RDP 2019-09: Australian Money Market Divergence: Arbitrage Opportunity or Illusion? Appendix A: Data Summary

Belinda Cheung and Sebastien Printant

September 2019

Table A1: Description of Data
Series Series description Source Notes
Gross returns (GRit)
Mortgages Discounted variable lending rate on housing loans RBA statistical table F5 ‘Lending Rates’  
Repurchase agreement Repo rate (1 month bucket) from open market operations RBA  
Japanese yen swap Implied return rate from
hedged 3-month swap of
AUD into JPY		 Bloomberg We assume the JPY leg is
invested in Japanese LIBOR
(3-month)
US dollar swap Implied return rate from
hedged 3-month swap of
AUD into USD		 Bloomberg We assume the USD leg is
invested in US LIBOR
(3-month)
Bank bills 3-month bank bill swap rate ASX; RBA  
Risk weights (wt)
Bank bills, foreign exchange swaps, repos, mortgages Estimated APRA Stylised risk weights
CET1 capital ratio ( CET1Rati o t ¯ )
Reported CET1 capital ratio CET1 capital / risk exposure APRA form ARF_110_0_1 CET1 capital ratios are only
available from 2013:Q1,
back history is estimated by
splicing Tier 1 capital ratio
Cost of funding
Debt (DFRit) Cost of debt for Australian major banks Black and Titkov (2019) Includes deposit funding
Equity (EFRit) Cost of equity for Australian major banks Bloomberg Arithmetic average of CAPM,
DDM and Fama-French
estimates