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Correspondence

 November 12, 2007

 VIA
EDGAR TRANSMISSION AND FACSIMILE

 Securities and Exchange Commission

 Division of Corporation Finance

 450 Fifth Street, N.W.

 Washington, D.C. 20549

 Mail Stop 4561

 Attention: Christian N. Windsor

RE:

 Chicago Mercantile Exchange Holdings Inc. Definitive 14A, Filed

 March 15, 2007, File No. 00-33379 (the “2007 Proxy Statement”)

 Dear Mr. Windsor:

 CME Group Inc. (formerly known as Chicago Mercantile Exchange Holdings Inc.) (the “Company”) has received the comments from the staff of the Division of Corporation Finance (the “Staff”) of the Securities and Exchange
Commission (the “Commission”) contained in your letter, dated September 26, 2007, regarding the Commission’s review of the above-referenced Company filing (the “Comment Letter”). The Company hereby submits its responses
to the Staff’s comments contained in the Comment Letter, as set forth below. For the convenience of the Staff, each of the Staff’s comments has been reproduced below and is set forth in bold and italics immediately prior to the
Company’s response.

 Compensation Discussion and Analysis, page 22

 1. Your disclosure suggests that individual performance was a significant factor considered by the Committee in awarding cash incentive compensation and determining annual equity grants. Please disclose and
analyze how individual performance contributed to actual 2006 compensation for the named executive officers. For example, disclose the elements of individual performance, both quantitative and qualitative, and specific contributions the compensation
committee considered in its evaluation, and if applicable, how the committee weighted and factored them into specific compensation decisions. See Item 402(b)(2)(vii) and Item 402(b)(1)(v) of Regulation S-K.

 Christian N. Windsor

 Securities and Exchange Commission

 Division of Corporation Finance

 November 12, 2007

 Page 2

 Annual Cash Bonuses

 Annual cash bonuses are awarded under the Company’s Annual Incentive Plan (“AIP”). The funding of the bonus pool was based upon the achievement of cash earnings in 2006 exceeding the established target as described beginning
on page 23 of the 2007 Proxy Statement.

 As discussed on page 24, the impact of the achievement of the cash earnings target and individual performance are
weighted differently based upon the individual’s level within the organization.

 The performance measures and their approximate weighting for the
Named Executive Officers is set forth in the table below:

 Performance Measure

 Approximate Weighting of

 Performance Measure

 Corporate Performance (Cash Earnings)

70%

 Individual Performance

30%

 For the individual performance component, an individual’s key job responsibilities and strategic initiatives
for the year are agreed upon in the beginning of the year. These goals are then incorporated into the Company’s Performance Management Process (“PMP”). The Company’s PMP is designed to evaluate an individual’s performance of
their key job responsibilities and established annual initiatives. Each individual is awarded an overall performance rating ranging from 1 to 10 with 10 being the highest. The non-financial objectives for 2006 generally consisted of: generating
additional revenue by growing our options and foreign exchange business, expanding into the energy and over-the-counter markets, growing globally in Asia; reducing costs; and enhancing our capabilities by planning for succession and enhancing our
technology plan. Mr. Donohue and Mr. Gill collectively establish the performance ratings for the other members of the Management Team, including Messrs. Parisi and Davidson and Ms. Taylor. Messrs. Donohue and Gill present the
performance reviews for the Named Executive Officers and their overall performance ratings to the Compensation Committee along with bonus recommendations. In 2006, the Compensation Committee approved their recommendations without any changes.

 Christian N. Windsor

 Securities and Exchange Commission

 Division of Corporation Finance

 November 12, 2007

 Page 3

 The table below shows the payout opportunities and actual bonus payments for 2006 for the Named Executive Officers:

 Named Executive Officer

Annual
Incentive
Plan Target
as % of Base
Earnings

 Annual
Incentive
Plan Target

 ($)

 Annual
Incentive
Plan
Maximum as

 % of Base
Earnings

Annual
Incentive
Plan
Maximum

2006 Annual
Cash Bonus
as % of Base
Earnings

2006 Annual
Cash Bonus

 Craig S. Donohue

100
%

$
847,115

150
%

$
1,270,673

138
%

$
1,168,257

 James E. Parisi

75
%

$
206,250

150
%

$
412,500

140
%

$
386,375

 Phupinder S. Gill

75
%

$
450,000

150
%

$
900,000

132
%

$
791,160

 John P. Davidson III

75
%

$
381,490

150
%

$
762,981

125
%

$
635,817

 Kimberly S. Taylor

75
%

$
232,500

150
%

$
465,000

135
%

$
418,500

 The role of the Chief Executive Officer’s individual performance in setting his annual bonus is disclosed on
page 28 of the 2007 Proxy Statement. The Compensation Committee did not assign particular weights to the factors considered in setting Mr. Donohue’s bonus. The Chief Executive Officer reviews his evaluation of the performance of the
President with the Board of Directors and the Compensation Committee considers such evaluation in setting the annual bonus for the President.

 The
Company’s discussion on the process for individual performance review and its impact on compensation is set forth on page 28. Based on the Staff’s comments, the Company will supplement its disclosure in future filings to clarify the role
of individual performance, including a discussion on its PMP, on setting actual annual bonuses similar to the discussion above.

 Equity Awards

 On page 25 of the 2007 Proxy Statement, the Company states that equity awards may be increased or decreased by 15% above or below the target
opportunity based upon an individual’s performance. In 2006, the Named Executive Officers received the following equity awards:

 Named Executive Officer

Annual
Equity Award
Target as %
of Base Pay

 Annual
Equity Award
Target

 ($)

Annual
Equity Award
Maximum as
% of Base
Pay

 Annual
Equity Award
Maximum

 ($)

2006 Annual
Equity as %
of Target

2006 Annual
Equity Award
($)

 Craig S. Donohue

300
%

$
2,550,000

345
%

$
2,932,500

100
%

$
2,550,440

 James E. Parisi

125
%

$
343,750

144
%

$
395,313

114
%

$
390,800

 Phupinder S. Gill

175
%

$
1,050,000

201
%

$
1,207,500

100
%

$
1,049,410

 John P. Davidson III

125
%

$
718,750

144
%

$
826,563

104
%

$
747,472

 Kimberly S. Taylor

125
%

$
387,500

144
%

$
445,625

100
%

$
387,852

 Christian N. Windsor

 Securities and Exchange Commission

 Division of Corporation Finance

 November 12, 2007

 Page 4

 The Chief Executive Officer and the President recommended equity award values for Messrs. Parisi and Davidson and
Ms. Taylor, within the guidelines of the program (15% above or below the target equity opportunity), taking into account the individual performance of each executive. The Compensation Committee approved their recommendations without any
changes. The Compensation Committee also approved grants at 100% of target for the Chief Executive Officer and President. The Company will include additional disclosure regarding the use of any discretion to increase or decrease the equity awards
for its Named Executive Officers in its future filings.

 2. Please disclose all the terms of the necessary targets or performance objectives to be
achieved in order for your executive officers to earn their incentive compensation for 2006 or 2007. For example, although you disclose the cash earnings target on page 26, you state that the Board utilizes other additional metrics for determining
compensation under the Annual Incentive Plan. Please note that qualitative goals generally need to be presented to conform to the requirements of 402(b)(2)(v). To the extent you believe disclosure of certain performance metrics is not required
because it would result in competitive harm such that you may omit the disclosure under Instruction 4 to Item 402(b) of Regulation S-K, please provide a detailed supplemental analysis supporting your conclusion and provide appropriate
disclosure under Instruction 4. In discussing how difficult it will be for the executive how likely it will be for the registrant to achieve the target levels or other factors, revise your disclosure to provide as much detail as necessary without
providing information that poses a reasonable risk of competitive harm. Please further refer to Item 402(b)( 1 )(v and vi) of Regulation S-K.

 The Company will clarify in its future filings the specific performance metric used to establish annual bonuses for the Named Executive Officers. For example, in 2006, cash earnings was the only metric used to determine the funding of the
bonus plan. As an additional check and balance, the Compensation Committee may review other performance metrics to ensure that the cash earnings achievement accurately reflects the Company’s overall performance. In 2006, the Company reviewed
2006 actual earnings per share and return on equity. Based on this additional review, the Committee confirmed that the Company’s 2006 cash earnings was an accurate indication of the Company’s performance.

 As discussed in response to Comment No. 1, the actual individual bonus amounts are set based upon individual performance within the established bonus guidelines. As
stated in Response No. 1, we will include additional disclosure on the role of individual performance in setting the annual bonuses.

 Christian N. Windsor

 Securities and Exchange Commission

 Division of Corporation Finance

 November 12, 2007

 Page 5

 The achievement of cash earnings is the primary driver of the bonuses paid to our Named Executive Officers. We
believe that the disclosure on page 23 of the 2007 Proxy Statement discussing the increases in the cash earnings target over time provides shareholders with an understanding of how difficult it would be to meet the future cash earnings target. We
will include a similar discussion in future filings based upon the current cash earnings target.

 Additionally, in connection with the closing of its
merger in 2007 with CBOT Holdings, Inc. (“CBOT”), the Committee approved an additional performance metric for employees with the title of Managing Director and above. As discussed on page 23 of the 2007 Proxy Statement, this additional
measure will not result in increased bonuses, but to the extent the pre-established synergy targets are not met, bonuses will be decreased. The Company will include a discussion of this additional performance metric in its future filings.

 Equity, page 24

 3. In your discussion of
the distribution of equity value among eligible employees, please clarify how the target distribution of equity awards between officers and non-officers impacts awards, both target awards and any adjustments. Please refer to Item 402(b)(1)(v)
of Regulation S-K.

 The Company sets a target distribution of annual equity value of approximately 65% to officers and 35% to non-officers in
connection with its goal of having a broad based equity program in which employees at all levels participate. The target distribution is utilized in the budgeting phase to allocate funds to the program. However, the target distribution does not
impact target awards and no adjustments to individual awards are made due to this distribution. As disclosed on page 25 individual performance is the factor that would impact whether an officer receives an award at the target level. The Company will
clarify in its future filings that the 65%/35% target distribution is not a factor in the value of individual equity awards.

 Benchmarking, page 27

 4. You state on page 20 that you set compensation at the 50th percentile of competitive market data. Please further clarify how the Committee uses the benchmark data from the three distinct peer groups used to set
compensation levels. Include a discussion of where actual compensation fell in relationship to targeted parameters. To the extent actual compensation was outside the targeted range, please explain why. Please refer to Item 402(b)(1)(v) and
Item 402(b)(2)(xiv) of Regulation S-K.

 The Compensation Committee utilizes
benchmark data to ensure that the Company’s total compensation package is competitive in comparison to its peer groups. The Compensation Committee generally targets the 50th percentile of that benchmark data. However, the Committee does not mandate that our compensation package fall within a specific range of the

 Christian N. Windsor

 Securities and Exchange Commission

 Division of Corporation Finance

 November 12, 2007

 Page 6

50th percentile, such as plus or minus 15%. The Compensation
Committee within its discretion may make alterations to the entire compensation program or to a specific element of the program based on its evaluation of the benchmarking data to generally align it within the 50th percentile and/or to ensure its competitive nature. To the extent a change is made in the program, applicable disclosure would be included in the CD&A. For example, on page 27,
the Company discussed modifications made to its retirement program in part due to their review of benchmarking information and disclosed on page 43 modifications to its director compensation in part due to benchmarking.

 5. Please disclose and analyze how each compensation component and your decisions regarding these elements fit into your overall compensation objectives and their
impact regarding other elements. See Item 402(b)(1)(vi) of Regulation S-K. It is not clear whether you review each element of compensation independently or whether you consider each element collectively with the other elements of your
compensation program when establishing the various forms and levels of compensation. Please provide sufficient quantitative or qualitative disclosure as appropriate of the analyses underlying the Committee’s decision to make specific
compensation awards and how decisions regarding one type of award motivate the Committee to award or consider other forms of compensation. Explain and place in context how you considered each element of compensation and how or why determinations
with respect to one element may or may not have influenced the Committee’s decisions with respect to other allocated awards.

 The Company will
clarify the purpose for each of the Company’s compensation components by including supplemental disclosure in future filings similar to the following:

 Compensation Component

 Purpose

 Base Pay

Fixed component of pay intended to compensate the employee fairly based upon their job duties and level of responsibility.

 Bonus

Variable component of pay intended to motivate and reward the employee’s contribution to achieving the Company’s short-term/annual goals.

 Equity

Variable component of pay intended to motivate and reward the employee’s contribution to achieving the Company’s long-term objectives and to serve as a retention
mechanism.

 Benefits

Fixed component of pay intended to protect against catastrophic expenses (healthcare, disability and life insurance) and provide opportunity to save for retirement (pension and
401(k)).

 Christian N. Windsor

 Securities and Exchange Commission

 Division of Corporation Finance

 November 12, 2007

 Page 7

 Compensation Component

 Purpose

 Post-Termination Compensation (Severance and Change of Control)

Fixed component of pay intended to provide a temporary income source following an employee’s involuntary termination and in the case of a change of control to also provide for continuity
of management during that event.

 Generally, the Committee reviews the appropriateness of the current compensation programs — in aggregate or
by a specific element — as needed. For instance, through the annual review of benchmark compensati