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Article / 11 June 2018 at 8:11 GMT

COT: Dollar selling pauses, curve-flatteners in demand

Head of Commodity Strategy / Saxo Bank
Denmark
By Ole Hansen

After six weeks of selling the speculative dollar short against nine IMM currency futures was unchanged in the week to June 5. The most noticeable change was in MXN where speculators finally flipped to a net-short following seven weeks of selling. 

Currencies
 
Additional selling of EUR, GBP and CAD were offset by buying of CHF, JPY, AUD, and NZD.
Financials
In fixed income the strong US jobs report on June 1 and the near-certain US rate hike on June 13 saw leveraged funds enter into curve-flattening mode. They sold all maturities from Fed Funds to five-years while buying all from 10-years to ultras. 

The net-short of 148,000 lots in two-years was the biggest in more than five years.

Funds
 
Funds overall turned less bearish on US Treasuries with the net-short value of a one basis point move (DV01) dropping to $180 million, a seven-week low.  

Treasuries
 

— Edited by Michael McKenna

Ole Hansen is head of commodity strategy at Saxo Bank

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