UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21982
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Claymore/Guggenheim Strategic Opportunities Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: May 31
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Date of reporting period: May 31, 2009
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the "Investment
Company Act"), is as follows:
ANNUAL
REPORT CLAYMORE/GUGGENHEIM |
May 31, 2009 STRATEGIC OPPORTUNITIES FUND | GOF
[PHOTO OF GUGGENHEIM]
[LOGO OF CLAYMORE]
CLAYMORE(SM) GUGGENHEIM(R)
WWW.CLAYMORE.COM/GOF
... YOUR WINDOW TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
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GOF | Claymore/Guggenheim
LISTED | Strategic Opportunities
NYSE | Fund
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CLAYMORE(SM) GUGGENHEIM(R)
There can be no assurance that the Fund will achieve its investment objective.
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.
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 and more
o Portfolio overviews and performance analyses
o Announcements, press releases and special notices
o Fund and adviser contact information
Guggenheim Partners Asset Management, Inc. and Claymore are continually updating
and expanding shareholder information services on the Fund's website, in an
ongoing effort to provide you with the most current information about how your
Fund's assets are managed, and the results of our efforts. It is just one more
small way we are working to keep you better informed about your investment in
the Fund.
2 | Annual Report | May 31, 2009
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 fiscal year ended May 31, 2009.The last year has been an extraordinarily
difficult time for all investors, although we have seen some improvement in
capital markets in the past few months. We are disappointed to report that the
Fund's return was negative for the fiscal year. 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 the
sub-adviser's rigorous process of individual security selection in addition to
the 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 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 identify securities or spreads between
securities that deviate from their perceived fair value and/or historical norms.
Guggenheim is a diversified financial services firm with wealth management,
capital markets, investment management and proprietary investing businesses. As
of May 31, 2009, 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 fiscal year ended
May 31, 2009, the Fund generated a total return of -18.37% on an NAV basis and
-19.51% on a market price basis. The last closing price of the Fund's shares as
of May 31, 2009, was $11.53, which represented a discount of 7.17% to the Fund's
NAV of $12.42. 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 below the current 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 32 of the Fund's annual report. When shares
trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the monthly dividend distribution in common shares of the Fund
purchased in the market at a price less than NAV. Conversely, when the market
price of the Fund's common shares is at a premium above NAV, the DRIP reinvests
participants' dividends in newly-issued common shares at NAV, subject to an IRS
limitation that the purchase price cannot be more than 5% below the market price
per share. The DRIP provides a cost-effective means to accumulate additional
shares and enjoy the benefits of compounding returns over time 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.
During the fiscal year ended May 31, 2009, the Fund paid 12 monthly dividends of
$0.154 per share.
Annual Report | May 31, 2009 | 3
GOF | Claymore/Guggenheim Strategic Opportunities Fund | DEAR SHAREHOLDER
continued
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.
Sincerely,
/s/ J. Thomas Futrell
--------------------------------------------------
J. Thomas Futrell
Chief Executive Officer
Claymore/Guggenheim Strategic Opportunities Fund
4 | Annual Report | May 31, 2009
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,
Senior Managing Director; Michael Curcio, Managing Director; Robert N. Daviduk,
CFA, Managing Director; Kerim Engin, Ph. D., Managing Director & Director of
Risk Management; Shahab Sajadian, CFA, Director; and Eric Silvergold, Managing
Director. In the following interview, the investment team discusses the market
environment and the Fund's performance for the Fund's fiscal year ended May 31,
2009.
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.
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.
GPAM believes the volatility (risk) of the Fund can be reduced 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.
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. As
of May 31, 2009, the Fund was levered 21.6%.
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, then the common shares' return will be greater
than if financial leverage had not been used. Conversely, if the income and
gains from the securities purchased with the financial leverage is less than the
cost of the financial leverage then the return on the 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.
Annual Report | May 31, 2009 | 5
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
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PLEASE TELL US ABOUT THE MARKET ENVIRONMENT OVER THE LAST 12 MONTHS.
It has been an extremely volatile period for financial markets. A year ago, it
appeared that markets had the potential to improve, as a rally in non-U.S.
government bonds and equities followed the March 2008 rescue of The Bear Stearns
Companies Inc., which was engineered by U.S. government policy makers. Instead,
the financial crisis became much worse over the ensuing months. Investors fled
risk in a wholesale manner and indiscriminately sold securities with little
consideration for their intrinsic value.
A pivotal event was the September 2008 bankruptcy of Lehman Brothers Holdings
Inc. ("Lehman" or "Lehman Bros."); GPAM believes that U.S. government policy
makers failed to adequately grasp the severity of the fallout from the failure
of a major financial institution. After Lehman's demise, the credit markets
became so intolerant of risk that they essentially froze. Lending virtually
ceased, as financial institutions exhibited little confidence in one another. As
fearful investors sought the protection of U.S. Treasury securities, yield
spreads between Treasury securities and bonds with any degree of credit risk
widened dramatically, and there were pronounced declines in the market values of
almost all securities with any degree of credit risk.
Subsequent to the failure of Lehman, U.S. policy makers indicated that they
would not allow another systemically important institution to fail. They have
injected capital into almost every major financial institution and into many
smaller ones as well. In addition to a stimulative monetary policy, a fiscal
stimulus package of almost $800 billion was instituted.
Moving into 2009, the markets performed poorly in January and February. In early
March the markets seemed to sense that the worst might be behind us, as the
economic news began to turn from universally bad to mixed. Consumer confidence
and certain business indicators began to turn more positive. Beginning in March
2009, a strong recovery began in the financial markets that have by and large
benefitted most non-U.S. government securities. Corporate bonds, both investment
grade and high yield, posted very strong returns. In fact, in the corporate
sector, the best performing bonds [since March 2009] were the lowest rated
bonds, with CCC rated speculative grade securities posting the highest returns.
Investors began to feel more comfortable embracing risk, meaning they became
willing to buy corporate debt, structured securities and other securities that
carry credit risk. As a result, after being the best performers over the last
couple of years, more recently U.S. government bonds, and treasury securities in
particular, have been the worst performers in the last few months. The general
perception is that investors have sold treasury securities to finance purchases
of riskier securities, thus driving up the yields on government securities.
With so much market turmoil, there was wide variation in returns of various
asset classes over the 12-month period ended May 31, 2009. Despite the recent
recovery, equities had dramatically negative returns for the 12-month period:
The Standard & Poor's 500 Index (the "S&P 500"), which is generally regarded as
an indicator of the broad U.S. stock market, returned -32.57%. World equity
markets were also weak: the MSCI World Index, which measures performance of
world equity markets, returned -25.03%. Bonds performed better than stocks over
this 12-month period: the Barclays Aggregate Bond Index, which is a proxy for
the investment grade bond market, returned 5.36% for the period. Reflecting
extreme weakness in risky securities in the last half of 2008 and in early 2009,
U.S. Treasury Bonds were the best performing asset class; the Barclays Treasury
Composite Index returned 8.55%. Despite the improvement in below-investment
grade debt at the end of the period, returns were negative; the return of the
Barclays US Corporate High Yield Index was -7.77%. Indices are unmanaged and it
is not possible to invest directly in an index.
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HOW DID THE FUND PERFORM DURING THIS PERIOD?
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the 12-month period
ended May 31, 2009, the Fund returned -18.37% on an NAV basis and -19.51% on a
market price basis. The closing price of the Fund's shares as of May 31, 2009,
was $11.53, which represented a discount of 7.17% to the NAV of $12.42.
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. GPAM believes that,
over the long term, the progress of the NAV will be reflected in the market
price return to shareholders.
6 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
Although it is always disappointing to report negative returns, GPAM is pleased
that the Fund outperformed the S&P 500 on an NAV basis since its inception and
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 that
is closer to that of bonds. For the period from the Fund's inception date of
July 27, 2007, through May 31, 2009, the Fund's NAV return on an annualized
basis was -11.08%, compared with return of -20.24% for the S&P 500. Over this
same period, the Fund's annualized volatility has been approximately 10.9%. This
compares with annualized volatility of the Barclays Aggregate Bond Index (a
proxy for bonds) of approximately 5.3% and volatility of the S&P 500 Index of
approximately 36.1% 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 12-month period ended May 31, 2009, the Fund paid monthly dividends
of $0.154 per share.
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HOW DID YOU ALLOCATE THE FUND AMONG ASSET CLASSES DURING THIS PERIOD AND HOW DID
THESE DECISIONS AFFECT PERFORMANCE?
This Fund was created to provide individual investors the potential to realize a
level of return similar to that achieved by equities, but with volatility more
typical of fixed income securities. GPAM tracks a large number of equity and
fixed income asset classes and, in constructing the Fund's portfolio, GPAM seeks
to use investments that historically have had low correlations to one another.
They 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. GPAM does this in an effort
to reduce the risk of the portfolio while providing the potential for an
attractive long-term return to their investors. Throughout the period, covered
by this report the Fund has been highly diversified, generally with exposure to
over one dozen broad sector classifications and dozens of subsectors within the
major sectors.
At the end of the last fiscal year, May 31, 2008, U.S. Government and Agency
securities represented approximately 15% of total investments. As the market
became increasingly risk-averse during the summer of 2008, these
government-backed securities were the best performing asset class in the
portfolio.
In September 2008, the Fund purchased some 30-year U.S. Treasury Bonds, which
provided an unusually attractive return over the following two months, a period
when essentially all non-U.S. government debt securities posted sharply negative
returns.
In the final months of 2008 and early 2009, GPAM recognized some very unusual
opportunities in the market, especially for structured securities, which were
selling at very depressed prices. Historically in many securitizations about 70%
to 80% of the transaction receives a AAA rating from the nationally recognized
statistical rating organizations. These very high ratings made the securities
very easy to use as collateral for financial leverage and therefore very
attractive to highly leveraged investors such as hedge funds. As the markets
began to seize and the prices of structured investments dropped, hedge funds and
other levered investors received margin calls from their lenders. The result was
that levered investors were forced to sell securities at a time of very poor
market liquidity.
This forced selling created unusual opportunities for opportunistic investors
such as the Fund. GPAM has taken steps to reposition the portfolio to take
advantage of these opportunities, and continue to do so. GPAM has sold
relatively low yielding securities, such as government bonds, corporate bonds,
bank loans and preferreds and replaced them with securities that provide much
higher yields and return potential. Because GPAM was among the few
counterparties for investors who had to sell in late 2008 and early 2009, in
many instances these securities could be purchased at prices that GPAM believed
were well below their intrinsic value. GPAM's in-depth independent analysis of
these securities makes possible informed judgments as to which distressed
securities offer real value. GPAM began this program in late 2008 and continues
to implement it today.
In terms of the impact on the Fund, as of November 30, 2008, when the semiannual
report was published for the Fund, approximately 18% of the portfolio was
invested in corporate bonds and 6% in U.S. Government and Agency securities. As
of May 31, 2009, corporate bonds represent approximately 17% of the portfolio
and U.S. Government and Agency securities have been reduced to 2%. To the extent
that positions in corporate and U.S. government bonds have been reduced, these
securities have been replaced with a diverse group of investments, including
asset-backed securities, residential and commercial mortgage backed securities,
some of which have been purchased at yields in excess of 20%. Many of these
securities have
Annual Report | May 31, 2009 | 7
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
rebounded as market conditions improved, helping to provide capital appreciation
as well as attractive levels of income.
Also positive for performance were changes in the duration of the portfolio;
duration is a measure of a bond's price sensitivity to changes in interest
rates, expressed as the weighted average of the time it takes to receive all
interest payments and the final return of principal. Until recently, the
duration of the Fund was longer than that of the Barclays Aggregate Bond Index
which provided additional return to the Fund as interest rates fell. Around the
time interest rates reached their lowest point in late 2008/early 2009, GPAM
allowed the portfolio's duration to come down to be approximately equal to the
duration of the Barclays Aggregate Bond Index, and that also helped relative
performance as interest rates increased.
In terms of decisions that detracted from the Fund's return, GPAM sold U.S.
government and government-related securities at various times over the past year
in order to raise funds to purchase securities that GPAM believes will provide
significantly higher yields and returns over the next couple of years than the
returns that will be earned on the positions that were liquidated. The position
in U.S. Government and Agency securities as a percentage of total investments
was reduced from 14.9% as of May 31, 2008, to 6.0% of total investments at
mid-year (November 30, 2008) and 2.1% as of May 31, 2009. Due to the widespread
illiquidity and market panic that ensued following the collapse of Lehman in
September 2008, essentially all non-government securities performed very poorly.
The Fund's positions in corporate bonds, asset-backed securities and other
securities with credit risk were the main reasons for the negative return for
the fiscal year. Looking forward, given their outlook for the economy and the
financial markets, GPAM expects these securities to post higher returns than
government securities.
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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 Fund's total 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, GPAM has employed leverage through reverse
repurchase agreements, under which the Fund lends securities and receive cash in
return which can be used for additional investments. In November 2008, the Fund
obtained a new financing facility through BNP Paribas, a leading European bank.
GPAM believes that this facility, which they are using to refinance many reverse
repurchase agreements as they come due, 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, AND HOW IS THE FUND
POSITIONED FOR THIS OUTLOOK?
As of the end of May 2009, the U.S. economy has officially been in a recession
since December 2007, or 17 months. That makes this the longest recession since
the Great Depression of the 1930s; the average length of the 12 recessions since
then was 10.4 months. Because of the severity of this recession, as well as the
housing and financial crisis that sparked it, investors tended to price the
worst case into securities over the last year or so. However GPAM is beginning
to see the unwinding of some of that negativity, and it appears that investors
no longer fear a depression, due largely to the aggressive moves by the policy
makers, both fiscal and monetary. GPAM now believes that there is a reasonable
chance of positive growth in GDP (gross domestic product, a measure of the
overall U.S. economy) in the third and fourth quarters of 2009, and we think
further growth is likely in 2010.
Near term, GPAM thinks there could be a correction in the strong rally in both
equities and some fixed income sectors, that began in March 2009, primarily
because prices have moved up so strongly over such a short period of time.
Longer term, over the next six months or a year, GPAM believes the assets held
in the Fund will perform well.
8 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
In anticipation of further recovery in the economy and markets, the Fund
currently has a larger allocation to structured products than six months or a
year ago, most notably in asset-backed securities. As GPAM evaluates investments
for possible inclusion in the Fund, GPAM has the experience to evaluate and
manage many of the less prevalent instruments in these sectors due to its large
presence in the structured securities marketplace. GPAM investments in
asset-backed securities are broadly diversified, such as insurance company
backed settlements, automotive receivables, collateralized loan obligations
(CLOs), and receivables backed by the large containers that are placed on cargo
ships for international trade. GPAM has also added to the non-agency residential
mortgage backed sector. These are the areas that were beaten down the most,
where GPAM has been seeing unusual values that they believe will result in
attractive levels of income and total return. GPAM believes that one of the next
big opportunities will be in the commercial real estate mortgage sector and they
are prepared to take advantage of it. However there is no guarantee that the
perceived intrinsic value of any of these securities will be realized.
Given the Fund's mandate and its ability to invest across many asset classes, it
has been very well suited to take advantage of the opportunities that have
prevailed since the summer of 2007. If you think about the name of this
Fund--Claymore/Guggenheim Strategic Opportunities Fund--the key term is
"opportunities." The Fund was designed to invest across a broad array of sectors
and securities, and to take advantage of the imbalances and dislocations we have
seen in the marketplace over the last year. GPAM continues to believe that a
portfolio that is highly diversified across many asset classes, such as that
represented by the Fund, can be of great value to investors, especially in times
of market turmoil.
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INDEX DEFINITIONS
Indices are unmanaged and it is not possible to invest directly in an index.
The Standard & Poor's 500 Index is a 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.
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.
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.
The Barclays Treasury Composite Index is an unmanaged index of U.S. Treasury
securities.
The Barclays U.S. Corporate High Yield Index is an unmanaged index of below
investment grade bonds issued by U.S. corporations.
Annual Report | May 31, 2009 | 9
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
RISKS AND OTHER CONSIDERATIONS
The views expressed in this report reflect those of the portfolio managers only
through the report period as stated on the cover. These views are subject to
change at any time, based on market and other conditions and should not be
construed as a recommendation of any kind. The material may also include forward
looking statements that involve risk and uncertainty, and there is no guarantee
that any predictions will come to pass. There can be no assurance that the Fund
will achieve its investment objectives. The value of the Fund will fluctuate
with the value of the underlying securities. Historically, closed-end funds
often trade at a discount to their net asset value.
BELOW INVESTMENT-GRADE SECURITIES RISK: The Fund may invest in income securities
rated below investment grade or, if unrated, determined by the Sub-Adviser to be
of comparable credit quality, which are commonly referred to as "high-yield" or
"junk" bonds. Investment in securities of below investment-grade quality
involves substantial risk of loss. Income securities of below investment-grade
quality are predominantly speculative with respect to the issuer's capacity to
pay interest and repay principal when due and therefore involve a greater risk
of default or decline in market value due to adverse economic and
issuer-specific developments.
SENIOR AND SECOND LIEN SECURED LOANS RISK: The Fund's investments in senior
loans and second lien secured floating-rate loans are typically below investment
grade and are considered speculative because of the credit risk of their
issuers. The risks associated with senior loans of below investment-grade
quality are similar to the risks of other lower-grade income securities. Second
lien loans are second in right of payment to senior loans and therefore are
subject to the additional risk that the cash flow of the borrower and any
property securing the loan may be insufficient to meet scheduled payments after
giving effect to the senior-secured obligations of the borrower. Second lien
loans are expected to have greater price volatility and exposure to losses upon
default than senior loans and may be less liquid.
STRUCTURED FINANCE INVESTMENTS RISK: The Fund's structured finance investments
may include residential and commercial mortgage-related and asset-backed
securities issued by governmental entities and private issuers, collateralized
debt obligations and risk-linked securities. These securities entail
considerable risk, including many of the risks described above (e.g., market
risk, credit risk, interest rate risk and prepayment risk).The value of
collateralized debt obligations also may change because of changes in the
market's perception of the underlying collateral of the pool, the
creditworthiness of the servicing agent for or the originator of the pool, or
the financial institution or entity providing credit support for the pool.
Returns on risk-linked securities are dependant 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 direc-tors. 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 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 man-ner.
Furthermore, derivative instruments typically contain provisions giving the
counterparty the
10 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
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, Private Securities
Risk, 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.
Annual Report | May 31, 2009 | 11
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Fund SUMMARY | AS OF MAY 31, 2009 (unaudited)
FUND STATISTICS
--------------------------------------------------------------------------------
Share Price $ 11.53
Common Share Net Asset Value $ 12.42
Premium/Discount to NAV -7.17%
Net Assets Applicable to Common Shares ($000) $ 113,076
--------------------------------------------------------------------------------
TOTAL RETURNS
--------------------------------------------------------------------------------
(INCEPTION 7/27/07) MARKET NAV
--------------------------------------------------------------------------------
One Year -19.51% -18.37%
Since Inception - average annual -15.70% -11.08%
--------------------------------------------------------------------------------
Performance data quoted represents past performance, which is no guarantee of
future results and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.claymore.com/gof. The investment return and principal value of an investment
will fluctuate with changes in the market conditions and other factors so that
an investor's shares, when sold, may be worth more or less than their original
cost.
% OF LONG-TERM
TOP TEN HOLDINGS INVESTMENTS
--------------------------------------------------------------------------------
SPDR Trust, Series 1 4.0%
ProShares Ultra S&P500 2.7%
Powershares QQQ 2.1%
ARES CLO Funds, Ser. 2007-12A, Class B, AA, Aa2,
1.661%, 11/25/20 1.7%
ProShares Ultra Dow30 1.6%
Dunkin Securitization, Ser. 2006-1, Class A2, A, Baa3,
5.779%, 6/20/31 1.5%
Ford Credit Floorplan Master Owner Trust, Ser. 2006-4,
Class A, BBB+, Aa2, 0.594%, 6/15/13 1.4%
Freddie Mac, AAA, Aaa, 6.500%, 6/3/24 1.4%
ProShares Ultra QQQ 1.4%
TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
2.031%, 6/15/16 1.4%
--------------------------------------------------------------------------------
Portfolio composition and holdings are subject to change daily. For more
information, please visit www.claymore.com/gof. The above summaries are provided
for informational purposes only and should not be viewed as recommendations.
Past performance does not guarantee future results.
SHARE PRICE & NAV HISTORY
--------------------------------------------------------------------------------
[LINE CHART]
Share Price NAV
--------------------------------------------------------------------------------
5/31/08 $ 17.52 $ 16.78
17.52 16.92
17.52 17.01
17.52 16.94
17.53 16.98
17.46 17.06
17.41 16.82
17.31 16.62
17.09 16.4
17.05 16.3
17.06 16.57
17.08 16.51
17.1 16.65
17.12 16.32
17.12 16.41
17.04 16.29
16.99 16
17.01 15.75
17.01 15.82
16.88 15.81
16.88 15.4
16.88 15.1
16.83 15.3
16.76 15.27
16.76 15.4
16.77 15.33
16.79 15.44
16.81 15.29
16.85 15.25
16.57 14.8
16.51 14.43
16.46 14.36
16.54 14.52
16.48 14.73
16.38 14.55
16.42 14.45
16.45 14.81
16.48 14.82
16.51 14.75
16.47 15.02
16.46 14.93
16.54 15.2
16.56 15.02
16.52 14.96
16.54 15.33
16.52 15.47
16.51 15.61
16.5 15.61
16.51 15.67
16.55 15.66
16.43 15.74
16.48 15.61
16.3 15.46
16.37 15.51
16.44 15.77
16.39 15.81
16.3 15.82
16.31 15.72
16.3 15.4
16.35 15.48
16.32 15.52
16.35 15.42
16.35 15.14
16.39 15.33
16.35 15.61
16.35 15.31
16.37 15.49
16.48 15.68
16.33 16.13
16.39 15.89
16.28 15.7
16.29 15.93
16.17 15.29
16.12 14.92
15.93 13.96
15.89 13.13
15.66 12.35
15.74 12.5
15.71 13.03
15.57 12.75
15.51 12.96
15.46 12.98
15.42 12.95
15.37 12.5
15.16 10.45
15.19 11.16
15.17 12.19
14.9 12.12
14.84 12.09
14.73 11.27
14.53 10.72
14.26 10.48
14.22 9.3
13.72 10.31
14.02 11.43
14.02 12.85
13.6 11.88
13.74 11.73
13.72 12.08
13.89 12.81
14 12.84
13.98 12.74
13.99 12.8
13.69 12.98
13.5 12.68
13.66 12.43
13.64 12.38
13.74 12.6
13.71 12.43
13.63 12.42
13.8 12.91
13.74 12.63
13.53 12.45
13.58 12.55
13.57 12.5
13.53 12.42
12.89 11.61
12.91 11.49
12.8 11.2
12.49 10.8
12.35 10.19
12.16 9.21
11.89 8.05
12.03 8.11
11.83 8.9
12 9.1
12.1 9.74
12.15 10.15
11.93 9.85
11.98 9.87
11.93 9.75
11.92 9.87
11/30/08 11.88 9.79
11.92 9.66
11.89 9.42
11.95 9.65
11.86 9.33
11.88 9.33
11.9 8.91
11.99 8.91
12.08 9.14
12.09 9.86
12.08 10.3
12.02 10.59
11.96 10.4
11.99 10.43
12.02 10.48
12.04 10.21
12.15 10.23
12.16 10.36
12.21 10.91
12.22 11
12.31 11.26
12.35 10.77
12.33 10.7
12.34 11.02
12.32 11.14
12.14 11.22
12.06 10.88
12.05 10.6
12.07 10.8
11.85 10.87
11.88 10.64
11.7 10.37
11.66 10.37
11.64 10.53
11.71 10.43
11.76 10.69
11.69 10.45
11.64 10.29
11.66 10.61
11.66 10.86
11.56 10.9
11.56 10.74
11.51 11.06
11.56 10.98
11.54 10.81
11.45 10.78
11.51 10.53
11.43 10.45
11.35 10.03
11.31 9.91
11.21 9.74
11.11 9.12
11.04 8.71
11.07 9.25
11.03 9.2
10.97 9.28
10.86 9.1
10.78 8.85
10.71 8.73
10.74 9.1
10.66 8.37
10.6 8.02
10.51 7.5
10.58 8.15
10.49 8.08
10.59 8.41
10.67 8.71
10.68 8.9
10.72 8.89
10.81 8.95
10.81 9.16
10.79 9.05
10.83 9.27
10.84 9.15
10.87 9.26
10.91 9.43
10.94 9.33
10.93 9.01
10.99 9.34
11.03 9.58
11.08 9.85
11.08 9.88
11.07 9.74
11.04 9.67
11.1 9.87
11.16 9.97
11.05 9.71
11.04 9.72
11.11 9.88
11.16 10
11.2 10.2
11.12 9.96
11.16 10.09
11.18 10.08
11.2 10.08
11.27 10.18
11.29 10.17
11.31 10.23
11.32 10.58
11.42 10.62
11.42 10.62
11.48 10.66
11.53 10.61
11.71 10.85
11.88 10.87
12.01 11.35
12.08 11.35
12.16 11.16
12.04 10.74
12.07 11.17
12.12 11.15
12.13 11.29
12.26 11.49
12.38 11.42
12.37 11.16
12.34 11.45
12.34 11.9
12.19 11.69
12.22 11.6
12.42 11.53
12.42 11.53
5/31/09 12.42 11.53
MONTHLY DIVIDENDS PER SHARE
--------------------------------------------------------------------------------
[BAR CHART]
Jun 08 $ 0.15
Jul 0.15
Aug 0.15
Sep 0.15
Oct 0.15
Nov 0.15
Dec 0.15
Jan 09 0.15
Feb 0.15
Mar 0.15
Apr 0.15
May 0.15
PORTFOLIO COMPOSITION (% of Total Investments)
--------------------------------------------------------------------------------
[PIE CHART]
ASSET CLASS
--------------------------------------------------------------------------------
Asset Backed Securities 38.2%
Corporate Bonds 17.1%
Collateralized Mortgage Obligations 15.9%
Exchange-Traded Funds 12.9%
Term Loans 11.9%
U.S. Government and Agency Securities 2.1%
Preferred Stock 1.9%
Options 0.0%*
--------------------------------------------------------------------------------
* Less than 0.1%
CREDIT QUALITY*
--------------------------------------------------------------------------------
[PIE CHART]
AAA (Includes U.S.
Government Obligations) 25.1%
AA 13.8%
A 16.8%
BBB 14.1%
BB 6.6%
B 7.6%
CCC 0.3%
Common Stock/Other 15.7%
--------------------------------------------------------------------------------
*Represents higher of either S&P, Moody's or Fitch as a percentage of long term
investments
12 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Portfolio of INVESTMENTS | MAY 31, 2009
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
-------------------------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 124.6%
CORPORATE BONDS - 21.3%
AIRLINES - 1.7%
$ 1,418,024 America West Airlines LLC, Ser. 011G, A, Ba3
7.100%, 4/2/21 N/A $ 1,104,782
301,819 Delta Air Lines, Inc., Ser. 02G1, BBB+, Ba2
6.718%, 1/2/23 N/A 229,382
843,876 Northwest Airlines Corp., Ser. 992A, A-, NR
7.575%, 3/1/19 N/A 639,759
-------------------------------------------------------------------------------------------------------------------------
1,973,923
-------------------------------------------------------------------------------------------------------------------------
BANKS - 9.5%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.300%, 10/31/49 (a) (b) 7/2/09 @ 100.00 482,740
1,250,000 Barclays Bank PLC, NR, Baa2
6.278%, 12/29/49 (United Kingdom) (a) (c) 12/15/34 @ 100.00 630,200
1,200,000 BNP Paribas, A, Aa3
7.195%, 6/29/49 (France) (a) (b) (c) 6/25/37 @ 100.00 874,585
1,000,000 Credit Agricole SA, A-, Aa3
6.637%, 5/29/49 (France) (a) (b) (c) 5/31/17 @ 100.00 625,740
1,500,000 Farm Credit Bank, Ser. 1, NR, A2
7.561%, 11/29/49 (a) (c) 12/15/13 @100.00 979,545
1,000,000 Fifth Third Bancorp, BBB+, Baa2
8.250%, 3/1/38 (a) N/A 767,420
1,000,000 KeyCorp Capital III, BB+, Baa2
7.750%, 7/15/29 (a) N/A 799,068
1,200,000 Lloyds Banking Group PLC, CCC+, Baa2
6.267%, 11/29/49
(United Kingdom) (a) (b) (c) 11/14/16 @ 100.00 462,000
1,250,000 Mellon Capital IV, Ser. 1, A-, Aa3
6.244%, 6/20/49 (a) (c) 6/20/12 @ 100.00 825,045
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.378%, 1/29/49 (a) (b) (c) 10/15/17 @ 100.00 912,575
700,000 PNC Preferred Funding Trust I, BBB, Baa2
8.700%, 2/19/49 (a) (b) (c) 3/15/13 @ 100.00 518,105
500,000 Rabobank Nederland NV, AA, Aa2
11.000%, 12/29/49
(Netherlands) (b) (c) 6/30/19 @ 100.00 500,000
1,400,000 Royal Bank of Scotland Group PLC, CCC+, Ba3
7.640%, 3/31/49
(United Kingdom) (a) (c) 9/29/17 @ 100.00 526,820
1,250,000 State Street Capital Trust IV, BBB+, A2
2.320%, 6/15/37 (a) (d) 6/15/12 @ 100.00 576,531
1,250,000 US AgBank FCB, A, A2
6.110%, 4/29/49 (a) (b) (c) 7/10/12 @ 100.00 450,000
1,000,000 Wells Fargo Capital XIII, Ser. GMTN, A, Ba3
7.700%, 12/29/49 (a) (c) 3/26/13 @ 100.00 780,000
-------------------------------------------------------------------------------------------------------------------------
10,710,374
-------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES - 0.2%
250,000 R.R. Donnelley & Sons Co., BBB, Baa3
11.250%, 2/1/19 (a) N/A 259,279
-------------------------------------------------------------------------------------------------------------------------
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
-------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 3.3%
Hampton Roads PPV LLC, NR, Aa3 (a) (b)
$ 1,000,000 6.071%, 12/15/41 N/A $ 738,530
1,000,000 6.171%, 6/15/53 N/A 715,250
1,000,000 Schwab Capital Trust I, BBB+, A3
7.500%, 11/15/37 (c) 11/15/17 @ 100.00 881,270
2,000,000 Svensk Exportkredit AB, A, Aa3
6.375%, 10/29/49 (Sweden) (a) (b) 9/27/09 @ 100.00 1,400,000
-------------------------------------------------------------------------------------------------------------------------
3,735,050
-------------------------------------------------------------------------------------------------------------------------
ELECTRIC - 0.6%
1,000,000 Wisconsin Energy Corp., BBB-, Baa1
6.250%, 5/15/67 (a) (c) 5/15/17 @ 100.00 720,000
-------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT AND GAMING - 1.4%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.350%, 10/1/15 (b) N/A 932,470
500,000 Downstream Development Authority of the
Quapaw Tribe of Oklahoma, B-, Caa1
12.000%, 10/15/15 (b) 10/15/11 @ 109.00 270,000
500,000 Indianapolis Downs LLC & Capital Corp., CCC, Caa2
11.000%, 11/1/12 (b) 11/1/10 @ 105.50 365,000
-------------------------------------------------------------------------------------------------------------------------
1,567,470
-------------------------------------------------------------------------------------------------------------------------
INSURANCE - 3.9%
1,000,000 Allstate Corp. (The), BBB, Baa1
6.500%, 5/15/57 (a) (c) 5/15/37 @ 100.00 730,000
1,000,000 AXA SA, BBB+, Baa1
6.463%, 12/14/49 (France) (a) (b) (c) 12/14/18 @ 100.00 601,430
400,000 Blue Coast Ltd., Ser. A, B+, NR
10.840%, 12/8/10 (Cayman Islands) (b) (d) (e) N/A 347,792
700,000 Blue Fin Ltd., BB+, NR
5.557%, 4/10/12 (Cayman Islands) (a) (b) (d) (e) 4/08/10 @ 101.00 592,830
500,000 GlobeCat Ltd., Ser. CAQ, NR, B1
7.192%, 1/2/13 (Cayman Islands) (b) (d) (e) 12/21/11 @ 100.50 468,095
1,000,000 Metlife Capital Trust IV, BBB, Baa1
7.875%, 12/15/37 (a) (b) 12/15/32 @ 100.00 780,000
1,250,000 Progressive Corp. (The), A-, A2
6.700%, 6/15/37 (a) (c) 6/15/17 @ 100.00 837,166
-------------------------------------------------------------------------------------------------------------------------
4,357,313
-------------------------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 0.7%
1,000,000 HRPT Properties Trust, BBB, Baa2
6.650%, 1/15/18 (a) 7/15/17 @ 100.00 798,851
-------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS - 21.3%
(Cost $34,075,168) 24,122,260
-------------------------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES - 47.6%
1,881,442 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A, BBB+, Baa1,
6.150%, 10/15/48 (a) (b) 1,280,867
475,724 321 Henderson Receivables I LLC, Ser. 2008-1A, Class A, AAA, Aaa,
6.190%, 1/15/44 (a) (b) 353,030
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class B, AA, NR,
8.370%, 1/15/46 (a) (b) 319,915
See notes to financial statements.
Annual Report | May 31, 2009 | 13
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES (CONTINUED)
$ 500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR,
9.360%, 1/15/48 (b) $ 344,290
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB, NR,
10.810%, 1/15/50 (b) 378,510
1,899,701 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3,
0.719%, 3/15/19 (d) 1,424,776
1,400,000 American Express Credit Account Master Trust, Ser. 2007-4,
Class C, BBB, Baa2,
0.604%, 12/17/12 (b) (d) 1,261,131
975,993 Applebee's Enterprises LLC, Ser. 2007-1A,
Class A22A, AAA, Aa2,
6.427%, 12/20/37 (b) 542,467
7,500,000 ARES CLO Funds, Ser. 2007-12A,
Class B, AA, Aa2,
1.661%, 11/25/20 (Cayman Islands) (b) (d) (j) 2,464,950
635,902 Armstrong Loan Funding Ltd., Ser. 2008-1A, Class B, AAA, Aaa,
2.028%, 8/1/16 (Cayman Islands) (b) (d) (j) 275,581
277,616 Aspen Funding I Ltd., Ser. 2002-1A, Class A1L, AAA, A2,
1.739%, (Cayman Islands) 7/10/37 (b) (d) 138,808
100,000 Ballantyne Re PLC, Ser. 2006-1A, Class A2A, A, Baa1,
0.630%, 5/2/36 (b) (d) 20,000
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
1.444%, 4/29/19 (Cayman Islands) (a) (b) (d) (j) 1,690,080
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C, A, A2,
1.744%, 4/29/19 (Cayman Islands) (a) (b) (d) (j) 1,544,820
47,590 Blue Falcon, NR, NR,
5.460%, 12/25/16 (b) 47,023
1,982,743 Callidus Debt Partners Fund Ltd., Ser. 6A, Class A1T, AAA, Aaa,
1.360%, 10/23/21 (Cayman Islands) (b) (d) (j) 1,874,009
1,300,000 Capital Auto Receivables Asset Trust, Ser. 2007-1,
Class B, NR, A1,
5.150%, 9/17/12 1,060,549
750,000 CapitalSource Commercial Loan Trust, Ser. 2006-2A,
Class A1B, AAA, Aaa,
0.646%, 9/20/22 (b) (d) (j) 734,528
768,715 CapitalSource Commercial Loan Trust, Ser. 2006-2A,
Class APT, AAA, Aaa,
0.556%, 9/20/22 (b) (d) (j) 489,310
658,007 CLI Funding LLC, Ser. 2006-1A, Class A, A, Baa3,
0.515%, 8/18/21 (b) (d) 287,010
1,286,332 Coronado CDO Ltd., Ser. 1X, Class A1, AAA, Baa2,
1.786%, 9/4/38 (Cayman Islands) (d) 630,303
323,368 Daimler Chrysler Master Owner Trust, Ser. 2006-A,
Class A, BB-, B2,
0.374%, 11/15/11 (d) 249,949
1,960,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1,
Class A2, BBB+, Baa3,
5.261%, 4/25/37 (b) 1,246,393
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
$ 4,622,823 Duke Funding Ltd., Ser. 2003-5A, Class 1W, BBB-, Ba3,
1.536%, 8/7/33
(Cayman Islands) (b) (d) (j) $ 1,366,622
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2, A, Baa3,
5.779%, 6/20/31 (b) 2,176,440
250,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-3,
Class A, BBB+, Aa2,
0.524%, 6/15/11 (d) 245,759
2,500,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-4,
Class A, BBB+, Aa2,
0.594%, 6/15/13 (d) 2,040,786
1,000,000 Ford Credit Floorplan Master Owner Trust, Ser. 2006-4,
Class B, BB, Baa3,
0.894%, 6/15/13 (a) (d) 374,983
1,000,000 Friedbergmilstein Private Capital Fund, Ser. 2004-1A,
Class B2, AA, Aa2,
5.409%, 1/15/19 (Cayman Islands) (b) (j) 908,900
939,930 GE Commercial Loan Trust, Ser. 2006-1,
Class A2, AAA, A3,
1.337%, 4/19/17 (a) (b) (d) (j) 775,856
500,000 GSAA Trust, Ser. 2007-5, Class 1F2A, AAA, B3,
5.788%, 3/25/47 (a) (d) 264,749
400,000 Harley-Davidson Motorcycle Trust, Ser. 2007-2,
Class B, A, A3,
5.230%, 3/15/14 268,438
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3,
Class B, A, Baa3,
6.040%, 8/15/14 664,035
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2,
0.811%, 6/5/12 (b) (d) 1,274,360
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2,
5.144%, 3/20/37 (a) (b) 1,003,100
448,909 Lease Investment Flight Trust, Ser. 1, Class A3, B+, Baa3,
0.774%, 7/15/16 (d) (j) 295,158
71,746 Merritt Funding Trust, Ser. 2005-2A, Class APT, AAA, Aaa,
1.351%, 7/15/15 (b) (d) (j) 69,918
800,000 Mountain View Funding CLO, Ser. 2007-3A,
Class A2, AAA, Aa1,
1.462%, 4/16/21 (Cayman Islands) (b) (d) (j) 387,752
391,848 MRU Student Loan Trust, Ser. 2008-A, Class A1A, AAA, NR,
7.400%, 1/25/41 (b) 237,191
202,567 MRU Student Loan Trust, Ser. 2008-A, Class B, AA, NR,
6.592%, 1/25/41 (b) (d) 97,011
202,567 MRU Student Loan Trust, Ser. 2008-A, Class C, A, NR,
8.592%, 1/25/41 (b) (d) 101,758
1,269,615 Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1,
7.150%, 10/15/13 (Bermuda) (b) (j) 1,231,184
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
1.081%, 11/24/20 (Cayman Islands) (b) (d) (j) 828,950
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2,
7.250%, 6/25/38 (b) (j) 390,846
See notes to financial statements.
14 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES (CONTINUED)
$ 216,829 Phoenix Funding Ltd., Ser. 2001-1, AA, Aa2,
1.581%, 4/15/13 (d) (j) $ 197,399
1,500,000 Rosedale CLO Ltd., Ser. I-A, Class A1J, AAA, Aa1,
1.509%, 7/24/21 (Cayman Islands) (b) (d) (j) 501,075
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR,
15.661%, 11/25/12 (Cayman Islands) (a) (b) (d) 1,615,260
1,872,434 Sierra Receivables Funding Co., Ser. 2006-1A,
Class A1, BBB+, Baa3,
5.840%, 5/20/18 (b) 1,497,891
301,527 Special Asset Facility, Ser. 2009-A, Class A, NR, NR,
9.000%, 2/20/25 (a) (b) 287,482
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, A, Baa3,
2.477%, 9/22/16 (Cayman Islands) (a) (b) (d) (j) 1,411,960
400,000 Start CLO Ltd., Ser. 2006-3A, Class C, A-, A1,
1.984%, 6/7/11 (Cayman Islands) (b) (d) (j) 358,892
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1,
3.034%, 6/7/11 (Cayman Islands) (b) (d) (j) 465,971
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1,
2.776%, 12/26/11 (Cayman Islands) (a) (b) (d) (j) 408,785
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1,
4.826%, 12/26/11 (Cayman Islands) (a) (b) (d) (j) 861,390
946,975 Structured Asset Securities Corp., Ser. 2007-BNC1,
Class A2, AAA, NR,
1.409%, 10/25/37 (d) (j) 767,920
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2,
Class C, BBB-, Ba1,
2.344%, 10/15/12 (a) (d) 280,000
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
2.031%, 6/15/16 (Cayman Islands) (b) (d) (j) 1,922,800
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR,
3.081%, 6/15/16 (Cayman Islands) (b) (d) (j) 1,539,640
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR,
5.793%, 9/1/17 (Cayman Islands) (b) (j) 888,260
1,090,554 TCW Select Loan Fund Ltd., Inc., Ser. 1A, Class A1, AAA, Aaa,
1.599%, 10/10/13 (Cayman Islands) (b) (d) (j) 1,084,730
2,430,000 Triton Container Finance LLC, Ser. 2006-1A, BBB+, Baa2,
0.479%, 11/26/21 (b) (d) 1,346,099
4,000,000 Telos CLO Ltd., Ser. 2006-1A, Class A2, AAA, Aaa,
1.539%, 10/11/21 (Cayman Islands) (b) (d) (j) 1,289,160
2,500,000 Telos CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
1.629%, 10/11/21 (Cayman Islands) (b) (d) (j) 611,725
1,300,000 Trafigura Securitisation Finance PLC, Ser. 2007-1, Class A, AAA, Aaa,
0.594%, 12/15/12 (Ireland) (d)(j) 926,412
250,000 Wachovia Auto Loan Owner Trust, Ser. 2006-2A, Class D, BBB+, Ba3,
5.540%, 12/20/12 (b) 183,486
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1, AAA,
Aa3, 1.073%, 11/21/40 (Cayman Islands) (b) (d) (j) 1,614,660
------------------------------------------------------------------------------------------------------------
TOTAL ASSET BACKED SECURITIES - 47.6%
(Cost $61,360,390) 53,723,092
------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 19.7%
$ 500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2,
Class G, A-, NR,
5.334%, 3/11/41 (b) (d) $ 241,289
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5,
Class B, AA+, Aa2,
5.058%, 11/10/41 (a) (d) 515,379
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5,
Class AJ, AAA, Aaa,
5.149%, 10/10/45 (a) (d) 306,034
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10,
Class AJ, AAA, NR,
5.463%, 12/11/40 (d) 829,777
580,508 BNC Mortgage Loan Trust, Ser. 2007-4, Class A3A, AAA, NR,
0.559%, 11/25/37 (d) (j) 533,342
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2, Class E, A-, A3,
5.023%, 10/15/41 (b) (d) 201,006
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser. 2005-CD1, Class AJ, AAA, Aaa,
5.225%, 7/15/44 (a) (d) 1,016,082
1,000,000 Commercial Mortgage Pass Through Certificates,
Ser. 2006-CN2A, Class F, A, NR,
5.570%, 2/5/19 (a) (b) (d) 574,881
3,245,060 Countrywide Home Equity Loan Trust, Ser. 2004-S,
Class 1A, A, Ba3,
0.584%, 2/15/30 (d) 1,475,724
1,721,433 Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8,
Class 4A1, AAA, B2,
5.545%, 12/20/35 (d) 1,052,751
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3,
Class AM, AAA, Aaa,
5.826%, 6/15/38 (a) (d) 741,866
103,983 Credit Suisse Mortgage Capital Certificates, Ser. 2006-TF2A,
Class SHDA, A-, A1,
0.944%, 7/15/19 (b) (d) 70,956
1,425,000 CS First Boston Mortgage Securities Corp., Ser. 2005-TFLA,
Class K, AAA, Aaa,
1.644%, 2/15/20 (a) (b) (d) 1,124,149
204,518 Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Ser. 2006-AB4,
Class A1A, BB, Baa3,
6.005%, 10/25/36 (d) 115,564
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3,
Class AJ, AAA, Aaa,
4.859%, 8/10/42 (a) (d) 1,070,295
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5,
Class AJ, AAA, Aaa,
5.301%, 4/10/37 (a) (d) 555,014
600,000 GS Mortgage Securities Corp. II, Ser. 2001-GL3A, Class E, NR, A3,
6.852%, 8/5/18 (b) (d) 429,472
1,069,675 Impac Secured Assets CMN Owner Trust, Ser. 2007-3,
Class A1A, AAA, Caa1,
0.419%, 9/25/37 (d) 623,930
See notes to financial statements.
Annual Report | May 31, 2009 | 15
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
$ 1,852,858 Indymac Index Mortgage Loan Trust, Ser. 2006-AR9,
Class 3A1, AAA, B3,
5.837%, 6/25/36 (d) $ 1,272,935
700,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2002-C1, Class E, A-, A2,
6.135%, 7/12/37 (b) 493,552
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2005-LDP3, Class AJ, AAA, Aaa,
4.941%, 8/15/42 (a) (d) 505,569
1,300,000 JP Morgan Chase Commercial Mortgage Securities Corp.,
Ser. 2007-LD11, Class AM, AAA, Aaa,
5.819%, 6/15/49 (d) 687,453
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR,
5.073%, 8/13/42 (a) (d) 1,023,557
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, AAA, NR,
5.370%, 12/15/43 (a) 608,123
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, AAA, NR,
5.811%, 8/12/41 (a) (d) 446,804
482,904 New Century Home Equity Loan Trust, Ser. 2004-A,
Class AII9, BBB+, A2,
5.469%, 8/25/34 (d) 269,199
1,088,000 TBW Mortgage Backed Pass Through Certificates, Ser. 2006-6,
Class A3, AAA, Caa2,
5.750%, 1/25/37 (d) 573,168
2,500,000 TBW Mortgage Backed Pass Through Certificates, Ser. 2006-6,
Class A5B, BB, Caa3,
6.040%, 1/25/37 (d) 920,521
2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4,
Class AJ, AAA, NR,
6.096%, 8/15/39 (a) (d) 1,096,986
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2,
5.884%, 10/15/36 (a) (b) 519,525
100,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2,
6.208%, 10/15/36 (b) 64,394
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX,
Class L, BB+, Ba1,
1.894%, 1/15/21 (b) (d) 728,493
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20,
Class AJ, AAA, Aaa,
5.139%, 7/15/42 (a) (d) 1,120,604
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21,
Class AJ, AAA, Aaa,
5.209%, 10/15/44 (a) (d) 509,092
------------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 19.7%
(Cost $35,102,292) 22,317,486
------------------------------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 2.4%
BANKS - 0.8%
50,000 Santander Finance Preferred SA Unipersonal, 6.500% (Spain) 870,000
------------------------------------------------------------------------------------------------------------
NUMBER
OF SHARES DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 0.7%
50,000 Deutsche Bank Contingent Capital Trust II, 6.550% (a) $ 849,500
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.950% (f) 2,632
------------------------------------------------------------------------------------------------------------
852,132
------------------------------------------------------------------------------------------------------------
INSURANCE - 0.3%
20,000 Aegon NV, 6.375% (Netherlands) (a) 288,000
3,800 ING Groep NV, 7.050% (Netherlands) 57,684
------------------------------------------------------------------------------------------------------------
345,684
------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 0.6%
1,000 Centaur Funding Corp., 9.080% (Cayman Islands) (b) 666,250
------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS - 2.4%
(Cost $4,817,313) 2,734,066
------------------------------------------------------------------------------------------------------------
EXCHANGE-TRADED FUNDS - 16.1%
17,200 DIAMONDS Trust,Series I (a) (g) 1,467,676
85,000 Powershares QQQ (a) (g) 3,014,100
78,700 ProShares Ultra Dow30 (a) (g) 2,316,141
53,700 ProShares Ultra QQQ (a) (g) 1,942,329
145,100 ProShares Ultra S&P500 (a) (g) 3,832,091
61,200 SPDR Trust, Series 1 (a) (g) 5,655,492
------------------------------------------------------------------------------------------------------------
TOTAL EXCHANGE-TRADED FUNDS - 16.1%
(Cost $19,546,609) 18,227,829
------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 2.7%
Freddie Mac, AAA, Aaa,
$ 1,000,000 6.000%, 6/15/17 (a) 1,001,964
2,000,000 6.500%, 6/3/24 (d) (j) 2,000,000
------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 2.7%
(Cost $2,995,096) 3,001,964
------------------------------------------------------------------------------------------------------------
TERM LOANS (k) - 14.8%
AUTOMOBILE - 1.0%
1,325,336 Harbor Freight Tools, B+, B1,
9.750%, 7/12/13 (d) 1,146,416
------------------------------------------------------------------------------------------------------------
COMMUNICATIONS/MEDIA - 0.3%
500,000 Univision Acquisition, Inc., B-, B2,
2.678%, 9/30/14 (d) 347,187
------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS - 0.5%
967,830 Navisite, Inc., B-, B3,
11.150%, 9/19/14 (d) 614,572
------------------------------------------------------------------------------------------------------------
DIVERSIFIED/CONGLOMERATE SERVICE - 1.3%
1,477,500 First Data Corp., BB-, Ba3,
3.189%, 9/24/14 (d) 1,099,725
491,250 Terramark Worldwide, Inc., B, NR,
4.970%, 7/30/14 (d) 407,738
------------------------------------------------------------------------------------------------------------
1,507,463
------------------------------------------------------------------------------------------------------------
See notes to financial statements.
16 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
TERM LOANS (CONTINUED)
ELECTRONICS - 3.3%
$ 986,014 Caritor, Inc., B+, B2,
2.680%, 6/4/13 (d) $ 680,350
467,744 Clientlogic Corp., B+, B3,
6.424%, 1/30/14 (d) 332,098
1,225,740 Freescale Semiconductor, Inc., BB, Ba1,
2.259%, 11/29/13 (d) 770,990
1,306,008 GXS Corp., B+, Ba3,
9.250%, 10/18/14 (d) 1,194,997
890,395 Network Solutions LLC, B, B1,
3.126%, 9/26/14 (d) 750,158
------------------------------------------------------------------------------------------------------------
3,728,593
------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGES - 1.1%
90,245 OSI Restaurant Partners, Revolver, B+, B3,
1.140%, 8/29/14 (d) 68,060
1,047,767 OSI Restaurant Partners, B+, B3,
2.750%, 6/14/14 (d) 790,195
500,000 Panda Restaurant, NR, NR,
6.600%, 8/23/17 (d)(j) 325,085
------------------------------------------------------------------------------------------------------------
1,183,340
------------------------------------------------------------------------------------------------------------
HEALTHCARE, EDUCATION & CHILDCARE - 2.3%
842,218 Aurora Diagnostics LLC, B-, B3,
5.027%, 12/10/12 (d) 757,996
853,434 Embanet, B, B2,
4.142%, 6/28/12 (d) 661,411
1,481,250 PRA International, BB-, B1,
4.570%, 11/16/14 (d) 1,199,812
------------------------------------------------------------------------------------------------------------
2,619,219
------------------------------------------------------------------------------------------------------------
HOME & OFFICE FURNISHINGS - 0.4%
692,547 Centaur LLC, CCC+, B2,
9.250%, 11/9/14 (d) 462,275
------------------------------------------------------------------------------------------------------------
LEISURE - 0.9%
1,448,876 Bushnell Performance Optics, BB-, Ba3,
4.970%, 8/24/13 (d) 1,035,946
------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 0.7%
982,500 Advanstar Communications, B+, B1,
3.470%, 9/20/14 (d) 533,006
718,912 Idearc, Inc., BBB-, Ba2,
0.000%, 11/17/14 (d) (f) 284,272
------------------------------------------------------------------------------------------------------------
817,278
------------------------------------------------------------------------------------------------------------
RETAIL STORES - 2.6%
1,231,250 Deb Shops, Inc., B-, B3,
5.094%, 4/23/14 (d) 270,875
991,523 Guitar Center, B-, B2,
3.941%, 10/9/13 (d) 699,024
892,500 HH Gregg Appliances, Inc., B+, B2,
2.444%, 9/12/14 (d) 731,850
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------------------------------------------------------------------------------------------------------------
$ 982,500 Mattress Firm, B, Ba3,
2.690%, 10/23/14 (d) $ 307,031
1,000,000 QVC, Inc., NR, NR,
1.322%, 3/3/11 (d) 875,000
------------------------------------------------------------------------------------------------------------
2,883,780
------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.4%
992,904 Carey International, Inc., B, B1,
7.500%, 10/29/14 (d) 397,162
------------------------------------------------------------------------------------------------------------
TOTAL TERM LOANS - 14.8%
(Cost $23,335,644) 16,743,231
------------------------------------------------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS - 124.6%
(Cost $181,232,512) 140,869,928
------------------------------------------------------------------------------------------------------------
EXPIRATION EXERCISE
CONTRACTS OPTIONS PURCHASED DATE PRICE VALUE
------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 0.0%
34 CBOE S&P 500 Volatility Index (g) (h) (i)
(Cost $19,040) June 2009 25.00 19,666
------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS - 124.6%
(Cost $181,251,552) 140,889,594
------------------------------------------------------------------------------------------------------------------------
Other Assets in excess of Liabilities - 3.9% 4,382,227
Total Options Written - (1.0%) (1,111,505)
Borrowings - (19.6%) (22,127,551)
Reverse Repurchase Agreements - (7.9%) (8,957,250)
------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $ 113,075,515
========================================================================================================================
AB - Stock Company
CBO - Collateralized Bond Obligation
CDO - Collateralized Debt Obligation
CLO - Collateralized Loan Obligation
FCB - Farmers Credit Bureau
LLC - Limited Liability Company
Ltd. - Limited
N/A - Not Available
NV - Publicly Traded Company
PLC - Public Limited Company
SA - Corporation
See notes to financial statements.
Annual Report | May 31, 2009 | 17
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS continued
(a) All or a portion of this security has been physically segregated in
connection with swap agreements, line of credit, options and reverse
repurchase agreements. As of May 31, 2009, the total amount segregated was
$62,988,862.
(b) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933.These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At May 31, 2009,
these securities amounted to $61,182,985 which represents 54.1% 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. Rate shown is in effect at May 31, 2009.
(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 dam-ages. 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.
(i) Represents 100 shares per contract.
(j) Security is valued in accordance with Fair Valuation procedures
established in good faith by the Board of Trustees and is based, in part
on significant unobservable inputs. The total market value of such
securities is $33,037,670 which represents 29.2% of net assets applicable
to common shares.
(k) Term loans held by the Fund have a variable interest rate feature which is
periodically adjusted based on an underlying interest rate benchmark. In
addition, term loans may include mandatory and/or optional prepayment
terms. As a result, the actual maturity dates of the loans may be
different than the amounts disclosed in the portfolio of investments.
Term loans may be considered restricted in that the Fund may be
contractually obligated to receive approval from the Agent Bank and/or
Borrower prior to the sale or disposition of loan.
Ratings (unaudited) shown are per Standard & Poor's and Moody's. Securities
classified as NR are not rated.
EXPIRATION EXERCISE
CONTRACTS OPTIONS WRITTEN (h) DATE PRICE VALUE
--------------------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN - (1.0%)
34 CBOE S&P 500 Volatility Index (i) June 2009 $ 30.00 $ 8,506
172 DIAMONDS Trust, Series I (i) June 2009 84.00 47,300
850 Powershares QQQ (i) June 2009 34.00 153,000
787 ProShares Ultra Dow30 (i) June 2009 29.00 106,245
537 ProShares Ultra QQQ (i) June 2009 33.00 206,745
1,451 ProShares Ultra S&P500 (i) June 2009 25.00 282,945
1,100 S&P 500 Index June 2009 905.00 33,685
3,100 S&P 500 Index June 2009 905.00 77,201
612 SPDR Trust, Series 1 (i) June 2009 91.00 194,310
--------------------------------------------------------------------------------------------------------------------
TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $777,848) 1,109,937
--------------------------------------------------------------------------------------------------------------------
PUT OPTIONS WRITTEN
34 CBOE S&P 500 Volatility Index (g) (i) June 2009 25.00 1,568
(Premiums received $1,530)
--------------------------------------------------------------------------------------------------------------------
TOTAL VALUE OF OPTIONS WRITTEN - (1.0%)
(Premiums received $779,378) $ 1,111,505
====================================================================================================================
See notes to financial statements.
18 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of ASSETS AND LIABILITIES | MAY 31, 2009
ASSETS
Investments in securities, at value (cost $181,251,552) $ 140,889,594
Investments sold receivable 4,249,691
Unrealized appreciation on swaps 2,003,038
Restricted Cash 1,090,000
Cash 820,911
Interest receivable 1,230,759
Dividends receivable 12,428
Other assets 15,904
--------------------------------------------------------------------------------------------------------------------------
Total assets 150,312,325
--------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Borrowings 22,127,551
Reverse repurchase agreements 8,957,250
Payable for securities purchased 2,885,624
Unrealized depreciation on swaps 1,900,174
Options written at value (premiums received of $779,378) 1,111,505
Advisory fee payable 119,238
Interest due on borrowings 12,400
Administration fee payable 3,279
Accrued expenses and other liabilities 119,789
--------------------------------------------------------------------------------------------------------------------------
Total liabilities 37,236,810
--------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 113,075,515
==========================================================================================================================
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 165,702,168
Accumulated net realized loss on investments, foreign currency transactions, options, futures
and swaps (13,094,380)
Accumulated net unrealized depreciation on investments, options, unfunded commitments and swaps (40,591,221)
Accumulated undistributed net investment income 967,896
--------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 113,075,515
==========================================================================================================================
NET ASSET VALUE (based on 9,105,240 common shares outstanding) $ 12.42
==========================================================================================================================
See notes to financial statements.
Annual Report | May 31, 2009 | 19
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of OPERATIONS | FOR THE YEAR ENDED MAY 31,2009
INVESTMENT INCOME
Dividends $ 606,819
Interest 13,065,667
---------------------------------------------------------------------------------------------------------------------------
Total investment income $ 13,672,486
---------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory fee 1,690,591
Professional fees 291,517
Fund accounting fee 142,020
Line of credit fee 104,729
Trustees' fees and expenses 69,354
Custodian fee 59,354
Printing expense 57,855
Administration fee 45,980
NYSE listing fee 33,611
Transfer agent fee 19,833
Insurance 15,996
Miscellaneous 13,897
Interest expense 1,459,730
---------------------------------------------------------------------------------------------------------------------------
Total expenses 4,004,467
---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 9,668,019
---------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments (16,777,266)
Foreign currency transactions (1,395)
Futures (5,382)
Options 5,856,322
Swaps 1,284,862
Net change in unrealized appreciation (depreciation) on:
Investments (29,485,621)
Options (905,920)
Swaps 735,950
Unfunded commitments 23,362
---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS, OPTIONS, FOREIGN CURRENCY
TRANSACTIONS, UNFUNDED COMMITMENTS, FUTURES AND SWAP TRANSACTIONS (39,275,088)
---------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (29,607,069)
===========================================================================================================================
See notes to financial statements.
20 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of CHANGES IN NET ASSETS |
FOR THE PERIOD
FOR THE JULY 27, 2007*
YEAR ENDED THROUGH
MAY 31, 2009 MAY 31, 2008
--------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 9,668,019 $ 7,221,482
Net realized gain (loss) on investments, options, foreign currency (9,642,859) 1,883,305
transactions, futures and swaps
Net change in unrealized depreciation on investments, options, unfunded (29,632,229) (10,958,992)
commitments and swaps
--------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from operations (29,607,069) (1,854,205)
--------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (12,332,718) (8,923,713)
Return of capital (4,493,766) (3,259,098)
--------------------------------------------------------------------------------------------------------------------------
(16,826,484) (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 (46,433,553) 159,408,984
NET ASSETS
Beginning of period 159,509,068 100,084
--------------------------------------------------------------------------------------------------------------------------
End of period (including accumulated undistributed net investment income
of $967,896 and $218,879, respectively) $ 113,075,515 $ 159,509,068
==========================================================================================================================
* Commencement of investment operations.
See notes to financial statements.
Annual Report | May 31, 2009 | 21
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of CASH FLOWS | FOR THE YEAR ENDED MAY 31, 2009
CASH FLOWS FROM OPERATING ACTIVITIES:
Net decrease in net assets resulting from operations $ (29,607,069)
---------------------------------------------------------------------------------------------------------
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 29,485,621
Net unrealized depreciation on options 905,920
Net unrealized appreciation on swaps (735,950)
Net unrealized appreciation on unfunded commitments (23,362)
Net accretion of bond discount and amortization of bond premium (1,188,357)
Net realized gains on options, futures and foreign currency transactions (5,849,545)
Net realized loss on investments 16,777,266
Purchase of long-term investments (including options exercised) (97,080,590)
Cost of written options assigned and closed (7,079,456)
Proceeds from sale of long-term investments 115,140,469
Net sales of short-term investments 30,294,847
Decrease in dividends receivable 13,518
Decrease in interest receivable 412,116
Increase in receivable for investments sold (1,633,791)
Decrease in other assets 531,508
Increase in payable for investments purchased 911,561
Decrease in due to custodian (23,536)
Decrease in interest due on borrowings (285,677)
Premiums received on call options written 12,826,900
Decrease in advisory fee payable (78,974)
Decrease in administration fee payable (1,956)
Decrease in accrued expenses and other liabilities (42,630)
---------------------------------------------------------------------------------------------------------
Net Cash Provided by Operating Activities 63,668,833
---------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Dividends paid to common shareholders (16,826,484)
Decrease in reverse repurchase agreements (67,058,989)
Increase in borrowings 22,127,551
---------------------------------------------------------------------------------------------------------
Net Cash Used in Financing Activities (61,757,922)
---------------------------------------------------------------------------------------------------------
Net increase in cash 1,910,911
CASH AT BEGINNING OF PERIOD -
---------------------------------------------------------------------------------------------------------
CASH AT END OF PERIOD* $ 1,910,911
=========================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: CASH PAID DURING THE PERIOD FOR
INTEREST $ 1,447,330
=========================================================================================================
* A portion of the ending cash balance is restricted.
See notes to financial statements.
22 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Financial HIGHLIGHTS |
FOR THE PERIOD
FOR THE JULY 27, 2007*
PER SHARE OPERATING PERFORMANCE YEAR ENDED THROUGH
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD MAY 31, 2009 MAY 31, 2008
----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.52 $ 19.10(b)
----------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a) 1.06 0.79
Net realized and unrealized gain (loss) on investments, options, futures, swaps
and unfunded commitments (4.31) (0.99)
----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations (3.25) (0.20)
----------------------------------------------------------------------------------------------------------------------------------
COMMON SHARE OFFERING EXPENSES CHARGED TO PAID-IN-CAPITAL - (0.04)
----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (1.36) (0.98)
Return of capital (0.49) (0.36)
----------------------------------------------------------------------------------------------------------------------------------
Total distributions (1.85) (1.34)
----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.42 $ 17.52
==================================================================================================================================
MARKET VALUE, END OF PERIOD $ 11.53 $ 16.78
==================================================================================================================================
TOTAL INVESTMENT RETURN (c)
Net asset value -18.37% -1.40%
Market value -19.51% -9.41%
RATIOS AND SUPPLEMENTAL DATA
Net assets, applicable to common shareholders, end of period (thousands) $ 113,076 $ 159,509
Ratios to Average Net Assets applicable to Common Shares:
Total expenses, excluding interest expense 2.06%(g) 1.72%(d)(g)
Total expenses, including interest expense 3.25%(g) 3.36%(d)(g)
Net investment income, including interest expense 7.84% 5.08%(d)
Ratios to Average Managed Assets: (e)
Total expenses, excluding interest expense 1.51%(g) 1.24%(d)(g)
Total expenses, including interest expense 2.37%(g) 2.43%(d)(g)
Net investment income, including interest expense 5.72% 3.67%(d)
Portfolio turnover (h) 58% 210%
Senior Indebtedness
Total Borrowings outstanding (in thousands) $ 31,085 $ 76,016
Asset coverage per $1,000 of indebtedness (f) $ 4,638 $ 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 expenses
incurred indirectly by the Fund as a result of its investment in shares of
other investment companies. If these fees were included in the expense
ratio, the net impact to the expense ratios would be 0.08% and 0.06% for
the year ended May 31, 2009 and 0.04% and 0.03% for the period ended May
31, 2008.
(h) Portfolio turnover is not annualized for periods less than a year.
See notes to financial statements.
Annual Report | May 31, 2009 | 23
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Notes to FINANCIAL STATEMENTS | MAY 31,2009
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 asset-backed securities, collateralized mortgage
obligations, and term loans) are valued at the last available bid price. If bids
are not available, debt securities are estimated using valuation models that
incorporate market data that may include assumptions relating to current yields,
timing of cash flows, dealer quotes, prepayment risk, value of underlying
collateral, general market conditions, liquidity and prices of other debt
securities with comparable coupon rates, maturities/duration, and credit
quality. 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. When market price quotes are not
readily available, the independent pricing service or in the absence of a
pricing service for a particular investment or derivative instrument, the Board
of Trustees of the Fund, or its designee, which may include Guggenheim Partners
Asset Managers, Inc. (the "Sub-Advisor), may establish fair value using a wide
variety of market data including yields or prices of investments of comparable
quality, type of issue, coupon, maturity, rating, indications of value from
security dealers, evaluations of anticipated cash flows or collateral, spread
over treasuries, and other information and analysis. The Sub-Advisor also uses
third party service providers to model certain securities using cash flow models
to represent a fair market value. 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"). The Fund adopted SFAS 157 effective June 1, 2008.
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 May 31, 2009 were
as follows:
DESCRIPTION OPTIONS AND
(VALUES IN $000S) SECURITIES OTHER DERIVATIVES TOTAL
--------------------------------------------------------------------------------
ASSETS:
Level 1 $ 20,962 $ - $ 20,962
Level 2 86,870 2,023 88,893
Level 3 33,038 - 33,038
--------------------------------------------------------------------------------
Total $ 140,870 $ 2,023 $ 142,893
--------------------------------------------------------------------------------
LIABILITIES:
Level 1 - $ 1,112 $ 1,112
Level 2 - 1,900 1,900
Level 3 - - -
--------------------------------------------------------------------------------
Total - $ 3,012 $ 3,012
--------------------------------------------------------------------------------
For fair valuations using unobservable inputs, FAS 157 requires a reconciliation
of the beginning to ending balances for reported market values that presents
changes attributable to total realized and unrealized gains or losses, purchases
and sales, and transfers in/out of the Level 3 category during the period. The
following table presents the reconciliation of the Fund's investments measured
at fair value using significant unobservable inputs (Level 3 valuations) for the
year ended May 31, 2009. In addition to the observable inputs referenced
earlier, the unobservable inputs used to value such securities include
evaluations of anticipated cash flows, discount rates, default rates and other
measures of illiquidity.
LEVEL 3 HOLDINGS SECURITIES OTHER DERIVATIVES TOTAL
--------------------------------------------------------------------------------
Beginning Balance at
5/31/08 $ - $ - $ -
Total Realized
Gain/Loss - - -
Change in Unrealized
Gain/Loss 1,204 - 1,204
Net Purchases and Sales 5,294 - 5,294
Net Transfers In/Out 26,540 - 26,540
--------------------------------------------------------------------------------
Ending Balance at
5/31/09 $33,038 $ - $ 33,038
================================================================================
Level 3 securities are comprised of certain asset-backed securities
($30,179,243), collateralized mortgage obligations ($2,533,342) and term loans
($325,085).These securities were valued using valuation models prepared by the
Sub-Advisor using third-party service provider analytics that incorporate
various observable and unobservable valuation inputs including estimates for
current yields, maturity/duration, prepayment speed, and broker quotes for
comparable securities along with other assumptions relating to credit quality,
collateral value, complexity of the security structure, general market
conditions and liquidity.
(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
24 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS continued
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.
Effective June 1, 2008, the Fund adopted FASB Staff Position No. FAS 133-1 and
FIN 45-4, "Disclosures about Credit Derivatives and Certain Guarantees: An
Amendment of FASB Statement No. 133 and FASB Interpretation No. 45" (the
"Position). The Position amends FASB Statement No. 133 ("FAS 133"), Accounting
for Derivative Instruments and Hedging Activities, and also amends FASB
Interpretation No. 45 ("FIN 45"), Guarantor's Accounting and Disclosure
Requirements for Guarantees, Including Indirect Guarantees of Indebtedness of
Others. The amendments to FAS 133 include required disclosure for (i) nature and
terms of the credit derivative, reasons for entering in the credit derivative,
the events or circumstances that would require the seller to perform under the
credit derivative, and the current status of the payment/performance risk of the
credit derivative, (ii) the maximum potential amount of the future payments
(undiscounted) the seller could be required to make under the credit derivative,
(iii) the fair value of the credit derivative, and (iv) the nature of any
recourse provisions and assets held either as collateral or by third parties.
The amendments to FIN 45 require additional disclosures about the current status
of the payment/performance risk of a guarantee. All changes to accounting
policies have been made in accordance with the Position and incorporated for the
current period as part of the Notes to the Financial Statements and disclosures
within Footnote 5, Investments in Securities and Derivatives.
Realized gain (loss) upon termination of swap contracts is recorded on the
Statement of Operations. Fluctuations in the value of swap contracts are
recorded as a component of net change in unrealized appreciation (depreciation)
of swap contracts. Net periodic payments received by the Fund are included as
part of realized gains (losses) and, in the case of accruals for periodic
payments, are included as part of unrealized appreciation (depreciation) on the
Statement of Operations.
(D) COVERED CALL OPTIONS
The Fund will pursue its primary objective by employing an option strategy of
writing (selling) covered call options on equity securities and indices. 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. As of May 31, 2009 there
were no futures contracts outstanding.
(F) CURRENCY TRANSLATION
Assets and liabilities denominated in foreign currencies are translated into
U.S. dollars at the mean of the bid and asked price of respective exchange rates
on the last day of the period. Purchases and sales of investments denominated in
foreign currencies are translated at the exchange rate on the date of the
transaction.
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Foreign exchange realized gain or loss resulting from holding of a foreign
currency, expiration of a currency exchange contract, difference in exchange
rates between the trade date and settlement date of an investment purchased or
sold, and the difference between dividends or interest actually received
compared to the amount shown in a Fund's accounting records on the date of
receipt is shown as net realized gains or losses on foreign currency
transactions on the Fund's Statement of Operations.
Foreign exchange unrealized gain or loss on assets and liabilities, other than
investments, is shown as unrealized appreciation (depreciation) on foreign
currency translation in the Fund's Statement of Operations.
(G) 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.
Annual Report | May 31, 2009 | 25
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS continued
Distributions to shareholders are recorded on the ex-dividend date. The amount
and timing of distributions are determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles.
Note 3 - INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENT AND OTHER
AGREEMENTS:
Pursuant to an Investment Advisory Agreement (the "Agreement") between the Fund
and Claymore Advisors, LLC ("the Adviser"), the Adviser will furnish offices,
necessary facilities and equipment, provide administrative services, oversee the
activities of Guggenheim Partners Asset Management, Inc. (the "Sub-Advisor"),
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 daily managed assets (net assets applicable to common shareholders plus
any assets attributable to financial leverage).
Pursuant to a Sub-Advisory Agreement (the "Sub-Advisory Agreement") between the
Fund, the Adviser and the Sub-Adviser, the Sub-Adviser under the supervision of
the Fund's Board of Trustees and the Adviser, provides a continuous investment
program for the Fund's portfolio; provides investment research, makes and
executes recommendations for the purchase and sale of securities; and provides
certain facilities and personnel, including certain officers required for its
administrative management and pays the compensation of all officers and trustees
of the Fund who are its affiliates. As compensation for its services, the
Adviser pays the Sub-Adviser a fee, payable monthly, in an annual amount equal
to 0.50% of the Fund's average daily managed assets.
Under a separate Fund Administration agreement, the Adviser provides fund
administration services to the Fund. As compensation for services performed
under the Administration Agreement, the Advisor receives a fund administration
fee payable monthly at the annual rate set forth below as a percentage of the
average daily managed assets of the Fund.
MANAGED ASSETS RATE
--------------------------------------------------------------------------------
First $200,000,000 0.0275%
Next $300,000,000 0.0200%
Next $500,000,000 0.0150%
Over $1,000,000,000 0.0100%
For the year ended May 31, 2009 the Fund recognized expenses of approximately
$45,980 for these services.
The Bank of New York Mellon ("BNY") acts as the Fund's custodian, accounting
agent, and transfer agent. As custodian, BNY is responsible for the custody of
the Fund's assets. As accounting agent BNY is responsible for maintaining the
books and records of the Fund's securities and cash. As transfer agent, BNY is
responsible for performing transfer agency services for the Fund.
Certain officers and trustees of the Fund are also officers and directors of the
Adviser or the Sub-Adviser. The Fund does not compensate its officers or
trustees who are officers of the aforementioned firms.
Note 4 - FEDERAL INCOME TAXES:
The Fund intends to comply with the requirements of Subchapter M of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment companies.
Accordingly, no provision for U.S. federal income taxes is required. In
addition, by distributing substantially all of its ordinary income and long-term
capital gains, if any, during each calendar year, the Fund intends not to be
subject to U.S. federal excise tax.
At May 31, 2009 the following reclassifications were made to the capital
accounts of the Fund to reflect permanent book/tax differences and income and
gains available for distributions under income tax regulations, which are
primarily due to the differences between book and tax treatment of investments
in real estate trusts and swaps. Net investment income, net realized gains and
net assets were not affected by these changes.
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME/(LOSS) GAIN/(LOSS) PAID IN CAPITAL
--------------------------------------------------------------------------------
$ 3,413,716 $ (3,413,716) $ -
--------------------------------------------------------------------------------
Information on the components of investments, excluding written options, and net
assets as of May 31, 2009 is as follows:
COST OF NET TAX
INVESTMENTS GROSS TAX GROSS TAX UNREALIZED
FOR TAX UNREALIZED UNREALIZED APPRECIATION
PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS
--------------------------------------------------------------------------------
$ 190,597,430 $ 2,149,491 $ (51,857,327) $ (49,707,836)
--------------------------------------------------------------------------------
NET TAX UNDISTRIBUTED UNDISTRIBUTED
UNREALIZED ORDINARY INCOME/ LONG-TERM GAINS/
APPRECIATION (ACCUMULATED (ACCUMULATED
ON DERIVATIVES ORDINARY LOSS) CAPITAL LOSS)
--------------------------------------------------------------------------------
$ 1,370,973 $ (642,673) $ (3,748,502)
--------------------------------------------------------------------------------
The differences between book basis and tax basis unrealized appreciation/
(depreciation) is attributable to the tax deferral of losses on wash sales.
Capital losses and foreign currency transactions incurred after October 31
("post-October" losses) within the taxable year are deemed to arise on the first
business day of the Fund's next taxable year. The Fund incurred and will elect
to defer capital losses of $3,748,502 and foreign currency transactions of
$1,395.
For the years ended May 31, 2009 and 2008, the tax character of distributions
paid to common shareholders as reflected in the Statement of Changes in Net
Assets was as follows:
DISTRIBUTIONS PAID FROM 2009 2008
--------------------------------------------------------------------------------
Ordinary Income $ 12,332,718 $ 8,921,896
Capital Gain - 1,817
Return of Capital 4,493,766 3,259,098
--------------------------------------------------------------------------------
Total distributions paid $ 16,826,484 $ 12,182,811
================================================================================
Effective June 1, 2008, the Fund adopted the provisions of FASB Interpretation
No. 48 ("FIN 48") Accounting for Uncertainty in Income Taxes. FIN 48 sets forth
a minimum threshold for financial statement recognition of the benefit of a tax
position taken or expected to be taken in a tax return. The implementation of
FIN 48 did not result in any unrecognized tax benefits in the accompanying
financial statements.
FIN 48 requires the Fund to analyze all open tax years. Open tax years are those
years that are open for examination by the relevant income taxing authority. As
of May 31, 2009, open federal and state income tax years include the tax years
ended May 31, 2008 and 2009.The Fund has no examinations in progress.
26 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS continued
Note 5 - INVESTMENTS IN SECURITIES AND DERIVATIVES:
During the year ended May 31, 2009, the cost of purchases and proceeds from
sales of investments, excluding written options and short-term investments were
$97,080,590 and $115,140,469, respectively.
The Fund entered into swap agreements during the year ended May 31, 2009 to
potentially enhance return. Details of the swap agreements outstanding as of May
31, 2009 are as follows:
CREDIT DEFAULT SWAP AGREEMENTS
IMPLIED
CREDIT
SPREAD
AT NOTIONAL RECEIVE UNREALIZED
REFERENCE BUY/SELL TERMINATION MAY 31, AMOUNT FIXED APPRECIATION/
COUNTERPARTY ENTITY PROTECTION DATE 2009(2) (000'S) RATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------
Basket of
distinct
corporate
Goldman Sachs(1) entities Sell 09/21/14 19.65% $ 3,000 1.180% $ (1,780,071)
------------------------------------------------------------------------------------------------------
INTEREST RATE SWAP AGREEMENTS
NOTIONAL RECEIVE UNREALIZED
TERMINATION AMOUNT FIXED APPRECIATION/
COUNTERPARTY FLOATING RATE DATE (000'S) RATE (DEPRECIATION)
------------------------------------------------------------------------------------------------------
Goldman Sachs(3) 3 Month LIBOR 01/04/38 $ 10,000 5.675% $ 729,334
Goldman Sachs(3) 3 Month LIBOR 01/04/38 10,000 5.860 517,402
Goldman Sachs(3) 3 Month LIBOR 07/07/38 5,000 5.753 345,050
Goldman Sachs(3) 3 Month LIBOR 07/07/38 5,000 5.940 241,750
HSBC(3) 3 Month LIBOR 01/09/23 5,000 7.700(a) (120,103)
------------------------------------------------------------------------------------------------------
$ 1,713,433
======================================================================================================
TOTAL RETURN SWAPS AGREEMENTS
NOTIONAL UNREALIZED
REFERENCE TERMINATION AMOUNT APPRECIATION/
COUNTERPARTY ENTITY FLOATING RATE DATE (000'S) (DEPRECIATION)
------------------------------------------------------------------------------------------------------
Barclays
Capital(4) S&P 500 1 Month LIBOR + 0.35% 12/23/09 $ 1,137 $ 62,892
Barclays
Capital(4) S&P 500 1 Month LIBOR + 0.35% 12/23/09 1,603 88,687
Goldman
Sachs(4) S&P 500 1 Month LIBOR + 0.35% 12/16/09 1,000 17,923
------------------------------------------------------------------------------------------------------
$ 169,502
======================================================================================================
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $ 102,864
======================================================================================================
(1) The Fund receives a fixed rate based upon the notional amount of $3
million and if a defined credit event occurs, pays cumulative losses in
excess of a stated percentage on an underlying basket of distinct
corporate entities with an aggregate notional value of $3 billion. The
maximum loss exposure is $3 million.
(2) Implied credit spreads, represented in absolute terms, utilized in
determining the market value of credit default swap agreements on
corporate issues or sovereign issues of an emerging country as of period
end serve as an indicator of the current status of the payment/performance
risk and represent the likelihood or risk of default for the credit
derivative. The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and may include upfront
payments required to be made to enter into the agreement. Wider credit
spreads represent a deterioration of the referenced entity's credit
soundness and a greater likelihood or risk of default or other credit
event occurring as defined under the terms of the agreement. A credit
spread identified as "Defaulted"indicates a credit event has occurred for
the referenced entity or obligation.
(3) The Fund pays the floating rate and receives the fixed rate.
(a) For any day that the spread between 30-year fixed for floating swap rate
versus the 2-year fixed for floating swap rate is less than -0-, the fixed
rate is -0-.
(4) The Fund pays a floating rate and receives the total return of the
Standard & Poor's 500 Index.
OPTION CONTRACTS:
Transactions in written option contracts during the year ended May 31, 2009 were
as follows:
NUMBER OF CONTRACTS PREMIUMS RECEIVED
--------------------------------------------------------------------------------
Options outstanding, beginning of year 4,945 $ 888,256
Options written during the period 81,131 12,826,900
Options expired during the period (32,153) (6,044,354)
Options closed during the period (41,928) (5,975,742)
Options assigned during the period (3,318) (915,682)
--------------------------------------------------------------------------------
Options outstanding, end of period 8,677 $ 779,378
================================================================================
In March 2008, the FASB issued 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.The Fund adopted SFAS No. 161
effective December 1, 2008.
The following table presents the types of derivatives in the Fund by location as
presented on the Statement of Assets and Liabilities as of May 31, 2009:
Statement of Asset & Liability Presentation of Fair Values of Derivative
Instruments: (amount in thousands)
ASSET DERIVATIVES LIABILITY DERIVATIVES
----------------------------------------------------------------------------------------------------
DERIVATIVES NOT
ACCOUNTED FOR
AS HEDGING STATEMENT OF STATEMENT OF
INSTRUMENTS ASSETS AND ASSETS AND
UNDER STATEMENT 133 LIABILITIES LOCATION FAIR VALUE LIABILITIES LOCATION FAIR VALUE
----------------------------------------------------------------------------------------------------
Interest rate Unrealized
contracts appreciation Unrealized depreciation
on swaps $ 1,834 on swaps $ 120
Credit default Unrealized
contracts appreciation Unrealized depreciation
on swaps - on swaps 1,780
Equity contracts Unrealized
appreciation Unrealized depreciation
on swaps 169 on swaps -
Options contracts Investments in
securities 20 Options written 1,112
----------------------------------------------------------------------------------------------------
TOTAL $ 2,023 $ 3,012
====================================================================================================
The following table presents the effect of Derivative Instruments on the
Statement of Operations for the year ended May 31, 2009: (amount in thousands)
AMOUNT OF REALIZED GAIN/(LOSS) ON DERIVATIVES
----------------------------------------------------------------------------------
DERIVATIVES NOT
ACCOUNTED FOR FOREIGN
AS HEDGING INSTRUMENTS CURRENCY
UNDER STATEMENT 133 SWAPS OPTIONS FUTURES TRANSACTIONS TOTAL
----------------------------------------------------------------------------------
Interest rate contracts $ 1,197 $ - $ - $ - $ 1,197
Credit default contracts 194 - - - 194
Equity contracts (106) - - - (106)
Options contracts - 5,856 - - 5,856
Futures contracts - - (6) - (6)
Foreign exchange contracts - - - (1) (1)
----------------------------------------------------------------------------------
TOTAL $ 1,285 $ 5,856 $ (6) $ (1) $ 7,134
==================================================================================
Annual Report | May 31, 2009 | 27
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS continued
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES
--------------------------------------------------------------------------------
DERIVATIVES NOT
ACCOUNTED FOR
AS HEDGING
INSTRUMENTS
UNDER STATEMENT 133 SWAPS OPTIONS TOTAL
-------------------------------------------------------------------------------
Interest rate contracts $ 1,607 $ - $ 1,607
-------------------------------------------------------------------------------
Credit default contracts (1,041) - (1,041)
-------------------------------------------------------------------------------
Equity contracts 170 - 170
-------------------------------------------------------------------------------
Options contracts - (906) (906)
-------------------------------------------------------------------------------
TOTAL $ 736 $ (906) $ (170)
===============================================================================
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. The Fund may enter into such
agreements when it is able to invest the cash acquired at a rate higher than the
cost of the agreement, which would increase earned income. When the Fund enters
into a reverse repurchase agreement, any fluctuations in the market value of
either the instruments transferred to another party or the instruments in which
the proceeds may be invested would affect the market value of the Fund's
assets. As a result, such transactions may increase fluctuations in the market
value of the Fund's assets. For the year ended May 31, 2009 the average daily
balance for which reverse repurchase agreements were outstanding amounted to
$33,815,530. The weighted average interest rate was 2.99%.During the period, the
Fund incurred approximately $127,500 of bank fees on custodial overdrafts. As of
May 31, 2009, the total amount segregated in connection with reverse repurchase
agreements was $17,698,847.At the period end, there was $8,957,250 in reverse
repurchase agreements outstanding.
BORROWINGS
On November 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. A one-time origination
fee in the amount of $75,000 was paid by the Fund and is reflected in the Line
of credit fee on the Statement of Operations. At May 31, 2009 there was
$22,127,551 outstanding in connection with the Fund's credit facility. The
average daily amount of borrowings on the credit facility during the period
ended May 31, 2009 was $22,567,815 with a related average interest rate of
2.12%.The maximum amount outstanding during the period ended May 31, 2009, was
$26,100,000.
Note 7 - CAPITAL:
COMMON SHARES
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-Adviser have agreed to pay offering expenses (other than sales
load, but including reimbursement of expenses to the underwriters) in excess of
$0.04 per common share.
Note 8 - 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 9 - ACCOUNTING PRONOUNCEMENTS:
In April 2009, the FASB issued FSP FAS 157-4,"Determining Fair Value When Volume
and Level of Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly" (FSP 157-4). FSP 157-4
provides guidance on how to determine the fair value of assets and liabilities
when the volume and level of activity for the asset/liability has significantly
decreased. FSP 157-4 also provides guidance on identifying circumstances that
indicate a transaction is not orderly. In addition, FSP 157-4 requires
disclosure in interim and annual periods of the inputs and valuation techniques
used to measure fair value and a discussion of changes in valuation techniques.
FSP 157-4 is effective for interim and annual reporting periods ending after
June 15, 2009.The adoption of FSP 157-4 is currently being evaluated.
Note 10 - SUBSEQUENT EVENT:
On July 17, 2009, Claymore Group Inc., the parent of the adviser, entered into
an Agreement and Plan of Merger between and among Claymore Group Inc., Claymore
Holdings, LLC and GuggClay Acquisition, Inc., (the latter two entities are
wholly-owned, indirect subsidiaries of Guggenheim Partners, LLC) whereby
GuggClay Acquisition, Inc will merge into Claymore Group, Inc which will be the
surviving entity. The parties intend that the completed merger will result in a
change - of - control whereby Claymore Group Inc. and its subsidiaries will
become indirect, wholly-owned subsidiaries of Guggenheim.
28 | Annual Report | May 31, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
We have audited the accompanying statement of assets and liabilities of
Claymore/Guggenheim Strategic Opportunities Fund (the "Fund"), including the
portfolio of investments, as of May 31, 2009, and the related statements of
operations and cash flows for the year then ended, and the statement of changes
in net assets and the financial highlights for the year then ended and for the
period from July 27, 2007 (commencement of investment operations) through May
31, 2008.These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audit included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of May 31, 2009, by correspondence with the custodian and
brokers or by other appropriate auditing procedures where replies from brokers
were not received. We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Claymore/Guggenheim Strategic Opportunities Fund at May 31, 2009, and the
results of its operations and its cash flows for the year then ended, and the
changes in its net assets and financial highlights for the year then ended and
for the period from July 27, 2007 (commencement of investment operations)
through May 31, 2008, in conformity with U.S. generally accepted accounting
principles.
/s/ ERNEST & YOUNG LLP
Chicago, Illinois
July 29, 2009
Annual Report | May 31, 2009 | 29
GOF | Claymore/Guggenheim Strategic Opportunities Fund
SUPPLEMENTAL INFORMATION | (UNAUDITED)
FEDERAL INCOME TAX INFORMATION
Qualified dividend income of as much as $436,312 was received by the Fund
through May 31, 2009.The Fund intends to designate the maximum amount of
dividends that qualify for the reduced tax rate pursuance to the Jobs and Growth
Relief Reconciliation Act of 2003.
For corporate shareholders, $84,420 of investment income qualifies for the
dividends-received deduction.
In January 2010, shareholders will be advised on IRS Form 1099 DIV or substitute
1099 DIV as to the federal tax status of the distributions received by
shareholders in the calendar year 2009.
RESULT OF SHAREHOLDER VOTES
The Annual Meeting of Shareholders of the Fund was held on October 22, 2008.
Common shareholders voted on the election of Trustees.
With regard to the election of the following Trustees by common and preferred
shareholders of the Fund:
# OF SHARES # OF SHARES
IN FAVOR WITHHELD
--------------------------------------------------------------------------------
Nyberg 8,542,053 149,737
Toupin 8,526,517 165,273
The other Trustees of the Fund whose terms did not expire in 2008 are Randall C.
Barnes and Nicholas Dalmaso.
TRUSTEES
The Trustees of the Claymore/Guggenheim Strategic Opportunities Fund and their
principal occupations during the past five years:
NAME, ADDRESS*, YEAR TERM OF OFFICE** PRINCIPAL OCCUPATIONS DURING NUMBER OF PORTFOLIOS OTHER
OF BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND IN THE FUND COMPLEX*** DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
--------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
--------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2007 Investor (2001-present). Formerly, Senior Vice 43 None.
Year of Birth: 1951 President & Treasurer, PepsiCo., Inc.
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, a law firm 46 None.
Year of birth: 1953 specializing in corporate law, estate planning
Trustee 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, Manager and 43 None.
Year of birth: 1958 Portfolio Manager of Nuveen Asset Management
Trustee (1998-1999), Vice President of Nuveen
Investment Advisory Corp. (1992-1999),Vice
President and Manager of Nuveen Unit
Investment Trusts (1991-1999), and Assistant
Vice President and Portfolio Manager of Nuveen
Unit Investment Trusts (1988-1999), each of
John Nuveen & Co., Inc. (1982-1999).
--------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
--------------------------------------------------------------------------------------------------------------------------------
Nicholas Dalmaso+ Since 2007 Attorney. Formerly, Senior Managing Director 45 None.
Year of birth: 1965 and Chief Administrative Officer (2007-2008)
Trustee and General Counsel (2001-2007) of Claymore
Advisors, LLC and Claymore Securities, Inc.
Formerly, Assistant General Counsel, John
Nuveen andCompany, Inc. (1999-2000). Former
VicePresident 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 II Trustees, are expected to stand
for re-election at the Fund's 2009 annual meeting of shareholders.
-Messrs. Nyberg and Toupin, as Class I 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.
30 | Annual Report | May 31, 2009
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
OF BIRTH AND
POSITION(S) HELD TERM OF OFFICE** AND PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
WITH REGISTRANT LENGTH OF TIME SERVED AND OTHER AFFILIATIONS
------------------------------------------------------------------------------------------------------
J.Thomas Futrell Since 2008 Senior Managing Director and Chief Investment
Year of birth: 1955 Officer of Claymore Advisors, LLC and Claymore
Chief Executive Securities Inc. (2008-Present). Formerly, Managing
Officer Director of Research, Nuveen Asset Management
(2000-2007).
------------------------------------------------------------------------------------------------------
Kevin Robinson Since 2008 Senior Managing Director and General Counsel of
Year of birth: 1959 Claymore Advisors, LLC and Claymore Group, Inc.
Chief Legal Officer (2007-present). 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
Year of birth: 1964 and Claymore Securities, Inc. (2005-present).
Chief Financial Formerly, Chief Financial Officer of Claymore Group
Officer, Inc. (2005-2006), Managing Director of Claymore
Chief Accounting Advisors, LLC and Claymore Securities, Inc.
Officer and Treasurer (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 E. Mathiasen Since 2008 Vice President; Assistant General Counsel of
Year of birth: 1978 Claymore Securities, Inc. (2007-present). Secretary
Secretary of certain funds in the Fund Complex. Previously,
Law Clerk, Idaho State Courts (2003-2006).
------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2007 Vice President, Fund Compliance Officer of Claymore
Year of birth: 1957 Group, Inc. (2006-present). Formerly, Chief
Chief Compliance Compliance Officer/Assistant Secretary of Harris
Officer Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC (1999-2003).
------------------------------------------------------------------------------------------------------
Roy Corr Since 2008 Senior Managing Director, Chief Operating Officer
Year of birth: 1964 of Guggenheim Partners Asset Management, Inc.
Vice President (2002-present).
------------------------------------------------------------------------------------------------------
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure of the Board of Trustees and until his or
her successor is appointed and qualified or until his or her earlier
resignation or removal.
Annual Report | May 31, 2009 | 31
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.
32 | Annual Report | May 31, 2009
This Page Intentionally Left Blank.
This Page Intentionally Left Blank.
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 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 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 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.sec.gov.
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.
NOTICE TO SHAREHOLDERS
Notice is hereby give in accordance with Section 23(c) of the Investment Company
Act of 1940, as amended, that the Fund from time to time may purchase shares of
its common stock in the open market.
Annual Report | May 31, 2009 | 35
GOF | Claymore/Guggenheim Strategic Opportunities Fund
About the FUND MANAGER |
GUGGENHEIM PARTNERS ASSET MANAGEMENT, INC.
Guggenheim Partners Asset Management, Inc. ("GPAM") 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 GPAM 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
GPAM'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
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.
CLAYMORE SECURITIES, INC.
2455 Corporate West Drive GOF
Lisle, IL 60532 LISTED
Member FINRA/SIPC NYSE
(07/09)
GOF-AR-0509
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions.
(b) No information need be disclosed pursuant to this paragraph.
(c) The registrant has not amended its Code of Ethics during the period covered
by the report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver to its
principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions from a provision
of its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that it has at least one audit
committee financial expert serving on its audit committee, Ronald E. Toupin, Jr.
Mr. Toupin is an "independent" Trustee as defined in Item 3 of Form N-CSR. Mr.
Toupin qualifies as an audit committee financial expert by virtue of his
experience obtained as a portfolio manager and research analyst, which included
review and analysis of offering documents and audited and unaudited financial
statements using GAAP to show accounting estimates, accruals and reserves.
(Under applicable securities laws, a person who is determined to be an audit
committee financial expert will not be deemed an "expert" for any purpose,
including without limitation for the purposes of Section 11 of the Securities
Act of 1933, as amended, as a result of being designated or identified as an
audit committee financial expert. The designation or identification of a person
as an audit committee financial expert does not impose on such person any
duties, obligations, or liabilities that are greater than the duties,
obligations, and liabilities imposed on such person as a member of the audit
committee and Board of Trustees in the absence of such designation or
identification. The designation or identification of a person as an audit
committee financial expert doesn't affect the duties, obligations or liability
of any other member of the audit committee or Board of Trustees.)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees: the aggregate fees billed for professional services rendered by
the principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements were $55,000 and
$53,000 for the fiscal year ending May 31, 2009, and the registrant's initial
fiscal period from the registrant's inception date of July 27, 2007, through May
31, 2008, respectively.
(b) Audit-Related Fees: the aggregate fees billed for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph 4(a), including agreed upon procedures reports
performed for rating agencies and the issuance of comfort letters, were $0 and
$0 for the fiscal year ending May 31, 2009, and the registrant's initial fiscal
period from the registrant's inception date of July 27, 2007, through May 31,
2008, respectively.
(c) Tax Fees: the aggregate fees billed for professional services rendered by
the principal accountant for tax compliance, tax advice and tax planning,
including federal, state and local income tax return preparation and related
advice and determination of taxable income and miscellaneous tax advice were
$6,000 and $6,000 for the fiscal year ending May 31, 2009, and the registrant's
initial fiscal period from the registrant's inception date of July 27, 2007,
through May 31, 2008, respectively.
(d) All Other Fees: the aggregate fees billed for products and services provided
by the principal accountant, other than the services reported in paragraphs (a)
through (c) of this Item were $0 and $0 for the fiscal year ending May 31, 2009,
and the registrant's initial fiscal period from the registrant's inception date
of July 27, 2007, through May 31, 2008, respectively.
(e) Audit Committee Pre-Approval Policies and Procedures.
(1) The registrant's audit committee reviews, and in its sole
discretion, pre-approves, pursuant to written pre-approval procedures (A) all
engagements for audit and non-audit services to be provided by the principal
accountant to the registrant and (B) all engagements for non-audit services to
be provided by the principal accountant (1) to the registrant's investment
adviser (not including a sub-adviser whose role is primarily portfolio
management and is sub-contracted or overseen by another investment adviser) and
(2) to any entity controlling, controlled by or under common control with the
registrant's investment adviser that provides ongoing services to the
registrant; but in the case of the services described in subsection (B)(1) or
(2), only if the engagement relates directly to the operations and financial
reporting of the registrant; provided that such pre-approval need not be
obtained in circumstances in which the pre-approval requirement is waived under
rules promulgated by the Securities and Exchange Commission or New York Stock
Exchange listing standards. Sections IV.C.2 and IV.C.3 of the registrant's audit
committee's revised Audit Committee Charter contain the Audit Committee's
Pre-Approval Policies and Procedures and such sections are included below.
IV.C.2 Pre-approve any engagement of the independent auditors to provide
any non-prohibited services to the Trust, including the fees
and other compensation to be paid to the independent auditors
(unless an exception is available under Rule 2-01 of Regulation
S-X).
(a) The Chairman or any member of the Audit Committee may grant
the pre-approval of services to the Fund for non-prohibited
services up to $10,000. All such delegated pre-approvals shall be
presented to the Audit Committee no later than the next Audit
Committee meeting.
IV.C.3 Pre-approve any engagement of the independent auditors, including
the fees and other compensation to be paid to the independent
auditors, to provide any non-audit services to the Adviser (or
any "control affiliate" of the Adviser providing ongoing services
to the Trust), if the engagement relates directly to the
operations and financial reporting of the Trust (unless an
exception is available under Rule 2-01 of Regulation S-X).
(a) The Chairman or any member of the Audit Committee may grant
the pre-approval for non-audit services to the Adviser up to
$10,000. All such delegated pre-approvals shall be presented to
the Audit Committee no later than the next Audit Committee
meeting.
(2) None of the services described in each of Items 4(b) through (d)
were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule
2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, the registrant's investment adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted with or overseen by another investment adviser) and/or any entity
controlling, controlled by, or under common control with the adviser that
provides ongoing services to the registrant that directly related to the
operations and financial reporting of the registrant were $0 and $0 for the
fiscal year ending May 31, 2009, and the registrant's initial fiscal period from
the registrant's inception date of July 27, 2007, through May 31, 2008,
respectively.
(h) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) The registrant has a separately designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934, as amended. The audit committee of the registrant is
composed of: Randall C. Barnes, Ronald A. Nyberg and Ronald E. Toupin, Jr.
(b) Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedule of Investments is included as part of Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated the voting of proxies relating to its voting
securities to the registrant's investment sub-adviser, Guggenheim Partners Asset
Management, Inc. ("Guggenheim"). Guggenheim's proxy voting policies and
procedures are included as an exhibit hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a)(1) Guggenheim serves as sub-adviser for the registrant and is responsible
for the day-to-day management of the registrant's portfolio. Guggenheim uses a
team approach to manage client portfolios. Day to day management of a client
portfolio is conducted under the auspices of Guggenheim's Portfolio Construction
Group ("PCG"). PCG's members include the Chief Investment Officer ("CIO") and
other key investment personnel. The PCG, in consultation with the CIO, provides
direction for overall investment strategy. The PCG performs several duties as it
relates to client portfolios including: determining both tactical and strategic
asset allocations; and monitoring portfolio adherence to asset allocation
targets; providing sector specialists with direction for overall investment
strategy, which may include portfolio design and the rebalancing of portfolios;
performing risk management oversight; assisting sector managers and research
staff in determining the relative valuation of market sectors; and providing a
forum for the regular discussion of the economy and the financial markets to
enhance the robustness of Guggenheim's strategic and tactical policy directives.
The following individuals at Guggenheim share primary responsibility for the
management of the registrant's portfolio and is provided as of May 31, 2009:
NAME SINCE PROFESSIONAL EXPERIENCE DURING THE LAST
FIVE YEARS
Robert Daviduk, CFA - 2007 Guggenheim Partners Asset Management, Inc.:
Managing Director Managing Director - 8/06-Present. Formerly,
Global Fixed Income Partners, LLC: Partner -
7/05-8/06; Wells Capital Management:
Managing Director - 6/02-6/05.
Scott Minerd - CEO and CIO 2007 Guggenheim Partners Asset Management, Inc.:
CEO and CIO - 12/05-Present; Guggenheim
Partners, LLC: Managing Partner - Insurance
Advisory - 5/98-Present.
Anne Walsh, CFA, FLMI - 2007 Guggenheim Partners Asset Management, Inc.:
Senior Managing Director Senior Managing Director - 4/07-Present.
Former, Reinsurance Group of America, Inc.:
Senior Vice President and Chief Investment
Officer - 5/00-3/07.
(a)(2)(i-iii) Other Accounts Managed by the Portfolio Managers
The following tables summarize information regarding each of the other accounts
managed by the Guggenheim portfolio managers as of May 31, 2009:
Anne Walsh:
--------------------------------------------------------------------------------------------------------------------
Type of Account Number of Total Assets Number of Accounts Total Assets in the
Accounts in the Accounts In Which the Accounts In Which
Advisory Fee is the Advisory Fee is
Based on Performance Based on Performance
--------------------------------------------------------------------------------------------------------------------
Registered investment 0 0 0 0
companies
--------------------------------------------------------------------------------------------------------------------
Other pooled investment 2 $988,884,968 2 $988,884,968
vehicles
--------------------------------------------------------------------------------------------------------------------
Other accounts 11 $32,482,858,591 1 $3,253,258,175
--------------------------------------------------------------------------------------------------------------------
Scott Minerd:
--------------------------------------------------------------------------------------------------------------------
Type of Account Number of Total Assets Number of Accounts Total Assets in the
Accounts in the Accounts In Which the Accounts In Which
Advisory Fee is the Advisory Fee is
Based on Performance Based on Performance
--------------------------------------------------------------------------------------------------------------------
Registered investment 0 0 0 0
companies
--------------------------------------------------------------------------------------------------------------------
Other pooled 2 $988,884,968 2 $988,884,968
investment vehicles
--------------------------------------------------------------------------------------------------------------------
Other accounts 8 $29,198,484,086 1 $3,253,258,175
--------------------------------------------------------------------------------------------------------------------
Robert Daviduk:
--------------------------------------------------------------------------------------------------------------------
Type of Account Number of Total Assets Number of Accounts Total Assets in the
Accounts in the Accounts In Which the Accounts In Which
Advisory Fee is the Advisory Fee is
Based on Performance Based on Performance
--------------------------------------------------------------------------------------------------------------------
Registered investment 0 0 0 0
companies
--------------------------------------------------------------------------------------------------------------------
Other pooled investment 0 0 0 0
vehicles
--------------------------------------------------------------------------------------------------------------------
Other accounts 2 $133,581,695 1 $93,784,638
--------------------------------------------------------------------------------------------------------------------
(a)(2)(iv) Potential Conflicts of Interest
Actual or apparent conflicts of interest may arise when a portfolio manager has
day-to-day management responsibilities with respect to more than one fund or
other account. More specifically, portfolio managers who manage multiple funds
and/or other accounts may be presented with one or more of the following
potential conflicts.
The management of multiple funds and/or other accounts may result in a portfolio
manager devoting unequal time and attention to the management of each fund
and/or other account. Guggenheim seeks to manage such competing interests for
the time and attention of a portfolio manager by having the portfolio manager
focus on a particular investment discipline. Specifically, the ultimate decision
maker for security selection for each client portfolio is the Sector Specialist
Portfolio Manager. They are responsible for analyzing and selecting specific
securities that they believe best reflect the risk and return level as provided
in each client's investment guidelines.
Guggenheim may have clients with similar investment strategies. As a result, if
an investment opportunity would be appropriate for more than one client,
Guggenheim may be required to choose among those clients in allocating such
opportunity, or to allocate less of such opportunity to a client than it would
ideally allocate if it did not have to allocate to multiple clients. In
addition, Guggenheim may determine that an investment opportunity is appropriate
for a particular account, but not for another.
Allocation decisions are made in accordance with the investment objectives,
guidelines, and restrictions governing the respective clients and in a manner
that will not unfairly favor one client over another. Guggenheim's allocation
policy provides that investment decisions must never be based upon account
performance or fee structure. Accordingly, Guggenheim's allocation procedures
are designed to ensure that investment opportunities are allocated equitably
among different client accounts over time. The procedures also seek to ensure
reasonable efficiency in client transactions and to provide portfolio managers
with flexibility to use allocation methodologies appropriate to Guggenheim's
investment disciplines and the specific goals and objectives of each client
account.
In order to minimize execution costs and obtain best execution for clients,
trades in the same security transacted on behalf of more than one client may be
aggregated. In the event trades are aggregated, Guggenheim's policy and
procedures provide as follows: (i) treat all participating client accounts
fairly; (ii) continue to seek best execution; (iii) ensure that clients who
participate in an aggregated order will participate at the average share price
with all transaction costs shared on a pro-rata basis based on each client's
participation in the transaction; (iv) disclose its aggregation policy to
clients.
Guggenheim, as a fiduciary to its clients, considers numerous factors in
arranging for the purchase and sale of clients' portfolio securities in order to
achieve best execution for its clients. When selecting a broker, individuals
making trades on behalf of Guggenheim clients consider the full range and
quality of a broker's services, including execution capability, commission rate,
price, financial stability and reliability. Guggenheim is not obliged to merely
get the lowest price or commission but also must determine whether the
transaction represents the best qualitative execution for the account.
In the event that multiple broker/dealers make a market in a particular
security, Guggenheim's Portfolio Managers are responsible for selecting the
broker-dealer to use with respect to executing the transaction. The
broker-dealer will be selected on the basis of how the transaction can be
executed to achieve the most favorable execution for the client under the
circumstances. In many instances, there may only be one counter-party active in
a particular security at a given time. In such situations the Employee executing
the trade will use his/her best effort to obtain the best execution from the
counter-party.
Guggenheim and the registrant have adopted certain compliance procedures which
are designed to address these types of conflicts. However, there is no guarantee
that such procedures will detect each and every situation in which a conflict
arises.
(a)(3) Portfolio Manager Compensation
Guggenheim compensates Messrs. Daviduk and Minerd and Ms. Walsh for their
management of the registrant's portfolio. Compensation is evaluated based on
their contribution to investment performance relative to pertinent benchmarks
and qualitatively based on factors such as teamwork and client service efforts.
Guggenheim's staff incentives may include: a competitive base salary, bonus
determined by individual and firm wide performance, equity participation, and
participation opportunities in various Guggenheim investments. All Guggenheim
employees are also eligible to participate in a 401(k) plan to which Guggenheim
may make a discretionary match after the completion of each plan year.
(a)(4) Portfolio Manager Securities Ownership
The following table discloses the dollar range of equity securities of the
registrant beneficially owned by each Guggenheim portfolio manager as of May 31,
2009:
DOLLAR AMOUNT OF EQUITY
NAME OF PORTFOLIO MANAGER SECURITIES IN FUND
--------------------------------------------------------------------------------
Robert Daviduk $1-$10,000
Scott Minerd $100,001-$500,000
Anne Walsh $10,001-$50,000
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has not made any material changes to the procedures by which
shareholders may recommend nominees to the registrant's Board of Trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days
of this filing and have concluded based on such evaluation, as required by Rule
30a-3(b) under the Investment Company Act, 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) Code of Ethics for Chief Executive and Senior Financial Officer.
(a)(2) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(a) of the Investment Company Act.
(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.
(c) Proxy Voting Policies and Procedures.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Claymore/Guggenheim Strategic Opportunities Fund
By: /s/ J. Thomas Futrell
-----------------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: August 7, 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: August 7, 2009
By: /s/ Steven M. Hill
-----------------------------------------------------------------------
Name: Steven M. Hill
Title: Treasurer and Chief Financial Officer
Date: August 7, 2009