The R-Square is the correlation coefficient between X ('the overnight rate') and Y ('the yield spread'). In this case, 0.25. Or, in layman's term: '25% of the variation of the yield spread can be attributed to the variation of the overnight rate. All-in-all not surprising (actually, I'm a bit surprised it is not more than that) since the overnight rate affects one of the two ends of the yield curve, and therefore, obviously has a short term impact on the curve itself.
Data sources:
http://www.newyorkfed.org/research/capital_markets/ycfaq.html
Board of Governors of the Federal Reserve System, H.15 Selected Interest Rates
