The situation in the overnight FX swap market was different yesterday. In particular, the weighted-average overnight FX swap rate for the whole session came at 6.94% (-52bp), while in the evening it closed at 5.55%. Hence, the CBR’s bid was reached and, according to the data, banks secured USD 581.4mn from the regulator. To recap, the CBR’s bid equals USD 1.0bn on the TOD_TOM market. Meanwhile, rouble overnight rates remained elevated, despite the end of teh tax period; specifically, the one-day repo rate in the MICEX closed at 8.48%. Meanwhile, the CBR offered only RUB 1.83tn for the one-week repo, and amid RUB 2.1tn of demand the average rate printed at 8.32%. The outstanding one-week repo volume was RUB 2.4tn, so today’s outflow is around RUB 540bn. Therefore, the implied overnight price of US dollars in the market surged close to 3.0% or even a tad higher than that, since it is likely that banks have also heavily utilised the overnight standing repo facility at 9.0%. In addition, banks increased the debt under the 312-P window by RUB 138bn yesterday. Finally, banks have built up a good liquidity cushion, so perhaps coupled with the usual increase of fiscal spending at the beginning of the month there might be no excessive pressure on the money market. Meanwhile, yesterday’s price action in the swap market could be just a one-off event due to the common, end of the month window-making activities. Hence, the situation with USD liquidity is not as bad as might seem. Nevertheless, NDF rates tightened 25-45bp yesterday with 3M NDF closing at 7.92%. Longer-dated rates also declined 5-10bp. Meanwhile, the IRS curve moved up 15-20bp, so the basis swap has widened markedly.