<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, 2001

                                       OR

[  ]   TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
       EXCHANGE ACT OF 1934

         For the transition period from ______________ to _____________

                         Commission file number 1-12527

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

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

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

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


         Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.

Yes [X]     No [ ]




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


                                      INDEX




<TABLE>
<CAPTION>
PART I - FINANCIAL INFORMATION:
<S>                                                                                                             <C>
         Item 1 - Financial Statements:

         Consolidated Statements of Income and Comprehensive Income
         - Three and Six Months Ended June 30, 2001 and 2000.........................................           3

         Consolidated Balance Sheets at June 30, 2001
           and December 31, 2000.....................................................................           4-5

         Consolidated Statements of Cash Flows -
           Six Months Ended June 30, 2001 and 2000...................................................           6

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

         Item 2 -  Management's Discussion and Analysis of Financial Condition
            and Results of Operations................................................................           13-18

         Item 3 -  Quantitative and Qualitative Disclosures About Market Risk........................           18

PART II - OTHER INFORMATION:

         Item 4 -  Submission of Matters to a Vote of Security Holders...............................           18

         Item 6 -  Exhibits and Reports on Form 8-K..................................................           18


         Signature...................................................................................           19

         Exhibit Index...............................................................................           20
</TABLE>



                                       2
<PAGE>   3
                             BAYCORP HOLDINGS, LTD.


PART I - FINANCIAL INFORMATION
Item 1. Financial Statements

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

<TABLE>
<CAPTION>
                                                                Three Months Ended June 30,       Six Months Ended June 30,
                                                                  2001            2000              2001             2000
                                                              -----------      -----------      -----------       ----------
<S>                                                               <C>             <C>               <C>              <C>
Operating Revenues                                                $19,470         $15,154           $38,737          $29,638

Operating Expenses
  Production                                                        5,513           6,103            10,939           11,786
  Transmission                                                        270             324               534              557
  Purchased Power                                                   3,589           1,863            17,327            3,741
  Unrealized (Gain) Loss on Firm Energy Trading Contracts          (7,006)          2,913           (13,320)           7,043
  Administrative & General                                          1,363           1,906             3,178            3,480
  Depreciation & Amortization                                         998             993             1,995            1,986
  Taxes other than Income                                             951           1,126             1,914            2,240
                                                                   ------             ---            ------           ------
      Total Operating Expenses                                      5,678          15,228            22,567           30,833
Operating Income (Loss)                                            13,792             (74)           16,170           (1,195)


Other (Income) Deductions:
  Interest and Dividend Income                                       (154)           (224)             (324)            (309)
  Decommissioning Cost Accretion                                      815             908             1,630            1,816
  Decommissioning Trust Fund Income                                  (408)           (338)             (760)            (633)
  Equity Loss in HoustonStreet Investment                               0           9,679               450           12,076
  Other (Income) Deductions                                            (4)           (278)               58             (514)
                                                                   ------             ---            ------           ------
      Total Other Deductions                                          249           9,747             1,054           12,436
Income (Loss) Before Income Taxes                                  13,543          (9,821)           15,116          (13,631)

Income Taxes                                                            0               0                 0                0
                                                                   ------             ---            ------           ------
Net Income (Loss)                                                  13,543          (9,821)           15,116          (13,631)

Other Comprehensive Income, Net of Tax
  Unrealized Gain (Loss) on Securities                               (249)             56              (212)            (216)
                                                                   ------             ---            ------           ------
Comprehensive Income (Loss)                                       $13,294         ($9,765)          $14,904         ($13,847)
                                                                  =======         =======           =======         ========
Weighted Average Shares Outstanding - Basic                     8,334,264       8,273,448         8,334,264        8,271,690
Weighted Average Shares Outstanding - Diluted                   8,613,602       8,273,448         8,574,208        8,271,690
Basic Net Income (Loss) Per Share                                   $1.63          ($1.19)            $1.81           ($1.65)
Diluted Net Income (Loss) Per Share                                 $1.57          ($1.19)            $1.76           ($1.65)
</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,
                                                                                     2001                 2000
                                                                                ----------------      -------------
<S>                                                                             <C>                   <C>
ASSETS
Current Assets:
  Cash & Cash Equivalents                                                               $12,633             $9,071
  Restricted Cash - Escrow                                                                  232              2,016
  Short-term Investments, at market                                                           0              3,022
  Accounts Receivable                                                                     6,156              3,131
  Materials & Supplies, net                                                               4,764              4,760
  Prepayments & Other Assets                                                              2,560              1,135
                                                                                ----------------      -------------
      Total Current Assets                                                               26,345             23,135

Property, Plant & Equipment and Fuel:
  Utility Plant Assets                                                                  112,243            111,491
  Non-Utility Plant Assets                                                                  104                104
                                                                                ----------------      -------------
  Total Property, Plant & Equipment                                                     112,347            111,595
  Less: Accumulated Depreciation                                                        (21,621)           (19,776)
                                                                                ----------------      -------------
  Net Property, Plant & Equipment                                                        90,726             91,819

  Nuclear Fuel                                                                           18,473             18,348
  Less: Accumulated Amortization                                                        (10,026)            (7,956)
                                                                                ----------------      -------------
  Net Nuclear Fuel                                                                        8,447             10,392

      Net Property, Plant & Equipment and Fuel                                           99,173            102,211

Other Assets:
  Decommissioning Trust Fund                                                             29,894             28,146
  Deferred Debits & Other                                                                   113                102
                                                                                ----------------      -------------
      Total Other Assets                                                                 30,007             28,248

Equity Investment in HoustonStreet Exchange, Inc.                                             0                  0

TOTAL ASSETS                                                                           $155,525           $153,594
                                                                                ================      =============
</TABLE>


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



                                       4
<PAGE>   5
                             BAYCORP HOLDINGS, LTD.

                           CONSOLIDATED BALANCE SHEETS
                                   (UNAUDITED)
                             (Dollars in Thousands)

<TABLE>
<CAPTION>
                                                                                   June 30,           December 31,
                                                                                     2001                 2000
                                                                                ----------------      -------------
<S>                                                                             <C>                   <C>
LIABILITIES AND STOCKHOLDERS' EQUITY

Current Liabilities:
  Accounts Payable and Accrued Expenses                                                  $1,466             $8,187
  Miscellaneous Current Liabilities                                                       2,802             14,665
                                                                                ----------------      -------------
          Total Current Liabilities                                                       4,268             22,852

Operating Reserves:
  Decommissioning Liability                                                              73,248             71,618
  Miscellaneous Other                                                                       470                470
                                                                                ----------------      -------------
          Total Operating Reserves                                                       73,718             72,088

Other Liabilities & Deferred Credits                                                     11,096              7,115



Commitments & Contingencies


Stockholders' Equity:
  Common stock, $.01 par value,
      Authorized - 20,000,000 shares,
      Issued and Outstanding - 8,519,316                                                     86                 86
   Less: Treasury Stock - 185,052 shares at cost                                         (1,396)            (1,396)
   Additional Paid-in Capital                                                            92,934             92,934
   Accumulated Other Comprehensive Income                                                   105                318
   Accumulated Deficit                                                                  (25,286)           (40,403)
                                                                                ----------------      -------------
          Total Stockholders' Equity                                                     66,443             51,539

TOTAL LIABILITIES AND STOCKHOLDERS' EQUITY                                             $155,525           $153,594
                                                                                ================      =============

 (The accompanying notes are an integral part of these consolidated statements.)
</TABLE>


                                       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, 2001         June 30, 2000
                                                                    --------------------  --------------------
<S>                                                                    <C>                    <C>
Net cash flow from operating activities:
    Net income (loss)                                                           $15,116              ($13,632)
    Adjustments to reconcile net earnings to net
    cash provided by operating activities:
         Equity loss in HoustonStreet investment                                    450                12,076
         Depreciation and amortization                                            1,845                 1,986
         Amortization of nuclear fuel                                             2,070                 2,484
         Unrealized (gain) loss on firm energy trading contracts                (13,320)                7,043
         Decommissioning trust accretion                                          1,630                 1,816
         Decommissioning trust interest and other charges                          (439)                 (600)
         (Increase) decrease in accounts receivable                              (3,024)                3,927
         (Increase) decrease in materials & supplies                                 (4)                   51
         Increase in prepaids and other assets                                   (1,435)               (1,128)
         Increase (decrease) in accounts payable                                 (6,722)                  850
         Increase (decrease) in taxes accrued                                       191                  (606)
         Increase in other liabilities                                            5,248                   580
                                                                    --------------------  --------------------
Net cash provided by operating activities                                         1,606                14,847

Net cash flows from investing activities:
  Capital additions                                                                (752)                 (790)
  Nuclear fuel additions                                                           (126)               (4,934)
  Payments to decommissioning fund                                               (1,308)                 (882)
  Investment in HoustonStreet                                                      (450)                    0
  Short term investments, net                                                     2,808                     0
                                                                    --------------------  --------------------
Net cash provided by (used in) investing activities                                 172                (6,606)

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

Net increase in cash and cash equivalents                                         1,778                 8,456
Cash and cash equivalents, beginning of period                                   11,087                 5,549
                                                                    --------------------  --------------------
Cash and cash equivalents, end of period                                        $12,865               $14,005
                                                                    ====================  ====================
</TABLE>




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


                                       6
<PAGE>   7
                             BAYCORP HOLDINGS, LTD.


                          NOTES TO FINANCIAL STATEMENTS

NOTE A - THE COMPANY

         BayCorp Holdings, Ltd. ("BayCorp" or the "Company") is a holding
company incorporated in Delaware in 1996. BayCorp has two wholly owned
subsidiaries that generate and sell wholesale electricity, Great Bay Power
Corporation ("Great Bay") and Little Bay Power Corporation ("Little Bay"). In
addition, BayCorp owns a 45.9% equity interest in HoustonStreet, Inc.
("HoustonStreet"), a software and services provider to the energy industry and
an Internet-based energy trading and information business. The Company accounts
for HoustonStreet under the equity method.

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

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

         HoustonStreet is a software and services provider to the energy
industry. In July 2001, HoustonStreet announced that it was accepted by
Microsoft as a Microsoft Certified Partner, specializing in .NET technology.
Through the Microsoft Certified Partners Program, Microsoft supports
HoustonStreet in its efforts to provide .NET-based trading platforms and
technology solutions for the energy industry. HoustonStreet also developed and
operates HoustonStreet.com, an Internet-based independent exchange, currently
offering crude oil and refined products trading. HoustonStreet also has a
majority interest in HoustonStreet Exchange, Ltd., the operating company for
HoustonStreet's European operations. BayCorp remains the largest shareholder in
HoustonStreet with an equity interest of 45.9% as of June 30, 2001.


                                       7
<PAGE>   8
                             BAYCORP HOLDINGS, LTD.


NOTE B - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

         The unaudited financial statements included herein have been prepared
on behalf of the Company, without audit, pursuant to the rules and regulations
of the Securities and Exchange Commission ("SEC") and include, in the opinion of
management, all adjustments, consisting of normal recurring adjustments,
necessary for a fair presentation of interim period results. Certain information
and footnote disclosures normally included in financial statements prepared in
accordance with generally accepted accounting principles have been omitted or
condensed pursuant to such rules and regulations. The Company believes, however,
its disclosures herein, when read in conjunction with the Company's audited
financial statements for the year ended December 31, 2000 as filed in Form 10-K,
are adequate to make the information presented not misleading. The results for
the interim periods are not necessarily indicative of the results to be expected
for the full fiscal year.

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

<TABLE>
<CAPTION>
                                       Three Month             Six Month
                                       Unrealized              Unrealized
                                       Income (Loss)          Income (Loss)
                                       on Securities          on Securities

<S>                                    <C>                     <C>
            Beginning Balance          $  355,547              $ 318,032
            Current Period Charge        (249,936)              (212,421)
                                         --------               --------
            Ending Balance             $  105,611             $  105,611
                                          =======              =========
</TABLE>

         The Company utilizes unit contingent and firm forward sales contracts
to maximize the value of its 174 MW power supply from the Seabrook Project.
Effective January 1, 1999, Great Bay adopted Emerging Issues Task Force Issue
("EITF") No. 98-10, "Accounting for Contracts Involved in Energy Trading and
Risk Management Activities." EITF 98-10 requires energy-trading contracts to be
recorded at fair value on the balance sheet, with the changes in fair value
included in earnings. The Company is marking the related contracts to market
based on the estimated contract replacement value at each balance sheet date.
The Company had a net unrealized gain included in other assets of approximately
$440,300 as of June 30, 2001 and net unrealized losses included in accrued
expenses of approximately $12,879,400 as of December 31, 2000. The net change in
unrealized gain/loss on firm forward contracts included in the accompanying
consolidated statements of income for the second quarter ended June 30, 2001 was
a gain of approximately $7,006,000 and for the second quarter ended June 30,
2000 was a loss of $2,913,000. For the six months ended June 30, 2001 the net
change in unrealized gain/loss was a gain of approximately $13,320,000 and for
the six months ended June 30, 2000 was a loss of approximately $7,043,000.

NOTE C - COMMITMENTS AND CONTINGENCIES

Nuclear Power, Energy and Utility Regulation.

          The Seabrook Project and Great Bay and Little Bay, as part owners of a
licensed nuclear facility, are subject to the broad jurisdiction of the NRC,
which is empowered to authorize the siting, construction and operation of
nuclear reactors after consideration of public health and safety, environmental
and antitrust matters. Great Bay and Little Bay have been, and will be, affected
to the extent of their proportionate share by the cost of any such requirements
made applicable to the Seabrook Project.


                                       8
<PAGE>   9
                             BAYCORP HOLDINGS, LTD.


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

         Because Great Bay and Little Bay are EWG's, they are not subject to the
jurisdiction of the Securities and Exchange Commission ("SEC") under PUHCA. In
order to maintain their EWG status, Great Bay and Little Bay must continue to
engage exclusively in the business of owning and/or operating all or part of one
or more "eligible facilities" and to sell electricity only at wholesale (i.e.
not to end users) and activities incidental thereto. An "eligible facility" is a
facility used for the generation of electric energy exclusively at wholesale or
used for the generation of electric energy and leased to one or more public
utility companies. The term "facility" may include a portion of a facility. In
the case of Great Bay and Little Bay, their combined 15% joint ownership
interest in the Seabrook Project comprises an "eligible facility."

Utility Deregulation; Public Controversy Concerning Nuclear Power Plants

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

         Nuclear units in the United States have been subject to widespread
criticism and opposition, which has led to construction delays, cost overruns,
licensing delays and other difficulties. Various groups have sought to prohibit
the completion and operation of nuclear units and the disposal of nuclear waste
by litigation, legislation and participation in administrative proceedings. The
Seabrook Project was the subject of significant public controversy during its
construction and licensing and remains controversial. An increase in public
concerns regarding the Seabrook Project or nuclear power in general could
adversely affect the operating license of Seabrook Unit 1. While the Company
cannot predict the ultimate effect of such controversy, it is possible that it
could result in a premature shutdown of the unit.

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

Decommissioning Liability

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


                                       9
<PAGE>   10
                             BAYCORP HOLDINGS, LTD.


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

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

         The Staff of the SEC has questioned certain of the current accounting
practices of the electric utility industry regarding the recognition,
measurement and classification of decommissioning costs for nuclear generating
stations and joint owners in the financial statements of these entities. In
response to these questions, the FASB has recently issued FASB Statement 143.
Great Bay and Little Bay's accounting for decommissioning is based on the FASB's
original tentative conclusions. This new statement requires that an obligation
associated with the retirement of a tangible long-lived asset be recognized as a
liability when incurred, and that the amount of the liability resulting from (a)
the passage of time and (b) revisions to either the timing or amount of
estimated cash flows should also be recognized. The statement also requires
that, upon initial recognition of a liability for an asset retirement
obligation, an entity capitalize that cost by recognizing an increase in the
carrying amount of the related long-lived asset. Upon adoption, the statement
would be effective for financial statements issued for fiscal years beginning in
2003.

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

         Great Bay and Little Bay, based on the initial exposure draft, have
been recognizing a liability based on the present value of the estimated future
cash outflows required to satisfy their obligations using a risk free rate. As
of December 31, 2000, the estimated undiscounted cash outflows for Great Bay and
Little Bay, for decommissioning, based on the March 2000 NDFC study, with
decommissioning expenditures starting in 2013 and being completed in 2042, was
$217.2 million, which discounted at an average rate of 4.75% to December 31,
2000, represented a liability of $71.6 million. As of June 30, 2001 this
liability was $73.2 million as reflected in the accompanying balance sheet. In
accordance with the original exposure draft the companies record any adjustments
to the decommissioning liability due to changes in estimates in the utility
plant account.


                                       10
<PAGE>   11
                             BAYCORP HOLDINGS, LTD.


         Great Bay and Little Bay accrete their share of the Seabrook Project's
decommissioning liability. This accretion is a non-cash charge and recognizes
their liability related to the closure and decommissioning of their nuclear
plant in current year dollars over the licensing period of the plant. The
non-cash accretion charge recorded in the accompanying consolidated statements
of income was $815,000 and $1,630,000, and $908,000 and $1,816,000, for the
three months and three months ended June 30, 2001 and June 30, 2000,
respectively.

         Funds collected by the Seabrook Project for decommissioning are
deposited in an external irrevocable trust pending their ultimate use. The
earnings on the external trusts also accumulate in the fund balance. The trust
funds are restricted for use in paying the decommissioning of Unit 1. The
investments in the trust are available for sale. Great Bay and Little Bay have
therefore reported their investment in trust fund assets at market value and any
unrealized gains and losses are reflected in equity. There was an unrealized
holding gain of $105,600 as of June 30, 2001.

         Although the owners of the Seabrook Project are accumulating funds in
an external trust to defray decommissioning costs, these costs could
substantially exceed the value of the trust fund, and the owners, including
Great Bay and Little Bay, would remain liable for the excess.

         In June 1998, the New Hampshire State legislature enacted legislation
that provides that in the event of a default by Great Bay on its payments to the
decommissioning fund, the other Seabrook joint owners would be obligated to pay
their proportional share of such default. As a result of the enactment of this
legislation the staff of the NRC notified Great Bay in July 1998 of the staff's
determination that Great Bay complied with the decommissioning funding assurance
requirements under NRC regulations. In July 2001, the New Hampshire legislature
enacted legislation that modified the state's decommissioning requirements in
anticipation of the sale of interests in the Seabrook Project. Under this
legislation, the obligation of the other Seabrook joint owners terminates after
Great Bay's interest in Seabrook is sold.

         In response to the obligations imposed on the other Joint Owners under
the New Hampshire legislation, Great Bay agreed to make accelerated payments to
the Seabrook decommissioning fund such that Great Bay will have contributed
sufficient funds by the year 2015 to allow sufficient monies to accumulate, with
no further payments by Great Bay to the fund, to the full estimated amount of
Great Bay's decommissioning obligation by the time the current Seabrook
operating license expires in 2026. Based on the currently approved funding
schedule and Great Bay's accelerated funding schedule, Great Bay's
decommissioning payments will be approximately $2.6 million in 2001 and escalate
at 4% each year thereafter through 2015. Little Bay's share of decommissioning
costs was prefunded by Montaup Electric Company ("Montaup"), the owner of the
2.9% interest in the Seabrook Project that Little Bay acquired in November 1999.
As part of that acquisition, Montaup transferred approximately $12.4 million
into Little Bay's decommissioning account, an irrevocable trust earmarked for
Little Bay's share of Seabrook Project decommissioning expenses. As of June 30,
2001, the fair market value of the Little Bay decommissioning account was
approximately $14 million.

         On November 15, 1992, Great Bay, the Bondholder's Committee and the
Predecessor's former parent, Eastern Utilities Associates ("EUA") entered into a
settlement agreement that resolved certain proceedings against EUA brought by
the Bondholder's Committee. Under the settlement agreement, EUA reaffirmed its
guarantee of up to $10 million of Great Bay's future decommissioning costs of
Seabrook Unit 1.

NOTE D - INVESTMENT IN HOUSTONSTREET

         As of December 31, 1999, the Company owned 100% of HoustonStreet.
HoustonStreet raised additional equity in 2000 from outside investors and as a
result, as of December 4, 2000, the Company's


                                       11
<PAGE>   12
                             BAYCORP HOLDINGS, LTD.


ownership fell below 50%, to 45.9%. Subsequently, the Company deconsolidated
HoustonStreet and is presenting this investment on the equity method. Prior year
financial statements are presented on a comparative basis. As BayCorp's
investment in HoustonStreet on an equity basis as of December 4, 2000 was
negative, the Company suspended the recognition of additional operating losses.
Summarized financial information for the Company's investment in HoustonStreet
is as follows:

<TABLE>
<CAPTION>
       HoustonStreet:
                                          Six months ended           Year ended                  Year ended
                                           June 30, 2001           December 31, 2000          December 31, 1999
                                          ----------------         -----------------         -----------------
<S>                                       <C>                      <C>                        <C>
       Total assets                          $ 6,840,400              $11,958,600                $ 2,984,400
       Total liabilities                      16,277,400               15,395,800                  6,201,400
       Net sales                                 825,300                  523,400                     59,200
       Net loss                               (6,001,000)             (40,047,000)                (3,397,000)
       Company's equity in net loss           (2,754,500)             (22,259,000)                (3,397,000)
</TABLE>

         During 2000, the Company loaned $7,000,000 to HoustonStreet at an
annual interest rate of 10%. Due to continued losses at HoustonStreet, the
Company wrote down its equity investment in HoustonStreet and subsequently its
loan and receivable from HoustonStreet. As of June 30, 2001, the Company had no
investments or loan receivable recognized on the accompanying consolidated
balance sheet.

         In March 2001, HoustonStreet received commitments to receive
approximately $4,035,700 in additional funding in two installments. This
financing involved the sale by HoustonStreet of senior secured notes, warrants
to purchase HoustonStreet preferred stock and warrants to purchase HoustonStreet
common stock. Collectively, these securities are referred to as the
"HoustonStreet Series C Units."

         Commitments for the initial closing were approximately $2,928,200 and
as of April 13, 2001, HoustonStreet had received these committed funds.
Commitments for the second closing were approximately $1,107,500 and payment was
tied to the successful implementation of a posting agreement between
HoustonStreet and Enron. In the summer of 2000, HoustonStreet signed an
agreement with Enron to provide a link with EnronOnline ("EOL") enabling
electricity and natural gas prices listed on EOL to be simultaneously posted on
HoustonStreet. Although HoustonStreet successfully completed the link, Enron
provided HoustonStreet with a notice of termination of the agreement after the
link was completed but prior to the link going live. Accordingly, the second
closing has not occurred, and there can be no assurance that the second closing
will occur.

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

NOTE E - EQUITY

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


                                       12
<PAGE>   13
                             BAYCORP HOLDINGS, LTD.



NOTE F - NEW ACCOUNTING PRONOUNCEMENTS

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

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

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

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

Overview

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

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

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

Operating Revenues

         BayCorp's operating revenues increased by approximately $4,316,000, or
28.5%, to $19,470,000 in the second quarter of 2001 as compared to $15,154,000
in the second quarter of 2000. The increase in operating revenues was primarily
attributable to an increase in kilowatt hours ("kWhs") sold during the second
quarter of 2001 as compared to the second quarter of 2000. Sales of electricity
increased by approximately 21.5% to 481,662,000 kWhs during the second quarter
of 2001 compared to approximately 396,491,000 kWhs in the second quarter of
2000. The increase in kWhs sold was primarily attributable to an increase in
purchased power during the second quarter of 2001 as compared to the second
quarter of 2000. The capacity factor at the Seabrook Plant for the second
quarter of 2001 was 99.3% compared to 96.5% for the second quarter of 2000.
During the three months ended June 30, 2001, Great Bay's


                                       13
<PAGE>   14
                             BAYCORP HOLDINGS, LTD.



average selling price increased 4.9%, to 4.05 cents per kWh as compared with an
average selling price of 3.86 cents per kWh for the same period in 2000.

Expenses

         Production and transmission expenses decreased approximately $644,000,
or 10%, to $5,783,000 in the second quarter of 2001 as compared to $6,427,000 in
the second quarter of 2000. This reduction was primarily attributable to a
reduction in miscellaneous operation costs at the Seabrook Project during the
second quarter of 2001 as compared to the second quarter of 2000. Great Bay
purchased more power for resale in the second quarter of 2001 as compared to the
second quarter of 2000. Purchased power costs increased approximately $1,726,000
in the second quarter of 2001 as compared to the second quarter of 2000.
Administrative and general expenses decreased approximately $543,000, or 28.5%,
to $1,363,000 in the second quarter of 2001 compared to $1,906,000 in the second
quarter of 2000. This decrease was primarily attributable to decreased
administrative and general expenses at the Seabrook Project during the second
quarter of 2001 as compared to the second quarter of 2000. Taxes other than
income decreased approximately $175,000, or 15.5%, during the second quarter of
2001 as compared to the same period in 2000. This decrease was primarily
attributable to reduced property tax expenses in the second quarter of 2001 as
compared to the second quarter of 2000 resulting from settlement agreements made
in 1999 with certain towns to reduce the assessed value of the Seabrook Project.

         In the second quarter of 2001, Great Bay recorded unrealized gains on
firm forward energy contracts of $7,006,000 as compared to unrealized losses on
firm forward energy contracts of $2,913,000 in the second quarter of 2000. The
unrealized gain in the second quarter of 2001 as compared to the unrealized loss
for the same period in 2000 was due in part to Great Bay committing to sell less
power under firm forward contracts as of June 30, 2001 as compared to June 30,
2000. In addition, forward power prices in the Northeast decreased during the
second quarter of 2001 as compared to the second quarter of 2000 resulting in a
mark to market gain for Great Bay's forward sales. In December 1998, the
Emerging Issues Task Force reached consensus on Issue No. 98-10. EITF 98-10
requires energy-trading contracts to be recorded at fair market value on the
balance sheet, with the changes in fair value included in earnings.

         Interest income decreased approximately $70,000 primarily due to
interest earned on lower cash balances during the second quarter of 2001 as
compared to cash balances during the second quarter of 2000. Decommissioning
cost accretion decreased $93,000, or 10.2%, and decommissioning trust fund
income increased $70,000, or 20.7%, in the second quarter of 2001 as compared to
the same period in 2000. This accretion is a non-cash charge that reflects Great
Bay's liability related to the closure and decommissioning of the Seabrook
Project in current year dollars over the period during which the Seabrook
Project is licensed to operate. In the second quarter of 2001, the Company had
other income of approximately $4,000 as compared to other income of
approximately $278,000 in the second quarter of 2000. In the second quarter of
2000, Seabrook utilized certain equipment from Unit 2 that was previously
written off resulting in recognition of other income to the Company.

         Equity loss in HoustonStreet was zero in the second quarter of 2001 as
compared to approximately $9,679,000 in the second quarter of 2000. During the
quarter ended June 30, 2000, the Company had a majority ownership interest in
HoustonStreet and recorded an equity loss in HoustonStreet of approximately
$9,679,000 for that period. In December 2000, the month in which BayCorp's
equity interest in HoustonStreet first dropped below 50%, the Company
deconsolidated HoustonStreet, started accounting for this investment on the
equity method and suspended recognition of


                                       14

<PAGE>   15
                             BAYCORP HOLDINGS, LTD.


additional HoustonStreet losses as of that date. As such, no losses were
recorded for the second quarter ended June 30, 2001. Prior year financial
statements are presented in accordance with the equity method.

Net Income (Loss)

         As a result of the above factors, during the second quarter of 2001,
the Company recorded net income of $13,543,000, or approximately $1.63 per basic
share and $1.57 per diluted share, as compared to a net loss of approximately
$9,821,000, or $1.19 per basic and diluted share, during the second quarter of
2000.

Results of Operations: First Six Months of 2001 Compared to the First Six Months
of 2000

Operating Revenues

         BayCorp's operating revenues increased by approximately $9,099,000, or
30.7%, to $38,737,000 in the first six months of 2001 as compared to $29,638,000
in the first six months of 2000. The increase in operating revenues was
attributable to several factors. Sales of electricity increased by approximately
7.2% to 872,431,000 kWhs in the first six months of 2001 as compared to
813,827,000 kWhs in the first six months of 2000. The capacity factor at the
Seabrook Project was 75.1% for the six months ended June 30, 2001 as compared to
a capacity factor of 96.2% for the six months ended June 30, 2000. Though
Seabrook generation was lower in the first six months of 2001 due to unscheduled
outages for maintenance and repairs in the first quarter of 2001, the Company
purchased a significant amount of purchased power for resale. Purchased power
expenses for the six months ended June 30, 2001 were approximately $17,327,000
as compared to approximately $3,741,000 for the six months ended June 30, 2000.
The Company also realized higher selling prices in the first six months of 2001.
For the six months ended June 30, 2001, the average selling price increased 22%
to 4.44 cents per kWh as compared to an average sales price of 3.64 cents per
kWh for the same period in 2000.

Expenses

         Production and Transmission expenses decreased approximately $870,000,
or 7%, to $11,473,000 in the first six months of 2001 as compared to $12,343,00
in the first six months of 2000. This reduction was primarily attributable to a
reduction in miscellaneous operation costs at the Seabrook Project during the
first six months of 2001 as compared to the first six months of 2000. Purchased
power costs increased approximately $13,586,000 to $17,327,000 in the first six
months of 2001 as compared to $3,741,000 in the first six months of 2000. This
increase was primarily attributable to Great Bay's purchases of replacement
power to cover its firm contracts during the unscheduled outages in the first
quarter of 2001. The significantly lower capacity factor in the first quarter of
2001 as compared to the first quarter of 2000 made it necessary for Great Bay to
purchase more power to cover these contracts in the first quarter of 2001 as
compared to the first quarter of 2000. Administrative and general expenses
decreased approximately $302,000, or 8.7%, to $3,178,000 in the first six months
of 2001 as compared to $3,480,000 in the first six months of 2000. This decrease
was primarily attributable to decreased administrative and general expenses at
the Seabrook Project during the first six months of 2001 as compared to the
first six months of 2000. Taxes other than income decreased approximately
$326,000, or 14.6%, during the first six months of 2001 as compared to the same
period in 2000. This decrease was primarily attributable to reduced property tax
expenses in the first six months of 2001 as compared to the first six months of
2000 resulting from settlement agreements made in 1999 with certain towns to
reduce the assessed value of the Seabrook Project.


                                       15
<PAGE>   16
                             BAYCORP HOLDINGS, LTD.


         In the first six months of 2001, Great Bay recorded unrealized gains on
firm forward energy contracts of $13,320,000 as compared to unrealized losses on
firm forward energy contracts of $7,043,000 in the first six months of 2000. The
unrealized gain in the first six months of 2001 as compared to the unrealized
loss for the same period in 2000 was due in part to Great Bay committing to sell
less power under firm forward contracts as of June 30, 2001 as compared to June
30, 2000. In addition, forward power prices in the Northeast decreased during
the first six months of 2001 as compared to the first six months in 2000
resulting in a mark to market gain for Great Bay's forward sales.

         Decommissioning cost accretion decreased $186,000, or 10.2%, and
decommissioning trust fund income increased $127,000, or 20.1%, in the first six
months of 2001 as compared to the same period in 2000. This accretion is a
non-cash charge that reflects Great Bay's liability related to the closure and
decommissioning of the Seabrook Project in current year dollars over the
licensing period during which the Seabrook Project is licensed to operate. The
Company had other deductions of approximately $58,000 for the first six months
of 2001 as compared to other income of approximately $514,000 for the first six
months of 2000. In the first six months of 2000, Seabrook utilized certain
equipment from Unit 2 that was previously written off resulting in recognition
of income to the Company.

         Equity loss in HoustonStreet was $450,000 in the first six months of
2001 as compared to approximately $12,076,000 in the first six months of 2000.
During the first six months ended June 30, 2000, the Company had a majority
ownership interest in HoustonStreet and recorded an equity loss in HoustonStreet
of approximately $12,076,000 for that period. In December 2000, the month in
which BayCorp's equity interest in HoustonStreet first dropped below 50%, the
Company deconsolidated HoustonStreet, started accounting for this investment on
the equity method and suspended recognition of additional HoustonStreet
operating losses as of that date. As such, no operating losses were recorded for
the six months ended June 30, 2001. During the six months ended June 30, 2001,
BayCorp invested $450,000 in HoustonStreet and recorded this as an equity loss
in HoustonStreet for the period. Prior year financial statements are presented
in accordance with the equity method.

Net Loss

         As a result of the above factors, during the first six months of 2001,
the Company recorded net income of $15,116,000, or approximately $1.81 per basic
share and $1.76 per diluted share, as compared to a net loss of approximately
$13,631,000, or $1.65 per basic and diluted share, during the first six months
of 2000.

Liquidity and Capital Resources

           As of June 30, 2001, BayCorp's cash position was approximately
$12,865,000 in cash, cash equivalents and restricted cash. BayCorp's cash
generation for the six months ended June 30, 2001 was less than the ongoing cash
requirements of the Company during this period primarily due to the unscheduled
outages at the Seabrook Project during the first quarter of 2001. The Company
may continue to incur cash deficits. The Company believes that its current cash,
together with the anticipated proceeds from the sale of electricity by Great Bay
and Little Bay, will be sufficient to enable the Company to meet its future cash
requirements. However, if the Seabrook Project operates at a capacity factor
below historical levels, or if expenses associated with the ownership or
operation of the Seabrook Project, including without limitation decommissioning
costs, are materially higher than anticipated, or if the prices at which Great
Bay is able to sell its share of the Seabrook Project electricity decrease from
current levels, BayCorp or Great Bay would be required to raise additional
capital, either through a debt


                                       16
<PAGE>   17
                             BAYCORP HOLDINGS, LTD.


financing or an equity financing, to meet ongoing cash requirements.
Nonetheless, there can be no assurance that BayCorp or Great Bay will be able to
raise additional capital on acceptable terms or at all.

         BayCorp's cash and short-term investments decreased approximately
$1,244,000 during the first six months of 2001. The Company had net income of
approximately $15,116,000. This net income included a non-cash gain of
approximately $13,320,000 for the unrealized gain on firm forward energy trading
contracts. In addition, during the first six months of 2001 there were cash
expenditures of approximately $752,000 for capital additions, $126,000 for
nuclear fuel additions and $1,308,000 for decommissioning fund payments. Other
cash items included an increase in accounts receivable of approximately
$3,024,000 due to increased sales in June 2001 as compared to sales in December
2000 when there was an outage at the Seabrook Project. An increase of
approximately $1,435,000 in prepaids and other assets was primarily attributable
to an increase in the prepaid amount to Seabrook used to fund Seabrook operating
expenses. This increase resulted from timing differences between Seabrook
funding schedules and actual expenses incurred, which often occurs during
unscheduled outage periods. A decrease in accounts payable of approximately
$6,722,000 was primarily attributable to payments made in the first quarter of
2001 for purchased power that was included in the December 31, 2000 accounts
payable balance. Offsetting these cash expenditures were non-cash charges to
income of approximately $1,845,000 for depreciation, $2,070,000 for nuclear fuel
amortization and $1,630,000 for decommissioning trust fund accretion.

          In addition, there was an increase in miscellaneous current
liabilities of approximately $5,248,000 primarily attributable to prepayments to
Great Bay by Select Energy ("Select") totaling $7,000,000 during the first
quarter of 2001. On February 6, 2001, Great Bay executed a Purchase Power
Agreement with Select whereby Great Bay will sell 50 MWs of energy associated
with the Seabrook Project to Select in exchange for 25 MWs of energy associated
with Millstone Unit 2 and 25 MWs of energy associated with Millstone Unit 3.
Millstone is a nuclear power plant in Connecticut. As part of the agreement,
Select made prepayments to Great Bay of $3,700,000 in February 2001 and
$3,300,000 in March 2001. Great Bay compensated Select for the prepayments by
(i) paying 12% annual interest for the period from February 6, 2001 through
March 31, 2001 and (ii) giving Select a price differential for the power being
exchanged until such time as the Select prepayment has been repaid. The Select
prepayment was repaid in full in July 2001.

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

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

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


                                       17
<PAGE>   18
                             BAYCORP HOLDINGS, LTD.



Discussion and Analysis of Financial Condition and Results of Operation -
Certain Factors That May Affect Future Results, which are incorporated by
reference herein.

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

Credit Price Risk

         The prices of electricity are subject to fluctuations resulting from
changes in supply and demand. Great Bay sells a portion of its physical
electricity output through forward, fixed price power contracts, see Item 2.
Management's Discussion and Analysis of Financial Condition and Results of
Operations. The net carrying and fair value for replacing such contracts as of
June 30, 2001 would have resulted in a gain of $440,300.


PART II - OTHER INFORMATION

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

         The Company held its Annual Meeting of Stockholders on May 2, 2001.
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 following matters were
voted on:

     1.   Seven members were elected to the Board of Directors to serve until
          the next Annual Meeting of Stockholders of the Company and until their
          successors are duly elected and qualified. The following table sets
          forth the number of votes cast for and withheld for each nominee for
          Director.

<TABLE>
<CAPTION>
                 Name                 For                     Withheld
<S>                                <C>                         <C>
Alexander Ellis                    7,033,002                   30,816
Stanley I. Garnett                 7,033,002                   30,816
Frank W. Getman Jr.                7,033,002                   30,816
James S. Gordon                    7,033,002                   30,816
Michael R. Latina                  7,033,002                   30,816
Lawrence M. Robbins                7,033,002                   30,816
John A. Tillinghast                7,033,002                   30,816
</TABLE>

     2.   The stockholders of the Company ratified the selection by the Board of
          Directors of Arthur Andersen LLP as the Company's independent public
          accountants for the current fiscal year by a vote of 7,054,162 votes
          in favor, 9,100 votes against and 556 shares 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, 2001.


                                       18
<PAGE>   19
                             BAYCORP HOLDINGS, LTD.



                                    SIGNATURE

     Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.




                                             BAYCORP HOLDINGS, LTD.


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






                                       19
<PAGE>   20
                             BAYCORP HOLDINGS, LTD.



                                  EXHIBIT INDEX


Exhibit No.    Description




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



                                       20