UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21982
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Claymore/Guggenheim Strategic Opportunities Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2009
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2009 (UNAUDITED)
OPTIONAL
PRINCIPAL AMOUNT DESCRIPTION CALL PROVISION VALUE
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LONG-TERM INVESTMENTS - 125.9%
CORPORATE BONDS - 18.5%
AIRLINES - 1.6%
$ 1,418,024 America West Airlines LLC, Ser. 011G, BB+, B1
7.100%, 4/2/21 N/A $ 1,106,058
301,819 Delta Air Lines, Inc., Ser. 02G1, BBB+, Ba2
6.718%, 1/2/23 N/A 242,964
843,876 Northwest Airlines Corp., Ser. 992A, A-, NR
7.575%, 3/1/19 N/A 700,417
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2,049,439
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BANKS - 9.1%
1,000,000 Agfirst Farm Credit Bank, A, NR
7.300%, 10/31/49 (a) (b) 10/5/09 @ 100.00 701,960
1,250,000 Barclays Bank PLC, NR, Baa2
6.278%, 12/29/49 (United Kingdom) (a) (c) 12/15/34 @ 100.00 838,050
1,200,000 BNP Paribas, A, Aa3
7.195%, 6/29/49 (France) (a) (b) (c) 6/25/37 @ 100.00 1,020,000
1,000,000 Credit Agricole SA, A-, Aa3
6.637%, 5/29/49 (France) (a) (b) (c) 5/31/17 @ 100.00 660,000
1,500,000 Farm Credit Bank, Ser. 1, NR, A2
7.561%, 11/29/49 (a) (c) 12/15/13 @100.00 1,021,695
1,000,000 Fifth Third Bancorp, BBB-, Baa2
8.250%, 3/1/38 (a) N/A 888,362
1,000,000 KeyCorp Capital III, BB, Baa2
7.750%, 7/15/29 (a) N/A 874,005
1,250,000 Mellon Capital IV, Ser. 1, A-, A1
6.244%, 6/20/49 (a) (c) 6/20/12 @ 100.00 912,500
1,250,000 Northgroup Preferred Capital Corp., A, A1
6.378%, 1/29/49 (a) (b) (c) 10/15/17 @ 100.00 1,018,963
700,000 PNC Preferred Funding Trust I, BBB, Baa2
8.700%, 2/19/49 (a) (b) (c) 3/15/13 @ 100.00 616,056
500,000 Rabobank Nederland NV, AA-, Aa2
11.000%, 12/29/49 (Netherlands) (b) (c) 6/30/19 @ 100.00 590,625
1,400,000 Royal Bank of Scotland Group PLC, CCC+, B3
7.640%, 3/31/49 (United Kingdom) (a) (c) 9/29/17 @ 100.00 616,000
1,250,000 State Street Capital Trust IV, BBB+, A2
1.629%, 6/15/37 (a) (d) 6/15/12 @ 100.00 780,594
1,250,000 US AgBank FCB, A, A2
6.110%, 4/29/49 (a) (b) (c) 7/10/12 @ 100.00 484,350
1,000,000 Wells Fargo Capital XIII, Ser. GMTN, A-, Ba3
7.700%, 12/29/49 (a) (c) 3/26/13 @ 100.00 870,000
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11,893,160
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COMMERCIAL SERVICES - 0.2%
250,000 R.R. Donnelley & Sons Co., BBB, Baa3
11.250%, 2/1/19 (a) N/A 279,258
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DIVERSIFIED FINANCIAL SERVICES - 2.4%
Hampton Roads PPV LLC, NR, Baa2 (b)
1,000,000 6.071%, 12/15/41 N/A 780,620
1,000,000 6.171%, 6/15/53 N/A 765,490
2,000,000 Svensk Exportkredit AB, A, Aa3
6.375%, 10/29/49 (Sweden) (a) (b) 9/27/09 @ 100.00 1,550,000
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3,096,110
-------------
ELECTRIC - 0.6%
1,000,000 Wisoncsin Energy Corp., BBB-, Baa1
6.250%, 5/15/67 (a) (c) 5/15/17 @ 100.00 790,000
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ENTERTAINMENT AND GAMING - 1.2%
1,000,000 Agua Caliente Band of Cahuilla Indians, NR, NR
6.350%, 10/1/15 (b) N/A 932,880
500,000 Downstream Development Authority of the Quapaw
Tribe of Oklahoma, B-, Caa1
12.000%, 10/15/15 (b) 10/15/11 @ 109.00 316,250
500,000 Indianapolis Downs LLC & Capital Corp., CCC, Caa2
11.000%, 11/1/12 (b) 11/1/10 @ 105.50 355,000
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1,604,130
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INSURANCE - 3.4%
1,000,000 Allstate Corp. (The), BBB, Baa1
6.500%, 5/15/57 (a) (c) 5/15/37 @ 100.00 800,000
1,000,000 AXA SA, BBB+, Baa1
6.463%, 12/14/49 (France) (a) (b) (c) 12/14/18 @ 100.00 730,000
400,000 Blue Coast Ltd., Ser. A, B+, NR
10.144%, 12/8/10 (Cayman Islands) (b) (d) (e) N/A 352,848
700,000 Blue Fin Ltd., BB+, NR
4.948%, 4/10/12 (Cayman Islands) (a) (b) (d) (e) 4/08/10 @ 101.00 605,780
1,000,000 Metlife Capital Trust IV, BBB, Baa1
7.875%, 12/15/37 (a) (b) 12/15/32 @ 100.00 880,000
1,250,000 Progressive Corp. (The), A-, A2
6.700%, 6/15/37 (a) (c) 6/15/17 @ 100.00 1,004,693
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4,373,321
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TOTAL CORPORATE BONDS - 18.5%
(Cost $30,465,472) 24,085,418
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ASSET BACKED SECURITIES - 55.9%
1,862,396 321 Henderson Receivables I LLC, Ser. 2007-3A,
Class A, BBB, Baa1,
6.150%, 10/15/48 (a) (b) 1,392,681
467,738 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class A, AAA, Aaa,
6.190%, 1/15/44 (a) (b) 367,469
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class B, AA, NR,
8.370%, 1/15/46 (a) (b) 348,765
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class C, A, NR,
9.360%, 1/15/48 (b) 374,055
500,000 321 Henderson Receivables I LLC, Ser. 2008-1A,
Class D, BBB, NR,
10.810%, 1/15/50 (b) 402,450
2,605,263 Aircraft Lease Securitisation Ltd., Ser. 2007-1A,
Class G3, A-, Baa1
0.536%, 5/10/32 (Jersey) (b) (d) 1,771,578
1,599,810 Airplanes Pass Through Trust, Ser. 1R, Class A8,
BB-, Baa3,
0.648%, 3/15/19 (d) 1,279,848
973,338 Applebee's Enterprises LLC, Ser. 2007-1A,
Class A22A, AAA, Aa2,
6.427%, 12/20/37 (b) 824,865
7,500,000 ARES CLO Funds, Ser. 2007-12A, Class B, AA, A3,
1.393%, 11/25/20 (Cayman Islands) (b) (d) 4,275,000
635,902 Armstrong Loan Funding Ltd., Ser. 2008-1A,
Class B, AAA, Aa3,
1.483%, 8/1/16 (Cayman Islands) (b) (d) 441,297
2,180,686 Aspen Funding I Ltd., Ser. 2002-1A, Class A1L,
AAA, A2, 1.125%, 7/10/37 (Cayman Islands) (b) (d) 1,199,377
6,723,980 Aviation Capital Group Trust, Ser. 2003-2A,
Class G1, A, Aa2
0.973%, 9/20/33 (b) (d) 4,236,108
5,000,000 Avis Budget Rental Car Funding AESOP LLC,
Ser. 2009-1A, Class A, NR, A2
9.310%, 10/20/13 (a) (b) 4,999,058
100,000 Ballantyne Re PLC, Ser. 2006-1A, Class A2A, CC,
Baa1, 0.569%, 5/2/36 (b) (d) 18,000
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A,
Class B, AA, Aa2,
0.886%, 4/29/19 (Cayman Islands) (a) (b) (d) (f) 1,671,080
2,000,000 Black Diamond CLO Ltd., Ser. 2006-1A,
Class C, A, A2,
1.186%, 4/29/19 (Cayman Islands) (a) (b) (d) (f) 1,513,380
47,590 Blue Falcon, Ser. A-2, NR, NR,
5.460%, 12/25/16 (b) 46,882
1,955,390 Callidus Debt Partners Fund Ltd., Ser. 6A,
Class A1T, AAA, A3,
0.763%, 10/23/21 (Cayman Islands) (b) (d) (f) 1,635,254
1,300,000 Capital Auto Receivables Asset Trust,
Ser. 2007-1, Class B, NR, A1,
5.150%, 9/17/12 1,224,605
750,000 CapitalSource Commercial Loan Trust,
Ser. 2006-2A, Class A1B, AAA, Aaa,
0.603%, 9/20/22 (b) (d) (f) 654,623
691,915 CapitalSource Commercial Loan Trust,
Ser. 2006-2A, Class APT, AAA, Aaa,
0.513%, 9/20/22 (b) (d) (f) 636,357
635,317 CLI Funding LLC, Ser. 2006-1A, Class A, BBB, Baa3,
0.453%, 8/18/21 (b) (d) 420,396
1,242,435 Coronado CDO Ltd., Ser. 1X, Class A1, AA-, Baa2,
1.166%, 9/4/38 (Cayman Islands) (d) 695,764
46,948 Daimler Chrysler Master Owner Trust, Ser. 2006-A,
Class A, BB-, B2,
0.303%, 11/15/11 (d) 46,722
3,760,000 Dominos Pizza Master Issuer LLC, Ser. 2007-1,
Class A2, BBB-, Baa3,
5.261%, 4/25/37 (a) (b) 3,058,442
4,577,946 Duke Funding Ltd., Ser. 2003-5A, Class 1W, CCC, Caa2
1.018%, 8/7/33 (Cayman Islands) (b) (d) 1,370,637
3,000,000 Dunkin Securitization, Ser. 2006-1, Class A2,
BBB-, Baa3,
5.779%, 6/20/31 (b) 2,889,660
1,000,000 Ford Credit Floorplan Master Owner Trust,
Ser. 2006-4, Class B, BB, Baa3,
0.823%, 6/15/13 (a) (d) 866,345
1,000,000 Friedbergmilstein Private Capital Fund,
Ser. 2004-1A, Class B2, AA, A3,
5.409%, 1/15/19 (Cayman Islands) (b) (f) 863,470
747,039 GE Commercial Loan Trust, Ser. 2006-1, Class A2,
AAA, A3, 0.740%, 4/19/17 (a) (b) (d) (f) 618,589
500,000 GSAA Trust, Ser. 2007-5, Class 1F2A, CCC, B3,
5.788%, 3/25/47 (a) (d) 207,915
400,000 Harley-Davidson Motorcycle Trust, Ser. 2007-2,
Class B, A, A3,
5.230%, 3/15/14 377,065
1,000,000 Harley-Davidson Motorcycle Trust, Ser. 2007-3,
Class B, A, Baa3,
6.040%, 8/15/14 692,818
500,000 Helios Finance LP, Ser. 2007-S1, Class B1, BBB, Baa3
0.973%, 10/20/14 (Cayman Islands) (b) (d) 425,000
2,000,000 HFG Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2,
0.676%, 6/5/12 (b) (d) 1,301,900
2,000,000 IHOP Franchising LLC, Ser. 2007-1A, Class A1,
BBB-, Baa2, 5.144%, 3/20/37 (a) (b) 1,615,840
448,909 Lease Investment Flight Trust, Ser. 1, Class A3,
B+, Baa3, 0.703%, 7/15/16 (d) (f) 304,490
5,961 Merritt Funding Trust, Ser. 2005-2A, Class APT,
AAA, Aaa, 0.729%, 7/15/15 (b) (d) 5,776
800,000 Mountain View Funding CLO, Ser. 2007-3A,
Class A2, AAA, A2,
0.853%, 4/16/21 (Cayman Islands) (b) (d) 512,000
391,848 MRU Student Loan Trust, Ser. 2008-A,
Class A1A, AAA, NR,
7.400%, 1/25/41 (b) 250,354
202,567 MRU Student Loan Trust, Ser. 2008-A, Class B, AA, NR,
6.004%, 1/25/41 (b) (d) 87,800
202,567 MRU Student Loan Trust, Ser. 2008-A, Class C, A, NR,
8.004%, 1/25/41 (b) (d) 102,866
1,211,075 Muzinich CBO II Ltd., Ser. A2-A, AA+, B1,
7.150%, 10/15/13 (Bermuda) (b) (f) 1,163,843
1,000,000 Nantucket CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
0.827%, 11/24/20 (Cayman Islands) (b) (d) (f) 826,280
600,000 NuCO2 Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2,
7.250%, 6/25/38 (b) (f) 484,536
179,388 Phoenix Funding Ltd., Ser. 2001-1, AA, Aa2,
0.959%, 4/15/13 (d) (f) 162,970
4,874,501 Preferred Term Securities XXIII Ltd., BBB-, B1
0.939%, 12/22/36 (Cayman Islands) (b) (d) 1,803,565
583,109 Railcar Leasing LLC, Ser. 1, Class A2, AA+, Aa2
7.125%, 1/15/13 (b) 579,278
1,500,000 Rosedale CLO Ltd., Ser. I-A, Class A1J, AAA, Baa1,
0.912%, 7/24/21 (Cayman Islands) (b) (d) 900,000
2,000,000 Sealane Trade Finance, Ser. 2007-1A, Class E, NR, NR,
15.393%, 11/25/12 (Cayman Islands) (a) (b) (d) 1,594,740
1,734,058 Sierra Receivables Funding Co., Ser. 2006-1A,
Class A1, BBB, Baa3,
5.840%, 5/20/18 (a) (b) 1,653,702
211,489 Special Asset Facility, Ser. 2009-A, Class A, NR, NR,
9.000%, 2/20/25 (a) (b) 207,745
2,000,000 Stanfield Modena CLO Ltd., Ser. 2004-1A,
Class C, A, Baa3,
1.859%, 9/22/16 (Cayman Islands) (a) (b) (d) (f) 1,379,080
600,000 Start CLO Ltd., Ser 2006-2, Class C, AA-, Baa1
1.351%, 6/29/12 (Cayman Islands) (d) 481,776
1,000,000 Start CLO Ltd., Ser 2006-2, Class D, BBB+, Baa3
2.451%, 6/29/12 (Cayman Islands) (d) 714,570
400,000 Start CLO Ltd., Ser. 2006-3A, Class C, A-, A1,
1.329%, 6/7/11 (Cayman Islands) (b) (d) 339,464
550,000 Start CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1,
2.379%, 6/7/11 (Cayman Islands) (b) (d) 470,443
500,000 Start CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1,
2.154%, 12/26/11 (Cayman Islands) (a) (b) (d) 375,937
1,000,000 Start CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1,
4.204%, 12/26/11 (Cayman Islands) (a) (b) (d) 787,590
896,161 Structured Asset Securities Corp., Ser. 2007-BNC1,
Class A2, CCC, NR,
1.366%, 10/25/37 (d) (f) 625,886
1,000,000 Swift Master Auto Receivables Trust, Ser. 2007-2,
Class C, BBB-, Ba1,
2.273%, 10/15/12 (a) (d) 720,000
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
1.409%, 6/15/16 (Cayman Islands) (b) (d) (f) 1,856,960
2,000,000 TCW Global Project Fund, Ser. 2004-1A, Class B1, NR, NR,
2.459%, 6/15/16 (Cayman Islands) (b) (d) (f) 1,363,740
1,000,000 TCW Global Project Fund, Ser. 2005-1A, Class B2, A, NR,
5.793%, 9/1/17 (Cayman Islands) (b) (f) 768,239
190,386 TCW Select Loan Fund Ltd., Inc., Ser. 1A,
Class A1, AAA, Aaa,
0.985%, 10/10/13 (Cayman Islands) (b) (d) (f) 189,337
2,349,000 Triton Container Finance LLC, Ser. 2006-1A, BBB, Baa2,
0.434%, 11/26/21 (b) (d) 1,535,753
4,000,000 Telos CLO Ltd., Ser. 2006-1A, Class A2, AAA, Aaa,
0.910%, 10/11/21 (Cayman Islands) (b) (d) 2,080,000
2,500,000 Telos CLO Ltd., Ser. 2006-1A, Class B, AA, Aa2,
1.000%, 10/11/21 (Cayman Islands) (b) (d) 1,125,000
1,300,000 Trafigura Securitisation Finance PLC, Ser. 2007-1,
Class A, AAA, Aaa,
0.523%, 12/15/12 (Ireland) (d) 944,666
250,000 Wachovia Auto Loan Owner Trust, Ser. 2006-2A,
Class D, BBB+, Ba3,
5.540%, 12/20/12 (b) 191,717
2,000,000 Wrightwood Capital Real Estate CDO Ltd.,
Ser. 2005-1A, Class A1, AAA, Aa3,
0.739%, 11/21/40 (Cayman Islands) (b) (d) (f) 1,512,800
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TOTAL ASSET BACKED SECURITIES - 55.9% 72,866,198
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(Cost $74,725,566)
COLLATERALIZED MORTGAGE OBLIGATIONS - 20.5%
500,000 Banc of America Commercial Mortgage, Inc.,
Ser. 2003-2, Class G, A-, NR,
5.493%, 3/11/41 (b) (d) 262,722
1,000,000 Banc of America Commercial Mortgage, Inc.,
Ser. 2004-5, Class B, AA+, Aa2,
5.058%, 11/10/41 (a) (d) 530,008
600,000 Banc of America Commercial Mortgage, Inc.,
Ser. 2005-5, Class AJ, AAA, Aaa,
5.321%, 10/10/45 (a) (d) 374,775
1,500,000 Bear Stearns Commercial Mortgage Securities,
Ser. 2005-PW10, Class AJ, AAA, NR,
5.618%, 12/11/40 (a) (d) 973,353
510,829 BNC Mortgage Loan Trust, Ser. 2007-4,
Class A3A, AAA, NR,
0.516%, 11/25/37 (d) (f) 474,756
1,200,000 Citigroup Commercial Mortgage Trust, Ser. 2007-C6,
Class AM, A, NR
5.888%, 12/10/49 (d) 786,230
500,000 Citigroup Commercial Mortgage Trust, Ser. 2004-C2,
Class E, A-, A3,
5.023%, 10/15/41 (b) (d) 208,112
2,000,000 Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser. 2005-CD1, Class AJ, AAA, Aaa,
5.399%, 7/15/44 (a) (d) 1,305,194
1,000,000 Commercial Mortgage Pass Through Certificates,
Ser. 2006-CN2A, Class F, A, NR,
5.756%, 2/5/19 (a) (b) (d) 623,078
3,166,438 Countrywide Home Equity Loan Trust, Ser. 2004-S,
Class 1A, CCC, B3,
0.513%, 2/15/30 (d) 1,246,312
1,678,394 Countrywide Home Loan Mortgage Pass Through Trust,
Ser. 2005-HYB8, Class 4A1, B+, B2,
5.494%, 12/20/35 (d) 983,246
1,500,000 Credit Suisse Mortgage Capital Certificates,
Ser. 2006-C3, Class AM, AAA, Aaa,
6.020%, 6/15/38 (a) (d) 894,600
1,425,000 CS First Boston Mortgage Securities Corp.,
Ser. 2005-TFLA, Class K, AAA, Aaa,
1.573%, 2/15/20 (a) (b) (d) 1,256,288
169,362 Deutsche ALT-A Securities, Inc., Alternate Loan
Trust, Ser. 2006-AB4, Class A1A, CCC, Caa1,
6.005%, 10/25/36 (d) 112,680
2,000,000 Greenwich Capital Commercial Funding Corp.,
Ser. 2005-GG3, Class AJ, AAA, Aa2,
4.859%, 8/10/42 (a) (d) 1,308,099
1,000,000 Greenwich Capital Commercial Funding Corp.,
Ser. 2005-GG5, Class AJ, BBB, Aaa,
5.478%, 4/10/37 (a) (d) 647,139
600,000 GS Mortgage Securities Corp. II, Ser. 2001-GL3A,
Class E, NR, A3,
6.852%, 8/5/18 (b) (d) 475,682
942,256 Impac Secured Assets CMN Owner Trust, Ser. 2007-3,
Class A1A, AAA, Caa1,
0.376%, 9/25/37 (d) 567,865
1,668,147 Indymac Index Mortgage Loan Trust, Ser. 2006-AR9,
Class 3A1, AAA, B3,
5.742%, 6/25/36 (d) 1,204,976
700,000 JP Morgan Chase Commercial Mortgage Securities
Corp., Ser. 2002-C1, Class E, A-, A2,
6.135%, 7/12/37 (b) 559,148
1,000,000 JP Morgan Chase Commercial Mortgage Securities
Corp., Ser. 2005-LDP3, Class AJ, BBB, Aaa,
5.106%, 8/15/42 (a) (d) 670,000
2,600,000 JP Morgan Chase Commercial Mortgage Securities
Corp., Ser. 2007-LD11, Class AM, AAA, Aaa,
6.006%, 6/15/49 (a) (d) 1,668,252
2,000,000 Morgan Stanley Capital I, Ser. 2005-HQ6,
Class AJ, AAA, NR,
5.073%, 8/13/42 (a) (d) 1,197,143
1,250,000 Morgan Stanley Capital I, Ser. 2006- IQ12,
Class AM, AAA, NR,
5.370%, 12/15/43 (a) 840,247
1,000,000 Morgan Stanley Capital I, Ser. 2006-T23,
Class AM, AAA, NR,
5.984%, 8/12/41 (a) (d) 713,519
471,222 New Century Home Equity Loan Trust, Ser. 2004-A,
Class AII9, BBB+, A2,
5.470%, 8/25/34 (d) 297,710
1,088,000 TBW Mortgage Backed Pass Through Certificates,
Ser. 2006-6, Class A3, CCC, Caa2,
5.750%, 1/25/37 (d) 522,020
2,500,000 TBW Mortgage Backed Pass Through Certificates,
Ser. 2006-6, Class A5B, CCC, Caa3,
6.040%, 1/25/37 (d) 1,156,978
2,000,000 TIAA Seasoned Commercial Mortgage Trust,
Ser. 2007-C4, Class AJ, AAA, NR,
6.069%, 8/15/39 (a) (d) 1,223,189
750,000 Timberstar Trust, Ser. 2006-1A, Class C, A, A2,
5.884%, 10/15/36 (a) (b) 691,575
100,000 Timberstar Trust, Ser. 2006-1A, Class D, BBB, Baa2,
6.208%, 10/15/36 (b) 91,137
1,054,204 TW Hotel Funding 2005 LLC, Ser. 2005-LUX,
Class L, BB+, Ba1,
1.823%, 1/15/21 (b) (d) 846,136
2,000,000 Wachovia Bank Commercial Mortgage Trust,
Ser. 2005-C20, Class AJ, BBB-, Aaa,
5.311%, 7/15/42 (a) (d) 1,309,813
1,000,000 Wachovia Bank Commercial Mortgage Trust,
Ser. 2005-C21, Class AJ, AAA, Aaa,
5.384%, 10/15/44 (a) (d) 735,053
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TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS - 20.5% 26,757,035
-------------
(Cost $36,160,464)
NUMBER OF SHARES VALUE
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PREFERRED STOCK - 3.3%
BANKS - 1.7%
40,000 BB&T Capital Trust VI, 9.600% (a) 1,047,200
50,000 Santander Finance Preferred SA Unipersonal,
6.500% (Spain) (a) 1,155,000
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2,202,200
-------------
DIVERSIFIED FINANCIAL SERVICES - 0.7%
50,000 Deutsche Bank Contingent Capital Trust II, 6.550% (a) 970,000
37,600 Lehman Brothers Holdings, Inc., Ser. J, 7.950% (g) 3,572
-------------
973,572
-------------
INSURANCE - 0.2%
20,000 Aegon NV, 6.375% (Netherlands) (a) 257,600
3,800 ING Groep NV, 7.050% (Netherlands) (a) 53,352
-------------
310,952
-------------
TELECOMMUNICATION SERVICES - 0.7%
1,000 Centaur Funding Corp., 9.080% (Cayman Islands) (b) 936,250
-------------
TOTAL PREFERRED STOCK - 3.3%
(Cost $5,817,313) 4,422,974
-------------
EXCHANGE-TRADED FUNDS - 15.4%
25,000 DIAMONDS Trust,Series I (a) (h) 2,376,750
72,000 Powershares QQQ (a) (h) 2,880,000
66,900 ProShares Ultra Dow30 (a) (h) 2,435,829
48,300 ProShares Ultra QQQ (a) (h) 2,210,691
135,100 ProShares Ultra S&P500 (a) (h) 4,348,869
57,400 SPDR Trust, Series 1 (a) (h) 5,886,370
-------------
TOTAL EXCHANGE-TRADED FUNDS - 15.4% 20,138,509
-------------
(Cost $18,747,944)
PRINCIPAL AMOUNT VALUE
------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY SECURITIES - 1.4%
Freddie Mac, Ser. 1, AAA, Aaa,
$ 2,000,000 6.500%, 6/3/24 (d)
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 1.4%
(Cost $2,000,000) 1,830,000
-------------
TERM LOANS (I) - 10.9%
AUTOMOBILE - 1.0%
1,312,860 Harbor Freight Tools, B+, B1,
9.750%, 7/12/13 (d) 1,306,296
-------------
COMMUNICATIONS/MEDIA - 0.3%
500,000 Univision Acquisition, Inc., B-, B2,
2.535%, 9/30/14 (d) 393,890
-------------
CONSUMER PRODUCTS - 0.5%
972,734 Navisite, Inc., B-, B3,
11.150%, 9/19/14 (d) 734,414
-------------
ELECTRONICS - 2.6%
983,683 Caritor, Inc., B+, B2,
2.540%, 6/4/13 (d) 826,294
467,744 Clientlogic Corp., B+, B3,
5.963%, 1/30/14 (d) 371,856
1,222,583 Freescale Semiconductor, Inc., BB, Ba1,
2.059%, 11/29/13 (d) 922,133
1,292,575 GXS Corp., B+, Ba3,
9.250%, 10/18/14 (d) 1,255,413
-------------
3,375,696
-------------
FOOD & BEVERAGES - 1.0%
90,245 OSI Restaurant Partners, Revolver, B+, B3,
2.454%, 8/29/14 (d) 72,147
1,044,863 OSI Restaurant Partners, B+, B3,
2.454%, 6/14/14 (d) 835,332
500,000 Panda Restaurant, NR, NR,
6.600%, 8/23/17 (d) (f) 351,590
-------------
1,259,069
-------------
HEALTHCARE, EDUCATION & CHILDCARE - 2.0%
831,309 Aurora Diagnostics LLC, B-, B3,
4.665%, 12/10/12 (d) (f) 748,178
850,921 Embanet, B, B2,
3.510%, 6/28/12 (d) 659,464
1,477,500 PRA International, BB-, B1,
3.610%, 11/16/14 (d) 1,218,937
-------------
2,626,579
-------------
HOME & OFFICE FURNISHINGS - 0.5%
692,547 Centaur LLC, CCC+, B2,
9.250%, 11/9/14 (d) 599,053
-------------
LEISURE - 1.0%
1,448,876 Bushnell Performance Optics, BB-, Ba3,
4.348%, 8/24/13 (d) 1,260,522
-------------
RETAIL STORES - 2.0%
1,061,064 Deb Shops, Inc., B-, B3,
6.496%, 4/23/14 (d) 360,762
987,500 Guitar Center, B-, B2,
3.790%, 10/9/13 (d) 803,163
980,000 Mattress Firm, B, Ba3,
2.540%, 10/23/14 (d) 592,900
111,851 QVC, Inc., NR, NR,
3.789%, 3/3/11 (d) 110,599
100,666 QVC, Inc., NR, NR,
4.289%, 6/3/11 (d) 99,156
89,481 QVC, Inc., NR, NR,
4.789%, 6/30/12 (d) 88,139
89,481 QVC, Inc., NR, NR,
5.289%, 6/30/13 (d) 88,139
440,743 QVC, Inc., NR, NR,
5.789%, 6/30/14 (d) 431,399
-------------
2,574,257
-------------
TOTAL TERM LOANS - 10.9%
(Cost $16,751,901) 14,129,776
-------------
TOTAL LONG-TERM INVESTMENTS - 125.9%
(Cost $184,668,660) 164,229,910
-------------
EXPIRATION EXERCISE
CONTRACTS OPTIONS PURCHASED DATE PRICE VALUE
------------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS PURCHASED - 0.0%
35 CBOE S&P 500 Volatility Index (h) (j) (k)
(Cost $21,700) September 2009 22.50 20,225
-------------
TOTAL INVESTMENTS - 125.9%
(Cost $184,690,360) 164,250,135
Other Assets in excess of Liabilities - 5.3% 6,906,363
Total Options Written - (0.4%) (572,396)
Borrowings - (18.1%) (23,627,551)
Reverse Repurchase Agreements - (12.7%) (16,530,950)
-------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% $130,425,601
=============
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
Ltd. - Limited
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 August 31, 2009, the total amount segregated
was $85,279,720.
(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 August 31,
2009, these securities amounted to 62.7% 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 August 31,
2009.
(e) Risk-Linked Security - A risk-linked security is a form of derivative
issued by insurance companies and insurance related special purpose
vehicles that apply securitization techniques to catastrophic property and
casualty 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
$19,805,438 which represents 15.2% of net assets applicable to common
shares.
(g) Non-income producing as security is in default.
(h) All or a portion of this security position represents cover for outstanding
options written.
(i) Term loans held by the Fund have a variable interest rate feature which is
periodically adjusted based on an underlying interest rate benchmark.In
addition, term loans may include mandatory and/or optional prepayment
terms. As a result, the actual maturity dates of the loans may be different
than the amounts disclosed in the portfolio of investments. Term loans may
be considered restricted in that the Fund may be contractually obligated to
receive approval from the Agent Bank and/or Borrower prior to the sale or
disposition of loan.
(j) Non-income producing security.
(k) Represents 100 shares per contract.
Ratings (unaudited) shown are per Standard & Poor's and Moody's. Securities
classified as NR are not rated.
---------------------------------------------------------------------------
Country Allocation*
---------------------------------------------------------------------------
United States 71.7%
Cayman Islands 21.4%
France 1.5%
Jersey 1.1%
Sweden 0.9%
United Kingdom 0.9%
Bermuda 0.7%
Spain 0.7%
Ireland 0.6%
Netherlands 0.5%
---------------------------------------------------------------------------
*Subject to change daily. Based on total investments.
On July 17, 2009, Claymore Group Inc., the parent of Claymore Advisors, LLC (the
"Adviser"), entered into an Agreement and Plan of Merger between and among
Claymore Group Inc., Claymore Holdings, LLC and GuggClayAcquisition, 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 will be 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 Fund or the
investment management activities of the Adviser.
Under the Investment Company Act of 1940, the consummation of this transaction
resulted in the automatic termination of the Advisory Agreement. Accordingly, on
September 28, 2009, the Board of Trustees approved an interim investment
advisory agreement between the Claymore/Guggenheim Strategic Opportunities Fund
(the "Fund") and the Adviser (the "Interim Advisory Agreement"). The Interim
Advisory Agreement takes 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 by the shareholders of the Fund.
In addition, the advisory fees earned by the Adviser pursuant to the Interim
Advisory Agreement will be held in an interest-bearing escrow account with the
Fund's custodian during the term of the Interim Advisory Agreement. 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 do not approve a new advisory
agreement with the Adviser prior to the expiration of the term of the Interim
Advisory Agreement, the Adviser shall be paid, out of the escrow account with
respect to the Fund, the lesser of (i) the Adviser's costs incurred in providing
the services under the Interim Advisory Agreement (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 fees' placement into an escrow account, the terms and
conditions of the Interim Advisory Agreement are substantively identical to
those of the Advisory Agreement.
See previously submitted notes to financial statements for the year ended May
31, 2009.
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2009 (UNAUDITED)
EXPIRATION EXERCISE
CONTRACTS OPTIONS WRITTEN (J) DATE PRICE VALUE
-------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN - (0.4%)
35 CBOE S&P 500 Volatility Index (k) September 2009 $ 27.50 $ 7,403
250 DIAMONDS Trust, Series I (k) September 2009 95.00 41,250
720 Powershares QQQ (k) September 2009 40.00 58,320
334 ProShares Ultra Dow30 (k) September 2009 36.00 48,430
335 ProShares Ultra Dow30 (k) September 2009 37.00 30,150
483 ProShares Ultra QQQ (k) September 2009 47.00 59,168
1,351 ProShares Ultra S&P500 (k) September 2009 33.00 111,457
3,100 S&P 500 Index September 2009 1,020.00 78,640
1,000 S&P 500 Index September 2009 995.00 42,525
574 SPDR Trust, Series 1 (k) September 2009 103.00 94,423
----------
TOTAL VALUE OF CALL OPTIONS WRITTEN 571,766
----------
(Premiums received $694,006)
PUT OPTIONS WRITTEN - (0.0%*)
35 CBOE S&P 500 Volatility Index (k) September 2009 22.50 630
(Premiums received $788) ----------
TOTAL VALUE OF OPTIONS WRITTEN - (0.4%) $ 572,396
(Premiums received $694,794) ==========
*Less than 0.1%
(j) Non-income producing security
CLAYMORE/GUGGENHEIM STRATEGIC OPPORTUNITIES FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2009 (UNAUDITED)
The Fund entered into swap agreements during the period ended August 31, 2009 to
potentially enhance return. Details of the swap agreements outstanding as of
August 31, 2009 were as follows:
CREDIT DEFAULT SWAP AGREEMENTS
IMPLIED CREDIT
SPREAD AT UNREALIZED
BUY/SELL TERMINATION AUGUST 31, NOTIONAL RECEIVE APPRECIATION/
COUNTERPARTY REFERENCE ENTITY PROTECTION DATE 2009 (2) AMOUNT (000) FIXED RATE DEPRECIATION
-------------------------------------------------------------------------------------------------------------------------
Goldman Sachs(1) Basket of distinct Sell 09/21/14 16.24% $ 3,000 1.180% $ (1,513,381)
corporate entities -------------
INTEREST RATE SWAP AGREEMENTS
UNREALIZED
FLOATING TERMINATION NOTIONAL RECEIVE APPRECIATION/
COUNTERPARTY RATE DATE AMOUNT (000) FIXED RATE DEPRECIATION
-------------------------------------------------------------------------------------------------------------
Goldman Sachs (3) 3 Month LIBOR 01/04/38 $ 10,000 5.675% $ 386,610
Goldman Sachs (3) 3 Month LIBOR 01/04/38 10,000 5.860 241,997
Goldman Sachs (3) 3 Month LIBOR 07/07/38 5,000 5.753 261,500
Goldman Sachs (3) 3 Month LIBOR 07/07/38 5,000 5.940 176,250
HSBC (3) 3 Month LIBOR 01/09/23 5,000 7.700 (4) (77,584)
---------
$ 988,773
=========
TOTAL RETURN SWAP AGREEMENTS
UNREALIZED
REFERENCE FLOATING TERMINATION NOTIONAL APPRECIATION/
COUNTERPARTY ENTITY RATE DATE AMOUNT (000) DEPRECIATION
-------------------------------------------------------------------------------------------------------------
Barclays Capital (5) S&P (500) 1 Month LIBOR + 0.35% 12/23/09 $ 1,286 $ 56,586
Barclays Capital (5) S&P (500) 1 Month LIBOR + 0.35% 12/23/09 1,813 79,795
Goldman Sachs (5) S&P (500) 1 Month LIBOR + 0.35% 12/16/09 1,000 33,128
---------
$169,509
=========
---------
TOTAL UNREALIZED APPRECIATION/(DEPRECIATION) FOR SWAP AGREEMENTS $(355,099)
=========
(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.
In September, 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards ("SFAS") No. 157, "Fair Valuation
Measurements" ("FAS 157"). The Fund adopted FAS 157 effective on September 1,
2008. This standard clarifies the definition of fair value for financial
reporting, establishes a framework for measuring fair value and requires
additional disclosures about the use of fair value measurements. FAS 157
establishes three different categories for valuations. Level 1 valuations are
those based upon quoted prices in active markets. Level 2 valuations are those
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). In April
2009, the FASB issued FSP FAS 157-4, "Determining Fair Value When Volume and
Level of Activity for the Asset or Liability Have Significantly Decreased and
Identifying Transactions That Are Not Orderly" (FSP 157-4). FSP 157-4 provides
guidance on how to determine the fair value of assets and liabilities when the
volume and level of activity for the asset/liability has significantly
decreased. The Fund adopted FSP 157-4 effective on August 31, 2009. The
following tables represent each Fund's investments carried on the Statement of
Assets and Liabilities by caption and by level within the fair value hierarchy
as of August 31, 2009:
Description LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------------------------------------------------------
(value in $000s)
Assets:
Asset Backed Securities $ - $ 54,635 $ 18,231 $ 72,866
Collateralized Mortgage Obligations - 26,282 475 26,757
Corporate Bonds:
Airlines - 2,050 - 2,050
Banks - 11,893 - 11,893
Commercial Services - 279 - 279
Diversified Financial Services - 3,096 - 3,096
Electric - 790 - 790
Entertainment and Gaming - 1,604 - 1,604
Insurance - 4,373 - 4,373
Exchange-Traded Funds 20,139 - - 20,139
Preferred Stock 4,423 - - 4,423
U.S. Government and Agency Securities - 1,830 - 1,830
Term Loans:
Automobile - 1,306 - 1,306
Communications/Media - 394 - 394
Consumer Products - 734 - 734
Electronics - 3,376 - 3,376
Food & Beverages - 908 351 1,259
Healthcare, Education & Childcare - 1,879 748 2,627
Home & Office Furnishings - 599 - 599
Leisure - 1,261 - 1,261
Retail Stores - 2,574 - 2,574
Interest Rate Swaps - 1,066 - 1,066
Total Return Swaps - 170 - 170
Call Options Purchased - 20 - 20
---------------------------------------------------------
Total $ 24,562 $121,119 $ 19,805 $165,486
=========================================================
Liabilities:
Credit Default Swaps - 1,513 - 1,513
Interest Rate Swaps - 78 - 78
Options Written 443 129 - 572
---------------------------------------------------------
Total $ 443 $ 1,720 $ - $ 2,163
=========================================================
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 August 31, 2009. In addition to the observable inputs referenced
earlier, the unobservable inputs used to value such securities include
evaluations of anticipated cash flows, discount rates, default rates and other
measures of illiquidity.
LEVEL 3 HOLDINGS SECURITIES DERIVATIVES TOTAL
------------------------------ --------------------------------------------------------
Beginning Balance at 5/31/09 $ 33,038 $ - $ 33,038
Total Realized Gain/Loss - - -
Change in Unrealized Gain/Loss (6,295) - (6,295)
Net Purchases and Sales - - -
Net Transfers In/Out (6,938) - (6,938)
--------------------------------------------------------
Ending Balance at 8/31/09 $ 19,805 $ - $ 19,805
========================================================
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: October 26, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ J. Thomas Futrell
----------------------------------------------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: October 26, 2009
By: /s/ Steven M. Hill
----------------------------------------------------------------------------
Steven M. Hill
Chief Financial Officer, Chief Accounting Officer & Treasurer
Date: October 26, 2009