PCA 2026-08-20 ・ 500-day window, daily changes
| tenor | PC1 (77%) | PC2 (19%) | PC3 (2%) | PC res | z |
|---|---|---|---|---|---|
| 1Y | 0.080 | 0.167 | 0.316 | +10.4 | 2.84 |
| 2Y | 0.136 | 0.237 | 0.371 | +5.2 | 3.48 |
| 3Y | 0.170 | 0.243 | 0.275 | +1.4 | 1.19 |
| 4Y | 0.211 | 0.251 | 0.211 | -2.2 | -1.37 |
| 5Y | 0.241 | 0.250 | 0.137 | -5.0 | -3.48 |
| 6Y | 0.263 | 0.226 | 0.009 | -4.7 | -2.68 |
| 7Y | 0.288 | 0.211 | -0.073 | -3.7 | -1.67 |
| 8Y | 0.292 | 0.186 | -0.131 | -1.8 | -1.20 |
| 9Y | 0.295 | 0.145 | -0.201 | -0.6 | -0.53 |
| 10Y | 0.298 | 0.108 | -0.283 | +2.1 | 0.89 |
| 15Y | 0.307 | -0.099 | -0.339 | +3.5 | 1.18 |
| 20Y | 0.312 | -0.248 | -0.245 | +1.8 | 0.73 |
| 25Y | 0.283 | -0.345 | -0.058 | +0.3 | -0.48 |
| 30Y | 0.284 | -0.410 | 0.180 | -0.9 | -1.13 |
| 40Y | 0.280 | -0.459 | 0.519 | -1.0 | 0.56 |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 26-08-20 | 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 |
| 26-07-29 | 5 | 2 | -2 | -2 | -2 | -2 | -1 | 1 | 1 | 3 | 2 | -1 | -1 | -1 | 2 |
| 26-07-28 | 4 | 2 | -2 | -2 | -2 | -2 | -1 | 1 | 1 | 3 | 2 | -1 | -1 | -1 | 1 |
| 26-07-27 | 4 | 2 | -2 | -2 | -2 | -1 | -1 | 1 | 1 | 2 | 1 | -1 | 0 | -1 | 1 |
| 26-07-24 | 4 | 2 | -2 | -2 | -2 | -2 | -1 | 1 | 1 | 2 | 0 | -1 | 0 | -1 | 1 |
| 26-07-23 | 6 | 2 | -2 | -2 | -2 | -2 | -1 | 1 | 1 | 2 | 2 | -1 | 1 | 0 | -1 |
| 26-07-22 | 6 | 2 | -3 | -2 | -2 | -2 | -2 | 0 | 1 | 2 | 2 | 0 | 0 | -1 | 0 |
| 26-07-21 | 7 | 3 | -4 | -2 | -2 | -2 | -2 | 1 | 1 | 2 | 2 | -1 | 0 | -1 | 0 |
| 26-07-17 | 8 | 3 | -3 | -2 | -2 | -2 | -3 | 0 | 1 | 2 | 2 | 1 | 1 | -1 | -1 |
| 26-07-16 | 8 | 2 | -3 | -2 | -2 | -2 | -2 | 0 | 1 | 1 | 1 | 1 | 2 | -1 | -1 |
| 26-07-15 | 8 | 2 | -3 | -2 | -2 | -3 | -2 | 0 | 1 | 1 | 3 | 0 | 2 | -2 | -1 |
| 26-07-14 | 7 | 1 | -3 | -3 | -2 | -2 | -1 | 1 | 2 | 2 | 3 | -2 | 1 | -2 | 1 |
| 26-07-13 | 5 | 1 | -2 | -2 | -2 | -2 | -2 | 0 | 1 | 1 | 1 | 2 | -1 | -2 | 1 |
| 26-07-10 | 6 | 1 | -2 | -2 | -2 | -2 | -2 | 0 | 1 | 1 | 2 | 2 | -1 | -2 | 0 |
| 26-07-09 | 5 | 0 | -3 | -1 | -2 | -2 | -1 | 1 | 1 | 3 | 1 | 1 | -2 | -3 | 3 |
| 26-07-08 | 5 | 0 | -3 | -1 | -1 | -2 | -1 | 0 | 1 | 2 | 2 | 3 | -2 | -3 | 2 |
Nelson-Siegel-Svensson 2026-08-20 ・ RMSE 3.0bp
| tenor | actual | fitted | resid | z | zero | 1y fwd |
|---|---|---|---|---|---|---|
| 1Y | 1.430 | 1.433 | -0.3 | 0.42 | 1.434 | 1.917 |
| 2Y | 1.682 | 1.673 | +0.9 | -0.53 | 1.675 | 2.160 |
| 3Y | 1.814 | 1.832 | -1.8 | 0.04 | 1.837 | 2.424 |
| 4Y | 2.000 | 1.975 | +2.5 | 1.04 | 1.983 | 2.740 |
| 5Y | 2.127 | 2.121 | +0.6 | -2.02 | 2.134 | 3.082 |
| 6Y | 2.269 | 2.271 | -0.2 | 0.44 | 2.292 | 3.426 |
| 7Y | 2.410 | 2.422 | -1.2 | 0.52 | 2.454 | 3.756 |
| 8Y | 2.576 | 2.572 | +0.4 | 1.65 | 2.616 | 4.061 |
| 9Y | 2.713 | 2.717 | -0.4 | 1.11 | 2.776 | 4.339 |
| 10Y | 2.854 | 2.856 | -0.2 | 0.16 | 2.932 | 4.586 |
| 15Y | 3.409 | 3.422 | -1.3 | -1.99 | 3.607 | 5.392 |
| 20Y | 3.719 | 3.780 | -6.1 | -3.02 | 4.079 | 5.537 |
| 25Y | 4.017 | 3.970 | +4.7 | 0.73 | 4.343 | 5.095 |
| 30Y | 3.995 | 4.036 | -4.1 | 0.36 | 4.412 | 4.171 |
| 40Y | 4.002 | 3.938 | +6.4 | 2.35 | 4.080 | — |
β0=-0.170 β1=1.094 β2=2.024 β3=13.705 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) 2026-08-20 ・ tp-v1
| Maturity | Fitted | Expected rate | TP(%) | TP 1y ago |
|---|---|---|---|---|
| 1Y | 1.449 | 1.396 | +0.05 | +0.01 |
| 2Y | 1.666 | 1.361 | +0.30 | +0.14 |
| 3Y | 1.838 | 1.304 | +0.53 | +0.25 |
| 5Y | 2.123 | 1.187 | +0.94 | +0.43 |
| 7Y | 2.436 | 1.083 | +1.35 | +0.64 |
| 10Y | 2.911 | 0.952 | +1.96 | +1.02 |
Correlation (60d daily changes)
| 1Y | 2Y | 3Y | 5Y | 7Y | 10Y | 15Y | 20Y | 30Y | 40Y | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1Y | 1.00 | 0.87 | 0.80 | 0.61 | 0.53 | 0.40 | 0.33 | 0.23 | 0.20 | 0.21 |
| 2Y | 0.87 | 1.00 | 0.90 | 0.72 | 0.64 | 0.49 | 0.40 | 0.32 | 0.28 | 0.31 |
| 3Y | 0.80 | 0.90 | 1.00 | 0.89 | 0.82 | 0.71 | 0.62 | 0.53 | 0.46 | 0.46 |
| 5Y | 0.61 | 0.72 | 0.89 | 1.00 | 0.96 | 0.89 | 0.83 | 0.72 | 0.65 | 0.64 |
| 7Y | 0.53 | 0.64 | 0.82 | 0.96 | 1.00 | 0.97 | 0.92 | 0.82 | 0.75 | 0.73 |
| 10Y | 0.40 | 0.49 | 0.71 | 0.89 | 0.97 | 1.00 | 0.97 | 0.88 | 0.81 | 0.78 |
| 15Y | 0.33 | 0.40 | 0.62 | 0.83 | 0.92 | 0.97 | 1.00 | 0.95 | 0.89 | 0.85 |
| 20Y | 0.23 | 0.32 | 0.53 | 0.72 | 0.82 | 0.88 | 0.95 | 1.00 | 0.95 | 0.89 |
| 30Y | 0.20 | 0.28 | 0.46 | 0.65 | 0.75 | 0.81 | 0.89 | 0.95 | 1.00 | 0.95 |
| 40Y | 0.21 | 0.31 | 0.46 | 0.64 | 0.73 | 0.78 | 0.85 | 0.89 | 0.95 | 1.00 |
Source: Ministry of Finance, JGB Interest Rate Data.