UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21982
------------------------------------------
Claymore/Guggenheim Strategic Opportunities Fund
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive Lisle, IL 60532
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
-------------
Date of fiscal year end: May 31
------
Date of reporting period: February 28, 2010
-------------------
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2010 (UNAUDITED)
OPTIONAL
PRINCIPAL AMOUNT DESCRIPTION CALL PROVISION VALUE
------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 137.2%
CORPORATE BONDS - 22.9%
ADVERTISING - 0.3%
$ 400,000 MDC Partners, Inc., B+, B2,
11.000%, 11/1/16 (Canada) (a) (b) 11/1/13 @ 105.50 $ 428,000
----------------
AEROSPACE/DEFENSE - 0.5%
785,000 Global Aviation Holdings Ltd., BB-, Ba3,
14.000%, 8/15/13 (United Kingdom) (a) (b) 8/15/12 @ 110.50 790,887
----------------
AIRLINES - 2.1%
1,351,819 America West Airlines LLC, Ser. 011G, BB+, B1,
7.100%, 4/2/21 N/A 1,223,396
2,000,000 United Air Lines, Inc., BBB, Ba1,
9.750%, 1/15/17 (a) N/A 2,085,000
----------------
3,308,396
----------------
BANKS - 8.2%
1,000,000 Agfirst Farm Credit Bank, A, NR,
7.300%, 10/31/49 (a) (b) 4/1/10 @ 100.00 733,870
1,250,000 Barclays Bank PLC, A-, Baa3,
6.278%, 12/29/49 (United Kingdom) (a) (c) 12/15/34 @ 100.00 951,562
1,200,000 BNP Paribas, A, Baa1,
7.195%, 6/29/49 (France) (a) (b) (c) 6/25/37 @ 100.00 1,158,000
1,000,000 Credit Agricole SA, A-, Aa3,
6.637%, 5/29/49 (France) (a) (b) (c) 5/31/17 @ 100.00 830,000
1,500,000 Farm Credit Bank, Ser. 1, NR, A2,
7.561%, 11/29/49 (a) (c) 12/15/13 @100.00 1,084,635
1,000,000 Fifth Third Bancorp, BBB-, Baa2,
8.250%, 3/1/38 (a) N/A 1,030,041
1,000,000 KeyCorp Capital III, BB, Baa3,
7.750%, 7/15/29 (a) N/A 957,476
1,250,000 Mellon Capital IV, Ser. 1, A-, A3,
6.244%, 6/20/49 (a) (c) 6/20/12 @ 100.00 1,093,750
1,250,000 Northgroup Preferred Capital Corp., A, A2,
6.378%, 1/29/49 (a) (b) (c) 10/15/17 @ 100.00 1,107,163
700,000 PNC Preferred Funding Trust III, BBB, Baa3,
8.700%, 2/19/49 (a) (b) (c) 3/15/13 @ 100.00 731,605
500,000 Rabobank Nederland NV, AA-, A2,
11.000%, 12/29/49 (Netherlands) (a) (b) (c) 6/30/19 @ 100.00 633,515
1,400,000 Royal Bank of Scotland Group PLC, Ser. U, CC, B3,
7.640%, 3/31/49 (United Kingdom) (a) (c) 9/29/17 @ 100.00 861,000
1,250,000 US AgBank FCB, A, A2,
6.110%, 4/29/49 (a) (b) (c) 7/10/12 @ 100.00 656,850
1,000,000 Wells Fargo Capital XIII, Ser. GMTN, A-, Ba1,
7.700%, 12/29/49 (a) (c) 3/26/13 @ 100.00 985,000
----------------
12,814,467
----------------
COMMERCIAL SERVICES - 0.2%
250,000 R.R. Donnelley & Sons Co., BBB, Baa3,
11.250%, 2/1/19 (a) N/A 315,907
----------------
DISTRIBUTION/WHOLESALE - 0.4%
700,000 Intcomex, Inc., B-, B3,
13.250%, 12/15/14 (b) 12/15/12 @ 106.63 694,750
----------------
DIVERSIFIED FINANCIAL SERVICES - 2.1%
Hampton Roads PPV LLC, NR, Baa2, (a) (b)
1,000,000 6.071%, 12/15/41 N/A 746,740
1,000,000 6.171%, 6/15/53 N/A 745,890
2,000,000 Svensk Exportkredit AB, A, NR,
6.375%, 10/29/49 (Sweden) (a) (b) 6/27/10 @ 100.00 1,733,344
----------------
3,225,974
----------------
ELECTRIC - 0.8%
400,000 United Maritime Group LLC/United Maritime Group Finance
Corp., B, B3, 11.750%, 6/15/15 (b) 12/15/12 @ 105.88 400,000
1,000,000 Wisconsin Energy Corp., BBB-, Baa1,
6.250%, 5/15/67 (a) (c) 5/15/17 @ 100.00 922,500
----------------
1,322,500
----------------
ENTERTAINMENT AND GAMING - 1.9%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR,
6.350%, 10/1/15 (b) N/A 944,150
500,000 Downstream Development Authority of the Quapaw Tribe of
Oklahoma, B-, Caa1, 12.000%, 10/15/15 (b) 10/15/11 @ 109.00 445,000
500,000 Indianapolis Downs LLC/Indiana Downs Capital Corp., CCC, Caa2,
11.000%, 11/1/12 (b) 11/1/10 @ 105.50 325,000
700,000 Lions Gate Entertainment, Inc., B, B1,
10.250%, 11/1/16 (b) 11/1/13 @ 105.13 701,750
600,000 River Rock Entertainment Authority (The), B+, B2,
9.750%, 11/1/11 (a) 4/1/10 @ 100.00 552,750
----------------
2,968,650
----------------
FOOD & BEVERAGES - 0.3%
500,000 Panda Restaurant, NR, NR,
6.600%, 8/23/17 (d) N/A 408,930
----------------
HEALTH CARE - 0.2%
250,000 Apria Healthcare Group, Inc., BB+, Baa2,
11.250%, 11/1/14 (a) (b) 11/1/11 @ 105.63 269,375
----------------
INSURANCE - 4.4%
1,000,000 Allstate Corp. (The), BBB, Baa1,
6.500%, 5/15/57 (a) (c) 5/15/37 @ 100.00 925,000
1,000,000 American Financial Group, Inc., BBB, Baa2,
9.875%, 6/15/19 (a) N/A 1,174,046
1,000,000 AXA SA, BBB+, Baa1,
6.463%, 12/14/49 (France) (a) (b) (c) 12/14/18 @ 100.00 787,500
400,000 Blue Coast Ltd., Ser. A, B+, NR,
9.774%, 12/8/10 (Cayman Islands) (b) (d) (e) N/A 394,208
700,000 Blue Fin Ltd., BB+, NR,
4.650%, 4/10/12 (Cayman Islands) (a) (b) (d) (e) 4/8/10 @ 101.00 651,420
1,000,000 Metlife Capital Trust IV, BBB, Baa2,
7.875%, 12/15/37 (a) (b) 12/15/32 @ 100.00 980,000
700,000 National Life Insurance Co., A-, Baa1,
10.500%, 9/15/39 (a) (b) N/A 736,439
1,250,000 Progressive Corp. (The), A-, A2,
6.700%, 6/15/37 (a) (c) 6/15/17 @ 100.00 1,161,200
----------------
6,809,813
----------------
INVESTMENT COMPANIES - 0.6%
Allied Capital Corp., BB, B1, (a)
695,000 6.625%, 7/15/11 N/A 672,545
290,000 6.000%, 4/1/12 N/A 272,222
----------------
944,767
----------------
SOFTWARE - 0.2%
400,000 Open Solutions, Inc., CCC+, Caa2,
9.750%, 2/1/15 (b) 2/1/11 @ 104.88 336,000
----------------
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 1,061,565
----------------
TOTAL CORPORATE BONDS - 22.9%
(Cost $38,506,995) 35,699,981
----------------
ASSET BACKED SECURITIES - 64.8%
COLLATERALIZED DEBT OBLIGATIONS - 2.6%
2,062,572 Aspen Funding I Ltd., Ser. 2002-1A, Class A1L, A, Ba1,
0.849%, 7/10/37 (Cayman Islands) (b) (d) 1,336,238
1,120,963 Coronado CDO Ltd., Ser. 1X, Class A1, BB+, B3,
0.775%, 9/4/38 (Cayman Islands) (d) 746,427
4,413,972 Duke Funding Ltd., Ser. 2003-5A, Class 1W, CCC, Caa2,
0.799%, 8/7/33 (Cayman Islands) (b) (d) 1,544,890
608,584 MWAM CBO Ltd., Ser. 2001-1A, AA, A3,
0.936%, 1/30/31 (Cayman Islands) (b) (d) 468,269
----------------
4,095,824
----------------
COLLATERALIZED LOAN OBLIGATIONS - 21.5%
7,500,000 ARES CLO Funds, Ser. 2007-12A, Class B, AA, A3,
1.252%, 11/25/20 (Cayman Islands) (b) (d) 6,550,275
635,902 Armstrong Loan Funding Ltd., Ser. 2008-1A, Class B, AAA, Aa3,
1.249%, 8/1/16 (Cayman Islands) (b) (d) 538,940
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class B, A+, Baa2,
0.639%, 4/29/19 (Cayman Islands) (a) (b) (d) 1,398,000
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A, Class C, BBB+, Ba2,
0.939%, 4/29/19 (Cayman Islands) (a) (b) (d) 1,135,860
1,911,026 Business Loan Express, Ser. 2006-AA, Class A, AAA, Aa3
0.469%, 10/20/38 (b) (d) 1,060,727
1,372,109 Business Loan Express, Ser. 2007-AA, Class A, AAA, A2
0.629%, 10/20/40 (b) (d) 864,428
1,909,386 Callidus Debt Partners Fund Ltd., Ser. 6A, Class A1T, A+, A3,
0.509%, 10/23/21 (Cayman Islands) (b) (d) 1,737,465
750,000 CapitalSource Commercial Loan Trust, Ser. 2006-2A, Class A1B, AAA, Aaa,
0.559%, 9/20/22 (b) (d) 663,375
520,220 CapitalSource Commercial Loan Trust, Ser. 2006-2A, Class APT, AAA, Aaa,
0.469%, 9/20/22 (b) (d) 495,364
1,000,000 Friedbergmilstein Private Capital Fund, Ser. 2004-1A, Class B2, AA, A3,
5.409%, 1/15/19 (Cayman Islands) (b) 865,500
519,871 GE Commercial Loan Trust, Ser. 2006-1, Class A2, AAA, Aa3,
0.481%, 4/19/17 (a) (b) (d) 495,738
800,000 Mountain View Funding CLO, Ser. 2007-3A, Class A2, AA, A2,
0.591%, 4/16/21 (Cayman Islands) (b) (d) 680,368
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, A3,
0.672%, 11/24/20 (Cayman Islands) (b) (d) 821,720
1,500,000 Rosedale CLO Ltd., Ser. I-A, Class A1J, A+, Baa1,
0.659%, 7/24/21 (Cayman Islands) (b) (d) 1,345,365
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A, Class C, BBB-, Ba2,
1.501%, 9/22/16 (Cayman Islands) (a) (b) (d) 1,454,000
600,000 Start CLO Ltd., Ser 2006-2, Class C, A+, Baa1,
1.001%, 6/29/12 (Cayman Islands) (d) 549,498
1,000,000 Start CLO Ltd., Ser 2006-2, Class D, BBB+, Baa3,
2.101%, 6/29/12 (Cayman Islands) (d) 911,810
400,000 Start CLO Ltd., Ser. 2006-3A, Class C, A-, A1,
0.955%, 6/7/11 (Cayman Islands) (b) (d) 391,708
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1,
2.005%, 6/7/11 (Cayman Islands) (b) (d) 533,726
100,000 Start CLO Ltd., Ser 2006-3X, Class F, NR, NR,
17.255%, 6/7/11 (Cayman Islands) (d) 94,246
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1,
1.801%, 12/26/11 (Cayman Islands) (a) (b) (d) 474,555
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1,
3.851%, 12/26/11 (Cayman Islands) (a) (b) (d) 902,360
100,000 Start CLO Ltd., Ser 2007-4X, Class E, BB+, Ba1,
3.851%, 12/26/11 (Cayman Islands) (d) 90,237
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
1.151%, 6/15/16 (Cayman Islands) (b) (d) (f) 1,898,180
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR,
2.201%, 6/15/16 (Cayman Islands) (b) (d) (f) 1,398,600
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR,
5.793%, 9/1/17 (Cayman Islands) (b) 752,370
4,000,000 Telos CLO Ltd., Ser. 2006-1A, Class A2, AA, Aa2,
0.649%, 10/11/21 (Cayman Islands) (b) (d) 3,512,800
2,500,000 Telos CLO Ltd., Ser. 2006-1A, Class B, A+, A2,
0.739%, 10/11/21 (Cayman Islands) (b) (d) 1,948,100
----------------
33,565,315
----------------
COMMERCIAL REAL ESTATE - 1.1%
2,000,000 Wrightwood Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1, AAA, Aa3,
0.571%, 11/21/40 (Cayman Islands) (b) (d) (f) 1,718,280
----------------
COMMERCIAL RECEIVABLES - 2.2%
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2,
0.629%, 6/5/12 (b) (d) 1,820,440
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR,
15.252%, 11/25/12 (Cayman Islands) (a) (b) (d) 1,685,300
----------------
3,505,740
----------------
CORPORATE DEBT OBLIGATIONS - 0.9%
707,193 Muzinich CBO II Ltd., Ser. A2-A, AA+, B1,
7.150%, 10/15/13 (Bermuda) (b) (f) 611,977
124,229 Phoenix Funding Ltd., Ser. 2001-1, AA, Aa2,
0.701%, 4/15/13 (d) 109,390
902,027 Saybrook Point CBO Ltd., Ser. 2001-1A, Class A, BBB-, B3
0.732%, 2/25/31 (Cayman Islands) (b) (d) 701,918
----------------
1,423,285
----------------
CREDIT CARDS - 0.3%
500,000 1st Financial Bank USA, Ser. 2009-B, Class D, BBB-, NR,
11.000%, 4/15/15 (b) 501,400
----------------
FINANCIALS - 0.0%*
42,844 Blue Falcon, Ser. A-2, NR, NR,
5.460%, 12/25/16 (b) 42,472
----------------
INSURANCE - 2.1%
1,792,958 321 Henderson Receivables I LLC, Ser. 2007-3A, Class A, BBB, Baa1,
6.150%, 10/15/48 (a) (b) 1,519,514
452,830 321 Henderson Receivables I LLC, Ser. 2008-1A, Class A, AA+, Aaa,
6.190%, 1/15/44 (a) (b) 401,642
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class B, AA, NR,
8.370%, 1/15/46 (a) (b) 399,310
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR,
9.360%, 1/15/48 (b) 418,335
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB, NR,
10.810%, 1/15/50 (b) 438,845
100,000 Ballantyne Re PLC, Ser. 2006-1A, Class A2A, CC, NR,
0.539%, 5/2/36 (b) (d) 23,000
----------------
3,200,646
----------------
RESIDENTIAL LOANS - 0.1%
500,000 GSAA Trust, Ser. 2007-5, Class 1F2A, CCC, Caa1,
5.788%, 3/25/47 (a) (d) 209,463
----------------
STUDENT LOANS - 0.2%
391,848 MRU Student Loan Trust, Ser. 2008-A, Class A1A, AAA, NR,
7.400%, 1/25/41 (b) 264,227
202,567 MRU Student Loan Trust, Ser. 2008-A, Class B, AA, NR,
5.749%, 1/25/41 (b) (d) 53,281
202,567 MRU Student Loan Trust, Ser. 2008-A, Class C, A, NR,
7.749%, 1/25/41 (b) (d) (f) 53,656
----------------
371,164
----------------
TIMESHARES - 2.8%
2,771,430 Diamonds Resort, Ser. 2009-1, Class A, A, NR,
9.310%, 3/20/36 (a) (b) 2,778,575
1,486,047 Sierra Receivables Funding Co., Ser. 2006-1A, Class A1, BBB-, Baa3,
5.840%, 5/20/18 (a) (b) 1,480,808
54,058 Special Asset Facility, Ser. 2009-A, Class A, NR, NR,
9.000%, 2/20/25 (a) (b) 54,087
----------------
4,313,470
----------------
TRANSPORTATION - 20.4%
2,230,427 Aircraft Certificate Owner Trust, Ser. 2003-1A, Class D, BB+, Ba3,
6.455%, 9/20/22 (b) 1,940,472
2,000,000 Aircraft Certificate Owner Trust, Ser. 2003-1A, Class E, BB+, Ba3,
7.001%, 9/20/22 (b) 1,509,920
2,428,393 Aircraft Lease Securitization Ltd., Ser. 2007-1A, Class G3, A-, Baa1,
0.489%, 5/10/32 (Jersey) (b) (d) 1,831,761
995,552 Airplanes Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3,
0.608%, 3/15/19 (d) 935,819
15,000,000 Airplanes Pass Through Trust, Ser. 2001-1A, Class A9, CCC, B1,
0.782%, 3/15/19 (d) 6,900,000
1,112,974 Aviation Capital Group Trust, Ser. 2000-1A, Class A1, BB, Ba3,
0.711%, 11/15/25 (b) (d) 592,247
5,931,086 Aviation Capital Group Trust, Ser. 2003-2A, Class B1, BBB, A3,
3.229%, 9/20/33 (b) (d) 3,572,649
6,470,738 Aviation Capital Group Trust, Ser. 2003-2A, Class G1, A, Aa2,
0.929%, 9/20/33 (b) (d) 4,434,008
3,883,199 Babcock & Brown Air Funding Ltd., Ser. 2007-1A, Class G1, BBB+, Baa2,
0.532%, 10/14/33 (Bermuda) (a) (b) (d) 2,859,006
589,937 CLI Funding LLC, Ser. 2006-1A, Class A, BBB, Baa3,
0.409%, 8/18/21 (b) (d) 475,674
340,557 Helios Finance LP, Ser. 2007-S1, Class B1, BBB, Baa3,
0.929%, 10/20/14 (Cayman Islands) (b) (d) 321,428
3,798,064 Lease Investment Flight Trust, Ser. 1, Class A3, B+, Baa3,
0.662%, 7/15/16 (a) (d) 3,177,802
5,200,000 Pegasus Aviation Lease Securitization, Ser. 2001-1A, Class A1, NR, B2,
0.708%, 5/10/31 (b) (d) 1,365,000
500,000 Pegasus Aviation Lease Securitization, Ser. 2001-1A, Class A2, NR, B2,
0.808%, 5/10/31 (b) (d) 141,650
2,187,000 Triton Container Finance LLC, Ser. 2006-1A, BBB, Baa2,
0.399%, 11/26/21 (b) (d) 1,770,365
----------------
31,827,801
----------------
TRUST PREFERRED STOCKS - 3.4%
6,000,000 Attentus CDO Ltd., Ser. 2007-3A, Class A1B, AAA, Aa3,
0.509%, 10/11/42 (Cayman Islands) (b) (d) 2,613,480
4,803,119 Preferred Term Securities XXIII Ltd., BBB-, B1,
0.564%, 12/22/36 (Cayman Islands) (b) (d) 2,713,762
----------------
5,327,242
----------------
WHOLE BUSINESS - 7.4%
6,424,030 Applebee's Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aa3,
6.427%, 12/20/37 (a) (b) 5,813,040
3,760,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1, Class A2, BBB-, Baa3,
5.261%, 4/25/37 (a) (b) 3,338,330
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2,
5.144%, 3/20/37 (a) (b) 1,790,320
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2,
7.250%, 6/25/38 (b) (f) 558,684
----------------
11,500,374
----------------
TOTAL ASSET BACKED SECURITIES - 65.0%
(Cost $94,096,524) 101,602,476
----------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 30.3%
500,000 Banc of America Commercial Mortgage, Inc., Ser. 2003-2, Class G, A-, NR,
5.333%, 3/11/41 (b) (d) 356,043
1,000,000 Banc of America Commercial Mortgage, Inc., Ser. 2004-5, Class B, AA+, Aa2,
5.058%, 11/10/41 (a) (d) 652,835
600,000 Banc of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ, BBB+, Aaa,
5.148%, 10/10/45 (a) (d) 475,713
1,500,000 Bear Stearns Commercial Mortgage Securities, Ser. 2005-PW10, Class AJ, BB+, NR,
5.463%, 12/11/40 (a) (d) 1,091,065
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2, Class E, A-, A3,
5.023%, 10/15/41 (b) (d) 348,407
1,200,000 Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class AM, A, NR,
5.700%, 12/10/49 (d) 1,000,979
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2005-CD1, Class AJ, A-, Aa1,
5.225%, 7/15/44 (a) (d) 1,582,552
13,500,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-C7, Class A4, AAA, NR,
5.769%, 6/10/46 (a) (d) (g) 14,032,756
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-C7, Class AM, A, NR,
5.794%, 6/10/46 (a) (d) 887,151
1,000,000 Commercial Mortgage Pass Through Certificates, Ser. 2006-CN2A, Class F, CCC+, NR,
5.570%, 2/5/19 (a) (b) (d) 784,897
4,206,533 Countrywide Alternative Loan Trust, Ser. 2006-OA19, Class A1, CCC, Ba2,
0.409%, 2/20/47 (a) (d) 2,100,280
3,065,477 Countrywide Home Equity Loan Trust, Ser. 2004-S, Class 1A, CCC, B3,
0.472%, 2/15/30 (d) 1,522,990
1,616,586 Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8, Class 4A1, B+, B2,
5.425%, 12/20/35 (d) 1,201,771
1,425,000 Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-TFLA, Class K, AA+, Aaa,
1.532%, 2/15/20 (a) (b) (d) 1,376,486
1,500,000 Credit Suisse Mortgage Capital Certificates, Ser. 2006-C3, Class AM, BBB-, Aaa,
5.826%, 6/15/38 (a) (d) 1,266,840
128,230 Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Ser. 2006-AB4, Class A1A, D, Caa1,
6.005%, 10/25/36 (d) 69,286
2,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class AJ, AAA, Aa2,
4.859%, 8/10/42 (a) (d) 1,563,556
1,000,000 Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class AJ, BBB, Aaa,
5.301%, 4/10/37 (a) (d) 749,580
600,000 GS Mortgage Securities Corp. II, Ser. 2001-GL3A, Class E, NR, A3,
6.234%, 8/5/18 (b) (d) 526,021
721,515 Impac Secured Assets CMN Owner Trust, Ser. 2007-3, Class A1A, CCC, Caa1,
0.339%, 9/25/37 (d) 376,558
1,253,966 Indymac Index Mortgage Loan Trust, Ser. 2006-AR9, Class 3A1, AAA, B3,
5.688%, 6/25/36 (d) 912,904
700,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2002-C1, Class E, A-, A2,
6.135%, 7/12/37 (b) 628,016
1,000,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP3, Class AJ, BBB, Aaa,
4.989%, 8/15/42 (a) (d) 754,183
2,600,000 JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class AM, BB+, Aaa,
5.818%, 6/15/49 (a) (d) 1,832,486
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6, Class AJ, AAA, NR,
5.073%, 8/13/42 (a) (d) 1,533,916
1,000,000 Morgan Stanley Capital I, Ser. 2006-HQ10, Class AM, NR, Aaa,
5.360%, 11/12/41 (a) 875,309
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12, Class AM, A, NR,
5.370%, 12/15/43 (a) 1,059,518
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23, Class AM, A+, NR,
5.810%, 8/12/41 (a) (d) 919,785
443,944 New Century Home Equity Loan Trust, Ser. 2004-A, Class AII9, B, A2,
5.434%, 8/25/34 (d) 342,634
1,088,000 TBW Mortgage Backed Pass Through Certificates, Ser. 2006-6, Class A3, D, Caa2,
5.750%, 1/25/37 (h) 606,660
2,500,000 TBW Mortgage Backed Pass Through Certificates, Ser. 2006-6, Class A5B, D, Caa3,
6.040%, 1/25/37 (h) 1,132,307
2,000,000 TIAA Seasoned Commercial Mortgage Trust, Ser. 2007-C4, Class AJ, A+, NR,
6.072%, 8/15/39 (a) (d) 1,734,622
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2,
5.884%, 10/15/36 (a) (b) 742,500
2,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AJ, BBB-, Aaa,
5.138%, 7/15/42 (a) (d) 1,543,371
1,000,000 Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C21, Class AJ, AAA, Aaa,
5.208%, 10/15/44 (a) (d) 818,142
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 30.3% 47,402,119
(Cost $50,984,375) ------------
NUMBER OF SHARES VALUE
-----------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCK - 3.5%
BANKS - 1.6%
40,000 BB&T Capital Trust VI, 9.600% (a) 1,140,000
50,000 Santander Finance Preferred SA Unipersonal, 6.500% (Spain) (a) 1,325,000
------------
2,465,000
------------
DIVERSIFIED FINANCIAL SERVICES - 0.7%
50,000 Deutsche Bank Contingent Capital Trust II, 6.550% (a) 1,090,000
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.950% (i) 5,151
------------
1,095,151
------------
INSURANCE - 0.3%
20,000 Aegon NV, 6.375% (Netherlands) (a) 387,400
3,800 ING Groep NV, 7.050% (Netherlands) (a) 75,430
------------
462,830
------------
TELECOMMUNICATION - 0.6%
1,000 Centaur Funding Corp., 9.080% (Cayman Islands) (b) 1,046,250
------------
TOTAL PREFERRED STOCK - 3.2%
(Cost $5,817,313) 5,069,231
------------
EXCHANGE-TRADED FUNDS - 10.9%
25,000 DIAMONDS Trust, Series I (a) (j) 2,582,250
60,000 Powershares QQQ (a) (j) 2,685,600
20,000 ProShares Ultra Dow30 (a) (j) 863,200
130,000 ProShares Ultra S&P500 (a) (j) 4,876,300
55,000 SPDR Trust, Series 1 (a) (j) 6,091,800
------------
TOTAL EXCHANGE-TRADED FUNDS - 10.9% 17,099,150
(Cost $16,835,651) ------------
PRINCIPAL AMOUNT VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 1.2%
Freddie Mac, Ser. 1, AAA, Aaa,
2,000,000 6.500%, 6/3/24 (a) (d)
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 1.2%
(Cost $2,000,000) 1,915,000
------------
TERM LOANS (K) - 3.7%
CONSUMER PRODUCTS - 0.3%
514,400 Navisite, Inc., B-, B3,
11.150%, 9/19/14 (d) 468,104
------------
ELECTRONICS - 0.3%
467,744 Clientlogic Corp., B+, B3,
5.743%, 1/30/14 (d) 441,434
------------
HEALTHCARE, EDUCATION & CHILDCARE - 1.0%
803,430 Aurora Diagnostics LLC, B-, B3,
4.530%, 12/10/12 (d) (f) 800,458
845,896 Embanet, B, B2,
3.257%, 6/28/12 (d) 693,635
------------
1,494,093
------------
HOME & OFFICE FURNISHINGS - 0.4%
692,502 Centaur LLC, CCC+, B2,
11.250%, 11/9/14 (d) 628,100
------------
LEISURE - 0.8%
1,448,876 Bushnell Performance Optics, BB-, Ba3,
4.501%, 8/24/13 (d) 1,343,832
------------
RETAIL STORES - 0.9%
1,071,426 Deb Shops, Inc., B-, B3,
7.000%, 4/23/14 (d) 664,284
975,000 Mattress Firm, B, Ba3,
2.510%, 10/23/14 (d) 770,859
------------
1,435,143
------------
TOTAL TERM LOANS - 3.7%
(Cost $6,631,952) 5,810,706
------------
TOTAL LONG-TERM INVESTMENTS - 137.2%
(Cost $214,872,810) 214,598,663
------------
EXPIRATION EXERCISE
CONTRACTS OPTIONS PURCHASED DATE PRICE VALUE
------------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 0.0%*
43 CBOE S&P 500 Volatility Index (j) (l) (m)
(Cost $16,555) March 2010 20.00 6,235
--------------
TOTAL INVESTMENTS - 137.2%
(Cost $214,889,365) 214,604,898
Other Assets in excess of Liabilities - 5.4% 8,395,300
Total Options Written - (0.3%) (392,018)
Borrowings - (15.8%) (24,727,551)
Reverse Repurchase Agreements - (26.5%) (41,470,214)
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $ 156,410,415
==============
* 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 February 28, 2010, the total amount segregated
was $121,542,467.
(b) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At February 28,
2010, these securities amounted to $112,709,425 which represents 72.1% of
net assets applicable to common shares.
(c) Security has a fixed rate coupon which will convert to a floating or
variable rate coupon on a future date.
(d) Floating or Variable Rate Coupon. Rate shown is in effect at February 28,
2010.
(e) Risk-Linked Security - A risk-linked security is a form of derivative
issued by insurance companies and insurance related special purpose
vehicles that apply securitization techniques to catastrophic property and
casualty damages. The security is typically a debt obligation for which the
return of principal and the payment of interest are contingent on the
non-occurrence of a pre-defined "trigger event." Depending on the specific
terms and structure of the security, this trigger could be the result of a
hurricane, earthquake or some other catastrophic event.
(f) 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
$7,039,835 which represents 4.5% of net assets applicable to common shares.
(g) 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 February 28, 2010, the total
amount physically segregated was $14,032,756. See previously submitted
notes to financial statements for the period ended November 30, 2009.
(h) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date.
(i) Non-income producing as security is in default.
(j) All or a portion of this security position represents cover for outstanding
options written.
(k) Term loans held by the Fund have a variable interest rate feature which is
periodically adjusted based on an underlying interest rate benchmark. In
addition, term loans may include mandatory and/or optional prepayment
terms. As a result, the actual maturity dates of the loans may be different
than the data 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.
(l) Non-income producing security.
(m) Represents 100 shares per contract.
Ratings shown are per Standard & Poor's and Moody's. Securities classified as NR
are not rated.
-----------------------------------------------------------------------
Country Allocation*
-----------------------------------------------------------------------
United States 71.5%
Cayman Islands 21.4%
Bermuda 1.6%
France 1.3%
United Kingdom 1.2%
Jersey 0.9%
Sweden 0.8%
Spain 0.6%
Netherlands 0.5%
Canada 0.2%
-----------------------------------------------------------------------
*Subject to change daily. Based on total investments.
See previously submitted notes to financial statements for the six months ended
November 30, 2009.
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2010 (UNAUDITED)
Expiration Exercise
Contracts Options Written (l) Date Price Value
-----------------------------------------------------------------------------------------------------------------------------------
Call Options Written - (0.3%)
43 CBOE S&P 500 Volatility Index (m) March 2010 $ 24.00 $ 2,580
250 DIAMONDS Trust, Series I (m) March 2010 105.00 17,250
600 Powershares QQQ (m) March 2010 45.00 36,900
200 ProShares Ultra Dow30 (m) March 2010 44.00 15,500
1,300 ProShares Ultra S&P500 (m) March 2010 38.00 117,650
900 S&P 500 Index March 2010 1,100.00 17,728
6,900 S&P 500 Index March 2010 1,105.00 115,545
550 SPDR Trust, Series 1 (m) March 2010 112.00 64,350
-----------------
TOTAL VALUE OF CALL OPTIONS WRITTEN 387,503
(Premiums received $528,475) -----------------
PUT OPTIONS WRITTEN - (0.0%*)
43 CBOE S&P 500 Volatility Index (m) March 2010 20.00 4,515
(Premiums received $1,935) -----------------
TOTAL VALUE OF OPTIONS WRITTEN - (0.3%) $ 392,018
(Premiums received $530,410) =================
*Less than 0.1%
(l) Non-income producing security
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2010 (UNAUDITED)
The Fund entered into swap agreements during the period ended February 28,
2010 to potentially enhance return. Details of the swap agreements outstanding
as of February 28, 2010 were as follows:
CREDIT DEFAULT SWAP AGREEMENTS
IMPLIED CREDIT NOTIONAL RECEIVE UNREALIZED
REFERENCE BUY/SELL TERMINATION SPREAD AT FEBRUARY AMOUNT FIXED APPRECIATION/
COUNTERPARTY ENTITY PROTECTION DATE 28, 2010(2) (000) RATE DEPRECIATION
------------------------------------------------------------------------------------------------------------------------------------
Basket of distinct
Goldman Sachs(1) corporate entities Sell 09/21/14 13.78% $ 3,000 1.180% $ (1,282,281)
-------------
INTEREST RATE SWAP AGREEMENTS
NOTIONAL RECEIVE UNREALIZED
FLOATING TERMINATION AMOUNT FIXED APPRECIATION/
COUNTERPARTY RATE DATE (000) RATE DEPRECIATION
------------------------------------------------------------------------------------------------------------------------
Goldman Sachs (3) 3 Month LIBOR 01/04/38 $10,000 5.675% $ 554,375
Goldman Sachs (3) 3 Month LIBOR 01/04/38 10,000 5.860 331,934
Goldman Sachs (3) 3 Month LIBOR 01/12/15 10,000 3.155 160,052
Goldman Sachs (3) 3 Month LIBOR 07/07/38 5,000 5.753 250,050
Goldman Sachs (3) 3 Month LIBOR 07/07/38 5,000 5.940 200,050
Goldman Sachs (3) 3 Month LIBOR 01/12/15 5,000 3.225 68,604
Goldman Sachs (3) 3 Month LIBOR 01/12/15 5,000 3.095 86,671
HSBC (3) 3 Month LIBOR 01/09/23 5,000 7.700 (4) 64,066
------------------
$ 1,715,802
------------------
TOTAL RETURN SWAP AGREEMENTS
NOTIONAL UNREALIZED
AMOUNT APPRECIATION/
COUNTERPARTY REFERENCE ENTITY FLOATING RATE TERMINATION DATE (000) DEPRECIATION
-----------------------------------------------------------------------------------------------------------------------------------
Barclays Capital (5) S&P (500) 1 Month LIBOR + 0.35% 12/28/10 $ 1,000 $ 5,190
Barclays Capital (5) S&P (500) 1 Month LIBOR + 0.35% 12/22/10 7,543 71,535
----------
$ 76,725
----------
----------
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $ 510,246
==========
(1) The Fund receives a fixed rate based upon the notional amount of $3
million and if a defined credit event occurs, pays cumulative losses in
excess of a stated percentage on an underlying basket of distinct corporate
entities with an aggregate notional value of $3 billion. The maximum loss
exposure is $3 million.
(2) Implied credit spreads, represented in absolute terms, utilized in
determining the market value of credit default swap agreements on corporate
issues or sovereign issues of an emerging country as of period end serve as
an indicator of the current status of the payment/performance risk and
represent the likelihood or risk of default for the credit derivative. The
implied credit spread of a particular referenced entity reflects the cost
of buying/selling protection and may include upfront payments required to
be made to enter into the agreement. Wider credit spreads represent a
deterioration of the referenced entity's credit soundless and a greater
likelihood or risk of default or other credit event occurring as defined
under the terms of the agreement. A credit spread identified as "Defaulted"
indicates a credit event has occurred for the referenced entity or
obligation.
(3) The Fund pays the floating rate and receives the fixed rate.
(4) For any day that the spread between 30-year fixed for floating rate
swap 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's & Poor's 500 Index.
At February 28, 2010, the cost and related gross unrealized appreciation and
depreciation on investments for tax purposes are as follows:
Gross Tax Net Tax Unrealized
Unrealized Gross Tax Unrealized Depreciation on
Cost of Investments for Tax Purposes Appreciation Depreciation Investments
------------------------------------------------------------------------------------------------------------------------------
$224,235,243 $ 15,821,467 $ (25,451,812) $ (9,630,345)
------------------------------------------------------------------------------------------------------------------------------
In accordance with ASC 820, Fair Value Measurements and Disclosures (formerly
known as the Statement of Financial Accounting Standard ("FAS") No. 157, 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. ASC 820 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 February 28, 2010.
Description LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------------------------------------------------------------------------------
(value in $000s)
Assets:
Corporate Bonds $ - $ 35,700 $ - $ 35,700
Asset Backed Securities
Collateralized Debt Obligations - 4,096 - 4,096
Collateralized Loan Obligations - 30,268 3,297 33,565
Commercial Real Estate - - 1,718 1,718
Commercial Receivables - 3,506 - 3,506
Corporate Debt Obligations - 811 612 1,423
Credit Cards - 502 - 502
Financials - 42 - 42
Insurance - 3,201 - 3,201
Residential Loans - 209 - 209
Student Loans - 317 54 371
Timeshares - 4,314 - 4,314
Transportation - 31,828 - 31,828
Trust Preferred Stocks - 5,327 - 5,327
Whole Business - 10,942 559 11,501
Collateralized Mortgage Obligations - 47,402 - 47,402
Preferred Stock 5,069 - - 5,069
Exchange-Traded Funds 17,099 - - 17,099
U.S. Government and Agency Securities - 1,915 - 1,915
Term Loans:
Consumer Products - 468 - 468
Electronics - 442 - 442
Healthcare, Education & Childcare - 694 800 1,494
Home & Office Furnishings - 628 - 628
Leisure - 1,344 - 1,344
Retail Stores - 1,435 - 1,435
Interest Rate Swaps - 1,716 - 1,716
Total Return Swaps - 77 - 77
Call Options Purchased - 6 - 6
---------------------------------------------------------------------------------
Total $ 22,168 $ 187,190 $ 7,040 $ 216,398
=================================================================================
Liabilities:
Credit Default Swaps $ - $ 1,282 $ - $ 1,282
Options Written 252 140 - 392
---------------------------------------------------------------------------------
Total $ 252 $ 1,422 $ - $ 1,674
=================================================================================
For fair valuations using unobservable inputs, FAS 157 requires a reconciliation
of the beginning to ending balances for reported market values that presents
changes attributable to total realized and unrealized gains or losses, purchases
and sales, and transfers in/out of the Level 3 category during the period. The
following table presents the reconciliation of the Fund's investments measured
at fair value using significant unobservable inputs (Level 3 valuations) for the
period ended February 28, 2010. In addition to the observable inputs referenced
earlier, the unobservable inputs used to value such securities include
evaluations of anticipated cash flows, discount rates, default rates and other
measures of illiquidity.
LEVEL 3 HOLDINGS SECURITIES DERIVATIVES TOTAL
------------------------------------------------- ----------------------------------------------------------------------
Beginning Balance at 5/31/09 $ 33,038 $ - $ 33,038
Total Realized Gain/Loss 109 - 109
Change in Unrealized Gain/Loss (2,497) - (2,497)
Net Purchases and Sales (470) - (470)
Net Transfers In/Out (23,140) - (23,140)
----------------------------------------------------------------------
Ending Balance at 2/28/10 $ 7,040 $ - $ 7,040
======================================================================
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) as of a date within 90 days of the filing date
of this report and have concluded, based on such evaluation, that the
registrant's disclosure controls and procedures were effective, as of
that date, in ensuring that information required to be disclosed by the
registrant in this Form N-Q was recorded, processed, summarized and
reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There was no change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act
of 1940, as amended) that occurred during the registrant's last fiscal
quarter that has materially affected or is reasonably likely to
materially affect the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is
attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Claymore/Guggenheim Strategic Opportunities Fund
------------------------------------------------
By: /s/ J. Thomas Futrell
-----------------------------------------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: April 29, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ J. Thomas Futrell
-----------------------------------------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: April 29, 2010
By: /s/ Steven M. Hill
-----------------------------------------------------------------------
Steven M. Hill
Chief Financial Officer, Chief Accounting Officer & Treasurer
Date: April 29, 2010