The U.S. central bank is currently buying $85 billion per month in Treasurys and mortgage-backed securities. But with Fed policymakers recently suggesting they could be looking for an exit strategy, investors have been concerned that support for Treasurys could soon wane.
(Read More: Bond Rates May Inch Up: Gundlach)
The data "is not keeping pace with the Fed's hope that they will get unemployment under 6.5 percent anytime soon and has the bears covering Treasury shorts," said Tom di Galoma, head of fixed-income sales at ED&F Man Capital.
Recent days had seen a spike in bond shorts, or bets that Treasury bond prices will fall further, analysts said. Shorts, especially against the 10-year issues, had increased, making it more expensive for traders to borrow Treasurys in the repurchase agreement, or repo, market.
Stock market losses, wider credit spreads and bank purchases of mortgage-backed securities also fed the bid for safe-haven Treasurys, di Galoma said.
Fed policymakers want to see the unemployment rate fall to around 6.5 percent from its current 7.5 percent, with a sustained run of healthy jobs gains. They also want inflation to reach 2 percent; it has been running substantially under that level.
Economists recently polled by Reuters forecast U.S. employers likely added 170,000 jobs in May, while the jobless rate was seen unchanged.
The government's May payrolls report on Friday could show whether job growth is strong enough for the U.S. central bank to consider tapering bond purchases. A particularly strong payrolls number could push benchmark yields higher, but a poor figure could mean a slip in yields, perhaps even below 2 percent.
"Bad news is good news ... because it keeps the Fed accommodative, buying bonds and (keeping) interest rates low," said Tim Ghriskey, chief investment officer of Solaris Group.
The Fed will hold its next policy meeting on June 18-19.