This letter considers secrecy communication from an information-theoretic perspective, and studies the secrecy capacity of a multi-input multi-output (MIMO) Gaussian wiretap channel with a source (Alice), an eavesdropper (Eve) and a Full-Duplex (FD) legitimate receiver (Bob). Bob can allocate part of his antennas to transmit jamming signals to impair Eve’s channel. Our goal is to identify the secrecy capacity behavior in the high signal-to-noise ratio (SNR) regimes, i.e., the maximal achievable secure degrees of freedom (S.D.o.F). Such S.D.o.F maximization is generally difficult to solve since it requires to face a nonlinear fractional problem. To deal with this issue, we first propose a cooperative secrecy transmission scheme, and prove its optimality in the sense of achieving the maximal S.D.o.F.. By studying this proposed transmission scheme, we obtain the maximal achievable S.D.o.F. in closed form for any given antenna allocation at Bob. Based on this closed-form result, we further analytically derive the optimal antenna allocation at Bob. To the best of our knowledge, this is the first time that the benefit brought by using the FD jamming Bob has been quantified.