On Friday, the liquidity situation remained stretched: the balance of banks’ current accounts with the CBR declined slightly, to RUB 1.18tn, the minimum comfortable level, in our view. However, given that the February-March averaging period ends relatively soon, the stress on the money market could increase further, unless liquidity comes from the budget at the beginning of April. The overnight FX swap rate climbed 31bp to the CBR’s offer, 15.06%, while the weighted-average rate printed 14.89%. Hence, banks borrowed RUB 106bn in FX swaps from the regulator, securing an additional RUB 112bn from the overnight repo facility. Today, corporate profit tax is due, so liquidity is likely to remain in demand. However, the end of tax week and the Treasury deposit auctions scheduled are likely to brighten the scene for very near-term liquidity – though much will depend on whether the CBR leaves the one-week repo limit unchanged. This week, the Treasury is to conduct two deposit auctions, offering RUB 400bn in total, and if they are taken in full, net liquidity injection would amount to RUB 120bn. Given tighter liquidity and a weaker FX market performance, the NDF/XCCY curve moved 20-30bp upward, with the 3M NDF rate closing at 15.10% and one-year tenor rising to 13.90%. At the same time, the IRS curve climbed 10-15bp, meaning the basis narrowed 10bp.