FOR IMMEDIATE RELEASE

Jefferies Group, Inc. Sells $350 Million in Senior Notes

NEW YORK--(BUSINESS WIRE)--March 3, 2004--Jefferies Group, Inc. (NYSE: JEF) announced today the sale of $350 million aggregate principal amount of unsecured 5 1/2% senior notes due March 15, 2016.

The notes were priced to yield 5.572% at a spread of 148 basis points over the comparable U.S. Treasury bond. The notes are rated Baa2 by Moody's and BBB by Standard & Poor's.

"This offering further enhances Jefferies' strong capital base and will facilitate the continued expansion of our platform," commented Richard B. Handler, Chairman and Chief Executive Officer of Jefferies. "We remain committed to building the leading investment bank serving middle-market companies and their investors," he added.

Merrill Lynch & Co. (Books) and Jefferies & Company, Inc. are the joint lead managers. BNY Capital Markets, Citigroup Global Markets, Credit Suisse First Boston, JP Morgan Securities Inc. and Wachovia Securities are acting as co-managers. A prospectus supplement may be obtained from Merrill Lynch & Co. at 4 World Financial Center, New York, New York 10080.

About Jefferies

Jefferies Group, Inc. (NYSE: JEF) is a holding company whose affiliated companies, including its principal operating subsidiary, Jefferies & Company, Inc., offer a variety of services for institutional investors and middle-market companies. Subsidiaries of Jefferies Group, Inc., together, comprise a full-service investment bank and institutional securities firm focused on the middle market. Jefferies offers financial advisory, capital raising, mergers and acquisitions, and restructuring services to small and mid-cap companies. The firm provides outstanding trade execution in equity, high yield, convertible and international securities, as well as fundamental research and asset management capabilities, to institutional investors.

This press release does not constitute an offer to sell or a solicitation of an offer to buy the notes nor shall there be any sale of the notes in any state or jurisdiction in which such offer, solicitation or sale would be unlawful. Offers will be made only by means of a prospectus, including a prospectus supplement, forming a part of the effective registration statement.

CONTACT:
Jefferies Group, Inc.
Joseph A. Schenk, CFO, 212-284-2338

SOURCE: Jefferies Group, Inc.