The private Exchange spot cheese market has historically performed a primary price-discovery function in the U.S. cheese industry. Since 1997 the spot cheese trade takes place at the Chicago Mercantile Exchange (CME). The Exchange spot cheese prices have been used as reference prices in cheese contracts used to transact the vast majority of cheese produced in the country. Furthermore, the Exchange spot cheese prices have been influencing prices paid for milk used in cheese manufacturing within the system of Federal Milk Marketing Orders (FMMOs). The objective of this research is to analyze the conduct and performance of the Exchange spot cheese market during three FMMOs milk pricing regimes (1983-2015). First, the patterns of trading activities (actual sales, unfilled bids and uncovered offers) and the behavior of spot cheddar cheese prices are analyzed. Second, to evaluate the role of the Exchange spot cheese market in the entire U.S. cheese industry, the performance of the natural cheddar cheese industry segment is evaluated by analyzing changes in milk price, wholesale cheddar cheese price, retail price of natural cheddar cheese and associated margins over time.