We analyze the Mexican Treasury securities primary auctions applying the structural econometric model proposed by Février, Préget, and Visser (2002). The model is based on the share auction proposed by Wilson (1979) and estimates the parameters that characterize the distribution function of the securities’ marginal value and the conditional distribution of the signals given the securities’ value, respectively. These estimated parameters are used to derive optimal bids and equilibrium prices of alternative auction mechanisms and compare revenues yielded through each one. Our analysis of the primary auctions of the Certificados de la Tesorería de la Federación (CETES) carried out during the period between January 2001 and April 2002 shows the revenue superiority of the uniform format.Comparisons with previous reduced form analysis about the CETES and the French treasury securities, as well as simulation exercises with noisier value signals suggest that this result can be explained by the winner’s curse usually associated with market uncertainty.