Graduation Assignment intraday seasonality in FX Swap markets

Thesis Project
Vereiste taal
Engels, Nederlands


Graduation Assignment intraday seasonality in FX Swap markets

Are you looking for a challenging graduation assignment or organization where you can do research? PGGM and MN offer you the opportunity to develop yourself, together with the best professionals in the field.

Jouw rol

This assignment is part of the unique Academic Excellence Program (AXP). This program is a cooperation between MN and PGGM, two leading Dutch pension fund service providers. Students will get the opportunity to work alongside investment professionals, collaborate with other students and learn about institutional investing. On regular AXP-days all students in the program will come together in The Hague or Zeist to share ideas, learn from each other, attend presentations from investment teams and discuss job opportunities.

Research topic

The Bank of International Settlements (BIS) estimates that the average daily turnover in FX Swaps adds up to 3.8 trillion US dollar. Pension funds are large users of FX Swaps for their currency overlay hedging programs. Most transactions in the swap market are in short dated contracts (sub 1 year) and are dealt by specialized Treasury or Trading teams.

Based on scattered data and our own experiences it is believed most Treasury desks predominantly execute market transactions during the morning. At the same time most Treasury teams look for funding (mainly US dollars) in another currencies than their home currency.


These assumptions result in the thesis that during local business hours the funding cost for US dollar worsen against the home currency. Can we observe worse funding conditions for Australian firms during the Australian morning? Do we see the same patterns for Japanese yen, euro, British pound, Canadian dollar? Can these intraday seasonality patterns be exploited?

Jouw afdeling binnen PGGM

For this assignment the main location will be PGGM in Zeist where you will be part of the Trading Analytics team. You are expected to be in the office about 50% of your time. This internship should be scheduled within the first half year of 2024.

Jouw achtergrond

For these assignments we are looking for ambitious students with:

  • Quantitative background (eg. Econometrics, Mathematics, Financial Engineering, etc.).
  • Programming skills in Python.

Wat wij bieden

Are you looking for a challenging graduation internship to develop yourself? Do you want to work in one of the best working environments in the Netherlands? Then we invite you to join our motivated enthusiastic team.


As an intern at PGGM you will receive:

  • Travel allowance.
  • A monthly internship allowance.
  • The opportunity to gain work experience and develop your skills.
  • A great team made up of the best professionals in the business!

Meer weten?

To apply you can send your CV (including marks) and motivation letter to and/or

If you have any questions, please contact Meryem el Ajjouri, Campus Recruiter (+316 51064717 or