The 10-Year Treasury Yield (TNX) has surged by over 100 basis points since mid-September, driven primarily by a rising term premium, according to Citi Research. This increase poses significant risks to emerging markets (EM), particularly those with fiscal vulnerabilities. "The rise in US term premium raises the risk of less tolerance for EM fiscal slippages," Citi analysts note, highlighting Brazil, Colombia, and Mexico as countries that may face increased scrutiny. Despite a strong US dollar and high US rates, Citi has maintained a dovish stance on most EM central banks, with exceptions like Brazil and Colombia, where fiscal challenges persist. The report underscores the potential for market intolerance towards fiscal slippages in a high-rate environment, which could crowd out EM debt supply.