Termination Rate - ISDA Provision

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2002 ISDA Master Agreement

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Termination Rate in a Nutshell

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Termination Rate in all its glory

Termination Rate” means a rate per annum equal to the arithmetic mean of the cost (without proof or evidence of any actual cost) to each party (as certified by such party) if it were to fund or of funding such amounts.

Related agreements and comparisons

Click here for the text of Section Termination Rate in the 1992 ISDA
Template:Isdadiff Termination Rate

Resources and Navigation

This provision in the 1992

Resources Wikitext | Nutshell wikitext | 1992 ISDA wikitext | 2002 vs 1992 Showdown | 2006 ISDA Definitions | 2008 ISDA | JC’s ISDA code project
Navigation Preamble | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14
Events of Default: 5(a)(i) Failure to Pay or Deliver5(a)(ii) Breach of Agreement5(a)(iii) Credit Support Default5(a)(iv) Misrepresentation5(a)(v) Default Under Specified Transaction5(a)(vi) Cross Default5(a)(vii) Bankruptcy5(a)(viii) Merger without Assumption
Termination Events: 5(b)(i) Illegality5(b)(ii) Force Majeure Event5(b)(iii) Tax Event5(b)(iv) Tax Event Upon Merger5(b)(v) Credit Event Upon Merger5(b)(vi) Additional Termination Event

Index: Click to expand:



Just one of the four different defined terms relating to interest rate determinations in the ISDA Master Agreement. The weren’t going to leave anything to chance, those ninjas.



Ballast, in a word: Termination Rate is an expression which features but once in the ISDA Master Agreement — it is the fallback interest rate to apply to Early Termination Amounts, when all other methods haven’t worked, to accrue interest between determination and payment — and which, as you’ll see, amounts to the party’s own cross-my-heart-and-hope-to-die-but-I’m-still-not-going-to-justify-it cost of borrowing in the market.

Which scarcely would deserve a definition even if it was used repeatedly through the whole agreement.

In any case, since on your own theory of the game, your counterparty is almost certainly a dead parrot at this point, spending too much time agonising about how much interest you can claim from it on a Close-out Amount you are not going to get paid in any case is hardly one of the better uses of its — or your, for that matter — remaining time on this mortal coil.

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  • The JC’s famous Nutshell summary of this clause

Template:M premium 2002 ISDA Termination Rate


See also