PCA 2026-10-23 ・ 500-day window, daily changes
| tenor | PC1 (76%) | PC2 (19%) | PC3 (2%) | PC res | z |
|---|---|---|---|---|---|
| 1Y | 0.075 | 0.164 | 0.330 | +7.8 | 1.23 |
| 2Y | 0.129 | 0.237 | 0.392 | +2.6 | 0.63 |
| 3Y | 0.166 | 0.244 | 0.292 | -0.1 | -0.15 |
| 4Y | 0.207 | 0.254 | 0.219 | -2.8 | -1.57 |
| 5Y | 0.237 | 0.255 | 0.129 | -2.3 | -0.66 |
| 6Y | 0.259 | 0.232 | 0.004 | -3.9 | -1.43 |
| 7Y | 0.283 | 0.220 | -0.086 | -4.1 | -1.42 |
| 8Y | 0.288 | 0.194 | -0.143 | -2.6 | -1.33 |
| 9Y | 0.291 | 0.152 | -0.209 | -0.8 | -0.71 |
| 10Y | 0.296 | 0.115 | -0.288 | +1.1 | -0.09 |
| 15Y | 0.311 | -0.094 | -0.320 | +5.0 | 1.34 |
| 20Y | 0.316 | -0.246 | -0.226 | +2.5 | 0.72 |
| 25Y | 0.292 | -0.341 | -0.043 | +3.5 | 1.26 |
| 30Y | 0.291 | -0.401 | 0.178 | +0.3 | 0.23 |
| 40Y | 0.286 | -0.453 | 0.496 | -5.3 | -1.64 |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 26-10-23 | 8 | 3 | 0 | -3 | -2 | -4 | -4 | -3 | -1 | 1 | 5 | 3 | 3 | 0 | -5 |
| 26-10-22 | 6 | 2 | 0 | -2 | -2 | -3 | -3 | -2 | -1 | 1 | 4 | 2 | 2 | 0 | -4 |
| 26-10-21 | 6 | 2 | 0 | -2 | -2 | -3 | -3 | -2 | -1 | 1 | 4 | 2 | 2 | 0 | -3 |
| 26-10-20 | 5 | 2 | 0 | -2 | -2 | -3 | -3 | -3 | -1 | 1 | 4 | 1 | 2 | 0 | -3 |
| 26-10-19 | 6 | 3 | 1 | -2 | -2 | -3 | -4 | -3 | -1 | 1 | 4 | 3 | 2 | 0 | -4 |
| 26-10-16 | 6 | 3 | 1 | -1 | -2 | -3 | -4 | -3 | -1 | 1 | 4 | 4 | 1 | 0 | -4 |
| 26-10-15 | 6 | 3 | 1 | -2 | -2 | -3 | -4 | -3 | -1 | 1 | 5 | 4 | 1 | 0 | -4 |
| 26-10-14 | 6 | 2 | 1 | -1 | -1 | -3 | -3 | -3 | -1 | 1 | 4 | 4 | 1 | 0 | -3 |
| 26-10-13 | 6 | 2 | 0 | -2 | -2 | -3 | -3 | -2 | -1 | 1 | 4 | 4 | 0 | 0 | -2 |
| 26-10-09 | 6 | 2 | 0 | -2 | -2 | -3 | -3 | -2 | -1 | 1 | 4 | 3 | 0 | 0 | -2 |
| 26-10-08 | 5 | 2 | 0 | -2 | -2 | -2 | -2 | -2 | -1 | 1 | 3 | 3 | -1 | -1 | -1 |
| 26-10-07 | 4 | 2 | -1 | -1 | -1 | -2 | -2 | -2 | -1 | 1 | 4 | 4 | -2 | -2 | 0 |
| 26-10-06 | 5 | 2 | -1 | -2 | -2 | -2 | -2 | -2 | -1 | 2 | 4 | 3 | -2 | -2 | 1 |
| 26-10-05 | 6 | 2 | 0 | -2 | -2 | -3 | -3 | -2 | 0 | 3 | 4 | 4 | -2 | -2 | 1 |
| 26-10-02 | 6 | 2 | 0 | -2 | -3 | -3 | -3 | -2 | 0 | 3 | 4 | 3 | -2 | -2 | 1 |
| 26-10-01 | 7 | 3 | 0 | -2 | -3 | -3 | -3 | -2 | -1 | 2 | 5 | 4 | -1 | -1 | -1 |
| 26-09-30 | 8 | 3 | 0 | -2 | -3 | -3 | -4 | -3 | -1 | 1 | 4 | 4 | 0 | -1 | -2 |
| 26-09-29 | 7 | 3 | 1 | -2 | -3 | -4 | -4 | -3 | -1 | 2 | 5 | 4 | -1 | 0 | -2 |
| 26-09-28 | 7 | 4 | 1 | -1 | -2 | -4 | -4 | -3 | -1 | 2 | 5 | 4 | 0 | 0 | -2 |
| 26-09-25 | 6 | 3 | 1 | -1 | -1 | -3 | -4 | -3 | -1 | 1 | 4 | 3 | 0 | 0 | -2 |
| 26-09-24 | 6 | 3 | 1 | -2 | -2 | -3 | -4 | -3 | -1 | 2 | 4 | 3 | -1 | 0 | -1 |
| 26-09-18 | 8 | 4 | 1 | -3 | -2 | -4 | -5 | -3 | -1 | 2 | 5 | 4 | 0 | -1 | -2 |
| 26-09-17 | 8 | 5 | 1 | -2 | -2 | -4 | -5 | -4 | -2 | 1 | 5 | 4 | 0 | -1 | -2 |
| 26-09-16 | 7 | 5 | 1 | -2 | -3 | -4 | -5 | -3 | -1 | 2 | 5 | 4 | -1 | -1 | -1 |
| 26-09-15 | 7 | 4 | 1 | -2 | -2 | -4 | -4 | -3 | -1 | 2 | 5 | 3 | -2 | -1 | -1 |
| 26-09-14 | 7 | 4 | 2 | -2 | -3 | -5 | -5 | -3 | -1 | 2 | 5 | 3 | -1 | -1 | -1 |
| 26-09-11 | 8 | 5 | 2 | -2 | -3 | -5 | -4 | -3 | -1 | 2 | 6 | 3 | -1 | -1 | -1 |
| 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 |
Nelson-Siegel-Svensson 2026-10-23 ・ RMSE 3.3bp
| tenor | actual | fitted | resid | z | zero | 1y fwd |
|---|---|---|---|---|---|---|
| 1Y | 1.642 | 1.641 | +0.1 | 0.66 | 1.642 | 2.111 |
| 2Y | 1.872 | 1.874 | -0.2 | -1.20 | 1.877 | 2.245 |
| 3Y | 1.979 | 1.995 | -1.6 | 0.17 | 1.999 | 2.416 |
| 4Y | 2.121 | 2.097 | +2.4 | 0.79 | 2.103 | 2.671 |
| 5Y | 2.238 | 2.206 | +3.2 | 0.87 | 2.217 | 2.977 |
| 6Y | 2.325 | 2.326 | -0.1 | 0.39 | 2.343 | 3.301 |
| 7Y | 2.428 | 2.454 | -2.6 | -0.41 | 2.480 | 3.618 |
| 8Y | 2.580 | 2.585 | -0.5 | 0.77 | 2.622 | 3.916 |
| 9Y | 2.708 | 2.715 | -0.7 | 0.53 | 2.765 | 4.189 |
| 10Y | 2.837 | 2.842 | -0.5 | 0.07 | 2.907 | 4.432 |
| 15Y | 3.373 | 3.372 | +0.1 | -1.20 | 3.537 | 5.220 |
| 20Y | 3.645 | 3.712 | -6.7 | -2.67 | 3.982 | 5.351 |
| 25Y | 3.939 | 3.891 | +4.8 | 0.63 | 4.228 | 4.904 |
| 30Y | 3.904 | 3.950 | -4.6 | 0.07 | 4.285 | 3.996 |
| 40Y | 3.911 | 3.841 | +7.0 | 2.27 | 3.949 | — |
β0=-0.314 β1=1.346 β2=2.761 β3=13.767 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) 2026-10-23
| Maturity | Fitted | Expected rate | TP(%) | TP 1y ago |
|---|---|---|---|---|
| 1Y | 1.654 | 1.629 | +0.02 | +0.03 |
| 2Y | 1.861 | 1.611 | +0.25 | +0.16 |
| 3Y | 1.998 | 1.562 | +0.44 | +0.29 |
| 5Y | 2.204 | 1.452 | +0.75 | +0.50 |
| 7Y | 2.463 | 1.346 | +1.12 | +0.72 |
| 10Y | 2.887 | 1.204 | +1.68 | +1.07 |
Correlation (60d daily changes)
| 1Y | 2Y | 3Y | 5Y | 7Y | 10Y | 15Y | 20Y | 30Y | 40Y | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1Y | 1.00 | 0.92 | 0.89 | 0.79 | 0.72 | 0.62 | 0.54 | 0.49 | 0.41 | 0.34 |
| 2Y | 0.92 | 1.00 | 0.97 | 0.88 | 0.80 | 0.70 | 0.63 | 0.55 | 0.47 | 0.41 |
| 3Y | 0.89 | 0.97 | 1.00 | 0.95 | 0.89 | 0.81 | 0.75 | 0.68 | 0.60 | 0.52 |
| 5Y | 0.79 | 0.88 | 0.95 | 1.00 | 0.96 | 0.91 | 0.86 | 0.79 | 0.71 | 0.63 |
| 7Y | 0.72 | 0.80 | 0.89 | 0.96 | 1.00 | 0.97 | 0.93 | 0.87 | 0.79 | 0.71 |
| 10Y | 0.62 | 0.70 | 0.81 | 0.91 | 0.97 | 1.00 | 0.97 | 0.92 | 0.87 | 0.80 |
| 15Y | 0.54 | 0.63 | 0.75 | 0.86 | 0.93 | 0.97 | 1.00 | 0.97 | 0.93 | 0.88 |
| 20Y | 0.49 | 0.55 | 0.68 | 0.79 | 0.87 | 0.92 | 0.97 | 1.00 | 0.96 | 0.92 |
| 30Y | 0.41 | 0.47 | 0.60 | 0.71 | 0.79 | 0.87 | 0.93 | 0.96 | 1.00 | 0.97 |
| 40Y | 0.34 | 0.41 | 0.52 | 0.63 | 0.71 | 0.80 | 0.88 | 0.92 | 0.97 | 1.00 |
Source: Ministry of Finance, JGB Interest Rate Data.