In a move that would likely surprise no one, Lehman Brothers Holdings Inc. (LEH) is in preliminary steps to “sell off” $30 billion of its riskiest mortgage-related investments in the mold of a similar “sale” earlier this week by Merrill Lynch & Co (MER). The Merrill transaction has been assailed by analysts and market pundits as a faux sale, however, given that its deal to sell $30.6 billion in gross notational amount of ABS CDOs to an affiliate of Lone Star Funds involved Merrill itself providing funding for 75 percent of the deal. The New York Post reported Friday morning that Lehman was looking to do pretty much the same thing, “selling” some of its risky assets to a domestic or foreign entity and perhaps providing funding for any deal to do so. The paper also reported that Lehman had retained Lazard Ltd. in an advisory role, but for what purpose was unclear. The alleged moves by Lehman come as the firm has been besieged by rumors over its future during the past month; CEO Dick Fuld has been scrambling to keep the firm independent amid the rumors. But should Fuld be shopping the company’s most troublesome assets for a sale, any buyers will clearly have plenty to choose from. In a recent filing with the Securities and Exchange Commission, Lehman said that its so-called Level 3 assets — those most difficult to value — actually rose relative to overall assets, from 6.1 percent in November of last year to 6.5 percent at the end of May of this year. The dollar value assigned to Level 3 assets fell slightly, from $42 billion to $41.3 billion; $20.6 billion of that total was in the form of MBS/ABS, Lehman said, the largest chunk of Level 3 assets valued. MBS and ABS assets remain dominant on Lehman’s overall book, as well, valued at $72.5 billion of the company’s $248.7 billion in total assets at the end of May. The firm’s relatively larger exposure to mortgages is what has had investors increasingly concerned about future earnings and whether a recent $6 billion capital raise will be enough to weather the credit storm. Not surprisingly, Lehman has already been moving in recent months to lessen its residential mortgage exposure in the US; it reduced its net residential mortgage exposure from $31.8 billion to $24.9 billion during Q1. A review of financial data by HousingWire found that the majority of that drop was the result of selling positions in prime and Alt-A mortgages off of its books (see earlier report). Shares in Lehman were at $16.90, down 2.5 percent, in early trading Friday on the New York Stock Exchange. The company’s shares were trading at $60.82 one year ago today. Disclosure: The author held no positions in LEH when this story was published; other indirect holdings may exist via mutual fund investments. HW reporters and writers follow a strict disclosure policy, the first in the mortgage trade.