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Derivatives

  Derivatives   |   Terms
  • 4386
  • July 24, 2020
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Unwind

The termination of a swap or other OTC derivative prior to its maturity date. The cancelling counterparty pays the other counterparty a lump sum amount being the present value of the future cashflows (known as the swap unwind value). This requires the discounting of the remaining cash flows under the swap agreement at prevailing interest rates. If the present value of the swap is not zero at the time of termination, then the termination fee will be paid to compensate the other counterparty.

It is also referred to as a cancellation.


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