I was transferring my swarm of the raven from my hunter to my warlock via the destiny 2 companion app. The ui bugged a bit and said something like "item cannot be transferred". When I refreshed the page it said that the gun wasn't on my hunter nor warlock and I would like it back.
Thanks for reading
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It would go to your vault. You may have ran out of space on the other character and the API didnt update in time to reflect that.