Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound
Structured products desks are bracing for another round of losses after a key China index pushed into territory where hedging costs can skyrocket.
Between February 11 and March 15, the Hang Seng China Enterprises Index (HSCEI) – a common underlying in autocallable notes – shed 30% of its value, falling from 8,784 points to 6,124 points. A triple whammy of Chinese tech regulation, rising Covid-19 infections and Russia’s invasion of Ukraine sent the index plummeting through its so-called peak
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