(JEFFERIES LOGO)   January 19, 2006
Filed pursuant to Rule 433
Registration Statement No. 333-130325
  Jefferies Group, Inc.
  Senior Debentures due 2036
  Baa1 by Moody’s Investor Service Inc.
  BBB by Standard & Poor’s Ratings Group
  BBB+ by Fitch Ratings
  SEC Registered
  Senior Unsecured
Offering Size:
Trade Date:
  January 19, 2006
Settlement Date:
  January 26, 2006
Final Maturity:
  January 15, 2036
Interest Payment Dates:
  Semi-annually on the 15th of each July and January 
First Pay Date:
  July 15, 2006
UST Spot (PX/Yield):
  5.875% UST due 2/2031 — 112-7+ (Price)/4.552% (Yield
Spread to Benchmark:
  T30+ 175 basis points
Yield to Maturity:
  6.250%, paid semi-annually (Fixed)
Issue Price (Price to Public):
Underwriting Discount:
Day Count Convention:
Redemption at the issuer option:
  Make Whole T+ 25 basis points
Minimum Denominations:
  $5,000 and integral multiples of $1,000 in excess thereof
Billing & Delivering:
  Merrill Lynch, Pierce, Fenner & Smith
Joint Book-Runners:
  Jefferies & Company, Inc.
  Citigroup Global Markets Inc.
  Merrill Lynch, Pierce, Fenner & Smith
  Banc of America Securities LLC
  BNY Capital Markets, Inc.
  Keefe, Bruyette & Woods, Inc.
  Wachovia Capital Markets, LLC
  BNP Paribas Securities Corp.
  HSBC Securities (USA) Inc.
  SG Americas Securities, LLC



     The following table sets forth Jefferies Group, Inc.’s capitalization as of September 30, 2005 on an actual basis and as adjusted to give effect to the sale of the debentures.
    As of September 30, 2005  
    Actual     As adjusted  
    (unaudited, in thousands)  
Long-Term Debt:
7.50% Senior Notes due 2007
  $ 99,947     $ 99,947  
7.75% Senior Notes due 2012
    333,403       333,403  
5.50% Senior Notes due 2016
    348,093       348,093  
6.25% Senior Debentures due 2036 offered hereby
Total Long-Term Debt
    781,443       1,281,443  
Total Stockholders’ Equity
    1,201,860       1,201,860  
Total Capitalization(1)
  $ 1,983,303     $ 2,483,303  
(1)     On January 18, 2006, we announced that Massachusetts Mutual Life Insurance Company, or MassMutual, had agreed, subject to final documentation and conditions to closing, to purchase $125.0 million of our Series A Cumulative Convertible Preferred Stock. Total Capitalization above does not reflect the sale of the Series A Cumulative Convertible Preferred Stock to MassMutual.
This communication is intended for the sole use of the person to whom it is provided by us.
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free:
MERRILL LYNCH 1-800-248-3580
CITIGROUP 1-800-248-3580