News Release

Chicago Mercantile Exchange Holdings Inc. Reports Record Revenues and Profits; Net Income Grew 29 Percent in First-Quarter 2006

Tue Apr 25 2006

CHICAGO, April 25 /PRNewswire-FirstCall/ -- Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME), today reported a 23 percent increase in net revenues to a record $263 million and a 29 percent increase in net income to a record $91 million for first-quarter 2006 compared with first-quarter 2005. These results were driven by record quarterly volumes across all product lines. Income before income taxes grew 27 percent to $151 million. Diluted earnings per share rose 28 percent to $2.61 from $2.04.

Average daily volume was a record 5.0 million contracts for first-quarter 2006, a 26 percent increase from first-quarter 2005. Trading on the CME Globex® electronic trading platform grew 31 percent from 2.6 million contracts per day in first-quarter 2005 to a record 3.4 million per day in first-quarter 2006. Electronic volume represented 69 percent of total CME volume in the quarter. In March, CME volume was a record 5.3 million contracts per day, up 24 percent from March 2005, and electronic volume rose 32 percent to a record 3.7 million contracts per day compared to March 2005.

"CME delivered record results across the board in the first quarter as we continued to broaden the reach of our products to customers around the world," said CME Chairman Terry Duffy. "Through our agreement with NYMEX, which adds energy products to the CME Globex electronic trading platform, we will be the only exchange in the world providing market participants with a complete array of benchmark derivatives products. As we continue to offer our customers products with deep liquidity and an unparalleled technology platform, we will further develop our business and drive future growth."

"We continue to invest in new technology that will spur further growth in electronic trading volume through increased speed and access for all users of our markets," said CME Chief Executive Officer Craig Donohue. "In March, we traded a record 3.7 million contracts per day on CME Globex, up 135 percent over the past two years. To continue this momentum, in the first quarter we signed an agreement with Hewlett Packard to fully integrate their new Integrity NonStop servers that incorporate Intel® Itanium® processors into CME Globex. The result will be an increase in capacity for our production and disaster recovery systems, with faster processing speeds and lower annual maintenance costs. These efforts are designed to create additional value for our shareholders by providing faster and more efficient service to our expanding global customer base."

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 rose 25 percent to $201 million from $161 million a year ago. Record quarterly average daily volume across all product lines fueled this growth. CME posted a 38 percent increase in foreign exchange product volume, to a record 407,000 contracts per day. In addition, CME interest rate volume increased 31 percent compared with the same quarter a year ago, averaging a record 2.9 million contracts per day; CME E-mini® products grew 14 percent, averaging a record 1.4 million contracts per day; and CME commodity products increased by 42 percent to a record 73,000 contracts per day.

The overall average rate per contract was 65.2 cents for the first quarter of 2006, down from 66.8 cents during the same quarter last year. The overall decrease in rate per contract was driven by an increase in CME Eurodollar options volume, our lowest priced major product offering and declining average rates within the foreign exchange product line.

Processing services generated $18 million in the first quarter, versus $17 million in first-quarter 2005. Quotation data fees were $20 million, versus $18 million in first-quarter 2005, due primarily to the price increase put in place at the beginning of January 2006.

Total expenses were $113 million for the first quarter of 2006, representing an 18 percent increase from $96 million for the same period in 2005, primarily due to the company's continued investment in technology. In 2006, the company expects overall expense growth in the 12 to 13 percent range compared to 2005.

Capital expenditures and capitalized software development costs were $17 million for first-quarter 2006, compared with $16 million for first- quarter 2005. For the full year of 2006, the company continues to expect total capital expenditures to range from $90 to $100 million.

Income before income taxes was $151 million for first-quarter 2006, compared with $118 million for the same period in 2005. Operating margin, defined as income before income taxes expressed as a percentage of net revenues, was 57 percent in first-quarter 2006, compared with 55 percent in first-quarter 2005.

The company reported net income of $91 million, or $2.61 per diluted share, for first-quarter 2006 compared with $71 million, or $2.04 per diluted share, for the same period in 2005.

CME's working capital increased $72 million during first-quarter 2006, to more than $1.0 billion at March 31, 2006.

CME will hold a conference call to discuss first-quarter results at 8:30 a.m. Eastern Time today. A live audio Web cast of the call will be available on the Investor Relations section of CME's Web site at . An archived recording will be available 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. ( ), 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 $47.0 billion in collateral deposits at March 31, 2006, including $3.8 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 .

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 agreement with the Chicago Board of Trade and NYMEX; 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 Annual Report on Form 10-K, 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)

                                             Mar. 31, 2006  Dec. 31, 2005
  Current Assets:
    Cash and cash equivalents                     $715,682       $610,891
    Collateral from securities lending           2,463,043      2,160,893
    Marketable securities, including
     pledged securities                            274,386        292,862
    Accounts receivable                            115,984         86,980
    Other current assets                            33,517         39,669
    Cash performance bonds and security
     deposits                                      585,572        592,127
  Total current assets                           4,188,184      3,783,422
  Property, net of accumulated depreciation
   and amortization                                152,560        153,329
  Other assets                                      50,282         32,643
  TOTAL ASSETS                                  $4,391,026     $3,969,394

  Current Liabilities:
    Accounts payable                               $16,403        $23,553
    Payable under securities lending
     agreements                                  2,463,043      2,160,893
    Other current liabilities                       98,023         53,354
    Cash performance bonds and security
     deposits                                      585,572        592,127
  Total current liabilities                      3,163,041      2,829,927
  Other liabilities                                 22,806         20,783
  Total liabilities                              3,185,847      2,850,710
  Shareholders' Equity                           1,205,179      1,118,684

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

                                                   Quarter Ended March 31,
                                                    2006           2005
    Clearing and transaction fees                 $200,797       $160,846
    Processing services                             18,125         16,796
    Quotation data fees                             20,100         17,777
    Access fees                                      4,878          4,732
    Communication fees                               2,226          2,366
    Investment income                               11,409          5,476
    Securities lending interest income              27,736         10,243
    Other                                            5,202          5,670
       TOTAL REVENUES                              290,473        223,906
    Securities lending interest expense            (27,097)        (9,716)
       NET REVENUES                                263,376        214,190

    Compensation and benefits                       49,837         43,929
    Communications                                   7,848          6,828
    Technology maintenance                           7,262          6,237
    Professional fees and outside services           8,131          5,545
    Depreciation and amortization                   17,387         14,791
    Occupancy                                        7,248          6,870
    Licensing and other fee agreements               5,932          3,967
    Marketing, advertising and public relations      3,096          2,238
    Other                                            6,134          5,643
      TOTAL EXPENSES                               112,875         96,048

  Income before income taxes                       150,501        118,142
  Income tax provision                             (59,088)       (47,257)
      NET INCOME                                   $91,413        $70,885

      Basic                                          $2.64          $2.07
      Diluted                                        $2.61          $2.04

  Weighted average number of common shares:
      Basic                                         34,581         34,166
      Diluted                                       35,044         34,718

                          1Q          2Q        3Q         4Q        1Q
                         2005        2005      2005       2005      2006
  Trading Days             61          64        64         63        62

             Average Daily Volume (Round Turns, in Thousands)

  Interest rates        2,235       2,577     2,489      2,209     2,918
  Equity E-mini         1,237       1,301     1,181      1,335     1,408
  Equity standard-size    129         124       124        147       152
  Foreign exchange        294         332       336        375       407
  Commodities              51          46        50         51        73
    Subtotal            3,946       4,380     4,180      4,117     4,958
  TRAKRS                   30          21        27        595       161
    Total               3,976       4,401     4,207      4,712     5,119

  Open outcry           1,276       1,210     1,263      1,107     1,467
   (including TRAKRS)   2,648       3,144     2,897      3,556     3,595
  Privately negotiated     52          47        47         49        57
    Total               3,976       4,401     4,207      4,712     5,119

                     Transaction Fees (in Thousands)

                         1Q         2Q         3Q         4Q         1Q
                        2005       2005       2005       2005       2006

  Interest rates     $ 71,003   $ 83,429   $ 79,955   $ 70,840   $ 89,194
  Equity E-mini        50,048     57,185     53,255     59,427     62,183
  Equity standard-size 10,319     10,552     11,125     13,271     13,452
  Foreign exchange     26,621     28,796     29,079     29,442     31,616
  Commodities           2,832      2,589      2,896      3,009      4,144
    Subtotal          160,823    182,551    176,310    175,989    200,589
  TRAKRS                   23         17         20        468        208
    Total            $160,846   $182,568   $176,330   $176,457   $200,797

  Open outcry         $36,987    $36,190    $37,438    $35,677    $43,406
    TRAKRS)           112,416    135,429    127,812    129,088    144,776
   negotiated          11,443     10,949     11,080     11,692     12,615
    Total            $160,846   $182,568   $176,330   $176,457   $200,797

                     Average Rate Per Contract (RPC)

                          1Q         2Q        3Q          4Q        1Q
                         2005       2005      2005        2005      2006

  Interest rates        $0.521     $0.506     $0.502     $0.509    $0.493
  Equity E-mini          0.663      0.687      0.705      0.706     0.712
  Equity standard-size   1.315      1.330      1.400      1.436     1.427
  Foreign exchange       1.483      1.357      1.353      1.246     1.253
  Commodities            0.904      0.870      0.904      0.944     0.915
  Average (excluding
   TRAKRS)              $0.668     $0.651     $0.659     $0.678    $0.652

  TRAKRS                 0.012      0.012      0.011      0.012     0.021
    Overall average
     RPC                $0.663     $0.648     $0.655     $0.594    $0.633

  Open outcry           $0.475     $0.467     $0.463     $0.512    $0.477
   (including TRAKRS)    0.696      0.673      0.690      0.576     0.650
   (excluding TRAKRS)    0.704      0.678      0.696      0.690     0.679
  Privately negotiated   3.611      3.615      3.674      3.759     3.583
    Overall average
     RPC                $0.663     $0.648     $0.655     $0.594    $0.633

SOURCE: Chicago Mercantile Exchange Holdings Inc.

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

Web site:

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