This paper examines the Italian primary market of Treasury bonds by considering the uniform-price auctions for CCTs and BTPs held during the three-year period of 1998-2000. In particular, it analyses the demand structure and the bidders’ behaviour, and investigates whether the auction mechanism adopted is efficient or not. Throughout the period under analysis, the number of bidders in auction decreased, nevertheless the demand was steadily superior to the offer. The concentration on the primary market resulted not irrelevant, whereas the analysis of bidders’ behaviour found information to be asymmetric among bidders according to their size. Moreover, the examination of the auction stop-out prices showed a significant presence of underpricing with respect to current prices on the secondary market. Neither the bidders’ behaviour nor the analysis of the determinants of underpricing came up against auction theory univocally.