Ha! someone posted this topic before me.

Yes, a new building would be good.

Name: Treasury

Description: Safeguards a portion of your city's gold from plundering.

Levels: Each level upgrade increases treasury capacity.

Level 1: 30% of city gold stored in treasury
Level 2: 35% of city gold stored in treasury
Level 3: 40% of city gold stored in treasury
Level 4: 45% of city gold stored in treasury
Level 5: 50% of city gold stored in treasury
Level 6: 55% of city gold stored in treasury
Level 7: 60% of city gold stored in treasury
Level 8: 65% of city gold stored in treasury
Level 9: 70% of city gold stored in treasury
Level 10: 75% of city gold stored in treasury

NOTES:
- Treasury will not store 100% of gold in city.
- Since gold is required for economic transactions between citizens some gold must be left outside the Treasury.
- Additionally, leaving some gold outside the Treasury will preserve the "plundering" aspect of the game.

e.g. Level 10 Treasury; total gold in city = 10M; 25% plunderable = 2.5M