Scalar λ for which a square matrix boldsymbolA satisfies boldsymbolAboldsymbolv = λboldsymbolv for some nonzero eigenvector boldsymbolv; solutions of the characteristic polynomial det(boldsymbolA - λ boldsymbolI) = 0. Symmetric matrices (covariance, correlation) have real eigenvalues and an orthonormal eigenbasis. The PCA factors of the yield curve are eigenvectors of the covariance of rate changes; eigenvalues quantify variance explained per factor.