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Notice

Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Exchange Fees for Fiscal Year 2006

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Start Preamble February 24, 2006.

Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) [1] and Rule 19b-4 thereunder,[2] notice is hereby given that on January 31, 2006, the Chicago Board Options Exchange, Incorporated (“CBOE” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II and III below, which Items have been prepared by the CBOE. The CBOE has designated this proposal as one establishing or changing a due, fee, or other charge imposed by the CBOE under section 19(b)(3)(A)(ii) of the Act [3] and Rule 19b-4(f)(2) thereunder,[4] which renders the proposal effective upon filing with the Commission.[5] The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.

I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change

The Exchange proposes to amend its Fees Schedule to make various changes for fiscal year 2006. The text of the proposed rule change is included below. Proposed new language is italicized; proposed deletions are in [brackets].

Chicago Board Options Exchange, Inc.

Fees Schedule

[January 13] February 1, 2006

1. Options Transaction Fees (1)(3)(4)(7)(16):

Per contract
Equity Options (13):
I. Customer.00
II. Market-Maker (MM) (standard rate)(10).22
III. Member Firm Proprietary: (11)
• Facilitation Of Customer Order.20
• Non-Facilitation Order.24
IV. Broker-Dealer.25
V. Non-Member Market Maker.26
VI. Designated Primary Market-Maker (DPM) (10)(14).12
As of March 1, 2006.14
VII. Electronic DPM (e-DPM) (14).25
VIII. Linkage Orders (8).24
IX. Remote Market-Maker (14).26
QQQQ and SPDR Options: Unchanged.
Start Printed Page 11004
Index Options (includes Dow Jones DIAMONDS, OEF and other ETF and HOLDRs options)[(17)(18)]: Remainder of section unchanged.

2. Marketing Fee (6)(16) Unchanged.

3. Floor Brokerage Fee (1)(5)(16)[(17)(18)]:

• [Equity & QQQQ Customer Order$.00]
• [All Other Equity, QQQQ And Index] DXL, OEX and SPX Options [(8)].04
DXL, OEX and SPX Crossed Orders.02

4. RAES Access Fee (Retail Automatic Execution System) (1)(4)(16): Unchanged.

Footnotes

1.-7. Unchanged.

8. Linkage order fees in effect on a pilot basis until July 31, 2006, except for Satisfaction Orders, which are not assessed Exchange fees per Linkage rules. The [floor brokerage fee for “all other equity, QQQQ and index options” and the] RAES access fee for non-customer transactions also apply to linkage orders.

9.-16. Unchanged.

[17. Transaction, floor brokerage and OBO fees are waived through December 15, 2005 for transactions involving closing a position in reduced-value SPX LEAPS and simultaneously opening a corresponding position in full-value SPX LEAPS.

18. All fees for trading in XSP options are waived through January 31, 2006.]

5.-9. Unchanged.

10. Member Dues[*] $450 per month.

[ * The Exchange will waive May 2005 member dues for CBOE Market-Makers who automatically execute 2000 contracts or more (through the use of “M” orders) during May 2005 in hybrid options classes, i.e., all equity options classes and the MNX, QQQQ and SPDR options classes.]

11.-17. Unchanged.

18. Customer Large Trade Discount: A customer large trade discount program in the form of a cap on customer transaction fees is in effect for the index options set forth below. [MNX is not included in the program since MNX customer fees were significantly reduced in June 2002.] Floor brokerage fees are not subject to the cap on fees.

Regular customer transaction fees will only be charged up to the following quantity of contracts per order, for options based on the following underlying indexes:

▪ Dow Jones indexes (including Diamonds) and SPX—charge only the first 5,000 contracts.

▪ [SPX—charge only the first 5,000 contracts].

▪ OEX (including XEO & OEF), NDX & other indexes—charge only the first 3,000 contracts.

19. Prospective Fee Reduction Program: Fee reductions will be in effect [August 1, 2004] February 1, 2006 through [January] December 31, 2006 under the following scenarios:

  • If CBOE volume exceeds [predetermined average] 2,300,000 contracts per day (CPD) [thresholds] at the end of any month on a fiscal year-to-date (YTD) basis, Market-Maker and DPM transaction and floor brokerage fees will be reduced in the subsequent month [according to the schedule presented below:] by 10% per contract from standard rates.
  • If CBOE volume exceeds 2,550,000 contracts per day (CPD) at the end of any month on a fiscal year-to-date (YTD) basis, Market-Maker and DPM transaction and floor brokerage fees will be reduced in the subsequent month by 20% per contract from standard rates.
[FY05 ytd avg. CPDFees discount (percent)Equities market-maker reductionsQQQQ/SPDR/Index market-maker/DPM reductionsEquities DPM trans. fees reductionsFloor brokerage reductions
1,300,00010$.022$.024$.012$.004
1,400,00015.033.036.018.006
1,500,00020.044.048.024.008
1,600,00025.055.060.030.010
1,700,00030.066.072.036.012
1,800,00035.077.084.042.014
1,900,00040.088.096.048.016
2,000,00045.099.108.054.018]

20. Cap on Member Firm Proprietary and Firm Facilitation Fees: Effective [February 2, 2004] February 1, 2006, the Exchange will cap Member Firm** Proprietary and Firm Facilitation fees at [$75,000] $100,000 per month per firm. Specifics of the plan are as follows:

  • Fees eligible for the cap program include Member Firm Proprietary and Firm Facilitation transaction [and trade match] fees in all products.
  • Member Firm Proprietary and Firm Facilitation orders must include designated firm origin codes (e.g. “F”) on trade input records to be eligible for the cap calculation.
  • Cap calculations will be performed after each month-end and credits will be processed in the next billing period.

License fees for Member Firm Proprietary and Firm Facilitation fee cap: Due to CBOE's obligation to pay license fees on many products, the Exchange will assess a ten cent per contract license fee on all licensed products, excluding OEX, after a firm has reached a cap on Member Firm Proprietary and Firm Facilitation fees for any month.

—*—

** This program applies to member organizations for orders for the proprietary account of any member or non-member broker dealer that derives more than 35% of its annual, gross revenues from commissions and principal transactions with customers. Member organizations will be required to verify this amount to the Exchange by Start Printed Page 11005certifying that they have reached this threshold and by submitting a copy of their annual report, which was prepared in accordance with Generally Accepted Accounting Principles (“GAAP”). In the event that a member organization has not been in business for one year, the most recent quarterly reports, prepared in accordance with GAAP, will be accepted.

21. DPM Linkage Fees Credits: PA Orders: [Effective October 1, 2005 through January 31, 2006,] CBOE will rebate DPM transaction fees generated from transactions against customer orders that underlie outbound principal acting as agent (PA) orders. In addition, when DPMs incur fees to execute PA orders at other exchanges, those DPMs will be credited up to an additional $.20 per contract, up to the amount of total fees CBOE receives from inbound linkage transaction fees. The foregoing credit is apportioned to DPMs pro-rata based on the number of contracts executed by each DPM at other exchanges via PA orders. This program shall expire upon the earlier of: (i) Thirty days after Commission approval of use of an Exchange account to send and respond to PA orders; or (ii) July 31, 2006 (the expiration date of the Linkage fees pilot program).

P Orders: Effective February 1, 2006, CBOE will rebate DPM transaction fees generated from transactions against broker-dealer orders (“B” or “F” origin) that underlie outbound principal (P) orders (“CBOE Transactions”). In addition, when DPMs incur fees to execute such P orders at other exchanges (“Away Transactions”), those DPMs will be credited up to an additional $.20 per contract. CBOE will also credit DPMs up to an additional $.09 per contract on both CBOE Transactions and Away Transactions to help offset Options Clearing Corporation (OCC) and clearing firm fees incurred by DPMs on those transactions. The foregoing credits are up to the amount of total fees CBOE receives from inbound linkage transaction fees. The $.20 per contract credit is apportioned to DPMs pro-rata based on the number of contracts executed by each DPM in connection with Away Transactions. The $.09 per contract credit is apportioned to DPMs pro-rata based on the number of contracts executed by each DPM in connection with both CBOE Transactions and Away Transactions.

22. Reserved

23. Fixed Annual Fee Alternative for DPMs and e-DPMs: Effective [October 1, 2004] February 1, 2006, DPMs and e-DPMs may elect to pay a fixed annual fee of [$1.75] $2.25 million instead of being assessed transaction fees on a per contract basis for their DPM , [and] e-DPM and RMM transactions only in all equity option classes. The fixed fee does not cover any floor brokerage fees. DPMs electing to pay the fixed fee will neither be charged CBOE transaction fees for CBOE transactions related to outgoing P/A orders or P orders (as defined in section 21 of this Fees Schedule), nor will they receive the rebate for such fees as set forth in Section 21 of this Fees Schedule. However, [pursuant to the second phase of linkage fee relief set forth in section 21 of this Fee Schedule,] all CBOE DPMs, including those electing the fixed annual fee, [who pay transaction fees at other exchanges to execute P/A orders there, will receive a credit of up to $.20 per contract (with the total of such credits not to exceed the total amount of inbound linkage transaction fees received by CBOE) to help offset the transaction fees of other exchanges that CBOE DPMs incur in filling P/A orders at those exchanges] are eligible to receive the $.20 per contract and $.09 per contract credits set forth in section 21 of this Fees Schedule.

[Effective July 1, 2005, DPMs and e-DPMs who elect the fixed annual fee alternative described above may elect to pay an RMM fixed annual fee of $250,000 instead of being assessed transaction fees on a per contract basis for their RMM transactions only in all equity options.]

If a DPM or e-DPM who has elected the fixed annual fee alternative merges or combines operations with a DPM or e-DPM who has not elected the fixed annual fee alternative, then the fixed annual fee will be increased and assessed to the surviving DPM/e-DPM entity. The amount of the increase will be based on the number of contracts traded and transaction fees paid during the previous twelve months by the DPM or e-DPM organization who had not previously elected the fixed annual fee alternative. The amount of the increase will be prorated based on the amount of time remaining in the then current year of the fixed fee annual program. If two DPMs or e-DPMs who elected the fixed annual fee alternative merge or combine operations, the fixed fee paid to CBOE by these two organizations will be unaffected. No adjustments or refunds will be made to either entity.

Remainder of Fees Schedule—Unchanged.

II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

In its filing with the Commission, the Exchange included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change

1. Purpose

The purpose of this proposed rule change is to amend the CBOE Fees Schedule to make various fee changes. The proposed changes are the product of the Exchange's annual budget review. The Exchange proposes to amend the fees as noted below.

a. Equity Options DPM Transaction Fee

The Exchange proposes to increase the equity options Designated Primary Market-Maker (“DPM”) transaction fee. The Exchange believes that increasing this fee is appropriate given that DPM costs are expected to decrease as the result of implementation of the PAR Official program.[6] The current equity options DPM transaction fee is $.12 per contract. The Exchange proposes to increase the fee to $.14 per contract as of March 1, 2006 to coincide with the PAR Official program roll-out, which is expected to be completed in February 2006.

b. Floor Brokerage Fees

The Exchange proposes to eliminate floor brokerage fees in all products except options on the Jumbo Dow Jones Industrial Average (“DXL”), options on the S&P 100 index (“OEX”) and options on the S&P 500 index (“SPX”). Effective February 1, 2006, only floor brokers executing orders in DXL, OEX and SPX options will be charged the $.04 floor Start Printed Page 11006brokerage fee and the $.02 fee for crossed orders.[7] The Exchange believes eliminating floor brokerage fees in the foregoing manner will make the Exchange's fees more competitive with the floor brokerage fees charged by other exchanges.

c. Customer Large Trade Discount Program

The Exchange proposes to include options on the Mini-Nasdaq-100 index (“MNX”) in the Customer Large Trade Discount program. The Customer Large Trade Discount program provides a discount in the form of a cap on the quantity of customer contracts that are assessed transaction fees for most CBOE index options.[8] When the program was first established in July 2003,[9] MNX options were not included since MNX customer transaction fees had been significantly reduced in June 2002.[10] The Exchange now proposes to include MNX options in the program, effective February 1, 2006. MNX regular customer transaction fees will only be charged up to the first 3,000 contracts per order.

d. Prospective Fee Reduction Program

The Exchange proposes to modify and continue its Prospective Fee Reduction Program for fiscal year 2006. The Program is intended to limit Market-Maker and DPM fees in periods of high volume.[11] The thresholds for fee reductions have been reviewed and adjusted, as they are each year, to account for the anticipated working capital needs of the Exchange for the coming year. Fee reductions will be in effect February 1, 2006 under the scenarios noted below.

If CBOE volume exceeds 2,300,000 contracts per day (“CPD”) at the end of any month on a fiscal year-to-date (“YTD”) basis, Market-Maker and DPM transaction and floor brokerage fees will be reduced in the subsequent month by 10% per contract from standard rates. If CBOE volume exceeds 2,550,000 CPD at the end of any month on a fiscal YTD basis, Market-Maker and DPM transaction and floor brokerage fees will be reduced in the subsequent month by 20% per contract from standard rates.

e. Member Firm Proprietary and Firm Facilitation Fee Cap

The Exchange currently caps member firm proprietary and firm facilitation fees at $75,000 per month per firm.[12] The Exchange proposes to increase the cap to $100,000 per month per firm. No other changes to the program are proposed.

f. Extension of DPM Linkage Fee Credit for P/A Orders

The Exchange, pursuant to section 21 of the CBOE Fees Schedule, credits DPMs for transaction fees they incur related to the execution of outbound principal acting as agent (“P/A”) orders, as defined in the Linkage Plan. This “DPM Linkage Fees Credit” is accomplished via a rebate and a credit, as follows: (i) The Exchange rebates transaction fees that DPMs incur when they trade against a customer order that underlies a P/A order the DPM sent through the Linkage; and (ii) the Exchange credits the DPMs up to an additional $.20 per contract to help offset some of the fees the DPMs incur for submitting P/A orders through the Linkage (this program is referred to herein as the “P/A Rebate Program”). The P/A Rebate Program is currently due to expire on January 31, 2006.[13]

The Exchange proposes to extend the P/A Rebate Program. A proposed amendment to the Linkage Plan has also been separately submitted to the Commission to permit an Exchange account, instead of the DPM's account, to be used by PAR Officials to send and respond to P/A orders (“Linkage Account Plan Amendment”).[14] When an Exchange account is used to send and respond to P/A orders, there would no longer be a need for the P/A Rebate Program. Therefore, the Exchange proposes to extend the P/A Rebate Program until the earlier of: (i) Thirty days after Commission approval of the Linkage Account Plan Amendment (i.e., Commission approval of use of an Exchange account to send and respond to P/A orders); or (ii) July 31, 2006, which is the expiration date of the Linkage fees pilot program. The thirty day time period after Commission approval of the Linkage Account Plan Amendment is intended to allow for the P/A Rebate Program to continue while the Exchange rolls-out the required systems changes needed to utilize the Exchange account.

g. DPM Linkage Fee Credit for Certain P Orders

The Exchange proposes to adopt a program similar to the P/A Rebate Program (but with one difference) to credit DPMs for transaction fees they incur related to the execution of outbound Principal orders on behalf of orders that are for the account of a broker-dealer (for purposes of the proposed program, such Principal orders are referred to as “P orders”). Specifically, the Exchange proposes to adopt a rebate program (“P Rebate Program”) under which: (i) The Exchange will rebate transaction fees that DPMs incur when they trade against a broker-dealer order (orders that are marked with either a “B” or “F” origin code) that underlies a P order the DPM sent through the Linkage; and (ii) the Exchange will credit DPMs up to an additional $.20 per contract to help offset some of the fees DPMs incur for submitting such P orders through the Linkage.[15]

In addition, the Exchange proposes to credit DPMs up to an additional $.09 per contract on both P order-related executions (the CBOE transaction against the broker-dealer order underlying the outbound P order and the P order transaction at another exchange), to help offset the OCC and clearing firm fees DPMs incur on those transactions.[16]

As under the P/A Rebate Program, the aggregate amount of the $.20 per contract and $.09 per contract credits for all DPMs under the P Rebate Program will be limited to no more than the total amount of fees that the Exchange earns from fees generated by inbound Linkage transaction fees. The $.20 per contract credit will be apportioned to DPMs pro-Start Printed Page 11007rata based on the number of contracts executed by each DPM at other exchanges via such P orders. The $.09 per contract credit will be apportioned to DPMs pro-rata based on the number of contracts executed by each DPM at CBOE against broker-dealer orders that underlie outbound P orders and at other exchanges via such P orders. A DPM will be expected to reimburse the Exchange to the extent that the funds received by the DPM via the P Rebate Program exceed the DPM's actual costs incurred in executing Linkage-related transactions.[17]

The purpose of the P Rebate Program is to further assist DPMs in offsetting the additional costs they incur in routing orders to other exchanges in order to obtain the National Best Bid or Offer (“NBBO”). Unlike the P/A Rebate Program, the P Rebate Program is not proposed to expire, except subject to the Linkage fees pilot specified in Footnote 8 of the CBOE Fees Schedule. The Exchange intends to implement the P Rebate Program on February 1, 2006.

h. Fixed Annual Fee

Pursuant to section 23 of the CBOE Fees Schedule, the Exchange offers a fixed annual fee program for DPMs and Electronic Designated Primary Market-Makers (“e-DPMs”). The program offers DPMs and e-DPMs the alternative of choosing a fixed annual fee of $2 million instead of being assessed transaction fees on a per contract basis for its DPM, e-DPM and Remote Market-Maker (“RMM”) transactions in equity options classes.[18]

The Exchange proposes to increase the DPM and e-DPM fixed annual fee for fiscal year 2006 to $2.25 million for DPM, e-DPM and RMM equity options transactions. No other changes to the program are proposed.

i. Miscellaneous, Non-substantive Changes

The Exchange proposes a few non-substantive changes to its Fees Schedule to remove references to fee waiver programs that have expired. Specifically, the Exchange proposes to delete Footnotes 17 and 18, which relate to expired fee waiver programs applicable to SPX LEAPS and XSP options. The Exchange also proposes to delete a reference to an expired member dues waiver program in section 10 of the Fees Schedule.

2. Statutory Basis

The CBOE believes that the proposed rule change is consistent with section 6(b) of the Act,[19] in general, and furthers the objectives of section 6(b)(4) [20] of the Act, in particular, in that it is designed to provide for the equitable allocation of reasonable dues, fees, and other charges among CBOE members and other persons using its facilities.

B. Self-Regulatory Organization's Statement on Burden on Competition

CBOE does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others

No written comments were solicited or received with respect to the proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action

Because the foregoing rule change establishes or changes a due, fee, or other charge imposed by the Exchange, it has become effective pursuant to section 19(b)(3)(A) of the Act [21] and subparagraph (f)(2) of Rule 19b-4 [22] thereunder. At any time within 60 days of the filing of the proposed rule change, the Commission may summarily abrogate such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act.[23]

IV. Solicitation of Comments

Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods:

Electronic Comments

Paper Comments

  • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.

All submissions should refer to File Number SR-CBOE-2006-10. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site (http://www.sec.gov/​rules/​sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of such filing also will be available for inspection and copying at the principal office of the CBOE. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-CBOE-2006-10 and should be submitted on or before March 24, 2006.

Start Signature

For the Commission, by the Division of Market Regulation, pursuant to delegated authority.[24]

Nancy M. Morris,

Secretary.

End Signature End Preamble

Footnotes

3.  15 U.S.C. 78s(b)(3)(A)(ii).

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5.  The Exchange intends for the proposed changes to the Fees Schedule to take effect on February 1, 2006.

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6.  On November 18, 2005, Commission approved a CBOE rule change that proposed to remove a DPM's obligation and ability to execute orders as an agent, including as a floor broker, in its allocated securities on the Exchange in any trading station and that allows the Exchange to appoint an Exchange employee or independent contractor (“PAR Official”) to assume much of the functions and obligations that DPMs previously held. See Securities Exchange Act Release No. 52798 (November 18, 2005), 70 FR 71344 (November 28, 2005).

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7.  See CBOE Fees Schedule, section 3. The Exchange also proposes a non-substantive change to Footnote 8 of the Fees Schedule regarding Linkage orders to reflect the changes to section 3. In addition, the Exchange notes that DXL, OEX and SPX options are currently singly-listed; therefore, orders for these options are not sent through the Intermarket Options Linkage (“Linkage”). Telephone conversation between Jaime Galvan, Assistant Secretary, CBOE and Nancy J. Sanow, Assistant Director, Geoffrey Pemble, Special Counsel, and Sara Gillis, Attorney, Division of Market Regulation, Commission on February 13, 2006.

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8.  See CBOE Fees Schedule, section 18.

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9.  See Securities Exchange Act Release No. 48223 (July 24, 2003), 68 FR 44978 (July 31, 2003).

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10.  See Securities Exchange Act Release No. 46045 (June 6, 2002), 67 FR 41284 (June 17, 2002).

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11.  See CBOE Fees Schedule, Section 19.

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12.  See CBOE Fees Schedule, Section 20, and Securities Exchange Act Release No. 49341 (March 1, 2004), 69 FR 10492 (March 5, 2004).

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13.  See Securities Exchange Act Release No. 53044 (December 30, 2005), 71 FR 957 (January 6, 2006).

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14.  Telephone conversation between Jaime Galvan, Assistant Secretary, CBOE and Nancy J. Sanow, Assistant Director, Geoffrey Pemble, Special Counsel, and Sara Gillis, Attorney, Division of Market Regulation, Commission on February 13, 2006.

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15.  The Exchange has represented that, although not specifically referenced in the rule text, this rebate program will be subject to the July 31, 2006 expiration of the Linkage fee pilot program noted in Footnote 8 of the Fees Schedule. Telephone conversation between Jaime Galvan, Assistant Secretary, CBOE and Nancy J. Sanow, Assistant Director, Geoffrey Pemble, Special Counsel, and Sara Gillis, Attorney, Division of Market Regulation, Commission on February 13, 2006.

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16.  The $.09 per contract credit is based on a estimated OCC fee of $.02 per contract and estimated average clearing firm fee of $.07 per contract.

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17.  Section 23 of the Fees Schedule, which includes a cross reference to section 21, is also proposed to be amended to reflect the changes to section 21.

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18.  The DPM and e-DPM fixed annual fee for 2005 was $1.75 million for DPM and e-DPM equity options transactions and $250,000 for RMM equity options transactions. See Securities Exchange Act Release No. 50058 (July 22, 2004), 69 FR 45861 (July 30, 2004), and Securities Exchange Act Release No. 51746 (May 26, 2005), 70 FR 32855 (June 6, 2005).

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[FR Doc. E6-3014 Filed 3-2-06; 8:45 am]

BILLING CODE 8010-01-P