A Financial Intermediary Has Two Assets in Its Investment Portfolio

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 [(0.35 x 0.98) + (0.65 x 0.85) ]/[(0.35 x 1.00) + (0.65 x 0.94) ] = 0.93