That's the example of a credit event that can trigger a cross-default, and a bond issuer cannot selectively failing payments (pari passu). If they stop paying interest for a few years, that country has no place in international capital markets. I can recall only one example - Argentine some 10 years ago.
The obvious risk is liquidity. Although 3-months seem to be the most liquid, you need to hold papers till the maturity. The most of T-bills are held by the Central Bank, financed by commercial banks' excess reserves deposited in the central bank (ah, just like the Fed, actually...) and the proxy to actual yield gains to a retail investor would be close to EGP savings deposit interest rate - which stands at 13% with HSBC Egypt. It still sounds decent if only HSBC Egypt accepts non-resident clients.
The hyper-inflation is a result of a massive devaluation in November 2016. Yes, another devaluation is inevitable but with the record-high foreign reserves they won't do it this year. So, the arbitrage opportunity is there this year until the foreign reserves start declining. An artificially high exchange rate eats up foreign reserves sooner or later, but a devaluation decision is usually late for political reasons in Egypt.
Btw, I will not put my assets exposed naked to foreign exchange risk more than a year. Egypt is a very special case for this year - maybe in my dream.
