The assumptions made for credit spreads are a little bit curious. BBB spreads peak at around 500bps, despite peaking at 800bps in 2008-09, and mortgage spreads also don't increase by much even though the housing market would be falling apart and Fannie and Freddie would likely be in need of another few hundred billion dollars in bailouts.
The most egregious assumption is likely the rate on the 10 year treasury though. The most likely reason that the US would enter such a severe recession in the next 5 years is because the government has to balance the budget in a Greek-like austerity. In that scenario treasury yields wouldn't be below 2%.