CME Chief Terrence Duffy says that the futures exchange operator was "very much unaware" of any regulatory effort to "break up" the company.  The comments from Duffy, made in an interview with CNBC, followed reports that authorities in Washington were considering a forced spin-off of CME's regulatory functions following the collapse of MF Global Holdings Ltd. CME served as MF Global's main regulator at the exchange level, responsible for auditing futures brokers like MF and other functions not performed by the CFTC. Duffy also commented in a letter appearing on NY Times Dealbook today that he is not surprised that the CME is included in the CFTC's review.  The exchange he says has been talking with the regulator and is confident the agency will agree that "we fulfilled our responsibilities as the designated self-regulatory organization."   CME Chief Terrence Duffy - In his own words.  [CNBC 1/10/12, Dealbook 1/11/12]