How should government bonds be sold? Research typically emphasizes how the auction design affects outcomes depending on the nature of demand and the competitive environment. This study combines models of strategic bidding in Treasury auctions with detailed bidding data to construct empirical measures that reveal the effectiveness of auctions. Applying these methods to data on US Treasury auctions shows that the gains from optimizing the auction mechanism are no more than 5 basis points. The research also quantifies the advantage enjoyed by primary dealers in these markets, who are able to observe the ‘willingness-to-pay’ of their customers who route their bids through them.