|          |  | UNITED STATES                                                                                 
|--------- |  | ----------------------------------------------------------------------------------------------
|          |  | SECURITIES AND EXCHANGE COMMISSION                                                            
|          |  | Washington, D.C.  20549                                                                       
|          |  |                                                                                               
|          |  |                                                                                               
|          |  | FORM 10-Q                                                                                     
|[X]       |  | Quarterly Report Pursuant to Section 13 or 15(d) of the
      Securities Exchange Act of 1934 
|          |  |                                                                                               
|          |  | For
      the quarterly period ended June 30,
      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                                                                 
|         
|          |  |                                                                                               
|          |  |                                                                                               
|          |  |                                                                                               
|          |  | BelroseCapital Fund LLC                                                                       
|          |  | (Exact name of Registrant as specified in its
    charter)                                    
|         
|          |  | Delaware                                                                                      
|          |  | (State of
      organization)                                                                 
|          |  |                                                                                               
|          |  |                                                                                               
|          |  | The Eaton
      Vance Building                                                                
|          |  | 255 State
      Street                                                                        
|          |  | Boston,
      Massachusetts                                                                   
|          |  | (Address of
      principal executive offices)                                                
|          |  |                                                                                               
|          |  |                                                                                               
|          |  | Registrants
      telephone number:                                                          



|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 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]



|BelroseCapital Fund LLCIndex to Form
      10-Q
|-----------------------------------------------

|PART I.  |  | FINANCIAL INFORMATION |  | Page                                                                     
|-------- |  | --------------------- |  | -------------------------------------------------------------------------
|         |  |                       |  |                                                                          
|Item     |  | 1.                    |  | Financial Statements                                                     
|         |  |                       |  |                                                                          
|         |  |                       |  | Condensed Consolidated Statements of Assets and Liabilities as
      of  
|         |  |                       |  | June 30, 2006(Unaudited) andDecember 31, 2005                            
|         |  |                       |  |                                                                          
|         |  |                       |  | Condensed Consolidated Statements of Operations (Unaudited) for
      the
|         |  |                       |  | Three MonthsEndedJune
      30, 2006and2005and for the                   
|         |  |                       |  | Six MonthsEndedJune
      30, 2006and2005                                
|         |  |                       |  |                                                                          
|         |  |                       |  | Condensed Consolidated Statements of Changes in Net Assets for
      the 
|         |  |                       |  | SixMonths EndedJune
      30, 2006(Unaudited) and the                    
|         |  |                       |  | Year Ended December 31, 2005                                             
|         |  |                       |  |                                                                          
|         |  |                       |  | Condensed Consolidated Statements of Cash Flows (Unaudited) for
      the
|         |  |                       |  | SixMonths EndedJune
      30, 2006and2005                                
|         |  |                       |  |                                                                          
|         |  |                       |  | Financial Highlights for theSixMonths EndedJune 30, 2006(Unaudited)      
|         |  |                       |  | and the Year Ended December 31, 2005                                     
|         |  |                       |  |                                                                          
|         |  |                       |  | Notes to Condensed Consolidated Financial Statements                     
|         |  |                       |  | as ofJune 30, 2006(Unaudited)                                            
|         |  |                       |  |                                                                          
|Item     |  | 2.                    |  | Managements Discussion and Analysis of Financial Condition
      (MD&A) 
|         |  |                       |  | and Results of Operations                                                
|         |  |                       |  |                                                                          
|Item     |  | 3.                    |  | Quantitative and Qualitative Disclosures About Market
      Risk         
|         |  |                       |  |                                                                          
|Item     |  | 4.                    |  | Controls and Procedures                                                  
|         |  |                       |  |                                                                          
|         |  |                       |  |                                                                          
|PART II. |  | OTHER INFORMATION     |  |                                                                          
|         |  |                       |  |                                                                          
|Item     |  | 1.                    |  | Legal Proceedings                                                        
|         |  |                       |  |                                                                          
|Item     |  | 1A.                   |  | Risk Factors                                                             
|         |  |                       |  |                                                                          
|Item     |  | 2.                    |  | Unregistered Sales of Equity Securities and Use of
      Proceeds        
|         |  |                       |  |                                                                          
|Item     |  | 3.                    |  | Defaults Upon Senior Securities                                          
|         |  |                       |  |                                                                          
|Item     |  | 4.                    |  | Submission of Matters to a Vote of Security Holders                      
|         |  |                       |  |                                                                          
|Item     |  | 5.                    |  | Other Information                                                        

|Item 6.    Exhibits |  | 25
|------------------- |  | --
|                    |  |   
|SIGNATURES          |  | 26
|                    |  |   
|EXHIBIT INDEX       |  | 27



|PART I. FINANCIAL INFORMATIONItem 1. Financial
      Statements.
|----------------------------------------------------------------



| | BELROSE CAPITAL FUND LLCCondensed Consolidated
      Statements of Assets and Liabilities
| | -----------------------------------------------------------------------------------------

|                                                                           |  | June 30, 2006 |  |                   |  |  
|-------------------------------------------------------------------------- |  | ------------- |  | ----------------- |  | -
|                                                                           |  | (Unaudited)   |  | December 31, 2005
|                                                                           |  |               |  |                  
|Assets:                                                                    |  |               |  |                   |  |  
|Investment in Belvedere Capital Fund
      Company LLC                     |  |               |  |                   |  |  
|(Belvedere
      Company)                                                  |  | $             |  | 1,799,278,044     |  | $
|Investment in Partnership Preference
      Units                           |  |               |  | 187,142,079       |  |  
|Investment in other real
estate                                            |  |               |  | 436,472,272       |  |  
|Short-term investments                                                     |  |               |  | 3,681,505         |  |  
|                                                                           |  |               |  |                  
|Total
      investments                                                    |  | $             |  | 2,426,573,900     |  | $
|Cash                                                                       |  |               |  | 8,382,311         |  |  
|Distributions and interest
    receivable                                  |  |               |  | 1,029,845         |  |  
|Swap interest receivable                                                   |  |               |  | 40,796            |  |  
|Open interest rate swap agreements, at
      value                         |  |               |  | 10,952,016        |  |  
|Escrow deposits  restricted                                               |  |               |  | 2,251,053         |  |  
|Other assets                                                               |  |               |  | 9,237,597         |  |  
|                                                                           |  |               |  |                  
|Total
    assets                                                           |  | $             |  | 2,458,467,518     |  | $
|                                                                           |  |               |  |                  
|Liabilities:                                                               |  |               |  |                   |  |  
|Loan payable  Credit Facility                                             |  | $             |  | 392,500,000       |  | $
|Mortgages payable                                                          |  |               |  | 245,258,848       |  |  
|Payable to affiliate for investment
      advisory and administrative fees |  |               |  | 368,117           |  |  
|Payable to affiliate for distribution
      and servicing fees             |  |               |  | 571,832           |  |  
|Notes payable to minority
    shareholder                                  |  |               |  | 8,643,040         |  |  
|Security deposits                                                          |  |               |  | 1,392,808         |  |  
|Accrued expenses:                                                          |  |               |  |                   |  |  
|Interest
      expense                                                     |  |               |  | 1,677,933         |  |  
|Property
      taxes                                                       |  |               |  | 2,065,817         |  |  
|Other
      expenses and liabilities                                       |  |               |  | 1,755,085         |  |  
|Minority interests in controlled
      subsidiaries                        |  |               |  | 45,073,854        |  |  
|                                                                           |  |               |  |                  
|Total
      liabilities                                                    |  | $             |  | 699,307,334       |  | $
|                                                                           |  |               |  |                  
|Net
    assets                                                             |  | $             |  | 1,759,160,184     |  | $
|                                                                           |  |               |  |                  
|                                                                          
|Shareholders Capital                                                      |  | $             |  | 1,759,160,184     |  | $
|                                                                           |  |               |  |                  
|Shares
      outstanding                                                   |  |               |  | 15,924,665        |  |  
|                                                                           |  |               |  |                  
|Net asset
      value and redemption price per Share                       |  | $             |  | 110.47            |  | $
|                                                                           |  |               |  |                  

See notes to unaudited condensed consolidated financial
statements

3



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

|                                                 |  | Three Months Ended |  | Six Months Ended
|------------------------------------------------ |  | ------------------ |  | ----------------
|                                                 |  |                    |  |                 
|                                                 |  | June 30, 2006      |  | June 30, 2005   
|                                                 |  |                    |  |                 
|Investment Income:                               |  |                    |  |                 
|Dividends allocated from Belvedere Company       |  |                    |  |                 
|(net of foreign taxes, $320,460,
      $251,026, |  |                    |  |                 
|$367,191 and $319,090, respectively)             |  | $                  |  | 8,848,525       
|Interest allocated from Belvedere Company        |  |                    |  | 197,740         
|Expenses allocated from Belvedere Company        |  |                    |  | (2,726,864)     
|                                                 |  |                    |  |                 
|Net investment income allocated from             |  |                    |  |                 
|Belvedere Company                                |  | $                  |  | 6,319,401       
|Rental income                                    |  |                    |  | 10,185,663      
|Distributions from Partnership Preference Units  |  |                    |  | 3,395,376       
|Interest                                         |  |                    |  | 236,109         
|Other income                                     |  |                    |  |                 
|                                                 |  |                    |  |                 
|Total investment income                          |  | $                  |  | 20,136,549      
|                                                 |  |                    |  |                 
|                                                
|Expenses:                                        |  |                    |  |                 
|Investment advisory and administrative fees      |  | $                  |  | 1,556,015       
|Property management and administrative fees      |  |                    |  | 459,140         
|Distribution and servicing fees                  |  |                    |  | 871,339         
|Interest expense on mortgages                    |  |                    |  | 3,886,904       
|Interest expense on Credit Facility              |  |                    |  | 5,004,048       
|Property and maintenance expenses                |  |                    |  | 2,197,250       
|Property taxes and insurance                     |  |                    |  | 1,526,956       
|Miscellaneous                                    |  |                    |  | 407,048         
|                                                 |  |                    |  |                 
|Total expenses                                   |  | $                  |  | 15,908,700      
|Deduct-                                          |  |                    |  |                 
|Reduction of investment advisory                 |  |                    |  |                 
|and administrative fees                          |  |                    |  | 444,158         
|                                                 |  |                    |  |                 
|Net expenses                                     |  | $                  |  | 15,464,542      
|                                                 |  |                    |  |                 
|Net investment income before                     |  |                    |  |                 
|minority interests in net income of              |  |                    |  |                 
|controlled subsidiaries                          |  | $                  |  | 4,672,007       
|Minority interests in net income                 |  |                    |  |                 
|of controlled subsidiaries                       |  |                    |  | (572,864)       
|                                                 |  |                    |  |                 
|Net investment income                            |  | $                  |  | 4,099,143       
|                                                 |  |                    |  |                 

See notes to unaudited condensed consolidated
financial statements

4



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

|                                                            |  | Three Months Ended |  | Six Months Ended
|----------------------------------------------------------- |  | ------------------ |  | ----------------
|                                                            |  |                    |  |                 
|                                                            |  | June 30, 2006      |  | June 30, 2005   
|                                                            |  |                    |  |                 
|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)                   |  | $                  |  | 27,081,306      
|Investment
      transactions in Partnership                |  |                    |  |                 
|Preference
      Units (identified cost basis)              |  |                    |  | (246,664)       
|Investment
      transactions in other real estate          |  |                    |  |                 
|(net of
      minority interest in realized gain (loss) of  |  |                    |  |                 
|controlled
      subsidiaries of $0, $(30,303),             |  |                    |  |                 
|$1,456 and
      $(30,303), respectively)                   |  |                    |  | -               
|Interest rate swap
      agreements(1)                      |  |                    |  | 471,293         
|                                                            |  |                    |  |                 
|Net realized
      gain                                     |  | $                  |  | 27,305,935      
|                                                            |  |                    |  |                 
|                                                           
|                                                           
|Change in unrealized
      appreciation (depreciation)     |  |                    |  |                 
|Investments,
      securities sold short and foreign        |  |                    |  |                 
|currency allocated from Belvedere Company                   |  |                    |  |                 
|(identified cost basis)                                     |  | $                  |  | (58,625,666)    
|Investments in
      Partnership Preference Units           |  |                    |  |                 
|(identified cost basis)                                     |  |                    |  | (5,280,822)     
|Investments in
      other real estate (net of minority     |  |                    |  |                 
|interests in unrealized appreciation
      (depreciation)   |  |                    |  |                 
|of controlled subsidiaries of $3,920,343,
      $3,450,730, |  |                    |  |                 
|$6,188,402 and $10,204,756, respectively)                   |  |                    |  | 5,652,632       
|Interest rate
      swap agreements                         |  |                    |  | 1,932,596       
|                                                            |  |                    |  |                 
|Net change in unrealized
      appreciation                 |  |                    |  |                 
|(depreciation)                                              |  | $                  |  | (56,321,260)    
|                                                            |  |                    |  |                 
|                                                           
|Net realized and unrealized
      gain (loss)               |  | $                  |  | (29,015,325)    
|                                                            |  |                    |  |                 
|                                                           
|Net increase (decrease) in
      net assets from operations |  | $                  |  | (24,916,182)    
|                                                            |  |                    |  |                 

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

See notes to unaudited condensed consolidated
financial statements

5



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

|                                                                 |  | Six Months Ended |  |                   |  |  
|---------------------------------------------------------------- |  | ---------------- |  | ----------------- |  | -
|                                                                 |  | June 30, 2006    |  | Year Ended       
|                                                                 |  | (Unaudited)      |  | December 31, 2005
|                                                                 |  |                  |  |                  
|Increase (Decrease) in Net Assets:                               |  |                  |  |                   |  |  
|From Operations                                                 |  |                  |  |                   |  |  
|Net investment income                                            |  | $                |  | 7,915,919         |  | $
|Net realized gain from investment transactions,
      securities |  |                  |  |                   |  |  
|sold short, foreign currency transactions
      and              |  |                  |  |                   |  |  
|interest rate swap agreements                                    |  |                  |  | 43,419,105        |  |  
|Net change in unrealized appreciation (depreciation)
      of    |  |                  |  |                   |  |  
|investments, securities sold short, foreign
      currency       |  |                  |  |                   |  |  
|and interest rate swap agreements                                |  |                  |  | 4,550,723         |  |  
|                                                                 |  |                  |  |                  
|Net increase in net assets from operations                       |  | $                |  | 55,885,747        |  | $
|                                                                 |  |                  |  |                  
|                                                                
|Transactions in Fund Shares                                     |  |                  |  |                   |  |  
|Net asset value of Fund Shares issued to Shareholders
      in   |  |                  |  |                   |  |  
|payment of distributions declared                                |  | $                |  | 8,759,998         |  | $
|Net asset value of Fund Shares redeemed                          |  |                  |  | (37,918,216)      |  |  
|                                                                 |  |                  |  |                  
|Net decrease in net assets from Fund Share
      transactions    |  | $                |  | (29,158,218)      |  | $
|                                                                 |  |                  |  |                  
|                                                                
|Distributions                                                   |  |                  |  |                   |  |  
|Distributions to Shareholders                                    |  | $                |  | (20,577,745)      |  | $
|                                                                 |  |                  |  |                  
|Total distributions                                              |  | $                |  | (20,577,745)      |  | $
|                                                                 |  |                  |  |                  
|                                                                
|Net increase in net assets                                       |  | $                |  | 6,149,784         |  | $
|                                                                
|Net assets:                                                      |  |                  |  |                   |  |  
|At beginning of period                                           |  | $                |  | 1,753,010,400     |  | $
|                                                                 |  |                  |  |                  
|At end of period                                                 |  | $                |  | 1,759,160,184     |  | $
|                                                                 |  |                  |  |                  

See notes to unaudited condensed consolidated
financial statements

6



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

|                                                                             |  | Six Months Ended
|---------------------------------------------------------------------------- |  | ----------------
|                                                                             |  |                 
|                                                                             |  | June 30, 2006   
|                                                                             |  |                 
|Cash Flows From (For) Operating Activities                                  |  |                 
|Net increase in net assets from operations                                   |  | $               
|Adjustments to reconcile net increase in net assets from
      operations    |  |                 
|to net cash flows for operating activities                                  |  |                 
|Net investment income allocated from Belvedere
      Company                 |  |                 
|(Increase) decrease in short-term
      investments                          |  |                 
|(Increase) decrease in distributions and interest
      receivable           |  |                 
|Decrease in interest receivable for open swap
      agreements               |  |                 
|(Increase) decrease in escrow deposits                                       |  |                 
|Increase in other assets                                                     |  |                 
|Increase in payable to affiliate for investment
      advisory and           |  |                 
|administrative fees                                                          |  |                 
|Decrease in payable to affiliate for
      distribution and servicing fees   |  |                 
|Increase in interest payable for open swap
      agreements                  |  |                 
|Decrease in security deposits, accrued interest and
      accrued            |  |                 
|other expenses and
      liabilities                                         |  |                 
|Increase in accrued property taxes                                           |  |                 
|Purchases of Partnership Preference Units                                    |  |                 
|Proceeds from sales of Partnership Preference
      Units                    |  |                 
|Payment for investment in other real
      estate                            |  |                 
|Proceeds from sale of investment in other real
      estate                  |  |                 
|Improvements to rental property                                              |  |                 
|Net interest earned (incurred) on interest rate swap
      agreements        |  |                 
|Minority interests in net income of controlled
      subsidiaries            |  |                 
|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 cash flows for operating activities                                      |  | $               
|                                                                             |  |                 
|                                                                            
|Cash Flows From (For) Financing Activities                                  |  |                 
|Proceeds from Credit Facility                                                |  | $               
|Repayments of Credit Facility                                                |  |                 
|Proceeds from mortgages                                                      |  |                 
|Payments for mortgages                                                       |  |                 
|Proceeds from notes payable to minority
      shareholder                    |  |                 
|Repayment of notes payable to minority
      shareholder                     |  |                 
|Issuance of real estate joint venture preferred
      shares                 |  |                 
|Payments for Fund Shares redeemed                                            |  |                 
|Distributions paid to minority
      shareholders                            |  |                 
|Distributions paid to Shareholders                                           |  |                 
|                                                                             |  |                 
|Net cash flows from (for) financing activities                               |  | $               
|                                                                             |  |                 
|                                                                            
|Net increase (decrease) in cash                                              |  | $               
|                                                                            
|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)
|-----------------------------------------------------------------------------------------------------

|                                                           |  | Six Months Ended
|---------------------------------------------------------- |  | ----------------
|                                                           |  |                 
|                                                           |  | June 30, 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 LLCCondensed Consolidated Financial Statements
    (Continued)
|-----------------------------------------------------------------------------------

|Financial Highlights                                                         |  | Six Months Ended |  |           |  |                   |  |  
|---------------------------------------------------------------------------- |  | ---------------- |  | --------- |  | ----------------- |  | -
|                                                                             |  | June 30, 2006    |  |           |  | Year Ended       
|                                                                             |  | (Unaudited)      |  |           |  | December 31, 2005
|                                                                            
|Net asset value  Beginning of period                                        |  | $                |  | 108.300   |  |                   |  | $
|                                                                            
|Income (loss) from operations                                                |  |                  |  |           |  |                   |  |  
|                                                                            
|Net investment income(1)                                                     |  | $                |  | 0.493     |  |                   |  | $
|Net realized and unrealized gain                                             |  |                  |  | 2.957     |  |                   |  |  
|                                                                            
|Total income from operations                                                 |  | $                |  | 3.450     |  |                   |  | $
|                                                                            
|Distributions                                                                |  |                  |  |           |  |                   |  |  
|                                                                            
|Distributions to Shareholders                                                |  | $                |  | (1.280)   |  |                   |  | $
|                                                                            
|Total distributions                                                          |  | $                |  | (1.280)   |  |                   |  | $
|                                                                            
|Net asset value  End of period                                              |  | $                |  | 110.470   |  |                   |  | $
|                                                                            
|Total Return(2)                                                              |  |                  |  | 3.21%     |  |                   |  |  
|                                                                            
|Ratios as a percentage of average net assets(3)                              |  |                  |  |           |  |                   |  |  
|                                                                            
|Expenses of Consolidated Real Property Subsidiaries                          |  |                  |  |           |  |                   |  |  
|Interest and other borrowing costs(4)                                        |  |                  |  | 0.63%     |  | (9)               |  |  
|Operating expenses(4)                                                        |  |                  |  | 0.68%     |  | (9)               |  |  
|Belrose Capital Fund LLC Expenses                                            |  |                  |  |           |  |                   |  |  
|Interest and other borrowing costs(5)(6)                                     |  |                  |  | 1.10%     |  | (9)               |  |  
|Investment advisory and administrative fees,
      distribution and          |  |                  |  |           |  |                   |  |  
|servicing fees and other operating expenses(5)(7)                            |  |                  |  | 1.11%     |  | (9)               |  |  
|                                                                             |  |                 
|Total expenses                                                               |  |                  |  | 3.52%     |  | (9)               |  |  
|Net investment income(6)                                                     |  |                  |  | 0.90%     |  | (9)               |  |  
|                                                                            
|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)               |  |  
|Operating expenses(4)                                                        |  |                  |  | 0.51%     |  | (9)               |  |  
|Belrose Capital Fund LLC Expenses                                            |  |                  |  |           |  |                   |  |  
|Interest and other borrowing costs(5)(6)                                     |  |                  |  | 0.83%     |  | (9)               |  |  
|Investment advisory and administrative fees,
      distribution and          |  |                  |  |           |  |                   |  |  
|servicing fees and other operating expenses(5)(7)                            |  |                  |  | 0.83%     |  | (9)               |  |  
|                                                                             |  |                 
|Total expenses                                                               |  |                  |  | 2.65%     |  | (9)               |  |  
|Net investment income(6)                                                     |  |                  |  | 0.67%     |  | (9)               |  |  
|                                                                            
|Supplemental Data                                                            |  |                  |  |           |  |                   |  |  
|                                                                            
|Net assets, end of period (000s omitted)                                    |  | $                |  | 1,759,160 |  |                   |  | $
|Portfolio turnover of Tax-Managed Growth Portfolio (the
      Portfolio)(10) |  |                  |  | 1%        |  |                   |  |  
|                                                                            

|(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 net interest incurred
      or earned in connection with interest rate swap agreements. 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) | Excludes the value of portfolio securities
      contributed or distributed as a result of in-kind transactions. The total
      turnover rate of the Portfolio including contributions and distributions
      in-kind was 3% and 6% for the six months ended June 30, 2006 and the year
      ended December 31, 2005, respectively.                                                                                                                                                                               
|    
|(11) | Amounts to less than 1%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             
|    

See notes to unaudited condensed consolidated
financial statements

9

BELROSE CAPITAL FUND LLCas of June 30, 2006

Notes 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 to 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 $110.47 and $108.30 as of June 30, 2006 and December 31, 2005,
respectively, between Preferred and Common shares that have been restructured is
as follows:

|                     |  | Per Share Value at
|-------------------- |  | ------------------
|                     |  |                   
|                     |  | June 30, 2006     
|                     |  |                   
|Date of Contribution |  | Preferred Shares  
|                    
|February 19, 2003    |  | $ 85.04           
|                    

3 Investment Transactions

The following table summarizes the Funds investment
transactions, other than short-term obligations, for the six months ended June
30, 2006 and 2005:

|                                                                    |  | Six Months Ended
|------------------------------------------------------------------- |  | ----------------
|                                                                    |  |                 
|Investment Transactions                                             |  | June 30, 2006   
|                                                                   
|Decreases in investment in Belvedere Capital Fund Company
      LLC |  | $               
|Acquisition of other real estate(1)                                 |  | $               
|Sale of other real estate(2)                                        |  | $               
|Purchases of Partnership Preference Units(3)                        |  | $               
|Sales of Partnership Preference Units(4)                            |  | $               
|                                                                   

|(1) | On June 30, 2006, Katahdin Property Trust
      LLC (Katahdin) purchased a multifamily residential property for
      $29,342,162.                                                                                                                                                                                                      
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) | On April 6, 2005, Deerfield Property Trust
      (Deerfield) sold an industrial distribution property for which Belrose
      Realty Corporation (Belrose Realty) recognized a loss of $152,242.                                                                                                                                        
|   
|(3) | Purchases of Partnership Preference Units
      for the six months ended June 30, 2006 include Partnership Preference
      Units purchased from the real estate investment affiliate of another
      investment fund advised by Boston Management and Research (Boston
      Management).                                             
|   
|(4) | Sales of Partnership Preference Units for
      the six months ended June 30, 2006 and 2005 represent Partnership
      Preference Units sold to real estate investment affiliates of other
      investment funds advised by Boston Management for which a loss of $241,550
      and a gain of $323,360 were recognized, respectively.
|   



|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 six months ended June 30, 2006 and 2005,
including allocations of income, expenses and net realized and unrealized gains
(losses) for the respective periods then ended:

|                                                                      |  | Six Months Ended
|--------------------------------------------------------------------- |  | ----------------
|                                                                      |  |                 
|                                                                      |  | June 30, 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 from investment transactions, securities
      sold |  |                 
|short and foreign currency transactions allocated
      to            |  |                 
|Belvedere Company from the Portfolio                                  |  | $               
|Net realized gain from investment transactions, securities
      sold |  |                 
|short and foreign currency transactions allocated to
      the        |  |                 
|Fund from Belvedere Company                                           |  | $               

11

|                                                              |  | Six Months Ended
|------------------------------------------------------------- |  | ----------------
|                                                              |  |                 
|                                                              |  | June 30, 2006   
|                                                             
|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 June 30, 2006 and 2005, the value of
      Belvedere Companys interest in the Portfolio represents 72.1% and 68.4%
      of the Portfolios net assets, respectively.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) | As of June 30, 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 June 30, 2006, December 31, 2005 and June 30, 2005 and its
operations for the six months ended June 30, 2006, for the year ended December
31, 2005 and for the six months ended June 30, 2005 follows:

|                                      |  | June 30, 2006 |  | December 31, 2005 |  | June 30, 2005
|------------------------------------- |  | ------------- |  | ----------------- |  | -------------
|                                      |  |              
|Investments, at value                 |  | $             |  | 18,934,068,161    |  | $            
|Other assets                          |  |               |  | 34,515,320        |  |              
|                                     
|Total assets                          |  | $             |  | 18,968,583,481    |  | $            
|                                     
|Collateral for securities loaned      |  | $             |  | 72,500,000        |  | $            
|Demand note payable                   |  |               |  | -                 |  |              
|Management fee payable                |  |               |  | 6,735,653         |  |              
|Other liabilities                     |  |               |  | 754,547           |  |              
|                                     
|Total liabilities                     |  | $             |  | 79,990,200        |  | $            
|                                     
|Net assets                            |  | $             |  | 18,888,593,281    |  | $            
|                                     
|Dividends and interest                |  | $             |  | 175,092,342       |  | $            
|                                     
|Investment adviser fee                |  | $             |  | 41,339,905        |  | $            
|Other expenses                        |  |               |  | 1,142,069         |  |              
|Total expense reductions              |  |               |  | (99)              |  |              
|                                     
|Net expenses                          |  | $             |  | 42,481,875        |  | $            
|                                     
|Net investment income                 |  | $             |  | 132,610,467       |  | $            
|Net realized gain from investment     |  |               |  |                   |  |              
|transactions, securities sold short   |  |               |  |                   |  |              
|and foreign currency transactions     |  |               |  | 453,652,551       |  |              
|Net change in unrealized              |  |               |  |                   |  |              
|appreciation (depreciation) of        |  |               |  |                   |  |              
|investments, securities sold short    |  |               |  |                   |  |              
|and foreign currency                  |  |               |  | (29,804,533)      |  |              
|                                     
|Net increase (decrease) in net assets |  |               |  |                   |  |              
|from operations                       |  | $             |  | 556,458,485       |  | $            
|                                     

12



| | 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 and to
mitigate in part the impact of interest rate changes on Belrose Capitals net
asset value. 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 June 30, 2006 and December 31, 2005 are listed below.

|          |  |                |  |        |  |                    |  |             |  |             |  |                                  |  |                   |  |          
|--------- |  | -------------- |  | ------ |  | ------------------ |  | ----------- |  | ----------- |  | -------------------------------- |  | ----------------- |  | ---------
|          |  | Notional       |  |        |  |                    |  | Initial     |  |             |  |                                  |  |                   |  |          
|          |  | Amount         |  |        |  |                    |  | Optional    |  | Final       |  | Unrealized Appreciation
      at
|Effective |  | (000s         |  | Fixed  |  | Floating           |  | Termination |  | Termination |  |                                 
|Date      |  | omitted)       |  | Rate   |  | Rate               |  | Date        |  | Date        |  | June 30, 2006                    |  | December 31, 2005
|         
|10/03     |  | $
      31,588 |  | 4.180% |  | LIBOR + 0.30%      |  | 7/09        |  | 6/10        |  | $ 1,857,954                      |  | $                 |  | 1,209,537
|10/03     |  | 37,943         |  | 4.160% |  | LIBOR + 0.30%      |  | 11/09       |  | 6/10        |  | 2,250,542                        |  |                   |  | 1,449,351
|10/03     |  | 83,307         |  | 4.045% |  | LIBOR + 0.30%      |  | -           |  | 6/10        |  | 5,249,719                        |  |                   |  | 3,433,250
|06/04     |  | 40,000         |  | 4.875% |  | 3 mo. LIBOR +0.00% |  | -           |  | 6/12        |  | 1,593,801                        |  |                   |  | 42,154   
|         
|          |  |                |  |        |  |                    |  |             |  |             |  | $ 10,952,016                     |  | $                 |  | 6,134,292
|         

6 Debt

A Credit FacilityOn June 30, 2006, Belrose Capital amended its credit arrangement with
DrKW Holdings, Inc. to increase the amount of the term loan by $24,000,000 to an
aggregate principal amount of $266,500,000. Borrowings under this credit
arrangement accrue interest at a rate of one-month LIBOR plus 0.30% per annum.
As of June 30, 2006, outstanding borrowings under this credit arrangement
totaled $266,500,000.

On June 30, 2006, Belrose Capital amended its credit
arrangement with Merrill Lynch Mortgage Capital, Inc. to increase the amount of
the revolving loan facility by $60,000,000 to an aggregate principal amount of
$242,000,000. Borrowings under this credit arrangement accrue interest at a rate
of one-month LIBOR plus 0.38% per annum. A commitment fee of 0.10% per annum is
paid on the unused commitment amount. As of June 30, 2006, outstanding
borrowings under this credit arrangement totaled $126,000,000.

B Mortgages  During March 2006, a mortgage note
payable in the amount of $6,538,000 was secured for the acquisition of a
property by Katahdin. The mortgage note provides for monthly payments of
interest of $31,001, at a fixed interest rate of 5.69%, with the entire
principal balance due at the maturity date, June 1, 2011.

C Notes PayableBelrose Capital and the minority shareholder of Katahdin loaned amounts
to the Katahdin real estate joint venture to fund the purchases of real
property. The notes are expected to be repaid with proceeds from sales of real
property held by Katahdin. The notes bear interest on the outstanding principal
amount at the rate of 8.75% . The entire outstanding principal balance of the
notes, plus all accrued unpaid interest thereon is due and payable at maturity,
generally one year from the date of inception of each note. All balances and
transactions related to the notes payable to Belrose Capital have

13

been eliminated through consolidation of the
financial statements. The notes payable principal balances and accrued and
unpaid interest due to Belrose Capital and the minority shareholder of Katahdin
at June 30, 2006 amount to $25,929,120 and $30,055 and $8,643,040, and $10,019,
respectively.



|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. The Funds revenue includes the Funds pro rata share of
the Portfolios revenue. Separate from its investment in Belvedere Company,
Belrose Capital invests in real estate assets through its subsidiary, Belrose
Realty. Belrose Realty invests directly and indirectly in Partnership Preference
Units and indirectly in real property through its controlled subsidiaries,
Katahdin and Deerfield, and formerly invested in Bel Communities Property Trust
(Bel Communities) (for the period during which Belrose Realty maintained an
interest in Bel Communities). The Funds revenues from the real estate assets
primarily consist of consolidated rental income from Katahdin, Deerfield and Bel
Communities and distribution income from Partnership Preference Units.

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 Funds Credit Facility borrowings and related interest
expense are centrally managed. A portion of the Credit Facility borrowings and
related interest expense have been allocated to the real estate segment for
presentation purposes herein. Credit Facility borrowings allocated to the real
estate segment primarily consist of net amounts borrowed to purchase the Funds
interest in real estate investments. The Funds interest rate swap agreement
balances are disclosed as part of the real estate segment. 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:

14

|                                 |  |               |  | Three Months Ended |  | Six Months Ended
|-------------------------------- |  | ------------- |  | ------------------ |  | ----------------
|                                 |  |               |  |                   
|                                 |  | June 30, 2006 |  | June 30, 2005      |  | June 30, 2006   
|                                 |  |               |  |                    |  |                 
|Revenues                         |  |               |  |                    |  |                 
|The Portfolio*                   |  | $             |  | 6,319,401          |  | $               
|Real Estate                      |  |               |  | 13,696,217         |  |                 
|Unallocated                      |  |               |  | 120,931            |  |                 
|                                 |  |               |  |                    |  |                 
|Total
      revenues             |  | $             |  | 20,136,549         |  | $               
|                                 |  |               |  |                    |  |                 
|                                
|Net increase
      (decrease) in |  |               |  |                    |  |                 
|net
      assets from operations |  |               |  |                    |  |                 
|The Portfolio*                   |  | $             |  | (25,584,104)       |  | $               
|Real Estate                      |  |               |  | 2,513,990          |  |                 
|Unallocated(1)                   |  |               |  | (1,846,068)        |  |                 
|                                 |  |               |  |                    |  |                 
|Net increase
      (decrease)    |  |               |  |                    |  |                 
|in net
      assets from         |  |               |  |                    |  |                 
|operations                       |  | $             |  | (24,916,182)       |  | $               
|                                 |  |               |  |                    |  |                 

|                 |  | June 30,
      2006             |  | December 31, 2005
|---------------- |  | ------------------------------- |  | -----------------
|                 |  |                                 |  |                  
|Net
    assets   |  |                                 |  |                  
|The Portfolio*   |  | $          
      1,799,163,205 |  | $                
|Real Estate      |  | 39,762,281                      |  |                  
|Unallocated(2)   |  | (79,765,302)                    |  |                  
|                 |  |                                 |  |                  
|Net
      Assets |  | $        1,759,160,184          |  | $                
|                 |  |                                 |  |                  

* Belrose Capital invests indirectly in the Portfolio through
Belvedere Company.

|(1) | Unallocated amounts pertain to the overall operation of
      Belrose Capital and do not pertain to either segment. Included in this
      amount are distribution and servicing fees of $871,339, $800,540,
      $1,739,765 and $1,596,166, for the three and six months ended June 30,
      2006 and 2005, respectively.                                                                                                                                                                                                                                                                                                                                                  
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   
|(2) | Amount includes unallocated liabilities, net of
      unallocated assets. Unallocated liabilities primarily consist of
      outstanding unallocated Credit Facility borrowings. Such borrowings are
      used to finance ongoing operations of the Fund and are not allocable to
      reportable segments. As of June 30, 2006 and December 31, 2005, such
      borrowings totaled $86,106,829 and $66,644,485, respectively. Unallocated
      assets represent cash and short-term investments not invested in the
      Portfolio or real estate assets. As of June 30, 2006 and December 31,
      2005, such amounts totaled $7,237,020 and $6,535,618, respectively.
|   



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

Katahdin became party to a claim arising out of the ordinary
course of business during 2005. In June 2006, the claim was settled and Katahdin
recognized a loss of approximately $115,000 as a result of the claim.

15

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 ofBelrose 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 interestrates.

The following discussion should be read in
conjunction with the Fundsunaudited condensed
consolidated financial statementsand related notesin Item 1 above.

MD&A and Results of Operations for the
Quarter EndedJune 30,
2006Compared to the Quarter EndedJune 30, 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 primarily 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-1.39% for the quarter endedJune 30, 2006. This return reflectsa decreasein the Funds net asset value per share
from $112.03to $110.47during the period. The total return of the
S&P 500 Index was-1.44% over the
same period. Last year, the Fund had a total return of0.72%for the quarter ended
June 30, 2005. This return reflectedan increasein the Funds net asset value per share
from $100.03to $100.75during the period. The S&P 500 Index had
a total return of1.37% over the same
period.

Performance of the Portfolio.For the quarter ended June 30, 2006, the Portfolio
had a total return of -1.30%, which compares to the -1.44% total return of its
benchmark, the S&P 500 Index, during the same period. Domestic and
international equity markets faced a challenging second quarter, particularly
during a month-long correction that commenced in mid-May. The riskiest asset
classes suffered the most, as investors traded in high beta, growth exposure for
higher quality, dividend-rich stocks. The tech-heavy NASDAQ Composite declined
more than 7% during the quarter. Positive earnings, record-level profitability
and other favorable corporate developments were overshadowed by rising economic
and geopolitical concerns. Interest rate increases also continued as the Federal
Reserve raised the Federal Funds Rate to 5.25% . Utilities, energy and consumer
staples were the top performing S&P 500 Index sectors, while the information
technology and health care sectors were the worst. Market leading industries in
the second quarter included independent power producers, cable, oil and gas. In
contrast, homebuilders, consumer electronics and specialized finance stocks were
among the weakest performers.

During the quarter, the Portfolio remained broadly
diversified and its strategy of investing in large-capitalization,
valuation-sensitive stocks helped performance in an environment of increased
market volatility and shift in market leadership to high quality. Compared to
the S&P 500 Index, the Portfolio benefited from an overweighting of
the

(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.

16

industrials, energy and consumer staples sectors and
an underweighting of the information technology and health care sectors. The
Portfolios relatively stronger investments among communications equipment,
computers, and wireless telecommunications industries were also positive
contributors to returns. The Portfolios relative performance was adversely
affected by an overweighting of the consumer discretionary sector and an
underweighting of the leading utilities sector. The Portfolios stock selection
in the insurance, retail and leisure industries also detracted from
returns.

Performance of Real Estate Investments.The Funds real estate investments are held through
Belrose Realty Corporation (Belrose Realty). As of June 30, 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 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 June 30, 2006, the
estimated fair value of the Funds real estate investments represented 25.4% 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 28.7% of the Funds net assets as of June 30, 2006.

In June 2006, Katahdin completed the acquisition of
a multifamily property for approximately $29.3 million. The acquired asset is
intended to replace one or more properties expected to be sold during the third
quarter of 2006.

During the quarter ended June 30, 2006, rental
income from real estate operations was approximately $10.2 million compared to
approximately $15.3 million for the quarter ended June 30, 2005, a decrease of
$5.1 million or 33%. This decrease in rental income from real estate operations
was principally 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 39% of consolidated rental income
for the quarter ended June 30, 2005, offset in part by modest increases in the
rental income of Deerfield and Katahdin. During the quarter ended June 30, 2005,
rental income decreased due to Belrose Realtys November 2004 sale of its
interest in a Real Estate Joint Venture, Bel Apartment Property Trust (Bel
Apartment), offset in part by the rental income of Deerfield, which was acquired
in June 2004.

During the quarter ended June 30, 2006, property
operating expenses were approximately $4.2 million compared to approximately
$6.4 million for the quarter ended June 30, 2005, a decrease of $2.2 million or
34%. The decrease in property operating expenses was due to the sale of Bel
Communities referenced above. Property operating expenses for the quarter ended
June 30, 2005 decreased principally due to the sale of Bel Apartment referenced
above.

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

During the quarter ended June 30, 2006, the Fund saw
net unrealized appreciation of the estimated fair value of its other real estate
investments (which include Deerfield and Katahdin) of approximately $5.7 million
compared to unrealized appreciation of approximately $7.6 million during the
quarter ended June 30, 2005. Net unrealized appreciation of approximately $5.7
million during the quarter ended June 30, 2006 was due to net increases in the
estimated fair values of the properties held by Deerfield and Katahdin. Net
unrealized appreciation of approximately $7.6 million during the quarter ended
June 30, 2005 consisted of net unrealized appreciation in the estimated fair
value of the properties of Deerfield and Katahdin.

During the quarter ended June 30, 2006, Belrose
Realty acquired interests in additional Partnership Preference Units for
approximately $10.0 million. During the quarter ended June 30, 2006, Belrose
Realty also sold certain of its Partnership Preference Units for approximately
$7.7 million (representing sales to real estate investment affiliates of other
investment funds advised by Boston Management), recognizing a net loss of
approximately $0.2 million on the transactions.

During the quarter ended June 30, 2006, the Fund saw
net unrealized depreciation of the estimated fair value of its Partnership
Preference Units (including acquisitions from real restate investment affiliates
of other investment funds advised by Boston Managment) of approximately $5.3
million compared to net unrealized appreciation of approximately

17

$0.8 million during the quarter ended June 30, 2005.
The net unrealized depreciation of approximately $5.3 million during the quarter
ended June 30, 2006 consisted of approximately $5.4 million of unrealized
depreciation as a result of decreases in the per unit values of Partnership
Preference Units during the quarter, offset by approximately $0.1 million of
unrealized appreciation resulting from the recharacterization of previously
recorded unrealized depreciation as realized losses due to the sales of
Partnership Preference Units during the quarter. The net unrealized
appreciation of approximately $0.8 million at June 30, 2005 consisted of
approximately $0.7 million of unrealized appreciation as a result of increases
in the per unit values of Partnership Preference Units during the quarter and
approximately $0.1 million of unrealized appreciation resulting from the
recharacterization of previously recorded unrealized depreciation as realized
losses due to the sales of Partnership Preference Units during the
quarter.

Distributions from Partnership Preference Units for
the quarter ended June 30, 2006 were approximately $3.4 million compared to
approximately $1.1 million for the quarter ended June 30, 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 ended June 30, 2006. For the
quarter ended June 30, 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 June 30, 2006, net realized
and unrealized gains on the Funds interest rate swap agreements were
approximately $2.4 million, compared to net realized and unrealized losses of
approximately $5.2 million for the quarter ended June 30, 2005. Net realized and
unrealized gains on swap agreements for the quarter ended June 30, 2006
consisted of $1.9 million of unrealized appreciation due to changes in swap
agreement valuations and $0.5 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 June 30, 2005, net realized and unrealized losses on swap
agreements consisted of unrealized depreciation of $4.8 million on swap
agreement valuation changes and $0.4 million of swap agreement periodic
payments. The positive contribution for the quarter ended June 30, 2006 from
changes in swap valuations was attributable to an increase in swap rates during
the period. The negative impact on Fund performance for the quarter ended June
30, 2005 from changes in swap agreement valuations was attributable to a
decrease in swap rates during the period.

MD&A and Results of Operations for theSix MonthsEndedJune 30, 2006Compared to theSix
MonthsEndedJune 30, 2005

Performance of the Fund.The Funds total return was3.21% for thesix monthsendedJune 30, 2006. This return reflectsan increasein the Funds net asset
value per share from $108.30to
$110.47 and a distribution of $1.28 per shareduring the period. The S&P 500 Index had a total return of2.70% over the same period. Last year,
the Fund had a total return of0.04%for the six months ended June 30, 2005. This return reflecteda decreasein the Funds net asset value per share from $102.03to $100.75 and a
distribution of $1.29 per share during the period. The
S&P 500 Index had a total return of-0.81% over the same period.

Performance of the Portfolio.For the six months ended June 30, 2006, the
Portfolio had a total return of 2.97%, which compares to the 2.70% total return
of the S&P 500 Index for the same period. The broad equity market posted
mixed returns for the six months ended June 30, 2006. Small-cap stocks
outperformed large-cap stocks, while value stocks continued to outperform growth
stocks. Geopolitical fears and economic uncertainty led to a month-long sell-off
toward the end of the period, reversing much of the first quarter gains.
Increased market volatility caused investors to move from risky, speculative
investments to more stable, value-oriented, and dividend-producing stocks. On
balance, corporate trends remained positive, as companies reported solid
earnings gains, record profitability levels, and healthy balance sheets.
However, as the period progressed, strength in corporate profits became
increasingly overshadowed by anxiety surrounding world events and concern over
the direction of the economy and interest rates. Monetary policy remained in a
tightening mode as the Federal Reserve raised its Fed Funds target rate four
times, to 5.25%, over the period. Energy, telecommunications and industrials
were the strongest-performing S&P 500 Index sectors, while information
technology and health care stocks realized weaker semi-annual returns. Record
crude oil prices helped energy-related stocks advance higher. Market-leading
industries in the first half of the year included energy equipment and services,
construction, metal and mining, and diversified telecom. In contrast, internet
software, catalog retail, health care equipment and household durables stocks
were among the weakest performers.

The Portfolio remained broadly diversified,
continuing to emphasize investments in large-cap, high-quality stocks. Compared
to the S&P 500 Index, the Portfolio benefited from an overweighting of the
industrials, energy and consumer

18

staples sectors and an underweighting of the information technology and health care sectors. The Portfolios stock selection among metals and mining, health care providers and air freight logistics industries was also beneficial to
performance. Conversely, an underweight of the telecommunications and utilities sectors, as well as stock selection in retail, insurance and biotechnology holdings, hurt relative performance.

Performance of Real Estate Investments.During the six months ended June 30, 2006, rental income from real estate operations was approximately $20.7 million compared to approximately $30.5 million for the six
months ended June 30, 2005, a decrease of $9.8 million or 32%. This decrease in rental income from real estate operations was principally 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 Bel Communities, which accounted for 39% of consolidated rental income for the six months ended June 30, 2005, offset in part by modest increases in the rental income of Deerfield and Katahdin. For the six
months ended June 30, 2005, rental income from real estate operations decreased principally due to Belrose Realtys sale of its interest in Bel Apartments in November 2004, offset in part by the rental income of Deerfield, which was acquired in
2004.

During the six months ended June 30, 2006, property operating expenses were approximately $8.0 million compared to approximately $14.1 million for the six months ended June 30, 2005, a decrease of $6.1 million or 43%. This decrease
in property operating expenses was principally due to the sale of Bel Communities in October 2005. During the six months ended June 30, 2005, property operating expenses decreased principally due to Belrose Realtys sale of Bel Apartment
referenced above.

The estimated fair value of the real properties indirectly held through Belrose Realty was approximately $436.2 million at June 30, 2006 compared to approximately $385.0 million at December 31, 2005, a net increase of $51.2 million
or 13%. This net increase in the estimated fair value of the real properties for the six months ended June 30, 2006 was due to the acquisition by Katahdin of a multifmaily property for approximately $29.3 million and net increases in the
estimated fair values of properties held by Deerfield and Katahdin. Property values have increased due both to expected growth in near-term property earnings and to lower capitalization and discount rates applied in valuing the
properties.

During the six months ended June 30, 2006, the Fund saw net unrealized appreciation in the estimated fair value of its other real estate investments (which includes Deerfield and Katahdin) of approximately $13.5 million compared to
approximately $29.2 million of unrealized appreciation for the six months ended June 30, 2005, a decrease of $15.7 million. Net unrealized appreciation of $13.5 million during the six months ended June 30, 2006 was due to net increases
in the estimated fair values of the properties held by Deerfield and Katahdin. Net unrealized appreciation of $29.2 million during the six months ended June 30, 2005 was due to increases in the estimated fair value of properties held by Katahdin
and Deerfield.

During the six months ended June 30, 2006, Belrose Realty acquired interests in additional Partnership Preference Units (including acquisitions from the real estate investment affiliate of another investment fund advised by Boston Management)
for approximately $20.2 million. During the six months ended June 30, 2006, Belrose Realty also sold certain of its Partnership Preference Units for approximately $8.0 million (representing sales to real estate investment affiliates of other
investment funds advised by Boston Management), recognizing a net loss of approximately $0.2 million on the transactions.

At June 30, 2006, the estimated fair value of Belrose Realtys Partnership Preference Units was approximately $187.1 million compared to approximately $185.6 million at December 31, 2005, an increase of $1.5 million or 1%. The
net increase in the estimated fair value was principally due to more Partnership Preference Units held at June 30, 2006, partially offset by decreases in the per unit values of the Partnership Preference Units held. Estimated fair values for
Partnership Preference Units have been negatively impacted by rising interest rates, offset slightly by tighter credit spreads for credit-sensitive income securities, including real estate-related securities.

The Fund saw unrealized depreciation in the estimated fair value of its Partnership Preference Units of approximately $10.4 million during the six months ended June 30, 2006 compared to net unrealized appreciation of approximately $1.6
million for the six months ended June 30, 2005. The net unrealized depreciation of approximately $10.4 million during the six months ended June 30, 2006 consisted of approximately $10.6 million of unrealized depreciation as a result of
decreases in the per unit values of Partnership Preference Units during the period, offset by approximately $0.2 million of unrealized appreciation resulting from the recharacterization of previously recorded unrealized depreciation as realized
losses due to the sales of Partnership Preference Units during the period The net unrealized appreciation of approximately $1.6 million during the first six months of 2005 consisted of approximately $1.5 million of unrealized appreciation as
a result of increases in the per unit values of Partnership Preference Units during the period, and approximately $0.1 million of

19

unrealized appreciation resulting from the
recharacterization of previously recorded unrealized depreciation as realized
losses due to the sales of Partnership Preference Units during the
period.

Distributions from Partnership Preference Units for
the six months ended June 30, 2006 were approximately $6.8 million compared to
approximately $2.2 million for the six months ended June 30, 2005, an increase
of $4.6 million or 209%. The increase was principally due to more Partnership
Preference Units held on average during the six months ended June 30, 2006,
partially offset by lower average distribution rates on Partnership Preference
Units held. Distributions from Partnership Preference Units decreased during the
first six months of 2005 due to lower average distribution rates.

Performance of Interest Rate Swap Agreements.For the six months
ended June 30, 2006, net realized and unrealized gains on the Funds interest
rate swap agreements were approximately $5.5 million, compared to net realized
and unrealized losses of approximately $1.2 million for the six months ended
June 30, 2005. Net realized and unrealized gains on swap agreements for the six
months ended June 30, 2006 consisted of $4.8 million of unrealized appreciation
due to changes in swap agreement valuations and $0.7 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 six months ended June 30, 2005, net realized and
unrealized losses on swap agreements consisted of $1.2 million of swap agreement
periodic payments. The positive contribution to Fund performance for the six
months ended June 30, 2006 from changes in swap agreement valuations was
attributable to an increase in swap rates during the period. For the six months
ended June 30, 2005, there was no material impact on Fund performance from
changes in swap agreement valuations, as swap rates for swaps with maturities
comparable to those of the Funds swaps were substantially unchanged during the
period.

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. On
June 30, 2006, the Fund amended its revolving credit facility with Merrill Lynch
Mortgage Capital, Inc. toincreasethe
amount available by $60.0million to
an aggregate amount available for borrowing of $242.0
million. In addition, the Fund amended its term loan
facility with DrKW Holdings, Inc. to increase its borrowings by $24.0 to an
aggregate amount available for borrowing of $266.5 million. 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 ofJune 30, 2006, the Fund had outstanding borrowings
of $392.5 millionand unused loan
commitments of $116.0 millionunder
the CreditFacility.

The Fund has entered into interest rate swap
agreements with respect to a substantial portion of its borrowings under the
Credit Facility. Pursuant to these agreements, the Fund makes periodic payments
to the counterparty at predetermined fixed rates in exchange for floating-rate
payments that fluctuate withone-month 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 ofJune 30,
2006, the accumulated unrealizedappreciationrelated to the interest rate swap
agreements was approximately$11.0 million. As ofDecember 31, 2005, the
accumulated unrealizedappreciationrelated 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 ofDeerfield 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 onone-month and three-month LIBOR. The Fund has entered intointerestrate 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 withone-month 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.

20

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 withNote 5to the
Fundsunaudited condensed consolidated financial
statementsin Item 1 above.



|Interest Rate
      SensitivityCost, Principal (Notional)
      Amountby Contractual Maturity and Callable
      Datefor theTwelve Months
      Ended June 30,*
|---------------------------------------------------------------------------------------------------------------------------------------------------------------

|                            |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  | Estimated   
|--------------------------- |  | ---------- |  | ---------- |  | ---------- |  | ------------ |  | ---------- |  | ------------ |  | ------------ |  | ------------
|                            |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  | Fair Value  
|                            |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  | as ofJune   
|                            |  | 2007       |  | 2008       |  | 2009       |  | 2010         |  | 2011       |  | Thereafter   |  | Total        |  | 30, 2006    
|                           
|                           
|Rate sensitive liabilities: |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|                            |  |           
|                           
|Long-term debt:             |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|                            |  |           
|                           
|Fixed-rate mortgages        |  | $1,598,695 |  | $1,692,576 |  | $1,791,971 |  | $1,897,202   |  | $2,008,612 |  | $236,269,792 |  | $245,258,848 |  | $247,100,000
|                           
|Average interest rate       |  | 5.72%      |  | 5.72%      |  | 5.72%      |  | 5.72%        |  | 5.72%      |  | 6.23%        |  | 6.21%        |  |             
|                            |  |           
|                           
|Variable-rate Credit        |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|Facility                    |  |            |  |            |  |            |  | $392,500,000 |  |            |  |              |  | $392,500,000 |  | $392,500,000
|                           
|Average interest rate       |  |            |  |            |  |            |  | 5.66%        |  |            |  |              |  | 5.66%        |  |             
|                           
|                           
|Rate sensitive derivative   |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|financial instruments:      |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|                            |  |           
|                           
|Pay fixed/receive variable  |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|interest rate               |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|swap agreements             |  |            |  |            |  |            |  | $152,838,000 |  |            |  | $40,000,000  |  | $192,838,000 |  | $10,952,016 
|                           
|Average pay rate            |  |            |  |            |  |            |  | 4.10%        |  |            |  | 4.88%        |  | 4.26%        |  |             
|                           
|Average receive rate        |  |            |  |            |  |            |  | 5.63%        |  |            |  | 5.48%        |  | 5.60%        |  |             
|                           
|                           
|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: 7.66%        |  |            |  |            |  | $9,967,838 |  |              |  |            |  |              |  | $9,967,838   |  | $9,364,400  
|                           
|Colonial Realty Limited     |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|Partnership, 7.25% Series   |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|B Cumulative                |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|Redeemable Perpetual        |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|Preferred Units,            |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|Callable 8/24/09,           |  |            |  |            |  |            |  |              |  |            |  |              |  |              |  |             
|Current Yield: 7.83%        |  |            |  |            |  |            |  | $19,419,240  |  |            |  |              |  | $19,419,240  |  | $18,528,000 

21

|                          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  | Estimated  
|------------------------- |  | ---- |  | ---- |  | ---- |  | ----------- |  | ----------- |  | ---------- |  | ----------- |  | -----------
|                          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  | Fair Value 
|                          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  | as ofJune  
|                          |  | 2007 |  | 2008 |  | 2009 |  | 2010        |  | 2011        |  | Thereafter |  | Total       |  | 30, 2006   
|                         
|                         
|Essex Portfolio, L.P.,    |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|7.875% Series B           |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Cumulative Redeemable     |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Preferred Units,          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 12/31/09,        |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 8.05%      |  |      |  |      |  |      |  | $26,643,900 |  |             |  |            |  | $26,643,900 |  | $25,673,655
|                         
|Essex Portfolio, L.P.,    |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|7.875% Series D           |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Cumulative Redeemable     |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Preferred Units,          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 7/28/10,         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 7.99%      |  |      |  |      |  |      |  |             |  | $12,642,150 |  |            |  | $12,642,150 |  | $12,313,050
|                         
|Kilroy Realty, L.P.,      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|7.45% Series A            |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Cumulative Redeemable     |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Preferred Units,          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 9/30/09,         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 7.75%      |  |      |  |      |  |      |  | $20,392,252 |  |             |  |            |  | $20,392,252 |  | $19,706,896
|                         
|Liberty Property Limited  |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Partnership, 7.45% Series |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|B Cumulative              |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Redeemable Preferred      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Units,                    |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 8/31/09,         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 7.60%      |  |      |  |      |  |      |  | $27,039,290 |  |             |  |            |  | $27,039,290 |  | $25,735,500
|                         
|MHC Operating Limited     |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Partnership, 8.0625%      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Series D Cumulative       |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Redeemable Perpetual      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Preference Units,         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 3/24/10,         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 8.32%      |  |      |  |      |  |      |  | $25,186,560 |  |             |  |            |  | $25,186,560 |  | $24,240,000
|                         
|PSA Institutional         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Partners, L.P., 6.4%      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Series NN Cumulative      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Redeemable Perpetual      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Preferred Units,          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 3/17/10,         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 7.10%      |  |      |  |      |  |      |  | $34,377,134 |  |             |  |            |  | $34,377,134 |  | $32,232,200
|                         
|PSA Institutional         |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Partners, L.P., 7.25%     |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Series J Cumulative       |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Redeemable Perpetual      |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Preferred Units,          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Callable 5/9/11,          |  |      |  |      |  |      |  |             |  |             |  |            |  |             |  |            
|Current Yield: 7.28%      |  |      |  |      |  |      |  |             |  | $10,000,000 |  |            |  | $10,000,000 |  | $9,964,000 

22

|                        |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  | Estimated 
|----------------------- |  | ---- |  | ---- |  | ---- |  | ---- |  | ---------- |  | ---------- |  | ---------- |  | ----------
|                        |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  | Fair Value
|                        |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  | as ofJune 
|                        |  | 2007 |  | 2008 |  | 2009 |  | 2010 |  | 2011       |  | Thereafter |  | Total      |  | 30, 2006  
|                       
|                       
|Vornado Realty, L.P.,   |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  |           
|6.75% Series            |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  |           
|D-14 Cumulative         |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  |           
|Redeemable Preferred    |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  |           
|Units,                  |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  |           
|Callable 9/9/10,        |  |      |  |      |  |      |  |      |  |            |  |            |  |            |  |           
|Current Yield: 7.19%(1) |  |      |  |      |  |      |  |      |  | $9,630,963 |  |            |  | $9,630,963 |  | $9,384,378

|*   |  | The amounts listed reflect the Funds positions as ofJune 30, 2006. The Funds current positions
      may differ.
|--- |  | ------------------------------------------------------------------------------------------------------------------
|(1) |  | Belrose Realtys interest in these
      Partnership Preference Units is held through Belvorn Holdings
      LLC. 

Item4. 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 ofJune 30, 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 endedJune 30, 2006that have materially
affected or are reasonably likely to materially affect the Funds internal
control over financial reporting.

23

PART II. OTHER INFORMATION

Item1. 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.

Item2. 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 theFund (less any applicable redemption
fee). The right to redeem is available to all shareholders
and all outstanding Fund shares areeligible 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 endedJune 30, 2006, the total number of shares redeemed
and the average price paid per share were as follows:

Total No. of Shares
    
    Average Price PaidMonth Ended
    
    Redeemed(1)
    
    Per ShareApril 30, 2006
    
    52,027.710
    
    $111.60May 31, 2006
    
    22,006.506
    
    $112.84June 30, 2006
    
    43,886.497
    
    $108.45Total
    
    117,920.713
    
    $109.41


|(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.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|   

Item3. Defaults Upon Senior
Securities.

None.

Item4. Submission of Matters to a Vote of
Security Holders.

No matters were submitted to a vote of security
holders during thequarterendedJune 30, 2006.

Item5. Other
Information.

None.

24

Item6. Exhibits.

|(a)    |  | The following is a list of all exhibits filed as part of this Form10-Q:                                    
|------ |  | -----------------------------------------------------------------------------------------------------------
|       |  |                                                                                                            
|4.1(e) |  | Amendment No.5dated
      June 30, 2006 to the Loan and Security Agreement between the Fund and
      DrKW 
|       |  | Holdings, Inc.                                                                                             
|       |  |                                                                                                            
|4.2(e) |  | Amendment No.5dated
      June 30, 2006 to the Loan and Security Agreement among the Fund,
      Merrill   
|       |  | Lynch Mortgage Capital, Inc., as Agent, the Lenders referred to
      therein and Merrill Lynch Capital    
|       |  | Services, Inc.                                                                                             
|       |  |                                                                                                            
|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.                                                                                                      

25



|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 onAugust 9, 2006.

BELROSECAPITAL FUND LLC/s/Michelle A.
      GreenMichelle A. GreenChief Financial Officer(Duly Authorized Officer andPrincipal Financial Officer)


26

EXHIBIT INDEX

|4.1(e) |  | Amendment No.5dated
      June 30, 2006 to the Loan and Security Agreement between the Fund and
      DrKW Holdings, Inc.                                                                                                              
|------ |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|       | 
|       |  |                                                                                                                                                                                                                                        
|4.2(e) |  | Amendment No.5dated
      June 30, 2006 to the Loan and Security Agreement among the Fund,
      Merrill  Lynch Mortgage Capital, Inc., as
      Agent, the Lenders referred to therein and Merrill Lynch
      Capital  Services, Inc.
|       | 
|       | 
|       |  |                                                                                                                                                                                                                                        
|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                                                                                               
|       | 

27