A portfolio has exposure to the two‐year interest rate and the five‐year interest rate. A one‐basis‐point increase in the two‐year rate causes the value of the portfolio to increase in value by $10,000. A one‐basis-point increase in the five‐year rate causes the value of the portfolio to increase by $8,000. The standard deviation per day of the two‐year rate and that of the five‐year rate are 7 and 8 basis points, respectively, and the correlation between the two rates is 0.8. What is the portfolio's expected shortfall when the confidence level is 98% and the time horizon is five days?