It seems strange. Does correlation decline between bond and other risky asset (equity) during recession according to this below s-note paragraph?
A particular problem is flight to quality. During periods of market stress, all lower-quality and riskier assets may tend to decline together (correlation approaching +1) as investors sell these assets and buy high-quality developed-market government bonds for safety. Thus, correlation of these government bonds to riskier assets declines during periods of stress and may be negative.