New "Big Short" Hits Record Low As Focus Turns To $400 Billion CRE Debt Maturity Wall

Two weeks ago, when we re-introduced readers to the Big Short 3.0 in "As Hedge Funds Pile Into The New "Big Short", The Next 'Credit Event' Emerges", we also explained "why small banks are in big trouble." We didn't have to even wait days to be proven right: literally hours later, Silicon Valley bank was shuttered and the regional banking system has been gripped by the worst crisis since Lehman, one which has seen over $550 billion (according to JPM calculations) in deposits drained from US banks (and a similar amount from European banks, as Credit Suisse learned the hard way).

Meanwhile, we also haven't had long to wait to see the market impact on the latest version of the Big Short, which we defined as the BBB- tranches of CMBX Series 15, due to its outsized exposure to office commercial real estate...