UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21982
Claymore/Guggenheim Strategic Opportunities Fund
(Exact name of registrant as specified in charter)
| 2455 Corporate West Drive Lisle, IL | 60532 | |
| (Address of principal executive offices) | (Zip code) |
Nicholas Dalmaso
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: August 31, 2007
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Schedule of Investments. |
Attached hereto.
Claymore/Guggenheim Strategic Opportunities Fund
Portfolio of Investments
August 31, 2007 (unaudited)
| Principal Amount | Description | Value | ||||||||||
| Long-Term Investments - 119.2% |
||||||||||||
| U.S. Government and Agency Securities - 52.4% |
||||||||||||
| Fannie Mae Pool, NR, NR (a) |
||||||||||||
| $ | 1,999,555 | 5.80%, 7/1/37 |
$ | 1,978,713 | ||||||||
| 2,940,479 | 5.94%, 7/1/37 (g) |
2,942,448 | ||||||||||
| 3,000,000 | 6.08%, 9/1/37 |
3,010,855 | ||||||||||
| 2,000,000 | 6.14%, 8/1/37 |
2,009,227 | ||||||||||
| 2,999,926 | 6.31%, 8/1/37 |
3,023,860 | ||||||||||
| Federal National Mortgage Association, AAA, Aaa |
||||||||||||
| 1,800,000 | 5.75%, 5/11/22 (g) |
1,791,544 | ||||||||||
| 1,000,000 | 5.95%, 11/7/36 |
986,858 | ||||||||||
| 1,800,000 | 6.00%, 10/5/26 (g) |
1,795,007 | ||||||||||
| 1,800,000 | 6.25%, 2/14/22 (g) |
1,792,281 | ||||||||||
| 1,800,000 | 6.75%, 6/22/37 (g) |
1,821,537 | ||||||||||
| Federal National Mortgage Association, AAA, Aaa (a) |
||||||||||||
| 8,000,000 | 8.00%, 7/18/23 |
7,972,000 | ||||||||||
| Freddie Mac, AAA, Aaa |
||||||||||||
| 1,000,000 | 5.90%, 6/15/23 |
1,010,157 | ||||||||||
| 6,000,000 | 6.00%, 6/15/17 to 6/7/27 (g) |
5,996,829 | ||||||||||
| 1,000,000 | 6.25%, 6/1/37 |
992,733 | ||||||||||
| 1,800,000 | 6.63%, 8/6/37 (g) |
1,840,271 | ||||||||||
| Freddie Mac Gold Pool, NR, NR |
||||||||||||
| 2,418,267 | 5.50%, 4/1/38 |
2,361,841 | ||||||||||
| 2,409,165 | 6.00%, 2/1/37 |
2,407,828 | ||||||||||
| 2,411,497 | 6.50%, 10/1/36 |
2,448,067 | ||||||||||
| Freddie Mac Non Gold Pool, NR, NR (a) |
||||||||||||
| 2,924,356 | 5.93%, 1/1/38 (g) |
2,912,820 | ||||||||||
| 1,998,942 | 5.94%, 3/1/37 |
1,991,435 | ||||||||||
| 1,999,880 | 5.94%, 5/1/37 |
1,990,107 | ||||||||||
| 1,999,162 | 5.95%, 5/1/37 |
1,990,073 | ||||||||||
| 2,948,691 | 5.98%, 5/1/37 (g) |
2,940,208 | ||||||||||
| 2,000,000 | 6.10%, 8/1/37 |
1,987,716 | ||||||||||
| 3,000,000 | 6.22%, 8/1/37 |
2,989,964 | ||||||||||
| United States Treasury Note/Bond |
||||||||||||
| 4,000,000 | 4.50%, 5/15/18 (g) |
3,983,124 | ||||||||||
| 23,000,000 | 4.63%, 7/31/09 to 7/31/12 (g) |
23,243,360 | ||||||||||
| 2,000,000 | 4.75%, 2/15/37 |
1,972,812 | ||||||||||
| Total U.S. Government and Agency Securities - 52.4% |
||||||||||||
| (Cost $91,277,647) |
92,183,675 | |||||||||||
| Corporate Bonds - 17.4% | Optional Call Provision |
|||||||||||
| Auto Parts & Equipment - 0.2% |
||||||||||||
| 500,000 | Keystone Automotive Operations, Inc., CCC+, Caa2 9.75%, 11/1/13, Senior Subordinated Notes |
11/01/08 @ 104.88 | 400,000 | |||||||||
| Banks - 4.9% |
||||||||||||
| 1,250,000 | Barclays Bank PLC, A+, Aa3 6.28%, 12/29/49, Bonds (United Kingdom) (b) |
12/15/34 @ 100.00 | 1,089,499 | |||||||||
| 1,200,000 | BNP Paribas, AA-, Aa3 7.20%, 6/29/49, Junior Subordinated Notes (France) (b) (c) |
6/25/37 @ 100.00 | 1,186,178 | |||||||||
| 500,000 | Credit Agricole SA, A, Aa3 6.64%, 5/29/49, Junior Subordinated Notes (France) (b) (c) |
5/31/17 @ 100.00 | 471,776 | |||||||||
| 1,200,000 | Lloyds TSB Group PLC, A, Aa3 6.27%, 11/29/49, Bonds (United Kingdom) (b) (c) |
11/14/16 @ 100.00 | 1,107,179 | |||||||||
| 1,250,000 | Mellon Capital IV, Ser. 1, A-, A2 6.24%, 6/29/49, Company Guarantee Notes (b) |
6/20/12 @ 100.00 | 1,233,888 | |||||||||
| 1,250,000 | Northgroup Preferred Capital Corp., A, A1 6.38%, 1/29/49, Notes (b) (c) |
10/15/17 @ 100.00 | 1,157,950 | |||||||||
| 1,250,000 | State Street Capital Trust IV, A, A1 6.36%, 6/15/37, Company Guarantee Notes (a) |
6/15/12 @ 100.00 | 1,150,295 | |||||||||
| 1,250,000 | US AgBank FCB, NR, NR 6.11%, 4/29/49, Notes (b) (c) |
7/10/12 @ 100.00 | 1,259,762 | |||||||||
| 8,656,527 | ||||||||||||
| Beverages - 0.3% |
||||||||||||
| 500,000 | Anheuser-Busch Cos., Inc., A, A2 6.45%, 9/1/37, Debentures |
N/A | 515,518 | |||||||||
| Commercial Services - 0.3% |
||||||||||||
| 500,000 | RR Donnelley & Sons Co., BBB+, Baa2 6.13%, 1/15/17, Senior Unsecured Notes |
N/A | 496,970 | |||||||||
| Diversified Financial Services - 6.1% |
||||||||||||
| 1,100,000 | CAT-Mex Ltd., Ser. A, BB, NR 7.85%, 5/19/09, Secured Notes (Cayman Islands) (a) (c) |
N/A | 1,086,976 | |||||||||
| 500,000 | Discover Financial Services, BBB, Baa3 6.45%, 6/12/17, Notes (c) |
N/A | 493,570 | |||||||||
| 310,000 | Freddie Mac, Ser. MTN, AAA, Aaa 5.25%, 5/29/18, Notes |
11/29/07 @ 100.00 | 302,602 | |||||||||
| 500,000 | Janus Capital Group, Inc., BBB-, Baa3 6.70%, 6/15/17, Notes |
N/A | 502,851 | |||||||||
| 1,000,000 | Longpoint Re Ltd., BB+, NR 10.61%, 5/8/10, Notes (Cayman Islands) (a) (c) |
N/A | 1,016,200 | |||||||||
| 2,000,000 | Merna Reinsurance Ltd., Ser. B, NR, A2 7.11%, 7/7/10, Secured Notes (Bermuda) (a) (c) |
N/A | 2,000,000 | |||||||||
| 3,137,455 | Muzinich CBO II Ltd., Ser. A2-A, AA+, Aa1 7.15%, 10/15/13, Secured Notes (Bermuda) (c) |
N/A | 3,074,706 | |||||||||
| 1,250,000 | Mystic Re Ltd., Ser. A, BB+, NR 11.84%, 12/5/08, Notes (Cayman Islands) (a) (c) |
N/A | 1,253,375 | |||||||||
| 1,000,000 | Willow Re Ltd., BB+, NR 10.48%, 6/16/10, Notes (Cayman Islands) (a) (c) |
N/A | 1,010,500 | |||||||||
| 10,740,780 | ||||||||||||
| Electric - 0.9% |
||||||||||||
| 1,000,000 | Georgia Power Capital Trust VI, BBB+, A3 4.88%, 11/1/42, Company Guarantee Notes (b) |
11/01/07 @ 100.00 | 1,000,455 | |||||||||
| 500,000 | Pennsylvania Electric Co., BBB, Baa2 6.05%, 9/1/17, Senior Notes (c) |
N/A | 500,254 | |||||||||
| 1,500,709 | ||||||||||||
| Insurance - 2.9% |
||||||||||||
| 500,000 | Allstate Corp. (The), A-, A2 6.50%, 5/15/57, Junior Subordinated Debentures (a) |
5/15/37 @ 100.00 | 460,181 | |||||||||
| 1,000,000 | AXA SA, BBB+, Baa1 6.46%, 12/31/49, Subordinated Notes (France) (a) (c) |
12/14/18 @ 100.00 | 904,776 | |||||||||
| 1,000,000 | Foundation Re Ltd., Ser. A, BB, NR 9.62%, 11/24/08, Notes (Cayman Islands) (a) (c) |
N/A | 964,620 | |||||||||
| 500,000 | MetLife, Inc., BBB+, Baa1 6.40%, 12/15/36, Junior Subordinated Notes |
12/15/31 @ 100.00 | 454,812 | |||||||||
| 1,250,000 | Progressive Corp. (The), A-, A2 6.70%, 6/15/37, Junior Subordinated Debentures (b) |
6/15/17 @ 100.00 | 1,211,332 | |||||||||
| 1,000,000 | Residential Reinsurance 2007 Ltd., Ser. CL2, B, NR 15.61%, 6/7/10, Notes (Cayman Islands) (a) (c) |
N/A | 1,019,100 | |||||||||
| 5,014,821 | ||||||||||||
| Media - 0.3% |
||||||||||||
| 500,000 | Comcast Corp., BBB+, Baa2 6.30%, 11/15/17, Company Guarantee Notes |
N/A | 505,071 | |||||||||
| Office Equipment - 0.3% |
||||||||||||
| 500,000 | Xerox Corp., BBB-, Baa3 7.63%, 6/15/13, Company Guarantee Notes |
6/15/08 @ 103.81 | 514,434 | |||||||||
| Retail - 0.8% |
||||||||||||
| 1,000,000 | AutoNation, Inc., BB+, Ba2 7.36%, 4/15/13, Company Guarantee Notes (a) |
4/15/08 @ 103.00 | 940,000 | |||||||||
| 500,000 | Macys Retail Holdings, Inc., BBB, Baa2 5.90%, 12/1/16, Company Guarantee Notes |
N/A | 481,699 | |||||||||
| 1,421,699 | ||||||||||||
| Transportation - 0.4% |
||||||||||||
| 750,000 | YRC Worldwide, Inc., BBB-, Ba1 6.93%, 5/15/08, Company Guarantee Notes (a) |
10/22/07 @ 100.00 | 747,754 | |||||||||
| Total Corporate Bonds - 17.4% |
||||||||||||
| (Cost - $30,369,412) |
30,514,283 | |||||||||||
| Asset Backed Securities - 13.3% |
||||||||||||
| 2,612,186 | Airplanes Pass Through Trust, Series 1R, Class A8, BB-, Baa3 (a) |
2,559,942 | ||||||||||
| 1,400,000 | American Express Credit Account Master Trust, Series 2007-4, Class C, BBB, Baa2 (a) (c) |
1,373,966 | ||||||||||
| 1,380,000 | BA Credit Card Trust, Series 2006-C4, Class C4, BBB, Baa2 (a) |
1,351,319 | ||||||||||
| 1,380,000 | Capital One Multi-Asset Execution Trust, Series 2003-C1, Class C1, BBB, Baa2 (a) |
1,394,166 | ||||||||||
| 1,420,000 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, BBB, Baa2 (a) |
1,391,787 | ||||||||||
| 1,360,000 | Dominos Pizza Master Issuer LLC, Series 2007-1, Class A2, AAA, Aaa (c) |
1,344,121 | ||||||||||
| 3,000,000 | Dunkin Securitization, Series 2006-1, Class A2, AAA, Aaa (c) |
3,019,413 | ||||||||||
| 2,000,000 | First USA Credit Card Master Trust, Series 1997-8, Class B, AA, Aa3 (a) |
2,000,106 | ||||||||||
| 1,000,000 | Ford Credit Floorplan Master Owner Trust, Series 2006-4, Class B, AAA, A1 (a) |
998,266 | ||||||||||
| 1,000,000 | Harley-Davidson Motorcycle Trust, Series 2007-3, Class B, A, Aa3 |
1,001,493 | ||||||||||
| 2,000,000 | TCW Global Project Fund, Series 2004-1A, Class A1, NR, NR (Cayman Islands) (a) (c) |
1,993,500 | ||||||||||
| 4,993,965 | TCW Select Loan Fund Ltd., Inc., Series 1A, Class A1, AAA, Aaa (Cayman Islands) (a) (c) |
4,968,995 | ||||||||||
| Total Asset Backed Securities - 13.3% |
||||||||||||
| (Cost $23,323,429) |
23,397,074 | |||||||||||
| Number of Shares | ||||||||||||
| Common Stock - 11.4% |
||||||||||||
| Consumer Staples - 0.7% |
||||||||||||
| 25,000 | UST, Inc. (d) |
1,232,000 | ||||||||||
| Energy - 2.7% |
||||||||||||
| 20,000 | Chevron Corp. (d) |
1,755,200 | ||||||||||
| 35,000 | ConocoPhillips (d) |
2,866,150 | ||||||||||
| 4,621,350 | ||||||||||||
| Health Care - 1.6% |
||||||||||||
| 56,000 | Merck & Co., Inc. (d) |
2,809,520 | ||||||||||
| Industrials - 0.9% |
||||||||||||
| 40,000 | General Electric Co. (d) |
1,554,800 | ||||||||||
| Information Technology - 3.9% |
||||||||||||
| 50,000 | Cisco Systems, Inc. (d) (e) (g) |
1,596,000 | ||||||||||
| 15,000 | Hewlett-Packard Co. (d) (g) |
740,250 | ||||||||||
| 48,000 | MEMC Electronic Materials, Inc. (d) (e) (g) |
2,948,160 | ||||||||||
| 95,000 | Xerox Corp. (d) (e) (g) |
1,627,350 | ||||||||||
| 6,911,760 | ||||||||||||
| Telecommunication Services - 1.6% |
||||||||||||
| 72,000 | AT&T, Inc. (d) (g) |
2,870,640 | ||||||||||
| Total Common Stock - 11.4% |
||||||||||||
| (Cost $19,833,003) |
20,000,070 | |||||||||||
| Exchange-Traded Funds - 10.4% |
||||||||||||
| 64,000 | Diamonds Trust Series I (d) (g) |
8,537,600 | ||||||||||
| 45,000 | Health Care Select Sector SPDR Fund (d) |
1,548,000 | ||||||||||
| 56,000 | SPDR Trust Series 1 (d) (g) |
8,265,040 | ||||||||||
| Total Exchange-Traded Funds - 10.4% |
||||||||||||
| (Cost $18,291,550) |
18,350,640 | |||||||||||
| Preferred Stock - 4.1% |
||||||||||||
| Financial - 3.4% |
||||||||||||
| 20,000 | Aegon NV, 6.375% (Netherlands) |
482,200 | ||||||||||
| 50,000 | Deutsche Bank Contingent Capital Trust II, 6.55% |
1,200,500 | ||||||||||
| 30,000 | General Electric Capital Corp., Ser. A, 6.45% |
772,200 | ||||||||||
| 49,000 | ING Groep NV, 7.05% (Netherlands) |
1,213,730 | ||||||||||
| 50,000 | Public Storage, Ser. K, 7.25% |
1,233,500 | ||||||||||
| 50,000 | Santander Finance Preferred SA Unipersonal, 6.50% (Spain) (c) |
1,154,690 | ||||||||||
| 6,056,820 | ||||||||||||
| Telecommunication Services - 0.7% |
||||||||||||
| 50,000 | AT&T, Inc., 6.38% |
1,203,500 | ||||||||||
| Total Preferred Stock - 4.1% |
||||||||||||
| (Cost $7,167,315) |
7,260,320 | |||||||||||
| Principal Amount | ||||||||||||
| Collateralized Mortgage Obligations - 4.9% |
||||||||||||
| $ | 900,000 | American Tower Trust, Series 2007-1A, Class AFX, AAA, Aaa (c) |
890,268 | |||||||||
| 1,425,000 | CS First Boston Mortgage Securities Corp., Series 2005, Class K, AA+, Aaa (a) (c) |
1,424,887 | ||||||||||
| 1,225,000 | Global Signal Trust, Series 2004-2A, Class D, NR, Baa2 (c) |
1,193,040 | ||||||||||
| 145,000 | SBA CMBS Trust, Series 2005-1A, Class D, NR, Baa2 (c) |
145,606 | ||||||||||
| 1,500,000 | SBA CMBS Trust, Series 2005-1A, Class E, NR, Baa3 (c) |
1,373,319 | ||||||||||
| 3,500,000 | TIAA Seasoned Commercial Trust, Series 2007-C4, Class A3, AAA, NR (Cayman Islands) (a) |
3,567,890 | ||||||||||
| 1,000,000 | Timberstar Trust, Series 2006-1A, Class D, BBB, Baa2 (c) |
97,141 | ||||||||||
| Total Collateralized Mortgage Obligations - 4.9% |
||||||||||||
| (Cost $8,728,127) |
8,692,151 | |||||||||||
| Term Loans - 5.3% |
||||||||||||
| 1,500,000 | Bushnell Performance Optics 3 Month LIBOR + 3.75%, 8/24/13, B, B2 (a)(f) |
1,496,250 | ||||||||||
| 1,500,000 | Colt Defense Term Loan 8.82%, 7/9/14, NR, B1 (a) |
1,490,625 | ||||||||||
| 500,000 | Compsych Term Loan 3 Month LIBOR + 2.75%, 8/21/14, B, B2 (a)(f) |
483,750 | ||||||||||
| 1,000,000 | Compucom Term Loan 3 Month LIBOR + 3.50%, 8/25/14, BB, Ba2 (a)(f) |
967,500 | ||||||||||
| 1,500,000 | Dollar General Term Loan 3 Month LIBOR + 2.75%, 8/15/14, B+, B2 (a)(f) |
1,343,750 | ||||||||||
| 500,000 | OSI Restaurant Term Loan 3 Month LIBOR + 2.25%, 8/29/14, BB-, B1 (a)(f) |
475,781 | ||||||||||
| 500,000 | Panda Restaurant Term Loan 6.60%, 8/23/17, NR, NR (a) |
502,260 | ||||||||||
| 750,000 | Quest Cherokee 3rd Term Loan 13.51%, 6/11/12, B, B3 (a) |
761,250 | ||||||||||
| 500,000 | Terremark Worldwide 1st Term Loan 9.08%, 7/30/14, B, NR (a) |
497,500 | ||||||||||
| 500,000 | Total Safety Series C Term Loan 8.33%, 12/8/12, B, B2 (a) |
490,000 | ||||||||||
| 750,000 | Tribune Term Loan 3 Month LIBOR + 3.00%, 5/19/14, BB+, Ba2 (a)(f) |
683,789 | ||||||||||
| Total Term Loans - 5.3% |
||||||||||||
| (Cost $9,157,002) |
9,192,455 | |||||||||||
| Contracts (100 shares per contract) |
Call Options Purchased (e) - 0.0% | Expiration Date |
Exercise Price |
|||||||||
| 250 | UST, Inc. |
|||||||||||
| (Cost $1,750) |
September 2007 | $ | 55 | 1,250 | ||||||||
| Total Long-Term Investments - 119.2% |
||||||||||||
| (Cost $208,149,235) |
209,591,918 | |||||||||||
| Principal Amount | ||||||||||||
| Short-Term Investments - 9.6% |
||||||||||||
| Money Market Funds - 9.6% |
||||||||||||
| $ | 16,801,522 | AIM Governemt & Agency Money Market |
16,801,522 | |||||||||
| (Cost $16,801,522) |
||||||||||||
| Total Investments - 128.8% |
||||||||||||
| (Cost $224,950,757) |
226,393,440 | |||||||||||
| Liabilities in excess of Other Assets - (6.8%) |
(11,942,406 | ) | ||||||||||
| Total Options Written - (0.7%) |
(1,257,975 | ) | ||||||||||
| Reverse Repurchase Agreements - (21.3%) |
(37,365,440 | ) | ||||||||||
| Net Assets Applicable to Common Shareholders - 100.0% |
$ | 175,827,619 | ||||||||||
NV—Publicly Traded Company
PLC—Public Limited Company
SA—Corporation
| (a) | Floating or Variable Rate Coupon. |
| (b) | Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. |
| (c) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2007, these securities amounted to 21.3% of net assets applicable to common shares. |
| (d) | All or a portion of this security position represents cover (directly or through conversion rights) for outstanding options written. |
| (e) | Non-incoming producing security. |
| (f) | Unsettled as of August 31, 2007. |
| (g) | All or a portion of these securities have been physically segregated in connection with swap agreements, options and reverse repurchase agreement. |
| Country Allocation* |
|||
| United States |
86.9 | % | |
| Cayman Islands |
7.5 | % | |
| Bermuda |
2.2 | % | |
| France |
1.1 | % | |
| United Kingdom |
1.0 | % | |
| Netherlands |
0.8 | % | |
| Spain |
0.5 | % | |
| * | Subject to change daily. Based on total investments. |
The Fund values equity securities at the last reported sale price on the principal exchange or in the principal OTC market in which such securities are traded, as of the close of regular trading on the 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 NASDAQ are valued at the NASDAQ Official Closing Price. Debt securities are valued at the last available bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. For those securities where quotations or prices are not available, valuations are determined in accordance with procedures established in good faith by the Board of Trustees. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value.
Ratings shown are per Standard & Poor's and Moody's. Securities classified as NR are not rated.
Securities are classified by sectors that represent broad groupings of related industries.
See previously submitted prospectus.
| Contracts (100 shares per contract) |
Call Options Written (e) |
Expiration Date |
Exercise Price |
Value | ||||||
| 720 | AT&T, Inc. |
September 2007 | $ | 40.00 | $ | 57,600 | ||||
| 100 | Chevron Corp. |
October 2007 | 85.00 | 52,000 | ||||||
| 100 | Chevron Corp. |
October 2007 | 90.00 | 24,000 | ||||||
| 500 | Cisco Systems, Inc. |
September 2007 | 30.00 | 106,250 | ||||||
| 175 | ConocoPhillips |
September 2007 | 75.00 | 127,750 | ||||||
| 175 | ConocoPhillips |
September 2007 | 80.00 | 57,750 | ||||||
| 320 | Diamonds Trust Series I |
September 2007 | 132.00 | 113,600 | ||||||
| 160 | Diamonds Trust Series I |
September 2007 | 133.00 | 46,000 | ||||||
| 160 | Diamonds Trust Series I |
September 2007 | 134.00 | 35,600 | ||||||
| 200 | General Electric Co. |
September 2007 | 37.50 | 35,700 | ||||||
| 200 | General Electric Co. |
September 2007 | 40.00 | 7,100 | ||||||
| 250 | Health Care Select Sector SPDR Fund |
October 2007 | 34.00 | 28,750 | ||||||
| 200 | Health Care Select Sector SPDR Fund |
October 2007 | 35.00 | 11,000 | ||||||
| 150 | Hewlett-Packard Co. |
September 2007 | 47.50 | 34,875 | ||||||
| 480 | MEMC Electronic Materials, Inc. |
September 2007 | 60.00 | 153,600 | ||||||
| 280 | Merck & Co., Inc. |
September 2007 | 47.50 | 77,700 | ||||||
| 280 | Merck & Co., Inc. |
September 2007 | 50.00 | 30,100 | ||||||
| 280 | SPDR Trust Series I |
September 2007 | 146.00 | 116,200 | ||||||
| 140 | SPDR Trust Series I |
September 2007 | 147.00 | 49,000 | ||||||
| 140 | SPDR Trust Series I |
September 2007 | 148.00 | 39,900 | ||||||
| 250 | UST, Inc. |
September 2007 | 55.00 | 1,250 | ||||||
| 950 | Xerox Corp. |
September 2007 | 17.00 | 52,250 | ||||||
| Total Call Options Written |
||||||||||
| (Premiums received $1,436,187) |
$ | 1,257,975 | ||||||||
| (e) | Non-income producing security |
The Fund entered into credit default swap agreements during the period ended August 31, 2007. Details of the swap agreements outstanding as of August 31, 2007 were as follows:
Credit Default Swap Agreements
| Counterparty |
Reference Entity |
Buy/Sell Protection |
Pay/Receive Fixed Rate |
Expiration Date |
Notional Amount (000) |
Unrealized Appreciation/ Depreciation |
||||||||||
| Goldmach Sachs |
Wachovia Corp. |
Buy | 0.50 | % | 09/02/14 | $ | 3,000 | $ | 6,658 | |||||||
| Goldmach Sachs |
Wells Fargo & Company |
Buy | 0.45 | 09/02/14 | 3,000 | 5,330 | ||||||||||
| Goldmach Sachs |
Basket of 110 distinct corporate entities |
Sell | 1.18 | 09/21/14 | 3,000 | (116,250 | ) | |||||||||
| $ | (104,262 | ) | ||||||||||||||
| Item 2. | Controls and Procedures. |
| (a) | The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of this filing and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that may have materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting. |
| Item 3. | Exhibits. |
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Claymore/Guggenheim Strategic Opportunities Fund | ||
| By: | /s/ Nicholas Dalmaso | |
| Nicholas Dalmaso | ||
| Chief Legal and Executive Officer | ||
| Date: | October 29, 2007 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Nicholas Dalmaso | |
| Nicholas Dalmaso | ||
| Chief Legal and Executive Officer | ||
| Date: | October 29, 2007 | |
| By: | /s/ Steven M. Hill | |
| Steven M. Hill | ||
| Treasurer and Chief Financial Officer | ||
| Date: | October 29, 2007 | |