Yesterday morning, the overnight FX swap traded as high as 11.50%, as a result of the CBR’s imposing a limit on the maximum amounts of rouble liquidity provided in the FX swap window. However, the market later calmed down and the weighted-average rate for the whole session printed at 10.17%. Moreover, at the end of the day the overnight FX swap traded as low as 7.18%, i.e. below the CBR’s deposit rate (although the deposit window closes at 17.00, while the main session in the MICEX ends at 19.00). Overall, as we suggested yesterday, the CBR’s limit on FX swap is unlikely to distract the pricing of NDFs, since, despite somewhat potentially higher volatility, average overnight FX swap rates would likely stay within 10.50%. Interestingly, despite this overshoot, the CBR has reported only RUB 30bn in FX swap operations, i.e. below the maximum limit. Perhaps, this is a technical issue as the CBR probably did not put the whole USD 2.0bn in a single offer. Meanwhile, despite the lower auction one-week repo, banks secured only RUB 66bn in the overnight repo facility (-RUB 125bn). The balance of the correspondent account stood at RUB 1.4tn yesterday morning, so banks do not have a liquidity issue thanks to the budget’s outlays, in our view. NDF rates widened 30-40bp in the front end, with the 3M rate closing at 12.40%. Longer dated XCCY swap rates traded only 15bp up, so the curve flattened further. The IRS curve continued tightening in spite of the XCCY price action, so the basis swap narrowed another 10-15bp along the whole curve. Overall, we think receiving front-end NDF rates makes sense at current levels.