Yuan weakness may put a spike in some companies' carry trades, adding another wrinkle of concern even as currency volatility has put emerging market corporate balance sheets under the microscope amid rising offshore debt loads.
"We have warned investors that the level of corporate indebtedness within emerging markets would mean that a close eye should be kept on corporate solvency," Jefferies said in a note.
(Read more: Are EM companies the real debt worry?)
With Shanghai Chaori Solar Energy becoming the first Chinese company to default on its offshore bonds, the role of yuan carry trades – or bets that the Chinese currency would continue to appreciate – are also a concern, the bank said.
The yuan, also known as the renminbi, unexpectedly weakened recently, depreciating around 1.4 percent against the U.S. dollar since the beginning of February. The move caught many investors off guard as yuan appreciation was widely seen as a one-way bet. The currency has attracted considerable foreign investor demand in recent years on its steady appreciation and relative stability.