giltsyield.com

Return

-£0.084

04 Sep 2026 → 02 Oct 2026 · includes £0.358 coupon

Start dirty price

£84.142

model £49.300

End dirty price

£83.700

model £48.316

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	+£0.510	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.024	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.159	The move in the curve itself between the two dates.
Unexplained	+£0.542	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.

TR45

What moved the price

The curve, then and now

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