Opposition parties are calling for the Government to give assurances that the New Zealand Superannuation Fund is making sound investment decisions.
The fund loaned $200 million to a Portuguese bank last year just weeks before it collapsed.
The Labour Party said Finance Minister Bill English needed to ensure due diligence was done before the loan was made.
The Greens said such a large and unusual loss deserved a closer look.
The Super Fund, which was set up to help fund future retirement payments, manages $27.5 billion, and the return on its investment rose by 14 percent last year.
Mr English said it made its investment choices independently of the Government.
'A litany of poor behaviour'
Swamped by billions of euros in losses, Banco Espirito Santo broke up in August, and its founder and president Ricardo Salgado was arrested for tax evasion.
The New Zealand fund is one of several investors suing the Bank of Portugal, the country's central bank, over their loans being excluded from the bailout of Banco Espirito Santo. Investors accuse the Bank of Portugal of illegal behaviour and a refusal to accept facts.
The Super Fund made a $US150 million loan to Banco Espirito Santo as part of a $US784.6 million facility provided by Oak Finance.
Less than a month after the loan was made, Banco Espirito Santo reported a €3.6 billion loss, prompting a rescue plan involving the creation of a new bank.
Super Fund chief executive Adrian Orr said he expected the legal action would be a drawn out process and it was sensible to write the loan off now.
But there were many grounds for legal action and he was confident of eventually recovering the money.
"We are astounded by the actions of the Bank of Portugal, where they been unwilling to accept very clear facts around both the ownership of Oak Finance, being that of the note holders, being totally independent of the arranger of this loan syndicate, being Goldman Sachs.
"It's a process issue, it's a factual issue and it's the way in which the law has been basically put in retrospectively. So it's a litany of poor behaviour and illegal behaviour by the Bank of Portugal."
Another Super Fund spokesperson, Catherine Etheredge, said a thorough internal review of the decision-making process regarding the loan had already been carried out.
She said it concluded there were no checks and balances which could have been put in place to anticipate what it called the "unprecedented and unlawful action" of the central bank.
Ms Etheredge said the Super Fund did not have any more loans or bonds held in Portugal and would not be investing any more money in the country until the matter was resolved.