Quest grew to $120 million in sales and improved its
operating margins and profits. The Company's Board of Directors, after a
complete evaluation, made a determination to increase the Company's market value
in its Fitness Quest investment in 1997 to $5,440,000 resulting in a 1997
unrealized gain of $4,090,000. This evaluation was based on price to earnings
ratios, cash flow multiples and other appropriate financial measurements of
similar private companies. In 1998, the operating results of Fitness Quest were
adversely impacted by the cyclical nature of its business and one-time expenses
resulting from several acquisition transactions. Consequently, 1998 sales were
approximately $90 million resulting in lower than expected profit margins.

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<PAGE>   12

     In addition to the above Series A Convertible Preferred Stock, the Company
has funded $1,226,300 to invest with Brantley Venture Partners III, L.P. in $
3.5 million of senior subordinated debt investments in Fitness Quest. The notes
mature on December 31, 1999 and call for a 10% interest rate per annum. In
addition, the Company received a warrant to purchase 72,550 shares of Fitness
Quest stock for $.01 per share. The proceeds of the investment were used to fund
Fitness Quest's working capital needs.

  Health Care Solutions, Inc.

     On September 30, 1997, the Company funded a $1.5 million convertible junior
subordinated promissory note facility for Health Care Solutions, Inc. ("Health
Care Solutions"). Health Care Solutions is an acquisition strategy company in
the home healthcare services market and is currently at a $50 million annual
sales rate level with a strong presence in the Midwest and Great Lakes States
region. The terms of the notes call for an 18% interest rate per annum during
the first year and 12% per annum thereafter, with final maturity two years from
the closing. After the first year, the notes are convertible into common stock
at a price of $3.50 per share. In connection with its commitment to provide this
facility, the Company received warrants to purchase up to $450,000 of common
stock valued at an exercise price of 10% of an initial public offering ("IPO")
price completed during the term of the notes, or at $3.50 per share should the
warrants be exercised other than in connection with an IPO. The warrants are
currently exercisable. The proceeds of the notes were used by Health Care
Solutions to help finance acquisitions.

     During the quarter, Health Care Solutions, Inc. completed a
recapitalization plan including a 2 for 1 reverse stock split. As a result,
Brantley Capital Corporation has agreed to exchange its convertible junior
subordinated promissory note and accrued interest thereon for shares of Series C
Convertible Preferred Stock at an exchange rate of $7.50 per share. The warrants
to purchase up to $450,000 of common stock at an exercise price of 10% of an IPO
price or at $3.50 per share remain outstanding and have been adjusted to reflect
the reverse stock split.

  Pediatric Physicians Alliance, Inc.

     On January 28, 1999, the Company announced the completion of a $3.172
million commitment to invest with Brantley Venture Partners III, L.P. in a
$7.934 million preferred stock issue for Pediatric Physicians Alliance, Inc.
Pediatric Physicians Alliance is a physician practice management company that
develops integrated pediatric networks of care. The company's objective is to
develop the leading physician-based integrated pediatric organization in the
United States. The proceeds of the transaction were used to complete the
acquisition of a number of physician practices. Upon acquiring these practices,
Pediatric Physicians Alliance will have annualized revenues of approximately $30
million. The Company agreed to purchase 793,000 shares of Class A-2 Convertible
Preferred Stock. The terms of the transaction provide for a 10% dividend payable
quarterly. In addition to the above Class A-2 Convertible Preferred Stock, the
Company has funded $267,447.60 to invest with Brantley Venture Partners III,
L.P. in $ 668,619 of promissory notes in Pediatric Physicians Alliance, Inc. The
notes mature on September 29, 1999 and call for a 15% interest rate per annum.
The proceeds of the investment were used to fund acquisitions.

     Brantley Venture Partners II, L.P., Brantley Venture Partners III, L.P. and
Brantley Partners IV, L.P. (collectively, the "Partnerships") hold, in the
aggregate, approximately $200 million of venture capital private equity
investments. The Partnerships are related to the Investment Adviser in a manner
that requires the receipt, from the Commission, of an exemption from certain
provisions of the Act in order to permit, under certain circumstances, the
Company, the Investment Adviser and the Partnerships to invest in the same
portfolio companies. As a result, the Company and the Partnerships filed an
application on March 6, 1997 with the Commission seeking an exemptive order
permitting the Company, under certain circumstances, to invest in securities of
issuers in which one of the Partnerships also intends to invest. The staff of
the Commission granted the exemptive order on November 18, 1997.

     At June 30, 1999, the Company had stockholders' equity of $49,603,609,
resulting in a net asset value per share of $13.02.

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<PAGE>   13

RECENT DEVELOPMENTS

     On August 10, 1999, the Company announced it has entered into a $3.0
million commitment to invest with Brantley Partners IV, L.P. in a $12.0 million
Preferred Stock and Convertible Note issue for National Rehab Partners, Inc.
("NRP"). NRP is a Brentwood, Tennessee rehabilitation management service company
providing rehabilitation services to acute care hospitals and hospital systems
throughout the United States. The Company is the only national rehabilitation
company focused exclusively on helping hospitals develop their outpatient
rehabilitation services. The first $8.0 million of the commitment was funded to
complete the acquisition of a group of rehabilitation management service
providers resulting in NRP having an annualized consolidated revenue base of
approximately $25 million. The remaining commitment will be funded upon the
closing of additional acquisitions. Currently NRP has signed letters of intent
on additional acquisitions representing approximately $15 million in revenue. As
a result of the initial closing, Brantley Capital Corporation has purchased $1.0
million (2.2 million shares at $.045 per share) of Class A Convertible Preferred
Stock and a 1.0 million Convertible Subordinated Note. The terms of the
transaction provide for an 8% annual dividend on the Preferred Stock and an 8%
annual interest rate on the Subordinated Note.

IMPACT OF INFLATION

     The Company does not believe that its business is materially affected by
inflation, other than the impact which inflation may have on the securities
markets, the valuations of business enterprises and the relationship of such
valuations to underlying earnings, all of which will influence the value of the
Company's investments.

RISKS

     Pursuant to Section 64(b)(1) of the Act, a business development company is
required to describe the risk factors involved in an investment in the
securities of such company due to the nature of the company's investment
portfolio. Accordingly, the Company states that its objective is to achieve
capital appreciation through investments in businesses believed to have
favorable growth potential. Such businesses are often undercapitalized small
companies which can lack management depth and have not yet attained levels of
consistent profitability. The Company's private equity investments often include
securities which are subject to legal or contractual restrictions on resale,
which restrictions adversely affect the liquidity and marketability of such
securities.

     The Company considers the management of equity price risk essential to
conducting its business and maintaining its profitability. The Company manages
this risk by maintaining a diverse portfolio of equity and equity-linked debt
securities. A portion of the Company's investment portfolio consists of equity
and equity-linked debt securities in private companies. The Company would
anticipate no impact on these investments from modest changes in public market
equity prices. However, should significant changes in market prices occur, there
could be a longer-term effect on valuations of private companies, which could
affect the carrying value and the amount and timing of gains realized on these
investments. A portion of the Company's investment portfolio also consists of
common stocks and warrants to purchase common stocks in publicly traded
companies. These investments are directly exposed to equity price risk, in that
a hypothetical ten percent change in these equity prices would result in a
similar percentage change in the fair market value of these investments.

     Because of the speculative nature of the Company's investments and the lack
of any market for the securities initially purchased by the Company, there is a
significantly greater risk of loss than is the case with traditional investment
securities. The high-risk, long-term nature of the Company's private equity
investment activities may prevent shareholders of the Company from achieving
price appreciation and dividend distributions.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK

     The information set forth under Item 2 - Risks of this Quarterly Report on
Form 10-Q is incorporated herein by reference.

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<PAGE>   14

                          PART II.   OTHER INFORMATION

ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K

     a. Exhibits
      Reference is made to the Exhibit Index that is found on page 16 of this
     Form 10-Q.

     b. Reports on Form 8-K
       No reports on Form 8-K have been filed during the quarter for which this
     Form 10-Q is filed.

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<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.

                                          BRANTLEY CAPITAL CORPORATION

<TABLE>
<S>                                                      <C>

Date: August 12, 1999                                    By: /s/ ROBERT P. PINKAS
                                                         --------------------------------------------------------
                                                             Robert P. Pinkas
                                                             Chief Executive Officer

Date: August 12, 1999                                    By: /s/ TAB A. KEPLINGER
                                                         --------------------------------------------------------
                                                             Tab A. Keplinger
                                                             Chief Financial Officer
</TABLE>

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<PAGE>   16

                                 EXHIBIT INDEX

     The following exhibits are filed with this report or are incorporated
herein by reference to a prior filing, in accordance with Rule 12b-32 under the
Securities Exchange Act of 1934. (Asterisk denotes exhibits filed with this
report.)

<TABLE>
<C>          <S>

  EXHIBIT 3  Articles of Incorporation and By-laws
        (1)  Articles of Amendment and Restatement of the Charter of
             Brantley Capital Corporation (Exhibit 3.1 to the Annual
             Report on Form 10-K filed on March 31, 1999)
        (2)  Amended and Restated Bylaws of the Company (Exhibit 3.2 to
             the Annual Report on Form 10-K filed on March 31, 1999)

  EXHIBIT 4  Form of Share Certificate (Exhibit 2.d to amendment No. 1 to
             the Registration Statement filed on October 30, 1996, which
             exhibit is incorporated herein by reference)

 EXHIBIT 10  Material Contracts
        (1)  Dividend Reinvestment and Cash Purchase Plan (Exhibit 2.e to
             Amendment No. 3 to the Registration Statement filed on
             November 26, 1996, which exhibit is incorporated herein by
             reference)
        (2)  Form of Investment Advisory Agreement between the Registrant
             and the Investment Advisor (Exhibit 2.g to Amendment No. 3
             to the Registration Statement filed on November 26, 1996,
             which exhibit is incorporated herein by reference)
        (3)  Stock Option Plan and form of Option Grants (Exhibit 2.i.1
             to Amendment No. 2 to the Registration Statement filed on
             November 22, 1996, which exhibit is incorporated herein by
             reference)
        (4)  Disinterested Director Option Plan and Form of Option Grants
             (Exhibit 2.i.2 to Amendment No. 2 to the Registration
             Statement filed on November 22, 1996, which exhibit is
             incorporated herein by reference)
        (5)  Form of Custodian Contract (Exhibit 2.j to Amendment No. 2
             to the Registration Statement filed on November 22, 1996,
             which exhibit is incorporated herein by reference)
        (6)  Form of Registrar, Transfer Agency and Service Agreement
             (Exhibit 2.k.1 to Amendment No. 2 to the Registration
             Statement filed on November 22, 1996, which exhibit is
             incorporated herein by reference)
        (7)  Form of Administration Agreement (Exhibit 2.k.2 to Amendment
             No. 2 to the Registration Statement filed on November 22,
             1996, which exhibit is incorporated herein by reference)
        (8)  Form of Indemnification Agreement for Directors and Officers
             (Exhibit 2.s to Amendment No. 2 to the Registration
             Statement filed on November 22, 1996, which exhibit is
             incorporated herein by reference)

 EXHIBIT 27  Financial Data Schedule
</TABLE>

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