giltsyield.com

Return

-£1.365

28 Aug 2026 → 25 Sep 2026

Start dirty price

£89.179

model £89.106

End dirty price

£87.814

model £87.726

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	+£0.369	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.046	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.795	The move in the curve itself between the two dates.
Unexplained	+£0.015	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 25 Sep 2026.

T40

What moved the price

The curve, then and now

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