<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, 1999
                                      -----------------------------------------

                                       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.)

   20 INTERNATIONAL DRIVE, SUITE 301
      PORTSMOUTH, NEW HAMPSHIRE                                03801-6809
(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 [ ]

         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 10, 1999
---------------------------------------           ------------------------------
Common Stock, $0.01 Par Value per Share                    8,191,948








<PAGE>   2
                             BAYCORP HOLDINGS, LTD.

                                      INDEX


PART I - FINANCIAL INFORMATION:

         Item 1 - Financial Statements:

         Consolidated Statements of Income and Comprehensive Income
             - Three and Six Months Ended June 30, 1999 and 1998 .........     3

         Consolidated Balance Sheets at June 30, 1999
             and December 31, 1998........................................   4-5

         Consolidated Statements of Cash Flows - Six
             Months Ended June 30, 1999 and 1998..........................     6

         Notes to Financial Statements....................................  7-13

         Item 2 - Management's Discussion and Analysis of
             Financial Condition and Results of Operations:............... 13-17

PART II - OTHER INFORMATION:

         Item 4 - Submission of Matters to a Vote of Security Holders.....    17

         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.
           CONSOLIDATED STATEMENTS OF INCOME AND COMPREHENSIVE INCOME
                                   (UNAUDITED)

            (Dollars in Thousands, except shares and per share data)


<TABLE>
<CAPTION>
                                                   Three Months Ended             Six Months Ended
                                                        June 30,                      June 30,
                                                ------------------------      ------------------------
                                                   1999          1998            1999          1998
                                                ----------    ----------      ----------    ----------
<S>                                            <C>            <C>             <C>           <C>

Operating Revenues                              $    7,450    $    7,438      $   17,554    $   14,881

Operating Expenses:
  Production                                         4,670         5,252           9,428        10,150
  Transmission                                         223           214             436           427
  Purchased Power                                    3,166             0           5,173             0
  Administrative & General                           1,717         3,732           2,894         5,513
  Depreciation & Amortization                          939           877           1,877         1,755
  Taxes other than Income                            1,054         1,037           2,088         2,097
                                                ----------    ----------      ----------    ----------
      Total Operating Expenses                      11,769        11,112          21,896        19,942
                                                ----------    ----------      ----------    ----------
Operating Loss                                      (4,319)       (3,674)         (4,342)       (5,061)

Other (Income) Deductions:
  Interest and Dividend Income                        (130)         (140)           (299)         (491)
  Decommissioning Cost Accretion                       880           720           1,633         1,433
  Decommissioning Trust Fund Income                   (114)         (140)           (289)         (249)
  Unit 2 Sales and Other Deductions                      9            60              15            86
                                                ----------    ----------      ----------    ----------
      Total Other Deductions                           645           500           1,060           779
                                                ----------    ----------      ----------    ----------
Loss Before Income Taxes                            (4,964)       (4,174)         (5,402)       (5,840)
Income Taxes                                             0             0               0             0
                                                ----------    ----------      ----------    ----------
Net Loss Before Cumulative Effect of
  Change in Accounting Principle                $   (4,964)   $   (4,174)     $   (5,402)   $   (5,840)
Cumulative Effect of Change in
  Accounting Principle                                 159             0             159             0
Net Loss                                        $   (4,805)   $   (4,174)     $   (5,243)   $   (5,840)
Other Comprehensive Income, Net of Tax
  Unrealized Gains (Losses) on Securities             (155)          267            (370)          330
                                                ----------    ----------      ----------    ----------
Comprehensive Loss                              $   (4,960)   $   (3,907)     $   (5,613)   $   (5,510)
                                                ==========    ==========      ==========    ==========
Weighted Average Shares Outstanding              8,191,948     8,262,748       8,191,948     8,262,466
Basic and Diluted Loss Per Share                $    (0.59)   $    (0.51)     $    (0.64)   $    (0.71)

</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>
                                                       June 30,   December 31,
                                                         1999        1998
                                                       --------   -----------
<S>                                                    <C>         <C>

ASSETS:
Current Assets:
  Cash & Cash equivalents                              $  7,884    $  2,559
  Short-term Investments, at market                           0       9,496
  Accounts Receivable                                     3,867       3,051
  Materials & Supplies, net                               3,365       3,633
  Prepayments & Other Assets                              4,343       3,177
                                                       --------    --------
      Total Current Assets                               19,459      21,916
                                                       --------    --------
Property, Plant, & Equipment:
  Utility Plant                                         114,412     112,325
  Less: Accumulated Depreciation                        (14,511)    (12,785)
                                                       --------    --------
  Net Utility Plant                                      99,901      99,540
  Nuclear Fuel                                           14,953      19,390
  Less: Accumulated Amortization                         (7,910)    (10,821)
                                                       --------    --------
  Net Nuclear Fuel                                        7,043       8,569

      Net Property, Plant & Equipment                   106,944     108,109

Other Assets:
  Decommissioning Trust Fund                             11,046      10,329
  Deferred Debits & Other                                    70           4
                                                       --------    --------
      Total Other Assets                                 11,116      10,333
                                                       --------    --------
TOTAL ASSETS                                           $137,519    $140,358
                                                       ========    ========

</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>
                                                            June 30,  December 31,
                                                             1999        1998
                                                           --------   -----------
<S>                                                        <C>         <C>


LIABILITIES AND STOCKHOLDERS' EQUITY:
Current Liabilities:
  Accounts Payable and Accrued Expenses                    $  2,224    $    394
  Taxes Accrued                                               1,304           0
  Miscellaneous Current Liabilities                           1,222       3,761
                                                           --------    --------
          Total Current Liabilities                           4,750       4,155

Operating Reserves:
  Decommissioning Liability                                  61,906      60,274
  Miscellaneous Other                                           502         502
                                                           --------    --------
          Total Operating Reserves                           62,408      60,776

Other Liabilities & Deferred Credits                          4,615       4,068

Commitments & Contingencies                                       0           0

Stockholders' Equity:
  Common stock, $.01 par value,
   Authorized - 20,000,000 shares,
   Issued and Outstanding - 8,417,800                            84          84
   Less: Treasury Stock - 225,852 shares, at cost            (1,629)     (1,629)
   Additional paid-in capital                                92,100      92,100
   Accumulated Other Comprehensive Income                       195         565
   Accumulated Deficit                                      (25,004)    (19,761)
                                                           --------    --------
          Total Stockholders' Equity                         65,746      71,359
                                                           --------    --------
TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY                 $137,519    $140,358
                                                           ========    ========
</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>
                                                                 Six Months     Six Months
                                                                   Ended         Ended
                                                               June 30, 1999  June 30, 1998
                                                               -------------  -------------
<S>                                                              <C>            <C>

Net cash flow from operating activities:
    Net Loss                                                     $(5,402)       $(5,840)
    Adjustments to reconcile net loss to net
    cash provided by (used in) operating activities:
         Cumulative effect of change in accounting principle         159              0
         Depreciation & Amortization                               1,877          1,755
         Amortization of nuclear fuel                              1,916          2,052
         Decommissioning trust accretion                           1,633          1,433
         Decommissioning trust interest                             (289)          (249)
         Increase in accounts receivable                            (815)          (711)
        (Increase) decrease in materials & supplies                  178           (114)
         Increase in prepaids and other assets                    (1,232)        (1,540)
         Increase (decrease) in accounts payable                   1,830           (185)
         Increase in taxes accrued                                 1,304          1,350
         Other increase (decrease)                                (1,975)         1,560
                                                                 -------        -------
Net cash used in operating activities                               (816)          (489)
                                                                 -------        -------
Net cash flows provided by (used in) investing activities:
  Utility plant additions                                         (2,147)          (833)
  Nuclear fuel additions                                            (391)          (493)
  Payments to decommissioning fund                                  (794)          (579)
  Short term investments, net                                      9,473          6,586
                                                                 -------        -------
Net cash provided by (used in) investing activities                6,141          4,681
                                                                 -------        -------
Net cash used in financing activities:
  Reacquired Capital Stock                                             0            (71)
                                                                 -------        -------
Net cash used in financing activities                                  0            (71)
                                                                 -------        -------

Net increase (decrease) in cash and cash equivalents               5,325          4,121
Cash and cash equivalents, beginning of period                     2,559          3,270
                                                                 -------        -------
Cash and cash equivalents, end of period                         $ 7,884        $ 7,391
                                                                 =======        =======

</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 owns three subsidiaries:
Houston Street Exchange, Inc. ("Houston Street"), Great Bay Power Corporation
("Great Bay") and Little Bay Power Corporation ("Little Bay"), each of which is
wholly-owned.

         Houston Street developed and operates the first Web portal for trading
wholesale electric power. Houston Street provides an online trading floor,
HoustonStreet.com, which allows power marketers to trade power over the
Internet. Launched on July 8, 1999, HoustonStreet.com delivers to the power
trader, in an easy to use, fully Web-based trading floor, the information and
flexibility they need to post offers, make bids, counter and re-counter and
close the transaction. HoustonStreet.com enables traders to trade power based on
the product and term of their choice. Traders are able to customize their Web
page so they can see information that may impact decisions on trading strategy
such as weather reports, news headlines about the energy industry and stock
prices. After an initial free trade period, Houston Street will charge
commissions for megawatt hours traded on HoustonStreet.com. Currently,
HoustonStreet.com allows for trading in the New England Power Pool ("NEPOOL"),
the New York Power Pool and in the Pennsylvania, New Jersey and Maryland Pool
("PJM"). Houston Street expects to have all electricity trading regions within
the United States available on HoustonStreet.com by early Fall 1999.

         Great Bay is an electric generating company 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"). Unlike regulated public utilities, Great Bay has no franchise area or
captive customers. Great Bay sells its power in the competitive wholesale power
markets, including through HoustonStreet.com.

          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 its subsidiaries 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 approximately 20 MW of its share of the Seabrook Project
capacity in the wholesale short-term market. In addition to selling its owned
generation, Great Bay purchases power on the open market for resale to third
parties.

          Little Bay was formed in connection with a pending acquisition of an
additional 3% interest in the Seabrook Project. This acquisition is subject to
regulatory approvals, including approval by the Nuclear Regulatory Commission
("NRC"). Little Bay was incorporated in New Hampshire in 1998 and currently
conducts no business activity.

         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



                                       7
<PAGE>   8

                             BAYCORP HOLDINGS, LTD.


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. The new corporate structure enables BayCorp, either
directly or through subsidiaries other than Great Bay and Little Bay, to engage
in businesses that these subsidiaries would be prohibited from pursuing due to
their status as EWG's 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.

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, 1998, 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.

         The Company adopted SFAS No. 130, Reporting Comprehensive Income,
effective January 1, 1998. Accumulated Other Comprehensive Income and the
current period charge are as follows:

<TABLE>
<CAPTION>
                                   Three Month        Six Month        Accumulated Other
                                 Unrealized Gains   Unrealized Gains     Comprehensive
                                  on Securities      on Securities          Income
                                 ----------------   ----------------   -----------------
<S>                                 <C>                 <C>                <C>

Beginning Balance                   $ 350,000           $ 565,000          $ 565,000
Current Period Charge                (155,000)           (370,000)          (370,000)
                                    ---------           ---------          ---------
Ending Balance                      $ 195,000           $ 195,000          $ 195,000
                                    =========           =========          =========
</TABLE>

         In December 1998, the Emerging Issues Task Force reached consensus on
Issue No. 98-10, Accounting for Contracts Involved in Energy Trading and Risk
Management Activities ("EITF 98-10"). EITF 98-10 is effective for fiscal years
beginning after December 15, 1998. 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 effects of initial application of EITF 98-10
have been reported as a cumulative effect of a change in accounting principle.
Financial statements for periods prior to initial adoption of EITF 98-10 have
not been restated. The cumulative effect of this accounting change as of January
1, 1999 was an increase in net income of approximately $159,000 to recognize
gains on net open physical purchase and sales commitments considered to be
trading activity. As of June 30, 1999, the Company had a net unrealized loss of
approximately $147,000 included in accrued expenses. The net change in
unrealized loss on trading activities as of June 30, 1999 was $306.000 and is
included in purchased power in the accompanying consolidated statements of
income.

         In accordance with Statement of Position 98-5 ("SOP 98-5"), Reporting
on the Costs of Start Up Activities, the Company expensed costs associated with
the start up of Houston Street.


                                       8
<PAGE>   9
                             BAYCORP HOLDINGS, LTD.


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 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 Seabrook Unit I.

         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."

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 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, NEPOOL is restructuring to create and maintain open,
non-discriminatory, competitive, unbundled markets for energy, capacity, and
ancillary services. These markets commenced operation on May 1, 1999. All of the
deregulation initiatives open electricity markets to competition in the affected
states. While Great Bay believes it is a low-cost producer 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 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 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




                                       9
<PAGE>   10
                             BAYCORP HOLDINGS, LTD.



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. Although 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 Utility 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 Seabrook Project,
is approximately $513 million in 1998 dollars and $2.2 billion in 2015 dollars,
assuming for decommissioning and liability purposes only a remaining 17 year
life for the facility, and a future escalation rate of 5%. Based on this
estimate, the present value of Great Bay's share of this liability as of June
30, 1999 was approximately $61.9 million.

         The Company accrets 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 $53.2 million as of December 31, 1996 to $61.9 million as of
June 30, 1999.

         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. In response to the New Hampshire
legislation, Great Bay agreed to make accelerated payments to the Seabrook
decommissioning fund in 1998 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.

         The Seabrook Project's decommissioning cost projection 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,
possibly materially.

         The NDFC issued a Report and Order dated April 1999 related to
proceeding NDFC 98-1, the comprehensive update of Seabrook Unit #1
Decommissioning Fund, which was filed in March 1998. The NDFC is expected to
issue a final Report and Order by the end of the third quarter 1999. For
funding purposes, this Order is expected to reflect decommissioning beginning
in 2015, shortening the funding period which commenced in 1990 from 36



                                       10
<PAGE>   11
                             BAYCORP HOLDINGS, LTD.


to 25 years. Great Bay began funding at an accelerated rate in 1998 in response
to New Hampshire legislation, and as such, the accelerated funding anticipated
as a result of this Order is not expected to have a material impact on Great
Bay. Great Bay's 1999 decommissioning payments will total approximately $1.7
million. Great Bay expects to use revenues from the sale of power to make
decommissioning payments.

         Funds collected by Seabrook 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. The Company has therefore reported its
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
approximately $192,700 as of June 30, 1999.

         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.

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

         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." The FASB continues to work on this project and another
exposure draft is expected to be issued in 1999. The Company's accounting for
decommissioning was based on the FASB's original tentative conclusions. If a
revised 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.

LIQUIDITY AND CAPITAL EXPENDITURES

         As of June 30, 1999, BayCorp had approximately $7.9 million in cash and
cash equivalents and short-term investments. The Company believes that such
cash, together with the anticipated proceeds from the sale of electricity by
Great Bay, will be sufficient to enable the Company to meet its cash
requirements until the prices at which Great Bay can sell its electricity
increase sufficiently to enable the Company to cover its annual cash
requirements. However, if the Seabrook Project operated 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 do not
increase at



                                       11
<PAGE>   12
                             BAYCORP HOLDINGS, LTD.


the rates and within the time expected by Great Bay, Great Bay or the Company
would be required to raise additional capital, either through a debt financing
or an equity financing, to meet ongoing cash requirements. There is no assurance
that Great Bay or the Company would be able to raise such capital or that the
terms on which any additional capital is available would be acceptable. If
additional funds are raised by issuing equity securities, dilution to then
existing stockholders will result.

         BayCorp's cash and short-term investments decreased approximately
$4,171,000 during the first six months of 1999. Principal factors affecting
liquidity during the six months ended June 30, 1999 included the net loss of
$5,243,000 discussed below and cash expenditures of approximately $2,538,000 for
capital and nuclear fuel additions and $794,000 for decommissioning trust fund
payments. See "Management's Discussion and Analysis of Financial Condition and
Results of Operations."

         Offsetting these cash charges were non-cash charges to income which
included $1,877,000 for depreciation, $1,916,000 for nuclear fuel amortization,
$1,633,000 decommissioning trust fund accretion and an increase in Taxes Accrued
of $1,304,000. Property taxes on the Seabrook plant are payable in July and
December. During the first six months of 1999, working capital items decreased
$2,014,000 primarily due to payments for refueling outage costs.

         BayCorp anticipates that its share of the Seabrook Project's capital
expenditures for 1999 will total approximately $3.6 million, primarily for
nuclear fuel and various capital projects. This estimate is based on the latest
projections provided by the managing agent of the Seabrook Project.

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

         A scheduled refueling outage began on March 26, 1999 at the Seabrook
Project. The plant resumed full operating power on May 21, 1999. Based on
reports provided by the managing agent of the Seabrook Project, the Company's
portion of the costs associated with this refueling outage were approximately
$3.6 million.

         Little Bay and Montaup Electric Company, a subsidiary of EUA, are
working to obtain required regulatory approvals in connection with Little Bay's
agreement with Montaup to purchase Montaup's 3% interest in the Seabrook
Project. If the parties obtain all required regulatory approvals, the parties
intend to complete the transaction and Little Bay would pay approximately $3.2
million to Montaup. In addition, upon closing, the Company will reimburse
Montaup for certain prepaid items as part of a purchase price adjustment. This
purchase price adjustment primarily reflects adjustments for nuclear fuel and
capital expenditures. The Company currently expects that this reimbursement will
be approximately $1.0 million to $1.5 million. The Company hopes to close this
acquisition in 1999.

NOTE D - EQUITY

         On October 9, 1997, the Board of Directors of BayCorp adopted a
resolution authorizing BayCorp to repurchase up to an additional aggregate of
100,000 shares of BayCorp common stock on the open market or in negotiated
transactions. The shareholder groups controlled by Omega Advisors, Inc.




                                       12

<PAGE>   13
                             BAYCORP HOLDINGS, LTD.


and Elliot Associates, L.P., the owners of approximately 57% of the Company's
shares outstanding in aggregate, have advised the Company that they do not
intend to sell shares in the open market or in negotiated transactions which
would be subject to repurchase by the Company under this repurchase program. As
of June 30, 1999, the Company had repurchased 80,800 shares at a cost of
approximately $460,689, or approximately $5.70 per share, as part of this
repurchase program.

         Neither the Company nor Great Bay has ever paid cash dividends on its
common stock. BayCorp currently expects that it will retain all of its future
earnings and 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

         BayCorp derives substantially all of its revenue through its 100%
equity interest in Great Bay. Great Bay is an electric generating company whose
principal asset is a 12.1% joint ownership interest in the Seabrook Nuclear
Power Project in Seabrook, New Hampshire. The Company anticipates that it will
derive additional revenue beginning in September 1999 through commissions earned
on wholesale power trades made on HoustonStreet.com.

         At the Seabrook Project, a scheduled refueling outage began on March
26, 1999. The plant resumed full operating power on May 21, 1999. For the three
months ended June 30, 1999, the Company reported a loss of approximately
$4,805,000, primarily due to decreased net revenues associated with this
scheduled refueling outage.

RESULTS OF OPERATIONS: SECOND QUARTER OF FISCAL 1999 COMPARED TO THE SECOND
QUARTER OF FISCAL 1998

Operating Revenues

         Operating Revenues increased by approximately $12,500, or . 2%, to
$7,450,000 in the second quarter of 1999 as compared to $7,438,000 in the second
quarter of 1998. In addition to selling its owned generation, Great Bay
purchased power for approximately $2,860,000 for resale during the second
quarter of 1999. Great Bay did not purchase any power for resale during the
second quarter of 1998. For the second quarter of 1999, the capacity factor at
the Seabrook plant was 47.9% versus a capacity factor of 78.2% for the second
quarter of 1998. The capacity factor for the second quarter of 1999 was
adversely affected by the scheduled refueling outage that began on March 26,
1999. The plant resumed full operating capacity on May 21, 1999. The capacity
factor for the second quarter of 1998 was adversely affected by 19 unscheduled
outage days.

          Sales of electricity increased by approximately 2.3% to 245,408,400
kilowatt-hours ("kWhs") in the second quarter of 1999 as compared to 239,951,500
kWhs in the second quarter of 1998. During the second quarter of 1999 the
average sales price per kWh (determined by dividing total sales revenue by the
total number of kWhs sold in the applicable period) decreased 3.5% to 2.99 cents
per kWh as compared with 3.10 cents per kWh in the second quarter of 1998.




                                       13

<PAGE>   14
                             BAYCORP HOLDINGS, LTD.



          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 3.7% to 4.80 cents per kWh in the second
quarter of 1999 as compared to 4.63 cents per kWh in the second quarter of 1998.
This increase was primarily the result of the scheduled refueling outage and its
associated costs, and the resulting lower capacity factor, at the Seabrook
Project during the second quarter of 1999 as compared to the second quarter of
1998. 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 1999
decreased approximately $573,000, or 10.5%, as compared to the second quarter of
1998. Great Bay had purchased power costs of approximately $2,860,000 and a net
change in unrealized loss on trading activity of approximately $306,000 in the
second quarter of 1999. See "Note B - Summary of Significant Accounting
Policies." There were no purchased power costs in the second quarter of 1998. As
Great Bay enters into more sales transaction agreements to supply firm power,
Great Bay's expenses to purchase power to cover firm power obligations during
scheduled and unscheduled outages may increase. Purchased power expenses may
also increase as Great Bay may purchase power in the open market to resell to
third parties.

         During the second quarter of 1999, there was a decrease of
approximately $2,015,000, or 54%, in administrative and general expenses, from
$3,732,000 in the second quarter of 1998 to $1,717,000 in the second quarter of
1999. During the second quarter of 1998, Great Bay incurred expenses related to
the settlement of the litigation between Great Bay and Great Bay's former
marketing agent, PECO Energy Company. There were no comparable administrative
and general expenses in the second quarter of 1999. There was an increase of
approximately $79,000, or 4.1%, in depreciation and amortization and taxes other
than income, from $1,914,000 in the second quarter of 1998 to $1,993,000 in the
second quarter of 1999.

Other (Income) Deductions

         Decommissioning Cost Accretion increased $160,000, to $880,000 during
the second quarter of 1999 as compared to $720,000 during the second quarter of
1998. This increase is primarily due to a change in the decommissioning cost
projection schedule in 1999. See "Note C - Decommissioning Liability." This
accretion is a non-cash charge and recognizes Great Bay's liability related to
the closure and decommissioning of the Seabrook Project in current year dollars
over the over the period during which the Seabrook Project is projected to
operate.

         During the second quarter of 1999, the Company realized $235,000 in
interest and miscellaneous other income as compared to $220,000 during the
second quarter of 1998. This income primarily reflects interest earned on the
Company's cash and decommissioning trust fund accounts.

Net Loss

         As a result of the above factors, during the second quarter ended June
30, 1999, the Company recorded a net loss of $4,805,000, or approximately $.59
per basic and diluted share, as compared to a net loss of $4,174,000, or
approximately $.51 per basic and diluted share, during the second quarter ended
June 30, 1998.


                                       14

<PAGE>   15
                             BAYCORP HOLDINGS, LTD.



RESULTS OF OPERATIONS: FIRST SIX MONTHS OF FISCAL 1999 COMPARED TO THE FIRST SIX
MONTHS OF FISCAL 1998

Operating Revenues

         Operating Revenues increased by approximately $2,673,000, or 18%, to
$17,554,000 in the first six months of 1999 as compared to $14,881,000 in the
first six months of 1998. This increase in revenues was primarily due to
purchased power of approximately $4,867,000. There was no purchased power during
the first six months of 1998. For the first six months of 1999, the capacity
factor at the Seabrook plant was 70.8% versus a capacity factor of 79.7% for the
first six months of 1998. The capacity factor for the first six months of 1999
was adversely affected by the scheduled refueling outage that began on March 27,
1999. The plant resumed full operating power on May 21, 1999. The capacity
factor for the first six months of 1998 was adversely affected by unscheduled
outages that lasted a total of 35 days during January and June. Sales of
electricity increased by approximately 11.3% to 599,078,600 kWhs in the first
six months of 1999 as compared to 486,445,600 kWhs in the first six months of
1998. During the first six months of 1999 the average sales price per kWh
decreased 5.2% to 2.90 cents per kWh as compared with 3.06 cents per kWh in the
first six months of 1998.

          BayCorp's cost of power decreased 11% to 3.65 cents per kWh in the
first six months of 1999 as compared to 4.10 cents per kWh in the first six
months of 1998. This decrease was primarily the result of decreased
Administrative and General Expenses in the first six months of 1999 as compared
to the first six months of 1998.

Expenses

         Production and Transmission expenses for the first six months of 1999
decreased approximately $713,000, or 6.7%, as compared to the first six months
of 1998. This decrease was primarily the result of unscheduled outage related
costs incurred in the first six months of 1998. Great Bay had purchased power
costs of $4,867,000 and a net change in unrealized loss on trading activity of
approximately $306,000 in the first six months of 1999. See "Note B - Summary of
Significant Accounting Policies." There were no purchased power costs in the
first six months of 1998.

         Administrative and general expenses decreased $2,619,000, or 47.5%, to
$2,894,000 in the first six months of 1999 as compared to $5,513,000 in the
first six months of 1998. This decrease was primarily attributable to the charge
related to Great Bay's buy-out of its power marketing agreement with PECO for
approximately $2,500,000 during the first six months of 1998. There was an
overall increase of approximately $113,000, or 2.9%, in depreciation and
amortization and taxes other than income expenses, from $3,852,000 in the first
six months of 1998 to $3,965,000 in the first six months of 1999.

Other (Income) Deductions

         Decommissioning Cost Accretion increased $200,000, to $1,633,000 during
the first six months of 1999 as compared to $1,433,000 during the first six
months of 1998. This increase was primarily due to a change in the
decommissioning cost projection schedule in 1999. See "Note C - Decommissioning
Liability." This accretion is a non-cash charge and recognizes Great Bay's
liability related to the closure and decommissioning of the Seabrook Project in
current year dollars over the over the period during which the Seabrook Project
is projected to operate.



                                       15
<PAGE>   16
                             BAYCORP HOLDINGS, LTD.



         During the first six months of 1999, the Company realized $573,000 in
interest on the Company's cash and decommissioning trust fund accounts and in
other income as compared to $654,000 during the first six months of 1998. The
decrease of $81,000, or 12.4%, primarily reflects reduced interest earnings on
the lower cash balances during the first six months of 1999 as compared to the
first six months of 1998.

Net Loss

         As a result of the above factors, during the first six months ended
June 30, 1999, the Company recorded a net loss of $5,243,000, or approximately
$.64 per basic and diluted share, as compared to a net loss of $5,840,000, or
approximately $.71 per basic and diluted share, during the first six months
ended June 30, 1998.

Net Operating Losses

         For federal income tax purposes, as of December 31, 1998, the Company
had net operating loss carry forwards ("NOLs") of approximately $210 million,
which are scheduled to expire between 2005 and 2012. 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 $74 million of NOLs are not currently
subject to such limitations.

Year 2000

         The Company's Annual Report on Form 10-K filed on March 31, 1999
describes the "Year 2000" issue and its potential affect on the Company's
business, operations, financial results and liquidity. The following information
regarding year 2000 issues supplements the information contained in the
Company's Form 10-K and should be read in conjunction with that information.

         On June 23, 1999, North Atlantic Energy Service Corporation ("NAESCO"),
the managing agent of the Seabrook Project, notified the NRC that NAESCO
completed year 2000 readiness activities on those systems within the scope of
the Seabrook Project's operating license, NRC regulations and other systems
required for continued operation of the Seabrook Project after January 1, 2000.

         According to July 1999 estimates provided by NAESCO, Great Bay's share
of costs to address year 2000 issues at the Seabrook Project will be
approximately $380,000. As of June 30, 1999, Great Bay's share of costs to
address year 2000 issues at the Seabrook Project was approximately $302,000.
Great Bay has funded these expenses from its operating revenues.

         As of June 30, 1999, NAESCO identified approximately 1,400 separate
millennium items and reported that all of these items can be accepted as
modified to date or without modification and that none



                                       16
<PAGE>   17
                             BAYCORP HOLDINGS, LTD.


requires further testing, modification or replacement. NAESCO reported that it
completed its contingency planning and that it plans to proceed with contingency
training.

         Due to the general uncertainty inherent in the year 2000 problem,
resulting in part from the uncertainty of the year 2000 readiness of
third-parties and the interconnection of global businesses, the Company cannot
ensure that efforts to timely and cost-effectively resolve year 2000 issues were
or will be successful. If year 2000 compliance efforts were or are unsuccessful
or incomplete, or if costs exceed NAESCO's estimates, the Company's business,
operations, financial results and liquidity could be materially and adversely
affected.

         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 Great Bay 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.

PART II - OTHER INFORMATION

ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

         The Company held its Annual Meeting of Stockholders on April 28, 1999.
Proxies for the meeting were solicited pursuant to Regulation 14A, and there
were no solicitations in opposition to management's nominees 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
              6,180,792 in favor of the proposal and 24,651 votes against
              the proposal, as to all Directors), and

         (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 (6,204,464 votes in favor of the
              proposal, 578 votes against the proposal and 401 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, 1999.




                                       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 13, 1999                       By: /s/ Frank W. Getman Jr.
                                          -------------------------------------
                                          Frank W. Getman Jr.
                                          President and Chief Executive Officer











                                       18
<PAGE>   19
                             BAYCORP HOLDINGS, LTD.




                                  EXHIBIT INDEX


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

  27.1            Financial Data Schedule

  99.1            Certain Factors That May Affect Future Results, set out on
                  pages 18-22 of the Company's Annual Report on Form 10-K for
                  the period ended December 31, 1998. Such Form 10-K shall not
                  be deemed to be filed except to the extent that portions
                  thereof are expressly incorporated by reference herein.






                                       19