Instantaneous covariance rank in a one-factor rate model

If all traded zero-coupon bonds depend on one scalar rate driven by one Brownian motion, their diffusion exposures form one vector $v_i=\eta P_{i,r}$. Their instantaneous covariance matrix is $v{v}^T$, of rank at most one. Nondegenerate maturity changes are therefore instantaneously perfectly correlated, with correlation $+1$ or $-1$, though finite-horizon bond-return correlations need not be one.