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
Grade” Aaa 0.00%
Grade” Ba 1.36%
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.