Edgar Filing: CHICAGO MERCANTILE EXCHANGE HOLDINGS INC

Form S-4

As filed with the Securities and Exchange Commission on July 6, 2007.

Registration No. 333-

Post-Effective Amendment to Registration Nos. 333-139538 and 333-143282

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM S-4

REGISTRATION STATEMENT

UNDER THE SECURITIES ACT OF 1933

CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.

(Exact name of registrant as specified in its charter)

Delaware

6200

36-4459170

(State or other jurisdiction of incorporation or organization)

(Primary Standard Industrial Classification Code Number)

(I.R.S. Employer

Identification Number)

20 South Wacker Drive

Chicago, Illinois 60606

(312) 930-1000

(Address, including zip code, and telephone number, including area code, of registrant’s principal executive offices)

Kathleen M. Cronin, Esq.

Managing Director, General Counsel and Corporate Secretary

Chicago Mercantile Exchange Holdings Inc.

20 South Wacker Drive

Chicago, Illinois 60606

(312) 930-1000

(Name, address, including zip code, and telephone number, including area code, of agent for service)

Copies to:

Rodd M. Schreiber, Esq.

Susan S. Hassan, Esq.

Skadden, Arps, Slate,

Meagher & Flom LLP

333 West Wacker Drive

Chicago, Illinois 60606

(312) 407-0700

Bernard W. Dan

President and

Chief Executive Officer

CBOT Holdings, Inc.

141 West Jackson Boulevard

Chicago, Illinois 60604

(312) 435-3500

Scott J. Davis, Esq.

Bruce F. Perce, Esq.

Mayer, Brown, Rowe & Maw LLP

71 South Wacker Drive

Chicago, Illinois 60606

(312) 782-0600

Approximate date of commencement of proposed sale to the public: As soon as practicable following the effectiveness of this registration statement, satisfaction or waiver of the other conditions to closing of the merger described herein, and consummation of the merger.

If the securities being registered on this form are being offered in connection with the formation of a holding company and there is compliance with General Instruction G, check the following box. ¨

If this form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ¨

If this form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ¨

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities to Be
Registered

Amount

to Be Registered(1)

Proposed Maximum
Offering Price per
Share

Proposed Maximum
Aggregate
Offering Price(2)

Amount of

Registration Fee(3)

Class A Common Stock, par value $0.01 per share

1,349,476

N/A

$504,434,176

$15,487

(1)

The maximum number of shares of CME Holdings Class A common stock estimated to be issuable upon the completion of the merger described herein, calculated as the product of: (A) 53,979,045 and (B) an exchange ratio of 0.3750, reduced by the 18,892,666 shares of Class A common stock that CME Holdings previously registered on its registration statement on Form S-4, as amended (File No. 333-139538), initially filed with the Securities and Exchange Commission on December 21, 2006, and on its registration statement on Form S-4 (File No. 333-143282), initially filed with the Securities and Exchange Commission on May 25, 2007 (the “Prior S-4 Registration Statements”). This number is based on the number of shares of CBOT Holdings Class A common stock outstanding, or reserved for issuance under various plans, as of June 30, 2007, and the exchange of each share of CBOT Holdings Class A common stock and share of CBOT Holdings Class A common stock reserved for issuance under various plans, for shares of CME Holdings Class A common stock pursuant to the formula set forth in the Agreement and Plan of Merger, dated as of October 17, 2006, among CME Holdings, CBOT Holdings and Board of Trade of the City of Chicago, Inc., as amended as of December 20, 2006, May 11, 2007, June 14, 2007 and July 6, 2007. Includes rights to acquire Series A Junior Participating Preferred Stock pursuant to CME Holdings’ rights plan.

(2)

Estimated solely for purposes of calculating the registration fee required by Section 6(b) of the Securities Act, and calculated pursuant to Rules 457(c) and 457(f)(1) under the Securities Act. The proposed maximum aggregate offering price of the registrant’s common stock was calculated based upon the market value of shares of CBOT Holdings Class A common stock (the securities to be exchanged in the merger) in accordance with Rule 457(c) under the Securities Act as follows: (A) the product of $203.30, the average of the high and low prices per share of CBOT Holdings Class A common stock on July 3, 2007 as quoted on the New York Stock Exchange, multiplied by (B) 53,979,045, the maximum number of shares of CBOT Holdings Class A common stock which may be exchanged in the merger, less the $10,469,505,673 that was used to calculate the registration fees on the Prior S-4 Registration Statements.

(3)	Calculated by multiplying the estimated aggregate offering price of securities by 0.00003070.

Pursuant to Rule 429 under the Securities Act of 1933, this registration statement also relates to the 18,892,666 shares of common stock that CME Holdings previously registered on the Prior S-4 Registration Statements. This registration statement also constitutes a post-effective amendment to the Prior S-4 Registration Statements. Upon effectiveness, this registration statement, together with the Prior S-4 Registration Statements, will relate to an aggregate of 20,242,142 shares of CME Holdings Class A common stock.

The registrant hereby amends this registration statement on such date or dates as may be necessary to delay its effective date until the registrant shall file a further amendment which specifically states that this registration statement shall thereafter become effective in accordance with Section 8(a) of the Securities Act of 1933, as amended, or until this registration statement shall become effective on such date as the Securities and Exchange Commission, acting pursuant to said Section 8(a), may determine.

EXPLANATORY NOTE

This registration statement includes the second supplement (the “second supplement”) to the definitive joint proxy statement/prospectus, dated June 5, 2007, of Chicago Mercantile Exchange Holdings Inc. and CBOT Holdings, Inc. that was first mailed to stockholders on or about June 8, 2007 (the “joint proxy statement/prospectus”). This second supplement amends and supplements the joint proxy statement/prospectus and the first supplement to the joint proxy statement/prospectus, dated June 17, 2007, that was first mailed to stockholders on or about June 18, 2007 (the “first supplement”). The joint proxy statement/prospectus and the first supplement are included in this registration statement immediately following the second supplement.

Pursuant to Rule 429 under the Securities Act of 1933, as amended, the second supplement together with the joint proxy statement/prospectus and the first supplement included in this registration statement constitutes a combined joint proxy statement/prospectus relating to (i) this registration statement on Form S-4, (ii) registration statement on Form S-4, as amended (File No. 333-139538), initially filed with the Securities and Exchange Commission on December 21, 2006 and (iii) registration statement on Form S-4 (File No. 333-143282), initially filed with the Securities and Exchange Commission on May 25, 2007. This registration statement also constitutes a post-effective amendment to the Prior S-4 Registration Statements. Upon effectiveness, this registration statement, together with the Prior S-4 Registration Statements, will relate to an aggregate of 20,242,142 shares of CME Holdings Class A common stock.

PRELIMINARY—SUBJECT TO COMPLETION—DATED JULY 6, 2007

The information in this document is not complete and may be changed. We may not sell the securities offered by this document until the registration statement filed with the Securities and Exchange Commission is effective. This document is not an offer to sell these securities, and we are not soliciting an offer to buy these securities, in any state where the offer or sale is not permitted.

SECOND SUPPLEMENT, DATED JULY 6, 2007

(To Joint Proxy Statement/Prospectus, Dated June 5, 2007)

Dear Stockholders and Members:

On or about June 8, 2007, we mailed a definitive joint proxy statement/prospectus to stockholders of Chicago Mercantile Exchange Holdings Inc., or “CME Holdings,” stockholders of CBOT Holdings, Inc., or “CBOT Holdings,” and members of Board of Trade of the City of Chicago, Inc., or “CBOT,” relating to the special meetings of stockholders of CME Holdings and CBOT Holdings scheduled for July 9, 2007 to consider and vote on the merger of the two companies and the special meeting of members of CBOT scheduled for July 9, 2007 to obtain approval for certain matters related to the merger. Upon consummation of the merger, the combined company will be renamed CME Group Inc., or “CME Group.” CBOT will become a subsidiary of CME Group following the merger.

On or about June 18, 2007, we mailed to stockholders of CME Holdings and CBOT Holdings and members of CBOT a supplement to the joint proxy statement/prospectus with respect to the third amendment, dated June 14, 2007, to the merger agreement that the parties entered into on October 17, 2006, as amended, which, among other things, allowed for the one-time, conditional special cash dividend in the amount of $9.14 per share of CBOT Holdings Class A common stock that was declared by CBOT Holdings on June 25, 2007 and is payable to the holders of record of CBOT Holdings Class A common stock as of the close of business on July 5, 2007, subject to the satisfaction of certain conditions, contained provisions regarding the “exercise rights” held by certain members of CBOT to become a member of Chicago Board of Options Exchange, Inc., or “CBOE,” and extended the period of time during which former CBOT Holdings directors will be designated to serve on the board of directors of CME Group.

On July 6, 2007, the parties further amended the terms of the merger agreement to increase the exchange ratio in connection with the merger from 0.3500 to 0.3750 shares of CME Holdings Class A common stock for each share of CBOT Holdings Class A common stock held at the time the merger is completed. A copy of the amendment to the merger agreement is attached as Annex A to this second supplement. Other than the increase in the exchange ratio, there have been no other changes to the terms of the merger. Based on the number of shares of common stock of CME Holdings and CBOT Holdings outstanding on July 5, 2007, the last trading day prior to the public announcement of the further revised terms of the merger, immediately after the completion of the merger, CME Holdings stockholders will own approximately 64% of the common stock of CME Group and the CBOT Holdings Class A stockholders immediately prior to the merger will own approximately 36% of the common stock of CME Group.

We urge you to read this document and, if you have not done so already, to read the joint proxy statement/prospectus, dated June 5, 2007, and the first supplement thereto, dated June 17, 2007, both of which, except as revised or supplemented by this document, remain in full force and effect. Copies of the joint proxy statement/prospectus and the first supplement immediately follow this second supplement beginning on page S-40 and S-41, respectively.

THE PLACES, DATES AND TIMES OF THE SPECIAL STOCKHOLDER AND MEMBER MEETINGS HAVE NOT CHANGED AND ARE AS FOLLOWS:


For CME Holdings stockholders:	For CBOT Holdings Class A stockholders:	For CBOT members:
UBS Tower - The Conference Center One North Wacker Drive Chicago, Illinois July 9, 2007 3:00 p.m., Chicago time	Union League Club of Chicago 65 West Jackson Boulevard Chicago, Illinois July 9, 2007 3:00 p.m., Chicago time	Union League Club of Chicago 65 West Jackson Boulevard Chicago, Illinois July 9, 2007 2:30 p.m., Chicago time

Every vote is important. Whether or not you plan to attend your company’s special meeting, please take the time to vote by following the instructions on the WHITE PROXY CARD (for CME Holdings and CBOT Holdings stockholders) and BLUE PROXY CARD (for CBOT members) that was enclosed with the first supplement sent to you on or about June 18, 2007. If you previously submitted a proxy for the meetings on July 9, 2007, and you wish to change your vote, you may do so by following the instructions described in this second supplement and the joint proxy statement/prospectus.

We enthusiastically support this combination of our companies and join with our boards in recommending that our stockholders vote “FOR” the adoption of the merger agreement, and that CBOT members vote “FOR” the matters related to the merger as described in the joint proxy statement/prospectus, the first supplement thereto and this second supplement.


Sincerely,		Sincerely,

Terrence A. Duffy		Charles P. Carey
Executive Chairman Chicago Mercantile Exchange Holdings Inc.		Chairman CBOT Holdings, Inc. and Board of Trade of the City of Chicago, Inc.

For a discussion of risk factors that you should consider in evaluating the merger and the other matters on which you are being asked to vote, see “RISK FACTORS” beginning on page 26 of the joint proxy statement/prospectus.

Neither the Securities and Exchange Commission nor any state securities regulator has approved or disapproved the merger and other transactions described in this document nor have they approved or disapproved the issuance of the CME Holdings Class A common stock to be issued in connection with the merger, or determined if this document is accurate or adequate. Any representation to the contrary is a criminal offense.

UPDATE TO CERTAIN FREQUENTLY USED TERMS

Unless otherwise specified or if the context so requires:

•

“amended merger agreement” refers to the Agreement and Plan of Merger, dated as of October 17, 2006, among CME Holdings, CBOT Holdings and CBOT, as amended as of December 20, 2006, May 11, 2007, June 14, 2007 and July 6, 2007, and as it may be further amended from time to time.

•

“joint proxy statement/prospectus” refers to the joint proxy statement/prospectus included in the Registration Statement on Form S-4, File No. 333-143282, filed by CME Holdings with the Securities and Exchange Commission, or the “SEC,” and declared effective by the SEC on June 5, 2007, and mailed to stockholders of CME Holdings, stockholders of CBOT Holdings and members of CBOT on or about June 8, 2007.

•

“first supplement” refers to the supplement to the joint proxy statement/prospectus, dated June 17, 2007 and mailed to stockholders of CME Holdings, stockholders of CBOT Holdings and members of CBOT on or about June 18, 2007.

•

“joint proxy statement/prospectus, as supplemented” refers to the joint proxy statement/prospectus, as supplemented by the first supplement.

IMPORTANT INFORMATION

The joint proxy statement/prospectus, first supplement, this second supplement and other documents filed by CME Holdings and CBOT Holdings with the SEC are available for you to review at the public reference room of the SEC located at 100 F Street, N.E., Room 1580, Washington, DC 20549, and through the SEC’s website, www.sec.gov. You can also obtain documents filed by CME Holdings and CBOT Holdings, excluding exhibits to those documents, without charge by requesting them from the appropriate company in writing or by telephone at the following addresses and telephone numbers:

Chicago Mercantile Exchange Holdings Inc.

20 South Wacker Drive

Chicago, Illinois 60606

(312) 930-1000

Attention: Investor Relations

www.cme.com/about/invest

CBOT Holdings, Inc.

141 West Jackson Boulevard

Chicago, Illinois 60604

(312) 435-3500

Attention: Investor Relations

www.cbot.com

No person is authorized to give any information or to make any representation with respect to the matters that this document describes other than those contained in this document, and, if given or made, the information or representation must not be relied upon as having been authorized by CME Holdings or CBOT Holdings. This document does not constitute an offer to sell or a solicitation of an offer to buy securities or a solicitation of a proxy in any jurisdiction where, or to any person to whom, it is unlawful to make such an offer or a solicitation. Neither the delivery of this document nor any distribution of securities made under this document shall, under any circumstances, create an implication that there has been no change in the affairs of CME Holdings or CBOT Holdings since the date of this document or that the information contained herein is correct as of any time subsequent to the date of this document.

See “Where You Can Find More Information” beginning on page S-38.

TABLE OF CONTENTS


SUMMARY		S-1
Update to Questions and Answers About the Merger		S-1
FORWARD-LOOKING STATEMENTS		S-4
UPDATE TO THE MERGER		S-5
Update to Background of the Merger		S-5
Update to CME Holdings’ Reasons for the Merger; Recommendation of CME Holdings’ Board of Directors		S-9
Update to CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Boards of Directors		S-10
Update to Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee		S-12
Opinion of Lehman Brothers, Financial Advisor to CME Holdings		S-13
Opinion of William Blair, Financial Advisor to CME Holdings		S-20
UPDATE TO UNAUDITED PRO FORMA CONDENSED COMBINED FINANCIAL INFORMATION FOR CME GROUP		S-27
NOTES TO THE UNAUDITED PRO FORMA CONDENSED COMBINED FINANCIAL INFORMATION FOR CME GROUP		S-31
WHERE YOU CAN FIND MORE INFORMATION		S-38
JOINT PROXY STATEMENT PROSPECTUS, DATED AS OF JUNE 5, 2007		S-40
FIRST SUPPLEMENT TO JOINT PROXY STATEMENT/PROSPECTUS, DATED AS OF JUNE 17, 2007		S-41

ANNEXES
ANNEX A—Amendment No. 4 to Agreement and Plan of Merger, dated as of October 17, 2006, as amended as of December 20, 2006, May 11, 2007 and June 14, 2007		A-1
ANNEX B—Opinion of Lehman Brothers, dated as of July 6, 2007		B-1
ANNEX C—Opinion of William Blair, dated as of July 6, 2007		C-1

SUMMARY

This second supplement amends and supplements the joint proxy statement/prospectus and the first supplement mailed to stockholders of CME Holdings, stockholders of CBOT Holdings and members of CBOT on or about June 8, 2007 and June 17, 2007, respectively. Copies of the joint proxy statement/prospectus and the first supplement are included immediately following this second supplement beginning on page S-40 and S-41, respectively. To the extent information in this second supplement differs from, updates or conflicts with information contained in the joint proxy statement/prospectus, as supplemented, the information in this second supplement governs. You should carefully read this entire second supplement and the joint proxy statement/ prospectus, as supplemented, to fully understand the merger and the related transactions.

Update to Questions and Answers About the Merger

What terms of the merger changed in the amended merger agreement?

The merger consideration for each share of CBOT Holdings Class A common stock increased from 0.3500 shares of CME Holdings Class A common stock to 0.3750 shares of CME Holdings Class A common stock. Based on the number of shares of common stock of CME Holdings and CBOT Holdings outstanding on July 5, 2007, the last trading day prior to the public announcement of the further revised terms of the merger, immediately after the completion of the merger, CME Holdings stockholders will own approximately 64% of the common stock of CME Group and the CBOT Holdings Class A stockholders immediately prior to the merger will own approximately 36% of the common stock of CME Group. Other than the increase in the exchange ratio, there have been no other changes to the terms of the merger.

Has there been any change to the date or locations of the special meetings?

A:	No, each of the CME Holdings, CBOT Holdings and CBOT special meetings will still be held on July 9, 2007 as detailed below.

The CME Holdings special meeting will be held at UBS Tower—The Conference Center, One North Wacker Drive, Chicago, Illinois, on July 9, 2007 at 3:00 p.m., Chicago time. All holders of CME Holdings Class A and Class B common stock at the close of business on May 29, 2007, the record date for the CME Holdings special meeting, are invited to attend the special meeting.

If I have not already voted, what do I need to do now in order to vote?

A:	Please respond as soon as possible so that your shares or membership interests, as the case may be, will be represented and voted at your special meeting.

S-1

CME Holdings stockholders of record can vote:

•

Online—by going to www.proxyvote.com and following the steps described on that website to vote your shares of CME Holdings common stock. Have the WHITE PROXY CARD previously sent to you in hand when you access the web site because you will have to enter the control number printed on your WHITE PROXY CARD. Online voting is available 24 hours a day, 7 days a week until 11:59 p.m. Eastern Daylight Time on July 8, 2007 (the day prior to the special meeting). If you vote online, do not return your proxy card(s).

•

Telephone—by calling the toll-free number 1-800-690-6903 in the United States, Canada or Puerto Rico on a touch-tone phone. You will then be prompted to enter the control number printed on the WHITE PROXY CARD previously sent to you and to follow the subsequent instructions. Telephone voting is available 24 hours a day, 7 days a week until 11:59 p.m. Eastern Daylight Time on July 8, 2007 (the day prior to the special meeting). If you vote by telephone, do not return your proxy card(s).

•

Hand Delivery—by completing, signing and dating the WHITE PROXY CARD previously sent to you. Given the time required to receive cards sent by mail, you should vote online or by phone, or hand deliver your completed WHITE PROXY CARD to CME Holdings at the CME Holdings special meeting in order to ensure that your vote is counted.

If you hold your CME Holdings shares through a bank, broker, custodian or other recordholder, please refer to your proxy card or the information forwarded by your bank, broker, custodian or other recordholder to see which options are available to you.

CBOT Holdings stockholders of record can vote:

•

Online—by going to http://proxy.georgeson.com and following the steps described on that website to vote your shares of CBOT Holdings common stock. Have the WHITE PROXY CARD previously sent to you in hand when you access the web site because you will have to enter the control number printed on your WHITE PROXY CARD. Online voting is available 24 hours a day, 7 days a week until 11:59 p.m. Eastern Daylight Time on July 8, 2007 (the day prior to the special meeting). If you vote online, do not return your proxy card(s).

•

Telephone—by calling the toll-free number 1-800-732-4052 in the United States and Canada on a touch-tone phone. You will then be prompted to enter the control number printed on the WHITE PROXY CARD previously sent to you and to follow the subsequent instructions. Telephone voting is available 24 hours a day, 7 days a week until 11:59 p.m. Eastern Daylight Time on July 8, 2007 (the day prior to the special meeting). If you vote by telephone, do not return your proxy card(s).

•

Hand Delivery—by completing, signing and dating the WHITE PROXY CARD previously sent to you. Given the time required to receive cards sent by mail, you should vote online or by phone, or hand deliver your completed WHITE PROXY CARD to CBOT Holdings at the CBOT Holdings special meeting in order to ensure that your vote is counted.

If you hold your CBOT Holdings shares through a bank, broker, custodian or other recordholder, please refer to your proxy card or the information forwarded by your bank, broker, custodian or other recordholder to see which options are available to you.

CBOT Series B-1 and B-2 members of record can vote:

•

Online—by going to http://proxy.georgeson.com and following the steps described on that website to vote your CBOT memberships. Have the BLUE PROXY CARD previously sent to you in hand when you access the web site because you will have to enter the control number printed on your BLUE PROXY CARD. Online voting is available 24 hours a day, 7 days a week until 11:59 p.m. Eastern Daylight Time on July 8, 2007 (the day prior to the special meeting). If you vote online, do not return your proxy card(s).

S-2

•

Telephone—by calling the toll-free number 1-800-786-8302 in the United States and Canada on a touch-tone phone. You will then be prompted to enter the control number printed on the BLUE PROXY CARD previously sent to you and to follow the subsequent instructions. Telephone voting is available 24 hours a day, 7 days a week until 11:59 p.m. Eastern Daylight Time on July 8, 2007 (the day prior to the special meeting). If you vote by telephone, do not return your proxy card(s).

•

Hand Delivery—by completing, signing and dating the BLUE PROXY CARD previously sent to you. Given the time required to receive cards sent by mail, you should vote online or by phone, or hand deliver your completed BLUE PROXY CARD to representatives of Georgeson, Inc., CBOT’s proxy solicitor, who will be on site at CBOT on Friday, July 6, 2007 and Monday July 9, 2007 until prior to the time of the CBOT special meeting, or to CBOT at the CBOT special meeting in order to ensure that your vote is counted.

What if I already voted? Do I need to vote again? What if I want to change my vote?

A:	If you previously submitted a proxy for the meetings on July 9, 2007, you do not need to submit another proxy or take any other action unless you desire to change your previous vote.

You may change your vote at any time before your proxy is voted at your special meeting. If you are the record holder of your shares or membership interests, as the case may be, you can do this in one of three ways. First, you can send a written notice stating that you would like to revoke your proxy. Second, you can complete and submit a new valid proxy bearing a later date by Internet or telephone or by mail. Third, you can attend the applicable special meeting and vote in person. Given the time required to receive notices or cards sent by mail, you should vote by Internet or by phone, or hand deliver your completed proxy card to your company at its respective special meeting in order to ensure that your vote is counted. Attendance at any of the meetings will not in and of itself constitute revocation of a proxy. If you hold shares of CME Holdings Class A common stock or CBOT Holdings Class A common stock in “street name,” you should contact your broker or bank to give it instructions to change your vote.

If you are a CME Holdings stockholder and you choose to send a written notice or to mail a new proxy, you must submit your notice of revocation or new WHITE PROXY CARD to CME Holdings c/o Broadridge, 51 Mercedes Way, Edgewood, NY 11717, and it must be received prior to the special meeting. Given the time required to receive notices or cards sent by mail, you should vote online or by phone, or hand deliver your completed WHITE PROXY CARD to CME Holdings at the CME Holdings special meeting in order to ensure that your vote is counted.

If you are a CBOT Holdings Class A stockholder and you choose to send a written notice or to mail a new proxy, you must submit your notice of revocation or new WHITE PROXY CARD to CBOT Holdings c/o Georgeson Inc., Wall Street Station, P.O. Box 1100, New York, NY 10269-0646, and it must be received prior to the special meeting. Given the time required to receive notices or cards sent by mail, you should vote online or by phone, or hand deliver your completed WHITE PROXY CARD to CBOT Holdings at the CBOT Holdings special meeting in order to ensure that your vote is counted.

If you are a CBOT member and you choose to send a written notice or to mail a new proxy, you must submit your notice of revocation or new BLUE PROXY CARD to CBOT c/o Georgeson Inc., Wall Street Station, P.O. Box 1100, New York, NY 10269-0646, and it must be received prior to the special meeting. Given the time required to receive notices or cards sent by mail, you should vote online or by phone, or hand deliver your completed BLUE PROXY CARD to representatives of Georgeson, Inc., CBOT’s proxy solicitor, who will be on site at CBOT on Friday, July 6, 2007 and Monday July 9, 2007 until prior to the time of the CBOT special meeting, or to CBOT at the CBOT special meeting in order to ensure that your vote is counted.

S-3

FORWARD-LOOKING STATEMENTS

This document contains a number of forward-looking statements regarding the financial condition, results of operations, earnings outlook, and business prospects of CME Holdings, CBOT Holdings and CME Group and may include statements for the period following the completion of the merger. You can find many of these statements by looking for words such as “expects,” “projects,” “anticipates,” “believes,” “intends,” “estimates,” “strategy,” “plan,” “potential,” “possible” and other similar expressions.

The forward-looking statements involve certain risks and uncertainties. The ability of either CME Holdings or CBOT Holdings to predict results or actual effects of its plans and strategies, or those of CME Group, is inherently uncertain. Accordingly, actual results may differ materially from those expressed in, or implied by, the forward-looking statements. Some of the factors that may cause actual results or earnings to differ materially from those contemplated by the forward-looking statements include, but are not limited to, those discussed under “Risk Factors” in the joint proxy statement/prospectus and those discussed under “Forward-Looking Statements” in the joint proxy statement/prospectus.

Because these forward-looking statements are subject to assumptions and uncertainties, actual results may differ materially from those expressed or implied by these forward-looking statements. You are cautioned not to place undue reliance on these statements, which speak only as of the date of this document.

All subsequent written and oral forward-looking statements concerning the merger or other matters addressed in this document and attributable to CME Holdings or CBOT Holdings or any person acting on their behalf are expressly qualified in their entirety by the cautionary statements contained or referred to in this section. Except to the extent required by applicable law or regulation, CME Holdings and CBOT Holdings undertake no obligation to update these forward-looking statements to reflect events or circumstances after the date of this document or to reflect the occurrence of unanticipated events.

S-4

UPDATE TO THE MERGER

Update to Background of the Merger

Throughout the period from June 14, 2007 to the announcement of the amended merger agreement, members of management and the board of directors of CME Holdings and CBOT Holdings and their respective proxy solicitors had numerous discussions with various stockholders of CME Holdings and CBOT Holdings and members of CBOT regarding the terms of the merger.

On June 21, 2007, CBOE issued an information circular to its members announcing that it and IntercontinentalExchange, Inc., or “ICE,” had entered into an amendment to the ICE/CBOE settlement agreement regarding the exercise rights of CBOT members to become members in CBOE. According to the information circular, CBOE and ICE agreed to amend the ICE/CBOE agreement such that the meeting of CBOE’s membership to approve the transactions contemplated by the ICE/CBOE agreement scheduled for July 3, 2007 would not be held until later in July.

On June 25, 2007, ICE announced that it had filed a definitive proxy statement with the SEC to solicit proxies from CBOT Holdings stockholders to vote against the merger and had commenced the mailing of its definitive proxy materials to CBOT Holdings stockholders and CBOT members.

On June 25, 2007, the CME Holdings transaction committee held a meeting, together with members of management and representatives of Skadden, Arps, Slate, Meagher & Flom LLP, or “Skadden, Arps,” its legal advisor, and representatives of Lehman Brothers Inc., or “Lehman Brothers,” and William Blair & Company, L.L.C., or “William Blair,” its financial advisors, during which the transaction committee discussed CME Holdings’ and the proxy solicitors’ communications with stockholders of CME Holdings and CBOT Holdings and members of CBOT and the results of the parties’ proxy solicitation efforts. At the meeting, the transaction committee also discussed potential enhancements to the terms of the amended merger agreement, including an increase in the exchange ratio.

On June 27, 2007, CME Holdings and CBOT Holdings announced that proxy advisory firm Institutional Shareholder Services recommended that CME Holdings stockholders and CBOT Holdings stockholders vote “FOR” the merger agreement at the special meetings scheduled for July 9, 2007.

On June 28, 2007, the CME Holdings transaction committee held a meeting, together with its legal and financial advisors and management, to further discuss the parties’ communications with stockholders and members and proxy solicitation efforts and potential enhancements to the terms of the amended merger agreement, including an increase in the exchange ratio. Later in the day on June 28, 2007, management of CME Holdings held an informational meeting with members of CBOT to discuss the terms of the merger and related matters.

On June 29, 2007, CBOT Holdings announced that proxy advisory firm Glass Lewis & Co. recommended that CBOT Holdings stockholders vote “FOR” the merger at the CBOT Holdings special meeting scheduled for July 9, 2007.

On July 2, 2007, CME Holdings announced that proxy advisory firms Glass Lewis & Co. and Egan-Jones Ratings Co. recommended that CME Holdings stockholders vote “FOR” the merger at the CME Holdings special meeting scheduled for July 9, 2007.

On July 2, 2007, CBOE filed a proposed rule change with the SEC relating to the exercise rights. According to CBOE, upon completion of the merger, CBOE will grant “temporary membership status” to each CBOT member who has become a CBOE member pursuant to the exercise rights, who we refer to as an “exerciser member,” on July 1, 2007 so long as certain conditions are satisfied, including that the member remain an exerciser member until the completion of the merger. CBOE asserts that the proposed rule is effective

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immediately. Among other conditions, CBOE proposes that persons with “temporary membership status” pay a monthly access fee based on the current lease rates for CBOT Series B-1 memberships. CBOE also proposes that exerciser members do not need to retain the three components necessary to be considered an “eligible full member” to qualify for “temporary membership status.” It also proposes that holders of exercise rights who have not yet used their exercise rights, even if they have the three components, would no longer be able to use those exercise rights.

Also on July 2, 2007, CBOT Holdings announced that proxy advisory firms Proxy Governance Inc. and Egan-Jones Proxy Services recommended that CBOT Holdings stockholders vote “FOR” the merger at the CBOT Holdings special meeting scheduled for July 9, 2007.

In the morning on July 3, 2007, ICE submitted to CBOT Holdings a proposal, including a form of merger agreement executed by ICE, which we refer to as the ICE merger agreement, and related exhibits, providing for a combination of ICE and CBOT Holdings. The ICE merger agreement was substantially the same as the draft merger agreement and related exhibits provided to CBOT Holdings on June 12, 2007 and described on pages S-10 and S-11 of the first supplement. The ICE merger agreement did not change any of the material terms, including the amount or type of consideration, contained in ICE’s draft merger agreement and related exhibits provided to CBOT Holdings on June 12, 2007. In the accompanying letter dated July 3, 2007, ICE stated that it was prepared to consider and discuss additional matters to address CBOT member concerns, including a potential tender offer for Series B-1 and Series B-2 memberships, using Atos Euronext Market Solutions’ clearing system and software to eliminate perceived gaps in ICE’s proposed integration plan and enhancing the terms of its proposal regarding CBOE exercise rights. According to ICE’s letter, if the amended merger agreement with CME Holdings is terminated before 5:00 p.m. Chicago time on July 12, 2007, and if all of the following conditions are satisfied, the ICE merger agreement would be binding on all parties:

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ICE shall have received, prior to 5:00 p.m. (Chicago time) on July 12, 2007, counterparts of the merger agreement fully executed by CBOT Holdings, CBOT and a newly formed subsidiary of CBOT Holdings, together with a disclosure schedule from CBOT Holdings and CBOT dated as of the date CBOT Holdings and CBOT have returned to ICE their executed counterparts of the merger agreement;

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There shall have occurred no “Material Adverse Effect” (as defined in the ICE merger agreement) on CBOT Holdings or any events or circumstances that would be reasonably likely to result in a Material Adverse Effect on CBOT Holdings, in each case since October 14, 2006;

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From and including July 3, 2007, CBOT Holdings shall not have amended or agreed to amend the amended merger agreement with CME Holdings and none of CBOT Holdings, CBOT or CME Holdings shall have waived or agreed to waive any rights under the amended merger agreement with CME Holdings in any material respect, or consented to or agreed to consent to any waiver of the amended merger agreement with CME Holdings in any material respect; and

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There shall be no matter disclosed in CBOT Holdings’ or CBOT’s disclosure schedules for the ICE merger agreement that was not disclosed in the CBOT Holdings and CBOT disclosure letter corresponding to the amended merger agreement with CME Holdings, which matter has resulted in, or would reasonably be likely to result in, a Material Adverse Effect on CBOT Holdings.

ICE’s letter stated that unless the amended merger agreement with CME Holdings is terminated and CBOT Holdings, CBOT and the new CBOT subsidiary execute and deliver to ICE their counterpart to the ICE merger agreement before 5:00 p.m. (Chicago time) on July 12, 2007, the ICE merger agreement would be null and void regardless of any action or communication of CBOT Holdings and/or CBOT and ICE would have no further obligation under the letter or the ICE merger agreement.

Also on July 3, 2007, the CBOT Holdings special transaction committee and the non-ER members committee held a joint meeting, together with their respective legal advisors and CSC Consulting, Inc., the special transaction committee’s independent technology consultant, to review and discuss ICE’s letter. Representatives of CSC provided an analysis of the additional information provided by ICE in its July 3, 2007

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letter with respect to integration planning and the relevance of that information to the concerns previously identified by the special committees as to the proposed integration of CBOT Holdings’ and ICE’s technology and trading and clearing platforms. The special committees, after discussion and consideration of the advice of CSC and their respective legal counsel, concluded that the additional information provided by ICE in connection with its most recently resubmitted proposal, would not cause the special committees to change their prior determination that the ICE proposal could not reasonably be expected to lead to a “Superior Proposal.”

Later in the day on July 3, 2007, the boards of directors of CBOT Holdings and CBOT held special meetings at which management and the legal advisors to CBOT Holdings and CBOT reviewed the terms of the revised ICE proposal. The boards and their legal advisors discussed the fact that the terms of the ICE merger agreement had not changed in any material respect from the draft provided on June 12, 2007. The boards also discussed with their legal advisors and management the additional proposals referred to in ICE’s July 3, 2007 letter and noted that ICE had not resolved the significant risks identified during CBOT Holdings’ comprehensive due diligence conducted of ICE and its trading and clearing platforms. As a result of the foregoing discussions, the CBOT Holdings board unanimously determined that the revised ICE proposal was not a “Superior Proposal” (within the meaning of the amended merger agreement) and could not reasonably be expected to lead to a “Superior Proposal.” The legal advisors also described for the boards the CBOE’s July 2, 2007 proposed rule filing with the SEC related to the CBOE exercise rights.

Also during the day on July 3, 2007, the CME Holdings transaction committee held a meeting, together with its legal and financial advisors and management, to further discuss the parties communications with stockholders and members and proxy solicitation efforts and a potential increase in the exchange ratio.

During the day on July 5, 2007, the CME Holdings transaction committee held a meeting, together with its legal and financial advisors and management, to further discuss the parties’ communications with stockholders and members and proxy solicitation efforts and a potential increase in the exchange ratio.

In the evening on July 5, 2007, the CME Holdings board of directors held a special meeting during which the board was updated on the parties’ communications with stockholders and members and proxy solicitation efforts and the board discussed a proposed increase in the exchange ratio. Representatives of Skadden, Arps reviewed for the board the specific terms of the proposed amendment to the amended merger agreement and discussed the board’s fiduciary duties generally in the context of the merger and specifically in light of the proposed increase in the exchange ratio. Representatives from Lehman Brothers and William Blair each provided their respective analyses of the revised proposal and verbally stated their opinions (subsequently confirmed in writing) that based upon and subject to the assumptions, conditions, limitations and other matters discussed and ultimately set forth in the written opinion, the consideration to be paid by CME Holdings in the merger, giving effect to the increase in the exchange ratio and giving effect to the conditional special dividend to be paid by CBOT Holdings and the terms of CME Holdings’ proposal with respect to the “exercise rights” of CBOT members to become a member of CBOE, was fair from a financial point of view to CME Holdings. The board considered and discussed the various presentations made at the meeting and at prior meetings. Following deliberations and reviewing all aspects of the amended merger agreement, the CME Holdings board of directors determined by a vote of 19 for and one against that the merger agreement as amended and the transactions contemplated by the merger agreement were advisable, fair to and in the best interests of CME Holdings and its stockholders and then approved and adopted the amended merger agreement, authorized management to enter into the fourth amendment to the amended merger agreement and resolved to submit the amended merger agreement to CME Holdings stockholders for approval and recommended that CME Holdings stockholders adopt the merger agreement as amended and the transactions contemplated thereby. CME Holdings’ board also authorized the appropriate officers to finalize the fourth amendment to the amended merger agreement and related documentation.

In the evening of July 5, 2007, the CBOT Holdings special transaction committee and the non-ER members committee held a joint meeting, together with their financial and respective legal advisors, to review and discuss

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the process for consideration of any enhancements to the amended merger agreement that might be proposed by CME Holdings.

Following the CME Holdings board meeting on July 5, 2007, Mr. Duffy contacted Mr. Charles P. Carey, chairman of CBOT Holdings, by telephone to express CME Holdings’ proposal to increase the exchange ratio from 0.3500 to 0.3750. In the early morning of July 6, 2007, Skadden, Arps provided Mayer, Brown, Rowe & Maw LLP, or “Mayer Brown,” counsel to CBOT Holdings, with a draft of the fourth amendment to the amended merger agreement reflecting CME Holdings’ proposal.

Also in the early morning on July 6, 2007, the CBOT Holdings special transaction committee and the non-ER members committee held a joint meeting, together with their legal and financial advisors, to consider the proposed enhancements to the amended merger agreement. The legal advisors reviewed and discussed the form of the fourth amendment. The special committees discussed the factors set forth in “The Merger—Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee” of the joint proxy statement/prospectus, “—Update to Recommendations of CBOT Holdings Special Transaction Committee and Non-ER Members Committee” beginning on page S-17 of the first supplement and “—Update to Recommendations of CBOT Holdings Special Transaction Committee and Non-ER Members Committee” beginning on page S-12 of this second supplement. The special committees adjourned the meeting so that each special committee could meet separately to consider the proposed enhancements to the amended merger agreement.

The CBOT Holdings special transaction committee convened a separate meeting, together with its legal and financial advisors. The special transaction committee discussed the factors set forth in “The Merger—Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee” of the joint proxy statement/prospectus, “—Update to Recommendations of CBOT Holdings Special Transaction Committee and Non-ER Members Committee” beginning on page S-17 of the first supplement and “—Update to Recommendations of CBOT Holdings Special Transaction Committee and Non-ER Members Committee” beginning on page S-12 of this second supplement, and following those discussions, after considering the advice of its legal and financial advisors, unanimously (i) determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to and in the best interests of CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have an exercise right or own a membership on CBOE pursuant to such exercise right, (ii) recommended that CBOT Holdings’ board authorize and approve the amended merger agreement and the merger and (iii) recommended adoption of the amended merger agreement and the merger by CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have an exercise right or own a membership on CBOE pursuant to such exercise right. Such stockholders are believed to be a minority of all CBOT Holdings Class A stockholders.

The non-ER members committee convened a separate meeting, together with its legal advisor. The non-ER members committee considered the factors set forth in “The Merger—Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee” of the joint proxy statement/prospectus, “—Update to Recommendations of CBOT Holdings Special Transaction Committee and Non-ER Members Committee” beginning on page S-17 of the first supplement and “—Update to Recommendations of CBOT Holdings Special Transaction Committee and Non-ER Members Committee” beginning on page S-12 of this second supplement, and, after considering the advice of its legal advisors and Lazard, (i) determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to and in the best interests of CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right, (ii) recommended that CBOT Holdings’ board authorize and approve the amended merger agreement and the merger and (iii) recommended adoption of the amended merger agreement and the merger by CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right.

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Later in the morning on July 6, 2007, the boards of directors of CBOT Holdings and CBOT held a meeting, together with the legal and financial advisors to CBOT Holdings and CBOT, to review and discuss the proposed enhancements to the amended merger agreement. Management provided an update on recent developments regarding CME Holdings and CBOT Holdings. Representatives of Mayer Brown discussed the proposed enhancements to the amended merger agreement and the boards’ fiduciary duties generally in the context of the merger and specifically in light of the proposed increase in the exchange ratio.

At the July 6, 2007 meeting, CBOT Holdings’ board, after considering the advice of its legal and financial advisors, unanimously (i) approved the amended merger agreement and the transactions contemplated thereby, including the merger, (ii) determined that the amended merger agreement and the transactions contemplated thereby were advisable and fair to and in the best interest of CBOT Holdings and its stockholders, (iii) resolved to submit the amended merger agreement to CBOT Holdings Class A stockholders for their approval and (iv) recommended that CBOT Holdings Class A stockholders adopt the amended merger agreement and the transactions contemplated thereby. CBOT Holdings’ board also authorized the appropriate officers to finalize the fourth amendment to the amended merger agreement.

Also at the July 6, 2007, meeting, following discussion with CBOT Holdings’ management and the boards’ legal and financial advisors, CBOT’s board unanimously (i) approved the amended merger agreement and the transactions contemplated thereby, including the merger and (ii) recommended that the Series B-1 and Series B-2 members approve the repurchase of the share of Class B common stock of CBOT Holdings and the amended and restated certificate of incorporation of CBOT.

Representatives of CME Holdings, CBOT Holdings and CBOT executed the fourth amendment to the amended merger agreement and announced the increase in the exchange ratio through the issuance of a joint press release prior to the open of the U.S. financial markets on July 6, 2007.

Update to CME Holdings’ Reasons for the Merger; Recommendation of CME Holdings’ Board of Directors

On July 5, 2007, CME Holdings’ board of directors approved the amended merger agreement and determined that the amended merger agreement and the merger were advisable, fair to and in the best interests of CME Holdings and its stockholders. CME Holdings’ board of directors recommends that CME Holdings stockholders vote “FOR” the adoption of the amended merger agreement at the CME Holdings special meeting of stockholders.

In reaching its decision to approve the amended merger agreement and recommend that its stockholders adopt the amended merger agreement, CME Holdings’ board of directors considered a number of factors, including the factors discussed in the following paragraphs. In light of the number and wide variety of factors considered in connection with its evaluation of the transaction, CME Holdings’ board did not consider it practicable to, and did not attempt to, quantify, rank or otherwise assign relative weights to the specific factors it considered in reaching its determination. Rather, CME Holdings’ board of directors made its recommendation based on the totality of information presented to, and the investigation conducted by or at the direction of, CME Holdings’ board. In addition, individual directors may have given different weight to different factors. This explanation of CME Holdings’ reasons for the proposed merger with CBOT Holdings and other information presented in this section is forward-looking in nature and, therefore, should be read in light of the factors discussed under “Forward-Looking Statements.”

In arriving at its determination, CME Holdings’ board of directors consulted with CME Holdings’ management and its financial and legal advisors and considered a number of factors, including the material factors discussed beginning on page 79 of the joint proxy statement/prospectus, beginning on page S-14 of the

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first supplement and the following material factors, which CME Holdings’ board viewed as generally supporting its determination:

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the financial analyses presented by Lehman Brothers and William Blair, CME Holdings’ financial advisors, to the CME Holdings board of directors, and their respective opinions, each delivered orally to the CME Holdings board of directors and subsequently confirmed in writing on July 6, 2007, to the effect that, as of that date, and subject to and based on the qualifications and assumptions set forth in their respective opinions, the consideration to be paid by CME Holdings in the merger, giving effect to increased exchange ratio, was fair, from a financial point of view, to CME Holdings (see the sections entitled “—Opinion of Lehman Brothers, Financial Advisor to CME Holdings” and “—Opinion of William Blair, Financial Advisor to CME Holdings”);

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the belief that, if CME Holdings increased the exchange ratio from 0.3500 to 0.3750 shares of CME Holdings Class A common stock for each share of CBOT Holdings Class A common stock, there would be increased support from stockholders of CBOT Holdings for approving the merger and from members of CBOT for approving the related matters and that such increase would not materially impact the long-term financial benefits of the merger to stockholders of CME Holdings; and

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the belief that the terms of the amended merger agreement are reasonable.

In addition to the factors described above, the CME Holdings board of directors identified and considered a variety of risks and potentially negative factors in its deliberations concerning the merger, including the factors discussed beginning on page 80 of the joint proxy statement/prospectus, on page S-15 of the first supplement and the costs and potential risks related to the increase in the merger consideration.

The foregoing discussion of the material factors considered by the CME Holdings board of directors is not intended to be exhaustive, but does set forth the principal factors considered by the CME Holdings board of directors.

Update to CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Boards of Directors

On July 6, 2007, CBOT Holdings’ board of directors, by unanimous vote, approved the amended merger agreement and determined that the amended merger agreement and the merger are advisable and fair to and in the best interests of CBOT Holdings and its stockholders. CBOT Holdings’ board of directors unanimously recommends that CBOT Holdings Class A stockholders vote “FOR” the adoption of the amended merger agreement at CBOT Holdings’ special meeting of stockholders.

In reaching its decision to approve the amended merger agreement and recommend that its stockholders adopt the amended merger agreement, CBOT Holdings’ board of directors considered a number of factors, including the factors discussed in the following paragraphs. In light of the number and wide variety of factors considered in connection with its evaluation of the transaction, CBOT Holdings’ board of directors did not consider it practicable to, and did not attempt to, quantify, rank or otherwise assign relative weights to the specific factors it considered in reaching its determination. Rather, the CBOT Holdings board of directors made its recommendation based on the totality of information presented to, and the investigations conducted by or at the direction of, CBOT Holdings’ board of directors. In addition, individual directors may have given different weight to different factors. This explanation of CBOT Holdings’ reasons for the proposed merger with CME Holdings and other information presented in this section is forward-looking in nature and, therefore, should be read in light of the factors discussed under “Forward-Looking Statements.”

In arriving at its determination, CBOT Holdings’ board of directors consulted with CBOT Holdings’ management and its financial and legal advisors and considered a number of factors, including the material factors discussed beginning on page 81 of the joint proxy statement/prospectus, beginning on page S-15 of the

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first supplement and the following material factors, which CBOT Holdings’ board viewed as generally supporting its determination:

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the increase in the merger consideration from 0.3500 to 0.3750 shares of CME Holdings Class A common stock for each share of CBOT Holdings Class A common stock provided significant value to all holders of CBOT Holdings Class A common stock;

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the fourth amendment did not include an increase in the termination fee or a change in other deal protection measures;

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the increase in the exchange ratio from 0.3500 to 0.3750 shares of CME Holdings Class A common stock for each share of CBOT Holdings Class A common stock was an increase in the merger consideration that JPMorgan had previously determined, based upon and subject to the factors, limitations and assumptions set forth in its written opinion, was fair, from a financial point of view, to CBOT Holdings Class A stockholders. See “Update to the Merger—Opinion of JPMorgan, Financial Advisor to CBOT Holdings” beginning on page S-33 of the first supplement and the opinion of JPMorgan, dated as of June 14, 2007, attached as Annex D to the first supplement.

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that the special transaction committee (i) determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to and in the best interests of CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have a CBOT exercise right or own a membership on CBOE pursuant to such exercise right and (ii) recommended that CBOT Holdings’ board of directors authorize and approve the amended merger agreement and the merger (see the section entitled “—Update to Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee”);

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that the non-ER members committee (i) determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to and in the best interests of CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right and (ii) recommended that CBOT Holdings’ board of directors authorize and approve the amended merger agreement and the merger (see the section entitled “—Update to Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee”);

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the absence of any additional information from, or action by, ICE that in the board’s judgment would mitigate the integration and execution risks previously identified in the section entitled “The Merger—Conclusions Regarding the ICE Proposal” beginning on page 89 in the joint proxy statement/prospectus; and

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the belief that the terms of the amended merger agreement are reasonable.

Also, CBOT’s board of directors, by unanimous vote, approved on July 6, 2007 the amended merger agreement, and had previously approved the repurchase by CBOT Holdings of the outstanding share of Class B common stock of CBOT Holdings held by the CBOT Subsidiary Voting Trust, the amended and restated certificate of incorporation of CBOT to become effective concurrently with the completion of the merger, and the amended and restated bylaws of CBOT to become effective concurrently with the completion of the merger. CBOT’s board of directors unanimously recommends that CBOT’s Series B-1 members and Series B-2 members vote “FOR” the repurchase of the Class B common stock by CBOT Holdings and “FOR” the amended and restated certificate of incorporation of CBOT.

CBOT’s board of directors, in approving the amended merger agreement, considered, among other factors, many of the factors described above as well as the factors discussed beginning on page 83 of the joint proxy statement/prospectus and beginning on page S-17 of the first supplement.

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The foregoing discussion of the material factors considered by CBOT Holdings’ board of directors and CBOT’s board of directors is not intended to be exhaustive, but does set forth the principal factors considered by CBOT Holdings’ board and CBOT’s board.

Update to Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee

On July 6, 2007, the special transaction committee unanimously (i) determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to, and in the best interests of CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have a CBOE exercise right or own a membership on CBOE pursuant to such exercise right, (ii) recommended that CBOT Holdings’ board authorize and approve the amended merger agreement and the merger and (iii) recommended adoption of the amended merger agreement and the merger by CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have a CBOE exercise right or own a membership on CBOE pursuant to such exercise right. On July 6, 2007, the non-ER members committee (i) determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to, and in the best interests of CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right, (ii) recommended that CBOT Holdings’ board authorize and approve the amended merger agreement and the merger and (iii) recommended adoption of the amended merger agreement and the merger by CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right.

Each of the special committees considered a number of factors in reaching its recommendation, including the factors set forth in “—Recommendation of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee” in the joint proxy statement/prospectus, those set forth in “—Update to Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee” discussed in the first supplement, and those discussed in the following paragraphs. In light of the number and wide variety of factors considered in connection with their evaluation of the transaction, the special committees did not consider it practicable to, and did not attempt to, quantify, rank or otherwise assign relative weights to the specific factors considered in reaching their determinations. The special committees viewed their recommendations as being based on all of the information available and the factors presented to and considered by them. In addition, individual directors serving on the special committees may have given different weight to different factors. This explanation of the reasons for the recommendations of the special committees and all other information in this section is forward-looking in nature and, therefore, should be read in light of the factors discussed under “Forward-Looking Statements.”

The special committees considered that the fourth amendment provides for an increase in the exchange ratio from 0.3500 per share to 0.3750 per share. The special committees believe that the increased exchange ratio provides significant additional value to CBOT Holdings Class A stockholders. The increased exchange ratio reflects an approximately 7.1% increase in the implied value of the CME Holdings proposal, based upon the closing stock prices of CBOT Holdings Class A common stock and CME Holdings Class A common stock on July 5, 2007. In addition, based upon the increased exchange ratio, CBOT Holdings Class A stockholders immediately prior to the merger will own approximately 36% of CME Group immediately following the merger and will therefore participate at an increased level in the significant opportunities for long-term growth of CME Group. The special committees also noted that the increased exchange ratio is payable equally to all stockholders.

The special committees also considered the prospects of increasing the exchange ratio beyond that offered by the fourth amendment, and concluded that no material opportunity for increasing the exchange ratio beyond that offered was likely available in the circumstances.

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In reaching their recommendations, the special committees considered the advice of their financial advisor and their respective legal advisors. The special committees independently considered, in consultation with their legal and financial advisors, the factors described in “Update to CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Board of Directors” in this second supplement. Please see “Update to CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Boards of Directors” beginning on page S-10 of this second supplement for a description of these factors.

The foregoing discussion of the material factors considered by the CBOT Holdings’ special transaction committee and non-ER members committee is not intended to be exhaustive, but does set forth the principal factors considered by CBOT Holdings’ special transaction committee and non-ER members committee.

Opinion of Lehman Brothers, Financial Advisor to CME Holdings

In August 2006, the CME Holdings board of directors engaged Lehman Brothers to act as its financial advisor with respect to pursuing a strategic combination with CBOT Holdings. On each of October 16, 2006, May 10, 2007, and June 14, 2007, Lehman Brothers rendered its oral opinion (subsequently confirmed in writing) to the CME Holdings board of directors that as of such date and, based upon and subject to the matters stated in its opinion, from a financial point of view, the consideration to be paid by CME Holdings to the stockholders of CBOT Holdings in the merger was fair to CME Holdings. Thereafter, at the request of the CME Holdings board of directors, in connection with the board of directors’ review of the amended terms of the transaction, on July 5, 2007, Lehman Brothers rendered its oral opinion (subsequently confirmed in writing) to the CME Holdings board of directors that as of such date and, based upon and subject to the matters stated in its opinion, from a financial point of view, the consideration to be paid in the merger, after giving effect to the special dividend to be paid to CBOT Holdings stockholders and the payment to be made with respect to the “exercise rights” of CBOT members to become a member of CBOE, was fair to CME Holdings.

The full text of Lehman Brothers’ written opinion, dated July 6, 2007, is attached as Annex B to this document. Stockholders are encouraged to read Lehman Brothers’ opinion carefully in its entirety for a description of the assumptions made, procedures followed, factors considered and limitations upon the review undertaken by Lehman Brothers in rendering its opinion. Lehman Brothers’ opinion is not intended to be and does not constitute a recommendation to any stockholder as to how that stockholder should vote or act with respect to the proposed merger or any other matters described in this document. The following is a summary of Lehman Brothers’ opinion and the methodology that Lehman Brothers used to render its opinion. This summary is qualified in its entirety by reference to the full text of the opinion.

Lehman Brothers’ advisory services and opinion were provided for the information and assistance of the CME Holdings board of directors in connection with its consideration of the merger. Lehman Brothers was not requested to opine as to, and Lehman Brothers’ opinion does not address, CME Holdings’ underlying business decision to proceed with or effect the merger.

In arriving at its opinion, Lehman Brothers reviewed and analyzed, among other things:

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the amended merger agreement and the specific terms of the merger, including the special dividend, the exercise rights payment and the post-closing tender offer;

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publicly available information concerning CME Holdings and CBOT Holdings that Lehman Brothers believed to be relevant to its analysis, including certain periodic reports filed by CME Holdings and CBOT Holdings, including their most recent Annual Reports on Form 10-K and Quarterly Reports on Form 10-Q;

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financial and operating information with respect to the business, operations and prospects of CBOT Holdings furnished to Lehman Brothers by CBOT Holdings and CME Holdings, including (i) financial

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projections of CBOT Holdings prepared by the management of CBOT Holdings and (ii) financial projections of CBOT Holdings prepared by the management of the CME Holdings;

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financial and operating information with respect to the businesses, operations and prospects of CME Holdings furnished to Lehman Brothers by CME Holdings, including (i) financial projections of CME Holdings prepared by the management of CME Holdings and (ii) the amounts and timing of certain cost savings and revenue synergies expected by the management of CME Holdings to result from the proposed transaction;

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trading histories of CME Holdings common stock and of CBOT Holdings common stock from October 18, 2005 to July 5, 2007 and a comparison of each of their trading histories with those of other companies that Lehman Brothers deemed relevant;

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the relative contributions of CME Holdings, on the one hand, and CBOT Holdings, on the other hand, to the current and future financial performance of CME Group on a pro forma basis;

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a comparison of the financial terms of the merger with the financial terms of certain other transactions that Lehman Brothers deemed relevant;

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the potential pro forma financial impact of the proposed transaction on the future financial performance of CME Holdings, including the expected synergies, the special dividend, the exercise rights payment and the post-closing tender offer;

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a comparison of the historical financial results and present financial condition of CME Holdings and CBOT Holdings with each other and with those of other companies that Lehman Brothers deemed relevant; and

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published estimates by independent equity research analysts with respect to the future financial performance of CME Holdings and CBOT Holdings.

In addition, Lehman Brothers had discussions with the managements of CME Holdings and CBOT Holdings concerning their respective businesses, operations, assets, financial conditions and prospects and undertook such other studies, analyses and investigations as Lehman Brothers deemed appropriate.

In arriving at its opinion, Lehman Brothers assumed and relied upon the accuracy and completeness of the financial and other information used by Lehman Brothers without assuming any responsibility for independent verification of such information. Lehman Brothers further relied upon the assurances of the managements of CME Holdings that they were not aware of any facts or circumstances that would make such information inaccurate or misleading. With respect to the financial projections of CME Holdings and CBOT Holdings prepared by the management of CME Holdings, which were included in the first supplement, upon advice of CME Holdings, Lehman Brothers assumed that such projections were reasonably prepared on a basis reflecting the best currently available estimates and judgments of the management of CME Holdings as to their respective future financial performance and that they would perform substantially in accordance with such projections. With respect to the operating synergies and strategic benefits expected by the management of CME Holdings to result from a combination of the businesses of CME Holdings and CBOT Holdings, upon advice of CME Holdings, Lehman Brothers assumed that such estimated operating synergies and strategic benefits will be achieved substantially in accordance with such expectations. In arriving at its opinion, Lehman Brothers did not conduct or obtain any evaluations or appraisals of the assets or liabilities of CME Holdings or CBOT Holdings, nor did it conduct a physical inspection of the properties and facilities of CME Holdings and CBOT Holdings. Lehman Brothers’ opinion was necessarily based upon market, economic and other conditions as they existed on, and could be evaluated as of, July 5, 2007.

Lehman Brothers is an internationally recognized investment banking firm and, as part of its investment banking activities, is regularly engaged in the valuation of businesses and their securities in connection with mergers and acquisitions, negotiated underwritings, competitive bids, secondary distributions of listed and unlisted securities, private placements and valuations for corporate and other purposes. The CME Holdings board

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of directors selected Lehman Brothers because of its expertise, reputation and familiarity with CME Holdings and the exchange industry generally and because its investment banking professionals have substantial experience in transactions comparable to the merger.

The following is a summary of the material financial analyses used by Lehman Brothers in connection with providing its opinion to the CME Holdings board of directors. The financial analyses summarized below include information presented in tabular format. In order to fully understand the financial analyses used by Lehman Brothers, the tables must be read together with the text of each summary. Considering any portion of such analyses and of the factors considered, without considering all analyses and factors, could create a misleading or incomplete view of the process underlying Lehman Brothers’ opinion.

Comparable Company Analysis

In order to assess how the public market values shares of similar publicly traded companies, Lehman Brothers, based on its experience with companies in the exchange industry, reviewed and compared specific financial and operating data relating to CBOT Holdings with selected companies that Lehman Brothers deemed comparable to CBOT Holdings, including:

•

Australian Stock Exchange;

•

Bolsas y Mercados Españoles;

•

Bursa Malaysia;

•

CME Holdings;

•

Deutsche Börse Group;

•

Hong Kong Exchanges & Clearing;

•

IntercontinentalExchange;

•

London Stock Exchange;

•

The Nasdaq Stock Market, Inc.;

•

NYMEX Holdings, Inc.;

•

NYSE Euronext, Inc.;

•

Singapore Exchange Limited; and

•

TSX Group.

As part of its comparable company analysis, Lehman Brothers calculated and analyzed CBOT Holdings’ and each comparable company’s ratio of current stock price to its projected earnings per share, commonly referred to as a “price earnings ratio.” Lehman Brothers also calculated and analyzed various financial multiples, including CBOT Holdings’ and each comparable company’s enterprise value to certain historical financial criteria such as revenue and earnings before interest, taxes, depreciation and amortization, or “EBITDA.” The enterprise value of each company was obtained by adding its short and long-term debt to the sum of the market value of its common equity, and subtracting its cash and cash equivalents. For the comparable companies, these calculations were performed, and based on publicly available financial data (including Wall Street consensus estimates per the Institutional Broker Estimate System, or “IBES,” database) and closing prices, as of July 5, 2007, the last trading date prior to the delivery of Lehman Brothers’ opinion. For the CBOT Holdings implied share price, the calculations were based on financial projections prepared by CME Holdings’ management.

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The following table sets forth the results of this analysis.


	Comparable Companies at July 5, 2007 Closing Prices
	Range	Median
Ratio of Price to:
Calendar Year 2007 Estimated Earnings	19.7x – 47.6x	27.8x
Calendar Year 2008 Estimated Earnings	17.4x – 35.5x	23.5x

Ratio of Firm Value to:
Calendar Year 2007 Estimated Revenue	6.7x – 24.2x	13.3x
Calendar Year 2008 Estimated Revenue	6.1x – 22.9x	12.0x

Ratio of Firm Value to:
Calendar Year 2007 Estimated EBITDA	11.3x – 32.5x	18.4x
Calendar Year 2008 Estimated EBITDA	10.1x – 29.2x	16.2x

Lehman Brothers selected the comparable companies above because their businesses and operating profiles are reasonably similar to those of CBOT Holdings. However, because of the inherent differences between the business, operations and prospects of CBOT Holdings and the businesses, operations and prospects of the selected comparable companies, no comparable company is exactly the same as CBOT Holdings. Therefore, Lehman Brothers believed that it was inappropriate to, and therefore did not rely solely on the quantitative results of the comparable company analysis. Accordingly, Lehman Brothers also made qualitative judgments concerning differences between the financial and operating characteristics and prospects of CBOT Holdings and the companies included in the comparable company analysis that would affect the public trading values of each in order to provide a context in which to consider the results of the quantitative analysis. These qualitative judgments related primarily to the differing sizes, growth prospects, profitability levels and degree of operational risk between CME Holdings and CBOT Holdings and the companies included in the comparable company analysis. Lehman Brothers’ qualitative judgments resulted in the selection of a set of firms that most closely matched the financial and operating characteristics of CBOT Holdings used in determining the appropriate reference range for the implied share price of CBOT Holdings; namely, CME Holdings, Deutsche Börse, IntercontinentalExchange, NYSE Euronext, and NYMEX Holdings. The reference range for the implied share price of CBOT Holdings was calculated by Lehman Brothers solely by reference to these three companies.

Based on this analysis, Lehman Brothers derived a reference range for the implied share price of CBOT Holdings of approximately $169.75 to $196.00 per share.

Comparable Transaction Analysis

Using publicly available information, Lehman Brothers reviewed and compared the purchase prices and financial multiples paid in nineteen acquisitions or strategic mergers of companies that Lehman Brothers, based on its experience with merger and acquisition transactions, deemed relevant to arriving at its opinion. Lehman Brothers chose the transactions used in the comparable transaction analysis based on the similarity of the target companies in the transactions to CBOT Holdings in the size, mix, margins and other characteristics of their businesses. Lehman Brothers referenced the following transactions:

•

London Stock Exchange Group plc / Borsa Italiana S.p.A.;

•

Nasdaq Stock Market Inc. / OMX AB;

•

Eurex / International Securities Exchange;

•

State Street Corporation / Currenex;

•

IntercontinentalExchange / New York Board of Trade;

•

NYSE Group, Inc. / Euronext N.V.;

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•

ICAP PLC / EBS;

•

Australian Stock Exchange / SFE;

•

The Nasdaq Stock Market, Inc. / INET ECN;

•

New York Stock Exchange, Inc. / Archipelago;

•

OMHEX AB / Copenhagen Stock Exchange;

•

Thomas H. Lee / Refco;

•

The Nasdaq Stock Market, Inc. / Brut, LLC;

•

Clearnet / The London Clearing House;

•

Bank of New York / Pershing;

•

ICAP PLC / BrokerTec;

•

Instinet Corp / Island ECN;

•

Deutsche Börse / Clearstream;

•

Euronext / Liffe; and

•

IntercontinentalExchange / International Petroleum Exchange.

Lehman Brothers selected an equity value per share multiple range of 37.5x to 48.0x the estimated earnings per share, or “EPS,” for the last 12 months ended June 30, 2007, referred to as “LTM,” which is based on average price earnings ratio multiples, consideration type and judgmental impact of cycle timing. However, no company or transaction utilized in the precedent transaction analyses is identical to CBOT Holdings or the combination. In determining the appropriate reference range for equity value per share, Lehman Brothers applied qualitative judgments to select a set of transactions that most closely matched the characteristics of the acquisition of CBOT Holdings; namely, Eurex / International Securities Exchange, State Street Corporation / Currenex, IntercontinentalExchange / New York Board of Trade, NYSE Group, Inc. / Euronext N.V., ICAP PLC / EBS, Australian Stock Exchange / SFE, New York Stock Exchange, Inc. / Archipelago, and Euronext / Liffe. Following the selection of the above transactions, Lehman Brothers calculated the mean and median LTM Net Income and applied a rounding adjustment to arrive at the appropriate reference range. Based on the range of equity value per share multiples and using the financial projections of CBOT Holdings prepared by CME Holdings’ management, the implied share prices of CBOT Holdings on July 5, 2007 were $153.50 to $196.50 per share.

CBOT Discounted Cash Flow Analysis

As part of its analysis, and in order to estimate the present value of CBOT Holdings common stock on a standalone basis, Lehman Brothers also prepared a ten-year discounted cash flow analysis, or “DCF,” for CBOT Holdings, calculated as of July 1, 2007, of after-tax unlevered free cash flows for fiscal years 2007 through 2016 based upon estimated financial data for CBOT Holdings prepared by CME Holdings’ management.

Based upon projected financial results for CBOT Holdings prepared by CME Holdings’ management, Lehman Brothers estimated a range of terminal values by applying perpetuity growth rates of 3.5% to 4.5% to 2017 estimated unlevered free cash flow. The perpetuity growth rate change was selected by Lehman Brothers based on historical and expected growth rates for the U.S. economy. Lehman Brothers discounted the unlevered free cash flow streams and the estimated terminal value to a present value at a range of discount rates from 10.5% to 11.5%. The discount rates utilized in this analysis were chosen by Lehman Brothers based on an analysis of the weighted average cost of capital of CBOT Holdings. In recognition of the fact that CBOT Holdings had been trading as a public company for less than two years at the time the analysis was performed, and therefore had a relatively limited set of market data available for determining its market volatility, Lehman Brothers also considered the market volatility of an appropriate set of comparable public companies to provide a broader measure of expected future market volatility used in determining the weighted average cost of capital of CBOT Holdings. In selecting a set of comparable public companies for this purpose, Lehman Brothers, based on

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its experience with companies in the exchange industry, reviewed and compared specific financial, operating and market data relating to CBOT Holdings with selected companies that Lehman Brothers deemed comparable to CBOT Holdings, including.

•

CME Holdings;

•

NYSE Euronext, Inc.;

•

Deutsche Börse Group;

•

IntercontinentalExchange;

•

London Stock Exchange; and

•

The Nasdaq Stock Market, Inc.

Lehman Brothers calculated per share equity values by first determining a range of enterprise values of CBOT Holdings by adding the present values of the after-tax unlevered free cash flows and perpetuity growth rates and discount rate scenario, and then subtracting from the enterprise values the net debt (which is total debt minus cash) and non-operating assets of CBOT Holdings, and dividing those amounts by the number of fully diluted shares of CBOT Holdings.

Based on the projections and assumptions set forth above, the discounted cash flow analysis of CBOT Holdings yielded an implied valuation range of CBOT Holdings common stock on a standalone basis of $130.00 to $150.00 per share.

In addition, Lehman Brothers performed a discounted cash flow analysis to calculate an implied valuation range of the unlevered, after-tax free cash flows that CBOT Holdings, including the potential expense and revenue synergies, resulting from the transaction. After taking into account the synergies estimated by CME Holdings’ management, Lehman applied a range of perpetuity growth rates of 3.5% to 4.5% and discounted the unlevered free cash flow and the estimated terminal value to a present value at a range of discount rates from 10.5% to 11.5%.

Based on the projections and assumptions set forth above, the discounted cash flow analysis of CBOT Holdings, including 50% – 100% of synergies, yielded an implied valuation range of CBOT Holdings common stock of $167.75 to $225.50 per share.

Contribution Analysis

Lehman Brothers analyzed the respective contributions of CME Holdings and CBOT Holdings based on historical financial information for the twelve months ended December 31, 2006 and CME Holdings management estimates for 2007 and 2008 revenues, EBITDA, operating income and net income of CME Holdings and CBOT Holdings.

Based on this analysis, Lehman Brothers derived a range for CBOT Holdings’ contribution of approximately 31% to 38%. By comparison CBOT Holdings Class A stockholders will receive 36% pro forma ownership of the combined entity on a fully diluted basis.

Pro Forma Analysis

In order to evaluate the estimated ongoing impact of the merger, Lehman Brothers analyzed the pro forma earnings effect of the merger from the perspective of CME Holdings stockholders. The pro forma earnings effect analysis was performed in order to assess the impact of the merger on earnings per share from the perspective of CME Holdings stockholders. For the purposes of this analysis, Lehman Brothers assumed (i) a $206.15 per share price for CBOT Holdings common stock acquired pursuant to the merger (the closing market price per share on July 5, 2007), (ii) a $555.69 per share price for CME Holdings common stock (the closing market price per share on July 5, 2007), (iii) a transaction structure with equity consideration in the amount of 0.3750 CME Holdings

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shares for each CBOT Holdings share held, a $9.14 per share conditional special cash dividend to all CBOT Holdings common stockholders, the exercise rights payment, and a $3.5 billion post-closing tender offer at $560 per share, (iv) financial forecasts for each company prepared by the management of CME Holdings, (v) cost savings, revenue enhancements and continuation of CME Holdings’ clearing arrangement with CBOT Holdings, as expected by CME Holdings’ management and (vi) a closing date for the merger of June 30, 2007. Lehman Brothers estimated that, based on the assumptions described above, the pro forma impact of the transaction would be accretive to earnings per share of CME Holdings on a GAAP basis in calendar year 2008. The financial forecasts that underlie this analysis are subject to substantial uncertainty and, therefore, actual results may be substantially different.

Returns Analysis

In order to evaluate the estimated return on an investment in CBOT Holdings from the perspective of CME Holdings stockholders, Lehman Brothers calculated the internal rate of return on an investment in CBOT Holdings. For the purposes of this analysis, Lehman Brothers assumed a transaction value of $11.9 billion based on a $223.80 total maximum per share cost for CBOT Holdings common stock acquired pursuant to the merger, including giving effect to the conditional special dividend and the exercise rights payment, plus net debt of CBOT Holdings to arrive at the initial investment value. Lehman Brothers calculated the internal rate of return on an investment in CBOT Holdings, including expense synergies, based on (i) applying a range of terminal EBITDA multiples of 16.0x – 20.0x to the estimated 2017 EBITDA and (ii) applying a range of perpetuity growth rates of 2% – 6% to the estimated 2017 unlevered free cash flow.

The following table sets forth the results of this analysis.


	Range		Return on Investment
Terminal EBITDA Multiple	16.0x – 20.0	x	15.3% – 17.7%
Perpetuity Growth Rate	2.0% – 6.0	%	8.7% – 11.3%

General

In connection with the review of the merger by CME Holdings’ board of directors, Lehman Brothers performed a variety of financial and comparative analyses for purposes of rendering its opinion. The preparation of a fairness opinion is a complex process and is not necessarily susceptible to partial analysis or summary description. In arriving at its opinion, Lehman Brothers considered the results of all of its analyses as a whole and did not attribute any particular weight to any analysis or factor considered by it. Furthermore, Lehman Brothers believes that the summary provided and the analyses described above must be considered as a whole and that selecting any portion of its analyses, without considering all of them, would create an incomplete view of the process underlying its analyses and opinion. In addition, Lehman Brothers may have given various analyses and factors more or less weight than other analyses and factors and may have deemed various assumptions more or less probable than other assumptions, so that the ranges of valuations resulting from any particular analysis described above should not be taken to be Lehman Brothers’ view of the actual value of CME Holdings or CBOT Holdings.

In performing its analyses, Lehman Brothers made numerous assumptions with respect to industry risks associated with reserves, industry performance, general business and economic conditions and other matters, many of which are beyond the control of CME Holdings or CBOT Holdings. Any estimates contained in Lehman Brothers’ analyses are not necessarily indicative of future results or actual values, which may be significantly more or less favorable than those suggested by such estimates. The analyses performed were prepared solely as part of Lehman Brothers’ analysis of the fairness from a financial point of view to CME Holdings stockholders of the merger and were prepared in connection with the opinion by Lehman Brothers delivered orally on July 5, 2007 (subsequently confirmed in writing), to CME Holdings’ board of directors. The analyses do not purport to be appraisals or to reflect the prices at which CME Holdings common stock or CBOT Holdings common stock might trade following announcement of the merger or the prices at which CME Group common stock might trade following consummation of the merger.

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The terms of the merger were determined through arm’s length negotiations between CME Holdings and CBOT Holdings and were approved by CME Holdings’ and CBOT Holdings’ boards of directors. Lehman Brothers did not recommend any specific exchange ratio or form of consideration to CME Holdings or that any specific exchange ratio or form of consideration constituted the only appropriate consideration for the merger.

Lehman Brothers’ opinion was one of the many factors taken into consideration by CME Holdings’ board of directors in making its determination to approve the merger agreement. Lehman Brothers’ analyses summarized above should not be viewed as determinative of the opinion of CME Holdings’ board of directors with respect to the value of CME Holdings or CBOT Holdings or of whether CME Holdings’ board of directors would have been willing to agree to a different exchange ratio or form of consideration.

As compensation for its services in connection with the merger, CME Holdings paid Lehman Brothers $3 million upon the delivery of Lehman Brothers’ initial opinion. Compensation of an additional $13 million will be payable on completion of the merger. In addition, CME Holdings has agreed to reimburse Lehman Brothers for reasonable out-of-pocket expenses incurred in connection with the merger and to indemnify Lehman Brothers for certain liabilities that may arise out of its engagement by CME Holdings and the rendering of the Lehman Brothers’ opinion. CME Holdings has requested and we are providing a commitment for the funds necessary to finance the proposed transaction, and Lehman Brothers will receive customary fees in connection therewith.

Lehman Brothers and certain of its affiliates hold memberships at both CME and CBOT, certain of which memberships require Lehman Brothers and certain of its affiliates to hold equity interests in each of CME Holdings and CBOT Holdings. Lehman Brothers and its affiliates hold (i) 16 memberships in CBOT, consisting of Class B trading rights and privileges (and in some cases CBOE exercise right privileges) and CBOT Holdings Class A common stock, representing less than 0.5% of the outstanding shares of the CBOT Holdings Class A common stock and (ii) 17 memberships in CME and the associated shares of CME Holdings Class B common stock and CME Holdings Class A common stock, representing less than 0.5% of the outstanding shares of CME Holdings Class A common stock. In addition, in the ordinary course of its business, Lehman Brothers actively trades in the securities of CME Holdings and CBOT Holdings for its own account and for the accounts of its customers and, accordingly, may at any time hold a long or short position in such securities.

As described above, Lehman Brothers’ opinion to CME Holdings’ board of directors was one of many factors taken into consideration by CME Holdings’ board of directors in making its determination to approve the merger. The foregoing summary does not purport to be a complete description of the analyses performed by Lehman Brothers in connection with its fairness opinion and is qualified in its entirety by reference to the written opinion of Lehman Brothers attached as Annex B to this document.

Opinion of William Blair, Financial Advisor to CME Holdings

William Blair acted as financial advisor to CME Holdings in connection with the merger. As part of its engagement, CME Holdings requested that William Blair render an opinion as to whether the merger consideration to be paid by CME Holdings was fair, from a financial point of view, to CME Holdings. On each of October 16, 2006, May 10, 2007, and June 14, 2007, William Blair delivered its oral opinion to the board of directors of CME Holdings and subsequently confirmed in writing that, as of such date and based upon and subject to the assumptions and qualifications stated in its opinion, the merger consideration was fair, from a financial point of view, to CME Holdings. On July 5, 2007, William Blair delivered its oral opinion to the board of directors of CME Holdings and subsequently confirmed in writing that, as of such date and based upon and subject to the assumptions and qualifications stated in its opinion, the merger consideration was fair, from a financial point of view, to CME Holdings, after giving effect to the special dividend to be paid to CBOT Holdings stockholders and the payment to be made with respect to the “exercise rights” of CBOT members to become a member of CBOE, which, based on the advice of CME Holdings’ management, William Blair assumed has a cost of $333 million.

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The full text of William Blair’s written opinion, dated July 6, 2007, is attached as Annex C to this document and incorporated into this document by reference. We urge holders of CME Holdings shares to read the entire opinion carefully to learn about the assumptions made, procedures followed, matters considered and limits on the scope of the review undertaken by William Blair in rendering its opinion. William Blair’s opinion relates only to the fairness, from a financial point of view, to CME Holdings of the consideration to be paid by CME Holdings in the merger, does not address any other aspect of the proposed merger or any related transaction, and does not constitute a recommendation to any stockholder as to how that stockholder should vote with respect to the amended merger agreement or the merger. William Blair did not address the merits of the underlying decision by CME Holdings to engage in the merger. The following summary of William Blair’s opinion is qualified in its entirety by reference to the full text of the opinion.

William Blair provided the opinion described above for the information and assistance of the board of directors of CME Holdings in connection with its consideration of the merger. The terms of the amended merger agreement and the amount and form of the merger consideration, however, were determined through negotiations between CME Holdings and CBOT Holdings, and were unanimously approved by the board of directors of CME Holdings. William Blair provided financial advice to CME Holdings during such negotiations. However,

William Blair did not recommend any specific exchange ratio or other form of consideration to CME Holdings or that any specific exchange ratio or other form of consideration constituted the only appropriate consideration for the proposed merger.

In connection with its opinion, William Blair, among other things:

•

reviewed the merger agreement dated October 17, 2006 as amended as of December 20, 2006, May 11, 2007, June 14, 2007, and July 6, 2007;

•

reviewed certain audited historical financial statements of CME Holdings and CBOT Holdings for the three fiscal years ended December 31, 2006, as filed with the SEC;

•

reviewed certain unaudited financial statements of CME Holdings and CBOT Holdings for the three months ended March 31, 2007 as filed with the SEC;

•

reviewed certain internal business, operating and financial information and forecasts of CME Holdings for fiscal years 2007 through 2010 and CBOT Holdings for fiscal years 2007 through 2016 prepared by the senior management of CME Holdings, or the “Forecasts”;

•

reviewed information regarding the strategic, financial and operational benefits anticipated from the merger and the prospects of CME Holdings (with and without the merger) prepared by the senior management of CME Holdings;

•

reviewed information regarding the amount and timing of cost savings and related expenses and synergies which the senior management of CME Holdings expects will result from the merger, or the “Expected Synergies”;

•

reviewed the pro forma impact of the merger on the earnings per share of CME Holdings (before and after taking into consideration each of the following: the Expected Synergies, adjustments for third-party clearing activities, and a proposed post-closing stock repurchase of $3.5 billion of CME Holdings Class A common stock at a fixed price of $560.00 per share) based on certain pro forma financial information prepared by the senior management of CME Holdings;

•

reviewed the financial impact of a special dividend to be paid to CBOT shareholders and the exercise rights payment, which, based on the advice of CME Holdings’ management, William Blair assumed has a cost of $333 million;

•

reviewed information regarding publicly available financial terms of certain other business combinations William Blair deemed relevant;

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•

reviewed the financial position and operating results of CBOT Holdings compared with those of certain other publicly traded companies William Blair deemed relevant;

•

reviewed current and historical market prices and trading volumes of the common stock of CME Holdings and CBOT Holdings; and

•

performed such other financial analyses and considered such other information as William Blair deemed appropriate for the purposes of its opinion.

William Blair also held discussions with members of the senior management of CME Holdings and CBOT Holdings to discuss the foregoing, and took into account the accepted financial and investment banking procedures and considerations that it deemed relevant.

In rendering its opinion, William Blair assumed and relied, without independent verification, upon the accuracy and completeness of all the information examined by or otherwise reviewed or discussed with William Blair for purposes of its opinion, including without limitation the Forecasts provided by the senior management of CME Holdings. William Blair did not make or obtain an independent valuation or appraisal of the assets, liabilities or solvency of CME Holdings or CBOT Holdings. William Blair was advised by the senior management of CME Holdings that the Forecasts and Expected Synergies examined by William Blair were reasonably prepared on bases reflecting the best estimates then available and judgments of the senior management of CME Holdings. In that regard, William Blair assumed, with the consent of CME Holdings’ board of directors, that (i) the Forecasts would be achieved in the amounts and at the times contemplated thereby, (ii) all pro forma adjustments related to third-party clearing activities have been reasonably prepared on bases reflecting the best currently available estimates and judgments of the senior management of CME Holdings, and (iii) all material assets and liabilities (contingent or otherwise) of CME Holdings and CBOT Holdings were as set forth in each company’s respective financial statements or other information made available to William Blair. William Blair expressed no opinion with respect to the Forecasts, Expected Synergies, pro forma adjustments, or the estimates and judgments on which they were based. William Blair was not provided with, nor did it otherwise review, any forecasts of CME Holdings for periods after 2010 or CBOT Holdings for periods after fiscal year 2016.

William Blair’s opinion did not address the relative merits of the merger as compared to any alternative business strategies that might exist for CME Holdings or the effect of other transactions in which CME Holdings might engage. William Blair’s opinion was based upon economic, market, financial and other conditions existing on, and other information disclosed to William Blair as of, July 5, 2007. Although subsequent developments may affect its opinion, William Blair does not have any obligation to update, revise or reaffirm its opinion. William Blair relied as to all legal, accounting and tax matters on advice of advisors to CME Holdings, and assumed that the executed merger agreement would substantially conform to, and the merger would be consummated on, the terms described in the merger agreement reviewed by it, without any amendment or waiver of any material terms or conditions.

William Blair did not express any opinion as to the price at which the common stock of CME Holdings will trade at any future time or as to the effect of the announcement of the merger on the trading price of the common stock of CME Holdings. William Blair noted that the trading price may be affected by a number of factors, including but not limited to:

•

dispositions of the common stock of CME Group by stockholders within a short period of time after the effective date of the merger;

•

changes in prevailing interest rates and other factors which generally influence the price of securities;

•

adverse changes in the capital markets from the date on which the opinion was delivered;

•

the occurrence of adverse changes in the financial condition, business, assets, results of operations or prospects of CME Holdings or CBOT Holdings or in their respective target markets;

•

any necessary actions by or restrictions of federal, state or other governmental agencies or regulatory authorities; and

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•

timely completion of the merger on the terms and conditions that are acceptable to all parties at interest.

The following is a summary of the material financial analyses performed and material factors considered by William Blair to arrive at its opinion. William Blair performed certain procedures, including each of the financial analyses described below, and reviewed with CME Holdings’ board of directors the assumptions upon which such analyses were based, as well as other factors. Although the summary does not purport to describe all of the analyses performed or factors considered by William Blair in this regard, it does set forth those considered by William Blair to be material in arriving at its opinion.

Contribution Analysis. William Blair performed an analysis comparing the relative contributions of CME Holdings and CBOT Holdings to the combined pro forma company’s LTM and projected 2007 and 2008 revenue, EBITDA, earnings before interest and taxes, or “EBIT,” and net income. The LTM data for both CME Holdings and CBOT Holdings were based on publicly available information as of March 31, 2007. Fiscal year 2007 and 2008 projections for CME Holdings and CBOT Holdings were based on the Forecasts provided by CME Holdings. These relative contribution percentages for CBOT Holdings ranged from 30% to 38% and were compared to the relative split of the post-transaction common stock shares of CBOT Holdings of 36%, or 38% after giving effect to the special dividend to be paid to CBOT Holdings stockholders and the exercise rights payment, as if paid in CME Holdings stock. Such analysis was prepared without regard to synergies and purchase accounting adjustments.

Discounted Cash Flow Analysis. William Blair utilized the Forecasts and Expected Synergies to perform a discounted cash flow analysis of CBOT Holdings’ projected future cash flows for the period commencing on July 1, 2007 and ending December 31, 2016. Using discounted cash flow methodology, William Blair calculated the present values of the projected free cash flows for CBOT Holdings. In this analysis, William Blair assumed that CBOT Holdings’ free cash flows would grow in perpetuity beyond 2016 at an annual growth rate ranging from 3.0% to 5.0% reflecting historical and forecasted growth rates for US economic activity. William Blair further assumed an annual discount rate ranging from 10.50% to 12.50%. William Blair determined the appropriate discount range based upon an analysis of the weighted average cost of capital of CBOT Holdings. William Blair aggregated (1) the present value of the free cash flows over the applicable forecast period with (2) the present value of the range of terminal values. The aggregate present value of these items represented the enterprise value range. An equity value was determined by adding back the estimated amount of net cash at July 1, 2007 based on the Forecasts and the estimated value of CBOT Holdings’ building as provided to William Blair by CME Holdings’ management. The implied range of equity values for CBOT Holdings implied by the discounted cash flow analysis ranged from approximately $7.9 billion to $13.4 billion, as compared to the implied equity value for CBOT Holdings of approximately $11.1 billion based on the exchange ratio, the special dividend to be paid to CBOT Holdings stockholders and the exercise rights payment.

Earnings Accretion/Dilution Analysis. William Blair analyzed certain pro forma effects resulting from the merger, including the potential impact of the merger on projected 2008 and 2009 GAAP and cash earnings per share of CME Group following the merger. All analyses assumed a June 30, 2007 closing. William Blair utilized CBOT Holdings’ and CME Holdings’ earnings for 2008 and 2009 according to the Forecasts provided by CME Holdings. William Blair’s analysis included assumptions regarding, among other matters, various structural considerations, the special dividend to be paid to CBOT Holdings stockholders and the exercise rights payment, the estimated allocation of purchase price to amortizable intangible assets, pro forma adjustments for third-party clearing activities, the possible $3.5 billion stock repurchase at a fixed price of $560.00 per share after the closing of the merger, and Expected Synergies based on discussions with CME Holdings’ management. The analysis indicated that the impact on GAAP earnings per share for both 2008 and 2009 would be dilutive without consideration of the pro forma adjustments for third-party clearing activities, and generally accretive with consideration of such pro forma adjustments. Furthermore, the analysis indicated that the impact on cash earnings per share would generally be accretive in 2008 and 2009, both with and without consideration of the pro forma adjustments for third-party clearing activities.

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Selected Public Company Analysis. William Blair reviewed and compared certain financial information relating to CBOT Holdings to corresponding financial information, ratios and public market multiples for publicly traded companies with market capitalizations in excess of $1 billion, with operations in the exchange industry and with similar business characteristics. The companies selected by William Blair were:

•

CME Holdings;

•

Deutsche Börse A.G.;

•

Hong Kong Exchanges & Clearing;

•

IntercontinentalExchange;

•

International Securities Exchange;

•

London Stock Exchange;

•

The Nasdaq Stock Market, Inc.;

•

NYSE Euronext, Inc.; and

•

TSX Group.

Among the information William Blair considered were EBITDA, EBIT, and EPS. William Blair considered the enterprise value as a multiple of EBITDA and EBIT for each company for the last twelve months for which results were publicly available and for the respective calendar year EBITDA and EBIT estimates for 2007 and 2008, and the share price as a multiple of EPS for each company for the LTM and for the respective calendar year EPS estimates for 2007 and 2008. The operating results and the corresponding derived multiples for CBOT Holdings and each of the selected companies were based on each company’s most recent available publicly disclosed financial information, closing share prices as of July 5, 2007 and consensus Wall Street analysts’ EPS estimates for calendar years 2007 and 2008 where appropriate. William Blair noted that it did not have access to internal forecasts for any of the selected public companies, except CME Holdings. The implied enterprise value of the transaction is based on the equity value implied by the purchase price plus the total debt, less any excess cash and cash equivalents assumed to be included in the merger.

William Blair then compared the implied transaction multiples for CBOT Holdings to the range of trading multiples for the selected companies. Information regarding the range of multiples from William Blair’s analysis of selected publicly traded companies is set forth in the following table:

Selected Public Company
Valuation Multiples

Range for
CBOT Holdings
at 0.3750
Exchange Ratio

Min

Median

Max

Enterprise Value/LTM EBITDA

12.8

19.9

39.3

26.7x-31.1

Enterprise Value/2007E EBITDA

10.5

17.9

30.5

21.5x-24.6

Enterprise Value/2008E EBITDA

9.2

12.0

26.2

18.5x-21.2

Enterprise Value/LTM EBIT

13.7

23.3

41.9

30.5x-36.3

Enterprise Value/2007E EBIT

12.4

17.2

34.8

23.8x-27.7

Enterprise Value/2008E EBIT

10.1

13.3

30.1

20.3x-23.5

Equity Value/LTM Net Income

24.0

34.8

61.5

48.4x-57.4

Equity Value/2007E Net Income

18.6

29.4

44.9

36.6x-42.3

Equity Value/2008E Net Income

17.0

21.6

33.9

31.0x-35.5

William Blair noted that the implied transaction multiples based on the terms of the merger were generally within the range of multiples of the selected public companies.

Although William Blair compared the trading multiples of the selected companies to CBOT Holdings at the date of its opinion, none of the selected companies is identical to CBOT Holdings. Accordingly, any analysis of the selected publicly traded companies necessarily involved complex considerations and judgments concerning the differences in financial and operating characteristics and other factors that would necessarily affect the analysis of trading multiples of the selected publicly traded companies.

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Selected M&A Transactions Analysis. William Blair performed an analysis of selected recent business combinations consisting of transactions announced subsequent to January 1, 2001 and focused primarily on the exchange industry and having similar business characteristics. William Blair’s analysis was based solely on publicly available information regarding such transactions. The selected transactions were not intended to be representative of the entire range of possible transactions in the respective industries. The 13 transactions examined were (target/acquiror):

•

International Securities Exchange/Deutsche Börse AG;

•

New York Board of Trade/IntercontinentalExchange;

•

Euronext N.V./NYSE Group, Inc.;

•

EBS Group Limited/ICAP plc;

•

London Stock Exchange/The Nasdaq Stock Market, Inc.;

•

SFE Corp. Ltd./Australian Stock Exchange;

•

INET/The Nasdaq Stock Market, Inc.;

•

Archipelago Holdings, Inc./New York Stock Exchange;

•

PCX Holdings Inc./Archipelago Holdings, Inc.;

•

London Clearing House/Clearnet SA;

•

Island ECN/Instinet Group Incorporated;

•

Clearstream International/Deutsche Börse AG; and

•

LIFFE/Euronext N.V.

William Blair reviewed the consideration paid in the selected transactions in terms of the enterprise value of such transactions as a multiple of EBITDA and EBIT of the target and the equity value as a multiple of net income of the target for the latest twelve months prior to the announcement of these transactions. William Blair compared the resulting range of transaction multiples of EBITDA, EBIT and net income for the selected transactions to the implied transaction multiples for CBOT Holdings. Information regarding the range of multiples from William Blair’s analysis of selected transactions is set forth in the following table:

Selected Transaction
Valuation Multiples

Range for
CBOT Holdings
at 0.3750
Exchange Ratio

Min

Median

Max

Enterprise Value/LTM EBITDA

3.5

15.0

28.4

26.7x-31.1

Enterprise Value/LTM EBIT

8.6

21.7

66.9

30.5x-36.3

Equity Value/LTM Net Income

11.7

37.2

109.6

48.4x-57.4

William Blair noted that the implied transaction multiples based on the terms of the merger were generally within the range of multiples of the selected transactions.

Although William Blair analyzed the multiples implied by the selected transactions and compared them to the implied transaction multiples of CBOT Holdings, none of these transactions or associated companies is identical to the merger or CBOT Holdings. Accordingly, any analysis of the selected transactions necessarily involved complex considerations and judgments concerning the differences in financial and operating characteristics, parties involved and terms of their transactions and other factors that would necessarily affect the implied value of CBOT Holdings versus the values of the companies in the selected transactions.

General. This summary is not a complete description of the analysis performed by William Blair but contains the material elements of the analysis. The preparation of an opinion regarding fairness is a complex process involving various determinations as to the most appropriate and relevant methods of financial analysis

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and the application of those methods to the particular circumstances, and, therefore, such an opinion is not readily susceptible to partial analysis or summary description. The preparation of an opinion regarding fairness does not involve a mathematical evaluation or weighing of the results of the individual analyses performed, but requires William Blair to exercise its professional judgment, based on its experience and expertise, in considering a wide variety of analyses taken as a whole. Each of the analyses conducted by William Blair was carried out in order to provide a different perspective on the financial terms of the proposed merger and add to the total mix of information available. The analyses were prepared solely for the purpose of William Blair providing its opinion and do not purport to be appraisals or necessarily reflect the prices at which securities actually may be sold. William Blair did not form a conclusion as to whether any individual analysis, considered in isolation, supported or failed to support an opinion about the fairness of the consideration to be paid by CME Holdings. Rather, in reaching its conclusion, William Blair considered the results of the analyses in light of each other and ultimately reached its opinion based on the results of all analyses taken as a whole and in consideration of the process undertaken by CME Holdings. William Blair did not place particular reliance or weight on any particular analysis, but instead concluded that its analyses, taken as a whole, supported its determination. Accordingly, notwithstanding the separate factors summarized above, William Blair believes that its analyses must be considered as a whole and that selecting portions of its analyses and the factors considered by it, without considering all analyses and factors, may create an incomplete view of the evaluation process underlying its opinion. No company or transaction used in the above analyses as a comparison is directly comparable to CBOT Holdings or the merger. In performing its analyses, William Blair made numerous assumptions with respect to industry performance, business and economic conditions and other matters. The analyses performed by William Blair are not necessarily indicative of future actual values and future results, which may be significantly more or less favorable than suggested by such analyses.

William Blair is a nationally recognized firm and, as part of its investment banking activities, is regularly engaged in the valuation of businesses and their securities in connection with merger transactions and other types of strategic combinations and acquisitions. William Blair is familiar with CME Holdings, having provided certain investment banking services to CME Holdings and its board of directors from time to time, including having acted as co-manager for CME Holdings’ $191 million initial public offering of common stock in December 2002, as co-manager on an $85 million follow-on common stock offering in June 2003, as co-manager on a $138 million follow-on common stock offering in November 2003 (for which William Blair received remuneration of approximately $0.4 million, $0.2 million and $0.5 million, respectively) and as a financial advisor to CME Holdings in connection with, and having participated in certain of the negotiations leading to, the amended merger agreement. Furthermore, in the ordinary course of its business, William Blair and its affiliates may beneficially own or actively trade common shares and other securities of CME Holdings or CBOT Holdings for its own account and for the accounts of customers, and, accordingly, may at any time hold a long or short position in these securities. In addition, William Blair provides research coverage for both CME Holdings and CBOT Holdings.

CME Holdings hired William Blair based on its qualifications and expertise in providing financial advice to companies and its reputation as a nationally recognized investment banking firm. Pursuant to a letter agreement dated September 11, 2006, William Blair was paid $750,000 upon the delivery of its opinion, dated October 17, 2006, as to the fairness, from a financial point of view, of the merger consideration to be paid by CME Holdings. William Blair did not receive an additional fee in connection with its opinions dated May 11, 2007, June 14, 2007, and July 6, 2007. Furthermore, under the terms of the September 11, 2006, letter agreement, William Blair will be entitled to receive an additional fee of $1,250,000 upon consummation of the merger. In addition, CME Holdings has agreed to reimburse William Blair for certain of its out-of-pocket expenses (including fees and expenses of its counsel) reasonably incurred by it in connection with its services and will indemnify William Blair against potential liabilities arising out of its engagement.

As described above, William Blair’s opinion to CME Holdings’ board of directors was one of many factors taken into consideration by CME Holdings’ board of directors in making its determination to approve the merger. The foregoing summary does not purport to be a complete description of the analyses performed by William Blair in connection with its fairness opinion and is qualified in its entirety by reference to the written opinion of William Blair attached as Annex C to this document.

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UPDATE TO UNAUDITED PRO FORMA CONDENSED COMBINED FINANCIAL INFORMATION

FOR CME GROUP

The unaudited pro forma condensed combined financial information is derived from the historical financial statements of CME Holdings and CBOT Holdings. The unaudited pro forma condensed combined financial information is prepared using the purchase method of accounting, as defined by the Statement of Financial Accounting Standards (SFAS) No. 141, Business Combinations, with CME Holdings treated as the acquirer. The unaudited pro forma condensed combined balance sheet as of March 31, 2007 is presented as if the merger occurred on March 31, 2007. The unaudited pro forma condensed combined income statements for the year ended December 31, 2006 and the three months ended March 31, 2007 are presented as if the merger occurred on January 1, 2006.

In the combination, CME Holdings and CBOT Holdings will combine their businesses under the name CME Group. Upon the completion of the merger, for each share of CBOT Holdings Class A common stock owned, CBOT Holdings Class A stockholders will receive 0.3750 shares of CME Holdings Class A common stock. In compliance with SEC requirements, the unaudited pro forma condensed combined financial information does not give effect to the tender offer after completion of the merger, the ERP payment or the guarantee, the use of available funds, or the incurrence of debt related to the tender offer, the ERP payment or the guarantee.

The allocation of the purchase price used in the unaudited pro forma condensed combined financial information is based on preliminary estimates. The estimates and assumptions are subject to change on the closing date of the merger. The final determination of the allocation of the purchase price will be based on the actual tangible assets and liabilities, intangible assets and in-process research and development of CBOT Holdings as of the closing date of the merger, as well as merger-related transaction costs.

Certain historical balances of CME Holdings and CBOT Holdings have been reclassified to conform to the pro forma combined presentation. Management expects that there could be additional reclassifications following the merger. Additionally, management will continue to assess CBOT Holdings’ accounting policies for any additional adjustments that may be required to conform CBOT Holdings’ accounting policies to those of CME Holdings.

The unaudited pro forma condensed combined financial information is presented for informational purposes only and is not intended to represent the consolidated financial position or consolidated results of operations of CME Group that would have been reported had the merger been completed as of the dates described above, and should not be taken as indicative of any future consolidated financial position or consolidated results of operations. The unaudited pro forma condensed combined statements of income do not reflect any revenue or cost savings from synergies that may be achieved with respect to the combined companies, or the impact of non-recurring items, including restructuring liabilities, directly related to the merger.

The unaudited pro forma condensed combined financial information should be read in conjunction with the historical consolidated financial statements and accompanying notes of CME Holdings and CBOT Holdings included in their respective Annual Reports on Form 10-K for the fiscal year ended December 31, 2006 and subsequent Quarterly Reports on Form 10-Q for the periods presented.

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CME GROUP

UNAUDITED PRO FORMA CONDENSED COMBINED BALANCE SHEET

As of March 31, 2007

(amounts in thousands)


	CME Holdings Historical		CBOT Holdings Historical		Pro Forma Adjustments			Note 3		CME Group Combined Pro Forma
Assets
Current Assets:
Cash and cash equivalents	$	1,139,793	$	187,869	$	(234,208	)	(A	)(B)	$	1,093,454
Collateral from securities lending		2,112,451		—							2,112,451
Marketable securities		219,282		362,366		(362,366	)	(B	)		219,282
Accounts receivable, net of allowance		162,081		79,280		(18,796	)	(C	)		222,565
Other current assets		41,884		18,470							60,354
Cash performance bonds and security deposits		926,575		—							926,575

Total current assets		4,602,066		647,985		(615,370	)				4,634,681
Property, net of accumulated depreciation		165,506		215,794		24,698		(D	)		405,998
Intangible assets, net of amortization		10,133		—		8,666,750		(E	)		8,676,883
Goodwill		11,565		—		5,340,966		(F	)		5,352,531
Other		97,249		21,618		(35,311	)	(G	)		83,556

Total Assets	$	4,886,519	$	885,397	$	13,381,733				$	19,153,649

Liabilities and Shareholders’ Equity
Current Liabilities:
Accounts payable	$	30,955	$	20,256	$					$	51,211
Payable under securities lending agreements		2,112,451		—							2,112,451
Other current liabilities		151,706		84,719		(18,796	)	(C	)		229,329
						11,700		(H	)
Cash performance bonds and security deposits		926,575		—							926,575

Total current liabilities		3,221,687		104,975		(7,096	)				3,319,566
Deferred income taxes		—		97		3,414,889		(G	)		3,414,986
Other liabilities		39,040		17,110							56,150

Total Liabilities		3,260,727		122,182		3,407,793					6,790,702

Shareholders’ equity		1,625,792		763,215		9,973,940		(I	)		12,362,947

Total liabilities and shareholders’ equity	$	4,886,519	$	885,397	$	13,381,733				$	19,153,649

The accompanying notes are an integral part of the unaudited pro forma condensed combined financial information.

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CME GROUP

UNAUDITED PRO FORMA CONDENSED COMBINED STATEMENT OF INCOME

For the Year Ended December 31, 2006

(amounts in thousands, except per share data)


	CME Holdings Historical			CBOT Holdings Historical			Pro Forma Adjustments			Note 3		CME Group Combined Pro Forma
Revenues
Clearing and transaction fees	$	866,089		$	481,247		$					$	1,347,336
Processing services		90,148			—			(75,409	)	(J	)		14,739
Quotation data fees		80,836			98,608								179,444
Access fees		20,154			—								20,154
Communication fees		8,588			6,904								15,492
Building		—			23,139								23,139
Other		24,132			11,193								35,325

Total Revenues		1,089,947			621,091			(75,409	)				1,635,629

Expenses
Compensation and benefits		202,966			77,119								280,085
Clearing services		—			75,409			(75,409	)	(J	)		—
Communications		31,580			24,648								56,228
Technology support services		31,226			24,700								55,926
Professional fees and outside services		34,290			26,559								60,849
Depreciation and amortization		72,783			54,798			(36	)	(D	)		194,775
								67,230		(E	)
Occupancy		29,614			—								29,614
Building		—			24,461								24,461
Licensing and other fee agreements		25,733			7,281								33,014
Marketing, advertising and public relations		16,740			11,735								28,475
Other		24,160			18,344								42,504

Total Expenses		469,092			345,054			(8,215	)				805,931

Operating Income		620,855			276,037			(67,194	)				829,698

Non-Operating Income and Expense
Investment income		55,792			19,107								74,899
Securities lending interest income		94,028			—								94,028
Securities lending interest expense		(92,103	)		—								(92,103	)
Interest expense		—			(1,513	)							(1,513	)
Equity in losses of unconsolidated subsidiaries		(6,915	)		(1,710	)							(8,625	)

Total Non-Operating		50,802			15,884								66,686
Income before Income Taxes		671,657			291,921			(67,194	)				896,384
Income tax provision		(264,309	)		(119,679	)		26,710		(K	)		(357,278	)

Net income before nonrecurring charges directly attributable to the transaction	$	407,348		$	172,242		$	(40,484	)			$	539,106

Earnings Per Common Share:
Basic	$	11.74		$	3.26							$	9.89
Diluted		11.60			3.26								9.81

Weighted Average Number of Common Shares:
Basic		34,696			52,792			(32,995)		(L	)		54,493
Diluted		35,124			52,861			(33,038)		(L	)		54,947

The accompanying notes are an integral part of the unaudited pro forma condensed combined financial information.

S-29

CME GROUP

UNAUDITED PRO FORMA CONDENSED COMBINED STATEMENT OF INCOME

For the Three Months Ended March 31, 2007

(amounts in thousands, except per share data)


	CME Holdings Historical			CBOT Holdings Historical			Pro Forma Adjustments			Note 3		CME Group Combined Pro Forma
Revenues
Clearing and transaction fees	$	258,241		$	151,653		$					$	409,894
Processing services		34,759			—			(21,796	)	(J	)		12,963
Quotation data fees		25,016			25,082								50,098
Access fees		5,461			—								5,461
Communication fees		2,016			1,637								3,653
Building		—			5,915								5,915
Other		6,838			3,450								10,288

Total Revenues		332,331			187,737			(21,796	)				498,272

Expenses
Compensation and benefits		56,400			20,469								76,869
Clearing services		—			21,796			(21,796	)	(J	)		—
Communications		9,079			5,679								14,758
Technology support services		8,892			6,093								14,985
Professional fees and outside services		9,172			16,654								25,826
Depreciation and amortization		19,989			11,520			(9	)	(D	)		47,783
								16,283		(E	)
Occupancy		8,827			—								8,827
Building		—			6,420								6,420
Licensing and other fee agreements		7,035			2,119								9,154
Marketing, advertising and public relations		5,983			2,991								8,974
Other		6,347			4,477								10,824

Total Expenses		131,724			98,218			(5,522	)				224,420

Operating Income		200,607			89,519			(16,274	)				273,852

Non-Operating Income and Expense
Investment income		17,305			6,376								23,681
Securities lending interest income		32,890			—								32,890
Securities lending interest expense		(32,425	)		—								(32,425	)
Interest expense		—			(216	)							(216	)
Equity in losses of unconsolidated subsidiaries		(3,020	)		(697	)							(3,717	)

Total Non-Operating		14,750			5,463								20,213

Income before Income Taxes		215,357			94,982			(16,274	)				294,065
Income tax provision		(85,329	)		(39,591	)		6,469		(K	)		(118,451	)

Net income before nonrecurring charges directly attributable to the transaction	$	130,028		$	55,391		$	(9,805	)			$	175,614

Earnings Per Common Share:
Basic	$	3.73		$	1.05							$	3.21
Diluted		3.69			1.05								3.19

Weighted Average Number of Common Shares:
Basic		34,851			52,798			(32,999)		(L	)		54,650
Diluted		35,229			52,900			(33,063)		(L	)		55,066

The accompanying notes are an integral part of the unaudited pro forma condensed combined financial information.

S-30

NOTES TO THE UNAUDITED PRO FORMA CONDENSED COMBINED FINANCIAL

INFORMATION FOR CME GROUP

1. Basis of Pro Forma Presentation

The preceding unaudited pro forma condensed combined financial information is derived from the historical financial statements of CME Holdings and CBOT Holdings. The unaudited pro forma condensed combined financial information is prepared using the purchase method of accounting, with CME Holdings treated as the acquirer. The unaudited pro forma condensed combined balance sheet as of March 31, 2007 is presented as if the merger occurred on March 31, 2007. The unaudited pro forma condensed combined statements of income for the year ended December 31, 2006 and the three months ended March 31, 2007 are presented as if the merger occurred on January 1, 2006.

In accordance with SFAS No. 141, Business Combinations, the purchase price has been allocated to tangible and identifiable intangible assets acquired and liabilities assumed as well as in-process research and development based on a preliminary estimate of CBOT Holdings’ fair values as of the assumed closing date of March 31, 2007. The excess of the purchase price over the net assets acquired has been recorded as goodwill. Significant assumptions and estimates have been used in determining the preliminary purchase price and preliminary allocation of the purchase price in the unaudited pro forma condensed combined financial information. The final determination of such assumptions and estimates cannot be made until the merger is completed.

Certain historical balances of CME Holdings and CBOT Holdings have been reclassified in the statements of income to conform to the pro forma combined presentation. Management expects that there could be additional reclassifications in both the balance sheet and statement of income following the merger. Additionally, management will continue to assess CBOT Holdings’ accounting policies for any additional adjustments that may be required to conform CBOT Holdings’ accounting policies to those of CME Holdings.

The unaudited pro forma condensed combined financial information is presented for informational purposes only and is not intended to represent the consolidated financial position or consolidated results of operations of CME Group that would have been reported had the merger been completed as of the dates described above, and should not be taken as indicative of any future consolidated financial position or consolidated results of operations. The unaudited pro forma condensed combined statements of income do not reflect any revenue or cost savings synergies that may be achieved with respect to the combined companies, or the impact of non-recurring items, including restructuring liabilities, directly related to the merger.

The unaudited pro forma condensed combined financial information should be read in conjunction with the historical consolidated financial statements and accompanying notes of CME Holdings and CBOT Holdings included in their respective Annual Reports on Form 10-K for the year ended December 31, 2006 and subsequent Quarterly Reports on Form 10-Q for the periods presented.

2. Purchase Price

On October 17, 2006, CME Holdings and CBOT Holdings entered into a definitive merger agreement, as amended on December 20, 2006, May 11, 2007, June 14, 2007 and July 6, 2007. The merger is expected to close in mid-2007, subject to the approval of CME Holdings stockholders and CBOT Holdings stockholders at the stockholder meetings and the CBOT membership approval at the member meeting, as well as satisfaction of customary closing conditions.

The estimated purchase price and the allocation of the estimated purchase price discussed below are preliminary because the merger has not been completed. The actual purchase price will be based on the value of CME Holdings Class A common stock issued to CBOT Holdings’ Class A stockholders, the fair value of CBOT Holdings’ stock options and restricted stock awards that will be exchanged for CME Holdings’ stock options and

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restricted stock awards, and the actual transaction-related costs of CME Group. The final allocation of the purchase price will be based on the fair value of the assets and liabilities of CBOT Holdings on the date the merger is complete, including the reduction in cash and marketable securities as a result of the special dividend. Any increases or decreases in the fair value of assets and liabilities will result in an adjustment to goodwill.

For purposes of the unaudited pro forma condensed combined financial information, CME Holdings has used CBOT Holdings’ assets and liabilities as of March 31, 2007 as the basis for developing fair value estimates. The final valuation of identifiable intangible assets may change significantly from the preliminary estimates, which could result in a material change in the amortization of intangible assets. The fair value of stock-based payments exchanged and the portion of value associated with unearned stock-based compensation could change based on stock-based payment activity through the merger date, which could materially change the valuation of stock-based payments and the unearned stock-based compensation charges recorded as of the merger date, as well as the associated future stock-based compensation expense. Additionally, changes in the balances of CBOT Holdings’ cash, marketable securities and other tangible assets and liabilities could be substantial from March 31, 2007 to the date of the merger.

The unaudited pro forma condensed combined financial information does not include all of the potential effects of restructuring certain activities of pre-merger CME Holdings’ or CBOT Holdings’ operations, nor does it include any borrowings that may be required to finance any related restructuring activities. These restructuring liabilities, once determined, may be material and may include additional costs for severance, costs of vacating facilities and costs to exit or terminate other duplicative activities. At the closing of the merger, liabilities related to restructuring CBOT Holdings’ operations would be recorded as an adjustment to the purchase price and an increase in goodwill. Liabilities related to restructuring CME Holdings’ operations would be recorded as expenses in CME Holdings’ statements of income in the period that the costs are incurred.

For purposes of the unaudited pro forma condensed combined financial information, the total preliminary purchase price is estimated at $11.3 billion and is comprised of (amounts in thousands, except per share data):


Acquisition of the outstanding common stock of CBOT Holdings(i):
In exchange for CME Holdings common stock (52,798 CBOT Holdings shares x 0.3750 x $540.48 per share)	$	10,701,019
Estimated fair value of CBOT Holdings stock options and restricted stock awards exchanged(ii)		47,073
Merger-related transaction costs(iii)		114,000
CBOT Holdings special dividend (52,798 CBOT Holdings shares x $9.14 per share)		482,574

Total preliminary purchase price	$	11,344,666

(i)

Pursuant to the amended merger agreement, each share of CBOT Holdings Class A common stock will be converted into the right to receive 0.3750 shares of CME Holdings Class A common stock. For purposes of preparing the unaudited pro forma condensed combined financial information, the share price of $540.48 used to calculate the value of CME Holdings Class A common stock issued in exchange for CBOT Holdings Class A common stock is based on the average closing price of CME Holdings Class A common stock for the five trading days preceding July 6, 2007 (the most recent amendment date).

(ii)

Under CBOT Holdings’ current equity incentive plan, 301,800 stock options and 41,667 restricted stock awards are outstanding at March 31, 2007. For purposes of preparing pro forma information, the fair value of estimated stock options and restricted stock awards exchanged was determined using a share price of $532.46, the closing price of CME Holdings Class A common stock on March 31, 2007. The final fair value will be calculated using the closing share price on the trading day prior to the merger’s closing date. The fair value of stock options was calculated using a Black-Scholes valuation model with the following assumptions: expected life of 4.3 to 4.9 years; risk-free interest rate of 4.5%; expected volatility of 30.0%; and a dividend yield of 0.7%. The fair value of restricted stock awards was estimated as $532.46 per share,

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the closing share price on March 31, 2007. The portion of the estimated fair value of unvested CBOT Holdings stock options related to future service is allocated to unearned stock-based compensation and will be expensed within the first 12 months following the closing date of the merger, the remaining expected vesting period. This stock-based compensation expense, estimated at $7.4 million, is considered a non-recurring charge directly related to the merger, and as such, is not included in the unaudited pro forma condensed combined statements of income.

CME Group intends to retain all of the rights, terms and conditions of the plan under which stock options and restricted stock awards were originally granted by CBOT Holdings, including a provision to provide for accelerated vesting of all unvested restricted stock awards upon a change in control and unvested stock options at the earlier of involuntary termination or one year after the change in control. Until the impact of the restructuring on combined operations has been assessed, management cannot finalize its estimate of stock-based compensation expense that will be recorded during any vesting period occurring after the merger.

(iii)

Merger-related transaction costs include CME Holdings’ estimate of investment banking, legal and accounting fees and other external costs directly related to the merger, including fees paid for fairness opinions. Investment banking fees payable by CBOT Holdings to JPMorgan are variable in nature and are calculated as 0.3% of the total consideration.

The purchase price will be allocated to CBOT Holdings’ tangible and intangible assets acquired, liabilities assumed and in-process research and development based on their estimated fair values as of the merger date. The following is a summary of the preliminary purchase price allocation as reflected in the unaudited pro forma condensed combined balance sheet as of March 31, 2007 (amounts in thousands):


Net tangible assets:
Cash and cash equivalents	$	187,869
Property, net		240,492
Other assets and liabilities, net		359,552

		787,913
Identifiable intangible assets		8,666,750
Net deferred tax liability		(3,450,200	)
Other accrued liabilities		(11,700	)
In-process research and development		3,500
Unearned stock-based compensation		7,437
Goodwill		5,340,966

Total preliminary purchase price	$	11,344,666

3. Pro Forma Adjustments

(A) To record the estimated effect of transaction costs. For purposes of preparing the pro forma condensed combined balance sheet as of March 31, 2007, all transactions costs have been treated as unpaid. As of March 31, 2007, merger-related transactions costs of $14.1 million and $16.5 million have been paid by CME Holdings and CBOT Holdings, respectively.

(B) To record the special dividend paid to CBOT Holdings stockholders prior to, but contingent upon, the satisfaction or waiver of all conditions set forth in the amended merger agreement and immediately prior to the effective time of the merger. Cash and marketable securities of CBOT Holdings in the amount of $120,208 and $362,366, respectively, were assumed to be liquidated in payment of the special dividend.

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(D) To adjust the book value of CBOT Holdings property to its preliminary estimated fair value.


(dollars in thousands)	Historical Amount, net		Preliminary Fair Value		Increase (Decrease)			Estimated Useful Life	Annual Depreciation			Three Months Depreciation
Land	$	34,234	$	60,000	$	25,766		n/a	$	—		$	—
Buildings		101,068		100,000		(1,068	)	30 years		(36	)		(9	)
Other property		80,492		80,492		—		3 to 20 years		—			—

Total pro forma adjustments					$	24,698			$	(36	)	$	(9	)

Depreciation expense has been calculated using a straight-line method over the estimated useful life.

(E) To record identifiable intangible assets at their preliminary estimated fair values. Fair values for trade name and open interest intangible assets have been estimated using an income approach. Fair values for all other intangible assets were estimated using a multi-period excess earnings method. Amortization expense has been calculated using a straight-line method over the estimated useful life.


(dollars in thousands)	Preliminary Fair Value		Estimated Useful Life (in years)	Annual Amortization		Three Months Amortization
Trade name	$	281,000	Indefinite	$	—	$	—
Market data customer relationships(i)		291,000	30		9,700		2,425
Clearing firm relationships(i)		918,000	30		30,600		7,650
Trading products, excluding metals(ii)		7,050,500	Indefinite		—		—
Metals trading products(iii)		34,000	5		6,800		1,700
Dow Jones products		40,500	5		8,100		2,025
Open interest(iv)		2,100	0.5		2,100		—
Other		49,650	5		9,930		2,483

Total pro forma adjustments	$	8,666,750		$	67,230	$	16,283

(i)	Based on information currently available, the fair values of market data customer relationships and clearing firm relationships, both of which are non-contractual, have been amortized using the straight-line method.

(ii)

An indefinite life was assumed for agricultural, financial, and other trading product families, excluding metals. These products have traded at CBOT for decades (and in some cases, for over 120 years) and authorizations by the CFTC to trade these products are perpetual. Moreover, a historical analysis of the trading volume data demonstrates that these volumes have increased annually for the past few decades and management does not anticipate a decline in volume or a discontinuation of these products.

(iii)

Due to the bifurcated liquidity of the metals products, there is considerable uncertainty regarding the estimated useful life of metals trading products at this time. As a result, the fair value of metals trading products has been amortized over an estimated useful life of 5 years. Further analysis and information available at the merger’s closing may result in a different estimated useful life.

(iv)	The fair value of open interest has been fully amortized in the unaudited pro forma condensed combined statement of income for the year ended December 31, 2006 due to its estimated useful life of 0.5 years. No amortization expense is recognized in the subsequent three months ended March 31, 2007.

(F) To record the preliminary fair value of goodwill. Goodwill resulting from the merger is not amortized. It will be assessed for impairment at least annually in accordance with SFAS No. 142, Goodwill and Other Intangible Assets.

S-34

(G) To record net deferred tax liabilities related to tangible assets and liabilities and identifiable intangible assets and to reclassify historical net deferred tax assets (dollars in thousands):


Increase in value of property	$	24,698
Fair value of identifiable intangible assets		8,666,750
Other accrued liabilities		(11,700	)

	$	8,679,748
Statutory tax rate		39.75	%

Net deferred tax liabilities resulting from allocation of purchase price		3,450,200
Reclass of CME Holdings historical non-current net deferred tax assets		(35,311	)

Total pro forma adjustments	$	3,414,889

(H) To record liabilities for severance-related costs, including the estimated reimbursement of excise taxes owed by terminated employees, due to change in control provisions of certain CBOT Holdings employment contracts.

(I) To record the following adjustments to shareholders’ equity (amounts in thousands):


New CME Holdings common stock issued in exchange for 52,798 shares of CBOT Holdings common stock	$	10,701,019
Preliminary value of CBOT Holdings stock options and restricted stock awards exchanged in the merger		47,073
Preliminary fair value of in-process research and development		(3,500	)
Unearned stock-based compensation related to unvested CBOT Holdings stock options		(7,437)
Elimination of CBOT Holdings historical shareholders’ equity		(763,215	)

Total pro forma adjustments	$	9,973,940

The estimated fair value of in-process research and development, which was calculated using a replacement cost approach, relates to incomplete research and development of trading products that has not reached feasibility and has no alternative future use. Expense related to in-process research and development has been charged directly to retained earnings. This expense is considered a one-time non-recurring charge and is not reflected in the unaudited pro forma condensed combined statements of income, although such costs will be expensed in CME Group’s consolidated financial statements as a non-tax deductible charge in the period in which the merger is completed.

(J) To eliminate the effect of clearing services provided by CME Holdings to CBOT Holdings.

(K) To record the federal and state income tax effects on the pro forma adjustments. Income tax effects have been calculated using CME Group’s anticipated statutory rate of 39.75%. The pro forma combined income tax expense does not reflect the amounts that would have resulted had CME Holdings and CBOT Holdings filed consolidated income tax returns during the periods presented.

S-35

(L) To adjust the weighted average number of shares outstanding used to determine basic and diluted pro forma earnings per share based upon the exchange of CBOT Holdings Class A common stock for 0.3750 of a share of CME Holdings Class A common stock, as follows (shares in thousands):


		Year Ended December 31, 2006		Three Months Ended March 31, 2007
Basic Computation:
CBOT Holdings historical weighted average shares	[a]	52,792		52,798
Exchange ratio		0.3750		0.3750

CME Holdings new shares issued	[b]	19,797		19,799

Pro forma adjustment	[b] – [a]	(32,995	)	(32,999	)

Diluted Computation:
CBOT Holdings historical weighted average shares	[a]	52,861		52,900
Exchange ratio		0.3750		0.3750

CME Holdings new shares issued	[b]	19,823		19,838

Pro forma adjustment	[b] – [a]	(33,038	)	(33,063	)

4. Share Repurchase

Assuming that the parties complete the merger, CME Group intends to repurchase shares of its Class A common stock in a cash tender offer for up to $3.5 billion at a fixed price of $560.00 per share. CME Group intends to use available funds and to incur short-term debt to repurchase the shares. CME Holdings has obtained a commitment from its lenders for up to $3.0 billion of funding. In compliance with SEC requirements, the unaudited pro forma condensed combined financial information does not give effect to the anticipated repurchase of shares, the ERP payment or the guarantee, the use of available funds, or the incurrence of debt. There is no certainty as to the number of shares that will be tendered by shareholders under this repurchase program or the amount of debt that will be used to fund the repurchase. However, assuming that these anticipated transactions had taken place on January 1, 2006 and that the maximum number shares had been tendered, we believe that adjusting the unaudited pro forma condensed combined financial information would result in the following (amounts in thousands except per share data):


	For the Periods Presented
Number of shares tendered		6,250
Cash paid for shares tendered	$	3,500,000
Estimated incurrence of short-term debt		2,500,000
Liquidation of cash equivalents and marketable securities		1,000,000

S-36


	Year Ended December 31, 2006		Three Months Ended March 31, 2007
Interest expense, pre-tax(1):
Short-term debt at 5.31%	$	132,665	$	33,166
Debt financing costs		3,709		927
Interest income lost, pre-tax(2)		50,789		12,997
Net income before nonrecurring charges directly attributable to the transaction		427,306		148,802
Earnings per common share:
Basic	$	8.86	$	3.07
Diluted		8.77		3.05
Weighted average number of common shares:
Basic		48,243		48,400
Diluted		48,697		48,816

(1)

Interest expense on short-term debt was calculated based on the 3-month London Interbank Offered Rate at June 11, 2007. This interest rate is reflective of the interest rate determined under the funding commitment obtained by CME Holdings from its lenders for purposes of completing the share repurchase.

(2)	Interest income lost does not reflect the impact of the special dividend to be paid by CBOT Holdings immediately prior to the effective time of the merger.

S-37

WHERE YOU CAN FIND MORE INFORMATION

CME Holdings and CBOT Holdings file annual, quarterly and special reports, proxy statements and other information with the SEC. You may read and copy any reports, statements or other information on file with the SEC at the SEC’s public reference room located at 100 F Street, NE, Room 1580, Washington, D.C. 20549. Please call the SEC at 1-800-SEC-0330 for further information on the public reference room. The SEC filings are also available to the public from commercial document retrieval services. The CME Holdings and CBOT Holdings filings are also available at the Internet website maintained by the SEC at www.sec.gov. You may also obtain certain of these documents at CME Holdings’ website, “www.cme.com,” by selecting “Investor Relations” and then selecting “SEC Filings” and at CBOT Holdings’ website, “www.cbot.com,” by selecting “About CBOT” and then selecting “SEC Filings.” Information contained on the CME Holdings and CBOT Holdings websites is expressly not incorporated by reference into this document.

CME Holdings has filed a registration statement on Form S-4 to register with the SEC the CME Holdings Class A common stock that CBOT Holdings Class A stockholders will receive in connection with the merger. This document is a part of the registration statement of CME Holdings on Form S-4 and is a prospectus of CME Holdings and a proxy statement of CME Holdings and CBOT Holdings for the CME Holdings special meeting and CBOT Holdings special meeting, respectively.

The SEC permits CME Holdings and CBOT Holdings to “incorporate by reference” information into this document. This means that the companies can disclose important information to you by referring you to another document filed separately with the SEC. The information incorporated by reference is deemed to be part of this document, except for any information superseded by information contained directly in this document or by information contained in documents filed with or furnished to the SEC after the date of this document that is incorporated by reference in this document.

This document incorporates by reference the documents set forth below that have been previously filed with the SEC. These documents contain important information about CME Holdings and CBOT Holdings and their financial conditions.


CME Holdings SEC Filings (File No. 0-33379)		Period or Filing Date
Annual Report on Form 10-K		Year Ended December 31, 2006
Quarterly Report on Form 10-Q Current Reports on Form 8-K		Quarter ended March 31, 2007 Filed on January 24, 2007, April 30, 2007, May 11, 2007, June 14, 2007, June 18, 2007, June 20, 2007, June 29, 2007 and July 6, 2007 (other than the portions of those documents not deemed to be filed)

The description of CME Holdings capital stock set forth in the registration statement on Form 8-A (Commission File No. 1-31553) filed by CME Holdings with the Securities and Exchange Commission on November 29, 2002, including any amendment or report filed with the Securities and Exchange Commission for the purpose of updating that description.

CBOT Holdings SEC Filings (File No. 1-32650)		Period or Filing Date
Annual Report on Form 10-K		Year ended December 31,2006
Quarterly Report on Form 10-Q		Quarter ended March 31, 2007
Current Reports on Form 8-K		Filed on January 8, 2007, January 22, 2007, January 31, 2007, February 8, 2007, March 16, 2007, March 21, 2007, April 19, 2007, May 11, 2007, June 28, 2007, July 5, 2007 and July 6, 2007 (other than the portions of those documents not deemed to be filed).

S-38

CME Holdings and CBOT Holdings also incorporate by reference into this document additional documents that either company may file with the SEC under Sections 13(a), 13(c), 14 and 15(d) of the Securities Exchange Act of 1934, as amended, between the date of this document and the date of the CME Holdings special meeting and the CBOT Holdings special meeting. These documents include Quarterly Reports on Form 10-Q and Current Reports on Form 8-K as well as proxy statements.

You should rely only on the information contained or incorporated by reference into this document to vote on the amended merger agreement. No one has been authorized to provide you with information that is different from that contained in, or incorporated by reference into, this document. This document is dated July 6, 2007. You should not assume that the information contained in, or incorporated by reference into, this document is accurate as of any date other than that date. Neither our mailing of this document to CME Holdings stockholders or CBOT Holdings Class A stockholders nor the issuance by CME Holdings of common stock in connection with the merger will create any implication to the contrary.

S-39

JOINT PROXY STATEMENT PROSPECTUS, DATED AS OF JUNE 5, 2007

S-40

MERGER PROPOSED—YOUR VOTE IS VERY IMPORTANT

Dear Stockholders and Members:

The boards of directors of Chicago Mercantile Exchange Holdings Inc., or “CME Holdings,” and CBOT Holdings, Inc., or “CBOT Holdings,” have approved revised terms of a merger between our two companies. Upon consummation of the merger, the combined company will be renamed CME Group Inc., or “CME Group.” We also propose to make changes to the constituent documents of Board of Trade of the City of Chicago, Inc., or “CBOT,” in connection with the merger. CBOT will become a subsidiary of CME Group following the merger.

This joint proxy statement/prospectus updates and replaces the joint proxy statement/prospectus dated February 27, 2007 that described the original terms of the merger agreement. The terms of the amended merger agreement are summarized in this joint proxy statement/prospectus, and a copy of the amended merger agreement is attached as Annex A.

If the merger is completed, CBOT Holdings Class A stockholders will be entitled to receive 0.3500 shares of CME Holdings Class A common stock for each share of CBOT Holdings Class A common stock held at the time the merger is completed.

Based on the number of shares of common stock of CME Holdings and CBOT Holdings outstanding on May 10, 2007, the last trading day prior to the public announcement of the revised terms of the merger, immediately after the completion of the merger, CME Holdings stockholders will own approximately 65% of the common stock of CME Group and the CBOT Holdings Class A stockholders immediately prior to the merger will own approximately 35% of the common stock of CME Group.

CME Holdings and CBOT Holdings will each hold a special meeting of its stockholders to consider and vote on the merger, and CBOT will hold a special meeting of its members to obtain approval for certain matters related to the merger.

Every vote is important. Whether or not you plan to attend your company’s special meeting, please take the time to vote by following the instructions on your proxy card. If you previously submitted a proxy for the meetings that were scheduled for April 4, 2007, we do not intend to vote those proxies at the rescheduled meetings on July 9, 2007 and you must vote again by following the instructions on the enclosed proxy card.

The places, dates and times of the stockholder and member meetings are as follows:


For CME Holdings stockholders:	For CBOT Holdings Class A stockholders:	For CBOT members:
UBS Tower - The Conference Center One North Wacker Drive Chicago, Illinois July 9, 2007 3:00 p.m., Chicago time	Union League Club of Chicago 65 West Jackson Boulevard Chicago, Illinois July 9, 2007 3:00 p.m., Chicago time	Union League Club of Chicago 65 West Jackson Boulevard Chicago, Illinois July 9, 2007 2:30 p.m., Chicago time

We enthusiastically support this combination of our companies and join with our boards in recommending that our stockholders vote “FOR” the adoption of the agreement and plan of merger, and that CBOT members vote “FOR” the matters related to the merger as described in this document.


Sincerely,		Sincerely,

Terrence A. Duffy		Charles P. Carey
Executive Chairman Chicago Mercantile Exchange Holdings Inc.		Chairman CBOT Holdings, Inc. and Board of Trade of the City of Chicago, Inc.

For a discussion of risk factors that you should consider in evaluating the merger and the other matters on which you are being asked to vote, see “ RISK FACTORS” beginning on page 26.

CME Holdings Class A common stock trades on the New York Stock Exchange and the Nasdaq Global Select Market under the symbol “CME” and CBOT Holdings Class A common stock trades on the New York Stock Exchange under the symbol “BOT.”

This document is dated June 5, 2007, and is being first mailed to CME Holdings stockholders, CBOT Holdings Class A stockholders and CBOT members on or about June 8, 2007.

CERTAIN FREQUENTLY USED TERMS

This document constitutes a prospectus of Chicago Mercantile Exchange Holdings Inc. for the shares of Class A common stock that it will issue to CBOT Holdings, Inc. stockholders in the merger, and a proxy statement for stockholders of Chicago Mercantile Exchange Holdings Inc. and CBOT Holdings, Inc. and members of Board of Trade of the City of Chicago, Inc. Unless otherwise specified or if the context so requires:

•

“CME Holdings” refers to Chicago Mercantile Exchange Holdings Inc. and its wholly owned subsidiaries and “CME” refers to Chicago Mercantile Exchange Inc.

•

“CBOT Holdings” refers to CBOT Holdings, Inc. and its wholly owned subsidiaries and “CBOT” refers to Board of Trade of the City of Chicago, Inc.

•

“CME Group” refers to the combined company and its subsidiaries after completion of the merger.

•

“We,” “us” or “our” refers to (i) prior to completion of the merger, CME Holdings and CBOT Holdings and (ii) after completion of the merger, CME Group.

•

“Lehman Brothers” refers to Lehman Brothers Inc., “William Blair” refers to William Blair & Company, L.L.C., “JPMorgan” refers to J.P. Morgan Securities Inc. and “Lazard” refers to Lazard Frères & Co. LLC.

•

“amended merger agreement” refers to the Agreement and Plan of Merger, dated as of October 17, 2006, among CME Holdings, CBOT Holdings and CBOT, as amended as of December 20, 2006 and May 11, 2007 and as it may be further amended from time to time.

Chicago Mercantile Exchange, CME, the globe logo and Globex are registered trademarks of CME. CBOT, the CBOT Holdings logo and the CBOT logo are registered trademarks of CBOT. S&P, S&P 500, NASDAQ-100, Dow Jones Industrial Average and other trade names, service marks and trademarks that are not proprietary to CME or CBOT are the property of their respective owner.

REFERENCES TO ADDITIONAL INFORMATION

This document incorporates important business and financial information about CME Holdings and CBOT Holdings from other documents that are not included in or delivered with this document. This information is available for you to review at the public reference room of the Securities and Exchange Commission, or the “SEC,” located at 100 F Street, N.E., Room 1580, Washington, DC 20549, and through the SEC’s website, www.sec.gov. You can also obtain those documents incorporated by reference in this document, excluding exhibits to those documents, without charge by requesting them from the appropriate company in writing or by telephone at the following addresses and telephone numbers:

Chicago Mercantile Exchange Holdings Inc.

20 South Wacker Drive

Chicago, Illinois 60606

(312) 930-1000

Attention: Investor Relations

www.cme.com/about/invest

CBOT Holdings, Inc.

141 West Jackson Boulevard

Chicago, Illinois 60604

(312) 435-3500

Attention: Investor Relations

www.cbot.com

If you would like to request documents, please do so by June 29, 2007 in order to receive them before your company’s special meeting.

Information contained in or otherwise accessible through the Internet sites listed above is not a part of this document. All references in this document to these Internet sites are inactive textual references to these URLs and are for your information only.

See “Where You Can Find More Information” beginning on page 195.

VOTING BY INTERNET, TELEPHONE OR MAIL

CME Holdings stockholders of record may submit their proxies by:

Internet. You can vote over the Internet by accessing the website at www.proxyvote.com and following the instructions on the website. Have your proxy card in hand when you access the website because you will have to enter the control number printed on your proxy card. Internet voting is available 24 hours a day. If you vote over the Internet, do not return your proxy card(s).

Telephone. You can vote by telephone by calling the toll-free number 1-800-690-6903 in the United States, Canada or Puerto Rico on a touch-tone phone. You will then be prompted to enter the control number printed on your proxy card and to follow the subsequent instructions. Telephone voting is available 24 hours a day. If you vote by telephone, do not return your proxy card(s).

Mail. You can vote by mail by completing, signing, dating and mailing your proxy card(s) in the postage-paid envelope included with this document. If you elect to vote by mail, you should vote early to ensure that your proxy card is received before the special meeting.

If you hold your shares through a bank, broker, custodian or other recordholder, please refer to your proxy card or the information forwarded by your bank, broker, custodian or other recordholder to see which options are available to you.

CBOT Holdings Class A stockholders of record may submit their proxies by:

Internet. You can vote over the Internet by accessing the website at http://proxy.georgeson.com and following the instructions on the website. Have your proxy card in hand when you access the website because you will have to enter the control number printed on your proxy card. Internet voting is available 24 hours a day. If you vote over the Internet, do not return your proxy card(s).

Telephone. You can vote by telephone by calling the toll-free number 1-800-732-4052 in the United States and Canada on a touch-tone phone. You will then be prompted to enter the control number printed on your proxy card and to follow subsequent instructions. Telephone voting is available 24 hours a day. If you vote by telephone, do not return your proxy card(s).

CBOT members of record may submit their proxies by:

Telephone. You can vote by telephone by calling the toll-free number 1-800-786-8302 in the United States and Canada on a touch-tone phone. You will then be prompted to enter the control number printed on your proxy card and to follow subsequent instructions. Telephone voting is available 24 hours a day. If you vote by telephone, do not return your proxy card(s).

Mail. You can vote by mail by completing, signing, dating and mailing your proxy card(s) in the postage-paid envelope included with this document. If you elect to vote by mail, you should vote early to ensure that your proxy card is received before the special meeting.

LOGO

NOTICE OF SPECIAL MEETING OF STOCKHOLDERS

TO BE HELD ON JULY 9, 2007

To the Stockholders of CME Holdings:

The board of directors of CME Holdings has called for a special meeting of CME Holdings stockholders to be held on July 9, 2007, at 3:00 p.m., Chicago time, at UBS Tower - The Conference Center, One North Wacker Drive, Chicago, Illinois, for the following purposes:

to consider and vote upon a proposal to adopt the Agreement and Plan of Merger, dated as of October 17, 2006, among CME Holdings, CBOT Holdings and CBOT, as amended as of December 20, 2006 and May 11, 2007, and as it may be further amended from time to time, pursuant to which CBOT Holdings will merge with and into CME Holdings;

to vote upon an adjournment or postponement of the CME Holdings special meeting, if necessary, to solicit additional proxies; and

to transact such other business as may properly be brought before the CME Holdings special meeting or any adjournments or postponements of the CME Holdings special meeting.

Only holders of record of CME Holdings Class A and Class B common stock at the close of business on May 29, 2007, the record date for the special meeting, are entitled to notice of, and to vote at, the CME Holdings special meeting or any adjournments or postponements of the special meeting.

We cannot complete the merger unless holders of a majority of the outstanding shares of CME Holdings Class A and Class B common stock entitled to vote, voting together as a single class, vote in favor of the proposal to adopt the amended merger agreement and thus approve the merger.

For more information about the merger proposal described above and the other transactions contemplated by the amended merger agreement, please review the accompanying joint proxy statement/prospectus and the amended merger agreement attached to it as Annex A.

The board of directors of CME Holdings unanimously recommends that CME Holdings stockholders vote “FOR” the proposal to adopt the amended merger agreement.

Your vote is important. Whether or not you plan to attend the special meeting, please complete, sign and date the enclosed proxy card and return it promptly in the enclosed postage-paid envelope. You may also cast your vote by telephone or by using the Internet as described in the instructions included with your proxy card. Your failure to vote will have the same effect as voting against the merger.

If you previously submitted a proxy for the meeting that was scheduled for April 4, 2007, we do not intend to vote those proxies at the rescheduled meeting on July 9, 2007 and you must vote again by following the instructions on the enclosed proxy card.

By Order of the Board of Directors,

LOGO

Kathleen M. Cronin

Corporate Secretary

Chicago, Illinois

June 5, 2007

PLEASE VOTE YOUR SHARES PROMPTLY. YOU CAN FIND INSTRUCTIONS FOR VOTING ON THE ENCLOSED PROXY CARD. IF YOU HAVE QUESTIONS ABOUT THE MERGER PROPOSAL OR ABOUT VOTING YOUR SHARES, PLEASE CALL D.F. KING & CO., INC. AT 1-800-769-7666.

LOGO

NOTICE OF SPECIAL MEETING OF STOCKHOLDERS

TO BE HELD ON JULY 9, 2007

To the Stockholders of CBOT Holdings:

The board of directors of CBOT Holdings has called for a special meeting of CBOT Holdings Class A stockholders to be held on July 9, 2007, at 3:00 p.m., Chicago time, at Union League Club of Chicago, 65 West Jackson Boulevard, Chicago, Illinois, for the following purposes:

to vote upon an adjournment or postponement of the CBOT Holdings special meeting, if necessary, to solicit additional proxies; and

to transact such other business as may properly be brought before the CBOT Holdings special meeting or any adjournments or postponements of the CBOT Holdings special meeting.

Only holders of record of CBOT Holdings Class A common stock at the close of business on May 29, 2007, the record date for the special meeting, are entitled to notice of, and to vote at, the CBOT Holdings special meeting or any adjournments or postponements of the special meeting.

We cannot complete the merger unless holders of a majority of the outstanding shares of CBOT Holdings Class A common stock entitled to vote in favor of the proposal to adopt the amended merger agreement and thus approve the merger.

The board of directors of CBOT Holdings unanimously recommends that CBOT Holdings Class A stockholders vote “FOR” the proposal to adopt the amended merger agreement and “FOR” the adjournment or postponement of the CBOT Holdings special meeting, if necessary, to solicit additional proxies.

By Order of the Board of Directors,

LOGO

Paul J. Draths

Vice President and Secretary

Chicago, Illinois

June 5, 2007

LOGO

NOTICE OF SPECIAL MEETING OF MEMBERS

TO BE HELD ON JULY 9, 2007

To the Series B-1 and Series B-2 Members of CBOT:

The board of directors of CBOT has called for a special meeting of members, to be held on July 9, 2007, at 2:30 p.m., Chicago time, at Union League Club of Chicago, 65 West Jackson Boulevard, Chicago, Illinois, for the following purposes:

to consider and vote upon a proposal that CBOT Holdings repurchase the outstanding share of Class B common stock of CBOT Holdings held by the CBOT Subsidiary Voting Trust immediately prior to the completion of the merger of CBOT Holdings with and into CME Holdings pursuant to the Agreement and Plan of Merger, dated as of October 17, 2006, among CME Holdings, CBOT Holdings and CBOT, as amended as of December 20, 2006 and May 11, 2007, and as it may be further amended from time to time;

to consider and vote upon the approval of an amended and restated certificate of incorporation of CBOT to become effective concurrently with the completion of the merger of CBOT Holdings with and into CME Holdings;

to vote upon an adjournment or postponement of the CBOT special meeting, if necessary, to solicit additional proxies; and

to transact such other business as may properly be brought before the CBOT special meeting or any adjournments or postponements of the CBOT special meeting.

Only holders of record of CBOT Series B-1 and Series B-2 memberships at the close of business on May 29, 2007, the record date for the special meeting, are entitled to notice of, and to vote at, the CBOT special meeting or any adjournments or postponements of the special meeting.

It is a condition to the completion of the merger of CBOT Holdings and CME Holdings that the proposals described above are approved by the CBOT members at the special meeting.

For more information about the proposals described above, the merger and the other transactions contemplated by the amended merger agreement, please review the accompanying joint proxy statement/prospectus and the form of amended and restated certificate of incorporation of CBOT and the amended merger agreement attached to the joint proxy statement/prospectus as Annexes H and A, respectively.

The board of directors of CBOT unanimously recommends that CBOT members vote “FOR” each of proposals 1, 2 and 3 described above.

By Order of the Board of Directors,

LOGO

Paul J. Draths

Vice President and Secretary

Chicago, Illinois

June 5, 2007

PLEASE VOTE PROMPTLY. YOU CAN FIND INSTRUCTIONS FOR VOTING ON THE ENCLOSED PROXY CARD. IF YOU HAVE QUESTIONS ABOUT THE PROPOSALS OR ABOUT VOTING YOUR MEMBERSHIPS, PLEASE CALL GEORGESON, INC. AT 1-866-834-7793.

TABLE OF CONTENTS


SUMMARY		1
Questions and Answers About the Merger		1
Other Information Regarding the Merger		10
The Amended Merger Agreement		15
The Companies		20
Comparative Stock Price and Dividends		21
Summary Historical Financial Data		22
Summary Historical Consolidated Financial Data of CME Holdings		22
Summary Historical Consolidated Financial Data of CBOT Holdings		23
Summary Unaudited Pro Forma Condensed Combined Financial Data		24
Comparative Per Share Data		25
RISK FACTORS		26
FORWARD-LOOKING STATEMENTS		36
THE SPECIAL MEETING OF CME HOLDINGS STOCKHOLDERS		38
General		38
Purpose of the CME Holdings Special Meeting		38
Record Date and Voting		38
Vote Required		39
Recommendation of the Board of Directors		39
Revocability of Proxies		39
Attending the Special Meeting		40
Voting Electronically or by Telephone		40
Solicitation of Proxies		40
THE SPECIAL MEETING OF CBOT HOLDINGS CLASS A STOCKHOLDERS		41
General		41
Purpose of the CBOT Holdings Special Meeting		41
Record Date and Voting		41
Vote Required		42
Recommendations of the Board of Directors, the Special Transaction Committee and the Non-ER Members Committee		42
Revocability of Proxies		43
Attending the Special Meeting		43
Voting Electronically or by Telephone		43
Solicitation of Proxies		44
THE SPECIAL MEETING OF CBOT MEMBERS		45
General		45
Purpose of the Special Meeting of CBOT Members		45
Record Date and Voting		45
Proposal 1 – Repurchase of Class B Common Stock by CBOT Holdings		46
Proposal 2 – Approval of the Amended and Restated Certificate of Incorporation of CBOT		46
Vote Required		48
Revocability of Proxies		49
Attending the Special Meeting		49
Voting by Mail, Electronically or by Telephone		49
Solicitation of Proxies		49
THE MERGER		50
Background of the Merger		50
CME Holdings’ Reasons for the Merger; Recommendation of CME Holdings’ Board of Directors		78
CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Boards of Directors		81
Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee		85
Conclusions Regarding the ICE Proposal		89


Certain Projections		93
Opinion of Lehman Brothers, Financial Advisor to CME Holdings		97
Opinion of William Blair, Financial Advisor to CME Holdings		105
Opinion of JPMorgan, Financial Advisor to CBOT Holdings		111
Opinion of Lazard, Financial Advisor to the CBOT Holdings Special Transaction Committee		118
General Statement Regarding Certain Analyses of the ICE Proposal		128
Analyses of JPMorgan, Financial Advisor to CBOT Holdings, with Respect to the ICE Proposal		128
Analyses of Lazard, Financial Advisor to the CBOT Holdings Special Transaction Committee, with Respect to the ICE Proposal		130
Interests of CME Holdings Executive Officers and Directors in the Merger		133
Interests of CBOT Holdings Executive Officers and Directors in the Merger		134
Interests of CBOT Holdings Directors Related To Exercise Rights and/or Other CBOT Member Rights		138
Amended and Restated Certificate of Incorporation and Bylaws		140
Board of Directors and Executive Officers of CME Group After Completion of the Merger		141
Stock Exchange Listing		143
Material Contracts Between the Parties		143
Legal Proceedings Regarding the Merger		144
Appraisal Rights		144
THE AMENDED MERGER AGREEMENT		145
The Merger		145
Effective Time and Completion of the Merger		145
Amended and Restated Certificate of Incorporation and Bylaws		145
Board of Directors and Board Officers of CME Group After Completion of the Merger		145
Consideration To Be Received in the Merger		146
Stock Options and Other Equity Rights		146
Conversion of Shares; Exchange of Certificates		147
Representations and Warranties		148
Conduct of Business Pending the Merger		149
Efforts to Complete the Merger		151
No Solicitation of Alternative Transactions		151
Employee Matters		152
Indemnification and Insurance		153
Conditions to Complete the Merger		153
Termination of the Amended Merger Agreement		154
Amendment, Waiver and Extension of the Amended Merger Agreement		156
Fees and Expenses		156
Restrictions on Resales by Affiliates		156
Tender Offer after Completion of the Merger		157
ACCOUNTING TREATMENT		158
REGULATORY APPROVALS		158
United States Antitrust		158
UK Financial Services Authority		159
Commodity Futures Trading Commission		159
Other Notices and Approvals		159
MATERIAL U.S. FEDERAL INCOME TAX CONSEQUENCES OF THE MERGER		160
Tax Consequences of the Merger Generally		161
Tax Consequences of the Merger for CME Holdings, CME Holdings Stockholders and CBOT Holdings		161
Tax Consequences of the Merger for CBOT Holdings Stockholders		161
Tax Basis and Holding Period		164
Information Reporting and Backup Withholding		164
Reporting Requirements		164


THE COMPANIES		165
CME Holdings and CME		165
CBOT Holdings and CBOT		165
MARKET PRICE AND DIVIDEND DATA		167
CME Holdings		167
CBOT Holdings		168
UNAUDITED PRO FORMA CONDENSED COMBINED FINANCIAL INFORMATION FOR CME GROUP		169
NOTES TO THE UNAUDITED PRO FORMA CONDENSED COMBINED FINANCIAL INFORMATION FOR CME GROUP		173
COMPARATIVE RIGHTS OF STOCKHOLDERS OF CBOT HOLDINGS AND CME HOLDINGS PRIOR TO AND AFTER THE MERGER		179
COMPARATIVE RIGHTS OF CBOT MEMBERS PRIOR TO AND AFTER THE MERGER		190
LEGAL MATTERS		194
EXPERTS		194
SUBMISSION OF FUTURE STOCKHOLDER PROPOSALS		194
CME Holdings		194
CBOT Holdings		194
CBOT		195
WHERE YOU CAN FIND MORE INFORMATION		195


ANNEXES
Agreement and Plan of Merger, dated as of October 17, 2006, as amended as of December 20, 2006 and May 11, 2007		A-1
Opinion of Lehman Brothers, dated as of May 11, 2007		B-1
Opinion of William Blair, dated as of May 11, 2007		C-1
Opinion of JPMorgan, dated as of May 11, 2007		D-1
Opinion of Lazard, dated as of May 11, 2007		E-1
CME Group Certificate of Incorporation.		F-1
CME Group Bylaws		G-1
Amended and Restated CBOT Certificate of Incorporation.		H-1
Amended and Restated CBOT Bylaws		I-1

iii

SUMMARY

This summary highlights selected information from this document and may not contain all of the information that is important to you. You should carefully read this entire document, including the Annexes, and the other documents to which this document refers to fully understand the merger and the related transactions. See “Where You Can Find More Information” on page 195. Most items in this summary include a page reference directing you to a more complete description of those items.

Questions and Answers About the Merger

Why am I receiving this document?

We are delivering this document to you because on May 11, 2007, CME Holdings, CBOT Holdings and CBOT entered into an amendment to the merger agreement that the parties entered into on October 17, 2006, which is referred to in this document as the “original merger agreement.” This document is a joint proxy statement/prospectus that updates and replaces the joint proxy statement/prospectus dated February 27, 2007 that described the terms of the original merger agreement. The terms of the amended merger agreement are summarized in this document and a copy of the amended merger agreement is attached as Annex A.

This joint proxy statement is being used by both the CME Holdings and CBOT Holdings boards of directors to solicit proxies of CME Holdings and CBOT Holdings stockholders in connection with the amended merger agreement and the merger. This document is also a prospectus being delivered to CBOT Holdings Class A stockholders because CME Holdings is offering shares of its Class A common stock to be issued in exchange for shares of CBOT Holdings Class A common stock if the merger is completed. In addition, this document is a proxy statement used by the CBOT board of directors to solicit proxies of CBOT Series B-1 and Series B-2 members in connection with certain of the matters or transactions contemplated by the amended merger agreement.

What will happen in the proposed transaction?

Under the terms of the amended merger agreement, CBOT Holdings will be merged with and into CME Holdings, with CME Holdings continuing as the surviving entity. Upon the completion of the merger, which we also refer to as the “effective time,” the name of the combined company will be changed to CME Group Inc. Following the merger, CME and CBOT will be subsidiaries of CME Group. These matters are referred to in this document as the “merger.” Members of CBOT immediately prior to the merger will continue to be members of CBOT immediately following the merger. Also, stockholders of CME Holdings will continue to be stockholders of CME Group following the merger.

For additional information, see “The Amended Merger Agreement—The Merger” beginning on page 145.

What will CBOT Holdings Class A stockholders receive in the merger?

Upon the completion of the merger, for each share of CBOT Holdings Class A common stock owned, CBOT Holdings Class A stockholders will be entitled to receive 0.3500 shares of CME Holdings Class A common stock, or the “exchange ratio.”

Based on the number of shares of CBOT Holdings Class A common stock outstanding on May 29, 2007 and assuming a closing sales price of CME Holdings Class A common stock of $535.25, which was the closing

price of CME Holdings Class A common stock on June 4, 2007, the last date prior to filing this document for which it was practicable to obtain this information, the aggregate market value of the consideration to be received in the merger, without regard to the value of outstanding options, was approximately $9.9 billion.

The value of the merger consideration will fluctuate with the market price of CME Holdings Class A common stock.

See “The Amended Merger Agreement—Consideration To Be Received in the Merger” beginning on page 146.

What terms of the merger changed in the amended merger agreement?

The merger consideration for each share of CBOT Holdings Class A common stock increased from 0.3006 shares of CME Holdings Class A common stock (or an amount of cash equal to 0.3006 multiplied by the average closing sales price of CME Holdings Class A common stock for the period of the ten consecutive trading days ending on the second full trading day prior to completion of the merger, subject to proration) to 0.3500 shares of CME Holdings Class A common stock (with no cash election). See “The Amended Merger Agreement—Consideration to be Received in the Merger” beginning on page 146.

The termination fee payable by CBOT Holdings or CME Holdings, as the case may be, in certain circumstances if the merger is not completed increased from $240.0 million to $288.0 million. See “The Amended Merger Agreement—Termination of the Amended Merger Agreement” beginning on page 154.

The number of members of the board of directors of CME Group after the merger increased from 29 to 30, with the number of CBOT Directors increasing from nine to ten. See “The Merger—Board of Directors and Executive Officers of CME Group After Completion of the Merger” beginning on page 141.

Subject to certain limitations, CBOT Holdings may pay a quarterly cash dividend of $0.29 per outstanding share of CBOT Holdings common stock in each of the three month periods ending September 30, 2007 and December 31, 2007. CBOT Holdings may not, however, pay a dividend in any such three month period in which the completion of the merger occurs or is expected to occur. If the merger is not completed prior to March 31, 2008, CBOT Holdings may pay a quarterly cash dividend to holders of record on March 31, 2008 of CBOT Holdings common stock, calculated based upon an agreed-upon formula. See “The Amended Merger Agreement—Conduct of Business Pending the Merger” beginning on page 149.

After completion of the merger, CME Group will commence and consummate a tender offer for up to $3.5 billion, or 6,250,000 shares, of CME Holdings Class A common stock at a fixed cash price of $560.00 per share, which is referred to in this document as the “tender offer.” The tender offer will be open to CBOT Holdings stockholders that receive CME Holdings stock in connection with the merger, as well as existing CME Holdings stockholders. See “The Merger—Board of Directors and Executive Officers of CME Group After Completion of the Merger—Tender Offer Committee” beginning on page 142 and “The Amended Merger Agreement— Tender Offer After Completion of the Merger” beginning on page 157.

Aside from these and conforming changes, the amended merger agreement is substantively unchanged from the original merger agreement.

Do I have the right to elect to receive cash in the merger?

No. The original merger agreement included a cash election provision, subject to proration, but the amended merger agreement does not.

Q:	Will there be restrictions on the transfer of the shares of CME Holdings Class A common stock I receive in the merger?

No. The shares of CME Holdings Class A common stock to be issued in connection with the merger will be freely tradeable following receipt unless you are an affiliate of CBOT Holdings within the meaning of the federal securities laws, which will generally be the case only if you are a director, executive officer or greater than 10% stockholder of CBOT Holdings.

Q:	Why didn’t the CBOT Holdings board of directors accept the ICE proposal?

A:	The reasons for the determination of the board of directors of CBOT Holdings that the proposal from IntercontinentalExchange, Inc., or “ICE,” to merge with CBOT Holdings was not a “Superior Proposal” within the meaning of the original merger agreement, included the following material factors:

•

the belief that a combination with ICE would take longer to integrate and would involve significantly greater execution risks than a combination with CME Holdings;

•

the belief that a combined CBOT Holdings/CME Holdings would be better able to compete in a rapidly changing industry than a combined CBOT Holdings/ICE;

•

CME Holdings’ longer operating history and history as a public company;

•

the relative experience in the futures industry of the board members and management at CBOT Holdings and ICE, and that under the ICE proposal the combined business would be overseen and managed by a board comprised of a majority of ICE directors and ICE management;

•

under the ICE proposal, CBOT Holdings’ stockholders would own a majority of the stock of the combined company but CBOT Holdings’ directors would constitute a minority of the combined company’s board of directors;

•

a combination with CME Holdings would create the world’s most diverse global exchange, offering a broad range of derivatives products based on interest rates, equity indexes, foreign exchange, agricultural and industrial commodities, energy and alternative investment products;

•

the fact that the market prices of CME Holdings Class A common stock and ICE’s common stock fluctuate for a number of reasons, including reasons unrelated to operating performance, making a comparison of short-term value less certain; and

•

the belief that a combination with CME Holdings in accordance with the terms of its revised proposal offered greater overall benefits to CBOT Holdings stockholders than a combination with ICE in accordance with the terms of its proposal.

See “The Merger—Conclusions Regarding the ICE Proposal” beginning on page 89.

Q:	If I am a CBOT member, will I continue to be a CBOT member following the merger?

A:	Yes. CBOT members immediately prior to the merger will continue to be CBOT members immediately following the merger. As a result of the merger, CBOT will become a subsidiary of CME Group. In addition, CBOT’s constituent documents will be amended, which will affect some of your rights.

For additional information, see “The Special Meeting of CBOT Members” beginning on page 45 and “Comparative Rights of CBOT Members Prior to and After the Merger” beginning on page 190.

Q:	Will CBOT members need to own CME Group Class A common stock following the merger to qualify for fee preferences or to meet member firm or clearing member requirements?

A:	Yes. We currently expect CBOT’s stock ownership requirements for fee preferences or to meet member firm or clearing member requirements to continue following the merger, although the share requirements will be adjusted to reflect the merger and the exchange ratio.

For example, effective July 1, 2007, a non-Futures Commission Merchant, or “FCM,” CBOT member firm must have 18,112 shares of CBOT Holdings Class A common stock registered on its behalf to qualify as a clearing member for purposes of clearing its own trades. Immediately following the merger (and assuming the merger is completed in July 2007), a non-FCM CBOT member firm will need to have 6,339.2 shares of CME Group Class A common stock (calculated by multiplying 18,112 by the exchange ratio of 0.3500) registered on its behalf to continue to qualify as a clearing member for purposes of clearing its own trades. As announced on May 21, 2007, CBOT’s stock ownership requirements for clearing and equity members have been reduced in recognition of the increase in value of CBOT Holdings Class A common stock used to satisfy such requirements.

Q:	What are CBOE exercise rights and will they be affected by the merger?

The certificate of incorporation of Chicago Board Options Exchange, Inc., or “CBOE,” provides that members of CBOT who apply for membership at CBOE and who otherwise qualify shall, so long as they remain members of CBOT, be entitled to become members of CBOE without the necessity of acquiring such membership for consideration or value. This right is referred to as the “exercise right,” and members of CBOT who have become members of CBOE pursuant to this right are referred to as “exerciser members.”

CBOE has filed with the SEC a proposed interpretation of CBOE’s rules under which the exercise rights would terminate upon completion of the merger, subject to the right of exerciser members as of December 11, 2006 to continue to be exerciser members for an unspecified interim period following the merger. The proposed rule interpretation was initially filed with the SEC on December 12, 2006, and an amendment to the proposed rule interpretation was filed with the SEC on January 16, 2007. On February 6, 2007, the SEC published a notice to solicit comments on the proposed rule interpretation, with comments due on or before February 27, 2007.

CBOT Holdings and CBOT intend to oppose CBOE’s proposed rule interpretation and vigorously defend the rights of CBOT members to become or remain exerciser members of CBOE pursuant to the exercise rights. In August 2006, CBOT Holdings, CBOT and certain CBOT members, acting for themselves and as representatives of a class of similarly situated members, filed a lawsuit in Delaware state court to determine the rights of exerciser members and exercise right holders in connection with CBOE’s proposed demutualization. In January 2007, the plaintiffs filed an amendment to the complaint in this lawsuit which added claims seeking to bar CBOE from terminating the exercise rights upon completion of the merger. We cannot assure you as to the outcome of the CBOE’s proposed rule interpretation or the Delaware litigation.

For additional information, see “Risk Factors—Additional Risks Relating to CBOT Members” beginning on page 32.

Q:	Why have CME Holdings and CBOT Holdings decided to merge?

A:	CME Holdings and CBOT Holdings believe that substantial benefits to their stockholders and customers can be obtained as a result of the merger, including:

•

CME Group becoming the world’s most diverse global exchange, with greater financial, operational and other resources;

•

the addition of significant volume to CME Holdings’ highly leveragable operating model;

•

the diversity of products that CME Group will offer;

•

customers’ access to distinct products and services on a unified trading platform;

•

the possibility of significant cost savings to both customers and CME Group;

•

the ability to secure the benefits from the parties’ common clearing arrangement, which is scheduled to expire in 2009; and

•

the proposed board and management arrangements, which would position CME Group with strong leadership and experienced operating management.

For additional information, see “The Merger—CME Holdings’ Reasons for the Merger; Recommendation of CME Holdings’ Board of Directors” beginning on page 78 and “The Merger—CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Board of Directors” beginning on page 81.

Q:	When and where are the rescheduled special meetings?

In connection with the original merger agreement, each of CME Holdings, CBOT Holdings and CBOT scheduled a special meeting of its stockholders or members, as applicable, on April 4, 2007. Each of the CME Holdings, CBOT Holdings and CBOT special meetings was rescheduled to July 9, 2007 as detailed below.

The CME Holdings special meeting will be held at UBS Tower - The Conference Center, One North Wacker Drive, Chicago, Illinois, on July 9, 2007 at 3:00 p.m., Chicago time. All holders of CME Holdings Class A and Class B common stock at the close of business on May 29, 2007, the record date for the CME Holdings special meeting, are invited to attend the special meeting. If you attend, you will be asked to present valid picture identification, such as a driver’s license or passport, and, if you are not a stockholder of record, evidence from your broker that you are a CME Holdings stockholder and are eligible to attend the meeting, such as a letter or account statement from your broker or bank. Stockholders will not be allowed to use cameras, recording devices and other electronic devices at the meeting. For additional information, see “The Special Meeting of CME Holdings Stockholders” beginning on page 38.

The CBOT Holdings special meeting will be held at Union League Club of Chicago, 65 West Jackson Boulevard, Chicago, Illinois on July 9, 2007 at 3:00 p.m., Chicago time. All holders of CBOT Holdings Class A common stock at the close of business on May 29, 2007, the record date for the CBOT Holdings special meeting, are invited to attend the special meeting. If you attend, you will be asked to present valid picture identification, such as a driver’s license or passport, and, if you are not a stockholder of record, evidence from your broker that you are a CBOT Holdings Class A stockholder and are eligible to attend the meeting, such as a letter or account statement from your broker or bank. Stockholders will not be allowed to use cameras, recording devices and other electronic devices at the meeting. For additional information, see “The Special Meeting of CBOT Holdings Class A Stockholders” beginning on page 41.

The CBOT special meeting of members will be held at Union League Club of Chicago, 65 West Jackson Boulevard, Chicago, Illinois on July 9, 2007 at 2:30 p.m., Chicago time. Although only holders of Series B-1 and Series B-2 memberships in CBOT at the close of business on May 29, 2007, the record date for the special meeting, are entitled to vote at the special meeting, all holders of memberships in CBOT as of the record date are invited to attend the special meeting. If you attend, you may be asked to present valid picture identification, such as a driver’s license or passport. Members will not be allowed to use cameras, recording devices and other electronic devices at the meeting. For additional information, see “The Special Meeting of CBOT Members” beginning on page 45.

Q:	What vote is required to approve the merger?

A:	We cannot complete the merger unless the stockholders of CME Holdings and CBOT Holdings vote to adopt the amended merger agreement and thereby approve the merger. In addition, it is a condition to

completion of the merger that certain proposals be approved by CBOT members, as discussed in the answer to the next question.

For CME Holdings, the amended merger agreement must be adopted by the holders of a majority of the outstanding shares of CME Holdings Class A and Class B common stock voting together as a single class. Each holder of a share of CME Holdings Class A or Class B common stock as of the close of business on May 29, 2007, the record date for the CME Holdings special meeting, will be entitled to one vote for each share of CME Holdings Class A or Class B common stock held of record at the close of business on the record date.

For CBOT Holdings, the amended merger agreement must be adopted by the holders of a majority of the outstanding shares of CBOT Holdings Class A common stock entitled to vote. Each holder of a share of CBOT Holdings Class A common stock as of the close of business on May 29, 2007, the record date for the CBOT Holdings special meeting, will be entitled to one vote for each share of CBOT Holdings Class A common stock held of record at the close of business on the record date.

At the close of business on May 29, 2007, the record date for the CME Holdings special meeting, directors and executive officers of CME Holdings had or shared the power to vote in the aggregate approximately 205,158 shares of CME Holdings Class A and Class B common stock, representing less than 1% of the voting power of the then outstanding shares of CME Holdings Class A and Class B common stock as a single class. Each CME Holdings director and executive officer has indicated his or her present intention to vote, or cause to be voted, the shares of CME Holdings common stock owned by him or her for the approval of the amended merger agreement and the merger.

At the close of business on May 29, 2007, the record date for the CBOT Holdings special meeting, directors and executive officers of CBOT Holdings had or shared the power to vote in the aggregate approximately 507,000 shares of CBOT Holdings Class A common stock, or approximately 1% of the then outstanding shares of CBOT Holdings Class A common stock. Each CBOT Holdings director and executive officer has indicated his or her present intention to vote, or cause to be voted, the shares of CBOT Holdings common stock owned by him or her for the approval of the amended merger agreement and the merger.

What are CBOT members being asked to vote on and what vote is required?

The CBOT members are not being asked to vote on the amended merger agreement or the merger. At the CBOT special meeting of members, CBOT Series B-1 and Series B-2 members will be asked to vote (i) to approve the repurchase by CBOT Holdings of the outstanding share of CBOT Holdings Class B common stock held by the CBOT Subsidiary Voting Trust immediately prior to the completion of the merger, referred to in this document as the “repurchase” and (ii) to approve the adoption of the amended and restated certificate of incorporation of CBOT to become effective concurrently with completion of the merger. It is a condition to completion of the merger that these proposals be approved by the CBOT members.

The holders of a majority of the outstanding voting power of the CBOT Series B-1 and CBOT Series B-2 membership interests, voting together as a single class, must approve the repurchase, and the affirmative vote of a majority of the votes cast by the holders of the CBOT Series B-1 and Series B-2 membership interests, voting together as a single class, must approve the adoption of the amended and restated certificate of incorporation of CBOT. Each holder of a Series B-1 membership of CBOT as of the close of business on May 29, 2007, the record date for the special meeting of CBOT members, will be entitled to one vote for each Series B-1 membership held of record at the close of business on the record date, and each holder of a Series B-2 membership of CBOT as of the close of business on the record date will be entitled to one-sixth of one vote for each Series B-2 membership held of record at the close of business on the record date. Holders of CBOT Series B-3, Series B-4 and Series B-5 membership interests do not have voting rights in connection with the transactions contemplated by the amended merger agreement.

If I am a CBOT member that also owns CBOT Holdings Class A common stock, what do I vote on?

CBOT Series B-1 and Series B-2 members that are also CBOT Holdings Class A stockholders must vote separately as both a CBOT member and a CBOT Holdings Class A common stockholder. The vote of CBOT members to approve the repurchase and the amended and restated certificate of incorporation of CBOT is separate and distinct from the vote of CBOT Holdings Class A common stockholders to adopt the amended merger agreement and thus approve the merger. Each of the proposals must be approved for the merger to be completed. You will receive, along with this document, separate proxy cards for each vote, so CBOT Series B-1 and Series B-2 members that are also CBOT Holdings Class A stockholders should be sure to vote both proxy cards so that their vote is counted at each meeting. For additional information, see “The Special Meeting of CBOT Members” beginning on page 45.

Are there risks associated with the merger and the related transactions that I should consider in deciding how to vote?

Yes. There are a number of risks related to the merger of CME Holdings and CBOT Holdings and the related transactions that are discussed in this document and in other documents incorporated by reference in this document. Please read with particular care the detailed description of the risks associated with the merger on pages 26 through 35 and in the CME Holdings and CBOT Holdings SEC filings referred to in “Where You Can Find More Information” beginning on page 195.

When do the parties currently expect to complete the merger?

We currently expect the transaction to close mid-year 2007. However, we cannot assure you when or if the merger will occur. We must first obtain the approval of CME Holdings stockholders and CBOT Holdings Class A stockholders at the stockholder meetings, the CBOT membership approvals at the member meeting and the necessary regulatory approvals or expiration of applicable waiting periods, among other closing conditions.

What do I need to do now in order to vote?

A:	After you have carefully read this document, please respond as soon as possible so that your shares or membership interests, as the case may be, will be represented and voted at your special meeting:

•

by completing, signing and dating your proxy card and returning it in the postage-paid envelope; or

•

by submitting your proxy by the other methods described in this document.

What if I already voted? Do I need to vote again?

If you previously submitted a proxy for a meeting scheduled for April 4, 2007, we do not intend to vote those proxies at the rescheduled meetings on July 9, 2007 and you must vote again by following the instructions on the enclosed proxy card.

If I am a CBOT Holdings Class A stockholder, should I send in my CBOT Holdings Class A common stock certificates with my proxy card?

No. Please DO NOT send your CBOT Holdings Class A common stock certificates with your proxy card. You should carefully review and follow the instructions regarding the surrender of your stock certificates set forth in the letter of transmittal that will be mailed to you promptly after completion of the merger.

How do I vote my shares if my shares are held in “street name”?

You should contact your broker or bank. Your broker or bank can give you directions on how to instruct the broker or bank to vote your shares. Your broker or bank will not vote your shares unless the broker or bank receives appropriate instructions from you. You should therefore provide your broker or bank with instructions as to how to vote your shares.

Additional information on voting procedures is located beginning on page 38 for CME Holdings stockholders, on page 41 for CBOT Holdings Class A stockholders and on page 45 for CBOT.

How will my proxy be voted?

If you vote by completing, signing, dating and returning your signed proxy card, your proxy will be voted in accordance with your instructions. You may also vote by telephone or Internet. If your proxy card is properly executed and received in time to be voted, the shares or membership interests, as applicable, represented by your proxy card will be voted in accordance with the instructions that you mark on your proxy card. If you sign, date, and send your proxy and do not indicate how you want to vote, your shares or membership interests, as applicable, will be voted “FOR” approval of the applicable proposals.

Additional information on voting procedures is located beginning on page 38 for CME Holdings stockholders, on page 41 for CBOT Holdings Class A stockholders and on page 45 for CBOT members.

What if I want to change my vote after I have delivered my proxy card?

You may change your vote at any time before your proxy is voted at your special meeting. If you are the record holder of your shares or membership interests, as the case may be, you can do this in one of three ways. First, you can send a written notice stating that you would like to revoke your proxy. Second, you can complete and submit a new valid proxy bearing a later date by mail or by telephone or Internet. Third, you can attend the applicable special meeting and vote in person. Attendance at any of the meetings will not in and of itself constitute revocation of a proxy. If you hold shares of CME Holdings Class A common stock or CBOT Holdings Class A common stock in “street name,” you should contact your broker or bank to give it instructions to change your vote.

If you are a CME Holdings stockholder and you choose to send a written notice or to mail a new proxy, you must submit your notice of revocation or new proxy to CME Holdings c/o ADP, 51 Mercedes Way, Edgewood, NY 11717, and it must be received prior to the special meeting.

If you are a CBOT Holdings Class A stockholder and you choose to send a written notice or to mail a new proxy, you must submit your notice of revocation or new proxy to CBOT Holdings c/o Georgeson Inc., Wall Street Station, P.O. Box 1100, New York, NY 10269-0646, and it must be received prior to the special meeting.

If you are a CBOT member and you choose to send a written notice or to mail a new proxy, you must submit your notice of revocation or new proxy to CBOT c/o Georgeson Inc., Wall Street Station, P.O. Box 1100, New York, NY 10269-0646, and it must be received prior to the special meeting.

Can I dissent and require appraisal of my shares?

A:	No. Neither CME Holdings stockholders, CBOT Holdings Class A stockholders nor CBOT Members have dissenters’ rights in connection with the merger.

How important is my vote?

A:	Every vote is important. You should be aware that:

•

Because the required vote of CME Holdings stockholders to adopt the amended merger agreement is based upon the number of outstanding shares of CME Holdings Class A common stock and CME

Holdings Class B common stock, rather than upon the number of shares actually voted, the failure by a CME Holdings stockholder to submit a proxy or to vote in person at the CME Holdings special meeting, abstentions and “broker non-votes” will have the same effect as a vote against adoption of the amended merger agreement.

•

Because the required vote of CBOT Holdings Class A stockholders to adopt the amended merger agreement is based upon the number of outstanding shares of CBOT Holdings Class A common stock, rather than upon the number of shares actually voted, the failure by a CBOT Holdings Class A stockholder to submit a proxy or to vote in person at the CBOT Holdings special meeting, abstentions and “broker non-votes” will have the same effect as a vote against adoption of the amended merger agreement.

•

Because the required vote of the holders of the CBOT Series B-1 and Series B-2 memberships to approve the repurchase is based upon the outstanding voting power of CBOT Series B-1 and Series B-2 memberships, rather than upon the voting power of memberships actually voted, the failure by a CBOT Series B-1 or Series B-2 member to submit a proxy or to vote in person at the CBOT special meeting of members and abstentions will have the same effect as a vote against approval of the repurchase.

•

Because the required vote of the holders of the CBOT Series B-1 and Series B-2 memberships to approve the adoption of the amended and restated certificate of incorporation of CBOT is based upon the voting power of memberships actually voted, rather than the voting power of outstanding CBOT Series B-1 and Series B-2 memberships, the failure by a CBOT Series B-1 or Series B-2 member to submit a proxy or vote in person at the CBOT special meeting of members will have no effect on the vote. However, an abstention will have the same effect as a vote against approval of this proposal.

Q:	Who can I call with questions about the stockholder or membership meetings or the merger?

A:	If you are a CME Holdings stockholder and you have questions about the merger or the CME Holdings special meeting of stockholders or you need additional copies of this document, or if you have questions about the process for voting or if you need a replacement proxy card, you should contact:

D.F. King & Co., Inc.

48 Wall Street

22nd Floor

New York, NY 10005

(800) 769-7666

If you are a CBOT Holdings Class A stockholder or a CBOT member and you have questions about the merger or the CBOT Holdings special meeting of stockholders or the CBOT special meeting of members or you need additional copies of this document, or if you have questions about the process for voting or if you need a replacement proxy card, you should contact:

Georgeson, Inc.

17 State Street, 10th Floor

New York, NY 10004

(866) 834-7793

Other Information Regarding the Merger

CME Holdings’ Board of Directors Recommends that CME Holdings Stockholders Vote “FOR” Adoption of the Amended Merger Agreement

CME Holdings’ board of directors has unanimously determined that the merger, the amended merger agreement and the transactions contemplated by the amended merger agreement are advisable, fair to, and in the best interests of, CME Holdings and its stockholders, and unanimously recommends that CME Holdings stockholders vote “FOR” the proposal to adopt the amended merger agreement.

In determining whether to approve the amended merger agreement, CME Holdings’ board of directors consulted with certain members of its senior management and with its legal and financial advisors. In arriving at its determination, the CME Holdings board of directors also considered the factors described under “The Merger—CME Holdings’ Reasons for the Merger; Recommendation of CME Holdings’ Board of Directors” beginning on page 78.

CBOT Holdings’ Board of Directors Recommends that CBOT Holdings Class A Stockholders Vote “FOR” Adoption of the Amended Merger Agreement

CBOT Holdings’ board of directors has unanimously determined that the merger, the amended merger agreement and the transactions contemplated by the amended merger agreement are advisable, fair to and in the best interests of, CBOT Holdings and its stockholders, and unanimously recommends that CBOT Holdings Class A stockholders vote “FOR” the proposal to adopt the amended merger agreement.

In determining whether to approve the amended merger agreement, CBOT Holdings’ board of directors consulted with certain members of its senior management and with its legal and financial advisors. In arriving at its determination, the CBOT Holdings board of directors also considered the factors described under “The Merger—CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Boards of Directors” beginning on page 81.

CBOT’s Board of Directors Recommends that CBOT Members Vote “FOR” Approval of the Repurchase and the Adoption of the Amended and Restated Certificate of Incorporation

CBOT’s board of directors has unanimously determined that the repurchase and the proposed amendments to its certificate of incorporation are advisable and unanimously recommends that CBOT members vote “FOR” approval of the repurchase and adoption of the amended and restated certificate of incorporation.

See “The Special Meeting of CBOT Members” beginning on page 45.

CME Holdings’ Financial Advisors Have Provided Opinions as to the Fairness, from a Financial Point of View, to CME Holdings of the Consideration to be Paid in the Merger

Lehman Brothers and William Blair have provided opinions to the CME Holdings board of directors, dated as of May 11, 2007, that, as of that date, and based on and subject to the qualifications and assumptions set forth in their respective opinions, the consideration to be paid by CME Holdings in the merger with CBOT Holdings was fair, from a financial point of view, to CME Holdings. We have attached the full text of each of Lehman Brothers’ and William Blair’s opinion to this document as Annex B and Annex C, respectively, which set forth, among other things, the assumptions made, procedures followed, matters considered and limitations on the review undertaken by each of Lehman Brothers and William Blair in connection with their respective opinions. We urge you to read the opinions carefully in their entirety. The opinions of Lehman Brothers and William Blair

are addressed to the board of directors of CME Holdings and are one of many factors considered by the board in deciding to approve the amended merger agreement and the transactions contemplated by the amended merger agreement, are directed only to the consideration to be paid in the merger and do not address the underlying decision by CME Holdings to engage in the merger or constitute a recommendation to any stockholder of CME Holdings as to how that stockholder should vote at the CME Holdings special meeting or act on any matter relating to the merger.

Pursuant to engagement letters between each of Lehman Brothers and William Blair, CME Holdings paid Lehman Brothers a $3 million fee upon delivery of Lehman Brothers’ opinion in October 2006 and an additional fee of $13 million will be payable only upon completion of the merger and CME Holdings paid William Blair a $0.75 million fee upon delivery of William Blair’s opinion in October 2006 and an additional fee of $1.25 million will be payable only upon completion of the merger. Neither Lehman Brothers nor William Blair received an additional fee in connection with the delivery of their respective opinions dated May 11, 2007.

See “The Merger—Opinion of Lehman Brothers, Financial Advisor to CME Holdings” beginning on page 97 and “The Merger—Opinion of William Blair, Financial Advisor to CME Holdings” beginning on page 105.

CBOT Holdings’ Financial Advisor Has Provided its Opinion as to the Fairness of the Merger Consideration, from a Financial Point of View, to CBOT Holdings’ Stockholders

JPMorgan has provided its opinion to the CBOT Holdings board of directors, dated as of May 11, 2007, that, as of that date, and subject to and based upon the qualifications and assumptions set forth in its opinion, the consideration to be received by the holders of CBOT Holdings Class A common stock in the merger was fair, from a financial point of view, to such stockholders. We have attached to this document the full text of JPMorgan’s opinion as Annex D, which sets forth, among other things, the assumptions made, procedures followed, matters considered and limitations on the review undertaken by JPMorgan in connection with its opinion. We urge you to read the opinion carefully in its entirety. The opinion of JPMorgan is addressed to the board of directors of CBOT Holdings and is among many factors considered by the board in deciding to approve the amended merger agreement and the transactions contemplated by the amended merger agreement, is directed only to the consideration to be paid in the merger and does not constitute a recommendation to any stockholder as to how that stockholder should vote on the amended merger agreement.

Pursuant to an engagement letter between CBOT Holdings and JPMorgan, CBOT Holdings has agreed to pay JPMorgan a fee for its services as financial advisor, a substantial portion of which is contingent upon the consummation of the merger. The total fee will be calculated as 0.3% of the total consideration paid in connection with the merger. Upon delivery of the October 2006 opinion by JPMorgan, JPMorgan became entitled to a portion of the fee in the amount of $2 million. If the proposed merger is consummated, JPMorgan will receive the balance of the fee which, based on the value of the consideration to be paid in connection with the merger as of May 10, 2007, would be approximately $26 million. JPMorgan did not earn an additional fee upon delivering its May 11, 2007 opinion.

See “The Merger—Opinion of JPMorgan, Financial Advisor to CBOT Holdings” beginning on page 111.

Interests of CME Holdings and CBOT Holdings Executive Officers and Directors in the Merger

Stockholders should note that some CME Holdings executive officers and directors and some CBOT Holdings executive officers and directors have interests in the merger that are different from, or in addition to, the interests of other CME Holdings stockholders and CBOT Holdings Class A stockholders, respectively.

Each of CME Holdings’ board of directors and CBOT Holdings’ board of directors was aware of these interests when they voted to approve and adopt the original merger agreement and the amended merger agreement and recommend that their respective stockholders vote to adopt the amended merger agreement.

Information relating to the interests of CME Holdings’ executive officers and directors in the merger is located beginning on page 133 and information relating to the interests of CBOT Holdings’ executive officers and directors in the merger is located beginning on page 134.

Interests of CBOT Holdings Directors Relating to Exercise Rights and/or Other CBOT Member Rights

As described above, CBOE’s certificate of incorporation provides that members of CBOT who apply for membership at CBOE and who otherwise qualify shall, so long as they remain members of CBOT, be entitled to become members of CBOE without the necessity of acquiring such membership for consideration or value. This right, as subsequently amplified in a series of agreements between CBOE, CBOT and, in some cases, CBOT Holdings, is referred to as the “exercise right,” and members of CBOT who have become members of CBOE pursuant to this right are referred to as “exerciser members.” CBOT Holdings directors who hold an exercise right or are exerciser members could have had an incentive to negotiate the consideration, transaction structure or other terms and conditions of the merger to increase or protect the value of the exercise rights, referred to as the “potential exercise rights conflict.” For information regarding the CBOE exercise rights, see “Risk Factors—Additional Risks Relating to CBOT Members.”

In addition, a majority of the directors of CBOT Holdings are members of CBOT. In connection with the merger, CBOT, CBOT Holdings and CME Holdings negotiated the terms of certain amendments to CME Holdings’ amended and restated certificate of incorporation and bylaws and CBOT’s amended and restated certificate of incorporation and bylaws, and the approval of the amendment of CBOT’s amended and restated certificate of incorporation by CBOT members is a condition to the merger. As a result of these amendments, certain rights currently held by Class B members of CBOT will be expanded, preserved, amended, modified or eliminated. Directors of CBOT Holdings who are members of CBOT could have had an incentive to negotiate the terms and conditions of the merger to increase or protect their rights as CBOT members after the merger, which was referred to as the “potential trading rights conflict.”

Information relating to interests of CBOT Holdings directors related to exercise rights and/or other CBOT member rights is located beginning on page 138.

Role and Recommendations of the CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee

CBOT Holdings’ board of directors formed a special transaction committee, or the “special transaction committee,” and an additional separate special committee, which is referred to as the “non-ER members committee,” each comprised of independent and disinterested directors, to address certain potential conflicts of interest of a majority of CBOT Holdings’ directors. The CBOT Holdings special transaction committee acted, with respect to both the potential exercise rights conflict and the potential trading rights conflict, in the interests of CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and who do not otherwise have an exercise right or hold a membership on CBOE pursuant to an exercise right. The CBOT Holdings non-ER members committee acted, with respect to the potential exercise rights conflict, in the interests of CBOT Holdings Class A stockholders (solely in their capacity as CBOT Holdings Class A stockholders) who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right. CBOT Holdings’ board of directors resolved that it would not recommend a transaction with CME Holdings for approval by CBOT Holdings Class A stockholders without the prior favorable recommendation by each special committee.

The special transaction committee unanimously determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to, and in the best interests of CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have an exercise right or own a membership on CBOE pursuant to an exercise right, and recommended

that CBOT Holdings’ board authorize and approve the amended merger agreement and the merger. The special transaction committee unanimously recommends that CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have an exercise right or own a membership on CBOE pursuant to such exercise right vote “FOR” the adoption of the amended merger agreement.

The non-ER members committee determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to, and in the best interests of CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right, and recommended that CBOT Holdings’ board authorize and approve the amended merger agreement and the merger. The non-ER members committee recommends that CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right, vote “FOR” the adoption of the amended merger agreement.

In reaching their recommendations, the special committees consulted with their respective legal advisors and, in the case of the special transaction committee, its financial advisor and independent technology consultant, as well as CBOT Holdings’ board of directors and certain of its senior management, and CBOT Holdings’ legal and financial advisors. The non-ER members committee also consulted with the special transaction committee and its legal, financial and other advisors. In reaching their recommendations, the special committees also considered the factors described under “The Merger—Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee” beginning on page 85.

The CBOT Holdings Special Transaction Committee’s Financial Advisor Has Provided its Opinion as to the Fairness of the Exchange Ratio, from a Financial Point of View, to CBOT Holdings’ Class A Stockholders Other Than Stockholders Who Have Exercise Right Privileges at CBOE or Have Exercised such Exercise Right Privileges at CBOE

Lazard has provided its opinion to the CBOT Holdings special transaction committee, dated as of May 11, 2007, that, as of that date, and based upon and subject to the assumptions, limitations and qualifications set forth in the opinion, the exchange ratio was fair, from a financial point of view, to the Class A stockholders of CBOT Holdings other than the stockholders of CBOT Holdings who have exercise right privileges at CBOE or have exercised such exercise right privileges at CBOE. The CBOT Holdings non-ER members committee requested, and Lazard consented to, the non-ER members committee’s reliance on Lazard’s opinion. We have attached to this document the full text of Lazard’s opinion as Annex E, which sets forth, among other things, the assumptions made, procedures followed, matters considered and limitations on the review undertaken by Lazard in connection with its opinion. We urge you to read the opinion carefully in its entirety. The opinion of Lazard is among many factors considered by the special committees in reaching their recommendations, is directed only to the exchange ratio in the merger and does not constitute a recommendation to any stockholder as to how that stockholder should vote on the amended merger agreement. For its services, Lazard received a fee of $3.75 million upon rendering its opinion as of October 17, 2006 and a fee of $3.75 million upon rendering its opinion as of May 11, 2007, and an additional fee of $2.25 million will be payable to Lazard upon consummation of the merger, plus up to an additional $0.5 million at the discretion of the special transaction committee based on the magnitude and complexity of the work performed relative to the parties’ expectations when Lazard was engaged.

See “The Merger—Opinion of Lazard, Financial Advisor to the CBOT Holdings Special Transaction Committee” beginning on page 118.

Amended and Restated Certificate of Incorporation and Bylaws

Upon the completion of the merger, CME Group’s certificate of incorporation and bylaws will be as set forth in the forms attached as Annexes F and G to this document. The certificate of incorporation and bylaws

differ from CME Holdings’ current certificate of incorporation and bylaws in several material respects, including an increase in the authorized number of shares of Class A common stock from 138,000,000 to 1,000,000,000, an increase in the number of directors from 20 to 30 and provisions to reflect the arrangements regarding the board of directors and officers of CME Group after completion of the merger as described below.

See “The Merger—Amended and Restated Certificate of Incorporation and Bylaws” beginning on page 140.

Board of Directors and Executive Officers of CME Group After Completion of the Merger

Upon the completion of the merger, the certificate of incorporation and bylaws of CME Group will provide for a board of directors composed of 30 members. Currently, the holders of CME Holdings’ Class B-1, Class B-2 and Class B-3 common stock have the right to elect six directors to CME Holdings’ board of directors. Following the merger, the holders of the Class B-1, Class B-2 and Class B-3 common stock of CME Group will continue to have the right to elect six directors, who are referred to in this document collectively as the “Class B Directors.” The remaining 24 directors, who are referred to in this document collectively as the “equity directors,” will be elected by the holders of CME Group’s Class A and Class B common stock voting together as a single class.

Upon the completion of the merger, the 30 members of the board of directors of CME Group will consist of the six Class B Directors of CME Holdings as of immediately prior to the merger, the 14 remaining directors of CME Holdings as of immediately prior to the merger, who are referred to in this document collectively as the “CME Directors,” and ten directors of CBOT Holdings as of immediately prior to the merger, who are referred to in this document collectively as the “CBOT Directors.” CME Group’s bylaws contain nominating provisions intended to ensure that, until the annual meeting of stockholders to be held in 2010, at least 20 directors are CME Directors, including the six CME Class B Directors (or their replacements), and at least ten equity directors are CBOT Directors (or their replacements). At least two of the CBOT Directors must at all times be non-industry directors.

Immediately following the completion of the merger, the executive chairman of the board of directors of CME Holdings will serve as the executive chairman of the board of directors of CME Group and the chairman of the board of directors of CBOT Holdings will serve as vice chairman of the board of directors of CME Group, in each case until the 2010 annual meeting of stockholders. Terrence A. Duffy currently serves as executive chairman of the board of directors of CME Holdings and Charles P. Carey currently serves as chairman of the board of directors of CBOT Holdings. Until the 2010 annual meeting of stockholders, any vacancy in the position of chairman of the board of directors will be filled by a majority vote of CME Directors then in office and any vacancy in the position of vice chairman of the board of directors will be filled by a majority vote of CBOT Directors then in office.

During the period, which is referred to in this document as the “transition period,” starting on the date of the completion of the merger and ending on the first business day following the annual meeting of stockholders to be held in 2010, the nominating committee of the board of directors of CME Group will be composed of six directors, consisting of (i) four CME Directors, who are referred to in this document as the “CME nominating representatives,” selected from time to time by the chairman of CME Group and (ii) two CBOT Directors, who are referred to in this document as the “CBOT nominating representatives,” selected from time to time by the vice chairman of CME Group. During the period starting on the date of the completion of the merger and ending on the first business day prior to the annual meeting of stockholders to be held in 2010, the CME nominating representatives have the right to designate any director to be nominated or elected by the board of directors to replace any CME Director whose term expires or who otherwise fails to continue to serve during such period and the CBOT nominating representatives have the same rights with respect to the CBOT Directors.

Upon the completion of the merger, the executive officers of CME Holdings in office immediately prior to the effective time of the merger will continue in the same positions with CME Group, except that Mr. Phupinder

Gill, who currently serves as president and chief operating officer of CME Holdings, will serve as president in the office of the chief executive officer of CME Group. In addition, Bryan Durkin, who currently serves as executive vice president and chief operating officer of CBOT Holdings, will serve as managing director and chief operating officer of CME Group reporting to Mr. Gill. Each of the CME Group executives will serve until their successors have been duly appointed and qualified or until their earlier death, resignation or removal in accordance with the certificate of incorporation and the bylaws of CME Group.

See “The Merger—Board of Directors and Executive Officers of CME Group After Completion of the Merger” beginning on page 141.

The Amended Merger Agreement

The terms and conditions of the merger are contained in the amended merger agreement, which is attached as Annex A to this document. Please carefully read the amended merger agreement as it is the legal document that governs the merger.

Conditions to Completion of the Merger

Each of CME Holdings’ and CBOT Holdings’ obligation to complete the merger is subject to the satisfaction or waiver of a number of mutual conditions, including:

•

the adoption of the amended merger agreement by the CME Holdings and CBOT Holdings Class A stockholders and the approval by the CBOT members of the repurchase and the proposed CBOT amended and restated certificate of incorporation;

•

the approval of the listing of CME Holdings Class A common stock to be issued in the merger and such other shares to be reserved for issuance in connection with the merger, subject to official notice of issuance, on the NYSE and the Nasdaq Global Select Market;

•

the waiting period under the Hart-Scott-Rodino Antitrust Improvements Act of 1976, as amended, and similar foreign competition laws shall have terminated or expired and the absence of any pending action by the government to enjoin the merger or impose a burdensome condition within the meaning of the amended merger agreement, and all other required filings with or approvals from any governmental entity or self-regulatory organization shall have been made or obtained without any term or condition that would reasonably be expected to result in a burdensome condition;

•

the absence of any rule, regulation, statute, ordinance, order, injunction, judgment or similar action of a court or other governmental entity or self-regulatory organization having the effect of making the merger illegal or otherwise prohibiting the merger; and

•

the effectiveness of the registration statement of which this document forms a part under the Securities Act.

Each of CME Holdings’ and CBOT Holdings’ obligations to complete the merger is also separately subject to the satisfaction or waiver of a number of other conditions, including:

•

the other party’s representations and warranties in the amended merger agreement being true and correct, without regard to qualifications or limitations as to materiality or material adverse effect, except with respect to most representations and warranties where the failure of such representations and warranties to be true and correct does not have and is not reasonably expected to have a material adverse effect;

•

the performance by the other party in all material respects of its obligations under the amended merger agreement; and

•

the receipt by such party of a legal opinion from its counsel with respect to certain federal income tax consequences of the merger.

In addition, the obligation of CME Holdings to complete the merger is subject to the consummation of the repurchase by CBOT Holdings of its outstanding share of Class B common stock from the CBOT Subsidiary Voting Trust, and the obligation of CBOT Holdings to complete the merger is subject to the appointment of the CBOT Directors to CME Group’s board of directors, executive committee and nominating committee in accordance with the amended merger agreement.

See “The Amended Merger Agreement—Conditions to Complete the Merger” beginning on page 153.

Non-Solicitation

Each of CBOT Holdings and CME Holdings has agreed that it will not initiate, solicit, facilitate or encourage any inquiries or proposals regarding, or take certain other actions in connection with, any acquisition proposals by third parties. If, however, a party receives an unsolicited takeover proposal from a third party that the party’s board of directors or, in the case of CBOT Holdings, the CBOT Holdings special transaction committee, determines in good faith, after consultation with its legal and financial advisors, constitutes a superior proposal or could reasonably be expected to lead to a superior proposal, then that party may furnish information to the third party and engage in negotiations regarding a takeover proposal with the third party, subject to specified conditions.

Each party has agreed that its board of directors will not change its recommendation to its stockholders or members or approve any alternative agreement. However, at any time prior to the applicable stockholder or member approval, the applicable board of directors and, in the case of CBOT Holdings, the CBOT Holdings special transaction committee, may make a change in recommendation in response to a superior proposal or if required to comply with its fiduciary duties, subject to certain conditions.

The amended merger agreement requires each party to call, give notice of and hold a meeting of its stockholders or members, as applicable, for the purposes of obtaining the applicable stockholder or member approval. This stockholder meeting requirement does not apply to a party if the other party terminates the amended merger agreement. In addition, this stockholder meeting requirement does not apply to a party if that party makes a change in recommendation in response to a superior proposal, unless the other party exercises its option, within five business days after the change in recommendation, to cause the applicable board of directors to submit the amended merger agreement to its stockholders for approval, which we refer to as the “stockholder vote option.” If a party exercises its stockholder vote option, it will not be entitled to certain termination rights under the amended merger agreement.

See “The Amended Merger Agreement—No Solicitation of Alternative Transactions” beginning on page 151.

Termination of the Amended Merger Agreement

CME Holdings and CBOT Holdings may mutually agree at any time to terminate the amended merger agreement without completing the merger. Also, either of CME Holdings or CBOT Holdings can terminate the amended merger agreement in various circumstances, including the following:

•

the merger is not completed by October 17, 2007 (other than because of a breach of the amended merger agreement caused by the party seeking termination), provided, that if all conditions to closing, other than the termination or expiration of the required waiting period under the Hart-Scott-Rodino Antitrust Improvements Act and the absence of any pending action by the government to enjoin the merger or impose a burdensome condition or the receipt of required regulatory approvals, have been satisfied or waived on that date, such date may be extended by either party up to an aggregate of 120 days;

•

a governmental entity or self-regulatory organization has issued a rule, regulation, statute, ordinance, order, injunction, judgment or similar action of a court or other governmental entity or self-regulatory organization having the effect of making the merger illegal or otherwise prohibiting the merger and such action has become final and non-appealable; or

•

the other party has not obtained its required stockholder approval of the merger and related transactions, and in the case of CBOT Holdings, the required CBOT member approval, at its stockholder or member meeting, as applicable.

A party may also terminate the amended merger agreement if:

•

the other party is in material breach of the amended merger agreement after prior written notice of the breach and such material breach remains uncured or is incapable of being cured;

•

the other party is in breach in any material respect of its obligations regarding solicitation of alternative transaction proposals;

•

subject to a party not exercising its stockholder vote option, the other party’s board of directors:

•

fails to authorize, approve or recommend the amended merger agreement to its stockholders;

•

changes its recommendation to its stockholders; or

•

fails to remain silent with respect to a third party tender offer or exchange offer or fails to recommend that its stockholders reject a tender offer or exchange offer within specified time periods; or

•

such party makes a change in recommendation in response to a superior proposal and the other party does not exercise its stockholder vote option.

See “The Amended Merger Agreement—Termination of the Amended Merger Agreement” beginning on page 154.

Termination Fees and Expenses

CBOT Holdings or CME Holdings, as the case may be, must pay a termination fee of $288.0 million to the other party if the amended merger agreement is terminated due to:

•

such party’s breach in any material respect of its obligations regarding solicitation of alternative transaction proposals;

•

subject to the other party not exercising its stockholder vote option, such party’s board of directors (i) failing to authorize, approve or recommend the amended merger agreement to its stockholders, (ii) changing its recommendation to its stockholders or (iii) failing to remain silent with respect to a third party tender offer or exchange offer or failing to recommend that its stockholders reject a tender offer or exchange offer; or

•

such party making a change in recommendation (provided that in connection with a change in recommendation in response to a superior proposal the other party does not exercise its stockholder vote option).

If the amended merger agreement is terminated due to:

•

a party being in uncured willful material breach of the amended merger agreement;

•

a party not obtaining its stockholder approval of the merger and related transactions and, in the case of CBOT Holdings, the required CBOT member approval, at such party’s stockholder or member meeting; or

•

the merger not being completed by October 17, 2007 (as such date may be extended pursuant to the terms of the amended merger agreement) and a party has not obtained its required stockholder approval of the merger and related transactions and, in the case of CBOT Holdings, the required CBOT member approval;

and, in each case, a takeover proposal for such party has been made or announced; then, if such party enters into or consummates the transactions contemplated by the takeover proposal within 12 months of termination of the amended merger agreement, such party must pay a termination fee of $288.0 million to the other party.

If a party is required to pay a termination fee to the other party, such party must also reimburse the other party for its expenses, up to a maximum amount of $6.0 million.

See “The Amended Merger Agreement—Fees and Expenses” beginning on page 156.

Regulatory Approvals Required for the Merger

Completion of the transactions contemplated by the amended merger agreement is subject to the receipt of approvals or consents from, or the making of filings with, various regulatory authorities, including United States antitrust authorities.

CME Holdings and CBOT Holdings have completed, or will complete, filing all of the required applications and notices with applicable regulatory authorities.

See “Regulatory Approvals” beginning on page 158.

U.S. Federal Income Tax Consequences of the Merger

CME Holdings and CBOT Holdings intend for the merger to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code of 1986, as amended, or the “Code.” Subject to the limitations and qualifications described under “Material U.S. Federal Income Tax Consequences of the Merger,” in connection with the filing of the registration statement of which this document forms a part Skadden, Arps, Slate, Meagher & Flom LLP, or “Skadden, Arps,” counsel to CME Holdings, has delivered an opinion to CME Holdings, and Mayer, Brown, Rowe & Maw LLP, or “Mayer Brown,” counsel to CBOT Holdings, has delivered an opinion to CBOT Holdings, to the effect that the merger will be treated as a reorganization within the meaning of Section 368(a) of the Code, whether or not any cash received by CBOT Holdings stockholders in the tender offer is treated as merger consideration.

Holders of CBOT Holdings Class A common stock should consult with their own tax advisors as to the tax consequences of the merger and the tender offer in their particular circumstances, including the applicability and effect of the alternative minimum tax and any state, local or foreign and other tax laws and of changes in those laws.

See “Material U.S. Federal Income Tax Consequences of the Merger” beginning on page 160.

Legal Proceedings Regarding the Merger

On March 16, 2007, Louisiana Municipal Police Employees’ Retirement System, or “LAMPERS,” filed a putative class action complaint in the Delaware Court of Chancery against CBOT Holdings, its directors and CME Holdings. The complaint alleges, among other things, that CBOT Holdings and its directors breached their

fiduciary duties related to the CBOT Holdings/CME Holdings merger by failing to fully consider possible alternative transactions, including the March 15, 2007 proposal by ICE; approving allegedly improper deal protection devices including a $240 million termination fee and a no-shop/no-talk provision; and failing to fully disclose material information regarding the process leading to the announcement of the original merger agreement. The complaint further alleges that CME Holdings aided and abetted the alleged breaches of fiduciary duty. The plaintiff seeks to enjoin the CBOT Holdings/CME Holdings merger. On March 19, 2007, the plaintiff filed a motion seeking expedited proceedings. On March 20, 2007, the boards of directors of CBOT Holdings and CBOT determined to postpone the upcoming April 4, 2007 special meetings in order to ensure sufficient time to fully analyze the proposal from ICE. During a March 21, 2007 telephone conference regarding the motion, the plaintiff modified the motion in light of the postponement of the special meetings, and the court ordered that only limited document discovery could proceed on an expedited basis. On April 9, 2007, CBOT Holdings, the director defendants and CME Holdings filed motions to dismiss the complaint. These motions are currently pending before the court. On May 17, 2007, CME Holdings also filed an answer to the complaint and alleged affirmative defenses. On June 4, 2007, the plaintiff filed an amended complaint which included additional allegations regarding alleged breaches by CBOT directors of their fiduciary duties in connection with the original merger agreement, the amended merger agreement and in rejecting the ICE proposal, including favoring the interests of floor traders and themselves over the interests of the putative class, and in connection with the proxy materials for the July 9, 2007 special meeting. We intend to defend vigorously against these allegations and to contest vigorously any attempt to enjoin voting at the special meetings. See “The Merger—Legal Proceedings Regarding the Merger” beginning on page 144.

The Companies

Chicago Mercantile Exchange Holdings Inc.

20 South Wacker Drive

Chicago, Illinois 60606

(312) 930-1000

CME Holdings is the parent company of CME. Founded in 1898, CME is the largest futures exchange in the United States for the trading of futures contracts and options on futures contracts, as measured by 2006 annual trading volume. In 2006, CME customers, who include its members, traded more than 1.3 billion futures contracts and options on futures contracts. CME owns its clearinghouse, which is the largest derivatives clearing operation in the world for futures and options on futures.

See “The Companies—CME Holdings and CME” beginning on page 165.

CBOT Holdings, Inc. and Board of Trade of the City of Chicago, Inc.

141 West Jackson Boulevard

Chicago, Illinois 60604

(312) 435-3500

CBOT Holdings is the parent company of CBOT. Founded in 1848, CBOT is the world’s leading marketplace for agriculture, grains and U.S. Treasury futures as well as options on futures. In 2006, 13% of the global listed futures and options on futures contracts traded on CBOT. In 2006, CBOT’s flagship U.S. Treasury futures and options products traded approximately 608 million contracts and CBOT traded 128 million agricultural futures and options on futures contracts.

See “The Companies—CBOT Holdings and CBOT” beginning on page 165.

Comparative Stock Price and Dividends

Shares of CME Holdings Class A common stock are listed on the NYSE and the Nasdaq Global Select Market and shares of CBOT Holdings Class A common stock are listed on the NYSE. The following table presents the last reported closing sale price per share of CME Holdings Class A common stock and CBOT Holdings Class A common stock, as reported on the New York Stock Exchange Composite Transaction reporting system on June 4, 2007, the last trading day for which this information could be calculated prior to the mailing of this document.


	CME Holdings Class A Common Stock		CBOT Holdings Class A Common Stock		CBOT Holdings Class A Common Stock Equivalent Per Share
June 4, 2007	$	535.25	$	199.60	$	187.34	(1)

(1)	The equivalent per share data for CBOT Holdings Class A common stock was determined by multiplying the closing price of a share of CME Holdings Class A common stock by the exchange ratio in the amended merger agreement of 0.3500.

CME Holdings’ annual dividend target is approximately 30% of the prior year’s cash earnings. The decision to pay a dividend, however, remains with the CME Holdings board of directors and may be affected by various factors, including earnings, financial condition, capital requirements, level of indebtedness, contractual restrictions and other considerations the board of directors deems relevant. Also, the amended merger agreement provides that CME Holdings may not declare or pay dividends except quarterly dividends consistent with past practice. CBOT Holdings has not paid any cash dividends on its common stock, and the amended merger agreement provides that CBOT Holdings may not declare or pay dividends; except that, subject to certain limitations, CBOT Holdings may pay a quarterly cash dividend of $0.29 per outstanding share of CBOT Holdings common stock in each of the three month periods ending September 30, 2007 and December 31, 2007. CBOT Holdings may not, however, pay a dividend in any such three month period in which the completion of the merger occurs or is expected to occur. If the merger is not completed prior to March 31, 2008, CBOT Holdings may pay a quarterly cash dividend to holders of record on March 31, 2008 of CBOT Holdings common stock, calculated based upon an agreed-upon formula. See “The Amended Merger Agreement—Conduct of Business Pending the Merger” beginning on page 149.

See “Market Price and Dividend Data” beginning on page 167.

Summary Historical Financial Data

CME Holdings and CBOT Holdings are providing the following financial information to aid you in your analysis of the financial aspects of the merger. This information is only a summary, and you should read it in conjunction with the historical consolidated financial statements of each of CME Holdings and CBOT Holdings and the related notes contained in the annual reports and other information that each of CME Holdings and CBOT Holdings has previously filed with the SEC and which is incorporated herein by reference. See “Where You Can Find More Information” beginning on page 195.

Summary Historical Consolidated Financial Data of CME Holdings

The following summary historical consolidated financial data as of and for the five years ended December 31, 2006 has been derived from CME Holdings’ audited consolidated financial statements. Historical financial data as of and for the three months ended March 31, 2007 and 2006 has been derived from CME Holdings’ unaudited consolidated financial statements that include, in management’s opinion, all normal recurring adjustments considered necessary to present fairly the results of operations and financial condition of CME Holdings for the periods and at the dates presented. Operating results for the three months ended March 31, 2007 do not necessarily indicate the results that can be expected for the year ending December 31, 2007.


	As of and for the Year Ended December 31,										As of and for the Three Months Ended March 31,
	2006		2005		2004		2003		2002		2007		2006
	(in millions, except per share data)
Income Statement Data:
Total revenues	$	1,089.9	$	889.8	$	721.6	$	531.0	$	446.1	$	332.3	$	251.7
Operating income		620.9		477.6		355.4		201.1		147.2		200.6		138.8
Non-operating income and expense		50.8		30.8		12.2		5.0		7.1		14.8		11.7
Income before income taxes		671.7		508.4		367.7		206.1		154.3		215.4		150.5
Net income		407.3		306.9		219.6		122.1		94.1		130.0		91.4
Earnings per share:
Basic	$	11.74	$	8.94	$	6.55	$	3.74	$	3.24	$	3.73	$	2.64
Diluted		11.60		8.81		6.38		3.60		3.13		3.69		2.61
Cash dividends per share		2.52		1.84		1.04		0.63		0.60		0.86		0.63

Balance Sheet Data (end of period):
Cash and cash equivalents	$	969.5	$	610.9	$	357.6	$	185.1	$	339.3	$	1,139.8	$	715.7
Marketable securities(1)		269.5		307.0		314.1		267.6		7.5		219.3		290.8
Total assets		4,306.5		3,969.4		2,857.5		4,872.6		3,355.0		4,886.5		4,391.0
Short-term debt		—		—		—		1.5		4.7		—		—
Long-term debt		—		—		—		—		2.3		—		—
Shareholders’ equity		1,519.1		1,118.7		812.6		563.0		446.1		1,625.8		1,205.2

(1)

Marketable securities include pledged securities of $100.7 million and $70.2 million at December 31, 2006 and 2005, respectively. Marketable securities include pledged securities of $65.6 million and $70.1 million at March 31, 2007 and 2006, respectively. In March 2007, deferred compensation plan assets were reclassified from other assets to marketable securities. Prior period balances have been adjusted to conform to the current period presentation.

Summary Historical Consolidated Financial Data of CBOT Holdings

The following summary historical consolidated financial data as of and for the five years ended December 31, 2006 has been derived from CBOT Holdings’ audited consolidated financial statements. Historical financial data as of and for the three months ended March 31, 2007 and 2006 has been derived from CBOT Holdings’ unaudited consolidated financial statements that include, in management’s opinion, all normal recurring adjustments considered necessary to present fairly the results of operations and financial condition of CBOT Holdings for the periods and at the dates presented. Operating results for the three months ended March 31, 2007 do not necessarily indicate the results that can be expected for the year ending December 31, 2007.


	As of and for the Year Ended December 31,													As of and for the Three Months Ended March 31,
	2006(2)		2005		2004			2003			2002			2007		2006
	(in millions, except per share data)
Income Statement Data:
Total revenues	$	621.1	$	461.5	$	378.3		$	379.8		$	306.6		$	187.7	$	140.1
Income from operations		276.0		130.5		77.1			119.3			62.1			89.5		55.6
Non-operating income (expense)		17.6		2.1		(2.9	)		(2.5	)		(3.1	)		6.2		2.9
Income before income taxes		293.6		132.6		74.2			116.8			59.0			95.7		58.5
Total income taxes		120.4		55.6		32.8			22.5			24.3			39.9		23.2
Income before equity in unconsolidated subsidiary and minority interest in consolidated subsidiary		173.3		77.0		41.4			94.3			34.7			55.8		35.3
Net income		172.2		76.5		42.0			30.7			34.3			55.4		35.1
Earnings per share:(1)
Basic	$	3.26	$	1.09		n/a			n/a			n/a		$	1.05	$	0.66
Diluted		3.26		1.09		n/a			n/a			n/a			1.05		0.66

Balance Sheet Data (end of period):
Cash and short-term investments	$	491.6	$	341.2	$	105.4		$	142.7		$	85.8		$	550.2	$	358.8
Total assets		811.3		685.9		460.4			484.0			354.2			885.4		730.3
Short-term borrowings		10.7		19.4		20.4			19.7			10.7			—		19.5
Long-term borrowings		—		10.7		31.1			50.0			42.9			—		—
Minority interest		—		—		—			62.9			—			—		—
Total equity		708.4		541.8		293.6			251.3			219.0			763.2		577.4

(1)

Income used in the calculation of earnings per share for 2005 only includes earnings allocated to the period after April 22, 2005, the date CBOT Holdings completed its restructuring transactions. The weighted average number of shares used in the calculation is based on the average number of shares outstanding after April 22, 2005. See Note 7 to CBOT Holdings financial statements included in its Annual Report on Form 10-K for the year ended December 31, 2006 incorporated by reference herein for more information.

(2)

On December 31, 2006, CBOT Holdings adopted Statement of Financial Accounting Standard (“SFAS”) No. 158, Employers’ Accounting for Defined Benefit Pension and Other Postretirement Plans, an amendment of FASB Statements No. 87, 88, 106, and 132(R), which requires the overfunded or underfunded status of a defined benefit postretirement plan to be recognized in the statement of financial position and changes in that funded status to be recognized in the year of change in comprehensive income. Upon adopting SFAS No. 158, CBOT Holdings recorded a $14.2 million liability related to the actuarially computed underfunded status of postretirement plans, of which $8.5 million was recorded in other comprehensive income as a reduction to stockholders’ equity and $5.7 million was recorded as a deferred income tax asset.

Summary Unaudited Pro Forma Condensed Combined Financial Data

The following summary unaudited pro forma condensed combined financial data gives effect to the merger based on the assumption that the merger occurred as of or at the beginning of the earliest period presented. The summary unaudited pro forma condensed combined financial data is presented for illustrative purposes only and should not be read for any other purpose. In compliance with SEC requirements, the summary unaudited pro forma condensed combined financial data does not give effect to the anticipated tender offer after completion of the merger, the use of available funds, or the incurrence of debt related to the tender offer. CME Holdings and CBOT Holdings may have performed differently had they always been combined. You should not rely on this information as being indicative of the historical results that would have been achieved had the companies always been combined or the future results that CME Group will experience after the merger. The summary unaudited pro forma condensed combined financial data (i) has been derived from and should be read in conjunction with the CME Group Unaudited Pro Forma Condensed Combined Financial Information and the related notes beginning on page 169 of this document and (ii) should be read in conjunction with the historical consolidated financial statements of CME Holdings and CBOT Holdings incorporated by reference in this document.


	Year Ended December 31, 2006		Three Months Ended March 31, 2007
	(in thousands, except per share data)
Income Statement Data:
Total revenues	$	1,635,629	$	498,272
Operating income		829,698		273,852
Non-operating income and expense		66,686		20,213
Income before income taxes		896,384		294,065
Net income before non-recurring charges directly attributable to the transaction		539,106		175,614
Earnings per share:(1)
Basic	$	10.14	$	3.29
Diluted		10.05		3.27
Cash dividends per share(2)		2.52		0.86

			As of March 31, 2007
Balance Sheet Data:
Cash and cash equivalents			$	1,216,662
Marketable securities				581,648
Total assets				18,037,381
Shareholders’ equity				11,246,679

(1)

The table above combines CME Holdings’ results of operations for the year ended December 31, 2006 and the results of operations for the three months ended March 31, 2007 with CBOT Holdings’ results of operations for the same periods. The pro forma combined diluted earnings per share is based on the combined weighted average number of shares of common stock and common stock equivalents. Common stock equivalents consist of common stock issuable upon the exercise of outstanding stock options and vesting of restricted stock awards.

(2)

CME Group pro forma combined cash dividends per share are the same as the historical amount of cash dividends per share for the year ended December 31, 2006 and the three months ended March 31, 2007 under CME Holdings’ current dividend policy since no change in dividend policy is expected as a result of the merger. Under CME Holdings’ current dividend policy, current year dividends are a function of the prior year’s cash earnings, calculated as net income plus depreciation and amortization expense, plus stock-based compensation, net of its tax effect, and less capital expenditures. The decision to pay a dividend, however, remains at the discretion of the board of directors.

Comparative Per Share Data

The following table sets forth historical per share information of CME Holdings and CBOT Holdings and unaudited pro forma condensed combined per share information after giving effect to the merger under the purchase method of accounting. You should not rely on this information as being indicative of the historical results that would have been achieved had the companies always been combined or the future results that CME Group will experience after the merger. The unaudited pro forma condensed combined per share data have been derived from and should be read in conjunction with the CME Group Unaudited Pro Forma Condensed Combined Financial Information and the related notes included in this document beginning on page 169. The historical per share data have been derived from the historical consolidated financial statements as of and for the periods indicated of CME Holdings and CBOT Holdings incorporated by reference in this document.


	Historical CME Holdings		Historical CBOT Holdings		CME Group Pro Forma Combined		Pro Forma Equivalent of One CBOT Holdings Share(1)
Basic earnings per share(2)
Year ended December 31, 2006	$	11.74	$	3.26	$	10.14	$	3.55
Three months ended March 31, 2007		3.73		1.05		3.29		1.15
Diluted earnings per share(2)
Year ended December 31, 2006	$	11.60	$	3.26	$	10.05	$	3.52
Three months ended March 31, 2007		3.69		1.05		3.27		1.14
Book value per share(3)(5)
December 31, 2006	$	43.61	$	13.42	$	n/a	$	n/a
March 31, 2007		46.64		14.46		210.84		73.80
Cash dividends per share(4)
Year ended December 31, 2006	$	2.52		—	$	2.52	$	0.88
Three months ended March 31, 2007		0.86		—		0.86		0.30
Outstanding shares (in thousands)
December 31, 2006		34,836		52,798		53,315		n/a
March 31, 2007		34,862		52,798		53,341		n/a

(1)	The pro forma CBOT Holdings equivalent per share amounts were calculated by applying the exchange ratio of 0.3500 to the pro forma combined basic and diluted earnings per share, book value per share, and cash dividends per share.

(2)

(3)

We computed historical book value per share by dividing CME Holdings’ total shareholders’ equity as of March 31, 2007 and December 31, 2006 by the number of common shares outstanding as of those dates and CBOT Holdings’ total stockholders’ equity as of March 31, 2007 and December 31, 2006 by the number of common shares outstanding as of those dates. We computed the CME Group pro forma combined book value per share amounts by dividing pro forma shareholders’ equity by the pro forma number of shares of CME Group common stock outstanding as of March 31, 2007 (without including outstanding options). See “Unaudited Pro Forma Condensed Combined Balance Sheet” on page 170. The pro forma number of shares of CME Group common stock was calculated as the sum of total shares of CME Holdings common stock outstanding plus the shares expected to be issued in the merger.

(4)

The historical amount represents cash dividends per share for the year ended December 31, 2006 and the three months ended March 31, 2007 under CME Holdings’ current dividend policy. CME Group pro forma combined cash dividends per share are the same as historical since no change in dividend policy is expected as a result of the merger. Under CME Holdings’ current dividend policy, current year dividends are a function of the prior year’s cash earnings, calculated as net income plus depreciation and amortization expense, plus stock-based compensation, net of its tax effect, and less capital expenditures. The decision to pay a dividend, however, remains at the discretion of the board of directors.

RISK FACTORS

In addition to the other information contained in or incorporated by reference into this document, including each of CME Holdings’ and CBOT Holdings’ Annual Report on Form 10-K for the fiscal year ended December 31, 2006 and their Quarterly Reports on Form 10-Q and the matters addressed under the heading “Forward-Looking Statements” beginning on page 36 of this document, you should carefully consider the following risk factors in deciding whether to vote in favor of the proposals described in this document.

Risks Relating to the Merger

Because the market price of CME Holdings Class A common stock will fluctuate, CBOT Holdings Class A stockholders cannot be sure of the market value of the merger consideration they will receive.

Upon the completion of the merger, for each share of CBOT Holdings Class A common stock that they own, CBOT Holdings Class A stockholders will be entitled to receive 0.3500 shares of CME Holdings Class A common stock. Because the exchange ratio will not be adjusted to reflect any changes in the market price of CME Holdings Class A common stock prior to the closing date, the market value of the CME Holdings Class A common stock issued in the merger and the CBOT Holdings Class A common stock surrendered in the merger may be higher or lower than the market values of these shares on earlier dates.

Any change in the market price of CME Holdings Class A common stock prior to completion of the merger will affect the market value of the merger consideration that CBOT Holdings Class A stockholders will receive upon the completion of the merger. Accordingly, at the time of the CBOT Holdings special meeting and prior to the effective time, CBOT Holdings Class A stockholders will not necessarily know or be able to calculate the market value of the merger consideration they would receive upon the completion of the merger. Stock price changes may result from a variety of factors, including general market and economic conditions, changes in our respective businesses, operations and prospects, governmental actions, legal proceedings and developments, market assessments of the benefits of the merger, the likelihood that the merger will be completed and the timing of completion, the prospects of post-merger operations, regulatory considerations and other factors. Many of these factors are beyond our control. Neither CME Holdings nor CBOT Holdings is permitted to terminate the amended merger agreement solely because of changes in the market price of the other party’s common stock.

In addition, the merger may not be completed until a significant period of time has passed after the special meetings. As a result, the market values of CME Holdings Class A common stock and CBOT Holdings Class A common stock may vary significantly from the date of the special meetings to the date of the completion of the merger. You are urged to obtain up-to-date prices for CME Holdings Class A common stock and CBOT Holdings Class A common stock. See “Market Price and Dividend Data” beginning on page 167 for ranges of historic prices of CME Holdings Class A common stock and CBOT Holdings Class A common stock.

We may fail to realize all of the anticipated benefits of the merger.

The success of the merger will depend, in part, on our ability to achieve the anticipated cost synergies and other strategic benefits from combining the businesses of CME Holdings and CBOT Holdings. We expect CME Group to benefit from operational synergies resulting from the consolidation of capabilities and elimination of redundancies as well as greater efficiencies from increased scale, market integration and more automation. However, to realize these anticipated benefits, we must successfully combine the businesses of CME Holdings and CBOT Holdings. If we are not able to achieve these objectives, the anticipated cost synergies and other strategic benefits of the merger may not be realized fully or at all or may take longer to realize than expected. We may fail to realize some or all of the anticipated benefits of the transaction in the amounts and times projected for a number of reasons, including that the integration may take longer than anticipated, be more costly than anticipated or have unanticipated adverse results relating to CME Holdings’ or CBOT Holdings’ existing businesses.

The integration of the businesses and operations of CME Holdings and CBOT Holdings involves risks, and the failure to integrate successfully the businesses and operations in the expected time frame may adversely affect CME Group’s future results.

Historically, CME Holdings and CBOT Holdings have operated as independent companies, and they will continue to do so until the completion of the merger. The management of CME Group may face significant challenges in consolidating the functions of CME Holdings and CBOT Holdings and their subsidiaries, integrating their technologies, organizations, procedures, policies and operations, as well as addressing differences in the business cultures of the two companies and retaining key personnel. In connection with the merger, CME Group expects to integrate certain operations of CME and CBOT, including consolidating the two trading floors, transitioning CBOT’s electronic trading to the CME Globex platform and consolidating regulatory functions. The integration will be complex and time consuming, and require substantial resources and effort. The integration process and other disruptions resulting from the merger may disrupt each company’s ongoing businesses or cause inconsistencies in standards, controls, procedures and policies that adversely affect our relationships with members of CME and CBOT and other market participants, employees, regulators and others with whom we have business or other dealings. Also, CME Holdings’ hosting agreement with the New York Mercantile Exchange, or NYMEX, generally limits CME Holdings’ ability to list products on the CME Globex platform (or allow others to list products on CME Globex) that compete with NYMEX products that are listed on CME Globex, which are primarily energy and metals products. In addition, difficulties in integrating the businesses or regulatory functions of CME Holdings and CBOT Holdings could harm the reputation of CME Group.

CME Holdings and CBOT Holdings will incur transaction, integration and restructuring costs in connection with the merger.

CME Holdings and CBOT Holdings expect to incur significant costs associated with transaction fees, professional services and other costs related to the merger. Specifically, CME Holdings and CBOT Holdings expect to incur approximately $111 million for transaction costs related to the merger. CME Group also will incur integration and restructuring costs following the completion of the merger as CME Group integrates the business of CBOT Holdings with that of CME Holdings. Although CME Holdings and CBOT Holdings expect that the realization of efficiencies related to the integration of the businesses will offset incremental transaction, merger-related and restructuring costs over time, this net benefit may not be achieved in the near term, or at all.

Failure to complete the merger could materially and adversely affect CME Holdings’ and CBOT Holdings’ results of operations and stock price.

Consummation of the merger is subject to a number of closing conditions, including approval by CME Holdings stockholders, CBOT Holdings stockholders and CBOT members. If these conditions are not satisfied and the merger is not completed, the price of CME Holdings and CBOT Holdings stock may decline. In addition, if the merger is not completed, the results of operations of CME Holdings and CBOT Holdings could suffer adverse consequences, without the benefits of having completed the merger, including:

•

CME Holdings and CBOT Holdings will remain liable for significant fees for professional services and other transaction costs.

•

Under certain circumstances described under “The Amended Merger Agreement - Termination of the Amended Merger Agreement - Termination Fees and Expenses” beginning on page 155, CME Holdings or CBOT Holdings, respectively, would be required to pay a termination fee to the other party in the amount of $288 million, plus up to $6 million in expenses. For instance, CBOT Holdings would be required to pay the termination fee, plus expenses, to CME Holdings if approval of the CBOT Holdings stockholders is not obtained, the merger agreement is terminated and CBOT Holdings enters into an agreement with respect to the ICE proposal in the 12 months after termination of the merger agreement (although CBOT Holdings likely would seek to be reimbursed for the termination fee).

•

Matters relating to the merger, including integration planning, have required substantial commitments of time and resources by CME Holdings and CBOT Holdings, which could otherwise have been devoted to other opportunities that may have been beneficial to CME Holdings or CBOT Holdings, as the case may be.

•

Capital investments previously budgeted by CME Holdings and CBOT Holdings, respectively, may have been delayed due to the pending transaction, and would need to be made if the merger were not completed, potentially on an accelerated timeframe, which could prove costly and more difficult to implement.

The fairness opinions obtained by CME Holdings and CBOT Holdings from their respective financial advisors will not reflect changes in circumstances between signing the amended merger agreement and the merger.

CME Holdings and CBOT Holdings have not obtained updated opinions as of the date of this document from Lehman Brothers and William Blair, CME Holdings’ financial advisors, JPMorgan, CBOT Holdings’ financial advisor, or Lazard, CBOT Holdings special transaction committee’s financial advisor. Changes in the operations and prospects of CME Holdings or CBOT Holdings, general market and economic conditions and other factors which may be beyond the control of CME Holdings or CBOT Holdings, and on which the fairness opinions were based, may alter the value of CME Holdings or CBOT Holdings or the prices of shares of CME Holdings Class A common stock or CBOT Holdings Class A common stock by the time the merger is completed. The opinions are based on the information in existence on the date delivered and will not be updated as of the time the merger will be completed. Because CME Holdings and CBOT Holdings currently do not anticipate asking their respective financial advisors to update their opinions, the opinions given at the time the amended merger agreement was signed do not address the fairness of the merger consideration, from a financial point of view, at the time of the special meetings or at the time the merger is completed. For a description of the opinions that CME Holdings and CBOT Holdings received from their respective financial advisors, please refer to “The Merger—Opinion of Lehman Brothers, Financial Advisor to CME Holdings,” “The Merger—Opinion of William Blair, Financial Advisor to CME Holdings,” “The Merger—Opinion of JPMorgan, Financial Advisor to CBOT Holdings,” and “The Merger—Opinion of Lazard, Financial Advisor to the CBOT Holdings Special Transaction Committee.” For a description of the other factors considered by the boards of directors of CME Holdings and CBOT Holdings in determining to approve the merger, please refer to “The Merger—CME Holdings’ Reasons for the Merger; Recommendation of CME Holdings’ Board of Directors,” “The Merger—CBOT Holdings’ and CBOT’s Reasons for the Merger; Recommendation of CBOT Holdings’ and CBOT’s Board of Directors,” and “The Merger—Recommendations of CBOT Holdings’ Special Transaction Committee and Non-ER Members Committee.”

The amended merger agreement limits CME Holdings’ and CBOT Holdings’ ability to pursue alternatives to the merger.

Each of CBOT Holdings and CME Holdings has agreed that it will not initiate, solicit, facilitate or encourage any inquiries or proposals regarding, or take certain other actions in connection with, any acquisition proposals by third parties, subject to limited exceptions, including in the event a party receives an unsolicited takeover proposal from a third party that the party’s board of directors or, in the case of CBOT Holdings, the CBOT Holdings special transaction committee, determines in good faith, after consultation with its legal and financial advisors, constitutes a superior proposal or could reasonably be expected to lead to a superior proposal. Each party has also agreed that its board of directors will not change its recommendation to its stockholders or members or approve any alternative agreement, subject to limited exceptions, including that, at any time prior to the applicable stockholder or member approval, the applicable board of directors and, in the case of CBOT Holdings, the CBOT Holdings special transaction committee, may make a change in recommendation in response to a superior proposal or if required to comply with its fiduciary duties, subject to certain conditions. The amended merger agreement also requires each party to call, give notice of and hold a meeting of its stockholders or members, as applicable, for the purposes of obtaining the applicable stockholder or member approval. This stockholder meeting requirement does not apply to a party only in the event that (i) the other party terminates the amended merger agreement or (ii) the party makes a change in recommendation in response to a superior proposal and the other party fails to exercise its option, within five business days after the change in recommendation, to cause the applicable board of directors to submit the amended merger agreement to its

stockholders for approval. See “The Amended Merger Agreement—No Solicitation of Alternative Transactions.” In addition, under specified circumstances, CME Holdings or CBOT Holdings may be required to pay a termination fee of $288.0 million if the merger is not consummated and reimburse the other party for its expenses, up to a maximum amount of $6.0 million, in connection with the termination of the merger.

These provisions might discourage a potential competing acquiror that might have an interest in acquiring all or a significant part of CME Holdings or CBOT Holdings from considering or proposing an acquisition, or may discourage ICE from submitting a revised proposal, even if it were prepared to pay consideration with a higher per share market price than that proposed in the merger, or might result in a potential competing acquiror proposing to pay a lower per share price to acquire CME Holdings or CBOT Holdings than it might otherwise have proposed to pay.

CME Holdings and CBOT Holdings executive officers and directors have financial interests in the merger that are different from, or in addition to, the interests of CME Holdings and CBOT Holdings Class A stockholders.

Executive officers and directors of CME Holdings and CBOT Holdings negotiated the terms of the amended merger agreement, and CME Holdings’ and CBOT Holdings’ boards of directors unanimously approved and recommended that their respective stockholders vote to adopt the amended merger agreement. These executive officers and directors may have interests in the merger that are different from, or in addition to, those of CME Holdings and CBOT Holdings Class A stockholders generally. These interests include the continued employment of certain executive officers of CME Holdings and CBOT Holdings with CME Group, the continued service of directors of CME Holdings and certain directors of CBOT Holdings as directors of CME Group, the accelerated vesting of equity awards granted to executive officers of CBOT Holdings, and the indemnification of former CBOT Holdings directors and executive officers by CME Holdings. In addition, pursuant to existing employment agreements, certain executive officers of CBOT Holdings could receive substantial payments in connection with the merger, and CBOT Holdings could also be obligated to make gross-up payments to certain of those executives for the amount of certain taxes resulting from some of these payments. In considering these facts and the other information contained in this document, you should be aware of these interests. Please see “The Merger—Interests of CME Holdings Executive Officers and Directors in the Merger” and “The Merger—Interests of CBOT Holdings Executive Officers and Directors in the Merger” for further information about these interests.

A majority of CBOT Holdings directors have interests in the merger that are different from, or in addition to, the interests of other CBOT Holdings Class A stockholders with respect to CBOE exercise rights and/or other rights of CBOT members.

A majority of the directors of CBOT Holdings have interests in the merger that are different from, or in addition to, those of other CBOT Holdings Class A stockholders with respect to CBOE exercise rights and/or other rights of CBOT members. A majority of the directors of CBOT Holdings hold exercise rights to become members of CBOE or hold a membership on CBOE pursuant to the exercise of an exercise right. CBOE has filed with the SEC a proposed interpretation of CBOE’s rules under which the exercise right would terminate upon completion of the merger, subject to the right of exerciser members as of December 11, 2006 to continue to be exerciser members for an unspecified interim period following the merger. See “—Additional Risks Relating to CBOT Members—The merger may adversely affect the exercise right granted to CBOT members under the CBOE’s certificate of incorporation” for additional information on the potential impact of the merger on the exercise rights. As a result of these interests, directors of CBOT Holdings who hold an exercise right or a membership on CBOE pursuant to an exercise right could have had an incentive to negotiate the structure, form of consideration or other terms and conditions of the merger to increase or protect the value of the exercise rights. In addition, a majority of the directors of CBOT Holdings are members of CBOT. In connection with the merger, CME Holdings’ amended and restated certificate of incorporation and bylaws and CBOT’s amended and restated certificate of incorporation and bylaws will be further amended and restated, as a result of which certain rights currently held by CBOT members will be expanded, preserved, amended, modified or eliminated. See “—Additional Risks Relating to CBOT Members—The merger will result in the loss of certain rights under CBOT’s amended and restated certificate of incorporation and bylaws” and “Special Meeting of CBOT

Members—Proposal 2” for additional information on the impact of the merger and related transactions on the rights of CBOT members. As a result of these interests, directors of CBOT Holdings who are members of CBOT could have had an incentive to negotiate the terms and conditions of the merger and related transactions to increase or protect their rights as CBOT members. In considering these facts and the other information contained in this document, you should be aware of these interests. Please see “The Merger—Interests of CBOT Holdings Related to Exercise Rights and/or Other CBOT Member Rights” for further information about these interests. Similar potential conflicts of interest existed in connection with the proposal from ICE.

CME Group may incur costs in seeking to preserve the exercise right granted to members of CBOT and we may be exposed to liability in the event that the merger adversely affects the exercise right.

Pursuant to CBOT’s amended and restated certificate of incorporation, the adoption of which is a condition to and which will become effective at the time of the merger, CBOT is obligated to use commercially reasonable efforts to preserve the exercise right for the benefit of the members of CBOT. CBOT is not required under such amended and restated certificate of incorporation to spend in the aggregate in excess of $15.0 million for out-of-pocket costs, including attorneys’ fees, after the date of filing the amended and restated certificate of incorporation in connection with the foregoing obligations.

If CBOT members lose their exercise right as a result of the merger, we cannot be certain such members will not bring a claim against CME Group, CBOT and the current and former directors and executive officers of CME Group, CBOT Holdings and CBOT. Litigation of this nature is inherently uncertain and we cannot predict the outcome of any such claim. Regardless of the outcome, this litigation could divert the time and attention of our directors and executive officers, and we could incur substantial defense costs.

The unaudited pro forma financial information included in this document may not be indicative of what CME Group’s actual financial position or results of operations would have been.

The unaudited pro forma financial information in this document is presented for illustrative purposes only and is not necessarily indicative of what CME Group’s actual financial position or results of operations would have been had the merger been completed on the dates indicated. The unaudited pro forma financial information reflects adjustments, which are based upon preliminary estimates, to allocate the purchase price to CBOT Holdings’ net assets. The purchase price allocation reflected in this document is preliminary, and final allocation of the purchase price will be based upon the actual purchase price and the fair value of the assets and liabilities of CBOT Holdings as of the date of the completion of the merger. In addition, subsequent to the merger completion date, there may be further refinements of the purchase price allocation as additional information becomes available. Accordingly, the final purchase accounting adjustments may differ materially from the pro forma adjustments reflected in this document. See “Unaudited Pro Forma Condensed Combined Financial Information for CME Group” on page 169 for more information.

Completion of the merger is subject to the receipt of consents and approvals from, or the making of filings with, government entities that could delay completion of the merger or impose conditions that could have a material adverse effect on CME Group or that could cause abandonment of the merger.

The merger is subject to review under the Hart-Scott-Rodino Antitrust Improvements Act of 1976, as amended, by either the Antitrust Division of the U.S. Department of Justice or the U.S. Federal Trade Commission.

Under this statute, CME Holdings and CBOT Holdings are required to make pre-merger notification filings and to await the expiration of the statutory waiting period prior to completing the merger. On December 1, 2006, CME Holdings and CBOT Holdings each received a request for additional information, or a “Second Request,” regarding the merger from the Department of Justice. The Second Request extends the initial waiting period under the statute during which the Department of Justice is permitted to review a proposed transaction until 30 days after the parties have substantially complied with the Second Request, unless that period is terminated earlier by the Department of Justice, the parties agree to a voluntary extension of that period, or, if the Department of Justice objects to the merger, it obtains an injunction from a court. The parties are in substantial compliance with the Second Request and are continuing to cooperate fully with the Department of Justice.

We cannot assure you that a challenge to the merger on antitrust grounds will not be made or, if such a challenge is made, that any such challenge will not be successful. Any such challenge may seek to impose a preliminary or permanent injunction, conditions on the completion of the merger or require changes to the terms of the merger. While we do not currently expect that any such preliminary or permanent injunction, conditions or changes would be imposed, we cannot assure you that they will not be, and such conditions or changes could have the effect of delaying completion of the merger or imposing additional costs on us or limiting the revenues of CME Group following the merger, any of which might have a material adverse effect on CME Group following the merger. Neither CME Holdings nor CBOT Holdings is obligated to complete the merger if any such conditions, individually or in the aggregate, would reasonably be expected to result in (i) a material adverse effect on the expected benefits of the merger or (ii) a material adverse effect on CME Holdings, CBOT Holdings or CME Group following the merger.

CME Holdings may incur significant indebtedness in order to finance the tender offer after completion of the merger, which may limit CME Group’s operating flexibility.

In order to finance the tender offer after completion of the merger for up to $3.5 billion, or 6,250,000 shares, of CME Holdings Class A common stock at a fixed price of $560.00 per share, CME Holdings expects to incur incremental borrowings of up to $2.5 billion. CME Holdings has received a commitment from Lehman Brothers to provide the funds necessary to finance the tender offer up to $2.5 billion. This level of indebtedness may:

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require CME Group to dedicate a significant portion of its cash flow from operations to payments on its debt, thereby reducing the availability of cash flow to fund capital expenditures, to pursue other acquisitions or investments in new technologies, to pay dividends and for general corporate purposes;

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increase CME Group’s vulnerability to general adverse economic conditions, including increases in interest rates if the borrowings bear interest at variable rates; and

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limit CME Group’s flexibility in planning for, or reacting to, changes in or challenges relating to its business and industry.

In addition, to the extent that the credit ratings of CME Group are below pre-merger levels, borrowing costs may increase, and to the extent that the credit ratings are below investment grade, the terms of the financing obligations could include restrictions, such as affirmative and negative covenants, conditions to borrowing, subsidiary guarantees and stock pledges. A failure to comply with these restrictions could result in a default under the financing obligations or could require CME Group to obtain waivers from its lenders for failure to comply with these restrictions. The occurrence of a default that remains uncured or the inability to secure a necessary consent or waiver could have a material adverse effect on CME Group’s business, financial condition or results of operations.

CME Holdings stockholders’ ownership percentage will be diluted and the merger will result in dilution to earnings per share.

In connection with the merger, CME Holdings will issue to CBOT Holdings Class A stockholders shares of CME Holdings Class A common stock. As a result of the issuance of these shares of CME Holdings Class A common stock, CME Holdings stockholders will own a smaller percentage of CME Group after the merger than

they held in CME Holdings prior to the merger. Based on the number of shares of common stock of CME Holdings and CBOT Holdings outstanding on May 10, 2007, the last trading day prior to the public announcement of the revised terms of the merger, immediately after the completion of the merger, CME Holdings stockholders will own approximately 65% of the common stock of CME Group and CBOT Holdings Class A stockholders immediately prior to the merger will own approximately 35% of the common stock of CME Group. The merger will also result in significant dilution to the earnings per share of CME Holdings prior to the merger. For more information on the dilution to CME Holdings’ earnings per share, see “Unaudited Pro Forma Condensed Consolidated Financial Information for CME Group.”

A stockholder lawsuit has been filed against CBOT Holdings, its directors and CME Holdings challenging the merger, and an unfavorable judgment or ruling in this lawsuit could prevent or delay the consummation of the merger and result in substantial costs.

On March 16, 2007, LAMPERS filed a class action complaint in the Delaware Court of Chancery against CBOT Holdings, its directors and CME Holdings. The complaint alleges, among other things, that CBOT Holdings and its directors breached their fiduciary duties related to the CBOT Holdings/CME Holdings merger and further alleges that CME Holdings aided and abetted the alleged breaches of fiduciary duty. The plaintiff seeks to enjoin the CBOT Holdings/CME Holdings merger. On June 4, 2007, the plaintiff filed an amended complaint which included additional allegations regarding alleged breaches by CBOT directors of their fiduciary duties.

The defense of this litigation could result in litigation fees and costs, as well as the diversion of resources. An unfavorable outcome could prevent or delay the consummation of the merger and result in substantial costs. The indemnification provisions contained in CBOT Holdings’ certificate of incorporation and bylaws require CBOT Holdings to indemnify its current and former officers and directors who are named as defendants against the allegations contained in this litigation, and this right to indemnification will continue following the effective time of the merger.

The ultimate impact of this lawsuit on the business, financial condition, liquidity, operating results, customer relations and management of CBOT Holdings, CME Holdings and the combined company is unknown at this time but could prevent or delay the consummation of the merger and result in substantial costs to CBOT Holdings, CME Holdings and the combined company.

Additional Risks Relating to CBOT Members

The merger may adversely affect the exercise right granted to CBOT members under the CBOE’s certificate of incorporation.

Article Fifth(b) of the certificate of incorporation of CBOE provides that members of CBOT who apply for membership at CBOE and who otherwise qualify shall, so long as they remain members of CBOT, be entitled to become exerciser members through the exercise rights. In 1992, CBOT and CBOE entered into an agreement to resolve a dispute regarding the meaning of certain terms in Article Fifth(b) and the nature and scope of the exercise right. The 1992 agreement provides that the individuals entitled to become members of CBOE pursuant to Article Fifth(b) of CBOE’s certificate of incorporation are (i) full members of CBOT who are in possession of all the parts of a CBOT full membership and all trading rights and privileges appurtenant thereto, whom we refer to as “eligible CBOT full members” and (ii) lessees of full members who are in possession of all the parts of a CBOT full membership and all trading rights and privileges appurtenant thereto, whom we refer to as “eligible CBOT full member lessees.”

The 1992 agreement also provides that if CBOT merges with or is acquired by another entity, the exercise right shall continue to apply if (i) the survivor of the acquisition is an exchange that provides a market in commodity futures contracts or options, securities or other financial instruments, (ii) the full members of CBOT are granted membership in the survivor and (iii) such membership entitles the holder to full trading rights and privileges in all products then or thereafter traded on the survivor (excluding products that, at the time of the merger or acquisition, are traded on the other entity but not CBOT). Immediately following the merger, CBOT will continue to be a futures exchange and the Series B-1 members will continue to be members of CBOT with full trading rights and privileges in all products then or thereafter traded on CBOT.

CBOT, CBOE and, in some instances, CBOT Holdings, entered into several additional agreements regarding the exercise right in connection with CBOT’s 2005 demutualization. Consistent with Article Fifth(b) and the 1992 Agreement, and in the context of the proposed demutualization, these agreements provide that, in the absence of any other material changes to the structure or ownership of CBOT or to the trading rights and privileges appurtenant to a CBOT full membership not contemplated in CBOT’s 2005 demutualization, upon consummation of CBOT’s demutualization, an individual is an eligible CBOT full member or eligible CBOT full member delegate within the meaning of the 1992 agreement if the individual owns or, in the case of a delegate, is in possession of, the following parts or interests: (i) one Series B-1 membership of CBOT, (ii) 27,338 shares of Class A common stock of CBOT Holdings and (iii) one exercise right privilege. These parts or interests represent all of the parts or interests issued in respect of a CBOT full membership in CBOT’s demutualization.

In connection with the merger, all shares of CBOT Holdings Class A common stock will be converted into shares of CME Holdings Class A common stock. CBOT Holdings and CBOT have taken the position that, following the merger, the parts of a CBOT full membership and the privileges appurtenant thereto within the meaning of the 1992 agreement include the number of shares of CME Holdings Class A common stock to be issued in exchange for the 27,338 shares of CBOT Holdings Class A common stock in connection with the merger. Thus, CBOT Holdings and CBOT have taken the position that, following the merger, an individual entitled to become a member of CBOE pursuant to Article Fifth(b) is one who owns, or in the case of a delegate, possesses (i) one Series B-1 membership of CBOT, (ii) 9,568.3 shares of CME Group Class A common stock and (iii) one exercise right privilege. Nonetheless, we cannot assure you as to whether this position will be successful.

CBOE has filed with the SEC a proposed interpretation of CBOE’s rules under which all exercise rights would terminate upon completion of the merger, subject to the right of exerciser members as of December 11, 2006 to continue to be exerciser members for an unspecified interim period following the merger. The proposed rule interpretation was initially filed with the SEC on December 12, 2006, and an amendment to the proposed rule interpretation was filed with the SEC on January 16, 2007. On February 6, 2007, the SEC published a notice to solicit comments on the proposed rule interpretation, with comments due on or before February 27, 2007. In these filings, CBOE asserted that the three conditions in the 1992 agreement regarding the effect of a merger or acquisition of CBOT on the exercise rights would not be satisfied following the merger of CME Holdings and CBOT Holdings because, among other things, the “survivor” of the merger would be CME Holdings (not CBOT), and CME Holdings is not an exchange, does not have members and does not grant trading rights. CBOE asserted that even if CBOT was considered the “survivor” of the merger for purposes of the second condition, following the merger there would no longer be members of CBOT within the meaning of Article Fifth(b) and the 1992 agreement because of the loss of certain rights as a result of the amendments to CBOT’s amended and restated certificate of incorporation and bylaws in connection with the merger. In addition, CBOE asserted that even if one looked through CME Holdings to CBOT for purposes of the third condition, the full members of CBOT would not be granted “full” trading rights because they would not have the exclusive right to trade new products introduced after the merger.

CBOE also asserted in these SEC filings that, following the merger, the agreements subsequent to the 1992 agreement may no longer be relied upon as the basis for determining who is entitled to become an exerciser member because the merger would be a material change to the structure or ownership of CBOT not contemplated by CBOT’s 2005 demutualization. One consequence of this, according to CBOE, is that following the merger, there would not be any CBOT full memberships outstanding within the meaning of the 1992 agreement because of the separation of the ownership interests and trading and other rights in connection with CBOT’s 2005 demutualization. CBOT Holdings and CBOT have submitted a comment letter to the SEC expressing their opposition to the proposed rule interpretation.

CBOE and/or its regular members also may challenge the existence or terms of the exercise rights in other forums or on other grounds in the future. CBOE and/or its regular members also may seek to prevent current exerciser members from continuing to utilize their CBOE membership during any such challenges, and the value of the exercise right may decline. If CBOE and/or its regular members were successful in upholding CBOE’s position before the SEC or any other challenge to the exercise rights, CBOT members would no longer have the right to be or become members of CBOE pursuant to Article Fifth(b) and the related agreements and would not

be entitled to any distributions made to or rights conferred upon CBOE members in connection with CBOE’s proposed demutualization if it occurs after the merger. In addition, the exercise right likely would no longer have any value.

CBOT Holdings, CBOT and certain members of CBOT have filed a lawsuit in Delaware state court against CBOE and certain of its officers and directors in which the plaintiffs are seeking a declaration by the court of the right of exerciser members and exercise right holders to participate on an equal basis with CBOE’s regular members in connection with its proposed demutualization. This lawsuit was filed in August 2006, prior to the execution of the original merger agreement in October 2006 and CBOE’s December 2006 filing with the SEC seeking to terminate the exercise rights. In January 2007, the plaintiffs filed an amendment to the complaint in this lawsuit, which added claims seeking to bar CBOE from terminating the exercise rights upon completion of the merger. The defendants have filed a motion to dismiss this lawsuit and the plaintiffs have filed a motion for partial summary judgment on certain of their claims. Both motions are presently pending and scheduled to be argued on May 30, 2007. CBOE and/or its members also may challenge the exercise rights in connection with that proceeding or through other legal or regulatory actions.

CBOT Holdings and CBOT intend to vigorously defend the rights of CBOT members to become or remain exerciser members of CBOE pursuant to the exercise rights, including by opposing CBOE’s proposed rule interpretation or other positions taken by CBOE and/or its regular members seeking to terminate the exercise rights. CBOT Holdings and CBOT believe these matters involve fundamental state corporate and contract law issues and therefore should be decided in the Delaware state court action. However, we cannot assure you that we will be successful in opposing CBOE’s proposed rule interpretation, in the Delaware lawsuit or in otherwise defending challenges by CBOE and/or its regular members regarding the existence or terms of the exercise rights following the merger.

Pursuant to the terms of CBOT’s amended and restated certificate of incorporation to become effective at the time of the merger, CBOT will use commercially reasonable efforts to preserve the exercise right for the benefit of the Series B-1 members of CBOT, including, among other things, (i) defending any actions, suits or proceedings brought to challenge all or any portion of the exercise right and, in the event of an adverse ruling or determination, pursuing reasonable grounds for appeal and (ii) taking reasonable steps, including instituting actions, suits and proceedings and pursuing reasonable grounds for appeal, to secure for the Series B-1 members and their lessees who have exercised the exercise right the right to receive any dividends or other distributions to be made by CBOE to its members. We cannot assure you that CBOT will prevail in opposing CBOE’s proposed rule interpretation, in the Delaware lawsuit or in any such other actions, suits, proceedings or appeals. Also, CBOT is not required under such amended and restated certificate of incorporation to spend in the aggregate in excess of $15.0 million for out-of-pocket costs, including attorneys’ fees, after the date of filing the amended and restated certificate of incorporation in connection with the foregoing obligations.

If you possess an exercise right and tender shares in the tender offer to be effected by CME Group following the merger, you may not be eligible to use your exercise right.

The 1992 agreement between CBOT and CBOE provides that the individuals who are entitled to become members of CBOE pursuant to Article Fifth(b) of CBOE’s certificate of incorporation are (i) full members of CBOT who are in possession of all the parts of a CBOT full membership and all trading rights and privileges appurtenant thereto and (ii) lessees of full members who are in possession of all the parts of a CBOT full membership and all trading rights and privileges appurtenant thereto. Subsequent agreements between CBOT, CBOE and, in several instances, CBOT Holdings, provide that, in the absence of any other material changes to the structure or ownership of CBOT or to the trading rights and privileges appurtenant to a CBOT full membership not contemplated in CBOT’s 2005 demutualization, upon consummation of CBOT’s demutualization, an individual is an eligible CBOT full member or eligible CBOT full member delegate within the meaning of the 1992 agreement if the individual owns or, in the case of a delegate, is in possession of, the following parts or interests: (i) one Series B-1 membership of CBOT, (ii) 27,338 shares of Class A common stock of CBOT Holdings and (iii) one exercise right privilege. These parts or interests represent all of the parts or interests issued in respect of a CBOT full membership in CBOT’s demutualization.

CBOE has filed with the SEC a proposed interpretation of CBOE’s rules under which all exercise rights would terminate upon completion of the merger, subject to the right of exerciser members as of December 11, 2006 to continue to be exerciser members for an unspecified interim period following the merger. CBOT Holdings and CBOT have submitted a comment letter to the SEC expressing their opposition to the proposed rule interpretation and intend to continue to oppose CBOE’s proposed rule interpretation and vigorously defend the rights of CBOT members to become or remain exerciser members of CBOE pursuant to the exercise rights. Also, the effect of the merger on the exercise rights is now an issue in the lawsuit initiated by CBOT Holdings, CBOT and certain CBOT members in August 2006 in Delaware state court. We cannot assure you that we will be successful in opposing CBOE’s proposed rule interpretation, in the Delaware litigation or in otherwise defending challenges by CBOE and/or its regular members regarding the existence of the exercise rights following the merger. However, CBOT Holdings and CBOT intend to take the position, among other things, that following the merger, the parts of a CBOT full membership and privileges appurtenant thereto within the meaning of the 1992 agreement include the number of shares of CME Holdings Class A common stock to be issued in exchange for 27,338 shares of CBOT Holdings Class A common stock in connection with the merger. There can be no assurance that this position will prevail, but to the extent it does, a CBOT full member or full member lessee would need to own or, in the case of a lessee, be in possession of, 9,568.3 shares of CME Group Class A common stock to be an exerciser member at CBOE. As a result, if you own 27,338 shares of CBOT Holdings common stock and, following the merger, you sell some of the 9,568.3 shares of CME Group common stock you receive in the merger, including by tendering shares in the tender offer, you would no longer be eligible to be an exerciser member at CBOE unless you repurchased shares of CME Group common stock.

The merger will result in the loss of certain rights under CBOT’s amended and restated certificate of incorporation and bylaws.

In connection with the merger, CBOT’s amended and restated certificate of incorporation and bylaws will be further amended and restated as a result of which certain rights currently held by Series B-1 members and Series B-2 members will be eliminated. For example, following the merger, holders of Series B-1 memberships and Series B-2 memberships will no longer have the right to:

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elect directors or nominating committee members;

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nominate persons for election as directors;

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call special meetings of members;

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initiate proposals at or for any meeting of members;

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vote on certain extraordinary transactions involving CBOT by virtue of their control of how the Class A membership in CBOT would be voted in connection with such transactions; or

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adopt, amend or repeal the bylaws of CBOT.

The loss of these rights will reduce the ability of Series B-1 members and Series B-2 members to influence the management of CBOT following the merger. In addition, following the merger, CBOT members will no longer constitute a majority of the board of directors of CBOT or its holding company. Among other matters, the CBOT board of directors determines in its sole discretion whether any proposed change to CBOT’s bylaws or rules adversely affects CBOT members’ core rights, which would require the approval of the Series B-1 and Series B-2 members. However, for a period of two years following the merger, changes to CBOT’s rules and regulations that would materially impair the business opportunities of holders of Class B memberships of CBOT must be approved by a committee of the board of directors of CBOT that has a majority of directors designated by the chairman of CBOT prior to the merger. For additional information regarding the changes to the amended and restated certificate of incorporation and bylaws of CBOT in connection with the merger, see the section entitled “The Special Meeting of CBOT Members—Proposal 2.”

FORWARD-LOOKING STATEMENTS

This document contains or incorporates by reference a number of forward-looking statements regarding the financial condition, results of operations, earnings outlook, and business prospects of CME Holdings, CBOT Holdings and CME Group and may include statements for the period following the completion of the merger. You can find many of these statements by looking for words such as “expects,” “projects,” “anticipates,” “believes,” “intends,” “estimates,” “strategy,” “plan,” “potential,” “possible” and other similar expressions.

The forward-looking statements involve certain risks and uncertainties. The ability of either CME Holdings or CBOT Holdings to predict results or actual effects of its plans and strategies, or those of CME Group, is inherently uncertain. Accordingly, actual results may differ materially from those expressed in, or implied by, the forward-looking statements. Some of the factors that may cause actual results or earnings to differ materially from those contemplated by the forward-looking statements include, but are not limited to, those discussed under “Risk Factors” and those discussed in the filings of each of CME Holdings and CBOT Holdings that are incorporated herein by reference, as well as the following:

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changes in both companies’ businesses during the period between now and the completion of the merger may have adverse impacts on CME Group;

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our ability to obtain regulatory approvals of the merger on the proposed terms and schedule;

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the risk that the businesses of CME Holdings and CBOT Holdings will not be integrated successfully or such integration may be more difficult, time-consuming or costly than expected;

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the risk of an unfavorable judgment or ruling in the LAMPERS litigation;

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revenues following the merger may be lower than expected;

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increasing competition by foreign and domestic competitors, including new entrants into our markets;

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our ability to keep pace with rapid technological developments, including our ability to complete the development and implementation of the enhanced functionality required by our customers;

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our ability to continue introducing competitive new products and services on a timely, cost-effective basis, including through our electronic trading capabilities, and our ability to maintain the competitiveness of our existing products and services;

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our ability to adjust our fixed costs and expenses if our revenues decline;

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our ability to maintain existing customers and strategic relationships and attract new ones;

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our ability to expand and offer our products in foreign jurisdictions;

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changes in domestic and foreign regulations;

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changes in government policy, including policies relating to common or directed clearing;

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the costs associated with protecting our intellectual property rights and our ability to operate our business without violating the intellectual property rights of others;

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our ability to generate revenue from our market data that may be reduced or eliminated by the growth of electronic trading and redundancies in the market data offerings of CME and CBOT;

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changes in our rate per contract due to shifts in the mix of the products traded, the trading venue and the mix of customers (whether the customer receives member or non-member fees or participates in one of our various incentive programs) and the impact of our tiered pricing structure;

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the ability of CME’s financial safeguards package to adequately protect it from the credit risks of its clearing firms and CBOT’s clearing firms;

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changes in price levels and volatility in the derivatives markets and in underlying fixed income, equity, foreign exchange and commodities markets;

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economic, political and market conditions;

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our ability to accommodate increases in trading volume without failure or degradation of performance of our systems;

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our ability to execute our growth strategy and maintain our growth effectively;

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our ability to manage the risks and control the costs associated with our acquisition, investment and alliance strategy;

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industry and customer consolidation;

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decreases in trading and clearing activity;

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the imposition of a transaction tax on futures and options on futures transactions;

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seasonality of the futures business; and

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other risks detailed in both companies’ filings with the SEC.

THE SPECIAL MEETING OF CME HOLDINGS STOCKHOLDERS

General

In connection with the original merger agreement, CME Holdings scheduled a special meeting of stockholders on April 4, 2007. CME Holdings rescheduled its special meeting to July 9, 2007 as described below. This document is being furnished to CME Holdings stockholders in connection with the solicitation of proxies by the CME Holdings board of directors to be used at the rescheduled special meeting of CME Holdings stockholders to be held on July 9, 2007 at 3:00 p.m., Chicago time, at UBS Tower - The Conference Center, One North Wacker Drive, Chicago, Illinois, and at any adjournment or postponement of that meeting. This document and the enclosed proxy card are being sent to CME Holdings stockholders on or about June 8, 2007.

Purpose of the CME Holdings Special Meeting

At the CME Holdings special meeting, holders of CME Holdings Class A and Class B common stock will be asked to vote:

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to adopt the amended merger agreement and thereby approve the merger;

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to approve an adjournment or postponement of the CME Holdings special meeting, if necessary, to solicit additional proxies; and

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to transact any other business as may properly be brought before the CME Holdings special meeting or any adjournment or postponement of the CME Holdings special meeting.

Record Date and Voting

The CME Holdings board of directors has fixed the close of business on May 29, 2007 as the record date for determining the holders of shares of CME Holdings Class A common stock and CME Holdings Class B common stock entitled to receive notice of and to vote at the CME Holdings special meeting. Only holders of record of shares of CME Holdings common stock at the close of business on that date will be entitled to vote at the CME Holdings special meeting and at any adjournment or postponement of that meeting. At the close of business on the record date, there were 34,896,675 shares of CME Holdings Class A common stock outstanding, held by approximately 500 holders of record, and 3,138 shares of CME Holdings Class B common stock outstanding, held by approximately 1,950 holders of record.

Each holder of shares of CME Holdings Class A common stock and CME Holdings Class B common stock outstanding on the record date will be entitled to one vote for each share held of record upon each matter properly submitted at the CME Holdings special meeting and at any adjournment or postponement of that meeting. In order for CME Holdings to satisfy its quorum requirements, the holders of at least one-third of the total number of outstanding shares of CME Holdings common stock entitled to vote at the CME Holdings special meeting must be present. You will be deemed to be present if you attend the meeting or if you submit a proxy card (including through the Internet or telephone) that is received at or prior to the CME Holdings special meeting (and not revoked as described below).

If you previously submitted a proxy for the special meeting of CME Holdings stockholders that was scheduled for April 4, 2007, CME Holdings does not intend to vote those proxies at the rescheduled meeting on July 9, 2007. You must vote again by following the instructions on the enclosed proxy card.

If your proxy card is properly executed and received by CME Holdings in time to be voted at the CME Holdings special meeting, the shares represented by your proxy card (including those given through the Internet or by telephone) will be voted in accordance with the instructions that you mark on your proxy card. If you execute your proxy but do not provide CME Holdings with any instructions, your shares will be voted “FOR” the adoption of the amended merger agreement and “FOR” any adjournment or postponement of the CME Holdings special meeting that a holder of the proxies deems to be prudent.

If your shares are held in “street name” by your broker or bank and you do not provide your broker or bank with instructions on how to vote your shares, your broker or bank will not be permitted to vote your shares, which will have the same effect as a vote against the adoption of the amended merger agreement.

Vote Required

Adoption of the amended merger agreement requires the affirmative vote of the holders of a majority of the outstanding shares of CME Holdings Class A common stock and CME Holdings Class B common stock voting together as a single class. Shares of CME Holdings common stock as to which the “abstain” box is selected on a proxy card will be counted as present for purposes of determining whether a quorum is present. The required vote of CME Holdings stockholders on the amended merger agreement is based upon the number of outstanding shares of CME Holdings common stock, and not the number of shares that are actually voted. Accordingly, the failure to submit a proxy card or to vote in person at the CME Holdings special meeting or the abstention from voting by CME Holdings stockholders, or the failure of any CME Holdings stockholder who holds shares in “street name” through a bank or broker to give voting instructions to such bank or broker, will have the same effect as a vote “AGAINST” the adoption of the amended merger agreement.

As of the record date, CME Holdings directors and executive officers and their affiliates had or shared the power to vote in the aggregate approximately 205,158 shares of CME Holdings Class A and Class B common stock, representing less than 1% of the aggregate outstanding shares of CME Holdings Class A and Class B common stock.

We currently expect that CME Holdings’ directors and executive officers will vote their shares of CME Holdings common stock “FOR” adoption of the amended merger agreement, although none of them has entered into any agreement requiring them to do so.

Approval of any proposal to adjourn or postpone the meeting, if necessary, for the purpose of soliciting additional proxies may be obtained by the affirmative vote of the holders of a majority of the shares of CME Holdings Class A common stock and CME Holdings Class B common stock, voting together as a single class, present or represented by proxy at the CME Holdings special meeting, whether or not a quorum is present.

Recommendation of the Board of Directors

As discussed elsewhere in this document, the CME Holdings board of directors unanimously determined that the merger, the amended merger agreement and the transactions contemplated by the amended merger agreement are advisable, fair to and in the best interests of CME Holdings and its stockholders, and unanimously approved and adopted the amended merger agreement. The CME Holdings board of directors unanimously recommends that the CME Holdings stockholders vote “FOR” the adoption of the amended merger agreement.

CME Holdings stockholders should carefully read this document in its entirety for more detailed information concerning the amended merger agreement and the merger. In particular, CME Holdings stockholders are directed to the amended merger agreement, which is attached as Annex A to this document.

Revocability of Proxies

The presence of a CME Holdings stockholder at the CME Holdings special meeting will not automatically revoke that CME Holdings stockholder’s proxy. However, a CME Holdings stockholder may revoke a proxy at any time prior to its exercise by:

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submitting a written revocation to CME Holdings, c/o ADP, 51 Mercedes Way, Edgewood, NY 11717, that is received prior to the meeting;

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submitting another proxy by telephone, via the Internet or by mail that is dated later than the original proxy and that is received prior to the meeting; or

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attending the CME Holdings special meeting and voting in person if your shares of CME Holdings common stock are registered in your name rather than in the name of a broker, bank or other nominee.

If your shares of CME Holdings common stock are held by a broker or bank, you must follow the instructions on the form you receive from your broker or bank with respect to changing or revoking your proxy.

Attending the Special Meeting

All holders of CME Holdings Class A and Class B common stock at the close of business on May 29, 2007, the record date for the special meeting, are invited to attend the special meeting. If you attend, you will be asked to present valid picture identification, such as a driver’s license or passport, and, if you are not a stockholder of record, evidence from your broker that you are a stockholder and are eligible to attend the meeting, such as a letter or account statement from your broker or bank. Stockholders will not be allowed to use cameras, recording devices and other electronic devices at the meeting.

Voting Electronically or by Telephone

In addition to voting by submitting your proxy card by mail, CME Holdings stockholders of record and many stockholders who hold their shares of CME Holdings common stock through a broker or bank will have the option to submit their proxy electronically through the Internet or by telephone. Please note that there are separate arrangements for using the Internet and telephone depending on whether your shares are registered in CME Holdings’ stock records in your name or in the name of a broker, bank or other holder of record. If you hold your shares through a broker, bank or other holder of record, you should check your proxy card and voting instructions forwarded by your broker, bank or other holder of record to see which options are available.

CME Holdings stockholders of record may submit their proxies:

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through the Internet by visiting a website established for that purpose at www.proxyvote.com and following the instructions; or

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by telephone by calling the toll-free number 1-800-690-6903 on a touch-tone phone and following the recorded instructions.

Solicitation of Proxies

In addition to solicitation by mail, directors, officers and employees of CME Holdings may solicit proxies for the CME Holdings special meeting from CME Holdings stockholders personally or by telephone and other electronic means. However, they will not be paid for soliciting such proxies. CME Holdings also will provide persons, firms, banks and corporations holding shares in their names or in the names of nominees, which in either case are beneficially owned by others, proxy material for transmittal to such beneficial owners and will reimburse such record owners for their expenses in taking such actions. CME Holdings has also made arrangements with D.F. King & Co., Inc. to assist in soliciting proxies and has agreed to pay them $15,000, plus reasonable expenses, for these services.

CME Holdings and CBOT Holdings will share equally the expenses incurred in connection with the printing and mailing of this document.

THE SPECIAL MEETING OF CBOT HOLDINGS CLASS A STOCKHOLDERS

General

In connection with the original merger agreement, CBOT Holdings scheduled a special meeting of CBOT Holdings Class A stockholders on April 4, 2007. CBOT rescheduled its special meeting to July 9, 2007 as described below. This document is being furnished to CBOT Holdings Class A stockholders in connection with the solicitation of proxies by the CBOT Holdings board of directors to be used at the rescheduled special meeting of CBOT Holdings Class A stockholders to be held on July 9, 2007 at 3:00 p.m., Chicago time, at Union League Club of Chicago, 65 West Jackson Boulevard, Chicago, Illinois, and at any adjournment or postponement of that meeting. This document and the enclosed proxy card are being sent to CBOT Holdings Class A stockholders on or about June 8, 2007.

Purpose of the CBOT Holdings Special Meeting

At the CBOT Holdings special meeting, holders of CBOT Holdings Class A common stock will be asked to vote:

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to adopt the amended merger agreement and thereby approve the merger;

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to approve an adjournment or postponement of the CBOT Holdings special meeting, if necessary, to solicit additional proxies; and

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to transact any other business as may properly be brought before the CBOT Holdings special meeting or any adjournment or postponement of the CBOT Holdings special meeting.

Record Date and Voting

The CBOT Holdings board of directors has fixed the close of business on May 29, 2007 as the record date for determining the holders of shares of CBOT Holdings Class A common stock entitled to receive notice of and to vote at the CBOT Holdings special meeting. Only holders of record of shares of CBOT Holdings Class A common stock at the close of business on that date will be entitled to vote at the CBOT Holdings special meeting and at any adjournment or postponement of that meeting. At the close of business on the record date, there were 52,843,183 shares of CBOT Holdings Class A common stock outstanding, held by approximately 1,619 holders of record. In addition, there is one share of CBOT Holdings Class B common stock outstanding, which is held of record by the CBOT Subsidiary Voting Trust. The Class B common stock is only entitled to vote in the election of directors and therefore is not entitled to vote on the amended merger agreement.

Each holder of shares of CBOT Holdings Class A common stock outstanding on the record date will be entitled to one vote for each share held of record upon each matter properly submitted at the CBOT Holdings special meeting and at any adjournment or postponement of that meeting. In order for CBOT Holdings to satisfy its quorum requirements, the holders of at least one-third of the total number of outstanding shares of CBOT Holdings Class A common stock entitled to vote at the CBOT Holdings special meeting must be present. You will be deemed to be present if you attend the meeting or if you submit a proxy card (including through the Internet or by telephone) that is received at or prior to the CBOT Holdings special meeting (and not revoked as described below). IF YOU ARE A CBOT MEMBER AS WELL AS A CBOT HOLDINGS CLASS A COMMON STOCKHOLDER, YOU MUST VOTE SEPARATELY AT THE CBOT MEMBERS MEETING IN YOUR CAPACITY AS A CBOT MEMBER AND AT THE CBOT HOLDINGS CLASS A STOCKHOLDER MEETING IN YOUR CAPACITY AS A CBOT HOLDINGS CLASS A COMMON STOCKHOLDER.

If you previously submitted a proxy for the special meeting of CBOT Holdings Class A stockholders that was scheduled for April 4, 2007, CBOT Holdings does not intend to vote those proxies at the rescheduled meeting on July 9, 2007. You must vote again by following the instructions on the enclosed proxy card.

If your proxy card is properly executed and received by CBOT Holdings in time to be voted at the CBOT Holdings special meeting, the shares represented by your proxy card (including those given through the Internet or by telephone) will be voted in accordance with the instructions that you mark on your proxy card. If you execute your proxy but do not provide CBOT Holdings with any instructions, your shares will be voted “FOR” the adoption of the amended merger agreement and “FOR” any adjournment or postponement of the CBOT Holdings special meeting that a holder of the proxies deems to be prudent.

Vote Required

Adoption of the amended merger agreement requires the affirmative vote of the holders of a majority of the outstanding shares of CBOT Holdings Class A common stock. Shares of CBOT Holdings Class A common stock as to which the “abstain” box is selected on a proxy card will be counted as present for purposes of determining whether a quorum is present. The required vote of CBOT Holdings Class A stockholders on the amended merger agreement is based upon the number of outstanding shares of CBOT Holdings Class A common stock, and not the number of shares that are actually voted. Accordingly, the failure to submit a proxy card or to vote in person at the CBOT Holdings special meeting or the abstention from voting by CBOT Holdings Class A stockholders, or the failure of any CBOT Holdings Class A stockholder who holds shares in “street name” through a bank or broker to give voting instructions to such bank or broker, will have the same effect as a vote “AGAINST” the adoption of the amended merger agreement.

As of the record date, CBOT Holdings directors and executive officers and their affiliates had or shared the power to vote in the aggregate approximately 507,000 shares of CBOT Holdings Class A common stock, representing approximately 1% of the outstanding shares of CBOT Holdings Class A common stock.

We currently expect that CBOT Holdings’ directors and executive officers will vote their shares of CBOT Holdings common stock “FOR” adoption of the amended merger agreement, although none of them has entered into any agreement requiring them to do so.

Recommendations of the Board of Directors, the Special Transaction Committee and the Non-ER Members Committee

As discussed elsewhere in this document, the CBOT Holdings board of directors unanimously determined that the merger, the amended merger agreement and the transactions contemplated by the amended merger agreement are advisable, fair to, and in the best interests of CBOT Holdings and its stockholders, and unanimously approved the amended merger agreement. The CBOT Holdings board of directors unanimously recommends that the CBOT Holdings Class A stockholders vote “FOR” the adoption of the amended merger agreement.

As discussed elsewhere in this document, the CBOT Holdings special transaction committee unanimously determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to, and in the best interests of CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have a CBOE exercise right or own a membership on CBOE pursuant to such exercise right and unanimously recommended that CBOT Holdings’ board of directors authorize and approve the amended merger agreement and the merger. The CBOT Holdings

special transaction committee unanimously recommends that CBOT Holdings Class A stockholders who are not members of and do not lease a membership at CBOT and do not otherwise have a CBOE exercise right or own a membership on CBOE pursuant to such exercise right vote “FOR” the adoption of the amended merger agreement.

Similarly, and as discussed elsewhere in this document, the CBOT Holdings non-ER members committee determined that the merger, on the terms and subject to the conditions set forth in the amended merger agreement, was advisable, fair to, and in the best interests of CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right, and unanimously recommended that CBOT Holdings’ board of directors authorize and approve the amended merger agreement and the merger. The CBOT Holdings non-ER members committee recommends that CBOT Holdings Class A stockholders who are members of CBOT or who lease a membership on CBOT, but who do not have an exercise right or hold a membership on CBOE pursuant to an exercise right, vote “FOR” the adoption of the amended merger agreement.

CBOT Holdings Class A stockholders should carefully read this document in its entirety for more detailed information concerning the amended merger agreement and the merger. In particular, CBOT Holdings Class A stockholders are directed to the amended merger agreement, which is attached as Annex A to this document.

Revocability of Proxies

The presence of a CBOT Holdings Class A stockholder at the CBOT Holdings special meeting will not automatically revoke that CBOT Holdings Class A stockholder’s proxy. However, a CBOT Holdings Class A stockholder may revoke a proxy at any time prior to its exercise by:

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submitting a written revocation to CBOT Holdings c/o Georgeson Inc., Wall Street Station, P.O. Box 1100, New York, NY 10269-0646, that is received prior to the meeting;

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submitting another proxy by telephone, via the Internet or by mail that is dated later than the original proxy and that is received prior to the meeting; or

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attending the CBOT Holdings special meeting and voting in person if your shares of CBOT Holdings Class A common stock are registered in your name rather than in the name of a broker, bank or other nominee.

If your shares of CBOT Holdings Class A common stock are held by a broker or bank, you must follow the instructions on the form you receive from your broker or bank with respect to changing or revoking your proxy.

Attending the Special Meeting

All holders of CBOT Holdings Class A common stock at the close of business on May 29, 2007, the record date for the special meeting, are invited to attend the special meeting. If you attend, you will be asked to present valid picture identification, such as a driver’s license or passport, and, if you are not a stockholder of record, evidence from your broker that you are a stockholder and are eligible to attend the meeting, such as a letter or account statement from your broker or bank. Stockholders will not be allowed to use cameras, recording devices and other electronic devices at the meeting.

Voting Electronically or by Telephone

In addition to voting by submitting your proxy card by mail, CBOT Holdings Class A stockholders of record and many stockholders who hold their shares of CBOT Holdings Class A common stock through a broker or bank will have the option to submit their proxy electronically through the Internet or by telephone. Please note that there are separate arrangements for using the Internet and telephone depending on whether your shares are

registered in CBOT Holdings’ stock records in your name or in the name of a broker, bank or other holder of record. If you hold your shares through a broker, bank or other holder of record, you should check your proxy and voting instructions forwarded by your broker, bank or other holder of record to see which options are available.

CBOT Holdings Class A stockholders of record may submit their proxies:

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through the Internet by visiting a website established for that purpose at http://proxy.georgeson.com and following the instructions; or

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by telephone by calling the toll-free number 1-800-732-4052 on a touch-tone phone and following the recorded instructions.

Solicitation of Proxies

In addition to solicitation by mail, directors, officers and employees of CBOT Holdings may solicit proxies for the CBOT Holdings special meeting from CBOT Holdings Class A stockholders personally or by telephone and other electronic means. However, they will not be paid for soliciting such proxies. CBOT Holdings also will provide persons, firms, banks and corporations holding shares in their names or in the names of nominees, which in either case are beneficially owned by others, proxy material for transmittal to such beneficial owners and will reimburse such record owners for their expenses in taking such actions. CBOT Holdings and CBOT have also made arrangements with Georgeson, Inc. and MacKenzie Partners, Inc. to assist in soliciting proxies and have agreed to pay them approximately $50,000 and $30,000, respectively, plus in each case reasonable expenses, for these services. In the event that a third party solicits proxies from CBOT Holdings Class A stockholders in opposition to the merger, CBOT Holdings has agreed to pay Georgeson, Inc. an additional fee of $150,000 for its services.

CBOT Holdings and CME Holdings will share equally the expenses incurred in connection with the printing and mailing of this document.

THE SPECIAL MEETING OF CBOT MEMBERS

General

In connection with the original merger agreement, CBOT scheduled a special meeting of Series B-1 and Series B-2 members on April 4, 2007. CBOT rescheduled its special meeting to July 9, 2007 as described below. This document is being furnished to Series B-1 and Series B-2 members of CBOT in connection with the solicitation of proxies by the CBOT board of directors to be used at the rescheduled special meeting of CBOT members to be held on July 9, 2007 at 2:30 p.m., Chicago time, at Union League Club of Chicago, 65 West Jackson Boulevard, Chicago, Illinois, and at any adjournment or postponement of that meeting. This document and the enclosed proxy card are being sent to Series B-1 and Series B-2 members of CBOT on or about June 8, 2007.

Purpose of the Special Meeting of CBOT Members

At the CBOT special meeting of members, CBOT Series B-1 and Series B-2 members will be asked to vote:

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on a proposal to approve the repurchase by CBOT Holdings from the CBOT Subsidiary Voting Trust of the outstanding share of CBOT Holdings Class B common stock;

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on a proposal to approve the adoption of the amended and restated certificate of incorporation of CBOT included as Annex H to this document;

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to approve an adjournment or postponement of the CBOT special meeting, if necessary, to solicit additional proxies; and

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to transact any other business as may properly be brought before the CBOT special meeting or any adjournment or postponement of the CBOT special meeting.

Approval by the CBOT members of each of these proposals is a condition to the obligations of each of CME Holdings and CBOT Holdings to complete the merger.

Record Date and Voting

The CBOT board of directors has fixed the close of business on May 29, 2007 as the record date for determining the holders of Series B-1 and Series B-2 memberships of CBOT entitled to receive notice of and to vote at the CBOT special meeting. Only holders of record of Series B-1 or Series B-2 memberships of CBOT at the close of business on that date will be entitled to vote at the CBOT special meeting and at any adjournment or postponement of that meeting. At the close of business on the record date, there were 1,402 Series B-1 memberships and 812 Series B-2 memberships outstanding.

Each holder of a Series B-1 membership of CBOT as of the close of business on the record date will be entitled to one vote for each Series B-1 membership held of record at the close of business on the record date, and each holder of a Series B-2 membership of CBOT as of the close of business on the record date will be entitled to one-sixth of one vote for each Series B-2 membership held of record at the close of business on the record date, upon each matter properly submitted at the CBOT special meeting and at any adjournment or postponement of that meeting. The holders of the Series B-1 and Series B-2 memberships will vote together as a single class on each matter properly submitted at the CBOT special meeting and at any adjournment or postponement of that meeting.

In order for CBOT to satisfy its quorum requirements, the holders of Class B memberships representing at least one-third of the votes entitled to be cast on the matters to be acted upon at the CBOT special meeting must be present. You will be deemed to be present if you attend the meeting or if you submit a proxy card that is received at or prior to the CBOT special meeting (and not revoked as described below). IF YOU ARE A CBOT MEMBER AS WELL AS A CBOT HOLDINGS CLASS A COMMON STOCKHOLDER, YOU MUST VOTE SEPARATELY AT THE CBOT MEMBERS MEETING IN YOUR CAPACITY AS A CBOT MEMBER AND AT THE CBOT HOLDINGS CLASS A STOCKHOLDER MEETING IN YOUR CAPACITY AS A CBOT HOLDINGS CLASS A COMMON STOCKHOLDER.

If you previously submitted a proxy for the special meeting of CBOT members that was scheduled for April 4, 2007, CBOT does not intend to vote those proxies at the rescheduled meeting on July 9, 2007. You must vote again by following the instructions on the enclosed proxy card.

If your proxy card is properly executed and received by CBOT in time to be voted at the CBOT special meeting, the Class B memberships represented by your proxy card will be voted in accordance with the instructions that you mark on your proxy card. If you execute your proxy but do not provide CBOT with any instructions, your Class B memberships will be voted “FOR” the repurchase of the Class B common stock by CBOT Holdings, “FOR” the approval of the amended and restated certificate of incorporation of CBOT and “FOR” any adjournment or postponement of the CBOT special meeting that a holder of the proxies deems to be prudent.

Proposal 1—Repurchase of Class B Common Stock by CBOT Holdings

At the CBOT special meeting, Series B-1 and B-2 members will be asked to consider a vote on a proposal that CBOT Holdings repurchase the outstanding share of Class B common stock of CBOT Holdings held by the CBOT Subsidiary Voting Trust immediately prior to the completion of the merger of CBOT Holdings with and into CME Holdings. The repurchase of the Class B common stock is a condition to the completion of the merger.

The CBOT Holdings board of directors and the board of directors of CBOT currently are identical, both consisting of the same 17 directors. Eleven of the directors are elected by the holders of CBOT Holdings Class A common stock, and the remaining six directors are elected by the CBOT Subsidiary Voting Trust as the sole holder of the Class B common stock of CBOT Holdings. Pursuant to the Subsidiary Voting Trust Agreement dated October 12, 2005, the CBOT Subsidiary Voting Trust is required to elect as directors to the CBOT Holdings board of directors the six directors elected by the Series B-1 and Series B-2 members to the CBOT board of directors. Following the merger, Class B members of CBOT will no longer vote in the election of directors to the CBOT board of directors, so the CBOT Subsidiary Voting Trust will no longer serve any purpose.

The amended merger agreement provides that the repurchase of the Class B common stock is a condition to CME Holdings’ obligations to complete the merger.

The CBOT board of directors recommends that you vote “FOR” proposal 1.

Proposal 2—Approval of the Amended and Restated Certificate of Incorporation of CBOT

The amended merger agreement provides that, concurrently with the effective time of the merger, the certificate of incorporation of CBOT be amended and restated in the form attached to the amended merger agreement. The amended and restated certificate of incorporation of CBOT amends the existing amended and restated certificate of incorporation of CBOT in a number of important respects. However, the amended and restated certificate of incorporation does not amend the “core rights” of the Class B members described in the proxy statement and prospectus, dated February 14, 2005, related to CBOT’s demutualization, except to add an additional core right regarding dual-trading, as summarized below.

A copy of the amended and restated certificate of incorporation of CBOT to be voted upon at the special meeting is attached to this document as Annex H. You are urged to read the following summary and the document included as Annex H carefully before voting on this proposal.

The amended and restated certificate of incorporation to be in effect following the merger:

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eliminates the requirement to obtain the approval of the holder of the Class A membership (which is currently held by CBOT Holdings and, following the merger, will be held by CME Group) prior to

approving, in one transaction or in a series of related transactions: (i) any merger or consolidation of CBOT with or into another entity, (ii) any purchase by, investment in, or other acquisition or formation by CBOT of any business or assets which are, or are intended to be, competitive, as determined by the board of directors of CBOT in its sole and absolute discretion, with the business conducted or proposed to be conducted at such time by CBOT, (iii) any sale (or other transfer) to a third party of assets of CBOT that constitute a significant amount of the total assets of CBOT, or (iv) any dissolution or liquidation of CBOT;

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provides that each holder of a Series B-1 membership of CBOT shall be entitled to all trading rights and privileges for all new products first made available after the filing of the amended and restated certificate of incorporation traded on the open outcry exchange system of CBOT or CME or any electronic trading system maintained by CBOT or CME or any of their respective successors or successors-in-interest;

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limits the right of Class B members to vote on amendments to the certificate of incorporation to amendments to Section B(2) (the number of authorized memberships of CBOT), Section C (the relative voting rights of the Series B-1 and B-2 members), Section D (the trading rights, voting rights and core rights of Class B members and certain other covenants) or Section E (the commitment to maintain open outcry markets) of Article IV, the second sentence of Article IX (regarding amendments to the amended and restated certificate of incorporation), or, during the transition period, Article VI (the board of directors of CBOT);

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prohibits CBOT from adopting bylaws or rules that adversely affect the ability of Class B members to engage in dual-trading unless required by applicable law or governmental rule or regulation;

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eliminates the right of Class B members to adopt, repeal or amend the bylaws of CBOT or make non-binding recommendations to CBOT’s board of directors; and provides that the Class A member is the only member with the right to adopt, amend or repeal the bylaws;

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provides that, unless otherwise agreed to by the Series B-1 and Series B-2 members voting together as a single class, CBOT shall use commercially reasonable efforts to preserve the exercise right for the benefit of the Series B-1 members and their lessees, including (i) defending any actions, suits or proceedings brought to challenge all or any portion of the exercise right and, in the event of an adverse ruling or determination, pursuing reasonable grounds for appeal, (ii) taking reasonable steps, including instituting actions, suits and proceedings and pursuing reasonable grounds for appeal, to secure for the Series B-1 members and their lessees that have exercised the exercise right the right to receive any dividends or other distributions to be made by CBOE to its members and (iii) complying with CBOT’s obligations under agreements with CBOE regarding the exercise right, including making available to CBOE the information specified in any such agreements or any surveillance plans with CBOE; provided, that CBOT shall not be required to spend in the aggregate in excess of $15.0 million for out-of-pocket costs, including attorneys’ fees, after the date of filing the amended and restated certificate of incorporation in connection with its obligations under clauses (i) and (ii);

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provides that Class B members shall not have the right to initiate proposals at or for any meeting of members;

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provides that, during the two-year period following the date of filing of the amended and restated certificate of incorporation, CBOT will provide the CBOT directors with five business days advance notice of any change to CBOT’s rules and regulations. If a majority of the CBOT directors determine in their sole discretion that the proposed change will materially impair the business of CBOT or materially impair the business opportunities of the holders of the Class B memberships of CBOT, such change will be submitted to a committee of the board of directors of CBOT comprised of three CBOT directors designated by the vice chairman of CBOT and two CME directors designated by the chairman of CBOT for approval. Approval shall require the affirmative vote of a majority of the full committee;

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eliminates the right of Series B-1 and B-2 members to call a special meeting;

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eliminates the right of Class B members to elect six directors and provides that the directors of CBOT shall at all times be the same as the directors of CME Group;

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eliminates the CBOT nominating committee that is currently elected by the Series B-1 and B-2 members;

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provides that, except as provided in CBOT’s rules and regulations, members shall not have any power to adopt, amend or repeal the rules or regulations of CBOT; and

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eliminates provisions related to CBOT’s demutualization that are no longer applicable.

The amendments to the amended and restated certificate of incorporation were the result of negotiations between CBOT, CBOT Holdings and CME Holdings in connection with negotiations regarding the original merger agreement, and approval of the amended and restated certificate of incorporation, in the form attached as Annex H to this document, is a condition to the merger.

The CBOT board of directors recommends that you vote “FOR” proposal 2.

Concurrently with the effective time of the merger, the bylaws of CBOT will also be amended and restated to make changes consistent with the amendments to CBOT’s amended and restated certificate of incorporation. The amended and restated bylaws of CBOT amend the existing bylaws of CBOT in a number of important respects. A copy of the amended and restated bylaws of CBOT to become effective at the effective time of the merger is attached to this document as Annex I.

The amended and restated bylaws to be in effect following the merger:

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eliminate the right of Series B-1 and B-2 members to nominate persons for election to CBOT’s board of directors and to include nominees in CBOT’s proxy materials under certain circumstances;

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provide that for business to be brought before the annual meeting of the members of CBOT, it must be (i) authorized by the board of directors and specified in the notice of the meeting, (ii) otherwise brought before the meeting by or at the direction of the board of directors or the chairman of the meeting, or (iii) otherwise properly brought before the meeting by the Class A member (which will be CME Group);

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provide that special meetings of the members of CBOT may be called only by the chairman of the board of directors of CBOT or a majority of the total number of authorized directors;