There's a spoof e-mail been doing the rounds on Wall Street about Lehman Brothers. It's quite amusing, and is detailed below (slightly amended):

'The market responded with enthusiasm today to reports that the Tooth Fairy has agreed to acquire Lehman Brothers. The purchase price has not yet been determined, but will be set by Lehman CEO Dick Fuld wishing upon a star, clicking his heels three times, and being transported back to that magical kingdom where Lehman still sells for over $70 per share.

In related news, Lehman has agreed to sell all of its Level III capital, including CDOs, ABSs, pet rocks, baseball cards, firm umbrellas, and credit default swaps written by MBIA and Ambac. Lehman's Level III capital will be acquired for 150% of its face value by Tinkerbell, who will carry it off to Never Neverland, where it will be fed to a crocodile. Lehman is financing 90% of the acquisition at an interest rate usually reserved for subprime borrowers; Tinkerbell's upfront payment consists of a handful of pixie dust, three crickets, and a bullfrog. Ladenburg Thalmann bank analyst Dick Bove estimates that the bullfrog could eventually be transformed into three princes and a pumpkin coach (but doesn't want to be quoted in case he is sued).

The deal gives Lehman no recourse to any of Tinkerbell's assets other than the Level III capital. If Tinkerbell defaults, Lehman's successor entity will stick its hand down the crocodile's throat and attempt to get it to regurgitate. The firm's historical value-at-risk analysis shows that sticking your hand down a crocodile's throat is completely safe.

Treasury Secretary Hank Paulson issued a statement: 'I am delighted that SWFs (Sovereign Wealth Fairies) continue to express confidence in the terrific values represented by American financial institutions. As I have been saying since August of 2007, this shows that the crisis is now over'.

Meanwhile, US regulator the Securities and Exchange Commission (SEC) has announced an investigation of mean, evil, bad short-seller Captain David Einhorn. While out for a beer with a friend, Einhorn reportedly suggested that the Tooth Fairy might not exist, and that wishing upon a star is not a wholly reliable price discovery mechanism (although he accepts that it has been a commonly-used methodology in the past). Christopher Cox, chairman of the SEC, said, 'Vicious rumors attacking the Tooth Fairy will not be tolerated. Our entire financial system, and indeed the American way of life, depend on the Tooth Fairy and wishing upon a star. How else could one value Level III capital appropriately ?'. The SEC is reportedly planning to set up re-education camps for short-sellers in Guantanamo Bay'.

Our thanks to The Evening Standard's City Spy column for drawing this item to our attention. The identity of the author remains unknown.

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