Last week we introduced the CMBX Series 6 as potentially the next 'big short' - a credit derivative contract that allows betting against securities backed by malls in weaker locations where stores could close in quick succession, triggering debt defaults. Based on fundamentals, the trade indeed appears justified: "Sold in 2012, the mortgage bonds have a higher concentration of loans to regional malls and shopping centers than similar securities issued since the financial crisis. And because of the way CMBS are structured, the BBB- and BB rated notes are the first to suffer losses when underlying loans go belly up."

"These malls are dying, and we see very limited prospect of a turnaround in performance," according to a January report from Alder Hill, which began shorting the securities. "We expect 2017 to be a tipping point."

Cracks have started to appear. Prices on the BBB- pool of CMBS have slumped from roughly 96 cents on the dollar in late January to 87.08 cents last week, index data compiled by Markit show.