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First thing to check is the filter in the cold water inlet connection at the bottom of the heater. It's a cap on the side of the inlet that you unscrew once the water is off.
Just unscrew the cap. There will likely be some water draining out so have a bucket handy
Is the filter screen dirty? if so clean it out
If the screen stayed behind in the connection fitting you need to pull it out. It should come out attached to the cap
So you removed the cap and there's no screen attached? or one stuck inside?