Here's a report from the National Audit Office, which appears to be Prof. Dieter Helm's original source:

https://www.nao.org.uk/wp-content/uploads/2017/06/Hinkley-Po...

Part 1.18 (page 22):

> "For example, if we assume the government financed the project and required a 2% return (nominal, equivalent to its borrowing cost)..."

Part 2.3 (page 27):

> "The investors expect their return on the project to be 9.04% over the 60-year operating life of HPC."

Also see Figure 19 on page 65, which summarises the different financing options, ranging from 100% state, the actual HPC deal, to 100% private.