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  <TITLE> Chicago Mercantile Exchange Holdings Inc. (Form: 8-K) </TITLE>
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  		UNITED STATES<BR>
  	SECURITIES AND EXCHANGE COMMISSION
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  	WASHINGTON, D.C. 20549
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  	FORM 8-K
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  	CURRENT REPORT
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  	Pursuant to Section&nbsp;13 or 15(d) of the Securities Exchange Act of 1934
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  	Date of Report (Date of Earliest Event Reported):
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  	&nbsp;
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  	March 29, 2006
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  	Chicago Mercantile Exchange Holdings Inc.
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  <BR>__________________________________________<BR>
  	(Exact name of registrant as specified in its charter)
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  	Delaware
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  	000-33379
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  	36-4459170
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  _____________________<BR>
  	(State or other jurisdiction
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  _____________<BR>
  	(Commission
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  ______________<BR>
  	(I.R.S. Employer
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  	of incorporation)
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  	File Number)
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  	Identification No.)
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  	&nbsp;&nbsp;
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  	20 South Wacker Drive, Chicago, Illinois
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  	60606
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  _________________________________<BR>
  	(Address of principal executive offices)
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  	&nbsp;
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  ___________<BR>
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  	Registrant&#146;s telephone number, including area code:
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  	&nbsp;
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  	312-930-1000
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  	Not Applicable
  <BR>______________________________________________<BR>
  	Former name or former address, if changed since last report
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  	&nbsp;
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  <!-- CoverPageRegistrant END --><P><FONT SIZE="2">
  Check the appropriate box below if the Form 8-K filing is intended to
  simultaneously satisfy the filing obligation of the registrant under any
  of the following provisions:</FONT>
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  <P><FONT SIZE="2">
  [&nbsp;&nbsp;]&nbsp;&nbsp;Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)<br>
  [&nbsp;&nbsp;]&nbsp;&nbsp;Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)<br>
  [&nbsp;&nbsp;]&nbsp;&nbsp;Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))<br>
  [&nbsp;&nbsp;]&nbsp;&nbsp;Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))<br>
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  	Item 1.01 Entry into a Material Definitive Agreement.
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  On April 3, 2006, Chicago Mercantile Exchange Inc. ("CME"), a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. ("CME Holdings" and collectively with CME, the "Company"), entered into an employment agreement (the "Agreement") with Craig S. Donohue that provides for the continuation of Mr. Donohue&#x2019;s employment as Chief Executive Officer and replaces Mr. Donohue&#x2019;s existing agreement.  The terms of the Agreement were approved by the Company&#x2019;s Compensation Committee on March 29th and 31st. <br><br>The term of Mr. Donohue&#x2019;s employment under the Agreement is from January 1, 2006 through December 31, 2009, unless otherwise extended upon the mutual agreement of the parties.  For his continued service, Mr. Donohue is entitled to an annual base salary of at least $850,000. Mr. Donohue is also eligible to receive an annual bonus under the Company&#x2019;s Annual Incentive Plan.  The agreement also provides that Mr. Donohue is entitled to insurance, vacation and other employee benefits, including participation in our equity program, commensurate with his position in accordance with our policies for members of the Management Team in effect from time to time. <br><br>If Mr. Donohue terminates his employment for good reason, as such term is defined in the Agreement, or if Mr. Donohue&#x2019;s employment is terminated by the Company without cause, as defined in the Agreement, then Mr. Donohue will be entitled to:  (i) his accrued base salary, (ii) any other accrued benefits, (iii) a one time lump sum severance payment equal to two times current base salary, (iv) the vesting of all outstanding equity awards and (v) continued insurance and healthcare benefits.<br><br>The Agreement also contains provisions prohibiting Mr. Donohue from rendering services to any competitor or otherwise competing with the Company or soliciting its employees during the term and for one year thereafter. <br><br>In the event of a change of control, as defined in the Agreement, or Mr. Donohue&#x2019;s termination within 60 days prior to a change of control or one year thereafter, all of Mr. Donohue&#x2019;s unvested awards will be accelerated so as to vest within one year of the change of control. <br><br>The foregoing summary of the Agreement is qualified in its entirety by reference to the complete text of the Agreement, which is filed as Exhibit 10.1 to this Current Report and is hereby incorporated by reference. <br><br>
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  	SIGNATURES
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  	Pursuant to the requirements of the Securities Exchange Act of 1934, the
  	registrant has duly caused this report to be signed on its behalf by the
  	undersigned hereunto duly authorized.
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  	Chicago Mercantile Exchange Holdings Inc.
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  	&nbsp;&nbsp;
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  <I>
  	April 3, 2006
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  	By:
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  <I>
  	Kathleen M. Cronin
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  <I>
  	Name: Kathleen M. Cronin
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  <I>
  	Title: Managing Director, General Counsel and Corporate Secretary
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  	Exhibit&nbsp;Index
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  	Exhibit No.
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  	&nbsp;
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  	Description
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  	10.1
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  	&nbsp;
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  Donohue Employment Agreement
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metadata_documents: [{"type": "8-K", "sequence": "1", "filename": "htm_11437.htm", "description": "LIVE FILING", "secsgml_size_bytes": 11982}]
metadata_filer: {"company-data": {"conformed-name": "CHICAGO MERCANTILE EXCHANGE HOLDINGS INC", "cik": "0001156375", "assigned-sic": "6200", "irs-number": "364459170", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "8-K", "act": "34", "file-number": "000-33379", "film-number": "06734614"}, "business-address": {"street1": "20 S. WACKER DR.", "city": "CHICAGO", "state": "IL", "zip": "60606", "phone": "3129303011"}, "mail-address": {"street1": "20 S. WACKER DR.", "city": "CHICAGO", "state": "IL", "zip": "60606"}}
text: Chicago Mercantile Exchange Holdings Inc. (Form: 8-K)
  UNITED STATES
  SECURITIES AND EXCHANGE COMMISSION
  WASHINGTON, D.C. 20549
  FORM 8-K
  CURRENT REPORT
  Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
  Date of Report (Date of Earliest Event Reported):
  March 29, 2006
  Chicago Mercantile Exchange Holdings Inc.
  __________________________________________
  (Exact name of registrant as specified in its charter)
  Delaware
  000-33379
  36-4459170
  _____________________
  (State or other jurisdiction
  _____________
  (Commission
  ______________
  (I.R.S. Employer
  of incorporation)
  File Number)
  Identification No.)
  20 South Wacker Drive, Chicago, Illinois
  60606
  _________________________________
  (Address of principal executive offices)
  ___________
  (Zip Code)
  Registrant's telephone number, including area code:
  312-930-1000
  Not Applicable
  ______________________________________________
  Former name or former address, if changed since last report
  Check the appropriate box below if the Form 8-K filing is intended to
  simultaneously satisfy the filing obligation of the registrant under any
  of the following provisions:
  [  ]  Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
  [  ]  Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
  [  ]  Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
  [  ]  Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
  Top of the Form
  Item 1.01 Entry into a Material Definitive Agreement.
  On April 3, 2006, Chicago Mercantile Exchange Inc. ("CME"), a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. ("CME Holdings" and collectively with CME, the "Company"), entered into an employment agreement (the "Agreement") with Craig S. Donohue that provides for the continuation of Mr. Donohue's employment as Chief Executive Officer and replaces Mr. Donohue's existing agreement.  The terms of the Agreement were approved by the Company's Compensation Committee on March 29th and 31st.
  The term of Mr. Donohue's employment under the Agreement is from January 1, 2006 through December 31, 2009, unless otherwise extended upon the mutual agreement of the parties.  For his continued service, Mr. Donohue is entitled to an annual base salary of at least $850,000. Mr. Donohue is also eligible to receive an annual bonus under the Company's Annual Incentive Plan.  The agreement also provides that Mr. Donohue is entitled to insurance, vacation and other employee benefits, including participation in our equity program, commensurate with his position in accordance with our policies for members of the Management Team in effect from time to time.
  If Mr. Donohue terminates his employment for good reason, as such term is defined in the Agreement, or if Mr. Donohue's employment is terminated by the Company without cause, as defined in the Agreement, then Mr. Donohue will be entitled to:  (i) his accrued base salary, (ii) any other accrued benefits, (iii) a one time lump sum severance payment equal to two times current base salary, (iv) the vesting of all outstanding equity awards and (v) continued insurance and healthcare benefits.
  The Agreement also contains provisions prohibiting Mr. Donohue from rendering services to any competitor or otherwise competing with the Company or soliciting its employees during the term and for one year thereafter.
  In the event of a change of control, as defined in the Agreement, or Mr. Donohue's termination within 60 days prior to a change of control or one year thereafter, all of Mr. Donohue's unvested awards will be accelerated so as to vest within one year of the change of control.
  The foregoing summary of the Agreement is qualified in its entirety by reference to the complete text of the Agreement, which is filed as Exhibit 10.1 to this Current Report and is hereby incorporated by reference.
  Top of the Form
  SIGNATURES
  Pursuant to the requirements of the Securities Exchange Act of 1934, the
  	registrant has duly caused this report to be signed on its behalf by the
  	undersigned hereunto duly authorized.
  Chicago Mercantile Exchange Holdings Inc.
  April 3, 2006
  By:
  Kathleen M. Cronin
  Name: Kathleen M. Cronin
  Title: Managing Director, General Counsel and Corporate Secretary
  Top of the Form
  Exhibit Index
  Exhibit No.
  Description
  10.1
  Donohue Employment Agreement