A company enters into a one-year forward contract to sell 100 U.S. dollars for 150 Australian dollars. The contract is initially at the money. In other words, the forward exchange rate is 1.50.

The one-year dollar risk-free rate of interest is 5% per annum. The one-year dollar rate of interest at which the counterparty can borrow is 6% per annum. The exchange rate volatility is 12% per annum. Estimate the present value of the cost of defaults on the contract? Assume that defaults are recognized only at the end of the life of the contract.