When then-US Secretary of the Treasury Henry Paulson decided not to bail out Lehman, the firm filed for bankruptcy and quickly sold off its brokerage operations. But, ominously, it could not sell its large portfolio of derivatives contracts – deals based on movements of interest and currency rates.
以雷曼兄弟的倒闭为例。时任美国财政部张亨利·鲍尔森（Henry Paulson）决定不拯救雷曼，因此该公司陷入破产并很快地甩卖了它的经纪部门。但不幸的是它无法出售其规模巨大的衍生品合约（基于利率和汇率波动的交易）组合。从很多方面看，雷曼的衍生品组合在它破产时是盈利的，但衍生品的破产豁免让雷曼的交易对手迅速了结了它们的头寸，所使用的方式令雷曼损失惨重，令金融市场陷入混乱，也令实体经济受到伤害。