I was wondering the same thing too. Tether doesn't have cash holdings apparently. It uses loans to back it's solvency (yeesh).
https://www.forbes.com/sites/francescoppola/2019/03/14/tethers-u-s-dollar-peg-is-no-longer-credible/?sh=2fbbee36451b

More important are the facts that this is a Chinese company based in Hong Kong, it is private but has office in Santa Monica Ca., and London, GB. It is also filtered through American household network 'Alexa'. It may have western faces in its' officer prospectus but I wouldn't trust it a damn because it comes out of China. Period.

Tether is a controversial cryptocurrency with tokens issued by Tether Limited. It formerly claimed that each token was backed by one United States dollar, but on 14 March 2019 changed the backing to include loans to affiliate companies. The Bitfinex exchange was accused by the New York Attorney General of using Tether's funds to cover up $850 million in funds missing since mid-2018.[5][6]

Tether is called a stablecoin because it was originally designed to always be worth $1.00, maintaining $1.00 in reserves for each tether issued.[7] Nevertheless, Tether Limited states that owners of tethers have no contractual right, other legal claims, or guarantee that tethers will be redeemed or exchanged for dollars.[4] On 30 April 2019 Tether Limited's lawyer claimed that each tether was backed by only $0.74 in cash and cash equivalents.

Tether Limited and the tether cryptocurrency are controversial because of the company's failure to provide a promised audit showing adequate reserves backing tether,[10][2] its alleged role in manipulating the price of bitcoin,[11] the unclear relationship with the Bitfinex exchange, and the company's apparent lack of a long-term banking relationship. Author David Gerard was quoted by the Wall Street Journal saying that Tether "is sort of the central bank of crypto trading ... [yet] they don't conduct themselves like you'd expect a responsible, sensible financial institution to do."[12] Tether's price decreased to lows of $0.90 on 15 October 2018 on speculation that investors are losing faith in the token. On 20 November 2018, Bloomberg reported that U.S. federal prosecutors are investigating whether Tether was used to manipulate the price of bitcoin.[1] In 2019, Tether surpassed Bitcoin in trading volume with the highest daily and monthly trading volume of any cryptocurrency on the market.

Ask 'Alexa' which bank TETHER uses?

One of the most discussed issues of recent days has been the collapse of Tether's price. The search for Tether company, which issued USDT tokens, may have yielded results. It is said that Tether has found a new bank partner in the Bahamas.

Also out banks in Bermuda, the Island of Jersey and Malta.

Bitcoin has had a rocky week to say the least. At its lowest point, the cryptocurrency dipped to $9,200 before a rising green candle sent it scurrying back into the safety of five figures. That candle was sparked by the release of $100m worth of tethers – surrogate US dollars – and was followed by another $100m issued for the next three days in a row. Tethers are propping up the bitcoin market right now, but what happens when the music stops? Should regulators wade in or Tether shut up shop, the loss of fresh capital could be cataclysmic.

Apparently tether uses a bank called Deltec in the Bahamas, whether not their clients are depositing USD there is another story.