UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21982
-----------------------------------------
Claymore/Guggenheim Strategic Opportunities Fund
-------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
-------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive Lisle, IL 60532
-------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
-------------
Date of fiscal year end: May 31
------
Date of reporting period: August 31, 2008
-----------------
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2008 (UNAUDITED)
OPTIONAL
PRINCIPAL AMOUNT DESCRIPTION CALL PROVISION VALUE
-------------------------------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 135.5%
CORPORATE BONDS - 29.9%
AIRLINES - 2.0%
$ 1,535,186 America West Airlines, Inc., Ser. 01-1, AA, Aa3
7.10%, 4/2/21, Pass Thru Certificates N/A $ 1,320,106
934,936 Delta Air Lines, Inc., A-, Baa1
6.82%, 8/10/22, Pass Thru Certificates (a) N/A 766,647
979,364 Northwest Airlines Corp., Ser. 992A, A, NR
7.575%, 3/1/19, Pass Thru Certificates (a) N/A 866,737
--------------
2,953,490
--------------
AUTO PARTS & EQUIPMENT - 0.1%
500,000 Keystone Automotive Operations, Inc., CCC, Caa2
9.75%, 11/1/13, Company Guarantee Notes 11/01/08 @ 104.88 202,500
--------------
BANKS - 9.5%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.30%, 10/31/49, Subordinated Notes (a) (b) 12/15/08 @ 100.00 846,540
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 1,035,987
1,200,000 BNP Paribas, AA-, Aa3
7.195%, 6/29/49, Junior Subordinated Notes (France) (a) (b) (c) 6/25/37 @ 100.00 1,047,445
1,000,000 CoBank ACB, A, NR
7.875%, 4/16/18, Subordinated Notes (a) (b) N/A 985,648
1,000,000 Credit Agricole SA, A, Aa3
6.64%, 5/29/49, Junior Subordinated Notes (France) (a) (b) (c) 5/31/17 @ 100.00 772,877
1,000,000 Fifth Third Bancorp, A, A1
8.25%, 3/1/38, Subordinated Notes (a) N/A 752,498
1,000,000 KeyBank NA, Ser. BKNT, A-, A2
7.41%, 5/6/15, Subordinated Notes (a) N/A 842,459
1,000,000 KeyCorp Capital III, BBB, A3
7.75%, 7/15/29, Bank Guarantee Notes (a) N/A 757,552
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 @ 100.00 949,617
1,250,000 Mellon Capital IV, Ser. 1, A, Aa3
6.24%, 6/29/49, Company Guarantee Notes (a) (c) 6/20/12 @ 100.00 954,818
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.38%, 1/29/49, Notes (a) (b) (c) 10/15/17 @ 100.00 868,950
700,000 PNC Preferred Funding Trust I, A-, A3
8.70%, 2/19/49, Senior Unsecured Notes (a) (b) (c) 3/15/13 @ 100.00 666,715
1,400,000 Royal Bank of Scotland Group PLC, Ser. MTN, A, A1
7.64%, 3/31/49, Junior Subordinated Stock (United Kingdom) (a) (c) 9/29/17 @ 100.00 1,182,657
1,250,000 State Street Capital Trust IV, A, A1
3.78%, 6/15/37, Company Guarantee Notes (a) (d) 6/15/12 @ 100.00 878,866
1,250,000 US AgBank FCB, A, A2
6.11%, 4/29/49, Notes (a) (b) (c) 7/10/12 @ 100.00 695,000
1,000,000 Wells Fargo Capital XIII, Ser. GMTN, AA-, Aa2
7.70%, 12/29/49, Notes (a) (c) 3/26/13 @ 100.00 949,614
--------------
14,187,243
--------------
DIVERSIFIED FINANCIAL SERVICES - 11.2%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.35%, 10/1/15, Secured Notes (b) N/A 959,510
525,000 Ajax Re Ltd., BB, NR
9.06%, 5/8/09, Secured Notes (Cayman Islands) (b) (d) (g) N/A 526,995
400,000 Blue Coast Ltd., Ser. A, BB-, NR
12.19%, 12/8/10, Notes (b) (d) (g) N/A 398,968
1,200,000 Blue Fin Ltd., BB+, NR
7.19%, 4/10/12, Notes (b) (d) (g) 4/8/10 @ 101.00 1,177,440
500,000 Discover Financial Services, BBB-, Baa3
6.45%, 6/12/17, Senior Unsecured Notes (a) N/A 371,190
500,000 GlobeCat Ltd., Ser. CAQ, NR, B1
8.78%, 1/2/13, Notes (Cayman Islands) (b) (d) (g) 12/21/11 @ 100.50 510,565
Hampton Roads PPV LLC, NR, Aaa (b)
1,000,000 6.07%, 12/15/41, Bonds N/A 927,240
1,000,000 6.17%, 6/15/53, Bonds N/A 910,010
500,000 Janus Capital Group, Inc., BBB-, Baa3
6.70%, 6/15/17, Senior Unsecured Notes (a) N/A 457,706
1,000,000 Longpoint Re Ltd., BB+, NR
8.06%, 5/8/10, Notes (Cayman Islands) (b) (d) (g) N/A 1,009,700
850,000 Mangrove Re Ltd., NR, Ba2
7.65%, 6/5/09, Notes (Cayman Islands) (b) (d) (g) N/A 848,530
2,000,000 Merna Reinsurance Ltd., Ser. B, NR, A2
4.55%, 7/7/10, Secured Notes (Bermuda) (a) (b) (d) (g) N/A 1,921,200
1,696,312 Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1
7.15%, 10/15/13, Senior Secured Notes (Bermuda) (b) N/A 1,655,194
1,250,000 Mystic Re Ltd., Ser. A, BB+, NR
8.98%, 12/5/08, Notes (Cayman Islands) (b) (d) (g) N/A 1,232,250
750,000 Redwood Capital X Ltd., Ser. D, NR, Ba3
7.44%, 1/9/09, Notes (Cayman Islands) (b) (d) (g) 12/5/08 @ 100.00 751,298
1,000,000 Schwab Capital Trust I, BBB+, A3
7.50%, 11/15/37, Company Guarantee Notes (a) (c) 11/15/17 @ 100.00 861,360
2,000,000 Svensk Exportkredit AB, AA-, Aa3
6.375%, 10/29/49, Subordinated Notes (Sweden) (a) (b) 12/27/08 @ 100.00 1,996,608
--------------
16,515,764
--------------
ELECTRIC - 0.9%
500,000 Pennsylvania Electric Co., BBB, Baa2
6.05%, 9/1/17, Senior Unsecured Notes (a) N/A 482,749
1,000,000 Wisconsin Energy Corp., BBB-, Baa1
6.25%, 5/15/67, Junior Subordinated Notes (a) (c) 5/15/17 @ 100.00 827,718
--------------
1,310,467
--------------
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 @ 109.00 408,750
500,000 Indianapolis Downs LLC & Capital Corp., B, B3
11.00%, 11/1/12, Senior Secured Notes (b) 11/1/10 @ 105.50 397,500
--------------
806,250
--------------
INSURANCE - 4.3%
1,000,000 Allstate Corp. (The), A-, A2
6.50%, 5/15/57, Junior Subordinated Debentures (a) (c) 5/15/37 @ 100.00 816,160
1,000,000 AXA SA, BBB+, Baa1
6.46%, 12/14/49, Subordinated Notes (France) (a) (b) (c) 12/14/18 @ 100.00 785,943
1,000,000 Foundation Re Ltd., Ser. A, BB, NR
6.91%, 11/24/08, Notes (Cayman Islands) (b) (d) (g) N/A 985,000
1,000,000 Metlife Capital Trust IV, BBB+, Baa1
7.875%, 12/15/37, Junior Subordinated Notes (a) (b) 12/15/32 @ 100.00 873,480
625,000 Newton Re Ltd., BB+, NR
7.45%, 12/24/10, Bonds (Cayman Islands) (b) (d) (g) N/A 631,900
1,250,000 Progressive Corp. (The), A-, A2
6.70%, 6/15/37, Junior Subordinated Notes (a) (c) 6/15/17 @ 100.00 1,024,140
1,000,000 Residential Reinsurance 2007 Ltd., Ser. CL2, B+, NR
12.93%, 6/7/10, Notes (Cayman Islands) (b) (d) (g) N/A 1,005,780
250,000 Residential Reinsurance 2007 Ltd., BB, NR
9.40%, 6/6/11, Notes (Cayman Islands) (b) (d) (g) N/A 250,638
--------------
6,373,041
--------------
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 @ 100.00 899,655
--------------
RETAIL - 0.8%
1,000,000 AutoNation, Inc., BB+, Ba2
4.79%, 4/15/13, Company Guarantee Notes (d) 10/6/08 @ 103.00 825,000
500,000 Macys Retail Holdings, Inc., BBB-, Baa3
5.90%, 12/1/16, Company Guarantee Notes (a) N/A 431,729
--------------
1,256,729
--------------
TOTAL CORPORATE BONDS - 29.9%
(Cost $49,825,226) 44,505,139
--------------
ASSET BACKED SECURITIES - 31.2%
1,955,915 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A, AA, A2 (a) (b)
6.15%, 10/15/48 1,590,296
490,518 321 Henderson Receivables I LLC, Ser. 2008-1A, Class A, AAA, Aaa (a) (b)
6.19%, 1/15/44 466,183
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class B, AA, NR (a) (b)
8.37%, 1/15/46 487,720
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR (b)
9.36%, 1/15/48 488,665
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB, NR (b)
10.81%, 1/15/50 489,455
1,726,361 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3 (d)
2.84%, 3/15/19 1,519,198
1,400,000 American Express Credit Account Master Trust, Ser. 2007-4, Class C, BBB, Baa2 (a) (b) (d)
2.73%, 12/17/12 1,318,691
999,067 Applebee's Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aaa (a) (b)
6.43%, 12/20/37 856,301
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2 (Cayman Islands) (b) (d)
3.18%, 4/29/19 1,479,860
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C, A, A2 (Cayman Islands) (b) (d)
3.48%, 4/29/19 1,349,620
47,590 Blue Falcon, NR, NR (b)
5.46%, 12/25/16 47,539
676,798 BNC Mortgage Loan Trust, Ser. 2007-4, Class A3A, AAA, NR (a) (d)
2.72%, 11/25/37 629,118
2,000,000 Callidus Debt Partners Fund Ltd., Ser. 6A, Class A1T, AAA, Aaa
(Cayman Islands) (a) (b) (d) 3.06%, 10/23/21 1,724,860
1,420,000 Citibank Credit Card Issuance Trust, Ser. 2006-C4, Class C4, BBB, Baa2 (a) (d)
2.68%, 1/9/12 1,356,802
518,823 Citigroup Mortgage Loan Trust Inc., Ser. 2007-WFHI, Class A1, AAA, Aaa (a) (d)
2.53%, 1/25/37 509,958
3,465,916 Countrywide Home Equity Loan Trust, Ser. 2004-S, Class 1A, AA, Aa3 (d)
2.71%, 2/15/30 2,260,701
1,960,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, AA, A2 (a) (b)
5.26%, 4/25/37 1,642,942
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2, AA, Aa3 (a) (b)
5.78%, 6/20/31 2,625,390
1,000,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-4, Class B, AAA, A1 (d)
3.02%, 6/15/13 835,799
1,000,000 Friedbergmilstein Private Capital Fund, Ser. 2004-1A, Class B2, AA, Aa2
(Cayman Islands) (b) 5.41%, 1/15/19 745,110
1,250,000 GE Commercial Loan Trust, Ser. 2006-1, Class A2, AAA, Aaa (b) (d)
3.02%, 4/19/17 1,152,325
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3, Class B, A, Aa3 (a)
6.04%, 8/15/14 966,512
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2 (a) (b) (d)
2.86%, 6/5/12 1,567,640
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2 (a) (b)
5.14%, 3/20/37 1,753,680
1,341,938 Lightpoint CLO Ltd., Ser. 2004-1A, Class X, A, A2 (Cayman Islands) (a) (b) (d)
5.25%, 2/15/14 1,278,787
500,000 MRU Student Loan Trust, Ser. 2008-A, Class A1A, AAA, NR (a) (b)
7.40%, 1/25/41 478,270
250,000 MRU Student Loan Trust, Ser. 2008-A, Class B, AA, NR (a) (b) (d)
8.29%, 1/25/41 250,030
250,000 MRU Student Loan Trust, Ser. 2008-A, Class C, A, NR (a) (b) (d)
10.29%, 1/25/41 250,037
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2 (Cayman Islands) (a) (b) (d)
3.23%, 11/24/20 741,330
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2 (b)
7.25%, 6/25/38 554,568
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR (Cayman Islands) (b) (d)
17.81%, 11/25/12 1,842,920
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, A, A2 (Cayman Islands) (b) (d)
4.05%, 9/22/16 1,528,040
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1 (Cayman Islands) (b) (d)
4.43%, 6/7/11 488,405
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1 (Cayman Islands) (b) (d)
4.36%, 12/26/11 453,330
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1 (Cayman Islands) (b) (d)
6.41%, 12/26/11 896,550
1,090,032 Structured Asset Securities Corp., Ser. 2007-BNC1, Class A2, AAA, NR (a) (d)
3.57%, 10/25/37 840,251
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2, Class C, BBB, Aaa (d)
4.47%, 10/15/12 905,650
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR (Cayman Islands) (b) (d)
3.69%, 6/15/16 1,743,620
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR (Cayman Islands) (b) (d)
4.74%, 6/15/16 1,041,780
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR (Cayman Islands) (b)
5.79%, 9/1/17 684,360
2,023,409 TCW Select Loan Fund Ltd., Inc., Ser. 1A, Class A1, AAA, Aaa
(Cayman Islands) (a) (b) (d) 3.25%, 10/10/13 1,988,586
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1, AAA, Aaa
(Cayman Islands) (b) (d) 3.13%, 11/21/40 1,732,600
1,000,000 Yapi Kredi DPR Finance Co., Ser. 2006-1, Class C, BBB+, A3 (Cayman Islands) (d)
3.16%, 11/21/13 875,020
TOTAL ASSET BACKED SECURITIES - 31.2% --------------
(Cost $52,023,334) 46,438,499
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 24.9%
900,000 American Tower Trust, Ser. 2007-1A, Class AFX, AAA, Aaa (a) (b)
5.42%, 4/15/37 890,973
1,000,000 American Tower Trust, Ser. 2007-1A, Class B, AA, Aa2 (a) (b)
5.54%, 4/15/37 970,230
500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2, Class G, A-, NR (b) (d)
5.47%, 3/11/41 402,447
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5, Class B, AA+, Aa2 (a) (d)
5.06%, 11/10/41 784,914
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ, AAA, Aaa (a) (d)
5.33%, 10/10/45 498,997
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10, Class AJ, AAA, NR (a) (d)
5.62%, 12/11/40 1,266,320
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2, Class E, A-, A3 (b) (d)
5.02%, 10/15/41 340,609
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2005-CD1, Class AJ, AAA, Aaa (a) (d)
5.40%, 7/15/44 1,668,095
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-CN2A, Class F, A,
NR (a) (b) (d) 5.76%, 2/5/19 886,793
1,816,102 Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8, Class 4A1, AAA, Aaa (a) (d)
5.57%, 12/20/35 1,308,383
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3, Class AM, AAA, Aaa (a) (d)
6.02%, 6/15/38 1,330,533
241,398 Credit Suisse Mortgage Capital Certificates, Ser. 2006-TF2A, Class SHDA, A-, Aa1 (a) (b) (d)
3.07%, 7/15/19 233,676
1,000,000 Crown Castle Towers LLC, Ser. 2006-1A, Class C, NR, A2 (a) (b)
5.47%, 11/15/36 885,070
1,425,000 CS First Boston Mortgage Securities Corp., Ser. 2005-TFLA, Class K, AA+, Aaa (a) (b) (d)
3.77%, 2/15/20 1,398,813
1,000,000 Fannie Mae REMICS, Ser. 2007-90, Class B, NR, NR (a)
6.00%, 9/25/37 932,640
2,045,424 Ginnie Mae, Ser. 2008-14, Class Z, NR, NR (a)
4.50%, 3/16/49 1,473,554
1,225,000 Global Signal Trust, Ser. 2004-2A, Class D, NR, Baa2 (b)
5.09%, 12/15/14 1,135,097
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class AJ, AAA, Aaa (a) (d)
4.86%, 8/10/42 1,661,722
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class AJ, AAA, Aaa (a) (d)
5.48%, 4/10/37 836,856
600,000 GS Mortgage Securities Corp II, Ser. 2001-GL3A, Class E, NR, A1 (b) (d)
6.85%, 8/5/18 543,786
1,375,226 Impac Secured Assets CMN Owner Trust, Ser. 2007-3, Class A1A, AAA, Aaa (d)
2.58%, 9/25/37 1,298,249
700,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2002-C1, Class E, A-, A2 (b)
6.135%, 7/12/37 597,159
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP3, Class AJ, AAA, Aaa (a) (d)
5.11%, 8/15/42 821,572
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR (a) (d)
5.07%, 8/13/42 1,654,135
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, AAA, NR (a)
5.37%, 12/15/43 1,055,407
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, AAA, NR (a) (d)
5.98%, 8/12/41 883,661
145,000 SBA CMBS Trust, Ser. 2005-1A, Class D, NR, Baa2 (b)
6.22%, 11/15/35 136,815
1,500,000 SBA CMBS Trust, Ser. 2005-1A, Class E, NR, Baa3 (b)
6.71%, 11/15/35 1,422,630
2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4, Class AJ, AAA, NR (a) (d)
6.09%, 8/15/39 1,523,606
2,000,000 Timberstar Trust, Ser. 2006-1A, Class A, AAA, Aaa (a) (b)
5.67%, 10/15/36 1,969,800
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2 (a) (b)
5.88%, 10/15/36 678,037
100,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2 (b)
6.21%, 10/15/36 85,904
2,027,316 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class A1, AAA, Aaa (a) (b) (d)
2.72%, 1/15/21 1,959,037
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class L, BB+, Baa2 (b) (d)
4.02%, 1/15/21 999,214
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AJ, AAA, Aaa (a) (d)
5.31%, 7/15/42 1,669,086
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21, Class AJ, AAA, Aaa (a) (d)
5.38%, 10/15/44 834,138
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 24.9% --------------
(Cost $39,236,751) 37,037,958
--------------
NUMBER OF SHARES VALUE
-------------------------------------------------------------------------------------------------------------------------------
COMMON STOCK - 0.6%
AIRLINES - 0.6%
110,000 US Airways Group, Inc. (a) (e) (f) 933,900
--------------
TOTAL COMMON STOCK - 0.6%
(Cost $1,409,100) 933,900
--------------
PREFERRED STOCK - 4.1%
BANKS - 0.7%
50,000 Santander Finance Preferred SA Unipersonal, 6.50% (Spain) (a) 1,004,500
--------------
DIVERSIFIED FINANCIAL SERVICES - 1.0%
50,000 Deutsche Bank Contingent Capital Trust II, 6.55% (a) 993,000
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.95% 585,056
--------------
1,578,056
--------------
INSURANCE - 0.9%
20,000 Aegon NV, 6.375% (Netherlands) (a) 359,400
3,800 ING Groep NV, 7.05% (Netherlands) 81,130
40,000 Torchmark Capital Trust III, 7.10% (a) 890,000
--------------
1,330,530
--------------
REAL ESTATE INVESTMENT TRUST - 0.8%
50,000 Public Storage, Ser. K, 7.25% (a) 1,192,500
--------------
TELECOMMUNICATION SERVICES - 0.7%
1,000 Centaur Funding Corp., 9.08% (Cayman Islands) (a) (b) 991,562
--------------
TOTAL PREFERRED STOCK - 4.1%
(Cost $7,038,813) 6,097,148
--------------
EXCHANGE-TRADED FUNDS - 14.7%
16,000 DIAMONDS Trust Series I (a) (e) 1,847,200
40,300 Powershares QQQ (a) (e) 1,858,636
28,400 SPDR Trust Series 1 (a) (e) 3,657,636
58,500 Ultra Dow30 ProShares (a) (e) 3,653,910
45,400 Ultra QQQ ProShares (a) (e) 3,408,632
121,400 Ultra S&P500 ProShares (a) (e) 7,452,746
TOTAL EXCHANGE-TRADED FUNDS - 14.7% --------------
(Cost $24,796,375) 21,878,760
--------------
PRINCIPAL AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 7.4%
$ 1,085,000 Federal Home Loan Bank System, Ser. HH19, AAA, Aaa
9.00%, 6/18/19, Bonds (a) (d) 1,073,391
500,000 Federal Home Loan Bank System, AAA, Aaa
7.00%, 7/7/20, Bonds (a) (d) 481,250
310,000 Freddie Mac, Ser. MTN, AAA, Aaa
5.25%, 5/29/18, Notes (a) 305,782
4,200,000 Freddie Mac, AAA, Aaa
6.00%, 6/15/17 to 4/29/22, Notes (a) 4,205,425
5,000,000 United States Treasury Bond, NR, NR
4.375%, 2/15/38 (a) 4,964,455
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 7.4% --------------
(Cost $10,884,196) 11,030,303
--------------
TERM LOANS - 22.7%
AEROSPACE AND DEFENSE - 1.3%
1,475,856 Colt Defense
5.71%, 7/9/14, NR, B1 (d) 1,394,684
495,000 Total Safety Series C
5.22%, 12/8/12, B, B2 (d) 467,775
--------------
1,862,459
--------------
AUTOMOBILE - 1.5%
982,796 Adesa, Inc.
5.06%, 9/22/13, NR, Ba3 (d) 879,807
1,437,620 Harbor Freight Tools
4.72%, 7/12/13, NR, B1 (d) 1,297,452
--------------
2,177,259
--------------
CONSUMER PRODUCTS - 0.6%
989,980 Navisite, Inc.
8.15%, 9/19/14, B-, B3 (d) 905,831
--------------
DIVERSIFIED/CONGLOMERATE SERVICE - 2.5%
927,778 Billing Services Group
7.06%, 12/28/14, NR, B1 (d) 904,583
992,500 Compucom Systems
5.97%, 8/13/14, BB, Ba2 (d) 923,025
1,488,750 First Data Corp.
5.25%, 9/24/14, BB-, Ba3 (d) 1,368,513
495,000 Terremark Worldwide, Inc.
6.55%, 7/30/14, B, NR (d) 472,725
--------------
3,668,846
--------------
ELECTRONICS - 3.0%
993,007 Caritor, Inc.
4.72%, 6/4/13, BB-, B1 (d) 726,136
497,161 Clientlogic Corp.
5.29%, 1/30/14, B+, B2 (d) 391,929
1,243,687 Freescale Semiconductor, Inc.
4.21%, 11/29/13, BB, Baa3 (d) 1,115,335
1,488,750 GXS Corp.
7.02%, 10/18/14, B+, Ba3 (d) 1,425,478
890,395 Network Solutions LLC
5.17%, 9/26/14, B, B1 (d) 743,480
--------------
4,402,358
--------------
FOOD & BEVERAGES - 0.9%
90,245 OSI Restaurant Partners, Revolver
2.43%, 8/29/14, BB-, B1 (d) 69,564
1,111,361 OSI Restaurant Partners
5.125%, 6/14/14, BB-, B1 (d) 856,674
500,000 Panda Restaurant
6.60%, 8/23/17, NR, NR (d) 447,440
--------------
1,373,678
--------------
GAMING - 0.5%
409,252 Cannery Casino Resorts LLC
5.06%, 9/18/14, BB-, B2 (d) 390,324
336,614 Cannery Casino Resorts LLC, Revolver
5.035%, 9/18/14, BB-, B2 (d) 321,046
--------------
711,370
--------------
HEALTHCARE, EDUCATION & CHILDCARE - 3.5%
882,218 Aurora Diagnostics LLC
6.87%, 12/10/12, NR, B3 (d) 864,574
460,517 Compsych
5.53%, 7/31/14, B, B2 (d) 428,281
860,972 Embanet
5.79%, 6/28/12, B, B2 (d) 796,399
1,492,500 PRA International
6.04%, 11/16/14, BB-, B1 (d) 1,395,487
938,129 Renal Advantage, Inc.
5.28%, 9/11/14, BB-, B1 (d) 877,151
992,500 TUI University LLC
6.09%, 7/2/14, B-, B2 (d) 893,250
--------------
5,255,142
--------------
HOME & OFFICE FURNISHINGS - 0.6%
1,030,702 Centaur LLC
6.80%, 11/9/14, BB-, B1 (d) 948,246
--------------
INSURANCE - 0.3%
478,127 QTC Management
4.72%, 11/10/12, B+, B2 (d) 411,189
--------------
LEISURE - 0.9%
1,488,750 Bushnell Performance Optics
6.55%, 8/24/13, BB-, Ba3 (d) 1,377,094
--------------
OIL & GAS - 0.9%
1,300,035 Calumet Lubricants Co.
6.77%, 12/28/14, NR, B1 (d) 1,153,781
172,414 Calumet Lubricants Co., Credit Link Deposit Facility
6.77%, 12/28/14, NR, B1 (d) 153,017
--------------
1,306,798
--------------
PRINTING & PUBLISHING - 0.8%
990,000 Advanstar Communications
5.05%, 9/20/14, B+, B1 (d) 722,700
744,332 Idearc, Inc.
4.79%, 11/17/14, BBB-, Ba2 (d) 526,243
--------------
1,248,943
--------------
RETAIL STORES - 4.7%
1,488,693 David's Bridal, Inc.
4.80%, 1/31/14, B, B2 (d) 1,283,068
1,240,625 Deb Shops, Inc.
6.76%, 4/23/14, BB-, Ba3 (d) 1,054,531
1,500,000 Dollar General
5.53%, 7/6/14, B+, B2 (d) 1,385,859
1,000,000 Guitar Center
5.97%, 10/9/13, B-, B2 (d) 862,500
892,500 HH Gregg Appliances, Inc.
4.80%, 9/12/14, B+, B2 (d) 807,712
990,000 Mattress Firm
4.72%, 10/23/14, B, Ba3 (d) 697,950
1,000,000 QVC, Inc.
3.56%, 3/3/11, NR, NR (d) 955,000
--------------
7,046,620
--------------
TRANSPORTATION - 0.7%
992,500 Carey International, Inc.
7.69%, 10/29/14, B, B1 (d) 992,500
--------------
TOTAL TERM LOANS - 22.7%
(Cost $36,239,133) 33,688,333
--------------
TOTAL LONG-TERM INVESTMENTS - 135.5%
(Cost $221,452,928) 201,610,040
--------------
SHORT-TERM INVESTMENTS - 11.1%
GOVERNMENT AGENCY SECURITIES - 10.9%
16,200,000 Federal Home Loan Bank Discount Notes, NR, NR
0.40%, 9/2/08, Discount Notes (e) 16,200,000
--------------
(Cost $16,199,123)
NUMBER OF SHARES VALUE
-------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUNDS - 0.2%
340,049 AIM Government & Agency Money Market 340,049
--------------
(Cost $340,049)
TOTAL SHORT-TERM INVESTMENTS - 11.1%
(Cost $16,539,172) 16,540,049
--------------
TOTAL INVESTMENTS - 146.6%
(Cost $237,992,100) 218,150,089
Other Assets in excess of Liabilities - 0.8% 1,209,165
Total Options Written - (0.4%) (534,831)
Reverse Repurchase Agreements - (47.0%) (69,978,519)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $ 148,845,904
==============
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 physically segregated in
connection with swap agreements, options, reverse repurchase agreements,
and unfunded loan commitments. As of August 31, 2008, the total amount
segregated in connection with reverse repurchase agreements was
$93,313,292.
(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 August 31,
2008, these securities amounted to 53.3% of net assets applicable to common
shares.
(c) Security has a fixed rate coupon which will convert to a floating or
variable rate coupon on a future date.
(d) Floating or Variable Rate Coupon.
(e) All or a portion of this security position represents cover for outstanding
options written.
(f) Non-income producing security.
(g) Risk-Linked Security - A risk-linked security is a form of derivative
issued by insurance companies and insurance-related special purpose
vehicles that apply securitization techniques to catastrophic property and
casualty damages. The security is typically a debt obligation for which
the return of principal and the payment of interest are contingent on the
non-occurrence of a pre-defined "trigger event." Depending on the specific
terms and structure of the security, this trigger could be the result of a
hurricane, earthquake or some other catastrophic event.
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.
----------------------------------------------------------------
Country Allocation*
----------------------------------------------------------------
United States 80.7%
Cayman Islands 13.4%
Bermuda 1.6%
United Kingdom 1.5%
France 1.2%
Sweden 0.9%
Spain 0.5%
Netherlands 0.2%
----------------------------------------------------------------
*Subject to change daily. Based on total investments.
See previously submitted notes to financial statements for the period ended May
31, 2008.
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
per contract) Call Options Written (f) Date Price Value
-----------------------------------------------------------------------------------------------------------
160 DIAMONDS Trust Series I September 2008 $ 117.00 $ 22,160
403 Powershares QQQ September 2008 48.00 11,888
284 SPDR Trust Series 1 September 2008 130.00 47,570
585 Ultra Dow30 ProShares September 2008 64.00 95,063
454 Ultra QQQ ProShares September 2008 82.00 30,645
1,214 Ultra S&P500 ProShares September 2008 63.00 160,855
440 US Airways Group, Inc. September 2008 10.00 24,200
550 US Airways Group, Inc. January 2009 10.00 125,125
110 US Airways Group, Inc. January 2009 12.50 17,325
--------------
TOTAL CALL OPTIONS WRITTEN $ 534,831
==============
(Premiums received $1,063,775)
(f) Non-income producing security
The Fund entered into swap agreements during the period ended August 31, 2008.
Details of the swap agreements outstanding as of August 31, 2008 were as
follows:
CREDIT DEFAULT SWAP AGREEMENTS
NOTIONAL UNREALIZED
BUY/SELL TERMINATION AMOUNT PAY/RECEIVE APPRECIATION/
COUNTERPARTY REFERENCE ENTITY PROTECTION DATE (000) FIXED RATE DEPRECIATION
-------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs* Bank of America Corp. Buy 06/20/13 $ 5,000 0.98% $ 58,350
Goldman Sachs* Wells Fargo & Company Buy 06/20/13 5,000 0.99 45,550
Goldman Sachs** Basket of 110 distinct corporate entities Sell 09/21/14 3,000 1.18 (1,084,200)
---------------
$ (980,300)
---------------
INTEREST RATE SWAP AGREEMENTS
NOTIONAL UNREALIZED
TERMINATION AMOUNT PAY/RECEIVE APPRECIATION/
COUNTERPARTY FLOATING RATE DATE (000) FIXED RATE DEPRECIATION
-------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs** 3 Month LIBOR 01/04/38 $ 10,000 5.86% $ 57,140
Goldman Sachs** 3 Month LIBOR 01/04/38 10,000 5.675 64,886
Goldman Sachs** 3 Month LIBOR 07/07/38 5,000 5.7525 48,550
Goldman Sachs** 3 Month LIBOR 07/07/38 5,000 5.94 33,300
HSBC** 3 Month LIBOR 01/09/23 5,000 7.70 (197,352)
---------------
$ 6,524
---------------
---------------
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $ (973,776)
===============
* 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.
In September, 2006, the FASB issued Statement of Financial Accounting Standards
No. 157, "Fair Valuation Measurements" ("FAS 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. FAS 157 establishes three different categories for
valuations. Level 1 valuations are those based upon quoted prices in active
markets. Level 2 valuations are those are those based upon quoted prices in
inactive markets or based upon significant observable inputs (i.e. yield curves;
benchmark interest rates; indices). Level 3 valuations are those based upon
unobservable inputs (i.e. discounted cash flow analysis; non-market based
methods used to determine fair valuation).
Valuations at August 31, 2008
Description Securities Derivatives Total
(value in $000s) ---------- ----------- -----
Assets:
Level 1 $ 29,250 $ - $ 29,250
Level 2 188,900 308 189,208
Level 3 - - -
------------------------------------------
Total $ 218,150 $ 308 $ 218,458
==========================================
Liabilities:
Level 1 $ - $ 535 $ 535
Level 2 - 1,282 1,282
Level 3 - - -
------------------------------------------
Total $ - $ 1,817 $ 1,817
==========================================
Level 3 holdings Securities Derivatives Total
---------- ----------- -----
Beginning Balance at 5/31/08 $ - $ - $ -
Total Realized Gain/Loss - - -
Change in Unrealized Gain/Loss - - -
Net Purchases and Sales - - -
Net Transfers In/Out - - -
------------------------------------------
Ending Balance at 8/31/08 $ - $ - $ -
==========================================
Subsequent to August 31, 2008, the major U.S. and global equity market
benchmarks posted sharp declines. From August 31, 2008 through October 15, 2008,
the Dow Jones Industrial Average lost 29.0%, the S&P 500 Index declined by 25.5%
and the Nasdaq Composite shed 31.2%. Globally, the MSCI World Index declined
23.8% and the MSCI EAFE lost 24.2%.
As illustrated by the benchmark returns, the impact was not limited to a
specific sector. The Chicago Board of Options Exchange Volatility Index, which
is generally used as a gauge of fear and uncertainty in the market place,
reached levels never seen before. The markets appeared to have lost confidence
in the financial system after a significant series of events which included: the
government rescue of mortgage entities Fannie Mae and Freddie Mac, the failure
of investment bank Lehman Brothers, the merger of Merrill Lynch with Bank of
America, the government bailout of American International Group, and the passage
of a $700 billion financial rescue package designed to help rid financial
institutions of "toxic" debt carried on their books. The combination of these
events, and others, resulted in significant declines in market valuations of the
impacted securities, the financials sector in general and the broad market as a
whole.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) as of a date within 90 days of the filing date
of this report and have concluded, based on such evaluation, that the
registrant's disclosure controls and procedures were effective, as of
that date, in ensuring that information required to be disclosed by the
registrant in this Form N-Q was recorded, processed, summarized and
reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940, as amended) that occurred during the registrant's last fiscal
quarter that has materially affected or is reasonably likely to
materially affect the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is
attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Claymore/Guggenheim Strategic Opportunities Fund
By: /s/ J. Thomas Futrell
------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: October 29, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ J. Thomas Futrell
------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: October 29, 2008
By: /s/ Steven M. Hill
------------------------------------
Steven M. Hill
Chief Financial Officer, Chief Accounting Officer & Treasurer
Date: October 29, 2008