Back in June we said that as we had reported previously, with commercial real estate failing to benefit from the record rebound in overall risk since the March lows as a result of a tidal wave of retail bankruptcies, CMBX Series 6 which back in March 2017 was dubbed the "Big Short 2.0" trade due to its substantial exposure to malls which were hurting long before the arrival of the pandemic...

... and especially the BBB- tranche, has been stuck in purgatory, and after surging to 75, is back to where it was in mid-April as investors signal that the worst is yet to come for commercial real estate.

Of course, all of this is well-known by now, and it is safe to say that the riskier tranches of CMBX S6 are now fairly priced for even a downside scenario among retail outlets. But what about other CMBX issues, and is there another "Big Short" lurking among the various tranches, especially in the aftermath of the coronavirus shutdowns which will cripple not just retail outlets but everything from restaurants, to multi-family housing (as city renters flee for the suburbs), to offices and hotels.

As we said all the way back in May, the answer to all those seeking the next Big Short, or Big Short 3.0, is CMBX 9. This is what we wrote:

... with CMBX 6 now done, keep a close eye on CMBX 9. With its outlier exposure to hotels which have quickly emerged as the most impacted sector from the pandemic, this may well be the next big short.