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RBA Glossary definition for APRA

APRA – Australian Prudential Regulation Authority. APRA is the prudential regulator of the Australian financial services industry. It oversees banks, credit unions, building societies, general insurance and reinsurance companies, life insurance companies, friendly societies, and most members of the superannuation industry.

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Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Figure 7: Net Return on Money Market Trades. Sources: APRA; Authors' calculations; Bloomberg; RBA. ... CET1 capital / risk exposure. APRA form ARF_110_0_1. CET1 capital ratios are only.
https://www.rba.gov.au/publications/rdp/2019/2019-09/full.html

Sensitivity Analysis

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
b) Assumes that debt is funded at the repo rate. Sources: APRA; Authors' calculations; Bloomberg; RBA. ... Sources: APRA; Authors' calculations; RBA. Figure 11 depicts the possible dispersion in net returns when allowing risk weights to vary.
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html

Appendix A: Data Summary

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
t. ). Bank bills, foreign exchange swaps, repos, mortgages. Estimated. APRA. ... CET1 capital / risk exposure. APRA form ARF_110_0_1. CET1 capital ratios are only.
https://www.rba.gov.au/publications/rdp/2019/2019-09/appendix-a.html

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Confidential data sourced from APRA. Reported CET1 capital ratio. Data sourced from APRA website.
https://www.rba.gov.au/publications/rdp/2019/2019-09/read-me.html

Estimation Results

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Sources: APRA; Authors' calculations; Bloomberg; RBA. Figure 6: Money Market Interest Rates. ... Figure 7: Net Return on Money Market Trades. Sources: APRA; Authors' calculations; Bloomberg; RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimation-results.html

References

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
APRA (Australian Prudential Regulation Authority) (2018), ‘Leverage Ratio Requirement for Authorised Deposit-Taking Institutions’, Response to Submissions, 27 November.
https://www.rba.gov.au/publications/rdp/2019/2019-09/references.html

Opportunity Cost of Money Market Lending

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Sources: APRA; Authors' calculations; Bloomberg; RBA. More broadly, a reassessment of how banks optimise both capital and liquidity has meant that banks must utilise an internal liquidity transfer pricing model which ... Footnotes. Banks report the cost
https://www.rba.gov.au/publications/rdp/2019/2019-09/opportunity-cost-of-money-market-lending.html

Estimating Funding Costs, Gross Returns and Net Returns

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Sources: APRA; Authors' calculations; Bloomberg; RBA. Banks are generally required to fund riskier assets with a higher share of equity capital. ... Risk-weighted capital constraints are more binding for major banks than the leverage ratio (APRA 2018).
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimating-funding-costs-gross-returns-and-net-returns.html

Leverage, Profitability and the Consequences for Money Markets

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Sources: APRA; Authors' calculations; RBA. Consider the case of a non-regulated entity seeking to arbitrage across the repo and foreign exchange swap markets.
https://www.rba.gov.au/publications/rdp/2019/2019-09/leverage-profitability-and-the-consequences-for-money-markets.html