UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

**FORM N-Q**

**QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANY**

**_______________________________**

Investment Company Act file number  811-2719

DWS Strategic Government Securities Fund

(Exact name of registrant as specified in charter)

 

345 Park Avenue

New York, NY  10154

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY  10154-0004

(Name and address of agent for service)

Registrant's telephone number, including area code:  (212) 454-7190

Date of fiscal year end:  10/31

Date of reporting period: 7/31/09

 

ITEM 1.  SCHEDULE OF INVESTMENTS

| Investment Portfolio | **as of July 31, 2009  (Unaudited)** |
|----------------------|--------------------------------------|

 

 

**DWS Strategic Government Securities Fund**

 

|   | **Principal****Amount ($)** |   | **Value ($)** |  
 

**Mortgage-Backed Securities Pass-Throughs 81.7%**

 
Federal Home Loan Mortgage Corp.:

 
 

4.5%, 4/1/2019  

 

 

16,813 

 

17,562 

 
 

5.0%, with various maturities from 1/1/2019 until 12/1/2019 

 

 

617,614 

 

649,639 

 
 

6.5%, with various maturities from 9/1/2032 until 7/1/2035 

 

 

2,416,256 

 

2,584,918 

 
 

7.0%, with various maturities from 6/1/2032 until 10/1/2038 

 

 

9,777,422 

 

10,651,866 

 
 

8.0%, with various maturities from 2/1/2017 until 7/1/2030 

 

 

17,265 

 

18,787 

 
 

8.5%, with various maturities from 12/1/2016 until 7/1/2030 

 

 

7,458 

 

8,225 

 
 

10.25%, 3/1/2016  

 

 

55 

 

56 

 
Federal National Mortgage Association:

 
 

5.0%, with various maturities from 12/1/2016 until 5/1/2021 

 

 

5,987,056 

 

6,309,046 

 
 

5.5%, 5/1/2025  

 

 

1,821,752 

 

1,897,895 

 
 

6.0%, 8/1/2035  

 

 

1,431,188 

 

1,494,193 

 
 

6.5%, with various maturities from 7/1/2035 until 1/1/2038 

 

 

9,763,029 

 

10,456,744 

 
 

7.0%, 10/1/2037  

 

 

2,261,530 

 

2,468,336 

 
 

 

 

8.0%, with various maturities from 9/1/2011 until 12/1/2024 

 

 

149,493 

 

164,573 

 
 

8.5%, with various maturities from 7/1/2030 until 9/1/2030 

 

 

12,573 

 

14,046 

 
 

9.0%, with various maturities from 12/1/2016 until 4/1/2030 

 

 

30,825 

 

34,446 

 
Government National Mortgage Association:

 
 

2.898% *, 4/20/2059  

 

 

20,510,839 

 

21,145,393 

 
 

4.5%, 11/1/2038 (a)

 

 

75,000,000 

 

75,539,063 

 
 

5.0%, with various maturities from 2/15/2033 until 6/20/2039 (a) (b) 

 

 

254,181,421 

 

262,452,048 

 
 

5.5%, with various maturities from 12/15/2028 until 6/15/2039 (a) (b) 

 

 

451,539,982 

 

472,674,068 

 
 

6.0%, with various maturities from 11/15/2023 until 2/20/2039 (a) (b) 

 

 

491,454,347 

 

520,207,167 

 
 

6.5%, with various maturities from 6/15/2023 until 2/15/2039 

 

 

131,695,849 

 

141,133,374 

 
 

7.0%, with various maturities from 9/15/2009 until 12/20/2038 (b) 

 

 

68,119,465 

 

73,727,053 

 
 

7.5%, with various maturities from 8/15/2010 until 1/15/2037 

 

 

23,924,071 

 

26,124,917 

 
 

8.0%, 9/15/2014  

 

 

215 

 

224 

 
 

9.0%, with various maturities from 9/15/2017 until 7/15/2030 

 

 

1,818,969 

 

2,054,744 

 
 

9.5%, with various maturities from 10/15/2009 until 5/15/2025 

 

 

2,394,719 

 

2,690,698 

 
 

10.0%, with various maturities from 11/15/2009 until 8/15/2022 

 

 

1,514,031 

 

1,735,172 

 
 

10.5%, with various maturities from 9/15/2015 until 12/15/2021 

 

 

879,128 

 

1,018,206 

 
 

11.0%, 4/20/2019  

 

 

2,651 

 

3,093 

 
**Total Mortgage-Backed Securities Pass-Throughs** (Cost $1,586,735,865)

 

**1,637,275,552**

 
 

**Collateralized Mortgage Obligations 13.9%**

 
FannieMae Whole Loan, "1AF1", Series 2007-W1, 0.545% *, 11/25/2046 

 

 

40,823,105 

 

39,054,142 

 
Federal Home Loan Mortgage Corp.:

 
 

"JF", Series 2704, 0.838% *, 5/15/2023  

 

 

10,141,833 

 

10,140,720 

 
 

"FP", Series 2341, 1.188% *, 7/15/2031  

 

 

2,204,922 

 

2,227,702 

 
 

"FO", Series 2418, 1.188% *, 2/15/2032  

 

 

2,852,183 

 

2,887,736 

 
 

"GF", Series 2412, 1.238% *, 2/15/2032  

 

 

2,049,215 

 

2,072,662 

 
 

"FA", Series 2419, 1.288% *, 2/15/2032  

 

 

2,457,474 

 

2,487,246 

 
 

"F", Series 2439, 1.288% *, 3/15/2032  

 

 

3,780,679 

 

3,823,634 

 
 

"FA", Series 2436, 1.288% *, 3/15/2032  

 

 

3,402,611 

 

3,441,270 

 
 

"FD", Series 3519, 1.738% *, 2/15/2038  

 

 

15,604,739 

 

15,847,243 

 
 

"BI", Series 3499, Interest Only, 4.0%, 9/15/2021  

 

 

2,556,007 

 

192,114 

 
 

"57", Series 256, Interest Only, 5.0%, 3/15/2023  

 

 

5,965,835 

 

820,877 

 
 

"GZ", Series 2906, 5.0%, 9/15/2034  

 

 

17,597,342 

 

17,615,443 

 
 

"TZ", Series 2778, 6.0%, 2/15/2034  

 

 

2,433,040 

 

2,564,996 

 
Federal Home Loan Mortgage Corp./Government National Mortgage Association, "SC", Series 23, Interest Only, 9.238% **, 11/25/2023 

 

 

2,240,668 

 

390,278 

 
Federal National Mortgage Association:

 
 

"1", Series 17, Principal Only, Zero Coupon, 5/1/2017  

 

 

1,564 

 

1,474 

 
 

"F", Series 2004-29, 0.685% *, 5/25/2034  

 

 

69,647 

 

69,571 

 
 

"OF", Series 2001-60, 1.235% *, 10/25/2031  

 

 

1,297,017 

 

1,314,704 

 
 

"OF", Series 2001-70, 1.235% *, 10/25/2031  

 

 

648,508 

 

655,467 

 
 

"FB", Series 2002-30, 1.285% *, 8/25/2031  

 

 

3,341,226 

 

3,386,140 

 
 

"PF", Series 2001-69, 1.285% *, 12/25/2031  

 

 

2,067,278 

 

2,097,409 

 
 

"FJ", Series 2002-52, 1.285% *, 9/25/2032  

 

 

2,387,187 

 

2,416,572 

 
 

"FB", Series 2002-84, 1.285% *, 12/25/2032  

 

 

5,007,005 

 

5,066,067 

 
 

"25", Series 351, Interest Only, 4.5%, 5/1/2019  

 

 

6,068,700 

 

803,390 

 
 

"20", Series 334, Interest Only, 5.0%, 3/1/2018  

 

 

5,517,641 

 

638,060 

 
 

"21", Series 334, Interest Only, 5.0%, 3/1/2018  

 

 

7,296,242 

 

842,942 

 
 

''23", Series 339, Interest Only, 5.0%, 7/1/2018  

 

 

5,162,291 

 

597,381 

 
 

"ZA", Series 2008-24, 5.0%, 4/25/2038  

 

 

13,359,888 

 

12,467,816 

 
 

"AN", Series 2007-108, 8.837% *, 11/25/2037  

 

 

16,236,623 

 

18,156,058 

 
Government National Mortgage Association:

 
 

"PO", Series 1999-40, Principal Only, Zero Coupon, 11/16/2029  

 

 

1,464,887 

 

1,342,804 

 
 

"PO", Series 2006-60, Principal Only, Zero Coupon, 11/20/2036  

 

 

319,443 

 

306,473 

 
 

"FG", Series 2002-76, 0.688% *, 10/16/2029  

 

 

1,689,670 

 

1,688,862 

 
 

 

 

"FN", Series 2007-51, 0.709% *, 8/20/2037  

 

 

2,400,000 

 

2,272,410 

 
 

"ZC", Series 2003-86, 4.5%, 10/20/2033  

 

 

1,618,354 

 

1,567,940 

 
 

"A1", Series 2008-36, Interest Only, 5.0%, 10/16/2022  

 

 

7,715,490 

 

578,088 

 
 

"KE", Series 2004-19, 5.0%, 3/16/2034  

 

 

4,500,000 

 

4,569,673 

 
 

"PH", Series 2004-80, 5.0%, 7/20/2034  

 

 

8,002,000 

 

8,118,729 

 
 

"LE", Series 2004-87, 5.0%, 10/20/2034  

 

 

6,741,000 

 

6,754,333 

 
 

"ZB", Series 2005-15, 5.0%, 2/16/2035  

 

 

11,218,892 

 

11,403,906 

 
 

"Z", Series 2005-25, 5.0%, 3/16/2035  

 

 

2,482,742 

 

2,533,961 

 
 

"ZA", Series 2006-47, 5.0%, 8/16/2036  

 

 

6,162,225 

 

6,156,862 

 
 

"CK", Series 2007-31, 5.0%, 5/16/2037  

 

 

7,412,000 

 

7,682,461 

 
 

"AI", Series 2008-77, Interest Only, 5.5%, 10/20/2020  

 

 

1,616,651 

 

38,260 

 
 

"AI", Series 2008-40, Interest Only, 5.5%, 5/16/2023  

 

 

4,229,879 

 

450,468 

 
 

"AI", Series 2008-46, Interest Only, 5.5%, 5/16/2023  

 

 

3,973,973 

 

503,461 

 
 

"AI", Series 2008-51, Interest Only, 5.5%, 5/16/2023  

 

 

12,021,649 

 

1,202,407 

 
 

"PC", Series 2003-19, 5.5%, 3/16/2033  

 

 

8,045,000 

 

8,384,699 

 
 

"TZ", Series 2003-85, 5.5%, 10/20/2033  

 

 

20,564,734 

 

21,209,535 

 
 

"PI", Series 2004-28, Interest Only, 5.5%, 11/20/2033  

 

 

4,109,053 

 

345,172 

 
 

"PC", Series 2007-2, 5.5%, 6/20/2035  

 

 

10,000,000 

 

10,502,962 

 
 

"PD", Series 2005-91, 5.5%, 12/20/2035  

 

 

5,000,000 

 

5,143,871 

 
 

"SF", Series 2002-63, Interest Only, 5.993% **, 9/16/2032  

 

 

5,429,284 

 

492,760 

 
 

"BZ", Series 2004-46, 6.0%, 6/20/2034  

 

 

2,711,189 

 

2,867,426 

 
 

"CI", Series 2009-42, Interest Only, 6.0%, 8/16/2035  

 

 

989,911 

 

170,393 

 
 

"CT", Series 2009-42, 6.0%, 8/16/2035  

 

 

11,878,930 

 

12,577,904 

 
 

"PS", Series 2008-40, Interest Only, 6.213% **, 5/16/2038  

 

 

3,423,515 

 

322,071 

 
 

"SJ", Series 2004-22, Interest Only, 6.311% **, 4/20/2034  

 

 

13,073,751 

 

634,431 

 
 

"IO", Series 2006-61, Interest Only, 6.5%, 11/20/2036  

 

 

7,378,784 

 

1,187,360 

 
 

"DI", Series 2008-93, Interest Only, 6.5%, 9/20/2038  

 

 

17,246,587 

 

2,927,203 

 
 

"SA", Series 2006-47, Interest Only, 6.513% **, 8/16/2036  

 

 

1,688,630 

 

171,297 

 
 

"LS", Series 2003-74, Interest Only, 6.861% **, 12/20/2030  

 

 

2,153,698 

 

156,263 

 
 

"SM", Series 2003-60, Interest Only, 7.463% **, 1/16/2033  

 

 

23,153,766 

 

2,203,296 

 
 

"SA", Series 1999-30, Interest Only, 7.713% **, 4/16/2029  

 

 

6,947,094 

 

600,275 

 
**Total Collateralized Mortgage Obligations** (Cost $261,893,588)

 

**279,147,130**

 
 

**Government & Agency Obligations 11.9%**

 
**Other Government Related 2.4%**

 
Citibank NA:

 
 

FDIC Guaranteed, 1.016% *, 5/7/2012 (c)

 

 

14,300,000 

 

14,323,895 

 
 

FDIC Guaranteed, 1.875%, 5/7/2012 (c)

 

 

22,000,000 

 

21,961,522 

 
JPMorgan Chase & Co.:

 
 

Series 3, FDIC Guaranteed, 0.854% *, 12/26/2012  

 

 

5,097,000 

 

5,149,306 

 
 

FDIC Guaranteed, 0.859% *, 6/15/2012  

 

 

5,853,000 

 

5,905,624 

 
 

**47,340,347**

 
**US Government Sponsored Agencies 6.9%**

 
Federal Home Loan Bank:

 
 

1.375%, 5/16/2011 (c)

 

 

10,480,000 

 

10,530,419 

 
 

1.625%, 7/27/2011 (b)

 

 

10,500,000 

 

10,580,619 

 
 

1.75%, 8/22/2012  

 

 

16,400,000 

 

16,299,222 

 
 

1.875%, 6/20/2012  

 

 

11,975,000 

 

11,978,928 

 
 

7.2% *, 3/18/2024  

 

 

4,710,000 

 

4,221,338 

 
 

7.45% *, 10/16/2023 (d)

 

 

10,000,000 

 

9,910,000 

 
Federal Home Loan Mortgage Corp.:

 
 

1.75%, 6/15/2012 (c)

 

 

4,098,000 

 

4,089,406 

 
 

8.25% *, 6/17/2024  

 

 

6,000,000 

 

5,940,000 

 
Federal National Mortgage Association:

 
 

1.288% *, 2/27/2023  

 

 

18,000,000 

 

17,820,000 

 
 

 

 

1.75%, 8/10/2012  

 

 

12,430,000 

 

12,394,823 

 
 

1.875%, 4/20/2012  

 

 

12,570,000 

 

12,638,494 

 
 

5.0%, 5/20/2024  

 

 

22,000,000 

 

21,297,408 

 
 

**137,700,657**

 
**US Treasury Obligations 2.6%**

 
US Treasury Bills:

 
 

0.15% ***, 9/17/2009 (e)

 

 

18,069,000 

 

18,065,386 

 
 

0.16% ***, 8/27/2009 (e)

 

 

448,000 

 

447,961 

 
US Treasury Notes, 4.875%, 4/30/2011 (b) 

 

 

32,000,000 

 

34,142,496 

 
 

**52,655,843**

 
**Total Government & Agency Obligations** (Cost $239,343,712)

 

**237,696,847**

 
 

**Shares**

 

**Value ($)**

 
 

**Securities Lending Collateral 14.1%**

 
Daily Assets Fund Institutional, 0.39% (f) (g)(Cost $282,053,914)

 

 

282,053,914

 

**282,053,914**

 
 

**Cash Equivalents 4.7%**

 
Cash Management QP Trust, 0.27% (g)(Cost $94,217,309)

 

 

94,217,309

 

**94,217,309**

 
 

**% of****Net Assets**

 

**Value ($)**

 
**Total Investment Portfolio** (Cost $2,464,244,388) †

126.3

 

**2,530,390,752**

 
**Other Assets and Liabilities, Net**

(26.3)

 

**(526,165,323)**

 
**Net Assets**

100.0

 

**2,004,225,429**

 
*For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.*

 
***

*Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate.  These securities are shown at their current rate as of July 31, 2009.*

 
****

*These securities are shown at their current rate as of July 31, 2009.*

 
*****

*Annualized yield at time of purchase; not a coupon rate.*

 
*†*

*The cost for federal income tax purposes was $2,464,615,545.  At July 31, 2009, net unrealized appreciation for all securities based on tax cost was $65,775,207.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $69,142,684 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $3,367,477.*

 
*(a)*

*When-issued or delayed delivery securities included.*

 
*(b)*

*All or a portion of these securities were on loan. The value of all securities loaned at July 31, 2009 amounted to $278,615,949 which is 13.9% of net assets.*

 
*(c)*

*At July 31, 2009 this security has been pledged, in whole or in part, as collateral for open swaps contracts.*

 
*(d)*

*At July 31, 2009 this security has been pledged, in whole or in part, as collateral for open written options.*

 
*(e)*

*At July 31, 2009, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.*

 
*(f)*

*Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.*

 
*(g)*

*Represents collateral held in connection with securities lending.  Income earned by the Fund is net of borrower rebates.*

 
*FDIC: Federal Deposit Insurance Corp.*

 
*Interest Only: Interest Only (IO) bonds represent the “interest only” portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.*

 
*Principal Only: Principal Only (PO) bonds represent the “principal only” portion of payments on a pool of underlying mortgages or mortgage-backed securities.*

 
 

 

*Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal Home Loan Mortgage Corp., Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.*

 
*At July 31, 2009, open futures contracts purchased were as follows:*

 
**Futures**

 

**Expiration****Date**

 

**Contracts**

 

**Aggregated****Face****Value ($)**

 

**Value ($)**

 

**Unrealized****Appreciation/****(Depreciation) ($)**

 
 

 
10 Year Australian Treasury Bond 

 

9/15/2009 

 

399 

 

34,395,787 

 

34,459,291 

 

63,504

 
10 Year Canadian Government Bond 

 

9/21/2009 

 

31 

 

3,503,727 

 

3,466,187 

 

(37,540)

 
10 Year US Treasury Note 

 

9/21/2009 

 

1,698 

 

197,726,458 

 

199,143,563 

 

1,417,105

 
Federal Republic of Germany Euro-Bund 

 

9/8/2009 

 

94 

 

16,279,669 

 

16,350,692 

 

71,023

 
Federal Republic of Germany Euro-Schatz 

 

9/8/2009 

 

1,179 

 

180,985,524 

 

181,755,085 

 

769,561

 
**Total net unrealized appreciation**

**2,283,653**

 
*At July 31, 2009, open futures contracts sold were as follows:*

 
**Futures**

 

 

**Expiration****Date**

 

**Contracts**

 

**Aggregated****Face****Value ($)**

 

**Value ($)**

 

**Unrealized****Depreciation ($)**

 
 

 
10 Year Japanese Government Bond 

 

9/10/2009 

 

101 

 

145,215,415 

 

147,425,310 

 

(2,209,895)

 
2 Year US Treasury Note 

 

9/30/2009 

 

632 

 

136,371,857 

 

136,877,376 

 

(505,519)

 
United Kingdom Long Gilt Bond 

 

9/28/2009 

 

191 

 

37,413,175 

 

37,463,555 

 

(50,380)

 
**Total unrealized depreciation**

**(2,765,794)**

 
*At July 31, 2009, open interest rate swaps were as follows:*

 
**Effective/****Expiration****Dates**

 

**Notional****Amount ($)**

 

**Cash Flows****Paid by****the Fund**

 

**Cash Flows****Received by****the Fund**

 

**Unrealized****Depreciation ($)**

 
 

 
4/20/20094/20/2024

 

11,000,0001

 

Fixed — 7.5%

Floating — LIBOR

(10,601)

 
5/15/20095/15/2024

 

11,000,0001

 

Fixed — 7.5%

Floating — LIBOR

(9,238)

 
**Total unrealized depreciation on open interest rate swaps**

**(19,839)**

 
 

*At July 31, 2009, open total return swap contracts were as follows:*

 
**Effective/****Expiration****Dates**

**Notional****Amount ($)**

**Fixed****Cash****Flows****Paid**

**Reference****Entity**

**Value ($)**

**Upfront Premiums****Paid/****(Received) ($)**

**Unrealized****Depreciation ($)**

 
6/1/20096/1/2012

89,300,0002

0.425%

Global Interest Rate Strategy Index

(1,358,881)

74,600

**(1,433,481)**

 
*Counterparties:*

*1*

*Morgan Stanley*

*2*

*Citigroup, Inc.*

*At July 31, 2009, open written option contracts were as follows:*

 
**Written Options**

 

**Coupon****Rate (%)**

 

**Contract****Amount**

 

**Expiration****Date**

 

**Strike****Price ($)**

 

**Value ($)***

 
**Call Options**

 
30-Year GNSF 

 

4.5

 

25,000,000 

 

9/14/2009 

 

100.1

 

273,438 

 
30-Year GNSF 

 

5.0

 

25,000,000 

 

9/14/2009 

 

101.8

 

273,438 

 
30-Year GNSF 

 

5.5

 

25,000,000 

 

9/14/2009 

 

103.3

 

187,500 

 
30-Year GNSF 

 

6.0

 

25,000,000 

 

9/14/2009 

 

104.2

 

164,062 

 
**Total Call Options (Premiums received $808,594)**

 

**898,438**

 
**Put Options**

 
30-Year GNSF 

 

6.0

 

25,000,000 

 

8/13/2009 

 

103.6

 

7,812 

 
30-Year GNSF 

 

5.0

 

25,000,000 

 

8/13/2009 

 

102.0

 

94,322 

 
30-Year GNSF 

 

5.5

 

25,000,000 

 

8/13/2009 

 

102.8

 

31,250 

 
30-Year GNSF 

 

5.0

 

25,000,000 

 

8/13/2009 

 

103.0

 

281,250 

 
30-Year GNSF 

 

5.0

 

25,000,000 

 

8/13/2009 

 

101.3

 

54,687 

 
30-Year GNSF 

 

5.5

 

25,000,000 

 

8/13/2009 

 

102.7

 

23,438 

 
30-Year GNSF 

 

6.0

 

25,000,000 

 

8/13/2009 

 

103.8

 

15,625 

 
30-Year GNSF 

 

5.5

 

25,000,000 

 

9/14/2009 

 

101.4

 

30,273 

 
30-Year GNSF 

 

5.0

 

25,000,000 

 

9/14/2009 

 

99.3

 

40,040 

 
30-Year GNSF 

 

4.5

 

25,000,000 

 

9/14/2009 

 

99.1

 

250,000 

 
**Total Put Options (Premiums received $2,055,664)**

 

**828,697**

 
**Total Written Options (Total premiums received $2,864,258)**

 

**1,727,135**

 
***

*Unrealized appreciation at July 31, 2009 was $1,137,123.*

 
*GNSF: Government National Single Family*

 
*LIBOR: Represents the London InterBank Offered Rate.*

 
*As of July 31, 2009, the Fund had the following open forward foreign currency exchange contracts:*

 
**Contracts to Deliver**

 

**In Exchange For**

 

**Settlement****Date**

 

**Unrealized****Appreciation ($)**

 
 
USD

2,382,024

 

CAD

2,778,000

 

8/19/2009

 

192,971

 
USD

55,890,403

 

AUD

71,515,000

 

8/19/2009

 

3,663,462

 
USD

62,181,602

 

CHF

67,865,000

 

8/19/2009

 

1,427,633

 
USD

8,076,940

 

NZD

12,926,000

 

8/19/2009

 

441,809

 
**Total unrealized appreciation**

 

 

 

 

 

**5,725,875**

 
 
 

 
**Contracts to Deliver**

 

**In Exchange For**

 

**Settlement****Date**

 

**Unrealized****Depreciation ($)**

 
 
 
USD

35,765,273

 

JPY

3,367,676,000

 

8/19/2009

 

(140,748)

 
 
EUR

31,838,000

 

USD

44,213,049

 

8/19/2009

 

(1,243,159)

 
 
NOK

10,266,000

 

USD

1,565,464

 

8/19/2009

 

(111,933)

 
 
GBP

16,464,000

 

USD

26,442,666

 

8/19/2009

 

(1,070,207)

 
 
SEK

63,330,000

 

USD

7,949,838

 

8/19/2009

 

(820,746)

 
 
**Total unrealized depreciation**

 

 

 

 

 

**(3,386,793)**

 
 
***Currency Abbreviations*****

 **

 **

 
*AUD***

*Australian Dollar***

*JPY***

*Japanese Yen***

 
*CAD***

*Canadian Dollar***

*NOK***

*Norwegian Krone***

 
*CHF***

*Swiss Franc***

*NZD***

*New Zealand Dollar***

 
*EUR***

*Euro***

*SEK***

*Swedish Krona***

 
*GBP***

*British Pound***

*USD***

*United States Dollar***

 
 

***Fair Value Measurements***

 

*Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements”, as amended, establishes a three-tier hierarchy for measuring fair value and requires additional disclosure about the classification of fair value measurements.*

 

*Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.*

 

*The following is a summary of the inputs used as of July 31, 2009 in valuing the Fund's investments:*

 

 

**Level 1**

**Level 2**

**Level 3**

**Total**

 
**Assets**

 

 

 

 
Fixed Income(h)

 

 

 

 

 
 

Mortgage-Backed Securities Pass-Throughs

$                      —

$ 1,637,275,552

$               —

$ 1,637,275,552

 
 

Collateralized Mortgage Obligations

—

279,147,130

—

279,147,130

 
 

Government & Agency Obligations

—

199,112,162

20,071,338

219,183,500

 
Short-Term Investments(h)

282,053,914

112,730,656

—

394,784,570

 
Derivatives (i)

—

5,725,875

—

5,725,875

 
**Total**

**$      282,053,914**

**$ 2,233,991,375**

**$ 20,071,338**

**$ 2,536,116,627**

 
 

 

 

 

 
**Liabilities**

 

 

 

 
Derivatives (i)

$           (482,141)

$     (4,840,113)

$(1,727,135)

$     (7,049,389)

 
**Total**

**$           (482,141)**

**$     (4,840,113)**

**$(1,727,135)**

**$     (7,049,389)**

 
 
*(h)*

*See Investment Portfolio for additional detailed categorizations.*

 
*(i)*

*Derivatives include unrealized appreciation (depreciation) on futures contracts, interest rate swaps, total return swap contracts and forward currency contracts and options written, at value.*

 

*The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining the value:*

 

 

**Government & Agency Obligations**

**Written Options**

**Total**

**Balance as of  October 31, 2008**

$                  10,000,000                         

$                  (3,492,187)                         

$                    6,507,813                         

Realized gains (loss)

—

2,457,031

2,457,031

Change in unrealized appreciation (depreciation)

(578,662)

2,086,341 

1,507,679

Amortization premium/discount

—

—

—

Net purchases (sales)

10,650,000

(2,778,320)

7,871,680

Net transfers in (out) of Level 3

— 

— 

— 

**Balance as of  July 31, 2009**

**$                  20,071,338**

**$                  (1,727,135)**

**$                  18,344,203**

**Net change in unrealized appreciation (depreciation) from investments still held at  July 31, 2009**

**$                    (578,662)**

**$                    1,137,123**

**$                       558,461**

 

***Derivative Instruments and Hedging Activities***

 

*Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities,” requires enhanced disclosure about an entity’s derivative and hedging activities.*

 

*The following is a summary of the unrealized appreciation (depreciation) of the Fund's derivative instruments categorized by risk exposure as of July 31, 2009. Please see below for information on the Fund’s policy regarding the objectives and strategies for using futures, options, forward foreign currency exchange contracts and swaps.*

 

 

 

 

**Primary Underlying Risk Disclosure**

**Futures**

**Forward Currency Contracts**

**Swaps**

**Written Options**

Interest Rate Contracts

$      (482,141)

$              —

$   (1,453,320)

$   1,137,123      

Foreign Exchange Contracts

$                —

$   2,339,082

$                —

$              —

 

*Futures.  The value of the Fund's underlying bond investments are subject to interest rate risk.  As interest rates increase, the value of the Fund's fixed rate bonds may fall.  The Fund may buy/sell interest rate futures to gain exposure to different parts of the yield curve while managing the overall duration and to enhance potential gains.  The Fund may also invest in future contracts as part of its global tactical asset allocation overlay strategy to enhance returns.   As part of this strategy, the Fund may use futures contracts to take advantage of short-term and medium-term inefficiencies and relative mispricings within the global bond and currency markets.  Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary an initial margin equal to a certain percentage of the face value indicated in the futures contract.  Subsequent payments (“variationmargin”) are made or received by the fund dependent upon the daily fluctuations in the value of the underlying security.   Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.*

 

*Forward Foreign Currency Exchange Contracts.  The Fund seeks to enhance returns by employing a global tactical asset allocation overlay strategy. As part of this strategy, the Fund may use forward currency exchange contracts to gain exposure to changes in the value of foreign currencies, and to take advantage of short-term and medium-term mispricings within the currency markets. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the current value of the forward currency contract, to the extent that this amount is beneficial to the fund.*

 

*Swaps. The value of the Fund's underlying bond investments are subject to interest rate risk.  As interest rates increase, the value of the Fund's fixed rate bonds may fall.  The longer the duration of the fund’s securities, the more sensitive the Fund will be to interest rate changes.  To help mitigate this interest rate risk, the Fund invests in interest rate swap contracts to reduce the duration of the investment portfolio.  The Fund may enter into total return swap transactions to hedge against market and interest rate risk or to enhance returns.  The maximum counterparty credit risk to the Fund is measured by the current value of the contract, in addition to any related collateral posted to the counterparty by the Fund. This risk may be partially reduced by a master netting arrangement between the Fund and the counterparty.*

 

*Options.  The Fund may enter into options on interest rate swaps and options on GNMA TBA’s to enhance potential gain. If the Fund writes a covered call option, the Fund foregoes, in exchange for the premium, the opportunity to profit during the option period from an increase in the market value of the underlying security above the exercise price. If the Fund writes a put option it accepts the risk of a decline in the* *market value of the underlying security below the exercise price. Over-the-counter options have the risk of the potential inability of counterparties to meet the terms of their contracts.  For exchange traded contracts the counterparty risk is*

*minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.  The Fund's maximum exposure to purchased options is limited to the premium initially paid.*

**ITEM 2.**

**CONTROLS AND PROCEDURES**

 

 

 

(a)          The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

 

 

(b)         There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

 

 

**ITEM 3.**

**EXHIBITS**

 

 

 

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

**SIGNATURES**

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant:

DWS Strategic Government Securities Fund

 

 

By:

/s/Michael G. Clark

Michael G. Clark

President

 

 

Date:

September 23, 2009

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Registrant:

DWS Strategic Government Securities Fund

 

 

By:

/s/Michael G. Clark

Michael G. Clark

President

 

 

Date:

September 23, 2009

 

 

 

 

 

 

By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

 

 

Date:

September 23, 2009

 

 

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