News Release

Chicago Mercantile Exchange Holdings Inc. Reports Strong Revenues and a 34 Percent Increase in Net Income for Third-Quarter 2006

Tue Oct 24 2006

CHICAGO, Oct. 24 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) today reported a 22 percent increase in total revenues to $275 million and a 34 percent increase in net income to $104 million for third-quarter 2006 compared with third-quarter 2005. Income before income taxes was up 33 percent to $171 million. Diluted earnings per share rose 33 percent to $2.95 from $2.22.

Average daily volume reached 5.4 million contracts during third-quarter 2006, a 28 percent increase from third-quarter 2005. Trading on the CME® Globex® electronic trading platform grew 32 percent to 3.8 million contracts per day in third-quarter 2006 from 2.9 million per day in third-quarter 2005. Electronic volume represented 71 percent of total CME volume in the quarter. Total third-quarter options volume averaged 1.3 million contracts per day, up 39 percent compared with third-quarter 2005. Electronic options volume averaged a record 148,000 contracts per day for the quarter, nearly tripling from the same period a year ago, and representing a record 12 percent of total CME options volume in the quarter.

"After concluding another impressive quarter, we announced our proposed merger with the Chicago Board of Trade, which will create the world's leading derivatives exchange," said CME Chairman Terry Duffy. "Building on our successful common clearing agreement, this merger will enable us to provide customers more diverse and innovative products across all asset classes, increased operational efficiencies, wider global distribution and unsurpassed liquidity. It will strengthen our ability to compete going forward and help maintain Chicago's position as the center of global risk management."

"Our strong financial results in the third quarter were driven by solid execution in our core business," said CME Chief Executive Officer Craig Donohue. "During the quarter, we continued to deliver impressive volume growth compared to third-quarter 2005, with each product line up by more than 25 percent. In addition, we significantly increased NYMEX volume on the CME Globex platform during the quarter to more than 11 million contracts traded, and we increased the number of FXMarketSpace early adopters, which now include the 16 of the top 20 FX banks in the world."

Clearing and transaction fees increased 23 percent to $217 million, up from $176 million for third-quarter 2005. Revenue from processing services rose 36 percent to $24 million and quotation data fees were up 7 percent to $20 million.

Total expenses increased 11 percent to $118 million, driven by increased compensation-related, technology maintenance and licensing expenses.

Capital expenditures, including capitalized software development costs, were $19 million in third-quarter 2006.

Third-quarter income before income taxes was $171 million, an increase of 33 percent from $128 million for the year-ago period. The company's pre-tax margin was 59 percent, compared with 55 percent for the same period last year. Pre-tax margin is defined as income before income taxes expressed as a percentage of total revenues added to total non-operating income and expense.

CME's working capital increased by approximately $76 million during the third quarter, to more than $1.2 billion at September 30, 2006.

Nine-Month Results

Average daily volume was 5.4 million contracts for the first nine months of 2006, up 28 percent from 4.2 million contracts in the same time period in 2005. Volume on the CME Globex electronic platform increased 31 percent year over year to an average of 3.8 million contracts per day.

For the first nine months of 2006, total revenues increased 21 percent to $809 million from $667 million for the first nine months of 2005. Clearing and transaction fees improved 24 percent to $646 million from $520 million a year ago, benefiting from higher trading volume. Processing services increased 17 percent, to $62 million from $53 million a year ago.

Total operating expenses were $346 million for the first nine months of 2006, an increase of 13 percent from $305 million for the comparable period in 2005.

Capital expenditures and capitalized software development costs were $58 million for the first nine months of 2006.

Income before taxes was $501 million for the first nine months of 2006, up 31 percent versus the same period a year ago. The pre-tax margin was 59 percent for the first nine months of 2006, compared with 56 percent for the year-earlier period.

The company reported net income of $305 million, or $8.68 per diluted share, for the first nine months of this year, compared with $231 million, or $6.63 per diluted share, for the first nine months of 2005.

CME will hold a conference call to discuss third-quarter results at 8:30 a.m. Eastern Time today. A live audio Webcast of the call will be available on the Investor Relations section of CME's Web site at http://www.cme.com/ . An archived recording will be available for up to two months after the call.

Chicago Mercantile Exchange Holdings Inc. became the first publicly traded U.S. financial exchange on Dec. 6, 2002. The company was added to the S&P 500® Index on August 10, 2006, and the Russell 1000® Index on July 1, 2003. It is the parent company of Chicago Mercantile Exchange Inc. ( http://www.cme.com/ ), the largest and most diverse financial exchange in the world. As an international marketplace, CME brings together buyers and sellers on its CME Globex electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in interest rates, equities, foreign exchange and commodities. The exchange managed $43.3 billion in collateral deposits at September 30, 2006, including $4.8 billion in deposits for non-CME products.

Chicago Mercantile Exchange, CME and Globex are registered trademarks of Chicago Mercantile Exchange Inc. E-mini is a trademark of CME. TRAKRS, Total Return Asset Contracts and other trade names, service marks, trademarks and registered trademarks that are not proprietary to Chicago Mercantile Exchange Inc. are the property of their respective owners, and are used herein under license. Further information about CME and its products is available on the CME Web site at http://www.cme.com/ .

Statements in this news release that are not historical facts are forward- looking statements. These statements are not guarantees of future performance and involve risks, uncertainties and assumptions that are difficult to predict. Therefore, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statements. Among the factors that might affect our performance are: our ability to obtain the required approvals for our proposed merger with CBOT Holdings, Inc. and our ability to realize the benefits and control the costs of the proposed transaction; increasing competition by foreign and domestic competitors, including new entrants into our markets; our ability to keep pace with rapid technological developments, including our ability to complete the development and implementation of the enhanced functionality required by our customers; our ability to continue introducing competitive new products and services on a timely, cost-effective basis, including through our electronic trading capabilities, and our ability to maintain the competitiveness of our existing products and services; our ability to adjust our fixed costs and expenses if our revenues decline; our ability to continue to realize the benefits of our transaction processing services provided to third parties; our ability to maintain existing customers and attract new ones; our ability to expand and offer our products in foreign jurisdictions; changes in domestic and foreign regulations; changes in government policy, including policies relating to common or directed clearing; the costs associated with protecting our intellectual property rights and our ability to operate our business without violating the intellectual property rights of others; our ability to generate revenue from our market data that may be reduced or eliminated by the growth of electronic trading; changes in our rate per contract due to shifts in the mix of the products traded, the trading venue and the mix of customers (whether the customer receives member or non-member fees or participates in one of our various incentive programs) and the impact of our tiered pricing structure; the ability of our financial safeguards package to adequately protect us from the credit risk of our clearing firms; changes in price levels and volatility in the derivatives markets and in underlying fixed income, equity, foreign exchange and commodities markets; economic, political and market conditions; our ability to accommodate increases in trading volume without failure or degradation of performance of our systems; our ability to execute our growth strategy and maintain our growth effectively; our ability to manage the risks and control the costs associated with our acquisition, investment and alliance strategy; industry and customer consolidation; decreases in trading and clearing activity; the imposition of a transaction tax on futures and options on futures transactions; and seasonality of the derivatives business. More detailed information about factors that may affect our performance may be found in our filings with the Securities and Exchange Commission, including our most recent Quarterly Report on Form 10-Q, which is available in the Investor Information section of the CME Web site. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.

All references to volume and rate per contract information in the text of this document exclude our non-traditional TRAKRS® products, for which CME receives significantly lower clearing fees than other CME products, and CME Auction Markets™ products.

        Chicago Mercantile Exchange Holdings Inc. and Subsidiaries
                       Consolidated Balance Sheets
                          (dollars in thousands)


                                                 September 30,  December 31,
                                                       2006           2005
  ASSETS
  Current Assets:
     Cash and cash equivalents                       $868,624       $610,891
     Collateral from securities lending             1,356,940      2,160,893
     Marketable securities, including pledged
      securities                                      268,930        292,862
     Accounts receivable, net of allowance            125,995         84,974
     Other current assets                              37,811         41,675
     Cash performance bonds and security deposits     590,046        592,127
  Total current assets                              3,248,346      3,783,422
  Property, net of accumulated depreciation
   and amortization                                   158,068        153,329
  Other assets                                         89,207         32,643
  Total Assets                                     $3,495,621     $3,969,394

  LIABILITIES AND SHAREHOLDERS' EQUITY
  Current liabilities:
     Accounts payable                                 $25,816        $23,553
     Payable under securities lending agreements    1,356,940      2,160,893
     Other current liabilities                         73,888         53,354
     Cash performance bonds and security deposits     590,046        592,127
  Total current liabilities                         2,046,690      2,829,927
  Other liabilities                                    27,846         20,783
  Total liabilities                                 2,074,536      2,850,710
  Shareholders' equity                              1,421,085      1,118,684
  TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY       $3,495,621     $3,969,394



        Chicago Mercantile Exchange Holdings Inc. and Subsidiaries
                    Consolidated Statements of Income
                 (in thousands, except per share amounts)

                              Quarter Ended           Nine Months Ended
                              September 30,             September 30,
                            2006         2005         2006         2005
  Revenues
    Clearing and
     transaction fees     $216,999     $176,330     $646,315     $519,744
    Processing services     23,910       17,593       62,219       53,168
    Quotation data fees     20,057       18,811       60,736       54,371
    Access fees              5,186        4,637       14,939       14,123
    Communication fees       2,142        2,232        6,541        6,824
    Other                    6,411        6,103       17,881       18,995
    Total Revenues         274,705      225,706      808,631      667,225

  Expenses
    Compensation and
     benefits               51,159       45,229      149,051      134,125
    Communications           7,691        8,357       23,484       22,477
    Technology support
     services                8,459        6,434       23,377       19,713
    Professional fees and
     outside services        7,473        7,563       25,226       19,704
    Depreciation and
     amortization           18,609       17,256       53,592       48,118
    Occupancy                7,731        7,272       22,202       21,321
    Licensing and other
     fee agreements          6,394        3,956       19,255       12,153
    Marketing, advertising
     and public relations    4,510        3,961       11,593        9,511
    Other                    5,717        5,992       18,251       17,863
    Total Expenses         117,743      106,020      346,031      304,985

  Operating Income         156,962      119,686      462,600      362,240

  Non-Operating Income
   and Expense
    Investment income       14,654        8,830       38,789       21,189
    Securities lending
     interest income        19,343       15,714       70,439       39,537
    Securities lending
     interest expense      (18,943)     (15,331)     (68,809)     (38,112)
    Equity in losses of
     unconsolidated
     subsidiaries           (1,502)        (608)      (2,110)      (2,217)
    Total Non-Operating     13,552        8,605       38,309       20,397

  Income Before Income
   Taxes                   170,514      128,291      500,909      382,637

  Income tax provision     (66,714)     (50,825)    (196,163)    (152,060)
  Net Income              $103,800      $77,466     $304,746     $230,577

  Earnings per Common Share:
    Basic                    $2.99        $2.25        $8.79       $ 6.73
    Diluted                   2.95         2.22         8.68         6.63

  Weighted Average Number
   of Common Shares:
    Basic                   34,749       34,370       34,657       34,262
    Diluted                 35,153       34,891       35,098       34,793


  Note:  Beginning in the third quarter of 2006, the following income
  statement items have been reclassified from revenue to non-operating
  income and expense in the consolidated statements of income: investment
  income, securities lending interest income and expense, and equity in
  losses of unconsolidated subsidiaries. The equity in losses of
  unconsolidated subsidiaries was previously included as part of other
  income.  All other items were included separately in the income statement.
  The presentation of these items has been changed to more closely conform
  to the Securities and Exchange Commission's Article 5 of Regulation S-X.



                     3Q           4Q           1Q          2Q          3Q
                   2005         2005         2006        2006        2006
  Trading Days       64           63           62          63          63


            Average Daily Volume (Round Turns, in Thousands)*


                     3Q           4Q           1Q          2Q          3Q
                   2005         2005         2006        2006        2006
  Interest rates  2,489        2,209        2,918       3,255       3,148
  Equity E-mini   1,181        1,336        1,408       1,748       1,564
  Equity
   standard-size    118          141          145         173         154
  Foreign exchange  336          375          407         471         423
  Commodities        56           56           80          81          78
    Subtotal      4,180        4,117        4,958       5,728       5,367
  TRAKRS             27          595          161         419         117
    Total         4,207        4,712        5,119       6,147       5,484

  Open outcry     1,263        1,107        1,467       1,657       1,517
  Electronic
   (including
   TRAKRS)        2,897        3,556        3,595       4,441       3,917
  Privately
   negotiated        47           49           57          49          50
    Total         4,207        4,712        5,119       6,147       5,484



                     Transaction Fees (in Thousands)*

                     3Q           4Q           1Q          2Q          3Q
                   2005         2005         2006        2006        2006
  Interest
   rates        $79,955      $70,840      $89,194     $97,768     $98,306
  Equity E-mini  53,255       59,427       62,183      76,889      70,194
  Equity
   standard-size 10,657       12,823       12,859      15,493      12,947
  Foreign
   exchange      29,079       29,442       31,616      33,212      30,576
  Commodities     3,364        3,457        4,737       4,673       4,597
    Subtotal    176,310      175,989      200,589     228,035     216,620
  TRAKRS             20          468          208         384         244
    Total      $176,330     $176,457     $200,797    $228,419    $216,864

  Open outcry   $37,438      $35,677      $43,406     $50,067     $45,429
  Electronic
   (including
   TRAKRS)      127,812      129,088      144,776     166,741     160,295
  Privately
   negotiated    11,080       11,692       12,615      11,611      11,140
    Total      $176,330     $176,457     $200,797    $228,419    $216,864



                     Average Rate Per Contract (RPC)*

                     3Q           4Q           1Q          2Q          3Q
                   2005         2005         2006        2006        2006
  Interest
   rates         $0.502       $0.509       $0.493      $0.477      $0.496
  Equity E-mini   0.705        0.706        0.712       0.698       0.712
  Equity
   standard-size  1.410        1.443        1.431       1.421       1.338
  Foreign
   exchange       1.353        1.246        1.253       1.119       1.146
  Commodities     0.937        0.975        0.953       0.921       0.939
    Average
    (excluding
    TRAKRS)      $0.659       $0.678       $0.652      $0.632      $0.641
  TRAKRS          0.011        0.012        0.021       0.015       0.033
    Overall
     average
     RPC         $0.655       $0.594       $0.633      $0.590      $0.628
  Open outcry    $0.463       $0.512       $0.477      $0.480      $0.475
  Electronic
   (including
   TRAKRS)        0.690        0.576        0.650       0.597       0.652
  Electronic
   (excluding
   TRAKRS)        0.696        0.690        0.679       0.657       0.668
  Privately
   negotiated     3.674        3.759        3.583       3.785       3.545
    Overall
     average RPC $0.655       $0.594       $0.633      $0.590      $0.628

*Note: All volume, transaction fee data, and rate per contract information exclude CME Auction Markets™ products.

CME-E

SOURCE: Chicago Mercantile Exchange Holdings Inc.

CONTACT: Media Contacts, Anita Liskey, +1-312-466-4613, or
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