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Fair values of financial assets and financial liabilities (Tables)

12 Months Ended

Sep. 30, 2021

Fair values of financial assets and financial liabilities

Summary of the attribution of financial instruments measured at fair value to the fair value hierarchy


		2021								2020
$m		Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Consolidated
Financial assets measured at fair value on a recurring basis
Trading securities and financial assets measured at FVIS		6,221		14,875		5		21,101		8,059		32,387		221		40,667
Derivative financial instruments		22		19,305		26		19,353		10		23,353		4		23,367
Investment securities		19,282		62,923		277		82,482		18,032		72,370		153		90,555
Loans		-		74		36		110		-		540		21		561
Life insurance assets		-		-		-		-		617		2,976		-		3,593
Assets held for sale		1,309		1,663		-		2,972		-		-		-		-
Total financial assets measured at fair value on a recurring basis		26,834		98,840		344		126,018		26,718		131,626		399		158,743
Financial liabilities measured at fair value on a recurring basis
Deposits and other borrowings¹		-		46,665		-		46,665		-		35,764		-		35,764
Other financial liabilities²		1,478		4,968		-		6,446		420		4,229		-		4,649
Derivative financial instruments		35		17,992		32		18,059		10		23,031		13		23,054
Debt issues³		-		5,514		-		5,514		-		5,333		-		5,333
Life insurance liabilities		-		-		-		-		-		1,396		-		1,396
Liabilities held for sale		-		447		-		447		-		-		-		-
Total financial liabilities measured at fair value on a recurring basis		1,513		75,586		32		77,131		430		69,753		13		70,196


Parent Entity
Financial assets measured at fair value on a recurring basis
Trading securities and financial assets measured at FVIS		5,542		13,233		4		18,779		7,074		30,763		193		38,030
Derivative financial instruments		22		19,081		24		19,127		10		22,781		3		22,794
Investment securities		17,228		60,511		75		77,814		15,714		70,040		69		85,823
Loans		-		74		17		91		-		540		21		561
Due from subsidiaries		-		1,163		-		1,163		-		663		-		663
Total financial assets measured at fair value on a recurring basis		22,792		94,062		120		116,974		22,798		124,787		286		147,871
Financial liabilities measured at fair value on a recurring basis
Deposits and other borrowings¹		-		43,372		-		43,372		-		32,991		-		32,991
Other financial liabilities²		1,478		4,415		-		5,893		420		4,229		-		4,649
Derivative financial instruments		35		17,822		32		17,889		10		22,756		13		22,779
Debt issues³		-		2,664		-		2,664		-		2,986		-		2,986
Due to subsidiaries		-		867		-		867		-		239		-		239
Total financial liabilities measured at fair value on a recurring basis		1,513		69,140		32		70,685		430		63,201		13		63,644

1.	The contractual outstanding amount payable at maturity was $46,661 million (2020: $35,764 million) for the Group and $43,367 million (2020: $32,990 million) for the Parent Entity.

2.	The contractual outstanding amount payable at maturity for the Group is $6,446 million (2020: $4,649 million) and $5,893 million for the Parent Entity (2020: $4,649 million).

3.

The contractual outstanding amount payable at maturity was $5,357 million (2020: $5,062 million) for the Group and $2,507 million (2020: $2,714 million) for the Parent Entity. The cumulative change in the fair value of debt issues attributable to changes in Westpac’s own credit risk was $14 million increase (2020: $5 million increase) for the Group and Parent Entity.

Summary of the changes in financial instruments measured at fair value derived from non-market observable valuation techniques (Level 3)


		Trading
		securities and
		financial assets						Total				Total
		measured		Investment				Level 3				Level 3
$m		as FVIS		securities		Other¹		assets		Derivatives		liabilities
Consolidated
Balance as at 30 September 2019		220		134		45		399		29		29
Gains/(losses) on assets/(gains)/losses on liabilities recognised in:
Income statements		(2)		-		(2)		(4)		(4)		(4)
OCI		-		(15)		-		(15)		-		-
Acquisitions and issues		26		40		12		78		7		7
Disposals and settlements		(23)		(6)		(30)		(59)		(19)		(19)
Transfer into or out of non-market observables		-		-		-		-		-		-
Foreign currency translation impacts		-		-		-		-		-		-
Balance as at 30 September 2020		221		153		25		399		13		13
Gains/(losses) on assets/(gains)/losses on liabilities recognised in:
Income statements		548		-		20		568		16		16
OCI		-		50		-		50		-		-
Acquisitions and issues		2		257		10		269		8		8
Disposals and settlements		(665)		(7)		(15)		(687)		(4)		(4)
Transfer into or out of non-market observables		(101)		(176)		22		(255)		(1)		(1)
Foreign currency translation impacts		-		-		-		-		-		-
Balance as at 30 September 2021		5		277		62		344		32		32
Unrealised gains/(losses) recognised in the income statements for financial instruments held as at:
30 September 2020		(4)		-		3		(1)		(3)		(3)
30 September 2021		3		-		25		28		(24)		(24)


Parent Entity
Balance as at 30 September 2019		193		66		44		303		28		28
Gains/(losses) on assets/(gains)/losses on liabilities recognised in:
Income statements		(2)		-		(2)		(4)		(4)		(4)
OCI		-		-		-		-		-		-
Acquisitions and issues		26		3		12		41		7		7
Disposals and settlements		(24)		-		(30)		(54)		(18)		(18)
Transfer into or out of non-market observables		-		-		-		-		-		-
Foreign currency translation impacts		-		-		-		-		-		-
Balance as at 30 September 2020		193		69		24		286		13		13
Gains/(losses) on assets/(gains)/losses on liabilities recognised in:
Income statements		3		-		20		23		16		16
OCI		-		(2)		-		(2)		-		-
Acquisitions and issues		1		183		8		192		8		8
Disposals and settlements		(193)		-		(10)		(203)		(4)		(4)
Transfer into or out of non-market observables		-		(175)		(1)		(176)		(1)		(1)
Foreign currency translation impacts		-		-		-		-		-		-
Balance as at 30 September 2021		4		75		41		120		32		32
Unrealised gains/(losses) recognised in the income statements for financial instruments held as at:
30 September 2020		(4)		-		3		(1)		(3)		(3)
30 September 2021		3		-		25		28		(24)		(24)

1.	Other is comprised of derivative financial assets and certain loans.

Schedule of estimated fair value and fair value hierarchy of financial instruments not measured at fair value


				Estimated fair value
Consolidated		Carrying
$m		amount		Level 1		Level 2		Level 3		Total
2021
Financial assets not measured at fair value
Cash and balances with central banks		71,353		71,353		-		-		71,353
Collateral paid		4,232		4,232		-		-		4,232
Investment securities		935		-		331		604		935
Loans		709,674		-		-		710,284		710,284
Other financial assets		6,394		-		6,394		-		6,394
Assets held for sale		1,041		7		19		1,015		1,041
Total financial assets not measured at fair value		793,629		75,592		6,744		711,903		794,239
Financial liabilities not measured at fair value
Collateral received		2,368		2,368		-		-		2,368
Deposits and other borrowings		580,290		-		576,293		3,819		580,112
Other financial liabilities		43,863		-		43,863		-		43,863
Debt issues¹		123,265		-		123,826		743		124,569
Loan capital¹		29,067		-		30,147		-		30,147
Liabilities held for sale		28		-		28		-		28
Total financial liabilities not measured at fair value		778,881		2,368		774,157		4,562		781,087


2020
Financial assets not measured at fair value
Cash and balances with central banks		30,129		30,129		-		-		30,129
Collateral paid		4,778		4,778		-		-		4,778
Investment securities		984		-		424		560		984
Loans		692,498		-		-		694,264		694,264
Other financial assets		5,474		-		5,474		-		5,474
Total financial assets not measured at fair value		733,863		34,907		5,898		694,824		735,629
Financial liabilities not measured at fair value
Collateral received		2,250		2,250		-		-		2,250
Deposits and other borrowings		555,367		-		552,192		3,429		555,621
Other financial liabilities		36,276		-		36,276		-		36,276
Debt issues¹		144,992		-		144,660		1,742		146,402
Loan capital¹		23,949		-		23,934		-		23,934
Total financial liabilities not measured at fair value		762,834		2,250		757,062		5,171		764,483

1.The estimated fair values of debt issues and loan capital include the impact of changes in Westpac's credit spreads since origination.

Note 22. Fair values of financial assets and financial liabilities (continued)


				Estimated fair value
Parent Entity		Carrying
$m		amount		Level 1		Level 2		Level 3		Total
2021
Financial assets not measured at fair value
Cash and balances with central banks		62,754		62,754		-		-		62,754
Collateral paid		4,055		4,055		-		-		4,055
Investment securities		49		-		2		47		49
Loans		618,322		-		-		619,061		619,061
Due from subsidiaries¹		162,794		-		123,164		34,525		157,689
Other financial assets		5,486		-		5,486		-		5,486
Assets held for sale		1,015		-		-		1,015		1,015
Total financial assets not measured at fair value		854,475		66,809		128,652		654,648		850,109
Financial liabilities not measured at fair value
Collateral received		2,189		2,189		-		-		2,189
Deposits and other borrowings		506,815		-		505,367		1,241		506,608
Other financial liabilities		41,370		-		41,370		-		41,370
Debt issues²		105,546		-		106,713		-		106,713
Due to subsidiaries		177,949		-		7,569		170,380		177,949
Loan capital²		29,067		-		30,147		-		30,147
Liabilities held for sale		3		-		3		-		3
Total financial liabilities not measured at fair value		862,939		2,189		691,169		171,621		864,979


2020
Financial assets not measured at fair value
Cash and balances with central banks		25,436		25,436		-		-		25,436
Collateral paid		4,641		4,641		-		-		4,641
Investment securities		3		-		3		-		3
Loans		607,263		-		-		608,602		608,602
Due from subsidiaries¹		169,139		-		126,623		43,669		170,292
Other financial assets		4,745		-		4,745		-		4,745
Total financial assets not measured at fair value		811,227		30,077		131,371		652,271		813,719
Financial liabilities not measured at fair value
Collateral received		1,862		1,862		-		-		1,862
Deposits and other borrowings		488,622		-		487,452		1,292		488,744
Other financial liabilities		35,507		-		35,507		-		35,507
Debt issues²		124,680		-		125,896		-		125,896
Due to subsidiaries		186,024		-		6,805		179,219		186,024
Loan capital²		23,949		-		23,934		-		23,934
Total financial liabilities not measured at fair value		860,644		1,862		679,594		180,511		861,967

1.	Due from subsidiaries excluded $11,389 million (2020: $11,177 million) of long-term debt instruments with equity-like characteristics which are part of the total investment in subsidiaries.

2.	The estimated fair values of debt issues and loan capital include the impact of changes in Westpac's credit spreads since origination.