A 12.75-year maturity zero-coupon bond selling at a yield to maturity of 8% (effective annual yield) has convexity of 150.3 and modified duration of 11.81 years. A 30 year maturity 6% coupon bond making annual coupon payments also selling at a yield to maturity of 8% has nearly identical modified duration --- 11.79 years----but considerably higher convexity of 2312. a. Suppose the yield to maturity on both bonds increases to 9% 1. What will be the actual percentage capital loss on each bond? 11. What percentage capital loss would be predicted by the duration-with-convexity rule? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Coupon Bond Actual loss Predicted loss Zero-Coupon Bond % % 96 b. Suppose the yield to maturity on both bonds decreases to 7%. What will be the actual percentage capital gain on each bond? What percentage capital gain would be predicted by the duration with convexity rule? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Zero-Coupon Bond Coupon Bond 1% Actual gain (Do not round intermediate calculations. Round your answers to 2 decimal places.) Zero Coupon Bond Coupon Bond Actual loss Predicted loss % b. Suppose the yield to maturity on both bonds decreases to 7%. What will be the actual percentage capital gain on each bond? What percentage capital gain would be predicted by the duration-with-convexity rule? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Zero-Coupon Bond Coupon Bond % Actual gain Predicted gain %