Rain that has become frozen into small ice pellets is called

Rain that has become frozen into small ice pellets is called freezing rain. 
Ice pellets are rain drops that has frozen before they hit the ground. While passing through sub-freezing layer that is hundred of meters above the ground, rain freezes and forms small ice pellets. 
Hail stones, on the other hand, are normally much larger than sleet pellets and  can cause damage.

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