A 12-year maturity zero-coupon bond selling at a yield to maturity of 7% (effective annual yield) has convexity of 151.5 and modified duration of 11.06 years. A 30-year maturity 7% coupon bond making annual coupon payments also selling at a yield to maturity of 7% has nearly identical duration11.04 yearsbut considerably higher convexity of 234.6. a. Suppose the yield to maturity on both bonds increases to 8%. 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.) Zero Coupon Bond Coupon Bond Actual Iloss % % Predicted loss % 9.87% b. Suppose the yield to maturity on both bonds decreases to 6%. 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.) Coupon Bond Zero Coupon Bond % Actual Predicted %