Top US banks hold $43 billion of US Treasuries as collateral for in-the-money swaps, more than three times as much as five years ago, regulatory disclosures show.
The eight global systemically important banks (G-Sibs) in the US reported a total of $523.8 billion of assets held to protect against counterparty risk on over-the-counter derivatives in Q2 2019.
Of this amount, 8.2% was in the form of US Treasuries. In Q2 2014, their share was 2.6% of $529.6 billion.
Cash made up the lion’s share