giltsyield.com

Return

+£2.071

04 Sep 2026 → 02 Oct 2026 · includes £0.104 coupon

Start dirty price

£72.861

model £20.561

End dirty price

£74.828

model £20.342

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	+£0.212	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	-£0.018	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£0.309	The move in the curve itself between the two dates.
Unexplained	+£2.186	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 02 Oct 2026.

T68

What moved the price

The curve, then and now

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