News Release

Chicago Mercantile Exchange Holdings Inc. Reports Record Results for 2006

Tue Jan 30 2007

CHICAGO, Jan. 30 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME) today reported a 26 percent increase in total revenues to $281 million and a 35 percent increase in net income to $103 million for fourth-quarter 2006 compared with fourth-quarter 2005. Income before income taxes was up 36 percent to $171 million. Diluted earnings per share rose 33 percent to $2.91 from $2.18.

The company also reported record total revenues and earnings for 2006. Total revenues climbed 22 percent to $1.1 billion for the year, compared with $890 million for 2005. Net income rose 33 percent to $407 million, versus $307 million a year ago. Diluted earnings per share increased 32 percent to $11.60 from $8.81 per diluted share in 2005.

"This past year marked the sixth consecutive year of record performance for CME as we continued to grow our business organically -- delivering volume growth of 25 percent or more across all product lines -- while expanding into new markets and building new alliances," said CME Executive Chairman Terry Duffy. "Most important, our proposed merger with the Chicago Board of Trade is expected to close midyear, pending shareholder and regulatory approval. This will enable us to serve customers more efficiently and effectively, and in turn further benefit our shareholders, as we position CME more strategically to better compete in the dynamic global marketplace."

"Successful execution of our growth strategy enabled CME to achieve record revenues and earnings in 2006, with overall volume surging 28 percent to more than 1.3 billion contracts and electronic trading expanding to 75 percent of total volume in the fourth quarter," said CME Chief Executive Officer Craig Donohue. "Our strong results reflect continued record annual volumes in foreign exchange and interest rate products and greater than expected NYMEX volume on CME Globex, which more than doubled from average daily volume of 175,000 contracts in the third quarter to average daily volume of 370,000 contracts in the fourth quarter."

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, CME Auction Markets products and Swapstream products.

Fourth-Quarter Results

For the fourth quarter of 2006, clearing and transaction fees rose 25 percent to $220 million from $176 million, reflecting a 29 percent increase in average daily volume to 5.3 million contracts for the quarter. The fourth- quarter growth was led by a 36 percent increase in foreign exchange product volume, to a record 508,000 contracts per day. In addition, CME interest rate volume increased 35 percent compared with the same quarter a year ago, averaging 3.0 million contracts per day; CME E-mini products grew 19 percent, averaging 1.6 million contracts per day; and CME commodity products increased by 27 percent with average daily volume of 72,000 contracts.

Processing services, which includes support for the Chicago Board of Trade, NYMEX and OneChicago, generated $28 million in the fourth quarter. This represents a 79 percent increase from $16 million for the same period in 2005. Quotation data fees were $20 million, versus $17 million in fourth- quarter 2005.

Total operating expenses were $123 million for the fourth quarter of 2006. This represents a 15 percent increase from $107 million for the same period in 2005, driven by compensation, professional fees and marketing-related costs. Capital expenditures, including capitalized software development costs, were $29 million for fourth-quarter 2006, compared with $25 million for the final quarter of 2005.

Fourth-quarter income before income taxes was $171 million, an increase of 36 percent from $126 million for the year-ago period. The company's pre-tax margin was 58 percent, compared with 54 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 more than $73 million during the fourth quarter, to $1.3 billion at December 31, 2006.

Full-Year 2006 Results

Average daily volume was 5.3 million contracts in 2006, up 28 percent from 4.2 million contracts 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 2006, revenue from clearing and transaction fees grew 24 percent to $866 million from $696 million a year ago, benefiting from higher trading volume. Processing services increased 31 percent to $90 million from $69 million a year ago.

Total operating expenses were $469 million for 2006, up 14 percent from $412 million for 2005. In 2007, the company expects operating expenses on a stand-alone basis to total $530 to $540 million, which includes a full-year of expenditures related to Swapstream, a European based market-leading multilateral electronic trading platform for interest rate swaps, CBOT merger planning, and costs associated with FXMarketSpace to support the service level agreements in place.

Capital expenditures and capitalized software development costs were $87 million for 2006, primarily due to continued investments in capacity related to volume growth and functionality. In 2007, the company expects capital expenditures to total between $110 and $115 million, on a stand-alone basis, net of leasehold allowances.

Income before income taxes was $672 million for 2006, compared with $508 million for 2005. The pre-tax margin was 59 percent, compared with 55 percent for the year-earlier period.

For the year 2006, the company paid dividends of $2.52 per common share, totaling $88 million.

During 2006, CME's working capital grew by $321 million.

CME will hold a conference call to discuss year-end and fourth-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 Globe Logo, Chicago Mercantile Exchange®, CME®, E-mini®, Globex®, Swapstream® and CME Auction Markets™ are trademarks of CME. 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.

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

                                                 December 31,   December 31,
                                                     2006           2005
  ASSETS
  Current Assets:
    Cash and cash equivalents                      $969,504       $610,891
    Collateral from securities lending            2,130,156      2,160,893
    Marketable securities, including
     pledged securities                             250,718        292,862
    Accounts receivable, net of allowance           121,128         84,974
    Other current assets                             37,566         41,675
    Cash performance bonds and security
     deposits                                       521,180        592,127
  Total current assets                            4,030,252      3,783,422
  Property, net of accumulated depreciation
   and amortization                                 168,755        153,329
  Other assets                                      107,498         32,643
  Total Assets                                   $4,306,505     $3,969,394

  LIABILITIES AND SHAREHOLDERS' EQUITY
  Current liabilities:
    Accounts payable                                $25,552        $23,553
    Payable under securities lending
     agreements                                   2,130,156      2,160,893
    Other current liabilities                        78,466         53,354
    Cash performance bonds and security
     deposits                                       521,180        592,127
  Total current liabilities                       2,755,354      2,829,927
  Other liabilities                                  32,059         20,783
  Total liabilities                               2,787,413      2,850,710
  Shareholders' equity                            1,519,092      1,118,684
  Total Liabilities and Shareholders' Equity     $4,306,505     $3,969,394




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

                                   Quarter Ended            Year Ended
                                    December 31,            December 31,
                                  2006        2005        2006        2005
  Revenues
    Clearing and transaction
     fees                      $219,774    $176,457    $866,089    $696,201
    Processing services          27,929      15,562      90,148      68,730
    Quotation data fees          20,100      17,370      80,836      71,741
    Access fees                   5,215       4,743      20,154      18,866
    Communication fees            2,047       2,140       8,588       8,964
    Other                         6,251       6,269      24,132      25,264
    Total Revenues              281,316     222,541   1,089,947     889,766

  Expenses
    Compensation and benefits    53,915      45,469     202,966     179,594
    Communications                8,096       8,621      31,580      31,098
    Technology support services   7,849       7,124      31,226      26,837
    Professional fees and
     outside services             9,064       7,146      34,290      26,850
    Depreciation and
     amortization                19,191      16,799      72,783      64,917
    Occupancy                     7,412       7,208      29,614      28,529
    Licensing and other fee
     agreements                   6,478       5,829      25,733      17,982
    Marketing, advertising
     and public relations         5,147       3,767      16,740      13,278
    Other                         5,909       5,191      24,160      23,054
    Total Expenses              123,061     107,154     469,092     412,139

  Operating Income              158,255     115,387     620,855     477,627

  Non-Operating Income and
   Expense
    Investment income            17,003      10,252      55,792      31,441
    Securities lending
     interest income             23,589      19,188      94,028      58,725
    Securities lending
     interest expense           (23,294)    (18,666)    (92,103)    (56,778)
    Equity in losses of
     unconsolidated
     subsidiaries                (4,805)       (419)     (6,915)     (2,636)
    Total Non-Operating          12,493      10,355      50,802      30,752

  Income Before Income Taxes    170,748     125,742     671,657     508,379

  Income tax provision          (68,146)    (49,462)   (264,309)   (201,522)
  Net Income                   $102,602     $76,280    $407,348    $306,857

  Earnings per Common Share:
    Basic                         $2.95       $2.21     $ 11.74      $ 8.94
    Diluted                        2.91        2.18       11.60        8.81

  Weighted Average Number
   of Common Shares:
    Basic                        34,812      34,476      34,696      34,315
    Diluted                      35,199      34,974      35,124      34,839

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 revenues. 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.

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


            Average Daily Volume (Round Turns, in Thousands)*

                                 4Q        1Q        2Q        3Q        4Q
                               2005      2006      2006      2006      2006
  Interest rates              2,209     2,918     3,255     3,148     2,990
  Equity E-mini               1,336     1,408     1,748     1,564     1,596
  Equity standard-size          141       145       173       154       147
  Foreign exchange              375       407       471       423       508
  Commodities                    56        80        81        78        72
    Subtotal                  4,117     4,958     5,728     5,367     5,313
  TRAKRS                        595       161       419       117       294
    Total                     4,712     5,119     6,147     5,484     5,607

  Open outcry                 1,107     1,467     1,657     1,517     1,293
  Electronic (including
   TRAKRS)                    3,556     3,595     4,441     3,917     4,261
  Privately negotiated           49        57        49        50        53
    Total                     4,712     5,119     6,147     5,484     5,607


                     Transaction Fees (in Thousands)*

                           4Q         1Q          2Q         3Q         4Q
                         2005       2006        2006       2006       2006
  Interest rates      $70,840    $89,194     $97,768    $98,306    $95,741
  Equity E-mini        59,427     62,183      76,889     70,194     71,111
  Equity standard-
   size                12,823     12,859      15,493     12,947     13,271
  Foreign exchange     29,442     31,616      33,212     30,576     34,752
  Commodities           3,457      4,737       4,673      4,597      4,257
    Subtotal          175,989    200,589     228,035    216,620    219,132
  TRAKRS                  468        208         384        244        344
    Total            $176,457   $200,797    $228,419   $216,864   $219,476

  Open outcry         $35,677    $43,406     $50,067    $45,429    $41,710
  Electronic
   (including
   TRAKRS)            129,088    144,776     166,741    160,295    165,399
  Privately
   negotiated          11,692     12,615      11,611     11,140     12,367
    Total            $176,457   $200,797    $228,419   $216,864   $219,476


                     Average Rate Per Contract (RPC)*

                           4Q          1Q          2Q         3Q         4Q
                         2005        2006        2006       2006       2006
  Interest rates       $0.509      $0.493      $0.477     $0.496     $0.508
  Equity E-mini         0.706       0.712       0.698      0.712      0.707
  Equity standard-size  1.443       1.431       1.421      1.338      1.430
  Foreign exchange      1.246       1.253       1.119      1.146      1.085
  Commodities           0.975       0.953       0.921      0.939      0.942
   Average (excluding
    TRAKRS)            $0.678      $0.652      $0.632     $0.641     $0.655
  TRAKRS                0.012       0.021       0.015      0.033      0.019
    Overall average
     RPC               $0.594      $0.633      $0.590     $0.628     $0.621

  Open outcry          $0.512      $0.477      $0.480     $0.475     $0.512
  Electronic
   (including TRAKRS)   0.576       0.650       0.597      0.652      0.616
  Electronic
   (excluding TRAKRS)   0.690       0.679       0.657      0.668      0.660
  Privately negotiated  3.759       3.583       3.785      3.545      3.713
    Overall average
     RPC               $0.594      $0.633      $0.590     $0.628     $0.621

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

CME-E

SOURCE: Chicago Mercantile Exchange Holdings Inc.

CONTACT: Media Contacts, Anita Liskey, +1-312-466-4613, or William
Parke, +1-312-930-3467, or 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/

Corporate Communications

+1 312 930 3434
Email