giltsyield.com

Return

-£0.182

04 Sep 2026 → 05 Oct 2026 · includes £0.101 coupon

Start dirty price

£103.405

model £56.607

End dirty price

£103.122

model £55.519

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	+£0.590	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	+£0.027	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.604	The move in the curve itself between the two dates.
Unexplained	+£0.805	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.

TR46

What moved the price

The curve, then and now

Sign in