Senator Cormann has spent many years and untold hours watching bureaucrats and ministers being grilled about government spending.

He spent 17 sessions interrogating budget decisions while in opposition, before switching sides and representing the government 21 times.

His sparring sessions with Labor's Penny Wong at Department of Finance and Treasury hearings have become a fixture of federal politics.

"It has been a real privilege to serve on both committees," the West Australian told colleagues on Tuesday.

"This is such an important part of our democratic process."

He thanked public servants for fielding his questions in opposition and helping him answer while in government.

The Belgian-born senator freely admits he prefers to be on the receiving end of inquiries at estimates, describing himself as more of a batsman than a bowler.

Treasurer Josh Frydenberg agrees.

"He is probably the best Belgian batsman Australia had seen," he quipped to coalition colleagues.

"He is going out with his head held high."

Scott Morrison told a partyroom meeting Senator Cormann was one of the biggest figures the coalition had elected to the upper house.

The prime minister described his retiring colleague as a loud and powerful voice for Western Australia.

Senator Cormann is in the running to become the secretary-general of the Organisation for Economic Cooperations and Development.

He will leave parliament at the end of this week.

Australian Associated Press