giltsyield.com

Return

-£0.976

04 Sep 2026 → 05 Oct 2026

Start dirty price

£94.845

model £94.628

End dirty price

£93.869

model £93.732

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	+£0.430	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	-£0.006	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.320	The move in the curve itself between the two dates.
Unexplained	-£0.080	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.

T56

What moved the price

The curve, then and now

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