Are you aware of the currency risk? We are talking about that you lock in the YiELD, not an index or something.
Example: You buy a newly issued US 10 year in jan 2002 with an amount of 100k Euros at par (100) with a yield of 5% and hold it till maturity in 2012. EUR/USD was in Jan 2002 at 0.88, in 2012 it was at 1.30. Thing is: Your 100k are not 100k anymore. In 2002 you bought with your 100k Euros 88k USD. In 2012 you get those 88k USD back. Now you transfer them into Euros, that‘s 88k divided by 1,30 which is 68k, so you lost 32k. The coupon payment was 5k each year, but that was also in USD. Let‘s assume were on average paid at an EUR/USD rate of 1.30, so that‘s 5k x 10 payments divided by 1.30 which is 38k. In sum: 38k coupons minus 32k lost in FX makes an overall gain of 6k. Those 6k represent sky high opportunity costs since rates on any duration where much higher in the Eurozone than nowadays.
