We propose a dynamic model of bidding in treasury auctions, in which primary dealers must satisfy minimum winning requirements to retain their dealer status. Data from Argentina between 1996 and 2001, a period in which primary dealer requirements were particularly important, shows dealers bid more aggressively the greater their shortfalls in meeting the requirements, thus sacrificing short-term profits to retain their status. We then leverage this trade-off and develop a method for estimating the value of being a primary dealer. We estimate that the gain from being a dealer is of the same order of magnitude as short-term profits. Dealers who bid optimally retain dealer status with high probability, but may have to sacrifice a significant amount of short-term profits to do so. Finally, we use our model to perform a counterfactual exercise which illustrates how the central bank can use minimum winning requirements in order to reduce dealers’ rents.