News Release

CME Sets Record as Open Interest Exceeds 40 Million Positions

Tue Feb 28 2006

CHICAGO, Feb. 28 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange, today reported that it had achieved an open interest record on Monday, Feb. 27, with more than 40 million positions open, excluding Total Return Asset Contracts® (TRAKRS) and CME Economic Auctions. Open interest is the number of contracts that have been opened with either a purchase or sale, but not closed with an offsetting transaction.

  Individual open interest records set yesterday for CME products include:

   Eurodollar Options:                  23,799,667
   Eurodollar Futures:                  10,006,439
   Lean Hogs:                              149,678
   Swiss Franc:                            134,461
   New York City Weather:                    7,409
   Cash Butter:                              3,670

Chicago Mercantile Exchange Inc. ( http://www.cme.com/ ) is the world's largest and most diverse financial exchange. As an international marketplace, CME brings together buyers and sellers on CME Globex electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.4 billion per day in settlement payments in 2005 and managed $45.6 billion in collateral deposits at December 30, 2005, including $3.2 billion in deposits for non-CME products. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME), which is part of the Russell 1000® Index.

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. 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 can be obtained at its Web site at http://www.sec.gov/ . We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.

Chicago Mercantile Exchange, CME, the globe logo and CME Globex are registered trademarks of Chicago Mercantile Exchange Inc. Further information about CME and its products is available on the CME Web site at http://www.cme.com/ .

CME-G

First Call Analyst:
FCMN Contact:

SOURCE: CME

CONTACT: Media, Allan Schoenberg, +1-312-930-8189, or Pamela Plehn,
+1-312-930-3446, news@cme.com , or Investors, John Peschier, +1-312-930-8491,
all of CME, http://www.cme.com/mediaroom

Web site: http://www.cme.com/

Corporate Communications

+1 312 930 3434
Email