CMBS
iShares CMBS ETF
stock NYSE ETF

I Traded on a Fixed Income Prop Desk within shouting distance to the Risk/Arb Desk , for a Firm that basically avoided most of this mess, Primary Dealer. What you don't know is the Lehman had an heavy exposure to CMBS where Valuations are Suspect. They moved their ALT-A loan into RMBS, again different valuations from reality. Much of this MBS portfolio fell under "Level III" accounting. This meant the assets were highly illiquid, had no active market pricing, and their value was calculated using Lehman's internal models, which severely overstated their worth as the housing market collapsed. The other neat trick was the use of REPO 105 and Repo 108.
Repo 108- temporarily removing assets from the balance sheet by over-collateralizing transactions at 108% to record them as sales rather than loans.
REPO 105- Reclassify short-term loans as sales. It involved moving about $50 billion of assets off the balance sheet temporarily to hide debt and make the firm look healthier right before reporting dates.
One other interesting segment of Lehamn was that their Distressed Debt/Convertible desk had a sheet of about $600mm and made $2BLN in 2007. Basically on CDS, shorting their own and others heavy in the MBS market DEBT.

I Traded on a Fixed Income Prop Desk within shouting distance to the Risk/Arb Desk , for a Firm that basically avoided most of this mess, Primary Dealer. What you don't know is the Lehman had an heavy exposure to CMBS where Valuations are Suspect. They moved their ALT-A loan into RMBS, again different valuations from reality. Much of this MBS portfolio fell under "Level III" accounting. This meant the assets were highly illiquid, had no active market pricing, and their value was calculated using Lehman's internal models, which severely overstated their worth as the housing market collapsed. The other neat trick was the use of REPO 105 and Repo 108.
Repo 108- temporarily removing assets from the balance sheet by over-collateralizing transactions at 108% to record them as sales rather than loans.
REPO 105- Reclassify short-term loans as sales. It involved moving about $50 billion of assets off the balance sheet temporarily to hide debt and make the firm look healthier right before reporting dates.
One other interesting segment of Lehamn was that their Distressed Debt/Convertible desk had a sheet of about $600mm and made $2BLN in 2007. Basically on CDS, shorting their own and others heavy in the MBS market DEBT.