The only trap similar to what you are looking for is the tcpConnectionClose trap
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.1.3.6.1.4.1.9.0.1
tcpConnectionClose OBJECT-TYPE
-- FROM CISCOTRAP-MIB
TRAP
VARBINDS { tslineSesType, tcpConnState, loctcpConnElapsed, loctcpConnInBytes, loctcpConnOutBytes, tsLineUser }
DESCRIPTION "A tty trap signifies that a TCP connection,
previously established with the sending
protocol entity for the purposes of a tty
session, has been terminated."
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however these will only be sent on the session close, and will also be sent by more than just an exec/cmd-line session (i.e. dlsw peer tcp connections closing, etc. but since these are terminal servers you probably don't have that issue).
They are enabled by default on most platforms (i.e. once any traps are enabled), or are enabled by the 'snmp-server enable traps tty' command on later IOS versions (12.3) that support disabling them.