UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 11-K

     (Mark One)

þ		ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

o		TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number

	A.		Full title of the plan and the address of the plan, if different from that of the issuer named below:
			JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN (the “Plan”)
	B.		Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:

JEFFERIES GROUP, INC. 520 Madison Avenue New York, New York 10022

 

 

FINANCIAL STATEMENTS AND EXHIBITS

	(a)		Financial Statements and Supplemental Schedule (With Reports of Independent Registered Public Accounting Firms Thereon)
	(b)		Exhibit 1 — Consent of Independent Registered Public Accounting Firm
	(c)		Exhibit 2 — Consent of Independent Registered Public Accounting Firm

SIGNATURES

     The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the Administrative Committee, administrator of the Plan, has duly caused this annual report to be signed on its behalf by the undersigned thereunto duly authorized.

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN

Financial Statements as of November 30, 2010 and 2009, and for the Year Ended November 30, 2010, Supplemental Schedule as of November 30, 2010, and Reports of Independent Registered Public Accounting Firms

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN

Table of Contents

		Page
REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS			1
FINANCIAL STATEMENTS:
Statements of Net Assets Available for Benefits as of November 30, 2010 and 2009			3
Statement of Changes in Net Assets Available for Benefits for the Year Ended November 30, 2010			4
Notes to Financial Statements as of November 30, 2010 and 2009, and for the Year Ended November 30, 2010			5
SUPPLEMENTAL SCHEDULE:
Form 5500, Schedule H, Part IV, Line 4i — Schedule of Assets (Held at End of Year) as of November 30, 2010			14

EXHIBITS

Consent of Deloitte & Touche LLP

Consent of KPMG LLP

NOTE:

All other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 have been omitted because they are not applicable.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Administrative Committee of
Jefferies Group, Inc. Employees’ Profit Sharing Plan

We have audited the accompanying statement of net assets available for benefits of the Jefferies Group, Inc. Employees’ Profit Sharing Plan (the “Plan”) as of November 30, 2010, and the related statement of changes in net assets available for benefits for the year then ended. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audit.

We conducted our audit in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan at November 30, 2010, and the changes in net assets available for benefits for the year then ended in conformity with accounting principles generally accepted in the United States of America.

Our audit was conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year) as of November 30, 2010, is presented for the purpose of additional analysis and is not a required part of the basic financial statements, but is supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This schedule is the responsibility of the Plan’s management. Such schedule has been subjected to the auditing procedures applied in our audit of the basic 2010 financial statements and, in our opinion, is fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.

/s/ Deloitte & Touche LLP

New York, New York
May 31, 2011

Report of Independent Registered Public Accounting Firm

The Administrative Committee
The Jefferies Group, Inc.
Employees’ Profit Sharing Plan:

We have audited the accompanying statement of net assets available for benefits of the Jefferies Group, Inc. Employees’ Profit Sharing Plan (the Plan) as of November 30, 2009. The financial statement is the responsibility of the Plan’s management. Our responsibility is to express an opinion on the financial statement based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statement is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statement. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statement referred to above present fairly, in all material respects, the net assets available for benefits of the Plan as of November 30, 2009 in conformity with U.S. generally accepted accounting principles.

New York, New York
May 27, 2010

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN

Statements of Net Assets Available for Benefits

As of November 30, 2010 and 2009

		2010				2009
ASSETS:
Participant-directed Investments, at fair value:
Cash equivalents		$	1,218,570			$	1,472,011
Common stock			35,815,160				54,107,238
Mutual funds			170,348,466				130,141,044
Participant loans			3,624,292				3,184,668
Total investments			211,006,488				188,904,961
Non-interest bearing cash			2,545				3,891
Prepaid expenses			—				13,253
Receivables:
Accrued dividends on common stock			—				39,057
Accrued employer contributions			6,686				3,448
Due from trustee for pending trades			—				40,669
Total receivables			6,686				83,174
Total assets			211,015,719				189,005,279
LIABILITIES:
Excess contribution payable			23,509				—
Accrued expenses			65,268				73,648
Total liabilities			88,777				73,648
Net assets available for benefits		$	210,926,942			$	188,931,631

See accompanying notes to financial statements.

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN

Statement of Changes in Net Assets Available for Benefits

Year ended November 30, 2010

ADDITIONS:
Contributions:
Participant contributions		$	22,301,328
Partcipant rollover contributions			4,435,682
Employer contributions			5,191,483
Total contributions			31,928,493
Investment income:
Net appreciation in fair value of investments			15,318,025
Interest and dividends			2,585,634
Net investment income			17,903,659
Total additions			49,832,152
DEDUCTIONS:
Benefits paid to participants			29,588,418
Administrative expenses			211,007
Total deductions			29,799,425
Net increase before net transfers from related plan			20,032,727
Net transfers from related plan			1,962,584
Net increase after net transfers from related plan			21,995,311
Net assets available for benefits:
Beginning of year			188,931,631
End of year		$	210,926,942

See accompanying notes to financial statements.

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

1.		DESCRIPTION OF THE PLAN
		The following description of the Jefferies Group, Inc. Employees’ Profit Sharing Plan (the “Plan”) is provided for general information purposes only. Participants should refer to the Plan document for more complete information.
		General — The Plan is a defined contribution plan sponsored by Jefferies Group, Inc. and subsidiaries (the “Company”) covering all US based employees of the Company and employees who have US source income who have completed 3 full months of service. The Administrative Committee controls and manages the operation and administration of the Plan. Fidelity Investments serves as the trustee of the Plan. The Plan became effective in December 1964 and is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA).
		Contributions — Each year, participants may voluntarily contribute pretax and /or Roth contributions as a percentage of up to 15% annual compensation or a flat dollar amount, as defined in the Plan, subject to certain Internal Revenue Code (IRC) limitations. Participants may also make voluntary after-tax contributions up to $20,000 (changed from $12,000 as of February 1, 2010). Participants may also contribute amounts representing distributions from other qualified defined benefit plans, defined contribution plans, or Individual Retirement Accounts (IRAs) that held contributions under a previous employer’s tax-qualified plan or contributory IRAs. The Company provides a fixed matching contribution for each dollar contributed by the employee on a pretax and Roth basis. In 2010 the rate of match was 25%. The Plan also enables employees to share in the profits of the Company by means of the Company’s discretionary contributions that can only be made out of profits and are allocated on the basis of their compensation as defined in the Plan. Additional discretionary matching contributions are allocated to participant accounts based on the level of employee contributions made to the Plan. Contributions are subject to certain limitations. The Company did not authorize a discretionary contribution during 2010.
		Participant Accounts — Individual accounts are maintained for each Plan participant. Each participant’s account is credited with the participant’s contribution, the Company’s matching contribution and allocations of the Company’s contributions and Plan earnings, and charged with withdrawals, an allocation of Plan losses and an allocation of administrative expenses, if not paid from the forfeiture account. Allocations are based on participant earnings or account balances, as defined. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account.
		Investments — Participants direct the investment of their contributions into various investment options offered by the Plan. The Plan currently offers 1 equity investment, 27 mutual funds, 2 money market funds, and a self-directed brokerage account (that primarily invests in interest-bearing cash accounts and income oriented and growth-oriented mutual funds), as investment options for participants. The equity investment is the Jefferies Company Stock Fund, which holds the common stock of Jefferies Group, Inc. Effective February 5, 2010, the Investment Technology Group, Inc. (ITG) stock was discontinued as an investment option for participants. However, participants may continue to hold ITG stock but once sold, additional shares cannot be purchased.

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

Vesting — Participants are vested immediately in their contributions plus actual earnings thereon. Vesting in the Company’s contribution portion of their accounts is based on years of continuous service as follows:

		Vested
Years of vesting service		percentage
Fewer than two years			—	%
Two years			33
Three years			67
Four years			100

		Participant Loans — Participants may borrow from their fund accounts up to a maximum equal to the lesser of (1) $50,000 less the highest outstanding loan balance for the participant during the prior 12-month period or (2) 50% of their account balance. The loans are secured by the balance in the participant’s account and bear interest at rates commensurate with local prevailing rates at the time funds are borrowed. The interest rate remains unchanged for the duration of the loan. The term of the loan may not exceed five years except for loans for the purchase of a primary residence, in which case the repayment period is over ten years. Principal and interest are paid ratably through semi-monthly payroll deductions or terminated participants who elect to continue their loan terms may elect to remit payments directly to the trustee.
		Payment of Benefits — On termination of service for any reason, a participant with an account balance greater than $1,000 may elect to (1) receive a lump-sum distribution in an amount equal to the value of the participant’s vested interest in his or her account, (2) elect a rollover distribution to an eligible retirement plan or eligible individual retirement account in an amount equal to the value of the participant’s vested interest in his or her account, or (3) elect to retain the amount of the vested balance in the Plan until the attainment of age 65. To the extent that a participant’s account is less than $1,000, the Company will distribute the vested interest in the participant’s account to the participant in the form of a lump-sum payment and if invested in Company stock the distribution will be made in the form of whole shares of Company stock or cash. The Plan allows for in-service withdrawals for hardship purposes as defined in the Plan document. The Plan also allows in service withdrawals to employees to withdraw vested balances starting at age 59 1/2 and for all employees to withdraw their voluntary after-tax and rollover contributions at any time.
		Forfeited Accounts — At November 30 ¸ 2010 and 2009, forfeited non-vested accounts totaled $454,847 and $231,277, respectively. These accounts will be used to reduce employer contributions and pay administrative expenses of the Plan. During the year ended November 30, 2010 employer contributions were reduced by $74,405 and $204,855 was used to pay administrative expenses from forfeited non-vested accounts.

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

2.		SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
		Basis of Accounting —The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP).
		Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and changes therein and disclosure of contingent assets and liabilities. Actual results could differ from those estimates.
		Risks and Uncertainties — The Plan utilizes various investment instruments, including mutual funds, common stock, and a self-directed brokerage account. The equity security investment option consists of the common stock of Jefferies Group, Inc. Investment securities, in general, are exposed to various risks, such as interest rate, market, and credit. Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of investment securities, Plan Management believes it reasonably possible that changes in the values of investment securities will occur in the near term and that such change could materially affect the amount reported in the financial statements.
		Concentration of Investments — Investment in common stock of the Company comprises approximately 16% and 20% of the Plan’s investments as of November 30, 2010 and 2009, respectively.
		Investment Valuation and Income Recognition — The Plan’s investments are stated at fair value. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Company’s common stock is valued at the closing price reported on the New York Stock Exchange on the last business day of the Plan year. Money market funds are stated at amortized cost, which approximates fair value. Shares of mutual funds are valued at the net asset value of shares held by the Plan at year-end. Participant loans are valued at their outstanding balance, which approximates fair value.
		Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date.
		Management fees and operating expenses charged to the Plan for investments in the mutual funds are deducted from the income earned on a daily basis and are not separately reflected. Consequently, management fees and operation expenses are reflected as a reduction of the investment return for such investment.
		Administrative Expenses — All reasonable expenses of administering the Plan are either charged to participants and paid out of Plan assets or paid from Plan forfeitures. If the expenses are charged to each participant’s account, they are charged on a pro rata basis based upon account balances of participants.
		Payment of Benefits — Benefit payments to participants are recorded upon distribution. There are no amounts allocated to participants who have withdrawn their funds but have not been paid as of November 30, 2010 or 2009.

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

		Net Transfers from Related Plan — The Company also maintains an Employee Stock Ownership Plan (ESOP). Prior to July 1, 2010, the ESOP had a provision which allowed participants at least 55 years of age who had completed 10 years of service to transfer up to 25% of their ESOP holdings into the Plan. The ESOP was amended, effective July 1, 2010, to allow participants who have completed at least 4 years of service in the ESOP to transfer up to 100% of their ESOP holdings into the Plan. Transfers from the ESOP into the Plan are done through transfers of a money market mutual fund. During the year ended November 30, 2010 $1,962,584 was transferred from the ESOP to the Plan.
		Excess Contributions Payable — The Plan is required to return contributions received during the Plan year in excess of IRC limits.

3.		ACCOUNTING & REGULATORY DEVELOPMENTS
		In January 2010, the Financial Accounting Standards Board (FASB) issued Accounting Standards Codification (ASC) update 2010-06, Fair Value Measurements and Disclosures (Topic 820) — Improving Disclosures about Fair Value Measurements. This guidance amends Topic 820 which requires reporting entity to disclose additional information on: (i) significant transfers in and out of Level 1 and 2 measurements and reasons for the transfers; (ii) Level 3 gross purchases, sales, issuances and settlements information; (iii) measurement disclosures by classes of assets and liabilities; and (iv) a description of the valuation techniques and inputs used to measure fair value is required for both recurring and nonrecurring fair value measurements. This guidance was effective for reporting periods beginning after December 15, 2009, except for the requirement to provide Level 3 activities which will be effective for fiscal years beginning after December 15, 2010. The adoption of this guidance did not have a material impact on the Plan’s financial condition or results of operations. Management does not expect that the adoption of the guidance for Level 3 activities will have a material impact on our financial condition or results of operations.
		In September 2010, the FASB issued ASU update 2010-25, Plan Accounting — Defined Contribution Pension Plans (Topic 962): Reporting Loans to Participants by Defined Contribution Plans. This update clarifies how loans to participants should be classified and measured by defined contribution pension benefit plans. Participant loans are currently classified as investments and presented at fair value as provided in Topic 820, Fair Value Measurements and Disclosures. The amendments in the update require that participant loans be classified as notes receivable from participants, which are segregated from plan investments and measured at their unpaid principal balance plus any accrued but unpaid interest. The update is effective for fiscal years ending after December 15, 2010. The Plan has not yet adopted this update and management does not expect that the adoption will have a material impact on our financial condition or results of operations.

4. FAIR VALUE MEASUREMENTS

ASC 820, Fair Value Measurements and Disclosures, provides a single authoritative definition of fair value, set a framework for measuring fair value, and required disclosures about fair value measurements. In accordance with ASC 820, the Plan classifies its investments into Level 1, which refers to securities valued using quoted prices from active markets for identical assets; Level 2, which refers to securities not traded on

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

an active market but for which observable market inputs are readily available; and Level 3, which refers to securities valued based on significant unobservable inputs. Assets are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Plan’s policy is to recognize transfers between levels at the actual date that caused the transfer.

     The techniques used to value the Plan’s investments are as follows:

	•		Cash Equivalents. Valued at cost which approximates fair value;
	•		Common Stock. We utilize a market approach wherein we use the quoted prices in the active market for identical assets;
	•		Mutual Funds. We utilize a market approach wherein we use the quoted prices in the active market for identical assets. All of the mutual funds are traded in active markets at their net asset value per share. There are no restrictions as to redemption of these investments nor does the Plan have any contractual obligations to further invest in any of the individual mutual funds;
	•		Participant Loans. Reported at the current principal outstanding (amortized cost) as the reporting date. The Company has determined that amortized cost approximates fair value.

The following tables set forth by level within the fair value hierarchy a summary of the Plan’s investments measured at fair value on a recurring basis as of November 30, 2010 and 2009:

		Fair value measurements as of November 30, 2010
						Quoted prices
		Assets				in active				Significant
		measured at				markets for				Other				Significant
		fair value as of				identical				observable				Unobservable
		November 30,				assets				inputs				Inputs
		2010				(Level 1)				(Level 2)				(Level 3)
Cash Equivalents		$	1,218,570			$	1,218,570				—				—
Common Stock			35,815,160				35,815,160				—				—
Mutual Funds:
Domestic Stock Funds			85,153,639				85,153,639				—				—
Balanced Funds			17,418,314				17,418,314				—				—
Fixed Income Funds			21,597,532				21,597,532				—				—
International Stock Funds			17,637,697				17,637,697				—				—
Money Market Funds			25,673,991				25,673,991				—				—
Brokerage Link			2,867,293				2,867,293
Participant loans receivable			3,624,292				—				—			$	3,624,292
		$	211,006,488			$	207,382,196				—			$	3,624,292

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

		Fair value measurements as of November 30, 2009
						Quoted prices
						in active				Significant
		Assets				markets for				Other				Significant
		measured at				identical				observable				Unobservable
		fair value as of				assets				inputs				Inputs
		November 30, 2009				(Level 1)				(Level 2)				(Level 3)
Cash Equivalents		$	1,472,011			$	1,472,011				—				—
Common Stock			54,107,238				54,107,238				—				—
Mutual Funds:
Domestic Stock Funds			59,101,388				59,101,388				—
Balanced Funds			12,938,749				12,938,749				—				—
Fixed Income Funds			16,653,883				16,653,883				—				—
International Stock Funds			15,377,925				15,377,925				—				—
Money Market Funds			23,460,285				23,460,285				—				—
Brokerage Link			2,608,814				2,608,804
Participant loans receivable			3,184,668				—				—			$	3,184,668
		$	188,904,961			$	185,720,293				—			$	3,184,668

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

The following table presents a reconciliation of the beginning and ending balances of the fair value measurements using significant unobservable inputs (Level 3) for the year end November 30, 2010:

		Fair Value
		Measurements
		Using
		Significant
		Unobservable
		Inputs (Level 3)
Beginning balance as of December 1, 2009		$	3,184,668
Principal repayments			(1,576,245	)
Loan withdrawals			2,382,696
Benefit payments			(366,827	)
Ending balance as of November 30, 2010		$	3,624,292

5.		INVESTMENTS
		The following presents investments, that represent 5% or more of the Plan’s net assets available for benefits as of November 30, 2010 and 2009:

		2010				2009
Common stock:
Jefferies Group, Inc.		$	34,018,552			$	37,200,928
Mutual funds:
Fidelity Small Cap Stock Fund			10,893,485				**
Fidelity Magellan K Fund			*				13,496,985
Fidelity OTC Portfolio K Fund			38,961,562				10,904,833
Fidelity International Discovery K Fund			17,637,697				13,540,626
Fidelity Retirement Money Market Fund			18,500,172				16,631,632
Fidelity Spartan U.S. Equity Index Fund			24,723,650				21,651,615

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

During the year ended November 30, 2010, the Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated in value by investment type, as follows:

				2010
Common stock				$	377,286
Mutual funds
		Domestic Stock Funds		$	11,560,985
		Balanced Funds			1,387,320
		Fixed Income Funds			945,429
		International Stock Funds			713,295
		Brokerage Link			333,710
				$	15,318,025

6.   EXEMPT PARTY-IN-INTEREST TRANSACTIONS

Certain plan investments are shares of mutual funds managed by Fidelity Management Trust Company. Fidelity Management Trust Company is the trustee of the Plan and these transactions qualify as exempt party-in-interest transactions. Fees paid by the Plan for investment management services were $167,289 for the year ended November 30, 2010.

Fees paid indirectly by the Plan for investment management services are described in the mutual fund prospectus of the designated investment options and are included as a reduction of the return earned on such fund.

As of November 30, 2010 and 2009, the Plan held 1,408,636 and 1,586,393 shares respectively, of the Jefferies Company Stock Fund, which holds the common stock of the sponsoring employer, with a cost basis of $22,053,797 and $21,191,007, respectively. During the year ended November 30, 2010, the Plan recorded dividend income of $389,406 related to the Jefferies Common Stock Fund.

Certain employees and officers of the Company, who may also be participants in the Plan, perform administrative services to the Plan at no cost to the Plan.

7.   PLAN TERMINATION

Although it has not expressed any intent to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions set forth in ERISA. In the event of Plan termination, participants would become 100% vested in their employer contributions and their accounts would be distributed in accordance with the Plan document.

JEFFERIES GROUP, INC. EMPLOYEES’ PROFIT SHARING PLAN NOTES TO FINANCIAL
STATEMENTS AS OF NOVEMBER 30, 2010 AND 2009, AND FOR THE YEAR ENDED NOVEMBER 30, 2010

8.   TAX STATUS

The Internal Revenue Service (IRS) has determined and informed the Company by a letter dated September 11, 2008 that the Plan and related trust were designed in accordance with applicable sections of the Internal

Revenue Code (IRC). The Plan has been amended since receiving the determination letter. The Plan administrator and the Plan’s tax counsel believe that the Plan is designed and operated in compliance with the applicable requirements of the IRC, and the Plan and related trust continue to be tax-exempt. Therefore, no provision for income taxes has been included in the Plan’s financial statements.

GAAP requires Plan management to evaluate tax positions taken by the Plan and recognize a tax liability (or asset) if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan administrator has analyzed the tax positions taken by the Plan, and has concluded that as of November 30, 2010, there are no uncertain positions taken or expected to be taken that would require recognition of a liability (or asset) or disclosure in the financial statements. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress. The plan year ended November 30, 2005 is the earliest year that remains open to examination by the IRS.

9.   SUBSEQUENT EVENT

In January 2011 the Company submitted an application to the IRS for an updated determination letter.

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN EIN: 95-4719745 Plan No. 001

Schedule H, Line 4i — Schedule of Assets (Held at End of Year)

November 30, 2010

		(b) Identity
		of				(d)		(e) Current
(a)		issuer		(c) Description of investment		Cost**		value
				Cash equivalents:
*		Fidelity Management Trust Company		Brokeragelink Fund (1,218,569 shares)				$	1,218,570
				Common Stock:
*		Jefferies Group, Inc.		Jefferies Group, Inc. (1,408,636 shares)					34,018,552
		ITG, Inc.		ITG, Inc. (122,218 shares)					1,796,608
				Mutual funds:
		Neuberger Berman		NB High Income Bond Inv (495,247 shares)					4,585,992
		Loomis Sayles		Loomis Value Y Fund (202,122 shares)					3,520,966
		PIMCO		PIMCO Total Return Fund (863,823 shares)					9,925,329
		Columbia Small Cap		Columbia Small Cap Value I Fund (5,341 shares)					225,187
		Trust Company of the West		TCW Small Capt Growth I (13,582 shares)					373,902
		Baron		Baron Small Cap Inst (23,646 shares)					533,222
*		Fidelity Management Trust Company		Fidelity OTC Portfolio K Fund (754,776 shares)					38,961,562
*		Fidelity Management Trust Company		Fidelity International Discovery K Fund (565,855 shares)					17,637,697
*		Fidelity Management Trust Company		Fidelity Low Price K Fund (164,126 shares)					5,921,665
*		Fidelity Management Trust Company		Fidelity Small Capital Stock Fund (602,183 shares)					10,893,485
*		Fidelity Management Trust Company		Fidelity Strategic Income Fund (601,585 shares)					6,803,924

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN EIN: 95-4719745 Plan No. 001

Schedule H, Line 4i — Schedule of Assets (Held at End of Year)

November 30, 2010

		(b) Identity
		of				(d)		(e) Current
(a)		issuer		(c) Description of investment		Cost**		value
*		Fidelity Management Trust Company		Fidelity High Income Fund (31,753 shares)					282,287
*		Fidelity Management Trust Company		Fidelity Freedom K Income Fund (21,664 shares)					247,185
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2000 (4,323 shares)					50,144
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2005 (2,831 shares)					34,741
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2010 (23,426 shares)					291,423
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2015 (31,867 shares)					397,386
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2020 (180,467 shares)					2,315,395
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2025 (166,081 shares)					2,152,416
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2030 (239,965 shares)					3,143,545
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2035 (235,898 shares)					3,109,142
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2040 (206,841 shares)					2,738,571
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2045 (136,266 shares)					1,813,696
*		Fidelity Management Trust Company		Fidelity Freedom Fund K 2050 (84,435 shares)					1,124,670
*		Fidelity Management Trust Company		Fidelity Retirement Money Market Fund (18,500,172 shares)					18,500,172
*		Fidelity Management Trust Company		Fidelity Retirement Government Money Market Fund (7,173,819 shares)					7,173,819
*		Fidelity Management Trust Company		Fidelity Spartan U.S. Equity Index Fund (589,500 shares)					24,723,650
*		Fidelity Management Trust Company		Brokeragelink Fund (2,753,468 shares)					2,867,293

JEFFERIES GROUP, INC.
EMPLOYEES’ PROFIT SHARING PLAN EIN: 95-4719745 Plan No. 001

Schedule H, Line 4i — Schedule of Assets (Held at End of Year)

November 30, 2010

		(b) Identity
		of				(d)		(e) Current
(a)		issuer		(c) Description of investment		Cost**		value
				Participant loans:
*		Participant loans		maturities 2010-2020 at interest rates ranging from 3.75% to 8.00%
									3,624,292
		Totals						$	211,006,488