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Chicago Mercantile Exchange Holdings Inc.

(Name of Registrant as Specified In Its Charter)




(Name of Person(s) Filing Proxy Statement, if other than the Registrant)



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The following presentation was made to the Class B shareholders of Chicago Mercantile Exchange Holdings Inc. on February 11, 2004.





Chicago Mercantile Exchange




Member Meeting



Wednesday Feb 11, 2004



Competitive Situation: Liffe’s Eurodollar offering


Euronext.LIFFE will list Eurodollar on March 18


· Euronext.LIFFE’s Product Offering


  ¨ Clone of CME Eurodollar futures and options


  ¨ Limited to 5 years out the curve



· Euronext.LIFFE’s Value Proposition: The STIR Exchange”


  ¨ All Major short-term interest rate products under one roof


  · Euribor, Short Sterling, Short Swiss Franc, Yen and Eurodollar


  ¨ Traded One Exchange


  · One Platform


  · One Screen


  · One set of trading rules


  · One Margining System


  ¨ Cross-margining with other LIFFE STIR products




Eurodollar Growth Strategy


Programs announced February 10


  ¨ Expanded Market Maker Program


  ¨ Handheld incentives


  ¨ Special Meeting of Class B Shareholders



Market Maker Program Enhancement


Current ETH Program Summary


· Discounted fees for traders who make and fulfill a commitment to building and maintaining GLOBEX liquidity


  ¨ GLOBEX fees waived for members and member firms





· Extend ETH program to include RTH session from 7:20 am to 2:00 pm


· Expand the number of participants to target of 15


· Include non-member proprietary trading firms and arcade


  ¨ 22¢ all-in fee for non-member proprietary trading firms and arcades




Handheld Incentives


Promote side by side trading by providing the following incentives to handheld users:


· Eliminate costs associated with electronic trading for accounts that average 500+ sides per day on handhelds


  ¨ Waive handheld hardware charge


  ¨ Waive VPN access charges


· Trades for a member’s account will receive member rates if entered into a handheld by their lessee clerk


· Total of 400 handhelds are available for Eurodollars


  ¨ 60 currently in use


  ¨ 60 applications received


  ¨ 280 additional available for allocation


· We will expedite distribution of handhelds



Special Meeting of Class B Shareholders


Proposal Summary


· Grant the CME Board authority to act


· If GBX% >= 25%, no action would be taken


· If GBX% is <25%, action is authorized


· Ten day minimum notice; Likely more required



How we will determine the initial GLOBEX Percentage


For each day in the period March 8-12 we will:


· Determine RTH GLOBEX volume


  ¨ Volume for all March 04 and June 04 GLOBEX RTH trades


· Determine RTH Pit volume


  ¨ Includes all outrights in both March 04 and June 04 Contracts


  ¨ Only includes all March 04-June 04 spreads


  ¨ Does not include any pack, bundle, or spread that includes any contract other than March 04 and June 04


  ¨ Exclude second quarterly for 2 weeks after the roll


·    Calculate   GLOBEX


  =   GBX %
  (Pit + GLOBEX )    





GLOBEX Migration

% of RTH GLOBEX volume to Total RTH …


0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50%






1/12/04 June-04

1/14/04 March-04



1/20/04 Threshold @ 25%










• Trade types 2 and 5 during pit hours are included in RTH GLOBEX volume.

• RTH GLOBEX volume + trade types 1 + March/June spreads are counted as Total RTH volume.

• Thus, the calculation excludes most trade type 6s (Pit spreads) including packs, bundles and any other spreads that include contracts apart from March and June to the extent that those spreads may continue to be traded on the floor.

Chicago Mercantile Exchange Inc. All rights reserved. 7

Mechanics of the Referendum




On or about        

Notice of special meeting and proxy

Feb. 25, 2004

statement mailed to Class B shareholders of record

as of February 20, 2004


Class B shareholders may vote on the

Feb. 25 to March 16

proposal over the Internet, by telephone

or by returning the proxy card by mail.

Proxies not delivered in person must be received prior to

the special meeting as set forth in the proxy statement.


Special meeting

March 16, 2004


Class B shareholder may vote in person at the meeting





Chicago Mercantile Exchange




Member Meeting



Wednesday Feb 11, 2004



Eurodollar Growth Strategy


Previously CME has announced programs to


· Expand our electronic product offering


  ¨ Enhance Eurodollar Options through Liquidity Direct


· Enhance GLOBEX


  ¨ Additional implied calendars, packs, butterflies


  ¨ Upgrade processing capabilities


· Attract new market participants


  ¨ European Incentive Plan


  ¨ Electronic Corporate Membership


  ¨ Asian Incentive Plan



Expand Electronic Product Offering


New Eurodollar options electronic market in 2004


· Liquidity Direct platform


  ¨ Flexible electronic Eurodollar option trading platform


  ¨ Plans to include “e-RFQ for size”


  ¨ Transparent, competitive alternative to LIFFE’s “upstairs market”


  · Expected launch date late Summer 2004



Enhance GLOBEX


New features and improved performance


· Expand implied spread trading (Eagle 2.0)


  ¨ Yearly and monthly calendar spreads


  ¨ Yearly packs


  ¨ 3-month and yearly butterflies


· Upgrade Processing Capabilities



Attract new market participants


Programs to make it easier for traders to “try CME”


· Electronic Corporate Membership


  ¨ Targeted at Proprietary Trading Firms and Arcades


  ¨ 44¢ flat rate for most electronic trades (big equity 88¢)


  ¨ Customer rates for open outcry trades


  ¨ Same B share holding requirements as current 106H membership—waived through October 2005


· Asian Incentive Plan


  ¨ Targeted at banks and hedge funds in Pacific Rim


  ¨ 18 month incentive program provides discounted fees through October 2005


     GLOBEX   Open outcry


   70¢   45¢


   44¢   49¢


   $1.08   58¢


   54¢   N/A



* * *


Chicago Mercantile Exchange Holdings Inc. will file a preliminary proxy statement with the Securities and Exchange Commission (the “SEC”) regarding the Special Meeting of shareholders to be held on March 16, 2004. In addition, Chicago Mercantile Exchange Holdings Inc. will be filing a definitive proxy statement and other relevant documents concerning the Special Meeting with the SEC. Shareholders are urged to read the preliminary proxy statement, the definitive proxy statement and any other relevant documents filed with the SEC because they contain, or will contain, important information about Chicago Mercantile Exchange Holdings Inc. and the Special Meeting. The preliminary proxy statement and the definitive proxy statement and other relevant materials (when they become available), and any other documents filed by Chicago Mercantile Exchange Holdings Inc. with the SEC, may be obtained free of charge at the SEC’s Web site at In addition, shareholders may obtain free copies of these documents by contacting Chicago Mercantile Exchange Holdings Inc., Shareholder Relations and Membership Services, 20 South Wacker Drive, Chicago, Illinois 60606. Shareholders are urged to read the preliminary proxy statement and the definitive proxy statement and the other relevant materials (when they become available) before making any voting decision with respect to matters to be acted on at the Special Meeting.


Chicago Mercantile Exchange Holdings Inc., its directors, executive officers and certain other members of management and employees may be soliciting proxies from shareholders in favor of the proposal. Information concerning the participants in the solicitation will be set forth in the preliminary proxy statement to be filed by Chicago Mercantile Exchange Holdings Inc. with the SEC on February 10, 2004.