The situation with banking liquidity was tense yesterday, amid concentrated tax payments (this month, the MET and VAT fell on the same day). Hence, the average overnight FX swap rate for the whole session printed at 15.68% (+39bp), and closed at 16.1%. Thus, banks secured RUB 93bn from the CBR’s FX swap window, in addition to the RUB 83bn borrowed in overnight repo facility. Meanwhile, as we expected, the Treasury announced yet another deposit auction for today: RUB 180bn is on offer, which would only cover Friday’s deposit withdrawals. Hence, no fresh liquidity for the banking system, which is negative for money market rates that are likely to gravitate to the upper end of the CBR’s policy rate band until the end of the week. Nevertheless, rates are unlikely to overshoot 16%, while the beginning of the new month is to bring relief, liquidity-wise. NDF/XCCY rates continued widening yesterday. Front end NDFs moved up 60-70bp, with 1M NDF closing at 17.8% and 6M NDF at 16.9%. Longer dated XCCY swap rates surged 30-40bp, with the two-year rate settling at 13.1%. The performance of NDF rates is interesting, given that FX spot was stronger yesterday. As we have argued before, we think upward pressure on the cross-currency rates comes from the OFZ market, where non-residents are cutting positions after Moody’s downgrade and subsequently closing down hedges. Hence, we think the current spike in NDF/XCCY is technical and temporary, so we recommend starting gradually to accumulate a short position in rates here and sell the spikes, which might follow.