News Release

Chicago Mercantile Exchange Holdings Inc. Announces Conference Call Regarding FXMarketSpace Joint Venture

Thu May 04 2006

CHICAGO, May 4 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) will hold an investor conference call today, May 4, at 8:30 a.m. Eastern Time (7:30 a.m. Central Time). The purpose of the call is to discuss the recently announced agreement between CME, the world's largest and most diverse financial exchange, and Reuters, the global information company, to create FXMarketSpace, the world's first centrally-cleared, global foreign exchange marketplace through a new 50/50 joint venture company.

A live audio Webcast of the conference call will be available on the Investor Relations section of the company's Web site, http://www.cme.com/. Following the conference call, an archived recording will be available at the same site. Those wishing to listen to the live conference via telephone should dial (800) 946-0713 if calling from within the United States or (719) 457-2642 if calling from outside the United States, at least 10 minutes before the call begins.

Chicago Mercantile Exchange Holdings Inc. became the first publicly traded U.S. financial exchange on Dec. 6, 2002. The company was added to the Russell 1000® Index on July 1, 2003. It is the parent company of Chicago Mercantile Exchange Inc. (http://www.cme.com/), the world's largest and most diverse financial exchange. As an international marketplace, CME brings together buyers and sellers on its trading floors and CME Globex® electronic trading platform. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange managed $47.0 billion in collateral deposits at March 31, 2006, including $3.8 billion in deposits for non-CME products.

Further information about Chicago Mercantile Exchange Holdings Inc. and Chicago Mercantile Exchange Inc. is available on the CME Web site at http://www.cme.com/ .

CME-G

SOURCE: Chicago Mercantile Exchange Holdings Inc.

CONTACT: Media Contacts - Pamela Plehn, +1-312-930-3446, or William H.
Parke, +1-312-930-3467, news@cme.com, Investor Contact - John Peschier,
+1-312-930-8491, all of Chicago Mercantile Exchange Holdings Inc.

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

Corporate Communications

+1 312 930 3434
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