giltsyield.com

Dirty price move

-£3.341

14 Aug 2026 → 16 Sep 2026

Start dirty price

£97.688

model £97.768

End dirty price

£94.348

model £94.401

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	-£1.856	The passage of time at an unchanged yield: the bond simply gets one period closer to redemption.
Rolldown	+£0.056	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.580	The move in the curve itself between the two dates.
Unexplained	+£0.040	The residual between the traded prices and what carry, rolldown and variation account for.

The curve, then and now

Market data as of 14 Aug 2026 and 16 Sep 2026.

T37H

What moved the price

The curve, then and now

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