SECURITIES AND EXCHANGE COMMISSION
                           WASHINGTON, D.C. 20549


                                  FORM 8-K

                               CURRENT REPORT
                   PURSUANT TO SECTION 13 OR 15(d) OF THE
                      SECURITIES EXCHANGE ACT OF 1934


              Date of report (Date of earliest event reported)
                               March 21, 2002


                 CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.
 ----------------------------------------------------------------------------
             (Exact Name of Registrant as Specified in Charter)


           Delaware                    000-32645               36-4459170
         ---------------            -----------------       ---------------
 (State or Other Jurisdiction        (Commission            (IRS Employer
      of Incorporation)               File Number)          Identification No.)


30 South Wacker Drive, Chicago, Illinois                         60606
- ---------------------------------------------------             --------
(Address of Principal Executive Office)                        (Zip Code)


Registrant's telephone number, including area code:  (312) 930-1000


                                    N/A
            ---------------------------------------------------
       (Former Name or Former Address, if Changed Since Last Report)



ITEM 4.  Changes in Registrant's Certifying Accountant.

         On March 21, 2002, the Board of Directors of Chicago Mercantile
Exchange Holdings Inc. ("CME Holdings"), the successor company of Chicago
Mercantile Exchange Inc. (together with CME Holdings, the "Company"),
adopted the recommendation of its Audit Committee that Arthur Andersen LLP
("Andersen") be replaced as CME Holdings' independent public accountants. A
new firm of independent public accountants has not yet been engaged to act
as CME Holdings' auditors. Andersen will continue to serve as the Company's
auditors and will only be dismissed when the new firm has been identified
and retained.

         During the two most recent fiscal years ended December 31, 2001,
and through the date hereof, there were no disagreements between the
Company and Andersen on any matter of accounting principles, financial
statement disclosure or auditing scope or procedure which, if not resolved
to Andersen's satisfaction, would have caused Andersen to make reference to
the matter of the disagreement in connection with their reports. The audit
reports of Andersen on the consolidated financial statements of the Company
as of and for the years ended December 31, 2001 and 2000 did not contain
any adverse opinion or disclaimer of opinion, nor were these opinions
qualified or modified as to uncertainty, audit scope or accounting
principles.

         CME Holdings has provided Andersen with a copy of the foregoing
statements. A letter from Andersen stating its agreement with such
statements is attached as Exhibit 16.

         During the Company's two most recent fiscal years ended December
31, 2001, and through the date hereof, there were no reportable events as
defined in Item 304 (a)(1)(v) of Regulation S-K.


ITEM 7.  Financial Statements, Pro Forma Financial Information and Exhibits.

         (c)  Exhibits.


Exhibit
Number        Description
- -------       --------------

16            Letter from Arthur Andersen LLP to the Securities and Exchange
              Commission, dated March 28, 2002.



                                 SIGNATURES

         Pursuant to the requirements of the Securities Exchange Act of
1934, as amended, the registrant has duly caused this report to be signed
on its behalf by the undersigned hereunto duly authorized.


                                      CHICAGO MERCANTILE EXCHANGE HOLDINGS INC.
                                      Registrant


Date:  March 28, 2002                 By:  /s/ David G. Gomach
                                           ----------------------------------
                                           David G. Gomach
                                           Managing Director and Chief
                                           Financial Officer

                                                                 Exhibit 16


Office of the Chief Accountant
Securities and Exchange Commission
450 Fifth Street, N.W.
Washington, DC 20549

March 28, 2002

Dear Sir or Madam,

We have read Item 4 included in the Current Report on Form 8-K dated March
21, 2002 of Chicago Mercantile Exchange Holdings Inc. to be filed with the
Securities and Exchange Commission and are in agreement with the statements
contained therein.

Very truly yours,



Arthur Andersen LLP

MC

Copy to:
Mr. David G. Gomach
Chief Financial Officer
Chicago Mercantile Exchange Holdings Inc.