中国公募基金发展与现状黄莉 王旻玥， CFA13 December 2022 11中国公募基金概况22中国货币基金概况103货币基金法规的发展和比较194ESG基金24Contents 中国公募基金概况1 3中国公募基金规模持续增长0510152025Jan 17Jul 17Jan 18Jul 18Jan 19Jul 19Jan 20Jul 20Jan 21Jul 21Jan 22Jul 22(人民币(万亿))股票型债券型混合型货币型来源：惠誉评级, ICI Global 4中国公募基金在世界公募基金中占比仍较小0.02.04.06.08.010.0010203040502018201920202021Jun22美国(LHS)欧洲 (LHS)中国 (LHS)中国占比 (RHS)来源: 惠誉评级, ICI Global(美元(万亿))(%) 5家庭财富的增加支撑公募基金资产持续增长050100150200250300Dec 17Dec 18Dec 19Dec 20Dec 21Oct 22住户存款M2公募基金来源： 惠誉评级,中国人民银行,万得(人民币万亿) 6中国公募基金市场资产结构有别于欧美0%20%40%60%80%100%美国欧洲中国 股票型 债券型 混合型 货币基金 来源： 惠誉评级，万得June 2022 7投资人风险偏好不同020406080100股票型混合型债券型货币型(%)机构投资人散户投资人来源：惠誉评级， 万得June 2022 8基金管理人集中度在降低051015202530354045Top 1Top 10Jun 20Jun 22(%)来源： 惠誉评级， 万得 9国有企业37%民营企业33%中外合资28%外商独资2%来源： 惠誉评级， 万得基金管理人分类2022/09基金管理人分类 中国货币基金概况2 11中国于2022年二季度成为世界第二大货币基金市场051015200.01.02.03.04.05.06.0201320142015201620172018201920202021Jun22美国 (LHS)欧洲(LHS)中国 (LHS)中国占比 (RHS)来源：惠誉评级，Investment Company Institute (ICI)(万亿美元)(%) 12货币基金市场仍有继续增长的潜力024681012201320142015201620172018201920202021Jun 22(人民币万亿)机构投资人个人投资人来源： 惠誉评级，万得个人投资人占了货币基金市场的大部分0510152025USEuropeChina(%)h来源： 惠誉评级， ICI， Crane货币基金占M2比重仍然较低June 2022(货币基金/ M2) 13零售互联网销售平台成为重要销售渠道0.00.51.01.52.02.53.01Q192Q193Q194Q191Q202Q203Q204Q201Q212Q213Q214Q211Q222Q22余额宝理财通(CNYtrn)来源：惠誉评级, 万得 14中国货币基金收益率一直低位徘徊来源： 惠誉评级，万得, Crane Data, IMoneyNet-1.00.01.02.03.04.05.0Jan 18Mar 18May 18Jul 18Sep 18Nov 18Jan 19Mar 19May 19Jul 19Sep 19Nov 19Jan 20Mar 20May 20Jul 20Sep 20Nov 20Jan 21Mar 21May 21Jul 21Sep 21Nov 21Jan 22Mar 22May 22Jul 22Sep 22Nov 22中国US Prime Retail 7-Day Net YieldEuropean MMF (EUR)(%) 15中国货币基金投资组合 存款33%同业存单29%逆回购26%债券5%短票5%国债2%2022/09来源：惠誉评级 16中国货币基金市场集中度在降低05101520250246810121416美国欧洲中国(%)(%)1H20 (LHS)1H21(LHS)1H22(LHS)前五 (RHS)来源： 惠誉评级,万得, ICI不同市场最大货币基金占比比较22%30%39%9%20%31%44%5%< 1bn1bn - 10bn10bn - 100bn> 100bn来源： 惠誉评级， 万得平均货币基金规模在增长内圈: 2022/06外圈: 2020/12(% 按基金数量) 17中国货币基金管理费高于欧美05101520253002468101214161820美国中国欧洲来源：惠誉评级, 万得, Lipper, iMoneyNet, Crane Data(五年复合增长率) (%)(平均管理费(bp)) 18中国货币基金普遍使用杠杆无杠杆7%5%杠杆以下56%5%-10% 杠杆24%10%-20% 杠杆13%June 2022来源： 惠誉评级，万得 货币基金法规的发展和比较3 20中国货币市场基金法规发展《货币市场基金管理暂行规定》《货币市场基金监督管理办法》《公开募集开放式证券投资基金流动性风险管理规定》银发(2017)302号《关于进一步规范货币市场基金互联网销售、赎回相关服务的指导意见》《重要货币市场基金监管暂行规定》*CSRC proposed rules in early 2022 21中国货币市场基金法规及惠誉评级标准 MMFMMF with top 10 investors exceeding 20% of total assetsMMF with top 10 investors exceeding 50% of total assets‘Important’ MMF with AUM exceeding CNY200 billion*‘Important’ MMF with AUM exceeding CNY500 billion*Fitch ‘AAAmmf(chn)’ rated MMFAccounting methodAmortised costAmortised costAmortised costAmortised costAmortised costNot applicableValuationCNAVCNAVCNAVCNAVCNAVNot applicableLowest credit rating‘AA+’ on national scale and minimum 90% of assets at ‘AAA’AA+’ on national scale and minimum 90% of assets at ‘AAA’‘AA+’ on national scale and minimum 90% of assets at ‘AAA’‘AAA’ on national scale ‘AAA’ on national scale‘A-’ on international scaleMaximum single issuer concentration (%)1010105510Minimum daily liquidity (%)5555510Minimum weekly liquidity (%)102030202025Maximum assets with limited liquidity (%)1010105520Maximum WAM (days)1209060906075Maximum WAL (days)240180120240240120Maximum leverage (%)20202010NilNilMaximum time deposit (%)Not applicableNot applicableNot applicable5050Not applicableMaximum single investor (%)Not applicableNot applicableNot applicable55Case-by-case basisLiquidity gateRedemption over 10%Redemption over 10%Redemption over 1% if weekly liquidity below 10% and negative NAV deviationRedemption over 5%Redemption over 5%Not applicableRisk provision (management fee) (%)1010104040Not applicableRisk provision (custodian fee) (%)Not applicableNot applicableNot applicable2020Not applicableRisk provision (distribution fee) (%)Not applicableNot applicableNot applicable2020Not applicableNumber of fund managersNot applicableNot applicableNot applicableMinimum of 2Minimum of 2Not applicableNumber of disaster recovery centresNot applicableNot applicableNot applicableMinimum of 2Minimum of 2Not applicable* CSRC proposed rules in early 2022 Source: Fitch Ratings 22欧洲监管机构: ESMA规模: USD1,5trn (17%)种类: Short-term (incl. PD CNAV, LVNAV and VNAV) and Standard MMFs中国监管机构: 证监会规模: USD1,6trn (18%)种类: 主要为摊余成本法货币基金，少量浮动净值型美国监管机构: SEC规模: USD5trn (55%)种类: Government, Prime and Tax-exempt MMFs全球主要货币基金市场Source: Fitch Ratings, Lipper, Crane Data, Asset Management Association of China, as of Jun 22 23全球监管新规各有侧重•ESMA’s Opinion** Public DebtSource: Fitch Ratings, SEC, ESMA, CSRCUS & EU*: Focusing on Addressing Threshold Issues, Enhancing MMF Liquidity and Imposing LMTsUS:1. Swing pricing2. Repeal of regulatory thresholds – fees and gates 3. New liquidity requirements4. Amendments to regulatory reporting and calculation requirements EU:1. LVNAV - fluctuating NAVs2. Repeal of regulatory thresholds - fees & gates3. New liquidity requirements (daily/weekly/PD** assets)4. At least one LMTChina: Targeting Large MMFsChina:1. MMFs with AUM exceeding CNY200 billion or with more than 50 million investors