p OTM payers at zero net cost Skew trades rich in a sell-off Rates sell off half-way and stay there till the expiry 9/12/14 0 bp 0.0 bp -2k CiPtim Buy Slbn 6M 58/10s ATMF/15 curve cap spread vs. sell SI bn 6M 5s/l0s 6bp OTM curve floor at zero net cost Curve steepens as the market converges