<PAGE>   1



                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                                    FORM 10-Q

(Mark one)
[X]   QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE  SECURITIES    
      EXCHANGE ACT OF 1934

    For the quarterly period ended                      June 30, 1997
                                                        -------------

                                       OR
[ ]   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                              1-12527
                                                        -------

                             BAYCORP HOLDINGS, LTD.
             (Exact name of registrant as specified in its charter)
             ------------------------------------------------------

         DELAWARE                                                02-0488443
(State or other jurisdiction of                               (I.R.S. Employer
 incorporation or organization)                              Identification No.)

COCHECO FALLS MILLWORKS, 100 MAIN STREET, SUITE  201
             DOVER , NEW HAMPSHIRE                               03820-3835
     (Address of principal executive offices)                    (Zip Code)

       REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (603) 742-3388


         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
   -----     -----

         Indicate by check mark whether the registrant has filed all documents
required to be filed by Section 12, 13 or 15(d) of the Securities Exchange Act
of 1934 subsequent to the distribution of securities under a plan confirmed by a
court.

Yes  X     No
   -----     -----

            Class                                  Outstanding at August 6, 1997
---------------------------------------            -----------------------------
Common Stock, $0.01 Par Value per Share                      8,277,748



<PAGE>   2




                             BAYCORP HOLDINGS, LTD.


                                      INDEX


PART I - FINANCIAL INFORMATION:

         Item 1 - Financial Statements:

         Consolidated Statements of Income and Loss - Three and Six
             Months Ended June 30, 1997 and 1996............................3

         Consolidated Balance Sheets at June 30, 1997
             and December 31, 1996..........................................4-5

         Consolidated Statements of Cash Flows - Six
             Months Ended June 30, 1997 and 1996............................6

         Notes to Financial Statements......................................7-12

         Item 2 - Financial Discussion:

         Management's Discussion and Analysis of Financial Condition
             and Results of Operations.....................................12-16


PART II - OTHER INFORMATION:

         Item 1 - Legal Proceedings........................................16

         Item 4 - Submission of Matters to a Vote of Securityholders.......16

         Item 6 - Exhibits and Reports on Form 8-K.........................17

         Signature.........................................................18

         Exhibit Index.....................................................19


                                       2

<PAGE>   3

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements
----------------------------


                             BAYCORP HOLDINGS, LTD.
<TABLE>
                                         CONSOLIDATED STATEMENTS OF INCOME
                                                    (UNAUDITED)
                              (DOLLARS IN THOUSANDS, EXCEPT SHARES AND PER SHARE DATA)
<CAPTION>

                                                       Three Months                         Six Months
                                                      Ended June 30,                      Ended June 30,
                                                  1997              1996              1997              1996
                                               ----------        ----------        ----------        ----------

<S>                                            <C>               <C>               <C>               <C>       
Operating Revenues                             $    3,555        $    7,305        $   11,992        $   14,196

Operating Expenses:
  Production                                        5,063             3,855             9,457             7,443
  Transmission                                        218               229               438               488
  Administrative & General                          1,436             1,310             3,369             3,224
  Depreciation & Amortization                         863               874             1,726             1,748
  Taxes other than Income                           1,127             1,023             2,289             2,077
                                               ----------        ----------        ----------        ----------
      Total Operating Expenses                      8,707             7,291            17,279            14,980
                                               ----------        ----------        ----------        ----------
Operating  Loss                                    (5,152)               14            (5,287)             (784)

Other (Income) Deductions:
  Interest and Dividend (Income) Expense             (236)             (199)             (638)             (470)
  Decommissioning Cost Accretion                      665               565             1,331             1,130
  Decommissioning Trust Fund Income                  (100)              (83)             (211)             (161)
  Unit 2 Sales and Other (Income)                       3                 0                 3                 4
                                               ----------        ----------        ----------        ----------
      Total Other Deductions                          332               283               485               503
                                               ----------        ----------        ----------        ----------
Loss Before Income Taxes                           (5,484)             (269)           (5,772)           (1,287)

Income Taxes                                            0                 0                 0                 0
                                               ----------        ----------        ----------        ----------

Net Loss                                       $   (5,484)       $     (269)       $   (5,772)       $   (1,287)
                                               ==========        ==========        ==========        ==========
Weighted Average Number of
   Shares Outstanding                           8,294,803         7,999,071         8,307,764         7,999,510
Loss Per Share                                 $    (0.66)       $    (0.03)       $    (0.69)       $    (0.16)
</TABLE>

 (The accompanying notes are an integral part of these consolidated statements)

                                        3

<PAGE>   4




<TABLE>
                           CONSOLIDATED BALANCE SHEETS
                                   (UNAUDITED)
                             (DOLLARS IN THOUSANDS)
<CAPTION>
                                               June 30,          December 31,
                                                 1997                1996
                                               --------          ------------
<S>                                            <C>                 <C>     
ASSETS:
Current Assets:
  Cash & Cash equivalents                      $  4,453            $ 16,412
  Short-term Investments, at market              16,924              12,363
  Accounts Receivable                               420               2,927
  Materials & Supplies, net                       4,086               4,121
  Prepayments & Other Assets                      3,168                 434
                                               --------            --------
      Total Current Assets                       29,051              36,257
                                               --------            --------
                                                                
Property, Plant, & Equipment:                                   
  Utility Plant                                 108,295             106,656
  Less: Accumulated Depreciation                 (8,671)             (7,152)
                                               --------            --------
  Net Utility Plant                              99,624              99,504
                                                                
  Nuclear Fuel                                   21,813              20,091
  Less: Accumulated Amortization                (11,847)             (9,692)
                                               --------            --------
  Net Nuclear Fuel                                9,966              10,399
                                                                
      Net Property, Plant & Equipment           109,590             109,903
                                                                
Other Assets:                                                   
  Decommissioning Trust Fund                      7,042               6,234
  Deferred Debits & Other                            25                  24
                                               --------            --------
      Total Other Assets                          7,067               6,258
                                               --------            --------
                                                                
TOTAL ASSETS                                   $145,708            $152,418
                                               ========            ========
</TABLE>

 (The accompanying notes are an integral part of these consolidated statements)

                                        4

<PAGE>   5


                             BAYCORP HOLDINGS, LTD.
<TABLE>
                                            CONSOLIDATED BALANCE SHEETS
                                                    (UNAUDITED)
                                               (DOLLARS IN THOUSANDS)
<CAPTION>

                                                                                June 30,        December 31,
                                                                                  1997              1996
                                                                                --------        ------------

<S>                                                                             <C>               <C>     
LIABILITIES AND STOCKHOLDERS' EQUITY:

Current Liabilities:
  Accounts Payable and Accrued Expenses                                         $    151          $    129
  Taxes Accrued                                                                    2,973             1,504
  Miscellaneous Current Liabilities                                                  620             4,072
                                                                                --------          --------
          Total Current Liabilities                                                3,744             5,705

Operating Reserves:
  Decommissioning Liability                                                       54,532            53,215
  Miscellaneous Other                                                                621               621
                                                                                --------          --------
          Total Operating Reserves                                                55,153            53,836

Other Liabilities & Deferred Credits                                               3,484             3,252

Commitments & Contingencies

Stockholders' Equity:
  Common stock, $.01 par value,
  Authorized - 20,000,000 shares, Issued - 8,417,748                                  84                84
   Less: Treasury Stock - 140,000 and 78,045 shares, respectively, at cost        (1,133)             (633)
   Additional paid-in capital                                                     92,100            92,100
   Holding Loss on Investments                                                      (175)             (149)
   Accumulated Deficit                                                            (7,549)           (1,777)
                                                                                --------          --------
          Total Stockholders' Equity                                              83,327            89,625
                                                                                --------          --------

TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY                                      $145,708          $152,418
                                                                                ========          ========
</TABLE>

 (The accompanying notes are an integral part of these consolidated statements)

                                        5



<PAGE>   6


                             BAYCORP HOLDINGS, LTD.
<TABLE>
                                       CONSOLIDATED STATEMENTS OF CASH FLOWS
                                                    (UNAUDITED)
                                               (DOLLARS IN THOUSANDS)
<CAPTION>


                                                                               Six Months           Six Months
                                                                                 Ended                Ended
                                                                             June 30, 1997         June 30, 1996
                                                                             -------------         -------------

<S>                                                                             <C>                   <C>     
Net cash flow from operating activities:
    Net (Loss)                                                                  $ (5,772)             $(1,287)
    Adjustments to reconcile net loss to net
    cash provided by (used in) operating activities:
         Depreciation                                                              1,726                1,748
         Amortization of nuclear fuel                                              2,156                1,974
         Decommissioning trust accretion                                           1,331                1,130
         Decommissioning trust interest                                             (211)                (161)
         (Increase) decrease in accounts receivable                                2,507               (1,212)
         (Increase) decrease in materials & supplies                                 (55)                 (14)
         (Increase) decrease in prepaids and other assets                         (2,735)              (1,588)
         Increase (decrease) in accounts payable                                      21                 (141)
         Increase in taxes accrued                                                 1,470               (1,293)
         Other                                                                    (3,219)                 356
                                                                                --------              -------
Net cash used in operating activities                                             (2,781)                (488)
                                                                                --------              -------

Net cash flows provided by (used in) investing activities:
  Utlility plant additions                                                        (1,756)                (429)
  Nuclear fuel additions                                                          (1,723)                (383)
  Payments to decommissioning fund                                                  (553)                (451)
  Holding Gain (Loss)                                                                (53)                   0
  Short term investments, net                                                     (4,593)               3,660
                                                                                --------              -------
Net cash provided by (used in) investing activities                               (8,678)               2,397
                                                                                --------              -------

Net cash provided by (used in) financing activities:
  Common Stock Warrants                                                                0                1,000
  Reaquired Capital Stock                                                           (500)                 (96)
                                                                                --------              -------
Net cash provided by (used in) financing activities                                 (500)                 904
                                                                                --------              -------

Net increase (decrease) in cash and cash equivalents                             (11,959)               2,813
Cash and cash equivalents, beginning of period                                    16,412                8,874
                                                                                ========              =======
Cash and cash equivalents, end of period                                        $  4,453              $11,687
                                                                                ========              =======
</TABLE>




 (The accompanying notes are an integral part of these consolidated statements)

                                        6

<PAGE>   7



                             BAYCORP HOLDINGS, LTD.



                          NOTES TO FINANCIAL STATEMENTS


NOTE A -  THE COMPANY

         BayCorp Holdings, Ltd. ("BayCorp" or the "Company") serves as a holding
company for Great Bay Power Corporation ("Great Bay"). Great Bay is a public
utility whose principal asset is a 12.1% joint ownership interest in the
Seabrook Nuclear Power Project in Seabrook, New Hampshire (the "Seabrook
Project"). Great Bay is an exempt wholesale generator ("EWG") under the Public
Utility Holding Company Act of 1935 ("PUHCA").

         Great Bay became a wholly-owned subsidiary of BayCorp in a corporate
reorganization that involved a merger of a newly-formed wholly-owned subsidiary
of BayCorp with and into Great Bay on January 24, 1997. The consolidated assets
and liabilities of Great Bay and its subsidiaries immediately before the
reorganization were the same as the consolidated assets and liabilities of
BayCorp and its subsidiaries immediately after the reorganization. Currently,
Great Bay is the sole subsidiary of BayCorp. BayCorp's principal asset is its
100% equity interest in Great Bay. The new corporate structure enables BayCorp,
either directly or through subsidiaries other than Great Bay, to engage in
businesses that Great Bay would be prohibited from pursuing due to its status as
an EWG under the PUHCA. BayCorp may in the future enter into new businesses or
acquire existing businesses, both in energy related fields and possibly in
unrelated fields.

         BayCorp was incorporated in Delaware in March 1996. Great Bay was
incorporated in New Hampshire in 1986 and was formerly known as EUA Power
Corporation. Great Bay sells its share of the electricity output of the Seabrook
Project in the wholesale electricity market, primarily in the Northeast United
States. Neither BayCorp nor Great Bay has operational responsibilities for the
Seabrook Project. Great Bay's share of the Seabrook Project capacity is
approximately 140 megawatts ("MW"). Great Bay currently sells all but 10 MW of
its share of the Seabrook Project capacity in the short-term market.

NOTE B - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

         The unaudited financial statements included herein have been prepared
on behalf of the Company, without audit, pursuant to the rules and regulations
of the Securities and Exchange Commission ("SEC") and include, in the opinion of
management, all adjustments, consisting of normal recurring adjustments,
necessary for a fair presentation of interim period results. Certain information
and footnote disclosures normally included in financial statements prepared in
accordance with generally accepted accounting principles have been omitted or
condensed pursuant to such rules and regulations. The Company believes, however,
its disclosures herein, when read in conjunction with the Company's audited
financial statements for the year ended December 31, 1996, are adequate to make
the information presented not misleading. The results for the interim periods
are not necessarily indicative of the results to be expected for the full fiscal
year.

         In March 1997, the Financial Accounting Standards Board issued SFAS No.
128, Earnings Per Share. SFAS No. 128 establishes standards for computing and
presenting earnings per share and applies to entities with publicly held common
stock. This statement is effective for fiscal years ending after December 15,
1997 and early adoption is not permitted. The Company will adopt this statement
for its 


                                       7
<PAGE>   8
                             BAYCORP HOLDINGS, LTD.



fiscal year ending December 31, 1997 and does not believe that the effect of the
adoption of this standard would be materially different from the amounts
presented in the accompanying statements of income.

NOTE C - COMMITMENTS AND CONTINGENCIES

Nuclear Power, Energy and Utility Regulation
--------------------------------------------

         The Seabrook Project and Great Bay, as part owner of a licensed nuclear
facility, are subject to the broad jurisdiction of the Nuclear Regulatory
Commission ("NRC"), which is empowered to authorize the siting, construction and
operation of nuclear reactors after consideration of public health and safety,
environmental and antitrust matters. Great Bay has been, and will be, affected
to the extent of its proportionate share by the cost of any NRC requirements
applicable to the Seabrook Project.

         Great Bay is also subject to the jurisdiction of the Federal Energy
Regulatory Commission ("FERC") under Parts II and III of the Federal Power Act
and, as a result, is required to file with FERC all contracts for the sale of
electricity. FERC has the authority to suspend the rates at which Great Bay
proposes to sell power, to allow such rates to go into effect subject to refund
and to modify a proposed or existing rate if FERC determines that such rate is
not "just and reasonable." FERC's jurisdiction also includes, among other
things, the sale, lease, merger, consolidation or other disposition of
facilities, interconnection of certain facilities, accounts, service and
property records.

         Because it is an EWG, Great Bay is not subject to the jurisdiction of
the SEC under PUHCA. In order to maintain its EWG status, Great Bay must
continue to engage exclusively in the business of owning and/or operating all or
part of one or more "eligible facilities" and to sell electricity only at
wholesale (i.e. not to end users) and activities incidental thereto. An
"eligible facility" is a facility used for the generation of electric energy
exclusively at wholesale or used for the generation of electric energy and
leased to one or more public utility companies. The term "facility" may include
a portion of a facility. In the case of Great Bay, its 12.1% joint ownership
interest in the Seabrook Project comprises an "eligible facility."

         Great Bay is subject to regulation by the New Hampshire Public
Utilities Commission ("NHPUC") in many respects, including the issuance of
securities, the issuance of debt, contracts with affiliates, forms of accounts,
transfers of utility properties, mortgaging of utility property and other
matters. The NHPUC does not regulate rates charged for sales of electricity at
wholesale.

Utility Deregulation; Public Controversy Concerning Nuclear Power Plants
------------------------------------------------------------------------

         The NHPUC and the regulatory authorities with jurisdiction over
utilities in New Hampshire and state legislatures of several other states in
which Great Bay sells electricity are considering a range of proposals relating
to the deregulation of the utility industry. It is not possible to predict what
steps will be taken by these authorities and legislatures or their impact on
Great Bay.

         Nuclear units in the United States have been subject to widespread
criticism and opposition, which has led to construction delays, cost overruns,
licensing delays and other difficulties. Various groups have sought to prohibit
the completion and operation of nuclear units and the disposal of nuclear waste
by litigation, legislation and participation in administrative proceedings. The
Seabrook Project 


                                       8
<PAGE>   9
                             BAYCORP HOLDINGS, LTD.



was the subject of significant public controversy during its construction and
licensing and remains controversial. An increase in public concerns regarding
the Seabrook Project or nuclear power in general could adversely affect the
operating license of Seabrook Unit 1. While Great Bay cannot predict the
ultimate effect of such controversy, it is possible that it could result in a
premature shutdown of the unit.

         In the event of a permanent shutdown of any unit, NRC regulations
require that the unit be completely decontaminated of any residual
radioactivity. While the owners of the Seabrook Project are accumulating a trust
fund to pay decommissioning costs, if these costs exceed the amount of the trust
fund, the owners, including Great Bay, will be liable for the excess.

Decommissioning Liability
-------------------------

         Based on the Financial Accounting Standards Board's ("FASB") tentative
conclusions, Great Bay has recognized as a liability its proportionate share of
the estimated Seabrook Project decommissioning. The initial recognition of this
liability was capitalized as part of the fair value of the Seabrook plant at
November 23, 1994. The current estimated cost to decommission the Seabrook
Project, based on a study performed for the lead owner of the Plant, is
approximately $451 million in 1997 dollars and $2.3 billion in future year
dollars in years in which decommissioning will occur, assuming a 36-year life
for the facility and a future escalation rate of 5%. Based on this estimate,
Great Bay's share in 1997 dollars is approximately $54.5 million, which has been
recorded as a liability in the June 30, 1997 balance sheet.

         During the first quarter of 1996, Great Bay began to accrete its share
of the Seabrook Project's Decommissioning Liability. This accretion is a
non-cash charge and recognizes Great Bay's liability related to the closure and
decommissioning of its nuclear plant in current year dollars over the licensing
period of the plant. As a result of this accretion, Great Bay's share of the
estimated decommissioning cost increased from $50.2 million as of December 31,
1995 to $54.5 million as of June 30, 1997.

         The Seabrook Project's decommissioning estimate and funding schedule is
subject to review each year by the New Hampshire Nuclear Decommissioning Finance
Committee ("NDFC"). This estimate is based on a number of assumptions. Changes
in assumptions based on factors such as labor and material costs, technology,
inflation and timing of decommissioning could cause these estimates to change in
the future.

         The Staff of the SEC has questioned certain of the current accounting
practices of the electric utility industry regarding the recognition,
measurement and classification of decommissioning costs for nuclear generating
stations and joint owners in the financial statements of these entities. In
response to these questions, the FASB has agreed to review the accounting for
nuclear decommissioning costs. In 1996, the FASB issued an Exposure Draft
entitled "Accounting for Certain Liabilities Related to Closure and Removal of
Long-Lived Assets." Either a revised exposure draft or a final statement is
scheduled to be issued by the FASB during 1997. Great Bay's accounting for
decommissioning was based on the FASB's original tentative conclusions. If the
current exposure draft is adopted or accounting practices for nuclear power
plant decommissioning are changed, Great Bay's decommissioning liability and
annual provision for decommissioning could change relative to amounts reflected
in the financial statements. The Company is unable to predict the impact, if
any, changes in the current accounting will have on the Company's financial
statements.


                                       9
<PAGE>   10
                             BAYCORP HOLDINGS, LTD.



         Although the owners of Seabrook are accumulating funds in an external
trust to defray decommissioning costs, these costs could substantially exceed
the value of the trust fund, and the owners, including Great Bay, would remain
liable for the excess. The amount that is required to be deposited in the trust
fund is subject to periodic review and adjustment by the NDFC, which could
result in material increases in such amounts.

         Under a November 1992 settlement agreement with Eastern Utilities
Associates ("EUA"), a former parent of Great Bay, EUA reaffirmed its guarantee
of up to $10 million of Great Bay's future decommissioning costs of Seabrook
Unit 1.

         On January 22, 1997, the NRC issued a temporary exemption to Great Bay
in which the NRC staff stated that it believed that Great Bay did not then
satisfy the NRC definition of "electric utility." The temporary exemption
granted Great Bay six months to establish itself as an "electric utility" as
defined in the NRC's regulations or obtain a surety bond or other allowable
decommissioning funding mechanism. In February 1997, Great Bay requested that
the NRC reconsider the staff's finding that Great Bay does not meet the NRC
definition of "electric utility." Great Bay also requested that the NRC consider
granting an extension to the temporary exemption as an alternative to making a
final determination as to whether Great Bay is an electric utility under the NRC
definition. On July 23, 1997, the NRC staff reaffirmed its finding that Great
Bay is not an "electric utility."

          On July 23, 1997, the NRC issued a one-year exemption to Great Bay
from the obligation of Great Bay to comply with the NRC's regulations applicable
to an owner of an interest in a nuclear power plant that is not an "electric
utility" under the NRC's regulations. The exemption gives Great Bay until the
earlier of July 23, 1998 or 90 days following the effective date of any
revisions to the NRC's definition of "electric utility" to obtain a surety bond
or other allowable decommissioning funding assurance mechanism for Great Bay's
decommissioning liability related to its ownership in Seabrook. Later this year,
the NRC is expected to begin the process of revising its regulations in
anticipation of deregulation of the electric utility industry. The Company
believes that Great Bay satisfies the NRC's current decommissioning funding
requirements and intends to seek to establish Great Bay's status as an "electric
utility" through all appropriate channels. A decision as to Great Bay's status
as an "electric utility" may adversely affect Great Bay's liquidity, possibly
materially.

Liquidity and Capital Expenditures
----------------------------------

         BayCorp anticipates that its share of the Seabrook Project's capital
expenditures for the 1997 fiscal year will total approximately $4.3 million,
primarily for nuclear fuel and various capital projects. This estimated amount
is based on the latest projections provided by the Managing Agent of the
Seabrook Project.

         A scheduled refueling outage for the Seabrook Project began May 10,
1997 and lasted approximately fifty days. The Seabrook plant resumed operations
on June 28, 1997 and reached 100% power on July 3, 1997. An increased scope of
work was performed during this refueling following Seabrook's record 463
continuous days on-line. In addition to refueling the reactor, this refueling
outage 

                                       10
<PAGE>   11
                             BAYCORP HOLDINGS, LTD.



also included major plant maintenance which is expected to improve performance
at the Seabrook plant during its current operating cycle.

         During outage periods at the Seabrook Project, BayCorp has no
electricity for sale and consequently no revenues. Great Bay accrues for the
incremental costs of the Seabrook Project's scheduled outages over the periods
between those outages. However, Great Bay continues to expense the normal
Seabrook operating and maintenance expenses as incurred. Therefore, the Company
incurs losses during scheduled outage periods as a result of the combination of
the lack of revenue and the recognition of normal recurring operation and
maintenance costs as well as the continuing depreciation of the Seabrook Plant.
The impact of refueling and other outages on the Company's results of operations
and financial position is materially adverse.

         The 1997 outage cost an estimated $35 million. Great Bay's share is
approximately $4.3 million. This estimate is based on a number of assumptions,
including labor and contractor costs, required repairs and days to perform the
outage and plant operations in the interim. Changes in these and other
assumptions could cause this estimate to change in the near term. A final
accounting of outage related costs is expected in late August 1997.

         The Company is reporting a loss of $5,484,000 in the second quarter of
1997 resulting from the decreased revenues coupled with continuing operating and
maintenance expenses and depreciation, as discussed above.

         For the second quarter of 1997 the Company has reported the use of
approximately $3,747,000 of its cash and equivalents, largely to fund its share
of this refueling outage.

         For each of the tax years 1994, 1995 and 1996, Great Bay has filed
property tax abatement applications with the three New Hampshire towns in which
the Seabrook Project is located. Great Bay paid its 1994, 1995 and the first
half of its 1996 property taxes billed by the Towns of Seabrook, Hampton and
Hampton Falls, New Hampshire (collectively, the "Towns") and withheld payment
of the second half of its 1996 property taxes based on the Company's position
that the portion of 1996 property taxes paid to the Towns exceeds the amount of
the total 1996 property taxes appropriately payable by Great Bay to the Towns.
Great Bay also withheld the first half of its 1997 property taxes to the Towns.
Under New Hampshire law, Great Bay will be required to pay an interest penalty
computed at an annual rate of 18% (or 12% for periods until a Town placed a
lien on the Seabrook Project) on all unpaid taxes if it is unsuccessful in its
tax abatement proceedings against the Towns. The full amount of property taxes
has been accrued and reflected by Great Bay on its 1997 and 1996 income
statements. As a result of Great Bay's withholding of its property tax payment
for the second half of 1996, two of the three Towns exercised their right to
place a lien on the Seabrook Project. The Town of Seabrook placed a lien on the
Seabrook Project on April 18, 1997 and the Town of Hampton Falls placed a lien
on the Seabrook Project on April 21, 1997. Under New Hampshire law, Seabrook
and Hampton Falls cannot take any action pursuant to their liens until two
years after the execution of the liens. The outcome of the Company's appeals
with respect to property tax assessments will affect the Company's liquidity
and obligation for property tax payments in the future.

         As described above, a review of Great Bay's status as an "electric
utility" by the NRC is currently in process, which may adversely effect
BayCorp's and Great Bay's liquidity, possibly materially.


                                       11
<PAGE>   12
                             BAYCORP HOLDINGS, LTD.



NOTE D - EQUITY

         On January 27, 1997 Great Bay announced that it had received all
necessary shareholder and regulatory approvals for the formation of a holding
company structure for Great Bay. As a result of the restructuring, Great Bay
became a wholly-owned subsidiary of BayCorp. Shareholders of Great Bay common
stock received one share of BayCorp common stock for each share of Great Bay
common stock which they owned. The new BayCorp common stock began public trading
on the American Stock Exchange under the symbol "MWH" on January 28, 1997.

         On June 4, 1996, the Board of Directors of Great Bay adopted a
resolution authorizing Great Bay to repurchase up to an aggregate of 140,000
shares of Great Bay's Common Stock on the open market or in privately negotiated
transactions. On March 4, 1997, the Board of Directors of BayCorp adopted a
similar resolution for Baycorp. As of June 30, 1997, the Company completed its
repurchase program, repurchasing 140,000 shares at a total cost of $1,133,223,
or an average price of approximately $8.09 per share.

         The Company has never declared or paid cash dividends on its Common
Stock and currently does not anticipate paying a dividend in the foreseeable
future.

Item 2. Management's Discussion and Analysis of Financial Condition and Results 
--------------------------------------------------------------------------------
of Operations
-------------

Overview

         As a result of a corporate restructuring that occurred in January 1997,
BayCorp's principal asset is its 100% equity interest in Great Bay. Great Bay is
a public utility whose principal asset is a 12.1% joint ownership interest in
the Seabrook Nuclear Power Project in Seabrook, New Hampshire. Unless the
context requires otherwise, references to BayCorp for events and time periods
before January 1997 reflect treatment of BayCorp as the successor to Great Bay.

         A scheduled refueling outage for the Seabrook Project began on May 10,
1997 and lasted approximately fifty days. The Seabrook plant resumed operations
on June 28, 1997 and reached 100% power on July 3, 1997. In addition to
refueling the reactor, this refueling outage also included major plant
maintenance which is expected to improve performance at the Seabrook plant
during its current operating cycle. Based on the outage costs reported to date
by the Seabrook plant, the Company has reported a loss of approximately
$5,484,000 in the second quarter of 1997 resulting from decreased revenues
coupled with continuing operating and maintenance expenses and depreciation, as
discussed above. See "Liquidity and Capital Expenditures."


                                       12
<PAGE>   13
                             BAYCORP HOLDINGS, LTD.



Results of Operations: Second Quarter of Fiscal 1997 Compared to the Second
---------------------------------------------------------------------------
Quarter of Fiscal 1996
----------------------

Operating Revenues

         Operating Revenues decreased by approximately $3,750,000, or 51.3%, to
$3,555,000 in the second quarter of 1997 as compared to $7,305,000 in the second
quarter of 1996. This decrease in revenues was primarily due to the refueling
outage which took place during the second quarter of 1997. The refueling outage
lasted from May 10, 1997 though June 28, 1997. Refueling outages take place
approximately every eighteen to twenty months. There was no scheduled refueling
outage during the comparable period in 1996. During outage periods at the
Seabrook plant, the Company has no electricity for sale and consequently no
revenues. For the second quarter of 1997, the capacity factor at the Seabrook
plant was 43.3% versus a capacity factor of 100% for the second quarter of 1996.

          Sales of electricity decreased by approximately 56.9% to 132,710,000
kilowatt hours ("kWhs") in the second quarter of 1997 as compared to 308,094,070
kWhs in the second quarter of 1996. During the second quarter of 1997 the sales
price per kWh (determined by dividing total sales revenue by the total number of
kWhs sold in the applicable period) increased 13.1% to 2.68 cents per kWh as
compared with 2.37 cents per kWh in the second quarter of 1996. BayCorp's cost
of power (determined by dividing total operating expenses by BayCorp's 12.1%
share of the power produced by the Seabrook Project during the applicable
period) increased 178% to 6.56 cents per kWh in the second quarter of 1997 as
compared to 2.36 cents per kWh in the second quarter of 1996. This increase was
the result of the scheduled refueling outage and its associated costs and the
resultant lower capacity factor at the Seabrook Project during the second
quarter of 1997 as compared to the second quarter of 1996. Scheduled and
unscheduled outage time increases BayCorp's cost of power because Seabrook costs
are spread over fewer kWhs.

Expenses

         Production and Transmission expenses for the second quarter of 1997
increased approximately $1,197,000, or 29.3%, as compared to the second quarter
of 1996. This increase was primarily the result of an increase in the actual
outage related costs reported for the second quarter of 1997 as compared to the
budgeted costs for this outage which were accrued for during the second quarter
of 1996. The increase in outage related expenses is due to the increased scope
of work performed during the 1997 scheduled refueling outage.

         During the second quarter of 1997, there was an overall increase of
approximately $219,000, or 6.8%, in depreciation and amortization, taxes, and
administrative and general expenses, from $3,207,000 in the second quarter of
1996 to $3,426,000 in the second quarter of 1997.

Other (Income) Deductions

         Decommissioning Cost Accretion increased $100,000, to $665,000 during
the second quarter of 1997 as compared to $565,000 during the second quarter of
1996. This accretion is a non-cash charge and recognizes Great Bay's liability
related to the closure and decommissioning of its nuclear plant in current year
dollars over the licensing period of the plant. Interest (Income) Expense and
Decommissioning Trust Fund Income increased 18.1%, or $51,000, during the second
quarter of 1997 as 

                                       13
<PAGE>   14

                             BAYCORP HOLDINGS, LTD.



compared to the second quarter of 1996. This increase in interest income
reflects the Company's higher average cash and investment balances during the
second quarter of 1997 as compared to the second quarter of 1996.

Net Loss

         As a result of the above factors, during the second quarter ended June
30, 1997, the Company recorded a net loss of $5,484,000, or approximately $.66
per share, as compared to a net loss of $269,000, or approximately $.03 per
share, during the second quarter ended June 30, 1996.

Results of Operations: First Six Months of Fiscal 1997 Compared to the First Six
--------------------------------------------------------------------------------
Months of Fiscal 1996
---------------------

Operating Revenues

         Operating Revenues decreased by approximately $2,204,000, or 15.5%, to
$11,992,000 in the first half of 1997 as compared with $14,196,000 in the first
half of 1996. This decrease in revenues was primarily due to the refueling
outage which took place during the first half of 1997. The refueling outage
lasted from May 10, 1997 though June 28, 1997. Refueling outages take place
approximately every eighteen to twenty months. There was no scheduled refueling
outage during the comparable period in 1996. During outage periods at the
Seabrook plant, the Company has no electricity for sale and consequently no
revenues. For the first half of 1997, the capacity factor at the Seabrook plant
was 71.6% as compared to 93.2% for the first half of 1996.

         Sales of electricity decreased by approximately 23.6% to 437,185,500
kWhs in the first half of 1997 as compared to 572,228,470 kWhs in the first half
of 1996. During the first half of 1997 the sales price per kWh (determined by
dividing total sales revenue by the total number of kWhs sold in the applicable
period) increased 10.5% to 2.74 cents per kWh as compared with 2.48 cents per
kWh during the first half of 1996. BayCorp's cost of power (determined by
dividing total operating expenses by BayCorp's 12.1% share of the power produced
by the Seabrook Project during the applicable period) increased 51.3% to 3.95
cents per kWh in the first half of 1997 as compared to 2.61 cents per kWh in the
first half of 1996. This increase was the result of the scheduled refueling
outage and its associated costs and the resultant lower capacity factor at the
Seabrook Project during the first half of 1997 as compared to the first half of
1996. Scheduled and unscheduled outage time increases BayCorp's cost of power
because Seabrook costs are spread over fewer kWhs.

Expenses

         Production and Transmission expenses for the first half of 1997
increased approximately $1,964,000, or 24.8%, as compared to the first half of
1996. This increase was primarily the result of an increase in the actual outage
related costs reported for the first half of 1997 as compared to the budgeted
costs for this outage which were accrued for during the first half of 1996. The
increase in outage related expenses is due to the increased scope of work
performed during the 1997 scheduled refueling outage.

         During the first half of 1997, there was an overall increase of
approximately $335,000, or 4.8%, in depreciation and amortization,
administrative and general expenses and taxes other than income from $7,049,000
in the first half of 1996 to $7,384,000 in the first half of 1997.


                                       14
<PAGE>   15

                             BAYCORP HOLDINGS, LTD.




Other (Income) Deductions

         Decommissioning Cost Accretion increased $201,000, to $1,331,000 during
the first half of 1997 as compared to $1,130,000 during the first half of 1996.
This accretion is a non-cash charge and recognizes Great Bay's liability related
to the closure and decommissioning of its nuclear plant in current year dollars
over the licensing period of the plant. Interest (Income) Expense and
Decommissioning Trust Fund Income increased 34.9%, or $219,000, during the first
half of 1997 as compared to the first half of 1996. This increase in interest
income reflects the Company's higher average cash and investment balances during
the first half of 1997 as compared to the first half of 1996.

Net Loss

         As a result of the above factors, during the six months ended June 30,
1997, the Company recorded a net loss of $5,772,000, or approximately $.69 per
share, as compared to a net loss of $1,287,000, or approximately $.16 per share,
during the six months ended June 30, 1996.

Net Operating Losses

         For federal income tax purposes, as of December 31, 1996, the Company
had net operating loss carry forwards ("NOLs") of approximately $184 million,
which are scheduled to expire between 2003 and 2011. Because the Company has
experienced one or more ownership changes, within the meaning of Section 382 of
the Internal Revenue Code of 1986, as amended, an annual limitation is imposed
on the ability of the Company to use $136 million of these carryforwards. The
Company's best estimate at this time is that the annual limitation on the use of
$136 million of the Company's NOLs is approximately $5.5 million per year. Any
unused portion of the $5.5 million annual limitation applicable to the Company's
restricted NOL's is available for use in future years until such NOL's are
scheduled to expire. The Company's other $48 million of NOLs are not currently
subject to such limitations.

Liquidity

         BayCorp's cash and short-term investments decreased approximately
$7,398,000 during the first six months of 1997. Principal factors affecting
liquidity during the first six months ended June 30,1997 included the operating
loss discussed above and cash expenditures of approximately $1,756,000 for
capital plant additions, $1,723,000 for nuclear fuel purchases and $553,000 for
decommissioning trust fund payments. An increase in prepaids and other assets of
approximately $2,735,000 and a decrease in other working capital items of
$3,219,000 primarily reflect payments to the Seabrook Project for nuclear fuel
of $4,600,000 and payment of 1996 accruals for Seabrook personnel employee
benefits of approximately $680,000 which are payable in the first quarter of
each year and the prepayment by the Company of a three year Directors and
Officers liability insurance policy. Also in the first six months of 1997,
BayCorp purchased 61,955 shares of the Company's Common Stock for $500,400.
Offsetting these cash charges were non-cash charges to income which included
$1,726,000 for depreciation, $2,156,000 for nuclear fuel amortization and
decommissioning trust fund accretion of $1,331,000, an increase in Taxes Accrued
of $1,470,000 and a decrease in accounts receivable of $2,507,000.


                                       15
<PAGE>   16
                             BAYCORP HOLDINGS, LTD.




         This Quarterly Report on Form 10-Q contains forward-looking statements
that involve a number of risks and uncertainties. Any statements contained
herein (including without limitation statements to the effect that the Company,
Great Bay or their management "believes", "expects", "anticipates", "plans" and
similar expressions) that are not statements of historical fact should be
considered forward-looking statements. Among the important factors that could
cause actual results to differ materially from those indicated by such
forward-looking statements are the factors set forth in the Company's Annual
Report on Form 10-K under the caption Management's Discussion and Analysis of
Financial Condition and Results of Operation - Certain Factors That May Affect
Future Results, which are incorporated by reference herein.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings
-------------------------

         For each of the tax years 1994, 1995 and 1996, Great Bay has filed
property tax abatement applications with the three New Hampshire towns in which
the Seabrook Project is located. Great Bay paid its 1994, 1995 and half of the
1996 property taxes billed by the Towns of Seabrook, Hampton and Hampton Falls,
New Hampshire (collectively, the "Towns") and withheld payment of the second
half of its 1996 property taxes to the Towns, based on Great Bay's position that
the portion of 1996 property taxes paid to the Towns exceeds the amount of the
total 1996 property taxes appropriately payable by Great Bay to the Towns. Great
Bay also withheld the first half of its 1997 property taxes to the Towns. Under
New Hampshire law, Great Bay will be required to pay an interest penalty
computed at an annual rate of 18% (or 12% for periods until a Town placed a lien
on the Seabrook Project) on all unpaid taxes if it is unsuccessful in its tax
abatement proceedings against the Towns. The full amount of property taxes has
been accrued and reflected by Great Bay on its 1997 and 1996 income statements.
As a result of Great Bay's withholding of its property tax payment for the
second half of 1996, two of the three Towns exercised their right to place a
lien on the Seabrook Project. The Town of Seabrook placed a lien on the Seabrook
Project on April 18, 1997 and the Town of Hampton Falls placed a lien on the
Seabrook Project on April 21, 1997. Under New Hampshire law, Seabrook and
Hampton Falls cannot take any action pursuant to their liens until two years
after the execution of the liens. Great Bay is unable to express an opinion as
to the likely outcome of this matter.

         In December 1996, eight of the Joint Owners of the Seabrook Project
(the "Demanding Joint Owners") served a demand on Great Bay for arbitration of a
dispute between Great Bay and the Demanding Joint Owners concerning the
allocation among the joint owners of real property taxes assessed by the Towns
against the Seabrook Project. Great Bay takes the position that the JOA does not
provide for allocation of real estate tax liabilities in proportion to each
joint owner's ownership interest in the Seabrook Project. The Demanding Joint
Owners claim that real estate taxes should be allocated in accordance with
ownership shares. Arbitration proceedings have commenced and Great Bay is unable
to express an opinion as to the likely outcome of this matter.

Item 4.  Submission of Matters to a Vote of Securityholders
-----------------------------------------------------------

The Company held its Annual Meeting of Shareholders on April 29, 1997. Proxies
for the meeting were solicited pursuant to Regulation 14A, and there were no
solicitations in opposition to management's 


                                       16
<PAGE>   17
                             BAYCORP HOLDINGS, LTD.




nominee's for Directors. All such nominees were elected. At the Annual Meeting,
the stockholders of the Company:

         (1)  elected a Board of Directors to serve until the next Annual
              Meeting of Stockholders of the Company and until their successors
              are duly elected and qualified (by a vote of 6,783,318 in favor of
              the proposal, 0 votes against the proposal and 669 votes
              abstained, as to all Directors),

         (2)  ratified the selection by the Board of Directors of Arthur
              Andersen LLP as the Company's independent public accountants for
              the current fiscal year (6,782,100 votes in favor of the proposal,
              1,778 votes against the proposal and 109 votes abstained).


Item 6. Exhibits and Reports on Form 8-K
----------------------------------------

         (a)  See Exhibit Index

         (b)  There were no reports on Form 8-K submitted for the three months
              ended June 30, 1997.








                                       17

<PAGE>   18

                             BAYCORP HOLDINGS, LTD.





         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.




                               BAYCORP HOLDINGS, LTD.








August 11, 1997            By:  /s/ John A. Tillinghast
                               -------------------------------------------------

                                              John A. Tillinghast
                               President , Treasurer and Chief Executive Officer
                                        (Principal Accounting Officer)









                                       18


<PAGE>   19

                             BAYCORP HOLDINGS, LTD.






                                  EXHIBIT INDEX


Exhibit No.       Description
-----------       -----------


27.1              Financial Data Schedule

99.1              Pages 18-21 of the Company's Annual Report on Form 10-K for 
                  the period ended December 31, 1996 (which is not deemed to be
                  filed except to the extent that portions thereof are expressly
                  incorporated by reference herein)



                                       19