MF explained their low-risk revenue strategy in an October 2011 fact sheet embedded below. It's another example of how these so called low-risk trades can end up destroying financial institution equity in a matter of days. Here's an excerpt from the fact sheet.
"Revenue diversification strategy
In keeping with MF Global’s 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 Global’s short-term European sovereign portfolio and solid financial position.
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 firm’s European sovereign portfolio financed to maturity (repo-to-maturity) includes:
And towards the end of the document they talk about risk being limited.