A 12.5-year maturity zero-coupon bond selling at a yield to maturity of 9.5% (effective annual yield) has convexity of 167.1 and modified duration of 11.56 years. A 30-year maturity 5% coupon bond making annual coupon payments also selling at a yield to maturity of 9.5% has nearly identical duration11.54 yearsbut considerably higher convexity of 250.7. a. Suppose the yield to maturity on both bonds increases to 10.5%. 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.)