MEX · Investment Grade
Mexico
Last EMBI
200 bp
2026-09-02
TFT +3d
202 bp
origin 2026-09-02 → +3d 2026-09-07 · band 198–207 bp
DAG valuation
Fair
Mexico EMBI is fairly priced at 200 bp (fair 187 bp).
TFT forecast
Segment model: Investment Grade. Point is the +3 business-day median level. Drivers are encoder+decoder variable selection — not news clusters.
Forecast Drivers
Temporal attention (encoder −30d → −1d)
| Type | Attention | Summary |
|---|---|---|
| Technicals | 47.7% | own-spread momentum (widening) · level path / mean-reversion setup |
| Global Macro | 39.6% | global EMBI tighter · VIX risk-off impulse |
| Local Macro | 3.8% | FX depreciation pressure · local CB calendar |
| Sentiment | 8.9% | global sentiment · news volume |
Attention = country-latest encoder+decoder variable selection (rolled up). Summary = top TFT features for that group + recent panel moves. Themes/clusters are separate (do not feed the TFT).
News themes
Rolling BERTopic clusters for desk context. They do not feed the TFT.
Open full local news reportGlobal fulltextValuation DAG
fair
Mexico EMBI is fairly priced at 200 bp (fair 187 bp).
- Global news sentiment increased, which put upward pressure on local equities, which typically widens the EMBI spread.
- The S&P 500 rose, which put upward pressure on the local policy rate, which typically widens the EMBI spread.
- US high-yield spreads tightened, which put upward pressure on the local exchange rate, which typically widens the EMBI spread.
| Current EMBI | 200 bp |
|---|---|
| Macro fair value | 187 bp |
| Gap (current − fair) | +12 bp (0.5σ) |
4 monthly print(s) may not yet have been tradable at the last EMBI date.