Snowball product scale estimation

The market size of "Snowball" products is estimated to be about 182.3 billion yuan

• Snowball products can be registered in income certificates or OTC options. According to data from the Securities Industry Association, in April 2021, the existing scale of income certificates totaled 425.125 billion yuan, of which 35% were non-fixed income. The estimated snowball product scale was about 74.4 billion yuan;
  
• The OTC financial derivatives are about 78.06 billion yuan, of which 51.57% are stock index products. Assuming that about 20% are snowball products, the scale is about 80.868 billion yuan;
  
• According to data from the Futures Industry Association, in April 2021, The quantity of existing OTC stock index options is about 38.634 billion yuan, of which about 70% are snowball products, with a scale of about 27.04 billion yuan.
  
• According to the above data, the total market size of snowball products is about 182.3 billion yuan.

雪球产品规模测算

测算“雪球”产品市场规模约在 1823亿元

• 雪球产品可以登记在收益凭证或场外期权内。据证券业协会数据， 2021 年4月，收益凭证存续规模共 4251.25 亿元，其中 35%为非固定收益类，估测雪球产品规模约在 744 亿元；

• 场外金融衍生品存续约 7840.6 亿元，其中51.57%为股指类，假设约有 20%为雪球产品，则规模约在 808.68 亿元；

• 根据期货业协会数据，2021年4月，场外指数期权存续约386.34亿元，其中约70%为雪球产品，规模约在270.44亿元。

• 根据以上数据，雪球产品市场规模合计 1823 亿元左右。

1. 证券公司场外衍生品

来源：中国证券业协会

https://www.sac.net.cn/ljxh/xhgzdt/202104/t20210421_146309.html

2. 期货风险管理公司

来源：中国期货业协会

http://www.cfachina.org/businessprocess/riskmanagementbusiness/statisticaldata/202105/t20210506_18768.html

• 最常见挂钩标的为中证500， 且目前中证500在近5年的PE-TTM分位处于44%，处于较为有利的位置，适合采用雪球结构。
• 目前市场上以中证500和沪深300为挂钩标的的雪球产品比例约9:1。
• 故可测算以中证500挂钩的雪球产品规模约1641亿。

以30%仓位计算需要约38439手 IC合约多单进行对冲，占当前IC总持仓15.5%的左右。(2021.4.30)

现阶段交易商采取公开销售与机构客户定制并行的推广策略，为一般零售客户定期提供标准化雪球结构产品供给，同时针对机构客户特殊期限、挂钩标的、结构等需求，为其提供产品定制服务。