PCA 2026-09-10 ・ 500-day window, daily changes
| tenor | PC1 (76%) | PC2 (20%) | PC3 (2%) | PC res | z |
|---|---|---|---|---|---|
| 1Y | 0.075 | 0.166 | 0.326 | +9.8 | 2.07 |
| 2Y | 0.129 | 0.238 | 0.386 | +5.8 | 3.02 |
| 3Y | 0.165 | 0.244 | 0.285 | +2.3 | 1.71 |
| 4Y | 0.205 | 0.254 | 0.212 | -2.1 | -1.09 |
| 5Y | 0.235 | 0.254 | 0.132 | -4.1 | -2.18 |
| 6Y | 0.257 | 0.233 | 0.006 | -5.7 | -2.76 |
| 7Y | 0.282 | 0.221 | -0.080 | -5.7 | -2.42 |
| 8Y | 0.287 | 0.196 | -0.137 | -3.2 | -2.15 |
| 9Y | 0.291 | 0.154 | -0.202 | -1.4 | -1.56 |
| 10Y | 0.297 | 0.118 | -0.280 | +1.8 | 0.61 |
| 15Y | 0.312 | -0.091 | -0.326 | +5.7 | 1.80 |
| 20Y | 0.317 | -0.242 | -0.237 | +4.0 | 2.02 |
| 25Y | 0.294 | -0.340 | -0.053 | +0.1 | -0.46 |
| 30Y | 0.292 | -0.402 | 0.176 | -0.7 | -0.86 |
| 40Y | 0.288 | -0.452 | 0.510 | -2.2 | -0.06 |
PC1 = level, PC2 = slope, PC3 = curvature. Residual z is standardized against the last 1y of residuals (|z|≥1.5 highlighted).
Cumulative factor scores (3y, bp)
— PC1（level） ・ green PC2 ・ red PC3 ・ cumulative daily scores (bp)
PC residual heatmap (30 days, bp)
| 1Y | 2Y | 3Y | 4Y | 5Y | 6Y | 7Y | 8Y | 9Y | 10Y | 15Y | 20Y | 25Y | 30Y | 40Y | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 26-09-10 | 10 | 6 | 2 | -2 | -4 | -6 | -6 | -3 | -1 | 2 | 6 | 4 | 0 | -1 | -2 |
| 26-09-09 | 10 | 6 | 3 | -2 | -4 | -6 | -6 | -4 | -2 | 1 | 6 | 4 | 1 | 0 | -3 |
| 26-09-08 | 10 | 7 | 3 | -2 | -4 | -6 | -6 | -4 | -2 | 1 | 5 | 4 | 0 | 0 | -3 |
| 26-09-07 | 10 | 7 | 2 | -2 | -4 | -6 | -6 | -3 | -1 | 2 | 4 | 3 | 1 | 0 | -3 |
| 26-09-04 | 10 | 6 | 2 | -2 | -4 | -5 | -5 | -3 | -1 | 2 | 4 | 4 | 1 | 0 | -3 |
| 26-09-03 | 9 | 6 | 3 | -2 | -3 | -5 | -5 | -3 | -2 | 1 | 5 | 4 | 0 | -1 | -2 |
| 26-09-02 | 8 | 5 | 3 | -1 | -3 | -5 | -4 | -3 | -2 | 1 | 4 | 4 | 0 | -1 | -1 |
| 26-09-01 | 9 | 5 | 2 | -2 | -4 | -5 | -3 | -2 | -1 | 2 | 4 | 3 | -1 | -1 | -1 |
| 26-08-31 | 10 | 4 | 1 | -2 | -3 | -5 | -3 | -2 | -1 | 2 | 4 | 2 | -1 | 0 | -1 |
| 26-08-28 | 10 | 3 | 1 | -3 | -3 | -4 | -3 | -2 | -1 | 2 | 4 | 2 | -1 | -1 | -1 |
| 26-08-27 | 10 | 3 | 1 | -2 | -3 | -4 | -4 | -2 | -1 | 2 | 4 | 2 | -1 | -1 | -1 |
| 26-08-26 | 11 | 4 | 1 | -3 | -4 | -5 | -4 | -2 | 0 | 2 | 4 | 2 | -1 | -1 | 0 |
| 26-08-25 | 10 | 3 | 1 | -3 | -4 | -4 | -4 | -1 | 0 | 3 | 4 | 1 | -1 | -1 | 0 |
| 26-08-24 | 10 | 4 | 1 | -3 | -4 | -4 | -4 | -1 | 0 | 3 | 4 | 1 | -1 | -1 | 1 |
| 26-08-21 | 10 | 4 | 1 | -2 | -5 | -5 | -4 | -1 | 0 | 3 | 4 | 2 | -2 | -1 | 0 |
| 26-08-20 | 10 | 5 | 1 | -2 | -5 | -5 | -4 | -2 | -1 | 2 | 4 | 2 | 0 | -1 | -1 |
| 26-08-19 | 9 | 4 | 1 | -2 | -5 | -4 | -3 | -2 | 0 | 3 | 3 | 2 | -1 | -1 | 0 |
| 26-08-18 | 8 | 4 | 1 | -2 | -5 | -4 | -3 | -2 | 0 | 3 | 3 | 3 | -2 | -1 | 0 |
| 26-08-17 | 9 | 4 | 2 | -2 | -5 | -4 | -3 | -2 | -1 | 2 | 4 | 3 | -2 | -1 | 0 |
| 26-08-14 | 9 | 3 | 1 | -2 | -4 | -4 | -3 | -1 | -1 | 2 | 3 | 3 | -1 | -2 | 0 |
| 26-08-13 | 8 | 3 | 2 | -2 | -5 | -3 | -2 | -1 | -1 | 2 | 3 | 2 | -1 | -1 | 0 |
| 26-08-12 | 9 | 3 | 2 | -2 | -5 | -4 | -3 | -1 | -1 | 2 | 4 | 2 | -1 | -1 | -1 |
| 26-08-10 | 8 | 3 | 2 | -2 | -3 | -4 | -3 | -1 | -1 | 1 | 3 | 2 | 0 | -1 | -1 |
| 26-08-07 | 8 | 3 | 2 | -2 | -3 | -4 | -3 | -1 | -1 | 1 | 4 | 2 | 0 | -1 | -1 |
| 26-08-06 | 7 | 3 | 1 | -2 | -3 | -4 | -3 | -1 | 0 | 2 | 3 | 2 | 0 | -1 | -1 |
| 26-08-05 | 6 | 3 | 1 | -2 | -3 | -3 | -3 | -1 | 0 | 2 | 3 | 1 | -1 | -1 | 0 |
| 26-08-04 | 4 | 2 | 0 | -2 | -2 | -2 | -1 | 0 | 0 | 2 | 3 | 0 | -2 | -1 | 1 |
| 26-08-03 | 4 | 1 | 0 | -1 | -1 | -2 | -1 | 0 | 0 | 1 | 3 | 0 | -1 | 0 | 0 |
| 26-07-31 | 4 | 1 | -1 | -2 | -2 | -2 | -1 | 0 | 1 | 2 | 3 | 0 | -2 | -1 | 2 |
| 26-07-30 | 4 | 1 | -2 | -2 | -2 | -1 | 0 | 1 | 1 | 3 | 2 | -1 | -3 | -1 | 3 |
Nelson-Siegel-Svensson 2026-09-10 ・ RMSE 2.7bp
| tenor | actual | fitted | resid | z | zero | 1y fwd |
|---|---|---|---|---|---|---|
| 1Y | 1.550 | 1.553 | -0.3 | 0.44 | 1.554 | 2.082 |
| 2Y | 1.823 | 1.815 | +0.8 | -0.61 | 1.818 | 2.288 |
| 3Y | 1.954 | 1.969 | -1.5 | 0.22 | 1.974 | 2.509 |
| 4Y | 2.124 | 2.099 | +2.5 | 0.92 | 2.108 | 2.791 |
| 5Y | 2.244 | 2.231 | +1.3 | -1.21 | 2.244 | 3.110 |
| 6Y | 2.358 | 2.368 | -1.0 | -0.38 | 2.388 | 3.437 |
| 7Y | 2.481 | 2.508 | -2.7 | -0.41 | 2.538 | 3.755 |
| 8Y | 2.649 | 2.648 | +0.1 | 1.39 | 2.690 | 4.051 |
| 9Y | 2.782 | 2.784 | -0.2 | 1.37 | 2.840 | 4.321 |
| 10Y | 2.920 | 2.915 | +0.5 | 0.54 | 2.988 | 4.562 |
| 15Y | 3.463 | 3.457 | +0.6 | -1.12 | 3.633 | 5.346 |
| 20Y | 3.754 | 3.800 | -4.6 | -2.16 | 4.086 | 5.482 |
| 25Y | 4.016 | 3.982 | +3.4 | 0.30 | 4.338 | 5.045 |
| 30Y | 3.995 | 4.044 | -4.9 | -0.15 | 4.401 | 4.143 |
| 40Y | 4.003 | 3.944 | +5.9 | 2.03 | 4.071 | — |
β0=-0.096 β1=1.045 β2=2.378 β3=13.444 λ1=1.2 λ2=18. Residual + = actual above fit (bond cheap). z vs last 2y residuals.
Implied forwards 2015〜
— 5y5y ・ green 1y1y ・ red 10y10y
Term premium (ACM estimate) 2026-09-10
| Maturity | Fitted | Expected rate | TP(%) | TP 1y ago |
|---|---|---|---|---|
| 1Y | 1.570 | 1.520 | +0.05 | +0.01 |
| 2Y | 1.805 | 1.491 | +0.31 | +0.15 |
| 3Y | 1.975 | 1.435 | +0.54 | +0.26 |
| 5Y | 2.231 | 1.317 | +0.91 | +0.44 |
| 7Y | 2.519 | 1.208 | +1.31 | +0.66 |
| 10Y | 2.967 | 1.068 | +1.90 | +1.03 |
Correlation (60d daily changes)
| 1Y | 2Y | 3Y | 5Y | 7Y | 10Y | 15Y | 20Y | 30Y | 40Y | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1Y | 1.00 | 0.87 | 0.85 | 0.69 | 0.59 | 0.45 | 0.38 | 0.29 | 0.28 | 0.27 |
| 2Y | 0.87 | 1.00 | 0.94 | 0.78 | 0.67 | 0.52 | 0.43 | 0.36 | 0.34 | 0.33 |
| 3Y | 0.85 | 0.94 | 1.00 | 0.89 | 0.80 | 0.67 | 0.59 | 0.52 | 0.49 | 0.46 |
| 5Y | 0.69 | 0.78 | 0.89 | 1.00 | 0.94 | 0.86 | 0.80 | 0.72 | 0.69 | 0.66 |
| 7Y | 0.59 | 0.67 | 0.80 | 0.94 | 1.00 | 0.96 | 0.90 | 0.82 | 0.80 | 0.76 |
| 10Y | 0.45 | 0.52 | 0.67 | 0.86 | 0.96 | 1.00 | 0.96 | 0.89 | 0.86 | 0.82 |
| 15Y | 0.38 | 0.43 | 0.59 | 0.80 | 0.90 | 0.96 | 1.00 | 0.95 | 0.93 | 0.89 |
| 20Y | 0.29 | 0.36 | 0.52 | 0.72 | 0.82 | 0.89 | 0.95 | 1.00 | 0.96 | 0.91 |
| 30Y | 0.28 | 0.34 | 0.49 | 0.69 | 0.80 | 0.86 | 0.93 | 0.96 | 1.00 | 0.96 |
| 40Y | 0.27 | 0.33 | 0.46 | 0.66 | 0.76 | 0.82 | 0.89 | 0.91 | 0.96 | 1.00 |
Source: Ministry of Finance, JGB Interest Rate Data.