UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D. C. 20549

FORM 10-Q

x	*QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934*

For the quarterly period ~~June~~ended March 3031, ~~2006~~2007

¨	*TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934*

Commission File Number 001-32650

CBOT HOLDINGS, INC.

(Exact name of registrant as specified in its charter)

Delaware

36-4468986

(State or other jurisdiction of

incorporation or organization)

(IRS Employer

Identification No.)

141 West Jackson Boulevard

Chicago, Illinois 60604

(312) 435-3500

(Address of principal executive offices) (Zip Code)

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer ¨ x Accelerated filer ¨ Non-accelerated filer x ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

As of ~~July 24~~April 30, ~~2006~~2007, there were issued and outstanding approximately 52,839,500 shares of the ~~registrant~~Registrant’s Class A common stock, par value $0.001 per share ~~(consisting of approximately 20~~,~~107,100~~ ~~shares~~and of1 ~~Class A common~~share ~~stock, approximately 16,353,200 shares~~ of ~~Series~~the ~~A-2,~~Registrant’s Class A B common stock ~~and approximately 16~~,~~379,200~~ ~~shares~~par ofvalue ~~Series~~$0.001 ~~A-3,~~per ~~Class A common stock)~~share.

CBOT HOLDINGS, INC.

TABLE OF CONTENTS

FORM 10-Q — QUARTERLY REPORT

For the period ended ~~June~~March 3031, ~~2006~~ 2007

		Page
PART I - FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (unaudited)		1
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		13
Item 3. Quantitative and Qualitative Disclosures About Market Risk		2223
Item 4. Controls and Procedures		23
PART II - OTHER INFORMATION
Item 1. Legal Proceedings		24
Item 1A. Risk Factors		2425
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		2426
Item 3. Defaults Upon Senior Securities		2426
Item 4. Submission of Matters to a Vote of Security Holders		2426
Item 5. Other Information		2527
Item 6. Exhibits		2527
SIGNATURES		2629
EXHIBIT INDEX		2730

- i -

PART I - FINANCIAL INFORMATION

ITEM 1. CONSOLIDATED FINANCIAL STATEMENTS

CBOT HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(Unaudited, in thousands, except per share data)

	June 30,2006			December 31,2005
	March 31,2007				December 31,2006
ASSETS
Current assets:
Cash and cash equivalents:
Unrestricted	$	60181,~~629~~077		$	~~99,575~~$	177,664
Held under deposit and membership transfers		56,~~279~~792			~~1,746~~	1,503
Total cash and cash equivalents		65187,~~908~~869			~~101,321~~	179,167
Restricted cash		93,~~182~~115			~~14,031~~	975
Short term investments		~~327~~362,~~956~~366			~~239,888~~	312,411
Accounts receivable - net of allowance of $4,688 in 2006 and $4,603 in 2005		55,959			33,671
Accounts receivable - net of allowance of $493 in 2007 and $466 in 2006		79,280				62,451
Deferred income taxes		2,240			1,962
Prepaid expenses		15,355				9,492
Prepaid expenses		20,778			18,410
Total current assets		647,985				564,496
Total current assets		482,023			409,283
Property and equipment:
Property and equipment:
Land		34,234				34,234
Land		34,234			34,234
Buildings and equipment		345,473				343,271
Buildings and equipment		340,113			333,014
Furnishings and fixtures		185,854				184,913
Furnishings and fixtures		180,813			198,083
Computer software and systems		93,935				93,942
Computer software and systems		93,294			93,636
Construction in progress		1,539				1,906
Construction in progress		4,145			5,577
Total property and equipment		661,035				658,266
Total property and equipment		652,599			664,544
Less accumulated depreciation and amortization		445,241				433,989
Less accumulated depreciation and amortization		415,691			409,789
Property and equipment - net		215,794				224,277
Property and equipment - net		236,908			254,755
Other assets - net		21,618				22,557
Other assets - net		23,403			21,829
Total assets	$	885,397			$	811,330
Total assets	$	742,334		$	685,867
LIABILITIES AND STOCKHOLDERS’ EQUITY
LIABILITIES AND STOCKHOLDERS’ EQUITY
Current liabilities:
Current liabilities:
Accounts payable	$	20,256			$	11,149
Accounts payable	$	12,291		$	20,455
Accrued clearing services		18,796				16,226
Accrued clearing services		16,490			11,286
Accrued real estate taxes		5,500				7,473
Accrued real estate taxes		8,108			7,730
Accrued payroll costs		3,996				9,859
Accrued payroll costs		4,931			6,351
Accrued exchange fee rebates		972				675
Accrued exchange fee rebates		400			1,200
Accrued employee termination		31				624
Accrued employee termination		1,141			3,063
Accrued liabilities		10,569				11,007
Accrued liabilities		10,672			7,395
Funds held for deposit and membership transfers		8,991				1,562
Funds held for deposit and membership transfers		13,532			14,821
Current portion of long-term debt		—				10,716
Current portion of long-term debt		20,014			19,366
Income tax payable		35,371				10,428
Income tax payable		6,001			5,751
Other current liabilities		493				562
Deferred revenue		412			5,183
Total current liabilities		104,975				80,281
Total current liabilities		93,992			102,601
Long-term liabilities:
Long-term liabilities:
Deferred income tax liabilities		97				2,984
Deferred income tax liabilities		12,200			17,204
Other liabilities		17,110				19,645
Long-term debt		—			10,716
Total long-term liabilities		17,207				22,629
Other liabilities		14,080			13,584
Total liabilities		122,182				102,910
Total long-term liabilities		26,280			41,504
Stockholders’ equity:
Total liabilities		120,272			144,105
Common stock, $0.001 par value, 52,798 shares issued and outstanding		53				53
Stockholders’ equity:
Additional paid-in capital		490,664				489,817
Common stock, $0.001 par value, 52,794 and 52,787 shares issued and outstanding as of June 30, 2006 and December 31, 2005, respectively		53			53
Retained earnings		280,809				226,961
Additional paid-in capital		488,651			486,990
Accumulated other comprehensive loss		(8,311	)			(8,411	)
Retained earnings		133,281			54,719
Total stockholders’ equity		763,215				708,420
Accumulated other comprehensive income		77			—
Total liabilities and stockholders’ equity	$	885,397			$	811,330
Total stockholders’ equity		622,062			541,762
Total liabilities and stockholders’ equity	$	742,334		$	685,867

See notes to ~~unaudited~~ consolidated financial statements.

- 1 -

CBOT HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

(Unaudited, in thousands, except per share data)

	Six Months Ended June 30,						Three Months Ended June 30,
	Three Months Ended March 31,
	2006			2005			2006			2005
	2007			2006
Revenues:
Exchange fees	$	~~174~~117,~~975~~680		$	~~136~~83,~~175~~120		$	~~91,855~~		$	~~69,657~~
Clearing fees		4833,~~597~~973			4323,~~836~~231			~~25,366~~			~~22,559~~
Market data		4925,~~929~~082			3623,~~828~~643			~~26,286~~			~~18,306~~
Building		115,~~415~~915			115,~~087~~505			~~5,910~~			~~5,479~~
Services		84,~~535~~234			74,~~214~~236			~~4,299~~			~~3,623~~
Interest		7,846			1,415			4,363			701
Other		853			351
Other		758			489			407			262
Total revenues		187,737			140,086
Total revenues		302,055			237,044			158,486			120,587
Expenses:
Expenses:
Clearing services		21,796			18,023
Clearing services		37,513			33,894			19,490			17,378
Contracted license fees		2,119			1,738
Contracted license fees		3,652			3,405			1,914			1,780
Salaries and benefits		20,487			19,102
Salaries and benefits		38,130			36,535			19,028			17,902
Depreciation and amortization		11,520			14,086
Depreciation and amortization		28,875			28,045			14,789			14,231
Professional services		16,654			3,939
Professional services		8,497			9,150			4,558			4,558
General and administrative expenses		4,477			5,076
General and administrative expenses		9,622			10,089			4,546			5,167
Building operating costs		6,420			6,603
Building operating costs		12,605			13,152			6,002			6,514
Information technology services		11,772			12,230
Information technology services		24,115			22,069			11,885			11,392
Programs		2,991			2,627
Programs		5,713			5,105			3,086			3,089
Severance and related costs		(18	)		1,036
Interest		973			1,718			388			796
Operating expenses		98,218			84,460
Litigation		—			4,000			—			4,000
Income from operations		89,519			55,626
Severance and related costs		1,014			164			(22	)		50
Non-operating income and expense
Operating expenses		170,709			167,326			85,664			86,857
Interest income		6,376			3,483
Income from operations		131,346			69,718			72,822			33,730
Interest expense		(216	)		(585	)
Income taxes
Non-operating income		6,160			2,898
Current		57,634			33,579			32,168			17,002
Income before income taxes		95,679			58,524
Deferred		(5,333	)		(3,250	)		(3,042	)		(1,618	)
Income taxes
Total income taxes		52,301			30,329			29,126			15,384
Current		41,992			25,466
Income before equity in unconsolidated subsidiary		79,045			39,389			43,696			18,346
Deferred		(2,122	)		(2,291	)
Equity in loss of unconsolidated subsidiary - net of tax		(483	)		(367	)		(237	)		(112	)
Total income taxes		39,870			23,175
Net income	$	78,562		$	39,022		$	43,459		$	18,234
Income before equity in unconsolidated subsidiary		55,809			35,349
Earnings per share: (see note #4)
Equity in loss of unconsolidated subsidiary		(418	)		(246	)
Basic	$	1.49		$	0.35		$	0.82		$	0.35
Net income	$	55,391		$	35,103
Diluted	$	1.49		$	0.35		$	0.82		$	0.35
Earnings per share:
Weighted average number of common stock shares
Basic	$	1.05		$	0.66
Basic		52,789			49,360			52,792			49,360
Diluted	$	1.05		$	0.66
Diluted		52,844			49,360			52,848			49,360
Weighted average number of common stock shares
Basic		52,798			52,787
Diluted		52,900			52,840

See notes to ~~unaudited~~ consolidated financial statements.

- 2 -

CBOT HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited, in thousands)

	Six Months Ended June 30,
	Three Months Ended March 31,
	2006			2005
	2007			2006
Cash flows from operating activities:
Net income	$	7855,~~562~~391		$	3935,~~022~~103
Adjustments to reconcile net income to net cash flows from operating activities:
Depreciation and amortization		2811,~~875~~520			2814,~~045~~086
Deferred income taxes (benefit)		(5,333	)		(3,250	)
Deferred income tax benefit		(2,122	)		(2,291	)
Stock-based compensation		~~1,661~~847			—413
Change in allowance for doubtful accounts		8527			~~291~~—
(Gain) / Loss on foreign currency transaction		9			(321	)
Gain on foreign currency transaction		—			(2	)
(Gain) / Loss on sale or retirement of fixed assets		7			(4	)
Loss on sale or retirement of fixed assets		10			7
Equity in loss of unconsolidated subsidiary		~~805~~418			~~613~~411
Amortization of short term investment discounts		(1,~~219~~252	)		(261,094	)
Changes in assets and liabilities:
Accounts receivable		(18,~~804~~065	)		(916,~~857~~654	)
Income tax payable		250			3,692
Income tax receivable / payable		24,943			18,674
Prepaid expenses		(25,~~368~~863	)		(~~523~~4,823	)
Other assets		~~(2,252~~418	)		~~(745~~376	)
Accounts payable		(89,~~164~~107	)		(67,~~447~~490	)
Accrued clearing services		52,~~204~~570			3,~~412~~737
Accrued real estate taxes		~~378~~(1,973	)		~~372~~(1,652	)
Accrued payroll costs		(15,~~420~~863	)		(23,~~045~~385	)
Accrued exchange fee rebates		~~(800~~297	)		(~~471~~541	)
Accrued employee termination		(~~1,922~~593	)		(~~130~~1,308	)
Accrued liabilities		~~345~~771			~~1,398~~(702	)
Funds held for deposit and membership transfers		(17,~~289~~429	)		918,~~861~~399
Deferred revenue		(~~4,771~~13	)		(4,~~451~~751	)
Other long-term liabilities		~~496~~(4,814	)		~~669~~253
Net cash flows from operating activities		6873,~~335~~190			6846,~~007~~766
Cash flows from investing activities:
Acquisition of property and equipment		(102,~~853~~929	)		(194,~~634~~195	)
Purchase of short term investments		(~~400~~224,~~116~~285	)		(24124,~~674~~483	)
Proceeds from short term investments		~~313~~175,~~267~~582			14111,~~836~~486
Restricted cash		4(2,~~849~~140	)		(1415,~~441~~172	)
Proceeds from sale of property and equipment		93—			993
Investment in joint ventures		~~(274~~—	)		(~~197~~254	)
Net cash flows used in investing activities		(9353,~~034~~772	)		(4432,~~101~~525	)
Cash flows from financing activities:
Repayments of borrowings		(10,~~714~~716	)		(10,~~713~~714	)
Capital contributions from members		—			134
Net cash flows used in financing activities		(10,716	)		(10,714	)
Net cash flows used in financing activities		(10,714	)		(10,579	)
Net increase in cash and cash equivalents		8,702			3,527
Net increase (decrease) in cash and cash equivalents		(35,413	)		13,327
Cash and cash equivalents - beginning of period		179,167			101,321
Cash and cash equivalents - beginning of period		101,321			90,591
Cash and cash equivalents - end of period	$	187,869		$	104,848
Cash and cash equivalents - end of period	$	65,908		$	103,918
Cash paid for:
Interest	$	~~846~~377		$	~~1,386~~736
Income taxes (net of refunds)	$	5717,~~061~~049		$	296,~~678~~627

See notes to ~~unaudited~~ consolidated financial statements.

- 3 -

CBOT HOLDINGS, INC. AND SUBSIDIARIES

NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

~~Six~~Three Months Ended ~~June~~March 3031, ~~2006~~2007 and ~~2005~~2006

1. BASIS OF PRESENTATION AND DESCRIPTION OF BUSINESS

Basis of Presentation — CBOT Holdings, Inc. is a Delaware stock corporation created in April 2005 to be the holding company for the Board of Trade of the City of Chicago, Inc. and its subsidiaries (the “CBOT®”). In October 2005, CBOT Holdings, Inc. completed an initial public offering of shares of Class A common stock which trade under the ticker symbol “BOT” on the New York Stock Exchange. The accompanying unaudited consolidated financial statements include the accounts of CBOT Holdings, Inc., and its direct, wholly owned ~~subsidiary, the~~ CBOT subsidiary (collectively, “CBOT Holdings” or “the Company”). CBOT Holdings has a 50% interest in a joint venture in Singapore called the Joint Asian Derivatives ~~Exchange~~Pte. Ltd (“JADE”) and also holds an approximate 5% interest in a joint venture called OneChicago, LLC (“OneChicago”). CBOT Holdings accounts for JADE and OneChicago under the equity method. All significant ~~inter-company~~intercompany balances and transactions have been eliminated in consolidation.

The accompanying unaudited consolidated financial statements have been prepared pursuant to rules and regulations of the Securities and Exchange Commission and, therefore, do not include all information and footnote disclosures normally included in audited financial statements. However, in the opinion of management, all adjustments necessary to present fairly the results of operations, financial position and cash flows of CBOT Holdings as of ~~June~~March 3031, ~~2006~~2007 have been made. Results for interim periods are not necessarily indicative of the results that may be expected for the entire year. These interim financial statements should be read in conjunction with the audited financial statements and related notes for the three years ended December 31, ~~2005~~2006 included in CBOT Holdings’ Form 10-K for the year ended December 31, ~~2005~~2006.

Business — The primary business of CBOT Holdings is the operation through its wholly owned ~~subsidiary,~~ CBOT, subsidiary of a marketplace for the trading of interest rate, agricultural, equity index and metals, energy and other futures contracts, as well as options on futures contracts. The CBOT offers side-by-side trading of ~~many~~most of its products across both electronic trading and open-auction platforms. The CBOT’s agricultural products are currently traded during the normal trading day on its open-auction platform and after hours on its electronic platform. However, on August 1, 2006, CBOT Holdings expects its agricultural futures products to begin trading on its electronic trading platform, side-by-side with its open-auction platform. The CBOT’s market participants include many of the world’s largest banks, investment firms and commodities producers and users. Other market users include financial institutions, such as public and private pension funds, mutual funds, hedge funds and other managed funds, insurance companies, corporations, commercial banks, professional independent traders and retail customers.

The CBOT also engages in extensive regulatory compliance activities, including market surveillance and financial supervision activities, designed to ensure market integrity and provide financial safeguards for users of its markets. Further, the CBOT markets and distributes real-time and historical market data generated from trading activity in its markets to users of its products and related cash and derivative markets and financial information providers. The CBOT also owns and operates three office buildings in the City of Chicago.

On October 17, 2006, CBOT Holdings, the CBOT and Chicago Mercantile Exchange Holdings Inc. (the “CME”) entered into an Agreement and Plan of Merger (as amended, the “Agreement”) under which CBOT Holdings would merge with and into the CME, with the CME continuing as the surviving company. The CBOT would become a subsidiary of the CME following the merger. The merger is subject to a number of conditions, including, but not limited to, (i) the approval of the Agreement by the stockholders of both CBOT Holdings and the CME, (ii) the approval of the repurchase of CBOT Holdings’ Class B common stock and an Amended and Restated Certificate of Incorporation of the CBOT by the Series B-1 and Series B-2 members of the CBOT, voting together as a single class, and (iii) receipt of certain regulatory approvals. ~~SUMMARY~~Pending OFall ~~SIGNIFICANT~~requisite ~~ACCOUNTING~~approvals, ~~POLICIES~~and subject to developments regarding the unsolicited proposal described below, the merger is expected to be completed by mid-2007.

~~Use~~On ofMarch 15, ~~Estimates~~2007, —CBOT ~~The~~Holdings ~~preparation~~received ofan ~~the~~unsolicited ~~accompanying~~proposal ~~unaudited~~from ~~consolidated~~IntercontinentalExchange, ~~financial~~Inc. ~~statements~~(“ICE”) into ~~conformity~~merge with ~~accounting~~CBOT Holdings. ~~principles~~Subsequently, ~~generally accepted in~~ the ~~United~~Company’s ~~States~~Board of ~~America requires~~Directors, ~~management~~after toconsultation ~~make~~with ~~estimates~~its legal and ~~assumptions~~financial ~~that~~advisors, ~~affected~~authorized ~~the~~CBOT ~~reported~~Holdings, ~~amounts~~on in the ~~financial~~basis ~~statements,~~permitted ~~such~~by asits ~~estimates~~merger ~~for~~agreement ~~bad~~with ~~debts~~CME, ~~exchange~~to ~~fee~~begin ~~rebates,~~discussions ~~real~~and ~~estate~~exchange ~~taxes~~information with ~~and~~ICE ~~assumptions~~relating ~~used~~to ~~for~~ICE’s ~~the~~unsolicited ~~calculation~~proposal. ofDue ~~pension~~to ~~and other~~this ~~postretirement~~development, ~~benefit~~the ~~plan~~special ~~costs.~~meetings ~~Although~~of ~~these~~CBOT ~~and~~Holdings ~~other~~stockholders ~~estimates~~ and ~~assumptions~~CBOT ~~are~~members ~~based~~to vote on the ~~best~~merger ~~available~~with ~~information, actual amounts could differ from such estimates.~~

Prior Year Reclassifications — Certain reclassifications have been made of prior period amounts to conform to current period presentation.

Recent Accounting Pronouncements— In December 2004, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards (“SFAS”) No. 123 (revised December 2004) (“SFAS No. 123R”), Share-Based Payment, which establishes standards for the accounting for transactions in which an entity exchanges its equity instruments for goods or services, primarily focusing on transactions in which an entity obtains employee services in share-based payment transactions. It does not change the guidance for share-based transactions with parties other than employees provided in SFAS No. 123 as originally issued and EITF 96-18, “Accounting for Equity Instruments That Are Issued to Other Than Employees for Acquiring, or in Conjunction with Selling, Goods or Services.” The Statement requires the measurement of the cost of employee services received in exchange for an award of equity instruments to be based on the grant-date fair value of the award. CBOT Holdings adopted SFAS No. 123R as of October 1, 2005. As a result, beginning in the fourth quarter of 2005, CBOT Holdings records the fair value of stock awards as compensation expense over the relevant service periods, as prescribed by SFAS No. 123R.

- 4 -

~~In March 2005~~ CME, ~~the~~which ~~FASB~~were ~~issued~~originally ~~Interpretation~~scheduled ~~No. 47~~to ~~(“FIN~~occur ~~47”),~~on ~~“Accounting for Conditional Asset Retirement Obligations.” FIN 47 clarifies SFAS No.~~April ~~143~~4, ~~Accounting for Asset Retirement Obligations~~2007, ~~which~~were ~~states~~rescheduled ~~that the fair value of a liability~~ for ~~the~~July 9, ~~conditional~~2007 ~~asset retirement obligation should be recognized when incurred. FIN 47 states that the term “conditional asset retirement obligation” refers~~ to agive ~~legal obligation to perform an asset retirement activity in which~~ the ~~timing~~Board ~~and (or) method~~ of ~~settlement~~Directors ~~are conditional on a future event that may or may not be within the control~~ of ~~the~~CBOT ~~entity. The obligation to perform the asset retirement activity is unconditional even though uncertainty exists about the timing and (or) method of settlement. Thus~~Holdings, its ~~the~~special ~~timing~~committees and ~~(or) method of settlement may be conditional on a future event. Accordingly, an entity is required to recognize a liability for~~ the ~~fair~~Board ~~value~~ of aDirectors ~~conditional asset retirement obligation if the fair value~~ of the ~~liability can be reasonably estimated. One of the three buildings owned by~~ CBOT ~~Holdings~~sufficient ~~contains~~time ~~some asbestos containing materials (“ACM”), primarily in pipe wrap, floor tiles, ceiling tiles and mastic. CBOT Holdings has not recognized a conditional asset retirement obligation related~~ to ~~ACM~~complete ~~abatement~~their ~~because~~review ~~it is not possible to make a realistic estimate~~ of the ~~fair~~unsolicited ~~value~~proposal offrom ~~future ACM removal costs because it is not known where ACM exists since it is typically in a concealed location~~ICE.

In November 2005, the FASB issued FASB Staff Position (FSP) FAS 115-1 and FAS 124-1, “The Meaning of Other-Than-Temporary Impairment and Its Application to Certain Investments,” which clarifies when an investment is considered impaired, whether the impairment is other than temporary, and the measurement of an impairment loss2. ~~It also includes accounting considerations subsequent to~~SUMMARY ~~the~~OF ~~recognition~~SIGNIFICANT ofACCOUNTING anPOLICIES other-than-temporary impairment and requires certain disclosures about unrealized losses that have not been recognized as other-than-temporary impairments. The adoption of this FSP did not have a significant impact on the CBOT’s financial position or results of operations.

InUse ~~July~~of ~~2006,~~Estimates ~~the~~— ~~FASB~~The ~~issued~~preparation ~~Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes - an interpretation~~ of ~~FASB Statement No. 109,” which clarifies~~ the ~~accounting~~accompanying ~~for~~consolidated ~~uncertainty~~financial statements in ~~tax~~conformity ~~positions.~~with ~~FIN~~accounting 48principles ~~seeks~~generally toaccepted ~~reduce~~in the ~~diversity~~United inStates ~~accounting~~of ~~practices~~America ~~used~~requires inmanagement ~~regards~~ to ~~uncertain~~make ~~tax~~estimates ~~positions by prescribing a recognition threshold~~ and ~~measurement~~assumptions ~~criteria~~that ~~for~~affected ~~benefits~~the ~~related~~reported toamounts ~~income~~in ~~taxes.~~the ~~The~~financial ~~provisions~~statements, ofsuch ~~FIN~~as 48estimates ~~are effective~~ for stock-based ~~all~~compensation, ~~reporting~~bad ~~periods~~debts, ~~beginning~~exchange ~~after~~fee ~~December 15~~rebates, ~~2006.~~real Itestate istaxes ~~not anticipated~~and ~~that~~assumptions used for the ~~adoption~~calculation of ~~FIN~~pension 48and ~~will~~other ~~have~~postretirement abenefit ~~significant~~plan ~~impact~~costs. onActual ~~the~~amounts ~~CBOT’s~~could ~~financial~~differ ~~position~~from orsuch ~~results of operations~~estimates.

3.Prior ~~STOCK~~Year Reclassifications — At December 31, 2006, the Company changed the format of its consolidated income statement and reclassified interest income and interest expense from revenue and operating expense, respectively, to a non-~~BASED~~operating income and expense section in the consolidated statements of income. Accordingly, prior period amounts have been reclassified to ~~COMPENSATION~~conform to current period presentation.

~~CBOT~~Recent ~~Holdings~~Accounting ~~has~~Pronouncements—In aJuly ~~share-based~~2006, ~~compensation~~the ~~plan~~Financial ~~described~~Accounting Standards ~~below~~Board (“FASB”) issued Interpretation No. 48 ~~The~~(“FIN ~~compensation~~48”), ~~cost~~“Accounting ~~recognized~~for Uncertainty in ~~the~~Income ~~six~~Taxes—an ~~and~~interpretation ~~three months~~of ~~ended~~FASB ~~June~~Statement No. 30109,” ~~2006~~which ~~related~~clarifies the accounting for uncertainty in tax positions. FIN 48 seeks to reduce the ~~Plan~~diversity ~~was~~in ~~$1.7~~accounting ~~million~~practices used in regards to uncertain tax positions by prescribing a recognition threshold and ~~$1.3~~measurement ~~million,~~criteria ~~respectively.~~for ~~The~~benefits ~~total~~related to income taxes. FIN 48 allows companies to recognize the tax ~~benefit~~benefits ~~recognized~~of inuncertain tax positions only when the ~~income~~position ~~statement~~is ~~was~~“more ~~$0.7~~likely ~~million~~than ~~and~~not” ~~$0.5~~to ~~million~~be insustained ~~the~~upon ~~six~~examination ~~and~~by ~~three~~the ~~months~~relevant ~~ended~~taxing ~~June 30, 2006,~~authority ~~respectively.~~on Asthe basis of ~~June 30,~~the ~~2006,~~technical ~~there~~merits ~~was~~of ~~approximately~~the $7positions.2 ~~million~~The oftax benefit ~~total~~recognized ~~unrecognized~~represents ~~compensation~~the ~~cost~~largest ~~related~~amount tothat ~~non-vested~~is ~~share-based~~greater ~~compensation~~than ~~awards~~50% ~~granted~~likely ~~under~~of ~~the~~being ~~Plan~~ultimately realized. ~~That~~A ~~cost~~liability is ~~expected~~required to be recognized ~~ratably~~for any tax benefit claimed, or expected to be claimed, in a tax return in excess of the benefit ~~through~~recorded in the ~~second~~financial ~~quarter~~statements, along with any interest and penalty (if applicable) on the excess. The provisions of ~~2010~~FIN 48 became effective for all reporting periods beginning after December 15, 2006. Accordingly, CBOT Holdings adopted FIN 48 effective January 1, 2007.

InUpon ~~2005~~adopting FIN 48, CBOT Holdings ~~adopted~~recorded a ~~Long-Term~~$2.2 ~~Equity~~million ~~Incentive~~liability ~~Plan~~for ~~(the~~unrecognized ~~“Plan”)~~tax ~~under which~~benefits ~~stock-based~~related ~~awards may be made~~ to ~~certain~~uncertain ~~directors~~tax positions, ~~officers~~$1.5 ~~and~~million ~~other~~of ~~key~~which ~~employees~~reduced orthe ~~individuals~~January 1, at2007 ~~the~~balance ~~discretion~~ of ~~the~~retained ~~board~~earnings ofand ~~directors~~$0.7 ~~Grants~~million ~~authorized~~of ~~under~~which ~~the~~decreased ~~Plan~~long-term ~~include~~deferred ~~restricted~~tax ~~stock,~~liabilities. ~~incentive~~As orof ~~nonqualified~~January 1, ~~stock options~~2007, ~~stock~~ ~~appreciation~~CBOT ~~rights~~Holdings ~~and~~had ~~performance awards. A total of~~ $1.2 9 million ~~shares,~~of ~~which~~unrecognized ~~may~~tax ~~come~~benefits ~~from authorized~~ and ~~unissued~~$0.3 ~~shares~~million orof ~~from~~accrued ~~treasury~~interest ~~shares,~~and ~~have~~penalty ~~been~~related ~~approved for use pursuant~~ to ~~the~~unrecognized ~~Plan~~tax benefits. ~~Nonqualified~~CBOT ~~stock~~Holdings ~~options~~classifies ~~may~~interest ~~not have~~expense anand ~~exercise~~penalties ~~price~~related ~~below~~to ~~100%~~unrecognized oftax ~~the~~benefits ~~market~~as ~~price~~components of ~~Class A~~income ~~common~~tax expense. ~~stock~~The attotal ~~the~~amount ~~date~~ of ~~grant.~~unrecognized ~~Incentive~~tax ~~stock~~benefits ~~options~~that, ~~may~~if ~~not~~recognized, ~~have~~would anaffect ~~exercise~~CBOT ~~price~~Holdings’ ~~below~~effective ~~110%~~tax ofrate ~~the~~was ~~market~~$1.5 ~~price~~million. ofIt ~~Class A~~is ~~common~~reasonably ~~stock~~possible atthat the ~~date~~amount of ~~grant.~~unrecognized ~~The maximum~~tax ~~contractual~~benefits ~~term~~will ofchange ~~any~~in ~~award~~the ~~under~~next ~~the~~12 months; ~~Plan~~however, isbased ~~ten~~on ~~years.~~the ~~Awards~~information ~~totaling~~currently ~~292~~available,~~428~~ ~~shares~~it ~~have~~is ~~been~~not ~~granted~~expected ~~under~~that ~~the~~any ~~Plan~~change aswould ofbe ~~June 30, 2006~~significant.

CBOT Holdings files income tax returns in the U.S. Federal jurisdiction and various state, local and foreign jurisdictions. CBOT Holdings’ tax returns have been examined by the Internal Revenue Service through calendar year 2003. CBOT Holdings is generally not subject to tax return examination in other jurisdictions prior to calendar year 2003.

In September 2006, the FASB issued Statement of Financial Accounting Standard (“SFAS”) No. 157, Fair Value Measurements, which establishes a framework for measuring fair value under other accounting pronouncements that require fair value measurements and expands disclosures about such measurements. SFAS No. 157 does not require any new fair value measurements. Instead, it creates a consistent method for calculating fair value measurements to address non-comparability of financial statements containing fair value measurements utilizing different definitions of fair value. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. It is not anticipated that the adoption of SFAS No. 157 will have a significant impact on CBOT Holdings’ financial position or results of operations.

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~~Options~~In —February In2007, the ~~first~~FASB ~~six~~issued ~~months~~SFAS ~~of 2006~~No. 159, ~~nonqualified~~The ~~stock~~Fair ~~options~~Value toOption ~~purchase~~for Financial Assets and ~~32,000~~Financial ~~shares~~Liabilities—Including an amendment of ~~Class~~FASB Statement No. A115, ~~common~~which ~~stock~~permits ~~were~~measurement ~~awarded~~of ~~under~~financial ~~the~~instruments ~~Plan~~and other certain items at fair value. ~~These~~SFAS ~~options~~No. 159 ~~have~~does ~~graded~~not ~~four~~require ~~year~~any ~~vesting~~new ~~periods~~fair ~~and~~value ameasurements. ~~maximum~~SFAS No. 159 ~~term~~is ofeffective 10for financial statements issued for fiscal years beginning after November 15, 2007. ~~The~~Early ~~following~~adoption ~~table~~is ~~summarizes~~permitted ~~options~~provided ~~outstanding~~that ~~under~~SFAS ~~the~~No. 157 ~~Plan~~is asconcurrently adopted. It is not anticipated that the adoption of ~~June~~SFAS No. ~~30,~~159 ~~2006:~~ will have a significant impact on CBOT Holdings’ financial position or results of operations.

	Time Vested Options						Market Performance Options
Options	Shares(000)	Weighted-AverageExercisePrice		AggregateIntrinsicValue($000)		Weighted-AverageRemainingTerm (yrs)	Shares(000)	Weighted-AverageExercisePrice		AggregateIntrinsicValue($000)		Weighted-AverageRemainingTerm (yrs)
Outstanding - beginning of year	150	$	54				50	$	54
Granted	32		94
Exercised	—		—
Forfeited or expired	—		—
Outstanding - end of period	182	$	61	$	10,671	9.4	50	$	54	$	3,280	9.3
Exercisable - end of period	—	$	—	$	—	—	50	$	54	$	3,280	9.3

3. STOCK-BASED COMPENSATION

~~The~~CBOT ~~weighted~~Holdings has a stock-~~average~~based ~~grant~~compensation ~~date~~plan ~~fair~~described ~~value~~below. ofThe ~~options~~compensation ~~granted~~cost ~~during~~recognized in the first ~~six~~three months of ~~2006~~2007 and 2006 related to the plan was ~~approximately~~$0.8 million and $430.4 ~~per~~million, ~~share~~respectively. NoThe ~~options~~total ~~vested~~related ~~during~~income ~~the~~tax ~~first~~benefit ~~six~~recognized ~~months~~in ofthe ~~2006.~~income ~~The~~statement ~~fair~~was ~~value~~$0.3 ofmillion ~~each~~and ~~option~~$0.2 ~~granted~~million ~~during~~in the first ~~six~~three months of 2007 and 2006, ~~was~~respectively. ~~estimated~~As onof March 31, ~~the~~2007, ~~date~~there was approximately $10.1 million of ~~grant~~total ~~using~~unrecognized acompensation ~~lattice~~cost related to non-vested share-based ~~option~~compensation ~~valuation~~awards ~~model~~granted ~~that assumes~~under ~~expected~~the ~~volatility~~Plan ofwith ~~45%,~~a ~~expected~~weighted ~~term~~average ofremaining 6life ~~years,~~of ~~risk-free~~approximately ~~interest~~3.8 ~~rates~~years. ~~ranging~~Such awards ~~from~~have ~~4.34%~~accelerated tovesting ~~5.02 %~~provisions ~~and~~upon a ~~dividend~~change ~~yield~~in ~~of zero~~control.

~~Restricted~~In ~~Stock~~2005, ~~Awards~~CBOT —Holdings Inadopted a Long-Term Equity Incentive Plan (the “Plan”) ~~first~~under ~~six~~which ~~months~~stock-based ofawards ~~2006,~~may 32be made to certain directors,~~544~~ ~~shares~~officers and other key employees or individuals at the discretion of the board of directors. Grants authorized under the Plan include restricted stock, ~~were~~incentive ~~awarded~~or nonqualified ~~under~~stock options, stock appreciation rights and performance awards. A total of 1.2 million shares, which may come from authorized and unissued shares or from treasury shares, may be issued pursuant to the Plan. ~~Restricted~~Nonqualified stock options ~~grants~~may innot have an exercise price below 100% of the ~~amount~~fair market value of ~~7,544~~the ~~vested~~Class A ~~during~~common stock at the ~~first~~date ~~six~~of grant. Incentive stock options may not have an exercise price below 110% of the fair market value of the Class A common ~~months~~stock at the date of ~~2006~~grant. The ~~following~~maximum ~~table~~contractual ~~summarizes~~term ~~non-vested~~of any option award under the Plan is ten years. Awards totaling 364,228 shares have been granted under the Plan as of ~~June~~March 3031, ~~2006:~~2007.

Non-vested Shares	Shares(000)		Weighted-AverageGrant-date Fair Value
Non-vested - beginning of year	20		$	54
Granted	33			97
Vested	(8	)		97
Forfeited	—			—
Non-vested - end of year	45		$	78

Options — In the first three months of 2007, nonqualified stock options to purchase 73,100 shares of Class A common stock were awarded under the Plan. These options have graded four year vesting periods, a maximum term of ten years and accelerated vesting provisions upon a change in control. The following table summarizes options outstanding under the Plan as of March 31, 2007:

In May 2006, the board of directors of CBOT Holdings approved an Employee Stock Purchase Plan, subject to shareholder approval at CBOT Holdings’ 2007 annual meeting. The plan, which is scheduled to become effective January 1, 2007, permits employees who have been employed by the company for at least one year (other than certain part-time employees and highly compensated employees who have been awarded restricted stock) to purchase shares of CBOT Holdings’ Class A Common Stock quarterly through payroll deductions at an exercise price equal to 90% of the fair market value of the stock on the exercise date. The plan permits eligible employees to purchase these shares through payroll deductions for up to 10% of their base compensation. It is expected that 1 million shares will be eligible for purchase under the plan if approved. In the event the plan is not approved by CBOT Holdings’ shareholders at the 2007 annual meeting, employees who purchase stock in the first quarterly purchase period will have taxable income in the amount of the 10% discount they received on the purchase price. Any payroll deductions made after the first quarterly purchase period will be refunded to the employees, and the plan will then be discontinued.


	Time Vested Options							Market Performance Options
Options	Shares (000)		Weighted- Average Exercise Price		Aggregate Intrinsic Value ($000)		Weighted- Average Remaining Term (yrs)	Shares (000)	Weighted- Average Exercise Price		Aggregate Intrinsic Value ($000)		Weighted- Average Remaining Term (yrs)
Outstanding - January 1, 2007	182		$	61				50	$	54
Granted	73			151				—		—
Exercised	—			—				—		—
Forfeited or expired	(1	)		151				—		—

Outstanding - March 31, 2007	254		$	87	$	24,047	8.9	50	$	54	$	6,375	8.6

Vested or expected to vest - March 31, 2007	243		$	87	$	23,114	8.9	50	$	54	$	6,375	8.6

Exercisable - March 31, 2007	44		$	60	$	5,373	8.6	50	$	54	$	6,375	8.6

The weighted-average grant date fair value of options granted during the first three months of 2007 and 2006 was approximately $70 per share and $43 per share, respectively. The total grant date fair value of options that vested during the first three months of 2007 was approximately $0.3 million. No options vested during the first three months of 2006. The fair value of options granted during the first quarter of 2007 was estimated on the date of grant using a lattice-based option valuation model that assumes expected volatility of 45%, expected term of 6 years, a risk-free interest rate of 4.61% and a dividend yield of zero. Due to a lack of historical activity in the trading of our stock,

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expected volatilities and terms are based on the historical activity of the stock of peer companies that management considers to be engaged in a business similar to the CBOT. The risk free interest rate is based on the U.S. Treasury yield curve in effect at the time of the option grant. CBOT Holdings has not paid any dividends to date, so the expected dividend yield is set at zero.

Restricted Stock Awards — In the first quarter of 2007, no shares of restricted stock were awarded under the Plan nor did any restricted stock grants vest. The following table summarizes non-vested shares under the Plan as of March 31, 2007:


Non-vested Shares	Shares (000)	Weighted- Average Grant-date Fair Value
Non-vested - January 1, 2007	42	$	77
Granted	—		—
Vested	—		—
Forfeited	—		—

Non-vested - March 31, 2007	42	$	77

4. EARNINGS PER SHARE

Basic earnings per share is computed by dividing net income by the weighted average number of shares of all Class A common stock outstanding for each reporting period. Diluted earnings per share is computed by reflecting the increase in the outstanding number of shares of Class A common stock if stock options or restricted stock awards were exercised or converted into common stock using the treasury stock method. Income used in the calculation of earnings per share for the six and three months ended June 30, 2005, only includes earnings allocated to the period after April 22, 2005, the date the CBOT completed a restructuring that changed the CBOT from a nonstock, not-for-profit company with members to CBOT Holdings, a stock, for-profit company with stockholders and the CBOT, a nonstock, for-profit exchange subsidiary with members. Weighted average number of shares used in the calculation is based on the average number of shares outstanding after April 22, 2005 rather than the entire reporting period.

Earnings per share are calculated as follows (in thousands, except per share data):

	Six Months Ended June 30,					Three Months Ended June 30,
	Three Months EndedMarch 31,
	2006		2005			2006		2005
	2007		2006
Net income	$	7855,~~562~~391	$	3935,~~022~~103		$	~~43,459~~	$	~~18,234~~
Net income allocated to pre-restructuring period		—		(21,824	)		—		(1,036	)
Weighted average number of Class A common stock shares:
Net income allocated to post-restructuring period	$	78,562	$	17,198		$	43,459	$	17,198
Basic		52,798		52,787
Weighted average number of Class A common stock shares:
Effect of stock options		85		46
Basic		52,789		49,360			52,792		49,360
Effect of restricted stock grants		17		7
Diluted		52,~~844~~900		4952,~~360~~840			~~52,848~~		~~49,360~~
Earnings per share:
Basic	$	1.4905	$	0.3566		$	~~0.82~~	$	~~0.35~~
Diluted		1.4905		0.3566			~~0.82~~		~~0.35~~

Options to purchase 3271,~~000~~800 shares of common stock at a weighted-average price of $94151 per share were outstanding during the ~~six~~first ~~and~~quarter ~~three~~of ~~months~~2007, ~~ended~~but ~~June 30~~were not included in the computation of diluted earnings per share because the effect would have been antidilutive. Similarly, options to purchase 27,000 shares of common stock at a weighted-average price of $94 per share were outstanding during the first quarter of 2006, but were not included in the computation of diluted earnings per share because the effect would have been antidilutive.

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5. RESTRICTED CASH

CBOT Holdings has cash deposits that under their terms cannot be withdrawn without prior notice or penalty. When a membership is sold in conjunction with the shares of Class A common stock that are associated with the membership, the proceeds of such sale are held in escrow for a specified period of time to allow other members to make claims against the selling member. This escrow account and other restricted cash at ~~June~~March 3031, ~~2006~~2007 and December 31, ~~2005~~2006 consisted of the following (in thousands):

	June 30, 2006		December 31, 2005
	March 31, 2007		December 31, 2006
Escrow for funds held for membership transfers	$	82,~~269~~202	$	~~13,118~~62
Forward contract collateral		913		913
Total	$	93,~~182~~115	$	~~14,031~~975

6. MARKETABLE SECURITIES

CBOT Holdings has short-term investments in U.S. Treasury securities and has the ability and the intent to hold them until maturity. These securities are debt securities classified as held-to-maturity and are recorded at amortized cost pursuant to Statement of Financial Accounting Standards No. 115, Accounting for Certain Investments in Debt and Equity Securities. Held-to-maturity debt securities with maturities of 90 days or less at the date of purchase are classified as cash and cash equivalents and held-to-maturity debt securities with maturities between 91 days and one year are classified as short-term investments in current assets. Held-to-maturity debt securities classified as short-term investments at ~~June~~March 3031, ~~2006~~2007 and December 31, ~~2005~~2006 consisted of the following (in thousands):

	June 30, 2006		December 31, 2005
	March 31,2007		December 31, 2006
Held-to-maturity securities - less than one year maturity:
Amortized cost	$	~~327~~362,~~956~~366	$	~~239~~312,~~888~~411
Gross unrealized holding gains		~~133~~252		~~167~~291
Aggregate fair value	$	~~328~~362,~~089~~618	$	~~240~~312,~~055~~702

7. DEBT

~~Long-term~~At December 31, 2006, CBOT Holdings had $10.7 million of current debt related to private placement senior notes due in annual installments through 2007 at ~~June 30~~an annual interest rate of 6.81%. In the first quarter of 2007, ~~2006~~the ~~and~~final ~~December 31~~annual principal repayment of $10.7 million was made on the senior notes, ~~2005~~the ~~consisted~~payment of which terminated the ~~following~~obligations ~~(in~~under ~~thousands):~~the senior notes. CBOT Holdings had no outstanding debt obligations as of March 31, 2007.

	June 30, 2006		December 31, 2005
Private placement senior notes, due in annual installements through 2007, at an annual interest rate of 6.81%	$	10,716	$	21,430
AEMS Financing agreement		9,298		8,652
		20,014		30,082
Less current portion		20,014		19,366
Total	$	—	$	10,716

At December 31, 2006, CBOT Holdings had an agreement with LaSalle Bank National Association (the “bank”) to provide CBOT Holdings with an unsecured $20.0 million revolving credit facility (the “Revolver”). Interest related to the Revolver was payable monthly at the lower of LIBOR plus 2.25% or the bank’s prime rate. The Revolver allowed for the issuance of letters of credit, up to the unused portion of the $20.0 million line of credit. The Revolver contained certain covenants that CBOT Holdings was required to comply with, which, among other things, required CBOT Holdings to maintain certain equity levels and financial ratios, as well as restricted CBOT Holdings’ ability to incur additional indebtedness, except in certain specified instances. No amounts were borrowed nor outstanding under the Revolver. The Revolver had a maturity date of February 14, 2007 and management of CBOT Holdings decided not to renew the Revolver.

In May of 2003, the CBOT signed a financing agreement with LIFFE Administration and Management (“LIFFE”) which allowed the CBOT to finance the costs under a development services agreement signed with LIFFE in March of 2003. Both the financing and development services agreement were subsequently assigned to Atos Euronext Market Solutions (“AEMS”). Under the terms of the financing agreement, the CBOT financed 15.1 million pounds sterling ($26.9 million at December 31, 2003) related to the development services agreement. Repayments of amounts financed began in 2004 and are due in equal annual installments through 2006. Interest was prepaid at the

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time of the borrowing at an effective rate of approximately 5.6%. Prepaid interest related to the financing agreement of $2.7 million is being amortized to interest expense over three years using an effective interest rate method. Obligations under the financing agreement are denominated in pounds sterling but converted into U.S. dollars using currency exchange rates in effect on each balance sheet date.

In the first quarter of 2006, an annual principal repayment of $10.7 million was made on the senior notes.

CBOT Holdings has an agreement with LaSalle Bank National Association (the “bank”) to provide CBOT Holdings with an unsecured $20.0 million revolving credit facility (the “Revolver”). Interest related to the Revolver is payable monthly at the lower of LIBOR plus 2.25% or the bank’s prime rate. The Revolver also provides letters of credit in the amount 10.0 million pounds, or its U.S. Dollar equivalent. Further, the Revolver allows for the issuance of additional letters of credit, up to the unused portion of the $20.0 million line of credit. The Revolver contains certain covenants, which, among other things, require CBOT Holdings to maintain certain equity levels and financial ratios, as well as restrict CBOT Holdings’ ability to incur additional indebtedness, except in certain specified instances. No amounts have been borrowed nor are outstanding under the Revolver. The Revolver has a maturity date of February 14, 2007.

8. BENEFIT PLANS

At December 31, 2005, substantially all employees of CBOT Holdings were covered by a non-contributory, defined benefit pension plan (the “Pension Plan”). The benefits payable under the Pension Plan are based ~~primarily~~ on the years of service and the employees’ average compensation levels. In December 2005, the board of directors amended the Pension Plan of CBOT Holdings so that employees hired on or after January 1, 2006 are no longer eligible to participate in the Pension Plan, but instead are eligible to participate in a newly created defined contribution pension plan.

CBOT Holdings’ funding policy for the ~~defined~~Pension ~~benefit~~Plan ~~pension plan~~ is to contribute annually the maximum amount that can be deducted for federal income tax purposes., ~~CBOT~~with ~~Holdings~~the ~~has~~maximum funding level not to exceed 150% of the current liability. CBOT Holdings contributed $5.6 million to ~~its~~the ~~pension~~Pension ~~plan~~Plan during the ~~six~~first ~~months~~quarter ended ~~June~~March 3031, ~~2006~~2007 and does not expect to make aany ~~contribution~~further bycontributions ~~December 31,~~in ~~2006~~2007. The ~~plan~~Pension Plan assets are primarily invested in marketable debt and equity securities. The measurement date of ~~plan~~Pension Plan assets and obligations is December 31.

The components of net periodic benefit cost are as follows (in thousands):

	Six Months Ended June 30,						Three Months Ended June 30,
	Three Months Ended March 31,
	2006			2005			2006			2005
	2007			2006
Service cost	$	~~1,614~~669		$	~~1,278~~807		$	~~807~~		$	~~699~~
Interest cost		~~1,375~~549			~~1,089~~687			~~688~~			~~590~~
Expected return on plan assets		(~~1,854~~740	)		(~~1,468~~927	)		~~(927~~	)		~~(917~~	)
Net amortization:
Unrecognized prior service cost		21			1			1			—
Unrecognized net loss		~~488~~196			~~386~~244			~~244~~			~~179~~
Net periodic benefit cost	$	~~1,625~~675		$	~~1,286~~812		$	~~813~~		$	~~551~~

CBOT Holdings has a retiree benefit plan which covers all eligible employees. Employees retiring from CBOT Holdings on or after age 55, who have at least ten years of service, or after age 65 with five years of service, are entitled to postretirement medical and life insurance benefits. CBOT Holdings funds benefit costs on a pay as it goes basis. The measurement date of plan obligations is December 31.

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The components of net periodic benefit cost are as follows (in thousands):

	Six Months Ended June 30,				Three Months Ended June 30,
	Three Months Ended March 31,
	2006		2005		2006		2005
	2007		2006
Service cost	$	~~300~~151	$	~~279~~150	$	~~150~~	$	~~147~~
Interest cost		~~348~~156		~~324~~174		~~174~~		~~155~~
Net amortization:
Transition liability		7033		6535		35		33
Unrecognized net loss		6726		6233		34		10
Net periodic benefit cost	$	~~785~~366	$	~~730~~392	$	~~393~~	$	~~345~~

9. FOREIGN CURRENCY FORWARD CONTRACTS

CBOT Holdings currently utilizes foreign currency forward contracts, ~~which~~that are ~~designated~~identified as fair value hedges. ~~that~~These are intended to offset the effect of exchange rate fluctuations on ~~certain~~firm ~~payment~~commitments ~~obligations~~for purchases of fixed annual and quarterly services denominated in pounds sterling. These contracts had notional amounts approximating $3824.53 million (2214.63 million pounds sterling) at ~~June~~March 3031, ~~2006~~ 2007. The fair value of these contracts, which was $3.26 million at ~~June~~March 3031, ~~2006~~2007, is recorded in accounts receivable. Gains and losses on these hedge instruments, as well as the gains and losses on the underlying hedged item, offset each other and were therefore zero in the first ~~six~~three months of ~~2006~~2007. There were no gains or losses recorded on these fair value hedges related to hedge ineffectiveness.

~~CBOT~~- ~~Holdings~~9 ~~also~~- utilizes foreign currency forward contracts that are intended to offset the effect of exchange rate fluctuations on debt that is denominated in pounds sterling. These contracts, which are not designated as hedges under FASB Statement No. 133, had notional amounts approximating $8.6 million (5.0 million pounds sterling) at June 30, 2006. Gains and losses on these instruments, as well as the gains and losses on revaluing the recorded debt were recognized in general and administrative expense.

10. LITIGATION

Litigation with Eurex US: On October 15, 2003, Eurex US filed an antitrust action in federal court against the CBOT and the ~~Chicago Mercantile Exchange (the “~~CME”) alleging that the companies illegally attempted to block its entrance into the U.S. market and charging the CBOT and the CME with having violated the Sherman Act, among other things, by offering financial inducements, valued at over $100 million, to ~~shareholders~~stockholders of The Clearing Corporation to vote against a proposed restructuring of The Clearing Corporation. Eurex subsequently amended its complaint to make additional charges, including a claim that the CBOT and the CME misrepresented Eurex’s qualifications in their lobbying of Congress and the CFTC. Eurex ~~Commodity~~seeks treble ~~Futures~~damages under ~~Trading~~the antitrust laws, injunctive relief enjoining the alleged antitrust violations and compensatory and punitive damages for alleged tortious interference with prospective business ~~Commission~~opportunities.

On December 12, 2003, the CBOT filed in the U.S. District Court for the District of Columbia a motion to dismiss the amended complaint and a motion to transfer the action to the U.S. District Court for the Northern District of Illinois. On September 2, 2004, the United States District Court for the District of Columbia granted the CBOT’s motion to transfer the case to the United States District Court for the Northern District of Illinois. The court denied the CBOT’s motion to dismiss as moot in light of its ruling on the transfer motion. Eurex filed a second amended complaint in the Northern District of Illinois in late March 2005. In addition to the allegations in Eurex’s previous complaints, that complaint alleges, among other things, that the CBOT engaged in predatory pricing and, together with the CME, engaged in a campaign to block regulatory approval of the Eurex proposed Global Clearing Link between ~~The~~the Clearing Corporation, Eurex’s U.S. clearing house in Chicago, and Eurex Clearing in Frankfurt. Eurex seeks treble damages under the antitrust laws in an amount to be proven at trial, injunctive relief enjoining the alleged antitrust violations and compensatory and punitive damages for alleged tortious interference with prospective business opportunities. On June 6, 2005, the CBOT and CME filed a joint motion to dismiss the second amended complaint, which the court denied on August 22, 2005. On October 5, 2005, the CBOT filed its answer and defenses to the second amended complaint. ~~The~~Currently, the parties are ~~currently~~ engaged in ~~ongoing~~ discovery ~~for this matter~~.

Litigation with Chicago Board Options Exchange, Inc.: On August 23, 2006, CBOT Holdings and CBOT, along with a class consisting of certain CBOT full members, filed a lawsuit in the Court of Chancery of the State of Delaware against the Chicago Board Options Exchange, Inc. (“CBOE”). The lawsuit seeks to enforce and protect certain rights of CBOT’s full members (“Exercise Rights”) contained in agreements by and among CBOT Holdings, CBOT and CBOE as well as CBOE’s charter. The lawsuit alleges that these Exercise Rights allow CBOT’s full members who hold them to become full members of CBOE and to participate on an equal basis with other members of CBOE in CBOE’s announced plans to demutualize. The lawsuit is consistent with the Company’s previously stated intention to vigorously defend the rights of CBOT’s full members who are eligible to participate in CBOE’s demutualization. On January 4, 2007, the plaintiffs filed a Second Amended Complaint, in which they added a count seeking a declaration that, contrary to the position taken by the CBOE before the SEC, the merger between CBOT Holdings and CME Holdings would not result in the termination of the Exercise Rights. The lawsuit seeks declaratory and injunctive relief as well as recovery of the Company’s attorneys’ fees. On January 11, 2007, the plaintiffs filed a motion for partial summary judgment. On January 16, 2007, the defendants filed a motion to dismiss the Second Amended Complaint. Both motions are presently pending.

Litigation with LAMPERS: On March 16, 2007, the Louisiana Municipal Police Employees’ Retirement System (“LAMPERS”) filed a putative class action lawsuit, on behalf of itself and CBOT Holdings’ stockholders, in Delaware state court against CBOT Holdings, its directors and the CME. The lawsuit alleges that the directors of CBOT Holdings breached their fiduciary duties in connection with the CME merger agreement by, among other things, failing to consider alternative transactions and obtain the highest price reasonably available consistent with the doctrine set forth by the Delaware court in Revlon, Inc. v. MacAndrews & Forbes Holdings, Inc., agreeing to improper deal protection provisions in the CME merger agreement and omitting material information from the proxy statement for the merger. The CME is alleged to have aided and abetted the breach of fiduciary duties by the directors of CBOT Holdings. The complaint seeks to enjoin CBOT Holdings from taking any action to consummate the merger with the CME until the directors have fully complied with the duties allegedly owed under Revlon, and to invalidate the allegedly improper deal protection provisions. The complaint also seeks unspecified compensatory damages, interest and attorneys fees. The court has permitted LAMPERS to undertake limited discovery. CBOT Holdings and the other defendants filed motions to dismiss the lawsuit on April 9, 2007, which are presently pending.

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One of the conditions to the closing of the CME merger is that there is no injunction issued by any court prohibiting the consummation of the merger. While CBOT Holdings believes these claims are without merit, no assurance can be given that the purported class action lawsuit will not result in such an injunction being issued, which could prevent or delay a closing of the CME merger.

CBOT Holdings is also subject to various other legal actions arising in the normal course of business. CBOT Holdings’ management believes that the ultimate outcome of these proceedings will not have a material adverse effect on CBOT Holdings’ financial position, although an adverse determination could be material to CBOT Holdings’ results of operations or cash flows in any particular period.

11. OPERATING SEGMENTS

Management has identified two reportable operating segments: exchange trading and real estate operations. The exchange trading segment primarily consists of revenue and expenses from both open-auction trading activities and electronic trading activities, as well as from the sale of related market data to vendors. The real estate operations segment consists of revenue and expenses from renting and managing the real estate owned by CBOT Holdings. CBOT Holdings allocates certain indirect expenses to each operating segment. CBOT Holdings derives revenues from foreign based customers but it is not practicable to calculate the amount of such revenues.

CBOT Holdings evaluates operating segment performance based on revenues and income ~~from~~before ~~operations~~income taxes. ~~Inter-company transactions~~Intercompany transactions between segments have been eliminated. The accounting principles used for segment reporting are the same as those used for consolidated financial reporting. A summary by operating segment follows for the ~~six and~~ three months ended ~~June~~ March 3031, ~~2006~~ 2007 and ~~2005~~2006 (in thousands):

	Six Months Ended June 30, 2006												Six Months Ended June 30, 2005
	Three Months Ended March 31, 2007
	ExchangeTrading		~~RealEstateOperations~~Real Estate Operations			~~Eliminations~~	Eliminations			~~Totals~~	Totals		~~ExchangeTrading~~		~~RealEstateOperations~~			~~Eliminations~~			~~Totals~~
Revenues:
Exchange fees	$	~~174~~117,~~975~~680								$	~~174,975~~$	117,680	$	~~136,175~~							$	~~136,175~~
Clearing fees		4833,~~597~~973									~~48,597~~	33,973		~~43,836~~								~~43,836~~
Market data		4925,~~929~~082									~~49,929~~	25,082		~~36,828~~								~~36,828~~
Building				115,~~415~~915							~~11,415~~	5,915				~~11,087~~						~~11,087~~
CBOT space rent				136,~~217~~689			~~(13,217~~	)(6,689	)		—	—				~~13,094~~			~~(13,094~~	)		—
Services		84,~~535~~234									~~8,535~~	4,234		~~7,214~~								~~7,214~~
Interest		7,846									7,846			1,415								1,415
Other		853										853
Other		758									758			489								489
Total revenues	$	181,822	$	12,604			$	(6,689	)		$	187,737
Total revenues	$	290,640	$	24,632		$	(13,217	)		$	302,055		$	225,957	$	24,181		$	(13,094	)	$	237,044
Depreciation and amortization	$	7,778	$	3,742							$	11,520
Depreciation and amortization	$	21,112	$	7,763						$	28,875		$	20,696	$	7,349					$	28,045
Income before income taxes	$	96,483	$	(804	)						$	95,679
Income from operations	$	130,646	$	700						$	131,346		$	70,031	$	(313	)				$	69,718
Total assets	$	704,259	$	181,138							$	885,397
Total assets	$	556,313	$	186,021						$	742,334		$	309,471	$	186,015					$	495,486
Capital expenditures	$	1,510	$	1,419							$	2,929
Capital expenditures	$	4,352	$	6,501						$	10,853		$	12,515	$	7,119					$	19,634

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	Three Months Ended June 30, 2006												Three Months Ended June 30, 2005
	Three Months Ended March 31, 2006
	ExchangeTrading		~~RealEstateOperations~~Real Estate Operations			~~Eliminations~~	Eliminations			~~Totals~~	Totals		~~ExchangeTrading~~		~~RealEstateOperations~~			~~Eliminations~~			~~Totals~~
Revenues:
Exchange fees	$	9183,~~855~~120								$	~~91,855~~$	83,120	$	~~69,657~~							$	~~69,657~~
Clearing fees		2523,~~366~~231									~~25,366~~	23,231		~~22,559~~								~~22,559~~
Market data		2623,~~286~~643									~~26,286~~	23,643		~~18,306~~								~~18,306~~
Building				5,~~910~~505							~~5,910~~	5,505				~~5,479~~						~~5,479~~
CBOT space rent				6,~~609~~608			~~(6,609~~	)(6,608	)		—	—				~~6,547~~			~~(6,547~~	)		—
Services		4,~~299~~236									~~4,299~~	4,236		~~3,623~~								~~3,623~~
Interest		4,363									4,363			701								701
Other		351										351
Other		407									407			262								262
Total revenues	$	134,581	$	12,113			$	(6,608	)		$	140,086
Total revenues	$	152,576	$	12,519		$	(6,609	)		$	158,486		$	115,108	$	12,026		$	(6,547	)	$	120,587
Depreciation and amortization	$	10,225	$	3,861							$	14,086
Depreciation and amortization	$	10,887	$	3,902						$	14,789		$	10,504	$	3,727					$	14,231
Income before income taxes	$	58,749	$	(225	)						$	58,524
Income from operations	$	71,897	$	925						$	72,822		$	34,139	$	(409	)				$	33,730
Total assets	$	545,480	$	184,812							$	730,292
Total assets	$	556,313	$	186,021						$	742,334		$	309,471	$	186,015					$	495,486
Capital expenditures	$	1,953	$	2,242							$	4,195
Capital expenditures	$	2,399	$	4,259						$	6,658		$	8,325	$	6,377					$	14,702

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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

You should read the following discussion in conjunction with our consolidated financial statements and related notes included elsewhere in this report. Historical results are not necessarily indicative of results for any future period. See “Forward-Looking Statements.”

References in this discussion to “CBOT Holdings,” “the Company” or “we” refer to CBOT Holdings, Inc. and its subsidiaries. References to “the CBOT” relate to the Board of Trade of the City of Chicago, Inc. and its subsidiaries.

Overview

Through our ~~exchange~~CBOT subsidiary, ~~the Board of Trade of the City of Chicago, Inc. (the “CBOT”),~~ we operate a marketplace for the trading of interest rate, ~~agricultural~~ agriculture, equity index and metals, energy and other futures contracts, as well as options on futures contracts. We offer side-by-side trading of ~~many~~most of our products across both electronic and open-auction trading platforms with leading technology infrastructure. We believe this ~~hybrid model~~ provides unique trading opportunities by offering deep liquidity coupled with transparency that affords all market participants the ability to compete openly for outstanding orders. Our agricultural products are currently traded during the normal trading day on our open-auction platform and after hours on our electronic trading platform. However, on August 1, 2006, we expect our agricultural futures products to begin trading on our electronic trading platform, side-by-side with our open-auction platform. See below - Business and Industry Developments.

Our market participants include many of the world’s largest banks, investment firms and commodities producers and users. Other market users include financial institutions, such as public and private pension funds, mutual funds, hedge funds and other managed funds, insurance companies, corporations, commercial banks, professional independent traders and retail customers.

WeBusiness ~~derive~~Developments a substantial portion of our revenue from exchange fees and clearing fees directly related to the trading in our markets, which accounted for 58% and 16%, respectively, of our total revenue in the first six months of 2006. In addition, we derive revenue from the sale of market data indirectly related to trading in our markets, which accounted for 17% of our total revenue in the first six months of 2006. We also own and operate three office buildings in the City of Chicago, which accounted for 4% of our total revenue in the second quarter of 2006.

Merger Agreement with Chicago Mercantile Exchange Holdings Inc.

Under the terms of the Agreement, each outstanding share of our Class A common stock (other than shares owned by the CME or its subsidiaries) will be converted into the right to receive 0.3006 shares of Class A common stock of the CME (the “Exchange Ratio”) or, at the election of the holder, cash in an amount equal to the Exchange Ratio multiplied by the average closing sales price of the CME Class A common stock on the New York Stock Exchange for the ten consecutive trading days ending on the second full trading day prior to the effective time of the merger rounded to four decimal points (the “Cash Consideration”). The aggregate amount of Cash Consideration paid to our stockholders may not exceed $3.0 billion. In the event our stockholders elect to receive Cash Consideration that would exceed $3.0 billion in the aggregate, the $3.0 billion Cash Consideration will be prorated among stockholders that elected cash. All outstanding options to purchase shares of our Class A common stock issued by CBOT Holdings will be converted into options to purchase shares of CME Class A common stock, as adjusted for the Exchange Ratio. Under certain circumstances, if the Agreement is terminated, we or CME may be required to pay the other a termination fee of $240.0 million and reimburse the other party for up to $6.0 million in expenses.

The merger is subject to a number of conditions, including, but not limited to, (i) the approval of the Agreement by the stockholders of both us and the CME, (ii) the approval of the repurchase of our Class B common stock and an Amended and Restated Certificate of Incorporation of the CBOT by the Series B-1 and Series B-2 members of the CBOT, voting together as a single class, and (iii) receipt of certain regulatory approvals. Pending all requisite approvals, and subject to developments regarding the unsolicited proposal described below, we expect the merger to be completed by mid-2007.

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In connection with the proposed merger the parties have filed relevant materials with the Securities and Exchange Commission (“SEC”), including a joint proxy statement/prospectus regarding the proposed transaction. INVESTORS ARE URGED TO READ THE JOINT PROXY STATEMENT/PROSPECTUS REGARDING THE PROPOSED TRANSACTION, BECAUSE IT CONTAINS IMPORTANT INFORMATION. Investors are able to obtain a free copy of the joint proxy statement/prospectus, as well as other filings containing information about CBOT Holdings and CME without charge, at the SEC’s website (http://www.sec.gov). Copies of the joint proxy statement/prospectus can also be obtained without charge by directing a request to CBOT Holdings, Inc., Attention: Investor Relations, at 141 West Jackson, Chicago, Illinois 60604 or calling (312) 435-3500.

Unsolicited Proposal from IntercontinentalExchange, Inc.

On March 15, 2007, CBOT Holdings received an unsolicited proposal from the IntercontinentalExchange, Inc. (“ICE”) to merge with CBOT Holdings. In this transaction, holders of CBOT Holdings Class A common stock would receive 1.42 shares of ICE common stock for each share of CBOT Holdings common stock (or, should CBOT Holdings be the surviving entity, CBOT Holdings would issue the inverse number of shares of CBOT Holdings common stock for each share of ICE common stock outstanding), which would result in CBOT Holdings stockholders owning approximately 51.5% of the combined company.

Subsequently, the Company’s Board of Directors, after consultation with its legal and financial advisors, authorized CBOT Holdings, on the basis permitted by its merger agreement with CME, to begin discussions and exchange information with ICE relating to ICE’s unsolicited proposal. Due to this development, the special meetings of CBOT Holdings stockholders and CBOT members to vote on the merger with CME, which were originally scheduled to occur on April 4, 2007, have been rescheduled for July 9, 2007 to give the Board of Directors of CBOT Holdings, its special committees and the Board of Directors of the CBOT sufficient time to complete their review of the unsolicited proposal from ICE. A new record date for the special meetings will be established and updated proxy materials describing ICE’s proposal and other events occurring after the distribution of the previous proxy materials will be distributed to CBOT Holdings stockholders and CBOT members prior to the meeting date.

Operations

We derive a substantial portion of our revenue from exchange fees and clearing fees directly related to the trading in our markets, which accounted for 63% and 18%, respectively, of our total revenue in the first three months of 2007. In addition, we derive revenue from the sale of market data indirectly related to trading in our markets, which accounted for 13% of our total revenue in the first three months of 2007. We also own and operate three office buildings in the City of Chicago, which accounted for 3% of our total revenue in the first three months of 2007.

Our long-term goal is to enhance stockholder value by increasing the volume of contracts traded on our markets and increasing our operating margin. To increase volume we seek to develop and promote contracts designed to satisfy the evolving trading, hedging and risk management needs of market participants worldwide, and to increase our share of the global derivatives market. We also seek to introduce new technology and functionality to enhance the distribution, accessibility, liquidity and usability of our products. To increase our operating margin, our goal is to control baseline expenses, increase contract volume on existing benchmark products, develop new products and expand the use of market data and other services.

~~Our~~We ~~revenue~~reached record levels in the ~~second~~first quarter of ~~2006~~2007 ~~grew~~for ~~31% versus the second quarter of 2005~~volume, ~~our~~revenue ~~operating~~and ~~margin~~net ~~grew~~income. ~~from~~Our ~~28%~~trading tovolume ~~46% and our net income~~ increased ~~138~~24%. ~~For~~from the ~~six~~first ~~months~~quarter ~~ended~~of ~~June 30,~~ 2006,. ~~our~~Our revenue for the quarter grew 2734% ~~from~~versus the ~~same~~first ~~period~~ quarter of ~~2005~~2006, our operating margin ~~grew~~improved from 2940% to 4348% and our net income increased ~~101~~58% over the prior year period. These results were due inprimarily ~~part~~ to anthe 24% increase in trading volume ~~of 13% for the second quarter~~ and 12a 15% ~~for~~increase in the ~~first~~average ~~six months of 2006 and increases in~~ exchange ~~fee rates~~ and ~~market~~clearing ~~data fees implemented in October 2005 and January 2006, respectively. In contrast, our operating expenses only grew 2%~~fee ~~during~~rate ~~the~~per ~~six~~contract ~~months ended June 30~~traded, ~~2006 versus the prior year~~ and ~~decreased~~were 1%offset in ~~the~~part ~~second~~by ~~quarter~~$13.0 ofmillion ~~2006 versus the second quarter~~ of ~~2005.~~merger-related ~~This~~expenses ~~relatively~~which ~~unchanged~~caused ~~level of~~ operating expenses ~~allowed the revenue increases~~ to ~~fall directly~~increase toby ~~operating~~15% ~~income~~in ~~which accounted for~~ the ~~increases in operating margin and net income~~quarter.

The following is a summary discussion of certain aspects of our business that are important to understanding our financial condition, results of operations and cash flows:

Exchange Fees

Our largest source of operating revenue is exchange fee revenue. Exchange fee revenue is a function of three variables: (1) exchange fee rates, determined for the most part by contract type, trading venue and membership/customer status; (2) trading volume; and (3) transaction mix between contract type, trading venue and membership/customer status. Because our exchange fee rates are assessed on a per transaction basis, our exchange fee ~~revenue~~ is directly correlated to the volume of contracts traded on our markets. Our exchange fee rates, which vary by contract type, trading venue and membership/customer status, are available on our website at

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~~www~~revenue is directly correlated to the volume of contracts traded on our markets.~~cbot.com.~~ While exchange fee rates are established by us, trading volume and transaction mix are primarily influenced by factors outside our control. ~~Some~~ ofThese ~~these~~ external factors include: price volatility in the underlying commodities or equities, interest rate or inflation volatility, changes in U.S. government monetary or fiscal policies, agricultural or trade policies, weather conditions in relation to agricultural commodities, and national and international economic and political conditions.

The following chart summarizes trading volume by product category, as well as the portion of total trading volume executed on our electronic trading platform, e-cbot® ~~powered by LIFFE Connect®~~. The table also includes total trading fees, average rate per contract, total volume-based expenses and average volume-based expense per contract (in thousands, except per contract rates):

Trading Volume	Six Months Ended June 30,													Three Months Ended June 30,
	Three Months Ended March 31,
	2006				2005				Change			%Change		2006				2005				Change			%Change
	2007				2006
	Total		% ofTotal		Total		% ofTotal							Total		% ofTotal		Total		% ofTotal
Trading Volume	Total		% ofTotal		Total		% ofTotal		VolumeChange			%Change
Interest Rate		~~321~~187,~~818~~977	8078	%		~~295~~158,~~264~~752	82	%		2629,~~554~~225		918	%		~~163,066~~	78	%		~~151,534~~	82	%		~~11,532~~		8	%
Agriculture		5839,~~842~~132	1516	%		4825,~~610~~529	1413	%		1013,~~232~~603		2153	%		~~33,313~~	16	%		~~25,831~~	14	%		~~7,482~~		29	%
Equity Index		158,~~259~~527	4	%		137,~~720~~025	4	%		1,~~539~~502		1121	%		~~8,234~~	4	%		~~7,343~~	4	%		~~891~~		12	%
Metals, Energy & Other		4,~~782~~042	12	%		~~407~~1,376	01	%		42,~~375~~666		~~1075~~194	%		~~3,407~~	2	%		~~192~~	0	%		~~3,215~~		~~1674~~	%
Total		~~400~~239,~~701~~678	100	%		~~358~~192,~~001~~682	100	%		4246,~~700~~996		1224	%		~~208,020~~	~~100~~	%		~~184,900~~	~~100~~	%		~~23,120~~		13	%
e-cbot Volume		~~272~~187,~~072~~913	6878	%		~~226~~132,~~057~~196	6369	%		4655,~~015~~717		2042	%		~~139,876~~	67	%		~~117,978~~	64	%		~~21,898~~		19	%
Trading Fees (1)	$	~~223~~151,~~572~~653			$	~~180~~106,~~011~~351			$	4345,~~561~~302		2443	%	$	~~117,221~~			$	~~92,216~~			$	~~25,005~~		27	%
Average Rate per Contract (2)	$	0.~~558~~633			$	0.~~503~~552			$	0.~~055~~081		1115	%	$	~~0.564~~			$	~~0.499~~			$	~~0.065~~		13	%
Volume-based expenses (3)	$	4123,~~165~~915			$	3719,~~299~~761			$	34,~~866~~154		1021	%	$	~~21,404~~			$	~~19,158~~			$	~~2,246~~		12	%
Volume-based expenses per Contract (4)	$	0.~~103~~100			$	0.~~104~~103			$	(0.~~001~~003	)	-13	%	$	~~0.103~~			$	~~0.104~~			$	~~(0.001~~	)	-1	%

(1)	Comprised of total exchange and clearing fee revenue.

(2)	Represents total trading fees divided by total reported trading volume.

(3)	Comprised of clearing services and contracted license fees.

(4)	Represents volume-based expense divided by total reported trading volume.

Volume Growth

~~Aggregate~~For ~~trading~~the first quarter of 2007, CBOT reported volume growth inacross ~~2006~~each of its major product categories. Aggregate trading volume growth was largely attributable to ~~growth~~an increase in trading volume of our interest rate products. Interest rate products represent our largest product group and primarily consist of our U.S. Treasury complex, which includes contracts on 30-year U.S. Treasury bonds, 10-, 5-, and 2-year Treasury notes, as well as 30-Day Federal Funds. This growth was driven primarily by higher trading volume in the 10-year U.S. Treasury Note futures, the most actively traded contract at the CBOT. Agricultural trading volume exhibited a larger growth rate than that in our interest rate product group, although the total additional agricultural volume represents a smaller proportion of our total product mix. ~~All~~Our ofmetals ~~our other~~ product group ~~groups~~has ~~also~~continued ~~contributed modestly~~ to ~~trading~~show ~~volume~~strong growth, inas ~~2006~~we benefit from increased market demand for these contracts.

~~Some~~Among the factors that we believe affected trading volume growth in contracts on U.S. Treasury securities ~~include~~are: heightened volatility in the equity market; expanded distribution of direct connections to e-cbot,; increased educational programs on our U.S. Treasury complex ; and volume-driving market ~~making~~maker programs on e-cbot for certain U.S. Treasury contracts. ~~The~~ ~~growth~~We ~~in trading volume in our agriculture products we~~ believe ~~was~~that ~~due in part to growth in~~ the ~~use of commodities as an asset investment category. Our equity index~~ growth ~~we believe is due to marketing efforts around those products as well as from liquidity provided by electronic market makers. Our growth~~ in ~~metals~~trading volume ~~we believe was driven among other things by volatility~~ in ~~the underlying contracts,~~ our ~~marketing~~agriculture ~~efforts~~products ~~and~~was ~~increased~~due ~~liquidity~~ in ~~our marketplace.~~

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part to increasing demand for biofuels, growth in the use of commodities as an asset investment category, vagaries in global agricultural production, as well as the third quarter 2006 introduction of daytime trading of Agricultural futures on e-cbot, concurrently with the open auction trading of these contracts. Our growth in metals volume, we deem, was driven to a certain extent by our marketing efforts, enhancements made to create greater trading efficiencies, volatility in the underlying contracts, and increased liquidity in our marketplace. Our equity index growth, we believe, was due in part to marketing efforts around those products as well as from liquidity provided by electronic market makers.

While not certain, we expect that the factors that contributed to recent volume growth will continue to contribute to future volume levels. However, additional factors may arise that could offset future increases in contract trading volume or result in a decline in contract trading volume, such as new or existing competition or other events. Accordingly, you should understand that our historical contract trading volume may not be an indicator of future contract trading volume results.

Clearing Fees

We provide clearing services for our products via the CME/CBOT Common Clearing Link. Under the terms of our arrangement with the CME, we receive clearing fees in respect of each side of a trade made either on our electronic trading or open-auction platforms that is cleared through the CME/CBOT Common Clearing Link. The aggregate amount of clearing fees received by us is based upon contract trading volume in our products and, therefore, will fluctuate based on the same factors that affect our trading volume.

Market Data

We derive additional revenue from the sale of market data generated by trading in our markets. Because we are the principal market for our products, our price information has value as a key indicator of the financial and agricultural markets. To some extent, revenues from the sales of our market data are also dependent upon volume, as well as our ability to remain a principal market and to respond to innovations in technology that may affect the availability, reliability and price of market data.

Building Revenues

We rent commercial space in the buildings that we own. These revenues are generally affected by market rental rates, lease renewals and business conditions in the financial services industry in which most of our tenants operate. Building expenses are dependent on variable utility costs, cleaning expenses, real estate taxes and other general operating costs.

Service Revenues

We derive revenue from the provision of various services to our trading community in relation to their trading activities. These consist of telecommunication and connectivity services to allow access to our trading platforms, as well as general services such as trading floor amenities and trader documentation and security authorization.

Interest Income

We invest available cash in short-term U.S. Treasury securities, as well as other highly liquid, short-term investments. Interest income fluctuates based upon levels of excess cash and prevailing market interest rates.

Operating Expenses

Our expenses are generally incurred to support our electronic trading and open-auction platforms, and to a lesser extent, our building operations. We consider some of our expenses to be volume-based, meaning they are primarily based on trading volume levels and will therefore vary directly with trading activity. Others we consider to be baseline expenses, meaning they are generally fixed and independent of trading volume. Volume-based expenses include clearing services and license fees. Baseline expenses include salaries and benefits, depreciation and amortization, information technology, professional services, general and administrative expenses, building operating costs, program expenses and interest expense. Finally, we incur some expenses that we do not consider to be volume-based or baseline expenses. These expenses include items such as asset impairments, litigation settlements and severance-related charges.

~~Segments~~- 16 -

We have identified two reportable operating segments: exchange trading and real estate operations. The exchange trading segment primarily consists of revenue and expenses from both the electronic and open-auction trading platforms, as well as from the sale of related market data to vendors and from clearing fees. The real estate

- 15 -

~~operations~~amortization, ~~segment~~information ~~consists~~technology, ofprofessional ~~revenue~~services, ~~and~~general ~~expenses from renting~~ and ~~managing~~administrative ~~our real estate. We allocate indirect~~ expenses, tobuilding ~~each~~ operating ~~segment.~~costs, ~~The revenue~~program ~~and~~expenses ~~income attributable to the real estate operations segment is a small percent of total revenues~~ and ~~income~~interest expense. WeFinally, ~~identify~~we ~~real~~incur ~~estate~~some ~~operations~~expenses asthat awe ~~reportable~~do ~~segment~~not ~~primarily~~consider ~~due~~ to ~~the~~be ~~amount~~volume-based ofor ~~assets~~baseline ~~attributable to real estate operations, which consist of owned building space in the City of Chicago~~expenses. ~~The~~These ~~following~~expenses ~~discussion~~include ofitems ~~the~~such ~~results~~as ofasset ~~operations primarily focuses on the exchange trading segment~~impairments, ~~with~~litigation ~~discussion~~settlements ofand ~~the~~severance-related ~~real estate operations being made only when it is significant~~charges.

~~Business~~Segments ~~and Industry Developments~~

~~Agricultural~~We ~~Futures~~have ~~Side~~identified two reportable operating segments: exchange trading and real estate operations. The exchange trading segment primarily consists of revenue and expenses from both the electronic and open-~~by-Side~~auction ~~Trading~~trading platforms, as well as from the sale of related market data to vendors and from clearing fees. The real estate operations segment consists of revenue and expenses from renting and managing our real estate. We allocate indirect expenses to each operating segment. The revenue and income attributable to the real estate operations segment is a small percent of total revenues and income. We identify real estate operations as a reportable segment primarily due to the amount of assets attributable to real estate operations, which consist of owned building space in the City of Chicago. The following discussion of the results of operations primarily focuses on the exchange trading segment, with discussion of the real estate operations being made only when it is significant.

On August 1, 2006, during our daytime trading hours, we expect to begin offering our agricultural futures products on our electronic trading platform e-cbot side-by-side with our open-auction platform. We expect this additional daytime access to our agricultural futures products will attract new users from around the world and improve customer service to our existing users.

Joint Asian Derivatives Exchange “JADE”

On September 25, 2006, on our electronic trading platform e-cbot, we plan to begin hosting the Joint Asian Derivatives Exchange or “JADE”, a joint venture with the Singapore Exchange. Initially, JADE will trade futures contracts on TSR 20 Rubber, and we expect JADE will begin trading futures contracts on crude palm oil by the fourth quarter of 2006.

Swap Future Contracts

Citigroup and Goldman Sachs & Co. became electronic market makers for our Interest Rate Swap futures contracts in July of 2006 joining the existing electronic market maker. We expect the addition of Citigroup and Goldman Sachs as market makers will provide increased liquidity to all market participants in CBOT 5-year and 10-year Swap futures.

Consolidation

In June 2006, NYSE Group, Inc., the owner and operator of the New York Stock Exchange, entered into a definitive agreement to merge with Euronext NV, the owner and operator of four European stock exchanges and one European futures exchange, Euronext.liffe. This transaction, if consummated, would permit NYSE Group to enter into the futures industry. Currently, we cannot predict the potential impact of this transaction, if any, on our industry in general, or specifically to our business or future results of operations.

Results of Operations

~~Six~~Three ~~and three~~ months ended ~~June~~March 3031, ~~2006~~ 2007 compared ~~with~~to ~~six and~~ three months ended ~~June~~March 3031, ~~2005~~2006

Net Income

Net income for the ~~six~~first ~~months~~quarter ~~ended June 30,~~of ~~2006~~2007 was $7855.64 million, $3920.53 million or ~~101~~58%, higher than net income for the first ~~six~~quarter ~~months~~ of ~~2005~~2006. This growth was primarily the after-tax result of increased revenues of $6547.0 7 million in the first ~~six~~quarter ~~months~~ of ~~2006~~2007 ~~accompanied by~~offset ~~modest~~to 2%a degree by operating expense growth of $313.48 million. The operating expense growth was primarily due to $13.0 million of professional services incurred in the first quarter of 2007 related to the merger agreement with CME and, to a lesser extent, the March 15, 2007 unsolicited proposal from ICE.

Net income for the second quarter of 2006 was $43.5 million, $25.2 million or 138%, higher than net income for the second quarter of 2005. This growth was also primarily driven by the after-tax result of increased revenues, with second quarter 2006 revenues outpacing second quarter 2005 revenues by $37.9 million.

Revenues

Revenues for the ~~six~~first ~~months~~quarter ~~ended June 30,~~of ~~2006~~2007 ~~increased~~were $65187.07 million, toan increase of $~~302~~47.17 million compared with the first ~~six~~quarter ~~months~~ of ~~2005~~2006. The increase in revenues was inalmost ~~the~~entirely ~~current~~related ~~year~~to ~~was~~a ~~primarily~~$45.3 ~~due~~million ~~to an~~ increase in ~~the~~exchange ~~average~~and ~~rate~~clearing ~~per~~fee ~~contract~~revenues. ~~traded,~~Exchange ~~which~~and ~~accounted~~clearing ~~for~~fee ~~$22.1 million~~revenues increased from the first quarter of 2006 primarily due to the 24% increase, ~~higher~~in trading ~~volumes~~volume, which accounted for $2125.5 9 million of the increase., ~~Market~~and ~~data~~a ~~revenues~~15% ~~also~~increase ~~contributed~~in tothe ~~our~~average ~~revenues~~rate ~~with~~per acontract traded, which accounted for $1019.74 million of the increase.

- 1617 -

million increase resulting from a price increase for market data in January 2006, as well as a $2.6 million benefit realized from an adjustment that resulted from customer account reviews. Additionally, interest income increased $6.4 million, primarily due to higher invested cash balances and increasing interest rates.

Revenues for the second quarter of 2006 increased $37.9 million to $158.5 million compared with the second quarter of 2005. The increase in revenues in the second quarter of 2006 was primarily due to an increase in the average rate per contract traded, which accounted for $13.5 million of the increase, higher trading volumes, which accounted for $11.5 million of the increase, price increases for market data, which accounted for $5.4 million of the increase, the $2.6 million market data customer review adjustments, and additional interest income of $3.7 million.

The following chart provides revenues by source (in thousands):

	Six Months Ended June 30,						Three Months Ended June 30,
	Three Months Ended March 31,
	2006		2005		% Change		2006		2005		% Change
	2007		2006		% Change
Exchange fees	$	~~174~~117,~~975~~680	$	~~136~~83,~~175~~120	2842	%	$	~~91,855~~	$	~~69,657~~	32	%
Clearing fees		4833,~~597~~973		4323,~~836~~231	1146	%		~~25,366~~		~~22,559~~	12	%
Trading fees		~~223~~151,~~572~~653		~~180~~106,~~011~~351	2443	%		~~117,221~~		~~92,216~~	27	%
Market data		4925,~~929~~082		3623,~~828~~643	366	%		~~26,286~~		~~18,306~~	44	%
Building		115,~~415~~915		115,~~087~~505	37	%		~~5,910~~		~~5,479~~	8	%
Services		84,~~535~~234		74,~~214~~236	180	%		~~4,299~~		~~3,623~~	19	%
Interest		7,846		1,415	454	%		4,363		701	522	%
Other		853		351	143	%
Other		758		489	55	%		407		262	55	%
Total revenues	$	187,737	$	140,086	34	%
Total revenues	$	302,055	$	237,044	27	%	$	158,486	$	120,587	31	%

The following table provides trading fees, which include exchange fees and clearing fees, per reported contract traded at the product and platform levels:

	Six Months Ended June 30,						Three Months Ended June 30,
	Three Months Ended March 31,
	2006		2005		% Change		2006		2005		% Change
	2007		2006		% Change
Interest Rate	$	0.520	$	0.474	10	%	$	0.523	$	0.467	12	%
Interest rate	$	0.552	$	0.517	7	%
Agriculture	$	0.~~677~~966	$	0.~~642~~673	544	%	$	~~0.680~~	$	~~0.643~~	6	%
Equity Index	$	0.734	$	0.606	21	%	$	0.712	$	0.630	13	%
Equity index	$	0.799	$	0.760	5	%
Metals, Energy & Other	$	1.080	$	1.071	1	%	$	0.986	$	1.312	-25	%
Metals, energy & other	$	0.822	$	1.312	-37	%
Total	$	0.558	$	0.503	11	%	$	0.564	$	0.499	13	%
Overall average rate per contract	$	0.633	$	0.552	15	%
e-cbot	$	0.~~499~~587	$	0.~~399~~495	2519	%	$	~~0.503~~	$	~~0.397~~	27	%
open-auction	$	0.515	$	0.487	6	%	$	0.515	$	0.483	7	%
Open-auction	$	0.516	$	0.515	0	%
off-exchange	$	2.434	$	2.259	8	%	$	2.564	$	2.404	7	%
Off-exchange	$	2.821	$	2.296	23	%
Overall average rate per contract	$	0.633	$	0.552	15	%

The average rate per contract traded, which is total trading fees divided by total reported trading volume, for the ~~six~~first ~~months~~quarter ~~ended~~of ~~June 30,~~2007 ~~2006~~ was $0.~~558~~633, 1115% higher than the $0.~~503~~552 average rate per contract traded in the first ~~half~~quarter of ~~2005~~2006. The average rate per contract traded ~~for~~increased in the ~~second~~first quarter of ~~2006~~the ~~was~~current ~~$0.564,~~year ~~13%~~primarily ~~higher~~due ~~than~~to ~~the~~exchange ~~$0.499~~and ~~average~~clearing ~~rate~~fee ~~per~~increases ~~contract~~initiated ~~traded~~ in the ~~second~~third ~~quarter~~and fourth quarters of ~~2005~~2006. ~~The~~Also, the overall average rate per contract ~~traded~~benefited ~~increased~~from ina ~~the~~44% ~~three~~increase ~~and~~in ~~six~~the ~~month~~average ~~periods~~rate ofper ~~the~~contract ~~current~~on ~~year~~Agricultural ~~primarily~~contracts due to ~~exchange~~higher ~~fee~~levels ~~increases initiated in October 2005~~of ~~mainly~~electronic ~~for~~trading ~~U.S.~~of ~~Treasury~~such ~~products traded on e-cbot. Additionally, we have announced exchange fee increases on certain~~ contracts ~~effective~~following in the ~~third~~August 1, ~~quarter of~~ 2006 ~~which~~introduction weof ~~estimate~~electronic ~~will~~trading ~~increase~~of ~~future~~Agricultural ~~average~~futures ~~rate~~during ~~per~~daytime ~~contract~~trading ~~by an additional 5% to 8% assuming similar transaction mix~~hours.

- 17 -

Operating Income

Income from operations increased 88%, or $61.6 million, in the first six months of 2006 compared with the prior year. Operating income from the exchange trading segment increased $60.6 million from the prior year, and operating income from the real estate operations segment increased $1.0 million from a loss of $0.3 million in the first half of 2005.

Income from operations increased 116%, or $39.1 million, in the second quarter of 2006 compared with the second quarter of 2005. Operating income from the exchange trading segment increased $37.8 million from the prior year, and operating income from the real estate operations segment increased $1.3 million from a loss of $0.4 million in the second quarter of 2005.

The exchange trading segment increases in both the year-to-date and quarter periods of 2006 were largely the result of increases in exchange fee rates, trading volume and market data prices, partially offset by moderate baseline expense growth. The real estate operations segment increases were primarily the result of modest increases in building lease revenues coupled with slightly lower building overhead costs.

Expenses

Operating expenses increased 216% in the ~~six~~first ~~months~~quarter ~~ended~~of ~~June 30,~~2007 ~~2006~~ compared with the ~~same~~first ~~period~~quarter of ~~2005~~2006. ~~Operating~~ Operating expenses as a percent of total revenues decreased from 7160% in the first ~~half~~quarter of ~~2005~~2006 to 5752% in the first ~~half~~quarter of ~~2006~~2007, resulting in an operating margin of 4348% in the first ~~half~~quarter of ~~2006~~2007 compared with 2940% in the first ~~half~~quarter of ~~2005~~2006. Operating expenses in the first quarter of 2007 included $13.0 million of professional expenses related to the merger agreement with CME and, to a lesser extent, the March 15, 2007 unsolicited proposal from ICE.

Operating expenses decreased 1% in the second quarter of 2006 compared with the second quarter of 2005. Operating expenses as a percent of total revenues decreased from 72% in the second quarter of 2005 to 54% in the second quarter of 2006, resulting in an operating margin of 46% in the second quarter of 2006 compared with 28% in the second quarter of 2005.

Our 2006 year-to-date and second quarter revenue growth was primarily driven by increased exchange fees, increased trading volume and increased market data fees. Our operating margins increased in the year-to-date and quarter periods because our operating expenses were relatively unchanged. Our operating expense levels were able to be maintained because our revenue growth drivers only marginally increased expenses. For instance, the increases in trading volume led to a 10% and 12% increase in our volume-based expenses in the year-to-date and quarter periods, respectively. Volume-based expenses, however, only constituted approximately 25% of total operating expenses in each period. The other revenue growth drivers, increased exchange fees and market data fees, had no direct effect on operating expenses.

- 18 -

The following chart illustrates operating expenses and income from operations in total and as a percent of total revenues (in thousands):

	Six Months Ended June 30,								Three Months Ended June 30,
	Three Months Ended March 31,
	2006			2005			% Change		2006			2005			% Change
	2007			2006			% Change
Total revenues	$	~~302~~187,~~055~~737		$	~~237~~140,~~044~~086		2734	%	$	~~158,486~~		$	~~120,587~~		31	%
Expenses:
Clearing services		3721,~~513~~796			3318,~~894~~023		1121	%		~~19,490~~			~~17,378~~		12	%
Contracted license fees		32,~~652~~119			31,~~405~~738		722	%		~~1,914~~			~~1,780~~		8	%
Volume-based expenses		4123,~~165~~915			3719,~~299~~761		1021	%		~~21,404~~			~~19,158~~		12	%
Salaries and benefits		3820,~~130~~487			3619,~~535~~102		47	%		~~19,028~~			~~17,902~~		6	%
Depreciation and amortization		2811,~~875~~520			2814,~~045~~086		3-18	%		~~14,789~~			~~14,231~~		4	%
Professional services		8,497			9,150		-7	%		4,558			4,558		0	%
Professional services (net of merger related)		3,684			3,939		-6	%
General and administrative expenses		94,~~622~~477			105,~~089~~076		-512	%		~~4,546~~			~~5,167~~		~~-12~~	%
Building operating costs		126,~~605~~420			136,~~152~~603		-43	%		~~6,002~~			~~6,514~~		-8	%
Information technology services		2411,~~115~~772			2212,~~069~~230		9-4	%		~~11,885~~			~~11,392~~		4	%
Programs		52,~~713~~991			52,~~105~~627		1214	%		~~3,086~~			~~3,089~~		0	%
Interest		973			1,718		-43	%		388			796		-51	%
Baseline expenses		61,351			63,663		-4	%
Baseline expenses		128,530			125,863		2	%		64,282			63,649		1	%
Merger related expenses in professional services		12,970			—
Litigation		—			4,000		n/a			—			4,000		—
Severance and related costs		(18	)		1,036
Severance and related costs		1,014			164		518	%		(22	)		50		-144	%
Other expenses		12,952			1,036		1150	%
Other expenses		1,014			4,164		-76	%		(22	)		4,050		-101	%
Operating expenses		98,218			84,460		16	%
Operating expenses		170,709			167,326		2	%		85,664			86,857		-1	%
Income from operations	$	89,519		$	55,626		61	%
Income from operations	$	131,346		$	69,718		88	%	$	72,822		$	33,730		116	%
	As a % of Revenue
	As a % of Revenues								As a % of Revenues
Volume-based expenses		13	%		14	%
Volume-based expenses		14	%		16	%				14	%		16	%
Baseline expenses		32	%		45	%
Baseline expenses		43	%		53	%				41	%		53	%
Other expenses		7	%		1	%
Other expenses		0	%		2	%				0	%		3	%
Operating expenses		52	%		60	%
Operating expenses		57	%		71	%				54	%		72	%
Operating Margin		48	%		40	%
Operating Margin		43	%		29	%				46	%		28	%

Volume-based Expenses

Volume-based expenses increased $34.92 million, or 1021%, in the first ~~half~~quarter of ~~2006,~~2007 ~~and~~versus ~~$2.2 million, or 12%, in~~ the ~~second~~first quarter of 2006 ~~versus the same prior year periods~~. ~~Since~~These ~~these~~ expenses are tied to our trading volume, weso ~~expect~~the ~~increases~~increase in volume-based expenses ~~during~~is ~~periods~~in ofline with ~~trading~~our ~~volume~~24% ~~growth~~increase ~~like we experienced~~ in ~~both~~trading ~~the year-to-date and quarter periods~~volume. The average volume-based expense per contract was generally consistent between the periods at $0.~~103~~100 and $0.~~104~~103 per contract in the ~~2006~~first ~~and~~quarters ~~2005~~of ~~periods~~2007 and 2006, respectively.

Baseline Expenses

Baseline expenses ~~increased~~decreased $2.7 3 million, or 24%, in the first ~~half~~quarter of ~~2006~~2007 ~~and~~versus ~~fell~~the tofirst ~~43%~~quarter of ~~total~~2006. ~~revenues~~In ~~from 53% of total revenues in~~ the first ~~half~~ quarter of ~~2005.~~2007, ~~Baseline~~these expenses ~~increased~~decreased ~~$0.6~~to ~~million, or 1~~32% ~~in the second quarter~~ of ~~2006 and were 41% of~~ total revenues ~~versus~~from 5345% of total revenues in the ~~second~~first quarter of ~~2005~~2006. Within baseline expenses ~~for the year-to-date period~~, ~~information~~ ~~technology~~depreciation ~~services~~and ~~expense~~amortization ~~increased~~decreased $2.06 million ~~year-to-date~~ and ~~$0.5 million in the second quarter and~~ salaries and benefits increased $1.64 million ~~year-to-date and $1~~.1 million in the second quarter. Baseline expenses in the first half of 2006 included $0.7 million of non-cash, stock-based compensation expense for stock grants made to our board of directors and $0.9 million of stock-based compensation for employee stock awards. The director stock compensation, which is included in professional services, was all recorded during the second quarter, while $0.5 million of the year-to-date employee stock-based compensation was recorded during the second quarter and is included in salaries and benefits. There was no stock-based compensation expense in the prior year periods.

The salary and benefits increases were the result of increased incentive pay accruals and stock-based compensation. Incentive pay accruals were $0.6 million higher in the 2007 quarterly period, as a result of incentive programs tied to the improved financial performance of the company. Non-cash, stock-based compensation was $0.8 million in the three months ended March 31, 2007 versus $0.4 million in the prior year period.

The decrease in depreciation and amortization expense in the first quarter was due to the effect of assets that became fully-amortized in the fourth quarter of 2006. Approximately $26.3 million of software related to the

- 19 -

~~The~~ Company’s ~~increases~~fourth inquarter ~~information~~2003 ~~technology~~conversion ~~services~~to ~~expense~~e-cbot ~~were~~and ~~primarily~~ the ~~result~~Common ofClearing ~~increased maintenance~~Link ~~charges~~became ~~for~~fully ~~our~~depreciated ~~hardware~~during ~~and~~the ~~software~~fourth ~~systems~~quarter onof ~~the~~2006, ~~technology~~resulting ~~supporting~~in a ~~our~~decrease ~~trading~~in ~~platforms.~~depreciation ~~Such~~and ~~costs~~amortization ~~increased~~expense of approximately $2.32 million in the ~~year-~~first quarter of 2007 compared to~~-date~~ ~~period~~the ~~and~~first $1quarter of 2006.2 ~~million~~Also, our capital spending has decreased in ~~the~~recent ~~second~~quarters, ~~quarter~~which has further decreased our level of depreciation and amortization expense.

The salary and benefits increases were the result of increased incentive pay accruals, higher health care costs and the stock-based compensation discussed above. These increases were offset to a degree by lower salary costs. Accrued incentives were $0.9 million and $0.6 million higher in the year-to-date and quarter periods, respectively, as a result of incentive programs tied to financial performance of the company. Health care costs increased $0.5 million and $0.2 million in the year-to-date and quarter periods, respectively, due to an increased level of medical claims under our self-funded health insurance policies. Salary costs decreased $2.1 million and $1.1 million in the year-to-date and quarter periods, respectively, as a result of a workforce reduction related to a realignment of our technology resources completed at the end of 2005.

Other Expenses

In the first quarter of ~~2006~~2007, we ~~increased~~ anincurred ~~accrual~~approximately ~~for severance costs by~~ $113.0 million ~~related~~of toexpense afor ~~retirement~~legal ~~agreement~~and ~~entered~~advisory ~~into~~services inrelated ~~March~~to ~~2006 with our former general counsel. We expect that~~ the ~~majority~~CME ofmerger ~~this~~agreement ~~accrual~~and, ~~will~~to bea ~~paid~~lesser inextent, ~~2006. In~~ the ~~second~~March 15, ~~quarter~~2007 ~~of 2005,~~unsolicited weproposal ~~recognized~~from ~~litigation~~ICE. ~~settlement~~The ~~expense~~balance of ~~$4.0~~professional ~~million~~services ~~which~~(included ~~represented the payments made to plaintiffs’ lawyers~~ in anbaseline ~~agreement~~expenses) ~~made~~was torelatively ~~settle~~consistent abetween ~~lawsuit~~the ~~brought~~periods. byIn ~~certain~~the ~~members~~first quarter of ~~the~~2006, ~~CBOT~~we ~~relating~~recorded toseverance ~~the~~costs ~~proposed allocation~~ of ~~equity in~~$1.0 ~~our~~million ~~restructuring~~related to a ~~for-profit,~~retirement ~~stock~~agreement entered ~~company.~~into Noin ~~further~~March ~~payments~~2006 bywith ~~the~~our ~~CBOT~~former ~~are~~general ~~required under the settlement agreement~~counsel.

Income Taxes

The effective income tax rate for ~~both~~ the ~~six months and~~ quarter ended ~~June~~March 3031, ~~2006~~2007 was 4042%. ~~The~~and the effective income tax rate for the ~~six months and~~ quarter ended ~~June~~March 3031, 2006 ~~2005~~ was 4440% ~~and 46%~~, ~~respectively.~~essentially ~~The effective tax rates in 2005 were higher than~~ our ~~40%~~ combined federal and state statutory ~~tax~~ rate. ~~because~~The ofrate in the ~~$4.0~~current ~~million~~period ~~litigation~~is ~~settlement~~higher ~~expense~~than ~~which was~~our ~~not~~statutory ~~deductible~~rates ~~for~~due ~~tax~~to ~~purposes. Also,~~ the ~~2005 year~~non-~~to-date~~deductibility ~~and~~of ~~second~~certain ~~quarter~~expenses, ~~periods~~primarily ~~included approximately $2.6 million and $1.2 million of costs~~ merger-related ~~to our restructuring process that were not deductible for tax purposes~~expenses.

Liquidity and Capital Resources

Our operations are the major source of our liquidity. Cash requirements principally consist of operating expenses, ~~scheduled debt repayments,~~ and capital expenditures for technology enhancements and building improvements.

At ~~June~~March 3031, ~~2006~~2007, cash and cash equivalents were $65187.9 million versus $~~101~~179.32 million at December 31, ~~2005~~2006. When combined with short-term investments, which are comprised of U.S. Treasury securities with maturities between 91 days and one year, these current assets totaled $~~393~~550.92 million at ~~June~~March 3031, ~~2006~~2007, a $5258.76 million increase from $~~341~~491.26 million at December 31, ~~2005~~2006. ~~The~~ The increase in cash, cash equivalents and short-term investments during the first ~~half~~three months of ~~2006~~2007 was primarily the result of $6873.32 million of cash from operations, partially offset by $10.7 million of debt repayments and $102.9 million of ~~capital~~ capital expenditures.

Working capital at ~~June~~March 3031, ~~2006~~2007 increased $8158.38 million from December 31, ~~2005~~2006 to a balance of $~~388~~543.0 million. The increase in working capital was primarily a result of the increase in cash, cash equivalents and short-term investments, as described above, ~~as well as~~ an increase in accounts receivable of $2216.38 million related to higher revenues in the ~~second~~first quarter of ~~2006~~2007 compared with the fourth quarter of ~~2005~~2006 and a decrease in the current portion of debt payable of $10.7 million due to the final payment on outstanding debt. These increases to working capital were offset in part by a $24.9 million increase in income taxes payable related to improved earnings and a $9.1 million increase in accounts payable due to increased accruals for merger-related legal and advisory services.

Property and equipment, net of accumulated depreciation, was $~~236~~215.98 million, a an $~~17.~~8.5 million decrease from December 31, ~~2005~~2006. The decrease in property and equipment reflects recorded depreciation of $2811.64 million offset by capital ~~acquisitions~~expenditures of $102.9 million. ~~Capital expenditures in 2006 currently are expected to total approximately $30 to $35 million.~~

We anticipate that current cash balances and future funds generated through operations will be sufficient to meet cash requirements for operations and capital expenditures, currently and for the foreseeable future. If we were to experience a significant reduction in our cash flows from operations, we believe we currently have a variety of options for raising capital for short-term cash needs, such as reducing short-term investments or making private or public offerings of our securities.

Net Cash Flows From Operating Activities

Net cash provided by operating activities totaled $73.2 million and $46.8 million for the first three months of 2007 and 2006, respectively. Cash provided by operations in 2007 primarily consisted of $55.4 million of net income

- 20 -

We adjusted ~~anticipate~~for ~~that current~~ non-cash ~~balances~~items ~~and~~including ~~future~~$11.5 ~~funds~~million ~~generated~~of ~~through~~depreciation ~~operations~~and ~~will~~amortization ~~be sufficient to meet cash requirements for operations, capital expenditures~~ and ~~scheduled~~the ~~debt~~effects ~~repayments,~~of ~~currently and for~~ the ~~foreseeable future~~$16.8 Ifmillion weincrease ~~were~~in toaccounts ~~experience~~receivable, $24.9 amillion ~~significant~~increase ~~reduction~~ in ~~our~~income ~~cash~~taxes ~~flows~~payable ~~from~~and ~~operations,~~$9.1 wemillion ~~believe~~increase wein ~~currently~~accounts ~~have a~~payable ~~variety~~discussed ofabove. ~~options~~Cash ~~for~~provided ~~raising~~by ~~capital~~operations ~~for~~in ~~short-term~~2006 ~~cash~~primarily ~~needs,~~consisted ~~such~~of as$35.1 ~~utilizing~~million ~~our revolving line~~ of ~~credit,~~net ~~reducing~~income ~~short-term~~adjusted ~~investments~~for ordepreciation ~~making~~and ~~private~~amortization ~~or public offerings~~ of ~~our securities~~$14.1 million.

Net Cash Flows From Operating Activities

Net cash provided by operating activities totaled $68.3 million and $68.0 million for the first six months of 2006 and 2005, respectively. Cash provided by operations in 2006 primarily consisted of $78.6 million of net income adjusted for non-cash items including $28.9 million of depreciation and amortization, as well as by a $22.3 million increase in accounts receivable, an $8.2 decrease in accounts payable and a $4.8 million decrease in deferred revenues. Cash from operations was relatively flat between the first six months of 2006 and 2005, even though net income increased $39.5 million, due to cash timing differences in relation to receivables, prepaid expenses, payables and accrued expenses.

Net Cash Flows Used in Investing Activities

Net cash used in investing activities totaled $9353.08 million and $4432.15 million in the first ~~six~~three months of ~~2006~~2007 and ~~2005~~2006, respectively. Cash used for investing in 2007 primarily consisted of $48.7 million of purchases of short-term investments (net of maturities) and capital expenditures of $2.9 million. Cash used for investing in 2006 primarily consisted of a $8615.82 million increase in restricted cash, $13.0 million of purchases of short-term investments (net of maturities) and capital expenditures of $104.92 million.

Capital Expenditures

Approximately $61.54 million ofand ~~capital~~$2.2 ~~expenditures~~million inof the ~~first~~capital ~~six~~expenditures ~~months of 2006~~ related to real estate projects for building renovations and tenant ~~space~~ space improvements. ~~The balance of capital expenditures~~ in ~~2006 related primarily to~~ the ~~technology supporting our trading platforms. Capital expenditures in the~~ first ~~half~~quarter of ~~2006~~2007 ~~were~~and $82006, respectively.8 ~~million~~The ~~less~~balance ~~than~~of ~~in 2005 primarily because~~ capital expenditures in ~~the~~each ~~first~~period ~~half~~related ofprimarily ~~2005~~to ~~included~~the antechnology ~~upgrade~~supporting to our ~~electronic~~ trading ~~platform~~platforms.

Net Cash Flows Used in Financing Activities

Net cash used in ~~investing~~financing activities totaled $10.7 million ~~and~~in ~~$10.6~~each ~~million~~of in the first ~~six~~quarters ~~months~~ of ~~2006~~2007 and ~~2005~~2006, ~~respectively,~~ and primarily related to scheduled debt repayments.

Long-Term and Short-Term Debt

~~Total~~The ~~debt at June 30, 2006 was~~ $~~20.0 million, comprised of $~~10.7 million ofdebt ~~senior~~payment ~~notes and $9.3 million (5.0 million pounds sterling) due to AEMS under a financing agreement, which is denominated~~ in ~~pounds sterling, related to~~ the ~~development~~first quarter of ~~e-cbot~~2007 inrepresented ~~2003.~~the ~~The~~ final ~~payments~~payment on ~~the~~ senior notes,. ~~which~~As ~~bear interest at a rate~~ of ~~6.81%~~March 31, ~~are due in the first quarter of~~ 2007~~. The final~~, ~~payments on~~ the ~~financing~~Company ~~agreement~~had ~~are~~no ~~due~~outstanding indebt ~~installments through October 2006~~obligations. ~~Interest on the financing agreement was prepaid at the time of the borrowing at an effective rate of approximately 5.6%.~~

Critical Accounting Policies

The preparation of the unaudited consolidated financial statements in conformity with accounting principles generally accepted in the U.S. requires management to make estimates and assumptions that affect the reported amounts in the financial statements. Actual amounts could differ from those estimates. A summary of the critical accounting policies that we believe are important to understanding our financial results is included in our Annual Report on Form 10-K for the year ended December 31, ~~2005~~2006 under the heading “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies” and in the audited financial statements and related notes included in the Form 10-K. Other than the adoption of FIN 48 discussed in Recent Accounting Practices, which follows, there have been no material changes to these critical accounting policies that impacted our reported amounts of assets, liabilities, revenues or expenses during the first quarter of 2007.

Recent Accounting Policies

In July 2006, the Financial Accounting Standards Board (“FASB”) issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes—an interpretation of FASB Statement No. 109,” which clarifies the accounting for uncertainty in tax positions. FIN 48 seeks to reduce the diversity in accounting practices used in regards to uncertain tax positions by prescribing a recognition threshold and measurement criteria for benefits related to income taxes. FIN 48 allows companies to recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained upon examination by the relevant taxing authority on the basis of the technical merits of the positions. The tax benefit recognized represents the largest amount that is greater than 50% likely of being ultimately realized. A liability is required to be recognized for any tax benefit claimed, or expected to be claimed, in a tax return in excess of the benefit recorded in the financial statements, along with any interest and penalty (if applicable) on the excess. The provisions of FIN 48 became effective for all reporting periods beginning after December 15, 2006. Accordingly, CBOT Holdings adopted FIN 48 effective January 1, 2007.

- 21 -

Upon adopting FIN 48, CBOT Holdings recorded a $2.2 million liability for unrecognized tax benefits ~~Condition~~related to uncertain tax positions, $1.5 million of which reduced the January 1, 2007 balance of retained earnings and ~~Results~~$0.7 million of ~~Operations~~which –decreased ~~Critical~~long-term ~~Accounting~~deferred ~~Policies”~~tax liabilities. As of January 1, 2007, CBOT Holdings had $1.9 million of unrecognized tax benefits and in$0.3 ~~the~~million ~~audited~~of ~~financial~~accrued ~~statements~~interest and penalty related ~~notes~~to ~~included~~unrecognized intax ~~the Form 10-K~~benefits. ~~There~~CBOT ~~have~~Holdings ~~been~~classifies nointerest ~~material~~expense ~~changes~~and penalties related to ~~these~~unrecognized ~~critical~~tax ~~accounting~~benefits ~~policies~~as ~~that~~components ~~impacted~~of ~~our~~income ~~reported~~tax expense. ~~amounts~~The total amount of ~~assets~~unrecognized tax benefits that, ~~liabilities~~if recognized, ~~revenues~~would oraffect ~~expenses~~CBOT ~~during~~Holdings’ effective tax rate was $1.5 million. It is reasonably possible that the ~~first~~amount ~~six~~of unrecognized tax benefits will change in the next 12 months; ofhowever, ~~2006~~based on the information currently available, it is not expected that any change would be significant.

In February 2007, the FASB issued SFAS No. 159, The Fair Value Option for Financial Assets and Financial Liabilities—Including an amendment of FASB Statement No. 115, which permits measurement of financial instruments and other certain items at fair value. SFAS No. 159 does not require any new fair value measurements. SFAS No. 159 is effective for financial statements issued for fiscal years beginning after November 15, 2007. Early adoption is permitted provided that SFAS No. 157 is concurrently adopted. It is not anticipated that the adoption of SFAS No. 159 will have a significant impact on our financial position or results of operations.

Forward-Looking Statements

We have included in Parts I and II of this Quarterly Report on Form 10-Q, and from time to time our management may make, statements which may constitute “forward-looking statements” within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. These forward-looking statements are not historical facts but instead represent only our belief regarding future events, many of which, by their nature, are inherently uncertain and outside of our control. It is possible that our actual results may differ, possibly materially, from the anticipated results indicated in these forward-looking statements. Important factors that could cause actual results to differ from those in forward-looking statements include the risks and uncertainties identified in our reports and other filings made with the SEC, including those discussed under “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K and those discussed under Part II, Item 1A of this report. These risks and uncertainties are not exhaustive however, and new risks and uncertainties may emerge from time to time.

In some cases, you can identify forward-looking statements with terminology such as “may”, “~~will~~should”, “~~should”, “~~expects”, “intends”, “plans”, “anticipates”, “believes”, “estimates”, “predicts”, “potential”, “continue”, “pending” or the negative of these terms or other comparable terminology. These statements are only predictions. You should not place undue reliance on forward-looking statements which speak only as of the date of this Report. Actual events or results may differ materially and we undertake no onongoing ~~going~~ obligation, other than that imposed by law, to update these statements.

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Market Risk

We provide markets for trading futures and options on futures. However, we do not trade futures and options on futures for our own account. We invest available cash in short-term U.S. Treasury securities, as well as other highly liquid, short-term investments. We do not believe there is significant risk associated with these short-term investments. Our long-term debt bears interest at a weighted-average fixed rate of 6.4%. Based on the terms of our existing long-term debt and the terms currently available for similar borrowings, management estimates the fair value of the long-term debt approximates the carrying value.

Foreign Currency Risk

We have arrangements related to the provision of our electronic trading software, which obligate us to make payments denominated in pounds sterling. As a result, we are exposed to movements in foreign currency exchange rates. We engage in foreign currency hedging activities in order to reduce our risk from movements in foreign currency exchange rates where practicable to do so. However, where we are not able to enter into foreign currency hedging transactions on terms satisfactory to us, we retain risk associated with movements in foreign currency exchange rates.

The primary purpose of our foreign currency hedging activities is to manage the volatility associated with foreign currency purchases of materials and services and liabilities created in the normal course of our business. We do not rely on economic hedges to manage risk.

We enter into forward contracts when the timing of the future payment is certain. When the exact foreign currency amount is known, such as under fixed service agreements, we treat this as a firm commitment and identify the hedge instrument as a fair value hedge. When the foreign currency amount is variable, such as under variable service agreements, we treat this as a forecasted transaction and identify the hedge instrument as a cash flow hedge. At the time we enter into a forward contract, the forecasted transaction or firm commitment is identified as the hedged item and the forward contract is identified as the hedge instrument. We measure hedge ineffectiveness using the forward rates for hedges at each reporting period. In all forward contracts, the critical terms of the hedging instrument and the hedged item match. At each reporting period we verify that the critical terms of the contract continue to be the same.

-We 22currently -utilize foreign currency forward contracts that we identified as fair value hedges. These are intended to offset the effect of exchange rate fluctuations on firm commitments for purchases of fixed annual and quarterly services denominated in pounds sterling. These contracts had notional amounts approximating $24.3 million (14.3 million pounds sterling) at March 31, 2007. The fair value of these contracts, which was $3.6 million at March 31, 2007, is recorded in accounts receivable. Gains and losses on these hedge instruments, as well as the gains and losses on the underlying hedged item, offset each other and were therefore zero in the first quarter of 2007. There were no gains or losses recorded on these fair value hedges related to hedge ineffectiveness.

We currently utilize foreign currency forward contracts that we identified as fair value hedges. These are intended to offset the effect of exchange rate fluctuations on firm commitments for purchases of fixed annual and quarterly services denominated in pounds sterling. These contracts had notional amounts approximating $38.5 million (22.6 million pounds sterling) at June 30, 2006. The fair value of these contracts, which was $3.2 million at June 30, 2006, is recorded in accounts receivable. Gains and losses on these hedge instruments, as well as the gains and losses on the underlying hedged item, offset each other and were therefore zero in the first six months of 2006. There were no gains or losses recorded on these fair value hedges related to hedge ineffectiveness.

We also utilize foreign currency forward contracts that are intended to offset the effect of exchange rate fluctuations on recorded debt that is denominated in pounds sterling. These contracts, which are not designated as hedges under FASB Statement No. 133, had notional amounts approximating $8.6 million (5.0 million pounds sterling) at June 30, 2006. Gains and losses on these hedge instruments, as well as the gains and losses on revaluing the recorded debt were recognized in general and administrative expense.

ITEM 4. CONTROLS AND PROCEDURES

We maintain a system of disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended) designed to provide reasonable assurance that information we are required to disclose in the reports that we file or submit under the Securities Exchange Act of 1934, as amended, is (i) recorded, processed, summarized and reported within the time periods specified in SEC’s rules and forms and (ii) accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosures.

CBOT Holdings’ management, under the supervision and with the participation of the President and Chief Executive Officer and the Chief Financial Officer, evaluated the effectiveness of our disclosure controls and procedures as of the end of the period covered by this report. Based on this evaluation, the President and Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were effective at the reasonable assurance level as of the end of the period covered by this report.

There were no changes in our internal control over financial reporting during our most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II - OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

WeLitigation ~~provided~~with aEurex ~~discussion~~US: ofOn ~~all~~October 15, ~~material~~2003, ~~pending~~Eurex ~~litigation~~US ~~matters~~filed ~~relating to~~an ~~CBOT~~antitrust ~~Holdings~~action ~~Inc.~~ in ~~Item 3~~federal ofcourt ~~Part~~against Ithe ofCBOT ~~our~~and ~~Annual~~the ~~Report~~CME onalleging ~~Form~~that ~~10-K for~~ the ~~year~~companies ~~ended~~illegally ~~December 31,~~attempted ~~2005~~to ~~and~~block inits ~~our~~entrance ~~Quarterly~~into ~~Report~~the onU.S. ~~Form~~market ~~10-Q~~and ~~for~~charging the ~~three~~CBOT ~~months~~and ~~ended~~the ~~March 31,~~CME ~~2006~~with ~~filed~~having ~~with~~violated the ~~SEC.~~Sherman ~~For~~Act, ~~the~~among ~~three~~other ~~months~~things, by ~~ended~~offering ~~June 30,~~financial ~~2006~~inducements, ~~there~~valued ~~were~~at noover ~~material~~$100 ~~developments~~million, ~~with~~to ~~regard~~stockholders toof ~~our~~The ~~previously~~Clearing ~~reported~~Corporation ~~matters~~to ~~and~~vote noagainst ~~other~~a ~~matters~~proposed ~~were~~restructuring ~~reportable~~of ~~during~~The ~~the~~Clearing ~~period~~Corporation. InEurex ~~addition~~subsequently toamended ~~the~~its ~~matters~~complaint ~~described~~to inmake ~~our~~additional ~~SEC filings~~charges, including ~~from~~a ~~time~~claim tothat ~~time~~the weCBOT ~~are involved~~and inthe ~~various~~CME ~~legal~~misrepresented ~~proceedings~~Eurex’s ~~arising~~qualifications in ~~the~~their ~~ordinary~~lobbying ~~course~~ of ~~our~~Congress ~~business.~~and Wethe doCFTC. Eurex ~~not~~seeks treble ~~believe,~~damages under ~~based~~the onantitrust ~~currently available information~~laws, ~~that~~injunctive relief enjoining the ~~results~~alleged antitrust ofviolations ~~any~~and ofcompensatory ~~these~~and ~~proceedings~~punitive ~~will~~damages ~~have~~for aalleged ~~material~~tortious ~~adverse~~interference ~~effect~~with onprospective ~~our~~business ~~operating results or financial condition~~opportunities.

On December 12, 2003, the CBOT filed in the U.S. District Court for the District of Columbia a motion to dismiss the amended complaint and a motion to transfer the action to the U.S. District Court for the Northern District of Illinois. On September 2, 2004, the United States District Court for the District of Columbia granted the CBOT’s motion to transfer the case to the United States District Court for the Northern District of Illinois. The court denied the CBOT’s motion to dismiss as moot in light of its ruling on the transfer motion. Eurex filed a second amended complaint in the Northern District of Illinois in late March 2005. In addition to the allegations in Eurex’s previous complaints, that complaint alleges, among other things, that the CBOT engaged in predatory pricing and, together with the CME, engaged in a campaign to block regulatory approval of the Eurex proposed Global Clearing Link between the Clearing Corporation, Eurex’s U.S. clearing house in Chicago and Eurex Clearing in Frankfurt. On June 6, 2005, the CBOT and CME filed a joint motion to dismiss the second amended complaint, which the court denied on August 22, 2005. On October 5, 2005, the CBOT filed its answer and defenses to the second amended complaint. Currently, the parties are engaged in discovery.

Litigation with Chicago Board Options Exchange, Inc.: On August 23, 2006, CBOT Holdings and CBOT, along with a class consisting of certain CBOT full members, filed a lawsuit in the Court of Chancery of the State of Delaware against the CBOE. The lawsuit seeks to enforce and protect the CBOE exercise rights. The lawsuit alleges that these exercise rights allow CBOT’s full members who hold them to become full members of CBOE and to participate on an equal basis with other members of CBOE in CBOE’s announced plans to demutualize. The lawsuit is consistent with the Company’s previously stated intention to vigorously defend the rights of CBOT’s full members who are eligible to participate in CBOE’s demutualization. On January 4, 2007, the plaintiffs filed a Second Amended Complaint, in which they added a count seeking a declaration that, contrary to the position taken by the CBOE before the SEC, the merger between CBOT Holdings and CME Holdings would not result in the termination of the exercise rights. The lawsuit seeks declaratory and injunctive relief as well as recovery of attorneys’ fees. On January 11, 2007, the plaintiffs filed a motion for partial summary judgment. On January 16, 2007, the defendants filed a motion to dismiss the Second Amended Complaint. Both motions are presently pending.

- 24 -

We also provided a discussion of all material pending litigation matters relating to CBOT Holdings, Inc. in Item 3 of Part I of our Annual Report on Form 10-K for the year ended December 31, 2006. For the three months ended March 31, 2007, there were no material developments with regard to our previously reported matters and, except as described above, no other matters were reportable during the period. In addition to the matters described in our SEC filings, from time to time we are involved in various legal proceedings arising in the ordinary course of our business. Management believes that the ultimate outcome of these proceedings will not have a material adverse effect on our financial position, although an adverse determination could be material to our results of operations or cash flows in any particular period.

ITEM 1A. RISK FACTORS

Our business faces significant risks. We provide a discussion of the risk factors that may affect our business in “Management’s Discussion and Analysis of Financial Condition and Results of Operations — Forward-Looking Statements” in Part I, Item 2 of this Form 10-Q, ~~and~~ in Part II, Item 7 of our Annual Report on Form 10-K for the year ended December 31, ~~2005.~~2006 ~~There~~and ~~have~~in ~~been~~our noproxy ~~material~~statement ~~changes~~filed ~~from~~with the ~~risk~~SEC ~~factors~~on ~~previously~~March 2, ~~disclosed~~2007 inrelating ~~our~~to ~~Annual~~the ~~Report~~proposed onCME ~~Form 10-K~~merger. The risks described below update and should be read in ~~our~~conjunction ~~Annual~~with the risk factors described in the preceding sentence. The risk factors described in this Report, onin ~~Form~~our 2006 Form 10-K and in our proxy statement filed on March ~~are~~2, 2007 may not be the only risks ~~facing~~we ~~our company however~~face. Additional risks ~~and~~that ~~uncertainties~~we do not ~~currently~~yet ~~known~~know ~~to us~~ of or that we currently ~~deem~~think toare be immaterial may also ~~may~~impair inour business operations. If any of the ~~future~~following ~~materially~~risks ~~adversely~~actually ~~affect~~occur, our business, ~~operating~~financial condition, results ~~and/~~of operations or ~~financial~~prospects ~~condition~~could be affected materially.

There are significant risks and uncertainties associated with our proposed merger with the CME.

There are significant risks and uncertainties associated with our proposed merger with the CME. For example, the acquisition may not be consummated, or may not be consummated by mid 2007 as currently anticipated, as a result of several factors, including but not limited to: (i) the inability to obtain regulatory approvals of the merger, or to obtain such approvals on the currently proposed terms; or (ii) the failure of the shareholders of the CME, or the shareholders and members of the Company, to approve the merger. In addition, one of the conditions to the closing of the CME merger is that there is no injunction issued by any court prohibiting the consummation of the merger. We cannot assure you that the LAMPERS purported class action lawsuit described in this Form 10-Q, or any other potential litigation filed in connection with or relating to the proposed CME merger, will not result in such an injunction being issued, which could prevent or delay a closing of the CME merger. Under certain circumstances, if the merger agreement with the CME is terminated, we may be required to pay the CME a termination fee of $240.0 million and reimburse the CME for up to $6.0 million in expenses.

The merger agreement also restricts us from engaging in certain activities and taking certain actions without the CME’s approval, which could prevent us from pursuing opportunities that may arise prior to a closing of the merger.

Furthermore, the combined company may fail to realize the growth opportunities and the anticipated benefits to be derived from the combined businesses. There can be no assurances that our systems, policies or procedures will be integrated successfully with CME. There also can be no assurance that we will be able to successfully and timely integrate our operations, products, services or technology with CME. There also may be delays, complications and expenses relating to such integration. If we are not able to successfully combine our businesses, the anticipated benefits from the transaction may not be realized fully or at all or may take longer to realize than expected. It is possible that the integration process could result in the loss of key employees of the CME or the Company, or that the disruption of our business or the ongoing business of the CME due to the merger could adversely affect our ability to maintain relationships with customers or suppliers. Finally, management’s present expectations of future results may be modified or revised as a result of the foregoing matters.

- 25 -

Our business could be adversely impacted as a result of uncertainty related to the proposed merger with the CME and the unsolicited proposal from ICE.

The proposed merger with the CME and the unsolicited proposal from ICE could cause disruptions in our business, which could have an adverse effect on our results of operations and financial condition. For example:

•

our employees may experience uncertainty about their future roles at the Company, which might adversely affect our ability to retain and hire key managers and other employees;

•

customers and suppliers may experience uncertainty about the Company’s future and may seek alternative business relationships with third parties or seek to alter their business relationships with the Company; and

•

the attention of our management may be directed to transaction-related considerations and may be diverted from the day-to-day operations of our business.

In addition, we have incurred, and will continue to incur, significant fees for professional services and other transaction costs in connection with the proposed CME merger and our review of the unsolicited proposal from ICE, and many of these fees and costs are payable by us regardless of whether we consummate a transaction. We will also incur legal fees and other costs in connection with the LAMPERS purported class action lawsuit described in this Form 10-Q.

Additional risks and uncertainties which could affect CBOT Holdings, the CBOT and members of CBOT in connection with the proposed merger with CME are discussed in detail under the heading “Risk Factors” in the proxy statement filed by CBOT Holdings with the SEC on March 2, 2007.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

None.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

~~The~~Our ~~2006~~2007 ~~annual~~Annual ~~meeting~~Meeting of ~~shareholders~~Stockholders ~~of CBOT Holdings, Inc.~~ was held on May 21, ~~2006~~2007. ~~Proxies~~At ~~for~~ the 2007 Annual Meeting, ~~were~~eight ~~solicited~~Class ~~pursuant~~2 todirectors ~~Regulation~~were 14elected ~~under~~to ~~the~~serve ~~Securities~~a ~~Exchange~~two-year ~~Act~~term ofexpiring ~~1934~~in ~~and~~2009. ~~there~~Of ~~was~~the noeight ~~solicitation~~directors inelected ~~opposition~~at to the ~~Company’s~~Annual ~~nominees~~Meeting, ~~for election~~five aswere ~~directors.~~“Parent ~~All~~Directors” ~~six~~elected ~~nominees~~by ~~named~~the holders inof ~~the~~our ~~Company’s~~Class A ~~proxy~~common ~~statement~~stock, and three were “Subsidiary Directors” elected by the ~~holders~~CBOT ofSubsidiary ~~the~~Voting ~~Company’s~~Trust, ~~Class~~as Athe ~~common~~sole ~~stock~~holder toof ~~serve~~our asClass ~~directors~~B ~~for~~common astock. ~~two-year~~Stockholders ~~term~~also ~~expiring~~voted inon ~~2008. The~~the ~~matters~~ratification ~~voted~~of ~~upon~~the atselection ~~the~~of ~~meeting~~Deloitte & ~~and~~Touche ~~the~~LLP ~~votes~~as ~~cast~~our ~~with~~independent ~~respect~~registered topublic ~~such~~accounting ~~matters~~firm ~~are~~for as2007. ~~follows:~~

~~Election~~Immediately prior to the Annual Meeting of Stockholders, ~~Directors~~the CBOT held its 2007 Annual Meeting of Members. At that meeting, holders of the Series B-1 and B-2 memberships of the CBOT, voting together as a single class, elected three directors to the board of directors of the CBOT. The CBOT Subsidiary Voting Trust elected those three directors to the board of directors of CBOT Holdings. In addition, the five directors elected to CBOT Holdings’ board of directors by the holders of our Class A common stock at the 2007 Annual Meeting of Stockholders automatically became directors of the CBOT. As a result, the boards of CBOT Holdings and the CBOT consist of the same 17 directors.

Nominee	Votes For	VotesWithheld
Bernard W. Dan	21,321,320	289,882
Robert F. Corvino	21,354,682	256,520
Jackie Clegg	21,315,364	295,838
Larry G. Gerdes	21,304,379	306,823
Joseph Niciforo	21,016,158	595,044
Michael D. Walter	20,928,593	682,609

- 26 -

In addition to the directors elected by the holders of the Company’s outstanding shares of Class A common stock at the annual meeting, in accordance with the Company’s Certificate of Incorporation, Messrs. John L. Pietrzak, Christopher Stewart and James P. McMillin were elected by the holder of the outstanding share of the Company’s Class B common stock to serve as directors of the Company for a two-year term expiring in 2008. Messrs. Charles P. Carey, John E. Callahan, James E. Cashman, Mark E. Cermak, Brent M. Coan, James A. Donaldson, C.C. Odom, II and Charles M. Wolin also will continue to serve as directors of the Company.

- 24 -

~~Ratification~~The following tables set forth votes cast with respect to each of ~~Auditors~~the above noted items:

~~Ratification~~Election of ~~the~~Directors ~~appointment of Deloitte & Touche LLP as the Company’s independent registered public accountants for the fiscal year ending December 31, 2006~~

	Votes
	Number of Votes
For	21,281,065
Parent Directors	For	Withheld
Against	212,481
Charles P. Carey	32,138,329	512,410
Abstain	117,656
John E. Callahan	31,876,124	774,615
James E. Cashman	31,699,950	950,789
James A. Donaldson	32,076,602	574,137
C.C. Odom, II	31,906,762	743,977


	Number of Votes*
Subsidiary Directors*	For	Withheld
Mark E. Cermak	644.84	6.16
Brent M. Coan	631.52	19.48
Charles M. Wolin	638.04	12.96

*	Results of vote by holders of CBOT Series B-1 and B-2 memberships at the CBOT’s 2007 Annual Meeting of Members.

Ratification of the Selection of Independent Registered Public Accounting Firm


Number of Votes
For	Against	Abstain
31,994,707	283,669	372,363

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

10.1		First Amendment to Bernard Dan Employment Agreement, dated June 1, 2006 (incorporated by reference to Exhibit 10.1 of the Registrant’s Current Report on Form 8-K filed June 7, 2006).
31.1		Certification by CEO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2		Certification by CFO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
32.1		Certification by CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

3.1	Amended and Restated Certificate of Incorporation of CBOT Holdings, Inc. (Incorporated by reference to Exhibit 3.1 from the Registrant’s registration statement on Form S-1(No.333-124730))

-3.2 25Certificate of Designations of Series A Junior Participating Preferred Stock of CBOT Holdings, Inc. (Incorporated by reference to Exhibit 3.1 of the Registrant’s current report on Form 8-K filed on June 27, 2005)

3.3	Amended and Restated By-laws of CBOT Holdings, Inc. (Incorporated by reference to Exhibit 3.3 from the Registrant’s registration statement on Form S-1(No. 333-124730))

4.1	Amended and Restated Rights Agreement dated as of June 24, 2005 and amended as of September 14, 2006, by and between CBOT Holdings, Inc. and Computershare Investor Services LLC. (Incorporated by reference to Exhibit 4.1 from the Registrant’s current report on Form 8-K filed on September 15, 2006)

4.2

Amendment No. 1, dated as of October 17, 2006, to Amended and Restated Rights Agreement, dated as of June 24, 2005 and amended as of September 14, 2006, by and between CBOT Holdings, Inc. and Computershare Investor Services LLC (Incorporated by reference to Exhibit 4.1 from the Registrant’s current report on Form 8-K filed on October 18, 2006)

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10.1	Sixth Amendment, dated as of January 19, 2007 to License Agreement dated June 5, 1997 between Dow Jones & Company, Inc. and the Board of Trade of the City of Chicago, Inc.†

10.2	Amendment No. 1 to the Amended and Restated Software License Agreement, dated as of December 15, 2005, by and between AtosEuronext Market Solutions Limited and the Board of Trade of the City of Chicago, Inc.†

10.3	Second Amended and Restated Managed Services Agreement, dated as of December 15, 2005, by and between AtosEuronext Market Solutions Limited and the Board of Trade of the City of Chicago, Inc.†

31.1	Certification by CEO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

31.2	Certification by CFO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

32.1	Certification by CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

†	Confidential treatment has been requested for a portion of this document. Confidential portions have been omitted and filed separately with the Securities and Exchange Commission.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, CBOT Holdings, Inc. has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

		CBOT HOLDINGS, INC.
		/s/ Bernard W. Dan
Date: July 31, 2006		Bernard W. Dan
Date: May 8, 2007		Bernard W. Dan
		President and Chief Executive Officer
		/s/ Glen M. Johnson
Date: July 31, 2006		Glen M. Johnson
Date: May 8, 2007		Glen M. Johnson
		Senior Vice President and
		Chief Financial Officer

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EXHIBIT INDEX

10.1		First Amendment to Bernard Dan Employment Agreement, dated June 1, 2006 (incorporated by reference to Exhibit 10.1 of the Registrant’s Current Report on Form 8-K filed June 7, 2006).
31.1		Certification by CEO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2		Certification by CFO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
32.1		Certification by CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

3.1	Amended and Restated Certificate of Incorporation of CBOT Holdings, Inc. (Incorporated by reference to Exhibit 3.1 from the Registrant’s registration statement on Form S-1(No.333-124730))

-3.2 27Certificate of Designations of Series A Junior Participating Preferred Stock of CBOT Holdings, Inc. (Incorporated by reference to Exhibit 3.1 of the Registrant’s current report on Form 8-K filed on June 27, 2005)

3.3	Amended and Restated By-laws of CBOT Holdings, Inc. (Incorporated by reference to Exhibit 3.3 from the Registrant’s registration statement on Form S-1(No. 333-124730))

4.1	Amended and Restated Rights Agreement dated as of June 24, 2005 and amended as of September 14, 2006, by and between CBOT Holdings, Inc. and Computershare Investor Services LLC. (Incorporated by reference to Exhibit 4.1 from the Registrant’s current report on Form 8-K filed on September 15, 2006)

4.2

10.1	Sixth Amendment, dated as of January 19, 2007 to License Agreement dated June 5, 1997 between Dow Jones & Company, Inc. and the Board of Trade of the City of Chicago, Inc.†

10.2	Amendment No. 1 to the Amended and Restated Software License Agreement, dated as of December 15, 2005, by and between AtosEuronext Market Solutions Limited and the Board of Trade of the City of Chicago, Inc.†

10.3	Second Amended and Restated Managed Services Agreement, dated as of December 15, 2005, by and between AtosEuronext Market Solutions Limited and the Board of Trade of the City of Chicago, Inc.†

31.1	Certification by CEO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

31.2	Certification by CFO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

32.1	Certification by CEO and CFO Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

†	Confidential treatment has been requested for a portion of this document. Confidential portions have been omitted and filed separately with the Securities and Exchange Commission.

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