clay49300-ncsr.htm
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
(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: May
31, 2010
Form N-CSR is to be
used by management investment companies to file reports with the Commission not
later than 10 days after the transmission to stockholders of any report that is
required to be transmitted to stockholders under Rule 30e-1 under the Investment
Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information
provided on Form N-CSR in its regulatory, disclosure review, inspection, and
policymaking roles.
A registrant is
required to disclose the information specified by Form N-CSR, and the Commission
will make this information public. A registrant is not required to respond to
the collection of information contained in Form N-CSR unless the Form displays a
currently valid Office of Management and Budget ("OMB") control number. Please
direct comments concerning the accuracy of the information collection burden
estimate and any suggestions for reducing the burden to Secretary, Securities
and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The
OMB has reviewed this collection of information under the clearance requirements
of 44 U.S.C. Section 3507.
Item
1. Reports to Stockholders.
The registrant's
annual report transmitted to shareholders pursuant to Rule 30e-1 under the
Investment Company Act of 1940, as amended (the “Investment Company Act”), is as
follows:
Annual
Report
May 31, 2010
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Claymore/Guggenheim
Strategic Opportunities
Fund
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GOF
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www.claymore.com/gof
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your window to the LATEST,
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most
up-to-date information about the
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Claymore/Guggenheim
Strategic Opportunities Fund
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The
shareholder report you are reading right now is just the beginning of the story.
Online at www.claymore.com/gof, you will
find:
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Daily,
weekly and monthly data on share prices, net asset values, distributions
and more
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Portfolio
overviews and performance
analyses
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Announcements,
press releases and special
notices
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Fund
and adviser contact
information
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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 | Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund
Dear
Shareholder
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We thank
you for your investment in the Claymore/Guggenheim Strategic Opportunities Fund
(the “Fund”). This report covers the Fund’s performance for the fiscal year
ended May 31, 2010.
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.
All Fund
returns cited—whether based on net asset value (“NAV”) or market price—assume
the reinvestment of all distributions. For the fiscal year ended May 31, 2010,
the Fund generated a total return based on market price of 70.37% and a return
of 59.06% based on NAV. As of May 31, 2010, the Fund’s last closing market price
of $17.46 represented a discount of 0.57% to the Fund’s NAV of $17.56. 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. Investors should also be aware that these returns were primarily
achieved during favorable market conditions and may not be
sustainable.
During
the 2010 fiscal year the Fund paid monthly distributions of $0.154 per share.
The most recent dividend represents an annualized distribution rate of 10.58%
based on the Fund’s last closing market price of $17.46 as of May 31,
2010.
Claymore
Advisors, LLC (“Claymore”) serves as the Investment Adviser to the Fund.
Claymore Securities, Inc. is an affiliate of Claymore Advisors, LLC. Claymore
Securities, Inc. offers strategic investment solutions for financial advisors
and their clients. In total, Claymore entities provide supervision, management,
or servicing on approximately $15.2 billion in assets as of May 31, 2010.
Claymore and its associated entities are wholly-owned subsidiaries of Guggenheim
Partners, a global, diversified financial services firm with more than $100
billion in assets under supervision.
As a
result of the previously-announced Claymore/Guggenheim transaction, upon
receiving the necessary shareholder approval on February 3, 2010, the Fund
entered into a new investment advisory agreement with Claymore and a new
investment sub-advisory agreement with Claymore and GPAM. These new agreements
were necessary because the former agreements were automatically terminated upon
the merger of Claymore Group Inc. (Claymore’s parent company) with Guggenheim
Partners, which took place on October 14, 2009.
We
encourage shareholders to consider the opportunity to reinvest their
distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”),
which is described in detail on page 32 of the Fund’s annual report. When shares
trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the monthly dividend distribution in common shares of the Fund
purchased in the market at a price less than NAV. Conversely,
when the market price of the Fund’s common shares is at a premium above NAV, the
DRIP reinvests participants’ dividends in newly-issued common shares at NAV,
subject to an IRS limitation that the purchase price cannot be more than 5%
below the market price per share. The DRIP provides a cost-effective means to
accumulate additional shares and enjoy the benefits of compounding returns over
time. 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.
Annual
Report |
May 31, 2010 |
3
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Dear Shareholder
continued
To learn
more about the Fund’s performance and investment strategy, we encourage you to
read the Questions &
Answers section of the report, which begins on page 5. You’ll find
information on GPAM’s investment philosophy, its views on the economy and market
environment, and detailed information about the factors that impacted the Fund’s
performance.
We
appreciate your investment and look forward to serving your investment needs in
the future. For the most up-to-date information on your investment, please visit
the Fund’s website at www. claymore.com/gof.
Sincerely,
J. Thomas
Futrell
Chief
Executive Officer
Claymore/Guggenheim
Strategic Opportunities Fund
Update on
Portfolio Management Team
Subsequent
to the end of the reporting period, a member of the portfolio management team,
Robert Daviduk, submitted his resignation from Guggenheim Partners Asset
Management, LLC (“GPAM”). The Fund will continue to be managed by a team of
professionals at GPAM, with the day to day responsibilities led by Anne
Walsh.
4 |
Annual Report |
May 31, 2010
GOF | Claymore/Guggenheim Strategic
Opportunities Fund
Questions
&
Answers
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Claymore/Guggenheim
Strategic Opportunities Fund (the “Fund”) is managed by a team of seasoned
professionals at Guggenheim Partners Asset Management, LLC. 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; and Eric Silvergold,
Managing Director. In the following interview, the investment team discusses the
market environment and the Fund’s performance for the Fund’s fiscal year ended
May 31, 2010.
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 GPAM 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.
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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”).
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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.
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The
Fund may invest up to 50% of its total assets in common equity securities
consisting of common stock;
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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 and may invest up to 20% of the Fund’s total assets 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.
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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
May 31, 2010, the amount of leverage was approximately 30% 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.
Please
tell us about the market environment over the last 12 months.
Markets
for both equity and fixed income securities have improved significantly over the
last 12 months. This improvement followed an extremely volatile period for
financial markets that began in the summer of 2007 and lasted until the early
months of 2009. This difficult period was characterized by sharp declines in the
market prices of most non-government securities. During that time, investors
seemed to be pricing assets at levels that anticipated a very severe economic
environment for an extended period—essentially another Great Depression. In the
opinion of
Annual
Report |
May 31, 2010 |
5
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers
continued
GPAM,
many securities were priced for a worst case economic outcome that did not come
to pass. The U.S. economy did, in fact, experience the longest recession since
the Great Depression, but it was far milder than the economic maelstrom that
engulfed the world in the 1930s. In an effort to stem the very negative cycle
that had begun, the federal government instituted several programs of fiscal
stimulus financed by running budget deficits of about $1.5 trillion per year. In
addition, the Federal Reserve (“Fed”) launched aggressive programs to improve
liquidity and grow the money supply.
Beginning
in March 2009, the outlook for the global economy began to improve, sparking a
rally in virtually all asset classes that involved risk—including equities,
corporate bonds, bank loans, asset-backed securities, non-Agency residential
mortgage-backed securities, and commercial mortgage-backed securities among
others. Market trends were generally positive during the Fund’s May 31, 2010,
fiscal year. The Standard & Poor’s 500 (“S&P 500”) Index, which is
generally regarded as an indicator of the broad U.S. stock market, returned
20.99% for the 12 months ended May 31, 2010. Most world equity markets were also
strong: the Morgan Stanley Capital International (“MSCI”) World Index, which
measures performance of world equity markets, returned 13.60%. Bonds also
provided solid returns over this 12-month period: the Barclays Aggregate Bond
Index, which is a proxy for the investment grade bond market, returned 8.4%.
Reflecting investors’ increased appetite for risk, the return of the Barclays
U.S. Corporate High Yield Index was 28.8% and the Barclays Commercial Backed
Mortgage Securities Index also returned 28.8% over the 12-month period. Other
non-government securities, such as investment grade corporate bonds, bank loans
and asset backed securities have also performed very well. The return of the
Barclays Capital 1-3 Month U.S. Treasury Bill Index was just 0.12%, a reflection
of the record low Fed Funds target rate set between zero and 0.25%. Indices are
unmanaged, reflect no expenses and it is not possible to invest directly in an
index.
How
did the Fund perform during this period?
The Fund
performed very well over the last 12 months. All Fund returns cited—whether
based on net asset value (“NAV”) or market price—assume the reinvestment of all
distributions. For the 12-month period ended May 31, 2010, the Fund returned
59.06% on an NAV basis and 70.37% on a market price basis. The closing price of
the Fund’s shares as of May 31, 2010, was $17.46, which represented a discount
of 0.57% to the NAV of $17.56. 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 May 31, 2010, the Fund’s NAV
return on an annualized basis was 9.05%, compared with the annualized return of
-7.7% for the S&P 500. Over this same period, the Fund’s annualized
volatility has been approximately 10.1%. This compares with annualized
volatility of the Barclays Aggregate Bond Index (a proxy for bonds) of
approximately 4.8% and volatility of the S&P 500 Index of approximately
31.0% over the same period. Since inception, on an annualized basis, the Fund
has outperformed equities (as measured by the S&P 500 Index) by 16.8
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. Investors should also be aware that these returns
were primarily achieved during favorable market conditions and may not be
sustainable.
During
the 12-month period ended May 31, 2010, the Fund paid monthly dividends of
$0.154 per share. The most recent dividend represents an annualized distribution
rate of 10.58% based on the Fund’s last closing market price of $17.46 as of May
31, 2010.
How
was the Fund allocated among asset classes during this period and how did these
decisions affect performance?
This Fund
was created to provide 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, it seeks to use investments that
historically have had low correlations to one another. GPAM has 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 a dozen broad sector
classifications and dozens of subsectors within the major sectors.
Since the
final months of 2008, GPAM recognized some 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
6 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers
continued
time of
very poor market liquidity. This forced selling created attractive opportunities
for opportunistic investors such as GPAM.
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, was reduced substantially and was kept quite low throughout the fiscal
year; these securities represented less than 1% of the Fund’s total investments
as of May 31, 2010. This proved to be a good decision, as returns of government
securities were just marginally positive during the recent strong market
recovery, while most equity-related, corporate and structured finance securities
held by the Fund have posted double digit returns; although there is no
guarantee these securities will continue such performance, GPAM believes
continued positive performance is possible.
In late
2009 and into 2010, GPAM sold some securities that had appreciated in value
which in turn caused their market yields to decline to yields of 5% or less.
GPAM reinvested the proceeds in securities that have the potential to provide
much higher returns over the coming years. Examples of the types of securities
sold include investment-grade corporate bonds, bank loans, various types of
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, numerous types of ABS,
select high yield bonds and preferred securities. These trades proved to be
advantageous for the Fund. The securities purchased have appreciated and have
outperformed the securities that were sold.
The
Fund’s positioning proved to be a strong contributor to its performance over the
12-month period ended May 31, 2010. The Fund generated double digit total
returns as well as attractive levels of income from nearly all asset classes.
The best performing securities were equities, preferred securities, high yield
corporate debt, and securitized assets including ABS, CMBS and non-Agency RMBS.
One example of how the Fund capitalized on the financial crisis and some of the
unprecedented programs that policymakers have put in place is an investment in a
commercial mortgage backed security that utilized financing offered by the
Federal Reserve (the “Fed”) via the term asset-backed lending facility (“TALF”).
The TALF program was put in place by the Fed in an effort to restart the
securitized asset market, which had virtually ceased to function during the
financial market crisis and the accompanying deep recession. The securitized
markets have become a critical component of capital formation and a cost
effective source of credit for consumers and businesses alike. GPAM took
advantage of very attractive terms being offered by the Fed that included
lending to investors on a non-recourse basis. In a non-recourse loan the only
source of repayment for the loan is the collateral, in this case the CMBS bond
that the Fund has pledged to the Fed. Since the Fed provided a loan against the
security, the Fund is at risk only for the difference between the security’s
purchase price and the amount of the loan that was provided by the Fed (this
amount is known as the haircut). Since making the investment in September 2009,
this position has provided a return of approximately 49% after factoring in the
cost of leverage.
The
lowest returns came from the Fund’s very small position in U.S. government and
U.S. government agency securities.
How
did the Fund’s leverage affect performance during this period?
For the
past year the Fund’s leverage has enhanced the return of the Fund. 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.
As of May
31, 2010, the Fund’s leverage was approximately 30% of total assets. Leverage
was increased from less than 20% during the recent financial crisis to its
current level in an effort to take advantage of attractive investment
opportunities.
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 committed financing facility through BNP Paribas, a leading
European bank. GPAM currently employs leverage via both reverse repurchase
agreements and the BNP Paribas facility, in addition to the TALF program
discussed earlier.
What
is the current outlook for the markets and the Fund, and how is the Fund
positioned for this outlook?
GPAM’s
expectations for the economy are somewhat stronger than the consensus, which is
calling for real growth (real growth is measurement of GDP expectations less
inflation) of about 2.0% to 3.0% for the full year 2010. Recent reports indicate
that consumer confidence and business confidence are improving, and some surveys
indicate businesses plan to increase hiring, which over time should help to
reduce the unacceptably high level of
Annual
Report |
May 31, 2010 |
7
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers
continued
domestic
unemployment. It is likely that there will be continued turbulence in the
market, with bouts of selling pressure such as that experienced during the month
of May 2010, but GPAM views these periods of weakness as opportunities to
purchase select investments that have good long term potential at discounted
prices.
Some of
the securitized sectors continue to trade very cheap relative to historical
experience, creating continued opportunities. As a bottom-up investor, GPAM
evaluates each potential investment on its own merit, carefully analyzing the
creditworthiness of the issuer and the security’s level of seniority in its
issuer’s capital structure. GPAM intends to take advantage of market volatility
and to purchase securities when there are periods of time when, in its opinion,
securities can be purchased at prices that are below their true intrinsic
values. When bonds or other investments are under unwarranted selling pressure,
GPAM plans to take positions that have the potential for attractive
returns.
Given the
Fund’s mandate and its ability to invest across many asset classes, it has been
very well suited to take advantage of the opportunities that have prevailed
since the summer of 2007 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
often exist in the financial markets. 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 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.
The
Barclays Capital 1-3 Month U.S. Treasury Bill 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 manager and Claymore
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 dependent 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.
8 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Questions & Answers
continued
Preferred Stock
Risk: Preferred stock is inherently more risky than the bonds and other
debt instruments of the issuer, but typically less risky than its common stock.
Preferred stocks may be significantly less liquid than many other securities,
such as U.S. Government securities, corporate debt and common
stock.
Convertible
Securities Risk: As with all income securities, the market values of
convertible securities tend to decline as interest rates increase and,
conversely, to increase as interest rates decline. Convertible securities also
tend to reflect the market price of the underlying stock in varying degrees,
depending on the relationship of such market price to the conversion price in
the terms of the convertible security.
Equity Risk:
Common equity securities’ prices fluctuate for a number of reasons,
including changes in investors’ perceptions of the financial condition of an
issuer, the general condition of the relevant stock market, and broader domestic
and international political and economic events.
Real Estate
Securities Risk: Because of the Fund’s ability to invest in securities of
companies in the real estate industry and to make indirect investments in real
estate, it is subject to risks associated with the direct ownership of real
estate, including declines in the value of real estate; general and local
economic conditions; increased competition; and changes in interest rates.
Because of the Fund’s ability to make indirect investments in natural resources
and physical commodities, and in real property asset companies, the Fund is
subject to risks associated with such real property assets, including supply and
demand risk, depletion risk, regulatory risk and commodity pricing
risk.
Personal Property
Asset Company Risk: The Fund may invest in personal property asset
companies such as special situation transportation assets. The risks of special
situation transportation assets include cyclicality of supply and demand for
transportation assets and risk of decline in the value of transportation assets
and rental values. Private Securities Risk Private securities have additional
risk considerations than with investments in comparable public
investments.
Inflation/Deflation
Risk: There is a risk that the value of assets or income from investments
will be worth less in the future as inflation decreases the value of
money.
Dividend Risk:
Dividends on common stock and other common equity securities which the
Fund may hold are not fixed but are declared at the discretion of an issuer’s
board of 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 after-tax total return for the Common Shares, it also
results in additional risks and can magnify the effect of any losses. If the
income and gains earned on securities purchased with Financial Leverage proceeds
are greater than the cost of Financial Leverage, the Fund’s return will be
greater than if Financial Leverage had not been used. Conversely, if the income
or gains from the securities purchased with such proceeds does not cover the
cost of Financial Leverage, the return to the Fund will be less than if
Financial Leverage had not been used. Financial Leverage involves risks and
special considerations for shareholders, including the likelihood of greater
volatility of net asset value and market price of and dividends on the Common
Shares than a comparable portfolio without leverage; the risk that fluctuations
in interest rates on borrowings 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.
Annual
Report |
May 31, 2010 |
9
GOF |
Claymore/Guggenheim Strategic Opportunities Fund
Fund Summary |As of May 31, 2010 (unaudited)
Fund
Statistics
|
|
|
|
Share
Price
|
|
$ |
17.46 |
|
Common
Share Net Asset Value
|
|
$ |
17.56 |
|
Premium/Discount
to NAV
|
|
|
-0.57 |
% |
Net
Assets Applicable to Common Shares ($000)
|
|
$ |
161,783 |
|
Total
Returns
|
|
|
|
|
|
|
(Inception
7/27/07)
|
|
Market
|
|
|
NAV
|
|
One
Year
|
|
|
70.37 |
% |
|
|
59.06 |
% |
Since
Inception - average annual
|
|
|
7.91 |
% |
|
|
9.05 |
% |
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. Investors should
also be aware that these returns were primarily achieved during favorable market
conditions and may not be sustainable.
|
|
%
of Long-Term
|
|
Top
Ten Holdings
|
|
Investments
|
|
Commercial
Mortgage Pass Through Certificates, Ser. 2006-C7,
|
|
|
|
Class
A4, AAA, NR,
|
|
|
|
5.767%,
6/10/46
|
|
|
6.5 |
% |
|
|
|
|
|
Airplanes
Pass Through Trust, Ser. 2001-1A, Class A9, CCC, B1,
|
|
|
|
|
0.887%,
3/15/19
|
|
|
3.7 |
% |
|
|
|
|
|
SPDR
S&P 500 ETF Trust
|
|
|
2.8 |
% |
|
|
|
|
|
Applebee’s
Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aa3,
|
|
|
|
|
6.427%,
12/20/37
|
|
|
2.8 |
% |
|
|
|
|
|
ProShares
Ultra S&P500
|
|
|
1.7 |
% |
|
|
|
|
|
Telos
CLO Ltd., Ser. 2006-1A, Class A2, AA+, Aa2,
|
|
|
|
|
0.694%,
10/11/21 (Cayman Islands)
|
|
|
1.6 |
% |
|
|
Dominos
Pizza Master Issuer LLC, Ser. 2007-1, Class A2, BBB-,
Baa3,
|
|
5.261%,
4/25/37
|
|
|
1.6 |
% |
|
|
|
|
|
Aviation
Capital Group Trust, Ser. 2003-2A, Class B1, BBB, A3,
|
|
|
|
|
3.340%,
9/20/33
|
|
|
1.6 |
% |
|
|
|
|
|
SPDR
Dow Jones Industrial Average ETF Trust
|
|
|
1.4 |
% |
|
|
|
|
|
Babcock
& Brown Air Funding Ltd., Ser. 2007-1A, Class G1,
|
|
|
|
|
BBB+,
Baa2,
|
|
|
|
|
0.638%,
10/14/33 (Bermuda)
|
|
|
1.4 |
% |
Portfolio
composition and holdings are subject to change daily. For more information,
please visit www.claymore.com/gof. The above summaries are provided for
informational purposes only and should not be viewed as recommendations. Past
performance does not guarantee future results.
Share
Price & NAV History
Monthly Dividends Per
Share
Portfolio
Composition (% of
Total Investments)
Credit
Quality*
10 |
Annual Report |
May 31, 2010
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Portfolio of Investments |
May 31,
2010
|
Principal
|
|
|
|
Optional Call
|
|
|
|
|
|
Amount
|
|
Description
|
|
Provision
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
Investments – 131.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds – 23.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
– 0.8%
|
|
|
|
|
|
|
|
|
785,000
|
|
Global
Aviation Holdings Ltd., BB-, Ba3,
|
|
|
|
|
|
|
|
|
|
|
14.000%,
8/15/13 (United Kingdom) (a) (b)
|
|
8/15/12
@ 110.50
|
|
|
|
792,850 |
|
|
500,000
|
|
Wyle
Services Corp., B+, B3,
|
|
|
|
|
|
|
|
|
|
|
10.500%, 4/1/18 (a) (b)
|
|
4/1/14 @ 105.25
|
|
|
|
490,000 |
|
|
|
|
|
|
|
|
|
|
1,282,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines
– 2.1%
|
|
|
|
|
|
|
|
|
1,302,433
|
|
America
West Airlines 2001-1 Pass Through Trust,
|
|
|
|
|
|
|
|
|
|
|
Ser.
011G, BB+, B1,
|
|
|
|
|
|
|
|
|
|
|
7.100%,
4/2/21
|
|
|
N/A |
|
|
|
1,279,641 |
|
|
2,000,000
|
|
United
Air Lines 2009-2A Pass Through Trust., BBB, Ba1,
|
|
|
|
|
|
|
|
|
|
|
|
9.750%, 1/15/17 (a)
|
|
|
N/A |
|
|
|
2,150,000 |
|
|
|
|
|
|
|
|
|
|
|
3,429,641 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks
– 8.5%
|
|
|
|
|
|
|
|
|
|
1,000,000
|
|
Agfirst
Farm Credit Bank, A, NR,
|
|
|
|
|
|
|
|
|
|
|
|
7.300%,
10/31/49 (a) (b)
|
|
7/2/10
@ 100.00
|
|
|
|
818,600 |
|
|
1,250,000
|
|
Barclays
Bank PLC, A-, Baa3,
|
|
|
|
|
|
|
|
|
|
|
|
6.278%,
12/29/49 (United Kingdom) (a) (c)
|
|
12/15/34
@ 100.00
|
|
|
|
1,042,787 |
|
|
1,200,000
|
|
BNP
Paribas, A, Baa1,
|
|
|
|
|
|
|
|
|
|
|
|
7.195%,
6/29/49 (France) (a) (b) (c)
|
|
6/25/37
@ 100.00
|
|
|
|
1,020,000 |
|
|
1,000,000
|
|
Credit
Agricole SA, A-, A3,
|
|
|
|
|
|
|
|
|
|
|
|
6.637%,
5/29/49 (France) (a) (b) (c)
|
|
5/31/17
@ 100.00
|
|
|
|
710,000 |
|
|
1,500,000
|
|
Farm
Credit Bank, Ser. 1, NR, A2,
|
|
|
|
|
|
|
|
|
|
|
|
7.561%,
11/29/49 (a) (c)
|
|
12/15/13
@100.00
|
|
|
|
1,233,180 |
|
|
1,000,000
|
|
Fifth
Third Bancorp, BBB-, Baa2,
|
|
|
|
|
|
|
|
|
|
|
|
8.250%,
3/1/38 (a)
|
|
|
N/A |
|
|
|
1,067,260 |
|
|
1,000,000
|
|
KeyCorp
Capital III, BB, Baa3,
|
|
|
|
|
|
|
|
|
|
|
|
7.750%,
7/15/29 (a)
|
|
|
N/A |
|
|
|
960,321 |
|
|
1,250,000
|
|
Mellon
Capital IV, Ser. 1, A-, A3,
|
|
|
|
|
|
|
|
|
|
|
|
6.244%,
6/29/49 (a) (c)
|
|
6/20/12
@ 100.00
|
|
|
|
1,100,000 |
|
|
1,250,000
|
|
Northgroup
Preferred Capital Corp., A, A2,
|
|
|
|
|
|
|
|
|
|
|
|
6.378%,
1/29/49 (a) (b) (c)
|
|
10/15/17
@ 100.00
|
|
|
|
1,152,288 |
|
|
700,000
|
|
PNC
Preferred Funding Trust III, BBB, Baa3,
|
|
|
|
|
|
|
|
|
|
|
|
8.700%,
3/29/49 (a) (b) (c)
|
|
3/15/13
@ 100.00
|
|
|
|
711,186 |
|
|
500,000
|
|
Rabobank
Nederland NV, AA-, A2,
|
|
|
|
|
|
|
|
|
|
|
|
11.000%,
12/29/49 (Netherlands) (a) (b) (c)
|
|
6/30/19
@ 100.00
|
|
|
|
606,549 |
|
|
1,400,000
|
|
Royal
Bank of Scotland Group PLC, Ser. U, C, B3,
|
|
|
|
|
|
|
|
|
|
|
|
7.640%,
3/31/49 (United Kingdom) (a) (c)
|
|
9/29/17
@ 100.00
|
|
|
|
791,000 |
|
|
650,000
|
|
Susquehanna
Capital II, BB-, Ba2,
|
|
|
|
|
|
|
|
|
|
|
|
11.000%,
3/23/40 (a)
|
|
3/23/15
@ 100.00
|
|
|
|
680,875 |
|
|
1,250,000
|
|
US
AgBank FCB, A, A2,
|
|
|
|
|
|
|
|
|
|
|
|
6.110%,
4/29/49 (a) (b) (c)
|
|
7/10/12
@ 100.00
|
|
|
|
891,113 |
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
13,770,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial
Services – 0.4%
|
|
|
|
|
|
|
|
|
|
280,000
|
|
PharmaNet
Development Group, Inc., B+, B3,
|
|
|
|
|
|
|
|
|
|
|
|
10.875%,
4/15/17 (b)
|
|
4/15/14
@ 105.44
|
|
|
|
274,400 |
|
|
250,000
|
|
R.R.
Donnelley & Sons Co., BBB, Baa3,
|
|
|
|
|
|
|
|
|
|
|
|
11.250%, 2/1/19 (a)
|
|
|
N/A |
|
|
|
316,219 |
|
|
|
|
|
|
|
|
|
|
|
590,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers
– 0.1%
|
|
|
|
|
|
|
|
|
|
250,000
|
|
Stratus
Technologies, Inc., B-, B2,
|
|
|
|
|
|
|
|
|
|
|
|
12.000%, 3/29/15 (b)
|
|
4/15/13 @ 112.00
|
|
|
|
230,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution/Wholesale
– 0.4%
|
|
|
|
|
|
|
|
|
|
700,000
|
|
Intcomex,
Inc., B-, B3,
|
|
|
|
|
|
|
|
|
|
|
|
13.250%, 12/15/14 (b)
|
|
12/15/12 @ 106.63
|
|
|
|
717,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified
Financial Services – 2.1%
|
|
|
|
|
|
|
|
|
|
|
|
Hampton
Roads PPV LLC, NR, Baa2, (a) (b)
|
|
|
|
|
|
|
|
|
|
1,000,000
|
|
6.071%,
12/15/41
|
|
|
N/A |
|
|
|
829,220 |
|
|
1,000,000
|
|
6.171%,
6/15/53
|
|
|
N/A |
|
|
|
834,370 |
|
|
2,000,000
|
|
Svensk
Exportkredit AB, A, NR,
|
|
|
|
|
|
|
|
|
|
|
|
6.375%, 10/29/49 (Sweden) (a)
(b)
|
|
9/27/10 @ 100.00
|
|
|
|
1,716,676 |
|
|
|
|
|
|
|
|
|
|
|
3,380,266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric
– 0.8%
|
|
|
|
|
|
|
|
|
|
400,000
|
|
United
Maritime Group LLC/United Maritime Group
|
|
|
|
|
|
|
|
|
|
|
|
Finance
Corp., B, B3,
|
|
|
|
|
|
|
|
|
|
|
|
11.750%,
6/15/15 (a) (b)
|
|
12/15/12
@ 105.88
|
|
|
|
392,000 |
|
|
1,000,000
|
|
Wisconsin
Energy Corp., BBB-, Baa1,
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 5/15/67 (a) (c)
|
|
5/15/17 @ 100.00
|
|
|
|
910,000 |
|
|
|
|
|
|
|
|
|
|
|
1,302,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment
and Gaming – 1.9%
|
|
|
|
|
|
|
|
|
|
1,000,000
|
|
Agua
Caliente Band of Cahuilla Indians, NR, NR,
|
|
|
|
|
|
|
|
|
|
|
|
6.350%,
10/1/15 (b)
|
|
|
N/A |
|
|
|
953,400 |
|
|
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,
Caa3,
|
|
|
|
|
|
|
|
|
|
|
|
11.000%,
11/1/12 (b)
|
|
11/1/10
@ 105.50
|
|
|
|
357,500 |
|
|
700,000
|
|
Lions
Gate Entertainment, Inc., B, B1,
|
|
|
|
|
|
|
|
|
|
|
|
10.250%,
11/1/16 (b)
|
|
11/1/13
@ 105.13
|
|
|
|
705,250 |
|
|
700,000
|
|
River
Rock Entertainment Authority (The), B+, B2,
|
|
|
|
|
|
|
|
|
|
|
|
9.750%, 11/1/11 (a)
|
|
7/2/10 @ 100.00
|
|
|
|
652,750 |
|
|
|
|
|
|
|
|
|
|
|
3,113,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health
Care – 0.2%
|
|
|
|
|
|
|
|
|
|
250,000
|
|
Apria
Healthcare Group, Inc., BB+, Ba2,
|
|
|
|
|
|
|
|
|
|
|
|
11.250%, 11/1/14 (a) (b)
|
|
11/1/11 @ 105.63
|
|
|
|
263,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance
– 4.7%
|
|
|
|
|
|
|
|
|
|
1,000,000
|
|
Allstate
Corp. (The), BBB, Baa1,
|
|
|
|
|
|
|
|
|
|
|
|
6.500%,
5/15/57 (a) (c)
|
|
5/15/37
@ 100.00
|
|
|
|
875,000 |
|
|
1,000,000
|
|
American
Financial Group, Inc., BBB, Baa2,
|
|
|
|
|
|
|
|
|
|
|
|
9.875%,
6/15/19 (a)
|
|
|
N/A |
|
|
|
1,187,693 |
|
See
notes to financial statements.
Annual
Report | May 31, 2010 | 11
GOF | Claymore/Guggenheim
Strategic Opportunities Fund | Portfolio of Investments
continued
|
Principal
|
|
|
|
Optional Call
|
|
|
|
|
|
Amount
|
|
Description
|
|
Provision
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance
(continued)
|
|
|
|
|
|
|
$
|
1,000,000
|
|
AXA
SA, BBB, Baa1,
|
|
|
|
|
|
|
|
|
|
6.463%,
12/14/49 (France) (a) (b) (c)
|
|
12/14/18
@ 100.00
|
|
|
$ |
780,000 |
|
|
400,000
|
|
Blue
Coast Ltd., Ser. A, B+, NR,
|
|
|
|
|
|
|
|
|
|
|
9.777%,
12/8/10 (Cayman Islands) (b) (d) (e)
|
|
|
N/A |
|
|
|
395,368 |
|
|
700,000
|
|
Blue
Fin Ltd., BB+, NR,
|
|
|
|
|
|
|
|
|
|
|
|
4.695%,
4/10/12 (Cayman Islands) (a) (b) (d) (e)
|
|
7/8/10
@ 101.00
|
|
|
|
654,640 |
|
|
800,000
|
|
Ironshore
Holdings US, Inc., BBB-, Baa3,
|
|
|
|
|
|
|
|
|
|
|
|
8.500%,
5/15/20 (b)
|
|
|
N/A |
|
|
|
810,384 |
|
|
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., BBB+, Baa1,
|
|
|
|
|
|
|
|
|
|
|
|
10.500%,
9/15/39 (a) (b)
|
|
|
N/A |
|
|
|
788,318 |
|
|
1,250,000
|
|
Progressive
Corp. (The), A-, A2,
|
|
|
|
|
|
|
|
|
|
|
|
6.700%, 6/15/37 (a) (c)
|
|
6/15/17 @ 100.00
|
|
|
|
1,140,462 |
|
|
|
|
|
|
|
|
|
|
|
7,611,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
Companies – 0.6%
|
|
|
|
|
|
|
|
|
|
|
|
Allied
Capital Corp., BBB, Ba1, (a)
|
|
|
|
|
|
|
|
|
|
695,000
|
|
6.625%,
7/15/11
|
|
|
N/A |
|
|
|
697,076 |
|
|
290,000
|
|
6.000%, 4/1/12
|
|
|
N/A |
|
|
|
290,401 |
|
|
|
|
|
|
|
|
|
|
|
987,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Iron/Steel
– 0.1%
|
|
|
|
|
|
|
|
|
|
240,000
|
|
Standard
Steel LLC/Standard Steel Finance Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
B,
Caa1,
|
|
|
|
|
|
|
|
|
|
|
|
12.000, 5/1/15 (b)
|
|
5/1/13 @ 106.00
|
|
|
|
241,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software
– 0.2%
|
|
|
|
|
|
|
|
|
|
400,000
|
|
Open
Solutions, Inc., CCC+, Caa2,
|
|
|
|
|
|
|
|
|
|
|
|
9.750%, 2/1/15 (b)
|
|
2/1/11 @ 104.88
|
|
|
|
312,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
1,053,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Corporate Bonds – 23.9%
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $40,798,461)
|
|
|
|
|
|
|
38,714,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset
Backed Securities – 60.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
Debt Obligations – 4.0%
|
|
|
|
|
|
|
|
|
|
1,897,459
|
|
Aspen
Funding I Ltd., Ser. 2002-1A, Class A1L, A, Ba1,
|
|
|
|
|
|
|
|
|
|
|
|
0.894%,
7/10/37 (Cayman Islands) (b) (d)
|
|
|
|
|
|
|
1,239,743 |
|
|
1,024,426
|
|
Coronado
CDO Ltd., Ser. 1A, Class A1, BB+, B3,
|
|
|
|
|
|
|
|
|
|
|
|
0.772%,
9/4/38 (Cayman Islands) (b) (d)
|
|
|
|
|
|
|
679,942 |
|
|
2,145,722
|
|
Diversified
Asset Securitization Holdings III, Ser. 1A, Class A2, BB+,
Ba1,
|
|
|
|
|
|
|
|
|
|
|
|
7.420%,
7/5/36 (Cayman Islands) (b)
|
|
|
|
|
|
|
1,802,407 |
|
|
4,347,270
|
|
Duke
Funding Ltd., Ser. 2003-5A, Class 1W, CCC, Caa2,
|
|
|
|
|
|
|
|
|
|
|
|
0.910%,
8/7/33 (Cayman Islands) (b) (d)
|
|
|
|
|
|
|
1,549,765 |
|
|
608,584
|
|
MWAM
CBO Ltd., Ser. 2001-1A, Class A, AA, A3,
|
|
|
|
|
|
|
|
|
|
|
|
0.936%,
1/30/31 (Cayman Islands) (b) (d)
|
|
|
|
|
|
|
495,661 |
|
|
878,851
|
|
Saybrook
Point CBO Ltd., Ser. 2001-1A, Class A, BBB-, B3,
|
|
|
|
|
|
|
|
|
|
|
|
0.977%, 2/25/31 (Cayman Islands) (b)
(d)
|
|
|
|
|
|
|
688,167 |
|
|
|
|
|
|
|
|
|
|
|
6,455,685 |
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
Description
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
Loan Obligations – 16.0%
|
|
|
|
$
|
635,902
|
|
Armstrong
Loan Funding Ltd., Ser. 2008-1A, Class B, AA+, Aa3,
|
|
|
|
|
|
|
1.344%,
8/1/16 (Cayman Islands) (b) (d)
|
|
$ |
580,483 |
|
|
2,000,000
|
|
Black
Diamond CLO Ltd., Ser. 2006-1A, Class B, A+, Baa2,
|
|
|
|
|
|
|
|
0.718%,
4/29/19 (Cayman Islands) (a) (b) (d)
|
|
|
1,551,460 |
|
|
2,000,000
|
|
Black
Diamond CLO Ltd., Ser. 2006-1A, Class C, BBB+, Ba2,
|
|
|
|
|
|
|
|
1.018%,
4/29/19 (Cayman Islands) (a) (b) (d)
|
|
|
1,392,180 |
|
|
1,854,059
|
|
Business
Loan Express, Ser. 2006-AA, Class A, BBB-, Aa3,
|
|
|
|
|
|
|
|
0.580%,
10/20/38 (b) (d)
|
|
|
1,268,308 |
|
|
1,259,374
|
|
Business
Loan Express, Ser. 2007-AA, Class A, BBB-, A2,
|
|
|
|
|
|
|
|
0.740%,
10/20/40 (b) (d)
|
|
|
850,077 |
|
|
750,000
|
|
CapitalSource
Commercial Loan Trust, Ser. 2006-2A, Class A1B, AA+, Aaa,
|
|
|
|
|
|
|
|
0.670%,
9/20/22 (b) (d)
|
|
|
659,415 |
|
|
1,181,541
|
|
Coast
Investment Grade, Ser. 2002-1X, Class A, BBB-, Caa3,
|
|
|
|
|
|
|
|
0.933%
7/30/17 (Cayman Islands) (d)
|
|
|
590,770 |
|
|
500,000
|
|
Emporia
Preferred Funding, Ser. 2005-1A, Class B1, AA-, Aa3,
|
|
|
|
|
|
|
|
0.844%,
10/12/2018 (Cayman Islands) (b) (d)
|
|
|
341,275 |
|
|
1,000,000
|
|
Friedbergmilstein
Private Capital Fund, Ser. 2004-1A, Class B2, AA, A3,
|
|
|
|
|
|
|
|
5.409%,
1/15/19 (Cayman Islands) (b)
|
|
|
869,680 |
|
|
800,000
|
|
Mountain
View Funding CLO, Ser. 2007-3A, Class A2, AA, A1,
|
|
|
|
|
|
|
|
0.644%,
4/16/21 (Cayman Islands) (b) (d)
|
|
|
682,992 |
|
|
1,000,000
|
|
Nantucket
CLO Ltd., Ser. 2006-1A, Class B, AA, A3,
|
|
|
|
|
|
|
|
0.904%,
11/24/20 (Cayman Islands) (b) (d)
|
|
|
827,540 |
|
|
1,500,000
|
|
Rosedale
CLO Ltd., Ser. I-A, Class A1J, A+, Baa1,
|
|
|
|
|
|
|
|
0.726%,
7/24/21 (Cayman Islands) (b) (d)
|
|
|
1,351,755 |
|
|
2,000,000
|
|
Stanfield
Modena CLO Ltd., Ser. 2004-1A, Class C, BBB-, Ba2,
|
|
|
|
|
|
|
|
1.521%,
9/22/16 (Cayman Islands) (a) (b) (d)
|
|
|
1,484,040 |
|
|
600,000
|
|
Start
CLO Ltd., Ser 2006-2, Class C, A+, Baa1,
|
|
|
|
|
|
|
|
1.038%,
6/29/12 (Cayman Islands) (d)
|
|
|
559,602 |
|
|
1,000,000
|
|
Start
CLO Ltd., Ser 2006-2, Class D, BBB+, Baa3,
|
|
|
|
|
|
|
|
2.138%,
6/29/12 (Cayman Islands) (d)
|
|
|
932,890 |
|
|
400,000
|
|
Start
CLO Ltd., Ser. 2006-3A, Class C, A-, A1,
|
|
|
|
|
|
|
|
0.952%,
6/7/11 (Cayman Islands) (b) (d)
|
|
|
399,524 |
|
|
550,000
|
|
Start
CLO Ltd., Ser. 2006-3A, Class D, BBB, Baa1,
|
|
|
|
|
|
|
|
2.002%,
6/7/11 (Cayman Islands) (b) (d)
|
|
|
543,758 |
|
|
100,000
|
|
Start
CLO Ltd., Ser 2006-3X, Class F, NR, NR,
|
|
|
|
|
|
|
|
17.252%,
6/7/11 (Cayman Islands) (d)
|
|
|
99,817 |
|
|
500,000
|
|
Start
CLO Ltd., Ser. 2007-4A, Class D, BBB+, Baa1,
|
|
|
|
|
|
|
|
1.835%,
12/26/11 (Cayman Islands) (a) (b) (d)
|
|
|
483,445 |
|
|
1,000,000
|
|
Start
CLO Ltd., Ser. 2007-4A, Class E, BB+, Ba1,
|
|
|
|
|
|
|
|
3.885%,
12/26/11 (Cayman Islands) (a) (b) (d)
|
|
|
966,060 |
|
|
100,000
|
|
Start
CLO Ltd., Ser 2007-4X, Class E, BB+, Ba1,
|
|
|
|
|
|
|
|
3.885%,
12/26/11 (Cayman Islands) (d)
|
|
|
96,606 |
|
|
2,000,000
|
|
TCW
Global Project Fund, Ser. 2004-1A, Class A1, NR, NR,
|
|
|
|
|
|
|
|
1.203%,
6/15/16 (Cayman Islands) (b) (d) (f)
|
|
|
1,704,200 |
|
|
2,000,000
|
|
TCW
Global Project Fund, Ser. 2004-1A, Class B1, NR, NR,
|
|
|
|
|
|
|
|
2.253%,
6/15/16 (Cayman Islands) (a) (b) (d) (f)
|
|
|
1,420,320 |
|
|
1,000,000
|
|
TCW
Global Project Fund, Ser. 2005-1A, Class B2, A, NR,
|
|
|
|
|
|
|
|
5.793%,
9/1/17 (Cayman Islands) (b)
|
|
|
771,230 |
|
See
notes to financial statements.
12 | Annual Report | May 31,
2010
GOF | Claymore/Guggenheim
Strategic Opportunities Fund | Portfolio of Investments
continued
|
Principal
|
|
|
|
|
|
|
Amount
|
|
Description
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
Loan Obligations (continued)
|
|
|
|
$
|
4,000,000
|
|
Telos
CLO Ltd., Ser. 2006-1A, Class A2, AA+, Aa2,
|
|
|
|
|
|
|
0.694%,
10/11/21 (Cayman Islands) (b) (d)
|
|
$ |
3,513,280 |
|
|
2,500,000
|
|
Telos
CLO Ltd., Ser. 2006-1A, Class B, A+, A2,
|
|
|
|
|
|
|
|
0.784%, 10/11/21 (Cayman Islands) (b)
(d)
|
|
|
1,975,425 |
|
|
|
|
|
|
|
25,916,132 |
|
|
|
|
|
|
|
|
|
|
|
|
Commercial
Real Estate – 1.0%
|
|
|
|
|
|
2,000,000
|
|
Wrightwood
Capital Real Estate CDO Ltd., Ser. 2005-1A, Class A1, BB,
Aa3,
|
|
|
|
|
|
|
|
0.798%, 11/21/40 (Cayman Islands) (b) (d)
(f)
|
|
|
1,507,380 |
|
|
|
|
|
|
|
|
|
|
|
|
Commercial
Receivables – 2.6%
|
|
|
|
|
|
500,000
|
|
FCC
Financing Subsidiary LLC, Ser. 2010-1A, Class B, NR, NR,
|
|
|
|
|
|
|
|
15.68%,
3/31/17 (d)
|
|
|
502,500 |
|
|
2,000,000
|
|
HFG
Healthco-4 LLC, Ser. 2006-1A, Class A, NR, Aa2,
|
|
|
|
|
|
|
|
0.680%,
6/5/12 (b) (d)
|
|
|
1,849,460 |
|
|
2,000,000
|
|
Sealane
Trade Finance, Ser. 2007-1A, Class E, NR, NR,
|
|
|
|
|
|
|
|
15.497%, 11/25/12 (Cayman Islands) (a) (b)
(d)
|
|
|
1,889,860 |
|
|
|
|
|
|
|
4,241,820 |
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
Debt Obligations – 0.4%
|
|
|
|
|
|
575,866
|
|
Muzinich
CBO II Ltd., Ser. A2-A, AA+, B1,
|
|
|
|
|
|
|
|
7.150%,
10/15/13 (Bermuda) (b)
|
|
|
546,900 |
|
|
112,680
|
|
Phoenix
Funding Ltd., Ser. 2001-1, AA, Aa2,
|
|
|
|
|
|
|
|
0.753%, 4/15/13 (d)
|
|
|
99,458 |
|
|
|
|
|
|
|
646,358 |
|
|
|
|
|
|
|
|
|
|
|
|
Credit
Cards – 2.8%
|
|
|
|
|
|
500,000
|
|
1st
Financial Bank USA, Ser. 2009-B, Class D, BBB-, NR,
|
|
|
|
|
|
|
|
11.000%,
4/15/15 (b)
|
|
|
500,153 |
|
|
1,000,000
|
|
LCP
Rights Trust, Ser. 2010-1, Class A, NR, NR,
|
|
|
|
|
|
|
|
14.550%,
7/17/17
|
|
|
999,960 |
|
|
500,000
|
|
LCP
Rights Trust, Ser. 2010-1, Class C, NR, NR,
|
|
|
|
|
|
|
|
19.210%,
7/17/17
|
|
|
499,955 |
|
|
1,000,000
|
|
LCP
Rights Trust, Ser. 2010-1, Class D, NR, NR,
|
|
|
|
|
|
|
|
14.550%,
1/15/16
|
|
|
999,970 |
|
|
1,500,000
|
|
LCP
Rights Trust, Ser. 2010-1, Class F, NR, NR,
|
|
|
|
|
|
|
|
19.210%, 1/15/16
|
|
|
1,499,895 |
|
|
|
|
|
|
|
4,499,933 |
|
|
|
|
|
|
|
|
|
|
|
|
Financials
– 0.0%*
|
|
|
|
|
|
42,012
|
|
Blue
Falcon, Ser. A-2, NR, NR,
|
|
|
|
|
|
|
|
5.460%, 12/25/16 (b)
|
|
|
41,595 |
|
|
|
|
|
|
|
|
|
|
|
|
Insurance
– 2.3%
|
|
|
|
|
|
1,758,677
|
|
321
Henderson Receivables I LLC, Ser. 2007-3A, Class A, BBB,
Baa1,
|
|
|
|
|
|
|
|
6.150%,
10/15/48 (a) (b)
|
|
|
1,724,559 |
|
|
443,118
|
|
321
Henderson Receivables I LLC, Ser. 2008-1A, Class A, AA+,
Aaa,
|
|
|
|
|
|
|
|
6.190%,
1/15/44 (a) (b)
|
|
|
446,073 |
|
|
500,000
|
|
321
Henderson Receivables I LLC, Ser. 2008-1A, Class B, AA,
NR,
|
|
|
|
|
|
|
|
8.370%,
1/15/46 (a) (b)
|
|
|
518,215 |
|
|
500,000
|
|
321
Henderson Receivables I LLC, Ser. 2008-1A, Class C, A, NR,
|
|
|
|
|
|
|
|
9.360%,
1/15/48 (b)
|
|
|
505,820 |
|
|
500,000
|
|
321
Henderson Receivables I LLC, Ser. 2008-1A, Class D, BBB,
NR,
|
|
|
|
|
|
|
|
10.810%, 1/15/50 (b)
|
|
|
535,420 |
|
|
|
|
|
|
|
3,730,087 |
|
|
|
|
|
|
|
|
|
|
|
|
Residential
Loans – 0.2%
|
|
|
|
|
|
500,000
|
|
GSAA
Trust, Ser. 2007-5, Class 1F2A, CCC, Caa1,
|
|
|
|
|
|
|
|
5.788%, 3/25/47 (a) (d)
|
|
|
305,439 |
|
|
|
|
|
|
|
|
|
|
|
|
Student
Loans – 0.2%
|
|
|
|
|
|
391,570
|
|
MRU
Student Loan Trust, Ser. 2008-A, Class A1A, AAA, NR,
|
|
|
|
|
|
|
|
7.400%,
1/25/41 (b)
|
|
|
197,391 |
|
|
202,567
|
|
MRU
Student Loan Trust, Ser. 2008-A, Class B, AA, NR,
|
|
|
|
|
|
|
|
5.816%,
1/25/41 (b) (d)
|
|
|
49,748 |
|
|
202,567
|
|
MRU
Student Loan Trust, Ser. 2008-A, Class C, A, NR,
|
|
|
|
|
|
|
|
7.816%, 1/25/41 (b) (d)
|
|
|
43,724 |
|
|
|
|
|
|
|
290,863 |
|
|
|
|
|
|
|
|
|
|
|
|
Timeshares
– 2.5%
|
|
|
|
|
|
2,593,604
|
|
Diamonds
Resort Owner Trust, Ser. 2009-1, Class A, A, NR,
|
|
|
|
|
|
|
|
9.310%,
3/20/26 (a) (b)
|
|
|
2,595,760 |
|
|
1,369,941
|
|
Sierra
Receivables Funding Co., Ser. 2006-1A, Class A1, BBB-,
Baa3,
|
|
|
|
|
|
|
|
5.840%, 5/20/18 (a) (b)
|
|
|
1,393,113 |
|
|
|
|
|
|
|
3,988,873 |
|
|
|
|
|
|
|
|
|
|
|
|
Transportation
– 18.0%
|
|
|
|
|
|
1,907,592
|
|
Aircraft
Certificate Owner Trust, Ser. 2003-1A, Class D, BB+, Ba3,
|
|
|
|
|
|
|
|
6.455%,
9/20/22 (b)
|
|
|
1,735,909 |
|
|
2,000,000
|
|
Aircraft
Certificate Owner Trust, Ser. 2003-1A, Class E, BB+, Ba3,
|
|
|
|
|
|
|
|
7.001%,
9/20/22 (b)
|
|
|
1,645,020 |
|
|
2,311,685
|
|
Aircraft
Lease Securitisation Ltd., Ser. 2007-1A, Class G3, A-,
Baa1,
|
|
|
|
|
|
|
|
0.540%,
5/10/32 (Jersey) (b) (d)
|
|
|
2,039,461 |
|
|
766,783
|
|
Airplanes
Pass Through Trust, Ser. 1R, Class A8, BB-, Baa3,
|
|
|
|
|
|
|
|
0.712%,
3/15/19 (d)
|
|
|
751,448 |
|
|
15,000,000
|
|
Airplanes
Pass Through Trust, Ser. 2001-1A, Class A9, CCC, B1,
|
|
|
|
|
|
|
|
0.887%,
3/15/19 (d)
|
|
|
7,837,500 |
|
|
1,087,247
|
|
Aviation
Capital Group Trust, Ser. 2000-1A, Class A1, BB, Ba3,
|
|
|
|
|
|
|
|
0.817%,
11/15/25 (b) (d)
|
|
|
595,964 |
|
|
5,813,296
|
|
Aviation
Capital Group Trust, Ser. 2003-2A, Class B1, BBB, A3,
|
|
|
|
|
|
|
|
3.340%,
9/20/33 (b) (d)
|
|
|
3,494,140 |
|
|
3,883,199
|
|
Babcock
& Brown Air Funding Ltd., Ser. 2007-1A, Class G1, BBB+,
Baa2,
|
|
|
|
|
|
|
|
0.638%,
10/14/33 (Bermuda) (a) (b) (d)
|
|
|
2,912,400 |
|
|
894,145
|
|
Blade
Engine Securitization Ltd., Ser. 2006-1A, Class B, BBB+,
Baa2,
|
|
|
|
|
|
|
|
3.337%,
9/15/2041 (Cayman Islands) (b) (d)
|
|
|
585,527 |
|
|
567,248
|
|
CLI
Funding LLC, Ser. 2006-1A, Class A, BBB, Baa3,
|
|
|
|
|
|
|
|
0.518%,
8/18/21 (b) (d)
|
|
|
461,308 |
|
|
267,307
|
|
Helios
Finance LP, Ser. 2007-S1, Class B1, BBB, Baa3,
|
|
|
|
|
|
|
|
1.040%,
10/20/14 (Cayman Islands) (b) (d)
|
|
|
260,670 |
|
|
3,221,236
|
|
Lease
Investment Flight Trust, Ser. 1, Class A3, B+, Baa3,
|
|
|
|
|
|
|
|
0.767%,
7/15/16 (a) (d)
|
|
|
2,844,319 |
|
|
5,200,000
|
|
Pegasus
Aviation Lease Securitization, Ser. 2001-1A, Class A1, NR,
B2,
|
|
|
|
|
|
|
|
0.777%,
5/10/31 (b) (d)
|
|
|
1,924,000 |
|
|
500,000
|
|
Pegasus
Aviation Lease Securitization, Ser. 2001-1A, Class A2, NR,
B2,
|
|
|
|
|
|
|
|
0.877%,
5/10/31 (b) (d)
|
|
|
185,000 |
|
See
notes to financial statements.
Annual
Report | May 31, 2010 | 13
GOF | Claymore/Guggenheim
Strategic Opportunities Fund | Portfolio of Investments
continued
|
Principal
|
|
|
|
|
|
|
Amount
|
|
Description
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Transportation
(continued)
|
|
|
|
$
|
2,106,000
|
|
Triton
Container Finance LLC, Ser. 2006-1A, BBB, Baa2,
|
|
|
|
|
|
|
0.515%, 11/26/21 (b) (d)
|
|
$ |
1,884,013 |
|
|
|
|
|
|
|
29,156,679 |
|
|
|
|
|
|
|
|
|
|
|
|
Trust
Preferred Stocks – 3.5%
|
|
|
|
|
|
6,000,000
|
|
Attentus
CDO Ltd., Ser. 2007-3A, Class A1B, AAA, Aa3,
|
|
|
|
|
|
|
|
0.554%,
10/11/42 (Cayman Islands) (b) (d)
|
|
|
2,785,080 |
|
|
4,772,600
|
|
Preferred
Term Securities XXIII Ltd., BBB-, B1,
|
|
|
|
|
|
|
|
0.567%, 12/22/36 (Cayman Islands) (b)
(d)
|
|
|
2,911,286 |
|
|
|
|
|
|
|
5,696,366 |
|
|
|
|
|
|
|
|
|
|
|
|
Whole
Business – 7.3%
|
|
|
|
|
|
6,424,030
|
|
Applebee’s
Enterprises LLC, Ser. 2007-1A, Class A22A, AAA, Aa3,
|
|
|
|
|
|
|
|
6.427%,
12/20/37 (a) (b)
|
|
|
5,979,679 |
|
|
3,760,000
|
|
Dominos
Pizza Master Issuer LLC, Ser. 2007-1, Class A2, BBB-,
Baa3,
|
|
|
|
|
|
|
|
5.261%,
4/25/37 (a) (b)
|
|
|
3,506,096 |
|
|
2,000,000
|
|
IHOP
Franchising LLC, Ser. 2007-1A, Class A1, BBB-, Baa2,
|
|
|
|
|
|
|
|
5.144%,
3/20/37 (a) (b)
|
|
|
1,822,720 |
|
|
600,000
|
|
NuCO2
Funding LLC, Ser. 2008-1A, Class A1, NR, Baa2,
|
|
|
|
|
|
|
|
7.250%, 6/25/38 (b)
|
|
|
545,826 |
|
|
|
|
|
|
|
11,854,321 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Asset Backed Securities – 60.8%
|
|
|
|
|
|
|
|
(Cost $91,838,654)
|
|
|
98,331,531 |
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
Mortgage Obligations – 29.8%
|
|
|
|
|
|
500,000
|
|
Banc
of America Commercial Mortgage, Inc., Ser. 2003-2, Class G, A-,
NR,
|
|
|
|
|
|
|
|
5.333%,
3/11/41 (b) (d)
|
|
|
422,554 |
|
|
1,000,000
|
|
Banc
of America Commercial Mortgage, Inc., Ser. 2004-5, Class B, AA+,
Aa2,
|
|
|
|
|
|
|
|
5.058%,
11/10/41 (a) (d)
|
|
|
720,686 |
|
|
600,000
|
|
Banc
of America Commercial Mortgage, Inc., Ser. 2005-5, Class AJ, BBB+,
Aaa,
|
|
|
|
|
|
|
|
5.154%,
10/10/45 (a) (d)
|
|
|
507,830 |
|
|
1,500,000
|
|
Bear
Stearns Commercial Mortgage Securities, Ser. 2005-PW10, Class AJ, BB+,
NR,
|
|
|
|
|
|
|
|
5.463%,
12/11/40 (a) (d)
|
|
|
1,156,325 |
|
|
500,000
|
|
Citigroup
Commercial Mortgage Trust, Ser. 2004-C2, Class E, A-, A3,
|
|
|
|
|
|
|
|
5.023%,
10/15/41 (b) (d)
|
|
|
388,684 |
|
|
1,200,000
|
|
Citigroup
Commercial Mortgage Trust, Ser. 2007-C6, Class AM, A, NR,
|
|
|
|
|
|
|
|
5.700%,
12/10/49 (d)
|
|
|
1,021,904 |
|
|
2,000,000
|
|
Citigroup/Deutsche
Bank Commercial Mortgage Trust, Ser. 2005-CD1, Class AJ,
|
|
|
|
|
|
|
|
A-,
Aa1,
|
|
|
|
|
|
|
|
5.223%,
7/15/44 (a) (d)
|
|
|
1,683,356 |
|
|
13,500,000
|
|
Commercial
Mortgage Pass Through Certificates, Ser. 2006-C7, Class A4, AAA,
NR,
|
|
|
|
|
|
|
|
5.767%,
6/10/46 (d) (g)
|
|
|
13,928,007 |
|
|
1,000,000
|
|
Commercial
Mortgage Pass Through Certificates, Ser. 2006-C7, Class AM, A,
NR,
|
|
|
|
|
|
|
|
5.792%,
6/10/46 (a) (d)
|
|
|
900,141 |
|
|
1,000,000
|
|
Commercial
Mortgage Pass Through Certificates, Ser. 2006-CN2A, Class F, CCC+,
NR,
|
|
|
|
|
|
|
|
5.570%,
2/5/19 (a) (b) (d)
|
|
|
884,671 |
|
|
4,144,928
|
|
Countrywide
Alternative Loan Trust, Ser. 2006-OA19, Class A1, CCC,
Ba2,
|
|
|
|
|
|
|
|
0.520%,
2/20/47 (a) (d)
|
|
|
2,078,101 |
|
|
3,001,260
|
|
Countrywide
Home Equity Loan Trust, Ser. 2004-S, Class 1A, CCC, B3,
|
|
|
|
|
|
|
|
0.577%,
2/15/30 (d)
|
|
|
1,586,703 |
|
|
1,599,910
|
|
Countrywide
Home Loan Mortgage Pass Through Trust, Ser. 2005-HYB8,
|
|
|
|
|
|
|
|
Class
4A1, B-, Caa3,
|
|
|
|
|
|
|
|
5.383%,
12/20/35 (d)
|
|
|
1,201,463 |
|
|
1,187,500
|
|
Credit
Suisse First Boston Mortgage Securities Corp., Ser.
2005-TFLA,
|
|
|
|
|
|
|
|
Class
K, AA+, Aaa,
|
|
|
|
|
|
|
|
1.637%,
2/15/20 (a) (b) (d)
|
|
|
1,123,473 |
|
|
1,500,000
|
|
Credit
Suisse Mortgage Capital Certificates, Ser. 2006-C3, Class AM, BBB-,
Aaa,
|
|
|
|
|
|
|
|
5.825%,
6/15/38 (a) (d)
|
|
|
1,331,004 |
|
|
121,885
|
|
Deutsche
ALT-A Securities, Inc., Alternate Loan Trust, Ser.
2006-AB4,
|
|
|
|
|
|
|
|
Class
A1A, D, Caa1,
|
|
|
|
|
|
|
|
6.005%,
10/25/36 (d)
|
|
|
76,221 |
|
|
2,000,000
|
|
Greenwich
Capital Commercial Funding Corp., Ser. 2005-GG3,
|
|
|
|
|
|
|
|
Class
AJ, AAA, Aa2,
|
|
|
|
|
|
|
|
4.859%,
8/10/42 (a) (d)
|
|
|
1,694,853 |
|
|
1,000,000
|
|
Greenwich
Capital Commercial Funding Corp., Ser. 2005-GG5,
|
|
|
|
|
|
|
|
Class
AJ, BBB, Aaa,
|
|
|
|
|
|
|
|
5.301%,
4/10/37 (a) (d)
|
|
|
822,963 |
|
|
600,000
|
|
GS
Mortgage Securities Corp. II, Ser. 2001-GL3A, Class E, NR,
A3,
|
|
|
|
|
|
|
|
6.852%,
8/5/18 (b) (d)
|
|
|
578,637 |
|
|
1,039,312
|
|
Indymac
Index Mortgage Loan Trust, Ser. 2006-AR9, Class 3A1, AAA,
B3,
|
|
|
|
|
|
|
|
5.640%,
6/25/36 (d)
|
|
|
827,340 |
|
|
700,000
|
|
JP
Morgan Chase Commercial Mortgage Securities Corp., Ser.
2002-C1,
|
|
|
|
|
|
|
|
Class
E, A-, A2,
|
|
|
|
|
|
|
|
6.135%,
7/12/37 (b)
|
|
|
649,147 |
|
|
1,000,000
|
|
JP
Morgan Chase Commercial Mortgage Securities Corp., Ser.
2005-LDP3,
|
|
|
|
|
|
|
|
Class
AJ, BBB, A2,
|
|
|
|
|
|
|
|
4.965%,
8/15/42 (a) (d)
|
|
|
816,448 |
|
|
2,600,000
|
|
JP
Morgan Chase Commercial Mortgage Securities Corp., Ser.
2007-LD11,
|
|
|
|
|
|
|
|
Class
AM, BB+, A3,
|
|
|
|
|
|
|
|
5.818%,
6/15/49 (a) (d)
|
|
|
1,937,098 |
|
|
2,000,000
|
|
Morgan
Stanley Capital I, Ser. 2005-HQ6, Class AJ, A-, NR,
|
|
|
|
|
|
|
|
5.073%,
8/13/42 (a) (d)
|
|
|
1,756,896 |
|
|
1,000,000
|
|
Morgan
Stanley Capital I, Ser. 2006-HQ10, Class AM, NR, Aaa,
|
|
|
|
|
|
|
|
5.360%,
11/12/41 (a)
|
|
|
922,407 |
|
|
1,250,000
|
|
Morgan
Stanley Capital I, Ser. 2006-IQ12, Class AM, A, NR,
|
|
|
|
|
|
|
|
5.370%,
12/15/43 (a)
|
|
|
1,064,239 |
|
|
1,000,000
|
|
Morgan
Stanley Capital I, Ser. 2006-T23, Class AM, A+, NR,
|
|
|
|
|
|
|
|
5.810%,
8/12/41 (a) (d)
|
|
|
912,135 |
|
|
436,711
|
|
New
Century Home Equity Loan Trust, Ser. 2004-A, Class AII9, B,
A2,
|
|
|
|
|
|
|
|
5.364%,
8/25/34 (d)
|
|
|
353,970 |
|
|
1,088,000
|
|
TBW
Mortgage Backed Pass Through Certificates, Ser. 2006-6,
|
|
|
|
|
|
|
|
Class
A3, D, Caa2,
|
|
|
|
|
|
|
|
5.750%,
1/25/37 (h)
|
|
|
629,458 |
|
|
2,500,000
|
|
TBW
Mortgage Backed Pass Through Certificates, Ser. 2006-6,
|
|
|
|
|
|
|
|
Class
A5B, D, Caa3,
|
|
|
|
|
|
|
|
6.040%,
1/25/37 (h)
|
|
|
1,169,860 |
|
See
notes to financial statements.
14 | Annual Report | May 31,
2010
GOF | Claymore/Guggenheim
Strategic Opportunities Fund | Portfolio of Investments
continued
|
Principal
|
|
|
|
|
|
|
Amount
|
|
Description
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
Mortgage Obligations (continued)
|
|
|
|
$
|
2,000,000
|
|
TIAA
Seasoned Commercial Mortgage Trust, Ser. 2007-C4, Class AJ, A+,
NR,
|
|
|
|
|
|
|
6.072%,
8/15/39 (d)
|
|
$ |
1,818,309 |
|
|
750,000
|
|
Timberstar
Trust, Ser. 2006-1A, Class C, A, A3,
|
|
|
|
|
|
|
|
5.884%,
10/15/36 (a) (b)
|
|
|
764,954 |
|
|
2,000,000
|
|
Wachovia
Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AJ, BBB-,
Aaa,
|
|
|
|
|
|
|
|
5.139%,
7/15/42 (a) (d)
|
|
|
1,667,477 |
|
|
1,000,000
|
|
Wachovia
Bank Commercial Mortgage Trust, Ser. 2005-C21, Class AJ, A-,
Aa2,
|
|
|
|
|
|
|
|
5.208%, 10/15/44 (a) (d)
|
|
|
873,269 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Collateralized Mortgage Obligations – 29.8%
|
|
|
|
|
|
|
|
(Cost $50,030,593)
|
|
|
48,270,583 |
|
|
Number
|
|
|
|
|
|
|
of Shares
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Preferred
Stock – 2.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks
– 1.3%
|
|
|
|
|
40,000
|
|
BB&T
Capital Trust VI, 9.600% (a)
|
|
|
1,111,200 |
|
|
50,000
|
|
Santander Finance Preferred SA Unipersonal, 6.500%
(Spain) (a)
|
|
|
990,500 |
|
|
|
|
|
|
|
2,101,700 |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified
Financial Services – 0.6%
|
|
|
|
|
|
50,000
|
|
Deutsche
Bank Contingent Capital Trust II, 6.550% (a)
|
|
|
1,009,500 |
|
|
37,600
|
|
Lehman Brothers Holdings, Inc., Ser. J, 7.950%
(i)
|
|
|
827 |
|
|
|
|
|
|
|
1,010,327 |
|
|
|
|
|
|
|
|
|
|
|
|
Insurance
– 0.2%
|
|
|
|
|
|
20,000
|
|
Aegon
NV, 6.375% (Netherlands) (a)
|
|
|
341,400 |
|
|
3,800
|
|
ING Groep NV, 7.050% (Netherlands)
(a)
|
|
|
68,134 |
|
|
|
|
|
|
|
409,534 |
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication
– 0.7%
|
|
|
|
|
|
1,000
|
|
Centaur Funding Corp., 9.080% (Cayman Islands)
(b)
|
|
|
1,058,437 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Preferred Stock – 2.8%
|
|
|
|
|
|
|
|
(Cost $5,817,313)
|
|
|
4,579,998 |
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded
Funds – 10.1%
|
|
|
|
|
|
55,000
|
|
Powershares
QQQ (a) (j)
|
|
|
2,509,100 |
|
|
27,500
|
|
ProShares
Ultra Dow30 (a) (j)
|
|
|
1,144,825 |
|
|
100,000
|
|
ProShares
Ultra S&P500 (a) (j)
|
|
|
3,624,000 |
|
|
30,000
|
|
SPDR
Dow Jones Industrial Average ETF Trust (a) (j)
|
|
|
3,044,100 |
|
|
55,000
|
|
SPDR S&P 500 ETF Trust (a)
(j)
|
|
|
6,019,200 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Exchange-Traded Funds – 10.1%
|
|
|
|
|
|
|
|
(Cost $16,018,936)
|
|
|
16,341,225 |
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
Description
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Government and Agency Securities – 1.2%
|
|
|
|
$
|
2,000,000
|
|
Freddie
Mac, Ser. 1, AAA, Aaa,
|
|
|
|
|
|
|
6.500%,
6/3/24 (a) (d)
|
|
|
|
|
|
|
(Cost $2,000,000)
|
|
$ |
1,960,000 |
|
|
|
|
|
|
|
|
|
|
|
|
Term
Loans (k) – 3.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer
Products – 0.3%
|
|
|
|
|
|
447,659
|
|
Navisite,
Inc., B-, B3,
|
|
|
|
|
|
|
|
9.150%, 9/19/14 (d)
|
|
|
425,276 |
|
|
|
|
|
|
|
|
|
|
|
|
Electronics
– 0.2%
|
|
|
|
|
|
283,064
|
|
Clientlogic
Corp., B+, B3,
|
|
|
|
|
|
|
|
5.795%, 1/30/14 (d)
|
|
|
277,403 |
|
|
|
|
|
|
|
|
|
|
|
|
Healthcare,
Education & Childcare – 0.4%
|
|
|
|
|
|
843,384
|
|
Embanet,
B, B2,
|
|
|
|
|
|
|
|
3.310%, 6/28/12 (d)
|
|
|
691,574 |
|
|
|
|
|
|
|
|
|
|
|
|
Home
& Office Furnishings – 0.4%
|
|
|
|
|
|
692,502
|
|
Centaur
LLC, CCC+, B2,
|
|
|
|
|
|
|
|
11.250%, 11/9/14 (d)
|
|
|
626,715 |
|
|
|
|
|
|
|
|
|
|
|
|
Leisure
– 0.8%
|
|
|
|
|
|
1,448,876
|
|
Bushnell
Performance Optics, BB-, Ba3,
|
|
|
|
|
|
|
|
4.540%, 8/24/13 (d)
|
|
|
1,372,810 |
|
|
|
|
|
|
|
|
|
|
|
|
Retail
Stores – 1.0%
|
|
|
|
|
|
1,078,241
|
|
Deb
Shops, Inc., B-, B3,
|
|
|
|
|
|
|
|
7.000%,
4/23/14 (d)
|
|
|
733,204 |
|
|
972,500
|
|
Mattress
Firm, B, Ba3,
|
|
|
|
|
|
|
|
2.690%, 10/23/14 (d)
|
|
|
802,313 |
|
|
|
|
|
|
|
1,535,517 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Term Loans – 3.1%
|
|
|
|
|
|
|
|
(Cost $5,609,694)
|
|
|
4,929,295 |
|
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments – 131.7%
|
|
|
|
|
|
|
|
(Cost $212,113,651)
|
|
|
213,127,235 |
|
See
notes to financial statements.
Annual
Report | May 31, 2010 | 15
GOF | Claymore/Guggenheim
Strategic Opportunities Fund | Portfolio of Investments
continued
|
|
|
|
Expiration
|
|
|
Exercise
|
|
|
|
|
Contracts
|
|
Options Purchased
|
|
Date
|
|
|
Price
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
Options Purchased – 0.0%*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32 |
|
CBOE
S&P 500 Volatility Index (j) (l) (m)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost
$38,080)
|
|
June
2010
|
|
|
$ |
20.00 |
|
|
$ |
32,000 |
|
|
|
|
Total
Investments – 131.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost
$212,151,731)
|
|
|
|
|
|
|
|
|
|
|
213,159,235 |
|
|
|
|
Other
Assets in excess of Liabilities - 11.3%
|
|
|
|
|
|
|
|
|
|
|
18,332,722 |
|
|
|
|
Total
Options Written - (0.3%)
|
|
|
|
|
|
|
|
|
|
|
(591,684 |
) |
|
|
|
Borrowings
- (16.6%)
|
|
|
|
|
|
|
|
|
|
|
(26,865,369 |
) |
|
|
|
Reverse
Repurchase Agreements - (19.5%)
|
|
|
|
|
|
|
|
|
|
|
(31,621,245 |
) |
|
|
|
TALF
Loan – (6.6%)
|
|
|
|
|
|
|
|
|
|
|
(10,630,271 |
) |
|
|
|
Net
Assets Applicable to Common Shareholders - 100.0%
|
|
|
$ |
161,783,388 |
|
* 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 May 31, 2010, the total amount segregated was
$109,614,982.
|
(b)
|
Securities
are exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At May 31,
2010, these securities amounted to $106,936,897 which represents 66.1% of
net assets applicable to common
shares.
|
(c)
|
Security
has a fixed rate coupon which will convert to a floating or variable rate
coupon on a future date.
|
(d)
|
Floating
or Variable Rate Coupon. Rate shown is in effect at May 31,
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
$4,631,900 which represents 2.9% 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 May 31, 2010, the total
amount physically segregated was $13,928,007. See notes to financial
statements.
|
(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 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.
|
(l)
|
Non-income
producing security.
|
(m)
|
Represents
100 shares per contract.
|
Ratings
(unaudited) shown are per Standard & Poor’s and Moody’s. Securities
classified as NR are not rated.
|
|
|
|
Expiration
|
|
|
Exercise
|
|
|
|
|
Contracts
|
|
Options Written (l)
|
|
Date
|
|
|
Price
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
Options Written – (0.3%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32 |
|
CBOE
S&P 500 Volatility Index (m)
|
|
June
2010
|
|
|
$ |
30.00 |
|
|
$ |
11,200 |
|
|
550 |
|
Powershares
QQQ (m)
|
|
June
2010
|
|
|
|
46.00 |
|
|
|
52,525 |
|
|
275 |
|
ProShares
Ultra Dow30 (m)
|
|
June
2010
|
|
|
|
42.00 |
|
|
|
50,187 |
|
|
1,000 |
|
ProShares
Ultra S&P500 (m)
|
|
June
2010
|
|
|
|
37.00 |
|
|
|
151,500 |
|
|
900 |
|
S&P
500 Index
|
|
June
2010
|
|
|
|
1,120.00 |
|
|
|
11,430 |
|
|
6,900 |
|
S&P
500 Index
|
|
June
2010
|
|
|
|
1,100.00 |
|
|
|
151,800 |
|
|
300 |
|
SPDR
Dow Jones Industrial Average
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ETF
Trust (m)
|
|
June
2010
|
|
|
|
102.00 |
|
|
|
61,650 |
|
|
550 |
|
SPDR S&P 500 ETF Trust
(m)
|
|
June 2010
|
|
|
|
111.00 |
|
|
|
101,200 |
|
|
|
|
Total
Value of Call Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Premiums received
$817,828)
|
|
|
|
|
|
|
|
|
|
|
591,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
Options Written - (0.0%*)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32 |
|
CBOE
S&P 500 Volatility Index (m)
|
|
June
2010
|
|
|
|
20.00 |
|
|
|
192 |
|
|
|
|
(Premiums received $320)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Value of Options Written - (0.3%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Premiums received
$818,148)
|
|
|
|
|
|
|
|
|
|
$ |
591,684 |
|
*Less
than 0.1%
See
notes to financial statements.
16 | Annual Report | May 31,
2010
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Statement of Assets and
Liabilities | May 31, 2010
Assets
|
|
|
|
Investments
in securities, at value (cost $212,151,731)
|
|
$ |
213,159,235 |
|
Cash
|
|
|
13,393,104 |
|
Restricted
Cash
|
|
|
2,930,000 |
|
Unrealized
appreciation on swaps
|
|
|
1,252,075 |
|
Interest
receivable
|
|
|
1,729,518 |
|
Dividends
receivable
|
|
|
42,333 |
|
Other assets
|
|
|
97,927 |
|
Total assets
|
|
|
232,604,192 |
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Reverse
repurchase agreements
|
|
|
31,621,245 |
|
Borrowings
|
|
|
26,865,369 |
|
Payable
on TALF Loan
|
|
|
10,630,271 |
|
Options
written, at value (premiums received of $818,148)
|
|
|
591,684 |
|
Interest
due on borrowings
|
|
|
356,099 |
|
Payable
for securities purchased
|
|
|
341,250 |
|
Advisory
fee payable
|
|
|
197,472 |
|
Administration
fee payable
|
|
|
5,223 |
|
Accrued expenses and other
liabilities
|
|
|
212,191 |
|
Total liabilities
|
|
|
70,820,804 |
|
Net Assets
|
|
$ |
161,783,388 |
|
|
|
|
|
|
Composition
of Net Assets
|
|
|
|
|
Common
stock, $.01 par value per share; unlimited number of shares authorized,
9,215,636 shares issued and outstanding
|
|
$ |
92,156 |
|
Additional
paid-in capital
|
|
|
167,407,951 |
|
Accumulated
net realized loss on investments, options, futures and
swaps
|
|
|
(9,063,320 |
) |
Accumulated
net unrealized appreciation on investments, options and
swaps
|
|
|
2,486,043 |
|
Accumulated undistributed net investment
income
|
|
|
860,558 |
|
Net Assets
|
|
$ |
161,783,388 |
|
Net Asset Value (based on 9,215,636 common shares
outstanding)
|
|
$ |
17.56 |
|
See
notes to financial statements.
Annual
Report | May 31, 2010 | 17
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Statement of Operations
| For the Year Ended May 31,
2010
Investment
Income
|
|
|
|
|
|
|
Dividends
|
|
$ |
450,557 |
|
|
|
|
Interest
|
|
|
19,885,476 |
|
|
|
|
Total income
|
|
|
|
|
|
$ |
20,336,033 |
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
Investment
advisory fee
|
|
|
1,965,337 |
|
|
|
|
|
Professional
fees
|
|
|
272,834 |
|
|
|
|
|
Fund
accounting fee
|
|
|
166,455 |
|
|
|
|
|
Custodian
fee
|
|
|
106,966 |
|
|
|
|
|
Trustees’
fees and expenses
|
|
|
75,973 |
|
|
|
|
|
Printing
expense
|
|
|
57,483 |
|
|
|
|
|
Administration
fee
|
|
|
53,300 |
|
|
|
|
|
Line
of credit fee
|
|
|
38,749 |
|
|
|
|
|
Transfer
agent fee
|
|
|
21,733 |
|
|
|
|
|
NYSE
listing fee
|
|
|
21,500 |
|
|
|
|
|
TALF
loan fees
|
|
|
21,261 |
|
|
|
|
|
Insurance
|
|
|
17,509 |
|
|
|
|
|
Miscellaneous
|
|
|
7,831 |
|
|
|
|
|
Interest expense
|
|
|
1,409,486 |
|
|
|
|
|
Total expenses
|
|
|
|
|
|
|
4,236,417 |
|
Net investment income
|
|
|
|
|
|
|
16,099,616 |
|
|
|
|
|
|
|
|
|
|
Realized
and Unrealized Gain (Loss) on Investments, Options and Swap
Transactions
|
|
|
|
|
|
|
|
|
Net
realized gain (loss) on:
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
4,065,356 |
|
Options
|
|
|
|
|
|
|
(2,239,956 |
) |
Swaps
|
|
|
|
|
|
|
2,930,090 |
|
Net
change in unrealized appreciation on:
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
41,376,168 |
|
Options
|
|
|
|
|
|
|
551,885 |
|
Swaps
|
|
|
|
|
|
|
1,149,211 |
|
Net realized and unrealized gain on investments,
options, and swap transactions
|
|
|
|
|
|
|
47,832,754 |
|
Net Increase in Net Assets Resulting from
Operations
|
|
|
|
|
|
$ |
63,932,370 |
|
See
notes to financial statements.
18 | Annual Report | May 31,
2010
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Statement of Changes in Net
Assets |
|
|
For the
|
|
|
For the
|
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
May 31, 2010
|
|
|
May 31, 2009
|
|
|
|
|
|
|
|
|
Increase
(Decrease) in Net Assets from Operations
|
|
|
|
|
|
|
Net
investment income
|
|
$ |
16,099,616 |
|
|
$ |
9,668,019 |
|
Net
realized gain (loss) on investments, options, foreign currency
transaction, futures and swaps
|
|
|
4,755,490 |
|
|
|
(9,642,859 |
) |
Net change in unrealized appreciation
(depreciation) on investments, options, unfunded commitments and
swaps
|
|
|
43,077,264 |
|
|
|
(29,632,229 |
) |
Net increase (decrease) in net assets resulting
from operations
|
|
|
63,932,370 |
|
|
|
(29,607,069 |
) |
|
|
|
|
|
|
|
|
|
Distributions
to Common Shareholders
|
|
|
|
|
|
|
|
|
From
and in excess of net investment income
|
|
|
(16,931,384 |
) |
|
|
(12,332,718 |
) |
Return of capital
|
|
|
– |
|
|
|
(4,493,766 |
) |
|
|
|
(16,931,384 |
) |
|
|
(16,826,484 |
) |
|
|
|
|
|
|
|
|
|
Capital
Share Transactions
|
|
|
|
|
|
|
|
|
Reinvestment
of dividends
|
|
|
1,706,887 |
|
|
|
– |
|
Net increase from capital share
transactions
|
|
|
1,706,887 |
|
|
|
– |
|
Total increase (decrease) in net
assets
|
|
|
48,707,873 |
|
|
|
(46,433,553 |
) |
|
|
|
|
|
|
|
|
|
Net
Assets
|
|
|
|
|
|
|
|
|
Beginning of period
|
|
|
113,075,515 |
|
|
|
159,509,068 |
|
End of period (including accumulated undistributed
net investment income of $860,558 and $967,896,
respectively)
|
|
$ |
161,783,388 |
|
|
$ |
113,075,515 |
|
See
notes to financial statements.
Annual
Report | May 31, 2010 | 19
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Statement of Cash Flows |
For the Year Ended May
31, 2010
Cash
Flows from Operating Activities:
|
|
|
|
Net increase in net assets resulting from
operations
|
|
$ |
63,932,370 |
|
|
|
|
|
|
Adjustments
to Reconcile Net Increase in Net Assets Resulting from Operations
to
|
|
|
|
|
Net
Cash Used in Operating and Investing Activities:
|
|
|
|
|
Net
unrealized appreciation on investments
|
|
|
(41,376,168 |
) |
Net
unrealized appreciation on options
|
|
|
(551,885 |
) |
Net
unrealized appreciation on swaps
|
|
|
(1,149,211 |
) |
Net
accretion of bond discount and amortization of bond
premium
|
|
|
(8,117,299 |
) |
Net
realized gain on investments
|
|
|
(4,065,356 |
) |
Paydowns
received
|
|
|
(2,205,103 |
) |
Net
realized loss on options
|
|
|
2,239,956 |
|
Net
realized gain on swaps
|
|
|
(2,930,090 |
) |
Purchase
of long-term investments
|
|
|
(142,666,875 |
) |
Cost
of written options closed
|
|
|
(6,039,076 |
) |
Proceeds
from sale of long-term investments
|
|
|
125,107,445 |
|
Increase
in dividends receivable
|
|
|
(29,905 |
) |
Increase
in interest receivable
|
|
|
(498,759 |
) |
Decrease
in receivable for investments sold
|
|
|
4,249,691 |
|
Increase
in other assets
|
|
|
(82,023 |
) |
Decrease
in payable for investments purchased
|
|
|
(2,544,374 |
) |
Increase
in interest due on borrowings
|
|
|
343,699 |
|
Premiums
received on call options written
|
|
|
7,814,989 |
|
Increase
in advisory fee payable
|
|
|
78,234 |
|
Increase
in administration fee payable
|
|
|
1,944 |
|
Increase in accrued expenses and other
liabilities
|
|
|
92,402 |
|
Net Cash Used in Operating and Investing
Activities
|
|
|
(8,395,394 |
) |
|
|
|
|
|
Cash
Flows From Financing Activities:
|
|
|
|
|
Dividends
paid to common shareholders
|
|
|
(15,224,497 |
) |
Increase
in reverse repurchase agreements
|
|
|
22,663,995 |
|
Proceeds
from TALF loans
|
|
|
10,630,271 |
|
Proceeds
from borrowings
|
|
|
14,737,818 |
|
Payments made on borrowings
|
|
|
(10,000,000 |
) |
Net Cash Provided by Financing
Activities
|
|
|
22,807,587 |
|
Net
increase in cash
|
|
|
14,412,193 |
|
|
|
|
|
|
Cash at Beginning of Period
|
|
|
1,910,911 |
|
Cash at End of Period (including restricted
cash)
|
|
$ |
16,323,104 |
|
Supplemental Disclosure of Cash Flow Information:
Cash paid during the period for interest
|
|
$ |
1,065,787 |
|
See
notes to financial statements.
20 | Annual Report | May 31,
2010
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Financial Highlights
|
|
|
|
|
|
|
|
|
For the period
|
|
|
|
For the
|
|
|
For the
|
|
|
July 27, 2007*
|
|
Per share operating performance
|
|
Year Ended
|
|
|
Year Ended
|
|
|
through
|
|
for a common share outstanding throughout the period
|
|
May 31, 2010
|
|
|
May 31, 2009
|
|
|
May 31, 2008
|
|
Net asset value, beginning of
period
|
|
$ |
12.42 |
|
|
$ |
17.52 |
|
|
$ |
19.10 |
(b)
|
Income
from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income (a)
|
|
|
1.76 |
|
|
|
1.06 |
|
|
|
0.79 |
|
Net realized and unrealized gain (loss) on
investments, options, futures, swaps and unfunded
commitments
|
|
|
5.23 |
|
|
|
(4.31 |
) |
|
|
(0.99 |
) |
Total from investment
operations
|
|
|
6.99 |
|
|
|
(3.25 |
) |
|
|
(0.20 |
) |
Common
share offering expenses charged to paid-in-capital
|
|
|
– |
|
|
|
– |
|
|
|
(0.04 |
) |
Distributions
to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
From
and in excess of net investment income
|
|
|
(1.85 |
) |
|
|
(1.36 |
) |
|
|
(0.98 |
) |
Return of capital
|
|
|
– |
|
|
|
(0.49 |
) |
|
|
(0.36 |
) |
Total distributions
|
|
|
(1.85 |
) |
|
|
(1.85 |
) |
|
|
(1.34 |
) |
Net asset value, end of
period
|
|
$ |
17.56 |
|
|
$ |
12.42 |
|
|
$ |
17.52 |
|
Market value, end of period
|
|
$ |
17.46 |
|
|
$ |
11.53 |
|
|
$ |
16.78 |
|
Total
investment return (c)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
asset value
|
|
|
59.06 |
% |
|
|
-18.37 |
% |
|
|
-1.40 |
% |
Market
value
|
|
|
70.37 |
% |
|
|
-19.51 |
% |
|
|
-9.41 |
% |
Ratios
and supplemental data
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets, applicable to common shareholders, end of period
(thousands)
|
|
$ |
161,783 |
|
|
$ |
113,076 |
|
|
$ |
159,509 |
|
Ratios
to Average Net Assets applicable to Common Shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
expenses, excluding interest expense
|
|
|
1.98 |
%(d) |
|
|
2.06 |
%(d) |
|
|
1.72 |
%(d)(e) |
Total
expenses, including interest expense
|
|
|
2.97 |
%(d) |
|
|
3.25 |
%(d) |
|
|
3.36 |
%(d)(e) |
Net
investment income, including interest expense
|
|
|
11.30 |
% |
|
|
7.84 |
% |
|
|
5.08 |
%(e) |
Portfolio
turnover (f)
|
|
|
67 |
% |
|
|
58 |
% |
|
|
210 |
% |
Senior
Indebtedness
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Borrowings outstanding (in thousands)
|
|
$ |
69,117 |
|
|
$ |
31,085 |
|
|
$ |
76,016 |
|
Asset
coverage per $1,000 of indebtedness (g)
|
|
$ |
3,341 |
|
|
$ |
4,638 |
|
|
$ |
3,098 |
|
*
|
Commencement
of operations.
|
(a)
|
Based
on average shares outstanding during the
period.
|
(b)
|
Before
deduction of offering expenses charged to
capital.
|
(c)
|
Total
investment return is calculated assuming a purchase of a common share at
the beginning of the period and a sale on the last day of the period
reported either at net asset value (“NAV”) or market price per share.
Dividends and distributions are assumed to be reinvested at NAV for NAV
returns or the prices obtained under the Fund’s Dividend Reinvestment Plan
for market value returns. Total investment return does not reflect
brokerage commissions. A return calculated for a period of less than one
year is not annualized.
|
(d)
|
The
ratios of total expenses to average net assets applicable to common shares
and to average managed assets do not reflect fees and expenses incurred
indirectly by the Fund as a result of its investment in shares of other
investment companies. If these fees were included in the expense
ratios, expense ratios would increase by 0.05% for the year ended May 31,
2010, 0.08% for the year ended May 31, 2009, and 0.04% for the period
ended May 31, 2008.
|
(f)
|
Portfolio
turnover is not annualized for periods less than one
year.
|
(g)
|
Calculated
by subtracting the Fund’s total liabilities (not including the borrowings)
from the Fund’s total assets and dividing by the total
borrowings.
|
See
notes to financial statements.
Annual
Report | May 31, 2010 | 21
GOF | Claymore/Guggenheim
Strategic Opportunities Fund
Notes to Financial Statements
| May 31,
2010
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. dollars using the current exchange
rate. The Fund’s securities that are primarily traded in foreign markets may be
traded in such markets on days that the NYSE is closed. As a result, the net
asset value of the Fund may be significantly affected on days when holders of
common shares have no ability to trade common shares on the NYSE. Investment
companies are valued at the last available closing price. The Fund values
exchange-traded options and other derivative contracts at the mean of the best
bid and asked prices at the close on those exchanges on which they are traded.
Short-term securities with remaining maturities of 60 days or less are valued at
amortized cost, which approximates market value.
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 (“GPAM”), 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.
GPAM also uses third party service providers to model certain securities using
cash flow models to represent a fair 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
has elected to recognize the TALF loan at fair value, as permitted by GAAP, to
mitigate the volatility in net assets caused by measuring related assets and
liabilities differently. Consequently the Fund recorded the loan liability on
the Statement of Assets and Liabilities, at fair value. The fair value option
requires that the TALF loan be marked-to-market giving consideration to changes
in the market value of the pledged collateral.
In
accordance with ASC 820, Fair Value Measurements and Disclosures (formerly known
as the Statement of Financial Accounting Standard 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 May 31, 2010:
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
(value in $000s)
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate
Bonds
|
|
$ |
– |
|
|
$ |
38,715 |
|
|
$ |
– |
|
|
$ |
38,715 |
|
Asset
Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized
Debt Obligations
|
|
|
– |
|
|
|
6,456 |
|
|
|
– |
|
|
|
6,456 |
|
Collateralized
Loan Obligations
|
|
|
– |
|
|
|
22,791 |
|
|
|
3,125 |
|
|
|
25,916 |
|
Commercial
Real Estate
|
|
|
– |
|
|
|
– |
|
|
|
1,507 |
|
|
|
1,507 |
|
Commercial
Receivables
|
|
|
– |
|
|
|
4,242 |
|
|
|
– |
|
|
|
4,242 |
|
Corporate
Debt Obligations
|
|
|
– |
|
|
|
646 |
|
|
|
– |
|
|
|
646 |
|
Credit
Cards
|
|
|
– |
|
|
|
4,500 |
|
|
|
– |
|
|
|
4,500 |
|
Financials
|
|
|
– |
|
|
|
42 |
|
|
|
– |
|
|
|
42 |
|
Insurance
|
|
|
– |
|
|
|
3,730 |
|
|
|
– |
|
|
|
3,730 |
|
Residential
Loans
|
|
|
– |
|
|
|
305 |
|
|
|
– |
|
|
|
305 |
|
Student
Loans
|
|
|
– |
|
|
|
291 |
|
|
|
– |
|
|
|
291 |
|
Timeshares
|
|
|
– |
|
|
|
3,989 |
|
|
|
– |
|
|
|
3,989 |
|
Transportation
|
|
|
– |
|
|
|
29,157 |
|
|
|
– |
|
|
|
29,157 |
|
Trust
Preferred Stocks
|
|
|
– |
|
|
|
5,696 |
|
|
|
– |
|
|
|
5,696 |
|
Whole
Business
|
|
|
– |
|
|
|
11,854 |
|
|
|
– |
|
|
|
11,854 |
|
Collateralized
Mortgage Obligations
|
|
|
– |
|
|
|
48,271 |
|
|
|
– |
|
|
|
48,271 |
|
Preferred
Stock
|
|
|
4,580 |
|
|
|
– |
|
|
|
– |
|
|
|
4,580 |
|
Exchange-Traded
Funds
|
|
|
16,341 |
|
|
|
– |
|
|
|
– |
|
|
|
16,341 |
|
22 | Annual Report | May 31,
2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Notes to Financial
Statements continued
Description
|
|
|
|
|
|
|
|
|
|
|
|
|
(value
in $000s)
|
|
Level
1
|
|
|
Level
2
|
|
|
Level
3
|
|
|
Total
|
|
U.S.
Government and Agency Securities
|
|
$ |
– |
|
|
$ |
1,960 |
|
|
$ |
– |
|
|
$ |
1,960 |
|
Term
Loans
|
|
|
– |
|
|
|
4,929 |
|
|
|
– |
|
|
|
4,929 |
|
Interest
Rate Swaps
|
|
|
– |
|
|
|
2,394 |
|
|
|
– |
|
|
|
2,394 |
|
Total
Return Swaps
|
|
|
– |
|
|
|
110 |
|
|
|
– |
|
|
|
110 |
|
Call
Options Purchased
|
|
|
– |
|
|
|
32 |
|
|
|
– |
|
|
|
32 |
|
Total
|
|
$ |
20,921 |
|
|
$ |
190,110 |
|
|
$ |
4,632 |
|
|
$ |
215,663 |
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit
Default Swaps
|
|
$ |
– |
|
|
$ |
1,237 |
|
|
$ |
– |
|
|
$ |
1,237 |
|
Total
Return Swaps
|
|
|
– |
|
|
|
22 |
|
|
|
– |
|
|
|
22 |
|
Options
Written
|
|
|
417 |
|
|
|
175 |
|
|
|
– |
|
|
|
592 |
|
TALF
Loan
|
|
|
– |
|
|
|
10,630 |
|
|
|
– |
|
|
|
10,630 |
|
Total
|
|
$ |
417 |
|
|
$ |
12,064 |
|
|
$ |
– |
|
|
$ |
12,481 |
|
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 May 31, 2010.
Level
3 Holdings
|
|
Securities
|
|
|
Derivatives
|
|
|
Total
|
|
(value
in $000s)
|
|
|
|
|
|
|
|
|
|
Beginning
Balance at 5/31/09
|
|
$ |
33,038 |
|
|
$ |
– |
|
|
$ |
33,038 |
|
Total
Realized Gain/Loss
|
|
|
113 |
|
|
|
– |
|
|
|
113 |
|
Change
in Unrealized Gain/Loss
|
|
|
(2,792 |
) |
|
|
– |
|
|
|
(2,792 |
) |
Net
Purchases and Sales
|
|
|
(470 |
) |
|
|
– |
|
|
|
(470 |
) |
Net
Transfers In/Out
|
|
|
(25,257 |
) |
|
|
– |
|
|
|
(25,257 |
) |
Ending
Balance at 5/31/10
|
|
$ |
4,632 |
|
|
$ |
– |
|
|
$ |
4,632 |
|
(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. Paydown gains and
losses on mortgage and asset-backed securities are treated as an adjustment to
interest income. For the year ended May 31, 2010, the Fund recognized an
increase of interest income and a decrease of net realized gain of
$2,205,103. This reclassification is reflected on the Statement of
Operations and had no effect on the net asset value of the Fund. 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 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 an 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)
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.
(f)
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.
Distributions
to shareholders are recorded on the ex-dividend date. The amount and timing of
distributions are determined in accordance with federal income tax regulations,
which may differ from U.S. generally accepted accounting
principles.
Note 3 –
Investment Advisory Agreement,
Sub-Advisory Agreement and Other Agreements:
Pursuant
to an Investment Advisory Agreement (the “Agreement”) among the Fund and
Claymore Advisors, LLC (“the Adviser”), the Adviser furnished offices, necessary
facilities and
Annual Report | May 31, 2010 | 23
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Notes to Financial
Statements continued
equipment,
provides administrative services, oversees the activities of 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”) among 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
October 15, 2009, Guggenheim Partners LLC, (“Guggenheim”), a global, diversified
financial services firm, and Claymore Group Inc., parent of the Adviser,
announced the completion of a previously announced merger. The closing of this
transaction took place on October 14, 2009 (“The Effective Date”). This
transaction 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 has not affected the daily operations of the Fund
or the investment activities or the investment management activities of the
Adviser.
Under the
1940 Act, the consummation of the transaction resulted in the automatic
termination of the Fund’s Advisory & Sub-Advisory Agreement. On September
29, 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. On February 3, 2010, the
shareholders approved the New Agreements on behalf of the Fund.
Under a
separate Fund Administration agreement, the Adviser provides fund administration
services to the Fund. As compensation for services performed under the
Administration Agreement, the Advisor receives a fund administration fee payable
monthly at the annual rate set forth below as a percentage of the average daily
managed assets of the Fund.
Managed
Assets
|
|
Rate
|
|
First
$200,000,000
|
|
|
0.0275 |
% |
Next
$300,000,000
|
|
|
0.0200 |
% |
Next
$500,000,000
|
|
|
0.0150 |
% |
Over
$1,000,000,000
|
|
|
0.0100 |
% |
For the
year ended May 31, 2010, the Fund recognized expenses of $53,300 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.
At May
31, 2010, the following reclassifications were made to the capital accounts of
the Fund to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations, which are primarily
due to the differences between book and tax treatment of investments in real
estate trusts and swaps. Net investment income, net realized gains and net
assets were not affected by these changes.
|
Undistributed
|
|
|
Accumulated
|
|
|
|
|
|
Net Investment
|
|
|
Net Realized
|
|
|
|
|
|
Income/(Loss)
|
|
|
Gain/(Loss)
|
|
|
Paid in Capital
|
|
|
$724,430 |
|
|
$(724,430 |
) |
|
$
– |
|
Information
on the components of investments, excluding purchased and written options, and
net assets as of May 31, 2010, is as follows:
|
|
|
|
|
|
|
|
|
Net Tax
|
|
|
Net Tax
|
|
Cost of
|
|
|
Gross Tax
|
|
|
Gross Tax
|
|
|
Unrealized
|
|
|
Unrealized
|
|
Investments for
|
|
|
Unrealized
|
|
|
Unrealized
|
|
|
Depreciation
|
|
|
Appreciation on
|
|
Tax Purposes
|
|
|
Appreciation
|
|
|
Depreciation
|
|
|
on Investments
|
|
|
Derivatives
|
|
$216,503,947 |
|
|
$13,660,339 |
|
|
$(17,005,051 |
) |
|
$(3,344,712 |
) |
|
$2,620,593 |
|
|
|
Undistributed
|
|
|
Undistributed
|
|
|
|
Ordinary
|
|
|
Long-Term
|
|
|
|
Income/
|
|
|
Gains/
|
|
|
|
(Accumulated
|
|
|
(Accumulated
|
|
|
|
Ordinary Loss)
|
|
|
Capital Loss)
|
|
|
|
$(281,496 |
) |
|
$(4,711,104 |
) |
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, 2010, the Fund had a capital loss
carryforward of $4,711,104 available to offset possible future capital gains.
The capital loss carryforward is set to expire on May 31, 2018.
For the
years ended May 31, 2010, and 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
|
|
2010
|
|
|
2009
|
|
Ordinary
Income
|
|
$ |
16,931,384 |
|
|
$ |
12,332,718 |
|
Return
of Capital
|
|
$ |
– |
|
|
$ |
4,493,766 |
|
|
|
$ |
16,931,384 |
|
|
$ |
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 year ended May 31, 2010, the cost of purchases and proceeds from sales of
investments, excluding written options and short-term investments were
$142,666,875 and $125,107,445, respectively.
24 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund | Notes to Financial Statements
continued
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).
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 year ended May 31,
2010.
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
|
|
|
123,298 |
|
|
|
7,814,989 |
|
Options
expired during the period
|
|
|
(20,779 |
) |
|
|
(1,096,737 |
) |
Options
closed during the period
|
|
|
(94,124 |
) |
|
|
(5,613,432 |
) |
Options
assigned during the period
|
|
|
(6,533 |
) |
|
|
(1,066,050 |
) |
Options outstanding, end of
period
|
|
|
10,539 |
|
|
$ |
818,148 |
|
(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 the 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. The Fund has entered into master netting
arrangements, established within the Fund’s International Swap and Derivatives
Association, Inc. master agreements, which allow the Fund to net unrealized
appreciation and depreciation for positions in swaps for each individual
counterparty.
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 year ended May 31, 2010, to potentially
enhance return. Details of the swap agreements outstanding as of May 31, 2010,
are as follows:
Credit
Default Swap Agreements
Counterparty
|
Reference
Entity
|
Buy/Sell
Protection
|
Termination
Date
|
|
Implied
Credit
Spread
at
May
31,
2010
(2)
|
Notional
Amount (000)
|
Receive
Fixed Rate
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Goldman
Sachs(1)
|
Basket
of distinct corporate entities
|
Sell
|
09/20/14
|
|
|
14.23
|
%
|
|
|
$3,000 |
|
|
1.180
|
%
|
|
|
$(1,229,642 |
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate Swap Agreements
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
Appreciation
|
|
Counterparty
|
|
Floating
Rate
|
|
Termination
Date
|
|
Notional Amount
(000)
|
|
|
Receive Fixed
Rate
|
|
|
(Depreciation)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
01/04/38
|
|
$ |
10,000 |
|
|
|
5.675 |
% |
|
$ |
775,751 |
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
01/04/38
|
|
|
10,000 |
|
|
|
5.860 |
|
|
|
425,325 |
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
01/12/15
|
|
|
10,000 |
|
|
|
3.155 |
|
|
|
246,383 |
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
07/07/38
|
|
|
5,000 |
|
|
|
5.753 |
|
|
|
331,150 |
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
07/07/38
|
|
|
5,000 |
|
|
|
5.940 |
|
|
|
203,050 |
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
01/12/15
|
|
|
5,000 |
|
|
|
3.225 |
|
|
|
102,866 |
|
Goldman Sachs (3)
|
|
3
Month LIBOR
|
|
01/12/15
|
|
|
5,000 |
|
|
|
3.095 |
|
|
|
137,946 |
|
HSBC (3)
|
|
3 Month
LIBOR
|
|
01/09/23
|
|
|
5,000 |
|
|
|
7.700 |
(a) |
|
|
171,658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,394,129 |
|
Annual
Report |
May 31, 2010 |
25
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Notes to Financial
Statements continued
Total
Return Swap Agreements
|
|
|
|
|
|
|
|
|
|
|
Unrealized
Appreciation
|
|
Counterparty
|
|
Reference
Entity
|
|
Floating
Rate
|
|
Termination
Date
|
|
Notional Amount
(000)
|
|
|
(Depreciation)
|
|
Barclays Capital (4)
|
|
S&P
500
|
|
1
Month LIBOR + 0.15%
|
|
12/27/10
|
|
$1,000 |
|
|
$
(22,414 |
) |
Barclays Capital (4)
|
|
S&P
500
|
|
1 Month LIBOR +
0.15%
|
|
12/22/10
|
|
|
7,401 |
|
|
|
110,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$87,588 |
|
Total Unrealized Appreciation for
Swap Agreements
|
|
|
|
|
|
|
$
1,252,075 |
|
(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.
(a) For
any day that the spread between the 30-year fixed for floating swap rate versus
the 2-year fixed for floating swap rate is less than -0-, the fixed rate is
-0-.
(4)
The Fund
pays a floating rate and receives the total return of the Standard & Poor’s
500 Index.
The Fund
adopted ASC 815, Derivatives and Hedging (“ASC 815”) (formerly known as SFAS No.
161). ASC 815 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.
The
following table presents the types of derivatives in the Fund by location as
presented on the Statement of Assets Liabilities as of May 31,
2010.
Statement
of Asset and Liability Presentation of Fair Values of Derivative
Instruments:
(value
in $000s)
|
|
|
|
|
|
|
|
|
|
|
Asset
Derivatives
|
|
|
|
Liability
Derivatives
|
|
|
Derivatives
not accounted for as hedging instruments
|
|
Statement
of Assets and Liabilities Location
|
|
Fair
Value
|
|
Statement
of Assets and Liabilities Location
|
|
Fair
Value
|
Equity
risk
|
|
Investments
in securities (Options Purchased),
|
|
$ |
142 |
|
Options
Written, Unrealized depreciation on swaps
|
|
$ |
614 |
|
|
Unrealized
appreciation on swaps
|
|
|
|
|
|
|
|
|
Interest
rate risk
|
|
Unrealized
appreciation on swaps
|
|
|
2,394 |
|
Unrealized
depreciation on interest rate swaps
|
|
|
– |
Credit
risk
|
|
Unrealized
appreciation on swaps
|
|
|
– |
|
Unrealized
depreciation on credit default swaps
|
|
|
1,230 |
Total
|
|
|
|
$ |
2,536 |
|
|
|
$ |
1,844 |
The
following table presents the effect of Derivatives Instruments on the Statement
of Operations for the year ended May 31, 2010.
Effect of
Derivative Instruments on the Statement of Operations:
(value
in $000s)
|
|
Amount
of Realized Gain (Loss) on Derivatives
|
Derivatives
not accounted for as hedging instruments
|
|
Options
|
|
|
Swaps
|
|
|
Total
|
|
Equity
risk
|
|
$ |
(2,240 |
) |
|
$ |
987 |
|
|
$ |
(1,253 |
) |
Interest
rate risk
|
|
|
– |
|
|
|
1,907 |
|
|
|
1,907 |
|
Credit
risk
|
|
|
– |
|
|
|
36 |
|
|
|
36 |
|
Total
|
|
$ |
(2,240 |
) |
|
$ |
2,930 |
|
|
$ |
690 |
|
Change in
Unrealized Appreciation (Depreciation) on Derivatives
Derivatives
not accounted for as hedging instruments
|
|
Options
|
|
|
Swaps
|
|
|
Total
|
|
Equity
risk
|
|
$ |
552 |
|
|
$ |
(82 |
) |
|
$ |
470 |
|
Interest
rate risk
|
|
|
– |
|
|
|
681 |
|
|
|
681 |
|
Credit
risk
|
|
|
– |
|
|
|
550 |
|
|
|
550 |
|
Total
|
|
$ |
552 |
|
|
$ |
1,149 |
|
|
$ |
1,701 |
|
Derivative
notional amounts and values as of May 31, 2010, are indicative of the volume of
the Fund’s derivatives over the reporting period, except for swaps.
The Fund
increased the volume of activity in swaps during the year ended May 31, 2010,
with an average notional balance of approximately $52,535,811 during the year
ended May 31, 2010, and an ending balance of $66,400,764.
26 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Notes to Financial
Statements 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 year ended May 31, 2010, the average daily balance for
which reverse repurchase agreements were outstanding amounted to $21,873,972.
The weighted average interest rate was 2.47%. As of May 31, 2010, the total
amount segregated in connection with reverse repurchase agreements was
$54,860,611. At the period end, there was $31,621,245 in reverse repurchase
agreements outstanding. As of May 31, 2010, the range of maturity dates on the
outstanding reverse repurchase agreements were from June 1, 2010, to August 18,
2010.
Borrowings
On
November 18, 2008, the Fund entered into a $30,000,000 credit facility agreement
with BNP Paribas. 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 May 31,
2010, there was $26,865,369 outstanding in connection with the Fund’s credit
facility. The average daily amount of borrowings on the credit facility during
the year ended May 31, 2010, was $24,904,263 with a related average interest
rate of 1.20%. The maximum amount outstanding during the year ended May 31,
2010, 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 lends 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 pledges Eligible Securities as collateral for a TALF
Program loan, which 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 loses some or all of its 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. During the fiscal year ended May
31, 2010, the Fund paid $523,407 of interest expense, which is included in
Interest expense on the Statement of Operations. The Fund paid a one-time
administration fee of 0.20% of the amount borrowed, which was expensed as
incurred during the fiscal year and is included in TALF loan fees on the
Statement of Operations.
As of May
31, 2010, borrowings under the TALF Program represent 4.5% of the Fund’s total
assets.
Details
of the loan outstanding as of May 31, 2010, are as follows:
Loan
|
|
|
|
|
|
Loan
|
|
Loan
|
|
|
|
|
|
|
Principal
|
|
Loan
|
|
Collateral
|
|
Interest
|
|
Maturity
|
|
Loan
|
|
|
Collateral
|
|
Amount
|
|
Type
|
|
Description
|
|
Rate
|
|
Date
|
|
Value
|
|
|
Value
|
|
$ |
10,630,271 |
|
Commercial
Mortgage Obligation
|
|
Commercial
Mortgage Pass Through Certificates
|
|
|
3.796 |
% |
9/25/14
|
|
$ |
10,630,271 |
|
|
$ |
13,928,007 |
|
Note 8 –
Capital:
Common
Shares
The Fund
has an unlimited amount of common shares, $0.01 par value, authorized and
9,215,636 issued and outstanding.
Transactions
in common shares were as follows:
|
|
Year
Ended May 31, 2010
|
|
|
Year
Ended May 31, 2009
|
|
Beginning
Shares
|
|
|
9,105,240 |
|
|
|
9,105,240 |
|
Shares issued through dividend
reinvestment
|
|
|
110,396 |
|
|
|
– |
|
Ending Shares
|
|
|
9,215,636 |
|
|
|
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.
Annual
Report |
May 31, 2010 |
27
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Notes to Financial
Statements continued
Note 10 –
Recent Accounting
Pronouncements:
On
January 21, 2010, the FASB issued an ASU, Fair Value Measurements and
Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements
which provides guidance on how investment assets and liabilities are to
be valued and disclosed. Specifically, the amendment requires reporting entities
to disclose i) the input and valuation techniques used to measure fair value for
both recurring and nonrecurring fair value measurements, for Level 2 or Level 3
positions ii) transfers between all levels (including Level 1 and Level 2) on a
gross basis (i.e. transfers out must be disclosed separately from transfers in)
as well as the reason(s) for the transfer, and iii) purchases, sales, issuances,
and settlements on a gross basis in the Level 3 rollforward rather than as one
net number. The effective date of the amendment is for interim and annual
periods beginning after December 15, 2009, however, the requirement to provide
the Level 3 activity for purchases, sales, issuances and settlements on a gross
basis will be effective for interim and annual periods beginning after December
15, 2010. At this time the Fund is evaluating the implications of the amendment
to ASC 820 and the impact to the financial statements.
Note 11 –
Subsequent
Event:
Subsequent
to May 31, 2010, the Fund declared on June 1, 2010, a monthly dividend to common
shareholders of $0.154 per common share. The dividend was payable on June 30,
2010, to shareholders of record on June 15, 2010.
On July
1, 2010, the Fund declared a monthly dividend to common shareholders of $0.154
per common share. The dividend was payable on July 30, 2010, to shareholders of
record on July 15, 2010.
Subsequent
to the end of the reporting period, a member of the portfolio management team,
Robert Daviduk, submitted his resignation from Guggenheim Partners Asset
Management, LLC (“GPAM”). The Fund will continue to be managed by a team of
professionals at GPAM, with the day to day responsibilities led by Anne
Walsh.
28 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund
Report of
Independent
Registered Public Accounting Firm |
The
Board of Trustees and Shareholders of
Claymore/Guggenheim
Strategic Opportunities Fund
We have
audited the accompanying statement of assets and liabilities of
Claymore/Guggenheim Strategic Opportunities Fund (the “Fund”), including the
portfolio of investments, as of May 31, 2010, and the related statements of
operations and cash flows for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the two years in the period then ended and for the period
from July 27, 2007 (commencement of investment operations) through May 31, 2008.
These financial statements and financial highlights are the responsibility of
the Fund’s management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund’s internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund’s internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of May 31, 2010, by correspondence with the custodian and
brokers or by other appropriate auditing procedures where replies from brokers
were not received. We believe that our audits provide a reasonable basis for our
opinion.
In our
opinion, the financial statements and financial highlights referred to above
present fairly, in all material respects, financial position of
Claymore/Guggenheim Strategic Opportunities Fund at May 31, 2010, the results of
its operations and its cash flows for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the two years in the period then ended and for the period
from July 27, 2007 (commencement of investment operations) through May 31, 2008,
in conformity with U.S. generally accepted accounting principles.
Chicago,
Illinois
July 29,
2010
Annual
Report |
May 31, 2010 |
29
GOF | Claymore/Guggenheim Strategic
Opportunities Fund
Supplemental Information | (unaudited)
Federal
Income Tax Information
Qualified
dividend income of as much as $349,310 was received by the Fund through May 31,
2010. The Fund intends to designate the maximum amount of dividends that qualify
for the reduced tax rate pursuance to the Jobs and Growth Relief Reconciliation
Act of 2003.
For
corporate shareholders, $84,300 of investment income qualifies for the
dividends-received deduction.
In
January 2011, 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 2010.
Result
of Shareholder Votes
The
Annual Meeting of Shareholders of the Fund was held on January 12, 2010, and
adjourned until February 3, 2010. At the February 3, 2010, meeting, common
shareholders voted on the election of Trustees and the proposal for a new
Investment Advisory Agreement and Investment Sub-Advisory
Agreement.
With
regard to the election of the following Trustees by common shareholders of the
Fund and the proposal for the new Investment Advisory Agreement and Investment
Sub-Advisory Agreement:
|
|
#
of Shares
|
|
|
#
of Shares
|
|
|
#
of Shares
|
|
|
|
In Favor
|
|
|
Against
|
|
|
Withheld
|
|
Randall
C. Barnes
|
|
|
4,729,184 |
|
|
|
– |
|
|
|
221,862 |
|
Kevin
M. Robinson
|
|
|
4,742,250 |
|
|
|
– |
|
|
|
205,257 |
|
New
Investment Advisory Agreement
|
|
|
3,450,444 |
|
|
|
114,094 |
|
|
|
143,701 |
|
New
Investment Sub-Advisory Agreement
|
|
|
3,439,828 |
|
|
|
120,731 |
|
|
|
147,679 |
|
The other
Trustees of the Fund whose terms did not expire during the fiscal year ended May
31, 2010, are Ronald A. Nyberg and Ronald E. Toupin, Jr.
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
Year
of Birth: 1951
Trustee
|
|
Since
2007
|
|
Investor
(2001-present). Formerly, Senior Vice President & Treasurer, 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).
|
|
43
|
|
None.
|
Roman
Friedrich III
Year
of birth: 1946
Trustee
|
|
Since
2010
|
|
Founder
of Roman Friedrich & Company, which specializes in the provision of
financial advisory services to corporations in the resource sector.
Previously, Managing Director at TD Securities. Managing Director
Lancaster Financial Ltd.; Wood Gundy; Burns Fry Ltd.; President, Chase
Manhattan Bank (Canada) Ltd.
|
|
2
|
|
Director,
Zincore Metals, Inc. and GFM Resources Ltd.
|
Robert
B. Karn III
Year
of birth: 1942
Trustee
|
|
Since
2010
|
|
Consultant
(1998-present). Previously, Managing Partner, Financial and Economic
Consulting, St. Louis office of Arthur Andersen, LLP.
|
|
2
|
|
Director
of Peabody Energy Company, GP Natural Resource Partners LLC and Kennedy
Capital Management, Inc.
|
Ronald
A. Nyberg
Year
of birth: 1953
Trustee
|
|
Since
2007
|
|
Partner
of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law,
estate planning and business transactions (2000-present). Formerly,
Executive Vice President, General Counsel and Corporate Secretary of Van
Kampen Investments (1982-1999).
|
|
46
|
|
None.
|
Ronald
E. Toupin, Jr.
Year
of birth: 1958
Trustee
|
|
Since
2007
|
|
Retired.
Formerly, Vice President, Manager and Portfolio Manager of Nuveen 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).
|
|
43
|
|
None.
|
30 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Supplemental Information
(unaudited) continued
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
|
|
|
|
|
|
|
|
|
|
Interested
Trustees:
|
|
|
|
|
|
|
|
|
Kevin
M. Robinson†
Year
of Birth: 1959
Trustee
and Chief Legal Officer
|
|
Since
2009
|
|
Senior
Managing Director and General Counsel of Claymore Advisors, LLC and
Claymore Group, Inc. (2007-present). Formerly, Associate General Counsel
and Assistant Corporate Secretary of NYSE Euronext, Inc.
(2000-2007).
|
|
2
|
|
None.
|
*
|
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.
Nyberg and Toupin, as Class II Trustees, are expected to stand for
re-election at the Fund’s annual meeting of shareholders for the fiscal
year ended May 31, 2011.
|
|
|
|
—Mr.
Friedrich, as newly appointed Class I Trustee, is expected to stand for
election at the Fund’s annual meeting of shareholders for the fiscal year
ended May 31, 2011.
|
|
|
|
—Mr.
Karn, as newly appointed Class II Trustee, is expected to stand for
election at the Fund’s annual meeting of shareholders for the fiscal year
ended May 31, 2011.
|
|
|
|
—Messrs.
Barnes and Robinson, as Class I Trustees, are expected to stand for
re-election at the Fund’s annual meeting of shareholders for the fiscal
year ended May 31, 2012.
|
|
|
***
|
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
Fund.
|
Officers
The
officers of the Claymore/Guggenheim Strategic Opportunities Fund and their
principal occupations during the past five years:
Name, Address*, Year
|
|
Term of Office**
|
|
|
of Birth and Position(s)
|
|
and Length of
|
|
Principal Occupations During the Past Five Years
|
Held with Registrant
|
|
Time Served
|
|
and Other Affiliations
|
J.
Thomas Futrell
Year
of birth: 1955
Chief Executive Officer
|
|
Since
2008
|
|
Senior
Managing Director and Chief Investment Officer of Claymore Advisors, LLC
and Claymore Securities, Inc. (2008-Present). Formerly, Managing Director
of Research, Nuveen Asset Management (2000-2007).
|
Steven
M. Hill
Year
of birth: 1964
Chief
Financial Officer
Chief
Accounting
Officer
and Treasurer
|
|
Since
2007
|
|
Senior
Managing Director of Claymore Advisors, LLC and Claymore Securities, Inc.
(2005-present). Formerly, Chief Financial Officer of Claymore Group Inc.
(2005-2006), Managing Director of Claymore 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
Year
of birth: 1978
Secretary
|
|
Since
2008
|
|
Vice
President; Assistant General Counsel of Claymore Securities, Inc.
(2007-present). Secretary of certain funds in the Fund Complex.
Previously, Law Clerk, Idaho State Courts (2003-2006).
|
Bruce
Saxon
Year
of birth: 1957
Chief Compliance Officer
|
|
Since
2007
|
|
Vice
President, Fund Compliance Officer of Claymore Group, Inc. (2006-present).
Formerly, Chief Compliance Officer/Assistant Secretary of Harris
Investment Management, Inc. (2003-2006). Director-Compliance of
Harrisdirect LLC
(1999-2003).
|
* Address
for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure
of the Board of Trustees and until his or her successor is appointed and
qualified or until his or her earlier resignation or removal.
Annual
Report |
May 31, 2010 |
31
GOF | Claymore/Guggenheim Strategic
Opportunities Fund
Dividend Reinvestment Plan
|
Unless
the registered owner of common shares elects to receive cash by contacting the
Plan Administrator, all dividends declared on common shares of the Fund will be
automatically reinvested by The Bank of New York Mellon (the “Plan
Administrator”), Administrator for shareholders in the Fund’s Dividend
Reinvestment Plan (the “Plan”), in additional common shares of the Fund.
Participation in the Plan is completely voluntary and may be terminated or
resumed at any time without penalty by notice if received and processed by the
Plan Administrator prior to the dividend record date; otherwise such termination
or resumption will be effective with respect to any subsequently declared
dividend or other distribution. Some brokers may automatically elect to receive
cash on your behalf and may re-invest that cash in additional common shares of
the Fund for you. If you wish for all dividends declared on your common shares
of the Fund to be automatically reinvested pursuant to the Plan, please contact
your broker.
The Plan
Administrator will open an account for each common shareholder under the Plan in
the same name in which such common shareholder’s common shares are registered.
Whenever the Fund declares a dividend or other distribution (together, a
“Dividend”) payable in cash, non-participants in the Plan will receive cash and
participants in the Plan will receive the equivalent in common shares. The
common shares will be acquired by the Plan Administrator for the participants’
accounts, depending upon the circumstances described below, either (i) through
receipt of additional unissued but authorized common shares from the Fund
(“Newly Issued Common Shares”) or (ii) by purchase of outstanding common shares
on the open market (“Open-Market Purchases”) on the New York Stock Exchange or
elsewhere. If, on the payment date for any Dividend, the closing market price
plus estimated brokerage commission per common share is equal to or greater than
the net asset value per common share, the Plan Administrator will invest the
Dividend amount in Newly Issued Common Shares on behalf of the participants. The
number of Newly Issued Common Shares to be credited to each participant’s
account will be determined by dividing the dollar amount of the Dividend by the
net asset value per common share on the payment date; provided that, if the net
asset value is less than or equal to 95% of the closing market value on the
payment date, the dollar amount of the Dividend will be divided by 95% of the
closing market price per common share on the payment date. If, on the payment
date for any Dividend, the net asset value per common share is greater than the
closing market value plus estimated brokerage commission, the Plan Administrator
will invest the Dividend amount in common shares acquired on behalf of the
participants in Open-Market Purchases.
If,
before the Plan Administrator has completed its Open-Market Purchases, the
market price per common share exceeds the net asset value per common share, the
average per common share purchase price paid by the Plan Administrator may
exceed the net asset value of the common shares, resulting in the acquisition of
fewer common shares than if the Dividend had been paid in Newly Issued Common
Shares on the Dividend payment date. Because of the foregoing difficulty with
respect to Open-Market Purchases, the Plan provides that if the Plan
Administrator is unable to invest the full Dividend amount in Open-Market
Purchases during the purchase period or if the market discount shifts to a
market premium during the purchase period, the Plan Administrator may cease
making Open-Market Purchases and may invest the uninvested portion of the
Dividend amount in Newly Issued Common Shares at net asset value per common
share at the close of business on the Last Purchase Date provided that, if the
net asset value is less than or equal to 95% of the then current market price
per common share; the dollar amount of the Dividend will be divided by 95% of
the market price on the payment date.
The Plan
Administrator maintains all shareholders’ accounts in the Plan and furnishes
written confirmation of all transactions in the accounts, including information
needed by shareholders for tax records. Common shares in the account of each
Plan participant will be held by the Plan Administrator on behalf of the Plan
participant, and each shareholder proxy will include those shares purchased or
received pursuant to the Plan. The Plan Administrator will forward all proxy
solicitation materials to participants and vote proxies for shares held under
the Plan in accordance with the instruction of the participants.
There
will be no brokerage charges with respect to common shares issued directly by
the Fund. However, each participant will pay a pro rata share of brokerage
commission incurred in connection with Open-Market Purchases. The automatic
reinvestment of Dividends will not relieve participants of any Federal, state or
local income tax that may be payable (or required to be withheld) on such
Dividends.
The Fund
reserves the right to amend or terminate the Plan. There is no direct service
charge to participants with regard to purchases in the Plan; however, the Fund
reserves the right to amend the Plan to include a service charge payable by the
participants.
All
correspondence or questions concerning the Plan should be directed to the Plan
Administrator, BNY Mellon Shareowner Services, P.O. Box 358015, Pittsburgh, PA
15252-8015, Phone Number: (866) 488-3559.
32 |
Annual Report |
May 31, 2010
GOF | Claymore/Guggenheim Strategic
Opportunities Fund
Board
Considerations Regarding Investment Advisory Agreement and
Investment
Subadvisory
Agreement Contract Re-Approval
On May
10, 2010, the Board of Trustees (the “Board”) of Claymore/Guggenheim Strategic
Opportunities Fund (the “Fund”), including those trustees who are not
“interested persons” as defined by the Investment Company Act of 1940, as
amended (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, renewed: (1) the
investment advisory agreement (“Investment Advisory Agreement”) between the Fund
and Claymore Advisors, LLC (“Adviser”) and (2) the investment subadvisory
agreement (“Investment Subadvisory Agreement”) among the Adviser, the Fund and
Guggenheim Partners Asset Management, LLC (“Subadviser”). The Investment
Advisory Agreement and the Investment Subadvisory Agreement are together
referred to as the “Advisory Agreements.” As part of its review process, the
Committee was represented by independent legal counsel. The Board and Committee
reviewed materials received from the Adviser, the Subadviser and independent
legal counsel. The Board and Committee had previously received, throughout the
year, Board meeting information regarding performance and operating results of
the Fund.
In
preparation for its review, the Committee communicated with independent legal
counsel regarding the nature of information to be requested, and independent
legal counsel, on behalf of the Committee, sent a formal request for information
to the Adviser and Subadviser. The Adviser and the Subadviser provided extensive
information in response to that request and to a follow-up request for
information. Among other information, the Adviser and Subadviser provided
general information to assist the Committee in assessing the nature and quality
of services provided by the Adviser and Subadviser, information comparing the
investment performance, advisory fees and total expenses of the Fund to other
funds, information about the profitability from the Advisory Agreements to each
of the Adviser and the Subadviser and the compliance program of the Adviser and
of the Subadviser.
Based
upon its review, the Board and the Committee concluded that it was in the best
interests of the Fund to renew 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.
Investment Advisory
Agreement
With
respect to the nature, extent and quality of services currently provided by the
Adviser, the Board noted that the Adviser had delegated responsibility for the
investment and reinvestment of the Fund’s assets to the Subadviser. The Board
considered the Adviser’s responsibility to oversee the Subadviser and that the
Adviser has similar oversight responsibilities for other registered funds for
which it serves as investment adviser. The Board reviewed financial information
regarding the Adviser and its parent company and considered the parent company’s
guaranty of the Adviser’s obligations under the Investment Advisory Agreement.
The Board also considered the secondary market support provided by the Adviser
to the Fund. The Board considered the experience and qualifications of the
Adviser’s personnel, including those personnel providing compliance oversight
and oversight of the Subadviser’s investment activities. Specifically, the Board
noted the ongoing oversight activities performed by the Adviser, including
on-site compliance reviews and monitoring of compliance with policies and
procedures and with the Fund’s investment policies and restrictions. After
considering these factors, the Board concluded that the Adviser and its
personnel were qualified to serve the Fund in such capacity.
The Board
considered the Fund’s investment performance by reviewing the Fund’s total
return on a net asset value and market price basis for the three month, six
month, one year and since inception periods ended March 31, 2010. The Board
compared the Fund’s performance to the performance of a peer group of closed-end
funds provided by the Adviser (“peer group of funds”) for the same time periods.
The peer group of funds included other leveraged closed-end funds that generally
invest a majority of their assets in investment-grade fixed income securities
but excluded funds with a majority of their assets in one asset class, sector or
country. The Board noted that the Fund’s investment results were consistent with
the Subadviser’s goal of providing equity-like returns with a level of
volatility that is closer to fixed income assets. The Board also considered that
the Adviser does not directly manage the investment portfolio but had delegated
such duties to the Subadviser. The Board also considered the Fund’s use of
leverage and the positive impact of the leverage on the Fund’s performance. The
Board concluded that the Adviser had reviewed and monitored the Subadviser’s
investment performance.
The Board
compared the Fund’s advisory fee (which includes the subadvisory fee paid to the
Subadviser) and expense ratio to the peer group of funds, to a group of covered
call closed-end funds provided by the Adviser and to the advisory fees that the
Adviser charges to other closed-end funds for which it serves as adviser. The
Board also reviewed the mean advisory fees and expense ratios of the peer group
of funds. The Board noted that the Fund’s advisory fee was above the mean but
within the range of the peer group of funds and considered the Adviser’s view
that the Fund implements a variety of strategies, including a covered call
equities strategy and swap transactions, which are typically not employed by the
peer group of funds. The Board also noted that the Fund’s advisory fee was
within the range of advisory fees charged to the covered call closed-end fund
group provided by the Adviser.
With
respect to the costs of services to be provided and profits realized by the
Adviser from its relationship to the Fund, the Board reviewed information
regarding the revenues the Adviser received under the Investment Advisory
Agreement as well as the estimated allocated direct and indirect costs the
Adviser incurred in providing the services to the Fund, including paying the
subadvisory fee to the Subadviser.
The Board
considered the extent to which economies of scale could be realized with respect
to the management of the Fund as the Fund grows and whether fee levels reflected
a reasonable sharing of such economies of scale for the benefit of Fund
investors. Given the size of the Fund and the relatively fixed nature of
closed-end fund assets, the Board does not anticipate significant economies of
scale.
The Board
considered other benefits available to the Adviser because of its relationship
with the Fund and noted that the administrative services fees received by the
Adviser from serving as administrator provides it with additional revenue. The
Board also noted the Adviser’s statement that it benefits from its association
with the Subadviser, which may lead to future business
opportunities.
Investment Subadvisory
Agreement
With
respect to the nature, extent and quality of services provided by the
Subadviser, the Board considered the qualifications, experience and skills of
the Subadviser’s portfolio management and other key personnel. The Board
considered the Subadviser’s efforts in pursuing the Fund’s investment objective
of maximizing total return through a combination of current income and capital
appreciation. The Board concluded that the Subadviser was qualified to provide
the services under the Investment Subadvisory Agreement.
Annual
Report |
May 31, 2010 |
33
GOF |
Claymore/Guggenheim Strategic Opportunities Fund |
Board Considerations
Regarding Investment Advisory Agreement and Investment Subadvisory Agreement
Contract Re-Approval continued
The Board
reviewed the performance of the Fund and the peer group of funds over various
periods of time. The Board considered that, during the periods reviewed, the
Fund, on a market and net asset value basis, outperformed the peer group of
funds except for one fund in the peer group. The Board also compared the Fund’s
investment performance on a net asset value basis to the S&P 500 Index and
the Barclays Capital U.S. Aggregate Bond Index over relevant time periods. The
Board noted that the Fund had outperformed the S&P 500 Index on a net asset
value basis over all of the periods reviewed and the Barclays Capital U.S.
Aggregate Bond Index over the three month, six month and one year
periods.
The Board
reviewed the subadvisory fee paid by the Adviser to the Subadviser and compared
it to the fees charged by the Subadviser to clients for both fixed income and
equity mandates. The Board noted that the Fund’s subadvisory fee was
representative of the Subadviser’s standard client pricing, given the Fund’s
exposure to both fixed income and equity securities.
With
respect to the costs of services to be provided and profits realized by the
Subadviser from its relationship to the Fund, the Board reviewed information
regarding the revenues the Subadviser received under the Investment Subadvisory
Agreement and estimated allocated expenses of the Subadviser in providing
services under the Investment Subadvisory Agreement.
The Board
reviewed the extent to which economies of scale with respect to the subadvisory
services provided to the Fund would be realized as the Fund grows and whether
fee levels reflect a reasonable sharing of such economies of scale for the
benefit of Fund investors. Given the size of the Fund and the relatively fixed
nature of closed-end fund assets, the Board does not anticipate significant
economies of scale.
The Board
considered other benefits derived by the Subadviser from its relationship to the
Fund and noted the Subadviser’s statement that the Subadviser’s relationship
with the Fund has provided new product development opportunities.
Overall
Conclusions
Based
upon all of the information considered and the conclusions reached, the Board
determined that the terms of each Advisory Agreement continue to be fair and
reasonable and that the continuation of each Advisory Agreement is in the best
interests of the Fund, taking into consideration the costs of services to be
provided and profit realized, economies of scale and other benefits to the
Adviser and the Subadviser.
34 |
Annual Report |
May 31, 2010
GOF |
Claymore/Guggenheim
Strategic Opportunities Fund
Fund
Information
|
Board
of Trustees
Randall
C. Barnes
Roman
Friedrich III
Robert
B. Karn III
Ronald
A. Nyberg
Kevin
M. Robinson*
Ronald
E. Toupin, Jr.
* Trustee is an ‘interested person” of the Fund
as defined in the Investment Company Act of 1940, as
amended.
|
|
Officers
J.
Thomas Futrell
Chief
Executive Officer
Kevin
M. Robinson
Chief
Legal Officer
Steven
M. Hill
Chief
Financial Officer, Chief
Accounting
Officer and Treasurer
Mark
E. Mathiasen
Secretary
Bruce
Saxon
Chief
Compliance Officer
|
Investment
Adviser and
Administrator
Claymore
Advisors, LLC
Lisle,
Illinois
Investment
Sub-Adviser
Guggenheim
Partners Asset
Management,
LLC
Santa
Monica, California
Accounting
Agent, Custodian
and
Transfer Agent
The
Bank of New York Mellon
New
York, New York
Legal
Counsel
Skadden,
Arps, Slate, Meagher &
Flom
LLP
Chicago,
Illinois
Independent
Registered
Public
Accounting Firm
Ernst
& Young LLP
Chicago,
Illinois
|
Privacy
Principles of the Fund
The Fund
is committed to maintaining the privacy of its shareholders and to safeguarding
their non-public personal information. The following information is provided to
help you understand what personal information the Fund collects, how the Fund
protects that information and why, in certain cases, the Fund may share
information with select other parties.
Generally,
the Fund does not receive any non-public personal information relating to its
shareholders, although certain non-public personal information of its
shareholders may become available to the Fund. The Fund does not disclose any
non-public personal information about its shareholders or former shareholders to
anyone, except as permitted by law or as is necessary in order to service
shareholder accounts (for example, to a transfer agent or third party
administrator).
The Fund
restricts access to non-public personal information about its shareholders to
employees of the Fund’s investment advisor and its affiliates with a legitimate
business need for the information. The Fund maintains physical, electronic and
procedural safeguards designed to protect the non-public personal information of
its shareholders.
Questions
concerning your shares of Claymore/Guggenheim Strategic Opportunities
Fund?
•If your
shares are held in a Brokerage Account, contact your Broker.
•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.
Notice
to Shareholders
Notice is
hereby give in accordance with Section 23(c) of the Investment Company Act of
1940, as amended, that the Fund from time to time may purchase shares of its
common stock in the open market.
Annual
Report |
May 31, 2010 |
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
Lisle,
IL 60532
MemberFINRA/SIPC
(07/10)
|
|
Item
2. Code of Ethics.
(a) The
registrant has adopted a code of ethics (the "Code of Ethics") that applies to
its principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions.
(b) No
information need be disclosed pursuant to this paragraph.
(c) The
registrant has not amended its Code of Ethics during the period covered by the
report presented in Item 1 hereto.
(d) The
registrant has not granted a waiver or an implicit waiver to its principal
executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions from a provision of its Code
of Ethics during the period covered by this report.
(e) Not
applicable.
(f)
(1) The registrant's Code of Ethics is attached hereto as an
exhibit.
(2) Not
applicable.
(3) Not
applicable.
Item
3. Audit Committee Financial Expert.
The registrant's
Board of Trustees has determined that it has at least one audit committee
financial expert serving on its audit committee, Ronald E. Toupin,
Jr. Mr. Toupin is an “independent” Trustee as defined in this Item 3
of Form N-CSR. Mr. Toupin qualifies as an audit committee financial
expert by virtue of his experience obtained as a portfolio manager and research
analyst, which included review and analysis of offering documents and audited
and unaudited financial statements using generally accepted accounting
principles (“GAAP”) to show accounting estimates, accruals and
reserves.
(Under applicable
securities laws, a person who is determined to be an audit committee financial
expert will not be deemed an "expert" for any purpose, including without
limitation for the purposes of Section 11 of the Securities Act of 1933, as
amended, as a result of being designated or identified as an audit committee
financial expert. The designation or identification of a person as an
audit committee financial expert does not impose on such person any duties,
obligations, or liabilities that are greater than the duties, obligations, and
liabilities imposed on such person as a member of the audit committee and Board
of Trustees in the absence of such designation or identification. The
designation or identification of a person as an audit committee
financial
expert does not
affect the duties, obligations or liability of any other member of the audit
committee or Board of Trustees.)
Item
4. Principal Accountant Fees and Services.
(a) Audit
Fees: the aggregate fees billed for professional services
rendered by the principal accountant for the audit of the registrant's annual
financial statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements were $55,000 and
$55,000 for the fiscal year ending May 31, 2010, and May 31, 2009,
respectively.
(b) Audit-Related Fees:
the aggregate fees billed for assurance and related services by the principal
accountant that are reasonably related to the performance of the audit of the
registrant’s financial statements and are not reported under paragraph 4(a),
were $0 and $0 for the fiscal year ending May 31, 2010, and May 31, 2009,
respectively.
The registrant’s
principal accountant did not bill for non-audit services that required approval
by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X during the registrant’s last two fiscal years.
(c) Tax Fees: the
aggregate fees billed for professional services rendered by the principal
accountant for tax compliance, tax advice and tax planning, including federal,
state and local income tax return preparation and related advice and
determination of taxable income and miscellaneous tax advice were $6,900 and
$6,900 for the fiscal year ending May 31, 2010, and May 31, 2009,
respectively.
The registrant’s
principal accountant did not bill for non-audit services that required approval
by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X during the registrant’s last two fiscal years.
(d) All Other Fees: the
aggregate fees billed for products and services provided by the principal
accountant, other than the services reported in paragraphs (a) through (c) of
this Item were $0 and $0 for the fiscal year ending May 31, 2010, and May 31,
2009, respectively.
The registrant’s
principal accountant did not bill for non-audit services that required approval
by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X during the registrant’s last two fiscal years.
(e) Audit Committee Pre-Approval
Policies and Procedures.
(1) The
registrant’s audit committee reviews, and in its sole discretion, pre-approves,
pursuant to written pre-approval procedures (A) all engagements for audit and
non-audit services to be provided by the principal accountant to the registrant
and (B) all engagements for non-audit services to be provided by the principal
accountant (1) to the registrant’s investment adviser (not including a
sub-adviser whose role is primarily portfolio management and is sub-contracted
or overseen by another investment adviser) and (2) to any entity controlling,
controlled by or under common control with the registrant’s investment adviser
that provides ongoing services to the
registrant; but in
the case of the services described in subsection (B)(1) or (2), only if the
engagement relates directly to the operations and financial reporting of the
registrant; provided that such pre-approval need not be obtained in
circumstances in which the pre-approval requirement is waived under rules
promulgated by the Securities and Exchange Commission or New York Stock Exchange
listing standards. Sections IV.C.2 and IV.C.3 of the registrant’s
audit committee’s revised Audit Committee Charter contain the Audit Committee’s
Pre-Approval Policies and Procedures and such sections are included
below.
|
IV.C.2
|
Pre-approve
any engagement of the independent auditors to provide any non-prohibited
services to the Trust, including the fees and other compensation to be
paid to the independent auditors (unless an exception is available under
Rule 2-01 of Regulation S-X).
|
(a)
|
The Chairman
or any member of the Audit Committee may grant the pre-approval of
services to the Fund for non-prohibited services up to $10,000. All such
delegated pre-approvals shall be presented to the Audit Committee no later
than the next Audit Committee
meeting.
|
|
IV.C.3
|
Pre-approve
any engagement of the independent auditors, including the fees and other
compensation to be paid to the independent auditors, to provide any
non-audit services to the Adviser (or any “control affiliate” of the
Adviser providing ongoing services to the Trust), if the engagement
relates directly to the operations and financial reporting of the Trust
(unless an exception is available under Rule 2-01 of
Regulation S-X).
|
(a)
|
The Chairman
or any member of the Audit Committee may grant the pre-approval for
non-audit services to the Adviser up to $10,000. All such delegated
pre-approvals shall be presented to the Audit Committee no later than the
next Audit Committee meeting.
|
(2) None of the
services described in each of Items 4(b) through (d) were approved by the Audit
Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation
S-X.
(f) Not
applicable.
(g) The
aggregate non-audit fees billed by the registrant's accountant for services
rendered to the registrant, the registrant’s investment adviser (not including a
sub-adviser whose role is primarily portfolio management and is sub-contracted
with or overseen by another investment adviser) and/or any entity controlling,
controlled by, or under common control with the adviser that provides ongoing
services to the registrant that directly related to the operations and financial
reporting of the registrant were $6,900 and $6,900 for the fiscal year ending
May 31, 2010, and May 31, 2009, respectively.
(h) Not
applicable.
Item
5. Audit Committee of Listed Registrants.
|
(a) The
registrant has a separately designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934, as amended. The audit committee of the
registrant is composed of: Randall C. Barnes, Ronald A. Nyberg, Ronald E.
Toupin, Jr, Robert B. Karn III and Roman Friedrich
III.
|
(b) Not
applicable.
Item
6. Schedule of Investments.
The Schedule of
Investments is included as part of Item 1.
Item
7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
The registrant has
delegated the voting of proxies relating to its voting securities to the
registrant’s investment sub-adviser, Guggenheim Partners Asset Management, LLC
(“Guggenheim”). Guggenheim’s proxy voting policies and procedures are
included as an exhibit hereto.
Item
8. Portfolio Managers of Closed-End Management Investment
Companies.
(a)(1) Guggenheim
serves as sub-adviser for the registrant and is responsible for
the day-to-day management of the registrant’s portfolio. Guggenheim uses
a team approach to manage client portfolios. Day to day management of
a client portfolio is conducted under the auspices of Guggenheim’s Portfolio
Construction Group (“PCG”). PCG’s members include the Chief
Investment Officer (“CIO”) and other key investment personnel. The
PCG, in consultation with the CIO, provides direction for overall investment
strategy. The PCG performs several duties as it relates to client
portfolios including: determining both tactical and strategic asset allocations;
and monitoring portfolio adherence to asset allocation targets; providing sector
specialists with direction for overall investment strategy, which may include
portfolio design and the rebalancing of portfolios; performing risk management
oversight; assisting sector managers and research staff in determining the
relative valuation of market sectors; and providing a forum for the regular
discussion of the economy and the financial markets to enhance the robustness of
Guggenheim’s strategic and tactical policy directives.
The following individuals at Guggenheim
share primary responsibility for the management of the registrant’s portfolio
and is provided as of May 31, 2010:
Name
|
Since
|
Professional Experience During the Last Five
Years
|
Scott Minerd
- CEO and CIO
|
2007
|
Guggenheim
Partners Asset Management, LLC.: CEO and CIO – 12/05–Present; Guggenheim
Partners, LLC: Managing Partner – Insurance Advisory –
5/98–Present.
|
Anne Walsh,
CFA, FLMI – Senior Managing Director
|
2007
|
Guggenheim
Partners Asset Management, LLC.: Senior Managing Director –
4/07–Present. Former, Reinsurance Group of America, Inc.:
Senior Vice President and Chief Investment Officer –
5/00–3/07.
|
(a)(2)(i-iii) Other Accounts Managed by the
Portfolio Managers
The following
tables summarize information regarding each of the other accounts managed by the
Guggenheim portfolio managers as of May 31, 2010:
Scott
Minerd:
|
|
|
|
|
|
|
|
|
Type of
Account
|
|
Number of
Accounts
|
|
Total Assets
in the Accounts
|
|
Number of
Accounts In Which the Advisory Fee is Based on Performance
|
|
Total Assets
in the Accounts In Which the Advisory Fee is Based on
Performance
|
Registered
investment companies
|
|
0
|
|
0
|
|
0
|
|
0
|
Other pooled
investment vehicles
|
|
2
|
|
$1,621,000,000
|
|
2
|
|
$1,621,000,000
|
Other
accounts
|
|
5
|
|
$31,569,000,000
|
|
5
|
|
$31,569,000,000
|
Anne
Walsh:
|
|
|
|
|
|
|
|
|
Type of
Account
|
|
Number of
Accounts
|
|
Total Assets
in the Accounts
|
|
Number of
Accounts In Which the Advisory Fee is Based on Performance
|
|
Total Assets
in the Accounts In Which the Advisory Fee is Based on
Performance
|
Registered
investment companies
|
|
1
|
|
$161,000,000
|
|
1
|
|
$161,000,000
|
Other pooled
investment vehicles
|
|
2
|
|
$1,621,000,000
|
|
2
|
|
$1,621,000,000
|
Other
accounts
|
|
17
|
|
$8,230,000,000
|
|
17
|
|
$8,230,000,000
|
(a)(2)(iv) Potential Conflicts of
Interest
Actual or apparent
conflicts of interest may arise when a portfolio manager has day-to-day
management responsibilities with respect to more than one fund or other account.
More specifically, portfolio managers who manage multiple funds and/or other
accounts may be presented with one or more of the following potential
conflicts.
The management of
multiple funds and/or other accounts may result in a portfolio manager devoting
unequal time and attention to the management of each fund and/or other account.
Guggenheim seeks to manage such competing interests for the time and attention
of a portfolio manager by having the portfolio manager focus on a particular
investment discipline. Specifically, the ultimate decision maker for security
selection for each client portfolio is the Sector Specialist Portfolio
Manager. They are responsible for analyzing and selecting specific
securities that they believe best reflect the risk and return level as provided
in each client’s investment guidelines.
Guggenheim may have
clients with similar investment strategies. As a result, if an
investment opportunity would be appropriate for more than one client, Guggenheim
may be required to choose among those clients in allocating such opportunity, or
to allocate less of such opportunity to a client than it would ideally allocate
if it did not have to allocate to multiple clients. In addition,
Guggenheim may determine that an investment opportunity is appropriate for a
particular account, but not for another.
Allocation
decisions are made in accordance with the investment objectives, guidelines, and
restrictions governing the respective clients and in a manner that will not
unfairly favor one client over another. Guggenheim’s allocation policy provides
that investment decisions must never be based upon account performance or fee
structure. Accordingly, Guggenheim’s allocation procedures are
designed to ensure that investment opportunities are allocated equitably among
different client accounts over time. The procedures also seek to
ensure reasonable efficiency in client transactions and to provide portfolio
managers with flexibility to use allocation methodologies appropriate to
Guggenheim’s investment disciplines and the specific goals and objectives of
each client account.
In order to
minimize execution costs and obtain best execution for clients, trades in the
same security transacted on behalf of more than one client may be
aggregated. In the event trades are aggregated, Guggenheim’s policy
and procedures provide as follows: (i) treat all participating client accounts
fairly; (ii) continue to seek best execution; (iii) ensure that clients who
participate in an aggregated order will participate at the average share price
with all transaction costs shared on a pro-rata basis based on each client’s
participation in the transaction; (iv) disclose its aggregation policy to
clients.
Guggenheim, as a
fiduciary to its clients, considers numerous factors in arranging for the
purchase and sale of clients’ portfolio securities in order to achieve best
execution for its clients.
When selecting a
broker, individuals making trades on behalf of Guggenheim clients consider the
full range and quality of a broker’s services, including execution capability,
commission rate, price, financial stability and
reliability. Guggenheim is not obliged to merely get the lowest price
or commission but also must determine whether the transaction represents the
best qualitative execution for the account.
In the event that
multiple broker/dealers make a market in a particular security, Guggenheim’s
Portfolio Managers are responsible for selecting the broker-dealer to use with
respect to executing the transaction. The broker-dealer will be
selected on the basis of how the transaction can be executed to achieve the most
favorable execution for the client under the circumstances. In many
instances, there may only be one counter-party active in a particular security
at a given time. In such situations the Employee executing the trade
will use his/her best effort to obtain the best execution from the
counter-party.
Guggenheim and the
registrant have adopted certain compliance procedures which are designed to
address these types of conflicts. However, there is no guarantee that such
procedures will detect each and every situation in which a conflict
arises.
(a)(3) Portfolio Manager
Compensation
Guggenheim
compensates Mr. Minerd and Ms. Walsh for their management of the registrant’s
portfolio. Compensation is evaluated based on their contribution to investment
performance relative to pertinent benchmarks and qualitatively based on factors
such as teamwork and client service
efforts. Guggenheim’s staff incentives may include:
a competitive base salary, bonus determined by individual and firm wide
performance, equity participation, and participation opportunities in various
Guggenheim investments. All Guggenheim employees are also eligible to
participate in a 401(k) plan to which Guggenheim may make a discretionary match
after the completion of each plan year.
(a)(4) Portfolio Manager Securities
Ownership
The following table
discloses the dollar range of equity securities of the registrant beneficially
owned by each Guggenheim portfolio manager as of May 31, 2010:
Name
of Portfolio Manager
|
|
Dollar
Amount of Equity Securities in Fund
|
Scott
Minerd
Anne
Walsh
|
|
$500,001-$1,000,000
$10,001-$50,000
|
Item
9. Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
None.
Item
10. Submission of Matters to a Vote of Security Holders.
The registrant has
not made any material changes to the procedures by which shareholders may
recommend nominees to the registrant’s Board of Trustees.
Item
11. Controls and Procedures.
(a) The
registrant's principal executive officer and principal financial officer have
evaluated the registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of
this filing and have concluded based on such evaluation, as required by Rule
30a-3(b) under the Investment Company Act, that the registrant's disclosure
controls and procedures were effective, as of that date, in ensuring that
information required to be disclosed by the registrant in this Form N-CSR was
recorded, processed, summarized, and reported within the time periods specified
in the Securities and Exchange Commission’s rules and forms.
(b) There
were no changes in the registrant’s internal control over financial reporting
(as defined in Rule 30a-3(d) under the Investment Company Act) that occurred
during the registrant’s second fiscal quarter of the period covered by this
report that have materially affected, or are reasonably likely to materially
affect, the registrant’s internal control over financial reporting.
Item
12. Exhibits.
(a)(1) Claymore
Funds’ Code of Ethics for Chief Executive and Senior Financial
Officers.
(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.
(c) Proxy
Voting Policies and Procedures.
SIGNATURES
Pursuant to the requirements of the
Securities Exchange Act of 1934 and the Investment Company Act of 1940, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
(Registrant) Claymore/Guggenheim
Strategic Opportunities Fund
By: /s/
J. Thomas Futrell
_____________________________________________________________________
Name: J.
Thomas Futrell
Title:
Chief Executive Officer
Date:
August 9, 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:
August 9, 2010
By: /s/ Steven M.
Hill
_____________________________________________________________________
Name: Steven
M. Hill
Title:
Treasurer and Chief Financial Officer
Date:
August 9, 2010