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six_irs_section_871m by Six Group

Name: six_irs_section_871m
Brand: Six Group
SKU: SIX-00101
Price: 9999.99 USD
Availability: InStock

Category: altdata , financials , government , main_tax_category ,

Product Type: government

Region: APAC , Brazil , Canada , China , Europe , Global , Korea , Middle East , North America , South America , US ,

Industry: Consumer Discretionary , Consumer Staples , Energy , Financials , Health Care , Industrials , Information Technology , Materials , Real Estate , Telecommunication Services , Utilities ,

Asset Classes: ADRs , Equity , ETFs , Fixed Income , Futures , FX , Options ,

Data Frequency: day

Quantity must be 1 or more

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 871(m)

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.
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)
Underlying ISIN	string	Underlying International Securities Identification Number
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	Strike price. Options contracts are derivatives that give the holders the right, but not the obligation, to buy or sell some underlying security at some point in the future at a pre-specified price. This price is known as the option's strike price (or exercise price). For call options, the strike price is where the security can be bought by the option holder; for put options, the strike price is the price at which the security can be sold.
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	Ticker symbol associated with this message or row of data.
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

This dataset is not available for direct online purchase. Please contact sales directly at sales@CloudQuant.com. The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.