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Question
A financial intermediary has two assets in its investment portfolio. It has 35% of its security portfolio invested in one-month Treasury bills and 65% in real estate loans. If it liquidated the bills today, the bank would receive $98 per hundred of face value. If the real estate loans were sold today, they would be worth $85 per 100 of face value. In one month, the real estate loans could be liquidated at $94 per 100 of face value. What is the intermediary's one-month liquidity index?
A. 0.93
B. 0.92
C. 0.91
D. 0.90
E. 0.89
Answer
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