Most defaults so far have occurred because of incompetency resulting in hacks as Xiaoxiao mentions, Mt.Gox of course being one of the best example.

What can be said on BFX competency? Well, for example, they registered on the BVI, while there are well documented reasons why such a (tax haven) registration increases (credit) risks. Think of a lack of oversight and increased incentives of risky behavior (increased profit margins) among others.

This risk reflects in the lender rates, because whatever way you look at this it only includes market risk + credit risk + some noise. To the lender, the market risk is actually near zero given the margin stop out level. In extreme cases, Bitfinex has covered losses so far. So that leaves something that looks like a corporate bond; credit risk + some noise due to the nature of the actual product. To the lender, this noise results in a risk free return, that automatically has a minimizing effect. So then you would end up with mostly credit risk, for which it makes sense for the number to reflect a high value. It's only a quantification of the obvious.