MORGAN STANLEY CHARTER MILLBURN LP - 10-Q Quarterly Report

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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 September 30, 2003 or

[ ] Transition report pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
For the transition period from to

Commission File Number 0-25605

MORGAN STANLEY CHARTER MILLBURN L.P.

(Exact name of registrant as specified in its charter)

Delaware 13-4018065
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)

Demeter Management Corporation
825 Third Avenue, 9th Floor
New York, NY 10022
(Address of principal executive offices) (Zip Code)

Registrant's telephone number, including area code (212) 310-6444

(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 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

MORGAN STANLEY CHARTER MILLBURN L.P.

INDEX TO QUARTERLY REPORT ON FORM 10-Q

September 30, 2003

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

MORGAN STANLEY CHARTER MILLBURN L.P.
STATEMENTS OF FINANCIAL CONDITION

September 30, December 31,
2003 2002
$ $
(Unaudited)
ASSETS

Equity in futures interests trading accounts:
Cash 59,884,946 40,616,156

Net unrealized gain on open contracts (MS&Co.) 3,759,961 2,778,058
Net unrealized loss on open contracts (MSIL) - (136,681)

Total net unrealized gain on open contracts 3,759,961 2,641,377

Total Trading Equity 63,644,907 43,257,533

Subscriptions receivable 1,991,458 1,528,398
Interest receivable (Morgan Stanley DW) 50,250 48,632

Total Assets 65,686,615 44,834,563

LIABILITIES AND PARTNERS' CAPITAL

Liabilities

Redemptions payable 738,688 266,141
Accrued brokerage fees (Morgan Stanley DW) 331,477 222,620
Accrued management fees 106,073 65,961

Total Liabilities 1,176,238 554,722

Partners' Capital

Limited Partners (5,289,357.495 and
3,916,281.429 Units, respectively) 63,818,868 43,800,015
General Partner (57,312.777 and
42,902.576 Units, respectively) 691,509 479,826

Total Partners' Capital 64,510,377 44,279,841

Total Liabilities and Partners' Capital 65,686,615 44,834,563

NET ASSET VALUE PER UNIT 12.07 11.18

The accompanying notes are an integral part
of these financial statements.

MORGAN STANLEY CHARTER MILLBURN L.P.
STATEMENTS OF OPERATIONS
(Unaudited)

For the Quarters Ended September 30,

2003 2002
$ $

REVENUES

Trading profit (loss):
Realized (949,190) 9,276,838
Net change in unrealized 3,545,604 (2,795,974)

Total Trading Results 2,596,414 6,480,864

Interest income (Morgan Stanley DW) 162,351 156,816

Total 2,758,765 6,637,680

EXPENSES

Brokerage fees (Morgan Stanley DW) 980,853 630,947
Management fees 306,061 186,947
Incentive fees - 99,341

Total 1,286,914 917,235

NET INCOME 1,471,851 5,720,445

NET INCOME ALLOCATION

Limited Partners 1,455,890 5,658,277
General Partner 15,961 62,168

NET INCOME PER UNIT

Limited Partners 0.30 1.65
General Partner 0.30 1.65

The accompanying notes are an integral part
of these financial statements.

MORGAN STANLEY CHARTER MILLBURN L.P.
STATEMENTS OF OPERATIONS
(Unaudited)

For the Nine Months Ended September 30,

2003 2002
$ $

REVENUES

Trading profit:
Realized 6,089,659 10,153,443
Net change in unrealized 1,118,584 1,043,204

Total Trading Results 7,208,243 11,196,647

Interest income (Morgan Stanley DW) 494,587 411,810

Total 7,702,830 11,608,457

EXPENSES

Brokerage fees (Morgan Stanley DW) 2,683,494 1,670,026
Management fees 810,549 487,356
Incentive fees 476,219 99,341

Total 3,970,262 2,256,723

NET INCOME 3,732,568 9,351,734

NET INCOME ALLOCATION

Limited Partners 3,690,885 9,250,978
General Partner 41,683 100,756

NET INCOME PER UNIT

Limited Partners 0.89 2.71
General Partner 0.89 2.71

The accompanying notes are an integral part
of these financial statements.

MORGAN STANLEY CHARTER MILLBURN L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Nine Months Ended September 30, 2003 and 2002
(Unaudited)

Units of
Partnership Limited General
Interest Partners Partner Total
$ $ $

Partners' Capital,
December 31, 2001 3,275,652.396 29,883,431 335,170 30,218,601

Offering of Units 716,011.575 7,084,079 30,000 7,114,079

Net Income - 9,250,978 100,756 9,351,734

Redemptions (448,139.643) (4,367,192) - (4,367,192)

Partners' Capital,
September 30, 2002 3,543,524.328 41,851,296 465,926 42,317,222

Partners' Capital,
December 31, 2002 3,959,184.005 43,800,015 479,826 44,279,841

Offering of Units 1,861,072.081 21,910,135 170,000 22,080,135

Net Income - 3,690,885 41,683 3,732,568

Redemptions (473,585.814) (5,582,167) - (5,582,167)

Partners' Capital,
September 30, 2003 5,346,670.272 63,818,868 691,509 64,510,377

The accompanying notes are an integral part
of these financial statements.

MORGAN STANLEY CHARTER MILLBURN L.P.
STATEMENTS OF CASH FLOWS
(Unaudited)

For the Nine Months Ended September 30,

2003 2002
$ $

CASH FLOWS FROM OPERATING ACTIVITIES

Net income 3,732,568 9,351,734
Noncash item included in net income:
Net change in unrealized (1,118,584) (1,043,204)

Increase in operating assets:
Interest receivable (Morgan Stanley DW) (1,618) (8,140)

Increase in operating liabilities:
Accrued brokerage fees (Morgan Stanley DW) 108,857 52,421
Accrued management fees 40,112 17,323
Accrued incentive fees - 99,341

Net cash provided by operating activities 2,761,335 8,469,475

CASH FLOWS FROM FINANCING ACTIVITIES

Offering of Units 22,080,135 7,114,079
(Increase) decrease in subscriptions receivable (463,060) 101,317
Increase in redemptions payable 472,547 231,496
Redemptions of Units (5,582,167) (4,367,192)

Net cash provided by financing activities 16,507,455 3,079,700

Net increase in cash 19,268,790 11,549,175

Balance at beginning of period 40,616,156 28,407,799

Balance at end of period 59,884,946 39,956,974

The accompanying notes are an integral part
of these financial statements.

MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS

September 30, 2003

(Unaudited)

The unaudited financial statements contained herein include, in
the opinion of management, all adjustments necessary for a fair
presentation of the results of operations and financial condition
of Morgan Stanley Charter Millburn L.P. (the "Partnership"). The
financial statements and condensed notes herein should be read in
conjunction with the Partnership's December 31, 2002 Annual Report
on Form 10-K.

1. Organization
Morgan Stanley Charter Millburn L.P. is a Delaware limited
partnership organized to engage primarily in the speculative
trading of futures contracts, options on futures contracts and
forward contracts on physical commodities and other commodity
interests, including, but not limited to, foreign currencies,
financial instruments, metals, energy and agricultural products.
The Partnership is one of the Morgan Stanley Charter series of
funds, comprised of the Partnership, Morgan Stanley Charter
Campbell L.P., Morgan Stanley Charter Graham L.P., and Morgan
Stanley Charter MSFCM L.P.

MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Partnership's general partner is Demeter Management
Corporation ("Demeter"). The non-clearing commodity broker is
Morgan Stanley DW Inc. ("Morgan Stanley DW"). The clearing
commodity brokers are Morgan Stanley & Co. Incorporated ("MS &
Co.") and Morgan Stanley & Co. International Limited ("MSIL").
Demeter, Morgan Stanley DW, MS & Co. and MSIL are wholly-owned
subsidiaries of Morgan Stanley. Millburn Ridgefield Corporation
(the "Trading Advisor") is the trading advisor to the Partnership.

2. Related Party Transactions
The Partnership's cash is on deposit with Morgan Stanley DW, MS &
Co. and MSIL in futures, forwards and options trading accounts to
meet margin requirements as needed. Morgan Stanley DW pays
interest on these funds based on a rate equal to that earned by
Morgan Stanley DW on its U.S. Treasury bill investments. The
Partnership pays brokerage fees to Morgan Stanley DW.

3. Financial Instruments
The Partnership trades futures contracts, options on futures
contracts and forward contracts on physical commodities and other
commodity interests, including, but not limited to, foreign
currencies, financial instruments, metals, energy and agricultural
products. Futures and forwards represent contracts for delayed
delivery of an instrument at a specified date and price. Risk
MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

arises from changes in the value of these contracts and the
potential inability of counterparties to perform under the terms
of the contracts. There are numerous factors which may
significantly influence the market value of these contracts,
including interest rate volatility.

The market value of contracts is based on closing prices quoted by
the exchange, bank or clearing firm through which the contracts
are traded.

The Partnership's contracts are accounted for on a trade-date
basis and marked to market on a daily basis. The Partnership
accounts for its derivative investments in accordance with the
provisions of Statement of Financial Accounting Standards No.
133, "Accounting for Derivative Instruments and Hedging
Activities" ("SFAS No. 133"). SFAS No. 133 defines a derivative
as a financial instrument or other contract that has all three of
the following characteristics:

1) One or more underlying notional amounts or payment
provisions;
2) Requires no initial net investment or a smaller initial net
investment than would be required relative to changes in
market factors;
MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

3) Terms require or permit net settlement.

Generally, derivatives include futures, forward, swaps or options
contracts, and other financial instruments with similar
characteristics such as caps, floors and collars.

The net unrealized gains on open contracts, reported as a
component of "Equity in futures interests trading accounts" on the
statements of financial condition, and their longest contract
maturities were as follows:

Net Unrealized Gains
on Open Contracts Longest Maturities

Exchange- Off-Exchange- Exchange- Off-Exchange-
Date Traded Traded Total Trade Traded
$ $ $

Sep. 30, 2003 1,436,477 2,323,484 3,759,961 Mar. 2004 Dec. 2003
Dec. 31, 2002 2,330,599 310,778 2,641,377 Mar. 2003 Mar. 2003

The Partnership has credit risk associated with counterparty non-
performance. The credit risk associated with the instruments in
which the Partnership is involved is limited to the amounts
reflected in the Partnership's statements of financial condition.

The Partnership also has credit risk because Morgan Stanley DW,
MS & Co. and MSIL act as the futures commission merchants or the
counterparties with respect to most of the Partnership's assets.
MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Exchange-traded futures and futures-styled options contracts are
marked to market on a daily basis, with variations in value
settled on a daily basis. Morgan Stanley DW, MS & Co. and MSIL,
each as a futures commission merchant for the Partnership's
exchange-traded futures and futures-styled options contracts, are
required, pursuant to regulations of the Commodity Futures
Trading Commission ("CFTC"), to segregate from their own assets,
and for the sole benefit of their commodity customers, all funds
held by them with respect to exchange-traded futures and futures-
styled options contracts, including an amount equal to the net
unrealized gains on all open futures and futures-styled options
contracts, which funds, in the aggregate, totaled $61,321,423 and
$42,946,755 at September 30, 2003 and December 31, 2002,
respectively. With respect to the Partnership's off-exchange-
traded forward currency contracts, there are no daily exchange-
required settlements of variations in value nor is there any
requirement that an amount equal to the net unrealized gains on
open forward contracts be segregated, however, MS & Co. and
Morgan Stanley DW will make daily settlements of losses as
needed. With respect to those off-exchange-traded forward
currency contracts, the Partnership is at risk to the ability of
MS & Co., the sole counterparty on all such contracts, to
perform. The Partnership has a netting agreement with MS & Co.
This agreement, which seeks to reduce both the Partnership's and
MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

MS & Co.'s exposure on off-exchange-traded forward currency
contracts, should materially decrease the Partnership's credit
risk in the event of MS & Co.'s bankruptcy or insolvency.

Item 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS

Liquidity. The Partnership deposits its assets with Morgan Stanley
DW as non-clearing broker and MS & Co. and MSIL as clearing
brokers in separate futures, forwards and options trading accounts
established for the Trading Advisor, which assets are used as
margin to engage in trading. The assets are held in either non-
interest bearing bank accounts or in securities and instruments
permitted by the CFTC for investment of customer segregated or
secured funds. The Partnership's assets held by the commodity
brokers may be used as margin solely for the Partnership's
trading. Since the Partnership's sole purpose is to trade in
futures, forwards and options, it is expected that the Partnership
will continue to own such liquid assets for margin purposes.

The Partnership's investment in futures, forwards and options may,
from time to time, be illiquid. Most U.S. futures exchanges limit
fluctuations in prices during a single day by regulations referred
to as "daily price fluctuations limits" or "daily limits". Trades
may not be executed at prices beyond the daily limit. If the
price for a particular futures or options contract has increased
or decreased by an amount equal to the daily limit, positions in
that futures or options contract can neither be taken nor
liquidated unless traders are willing to effect trades at or
within the limit. Futures prices have occasionally moved the
daily limit for several consecutive days with little or no
trading. These market conditions could prevent the
Partnership from promptly liquidating its futures or options
contracts and result in restrictions on redemptions.

There is no limitation on daily price moves in trading forward
contracts on foreign currencies. The markets for some world
currencies have low trading volume and are illiquid, which may
prevent the Partnership from trading in potentially profitable
markets or prevent the Partnership from promptly liquidating
unfavorable positions in such markets, subjecting it to
substantial losses. Either of these market conditions could
result in restrictions on redemptions.

The Partnership has never had illiquidity affect a material
portion of its assets. Furthermore, there are no material trends,
demands, commitments, events or uncertainties known at the present
time that will result in, or that are reasonably likely to result
in, the Partnership's liquidity increasing or decreasing in any
material way.

Capital Resources. The Partnership does not have, nor expect to
have, any capital assets. Redemptions, exchanges and sales of
additional units of limited partnership interest ("Unit(s)") in
the future will affect the amount of funds available for
investment in futures, forwards and options in subsequent periods.
It is not possible to estimate the amount, and therefore
the impact, of future redemptions of Units.

There are no known material trends, favorable or unfavorable, that
would affect, and no expected material changes to, the
Partnership's capital resource arrangements at the present time.
The Partnership does not have any off-balance sheet arrangements,
nor does it have contractual obligations or commercial commitments
to make future payments that would affect its liquidity or capital
resources. The contracts the Partnership trades are accounted for
on a trade-date basis and marked to market on a daily basis. The
value of futures contracts is the settlement price on the exchange
on which that futures contract is traded on a particular day. The
value of foreign currency forward contracts is based on the spot
rate as of the close of business, New York City time, on a given
day.

Results of Operations
General. The Partnership's results depend on the Trading Advisor
and the ability of the Trading Advisor's trading programs to take
advantage of price movements or other profit opportunities in the
futures, forwards and options markets. The following presents a
summary of the Partnership's operations for the three and nine
month periods ended September 30, 2003 and 2002, and a general
discussion of its trading activities during each period. It is
important to note, however, that the Trading Advisor trades in
various markets at different times and that prior activity
in a particular market does not mean that such market will be
actively traded by the Trading Advisor or will be profitable in
the future. Consequently, the results of operations of the
Partnership are difficult to discuss other than in the context of
the Trading Advisor's trading activities on behalf of the
Partnership and how the Partnership has performed in the past.

The Partnership's results of operations set forth in the
financial statements on pages 2 through 11 of this report were
prepared in accordance with accounting principles generally
accepted in the United States of America, which require the use
of certain accounting policies that affect the amounts reported
in these financial statements, including the following: The
contracts the Partnership trades are accounted for on a trade-
date basis and marked to market on a daily basis. The difference
between their cost and market value is recorded on the Statements
of Operations as "Net change in unrealized profit/loss" for open
(unrealized) contracts, and recorded as "Realized profit/loss"
when open positions are closed out, and the sum of these amounts
constitutes the Partnership's trading revenues. Interest income
revenue, as well as management fees, incentive fees and brokerage
fees expenses of the Partnership are recorded on an accrual
basis.

Demeter believes that, based on the nature of the
operations of the Partnership, no assumptions relating to the
application of critical accounting policies other than those
presently used could reasonably affect reported amounts.

For the Quarter and Nine Months Ended September 30, 2003
For the quarter ended September 30, 2003, the Partnership
recorded total trading revenues, including interest income, of
$2,758,765 and posted an increase in net asset value per Unit.
The most significant gains of approximately 2.9% were recorded in
the global stock index markets from long positions in Asian stock
index futures as prices strengthened during July and August in
response to improved investor sentiment regarding the global
equity markets and robust Japanese economic data. Additional
gains of approximately 1.8% in the currency markets were recorded
from long positions in the Japanese yen and the Korean won versus
the U.S. dollar during September as the values of these Asian
currencies were buoyed by Bank of Japan comments regarding its
passive currency intervention policy and perceptions that the
Japanese economic crisis was finally at a turning point. Smaller
gains of approximately 0.9% in the metals markets resulted from
long positions in gold futures as prices trended higher during
August and September amid technically-based buying and a weaker
U.S. dollar. A portion of the Partnership's overall gains for
the quarter was offset by losses of approximately 0.9% in the
energy markets from long futures positions in gas oil and
heating oil as prices dropped due to increased gasoline supply
from Europe and the U.S. Gulf region. Smaller losses stemmed
from positions in crude oil futures during September as prices
first trailed lower and then unexpectedly reversed higher after
OPEC announced that it would move to reduce output by limiting
production in an effort to stem declining oil prices. Additional
losses of approximately 0.6% in the global interest rate markets
were incurred from short positions in U.S. and European interest
rate futures as prices reversed higher during September amid
renewed fears for an unsustainable economic recovery and lower
global equity prices. Losses of approximately 0.6% in the
agricultural markets were experienced from long coffee futures
positions during August as prices declined amid increased supply
and reduced fears concerning future harvests. Additional losses
resulted from positions in corn as prices first moved higher
during August amid supply fears prompted by weak U.S. harvest
expectations and subsequently reversed lower during September
after better-than-expected harvests and favorable weather
forecasts led to outlooks for increased supply. Total expenses
for the three months ended September 30, 2003 were $1,286,914,
resulting in net income of $1,471,851. The net asset value of a
Unit increased from $11.77 at June 30, 2003 to $12.07 at
September 30, 2003.

For the nine months ended September 30, 2003, the
Partnership recorded total trading revenues, including interest
income, of $7,702,830 and posted an increase in net asset value
per Unit. The most significant gains of approximately 8.5% in
the global interest rate markets were produced from long
positions in German and U.S. interest rate futures as prices
moved higher during February as investors continued to seek the
security of fixed income investments in response to prolonged
uncertainty in global equity markets. During May, long positions
in European, U.S., and Japanese interest rate futures recorded
gains as prices trended higher amid speculation of an interest
rate cut by the Federal Reserve and lingering doubts concerning a
global economic recovery. Short positions in European and U.S.
interest rate futures yielded gains during July as prices
declined amid the release of positive U.S. economic data and
fears of increased inflation risks. Additional gains of
approximately 3.0% in the global stock index markets were
supplied by long positions in Asian stock index futures as prices
strengthened during July and August in response to improved
investor sentiment regarding the global equity markets and robust
Japanese economic data. Gains of approximately 1.7% in the
energy markets resulted from long positions in natural gas
futures as prices jumped sharply higher during February amid
fears that extremely cold weather in the U.S. northeast and
midwest could further deplete already diminished supplies. In
the currency markets, gains of approximately 1.4% were
recorded from long positions in the euro versus the U.S. dollar
during January as the euro's value climbed higher amid renewed
fears of a military conflict with Iraq, increased tensions with
North Korea, and weak U.S. economic data. During May, the value
of the euro continued to trend higher relative to most currencies
following the decision by the European Central Bank to leave
interest rates unchanged. Long positions in the South African
rand and the Australian dollar versus the U.S. dollar also
profited as the value of these currencies strengthened during
April amid significant interest rate differentials and strength
in commodity prices. A portion of the Partnership's overall
gains for the first nine months of the year was offset by losses
of approximately 1.9% in the agricultural markets from positions
in corn futures as prices moved without consistent direction
during January, April, May, August and September amid weather-
related concerns throughout the U.S. midwest. Total expenses for
the nine months ended September 30, 2003 were $3,970,262,
resulting in net income of $3,732,568. The net asset value of a
Unit increased from $11.18 at December 31, 2002 to $12.07 at
September 30, 2003.

For the Quarter and Nine Months Ended September 30, 2002
For the quarter ended September 30, 2002, the Partnership recorded
total trading revenues, including interest income, of $6,637,680
and posted an increase in net asset value per Unit. The
most significant gains of approximately 18.1% were recorded in the
global interest rate markets from previously established long
positions in German and U.S. interest rate futures, as prices
trended higher throughout the quarter due to investors seeking a
safe haven from falling equity prices and increased pessimism
regarding a global economic recovery. Additional gains of
approximately 2.9% were recorded in the global stock index
markets, primarily during July and September, from short positions
in Pacific Rim, European, and U.S. stock index futures as prices
weakened on doubts regarding corporate accounting practices and
global political and economic uncertainty. Additional gains of
approximately 1.1% were recorded in the energy markets, primarily
during August and September, from long positions in crude oil
futures and its related products as prices trended higher on the
increasing possibility of military action against Iraq. A portion
of the Partnership's overall gains was offset by losses of
approximately 4.0% in the currency markets from previously
established long positions in the Japanese yen and euro relative
to the U.S. dollar as these currencies weakened against the dollar
due to the emphasis on a "strong dollar" policy by the Bush
Administration during July and the persistence of trendless price
activity during August and September. Total expenses for the three
months ended September 30, 2002 were $917,235, resulting in net
income of $5,720,445. The net asset value of a Unit increased from
$10.29 at June 30, 2002 to $11.94 at September 30, 2002.
For the nine months ended September 30, 2002, the
Partnership recorded total trading revenues, including interest
income, of $11,608,457 and posted an increase in net asset value
per Unit. The most significant gains of approximately 22.2% were
recorded from long positions in the global interest rate futures
markets as prices trended higher during a majority of the second
and third quarters due to uncertainty regarding a global economic
recovery. In the currency markets, gains of approximately 10.9%
were recorded, primarily during May and June, from previously
established long positions in the euro, Japanese yen, and Swiss
franc relative to the U.S. dollar as the value of these currencies
strengthened against the dollar amid falling U.S. equity prices
and increased tensions in the Israeli-Palestinian conflict.
Additional gains of approximately 2.5% were recorded in the global
stock index markets, primarily during July and September, from
short positions in U.S., European, and Pacific Rim stock index
futures as prices weakened on doubts regarding corporate
accounting practices and global political and economic
uncertainty. A portion of the Partnership's overall gains was
offset by losses of approximately 2.7% in the agricultural markets
primarily from positions in sugar futures as prices moved without
consistent direction amid supply and demand concerns. Total
expenses for the nine months ended September 30, 2002 were
$2,256,723, resulting in net income of $9,351,734. The net asset
value of a Unit increased from $9.23 at December 31, 2001 to
$11.94 at September 30, 2002.

Item 3.QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT
MARKET RISK

Introduction
The Partnership is a commodity pool engaged primarily in the
speculative trading of futures, forwards and options. The market-
sensitive instruments held by the Partnership are acquired for
speculative trading purposes only and, as a result, all or
substantially all of the Partnership's assets are at risk of
trading loss. Unlike an operating company, the risk of market-
sensitive instruments is central, not incidental, to the
Partnership's main business activities.

The futures, forwards and options traded by the Partnership
involve varying degrees of related market risk. Market risk is
often dependent upon changes in the level or volatility of
interest rates, exchange rates, and prices of financial
instruments and commodities. Fluctuations in market risk based
upon these factors result in frequent changes in the fair value
of the Partnership's open positions, and consequently in its
earnings and cash flow.

The Partnership's total market risk is influenced by a wide
variety of factors, including, but not limited to, the
diversification among the Partnership's open positions, the
volatility present within the markets, and the liquidity of the
markets. At different times, each of these factors may act to
increase or decrease the market risk associated with the
Partnership.

The Partnership's past performance is not necessarily indicative
of its future results. Any attempt to numerically quantify the
Partnership's market risk is limited by the uncertainty of its
speculative trading. The Partnership's speculative trading may
cause future losses and volatility (i.e., "risk of ruin") that
far exceed the Partnership's experience to date or any reasonable
expectations based upon historical changes in market value.

Quantifying the Partnership's Trading Value at Risk
The following quantitative disclosures regarding the Partnership's
market risk exposures contain "forward-looking statements" within
the meaning of the safe harbor from civil liability provided for
such statements by the Private Securities Litigation Reform Act of
1995 (set forth in Section 27A of the Securities Act of 1933 and
Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-
looking statements for purposes of the safe harbor, except for
statements of historical fact.

The Partnership accounts for open positions on the basis of mark
to market accounting principles. Any loss in the market value of
the Partnership's open positions is directly reflected in the
Partnership's earnings, whether realized or unrealized, and its
cash flow. Profits and losses on open positions of
exchange-traded futures, forwards and options are settled daily
through variation margin.

The Partnership's risk exposure in the market sectors traded by
the Trading Advisor is estimated below in terms of Value at Risk
("VaR"). The VaR model used by the Partnership includes many
variables that could change the market value of the Partnership's
trading portfolio. The Partnership estimates VaR using a model
based upon historical simulation with a confidence level of 99%.
Historical simulation involves constructing a distribution of
hypothetical daily changes in the value of a trading portfolio.
The VaR model takes into account linear exposures to price and
interest rate risk. Market risks that are incorporated in the
VaR model include equity and commodity prices, interest rates,
foreign exchange rates, and correlation among these variables.
The hypothetical changes in portfolio value are based on daily
percentage changes observed in key market indices or other market
factors ("market risk factors") to which the portfolio is
sensitive. The historical observation period of the Partner-
ship's VaR is approximately four years. The one-day 99%
confidence level of the Partnership's VaR corresponds to the
negative change in portfolio value that, based on observed market
risk factors, would have been exceeded once in 100 trading days.
In other words, one-day VaR for a portfolio is a number such that
losses for a portfolio are estimated to exceed the VaR
only one day in 100. VaR typically does not represent the worst
case outcome.

VaR is calculated using historical simulation. Demeter uses
approximately four years of daily market data (1,000 observations)
and revalues its portfolio (using delta-gamma approximations) for
each of the historical market moves that occurred over this time
period. This generates a probability distribution of daily
"simulated profit and loss" outcomes. The VaR is the appropriate
percentile of this distribution. For example, the 99% one-day VaR
would represent the 10th worst outcome from Demeter's simulated
profit and loss series.

The Partnership's VaR computations are based on the risk
representation of the underlying benchmark for each instrument or
contract and do not distinguish between exchange and non-exchange
dealer-based instruments. They are also not based on exchange
and/or dealer-based maintenance margin requirements.

VaR models, including the Partnership's, are continually evolving
as trading portfolios become more diverse and modeling techniques
and systems capabilities improve. Please note that the VaR model
is used to numerically quantify market risk for historic
reporting purposes only and is not utilized by either Demeter or
the Trading Advisor in their daily risk management activities.
Please further note that VaR as described above may not be
comparable to similarly titled measures used by other entities.

The Partnership's Value at Risk in Different Market Sectors
The following table indicates the VaR associated with the
Partnership's open positions as a percentage of total net assets
by primary market risk category at September 30, 2003 and 2002. At
September 30, 2003 and 2002, the Partnership's total capital-
ization was approximately $65 million and $42 million,
respectively.

Primary Market September 30, 2003 September 30, 2002
Risk Category Value at Risk Value at Risk

Currency (2.44)% (2.02)%
Interest Rate (0.78) (1.70)
Equity (0.76) (0.70)
Commodity (0.98) (1.65)
Aggregate Value at Risk (2.77)% (3.21)%

The VaR for a market category represents the one-day downside
risk for the aggregate exposures associated with this market
category. The Aggregate Value at Risk listed above represents
the VaR of the Partnership's open positions across all the market
categories, and is less than the sum of the VaRs for all such
market categories due to the diversification benefit across asset
classes.

The table above represents the VaR of the Partnership's
open positions at September 30, 2003 and 2002 only and is not
necessarily representative of either the historic or future risk
of an investment in the Partnership. Because the only business of
the Partnership is the speculative trading of futures, forwards
and options, the composition of its trading portfolio can change
significantly over any given time period, or even within a single
trading day. Any changes in open positions could positively or
negatively materially impact market risk as measured by VaR.

The table below supplements the quarter-end VaR set forth above
by presenting the Partnership's high, low and average VaR, as a
percentage of total net assets for the four quarter-end reporting
periods from October 1, 2002 through September 30, 2003.

Primary Market Risk Category High Low Average
Currency (2.58)% (1.29)% (1.95)%

Interest Rate (1.84) (0.65) (1.12)

Equity (0.76) (0.41) (0.60)

Commodity (1.05) (0.39) (0.76)

Aggregate Value at Risk (3.64)% (1.87)% (2.54)%

Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the
Partnership is typically many times the applicable margin
requirements. Margin requirements generally range between 2% and
15% of contract face value. Additionally, the use of leverage
causes the face value of the market sector instruments held
by the Partnership to typically be many times the total
capitalization of the Partnership. The value of the Partnership's
open positions thus creates a "risk of ruin" not typically found
in other investments. The relative size of the positions held may
cause the Partnership to incur losses greatly in excess of VaR
within a short period of time, given the effects of the leverage
employed and market volatility. The VaR tables above, as well as
the past performance of the Partnership, give no indication of
such "risk of ruin". In addition, VaR risk measures should be
viewed in light of the methodology's limitations, which include
the following:
? past changes in market risk factors will not always result in
accurate predictions of the distributions and correlations of
future market movements;
? changes in portfolio value caused by market movements may
differ from those of the VaR model;
? VaR results reflect past trading positions while future risk
depends on future positions;
? VaR using a one-day time horizon does not fully capture the
market risk of positions that cannot be liquidated or hedged
within one day; and
? the historical market risk factor data used for VaR estimation
may provide only limited insight into losses that could be
incurred under certain unusual market movements.

The VaR tables above present the results of the
Partnership's VaR for each of the Partnership's market risk
exposures and on an aggregate basis at September 30, 2003 and
2002, and for the four quarter-end reporting periods from October
1, 2002 through September 30, 2003. Since VaR is based on
historical data, VaR should not be viewed as predictive of the
Partnership's future financial performance or its ability to
manage or monitor risk. There can be no assurance that the
Partnership's actual losses on a particular day will not exceed
the VaR amounts indicated above or that such losses will not occur
more than once in 100 trading days.

Non-Trading Risk
The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. These balances and any market
risk they may represent are immaterial.

The Partnership also maintains a substantial portion
(approximately 89% as of September 30, 2003) of its available
assets in cash at Morgan Stanley DW. A decline in short-term
interest rates will result in a decline in the Partnership's cash
management income. This cash flow risk is not considered to be
material.

Materiality, as used throughout this section, is based on an
assessment of reasonably possible market movements and any
associated potential losses, taking into account the leverage,
optionality and multiplier features of the Partnership's
market-sensitive instruments, in relation to the Partnership's net
assets.

Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership's
market risk exposures - except for (A) those disclosures that are
statements of historical fact and (B) the descriptions of how the
Partnership manages its primary market risk exposures - constitute
forward-looking statements within the meaning of Section 27A of
the Securities Act and Section 21E of the Securities Exchange Act.
The Partnership's primary market risk exposures, as well as the
strategies used and to be used by Demeter and the Trading Advisor
for managing such exposures, are subject to numerous
uncertainties, contingencies and risks, any one of which could
cause the actual results of the Partnership's risk controls to
differ materially from the objectives of such strategies.
Government interventions, defaults and expropriations, illiquid
markets, the emergence of dominant fundamental factors, political
upheavals, changes in historical price relationships, an influx of
new market participants, increased regulation and many other
factors could result in material losses, as well as in material
changes to the risk exposures and the risk management strategies
of the Partnership. Investors must be prepared to lose all or
substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of
the Partnership at September 30, 2003, by market sector. It may
be anticipated, however, that these market exposures will vary
materially over time.

Currency. The primary market exposure of the Partnership at
September 30, 2003 was to the currency sector. The Partnership's
currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships
between different currencies and currency pairs. Interest rate
changes as well as political and general economic conditions
influence these fluctuations. The Partnership trades a large
number of currencies, including cross-rates - i.e., positions
between two currencies other than the U.S. dollar. At September
30, 2003, the Partnership's major exposures were to euro,
Japanese yen, British pound, Canadian dollar and Norwegian krone
currency crosses as well as to outright U.S. dollar positions.
Outright positions consist of the U.S. dollar vs. other
currencies. These other currencies include major and minor
currencies. Demeter does not anticipate that the risk profile of
the Partnership's currency sector will change significantly in
the future. The currency trading VaR figure includes foreign
margin amounts converted into U.S. dollars with an incremental
adjustment to reflect the exchange rate risk inherent to the
U.S.-based Partnership in expressing VaR in a functional currency
other than U.S. dollars.
Interest Rate. The second largest market exposure of the
Partner-ship at September 30, 2003 was to the global interest
rate sector. Exposure was primarily spread across the U.S.,
European and Japanese interest rate sectors. Interest rate
movements directly affect the price of the sovereign bond futures
positions held by the Partnership and indirectly affect the value
of its stock index and currency positions. Interest rate
movements in one country, as well as relative interest rate
movements between countries, materially impact the Partnership's
profitability. The Partnership's interest rate exposure is
generally to interest rate fluctuations in the U.S. and the other
G-7 countries. The G-7 countries consist of France, the U.S.,
Britain, Germany, Japan, Italy, and Canada. Demeter anticipates
that the G-7 countries interest rates will remain the primary
interest rate exposure of the Partnership for the foreseeable
future. The speculative futures positions held by the
Partnership may range from short to long-term instruments.
Consequently, changes in short, medium or long-term interest
rates may have an effect on the Partnership.

Equity. The third largest market exposure of the Partnership at
September 30, 2003 was to the global stock index sector,
primarily equity price risk in the G-7 countries. The stock
index futures traded by the Partnership are by law limited to
futures on broadly-based indices. At September 30, 2003, the
Partnership's primary exposures were to the Hang Seng (Hong
Kong), DAX (Germany) and TOPIX (Japan) stock indices. The
Partnership is primarily exposed to the risk of adverse price
trends or static markets in the U.S., European, Japanese and Hong
Kong stock indices. Static markets would not cause major market
changes, but would make it difficult for the Partnership to avoid
trendless price movements resulting in numerous small losses.

Commodity.
Energy. At September 30, 2003, the Partnership's energy
exposure was primarily to futures contracts in crude oil and
its related products, and natural gas. Price movements in
these markets result from geopolitical developments,
particularly in the Middle East, as well as weather patterns
and other economic fundamentals. Significant profits and
losses, which have been experienced in the past, are
expected to continue to be experienced in the future.
Natural gas has exhibited volatility in prices resulting
from weather patterns and supply and demand factors and will
likely continue in this choppy pattern.

Metals. The Partnership's metals exposure at September 30,
2003 was to fluctuations in the price of precious metals,
such as gold, and base metals, such as copper. Economic
forces, supply and demand inequalities, geopolitical factors
and market expectations influence price movements in these
markets. The Trading Advisor, from time to time, takes
positions when market opportunities develop and
Demeter anticipates that the Partnership will continue to do
so.

Soft Commodities and Agriculturals. At September 30, 2003,
the Partnership had exposure to the markets that comprise
these sectors. Most of the exposure was to corn, cotton and
coffee. Supply and demand inequalities, severe weather
disruptions and market expectations affect price movements
in these markets.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following was the only non-trading risk exposure of the
Partnership at September 30, 2003:

Foreign Currency Balances. The Partnership's primary foreign
currency balances at September 30, 2003 were in euros,
Japanese yen, and Hong Kong dollars. The Partnership
controls the non-trading risk of foreign currency balances
by regularly converting them back into U.S. dollars upon
liquidation of their respective positions.

Qualitative Disclosures Regarding Means of Managing Risk Exposure
The Partnership and the Trading Advisor, separately, attempt to
manage the risk of the Partnership's open positions in essentially
the same manner in all market categories traded. Demeter attempts
to manage market exposure by diversifying the Partnership's
assets among different market sectors and trading approaches, and
monitoring the performance of the Trading Advisor daily. In
addition, the Trading Advisor establishes diversification
guidelines, often set in terms of the maximum margin to be
committed to positions in any one market sector or market-
sensitive instrument.

Demeter monitors and controls the risk of the Partnership's non-
trading instrument, cash. Cash is the only Partnership investment
directed by Demeter, rather than the Trading Advisor.

Item 4. CONTROLS AND PROCEDURES
(a) As of the end of the period covered by this quarterly
report, the President and Chief Financial Officer of
the general partner, Demeter, have evaluated the
effectiveness of the Partnership's disclosure controls
and procedures (as defined in Rules 13a-15(e) and 15d-
15(e) of the Exchange Act), and have judged such
controls and procedures to be effective.

(b) There have been no significant changes in the
Partnership's internal controls or in other factors
that could significantly affect these controls
subsequent to the date of their evaluation.

PART II. OTHER INFORMATION

Item 1. LEGAL PROCEEDINGS
None.

Item 2. CHANGES IN SECURITIES AND USE OF PROCEEDS
The Partnership initially registered 3,000,000 Units pursuant to
a Registration Statement on Form S-1, which became effective on
November 6, 1998 (SEC File Number 333-60103).

The Partnership registered an additional 6,000,000 Units pursuant
to a new Registration Statement on Form S-1, which became
effective on March 27, 2000 (SEC File Number 333-91569).

The Partnership registered an additional 10,000,000 Units
pursuant to a Registration Statement on Form S-1, which became
effective on February 26, 2003 (SEC File Number 333-103170).

The managing underwriter for the Partnership is Morgan Stanley
DW.

Units are continuously sold at monthly closings at a purchase
price equal to 100% of the net asset value per Unit as of the
close of business on the last day of each month.

Through September 30, 2003, 7,516,404.649 Units were sold,
leaving 11,483,595.351 Units unsold. The aggregate price of the
Units sold through September 30, 2003 was $77,928,856.

Since no expenses are chargeable against proceeds, 100% of the
proceeds of the offering have been applied to the working capital
of the Partnership for use in accordance with the "Use of
Proceeds" section of the prospectus included as part of the above
referenced Registration Statements.

Item 5. OTHER INFORMATION
Management. The following individuals were named to the Board of
Directors of Demeter in the quarter ended March 31, 2003 and were
subsequently confirmed as principals of Demeter by the National
Futures Association:

Mr. Douglas J. Ketterer was confirmed as a principal of Demeter
by the National Futures Association on October 27, 2003.

Mr. Jeffrey S. Swartz was confirmed as a principal of Demeter by
the National Futures Association on October 23, 2003.

Item 6. EXHIBITS AND REPORTS ON FORM 8-K

(A) Exhibits

3.01 Form of Amended and Restated Limited Partnership
Agreement of the Partnership, is incorporated by
reference to Exhibit A of the Partnership's Prospectus,
dated February 26, 2003, filed with the Securities and
Exchange Commission pursuant to Rule 424(b)(3) under the
Securities Act of 1933, as amended, on March 18, 2003.
3.02 Certificate of Limited Partnership, dated July 15, 1998,
is incorporated by reference to Exhibit 3.02 of the
Partnership's Registration Statement on Form S-1 (File
No. 333-60103) filed with the Securities and Exchange
Commission on July 29, 1998.
3.03 Certificate of Amendment of Certificate of Limited
Partnership, dated November 1, 2001 (changing its name
from Morgan Stanley Dean Witter Millburn L.P.), is
incorporated by reference to Exhibit 3.01 of the
Partnership's Form 8-K (File No. 0-25605) filed with the
Securities and Exchange Commission on November 6, 2001.
10.01 Management Agreement, dated as of November 6, 1998, among
the Partnership, Demeter, and Millburn Ridgefield
Corporation is incorporated by reference to Exhibit 10.01
of the Partnership's Quarterly Report on Form 10-Q (File
No. 0-25605) filed with the Securities and Exchange
Commission on May 17, 1999.
10.02 Form of Subscription and Exchange Agreement and Power of
Attorney to be executed by each purchaser of Units is
incorporated by reference to Exhibit B of the
Partnership's Prospectus, dated February 26, 2003, filed
with the Securities and Exchange Commission pursuant to
Rule 424(b)(3) under the Securities Act of 1933, as
amended, on March 18, 2003.
10.03 Amended and Restated Escrow Agreement, dated as of August
31, 2002, among the Partnership, Morgan Stanley Charter
Graham L.P., Morgan Stanley Charter Welton L.P., Morgan
Stanley Charter MSFCM L.P., Morgan Stanley DW and JP
Morgan Chase Bank is incorporated by reference to Exhibit
10.04 of the Partnership's Registration Statement on Form
S-1 (File No. 333-103170) filed with the Securities and
Exchange Commission on February 13, 2003.

10.04 Amended and Restated Customer Agreement between the
Partnership and Morgan Stanley DW, dated as of November
13, 2000, is incorporated by reference to Exhibit 10.01
of the Partnership's Form 8-K (File No. 0-25605) filed
with the Securities and Exchange Commission on November
6, 2001.
10.05 Commodity Futures Customer Agreement between MS & Co. and
the Partnership, acknowledged and agreed to by Morgan
Stanley DW, dated as of November 6, 2000, is incorporated
by reference to Exhibit 10.02 of the Partnership's Form
8-K (File No. 0-25605) filed with the Securities and
Exchange Commission on November 6, 2001.
10.06 Customer Agreement between the Partnership and MSIL,
dated as of November 6, 2000, is incorporated by
reference to Exhibit 10.04 of the Partnership's Form 8-K
(File No. 0-25605) filed with the Securities and Exchange
Commission on November 6, 2001.
10.07 Foreign Exchange and Options Master Agreement between MS
& Co. and the Partnership, dated as of August 30, 1999,
is incorporated by reference to Exhibit 10.05 of the
Partnership's Form 8-K (File No. 0-25605) filed with the
Securities and Exchange Commission on November 6, 2001.
10.08 Form of Subscription Agreement Update Form is
incorporated by reference to Exhibit C of the
Partnership's Prospectus dated February 26, 2003, filed
with the Securities and Exchange Commission pursuant to
Rule 424(b)(3) under the Securities Act of 1933, as
amended, on March 18, 2003.
10.09 Securities Account Control Agreement among the
Partnership, MS & Co., and Morgan Stanley DW, dated as of
May 1, 2000, is incorporated by reference to Exhibit
10.03 of the Partnership's Form 8-K (File No. 0-25605)
filed with the Securities and Exchange Commission on
November 6, 2001.
31.01 Certification of President of Demeter Management
Corporation, the general partner of the Partnership,
pursuant to rules 13a-15(e) and 15d-15(e), as adopted
pursuant to Section 302 of the Sarbanes-Oxley Act of
2002.
31.02 Certification of Chief Financial Officer of Demeter
Management Corporation, the general partner of the
Partnership, pursuant to rules 13a-15(e) and 15d-15(e),
as adopted pursuant to Section 302 of the
Sarbanes-Oxley Act of 2002.
32.01 Certification of President of Demeter Management
Corporation, the general partner of the Partnership,
pursuant to 18 U.S.C. Section 1350, as adopted pursuant
to Section 906 of the Sarbanes-Oxley Act of 2002.
32.02 Certification of Chief Financial Officer of Demeter
Management Corporation, the general partner of the
Partnership, 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.

SIGNATURE

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

Morgan Stanley Charter Millburn L.P.
(Registrant)

By: Demeter Management Corporation
(General Partner)

November 14, 2003 By:/s/Jeffrey D. Hahn
Jeffrey D. Hahn
Chief Financial Officer

The General Partner which signed the above is the only party
authorized to act for the Registrant. The Registrant has no
principal executive officer, principal financial officer,
controller, or principal accounting officer and has no Board of
Directors.