95% of the exhaust systems built today are made up of iron alloy and galvanized steel. Exhaust pipes are made of either iron or stainless steel. Heat shields are made of galvanized steel. Galvanized steel uses zinc as a rust inhibitor.
Zinc, when hot and in the presence of iron and a catalyst, creates yellowish green zinc oxide in the form of crystals. The connection is the catalyst, in this case road salt. If the snow is able to touch the exhaust heat shields and the exhaust pipe at the same time, the chemical reaction between the two dissimilar metals creates the bright yellow crystals.
As the hot exhaust pipe melts the snow, the yellow substance drops to the snow covered ground.
Hope this clarifies this question that so many people have scratched their heads about.