Filed by Chicago Mercantile Exchange Holdings Inc.
Pursuant to Rule 425 under the Securities Act of 1933

Subject Company: Chicago Mercantile Exchange Holdings Inc.
Commission File No. 333-66988

The following communications contain certain forward-looking statements.
References made in the following are based on management's current
expectations and beliefs and are subject to a number of factors and
uncertainties that could cause actual results to differ materially from those
described in the forward-looking statements.


The principal risk factors that may cause actual results to differ materially
from those expressed in forward-looking statements contained in this
communication are described in various documents filed by Chicago Mercantile
Exchange Inc. with the U.S. Securities and Exchange Commission, including
Chicago Mercantile Exchange Inc.'s Annual Report on Form 10-K for the year
ended December 31, 2000, and its Quarterly Report on Form 10-Q for the quarter
ended June 30, 2001.


                                     *      *        *        *        *


The following press release was issued on October 1, 2001.

Contacts:         Ellen G. Resnick, 312/930-3435
                  Maryellen T. Thielen, 312/930-3467
                  news@cme.com


                             FOR IMMEDIATE RELEASE


DATE SET FOR CHICAGO MERCANTILE EXCHANGE INC. SHAREHOLDERS
TO VOTE ON MOVING TO A HOLDING COMPANY STRUCTURE


         CHICAGO, Oct. 1, 2001 - Chicago Mercantile Exchange Inc. (CME) today
filed an amended S-4 registration statement (proxy statement/prospectus) with
the U.S. Securities and Exchange Commission (SEC), paving the way for CME's
shareholders to vote on a plan to reorganize CME into a holding company
structure. The proxy statement/ prospectus is expected to be mailed to
shareholders on or about Wednesday, Oct. 3. Shareholders are asked to vote on
the proposals at or before a special meeting of shareholders scheduled for 4
p.m. on Wednesday, Nov. 7.

         CME's Board of Directors has set Tuesday, Sept. 25 as the record date
for shareholders entitled to vote at the meeting.

         If shareholders approve the two-step plan, the futures exchange will
become a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc.
(CME Holdings). According to the proxy statement/prospectus, the plan would
provide CME with strategic and business flexibility and facilitate a possible
initial public offering (IPO) of Class A shares.

         CME's Board of Directors has approved the holding company plan and
recommends that shareholders vote "yes" on the proposals in the proxy
statement. Approval requires the vote of a majority of outstanding shares,
voting together as a single class.

         Chicago Mercantile Exchange Inc. (www.cme.com) is an international
marketplace that brings together buyers and sellers on its trading floors and
GLOBEX(R)2 around-the-clock electronic trading system. CME offers futures
contracts and options on futures primarily in four product areas: interest
rates, stock indexes, foreign exchange and commodities. On Nov. 13, 2000, CME
finalized its transformation into a for-profit, shareholder-owned corporation
as it became the first U.S. financial exchange to demutualize by converting
its membership interests into shares of common stock that can trade separately
from exchange trading privileges. The exchange moves about $1.5 billion per
day in settlement payments and manages $28.4 billion in collateral deposits.

         We have filed with the SEC a Registration Statement on Form S-4,
including a proxy statement and prospectus, regarding the holding company
transactions with the SEC, which is expected to be declared effective as of 4
p.m. Central time on Oct. 1, 2001. Shareholders are urged to read the
Registration Statement on Form S-4, including the proxy statement and
prospectus, regarding the holding company transactions, when it is distributed
to them, as well as other documents which Chicago Mercantile Exchange Inc. or
Chicago Mercantile Exchange Holdings Inc. has filed or will file with the SEC,
because they contain or will contain important information for making an
informed investment decision. Shareholders may obtain a free copy of the
documents we file at the SEC's Web site at www.sec.gov or www.secinfo.com.
This communication shall not constitute an offer to sell or the solicitation
of an offer to buy, nor shall there be any sale of securities in any state in
which offer, solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such state. No offering of
securities shall be made except by means of a prospectus meeting the
requirements of Section 10 of the Securities Act of 1933, as amended.

                                     # # #




Filed by Chicago Mercantile Exchange Holdings Inc.
Pursuant to Rule 425 under the Securities Act of 1933

Subject Company: Chicago Mercantile Exchange Holdings Inc.
Commission File No. 333-66988

The following communications contain certain forward-looking statements.
References made in the following are based on management's current
expectations and beliefs and are subject to a number of factors and
uncertainties that could cause actual results to differ materially from those
described in the forward-looking statements.


The principal risk factors that may cause actual results to differ materially
from those expressed in forward-looking statements contained in this
communication are described in various documents filed by Chicago Mercantile
Exchange Inc. with the U.S. Securities and Exchange Commission, including
Chicago Mercantile Exchange Inc.'s Annual Report on Form 10-K for the year
ended December 31, 2000, and its Quarterly Report on Form 10-Q for the quarter
ended June 30, 2001.


                                   * * * * *

The following letter was distributed to the shareholders of Chicago Mercantile
Exchange Inc. on October 1, 2001.


                                October 1, 2001

To All Shareholders:

As you know, earlier this year CME filed a registration statement (also known
as an S-4) with the Securities and Exchange Commission to establish a holding
company structure. We now have filed an amended S-4, which is expected to be
declared "effective" by the SEC as of 4 p.m. today. As a result, we are
printing the proxy statement/prospectus and proxy cards for mailing to all
shareholders shortly. (Please note that we are required to send you multiple
proxy cards if you own different classes of CME stock.)

Attached is a news release that announces the filing. The proposals are
explained in detail in the proxy statement/prospectus. The Board recommends
that you vote "FOR" the proposals.

You will be able to vote on the proposals by mail, phone or Internet - or in
person in the Shareholder Relations and Membership Services Department -
before a special shareholder meeting is held at 4 p.m. on Wednesday, Nov. 7 in
the CME Auditorium. You also will be able to vote by filling out your proxy
card(s) during on-site voting days on Tuesday, Oct. 30 and Thursday, Nov. 1,
or at the special meeting itself. Full details on how to vote are in the proxy
statement. Before the special shareholder meeting, we will hold informational
meetings at 2:15 p.m. and 3:30 p.m. on Wednesday, Oct. 17 in the CME
Auditorium to address questions you may have about the proposals.

In addition, questions about any of these matters may be directed to our
hotline, (312) 930-4511 or toll-free at (866) 930-4511, beginning Monday, Oct.
8. The hotline will be staffed from 7:30 a.m. to 4:30 p.m., Monday through
Friday.



We have filed with the SEC a Registration Statement on Form S-4, including a
proxy statement and prospectus, regarding the holding company transactions
with the SEC, which is expected to be declared effective as of 4 p.m. Central
time on Oct. 1, 2001. Shareholders are urged to read the Registration
Statement on Form S-4, including the proxy statement and prospectus, regarding
the holding company transactions, when it is distributed to them, as well as
other documents which Chicago Mercantile Exchange Inc. or Chicago Mercantile
Exchange Holdings Inc. has filed or will file with the SEC, because they
contain or will contain important information for making an informed
investment decision. Shareholders may obtain a free copy of the documents we
file at the SEC's Web site at www.sec.gov or www.secinfo.com. This
communication shall not constitute an offer to sell or the solicitation of an
offer to buy, nor shall there be any sale of securities in any state in which
offer, solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such state. No offering of
securities shall be made except by means of a prospectus meeting the
requirements of Section 10 of the Securities Act of 1933, as amended.


The following press release was issued on October 1, 2001.

Contacts:         Ellen G. Resnick, 312/930-3435
                  Maryellen T. Thielen, 312/930-3467
                  news@cme.com


                             FOR IMMEDIATE RELEASE


DATE SET FOR CHICAGO MERCANTILE EXCHANGE INC. SHAREHOLDERS
TO VOTE ON MOVING TO A HOLDING COMPANY STRUCTURE


         CHICAGO, Oct. 1, 2001 - Chicago Mercantile Exchange Inc. (CME) today
filed an amended S-4 registration statement (proxy statement/prospectus) with
the U.S. Securities and Exchange Commission (SEC), paving the way for CME's
shareholders to vote on a plan to reorganize CME into a holding company
structure. The proxy statement/ prospectus is expected to be mailed to
shareholders on or about Wednesday, Oct. 3. Shareholders are asked to vote on
the proposals at or before a special meeting of shareholders scheduled for 4
p.m. on Wednesday, Nov. 7.

         CME's Board of Directors has set Tuesday, Sept. 25 as the record date
for shareholders entitled to vote at the meeting.

         If shareholders approve the two-step plan, the futures exchange will
become a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc.
(CME Holdings). According to the proxy statement/prospectus, the plan would
provide CME with strategic and business flexibility and facilitate a possible
initial public offering (IPO) of Class A shares.

         CME's Board of Directors has approved the holding company plan and
recommends that shareholders vote "yes" on the proposals in the proxy
statement. Approval requires the vote of a majority of outstanding shares,
voting together as a single class.

         Chicago Mercantile Exchange Inc. (www.cme.com) is an international
marketplace that brings together buyers and sellers on its trading floors and
GLOBEX(R)2 around-the-clock electronic trading system. CME offers futures
contracts and options on futures primarily in four product areas: interest
rates, stock indexes, foreign exchange and commodities. On Nov. 13, 2000, CME
finalized its transformation into a for-profit, shareholder-owned corporation
as it became the first U.S. financial exchange to demutualize by converting
its membership interests into shares of common stock that can trade separately
from exchange trading privileges. The exchange moves about $1.5 billion per
day in settlement payments and manages $28.4 billion in collateral deposits.

         We have filed with the SEC a Registration Statement on Form S-4,
including a proxy statement and prospectus, regarding the holding company
transactions with the SEC, which is expected to be declared effective as of 4
p.m. Central time on Oct. 1, 2001. Shareholders are urged to read the
Registration Statement on Form S-4, including the proxy statement and
prospectus, regarding the holding company transactions, when it is distributed
to them, as well as other documents which Chicago Mercantile Exchange Inc. or
Chicago Mercantile Exchange Holdings Inc. has filed or will file with the SEC,
because they contain or will contain important information for making an
informed investment decision. Shareholders may obtain a free copy of the
documents we file at the SEC's Web site at www.sec.gov or www.secinfo.com.
This communication shall not constitute an offer to sell or the solicitation
of an offer to buy, nor shall there be any sale of securities in any state in
which offer, solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such state. No offering of
securities shall be made except by means of a prospectus meeting the
requirements of Section 10 of the Securities Act of 1933, as amended.