A European investor wants to invest on EDF bonds. There are 2 possibilities: 1- EDF 2,5% 2030 in Euros. Yield=1,80% 2- EDF 4% 2030 in USD. Spread over US Treasury=150 bps Data: a-Euro Swap 10 years trades at 0,8% b-USD Swap 10 years trades at US Treasury+0,3% c-Cross Currency Basis Swap EUR/USD trades at -0,50% What should be the choice of the investor: Compare the Swap Spread (In Euros) for the 2 bonds.

References Options, Futures and Other Derivatives: John C. Hull Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies: Martellini, Priaulet