Becky the Risk Analyst is trying to estimate the credit value at risk (CVaR) of a three-bond portfolio, where the CVaR is defined as the maximum unexpected loss at 99.0% confidence over a one-month horizon. The bonds are independent (i.e., no default correlation) and identical with a one-month forward value of $1.0 million each, a one-year cumulative default probability of 4.0%, and an assumed zero recovery rate. Which is nearest to the one-month 99.0% CVaR?