giltsyield.com

Return

-£0.245

04 Sep 2026 → 05 Oct 2026 · includes £0.108 coupon

Start dirty price

£116.024

model £67.667

End dirty price

£115.672

model £66.435

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	+£0.702	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.038	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.864	The move in the curve itself between the two dates.
Unexplained	+£0.880	The residual between the traded prices and what carry, rolldown and variation account for.

The curve, then and now

Market data as of 04 Sep 2026 and 05 Oct 2026.

T44

What moved the price

The curve, then and now

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