The investment has been made by entering into swap agreements with two internationally regarded investment banks. These agreements provide for the returns from a basket of commodity futures, as represented by the Goldman Sachs Commodity Index (GSCI) to be paid to the Fund. The swap agreements do not initially require capital to be deployed. However, the Fund will fully collateralise the value of all exposure against a portfolio of New Zealand dollar money market securities. That money market portfolio is managed by ING NZ Limited.
The commodity swaps are with Morgan Stanley Capital Group Inc. and AIG Financial Products Corporation. The GSCI is derived from a production-weighted basket of commodity futures. It includes exposure to 24 individual commodities. These span the energy, industrial and precious metals, and agricultural sectors.
The Fund's March 2005 Strategic Asset Allocation Review identified commodity futures as a desirable long term portfolio diversifier. The Fund's exposure as at the end of September was 5%, which is in line with its planned allocation by June 2007.
The value of the New Zealand Superannuation Fund as at 30 September 2005 was $7.6 billion.
A press release from New Zealand Superannuation Fund
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