我国二级市场的场外衍生品业务在2013年经批准开展。我国的场外市场相较于国外虽起步较晚，但发展迅猛。据中国证券业协会统计，2022年券商场外衍生品累计新增名义本金 8.31万亿元，相较于2013年初期市场的千亿规模，十年间市场高速增长。其中，雪球产品在场外衍生品市场中热度居高不下，从2020年到2022年销量持续爆发。据测算，券商发行的雪球产品累计规模已经突破万亿元，已成为场外衍生品市场的的明星产品。基于上述背景，本文详细地介绍并分析了雪球结构化收益凭证产品（简称雪球产品）的产品要素与损益情况。本文结合实证研究，使用BS模型与蒙特卡洛模拟方法测算出雪球产品的定价，同时使用差分法得到雪球产品希腊字母的测算，揭示了产品的深层逻辑。2022年7月，证监会批准开展中证1000的衍生品业务，场外衍生品业务迎来新的增长点，雪球产品标的进一步扩充。文章紧随市场，分析了中证1000指数这个新标的特点与挂钩雪球的可行性，指出了中证1000波动率高，雪球潜力大，票息报价高的特点。另外对于雪球中证1000市场的多产品布局，目前发行商仍存依靠经验设置参数发行，布局效果不理想的问题，同时也并没有相关研究使用模型量化决这个问题。本文提出的使用高斯过程模型拟合市场需求，并基于市场需求获得最小能量设计产生多产品参数设计则有效地使得产品参数设计关注了高需求区域，避免了各产品参数接近引发的资源浪费。多产品形成了“各产品关注高需求区域，总体产品之间相互影响最小”的设计布局。最后基于雪球市场最新现状，并基于前述的研究，本文给投资者、发行者、监管机构这三方市场参与者提出了建议与展望，以期待雪球市场稳健繁荣发展。
The OTC derivatives in secondary market was approved in 2013 in China. Compared with abroad, our OTC market started late, but developed rapidly. According to the statistics of SAC , the cumulative nominal principal of OTC derivatives under securities firms in 2022 was 8.31 trillion yuan, compared with the scale of about 0.1 trillion yuan in the early 2013, the market grew rapidly in the past decade. Behind this, snowball products remain hot in the OTC derivatives market, and sales continue to break out from 2020 to 2023. According to relevant estimates, the cumulative scale of snowball product issued by securities firms has exceeded trillion yuan, and has become a star product in the OTC derivatives market. Based on the above background, this paper introduces and analyzes the elements and gains and losses of snowball structured fixed income receipt product (hereinafter referred to as snowball product) in detail. Combined with empirical research, this paper uses BS model and Monte Carlo simulation method to calculate the pricing of snowball product, and uses difference method to obtain the calculation of Greek letters of snowball product, which reveals the deep logic of product. In July 2022, CSRC approved the derivatives business of China Securities Index 1000 (CSI.1000), OTC derivatives business ushered in new growth points, and snowball product underlying securities were further expanded. Keeping up with the market, this paper analyzes the characteristics of this new underlying security, CSI.1000, and its feasibility of linking snowball, and points out the characteristics of high volatility, great potential and high coupon rate of CSI.1000 snowball. In addition, for the multi product layout of CSI.1000 snowball market, issuers still rely on experience to set parameters for issuance, and the layout effect is not ideal. At the same time, there is no relevant research of quantification to solve this problem. In this paper, the Gauss process model is used to fit the market demand, and the minimum energy design is obtained based on the market demand to generate multi product parameter, which makes the product parameter design pay attention to the high demand area and avoids the waste of resources caused by the proximity of product parameters. Multi product design forms an overall design layout where each product focuses on high demand areas and minimizes mutual influence between products.Finally, based on the latest situation of the snowball market and the aforementioned research, this paper puts forward suggestions and prospects for investors, issuers and regulators, in order to look forward to the steady and prosperous development of the snowball market.
