Closed-End Covered Call & Income Portfolio Series 15

Under normal circumstances, the Trust will invest at least 80% of the value of its assets in common stocks of closed-end investment companies (“closed-end funds”) that are considered to be covered call funds and/or income funds. The closed-end funds may contain portfolios that are concentrated in high-yield bonds. Claymore, through proprietary research, will strive to select closed-end funds featuring the potential for current income, diversification and overall liquidity.

What is a Covered Call Writing Strategy?

Call options are contracts representing the right to purchase a common stock at a specified price, known as the “strike price,” at a specified future date, known as the “expiration date,” in exchange for an option premium.

The closed-end funds held within the Trust’s portfolio employ an option strategy of writing/selling covered call options on the majority of the common stocks held within the underlying closed-end funds. Covered call option writing is designed to produce income from option premiums and offset a portion of a market decline in the underlying common stock. In short, a covered call strategy may provide limited downside protection of the “covered” stock in exchange for some of the upside appreciation potential.

The Sponsor has selected for the portfolio closed-end funds believed to have the best potential to achieve the Trust’s investment objective. The closed-end funds’ portfolios consist primarily of covered call securities and/or income producing securities, including high-yield bonds and preferred securities.

As of the Trust’s initial date of deposit (the “Inception Date”), 100% of the Trust’s portfolio is invested in securities of closed-end funds with portfolios that consist primarily of covered call securities and/or income producing securities, including high-yield bonds and preferred securities.

When selecting closed-end funds for inclusion in this portfolio the Sponsor looks at numerous factors. These factors include, but are not limited to:

• Investment Objective. The Sponsor favors funds that have a clear investment objective in line with the Trust’s objective and, based upon a review of publicly available information, appear to be maintaining it.
• Premium/Discount. The Sponsor favors funds that are trading at a discount relative to their peers and relative to their long-term average.
• Consistent Dividend. The Sponsor favors funds that have a history of paying a consistent and competitive dividend which, in the opinion of the Sponsor, can be maintained.
• Performance. The Sponsor favors funds that have a history of strong relative performance (based on market price and net asset value) when compared to their peers and an applicable benchmark.

Some of the securities held by the closed-end funds may be income-producing securities, including corporate bonds, preferred securities and high-yield bonds. High-yield or “junk” bonds, the generic names for bonds rated below the category of “BBB” by Standard & Poor’s or the category of “Baa” by Moody’s, are frequently issued by corporations in the growth stage of their development or by established companies who are highly leveraged or whose operations or industries are depressed. Obligations rated below investment-grade should be considered speculative as these ratings indicate a quality of less than investment-grade. Because high-yield bonds are generally subordinated obligations and are perceived by investors to be riskier than higher rated securities, their prices tend to fluctuate more than higher rated securities and are affected by short-term credit developments to a greater degree.

See “Description of Ratings” in Part B of the prospectus for additional information regarding the ratings criteria.

As with all investments, you may lose some or all of your investment in the Trust. The Trust also might not perform as well as you expect. This can happen for reasons such as these:

• Share 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.
• Due to the current state of the economy, the value of the securities held by the Trust may be subject to steep declines or increased volatility due to changes in performance or perception of the issuers. In the last year, economic activity has declined across all sectors of the economy, and the United States is experiencing increased unemployment. The current economic crisis has affected the global economy with European and Asian markets also suffering historic losses. Extraordinary steps have been taken by the governments of several leading economic countries to combat the economic crisis; however, the impact of these measures is not yet known and cannot be predicted.
• The Trust includes closed-end funds. Closed-end funds are actively managed investment companies that invest in various types of securities. Closed-end funds issue shares of common stock that are traded on a securities exchange. Closed-end funds are subject to various risks, including management’s ability to meet the closed-end fund’s investment objective, and to manage the closed-end fund’s portfolio during periods of market turmoil and as investors’ perceptions regarding closed-end funds or their underlying investments change. Closed-end funds are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. Closed-end funds may also employ the use of leverage which increases risk and volatility. Recent instability in the auction rate preferred shares market may affect the volatility of certain closed-end funds, especially those that use leverage or plan to use leverage.
• The value of the fixed-income securities in the closed-end funds 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.
• Certain closed-end funds held by the Trust invest in bonds 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.
• Certain closed-end funds held by the Trust may invest in bonds 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 both Moody’s and Standard & Poor’s.
• Certain closed-end funds held by the Trust invest in foreign securities. Investment in foreign securities presents additional risk. 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.
• Certain closed-end funds held by the Trust may invest in securities issued by entities located in emerging markets. Emerging markets are generally defined as countries with low per capita income in the initial stages of their industrialization cycles. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies.
• The call writing portion of the investment strategy of the closed-end funds may not be successful in that the closed-end funds may not realize the full appreciation of stocks on which the closed-end funds have written call options. The ability to successfully implement the closed-end fund’s investment strategy depends on the closed-end fund’s adviser’s ability to predict pertinent market movements, which cannot be assured.
• The value of a call option may be adversely affected if the market for the option becomes less liquid or smaller. The value of an option will be affected by changes in the value and dividend rates of the stock subject to the option, an increase in interest rates, a change in the actual and perceived volatility of the stock market and the common stock, and the remaining time to expiration.
• Certain closed-end funds held by the Trust may invest in preferred securities. Preferred securities are typically subordinated to bonds and other debt instruments in a company’s capital structure in terms of priority to corporate income and therefore will be subject to greater credit risk then those debt instruments.
• The closed-end funds held by the Trust invest in common stocks. Common stocks represent a proportional share of ownership in a company. Common stock prices fluctuate for several reasons including changes in investors’ perceptions of the financial condition of an issuer, changes in the general condition of the relevant stock market, such as the market volatility recently exhibited, or when political or economic events affect the issuers. Common stock prices may also be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase.
• A closed-end fund or an issuer of securities held by a closed-end fund 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. This may result in a reduction in the value of your units.
• The financial condition of a closed-end fund or an issuer of securities held by a closed-end fund may worsen or its credit ratings may drop, resulting in a reduction in the value of your units. This may occur at any point in time, including during the primary offering period.
• 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 continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.
• Please note that the Sponsor may be engaged as a service provider to certain closed-end funds held by the Trust and therefore certain fees paid by the Trust to such closed-end funds will be paid to the Sponsor for it services to such closed-end funds.
• In addition to the expenses of the units of the Trust, the Trust is subject to various expenses of the closed-end fund.