Company: WEBNF
Filing Date: 2025-11-04
Form Type: 20-F
Source: 0001104659-25-105894
Chunk: 98

Company: WESTPAC BANKING CORP
Filing Date: 2025-11-04
Form: 20-F
Item: Item 14
Chunk 98
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 valuation.
Debt instruments           ​   Trading securities and financial assets measured at FVISInvestment securities Other financial liabilities   ​   Australian government and semi-government bonds, New Zealand government bonds, US Treasury Securities   ​   ​                                                                                                                                                     
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Level 2 instruments (Level 2)
The fair value for financial instruments that are not actively traded is determined using valuation techniques which maximise the use of observable market prices. Valuation techniques include:

●   The use of market standard discounting methodologies;
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●   Option pricing models; and
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●   Other valuation techniques widely used and accepted by market participants.
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      Instrument             Balance sheet category                                                             Includes                                                                                                                                                                                                                                                                                                       Valuation                                                                                                                                                                                                                                           
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Interest rate products   ​   Derivatives              ​   Interest rate and inflation swaps, swaptions, caps, floors, collars and other non-vanilla interest rate derivatives   ​   Industry standard valuation models are used to calculate the expected future value of payments by product, which is discounted back to a present value. The model’s interest rate inputs are benchmark and actively quoted interest rates in the swap, bond and futures markets. Interest rate volatilities are sourced from brokers and consensus data providers. If consensus prices are not available, these are classified as Level 3 instruments.                                         
FX products              ​   Derivatives              ​   FX swaps, FX forward contracts, FX options and other non-vanilla FX derivatives                                       ​   Derived from market observable inputs or consensus pricing providers using industry standard models. If consensus prices are not available, these are classified as Level 3 instruments.                                                                                                                                                                                                                                                                                                       
Other credit products    ​   Derivatives              ​   Single name and index credit default swaps                                                                            ​   Valued using an industry standard model that incorporates the credit spread as its principal input. Credit spreads are obtained from consensus data providers. If consensus prices are not available, these are classified as Level 3 instruments.                                                                                                                                                                                                                                             
Commodity products       ​   Derivatives              ​   Commodity and carbon derivatives                                                                                      ​   Valued using industry standard models.The models calculate the expected future value of deliveries and payments and discount them back to a present value. The model inputs include forward curves, volatilities implied from market observable inputs, discount curves and underlying spot and futures prices. The significant inputs are market observable or available through a consensus data service. If