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
Claymore/Guggenheim Strategic Opportunities Fund
-------------------------------------------------
(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
Date of fiscal year end: May 31
Date of reporting period: November 30, 2009
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The registrant's semi-annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the "Investment
Company Act"), is as follows:
SEMIANNUAL
REPORT CLAYMORE/GUGGENHEIM |
November 30, 2009 | GOF
(Unaudited) STRATEGIC OPPORTUNITIES FUND |
LOGO CLAYMORE (R) GUGGENHEIM(R)
WWW.CLAYMORE.COM/GOF
... YOUR WINDOW TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
Graphic:
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Fund Summary Fund Manager News Literature FAQ Price History Dividend History Contact Fund
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GOF | Clyamore/Guggenheim
LISTED | Strategic Opportunities
NYSE(R)| Fund
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, LLC and Claymore are continually updating
and expanding shareholder information services on the Fund's website, in an
ongoing effort to provide you with the most current information about how your
Fund's assets are managed, and the results of our efforts. It is just one more
small way we are working to keep you better informed about your investment in
the Fund.
2 | Semiannual Report | November 30, 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 semiannual period ended November 30, 2009.
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, LLC ("GPAM" or "the Sub-Adviser"), a
wholly-owned subsidiary of Guggenheim Partners, LLC ("Guggenheim" or
"Guggenheim Partners"). GPAM seeks to achieve that objective by combining a
credit-managed fixed-income portfolio with access to a diversified pool of
alternative investments and equity strategies. The Fund pursues a relative
value-based investment philosophy, which utilizes quantitative and qualitative
analysis to seek to identify securities or spreads between securities that
deviate from their perceived fair value and/or historical norms.
Guggenheim is a diversified financial services firm with wealth management,
capital markets, investment management and proprietary investing businesses. As
of November 30, 2009, Guggenheim managed or supervised more than $100 billion
in assets. On October 15, 2009, Guggenheim and Claymore Group Inc.
("Claymore"), the parent company of the Fund's adviser, announced the
completion of a previously announced merger. The closing of the transaction
took place on October 14, 2009 (the "Effective Date"). As a result of the
transaction, Claymore and its associated entities, including Claymore
Securities, Inc., Claymore Advisors, LLC (the Fund's adviser) and Claymore
Investments, Inc. (in Canada), are now indirect wholly-owned subsidiaries of
Guggenheim Partners.
Under the Investment Company Act of 1940, as amended, (the "1940 Act"), the
consummation of this transaction resulted in the automatic termination of the
Advisory & Sub-Advisory Agreements. Accordingly, on September 28, 2009, the
Board of Trustees approved an interim investment advisory agreement between the
Fund and the Adviser (the "Interim Advisory Agreement") and an interim
investment sub-advisory agreement among the Fund, the Adviser and GPAM (the
"Interim Sub-Advisory Agreement" and together with the Interim Advisory
Agreement, the "Interim Agreements"). The Interim Agreements took effect as of
the Effective Date and will terminate upon the earlier of: (a) 150 calendar
days after the Effective Date or (b) the approval of a new investment advisory
agreement and a new investment sub-advisory agreement by the shareholders of
the Fund. In addition, the advisory fees earned by the Adviser pursuant to the
Interim Advisory Agreement and the sub-advisory fees earned by GPAM pursuant to
the Interim Sub-Advisory Agreement will be held in an interest-bearing escrow
account with the Fund's custodian during the term of the Interim Agreements. If
the Fund's shareholders approve a new advisory agreement with the Adviser prior
to the expiration of the term of the Interim Advisory Agreement, the amount in
the escrow account (including any interest earned) with respect to the Fund
shall be paid to the Adviser. If the Fund's shareholders approve a new
sub-advisory agreement with GPAM prior to the expiration of the term of the
Interim Sub-Advisory Agreement, the amount in the escrow account (including any
interest earned) with respect to the Fund shall be paid to GPAM. If the Fund's
shareholders do not approve a new advisory agreement with the Adviser, or a new
sub-advisory agreement with GPAM, prior to the expiration of the term of the
Interim Agreements, the Adviser or GPAM, as applicable, shall be paid, out of
the escrow account with respect to the Fund, the lesser of (i) the Adviser's or
GPAM's costs incurred in providing the services under the Interim Agreements
(including any interest earned on that amount while in escrow) with respect to
the Fund; or (ii) the total amount in the escrow account (including any
interest earned) with respect to the Fund. Other than the effective dates and
the provisions set forth above regarding the advisory and sub-advisory fees'
placement into an escrow account, the terms and conditions of the Interim
Agreements are substantively identical to those of the original Advisory
Agreement and Sub-Advisory Agreement.
On September 28, 2009, the Board of Trustees approved a new investment advisory
agreement between the Fund and the Adviser (the "New Advisory Agreement") and a
new investment sub-advisory agreement among the Fund, the Adviser and GPAM (the
"New Sub-Advisory Agreement" and together with the New Advisory Agreement, the
"New Agreements") and recommended that the New Agreements be submitted to the
shareholders of the Fund for their approval. The New Agreements will take
effect with respect to the Fund upon their approval by the shareholders of the
Fund and will have an initial term of one year. Thereafter, the New Agreements
will continue
Semiannual Report | November 30, 2009 | 3
GOF | Claymore/Guggenheim Strategic Opportunities Fund | DEAR SHAREHOLDER
continued
in effect only if their continuance is approved by the Board of Trustees. Other
than effective dates, there are no material differences between the terms of
the New Agreements and those of the original Advisory Agreement and
Sub-Advisory Agreement.
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the semiannual period
ended November 30, 2009, the Fund provided a total return based on market price
of 46.99% and a return of 36.19% based on NAV. The last closing price of the
Fund's shares as of November 30, 2009, was $15.90, which represented a premium
of 0.19% to the Fund's NAV of $15.87. 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 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 31 of the Fund's semiannual report. When
shares trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the monthly dividend distribution in common shares of the Fund
purchased in the market at a price less than NAV. Conversely, when the market
price of the Fund's common shares is at a premium above NAV, the DRIP reinvests
participants' dividends in newly-issued common shares at NAV, subject to an IRS
limitation that the purchase price cannot be more than 5% below the market
price per share. The DRIP provides a cost-effective means to accumulate
additional shares and enjoy the benefits of compounding returns over time.
Since the Fund endeavors to maintain a stable monthly distribution, the DRIP
plan effectively provides an income averaging technique, which causes
shareholders to accumulate a larger number of Fund shares when the market price
is depressed than when the price is higher.
During the semiannual period ended November 30, 2009, the Fund paid monthly
dividends of $0.154 per share.
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,
their views on the economy and market environment, and detailed information
about the factors that impacted the Fund's performance.
We appreciate your investment and look forward to serving your investment needs
in the future. For the most up-to-date information on your investment, please
visit the Fund's website at www. claymore.com/gof.
Sincerely,
/s/ J. Thomas Futrell
J. Thomas Futrell
Chief Executive Officer
Claymore/Guggenheim Strategic Opportunities Fund
4 | Semiannual Report | November 30, 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, LLC
(formerly known as 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 semiannual fiscal period ended November
30, 2009.
--------------------------------------------------------------------------------
1. PLEASE 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 seeks to enhance the level of distributions by utilizing financial
leverage through borrowings, reverse repurchase agreements or other forms of
debt. As of November 30, 2009, the amount of leverage was approximately 28% of
the Fund's total assets.
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.
--------------------------------------------------------------------------------
2. PLEASE TELL US ABOUT THE MARKET ENVIRONMENT OVER THE LAST SIX MONTHS.
Markets for both equity and fixed income securities have improved dramatically
over the last six months. This improvement followed an extremely volatile
period for financial markets in late 2008 and the early months of 2009 that was
characterized by sharp declines in the values of most non-government
securities. Beginning in March 2009, the outlook for
Semiannual Report | November 30, 2009 | 5
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
the global economy began to improve. Since then there has been a dramatic
improvement in consumer confidence and many business indicators. A strong rally
began concurrent with the improving outlook for the economy. In the third
calendar quarter of 2009, the U.S. economy, as measured by gross domestic
product ("GDP"), achieved positive real growth (the most recent estimate of GDP
growth for the quarter was 2.8%), providing evidence that the recession has
likely ended.
A strong recovery in the financial markets has produced highly positive returns
for most non- government securities, as investors became more comfortable with
risk, meaning they are willing to buy equities, 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, U.S. government bonds,
although posting positive returns, were the worst performers in the six months
ended November 30, 2009, while some of the riskiest securities, such as bonds
with speculative grade credit ratings, have posted double digit returns.
The Standard & Poor's 500 Index, which is generally regarded as an indicator of
the broad U.S. stock market, returned 20.50% for the six months ended November
30, 2009. World equity markets also improved dramatically: the MSCI World
Index, which measures performance of world equity markets, returned 19.53% .
Bonds also provided solid returns over this six-month period: the Barclays
Aggregate Bond Index, which is a proxy for the investment grade bond market,
returned 6.21% for the period. The return of the Barclays U.S. Corporate High
Yield Index was 20.80% and the Barclays Commercial Backed Mortgage Securities
Index returned 16.64% over the six month period. Other non-government
securities, such as investment grade corporate bonds, bank loans and
asset-based securities have also performed very well. The return of the
Barclays Capital U.S. Treasury Bill 1-3 Months Index was just 0.08%, a clear
reflection of the record low Fed Funds target rate set between zero and 0.25% .
Indices are unmanaged and it is not possible to invest directly in an index.
--------------------------------------------------------------------------------
3. 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 six-month period
ended November 30, 2009, the Fund returned 36.19% on an NAV basis and 46.99% on
a market price basis. The closing price of the Fund's shares as of November 30,
2009, was $15.90, which represented a premium of 0.19% to the NAV of $15.87.
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.
An important 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 November 30,
2009, the Fund's NAV return on an annualized basis was 3.98%, compared with the
annualized return of -9.99% for the S&P 500. Over this same period, the Fund's
annualized volatility has been approximately 10.7% . This compares with
annualized volatility of the Barclays Aggregate Bond Index (a proxy for bonds)
of approximately 5.2% and volatility of the S&P 500 Index of approximately
34.0% over the same period. Since inception, on an annualized basis, the Fund
has outperformed equities (as measured by the S&P 500 Index) by almost 14
percentage points with slightly higher volatility than fixed income and less
than one-third the volatility of equities. The volatility is measured by
calculating the standard deviation of the percentage changes in the Fund's
daily NAV and then annualizing these percentage changes. The relatively low
volatility of the Fund's NAV is attributable to its high level of
diversification across many different asset classes.
During the six-month period ended November 30, 2009, the Fund paid monthly
dividends of $0.154 per share.
--------------------------------------------------------------------------------
4. HOW WAS THE FUND ALLOCATED 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 this portfolio, they seek
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, the Fund
has been highly diversified, generally with exposure to over one dozen broad
sector classifications and dozens of subsectors within the major sectors.
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 extremely depressed prices because hedge funds and other 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 GPAM.
6 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
In order to take advantage of these opportunities, the Fund's position in U.S.
government and U.S. government agency securities, which performed well during
the financial crisis of late 2008 and early 2009, was reduced to just 1% of the
Fund's total investments as of November 30, 2009. This proved to be a good
decision, as returns on these securities were just marginally positive during
the recent strong market recovery, while most corporate and structured finance
related securities held by the Fund have posted double digit returns; although
there is no guarantee these securities will continue such performance, GPAM
believes positive performance is possible.
In recent months, GPAM has sold securities that had rallied to the point that
some of them had yields of 6% or less and reinvested the proceeds in securities
that GPAM believes have the potential to provide much higher returns over the
coming years. Example of the types of securities sold include investment-grade
corporate bonds, bank loans, auto related asset-backed securities ("ABS") and
non-traditional commercial mortgage-backed securities ("CMBS"), such as those
backed by cell towers and timber. These securities were replaced with securities
that GPAM believes are undervalued, such as conduit CMBS, non-agency residential
mortgages, ABS, select high yield bonds and a few preferred securities that were
attractively priced. These higher return potential securities are carefully
researched, and GPAM is very selective, often choosing securities that are
secured or that have a high position in the issuing entity's capital structure.
GPAM believes that many of the securities purchased have the potential to
provide double digit returns over the coming years.
The Fund's positioning proved to be very advantageous over the six-month period
ended November 30, 2009, with highly positive total returns as well as
attractive levels of income from nearly all asset classes. The best performing
securities were generally asset-backed securities, commercial mortgage-backed
securities, preferred stocks, bank loans and equities. The lowest returns came
from the Fund's very small position in U.S. government and U.S. government
agency securities.
--------------------------------------------------------------------------------
5. 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 when the
cost of leverage is less than the total return generated by investments, the use
of leverage contributed to the Fund's total return during this period.
From the Fund's inception through late 2008, GPAM employed leverage through
reverse repurchase agreements, under which they lend securities and receive
cash in return which can be used for additional investments. In November 2008,
the Fund entered into a new committed financing facility through BNP Paribas, a
leading European bank. GPAM currently employs leverage via both reverse
repurchase agreements and the BNP Paribas facility.
--------------------------------------------------------------------------------
6. WHAT IS THE CURRENT OUTLOOK FOR THE MARKETS AND THE FUND, AND HOW IS THE
FUND POSITIONED FOR THIS OUTLOOK?
GPAM believes that the markets will perform well in 2010, though not as well as
in 2009, when markets for essentially all non-government securities and
equities bounced back sharply from extremely depressed valuations. As liquidity
conditions continue to improve, it is likely that asset values will continue to
increase. Rising asset values have historically led to improved levels of GDP
growth. Securities that carry credit risk, including investment grade corporate
bonds, high yield bonds, bank loans, ABS, CMBS and non-agency mortgage backed
securities are all trading at spreads wider than the historic norm relative to
treasuries. Given GPAM's outlook for an improving economy in 2010, it seems
likely that the trend will be for risk asset valuations to continue to rise,
however, investors should not be surprised to see a correction at some point.
In addition, many of the securities that were purchased for the Fund over the
last six months have double digit yields. So, while there is no guarantee,
continued strong performance seems quite possible.
GPAM believes that the U.S. economy will perform better in 2010 than the
consensus forecast, which is calling for real growth of about 2.0% to 2.5% .
Continued stimulus, both from the Federal Reserve and from government spending
programs, will provide a favorable environment for growth. In addition,
temporary hiring has improved which typically leads to increases in full time
employment and retail sales have risen. Other signs of improvement can be found
in the stabilization of business investment and signs of stabilization in the
housing market. Economic activity outside the U.S. is recovering and that
should benefit U.S. exporters, who should also be aided by the recent decline
in the U.S. dollar. High levels of worker productivity coupled with benign wage
pressures will likely provide a favorable back drop for strong corporate profit
growth in 2010.
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
Semiannual Report | November 30, 2009 | 7
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
opportunities that have prevailed since the summer of 2007 when the Fund was
launched. In 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 that have existed in the marketplace over the last two years.
GPAM continues to believe that a portfolio that is highly diversified across
many asset classes, such as those represented by the Fund, can be of great
value to investors in a wide variety of market conditions.
--------------------------------------------------------------------------------
INDEX DEFINITIONS
Indices are unmanaged, reflect no expenses 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 U.S. Corporate High Yield Index is an unmanaged index of below
investment grade bonds issued by U.S. corporations.
The Barclays Commercial Mortgage Backed Securities Index is an unmanaged index
of securities secured by mortgages on commercial real estate.
Barclays Capital U.S. Treasury Bill 1-3 Months Index tracks the performance of
U.S. Treasury bills with a remaining maturity of one to three months. U.S.
Treasury bills, which are short-term loans to the U.S. government, are
full-faith-and-credit obligations of the U.S. Treasury and are generally
regarded as being free of any risk of default.
--------------------------------------------------------------------------------
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.
8 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | QUESTIONS & ANSWERS
continued
CONVERTIBLE SECURITIES RISK: As with all income securities, the market values
of convertible securities tend to decline as interest rates increase and,
conversely, to increase as interest rates decline. Convertible securities also
tend to reflect the market price of the underlying stock in varying degrees,
depending on the relationship of such market price to the conversion price in
the terms of the convertible security.
EQUITY RISK: Common equity securities' prices fluctuate for a number of
reasons, including changes in investors' perceptions of the financial condition
of an issuer, the general condition of the relevant stock market, and broader
domestic and international political and economic events.
REAL ESTATE SECURITIES RISK: Because of the Fund's ability to invest in
securities of companies in the real estate industry and to make indirect
investments in real estate, it is subject to risks associated with the direct
ownership of real estate, including declines in the value of real estate;
general and local economic conditions; increased competition; and changes in
interest rates. Because of the Fund's ability to make indirect investments in
natural resources and physical commodities, and in real property asset
companies, the Fund is subject to risks associated with such real property
assets, including supply and demand risk, depletion risk, regulatory risk and
commodity pricing risk.
PERSONAL PROPERTY ASSET COMPANY RISK: The Fund may invest in personal property
asset companies such as special situation transportation assets. The risks of
special situation transportation assets include cyclicality of supply and
demand for transportation assets and risk of decline in the value of
transportation assets and rental values. Private Securities Risk Private
securities have additional risk considerations than with investments in
comparable public investments.
INFLATION/DEFLATION RISK: There is a risk that the value of assets or income
from investments will be worth less in the future as inflation decreases the
value of money.
DIVIDEND RISK: Dividends on common stock and other common equity securities
which the Fund may hold are not fixed but are declared at the discretion of an
issuer's board of directors. There is no guarantee that the issuers of the
common equity securities in which the Fund invests will declare dividends in
the future or that, if declared, they will remain at current levels or increase
over time.
PORTFOLIO TURNOVER RISK: The Fund's annual portfolio turnover rate may vary
greatly from year to year. A higher portfolio turnover rate results in
correspondingly greater brokerage commissions and other transactional expenses
that are borne by the Fund. High portfolio turnover may result in an increased
realization of net short-term capital gains by the Fund which, when distributed
to common shareholders, will be taxable as ordinary income. Additionally, in a
declining market, portfolio turnover may create realized capital losses.
DERIVATIVES RISK: The Fund may be exposed to certain additional risks should the
Sub-Adviser use derivatives as a means to synthetically implement the Fund's
investment strategies. If the Fund enters into a derivative instrument whereby
it agrees to receive the return of a security or financial instrument or a
basket of securities or financial instruments, it will typically contract to
receive such returns for a predetermined period of time. During such period, the
Fund may not have the ability to increase or decrease its exposure. In addition,
such customized derivative instruments will likely be highly illiquid, and it is
possible that the Fund will not be able to terminate such derivative instruments
prior to their expiration date or that the penalties associated with such a
termination might impact the Fund's performance in a material adverse manner.
Furthermore, derivative instruments typically contain provisions giving the
counterparty the right to terminate the contract upon the occurrence of certain
events. If a termination were to occur, the Fund's return could be adversely
affected as it would lose the benefit of the indirect exposure to the reference
securities and it may incur significant termination expenses.
FOREIGN SECURITIES AND EMERGING MARKETS RISK: Investing in foreign issuers may
involve certain risks not typically associated with investing in securities of
U.S. issuers due to increased exposure to foreign economic, political and legal
developments, including favorable or unfavorable changes in currency exchange
rates, exchange control regulations, expropriation or nationalization of
assets, imposition of withholding taxes on payments and possible difficulty in
obtaining and enforcing judgments against foreign entities. Furthermore,
issuers of foreign securities and obligations are subject to different, often
less comprehensive, accounting, reporting and disclosure requirements than
domestic issuers. The securities and obligations of some foreign companies and
foreign markets are less liquid and at times more volatile than comparable U.S.
securities, obligations and markets. These risks may be more pronounced to the
extent that the Fund invests a significant amount of its assets in companies
located in one region and to the extent that the Fund invests in securities of
issuers in emerging markets. Heightened risks of investing in emerging markets
include: smaller market capitalization of securities markets, which may suffer
periods of relative illiquidity; significant price volatility; restrictions on
foreign investment; and possible repatriation of investment income and
capital.
FINANCIAL LEVERAGE RISK: Although the use of Financial Leverage by the Fund may
create an opportunity for increased total return for the Common Shares, it also
results in additional risks and can magnify the effect of any losses. If the
income and gains earned on securities purchased with Financial Leverage
proceeds are greater than the cost of Financial Leverage, the Fund's return
will be greater than if Financial Leverage had not been used. Conversely, if
the income or gains from the securities purchased with such proceeds does not
cover the cost of Financial Leverage, the return to the Fund will be less than
if Financial Leverage had not been used. Financial Leverage involves risks and
special considerations for shareholders, including the likelihood of greater
volatility of net asset value and market price of and dividends on the Common
Shares than a comparable portfolio without leverage; the risk that fluctuations
in interest rates on borrowings or in the dividend rates on any preferred
shares that the Fund must pay will reduce the return to the Common
Shareholders; and the effect of Financial Leverage in a declining market, which
is likely to cause a greater decline in the net asset value of the Common
Shares than if the Fund were not leveraged, which may result in a greater
decline in the market price of the Common Shares. There can be no assurance
that a leveraging strategy will be implemented or that it will be successful
during any period during which it is employed.
In addition to the risks described above, the Fund is also subject to: Income
Securities Risk, Foreign Currency Risk, Risks Associated with the Fund's Covered
Call Option Strategy, Risks of Real Property Asset Companies, Risks of Personal
Property Asset Companies, Private Securities Risk, Derivative Transactions
Risks, Investment Funds Risk, Private Investment Funds Risk, Affiliated
Investment Funds Risk, Synthetic Investments Risk, Inflation/Deflation Risk,
Anti-Takeover Provisions, Market Discount Risk, and Current Developments Risks.
Please see www.claymore.com/gof for a more detailed discussion about Fund risks
and considerations.
Semiannual Report | November 30, 2009 | 9
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Fund SUMMARY | AS OF NOVEMBER 30, 2009 (unaudited)
FUND STATISTICS
------------------------------------------------------
Share Price $15.90
Common Share Net Asset Value $15.87
Premium/Discount to NAV 0.19%
Net Assets Applicable to Common Shares ($000) $145,511
------------------------------------------------------
TOTAL RETURNS
------------------------------------------------------
(INCEPTION 7/27/07) MARKET NAV
------------------------------------------------------
Six Months 46.99% 36.19%
One Year 82.33% 50.72%
Since Inception - average annual 3.00% 3.98%
------------------------------------------------------
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
-----------------------------------------------------------------------------
Commercial Mortgage Pass Through Certificates, Ser. 2006-C7,
Class A4, AAA, NR,
5.961%, 6/10/46 7.0%
SPDR Trust, Series 1 3.3%
Applebee's Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aa3,
6.427%, 12/20/37 3.0%
ARES CLO Funds, Ser. 2007-12A, Class B, AA, A3,
1.262%, 11/25/20 3.0%
Airplanes Pass Through Trust, Ser. 2001-1A, Class A9, CCC, B1,
0.789%, 3/15/19 2.8%
ProShares Ultra S&P500 2.6%
Aviation Capital Group Trust, Ser. 2003-2A, Class G1, A, Aa2,
0.937%, 9/20/33 2.3%
Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, BBB-, Baa3,
5.261%, 4/25/37 1.7%
Diamonds Resort, Ser. 2009-1, Class A, A, NR,
9.310%, 3/20/36 1.6%
Powershares QQQ 1.5%
-----------------------------------------------------------------------------
Portfolio composition and holdings are subject to change daily. For more
information, please visit www.claymore.com/gof. The above summaries are
provided for informational purposes only and should not be viewed as
recommendations. Past performance does not guarantee future results.
LINE CHART:
SHARE PRICE & NAV HISTORY
Share Price NAV
11/30/08 12.15 10.15
11.93 9.85
11.98 9.87
11.93 9.75
11.92 9.87
11.88 9.79
11.88 9.79
11.88 9.79
11.92 9.66
11.89 9.42
11.95 9.65
11.86 9.33
11.88 9.33
11.88 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
12.08 10.3
12.08 10.3
12.02 10.59
11.96 10.4
11.99 10.43
11.99 10.43
12.02 10.48
12.02 10.48
12.02 10.48
12.04 10.21
12.15 10.23
12.16 10.36
12.16 10.36
12.21 10.91
12.21 10.91
12.21 10.91
12.22 11
12.31 11.26
12.35 10.77
12.33 10.7
12.34 11.02
12.34 11.02
12.34 11.02
12.32 11.14
12.14 11.22
12.06 10.88
12.05 10.6
12.07 10.8
12.07 10.8
12.07 10.8
12.07 10.8
11.85 10.87
11.88 10.64
11.7 10.37
11.66 10.37
11.66 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
11.64 10.29
11.64 10.29
11.66 10.61
11.66 10.86
11.56 10.9
11.56 10.74
11.51 11.06
11.51 11.06
11.51 11.06
11.56 10.98
11.54 10.81
11.45 10.78
11.51 10.53
11.43 10.45
11.43 10.45
11.43 10.45
11.43 10.45
11.35 10.03
11.31 9.91
11.21 9.74
11.11 9.12
11.11 9.12
11.11 9.12
11.04 8.71
11.07 9.25
11.03 9.2
10.97 9.28
10.86 9.1
10.86 9.1
10.86 9.1
10.78 8.85
10.71 8.73
10.74 9.1
10.66 8.37
10.6 8.02
10.6 8.02
10.6 8.02
10.51 7.5
10.58 8.15
10.49 8.08
10.59 8.41
10.67 8.71
10.67 8.71
10.67 8.71
10.68 8.9
10.72 8.89
10.81 8.95
10.81 9.16
10.79 9.05
10.79 9.05
10.79 9.05
10.83 9.27
10.84 9.15
10.87 9.26
10.91 9.43
10.94 9.33
10.94 9.33
10.94 9.33
10.93 9.01
10.99 9.34
11.03 9.58
11.08 9.85
11.08 9.88
11.08 9.88
11.08 9.88
11.07 9.74
11.04 9.67
11.1 9.87
11.16 9.97
11.16 9.97
11.16 9.97
11.16 9.97
11.05 9.71
11.04 9.72
11.11 9.88
11.16 10
11.2 10.2
11.2 10.2
11.2 10.2
11.12 9.96
11.16 10.09
11.18 10.08
11.2 10.08
11.27 10.18
11.27 10.18
11.27 10.18
11.29 10.17
11.31 10.23
11.32 10.58
11.42 10.62
11.42 10.62
11.42 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
12.01 11.35
12.01 11.35
12.08 11.35
12.16 11.16
12.04 10.74
12.07 11.17
12.12 11.15
12.12 11.15
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 11.45
12.34 11.45
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
12.37 12.1
12.41 12.04
12.48 12.06
12.5 12.08
12.36 12.3
12.36 12.3
12.36 12.3
12.33 12.43
12.39 12.35
12.42 12.38
12.31 12.4
12.39 12.41
12.39 12.41
12.39 12.41
12.43 12.45
12.47 12.2
12.53 12.11
12.45 12.01
12.46 12.35
12.46 12.35
12.46 12.35
12.47 12.08
12.48 12.05
12.51 12.32
12.62 12.55
12.67 12.5
12.67 12.5
12.67 12.5
12.73 12.79
12.72 12.68
12.73 12.92
12.66 12.8
12.66 12.8
12.66 12.8
12.66 12.8
12.62 12.85
12.53 12.68
12.57 12.4
12.63 12.53
12.68 12.25
12.68 12.25
12.68 12.25
12.61 12.32
12.75 12.66
12.8 13.06
12.85 13.13
12.98 13.06
12.98 13.06
12.98 13.06
12.99 13.12
13.09 13.27
13.12 13.12
13.13 13.6
13.23 13.89
13.23 13.89
13.23 13.89
13.28 13.84
13.31 13.6
13.33 13.53
13.39 13.86
13.5 13.7
13.5 13.7
13.5 13.7
13.58 13.95
13.62 14.34
13.65 14.05
13.67 14.22
13.95 14.23
13.95 14.23
13.95 14.23
14.02 14.56
14.19 14.55
14.1 14.5
14.14 14.77
14.15 14.88
14.15 14.88
14.15 14.88
14.18 14.26
14.12 14.36
14.17 14.27
14.13 14.35
14.11 14.68
14.11 14.68
14.11 14.68
14.17 14.47
14.21 14.36
14.22 14.29
14.22 14.29
14.28 14.3
14.28 14.3
14.28 14.3
14.27 14.3
14.24 14.35
14.28 14.61
14.37 14.86
14.44 14.88
14.44 14.88
14.44 14.88
14.44 14.88
14.53 15.13
14.57 15.4
14.74 15.23
14.64 14.96
14.64 14.96
14.64 14.96
14.65 14.96
14.68 15.05
14.7 15.2
14.76 15.13
14.78 15.01
14.78 15.01
14.78 15.01
14.82 15.01
14.89 15.33
14.92 15.27
14.95 15.06
14.95 15.01
14.95 15.01
14.95 15.01
15.06 15.39
15.08 15.31
15.1 15.36
15.07 15.38
15.05 15.19
15.05 15.19
15.05 15.19
15.09 15.23
15.16 15.4
15.19 15.39
15.41 15.43
15.41 15.63
15.41 15.63
15.41 15.63
15.4 15.91
15.28 15.54
15.32 15.65
15.33 15.72
15.39 15.6
15.39 15.6
15.39 15.6
15.47 15.56
15.54 15.75
15.51 15.65
15.55 15.86
15.54 15.82
15.54 15.82
15.54 15.82
15.5 15.84
15.6 15.77
15.58 15.1
15.57 15.19
15.6 14.9
15.6 14.9
15.6 14.9
15.6 15.2
15.54 15.54
15.52 15.58
15.52 15.75
15.67 15.76
15.67 15.76
15.67 15.76
15.76 15.91
15.62 15.58
15.63 15.58
15.67 15.36
15.71 15.28
15.71 15.28
15.71 15.28
15.77 15.3
15.8 15.3
15.79 15.41
15.79 15.66
15.79 15.69
15.79 15.69
15.79 15.69
15.81 15.61
15.81 15.74
15.85 15.72
15.85 15.72
15.86 15.84
15.86 15.84
11/30/09 15.90 15.87
BAR CHART:
MONTHLY DIVIDENDS PER SHARE
Nov 08 0.154
Dec 0.154
Jan 09 0.154
Feb 0.154
Mar 0.154
Apr 0.154
May 0.154
Jun 0.154
Jul 0.154
Aug 0.154
Sep 0.154
Oct 0.154
Nov 09 0.154
PIE CHART:
PORTFOLIO COMPOSITION (% of Total Investments)
----------------------------------------------
ASSET CLASS
----------------------------------------------
Asset Backed Securities 43.5%
Collateralized Mortgage Obligations 23.3%
Corporate Bonds 16.8%
Exchange-Traded Funds 9.3%
Term Loans 3.7%
Preferred Stock 2.4%
U.S. Government and Agency Securities 1.0%
Options 0.0%*
----------------------------------------------
* Less than 0.1%
PIE CHART:
CREDIT QUALITY*
----------------------------------------------
AAA (Includes U.S.
Government Obligations) 30.0%
AA 12.9%
A 14.2%
BBB 14.2%
BB 7.5%
B 8.1%
CCC 2.6%
Common Stock/Other 10.5%
----------------------------------------------
* Represents higher of either S&P, Moody's or Fitch as a percentage of long term
investments
10 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Portfolio of INVESTMENTS | NOVEMBER 30, 2009 (unaudited)
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
-----------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 131.9%
CORPORATE BONDS -- 22.2%
ADVERTISING -- 0.3%
$ 400,000 MDC Partners, Inc., B+, B2
11.000%, 11/1/16 (Canada) (a) (b) 11/1/13 @ 105.50 $ 400,000
-----------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE -- 0.4%
565,000 Global Aviation Holdings Ltd., BB-, Ba3
14.000%, 8/15/13 (United Kingdom) (a) (b) 8/15/12 @ 110.50 559,350
-----------------------------------------------------------------------------------------------
AIRLINES -- 2.1%
1,351,819 America West Airlines LLC, Ser. 011G, BB+, B1
7.100%, 4/2/21 N/A 1,067,937
2,000,000 United Air Lines, Inc., BBB, Ba1
9.750%, 1/15/17 N/A 2,035,000
-----------------------------------------------------------------------------------------------
3,102,937
-----------------------------------------------------------------------------------------------
BANKS -- 8.3%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.300%, 10/31/49 (a) (b) 1/4/10 @ 100.00 700,840
1,250,000 Barclays Bank PLC, BBB+, Baa2
6.278%, 12/29/49 (United Kingdom) (a) (d) 12/15/34 @ 100.00 931,713
1,200,000 BNP Paribas, A, Aa3
7.195%, 6/29/49 (France) (a) (b) (d) 6/25/37 @ 100.00 1,104,000
1,000,000 Credit Agricole SA, A-, Aa3
6.637%, 5/29/49 (France) (a) (b) (d) 5/31/17 @ 100.00 790,000
1,500,000 Farm Credit Bank, Ser. 1, NR, A2
7.561%, 11/29/49 (a) (d) 12/15/13 @100.00 1,066,710
1,000,000 Fifth Third Bancorp, BBB-, Baa2
8.250%, 3/1/38 (a) N/A 958,783
1,000,000 KeyCorp Capital III, BB, Baa2
7.750%, 7/15/29 (a) N/A 873,293
1,250,000 Mellon Capital IV, Ser. 1, A-, A1
6.244%, 6/20/49 (a) (d) 6/20/12 @ 100.00 981,250
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.378%, 1/29/49 (a) (b) (d) 10/15/17 @ 100.00 1,042,450
700,000 PNC Preferred Funding Trust III, BBB, Baa2
8.700%, 2/19/49 (a) (b) (d) 3/15/13 @ 100.00 686,833
500,000 Rabobank Nederland NV, AA-, Aa2
11.000%, 12/29/49 (Netherlands) (a) (b) (d) 6/30/19 @ 100.00 618,204
1,400,000 Royal Bank of Scotland Group PLC, Ser. U, CC, B3
7.640%, 3/31/49 (United Kingdom) (a) (d) 9/29/17 @ 100.00 654,500
1,250,000 US AgBank FCB, A, A2
6.110%, 4/29/49 (a) (b) (d) 7/10/12 @ 100.00 710,050
1,000,000 Wells Fargo Capital XIII, Ser. GMTN, A-, Ba1
7.700%, 12/29/49 (a) (d) 3/26/13 @ 100.00 910,000
-----------------------------------------------------------------------------------------------
12,028,626
-----------------------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.2%
250,000 R.R. Donnelley & Sons Co., BBB, Baa3
11.250%, 2/1/19 (a) N/A 312,215
-----------------------------------------------------------------------------------------------
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
-------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 2.2%
Hampton Roads PPV LLC, NR, Baa2 (a) (b)
$ 1,000,000 6.071%, 12/15/41 N/A $ 779,640
1,000,000 6.171%, 6/15/53 N/A 763,930
2,000,000 Svensk Exportkredit AB, A, NR
6.375%, 10/29/49 (Sweden) (a) (b) 3/27/10 @ 100.00 1,655,226
-------------------------------------------------------------------------------------------------
3,198,796
-------------------------------------------------------------------------------------------------
ELECTRIC -- 0.6%
1,000,000 Wisoncsin Energy Corp., BBB-, Baa1
6.250%, 5/15/67 (a) (d) 5/15/17 @ 100.00 882,500
-------------------------------------------------------------------------------------------------
ENTERTAINMENT AND GAMING -- 2.0%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.350%, 10/1/15 (b) N/A 944,930
500,000 Downstream Development Authority of the
Quapaw Tribe of Oklahoma, B-, Caa1
12.000%, 10/15/15 (b) 10/15/11 @ 109.00 402,500
500,000 Indianapolis Downs LLC/Indiana Downs Capital Corp.,
CCC, Caa2 11.000%, 11/1/12 (b) 11/1/10 @ 105.50 304,375
700,000 Lions Gate Entertainment, Inc., B, B1
10.250%, 11/1/16 (b) 11/1/13 @ 105.13 680,750
600,000 River Rock Entertainment Authority (The), B+, B2
9.750%, 11/1/11 (a) 1/4/10 @ 100.00 552,000
-------------------------------------------------------------------------------------------------
2,884,555
-------------------------------------------------------------------------------------------------
FOOD & BEVERAGE -- 0.3%
500,000 Panda Restaurant, NR, NR,
6.600%, 8/23/17 (e) 389,055
-------------------------------------------------------------------------------------------------
HEALTH CARE -- 0.2%
250,000 Apria Healthcare Group, Inc., BB+, Baa2
11.250%, 11/1/14 (a) (b) 11/1/11 @ 105.63 273,750
-------------------------------------------------------------------------------------------------
INSURANCE -- 4.3%
1,000,000 Allstate Corp. (The), BBB, Baa1
6.500%, 5/15/57 (a) (d) 5/15/37 @ 100.00 830,000
1,000,000 American Financial Group, Inc., BBB, Baa2
9.875%, 6/15/19 (a) N/A 1,117,585
1,000,000 AXA SA, BBB+, Baa1
6.463%, 12/14/49 (France) (a) (b) (d) 12/14/18 @ 100.00 761,250
400,000 Blue Coast Ltd., Ser. A, B+, NR
9.819%, 12/8/10 (Cayman Islands) (b) (e) (f) N/A 388,692
700,000 Blue Fin Ltd., BB+, NR
4.684%, 4/10/12 (Cayman Islands) (a) (b) (e) (f) 4/8/10 @ 101.00 623,840
1,000,000 Metlife Capital Trust IV, BBB, Baa1
7.875%, 12/15/37 (a) (b) 12/15/32 @ 100.00 950,000
500,000 National Life Insurance Co., A-, Baa1
10.500%, 9/15/39 (a) (b) N/A 506,725
1,250,000 Progressive Corp. (The), A-, A2
6.700%, 6/15/37 (a) (d) 6/15/17 @ 100.00 1,062,500
-------------------------------------------------------------------------------------------------
6,240,592
-------------------------------------------------------------------------------------------------
See notes to financial statements.
Semiannual Report | November 30, 2009 | 11
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS (unaudited) continued
PRINCIPAL OPTIONAL CALL
AMOUNT DESCRIPTION PROVISION VALUE
------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES -- 0.6%
Allied Capital Corp., BB, B1 (a)
$ 695,000 6.625%, 7/15/11 N/A $ 640,889
290,000 6.000%, 4/1/12 N/A 246,144
------------------------------------------------------------------------------------------------------
887,033
------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.7%
1,086,000 Clearwire Communications LLC/Clearwire Finance, Inc.,
B-, Caa1 12.000%, 12/1/15 (b) 12/1/12 @ 106.00 1,071,067
------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS -- 22.2%
(Cost $36,646,244) 32,230,476
------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 57.3%
COLLATERALIZED DEBT OBLIGATIONS -- 2.7%
2,118,005 Aspen Funding I Ltd., Ser. 2002-1A, Class A1L, AAA, Ba1,
0.884%, 7/10/37 (Cayman Islands) (b) (e) 1,143,723
1,192,021 Coronado CDO Ltd., Ser. 1X, Class A1, BB+, B3,
1.166%, 9/4/38 (Cayman Islands) (e) 655,611
4,485,925 Duke Funding Ltd., Ser. 2003-5A, Class 1W, CCC, Caa2,
0.825%, 8/7/33 (Cayman Islands) (b) (e) 1,525,214
719,181 MWAM CBO Ltd., Ser. 2001-1A, AA, A3,
1.486%, 1/30/31 (Cayman Islands) (b) (e) 532,194
------------------------------------------------------------------------------------------------------
3,856,742
------------------------------------------------------------------------------------------------------
COLLATERALIZED LOAN OBLIGATIONS -- 19.7%
7,500,000 ARES CLO Funds, Ser. 2007-12A, Class B, AA, A3,
1.262%, 11/25/20 (Cayman Islands) (b) (e) 5,775,000
635,902 Armstrong Loan Funding Ltd., Ser. 2008-1A,
Class B, AAA, Aa3,
1.281%, 8/1/16 (Cayman Islands) (b) (e) 544,567
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A,
Class B, AA, Baa2,
0.671%, 4/29/19 (Cayman Islands) (a) (b) (e) 1,439,680
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A,
Class C, A, Ba2,
0.971%, 4/29/19 (Cayman Islands) (a) (b) (e) 1,233,720
1,936,267 Callidus Debt Partners Fund Ltd., Ser. 6A,
Class A1T, AAA, A3,
0.543%, 10/23/21 (Cayman Islands) (b) (c) (e) 1,671,037
750,000 CapitalSource Commercial Loan Trust, Ser. 2006-2A,
Class A1B, AAA, Aaa,
0.567%, 9/20/22 (b) (e) 572,835
606,439 CapitalSource Commercial Loan Trust, Ser. 2006-2A,
Class APT, AAA, Aaa,
0.477%, 9/20/22 (b) (e) 545,795
1,000,000 Friedbergmilstein Private Capital Fund, Ser. 2004-1A,
Class B2, AA, A3,
5.409%, 1/15/19 (Cayman Islands) (b) (c) 867,460
614,759 GE Commercial Loan Trust, Ser. 2006-1,
Class A2, AAA, Aa3,
0.514%, 4/19/17 (a) (b) (c) (e) 520,549
PRINCIPAL
AMOUNT DESCRIPTION VALUE
--------------------------------------------------------------------------------------
$ 800,000 Mountain View Funding CLO, Ser. 2007-3A,
Class A2, AAA, A3,
0.624%, 4/16/21 (Cayman Islands) (b) (e) $ 632,000
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
0.682%, 11/24/20 (Cayman Islands) (b) (e) 789,960
1,500,000 Rosedale CLO Ltd., Ser. I-A, Class A1J, A+, Baa1,
0.692%, 7/24/21 (Cayman Islands) (b) (e) 1,192,500
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, A, Ba2,
1.539%, 9/22/16 (Cayman Islands) (a) (b) (e) 1,231,120
600,000 Start CLO Ltd., Ser 2006-2, Class C, A+, Baa1,
1.033%, 6/29/12 (Cayman Islands) (e) 497,724
1,000,000 Start CLO Ltd., Ser 2006-2, Class D, BBB+, Baa3,
2.133%, 6/29/12 (Cayman Islands) (e) 751,800
400,000 Start CLO Ltd., Ser. 2006-3A, Class C, A-, A1,
1.022%, 6/7/11 (Cayman Islands) (b) (e) 378,296
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1,
2.072%, 6/7/11 (Cayman Islands) (b) (e) 500,120
100,000 Start CLO Ltd., Ser 2006-3X, Class F, NR, NR,
17.322%, 6/7/11 (Cayman Islands) (e) 77,000
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1,
1.833%, 12/26/11 (Cayman Islands) (a) (b) (e) 412,400
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1,
3.883%, 12/26/11 (Cayman Islands) (a) (b) (e) 765,890
100,000 Start CLO Ltd., Ser 2007-4X, Class E, BB+, Ba1,
3.883%, 12/26/11 (Cayman Islands) (e) 74,854
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
1.184%, 6/15/16 (Cayman Islands) (b) (c) (e) 1,922,220
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR,
2.234%, 6/15/16 (Cayman Islands) (b) (c) (e) 1,400,560
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR,
5.793%, 9/1/17 (Cayman Islands) (b) (c) 780,975
4,000,000 Telos CLO Ltd., Ser. 2006-1A, Class A2, AAA, Aa2,
0.684%, 10/11/21 (Cayman Islands) (b) (e) 2,800,000
2,500,000 Telos CLO Ltd., Ser. 2006-1A, Class B, AA, A2,
0.774%, 10/11/21 (Cayman Islands) (b) (e) 1,250,000
--------------------------------------------------------------------------------------
28,628,062
--------------------------------------------------------------------------------------
COMMERCIAL REAL ESTATE -- 1.1%
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A,
Class A1, AAA, Aa3,
0.587%, 11/21/40 (Cayman Islands) (b) (c) (e) 1,584,980
--------------------------------------------------------------------------------------
COMMERCIAL RECEIVABLES -- 2.3%
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2,
0.642%, 6/5/12 (b) (e) 1,796,880
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR,
15.262%, 11/25/12 (Cayman Islands) (a) (b) (e) 1,602,740
--------------------------------------------------------------------------------------
3,399,620
--------------------------------------------------------------------------------------
See notes to financial statements.
12 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS (unaudited) continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
-------------------------------------------------------------------------------------------------
CORPORATE DEBT OBLIGATIONS -- 0.7%
$ 950,194 Muzinich CBO II Ltd., Ser. A2-A, AA+, B1,
7.150%, 10/15/13 (Bermuda) (b) (c) $ 911,027
162,895 Phoenix Funding Ltd., Ser. 2001-1, AA, Aa2,
0.959%, 4/15/13 (e) 143,567
-------------------------------------------------------------------------------------------------
1,054,594
-------------------------------------------------------------------------------------------------
CREDIT CARDS -- 0.4%
500,000 1st Financial Bank USA, Ser. 2009-B, Class D, BBB-, NR,
11.000%, 4/15/15 (b) 502,305
-------------------------------------------------------------------------------------------------
FINANCIALS -- 0.0%*
44,940 Blue Falcon, Ser. A-2, NR, NR,
5.460%, 12/25/16 (b) 45,245
-------------------------------------------------------------------------------------------------
INSURANCE -- 2.2%
1,822,385 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A, BBB, Baa1,
6.150%, 10/15/48 (a) (b) 1,565,155
461,915 321 Henderson Receivables I LLC, Ser. 2008-1A, Class A, AAA, Aaa,
6.190%, 1/15/44 (a) (b) 401,778
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class B, AA, NR,
8.370%, 1/15/46 (a) (b) 393,205
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR,
9.360%, 1/15/48 (a) (b) 412,080
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB, NR,
10.810%, 1/15/50 (a) (b) 432,495
100,000 Ballantyne Re PLC, Ser. 2006-1A, Class A2A, CC, NR,
0.545%, 5/2/36 (b) (e) 20,000
-------------------------------------------------------------------------------------------------
3,224,713
-------------------------------------------------------------------------------------------------
RESIDENTIAL LOANS -- 0.5%
500,000 GSAA Trust, Ser. 2007-5, Class 1F2A, CCC, Caa1,
5.788%, 3/25/47 (a) (e) 209,434
869,157 Structured Asset Securities Corp., Ser. 2007-BNC1, Class A2, CCC, NR,
1.336%, 10/25/37 (e) 554,462
-------------------------------------------------------------------------------------------------
763,896
-------------------------------------------------------------------------------------------------
STUDENT LOANS -- 0.3%
391,848 MRU Student Loan Trust, Ser. 2008-A, Class A1A, AAA, NR,
7.400%, 1/25/41 (b) (c) 256,865
202,567 MRU Student Loan Trust, Ser. 2008-A, Class B, AA, NR,
5.782%, 1/25/41 (b) (c) (e) 90,769
202,567 MRU Student Loan Trust, Ser. 2008-A, Class C, A, NR,
7.782%, 1/25/41 (b) (c) (e) 107,027
-------------------------------------------------------------------------------------------------
454,661
-------------------------------------------------------------------------------------------------
TIMESHARES -- 3.3%
3,047,372 Diamonds Resort, Ser. 2009-1, Class A, A, NR,
9.310%, 3/20/36 (a) (b) 3,046,968
1,609,753 Sierra Receivables Funding Co., Ser. 2006-1A, Class A1, BBB-, Baa3,
5.840%, 5/20/18 (a) (b) 1,599,910
128,578 Special Asset Facility, Ser. 2009-A, Class A, NR, NR,
9.000%, 2/20/25 (a) (b) 127,629
-------------------------------------------------------------------------------------------------
4,774,507
-------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
---------------------------------------------------------------------------------------------------
TRANSPORTATION -- 13.4%
$ 2,230,427 Aircraft Certificate Owner Trust, Ser. 2003-1A, Class D, BB+, Ba3,
6.455%, 9/20/22 (b) $ 1,962,776
2,000,000 Aircraft Certificate Owner Trust, Ser. 2003-1A, Class E, BB+, Ba3,
7.001%, 9/20/22 (b) 1,326,080
2,518,540 Aircraft Lease Securitisation Ltd., Ser. 2007-1A, Class G3, A-, Baa1,
0.502%, 5/10/32 (Jersey) (b) (e) 1,737,793
1,209,606 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3,
0.614%, 3/15/19 (e) 1,144,589
13,500,000 Airplanes Pass Through Trust, Ser. 2001-1A, Class A9, CCC, B1,
0.789%, 3/15/19 (e) 5,400,000
1,129,270 Aviation Capital Group Trust, Ser. 2000-1A, Class A1, BB, Ba3,
1.219%, 11/15/25 (b) (e) 556,166
6,586,980 Aviation Capital Group Trust, Ser. 2003-2A, Class G1, A, Aa2,
0.937%, 9/20/33 (b) (e) 4,413,276
612,627 CLI Funding LLC, Ser. 2006-1A, Class A, BBB, Baa3,
0.418%, 8/18/21 (b) (e) 430,310
416,710 Helios Finance LP, Ser. 2007-S1, Class B1, BBB, Baa3,
0.937%, 10/20/14 (Cayman Islands) (b) (e) 386,553
433,851 Lease Investment Flight Trust, Ser. 1, Class A3, B+, Baa3,
0.669%, 7/15/16 (c) (e) 307,115
2,295,000 Triton Container Finance LLC, Ser. 2006-1A, BBB, Baa2,
0.406%, 11/26/21 (b) (e) 1,793,864
---------------------------------------------------------------------------------------------------
19,458,522
---------------------------------------------------------------------------------------------------
TRUST PREFERRED STOCKS -- 3.0%
6,000,000 Attentus CDO Ltd., Ser. 2007-3A, Class A1B, AAA, Aa3,
0.544%, 10/11/42 (Cayman Islands) (b) (e) 2,224,614
4,836,817 Preferred Term Securities XXIII Ltd., BBB-, B1,
0.609%, 12/22/36 (Cayman Islands) (b) (e) 2,152,383
---------------------------------------------------------------------------------------------------
4,376,997
---------------------------------------------------------------------------------------------------
WHOLE BUSINESS -- 7.7%
6,424,030 Applebee's Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aa3,
6.427%, 12/20/37 (a) (b) 5,812,976
3,760,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, BBB-, Baa3,
5.261%, 4/25/37 (a) (b) 3,226,009
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2,
5.144%, 3/20/37 (a) (b) 1,727,140
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2,
7.250%, 6/25/38 (b) (c) 500,772
---------------------------------------------------------------------------------------------------
11,266,897
---------------------------------------------------------------------------------------------------
TOTAL ASSET BACKED SECURITIES -- 57.3%
(Cost $80,636,458) 83,391,741
---------------------------------------------------------------------------------------------------
See notes to financial statements.
Semiannual Report | November 30, 2009 | 13
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS (unaudited) continued
PRINCIPAL
AMOUNT DESCRIPTION VALUE
---------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 30.7%
$ 500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2, Class G, A-, NR,
5.493%, 3/11/41 (b) (e) $ 330,145
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5, Class B, AA+, Aa2,
5.058%, 11/10/41 (a) (e) 644,256
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ, AAA, Aaa,
5.321%, 10/10/45 (a) (e) 476,066
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10, Class AJ, AAA, NR,
5.618%, 12/11/40 (a) (e) 1,153,372
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2, Class E, A-, A3,
5.023%, 10/15/41 (b) (e) 345,249
1,200,000 Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class AM, A, NR,
5.888%, 12/10/49 (e) 816,849
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2005-CD1,
Class AJ, AAA, Aaa,
5.399%, 7/15/44 (a) (e) 1,585,882
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-CN2A,
Class F, BB+, NR,
5.756%, 2/5/19 (a) (b) (e) 738,866
13,500,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-C7,
Class A4, AAA, NR,
5.961%, 6/10/46 (e) (m) 13,403,970
4,277,565 Countrywide Alternative Loan Trust, Ser. 2006-OA19, Class A1, CCC, Ba2,
0.417%, 2/20/47 (a) (e) 1,913,046
3,137,242 Countrywide Home Equity Loan Trust, Ser. 2004-S, Class 1A, CCC, B3,
0.479%, 2/15/30 (e) 1,247,843
1,643,024 Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8,
Class 4A1, B+, B2,
5.494%, 12/20/35 (e) 1,091,648
1,425,000 Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-TFLA,
Class K, AA+, Aaa,
1.539%, 2/15/20 (a) (b) (e) 1,399,196
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3,
Class AM, BBB-, Aaa,
6.020%, 6/15/38 (a) (e) 1,174,058
143,999 Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Ser. 2006-AB4,
Class A1A, CCC, Caa1,
6.005%, 10/25/36 (e) 80,678
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3,
Class AJ, AAA, Aa2,
4.859%, 8/10/42 (a) (e) 1,563,992
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5,
Class AJ, BBB, Aaa,
5.478%, 4/10/37 (a) (e) 653,990
PRINCIPAL
AMOUNT DESCRIPTION VALUE
--------------------------------------------------------------------------------------------------------
$ 600,000 GS Mortgage Securities Corp. II, Ser. 2001-GL3A,
Class E, NR, A3,
6.852%, 8/5/18 (b) (e) $ 516,293
843,544 Impac Secured Assets CMN Owner Trust, Ser. 2007-3,
Class A1A, CCC, Caa1,
0.346%, 9/25/37 (e) 439,956
1,468,769 Indymac Index Mortgage Loan Trust, Ser. 2006-AR9,
Class 3A1, AAA, B3,
5.692%, 6/25/36 (e) 1,104,245
700,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2002-C1,
Class E, A-, A2,
6.135%, 7/12/37 (b) 621,488
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP3,
Class AJ, BBB, Aaa,
5.105%, 8/15/42 (a) (e) 752,990
2,600,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11,
Class AM, BB+, Aaa,
6.006%, 6/15/49 (a) (e) 1,814,545
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR,
5.073%, 8/13/42 (a) (e) 1,532,192
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, A, NR,
5.370%, 12/15/43 (a) 963,846
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, AAA, NR,
5.984%, 8/12/41 (a) (e) 808,152
462,627 New Century Home Equity Loan Trust, Ser. 2004-A, Class AII9, BBB+, A2,
5.450%, 8/25/34 (e) 302,088
1,088,000 TBW Mortgage Backed Pass Through Certificates, Ser. 2006-6, Class A3, D, Caa2,
5.750%, 1/25/37 (g) 629,783
2,500,000 TBW Mortgage Backed Pass Through Certificates, Ser. 2006-6, Class A5B, D, Caa3,
6.040%, 1/25/37 (g) 1,188,925
2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4, Class AJ, AAA, NR,
6.073%, 8/15/39 (a) (e) 1,551,526
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2,
5.884%, 10/15/36 (a) (b) 675,000
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX, Class L, BB+, Ba1,
1.789%, 1/15/21 (b) (e) 889,865
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AJ, BBB-, Aaa,
5.310%, 7/15/42 (a) (e) 1,541,575
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21, Class AJ, AAA, Aaa,
5.384%, 10/15/44 (a) (e) 793,538
--------------------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS -- 30.7%
(Cost $50,476,811) 44,745,113
--------------------------------------------------------------------------------------------------------
See notes to financial statements.
14 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS (unaudited) continued
NUMBER
OF SHARES DESCRIPTION VALUE
---------------------------------------------------------------------------------------
PREFERRED STOCK -- 3.2%
BANKS -- 1.5%
40,000 BB&T Capital Trust VI, 9.600% (a) $ 1,086,000
50,000 Santander Finance Preferred SA Unipersonal, 6.500% (Spain) (a) 1,157,500
---------------------------------------------------------------------------------------
2,243,500
---------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
50,000 Deutsche Bank Contingent Capital Trust II, 6.550% (a) 987,500
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.950% (h) 3,798
---------------------------------------------------------------------------------------
991,298
---------------------------------------------------------------------------------------
INSURANCE -- 0.3%
20,000 Aegon NV, 6.375% (Netherlands) (a) 336,600
3,800 ING Groep NV, 7.050% (Netherlands) (a) 65,702
---------------------------------------------------------------------------------------
402,302
---------------------------------------------------------------------------------------
TELECOMMUNICATION -- 0.7%
1,000 Centaur Funding Corp., 9.080% (Cayman Islands) (b) 987,812
---------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK -- 3.2%
(Cost $5,817,313) 4,624,912
---------------------------------------------------------------------------------------
EXCHANGE-TRADED FUNDS -- 12.3%
25,000 DIAMONDS Trust,Series I (a) (i) 2,589,000
66,000 Powershares QQQ (a) (i) 2,874,960
25,000 ProShares Ultra Dow30 (a) (i) 1,078,250
135,100 ProShares Ultra S&P500 (a) (i) 4,982,488
57,400 SPDR Trust, Series 1 (a) (i) 6,307,112
---------------------------------------------------------------------------------------
TOTAL EXCHANGE-TRADED FUNDS -- 12.3%
(Cost $17,614,776) 17,831,810
---------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
---------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES -- 1.3%
$ 2,000,000 Freddie Mac, Ser. 1, AAA, Aaa,
6.500%, 6/3/24 (a) (e)
(Cost $2,000,000) $ 1,900,000
---------------------------------------------------------------------------
TERM LOANS (J) -- 4.9%
CONSUMER PRODUCTS -- 0.6%
977,538 Navisite, Inc., B-, B3,
11.150%, 9/19/14 (e) 835,795
---------------------------------------------------------------------------
ELECTRONICS -- 1.1%
467,744 Clientlogic Corp., B+, B3,
5.768%, 1/30/14 (e) 402,260
1,279,142 GXS Corp., B+, Ba3,
9.250%, 10/18/14 (e) 1,273,808
---------------------------------------------------------------------------
1,676,068
---------------------------------------------------------------------------
HEALTHCARE, EDUCATION & CHILDCARE -- 1.0%
814,339 Aurora Diagnostics LLC, B-, B3,
4.530%, 12/10/12 (c) (e) 753,264
848,409 Embanet, B, B2,
3.290%, 6/28/12 (e) 695,695
---------------------------------------------------------------------------
1,448,959
---------------------------------------------------------------------------
HOME & OFFICE FURNISHINGS -- 0.4%
692,502 Centaur LLC, CCC+, B2,
11.250%, 11/9/14 (e) 611,708
---------------------------------------------------------------------------
LEISURE -- 0.9%
1,448,876 Bushnell Performance Optics, BB-, Ba3,
4.530%, 8/24/13 (e) 1,260,522
---------------------------------------------------------------------------
RETAIL STORES -- 0.9%
1,064,718 Deb Shops, Inc., B-, B3,
7.000%, 4/23/14 (e) 399,269
977,500 Mattress Firm, B, Ba3,
2.540%, 10/23/14 (e) 686,694
111,851 QVC, Inc., NR, NR,
3.740%, 3/3/11 (e) 110,174
100,666 QVC, Inc., NR, NR,
4.240%, 6/3/11 (e) 99,096
---------------------------------------------------------------------------
1,295,233
---------------------------------------------------------------------------
TOTAL TERM LOANS -- 4.9%
(Cost $8,551,279) 7,128,285
---------------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS -- 131.9%
(Cost $201,742,881) 191,852,337
---------------------------------------------------------------------------
See notes to financial statements.
Semiannual Report | November 30, 2009 | 15
GOF | Claymore/Guggenheim Strategic Opportunities Fund | PORTFOLIO OF
INVESTMENTS (unaudited) continued
EXPIRATION EXERCISE
CONTRACTS OPTIONS PURCHASED DATE PRICE VALUE
---------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED -- 0.0%*
40 CBOE S&P 500 Volatility Index (i) (k) (l)
(Cost $19,600) December 2009 20.00 $ 17,208
---------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 131.9%
(Cost $201,762,481) 191,869,545
Liabilities in excess of Other Assets -- (0.5%) (719,750)
Total Options Written -- (0.5%) (642,011)
Borrowings -- (17.0%) (24,727,551)
Reverse Repurchase Agreements -- (13.9%) (20,269,263)
---------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS -- 100.0% $ 145,510,970
===================================================================================================
* Less than 0.1%
AB -- Stock Company
CBO -- Collateralized Bond Obligation
CDO -- Collateralized Debt Obligation
CLO -- Collateralized Loan Obligation
FCB -- Farmers Credit Bureau
LLC -- Limited Liability Company
LP -- Limited Partnership
N/A -- Not Available
NV -- Publicly Traded Company
PLC -- Public Limited Company
SA -- Corporation
(a) All or a portion of this security has been physically segregated in
connection with swap agreements, line of credit, options and reverse
repurchase agreements. As of November 30, 2009, the total amount segregated
was $95,363,673.
(b) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At November 30,
2009, these securities amounted to $96,797,901 which represents 66.5% of
net assets applicable ot common shares.
(c) 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
$11,674,620 which represents 8.0% of net assets applicable to common
shares.
(d) Security has a fixed rate coupon which will convert to a floating or
variable rate coupon on a future date.
(e) Floating or Variable Rate Coupon. Rate shown is in effect at November 30,
2009.
(f) 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.
(g) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date.
(h) Non-income producing as security is in default.
(i) All or a portion of this security position represents cover for outstanding
options written.
(j) 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 prepay- ment
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.
(k) Non-income producing security.
(l) Represents 100 shares per contract.
(m) All or a portion of this security was acquired, and has been physically
segregated in connection with the Fund's participation in the Term
Asset-Backed Securities Loan Facility program (the "TALF program") operated
by the Federal Reserve Bank of New York. As of November 30, 2009, the total
amount physically segregated was $13,403,970. See Notes to Financial
Statements.
Ratings shown are per Standard & Poor's and Moody's. Securities classified as
NR are not rated.
EXPIRATION EXERCISE
CONTRACTS OPTIONS WRITTEN (k) DATE PRICE VALUE
------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN -- (0.5%)
40 CBOE S&P 500 Volatility Index (l) December 2009 $ 25.00 $ 5,754
250 DIAMONDS Trust, Series I (l) December 2009 103.00 47,000
660 Powershares QQQ (l) December 2009 43.00 74,580
250 ProShares Ultra Dow30 (l) December 2009 43.00 36,875
1,351 ProShares Ultra S&P500 (l) December 2009 37.00 170,901
900 S&P 500 Index December 2009 1,110.00 11,171
6,900 S&P 500 Index December 2009 1,090.00 155,825
574 SPDR Trust, Series 1 (l) December 2009 109.00 139,195
------------------------------------------------------------------------------------
TOTAL VALUE OF CALL OPTIONS WRITTEN
(Premiums received $640,125) 641,301
------------------------------------------------------------------------------------
PUT OPTIONS WRITTEN -- (0.0%*)
40 CBOE S&P 500 Volatility Index (l) December 2009 20.00 710
(Premiums received $800)
------------------------------------------------------------------------------------
TOTAL VALUE OF OPTIONS WRITTEN -- (0.5%)
(Premiums received $640,925) $ 642,011
====================================================================================
* Less than 0.1%
See notes to financial statements.
16 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of ASSETS AND LIABILITIES | NOVEMBER 30, 2009 (unaudited)
ASSETS
Investments in securities, at value (cost $201,762,481) $ 191,869,545
Cash 3,749,837
Restricted cash 1,340,000
Investments sold receivable 2,935,261
Unrealized appreciation on swaps 2,365,520
Interest receivable 1,351,632
Dividends receivable 8,467
Other assets 6,125
------------------------------------------------------------------------------------------------------------------------------
Total assets 203,626,387
------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Borrowings 24,727,551
Reverse repurchase agreements 20,269,263
Payable on TALF Loan 10,630,271
Unrealized depreciation on swaps 1,409,375
Options written at value (premiums received of $640,925) 642,011
Advisory fee payable 165,046
Interest due on borrowings 115,725
Administration fee payable 4,533
Accrued expenses and other liabilities 151,642
------------------------------------------------------------------------------------------------------------------------------
Total liabilities 58,115,417
------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 145,510,970
==============================================================================================================================
COMPOSITION OF NET ASSETS
Common stock, $.01 par value per share; unlimited number of shares authorized, 9,166,423
shares issued and outstanding $ 91,664
Additional paid-in capital 166,573,039
Accumulated net realized loss on investments, foreign currency transactions, options, futures and swaps (11,135,396)
Accumulated net unrealized depreciation on investments, options and swaps (8,937,877)
Distributions in excess of net investment income (1,080,460)
------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 145,510,970
==============================================================================================================================
NET ASSET VALUE (based on 9,166,423 common shares outstanding) $ 15.87
==============================================================================================================================
See notes to financial statements.
Semiannual Report | November 30, 2009 | 17
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of OPERATIONS | FOR THE SIX MONTHS ENDED NOVEMBER 30, 2009 (UNAUDITED)
INVESTMENT INCOME
Dividends $ 221,803
Interest 7,903,513
-----------------------------------------------------------------------------------------------------------------
Total income $ 8,125,316
-----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory fee 869,290
Professional fees 109,447
Custodian fee 78,131
Fund accounting fee 73,160
Trustees'fees and expenses 37,991
Printing expense 29,605
Administration fee 23,900
Line of credit fee 22,935
NYSE listing fee 10,615
Transfer agent fee 9,706
Insurance 9,254
Miscellaneous 6,517
Interest expense 452,630
-----------------------------------------------------------------------------------------------------------------
Total expenses 1,733,181
-----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 6,392,135
-----------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments 1,890,529
Options (1,499,491)
Swaps 1,567,946
Net change in unrealized appreciation (depreciation) on:
Investments 30,472,040
Options 328,023
Swaps 853,281
-----------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, OPTIONS, AND SWAP TRANSACTIONS 33,612,328
-----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 40,004,463
=================================================================================================================
See notes to financial statements.
18 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of CHANGES IN NET ASSETS |
FOR THE
SIX MONTHS ENDED FOR THE
NOVEMBER 30, 2009 YEAR ENDED
(UNAUDITED) MAY 31, 2009
-------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 6,392,135 $ 9,668,019
Net realized gain (loss) on investments, options, foreign currency transaction,
futures and swaps 1,958,984 (9,642,859)
Net change in unrealized appreciation(depreciation) on investments, options, unfunded
commitments and swaps 31,653,344 (29,632,229)
-------------------------------------------------------------------------------------------------------------------------------
Net increase(decrease) in net assets resulting from operations 40,004,463 (29,607,069)
-------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (8,440,491) (12,332,718)
Return of capital -- (4,493,766)
-------------------------------------------------------------------------------------------------------------------------------
(8,440,491) (16,826,484)
-------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Reinvestment of dividends 871,483 --
-------------------------------------------------------------------------------------------------------------------------------
Net increase from capital share transactions 871,483 --
-------------------------------------------------------------------------------------------------------------------------------
Total increase(decrease) in net assets 32,435,455 (46,433,553)
NET ASSETS
Beginning of period 113,075,515 159,509,068
-------------------------------------------------------------------------------------------------------------------------------
End of period (including accumulated undistributed net investment
income of ($1,080,460) and $967,896, respectively) $ 145,510,970 $ 113,075,515
===============================================================================================================================
See notes to financial statements.
Semiannual Report | November 30, 2009 | 19
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Statement of CASH FLOWS | FOR THE SIX MONTHS ENDED NOVEMBER 30, 2009 (UNAUDITED)
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations $ 40,004,463
-----------------------------------------------------------------------------------------------------------------------------------
ADJUSTMENTS TO RECONCILE NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH USED IN OPERATING AND INVESTING
ACTIVITIES:
Net unrealized appreciation on investments (30,472,040)
Net unrealized appreciation on options (328,023)
Net unrealized appreciation on swaps (853,281)
Net accretion of bond discount and amortization of bond premium (3,473,589)
Net realized loss on options 1,499,491
Net realized gain on investments (1,890,529)
Purchase of long-term investments (including options exercised) (87,738,269)
Cost of written options assigned and closed (4,399,867)
Proceeds from sale of long-term investments 71,047,147
Decrease in dividends receivable 3,961
Increase in interest receivable (120,873)
Decrease in receivable for investments sold 1,314,430
Decrease in other assets 9,779
Decrease in payable for investments purchased (2,885,624)
Increase in interest due on borrowings 103,325
Premiums received on call options written 4,306,234
Increase in advisory fee payable 45,808
Increase in administration fee payable 1,254
Increase in accrued expenses and other liabilities 31,853
-----------------------------------------------------------------------------------------------------------------------------------
Net Cash Used in Operating and Investing Activities (13,794,350)
-----------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Dividends paid to common shareholders (7,569,008)
Increase in reverse repurchase agreements 11,312,013
Increase in TALF loans 10,630,271
Increase in borrowings 2,600,000
-----------------------------------------------------------------------------------------------------------------------------------
Net Cash Provided by Financing Activities 16,973,276
-----------------------------------------------------------------------------------------------------------------------------------
Net increase in cash 3,178,926
CASH AT BEGINNING OF PERIOD 1,910,911
-----------------------------------------------------------------------------------------------------------------------------------
CASH AT END OF PERIOD* $ 5,089,837
-----------------------------------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: CASH PAID DURING THE PERIOD FOR INTEREST $ 336,905
===================================================================================================================================
* A portion of the ending cash balance is restricted.
See notes to financial statements.
20 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Financial HIGHLIGHTS |
FOR THE
SIX MONTHS ENDED FOR THE
PER SHARE OPERATING PERFORMANCE NOVEMBER 30, 2009 YEAR ENDED
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD (UNAUDITED) MAY 31, 2009
-------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.42 $ 17.52
-------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a) 0.70 1.06
Net realized and unrealized gain (loss) on investments, options, futures, swaps and
unfunded commitments 3.67 (4.31)
-------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 4.37 (3.25)
-------------------------------------------------------------------------------------------------------------------------------
COMMON SHARE OFFERING EXPENSES CHARGED TO PAID-IN-CAPITAL -- --
-------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (0.92) (1.36)
Return of capital -- (0.49)
-------------------------------------------------------------------------------------------------------------------------------
Total distributions (0.92) (1.85)
-------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.87 $ 12.42
===============================================================================================================================
MARKET VALUE, END OF PERIOD $ 15.90 $ 11.53
===============================================================================================================================
TOTAL INVESTMENT RETURN(c)
Net asset value 36.19% -18.37%
Market value 46.99% -19.51%
RATIOS AND SUPPLEMENTAL DATA
Net assets, applicable to common shareholders, end of period (thousands) $ 145,511 $ 113,076
Ratios to Average Net Assets applicable to Common Shares:
Total expenses, excluding interest expense 1.97%(d)(f) 2.06%(f)
Total expenses, including interest expense 2.67%(d)(f) 3.25%(f)
Net investment income, including interest expense 9.84%(d) 7.84%
Portfolio turnover (g) 43% 58%
Senior Indebtedness
Total Borrowings outstanding (in thousands) $ 55,627 $ 31,085
Asset coverage per $1,000 of indebtedness (e) $ 3,616 $ 4,638
FOR THE PERIOD
JULY 27, 2007*
PER SHARE OPERATING PERFORMANCE THROUGH
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD MAY 31, 2008
-----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 19.10(b)
-----------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a) 0.79
Net realized and unrealized gain (loss) on investments, options, futures, swaps and
unfunded commitments (0.99)
-----------------------------------------------------------------------------------------------------------
Total from investment operations (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 (0.98)
Return of capital (0.36)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.34)
-----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.52
===========================================================================================================
MARKET VALUE, END OF PERIOD $ 16.78
===========================================================================================================
TOTAL INVESTMENT RETURN(c)
Net asset value -1.40%
Market value -9.41%
RATIOS AND SUPPLEMENTAL DATA
Net assets, applicable to common shareholders, end of period (thousands) $ 159,509
Ratios to Average Net Assets applicable to Common Shares:
Total expenses, excluding interest expense 1.72%(d)(f)
Total expenses, including interest expense 3.36%(d)(f)
Net investment income, including interest expense 5.08%(d)
Portfolio turnover (g) 210%
Senior Indebtedness
Total Borrowings outstanding (in thousands) $ 76,016
Asset coverage per $1,000 of indebtedness (e) $ 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) Calculated by subtracting the Fund's total liabilities (not including the
borrowings) from the Fund's total assets and dividing by the total
borrowings.
(f) The ratios of total expenses to average net assets applicable to common
shares and to average managed assets do not reflect fees and expense
incurred indirectly by the Fund as a result of its investment in shares of
other investment companies. If these fees were included in the expense
ratio, the net impact to the expense ratios would be 0.03% for the six
months ended November 30, 2009, 0.08% for the year ended May 31, 2009 and
0.04% for the period ended May 31, 2008.
(g) Portfolio turnover is not annualized for periods less than one year.
See notes to financial statements.
Semiannual Report | November 30, 2009 | 21
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Notes to FINANCIAL STATEMENTS | NOVEMBER 30, 2009 (UNAUDITED)
Note 1 -- ORGANIZATION:
Claymore/Guggenheim Strategic Opportunities Fund (the "Fund") was organized as
a Delaware statutory trust on November 13, 2006. The Fund is registered as a
diversified, closed-end management investment company under the Investment
Company Act of 1940, as amended ("1940 Act").
The Fund's primary investment objective is to maximize total return through a
combination of current income and capital appreciation.
Note 2 -- ACCOUNTING POLICIES:
The preparation of the financial statements in accordance with U.S. generally
accepted accounting principles ("GAAP") 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.
In June 2009, the Financial Accounting Standards Board ("FASB") established the
FASB Accounting Standards CodificationTM ("ASC") as the single source of
authoritative accounting principles reorganized by the FASB in preparation of
financial statements in conformity with GAAP. The ASC superseded existing
non-grandfathered, non-U.S. Securities and Exchange Commission ("SEC")
accounting and reporting standards. The ASC did not change GAAP but rather
organized it into a hierarchy where all guidance with the ASC carried an equal
level of authority. The ASC became effective for financial statements issued
for interim and annual periods ending after September 15, 2009. The ASC did not
have a material effect of the Fund's financial statements.
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. dol lars 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, LLC (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.
For those securities where quotations or prices are not available, the
valuations are determined in accordance with procedures established in good
faith by the Board of Trustees. Valuations in accordance with these procedures
are intended to reflect each security's (or asset's) "fair value". Such "fair
value" is the amount that the Fund might reasonably expect to receive for the
security (or asset) upon its current sale. Each such determination should be
based on a consideration of all relevant factors, which are likely to vary from
one pricing context to another. Examples of such factors may include, but are
not limited to: (i) the type of security, (ii) the initial cost of the
security, (iii) the existence of any contractual restrictions on the security's
disposition, (iv) the price and extent of public trading in similar securities
of the issuer or of comparable companies, (v) quotations or evaluated prices
from broker-dealers and/or pricing services, (vi) information obtained from the
issuer, analysts, and/or the appropriate stock exchange (for exchange traded
securities), (vii) an analysis of the company's financial statements, and
(viii) an evaluation of the forces that influence the issuer and the market(s)
in which the security is purchased and sold (e.g. the existence of pending
merger activity, public offerings or tender offers that might affect the value
of the security).
The Fund adopted FASB ASC 820, Fair Value Measurements and Disclosures
("ASC820") (formerly known as the Statement of Financial Accounting Standard
("SFAS") No. 157) effective June 1, 2009. In accordance with ASC820, fair value
is defined as the price that the Fund would receive to sell an investment or
pay to transfer a liability in an orderly transaction with an independent buyer
in the principal market, or in the absence of a principal market the most
advantageous market for the investment or liability. ASC820 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 (e.g.
yield curves; benchmark interest rates; indices). Level 3 valuations are those
based upon unobservable inputs (e.g. discounted cash flow analysis; non-market
based methods used to determine fair valuation). The following table represents
the Fund's investments carried on the Statement of Assets and Liabilities by
caption and by level within the fair value hierarchy as of November 30, 2009:
DESCRIPTION
(VALUE IN $000S) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-----------------------------------------------------------------
Assets:
Corporate Bonds:
Advertising $ -- $ 400 $ -- $ 400
Aerospace/Defense -- 559 -- 559
Airlines -- 3,103 -- 3,103
Banks -- 12,029 -- 12,029
Commercial Services -- 312 -- 312
Diversified Financial Services -- 3,199 -- 3,199
Electric -- 882 -- 882
Entertainment and Gaming -- 2,884 -- 2,884
Food & Beverage -- 389 -- 389
Health Care -- 274 -- 274
Insurance -- 6,241 -- 6,241
Investment Companies -- 887 -- 887
Telecommunications -- 1,071 -- 1,071
22 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
DESCRIPTION
(VALUE IN $000S) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------------------------------------------------------------------------
Asset Backed Securities
Collateralized Debt Obligations $ -- $ 3,857 $ -- $ 3,857
Collateralized Loan Obligations -- 21,465 7,163 28,628
Commercial Real Estate -- -- 1,585 1,585
Commercial Receivables -- 3,400 -- 3,400
Corporate Debt Obligations -- 144 911 1,055
Credit Cards -- 502 -- 502
Financials -- 45 -- 45
Insurance -- 3,225 -- 3,225
Residential Loans -- 764 -- 764
Student Loans -- -- 455 455
Timeshares -- 4,774 -- 4,774
Transportation -- 19,151 307 19,458
Trust Preferred Stocks -- 4,377 -- 4,377
Whole Business -- 10,766 501 11,267
Preferred Stock 4,625 -- -- 4,625
Collateralized Mortgage Obligations -- 44,745 -- 44,745
Exchange-Traded Funds 17,832 -- -- 17,832
U.S. Government and Agency Securities -- 1,900 -- 1,900
Term Loans:
Consumer Products -- 836 -- 836
Electronics -- 1,676 -- 1,676
Healthcare, Education & Childcare -- 696 753 1,449
Home & Office Furnishings -- 612 -- 612
Leisure -- 1,260 -- 1,260
Retail Stores -- 1,295 -- 1,295
Interest Rate Swaps -- 1,944 -- 1,944
Total Return Swaps -- 422 -- 422
Call Options Purchased -- 17 -- 17
----------------------------------------------------------------------------
Total $ 22,457 $160,103 $11,675 $194,235
============================================================================
Liabilities:
Credit Default Swaps $ -- $ 1,397 $ -- $ 1,397
Total Return Swaps -- 12 -- 12
Options Written 469 173 -- 642
----------------------------------------------------------------------------
Total $ 469 $ 1,582 $ -- $ 2,051
============================================================================
The following table presents the activity of the Fund's investments measured at
fair value using significant unobservable inputs (Level 3 valuations) for the
period ended November 30, 2009.
LEVEL 3 HOLDINGS SECURITIES DERIVATIVES TOTAL
--------------------------------------------------------------------
(value in $000s)
Beginning Balance at 5/31/09 $ 33,038 $ -- $ 33,038
Total Realized Gain/Loss 37 -- 37
Change in Unrealized Gain/Loss (2,188) -- (2,188)
Net Purchases and Sales (470) -- (470)
Net Transfers In/Out (18,742) -- (18,742)
--------------------------------------------------------------------
Ending Balance at 11/30/09 $ 11,675 $ -- $ 11,675
====================================================================
(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. The swaps are valued daily at current market value and any
unrealized gain or loss is included in the Statement of Assets and Liabilities.
Gain or loss is realized on the termination date of the swap and is equal to
the difference between the Fund's basis in the swap and the proceeds of the
closing transaction, including any fees. During the period that the swap
agreement is open, the Fund may be subject to risk from the potential inability
of the counterparty to meet the terms of the agreement. The swaps involve
elements of both market and credit risk in excess of the amounts reflected on
the Statement of Assets and Liabilities. Upon termination of a swap agreement,
a payable to or receivable from swap counterparty is established on the
Statement of Assets and Liabilities to reflect the net gain/loss, including
interest income/expense, on terminated swap positions. The line item is removed
upon settlement according to the terms of the swap agreement.
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 gain (loss) 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.
When an option is written, the premium received is recorded as an asset with an
equal liability and is subsequently marked to market to reflect the current
market value of the option written. These liabilities are reflected as options
written in the Statement of Assets and Liabilities. Premiums received from
writing options which expire unexercised are recorded on the expiration date as
a realized gain. The difference between the premium received and the
Semiannual Report | November 30, 2009 | 23
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
amount paid on effecting a closing purchase transaction, including brokerage
commissions, is also treated as a realized gain, or if the premium is less than
the amount paid for the closing purchase transactions, as a realized loss. If a
call option is exercised; the premium is added to the proceeds from the sale of
the underlying security in determining whether there has been a realized gain
or loss.
(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
November 30, 2009 there were no future 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. It is likely that a portion of the
current fiscal year distributions will be a return of capital for tax purposes,
but this will not be known until after the Fund's fiscal year end which is May
31, 2010.
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.
(h) SUBSEQUENT EVENTS
Effective November 30, 2009, the Fund adopted ASC855, Subsequent Events
("ASC855") (formerly known as SFAS No. 165). ASC855 requires an entity to
recognize in the financial statements the effects of all subsequent events that
provide additional evidence about conditions that existed at the date of the
statement of assets and liabilities. ASC855 is intended to establish general
standards of accounting and for disclosure of events that occur after the
statement of assets and liabilities date but before the financial statements are
issued or are available to be issued. The Fund has performed an evaluation of
subsequent events through January 26, 2010, which is the date the financial
statements were issued.
Note 3 -- INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENT AND OTHER
AGREEMENTS:
Pursuant to an Investment Advisory Agreement (the "Agreement") among the Fund
and Claymore Advisors, LLC ("the Adviser"), the Adviser furnished offices,
necessary facilities and equipment, provides administrative services, oversees
the activities of Guggenheim Partners Asset Management, LLC ("GPAM"), provides
personnel including certain officers required for the Fund's administrative
management and compensates all officers and trustees of the Fund who are its
affiliates. As compensation for these services, the Fund pays 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 GPAM, GPAM 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 GPAM a fee, payable monthly, in an annual amount equal to
0.50% of the Fund's average daily managed assets.
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., (with the latter two entities
being wholly-owned, indirect subsidiaries of Guggenheim Partners, LLC
("Guggenheim")) whereby GuggClay Acquisition, Inc. will merge into Claymore
Group Inc. which is the surviving entity. This transaction was completed on
October 14, 2009 (the "Effective Date") and resulted in a change-of-control
whereby Claymore Group Inc. and its subsidiaries, including the Adviser, became
indirect, wholly-owned subsidiaries of Guggenheim. The transaction is not
expected to affect the daily operations of the Funds or the investment
management activities of the Adviser.
Under the Investment Company Act of 1940, as amended, (the "1940 Act"), the
consummation of this transaction resulted in the automatic termination of the
Advisory & Sub-Advisory Agreements. Accordingly, on September 28, 2009, the
Board of Trustees approved an interim investment advisory agreement between the
Fund and the Adviser (the "Interim Advisory Agreement") and an interim
investment sub-advisory agreement among the Fund, the Adviser and GPAM (the
"Interim Sub-Advisory Agreement" and together with the Interim Advisory
Agreement, the "Interim Agreements"). The Interim Agreements took effect as of
the Effective Date and will terminate upon the earlier of: (a) 150 calendar
days after the Effective Date or (b) the approval of a new investment advisory
agreement and a new investment sub-advisory agreement by the shareholders of
the Fund. In addition, the advisory fees earned by the Adviser pursuant to the
Interim Advisory Agreement and the sub-advisory fees earned by GPAM pursuant to
the Interim Sub-Advisory Agreement will be held in an interest-bearing escrow
account with the Fund's custodian during the term of the Interim Agreements. If
the Fund's shareholders approve a new advisory agreement with the Adviser prior
to the expiration of the term of the Interim Advisory Agreement, the amount in
the escrow account (including any interest earned) with respect to the Fund
shall be paid to the Adviser. If the Fund's shareholders approve a new
sub-advisory agreement with GPAM prior to the expiration of the term of the
Interim Sub-Advisory Agreement, the amount in the escrow account (including any
interest earned) with respect to the Fund shall be paid to GPAM. If the Fund's
24 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
shareholders do not approve a new advisory agreement with the Adviser, or a new
sub-advisory agreement with GPAM, prior to the expiration of the term of the
Interim Agreements, the Adviser or GPAM, as applicable, shall be paid, out of
the escrow account with respect to the Fund, the lesser of (i) the Adviser's or
GPAM's costs incurred in providing the services under the Interim Agreements
(including any interest earned on that amount while in escrow) with respect to
the Fund; or (ii) the total amount in the escrow account (including any
interest earned) with respect to the Fund. Other than the effective dates and
the provisions set forth above regarding the advisory and sub-advisory fees'
placement into an escrow account, the terms and conditions of the Interim
Agreements are substantively identical to those of the original Advisory
Agreement and Sub-Advisory Agreement.
On September 28, 2009, the Board of Trustees approved a new investment advisory
agreement between the Fund and the Adviser (the "New Advisory Agreement") and a
new investment sub-advisory agreement among the Fund, the Adviser and GPAM (the
"New Sub-Advisory Agreement" and together with the New Advisory Agreement, the
"New Agreements") and recommended that the New Agreements be submitted to the
shareholders of the Fund for their approval. The New Agreements will take
effect with respect to the Fund upon their approval by the shareholders of the
Fund and will have an initial term of one year. Thereafter, the New Agreements
will continue in effect only if their continuance is approved by the Board of
Trustees. Other than effective dates, there are no material differences between
the terms of the New Agreements and those of the original Advisory Agreement
and Sub-Advisory Agreement.
Under a separate Fund Administration agreement, the Adviser provides fund
administration services to the Fund. As compensation for services performed
under the Administration Agreement, the Advisor receives a fund administration
fee payable monthly at the annual rate set forth below as a percentage of the
average daily managed assets of the Fund.
MANAGED ASSETS RATE
-----------------------------------------------------------------------
First $200,000,000 0.0275%
Next $300,000,000 0.0200%
Next $500,000,000 0.0150%
Over $1,000,000,000 0.0100%
For the six months ended November 30, 2009 the Fund recognized expenses of
approximately $23,900 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 GPAM. 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.
Information on the components of investments, excluding written options, and
net assets as of November 30, 2009 is as follows:
NET TAX NET TAX
COST OF GROSS TAX GROSS TAX UNREALIZED UNREALIZED
INVESTMENTS FOR UNREALIZED UNREALIZED DEPRECIATION ON APPRECIATION ON
TAX PURPOSES APPRECIATION DEPRECIATION INVESTMENTS DERIVATIVES
-------------------------------------------------------------------------------------
$211,108,359 $10,464,558 ($29,703,372) ($19,238,814) $955,059
-------------------------------------------------------------------------------------
Tax Components of the following balances as of May 31, 2009 are as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY INCOME/ LONG-TERM GAINS/
(ACCUMULATED (ACCUMULATED
ORDINARY LOSS) CAPITAL LOSS)
-------------------------------------------------------------------------------
($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.
For federal income tax purposes, as of May 31, 2009, the Fund had no capital
loss carryforward.
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 and foreign currency transactions related losses
from 2009 in the amount of $3,748,502 and $1,395, respectively.
For the year ended May 31, 2009, 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
--------------------------------------------------------------------
Ordinary Income $12,332,718
Capital Gain --
Return of Capital 4,493,766
--------------------------------------------------------------------
Total distributions paid $ 16,826,484
====================================================================
For all open tax years and all major jurisdictions, management of the Fund has
concluded that there are no significant uncertain tax positions that would
require recognition in the financial statements. Open tax years are those that
are open for examination by taxing authorities (i.e. generally the last four
tax year ends and the interim tax period since then). Furthermore, management
of the Fund is also not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months.
Note 5 -- INVESTMENTS IN SECURITIES:
During the period ended November 30, 2009, the cost of purchases and proceeds
from sales of investments, excluding written options and short-term investments
were $87,738,269 and $71,047,147, respectively.
Note 6 -- DERIVATIVES:
(a) COVERED CALL OPTION
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 the 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).
Semiannual Report | November 30, 2009 | 25
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
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 fulfill 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.
The Fund entered into written option contracts during the period ended November
30, 2009.
Details of the transactions were as follows:
NUMBER OF CONTRACTS PREMIUMS RECEIVED
-----------------------------------------------------------------------------------------
Options outstanding, beginning of year 8,677 $ 779,378
Options written during the period 59,462 4,306,234
Options expired during the period (332) (44,820)
Options closed during the period (53,517) (3,803,340)
Options assigned during the period (3,325) (596,527)
-----------------------------------------------------------------------------------------
Options outstanding, end of period 10,965 $ 640,925
=========================================================================================
(b) SWAPS
Swap agreements are contracts between parties in which one party agrees to make
periodic payments to the other party (the "Counterparty") based on the change in
market value or level of a specified rate, index or asset. In return, the
Counterparty agrees to make periodic payments to the first party based on the
return of a different specified rate, index or asset. Swap agreements will
usually be done on a net basis, the Fund receiving or paying only the net amount
of the two payments. The net amount of the excess, if any, of each Fund's
obligations over its entitlements with respect to each swap is accrued on a
daily basis and an amount of cash or highly liquid securities having an
aggregate value at least equal to the accrued excess is maintained in an account
at the Fund's custodian bank.
Total return swap agreements are contracts in which one party agrees to make
payments of the total return from the underlying asset during a specified
period in return for receiving payments equal to a fixed or floating rate of
interest or the total return from another designated underlying asset.
Interest rate swap agreements involve the Fund's agreement to exchange a stream
of interest payments for another party's stream of cash flows.
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, to the buyer in the event of an adverse credit
event of the issuer.
The Fund entered into swap agreements during the period ended November 30, 2009
to potentially enhance return. Details of the swap agreements outstanding as of
November 30, 2009 are as follows:
CREDIT DEFAULT SWAP AGREEMENTS:
IMPLIED CREDIT
SPREAD AT UNREALIZED
BUY/SELL TERMINATION NOVEMBER 30, NOTIONAL AMOUNT RECEIVE APPRECIATION/
COUNTERPARTY REFERENCE ENTITY PROTECTION DATE 2009 (2) (000) FIXED RATE (DEPRECIATION)
----------------------------------------------------------------------------------------------------------------------------------
Basket of distinct
Goldman Sachs(1) corporate entities Sell 09/21/14 15.54% $ 3,000 1.180% $ (1,397,223)
----------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAP AGREEMENTS:
UNREALIZED
NOTIONAL APPRECIATION/
COUNTERPARTY FLOATING RATE TERMINATION DATE AMOUNT (000) RECEIVE FIXED RATE DEPRECIATION
------------------------------------------------------------------------------------------------------------------------
Goldman Sachs (3) 3 Month LIBOR 01/04/38 $ 10,000 5.675% $ 741,807
Goldman Sachs (3) 3 Month LIBOR 01/04/38 10,000 5.860 463,781
Goldman Sachs(3) 3 Month LIBOR 07/07/38 5,000 5.753 347,300
Goldman Sachs (3) 3 Month LIBOR 07/07/38 5,000 5.940 222,750
HSBC(3) 3 Month LIBOR 01/09/23 5,000 7.700(4) 168,179
------------------------------------------------------------------------------------------------------------------------
$1,943,817
------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN SWAP AGREEMENTS:
UNREALIZED
NOTIONAL APPRECIATION/
COUNTERPARTY REFERENCE ENTITY FLOATING RATE TERMINATION DATE AMOUNT (000) DEPRECIATION
---------------------------------------------------------------------------------------------------------------------------------
Barclays Capital (5) S&P 500 1 Month LIBOR + 0.35% 12/23/09 $ 1,349 $ 79,551
Barclays Capital (5) S&P 500 1 Month LIBOR + 0.35% 12/23/09 1,903 112,179
Barclays Capital (5) S&P 500 1 Month LIBOR + 0.10% 12/23/09 3,888 229,973
Goldman Sachs (5) S&P 500 1 Month LIBOR + 0.35% 12/16/09 1,000 (12,152)
---------------------------------------------------------------------------------------------------------------------------------
$ 409,551
---------------------------------------------------------------------------------------------------------------------------------
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $ 956,145
=================================================================================================================================
26 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
(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) The 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 reference entity or
obligation.
(3) The Fund pays the floating rate and receives the fixed rate.
(4) 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-.
(5) The Fund pays a floating rate and receives the total return of the Standard
& Poor's 500 Index.
(c) ACCOUNTING PRONOUNCEMENT FOR DERIVATIVES:
The Fund adopted FASB ASC 815, Derivatives and Hedging ("ASC815") (formerly
known as SFAS No. 161), effective November 30, 2009. ASC815 is intended to
improve financial reporting about derivative instruments by requiring enhanced
disclosures to enable investors to better 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.
Derivative Notional amounts and values as of November 30, 2009 are indicative
of the volume of the Fund's derivatives activities over the reporting period,
except for swaps.
The Fund increased the volume of activity in swaps during the period ended
November 30, 2009, with an average notional balance of approximately
$43,748,059 during the period ended November 30, 2009 and an ending balance of
$46,140,023.
The following table presents the types of derivatives in the Fund by location as
presented on the Statement of Assets Liabilities as of November 30, 2009.
Statement of Assets and Liability Presentation of
Fair Values of Derivative Instruments:
---------------------------------------------------------------------------------------------------------------------------------
(amounts in thousands)
---------------------------------------------------------------------------------------------------------------------------------
Asset Derivatives
---------------------------------------------------------------------------------------------------------------------------------
Derivatives not accounted for as hedging instruments Statement of Assets and Liabilities Location Fair Value
---------------------------------------------------------------------------------------------------------------------------------
Equity risk Investments in securities, Unrealized appreciation on swaps $439
---------------------------------------------------------------------------------------------------------------------------------
Interest rate risk Unrealized appreciation on swaps 1,944
---------------------------------------------------------------------------------------------------------------------------------
Credit risk Unrealized appreciation on swaps --
---------------------------------------------------------------------------------------------------------------------------------
Total $2,383
=================================================================================================================================
Statement of Assets and Liability Presentation of
Fair Values of Derivative Instruments:
---------------------------------------------------------------------------------------------------------------------------------
(amounts in thousands)
---------------------------------------------------------------------------------------------------------------------------------
Liability Derivatives
---------------------------------------------------------------------------------------------------------------------------------
Derivatives not accounted for as hedging instruments Statement of Assets and Liabilities Location Fair Value
---------------------------------------------------------------------------------------------------------------------------------
Equity risk Options Written, Unrealized depreciation on swaps $654
---------------------------------------------------------------------------------------------------------------------------------
Interest rate risk Unrealized depreciation on swaps --
---------------------------------------------------------------------------------------------------------------------------------
Credit risk Unrealized depreciation on swaps 1,397
---------------------------------------------------------------------------------------------------------------------------------
Total $2,051
=================================================================================================================================
The following table presents the effect of Derivatives Instruments on the
Statement of Operations for the six months ended November 30, 2009.
Effect of Derivative Instruments on the Statement of Operations:
-------------------------------------------------------------------------------------------------------------------------------
(amounts in thousands)
-------------------------------------------------------------------------------------------------------------------------------
Amount of Realized Gain/(Loss) on Derivatives
-------------------------------------------------------------------------------------------------------------------------------
Derivatives not accounted for as hedging instruments Options Swaps Total
-------------------------------------------------------------------------------------------------------------------------------
Equity risk $(1,499) $677 $(822)
-------------------------------------------------------------------------------------------------------------------------------
Interest rate risk -- 880 880
-------------------------------------------------------------------------------------------------------------------------------
Credit risk -- 11 11
-------------------------------------------------------------------------------------------------------------------------------
Total $(1,499) $1,568 $69
===============================================================================================================================
Change in Unrealized Depreciation/(Appreciation) on Derivatives
-------------------------------------------------------------------------------------------------------------------------------
Derivatives not accounted for as hedging instruments Options Swaps Total
-------------------------------------------------------------------------------------------------------------------------------
Equity Risk $328 $240 $568
-------------------------------------------------------------------------------------------------------------------------------
Interest rate risk -- 230 230
-------------------------------------------------------------------------------------------------------------------------------
Credit risk -- 383 383
-------------------------------------------------------------------------------------------------------------------------------
Total $328 $853 $1,181
===============================================================================================================================
Semiannual Report | November 30, 2009 | 27
GOF | Claymore/Guggenheim Strategic Opportunities Fund | NOTES TO FINANCIAL
STATEMENTS (unaudited) continued
Note 7 -- 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 1940 Act. The Fund may enter into such agreements
when it is able to invest the cash acquired at a rate higher than the cost of
the agreement, which would increase earned income. When the Fund enters into a
reverse repurchase agreement, any fluctuations in the market value of either
the instruments transferred to another party or the instruments in which the
proceeds may be invested would affect the market value of the Fund's assets. As
a result, such transactions may increase fluctuations in the market value of
the Fund's assets. For the six months ended November 30, 2009 the average daily
balance for which reverse repurchase agreements were outstanding amounted to
$15,508,342. The weighted average interest rate was 2.75% . As of November 30,
2009, the total amount of segregated in connection with reverse repurchase
agreements was $43,289,862. At the period end, there was $20,259,263 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. At November 30, 2009
there was $24,727,551 outstanding in connection with the Fund's credit
facility. The average daily amount of borrowings on the credit facility during
the period ended November 30, 2009 was $23,984,382 with a related average
interest rate of 1.24% . The maximum amount outstanding during the period ended
November 30, 2009, was $29,227,551.
TALF PROGRAM
The Fund may invest a portion of its total assets through participation in the
Term Asset-Backed Securities Loan Facility program (the "TALF Program"), a
program developed by the Board of Governors of the Federal Reserve System and
the U.S. Department of the Treasury and operated by the Federal Reserve Bank of
New York ("FRBNY"). Under the TALF Program, the FRBNY may provide loans to the
Fund to purchase certain investment-grade, asset-backed securities which must
be backed by auto loans, student loans, credit card loans, small business loans
or certain commercial mortgage-backed securities ("Eligible Securities").
Per the terms of the TALF Program, the FRBNY will lend to each borrower an
amount equal to the lesser of par or market value of the Eligible Securities
pledged as collateral minus a percentage of the par or market value of the
Eligible Securities. The Fund will pledge Eligible Securities as collateral for
a TALF Program loan, which will consist of securities that the Fund currently
owns or securities that the Fund purchases with the loan proceeds. Loans
acquired through the TALF Program may be prepaid at the option of the Fund
without any prepayment penalty, and the Fund may satisfy its loan obligation in
full at any time by surrendering the Eligible Securities pledged by the Fund to
the FRBNY. The TALF Program loans are non-recourse. If the Fund does not repay
the loan, or if the Eligible Securities pledged by the Fund lose some or all of
their value, under the terms of the TALF Program the FRBNY may enforce its
rights only against the Eligible Securities pledged as collateral by the Fund
and not against any other assets of the Fund.
The Fund is charged interest based on the terms of each loan and the type of
Eligible Securities pledged as collateral by the Fund. The Fund also pays an
administrative fee to the FRBNY on the loan settlement date.
As of November 30, 2009, borrowings under the TALF Program represent 5.2% of the
Fund's total assets.
Details of the loan outstanding as of November 30, 2009 are as follows:
LOAN LOAN LOAN
PRINCIPAL LOAN COLLATERAL INTEREST MATURITY LOAN COLLATERAL
AMOUNT TYPE DESCRIPTION RATE DATE VALUE VALUE
-------------------------------------------------------------------------------------------------------------
Commercial Commercial Mortgage
Mortgage Pass Through
$10,630,271 Obligation Certificates 3.796% 9/25/14 $10,630,271 $13,403,970
-------------------------------------------------------------------------------------------------------------
Note 8 -- CAPITAL:
COMMON SHARES
The Fund has an unlimited amount of common shares, $0.01 par value, authorized
and 9,166,423 issued and outstanding.
Transactions in common shares were as follows:
SIX MONTHS ENDED
NOVEMBER 30, 2009 YEAR ENDED MAY 31, 2009
----------------------------------------------------------------------------------------
Beginning Shares 9,105,240 9,105,240
Shares issued through dividend reinvestment 61,183 --
----------------------------------------------------------------------------------------
Ending Shares 9,166,423 9,105,240
========================================================================================
Note 9 -- INDEMNIFICATIONS:
In the normal course of business, the Fund enters into contracts that contain a
variety of representations, which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would require
future claims that may be made against the Fund that have not yet occurred.
However, the Fund expects the risk of loss to be remote.
Note 10 -- SUBSEQUENT EVENT:
Subsequent to November 30, 2009, the Fund declared on December 1, 2009, a
monthly dividend to common shareholders of $0.154 per common share. The
dividend is payable on December 31, 2009 to shareholders of record on December
15, 2009.
On January 4, 2010, the Fund declared a monthly dividend to common shareholders
of $0.154 per common share. The dividend is payable on January 29, 2010 to
shareholders of record on January 15, 2010.
28 | Semiannual Report | November 30, 2009
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Supplemental INFORMATION | (unaudited)
FEDERAL INCOME TAX INFORMATION
In January 2010, you will be advised on IRS Form 1099 DIV or substitute 1099
DIV as to the federal tax status of the distributions received by you in the
calendar year 2009.
TRUSTEES
The Trustees of the Claymore/Guggenheim Strategic Opportunities Fund and their
principal occupations during the past five years:
NAME, ADDRESS*, YEAR TERM OF OFFICE** PRINCIPAL OCCUPATIONS DURING NUMBER OF PORTFOLIOS
OF BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND IN THE FUND COMPLEX*** OTHER DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
-----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
-----------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2007 Investor (2001-present). Formerly, 44 None.
Year of Birth: 1951 Senior Vice President & Treasurer,
Trustee PepsiCo., Inc. (1993-1997), President,
Pizza Hut International (1991-1993) and
Senior Vice President, Strategic
Planning and New Business Development
(1987-1990) of PepsiCo, Inc. (1987-1997).
-----------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2007 Partner of Nyberg & Cassioppi, LLC, a 47 None.
Year of birth: 1953 law firm specializing in corporate law,
Trustee estate planning andbusiness 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, 44 None.
Year of birth: 1958 Manager and Portfolio Manager of Nuveen
Trustee Asset Management (1998-1999), Vice
President of Nuveen Investment Advisory
Corp. (1992-1999), Vice President and
Manager of Nuveen Unit Investment Trusts
(1991-1999), and Assistant Vice President
and Portfolio Manager of Nuveen Unit
Investment Trusts (1988-1999), each of
John Nuveen & Co., Inc. (1982-1999).
-----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
-----------------------------------------------------------------------------------------------------------------------------------
Kevin Robinson+ Since 2009 Senior Managing Director and General 2 None.
Year of Birth: 1959 Counsel of Claymore Advisors, LLC and
Trustee and Chief Legal Officer Claymore Group, Inc. (2007-present).
Formerly, Associate General Counsel and
Assistant Corporate Secretary of NYSE
Euronext, Inc. (2000-2007).
-----------------------------------------------------------------------------------------------------------------------------------
* 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
two-year term concurrent with the class of Trustees for which he serves:
--Messrs. Barnes and Robinson, as Class I Trustees, are expected to stand
for re-election at the Fund's 2010 annual meeting of shareholders.
--Messrs. Nyberg and Toupin, as Class II Trustees, are expected to stand
for re-election at the Fund's 2011 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. Robinson is an "interested person"(as defined in section 2(a)(19) of
the 1940 Act) of the Fund because of his position as an officer of Claymore
Advisors, LLC, the Fund's Adviser. As of October 14, 2009, Nicholas Dalmaso
resigned his position as Trustee for the Trust.
Semiannual Report | November 30, 2009 | 29
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 TERM OF OFFICE** AND PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
POSITION(S) HELD WITH REGISTRANT LENGTH OF TIME SERVED AND OTHER AFFILIATIONS
-----------------------------------------------------------------------------------------------------------------------------------
J. Thomas Futrell Since 2008 Senior Managing Director and Chief Investment Officer of Claymore
Year of birth: 1955 Advisors, LLC and Claymore Securities Inc. (2008-Present). Formerly,
Chief Executive Officer Managing Director of Research, Nuveen Asset Management (2000-2007).
-----------------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Since 2007 Senior Managing Director of Claymore Advisors, LLC and Claymore
Year of birth: 1964 Securities, Inc. (2005-present). Formerly, Chief Financial Officer
Chief Financial Officer, of Claymore Group Inc. (2005-2006), Managing Director of Claymore
Chief Accounting Officer and Treasurer Advisors, LLC and Claymore Securities, Inc. (2003-2005). Formerly,
Treasurer of Henderson Global Funds and Operations Manager of
Henderson Global Investors (NA) Inc. (2002-2003); Managing Director,
FrontPoint Partners LLC (2001-2002); Vice President, Nuveen
Investments (1999-2001).
-----------------------------------------------------------------------------------------------------------------------------------
Mark E. Mathiasen Since 2008 Vice President; Assistant General Counsel of Claymore Securities,
Year of birth: 1978 Inc. (2007-present). Secretary of certain funds in the Fund Complex.
Secretary Previously, Law Clerk, Idaho State Courts (2003-2006).
-----------------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2007 Vice President, Fund Compliance Officer of Claymore Group, Inc.
Year of birth: 1957 (2006-present). Formerly, Chief Compliance Officer/Assistant
Chief Compliance Officer Secretary of Harris Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC (1999-2003).
-----------------------------------------------------------------------------------------------------------------------------------
Roy Corr Since 2008 Senior Managing Director, Chief Operating Officer of Guggenheim
Year of birth: 1964 Partners Asset Management, LLC (2002-present).
Vice President
-----------------------------------------------------------------------------------------------------------------------------------
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure of the Board of Trustees and until his or
her successor is appointed and qualified or until his or her earlier
resignation or removal.
30 | Semiannual Report | November 30, 2009
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.
Semiannual Report | November 30, 2009 | 31
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Board Considerations Regarding Contract Approvals of the Interim and New
Investment Advisory Agreements and Interim and New Investment SUB-ADVISORY
AGREEMENTS.
On September 28, 2009, the Board of Trustees (the "Board") of the
Claymore/Guggenheim Strategic Opportunities Fund (the "Fund"), including those
trustees who are not "interested persons" as defined by the Investment Company
Act of 1940 (the "Independent Trustees"), on the recommendation of the
Nominating & Governance Committee (referred to as the "Committee" and
consisting solely of the Independent Trustees) of the Board of the Fund,
approved: (1) an interim ("Interim Advisory Agreement") and new ("New Advisory
Agreement") advisory agreement (together, the "Investment Advisory Agreements")
between the Fund and Claymore Advisors, LLC ("Adviser") and (2) an interim
("Interim Sub-Advisory Agreement") and new ("New Sub-Advisory Agreement")
investment sub-advisory agreement (together the "Investment Sub-Advisory
Agreements") among the Adviser, the Fund and Guggenheim Partners Asset
Management, Inc. (n/k/a Guggenheim Partners Asset Management, LLC)
("Sub-Adviser"). (The Investment Advisory Agreements and the Investment
Sub-Advisory Agreements are together referred to as the "Advisory Agreements.")
As part of its review process, the Committee was represented by independent
legal counsel.
Based upon its review, the Board and the Committee concluded that it was in the
best interest of the Fund to approve each of the Advisory Agreements. In
reaching this conclusion for the Fund, no single factor was determinative in
the Board's analysis, but rather the Board considered a variety of factors.
INTERIM ADVISORY AGREEMENT AND NEW ADVISORY AGREEMENT
-----------------------------------------------------
The Board reviewed materials received from the Adviser, Guggenheim Partners,
LLC ("Guggenheim") and independent legal counsel. The Board also had previously
received, throughout the year, Board meeting information regarding performance
and operating results of the Fund. Earlier this year, the Adviser informed the
Board that it was in discussions with Guggenheim concerning a strategic
transaction, including a potential sale of a controlling interest in the
Adviser (the "Transaction"). The Adviser provided periodic reports to
representatives of the Board as to the status and nature of such discussions
with Guggenheim and the Adviser's operating and financial results. In the
spring of 2009, the Adviser informed the Board that Guggenheim had arranged up
to $20 million of subordinated loans to Claymore Group as interim financing for
working capital and for inventory purchases in connection with its business of
creating, distributing and supervising unit investment trusts and other
investment products.
Following the execution of a merger agreement between Claymore and Guggenheim
(the "Merger Agreement"), a telephonic meeting was held on July 28, 2009, and
attended by certain members of the Board, the chief executive officer of
Claymore Group and the chief executive officer of Guggenheim. Such executive
officers summarized the principal terms of the Merger Agreement, and described
the Transaction, the business plans for the Adviser following the consummation
of the Transaction and answered such questions as were raised at the meeting.
Representatives of the Board requested additional information regarding the
Transaction, Guggenheim and the impact of the Transaction on the Shareholders
of the Fund.
During the third quarter of 2009, the Committee received reports on the progress
of the Transaction, including the debt financing and additional equity financing
arranged by Guggenheim. As part of its review process, the Committee was
represented by independent legal counsel. The Committee reviewed materials
received from the Adviser, Guggenheim and independent legal counsel. The Adviser
and Guggenheim provided, among other information, information regarding the
terms of the Transaction and potential benefits to the Adviser from the
Transaction. The information provided regarding Guggenheim included (i)
financial information, (ii) information regarding senior executives of the firm,
(iii) information regarding other Guggenheim affiliated investment managers,
(iv) information regarding litigation and regulatory matters and (v) potential
conflicts of interest. The Adviser and Guggenheim also provided information
regarding Guggenheim's and the Adviser's intentions for the business, operations
and personnel of the Adviser following the closing of the Transaction. The
Committee met and discussed the Transaction and the Interim Advisory Agreement
and the New Advisory Agreement in September 2009. Additional supplemental
information regarding the Transaction and Guggenheim was provided by the Adviser
and Guggenheim and reviewed by the Committee.
Subsequent to these meetings, the Board met in person to consider the Interim
Advisory Agreement and the New Advisory Agreement at a meeting held on
September 28, 2009. The Board met with representatives of the Adviser and
Guggenheim to discuss the Transaction. Representatives from the Adviser and
Guggenheim discussed the Transaction with, and answered questions from, the
Board. The Committee met in executive session to discuss the Transaction and
the information provided at the Board meeting. The Committee concluded that it
was in the best interest of the Fund to approve the Interim Advisory Agreement
and New Advisory Agreement and, accordingly, recommended to the Board the
approval of the Interim Advisory Agreement and New Advisory Agreement. The
Board subsequently approved the Interim Advisory Agreement and approved the New
Advisory Agreement for a one-year term. The Board also determined to consider
the continuation of the agreement during the course of the one-year term by
conducting a thorough review of the various information that is part of the
Board's regular annual consideration of the continuation of the Fund's advisory
agreement. In reaching the conclusion to approve the Interim Advisory Agreement
and New Advisory Agreement, no single factor was determinative in the Board's
analysis, but rather the Board considered a variety of factors. Provided below
is an overview of the primary factors the Board considered in connection with
the review of the Interim Advisory Agreement and the New Advisory Agreement.
In connection with the Board's consideration of the Interim Advisory Agreement
and the New Advisory Agreement, the Trustees considered, among other
information, the following factors, in addition to other factors noted in this
Proxy Statement:
o within the last year, the Board had engaged in a thorough review of the
various factors, including fees and performance, that are part of the
decision whether to continue an advisory agreement;
o Board approval of the Fund's Investment Advisory Agreements was a condition
to the closing of the Transaction;
o Claymore's statement to the Board that the manner in which the Fund's
assets are managed will not change as a result of the Transaction;
o the aggregate advisory fee rate payable by the Fund will not change under
the Interim Advisory Agreement or New Advisory Agreement;
o there are no material differences between the terms of the Interim Advisory
Agreement and New Advisory Agreement and the terms of the Fund's prior
advisory agreement, except for those provisions in the Interim Advisory
Agreement which are necessary to comply with Rule 15a-4 under the 1940 Act;
o the capabilities of the Adviser's personnel who will provide advisory (if
applicable), man- agement, shareholder servicing and administrative
services to the Fund are not expected to change, and the key personnel who
currently provide advisory (if applicable), manage- ment, shareholder
servicing and administrative services to the Fund are expected to con-
tinue to do so after the Transaction;
o the assurance from the Adviser and Guggenheim that following the
Transaction there will not be any diminution in the nature, quality and
extent of services provided to the Fund;
o the Adviser's current financial condition;
o the impact of the Transaction on the Adviser's day-to-day operations;
32 | Semiannual Report | November 30, 2009
o the reputation, capabilities, experience, organizational structure and
financial resources of Guggenheim;
o the long-term business goals of Guggenheim and the Adviser with regard to
the business and operations of the Adviser;
o that Shareholders of the Fund will not bear any costs in connection with
the Transaction, inasmuch as the Adviser will bear the costs, fees and
expenses incurred by the Fund in connection with the Fund's Proxy Statement
and any other costs of the Fund associated with the Transaction; and
o that the Adviser and relevant acquisition subsidiaries have agreed to
refrain from imposing or seeking to impose, for a period of two years after
the Closing, any "unfair burden"(with- in the meaning of Section 15(f) of
1940 Act) on the Fund.
Nature, Extent and Quality of Services Provided by the Adviser. The Board noted
that key investment (if applicable) and management personnel servicing the Fund
are expected to remain with the Adviser following the Transaction and that the
services provided to the Fund by the Adviser are not expected to change. The
Board also considered the Adviser's and Guggenheim's representations to the
Board that Guggenheim intends for the Adviser to continue to operate following
the closing of the Transaction in much the same manner as it operates today,
and that the impact of the Transaction on the day-to-day operations of the
Adviser would be neutral or positive. The Board also considered Guggenheim's
statement that the Adviser's compliance policies and procedures, disaster
recovery plans, information security controls and insurance program would not
change materially following consummation of the Transaction. Based on this
review, the Board concluded that the range and quality of services provided by
the Adviser to the Fund were expected to continue under the Interim Advisory
Agreement and the New Advisory Agreement at the same or improved levels.
Advisory Fees. The Board also considered the fact that the advisory fee rates
payable to the Adviser would be the same under the Interim Advisory Agreement
and New Advisory Agreement as they are under the Fund's prior advisory
agreement, which had within the last year been determined to be reasonable. The
Board concluded that these factors supported approval of the Interim Advisory
Agreement and New Advisory Agreement.
Performance. With respect to the performance of the Fund, the Board considered
that, the Sub-Adviser would continue to manage the Fund's portfolio following
the closing of the Transaction, subject to Shareholder approval of the New
Sub-Advisory Agreement. The Board concluded that these factors supported
approval of the Interim Advisory Agreement and New Advisory Agreement.
Profitability. The Board noted that it was too early to predict how the
Transaction may affect the Adviser's future profitability from its relationship
with the Fund, but concluded that this matter would be given further
consideration on an annual basis going forward. The Board also noted that the
Adviser's fee rates under the Interim Advisory Agreement and New Advisory
Agreement are the same as those assessed under the Fund's prior advisory
agreement.
Economies of Scale. The Board considered any potential economies of scale that
may result from the Transaction. The Board further noted Guggenheim's statement
that such economies of scale could not be predicted in advance of the closing
of the Transaction.
Other Benefits. The Board noted its prior determination that the advisory fees
were reasonable, taking into consideration other benefits to the Adviser
(including the receipt by Claymore of an administrative fee). The Board also
considered other benefits to the Adviser, Guggenheim and their affiliates
expected to be derived from their relationships with the Fund as a result of
the Transaction and noted that no additional benefits were reported by the
Adviser or Guggenheim as a result of the Transaction. Therefore, the Board
concluded that the advisory fees continued to be reasonable, taking into
consideration other benefits.
NEW SUB-ADVISORY AGREEMENT AND INTERIM SUB-ADVISORY AGREEMENT
-------------------------------------------------------------
In conjunction with the consideration of the Transaction and the approval of a
New Advisory Agreement and Interim Advisory Agreement, the Board, including the
Independent Trustees, also considered the Fund's New Sub-Advisory Agreement and
Interim Sub-Advisory Agreement. The Board noted that while the closing of the
Transaction would result in the termination of the prior sub-advisory agreement
pursuant to its terms, the Sub-Adviser was not a party to the Transaction and
the operations of the Sub-Adviser and the services to be provided by the
Sub-Adviser would be unaffected by the Transaction.
The Board determined that there were no material differences between the terms
of the Interim Sub-Advisory Agreement and the corresponding prior sub-advisory
agreement, except with respect to those provisions required to comply with Rule
15a-4 under the 1940 Act, and that there were no material differences between
the terms of the New Sub-Advisory Agreement and the prior sub-advisory
agreement. The Board noted that the compensation to be received by the
Sub-Adviser under the Interim Sub-Advisory Agreement and New Sub-Advisory
Agreement is not greater than the compensation the Sub-Adviser would have
received under the prior sub-advisory agreement. The Board noted that the scope
and quality of services to be provided to the Fund under the Interim
Sub-Advisory Agreement and New Sub-Advisory Agreement would be at least
equivalent to the scope and quality of services provided under the prior
sub-advisory agreement. The Board noted that, within the last year, it had
engaged in a thorough review of the various factors, including fees and
performance, that are part of the evaluation of the renewal or approval of a
sub-advisory agreement.
The Board noted that the factors previously considered with respect to approval
of the prior sub-advisory agreement continued to support the approval of the
New Sub-Advisory Agreement and Interim Sub-Advisory Agreement. The Board also
determined to consider such factors again within one year of the execution of
the New Sub-Advisory Agreement. Based upon its review, the Board concluded that
it was in the best interest of the Fund to approve the New Sub-Advisory
Agreement and Interim Sub-Advisory Agreement.
OVERALL CONCLUSIONS
-------------------
Based upon all of the information considered and the conclusions reached, the
Board determined that the terms of the Advisory Agreements are fair and
reasonable and that approval of the Advisory Agreements is in the best
interests of the Fund.
Semiannual Report | November 30, 2009 | 33
This Page Intentionally Left Blank.
GOF | Claymore/Guggenheim Strategic Opportunities Fund
Fund INFORMATION |
BOARD OF TRUSTEES OFFICERS INVESTMENT ADVISER
Randall C. Barnes J.Thomas Futrell AND ADMINISTRATOR
Chief Executive Officer Claymore Advisors, LLC
Ronald A. Nyberg Lisle, Illinois
Kevin Robinson
Ronald E.Toupin, Jr. Chief Legal Officer INVESTMENT SUB-ADVISER
Guggenheim Partners Asset
Kevin Robinson* Steven M. Hill Management, LLC
Chief Financial Officer, Chief Santa Monica, California
Accounting Officer and Treasurer
* Trustee is an "interested person" of the ACCOUNTING AGENT, CUSTODIAN
Fund as defined in the Investment Mark E. Mathiasen AND TRANSFER AGENT
Company Act of 1940, as amended. Secretary The Bank of New York Mellon
New York, New York
Bruce Saxon
Chief Compliance Officer LEGAL COUNSEL
Skadden,Arps, Slate, Meagher &
Roy Corr Flom LLP
Vice President 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 December 2009, 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.
Semiannual Report | November 30, 2009 | 35
GOF | Claymore/Guggenheim Strategic Opportunities Fund
About the FUND MANAGER |
GUGGENHEIM PARTNERS ASSET MANAGEMENT, LLC
Guggenheim Partners Asset Management, LLC ("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(R)
(01/10)
GOF-SAR-1109
ITEM 2. CODE OF ETHICS.
Not applicable for a semi-annual reporting period.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for a semi-annual reporting period.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for a semi-annual reporting period.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for a semi-annual reporting period.
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedule of Investments is included as part of Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for a semi-annual reporting period.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) Not applicable for a semi-annual reporting period.
(b) There has been no change, as of the date of filing, in any of the Portfolio
Managers identified in response to paragraph (a)(1) of this Item in the
registrant's most recent annual report on Form N-CSR.
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) Not applicable.
(a)(2) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(a) of the Investment Company Act.
(a)(3) Not Applicable.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(b) of the Investment Company Act and Section 906
of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Claymore/Guggenheim Strategic Opportunities Fund
By: /s/ J. Thomas Futrell
------------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: February 5, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ J. Thomas Futrell
------------------------------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: February 5, 2010
By: /s/ Steven M. Hill
------------------------------------------------------------------
Name: Steven M. Hill
Title: Treasurer and Chief Financial Officer
Date: February 5, 2010