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Citi Assess Positioning Pre-U.S.CPI

CROSS ASSET

Ahead of the U.S. CPI release Citi note that “positioning is cleaner cross-asset.”

  • “CTAs are still 'max short' USD rates, with cover levels 12-17bps lower in yields, while longs in white SOFR look crowded and vulnerable to rising hike risk.”
  • “Nasdaq shorts are stretched and could be squeezed if CPI comes in light.”
  • “USD longs have reduced, though both real money and hedge fund accounts remain short EUR/USD. On the day we have seen a good amount of USD selling in the European morning. We would need quite a miss to see another wave of USD selling materialise.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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