UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21982
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Claymore/Guggenheim Strategic Opportunities Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
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
Date of fiscal year end: May 31
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Date of reporting period: February 28, 2009
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2009 (UNAUDITED)
PRINCIPAL OPTIONAL
AMOUNT DESCRIPTION CALL PROVISION VALUE
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LONG-TERM INVESTMENTS - 132.9%
CORPORATE BONDS - 24.9%
AIRLINES - 2.8%
$ 1,467,973 America West Airlines LLC, Ser. 011G, A, Baa1
7.100%, 4/2/21 N/A $ 1,178,635
907,561 Delta Air Lines, Inc., Ser. 071A, A-, Baa1
6.821%, 8/10/22 N/A 653,444
301,819 Delta Air Lines, Inc., Ser. 02G1, BBB+, Baa1
6.718%, 1/2/23 N/A 211,273
941,942 Northwest Airlines Corp., Ser. 992A, A-, NR
7.575%, 3/1/19 N/A 690,443
-------------------------
2,733,795
-------------------------
BANKS - 9.8%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.300%, 10/31/49 (a) (b) 4/16/09 @ 100.00 505,150
1,250,000 Barclays Bank PLC, NR, A2
6.278%, 12/29/49 (United Kingdom) (a) (c) 12/15/34 @ 100.00 489,913
1,200,000 BNP Paribas, A+, Aa3
7.195%, 6/29/49 (France) (a) (b) (c) 6/25/37 @ 100.00 593,234
1,000,000 CoBank ACB, A, NR
7.875%, 4/16/18 (a) (b) N/A 953,414
1,000,000 Credit Agricole SA, A, Aa3
6.637%, 5/29/49 (France) (a) (b) (c) 5/31/17 @ 100.00 344,331
1,500,000 Farm Credit Bank, Ser. 1, NR, A2
7.561%, 11/29/49 (a) (c) 12/15/13 @100.00 856,185
1,000,000 Fifth Third Bancorp, BBB+, A3
8.250%, 3/1/38 (a) N/A 724,661
1,000,000 KeyBank NA, Ser. BKNT, A-, A2
7.413%, 5/6/15 (a) N/A 895,224
1,000,000 KeyCorp Capital III, BB+, A3
7.750%, 7/15/29 (a) N/A 708,632
1,200,000 Lloyds Banking Group PLC, BB, Aa3
6.267%, 11/29/49 (United Kingdom) (a) (b) (c) 11/14/16 @ 100.00 237,391
1,250,000 Mellon Capital IV, Ser. 1, A-, Aa3
6.244%, 6/20/49 (a) (c) 6/20/12 @ 100.00 525,210
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.378%, 1/29/49 (a) (b) (c) 10/15/17 @ 100.00 520,050
700,000 PNC Preferred Funding Trust I, BBB, A3
8.700%, 2/19/49 (a) (b) (c) 3/15/13 @ 100.00 329,553
1,400,000 Royal Bank of Scotland Group PLC, Ser. MTN, BB, Ba2
7.640%, 3/31/49 (United Kingdom) (a) (c) 9/29/17 @ 100.00 182,000
1,250,000 State Street Capital Trust IV, BBB+, A2
2.320%, 6/15/37 (a) (d) 6/15/12 @ 100.00 485,885
1,250,000 US AgBank FCB, A, A2
6.110%, 4/29/49 (a) (b) (c) 7/10/12 @ 100.00 806,488
1,000,000 Wells Fargo Capital XIII, Ser. GMTN, A, A1
7.700%, 12/29/49 (a) (c) 3/26/13 @ 100.00 486,880
-------------------------
9,644,201
-------------------------
COMMERCIAL SERVICES - 0.2%
250,000 R.R. Donnelley & Sons Co., BBB, Baa2
11.250%, 2/1/19 (a) N/A 237,271
-------------------------
DIVERSIFIED FINANCIAL SERVICES - 4.1%
500,000 Discover Financial Services, BBB-, Baa3
6.450%, 6/12/17 (a) N/A 378,266
Hampton Roads PPV LLC, NR, Aa3 (a) (b)
1,000,000 6.071%, 12/15/41 N/A 731,340
1,000,000 6.171%, 6/15/53 N/A 708,640
500,000 Janus Capital Group, Inc., BB+, Baa3
6.950%, 6/15/17 (a) N/A 262,488
1,000,000 Schwab Capital Trust I, BBB+, A3
7.500%, 11/15/37 (a) (c) 11/15/17 @ 100.00 653,250
2,000,000 Svensk Exportkredit AB, AA-, Aa3
6.375%, 10/29/49 (Sweden) (a) (b) 3/27/09 @ 100.00 1,300,000
-------------------------
4,033,984
-------------------------
ELECTRIC - 1.1%
500,000 Pennsylvania Electric Co., BBB, Baa2
6.050%, 9/1/17 (a) N/A 458,201
1,000,000 Wisconsin Energy Corp., BBB-, Baa1
6.250%, 5/15/67 (a) (c) 5/15/17 @ 100.00 610,000
-------------------------
1,068,201
-------------------------
ENTERTAINMENT AND GAMING - 1.4%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.350%, 10/1/15 (b) N/A 845,630
500,000 Downstream Development Authority of the Quapaw Tribe of Oklahoma, B-, Caa1
12.000%, 10/15/15 (b) 10/15/11 @ 109.00 250,000
500,000 Indianapolis Downs LLC & Capital Corp., CCC, Caa2
11.000%, 11/1/12 (b) 11/1/10 @ 105.50 260,000
-------------------------
1,355,630
-------------------------
INSURANCE - 3.8%
525,000 Ajax Re Ltd., CC, NR
7.570%, 5/8/09 (Cayman Islands) (b) (d) (e) N/A 95,813
1,000,000 Allstate Corp. (The), BBB, Baa1
6.500%, 5/15/57 (a) (c) 5/15/37 @ 100.00 570,000
1,000,000 AXA SA, BBB+, Baa1
6.463%, 12/14/49 (France) (a) (b) (c) 12/14/18 @ 100.00 375,616
400,000 Blue Coast Ltd., Ser. A, BB-, NR
10.840%, 12/8/10 (Cayman Islands) (b) (d) (e) N/A 378,268
700,000 Blue Fin Ltd., BB+, NR
5.811%, 4/10/12 (a) (b) (d) (e) 4/08/10 @ 101.00 595,700
500,000 GlobeCat Ltd., Ser. CAQ, NR, B1
7.435%, 1/2/13 (Cayman Islands) (b) (d) (e) 12/21/11 @ 100.50 480,380
1,000,000 Metlife Capital Trust IV, BBB, Baa1
7.875%, 12/15/37 (a) (b) 12/15/32 @ 100.00 626,007
1,250,000 Progressive Corp. (The), A-, A2
6.700%, 6/15/37 (a) (c) 6/15/17 @ 100.00 679,213
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3,800,997
-------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.6%
1,000,000 HRPT Properties Trust, BBB, Baa2
6.650%, 1/15/18 (a) 7/15/17 @ 100.00 636,388
-------------------------
RETAIL - 1.1%
1,000,000 AutoNation, Inc., BB+, Ba2
3.094%, 4/15/13 (a) (d) 4/15/09 @ 102.00 792,500
500,000 Macys Retail Holdings, Inc., BBB-, Baa3
5.900%, 12/1/16 (a) N/A 297,195
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1,089,695
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TOTAL CORPORATE BONDS - 24.9%
(Cost $40,092,744) 24,600,162
-------------------------
ASSET BACKED SECURITIES - 41.2%
1,907,939 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A, BBB+, A2,
6.150%, 10/15/48 (a) (b) 1,313,864
479,564 321 Henderson Receivables I LLC, Ser. 2008-1A, Class A, AAA, Aaa,
6.190%, 1/15/44 (a) (b) 357,736
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class B, AA, NR,
8.370%, 1/15/46 (a) (b) 330,085
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR,
9.360%, 1/15/48 (b) 355,055
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB, NR,
10.810%, 1/15/50 (b) 390,165
1,410,361 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3,
0.830%, 3/15/19 (d) 1,057,771
1,400,000 American Express Credit Account Master Trust, Ser. 2007-4, Class C, BBB, Baa2,
0.721%, 12/17/12 (b) (d) 1,012,131
980,551 Applebee's Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aa2,
6.427%, 12/20/37 (b) 475,263
635,902 Armstrong Loan Funding Ltd., Ser. 2008-1A, Class B, AAA, Aaa,
2.170%, 8/1/16 (Cayman Islands) (b) (d) 246,520
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
1.574%, 4/29/19 (Cayman Islands) (a) (b) (d) 1,619,100
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C, A, A2,
1.874%, 4/29/19 (Cayman Islands) (a) (b) (d) 1,446,860
47,590 Blue Falcon, NR, NR,
5.460%, 12/25/16 (b) 46,626
601,590 BNC Mortgage Loan Trust, Ser. 2007-4, Class A3A, AAA, NR,
0.724%, 11/25/37 (d) 557,836
2,000,000 Callidus Debt Partners Fund Ltd., Ser. 6A, Class A1T, AAA, Aaa,
1.385%, 10/23/21 (Cayman Islands) (b) (d) 1,795,720
1,420,000 Citibank Credit Card Issuance Trust, Ser. 2006-C4, Class C4, BBB, Baa2,
0.668%, 1/9/12 (a) (d) 1,179,059
3,294,264 Countrywide Home Equity Loan Trust, Ser. 2004-S, Class 1A, A, Baa1,
0.695%, 2/15/30 (d) 1,482,548
350,000 Daimler Chrysler Master Owner Trust, Ser. 2006-A, Class A, BB-, Baa3,
0.491%, 11/15/11 (d) 240,350
1,960,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, BBB+, Baa3,
5.261%, 4/25/37 (b) 1,021,158
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2, A, Baa1,
5.779%, 6/20/31 (b) 2,152,290
250,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-3, Class A, BBB+, Aa2,
0.635%, 6/15/11 (d) 223,216
1,000,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-4, Class B, BB, Baa3,
1.005%, 6/15/13 (a) (d) 504,290
1,000,000 Friedbergmilstein Private Capital Fund, Ser. 2004-1A, Class B2, AA, Aa2,
5.409%, 1/15/19 (Cayman Islands) (b) 975,950
1,104,476 GE Commercial Loan Trust, Ser. 2006-1, Class A2, AAA, A3,
1.316%, 4/19/17 (a) (b) (d) 1,000,766
500,000 GSAA Trust, Ser. 2007-5, Class 1F2A, AAA, B3,
5.788%, 3/25/47 (a) (d) 264,447
400,000 Harley-Davidson Motorcycle Trust, Ser. 2007-2, Class B, A, A3,
5.230%, 3/15/14 302,020
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3, Class B, A, Baa3,
6.040%, 8/15/14 774,339
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2,
0.845%, 6/5/12 (b) (d) 1,266,160
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2,
5.144%, 3/20/37 (a) (b) 1,014,780
391,848 MRU Student Loan Trust, Ser. 2008-A, Class A1A, AAA, NR,
7.400%, 1/25/41 (b) 343,479
202,567 MRU Student Loan Trust, Ser. 2008-A, Class B, AA, NR,
6.659%, 1/25/41 (b) (d) 92,738
202,567 MRU Student Loan Trust, Ser. 2008-A, Class C, A, NR,
8.659%, 1/25/41 (b) (d) 107,582
1,424,821 Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1,
7.150%, 10/15/13 (Bermuda) (b) 1,409,960
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
1.669%, 11/24/20 (Cayman Islands) (b) (d) 831,050
492,111 New Century Home Equity Loan Trust, Ser. 2004-A, Class AII9, BBB+, Aa3,
5.470%, 8/25/34 (d) 330,938
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2,
7.250%, 6/25/38 (b) 389,166
272,001 Phoenix Funding Ltd., Ser. 2001-1, AA, Aa1,
1.544%, 4/15/13 (d) 262,233
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR,
16.249%, 11/25/12 (Cayman Islands) (a) (b) (d) 1,671,620
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, A, A2,
2.775%, 9/22/16 (Cayman Islands) (a) (b) (d) 1,639,080
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1,
3.943%, 6/7/11 (Cayman Islands) (b) (d) 495,776
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1,
3.016%, 12/26/11 (Cayman Islands) (a) (b) (d) 434,385
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1,
5.066%, 12/26/11 (Cayman Islands) (a) (b) (d) 857,160
992,033 Structured Asset Securities Corp., Ser. 2007-BNC1, Class A2, AAA, NR,
1.574%, 10/25/37 (d) 910,279
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2, Class C, BBB-, Baa1,
2.455%, 10/15/12 (a) (d) 180,000
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
1.994%, 6/15/16 (Cayman Islands) (b) (d) 1,920,480
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR,
3.044%, 6/15/16 (Cayman Islands) (b) (d) 1,491,480
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR,
5.793%, 9/1/17 (Cayman Islands) (b) 849,030
1,284,031 TCW Select Loan Fund Ltd., Inc., Ser. 1A, Class A1, AAA, Aaa,
1.814%, 10/10/13 (Cayman Islands) (b) (d) 1,270,318
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1, AAA, Aaa,
1.571%, 11/21/40 (Cayman Islands) (b) (d) 1,821,340
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TOTAL ASSET BACKED SECURITIES - 41.2% 40,714,199
(Cost $50,958,301) -------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 23.7%
900,000 American Tower Trust, Ser. 2007-1A, Class AFX, AAA, Aaa,
5.420%, 4/15/37 (a) (b) 801,000
1,000,000 American Tower Trust, Ser. 2007-1A, Class B, AA, Aa2,
5.537%, 4/15/37 (b) 798,130
500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2, Class G, A-, NR,
5.335%, 3/11/41 (b) (d) 216,315
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5, Class B, AA+, Aa2,
5.058%, 11/10/41 (a) (d) 414,109
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ, AAA, Aaa,
5.157%, 10/10/45 (a) (d) 272,170
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10, Class AJ, AAA, NR,
5.463%, 12/11/40 (d) 682,583
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2, Class E, A-, A3,
5.023%, 10/15/41 (b) (d) 156,251
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2005-CD1, Class AJ, AAA, Aaa,
5.225%, 7/15/44 (a) (d) 904,496
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-CN2A, Class F, A, NR,
5.570%, 2/5/19 (a) (b) (d) 424,456
1,748,312 Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8, Class 4A1, AAA, B2,
5.557%, 12/20/35 (d) 972,794
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3, Class AM, AAA, Aaa,
5.826%, 6/15/38 (a) (d) 613,868
115,665 Credit Suisse Mortgage Capital Certificates, Ser. 2006-TF2A, Class SHDA, A-, Aa1,
1.055%, 7/15/19 (b) (d) 107,975
1,000,000 Crown Castle Towers LLC, Ser. 2006-1A, Class C, NR, A2,
5.470%, 11/15/36 (b) 875,000
1,425,000 CS First Boston Mortgage Securities Corp., Ser. 2005-TFLA, Class K, AAA, Aaa,
1.755%, 2/15/20 (a) (b) (d) 1,257,475
232,815 Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Ser. 2006-AB4, BB, Baa3,
6.005%, 10/25/36 (d) 139,231
1,225,000 Global Signal Trust, Ser. 2004-2A, Class D, NR, Baa2,
5.093%, 12/15/14 (b) 1,182,125
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class AJ, AAA, Aaa,
4.859%, 8/10/42 (a) (d) 947,984
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class AJ, AAA, Aaa,
5.301%, 4/10/37 (a) (d) 454,657
600,000 GS Mortgage Securities Corp II, Ser. 2001-GL3A, Class E, NR, A1,
6.852%, 8/5/18 (b) (d) 411,358
1,184,821 Impac Secured Assets CMN Owner Trust, Ser. 2007-3, Class A1A, AAA, Caa1,
0.584%, 9/25/37 (d) 1,003,054
700,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2002-C1, Class E, A-, A2,
6.135%, 7/12/37 (b) 407,263
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP3, Class AJ, AAA, Aaa,
4.941%, 8/15/42 (a) (d) 448,768
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR,
5.073%, 8/13/42 (a) (d) 908,728
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, AAA, NR,
5.370%, 12/15/43 (a) 462,740
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, AAA, NR,
5.811%, 8/12/41 (a) (d) 405,672
145,000 SBA CMBS Trust, Ser. 2005-1A, Class D, NR, Baa2,
6.219%, 11/15/35 (b) 122,525
1,500,000 SBA CMBS Trust, Ser. 2005-1A, Class E, NR, Baa3,
6.706%, 11/15/35 (b) 1,218,240
2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4, Class AJ, AAA, NR,
6.086%, 8/15/39 (a) (d) 701,538
750,000 Timberstar Trust, Ser. 2006-1A, Class A, AAA, Aaa,
5.668%, 10/15/36 (a) (b) 488,340
100,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2,
5.884%, 10/15/36 (b) 61,670
2,000,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2,
6.208%, 10/15/36 (a) (b) 1,578,680
2,027,316 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class A1, AAA, Aaa,
0.705%, 1/15/21 (a) (b) (d) 1,859,246
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class L, BB+, Baa2,
2.005%, 1/15/21 (b) (d) 773,868
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AJ, AAA, Aaa,
5.314%, 7/15/42 (a) (d) 917,198
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21, Class AJ, AAA, Aaa,
5.209%, 10/15/44 (a) (d) 452,825
-------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 23.7% 23,442,332
(Cost $36,695,674) -------------------------
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCK - 3.5%
BANKS - 0.7%
50,000 Santander Finance Preferred SA Unipersonal, 6.500% (Spain) (a) 662,500
-------------------------
DIVERSIFIED FINANCIAL SERVICES - 0.4%
50,000 Deutsche Bank Contingent Capital Trust II, 6.550% (a) 436,000
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.950% (f) 150
-------------------------
436,150
-------------------------
INSURANCE - 0.8%
20,000 Aegon NV, 6.375% (Netherlands) (a) 112,000
3,800 ING Groep NV, 7.050% (Netherlands) 22,002
40,000 Torchmark Capital Trust III, 7.100% (a) 704,800
-------------------------
838,802
-------------------------
REAL ESTATE INVESTMENT TRUST - 1.0%
33,850 Public Storage, Ser. K, 7.250% (a) 623,517
18,500 Public Storage, Ser. M, 6.625% (a) 317,645
-------------------------
941,162
-------------------------
TELECOMMUNICATION SERVICES - 0.6%
1,000 Centaur Funding Corp., 9.080% (Cayman Islands) (b) 609,688
-------------------------
TOTAL PREFERRED STOCK - 3.5%
(Cost $7,030,091) 3,488,302
-------------------------
EXCHANGE-TRADED FUNDS - 13.6%
17,200 DIAMONDS Trust Series I (a) (g) 1,216,212
85,000 Powershares QQQ (a) (g) 2,340,050
78,700 ProShares Ultra Dow30 (a) (g) 1,626,729
53,700 ProShares Ultra QQQ (a) (g) 1,212,009
145,100 ProShares Ultra S&P500 (a) (g) 2,521,838
61,200 SPDR Trust Series 1 (a) (g) 4,524,516
-------------------------
TOTAL EXCHANGE-TRADED FUNDS - 13.6% 13,441,354
(Cost $19,627,859) -------------------------
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 2.3%
$ 310,000 Freddie Mac, Ser. MTN, AAA, Aaa
5.250%, 5/29/18, Notes 306,802
2,000,000 Freddie Mac, AAA, Aaa
6.000%, 6/15/17 to 3/2/22, Notes (a) 2,011,046
-------------------------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 2.3% 2,317,848
(Cost $2,266,538) -------------------------
TERM LOANS - 23.7%
AEROSPACE AND DEFENSE - 1.7%
1,468,402 Colt Defense, NR, B1,
4.051%, 7/9/14 (d) 1,284,852
492,500 Total Safety, Series C, B, B2,
3.229%, 12/8/12 (d) 394,000
-------------------------
1,678,852
-------------------------
AUTOMOBILE - 1.6%
957,114 Adesa, Inc., NR, Ba3,
3.253%, 9/22/13 (d) 651,522
1,337,812 Harbor Freight Tools, B+, B1,
9.691%, 7/12/13 (d) 889,645
-------------------------
1,541,167
-------------------------
COMMUNICATIONS/MEDIA - 0.2%
500,000 Univision Acquisition, Inc., B-, B2,
2.729%, 9/30/14 (d) 230,750
-------------------------
CONSUMER PRODUCTS - 0.6%
962,136 Navisite, Inc., B-, B3,
11.150%, 9/19/14 (d) 577,281
-------------------------
DIVERSIFIED/CONGLOMERATE SERVICE - 2.9%
856,172 Billing Services Group, NR, B1,
5.750%, 12/28/14 (d) 787,678
987,500 Compucom Systems, BB, Ba2,
3.980%, 8/13/14 (d) 780,125
1,481,250 First Data Corp., BB-, Ba3,
3.223%, 9/24/14 (d) 981,536
492,500 Terramark Worldwide, Inc., B, NR
5.209%, 7/30/14 (d) 369,375
-------------------------
2,918,714
-------------------------
ELECTRONICS - 2.8%
988,345 Caritor, Inc., B+, B2
2.730%, 6/4/13 (d) 339,333
467,744 Clientlogic Corp., B+, B3,
6.600%, 1/30/14 (d) 254,921
1,228,896 Freescale Semiconductor, Inc., BB, Ba1
3.931%, 11/29/13 (d) 529,746
1,481,250 GXS Corp., B+, Ba3,
5.106%, 10/18/14 (d) 1,155,375
890,395 Network Solutions LLC, B, B1,
3.304%, 9/26/14 (d) 529,785
-------------------------
2,809,160
-------------------------
FOOD & BEVERAGES - 0.9%
90,245 OSI Restaurant Partners, Revolver, B+, B3,
1.816%, 8/29/14 (d) 43,769
1,050,671 OSI Restaurant Partners, B+, B3,
2.822%, 6/14/14 (d) 509,575
500,000 Panda Restaurant, NR, NR,
6.600%, 8/23/17 (d) 321,735
-------------------------
875,079
-------------------------
GAMING - 0.7%
407,185 Cannery Casino Resorts LLC, BB-, B2,
2.723%, 9/18/14 (d) 378,428
336,614 Cannery Casino Resorts LLC, Revolver, BB-, B2,
2.729%, 9/18/14 (d) 312,841
-------------------------
691,269
-------------------------
HEALTHCARE, EDUCATION & CHILDCARE - 4.2%
853,127 Aurora Diagnostics LLC, B-, B3,
5.098%, 12/10/12 (d) 767,814
433,879 Compsych, B, B2,
4.015%, 7/31/14 (d) 227,787
855,946 Embanet, B, B2,
4.163%, 6/28/12 (d) 663,358
1,485,000 PRA International, BB-, B1,
6.340%, 11/16/14 (d) 1,084,050
933,047 Renal Advantage, Inc., BB-, B1,
4.496%, 9/11/14 (d) 769,763
934,184 TUI University LLC, B-, B2,
3.479%, 7/2/14 (d) 630,574
-------------------------
4,143,346
-------------------------
HOME & OFFICE FURNISHINGS - 0.4%
698,011 Centaur LLC, CCC+, B2,
9.250%, 11/9/14 (d) 348,133
-------------------------
INSURANCE - 0.3%
475,640 QTC Management, B+, B2,
2.700%, 11/10/12 (d) 306,788
-------------------------
LEISURE - 1.1%
1,448,876 Bushnell Performance Optics, BB-, Ba3,
5.208%, 8/24/13 (d) 1,101,146
-------------------------
OIL & GAS - 0.8%
1,293,397 Calumet Lubricants Co., NR, B1,
5.240%, 12/28/14 (d) 701,668
172,414 Calumet Lubricants Co., Credit Link Deposit Facility, NR, B1,
5.240%, 12/28/14 (d) 93,534
-------------------------
795,202
-------------------------
PRINTING & PUBLISHING - 0.7%
985,000 Advanstar Communications, B+, B1,
3.709%, 9/20/14 (d) 421,088
740,554 Idearc, Inc., BBB-, Ba2,
3.418%, 11/17/14 (d) 264,556
-------------------------
685,644
-------------------------
RETAIL STORES - 3.8%
1,481,156 David's Bridal, Inc., B, B2,
3.212%, 1/31/14 (d) 935,594
1,234,375 Deb Shops, Inc., B-, B3,
4.888%, 4/23/14 (d) 586,328
994,423 Guitar Center, B-, B2,
3.985%, 10/9/13 (d) 590,851
892,500 HH Gregg Appliances, Inc., B+, B2,
2.476%, 9/12/14 (d) 566,738
985,000 Mattress Firm, B, Ba3,
2.730%, 10/23/14 (d) 201,925
1,000,000 QVC, Inc., NR, NR,
1.345%, 3/3/11 (d) 850,000
-------------------------
3,731,436
-------------------------
TRANSPORTATION - 1.0%
987,500 Carey International, Inc., B, B1,
5.625%, 10/29/14 (d) 987,500
-------------------------
TOTAL TERM LOANS - 23.7%
(Cost $34,338,548) 23,421,467
-------------------------
TOTAL LONG-TERM INVESTMENTS - 132.9%
(Cost $191,009,755) 131,425,664
-------------------------
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) OPTIONS PURCHASED (h) DATE PRICE VALUE
------------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 0.0%
23 CBOE S&P 500 Volatility Index (g)
(Cost $22,770) March 2009 35.00 21,612
-------------------------
TOTAL INVESTMENTS - 132.9%
(Cost $191,032,525) 131,447,276
Other Assets in excess of Liabilities - 2.1% 2,096,579
Total Options Written - (0.4%) (396,224)
Borrowings - (23.3%) (23,009,266)
Reverse Repurchase Agreements - (11.3%) (11,238,380)
-------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $ 98,899,985
=========================
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
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 February 28, 2009, the total amount
segregated in connection with reverse repurchase agreements was
$22,817,714.
(b) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At February 28,
2009, these securities amounted to 57.4% 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) 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.
(f) Non-incoming producing as security is in default.
(g) All or a portion of this security position represents cover for outstanding
options written.
(h) Non-income producing security. Ratings shown are per Standard & Poor's and
Moody's. Securities classified as NR are not rated.
Securities are classified by sectors that represent broad groupings of related
industries.
-------------------------------------------------------------------------------
Country Allocation*
-------------------------------------------------------------------------------
United States 79.7%
Cayman Islands 15.9%
Bermuda 1.1%
France 1.0%
Sweden 1.0%
United Kingdom 0.7%
Spain 0.5%
Netherlands 0.1%
-------------------------------------------------------------------------------
*Subject to change daily. Based on total investments.
See previously submitted notes to financial statements for the period ended
November 30, 2008.
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) OPTIONS WRITTEN (h) DATE PRICE VALUE
-----------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN
23 CBOE S&P 500 Volatility Index March 2009 $ 45.00 8,336
172 DIAMONDS Trust Series I March 2009 75.00 15,738
850 Powershares QQQ March 2009 29.00 40,375
787 ProShares Ultra Dow30 March 2009 24.00 25,577
268 ProShares Ultra QQQ March 2009 25.00 21,440
269 ProShares Ultra QQQ March 2009 26.00 14,795
1,451 ProShares Ultra S&P500 March 2009 19.00 101,570
3,250 S&P 500 Index March 2009 785.00 73,524
1,269 S&P 500 Index March 2009 788.42 15,909
612 SPDR Trust Series 1 March 2009 78.00 78,030
--------------
TOTAL VALUE OF CALL OPTIONS WRITTEN 395,294
(Premiums received $895,871)
PUT OPTIONS WRITTEN
23 CBOE S&P 500 Volatility Index March 2009 35.00 930
(Premiums received $1,150) --------------
TOTAL OPTIONS WRITTEN $ 396,224
(Premiums received $897,021) ==============
(h) Non-income producing security
The Fund entered into swap agreements during the period ended February 28, 2009.
Details of the swap agreements outstanding as of February 28, 2009 were as
follows:
CREDIT DEFAULT SWAP AGREEMENTS
NOTIONAL UNREALIZED
REFERENCE BUY/SELL TERMINATION AMOUNT PAY/RECEIVE APPRECIATION/
COUNTERPARTY ENTITY PROTECTION DATE (000) FIXED RATE DEPRECIATION
-----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Basket of 110 distinct Sell 09/21/14 $ 3,000* 1.180% $(2,373,771)
corporate entities -----------------
INTEREST RATE SWAP AGREEMENTS
NOTIONAL UNREALIZED
FLOATING TERMINATION AMOUNT PAY/RECEIVE APPRECIATION/
COUNTERPARTY RATE DATE (000) FIXED RATE DEPRECIATION
-----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs** 3 Month LIBOR 01/04/38 $ 10,000 5.675% $ 728,710
Goldman Sachs** 3 Month LIBOR 01/04/38 10,000 5.860 460,700
Goldman Sachs** 3 Month LIBOR 07/07/38 5,000 5.753 474,550
Goldman Sachs** 3 Month LIBOR 07/07/38 5,000 5.940 355,550
HSBC** 3 Month LIBOR 01/09/23 5,000 7.700 (217,377)
----------------
$ 1,802,133
================
TOTAL RETURN SWAP AGREEMENTS
NOTIONAL UNREALIZED
FLOATING TERMINATION AMOUNT PAY/RECEIVE APPRECIATION/
COUNTERPARTY RATE DATE (000) FIXED RATE DEPRECIATION
-----------------------------------------------------------------------------------------------------------------------------
Barclays Capital*** 1 Month LIBOR + 0.35% 12/23/09 $ 1,000 S&P 500 $ (19,685)
Barclays Capital*** 1 Month LIBOR + 0.35% 12/23/09 1,516 S&P 500 (129,184)
Goldman Sachs*** 1 Month LIBOR + 0.35% 12/16/09 1,000 S&P 500 (44,103)
----------------
$ (192,972)
================
----------------
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $ (764,610)
================
* The Fund receives a fixed rate based upon the notional amount of $3 million
and pays cumulative losses in excess of a stated percentage on an
underlying basket of 110 distinct corporate entities with an aggregate
notional value of $3 billion. The maximum loss exposure is $3 million.
** The Fund pays the floating rate and receives the fixed rate.
*** The Fund pays a floating rate and receives the total return of the Standard
& Poor's 500 Index.
In September, 2006, the FASB issued Statement of Financial Accounting Standards
No. 157, "Fair Valuation Measurements" ("FAS 157"). This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value and requires additional disclosures about the use of fair
value measurements. FAS 157 establishes three different categories for
valuations. Level 1 valuations are those based upon quoted prices in active
markets. Level 2 valuations are those are those based upon quoted prices in
inactive markets or based upon significant observable inputs (i.e. yield curves;
benchmark interest rates; indices). Level 3 valuations are those based upon
unobservable inputs (i.e. discounted cash flow analysis; non-market based
methods used to determine fair valuation).
Valuations at February 28, 2009
Description Securities Derivatives Total
(value in $000s) ---------- ----------- -----
Assets:
Level 1 $ 16,930 $ - $ 16,930
Level 2 114,517 2,020 116,537
Level 3 - - -
----------------------------------------
Total $ 131,447 $ 2,020 $ 133,467
========================================
Liabilities:
Level 1 $ - $ 396 $ 396
Level 2 - 2,784 2,784
Level 3 - - -
----------------------------------------
Total $ - $ 3,180 $ 3,180
========================================
Level 3 holdings Securities Derivatives Total
---------- ----------- -----
Beginning Balance at 5/31/08 $ - $ - $ -
Total Realized Gain/Loss - - -
Change in Unrealized Gain/Loss - - -
Net Purchases and Sales - - -
Net Transfers In/Out - - -
----------------------------------------
Ending Balance at 2/28/09 $ - $ - $ -
========================================
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) as of a date within 90 days of the filing date
of this report and have concluded, based on such evaluation, that the
registrant's disclosure controls and procedures were effective, as of
that date, in ensuring that information required to be disclosed by the
registrant in this Form N-Q was recorded, processed, summarized and
reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940, as amended) that occurred during the registrant's last fiscal
quarter that has materially affected or is reasonably likely to
materially affect the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is
attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Claymore/Guggenheim Strategic Opportunities Fund
By: /s/ J. Thomas Futrell
----------------------------
J. Thomas Futrell
Chief Executive Officer
Date: April 24, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ J. Thomas Futrell
----------------------------
J. Thomas Futrell
Chief Executive Officer
Date: April 24, 2009
By: /s/ Steven M. Hill
----------------------------
Steven M. Hill
Chief Financial Officer, Chief Accounting Officer & Treasurer
Date: April 24, 2009