giltsyield.com

Dirty price move

-£3.461

07 Aug 2026 → 09 Sep 2026

Start dirty price

£92.562

model £92.627

End dirty price

£89.100

model £89.095

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	-£1.732	The passage of time at an unchanged yield: the bond simply gets one period closer to redemption.
Rolldown	+£0.052	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.865	The move in the curve itself between the two dates.
Unexplained	+£0.084	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.

T39

What moved the price

The curve, then and now

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