Citi macro strategists recommend traders to short the US dollar and go long on the Japanese yen ahead of the Bank of Japan's June policy meeting.

The current yen exchange rate has returned to a range that is extremely prone to intervention. Citi analysts Jamalco Miani, Adam Pickett, and Dirk Weller wrote: "The overall fundamentals of the yen remain under pressure, but the USD/JPY has once again approached the intervention threshold around 160." "In addition, with the Bank of Japan's June meeting approaching, Citi expects the central bank to raise interest rates." Swap market participants are currently pricing in an expected 20 basis point rate hike at next month's meeting.