manchester88

It might help to think of it in terms of a % change of the coupon.
For example, lets go to an extreme and say you have a 40% coupon bond vs. a 1% coupon bond.
If interest rates change by 1% this only affects your 40% coupon bond by 1/40th of its coupon rate where your 1% bond is affected by 100%.
(This may not be 100% technically correct, but it helped me get the concept.)