My guess is the incentives are misplaced. If you get paid to generate carry, you will pick up the coins on the track. Whatever incentive system the bank was using, it did not take into account the potential for loss. This is a perennial problem with this kind of position: you can borrow at a low rate but lend as far out the curve as you like. If you just max out duration, every day that you don't go bust, you make maximum money. Especially as you can pretend that high interest bond is still worth what you paid. It's only when such a trade unwinds you see the risk.