* Prices gain after first quarter GDP revised down * Treasury's $35 bln five-year note sale sees weak demand * Treasury to sell $29 bln seven-year notes on Thursday By Karen Brettell NEW YORK, June 26 (Reuters) - U.S. Treasuries prices ended higher on Wednesday on weaker than expected economic data, though thin demand for the U.S. Treasury's new five-year notes, even at higher yields, showed that jitters persist over when the Federal Reserve is likely to pare back its purchase program. The Treasury sold $35 billion in five-year notes to the lowest demand since September 2009, with a bid-to-cover ratio of 2.45 times. The notes sold at a high yield of 1.48 percent, the highest auction yield since July 2011. Five-year and seven-year notes, which are the most sensitive to future rate policy, have been the worst Treasuries performers in a dramatic selloff since Fed Chairman Ben Bernanke said last Wednesday that the U.S. central bank is likely to pare back its bond purchases if economic momentum stays on track. Investors remained nervous even though yields have increased almost threefold since the beginning of May. Five-year note yields last traded at 1.43 percent. They have increased from around 1.05 percent before Bernanke's comments last week and from around 0.65 percent at the beginning of May. "The auction was relatively weak, though there was decent end-user demand, as evidenced by the indirect bid," said Dan Mulholland, managing director in Treasuries trading at BNY Mellon in New York. Direct bidders, which buy directly from the Treasury, all but disappeared on Wednesday. Indirect bidders, which includes fund managers and other investors who buy via dealers, bought 53 percent of the notes, the highest level since January 2010. Still, overall demand was low even as selling by dealers before the auction took yields up by around 2 basis points in an effort to create a stronger sale. This week's auctions have come at an awkward time as dealers have limited capacity to hold many bonds going into quarter-end. That said, other factors, including month-end extension buying, may nonetheless help the Treasury sell $29 billion in seven-year notes on Thursday, the final sale this week. Traders expect the new seven-year notes to price at yields of 1.97 percent, according to trading in the "when-issued" market, around one basis point higher than the notes are trading in the secondary market at 1.96 percent . Treasuries have shown signs of stabilizing this week and traders said that foreign buyers have been active in the market, a indication that the worst of selloff may be done for now. Data on Wednesday that showed that U.S. Gross domestic product likely expanded at a much weaker than expected pace in the first quarter also added a boost to the bonds, and increased speculation that the Fed may not be as near to an end of its bond buying program as the market thinks. "That has the market thinking that the Fed will not be tapering perhaps as soon as what the market was thinking just the other day," said Wilmer Stith, co-manager of the Wilmington Broad Market Bond Fund in Baltimore. The U.S. government slashed its estimate of first-quarter economic growth to 1.8 percent, from the previous 2.4 percent. The 10-year note on Wednesday rose 19/32 in price to yield 2.54 percent, down from 2.614 percent on Tuesday. The 30-year bond rose 26/32 in price to yield 3.57 percent, compared to 3.628 percent late on Tuesday. The Fed bought $3.14 billion in notes due from 2020 to 2023 on Wednesday as part of its ongoing purchase program. It will buy between $4.25 billion and $5.25 billion in notes due 2017 and 2018 on Thursday. The Merrill Lynch MOVE index, which estimates future volatility of long-term bond yields, fell on Monday for the first time since June 17, two days before Bernanke's comments. The index dropped to 108.4, from 111 on Friday, which was its highest level since November 2011. The index remains significantly higher than the multi-year low of around 50 at the beginning of May.