No it wasn't conservative. It was very risky completely based on assuming almost 0% interest rates over 10 years and fully locked in. That's clearly a crazy position to take. Every small increase in interest rates has a outsized effect on these bonds.
It's not that crazy considering we saw 10 years of 0% interest rates... well for the past 10 years. If anything it was the status quo. Only in hindsight does it look crazy.
That the interest rates were at 0% for so long implies that the rates will have to be going up in the near future. They can't stay at 0 forever, and 10 years is a very long time.
The obviously risky bet is that the rates would stay 0.
In 2018 some countries had started experimenting with negative interest rates, so 0 isn’t the lower bound. Secondly, you would have been wrong for the next ~3 years. That’s a long time to be on the wrong side of a bet. Long term nothing is guaranteed of course.
