The interest rate swap (IRS) curve

The rates at which banks borrow and lend roubles for terms from a week to 10 years
← FX market
1-year swap14.37% −3 bp for the day
2-year swap14.42% −2 bp for the day
2-year OFZ14.87%government bonds
Central bank key rate14.00%decided on 23.10.2026

Long rates above short ones

A normal curve shape: five-year money (FairValue estimate) costs more than one-year money. Over the week the 1-year ROISfix rate fell by 8 bp.

What this implies for the key rate — the "CBR rate" page →

What the market is showingthe curve's key indicators
The price of term
5 years cost 58 bp more
The long rate is above the short one - the usual price of term. Short segment (1-2 years): +5 bp
ROISfix 1Y 14.37% · 5Y estimate 14.95% · 5Y − 1Y spread +58 bp
OFZ premium over the swap (2 years)
+45 bp
The yield of 2-year OFZ exceeds the swap rate by 45 bp: government bonds carry a term premium - extending the term adds to yield beyond rate expectations.
OFZ−IRS 2Y spread: +45 bp
Money market liquidity
Normal
Banks have enough rouble liquidity.
RuREPO − RUONIA: +30 bp
Chartseach instrument over its own terms; the comparison uses the common 2-year stretch
What this is
What it shows
Currently
How we estimate rates for 3 to 10 years
There are no public swap quotes for these terms, so we estimate the rate ourselves. Inputs: the OFZ curve, prices of OFZ floaters linked to RUONIA, the key rate forecast from the Bank of Russia analyst survey and the 2-year ROISfix fixing. To keep single trades from moving the estimate sharply, we smooth it over the last few days. The average historical error of the estimate is 0.09 to 0.31 pp depending on the term.
What this changes for an investorhow rate expectations affect the instruments

Deposits and the money market

Deposit and money-market fund yields follow the key rate. The swap curve above shows the rate the market prices in for each tenor.

The CBR rate →

OFZ bonds

Bond prices rise once the market starts pricing in rate cuts. The longer the issue, the stronger the repricing.

Bonds →

Loans and mortgages

Loan rates follow the key rate. The same swap curve gives the one-year reference.

Learn →

The OFZ curve is shown for comparison and is not a swap curve: at the long end it includes a term and liquidity premium. Data as of 27.10.2026. Not an individual investment recommendation.

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