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Money, foreign exchange and derivatives market
Statistics period: October 2023

New foreign exchange and money market statistics

Danmarks Nationalbank publishes today a new foreign exchange and money market statistics. The statistics, which is based on daily reports from the 9 largest banks in Denmark, show the turnover in the Danish foreign exchange and money market month by month, distributed on financial instruments and sectors. The daily reports from the banks are used by Danmarks Nationalbank to support the financial stability, monitor the development of the foreign exchange market in kroner and to follow the transmission of the monetary policy in Denmark. With the publication of the statistics, which will henceforth take place on the 15th banking day of each month, requests from the professional market participants, among others, to create more transparency about the activity in the foreign exchange and money market is met. The statistics is available via the Statbank, and you can read more about its content in sources and methods.



This first publication covers statistics based on data from April to October 2023 inclusive. Over the period, there has been an average turnover of approximately kr. 150 billion per banking day on the Danish foreign exchange and money market.

Foreign exchange trades (spot and forward)

Since April, the average daily turnover in trading with Danish kroner against foreign currency has been kr. 24 billion. Of this, other domestic financial corporations made up most of the turnover. This is due, among other things, to insurance and pension corporations' activity on the market. Foreign exchange transactions include the exchange of Danish kroner against foreign currency on a settlement date at a rate agreed on the day of the trade. Although Danish non-financial companies make up a smaller part of the total turnover, they have (net) been the sector that has bought the most kroner during the period. The companies' net krone demand comes mainly from large earnings in foreign currency, which are exchanged for kroner.

Daily turnover in foreign exchange transactions divided by sector

Note:

Average daily gross turnover in trading with Danish kroner against foreign currency (spot and forward trades) from April to October 2023, divided by sector. The turnover is based on foreign exchange transactions carried out through the Danish banks that report to the foreign exchange and money market statistics. No corrections have been made for double counting, i.e., reporting of the same trade for both counterparties. "Other domestic" primarily includes Danish non-financial companies, "Other domestic financial corporations" primarily includes Danish insurance and pension corporations and holding companies, "Foreign" primarily includes foreign banks and companies, and "Domestic banks" includes Danish banks (reporting and not reporting). The statistics do not cover the total turnover in kroner, as banks abroad also have part of the turnover in kroner. Transactions with households and transactions under kr. 500,000 are also not included in the statistics.

FX swaps

The average daily turnover in FX swaps between Danish kroner and foreign currency has been kr. 70 billion in the same period. A FX swap is a foreign exchange trade that consists of a short leg combined with an opposite long leg. FX swaps are used to finance and hedge the purchase of currency assets, e.g., a Danish pension corporations purchase of shares in dollars. FX swaps between Danish kroner and US dollars make up 2/3 of the total turnover. The turnover in FX swaps between Danish kroner and euro is considerably lower, as the need to hedge euros is less because of the Danish fixed exchange rate policy. FX swaps are also used for liquidity management, where a surplus of liquidity in one currency is lent against receiving liquidity in another currency.

Daily turnover in FX swaps divided by currency

Note:

Gross turnover in FX swaps in kroner from April to October 2023, divided by currency. The gross turnover in FX swaps is based on transactions carried out through the Danish banks that report to the foreign exchange and money market statistics. No corrections have been made for double counting, i.e., reporting of the same trade for both counterparties. "Other foreign currency" covers all currencies other than the euro and the US dollar. Transactions with households and transactions under kr. 5,000,000 are not included in the statistics.

Secured loans

Turnover in secured money market loans in kroner has been kr. 55 billion per banking day. Secured money market loans are repurchase agreements where money is borrowed against collateral in the form of a security, typically bonds. The purpose of repurchase agreements is either to exchange liquidity or to acquire a specific underlying security. Danish mortgage bonds have been collateral for 86 per cent of the secured loans in kroner that were entered into in the period covered by the statistics. After mortgage bonds, mainly Danish government bonds have functioned as collateral (13 per cent). The relationship between mortgage and government bonds must be seen in the light of the fact that the market for Danish mortgage bonds is significantly larger than the market for Danish government bonds. Secured money market loans typically mature within one month, and overnight loans account for almost a quarter of the loans. For comparison, the large majority of turnover in the unsecured money market is day-to-day deposits, on which the new reference rate in Danish kroner, DESTR, is based.

Daily turnover in secured loans divided by collateral

Note:

Gross turnover in secured money market loans in kroner from April to October 2023, divided by collateral. The calculation of the gross turnover in secured money market loans is based on transactions carried out through the Danish banks that report to the foreign exchange and money market statistics. No corrections have been made for double counting, i.e., reporting of the same trade for both counterparties. "Other" covers all papers other than Danish mortgage bonds and Danish government bonds. Transactions with households and transactions under kr. 5,000,000 are not included in the statistics.

Interest rate swaps

The average daily turnover in Danish interest rate swaps has been kr. 5 billion. The turnover is split between various reference rates, where interest rate swaps with reference to 3- and 6-month CIBOR making up approximately 2/3. Interest rate swaps are used, for example, by investors who buy fixed-rate bonds to hedge interest rate risk. The turnover in DESTR interest rate swaps has increased in 2023, and the average daily turnover in DESTR interest rate swaps reached kr. 2.5 billion in October. In DESTR interest rate swaps, interest payments based on DESTR are exchanged for interest payments based on a longer fixed rate. DESTR is a day-to-day reference rate in Danish kroner. Danmarks Nationalbank encourages market participants to use DESTR as the primary reference rate in financial products. This will ensure that there is consistent reference to one robust anchor on the Danish capital market.

Daily turnover in interest rate swaps divided by reference rate

Note:

Gross turnover in Danish interest rate swaps (fixed-for-floating) in kroner from April to October 2023 divided by reference rate. The calculation of the gross turnover in Danish interest rate swaps is based on transactions carried out through the Danish banks that report to the foreign exchange and money market statistics. No corrections have been made for double counting, i.e., reporting of the same trade for both counterparties. Transactions with households and transactions under kr. 5,000,000 are not included in the statistics.