BDC Scorecard Portfolio Series 15

Under normal circumstances, the Trust invests at least 80% of the value of its assets in U.S.-listed business development companies (“BDCs”) included in the Wells Fargo® BDC Scorecard Weighted Index (the “Index”). The Trust seeks to substantially replicate the Index as of the date of deposit. As a result of this strategy, the Trust is concentrated in the financials sector.

As of the date of deposit (the “Inception Date”), the Trust generally invests in the securities comprising the Index in proportion to their weightings in the Index. The Index is an index that is comprised of BDCs and aims to maintain a lower risk profile than BDCs as a whole. In selecting the final portfolio, the Trust will only invest in publicly-traded BDCs. The Index is maintained by Wells Fargo Securities, LLC Equity Research Department (“Wells Fargo”) in accordance with its scorecard weighting methodology for BDCs (the “Scorecard Model”).

The Sponsor may adjust weightings of the Index constituents to respond to diversification constraints, other regulatory requirements or the Sponsor’s analysis of liquidity in certain securities. Following the Inception Date, the Trust’s portfolio will not be adjusted to reflect any changes to the Index. Accordingly, the performance of the Trust will not correspond to the performance of the Index.

Wells Fargo® BDC Scorecard Weighted Index

The Index selects BDCs based on the following screens:

• Liquidity Screen: Eliminate BDCs with a market capitalization less than $100 million.
• BDC Quality Factor Score Ranking: BDCs are given a quality score based on these factors:
  • Ability to leverage: This factor compares a BDC’s leverage capacity to an optimal leverage level.
  • Willingness to leverage: This factor compares a BDC’s consistency in maintaining leverage to its operating structure over time.
  • Management fees and expenses as a percentage of assets: This factor weighs the total compensation paid to the management team within the broader context of the total return the management team delivers. Specifically, this factor reviews total costs as a percentage of assets and as a percentage of net income before compensation and fees paid.
  • Cash flow coverage of the dividend: This factor looks beyond the traditional dividend coverage equation measured using net operating income (“NOI”) and introduces additional analysis into other forms of earned income that can help signify a higher quality factor than NOI alone.
  • Vintage: This factor analyzes a BDC’s portfolio to determine to what extent it contains loans more vulnerable to credit losses due to economic and cyclical exposures.
  • Portfolio optimization: This factor compares and analyzes a BDC’s NOI against its current return to help identify pre-payment risk of higher yielding assets.
  • Ability to underwrite: This factor measures BDC credit performance over time versus bank commercial and industrial loans and ranks each BDC based on this performance.
  • Effective leverage: This factor conducts a detailed analysis of a BDC’s balance sheet leverage, taking into account the different credit structures embedded into the underlying holdings and how that “effective leverage” could impact share price performance in varying market scenarios.
  • The “intangible” or qualitative factor: This factor reviews a BDC’s corporate governance, aligned management incentives, and the investment platform, among other qualitative factors.
• BDC Quartile Weightings: BDCs are sorted highest to lowest based on their quality factor, composite score and ranked in one of four quartiles, with Quartile 1 containing BDCs that exhibit less risk potential.
  • Quartile 1: approximately 50% of the final Index;
  • Quartile 2: approximately 30% of the final Index; and
  • Quartiles 3 and 4: each quartile aggregates to approximately 10% of the final Index.
• Final Index: Consists of BDCs screened by the Wells Fargo Scorecard Model, which seeks to deliver attractive risk-adjusted returns.

Business Development Companies

BDCs are closed-end companies that elect to be treated as business development companies under the Investment Company Act of 1940 (the “1940 Act”). This election exempts BDCs from certain portions of the 1940 Act, allowing for greater regulatory flexibility. This flexibility allows BDCs to make certain investments in smaller businesses that might be impossible or impractical for other investment companies registered under the 1940 Act and allows BDCs to have more debt outstanding than other closed-end funds (i.e., more leveraged). BDCs do not have mandatory termination dates. BDCs generally invest in primarily U.S. small- and mid-capitalization companies, as well as a limited number of foreign issuers, through a combination of debt and equity investments. In addition, BDCs also often provide managerial assistance to portfolio companies. BDCs that hold fixed income securities of portfolio companies may invest in debt that is either investment grade or below investment-grade. High-yield or “junk” bonds, the generic names for bonds rated below investment-grade, are frequently issued by corporations in the growth stage of their development or by established companies that are highly leveraged or whose operations or industries are depressed. Obligations rated below investment-grade should be considered speculative. If the BDCs in the Trust’s portfolio hold loans, they typically hold loan portfolios that have maturities of three to four years.

As with all investments, you may lose some or all of your investment in the Trust. No assurance can be given that the Trust’s investment objective will be achieved. The Trust also might not perform as well as you expect. This can happen for reasons such as these:

• Securities prices can be volatile. The value of your investment may fall over time. Market value fluctuates in response to various factors. These can include stock market movements, purchases or sales of securities by the Trust, government policies, litigation, and changes in interest rates, inflation, the financial condition of the securities’ issuer or even perceptions of the issuer. Units of the Trust are not deposits of any bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
• Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee that share prices of the securities in the Trust will not decline and that the issuers of the securities will declare dividends in the future and, if declared, whether they will remain at current levels or increase over time.
• Securities selected according to this strategy may not perform as intended. The Trust is exposed to additional risk due to its policy of investing in accordance with an investment strategy. Although the Trust’s investment strategy is designed to achieve the Trust’s investment objective, the strategy may not prove to be successful. The investment decisions may not produce the intended results and there is no guarantee that the investment objective will be achieved.
• The Trust is concentrated in the financial sector. As a result, the factors that impact the financial sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. Companies in the financial sector include banks, insurance companies and investment firms. The profitability of companies in the financial sector is largely dependent upon the availability and cost of capital which may fluctuate significantly in response to changes in interest rates and general economic developments. Financial sector companies are especially subject to the adverse effects of economic recession, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets and in commercial and residential real estate loans, and competition from new entrants in their fields of business.
• The Trust invests in shares of BDCs. BDCs’ ability to grow and their overall financial condition is impacted significantly by their ability to raise capital. In addition to raising capital through the issuance of common stock, BDCs may engage in borrowing. A BDC’s credit rating may change over time which could adversely affect their ability to obtain additional credit and/or increase the cost of such borrowing. BDCs are generally leveraged, which may magnify the potential for gains and losses on amounts invested and, accordingly, may increase the risks associated with those securities.
  
  While the Trust invests only in publicly-traded securities, investments made by BDCs are frequently not publicly traded and, as a result, there is uncertainty as to the value and liquidity of those investments. Due to the relative illiquidity of certain BDC investments, if a BDC is required to liquidate all or a portion of its portfolio quickly, it may realize significantly less than the value at which such investments are recorded.
  
  The fixed income securities held by a BDC may generate Payment In Kind (“PIK”) interest payments. PIK loans are a type of debt where all or a potion of the interest payments are paid in additional principal amounts of such debt and not in cash. As such, PIK loans may not provide any cash flow from the borrower to the lender between the draw-down date of the loan and the maturity date. PIK loans are generally unsecured loans that may have deeply subordinated security structures. Consequently, given the deferral of cash payments of interest expense, these loans can be expensive and high-risk financing instruments.
  
  BDCs frequently have high expenses which may include, but are not limited to, the payment of management fees, administration expenses, taxes, interest payable on debt, governmental charges, independent director fees and expenses, valuation expenses, and fees payable to third parties relating to or associated with making investments. In addition, a BDC may pay an incentive fee to its investment adviser. The potential for the investment adviser to earn incentive fees may create an incentive for the investment adviser to make investments that are riskier or more speculative than would otherwise be in the best interests of the BDC. Additionally, if the base management fee is based on gross assets, the investment adviser may have an incentive to increase portfolio leverage in order to earn higher base management fees. These incentives raise the expenses paid by a BDC. The Trust will indirectly bear these expenses and estimated BDC expenses are shown in the Trust’s annual operating expenses under “Fees and Expenses” to illustrate the impact of their impact. These expenses may fluctuate significantly over time.
• The BDCs are subject to annual fees and expenses, including a management fee. Unit-holders of the Trust will bear these fees in addition to the fees and expenses of the Trust. See “Fees and Expenses” for additional information.
• The value of the fixed-income securities in the BDCs will generally fall if interest rates, in general, rise. Typically, fixed-income securities with longer periods before maturity are more sensitive to interest rate changes. In addition, the duration of a security will also affect its price sensitivity to interest rate changes. For example, if a security has a duration of 4 years and interest rates go up by 1%, it can be expected that the security price will move down by 4%. The Trust may be subject to greater risk of rising interest rates than would normally be the case due to the current period of historically low rates.
• A BDC or an issuer of securities held by a BDC may be unwilling or unable to make principal payments and/or to declare distributions in the future, may call a security before its stated maturity, or may reduce the level of distributions declared. Issuers may suspend distributions during the life of the Trust. This may result in a reduction in the value of your units.
• The financial condition of a BDC or an issuer of securities held by a BDC may worsen, resulting in a reduction in the value of your units. This may occur at any point in time, including during the primary offering period.
• Economic conditions may lead to limited liquidity and greater volatility. The markets for fixed-income securities, such as those held by certain BDCs, may experience periods of illiquidity and volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant valuation uncertainties in a variety of fixed-income securities. These conditions resulted, and in many cases continue to result in, greater volatility, less liquidity, widening credit spreads and a lack of price transparency, with many debt securities remaining illiquid and of uncertain value. These market conditions may make valuation of some of the securities held by a BDC uncertain and/or result in sudden and significant valuation increases or declines in its holdings.
• Certain BDCs held by the Trust invest in securities that are rated below investment-grade and are considered to be “junk” securities. Below investment-grade obligations are considered to be speculative and are subject to greater market and credit risks, and accordingly, the risk of nonpayment or default is higher than with investment-grade securities. In addition, such securities may be more sensitive to interest rate changes and more likely to receive early returns of principal in falling rate environments.
• Certain BDCs held by the Trust may invest in securities that are rated as investment-grade by only one rating agency. As a result, such split-rated securities may have more speculative characteristics and are subject to a greater risk of default than securities rated as investment-grade by more than one rating agency.
• Certain BDCs held by the Trust are small-capitalization and mid-capitalization companies and they invest in securities issued by small-capitalization and mid-capitalization companies. These securities customarily involve more investment risk than securities of large-capitalization companies. Small-capitalization and mid-capitalization companies may have limited product lines, markets or financial resources and may be more vulnerable to adverse general market or economic developments.
• Certain BDCs held by the Trust may invest in foreign securities, subject to regulatory limits. Certain BDC’s investment in foreign securities presents additional risk. Securities of foreign issuers present risks beyond those of domestic securities. More specifically, foreign risk is the risk that foreign securities will be more volatile than U.S. securities due to such factors as adverse economic, currency, political, social or regulatory developments in a country, including government seizure of assets, excessive taxation, limitations on the use or transfer of assets, the lack of liquidity or regulatory controls with respect to certain industries or differing legal and/or accounting standards.
• Inflation may lead to a decrease in the value of assets or income from investments.
• The Sponsor does not actively manage the portfolio. The Trust will generally hold, and may, when creating additional units, continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.

See “Investment Risks” in Part A of the prospectus and “Risk Factors” in Part B of the prospectus for additional information.