Corporate bonds

Corporate bonds are bonds issued by corporations of sufficient credit quality to be considered investment-grade (i.e. excludes High Yield/"Junk" bonds).

Interest rate risk
The most common model for thinking about corporate bonds is that they pay a premium on top of the risk-free rate (represented by ultra-short-term default-risk-free assets like Treasury Bills) for assuming other risks. One of those risks is shared with Treasuries of similar duration: interest rate risk.

Credit risk
Although legally bondholders must be paid before stockholders, there is nevertheless the risk that a company could default on its loans, triggering bankruptcy proceedings. This risk varies with the credit rating of the bond.

Call risk
Many corporate bonds include call options which allow the issuer to buy back the bond at face value under certain conditions. This is most likely to occur if market rates fall or if the issuer's credit rating improves substantially, limiting the extent to which the investor can profit from these otherwise favorable occurrences. This negative convexity is generally far smaller than the negative convexity experienced by  mortgage-backed bonds.

Links

 * About Corporate Bonds SIFMA InvestinginBonds.com