The Securities and Exchange Commission is investigating allegations regarding the manipulation of the shares and traded debt of Lehman Brothers, the US bank. The prices of both shares and debt have been hit by rumours that the bank has been suffering financial difficulties. Some banks are believed to be demanding initial margin before entering deals. Lehman has denied all the rumours.

On Friday, Lehman shares closed at $29, down from a 12-month high of $85 a share. Its one-year debt has been selling at about 400 basis points above Libor, compared with a spread earlier this year of 100 basis points. Its 6.5 per cent notes, due in 2008, sold at a yield of 92 basis points above Treasuries, are trading at about 350 basis points above.