If you own shares of Chimera Investment (NYSE:CIM), you already have a lot to worry about. The stumbling mortgage REIT has failed to file its 2011 annual report as well as a slew of quarterly updates. The last time it filed its mandatory disclosures was in August of 2011. In the meantime, it's failed to file four quarterly statements and its 2011 annual statement, prompting the New York Stock Exchange to threaten to delist it if it doesn't submit the necessary paperwork by this Tuesday, January 15th.

If you have money anywhere near unsteady Chimera, here are three potential catalysts you should be watching carefully.

1. Deadlines
Far and away the most important thing for current and/or prospective shareholders to watch for is whether or not Chimera will file its amended financial statements by the middle of January. This is essentially what's known as a binary event. If it meets the deadline, it could live to fight another day. If it misses it, then the New York Stock Exchange has warned that it will begin delisting procedures. This would remove Chimera's shares from the exchange and presumably exert significant downward pressure on their price.

Beyond this -- as I've alluded to above -- assuming that Chimera does file its financial statements, investors will want to see both how it's fared over the last year and what condition it's currently in. There are two figures to look at first. One is its GAAP book value per share. Chimera currently estimates this figure at $3.08 per share. If the actual result comes in either wildly above or below this estimate, there'll be reason for concern. And the second, as I discuss below, is its net interest margin.

While I'm somewhat hesitant to mention this, given the high level of risk associated with buying or owning shares of Chimera, it's nevertheless worth noting that there's also potential upside if Chimera reports and the results are better than expected. In addition, as we recently saw with Crexus Investment (NYSE:CXS.DL), a commercial real estate investment trust that's managed by Annaly Capital Management (NYSE:NLY), like Chimera is, there's always the possibility that Chimera will be bought out at a premium to its current price.

2. Interest rates
The biggest issue confronting all mREITs at present are interest rates. Mortgage REITs like Chimera make money by arbitraging interest rates. They borrow money at low short-term rates and use the proceeds to invest in higher-yielding assets with longer maturities. The difference between the rates -- the interest rate spread -- is accordingly where they make their money. As a result, the biggest fear of any leveraged fund like Chimera is that the relationship between short- and long-term rates contracts or inverts entirely.

While the interest rate environment over the last few years has been atypically conducive to interest rate arbitrageurs, things began to change at roughly the same time last year that Chimera stopped filing financial statements. For it was in the third quarter of 2011 that the Federal Reserve announced the first of two monetary programs designed to bring down long-term interest rates. Since then, long-term rates have come down considerably.

Perhaps of even greater concern for Chimera, however, is the impact of its current troubles on its cost of funds. It's no secret that lenders charge higher-risk borrowers a higher interest rate to borrow funds. Thus, at the same time that the Fed is pressuring Chimera's interest rate spread from above, its lenders may very well be doing the same from below, creating an environment in which it isn't able to make money, much less pay a dividend.

3. The economy
The final thing that current and prospective investors in the company should watch is the economy in general, and unemployment more specifically.

The Federal Reserve operates under a dual mandate, charged by Congress with minimizing both unemployment and inflation. The primary tool in its proverbial toolbox is monetary policy through which it influences interest rates.

After the unemployment rate shot up early in the financial crisis, the Fed contented itself with driving short-term interest rates down to near zero. When this didn't spur a sufficient level of hiring, however, it turned its attention to long-term interest rates as well.

In September of 2011, it initiated the first of two rounds of monetary policy aimed specifically at reducing long-term lending costs. One year later, it initiated the second round. In response, the yield on the 10-year Treasury has dropped from an average of 2% in the third quarter of 2011, to around 1.6% today.

As noted above, because mREITs like Chimera rely on the spread between low short-term interest rates and higher long-term rates, the Fed's actions have necessarily decreased the profitability of participants in this sector. 

John Maxfield has no position in any stocks mentioned. The Motley Fool owns shares of Annaly Capital Management. Try any of our Foolish newsletter services free for 30 days. We Fools may not all hold the same opinions, but we all believe that considering a diverse range of insights makes us better investors. The Motley Fool has a disclosure policy.