Yesterday, the overnight FX swap continued to trade in a narrow range, with the weighted-average rate staying nearly unchanged at 10.56%. However, at the close the FX swap spiked, widening to 11.47% (+113bp). Nevertheless, the CBR’s FX swap offer remained untapped, with only RUB 51bn of fixed-rate repo being refinanced by banks. Today, the Treasury holds a one-month deposit auction, offering RUB 50bn of deposits. If taken in full, it would bring RUB 42bn of fresh liquidity to the system. The FX volatility pushes NDF/XCCY rates higher. The NDF curve shifted up 15-20bp, with the belly now trading flat at 12.45%. The front end of the XCCY curve widened 25-30bp, so one-year tenor rose to 12.32% (+24bp). Longer XCCY rates also adjusted higher, though the move was milder – near 6bp. Meantime, price action along the IRS curve was muted, with the rates narrowing on average 2-5bp.