News Release

Chicago Mercantile Exchange Holdings Inc. Reports Record Revenues and Profits; Net Income Grew 33 percent in Second-Quarter 2006

Tue Jul 25 2006

CHICAGO, July 25 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) today reported a 23 percent increase in net revenues to a record $295 million and a 33 percent increase in net income for second-quarter 2006 compared with second-quarter 2005. Income before income taxes was up 32 percent to $180 million. Diluted earnings per share rose 32 percent to $3.12 from $2.36.

Average daily volume was a record 5.7 million contracts for second-quarter 2006, a 31 percent increase from second-quarter 2005. Trading on the CME® Globex® electronic trading platform grew 29 percent to 4.0 million contracts per day in second-quarter 2006 from 3.1 million per day in second-quarter 2005. Electronic volume represented 70 percent of total CME volume in the quarter. In June, CME volume was a record 6.4 million contracts per day, up 51 percent from June 2005, and electronic volume rose 46 percent to a record 4.4 million contracts per day compared with June 2005.

"CME finished a record quarter with unprecedented volumes across all product lines, particularly in June where volume increased 51 percent," said CME Chairman Terry Duffy. "During times of geopolitical uncertainty and heightened volatility, the business of managing risk becomes even more important for our users around the globe. We implemented several important technology enhancements last quarter that significantly improved transaction speed and expanded our capacity to handle record volume levels efficiently."

"Great execution in our core businesses led to record volumes, revenues, and earnings," said CME Chief Executive Officer Craig Donohue. "We also continue to expand our business beyond our traditional offerings. During the second quarter, we launched trade matching services for NYMEX energy futures on CME Globex; we created FXMarketSpace, a joint venture with Reuters, which will be the world's first centrally cleared global foreign exchange marketplace; and in early July we announced our acquisition of Swapstream, a leading multilateral trading platform for OTC interest rate swaps."

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.

Clearing and transaction fees increased 25 percent to $229 million, up from $183 million for second-quarter 2005. Record quarterly average daily volume across all product lines fueled this growth. CME posted a 34 percent increase in CME E-mini® product volume, to a record 1.7 million contracts per day. In addition, CME interest rate volume increased 26 percent compared with the same quarter a year ago, averaging a record 3.3 million contracts per day; CME FX products increased 42 percent, averaging a record 471,000 contracts per day; CME equity standard products grew 47 percent, averaging a record 173,000 contracts per day; and CME commodity products increased 53 percent, averaging a record 81,000 contracts per day.

Revenue from processing services rose 7 percent to $20 million and quotation data fees were up 16 percent to $21 million.

Total expenses increased 12 percent to $115 million, driven by higher license fees and ongoing investments in technology. In 2006, the company expects annual overall expense growth in the high end of its previously stated 12 to 13 percent range, following its acquisition of Swapstream.

Capital expenditures, including capitalized software development costs, were $23 million in second-quarter 2006. For the full year of 2006, the company continues to expect total capital expenditures to range from $90 to $100 million.

Second-quarter income before income taxes was $180 million, an increase of 32 percent from $136 million for the year-ago period. The company's record operating margin, defined as income before income taxes expressed as a percentage of net revenues, was 61 percent, compared with 57 percent for the same period last year.

CME's working capital increased by approximately $101 million during the second quarter, to more than $1.1 billion at June 30, 2006.

Six-Month Results

Average daily volume was 5.3 million contracts for the first half 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 30 percent year over year, to an average of 3.7 million contracts per day.

For the first six months of 2006, net revenues increased 23 percent to $559 million from $453 million for the first half of 2005. Clearing and transaction fees improved 25 percent to $429 million from $343 million a year ago, benefiting from higher trading volume. Processing services increased 8 percent, to $38 million from $36 million a year ago.

Total operating expenses were $228 million for the first half of 2006, an increase of 15 percent from $199 million for the comparable period in 2005.

Capital expenditures and capitalized software development costs were $40 million for the first six months of 2006.

Income before taxes was $330 million for the first half of 2006, up 30 percent versus the same period a year ago. The operating margin was 59 percent for the first six months of 2006, compared with 56 percent for the year-earlier period.

The company reported record net income of $201 million, or $5.73 per diluted share, for the first six months of this year, compared with $153 million, or $4.41 per diluted share, for the first half of 2005.

CME will hold a conference call to discuss second-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 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 $47.2 billion in collateral deposits at June 30, 2006, including $4.6 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: 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.

   CME-E



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

                                             Jun. 30, 2006  Dec. 31, 2005
  ASSETS
  Current Assets:
    Cash and cash equivalents                     $782,145       $610,891
    Collateral from securities lending           1,487,274      2,160,893
    Marketable securities, including
     pledged securities                            256,237        292,862
    Accounts receivable, net of allowance          128,687         84,974
    Other current assets                            48,174         41,675
    Cash performance bonds and security deposits   537,613        592,127
  Total current assets                           3,240,130      3,783,422
  Property, net of accumulated depreciation
   and amortization                                157,824        153,329
  Other assets                                      54,210         32,643
  TOTAL ASSETS                                  $3,452,164     $3,969,394

  LIABILITIES AND SHAREHOLDERS' EQUITY
  Current Liabilities:
    Accounts payable                               $23,363        $23,553
    Payable under securities lending agreements  1,487,274      2,160,893
    Other current liabilities                       65,919         53,354
    Cash performance bonds and security deposits   537,613        592,127
  Total current liabilities                      2,114,169      2,829,927
  Other liabilities                                 26,153         20,783
  Total liabilities                              2,140,322      2,850,710
  Shareholders' Equity                           1,311,842      1,118,684
  TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY    $3,452,164     $3,969,394



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

                            Quarter Ended            Six Months Ended
                               June 30,                  June 30,
                            2006         2005         2006         2005
  REVENUES
    Clearing and
     transaction fees   $228,519     $182,568     $429,316     $343,414
    Processing
     services             20,184       18,779       38,309       35,575
    Quotation data fees   20,579       17,783       40,679       35,560
    Access fees            4,875        4,754        9,753        9,486
    Communication fees     2,173        2,226        4,399        4,592
    Investment income     12,726        6,883       24,135       12,359
    Securities lending
     interest income      23,360       13,580       51,096       23,823
    Other                  5,660        5,613       10,862       11,283
      TOTAL REVENUES     318,076      252,186      608,549      476,092
    Securities lending
     interest expense    (22,769)     (13,065)     (49,866)     (22,781)
      NET REVENUES       295,307      239,121      558,683      453,311

  EXPENSES
    Compensation and
     benefits             48,055       44,967       97,892       88,896
    Communications         7,945        7,292       15,793       14,120
    Technology
     maintenance           7,656        7,042       14,918       13,279
    Professional fees and
     outside services      9,622        6,596       17,753       12,141
    Depreciation and
     amortization         17,596       16,071       34,983       30,862
    Occupancy              7,223        7,179       14,471       14,049
    Licensing and other
     fee agreements        6,929        4,230       12,861        8,197
    Marketing, advertising
     and public relations  3,987        3,312        7,083        5,550
    Other                  6,400        6,228       12,534       11,871
      TOTAL EXPENSES     115,413      102,917      228,288      198,965

  Income before
   income taxes          179,894      136,204      330,395      254,346
  Income tax provision   (70,361)     (53,978)    (129,449)    (101,235)
      NET INCOME        $109,533      $82,226     $200,946     $153,111

  EARNINGS PER SHARE:
      Basic                $3.16        $2.40        $5.81        $4.48
      Diluted              $3.12        $2.36        $5.73        $4.41

  Weighted average number
   of common shares:
      Basic               34,639       34,251       34,610       34,208
      Diluted             35,096       34,772       35,070       34,745



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


              Average Daily Volume (Round Turns, in Thousands)*

                     2Q           3Q           4Q          1Q          2Q
                   2005         2005         2005        2006        2006
  Interest
   rates          2,577        2,489        2,209       2,918       3,255
  Equity E-mini   1,301        1,181        1,336       1,408       1,748
  Equity
   standard-
   size             118          118          141         145         173
  Foreign
   exchange         332          336          375         407         471
  Commodities        52           56           56          80          81
    Subtotal      4,380        4,180        4,117       4,958       5,728
  TRAKRS             21           27          595         161         419
    Total         4,401        4,207        4,712       5,119       6,147
  Open outcry     1,210        1,263        1,107       1,467       1,657
  Electronic
   (including
   TRAKRS)        3,144        2,897        3,556       3,595       4,441
  Privately
   negotiated        47           47           49          57          49
    Total         4,401        4,207        4,712       5,119       6,147


                       Transaction Fees (in Thousands)*

                     2Q           3Q           4Q          1Q          2Q
                   2005         2005         2005        2006        2006
  Interest
   rates        $83,429      $79,955      $70,840     $89,194     $97,768
  Equity E-mini  57,185       53,255       59,427      62,183      76,889
  Equity
   standard-
   size          10,087       10,657       12,823      12,859      15,493
  Foreign
   exchange      28,796       29,079       29,442      31,616      33,212
  Commodities     3,054        3,364        3,457       4,737       4,673
    Subtotal    182,551      176,310      175,989     200,589     228,035
  TRAKRS             17           20          468         208         384
    Total      $182,568     $176,330     $176,457    $200,797    $228,419
  Open outcry   $36,190      $37,438      $35,677     $43,406     $50,067
  Electronic
   (including
   TRAKRS)      135,429      127,812      129,088     144,776     166,741
  Privately
   negotiated    10,949       11,080       11,692      12,615      11,611
    Total      $182,568     $176,330     $176,457    $200,797    $228,419


                       Average Rate Per Contract (RPC)*

                     2Q           3Q           4Q          1Q          2Q
                   2005         2005         2005        2006        2006
  Interest
   rates         $0.506       $0.502       $0.509      $0.493      $0.477
  Equity E-mini   0.687        0.705        0.706       0.712       0.698
  Equity
   standard-
   size           1.336        1.410        1.443       1.431       1.421
  Foreign
   exchange       1.357        1.353        1.246       1.253       1.119
  Commodities     0.909        0.937        0.975       0.953       0.921
    Average
     (excluding
     TRAKRS)     $0.651       $0.659       $0.678      $0.652      $0.632
  TRAKRS          0.012        0.011        0.012       0.021       0.015
    Overall
     average
     RPC         $0.648       $0.655       $0.594      $0.633      $0.590
  Open outcry    $0.467       $0.463       $0.512      $0.477      $0.480
  Electronic
   (including
   TRAKRS)        0.673        0.690        0.576       0.650       0.597
  Electronic
   (excluding
   TRAKRS)        0.678        0.696        0.690       0.679       0.657
  Privately
   negotiated     3.615        3.674        3.759       3.583       3.785
    Overall
     average
     RPC         $0.648       $0.655       $0.594      $0.633      $0.590

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

SOURCE: Chicago Mercantile Exchange Holdings Inc.

CONTACT: Media Contacts, Anita Liskey, +1-312-466-4613, or William
Parke, +1-312-930-3467, news@cme.com , or Investor Contact, John Peschier,
+1-312-930-8491, all of Chicago Mercantile Exchange Holdings Inc.

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

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