China’s snowballs: higher returns mean higher risk

A mass of snowball derivative products in China have hit the knock-in levels this month as equities kicked off 2024 with a disappointing performance. The concentration of knock-in events is not necessarily creating massive selling pressure on the market, considering the non-one-way hedging direction and the relatively small amount of outstanding notional Snowball derivatives, known as fixed-coupon autocallable products, have been gaining Chinese investors’ traction in recent years. Mos