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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here