UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30, 2004
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Jefferies Group Inc.
Address: 11100 Santa Monica Blvd, 11th Flr.
Los Angeles, CA 90025
13F File Number: 28-10917
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Alfred Petrillo
Title: Senior Vice President
Phone: 212-336-7140
Signature, Place, and Date of Signing:
/s/ Alfred Petrillo Jersey City, NJ August 16, 2004
Report Type (Check only one.):
[ X] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 2
Form13F Information Table Entry Total: 198
Form13F Information Table Value Total: $229,416 (thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional managers with respect to which this report is filed, other
than the manager filing this report.
No. 13F File Number Name
01 28-10432 Jefferies & Company, Inc.
04 28-10917 Jefferies Group Inc.
FORM 13F INFORMATION TABLE
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
ABERCROMBIE & FITCH CO CL A 002896207 11447 295400 SH SOLE 01 295400 0 0
AEROPOSTALE COM 007865108 4008 148950 SH SOLE 01 148950 0 0
AKAMAI TECHNOLOGIES INC COM 00971T101 433 24541 SH SOLE 01 24541 0 0
ALCOA INC COM 013817101 4463 135087 SH SOLE 01 04 135087 0 0
ALLEGHENY ENERGY INC COM 017361106 151 10000 SH SOLE 01 10000 0 0
ALLERGAN INC NOTE 11/0 018490AE2 591 558000 PRN SOLE 01 558000 0 0
ALLIED WASTE INDS INC SDCV 4.250% 4/1 019589AD2 131 135000 PRN SOLE 01 135000 0 0
ALTEON INC COM 02144G107 119 100890 SH SOLE 01 100890 0 0
ALZA CORP SDCV 7/2 02261WAB5 650 853000 PRN SOLE 01 853000 0 0
AMDOCS LTD ORD G02602103 429 18000 SH SOLE 01 18000 0 0
AMERADA HESS CORP COM 023551104 760 9600 SH SOLE 04 9600 0 0
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2445 84576 SH SOLE 01 84576 0 0
AMERICAN RLTY INVS INC COM 029174109 123 13230 SH SOLE 01 13230 0 0
AMKOR TECHNOLOGY INC NOTE 5.000% 3/1 031652AH3 46 50000 PRN SOLE 01 50000 0 0
ANDREW CORP PFD A CV 7.75% 034425207 1319 5703 SH SOLE 01 5703 0 0
ANIXTER INTL INC NOTE 6/2 035290AC9 587 1709000 PRN SOLE 01 1709000 0 0
ANIXTER INTL INC NOTE 7/0 035290AF2 753 1500000 PRN SOLE 01 1500000 0 0
ANNTAYLOR STORES CORP COM 036115103 8607 297000 SH SOLE 01 297000 0 0
AON CORP COM 037389103 282 10000 SH SOLE 01 10000 0 0
ARDEN RLTY INC COM 039793104 754 25033 SH SOLE 01 25033 0 0
ASM INTL N V COM N07045102 2630 55000 SH SOLE 01 55000 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 133 16810 SH SOLE 01 16810 0 0
AT&T CORP COM NEW 001957505 8055 550609 SH SOLE 01 04 550609 0 0
AT&T WIRELESS SVCS INC COM 00209A106 194 13525 SH SOLE 01 13525 0 0
ATMEL CORP SDCV 5/2 049513AE4 199 450000 PRN SOLE 01 450000 0 0
AVALONBAY CMNTYS INC COM 053484101 989 17336 SH SOLE 01 17336 0 0
B A S F A G SPONSORED ADR 055262505 318 6000 SH SOLE 01 6000 0 0
BALLY TOTAL FITNESS HLDG COR COM 05873K108 138 27738 SH SOLE 01 27738 0 0
BAY VIEW CAP CORP DEL COM 07262L101 118 56420 SH SOLE 01 56420 0 0
BCE INC COM 05534B109 1330 50000 SH SOLE 01 50000 0 0
BEST BUY INC SDCV 2.250% 1/1 086516AF8 169 160000 PRN SOLE 01 160000 0 0
BISYS GROUP INC NOTE 4.000% 3/1 055472AB0 30 30000 PRN SOLE 01 30000 0 0
BOISE CASCADE CORP COM 097383103 6173 164000 SH SOLE 04 164000 0 0
BOSTON PROPERTIES INC COM 101121101 819 16209 SH SOLE 01 16209 0 0
BOYDS COLLECTION LTD COM 103354106 114 37320 SH SOLE 01 37320 0 0
BOYKIN LODGING CO COM 103430104 134 18608 SH SOLE 01 18608 0 0
BRINKER INTL INC DBCV 10/1 109641AC4 90 133000 PRN SOLE 01 133000 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 372 15000 SH SOLE 01 15000 0 0
BROWN FORMAN CORP CL B 115637209 774 16000 SH SOLE 01 16000 0 0
BUCKLE INC COM 118440106 489 17300 SH SOLE 01 17300 0 0
BUSINESS OBJECTS S A SPONSORED ADR 12328X107 548 7300 SH SOLE 01 7300 0 0
CACHE INC COM NEW 127150308 588 43500 SH SOLE 01 43500 0 0
CAPSTONE TURBINE CORP COM 14067D102 37 15000 SH SOLE 01 15000 0 0
CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 49 38000 PRN SOLE 01 38000 0 0
CELESTICA INC NOTE 8/0 15101QAA6 169 310000 PRN SOLE 01 310000 0 0
CENVEO INC COM 15670S105 135 48102 SH SOLE 01 48102 0 0
CHARLES RIV LABORATORIES INC DBCV 3.500% 2/0 159863AL3 13 10000 PRN SOLE 01 10000 0 0
CHELSEA PPTY GROUP INC COM 163421100 1050 16022 SH SOLE 01 16022 0 0
CHILDRENS PL RETAIL STORES I COM 168905107 5320 226167 SH SOLE 01 04 226167 0 0
CITIGROUP INC COM 172967101 375 8025 SH SOLE 01 8025 0 0
CONVERGYS CORP COM 212485106 392 26500 SH SOLE 01 26500 0 0
CRIIMI MAE INC COM NEW 226603504 143 12294 SH SOLE 01 12294 0 0
CRYOLIFE INC COM 228903100 118 23180 SH SOLE 01 23180 0 0
DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 882 825000 PRN SOLE 01 825000 0 0
DOLLAR GEN CORP COM 256669102 242 12000 SH SOLE 01 12000 0 0
DUANE READE INC NOTE 2.148% 4/1 263578AC0 515 909000 PRN SOLE 01 909000 0 0
ECHOSTAR COMMUNICATIONS NEW NOTE 5.750% 5/1 278762AG4 378 370000 PRN SOLE 01 370000 0 0
EDISON INTL COM 281020107 15869 615300 SH SOLE 01 615300 0 0
EL PASO CORP COM 28336L109 279 38000 SH SOLE 01 38000 0 0
ELECTRIC CITY CORP COM 284868106 299 160000 SH SOLE 01 160000 0 0
EMERSON RADIO CORP COM NEW 291087203 117 37300 SH SOLE 01 37300 0 0
ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 255 7000 SH SOLE 01 7000 0 0
EP MEDSYSTEMS INC COM 26881P103 181 60000 SH SOLE 01 60000 0 0
EQUITY OFFICE PROPERTIES TRU COM 294741103 1199 43301 SH SOLE 01 43301 0 0
FAIRCHILD CORP CL A 303698104 115 27620 SH SOLE 01 27620 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 158 10000 SH SOLE 01 10000 0 0
FREEPORT-MCMORAN COPPER & GO CL B 35671D857 447 12167 SH SOLE 01 12167 0 0
FREEPORT-MCMORAN COPPER & GO NOTE 7.000% 2/1 35671DAK1 36 25000 PRN SOLE 01 25000 0 0
GAP INC DEL COM 364760108 1592 65600 SH SOLE 01 65600 0 0
GATEWAY INC COM 367626108 1237 275000 SH SOLE 04 275000 0 0
GATX CORP NOTE 7.500% 2/0 361448AC7 72 61000 PRN SOLE 01 61000 0 0
GENERAL MARITIME CORP SHS Y2692M103 546 20000 SH SOLE 01 20000 0 0
GENERAL MLS INC DBCV 10/2 370334AU8 25 36000 PRN SOLE 01 36000 0 0
GENERAL MTRS CORP DEB SR CV C 33 370442717 227 7500 SH SOLE 01 7500 0 0
GEORGIA PAC CORP COM 373298108 5732 155000 SH SOLE 04 155000 0 0
GERBER SCIENTIFIC INC COM 373730100 141 21354 SH SOLE 01 21354 0 0
GOODYS FAMILY CLOTHING INC COM 382588101 347 33496 SH SOLE 01 33496 0 0
GREY WOLF INC COM 397888108 63 15000 SH SOLE 01 15000 0 0
GRUPO FINANCIARO GALICIA S A SP ADR 10 SH B 399909100 90 16900 SH SOLE 01 16900 0 0
HASBRO INC DBCV 2.750%12/0 418056AN7 29 26000 PRN SOLE 01 26000 0 0
HEALTH MGMT ASSOC INC NEW NOTE 1/2 421933AD4 13 14000 PRN SOLE 01 14000 0 0
HEINZ H J CO COM 423074103 5292 135000 SH SOLE 04 135000 0 0
HNC SOFTWARE INC NOTE 5.250% 9/0 40425PAC1 79 75000 PRN SOLE 01 75000 0 0
HONEYWELL INTL INC COM 438516106 918 25050 SH SOLE 01 04 25050 0 0
HORIZON OFFSHORE INC COM 44043J105 50 35000 SH SOLE 01 35000 0 0
HUNGARIAN TEL & CABLE CORP COM 445542103 124 13300 SH SOLE 01 13300 0 0
IMC GLOBAL INC PFD CV 7.5% 449669209 244 2600 SH SOLE 01 2600 0 0
INTEL CORP COM 458140100 396 14325 SH SOLE 01 14325 0 0
INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 33 40000 PRN SOLE 01 40000 0 0
INTERPUBLIC GROUP COS INC NOTE 1.870% 6/0 460690AJ9 225 239000 PRN SOLE 01 239000 0 0
INTERPUBLIC GROUP COS INC PFD CONV SER A 460690308 1402 27000 SH SOLE 01 27000 0 0
INVITROGEN CORP NOTE 2.250%12/1 46185RAD2 53 50000 PRN SOLE 01 50000 0 0
ISHARES TR 1-3 YR TRS BD 464287457 1001 12300 SH SOLE 01 12300 0 0
ISHARES TR DJ US TELECOMM 464287713 261 12293 SH SOLE 01 12293 0 0
ISHARES TR RUSL 2000 VALU 464287630 254 1500 SH SOLE 01 1500 0 0
ISHARES TR RUSSELL 2000 464287655 1067 9285 SH SOLE 01 9285 0 0
ISIS PHARMACEUTICALS INC DEL NOTE 5.500% 5/0 464337AC8 58 65000 PRN SOLE 01 65000 0 0
ISLE OF CAPRI CASINOS INC COM 464592104 266 15000 SH SOLE 01 15000 0 0
KFX INC COM 48245L107 5561 687800 SH SOLE 01 687800 0 0
KINDRED HEALTHCARE INC *W EXP 04/20/200 494580111 592 26000 SH SOLE 01 26000 0 0
KOHLS CORP COM 500255104 2585 60125 SH SOLE 01 60125 0 0
L-3 COMMUNICATIONS HLDGS INC DEBT 4.000% 9/1 502424AD6 228 183000 PRN SOLE 01 183000 0 0
LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 158 145000 PRN SOLE 01 145000 0 0
LANDRYS RESTAURANTS INC COM 51508L103 4185 140000 SH SOLE 04 140000 0 0
LEGG MASON INC NOTE 6/0 524901AG0 3441 5000000 PRN SOLE 01 5000000 0 0
LENNAR CORP NOTE 4/0 526057AF1 1810 2665000 PRN SOLE 01 2665000 0 0
LINENS N THINGS INC COM 535679104 289 10000 SH SOLE 01 10000 0 0
LOWES COS INC NOTE 2/1 548661CF2 898 1004000 PRN SOLE 01 1004000 0 0
LOWES COS INC NOTE 0.861%10/1 548661CG0 260 253000 PRN SOLE 01 253000 0 0
LYDALL INC DEL COM 550819106 112 12455 SH SOLE 01 12455 0 0
MACERICH CO COM 554382101 484 10029 SH SOLE 01 10029 0 0
MANOR CARE INC NEW NOTE 2.125% 4/1 564055AE1 25 21000 PRN SOLE 01 21000 0 0
MASSEY ENERGY CO NOTE 4.750% 5/1 576203AB9 59 35000 PRN SOLE 01 35000 0 0
MATERIAL SCIENCES CORP COM 576674105 120 11155 SH SOLE 01 11155 0 0
MCDONALDS CORP COM 580135101 11850 455375 SH SOLE 01 04 455375 0 0
MCMORAN EXPLORATION CO NOTE 6.000% 7/0 582411AB0 9 100000 PRN SOLE 01 100000 0 0
MEDTRONIC INC DBCV 1.250% 9/1 585055AB2 2999 2950000 PRN SOLE 01 2950000 0 0
MERISTAR HOSPITALITY CORP NOTE 9.500% 4/0 58984YAJ2 128 105000 PRN SOLE 01 105000 0 0
MICRON TECHNOLOGY INC COM 595112103 177 12000 SH SOLE 01 12000 0 0
MICROS SYS INC COM 594901100 369 7988 SH SOLE 01 7988 0 0
MIDCAP SPDR TR UNIT SER 1 595635103 1141 10335 SH SOLE 01 10335 0 0
MISSION RESOURCES CORP COM 605109107 59 10000 SH SOLE 01 10000 0 0
MOBIUS MGMT SYSTEMS INC COM 606925105 127 20390 SH SOLE 01 20390 0 0
NABORS INDUSTRIES LTD SHS G6359F103 246 5530 SH SOLE 01 5530 0 0
NASDAQ 100 TR UNIT SER 1 631100104 3804 102596 SH SOLE 01 102596 0 0
NATURAL MICROSYSTEMS CORP NOTE 5.000%10/1 638882AA8 1000 1000000 PRN SOLE 01 1000000 0 0
NETWORK EQUIP TECHNOLOGIES COM 641208103 150 15576 SH SOLE 01 15576 0 0
NETWORKS ASSOCS INC NOTE 5.250% 8/1 64123LAB7 50 47000 PRN SOLE 01 47000 0 0
NEXTEL COMMUNICATIONS INC NOTE 5.250% 1/1 65332VAY9 29 30000 PRN SOLE 01 30000 0 0
NICOR INC COM 654086107 8226 240000 SH SOLE 01 240000 0 0
NISSAN MOTORS SPONSORED ADR 654744408 222 10000 SH SOLE 01 10000 0 0
OHIO CAS CORP NOTE 5.000% 3/1 677240AC7 69 65000 PRN SOLE 01 65000 0 0
OMNICARE CAP TR I PIERS 68214L201 763 12400 SH SOLE 01 12400 0 0
OMNICOM GROUP INC COM 681919106 388 5065 SH SOLE 01 5065 0 0
OMNICOM GROUP INC NOTE 2/0 681919AK2 15 15000 PRN SOLE 01 15000 0 0
PARAMETRIC TECHNOLOGY CORP COM 699173100 326 69341 SH SOLE 01 69341 0 0
PENNEY J C INC COM 708160106 774 20000 SH SOLE 01 20000 0 0
PHELPS DODGE CORP COM 717265102 3263 42100 SH SOLE 01 04 42100 0 0
PHOENIX COS INC NEW CORPORATE UNIT 71902E406 664 17600 SH SOLE 01 17600 0 0
POLO RALPH LAUREN CORP CL A 731572103 1781 51700 SH SOLE 01 51700 0 0
POLYMEDICA CORP COM 731738100 2879 95400 SH SOLE 01 95400 0 0
PRIDE INTL INC DEL FRNT 2.500% 3/0 74153QAB8 25 22000 PRN SOLE 01 22000 0 0
PROGRESS SOFTWARE CORP COM 743312100 343 15500 SH SOLE 01 15500 0 0
PROVIDIAN FINL CORP NOTE 2/1 74406AAB8 10 20000 PRN SOLE 01 20000 0 0
PROVIDIAN FINL CORP NOTE 3.250% 8/1 74406AAA0 355 362000 PRN SOLE 01 362000 0 0
PROVIDIAN FINL CORP NOTE 4.000% 5/1 74406AAC6 127 100000 PRN SOLE 01 100000 0 0
RAYTECH CORP DEL COM 755103108 106 70440 SH SOLE 01 70440 0 0
RENTECH INC COM 760112102 129 145000 SH SOLE 01 145000 0 0
RETRACTABLE TECHNOLOGIES INC COM 76129W105 105 17556 SH SOLE 01 17556 0 0
RF MICRODEVICES INC NOTE 3.750% 8/1 749941AB6 25 25000 PRN SOLE 01 25000 0 0
RICHARDSON ELECTRS LTD SDCV 7.250%12/1 763165AB3 100 100000 PRN SOLE 01 100000 0 0
RICHARDSON ELECTRS LTD SDCV 8.250% 6/1 763165AC1 209 209000 PRN SOLE 01 209000 0 0
ROBBINS & MYERS INC NOTE 8.000% 1/3 770196AB9 627 1311000 PRN SOLE 01 1311000 0 0
SCHERING PLOUGH CORP COM 806605101 224 12320 SH SOLE 01 12320 0 0
SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 26 25000 PRN SOLE 01 25000 0 0
SCHOOL SPECIALTY INC NOTE 6.000% 8/0 807863AC9 51 45000 PRN SOLE 01 45000 0 0
SCHWAB CHARLES CORP NEW COM 808513105 250 25500 SH SOLE 01 25500 0 0
SCHWEITZER-MAUDUIT INTL INC COM 808541106 606 20500 SH SOLE 01 20500 0 0
SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 665 21100 SH SOLE 01 21100 0 0
SEMCO ENERGY INC COM 78412D109 110 19170 SH SOLE 01 19170 0 0
SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 1646 44525 SH SOLE 01 44525 0 0
SILICON GRAPHICS INC COM 827056102 209 95200 SH SOLE 01 95200 0 0
SILICON VY BANCSHARES NOTE 6/1 827064AC0 107 86000 PRN SOLE 01 86000 0 0
SIRIUS SATELLITE RADIO INC NOTE 3.500% 6/0 82966UAA1 565 245000 PRN SOLE 01 245000 0 0
SIZELER PPTY INVS INC COM 830137105 116 13040 SH SOLE 01 13040 0 0
SL GREEN RLTY CORP COM 78440X101 288 6219 SH SOLE 01 6219 0 0
SMITHFIELD FOODS INC COM 832248108 4087 139000 SH SOLE 04 139000 0 0
SOUTHWEST BANCORP INC OKLA COM 844767103 263 14505 SH SOLE 01 14505 0 0
SPDR TR UNIT SER 1 78462F103 8775 76730 SH SOLE 01 76730 0 0
STAKTEK HLDGS INC COM 85256P106 92 14030 SH SOLE 01 14030 0 0
STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 26 29000 PRN SOLE 01 29000 0 0
STATE STR CORP UNIT 99/99/9999 857477202 278 1200 SH SOLE 01 1200 0 0
STONEPATH GROUP INC COM 861837102 28 13000 SH SOLE 01 13000 0 0
SUNRISE SENIOR LIVING INC NOTE 5.250% 2/0 86768KAE6 306 259000 PRN SOLE 01 259000 0 0
SYNTROLEUM CORP *W EXP 05/26/200 871630125 66 26826 SH SOLE 01 26826 0 0
SYNTROLEUM CORP COM 871630109 502 90000 SH SOLE 01 90000 0 0
TALBOTS INC COM 874161102 3300 84300 SH SOLE 01 84300 0 0
TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 1438 36700 SH SOLE 01 36700 0 0
TELECOM ARGENTINA S A SPON ADR REP B 879273209 154 17800 SH SOLE 01 17800 0 0
THERAGENICS CORP COM 883375107 124 28220 SH SOLE 01 28220 0 0
THERMA-WAVE INC COM 88343A108 47 10000 SH SOLE 01 10000 0 0
THREE FIVE SYS INC COM 88554L108 125 25050 SH SOLE 01 25050 0 0
TLC VISION CORP COM 872549100 602 51800 SH SOLE 01 51800 0 0
TOO INC COM 890333107 3534 211600 SH SOLE 01 211600 0 0
UNIFI INC COM 904677101 121 45635 SH SOLE 01 45635 0 0
UNITED STATES CELLULAR CORP NOTE 6/1 911684AA6 769 1471000 PRN SOLE 01 1471000 0 0
UNITED STATES STL CORP NEW COM 912909108 3863 110000 SH SOLE 04 110000 0 0
VECTOR GROUP LTD NOTE 6.250% 7/1 92240MAC2 761 854000 PRN SOLE 01 854000 0 0
VERIZON COMMUNICATIONS COM 92343V104 2357 65900 SH SOLE 01 65900 0 0
VIROPHARMA INC NOTE 6.000% 3/0 928241AC2 360 500000 PRN SOLE 01 500000 0 0
WASTE CONNECTIONS INC DBCV 5/0 941053AD2 44 46000 PRN SOLE 01 46000 0 0
WEATHERFORD INTL INC DBCV 6/3 947074AB6 189 300000 PRN SOLE 01 300000 0 0
WELLPOINT HEALTH NETWORK NEW COM 94973H108 544 5000 SH SOLE 01 5000 0 0
WET SEAL INC CL A 961840105 3138 600000 SH SOLE 04 600000 0 0
WHITEHALL JEWELLERS INC COM 965063100 131 16910 SH SOLE 01 16910 0 0
WILSON GREATBATCH TECHNOLOGI SDCV 2.250% 6/1 972232AB8 472 500000 PRN SOLE 01 500000 0 0
YOUNG & RUBICAM INC NOTE 3.000% 1/1 987425AC9 47 47000 PRN SOLE 01 47000 0 0
YUM BRANDS INC COM 988498101 10422 280000 SH SOLE 04 280000 0 0