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The jobs data said it all. Shockingly low nonfarms payroll, up only 21,000, vs. median estimates for a 120,000 rise, underscored the price surge. Nearly all components of the report were not encouraging. Thus, Eurodollar & Fed funds futures moved out further, and the possibility of a rate hike moved out from August to November.
Buying in the front end was massive. But the coupon curve flattened amid the surge. As the dollar lost all of the overnight gains following the data, the Bank of Japan intervened to the tune of $6 billion. But the buying, nonetheless, was still concentrated out the curve as anticipations rose that convexity-linked buyers would be forced in.
While there was some convexity buying, expectations were higher. Both domestic & foreign retail buying was hefty. But sales were easily absorbed.