The fees on yield enhancement products increase strongly with coupons, despite minimal pass-through of coupons to returns. As a result, higher coupons paradoxically lead to lower net expected returns. Demand estimates exploiting pricing shocks show investors pay over 35 basis points for one percentage point of coupon. Banks engineer coupons using exotic, hard-to-value options that artificially increase coupons, but much less so returns. These patterns are inconsistent with standard reaching-for-yield models and instead point to investor inattention to shrouded attributes. I show that the resulting rents extracted by banks are several times larger than those documented in other financial markets.