What changed? Seriously, dude, have you looked at the friggin PRIMEX this week?
Don't take my word for it but PRICE IT OUT YOURSELF. After holding solid while the ABX tanked in May/June, now prime non-agency is softening. PRIMEX FRM.2 is just about to dip below par, meaning that the market is now pricing in the possibility of small losses even into the most senior tranches of the best underwritten prime non-agency pools.
Best case: this presents a buying opportunity and a chance to pick up some higher yields and spreads as prime non-agency softens. Worst case: high yield is broken (say no more: just look at the ABX...) and more deterioration in NAV. I have no idea whether this is real or panic in the HY market, but when the bond market speaks, smart investors listen.
The true "lemmings" are those who trade in these mreits without realizing that you're playing poker with someone else who sees your hand before you do. These "mysterious" price moves are nothing more than reflections of the underlying bond porfolios. Until you retail sheep figure this out, you're going to continue to get sheered.
When the bears raid the brothel they take all the girls and CIM is an ugly girl indeed. Now is the time to be in cash or gold. Wait this out. As long as the banking problem exits in Europe we are not going up.