Lehman Brothers (NYSE:LEH) CEO Dick Fuld must have hoped that the blaze Fannie Mae (NYSE:FNM) and Freddie Mac (NYSE:FRE) set would suck all the media oxygen away from the fires he's busy fighting. However, the market isn't distracted; in fact, it's intensely focused on Lehman's problems.

Today, the regulator for Korea Development Bank, Lehman's most serious potential acquirer, said the companies were no longer in talks. Lehman shares are off by more than a third as I write.

This news follows a day on which Lehman shares conspicuously lost 13% as Goldman Sachs (NYSE:GS), Merrill Lynch (NYSE:MER), and Morgan Stanley (NYSE:MS) rallied on news that the Treasury was bailing out Fannie and Freddie.

Clearly, some shareholders have decided it's time to cut their losses without waiting to see the final act, even though it's just around the corner. Next Thursday, Lehman will announce its fiscal-third-quarter results, along with "key strategic initiatives for the Firm." With analysts now expecting a loss of $2.91 per share -- following a $5.14 loss in the second quarter -- Lehman has no choice but to offer investors some clarity on its future at that time.

Many options, but they may be hard to pursue
The broker has looked at all manner of options recently, including tying up with Korea Development Bank, spinning off its commercial real estate assets into a separate entity, and selling Neuberger Berman, its asset-management unit.

The last of these options now looks most likely to feature in next week's call. However, Brad Hintz, a Bernstein analyst and former Lehman CFO, thinks the sale of Neuberger won't raise enough capital by itself. That's troubling, because the other two options look doomed or uncertain, at best.

It's difficult to imagine that a spin-off of distressed assets would receive a warm reception from traditional investors -- although hedge funds and private-equity groups could be interested. In any event, it would require capital to plug the hole left in Lehman's balance sheet.

Pawning the crown jewels is easy enough, but Fuld will have to pull off a real feat of legerdemain if he is to extract Lehman from its subprime straitjacket.

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Fool contributor Alex Dumortier, CFA,has no beneficial interest in any of the companies mentioned in this article. Try any of our Foolish newsletter services free for 30 days. The Motley Fool has a disclosure policy.