Iginla2011

Consider a 9% 20-year bond selling to yield 6%. The price of this bond would be 134.6722. If the yield required by investors increases by 50 basis points to 6.5%, the price of this bond would fall by 5.13% to 127.7605

For a 6% 20-year bond selling to yield 6%, a rise in the yield required by investors to 6.5% will cause the bond’s price to decline from 100 to 94.4479, a 5.55% price decline.

(Level I Volume 5 Equity and Fixed Income, 6th Edition. Pearson Learning Solutions p. 354).

The 9% bond is fallen 5.13% whereas the 6% bond has fallen 5.55%. The bond with higher coupon rate has fallen less and this is precisely the interest rate risk - price sensitivity to change in interest rates.