Chicago Mercantile Exchange Holdings Inc. Announces 2006 Annual Meeting

Chicago Mercantile Exchange Holdings Inc. (NYSE, Nasdaq: CME) today announced that its 2006 annual meeting of shareholders will be held at 4:00 p.m., Central Time, on Wednesday, April 26, 2006 in the Grand Ballroom of the Swissotel Chicago, located at 323 E. Wacker Drive, Chicago.

Chicago Mercantile Exchange Inc. ( http://www.cme.com ) is the largest and most diverse futures exchange in the world. As an international marketplace, CME brings together buyers and sellers on CME(R) Globex(R) electronic trading platform and on its trading floors. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.4 billion per day in settlement payments in the first three quarters of 2005 and managed $43.8 billion in collateral deposits at September 30, 2005, including $3.8 billion in deposits for non-CME products. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE, Nasdaq: CME), which is part of the Russell 1000(R) Index.