Capital has to be banked in US city (5)
I believe the answer is:
lhasa
'capital' is the definition.
(capital of Tibet)
'has to be banked in us city' is the wordplay.
'to be banked in' means one lot of letters goes inside another (inserted letters are held or banked).
'us city' becomes 'LA' (Los Angeles).
'has' going inside 'la' is 'LHASA'.
(Other definitions for lhasa that I've seen before include "The Forbidden City in Tibet" , "Tibetan capital" , "Tibetan dog breed" , "Asian capital" , "Luxembourg's a" .)