A DI has the following assets in its portfolio: $20 million in cash reserves with the Fed, $20 million in T-bills, and $50 million in mortgage loans. If the assets need to be liquidated at short notice, the DI will receive only 99 percent of the fair market value of the T-bills and 90 percent of the fair market 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 $98 per $100 the mortgage loans. Calculate the liquidity index using the above information.

Select one:

a. 0.952

b. 0.979

c. 0.940

d. 0.948

e. 0.973