Chicago Mercantile Exchange Holdings Inc. Reports Record Revenues and a 44 Percent Increase in Net Income for Second-Quarter 2005; Diluted Earnings Per Share Rose 42 Percent to $2.36Declares Quarterly Dividend of 46 Cents Per Share CHICAGO, July 26, 2005 - Chicago Mercantile Exchange Holdings Inc. (NYSE, NASDAQ: CME) today reported record revenues and profits, with a 44 percent increase in net income for second-quarter 2005 compared with second-quarter 2004. These results were driven by significantly increased trading volume in each of CME’s major product lines. Net revenues climbed 28 percent to a record $239 million, income before income taxes was up 41 percent to $136 million, and net income rose 44 percent to $82 million. Diluted earnings per share rose 42 percent to $2.36 from $1.66. Yesterday, the company declared a third-quarter dividend of 46 cents per share, payable on September 26, 2005 to shareholders of record on September 9, 2005. Second Quarter 2005 Earnings