|UNITED STATESSECURITIES AND EXCHANGE
      COMMISSIONWashington, D.C. 20549
|---------------------------------------------------------------------------

FORM 10-Q

[X]
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the
      Securities Exchange Act of 1934For the quarterly period ended March 31,
    2006[  ]
    
    Transition Report Pursuant to Section 13 or 15(d) of the
      Securities Exchange Act of 1934


For the transition period from _________ to _____________

Commission File No. 000-50258



|Belrose Capital Fund LLC(Exact name of
      registrant as specified in its charter)
|------------------------------------------------------------------------------------

Delaware
    
    04-3613468(State of
      organization)
    
    (I.R.S.
      Employer Identification No.)The Eaton Vance Building255 State
      StreetBoston,
      Massachusetts
    
    02109(Address of
      principal executive offices)
    
    (Zip
    Code)Registrants telephone number:
    
    617-482-8260




|None(Former name, former address and
      former fiscal year, if changed since last
report)
|--------------------------------------------------------------------------------------------

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 (the Act) 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 is a large
accelerated filer, an accelerated filer or a non-accelerated filer (as defined
in Rule 12b-2 of the Act).  Large Accelerated Filer
[X]     Accelerated Filer   [  
]     Non-Accelerated Filer  
[   ]

Indicate by check mark whether the Registrant is a shell company
(as defined in Rule 12b-2 of the Act).  Yes [  
]     No [X]



|Belrose Capital Fund
      LLCIndex to Form
10-Q
|------------------------------------------------

PART I.
    
    FINANCIAL INFORMATION
    
    PageItem
    
    1.
    
    Financial StatementsCondensed Consolidated Statements of Assets
      and Liabilities as ofMarch 31, 2006 (Unaudited) and December 31,
      2005
    
    3Condensed Consolidated Statements of
      Operations (Unaudited) for theThree Months Ended March 31, 2006 and
      2005
    
    4Condensed Consolidated Statements of
      Changes in Net Assets for theThree Months Ended March 31, 2006
      (Unaudited) and the Year EndedDecember 31, 2005
    
    6Condensed Consolidated Statements of Cash
      Flows (Unaudited) for theThree Months Ended March 31, 2006 and
      2005
    
    7Financial Highlights for the Three Months
      Ended March 31, 2006(Unaudited) and the Year Ended December 31,
      2005
    
    9Notes to Condensed Consolidated Financial
      Statements as ofMarch 31, 2006 (Unaudited)
    
    10Item
    
    2.
    
    Managements Discussion and Analysis of
      Financial Condition (MD&A)and Results of Operations
    
    17Item
    
    3.
    
    Quantitative and Qualitative Disclosures
      About Market Risk
    
    20Item
    
    4.
    
    Controls and Procedures
    
    22PART II.
    
    OTHER INFORMATIONItem
    
    1.
    
    Legal Proceedings
    
    23Item
    
    1A.
    
    Risk Factors
    
    23Item
    
    2.
    
    Unregistered Sales of Equity Securities and
      Use of Proceeds
    
    23Item
    
    3.
    
    Defaults Upon Senior
      Securities
    
    23Item
    
    4.
    
    Submission of Matters to a Vote of Security
      Holders
    
    23Item
    
    5.
    
    Other Information
    
    23Item
    
    6.
    
    Exhibits
    
    24SIGNATURES
    
    25EXHIBIT INDEX
    
    26




|PART I. FINANCIAL INFORMATIONItem 1. Financial
      Statements.BELROSE CAPITAL FUND LLCCondensed
      Consolidated Statements of Assets and Liabilities
|---------------------------------------------------------------------------------------------------------------------------------------------------------

|                                                                           |  | March 31, 2006 |  |                   |  |  
|-------------------------------------------------------------------------- |  | -------------- |  | ----------------- |  | -
|                                                                           |  | (Unaudited)    |  | December 31, 2005
|                                                                           |  |                |  |                  
|Assets:                                                                    |  |                |  |                   |  |  
|Investment in Belvedere Capital Fund Company LLC                           |  |                |  |                   |  |  
|(Belvedere Company)                                                        |  | $              |  | 1,837,715,170     |  | $
|Investment in Partnership Preference Units                                 |  |                |  | 190,411,871       |  |  
|Investment in other real estate                                            |  |                |  | 396,731,225       |  |  
|Short-term investments                                                     |  |                |  | 10,951,000        |  |  
|                                                                           |  |                |  |                  
|Total
      investments                                                    |  | $              |  | 2,435,809,266     |  | $
|Cash                                                                       |  |                |  | 7,031,823         |  |  
|Escrow deposits  restricted                                               |  |                |  | 2,216,314         |  |  
|Open interest rate swap agreements, at value                               |  |                |  | 9,019,420         |  |  
|Distributions and interest receivable                                      |  |                |  | 286,057           |  |  
|Swap interest receivable                                                   |  |                |  | -                 |  |  
|Other assets                                                               |  |                |  | 4,619,212         |  |  
|                                                                           |  |                |  |                  
|Total
      assets                                                         |  | $              |  | 2,458,982,092     |  | $
|                                                                           |  |                |  |                  
|Liabilities:                                                               |  |                |  |                   |  |  
|Loan payable  Credit Facility                                             |  | $              |  | 365,500,000       |  | $
|Mortgages payable                                                          |  |                |  | 245,388,000       |  |  
|Payable for Fund Shares redeemed                                           |  |                |  | 1,500,000         |  |  
|Payable to affiliate for investment advisory and administrative
      fees |  |                |  | 379,829           |  |  
|Payable to affiliate for distribution and servicing fees                   |  |                |  | 573,359           |  |  
|Note payable to minority shareholder                                       |  |                |  | 1,143,040         |  |  
|Security deposits                                                          |  |                |  | 1,067,586         |  |  
|Accrued expenses:                                                          |  |                |  |                   |  |  
|Swap interest expense                                                      |  |                |  | 451,470           |  |  
|Interest expense                                                           |  |                |  | 1,614,914         |  |  
|Property taxes                                                             |  |                |  | 1,709,777         |  |  
|Other expenses and liabilities                                             |  |                |  | 1,894,796         |  |  
|Minority interests in controlled subsidiaries                              |  |                |  | 40,580,647        |  |  
|                                                                           |  |                |  |                  
|Total
      liabilities                                                    |  | $              |  | 661,803,418       |  | $
|                                                                           |  |                |  |                  
|Net
      assets                                                           |  | $              |  | 1,797,178,674     |  | $
|                                                                           |  |                |  |                  
|Shareholders
      Capital                                                |  | $              |  | 1,797,178,674     |  | $
|                                                                           |  |                |  |                  
|Shares
      outstanding                                                   |  |                |  | 16,042,586        |  |  
|                                                                           |  |                |  |                  
|Net asset value
      and redemption price per Share                       |  | $              |  | 112.03            |  | $
|                                                                           |  |                |  |                  

See notes to unaudited condensed consolidated financial
statements

3

|BELROSE CAPITAL FUND LLC                                          |  |                   
|----------------------------------------------------------------- |  | ------------------
|Condensed Consolidated Statements of
      Operations (Unaudited) |  |                   
|                                                                  |  |                   
|                                                                  |  |                   
|                                                                  |  | Three Months Ended
|                                                                  |  |                   
|                                                                  |  | March 31, 2006    
|                                                                  |  |                   
|Investment Income:                                                |  |                   
|Dividends allocated from Belvedere
      Company                  |  |                   
|(net of foreign taxes, $46,731 and                                |  |                   
|$68,064, respectively)                                            |  | $                 
|Interest allocated from Belvedere Company                         |  |                   
|Expenses allocated from Belvedere Company                         |  |                   
|                                                                  |  |                   
|Net investment income allocated from                              |  |                   
|Belvedere Company                                                 |  | $                 
|Rental income                                                     |  |                   
|Distributions from Partnership Preference
      Units             |  |                   
|Interest                                                          |  |                   
|                                                                  |  |                   
|Total investment income                                           |  | $                 
|                                                                  |  |                   
|Expenses:                                                         |  |                   
|Investment advisory and administrative
      fees                 |  | $                 
|Property management and administrative
      fees                 |  |                   
|Distribution and servicing fees                                   |  |                   
|Interest expense on mortgages                                     |  |                   
|Interest expense on Credit Facility                               |  |                   
|Property and maintenance expenses                                 |  |                   
|Property taxes and insurance                                      |  |                   
|Miscellaneous                                                     |  |                   
|                                                                  |  |                   
|Total expenses                                                    |  | $                 
|Deduct-                                                           |  |                   
|Reduction of investment advisory                                  |  |                   
|and administrative fees                                           |  |                   
|                                                                  |  |                   
|Net expenses                                                      |  | $                 
|                                                                  |  |                   
|Net investment income before                                      |  |                   
|minority interests in net income of                               |  |                   
|controlled subsidiaries                                           |  | $                 
|Minority interests in net income                                  |  |                   
|of controlled subsidiaries                                        |  |                   
|                                                                  |  |                   
|Net investment income                                             |  | $                 
|                                                                  |  |                   

See notes to unaudited condensed consolidated
financial statements

4



|
|



|BELROSE CAPITAL FUND LLCCondensed Consolidated Statements of Operations (Unaudited)
      (Continued)
|-----------------------------------------------------------------------------------------------------

|                                                          |  | Three Months Ended
|--------------------------------------------------------- |  | ------------------
|                                                          |  |                   
|                                                          |  | March 31, 2006    
|                                                          |  |                   
|Realized and Unrealized Gain (Loss)                       |  |                   
|Net realized gain (loss) -                                |  |                   
|Investment transactions, securities sold short and        |  |                   
|foreign currency transactions allocated
      from        |  |                   
|Belvedere Company (identified cost basis)                 |  | $                 
|Investment transactions in Partnership                    |  |                   
|Preference Units (identified cost basis)                  |  |                   
|Investment transactions in other real estate              |  |                   
|(net of minority interest in realized gain
      of       |  |                   
|controlled subsidiary of                                  |  |                   
|$1,456 and $0, respectively)                              |  |                   
|Interest rate swap agreements (1)                         |  |                   
|                                                          |  |                   
|Net realized gain (loss)                                  |  | $                 
|                                                          |  |                   
|Change in unrealized appreciation (depreciation) -        |  |                   
|Investments, securities sold short and
      foreign      |  |                   
|currency allocated from Belvedere
      Company           |  |                   
|(identified cost basis)                                   |  | $                 
|Investments in Partnership Preference
      Units         |  |                   
|(identified cost basis)                                   |  |                   
|Investments in other real estate (net of
      minority   |  |                   
|interests in unrealized appreciation
      (depreciation) |  |                   
|of controlled subsidiaries
      of                       |  |                   
|$2,268,059 and $6,754,025,
      respectively)            |  |                   
|Interest rate swap agreements                             |  |                   
|                                                          |  |                   
|Net change in unrealized appreciation (depreciation)      |  | $                 
|                                                          |  |                   
|Net realized and unrealized gain (loss)                   |  | $                 
|                                                          |  |                   
|Net increase (decrease) in net assets from operations     |  | $                 
|                                                          |  |                   

(1) Amounts represent interest earned (incurred) in
connection with interest rate swap agreements (Note 5).

See notes to unaudited condensed consolidated
financial statements

5



|BELROSE CAPITAL FUND LLCCondensed Consolidated Statements of Changes in Net Assets
|----------------------------------------------------------------------------------

|                                                                             |  | Three Months Ended
|---------------------------------------------------------------------------- |  | ------------------
|                                                                             |  | March 31, 2006    
|                                                                             |  | (Unaudited)       
|                                                                             |  |                   
|Increase (Decrease) in Net Assets:                                           |  |                   
|From operations -                                                            |  |                   
|Net investment income                                                        |  | $                 
|Net realized gain from investment transactions,
      securities sold        |  |                   
|short, foreign currency transactions and
      interest rate swap agreements |  |                   
|Net change in unrealized appreciation (depreciation)
      of                |  |                   
|investments, securities sold short, foreign
      currency and interest      |  |                   
|rate swap agreements                                                         |  |                   
|                                                                             |  |                   
|Net increase in net assets from operations                                   |  | $                 
|                                                                             |  |                   
|Transactions in Fund Shares -                                                |  |                   
|Net asset value of Fund Shares issued to Shareholders
      in               |  |                   
|payment of distributions declared                                            |  | $                 
|Net asset value of Fund Shares redeemed                                      |  |                   
|                                                                             |  |                   
|Net decrease in net assets from Fund Share
      transactions                |  | $                 
|                                                                             |  |                   
|Distributions -                                                              |  |                   
|Distributions to Shareholders                                                |  | $                 
|                                                                             |  |                   
|Total distributions                                                          |  | $                 
|                                                                             |  |                   
|Net increase in net assets                                                   |  | $                 
|Net assets:                                                                  |  |                   
|At beginning of period                                                       |  | $                 
|                                                                             |  |                   
|At end of period                                                             |  | $                 
|                                                                             |  |                   

See notes to unaudited condensed consolidated
financial statements

6



|BELROSE CAPITAL FUND LLCCondensed Consolidated Statements of Cash Flows
      (Unaudited)
|-----------------------------------------------------------------------------------------

|                                                                                     |  | Three Months Ended          
|------------------------------------------------------------------------------------ |  | ----------------------------
|                                                                                     |  |                             
|                                                                                     |  | March 31, 2006              
|                                                                                     |  |                             
|Cash Flows From (For) Operating Activities                                          |  |                             
|Net increase (decrease) in net assets from operations                                |  | $                           
|Adjustments to reconcile net increase (decrease) in net assets
      from operations |  |                             
|to net cash flows from (for) operating activities
                                  |  |                             
|Net investment income allocated from Belvedere
      Company                         |  |                             
|(Increase) decrease in escrow deposits                                               |  |                             
|Decrease in interest receivable for open swap
      agreements                       |  |                             
|Increase in interest payable for open swap
      agreements                          |  |                             
|(Increase) decrease in distributions and interest
      receivable                   |  |                             
|Decrease in other assets                                                             |  |                             
|Increase in payable to affiliate for investment
      advisory and                   |  |                             
|administrative fees                                                                  |  |                             
|Increase in payable to affiliate for distribution and
      servicing fees           |  |                             
|Increase (decrease) in security deposits,
      accrued interest and accrued         |  |                             
|other expenses and
      liabilities                                                 |  |                             
|Increase (decrease) in accrued property
      taxes                                  |  |                             
|Purchases of Partnership Preference Units                                            |  | (10,186,559)                
|Proceeds from sales of Partnership Preference
      Units                            |  |                             
|Proceeds from sale of other real estate                                              |  |                             
|Improvements to rental property                                                      |  |                             
|Increase in short-term investments                                                   |  |                             
|Interest earned (incurred) on interest rate swap
      agreements                    |  |                             
|Minority interests in net income of controlled
      subsidiaries                    |  |                             
|Net realized (gain) loss from investment
      transactions, securities sold short,  |  |                             
|foreign currency transactions and
      interest rate swap agreements                |  | (16,113,170)                
|Net change in unrealized (appreciation) depreciation
      of investments,           |  |                             
|securities sold short, foreign
      currency and interest rate                      |  |                             
|swap agreements                                                                      |  | (60,871,983)                
|                                                                                     |  |                             
|Net cash flows from (for) operating activities                                       |  | $                           
|                                                                                     |  |                             
|Cash Flows From (For) Financing Activities                                          |  |                             
|Proceeds from Credit Facility                                                        |  | $                           
|Repayments of Credit Facility                                                        |  | (28,000,000)                
|Proceeds from mortgages                                                              |  |                             
|Repayment of note payable to minority
      shareholder                              |  | (19,644,984)                
|Issuance of real estate joint venture preferred
      shares                         |  |                             
|Payments for Fund Shares redeemed                                                    |  |                             
|Distributions paid to Shareholders                                                   |  | (11,817,747)                
|Capital contributed by minority
      shareholder                                    |  |                             
|                                                                                     |  |                             
|Net cash flows from (for) financing activities                                       |  | $       
       (54,310,990)
|                                                                                     |  |                             
|Net increase (decrease) in cash                                                      |  | $        
      (44,239,980)
|Cash at beginning of period                                                          |  | $                           
|                                                                                     |  |                             
|Cash at end of period                                                                |  | $                           
|                                                                                     |  |                             



|See notes to unaudited condensed
      consolidated financial statements
|------------------------------------------------------------------------

7



|BELROSE CAPITAL FUND LLCCondensed Consolidated Statements of Cash Flows (Unaudited)
      (Continued)
|-----------------------------------------------------------------------------------------------------

|                                                           |  | Three Months Ended
|---------------------------------------------------------- |  | ------------------
|                                                           |  |                   
|                                                           |  | March 31, 2006    
|                                                           |  |                   
|Supplemental Disclosure and Non-cash Investing and         |  |                   
|Financing Activities                                      |  |                   
|Interest paid on loan  Credit
      Facility              |  | $                 
|Interest paid on mortgages                                 |  | $                 
|Interest paid (received) on swap
      agreements          |  | $                 
|Market value of securities distributed
      in payment of |  |                   
|redemptions                                                |  | $                 

See notes to unaudited condensed consolidated
financial statements

8



| | BELROSE CAPITAL FUND LLC Condensed Consolidated
      Financial Statements (Continued)
| | --------------------------------------------------------------------------------------

|Financial
      Highlights                  |  | Three
      Months Ended
|------------------------------------------- |  | ------------------------
|                                            |  | March 31, 2006          
|                                            |  | (Unaudited)             
|                                           
|Net
      asset value  Beginning of period |  | $                       
|                                           
|Income (loss) from operations               |  |                         
|                                           
|Net investment
      income (1)             |  | $                       
|Net realized
      and unrealized gain      |  |                         
|                                           
|Total
      income from operations          |  | $                       
|                                           
|Distributions                               |  |                         
|                                           
|Distributions
      to Shareholders         |  | $                       
|                                           
|Total
      distributions                   |  | $                       
|                                           
|Net asset
      value  End of period       |  | $                       
|                                           
|Total
      Return (2)                      |  |                         
|                                           

|Ratios as a percentage of average net assets
    (3)                     |  |                 |  |            |  |             |  | 
|------------------------------------------------------------------------ |  | --------------- |  | ---------- |  | ----------- |  | 
|                                                                        
|Expenses of Consolidated Real Property
    Subsidiaries                  |  |                 |  |            |  |             |  | 
|Interest and other borrowing costs 
    (4)                              |  | 0.65%  (9)      |  | 1.00%      |  |            
|Operating expenses (4)                                                   |  | 0.65%  (9)      |  | 1.11%      |  |            
|Belrose Capital Fund LLC Expenses                                        |  |                 |  |            |  |             |  | 
|Interest and other borrowing costs 
      (5)(6)                         |  | 1.07%  (9)      |  | 0.62%      |  |            
|Investment advisory and administrative fees,
      distribution and      |  |                 |  |            |  |             |  | 
|servicing fees and other Fund
      operating expenses (5)(7)            |  | 1.11%  (9)      |  | 1.13%      |  |            
|                                                                         |  |                
|Total
    expenses                                                       |  |                 |  | 3.48%  (9) |  | 3.86%       |  | 
|Net investment
      income                                              |  |                 |  | 0.87%  (9) |  | 0.97%       |  | 
|                                                                        
|Ratios as a percentage of average gross assets
      (3)(8)              |  |                 |  |            |  |             |  | 
|                                                                        
|Expenses of Consolidated Real Property
    Subsidiaries                  |  |                 |  |            |  |             |  | 
|Interest and other borrowing costs 
    (4)                              |  | 0.48%  (9)      |  | 0.75%      |  |            
|Operating expenses (4)                                                   |  |                 |  | 0.49%  (9) |  | 0.84%       |  | 
|Belrose Capital Fund LLC Expenses                                        |  |                 |  |            |  |             |  | 
|Interest and other borrowing costs 
      (5)(6)                         |  | 0.79%  (9)      |  | 0.46%      |  |            
|Investment advisory and administrative fees,
      distribution and      |  |                 |  |            |  |             |  | 
|servicing fees and other Fund
      operating expenses (5)(7)            |  | 0.83%  (9)      |  | 0.85%      |  |            
|                                                                         |  |                
|Total
    expenses                                                       |  |                 |  | 2.59%  (9) |  | 2.90%       |  | 
|Net investment
      income                                              |  |                 |  | 0.65%  (9) |  | 0.73%       |  | 
|                                                                        
|Supplemental
      Data                                                  |  |                 |  |            |  |             |  | 
|                                                                        
|Net
      assets, end of period (000s omitted)                          |  | $
    1,797,179 |  |            |  | $ 1,753,010 |  | 
|Portfolio turnover of Tax-Managed Growth Portfolio (the
      Portfolio) |  | 0%              |  |            |  | 0%  (10)   
|                                                                        

|(1)  | Calculated using average shares outstanding.                                                                                                                                                                                                                                                                                                                                                                                                                                                                   
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|    
|(2)  | Returns are calculated by determining the percentage
      change in net asset value with all distributions reinvested. Total return
      is not computed on an annualized basis.                                                                                                                                                                                                                                                                                                                             
|    
|(3)  | For the purpose of calculating ratios, the income and
      expenses of Belrose Realty Corporations (Belrose Realty) controlled
      subsidiaries are reduced by the proportionate interest therein of
      investors other than Belrose Realty.                                                                                                                                                                                                                                                            
|    
|(4)  | Includes Belrose Realty's proportional share of expenses
      incurred by its controlled subsidiaries.                                                                                                                                                                                                                                                                                                                                                                                                        
|    
|(5)  | Includes the expenses of Belrose Capital Fund LLC
      (Belrose Capital) and Belrose Realty. Does not include expenses of Belrose
      Realty's controlled subsidiaries.                                                                                                                                                                                                                                                                                                                                     
|    
|(6)  | Ratios do not include interest incurred in connection
      with interest rate swap agreements, if any. Had such amounts been
      included, ratios would be higher.                                                                                                                                                                                                                                                                                                                                          
|    
|(7)  | Includes Belrose Capital's share of Belvedere Capital
      Fund Company LLC's (Belvedere Company) allocated expenses, including those
      expenses allocated from the Portfolio.                                                                                                                                                                                                                                                                                                                            
|    
|(8)  | Average gross assets is defined as the average daily
      amount of all assets of Belrose Capital (including Belrose Capital's
      interest in Belvedere Company and Belrose Capital's ratable share of the
      assets of its directly and indirectly controlled subsidiaries), without
      reduction by any liabilities. For this purpose, the assets of Belrose
      Realty's controlled subsidiaries are reduced by the proportionate interest
      therein of investors other than Belrose Realty.
|    
|(9)  | Annualized.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|    
|(10) | Amounts to less than 1%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|    



|See notes to unaudited condensed consolidated
      financial statements9
|-------------------------------------------------------------------------



|BELROSE CAPITAL FUND LLCas of March 31, 2006Notes to Condensed
      Consolidated Financial Statements
(Unaudited)
|------------------------------------------------------------------------------------------------------------------



|1 Basis of
Presentation
|-----------------------

The condensed consolidated interim financial
statements of Belrose Capital Fund LLC (Belrose Capital) and its subsidiaries
(collectively, the Fund) have been prepared, without audit, in accordance with
accounting principles generally accepted in the United States of America (GAAP)
for interim financial information and with the instructions to Form 10-Q and
Article 10 of Regulation S-X. Accordingly, certain information and footnote
disclosures normally included in annual financial statements prepared in
accordance with GAAP have been condensed or omitted as permitted by such rules
and regulations. All adjustments, consisting of normal recurring adjustments,
have been included. Management believes that the disclosures are adequate to
present fairly the financial position, results of operations, cash flows and
financial highlights as of the dates and for the periods presented. It is
suggested that these interim financial statements be read in conjunction with
the financial statements and the notes thereto included in the Funds latest
annual report on Form 10-K. Results for interim periods are not necessarily
indicative of those to be expected for the full fiscal year.

The balance sheet at December 31, 2005 and the
statement of changes in net assets and the financial highlights for the year
then ended have been derived from the December 31, 2005 audited financial
statements but do not include all of the information and footnotes required by
GAAP for complete financial statements as permitted by the instructions to Form
10-Q and Article 10 of Regulation S-X.

Certain amounts in the prior periods condensed
consolidated financial statements have been reclassified to conform with the
current period presentation.



|2 Estate
Freeze
|---------------

Shareholders in Belrose Capital are entitled to
restructure their Fund Share interests under what is termed an Estate Freeze
Election. Under this election, Fund Shares are divided into Preferred Shares and
Common Shares. Preferred Shares have a preferential right over the corresponding
Common Shares equal to (i) 95% of the original capital contribution made in
respect of the undivided Shares from which the Preferred Shares and Common
Shares were derived, plus (ii) an annuity priority return equal to 7.75% of the
Preferred Shares preferential interest in the original capital contribution of
the undivided Fund Shares. The associated Common Shares are entitled to the
remaining 5% of the original capital contribution in respect of the undivided
Shares, plus any returns thereon in excess of the fixed annual priority of the
Preferred Shares. The existence of restructured Fund Shares does not adversely
affect Shareholders who do not make an election nor do the restructured Fund
Shares have preferential rights to Fund Shares that have not been restructured.
Shareholders who subdivide Fund Shares under this election sacrifice certain
rights and privileges that they would otherwise have with respect to the Fund
Shares so divided, including redemption rights and voting and consent rights.
Upon the twentieth anniversary of the issuance of the associated undivided Fund
Shares to the original holders thereof, Preferred and Common Shares will
automatically convert into full and fractional undivided Fund Shares.

10

The allocation of Belrose Capitals net asset value
per Share of $112.03 and $108.30 as of March 31, 2006 and December 31, 2005,
respectively, between Preferred and Common shares that have been restructured is
as follows:

|                     |  | Per Share Value at
|-------------------- |  | ------------------
|                     |  |                   
|                     |  | March 31, 2006    
|                     |  |                   
|Date of Contribution |  | Preferred Shares  
|                    
|February 19, 2003    |  | $ 83.68           
|                    

3 Investment Transactions

The following table summarizes the Funds investment
transactions, other than short-term obligations, for the three months ended
March 31, 2006 and 2005:

|                                                                    |  | Three Months Ended
|------------------------------------------------------------------- |  | ------------------
|                                                                    |  |                   
|Investment Transactions                                             |  | March 31, 2006    
|                                                                   
|Decreases in investment in Belvedere Capital Fund Company
      LLC |  | $                 
|Purchases of Partnership Preference Units (1)                       |  | $                 
|Sales of Partnership Preference Units (2)                           |  | $                 
|Sale of other real estate                                           |  | $                 
|                                                                   

|(1) | Purchases of Partnership Preference Units
      during the three months ended March 31, 2006 represent Partnership
      Preference Units purchased from real estate investment affiliates of other
      investment funds advised by Boston Management and Research (Boston
      Management). There were no Partnership Preference Units purchased from
      real estate investment affiliates of other investment funds advised by
      Boston Management during the three months ended March 31, 2005.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) | Sales of Partnership Preference Units for
      the three months ended March 31, 2006 represent Partnership Preference
      Units sold to the real estate investment affiliates of other investment
      funds advised by Boston Management for which a gain of $5,114 was
      recognized.                                                                                                                                                                                                              
|   



|4 Indirect Investment in the
    Portfolio
|------------------------------------------

The following table summarizes the Funds investment
in Tax-Managed Growth Portfolio (the Portfolio) through Belvedere Capital Fund
Company LLC (Belvedere Company) for the three months ended March 31, 2006 and
2005, including allocations of income, expenses and net realized and unrealized
gains (losses) for the respective periods then ended:

11

|                                                                                   |  | Three Months Ended
|---------------------------------------------------------------------------------- |  | ------------------
|                                                                                   |  |                   
|                                                                                   |  | March 31, 2006    
|                                                                                  
|Belvedere Companys interest in the Portfolio (1)                                  |  | $                 
|The Funds investment in Belvedere Company (2)                                     |  | $                 
|Income allocated to Belvedere Company from the
      Portfolio                     |  | $                 
|Income allocated to the Fund from Belvedere Company                                |  | $                 
|Expenses allocated to Belvedere Company from the
      Portfolio                   |  | $                 
|Expenses allocated to the Fund from Belvedere Company                              |  | $                 
|Net realized gain (loss) from investment transactions, securities
      sold       |  |                   
|short and foreign currency transactions allocated to
      Belvedere               |  |                   
|Company from the Portfolio                                                         |  | $                 
|Net realized gain (loss) from investment transactions, securities
      sold short |  |                   
|and foreign currency transactions allocated to the
      Fund from                 |  |                   
|Belvedere Company                                                                  |  | $                 
|Net change in unrealized appreciation (depreciation) of
      investments,         |  |                   
|securities sold short and foreign currency allocated
      to Belvedere            |  |                   
|Company from the Portfolio                                                         |  | $                 
|Net change in unrealized appreciation (depreciation) of
      investments,         |  |                   
|securities sold short and foreign currency allocated
      to the Fund from        |  |                   
|Belvedere Company                                                                  |  | $                 
|                                                                                  

|(1) | As of March 31, 2006 and 2005, the value of
      Belvedere Companys interest in the Portfolio represents 71.4% and 67.7%
      of the Portfolios net assets, respectively.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) | As of March 31, 2006 and 2005, the Funds
      investment in Belvedere Company represents 13.2% and 13.6% of Belvedere
      Companys net assets, respectively.            
|   

A summary of the Portfolios Statement of Assets and
Liabilities at March 31, 2006, December 31, 2005 and March 31, 2005 and its
operations for the three months ended March 31, 2006, for the year ended
December 31, 2005 and for the three months ended March 31, 2005 follows:

|                                 |  | March 31, 2006 |  | December 31, 2005 |  | March 31, 2005
|-------------------------------- |  | -------------- |  | ----------------- |  | --------------
|                                 |  |               
|Investments, at value            |  | $              |  | 19,489,204,023    |  | $             
|Other assets                     |  |                |  | 82,793,817        |  |               
|                                
|Total assets                     |  | $              |  | 19,571,997,840    |  | $             
|                                
|Collateral for securities loaned |  | $              |  | 96,708,244        |  | $             
|Demand note payable              |  |                |  | 16,300,000        |  |               
|Management fee payable           |  |                |  | 6,942,089         |  |               
|Other liabilities                |  |                |  | 320,675           |  |               
|                                
|Total liabilities                |  | $              |  | 120,271,008       |  | $             
|                                
|Net assets                       |  | $              |  | 19,451,726,832    |  | $             
|                                

12

|                                         |  | March 31, 2006 |  | December 31, 2005 |  | March 31, 2005
|---------------------------------------- |  | -------------- |  | ----------------- |  | --------------
|                                        
|Dividends and interest                   |  | $              |  | 79,789,760        |  | $             
|                                        
|Investment adviser fee                   |  | $              |  | 20,700,926        |  | $             
|Other expenses                           |  |                |  | 370,255           |  |               
|Total expenses reductions                |  |                |  | -                 |  |               
|                                        
|Net expenses                             |  | $              |  | 21,071,181        |  | $             
|                                        
|Net investment income                    |  | $              |  | 58,718,579        |  | $             
|Net realized gain (loss) from investment |  |                |  |                   |  |               
|transactions, securities sold short and  |  |                |  |                   |  |               
|foreign currency transactions            |  |                |  | 444,361,395       |  |               
|Net change in unrealized appreciation    |  |                |  |                   |  |               
|(depreciation) of investments,           |  |                |  |                   |  |               
|securities sold short and foreign        |  |                |  |                   |  |               
|currency                                 |  |                |  | 563,623,384       |  |               
|                                        
|Net increase (decrease) in net assets    |  |                |  |                   |  |               
|from operations                          |  | $              |  | 1,066,703,358     |  | $             
|                                        



| | 5 Interest Rate Swap
  Agreements
| | ---------------------------------

Belrose Capital has entered into interest rate swap
agreements with Merrill Lynch Capital Services, Inc. to fix the cost of a
substantial portion of its borrowings under the Credit Facility used to acquire
equity in real estate investments. Under such agreements, Belrose Capital has
agreed to make periodic payments at fixed rates in exchange for payments at
floating rates. The notional or contractual amounts of these instruments may not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these investments is meaningful only when
considered in conjunction with all related assets, liabilities and agreements.
Interest rate swap agreements in place at March 31, 2006 and December 31, 2005
are listed below.

|          |  |          |  |        |  |               |  |             |  |             |  |                            |  |                   |  |   |  |          
|--------- |  | -------- |  | ------ |  | ------------- |  | ----------- |  | ----------- |  | -------------------------- |  | ----------------- |  | - |  | ---------
|          |  | Notional |  |        |  |               |  | Initial     |  |             |  | Unrealized Appreciation at
|          |  | Amount   |  |        |  |               |  | Optional    |  | Final       |  |                           
|Effective |  | (000s   |  | Fixed  |  | Floating      |  | Termination |  | Termination |  |                            |  |                   |  |   |  |          
|Date      |  | omitted) |  | Rate   |  | Rate          |  | Date        |  | Date        |  | March 31, 2006             |  | December 31, 2005
|          |  |          |  |        |  |               |  |             |  |             |  |                            |  |                  
|10/03     |  | $ 31,588 |  | 4.180% |  | LIBOR + 0.30% |  | 7/09        |  | 6/10        |  | $                          |  | 1,597,450         |  | $ |  | 1,209,537
|10/03     |  | 37,943   |  | 4.160% |  | LIBOR + 0.30% |  | 11/09       |  | 6/10        |  |                            |  | 1,930,838         |  |   |  | 1,449,351
|10/03     |  | 83,307   |  | 4.045% |  | LIBOR + 0.30% |  | -           |  | 6/10        |  |                            |  | 4,537,334         |  |   |  | 3,433,250
|          |  |          |  |        |  | 3 mo. LIBOR + |  |             |  |             |  |                            |  |                   |  |   |  |          
|06/04     |  | 40,000   |  | 4.875% |  | 0.00%         |  | -           |  | 6/12        |  |                            |  | 953,798           |  |   |  | 42,154   
|         
|          |  |          |  |        |  |               |  |             |  |             |  | $                          |  | 9,019,420         |  | $ |  | 6,134,292
|         

6 Debt

Mortgages  During March 2006, a mortgage note
payable in the amount of $6,538,000 was secured in relation to the substitution
of one of Katahdin Property Trust LLCs (Katahdin) properties, Champions Park.
The mortgage note provides for monthly payments of interest of $31,001, at a
fixed interest rate of 5.69%, with the entire balance due at the maturity date,
June 1, 2011.

13

Notes Payable  On December 14, 2005, Belrose
Capital and the Katahdin Minority Shareholder loaned $62,364,071 and
$20,788,024, respectively, to Katahdin. The notes bear interest on the
outstanding principal amount at the rate of 8.75% per annum. There is no
obligation to pay any principal or interest until maturity on December 14, 2006,
at which time the entire outstanding principal balance of the notes, plus all
accrued unpaid interest thereon is due and payable. In January and March 2006,
Katahdin paid Belrose Capital and the Katahdin Minority Shareholder an aggregate
amount of $58,934,951 and $19,644,984, respectively, of the principal amount
outstanding. As of March 31, 2006 the principal amount outstanding under the
notes due to Belrose Capital and the Katahdin Minority Shareholder is $3,429,120
and $1,143,040, respectively. All balances and transactions related to the notes
payable made by Belrose Capital have been eliminated through consolidation of
the financial statements.



|7 Segment
Information
|---------------------

Belrose Capital pursues its investment objective
primarily by investing indirectly in the Portfolio through Belvedere Company.
The Portfolio is a diversified investment company that emphasizes investments in
common stocks of domestic and foreign growth companies that are considered by
its investment adviser to be high in quality and attractive in their long-term
investment prospects. Separate from its investment in Belvedere Company, Belrose
Capital invests in real estate assets through its subsidiary, Belrose Realty
Corporation (Belrose Realty). Belrose Realty invests directly in Partnership
Preference Units and indirectly in real property through controlled
subsidiaries, Katahdin, Deerfield Property Trust (Deerfield) and formerly
invested in Bel Communities Property Trust (Bel Communities) (for the period
during which Belrose Realty maintained an interest in Bel
Communities).

Belrose Capital evaluates performance of the
reportable segments based on the net increase (decrease) in net assets from
operations of the respective segment, which includes net investment income
(loss), net realized gain (loss) and the net change in unrealized appreciation
(depreciation). The accounting policies of the reportable segments are the same
as those for Belrose Capital on a consolidated basis. No reportable segments
have been aggregated. Reportable information by segment is as follows:

|                                                     |  | Tax-Managed |  |            |  |       |  |             |  |  
|---------------------------------------------------- |  | ----------- |  | ---------- |  | ----- |  | ----------- |  | -
|For the Three Months Ended                           |  | Growth      |  | Real       |  |       |  |            
|March 31, 2006                                       |  | Portfolio*  |  | Estate     |  | Total
|                                                    
|Revenue                                              |  | $           |  | 4,864,182  |  | $     |  | 14,012,562  |  | $
|Interest expense on mortgages                        |  |             |  | -          |  |       |  | (3,996,453) |  |  
|Interest expense on Credit Facility                  |  |             |  | -          |  |       |  | (3,557,429) |  |  
|Operating expenses                                   |  |             |  | (399,713)  |  |       |  | (4,728,337) |  |  
|Minority interests in net income of controlled       |  |             |  |            |  |       |  |             |  |  
|subsidiaries                                         |  |             |  | -          |  |       |  | (527,539)   |  |  
|                                                    
|Net investment income                                |  | $           |  | 4,464,469  |  | $     |  | 1,202,804   |  | $
|Net realized gain                                    |  |             |  | 15,854,389 |  |       |  | 258,781     |  |  
|Net change in unrealized appreciation (depreciation) |  |             |  | 55,277,154 |  |       |  | 5,594,829   |  |  
|                                                    
|Net increase in net assets from operations
      of  |  |             |  |            |  |       |  |             |  |  
|reportable segments                                  |  | $           |  | 75,596,012 |  | $     |  | 7,056,414   |  | $
|                                                    

14

|                                                     |  | Tax-Managed |  |              |  |       |  |             |  |  
|---------------------------------------------------- |  | ----------- |  | ------------ |  | ----- |  | ----------- |  | -
|For the Three Months Ended                           |  | Growth      |  | Real         |  |       |  |            
|March 31, 2005                                       |  | Portfolio*  |  | Estate       |  | Total
|                                                    
|Revenue                                              |  | $           |  | 4,547,728    |  | $     |  | 16,373,091  |  | $
|Interest expense on mortgages                        |  |             |  | -            |  |       |  | (6,126,770) |  |  
|Interest expense on Credit Facility                  |  |             |  | -            |  |       |  | (1,482,491) |  |  
|Operating expenses                                   |  |             |  | ( 333,833)   |  |       |  | (8,875,544) |  |  
|Minority interests in net income of controlled       |  |             |  |              |  |       |  |             |  |  
|subsidiaries                                         |  |             |  | -            |  |       |  | (205,899)   |  |  
|                                                    
|Net investment income (loss)                         |  | $           |  | 4,213,895    |  | $     |  | (317,613)   |  | $
|Net realized loss                                    |  |             |  | (1,016,998)  |  |       |  | (699,274)   |  |  
|Net change in unrealized appreciation (depreciation) |  |             |  | (39,817,107) |  |       |  | 27,152,727  |  |  
|                                                    
|Net increase (decrease) in net assets from           |  |             |  |              |  |       |  |             |  |  
|operations of reportable
      segments              |  | $           |  | (36,620,210) |  | $     |  | 26,135,840  |  | $
|                                                    

*Belrose Capital invests indirectly in Tax-Managed
Growth Portfolio through Belvedere Company.

The following table reconciles the reported segment
information to the condensed consolidated financial statements for the periods
indicated:

|                                                  |  | Three Months Ended
|------------------------------------------------- |  | ------------------
|                                                  |  |                   
|                                                  |  | March 31, 2006    
|                                                  |  |                   
|Revenue:                                          |  |                   
|Revenue from reportable segments                  |  | $                 
|Unallocated amounts:                              |  |                   
|Interest earned on cash not invested in
      the |  |                   
|Portfolio or in
      subsidiaries                |  |                   
|                                                  |  |                   
|Total revenue                                     |  | $                 
|                                                  |  |                   
|Net increase (decrease) in net assets from        |  |                   
|operations:                                       |  |                   
|Net increase (decrease) in net assets
      from  |  |                   
|operations of reportable segments                 |  | $                 
|Unallocated investment income:                    |  |                   
|Interest earned on cash not invested in
      the |  |                   
|Portfolio or in
      subsidiaries                |  |                   
|Unallocated expenses (1):                         |  |                   
|Distribution and servicing fees                   |  |                   
|Interest expense on Credit
      Facility         |  |                   
|Audit, tax and legal fees                         |  |                   
|Other operating expenses                          |  |                   
|                                                  |  |                   
|Net increase (decrease) in net assets from        |  |                   
|operations                                        |  | $                 
|                                                  |  |                   

|(1) | Unallocated expenses represent costs
      incurred that pertain to the overall operation of Belrose Capital, and do
      not pertain to either operating segment.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   

15

The following tables reconcile the reported segment
information to the condensed consolidated financial statements as of March 31,
2006 and December 31, 2005:

|                                  |  | Tax-Managed       |  | Real          |  |       |  |            
|--------------------------------- |  | ----------------- |  | ------------- |  | ----- |  | -----------
|At March 31, 2006                 |  | Growth Portfolio* |  | Estate        |  | Total
|                                 
|Segment assets                    |  | $                 |  | 1,837,715,170 |  | $     |  | 608,378,376
|Segment liabilities               |  |                   |  | 1,622,055     |  |       |  | 572,194,522
|                                 
|Net assets of reportable segments |  | $                 |  | 1,836,093,115 |  | $     |  | 36,183,854 
|                                 
|                                  |  |                   |  |               |  |       |  |            
|                                  |  |                   |  |               |  |       |  |            
|                                  |  | Tax-Managed       |  | Real          |  |       |  |            
|At December 31, 2005              |  | Growth Portfolio* |  | Estate        |  | Total
|                                 
|Segment assets                    |  | $                 |  | 1,783,649,094 |  | $     |  | 661,856,326
|Segment liabilities               |  |                   |  | 116,987       |  |       |  | 631,424,066
|                                 
|Net assets of reportable segments |  | $                 |  | 1,783,532,107 |  | $     |  | 30,432,260 
|                                 

*Belrose Capital invests indirectly in Tax-Managed
Growth Portfolio through Belvedere Company.

|                                                |  | March 31, 2006 |  | December 31, 2005
|----------------------------------------------- |  | -------------- |  | -----------------
|                                                |  |               
|Net assets:                                     |  |                |  |                  
|Net assets of reportable segments               |  | $              |  | 1,872,276,969    
|Unallocated amounts:                            |  |                |  |                  
|Cash (1)                                        |  |                |  | 1,937,546        
|Short-term investments (1)                      |  |                |  | 10,951,000       
|Loan payable  Credit Facility
      (2)        |  |                |  | (87,105,152)     
|Payable to affiliate for
      distribution and |  |                |  |                  
|servicing fees                                  |  |                |  | (573,359)        
|Other liabilities                               |  |                |  | (308,330)        
|                                                |  |               
|Net assets                                      |  | $              |  | 1,797,178,674    
|                                                |  |               

|(1) | Unallocated cash and short-term investments
      represent cash and cash equivalents not invested in the Portfolio or real
      estate assets.                                                                                                                                     
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) | Unallocated amount of loan payable - Credit
      Facility represents borrowings not specifically used to fund real estate
      investments. Such borrowings are generally used to pay selling
      commissions, organization expenses and other liquidity needs of the
      Fund.
|   



|8
Contingencies
|---------------

Katahdin became party to a claim arising out of the
ordinary course of business during 2005. Due to the preliminary nature, it is
not possible to predict or determine the outcome of the legal proceeding, nor is
it reasonably possible to estimate the amount of loss, if any, that would be
associated with an adverse decision. It is not expected that the results of any
such claim or litigation will have a material adverse effect on the Funds
financial position or results of operations.

16

Item 2. Managements Discussion and Analysis
of Financial Condition (MD&A) and Results of Operations.

The information in this report contains
forward-looking statements within the meaning of the federal securities laws.
Forward-looking statements typically are identified by use of terms such as
may, will, should, might, expect, anticipate, estimate, and
similar words, although some forward-looking statements are expressed
differently. The actual results of Belrose Capital Fund LLC (the Fund) could
differ materially from those contained in the forward-looking statements due to
a number of factors. The Fund undertakes no obligation to update publicly any
forward-looking statements, whether as a result of new information, future
events, or otherwise, except as required by applicable law. Factors that could
affect the Funds performance include a decline in the U.S. stock markets or in
general economic conditions, adverse developments affecting the real estate
industry, or fluctuations in interest rates.

The following discussion should be read in
conjunction with the Funds unaudited condensed consolidated financial
statements and related notes in Item 1 above.

MD&A and Results of Operations for the
Quarter Ended March 31, 2006 Compared to the Quarter Ended March 31,
2005.

Performance of the
Fund.(1)The Funds
investment objective is to achieve long-term, after-tax returns for
shareholders. Eaton Vance Management (Eaton Vance), as the Funds manager,
measures the Funds success in achieving its objective based on the investment
returns of the Fund, using the S&P 500 Index as the Funds primary
performance benchmark. The S&P 500 Index is a broad-based, unmanaged market
index of common stocks commonly used as a measure of U.S. stock market
performance. Eaton Vances primary focus in pursuing total return is on the
Funds common stock portfolio, which consists of its indirect interest in
Tax-Managed Growth Portfolio (the Portfolio). The Fund invests in the Portfolio
through its interest in Belvedere Capital Fund Company LLC (Belvedere Company).
The Funds performance will differ from that of the Portfolio due to its
investments outside the Portfolio. In measuring the performance of the Funds
real estate investments, Eaton Vance considers whether, through current returns
and changes in valuation, the real estate investments achieve returns that over
the long-term exceed the cost of the borrowing incurred to acquire such
investments and thereby add to Fund returns. The Fund has entered into interest
rate swap agreements to fix the cost of a substantial portion of its borrowings
under the Credit Facility (described under "Liquidity and Capital Resources"
below) and to mitigate in part the impact of interest rate changes on the Funds
net asset value.

The Funds total return was 4.67% for the quarter
ended March 31, 2006. This return reflects an increase in the Funds net asset
value per share from $108.30 to $112.03 and a distribution of $1.28 per share
during the period. The total return of the S&P 500 Index was 4.21% over the
same period. Last year, the Fund had a total return performance of -0.67% for
the quarter ended March 31, 2005. This return reflected a decrease in the Funds
net asset value per share from $102.03 to $100.03 and a distribution of $1.29
per share during the period. The S&P 500 Index had a total return of -2.15%
over the same period.

Performance of the Portfolio.In the face of rising interest rates and oil
prices, U.S. equities managed to post healthy results during the first quarter
of 2006. The S&P 500 and Dow Jones Industrials Indices had their strongest
quarterly advance in years, each gaining more than 4%. The NASDAQ Composite
gained an even more impressive 6.1% during the quarter. Mixed economic and
earnings reports were offset by positive news of benign inflation and healthy
capital spending. Small- and mid-cap stocks once again outperformed large-cap
investments and the large-cap value style continued to outperform the large-cap
growth style. For the quarter ended March 31, 2006, the Portfolios total return
was 4.34%, outperforming the S&P 500 Index return of 4.21% over the same
period. For comparison, during the first quarter of 2005, the Portfolio posted a
total return of -1.98% .

Telecommunications and energy were the best
performing sectors of the S&P 500 Index during the first quarter of 2006,
while the utilities and health care sectors were the weakest performers. Market
leading industries in the first quarter included construction materials,
communication equipment and diversified telecommunications. In contrast,
internet software, consumer services and catalog retailers were among the worst
performing industries.

(1)Past performance
is no guarantee of future results. Investment return and principal value will
fluctuate so that shares, when redeemed, may be worth more or less than their
original cost. Total returns are historical and are calculated by determining
the percentage change in net asset value with all distributions reinvested. The
Portfolios total return for the period reflects the total return of another
fund that invests in the Portfolio adjusted for non-Portfolio expenses of that
fund. Performance is for the stated time period only and is not annualized; due
to market volatility, the Funds current performance may be lower or higher. The
performance of the Fund and the Portfolio is compared to that of their
benchmark, theS&P 500 Index. It is not possible to
invest directly in an Index.

17

The Portfolios modest outperformance versus the
S&P 500 Index during the quarter was driven by its sector allocation and
industry diversification. The Portfolios overweighting of the outperforming
industrials sector and the strong performing air freight logistics, machinery
and investment brokerage industries was beneficial. During the quarter, the
Portfolio maintained an underweighting of the utilities sector, which was
beneficial given the price declines experienced by independent power producers
and electric utilities stocks over the period. Stock selection within the health
care and consumer discretionary sectors also contributed positively to returns
during the quarter.

While the Portfolios continued overweighting of the
energy sector, which continued to benefit from rising oil prices, remained
positive, its holdings within the oil and gas exploration and production
industry delivered sub-par results. Relatively weak performance of semiconductor
and IT services stocks, as well as an underweighting of the outperforming
telecommunications sector, also negatively impacted returns. Commodity related
investments, such as copper, gold and aluminum stocks, registered impressive
gains and the Portfolio benefited from its allocation to and selections within
the metals and mining industry.

Performance of Real Estate Investments.The Funds real estate investments are held through
Belrose Realty Corporation (Belrose Realty). As of March 31, 2006, real estate
investments included majority interests in two real estate joint ventures (Real
Estate Joint Ventures), Deerfield Property Trust (Deerfield) and Katahdin
Property Trust, LLC (Katahdin), and a portfolio of income producing preferred
equity interests in real estate operating partnerships that are generally
affiliated with and controlled by real estate investment trusts (REITs) that are
publicly-traded (Partnership Preference Units). Katahdin owns multifamily
properties and Deerfield owns industrial distribution properties. As of March
31, 2006, the estimated fair value of the Funds real estate investments
represented 23.9% of the Funds total assets on a consolidated basis. After
adjusting for the minority interest in Deerfield and Katahdin, the Funds real
estate investments represented 27.1% of the Funds net assets as of March 31,
2006.

During the quarter ended March 31, 2006, rental
income from real estate operations was approximately $10.5 million compared to
approximately $15.2 million for the quarter ended March 31, 2005, a decrease of
$4.7 million or 31%. This decrease in rental income was due to Belrose Realtys
ownership of interests in fewer multifamily properties in 2006 as a result of
its October 2005 sale of its interest in a multifamily Real Estate Joint
Venture, Bel Communities Property Trust (Bel Communities), which accounted for
38% of consolidated rental income for the quarter ended March 31, 2005, offset
in part by modest increases in the rental income of Deerfield and Katahdin. For
the quarter ended March 31, 2006,Deerfields and
Katahdins rental income was in line with expectations. During the quarter ended
March 31, 2005, rental income decreased due to the fact that rental income of
the properties owned by Deerfield during the quarter ended March 31, 2005 were
less than the rental income of the multifamily properties owned by Bel Apartment
Properties Trust (Bel Apartment) held during the quarter ended March 31, 2004.
Belrose Realty sold its interest in Bel Apartment in November 2004.

During the quarter ended March 31, 2006, property
operating expenses were approximately $3.8 million compared to approximately
$7.8 million for the quarter ended March 31, 2005, a decrease of $4.0 million or
51% (property operating expenses are before certain operating expenses of
Belrose Realty of approximately $0.9 million for the quarter ended March 31,
2006 and $1.1 million for the quarter ended March 31, 2005). The decrease in
property operating expenses was due to the sale of Bel Communities referenced in
the preceding paragraph, offset in part by modest increases in the operating
expenses of Deerfield. For the quarter ended March 31, 2006, Deerfields
property operating expenses were in line with expectations. Property operating
expenses for the quarter ended March 31, 2005 increased principally due to
repair costs during the quarter related to hurricane damage in 2004 at certain
Florida multifamily properties owned by Katahdin. The increase was partially
offset by the fact that operating expenses of the properties owned by Deerfield
during the quarter ended March 31, 2005 were less than operating expenses of the
multifamily properties owned by Bel Apartment during the quarter ended March 31,
2004.

Improvements in multifamily property operating
conditions are being seen in numerous markets around the country, reflecting a
better supply/demand balance. Boston Management and Research (Boston Management)
expects this favorable trend to continue, although higher operating expenses and
capital expenditures attributable to routine maintenance costs are expected to
offset much of the improvement in rental income. For many industrial
distribution properties, rent levels are expected to see minimal growth over the
near term. Boston Management expects that improvements in multifamily and
industrial distribution property operating performance will occur over the
longer term.

18

At March 31, 2006, the estimated fair value of the
real properties indirectly held through Belrose Realty was approximately $396.5
million compared to approximately $385.0 million at December 31, 2005, a net
increase of $11.5 million, or 3%. The net increase in estimated real property
values at March 31, 2006 as compared to December 31, 2005 resulted from modest
net increases in the estimated values of properties held by Deerfield and
Katahdin. Despite weak market conditions over the past several years, property
values have increased as lower near-term property earnings expectations
generally have been offset by lower capitalization and discount rates applied in
valuing the properties.

During the quarter ended March 31, 2006, the Fund
saw net unrealized appreciation of the estimated fair value of its other real
estate investments (which includes Deerfield and Katahdin) of approximately $7.9
million compared to unrealized appreciation of approximately $21.6 million
during the quarter ended March 31, 2005. Net unrealized appreciation of
approximately $7.9 million during the quarter ended March 31, 2006 was due to
net increases in the estimated fair value of the properties of Deerfield and
Katahdin. Net unrealized appreciation of approximately $21.6 million during the
quarter ended March 31, 2005 was due principally to net increases in the
estimated fair value of the properties of Deerfield and Katahdin, offset
slightly by modest net decreases in estimated fair values of the properties of
Bel Communities. The increases resulted primarily from lower capitalization and
discount rates applied in valuing the properties.

During the quarter ended March 31, 2006, Belrose
Realty acquired interests in additional Partnership Preference Units
(representing acquisitions from real estate investment affiliates of other
investment funds advised by Boston Management) for a total of approximately
$10.2 million. During the quarter ended March 31, 2006, Belrose Realty also sold
certain of its Partnership Preference Units totaling approximately $0.2 million
(representing sales to real estate investment affiliates of other investment
funds advised by Boston Management), recognizing a minimal gain on the
transaction. At March 31, 2006, the estimated fair value of Belrose Realtys
Partnership Preference Units totaled approximately $190.4 million compared to
approximately $185.6 million at December 31, 2005, a net increase of $4.8
million or 3%. The net increase in value was principally due to more Partnership
Preference Units held at March 31, 2006 compared to December 31, 2005, and, in
addition, in the current environment, estimated fair values for Partnership
Preference Units have been negatively impacted by rising interest rates, offset
in part by tighter credit spreads for credit-sensitive income securities,
including real estate-related securities.

During the quarter ended March 31, 2006, the Fund
saw net unrealized depreciation in the estimated fair value of its Partnership
Preference Units of approximately $5.2 million compared to net unrealized
appreciation of approximately $0.8 million during the quarter ended March 31,
2005. The net unrealized depreciation of approximately $5.2 million during the
quarter ended March 31, 2006 consisted of approximately $5.2 million of
unrealized depreciation as a result of decreases in the per unit values of the
Partnership Preference Units held by Belrose Realty at March 31, 2006, and a
minimal amount of unrealized depreciation resulting from the recharacterization
of previously recorded unrealized appreciation to realized gains due to the
sales of Partnership Preference Units during the quarter ended March 31, 2006.
The net unrealized appreciation of approximately $0.8 million during the quarter
ended March 31, 2005 occurred as a result of increases in the per unit values of
the Partnership Preference Units held by Belrose Realty at March 31,
2005.

Distributions from Partnership Preference Units for
the quarter ended March 31, 2006 totaled approximately $3.4 million compared to
approximately $1.1 million for the quarter ended March 31, 2005, an increase of
$2.3 million or 209%. The increase was principally due to more Partnership
Preference Units held on average during the quarter partially offset by lower
average distribution rates for the Partnership Preference Units held. For the
quarter ended March 31, 2005, the decrease was due to lower average distribution
rates on Partnership Preference Units held.

Performance of Interest Rate Swap Agreements.For the quarter ended March 31, 2006, net realized
and unrealized gains on the Funds interest rate swap agreements totaled
approximately $3.1 million, compared to net realized and unrealized gains of
$4.1 million for the quarter ended March 31, 2005. Net realized and unrealized
gains on swap agreements for the quarter ended March 31, 2006 consisted of $2.9
million of net unrealized gains due to changes in swap agreement valuations and
$0.2 million of periodic payments received pursuant to outstanding swap
agreements (and classified as net realized gains on interest rate swap
agreements in the Funds consolidated financial statements). For the quarter
ended March 31, 2005, the Fund had net unrealized gains of $4.8 million due to
swap agreement valuation changes, offset in part by $0.7 million of swap
agreement periodic payments made. The positive impact on Fund performance for
the quarters ended March 31, 2006 and 2005 from changes in swap agreement
valuations was attributable to increases in swap rates during the
periods.

19



|Liquidity and Capital
      Resources.
|--------------------------------------

Outstanding Borrowings.The Fund has entered into credit arrangements with DrKW Holdings, Inc.
and Merrill Lynch Mortgage Capital, Inc. (collectively, the Credit Facility)
primarily to finance the Funds real estate investments and will continue to use
the Credit Facility for such purpose in the future. The Credit Facility may also
be used for other purposes, including any liquidity needs of the Fund. In the
future, the Fund may increase the size of the Credit Facility (subject to lender
consent) and the amount of outstanding borrowings thereunder. As of March 31,
2006, the Fund had outstanding borrowings of $365.5 million and unused loan
commitments of $59.0 million under the Credit Facility.

The Fund has entered into interest rate swap
agreements with respect to a substantial portion of its real estate investments
and associated borrowings. Pursuant to these agreements, the Fund makes periodic
payments to the counterparty at predetermined fixed rates in exchange for
floating-rate payments that fluctuate with one and three month LIBOR. During the
terms of the outstanding interest rate swap agreements, changes in the
underlying values of the agreements are recorded as unrealized appreciation or
depreciation. As of March 31, 2006, the accumulated unrealized appreciation
related to the interest rate swap agreements was approximately $9.0 million. As
of December 31, 2005, the accumulated unrealized appreciation related to the
interest rate swap agreements was approximately $6.1 million.

Item 3. Quantitative and Qualitative
Disclosures About Market Risk.

Interest Rate Risk.The Funds primary exposure to interest rate risk arises from its real
estate investments that are financed by the Fund with floating rate borrowings
under the Credit Facility and by fixed-rate secured mortgage debt obligations of
Deerfield and Katahdin. Partnership Preference Units are fixed rate instruments
whose values will generally decrease when interest rates rise and increase when
interest rates fall. The interest rates on borrowings under the Credit Facility
are reset at regular intervals based on one-month LIBOR. The Fund has entered
into interest rate swap agreements to fix the cost of a substantial portion of
its borrowings under the Credit Facility and to mitigate in part the impact of
interest rate changes on the Funds net asset value. Under the terms of the
interest rate swap agreements, the Fund makes cash payments at fixed rates in
exchange for floating rate payments that fluctuate with one and three month
LIBOR. The Funds interest rate swap agreements will generally increase in value
when interest rates rise and decrease in value when interest rates fall. In the
future, the Fund may use other interest rate hedging arrangements (such as caps,
floors and collars) to fix or limit borrowing costs. The use of interest rate
hedging arrangements is a specialized activity that can expose the Fund to
significant loss.

The following table summarizes the contractual
maturities and weighted-average interest rates associated with the Funds
significant non-trading financial instruments. The Fund has no market risk
sensitive instruments held for trading purposes. This information should be read
in conjunction with Note 5 to the Funds unaudited condensed consolidated
financial statements in Item 1 above.



|Interest Rate
      SensitivityCost, Principal (Notional)
      Amountby Contractual Maturity and Callable
      Datefor the Twelve Months Ended March
      31,*
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------

|                              |  |       |  |      |  |      |  |              |  |              |  |              |  | Estimated   
|----------------------------- |  | ----- |  | ---- |  | ---- |  | ------------ |  | ------------ |  | ------------ |  | ------------
|                              |  |       |  |      |  |      |  |              |  |              |  |              |  | Fair Value  
|                              |  |       |  |      |  |      |  |              |  |              |  |              |  | as of       
|                              |  | 2007- |  |      |  |      |  |              |  |              |  |              |  | March 31,   
|                              |  | 2008  |  | 2009 |  | 2010 |  | 2011         |  | Thereafter   |  | Total        |  | 2006        
|                             
|Rate sensitive liabilities:   |  |       |  |      |  |      |  |              |  |              |  |              |  |             
|                              |  |       |  |      |  |      |  |              |  |              |  |              |  |             
|Long-term debt:               |  |       |  |      |  |      |  |              |  |              |  |              |  |             
|                              |  |       |  |      |  |      |  |              |  |              |  |              |  |             
|Fixed-rate mortgages          |  |       |  |      |  |      |  |              |  | $245,388,000 |  | $245,388,000 |  | $250,100,000
|Average interest rate         |  |       |  |      |  |      |  |              |  | 6.21%        |  | 6.21%        |  |             
|                              |  |       |  |      |  |      |  |              |  |              |  |              |  |             
|Variable-rate Credit Facility |  |       |  |      |  |      |  | $365,500,000 |  |              |  | $365,500,000 |  | $365,500,000
|Average interest rate         |  |       |  |      |  |      |  | 5.16%        |  |              |  | 5.16%        |  |             
|                             

20

|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             | Estimated 
|------------------------------------------------------------------------------------------------------------------------------------------------------ |  | ----- | ----------- | ---- | ----------- | ---- | ----------- | ------------ |  | ----------- | ----------- | ------------ | ----------- | ----------
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             | Fair Value
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             | as of     
|                                                                                                                                                       |  | 2007- |             |      |             |      |             |              |  |             |             |              |             | March 31, 
|                                                                                                                                                       |  | 2008  |             | 2009 |             | 2010 |             | 2011         |  | Thereafter  |             | Total        |             | 2006      
|                                                                                                                                                      
|Rate sensitive derivative financial                                                                                                                    |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|instruments:                                                                                                                                           |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Pay fixed/receive variable interest rate                                                                                                               |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|swap agreements                                                                                                                                        |  |       |             |      |             |      |             | $152,837,500 |  | $40,000,000 |             | $192,837,500 |             | $9,019,420
|Average pay rate                                                                                                                                       |  |       |             |      |             |      |             | 4.10%        |  | 4.88%       |             | 4.26%        |             |           
|Average receive rate                                                                                                                                   |  |       |             |      |             |      |             | 5.13%        |  | 5.00%       |             | 5.10%        |             |           
|                                                                                                                                                      
|Rate sensitive investments:                                                                                                                            |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Fixed-rate Partnership Preference                                                                                                                      |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Units:                                                                                                                                                 |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Camden Operating, L.P., 7% Series B  Cumulative Redeemable Perpetual  Preferred Units, Callable 12/2/08,  Current Yield: 7.35%                         |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       | $15,802,670 |      |             |      |             |              |  |             | $15,802,670 |              | $15,470,000
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Colonial Realty Limited Partnership,  7.25% Series B Cumulative  Redeemable Perpetual Preferred Units,  Callable 8/24/09,  Current Yield:
      7.48%  |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      | $19,419,240 |      |             |              |  |             | $19,419,240 |              | $19,384,000
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Essex Portfolio, L.P., 7.875% Series B  Cumulative Redeemable Preferred  Units, Callable 12/31/09,  Current
      Yield: 7.83%                         |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      | $26,643,900 |      |             |              |  |             | $26,643,900 |              | $26,390,018
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Essex Portfolio, L.P., 7.875% Series D  Cumulative Redeemable Preferred  Units, Callable 7/28/10,  Current
      Yield: 7.77%                          |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      | $12,642,150 |              |  |             | $12,642,150 |              | $12,666,650
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Kilroy Realty, L.P., 7.45% Series A  Cumulative Redeemable Preferred  Units, Callable 9/30/09,  Current
      Yield: 7.56%                             |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      | $22,381,740 |      |             |              |  |             | $22,381,740 |              | $22,180,680
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|Liberty Property Limited Partnership,  7.45% Series B Cumulative  Redeemable Preferred Units,  Callable
      8/31/09,  Current Yield: 7.41%           |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      | $27,039,290 |      |             |              |  |             | $27,039,290 |              | $26,376,000
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|MHC Operating Limited Partnership,  8.0625% Series D Cumulative  Redeemable Perpetual Preference  Units, Callable 3/24/10,  Current
      Yield: 8.14% |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      | $25,186,560 |      |             |              |  |             | $25,186,560 |              | $24,770,000
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|PSA Institutional Partners, L.P., 6.4%  Series NN Cumulative Redeemable  Perpetual Preferred Units, Callable  3/17/10, Current Yield: 6.86%            |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |            
|                                                                                                                                                       |  |       |             |      | $34,377,134 |      |             |              |  |             | $34,377,134 |              | $33,333,300
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|                                                                                                                                                       |  |       |             |      |             |      |             |              |  |             |             |              |             |           
|21                                                                                                                                                    

|                                                                                                                                        |  |       |  |      |  |      |            |      |  |            |            |       |            | Estimated 
|--------------------------------------------------------------------------------------------------------------------------------------- |  | ----- |  | ---- |  | ---- | ---------- | ---- |  | ---------- | ---------- | ----- | ---------- | ----------
|                                                                                                                                        |  |       |  |      |  |      |            |      |  |            |            |       |            | Fair Value
|                                                                                                                                        |  |       |  |      |  |      |            |      |  |            |            |       |            | as of     
|                                                                                                                                        |  | 2007- |  |      |  |      |            |      |  |            |            |       |            | March 31, 
|                                                                                                                                        |  | 2008  |  | 2009 |  | 2010 |            | 2011 |  | Thereafter |            | Total |            | 2006      
|                                                                                                                                       
|Vornado Realty, L.P., 6.75% Series  D-14 Cumulative Redeemable  Preferred Units,  Callable
      9/9/10,  Current Yield:
      6.86%(1) |  |       |  |      |  |      |            |      |  |            |            |       |            |           
|                                                                                                                                        |  |       |  |      |  |      |            |      |  |            |            |       |           
|                                                                                                                                        |  |       |  |      |  |      |            |      |  |            |            |       |           
|                                                                                                                                        |  |       |  |      |  |      |            |      |  |            |            |       |           
|                                                                                                                                        |  |       |  |      |  |      | $9,795,614 |      |  |            | $9,795,614 |       | $9,841,223

|*   |  | The amounts listed reflect the Funds
      positions as of March 31, 2006. The Funds current positions may
      differ.
|--- |  | --------------------------------------------------------------------------------------------------------------------------
|    |  |                                                                                                                           
|(1) |  | Belrose Realtys interest in these
      Partnership Preference Units is held through Belvorn Holdings
      LLC.         

Item 4. Controls and
Procedures.

Fund Governance.As the Funds manager, the complete and entire management, control and
operation of the Fund are vested in Eaton Vance. The Funds Chief Executive
Officer and Chief Financial Officer intend to report to the Board of Directors
of Eaton Vance, Inc. (the sole trustee of Eaton Vance) any significant
deficiency in the design or operation of internal control over financial
reporting which could adversely affect the Funds ability to record, process,
summarize and report financial data, and any fraud, whether or not material,
that involves management or other employees who have a significant role in the
Funds internal control over financial reporting.

Disclosure Controls and Procedures.Eaton Vance, as the Funds manager, evaluated the
effectiveness of the Funds disclosure controls and procedures (as defined by
Rule 13a-15(e) of the 1934 Act) as of the end of the period covered by this
report, with the participation of the Funds Chief Executive Officer and Chief
Financial Officer. The Funds disclosure controls and procedures are the
controls and other procedures that the Fund designed to ensure that it records,
processes, summarizes and reports in a timely manner the information that the
Fund must disclose in reports that it files or submits to the Securities and
Exchange Commission. Based on that evaluation, the Funds Chief Executive
Officer and Chief Financial Officer concluded that, as of March 31, 2006, the
Funds disclosure controls and procedures were effective.

Internal Control Over Financial Reporting.There were no changes in the Funds internal
control over financial reporting that occurred during the quarter ended March
31, 2006 that have materially affected or are reasonably likely to materially
affect the Funds internal control over financial reporting.

22

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

Although in the ordinary course of business, the
Fund and its directly and indirectly controlled subsidiaries may become involved
in legal proceedings, the Fund is not aware of any material pending legal
proceedings to which they are subject.

Item 1A. Risk Factors.

There have been no material changes from risk
factors as previously disclosed in the Funds Form 10-K for the year ended
December 31, 2005 in response to Item 1A to Part 1 of Form 10-K.

Item 2. Unregistered Sales of Equity
Securities and Use of Proceeds.

As described in the Funds Annual Report on Form
10-K for the year ended December 31, 2005, shares of the Fund may be redeemed by
Fund shareholders on any business day. Redemptions are met at the net asset
value per share of the Fund (less any applicable redemption fee). The right to
redeem is available to all shareholders and all outstanding Fund shares are
eligible for redemption (except for shares subject to an estate freeze election
as described in Item 5 of the Funds Annual Report on Form 10-K for the year
ended December 31, 2005). During each month in the quarter ended March 31, 2006,
the total number of shares redeemed and the average price paid per share were as
follows:

Total No. of SharesRedeemed(1)
    
    Average Price Paid Per ShareMonth EndedJanuary 31, 2006
    
    111,368.365
    
    $109.83February 28, 2006
    
    52,161.530
    
    $109.44March 31, 2006
    
    61,748.565
    
    $112.50Total
    
    225,278.460
    
    $111.56


|(1) | All shares redeemed during the periods were
      redeemed at the option of shareholders pursuant to the Funds redemption
      policy. The Fund has not announced any plans or programs to repurchase
      shares other than at the option of shareholders.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   

Item 3. Defaults Upon Senior
Securities.

None.

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

No matters were submitted to a vote of security
holders during the quarter ended March 31, 2006.

Item 5. Other Information.

None.

23

Item 6. Exhibits.

|(a)  |  | The following is a list of all exhibits
      filed as part of this Form 10-Q:                                                       |  |  |  | 
|---- |  | ------------------------------------------------------------------------------------------------------------------------------------ |  |  |  | 
|     |  |                                                                                                                                      |  |  |  | 
|31.1 |  | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to
      Section 302 of the
      Sarbanes-Oxley Act of  2002 
|     | 
|     |  |                                                                                                                                      |  |  |  | 
|31.2 |  | Certification Pursuant to 18  U.S.C. Section 1350, as Adopted Pursuant to
      Section 302 of the
      Sarbanes-Oxley Act of  2002
|     | 
|     |  |                                                                                                                                      |  |  |  | 
|32.1 |  | Certification Pursuant to 18  U.S.C. Section 1350, as Adopted Pursuant to
      Section 906 of the
      Sarbanes-Oxley Act of  2002
|     | 
|     |  |                                                                                                                                      |  |  |  | 
|32.2 |  | Certification Pursuant to 18  U.S.C. Section 1350, as Adopted Pursuant to
      Section 906 of the
      Sarbanes-Oxley Act of  2002
|     | 
|     |  |                                                                                                                                      |  |  |  | 
|     |  |                                                                                                                                      |  |  |  | 
|(b)  |  | Reports on Form 8-K:                                                                                                                 |  |  |  | 
|     |  |                                                                                                                                      |  |  |  | 
|     |  | None.                                                                                                                                |  |  |  | 

24



|SIGNATURES
|----------

Pursuant to the requirements of the Securities
Exchange Act of 1934, as amended, the registrant has duly caused this report to
be signed on its behalf by the undersigned thereunto duly authorized officer on
May 10, 2006.



|BELROSECAPITAL FUND
      LLC
|-----------------------------



| | /s/ Michelle A. GreenMichelle A. GreenChief Financial
      Officer(Duly Authorized Officer
      andPrincipal Financial
  Officer)
| | -----------------------------------------------------------------------------------------------------------------------------------

25



|EXHIBIT
      INDEX
|-------------------

|31.1 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted
      Pursuant to Section 302 of the Sarbanes- Oxley Act of 2002
|---- | -----------------------------------------------------------------------------------------------------------------------------
|    
|31.2 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted
      Pursuant to Section 302 of the Sarbanes- Oxley Act of 2002
|    
|32.1 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted
      Pursuant to Section 906 of the Sarbanes- Oxley Act of 2002
|    
|32.2 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted
      Pursuant to Section 906 of the Sarbanes- Oxley Act of 2002
|    

26