Research Discussion Paper – RDP 2019-09 Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

This ‘read me’ file contains details of the data used in RDP 2019-09. Publicly available plotting data for figures appearing in the RDP can be found in the spreadsheet: rdp-2019-09-graph-data.xls. Data are not available for Figure 10 due to the confidential nature of the data. Data for Figure 12 are hypothetical.

Data

The following data sources were used:

• Mortgages:
  • Discounted variable lending rate on housing loans from RBA Statistical Table F5
• Repurchase agreement:
  • Repo rate (1-month bucket) derived by authors from open market operations data
• Japanese Yen swap:
  • Implied return rate from hedged 3-month swap of AUD into Yen sourced from Bloomberg
• US dollar swap:
  • Implied return rate from hedged 3-month swap of AUD into US dollars sourced from Bloomberg
• Bank bills:
  • Bank Bill Swap (3 months) rate sourced from ASX
• Estimated risk weights on bank bills, foreign exchange swaps, repos, mortgages
  • Confidential data sourced from APRA
• Reported CET1 capital ratio
  • Data sourced from APRA website
• Cost of debt for Australian major banks
  • Confidential data sourced from internal RBA modelling
• Cost of equity for Australian major banks
  • Data sourced from Bloomberg

16 September 2019

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