According to a 1997 Moody's study, here are the one-year, weighted-average bond issuer default rates by Moody's rating for the period 1970-1996:

Rating 1-Yr Default Rate
"Investment
Grade" Aaa 0.00%
Aa 0.03%
A 0.01%
Baa 0.12%
"Speculative
Grade" Ba 1.36%
B 7.27%

As you can see, the difference between Aa and A is quite small, but the default rate jumps very sharply thereafter. High yield "junk" bonds--those usually in the Ba category or lower--carry a high rate of interest to attempt to reward investors for assuming higher default risk.