Suppose that in the fixed-income securities market, the current one-year and two-year spot interest rates are 4.000% and 5.500%, respectively. (That is, R^Mrkt_0,1 = 4.000% and R^Mrkt_0,2 = 5.500%.) In addition, in the market, the current one-year forward rate one year from now [F^0,Mrkt_1,1] is 6.000%.

Assume that an arbitrager can borrow or lend exactly $1,000 in the forward interest rate market. They execute an arbitrage strategy such that their net cash flows at time t=0 (now) and at the end of Year 1 (t=1) are equal to zero. However, they have a positive net cash flow at the end of Year 2 (t=2). What is the amount of that positive net cash flow at the end of Year 2 (t = 2)? (4 decimal places required)