giltsyield.com

Return

-£1.144

28 Aug 2026 → 25 Sep 2026

Start dirty price

£75.700

model £75.916

End dirty price

£74.556

model £74.707

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	+£0.325	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.029	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.563	The move in the curve itself between the two dates.
Unexplained	+£0.065	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.

T45

What moved the price

The curve, then and now

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