SecProbe.io

September 26, 2007
 Mail Stop 4563
By U.S. Mail and facsimile to (312) 930-4556

 Craig S. Donohue Chief Executive Officer Chicago Mercantile Exchange Holdings, Inc. 20 South Wacker Drive  Chicago, Illinois 60606
Re:  Chicago Mercantile Exchange Holdings, Inc.
Definitive 14A
Filed March 15, 2007 File No. 00-33379
 Dear Mr. Donohue:
We have limited our review of your definitive proxy statement  to your executive
compensation and other related disclosure a nd have the following comments.  Our review
of your filing is part of the Division’s focused review of executive compensation disclosure.
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 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 me at the telephone number listed at the e nd of this letter.
  In some comments we have asked you to provide us with additional information so we may better understand your disclosure.  Pl ease do so within the time frame set forth
below.  You should comply with the remain ing comments in all future filings, as
applicable.  Please confirm in writing that you will do so and also explain to us how you
intend to comply.  Please unders tand that after ou r review of all of your responses, we
may raise additional comments.     If you disagree with any of these commen ts, 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.

Craig S. Donohue, CEO
Chicago Mercantile Exchange Holdings, Inc.
September 26, 2007 Page 2  Compensation Discussion and Analysis, page 22

1. Your disclosure suggests th at individual performan ce was a significant factor
considered by the Committee in awarding cash incentive compensation and determining annual equity grants.  Pleas e disclose and analyze how individual
performance contributed to actual 20 06 compensation for the named executive
officers.  For example, disclose the el ements of individual performance, both
quantitative and qualitative, and spec ific contributions  the compensation
committee considered in its evaluation, and if applicable, how the committee weighted and factored them into specific compensation decisions.    See Item 402(b)(2)(vii) and Item 402(b)(1)(v) of Regulation S-K.
2. Please disclose all the terms of the necessa ry targets or performance objectives to
be achieved in order for your executi ve officers to earn their incentive
compensation for 2006 or 2007.  For example, although you disclose the cash earnings target on page 26, you state that  the Board utilizes other additional
metrics for determining compensation under the Annual Incentive Plan.  Please note that qualitative goals generally need  to be presented to conform to the
requirements of 402(b)(2)(v).  To the exte nt you believe disclosure of certain
performance metrics is not required b ecause it would result in competitive harm
such that you may omit the disclosure under Instruction 4 to Item 402(b) of
Regulation S-K, please provide a detailed supplemental analysis supporting your conclusion and provide appropriate disclosure under Instruction 4.  In discussing
how difficult it will be for the executive or how  likely it will be for the registrant
to achieve the target levels or other fact ors, revise your disclo sure to provide as
much detail as necessary without provid ing information that poses a reasonable
risk of competitive harm.  Please furthe r refer to Item 402(b)(1)(v and vi) of
Regulation S-K.
Equity, page 24

3. In your discussion of the di stribution of equity value among eligible employees,
please clarify how the target  distribution of equity awards between officers and
non-officers impacts awards, both target awards and any adjustments.  Please
refer to Item 402(b)(1)(v ) of Regulation S-K.

Benchmarking, page 27
4. You state on page 20 that you set compensation at the 50th percentile of
competitive market data.  Please further clarify how the Committee uses the
benchmark data from the three distinct peer groups used to set compensation
levels.  Include a discussion of where act ual compensation fell in relationship to
targeted parameters.  To the extent actu al compensation was outside the targeted

Craig S. Donohue, CEO
Chicago Mercantile Exchange Holdings, Inc.
September 26, 2007 Page 3
range, please explain why.  Please refe r to Item 402(b)(1)(v) and Item
402(b)(2)(xiv) of Regulation S-K.
5. Please disclose and analyze how each compensation component and your decisions regarding these elements fit into your overall compensation objectives
and their impact regarding other elements.  See Item 402(b)(1)(vi) of Regulation S-K.  It is not clear whether you review each element of compensation independently or whether you consider each  element collectively with the other
elements of your compensation program when establishing the various forms and levels of compensation.  Please provid e sufficient quantitative or qualitative
disclosure as appropriate of the analyses underlying the Committee’s decision to make specific compensation awards and how decisions regarding one type of
award motivate the Committee to award or consider other forms of compensation.
Explain and place in context how you cons idered each element of compensation
and how or why determinations with resp ect to one element may or may not have
influenced the Committee’s decisions with respect to other allocated awards.
6. Please address the Committee’s analysis of the information contained in the total compensation profiles and how the evaluati on of this information resulted in
specific awards for the fiscal year or modifications to the manner in which you implement your compensation program.  Refer to disclosure on page 29.
 Employment Contracts and Retention Agreements, page 29

7. Please discuss how the Committee determined  that the employment contracts and
retention agreements suppor t the objectives of your compensation program.
Please refer to Item 402(b)(1 )(vi) of Regulation S-K.

Use of Outside Consultants, page 30
8. With respect to the engagement of To wers Perrin, please provide the full
disclosure required by Item 407(e)(3)(iii)  of Regulation S-K.  This includes a
description of the nature a nd scope of the consultant's assignment or the material
elements of the instructions or directions  given to the consultant with respect to
the performance of its duties under the engagement .  Please provide similar
information with relating to any other consultants who provided information used
to determine compensation.  Refer, for example, to your discussion of services
provided by Hewitt Associates.

Potential Payments Upon Termination or Change in Control, page 37
9. Please describe and explain how the Committee determined the appropriate
payment and benefit levels under the various  circumstances that trigger payments
or provision of benefits under the employm ent agreements or change of control

Craig S. Donohue, CEO
Chicago Mercantile Exchange Holdings, Inc.
September 26, 2007 Page 4
arrangements.  Also, in the Compensati on Discussion and Analysis, discuss how
these arrangements fit into your overall compensation objectives and affect the
decisions you made regardi ng other compensation elements and the rationale for
decisions made in connection with these arrangements.  To the extent the terms
resulted from negotiations or were derive d from an evaluation of similar benefits
provided by peer companies; clarify how  these factors impacted the resulting
benefits.  Refer to Item 402(j) and It em 402(b)(1)(v) of Regulation S-K.  See
paragraphs (b)(1)(v) and (j)(3) of Item 402 of Regulation S-K.
10. It appears that the seve rance arrangements made fo r executive officers who are
terminated as a result of the merger w ith CBOT do not apply to all employees.
Please provide a quantitative analysis of the paymen ts under this severance
policy.  Please refer to Item  402(j) of Regulation S-K.

Director Compensation, page 42

11. Disclose all assumptions made in the va luation of awards in the option awards
column of the table by reference to a di scussion of those assumptions in your
financial statements, footnotes to the financial statements, or discussion in
management’s discussion and analysis.  See Instruction to Regulation S-K Item
402(k), which refers to Instruction 1 to Item 402(c)(2)(v) and (vi).
12. For each director, disclose by footnote to the stock and option awards columns of
the director compensation table the grant date fair value of each equity award
computed in accordance with FAS 123R.  S ee Instruction to Regulation S-K Item
402(k)(2)(iii) and (iv).
13. Disclose the aggregate nu mber of stock awards and the aggregate number of
option awards outstanding at fiscal year end held by each of those directors, as
required in the Instruction to Item 402(k)(2)(i ii) and (iv).

 Please respond to our comments by Octobe r 26, 2007, or tell us by that time when
you will provide us with a response.

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 in formation required under
the Securities Exchange Act of 1934 and th at they have provided all information
investors require for an informed invest ment decision.  Since the company and its
management are in possession of all facts re lating to a company’s disclosure, they are
responsible for the accuracy and adequacy  of the disclosures they have made.
  When you respond to our comments, please provide, in writing, a statement from the company acknowledging that:

Craig S. Donohue, CEO
Chicago Mercantile Exchange Holdings, Inc. September 26, 2007 Page 5
• the company is responsible for the adequacy and accuracy of the disclosure in
the filing;

• staff comments or changes to disclo sure in response to comments do not
foreclose the Commission from taking a ny action with respect to the filing;
and
 • the company may not assert staff comme nts as a defense in any proceeding
initiated by the Commission or any pers on under the federal s ecurities laws of
the United States.

In addition, please be advise d that the Division of Enfo rcement has access to all
information you provide to the staff of the Di vision of Corporation Finance in connection
with our review of your filing or in response to comments.

Please contact me at (202) 551-3419 with any questions.

Sincerely,   Christian N. Windsor Special Counsel
 CC: Meg. Austin
Assistant Corp. Secretary