An 11.5-year maturity zero-coupon bond selling at a yield to maturity of 5.5% (effective annual yield) has convexity of 165.9 and modified duration of 10.56 years. A 30-year maturity 9% coupon bond making annual coupon payments also selling at a yield to maturity of 5.5% has nearly identical duration10.54 yearsbut considerably higher convexity of 247.3. a. Suppose the yield to maturity on both bonds increases to 6.5%. 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.)

b. Suppose the yield to maturity on both bonds decreases to 4.5%. 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.)