A 12-year maturity zero-coupon bond selling at a yield to maturity of 5.25% (effective annual yield) has convexity of 159.9 and modified duration of 1106 years. A 30-year maturity 9,5% coupon bond making annual coupon payments also selling at a yield to maturity of 5.25% has nearly identical duration–11.04 years--but considerably higher convexity of 258.4. a. Suppose the yield to maturity on both bonds increases to 6.25% What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration-with-convexity rule? (Input all amounts as positive values. Do not round intermediate calculations. Round your answers to 2 decimal places.) Answer is complete but not entirely correct. Coupon Bond Zero Coupon Bond 7.45 X % 9.25 % Actual Predicted loss loss 9.25 % % 9.25 X % b. Suppose the yield to maturity on both bonds decreases to 4.25%. What will be the actual percentage capital loss on each bond? What percentage capital loss would be predicted by the duration-with-convexity rule? (Input all amounts as positive values. Do not round intermediate calculations. Round your answers to 2 decimal places.) Answer is not complete. Zero Coupon Bond Coupon Bond % % Actual Predicted gain gain 30 96 %