https://financetrain.com/bond-features-affecting-interest-rate-risk
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All other factors remaining the same, the lower the coupon, the higher is the interest rate sensitivity. This happens because when the bond has lower coupon, its value is more dependent on the par amount to be received at maturity. In other words, it takes longer for a bondholder to get back its capital when the interest rates are low. On the other hand, a bond with high coupon rate has higher cash flows in the beginning which reduces its dependency on the maturity value. In this sense, zero-coupon bonds have highest interest rate sensitivity compared to a similar coupon paying bond.
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