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Snowball product scale estimation

Fang submitted 2021-06-18 20:04:47

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.

1. Brokerage OTC Derivatives
Source: China Securities Industry Association

2. Futures Risk Management Company

Source: China Futures Industry Association

  • The most commonly underlying index is CSI 500, and the current PE-TTM quantile of CSI 500 in the past 5 years range is 44%, which is in a relatively favorable position and is suitable for issuing a snowball structure product.
  • At present, the ratio (of the scale of the products) of snowball products with underlying of CSI 500 index and with underlying of CSI 300 index is about 9:1 in the market.
  • Therefore, it can be estimated that the scale of snowball products linked to CSI 500 is about 164.1 billion.

Calculated based on 30% of the position, about 38,439 lots IC contracts are needed for hedging, accounting for about 15.5% of the current total IC holdings. (2021.4.30)

At present, traders use a promotion strategy that combines public sales and institutional customer customization to provide regular supply of standardized snowball structure products for general retail customers. At the same time, it provides customized services for institutional customers in terms of special deadlines, underlying index, and structures.


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 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,20214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


2. 期货风险管理公司


  • 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。

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


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