Treasuries caught a bid late in the session however after the FBI warned of a possible terrorist attack on US financial institutions, particularly banks in the Northeast. The FBI apparently has no specific information, but decided to issue this warning out of an "abundance of caution."
Earlier in the session, a rumor made the rounds that an analyst letter claims that a Sunday piece by the Washington Post's Fedwatcher John Berry would say that the Fed's first policy move of the cycle would be by a half point. This may have fed back into rumors of "size" selling of 104 straddles on June 10-year notes, which appeared to be behind the sudden drop in volume. Perhaps some were betting that a larger scale move would allow the Fed to be more patient.
The short end closed near unchanged levels, while longer-maturities ended with small gains. The Jun bond was lifted from lows near par and closed up 9/32 at 100-17.