Suppose your portfolio invest in two securities A and B. The proportional bid ask spread for two securities are independent and normally distributed estimated as mean -0.5% and Sigma -0.1% for first security and mean -0.4% and Sigma -0.05% for second security. The current value of your portfolio is worth $20,000,000. The investment weights on each security are 60% and 40%.

Please estimate the liquidity risk of your portfolio with 99% confidence level.