giltsyield.com

Dirty price move

-£0.671

26 Aug 2026 → 25 Sep 2026

Start dirty price

£99.514

model £99.784

End dirty price

£98.842

model £99.011

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: the bond simply gets one period closer to redemption.
Rolldown	+£0.028	The yield change that comes from the shorter remaining maturity — rolling down the same curve.
Variation	-£1.180	The move in the curve itself between the two dates.
Unexplained	+£0.127	The residual between the traded prices and what carry, rolldown and variation account for.

The curve, then and now

Market data as of 26 Aug 2026 and 25 Sep 2026.

TS29

What moved the price

The curve, then and now

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