<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                        March 31, 2001

                                       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.)

   222 INTERNATIONAL DRIVE, SUITE 125
       PORTSMOUTH, NEW HAMPSHIRE                                03801-6819
(Address of principal executive offices)                        (Zip Code)

       REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (603) 431-6600


         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
    -----     -----
                 Class                           Outstanding at May 7, 2001
---------------------------------------          --------------------------
Common Stock, $0.01 Par Value per Share                   8,519,316
<PAGE>   2
                             BAYCORP HOLDINGS, LTD.

                                      INDEX

<TABLE>
<S>                                                                                 <C>
PART I - FINANCIAL INFORMATION:

         Item 1 - Financial Statements:

         Consolidated Statements of Income and Comprehensive Income
             - Three Months Ended March 31, 2001 and 2000 ....................          3

         Consolidated Balance Sheets at March 31, 2001
             and December 31, 2000 ...........................................        4-5

         Consolidated Statements of Cash Flows -
             Three Months Ended March 31, 2001 and 2000 ......................          6

         Notes to Financial Statements .......................................          7

         Item 2 -  Management's Discussion and Analysis of Financial Condition
             and Results of Operations: ......................................      13-16

         Item 3 -  Quantitative and Qualitative Disclosures About Market Risk          16

PART II - OTHER INFORMATION:


         Item 6 - Exhibits and Reports on Form 8-K ...........................         16

         Signature ...........................................................         17

         Exhibit Index .......................................................         18
</TABLE>




                                       2
<PAGE>   3
                             BAYCORP HOLDINGS, LTD.

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

           CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME
                                   (UNAUDITED)
            (Dollars in Thousands, except shares and per share data)

<TABLE>
<CAPTION>
                                                            Three Months Ended   Three Months Ended
                                                              March 31, 2001       March 31, 2000
                                                            ------------------   ------------------
<S>                                                         <C>                  <C>
Operating Revenues                                             $    19,267          $    14,484

Operating Expenses
  Production                                                         5,426                5,683
  Transmission                                                         264                  233
  Purchased Power                                                   13,738                1,878
  Unrealized (Gain) Loss on Firm Energy Trading Contracts           (6,314)               4,130
  Administrative & General                                           1,815                1,574
  Depreciation & Amortization                                          997                  993
  Taxes other than Income                                              963                1,114
                                                               -----------          -----------
      Total Operating Expenses                                      16,889               15,605
Operating Income (Loss)                                              2,378               (1,121)

Other (Income) Deductions:
  Interest and Dividend Income                                        (170)                 (85)
  Decommissioning Cost Accretion                                       815                  908
  Decommissioning Trust Fund Income                                   (352)                (295)
  Equity Loss in HoustonStreet Investment                              450                2,397
  Other Income (Deductions)                                             62                 (235)
                                                               -----------          -----------
      Total Other Deductions                                           805                2,690
Income (Loss) Before Income Taxes                                    1,573               (3,811)

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

Net Income (Loss)                                                    1,573               (3,811)

Other Comprehensive Income, Net of Tax
  Unrealized Gain (Loss) on Securities                                  37                 (272)
                                                               -----------          -----------
Comprehensive Income (Loss)                                    $     1,610          ($    4,083)
                                                               ===========          ===========
Weighted Average Shares Outstanding                              8,334,264            8,269,932
Basic and Diluted Income (Loss) Per Share                      $      0.19          ($     0.46)
</TABLE>

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


                                        3
<PAGE>   4
                             BAYCORP HOLDINGS, LTD.


                           CONSOLIDATED BALANCE SHEETS
                                   (UNAUDITED)
                             (Dollars in Thousands)

<TABLE>
<CAPTION>
                                                       March 31,      December 31,
                                                          2001            2000
                                                       ---------      ------------
<S>                                                    <C>            <C>
ASSETS
Current Assets:
  Cash & Cash Equivalents                              $   8,310       $   9,071
  Restricted Cash - Escrow                                   228           2,016
  Short-term Investments, at market                            0           3,022
  Accounts Receivable                                      5,489           3,131
  Materials & Supplies, net                                4,906           4,760
  Prepayments & Other Assets                               2,738           1,135
                                                       ---------       ---------
      Total Current Assets                                21,671          23,135

Property, Plant & Equipment and Fuel:
  Utility Plant Assets                                   111,855         111,491
  Non-Utility Plant Assets                                   104             104
                                                       ---------       ---------
  Total Property, Plant & Equipment                      111,959         111,595
  Less: Accumulated Depreciation                         (20,691)        (19,776)
                                                       ---------       ---------
  Net Property, Plant & Equipment                         91,268          91,819

  Nuclear Fuel                                            18,431          18,348
  Less: Accumulated Amortization                          (8,991)         (7,956)
                                                       ---------       ---------
  Net Nuclear Fuel                                         9,440          10,392

      Net Property, Plant & Equipment and Fuel           100,708         102,211

Other Assets:
  Decommissioning Trust Fund                              29,155          28,146
  Deferred Debits & Other                                    104             102
                                                       ---------       ---------
      Total Other Assets                                  29,259          28,248

Equity Investment in HoustonStreet Exchange, Inc.              0               0

TOTAL ASSETS                                           $ 151,638       $ 153,594
                                                       =========       =========
</TABLE>

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

                                        4
<PAGE>   5
                             BAYCORP HOLDINGS, LTD.


                           CONSOLIDATED BALANCE SHEETS
                                   (UNAUDITED)
                             (Dollars in Thousands)

<TABLE>
<CAPTION>
                                                      March 31,      December 31,
                                                        2001            2000
                                                      ---------      ------------
<S>                                                   <C>            <C>
LIABILITIES AND STOCKHOLDERS' EQUITY

Current Liabilities:
  Accounts Payable and Accrued Expenses               $   1,880       $   8,187
  Miscellaneous Current Liabilities                      16,156          14,665
                                                      ---------       ---------
          Total Current Liabilities                      18,036          22,852

Operating Reserves:
  Decommissioning Liability                              72,433          71,618
  Miscellaneous Other                                       470             470
                                                      ---------       ---------
          Total Operating Reserves                       72,903          72,088

Other Liabilities & Deferred Credits                      7,549           7,115



Commitments & Contingencies


Stockholders' Equity:
  Common stock, $.01 par value,
      Authorized - 20,000,000 shares,
      Issued and Outstanding - 8,519,316                     86              86
   Less: Treasury Stock - 185,052 shares at cost         (1,396)         (1,396)
   Additional Paid-in Capital                            92,934          92,934
   Accumulated Other Comprehensive Income                   355             318
   Accumulated Deficit                                  (38,829)        (40,403)
                                                      ---------       ---------
          Total Stockholders' Equity                     53,150          51,539

TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY            $ 151,638       $ 153,594
                                                      =========       =========
</TABLE>

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

                                        5
<PAGE>   6
                             BAYCORP HOLDINGS, LTD.



                      CONSOLIDATED STATEMENTS OF CASH FLOWS
                                   (UNAUDITED)
                             (Dollars in Thousands)


<TABLE>
<CAPTION>
                                                                    Three Months      Three Months
                                                                        Ended             Ended
                                                                   March 31, 2001    March 31, 2000
                                                                   --------------    --------------
<S>                                                                <C>               <C>
Net cash flow from operating activities:
    Net income (loss)                                                 $  1,573          ($ 3,811)
    Adjustments to reconcile net earnings to net
    cash (used in) provided by operating activities:
         Equity loss in HoustonStreet investment                           450             2,397
         Depreciation and amortization                                     914               986
         Amortization of nuclear fuel                                    1,035             1,242
         Unrealized (gain) loss on firm energy trading contracts        (6,314)            4,130
         Decommissioning trust accretion                                   815               908
         Decommissioning trust interest and other charges                 (354)             (294)
         Increase in accounts receivable                                (2,358)             (497)
         Increase in materials & supplies                                 (146)             (277)
         Increase in prepaids and other assets                          (1,605)           (1,381)
         Decrease in accounts payable                                   (6,308)             (159)
         Increase in taxes accrued                                         155                 0
         Increase in other liabilities                                   8,086               130
                                                                      --------          --------
Net cash (used in) provided by  operating activities                    (4,057)            3,374

Net cash flows from investing activities:
  Capital additions                                                       (364)             (632)
  Nuclear fuel additions                                                   (83)           (1,877)
  Payments to decommissioning fund                                        (654)             (441)
  Investment in HoustonStreet                                             (450)                0
  Short term investments, net                                            3,059             4,043
                                                                      --------          --------
Net cash provided by investing activities                                1,508             1,093

Net cash from financing activities:
  Stock option exercise                                                      0               215
  Other investments                                                          0                 0
                                                                      --------          --------
Net cash provided by financing activities                                    0               215

Net  (decrease) increase in cash and cash equivalents                   (2,549)            4,682
Cash and cash equivalents, beginning of period                          11,087             5,549
                                                                      --------          --------
Cash and cash equivalents, end of period                              $  8,538          $ 10,231
                                                                      ========          ========
</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") is a holding
company incorporated in Delaware in 1996. BayCorp has two wholly owned
subsidiaries that generate and trade wholesale electricity, Great Bay Power
Corporation ("Great Bay") and Little Bay Power Corporation ("Little Bay"). In
addition, BayCorp owns a 45.9% equity interest in HoustonStreet Exchange, Inc.
("HoustonStreet"), an Internet-based energy trading and information business.
The Company accounts for HoustonStreet under the equity method.

         Great Bay and Little Bay's principal asset is a combined 15% joint
ownership interest in the Seabrook Nuclear Power Project in Seabrook, New
Hampshire (the "Seabrook Project"). This ownership interest entitles the
companies to approximately 174 megawatts ("MWs") of the Seabrook Project's power
output. Great Bay and Little Bay are exempt wholesale generators ("EWGs") under
the Public Utility Holding Company Act of 1935 ("PUHCA"). Unlike regulated
public utilities, Great Bay and Little Bay have no franchise area or captive
customers. The companies sell their power in the competitive wholesale power
markets.

         On October 10, 2000, the Company entered into an agreement with
Northeast Utilities ("NU") under which the Company's generating subsidiaries,
Great Bay and Little Bay, will include their aggregate 15% ownership share of
the Seabrook Project in the upcoming auction of NU's subsidiaries' shares of the
Seabrook Project. Under the terms of the agreement, BayCorp will receive the
sales price established by the auction process. In the event that the sale
yields proceeds for BayCorp of more than $87.2 million, BayCorp and NU will
share the excess proceeds. Should BayCorp's sales proceeds be less than $87.2
million, NU will make up the difference below that amount on a dollar for dollar
basis up to a maximum of $17.4 million. Under the agreement, BayCorp will be
paid separately for nuclear fuel and inventory. The agreement also limits any
top-off amount required to be funded by BayCorp for decommissioning as part of
the sale process at the amount required by the Nuclear Regulatory Commission
("NRC") regulations. The auction is expected to begin in the third quarter of
2001 with a closing expected in the second quarter of 2002. The timing of the
auction is principally controlled by the New Hampshire Public Utilities
Commission as part of the move to electricity deregulation in New Hampshire.
Therefore, there can be no assurances regarding the timing of the auction or the
closing.

         HoustonStreet developed and operates HoustonStreet.com, an
Internet-based trading platform and information portal for wholesale energy
traders. Currently, HoustonStreet offers online trading exchanges for
electricity and crude oil and refined products. HoustonStreet is developing an
interconnection with EnronOnline, a global Internet-based transaction system for
wholesale energy and other commodities whereby North American electricity and
natural gas prices posted on EnronOnline will automatically be posted on
HoustonStreet. HoustonStreet has continued to develop its platform for trading
natural gas and anticipates that it will launch the natural gas platform at
approximately the same time as the anticipated interconnection with EnronOnline.
HoustonStreet expects the interconnection with EnronOnline will go live in the
second quarter of 2001. BayCorp remains the largest stockholder in HoustonStreet
with an equity interest of 45.9% as of March 31, 2001.


                                       7
<PAGE>   8
                             BAYCORP HOLDINGS, LTD.



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, 2000 as filed in Form 10-K,
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.

         Accumulated other comprehensive income and the current period charge
are as follows:

<TABLE>
<CAPTION>
                                              Unrealized         Accumulated
                                                Income       Other Comprehensive
                                             on Securities         Income
<S>                                          <C>             <C>
         Beginning Balance                     $318,032           $318,032
         Current Period Charge                   37,515             37,515
                                               --------           --------
         Ending Balance                        $355,547           $355,547
                                               ========           ========
</TABLE>

         The Company utilizes unit contingent and firm forward sales contracts
to maximize the value of its 174 MW power supply from the Seabrook Project.
Effective January 1, 1999, Great Bay adopted Emerging Issues Task Force Issue
("EITF") No. 98-10, "Accounting for Contracts Involved in Energy Trading and
Risk Management Activities." EITF 98-10 requires energy-trading contracts to be
recorded at fair value on the balance sheet, with the changes in fair value
included in earnings. The Company is marking the related contracts to market
based on the estimated contract replacement value at each balance sheet date.
The Company had net unrealized losses included in accrued expenses of
approximately $6,565,300 and $12,879,400, as of March 31, 2001 and December 31,
2000, respectively. The net change in unrealized loss on firm forward contracts
for the first quarter ended March 31, 2001 was a gain of $6,314,100 and for the
quarter ended March 31, 2000, the change was a loss of $4,130,000, included in
the accompanying consolidated statements of income.

NOTE C - COMMITMENTS AND CONTINGENCIES

Nuclear Power, Energy and Utility Regulation.

         The Seabrook Project and Great Bay and Little Bay, as part owners of a
licensed nuclear facility, are subject to the broad jurisdiction of the 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 and Little Bay have been, and will be, affected
to the extent of their proportionate share by the cost of any such requirements
made applicable to the Seabrook Project.

         Great Bay and Little Bay are 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, are required to file

                                       8
<PAGE>   9
                             BAYCORP HOLDINGS, LTD.




with FERC all contracts for the sale of electricity. FERC has the authority to
suspend the rates at which Great Bay and Little Bay propose 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 Great Bay and Little Bay are EWG's, they are not subject to the
jurisdiction of the Securities and Exchange Commission ("SEC") under PUHCA. In
order to maintain their EWG status, Great Bay and Little 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 and Little Bay, their combined 15% joint ownership
interest in the Seabrook Project comprises an "eligible facility."

Utility Deregulation; Public Controversy Concerning Nuclear Power Plants

         The New Hampshire Public Utilities Commission ("NHPUC") and the
regulatory authorities with jurisdiction over utilities in New Hampshire and
state legislatures of several other states in which Great Bay and Little Bay
sell electricity are considering or are implementing initiatives relating to the
deregulation of the electric utility industry. Simultaneously with the
deregulation initiatives occurring in each of the New England states, the New
England Power Pool ("NEPOOL") restructured to create and maintain open,
non-discriminatory, competitive, unbundled markets for energy, capacity, and
ancillary services. All of the deregulation initiatives open electricity markets
to competition in the affected states. While Great Bay and Little Bay believe
they are low-cost producers of electricity and will benefit from the
deregulation of the electric industry, it is not possible to predict the impact
of these various initiatives on the companies.

         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 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 the Company
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 monies
in a trust fund to pay decommissioning costs, if these costs exceed the amount
of the trust fund, the owners, including Great Bay and Little Bay, will be
liable for the excess.

Decommissioning Liability

         Based on the Financial Accounting Standards Board's ("FASB") tentative
conclusions, reflected on the February 7, 1996, Exposure Draft titled
"Accounting for Certain Liabilities Related to Closure and Removal of Long-Lived
Assets," Great Bay and Little Bay have recognized as a liability their


                                       9
<PAGE>   10
                             BAYCORP HOLDINGS, LTD.




proportionate share of the present value of the estimated cost of Seabrook
Project decommissioning. For Great Bay, the initial recognition of this
liability was capitalized as part of the Fair Value of the Utility Plant at
November 23, 1994. For Little Bay, the amount was provided for in the purchase
price allocation.

         New Hampshire enacted a law in 1981 requiring the creation of a
state-managed fund to finance decommissioning of any nuclear units in the state.
The Seabrook Project's decommissioning estimate and funding schedule is subject
to review each year by the New Hampshire Nuclear Decommissioning Financing
Committee ("NDFC"). This estimate is based on a number of assumptions. Changes
in assumptions for such things as labor and material costs, technology,
inflation and timing of decommissioning could cause these estimates to change,
possibly materially, in the near term. During March 2000, the NDFC issued an
order that adjusted the decommissioning collection period and funding levels as
if decommissioning would begin in 2015 and the decommissioning fund would be
fully funded by 2015. The current estimated cost to decommission the Seabrook
Project (based on the NDFC Docket 2000-1, as updated by NDFC Order No. 5 in
January 2001) is approximately $609.4 million in 2001 dollars, assuming for
decommissioning funding purposes, a remaining 14-year life for the facility and
a future cost escalation rate of 4%.

         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 agreed to review the accounting for
nuclear decommissioning costs. On February 17, 2000, the FASB issued a "Revision
of Exposure Draft issued February 7, 1996, Proposed Statement of Financial
Accounting Standards: Accounting for Obligations Associated with the Retirement
of Long-Lived Assets." On June 30, 2000, the proposed statement was issued by
the FASB. The final statement is expected to be issued by the fourth quarter of
2001. Great Bay and Little Bay's accounting for decommissioning is based on the
FASB's original tentative conclusions. The proposed statement requires that an
obligation associated with the retirement of a tangible long-lived asset be
recognized as a liability when incurred, and that the amount of the liability
resulting from (a) the passage of time and (b) revisions to either the timing or
amount of estimated cash flows should also be recognized. The proposed statement
also requires that, upon initial recognition of a liability for an asset
retirement obligation, an entity capitalize that cost by recognizing an increase
in the carrying amount of the related long-lived asset. Upon adoption, the
proposed statement would be effective for financial statements issued for fiscal
years beginning after December 15, 2001.

         The proposed statement requires the initial measurement of the
liability to be based on fair value, where the fair value is the amount that an
entity would be required to pay in an active market to settle the asset
retirement obligation in a current transaction in circumstances other than a
forced liquidation or settlement. Because in most circumstances, a market for
settling asset retirement obligations does not exist, the FASB described an
expected present value technique for estimating fair value. If the proposed
statement is adopted, Great Bay and Little Bay's decommissioning liability and
annual provision for decommissioning accretion could change relative to 2001.
Great Bay and Little Bay have not quantified the impact, if any, that the
proposed statement will have on the consolidated financial statements.

         Great Bay and Little Bay, based on the initial exposure draft, have
been recognizing a liability based on the present value of the estimated future
cash outflows required to satisfy their obligations using a risk free rate. As
of December 31, 2000, the estimated undiscounted cash outflows for Great Bay and
Little Bay, for decommissioning, based on the March 2000 NDFC study, with
decommissioning

                                       10
<PAGE>   11
                             BAYCORP HOLDINGS, LTD.




expenditures starting in 2013 and being completed in 2042, was $217.2 million,
which discounted at an average rate of 4.75% to December 31, 2000, represented a
liability of $71.6 million. As of March 31, 2001 this liability was $72.4
million as reflected in the accompanying balance sheet. In accordance with the
original exposure draft the companies record any adjustments to the
decommissioning liability due to changes in estimates in the utility plant
account.

         Great Bay and Little Bay accrete their share of the Seabrook Project's
decommissioning liability. This accretion is a non-cash charge and recognizes
their liability related to the closure and decommissioning of their nuclear
plant in current year dollars over the licensing period of the plant. The
non-cash accretion charge recorded in the accompanying consolidated statements
of income was $815,000 and $908,000 for the quarters ended March 31, 2001 and
March 31, 2000, respectively.

         Funds collected by the Seabrook Project for decommissioning are
deposited in an external irrevocable trust pending their ultimate use. The
earnings on the external trusts also accumulate in the fund balance. The trust
funds are restricted for use in paying the decommissioning of Unit 1. The
investments in the trust are available for sale. Great Bay and Little Bay have
therefore reported their investment in trust fund assets at market value and any
unrealized gains and losses are reflected in equity. There was an unrealized
holding gain of $158,200 as of March 31, 2001.

         Although the owners of the Seabrook Project 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 and Little Bay, would remain liable for the excess.

         In June 1998, the New Hampshire State legislature enacted legislation
that provides that in the event of a default by Great Bay on its payments to the
decommissioning fund, the other Seabrook joint owners would be obligated to pay
their proportional share of such default. As a result of the enactment of this
legislation, the staff of the NRC found that Great Bay complies with the
decommissioning funding assurance requirements. In July 1998, the staff of the
NRC notified Great Bay in July 1998 of the staff's determination that Great Bay
complies with the decommissioning funding assurance requirements under NRC
regulations.

         In response to the obligations imposed on the other Joint Owners under
the New Hampshire legislation, Great Bay agreed to make accelerated payments to
the Seabrook decommissioning fund such that Great Bay will have contributed
sufficient funds by the year 2015 to allow sufficient monies to accumulate, with
no further payments by Great Bay to the fund, to the full estimated amount of
Great Bay's decommissioning obligation by the time the current Seabrook
operating license expires in 2026. Based on the currently approved funding
schedule and Great Bay's accelerated funding schedule, Great Bay's
decommissioning payments will be approximately $2.6 million in 2001 and escalate
at 4% each year thereafter through 2015. Little Bay's share of decommissioning
costs was prefunded by Montaup Electric Company ("Montaup"), the owner of the
2.9% interest in the Seabrook Project that Little Bay acquired in November 1999.
As part of that acquisition, Montaup transferred approximately $12.4 million
into Little Bay's decommissioning account, an irrevocable trust earmarked for
Little Bay's share of Seabrook Plant decommissioning expenses. As of March 31,
2001, the fair market value of the Little Bay decommissioning account was
approximately $13 million.

         On November 15, 1992, Great Bay, the Bondholder's Committee and the
Predecessor's former parent, Eastern Utilities Associates ("EUA") entered into a
settlement agreement that resolved certain proceedings against EUA brought by
the Bondholder's Committee. Under the settlement agreement,

                                       11
<PAGE>   12
                             BAYCORP HOLDINGS, LTD.




EUA reaffirmed its guarantee of up to $10 million of Great Bay's future
decommissioning costs of Seabrook Unit 1.

NOTE D - INVESTMENT IN HOUSTONSTREET

         As of December 31, 1999, the Company owned 100% of HoustonStreet.
HoustonStreet raised additional equity in 2000 from outside investors and as a
result, as of December 4, 2000, the Company's ownership fell below 50%, to
45.9%. Subsequently, the Company deconsolidated HoustonStreet and is presenting
this investment on the equity method. Prior year financial statements are
presented on a comparative basis. As BayCorp's investment in HoustonStreet is
negative, the Company has suspended the recognition of additional losses as of
that date. Summarized financial information for the Company's investment in
HoustonStreet is as follows:

         HoustonStreet:

<TABLE>
<CAPTION>
                                              Quarter ended           Year ended            Year ended
                                              March 31, 2001      December 31, 2000     December 31, 1999
<S>                                           <C>                 <C>                   <C>
         Total assets                         $  8,689,493          $ 11,958,624          $  2,984,415
         Total liabilities                      16,041,563            15,395,770             6,201,372
         Net sales                                 368,908               523,393                59,186
         Net loss                               (3,914,828)          (40,046,837)           (3,396,957)
         Company's equity in net loss           (1,796,906)          (22,258,967)           (3,396,957)
</TABLE>

         During 2000, the Company loaned $7,000,000 to HoustonStreet at an
annual interest rate of 10%. Due to continued losses at HoustonStreet, the
Company wrote down its equity investment in HoustonStreet and subsequently its
loan and receivable from HoustonStreet. As of March 31, 2001, the Company had no
investments or receivables from HoustonStreet recognized on the accompanying
balance sheet.

         In March 2001, HoustonStreet received commitments to receive
approximately $4,035,700 in additional funding in two installments. Commitments
for the initial closing were approximately $2,928,200. As of March 31, 2001,
HoustonStreet had received approximately $1,132,800 of the committed funds,
including $450,000 from BayCorp. As of April 13, 2001, HoustonStreet had
received the balance of the committed funds, or approximately $1,795,400.
Commitments for the second closing are approximately $1,107,500. This financing
involved the sale by HoustonStreet of senior secured notes, warrants to purchase
HoustonStreet preferred stock and warrants to purchase HoustonStreet common
stock. Collectively, these securities are referred to as the "HoustonStreet
Series C Units."

         In April 2001, BayCorp converted the $7,000,000 loan made in 2000,
along with approximately $1,000,000 in accrued interest and penalties on the
note and past due management fees, into approximately $8,000,000 of
HoustonStreet Series C Units. The loan, accrued interest and receivables from
HoustonStreet had been written down to zero as of December 31, 2000 and as such,
the conversion of these amounts will have no accounting impact on BayCorp.


                                       12
<PAGE>   13
                             BAYCORP HOLDINGS, LTD.




NOTE E - EQUITY

         BayCorp has never paid cash dividends on its common stock and currently
expects that it will retain all of its future earnings and does not anticipate
paying a dividend in the foreseeable future.

NOTE F - NEW ACCOUNTING PRONOUNCEMENTS

         In June 1998, the FASB issued SFAS No. 133, "Accounting for Derivative
Instruments and Hedging Activities." SFAS 133 establishes accounting and
reporting standards requiring that every derivative instrument (including
certain derivative instruments embedded in other contracts) be recorded in the
balance sheet as either an asset or liability measured at its fair value. SFAS
133 requires that changes in the derivative's fair value be recognized currently
in earnings unless specific hedge accounting criteria are met. Special
accounting for qualifying hedges allows a derivative's gains and losses to
offset related results on the hedged item in the income statement, and requires
that a company must formally document, designate and assess the effectiveness of
transactions that receive hedge accounting.

         SFAS No. 133, as amended by SFAS No. 137, was effective for all fiscal
quarters of all fiscal years beginning after June 15, 2000. SFAS No. 133 must be
applied to (a) derivative instruments and (b) certain derivative instruments
embedded in hybrid contracts that were issued, acquired, or substantively
modified after December 31, 1997 (and, at the company's election, before January
1, 1998.)

         The Company completed its review and implementation of SFAS No. 133,
effective January 1, 2001. The Company has taken an inventory of its contracts
and identified the forward sale and purchase contracts that are currently marked
to market in accordance with EITF 98-10, as derivatives under SFAS No. 133. The
Company did not identify any other contracts to be derivatives under SFAS No.
133. The company will continue to mark to market its forward sale and purchase
contracts in accordance with EITF 98-10 and EITF 00-17. The adoption of SFAS
No.133 did not have an impact on the Company's financial position or results of
operations.

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

Overview

         BayCorp derives substantially all of its revenue through its energy
trading activities and its 100% equity interest in Great Bay and Little Bay.
Great Bay and Little Bay are electric generating companies whose principal asset
is a combined 15% joint ownership interest in the Seabrook Project.

         The following discussion focuses solely on operating revenues and
operating expenses that are presented in a substantially consistent manner for
all of the periods presented.

Results of Operations: First Quarter of 2001 Compared to the First Quarter of
2000

Operating Revenues

         BayCorp's operating revenues increased by approximately $4,783,000, or
33%, to $19,267,000 in the first quarter of 2001 as compared to $14,484,000 in
the first quarter of 2000. This increase in operating revenues was primarily
attributable to a significant increase in selling prices during the first
quarter of 2001 as compared to the first quarter of 2000. During the first
quarter of 2001, Great Bay's

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<PAGE>   14
                             BAYCORP HOLDINGS, LTD.




average selling price increased 43.4%, to 4.92 cents per kilowatt-hour ("kWh"),
as compared to an average selling price of 3.43 cents per kWh for the same
period in 2000. The benefit of the increase in average selling price was
partially offset by a decrease in the capacity factor at the Seabrook Project to
50.8% for the first quarter of 2001 as compared to 96% for the first quarter of
2000. Sales of electricity decreased by approximately 6.4% to 390,766,900 kWhs
in the first quarter of 2001 as compared to 417,336,240 kWhs in the first
quarter of 2000. The Seabrook Project refueling outage that began in October
2000 was extended when damage to one of the plant's emergency diesel generators
occurred, requiring an extensive repair effort. The Seabrook Project returned to
full power on February 1, 2001. The Seabrook Project also had an unscheduled
outage during March 2001. During these outages, Great Bay purchased replacement
power to cover its firm contracts, while continuing to pay its share of
operational and outage related costs.

Expenses

         Production and transmission expenses decreased approximately $226,000,
or 3.8%, to $5,690,000 in the first quarter of 2001 as compared to $5,916,000 in
the first quarter of 2000. This reduction was primarily attributable to a
reduction in spent fuel disposal costs during the first quarter of 2001 as
compared to the first quarter of 2000. Purchased power costs increased
approximately $11,860,000 in the first quarter of 2001 as compared to the first
quarter of 2000. Great Bay purchased replacement power to cover its firm
contracts during the unscheduled outages in the first quarter of 2001 and the
first quarter of 2000. The significantly lower capacity factor in the first
quarter of 2001 as compared to the first quarter of 2000 made it necessary for
Great Bay to purchase more power to cover these contracts in the first quarter
of 2001 as compared to the first quarter of 2000. Administrative and general
expenses increased approximately $241,000, or 15%, to $1,815,000 in the first
quarter of 2001 compared to $1,574,000 in the first quarter of 2000. This
increase was primarily attributable to increased administrative and general
expenses at the Seabrook Project during the first quarter of 2001 as compared to
the first quarter of 2000. Taxes other than income decreased approximately
$151,000, or 13.6%, during the first quarter of 2001 as compared to the same
period in 2000. This decrease was primarily attributable to reduced property tax
expenses in the first quarter of 2001 as compared to the first quarter of 2000.
This was a result of settlement agreements made with certain towns to reduce the
assessed value of the Seabrook Project.

         In the first quarter of 2001, Great Bay recorded unrealized gains on
forward firm energy contracts of $6,314,000 as compared to unrealized losses on
forward firm energy contracts of $4,130,000 in the first quarter of 2000. The
unrealized gain in the first quarter of 2001 as compared to the unrealized loss
for the same period in 2000 was primarily the result of the Company's decision
to reduce its firm forward sales commitments given the upcoming auction of the
Seabrook Project. Reducing firm forward sales has the effect of reducing the
Company's exposure to increased forward power prices. Also contributing to the
gain were relatively stable forward power prices in the first quarter of 2001 as
compared to the significant increase in forward prices experienced during the
same period in 2000. In December 1998, the Emerging Issues Task Force reached
consensus on Issue No. 98-10. EITF 98-10 requires energy-trading contracts to be
recorded at fair market value on the balance sheet, with the changes in fair
value included in earnings.

         Interest income increased approximately $85,000 primarily due to
interest earned on higher cash balances during the first quarter of 2001 as
compared to cash balances during the first quarter of 2000. Decommissioning cost
accretion decreased $93,000, or 10.2%, and decommissioning trust fund income
increased $57,000, or 18.3%, in the first quarter of 2001 as compared to the
same period in 2000. This accretion is a non-cash charge that reflects Great
Bay's liability related to the closure and

                                       14
<PAGE>   15
                             BAYCORP HOLDINGS, LTD.




decommissioning of the Seabrook Project in current year dollars over the period
during which the Seabrook Project is licensed to operate. In the first quarter
of 2001, the Company had other deductions of approximately $62,000 as compared
to other income of approximately $235,000 in the first quarter of 2000. In the
first quarter of 2001, Seabrook utilized certain equipment from Unit 2 that was
previously written off.

         Equity loss in HoustonStreet was $450,000 in the first quarter of 2001
as compared to approximately $2,397,000 in the first quarter of 2000. During the
quarter ended March 31, 2000, the Company had a majority ownership interest in
HoustonStreet and recorded a loss in subsidiary of approximately $2,397,000.
HoustonStreet was deconsolidated from BayCorp for accounting purposes in
December 2000, the month in which BayCorp's equity interest in HoustonStreet
first dropped below 50%. During the quarter ended March 31, 2001, BayCorp
invested $450,000 in HoustonStreet and recorded this as an equity loss in
HoustonStreet for the period.

Net Income (Loss)

         As a result of the above factors, during the first quarter of 2001, the
Company recorded net income of $1,573,000, or approximately $0.19 per basic and
diluted share, as compared to a net loss of approximately $3,811,000, or $0.46
per basic and diluted share, during the first quarter of 2000.

Liquidity and Capital Resources

         As of March 31, 2001, BayCorp's cash position was approximately
$8,538,200 in cash, cash equivalents and restricted cash. BayCorp's cash
generation for the quarter ended March 31, 2001 was less than the ongoing cash
requirements of the Company during this period primarily due to the unscheduled
outages at the Seabrook Project during the first quarter of 2001. The Company
may continue to incur cash deficits. The Company believes that its current cash,
together with the anticipated proceeds from the sale of electricity by Great Bay
and Little Bay, will be sufficient to enable the Company to meet its future cash
requirements. However, if the Seabrook Project operates at a capacity factor
below historical levels, or if expenses associated with the ownership or
operation of the Seabrook Project, including without limitation decommissioning
costs, are materially higher than anticipated, or if the prices at which Great
Bay is able to sell its share of the Seabrook Project electricity decrease from
current levels, BayCorp or Great Bay would be required to raise additional
capital, either through a debt financing or an equity financing, to meet ongoing
cash requirements. Nonetheless, there can be no assurance that BayCorp or Great
Bay will be able to raise additional capital on acceptable terms or at all.

         BayCorp's cash and short-term investments decreased approximately
$5,570,000 during the first quarter of 2001. The Company had net income of
approximately $1,573,000. This net income included a non-cash gain of
approximately $6,314,000 for the unrealized gain on forward firm energy trading
contracts. In addition, during the first quarter of 2001 there were cash
expenditures of approximately $364,000 for capital additions, $83,000 for
nuclear fuel additions and $654,000 for decommissioning fund payments. Other
cash items included an increase in accounts receivable of approximately
$2,358,000 due to increased sales in March 2001 as compared to sales in December
2000 when there was an outage at the Seabrook Project. An increase of
approximately $1,605,000 in prepaids and other assets was primarily attributable
to an increase in the prepaid amount to Seabrook used to fund Seabrook operating
expenses. This increase resulted from timing differences between Seabrook
funding schedules and actual expenses incurred, which often occurs during
unscheduled outage periods. A decrease in accounts payable of approximately
$6,308,000 was primarily attributable to payments made in the first

                                       15
<PAGE>   16
                             BAYCORP HOLDINGS, LTD.




quarter of 2001 for purchased power that was included in the December 31, 2000
accounts payable balance. Offsetting these cash expenditures were non-cash
charges to income of approximately $914,000 for depreciation, $1,035,000 for
nuclear fuel amortization and $815,000 for decommissioning trust fund accretion.

         In addition, there was an increase in miscellaneous current liabilities
of approximately $8,085,000 primarily attributable to prepayments to Great Bay
by Select Energy ("Select") totaling $7,000,000 during the first quarter of
2001. On February 6, 2001, Great Bay executed a Purchase Power Agreement with
Select whereby Great Bay will sell 50 MWs of energy associated with the Seabrook
Project to Select in exchange for 25 MWs of energy associated with Millstone
Unit 2 and 25 MWs of energy associated with Millstone Unit 3. Millstone is a
nuclear power plant in Connecticut. As part of the agreement, Select made
prepayments to Great Bay of $3,700,000 in February 2001 and $3,300,000 in March
2001. Great Bay is compensating Select for the prepayments by (i) paying 12%
annual interest for the period from February 6, 2001 through March 31, 2001 and
(ii) giving Select a price differential for the power being exchanged until such
time as the Select prepayment has been repaid.

         The Company anticipates that its share of the Seabrook Project's
capital expenditures for the 2001 fiscal year will total approximately $6.7
million for nuclear fuel and various capital projects.

         The Seabrook Project from time to time experiences both scheduled and
unscheduled outages and power reductions. The Company incurs losses during these
periods due to the loss of operating revenues and due to the additional costs
associated with outages and power reductions as well as continuing operating and
maintenance expenses and depreciation.

         This Quarterly Report on Form 10-Q contains forward-looking statements.
For this purpose, any statements contained herein that are not statements of
historical fact may be deemed to be forward-looking statements. Without limiting
the foregoing, the words "believes", "expects", "anticipates", "plans",
"intends" and similar expressions are intended to identify forward-looking
statements. There are a number of important factors that could cause the results
of BayCorp and/or it subsidiaries to differ materially from those indicated by
such 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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Commodity Price Risk

         The prices of electricity are subject to fluctuations resulting from
changes in supply and demand. Great Bay sells a portion of its physical
electricity output through forward, fixed price power contracts, see Item 2.
Management Discussion and Analysis of Financial Condition and Results of
Operations. The net carrying and fair value for replacing such contracts as of
March 31, 2001 was $6,565,300.

PART II - OTHER INFORMATION

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 March 31, 2001.




                                       16
<PAGE>   17
                             BAYCORP HOLDINGS, LTD.




                                    SIGNATURE

         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.


May 14, 2001                       By: /s/ Frank W. Getman Jr.
                                       -----------------------------------------
                                           Frank W. Getman Jr.
                                           President and Chief Executive Officer




                                       17
<PAGE>   18
                             BAYCORP HOLDINGS, LTD.




                                  EXHIBIT INDEX

Exhibit No.       Description

99.1              Certain Factors That May Affect Future Results, set out on
                  pages 21-28 of the Company's Annual Report on Form 10-K for
                  the period ended December 31, 2000. Such Form 10-K shall not
                  be deemed to be filed except to the extent that portions
                  thereof are expressly incorporated by reference herein.




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