My hotel in Maastricht is housed in an old (renovated) church, and it now has excellent internet connections, so I can blog a bit more than I expected.
Paul Klemperer has written a paper on auction design for England's version of the Troubled Asset Recovery Program. It is called
A New Auction for Substitutes: Central Bank Liquidity Auctions, the U.S. TARP, and Variable Product-Mix Auctions.
It describes a sealed bid auction, required because of the speed and interdependence of markets for financial products:
"a multi-stage auction was ruled out because bidders who had entered the highest bids early on might change their minds about wanting to be winners before the auction closed, and because the financial markets might themselves be influenced by the evolution of the auction, which magnifies the difficulties of bidding and invites manipulation."