1、中国公募基金发展与现状黄莉 王旻玥，CFA13 December 202211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13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 Global4中国公募基金在世界公募基金中占比仍较小0.02.04.06.08.010.000021Ju

2、n22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0500300Dec 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 20227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

3、评级，万得June 20228基金管理人集中度在降低0554045Top 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基金管理人分类2022/09基金管理人分类中国货币基金概况211中国于2022年二季度成为世界第二大货币基金市场051015200.01.02.03.04.05.06.020001920202021Jun22美国(LHS)欧洲(LHS)中国(LHS)中国占比(RHS)来源：惠誉评级，Investment

4、Company Institute(ICI)(万亿美元)(%)12货币基金市场仍有继续增长的潜力024684200021Jun 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货币基金占货币基金占M2比重仍然较低比重仍然较低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0.00.51.01.52.02.53.01Q192Q193Q194Q

5、191Q202Q203Q204Q201Q212Q213Q214Q211Q222Q22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 22Ju

6、l 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056810121416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不同市场最大货币基金占比比较22%30%39%9%20%31%44%5%100bn来源：惠誉评级，万得平均货币基金规模在增

7、长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0524680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320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(

8、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 assetsImportant MMF with AUM exceeding CNY200 billion*Important MMF with AUM exceeding

9、 CNY500 billion*Fitch AAAmmf(chn)rated MMFAccounting methodAmortised costAmortised costAmortised costAmortised costAmortised costNot applicableValuationCNAVCNAVCNAVCNAVCNAVNot applicableLowest credit ratingAA+on national scale and minimum 90%of assets at AAAAA+on national scale and minimum 90%of ass

10、ets at AAAAA+on national scale and minimum 90%of assets at AAAAAA on national scale AAA on national scaleA-on international scaleMaximum single issuer concentration(%)1010105510Minimum daily liquidity(%)5555510Minimum weekly liquidity(%)5Maximum assets with limited liquidity(%)1010105520M

11、aximum WAM(days)75Maximum WAL(days)2400120Maximum leverage(%)20202010NilNilMaximum time deposit(%)Not applicableNot applicableNot applicable5050Not applicableMaximum single investor(%)Not applicableNot applicableNot applicable55Case-by-case basisLiquidity gateRedemption over 10

12、%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 pro

13、vision(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 appli

14、cable*CSRC proposed rules in early 2022 Source:Fitch Ratings22欧洲欧洲监管机构: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,

15、Lipper,Crane Data,Asset Management Association of China,as of Jun 2223全球监管新规各有侧重ESMAs 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

16、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 billio

17、n or with more than 50 million investors defined as Important2.Stricter credit requirement3.Shorter WAM4.Less issuer concentration5.Lower leverageESG基金425混合型基金占了ESG基金大部分Governance-focused funds21%Social-focused funds9%ESG funds6%来源：惠誉评级，万得大部分大部分ESG基金聚焦环境基金聚焦环境September 2022Environment-focused funds6

18、4%Equity funds24%Bond funds11%来源：惠誉评级，万得三分之二的三分之二的ESG基金为混合型基金为混合型September 2022Balanced funds65%26追踪的美国ESG货币基金总资产自2021年来相对平稳024681012Nov 18Jan 19Mar 19May 19Jul 19Sep 19Nov 19Jan 20Mar 20May 20Jul 20Sep 20Nov 20Jan 21Mar 21May 21Jul 21Sep 21Nov 21Jan 22Mar 22May 22Jul 22Sep 22(USDbn)ESG MMF total as

19、setsESG MMF conversionESG MMF launchSource:Fitch Ratings,Crane Data.ESG MMF Total Assets27美国ESG 货币基金平均净收益率比对应的非 ESG 基金稍高-0.07-0.06-0.05-0.04-0.03-0.02-0.010.000.010.00.51.01.52.02.53.03.5Oct 21Nov 21Dec 21Jan 22Feb 22Mar 22Apr 22May 22Jun 22Jul 22Aug 22Sep 22(%)(%)ESG funds avg.gross yield(LHS)Compa

20、rable non-ESG funds avg.gross yield(LHS)Gross Yield Spread Between ESG and Non-ESG MMFs(RHS)Note:Spreads are caculated using ESG Yield minus Comparable non-ESG Yield.DWS non-ESG comparable fund was excluded due to one-off retail flows.Source:Fitch Ratings,Crane Data.Average Gross Yields for ESG MMFs

21、 and Comparable Non-ESG MMFs-0.07-0.06-0.05-0.04-0.03-0.02-0.010.000.010.00.51.01.52.02.53.03.5Oct 21Nov 21Dec 21Jan 22Feb 22Mar 22Apr 22May 22Jun 22Jul 22Aug 22Sep 22(%)(%)ESG funds avg.gross yield(LHS)Comparable non-ESG funds avg.gross yield(LHS)Gross Yield Spread Between ESG and Non-ESG MMFs(RHS)

22、Note:Spreads are calculated using ESG Yield minus Comparable non-ESG Yield.DWS non-ESG comparable fund was excluded due to one-off retail flows.Source:Fitch Ratings,Crane Data.Average Gross Yields for ESG MMFs and Comparable Non-ESG MMFs28欧洲ESG Fund Name22616%Non-ESG Fund Name122884%少数基金拥有少数基金拥有ESG相

23、关名称相关名称(,bn,%)Fund classified as having an ESG name if ESG markers present in fund name.Source:Fitch Ratings,Lipper,Sep-2253%50%39%47%0%10%20%30%40%50%60%70%80%90%100%End-Dec 2021End-Jun 2022Art 6Art 8Art 9Not ReportedSource:Fitch Ratings,Lipper欧洲近半货币基金被分类于SFDR第八条款29Any QuestionsNew York33 Whitehall

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