And while we are yet to see whether this record positioning will prove the crowd is always wrong again, there is one clear set of 'losers' already facing considerable losses – mom-and-pop investors in Wall Street's latest and greatest 'conservative' bond offering – 'Steepener' Securities.
The steeper the slope, the higher the coupon, up to a cap.
If the curve levels out — as it has been over the past year — or inverts, buyers can be stuck with measly coupons or even no interest payments.
The coupon is calculated according to a formula based on the difference between the 30-year constant maturity swap rate and the five-year rate.
While banks issue the debt securities, Bloomberg notes that they're often marketed and sold to investors via intermediaries such as brokerages.