SecProbe.io

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

June 4, 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 May 25, 2007
 File No. 333-143282

Dear Ms. Cronin:

We have limited our review of your filing to those issues we have addressed in
our comments below.  Where indicated, we  think you should revise your document in
response to these comments.  If you disagree, we will consider your explanation as to
why our comment is inapplicable or a revisi on is unnecessary.  Please be as detailed as
necessary in your explanation.  In some of our comments, we may ask you to provide us
with information so we may better understand your disclosure.  Af ter 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. We note your disclosure that you intend to  vote proxies submitted for the meeting
that was originally scheduled for April 4, 2007.  It appears that the revised merger
agreement contains significantly amended te rms that materially affect the amount
and structure of the merger consideration.  In addition, this registration statement
contains significant information rega rding the competing proposal for the

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
June 4, 2007 Page 2
acquisition of CBOT Holdings, includi ng the conclusion that the competing
proposal offered a “higher implied short-term value of the ICE proposal based on recent market prices of ICE’s common stock and CME Holdings’ Class A common stock . . . .”  Accordingly, it does not appear that shareholders for each party who submitted proxies for the meeting scheduled for April 4, 2007, had access to the material terms of the revised ag reement.  In this respect, the court’s
decision in the case citation you provided to us appears to be distinguishable from
the facts applicable here and in any respect does not implicate the federal
securities laws.  Please revise or advise.

2. We note news reports regarding an ag reement between ICE and CBOE Holdings,
Inc., regarding the CBOE exercise right possessed by members of the Chicago Board of Trade.  Please update your disclosu re to discuss this recent event and its
consequences with respect to the parties to this transaction.

Comparative Stock Price and Dividends, page 20

3. Please tell us what consideration you gave to presenting the CBOT Holdings
Equivalent Per Share data using the ex change ratio in the amended merger
agreement, as it is unclear to us that e quivalent data based on the exchange ratio
in the original merger agreement would be  meaningful to investors.  In this
regard, we note that you used the new ex change ratio in your presentation of
equivalent pro forma per share data on page 25.

Summary of Unaudited Pro Forma Condensed Combined Financial Data, page 24

4. Please revise to disclose long-term debt in accordance with In struction 2 to Item
301 of Regulation S-K.

5. We read that amounts are presented in m illions, except per share data.  However,
based on comparison with your pro forma financial statements, these amounts actually appear to be in thousa nds.  Please advise or revise.

Comparative Per Share Data, page 25

6. We read that outstanding shares are presented in millions.  However, based on comparison with CME Holdings’ and CBO T Holdings’ periodic reports, these
amounts actually appear to be in thousa nds.  This is also apparent in your
calculation of book value per share.   Please advise or revise.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
June 4, 2007 Page 3
Background of the Merger, page 50

7. Please clearly disclose and quantify the differences in the consideration offered pursuant to the merger agreement and the ICE offer on an aggregate and per share
basis here and at “Determinati on Regarding the ICE Proposal.”

Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER
Members Committee, page 83

8. We note your statement on page 84 that the special transaction committee of
CBOT was advised by CSC Consulting, Inc., as well as references on pages 70 and 88-89 to a report rendered by CSC.  Please revise your document to include
the information required by Item 1015(b) of Regulation M-A.  Refer to Item
14(b)(6) of Schedule 14A.  Please also pr ovide the consent of CSC Consulting, as
required by Rule 436 of Regulation C.

Certain Projections, page 89

9. We note the discussion on page 126 of L azard’s financial analyses of the ICE
proposal prepared using fina ncial projections of ICE prepared by CBOT Holdings
following conversations with ICE mana gement.  To provide CBOT Holdings
stockholders and Chicago Board of Trad e members with a better understanding of
the proposed transaction, please revise the discussion under this heading to
disclose these projections.  Please separa tely identify the information provided by
ICE’s management and that produced by CBOT.

Material U.S. Federal Income Tax C onsequences of the Merger, page 156

10. The statement that the merger will be c onsidered a reorgani zation regardless of
whether any cash received in the tender offer is properly treated as merger
consideration is unclear to us.  Please revise to clarify the meaning of your use of
“properly.”

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

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
June 4, 2007 Page 4
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 in connection with our review of your filing or in response to our comment s on your filing.

We will consider a written request for accel eration of the effe ctive date of the
registration statement as a confirmation of th e fact that those reque sting acceleration are
aware of their respective responsibilities under th e Securities Act of 1933 and the Securities
Exchange Act of 1934 as they  relate to the proposed pub lic offering of the securities
specified in the above registration statement.   We will act on the request and, pursuant to
delegated authority, grant acceleration of the effective date.

We direct your attention to Rules 46 0 and 461 regarding requesting acceleration
of a registration statement.  Please allow ad equate time after the filing of any amendment
for further review before submitting a request for acceleration.  Please provide this request at least two business days in a dvance of the requested effective date.

Kathleen M. Cronin
Chicago Mercantile Exch ange Holdings Inc.
June 4, 2007 Page 5
You may contact Bret Johns on, Staff Accountant, at (202) 551-3753 or Jennifer
Thompson, Senior Staff Accountant, at (202)  551-3737 if you have questions regarding
comments on the financial statements and related matters.  Please contact Matt Franker, Staff Attorney, at (202) 551-3749 or me, at  (202) 551-3767 with any other questions.

Sincerely,

Jennifer R. Hardy
Branch Chief

cc: Rodd M. Schreiber
Susan S. Hassan
Skadden, Arps, Slate, Meagher & Flom LLP
333 West Wacker Drive
Chicago, Illinois 60606