Securities & Investments
U.S. Treasury Securities
Also known as Treasuries, Treasury Securities, USTs
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.
How is U.S. Treasury Securities calculated?
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 does U.S. Treasury Securities matter?
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 do you interpret U.S. Treasury Securities?
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.
What do U.S. Treasury Securities levels indicate?
| Range | Label | Interpretation |
|---|---|---|
| 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
Frequently asked
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.
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