<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                              September 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 November 10, 1999
---------------------------------------         --------------------------------
Common Stock, $0.01 Par Value per Share                   8,231,948


<PAGE>   2


                             BAYCORP HOLDINGS, LTD.

                                      INDEX

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

         Item 1 - Financial Statements:

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

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

         Consolidated Statements of Cash Flows - Nine
           Months Ended September 30, 1999 and 1998........................................................... 6

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

         Item 2 - Management's Discussion and Analysis of Financial Condition
           and Results of Operations:..................................................................... 12-18

PART II - OTHER INFORMATION:

         Item 6 - Exhibits and Reports on Form 8-K........................................................... 19

Signature.................................................................................................... 20

Exhibit Index................................................................................................ 21
</TABLE>


                                       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                             NINE MONTHS
                                                            ENDED SEPTEMBER 30,                     ENDED SEPTEMBER 30,
                                                         1999                1998                1999                1998
                                                     -------------------------------         -------------------------------

<S>                                                  <C>                 <C>                 <C>                 <C>
Operating Revenues                                   $    15,801         $     8,899         $    33,355         $    23,780

Operating Expenses:
  Production                                               4,653               5,054              14,081              15,204
  Transmission                                               212                 211                 648                 638
  Purchased Power                                          5,254                 420              10,121                 420
  Administrative & General                                 2,300               1,243               5,194               6,756
  Depreciation & Amortization                              1,067                 879               2,944               2,634
  Taxes other than Income                                  1,374               1,057               3,462               3,154
  Unrealized Loss on Firm Forward Contracts                  495                   0                 801                   0
                                                     -------------------------------         -------------------------------
      Total Operating Expenses                            15,355               8,864              37,251              28,806
                                                     -------------------------------         -------------------------------
Operating Income (Loss)                                      446                  35              (3,896)             (5,026)

Other (Income) Deductions:
  Interest and Dividend Income                              (153)               (237)               (452)               (728)
  Decommissioning Cost Accretion                             816                 720               2,449               2,153
  Decommissioning Trust Fund Income                         (166)               (132)               (455)               (381)
  Unit 2 Sales and Other Deductions                           69                  39                  84                 125
                                                     -------------------------------         -------------------------------
      Total Other Deductions                                 566                 390               1,626               1,169
                                                     -------------------------------         -------------------------------
Loss Before Income Taxes                                    (120)               (355)             (5,522)             (6,195)

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

Net Loss Before Cumulative Effect
  of Change in Accounting Principle                         (120)               (355)             (5,522)             (6,195)

Cumulative Effect of Change in
  Accounting Principle                                         0                   0                 159                   0
                                                     -------------------------------         -------------------------------
Net Loss                                                    (120)               (355)             (5,363)             (6,195)

Other Comprehensive Income (Loss), Net of Tax

  Unrealized Gains (Losses) on Securities                   (240)                 37                (610)                367
                                                     -------------------------------         -------------------------------
Comprehensive Loss                                   $      (360)        $      (318)        $    (5,973)        $    (5,828)
                                                     ===============================         ===============================
Weighted Average Shares Outstanding                    8,215,100           8,251,933           8,199,750           8,259,580
Basic and Diluted Loss Per Share                     $     (0.01)        $     (0.04)        $     (0.65)        $     (0.75)
</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>
                                               September 30,         December 31,
                                                   1999                  1998
                                               -------------         ------------
<S>                                              <C>                   <C>
ASSETS:

Current Assets:
  Cash & Cash equivalents                        $   6,236             $   2,559
  Short-term Investments, at market                  4,478                 9,496
  Accounts Receivable                                3,840                 3,051
  Materials & Supplies, net                          3,392                 3,633
  Prepayments & Other Assets                         1,984                 3,177
                                                 ---------             ---------
      Total Current Assets                          19,930                21,916
                                                 ---------             ---------

Property, Plant, & Equipment:
  Utility Plant                                    115,465               112,325
  Less: Accumulated Depreciation                   (15,259)              (12,785)
                                                 ---------             ---------
  Net Utility Plant                                100,206                99,540

  Nuclear Fuel                                      15,081                19,390
  Less: Accumulated Amortization                    (8,834)              (10,821)
                                                 ---------             ---------
  Net Nuclear Fuel                                   6,247                 8,569

      Net Property, Plant & Equipment              106,453               108,109

Other Assets:
  Decommissioning Trust Fund                        11,463                10,329
  Deferred Debits & Other                               70                     4
                                                 ---------             ---------
      Total Other Assets                            11,533                10,333
                                                 ---------             ---------
TOTAL ASSETS                                     $ 137,916             $ 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>
                                                                        September 30,         December 31,
                                                                            1999                  1998
                                                                        -------------         ------------

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

Current Liabilities:
  Accounts Payable and Accrued Expenses                                   $   1,534             $     394
  Taxes Accrued                                                                 694                     0
  Accrued Liability: Unrealized Loss on Firm Forward Contracts                  642                     0
  Miscellaneous Current Liabilities                                           1,568                 3,761
                                                                          ---------             ---------
          Total Current Liabilities                                           4,438                 4,155

Operating Reserves:
  Decommissioning Liability                                                  62,723                60,274
  Miscellaneous Other                                                           502                   502
                                                                          ---------             ---------
          Total Operating Reserves                                           63,225                60,776

Other Liabilities & Deferred Credits                                          4,676                 4,068

Commitments & Contingencies                                                       0                     0


Stockholders' Equity:
  Common stock, $.01 par value,
   Authorized - 20,000,000 shares,
   Issued and Outstanding - 8,457,800 and 8,417,800, respectively                84                    84
   Less: Treasury Stock - 225,852 shares, at cost                            (1,629)               (1,629)
   Additional paid-in capital                                                92,246                92,100
   Accumulated Other Comprehensive Income (Loss)                                (45)                  565
   Accumulated Deficit                                                      (25,079)              (19,761)
                                                                          ---------             ---------
          Total Stockholders' Equity                                         65,577                71,359
                                                                          ---------             ---------

TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY                                $ 137,916             $ 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>
                                                                     Nine Months           Nine Months
                                                                        Ended                 Ended
                                                                  September 30, 1999    September 30, 1998
                                                                  -------------------   -------------------
<S>                                                                     <C>                 <C>
Net cash flow from operating activities:

    Net Loss                                                            ($5,363)            ($6,195)
    Adjustments to reconcile net loss to net
      cash provided by (used in) operating activities:
         Cumulative effect of change in accounting principle               (159)
         Depreciation & Amortization                                      2,944               2,634
         Amortization of nuclear fuel                                     2,840               3,078
         Unrealized Loss on Firm Forward Contracts                          801                   0
         Decommissioning trust accretion                                  2,449               2,153
         Decommissioning trust interest                                    (455)               (381)
         Increase in accounts receivable                                   (789)             (2,734)
         (Increase) decrease in materials & supplies                        106                (224)
         Decrease in prepaids and other assets                              622                 230
         Increase (decrease) in accounts payable                          1,140                (136)
         Increase in taxes accrued                                          695                 457
         Other increase (decrease)                                       (1,045)              2,261
                                                                        -------             -------
Net cash provided by operating activities                                 3,786               1,143
                                                                        -------             -------

Net cash flows provided by (used in) investing activities:
  Utility plant additions                                                (3,475)             (1,645)
  Nuclear fuel additions                                                   (519)             (3,852)
  Payments to decommissioning fund                                       (1,272)               (960)
  Short term investments, net                                             4,961               6,986
                                                                        -------             -------
Net cash provided by (used in) investing activities                        (305)                529
                                                                        -------             -------

Net cash provided by (used in) financing activities:

  Stock Option Exercise                                                     196                   0
  Reacquired Capital Stock                                                    0                (435)
                                                                        -------             -------
Net cash provided by (used in) financing activities                         196                (435)
                                                                        -------             -------

Net increase in cash and cash equivalents                                 3,677               1,879

Cash and cash equivalents, beginning of period                            2,559               3,270
                                                                        -------             -------
Cash and cash equivalents, end of period                                $ 6,236             $ 4,507
                                                                        =======             =======
</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 initially on July 8, 1999 and nationwide on September 13,
1999, HoustonStreet.com delivers to power traders, 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 that ended on September 1, 1999, Houston Street began
charging commissions for megawatt hours traded on HoustonStreet.com.
HoustonStreet.com allows for trading nationwide, covering all 12 power pools in
the United States:

     -    New England Power Pool ("NEPOOL"),
     -    New York Power Pool ("NYPP"),
     -    East Central Area Reliability Coordination Agreement ("ECAR"),
     -    Electric Reliability Council of Texas ("ERCOT"),
     -    Florida Reliability Coordinating Council ("FRCC"),
     -    Mid-America Interconnected Network ("MAIN"),
     -    Mid-Continent Area Power Pool ("MAPP"),
     -    PJM Interconnection, LLC ("PJM"),
     -    Southeastern Electric Reliability Council ("SERC"),
     -    Southwest Power Pool ("SPP"),
     -    Virginia Carolina Area Reliability Council ("VACAR"), and
     -    Western Systems Coordinating Council ("WSCC").

     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


                                       7
<PAGE>   8


                             BAYCORP HOLDINGS, LTD.

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.

     During the three and nine months ended September 30, 1999 respectively,
approximately 70% and 71% of Great Bay's operating revenues were derived from
its share of the electricity output of the Seabrook Project and the balance of
Great Bay's operating revenues was derived from sales of power purchased on the
open market for resale to third parties.

     Little Bay was formed in connection with a pending acquisition of an
additional approximately 2.9% interest in the Seabrook Project. Little Bay was
incorporated in New Hampshire in 1998 and currently conducts no business
activity. As of November 4, 1999, Little Bay obtained all regulatory approvals
required in connection with its pending acquisition. Little Bay plans to
complete this acquisition before the end of 1999, at which time all regulatory
appeal periods will have expired.

     Great Bay became a wholly-owned subsidiary of BayCorp in a corporate
reorganization that involved a merger of a newly formed wholly-owned subsidiary
of BayCorp with and into Great Bay on January 24, 1997. The consolidated assets
and liabilities of Great Bay and its subsidiaries immediately before the
reorganization were the same as the consolidated assets and liabilities of
BayCorp and its subsidiaries immediately after the reorganization. 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:


                                       8
<PAGE>   9


                             BAYCORP HOLDINGS, LTD.



<TABLE>
<CAPTION>
                                      Three Month                   Nine Month
                                      Unrealized                    Unrealized                    Accumulated
                                     Income (Loss)                 Income (Loss)              Other Comprehensive
                                     on Securities                 on Securities                  Income(Loss)

<S>                                   <C>                            <C>                            <C>
            Beginning Balance         $ 195,000                      $ 565,000                      $ 565,000
            Current Period Charge      (240,000)                      (610,000)                      (610,000)
                                      ---------                      ---------                      ---------
            Ending Balance            $ (45,000)                     $ (45,000)                     $ (45,000)
                                      =========                      =========                      =========
</TABLE>

     Great Bay has entered into certain firm forward sale and purchase
commitments to help ensure stable cash flow, favorable prices and income, as
well as capture any long-term increases in value. 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 firm purchase and sales
commitments considered to be trading activity. As of September 30, 1999, the
Company had a net unrealized loss of approximately $642,000 included in accrued
expenses. The net change in unrealized loss on firm, forward contracts as of
September 30, 1999 was $801,000 and is included 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.

NOTE C - COMMITMENTS AND CONTINGENCIES

NUCLEAR POWER, ENERGY AND UTILITY REGULATION

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


                                       9
<PAGE>   10


                             BAYCORP HOLDINGS, LTD.



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 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 16 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
September 30, 1999 was approximately $62.7 million.

     The Company accretes 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


                                       10

<PAGE>   11


                             BAYCORP HOLDINGS, LTD.



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 $62.7 million as of September 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.

     On June 8, 1999, the NDFC issued a Final Report and Order relating to
proceeding NDFC 98-1, the comprehensive update of Seabrook Unit #1
Decommissioning Fund. For funding purposes, this Order reflects decommissioning
beginning in 2015, shortening the funding period, which commenced in 1990, from
36 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
required by 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 loss of
approximately $13,500 as of September 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


                                       11
<PAGE>   12


                             BAYCORP HOLDINGS, LTD.



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.

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. 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 September 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

     Currently, BayCorp derives substantially all of its revenue through its
energy trading activities and 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 revenues from
Houston Street. Houston Street began charging commissions in September 1999 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. The plant has
operated at full capacity since May 21, 1999. For the three months ended
September 30, 1999, the Company had operating income of approximately $446,800.
For the same period in 1999, the Company reported a net loss of approximately
$119,900.

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


                                       12
<PAGE>   13


                             BAYCORP HOLDINGS, LTD.



Operating Revenues

     Operating Revenues increased by approximately $6,901,800, or 77.6%, to
$15,801,100 in the third quarter of 1999 as compared to $8,899,400 in the third
quarter of 1998. BayCorp's operating revenues increased primarily as a result of
two factors - the increased capacity factor at the Seabrook Nuclear Power Plant
during the third quarter of 1999 as compared to the third quarter of 1998 and
increased sales of power purchased for resale during the third quarter of 1999
as compared to the third quarter of 1998.

     The capacity factor at the Seabrook Plant for the third quarter of 1999 was
100% versus 87.7% for the third quarter of 1998. The plant has operated at full
capacity since May 21, 1999.

     In addition to selling its Seabrook power generation, BayCorp's subsidiary,
Great Bay, purchased approximately 131,600 megawatt hours of power for resale
during the third quarter of 1999 and 13,920 megawatt hours during the third
quarter of 1998. Revenues, less the cost of purchased power, increased
$2,067,700, or 24.4%, from $8,479,300 in the third quarter of 1998 to
$10,547,000 in the third quarter of 1999.

     Sales of electricity increased by approximately 53.9% to 443,472,300
kilowatt-hours ("kWhs") in the third quarter of 1999 as compared to 288,172,100
kWhs in the third quarter of 1998. During the third 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) increased 15.6% to 3.56 cents per
kWh as compared with 3.08 cents per kWh in the third quarter of 1998.

Expenses

     Production and Transmission expenses for the third quarter of 1999
decreased approximately $400,500, or 7.6%, as compared to the third quarter of
1998. Great Bay had purchased power costs of approximately $5,254,000 in the
third quarter of 1999 and approximately $420,000 in the third 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 in back to back transactions. Great Bay recorded a net change in
unrealized loss on firm forward contracts of approximately $495,000 in the third
quarter of 1999. See "Note B - Summary of Significant Accounting Policies."

     During the third quarter of 1999, there was an increase of approximately
$1,056,900, or 85.1%, in administrative and general expenses, from $1,242,300 in
the third quarter of 1998 to $2,299,200 in the third quarter of 1999. The
increase in administrative and general expenses was primarily attributable to
expenses associated with the start up of BayCorp's subsidiary, Houston Street.
Houston Street operates the first Web portal for trading wholesale electric
power, HoustonStreet.com. There were no comparable administrative and general
expenses in the third quarter of 1998. There was an increase of approximately
$187,700, or 21.3%, in depreciation and amortization, from $879,800 in the third
quarter of 1998 to $1,067,600 in the third quarter of 1999. This increase was
primarily attributable to depreciation on Houston Street capital assets. Taxes
other than income increased approximately $316,400, or 29.9%, from $1,057,200 in
the third quarter of 1998 to $1,373,700 in the third quarter of


                                       13
<PAGE>   14


                             BAYCORP HOLDINGS, LTD.



1999. This increase was primarily attributable to a New Hampshire State Utility
tax that was effective April 1999. This tax replaces the state's Nuclear Station
tax.

Other (Income) Deductions

     Decommissioning Cost Accretion increased $96,300, to $816,700 during the
third quarter of 1999 as compared to $720,000 during the third quarter 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.

     During the third quarter of 1999, the Company realized $249,500 in interest
and dividend income on the Company's cash and decommissioning trust fund
accounts and in other deductions as compared to $330,000 during the third
quarter of 1998. The decrease of $80,500, or 24.4%, primarily reflects reduced
interest earned on the lower cash balances during the third quarter of 1999 as
compared to the third quarter of 1998.

Net Loss

     As a result of the above factors, during the third quarter ended September
30, 1999, the Company recorded a net loss of $119,900, or approximately $.01 per
basic and diluted share, as compared to a net loss of $355,200, or approximately
$.04 per basic and diluted share, during the third quarter ended September 30,
1998.

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

Operating Revenues

     Operating Revenues increased by approximately $9,574,600, or 40.3%, to
$33,354,800 in the first nine months of 1999 as compared to $23,780,200 in the
first nine months of 1998. This increase in revenues was primarily due to
increased sales of power purchased for resale during the first nine months of
1999 as compared to the first nine months of 1998. Revenues, less the cost of
purchased power, decreased approximately $126,500, or .5%, from $23,360,200 in
the first nine months of 1998 to $23,233,700 in the first nine months of 1999.

     For the first nine months of 1999, the capacity factor at the Seabrook
plant was 80.7% versus a capacity factor of 82.4% for the first nine months of
1998. The capacity factor for the first nine 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 nine months of 1998 was adversely affected by unscheduled outages that
lasted a total of 47 days during January, June and July.

     Sales of electricity increased by approximately 34.6% to 1,042,550,850 kWhs
in the first nine months of 1999 as compared to 774,617,800 kWhs in the first
nine months of 1998. During the first nine


                                       14
<PAGE>   15


months of 1999 the average sales price per kWh increased 3.9% to 3.19 cents per
kWh as compared with 3.07 cents per kWh in the first nine months of 1998.

Expenses

     Production and Transmission expenses for the first nine months of 1999
decreased approximately $1,112,800, or 7.0%, as compared to the first nine
months of 1998. This decrease was primarily the result of unscheduled outage
related costs incurred in the first nine months of 1998. Great Bay had purchased
power costs of $10,121,100 in the first nine months of 1999 as compared to
purchased power costs of approximately $420,100 in the first nine months of
1998. Great Bay purchased power to cover firm contracts during the scheduled
refueling outage and to cover back to back purchase and sales transactions.
Great Bay recorded a net change in unrealized loss on firm forward contracts of
approximately $642,000 in the first nine months of 1999. See "Note B - Summary
of Significant Accounting Policies."

     Administrative and general expenses decreased $1,562,100, or 23.1%, to
$5,194,100 in the first nine months of 1999 as compared to $6,756,200 in the
first nine 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 nine months of 1998. Offsetting
this 1998 expense, were administrative and general expenses in 1999 attributable
to the start up of BayCorp's subsidiary, Houston Street. There was an increase
of approximately $309,900, or 11.8%, in depreciation and amortization, from
$2,634,400 in the first nine months of 1998 to $2,944,400,000 in the first nine
months of 1999. This increase was primarily attributable to depreciation on
Houston Street capital assets. Taxes other than income increased approximately
$307,100, or 9.7%, to $3,461,500 in the first nine months of 1999 from
$3,154,400 in the first nine months of 1998. This increase was primarily
attributable to a New Hampshire State Utility tax that was effective April 1999.
This tax replaces the state's Nuclear Station tax.

Other (Income) Deductions

     Decommissioning Cost Accretion increased $295,900, to $2,448,900 during the
first nine months of 1999 as compared to $2,153,000 during the first nine months
of 1998. This increase was primarily due to a change in the decommissioning cost
projection schedule in 1999. See "Note C - Decommissioning Liability."

     During the first nine months of 1999, the Company realized $823,300 in
interest on the Company's cash and decommissioning trust fund accounts and in
other deductions as compared to $984,800 during the first nine months of 1998.
The decrease of $161,500, or 16.4%, primarily reflects reduced interest earnings
on the lower cash balances during the first nine months of 1999 as compared to
the first nine months of 1998.

Net Loss

     As a result of the above factors, during the first nine months ended
September 30, 1999, the Company recorded a net loss of $5,363,000, or
approximately $.65 per basic and diluted share, as compared to a net loss of
$6,195,000, or approximately $.75 per basic and diluted share, during the first
nine months ended September 30, 1998.


                                       15
<PAGE>   16


                             BAYCORP HOLDINGS, LTD.



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 NOLs are
scheduled to expire. The Company's other $74 million of NOLs are not currently
subject to such limitations

Liquidity and Capital Expenditures

     As of September 30, 1999, BayCorp had approximately $10.7 million in cash,
cash equivalents and short-term investments. The Company will need to use its
cash, cash equivalents and short-term investments for the purchase of an
additional approximately 2.9% interest in the Seabrook Project (described
below), Houston Street operations, unless third party financing for Houston
Street is obtained (described below) and for Great Bay operations.

     The Company believes that its cash resources, 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 in connection with Great Bay until the
prices at which Great Bay can sell its electricity increase sufficiently to
enable the Company to cover its annual cash requirements. Such cash resources
may not be sufficient to also fund all of the Company's cash requirements in
connection with Houston Street. Moreover, the cash generated by Great Bay will
be materially affected by whether 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 do not
increase at the rates and within the time expected by Great Bay. As a result,
depending upon these factors and the Company's success in separately financing
Houston Street, the Company may 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 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.

     The Company expects that Houston Street expenses and capital expenditures
will substantially exceed Houston Street's revenues while Houston Street is in
the early stages of its operation. For the nine months ended September 30, 1999,
Houston Street expenses were approximately $1.4 million and capital expenditures
were approximately $1.8 million. Houston Street recorded revenues in September
1999 when it began to charge commissions for wholesale electricity trading. The
Company believes that Houston Street revenues will not be material to BayCorp's
consolidated revenues until the second half of 2000. The Company is seeking
separate financing for Houston Street from third party investors.


                                       16
<PAGE>   17


                             BAYCORP HOLDINGS, LTD.



     BayCorp's cash and short-term investments decreased approximately
$1,340,300 during the first nine months of 1999. Principal factors affecting
liquidity during the nine months ended September 30, 1999 included the net loss
of $5,363,000 and cash expenditures of approximately $3,475,000 for capital
additions, $519,000 for nuclear fuel additions and $1,271,700 for
decommissioning trust fund payments. Offsetting these cash charges were non-cash
charges to income that included $2,944,400 for depreciation, $2,840,000 for
nuclear fuel amortization, $1,633,000 for decommissioning trust fund accretion
and $642,000 to record an unrealized loss on firm forward contracts.

     Changes in working capital items included an increase in accounts
receivable due to increased revenues and a decrease in other current liabilities
was primarily due to charges to the outage accrual for cash expenses associated
with the 1999 refueling outage. A decrease in prepayments was primarily due to
the timing of Seabrook funding payments and the increase in accounts payable was
primarily due to purchased power charges. The increase in taxes accrued was due
to the timing of property tax payments. The next property tax payment is due in
December 1999.

     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 was approximately
$3.6 million.

     As of November 4, 1999, Little Bay and Montaup Electric Company, a
subsidiary of EUA, obtained all regulatory approvals required in connection with
Little Bay's agreement with Montaup to purchase Montaup's approximately 2.9%
interest in the Seabrook Project. The parties plan to complete the transaction
before the end of 1999, at which time all regulatory appeal periods will have
expired. If any of the regulatory approvals are appealed, the completion of the
transaction could be  delayed. At completion, Little Bay will:

     -    pay to Montaup a purchase price of approximately $3.2 million,

     -    reimburse Montaup for certain prepaid items, primarily nuclear fuel
          and capital expenditures, in the amount of approximately $1.7 million,
          and

     -    set aside in an escrow account approximately $2.5 million, an amount
          calculated to ensure Little Bay's ability to pay its share of Seabrook
          expenses arising during plant shutdowns lasting up to six months.

The Company plans to fund these cash requirements with its currently available
cash resources. Accordingly, after making this acquisition and the related cash
payments, the Company believes


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<PAGE>   18


                             BAYCORP HOLDINGS, LTD.



that its cash, cash equivalents and short term investments will be reduced by
approximately $7.4 million.

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. On September
7, 1999, the NRC issued a report, confirmed by onsite reviews at all 103 nuclear
power plants in the United States including the Seabrook Project, that there are
no year 2000 related problems affecting the performance of safety systems needed
to shut down nuclear power plants, including the Seabrook Project.

     According to October 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 September 30, 1999, Great Bay's share of costs to
address year 2000 issues at the Seabrook Project was approximately $340,000.
Great Bay has funded these expenses from its operating revenues.

     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.


                                       18
<PAGE>   19


                             BAYCORP HOLDINGS, LTD.



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
          September 30, 1999.


                                       19
<PAGE>   20


                             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.

November 12, 1999                      By: /s/ Frank W. Getman Jr.
                                       -----------------------------------------
                                               Frank W. Getman Jr.
                                               President and Chief Executive
                                                Officer


                                       20
<PAGE>   21


                             BAYCORP HOLDINGS, LTD.



                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit No.                         Description
-----------                         -----------


<S>                             <C>
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.
</TABLE>


                                       21