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, 2011

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:    Piper Jaffray Companies
Address: 800 Nicollet Mall
         Suite 800
         Minneapolis, MN 55402

Form 13F File Number: 28-10776

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:    Ann C. McCague
Title:   Chief Compliance Officer
Phone:   612-303-6359

Signature, Place, and Date of Signing:

       Ann C. McCague                 Minneapolis, MN         8/09/11
-----------------------------  -----------------------------  ---------
         [Signature]                   [City, State]           [Date]

Report Type (Check only one.):

[_] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager
    are reported in this report.)

[X] 13F NOTICE. (Check here if no holdings reported are in this report, and all
    holdings are reported by other reporting manager(s).)

[_] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this
    reporting manager are reported in this report and a portion are reported by
    other reporting manager(s).)

List of Other Managers Reporting for this Manager:
[If there are no entries in this list, omit this section.]

    Form 13F File Number       Name

    28-05637                   Advisory Research, Inc.
    28-05030                   Fiduciary Asset Management Inc.