giltsyield.com

Return

-£1.115

28 Aug 2026 → 25 Sep 2026

Start dirty price

£98.879

model £98.660

End dirty price

£97.764

model £97.520

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	+£0.353	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.045	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.539	The move in the curve itself between the two dates.
Unexplained	+£0.025	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.

TR32

What moved the price

The curve, then and now

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