You may not get the answer you want on a stock market forum as the bias from a lot of members is going to be towards shares.
In the depths of the bear market of late 2011 I had similar thoughts to you. I looked around at what bonds and hybrids were on offer at the time. Woolworths had a hybrid offering which started out with about an 8% yield.
At the end of the day however, I couldn't find a case to sell my WOW shares for their hybrids or sell my bank shares for theirs either. Firstly, with bonds, hybrids there is no franking credit. For a SMSF in pension phase that's a 30% difference on your return right there. Secondly, hybrids seem to have just as much risk and uncertainty of return as shares without any of the upside. What is the guarantee on the yield of the hybrid? It is not fixed. If you need to sell in a hurry on the secondary market there is no guarantee of what price you will get. As for bonds, what is your low yielding bond going to be worth on the secondary market if interest rates go up through the business cycle?
IMHO bank shares are fully priced at the moment given that there is not a great outlook for earnings growth over the next couple of years. Yet, they still represent a better grossed-up return that their hybrids in my assessment. As for risk to capital, well, keep a couple of years pension income as cash and don't worry about the "volatility". There is no volatility in the dividends! I don't have any trouble sleeping at night with one third of the SMSF total assets invested in the major banks shares (25% in CBA alone). But you have to sleep at night too. Some time ago in another post I did some analysis of the return on CBA shares. Even if you had purchased at the height of the boom in 2007, you would be well ahead on the dividends since then.
You might find this video of interest. It sums up my views as well: