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. )

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      (as permitted by Rule 14a-6(e)(2))
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                   Chicago Mercantile Exchange Holdings Inc.
               (Name of Registrant as Specified in Its Charter)

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

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


                                    [LOGO]
                    CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.


Scott Gordon                          James J. McNulty
Chairman of the Board                 President and Chief Executive Officer


                                March 22, 2002

To All Shareholders:

Attached is a news release announcing that our Board of Directors has decided
to replace Arthur Andersen LLP as the independent public accountants of
Chicago Mercantile Exchange Holdings Inc. (CME Holdings). The decision to
replace Arthur Andersen was made after careful consideration by CME Holdings'
Audit Committee, Board of Directors and management, as new developments
regarding Arthur Andersen emerged.

As you know, a proposal to ratify Arthur Andersen as our independent public
accountants was described in the proxy statement mailed to shareholders
earlier this month. The decision to change our independent public accountants
and the developments leading to it, came after our proxy statement was printed
and mailed to shareholders.

The Board of Directors has now removed the ratification of Arthur Andersen
from the agenda for the Annual Meeting of Shareholders. Accordingly,
shareholders no longer need to vote on the Arthur Andersen proposal. You do
not need to take any action if you have already voted on this proposal.

Our management and Audit Committee have begun the process of identifying and
thoroughly evaluating firms to serve as our independent public accountants. We
will keep you informed of the results of this selection process.

We encourage you to vote on the other items remaining on the agenda. If you
have already voted, you do not need to vote again.


/s/ Scott Gordon                                       /s/ James J. McNulty

30 South Wacker Drive
Chicago, IL 60606-7499
312/930.1000
www.cme.com





                                    [LOGO]
                    CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.


30 South Wacker Drive
Chicago, IL 60606-7499
312/930.1000
www.cme.com

Corporate Communications
PHONE: 312 / 930.3434
FAX: 312 / 930.3439
E-MAIL: news@cme.com

Ellen G. Resnick, 312/930-3435
Maryellen T. Thielen, 312/930-3467


NEWS RELEASE

CHICAGO MERCANTILE EXCHANGE HOLDINGS INC. TO REPLACE ARTHUR ANDERSEN AS ITS
INDEPENDENT PUBLIC ACCOUNTANTS

COMPANY HAS BEGUN THE AUDITOR SELECTION PROCESS

         CHICAGO, March 22, 2002 - The Board of Directors of Chicago
Mercantile Exchange Holdings Inc. (CME Holdings) has decided to replace Arthur
Andersen LLP as its independent public accountants. The company has begun the
selection process to identify and hire a new independent accounting firm.

         The Audit Committee of CME Holdings recommended this action to the
Board of Directors upon careful consideration, after new developments
regarding Arthur Andersen have emerged. The decision to change auditors
occurred after the company's 2002 proxy statement was filed with the
Securities and Exchange Commission and mailed to shareholders. As a result,
the Board has removed ratification of Arthur Andersen from the agenda of CME
Holdings' annual meeting of shareholders on April 17, 2002.

         "At this time, the Audit Committee, Board and management of CME
Holdings determined it was in the best interests of the company and its
shareholders to make a change," said Jim McNulty, President and Chief
Executive Officer. "However, we acknowledge the excellent and professional
work that our team of Arthur Andersen auditors have provided over the years."

         Chicago Mercantile Exchange Holdings Inc. is the parent company of
Chicago Mercantile Exchange Inc. (www.cme.com), the largest futures exchange
in the United States based on notional value, trading volume and open
interest. As an international marketplace, CME brings together buyers and
sellers on its trading floors and GLOBEX around-the-clock electronic trading
platform. CME offers futures contracts and options on futures primarily in
four product areas: interest rates, stock indexes, foreign exchange and
commodities. The exchange moves about $1.5 billion per day in settlement
payments and manages $28.2 billion in collateral deposits.

         Further information about Chicago Mercantile Exchange Inc. is
available on the CME Web site at www.cme.com.

                                     # # #
02-38


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

On March 12, 2002, Chicago Mercantile Exchange Holdings Inc. filed a
definitive proxy statement with the Securities and Exchange Commission ("SEC")
regarding the Annual Meeting of Shareholders to be held on April 17, 2002.
Shareholders of Chicago Mercantile Exchange Holdings Inc. are urged to read
the definitive proxy statement and any other relevant materials filed by
Chicago Mercantile Exchange Holdings Inc. with the SEC because they contain,
or will contain, important information about Chicago Mercantile Exchange
Holdings Inc. and the Annual Meeting. The definitive proxy statement and other
relevant materials (when they become available), and any other documents filed
by Chicago Mercantile Exchange Holdings Inc. with the SEC, may be obtained
free of charge at the SEC's web site at www.sec.gov. In addition, shareholders
may obtain free copies of these documents by contacting Chicago Mercantile
Exchange Holdings Inc., Shareholder Relations and Membership Services, 30
South Wacker Drive, Chicago, Illinois 60606. Shareholders are urged to read
the definitive proxy statement and the other relevant materials (when they
become available) before making any voting decision with respect to matters to
be acted on at the Annual Meeting.