SecProbe.io

July 3, 2007
VIA FACSIMILE 312.407.8522

Rodd Schreiber, Esq.
Susan Hassan, Esq.
Skadden, Arps, Slate, Meagher & Flom LLP
333 West Wacker Drive
Chicago, IL 60606

Re:   Form 425 filing made on June 28, 2007
 Filed by Chicago Mercantile Exchange Holdings, Inc.
 File No. 001-32650

Ladies and Gentlemen:

We have reviewed your filings and have th e following comments.  If you disagree with
one or more of our comments, we will consider  your explanation as to why a comment may be
inapplicable or a revision unnecessary.  Please be as detailed as necessary in your explanation.
In some of our comments, we may ask CME to provide us with supplemental information so we may better understand your disclosure.  After re viewing this information, we may or may not
raise additional comments.

 Please understand that the purpose of our re view process is to assist you in your
compliance with the applicable disclosure requir ements and to enhance the overall disclosure in
your filings.  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 number listed  at the end of this letter.

General
1. On Slide 7 of the Proxy Materials, CME presen ts a calculation of the potential full value
of the CME and ICE offers from a CBOT Holdings security holder’s perspective.  Please advise us of the basis for CME’s projection of an additional $ 6.24 in value per CBOT
Holdings share as a result of the planned tender offer.  Speci fically address for us how the
$3.5 billion is allocated betw een CBOT Holdings security holders and CME security
holders.  In addition, plea se confirm, if true, that the te nder offer is required under CME’s
merger agreement or refrain for characteriz ing the tender offer as a component of the
transaction upon which CBOT secu rity holders will be voting.
2. On Slide 7 of the Proxy Materials, CME includes $45.72 in incremental ERP upside value in its calculation of poten tial full value.  This elemen t of CME’s calculation fails to
indicate the level of uncertainty concerning the amount of potentia l consideration that

Chicago Mercantile Exchange Holdings, Inc.
SEC Comment Letter dated July 3, 2007
Page 2
could be received as a result of the CBOT/C BOE litigation.  Please make disclosure of
this contingency in future communications.
3. Slide 13 of the Proxy Materials depicts IC E has growth opportuni ties limited only to
over-the-counter products in the commodities ma rket.  It appears that slide 13 ignores
that ICE participates fully in the futures mark et for foreign exchange and equity indices.
In addition, we are aware the Department of Justice noted that among the reasons it approved a potential business combination between CME and CBOT Holdings was that
ICE would enter into the interest rate future s market regardless of whether ICE’s bid for
CBOT Holdings was successful.  Please e xplain to us the basis upon which CME relied
to exclude ICE from growth opportunities in the interest rate, fore ign exchange, credit
and equity marketplaces.  Please confirm that any future such communications will identify ICE’s current and/or future partic ipation in all of the markets in which it
competes.

* * * * *

Closing Comments

We urge all persons who are responsible for th e accuracy and adequacy of the disclosure
in the filings reviewed by the staff to be certain that they have provided all information investors
require for an informed voting and investment decision.  Since the partic ipants are in possession
of all facts relating to their disc losure, they are responsible for the accuracy and adequacy of the
disclosures they have made.

In addition, please be advise d that the Division of Enfo rcement has access to all
information you provide to the sta ff of the Division of Corporati on Finance in our review of your
filings or in response to our comments on your filings.

Please furnish a cover letter with your amendment that ke ys your responses to our
comments and provides any requested supplemental information.  Detailed cover letters greatly
facilitate our review.  Please  electronically file your cove r letter on EDGAR.  Again, please
understand that we may have additional comments after reviewing any amen dments or responses
to our comments.  If you have any ques tions, please contact me at 202.551.3266.

Sincerely,   Nicholas P. Panos
        S p e c i a l  C o u n s e l
        Office of Mergers & Acquisitions