---

---

UNITED STATESSECURITIES AND EXCHANGE COMMISSIONWASHINGTON, D.C. 20549

---

FORM 10-Q

(Mark One)

|/x/ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
|--- | ---------------------------------------------------------------------------------------

For the quarterly period ended March 31, 2001

OR

|/ / | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
|--- | ----------------------------------------------------------------------------------------

For the transition period from  to

Commission file number 000-32645

---

CHICAGO MERCANTILE EXCHANGE INC.(Exact name of registrant as specified in its charter)

|Delaware                                                       |  | 36-4340266                             
|-------------------------------------------------------------- |  | ---------------------------------------
|(State or other jurisdiction of
incorporation or organization) |  | (I.R.S. Employer
Identification Number)
|30 South Wacker Drive, Chicago, Illinois                       |  | 60606                                  
|(Address of principal executive offices)                       |  | (Zip Code)                             

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

---

Indicate
by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past
90 days. YES /x/  NO / /

The
number of shares outstanding of each of the registrant's classes of common stock as of April 19, 2001 was as follows: 25,860,700 shares of Class A common stock,
$0.01 par value; 625 shares of Class B common stock, Series B-1, $0.01 par value; 813 shares of Class B common stock, Series B-2, $0.01 par value;
1,287 shares of Class B common stock, Series B-3, $0.01 par value; and 412 shares of Class B common stock, Series B-4, $0.01 par value.

---

---

---



CHICAGO MERCANTILE EXCHANGE INC.        FORM 10-Q        INDEX

|                                |            |                                                                                                                             |                                                                                       | Page
|------------------------------- | ---------- | --------------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- | ----
|PART I.  FINANCIAL INFORMATION: |            |                                                                                                                            
|                                | Item 1.    |                                                                                                                             | Financial Statements                                                                  |     
|                                |            | Consolidated Balance Sheets at March 31, 2001 and December 31, 2000                                                         |                                                                                       | 3   
|                                |            | Consolidated Statements of Income for the Three Months Ended March 31, 2001 and 2000                                        |                                                                                       | 4   
|                                |            | Consolidated Statements of Shareholders' Equity and Comprehensive Income for the Three Months Ended March 31, 2001 and 2000 |                                                                                       | 5   
|                                |            | Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2001 and 2000                                    |                                                                                       | 6   
|                                | Item 2.    |                                                                                                                             | Management's Discussion and Analysis of Financial Condition and Results of Operations |     
|                                | Item 3.    |                                                                                                                             | Quantitative and Qualitative Disclosures about Market Risk                            |     
|PART II.  OTHER INFORMATION:    |            |                                                                                                                            
|                                | Item 6.    |                                                                                                                             | Exhibits and Reports on Form 8-K                                                      |     
|                                | Signatures |                                                                                                                             | 13                                                                                   

2

---



PART I.  FINANCIAL INFORMATION

Item 1.  Financial Statements

CHICAGO MERCANTILE EXCHANGE INC. AND SUBSIDIARIES        CONSOLIDATED BALANCE SHEETS        (in thousands)

|                                                           |                                                                                                                | March 31,
2001 |           | December 31,
2000 |  
|---------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------- | -------------- | --------- | ----------------- | -
|ASSETS                                                     |                                                                                                                |                |           |                   |  
|Current Assets:                                            |                                                                                                                |                |           |                   |  
|                                                           | Cash and cash equivalents                                                                                      |                | $         | 32,624            |  
|                                                           | Investments                                                                                                    |                |           | 55,440            |  
|                                                           | Accounts receivable, net of allowance of $3,583 and $1,700                                                     |                |           | 40,061            |  
|                                                           | Other current assets                                                                                           |                |           | 8,399             |  
|                                                           | Cash performance bonds and security deposits                                                                   |                |           | 909,030           |  
|                                                           |                                                                                                                |                |           |                   |  
|Total current assets                                       |                                                                                                                |                | 1,045,554 |                   |  
|Property, net of accumulated depreciation and amortization |                                                                                                                |                | 79,010    |                   |  
|Other assets                                               |                                                                                                                |                | 36,483    |                   |  
|                                                           |                                                                                                                |                |           |                   |  
|TOTAL ASSETS                                               |                                                                                                                | $              | 1,161,047 |                   | $
|                                                           |                                                                                                                |                |           |                   |  
|LIABILITIES AND SHAREHOLDERS' EQUITY                       |                                                                                                                |                |           |                   |  
|Current Liabilities:                                       |                                                                                                                |                |           |                   |  
|                                                           | Accounts payable                                                                                               |                | $         | 16,996            |  
|                                                           | Other current liabilities                                                                                      |                |           | 33,131            |  
|                                                           | Cash performance bonds and security deposits                                                                   |                |           | 909,030           |  
|                                                           |                                                                                                                |                |           |                   |  
|Total current liabilities                                  |                                                                                                                |                | 959,157   |                   |  
|Long-term debt                                             |                                                                                                                |                | 5,067     |                   |  
|Other liabilities                                          |                                                                                                                |                | 12,906    |                   |  
|                                                           |                                                                                                                |                |           |                   |  
|Total liabilities                                          |                                                                                                                |                | 977,130   |                   |  
|Shareholders' Equity:                                      |                                                                                                                |                |           |                   |  
|                                                           | Preferred stock, $0.01 par value, 10,000,000 shares authorized, none issued and outstanding                    |                |           |                  |  
|                                                           | Class A common stock, $0.01 par value, 100,000,000 shares authorized, 25,855,200 shares issued and outstanding |                |           | 259               |  
|                                                           | Class B common stock, $0.01 par value, 4,892 shares authorized, 4,578 shares issued and outstanding            |                |           |                  |  
|                                                           | Additional paid-in capital                                                                                     |                |           | 43,953            |  
|                                                           | Retained earnings                                                                                              |                |           | 139,502           |  
|                                                           | Accumulated unrealized gains (losses) on securities                                                            |                |           | 203               |  
|                                                           |                                                                                                                |                |           |                   |  
|Total shareholders' equity                                 |                                                                                                                |                | 183,917   |                   |  
|                                                           |                                                                                                                |                |           |                   |  
|TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY                 |                                                                                                                | $              | 1,161,047 |                   | $
|                                                           |                                                                                                                |                |           |                   |  

See
accompanying notes to financial statements.

3

---

CHICAGO MERCANTILE EXCHANGE INC. AND SUBSIDIARIES        CONSOLIDATED STATEMENTS OF INCOME        (in thousands)

|         |                                                                         | Three Months Ended March 31 |  
|-------- | ----------------------------------------------------------------------- | --------------------------- | -
|
|REVENUES |                                                                         |                             |  
|         | Clearing and transaction fees                                           |                             | $
|         | Quotation data fees                                                     |                             |  
|         | Communication fees                                                      |                             |  
|         | Investment income                                                       |                             |  
|         | Other operating revenue                                                 |                             |  
|         |                                                                         |                             |  
|         | TOTAL REVENUES                                                          |                             |  
|         |                                                                         |                             |  
|EXPENSES |                                                                         |                             |  
|         | Salaries and benefits                                                   |                             |  
|         | Occupancy                                                               |                             |  
|         | Professional fees, outside services and licenses                        |                             |  
|         | Communications and computer and software maintenance                    |                             |  
|         | Depreciation and amortization                                           |                             |  
|         | Public relations and promotion                                          |                             |  
|         | Other operating expense                                                 |                             |  
|         |                                                                         |                             |  
|         | TOTAL EXPENSES                                                          |                             |  
|         |                                                                         |                             |  
|         | Income (loss) before limited partners' interest in PMT and income taxes |                             |  
|         | Limited partners' interest in earnings of PMT                           |                             |  
|         | Income tax (provision) benefit                                          |                             |  
|         |                                                                         |                             |  
|         | NET INCOME (LOSS)                                                       |                             | $
|         |                                                                         |                             |  

See
accompanying notes to financial statements.

4

---



CHICAGO MERCANTILE EXCHANGE INC. AND  SUBSIDIARIES        CONSOLIDATED STATEMENTS OF SHAREHOLDERS' EQUITY  AND COMPREHENSIVE INCOME        (dollars in thousands)

|                                      |                                                             | Class A
Common
Stock |  | Class B
Common
Stock |   | Common Stock
and Additional
Paid-in Capital |        |     |   |         |        |   |     
|------------------------------------- | ----------------------------------------------------------- | -------------------- |  | -------------------- | - | ------------------------------------------- | ------ | --- | - | ------- | ------ | - | ----
|
|
|
|BALANCE, DECEMBER 31, 2000            |                                                             | 25,855,200           |  | 4,722                |   | $                                           | 44,170 |     | $ | 119,512 |        | $ | (11 
|Comprehensive income:                 |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      | Net income                                                  |                      |  |                      |   |                                             |        |     |   |         | 19,990 |   |     
|                                      | Unrealized net gain on securities, net of tax of $144       |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      | Total comprehensive income                                  |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      | Other: Stock-based compensation                             |                      |  |                      |   |                                             |        | 42  |   |         |        |   |     
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|Conversion of Series B-5 common stock |                                                             |                      |  | (144                 | ) |                                             |        |     |   |         |        |   |     
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|BALANCE, MARCH 31, 2001               |                                                             | 25,855,200           |  | 4,578                |   | $                                           | 44,212 |     | $ | 139,502 |        | $ | 203 
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|BALANCE, DECEMBER 31, 1999            |                                                             |                     |  |                     |   | $                                           | 43,605 |     | $ | 125,421 |        | $ | (363
|Comprehensive income:                 |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      | Net loss                                                    |                      |  |                      |   |                                             |        |     |   |         | (2,884 | ) |     
|                                      | Unrealized net loss on securities, net of tax benefit of $7 |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      | Total comprehensive income                                  |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|                                      | Other: Executive compensation                               |                      |  |                      |   |                                             |        | 832 |   |         |        |   |     
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     
|BALANCE, MARCH 31, 2000               |                                                             |                     |  |                     |   | $                                           | 44,437 |     | $ | 122,537 |        | $ | (374
|                                      |                                                             |                      |  |                      |   |                                             |        |     |   |         |        |   |     

See accompanying notes to financial statements.

5

---

CHICAGO MERCANTILE EXCHANGE INC. AND SUBSIDIARIES        CONSOLIDATED STATEMENTS OF CASH FLOWS        (in thousands)

|                                                     |                                                     | Three Months Ended March 31                                                                        |       
|---------------------------------------------------- | --------------------------------------------------- | -------------------------------------------------------------------------------------------------- | ------
|
|CASH FLOWS FROM OPERATING ACTIVITIES                 |                                                     |                                                                                                    |       
|                                                     | Net income (loss)                                   |                                                                                                    | $     
|                                                     |                                                     | Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |       
|                                                     |                                                     | Limited partners' interest in earnings of PMT                                                      |       
|                                                     |                                                     | Deferred income tax benefit                                                                        |       
|                                                     |                                                     | Depreciation and amortization                                                                      |       
|                                                     |                                                     | Loss (gain) on sale of investments                                                                 |       
|                                                     |                                                     | Increase (decrease) in allowance for doubtful accounts                                             |       
|                                                     |                                                     | Decrease (increase) in accounts receivable                                                         |       
|                                                     |                                                     | Decrease (increase) in other current assets                                                        |       
|                                                     |                                                     | Decrease (increase) in other assets                                                                |       
|                                                     |                                                     | Increase (decrease) in accounts payable                                                            |       
|                                                     |                                                     | Increase (decrease) in other current liabilities                                                   |       
|                                                     |                                                     | Increase (decrease) in other liabilities                                                           |       
|                                                     |                                                     | Other adjustments for non-cash items                                                               |       
|                                                     |                                                     |                                                                                                    |       
|NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES  |                                                     |                                                                                                    | 18,844
|                                                     |                                                     |                                                                                                    |       
|CASH FLOWS FROM INVESTING ACTIVITIES                 |                                                     |                                                                                                    |       
|                                                     | Purchases of property, net                          |                                                                                                    |       
|                                                     | Purchases of investments                            |                                                                                                    |       
|                                                     | Proceeds from sales and maturities of investments   |                                                                                                    |       
|                                                     |                                                     |                                                                                                    |       
|                                                     | NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES |                                                                                                    |       
|                                                     |                                                     |                                                                                                    |       
|CASH FLOWS FROM FINANCING ACTIVITIES                 |                                                     |                                                                                                    |       
|                                                     | Payments on long-term debt                          |                                                                                                    |       
|                                                     |                                                     |                                                                                                    |       
|                                                     | NET CASH USED IN FINANCING ACTIVITIES               |                                                                                                    |       
|                                                     |                                                     |                                                                                                    |       
|Net increase (decrease) in cash and cash equivalents |                                                     |                                                                                                    | 1,969 
|Cash and cash equivalents, beginning of period       |                                                     |                                                                                                    | 30,655
|                                                     |                                                     |                                                                                                    |       
|Cash and cash equivalents, end of period             |                                                     | $                                                                                                  | 32,624
|                                                     |                                                     |                                                                                                    |       
|SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION     |                                                     |                                                                                                    |       
|                                                     | Interest paid                                       |                                                                                                    | $     
|                                                     |                                                     |                                                                                                    |       
|                                                     | Income taxes paid (refunded)                        |                                                                                                    | $     
|                                                     |                                                     |                                                                                                    |       
|                                                     | Leased asset additions and related obligations      |                                                                                                    |       
|                                                     |                                                     |                                                                                                    |       

See
accompanying notes to financial statements.

6

---



Chicago Mercantile Exchange Inc.        Notes to Condensed Financial Statements

1.  Basis of Presentation

The accompanying interim financial statements have been prepared by Chicago Mercantile Exchange Inc. (CME) without audit. Certain notes and other
information normally included in financial statements prepared in accordance with generally accepted accounting principles have been condensed or omitted. In the opinion of management, the
accompanying consolidated financial statements include all adjustments necessary to present fairly the financial position of CME as of March 31, 2001 and December 31, 2000, and the
results of its operations and cash flows for the periods indicated. The accompanying financial statements should be read in connection with the financial statements and notes thereto of the Chicago
Mercantile Exchange Inc. annual report dated December 31, 2000.

2.  Segment Reporting

The Exchange has two reportable operating segments: Chicago Mercantile Exchange Inc. (CME, a designated contract market and clearing house), and GFX
Corporation (GFX, a wholly owned trading subsidiary). A summary by business segment follows (dollars in thousands):

|                                       |  | CME |           | GFX |   | Eliminations |  | Total |       
|-------------------------------------- |  | --- | --------- | --- | - | ------------ |  | ----- | ------
|Three Months Ended March 31, 2001      |  |     |           |     |   |              |  |       |       
|Total revenues from external customers |  | $   | 88,266    |     | $ | 1,331        |  | $     |      
|Intersegment revenues                  |  |     |          |     |   |             |  |       |      
|Investment income                      |  |     | 2,537     |     |   | 36           |  |       |      
|Depreciation and amortization          |  |     | 8,850     |     |   | 38           |  |       |      
|Operating income                       |  |     | 33,041    |     |   | 306          |  |       |      
|Total assets                           |  |     | 1,160,886 |     |   | 5,606        |  |       | (5,445
|Purchases of property                  |  |     | 5,225     |     |   | 2            |  |       |      
|Three Months Ended March 31, 2000      |  |     |           |     |   |              |  |       |       
|Total revenues from external customers |  | $   | 54,326    |     | $ | 1,115        |  | $     |      
|Intersegment revenues                  |  |     | 35        |     |   | 300          |  |       | (335  
|Investment income                      |  |     | 2,071     |     |   | 77           |  |       |      
|Depreciation and amortization          |  |     | 8,265     |     |   | 37           |  |       |      
|Operating income (loss)                |  |     | (3,911    | )   |   | 223          |  |       | (132  
|Total assets                           |  |     | 406,230   |     |   | 7,773        |  |       | (7,811
|Purchases of property                  |  |     | 2,678     |     |   | 9            |  |       |      

3.  Performance Bonds and Security Deposits

Each firm that clears futures and options contracts traded on the Exchange is required to deposit and maintain specified margin in the form of cash, U.S.
Government securities or bank letters of credit. These performance bonds are available to meet only the financial obligations of that clearing firm to the Exchange. Cash performance bonds and security
deposits may fluctuate due to the investment choices available to clearing firms and the change in the amount of deposits required. As a result, these assets are subject to volatility. See
Note 5 of Notes to Consolidated Financial Statements in Exhibit 99.3 to CME's Annual Report on Form 10-K for the year ended December 31, 2000.

7

---



Item 2.  Management's Discussion and Analysis of Financial Condition and Results of Operations

General

Chicago Mercantile Exchange Inc. (CME) operates a derivatives exchange in which market participants may trade contracts designed to manage commodity price or
financial risk. That business generates revenues from bundled clearing and transaction fees that are charged for trade execution and from market data fees that are charged for the receipt of
information regarding exchange trading activity. Revenues are also generated by communications fees, investment income and other sources. The Exchange business is influenced by economic trends; trade
execution abilities and costs; available contracts, or products, enabling customers to manage risks; settlement capabilities; and technological capabilities. CME is also seeking to expand upon its
core competencies in trade execution and settlement into areas such as online business-to-business exchanges (B2B) where its transaction processing and settlement capabilities, and related risk
management instruments, may add value.

Results of Operations for the Three Months Ended March 31, 2001 and 2000:

CME's operations for the first three months of 2001 resulted in net income of $20.0 million compared to a net loss of $2.9 million for the same period
in 2000. This significant change in operating results was driven by a $34.6 million, or 60.0%, increase in revenue from 2000 to 2001, as well as a $2.6 million reduction in expenses from the first
quarter of 2000 to the same time period in 2001.

Revenues

Total revenue for the three months ended March 31, 2001 was $92.2 million compared to $57.6 million for the three months ended March 31, 2000. Of this
increase, $30.9 million, or 89.3%, resulted from additional clearing and GLOBEX®2transaction fees.

Clearing and transaction feesincreased primarily from record setting volume in the first quarter of 2001 when 92.7 million contracts
traded on the Exchange, establishing a record for the highest volume in any calendar quarter. Volume for the first quarter of 2001 represented a 56.3% increase over the
same period in 2000. Trading volume on CME's GLOBEX2electronic trading system was 16.2 million contracts, a 135.5% increase over the 6.9 million
contracts traded on GLOBEX2during the first quarter of 2000. These increased volume levels resulted from customers using CME markets to manage their
financial risk in a period of uncertainty over interest rates and volatility in the U.S. equities market. During the first quarter of 2001, the Federal Reserve lowered its Fed funds rate on three
occasions, for a total of 1.5%. Volume in CME's Eurodollar contract benefited as the need for risk management became increasingly important, accounting for 65.6% of total Exchange volume in the three
months ended March 31, 2001. Uncertainty over the economy and interest rates also resulted in volatility in the equity markets that was reflected in increased trading volume in CME's equity index
products. While additional trading volume was responsible for the most significant portion of the increase in transaction fees, a new pricing framework announced in December 2000 that took effect in
the first quarter of 2001 resulted in an additional $11.4 million of transaction fee revenue.

March
2001 was the busiest single volume month ever for CME, with 34.3 million contracts tradedbesting the previous record of 31.7 million contracts set in January 2001.
Prior to January 2001, the previous monthly volume record was set in September 1998 when 27.8 million contracts traded. CME also established a new all-time daily volume record of 2,245,027 contracts
on March 14, 2001, surpassing the previous record established on February 4, 1994. Record daily volume was processed on GLOBEX2on March 14, 2001 when
423,804 contracts were traded. In addition to setting new records for total trading volume, many individual contracts and product groups established new records during the three months ended March 31,
2001. Most notably, equity index and interest rate products set new monthly records in March 2001 and new exchange-wide open interest records were repeatedly established during the first quarter,
reaching a record 11.9 million positions on March 15,

8

---

2001. Open interest at March 31, 2001 was 10.4 million positions, an increase of 49.1% over year-ago levels.

Quotation data and communication feeswere $10.2 million and $2.3 million, respectively, for the first quarter of 2001. These amounts
were relatively constant from the same period in 2000. Quotation data revenue continued to be adversely impacted in 2001 by the bankruptcy filing in February 2001 of one of CME's larger customers. As
a result, a reserve of approximately $0.9 million has been established for the first half of the quarter.

Investment incomefor the three months ended March 31, 2001 was $2.6 million, a 19.8% increase from 2000. This is directly related to
improved financial performance of the Exchange during the quarter that resulted in additional funds available for investment as well as increased cash performance bonds on deposit with the Exchange
that were invested to benefit CME.

Other operating revenuealso increased significantly during the first quarter of 2001 to $6.2 million from $3.3 million in 2000. This
88.9% increase resulted from several factors. The number of access points to GLOBEX2increased 39.4% from March 31, 2000 to March 31, 2001, resulting in
an additional $1.8 million in GLOBEX2access charges. In addition, trading revenue generated by GFX
Corporation, a 100% owned subsidiary of CME, showed an increase, and additional revenue was generated by implementing charges for use of the Trade Order Processing System (TOPS).

Expenses

Total operating expenses were $58.8 and $61.4 million for the three months ended March 31, 2001 and 2000, respectively. The primary factor contributing to this
$2.6 million, or 4.2%, decrease was a $3.1 million decrease in salaries and benefits.

Salaries and benefitsfor the first three months of 2000 included approximately $5.2 million of one-time expenses relating to the
restructuring of CME management. These expenses included a $2 million sign-on bonus for the new President and CEO hired in February 2000, severance payments to departing executives with employment
contracts, and $1.5 million in expense for the stock options granted to the CEO. Prior to demutualization of the Exchange in November 2000, the expense relating to the option granted to the CEO was
recognized using variable accounting as prescribed under Accounting Principles Board (APB) Opinion No. 25 and related pronouncements. Since demutualization, fixed accounting treatment has been
utilized for a portion of the option. As a result, the expense relating to this option has decreased dramatically in 2001 and totaled less than $100,000 for the quarter ended March 31, 2001. Partially
offsetting these reductions was a rise in general compensation levels.

Occupancy expenserose a modest 4.7%, or $0.2 million, from the first quarter of 2000 to the same period in 2001. This increase is
directly related to increased trading volume, as a portion of CME's rent is determined based on volume.

Professional fees, outside services and licensestotaled $6.0 million for the three months ended March 31, 2001, relatively unchanged
from the first quarter of 2000.

Communications and computer and software maintenancefor the first quarter of 2001 totaled $10.0 million compared to $9.4 million for
the same period in 2000. Communication expenses are the single largest component of this expense category and are driven largely by the number of
GLOBEX2users and the type of connections they choose. While this expense increased $0.6 million, or 17.4%, from the first quarter of 2000 to the first
quarter of 2001, the increase was significantly lower than the increase in the number of access points to GLOBEX2as a result of efforts to manage these
communication expenses.

Depreciation and amortization expenseincreased $0.6 million from 2000 to 2001, totaling $8.9 million for the three months ended March
31, 2001. The increase resulted from the effect of equipment

9

---

and software purchases made late in 2000 as well as amortization on internally developed software completed in the second half of 2000.

Public relations and promotions expenseswere $0.6 million for the first quarter of 2001, approximately half of the $1.1 million
incurred during the same period of 2000. The strategy for the timing of advertising expenditures was changed in 2001, resulting in approximately $0.2 million of the decrease when compared to
the first quarter of 2000. Also, an incentive program that was in effect in the first quarter of 2000 was terminated. As a result, there was no similar expenditure in 2001.

Other operating expensesalso declined during the three months ended March 31, 2001 when compared to the same period in 2000 and
totaled $3.0 and $3.4 million, respectively. Decreases in currency delivery fees and state and local taxes were the primary factors that resulted in the 13.2% decline in these expenses.

During
the three months ended March 31, 2000, the limited partners' interest in the earnings of PMT Limited Partnership was $1.0 million. These interests were purchased by CME on
November 13, 2000 as part of the demutualization of the Exchange. Therefore, there was no reduction in earnings during the first quarter of 2001 as a result of the sharing of profits with the limited
partners of this entity.

CME
recorded a tax provision of $13.4 million for the quarter ended March 31, 2001 compared to a tax benefit of $1.9 million for the same period in 2000. The effective tax rate was
40.0% and remained constant from 2000 to 2001.

Financial Position:

Total assets of CME were $1.2 billion at March 31, 2001 compared to $380.6 million at December 31, 2000. This increase of
$780.4 million is primarily the result of the $753.0 million increase in cash performance bonds and security deposits generated during this time period and is exactly equal to the
increase in the related liability for these items. The investment portfolio of the Exchange rose by $11.1 million, or 25.1%, from December 31, 2000 to March 31, 2001. Operating
profits resulted in additional funds to be invested. Accounts receivable also showed a significant increase, rising from $27.7 million at December 31, 2000 to $40.1 million at
March 31, 2001. This is directly related to the record trading volume experienced in March 2001 and the resulting transaction fees. Transaction fees are billed to clearing firms at the
end of each month, causing the rise in receivables at the end of March 2001. Other assets consist primarily of software purchased and developed for internal use. Significant software purchases
completed in the first quarter of 2001 largely caused the $2.9 million increase in other assets.

Current
liabilities totaled $959.2 million at March 31, 2001, an increase of $761.7 million since December 31, 2000. This increase is due to the
$753.0 million increase in cash performance bonds and security deposits, coupled with a $5.9 million increase in accounts payable and a $2.8 million increase in other current
liabilities. The increase in accounts payable was driven primarily by a rise in share sales at the end of March. Funds received to purchase shares are held by CME for a period of time to settle any
possible claims against the seller of the shares. These funds being held, and the liability to disburse them, increased $3.4 million from December 31, 2000 to the end of the first
quarter of 2001. The increase in other current liabilities resulted primarily from two factors. First, income taxes payable increased by $13.4 million from year-end 2000 to
March 31, 2001 as a result of the operating income experienced in the first quarter. This increase was partially offset by a $7.3 million decrease in bonuses payable resulting from the
payment in the first quarter of 2001 of bonuses earned in 2000. Long-term debt was reduced during the three-month period ended March 31, 2001 as a result of scheduled payments. No
additional debt was incurred during the period.

At
March 31, 2001 the Exchange had working capital of $86.4 million, an increase of 25.0% when compared to the $69.1 million of working capital at
December 31, 2000. The current ratio, when

10

---

calculated excluding cash performance bonds and security deposits, was 2.7:1 at March 31, 2001 and was unchanged from December 31, 2000.

Liquidity and Capital Resources:

Net cash provided by operating activities was $18.8 million for the quarter ended March 31, 2001 compared to cash used in operating activities of
$10.6 million for the same period in 2000. The $29.4 million increase in cash provided by operating activities is directly linked to the improved operating performance of CME during the
first quarter of 2001.

As
discussed previously, the investment portfolio of CME increased during the first quarter of 2001. These purchases, along with property purchases, resulted in a $15.9 million
use of cash. Conversely, in the first quarter of 2000, investment sales were used to fund property purchases and provide the cash required to fund operations.

Overall,
CME experienced a $2.0 million increase in cash and cash equivalents during the three months ended March 31, 2001 compared to a $0.8 million decrease in
the same period in 2000.

Item 3.  Quantitative and Qualitative Disclosures about Market Risk

Interest Rate Risk

Interest income from investment securities, temporary cash investments, cash performance bonds and security deposits was $2.6 million in the first
quarter of 2001. Realized and unrealized gains (losses) in the investment portfolio totaled $428,000 and ($49,000) in the quarter ended 2001 and 2000, respectively. An increase (decrease) in market
interest rates would have a corresponding increase (decrease) on interest income from temporary cash investments, cash performance bonds and security deposits, variable rate investment securities and
new purchases of investment securities. An increase (decrease) in market interest rates also would result in an opposite increase (decrease) in the fair value of investment securities held. At
March 31, 2001, CME's investment portfolio consisted primarily of U.S. government agency and state and municipal securities, including approximately $7.8 million in variable rate
securities. Contractual maturities and interest coupon rates for fixed rate investment securities at March 31, 2001 were as follows (dollars in thousands):

Year

Principal
Amount

Interest Rate2001

$
14,100

6.4
%2002


6,270

6.72003


5,000

5.02004


5,855

6.22005


4,695

4.32006


9,705

5.52007


1,000

7.0Total

$
46,625

5.9
%


Derivative Trading Risk

GFX Corporation, CME's wholly owned trading subsidiary, engages in the purchase and sale of CME foreign currency futures contracts to promote liquidity in CME
products and subsequently enters into offsetting transactions using futures contracts or spot foreign currency transactions to limit market risk. Net position limits are established for each trader
and currently amount to $6.0 million in aggregate notional value. At March 31, 2001, GFX held futures positions with a notional value of $77.4 million, offset by a similar amount
of spot foreign currency positions, resulting in a zero net position. All positions are marked to market through a charge or credit to income on a daily basis. Net trading gains were
$1.3 million and $1.1 million for the three months ended March 31, 2001 and 2000, respectively.

11

---



PART II.  OTHER INFORMATION

Item 6.  Exhibits and Reports on Form 8-K

|(a) |  | Exhibits:                                                                                                                                                                                           
|--- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|    |  | None.                                                                                                                                                                                               
|(b) |  | Reports on Form 8-K:                                                                                                                                                                                
|    |  | Current report on Form 8-K/A dated November 13, 2000, filed January 26, 2001, which included the following financial statements as to the indicated entities for the indicated periods under Item 7:
|    |  | (1)                                                                                                                                                                                                 
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     
|    |  | (2)                                                                                                                                                                                                 
|    |  |                                                                                                                                                                                                     
|    |  |                                                                                                                                                                                                     

12

---



SIGNATURES

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

|                      |  | CHICAGO MERCANTILE EXCHANGE INC.
  (Registrant)
|--------------------- |  | -----------------------------------------------
|May 15, 2001
  (Date) |  | By                                             

13

---

QuickLinks