EXHIBIT 99.3

Consolidated Financial Statements

Report of Independent Public Accountants

To
the Board of Directors and Shareholders of Chicago Mercantile Exchange Inc.:

We
have audited the accompanying consolidated balance sheets of Chicago Mercantile Exchange Inc. (a Delaware corporation) and subsidiaries as of December 31, 2000 and 1999, and the
related consolidated statements of income, shareholders' equity and comprehensive income and cash flows for each of the years in the three-year period ended December 31, 2000. These financial
statements are the responsibility of the Exchange's management. Our responsibility is to express an opinion on these financial statements based on our audits.

We
conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.

In
our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Chicago Mercantile Exchange Inc. and subsidiaries as of
December 31, 2000 and 1999, and the results of their operations and their cash flows for each of the years in the three-year period ended December 31, 2000, in conformity with accounting principles
generally accepted in the United States.

Our
audit was made for the purpose of forming an opinion on the basic financial statements taken as a whole. The schedule of Valuation and Qualifying Accounts is presented for
purposes of complying with the Securities and Exchange Commission's rules and is not part of the basic financial statements. This schedule has been subjected to the auditing procedures applied in the
audit of the basic financial statements and, in our opinion, fairly states in all material respects the financial data required to be set forth therein in relation to the basic financial statements
taken as a whole.

Arthur
Andersen LLP

Chicago,
Illinois
February 8, 2001

F-1

---

Chicago Mercantile Exchange Inc. and Subsidiaries    Consolidated Balance Sheets

|                                                                    |                                                                                                                | At December 31, |        
|------------------------------------------------------------------- | -------------------------------------------------------------------------------------------------------------- | --------------- | -------
|
|
|Assets                                                              |                                                                                                                |                 |        
|Current Assets:                                                     |                                                                                                                |                 |        
|                                                                    | Cash and cash equivalents                                                                                      |                 | $      
|                                                                    | Investments (note 3)                                                                                           |                 |        
|                                                                    | Accounts receivable, net of allowance of $1,700 and $350                                                       |                 |        
|                                                                    | Other current assets (note 4)                                                                                  |                 |        
|                                                                    | Cash performance bonds and security deposits (note 5)                                                          |                 |        
|                                                                    |                                                                                                                |                 |        
|Total current assets                                                |                                                                                                                |                 | 266,631
|Property, net of accumulated depreciation and amortization (note 6) |                                                                                                                |                 | 80,393 
|Other assets (notes 3, 7 and 8)                                     |                                                                                                                |                 | 33,619 
|                                                                    |                                                                                                                |                 |        
|Total assets                                                        |                                                                                                                | $               | 380,643
|                                                                    |                                                                                                                |                 |        
|Liabilities and Shareholders' Equity                                |                                                                                                                |                 |        
|Current Liabilities:                                                |                                                                                                                |                 |        
|                                                                    | Accounts payable                                                                                               |                 | $      
|                                                                    | Other current liabilities (note 9)                                                                             |                 |        
|                                                                    | Cash performance bonds and security deposits (note 5)                                                          |                 |        
|                                                                    |                                                                                                                |                 |        
|Total current liabilities                                           |                                                                                                                |                 | 197,493
|Limited partners' interest in net assets of PMT (note 10)           |                                                                                                                |                 |       
|Long-term debt (notes 11 and 12)                                    |                                                                                                                |                 | 6,063  
|Other liabilities (notes 13 and 15)                                 |                                                                                                                |                 | 13,416 
|                                                                    |                                                                                                                |                 |        
|Total liabilities                                                   |                                                                                                                |                 | 216,972
|Shareholders' Equity: (note 14)                                     |                                                                                                                |                 |        
|                                                                    | 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 |                 |        
|                                                                    | Class B common stock, $0.01 par value, 4,892 shares authorized, 4,722 shares issued and outstanding            |                 |        
|                                                                    | Additional paid-in capital                                                                                     |                 |        
|                                                                    | Retained earnings                                                                                              |                 |        
|                                                                    | Accumulated unrealized losses on securities                                                                    |                 |        
|                                                                    |                                                                                                                |                 |        
|Total shareholders' equity                                          |                                                                                                                |                 | 163,671
|                                                                    |                                                                                                                |                 |        
|Total liabilities and shareholders' equity                          |                                                                                                                | $               | 380,643
|                                                                    |                                                                                                                |                 |        

See
accompanying notes to consolidated financial statements.

F-2

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Chicago Mercantile Exchange Inc. and Subsidiaries    Consolidated Statements of Income

|                                                                        |                                                      | Year ended December 31, |       
|----------------------------------------------------------------------- | ---------------------------------------------------- | ----------------------- | ------
|
|
|Revenues                                                                |                                                      |                         |       
|                                                                        | Clearing and transaction fees                        |                         | $     
|                                                                        | Quotation data fees                                  |                         |       
|                                                                        | Communication fees                                   |                         |       
|                                                                        | Investment income                                    |                         |       
|                                                                        | Other operating revenue                              |                         |       
|                                                                        |                                                      |                         |       
|                                                                        | Total revenues                                       |                         |       
|                                                                        |                                                      |                         |       
|Expenses                                                                |                                                      |                         |       
|                                                                        | Salaries and benefits (notes 13 and 15)              |                         |       
|                                                                        | 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 |                                                      |                         | (8,083
|Limited partners' interest in earnings of PMT (note 10)                 |                                                      |                         | (1,165
|Income tax (provision) benefit (note 8)                                 |                                                      |                         | 3,339 
|                                                                        |                                                      |                         |       
|Net income (loss)                                                       |                                                      | $                       | (5,909
|                                                                        |                                                      |                         |       

See
accompanying notes to consolidated financial statements.

F-3

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Chicago Mercantile Exchange Inc. and Subsidiaries    Consolidated Statements of Shareholders' Equity and Comprehensive Income

|                                 |                                                                         |            |  |       |  | Common Stock
and
Additional
Paid-In
Capital |        |  |   |         |        |   |     
|-------------------------------- | ----------------------------------------------------------------------- | ---------- |  | ----- |  | ------------------------------------------- | ------ |  | - | ------- | ------ | - | ----
|
|
|
|
|
|Balance, December 31, 1997       |                                                                         |           |  |      |  | $                                           | 43,605 |  | $ | 115,729 |        | $ | 220 
|Comprehensive income:            |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 | Net income                                                              |            |  |       |  |                                             |        |  |   |         | 7,029  |   |     
|                                 | Change in unrealized net gain on securities, net of tax of $209         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Total comprehensive income       |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Balance, December 31, 1998       |                                                                         |           |  |      |  | $                                           | 43,605 |  | $ | 122,758 |        | $ | 534 
|Comprehensive income:            |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 | Net income                                                              |            |  |       |  |                                             |        |  |   |         | 2,663  |   |     
|                                 | Change in unrealized net loss on securities, net of tax benefit of $597 |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Total comprehensive income       |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Balance, December 31, 1999       |                                                                         |           |  |      |  | $                                           | 43,605 |  | $ | 125,421 |        | $ | (363
|Comprehensive income:            |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 | Net loss                                                                |            |  |       |  |                                             |        |  |   |         | (5,909 | ) |     
|                                 | Change in unrealized net gain on securities, net of tax of $234         |            |  |       |  |                                             |        |  |   |         |        |   |     
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Total comprehensive income       |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Other: Stock-based compensation  |                                                                         |            |  |       |  |                                             | 565    |  |   |         |        |   |     
|Issuance of Class A common stock |                                                                         | 25,855,200 |  |       |  |                                             |        |  |   |         |        |   |     
|Issuance of Class B common stock |                                                                         |            |  | 4,722 |  |                                             |        |  |   |         |        |   |     
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     
|Balance, December 31, 2000       |                                                                         | 25,855,200 |  | 4,722 |  | $                                           | 44,170 |  | $ | 119,512 |        | $ | (11 
|                                 |                                                                         |            |  |       |  |                                             |        |  |   |         |        |   |     

See accompanying notes to consolidated financial statements.

F-4

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Chicago Mercantile Exchange Inc. and Subsidiaries    Consolidated Statements of Cash Flows

|                                                     |                                                   | Year Ended December 31,                                                           |       
|---------------------------------------------------- | ------------------------------------------------- | --------------------------------------------------------------------------------- | ------
|
|
|Cash flows from operating activities:                |                                                   |                                                                                   |       
|                                                     | Net income (loss)                                 |                                                                                   | $     
|                                                     |                                                   | Adjustments to reconcile net income to net cash provided by operating activities: |       
|                                                     |                                                   | Limited partners' interest in earnings of PMT                                     |       
|                                                     |                                                   | Deferred income tax provision (benefit)                                           |       
|                                                     |                                                   | Depreciation and amortization                                                     |       
|                                                     |                                                   | Loss (gain) on sale of investments                                                |       
|                                                     |                                                   | Loss on disposal of fixed assets                                                  |       
|                                                     |                                                   | Increase in allowance for doubtful accounts                                       |       
|                                                     |                                                   | Decrease (increase) in accounts receivable                                        |       
|                                                     |                                                   | Decrease (increase) in other current assets                                       |       
|                                                     |                                                   | Increase in other assets                                                          |       
|                                                     |                                                   | Increase (decrease) in accounts payable                                           |       
|                                                     |                                                   | Increase (decrease) in other current liabilities                                  |       
|                                                     |                                                   | Increase in other liabilities                                                     |       
|                                                     |                                                   | Other adjustments for non-cash items                                              |       
|                                                     |                                                   |                                                                                   |       
|Net cash provided by operating activities            |                                                   |                                                                                   | 18,968
|                                                     |                                                   |                                                                                   |       
|Cash flows from investing activities:                |                                                   |                                                                                   |       
|                                                     | Purchases of property, net                        |                                                                                   |       
|                                                     | Purchases of investments                          |                                                                                   |       
|                                                     | Proceeds from sales and maturities of investments |                                                                                   |       
|                                                     | Purchase of limited partners' interest in PMT     |                                                                                   |       
|                                                     |                                                   |                                                                                   |       
|Net cash provided by (used in) investing activities  |                                                   |                                                                                   | 1,049 
|                                                     |                                                   |                                                                                   |       
|Cash flows from financing activities:                |                                                   |                                                                                   |       
|                                                     | Payments on long-term debt                        |                                                                                   |       
|                                                     | Distribution to limited partners of PMT           |                                                                                   |       
|                                                     |                                                   |                                                                                   |       
|Net cash used in financing activities                |                                                   |                                                                                   | (3,611
|                                                     |                                                   |                                                                                   |       
|Net increase (decrease) in cash and cash equivalents |                                                   |                                                                                   | 16,406
|Cash and cash equivalents, beginning of year         |                                                   |                                                                                   | 14,249
|                                                     |                                                   |                                                                                   |       
|Cash and cash equivalents, end of year               |                                                   | $                                                                                 | 30,655
|                                                     |                                                   |                                                                                   |       
|Supplemental disclosure of cash flow information:    |                                                   |                                                                                   |       
|                                                     | Interest paid                                     |                                                                                   | $     
|                                                     | Income taxes paid (refunded)                      |                                                                                   | $     
|                                                     | Leased asset additions and related obligations    |                                                                                   | $     

See accompanying notes to consolidated financial statements.

F-5

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Chicago Mercantile Exchange Inc. and Subsidiaries    Notes to Consolidated Financial Statements

1.  Description of Business and Basis of Presentation

Chicago Mercantile Exchange Inc. (CME) is a Delaware stock corporation. CME is a designated contract market for the trading of futures and options on futures
contracts. Trades are executed through both open outcry and electronic trading systems. Through its in-house Clearing House Division, CME clears, settles, nets and guarantees performance of all
matched transactions in its products.

The
consolidated financial statements include the results of CME and its controlled subsidiaries, which include P-M-T Limited Partnership and GFX Corporation (collectively, the
Exchange). All inter-company transactions and accounts have been eliminated in consolidation.

Chicago
Mercantile Exchange Inc. resulted from the completion of a demutualization process whereby the Chicago Mercantile Exchange, an Illinois not-for-profit membership organization,
became a for-profit stock corporation. The transaction resulted in the conversion of membership interests in the Illinois corporation into stock ownership in the Delaware corporation.

The
proposal to demutualize was approved by the membership of the Exchange on June 6, 2000, at which time the holders of the units of P-M-T Limited Partnership (PMT) also approved the
cash purchase of the assets and business of PMT by the Exchange (note 10). The process also required the approval of certain rule changes by the Commodity Futures Trading Commission and a ruling from
the Internal Revenue Service regarding the tax consequences of the transaction. These were obtained, and the demutualization process was completed on November 13, 2000.

The
demutualization process was effected through a three-step process. First, the Illinois not-for-profit corporation was merged into a Delaware nonstock corporation, CME Transitory
Co., for the purpose of reincorporating in Delaware. Each membership interest in the Illinois not-for-profit corporation was converted into an equivalent membership interest in CME Transitory Co. In
the second step, CME Transitory Co. merged into the Delaware for-profit stock corporation and membership interests were converted into five classes of common stock based on the type of membership
previously owned. In the final step, the Delaware for-profit stock corporation was recapitalized and Class A and B shares of common stock were issued (note 14).

The
Class A shares represent pure equity rights and were issued to individuals who previously owned certain types of memberships. Class B shares confer the trading privileges
previously associated with membership in the Illinois not-for-profit corporation. These shares were issued in five series that correspond to the five classes of membership in the Illinois
not-for-profit corporation.

The
merger of the CME not-for-profit corporation into the Delaware stock corporation was accounted for as a pooling of interests because of the common owners before and after the
transaction.

As
a result of the demutualization transaction, in the ordinary course of business, a significant portion of accounts receivable will be from shareholders of CME.

2.  Summary of Significant Accounting Policies

Cash and Cash EquivalentsCash equivalents consist of highly liquid investments with maturities of three months or less
when purchased.

InvestmentsInvestment securities generally have been classified as available for sale and are carried at fair value, with
unrealized gains and losses reported net of tax as a component of shareholders' equity and comprehensive income. Interest on investment securities is recognized as

F-6

---

income when earned and includes accreted discount less amortized premium. Realized gains and losses are calculated using specific identification.

Additional
securities held in connection with non-qualified deferred compensation plans have been classified as trading securities. These securities are included in other assets in
the accompanying consolidated balance sheets at fair value, and unrealized gains and losses are reflected in investment income.

Performance Bonds and Security DepositsPerformance bonds and security deposits held by the Exchange for the account of
clearing members may be in the form of cash or securities. Cash performance bonds and security deposits are reflected in the accompanying consolidated balance sheets. Cash received may be invested,
and any interest received accrues to the Exchange. Securities consist primarily of short-term U.S. Treasury securities and are not reflected in the accompanying consolidated balance sheets. These
securities are held in safekeeping, and interest and gain or loss on such securities accrues to the clearing member.

PropertyProperty is stated at cost less accumulated depreciation and amortization. Depreciation on furniture, fixtures and
equipment is provided on the straight-line method over the estimated useful lives of the assets, generally three to seven years. In 2000, the Exchange reduced the depreciable lives of newly purchased
equipment from five years to four years. Leasehold improvements are amortized over the lesser of their estimated useful lives or the remaining term of the applicable leases. Maintenance and repair
items are charged to expense as incurred; renewals and betterments are capitalized.

SoftwareDuring 1998 and prior years, the Exchange expensed all internal and external costs associated with the development
of software for internal use. In March 1998, the American Institute of Certified Public Accountants issued Statement of Position 98-1, "Accounting for the Costs of Computer Software Developed or
Obtained for Internal Use" (SOP 98-1). This pronouncement identifies the characteristics of internal use software and provides guidance on new cost recognition principles. SOP 98-1 is effective for
financial statements for fiscal years beginning after December 15, 1998. The Exchange adopted SOP 98-1 effective January 1, 1999, and accordingly, began capitalizing certain costs of developing
internal use software, which would otherwise have been expensed under its previous accounting policy. Capitalized costs are generally amortized over three years, commencing with the completion of the
project.

In
2000, the Exchange reduced the depreciable lives of newly purchased software from five years to four years.

Fair Value of Financial InstrumentsStatement of Financial Accounting Standards (SFAS) No. 107, "Disclosures about Fair
Value of Financial Instruments," requires disclosure of the fair value of
financial instruments. The carrying values of financial instruments included in assets and liabilities in the accompanying consolidated balance sheets are reasonable estimates of their fair values.

Impairment of AssetsThe Exchange reviews its long-lived assets and intangible assets for impairment whenever events or
changes in circumstances indicate that the carrying amounts may not be recoverable. If such assets are considered to be impaired, the impairment to be recognized is measured by the amount by which the
carrying amount of the assets exceeds the fair value of the assets.

Stock-Based CompensationAs permitted by SFAS No. 123, "Accounting for Stock Based Compensation," the Exchange accounts for
its stock-based compensation on the intrinsic value method in accordance with Accounting Principles Board (APB) Opinion No. 25, "Accounting for Stock Issued to Employees." CME provides pro forma
disclosures of net income (loss) as required under SFAS No. 123.

F-7

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Clearing and Transaction FeesClearing and transaction fees include per contract charges for trade execution and clearing
and GLOBEX2 electronic system fees. Fees are charged at various rates based on the product traded and the account owner's Exchange trading privileges and are included in revenue when trades are
cleared. An accrual is established for fee adjustments to reflect corrections in account owner information. Periodically, rates have been adjusted or waived.

Quotation Data FeesQuotation revenue represents fees charged for the dissemination of market information.

Revenue RecognitionThe Securities and Exchange Commission has issued Staff Accounting Bulletin No. 101 on revenue
recognition. CME's revenue recognition policies comply with the requirements of this Bulletin.

Derivative TransactionsAs required by SFAS No. 133, "Accounting for Derivatives and Similar Financial Instruments and for
Hedging Activities," the realized and unrealized gains and losses relating to GFX trading transactions are reflected in the operating results of the Exchange.

Income TaxesDeferred income taxes are determined in accordance with SFAS No. 109, "Accounting for Income Taxes," and arise
from temporary differences between amounts reported for income tax and financial statement purposes.

Use of EstimatesThe preparation of financial statements in conformity with generally accepted accounting principles in the
United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

ReclassificationsCertain reclassifications have been made to the 1999 and 1998 consolidated financial statements to
conform to the presentation in 2000. In addition, in 1999 the Exchange adopted a new balance sheet presentation for performance bonds and security deposits as described above, and the accompanying
balance sheets reflect this new presentation. The Exchange previously included performance bonds and security deposits received from its clearing members in the form of securities as both an asset and
a liability in its consolidated balance sheets.

3.  Investment Securities

Investment securities included in current assets have been classified as available for sale. The amortized cost and fair value of these investment securities
at December 31, 2000 and 1999, were as follows (dollars in thousands):

2000

1999Amortized
Cost

Fair Value

Amortized
Cost

Fair ValueU.S. Treasury

$
109

$
109

$
64

$
64U.S. Government agency


13,284


13,286


16,563


16,191State and municipal


30,952


30,931


44,135


43,901Total investment securities

$
44,345

$
44,326

$
60,762

$
60,156


Unrealized
gains (losses) on investment securities classified as available for sale, included in the accompanying consolidated statements of changes in shareholders' equity, are
reported as a component

F-8

---

of comprehensive income. The amortized cost and fair value of these investment securities at December 31, 2000, by contractual maturity, were as follows (dollars in thousands):

Amortized
Cost

Fair ValueMaturity of one year or less

$
18,279

$
18,287Maturity between one and five years


23,901


23,874Maturity greater than five years


2,165


2,165Total

$
44,345

$
44,326


Trading
securities held in connection with non-qualified deferred compensation plans are included in other assets and amounted to approximately $5.9 million at December 31, 2000 and
$6.9 million at December 31, 1999. Investment income includes unrealized gains (losses) relating to the non-qualified deferred compensation plans' trading securities of $(723,000), $469,000 and
$407,000 for the years ended December 31, 2000, 1999 and 1998, respectively.

4.  Other Current Assets

Other current assets consisted of the following at December 31 (dollars in thousands):

2000

1999Refundable income taxes

$
4,568

$
5,913Prepaid expenses


1,806


2,640Accrued interest receivable


1,503


740Total

$
7,877

$
9,293


5.  Performance Bonds and Security Deposits

The Exchange is a designated contract market for futures and options on futures, and clears and guarantees the settlement of all futures and options contracts
traded in its markets. In its guarantor role, the Exchange has precisely equal and offsetting claims to and from clearing firms on opposite sides of each contract. CME bears counterparty credit risk
in the event that future market movements create conditions which could lead to clearing firms failing to meet their obligations to the Exchange. CME reduces its exposure through a risk management
program which includes rigorous initial and ongoing financial standards for designation as a clearing firm, initial and maintenance performance bond requirements and mandatory security deposits. In
addition, the Exchange maintains an unsecured committed line of credit with a consortium of banks (note 16) in the amount of $350.0 million to provide liquidity and capacity to pay settlement
variation to all clearing firms, even if a clearing firm may have failed to meet its financial obligations to CME, or in the event of a temporary problem with the domestic payments system that would
delay payments of settlement variation between the Exchange and its clearing firms.

Each
clearing firm is required to deposit and maintain specified margin in the form of cash, U.S. Government securities or bank letter of credit. These performance bonds are available
to meet only the financial obligations of that clearing firm to the Exchange. All obligations and non-cash margin deposits are marked to market on a daily basis, and haircuts are applied for margin
and risk management purposes. 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.

F-9

---

The Exchange is required under the Commodity Exchange Act to segregate cash and securities deposited by clearing firms on behalf of their customers. In addition, Exchange rules
require a segregation of all funds deposited by clearing firms from operating funds.

Clearing
firms, at their option, may instruct the Exchange to invest cash on deposit for performance bond purposes in a portfolio of securities in the Exchange's Interest Earning
Facility (IEF). The IEF was organized in 1997 as two limited liability companies, and interest earned, net of expenses, is passed on to participating member firms. IEF principal is guaranteed by the
Exchange. The IEF investment portfolio is managed by two of the Exchange's approved settlement banks, and eligible investments include U.S. Treasury bills and notes, U.S. Treasury strips and reverse
repurchase agreements. Repurchase agreements also are permitted. The maximum average portfolio maturity is 90 days, and the maximum maturity for an individual security is 13 months. IEF principal
amounted to approximately $1.8 billion and $761.9 million at December 31, 2000 and 1999, respectively. Management believes that the market risk exposure relating to its guarantee is not material to
the financial statements taken as a whole. The Exchange earned fees under the IEF program in the amount of $946,000, $932,000 and $428,000 during 2000, 1999 and 1998, respectively.

Under
an agreement between CME and the Board of Trade Clearing Corporation (BOTCC), firms that are clearing members of both CME and BOTCC may place required performance bonds in one
common bank account and designate the portion allocable to each clearing organization. The Exchange and the Options Clearing Corporation (OCC) have a cross-margin arrangement, whereby a common
clearing firm may maintain a cross-margin account in which the clearing firm's positions in certain futures and options on futures are combined with certain OCC-cleared option positions for purposes
of calculating performance bond requirements. The performance bond deposits are held jointly by the Exchange and the OCC. In addition, a cross-margin agreement with the London Clearing House (LCH)
became effective in March 2000, whereby offsetting positions with CME and LCH are subject to reduced margin requirements.

Each
clearing firm also is required to deposit and maintain specified security deposits in the form of cash or securities. In the event that performance bonds and security deposits of
a defaulting clearing firm are inadequate to fulfill that clearing firm's outstanding financial obligation, the entire security deposit fund is available to cover potential losses after first
utilizing surplus operating funds of the Exchange.

Cash
and securities held as performance bonds and security deposits at December 31 were as follows (dollars in thousands):

2000

1999Cash

Securities and
IEF Funds

Cash

Securities and
IEF FundsPerformance bonds

$
150,051

$
25,271,341

$
68,738

$
17,841,859Security deposits


5,997


398,786


4,396


351,897Cross-margin securities, held jointly with OCC





1,012,515





1,056,709Total

$
156,048

$
26,682,642

$
73,134

$
19,250,465


F-10

---

In
addition, irrevocable letters of credit held as performance bond deposits, which are not included in the accompanying consolidated balance sheets, at December 31 were as follows (dollars in
thousands):

2000

1999Performance bonds

$
1,335,000

$
1,000,350Cross-margin accounts


151,700


77,010Total letters of credit

$
1,486,700

$
1,077,360


6.  Property

A summary of the property accounts as of December 31 is presented below (dollars in thousands):

2000

1999Furniture, fixtures and equipment

$
148,846

$
140,836Leasehold improvements


88,530


83,461Total property


237,376


224,297Less accumulated depreciation and amortization


(156,983
)

(130,766
)Net property

$
80,393

$
93,531


Included
in property are assets that were acquired through capital leases in the amount of $16.0 million and $14.1 million (net of accumulated amortization of $4.9 million and $2.0
million) at December 31,
2000 and 1999, respectively. Depreciation of these assets is included in depreciation and amortization expense.

7.  Other Assets

Other assets consisted of the following at December 31 (dollars in thousands):

2000

1999Software development costs

$
22,598

$
15,326Less accumulated amortization


(5,933
)

(935
)Software


13,290


9,300Less accumulated amortization


(7,722
)

(5,469
)Deferred compensation assets


5,910


6,934Net deferred tax asset


4,823


5,868Other


653


511Total

$
33,619

$
31,535


F-11

---

8.  Income Taxes

The provision (benefit) for income taxes from continuing operations is comprised of the following (dollars in thousands):

2000

1999

1998Current:Federal

$
(3,544
)
$
(2,721
)
$
4,613State


(606
)

(511
)

1,013Total


(4,150
)

(3,232
)

5,626Deferred:Federal


784


4,166


(1,075
)State


27


921


(236
)Total


811


5,087


(1,311
)Total provision (benefit) for income taxes

$
(3,339
)
$
1,855

$
4,315


Reconciliation
of the statutory U.S. federal income tax rate to the effective tax rate on income (loss) from continuing operations is as follows:

2000

1999

1998Statutory U.S. federal tax rate

(35.0
)%
35.0
%
35.0
%State taxes, net of federal benefit

(3.8
)
5.9

3.8Tax-exempt interest income

(5.3
)
(15.0
)
(6.6
)Nondeductible expenses

12.1

21.1

3.7Other, net

(4.1
)
(5.9
)
2.1Effective tax rate-provision (benefit)

(36.1
)%
41.1
%
38.0
%


At
December 31, the components of deferred tax assets (liabilities) were as follows (dollars in thousands):

2000

1999Deferred tax assets:Depreciation and amortization

$
5,724

$
6,085Deferred compensation


2,331


2,452Accrued expenses


4,032


2,929Unrealized losses on securities


7


242Subtotal


12,094


11,708Valuation allowance





Deferred tax assets


12,094


11,708Deferred tax liabilities:Software development costs


(6,593
)

(5,709
)Other


(678
)

(131
)Deferred tax liabilities


(7,271
)

(5,840
)Net deferred tax asset

$
4,823

$
5,868


F-12

---

9.  Other Current Liabilities

Other current liabilities consisted of the following at December 31 (dollars in thousands):

2000

1999Accrued salaries and benefits

$
16,550

$
12,966Accrued fee adjustments


5,215


1,615Current portion of long-term debt


3,627


3,262Accrued operating expenses


2,526


2,548Other


2,431


2,474Total

$
30,349

$
22,865


10. P-M-T Limited Partnership

The Exchange was the general partner and members and clearing firms of the Exchange were limited partners in P-M-T Limited Partnership, an Illinois Limited
Partnership. PMT was formed in 1987 to initiate the development of the GLOBEX global electronic trading system (GLOBEX). Since December 1998, the current version of this system, GLOBEX2, has been
operated by the Exchange using electronic trading software licensed from ParisBourse[SBF]SA. The Exchange charged PMT for services provided.

The
limited partners of PMT approved the sale of all of the assets and business of PMT to the Exchange as part of the demutualization process. The sale was effective November 13,
2000. The purchase price was $5.1 million and was based on an independent appraisal of the Partnership. Total distribution to the partners of PMT was the purchase price plus interest of 1% over prime
from the date of sale to the date of distribution, and included a payment to CME as general partner of $1.1 million. The transaction was recorded using the purchase method of accounting and was
effected at an
amount approximately equal to the net assets of the Partnership. As a result, no goodwill or adjustment to the carrying value of assets was required.

PMT
reported net income of $1.4 million for the period from January 1, 2000 to November 13, 2000 and $2.6 million and $3.5 million for the years ended December 31, 1999 and 1998,
respectively. An income distribution of $2.4 million was made to the partners in 1998. If the assets and business of the Partnership had been purchased by the Exchange as of January 1, 2000, the net
operating loss of CME for 2000 would have been reduced by approximately $615,000.

11. Lease Commitments

The Exchange has commitments under operating and capital leases for certain facilities and equipment. Lease commitments for office space expire in the year
2003, with annual minimum rentals of approximately $7.9 million. The Exchange leases trading facilities from the Chicago Mercantile Exchange Trust through October 2005, with annual minimum rentals of
approximately $1.3 million, and has an option to extend the term of the lease thereafter. Total rental expense was approximately $17.4 million in 2000, $15.1 million in 1999 and $18.0 million in 1998.

F-13

---

Future minimum obligations under lease commitments in effect at December 31, 2000 were as follows (dollars in thousands):

Capitalized
Leases

Operating
Leases2001

$
4,200

$
10,3242002


3,636


10,2062003


2,543


9,2142004


344


1,5752005





1,124Total minimum lease payments


10,723


32,443Less sublease commitments





(1,101
)Less amount representing interest


(1,033
)

Total

$
9,690

$
31,342


12. Long-Term Debt

Long-term debt consists of the long-term portion of capitalized lease obligations.

13. Employee Benefit Plans

Pension PlanThe Exchange maintains a noncontributory defined benefit cash balance pension plan (Plan) for eligible
employees. Employees who have completed a continuous twelve-month period of
employment and have reached the age of 21 are eligible to participate. The Plan provides for an age-based contribution to the cash balance account and includes cash bonuses in the definition of
considered earnings. Participant cash balance accounts receive an interest credit at the one-year U.S. Treasury bill rate. Participants become vested in their accounts after five years. The Exchange's
policy is to currently fund required pension costs by the due dates specified under the Employee Retirement Income Security Act (ERISA).

F-14

---

A reconciliation of beginning and ending balances of the benefit obligation and fair value of Plan assets, the funded status of the Plan, certain actuarial assumptions and the
components of pension cost are indicated below (dollars in thousands):

2000

1999Change in benefit obligation:Benefit obligation at beginning of year

$
13,468

$
11,826Service cost


2,235


2,052Interest cost


1,207


988Actuarial loss (gain)


748


(303
)Benefits paid


(1,557
)

(1,095
)Benefit obligation at end of year

$
16,101

$
13,468Change in plan assets:Fair value of plan assets at beginning of year

$
15,168

$
13,522Actual return on plan assets


357


1,741Employer contribution





1,000Benefits paid


(1,557
)

(1,095
)Fair value of plan assets at end of year

$
13,968

$
15,168Funded status at December 31:Plan assets in excess of (less than) benefit obligation


(2,133
)
$
1,700Unrecognized transition asset


(261
)

(335
)Unrecognized prior service cost (credit)


(176
)

(227
)Unrecognized net actuarial gain


(1,674
)

(3,082
)Accrued benefit cost

$
(4,244
)
$
(1,944
)


2000

1999

1998Actuarial assumptions as of December 31:Discount rate


7.50
%

7.75
%

6.75
%Rate of compensation increase


5.00
%

5.00
%

5.00
%Expected return on plan assets


8.00
%

8.00
%

8.00
%Components of pension cost:Service cost

$
2,235

$
2,052

$
1,774Interest cost


1,207


988


850Expected return on plan assets


(1,017
)

(925
)

(803
)Amortization of prior service cost


(51
)

(51
)

(51
)Amortization of transition asset


(74
)

(74
)

(74
)Net pension cost

$
2,300

$
1,990

$
1,696


Savings PlanThe Exchange maintains a savings plan pursuant to Section 401(k) of the Internal Revenue Code, whereby all
employees are participants and have the option to contribute to the Plan.
The Exchange matches employee contributions up to 3% of the employee's base salary and makes an additional contribution of up to 2% of salary based on annual trading volume. Total expense for the
savings plan amounted to $2.1 million, $1.3 million and $1.8 million in 2000, 1999 and 1998, respectively.

Non-Qualified PlansThe Exchange maintains the following non-qualified plans, under which participants may make assumed
investment choices with respect to amounts contributed on their behalf.

F-15

---

Although not required to do so, the Exchange invests such contributions in assets which mirror the assumed investment choices. The balances in these plans are subject to the claims of general
creditors of the Exchange, and amounted to approximately $5.9 million and $6.9 million at December 31, 2000 and 1999, respectively.



F-16

---

14. Capital Stock

Memberships owned in the Illinois not-for-profit corporation were converted into Class A and Class B common stock as part of the demutualization to a Delaware
for-profit corporation. Class A common stock represents equity interest in the Exchange. Class B common stock, issued in five series, represents the trading rights previously associated with
membership in the Exchange. For purposes of dividends, liquidation and voting rights (except "core rights" as described below), each series of Class B common stock is treated as an equivalent number
of shares of Class A common stock, as indicated in the table below.

As
part of the demutualization of CME, the Board of Directors will be reduced from the current composition of 39 directors to 19 over a two-year period. While provisions have been
made for the transition period, once the reduction has been completed, the holders of Class A and B shares will have the right to vote in the election of 13 directors to CME's 19-member Board of
Directors. The remaining six directors will be selected by the holders of shares of B-1, B-2 and B-3 common stock.

The
following table reflects stock issued at the date of demutualization, the equivalent number of Class A shares for each series of Class B common stock, and other information
relating to the rights assigned to each class of stock:

|                                  |  |       |  | Number of Shares Issued Per
Membership Interest |  |     |  |   |  |      
|--------------------------------- |  | ----- |  | ----------------------------------------------- |  | --- |  | - |  | -----
|
|
|
|
|CME                               |  | 625   |  | 16,200                                          |  | B-1 |  | 1 |  | 1,800
|IMM                               |  | 813   |  | 10,800                                          |  | B-2 |  | 1 |  | 1,200
|IOM                               |  | 1,287 |  | 5,400                                           |  | B-3 |  | 1 |  | 600  
|Growth and Emerging Markets (GEM) |  | 297   |  |                                                |  | B-4 |  | 1 |  | 100  
|GEM Fractions                     |  | 1,700 |  |                                                |  | B-5 |  | 1 |  | 10   

Core RightsHolders of Class B shares have the right to approve changes in specified rights associated with
the trading privileges conferred by those shares. These core rights include allocation of products which a holder of a series of Class B shares is permitted to trade through the Exchange; the
circumstances under which CME can determine that an existing open outcry product will no longer be traded by means of open outcry; the number of authorized and issued shares of any series of Class B
shares; and eligibility requirements to exercise trading rights associated with Class B shares. Votes on changes to these core rights are weighted by series, as indicated in the table above. Holders
of Class A shares do not have the right to vote on changes to these core rights.

Transfer RestrictionsClass A shares are subject to transfer restrictions which will expire over time. Until May 14, 2001,
Class A shares may only be transferred with the associated Class B shares. As of that date and every three months thereafter, a portion of the Class A shares (in 25% increments) will become
transferable independently of any associated Class B share. After February 5, 2002, the Class A shares are not subject to transfer restrictions.

Class
B shareholders wishing to exercise the trading privileges associated with the Class B stock purchased must meet the criteria relating to business experience and financial
resources established by the Exchange.

Shareholder Rights ProvisionsThe charter of Chicago Mercantile Exchange Inc. authorizes the Board of Directors to create
and issue rights entitling their holders to purchase shares of CME stock or other securities. A rights plan would be intended to encourage persons seeking to acquire control of the Exchange to engage
in arms-length negotiations with the Board of Directors and management. No formal plan has yet been adopted by the Board of Directors with respect to the issuing of these rights.

F-17

---

Omnibus Stock PlanThe Exchange has adopted an Omnibus Stock Plan under which stock-based awards may be made to employees.
An aggregate of 2,600,000 Class A shares have been reserved for awards under the plan. Other than the award made during 2000 to the President and Chief Executive Officer (note 15), no awards have been
made under the Plan.

15. Stock Option

On February 7, 2000, the Exchange granted an option to its President and Chief Executive Officer, James J. McNulty, to purchase 5% of the common stock of the
Exchange, as represented by an equivalent percentage of all Class A and Class B common stock issued. Pursuant to SFAS Statement No. 123, "Accounting for Stock Based Compensation," the Exchange has
elected to account for the stock option under APB Opinion No. 25, "Accounting for Stock Issued to Employees." One-half of the option, or 2.5% of all common stock, has an aggregate exercise price of
$21.8 million, which was estimated to be 2.5% of the fair value of the Exchange at the grant date. Since demutualization had not been completed at the grant date, the fair value of CME was calculated
based on the average value of all Exchange memberships. The option on the remaining 2.5% of all common stock has an aggregate exercise price of $32.8 million, or 3.75% of the fair value of the
Exchange at the grant date. The option vests over a four-year period, with 40% vesting one year after the grant date and 20% vesting on that same date in each of the following three years. The term of
the option is 10 years. As of December 31, 2000, all of the option remains outstanding.

From
the grant date until the date of demutualization of the Exchange, or November 13, 2000, CME accounted for the option in a manner similar to a stock appreciation right in
accordance with SFAS Interpretation No. 28, "Accounting for Stock Appreciation Rights and Other Variable Stock Option or Award Plans (An Interpretation of APB Opinions No. 15 and 25)." On and after
the demutualization date, CME accounted for the option under APB Opinion No. 25 and related interpretations. The measurement of compensation expense for the option on Class A common shares has been
fixed. As of December 31, 2000, the Exchange has not measured compensation expense relating to the option on Class B shares because there are insufficient authorized Class B shares. However, under
certain circumstances in the future, there may be additional compensation expense in the income statement. Expense relating to the stock option for the twelve months ended December 31, 2000 totaled
$1.0 million.

The
fair value of the option on Class A shares, measured at the demutualization date under the minimum value method, is $7.4 million. Significant assumptions used to calculate fair
value include: risk-free interest rate of 5.11%, expected life equal to the maximum term of the option, and no expected dividends. For the reasons discussed above, the fair value of the option on
Class B shares has not been measured as of December 31, 2000. Had compensation cost for the stock option been recognized using the fair value method prescribed by SFAS Statement No. 123, the net loss
for the year ended December 31, 2000 would have increased by approximately $133,000.

16. Credit Facility

At December 31, 2000 and 1999, the Exchange had an unsecured committed line of credit with a consortium of banks in the amount of $350 million. Interest on
amounts borrowed is calculated at the then-prevailing prime rate. The facility, which originated in 1988 and has never been used, may be utilized if there is a temporary problem with the domestic
payments system that would delay payments of settlement variation between the Exchange and its clearing members, or in the event of a clearing member default. Under the terms of CME's credit
agreement, there are a number of covenants with which CME must comply. Among these covenants, CME is required to submit quarterly reports to the participating banks and maintain at all times a
tangible net worth of not less than $90 million and a ratio of current assets to current liabilities of not less than 1.0 to 1.0. Furthermore, the allowable indebtedness of CME and its subsidiaries is
limited to specific threshold amounts in certain defined

F-18

---

circumstances. Commitment fees for this facility were $519,000, $516,000 and $570,000 for the years ended December 31, 2000, 1999 and 1998, respectively.

17. Contingencies

At December 31, 2000, the Exchange was contingently liable on irrevocable letters of credit totaling $29 million in connection with its mutual offset system
with the Singapore Exchange Derivatives Trading Ltd. (SGX) and also contingently liable in the amount of $2.5 million in connection with activities of GFX Corporation.

The
Exchange is a defendant in, and is threatened with, various legal proceedings arising from its regular business activities. While the ultimate results of such proceedings against
the Exchange cannot be predicted with certainty, management of the Exchange believes that the resolution of these matters will not have a material adverse effect on its consolidated financial position
or results of operations.

Employment-Related AgreementThe Exchange has an employment agreement with James J. McNulty, as its President and Chief
Executive Officer, through December 31, 2003, subject to renewal by mutual agreement of the parties. In the event of a termination without cause by the Exchange, Mr. McNulty shall be entitled to
receive his base salary for the remainder of the original term plus one-third of the maximum annual incentive bonus. Mr. McNulty's base salary for the year ended December 31, 2000 was $1.0 million.
The bonus may not exceed the lesser of $1.5 million or 10% of CME's net income.

If,
within two years of a "change in control" of the Exchange, Mr. McNulty is terminated by the Exchange or he terminates the agreement as a result of the occurrence of one of the
matters defined in the agreement as "good reason," he shall be entitled to two times his base salary plus one and one-
third times the maximum annual incentive bonus for which he would have been eligible, provided that the severance payments do not exceed $8.0 million. The payment would be subject to reduction to the
extent that it would otherwise result in the payment of tax under Section 4999 of the Internal Revenue Code.

18. GFX Derivative Transactions

GFX Corporation engages in the purchase and sale of CME foreign currency futures contracts. GFX posts bids and offers in these products on the GLOBEX2
electronic trading system to maintain a market and promote liquidity in CME's currency futures products. It limits risk from these transactions through offsetting transactions using futures contracts
or spot foreign currency transactions with approved counterparties in the interbank market. Formal trading limits have been established. Futures transactions are cleared by an independent clearing
member. Any residual open positions are marked to market on a daily basis, and all realized and unrealized gains (losses) are included in other operating revenue in the accompanying consolidated
statements of income. Net trading gains amounted to $4.4 million in 2000, $2.4 million in 1999 and $4.8 million in 1998.

F-19

---

19. 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 |       
|-------------------------------------- |  | --- | ------- | --- | - | ------------ | - | ----- | ------
|Year ended December 31, 2000:          |  |     |         |     |   |              |   |       |       
|Total revenues from external customers |  | $   | 212,385 |     | $ | 4,431        |   | $     |      
|Intersegment revenues                  |  |     | 57      |     |   | 700          |   |       | (757  
|Investment income                      |  |     | 9,540   |     |   | 196          |   |       |      
|Depreciation and amortization          |  |     | 33,338  |     |   | 151          |   |       |      
|Operating profit (loss)                |  |     | (8,110  | )   |   | 608          |   |       | (581  
|Total assets                           |  |     | 380,125 |     |   | 5,734        |   |       | (5,216
|Capital expenditures                   |  |     | 11,137  |     |   | 33           |   |       |      
|Year ended December 31, 1999:          |  |     |         |     |   |              |   |       |       
|Total revenues from external customers |  | $   | 199,119 |     | $ | 2,392        |   | $     |      
|Intersegment revenues                  |  |     | 139     |     |   | 1,190        |   |       | (1,329
|Investment income                      |  |     | 8,781   |     |   | 310          |   |       |      
|Depreciation and amortization          |  |     | 25,141  |     |   | 133          |   |       |      
|Operating profit (loss)                |  |     | 6,674   |     |   | (675         | ) |       | 645   
|Total assets                           |  |     | 302,814 |     |   | 7,990        |   |       | (7,486
|Capital expenditures                   |  |     | 37,438  |     |   | 42           |   |       |      
|Year ended December 31, 1998:          |  |     |         |     |   |              |   |       |       
|Total revenues from external customers |  | $   | 182,262 |     | $ | 4,786        |   | $     |      
|Intersegment revenues                  |  |     | 169     |     |   |             |   |       | (169  
|Investment income                      |  |     | 9,803   |     |   | 314          |   |       |      
|Depreciation and amortization          |  |     | 17,849  |     |   | 94           |   |       |      
|Operating profit (loss)                |  |     | 13,194  |     |   | 1,620        |   |       | (621  
|Total assets                           |  |     | 294,664 |     |   | 8,663        |   |       | (8,237
|Capital expenditures                   |  |     | 18,809  |     |   | 8            |   |       |      

The
Exchange considers and manages its open outcry and electronic trading of its various products as a reportable segment. PMT Limited Partnership was previously reported as a segment
for the years ending December 31, 1999 and 1998. As a result of the purchase of the Partnership in 2000, PMT is no longer a reportable operating segment. Prior years have been reclassified to include
PMT in the CME segment.

F-20

---

20. Quarterly Information (unaudited)

|                                  |  | First
Quarter |        | Second
Quarter |   | Third
Quarter |   | Fourth
Quarter |        | Total |  
|--------------------------------- |  | ------------- | ------ | -------------- | - | ------------- | - | -------------- | ------ | ----- | -
|
|Year ended December 31, 2000:     |  |               |        |                |   |               |   |                |        |       |  
|Revenues                          |  | $             | 57,589 |                | $ | 52,328        |   | $              | 49,481 |       | $
|Income (loss) before income taxes |  |               | (4,808 | )              |   | (6,759        | ) |                | (6,096 | )     |  
|Net income (loss)                 |  |               | (2,884 | )              |   | (4,056        | ) |                | (3,658 | )     |  
|Year ended December 31, 1999:     |  |               |        |                |   |               |   |                |        |       |  
|Revenues                          |  | $             | 52,080 |                | $ | 53,296        |   | $              | 54,589 |       | $
|Income (loss) before income taxes |  |               | 2,926  |                |   | 5,278         |   |                | 1,452  |       |  
|Net income (loss)                 |  |               | 1,755  |                |   | 3,167         |   |                | 872    |       |  

Earnings
per share information is not required as there currently is no independent established public trading market for the Exchange's Class A or Class B shares.

F-21

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