I would base it on: 1. History of decreasing dividends 2. Recent downgrade 3. Missing earnings/accounting reports 4. Fired their previous accountants without discussing why 5. Plummeting share price 6. Risky mortgage paper (50% are grade B or worse)...although this is somewhat offset by less than 2.0 leverage 7. Beta near 1 (actually listed at .83 but the share price seems to be reacting much worse than market average lately) I expect beta to be increasing.
Those reasons are offset by the present fundamentals and future prospects of this company which support at least a $3.00+ pps. A contrarian buying CIM now will laugh all the way to the bank within a year.