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: November 30, 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 semi-annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the "Investment
Company Act"), is as follows:
SEMIANNUAL
REPORT
November 30, 2008
(Unaudited)
Claymore/Guggenheim|
| GOF
Strategic Opportunities Fund|
LOGO:CLAYMORE(SM) LOGO: GUGGENHEIM(R)
www.claymore.com/gof
... YOUR WINDOW TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
Photo: Claymore/Guggenheim Strategic Opportunities Fund website page
The shareholder report you are reading right now is just the beginning of the
story. Online at WWW.CLAYMORE.COM/GOF, 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 SemiAnnual Report | November 30, 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 semi-annual period ended November 30, 2008. This has been an extraordinarily
difficult time for all investors and we are disappointed to report that the
Fund's return was negative for the period. However, given the Fund's objective
and investment strategy, we believe that it has performed well considering the
extremely challenging economic and investment environment that has existed since
it was launched. We believe this is a testament to our rigorous process of
individual security selection in addition to our commitment to keeping the Fund
highly diversified.
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 "Sub-Adviser"), a
wholly owned subsidiary of Guggenheim Partners, LLC ("Guggenheim"). 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 November 30, 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 semi-annual period
ended November 30, 2008, the Fund provided a total return based on market price
of -35.12% and a return of -26.24% based on NAV. The closing price of the Fund's
shares as of November 30, 2008, was $10.15, which represented a discount of
16.46% to the Fund's NAV of $12.15. 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 semi-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 and 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.
SemiAnnual Report | November 30, 2008 3
GOF | Claymore/Guggenheim Strategic Opportunities Fund | DEAR SHAREHOLDER
continued
During the semi-annual period ended November 30, 2008, the Fund paid six monthly
dividends of $0.154 per share. The current monthly dividend of $0.154 per share
represents an annualized distribution rate of 18.21% based on the Fund's closing
market price of $10.15 as of November 30, 2008.
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 GPAM's investment philosophy, its 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 or www.claymore.com/cef.
Sincerely,
/s/J. Thomas Futrell
J. Thomas Futrell
Claymore/Guggenheim Strategic Opportunities Fund
4 SemiAnnual Report | November 30, 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.
("GPAM" or the "Sub-Adviser"). 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 during the
semi-annual period ended November 30, 2008.
================================================================================
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.
GPAM seeks to combine a credit-managed fixed-income portfolio with access to a
diversified pool of alternative investments and equity strategies. There is no
guarantee that the perceived fair value will be achieved however.
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 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 Investment Company Act of 1940, as amended ("the 1940 Act") to
the extent permitted by applicable law and related interpretations of the
staff of the U.S. Securities and Exchange Commission.
GPAM's investment process is a collaborative effort between its Portfolio
Construction Group, which utilizes tools such as GPAM'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 33(1)/3% of the Fund's total assets after such issuance; however, the
Fund may utilize Financial Leverage up to the limits imposed by the 1940 Act.
Although the use of Financial Leverage by the Fund may create an opportunity for
increased 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 the financial leverage proceeds are greater than the
cost of the financial leverage, the common shares' return will be greater than
if financial leverage had not been used. Conversely, if the income or gains from
the securities common shares will be less than if financial leverage had not
been used. 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.
SemiAnnual Report | November 30, 2008 | 5
GOF | Claymore/Guggenheim Strategic Opportunities Fund l QUESTIONS & ANSWERS
continued
================================================================================
PLEASE TELL US ABOUT THE MARKET ENVIRONMENT OVER THE
LAST SIX MONTHS.
In the Fund's previous annual report, issued after the end of the Fund's fiscal
year on May 31, 2008, we discussed the financial crisis that began as a
correction in the subprime mortgage market in late 2007. We cited investors'
increasing discomfort with risk, the illiquidity and volatility of global
securities markets, and of massive de-leveraging. After policy makers engineered
a rescue for The Bear Stearns Companies Inc. in March 2008, non-government bonds
and equities rallied strongly. At the time it appeared that markets might have
bottomed.
Following a two-month long rally in the financial markets that ended in May, the
financial crisis became much worse over the next six months. Investors fled risk
in a wholesale manner and indiscriminately sold securities with little
consideration for their intrinsic value. Essentially all securities that do not
have explicit or implicit guarantee from the U.S. government have traded at
extremely low valuations that we believe, in many instances, do not reflect the
value that will ultimately be realized.
Over the six-month period ended November 30, 2008, U.S. Treasury Bonds were the
best performing asset class; the Barclays Treasury Composite Index1 returned
8.46%. In contrast, non-government bonds performed poorly. For example,
investment grade corporate bonds as measured by the Barclays U.S. Corporate Bond
Index2 returned -10.81% for the period, while the Barclays Aggregate Bond
Index3, which is a proxy for the investment grade bond market, returned 0.25%
for the period. The Standard & Poor's 500 Index4 (the "S&P 500"), which is
generally regarded as a good indicator of the broad stock market, returned
-35.20%. World equity markets performed even worse than the US market; the MSCI
World Index5, which measures performance of world equity markets, returned
-40.79%. Indices are unmanaged and it is not possible to invest directly in an
index.
The single event that had the greatest impact on the financial markets for this
reporting period occurred in mid-September, when Lehman Brothers Holdings Inc.
filed for bankruptcy. At GPAM we had come to the conclusion that allowing Lehman
Brothers to fail would create massive turmoil throughout the global financial
markets, which is exactly what happened in the wake of Lehman's bankruptcy
filing. We believed that policymakers were aware of this as well and would act
to avoid such an outcome. It is not clear why Lehman was allowed to fail without
any attempts by policy makers to, at the very least, unwind Lehman in an orderly
manner. It may have been due to the significant criticism that U.S. Treasury
Secretary Henry Paulson and Federal Reserve Board (the "Fed") Chairman Ben
Bernanke had received from Congress and the public for engineering a rescue of
Bear Stearns that committed $30 billion of taxpayer money via the Fed in order
to get J.P. Morgan to agree to purchase Bear Stearns. Paulson and Bernanke's
lack of action with regard to Lehman perhaps represented a yielding to pressure
from elected officials whose constituents were unhappy with a bail-out that many
believed benefited only Wall Street, while failing to recognize its benefits for
the general public. After Lehman's failure, lending essentially ceased, as
financial institutions exhibited no confidence in one another. In each of the
months of September and October, broad bond indices such as the Barclays U.S.
Corporate Bond Index (this index is a proxy for the U.S. investment grade
corporate sector), had worse performance relative to Treasury securities than
they have ever had for any full year period since the indices have existed.
Subsequent to the failure of Lehman Brothers, which proved to have a
dramatically negative effect on markets, U.S. policy makers have indicated that
they will not allow a systemically important institution to fail, and they have
injected capital into almost every major financial institution and into many
smaller ones as well. In addition, in order to gain access to funds from the
$700 billion Troubled Asset Relief Program ("TARP")--the fundamental component
of the Emergency Economic Stabilization Act of 2008 that gives broad authority
to the Secretary of the Treasury to purchase troubled assets--a number of
non-bank institutions, such as American Express Company, The Goldman Sachs
Group, Inc., Morgan Stanley, and GMAC, LLC, have converted to bank holding
companies. Among other benefits, bank holding companies have access to capital
from the government and are eligible to issue debt, subject to certain
limitations, guaranteed by the Fed. We believe that the Fed and the U.S.
Treasury will continue to aggressively pursue the policy actions they have put
into place and to introduce new policies in order to return the credit markets
to a more normal level of activity. Properly functioning credit markets are
essential for the health of the U.S. economy.
1 The Barclays Treasury Composite Index is an unmanaged index of U.S.
Treasury securities.
2 The Barclays U.S. Corporate Bond Index is an unmanaged index of bonds
issued by U.S. corporations.
3 The Barclays U.S. Aggregate Bond 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.
4 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.
5 The Morgan Stanley Capital International ("MSCI") World Index is a
float-adjusted capitalization-weighted index created by Morgan Stanley
Capital International to measure equity market performance throughout the
world.
6 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund l QUESTIONS & ANSWERS
continued
================================================================================
HOW DID THE FUND PERFORM IN THIS DIFFICULT ENVIRONMENT?
Given the Fund's objective and investment strategy, we believe that it has
performed well considering the very difficult environment that has existed since
it was launched. We believe this is a testament to our rigorous process of
individual security selection in addition to our commitment to keeping the Fund
highly diversified. All Fund returns cited--whether based on net asset value
("NAV") or market price--assume the reinvestment of all distributions. For the
six-month period ended November 30, 2008, the Fund returned -26.24% on an NAV
basis and -35.12% on a market price basis. The closing price of the Fund's
shares as of November 30, 2008, was $10.15, which represented a discount of
16.46% to the NAV of $12.15.
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.
Although it is always disappointing to report negative returns, we are pleased
that the Fund has outperformed the S&P 500 on an NAV basis since its inception
and has had volatility or risk of less than one-third the level of the S&P 500.
The Fund's volatility has been much more in line with the risk of fixed income
securities. This is an important achievement, since one goal of the Fund is to
provide long-term returns in line with equity returns but with volatility is
closer to that of bonds. (For the period from the Fund's inception date of July
27, 2007, through November 30, 2008, the Fund's NAV return on an annualized
basis was -21.05%. compared with return of -29.61% for the S&P 500. Over this
same period, the Fund's annualized volatility has been approximately 10.5%. This
compares with annualized volatility of the Barclays Aggregate Bond Index (a
proxy for bonds) of approximately 5.5% and volatility of the S&P 500 Index of
approximately 35% over the same period. The volatility is measured by
calculating the standard deviation of the percentage changes in the Fund's daily
NAV and then annualizing them. The relatively low volatility of the Fund's NAV
is attributable to its high level of diversification across many different asset
classes.
During the six-month period ended November 30, 2008, the Fund paid monthly
dividends of $0.154 per share. On an annualized basis, the current monthly
dividend represents distribution rate of 18.21% based on the closing market
price of $10.15 as of as of November 30, 2008. Past performance is not a
guarantee of future results.
================================================================================
HOW DID YOU ALLOCATE THE FUND AMONG ASSET CLASSES THIS PERIOD, AND HOW DID THESE
INVESTMENTS PERFORM?
Broadly speaking, on November 30, 2008 the Fund had 84% of its assets in fixed
income securities and 16% in equities. The Fund's average credit quality was
Single A, and less than 18% of its holdings were rated below investment grade.
At GPAM, 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. At the end of the period,
the Fund remains highly diversified, with exposure to over one dozen broad
sector classifications and dozens of subsectors of the major sectors. We have
attempted to optimize the portfolio by analyzing the historical returns
generated by GPAM's management team in each sector, the volatility of each
sector and the correlations among the sectors. We do this in an effort to reduce
the risk of the portfolio while providing the opportunity for an attractive
long-term return to our investors.
Correctly anticipating a flight to quality, when the Fund was established, we
committed a substantial portion of the Fund's assets to U.S. Government and
Agency securities. These securities performed very well during the Fund's first
fiscal year, which ended May 31, 2008. By the beginning of the current fiscal
year, we had reduced this position to approximately 15% of total investments and
at the end of the period, U.S. Government and Agency securities comprised about
6% of the portfolio. As the market became even more risk-averse, these
government-backed securities were by far the best performing asset class in the
portfolio. More recently, in September we purchased some 30-year U.S. Treasury
bonds, and they have provided a return in excess of 13% in the short time we
have owned them. Since the current level of yields on most Government securities
are very low and we believe not attractive from a long term investor's
standpoint, we have been selling these securities to book gains and then
purchasing Non-Government securities that, in our opinion, offer more attractive
long term return potential.
Due to extreme market illiquidity, risk aversion, and the forced deleveraging of
many investors, essentially all non-government debt securities posted sharply
negative returns. As a result, the Fund's holdings in commercial mortgage-backed
securities ("CMBS"), preferred securities, bank loans, asset-backed securities
("ABS") and high yield bonds were all negatively impacted.
SemiAnnual Report | November 30, 2008 | 7
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
Among securities other than government-related issues, the best performing asset
class was event-linked securities, which provide investors with high return
potential in exchange for effectively providing reinsurance for insurance and
reinsurance companies. The bonds can be tied to any number of events; however,
the most common types of event-linked securities are tied to the occurrence of a
major hurricane, earthquake or pandemic that results in extreme catastrophic
losses to insurers. These securities provide attractive yields and, in addition,
reduce the Fund's overall level of risk due to their low correlations to most
other fixed income and equity-related asset classes. Their relatively strong
performance during this difficult period provides further confirmation of the
value of diversification across a wide range of asset classes.
================================================================================
HOW DID THE FUND'S LEVERAGE AFFECT PERFORMANCE DURING
THIS PERIOD?
The purpose of leverage (borrowing) is to fund the purchase
of additional securities that provide increased income and potentially greater
appreciation to common shareholders than could be achieved from an unleveraged
portfolio. Of course, leverage results in greater NAV volatility and entails
more downside risk than an unleveraged portfolio. Since leverage adds to
performance only when the cost of leverage is less than the total return
generated by investments, the use of leverage detracted from the Fundtotal
return during this period. The use of leverage did, however, increase the amount
of income available to pay the monthly dividend because the income earned
(interest income, dividend income and equity call premiums) on the investments
purchased with the borrowed funds exceeded the cost of the borrowings.
Since the Fund's inception, we have employed leverage through reverse repurchase
agreements, under which we lend securities and receive cash in return which can
be used for additional investments. In November, we were able to arrange a new
financing facility through BNP Paribas, a leading European bank. We consider
this a major accomplishment, since it is very difficult to secure committed
financing in this environment. We believe that this facility, which will be used
to reduce outstanding reverse repurchase agreements, will provide the Fund a
more reliable source of leverage to be used in the management of the Fund.
================================================================================
WHAT IS YOUR CURRENT OUTLOOK FOR THE MARKETS AND THE FUND?
Despite the abundant negatives, we are optimistic about the future, although we
do not expect a quick recovery. On December 1, 2008, the Business Cycle Dating
Committee of the National Bureau of Economic Research made the official
announcement that the U.S. economy is in a recession, and that the recession
began in December 2007. We believe that annualized real growth in gross domestic
product will be in the range of -5% to -6% in the fourth quarter of 2008 and the
first quarter of 2009. In the second quarter of 2009 we expect to see some
moderation in the pace of decline and by the second half of 2009, we expect to
see some improvement in economic trends. Typically, the economy begins to pick
up about 18 months after the first easing of monetary policy by the Fed, which
occurred in September 2007. If this recovery follows that pattern, we should see
some signs of a recovery by the second or third quarter of 2009.
We believe that the Fed and the U.S. Treasury Department will do whatever is
necessary to return credit markets to normalcy and to stimulate economic growth.
In December 2008, the Fed lowered short-term interest rates effectively to zero,
and we believe they will implement policies that have not been used since the
1930s and 1940s to keep not just short-term rates but also long-term rates at
low levels. We also are expecting greater efforts to push mortgage rates down.
Not only will the Fed and the U.S. Treasury Department be buying mortgages
outright; we believe they will drive 30-year fixed rate mortgage rates below 5%
and maybe as low as 4% to cause a wave of refinancing in addition to increasing
the level of home affordability for buyers. That should lower the default rate
and help to stabilize real estate values, which should help mitigate the losses
that financial institutions are taking. That, in turn, should begin to stimulate
lending, which is so essential to our credit-based economy. In addition to the
highly stimulative monetary policy, we expect fiscal stimulus in the form of
government spending programs under the new Democratically-controlled Congress
and White House. The stimulus package is expected to be greater than $750
billion and we believe will likely be spent over a two-year period. In our
opinion, policy makers are more likely to over-stimulate the economy to ensure a
recovery. The monetary and fiscal stimulus that is being introduced will likely
create higher inflation, but that will be a problem that will take several years
to
8 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
unfold. Over the near term, the battle is to avoid a large scale
collapse of prices.
We also expect changes in law or regulations to avoid future episodes similar to
what we have experienced, where a confluence of factors including overly easy
credit and lax oversight lead to the financial crisis we have experienced.
As the name indicates, this is an opportunistic fund and we are finding some
good opportunities in the current market. We believe that many assets are priced
below their intrinsic long-term value because of investors' fear of risk. We
have been selectively adding to positions in asset classes such as non-agency
mortgage-backed securities, asset-backed securities, corporate securities and
commercial mortgage-backed securities. There has been a wholesale flight of
investors from these sectors, to the point that securities with strong credit
profiles can be bought at extraordinarily valuations. However there is no
guarantee that the perceived intrinsic value will be realized.
SemiAnnual Report | November 30, 2008 | 9
GOF | Claymore/Guggenheim Strategic Opportunities Fund l QUESTIONS & ANSWERS
continued
================================================================================
RISKS AND OTHER CONSIDERATIONS
No representation or warranty is made by Guggenheim Partners or any of their
related entities or affiliates as to the sufficiency, relevance, importance,
appropriateness, completeness, or comprehensiveness of the market data,
information or summaries contained herein for any specific purpose. The views
expressed in this presentation are the views of the GPAM and are subject to
change based on market and other conditions. The opinions expressed may differ
from those of other entities affiliated with GPAM that use different investment
philosophies.
All material has been obtained from sources believed to be reliable, but its
accuracy is not guaranteed. There is no representation or warranty as to the
current accuracy of, nor liability for, decisions of any potential investors
based on such information. There is no guarantee that Guggenheim Partners will
make the investments as discussed herein. The illustrations are intended solely
as tool to assist in consideration of various potential asset allocations for a
client's account.
Past performance of indices of asset classes does not represent actual returns
or volatility of actual accounts or investment managers, and should not be
viewed as indicative of future results. The benchmarks used are for purposes of
comparison and should not be understood to mean that there will necessarily be a
correlation between the portrayed returns herein and these benchmarks. The
investments discussed may fluctuate in price or value. Investors may get back
less than they invested.
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.
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.
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.
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
l0 SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
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. 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, Derivative Transactions
Risks, Investment Funds Risk, Private Investment Funds Risk, Affiliated
Investment Funds Risk, Synthetic Investments Risk, Inflation/Deflation Risk,
Anti-Takeover Provisions, Market Discount Risk, and Current Developments Risks.
Please see www.claymore.com/gof for a more detailed discussion about Fund risks
and considerations.
SemiAnnual Report | November 30, 2008 | 11
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Fund SUMMARYlAS OF NOVEMBER 30, (2008) (unaudited)
FUND STATISTICS
--------------------------------------------------------------------------------
Share Price $10.15
Common Share Net Asset Value $12.15
Premium/Discount to NAV -16.46%
Net Assets Applicable to Common Shares ($000) $110,624
--------------------------------------------------------------------------------
TOTAL RETURNS
--------------------------------------------------------------------------------
(INCEPTION 7/27/07) MARKET NAV
--------------------------------------------------------------------------------
Six Month -35.12% -26.24%
One Year -31.77% -29.42%
Since Inception - average annual -32.58% -21.05%
--------------------------------------------------------------------------------
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 TOTAL
TOP TEN HOLDINGS INVESTMENTS
--------------------------------------------------------------------------------
DIAMONDS Trust, Series 1 3.7%
United States Treasury Bond
4.500%, 5/15/38 3.6%
SPDR Trust, Series 1 3.6%
Ultra S&P500 ProShares 3.2%
Freddie Mac
6.000%, 6/15/17 to 3/2/22, Notes 1.9%
Powershares QQQ 1.5%
Dunkin Securitization, Ser. 2006-1, Class A2
5.779%, 6/20/31 1.5%
Svensk Exportkredit AB
6.375%, 10/29/49, Subordinated Notes 1.2%
TCW Global Project Fund, Ser. 2004-1A, Class A1
5.653%, 6/15/16 1.2%
Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1
2.493%, 11/21/40 1.2%
--------------------------------------------------------------------------------
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.
Line chart:
Share Price & NAV History
11/30/07 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
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
16.78 17.52
16.92 17.52
17.01 17.52
16.94 17.52
16.98 17.53
17.06 17.46
16.82 17.41
16.62 17.31
16.4 17.09
16.3 17.05
16.57 17.06
16.51 17.08
16.65 17.1
16.32 17.12
16.41 17.12
16.29 17.04
16 16.99
15.75 17.01
15.82 17.01
15.81 16.88
15.4 16.88
15.1 16.88
15.3 16.83
15.27 16.76
15.4 16.76
15.33 16.77
15.44 16.79
15.29 16.81
15.25 16.85
14.8 16.57
14.43 16.51
14.36 16.46
14.52 16.54
14.73 16.48
14.55 16.38
14.45 16.42
14.81 16.45
14.82 16.48
14.75 16.51
15.02 16.47
14.93 16.46
15.2 16.54
15.02 16.56
14.96 16.52
15.33 16.54
15.47 16.52
15.61 16.51
15.61 16.5
15.67 16.51
15.66 16.55
15.74 16.43
15.61 16.48
15.46 16.3
15.51 16.37
15.77 16.44
15.81 16.39
15.82 16.3
15.72 16.31
15.4 16.3
15.48 16.35
15.52 16.32
15.42 16.35
15.14 16.35
15.33 16.39
15.61 16.35
15.31 16.35
15.49 16.37
15.68 16.48
16.13 16.33
15.89 16.39
15.7 16.28
15.93 16.29
15.29 16.17
14.92 16.12
13.96 15.93
13.13 15.89
12.35 15.66
12.5 15.74
13.03 15.71
12.75 15.57
12.96 15.51
12.98 15.46
12.95 15.42
12.5 15.37
10.45 15.16
11.16 15.19
12.19 15.17
12.12 14.9
12.09 14.84
11.27 14.73
10.72 14.53
10.48 14.26
9.3 14.22
10.31 13.72
11.43 14.02
12.85 14.02
11.88 13.6
11.73 13.74
12.08 13.72
12.81 13.89
12.84 14
12.74 13.98
12.8 13.99
12.98 13.69
12.68 13.5
12.43 13.66
12.38 13.64
12.6 13.74
12.43 13.71
12.42 13.63
12.91 13.8
12.63 13.74
12.45 13.53
12.55 13.58
12.5 13.57
12.42 13.53
11.61 12.89
11.49 12.91
11.2 12.8
10.8 12.49
10.19 12.35
9.21 12.16
8.05 11.89
8.11 12.03
8.9 11.83
9.1 12
9.74 12.1
11/30/08 10.15 12.14
Bar chart:
Monthly Dividends Per Share
Dec 0.142
Jan 08 0.154
Feb 0.154
Mar 0.154
Apr 0.154
May 0.154
Jun 0.154
Jul 0.154
Aug 0.154
Sep 0.154
Oct 0.154
Nov 0.154
Pie chart:
Portfolio Composition (% of Total Investments)
Asset Class
-----------------------------------------------------------
Asset Backed Securities 28.4%
Corporate Bonds 18.1%
Collateralized Mortgage Obligations 15.3%
Term Loans 15.2%
U.S. Government & Agency Securities 6.0%
Exchange-Traded Funds 14.0%
Preferred Stock 2.6%
Common Stock 0.4%
-----------------------------------------------------------
Pie chart:
Credit Quality*
-----------------------------------------------------------
AAA (Includes U.S.
Government Obligations) 23.9%
AA 15.7%
A 16.3%
BBB 10.7%
BB 7.4%
B 8.9%
CCC 0.1%
CC 0.1%
Common Stock/Other 16.9%
-----------------------------------------------------------
*Represents higher of either S&P, Moody's or Fitch as a percentage of long term
investments
-----------------------------------------------------------
12 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Portfolio of INVESTMENTS | NOVEMBER 30, 2008 (UNAUDITED)
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
=====================================================================================================
LONG-TERM INVESTMENTS - 144.7%
CORPORATE BONDS - 26.2%
AIRLINES - 2.2%
$1,467,973 America West Airlines, Inc., Ser. 01-1, A, Baa1
7.100%, 4/2/21, Pass Thru Certificates (a) N/A $ 1,198,379
934,936 Delta Air Lines, Inc., A-, Baa1
6.821%, 8/10/22, Pass Thru Certificates (a) N/A 576,734
941,942 Northwest Airlines Corp., Ser. 992A, A-, NR
7.575%, 3/1/19, Pass Thru Certificates (a) N/A 702,114
-----------------------------------------------------------------------------------------------------
2,477,227
-----------------------------------------------------------------------------------------------------
BANKS - 11.1%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.300%, 10/31/49, Subordinated Notes (a) (b) 1/05/09 @ 100.00 885,780
1,250,000 Barclays Bank PLC, A+, Aa3
6.278%, 12/29/49, Junior Subordinated Notes
(United Kingdom) (a) (c) 12/15/34 @ 100.00 701,975
1,200,000 BNP Paribas, AA-, Aa3
7.195%, 6/29/49, Junior Subordinated Notes
(France) (a) (b) (c) 6/25/37 @ 100.00 719,869
1,000,000 CoBank ACB, A, NR
7.875%, 4/16/18, Subordinated Notes (a) (b) N/A 958,732
1,000,000 Credit Agricole SA, A, Aa3
6.637%, 5/29/49, Junior Subordinated Notes
(France) (a) (b) (c) 5/31/17 @ 100.00 500,182
1,500,000 Farm Credit Bank, NR, A2
7.561%, 11/29/49, Junior Subordinated Notes (c) 12/15/13 @100.00 828,015
1,000,000 Fifth Third Bancorp, A, A2
8.250%, 3/1/38, Subordinated Notes (a) N/A 786,668
1,000,000 KeyBank NA, Ser. BKNT, A-, A2
7.413%, 5/6/15, Subordinated Notes (a) N/A 828,087
1,000,000 KeyCorp Capital III, BBB, A3
7.750%, 7/15/29, Bank Guarantee Notes (a) N/A 703,706
1,200,000 Lloyds TSB Group PLC, A, Aa3
6.267%, 11/29/49, Junior Unsecured Notes
(United Kingdom) (a) (b) (c) 11/14/16 @ 100.00 468,936
1,250,000 Mellon Capital IV, Ser. 1, A, Aa3
6.244%, 6/20/49, Company Guarantee Notes (a) (c) 6/20/12 @ 100.00 750,920
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.378%, 1/29/49, Junior Subordinate
Notes (a) (b) (c) 10/15/17 @ 100.00 577,138
700,000 PNC Preferred Funding Trust I, A-, A3
8.700%, 2/19/49, Senior Unsecured
Notes (a) (b) (c) 3/15/13 @ 100.00 562,457
1,400,000 Royal Bank of Scotland Group PLC, Ser. MTN,
BBB+, A1 7.640%, 3/31/49, Junior Subordinated
Stock (United Kingdom) (a) (c) 9/29/17 @ 100.00 676,397
1,250,000 State Street Capital Trust IV, A, A1
3.819%, 6/15/37, Company Guarantee Notes (a) (d) 6/15/12 @ 100.00 702,000
1,250,000 US AgBank FCB, A, A2
6.110%, 4/29/49, Notes (a) (b) (c) 7/10/12 @ 100.00 786,363
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
=====================================================================================================
$1,000,000 Wells Fargo Capital XIII, Ser. GMTN, AA-, Aa2
7.700%, 12/29/49, Bank Guaranteed Notes (a) (c) 3/26/13 @ 100.00 $ 811,231
-----------------------------------------------------------------------------------------------------
12,248,456
-----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 4.2%
500,000 Discover Financial Services, BBB-, Baa3
6.450%, 6/12/17, Senior Unsecured Notes (a) N/A 334,985
Hampton Roads PPV LLC, NR, Aa3 (a) (b)
1,000,000 6.071%, 12/15/41, Bonds N/A 765,270
1,000,000 6.171%, 6/15/53, Bonds N/A 742,840
500,000 Janus Capital Group, Inc., BBB-, Baa3
6.700%, 6/15/17, Senior Unsecured Notes (a) N/A 354,945
1,000,000 Schwab Capital Trust I, BBB+, A3
7.500%, 11/15/37, Company Guarantee
Notes (a) (c) 11/15/17 @ 100.00 463,010
2,000,000 Svensk Exportkredit AB, AA-, Aa3
6.375%, 10/29/49, Subordinated Notes
(Sweden) (a) (b) 3/27/09 @ 100.00 1,999,592
-----------------------------------------------------------------------------------------------------
4,660,642
-----------------------------------------------------------------------------------------------------
ELECTRIC - 0.8%
500,000 Pennsylvania Electric Co., BBB, Baa2
6.050%, 9/1/17, Senior Unsecured Notes (a) N/A 427,773
1,000,000 Wisconsin Energy Corp., BBB-, Baa1
6.250%, 5/15/67, Junior Subordinated
Notes (a) (c) 5/15/17 @ 100.00 500,000
-----------------------------------------------------------------------------------------------------
927,773
-----------------------------------------------------------------------------------------------------
ENTERTAINMENT AND GAMING - 1.3%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.350%, 10/1/15, Secured Notes (b) N/A 889,240
500,000 Downstream Development Authority of the
Quapaw Tribe of Oklahoma, B-, Caa1
12.000%, 10/15/15, Senior Secured Notes (b) 10/15/11 @ 109.00 291,250
500,000 Indianapolis Downs LLC & Capital Corp., CCC,
Caa1 11.000%, 11/1/12, Senior Secured Notes (b) 11/1/10 @ 105.50 237,500
-----------------------------------------------------------------------------------------------------
1,417,990
-----------------------------------------------------------------------------------------------------
INSURANCE - 5.2%
525,000 Ajax Re Ltd., CC, NR
9.069%, 5/8/09, Secured Notes (Cayman Islands)
(b)(d)(g) N/A 105,000
1,000,000 Allstate Corp. (The), A-, A3
6.500%, 5/15/57, Junior Subordinated
Debentures (a) (c) 5/15/37 @ 100.00 561,458
1,000,000 AXA SA, BBB+, Baa1
6.463%, 12/14/49, Junior Subordinated
Notes (France) (a) (b) (c) 12/14/18 @ 100.00 445,500
400,000 Blue Coast Ltd., Ser. A, BB-, NR
12.339%, 12/8/10, Notes (b)(d)(g) N/A 383,032
700,000 Blue Fin Ltd., BB+, NR
8.689%, 4/10/12, Notes (a)(b)(d)(g) 4/08/10 @ 101.00 590,240
500,000 GlobeCat Ltd., Ser. CAQ, NR, B1
10.053%, 1/2/13, Notes (Cayman Islands)
(b)(d)(g) 12/21/11 @ 100.50 514,035
-----------------------------------------------------------------------------------------------------
See notes to financial statements.
SemiAnnual Report | November 30, 2008 | 13
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS (unaudited) continued
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
=====================================================================================================
INSURANCE (CONTINUED)
$2,000,000 Merna Reinsurance Ltd., Ser. B, NR, A2
5.512%, 7/7/10, Secured Notes (Bermuda)
(a)(b)(d)(g) N/A $ 1,853,400
1,000,000 Metlife Capital Trust IV, BBB+, Baa1
7.875%, 12/15/37, Junior Subordinated
Notes (a) (b) 12/15/32 @ 100.00 583,243
1,250,000 Progressive Corp. (The), A-, A2
6.700%, 6/15/37, Junior Subordinated Notes
(a) (c) 6/15/17 @ 100.00 664,051
-----------------------------------------------------------------------------------------------------
5,699,959
-----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.6%
1,000,000 HRPT Properties Trust, BBB, Baa2
6.650%, 1/15/18, Senior Unsecured Notes (a) 7/15/17 @ 100.00 642,698
-----------------------------------------------------------------------------------------------------
RETAIL - 0.8%
1,000,000 AutoNation, Inc., BB+, Ba2
6.753%, 4/15/13, Company Guarantee Notes (d) 1/05/09 @ 103.00 635,000
500,000 Macys Retail Holdings, Inc., BBB-, Baa3
5.900%, 12/1/16, Company Guarantee Notes (a) N/A 271,250
-----------------------------------------------------------------------------------------------------
906,250
-----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS - 26.2%
(Cost $41,637,394) 28,980,995
-----------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES - 41.1%
1,930,857 321 Henderson Receivables I LLC, Ser. 2007-3A,
Class A, AA, A2 (a) (b)
6.150%, 10/15/48 1,494,734
487,117 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class A, AAA, Aaa (a) (b)
6.190%, 1/15/44 391,145
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class B, AA, NR (a) (b)
8.370%, 1/15/46 344,870
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class C, A, NR (b)
9.360%, 1/15/48 352,660
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class D, BBB, NR (b)
10.810%, 1/15/50 352,390
1,582,266 Airplanes Pass Through Trust, Ser. 1R, Class A8,
BB-, Baa3 (d)
1.798%, 3/15/19 1,344,926
1,400,000 American Express Credit Account Master Trust,
Ser. 2007-4, Class C, BBB, Baa2 (a) (b) (d)
1.683%, 12/17/12 1,141,007
993,467 Applebee's Enterprises LLC, Ser. 2007-1A, Class
A22A, AAA, Aa2 (a) (b)
6.427%, 12/20/37 718,535
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B,
AA, Aa2 (Cayman Islands) (a) (b) (d)
3.898%, 4/29/19 1,724,580
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C,
A, A2 (Cayman Islands) (a) (b) (d)
4.198%, 4/29/19 1,590,180
47,590 Blue Falcon, NR, NR (b)
5.460%, 12/25/16 47,620
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================================
$ 637,465 BNC Mortgage Loan Trust, Ser. 2007-4, Class
A3A, AAA, NR (a) (d)
1.645%, 11/25/37 $ 616,766
2,000,000 Callidus Debt Partners Fund Ltd., Ser. 6A, Class
A1T, AAA, Aaa (Cayman Islands) (b) (d)
4.094%, 10/23/21 1,874,980
1,420,000 Citibank Credit Card Issuance Trust, Ser. 2006-C4,
Class C4, BBB, Baa2 (a) (d)
2.176%, 1/9/12 1,230,183
356,425 Citigroup Mortgage Loan Trust Inc., Ser. 2007-WFHI,
Class A1, AAA, Aaa (d)
1.455%, 1/25/37 340,216
3,354,743 Countrywide Home Equity Loan Trust, Ser. 2004-S,
Class 1A, A, Baa1 (d)
1.663%, 2/15/30 1,850,367
1,960,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2,
AA, Baa1 (a) (b)
5.261%, 4/25/37 1,370,456
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2,
AA, Baa1 (a) (b)
5.779%, 6/20/31 2,420,250
1,000,000 Ford Credit Floorplan Master Owner Trust, Ser.
2006-4, Class B, AA, A1 (a) (d)
1.973%, 6/15/13 764,656
1,000,000 Friedbergmilstein Private Capital Fund, Ser.
2004-1A, Class B2, AA, Aa2 (Cayman Islands) (b)
5.409%, 1/15/19 988,210
1,250,000 GE Commercial Loan Trust, Ser. 2006-1, Class A2,
AAA, Aaa (a) (b) (d)
4.733%, 4/19/17 1,226,263
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3,
Class B, A, A1
6.040%, 8/15/14 803,711
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR,
Aa2 (b) (d)
2.758%, 6/5/12 1,308,300
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1,
BBB-, Baa2 (a) (b)
5.140%, 3/20/37 1,040,980
405,134 MRU Student Loan Trust, Ser. 2008-A, Class A1A,
AAA, NR (a) (b)
7.400%, 1/25/41 406,045
202,567 MRU Student Loan Trust, Ser. 2008-A, Class B,
AA, NR (a) (b) (d)
9.035%, 1/25/41 195,860
202,567 MRU Student Loan Trust, Ser. 2008-A, Class C, A,
NR (a) (b) (d)
11.035%, 1/25/41 196,737
1,485,996 Muzinich CBOIILtd., Ser. A2-A, AA+, Aa1
7.150%, 10/15/13, (Bermuda) (b) 1,527,753
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA,
Aa2 (Cayman Islands) (a) (b) (d)
2.573%, 11/24/20 875,910
497,387 New Century Home Equity Loan Trust, Ser. 2004-A,
Class AII9, BBB+, Aa3
5.470%, 8/25/34 (d) 389,152
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2 (b)
7.250%, 6/25/38 565,644
291,405 Phoenix Funding Ltd., Ser. 2001-1, AA, Aa1
5.203%, 4/15/13 (d) 283,994
See notes to financial statements.
14 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
PORTFOLIO OF INVESTMENTS (unaudited) continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================================
ASSET BACKED SECURITIES (CONTINUED)
$2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E,
NR, NR (Cayman Islands) (a) (b) (d)
17.158%, 11/25/12 $ 1,655,920
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C,
A, A2 (Cayman Islands) (a) (b) (d)
4.454%, 9/22/16 1,767,000
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB,
Baa1 (Cayman Islands) (b) (d)
4.565%, 6/7/11 510,862
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1
(Cayman Islands) (a) (b) (d)
5.026%, 12/26/11 456,905
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1
(Cayman Islands) (a) (b) (d)
7.076%, 12/26/11 853,140
1,040,759 Structured Asset Securities Corp., Ser. 2007-BNC1,
Class A2, AAA, NR (d)
2.495%, 10/25/37 993,009
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2,
Class C, BBB, Aa1 (a) (d)
3.422%, 10/15/12 761,549
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR,
NR (Cayman Islands) (b) (d)
5.653%, 6/15/16 1,985,540
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR,
NR (Cayman Islands) (b) (d)
6.703%, 6/15/16 1,583,580
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A,
NR (Cayman Islands) (b)
5.793%, 9/1/17 966,310
1,484,931 TCW Select Loan Fund Ltd., Inc., Ser. 1A, Class A1,
AAA, Aaa (Cayman Islands) (b) (d)
5.210%, 10/10/13 1,479,956
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A,
Class A1, AAA, Aaa (Cayman Islands) (b) (d)
2.493%, 11/21/40 1,917,960
1,000,000 Yapi Kredi DPR Finance Co., Ser. 2006-1, Class C, BBB+,
A3 (Cayman Islands) (d)
2.523%, 11/21/13 818,890
-----------------------------------------------------------------------------------------------------
TOTAL ASSET BACKED SECURITIES - 41.1%
(Cost $51,644,811) 45,529,701
-----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 22.2%
900,000 American Tower Trust, Ser. 2007-1A, Class AFX,
AAA, Aaa (a) (b)
5.420%, 4/15/37 687,870
1,000,000 American Tower Trust, Ser. 2007-1A, Class B,
AA, Aa2 (a) (b)
5.537%, 4/15/37 935,420
500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2,
Class G, A-, NR (b) (d)
5.495%, 3/11/41 160,743
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5,
Class B, AA+, Aa2 (a) (d)
5.058%, 11/10/41 295,349
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5,
Class AJ, AAA, Aaa (a) (d)
5.329%, 10/10/45 246,262
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10,
Class AJ, AAA, NR (a) (d)
5.618%, 12/11/40 617,830
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2,
Class E, A-, A3 (b) (d)
5.023%, 10/15/41 127,520
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================================
$2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser. 2005-CD1, Class AJ, AAA, Aaa (a) (d)
5.399%, 7/15/44 $ 818,064
1,000,000 Commercial Mortgage Pass Through Certificates,
Ser. 2006-CN2A, Class F, A, NR (a) (b) (d)
5.756%, 2/5/19 971,259
1,796,941 Countrywide Home Loan Mortgage Pass Through Trust,
Ser. 2005-HYB8, Class 4A1, AAA, Aaa (d)
5.564%, 12/20/35 804,864
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3,
Class AM, AAA, Aaa (a) (d)
6.020%, 6/15/38 734,788
165,211 Credit Suisse Mortgage Capital Certificates, Ser. 2006-TF2A,
Class SHDA, A-, Aa1 (b) (d)
2.023%, 7/15/19 110,474
1,000,000 Crown Castle Towers LLC, Ser. 2006-1A, Class C,
NR, A2 (b) 5.470%, 11/15/36 748,800
1,425,000 CS First Boston Mortgage Securities Corp., Ser. 2005-TFLA,
Class K, AAA, Aaa (a) (b) (d)
2.723%, 2/15/20 1,236,238
1,000,000 Fannie Mae REMICS, Ser. 2007-90, Class B, NR, NR (a)
6.000%, 9/25/37 993,567
1,225,000 Global Signal Trust, Ser. 2004-2A, Class D, NR, Baa2 (b)
5.093%, 12/15/14 1,108,196
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3,
Class AJ, AAA, Aaa (a) (d)
4.859%, 8/10/42 860,622
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5,
Class AJ, AAA, Aaa (a) (d)
5.478%, 4/10/37 411,515
600,000 GS Mortgage Securities Corp II, Ser. 2001-GL3A, Class E,
NR, A1 (b) (d)
6.852%, 8/5/18 352,781
1,309,012 Impac Secured Assets CMN Owner Trust, Ser. 2007-3, Class A1A,
AAA, Aaa (d)
1.505%, 9/25/37 1,174,418
700,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2002-C1, Class E, A-, A2 (b)
6.135%, 7/12/37 342,762
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP3, Class AJ, AAA, Aaa (a) (d)
5.106%, 8/15/42 405,618
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ,
AAA, NR (a) (d)
5.073%, 8/13/42 822,611
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM,
AAA, NR (a)
5.370%, 12/15/43 561,056
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM,
AAA, NR (a) (d)
5.984%, 8/12/41 485,499
145,000 SBA CMBS Trust, Ser. 2005-1A, Class D, NR, Baa2 (b)
6.219%, 11/15/35 123,570
1,500,000 SBA CMBS Trust, Ser. 2005-1A, Class E, NR, Baa3 (b)
6.706%, 11/15/35 1,342,605
See notes to financial statements.
SemiAnnual Report | November 30, 2008 | 15
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
PORTFOLIO OF INVESTMENTS (unaudited) continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================================
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
$2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4,
Class AJ, AAA, NR (a) (d)
6.090%, 8/15/39 $ 853,355
2,000,000 Timberstar Trust, Ser. 2006-1A, Class A, AAA, Aaa (a) (b)
5.668%, 10/15/36 1,756,560
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2 (a) (b)
5.884%, 10/15/36 628,155
100,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2 (b)
6.208%, 10/15/36 83,609
2,027,316 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class A1,
` AAA, Aaa (a) (b) (d)
1.673%, 1/15/21 1,688,473
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class L, BB+,
Baa2 (b) (d)
2.973%, 1/15/21 785,957
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20,
Class AJ, AAA, Aaa (a) (d)
5.315%, 7/15/42 830,724
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21,
Class AJ, AAA, Aaa (a) (d)
5.383%, 10/15/44 409,560
-----------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 22.2%
(Cost $37,716,420) 24,516,694
-----------------------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
=====================================================================================================
COMMON STOCK - 0.6%
AIRLINES - 0.6%
110,000 US Airways Group, Inc. (a) (e) (f) 655,600
-----------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK - 0.6%
(Cost $1,409,100) 655,600
-----------------------------------------------------------------------------------------------------
PREFERRED STOCK - 3.7%
BANKS - 0.7%
50,000 Santander Finance Preferred SA Unipersonal, 6.500% (Spain) (a) 747,000
-----------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 0.6%
50,000 Deutsche Bank Contingent Capital Trust II, 6.550% (a) 659,000
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.950% 83
-----------------------------------------------------------------------------------------------------
659,083
-----------------------------------------------------------------------------------------------------
INSURANCE - 0.8%
20,000 Aegon NV, 6.375% (Netherlands) (a) 171,800
3,800 ING Groep NV, 7.050% (Netherlands) 41,838
40,000 Torchmark Capital Trust III, 7.100% (a) 700,000
-----------------------------------------------------------------------------------------------------
913,638
-----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUST - 0.9%
33,850 Public Storage, Ser. K, 7.250% (a) 702,388
18,500 Public Storage, Ser. M, 6.625% (a) 333,000
-----------------------------------------------------------------------------------------------------
1,035,388
-----------------------------------------------------------------------------------------------------
NUMBER
OF SHARES DESCRIPTION VALUE
=====================================================================================================
TELECOMMUNICATION SERVICES - 0.7%
1,000 Centaur Funding Corp., 9.080% (Cayman Islands) (b) $ 742,812
-----------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK - 3.7%
(Cost $7,030,091) 4,097,921
-----------------------------------------------------------------------------------------------------
EXCHANGE-TRADED FUNDS - 20.3%
66,500 DIAMONDS Trust Series I (a) (e) 5,874,610
85,000 Powershares QQQ (a) (e) 2,476,050
63,500 SPDR Trust Series 1 (a) (e) 5,720,715
56,000 Ultra Dow30 ProShares (a) (e) 1,848,000
52,200 Ultra QQQ ProShares (a) (e) 1,385,910
192,600 Ultra S&P500 ProShares (a) (e) 5,111,604
-----------------------------------------------------------------------------------------------------
TOTAL EXCHANGE-TRADED FUNDS - 20.3%
(Cost $26,357,267) 22,416,889
-----------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
=====================================================================================================
U.S. GOVERNMENT AND AGENCY SECURITIES - 8.6%
$ 500,000 Federal Home Loan Bank System, AAA, Aaa
7.000%, 7/7/20, Bonds (a) (d) 465,625
310,000 Freddie Mac, Ser. MTN, AAA, Aaa
5.250%, 5/29/18, Notes (a) 312,168
3,000,000 Freddie Mac, AAA, Aaa
6.000%, 6/15/17 to 3/2/22, Notes (a) 3,037,192
4,845,000 United States Treasury Bond, NR, NR
4.500%, 5/15/38 (a) 5,731,863
-----------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 8.6%
(Cost $8,872,857) 9,546,848
-----------------------------------------------------------------------------------------------------
TERM LOANS - 22.0%
AEROSPACE AND DEFENSE - 1.5%
1,472,129 Colt Defense
6.100%, 7/9/14, NR, B1 (d) 1,170,343
493,750 Total Safety Series C
6.512%, 12/8/12, B, B2 (d) 456,719
-----------------------------------------------------------------------------------------------------
1,627,062
-----------------------------------------------------------------------------------------------------
AUTOMOBILE - 1.3%
957,114 Adesa, Inc.
6.020%, 9/22/13, NR, Ba3 (d) 588,625
1,362,764 Harbor Freight Tools
9.750%, 7/12/13, B+, B1 (d) 817,658
-----------------------------------------------------------------------------------------------------
1,406,283
-----------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS - 0.6%
987,474 Navisite, Inc.
11.153%, 9/19/14, B-, B3 (d) 691,232
-----------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE SERVICE - 2.6%
889,444 Billing Services Group
8.063%, 12/28/14, NR, B1 (d) 800,500
990,000 Compucom Systems
6.680%, 8/13/14, BB, Ba2 (d) 707,850
See notes to financial statements.
16 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
PORTFOLIO OF INVESTMENTS (unaudited) continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================================
DIVERSIFIED/CONGLOMERATE SERVICE (CONTINUED)
$1,485,000 First Data Corp.
4.345%, 9/24/14, BB-, Ba3 (d) $ 1,016,995
493,750 Terramark Worldwide, Inc.
7.512%, 7/30/14, B, NR (d) 370,313
-----------------------------------------------------------------------------------------------------
2,895,658
-----------------------------------------------------------------------------------------------------
ELECTRONICS - 2.9%
990,676 Caritor, Inc.
6.020%, 6/4/13, B+, B2 (d) 480,478
467,744 Clientlogic Corp.
6.663%, 1/30/14, B+, B3 (d) 304,034
1,240,530 Freescale Semiconductor, Inc.
4.600%, 11/29/13, BB, Ba1 (d) 717,293
1,485,000 GXS Corp.
8.053%, 10/18/14, B+, Ba3 (d) 1,262,251
890,395 Network Solutions LLC
5.108%, 9/26/14, B, B1 (d) 467,457
-----------------------------------------------------------------------------------------------------
3,231,513
-----------------------------------------------------------------------------------------------------
FOOD & BEVERAGES - 0.9%
90,245 OSI Restaurant Partners, Revolver
2.639%, 8/29/14, BB-, B1 (d) 43,543
1,108,458 OSI Restaurant Partners
3.750%, 6/14/14, BB-, B1 (d) 534,831
500,000 Panda Restaurant
6.600%, 8/23/17, NR, NR (d) 362,890
-----------------------------------------------------------------------------------------------------
941,264
-----------------------------------------------------------------------------------------------------
GAMING - 0.6%
408,219 Cannery Casino Resorts LLC
3.7025%, 9/18/14, BB-, B2 (d) 382,195
336,615 Cannery Casino Resorts LLC, Revolver
4.428%, 9/18/14, BB-, B2 (d) 315,154
-----------------------------------------------------------------------------------------------------
697,349
-----------------------------------------------------------------------------------------------------
HEALTHCARE, EDUCATION & CHILDCARE - 3.8%
864,036 Aurora Diagnostics LLC
6.945%, 12/10/12, B-, B3 (d) 799,234
442,025 Compsych
6.376%, 7/31/14, B, B2 (d) 358,041
858,459 Embanet
7.745%, 6/28/12, B, B2 (d) 600,921
1,488,750 PRA International
6.340%, 11/16/14, BB-, B1 (d) 1,138,893
935,588 Renal Advantage, Inc.
5.319%, 9/11/14, BB-, B1 (d) 654,911
934,184 TUI University LLC
6.110%, 7/2/14, B-, B2 (d) 677,283
-----------------------------------------------------------------------------------------------------
4,229,283
-----------------------------------------------------------------------------------------------------
HOME & OFFICE FURNISHINGS - 0.4%
698,011 Centaur LLC
9.762%, 11/9/14, BB-, B2 (d) 436,257
-----------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================================
INSURANCE - 0.3%
$ 476,883 QTC Management
4.430%, 11/10/12, B+, B2 (d) $ 360,047
-----------------------------------------------------------------------------------------------------
LEISURE - 1.0%
1,485,000 Bushnell Performance Optics
7.512%, 8/24/13, BB-, Ba3 (d) 1,076,625
-----------------------------------------------------------------------------------------------------
OIL & GAS - 0.8%
1,296,716 Calumet Lubricants Co.
6.366%, 12/28/14, NR, B1 (d) 778,029
172,414 Calumet Lubricants Co., Credit Link Deposit Facility
6.366%, 12/28/14, NR, B1 (d) 103,448
-----------------------------------------------------------------------------------------------------
881,477
-----------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.7%
987,500 Advanstar Communications
6.012%, 9/20/14, B+, B1 (d) 524,200
742,444 Idearc, Inc.
5.670%, 11/17/14, BBB-, Ba2 (d) 250,407
-----------------------------------------------------------------------------------------------------
774,607
-----------------------------------------------------------------------------------------------------
RETAIL STORES - 3.7%
1,484,925 David's Bridal, Inc.
5.762%, 1/31/14, B, B2 (d) 976,338
1,237,499 Deb Shops, Inc.
5.900%, 4/23/14, B-, B3 (d) 649,686
1,000,000 Guitar Center
4.940%, 10/9/13, B-, B2 (d) 513,335
892,500 HH Gregg Appliances, Inc.
3.458%, 9/12/14, B+, B2 (d) 624,750
987,500 Mattress Firm
3.690%, 10/23/14, B, Ba3 (d) 471,531
1,000,000 QVC, Inc.
3.626%, 3/3/11, NR, NR (d) 872,500
-----------------------------------------------------------------------------------------------------
4,108,140
-----------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.9%
992,500 Carey International, Inc.
7.688%, 10/29/14, B, B1 (d) 992,500
-----------------------------------------------------------------------------------------------------
TOTAL TERM LOANS - 22.0%
(Cost $34,274,216) 24,349,297
-----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS - 144.7%
(Cost $208,942,156) 160,093,945
Liabilities in excess of Other Assets - (4.0%) (4,386,709)
Total Options Written - (3.7%) (4,069,728)
Borrowings - (17.2%) (19,100,000)
Reverse Repurchase Agreements - (19.8%) (21,913,494)
-----------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $ 110,624,014
-----------------------------------------------------------------------------------------------------
See notes to financial statements.
SemiAnnual Report | November 30, 2008 | 17
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
PORTFOLIO OF INVESTMENTS (unaudited) continued
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
N/A - Not Available
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 November 30, 2008, the total amount
segregated in connection with reverse repurchase agreements was
$63,640,098.
(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 November 30,
2008, these securities amounted to 57.9% of net assets applicable to common
shares.
(c) Security has a fixed rate coupon which will convert to a floating or
variable rate coupon on a future date.
(d) Floating or Variable Rate Coupon.
(e) All or a portion of this security position represents cover for outstanding
options written.
(f) Non-income producing security.
(g) 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.
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) CALL OPTIONS WRITTEN (F) DATE PRICE VALUE
============================================================================================
16 CBOE Volatility Index December 2008 $ 60.00 $ 3,880
665 DIAMONDS Trust Series I December 2008 78.00 746,463
850 Powershares QQQ December 2008 27.00 243,525
1,240 SPDR Trust Series 1 December 2009 124.00 127,523
635 SPDR Trust Series 1 December 2008 78.00 833,437
560 Ultra Dow30 ProShares December 2008 26.00 431,200
522 Ultra QQQ ProShares December 2008 22.00 292,320
1,926 Ultra S&P500 ProShares December 2008 20.00 1,357,830
550 US Airways Group, Inc. January 2009 10.00 22,000
110 US Airways Group, Inc. January 2009 12.50 1,650
220 US Airways Group, Inc. December 2008 10.00 2,200
220 US Airways Group, Inc. December 2008 7.50 7,700
--------------------------------------------------------------------------------------------
TOTAL CALL OPTIONS WRITTEN
(Premiums received $1,771,645) $ 4,069,728
--------------------------------------------------------------------------------------------
(f) Non-income producing security
See notes to financial statements.
18 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of ASSETS AND LIABILITIES | NOVEMBER 30, 2008 (UNAUDITED)
ASSETS
Investments in securities, at value (cost $208,942,156) $160,093,945
Interest receivable 1,530,789
Unrealized appreciation on swaps 2,399,058
Dividends receivable 56,866
Variation margin receivable 964
Other assets 357,147
---------------------------------------------------------------------------------------------------------------
Total assets 164,438,769
---------------------------------------------------------------------------------------------------------------
LIABILITIES
Reverse repurchase agreements 21,913,494
Borrowings 19,100,000
Options written at value (premiums received of $1,771,645) 4,069,728
Due to custodian 5,887,672
Unrealized depreciation on swaps 2,476,931
Advisory fee payable 121,831
Interest due on borrowings 27,423
Unrealized depreciation on unfunded commitments 78,790
Administration fee payable 3,350
Variation margin payable 28,127
Accrued expenses and other liabilities 107,409
---------------------------------------------------------------------------------------------------------------
Total liabilities 53,814,755
---------------------------------------------------------------------------------------------------------------
NET ASSETS $110,624,014
===============================================================================================================
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 gain on investments, options, futures and swaps (4,602,966
Accumulated net unrealized depreciation on investments, options, futures and swaps (51,331,522)
Accumulated distributions in excess of net investment income (3,728,484
---------------------------------------------------------------------------------------------------------------
NET ASSETS $110,624,014
===============================================================================================================
NET ASSET VALUE (based on 9,105,240 common shares outstanding) $ 12.15
===============================================================================================================
See notes to financial statements.
SemiAnnual Report | November 30, 2008 | 19
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of OPERATIONS | FOR THE SIX MONTHS ENDED NOVEMBER 30, 2008 (UNAUDITED)
INVESTMENT INCOME
Dividends $ 363,479
Interest 6,341,730
---------------------------------------------------------------------------------------------------------------
Total income $ 6,705,209
---------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory fee 990,109
Fund accounting fee 70,490
Professional fees 64,899
Line of credit fee 40,953
Trustees' fees and expenses 32,988
Printing expense 30,614
Administration fee 26,717
Custodian fee 20,170
NYSE listing fee 14,142
Transfer agent fee 9,471
Insurance 8,141
Miscellaneous 5,776
Interest expense 924,860
---------------------------------------------------------------------------------------------------------------
Total expenses 2,239,330
---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,465,879
---------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments (10,096,821)
Foreign currency transactions 694
Futures (7,306)
Options 5,210,767
Swaps 327,505
Net change in unrealized appreciation (depreciation) on:
Investments (38,026,675)
Futures (16,854)
Options (2,872,502)
Swaps 543,501
---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS, OPTIONS, FUTURES AND SWAP TRANSACTIONS (44,937,691)
---------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(40,471,812)
===============================================================================================================
See notes to financial statements.
20 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of CHANGES IN NET|
FOR THE FOR THE PERIOD
SIX MONTHS ENDED JULY 27, 2007*
NOVEMBER 30, 2008 THROUGH
(UNAUDITED) MAY 31, 2008
===============================================================================================================
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 4,465,879 $ 7,221,482
Net realized gain (loss) on investments, options, futures and swaps (4,565,161) 1,883,305
Net change in unrealized depreciation on investments, options,
futures, swaps and unfunded commitments (40,372,530) (10,958,992)
---------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from operations (40,471,812) (1,854,205)
---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income (8,413,242) (8,923,713)
Return of Capital - (3,259,098)
---------------------------------------------------------------------------------------------------------------
(8,413,242) (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(decrease) in net assets (48,885,054) 159,408,984
NET ASSETS
Beginning of period 159,509,068 100,084
---------------------------------------------------------------------------------------------------------------
End of period (including accumulated undistributed net investment
income of ($3,728,484) and $218,879, respectively) $110,624,014 $ 159,509,068
===============================================================================================================
* Commencement of investment operations.
See notes to financial statements.
SemiAnnual Report | November 30, 2008 | 21
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of CASH FLOWS | FOR THE SIX MONTHS ENDED NOVEMBER 30, 2008 (UNAUDITED)
CASH FLOWS FROM OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations $ (40,471,812)
---------------------------------------------------------------------------------------------------------------
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 38,026,675
Net unrealized depreciation on options 2,872,502
Net unrealized depreciation on futures 16,854
Net unrealized appreciation on swaps (543,501)
Net accretion of bond discount and amortization of bond premium (628,348)
Net realized loss on investments 4,886,054
Purchase of long-term investments (including options exercised) (145,501,357)
Proceeds from sale of long-term investments 140,277,142
Net sales of short-term investments 30,294,847
Increase in dividends receivable (30,920)
Decrease in interest receivable 112,086
Decrease in other assets 190,265
Decrease in investments sold receivable 2,615,900
Increase in variation margin receivable (964)
Decrease in payable for securities purchased (1,974,063)
Increase in variation margin payable 28,127
Increase in Due to Custodian 5,864,136
Decrease in interest due on borrowings (270,654)
Premiums received on call options written 7,786,294
Decrease in advisory fee payable (76,381)
Decrease in administration fee payable (1,885)
Decrease in accrued expenses and other liabilities (55,010)
---------------------------------------------------------------------------------------------------------------
Net Cash Used in Operating and Investing Activities 43,415,987
---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Dividends paid to common shareholders (8,413,242)
Decrease in borrowings and reverse repurchase agreements (35,002,745)
---------------------------------------------------------------------------------------------------------------
Net Cash Provided by Financing Activities (43,415,987)
---------------------------------------------------------------------------------------------------------------
Net increase in cash -
CASH AT BEGINNING OF PERIOD -
---------------------------------------------------------------------------------------------------------------
CASH AT END OF PERIOD $ -
===============================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: CASH PAID DURING THE PERIOD FOR INTEREST $ 2,036,955
===============================================================================================================
See notes to financial statements.
22 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Financial HIGHLIGHTS|
FOR THE FOR THE PERIOD
SIX MONTHS ENDED JULY 27, 2007*
PER SHARE OPERATING PERFORMANCE NOVEMBER 30, 2008 THROUGH
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD (UNAUDITED) MAY 31, 2008
===============================================================================================================
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.52 $ 19.10(b)
---------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a) 0.49 0.79
Net realized and unrealized gain (loss) on investments, options,
futures, swaps and unfunded commitments (4.94) (0.99)
---------------------------------------------------------------------------------------------------------------
Total from investment operations (4.45) (0.20)
---------------------------------------------------------------------------------------------------------------
COMMON SHARE OFFERING EXPENSES CHARGED TO PAID-IN-CAPITAL - (0.04)
---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income (0.92) (0.98)
Return of capital - (0.36)
---------------------------------------------------------------------------------------------------------------
Total distributions (0.92) (1.34)
---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.15 $ 17.52
===============================================================================================================
MARKET VALUE, END OF PERIOD $ 10.15 $ 16.78
===============================================================================================================
TOTAL INVESTMENT RETURN (c)
Net asset value -26.24% -1.40%
Market value -35.12% -9.41%
RATIOS AND SUPPLEMENTAL DATA
Net assets, applicable to common shareholders, end of period (thousands) $ 110,624 $ 159,509
Ratios to Average Net Assets applicable to Common Shares:
Total expenses, excluding interest expense 1.85%(d)(g) 1.72%(d)(g)
Total expenses, including interest expense 3.16%(d)(g) 3.36%(d)(g)
Net investment income, including interest expense 6.30%(d) 5.08%(d)
Ratios to Average Managed Assets: (e)
Total expenses, excluding interest expense 1.33%(d)(g) 1.24%(d)(g)
Total expenses, including interest expense 2.26%(d)(g) 2.43%(d)(g)
Net investment income, including interest expense 4.51%(d) 3.67%(d)
Portfolio turnover 35% 210%
Senior Indebtedness
Total Borrowings outstanding (in thousands) $ 41,013 $ 76,016
Asset coverage per $1,000 of indebtedness (f) $ 3,697 $ 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 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 expense
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
ratio, the net impact to the expense ratios would be 0.05% and 0.03% for
the six-months ended November 30, 2008 and 0.04% and 0.03% for the period
ended May 31, 2008.
See notes to financial statements.
SemiAnnual Report | November 30, 2008 | 23
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Notes to FINANCIAL STATEMENTS | NOVEMBER 30, 2008 (UNAUDITED)
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 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.
In September, 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards No. 157, "Fair Valuation
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 establishes three different categories for valuations. Level 1 valuations
are those based upon quoted prices in active markets. Level 2 valuations 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). Details as
of November 30, 2008 were as follows:
DESCRIPTION OPTIONS AND
(VALUES IN $000S) SECURITIES OTHER DERIVATIVES TOTAL
================================================================================
ASSETS:
Level 1 $ 27,170 $ - $ 27,170
Level 2 132,924 2,399 135,323
Level 3 - - -
--------------------------------------------------------------------------------
Total $160,094 $2,399 $162,493
--------------------------------------------------------------------------------
LIABILITIES:
Level 1 - $4,070 $ 4,070
Level 2 - 2,494 2,494
Level 3 - - -
--------------------------------------------------------------------------------
Total - $6,564 $ 6,564
--------------------------------------------------------------------------------
(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 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
24 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
NOTES TO FINANCIAL STATEMENTS (unaudited) continued
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) FUTURES
A futures contract is an agreement to buy or sell a financial instrument at a
particular price on a stipulated future date. Upon entering into a futures
contract, the Fund is required to make an initial margin deposit established by
the exchange on which the transaction is effected. Pursuant to the contract, the
Fund agrees to receive from or pay to the counterparty an amount of cash equal
to the daily fluctuation in the value of the contract. Such receipt or payment
is known as the variation margin and is recorded by the Fund as unrealized
appreciation or depreciation. The Fund bears the market risk that arises from
the change in the value of these financial instruments.
At November 30, 2008, the following futures contracts were outstanding:
VALUE AT
SHORT NUMBER OF EXPIRATION ORIGINAL NOVEMBER 30, UNREALIZED
CONTRACTS CONTRACTS MONTH VALUE 2008 DEPRECIATION
==================================================================================================
US Treasury Note
(CBOT) 23 March-09 $4,958,592 $ 4,986,688 $ (28,096)
--------------------------------------------------------------------------------------------------
VALUE AT UNREALIZED
LONG NUMBER OF EXPIRATION ORIGINAL NOVEMBER 30, APPRECIATION/
CONTRACTS CONTRACTS MONTH VALUE 2008 DEPRECIATION
==================================================================================================
Euro-Schatz 38 December-08 $5,112,174 $ 5,137,168 $ 24,994
CBOE Volatility Index 16 December-08 98,880 85,128 (13,752)
--------------------------------------------------------------------------------------------------
$ 11,242
--------------------------------------------------------------------------------------------------
$ (16,854)
--------------------------------------------------------------------------------------------------
(f) 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. To the
extent distributions exceed net investment income the excess will be deemed a
return of capital. Any net realized long-term capital gains are distributed
annually to common shareholders. It is likely that a portion of the current
fiscal year distributions will be a return of capital, but this will not be
known until after the Fund's fiscal year end, which is May 31, 2009.
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 AGREE 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 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 total net 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 six months ended November 30, 2008 the Fund recognized expenses of
approximately $26,717 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.
SemiAnnual Report | November 30, 2008 | 25
GOF | Claymore/Guggenheim Strategic Opportunities Fund |
NOTES TO FINANCIAL STATEMENTS (unaudited) continued
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.
Information on the components of investments, excluding written options, and net
assets as of November 30, 2008 is as follows:
NET TAX
COST OF UNREALIZED
INVESTMENTS GROSS TAX GROSS TAX APPRECIATION
FOR TAX UNREALIZED UNREALIZED ON
PURPOSES APPRECIATION DEPRECIATION INVESTMENTS
================================================================================
$208,979,961 $1,923,164 $(50,887,969) $(48,964,805)
--------------------------------------------------------------------------------
The differences between book basis and tax basis unrealized appreciation/
(depreciation) is attributable to the tax deferral of losses on wash sales and
additional income accrued for tax purposes on swaps.
For federal income tax purposes, as of May 31, 2008, the Fund had 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 FASB released FASB Interpretation No. 48, "Accounting for
Uncertainty in Income Taxes" ("FIN 48"). FIN 48 provides guidance for how
uncertain tax positions should be recognized, measured, presented and disclosed
in the 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 expense 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
November 30, 2008. The 2007 tax year is still subject to examination by major
jurisdictions.
Note 5 - INVESTMENTS IN SECURITIES:
During the period ended November 30, 2008, the cost of purchases and proceeds
from sales of investments, excluding written options and short-term investments
were $153,468,865 and $67,137,618, respectively.
The Fund entered into swap agreements during the period ended November 30, 2008
to potentially enhance return. Details of the swap agreements outstanding as of
November 30, 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* Basket of 110
distinct corporate
entities Sell 09/20/14 $ 3,000 0.45% $ (2,289,670)
--------------------------------------------------------------------------------------------------------
$ (2,289,670)
--------------------------------------------------------------------------------------------------------
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 5.860% $ 617,065
Goldman Sachs* 3 Month LIBOR 01/04/38 $ 10,000 5.675% 879,442
Goldman Sachs* 3 Month LIBOR 07/07/38 $ 5,000 5.753% 465,700
Goldman Sachs* 3 Month LIBOR 07/07/38 $ 5,000 5.940% 325,250
HSBC* 3 Month LIBOR 01/09/23 $ 5,000 7.700% (187,261)
--------------------------------------------------------------------------------------------------------
$2,100,196
========================================================================================================
TOTAL RETURN SWAPS
PAY/
NOTIONAL RECEIVE UNREALIZED
TERMINATION AMOUNT FIXED APPRECIATION/
COUNTERPARTY FLOATING RATE DATE (000'S) RATE DEPRECIATION
========================================================================================================
Suntrust** 1 Month LIBOR + 0.25% 09/16/09 $ 1,000 S&P 500 $ 111,601
--------------------------------------------------------------------------------------------------------
$ 111,601
========================================================================================================
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS: $ (77,873)
--------------------------------------------------------------------------------------------------------
*For the swaps noted, the Fund pays the floating rate and receives the fixed
rate.
**For each swap noted, the Fund pays a floating rate and receives the total
return of the Standard & Poor's 500 Index.
OPTION CONTRACTS:
Transactions in option contracts during the period ended November 30, 2008 were
as follows:
NUMBER OF CONTRACTS PREMIUMS RECEIVED
--------------------------------------------------------------------------------
Options outstanding, beginning of period 4,945 $ 888,256
Options written during the period 29,050 7,786,294
Options expired during the period (13,477) (3,703,820)
Options closed during the period (12,835) (3,149,338)
Options assigned during the period (169) (49,747)
--------------------------------------------------------------------------------
Options outstanding, end of period 7,514 $ 1,771,645
--------------------------------------------------------------------------------
Note 6 - LEVERAGE:
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 Investment Company Act of 1940. 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
26 | SemiAnnual Report | November 30, 2008
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
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 $65,359,158. The weighted average interest rate was 3.29%. As of
November 30, 2008, the total amount of segregated in connection with reverse
repurchase agreements was $63,640,098. At the period end, there was $21,913,494
in reverse repurchase agreements outstanding.
BORROWINGS On September 18, 2008, the Fund entered into a $30,000,000 credit
facility agreement. Interest on the amount borrowed is based on the 3-month
LIBOR plus 0.85%. An unused commitment fee of 0.75% is charged on the difference
between the $30,000,000 credit facility and the amount borrowed. At November 30,
2008 there was $19,100,000 outstanding in connection with the Fund's credit
facility. The average daily amount of borrowings on the credit facility during
the period ended November 30, 2008 was $13,430,000 with a related average
interest rate of 2.98%. The maximum amount outstanding during the period ended
November 30, 2008, was $19,100,000.
Note 7 - LOAN COMMITMENTS
Pursuant to the terms of certain of the Term Loan agreements, the Fund had the
following unfunded loan commitments as of November 30, 2008. The Fund intends to
reserve against such contingent obligations by designating liquid assets. The
unrealized depreciation on these commitments as of November 30, 2008 is reported
as "Unrealized deprecation on unfunded commitments" on the Statement of Assets
and Liabilities.
At November 30, 2008 the Fund had the following unfunded loan commitments which
could be extended at the option of the borrower:
UNREALIZED
PRINCIPAL APPRECIATION/
BORROWER AMOUNT (DEPRECIATION)
================================================================================
Centaur, LLC 215,851 (78,790)
--------------------------------------------------------------------------------
$ 215,851 $ (78,790)
================================================================================
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 of $364,000 or $0.04 per share, in connection with the issuance
of common shares were 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 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 November 30, 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.
SemiAnnual Report | November 30, 2008 | 27
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Supplemental INFORMATION | (unaudited)
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
OF BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND IN THE FUND COMPLEX*** OTHER DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
====================================================================================================================================
INDEPENDENT TRUSTEES:
====================================================================================================================================
Randall C. Barnes Since 2007 Investor (2001-present). Formerly, 43 None.
Year of birth: 1951 Senior Vice President & Treasurer
Trustee (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, 46 None.
Year of birth: 1953 a law firm specializing in corporate
Trustee law, 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,
Year of birth: 1958 Manager and Portfolio Manager of
Trustee Nuveen Asset Management (1998-1999), 43 None.
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 45 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
Company 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 2010 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 | SemiAnnual Report | November 30, 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:
NAME, ADDRESS*, YEAR TERM OF OFFICE** PRINCIPAL OCCUPATIONS DURING
OF BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS
====================================================================================================================================
OFFICERS:
====================================================================================================================================
J. Thomas Futrell Since 2008 Senior Managing Director and Chief Investment Officer of Claymore Advisors,
Year of birth: 1955 LLC and Claymore Securities Inc. (2008-Present); Chief Executive Officer of
Chief Executive Officer certain funds in the Fund Complex. Formerly, Managing Director of Research,
Nuveen Asset Management (2000-2007).
------------------------------------------------------------------------------------------------------------------------------------
Kevin Robinson Since 2008 Senior Managing Director and General Counsel of Claymore Advisors, LLC and
Year of birth: 1959 Claymore Group, Inc. (2007-present); Chief Legal Officer of certain funds in
Chief Legal Officer the Fund Complex. Formerly, Associate General Counsel and Assistant
Corporate Secretary of NYSE Euronext, Inc. (2000-2007)
------------------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Since 2007 Senior Managing Director of Claymore Advisors, LLC and Claymore
Year of birth: 1964 Securities, Inc. (2005-present); Chief Financial Officer, Chief
Chief Financial Officer, Accounting Officer and Treasurer of certain funds in the Fund Complex.
Accounting Officer and Formerly, Chief Financial Officer of Claymore Group Inc. (2005-2006),
Treasurer Managing Director of Chief Claymore Advisors, LLC and Claymore
Securities, Inc. (2003-2005). Formerly, Treasurer of Henderson Global
Funds and Operations Manager of Henderson Global Investors (NA) Inc.
(2002-2003); Managing Director, FrontPoint Partners LLC (2001-2002);
Vice President, Nuveen Investments (1999-2001).
------------------------------------------------------------------------------------------------------------------------------------
Mark Mathiasen Since 2008 Assistant Vice President, Attorney of Claymore Advisors, LLC(2007-present).
Year of birth: 1978 Secretary of certain funds in the Funds Complex. Previously, Law Clerk for
Secretary the Idaho State Courts (2003-2007).
------------------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2007 Vice President, Fund Compliance Officer of Claymore Group, Inc. (2006-
Year of birth: 1957 present); Chief Compliance Officer of certain funds in the Fund Complex.
Chief Compliance Officer Formerly, Chief Compliance Officer/Assistant Secretary of Harris Investment
Management, Inc. (2003-2006). Director-Compliance of Harrisdirect LLC
(1999-2003).
------------------------------------------------------------------------------------------------------------------------------------
Roy Corr Since 2008 Senior Managing Director, Chief Operating Officer of Guggenheim Partners Asset
Year of birth: 1964 Management, Inc. (2002-present)
Vice President
------------------------------------------------------------------------------------------------------------------------------------
* 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.
SemiAnnual Report | November 30, 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, BNY Mellon Shareowner Services P.O. Box 358015 Pittsburgh,
PA 15252-8015, Phone Number: (866) 488-3559.
30 | SemiAnnual Report | November 30, 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.
The Fund has delegated the voting of proxies relating to its voting securities
to the Fund's Sub-Adviser. A description of the Fund's proxy voting policies and
procedures related to portfolio securities is available without charge, upon
request, by calling the Fund at (800) 345-7999 or on the U.S. Securities and
Exchange Commission's ("SEC") website at http://www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is
available on the SEC website at http://www.sec.gov. The Fund's 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.claymore.com.
In November 2008, 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.
SemiAnnual Report | November 30, 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.
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
(01/09)
Logo: GOF
LISTED
NYSE(R)
GOF-SAR-1108
ITEM 2. CODE OF ETHICS.
Not applicable for a semi-annual reporting period.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for a semi-annual reporting period.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for a semi-annual reporting period.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for a semi-annual reporting period.
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.
Not applicable for a semi-annual reporting period.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable for a semi-annual reporting period.
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.
On October 22, 2008, the registrant's Board of Trustees (the "Board") approved a
revised written charter (the "Nominating and Governance Committee Charter") for
its nominating and governance committee (the "Nominating and Governance
Committee") that contains changes to the procedures by which shareholders may
recommend nominees to the Board.
Under the Nominating and Governance Charter, the previously existing procedures
by which shareholders may recommend nominees to the Board, as described in the
registrant's proxy statement filed with the Securities and Exchange Commission
on September 19, 2008, remain in effect. In addition to these previously
existing procedures, the Nominating and Governance Charter includes a new
requirement that following the submission by a shareholder of a Trustee
candidate recommendation, a Trustee candidate must (i) be prepared to submit
written answers to a questionnaire seeking professional and personal information
that will assist the Nominating and Governance Committee to evaluate the
candidate and to determine, among other matters, whether the candidate would
qualify as a Trustee who is not an "interested person" of the registrant as such
term is defined under the Investment Company Act of 1940; (ii) be prepared to
submit character references and agree to appropriate background checks; and
(iii) be prepared to meet with one or more members of the Nominating and
Governance Committee at a time and location convenient to those Nominating and
Governance Committee members in order to discuss the nominee's qualifications.
A copy of the Nominating and Governance Committee Charter will be filed with the
Securities and Exchange Commission as an appendix to the registrant's 2009 proxy
statement.
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 30a3(c) under the Investment Company Act) within 90
days of this filing and have concluded based on such evaluation, that the
registrant's disclosure controls and procedures were effective as of that
date in ensuring that information required to be disclosed by the
registrant in this Form N-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)
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) Not applicable.
(a)(2) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(a) of the Investment Company Act.
(a)(3) Not Applicable.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(b) of the Investment Company Act and Section
906 of the Sarbanes-Oxley Act of 2002.
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
---------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: February 5, 2009
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
---------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: February 5, 2009
By: /s/ Steven M. Hill
---------------------------------------------------------------
Name: Steven M. Hill
Title: Treasurer and Chief Financial Officer
Date: February 5, 2009