The New Zealand Superannuation Fund, a fund for the state run retirement benefit (pension) available to all working New Zealanders, made an investment in insurance-linked securities including catastrophe bonds last year (previous coverage here and here).
They have become the first investor in cat bonds to make a statement regarding their potential exposure through their investment portfolio to the Japan earthquake and tsunami disaster.
Based on information available to them so far they don’t expect to see any loss to their investments. However, they did say that as information becomes more clear they could not rule out the potential for losses to emerge. That suggests that they most likely are invested in at least one of the cat bonds which have a Japan quake risk component to the transaction.