Microsoft Treasury, the division charged with managing the software giant’s financial assets and foreign currency exposure, has beefed up its asset management system by moving risk management onto AMD’s 64-bit Opteron servers. Using the Barra TotalRisk System to manage risk in its financial portfolio, Microsoft Treasury was finding that Monte Carlo simulations were taking 12 to 14 hours, said George Zinn, treasurer and corporate vice president of the Microsoft Corporation. Running on AMD Opteron has cut the processing time to 3 or 4 hours.

“Moving $26.7 billion into cash in preparation for a dividend requires care to avoid being squeezed,” – George Zinn

Counting foreign exchange exposures, Microsoft’s Treasury runs a portfolio of about $85 billion, Zinn said.

“That is across multiple asset classes and we have to figure out what our potential risk is in the portfolio, and give the correlation of all the asset classes and the historical returns. Barra provides a picture of potential losses in the future,” he said. Microsoft Treasury runs the portfolio against value at risk (VAR) benchmarks to ensure that it does not exceed risk limits that have been set by the board.

“So this is a mission-critical run that is done daily,” Zinn said.

Reports are color coded, with a green zone when risk is in the proper range, yellow when it is in danger of exceeding the benchmark, and red when it is in violation. The treasury hit the red zone recently when it had too much cash, but that was accumulated to pay out a special dividend. To hold that level of cash required an exception from the chief financial officer – a procedure governed by board policy.

“To get into a position to pay the dividend, we moved $26.7 billion out of assets to add to cash,” Zinn explained. “We had a great shift in the asset base from long term equities to cash and marketable securities, and we had to do it in a way to avoid being squeezed as we got out of the market.”

The size and complexity of the portfolio that Microsoft Treasury manages creates challenges for running Barra’s sophisticated risk measurement application. One of its most pressing was accessing enough memory to handle all the assets at once, especially when running up against the maximum addressable limit of 4 gigabytes (GB) of virtual and physical memory in a 32-bit architecture.

“When the number of instruments you are analyzing starts increasing, you may need more memory than a 32-bit architecture can provide,” said Max Giolitti, group risk manager for Microsoft Treasury. “In 32-bit mode the OS footprint takes up 1 GB of memory by itself. Running 32-bit applications on the 64-bit extended system gives us the 1 GB of application addressable virtual memory back.”

To expand the addressable memory, Microsoft Treasury added four-way and two-way AMD Opteron servers running the public beta version of the Windows Server 2003 Enterprise Edition for 64-bit Extended Systems. Now it can address more than 4 GB of virtual memory and allocate a separate memory space for the operating system.

“Before using the AMD64 computing platform, sometimes we would have to split up financial holdings before running the program, to avoid overloading the 32-bit system. Now, we can load all the data sets and still run the application as it was designed to operate. And best of all, we didn’t have to re-write a single line of code,” said Giolitti.

Microsoft’s treasury systems are highly scalable and can support a portfolio ranging from $20 billion to $120 billion, said Zinn. Microsoft’s portfolio not only has a large number of positions, but the positions tend to be very complex, he added.

“We have developed a very scalable high-performance environment on these 64-bit machines in our data center,” he said.