October 2011

short-tErM EUroPEAN sovErEigN

Portfolio

Revenue diversification strategy

In keeping with MF Globals ongoing strategy to diversify revenue streams, the firm expanded client facilitation and principal activities across a variety of asset classes. As previously disclosed, we have seen revenue opportunities in the short-duration European sovereign markets. The following provides more detailed information on MF Globals short-term European sovereign portfolio and solid financial position.

European sovereign portfolio financed to maturity

Belgium Italy Spain Portugal Ireland

Background on transactions: European sovereign portfolio as of September 30, 2011

MF Global maintains a net long position of $6.3 billion in a short-duration European sovereign portfolio financed to maturity (repo-to-maturity) We entered into reverse repurchase and repurchase transactions to maturity, as the firm does in U.S. government securities The firms European sovereign portfolio financed to maturity (repo-to-maturity) includes:
Italy1
Net size (millions) Percentage of total portfolio Weighted average maturity of long positions Maturity schedule of long positions $3,213

Spain1
$1,111

Belgium
$603

Portugal
$997

Ireland
$368

Net Total
$6,292

51%

18%

9%

16%

6%

100%

Dec 2012

Oct 2012

Dec 2012

Mar 2012

Feb 2012

Oct 2012

6% Mar 2012 3% Aug 2012 91% Dec 2012

12% Apr 2012 61% Oct 2012 27% Dec 2012

100% Dec 2012

3% Oct 2011 36% Nov 2011 61% Jun 2012

18% Nov 2011 82% Mar 2012

5% Nov 2011 7% Mar 2012 3% Apr 2012 7% Jun 2012 2% Aug 2012 15% Oct 212 61% Dec 2012

Includes France short positions of $1.3 billion as proxy hedges, split equally between Italy and Spain.

European sovereign portfolio is short-term in duration

The latest maturity of the entire portfolio is only through December 2012 Importantly, the weighted average maturity is well within the June 2013 backing put forth by the European Financial Stability Facility The firm is continuously assessing risk-adjusted returns on all positions

European support mechanism

The European Financial Stability Facility has pledged backing of these countries up until June 30, 2013

Laddered/tiered portfolio
Commitments are tiered in size Maturities are laddered and largely based on ratings

Risk is limited
We believe there is limited risk associated with these positions: The majority of positions are cleared through a central clearing house, mitigating counterparty and settlement risk; MF Global retains obligation to post margin All are short-term in duration, and the firm believes exposure to default is minimal The entire portfolio matures well before the expiration of the European Financial Stability Facility on June 30, 2013 As stated previously, the latest maturity of the entire portfolio is only through December 2012 While the potential exists for accounting fluctuations associated with a derivative that is a non-cash mark-to-market of these transactions, there has been no mark-to-market import at quarter end Should there ever be a mark, because this is a repo-to-maturity portfolio, the mark would move back to zero at maturity

Firms financial position is strong

MF Global maintains a strong capital position. MF Globals liquidity position at September 30, 2011, included: $3.7 billion in available liquidity $2.5 billion in total capital $496 million in excess capital $256 million in free cash $1.3 billion in unused, revolving credit facilities Our market capitalization totals $683.8 million1 As of September 30, 2011, our balance sheet contains extremely liquid and high-quality assets Consists primarily of client payables (margin) and short-term Treasuries and agencies Minimal Level Three trading assets

As of September 30, 2011 based on 165.6 million shares outstanding

2011 MF Global Intellectual Properties Kft All rights reserved. MF Global Holdings Ltd. 717 Fifth Avenue 9th Floor New York, NY 10022 +1 212-589-6200 Note: Historical performance is not indicative of future performance. Our results of operations have been and will continue to be affected by many factors, including economic, political, and market conditions; broad trends in the brokerage and finance industry; changes in the level of trading activity in the broader marketplace and our clients; price levels and price volatility in the derivatives, interest rate, equity, foreign exchange, and commodity markets; legislative and regulatory changes; and competition. US102311

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