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REPORT

FOR THE

PERIOD

Pursuant

BEGINNING

Information

to

Section

and

04/01110

MMJDDTY

ANT

FXCR4NGE

ASRTNGTON

DC

COMM1ON

20549

FACING

Required

PAGE

of Brokers

17

of the

Securities

and

Dealers

Exchange

Act

Rule

17a- Thereunder

of 1984

AND ENDING

SECFILENO

8-18704

o3/siJu

MM/DDY

NAME

OF BRORER-DEALER

REGISTRANT

MF Global Inc.-

IDENTIFICATION

Official

ADDRESS

OF PRINCIPAL

Do not use P.O Box

No

4408

LaSalle Street

PLACE OF BUSINESS

20th

FL

Chicago

City

ZTON$

tsr-

Illinois

State

eRNCH

60605

Zip

Code

NAME AND TELEPHONE

NUMBER OF PERSON

Christine

Serwinski

TO CONTACT

IN REGARD

TO THIS

REPORT

312-548-1400

Area

Code

Telephone

INPNDENT

PUBLIC

2Vaine

-.lf individual

state

ACCOUNTANT

last first

middle

PricewaterhouseCoopers

LLP

whose

name

ACCOUNTANT

mENTDICATI0N

opinion

is contained

in this Report

One North Weaker Drive

ADDRESS

Number

and Street

CI1ECE

ONE

Certified

Public

Public

Accountant

Accountant

Accountant

not resident

in

Chicago

City

United

States or any of Its

IL

State

possessions

60606

Zip

Code

Use

No

Only

NO

FOR

OFFICIAL USE

ONLY

5Cjaims for exemption

accountant must be supported by

240.17a-5fr.f

from

the

requirement

statement

that

the

of facse

annual report

cunstanees

be

covered

on

relied

by

the

as the

opinion

basis

for

of

the

an

independent

exemption

See

public

section

-2-

OATH OR AFFIRMATION

Christine Serwinski_ swear or affirm that to the best of my knowledge and belief the

financial

31

2011

statements

true

are

and

and

supporting

correct

schedules

pertaining

to

the

firm

of

MF

Global

customer

accompanying

further swear or affirm that neither the company

nor any partner proprietor principal officer or director has any proprietary interest in any account

classified solely as that of

1n as of March

Notary

Public

WIRSHA

CARTER

NOTMYPUSLC

MY CO

.$TAT

MCKINNE

OF LUNOS

This report

contains

check

all

applicable

boxes

Facing Page

Statement

Statement

of Financial

Condition

of Operation

of Cash Flows

Statement

Statement

Capital

Statement

of Changes

of Changes

in Stockholders

in

Liabilities

Equity of Partners or Sole

to

Clathis

Proprietors

Subordinated

of Creditors

Computation of Net Capital

Computation for Determination of Reserve Requirement Pursuant to Rule 15c3-8

in

Information

1503-3

Reconciliation

Relating

to the

including

Possession

appropriate

or

Control

Requirements

Under

explanation

of the

computation

Rule

of Net

Capital

Reserve

Schedule

Under

Rule

15c3-1

and the

Computation

for Determination of the

Requirements

of Segregation

Under

Requirements

Exhibit

Rule

15c3-8

and

Funds

in

Segregation

Pursuant

to

Commodity Exchange

Act

Reconciliation

Condition

with

between

respect

the

audited

to

methods

and

unaudited

of consolidation

Statements

of Financial

An Oath

or Affirmation

Copy of the

SIPC

Report

existed

describing

since

the

Supplemental

Report

any

date

material

inadequacies

of the

previous

audit

found to

exist

or found to have

For conthtiona

of

confidential

treatment

of certain

portions

of this Jing

see

section

240.17a-5e8

pwc

To the

Board

of

MF Global

Inc

Directors

Report of Independent

and

Stockholder

of

Auditors

In our

opinion

the

financial

the accompanying

position

of MF

Global

statement

of financial

no

the 0Company

condition

at March

presents

31 2011

fairly

in

all

material

with

respects

accounting

in conformity

principles generally accepted in the United States of America This financial statement is the responsibility

of the

Companys management

Our

responsibility

our

audit

is

to express

in

an opinion

accordance

on

this

with

financial

auditing

statement

standards

free

of

based on our audit We conducted

generally accepted in the United States of America Those standards require that we plan and perform

the audit to obtain reasonable assurance about whether the statement of financial condition is

of this statement

material

misstatement

An audit

and

disclosures

in

the financial

includes

statement

examIning on

assessing

the

test

basis

accounting

estimates

made by

management

and

evaluating

the overall

that

1Lvp

our

audit

provides

reasonable

basis for our opinion

LE

financial

evidence

principles

statement

supporting

used and

the amounts

significant

presentation

We

believe

May28 2011

PricewaterhcuseCooper

ji2 298 2000

LLP

One North

Wacker

Chicago

3122982001

www.pwc.com/US

IL 60606

MF Global

Index

March3l2011

Inc

Report

of

independent

Statement of

Financial

Auditors

Condition

Notes

to

Statement of Financial

Condition

Pages

3-26

MF Global

Statement

March

Inc

of Financial

2011

31

Condition

Assets

Cash

Restricted

Securities

Securities

cash

purchased

borrd

and

segregated

securIties

under

agreements

to

resell

including

$7639105800

at fair value

Securities

owned

at

Receivables

brokers

fair value

dealers

of $1491400

Receivables

Receivables

customers and

affiliates

net

$4354357000

pledged

and

clearing

organizations

net

non-customers net

of

allowance

of allowance

of $6534800

Other receivables

Memberships

in exchanges

at cost

market

value

Furniture

equipment

depreciation

and

and

leasehold

Improvements

amortization

of $28439500

intangible

Deferred

assets

net

tax

assets

of accumulated

amortization

$12770700

net

of accumulated

of $93877100

Other assets

Total

assets

Liabilities

Liabilities

Securities

Securities

Securities

Payables

Payables

Paysbies

Accrued

and

stockhoIdeis

equity

sold

under

loaned

agreements

to repurchase

including

sold not yet purchased

at fair value

brokers

dealers

customers and

and

clearing

organizations

non-customers

affiliates

expenses

net

and

other

liabIlities

Total

liabilitIes

Commitments

Subordinated borrowings

and

contingencies

Stockholders

equIty

Total

liabilities

and

Note

16

stockholders

equity

$3439212600

at fair value

The

accompanying

notes

are an

integral

part

of this

financial

statement

67718100

9646819800

5015254800

1852232000

5250064800

1880494500

217868100

4195914400

1570300

4225000

41587600

36700500

72713300

16250500

28299413700

11610669300

702356100

4877608200

353033000

8233668300

1525467700

63805300

27366607900

55000000

377805800

28299413700

MF Global

Inc

Notes

March

to Statement

2011

31

of

Financial

Condition

OrganizatIon

Global

Inc

the

Company or MFGI Is

wholly

owned

subsidiary

of MF Global

USA Inc

Holdings

United

States

Ltd

Delaware

corporation

corporation

Which

1he ultimata

traded

parent

Is

MF Global

New York

Stock

Is

publicly

on the

Holdings

Holdings

Exchange

Ltd

MFGI

dealer

Board

is

registered

with

the

Securities

and

Exchange

Commission

CSEC as

securities

broker-

and

Is

Options

member of

Exchange

the

Financial

Industry

Regulatory

Authority

Inc

FINRA

Chicago

CBOE National

Securities

Clearing

Corporation

and

Fixed

income

Clearing

Corporation

F1cc

The

CBOE

Is the

Companys

designated

self-regulatory

organization

MFGI

is also

registered

with

the

Commodity

Futures

Trading

Commission

CFTC as

futures

commission

regulatory

Chicago

Kansas

merchant

agency

Board

and

is

member of the

MFGI is

Mercantile

Minneapolis

National

Futures

Association

an

Industry

Exchange

self-

CME

Exchange

Additionally

member of the Chicago

Exchange

Grain

Mercantile

of Trade

New York

and

NYMEX

Intercontinental

City Board

of Trade

Exchange

The CME is the

Companys

designated

self-regulatory

organization

In February of 2011

Bank

Reserve

the Company

This

designation

fri

was named

enables

one

of

of New

York

MFGI

to

operations

Bank of New York

open-market

auctions

and

provide

analysis

and

market

Intelligence

20

primary

dealers

to

the

Federal

Reserve

serve

as

counterparty

to the

Federal

participate

directly

In U.S

Treasury

to

the

Federal

Reserves

trading

desks

The

and

Company

provides

futures

exchanges

correspondent

clearing

brokerage

services

to customers and

affiliates

on

United

States

securities

and

brokers

on

overseas

exchanges

through

affiliates

or Independent

The

Company

is also

engaged

in

principal

and

proprietary

trading

in U.S government and corporate securities futures repurchase and resaIe agreements as well

as stock/bond borrow and stock/bond loan activities

Slgnfficant

Accounting

PolicIes

Use of Estimates

The

preparation

of the

statement

of financial

condition

In conformity

with

accounting

principles

generally

accepted

in

the

United

States

of America

requires

assumptions that affect the reported

assets

amounts

of

the

statement

and

liabilities at the

date

of

assets

and

of financial

management to make

ilabilitles and

disclosure

estimates

and

of contingent

condition

Actual

results may differ

from

those

estimates

Fair Value

The

Value

of

Financial

adopted

Company

Measurements

Instruments

the

and

provisions

Disclosures

of Accounting

ASC 820

Standards Codification

Fair

value

is

defined

ASC 820

as the

price

that

FaIr

would

be

received

to

sell

an

asset

or paid

to

transfer

liability

in

an

orderly transaction

between

market

participants

at the

yet purchased

are

measurement

reflected

on

date

or an

the

statement

exlt price

of financial

Securities

condition

owned

and

at

fair

value

securities

sold

and

are

recorded

not

on

trade date basis Fair value for these instruments includes related accrued interest The

Company values its financial instruments based on quoted market prices where applicable

accordance

with

market convention

product

class

Fair value

Is

generally

the

bid

Company

values

or

mid price

for

its

financial

instruments

based

on

fixed

income

securities

owned

and

In

ask

for

fixed

income

securities

sold not yet purchased

Exchange

traded

products

are

valued

based

on

quoted

value

market prices

If

listed

prices

or quotes

based

on

comparable

market transactions

are

not available

the Company

determines

executable

broker

quotes

or independent

fair

pricIng

MF

Global

Inc

Notes

March

to

31

Statement

2011

of Financial

Condition

sources with

for

transaction

reasonable

costs

levels

of

price

transparency

Fair

value

measurements

are

not adjusted

Management estimates the aggregate fair value of other financial instruments recognized

statement of financial condition Including receivables payables and accrued expenses

approximates their

fair value

as

such

financial

Instruments

are

either

reported

at

fair value

on

the

or are

short-term

in nature

bear

interest

the

at current

value

market rates

of the

or are

subject

debt

to frequent

statement

Management estimates

carrying

subordinated

on the

condition

approximates fair value

as the

loans

b ar

interest

at

current

market rates

repricing

of financial

and

are subject

to

frequent

repricing

Credit

risk

Is

component

of fair value

which

is based

on the

loss

the Company

would

incur

if

counterparty

or an

issuer

of securities

or other Instruments the Company holds fails to perform

under

third

its

contractual

obligations

to

the Company

parties

whose securities

or other

Instruments

or upon

deterioration

the

Company

holds

in

To

the

credit

quality

of

reduce

the Compans

creditexposures In its operating activities the Company generally enters into agreements with Its counterpartles that permit it to offset receivables and pÆyabies with such counterparties and obtain

margin and/or collateral from the counterparty on an upfront and ongoing basis The Company

monitors

and manages its credit

exposures daily

The

counterparty

credit

risk

In the

valuation

of

its

assets

and

liabilities

that

are

presented

at fair

value

Company

its

own

considers

credit

risk

the

in

the

impact

of

valuation

of

Its

Financial

value

instn.iments

measurements

are

as

categorized

Into

further

discussed

three-level

In

Note

valuation

hierarchy

The

hierarchy

gives

for disclosure

of fair

the

highest

priority

to

unadjusted

quoted

prices

In active

markets

for

identical

assets

or

liabilities

Level

measurements

and

are

the

lowest

priority

to

unobservable

on

an

is

inputs

basis

Level

to

measurements

current

pricing

quotations

reflect

market is active

if there

information

for

the

asset

do not vary

substantially

the assumptions market

sufficient

transactions

ongoing

released

provide

and

or liability

either over

pricing

time

Information

or among

publicly

price

inputs

market makers

Observable

participants

independent

In the

would

of

the

of

valuation

use in

pricing

the asset

or liability

reporting

entity

The

fair value

based on

hierarchy

is

an

asset

or

liability

at the measurement

date

market date

based

obtained

from sources

of

inputs

on

the

observability

In

determining

the

appropriate

fair

value hierarchy levels the Company performs detailed analysis of

the fair value

each

reporting

period

all

assets

and

liabilities

for which

Its

assets

and

liabilities

At

measurement

is

based

on

significant

unobservable

inputs

are

classified

as

Level

The

three

levels

are described

as follows

Level

Unadjusted

quoted

prices

in active

for

identical

unrestricted

assets

or liabIlItIes

markets that

are

Level

consists

values

are determined using

quoted

market prices

accessible

of financial

at the

measurement

date

instruments

whose fair

Level

that

is

Quoted

prices

markets in which

for

identical

or similar

assets

or

liabilities

there

are few

transactions

for the

asset

in

or

markets that

are

less

active

liability

that

are

observable

for

substantially

are

estimated

the

full

using

term

models

Included

or other

in

Level

valuation

are those

financial

methodologies

instruments

These

models

for which

fair values

are

primarily

industry-standard

models

utilizing

various

observable

inputs

including

time

value

yield

curve

volatility

factors

instruments

as

observable

well

as other

current

relevant

market and

economic

contractual

measures

prices

for the

underlying

financial

Level

Prices

or valuation

techniques

measurement

and

unobservable

i.e

that

require

supported

by

comprised

of financial

models

or methodologies

Instruments

utilizing

whose

significant

fair value

Inputs

sources

Inputs

that

little

or no

are

both

significant

to

market activity

Level

the

is

fair

value

Is estimated

that

are not

utilizing

internally

readily

observable

developed

from

objective

MF

Global

Inc

Notes to

March

31

Statement

2011

of Financial

Condition

Securities

Customer

Transactions

securities

transactions

are

recognized

Principal and

fbced

income

proprietary

securities

securities

The

related

transactions

profit

and

on

settlement

date

primarily

loss are

represent

recorded

on

the Companys

Investment

trade

date

basis

In

Interest

income

arrangements is

related

to

recognized

resale

on

agreements

securities

an

accrual

basis

lending

and

collateralized

financing

Stock-Based

The

Company

measures

the

Incentive

accounts

Compensation

for

stock-based

cost

of employee

services

grant

date

fair value

of the

award

That

employee

Is required

to

provide

service

compensation

in

accordance

wW ASC 718

whIch

received

for

stock-based

compensation

cost

Is

recognized

over

the

in exchange

for the award

period

during

based

which

on

an

the

Income

Taxes

The

Company

Is Included

Federal

and

state

Income

in the

taxes

consolidated

federal

are determined on

and

state

separate

income

tax

return

basis

returns

pursuant

of Holdings

to

tax

sharing

under

financial

rates

agreement

the

that

liability

reporting

will be

in

between

method

and

tax

effect

the Company

Under this

bases

when

and

Holdings

deterred

liabilities

The

taxes

and

Company

are

provided

are measured

to reverse

accounts

for

income

enacted

taxes

method

and

differences

for differences

using

the

between

tax

of assets

these

are expected

Securities

Repurchase

Transactions invoMng resale agreements or repurchase agreements are generally accounted for

cleared through FICC and certain non-FICC resale and

Purchased

Under

Agreements

Transactions

to

Resell

and

Securities

Sold Under Agreements to

as

collateralized

financings

repurchase agreements with the same counterparty executed under are reported on net basis In accordance with ASC 210-20

master netting

agreement

Collateralized financing arrangements used In connection with proprietary trading activities expose

the Company to issuer default and liquidity risk To the extent the Company has financed

position

through

of

repurchase

collateralized

transaction

the

financing

arrangement

counterparty

generally

with

counterparty

for example by means

has the

right

to

require

the Company

at

any time during the term of the repurchase agreement

decreases in the market value of the collateral

to

meet

that

the Company

margin

posts

calls

resulting

for financing

from

Accordingly

repurchase agreements

because

because

and

other

collateral

similar financing

underlying

there

the

are

If

of

the

value

of the

market conditions

or because

fools

create

repurchase

Issuer-specific

liquidity

risk

for the Company

agreement

decreases

whether

concerns

with

respect

to the

collateral the Company will be required to post additional margin which it may not readily have If

the value of the collateral became permanently impaired for example If the issuer of the collateral

defaults

on

value

which

upon

could

its

the

be

obligations

expiration

significant

the Company

of the

repurchase

would

be required

to

agreement

causing

repurchase

the

the Company

collateral

at

to

recognize

full

loss

Certain

of the Companys

purchases

of securities

under

agreements

to

resell

resale

agreements

or sales

fair value

of securities

as

result

under

of the

agreements

to

repurchase

repurchase

agreements are carried

Companys fair value

election

The

Company

elects

the

fair value

at

option

open

repo-to-maturity transactions The Company has elected the fair value option for these instruments to more accurately reflect market and economic events in Its earnings and to mitigate

for

those

resale

date

and

or that

repurchase

are

agreements

that

do

not

settle

and

overnight

sale

or do

not have

such

as

an

settlement

not accounted

for as purchase

agreements

MF GobaI

Inc

Notes

March

to Statement

2011

31

of Financial

Condition

potential

versus

Imbalance

in earnings

carrying

value

for

certain

caused

assets

by

using

different

and

liabilities

measurement

attributes

La

fair

value

From

same

time

date

transactions

to time the Company

enters

Into

securities financing

transactions

which

mature on the

as the

underlying

col%ateras

stated

maturity

The

Company

under the

prescribed

guidance

Included

in ASC 860

as

accounts

for these

sale

of financial

assets

and

forward

purchase

sale

commitment

commitment

The

forward

or

conversely

purchase

and

as

forward

purchase

of financial

sale

commitments

assets

and

are

valued

at

forward

estimated

fair value

and

are

accounted

for

as

derivatives

under

ASC 815

Restricted

Cash and Segregated Securities

 

The

Company

Is

obligated

by rules mandated

by

Its

primary

regulators

aside

March

cash

or

qualified

312011

the

securities

Company

to

has

satisfy

regulations

segregated

assets

promulgated

to

including

cash

the SEC

protect

and

customer

CFTC

to

assets

securities owned

and

set

At

securities

purchase<