New Zealand First Party leader Winston Peters joins Mike Hosking to talk about the allegations of electoral donation wrongdoing.

The Electoral Commission is looking into the reports by filtering them through the foundation.

Peters says he's the Parliamentary leader, and doesn't have oversight over all party matters, but he says they've done nothing wrong.

He says it does not fund the New Zealand first party.

"I've got all manner of journalists making these allegations but the fact, is it is not illegal."

Peters sidestepped questions around the funds being used on the party and whether they were declared.

He says the foundation was set up by a group of lawyers, who he could not name.