UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 13F

                               FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: 09/30/2011

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:    DAIWA CAPITAL MARKETS AMERICA INC.
Address: FINANCIAL SQUARE, 32 OLD SLIP
         NEW YORK, NEW YORK  10005

Form 13F File Number: 028-14430

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.

Persons Signing this Report on Behalf of Reporting Manager:

Name:  TAKAYUKI SAWANO
Title: PRESIDENT & CHIEF OPERATING OFFICER
Phone: 212-612-6661

Signature, Place, and Date of Signing:


/s/ Takayuki Sawano                     New York, NY            10/27/2011
-------------------------------------   ---------------------   ----------------
[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 is reported in this report and a portion is 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
--------------------   ----
028-14426              DAIWA SECURITIES GROUP INC.