In this case they are using the phrase "skeletons out of the closet" in a manner that is closer to that phrase's literal meaning then they way it is usually used.

The more standard usage is secrets, or nasty secrets that are hidden in a closet so that visitors will not see those secrets. But the term skeleton means the bare skeleton of a once living human being. The dead body which becomes a skeleton is hidden (in the closet) instead of the person being buried, as would be normal. It could be because the person was murdered, it could be because the household was drawing on income of the dead person without reporting the death, or some other nefarious circumstance like that.

From the standpoint of a bank, the skeletons are virtually dead or non-performing assets, or some type of derivataive holding which is worth much less than its full paper value (if worth anything at all). These skeletons are to be removed from the bank (the closet) and put in a bad bank.

The rather nasty imagery, or use of words, carries over to the attempt to collect on these weak assets through a vulture business. This type of vulture business had gained great attention in the Argentine case several years ago when the government challenged the legitamacy of much of the bad debt that the vultures were trying to collect.

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Note added at 6 hrs (2010-03-17 19:51:15 GMT)
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The "secret" in terms of the skeletons, as used here, for many banks was the overvaluing of securitzed assets, like mortgage backed securities and other more exotic financial instruments which many of the bank insiders knew were overvalued.