
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 |