This study examines heterogeneous interest-rate pass-through for Australian banks, relating the cost-of-funds rates to owner-occupied housing rates on weekly bank-level data from January 1997 to December 2015. The cash rate and the bank bill swap rate act as the proxies for bank funding costs, domestically and internationally. The nonlinear autoregressive distributed lag approach (Shin, Yu, & Greenwood-Nimmo 2014) is employed to investigate heterogeneous asymmetry in the pass-through. The results highlight the substantial asymmetry in the transmission of both bank funding rates. In the long run, banks are more responsive to passing on increases in the funding costs into their mortgage rates than to passing on the cost cuts. We also find evidence of the short-term asymmetries for several banks. Our findings confirm that bank mortgage rate setting is significantly affected by international funding costs, apart from the cash rate. This study provides several important policy implications.