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six_irs_section_871m

Dataset Name: six_irs_section_871m


Group: government
Vendor: Six Group
Data Starts at: 2022-06-05 00:00:00
Symbol Set: Equities
Asset Class: Equity, ADRs, ETFs,Fixed Income,Options,FX,Futures
Data Update Time(s): EOD daily
Data Update Frequency: day

Six Group Tax IRS Section 871m

The US Internal Revenue Service regulation 871(m) aims to collect tax on dividends related to instruments that are linked to US equities. In order to comply with the regulation, firms are required to identify in-scope equity-linked instruments that create dividend equivalent payments and ensure appropriate withholding and reporting. This is a complex undertaking that requires extensive knowledge of the characteristics of equity-linked derivatives.

Determining which instruments are in-scope is a complex undertaking that requires extensive knowledge of the characteristics of equity-linked derivatives:
  • Delta at issue for securitized derivatives / Daily deltas for ETDs
  • Constituents, weighting and dividend yields of indices with US equity components
  • Continuous monitoring of dividend payments on the underlying equities
  • Product Positioning

Identifying the financial products that are in-scope takes detailed know-how i.e. is the underlying instrument US tax relevant, and determining the delta for each underlying instrument in the case of derivatives with multiple underlying. In addition to sourcing more granular data, this requires a complex a series of rulesets. We determine which derivatives are in scope in accordance with their underlying instruments and indices, and flag for clear identification. Over time, our award-winning corporate actions monitoring provides data which is critical for tracking changes in the instrument lifecycle and determining the dividend-equivalent payments.



Data Contained in this Dataset

Column Type Description
_seq uint Internal sequence number used to keep data rows in order
timestamp string Timestamp of the Data - America/New York Time.
muts uint64 Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. (underlying field is nc_publish_date_actual)
symbol string Trading Symbol or Ticker
instrument_identifier string instrument_identifier
instrument_scheme string Key Identifier
Status string Indicating whether identifier could be resolved
VALOR int Instrument ID (Swiss National Security Number)
ISIN string ISIN Country / ISIN Code - Structure of the code in accordance with ISO standard 6166: Nine digit alpha-numerical code assigned by the national numbering agency followed by one check digit.
CUSIP US string US national securities indentification number
CUSIP CA string Canadian national securities identification number
SEDOL string Sedol for underlying constituent. Stock Exchange Daily Official List identifier assigned by the London Stock Exchange, requires SEDOL license
WKN string German national securities identification number
Alternative Instrument Identifier string Alternative listing scheme trade identifier
Clearing Code string Clearing Code
Trading Symbol string Trading Symbol
SIX Company Key string Institution identifier for an issuer
Original Issuer string Institution identifier for original issuer
Instrument Short Name string Instrument short name with up to 19 characters
Instrument Name Prefix string Instrument classification in textual form
Instrument Name Suffix string Additional instrument type classifications in textual form
Instrument Type string Coded indication of the instrument category of the 871(m)-relevant instrument
SIX Security Type string Type of instrument (coded values)
FISN string Instrument short name generated by SIX Financial Information according to the rules of ISO18774 without 35 character limit
CFI Code string Coded indication of the instrument category within the Classification of Financial Instrument scheme
Institution Full Name string Institution short name with up to 120 characters
Institution Short Name string Institution short name with up to 19 characters
Currency Nominal string Currency code nominal
Issue Currency string Currency code nominal
Issue Date string Date of issue payment
ETD Type string The ETD type indicates the type of underlying to which the exchange-traded derivatives relates
Strike Price string Price at which the holder of a call option can buy the underlying securities, currencies etc., or the holder of a put option can sell. Also called exercise price.
Option Style string Kind of exercise practiced, whereupon the following variations come to use. American style: Can be exercised at any time for the whole period; the data "exercise from" and "exercise to" are thus different. European style: Exercise at maturity or expiry.
Expiry Date string Expiry date of an option
Option Type string This indicates whether the instrument embodies a right to purchase (call) or sell (put). generated only for instruments assigned to the type of security "Z" (Options (Call, Put))
EUSIPA Code string Coded indication of the instrument category within the EUSIPA classification scheme for Structured Products
871(m) Tax Applicability string Tax status of an 871(m)-relevant Equity-linked instrument
Simple/complex Product string Tax Peculiarity: Section 871(m) relevant products are subdivided into simple- and complex contracts which will be indicated with this attribute.
Issuer Withholding Responsibility string Tax Particularity: Some issuers of Section 871(m) products intend to assume full withholding tax responsibility for products they issue. These cases will be indicated using the "Withholding tax paid by issuer". The attribute is as defined and contributed by the issuer.
Market string Identification of Listing (Stock Exchange, Contributor)
Ticker string Listing symbol
Last Tradeable Date string Last trading date
Trade Status string Trade Status
First SIX Calculated Delta string First delta calculated for each listing of a future, traded option, warrant or structured security. In the case of futures traded options, the delta will only be ""frozen"" if an open interest exists.
SIX Calculated Delta string Delta measuring relationship between an option price and the underlying futures contract or stock price. Deltas provided at pricing level are valid for the entire product or ELI respectively, hence that delta information is only useful for single underlying ELIs.
3rd Party Calculated Delta string Delta measuring relationship between an option price and the underlying futures contract or stock price. Deltas provided at pricing level are valid for the entire product or ELI respectively, hence that delta information is only useful for single underlying ELIs.
First 3rd Party Calculated Delta string First delta provided by a trusted source for each listing of a future, traded option, warrant or structured security.
Underlying Instrument VALOR string Instrument ID (VALOR - Swiss National Security Number) of the underlying instrument
Underlying Security Name string Short Name of the underlying instrument
Underlying Asset Class string The dominant value of Underlying asset class for all underlyings, which characterises best the ensemble of underlying instruments.
Underlying Asset Class L2 string Indicates if the underlying instruments in the derivative instrument are relevant as single components or as a whole (basket/index).
Exchangeable string An instrument (normally a debt instrument) which gives the holder the option to exchange the instrument into an instrument (normally a share) of a different company.
Underlying Weighting string Initial or current weight of the underlying in the basket of underlyings of the product, in percent. The value may be negative. A negative value indicates a short position in a basket. This number can change due to corporate actions on the underlying.
Underlying Cover Ratio string Number of underlyings that can be acquired or sold by means of the derivative instrument. This number is calculated by dividing the denomination or the issue price by the initial reference price. This number can change due to corporate actions on the underlying.
Unit string Indicates the unit of measurement in which the instrument quantity is expressed: per instrument or per nominal.
Delta at Issuance string For a simple contract subject to Section 871(m), the delta at issuance for the relevant Section 871(m) underlying is needed to calculation the dividend equivalent amount for the product.
Shares in Initial Hedge string To calculate a dividend equivalent amount under Section 871(m) for a complex contract, each 871(m) relevant underlying of a product has to pass a "substantial equivalence test" for which an initial hedge is used. The corresponding number of instruments in the initial hedge is indicated in this field.
Delta/Hedge Effective Date string Effective date of the "Delta at issue" or "No. Of instruments in initial hedge". This information can be updated for actively managed certificates.
Underlying Instrument Type string Coded indication of the instrument category of the underlying.
Underlying CUSIP US string US national securities indentification number
Underlying CUSIP CA string Canadian national securities identification number
Underlying SEDOL Number string UK national securities identification number
Underlying WKN string German national securities identification number
IRS Tax Reportability string US IRS Income code for an underlying instrument (blank for non-US instruments)
Instrument Status string Status indicating whether an instrument is active or not. Provided that the instrument is still active, this may include in coded form further information such as "in default."
Qualified Index Classification string Code indicating the criteria used for attributing an 871(m) Qualfied Index classification to an index instrument
Underlying IRS Reporting details string US IRS Reporting details for an underlying instrument (blank for non-US instruments) Coded indication of details regarding the reportability in the country included as "reporting country". For an instrument liable to US-IRS taxation, it can be indicated whether income from the instrument is reportable using the form 1042S
Bid Only Status string Liquidity provider only on Bid side
First SIX Calculated Delta Date string First SIX Calculated Delta : logical date
SIX Calculated Delta Date string SIX Calculated Delta : logical date
3rd Party Calculated Delta Date string 3rd Party Calculated Delta : logical date
First 3rd Party Calculated Delta Date string First 3rd Party Calculated Delta : logical date


Important Dataset Notes

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