Expertise in Technical Derivatives

5 January 2024

Martello was appointed to provide independent expert witness services in a dispute regarding the value of an interest rate swap as of the trade date. We provided an expert witness to opine on, amongst over things, the mark-to-market value, how the cap and floor of the swap compared to the relevant forward curve and the risks attached to the swap. Our expert report outlined the intricacies of the interest swap, as well as commentary applying the expert’s experience and opinions specifically to the details of the case.


The Martello expert had practiced in trading such swaps for over 25 years. Our expert worked in investment banking for most of his career, including running the teams in Precious Metals Sales and Trading before becoming the Head of all Interest Rate products at a large investment bank. Our in-house team was able to effectively work with the expert assisting in the analysis as well as helping to review the significant volume of information provided.


The Judgement was handed down in early 2024 and the client was successful in their application for summary judgment with the judge relying on matters set out in the report (defined as the “Derivatives Report”) in a number of places in the judgment.