giltsyield.com

Dirty price move

-£1.166

07 Aug 2026 → 09 Sep 2026

Start dirty price

£70.240

model £70.240

End dirty price

£69.074

model £69.074

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	+£0.294	The passage of time at an unchanged yield: the bond simply gets one period closer to redemption.
Rolldown	+£0.046	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.517	The move in the curve itself between the two dates.
Unexplained	+£0.010	The residual between the traded prices and what carry, rolldown and variation account for.

The curve, then and now

Market data as of 07 Aug 2026 and 09 Sep 2026.

T38

What moved the price

The curve, then and now

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