FORM 4 Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940

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1. Name and Address of Reporting Person * MORGAN STANLEY   2. Issuer Name and Ticker or Trading Symbol INTERCONTINENTALEXCHANGE INC [ICE] 5. Relationship of Reporting Person(s) to Issuer (Check all applicable) _____ Director __X__ 10% Owner _____ Officer (give title below) _____ Other (specify below) (Last) (First) (Middle) 1585 BROADWAY 3. Date of Earliest Transaction (Month/Day/Year) 05/22/2006 (Street) NEW YORK, NY 10036 4. If Amendment, Date Original Filed(Month/Day/Year) 6. Individual or Joint/Group Filing(Check Applicable Line) _X_ Form filed by One Reporting Person ___ Form filed by More than One Reporting Person (City) (State) (Zip) Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned

1.Title of Security (Instr. 3) 2. Transaction Date (Month/Day/Year) 2A. Deemed Execution Date, if any (Month/Day/Year) 3. Transaction Code (Instr. 8) 4. Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5) 5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4) 6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4) 7. Nature of Indirect Beneficial Ownership (Instr. 4) Code V Amount (A) or (D) Price Common Stock, par value $0.01 05/22/2006   C   6,452,564 A (1) 6,452,564 (2) I See Note (3)

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Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned
(e.g., puts, calls, warrants, options, convertible securities)

1. Title of Derivative Security (Instr. 3)

2. Conversion or Exercise Price of Derivative Security

3. Transaction Date (Month/Day/Year)

3A. Deemed Execution Date, if any (Month/Day/Year)

4. Transaction Code (Instr. 8)

5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4, and 5)

6. Date Exercisable and Expiration Date (Month/Day/Year)

7. Title and Amount of Underlying Securities (Instr. 3 and 4)

8. Price of Derivative Security (Instr. 5)

9. Number of Derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)

10. Ownership Form of Derivative Security: Direct (D) or Indirect (I) (Instr. 4)

11. Nature of Indirect Beneficial Ownership (Instr. 4)

Code

V

(A)

(D)

Date Exercisable

Expiration Date

Title

Amount or Number of Shares

Class A Common Stock, Series 1

(1)

05/22/2006

C

34,180

(4)

(5)

Common Stock

34,180

(1)

0

I

See Note (3)

Class A Common Stock, Series 2

(1)

05/22/2006

C

6,418,384

(4)

(5)

Common Stock

6,418,384

(1)

0

I

See Note (3)

Reporting Owners

Reporting Owner Name / Address	Relationships
	Director	10% Owner	Officer	Other
MORGAN STANLEY 1585 BROADWAY NEW YORK, NY 10036		X

Signatures

Dennine Bullard, authorized signatory of Morgan Stanley		05/23/2006
**Signature of Reporting Person		Date
Robert P. Kinney of Morgan Stanley Capital Group Inc.		05/23/2006
**Signature of Reporting Person		Date

Explanation of Responses:

*	If the form is filed by more than one reporting person, see Instruction 4(b)(v).
**	Intentional misstatements or omissions of facts constitute Federal Criminal Violations. See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
(1)	Pursuant to the Amended and Restated Certificate of Incorporation of IntercontinentalExchange, Inc., shares of Class A Common Stock Series 1 and Class A Common Stock Series 2 are convertible into shares of Common Stock par value $.01 per share, on a one-to-one basis.
(2)	Includes 6,418,384 shares of Common Stock held by Morgan Stanley Capital Group Inc. ("MSCG") and 34,180 shares held by Morgan Stanley & Co. International Limited ("MSIL").
(3)	Each of MSCG and MSIL is a wholly-owned subsidiary of Morgan Stanley. MSCG and MSIL directly own shares of Common Stock of the Issuer. See Exhibit 99.1 - Joint Filer Information.
(4)	These shares were converted to Common Stock on May 22, 2006.
(5)	These securities do not expire.

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