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Suppose the following table summarizes the average Z-spreads of corporate bonds according to credit rating. Rating AAA Spread (bps) 39 AA 47 A 74

Suppose the following table summarizes the average Z-spreads of corporate bonds according to credit rating. Rating AAA Spread (bps) 39 AA 47 A 74 BBB 134 BB 268 B 540 CCC 1,073 Estimate the expected percentage loss on a bond with a Effective Duration of 12.4 and an Effective Convexity of 138.384 should a credit be downgraded from AA to BBB.

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