UK Repo P&L

Mar 14, 2022
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United Kingdom
Hi All,

Total newbie here, I am struggling to calculate the correct repo PL on a transaction.
Basically I have a GBP Bond which I repo out as below:

UKT 2.75 09/24 (EK1093963)

so (41,395,983) @ 103.57 and I receive cash in of GBP 42,874,661. Lets assume the TD is 24th Feb and the Repo starts on the 25th of Feb. Repo interest rate is 0.10% and the USD/GBP spot rates are 1.3392 on the 24th, 1.3412 on the 25th and 1.3415 on month end day

I am trying to calculate what the USD PL should be on Month end date. I have one system at work telling me the MtD PL should be USD 99,251 and another system at work telling me the MtD PL should be just USD 470 so I am very confused - please could someone help and advise what the correct PL should be for month end based on the above information?

Thank you so much in advance


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