TR37

1 1/8% Index-linked Treasury Gilt 2037 · GB00B1L6W962

Return

-£0.865

04 Sep 2026 → 02 Oct 2026

Start dirty price

£189.744

model £135.451

End dirty price

£188.879

model £134.135

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	+£1.368	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.083	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£2.767	The move in the curve itself between the two dates.
Unexplained	+£0.451	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.

TR37

What moved the price

The curve, then and now

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