Shares of

Chicago Mercantile Exchange Holdings

(CME) - Get Report

were down 6.9% Tuesday afternoon amid news that the company's CEO will be leaving when his contract expires at the end of the year.

The exchange's board of directors said Craig S. Donahue will take the helm on Jan. 1, 2004, after current President and Chief Executive James J. McNulty steps down, on Dec. 31. Donahue is currently the exchange's chief administration officer.

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McNulty, who saw the exchange through its initial public offering in 2002, told the board of directors that he will resign his board seat when he leaves. The board expects to appoint Donohue to fill the remainder of McNulty's term as a director, the Chicago-based futures exchange said.

"Jim was the right man at the right time for CME. Jim has done a terrific job in executing the Board's strategic vision for CME," Chairman Terrence A. Duffy said.

As a result of the changes, CME appointed Phupinder Gill to the new role of president and chief operating officer, reporting to Donohue effective Jan. 1, 2004. Gill is currently managing director and president of the CME clearing house division and will be responsible for overseeing the information-technology, operations and clearing house divisions of the exchange.

On Dec. 6, 2002, Chicago Mercantile Exchange Holdings, the parent company of the Chicago Mercantile Exchange, became the first publicly traded U.S. financial exchange.

Its shares were down $5.34 at $72.58 in late trading Tuesday.