Not all high-security padlocks will be able to be converted to the snap-shut option but a great example of one that can be is the Abus Extreme series. When you buy a high-security padlock they are often key retaining as standard rather than snap-shut. As the name suggests, when you open the padlock the key will be retained in the lock body until the padlock is closed again. This is a useful feature and prevents the user from walking away with the key and leaving the padlock unlocked. Sometimes though, this can be more annoying than helpful so you may wish to enable the snap-shut feature.

Rather than explaining specifically how to do this, we decided to make a video to demonstrate it more easily: