SecProbe.io

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549-7010
         DIVISION OF
CORPORATION FINANCE

January 23, 2007

Mail Stop 7010

By U.S. Mail and facsimile to (312) 407-8522

Kathleen M. Cronin
Managing Director, General Couns el and Corporate Secretary
Chicago Mercantile Exchange Holdings Inc.
20 South Wacker Drive
Chicago, Illinois 60606

Re:  Chicago Mercantile Exchange Holdings Inc.
 Registration Statement on Form S-4
Filed December 21, 2006
 File No. 333-139538

Dear Ms. Cronin:

We have reviewed your filings and have the following comments.  Where
indicated, we think you should re vise your documents in response to these comments.  If
you disagree, we will consider your explanation as to why our comment is inapplicable or
a revision is unnecessary.  Please be as deta iled as necessary in your explanation.  In
some of our comments, we may ask you to provide us with supplemental information so
we may better understand your disclosure.  After reviewing this information, we may
raise additional comments.

Please understand that the purpose of our re view process is to assist you in your
compliance with the applicable disclosure  requirements and to  enhance the overall
disclosure in your filing.  We look forward to  working with you in these respects.  We
welcome any questions you may have about our comments or any other aspect of our review.  Feel free to call us at the telephone numbers listed at the end of this letter.

General

1. Please provide for staff review all materials prepared by the parties’ financial advisors and provided to their respective boa rds, or their representatives.  Provide
the board books and all transcripts, summar ies, and video presentation materials.
We may have further comment based on our review of these materials.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
January 23, 2007 Page 2
2. We note that each solicitation will seek discretion to vote on other business that
may come before the meeting or any ad journment, including an adjournment for
the purpose of soliciting additional proxies.  If you contemplate adjourning the
meeting to solicit additional proxies, this action must appear as  a separate item for
shareholder approval, as it is not an incidental matter as contemplated by
Exchange Act Rule 14a-4(c)(7).  Refer also to Rule 14a-4(a)(3).

3. In addition, please revise your discussion of each matter to be voted upon in the
respective special meetings to number each proposal for which proxies will be
solicited.

4. We note disclosure on page 28 regardi ng indebtedness that CME may incur to
finance the cash portion of the merger  consideration.  Please revise the
registration statement to disclose whet her you have obtained commitments for the
cash portion of the merger considerati on.  If you have obtained commitments,
please describe terms of  such agreement(s).

Summary, page 1
Questions and Answers About the Merger, page 1
What will CBOT Holdings Class A stockholde rs receive in the merger?, page 1

5. Please disclose the aggregate market value of the consideration to be received in the merger on the last trading day prior to the pub lic announcement.

6. Please clarify in the last full sentence on page 1 that the value of the cash merger
consideration will fluctuate

What vote is required to a pprove the merger?, page 5

7. Please disclose what percentage of un affiliated stockholders of each company
needs to vote for the merger in orde r to approve the transaction.  Where
appropriate, please provide this in formation elsewhere in the filing.

Other Information Regarding the Merger, page 9
CME Holdings Financial Advisors . . ., page 9

8. Please revise your disclosure in this s ection to specify the fee paid to each
financial advisor, as well as the financial advisor to the CBOT Special
Transaction Committee.  Include disclosure  regarding the fee that is contingent
upon completion of the merger.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
January 23, 2007 Page 3
Role and Recommendations of the CBT Holdings’ Special Transaction Committee and
Non-ER Members Committee, page 11

9. Briefly describe the exercise right.

The Merger Generally Will Be Tax-Free…, page 17

10. Please revise to state counsel’s opini on here and on page 125 and to identify
counsel here.

Summary Unaudited Pro Forma Condensed Consolidated Financial Data, page 21

11. Please tell us what consideration you ga ve to disclosing tota l assets and cash
dividends per share.  Refer to Item 3(e)  of Form S-4 and Item 301 of Regulation
S-K.

Comparative Per Share Data, page 21

12. Please tell us what consideration you gave to disclosing basic earnings per share.

13. Please tell us what consideration you gave to disclosing cash dividends per share
for the interim period.  Refer to Item 3(f)(2) of Form S-4 and the related
instructions.

Risk Factors, page 23

14. Please revise to discuss the dilution to CME shareholders.

The Special Meeting of CME Ho ldings Stockholders, page 34
Vote Required, page 34

15. Please revise your discussion of any propos al to adjourn or postpone the meeting
to clarify whether the vote required to approve such ac tion is a majority of the
shares outstanding, present, or voting on the matter.

The Merger, page 46
Background of the Merger, page 46

16. We note your statement appearing on page  47 that the parties’ March 7, 2006,
confidentiality agreement addressed disclosure of “confidential information relating to the clearing li nk, as well as other poten tial business arrangements
between the parties.”  Please revise the di sclosure to specify the “other potential
business arrangements” that were included in the agreement.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
January 23, 2007 Page 4
Certain Projections, page 66

17. Please confirm that the financial projections  appearing in this section include all
material financial projections that were exchanged by the parties or, alternatively,
provide us supplementally with complete c opies of these projections.  In addition,
please provide us supplementally with the financial information that the parties
prepared for their respectiv e financial advisors.  We may have further comment
upon review of your response.

Opinion of Lehman Brothers Financia l Advisor to CME Holdings, page 68

18. For each analysis performed that include s information about other companies or
transactions, please disclose if companie s or transactions meeting the criteria
established by Lehman Brothers were excl uded from the analysis and, if so, the
reason(s) for exclusion.  Pleas e similarly revise the discussions of similar analyses
performed by William Blair, JPMorgan, and Lazard.

Comparable Company Analysis, page 70

19. We note your statement regarding the “inherent differences” between CBOT
Holdings and the companies used in this analysis.  To provide your shareholders
with a better understanding of these inherent differences, as well as the extent to
which Lehman Brothers made qualitative ad justments to provide context to the
quantitative adjustments, please revise the discussion of this analysis to quantify
the size of the qualitative adjustment or  indicate the modified ratios used in
calculating the implied share price of CBOT Holdings.

CBOT Discounted Cash Flow Analysis, page 72

20. Please revise your disclosure to discuss the basis for the perpetual growth rate
used in this analysis, as well as the method by which Lehman Brothers selected
public companies to calculate the applicable discount rate.  Please also discuss the
extent to which Lehman utilized CBOT Holdings’ weighted average cost of
capital and comparable company informati on in calculating the range of discount
rates used in this analysis, as well as the advantages and disadvantages of each method.

Opinion of William Blair, Financial Advisor to CME Holdings, page 75

21. In the last bullet of items that William Blair examined on page 76, please either
describe the other publicly available informa tion or delete the reference.  Also, in
the next paragraph, please describe the other matters that William Blair
considered.  Please also comply in the la st bullet on pages 83 with respect to the
JPMorgan opinion and 89 with respect to the Lazard opinion.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
January 23, 2007 Page 5
Discounted Cash Flow Analysis, page 78

22. Please revise to briefly discuss the basis for the perpetual growth rate used beyond
2016.

Opinion of JPMorgan, Financial Advisor to CBOT Holdings, page 82

23. Please disclose the basis for JPMorgan’s assumption that the financial projections
provided by the parties were reasonably pr epared.  Also, in an appropriate place
in this disclosure, please indicate wh ether the respective boards reviewed, for
accuracy and completeness, this financia l information and whether the boards
found JPMorgan’s reliance upon those material s to be reasonable.  Make similar
revisions to the discussion of the opinion rendered by Lazard, financial advisor to
the CBOT Holdings Special Transaction Committee on page 89.

Discounted Cash Flow Analysis, page 86

24. Please revise to briefly discuss the basis for the perpetual growth rate used beyond
2015, as well as the basis utilized in determining the discount rate.

Representations and Warranties, page 114

25. Please revise the disclosure under this  heading to summarize the material
representations and warranties of the part ies, rather than addressing the general
subject matter of such repr esentations and warranties.

26. We note your disclosure that the repres entations and warranties were made only
as of the date of the merger agreement.   Please be advised that, notwithstanding
the inclusion of this disclaimer, you are responsible for considering whether additional specific disclosures of mate rial information regarding material
contractual provisions are re quired to make the statem ents in the proxy statement
not misleading.  Please confirm your understa nding.  In addition, please revise to
include disclosure acknowledging that if specific material facts exist that contradict the representati ons or warranties in the me rger agreement, you have
provided corrective disclosure.

27. We note the statement that the represen tations and warranties in the merger
agreement are made solely for the benefit of the parties and should not be relied
upon by any other person.  Please revise  to more clearly state that the
representations and warranties should be read with consideration given to the entirety of public disclosure regarding the parties as set forth in their respective reports with the SEC.  As currently drafted, the disclosure may still imply that the representations and warranties do not const itute public disclosure for purposes of
the federal securities laws.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
January 23, 2007 Page 6

28. Please provide us with a list that briefl y identifies the contents of all omitted
schedules or any supplements to the merger agreement.

Conditions to Complete Merger, page 119

29. Briefly describe the facts under whic h you may waive the conditions to the
merger, and any circumstances under wh ich you would re-solicit shareholders’
votes.

Regulatory Approvals, page 123

30. Please update information relating to regulatory approvals as applicable.

Unaudited Pro Forma Condensed Combin ed Financial Information, page 133

31. Your pro forma footnotes refer to various  nonrecurring charges th at are related to
the merger.  Please tell us what consid eration you gave to revising the line item
labeled “net income” on your pro forma inco me statements to read “net income
before nonrecurring charges directly attri butable to the transaction.”  Refer to
Article 11-02(b)(5) of Regulation S-X.  Also confirm to us that all nonrecurring
charges that are directly related to the merger have been accrued for in the pro
forma balance sheet.  Refer to Article 11-02(b)(6) of Regulation S-X.

32. We note your discussion of merger-related transaction costs in footnote 2(iii).
Please tell us whether these costs include  the fees that CME Holdings and CBOT
Holdings will pay for fairness opinions.  If not, please tell us what consideration
you gave to quantifying thes e fees in your pro forma footnotes and accruing for
these fees in your pro forma balance sheet.

33. We note your purchase price allocation in f ootnote 2(iii).  We also note from the
merger agreement that you are assuming the pension and other employee benefit plans of CBOT Holdings.  Please tell us what consideration you gave to recording
a purchase accounting adjustment to record these assumed liabilities at fair value.

34. We note on page 100 the discussion of Bernard Dan’s severance payment,
retention bonus, and fee to be a special a dvisor to CME Holdings, all of which are
directly related to the merger.  There a ppear to be retention bonuses payable to
other executives of CBOT Holdings as well.   Please tell us what consideration
you gave to quantifying these payments in  your pro forma footnotes and accruing
for these payments in your  pro forma balance sheet.

35. It appears from footnote 3(D) that you have  assigned $1 billion to the identifiable
intangible asset “Clearing firm relationships.”  Please he lp us to understand if or

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
January 23, 2007 Page 7
how this differs from the clearing servi ces that CME Holdings currently provides
to CBOT Holdings, as discussed on page 107.

Comparative Rights of Stoc kholders . . ., page 145

36. Please delete the statement that the disc losure appearing unde r this heading is
“qualified in its entirety by reference to the Delaware General Corporation Law . . . .”  Information contained in the prosp ectus may not be qualified to information
not included in the re gistration statement.

As appropriate, please amend your registration statement in response to these
comments.  You may wish to provide us with marked copies of the amendment to expedite
our review.  Please furnish a cover letter with your amendment that keys your responses to
our comments and provides any requested information.  Detailed cover letters greatly facilitate our review.  Please understand th at we may ha ve additional comments after
reviewing your amendment and responses to our comments.

We urge all persons who are responsible for the accuracy and adequacy of the
disclosure in the filing to be  certain that the filing includes all information required under
the Securities Act of 1933 and that they have provided all informatio n investors require for
an informed investment deci sion.  Since the company and its  management are in possession
of all facts relating to a company’s disclosure , they are responsible for the accuracy and
adequacy of the disclosures they have made.

Notwithstanding our comments, in the even t the company requests acceleration of
the effective date of the pending registration st atement, it should furnish a letter, at the time
of such request, acknowledging that:

• should the Commission or the staff, acting pursuant to delegated authority, declare
the filing effective, it does not  foreclose the Commission from taking any action with
respect to the filing;

• the action of the Commission or  the staff, acting pursuant to delegated authority, in
declaring the filing effective, does not re lieve the company from its full responsibility
for the adequacy and accuracy of the disclosure in  the filing; and

• the company may not assert staff comments and the declara tion of effectiveness as a
defense in any proceeding initiated by the Commission or any person under the
federal securities laws of the United States.

In addition, please be advise d that the Divisi on of Enforcement has access to all
information you provide to the staff of the Division of Corporation Finance i