Correlation between yield on 3 month Treasury bill and unemployment rate

This graph shows a correlation between the yields on 3 month treasury bills and unemployment rate in USA between 1986 and 2006. I'm trying to make some sense of this. It's a pretty weird shape. There's definitely different correlation in three periods: 1994-1999, 1999-2004 and 2004-2006. Correlation coefficients for these periods are quite high: -0.89, 0.71 and -0.94.