giltsyield.com

Return

-£1.492

28 Aug 2026 → 28 Sep 2026

Start dirty price

£96.203

model £96.218

End dirty price

£94.711

model £94.747

Mark-to-market is the traded price; mark-to-model discounts the remaining flows along the fitted curve. The decomposition below is computed on the model prices.

What moved the price

Effect	Contribution	What it is
Carry	+£0.350	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.049	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.871	The move in the curve itself between the two dates.
Unexplained	-£0.021	The residual between the traded prices and what carry, rolldown and variation account for.

The curve, then and now

Market data as of 28 Aug 2026 and 28 Sep 2026.

T33H

What moved the price

The curve, then and now

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