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 811-21982
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Claymore/Guggenheim Strategic Opportunities Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
Nicholas Dalmaso
2455 Corporate West Drive Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
Date of fiscal year end: May 31
Date of reporting period: February 29, 2008
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
GOF / CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2008 (UNAUDITED)
OPTIONAL
PRINCIPAL AMOUNT DESCRIPTION CALL PROVISION VALUE
-------------------------------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 141.5%
CORPORATE BONDS - 32.8%
AIRLINES - 2.1%
$ 1,570,855 America West Airlines, Inc., Ser. 01-1, AAA, Aaa
7.10%, 4/2/21, Pass Thru Certificates (a) N/A $ 1,540,553
972,839 Delta Air Lines, Inc., A-, Baa1
6.821%, 8/10/22, Pass Thru Certificates (b) N/A 941,173
1,000,000 Northwest Airlines Corp., Ser. 992A, A, NR
7.575%, 3/1/19, Pass Thru Certificates (a) N/A 998,100
------------
3,479,826
------------
AUTO PARTS & EQUIPMENT - 0.2%
500,000 Keystone Automotive Operations, Inc., CCC, Caa2
9.75%, 11/1/13, Company Guarantee Notes 11/01/08 @ 104.88 305,000
------------
BANKS - 9.4%
1,000,000 Agfirst Farm Credit Bank, A-, NR
7.30%, 10/49, Subordinated Notes (a) (b) 12/15/08 @ 100.00 920,090
2,000,000 Bank of America Corp., A+, Aa3
8.00%, 12/29/49, Junior Subordinated Notes (a) (c) 1/30/18 @ 100.00 2,071,608
1,250,000 Barclays Bank PLC, A+, Aa3
6.28%, 12/29/49, Junior Subordinated Notes (United Kingdom) (a) (c) 12/15/34 @ 100.00 1,076,837
1,200,000 BNP Paribas, AA-, Aa3
7.20%, 6/29/49, Junior Subordinated Notes (France) (a) (b) (c) 6/25/37 @ 100.00 1,102,380
1,000,000 Credit Agricole SA, A, Aa3
6.64%, 5/29/49, Junior Subordinated Notes (France) (a) (b) (c) 5/31/17 @ 100.00 854,960
1,000,000 Fifth Third Bancorp, A, A1
8.25%, 3/1/38, Subordinated Notes N/A 1,005,559
1,000,000 KeyCorp Capital III, BBB, A3
7.75%, 7/15/29, Company Guarantee Notes (a) N/A 1,092,830
1,200,000 Lloyds TSB Group PLC, A, Aa3
6.27%, 11/29/49, Bonds (United Kingdom) (a) (b) (c) 11/14/16 @ 100.00 1,048,910
1,250,000 Mellon Capital IV, Ser. 1, A-, A2
6.244%, 6/29/49, Company Guarantee Notes (a) (c) 6/20/12 @ 100.00 1,040,064
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.378%, 1/29/49, Notes (a) (b) (c) 10/15/17 @ 100.00 1,158,350
700,000 PNC Preferred Funding Trust I, A-, A3
8.70%, 2/28/49, Senior Unsecured Notes (b) (c) 3/15/13 @ 100.00 713,184
1,400,000 Royal Bank of Scotland Group PLC, Ser. MTN, A, Aa3
7.64%, 3/31/49, Junior Subordinated Stock (United Kingdom) (a) (c) 9/29/17 @ 100.00 1,396,143
1,250,000 State Street Capital Trust IV, A, A1
5.99%, 6/15/37, Company Guarantee Notes (a) (d) 6/15/12 @ 100.00 954,700
1,250,000 US AgBank FCB, NR, NR
6.11%, 4/29/49, Notes (a) (b) (c) 7/10/12 @ 100.00 1,058,262
------------
15,493,877
------------
COMMERCIAL SERVICES - 0.3%
500,000 RR Donnelley & Sons Co., BBB+, Baa2
6.13%, 1/15/17, Senior Unsecured Notes (a) N/A 489,771
------------
DIVERSIFIED FINANCIAL SERVICES - 13.1%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.35%, 10/1/15, Secured Notes (b) N/A 1,009,800
2,000,000 Bear Stearns Cos., Inc. (The), A, A2
7.25%, 2/1/18, Senior Unsecured Notes (a) N/A 1,940,358
1,200,000 Blue Fin Ltd., BB+, NR
9.02%, 4/10/12, Notes (b) (d) 4/8/10 @ 101.00 1,207,680
1,100,000 CAT-Mex Ltd., Ser. A, BB, NR
5.45%, 5/19/09, Secured Notes (Cayman Islands) (b) (d) N/A 1,086,030
500,000 Discover Financial Services, BBB-, Baa3
6.45%, 6/12/17, Senior Unsecured Notes (a) (b) N/A 426,937
525,000 Federal Home Loan Bank System, Ser. HH19, AAA, Aaa
Zero Coupon, 6/18/19, Bonds (a) (c) 6/18/08 @ 100.00 516,075
310,000 Freddie Mac, AAA, Aaa
5.25%, 5/29/18, Notes (a) 5/29/08 @ 100.00 311,765
500,000 GlobeCat Ltd., Ser. CAQ, NR, B1
10.91%, 1/2/13, Notes (Cayman Islands) (b) (d) 12/21/11 @ 100.50 506,350
Hampton Roads PPV LLC, NR, Aaa (b)
1,000,000 6.07%, 12/15/41, Bonds N/A 991,100
1,000,000 6.17%, 6/15/53, Bonds N/A 981,280
500,000 Janus Capital Group, Inc., BBB-, Baa3
6.70%, 6/15/17, Senior Unsecured Notes (a) N/A 527,369
1,000,000 Longpoint Re Ltd., BB+, NR
10.24%, 5/8/10, Notes (Cayman Islands) (b) (d) N/A 1,016,700
2,000,000 Merna Reinsurance Ltd., Ser. B, NR, A2
6.58%, 7/7/10, Secured Notes (Bermuda) (a) (b) (d) N/A 1,927,600
2,000,000 Morgan Stanley, Ser. MTN, NR, Aa3
5.95%, 12/28/17, Senior Unsecured Notes (a) N/A 1,990,322
2,394,053 Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1
7.15%, 10/15/13, Senior Secured Notes (Bermuda) (b) N/A 2,286,321
1,250,000 Mystic Re Ltd, Ser. A, BB+, NR
9.39%, 12/5/08, Notes (Cayman Islands) (b) (d) N/A 1,245,875
750,000 Redwood Capital X Ltd., Ser. D, NR, Ba3
9.48%, 1/9/09, Notes (Cayman Islands) (b) (d) 12/5/08 @ 100.00 751,425
1,000,000 Schwab Capital Trust I, BBB+, A3
7.50%, 11/15/37, Company Guarantee Notes (a) (c) 11/15/17 @ 100.00 1,004,610
2,000,000 Svensk Exportkredit AB, AA-, Aa3
6.375, 10/29/49, Subordinated Notes (Sweden) (a) (b) 12/27/08 @ 100.00 1,991,566
------------
21,719,163
------------
ELECTRIC - 0.3%
500,000 Pennsylvania Electric Co., BBB, Baa2
6.05%, 9/1/17, Senior Unsecured Notes (a) N/A 507,926
------------
ENTERTAINMENT - 0.5%
500,000 Downstream Development Authority of the Quapaw Tribe of Oklahoma, B-, B3
12.00%, 10/15/15, Senior Secured Notes (b) 10/15/11 @ 109.00 425,000
500,000 Indianapolis Downs LLC & Capital Corp., B, B3
11.00%, 11/1/12, Senior Secured Notes (a) (b) 11/1/10 @ 105.50 450,000
------------
875,000
------------
INSURANCE - 5.0%
1,000,000 Allstate Corp. (The), A-, A2
6.50%, 5/15/57, Junior Subordinated Debentures (a) (c) 5/15/37 @ 100.00 830,270
1,000,000 AXA SA, BBB+, Baa1
6.46%, 12/14/49, Subordinated Notes (France) (a) (b) (c) 12/14/18 @ 100.00 856,059
1,000,000 Foundation Re Ltd., Ser. A, BB, NR
7.17%, 11/24/08, Notes (Cayman Islands) (b) (d) N/A 978,400
1,000,000 MetLife, Inc., BBB+, Baa1
6.40%, 12/15/36, Junior Subordinated Notes (a) 12/15/31 @ 100.00 864,445
625,000 Newton Re Ltd., BB+, NR
9.63%, 12/24/10, Bonds (Cayman Islands) (b) (d) N/A 630,406
1,250,000 Progressive Corp. (The), A-, A2
6.70%, 6/15/37, Junior Subordinated Notes (a) (c) 6/15/17 @ 100.00 1,105,162
2,000,000 Protective Life Corp., A, A3
6.40%, 1/15/18, Senior Unsecured Notes (a) N/A 2,054,106
1,000,000 Residential Reinsurance 2007 Ltd., Ser. CL2, B, NR
15.37%, 6/7/10, Notes (Cayman Islands) (b) (d) N/A 1,028,100
------------
8,346,948
------------
MEDIA - 0.3%
500,000 Comcast Corp., BBB+, Baa2
6.30%, 11/15/17, Company Guarantee Notes (a) N/A 513,438
------------
OFFICE EQUIPMENT - 0.3%
500,000 Xerox Corp., BBB-, Baa2
7.63%, 6/15/13, Company Guarantee Notes (a) 6/15/08 @ 103.81 519,474
------------
REAL ESTATE INVESTMENT TRUSTS - 0.5%
1,000,000 HRPT Properties Trust, BBB, Baa2
6.65%, 1/15/18, Senior Unsecured Notes (a) 7/15/17 @ 100.00 878,655
------------
RETAIL - 0.8%
1,000,000 AutoNation, Inc., BB+, Ba2
6.26%, 4/15/13, Company Guarantee Notes (d) 4/15/08 @ 103.00 820,000
500,000 Macys Retail Holdings, Inc., BBB-, Baa2
5.90%, 12/1/16, Company Guarantee Notes (a) N/A 457,402
------------
1,277,402
------------
TOTAL CORPORATE BONDS - 32.8%
(Cost $56,000,750) 54,406,480
------------
ASSET BACKED SECURITIES - 30.5%
1,978,225 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A, AAA, Aaa (a) (b)
6.15%, 10/15/48 1,978,126
2,265,191 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3 (d)
3.50%, 3/15/19 2,117,954
1,400,000 American Express Credit Account Master Trust, Ser. 2007-4, Class C, BBB, Baa2 (a) (b) (d)
3.38%, 12/17/12 1,287,766
1,380,000 BA Credit Card Trust, Ser. 2006-C4, Class C4, BBB, Baa2 (d)
3.35%, 11/15/11 1,322,947
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2 (Cayman Islands) (b) (d)
3.70%, 4/29/19 1,644,800
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C, A, A2 (Cayman Islands) (b) (d)
4.00%, 4/29/19 1,652,100
750,263 BNC Mortgage Loan Trust, Ser. 2007-4, Class A3A, AAA, NR (a) (d)
3.39%, 11/25/37 689,769
2,000,000 Callidus Debt Partners Fund Ltd., Ser. 6A A1, Class T, AAA, Aaa (Cayman Islands) (a) (b) (d)
5.63%, 10/23/21 1,790,000
1,822,422 Capital Auto Receivables Asset Trust, Ser. 2007-SN1, Class A2B, AAA, NR (a) (d)
3.15%, 10/15/09 1,818,886
1,380,000 Capital One Multi-Asset Execution Trust, Ser. 2003-C1, Class C1, BBB, Baa2 (a) (d)
5.67%, 3/15/11 1,384,367
1,420,000 Citibank Credit Card Issuance Trust, Ser. 2006-C4, Class C4, BBB, Baa2 (a) (d)
3.44%, 1/9/12 1,329,984
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2005-CD1, Class AJ, AAA, Aaa (a) (d)
5.23%, 7/15/44 1,671,383
3,757,966 Countrywide Home Equity Loan Trust, Ser. 2004-S, Class 1A, AAA, Aaa (d)
3.36%, 2/15/30 3,341,525
1,960,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, AAA, Aaa (a) (b)
5.26%, 4/25/37 1,907,953
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2, AAA, Aaa (a) (b)
5.78%, 6/20/31 2,755,350
1,000,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-4, Class B, AAA, A1 (d)
3.67%, 6/15/13 947,471
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3, Class B, A, Aa3 (a)
6.04%, 8/15/14 1,000,737
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2 (b) (d)
3.54%, 6/5/12 1,600,000
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, A, A3 (a) (b)
5.14%, 3/20/37 1,869,280
1,545,933 Lightpoint CLO Ltd, Ser. 2004-1A, Class X, A, A2 (Cayman Islands) (a) (b) (d)
5.25%, 2/15/14 1,565,953
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2 (Cayman Islands) (b) (d)
3.51%, 11/24/20 861,680
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, A, A2 (Cayman Islands) (b) (d)
6.13%, 9/22/16 1,763,820
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1 (Cayman Islands) (b) (d)
6.90%, 6/7/11 519,833
500,000 Start CLO Ltd., Ser. 2006-4A, Class D, BBB+, Baa1 (Cayman Islands) (b) (d)
6.41%, 12/26/11 468,495
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1 (Cayman Islands) (b) (d)
8.46%, 12/26/11 929,000
1,162,751 Structured Asset Securities Corp., Ser. 2007-BNC1, Class A2, AAA, NR (d)
4.24%, 10/25/37 1,011,396
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2, Class C, BBB, Aaa (d)
5.12%, 10/15/12 942,470
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR (Cayman Islands) (b) (d)
5.16%, 6/15/16 1,993,300
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR (Cayman Islands) (b) (d)
6.21%, 6/15/16 1,770,060
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR (Cayman Islands) (b)
5.79%, 9/1/17 833,020
3,055,714 TCW Select Loan Fund Ltd., Inc., Ser. 1A, Class A1, AAA, Aaa (Cayman Islands) (a) (b) (d)
4.97%, 10/10/13 3,052,323
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1, AAA, Aaa (Cayman Islands) (b) (d)
3.39%, 11/21/40 1,747,980
1,000,000 Yapi Kredi DPR Finance Co., Ser. 2006-1, Class C, AA, Aa3 (Cayman Islands) (d)
3.26%, 11/21/13 893,251
TOTAL ASSET BACKED SECURITIES - 30.5%
(Cost $51,774,527) ------------
50,462,979
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 22.5%
900,000 American Tower Trust, Ser. 2007-1A, Class AFX, AAA, Aaa (a) (b)
5.42%, 4/15/37 896,436
1,000,000 American Tower Trust, Ser. 2007-1A, Class B, AA, Aa2 (a) (b)
5.54%, 4/15/37 976,920
500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2, Class G, A-, NR (b) (d)
5.28%, 3/11/41 432,952
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5, Class B, AA+, Aa2 (d)
5.06%, 11/10/41 855,527
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ, AAA, Aaa (a) (d)
5.16%, 10/10/45 499,554
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10, Class AJ, AAA, NR (a) (d)
5.46%, 12/11/40 1,270,956
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-CN2A, Class F, A, NR (a) (b) (d)
5.57%, 2/5/19 937,964
1,922,774 Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8, Class 4A1, AAA, Aaa (a) (d)
5.61%, 12/20/35 1,635,084
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3, Class AM, AAA, Aaa (a) (d)
5.83%, 6/15/38 1,363,448
789,082 Credit Suisse Mortgage Capital Certificates, Ser. 2006-TF2A, Class SHDA, A-, Aa1 (b) (d)
3.72%, 7/15/19 766,639
1,000,000 CS First Boston Mortgage Securities Corp., Ser. 2001-SPGA, Class A2, AAA, NR (a) (b) (d)
6.52%, 8/13/18 1,027,258
1,425,000 CS First Boston Mortgage Securities Corp., Ser. 2005-TFLA, Class K, AA+, Aaa (a) (b) (d)
4.42%, 2/15/20 1,380,410
1,000,000 Fannie Mae REMICS, Ser. 2007-90, Class B, NR, NR (a)
6.00%, 9/25/37 1,010,122
1,225,000 Global Signal Trust, Ser. 2004-2A, Class D, NR, Baa2 (b)
5.09%, 12/15/14 1,205,976
2,000,000 Ginnie Mae, Ser. 2008-14, Class Z, NR, NR
4.50%, 3/16/49 1,343,594
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class AJ, AAA, Aaa (a) (d)
4.86%, 8/10/42 1,654,071
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class AJ, AAA, Aaa (a) (d)
5.30%, 4/10/37 838,777
1,542,764 Impac Secured Assets CMN Owner Trust, Ser. 2007-3, Class A1A, AAA, Aaa (d)
3.25%, 9/25/37 1,503,566
700,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2002-C1, Class E, A-, A2 (b)
6.14%, 7/12/37 655,168
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP3, Class AJ, AAA, Aaa (a) (d)
4.94%, 8/15/42 821,170
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR (a) (d)
5.07%, 8/13/42 1,652,242
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, AAA, NR (a)
5.37%, 12/15/43 1,078,097
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, AAA, NR (d)
5.81%, 8/12/41 904,893
145,000 SBA CMBS Trust, Ser. 2005-1A, Class D, NR, Baa2 (b)
6.22%, 11/15/35 142,248
1,500,000 SBA CMBS Trust, Ser. 2005-1A, Class E, NR, Baa3 (b)
6.71%, 11/15/35 1,454,415
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR (Cayman Islands) (b) (d)
18.09%, 11/25/12 1,951,280
2,000,000 TIAA Seasoned Commercial Trust, Ser. 2007-C4, Class A3, AAA, NR (a) (d)
6.10%, 8/15/39 1,613,964
2,000,000 Timberstar Trust, Ser. 2006-1A, Class A, AAA, Aaa (a) (b)
5.67%, 10/15/36 1,964,900
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2 (b)
5.88%, 10/15/36 684,735
100,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2 (b)
6.21%, 10/15/36 89,582
2,027,316 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class A1, AAA, Aaa (a) (b) (d)
3.37%, 1/15/21 1,956,496
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class L, BB+, Ba1 (b) (d)
4.67%, 1/15/21 969,169
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AJ, AAA, Aaa (a) (d)
5.14%, 7/15/42 1,668,432
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 22.5%
(Cost $38,344,966) ------------
37,206,045
------------
NUMBER OF SHARES VALUE
-------------------------------------------------------------------------------------------------------------------------------
COMMON STOCK - 17.5%
AIRLINES - 0.8%
110,000 US Airways Group, Inc. (e) (f) 1,364,000
------------
FOOD & BEVERAGES - 1.6%
55,000 Dean Foods Co. (a) (e) (f) 1,183,600
35,000 Hansen Natural Corp. (a) (e) (f) 1,452,500
------------
2,636,100
------------
HEALTH CARE - 3.1%
85,000 Biovail Corp. (Canada) (a) (e) 1,204,450
32,000 Forest Laboratories, Inc. (e) (f) 1,272,640
18,000 Humana, Inc. (e) (f) 1,229,940
61,000 Pfizer, Inc. (a) (e) 1,359,080
------------
5,066,110
------------
INDUSTRIALS - 0.7%
36,000 General Electric Co. (a) (e) 1,193,040
------------
INFORMATION TECHNOLOGY - 4.9%
7,000 Apple, Inc. (a) (e) (f) 875,140
40,000 eBay, Inc. (a) (e) (f) 1,054,400
110,000 Flextronics International, Ltd. (Singapore) (f) 1,115,400
70,000 Intel Corp. (a) (e) 1,396,500
27,500 Kla-Tencor Corp. (a) (e) 1,155,275
40,000 Microsoft Corp. (a) (e) 1,088,800
45,000 Texas Instruments, Inc. (a) (e) 1,348,200
------------
8,033,715
------------
INSURANCE - 1.6%
20,000 Hartford Financial Services Group, Inc. (e) 1,398,000
27,000 Travelers Cos., Inc. (The) (a) (e) 1,253,070
------------
2,651,070
------------
OIL & GAS - 1.6%
16,000 ConocoPhillips (a) (e) 1,323,360
38,000 Pride International, Inc. (a) (e) (f) 1,346,720
------------
2,670,080
------------
RETAIL - 2.7%
32,000 CVS Caremark Corp. (a) (e) 1,292,160
50,000 Hanesbrands, Inc. (a) (e) (f) 1,455,000
100,000 Starbucks Corp. (a) (e) (f) 1,797,000
------------
4,544,160
------------
TELECOMMUNICATION SERVICES - 0.5%
23,000 Verizon Communications, Inc. (a) (e) 835,360
------------
TOTAL COMMON STOCK - 17.5%
(Cost $31,775,432) 28,993,635
------------
PREFERRED STOCK - 6.7%
BANKS - 0.7%
50,000 Santander Finance Preferred SA Unipersonal, 6.50% (Spain) (a) 1,087,500
------------
DIVERSIFIED FINANCIAL SERVICES - 3.6%
50,000 Deutsche Bank Contingent Capital Trust II, 6.55% (a) 1,160,000
80,000 Fannie Mae, 8.25% (a) 2,048,000
40,000 Freddie Mac, Ser. Z, 8.375% (a) 1,030,000
28,500 General Electric Capital Corp., Ser. A, 6.45% 758,100
40,000 Lehman Brothers Holdings, Inc., 7.95% 994,000
------------
5,990,100
------------
INSURANCE - 0.9%
20,000 Aegon NV, 6.375% (Netherlands) (a) 452,400
3,800 ING Groep NV, 7.05% (Netherlands) 91,238
40,000 Torchmark Capital Trust III, 7.10% (a) 936,400
------------
1,480,038
------------
REAL ESTATE INVESTMENT TRUST - 0.7%
50,000 Public Storage, Ser. K, 7.25% (a) 1,223,000
------------
TELECOMMUNICATION SERVICES - 0.8%
50,000 AT&T, Inc., 6.375% (a) 1,244,000
------------
TOTAL PREFERRED STOCK - 6.7%
(Cost $11,009,713)
11,024,638
------------
EXCHANGE-TRADED FUNDS - 5.4%
10,000 Diamonds Trust Ser. I 1,230,100
18,000 Energy Select Sector SPDR Fund (a) (e) 1,368,900
57,000 Market Vectors Gold Miners ETF (a) (e) 3,027,840
16,000 SPDR Trust Ser. 1 (a) (e) 2,141,120
32,000 Utilities Select Sector SPDR Fund (a) (e) 1,203,520
TOTAL EXCHANGE-TRADED FUNDS - 5.4%
(Cost $9,162,586)
8,971,480
------------
PRINCIPAL AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 4.3%
$ 2,774,987 Fannie Mae Pool, AAA, Aaa (a) (d)
6.30%, 8/1/37 2,847,666
4,200,000 Freddie Mac, AAA, Aaa (a)
6.00%, 6/15/17 to 4/29/22 4,309,642
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 4.3%
(Cost $6,898,928) ------------
7,157,308
------------
TERM LOANS - 21.8%
AEROSPACE AND DEFENSE - 1.1%
1,492,500 Colt Defense
6.37%, 7/9/14, NR, B1 (d) 1,380,562
500,000 Total Safety Ser. C
5.821%, 12/8/12, B, B2 (d) 492,500
------------
1,873,062
------------
AUTOMOBILE - 1.3%
995,000 Adesa, Inc.
7.08%, 10/21/13, B, Ba3 (d) 894,007
1,500,000 Harbor Freight Tools
5.37%, 2/12/13, NR, B1 (d) 1,335,000
------------
2,229,007
------------
CONSUMER PRODUCTS - 0.6%
994,990 Navisite, Inc.
7.19% to 8.96%, 6/10/13, B-, B3 (d) 915,391
------------
DIVERSIFIED/CONGLOMERATE SERVICE - 2.2%
1,000,000 Billing Services Group
9.13%, 12/19/14, B+, B1 (d) 965,000
997,500 Compucom Systems
6.63%, 8/25/14, BB, Ba2 (d) 897,750
1,496,250 First Data Corp.
7.63% to 7.58%, 9/24/14, BB-, Ba3 (d) 1,363,874
497,500 Terremark Worldwide, Inc.
7.01%, 7/30/14, B, NR (d) 448,869
------------
3,675,493
------------
ELECTRONICS - 2.7%
997,669 Caritor, Inc.
7.08%, 6/4/13, BB-, B1 (d) 789,822
500,000 Clientlogic Corp.
5.62% to 7.34%, 1/30/14, B+, B2 (d) 402,500
1,250,000 Freescale Semiconductor, Inc.
5.01%, 11/29/13, BB, Ba1 (d) 1,066,406
1,496,250 GXS Corp.
7.93% to 8.95%, 3/31/13, B+, Ba3 (d) 1,385,902
944,087 Network Solutions LLC
5.63% to 7.33%, 3/7/14, B, B1 (d) 759,990
------------
4,404,620
------------
FOOD & BEVERAGES - 0.9%
90,245 OSI Restaurant Partners, Revolver
4.88%, 6/14/14, BB-, B1 (d) 73,872
1,117,169 OSI Restaurant Partners
5.44%, 6/14/14, BB-, B1 (d) 914,482
500,000 Panda Restaurant
6.60%, 8/23/17, NR, NR (d) 522,045
------------
1,510,399
------------
GAMING - 1.0%
411,319 Cannery Casino Resorts LLC
5.32%, 5/18/13, BB-, B2 (d) 385,612
147,638 Cannery Casino Resorts LLC, Revolver
5.40% to 7.40%, 5/18/13, BB-, B2 (d) 138,410
188,976 Cannery Casino Resorts LLC
3 Month LIBOR + 2.25%, 5/18/13, BB-, B2 (d) (g) 177,165
1,000,000 PITG Gaming
9.62%, 5/19/08, NR, B3 (d) 945,000
------------
1,646,187
------------
HEALTHCARE, EDUCATION & CHILDCARE - 3.3%
812,000 Aurora Diagnostics, LLC
7.42% to 8.76%, 12/10/12, NR, B3 (d) 803,880
188,000 Aurora Diagnostics, LLC
3 Month LIBOR + 4.25%, 12/10/12, NR, B3 (d) (g) 186,120
483,707 Compsych
5.88% to 7.58%, 7/16/13, B, B2 (d) 423,244
1,000,000 Embanet
7.13% to 7.75%, 6/28/12, B, B2 (d) 950,000
1,500,000 PRA International
8.25%, 12/15/14, BB-, B1 (d) 1,335,000
994,917 Renal Advantage, Inc.
7.47%, 10/6/12, BB-, B1 (d) 887,964
997,500 TUI University LLC
6.02% to 6.12%, 7/2/14, B-, B2 (d) 947,625
------------
5,533,833
------------
HOME & OFFICE FURNISHINGS - 0.7%
1,030,702 Centaur LLC
8.83%, 10/30/12, BB-, B1 (d) 901,864
219,298 Centaur LLC
3 Month LIBOR + 4.00%, 10/30/12, BB-, B1 (d) (g) 191,886
------------
1,093,750
------------
INSURANCE - 0.3%
495,006 QTC Management
5.37%, 11/10/12, B+, B2 (d) 418,280
------------
LEISURE - 0.8%
1,496,250 Bushnell Performance Optics
8.58%, 8/24/13, B, B2 (d) 1,406,475
------------
OIL & GAS - 0.9%
1,327,586 Calumet Lubricants Co.
7.07% to 7.12%, 1/5/15, BB-, B1 (d) 1,254,569
172,414 Calumet Lubricants Co.
3 Month LIBOR + 4.00%, 1/5/15, BB-, B1 (d) (g) 162,931
------------
1,417,500
------------
PRINTING & PUBLISHING - 1.5%
995,000 Advanstar Communications
7.09%, 5/31/14, B+, B1 (d) 781,075
748,111 Idearc, Inc.
6.83%, 11/17/14, BBB-, Ba2 (d) 619,997
1,374,454 Readers Digest Association
7.13% to 7.46%, 3/2/14, B+, B1 (d) 1,131,176
------------
2,532,248
------------
RETAIL STORES - 3.9%
1,496,231 David's Bridal, Inc.
6.58%, 1/31/14, B, B2 (d) 1,309,202
1,246,875 Deb Shops, Inc.
7.10% to 9.00%, 4/23/14, BB-, Ba3 (d) 1,184,531
1,500,000 Dollar General
5.99%, 7/6/14, B+, B2 (d) 1,340,625
995,000 HH Gregg Appliances, Inc.
5.59% to 5.61%, 7/25/13, B+, B2 (d) 955,200
995,000 Mattress Firm
5.50%, 1/18/14, B, Ba3 (d) 721,375
1,000,000 QVC, Inc.
3 Month LIBOR + 0.63%, 3/3/11, NR, NR (d) (g) 955,000
------------
6,465,933
------------
TRANSPORTATION - 0.6%
997,500 Carey International, Inc.
9.50%, 10/19/12, B, B1 (d) 957,600
------------
TOTAL TERM LOANS - 21.8%
(Cost $38,477,621)
36,079,778
------------
TOTAL LONG-TERM INVESTMENTS - 141.5%
(Cost $243,444,523)
234,302,343
------------
SHORT-TERM INVESTMENTS - 9.0%
MUNICIPAL BONDS - 2.0%
1,000,000 Industrial Dev Auth City Yuma, AZ,
Hosp Rev Ref Bonds, Ser. 2004B, AAA, Aaa (h)
11.00%, 8/1/2031 1,000,000
1,250,000 Michigan Muni Bond Auth,
School Loan Revolving Fund Rev and Ref Bonds, Ser. 2007A-3, AAA, Aaa (h)
18.00%, 3/1/2047 1,250,000
1,000,000 School Dist of Philadelphia,
Gen Oblig Bonds, Ser. B of 2004, A+, A1 (h)
12.00%, 9/1/2021 1,000,000
------------
TOTAL SHORT-TERM MUNICIPAL BONDS 3,250,000
(Cost $3,250,000) ------------
MONEY MARKET FUNDS - 7.0%
11,602,796 AIM Government & Agency Money Market 11,602,796
(Cost $11,602,796) ------------
TOTAL SHORT-TERM INVESTMENTS - 9.0%
(Cost $14,852,796)
14,852,796
------------
TOTAL INVESTMENTS - 150.5%
(Cost $258,297,319) 249,155,139
Liabilities in excess of Other Assets - (1.4%) (2,304,761)
Total Options Written - (0.9%) (1,416,177)
Reverse Repurchase Agreements - (48.2%) (79,875,245)
------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $165,558,956
============
NV - Publicly Traded Company
PLC - Public Limited Company
REMIC - Real Estate Mortgage Investment Conduit
SA - Corporation
(a) All or a portion of this security has been physically segregated in
connection with swap agreements, options and reverse repurchase agreements.
(b) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At February 29,
2008, these securities amounted to 30.9% of net assets applicable to common
shares.
(c) Security has a fixed rate coupon which will convert to a floating or
variable rate coupon on a future date.
(d) Floating or Variable Rate Coupon.
(e) All or a portion of this security position represents cover for outstanding
options written.
(f) Non-income producing security.
(g) Unsettled as of February 29, 2008.
(h) Security has a maturity of more than one year, but has a variable rate and
demand features which qualify it as a short-term security. The rate shown
is as of February 29, 2008.
-----------------------------------------------------------------------
COUNTRY ALLOCATION*
-----------------------------------------------------------------------
United States 81.1%
Cayman Islands 12.3%
Bermuda 1.7%
United Kingdom 1.4%
France 1.1%
Sweden 0.8%
Canada 0.5%
Singapore 0.5%
Spain 0.4%
Netherlands 0.2%
-----------------------------------------------------------------------
* Subject to change daily. Based on total investments.
Ratings shown are per Standard & Poor's and Moody's. Securities classified as NR
are not rated.
See previously submitted Notes to Financial Statements for the period ending
November 30, 2007.
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) CALL OPTIONS WRITTEN (f) DATE PRICE VALUE
------------------------------------------------------------------------------------------------------------
70 Apple, Inc. March 2008 $ 135.00 $ 12,845
850 Biovail Corp. (Canada) April 2008 15.00 46,750
160 ConocoPhillips March 2008 80.00 66,800
320 CVS Caremark Corp. March 2008 40.00 36,800
550 Dean Foods Co. April 2008 25.00 8,250
400 eBay, Inc. March 2008 30.00 3,000
180 Energy Select Sector SPDR Fund March 2008 75.00 54,810
320 Forest Laboratories, Inc. April 2008 45.00 9,600
360 General Electric Co. March 2008 35.00 5,040
500 Hanesbrands, Inc. April 2008 22.50 342,500
350 Hansen Natural Corp. March 2008 45.00 35,875
200 Hartford Financial Services Group, Inc. April 2008 75.00 39,500
180 Humana, Inc. April 2008 75.00 25,200
700 Intel Corp. March 2008 21.00 19,600
275 Kla-Tencor Corp. March 2008 42.50 33,000
285 Market Vectors Gold Miners ETF March 2008 48.00 155,325
285 Market Vectors Gold Miners ETF March 2008 49.00 132,525
400 Microsoft Corp. March 2008 29.00 9,400
610 Pfizer, Inc. March 2008 22.50 21,350
380 Pride International, Inc. March 2008 35.00 56,050
160 SPDR Trust Ser. 1 March 2008 135.00 40,480
1,000 Starbucks Corp. March 2008 20.00 12,500
450 Texas Instruments, Inc. March 2008 30.00 41,400
270 Travelers Cos., Inc. (The) April 2008 47.50 36,288
1,100 US Airways Group, Inc. June 2008 15.00 150,289
320 Utilities Select Sector SPDR Fund March 2008 40.00 7,200
230 Verizon Communications, Inc. March 2008 37.50 13,800
-----------
TOTAL CALL OPTIONS WRITTEN $ 1,416,177
(Premiums received $1,369,763) ===========
(f) Non-income producing security
Details of the swap agreements outstanding as of February 29, 2008 were as
follows:
CREDIT DEFAULT SWAP AGREEMENTS
NOTIONAL UNREALIZED
BUY/SELL PAY/RECEIVE EXPIRATION AMOUNT APPRECIATION/
COUNTERPARTY REFERENCE ENTITY PROTECTION FIXED RATE DATE (000) DEPRECIATION
--------------------------------------------------------------------------------------------------------
Goldman Sachs Wachovia Corp. Buy 0.50% 09/20/14 $ 3,000 $ 193,966
Goldman Sachs Wells Fargo & Company Buy 0.45 09/20/14 3,000 72,544
Goldman Sachs Basket of 110 distinct Sell 1.18 09/21/14 3,000 (915,600)
corporate entities ---------
$(649,090)
---------
INTEREST RATE SWAP AGREEMENTS
PAY/RECEIVE NOTIONAL UNREALIZED
FLOATING EXPIRATION AMOUNT APPRECIATION/
COUNTERPARTY FLOATING RATE INDEX RATE FIXED RATE DATE (000) DEPRECIATION
--------------------------------------------------------------------------------------------------------
Goldman Sachs 3 Month LIBOR Pay 5.86% 01/04/38 $ 10,000 $ 19,376
Goldman Sachs 3 Month LIBOR Pay 5.675 01/04/38 10,000 12,387
HSBC 3 Month LIBOR Pay 7.70 01/09/23 5,000 (64,000)
---------
(32,237)
---------
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $(681,327)
=========
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) as of a date within 90 days of this filing and
have concluded, based on such evaluation, that the registrant's
disclosure controls and procedures were effective, as of that date, in
ensuring that information required to be disclosed by the registrant in
this Form N-Q was recorded, processed, summarized and reported within
the time periods specified in the Securities and Exchange Commission's
rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940, as amended) that occurred during the registrant's last fiscal
quarter that has materially affected or is reasonably likely to
materially affect the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is
attached hereto.
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.
Claymore/Guggenheim Strategic Opportunities Fund
By:
----------------------------------------------------------------------------
Nicholas Dalmaso
Chief Legal and Executive Officer
Date:
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.
By: /s/ Nicholas Dalmaso
----------------------------------------------------------------------------
Nicholas Dalmaso
Chief Legal and Executive Officer
Date:
By: /s/ Steven M. Hill
----------------------------------------------------------------------------
Steven M. Hill
Treasurer and Chief Financial Officer
Date: