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 March 31, 2005 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
330 Madison Avenue, 8th Floor
New York, NY 10017
(Address of principal executive offices) (Zip Code)

Registrant's telephone number, including area code (212) 905-2700

(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

Indicate by check-mark whether the registrant is an accelerated
filer (as defined in Rule 12b-2 of the Exchange Act).

Yes No X

MORGAN STANLEY CHARTER MILLBURN L.P.

INDEX TO QUARTERLY REPORT ON FORM 10-Q

March 31, 2005

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

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

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

MORGAN STANLEY CHARTER MILLBURN L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
For the Quarters Ended March 31, 2005 and 2004
(Unaudited)

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

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

March 31, 2005

(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, 2004 Annual Report
on Form 10-K. Certain reclassifications have been made to the
prior year?s financial statements to conform to the current year
presentation. Such reclassifications have no impact on the
Partnership?s reported net income (loss).

1. Organization
Morgan Stanley Charter Millburn L.P. is a Delaware limited
partnership organized in 1998 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. Monthly, Morgan Stanley DW
pays the Partnership interest income equal to 100% of its average
daily funds held at Morgan Stanley DW at a rate equal to that
earned by Morgan Stanley DW on its U.S. Treasury bill investments.
In addition, Morgan Stanley DW pays interest received from MS &
Co. and MSIL with respect to such Partnership?s assets deposited
as margin. 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
MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

commodity interests, including, but not limited to, foreign
currencies, financial instruments, metals, energy, and agricul-
tural products. Futures and forwards represent contracts for
delayed delivery of an instrument at a specified date and price.
Risk 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 exchange-traded contracts is based on the
settlement price quoted by the exchange on the day with respect
to which market value is being determined. If an exchange-traded
contract could not have been liquidated on such day due to the
operation of daily limits or other rules of the exchange, the
settlement price shall be the settlement price on the first
subsequent day on which the contract could be liquidated. The
market value of off-exchange-traded contracts is based on the
fair market value quoted by the counterparty.

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

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

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;
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 (losses) 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:

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

Net Unrealized Gains/(Losses)
on Open Contracts Longest Maturities

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

Mar. 31, 2005 1,347,645 (1,805,369) (457,724) Feb. 2006 Jun. 2005
Dec. 31, 2004 2,593,008 704,497 3,297,505 Dec. 2005 Mar. 2005

The Partnership has credit risk associated with counterparty non-
performance. The credit risk associated with the instruments in
which the Partnership trades 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.
Exchange-traded futures, forward, 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, forward, 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, forward, and futures-styled options contracts, including
an amount equal to the net unrealized gains (losses) on all open
MORGAN STANLEY CHARTER MILLBURN L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

futures, forward, and futures-styled options contracts, which
funds, in the aggregate, totaled $57,971,006 and $60,797,909 at
March 31, 2005 and December 31, 2004, respectively. With respect
to the Partnership?s off-exchange-traded forward currency
contracts, there are no daily exchange-required settlements of
variation in value, nor is there any requirement that an amount
equal to the net unrealized gains (losses) on open forward
contracts be segregated. However, the Partnership is required to
meet margin requirements equal to the net unrealized loss on open
contracts in the Partnership accounts with the counterparty, which
is accomplished by daily maintenance of the cash balance in a

custody account held at Morgan Stanley DW for the benefit of MS &
Co. 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 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. Such assets
are used as margin to engage in trading and may be used as margin
solely for the Partnership?s 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. 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. For the periods covered by
this report, illiquidity has not materially affected the
Partnership?s assets.

There are no known material trends, demands, commitments, events,
or uncertainties at the present time 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 expects to
have, any capital assets. Redemptions, exchanges, and sales of
units of limited partnership interest (?Unit(s)?) in the future
will affect the amount of funds available for investments in
futures, forwards, and options in subsequent periods. It is not
possible to estimate the amount, and therefore the impact,
of future inflows and outflows of Units.

There are no known material trends, favorable or unfavorable, that
would affect, nor any expected material changes to, the
Partnership?s capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations. 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.

Results of Operations
General. The Partnership?s results depend on the Trading Advisor
and the ability of the Trading Advisor?s trading program to take
advantage of price movements in the futures, forwards, and options
markets. The following presents a summary of the Partnership's
operations for the three month period ended March 31, 2005 and
2004, 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 during the period in question. Past
performance is no guarantee of future results.

The Partnership?s results of operations set forth in the financial
statements on pages 2 through 11 of this report are 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 trading profit (loss)? for open
(unrealized) contracts, and recorded as ?Realized trading profit
(loss)? when open positions are closed out. The sum of these
amounts constitutes the Partnership?s trading results. The market
value of a futures contract 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. Interest income, 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 Ended March 31, 2005
The Partnership recorded total trading results including interest
income totaling $(3,674,869) and expenses totaling $1,213,929,
resulting in a net loss of $4,888,798 for the quarter ended March
31, 2005. The Partnership?s net asset value per Unit decreased
from $10.52 at December 31, 2004 to $9.67 at March 31, 2005.

The most significant trading losses of approximately 5.6% were
recorded in the currency markets, primarily during January, from
short U.S. dollar positions relative to the euro, South African
rand, Japanese yen, Swiss franc, Czech koruna, and Swedish krona
as the value of the U.S. dollar reversed sharply higher in what
many analysts described as a ?corrective? move after its decline
during the fourth quarter of 2004. This increase in the value of
the U.S. dollar was attributed to data released by the U.S.
Treasury Department which showed November's investment inflows to
the U.S. were ample to cover that month?s record trade deficit.
Speculation that U.S. interest rates were likely to continue to
rise, and fears that the re-evaluation of the Chinese yuan was
farther away than expected, also boosted the U.S. dollar.
Further losses in the currency markets were incurred during March
from long positions in the Polish zloty versus the U.S. dollar as
the value of the Polish currency moved lower amid weak economic
data out of that country. Additional losses were
experienced from long positions in the South African rand,
Singapore dollar, and euro relative to the U.S. dollar as the
value of the U.S. dollar reversed sharply higher leading up to
and after the U.S. Federal Reserve's announcement of a quarter-
point increase in the federal funds rate. The value of the U.S.
dollar was further strengthened after news of a larger-than-
expected February increase in consumer prices. Additional
losses of approximately 1.8% were recorded in the agricultural
markets during February from short positions in the soybean
complex, wheat, and corn as prices reversed higher on news of
extremely cold weather in the growing regions of the United
States and rumors of a reduction on world output during 2005.
Elsewhere in the agricultural complex, losses were recorded from
short positions in cotton futures as prices moved higher on news
of strong export demand from Asia. Within the global stock index
futures markets, losses of approximately 0.9% were recorded in
January from long positions in U.S. equity index futures as
prices finished the month lower amid weak consumer confidence
data, concerns regarding U.S. interest rate policy and the
potential for corporate profit growth to slow down. Further
losses were experienced during March from long positions in U.S.
equity index futures after prices moved lower early in the month
amid concerns about the growing U.S. trade deficit, a weaker U.S.
dollar, inflation fears, and a surge in crude oil prices.
Smaller losses in the global stock equity index futures markets,
were experienced primarily during January and March from
long positions in Hang Seng stock index futures as equity prices
in Hong Kong moved lower due to weakness in the technology sector
and fears that higher energy prices will restrict the economic
growth of the region. A portion of the Partnership?s overall
losses for the quarter was offset by gains of approximately 1.3%
in the energy markets during February and March from long futures
positions in gas oil, crude oil, and heating oil as prices
trended higher amid news of increased demand from China, fears of
terror attacks against production facilities in the Middle East,
cold weather in the Northeastern U.S., and predictions from
analysts at Goldman Sachs that oil prices could reach $105 a
barrel. Additional gains of approximately 0.8% were recorded in
the global interest rate futures markets during March from short
positions in short-term U.S. interest rate futures as prices
moved lower after the hike in U.S. interest rates by the U.S.
Federal Reserve. Further gains were recorded during January and
March from long positions in Japanese bond futures as prices
trended higher due to weakness in the equity markets and fears
that a full recovery of the Japanese economy is further away than
investors may have previously expected.

For the Quarter Ended March 31, 2004
The Partnership recorded total trading results including interest
income totaling $3,417,767 and expenses totaling $1,419,250,
resulting in net income of $1,998,517 for the quarter ended March
31, 2004. The Partnership?s net asset value per Unit
increased from $11.11 at December 31, 2003 to $11.45 at March 31,
2004.

The most significant trading gains of approximately 7.6% were
generated in the global interest rate markets from long positions
in European and U.S. interest rate futures during February and
March. During February, global bond prices rallied after central
banks, such as the European Central Bank and U.S. Federal
Reserve, reported no need to raise interest rates due to a lack
of inflation. During March, prices trended higher due to
uncertainty in the global equity markets, disappointing U.S.
economic data, and safe-haven buying following the terrorist
attack in Madrid. Within the global stock index sector, gains of
approximately 1.2% were experienced, primarily during March, from
long positions in Japanese stock index futures as equity prices
rallied higher in response to positive economic data that
reflected the steady pace of Japan?s economic recovery.
Additional gains of approximately 0.9% were experienced in the
energy markets, primarily during February, from long futures
positions in unleaded gasoline and crude oil as low market
supply, falling inventory levels, and production cut
announcements from OPEC caused prices to increase. In the metals
markets, gains of approximately 0.8% were recorded throughout the
quarter from long futures positions in copper as industrial
metals prices trended higher in response to greater demand from
Asia driven by a declining U.S. dollar. Smaller gains of
approximately 0.5% were recorded in the agricultural markets from
long futures positions in corn as growing U.S. exports and
heightened demand from Asia pushed prices higher during the
quarter. A portion of the Partnership?s overall gains for the
quarter was offset by losses of approximately 7.1% in the
currency sector, primarily during February and March, from
positions in the euro against the U.S. dollar and Japanese yen as
the euro experienced significant short-term price volatility.
Additional losses were incurred from positions in the Czech
koruna versus the U.S. dollar as the value of the koruna also
moved without consistent direction throughout the quarter. During
February, further currency losses were experienced from long
positions in the Japanese yen against the U.S. dollar as the
value of the yen reversed sharply lower after the elevation of
Japan?s national security alert and market intervention by the
Bank of Japan. Long positions in the Singapore dollar versus the
U.S. dollar also recorded losses during February as the value of
the Singapore dollar weakened in tandem with the value of the
yen. Losses were recorded in the Asian currencies during March
from newly established short Japanese yen positions against the
U.S. dollar, as the yen reversed higher due to speculation that
the Bank of Japan would be relaxing its efforts to weaken the yen
in the future. Elsewhere in the currency markets, losses were
recorded, primarily in March, from long positions in the Korean
won against the U.S. dollar as political turmoil in South
Korea caused the won to decline.

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 inherent to the primary business activity
of the Partnership.

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, factors that result in frequent
changes in the fair value of the Partnership?s open positions,
and consequently in its earnings, whether realized or unrealized,
and cash flow. Gains and losses on open positions of exchange-
traded futures, forwards, and options are settled daily through
variation margin. Gains and losses on off-exchange-traded
forward currency contracts are settled upon termination of the
contract, however, the Partnership is required to meet margin
requirements equal to the net unrealized loss on open contracts
in the Partnership accounts with the counterparty, which is
accomplished by daily maintenance of the cash balance in a
custody account held at Morgan Stanley DW for the benefit of MS &
Co.

The Partnership?s total market risk may increase or decrease as it
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.

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 Partnership?s past performance is no guarantee 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 and use of
leverage may cause future losses and volatility (i.e., ?risk of
ruin?) that far exceed the Partnership?s experience to date under
the ?Partnership?s Value at Risk in Different Market Sectors?
section and significantly exceed the Value at Risk (?VaR?)
tables disclosed.

Limited partners will not be liable for losses exceeding the
current net asset value of their investment.

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 and cash flow.

The Partnership?s risk exposure in the market sectors traded by
the Trading Advisor is estimated below in terms of VaR. The
Partnership estimates VaR using a model based upon historical
simulation (with a confidence level of 99%) which involves
constructing a distribution of hypothetical daily changes in the
value of a trading portfolio. The VaR model takes into account
linear exposures to risks including 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 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, or one day in 100. VaR
typically does not represent the worst case outcome. 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 March 31, 2005 and 2004. At
March 31, 2005 and 2004, the Partnership?s total capitalization
was approximately $55 million and $72 million, respectively.

Primary Market March 31, 2005 March 31, 2004
Risk Category Value at Risk Value at Risk

Equity (2.11)% (0.76)%
Currency (1.08) (1.48)
Interest Rate (1.01) (2.16)
Commodity (1.09) (1.30)
Aggregate Value at Risk (3.01)% (3.04)%

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.

Because the 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, which 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 April 1, 2004 through March 31, 2005.

Primary Market Risk Category High Low Average
Equity (2.11)% (0.21)% (1.28)%

Currency (1.76) (0.98) (1.36)

Interest Rate (2.02) (0.92) (1.23)

Commodity (1.09) (0.32) (0.66)

Aggregate Value at Risk (3.01)% (2.05)% (2.61)%

Limitations on Value at Risk as an Assessment of Market Risk
VaR models permit estimation of a portfolio?s aggregate market
risk exposure, incorporating a range of varied market risks;
reflect risk reduction due to portfolio diversification or hedging
activities; and can cover a wide range of portfolio assets.
However, VaR risk measures should be viewed in light of the
methodology?s limitations, which include, but may not be limited
to 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 market fluctuations applied to current
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.

In addition, the VaR tables above, as well as the past performance
of the Partnership, give no indication of the Partnership?s
potential ?risk of ruin?.
The VaR tables provided present the results of the Partnership?s
VaR for each of the Partnership?s market risk exposures and on an
aggregate basis at March 31, 2005 and for the four quarter-end
reporting periods from April 1, 2004 through March 31, 2005. VaR
is not necessarily representative of the Partnership?s historic
risk, nor should it be used to predict 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. These balances and any market risk they may represent
are immaterial.

The Partnership also maintains a substantial portion
(approximately 96% as of March 31, 2005) of its available assets
in cash at Morgan Stanley DW. A decline in short-term interest
rates would 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 March 31, 2005, by market sector. It may be
anticipated, however, that these market exposures will vary
materially over time.

Equity. The primary market exposure of the Partnership at March
31, 2005 was to the global stock index sector, primarily to
equity price risk in the G-7 countries. The G-7 countries consist
of France, the U.S., Britain, Germany, Japan, Italy, and Canada.
The stock index futures traded by the Partnership are by law
limited to futures on broadly-based indices. At March 31, 2005,
the Partnership?s primary exposures were to the TOPIX (Japan),
DAX (Germany), Euro Stoxx 50 (Europe), CAC 40 (France),
FTSE 100 (United Kingdom), IBEX 35 (Spain), and S&P 500 (U.S.
stock indices. The Partnership is primarily exposed to the risk
of adverse price trends or static markets in the U.S., European,
Japanese, and Chinese 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.

Currency. The second largest market exposure of the Partnership
at March 31, 2005 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. The
Partnership?s major exposures were to the euro, Canadian dollar,
Japanese yen, Norwegian krone, Swiss franc, British pound,
Australian dollar, and Polish zloty 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 associated with the Partnership?s currency trades
will change significantly in the future.

Interest Rate. The third largest market exposure of the
Partnership at March 31, 2005 was to the global interest rate
sector. Exposure was primarily spread across the European, U.S.,
Japanese, Canadian, and Australian 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. However, the
Partnership also takes futures positions in the government debt
of smaller countries ? e.g., Australia. 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.

Commodity.
Metals. At March 31, 2005, the Partnership had market
exposure in the metals sector. The Partnership's metals
exposure was to fluctuations in the price of base metals,
such as copper, lead, aluminum, nickel, zinc, and
tin, and precious metals such as silver, gold, and platinum.
Economic forces, supply and demand inequalities,
geopolitical factors, and market expectations influence
price movements in these markets. The Trading Advisor
utilizes the trading system(s) to take positions when market
opportunities develop, and Demeter anticipates that the
Partnership will continue to do so.

Energy. At March 31, 2005, the Partnership had market
exposure in the energy sector. The Partnership?s energy
exposure was primarily to futures contracts in crude oil and
its related products. 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.

Soft Commodities and Agriculturals. At March 31, 2005, the
Partnership had market exposure to the markets that comprise
these sectors. Most of the exposure was to the sugar,
cocoa, coffee, corn, live cattle, and wheat markets. 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 March 31, 2005:

Foreign Currency Balances. The Partnership?s primary foreign
currency balances at March 31, 2005 were in euros, Hong Kong
dollars, Japanese yen, British pounds, Polish zlotys, South
African rand, and Australia 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 by
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
Demeter, the general partner of the Partnership, 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 material changes during the period
covered by this quarterly report 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 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF
PROCEEDS
SEC
Registration Statement on Form S-1 Units Registered Effective Date
File Number

Initial Registration 3,000,000.000 November 6, 1998 333-60103
Additional Registration 6,000,000.000 March 27, 2000 333-91569
Additional Registration 10,000,000.000 February 26, 2003 333-103170
Additional Registration 2,000,000.000 April 28, 2004 333-113893
Total Units Registered 21,000,000.000

Units sold through 3/31/05 10,480,692.002
Units unsold through 3/31/05 10,519,307.998

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.

The aggregate price of the Units sold through March 31, 2005 was
$109,308,172.

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
Departure of Directors or Principal Officers; Election of
Directors; Appointment of Principal Officers.

At a meeting of the Board of Directors of Demeter held on March
30, 2005, the following Directors of Demeter resigned, and the
Board of Directors accepted such resignations effective May 1,
2005: Ms. Louise M. Wasso-Jonikas and Messrs. Raymond A. Harris,
Todd Taylor, and William D. Seugling.

At that March 30, 2005 meeting of the Board of Directors of
Demeter, the Board of Directors elected two new Directors
effective May 1, 2005, subject to approval by and registration
with the National Futures Association: Ms. Shelley Hanan and Mr.
Harry Handler.

Item 6. 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 April 25, 2005, filed with the Securities and
Exchange Commission pursuant to Rule 424(b)(3) under the
Securities Act of 1933, as amended, on April 29, 2005.
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 April 25, 2005, filed
with the Securities and Exchange Commission pursuant to
Rule 424(b)(3) under the Securities Act of 1933, as
amended, on April 29, 2005.
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 April 25, 2005, filed
with the Securities and Exchange Commission pursuant to
Rule 424(b)(3) under the Securities Act of 1933, as
amended, on April 29, 2005.
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 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 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.

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)

May 16, 2005 By:/s/Kevin Perry
Kevin Perry
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.

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

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