Document:

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                                                                  EXHIBIT 4.1(a)

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                             JEFFERIES GROUP, INC.,

                                     ISSUER

                                       AND

                              THE BANK OF NEW YORK,

                                     TRUSTEE

                           ---------------------------

                          FIRST SUPPLEMENTAL INDENTURE

                           DATED AS OF MARCH 15, 1999

                           ---------------------------

                                  $100,000,000

                          7 1/2% SENIOR NOTES DUE 2007

                          ----------------------------

             SUPPLEMENTING THE INDENTURE DATED AS OF AUGUST 18, 1997

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        FIRST SUPPLEMENTAL INDENTURE, dated as of March 15, 1999, between
Jefferies Group, Inc., a Delaware corporation (the "Company"), and The Bank of
New York, a New York banking corporation, as trustee (the "Trustee").

        WHEREAS, the Company and the Trustee executed and delivered that certain
indenture, dated as of August 18, 1997 (the "Indenture"), providing for the
issuance thereunder by the Company, and the authentication and delivery by the
Trustee, of the Company's 7 1/2% Senior Notes due 2007 (the "Securities"). Any
capitalized terms used herein and not otherwise defined shall have the meanings
given thereto in the Indenture.

        WHEREAS, Section 9.02 of the Indenture authorizes the Company and the
Trustee, with the consent of the holders of not less than a majority in the
aggregate principal amount of then outstanding securities excluding Securities
held by the Company and its affiliates (the "Requisite Consent"), to enter into
a supplemental indenture for the purpose of adding provisions to, or changing or
eliminating any of the provisions of the Indenture or the Securities or
modifying the rights of holders of the Securities under the Indenture.

        WHEREAS, the Company has solicited all registered holders of record of
the Securities as of the close of business on February 5, 1999 and obtained at
least the Requisite Consent of such holders.

        WHEREAS, the Company and the Trustee, by appropriate corporate action,
have determined to supplement the Indenture in the manner described below and
all acts and proceedings required by law, by the Indenture, and by the
Certificate of Incorporation and the Bylaws of the Company necessary to
authorize and constitute this First Supplemental Indenture a valid and binding
agreement in accordance with the terms hereof, have been done and taken.

        NOW, THEREFORE, in consideration of the foregoing, the Company covenants
and agrees with the Trustee, for the equal and proportionate benefit of the
respective holders from time to time of the Securities, as follows:

        1. Modification or Addition of Certain Definitions in Section 1.01 of
the Indenture. The following definitions are hereby added to or modified in
Section 1.01 of the Indenture to read as follows:

        "Assumption" means JEF Holding Company, Inc., a Delaware Corporation and
        a wholly-owned subsidiary of Jefferies Group, Inc. ("New JEF") prior to
        the Spin-Off, succeeding to every right, power, obligation and covenant
        of Jefferies Group, Inc. under this Indenture and the Securities in
        connection with the Transfers and pursuant to Section 5.01 and 5.03 of
        this Indenture, as amended.

        "Change of Control" means any "person" or "group" (as such terms are
        used for purposes of Sections 13(d) and 14(d) of the Exchange Act,
        whether or not applicable) becomes the

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        "beneficial owner" (as the term is used in Rules 13d-3 and 13d-5 under
        the Exchange Act, whether or not applicable, except that a person shall
        be deemed to have "beneficial ownership" of all shares that any such
        person has the right to acquire, whether such right is exercisable
        immediately or only after the passage of time), directly or indirectly,
        of more than 50% of the total voting power entitled to vote in the
        election of directors of the Company; provided, however, that a Change
        of Control shall not be deemed to have occurred (i) as a result of the
        formation of such a "group" or the acquisition of shares of Capital
        Stock of the Company by such group if such group includes existing
        Affiliates and/or persons who beneficially own in the aggregate, as of
        the date of the Indenture, 20% or more of the outstanding shares of
        Capital Stock of the Company on the date of the Indenture, or (ii) by
        virtue of the Company, any Subsidiary, any employee stock ownership plan
        or any other employee benefit plan of the Company or any Subsidiary, or
        any other person holding Capital Stock of the Company for or pursuant to
        the terms of any such employee benefit plan, becoming a beneficial
        owner, directly or indirectly, of more than 50% of the total voting
        power entitled to vote in the election of directors of the Company or
        (iii) as a result of the Transfers, the Assumption, the Spin-Off and the
        ITGI Merger, individually or in the aggregate.

        "Distribution Agreement" is defined within the definition of "Transfers"
        set forth herein.

        "ITGI" is defined within the definition of "Transfers" set forth herein.

        "ITGI Merger" means the merger of ITGI with and into Jefferies Group,
        Inc., as contemplated by the Merger Agreement dated March 17, 1999,
        between Jefferies Group, Inc. and ITGI.

        "New JEF" is defined within the definition of "Assumption" set forth
        herein.

        "Spin-Off" means the pro rata distribution of all outstanding shares of
        common stock of New JEF by Jefferies Group, Inc. to the holders of
        common stock of Jefferies Group, Inc., as contemplated by the
        Distribution Agreement.

        "Transfers" means Jefferies Group, Inc.'s transfer of its assets
        (excluding the capital stock and assets of Investment Technology Group,
        Inc., a Delaware corporation ("ITGI"), and ITGI's subsidiaries) and
        liabilities (excluding the liabilities of or related to ITGI and ITGI's
        subsidiaries) to New JEF and a subsidiary of Jefferies Group, Inc. that
        will become a subsidiary of New JEF in connection with the
        aforementioned transfers to New JEF, as contemplated by a Distribution
        Agreement dated March 17, 1999, between Jefferies Group, Inc. and New
        JEF (the "Distribution Agreement").

        2. Modification of Section 4.03 of the Indenture. Section 4.03 of the
Indenture is hereby amended to read as follows:

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        SECTION 4.03 Corporate Existence.

        Subject to Article Five, the Company shall do or cause to be done all
        things necessary to preserve and keep in full force and effect its
        corporate existence and the corporate or other existence of each of its
        Subsidiaries in accordance with the respective organizational documents
        of each of them and the rights (charter and statutory) and corporate
        franchises of the Company and each of its Subsidiaries; provided,
        however, that the Company shall not be required to preserve, with
        respect to itself, any right or franchise, and with respect to any of
        its Subsidiaries, any such existence, right or franchise, if (a) the
        Board of Directors of the Company shall determine that the preservation
        thereof is no longer desirable in the conduct of the business of the
        Company and (b) the loss thereof is not disadvantageous in any material
        respect to the Holders. Notwithstanding the foregoing provisions of this
        Section 4.03, the Transfers, the Assumption, the Spin-Off and the ITGI
        Merger, individually or in the aggregate, shall not be impaired or
        affected by the provisions of this Section 4.03 and in all events shall
        be exclusively governed by and subject to Article Five hereof.

        3. Addition of Section 5.03 of the Indenture. Section 5.03 of the
Indenture is added to read as follows:

        Section 5.03.  Transactions Expressly Subject to Section 5.01.

               The Transfers and the Assumption are expressly permitted pursuant
        to this Article Five and Section 5.01 of this Indenture, as amended,
        and, in connection with the Assumption, Jefferies Group, Inc. shall be
        relieved of the performance and observance of all obligations under the
        Indenture and the Securities.

        4. Full Force and Effect; Operative Effect of Amendments. The Indenture,
as amended by this First Supplemental Indenture shall be in full force and
effect as of the date hereof; provided, however, in the event the Transfers do
not occur prior to May 1, 1999, the amendments set forth in Sections 1, 2 and 3
of this First Supplemental Indenture shall cease to have effect and shall be
void and this First Supplemental Indenture shall thereupon have no effect on the
Indenture.

        5. Governing Law. This First Supplemental Indenture shall be governed by
and construed in accordance with the laws of the State of New York.

        6. Duplicate Originals. This First Supplemental Indenture may be
executed in any number of counterparts and by the parties hereto in separate
counterparts, each of which when so executed shall be deemed to be an original
and all of which taken together shall constitute one and the same agreement.

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IN WITNESS WHEREOF, the parties hereto have caused this First Supplemental
Indenture to be duly executed as of the date first written above.

                                        JEFFERIES GROUP, INC.

                                        By:  /s/ Clarence T. Schmitz
                                            ------------------------------------
                                            Name:  Clarence T. Schmitz
                                            Title: Exec. V.P. and CFO

                                        THE BANK OF NEW YORK,
                                        as Trustee

                                        By:  /s/ Thomas C. Knight
                                            ------------------------------------
                                            Name:  Thomas C. Knight
                                            Title: Assistant Vice President

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                                                                  EXHIBIT 4.1(b)

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                            JEF HOLDING COMPANY, INC.

                              JEFFERIES GROUP, INC.

                                       AND

                              THE BANK OF NEW YORK,

                                     TRUSTEE

                           ---------------------------

                          SECOND SUPPLEMENTAL INDENTURE

                           DATED AS OF MARCH 17, 1999

                           ---------------------------

                                  $100,000,000

                          7 1/2% SENIOR NOTES DUE 2007

                          ----------------------------

              SUPPLEMENTING THE INDENTURE OF JEFFERIES GROUP, INC.
            DATED AS OF AUGUST 18, 1997, AS AMENDED ON MARCH 15, 1999

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        SECOND SUPPLEMENTAL INDENTURE, dated as of March 17, 1999, between JEF
Holding Company, Inc., a Delaware corporation (the "New JEF"), Jefferies Group,
Inc., a Delaware Corporation ("Group") and The Bank of New York, a New York
banking corporation, as trustee (the "Trustee").

        WHEREAS, Group and the Trustee executed and delivered that certain
indenture, dated as of August 18, 1997 and as amended on March 15, 1999
(collectively, the "Indenture"), concerning Group's 7 1/2% Senior Notes due 2007
(the "Securities"). Any capitalized terms used herein and not otherwise defined
shall have the meanings given thereto in the Indenture.

        WHEREAS, as of the date hereof, New JEF is a wholly owned subsidiary of
Group.

        WHEREAS, Group has taken appropriate corporate action to effect the
Spin-Off prior to the ITGI Merger, as of April 27, 1999.

        WHEREAS, New JEF, Group and the Trustee, by appropriate corporate
action, have determined to supplement the Indenture in the manner described
below and all acts and proceedings required by law, by the Indenture, and by the
Certificate of Incorporation and the Bylaws of New JEF and Group necessary to
authorize and constitute this Second Supplemental Indenture a valid and binding
agreement in accordance with the terms hereof, have been done and taken.

        NOW, THEREFORE, in consideration of the foregoing, each of New JEF and
Group covenants and agrees with the Trustee, for the equal and proportionate
benefit of the respective holders from time to time of the Securities, as
follows:

        1. Assumption. New JEF hereby agrees that, upon completion of the
Transfers in accordance with the Distribution Agreement (excluding any transfers
subject to Section 3.01(e) of the Distribution Agreement), New JEF shall succeed
to, be substituted for, and exercise every right and power of Group under the
Indenture, as amended hereby, and shall assume, without executing any further
document or instrument, all of the obligations of Group pursuant to the
Indenture, as amended hereby, and pursuant to the Securities. Upon the
completion of the Transfers in accordance with the Distribution Agreement
(excluding any transfers subject to Section 3.01(e) of the Distribution
Agreement), and the succession and substitution set forth in the preceding
sentence, Group shall thereby be relieved of the performance and observance of
all obligations and covenants of the Indenture, as amended hereby, and of the
Securities, including but not limited to the obligation to make payment of the
principal of and interest, if any, on all the Securities.

        2. Full Force and Effect; Operative Effect of Amendment through Second
Supplemental Indenture. The Indenture, as amended by this Second Supplemental
Indenture, shall be in full force and effect as of the date hereof; provided,
however, the provisions of Paragraph 1 shall only become operative in connection
with the completion of the Transfers in

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accordance with the Distribution Agreement (excluding any transfers subject to
Section 3.01(e) of the Distribution Agreement), if such completion of Transfers
(excluding the exceptions noted in the preceding parenthetical) is so effected
prior to May 1, 1999.

        3. Governing Law. This Second Supplemental Indenture shall be governed
by and construed in accordance with the laws of the State of New York.

        4. Duplicate Originals. This Second Supplemental Indenture may be
executed in any number of counterparts and by the parties hereto in separate
counterparts, each of which when so executed shall be deemed to be an original
and all of which taken together shall constitute one and the same agreement.

        IN WITNESS WHEREOF, the parties hereto have caused this Second
Supplemental Indenture to be duly executed as of the date first written above.

                                        JEF HOLDING COMPANY, INC.

                                        By:  /s/ Jerry M. Gluck
                                            ------------------------------------
                                            Name:  Jerry M. Gluck
                                            Title: Secretary

                                        JEFFERIES GROUP, INC.

                                        By:  /s/ Clarence T. Schmitz
                                            ------------------------------------
                                            Name:  Clarence T. Schmitz
                                            Title: Executive Vice President

                                        THE BANK OF NEW YORK,
                                        as Trustee

                                        By:  /s/ Mary La Gumina
                                            ------------------------------------
                                            Name:  Mary La Gumina
                                            Title: Assistant Vice President

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