Suppose you work on an interest rate derivatives trading desk and observe the following market quotes. Long (short) $100,000,000 interest rate cap, 90/360 day count, 4 percent strike rate priced at $4,950,000 ($4,925,000). Long (short) $100,000,000 interest rate floor, 90/360 day count, 4 percent strike rate priced at $5,000,000 ($4,975,000). An at-market receive floating interest rate swap with identical terms of the caps and floors earlier is quoted at 4.0 percent (3.95 percent for receive fixed). Identify an arbitrage strategy and identify any new risks introduced by pursuing the arbitrage?