Calculate the one-month liquidity index

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Reference no: EM131826146

A DI has the following assets in its portfolio: $10 million in cash reserves with the Fed, $25 million in T-bills, and $65 million in mortgage loans. If the DI has to liquidate the assets today, it will receive only $98 per $100 of face value of the T-bills and $90 per $100 of face value of the mortgage loans. Liquidation at the end of one month (closer to maturity) will produce $100 per $100 of face value of the T-bills and $97 per $100 of face value of the mortgage.

Calculate the one-month liquidity index for this DI using the preceding information.

Reference no: EM131826146

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