News Release

CME Credit Index Event Contract to Launch in May

Fri Mar 16 2007

CHICAGO, March 16 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse financial exchange today announced that CME Credit Index Event contracts are scheduled to begin trading on the CME Globex® electronic trading platform on Sunday, May 6, 2007, for a trade date of May 7, pending CFTC approval. The contract will be based on the CME North American Investment Grade High Volatility Index Series 1, which is comprised of 32 investment-grade, high-volatility reference entities. CME Credit Index Event contracts represent the first exchange-traded index product, based on North American reference entities, available to the credit derivatives market.

Credit derivatives are the fastest growing segment of the over-the-counter (OTC) derivatives market with more than $26 trillion notional value outstanding. The CME Credit Index Event contract will provide a transparent and liquid means of acquiring protection against the two most frequently declared credit events in this market, bankruptcy, and failure to pay.

"The CME Credit Index Event Contract will bring greater transparency as well as operational and balance sheet efficiencies to the credit derivatives market," said Robin Ross, Managing Director, CME Interest Rate Products. "We believe that our listed credit derivatives product will complement existing OTC products and bring new participants into the credit derivatives marketplace."

The 32 reference entities were selected based on their credit rating and are among the most actively traded names in the five-year credit default swap market. CME will constitute the index semiannually, in March and September, with original terms up to five years. The following reference entities are currently included in the index:

   CME North American Investment Grade High-Volatility Index, Series 1

         Reference Entity       Rating      Industry Sector           Weight
                                                                       (W)
  1    Arrow Electronics Inc     BBB       Consumer Cyclical          3.125%
  2        Autozone Inc          BBB       Consumer Cyclical          3.125%
  3      CBS Corporation         BBB   Communications and Technology  3.125%
  4        Centex Corp           BBB   Communications and Technology  3.125%
  5      CenturyTel Inc          BBB       Consumer Cyclical          3.125%
  6   Cox Communications Inc     BBB   Communications and Technology  3.125%
  7        Embarq Corp           BBB-      Consumer Cyclical          3.125%
  8        Expedia Inc           BBB-      Consumer Cyclical          3.125%
  9  Federated Department Stores BBB       Consumer Cyclical          3.125%
  10     InterActiveCorp         BBB       Consumer Cyclical          3.125%
  11  International Paper Co     BBB   Communications and Technology  3.125%
  12       JC Penney Co          BBB-      Consumer Cyclical          3.125%
  13  Jones Apparel Group Inc    BBB       Consumer Cyclical          3.125%
  14        Kroger Co            BBB       Consumer Cyclical          3.125%
  15       Lennar Corp           BBB   Communications and Technology  3.125%
  16     Limited Brands          BBB       Consumer Cyclical          3.125%
  17   MeadWestvaco Corp         BBB           Materials              3.125%
  18    Pulte Homes Inc          BBB       Consumer Cyclical          3.125%
  19  R R Donnelley & Sons Co    BBB           Industrial             3.125%
  20    RadioShack Corp          BBB           Industrial             3.125%
  21  Residential Capital Corp   BBB       Consumer Cyclical          3.125%
  22      Safeway Inc            BBB        Consumer Stable           3.125%
  23     Sara Lee Corp           BBB        Consumer Stable           3.125%
  24   Sherwin-Williams Co        A-           Materials              3.125%
  25     Sprint Nextel           BBB+  Communications and Technology  3.125%
  26  Starwood Hotels & Resorts  BBB       Consumer Cyclical          3.125%
        Worldwide Inc
  27   Temple-Inland Inc         BBB           Materials              3.125%
  28      The Gap Inc            BBB       Consumer Cyclical          3.125%
  29    Time Warner Inc          BBB       Consumer Cyclical          3.125%
  30   Toll Brothers Inc         BBB       Consumer Cyclical          3.125%
  31        Viacom               BBB   Communications and Technology  3.125%
  32     Whirlpool Corp          BBB           Industrial             3.125%

For more information on CME Credit Index Event contracts please visit http://www.cme.com/creditevent .

CME ( 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 the CME Globex® electronic trading platform and on its trading floors. CME offers futures and options on futures in these product areas: interest rates, stock indexes, foreign exchange, agricultural commodities, energy, and alternative investment products such as weather, real estate and economic derivatives. CME is a wholly-owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME), which is part of the Russell 1000® Index and the S&P 500® 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 Annual Report on Form 10-K, 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, CME Globex and E-mini are trademarks of Chicago Mercantile Exchange Inc. 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, Pamela Plehn, +1-312-930-3446, or Allan Schoenberg,
+1-312-930-8189, news@cme.com , or Investors, John Peschier, +1-312-930-8491,
all of CME, http://www.cme.com/mediaroom

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http://www.cme.com/creditevent

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