On Friday, the overnight FX swap rate moved sharply up and the weighted-average rate for the whole session printed at 7.30% (+48bp), while in the end it traded at 7.87%. In response to the widened overnight FX swap, NDF rates surged considerably on Friday. In particular, 1M NDF moved up 135bp to 8.70%, while 3M NDF closed at 8.90% (+105bp). Longer-dated XCCY swap rates widened near 20-30bp with the two-year rate closing at 8.69%. Meanwhile, 3M MosPrime widened 8bp to 10.67%, while the entire IRS curve moved up 30-60bp. The basis swap remained unchanged. Basically, we see two reasons behind Friday’s price action. Firstly, the CBR’s interventions in October for a total amount of near USD 5.5–6.0bn likely eased demand for USD hedging and liquidity. Previously, we estimated the US dollar liquidity needs of the banking system at around USD 5.0bn. Secondly, the start of the new October-November averaging period has increased demand for rouble liquidity. In particular, banks have brought some cash from the CBR’s deposits to correspondent accounts, pushing the latter’s balance up to RUB 765bn from RUB 575bn on 6 October. Meanwhile, the CBR has announced a two-day repo auction for RUB 220bn, we expect decent demand. In addition, we think interest in today’s three-month 312-P auction for RUB 600bn will likely be high. At the same time, about RUB 547bn of outstanding debt to the CBR under the 312-P facility is due this week, and so the net liquidity injection would be just RUB 50bn. In addition, the Treasury is ready to provide RUB 200bn on banks' deposits this week, which might constitute a RUB 120bn net increase, if both auctions are taken in full.