On April 1, the one-month LIBOR rate is 0.11038%, and the two-month LIBOR rate is 0.14838%. The 30-day May Fed Funds rate futures contract is quoting at 99.90. You think there might be an arbitrage play based upon the likelihood of rising interest rates in the near-term. You will use one $5,000,000 contract.

Now, suppose that on May 1, the one-month LIBOR has risen (as you suspected), and it now stands at 0.20255%. Rounded to the nearest cent, the present value at May 1 of the two-month loan you made is now $____. [Hint: This will be slightly less than five million.]