Filed by Chicago Mercantile Exchange Holdings, Inc. pursuant
                       to Rule 425 under the Securities Act of 1933, as amended,
                   and deemed filed pursuant to Rule 14a-12 under the Securities
                                               Exchange Act of 1934, as amended.

                                            Subject Company: CBOT Holdings, Inc.
                                Subject Company's Commission File No.: 001-32650

This material is not a substitute for the prospectus/proxy statement and any
other documents CME and CBOT intend to file with the Securities and Exchange
Commission (SEC). Investors and security holders are urged to read such
prospectus/proxy statement and any other such documents, when available, which
will contain important information about the proposed transaction. The
prospectus/proxy statement would be, and other documents filed or to be filed by
CME and CBOT with the SEC are or will be, available free of charge at the SEC's
Web site ( or from Chicago Mercantile Exchange Holdings Inc.,
Shareholder Relations and Membership Services, 20 South Wacker Drive, Chicago,
Illinois 60606, Attention: Beth Hausoul.

CME and its directors, executive officers and other employees may be deemed to
be participants in the solicitation of proxies in connection with the proposed
transaction. Information about CME's directors and executive officers is
available in CME's proxy statement, dated March 10, 2006, for its 2006 annual
meeting of stockholders. Additional information about the interests of potential
participants will be included in the prospectus/proxy statement when it becomes
available. This document shall not constitute an offer to sell or the
solicitation of an offer to buy any securities, nor shall there be any sale of
securities in any jurisdiction in which such offer, solicitation or sale would
be unlawful prior to registration or qualification under the securities laws of
any such jurisdiction. No offering of securities shall be made except by means
of a prospectus meeting the requirements of Section 10 of the U.S. Securities
Act of 1933, as amended.

The following letter was published in the Financial Times on November 20, 2006:

Sir, Gary DeWaal's attempt to use the announced merger between the Chicago
Mercantile Exchange and the Chicago Board of Trade as an opportunity to incite
regulators to impose conditions for the "protection of market users" is really a
call for limiting the ability of centralised, transparent exchanges to compete
with over-the-counter derivatives dealers ("Chicago's merger has to protect the
users' interests", November 15).

Mr DeWaal is well aware that the merger will result in substantial cost savings
and operational efficiencies for customers, clearing member firms and other
industry participants. Efficiencies will flow from consolidating all electronic
trading activity on to a single globally distributed trading platform - CME
Globex(R) and combining all open-outcry trading activity on to a single trading
floor at the Chicago Board of Trade.

The merger will result in harmonisation of many business practices and rules,
reducing administrative and compliance costs. It will also preserve the common
clearing link that has saved market users approximately $2bn in capital and
operational expenses. For those reasons, he obviously approves the merger.

He gives away his game by actually calling for reduced competition when he
writes: "Lawmakers and regulators should update laws that have created an uneven
playing field of competition between derivatives exchanges and brokers by
currently authorising exchanges to solicit and service many of the same
customers as brokers . . . "

Contrary to Mr DeWaal's argument, all futures and options transactions at CME
are cleared by CME clearing members such as Mr DeWaal's firm - without
competition from CME. What Mr DeWaal fails to make clear is that many of our
clearing member firms also deal in over-the-counter derivatives that serve as
substitutes for CME's products. Therefore, his argument is not about promoting
competition - it is about thwarting it.

Does he really think end-users of derivatives markets are better off if
broker-dealers are protected by government against competition from well-run,
centralised and transparent derivative exchanges?


         /s/ Terrence A. Duffy                     /s/ Craig S. Donohue
         ---------------------                     ---------------------
         Terrence A. Duffy                         Craig S. Donohue