In response to yesterday's threat from the Chicago Board of Trade (NYSE: BOT)'s largest shareholder, Caledonia Investments managing director Will Vicars, the Chicago Mercantile Exchange (NYSE: CME) announced today that it has revised the terms of its definitive merger agreement with CBOT for the third time.

The Chicago Mercantile Exchange will now offer CBOT shareholders 0.375 shares of CME Holdings for each share of CBOT Holdings, compared to the previous offer of 0.350 shares. The newly valued $9.21 billion offer has been approved by the boards of both companies.

With the revised terms from CME, Caledonia Investments, which has a 7% stake in CBOT Holdings, agreed to support the deal.

The offer, however, is still lower than the $10.12 billion bid from Atlanta-based rival Intercontinental Exchange (NYSE: ICE). Intercontinental said it is willing to enter talks regarding potential increases to its proposal, including a higher value for exercise rights and an alternative integration plan.

Looks like third time may be the charm for the CME. The two Chicago exchanges expect to close the deal, pending a shareholder vote on Monday and regulatory approval, sometime this summer.