Calculate the three-month liquidity index value

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Reference no: EM132002198

A DI has four assets: 35 percent in three-month Treasury bills, 25 percent in real estate loans, 10 percent in one-month Treasury bills, and 30 percent in cash. If the DI must liquidate its three-month T-bills today, it receives $85 per $100 of face value; if it can wait to liquidate them on maturity (in three month's time), it will receive $100 per $100 of face value. If the DI has to liquidate its real estate loans today, it receives $4,500,000 of the $5,000,000 face value, while liquidation at the end of three month will produce $4,900,000. If the DI, must liquidate its onemonth T-bills today, it receives $95 per $100 of face value; if it can wait to liquidate them on maturity (in one month), it will receive $100 per $100 of face value. Calculate the three-month liquidity index value for this DI's asset portfolio.

Reference no: EM132002198

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