SCHEDULE 14A
                               (Rule 14a-101)

                  INFORMATION REQUIRED IN PROXY STATEMENT

                          SCHEDULE 14A INFORMATION
        Proxy Statement Pursuant to Section 14(a) of the Securities
                   Exchange Act of 1934 (Amendment No. )

Filed by the Registrant [X]
Filed by a Party other than the Registrant [  ]

Check the appropriate box:
[ ]  Preliminary Proxy Statement                [  ]  Confidential, For Use of
                                                      the Commission Only (as
[ ]  Definitive Proxy Statement                       permitted by
[ ]  Definitive Additional Materials                  Rule 14a-6(e)(2))
[X]  Soliciting Material Under Rule 14a-12


                 Chicago Mercantile Exchange Holdings Inc.
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              (Name of Registrant as Specified in Its Charter)


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  (Name of Person(s) Filing Proxy Statement, if Other Than the Registrant)


Payment of Filing Fee (Check the appropriate box):

[X]   No fee required.
[ ]   Fee computed on table below per Exchange Act Rules 14a-6(i)(4) and
      0-11.

      (1)  Title of each class of securities to which transaction applies:
      (2)  Aggregate number of securities to which transaction applies:
      (3)  Per unit price or other underlying value of transaction computed
           pursuant to Exchange Act Rule 0-11 (set forth the amount on
           which the filing fee is calculated and state how it was
           determined):
      (4)  Proposed maximum aggregate value of transaction:
      (5)  Total fee paid:

[ ]   Fee paid previously with preliminary materials:

[ ]   Check box if any part of the fee is offset as provided by Exchange
      Act Rule 0-11(a)(2) and identify the filing for which the offsetting
      fee was paid previously. Identify the previous filing by registration
      statement number, or the Form or Schedule and the date of its filing.

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         On February 22, 2002, Chicago Mercantile Exchange Holdings Inc.
distributed the following communication to its shareholders:

              [Chicago Mercantile Exchange Holdings Inc. Logo]

Ann M. Cresce, Esq.
Corporate Secretary
PHONE: 312 / 930-3488
FAX: 312 / 930-3233
acresce@cme.com


                                                          February 22, 2002



Dear Shareholders:

         You were notified by letter dated February 4, 2002 of the
nominations for the slate of Class A/B Directors, the nominations of
directors to be elected by the Class B-1 (CME Division) shareholders and
the nominations of directors to be elected by the Class B-2 (IMM Division)
shareholders. Please be advised that, in addition to the candidates noted
in that previous correspondence, there is an additional candidate on the
Class B-1 slate who is running for a directorship, Mr. Bruce F. Johnson.
Pursuant to our bylaws, Mr. Johnson received the requisite number of
signatures of B-1 shareholders to be nominated for a directorship. Mr.
Johnson will be included in our proxy statement to be mailed to
shareholders within the next few weeks.

         Should you have any questions, please do not hesitate to contact
me.

                                                   Very truly yours,


                                                   Ann M. Cresce
                                                   Corporate Secretary

*************

         Chicago Mercantile Exchange Holdings Inc. plans to file with the
Securities and Exchange Commission and mail a proxy statement to its
shareholders containing information about the company and certain proposals
to be presented to a vote of shareholders at its 2002 Annual Meeting.
Shareholders of Chicago Mercantile Exchange Holdings Inc. should read the
proxy statement carefully when it becomes available because it will contain
important information about the proposals to be considered at the Annual
Meeting, the persons soliciting proxies related to the proposals, their
interests in the proposals and related matters.

         Shareholders can obtain free copies of the proxy statement when it
becomes available by contacting the Shareholder Relations and Membership
Services Department, Chicago Mercantile Exchange Holdings Inc., 30 South
Wacker Drive, Chicago, Illinois 60606. Shareholders will be able to obtain
free copies of the proxy statement filed by Chicago Mercantile Exchange
Holdings Inc. with the Securities and Exchange Commission at the Securities
and Exchange Commission's web site at www.sec.gov. In addition to the proxy
statement, Chicago Mercantile Exchange Holdings Inc. files annual,
quarterly and special reports, proxy statements and other information with
the Securities and Exchange Commission, which are also available at the
Securities and Exchange Commission's web site.

         Chicago Mercantile Exchange Holdings Inc. and its directors,
executive officers and certain members of management and other employees
may be deemed to be participants in the solicitation of proxies of Chicago
Mercantile Exchange Holdings Inc.'s shareholders to approve the proposals.
These individuals may have interests in the proposals. A detailed list of
the names, affiliations and interests of the participants in the
solicitation will be contained in the proxy statement.