4.1.1 Federal Debt Held by the Public

4.1.1 Federal Debt Held by the Public

Percent of GDP 120

As Of: Aug-2019

Percent of GDP 120

100

100

CBO Baseline

Projection

80

80

60

60

40

40

20

20

0

0

1940 1950 1960 1970 1980 1990 2000 2010 2020

Source: CBO, Haver Analytics

Note: Data for fiscal years. Years after 2018 are projected.

4.1.2 U.S. Treasury Yields and Yield Curve

Percent 7

6

10-Year

(left axis)

5

As Of: 30-Sep-2019

Spread (right axis)

Basis Points 350

300

250

4

200

3

2-Year

150

(left axis)

2

100

1

50

0

0

-1 2005 2007 2009

Source: U.S. Department of the Treasury

-50 2011 2013 2015 2017 2019

Note: Spread equals the difference between the yield on the 10-year U.S. Treasury and 2-year U.S. Treasury.

4.1.3 10-Year Treasury Yields

Percent 4

As Of: 30-Sep-2019

Percent 4

3

10-Year

3

Break-Even

2

2

1

1

0

0

-1 Treasury Inflation-

-1

Protected Securities

-2

-2

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Source: U.S. Department of the Treasury

Note: Break-even represents the difference between the nominal and TIPS yield.

4.1.4 Fixed Income Implied Volatility

Basis Points 300

As Of: 30-Sep-2019

Basis Points 300

250

Merrill Lynch Option

250

Volatility Estimate

200

(MOVE) Index

200

150

2005-Present

150

MOVE Median

100

100

50

50

0 2005 2007 2009

Source: Bloomberg, L.P.

0 2011 2013 2015 2017 2019

Note: Implied volatility is calculated using a yield curve-weighted index of the normalized implied volatility on 1-month Treasury options.

4.2.1 Advanced Economies Real GDP Growth

Percent

As Of: 2019 Q2

4

Percent 4

2

2

0

0

-2

United States

Japan

United Kingdom

Euro Area

-4

2016 2017 2018

FY FY Q1

Source: Eurostat, CAO, BEA, Haver Analytics

-2

-4 2018 2018 2018 2019 2019 Q2 Q3 Q4 Q1 Q2

Note: Data represents seasonally adjusted quarterover-quarter annualized real GDP growth rates.

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