This is a partial transcript from "Your World with Neil Cavuto," April 6, 2005, that was edited for clarity.

NEIL CAVUTO, HOST: Well, next Monday could be a very hot under the collar day for one Warren Buffett (search). The world's most successful investor is reportedly scheduled to meet in New York that day with representatives from the Securities and Exchange Commission (search), the Justice Department and the New York Attorneys General Office.

Is the sage about to get seared? Let us ask SEC boss William Donaldson (search), who joins us now out of Washington.

Mr. Chairman, what's the deal here with Mr. Buffet?

WILLIAM DONALDSON, SEC CHAIRMAN: Well, I actually wouldn't have anything to do with commenting on that interview. As you know, we don't comment on that kind of stuff.

CAVUTO: All right, but is it fair to say that your commission is looking at him?

DONALDSON: Well, it's fair to say that he's being interviewed by us and others.

CAVUTO: Is there any significance when you interview people?

DONALDSON: No. Not necessarily.

CAVUTO: OK. So, with the New York Attorney General's Office, sir, there have been investigations as to General Re's connections — a Berkshire Hathaway arm — and its relationship with AIG. Is that something that you're looking at as well?

DONALDSON: You know, as I said, you know, the SEC doesn't comment on its investigations. I'm not going to comment on either interviewing people or investigations we may or may not have underway.

CAVUTO: What do you make of the changes that have already taken place at AIG? Mr. Greenberg has stepped down. There have been shakeups at the company. Mr. Spitzer, the New York attorney general, has indicated that it's very unlikely criminal charges will be filed — more likely civil charges. What do you make of that?

DONALDSON: As I say, you know, when we're looking at something, we don't have any comment on it.

CAVUTO: OK. Well, I tried what, about 10 different ways?

Let me ask you, Mr. Chairman, about the moves today, though, I guess in a simpler sense, make trading fairer for folks, but some of the market folks are claiming that you've actually sideswiped them. Why are they so upset?

DONALDSON: Well, I don't know what you mean by market folks, but you know, what we're doing is basically attempting, through new rules, to protect the concept that's always been there of the best bid or offer being honored by the marketplace, so the people, when they stick their neck out and put a bid out there, they can't be traded around. They get their bid hit, if you will, if they've got the best bid in the marketplace.

CAVUTO: So if I as an investor want to buy, let's say, 100 shares of IBM, does this new procedure in place assure me that I am getting that best price?

DONALDSON: It will assure you if your selling price, the limit order that you have put in is at the most favorable terms in the marketplace, anywhere, in any of the markets.

CAVUTO: But the various exchanges each claim sort of a one-upmanship over the other. The NASDAQ says, if you come here, you'll get the best deal. The New York Stock Exchange says if you come here, you'll get the best deal. How have you addressed these parochial concerns?

DONALDSON: Well, part of the new rule that we've put in, which has as the major aspect of it, the trade-through provision, will be applied to the New York Stock Exchange and all the floor-based exchanges and the NASDAQ market. So that's equal regulation. And the same protections, if you will, via a trade-through rule, apply to the NASDAQ market that applies to the New York Stock Exchange.

CAVUTO: Very quickly, Mr. Chairman, there are polls out among investors on how they feel these days. They still feel, many of them, that this is a rigged game. How can you assure them that it is not?

DONALDSON: Well, I think that, if you take a look at what the SEC has done over the last couple of years, you can see that we are, where we found fraud and people violating the law, we've gone after them with severe fines and penalties, and disbarments from serving as officers and directors and so forth.

So I think they must begin to realize that the cop is on the beat, if you will, and that people aren't going to be able to get away with breaking the law.

CAVUTO: How would you feel if Mr. Spitzer becomes governor of New York? I mean, you guys have had this sort of on-again, off-again — I don't know if acrimonious is the word, a chilly relationship. How would you feel?

DONALDSON: That's not so. I think Eliot Spitzer has done a good job. You know, we've been cooperating with him and he with us on further investigations. So, you know, in the professional sense, you know, we're not chilly. We've been cooperating.

We disagree with him on some of the remedies. We disagree with, you know, when we're investing late trading and market timing, a remedy that would affect the fees that mutual funds are paying. We think the market should determine fees. But beyond that, we've been partners in a lot of this.

CAVUTO: All right. Thank you very much, Mr. Donaldson. Always a pleasure.

DONALDSON: Thanks.

CAVUTO: Chairman of the Securities and Exchange Commission, Bill Donaldson.

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