Return to question A 12.25-year maturity zero-coupon bond selling at a yield to maturity of 8% (effective annual yield) has convexity of 1392 and modified duration of 11.34 years. A 40-year maturity 6% coupon bond making annual coupon payments also selling at a yield to maturity of 8% has nearly identical modified duration -12.30 years--but considerably higher convexity of 272.9. 1.25 points a. Suppose the yield to maturity on both bonds increases to 9% IWhat will be the actual percentage capital loss on each bond? il. 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.) Answer is complete and correct. Zero Coupon Bond Coupon Bond 10.72 % 11.09 % 10.63 % 11.00 % 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.) Answer is not complete Zero-Coupon Band Coupon Bond Actual gain Predicted gain