giltsyield.com

Return

-£0.581

28 Aug 2026 → 25 Sep 2026

Start dirty price

£42.996

model £42.989

End dirty price

£42.415

model £42.388

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	+£0.189	The passage of time at an unchanged yield: coupons earned plus the bond getting closer to redemption.
Rolldown	-£0.002	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£0.789	The move in the curve itself between the two dates.
Unexplained	+£0.021	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.

TR54

What moved the price

The curve, then and now

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