Four issuer types cover almost everything, and each has a characteristic risk that has nothing to do with the coupon.
Sovereign debt in the issuer's own currency is the local risk-free benchmark, which is a statement about default in that currency rather than about safety. India's central government issues dated securities and Treasury bills through the central bank; the United States issues bills, notes, bonds, inflation-protected securities and floating-rate notes through the Treasury. Foreign-currency sovereign debt is a genuinely different credit, because the issuer cannot create the currency it owes.
What are sub-sovereign bonds?
Sub-sovereign debt is where the two markets diverge most. American municipal bonds split into general obligation bonds, backed by the taxing power of the issuer, and revenue bonds, backed only by the cash flows of a specific project such as a toll road, an airport or a water system. A revenue bond's analysis is a project analysis, and its indenture usually contains a rate covenant obliging the issuer to set charges high enough to cover debt service by a stated multiple. The interest on most municipal bonds is exempt from federal income tax, which makes any comparison to a taxable bond a tax-adjusted one. A 3.60% tax-exempt yield is worth 5.5384615385% to an investor at a 35% marginal rate, 4.7368421053% at 24% and 4.0909090909% at 12%. A 5.00% taxable corporate therefore beats that municipal for anyone whose marginal rate is below 28.00000000% (check the current tax treatment and rates before applying this to a real decision).
India's sub-sovereign layer is dominated by State Development Loans, auctioned by the central bank for individual states and carrying a spread over central-government paper that reflects segmentation and liquidity more than any measured default probability. Municipal bonds issued by urban local bodies exist under a SEBI framework and remain a small market, usually rated with a structured payment mechanism such as an escrowed revenue stream, which makes them closer in analysis to an American revenue bond than to a general obligation.
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What other types of issuer are there?
Corporate issuers divide at the investment-grade boundary, and the boundary matters institutionally rather than economically: mandates, capital charges and index eligibility all change there, so a downgrade across it forces selling by holders who have no view on the credit. Medium-term note programmes let a frequent issuer sell in small, tailored tranches off standing documentation, which is why a single issuer can have dozens of outstanding lines with odd maturities and structures.
Bank funding has its own ladder, because bank capital regulation deliberately builds instruments that absorb loss. Senior unsecured sits above tier 2 subordinated debt, which sits above additional tier 1 instruments that are perpetual, carry discretionary coupons and convert or write down on a capital trigger or at the regulator's determination of non-viability. An additional tier 1 instrument is priced by the market to its first call date and is contractually perpetual, and the gap between those two facts has produced some of the sharpest repricings in recent credit history. India's banks issue this ladder alongside certificates of deposit and infrastructure bonds; the specific loss-absorption triggers and the treatment of coupon discretion are set by the Reserve Bank's capital regulations and should be read from the instrument's own terms (check against the current RBI Basel III capital directions).
Supranational issuers, meaning the multilateral development institutions, sit slightly outside the taxonomy: highly rated, frequent, and often the issuers who open a new currency market. Offshore rupee-denominated bonds issued by such institutions were the route through which international investors first took rupee credit risk without taking Indian settlement risk.
The coupon tells you almost nothing about which of these four you are holding. The issuer type tells you most of it.