News Release

Chicago Mercantile Exchange CEO to Participate in Morgan Stanley Conference

Mon May 08 2006

CHICAGO, May 8 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) announced today that Chief Executive Officer Craig Donohue will participate in a futures exchange panel at the Morgan Stanley Capital Markets Financial Conference in New York City on Tuesday, May 9, at approximately 9:30 a.m. (Eastern Time).

The presentation will be broadcast live over the Internet and can be accessed via the exchange's web site at http://investor.cme.com/ . Please allow extra time prior to the presentation to visit the site and download the streaming media software required to listen to the Internet broadcast.

Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) 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 futures exchange. 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 $47.0 billion in collateral deposits at March 31, 2006, including $3.8 billion in deposits for non-CME products.

Chicago Mercantile Exchange, CME, the globe logo and CME Globex are registered trademarks of Chicago Mercantile Exchange Inc. E-mini is a trademark of CME. CLEARING 21 is a registered trademark of CME and New York Mercantile Exchange, Inc. S&P, S&P 500, NASDAQ-100, Nikkei 225, Russell 1000, Russell 2000, 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/ .

CME-G

SOURCE: CME

CONTACT: Media, Anita Liskey, +1-312-466-4613, William Parke,
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