--- title: "U.S. Treasury Securities: definition, formula, and thresholds" description: "U.S. Treasury securities held by a bank are direct obligations of the federal government, the highest-quality, most-liquid assets a bank can own. They carry a 0% capital risk weight and qualify as high-quality liquid assets, but long-dated Treasuries still carry interest-rate risk." canonical_url: https://www.bankregreports.com/glossary/us-treasury-securities/ source: BankRegReports category: "Securities & Investments" units: "$" schedule: "Schedule RC-B" --- # U.S. Treasury Securities > U.S. Treasury securities held by a bank are direct obligations of the federal government, the highest-quality, most-liquid assets a bank can own. They carry a 0% capital risk weight and qualify as high-quality liquid assets, but long-dated Treasuries still carry interest-rate risk. ## Formula ``` Treasuries = Carrying value of U.S. Treasury bills, notes, and bonds in the securities portfolio ``` Schedule RC-B reports Treasury holdings separately from agency and mortgage-backed securities. Because they have no credit risk and a 0% risk weight, Treasuries are the cleanest liquidity buffer, but a 10-year Treasury still loses value when rates rise. ## Why it matters Treasuries are where banks hold their safest liquidity, and demand for them spikes in stress. Yet the 2023 failures showed that even risk-free Treasuries inflict mark-to-market pain when held long and rates jump. The credit was perfect; the duration was the problem. ## How to read it A large Treasury allocation is a conservative, liquidity-first posture. The only thing to watch is duration: short bills carry almost no rate risk, while long bonds bought at low yields can sit on sizable unrealized losses despite zero credit risk. ## Thresholds | Range | Reading | What it means | |---|---|---| | Bills / short notes | Strong | Pristine liquidity with negligible rate risk. | | Laddered | Adequate | Balanced maturities; manageable duration. | | Long-dated, heavy | Watch | Risk-free but exposed to rate-driven price losses. | | Concentrated long bonds | Concern | Large unrealized loss potential from duration alone. | ## Worked example A bank holding $200 million of 7-10 year Treasuries earns a safe yield with zero credit risk, but if rates rise two points those bonds can fall roughly 10-15% in price, a real economic loss on an instrument that can never default. ## Questions ### Why do Treasuries get a 0% risk weight? U.S. Treasury obligations are considered free of credit risk, so the capital rules assign them a 0% risk weight. Holding them does not consume risk-based capital. Their interest-rate risk, however, is not captured by that weight. ### Can a bank lose money on Treasuries? Not to default, but yes to interest rates. Long-dated Treasuries fall in price when rates rise; if a bank must sell before maturity for liquidity, that loss becomes real, a core lesson of the 2023 regional-bank failures. ## Sources - [FFIEC Call Report Schedule RC-B (Securities)](https://www.ffiec.gov/sites/default/files/data/reporting-forms/FFIEC031_FFIEC041_202606_i.pdf) (PDF) ## Related metrics - [Total Securities](https://www.bankregreports.com/glossary/total-securities/): Total securities is a bank's entire investment portfolio, held-to-maturity bonds at amortized cost plus available-for-sale bonds at fair value. It is typically the second-largest asset after loans and the bank's main liquidity reserve and interest-rate-risk position. - [Mortgage-Backed Securities](https://www.bankregreports.com/glossary/mortgage-backed-securities/): Mortgage-backed securities (MBS) are bonds backed by pools of home loans. Banks hold mostly agency MBS (guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae), which carry low credit risk but significant interest-rate and prepayment risk. - [HTM Unrealized Losses](https://www.bankregreports.com/glossary/htm-unrealized-losses/): HTM unrealized losses are the gap between the amortized-cost carrying value of a bank's held-to-maturity securities and their lower current market value. The loss is disclosed but not recognized on the balance sheet, a hidden hit to economic capital. - [Held-to-Maturity Securities](https://www.bankregreports.com/glossary/htm-securities/): Held-to-maturity (HTM) securities are bonds a bank intends and is able to hold until they mature. They are carried at amortized cost (not fair value) so unrealized price changes do not flow through earnings or capital while the bank holds them. ## About this document This is the markdown twin of the page named in `canonical_url` above. Source filings are public record; the cleaning, normalization, cross-source linkage, and derived metrics are BankRegReports' own. Attribute with a link to the canonical URL. Markdown twins are published for editorial content only. Institution data pages do not have them. For data at scale use the API, which is documented at https://www.bankregreports.com/api/ and specified at https://www.bankregreports.com/openapi.json. It returns typed JSON with explicit units and periods, and one call replaces hundreds of page fetches. ## Sitemap - [Glossary](https://www.bankregreports.com/glossary/): every metric, with formula and thresholds - [Blog](https://www.bankregreports.com/blog/): analysis and explainers - [API documentation](https://www.bankregreports.com/api/): the programmatic way to get this data - [XML sitemap](https://www.bankregreports.com/sitemap.xml): the complete crawlable index