UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
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)
J. Thomas Futrell
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
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Date of fiscal year end: May 31
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Date of reporting period: May 31, 2008
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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 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. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 is as follows:
Annual
Report
May 31, 2008
Claymore/Guggenheim
Strategic Opportunities Fund
GOF
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CLAYMORE(R) logo
GUGGENHEIM(R) logo
www.claymore.com/gof
... your window to the LATEST,
most up-to-date information about the
Claymore/Guggenheim Strategic Opportunities Fund
Graphic: Staircase
The shareholder report you are reading right now is just the beginning
of the story. Online at , you will find:
o Daily, weekly and monthly data on share prices, net asset values,
distributions, dividends and more
o Portfolio overviews and performance analyses
o Announcements, press releases and special notices
o Fund and adviser contact information
Guggenheim Partners Asset Management, Inc. and Claymore are continually updating
and expanding shareholder information services on the Fund's website, in an
ongoing effort to provide you with the most current information about how your
Fund's assets are managed, and the results of our efforts. It is just one more
small way we are working to keep you better informed about your investment in
the Fund.
2 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
DEAR SHAREHOLDER|
We thank you for your investment in the Claymore/Guggenheim Strategic
Opportunities Fund (the "Fund"). This report covers the Fund's performance for
the abbreviated annual period which extended from the Fund's inception date of
July 27, 2007, through May 31, 2008.
The Fund's investment objective is to maximize total return through a
combination of current income and capital appreciation. The Fund's sub-adviser
is Guggenheim Partners Asset Management, Inc. ("GPAM" or "the Sub-Adviser"), a
wholly owned subsidiary of Guggenheim Partners, LLC ("Guggenheim" or "Guggenheim
Partners"). GPAM seeks to achieve that objective by combining a credit-managed
fixed-income portfolio with access to a diversified pool of alternative
investments and equity strategies. The Fund pursues a relative value-based
investment philosophy, which utilizes quantitative and qualitative analysis to
seek to identify securities or spreads between securities that deviate from
their perceived fair value and/or historical norms.
Guggenheim is a diversified financial services firm with wealth management,
capital markets, investment management and proprietary investing businesses. As
of May 31, 2008, Guggenheim managed or supervised more than $100 billion in
assets.
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the period from the
Fund's inception date of July 27, 2007, through May 31, 2008, the Fund provided
a total return based on market price of -9.41% and a return of -1.40% based on
NAV. The last closing price of the Fund's shares as of May 31, 2008, was $16.78,
which represented a discount of 4.22% to the Fund's NAV of $17.52. Past
performance is not a guarantee of future results.
The market value of the Fund's shares fluctuates from time to time, and it may
be higher or lower than the Fund's NAV. We believe that, over the long term, the
progress of the NAV will be reflected in the market price return to
shareholders. We believe that the current discount represents a good opportunity
for investors, as common shares of the Fund are now available in the market at
prices significantly below the value of the securities in the underlying
portfolio.
We encourage shareholders to consider the opportunity to reinvest their
distributions from the Fund through the Dividend Reinvestment Plan ("DRIP"),
which is described in detail on page 30 of the Fund's annual report. When shares
trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the monthly dividend distribution in common shares of the Fund
purchased in the market at a price less than NAV. Conversely, when the market
price of the Fund's common shares is at a premium above NAV, the DRIP reinvests
participants' dividends in newly-issued common shares at NAV, subject to an IRS
limitation that the purchase price cannot be more than 5% below the market price
per share. The DRIP provides a cost-effective means to accumulate additional
shares and enjoy the benefits of compounding returns over time. Since the Fund
endeavors to maintain a stable monthly distribution, the DRIP plan effectively
provides an income averaging technique, which causes shareholders to accumulate
a larger number of Fund shares when the market price is depressed than when the
price is higher.
Annual Report | May 31, 2008 | 3
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Dear Shareholder continued
Beginning with its initial dividend payment on September 28, 2007, the Fund paid
four monthly dividends of $0.142 each before increasing the amount to $0.154 per
share for dividends paid in January through May 2008. The current monthly
dividend of $0.154 per share represents, on an annualized basis, a dividend
yield of 11.01% based on the last closing market price of $16.78 as of May 31,
2008, and 9.24% based on the initial offering price of $20.00 on July 27, 2007.
To learn more about the Fund's performance and investment strategy, we encourage
you to read the Questions & Answers section of the report, which begins on page
5. You'll find information on Guggenheim's investment philosophy, their views on
the economy and market environment, and detailed information about the factors
that impacted the Fund's performance.
We appreciate your investment and look forward to serving your investment needs
in the future. For the most up-to-date information on your investment, please
visit the Fund's website at www. claymore.com/gof.
Sincerely,
/s/ J. Thomas Futrell
J. Thomas Futrell
Claymore/Guggenheim Strategic Opportunities Fund
4 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Questions & Answers|
Claymore/Guggenheim Strategic Opportunities Fund (the "Fund") is managed by a
team of seasoned professionals at Guggenheim Partners Asset Management, Inc.
This team includes B. Scott Minerd, Chief Executive Officer and Chief Investment
Officer; Anne Bookwalter Walsh, CFA, JD, Managing Director; Michael Curcio,
Managing Director; Robert N. Daviduk, CFA, Managing Director; Shahab Sajadian,
CFA, Director of Risk Management; and Eric Silvergold, Managing Director. In the
following interview, the investment team discusses the market environment and
the Fund's performance from its inception date of July 27, 2007, through the end
of its first fiscal year on May 31, 2008.
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WILL YOU REMIND US OF THIS FUND'S OBJECTIVE AND THE WAY IT IS MANAGED?
The Fund's investment objective is to seek to maximize total return through a
combination of current income and capital appreciation. The Fund pursues a
relative value-based investment philosophy, which utilizes quantitative and
qualitative analysis to seek to identify securities or spreads between
securities that deviate from their perceived fair value and/or historical norms.
The Fund's sub-adviser seeks to combine a credit-managed fixed-income portfolio
with access to a diversified pool of alternative investments and equity
strategies.
The Fund seeks to achieve its investment objective by investing in a wide range
of fixed income and other debt and senior equity securities ("income
securities") selected from a variety of sectors and credit qualities, including,
but not limited to, corporate bonds, loans and loan participations, structured
finance investments, U.S. government and agency securities, mezzanine and
preferred securities and convertible securities, and in common stocks, limited
liability company interests, trust certificates and other equity investments
("common equity securities") that the Fund's sub-adviser believes offer
attractive yield and/or capital appreciation potential, including employing a
strategy of writing (selling) covered call and put options on such equities. We
believe that we can reduce the volatility (risk) of the Fund by diversifying the
portfolio across a large number of sectors and securities, many of which
historically have not been highly correlated to one another.
o The Fund may invest, under normal market conditions, up to 60% of its total
assets in income securities rated below investment grade (commonly referred
to as "junk bonds").
o The Fund may invest up to 20% of its total assets in non-U.S.
dollar-denominated fixed-income securities of corporate and governmental
issuers located outside the U.S., including up to 10% of total assets in
income securities of issuers located in emerging markets.
o The Fund may invest up to 50% of its total assets in common equity
securities consisting of common stock; and
o As of May 31, 2008, the Fund may invest up to 20% of its total assets in
other investment companies, provided no more than 10% is in companies
registered under the Investment Company Act of 1940, as amended ("the "1940
Act"). This policy was subsequently revised, as detailed below.
Guggenheim Partners' investment process is a collaborative effort between its
Portfolio Construction Group, which utilizes tools such as Guggenheim's Dynamic
Financial Analysis Model to determine allocation of assets among a variety of
sectors, and its Sector Specialists, who are responsible for security selection
within these sectors and for implementing securities transactions, including the
structuring of certain securities directly with the issuer or with investment
banks and dealers involved in the origination of such securities.
The Fund may seek to enhance the level of its current distributions by utilizing
financial leverage through the issuance of senior securities such as preferred
shares; through borrowing or the issuance of commercial paper or other forms of
debt; through reverse repurchase agreements, dollar rolls or similar
transactions; or through a combination of the foregoing (collectively "Financial
Leverage"). The aggregate amount of Financial Leverage, if any, is not expected
to exceed 331/3% of the Fund's total assets after such issuance; however, the
Fund may utilize Financial Leverage up to the limits imposed by the Investment
Company Act of 1940, as amended ("the 1940 Act").
On May 9, 2008, the Fund announced that its Board of Trustees had approved a
change to one of the Fund's non-fundamental investment policies. Specifically,
the change provides for the flexibility to invest up to the entire low-beta
portion of the Fund's portfolio strategy in other registered investment
companies, including exchange-traded funds, in an effort to enhance returns and
reduce risks attributable to that portion of the strategy during certain market
environments. Also announced was that, effective July 10, 2008, the Fund may
invest up to 30% of its total assets in investment funds that primarily hold
(directly or indirectly) investments in which the Fund may invest directly, of
which amount up to 20% of the Fund's total assets may be invested in investment
funds that are registered as investment companies under the 1940 Act to the
extent permitted by applicable law and related interpretations of the staff of
the U.S. Securities and Exchange Commission.
Annual Report | May 31, 2008 | 5
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers continued
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PLEASE TELL US ABOUT THE MARKET ENVIRONMENT AND THE FUND'S PERFORMANCE SINCE ITS
INCEPTION DATE LAST JULY.
Guggenheim believes that the Fund has performed well given the very difficult
environment that has existed since the Fund was launched. Guggenheim believes
this is a testament to our rigorous process of individual security selection in
addition to our commitment to keeping the Fund highly diversified. The
environment since the Fund was launched has been very challenging for investors.
In the second half of 2007, what began as a correction in the subprime mortgage
market accelerated into a financial crisis with profound implications for the
entire economy. By early 2008, financial markets had become extremely
risk-averse, as demonstrated by unusually wide credit spreads, severe
dislocation in short-term credit markets, overall tightening of financial
conditions, and a highly volatile equity market. We have seen a massive global
de-leveraging and poor liquidity as investors and financial institutions that
need to reduce risk and raise cash have been forced to sell into a market with
little demand.
Seeking to stabilize markets and provide stimulus, the Federal Reserve Board
(the "Fed") cut interest rates seven times between September 2007 and April
2008, reducing the target federal funds rate by a total of 325 basis points. The
Fed has also put other programs in place, including making available to major
brokerage firms the discount window loans that traditionally were offered only
to commercial banks.
Financial institutions have been reluctant to lend, and they have tightened loan
standards. The result is that businesses and individuals have had difficulty
obtaining credit, and that has had a dampening effect on economic activity. On
the positive side, the weakening U.S. dollar has spurred exports, improving the
trade balance. The ability of U.S. companies to sell products abroad has helped
the U.S. to avoid a recession thus far. The fiscal stimulus package that
provides tax rebates to eligible individuals and families is expected to spur
demand and to help offset some of the financial headwinds the economy faces.
The timing of the Fund's introduction, just as this difficult period for markets
was unfolding, has proved to be fortuitous. As we have built the Fund's
portfolio, we have been able to buy a variety of good quality securities at
prices that we believe are below their intrinsic value. When we originally
modeled the Fund, we anticipated having an average credit quality of
approximately BBB as rated by one or more of the nationally recognized
statistical rating organizations ("NRSROs").(1) Market dislocations have made it
possible to structure the Fund with an average credit quality of single-A
because we have been able to purchase higher quality securities at yield spreads
that were not available in early 2007 when the Fund was designed.
The Fund was also able to begin paying dividends sooner than anticipated, and to
increase dividends more rapidly than we had expected. The Fund's registration
statement indicated its initial dividend was expected to be declared within 60
to 90 days after its launch and paid within 90 to 120 days. In fact, the Fund
was able to declare an initial monthly dividend of $0.142 on August 31, 2007,
just over a month after the Fund was launched, for payment on September 28,
2007. On December 17, 2007, the Fund announced an 8.45% increase in the monthly
dividend to $0.154 per share, effective with the dividend paid in January 2008.
The current monthly dividend of $0.154 per share represents, on an annualized
basis, a dividend yield of 11.01% based on the last closing market price of
$16.78 as of May 31, 2008, and 9.24% based on the initial offering price of
$20.00 on July 27, 2007. Past performance is not a guarantee of future results.
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the period from July
27, 2007, through May 31, 2008, the Fund returned -1.40% on an NAV basis and
-9.41% on a market price basis. The last closing price of the Fund's shares as
of May 31, 2008, was $16.78, which represented a discount of 4.22% to the NAV of
$17.52. At inception, the Fund's NAV was $19.10 and the market price was $20.00.
The market value of the Fund's shares fluctuates from time to time, and it may
be higher or lower than the Fund's NAV. The current discount to NAV may provide
an opportunity for suitable investors to purchase shares of the Fund below the
market value of the securities in the underlying portfolio. We believe that,
over the long term, the progress of the NAV will be reflected in the market
price return to shareholders.
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HOW DID YOU ALLOCATE THE FUND AMONG ASSET CLASSES THIS PERIOD, AND HOW DID THESE
INVESTMENTS PERFORM?
This Fund was created to provide individual investors the potential to realize a
level of return similar to that historically achieved by equities, but with
volatility more typical of fixed income securities. At Guggenheim we track a
large number of equity and fixed income asset classes, and, in constructing this
portfolio, we have sought to use investments that historically have had low
correlations to one another. We have attempted to optimize the portfolio by
analyzing the historical returns generated by Guggenheim's management team in
each sector, the volatility of each sector and the correlations among the
sectors. We do this in an effort to dampen the volatility of the portfolio
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1 On September 24, 2007, the Securities and Exchange Commission issued orders
granting the registrations of seven credit rating agencies as nationally
recognized statistical rating organizations ("NRSROs"). The firms are the
first to be registered with the Commission under the Credit Rating Agency
Reform Act of 2006.
6 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers continued
while providing the opportunity for an attractive long-term return to our
investors.
Correctly anticipating a flight to quality, we initially committed a substantial
portion of the Fund's assets to U.S. Government agency and mortgage-backed
securities, which represented approximately 37% of the Fund's long-term
investments as of November 30, 2007, when the Fund's semi-annual report was
issued. This proved to be a good decision as prices of these very high quality
securities rose substantially in the last few months of 2007 and as investors
sought to reduce risk. These securities, especially agency-backed residential
mortgages, also provided an attractive level of income during the Fund's first
few months of operation. Since that time, we have reduced the percentage of
assets committed to government and agency securities, selling them at a profit
in order to take advantage of some unusually attractive opportunities in other
sectors of the market. On May 31, 2008, government and agency securities
represented approximately 15% of the Fund's total investments.
Since the Fund was launched we have been focused on areas of the market that
have experienced the most stress from a liquidity standpoint because we believe
these sectors will provide the most attractive returns going forward. These
include predominantly investment-grade rated asset-backed securities and
securities backed by commercial mortgages. Many of these securities are rated
AAA and have credit enhancements such as excess yield spreads and subordinated
tranches to enhance their credit quality. Some hedge funds, banks, broker
dealers, and structured investment vehicles have been forced to sell these
securities to meet margin calls from lenders, reduce risk or to remain in
compliance with the legal requirements that govern their operations.
Guggenheim's specialists in residential mortgage-backed, commercial
mortgage-backed and asset-backed securities have been able to buy these
securities at prices we believe are well below their intrinsic values, with
unprecedented yield spreads. We have also found opportunities to purchase bonds
and preferred securities of leading financial institutions, in both the new
issue and the secondary markets. These major institutions have been forced to
raise additional capital, and many have issued bonds, preferred securities and
hybrid securities that combine the features of debt and equity with yields above
8%. By buying these securities, we have been able to lock in very attractive
yields, in some cases for periods of 10 years or longer.
Since the credit crisis began, one of the top performing sectors in the
portfolio has been event-linked securities. Event-linked securities, which
represent a growing sector of the global fixed-income market, provide investors
with high return potential in exchange for taking on the risk of a specific
event, such as a major hurricane, earthquake or pandemic. These securities may
provide attractive yields and, in addition, provide diversification benefits to
the portfolio due to their low correlations to most other asset classes.
The equities in the Fund's portfolio are typically composed of a diversified
selection of large capitalization value-oriented companies on which covered
calls are sold to help generate option premiums and dampen portfolio volatility.
The stocks are selected from a fusion-based investment approach in which
Guggenheim's macroeconomic view is employed in the allocation of sector weights,
combined with a bottom-up fundamental equity analysis of the securities under
consideration.
The equities in the Fund faced the same three headwinds as the broad equity
market: 1) fallout from the credit crisis; 2) concerns about economic growth;
and 3) concerns about inflation. In our opinion, as we look forward to the
second half of 2008, it appears that the credit crisis is abating and we may
avoid a recession. We believe that the bail-out of Bear Stearns in March 2008
may have marked the height of the credit crisis, and that the aggressive easing
by the Fed will flow through the system, fostering better growth in the near
future. We believe the major issue that remains is that of inflationary
pressures in the form of higher energy and food prices, which remain a hurdle
the equity market must contend with in order to trade meaningfully higher.
One goal of the Fund is to provide long-term returns in line with equity returns
but with volatility comparable to bonds, and we have been able to achieve this
goal to date. For the period from the Fund's inception date of July 27, 2007,
through May 31, 2008, the Fund's annualized volatility has been approximately
4.55%, which is less than the volatility of the Lehman Aggregate Bond Index,
which has been approximately 5% over the same period.(2) The volatility is
measured by calculating the standard deviation of the percentage changes in the
Fund's daily NAV and then annualizing them. In contrast, the volatility of the
Standard & Poor's 500 Index (the "S&P 500") was approximately 21%.(3) The low
volatility of the Fund's NAV is attributable to its high level of
diversification across many different asset classes.
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WHICH DECISIONS HURT PERFORMANCE?
Despite being conservatively positioned, the Fund's returns have been negatively
impacted by the global reduction in investors' appetite for risk and the
illiquid nature of most markets, especially in the first quarter of 2008.
Corporate bonds, preferred securities,
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2 The Lehman Brothers Aggregate Index represents securities that are U.S.
domestic, taxable, and dollar denominated. The index covers the U.S.
investment grade fixed rate bond market, with index components for
government and corporate securities, mortgage pass-through securities, and
asset-backed securities. It is not possible to invest directly in an index.
3 The Standard & Poor's 500 Index is an unmanaged, capitalization-weighted
index of 500 stocks. The index is designed to measure performance of the
broad domestic economy through changes in the aggregate market value of 500
stocks representing all major industries. It is not possible to invest
directly in an index.
Annual Report | May 31, 2008 | 7
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers continued
mortgage-related securities, structured securities and bank loans have all been
negatively impacted by the increased risk premiums that investors now require.
In April and May of 2008, many of the securities that had provided the weakest
performance in the first quarter--namely asset-backed securities, commercial
mortgage-backed securities, and bank loans--recovered a fair amount of the
decline in value they had experienced in the prior three months.
The worst performing area of the bond market has been residential
mortgage-backed securities that are not backed by an agency such as Federal
National Mortgage Association ("Fannie Mae") or Government National Mortgage
Association ("Ginnie Mae"). Because we have been concerned about the housing
sector for quite some time, we have kept the Fund's exposure to non-Agency
mortgage-backed securities to less than 1% of the Fund's total investments. We
also believe that it will take some time for this sector to experience a
significant recovery because home prices continue to decline. However, we
believe that significant profits will be earned eventually as the housing crisis
subsides because investors fled this sector in droves; we are therefore actively
looking to selectively add to the Fund's exposure.
For Fund holdings that have declined in value we continue to believe that the
decline is not due to a meaningful deterioration in credit quality, but rather
is due to high levels of risk aversion by many investors and extremely poor
market liquidity. We have viewed the lower prices and high yield premiums to
Treasury securities as an opportunity to purchase assets that we believe will
perform well over the long term, despite the current market gyrations. We
continue to selectively add securities to the portfolio that offer what we
believe to be attractive yields and diversification benefits.
We have taken a cautious view of the equity market, and this has proven to be a
good decision, as virtually all equity indices generated negative returns over
this period. As of May 31, 2008, equities represented approximately 9.2% of the
Fund's portfolio. The equity portion of the portfolio is managed using a low
beta equity strategy. (Beta is a measure of a stock's sensitivity to an index or
the market as a whole; low beta means that a stock's movement tends to be less
than the market as a whole.) The selling of call options on the equities the
Fund holds ("covered call writing") provides option premiums to the Fund's
investors and helps to reduce NAV volatility.
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HOW WOULD YOU EXPECT THE FUND'S ASSET MIX OVER TIME TO DIFFER FROM THE CURRENT
STRUCTURE?
It is our intention to maintain a well diversified portfolio at all times. As of
May 31, 2008, the Fund held over 175 securities in a variety of asset classes
and industry sectors. The Fund's largest holding, the Ultra S&P500 ProShares,
represented 5.2% of the Fund's long-term investments. Ultra S&P500 ProShares is
an exchange traded fund ("ETF") that seeks daily investment results, before fees
and expenses, that correspond to twice (200%) the daily performance of the S&P
500, a widely used measure of large-cap United States stock market performance.
We opted to use the Ultra S&P 500 ProShares to gain a portion of the equity
exposure we desired, while at the same time enabling us to hold a larger amount
of the Fund in cash to be available for other investment opportunities and
purposes. The Fund's top 10 holdings represented 17.1% of long-term investments.
We are relative value investors, very much focused on bottom-up value throughout
the markets. We continually examine each sector, and allocate the portfolio's
assets according to the value we perceive at any given time. We will rotate out
of sectors that we believe do not have the potential to perform well going
forward, moving to other sectors that we believe have better prospects. We do
not generally make large duration bets, although we will adjust durations
incrementally when we believe it is in the best interest of the shareholders.
Another area in which we are likely to increase the Fund's holdings over time is
in event-linked securities. We find these securities attractive because they
currently have very little correlation to other types of fixed income assets.
For example, if there is a typhoon in Japan, it may not affect whether the Fed
will raise or lower interest rates, or whether credit quality will improve or
deteriorate. Therefore, we believe event-linked securities may serve as a great
diversifier, helping to balance other risks in the portfolio. In addition, these
securities are often very attractively priced relative to other bonds with
similar credit ratings, but with very different risk characteristics.
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HOW HAS THE FUND'S LEVERAGE STRATEGY AFFECTED PERFORMANCE?
We have employed leverage through reverse repurchase agreements, and these have
helped to provide additional income for the Fund's shareholders. Under these
agreements, we lend securities and receive in return cash which can be used for
additional investments. We have been able to borrow by lending securities at
what we believe to be very attractive rates, in many cases at rates slightly
above the one-month or three-month LIBOR rate and
8 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers continued
then reinvesting the proceeds into much higher yielding securities.(4) We chose
not to have the Fund issue Auction Rate Preferred Shares ("ARPS"), and as a
result the Fund has been able to avoid the problems that have been associated
with these securities.
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WHAT IS YOUR CURRENT OUTLOOK FOR THE MARKETS AND THE FUND?
The major question at present is whether the current economic slowdown in the
U.S. will develop into a recession. Despite many negative influences, we believe
that there will not be a recession. The Fed has been reducing short-term
interest rates for almost nine months, but it generally takes 12 to 18 months
for Fed policy to take effect; this means that the full positive effects of the
Fed's actions should start to be felt by the third or fourth quarter of this
year. Over the next few months, we believe that tax rebates will bolster
consumer spending, balancing some of the negative effects of declining housing
prices and high costs for food and fuel. We believe the weak U.S. dollar will
continue to contribute to strong international demand for U.S. goods.
We believe that the Fund's diversification across many different sectors is a
significant positive. Although almost all the spread sectors performed poorly in
early 2008, we have seen some recovery in recent months. The fact that the
various sectors have not underperformed simultaneously has dampened the Fund's
volatility. This strengthens our belief that a highly diversified portfolio
provides a valuable buffer to investors in a very difficult time.
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4 LIBOR is the London Inter-Bank Offer Rate, the interest rate that banks
charge each other for loans (usually in Eurodollars). This rate is
applicable to the short-term international interbank market, and applies to
very large loans borrowed for one day to five years.
Annual Report | May 31, 2008 | 9
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers continued
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RISKS AND OTHER CONSIDERATIONS
The views expressed in this report reflect those of the portfolio manager only
through the report period as stated on the cover. These views are subject to
change at any time, based on market and other conditions and should not be
construed as a recommendation of any kind. The material may also include forward
looking statements that involve risk and uncertainty, and there is no guarantee
that any predictions will come to pass. There can be no assurance that the Fund
will achieve its investment objectives. The value of the Fund will fluctuate
with the value of the underlying securities. Historically, closed-end funds
often trade at a discount to their net asset value.
BELOW INVESTMENT-GRADE SECURITIES RISK: The Fund may invest in income securities
rated below investment grade or, if unrated, determined by the Sub-Adviser to be
of comparable credit quality, which are commonly referred to as "high-yield" or
"junk" bonds. Investment in securities of below investment-grade quality
involves substantial risk of loss. Income securities of below investment-grade
quality are predominantly speculative with respect to the issuer's capacity to
pay interest and repay principal when due and therefore involve a greater risk
of default or decline in market value due to adverse economic and
issuer-specific developments.
SENIOR AND SECOND LIEN SECURED LOANS RISK: The Fund's investments in senior
loans and second lien secured floating-rate loans are typically below investment
grade and are considered speculative because of the credit risk of their
issuers. The risks associated with senior loans of below investment-grade
quality are similar to the risks of other lower-grade income securities. Second
lien loans are second in right of payment to senior loans and therefore are
subject to the additional risk that the cash flow of the borrower and any
property securing the loan may be insufficient to meet scheduled payments after
giving effect to the senior-secured obligations of the borrower. Second lien
loans are expected to have greater price volatility and exposure to losses upon
default than senior loans and may be less liquid.
STRUCTURED FINANCE INVESTMENTS RISK: Structured finance investments entail
considerable risk, including market risk, credit risk, interest-rate risk and
prepayment risk. Returns on risk-linked securities are dependent upon such
events as property or casualty damages which may be caused by such catastrophic
events as hurricanes or earthquakes or other unpredictable events.
MEZZANINE INVESTMENTS RISK: Mezzanine investments are subject to the same risks
associated with investment in senior loans, second lien loans and other
lower-grade income securities. Mezzanine investments are expected to have
greater price volatility than senior loans and second lien loans and may be less
liquid.
PREFERRED STOCK RISK: Preferred stock is inherently more risky than the bonds
and other debt instruments of the issuer, but typically less risky than its
common stock. Preferred stocks may be significantly less liquid than many other
securities, such as U.S. Government securities, corporate debt and common stock.
CONVERTIBLE SECURITIES RISK: As with all income securities, the market values of
convertible securities tend to decline as interest rates increase and,
conversely, to increase as interest rates decline. Convertible securities also
tend to reflect the market price of the underlying stock in varying degrees,
depending on the relationship of such market price to the conversion price in
the terms of the convertible security.
Equity Risk: Common equity securities' prices fluctuate for a number of reasons,
including changes in investors' perceptions of the financial condition of an
issuer, the general condition of the relevant stock market, and broader domestic
and international political and economic events.
REAL ESTATE SECURITIES RISK: Because of the Fund's ability to invest in
securities of companies in the real estate industry and to make indirect
investments in real estate, it is subject to risks associated with the direct
ownership of real estate, including declines in the value of real estate;
general and local economic conditions; increased competition; and changes in
interest rates. Because of the Fund's ability to make indirect investments in
natural resources and physical commodities, and in real property asset
companies, the Fund is subject to risks associated with such real property
assets, including supply and demand risk, depletion risk, regulatory risk and
commodity pricing risk.
PERSONAL PROPERTY ASSET COMPANY RISK: The Fund may invest in personal property
asset companies such as special situation transportation assets. The risks of
special situation transportation assets include cyclicality of supply and demand
for transportation assets and risk of decline in the value of transportation
assets and rental values. Private Securities Risk Private securities have
additional risk considerations than with investments in comparable public
investments.
PRIVATE INVESTMENT FUND RISK: In addition to those risks described with respect
to all investment funds, investing in private investment funds (including
affiliated investment funds) may pose additional risks to the Fund.
INFLATION/DEFLATION RISK: There is a risk that the value of assets or income
from investments will be worth less in the future as inflation decreases the
value of money.
DIVIDEND RISK: Dividends on common stock and other common equity securities
which the Fund may hold are not fixed but are declared at the discretion of an
issuer's board of directors. There is no guarantee that the issuers of the
common equity securities in which the Fund invests will declare dividends in the
future or that, if declared, they will remain at current levels or increase over
time.
DERIVATIVE TRANSACTIONS RISKS: Participation in options, futures and other
derivative transactions involves investment risks and transaction costs to which
the Fund would not be subject absent the use of such strategies. If the
Sub-Adviser's prediction of movements in the direction of the securities and
interest rate markets is inaccurate, the consequences to the Fund may leave the
Fund in a worse position than if it had not used such strategies. Positions in
derivatives (such as options, swaps, and futures and forward contracts and
options thereon) may subject the Fund to substantial loss of principal in
relation to the Fund's investment amount.
PORTFOLIO TURNOVER RISK: The Fund's annual portfolio turnover rate may vary
greatly from year to year. A higher portfolio turnover rate results in
correspondingly greater brokerage commissions and other transactional expenses
that are borne by the Fund. High portfolio turnover may result in an increased
realization of net short-term capital gains by the Fund which, when distributed
to common shareholders, will be taxable as ordinary income. Additionally, in a
declining market, portfolio turnover may create realized capital losses.
10 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers continued
ANTI-TAKEOVER PROVISIONS: The Fund's Governing Documents include provisions that
could limit the ability of other entities or persons to acquire control of the
Fund or convert the Fund to an open-end fund.
DERIVATIVES RISK: The Fund may be exposed to certain additional risks should the
Sub-Adviser use derivatives as a means to synthetically implement the Fund's
investment strategies. If the Fund enters into a derivative instrument whereby
it agrees to receive the return of a security or financial instrument or a
basket of securities or financial instruments, it will typically contract to
receive such returns for a predetermined period of time. During such period, the
Fund may not have the ability to increase or decrease its exposure. In addition,
such customized derivative instruments will likely be highly illiquid, and it is
possible that the Fund will not be able to terminate such derivative instruments
prior to their expiration date or that the penalties associated with such a
termination might impact the Fund's performance in a material adverse manner.
Furthermore, derivative instruments typically contain provisions giving the
counterparty the right to terminate the contract upon the occurrence of certain
events. If a termination were to occur, the Fund's return could be adversely
affected as it would lose the benefit of the indirect exposure to the reference
securities and it may incur significant termination expenses.
FOREIGN SECURITIES AND EMERGING MARKETS RISK: Investing in foreign issuers may
involve certain risks not typically associated with investing in securities of
U.S. issuers due to increased exposure to foreign economic, political and legal
developments, including favorable or unfavorable changes in currency exchange
rates, exchange control regulations, expropriation or nationalization of assets,
imposition of withholding taxes on payments and possible difficulty in obtaining
and enforcing judgments against foreign entities. Furthermore, issuers of
foreign securities and obligations are subject to different, often less
comprehensive, accounting, reporting and disclosure requirements than domestic
issuers. The securities and obligations of some foreign companies and foreign
markets are less liquid and at times more volatile than comparable U.S.
securities, obligations and markets. These risks may be more pronounced to the
extent that the Fund invests a significant amount of its assets in companies
located in one region and to the extent that the Fund invests in securities of
issuers in emerging markets. Heightened risks of investing in emerging markets
include: smaller market capitalization of securities markets, which may suffer
periods of relative illiquidity; significant price volatility; restrictions on
foreign investment; and possible repatriation of investment income and capital.
FINANCIAL LEVERAGE RISK. Although the use of Financial Leverage by the Fund may
create an opportunity for increased after-tax total return for the Common
Shares, it also results in additional risks and can magnify the effect of any
losses. If the income and gains earned on securities purchased with Financial
Leverage proceeds are greater than the cost of Financial Leverage, the Fund's
return will be greater than if Financial Leverage had not been used. Conversely,
if the income or gains from the securities purchased with such proceeds does not
cover the cost of Financial Leverage, the return to the Fund will be less than
if Financial Leverage had not been used. Financial Leverage involves risks and
special considerations for shareholders, including the likelihood of greater
volatility of net asset value and market price of and dividends on the Common
Shares than a comparable portfolio without leverage; the risk that fluctuations
in interest rates on borrowings or in the dividend rates on any preferred shares
that the Fund must pay will reduce the return to the Common Shareholders; and
the effect of Financial Leverage in a declining market, which is likely to cause
a greater decline in the net asset value of the Common Shares than if the Fund
were not leveraged, which may result in a greater decline in the market price of
the Common Shares. Because the fees received by Claymore Advisors, LLC (the
"Adviser") and Guggenheim Partners Asset Management, Inc. (the "Sub-Adviser")
are based on the Managed Assets of the Fund (including the proceeds of any
Financial Leverage), the Adviser and Sub-Adviser have a financial incentive for
the Fund to utilize Financial Leverage, which may create a conflict of interest
between the Adviser and the Sub-Adviser on the one hand and the Common
Shareholders on the other. There can be no assurance that a leveraging strategy
will be implemented or that it will be successful during any period during which
it is employed.
In addition to the risks described above, the Fund is also subject to: Income
Securities Risk, Foreign Currency Risk, Risks Associated with the Fund's Covered
Call Option Strategy, Risks of Real Property Asset Companies, Risks of Personal
Property Asset Companies, Private Securities Risk, Investment Funds Risk,
Private Investment Funds Risk, Affiliated Investment Funds Risk, Synthetic
Investments Risk, Inflation/Deflation Risk, Market Discount Risk, and Current
Developments Risks. Please see www.claymore.com/gof for a more detailed
discussion about Fund risks and considerations.
Annual Report | May 31, 2008 | 11
GOF | Claymore/Guggenheim Strategic Opportunities Fund
FUND SUMMARY | As of May 31, (2008) (unaudited)
FUND STATISTICS
------------------------------------------------------------
Share Price $16.78
Common Share Net Asset Value $17.52
Premium/Discount to NAV -4.22%
Net Assets Applicable to Common Shares ($000) $159,509
------------------------------------------------------------
TOTAL RETURNS
-------------------------------------------------------------
(Inception 7/27/07) Market NAV
-------------------------------------------------------------
Since Inception - cumulative -9.41% -1.40%
-------------------------------------------------------------
Performance data quoted represents past performance, which is no guarantee of
future results and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.claymore.com/gof. The investment return and principal value of an investment
will fluctuate with changes in the market conditions and other factors so that
an investor's shares, when sold, may be worth more or less than their original
cost.
% OF LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
--------------------------------------------------------
Ultra S&P500 ProShares 5.2%
Freddie Mac, AAA, Aaa
6.00%, 6/15/17 to 4/29/22, Notes 2.1%
Ultra QQQ ProShares 1.9%
Dunkin Securitization, Series 2006-1,
Class A2, AAA, Aaa
5.78%, 6/20/31 1.3%
Countrywide Home Equity Loan Trust, Series 2004-S,
Class 1A, AAA, Aaa
2.75%, 2/15/30 1.3%
TCW Select Loan Fund Ltd., Inc., Series 1A,
Class A1, AAA, Aaa (Cayman Islands)
3.17%, 10/10/13 1.3%
Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1,
Senior Secured Notes (Bermuda)
7.15%, 10/15/13 1.0%
Svensk Exportkredit AB, AA-, Aa3, Subordinated
Notes (Sweden)
6.375%, 10/29/49 1.0%
TW Hotel Funding 2005 LLC, Series 2005-LUX,
Class A1, AAA, Aaa
2.76%, 1/15/21 1.0%
Timberstar Trust, Series 2006-1A, Class A, AAA, Aaa
5.67%, 10/15/36 1.0%
--------------------------------------------------------
Portfolio composition and holdings are subject to change daily. For more
information, please visit www.claymore.com/gof. The above summaries are provided
for informational purposes only and should not be viewed as recommendations.
Past performance does not guarantee future results.
SHARE PRICE & NAV HISTORY
--------------------------------------------------------
Line chart:
Share Price NAV
7/27/07 20 19.06
20 19.05
20.01 19.05
20 19.09
19.75 19.1
19.63 19.08
19.45 19.1
19.36 19.11
19.38 19.08
19.69 19.04
19.25 19.05
19.25 19.08
19 19.07
19.12 19.04
17.85 19.08
17.94 19.14
18.8 19.16
18.8 19.18
19.05 19.22
19.1 19.22
19.13 19.23
19.15 19.25
18.21 19.25
18.6 19.29
18.4 19.3
18.12 19.31
17.7 19.31
17.8 19.35
18.08 19.35
18.2 19.38
18.27 19.41
18.4 19.42
18.3 19.25
18.11 19.25
18.29 19.25
18.01 19.26
18.16 19.32
18.2 19.33
18.25 19.28
18.25 19.31
18.28 19.43
17.9 19.46
18.06 19.35
17.91 19.39
18.14 19.4
18.25 19.45
18.26 19.48
18.1 19.47
18.25 19.49
18.2 19.47
17.99 19.46
17.99 19.48
18.03 19.5
17.95 19.36
17.95 19.37
17.75 19.37
17.7 19.37
17.53 19.43
17.67 19.44
17.52 19.42
17.46 19.5
17.61 19.46
17.45 19.46
17.39 19.49
17.68 19.51
17.59 19.52
17.75 19.5
17.67 19.48
17.55 19.47
17.54 19.52
17.55 19.47
17.5 19.47
17.2 19.4
17.1 19.38
17.25 19.34
17.2 19.3
17 19.24
16.81 19.23
16.78 19.21
17.05 19.22
16.45 19.17
16.38 19.15
16.23 19.09
16.44 19.16
16.42 19.14
16.36 19.1
16.71 19.17
16.65 19.21
16.82 19.24
16.91 19.24
16.99 19.23
17 19.25
16.97 19.24
17.07 19.22
17.04 19.19
17 19.22
16.76 19.08
16.55 19.05
16.53 18.99
16.2 18.96
16.64 19.01
16.79 19.04
17.09 19.06
17.61 19.03
17.64 19.12
17.83 19.03
17.9 19.03
17.78 19.1
12/31/07 17.72 19.11
17.95 19.16
18.16 19.15
17.74 19.05
17.48 19.07
17.12 19.03
17.49 19.06
17.59 19.04
17.43 18.88
17.64 18.95
17.67 18.93
17.73 18.87
17.7 18.77
17.63 18.79
17.16 18.81
17.49 18.9
17.75 18.81
17.67 18.78
17.66 18.84
17.7 18.8
17.68 18.75
17.7 18.74
17.83 18.83
17.69 18.79
17.69 18.72
17.69 18.58
17.82 18.49
18.02 18.49
18.14 18.45
18.25 18.37
17.76 18.23
17.07 18.12
17.3 18.15
17.23 18.19
17.33 18.08
17.02 18.13
17.05 18.16
17.09 18.15
17.06 18.2
17.24 18.19
17.29 18.21
17.27 18.18
17.64 18.14
17.69 18.13
17.68 17.91
17.25 17.7
16.92 17.68
17.07 17.56
17 17.58
16.76 17.43
16.44 17.41
16.6 17.35
16.11 17.21
16.05 17.34
15.91 17.35
15.85 17.42
16.08 17.42
16.05 17.39
16.1 17.38
15.9 17.36
15.87 17.37
16.1 17.4
16.52 17.48
16.37 17.43
16.43 17.44
16.59 17.5
16.69 17.54
16.4 17.54
16.26 17.58
16.38 17.59
16.19 17.42
16.09 17.37
16.02 17.34
16.25 17.31
16.17 17.28
16.14 17.35
16.04 17.44
16.03 17.42
16.3 17.46
16.3 17.42
16.5 17.4
16.66 17.45
16.73 17.49
16.6 17.55
16.82 17.64
16.84 17.65
16.63 17.66
17 17.66
16.89 17.63
16.96 17.68
16.95 17.7
16.9 17.76
16.67 17.52
16.58 17.51
16.6 17.59
16.77 17.64
16.73 17.69
16.78 17.69
16.65 17.62
16.86 17.54
16.67 17.51
16.74 17.48
16.85 17.44
16.52 17.47
5/31/08 16.78 17.51
MONTHLY DIVIDENDS PER SHARE
--------------------------------------------------------
Bar chart:
SEP 0.142
OCT 0.142
NOV 0.142
DEC 0.142
JAN 08 0.154
FEB 0.154
MAR 0.154
APR 0.154
MAY 0.154
PORTFOLIO COMPOSITION (% of Total Investments)
--------------------------------------------------------
ASSET CLASS
-----------
Pie chart:
Asset Backed Securities 20.6%
Corporate Bonds 20.1%
Collateralized Mortgage Obligations 16.5%
Term Loans 15.2%
U.S. Government & Agency Securities* 14.9%
Exchange-Traded Funds 9.0%
Preferred Stock 2.9%
Other Short-Term Investments 0.6%
Common Stock 0.2%
*Includes Short-term investments
CREDIT QUALITY*
--------------------------------------------------------
AAA (Includes U.S. Government Obligations) 28.1%
AA 9.2%
A 11.8%
BBB 9.8%
BB 11.3%
B 9.8%
CCC 0.2%
NR 6.0%
Common Stock/Other 13.8%
*Represents higher of either S&P, Moody's or Fitch as a percentage of long term
investments
12 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Portfolio of Investments|May 31, 2008
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
----------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 127.9%
CORPORATE BONDS - 29.6%
AIRLINES - 2.0%
$1,535,186 America West Airlines, Inc., Ser. 01-1, AAA, Aaa
7.10%, 4/2/21, Pass Thru Certificates (a) N/A $ 1,449,338
972,839 Delta Air Lines, Inc., A-, Baa1
6.82%, 8/10/22, Pass Thru Certificates (a) N/A 840,047
979,364 Northwest Airlines Corp., Ser. 992A, A, NR
7.575%, 3/1/19, Pass Thru Certificates (a) N/A 949,983
----------------------------------------------------------------------------------------------------
3,239,368
----------------------------------------------------------------------------------------------------
AUTO PARTS & EQUIPMENT - 0.2%
500,000 Keystone Automotive Operations, Inc., CCC, Caa2
9.75%, 11/1/13, Company Guarantee Notes 11/01/08 @ 104.88 317,500
----------------------------------------------------------------------------------------------------
BANKS - 9.8%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.30%, 10/31/49, Subordinated Notes (a) (b) 12/15/08 @ 100.00 879,390
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 1,001,837
1,200,000 BNP Paribas, AA-, Aa3
7.195%, 6/29/49, Junior Subordinated Notes
(France) (a) (b) (c) 6/25/37 @ 100.00 1,104,462
1,000,000 CoBank, ACB, A, NR
7.875%, 4/16/18, Subordinated Notes (a) (b) N/A 1,032,691
1,000,000 Credit Agricole SA, A, Aa3
6.64%, 5/29/49, Junior Subordinated Notes
(France) (a) (b) (c) 5/31/17 @ 100.00 821,790
1,000,000 Fifth Third Bancorp, A, A1
8.25%, 3/1/38, Subordinated Notes (a) N/A 1,030,345
1,000,000 KeyBank NA, Ser. BKNT, A-, A2
7.41%, 5/6/15, Subordinated Notes (a) N/A 998,065
1,000,000 KeyCorp Capital III, BBB, A3
7.75%, 7/15/29, Bank Guarantee Notes (a) N/A 955,331
1,200,000 Lloyds TSB Group PLC, A, Aa3
6.27%, 11/29/49, Senior Unsecured Notes
(United Kingdom) (a) (b) (c) 11/14/16 @ 100.00 990,434
1,250,000 Mellon Capital IV, Ser. 1, A-, A2
6.24%, 6/29/49, Company Guarantee Notes (a) (c) 6/20/12 @ 100.00 1,029,676
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.38%, 1/29/49, Notes (a) (b) (c) 10/15/17 @ 100.00 865,487
700,000 PNC Preferred Funding Trust I, A-, A3
8.70%, 2/28/49, Senior Unsecured Notes (a) (b) (c) 3/15/13 @ 100.00 670,012
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 1,315,271
1,250,000 State Street Capital Trust IV, A, A1
3.80%, 6/15/37, Company Guarantee Notes (a) (d) 6/15/12 @ 100.00 960,509
1,250,000 US AgBank FCB, NR, NR
6.11%, 4/29/49, Notes (a) (b) (c) 7/10/12 @ 100.00 906,750
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
----------------------------------------------------------------------------------------------------
$1,000,000 Wells Fargo Capital XIII, Ser. GMTN, AA-, Aa3
7.70%, 12/29/49, Notes (a) (c) 3/26/13 @ 100.00 $ 1,002,298
----------------------------------------------------------------------------------------------------
15,564,348
----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 10.7%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.35%, 10/1/15, Secured Notes (b) N/A 953,910
1,200,000 Blue Fin Ltd., BB+, NR
7.13%, 4/10/12, Notes (b) (d) 4/8/10 @ 101.00 1,186,800
1,100,000 CAT-Mex Ltd., Ser. A, BB, NR
5.035%, 5/19/09, Secured Notes (Cayman Islands) (b) (d) N/A 1,089,330
500,000 Discover Financial Services, BBB-, Baa3
6.45%, 6/12/17, Senior Unsecured Notes (a) N/A 434,828
500,000 GlobeCat Ltd., Ser. CAQ, NR, B1
8.69%, 1/2/13, Notes (Cayman Islands) (a) (b) (d) 12/21/11 @ 100.50 510,100
Hampton Roads PPV LLC, NR, Aaa (b)
1,000,000 6.07%, 12/15/41, Bonds N/A 914,380
1,000,000 6.17%, 6/15/53, Bonds N/A 894,170
500,000 Janus Capital Group, Inc., BBB-, Baa3
6.70%, 6/15/17, Senior Unsecured Notes (a) N/A 477,526
1,000,000 Longpoint Re Ltd., BB+, NR
8.05%, 5/8/10, Notes (Cayman Islands) (b) (d) N/A 1,002,800
850,000 Mangrove Re Ltd., NR, Ba2
7.65%, 6/5/09, Notes (Cayman Islands) (b) (d) N/A 852,304
2,000,000 Merna Reinsurance Ltd., Ser. B, NR, A2
4.45%, 7/7/10, Secured Notes (Bermuda) (a) (b) (d) N/A 1,898,200
2,097,786 Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1
7.15%, 10/15/13, Senior Secured Notes (Bermuda) (b) N/A 2,044,691
1,250,000 Mystic Re Ltd., Ser. A, BB+, NR
9.39%, 12/5/08, Notes (Cayman Islands) (b) (d) N/A 1,229,375
750,000 Redwood Capital X Ltd., Ser. D, NR, Ba3
7.36%, 1/9/09, Notes (Cayman Islands) (b) (d) 12/5/08 @ 100.00 752,100
1,000,000 Schwab Capital Trust I, BBB+, A3
7.50%, 11/15/37, Company Guarantee Notes (a) (c) 11/15/17 @ 100.00 911,130
2,000,000 Svensk Exportkredit AB, AA-, Aa3
6.375%, 10/29/49, Subordinated Notes
(Sweden) (a) (b) 12/27/08 @ 100.00 1,990,944
----------------------------------------------------------------------------------------------------
17,142,588
----------------------------------------------------------------------------------------------------
ELECTRIC - 0.9%
500,000 Pennsylvania Electric Co., BBB, Baa2
6.05%, 9/1/17, Senior Unsecured Notes (a) N/A 484,591
1,000,000 Wisconsin Energy Corp., BBB-, Baa1
6.25%, 5/15/67, Junior Subordinated Notes (a) (c) 5/15/17 @ 100.00 869,580
----------------------------------------------------------------------------------------------------
1,354,171
----------------------------------------------------------------------------------------------------
See notes to financial statements.
Annual Report | May 31, 2008 | 13
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Portfolio of Investments continued
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
----------------------------------------------------------------------------------------------------
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 $ 395,000
500,000 Indianapolis Downs LLC & Capital Corp., B, B3
11.00%, 11/1/12, Senior Secured Notes (b) 11/1/10 @ 105.50 460,000
----------------------------------------------------------------------------------------------------
855,000
----------------------------------------------------------------------------------------------------
INSURANCE - 4.1%
1,000,000 Allstate Corp. (The), A-, A2
6.50%, 5/15/57, Junior Subordinated
Debentures (a) (c) 5/15/37 @ 100.00 898,940
1,000,000 AXA SA, BBB+, Baa1
6.46%, 12/14/49, Subordinated Notes
(France) (a) (b) (c) 12/14/18 @ 100.00 809,322
1,000,000 Foundation Re Ltd., Ser. A, BB, NR
6.795%, 11/24/08, Notes (Cayman Islands) (b) (d) N/A 976,500
1,000,000 MetLife, Inc., BBB+, Baa1
6.40%, 12/15/36, Junior Subordinated Notes (a) 12/15/31 @ 100.00 878,953
625,000 Newton Re Ltd., BB+, NR
7.25%, 12/24/10, Bonds (Cayman Islands) (b) (d) N/A 628,250
1,250,000 Progressive Corp. (The), A-, A2
6.70%, 6/15/37, Junior Subordinated Notes (a) (c) 6/15/17 @ 100.00 1,103,817
1,000,000 Residential Reinsurance 2007 Ltd., Ser. CL2, B+, NR
13.33%, 6/7/10, Notes (Cayman Islands) (b) (d) N/A 1,010,300
250,000 Residential Reinsurance 2007 Ltd., BB, NR
9.40%, 6/6/11, Notes (Cayman Islands) (b) (d) N/A 249,870
----------------------------------------------------------------------------------------------------
6,555,952
----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.6%
1,000,000 HRPT Properties Trust, BBB, Baa2
6.65%, 1/15/18, Senior Unsecured Notes (a) 7/15/17 @ 100.00 939,367
----------------------------------------------------------------------------------------------------
RETAIL - 0.8%
1,000,000 AutoNation, Inc., BB+, Ba2
4.71%, 4/15/13, Company Guarantee Notes (d) 7/3/08 @ 103.00 883,750
500,000 Macys Retail Holdings, Inc., BBB-, Baa3
5.90%, 12/1/16, Company Guarantee Notes (a) N/A 443,220
----------------------------------------------------------------------------------------------------
1,326,970
----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS - 29.6%
(Cost $50,375,501) 47,295,264
----------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES - 30.4%
1,966,284 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A,
AAA, Aaa (a) (b)
6.15%, 10/15/48 1,813,602
497,450 321 Henderson Receivables I LLC, Ser. 2008-1A, Class A, A
AA, Aaa (a) (b)
6.19%, 1/15/44 481,442
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class B,
AA, NR (a) (b)
8.37%, 1/15/46 480,170
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
$ 500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR (b)
9.36%, 1/15/48 $ 481,000
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB, NR (b)
10.81%, 1/15/50 482,260
2,051,077 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3 (d)
2.89%, 3/15/19 1,845,970
1,400,000 American Express Credit Account Master Trust, Ser. 2007-4, Class C,
BBB, Baa2 (a) (b) (d)
2.77%, 12/17/12 1,321,667
1,000,000 Applebee's Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aaa (a) (b)
6.43%, 12/20/37 944,570
1,380,000 BA Credit Card Trust, Ser. 2006-C4, Class C4, BBB, Baa2 (d)
2.74%, 11/15/11 1,340,684
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2
(Cayman Islands) (b) (d)
3.30%, 4/29/19 1,550,200
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C, A, A2
(Cayman Islands) (b) (d)
3.60%, 2/29/19 1,369,440
697,694 BNC Mortgage Loan Trust, Ser. 2007-4, Class A3A, AAA, NR (a) (d)
2.64%, 11/25/37 658,658
2,000,000 Callidus Debt Partners Fund Ltd., Ser. 6A, Class A1T, AAA, Aaa
(Cayman Islands) (a) (b) (d)
3.18%, 10/23/21 1,744,442
1,420,000 Citibank Credit Card Issuance Trust, Ser. 2006-C4, Class C4,
BBB, Baa2 (a) (d)
2.92%, 1/9/12 1,355,417
709,557 Citigroup Mortgage Loan Trust Inc., Ser. 2007-WFHI, Class A1,
AAA, Aaa (a) (d)
2.45%, 1/25/37 703,780
3,577,846 Countrywide Home Equity Loan Trust, Ser. 2004-S, Class 1A,
AAA, Aaa (d)
2.75%, 2/15/30 2,694,959
1,960,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, AAA, Aaa (a) (b)
5.26%, 4/25/37 1,661,630
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2, AAA, Aaa (a) (b)
5.78%, 6/20/31 2,697,210
1,000,000 Friedbergmilstein Private Capital Fund, Ser. 2004-1A, Class B2,
AA, Aa2 (Cayman Islands) (a) (b)
5.41%, 1/15/19 773,524
1,000,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-4, Class B,
AAA, A1 (d)
3.06%, 6/15/13 903,496
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3, Class B, A, Aa3 (a)
6.04%, 8/15/14 976,744
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2 (a) (b) (d)
3.12%, 6/5/12 1,610,240
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2 (a) (b)
5.14%, 3/20/37 1,827,340
See notes to financial statements.
14 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Portfolio of Investments continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES (continued)
$1,444,601 Lightpoint CLO Ltd., Ser. 2004-1A, Class X, A, A2 (Cayman
Islands) (a) (b) (d)
5.25%, 2/15/14 $ 1,361,059
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2 (Cayman
Islands) (a) (b) (d)
3.06%, 11/24/20 779,902
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR (Cayman
Islands) (b) (d)
17.64%, 11/25/12 1,921,620
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, A, A2 (Cayman
Islands) (b) (d)
3.85%, 9/22/16 1,594,420
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1 (Cayman Islands) (b) (d)
4.75%, 6/7/11 511,764
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1 (Cayman Islands) (b) (d)
4.16%, 12/26/11 463,140
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1 (Cayman Islands) (b) (d)
6.21%, 12/26/11 925,190
1,129,399 Structured Asset Securities Corp., Ser. 2007-BNC1, Class A2, AAA, NR (a) (d)
3.49%, 10/25/37 981,639
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2, Class C, BBB, Aaa (d)
4.51%, 10/15/12 915,790
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR (Cayman
Islands) (b) (d)
3.61%, 6/15/16 1,747,680
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR (Cayman
Islands) (b) (d)
4.66%, 6/15/16 1,490,120
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR (Cayman Islands) (b)
5.79%, 9/1/17 685,660
2,771,258 TCW Select Loan Fund Ltd., Inc., Ser. 1A, Class A1, AAA, Aaa
(Cayman Islands) (a) (b) (d)
3.17%, 10/10/13 2,648,658
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1,
AAA, Aaa (Cayman Islands) (b) (d)
3.00%, 11/21/40 1,820,620
1,000,000 Yapi Kredi DPR Finance Co., Ser. 2006-1, Class C, AA, Aa3 (Cayman
Islands) (d)
3.03%, 11/21/13 880,604
----------------------------------------------------------------------------------------------------
TOTAL ASSET BACKED SECURITIES - 30.4%
(Cost $52,331,809) 48,446,311
----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 24.3%
900,000 American Tower Trust, Ser. 2007-1A, Class AFX, AAA, Aaa (a) (b)
5.42%, 4/15/37 882,171
1,000,000 American Tower Trust, Ser. 2007-1A, Class B, AA, Aa2 (a) (b)
5.54%, 4/15/37 962,340
500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2, Class G,
A-, NR (b) (d)
5.48%, 3/11/41 462,595
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5, Class B,
AA+, Aa2 (a) (d)
5.06%, 11/10/41 909,459
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ,
AAA, Aaa (a) (d)
5.33%, 10/10/45 555,094
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10,
Class AJ, AAA, NR (a) (d)
5.62%, 12/11/40 1,411,452
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
$2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2005-CD1,
Class AJ, AAA, Aaa (a) (d)
5.40%, 7/15/44 $ 1,857,334
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-CN2A,
Class F, A, NR (a) (b) (d)
5.76%, 2/5/19 946,012
1,882,527 Countrywide Home Loan Mortgage Pass Through Trust,
Ser. 2005-HYB8, Class 4A1, AAA, Aaa (a) (d)
5.62%, 12/20/35 1,513,810
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3,
Class AM, AAA, Aaa (a) (d)
6.02%, 6/15/38 1,432,266
502,869 Credit Suisse Mortgage Capital Certificates, Ser. 2006-TF2A,
Class SHDA, A-, Aa1 (a) (b) (d)
3.11%, 7/15/19 479,384
1,000,000 CS First Boston Mortgage Securities Corp., Ser. 2001-SPGA,
Class A2, AAA, NR (a) (b) (d)
6.52%, 8/13/18 1,042,453
1,425,000 CS First Boston Mortgage Securities Corp., Ser. 2005-TFLA,
Class K, AA+, Aaa (a) (b) (d)
3.81%, 2/15/20 1,404,653
1,000,000 Fannie Mae REMICS, Ser. 2007-90, Class B, NR, NR (a)
6.00%, 9/25/37 982,579
1,225,000 Global Signal Trust, Ser. 2004-2A, Class D, NR, Baa2 (b)
5.09%, 12/15/14 1,173,036
2,022,584 Ginnie Mae, Ser. 2008-14, Class Z, NR, NR (a)
4.50%, 3/16/49 1,352,483
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3,
Class AJ, AAA, Aaa (a) (d)
4.86%, 8/10/42 1,831,616
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5,
Class AJ, AAA, Aaa (a) (d)
5.48%, 4/10/37 931,656
1,467,109 Impac Secured Assets CMN Owner Trust, Ser. 2007-3, Class A1A,
AAA, Aaa (d)
2.50%, 9/25/37 1,394,707
700,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2002-C1, Class E, A-, A2 (b)
6.14%, 7/12/37 684,653
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP3, Class AJ, AAA, Aaa (a) (d)
5.11%, 8/15/42 913,278
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR (a) (d)
5.07%, 8/13/42 1,836,530
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, AAA, NR (a)
5.37%, 12/15/43 1,140,103
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, AAA, NR (a) (d)
5.98%, 8/12/41 951,555
145,000 SBA CMBS Trust, Ser. 2005-1A, Class D, NR, Baa2 (b)
6.22%, 11/15/35 136,270
See notes to financial statements.
Annual Report | May 31, 2008 | 15
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Portfolio of Investments continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
$1,500,000 SBA CMBS Trust, Ser. 2005-1A, Class E, NR, Baa3 (b)
6.71%, 11/15/35 $ 1,416,990
2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4,
Class AJ, AAA, NR (a) (d)
6.09%, 8/15/39 1,736,958
2,000,000 Timberstar Trust, Ser. 2006-1A, Class A, AAA, Aaa (a) (b)
5.67%, 10/15/36 1,946,940
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2 (a) (b)
5.88%, 10/15/36 675,405
100,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2 (b)
6.21%, 10/15/36 85,219
2,027,316 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class A1, AAA, Aaa (a) (b) (d)
2.76%, 1/15/21 1,963,061
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class L, BB+, Baa2 (b) (d)
4.06%, 1/15/21 959,022
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20,
Class AJ, AAA, Aaa (a) (d)
5.32%, 7/15/42 1,853,134
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21,
Class AJ, AAA, Aaa (a) (d)
5.38%, 10/15/44 928,593
----------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 24.3%
(Cost $38,707,295) 38,752,811
----------------------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
----------------------------------------------------------------------------------------------------
COMMON STOCK - 0.3%
AIRLINES - 0.3%
110,000 US Airways Group, Inc. (e) (f) 435,600
----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK - 0.3%
(Cost $1,409,100) 435,600
----------------------------------------------------------------------------------------------------
PREFERRED STOCK - 4.2%
BANKS - 0.7%
50,000 Santander Finance Preferred SA Unipersonal, 6.50% (Spain) (a) 1,063,500
----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 1.2%
50,000 Deutsche Bank Contingent Capital Trust II, 6.55% (a) 1,131,500
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.95% 864,800
----------------------------------------------------------------------------------------------------
1,996,300
----------------------------------------------------------------------------------------------------
INSURANCE - 0.9%
20,000 Aegon NV, 6.375% (Netherlands) (a) 413,800
3,800 ING Groep NV, 7.05% (Netherlands) 91,124
40,000 Torchmark Capital Trust III, 7.10% (a) 987,200
----------------------------------------------------------------------------------------------------
1,492,124
----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.8%
50,000 Public Storage, Ser. K, 7.25% (a) 1,210,000
----------------------------------------------------------------------------------------------------
NUMBER
OF SHARES DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 0.6%
1,000 Centaur Funding Corp., 9.08% (Cayman Islands) (a) (b) $ 977,188
----------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK - 4.2%
(Cost $7,038,813) 6,739,112
----------------------------------------------------------------------------------------------------
EXCHANGE-TRADED FUNDS - 13.2%
23,500 Consumer Discretionary Select Sector SPDR Fund (a) (e) 759,285
28,500 Consumer Staples Select Sector SPDR Fund (a) (e) 809,400
12,500 Energy Select Sector SPDR Fund (a) (e) 1,075,000
50,000 Financial Select Sector SPDR Fund (a) (e) 1,238,000
27,500 Health Care Select Sector SPDR Fund (a) (e) 882,200
24,000 Industrial Select Sector SPDR Fund (a) (e) 932,160
31,000 Technology Select Sector SPDR Fund (a) (e) 785,850
43,500 Ultra QQQ ProShares (a) (e) 3,936,750
144,000 Ultra S&P500 ProShares (a) (e) 10,637,280
----------------------------------------------------------------------------------------------------
TOTAL EXCHANGE-TRADED FUNDS - 13.2%
(Cost $21,797,665) 21,055,925
----------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 3.8%
$1,085,000 Federal Home Loan Bank System, Ser. HH19, AAA, Aaa
7.00%, 6/18/19, Bonds (a) (d) $ 1,052,559
500,000 Federal Home Loan Bank System, AAA, Aaa
7.00%, 7/7/20, Bonds (a) (d) 465,400
310,000 Freddie Mac, Ser. MTN, AAA, Aaa
5.25%, 5/29/18, Notes (a) 309,318
4,200,000 Freddie Mac, AAA, Aaa
6.00%, 6/15/17 to 4/29/22, Notes (a) 4,256,875
----------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 3.8%
(Cost $6,000,180) 6,084,152
----------------------------------------------------------------------------------------------------
TERM LOANS - 22.1%
AEROSPACE AND DEFENSE - 1.1%
1,479,583 Colt Defense
5.63%, 7/9/14, NR, B1 (d) 1,368,615
496,250 Total Safety Series C
5.82%, 12/8/12, B, B2 (d) 468,956
----------------------------------------------------------------------------------------------------
1,837,571
----------------------------------------------------------------------------------------------------
Automobile - 1.4%
992,500 Adesa, Inc.
4.95%, 9/22/13, NR, Ba3 (d) 924,266
1,437,620 Harbor Freight Tools
4.64%, 7/12/13, NR, B1 (d) 1,250,729
----------------------------------------------------------------------------------------------------
2,174,995
----------------------------------------------------------------------------------------------------
See notes to financial statements.
16 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Portfolio of Investments continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS - 0.6%
$ 992,485 Navisite, Inc.
8.65%, 9/19/14, B-, B3 (d) $ 903,161
----------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE SERVICE - 2.3%
953,778 Billing Services Group
7.00%, 12/28/14, NR, B1 (d) 939,471
995,000 Compucom Systems
5.89%, 8/13/14, BB, Ba2 (d) 895,500
1,492,500 First Data Corp.
5.17%, 9/24/14, BB-, Ba3 (d) 1,388,195
496,250 Terremark Worldwide, Inc.
6.45%, 7/30/14, B, NR (d) 473,919
----------------------------------------------------------------------------------------------------
3,697,085
----------------------------------------------------------------------------------------------------
ELECTRONICS - 2.8%
995,338 Caritor, Inc.
4.64%, 6/4/13, BB-, B1 (d) 742,771
500,000 Clientlogic Corp.
5.16%, 1/30/14, B+, B2 (d) 405,000
1,246,843 Freescale Semiconductor, Inc.
4.58%, 11/29/13, BB, Baa3 (d) 1,125,134
1,492,500 GXS Corp.
7.02%, 10/18/14, B+, Ba3 (d) 1,453,322
917,241 Network Solutions LLC
5.13%, 9/26/14, B, B1 (d) 775,069
----------------------------------------------------------------------------------------------------
4,501,296
----------------------------------------------------------------------------------------------------
FOOD & BEVERAGES - 0.9%
90,245 OSI Restaurant Partners, Revolver
2.67%, 8/29/14, BB-, B1 (d) 78,084
1,114,265 OSI Restaurant Partners
5.00%, 6/14/14, BB-, B1 (d) 964,118
500,000 Panda Restaurant
6.60%, 8/23/17, NR, NR (d) 467,275
----------------------------------------------------------------------------------------------------
1,509,477
----------------------------------------------------------------------------------------------------
GAMING - 1.0%
410,285 Cannery Casino Resorts LLC
4.95%, 9/18/14, BB-, B2 (d) 396,438
147,638 Cannery Casino Resorts LLC, Revolver
5.24%, 9/18/14, BB-, B2 (d) 142,655
1,000,000 PITG Gaming
11.00%, 6/13/08, NR, B3 (d) 970,000
----------------------------------------------------------------------------------------------------
1,509,093
----------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
HEALTHCARE, EDUCATION & CHILDCARE - 3.4%
$ 882,218 Aurora Diagnostics LLC
7.00%, 12/10/12, NR, B3 (d) $ 873,396
468,664 Compsych
5.41%, 7/31/14, B, B2 (d) 440,544
997,487 Embanet
5.46%, 6/28/12, B, B2 (d) 922,676
1,496,250 PRA International
8.08%, 11/16/14, BB-, B1 (d) 1,413,956
940,671 Renal Advantage, Inc.
5.26%, 9/11/14, BB-, B1 (d) 884,230
995,000 TUI University LLC
6.02%, 7/2/14, B-, B2 (d) 895,500
----------------------------------------------------------------------------------------------------
5,430,302
----------------------------------------------------------------------------------------------------
HOME & OFFICE FURNISHINGS - 0.6%
1,030,702 Centaur LLC
6.70%, 11/9/14, BB-, B1 (d) 891,557
----------------------------------------------------------------------------------------------------
INSURANCE - 0.3%
479,371 QTC Management
4.64%, 11/10/12, B+, B2 (d) 409,862
----------------------------------------------------------------------------------------------------
LEISURE - 0.9%
1,492,500 Bushnell Performance Optics
6.45%, 8/24/13, BB-, Ba3 (d) 1,388,025
----------------------------------------------------------------------------------------------------
OIL & GAS - 0.8%
1,324,267 Calumet Lubricants Co.
6.66%, 12/28/14, NR, B1 (d) 1,181,909
172,414 Calumet Lubricants Co., Credit Link Deposit Facility
6.66%, 12/28/14, NR, B1 (d) 153,879
----------------------------------------------------------------------------------------------------
1,335,788
----------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.9%
992,500 Advanstar Communications
4.92%, 9/20/14, B+, B1 (d) 794,000
746,222 Idearc, Inc.
4.69%, 11/17/14, BBB-, Ba2 (d) 622,722
----------------------------------------------------------------------------------------------------
1,416,722
----------------------------------------------------------------------------------------------------
RETAIL STORES - 4.5%
1,492,462 David's Bridal, Inc.
4.70%, 1/31/14, B, B2 (d) 1,309,636
1,243,750 Deb Shops, Inc.
5.65%, 4/23/14, BB-, Ba3 (d) 1,119,375
1,500,000 Dollar General
5.65%, 7/6/14, B+, B2 (d) 1,390,833
1,000,000 Guitar Center
5.90%, 10/9/13, B-, B2 (d) 895,000
See notes to financial statements.
Annual Report | May 31, 2008 | 17
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
Portfolio of Investments continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
----------------------------------------------------------------------------------------------------
RETAIL STORES (continued)
$ 892,500 HH Gregg Appliances, Inc.
4.92%, 9/12/14, B+, B2 (d) $ 816,638
992,500 Mattress Firm
5.15%, 10/23/14, B, Ba3 (d) 719,563
1,000,000 QVC, Inc.
3.39%, 3/3/11, NR, NR (d) 970,000
----------------------------------------------------------------------------------------------------
7,221,045
----------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.6%
995,000 Carey International, Inc.
8.25%, 10/29/14, B, B1 (d) 995,000
----------------------------------------------------------------------------------------------------
TOTAL TERM LOANS - 22.1%
(Cost $37,248,649) 35,220,979
----------------------------------------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS - 127.9%
(Cost $214,909,012) 204,030,154
----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 19.0%
U.S. GOVERNMENT AGENCY SECURITIES - 18.1%
28,920,000 Federal Home Loan Bank Discount Notes, NR, NR
1.44% to 1.98%, 6/2/08 to 6/9/08, Discount Notes
(Cost $28,912,366) 28,914,261
----------------------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
----------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS - 0.9%
1,380,586 AIM Government & Agency Money Market
(Cost $1,380,586) 1,380,586
----------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS - 19.0%
(Cost $30,292,952) 30,294,847
----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS - 146.9%
(Cost $245,201,964) 234,325,001
Other Assets in excess of Liabilities - 1.0% 1,514,143
Total Options Written - (0.2%) (313,837)
Reverse Repurchase Agreements - (47.7%) (76,016,239)
----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $159,509,068
----------------------------------------------------------------------------------------------------
AB - Stock Company
ACB - America's Cooperative Bank
CBO - Collateralized Bond Obligation
CDO - Collateralized Debt Obligation
CLO - Collateralized Loan Obligation
CMBS - Commercial Mortgage-Backed Security
FCB - Farmers Credit Bureau
LLC - Limited Liability Company
Ltd. - Limited
NA - National Association
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 segregated in connection with
swap agreements, options and reverse repurchase agreements. As of May 31,
2008, the total amount segregated in connection with reverse repurchase
agreements was $96,648,456.
(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 May 31, 2008,
these securities amounted to 49.2% 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.
Ratings shown are per Standard & Poor's and Moody's. Securities classified as NR
are not rated.
Securities are classified by sectors that represent broad groupings of related
industries.
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) COVERED CALL OPTIONS WRITTEN (F) DATE PRICE VALUE
-------------------------------------------------------------------------------------------------
235 Consumer Discretionary Select Sector
SPDR Fund June 2008 $34.00 $ 2,350
285 Consumer Staples Select Sector SPDR Fund June 2008 29.00 2,850
125 Energy Select Sector SPDR Fund June 2008 89.00 13,500
500 Financial Select Sector SPDR Fund June 2008 27.00 5,750
275 Health Care Select Sector SPDR Fund June 2008 32.00 12,375
240 Industrial Select Sector SPDR Fund June 2008 40.00 4,200
310 Technology Select Sector SPDR Fund June 2008 26.00 4,650
435 Ultra QQQ ProShares June 2008 91.00 134,850
1,440 Ultra S&P500 ProShares June 2008 77.00 133,200
1,100 US Airways Group, Inc. June 2008 10.00 112
-------------------------------------------------------------------------------------------------
TOTAL COVERED CALL OPTIONS WRITTEN
(Premiums received $888,256) $ 313,837
-------------------------------------------------------------------------------------------------
See notes to financial statements.
18 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of Assets and Liabilities|May 31, 2008
ASSETS
Investments in securities, at value (cost $245,201,964) $234,325,001
Investments sold receivable 2,615,900
Interest receivable 1,642,875
Unrealized appreciation on swaps 211,974
Dividends receivable 25,946
Other assets 547,412
--------------------------------------------------------------------------------------------------------------
Total assets 239,369,108
--------------------------------------------------------------------------------------------------------------
LIABILITIES
Reverse repurchase agreements 76,016,239
Payable for securities purchased 1,974,063
Options written at value (premiums received of $888,256) 313,837
Due to custodian 23,536
Unrealized depreciation on swaps 845,060
Advisory fee payable 198,212
Interest due on borrowings 298,077
Unrealized depreciation on unfunded commitments 23,362
Administration fee payable 5,235
Accrued expenses and other liabilities 162,419
--------------------------------------------------------------------------------------------------------------
Total liabilities 79,860,040
--------------------------------------------------------------------------------------------------------------
NET ASSETS $159,509,068
==============================================================================================================
COMPOSITION OF NET ASSETS
Common stock, $.01 par value per share; unlimited number of shares authorized, 9,105,240
shares issued and outstanding $ 91,052
Additional paid-in capital 170,195,934
Accumulated net realized loss on investments, options and swaps (37,805)
Net unrealized depreciation on investments, options and swaps (10,958,992)
Accumulated undistributed net investment income 218,879
--------------------------------------------------------------------------------------------------------------
NET ASSETS $159,509,068
==============================================================================================================
NET ASSET VALUE (based on 9,105,240 common shares outstanding) $ 17.52
==============================================================================================================
See notes to financial statements.
Annual Report | May 31, 2008 | 19
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of Operations | For the period July 27, 2007* through May 31, 2008
INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $1,446) $ 918,256
Interest 11,080,450
---------------------------------------------------------------------------------------------------------------
Total income $ 11,998,706
---------------------------------------------------------------------------------------------------------------
EXPENSES
Investment advisory fee 1,966,137
Professional fees 115,989
Fund accounting fee 99,122
Printing expense 60,749
Trustees' fees and expenses 52,527
Administration fee 51,770
Custodian fee 40,816
Miscellaneous 18,780
NYSE listing fee 18,000
Transfer agent fee 15,290
Insurance 3,012
Interest expense on borrowings 2,335,032
---------------------------------------------------------------------------------------------------------------
Total expenses 4,777,224
---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,221,482
---------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments (4,611,847)
Options 6,783,371
Swaps (288,219)
Net change in unrealized appreciation (depreciation) on:
Investments (10,876,963)
Options 574,419
Swaps (633,086)
Unfunded commitments (23,362)
---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS, OPTIONS AND SWAP TRANSACTIONS (9,075,687)
---------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (1,854,205)
===============================================================================================================
* Commencement of investment operations.
See notes to financial statements.
20 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of Changes in Net Assets | For the period July 27, 2007*
through May 31, 2008
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 7,221,482
Net realized gain on investments, options and swaps 1,883,305
Net change in unrealized depreciation on investments, options, swaps and
unfunded commitments (10,958,992)
--------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from operations (1,854,205)
--------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income (8,923,713)
Return of capital (3,259,098)
--------------------------------------------------------------------------------------------------------------
Total distribution (12,182,811)
--------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from the issuance of common shares 173,810,000
Common share offering costs charged to paid-in capital (364,000)
--------------------------------------------------------------------------------------------------------------
Net increase from capital share transactions 173,446,000
--------------------------------------------------------------------------------------------------------------
Total increase in net assets 159,408,984
NET ASSETS
Beginning of period 100,084
--------------------------------------------------------------------------------------------------------------
End of period (including accumulated undistributed net investment income $218,879) $159,509,068
==============================================================================================================
* Commencement of investment operations.
See notes to financial statements.
Annual Report | May 31, 2008 | 21
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of Cash Flows | For the period July 27, 2007* through May 31, 2008
CASH FLOWS FROM OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations $ (1,854,205)
--------------------------------------------------------------------------------------------------------------
ADJUSTMENTS TO RECONCILE NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH
USED IN OPERATING AND INVESTING ACTIVITIES:
Net unrealized depreciation on investments 10,876,963
Net unrealized appreciation on options (574,419)
Net unrealized depreciation on swaps 633,086
Net unrealized depreciation on unfunded commitments 23,362
Net accretion of bond discount and amortization of bond premium (485,303)
Net realized gain on investments and options (2,171,524)
Purchase of long-term investments (including options exercised) (689,953,444)
Proceeds from sale of long-term investments 464,840,352
Net change in short-term investments (30,294,847)
Increase in dividends receivable (25,946)
Increase in interest receivable (1,642,875)
Increase in receivable for investments sold (2,615,900)
Increase in other assets (547,412)
Increase in payable for securities purchased 1,974,063
Due to custodian 23,536
Increase in interest due on borrowings 298,077
Premiums received on call options written 13,751,058
Increase in advisory fee payable 198,212
Increase in administration fee payable 5,235
Increase in accrued expenses and other liabilities 162,419
--------------------------------------------------------------------------------------------------------------
Net Cash Used in Operating and Investing Activities (237,379,512)
--------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Net proceeds from the issuance of common shares 173,810,000
Distributions paid to common shareholders (12,182,811)
Net short-term borrowings on reverse repurchase agreements 76,016,239
Offering expenses in connection with the issuance of common shares (364,000)
--------------------------------------------------------------------------------------------------------------
Net Cash Provided by Financing Activities 237,279,428
--------------------------------------------------------------------------------------------------------------
Net decrease in cash (100,084)
CASH AT BEGINNING OF PERIOD 100,084
--------------------------------------------------------------------------------------------------------------
CASH AT END OF PERIOD $ -
==============================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: CASH PAID DURING THE PERIOD FOR INTEREST $ 2,036,955
==============================================================================================================
* Commencement of investment operations.
See notes to financial statements.
22 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Financial Highlights|
FOR THE PERIOD
JULY 27, 2007*
PER SHARE OPERATING PERFORMANCE THROUGH
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD MAY 31, 2008
------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 19.10(b)
------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a) 0.79
Net realized and unrealized gain (loss) on investments, options and swap transactions (0.99)
------------------------------------------------------------------------------------------------------------------------
Total from investment operations (0.20)
------------------------------------------------------------------------------------------------------------------------
COMMON SHARE OFFERING EXPENSES CHARGED TO PAID-IN-CAPITAL (0.04)
------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income (0.98)
Return of capital (0.36)
------------------------------------------------------------------------------------------------------------------------
Total distributions (1.34)
------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.52
========================================================================================================================
MARKET VALUE, END OF PERIOD $ 16.78
========================================================================================================================
TOTAL INVESTMENT RETURN (c)
Net asset value -1.40%
Market value -9.41%
RATIOS AND SUPPLEMENTAL DATA
Net assets, applicable to common shareholders, end of period (thousands) $ 159,509
Ratios to Average Net Assets applicable to Common Shares:
Total expenses, excluding interest expense 1.72%(d)(g)
Total expenses, including interest expense 3.36%(d)(g)
Net investment income, including interest expense 5.08%(d)
Ratios to Average Managed Assets: (e)
Total expenses, excluding interest expense 1.24%(d)(g)
Total expenses, including interest expense 2.43%(d)(g)
Net investment income, including interest expense 3.67%(d)
Portfolio turnover 210%
Senior Indebtedness
Total Borrowings outstanding (in thousands) $ 76,016
Asset coverage per $1,000 of indebtedness (f) $ 3,098
------------------------------------------------------------------------------------------------------------------------
* Commencement of operations.
(a) Based on average shares outstanding during the period.
(b) Before deduction of offering expenses charged to capital.
(c) Total investment return is calculated assuming a purchase of a common share
at the beginning of the period and a sale on the last day of the period
reported either at net asset value ("NAV") or market price per share.
Dividends and distributions are assumed to be reinvested at NAV for NAV
returns or the prices obtained under the Fund's Dividend Reinvestment Plan
for market value returns. Total investment return does not reflect
brokerage commissions. A return calculated for a period of less than one
year is not annualized.
(d) Annualized.
(e) Managed assets is equal to net assets applicable to common shareholders
plus average outstanding leverage.
(f) Calculated by subtracting the Fund's total liabilities (not including the
borrowings) from the Fund's total assets and dividing by the total
borrowings.
(g) The ratios of total expenses to average net assets applicable to common
shares and to average managed assets do not reflect fees and expenses
incurred indirectly by the Fund as a result of its investment in shares of
other investment companies. If these fees were included in the expense
ratios, the net impact to the expense ratios would be 0.04% and 0.03%,
respectively.
See notes to financial statements.
Annual Report | May 31, 2008 | 23
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Notes to Financial Statements | May 31, 2008
Note 1 - ORGANIZATION:
Claymore/Guggenheim Strategic Opportunities Fund (the "Fund") was organized as a
Delaware statutory trust on November 13, 2006. The fund is registered as a
diversified, closed-end management investment company under the Investment
Company Act of 1940, as amended ("1940 Act").
The Fund's primary investment objective is to maximize total return through a
combination of current income and capital appreciation.
Note 2 - ACCOUNTING POLICIES:
The preparation of the financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from these estimates.
The following is a summary of significant accounting policies followed by the
Fund.
(a) VALUATION OF INVESTMENTS
The Fund values equity securities at the last reported sale price on the
principal exchange or in the principal Over-the-Counter ("OTC") market in which
such securities are traded, as of the close of regular trading on the New York
Stock Exchange ("NYSE") on the day the securities are being valued or, if there
are no sales, at the mean between the last available bid and asked prices on
that day. Securities traded on the NASDAQ are valued at the NASDAQ Official
Closing Price. Preferred stocks are valued at their sales price as of the close
of the exchange on which they are traded. Preferred stocks for which the last
sales price is not available are valued at the last available bid price. Debt
securities, including term loans, are valued at the last available bid price for
such securities or, if such prices are not available, at prices for securities
of comparable maturity, quality and type. Foreign securities are valued based on
prices translated from the local currency into U.S. dollars using the current
exchange rate. The Fund's securities that are primarily traded in foreign
markets may be traded in such markets on days that the NYSE is closed. As a
result, the net asset value of the Fund may be significantly affected on days
when holders of common shares have no ability to trade common shares on the
NYSE. Investment Companies are valued at the last available closing price. The
Fund values exchange-traded options and other derivative contracts at the mean
of the best bid and asked prices at the close on those exchanges on which they
are traded. For those securities where quotations or prices are not available,
valuations are determined in accordance with procedures established in good
faith by the Board of Trustees. Short-term securities with remaining maturities
of 60 days or less are valued at amortized cost, which approximates market
value.
(b) INVESTMENT TRANSACTIONS AND INVESTMENT INCOME
Investment transactions are accounted for on the trade date. Realized gains and
losses on investments are determined on the identified cost basis. Dividend
income is recorded net of applicable withholding taxes on the ex-dividend date
and interest income is recorded on an accrual basis. Discounts or premiums on
debt securities purchased are accreted or amortized to interest income over the
lives of the respective securities using the effective interest method.
(c) SWAPS
A swap is an agreement to exchange the return generated by one instrument for
the return generated by another instrument. The Fund may enter into swap
agreements to manage its exposure to interest rates and/or credit risk or to
generate income. Interest rate swap agreements involve the exchange by the Fund
with another party of their respective commitments to pay or receive interest.
The swaps are valued daily at current market value and any unrealized gain or
loss is included in the Statement of Assets and Liabilities. Gain or loss is
realized on the termination date of the swap and is equal to the difference
between the Fund's basis in the swap and the proceeds of the closing
transaction, including any fees. During the period that the swap agreement is
open, the Fund may be subject to risk from the potential inability of the
counterparty to meet the terms of the agreement. The swaps involve elements of
both market and credit risk in excess of the amounts reflected on the Statement
of Assets and Liabilities.
Credit default swap transactions involve the Fund's agreement to exchange the
credit risk of an issuer. A buyer of a credit default swap is said to buy
protection by paying periodic fees in return for a contingent payment from the
seller if the issuer has a credit event such as bankruptcy, a failure to pay
outstanding obligations or deteriorating credit while the swap is outstanding. A
seller of a credit default swap is said to sell protection and thus collects the
periodic fees and profits if the credit of the issuer remains stable or improves
while the swap is outstanding but the seller in a credit default swap contract
would be required to pay an agreed-upon amount, which approximates the notional
amount of the swap as disclosed in Note 5, to the buyer in the event of an
adverse credit event of the issuer.
Realized gain (loss) upon termination of swap contracts is recorded on the
Statement of Operations. Fluctuations in the value of swap contracts are
recorded as a component of net change in unrealized appreciation (depreciation)
of swap contracts.Net periodic payments received by the Fund are included as
part of realized gains (losses) and, in the case of accruals for periodic
payments, are included as part of unrealized appreciation (depreciation) on the
Statement of Operations.
(d) COVERED CALL OPTIONS
The Fund will pursue its primary objective by employing an option strategy of
writing (selling) covered call options on common stocks. The Fund seeks to
generate current gains from option premiums as a means to enhance distributions
payable to the Fund's common shareholders. An option on a security is a contract
that gives the holder of the option, in return for a premium, the right to buy
from (in the case of a call) or sell to (in the case of a put) the writer of the
option the security underlying the option at a specified exercise or "strike"
price. The writer of an option on a security has an obligation upon exercise of
the option to deliver the underlying security upon payment of the exercise price
(in the case of a call) or to pay the exercise price upon delivery of the
underlying security (in the case of a put). There are several risks associated
with transactions in options on securities. As the writer of a covered call
option, the Fund forgoes, during the option's life, the opportunity to profit
from increases in the market value of the security covering the call option
above the sum of the premium and the strike price of the call but has retained
the risk of loss should the price of the underlying security decline. The writer
of an option has no control over the time when it may be required to fill its
obligation as writer of the option. Once an option writer has received an
exercise notice, it cannot effect a closing purchase transaction in order to
terminate its obligation under the option and must deliver the underlying
security at the exercise price.
(e) DISTRIBUTIONS TO SHAREHOLDERS
The Fund declares and pays monthly dividends to common shareholders. These
dividends consist of investment company taxable income, which generally includes
qualified dividend income, ordinary income and short-term capital gains. Any net
realized long-term capital gains are distributed annually to common
shareholders.
Distributions to shareholders are recorded on the ex-dividend date. The amount
and timing of distributions are determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles.
Note 3 - INVESTMENT ADVISORY AGREEMENT,
SUB-ADVISORY AGREEMENT AND OTHER AGREEMENTS:
Pursuant to an Investment Advisory Agreement (the "Agreement") between the Fund
and Claymore Advisors, LLC ("the Adviser"), the Adviser will furnish offices,
necessary facilities and equipment, provide administrative services, oversee the
activities of Guggenheim Partners
24 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund | Notes to Financial
Statements continued
Asset Management, Inc. (the "Sub-Adviser"), provide personnel including certain
officers required for the Fund's administrative management and compensate all
officers and trustees of the Fund who are its affiliates. As compensation for
these services, the Fund will pay the Adviser a fee, payable monthly, in an
amount equal to 1.00% of the Fund's average managed assets (net assets
applicable to common shareholders plus any assets attributable to financial
leverage).
Pursuant to a Sub-Advisory Agreement (the "Sub-Advisory Agreement") between the
Fund, the Adviser and the Sub-Adviser, the Sub-Adviser under the supervision of
the Fund's Board of Trustees and the Adviser, provides a continuous investment
program for the Fund's portfolio; provides investment research, makes and
executes recommendations for the purchase and sale of securities; and provides
certain facilities and personnel, including certain officers required for its
administrative management and pays the compensation of all officers and trustees
of the Fund who are its affiliates. As compensation for its services, the
Adviser pays the Sub-Adviser a fee, payable monthly, in an annual amount equal
to 0.50% of the Fund's average daily managed assets.
Under a separate Fund Administration agreement, the Adviser provides fund
administration services to the Fund. As compensation for services performed
under the Administration Agreement, the Advisor receives a fund administration
fee payable monthly at the annual rate set forth below as a percentage of the
average daily managed assets of the Fund.
MANAGED ASSETS RATE
======================================================================
First $200,000,000 0.0275%
Next $300,000,000 0.0200%
Next $500,000,000 0.0150%
Over $1,000,000,000 0.0100%
For the period ended May 31, 2008 the Fund recognized expenses of approximately
$51,800 for these services.
The Bank of New York Mellon ("BNY") acts as the Fund's custodian, accounting
agent, and transfer agent. As custodian, BNY is responsible for the custody of
the Fund's assets. As accounting agent BNY is responsible for maintaining the
books and records of the Fund's securities and cash. As transfer agent, BNY is
responsible for performing transfer agency services for the Fund.
Certain officers and trustees of the Fund are also officers and directors of the
Adviser or the Sub-Adviser. The Fund does not compensate its officers or
trustees who are officers of the aforementioned firms.
Note 4 - FEDERAL INCOME TAXES:
The Fund intends to comply with the requirements of Subchapter M of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment companies.
Accordingly, no provision for U.S. federal income taxes is required. In
addition, by distributing substantially all of its ordinary income and long-term
capital gains, if any, during each calendar year, the Fund intends not to be
subject to U.S. federal excise tax.
At May 31, 2008 the following reclassification were made to the capital accounts
of the Fund to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations, which are primarily
due to the differences between book and tax treatment of investments in real
estate investment trusts and swaps. Net investment income, net realized gains
and net assets were not affected by these changes.
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME/(LOSS) GAIN/(LOSS) PAID IN CAPITAL
================================================================
$1,921,110 $(1,921,110) $0
----------------------------------------------------------------
Information on the components of investments, excluding written options, and net
assets as of May 31, 2008 is as follows:
COST OF NET TAX
INVESTMENTS GROSS TAX GROSS TAX UNREALIZED
FOR TAX UNREALIZED UNREALIZED DEPRECIATION
PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS
================================================================
$245,239,769 $1,455,192 $(12,369,960) $(10,914,768)
----------------------------------------------------------------
NET TAX
UNREALIZED
APPRECIATION/ UNDISTRIBUTED
(DEPRECIATION) ORDINARY
ON DERIVATIVES INCOME/
AND FOREIGN (ACCUMULATED
CURRENCY ORDINARY LOSS)
================================================================
$657,031 $(520,181)
----------------------------------------------------------------
The differences between book basis and tax basis unrealized
appreciation/(depreciation) is attributable to the tax deferral of losses on
wash sales and additional loss accrued for tax purposes on swaps.
For federal income tax purposes, as of May 31, 2008, the Fund has no capital
loss carryforward.
For the year ended May 31, 2008, the tax character of distributions paid to
common shareholders as reflected in the statement of changes in net assets was
as follows:
DISTRIBUTIONS FROM 2008
==================================================================
Ordinary Income $ 8,921,896
Capital Gain 1,817
Return of Capital 3,259,098
------------------------------------------------------------------
$12,182,811
==================================================================
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released
FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes"
("FIN48"). FIN48 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in financial statements. FIN 48
requires the evaluation of tax positions taken or expected to be taken in the
course of preparing the Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax positions not deemed to meet the more-likely-than-not threshold
would be recorded as a tax benefit or expenses in the current year. Management
has evaluated the implications of FIN 48 and has determined it does not have any
impact on the financial statements as of May 31, 2008. There is no tax liability
resulting from unrecognized tax benefits relating to uncertain income tax
positions taken or expected to be taken on the tax return for the period
year-end May 31, 2008. The Fund is also not aware of any tax positions for which
it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in twelve months.
FIN 48 requires the Fund to analyze all open tax years. Open tax years are those
years that are open for examination by the relevant income taxing authority. As
of May 31, 2008, open Federal and state income tax years include the tax year
ended May 31, 2008. The Fund has no examination in progress.
Note 5 - INVESTMENTS IN SECURITIES:
During the period ended May 31, 2008, the cost of purchases and proceeds from
sales of investments, excluding written options and short-term investments were
$683,874,013 and $464,840,352, respectively.
Annual Report | May 31, 2008 | 25
GOF | Claymore/Guggenheim Strategic Opportunities Fund | Notes to Financial
Statements continued
The Fund entered into swap agreements during the period ended May 31, 2008 to
potentially enhance return. Details of the swap agreements outstanding as of May
31, 2008 are as follows:
CREDIT DEFAULT SWAPS
PAY/
NOTIONAL RECEIVE UNREALIZED
REFERENCE BUY/SELL TERMINATION AMOUNT FIXED APPRECIATION/
COUNTERPARTY ENTITY PROTECTION DATE (000'S) RATE DEPRECIATION
=================================================================================================================================
Goldman Sachs* Bank of America Buy 06/20/13 $ 5,000 0.98% $ (52,313)
Goldman Sachs* Wells Fargo & Company Buy 06/20/13 $ 5,000 0.99 (56,425)
Goldman Sachs** Basket of 110 distinct
corporate entities Sell 09/21/1 4 $ 3,000 1.18 (630,322)
---------------------------------------------------------------------------------------------------------------------------------
$ (739,060)
=================================================================================================================================
INTEREST RATE SWAPS
PAY/
NOTIONAL RECEIVE UNREALIZED
TERMINATION AMOUNT FIXED APPRECIATION/
COUNTERPARTY FLOATING RATE DATE (000'S) RATE DEPRECIATION
------------------------------------------------------------------------------------------------------------
Goldman Sachs** 3 Month LIBOR 01/04/38 $ 10,000 5.86% $ 113,624
Goldman Sachs** 3 Month LIBOR 01/04/38$ 10,000 5.675 98,350
HSBC** 3 Month LIBOR 01/09/23 $ 5,000 7.70 (106,000)
------------------------------------------------------------------------------------------------------------
$ 105,974
============================================================================================================
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS: $ (633,086)
============================================================================================================
* For the swaps noted, the Fund pays the fixed rate and receives the floating
rate.
** For the swaps noted, the Fund pays the floating rate and receives the fixed
rate.
The market value of the swaps outstanding reflects the current receivable and
payable for the floating rate and fixed rate, which may have different payment
dates.
Transactions in option contracts during the period ended May 31, 2008 were as
follows:
NUMBER OF CONTRACTS PREMIUMS RECEIVED
==========================================================================================
Options outstanding, beginning of period - $ -
Options written during the period 95,008 13,751,058
Options expired during the period (33,004) (4,090,911)
Options closed during the period (29,022) (3,533,667)
Options assigned during the period (28,037) (5,238,224)
------------------------------------------------------------------------------------------
Options outstanding, end of period 4,945 $ 888,256
==========================================================================================
Note 6 - REVERSE REPURCHASE AGREEMENTS:
The Fund may enter into reverse repurchase agreements as part of its financial
leverage strategy. Under a reverse repurchase agreement, the Fund temporarily
transfers possession of a portfolio instrument to another party, such as a bank
or broker-dealer, in return for cash. At the same time, the Fund agrees to
repurchase the instrument at an agreed upon time (normally within seven days)
and price, which reflects an interest payment. Such agreements are considered to
be borrowings under the 1940 Act. The Fund may enter into such agreements when
it is able to invest the cash acquired at a rate higher than the cost of the
agreement, which would increase earned income. When the Fund enters into a
reverse repurchase agreement, any fluctuations in the market value of either the
instruments transferred to another party or the instruments in which the
proceeds may be invested would affect the market value of the Fund's assets. As
a result, such transactions may increase fluctuations in the market value of the
Fund's assets. The average daily balance during the period for which reverse
repurchase agreements were outstanding amounted to $64,191,212. The weighted
average interest rate was 4.38%. As of May 31, 2008, the total amount segregated
in connection with reverse repurchase agreements was $96,648,456. At the period
end, there was $76,016,239 in reverse repurchase agreements outstanding.
Note 7 - LOAN COMMITMENTS
Pursuant to the terms of certain of the Term Loan agreements, the Fund had
unfunded loan commitments of $470,895 as of May 31, 2008. The Fund intends to
reserve against such contingent obligations by designating cash, liquid
securities, and liquid term loans as a reserve. The unrealized depreciation on
these commitments of $23,362 as of May 31, 2008 is reported as "Unrealized
depreciation on unfunded commitments" on the Statement of Assets and
Liabilities.
At May 31, 2008, the Fund had the following unfunded loan commitments which
could be extended at the option of the borrower:
PRINCIPAL UNREALIZED
BORROWER AMOUNT APPRECIATION/(DEPRECIATION)
=========================================================================
Aurora Diagnostics, LLC $ 99,600 $ (268)
Cannery Casino Resorts 188,976 2,622
Centaur, LLC 219,298 (25,716)
-------------------------------------------------------------------------
$507,874 $(23,362)
=========================================================================
Note 8 - CAPITAL:
COMMON SHARES
In connection with its organization process, the Fund sold 5,240 shares of
beneficial interest to Claymore Securities, Inc., an affiliate of the Adviser,
for consideration of $100,084 at a price of $19.10 per share. The Fund has an
unlimited amount of common shares, $0.01 par value, authorized and 9,105,240
issued and outstanding. Of this amount, the Fund issued 9,100,000 shares of
common stock in its initial public offering. These shares were issued at $19.10
per share after deducting the sales load but before underwriters' expense
reimbursement.
Offering costs, estimated at $364,000 or $0.04 per share, in connection with the
issuance of common shares have been borne by the Fund and were charged to
paid-in capital. The Adviser and Sub-Advisor have agreed to pay offering costs
(other than sales load, but including reimbursement of expenses to the
underwriters) in excess of $0.04 per common share.
Note 9 - INDEMNIFICATIONS:
In the normal course of business, the Fund enters into contracts that contain a
variety of representations, which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would require
future claims that may be made against the Fund that have not yet occurred.
However, the Fund expects the risk of loss to be remote.
Note 10 - ACCOUNTING PRONOUNCEMENTS:
In September 2006, the FASB released Statement of Financial Accounting Standards
No. 157, "Fair Value Measurements" ("SFAS 157"). This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value and requires additional disclosures about the use of fair
value measurements. SFAS 157 is effective for financial statements issues for
fiscal years beginning after November 15, 2007 and interim periods within those
fiscal years. As of May 31, 2008, the Fund does not believe the adoption of SFAS
157 will impact the amounts reported in the financial statements; however,
additional disclosure will be required about the inputs used to develop
measurements of fair value and the effect of certain of the measurements
reported in the statement of operations for a fiscal period.
In March 2008, the FASB issued Statement of Financial Accounting Standards
("SFAS") No. 161, "Disclosures about Derivative Instruments and Hedging
Activities." This standard is intended to enhance financial statement
disclosures for derivative instruments and hedging activities and enable
investors to understand: a) how and why a fund uses derivative instruments, b)
how derivatives instruments and related hedge fund items are accounted for, and
c) how derivative instruments and related hedge items affect a fund's financial
position, results of operations and cash flows. SFAS No. 161 is effective for
financial statements issued for fiscal years and interim periods beginning after
November 15, 2008. As of May 31, 2008, management does not believe the adoption
of SFAS No. 161 will impact the financial statement amounts; however, additional
footnote disclosures may be required about the use of derivative instruments and
hedging items.
26 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Report of Independent Registered Public Accounting Firm |
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
We have audited the accompanying statement of assets and liabilities of
Claymore/Guggenheim Strategic Opportunities Fund (the "Fund"), including the
portfolio of investments, as of May 31, 2008, and the related statements of
operations and cash flows, the statement of changes in net assets, and the
financial highlights for the period from July 27, 2007 (commencement of
investment operations) through May 31, 2008. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audit included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of May 31, 2008, by correspondence with the custodian and
brokers or by other appropriate auditing procedures where replies from brokers
were not received. We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Claymore/Guggenheim Strategic Opportunities Fund at May 31, 2008, and the
results of its operations and its cash flows, the changes in its net assets, and
financial highlights for the period from July 27, 2007 (commencement of
investment operations) through May 31, 2008, in conformity with U.S. generally
accepted accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
July 28, 2008
Annual Report | May 31, 2008 | 27
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Supplemental Information | (unaudited)
FEDERAL INCOME TAX INFORMATION
Qualified dividend income of as much as $611,013 was received by the Fund
through May 31, 2008. The Fund intends to designate the maximum amount of
dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth
Tax Relief Reconciliation Act of 2003.
The Fund is designating $1,817 as long-term capital gain distributions pursuant
to IRC Section 852(b)(3)(C).
For corporate shareholders, $569,468 of investment income qualifies for the
dividends-received deduction.
In January 2009, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV
as to the federal tax status of the distributions received by you in the
calendar year 2008.
TRUSTEES
The Trustees of the Claymore/Guggenheim Strategic Opportunities Fund and their
principal occupations during the past five years:
NAME, ADDRESS*, YEAR TERM OF OFFICE** PRINCIPAL OCCUPATIONS DURING NUMBER OF PORTFOLIOS OTHER
OF BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND IN THE FUND COMPLEX*** DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
------------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2007 Private Investor. Formerly, Senior 41 None.
Year of Birth: 1951 Vice President & Treasurer, PepsiCo,
Trustee Inc. (1993-1997), President, Pizza
Hut International (1991-1993) and
Senior Vice President, Strategic
Planning and New Business Development
(1987-1990) of PepsiCo, Inc.
(1987-1997).
------------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2007 Partner of Nyberg & Cassioppi, LLC, a 44 None.
Year of birth: 1953 law firm specializing in corporate law,
Trustee estate planning and business transactions
(2000-present). Formerly, Executive Vice
President, General Counsel and Corporate
Secretary of Van Kampen Investments
(1982-1999).
------------------------------------------------------------------------------------------------------------------------------------
Ronald E. Toupin, Jr. Since 2007 Retired. Formerly, Vice President, 41 None.
Year of birth: 1958 Manager and Portfolio Manager of Nuveen
Trustee Asset Management (1998-1999), Vice
President of Nuveen Investment Advisory
Corp. (1992-1999), Vice President and
Manager of Nuveen Unit Investment Trusts
(1991-1999), and Assistant Vice
President and Portfolio Manager of Nuveen
Unit Investment Trusts (1988-1999), each
of John Nuveen & Co., Inc. (1982-1999).
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
------------------------------------------------------------------------------------------------------------------------------------
Nicholas Dalmaso+ Since 2007 Attorney. Formerly, Senior Managing 44 None.
Year of birth: 1965 Director and Chief Administrative
Trustee Officer (2007-2008) and General Counsel
(2001-2007) of Claymore Advisors, LLC
and Claymore Securities, Inc. Formerly,
Assistant General Counsel, John Nuveen
and Co., Inc. (1999-2000). Former Vice
President and Associate General Counsel
of Van Kampen Investments, Inc. (1992-1999).
------------------------------------------------------------------------------------------------------------------------------------
* Address for all Trustees unless otherwise noted: 2455 Corporate West Drive,
Lisle, IL 60532
** After a Trustee's initial term, each Trustee is expected to serve a
three-year term concurrent with the class of Trustees for which he serves:
-Messrs. Barnes and Dalmaso, as Class I Trustees, are expected to stand for
re-election at the Fund's 2009 annual meeting of shareholders.
-Messrs. Nyberg and Toupin, as Class II Trustees, are expected to stand for
re-election at the Fund's 2008 annual meeting of shareholders.
*** The Claymore Fund Complex consists of U.S. registered investment companies
advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc.
The Claymore Fund Complex is overseen by multiple Boards of Trustees.
+ Mr. Dalmaso is an "interested person" (as defined in section 2(a)(19) of
the 1940 Act) of the Fund as a result of his former position as an officer
of and his equity ownership in the Fund's Adviser and certain of its
affiliates.
28 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund | Supplemental
Information (unaudited) continued
OFFICERS
The officers of the Claymore/Guggenheim Strategic Opportunities Fund and their
principal occupations during the past five years:
TERM OF OFFICE** AND
NAME, ADDRESS* AND AGE POSITION LENGTH OF TIME SERVED PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
------------------------------------------------------------------------------------------------------------------------------------
J. Thomas Futrell Chief Executive Officer Effective May 29, 2008 Senior Managing Director, Chief Investment Officer
Year of birth: 1955 (2008-present) of Claymore Advisors, LLC and Claymore
Securities, Inc.; Chief Executive Officer of certain
funds in the Fund Complex. Formerly, Managing Director
in charge of Research (2000-2007) for Nuveen Asset
Management.
------------------------------------------------------------------------------------------------------------------------------------
Kevin M. Robinson Chief Legal Officer Effective May 29, 2008 Senior Managing Director, General Counsel and Corporate
Year of birth: 1959 Secretary (2007-present) of Claymore Advisors, LLC and
Claymore Securities, Inc.; Chief Legal Officer of
certain funds in the Fund Complex. Formerly, Associate
General Counsel (2000- 2007) of NYSE Euronext, Inc.
Formerly, Archipelago Holdings, Inc. Senior Managing
Director and Associate General Counsel (1997-2000) of
ABN Amro Inc. Formerly, Senior Counsel in the
Enforcement Division (1989-1997) of the U.S. Securities
and Exchange Commission.
------------------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Chief Financial Officer, Officer since 2007 Senior Managing Director (2005-present) and Chief
Year of birth: 1964 Chief Accounting Officer Financial Officer (2005-2006), Managing Director
and Treasurer (2003-2005) of Claymore Advisors, LLC and Claymore
Securities, Inc.; Chief Financial Officer, Chief
Accounting Officer and Treasurer of certain funds in the
Fund Complex. Formerly, Treasurer of Henderson Global
Funds and Operations Manager for Henderson Global
Investors (NA) Inc. (2002-2003); Managing Director,
FrontPoint Partners LLC (2001-2002); Vice President,
Nuveen Investments (1999-2001); Chief Financial Officer,
Skyline Asset Management LP, (1999); Vice President,
Van Kampen Investments and Assistant Treasurer, Van
Kampen mutual funds (1989-1999).
------------------------------------------------------------------------------------------------------------------------------------
Mark E. Mathiasen Secretary Officer since 2008 Assistant Vice President; Assistant General Counsel of
Year of birth: 1978 Claymore Securities, Inc. (2007-present). Secretary of
certain funds in the Fund Complex. Previously,
Law Clerk, Idaho State Courts (2003-2006).
------------------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Chief Compliance Officer Officer since 2007 Vice President - Fund Compliance Officer of Claymore
Year of birth: 1957 Securities, Inc. (2006-present). Chief Compliance
Officer of certain funds in the Fund Complex.
Previously, Chief Compliance Officer/Assistant Secretary
of Harris Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC (1999-2003).
------------------------------------------------------------------------------------------------------------------------------------
Roy Corr Vice President Officer since 2008 Senior Managing Director, Chief Operating Officer for
Year of Birth: 1964 Guggenheim Partners Asset Management, Inc.
(2002-present)
------------------------------------------------------------------------------------------------------------------------------------
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure of the Board of Trustees and until his or
her successor is appointed and qualified or until his or her earlier
resignation or removal.
Annual Report | May 31, 2008 | 29
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Dividend Reinvestment Plan|
Unless the registered owner of common shares elects to receive cash by
contacting the Plan Administrator, all dividends declared on common shares of
the Fund will be automatically reinvested by The Bank of New York Mellon (the
"Plan Administrator"), Administrator for shareholders in the Fund's Dividend
Reinvestment Plan (the "Plan"), in additional common shares of the Fund.
Participation in the Plan is completely voluntary and may be terminated or
resumed at any time without penalty by notice if received and processed by the
Plan Administrator prior to the dividend record date; otherwise such termination
or resumption will be effective with respect to any subsequently declared
dividend or other distribution. Some brokers may automatically elect to receive
cash on your behalf and may re-invest that cash in additional common shares of
the Fund for you. If you wish for all dividends declared on your common shares
of the Fund to be automatically reinvested pursuant to the Plan, please contact
your broker.
The Plan Administrator will open an account for each common shareholder under
the Plan in the same name in which such common shareholder's common shares are
registered. Whenever the Fund declares a dividend or other distribution
(together, a "Dividend") payable in cash, non-participants in the Plan will
receive cash and participants in the Plan will receive the equivalent in common
shares. The common shares will be acquired by the Plan Administrator for the
participants' accounts, depending upon the circumstances described below, either
(i) through receipt of additional unissued but authorized common shares from the
Fund ("Newly Issued Common Shares") or (ii) by purchase of outstanding common
shares on the open market ("Open-Market Purchases") on the New York Stock
Exchange or elsewhere. If, on the payment date for any Dividend, the closing
market price plus estimated brokerage commission per common share is equal to or
greater than the net asset value per common share, the Plan Administrator will
invest the Dividend amount in Newly Issued Common Shares on behalf of the
participants. The number of Newly Issued Common Shares to be credited to each
participant's account will be determined by dividing the dollar amount of the
Dividend by the net asset value per common share on the payment date; provided
that, if the net asset value is less than or equal to 95% of the closing market
value on the payment date, the dollar amount of the Dividend will be divided by
95% of the closing market price per common share on the payment date. If, on the
payment date for any Dividend, the net asset value per common share is greater
than the closing market value plus estimated brokerage commission, the Plan
Administrator will invest the Dividend amount in common shares acquired on
behalf of the participants in Open-Market Purchases.
If, before the Plan Administrator has completed its Open-Market Purchases, the
market price per common share exceeds the net asset value per common share, the
average per common share purchase price paid by the Plan Administrator may
exceed the net asset value of the common shares, resulting in the acquisition of
fewer common shares than if the Dividend had been paid in Newly Issued Common
Shares on the Dividend payment date. Because of the foregoing difficulty with
respect to Open-Market Purchases, the Plan provides that if the Plan
Administrator is unable to invest the full Dividend amount in Open-Market
Purchases during the purchase period or if the market discount shifts to a
market premium during the purchase period, the Plan Administrator may cease
making Open-Market Purchases and may invest the uninvested portion of the
Dividend amount in Newly Issued Common Shares at net asset value per common
share at the close of business on the Last Purchase Date provided that, if the
net asset value is less than or equal to 95% of the then current market price
per common share; the dollar amount of the Dividend will be divided by 95% of
the market price on the payment date.
The Plan Administrator maintains all shareholders' accounts in the Plan and
furnishes written confirmation of all transactions in the accounts, including
information needed by shareholders for tax records. Common shares in the account
of each Plan participant will be held by the Plan Administrator on behalf of the
Plan participant, and each shareholder proxy will include those shares purchased
or received pursuant to the Plan. The Plan Administrator will forward all proxy
solicitation materials to participants and vote proxies for shares held under
the Plan in accordance with the instruction of the participants.
There will be no brokerage charges with respect to common shares issued directly
by the Fund. However, each participant will pay a pro rata share of brokerage
commission incurred in connection with Open-Market Purchases. The automatic
reinvestment of Dividends will not relieve participants of any Federal, state or
local income tax that may be payable (or required to be withheld) on such
Dividends.
The Fund reserves the right to amend or terminate the Plan. There is no direct
service charge to participants with regard to purchases in the Plan; however,
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants.
All correspondence or questions concerning the Plan should be directed to the
Plan Administrator, The Bank of New York Mellon, P.O. Box 463, East Syracuse,
New York 13057-0463; Attention: Shareholder Services Department, Phone Number:
(866) 488-3559.
30 | Annual Report | May 31, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Fund Information |
BOARD OF TRUSTEES
Randall C. Barnes
Nicholas Dalmaso*
Ronald A. Nyberg
Ronald E. Toupin, Jr.
* Trustee is an "interested person" of the Fund as defined in the Investment
Company Act of 1940, as amended, as a result of his former position as an
officer of and his equity ownership in the Adviser and certain of its
affiliates.
OFFICERS
J. Thomas Futrell
Chief Executive Officer
Kevin Robinson
Chief Legal Officer
Steven M. Hill
Chief Financial Officer, Chief
Accounting Officer and Treasurer
Mark E. Mathiasen
Secretary
Bruce Saxon
Chief Compliance Officer
Roy Corr
Vice President
INVESTMENT ADVISER
AND ADMINISTRATOR
Claymore Advisors, LLC
Lisle, Illinois
INVESTMENT SUB-ADVISER
Guggenheim Partners Asset Management, Inc.
Santa Monica, California
ACCOUNTING AGENT, CUSTODIAN
AND TRANSFER AGENT
The Bank of New York Mellon
New York, New York
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom LLP
Chicago, Illinois
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, Illinois
PRIVACY PRINCIPLES OF THE FUND
The Fund is committed to maintaining the privacy of its shareholders and to
safeguarding their non-public personal information. The following information is
provided to help you understand what personal information the Fund collects, how
the Fund protects that information and why, in certain cases, the Fund may share
information with select other parties.
Generally, the Fund does not receive any non-public personal information
relating to its shareholders, although certain non-public personal information
of its shareholders may become available to the Fund. The Fund does not disclose
any non-public personal information about its shareholders or former
shareholders to anyone, except as permitted by law or as is necessary in order
to service shareholder accounts (for example, to a transfer agent or third party
administrator).
The Fund restricts access to non-public personal information about its
shareholders to employees of the Fund's investment advisor and its affiliates
with a legitimate business need for the information. The Fund maintains
physical, electronic and procedural safeguards designed to protect the
non-public personal information of its shareholders.
QUESTIONS CONCERNING YOUR SHARES OF CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND?
o If your shares are held in a Brokerage Account, contact your Broker.
o If you have physical possession of your shares in certificate form,
contact the Fund's Administrator, Custodian and Transfer Agent:
The Bank of New York Mellon, 101 Barclay 11E, New York, NY 10286;
(866) 488-3559.
This report is sent to shareholders of Claymore/Guggenheim Strategic
Opportunities Fund for their information. It is not a Prospectus, circular or
representation intended for use in the purchase or sale of shares of the Fund or
of any securities mentioned in this report.
A description of the Funds' proxy voting policies and procedures related to
portfolio securities is available without charge, upon request, by calling the
Fund at (888) 949-3837. Information regarding how the Fund voted proxies for
portfolio securities, if applicable, during the most recent 12-month period
ended June 30, is also available, without charge and upon request by calling
(888) 949-3837 or by accessing the Funds' Form N-PX on the SEC's website at
www.sec.gov or www.claymore.com. The Fund file their complete schedule of
portfolio holdings with the SEC for the first and third quarters of each fiscal
year on Form N-Q. The Funds' Form N-Q is available on the SEC website at
www.sec.gov or www.claymore.com. The Funds' Form N-Q may also be viewed and
copied at the SEC's Public Reference Room in Washington, DC; information on the
operation of the Public Reference Room may be obtained by calling (800) SEC-0330
or at www.sec.gov.
In June 2007, the Fund submitted a CEO annual certification to the New York
Stock Exchange ("NYSE") in which the Fund's principal executive officer
certified that he was not aware, as of the date of the certification, of any
violation by the Fund of the NYSE's Corporate Governance listing standards. In
addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and
related SEC rules, the Fund's principal executive and principal financial
officers have made quarterly certifications, included in filings with the SEC on
Forms N-CSR and N-Q, relating to, among other things, the Fund's disclosure
controls and procedures and internal control over financial reporting.
Annual Report | May 31, 2008 | 31
GOF | Claymore/Guggenheim Strategic Opportunities Fund
About the Fund Manager |
GUGGENHEIM PARTNERS ASSET MANAGEMENT, INC.
Guggenheim Partners Asset Management, Inc. ("Guggenheim") is a wholly owned
subsidiary of Guggenheim Partners, LLC, a diversified financial services firm
with more than 525 dedicated professionals. The firm provides capital markets
services, portfolio and risk management expertise, wealth management, investment
advisory and family office services. Clients are an elite mix of individuals,
family offices, endowments, foundations, insurance companies and other
institutions that have entrusted Guggenheim with the supervision of more than
$100 billion of assets. The firm provides clients service from a global network
of offices throughout the Americas, Europe, and Asia.
INVESTMENT PHILOSOPHY
Guggenheim's investment philosophy is predicated upon the belief that thorough
research and independent thought are rewarded with performance that has the
potential to outperform benchmark indexes with both lower volatility and lower
correlation of returns over time as compared to such benchmark indexes.
INVESTMENT PROCESS
Guggenheim's investment process is a collaborative effort between its Portfolio
Construction Group, which utilizes tools such as Guggenheim's Dynamic Financial
Analysis Model to determine allocation of assets among a variety of sectors, and
its Sector Specialists, who are responsible for security selection within these
sectors and for implementing securities transactions, including the structuring
of certain securities directly with the issuer or with investment banks and
dealers involved in the origination of such securities.
CLAYMORE SECURITIES, INC. GOF
2455 Corporate West Drive LISTED
Lisle, IL 60532 NYSE
Member FINRA/SIPC
(07/08) GOF-AR-0508
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions.
(b) No information need be disclosed pursuant to this paragraph.
(c) During the registrant's fiscal year ended May 31, 2008, the Code of Ethics
was not amended.
(d) The registrant has not granted a waiver or an implicit waiver to its
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions
from a provision of its Code of Ethics during the period covered by this
report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that it has at least one audit
committee financial expert serving on its audit committee, Ronald E. Toupin, Jr.
Mr. Toupin is an "independent" Trustee for purposes of Item 3 of Form N-CSR. Mr.
Toupin qualifies as an audit committee financial expert by virtue of his
experience obtained as a portfolio manager and research analyst, which included
review and analysis of offering documents and audited and unaudited financial
statements using GAAP to show accounting estimates, accruals and reserves.
(Under applicable securities laws, a person who is determined to be an audit
committee financial expert will not be deemed an "expert" for any purpose,
including without limitation for the purposes of Section 11 of the Securities
Act of 1933, as amended, as a result of being designated or identified as an
audit committee financial expert. The designation or identification of a person
as an audit committee financial expert does not impose on such person any
duties, obligations, or liabilities that are greater than the duties,
obligations, and liabilities imposed on such person as a member of the audit
committee and Board of Trustees in the absence of such designation or
identification. The designation or identification of a person as an audit
committee financial expert doesn't affect the duties, obligations or liability
of any other member of the audit committee or Board of Trustees.)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees: the aggregate fees billed for the registrant's initial fiscal
period from the registrant's inception date of July 27, 2007, through May
31, 2008, for professional services rendered by the principal accountant
for the audit of the registrant's annual financial statements were
approximately $43,000.
(b) Audit-Related Fees: the aggregate fees billed for the registrant's initial
fiscal period from the registrant's inception date of July 27, 2007,
through May 31, 2008, for assurance and related services by the principal
accountant that are reasonably related to the performance of the audit of
the registrant's financial statements and are not reported under paragraph
(a) of this Item were $0.
(c) Tax Fees: the aggregate fees billed for the registrant's initial fiscal
period from the registrant's inception date of July 27, 2007, through May
31, 2008, for professional services rendered by the principal accountant
for tax compliance, tax advice, and tax planning were $6,000.
(d) All Other Fees: the aggregate fees billed for the registrant's initial
fiscal period from the registrant's inception date of July 27, 2007,
through May 31, 2008, for products and services provided by the principal
accountant, other than the services reported in paragraphs (a) and (c) of
this Item were $0.
(e) Audit Committee Pre-Approval Policies and Procedures.
(1) The Registrant's audit committee reviews, and in its sole discretion,
pre-approves, pursuant to written pre-approval procedures (A) all engagements
for audit and non-audit services to be provided by the principal accountant to
the registrant and (B) all engagements for non-audit services to be provided by
the principal accountant (1) to the registrant's investment adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and (2) to any entity
controlling, controlled by or under common control with the registrant's
investment adviser that provides ongoing services to the registrant; but in the
case of the services described in subsection (B)(1) or (2), only if the
engagement relates directly to the operations and financial reporting of the
registrant; provided that such pre-approval need not be obtained in
circumstances in which the pre-approval requirement is waived under rules
promulgated by the Securities and Exchange Commission or New York Stock Exchange
listing standards. Sections IV.C.2 and IV.C.3 of the audit committee's revised
Audit Committee Charter contain the Audit Committee's Pre-Approval Policies and
Procedures and such sections are included below.
IV.C.2 Pre-approve any engagement of the independent auditors to provide
any non-prohibited services to the I Trust, including the fees and
other compensation to be paid to the independent auditors (unless an
exception is available under Rule 2-01 of Regulation S-X).
(a) The Chairman or any member of the Audit Committee may grant the
pre-approval of services to the Fund for non-prohibited services
up to $10,000. All such delegated pre-approvals shall be
presented to the Audit Committee no later than the next Audit
Committee meeting.
IV.C.3 Pre-approve any engagement of the independent auditors, including
the fees and other compensation to be paid to the independent
auditors, to provide any non-audit services to the Adviser (or
any "control affiliate" of the Adviser providing ongoing services
to the Trust), if the engagement relates directly to the
operations and financial reporting of the Trust (unless an
exception is available under Rule 2-01 of Regulation S-X).
(a) The Chairman or any member of the Audit Committee may grant the
pre-approval for non-prohibited services to the Adviser up to
$10,000. All such delegated pre-approvals shall be presented to
the Audit Committee no later than the next Audit Committee
meeting.
(2) None of the services described in each of Items 4(b) through (d)
were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule
2-01 of Regulation S-X.
(f) Not Applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, the registrant's investment adviser
(not including a sub-adviser whose role is primarily portfolio management
and is sub-contracted with or overseen by another investment adviser) and
any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant for the
registrant's initial fiscal period from the registrant's inception date of
July 27, 2007, through May 31, 2008, were $0.
(h) Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) The registrant has a separately designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934. The audit committee of the registrant is composed of:
Randall C. Barnes, Ronald A. Nyberg and Ronald E. Toupin, Jr.
(b) Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedule of Investments is included as part of Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated the voting of proxies relating to its voting
securities to the registrant's investment sub-adviser, Guggenheim Partners Asset
Management, Inc.
("Guggenheim"). Guggenheim's proxy voting polices and procedures are included as
an exhibit hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a)(1) Guggenheim serves as sub-adviser for the registrant and is responsible
for the day-to-day management of the registrant's portfolio. Guggenheim
uses a team approach to manage client portfolios. Day to day management
of a client portfolio is conducted under the auspices of Guggenheim's
Portfolio Construction Group ("PCG"). PCG's members include the Chief
Investment Officer ("CIO") and other key investment personnel. The PCG,
in consultation with the CIO, provides direction for overall investment
strategy. The PCG performs several duties as it relates to client
portfolios including: determining both tactical and strategic asset
allocations; and monitoring portfolio adherence to asset allocation
targets; providing sector specialists with direction for overall
investment strategy, which may include portfolio design and the
rebalancing of portfolios; performing risk management oversight;
assisting sector managers and research staff in determining the relative
valuation of market sectors; and providing a forum for the
regular discussion of the economy and the financial markets to enhance
the robustness of Guggenheim's strategic and tactical policy directives.
The following individuals at Guggenheim share primary responsibility for
the management of the registrant's portfolio and is provided as of May
31, 2008:
NAME SINCE PROFESSIONAL EXPERIENCE DURING THE LAST FIVE YEARS
Robert Daviduk, CFA - 2007 Guggenheim Partners Asset Management, Inc.: Managing Director -
Managing Director 8/06-Present. Formerly, Global Fixed Income Partners, LLC:
Partner - 7/05-8/06; Wells Capital Management: Managing Director -
6/02-6/05.
Scott Minerd - CEO and CIO 2007 Guggenheim Partners Asset Management, Inc.: CEO and CIO - 12/05-Present;
Guggenheim Partners, LLC: Managing Partner - Insurance Advisory -
5/98-Present.
Anne Walsh, CFA, FLMI - 2007 Guggenheim Partners Asset Management, Inc.: Managing Director -
Managing Director 4/07-Present. Former, Reinsurance Group of America, Inc.: Senior Vice
President and Chief Investment Officer - 5/00-3/07.
(a)(2)(i-iii) Other Accounts Managed by the Portfolio Managers
The following tables summarize information regarding each of the other accounts
managed by the Guggenheim portfolio managers as of May 31, 2008:
Robert Daviduk:
Type of Account Number of Total Assets in Number of Total Assets in
Accounts the Accounts Accounts In the Accounts
Which the In Which the
Advisory Fee is Advisory Fee
Based on is Based on
Performance Performance
Registered 0 0 0 0
investment
companies
Other pooled 0 0 0 0
investment
vehicles
Other accounts 1 $108,500,012 1 $108,500,012
Scott Minerd:
Type of Account Number of Total Assets in Number of Total Assets in
Accounts the Accounts Accounts In the Accounts
Which the In Which the
Advisory Fee is Advisory Fee
Based on is Based on
Performance Performance
Registered 0 0 0 0
investment
companies
Other pooled 0 0 0 0
investment
vehicles
Other accounts 4 $25,060,311,988 0 0
Anne Walsh:
Type of Account Number of Total Assets in Number of Total Assets in
Accounts the Accounts Accounts In the Accounts
Which the In Which the
Advisory Fee is Advisory Fee
Based on is Based on
Performance Performance
Registered 0 0 0 0
investment
companies
0 0 0 0
Other pooled
investment
vehicles
Other accounts 4 $6,978,000,540 0 0
(a)(2)(iv) Potential Conflicts of Interest
Actual or apparent conflicts of interest may arise when a portfolio manager has
day-to-day management responsibilities with respect to more than one fund or
other account. More
specifically, portfolio managers who manage multiple funds and/or other accounts
may be presented with one or more of the following potential conflicts.
The management of multiple funds and/or other accounts may result in a portfolio
manager devoting unequal time and attention to the management of each fund
and/or other account. Guggenheim seeks to manage such competing interests for
the time and attention of a portfolio manager by having the portfolio manager
focus on a particular investment discipline. Specifically, the ultimate decision
maker for security selection for each client portfolio is the Sector Specialist
Portfolio Manager. They are responsible for analyzing and selecting specific
securities that they believe best reflect the risk and return level as provided
in each client's investment guidelines.
Guggenheim may have clients with similar investment strategies. As a result, if
an investment opportunity would be appropriate for more than one client,
Guggenheim may be required to choose among those clients in allocating such
opportunity, or to allocate less of such opportunity to a client than it would
ideally allocate if it did not have to allocate to multiple clients. In
addition, Guggenheim may determine that an investment opportunity is appropriate
for a particular account, but not for another.
Allocation decisions are made in accordance with the investment objectives,
guidelines, and restrictions governing the respective clients and in a manner
that will not unfairly favor one client over another. Guggenheim's allocation
policy provides that investment decisions must never be based upon account
performance or fee structure. Accordingly, Guggenheim's allocation procedures
are designed to ensure that investment opportunities are allocated equitably
among different client accounts over time. The procedures also seek to ensure
reasonable efficiency in client transactions and to provide portfolio managers
with flexibility to use allocation methodologies appropriate to Guggenheim's
investment disciplines and the specific goals and objectives of each client
account.
In order to minimize execution costs and obtain best execution for clients,
trades in the same security transacted on behalf of more than one client may be
aggregated. In the event trades are aggregated, Guggenheim's policy and
procedures provide as follows: (i) treat all participating client accounts
fairly; (ii) continue to seek best execution; (iii) ensure that clients who
participate in an aggregated order will participate at the average share price
with all transaction costs shared on a pro-rata basis based on each client's
participation in the transaction; (iv) disclose its aggregation policy to
clients.
Guggenheim, as a fiduciary to its clients, considers numerous factors in
arranging for the purchase and sale of clients' portfolio securities in order to
achieve best execution for its clients. When selecting a broker, individuals
making trades on behalf of Guggenheim clients consider the full range and
quality of a broker's services, including execution capability, commission rate,
price, financial stability and reliability. Guggenheim is not obliged to merely
get the lowest price or commission but also must determine whether the
transaction represents the best qualitative execution for the account.
In the event that multiple broker/dealers make a market in a particular
security, Guggenheim's Portfolio Managers are responsible for selecting the
broker-dealer to use with respect to executing the transaction. The
broker-dealer will be selected on the basis of how the transaction can be
executed to achieve the most favorable execution for the client under the
circumstances. In many instances, there may only be one counter-party active in
a particular security at a given time. In such situations the Employee executing
the trade will use his/her best effort to obtain the best execution from the
counter-party.
Guggenheim and the registrant have adopted certain compliance procedures which
are designed to address these types of conflicts. However, there is no guarantee
that such procedures will detect each and every situation in which a conflict
arises.
(a)(3) Portfolio Manager Compensation
Guggenheim compensates Messrs. Daviduk, Minerd and Ms. Walsh for their
management of the registrant's portfolio. Compensation is evaluated based on
their contribution to investment performance relative to pertinent benchmarks
and qualitatively based on factors such as teamwork and client service efforts.
Guggenheim's staff incentives may include: a competitive base salary, bonus
determined by individual and firm wide performance, equity participation, and
participation opportunities in various Guggenheim investments. All Guggenheim
employees are also eligible to participate in a 401(k) plan to which Guggenheim
may make a discretionary match after the completion of each plan year.
(a)(4) Portfolio Manager Securities Ownership
The following table discloses the dollar range of equity securities of the
registrant beneficially owned by each Guggenheim portfolio manager as of May 31,
2008:
NAME OF PORTFOLIO MANAGER DOLLAR RANGE OF EQUITY
SECURITIES IN FUND
Robert Daviduk None
Scott Minerd $10,001-$50,000
Anne Walsh $1-$10,000
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has not made any material changes to the procedures by which
shareholders may recommend nominees to the registrant's Board of Trustees.
ITEM 11. 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
of a date within 90 days of this filing and have concluded based on such
evaluation, as required by Rule 30a-3(b) under the Investment Company Act
of 1940, 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-CSR was recorded, processed,
summarized, and reported within the time periods specified in the
Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940) that occurred during the registrant's second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics for Chief Executive and Senior Financial Officer.
(a)(2) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(b) of the Investment Company Act of 1940
and Section 906 of the Sarbanes-Oxley Act of 2002.
(c) Proxy Voting Policies and Procedures.
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) Claymore/Guggenheim Strategic Opportunities Fund
By: /s/ J. Thomas Futrell
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Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: August 4, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ J. Thomas Futrell
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Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: August 4, 2008
By: /s/ Steven M. Hill
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Name: Steven M. Hill
Title: Treasurer and Chief Financial Officer
Date: August 4, 2008