WO2002009003A1

WO2002009003A1 - Computerized auctioning system and method

Info

Publication number: WO2002009003A1
Application number: PCT/US2001/022952
Authority: WO
Inventors: Ralph R. Cioffi; Leslie A. Fahrenkopf; Mark D. Feldman; Ranada R. Fergerson; Christian Gilles; Peter L. Herzig; John C. Maguire; Timothy A. O'neil; Robert H. Reinmann
Original assignee: The Bear Stearns Companies, Inc.
Priority date: 2000-07-21
Filing date: 2001-07-20
Publication date: 2002-01-31
Also published as: AU2001277046A1

Abstract

A computerized auctioning system and method is provided for auctioning a plurality of items, such as securities. See Figure 1. In an exemplary embodiment, a host server (1) capable of operating the auction is coupled to a plurality of client systems (3) representing the bidders or sellers. The host server will operate the auction for a predetermined time, select the bidders which qualify to purchase the quantity of items, determine the price which all of the qualifying buyers will pay, and allocate the portions of the items that each qualifying bidder will receive. The host server may also continue to operate the auction in predetermined time intervals after the regular auction has ended.

Description

COMPUTERIZED AUCTIONING SYSTEM AND METHOD

Field Of The Invention The present invention relates to- computerized auctioning systems and methods, particularly for auctioning securities, such as bonds, or other fungible items.

Background Information

There are a number of auction systems available today which allow sellers to sell products, goods, or services to the highest bidder. In a typical auction, as is well known in the art, a seller will post a description of the item for sale and various bidders will then begin making competitive bids for the item during the auction process. The individual bids may be posted or kept secret. At the end of the auction period, the seller typically selects the highest price offered and sells the item to the bidder who made the highest offer.

With the advent of modern technology, many modern auction systems now involve the use of a computer to keep track of the bids offered from respective bidders and then to determine the highest bidder at the end of the auction period. Such computerized systems help to better facilitate and speed up the auction process, especially where there are a large number of bidders bidding to purchase the item. Developments in modern technology have even further improved the traditional auction process by allowing auctions to be conducted over a widely-distributed network, such as the Internet. Such "online" systems allow sellers to post items for sale at a host server for viewing by any bidder with access to the host server. Bidders may then send their bids for an item over the network to the host server, which keeps track of the bids and at the end of the auction period determines the highest bidder. An example of such an online system is the Ebay site, which makes use of the Internet to allow sellers and bidders from all over the world to participate in multiple on-line auctions.

Another example of such an "online" auction system, such as the Onsale.com site, carries out so-called Dutch auctions. In such auctions, multiple bidders bid on a quantity of similar items (e.g., 150 lap-top computers of the same make and model . ) Each bidder can bid for one or more items . Bids are prioritized by price, quantity sought and time of entry of the bid. At the end of a fixed auction period, the quantity of items is assigned to the successful bidders according to the ordering of the bids .

Summary Of The Invention

The present invention provides an auction system and method which can be implemented with a computerized system and/or over a communications network. In an exemplary embodiment of the present invention, a host server (i.e., a computer) is provided for carrying out a dutch auction for an offering of securities, including debt and equity securities. The host server is coupled over a data communications network to a plurality of client computers so that bidders, at the client computers, may view information regarding the auction offering and then transmit their respective bids for some or all of the securities offered. The host server will operate the auction for a predetermined time (i.e., the auction period) during which bids will be accepted. At the end of the auction period, the host will determine the successful bids and allocate the debt securities among the successful bidders.

In an exemplary embodiment, bids are prioritized in terms of the price of each bid and the time of entry of each bid. All successful bidders pay the same price (the so-called "clearing price," or in the case of debt securities, the "clearing spread") which the host computer determines, preferably substantially in real time, as the highest price (or lowest spread) that results in the total quantity of securities being purchased by the successful bidders being equal to the total amount offered.

In a further aspect of the present invention, all successful bidders who bid above the clearing price (or below the clearing spread) will receive the entire quantity requested by each. Those successful bidders whose bids were at the clearing price, will receive prorated quantities determined in accordance with the present invention.

According to another aspect of the present invention, the host server may continue the auction for a predetermined time limit after the normal auction period has ended. During the extended auction period (the "quiet close"), the clearing price and amount bid may be updated accordingly.

Brief Description Of The Drawing

FIG. 1 is a block diagram of an exemplary system in accordance with the present invention.

FIG. 2 is a flow chart illustrating an exemplary embodiment of an initial operating procedure in accordance with the present invention.

FIG. 3 is a flow chart illustrating an exemplary embodiment of an auction procedure in accordance with the present invention. FIG. 4 is a flow chart illustrating an exemplary embodiment of a quiet close procedure in accordance with the present invention.

FIG. 5 is a flow chart illustrating an exemplary embodiment of an allocation procedure in accordance with the present invention.

Detailed Description Of The Invention

In the following description, various aspects of the present invention will be described. For purposes of explanation, specific details of a preferred embodiment are set forth in order to provide a thorough understanding of the present invention. It will be apparent to one skilled in the art that other embodiments may be used and changes made without departing from the scope of the present invention.

Furthermore, well known features are omitted or simplified in order not to obscure the present invention.

FIG. 1 shows a block diagram of an exemplary embodiment of a computerized auctioning system in accordance with the present invention. The system of Fig. 1 includes a host server 1 connected to various individual clients 3 by way of a data communications network 2, such as a local-area network, a wide-aread network, the Internet or the like. In the exemplary embodiment described, the computerized auctioning system operates in accordance with a novel method for auctioning quantities of securities such as bonds. The host server 1 may be a personal computer, a mainframe computer, or any other computerized unit capable of receiving, storing, retrieving, sending, and processing data, instructions, or information. The host server 1 executes and maintains the auction system of the present invention. For Internet-based applications, the host server 1 may also maintain the site by which the auctioning system is accessed. The host server 1 is typically operated and maintained by a third party such as an auctioneer, broker or underwriter which hosts auctions.

While the preferred exemplary embodiment is described in terms of a system for auctioning securities online, it will be apparent to a person of ordinary skill in the art that the present invention is readily applicable to the auctioning of almost any type of commodity, goods, services, etc. Moreover, the present invention is also applicable to almost any kind of auction and is not limited to "online" implementations. Each of the various individual clients 3 may be a personal computer, a mainframe computer, or any other computerized unit which is capable of receiving, storing, retrieving, sending, and processing data, instructions, or information. In the exemplary embodiment disclosed, the individual clients 3 represent any auction participant (e.g., bidder, issuer) or non-active participant (e.g. viewer) who may have access to the host server 1. As mentioned, the exemplary embodiment disclosed relates to the auctioning of bonds. Bonds are evidences of debt issued by a government or corporation (the "issuer") agreeing to the payment of the original investment plus interest, on specified future dates. In the trading of bonds, the value of a bond is typically referred to in terms of the bond's yield. Thus, in an auction of bonds, such as in the present invention, bids are usually specified in terms of a "spread" to a specific pricing index, such as the current, "on the run" ten-year United States treasury bond. The spread may be thought of as a percentage above the current yield on a specific pricing index, and will be used in determining the price that a bidder would pay for the bond. Thus, as a rough hypothetical, a bid for 100 million dollars worth of bonds maturing in one year at a spread of 105 indicates that the bidder seeks to purchase 100 million dollars worth of bonds which will yield 1.05% more than the specified pricing index (e.g., the yield of the ten-year United States treasury bond) . The higher the spread, the lower the price the bidder is willing to pay for the bond. Conversely, an issuer of bonds would prefer bids with lower spreads over bids with higher spreads .

FIG. 2 shows a flow chart of an exemplary initial procedure carried out by the computerized auctioning system of the present invention prior to conducting an auction. An auction participant, such as an issuer of bonds, may access the system with a request 4 to set up an auction to sell a quantity of bonds. The system creates (at 6) a file for the issuer with information from the issuer regarding the issuer and the contemplated offering. Such information may include the size of the offering (e.g. $500 million), the maturity date of the bonds (e.g., the year 2005), a range of yields (or spreads) that the issuer is willing to receive, the desired date of the auction, etc. Basically, any information that may be relevant to the conduct of the auction can be obtained from the issuer at this time. Thus, in the bond example, the system will establish a minimum bid quantity or the maximum clearing spread that the issuer is willing to accept for the bonds offered. (As described below, the system can reject any bids with spreads that are above the maximum clearing spread or with quantities that are below the minimum bid quantity.) In addition, identifying information regarding the issuer and any other information or disclosures required by law may also be obtained by the system at this time. The precise content of the information obtained from the issuer will depend on the nature of the offering and other considerations, as can be understood by those of ordinary skill in the art.

For issuers that have already conducted auctions with the system of the present invention, the system will already likely have some information regarding the issuer stored in its database 5. In that case, the issuer may be given the opportunity (at 7) to update this information, as appropriate. Once all of the relevant information regarding the issuer and the proposed offering is obtained and verified (at 8) and a decision is made to proceed with the auctioning of the issuer' s offering, any relevant or helpful information regarding the auction or information required by law is posted (at 9) on the auction site for display to any potential bidder with access to the site. (Access to this information may be limited to qualified bidders, for example.) The system may, among other things, display that the issuer is offering $500 million worth of bonds, and that the auction period will begin and end at a particular time on a particular date.

As with sellers/issuers, the system also preferably maintains a database of pertinent information regarding bidders. Thus, a bidder who has accessed the system of the present invention and viewed the posted information regarding a particular auction may desire to register with the host server 1 before the auction period so that he may bid for the securities offered. Thus, in the preferred embodiment, the bidder would send a request 4 to the host server 1 from his client computer 3 over the data communications network 2 notifying the host server 1 that he wishes to be registered so that he may participate in the auction.

The system can require that the bidder register with the auction operator first (e.g., a securities broker or underwriter) and obtain a user ID and password before being given access to the auction system (or at least those portions of the auction system required for auction participation) . ' Naturally, the precise procedure for qualifying bidders and the information required will depend on the nature of the auction (e.g., securities vs. goods), regulatory requirements and other considerations, as can be understood by those of ordinary skill in the art.

Upon receiving the bidder's request for registration 4, the system accesses its database 5 to determine whether or not a file on the bidder exists. If so, and there is information which the bidder wishes to update (e.g. bidder's address), then the system will proceed to block 7 and update or process the bidder's information as requested. If not, the system will then create a new file for the bidder at block 6, and request from the bidder information which is pertinent to participating in the auction. Examples of such information include the bidder's name and address, the bidder's account information (assuming the bidder is trading in an account maintained by a broker conducting the auction) , or any other information relevant to the bidder' s participation in the auction.

Once all the necessary information has been provided from the bidder in blocks 6 or 1 , the system will then proceed to verify the information at block 8. Although not required, the verification step 8, which can be performed by a human operator, serves to ensure that the bidder is a legitimate party with the proper financial backing or credit to fulfill its bid commitment. The system may reject the bidder's application if the bidder does not meet certain criteria, such as credit requirements.

Once all the relevant information has been obtained, processed and verified, and the date and time of the commencement of the auction arrives, the computerized auctioning system commences the auction at block 10 as show in Fig. 3. The auction will proceed until the close of the auction period. The auction period (e.g. 2 hours) can be specified by the issuer or the operator of the auction site. As shown in FIG. 3, once the auction commences, the system will receive bids at block 11 from a plurality of bidders. Each bidder will specify a selected quantity of the security that the bidder is willing to buy, and a price (or spread) that the bidder is willing to pay. For example, the host server 1 may receive a bid from bidder A for $100 million worth of bonds at a spread of 105 basis points above the pricing index. The host server 1 may also receive a bid from bidder B for $150 million worth of bonds at a spread of 106 basis points above the pricing index, another bid from bidder C for $275 million worth of bonds at a spread of 107 basis points above the pricing index, and so on.

Depending on the system configuration, the host server 1 may also display all of the outstanding bids to the bidders so that bidders may increase/decrease their original bids if they choose to do so. Alternately, the server 1 may allow each bidder to see only his own outstanding bids.

There may be a limit on the number of bids a particular bidder may submit (i.e., three) or on the total quantity of bonds for which a bidder may bid (e.g., $200 million) . The host server 1 also preferably keeps track of the time each bid is entered, such as by time-stamping each bid as it is received by the host server or by noting whether the bid was placed during a first period of the auction (a "Tier 1" bid) or during a second period of the auction (a "Tier 2" bid) .

As each bid is received at block 11, the system checks, at block 12, to ensure that each bid meets the required parameters which the issuer (or auction operator) has originally set or that are otherwise imposed by the system. For example, the system may only accept bids at spreads below the maximum clearing spread set by the issuer. There may also be a mininum quantity required (e.g., $5,000) as well as an incremental unit in which quantities and spreads must be submitted (e.g., quantities must be submitted in multiples of $1,000 and spreads in one quarter point increments) . There also may be a limit on the number of times a bid may be changed by each bidder. If the bid fails to meet the preset criteria, the system will reject the bid at block 13 and notify the bidder of the rejection. If the bid meets the preset criteria, the system will then accept the bid at block

14. The system may also store each bid in a particular order, such as in descending or ascending order by bid price, quantity or time of bid.

As bids continue to be received and accepted, the system determines the clearing price or clearing spread at block 15. The clearing price is determined to be the highest price such that the total quantity bid at that price and higher equals or exceeds the available quantity of items offered for sale. In the case of a bond auction, the clearing spread is the lowest spread such that the total quantity bid at that spread and lower equals or exceeds the available quantity of bonds. For example, where the total amount of bonds being offered is $500 million, and bidder A bids for $100 million at a spread of 105, bidder B bids for $150 million at a spread of 106, bidder C bids for $175 million at a spread of 107, bidder D bids for $100 million at a spread of 107, and bidder E bids for $50 million at a spread of 108, the system would determine the clearing spread to be 107. In other words, 107 basis points is the lowest spread such that the total quantity bid at the spread of 107 and lower (106 and 105) exceeds the total $500 million bond offering (i.e., 100 + 150 + 175 + 100 = 525 > 500) . In the preferred embodiment, after determining the clearing spread at block 15, the host server 1 will then display each updated clearing spread at block 16 for all bidders to view at their client systems 3. This way, a bidder such as bidder E whose bid (108 points) exceeded the clearing spread (107 points) may revise his bid to offer a lower spread so as to improve his chances of entering a successful bid and thus receiving at least a portion of the quantity of bonds for which he has bid. Alternatively, such bidders may decide to remove their bids altogether. After displaying the clearing spread at block 16, the auction continues, with the computerized auctioning system continuing to receive bids at block 11 and following the logic in blocks 11-16 of FIG. 3. As illustrated in Fig. 3, the clearing spread is re-determined and may vary with each bid received. Preferably, the clearing spread (or price) is re- determined and re-displayed at block 16 in real-time. The total quantity bid at the clearing spread or below may also be displayed.

In an alternative embodiment, the system may include an optional facility by which a certain bid as designated by a particular bidder may be automatically adjusted by the system to meet the clearing spread or to stay at a specified increment below the clearing spread. By this means, a bidder ensures that he will receive all or some of the quantity of securities for which he has bid. Furthermore, bids that are automatically adjusted with this facility, preferably maintain their original time stamp.

In another alternative embodiment, the regular auction period may be extended, if for example, the issuer determines to increase the quantity of the offering (e.g. from $500 million worth of bonds to $550 million worth of bonds) . There may be various restrictions placed on the extension of the regular auction period, such as requiring the issuer to notify the auction operator of the increase within one hour of the close of the regular auction period. The system will in turn notify the bidders of such changes.

In yet another alternative embodiment, the system may terminate the auction at any time if certain market conditions change which would materially affect the auction.

As shown in FIG. 4, at the end of the regular auction period, the computerized auctioning system will display at block 17 the last clearing spread. The system will then proceed to a "quiet close" period 18, during which it will receive, at block 19, changes in bids that have already been accepted. The purpose of the quiet close is to improve the existing clearing spread by allowing bidders to lower their bid spreads below the last clearing spread. Thus, upon receiving bid changes at block 19, the system will check at block 20 to determine whether the changed bids are better (i.e. lower spread) than the last clearing spread. If not, the system will reject the bid changes at block 21. As during the regular auction period, there may be certain requirements on the bid changes placed (e.g., changes in spread must be at least a quarter basis point) .

In the preferred embodiment, if a changed bid is better (e.g., lower spread) than the last clearing spread, the system will accept the changed bid at block 22, determine a new clearing spread at block 23 and display the. new clearing spread at block 24.

During the quiet close, the system will accept valid bid changes for a predetermined period of time (e.g., two minutes) . The system will check, at block 25, to determine whether the predetermined period of time has expired. If the predetermined time limit has not expired, the quiet close will continue as described in blocks 19-25.

If the predetermined period of time has expired, the computerized auctioning system will then compare, at block 26, the last clearing spread of the regular auction period (as displayed at step 17) to the last clearing spread determined (at step 23) . If the last clearing spread determined is lower than the last clearing spread of the regular auction period by a predetermined amount (e.g., one basis point), the system will then continue the quiet close (blocks 19-26) for a further predetermined period of time (e.g., 2 minutes) . If not, then the system will formally close the auction at block 27. In this way, the quiet close is extended in time increments (e.g., 2 minutes) until the improvement in the clearing spread falls below the predetermined threshold (e.g., 1 basis point) . To avoid indefinitely extending the auction, an overiding time limit (e.g., 1 hour) is preferably placed on the quiet close, after which the auction will be closed, regardless of the magnitude of improvement in the clearing spread. In FIG. 5, once the final clearing spread has been established at step 28, the computerized auctioning system will then proceed to determine how the bonds will be allocated among the successful bids. In the exemplary embodiment, all bids that are below the clearing spread are successful bids and the quantities requested by each will be allocated completely to those bidders. Thus, in the aforementioned bond example, if the final clearing spread is 107, then the system at block 29 will entirely fulfill the orders of bidders A ($100 million) and B ($150 million) , who bid at lower spreads of 105 and 106.

Next, the computerized auctioning system will proceed to allocate the remaining quantity of bonds among those bids that were placed at the clearing spread. In the above bond example, after allocating $250 million ($100 million plus $150 million) of bonds to bidders A and B, another $250 million of bonds remains to be allocated. This amount, referred to as the clearing quantity, is allocated among those bids that were placed at the clearing spread. Those bids are referred to as the clearing spread bids. In the above example, the clearing spread bids were placed by C and D with C bidding for $175 million of bonds and D bidding for $100 million of bonds.

In an exemplary embodiment of the present invention, the system in block 30 first divides up the clearing spread bids into two groups based on the timing of the bids .

Specifically, bids that were placed within a first predetermined period (e.g., one hour, or the first half) of the regular auction period are referred to as first tier clearing spread bids. All subsequent bids are second tier clearing spread bids . Once the clearing spread bids have been divided into first and second tier bids, the computerized system of the preferred embodiment will then calculate in block 31 whether or not the aggregate quantity of the first tier clearing spread bids exceeds a predetermined portion (e.g., two thirds) of the clearing quantity. If the aggregate quantity of the first tier clearing spread bids does not exceed the predetermined portion of the clearing quantity, then the auction system will fulfill, at block 32, all of the first tier clearing spread bids in their entirety. The remaining amount may then be divided up evenly or in any other fashion (e.g., pro rata by quantity bid) among the second tier clearing spread bids at block 33.

If it is determined at 31 that the aggregate quantity of the first tier clearing spread bids exceeds the predetermined portion (e.g., 2/3) of the clearing quantity, then the auctioning system will proceed to follow the logic in blocks 34-37 of FIG. 5. At block 34 of the exemplary procedure of the present invention, the system will calculate ratios Tl and T2 where : Tl = (2/3*clearing quantity) / (aggregate quantity of 1st tier clearing spread bids) , and T2 = (l/3*clearing quantity) / (aggregate quantity of 2nd tier clearing spread bids) .

If it is determined at block 35 that Tl is greater than or equal to T2, then the system at block 36 will allocate to the first tier clearing spread bids, as a group, a portion of the aggregate quantity of first tier clearing spread bids equal to Tl and to the second tier clearing spread bids, as a group, a portion of the aggregate quantity of second tier clearing spread bids equal to T2. Each of the first tier clearing bidders will receive Tl of his bid and each of the second tier clearing bidders will receive T2 of his bid. If, however, Tl is less than T2, then the auctioning system will treat both tiers equally and allocate at block 36 the same portion of the aggregate quantity of all clearing bids to both first and second tier clearing spread bids. Namely, each clearing spread bidder would receive a portion T3 of his bid, where :

T3 = (clearing quantity) / (aggregate quantity of 1st and 2nd tier clearing spread bids) .

Thus, by way of example, if the clearing quantity is $120 million, and the agregate quantity of first tier clearing spread bids is $100 million and the agregate quantity of second tier clearing bids is $80 million, then:

Tl=(2/3*120)/(100)= 0.8, and T2=(l/3*120)/(80)= 0.5.

Since Tl is greater than T2, the bidders of the first tier clearing spread bids will receive, as a group, 0.8*100= $80 million of bonds, with each individual first tier bidder receiving 80% of the quantity of his individual bid. The bidders of the second tier clearing spread bids will receive, as a group, 0.5*80= $40 million of bonds with each individual second tier bidder receiving 50% of the quantity of his individual bid. In another example, if the clearing quantity is $120 million of bonds, and the aggregate quantity of first tier clearing spread bids is $120 million and the aggregate quantity of second tier clearing spread bids is $50 million, then Tl=(2/3*120)/120= 0.67 and T2=(l/3*120) (50)= 0.8. Since in this case T2 is greater than Tl, all clearing spread bidders will receive the same pro-rata portion equal to T3=120/ (120+50) = 0.7059 of their respective bids, (e.g., if there is only one first tier bidder and one second tier bidder, the first tier bidder receives 0.7059*$120 million and the second tier bidder receives 0.7059*$50 million) . After the system has finished allocating the remaining quantity of bonds, the system will then notify all bidders of their final allocation amounts. Written confirmation and payment can then be carried out in a conventional manner. In an alternative embodiment, the system may be configured to fill the bids at a higher pro rata rate than those calculated according to the logic of blocks 34-36. Furthermore, as can be understood by those of ordinary skill, the logic of the present invention is not limited to the aforementioned ratios (e.g., 1/3, 2/3) or to the two-tiered scheme described. In alternative embodiments, other ratios and thresholds can be used, as well as a multiple-tiered system with more than two tiers of bidders. Moreover, clearing spread bids can be assigned to tiers based on other criteria or combinations of criteria (e.g., by quantity bid for or a combination of time and quantity) .

Because the above-described allocation calculations may often result in fractional allotments, the computerized auctioning system may round up or round down the fractional allotments to the nearest whole number. In the preferred embodiment, although the quantities allocated to each bidder may be different, all of the successful bids, whether at the clearing spread or below, will be filled at the same spread, namely, the clearing spread. One skilled in the art will realize that various changes and modifications may be made to the invention without departing from the spirit of the invention, and it is intended to claim all such changes and modifications as falling within the scope of the invention. Additionally, while the preferred embodiment is illustrated in terms of a computerized system, it is also intended to claim the method of conducting an auction as described in the logic of this system.

Claims

What Is Claimed Is:

1. A system for auctioning a plurality of items, comprising a host server and a plurality of clients, wherein the host server and the plurality of clients are coupled to a data communications network, the host server including: means for communicating with auction participants; means for maintaining a database containing information regarding the auction participants; means for providing information regarding the plurality of items; means for conducting an auction for a preset auction period; means for processing bids, each bid having a price and a quantity associated therewith; means for determining a clearing price; means for determining one or more successful bids, wherein the successful bids have an associated price equivalent to or better than the clearing price; means for allocating the plurality of items among the successful bids, wherein each successful bid having an associated price better than the clearing price is allocated the respective associated quantity and wherein each successful bid having an associated price equivalent to the clearing price is allocated a portion of the respective associated quantity.

2. The system of claim 1, wherein the means for allocating the plurality of items divides successful bids having an associated price equivalent to the clearing price into first tier bids and second tier bids, and wherein the first tier bids are given preferential treatment if an aggregate quantity associated with all first tier bids is less than a predetermined multiple of an aggregate quantity associated with all second tier bids.

3. The system of claim 1, comprising means for extending the auction for a predetermined time limit beyond the preset auction period, including: means for receiving bid changes after the preset auction period; means for rejecting bid changes that are not better than the clearing price; and means for determining a new clearing price, wherein the auction is closed if the predetermined time limit has expired and the clearing price has not improved by a predetermined amount .

4. The system of claim 1, comprising means for automatically adjusting a designated bid based on the clearing price.

5. The system of claim 1, wherein the plurality of items includes securities.

6. The system of claim 5, wherein the securities include fixed-income securities.

7. A method for auctioning a plurality of items comprising the steps of: communicating with auction participants; maintaining a database containing information regarding the auction participants; providing information regarding the plurality of items; conducting an auction for a preset auction period; processing bids, each bid having a price and a quantity associated therewith; determining a clearing price; determining one or more successful bids, wherein the successful bids have an associated price equivalent to or better than the clearing price; and allocating the plurality of items among the successful bids, wherein each successful bid having an associated price better than the clearing price is allocated the respective associated quantity and wherein each successful bid having an associated price equivalent to the clearing price is allocated a portion of the respective associated quantity.

8. The method of claim 7, wherein said step of allocating the plurality of items includes dividing successful bids having an associated price equivalent to the clearing price into first tier bids and second tier bids, and giving the first tier bids preferential treatment if an aggregate quantity associated with all first tier bids is less than a predetermined multiple of an aggregate quantity associated with all second tier bids.

9. The method of claim 7, comprising extending the auction for a predetermined time limit beyond the preset auction period, including: receiving bid changes after the preset auction period, wherein each bid change changes the associated price of a previously processed bid; rejecting bid changes that do not change the respective associated price of a bid to be better than the clearing price; determining a new clearing price; and closing the auction if the predetermined time limit has expired and the clearing price has not improved by a predetermined amount .

10. The method of claim 7, comprising automatically adjusting a designated bid based on the clearing price.

11. The method of claim 7, wherein the plurality of items includes securities.

12. The method of claim 11, wherein the securities include fixed-income securities.