A 12-year maturity zero-coupon bond selling at a yield to maturity of 9.75% (effective annual yield) has convexity of 173.1 and modified duration of 11.06 years. A 30-year maturity 5.5% coupon bond making annual coupon payments also selling at a yield to maturity of 9.75% has nearly identical duration-11.04 years--but considerably higher convexity of 267.7. a. Suppose the yield to maturity on both bonds increases to 10.75% 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 Coupon Bond Bond P Actual Predicted b. Suppose the yield to maturity on both bonds decreases to 8.75%. 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.)