0

1

Jefferies Group, Inc. – Our Mission

To build the leading investment bank serving growing and mid-sized companies and their investors – led by the strongest capital

markets trading platform in the industry

Sales &Trading

Growing and mid-sized companiesInvestment

BankingSecurities Research

Asset Management

2

Key Franchise Highlights

Leading middle-market focused franchise

Client-oriented culture based on long-term institutional relationships

Outstanding trading platform: equity, high yield and convertibles

Diversified business mix focused on serving growing and mid-sized companies

and investors – trading, investment banking, research, asset management

Strong and liquid capital position with over $1.5 billion, pro forma, in cash and

short-term investments

2,045 employee-shareholders own approximately 53% of Jefferies. Human

capital is our most significant investment

Management: Aligned, experienced and motivated

6 Consecutive Years of Record Revenues and Earnings

3

2005 Highlights – Record Results

Record Gross Revenues $1.5 Billion

Record Net Revenues $1.2 Billion

Record EBITDA $575 million

Record Net Earnings $157 million

Record EPS $2.32

Book Value (Approximately 83% Tangible) $1.3 billion

Current Market Capitalization (fully diluted) $3.5 Billion

RATED BBB+ BY FITCH IN JANUARY 2006UPGRADED TO BAA1 BY MOODY'S IN JANUARY 2005

(1)

(2)

(1) A reconciliation to the most comparable GAAP financial measure is located on page 26.(2) As of close on January 20, 2006; based on the number of diluted shares outstanding as used in the Company’s diluted EPS

calculation for the reported period.

4

Recent Strong Performance

Net RevenuesNet Revenues

$670 $675$830

$1,058$1,205

($ in Millions)($ in Millions)2002 2003

Net EarningsNet Earnings

$60 $63$84

$131$157

($ in Millions)($ in Millions)

Book ValueBook Value

$566 $629$838

$1,039

$1,287

($ in Millions)($ in Millions)2002 2003

CAGR 22%

2004 20052001

Market CapMarket Cap

$1,153 $1,159

$2,016$2,608

$3,461

($ in Millions)($ in Millions)2002 2003

CAGR 31%

2004 Current2001

(1)

CAGR 27%CAGR 16%

Note: CAGR represents compounded annual growth rate over 4 year period.

EBITDAEBITDA

$235 $204$257

$382

$575

($ in Millions)($ in Millions)

2005

2005

EPSEPS

$1.14 $1.14$1.42

$2.06$2.32CAGR 25% CAGR 19%

2002 2003 20042001

2002 2003 2004 20052001

200520042001

2002 2003 20042001

(1) Based on the number of diluted shares outstanding as used in the Company’s diluted EPS calculation for the reported period.

5

JEF Stock Performance Relative to Peers

218% 213%

180%

129%

70%

43% 40%

(17%)(43%)

(77%)

356%

(100%)

(50%)

0%

50%

100%

150%

200%

250%

300%

350%

(1) AMEX Securities Broker/Dealer Index ®.

Change in Stock PriceJanuary 1, 2000 – January 20, 2006

BrokerIndex (1)

MerrillLynch

A.G.Edwards

GoldmanSachs

MorganStanley

CharlesSchwab

KnightTrading

LehmanBrothers

RaymondJames

BearStearnsJefferies

6

(1) Excludes discontinued Investment Technology operations.

Sales & TradingSales & Trading Investment BankingInvestment Banking Asset ManagementAsset Management Interest & OtherInterest & Other

1990 2000

78%

2%

15%

78%

15%5%

2%

Net Revenues

Diversified Revenues – Focused on the Middle Market

2005(1)

85%

0%7%

85%

7%8%

49%41%

3%

7%$128mm$617mm

$1.2 Billion

7

Investment in Human Capital

8851,014

1,2111,357

1,5941,783

2,045

500

1,000

1,500

2,000

2,500

1999 2000 2001 2002 2003 2004 2005

Total Headcount

Headcount Increases by Division Since 1999

Investment Banking Division 477 Research 92Equity Sales, Trading & Execution 170 Asset Management 56Bonds Direct 97 High Yield Division 19

8

Aligned & Motivated Management Team

(1) Includes all equity holdings, options, interests in compensation and incentive plans, and economic interests. Assumes expiration of all vesting and deferral periods.

(2) Based on information contained in Jefferies’ Proxy Statement filed with the SEC on April 15, 2005.(3) Based on information contained in Mr. Friedman’s Form 3 and Form 4s filed with the SEC.(4) Includes all Jefferies employees, management, directors and retirees currently working as consultants to the Company.

Name Title Years at Jefferies

Years in the Industry Ownership % (1)

Richard B. Handler (2) Chairman and CEO 15 18 9.5%

Brian P Friedman (3) Chairman, Executive Committee

4 21 2.4%

Joseph A. Schenk (2) CFO 11 15 0.6%

Other 6 Executive Committee Members 90 144 6.2%

Total Executive Committee 120 198 18.7%

The Jefferies "Family" (4) 53.2%

9

Equity Sales & Trading – Deep Institutional Relationships

Relationships with over 2,000 accounts

220 person sales force – average senior sales trader has been with Jefferies for approximately 14 years

Primarily low risk agency and principal trading

Diversified customer base – over 300 accounts make up approximately 80% of equity trading revenues, significantly more

than most Wall Street firms

Jefferies traded an average of 75 million shares per trading day in U.S. Equities during 2004

Jefferies Execution Services executes over 145 million shares per day on the NYSE, representing nearly 10% of average

daily reported NYSE volume

Nasdaq Market Maker in more than 2,400 securities, including 500 ADRs

New Product Opportunities - Bulletin Boards (2002), ADR (2002), ETF (2004), Options (2005)

$446

$382 $396 $392

275

212 188 181

50

125

200

275

350

425

500

2002 2003 2004 2005

Rev

(mill

ions

)/Vol

(bill

ions

JEF Equity Trading Revenues ($ millions)Industry Block Trading Volumes (billions)

Gaining market share amid declining industry-

wide block trading volumes

10

Investment Banking – Dominant Player in the Middle Market

$81 $91 $124 $140$230

$353

$495

$0

$100

$200

$300

$400

$500

$600

1999 2000 2001 2002 2003 2004 2005

Investment Banking Revenues ($ in Millions)

Nearly 400 professionals with world class expertise and experience focused primarily on middle market companies

Name The 2005 Middle Market Investment Bank of the Year by Investment Dealers’ Digest

In 2005, Jefferies completed more than 250 transactions valued over $65 billion

Leading M&A Advisor, announcing nearly 500 M&A transactions worth nearly $85 billion since 1997

Top 15 – Deals under $1 billion

#2 – Deals under $250mm

Top in-house restructuring practice, with over $100 billion in restructured liabilities since 1993

CAGR-35%

Note: CAGR represents compounded annual growth rate over 6-year period.

11

High Yield Rankings

2001 – 2005 Single B New Issues Under $150 Million 2005 Single B New Issues Under $150 Million

Deals Manager Proceeds Rank Manager Proceeds Rank Deals

Jefferies & Co Inc Jefferies & Co Inc $3,026.8 1 34 $415.5 1 5

Banc of America Securities LLC 1,734.9 2 27 Banc of America Securities LLC 348.4 2 6 JP Morgan 1,593.5 3 26 Bear Stearns & Co Inc 250.7 3 4 Deutsche Bank AG 1,542.4 4 22 Lehman Brothers 228.0 4 3 Credit Suisse First Boston 1,524.0 5 23 JP Morgan 169.8 5 3 Citigroup 959.3 6 13 Citigroup 150.8 6 3 UBS 909.9 7 13 UBS 136.5 7 3 Wachovia Corp 796.8 8 12 Merrill Lynch & Co Inc 127.5 8 2 Goldman Sachs & Co 734.7 9 9 Wachovia Corp 61.5 9 1 Bear Stearns & Co Inc 674.4 10 9 Deutsche Bank AG 60.0 10 1 Lehman Brothers 633.8 11 9 Credit Suisse First Boston 30.8 11 1 Morgan Stanley 552.5 12 9 Merrill Lynch & Co Inc 403.9 13 7 CIBC World Markets Inc 262.5 14 5 Morgan Joseph & Co Inc 125.0 15 1

Note: Excludes split rated, mortgage and asset-backed securities. Full credit to book runner, equal credit if joint-book runners.Source: Securities Data Corporation and Jefferies & Company, Inc.

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M&A Ranking

Deals <$1,000 million Deals <$500 million Deals <$250 million Rank Financial Advisor Deals Rank Financial Advisor Deals Rank Financial Advisor Deals

1 Houlihan Lokey 121 1 Houlihan Lokey 117 1 Houlihan Lokey 112 2 Goldman Sachs 99 2 UBS 80 2 Jefferies & Company 64 3 Credit Suisse First Boston 94 3 Goldman Sachs 78 3 UBS 62 4 UBS 93 4 Credit Suisse First Boston 74 4 Credit Suisse First Boston 54 5 Citigroup 90 5* Citigroup 72 5 Morgan Stanley 53 6 JP Morgan 89 5* JP Morgan 72 6 Banc of America Securities 52 7* Banc of America Securities 78 7 Jefferies & Company 68 7 Keefe Bruyette & Woods 50 7* Merrill Lynch 78 8 Banc of America Securities 67 8* Citigroup 48 7* Morgan Stanley 78 9 Morgan Stanley 65 8* JP Morgan 48

10 Lehman Brothers 76 10 Merrill Lynch 64 10 Goldman Sachs 47 11 Jefferies & Company 71 11 Lehman Brothers 62 11 Wachovia Corp 46

Source: SDC Platinum. Transactions Announced 1/1/2005 - 9/30/2005. All Tables Include Transactions Where Value Is Undisclosed. Excludes: Tender Offers, Exchange Offers, Self-tenders, Repurchases, Remaining Interests, Privatizations.

13

Investment Banking – New Strategic Partners

JEF acquired Broadview for approximately $36.4mm in initial consideration (57% cash & 43% JEF stock) and a 5 year contingency for additional consideration.

75 professionals in New York, Silicon Valley, Boston and London;

Over the last 5 years, Broadview has completed 321 M&A transactions worth $54.3 billion;

JEF acquired Quarterdeck for approximately $29.5mm in initial consideration and a 5 year contingency for additional consideration. The initial consideration, net of cash acquired in the acquisition, was comprised of approximately 55% cash and 45% JEF restricted stock

Expands investment banking for aerospace, defense, space and government IT; leverages JEF platform

JEF acquired Randall & Dewey for approximately $43.2mm in initial consideration and a 5 year contingency for additional consideration.

Expands investment banking for global oil and gas companies; leverages JEF platform

Over 100 professionals in Houston, London and Calgary.

JEF acquired Helix for approximately $35.1mm in initial consideration and a five year contingency for additional consideration.

Expands the array of services that JEF can offer private equity firms as Helix is one of Europe's leading independent placement agents with over $17.5 billion raised since 1998.

Five Executive Directors and seven other placement professionals in London with expansion plans for New York and Los Angeles.

14

Investment Banking – Diversified Service and Industry Focus

Technology

Aerospace / Defense

Consumer

Exploration and Production

Financial Services

Gaming

Industries

Healthcare

Industrials

Media

Oil Services & Maritime

Financial Sponsors / General

Equity

Convertibles

High Yield

Structured Finance

Private Placements

M&A Advisory

Restructuring

Services

Fund Placement

Investment Grade

Loans

Capital Markets Products

Advisory Products

Telecom Growth Industries

Basic Industries

New since 2000

15

Investment Banking – Diversified by Product and Industry

By Industry – FY 2005

Media/ Telecomm

2%

Healthcare3%

Technology15%

Fin Svcs6%

Aerospace/ Defense

8%Gaming

4%

General6%

Energy24%

Consumer12%

Industrial15%

Telecom5%

M&A38%

Convertible3%

Advisory10%Debt

24%

Equity18%

Restructuring7%

By Product – FY 2005

16

Investment Banking – Jefferies Babson Finance, LLC

Partners: Jefferies and MassMutual’s Babson Capital

Objective: Provide senior lending to middle market customers

Estimated loans to be written over 3-4 years: $10 billion

Estimated hold capacity of JV: $2 billion in loans

Equity: $250 million commitment by each partner

Partners’ responsibilities:

– Jefferies - origination

– Babson - analytical and portfolio management services

17

High Yield Sales & Trading

A top secondary market trader, trading approximately $20 billion face value in securities annually

Makes markets in more than 500 issues with over 300 institutions

Focus on “Single B” credits and distressed debt

Each high yield trader has at least 14 years industry experience

Consistently profitable in all environments since 1990

Asset Management – Jefferies Partners Family of Opportunity Funds

$27$40 $45

$62

$0

$20

$40

$60

$80

2002 2003 2004 2005

High Yield Secondary Trading Revenues ($ in millions)

18

Research – Small and Mid-Cap Focus

CoveredProfessionals Companies

Equity 89 597High Yield 14 300Converts 1 80International 12 123

Total 116 1,100

Equity - Covered Companies by Market Cap

$0-$500mm 22%$500mm-$2.0B 37%$2.0B-$5.0B 17%$5.0B + 24%

SectorsUnder Coverage

Post-ReorganizationServices

Special Situations

Technology

Telecommunications

Energy

Financials

Gaming & Leisure

Healthcare

Industrials

Media &Entertainment Consumer

Oil Servicesand Maritime

Ranked No. 2 Firm in the Wall Street Journal’s “2005 Best on the Street” survey and a Top 10 firm in the 2004 Forbes/StarMine Analyst Awards

216262

343412

505

597

200

300

400

500

600

2000 2001 2002 2003 2004 Q32005

Equity Research – Companies Covered

19

Asset Management – Leveraging the Platform

Continued to build the infrastructure for a substantial asset management business -total headcount of 56

Leverage relationships with trading, investment banking and sponsor groups

Current strategies – High Yield, Private Equity, International Convertible Bonds, Long/Short, CDO, and Real Assets

Fees largely performance-based

$20$33

$81 $82

$0$20$40$60$80

$100

2002 2003 2004 2005

Asset Management Revenues ($ in millions)

$732$417

$971$581$22

$1,767

$602$464$190

$1,656

$1,038$505$140

$0

$1,000

$2,000

$3,000

$4,000

2002 2003 2004 2005

Asset Under Management ($ in millions)

Equity-linked Debt

$1.1BB $1.6BB

$3.0BB $3.3BB

Strategy

CommoditiesEquities

20

Other Products

Convertibles Sales & Trading$37 million in 2005 revenues

75 experienced professions located on trading desks in New York, London, Tokyo, Zurich and

Paris who have relationships with over 350 accounts

Make markets in over 400 convertible securities

Jefferies Bonds Direct $29 million in 2005 revenues

Management team with over 125 years of combined experience; 95 employees

Securities Lending $27 million in 2005 revenues

Approximately $7.7 billion matched assets / liabilities

Significant cash flows

Low risk with high margins

Correspondent Clearing$23 million in 2005 revenues

Jefferies Financial Products$46 million in 2005 revenues

21

Highly Variable Cost Structure

Jefferies’ highly variable expense structure is responsive to all economicenvironments – more than 60% of total compensation expense is variable

Restricted / retention stock is a significant and meaningful portion of employee compensation

($ in millions) 2005

Compensation & Benefits $ 670

Floor Brokerage & Clearing 46

Other Non-Compensation Costs 220

Total Non-Interest Expense $ 936

Pretax Income Margin 22%

Net Income $ 157

61% 60%57% 57% 56% 56%

50%

60%

70%

2000 2001 2002 2003 2004 2005

Comp & Benefits56% of Net Revenues

Comp & Benefits as a % of Net Revenues

22

Strong Risk Management

Trading is primarily agency and low risk principal trading – identifying natural buyers

and sellers

Majority of customers are top-tier, high-quality institutions

All traders subject to real-time monitoring and strict trading limits

Expanded legal and compliance departments

High employee ownership and long-term tenure of key employees

23

Strong Capital Position

Almost $2 billion in capital

Over $1.5 billion, pro forma, in cash and short-term investments

Investment grade since debt offering in 1994

Upgraded to Baa1 by Moody’s in January 2005

BBB by S&P since November 2003

BBB+ by Fitch in January 2006

Jefferies continues to maintain relatively low leverage and strong liquidity

Pro forma long-term Debt/Equity ratio of approximately 107% (versus approximately 380% for

comparable broker-dealers

Pro FormaAs Reported Adjustments Pro Forma

$781 $500 $1,281$125 $125

Total Stockholder's Equity 1,201 1,201Total Capitalization $1,982 $625 $2,607

Long-Term Debt/Equity 65% 107%Liquid Assets/Total Assets 93% 94%Total Assets/Stockholders' Equity 11.3x 11.8x

As of September 30, 2005

Credit Statistics:

Long-Term DebtSeries A Convertible Preferred

24

Pro Forma Debt Statistics

0%100%200%300%400%500%

Jefferies Merrill MSDW Goldman Lehman Bear

x3x6x9x

12x15x18x

Jefferies Lehman Merrill Goldman Bear MSDW

Long Term Debt to Stockholders’ Equity

Note: Pro forma debt statistics assumes an issue size of $500 million.(1) Calculated as Total Assets less Securities Borrowed / Stockholders’ Equity as of Sep 30, 2005.

(1)

Adjusted Leverage (excluding Stock Borrow & Repos)

25

CONCLUSION

A global investment bank and institutional securities firm serving growing and mid-sized companies and their

investors.

26

Appendix A – EBITDA Reconciliation

EBITDA represents earnings (loss) before income taxes, interest expense, depreciation and amortization and is an approximation of cash flow from operations before tax. The Company uses EBITDA as an internal measure of performance and believes it is a useful and commonly used measure of financial performance in addition to earnings (loss) before taxes and other profitability measures under generally accepted accounting principles (GAAP).

EBITDA is not a measure of performance under GAAP. EBITDA should not be construed as an alternative to operating income and earnings (loss) before taxes as an indicator of the company’s operations in accordance with GAAP. Nor is EBITDA an alternative to cash flow from operating activities in accordance with GAAP. The Company’s definition of EBITDA can differ from that of other companies.

The following table reconciles net earnings, the most comparable measure under GAAP, to EBITDA for the stated periods (in thousands).

Years Ended2001 2002 2003 2004 2005

Net Earnings $59,539 $62,571 $84,051 $131,366 $157,443Add:Minority Interest - - 7,631 11,668 6,875 Interest Expense 114,709 80,087 97,102 140,394 293,173 Income Taxes 43,113 41,121 52,851 83,955 104,089 Depreciation and amortization 17,230 20,281 15,519 14,544 12,965

EBITDA $234,591 $204,060 $257,154 $381,927 $574,545