# EDGAR Filing Document

**Accession Number:** 0002000182
**File Stem:** 0000894189-26-016526
**Filing Date:** 2026-5
**Character Count:** 34021
**Document Hash:** 4281c0ea9a485b222172c1d549096667
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-016526.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0000894189-26-016526

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Denali Structured Return Strategy Fund
- **CENTRAL INDEX KEY:** 0002000182

**ORGANIZATION NAME:**
- **EIN:** 934085464
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23918
- **FILM NUMBER:** 261039322

**BUSINESS ADDRESS:**
- **STREET 1:** 3550 LENOX ROAD NE
- **STREET 2:** SUITE 2550
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326
- **BUSINESS PHONE:** 770-350-8700

**MAIL ADDRESS:**
- **STREET 1:** 3550 LENOX ROAD NE
- **STREET 2:** SUITE 2550
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Denali Structured Return Strategy Fund

- **b. Investment Company Act file number:** 811-23918

- **c. CIK number of Registrant:** 0002000182

- **d. LEI of Registrant:** 5299002VHGI83LMKRW03

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 3550 Lenox Road NE

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30326

  - **Telephone number:** 770-350-8700

**Item A.2. Information about the Series.**

- **a. Name of Series:** Denali Structured Return Strategy Fund

- **c. LEI of Series:** 5299002VHGI83LMKRW03

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $141302215.92

**Total Liabilities:** $401071.92

**Net Assets:** $140901144.00

**Cash Not Reported:** $507672.89

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 990.833648000000 | **1-Year:** 1861.300559000000 | **5-Year:** 484.896690000000 | **10-Year:** 46.631142000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.00%                | -0.45%               | -1.51%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $28512.88                                  |
| Month 2  | $0.00                    | $-1102909.73                               |
| Month 3  | $0.00                    | $404845.95                                 |

**Designated Index Information**

- **Index Name:** S&P 500 Total Return Index

- **Index Identifier:** SPTR

### Schedule of Portfolio Investments

| Name                                                | Title                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| First American Treasury Obligations Fund - Class X  | First American Treasury Obligations Fund - Class X  | CUSIP: 31846V328<br>LEI: 549300UU586IAH2B8H03 | Long             | STIV             | RF                | US        |  11768309 | NS      | $11768309.43  | 8.35%             |  |  |  | No            | 1                  | On Loan: No      |
| Holbrook Structured Income Fund - Class I           | Holbrook Structured Income Fund - Class I           | CUSIP: 90214Q626<br>LEI: 549300VN9LSTDZVMEG10 | Long             |  | RF                | US        |    274928 | NS      | $2677802.27   | 1.90%             |  |  |  | No            | 1                  | On Loan: No      |
| EAJF Leveraged Feeder                               | EAJF Leveraged Feeder                               | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   5700000 | PA      | $6494511.60   | 4.61%             |  |  |  | No            | N/A                | On Loan: No      |
| Assil New York I                                    | Assil New York I                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1500000 | PA      | $1498558.50   | 1.06%             | 2026-08-06      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Assil New York                                      | Assil New York                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1500000 | PA      | $1498671.00   | 1.06%             | 2026-09-10      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Jewelry World                                       | Jewelry World                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    250000 | PA      | $249900.00    | 0.18%             | 2026-06-09      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Safdico I                                           | Safdico I                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $749895.75    | 0.53%             | 2026-10-17      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Safdico II                                          | Safdico II                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $999629.00    | 0.71%             | 2026-11-25      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| SD Diamonds, LLC III                                | SD Diamonds, LLC III                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    325000 | PA      | $324868.05    | 0.23%             | 2026-06-03      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Wrist Aficionado III                                | Wrist Aficionado III                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $999465.00    | 0.71%             | 2026-06-24      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Yafa II                                             | Yafa II                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $499585.50    | 0.35%             | 2026-09-26      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Yafa III                                            | Yafa III                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    375000 | PA      | $374991.00    | 0.27%             | 2026-10-09      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Yafa IV                                             | Yafa IV                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    500000 | PA      | $499704.00    | 0.35%             | 2026-09-05      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Bijan & Co, Inc                                     | Bijan & Co, Inc                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    225000 | PA      | $225000.00    | 0.16%             |  |  |  | No            | 3                  | On Loan: No      |
| B.R Diamonds                                        | B.R Diamonds                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    162500 | PA      | $162500.00    | 0.12%             |  |  |  | No            | 3                  | On Loan: No      |
| Rafael Koblence I                                   | Rafael Koblence I                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    650000 | PA      | $650000.00    | 0.46%             |  |  |  | No            | 3                  | On Loan: No      |
| EWP LS Funding, LLC                                 | EWP LS Funding, LLC                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1250000 | PA      | $1241468.75   | 0.88%             | 2028-12-17      | Fixed         | 7.50%                 | No            | 3                  | On Loan: No      |
| EWP Oceana Garage SPV LLC A                         | EWP Oceana Garage SPV LLC A                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   2000000 | PA      | $1992032.00   | 1.41%             | 2027-10-30      | Fixed         | 5.00%                 | No            | 3                  | On Loan: No      |
| EWP Oceana Garage SPV LLC B                         | EWP Oceana Garage SPV LLC B                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $996402.00    | 0.71%             | 2027-10-30      | Fixed         | 18.00%                | No            | 3                  | On Loan: No      |
| HFSA, LLC                                           | HFSA, LLC                                           | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   9924500 | PA      | $10276015.87  | 7.29%             |  |  |  | No            | N/A                | On Loan: No      |
| PFF LLC 6                                           | PFF LLC 6                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $939271.00    | 0.67%             | 2027-01-24      | Fixed         | 12.01%                | No            | 3                  | On Loan: No      |
| PFF LLC 9                                           | PFF LLC 9                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $493660.00    | 0.35%             | 2028-01-03      | Fixed         | 11.63%                | No            | 3                  | On Loan: No      |
| Peachtree Group PCF IV LO Atlanta 3343 SIDE CAR LLC | Peachtree Group PCF IV LO Atlanta 3343 SIDE CAR LLC | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    420000 | PA      | $415579.08    | 0.29%             |  |  |  | No            | N/A                | On Loan: No      |
| Revere BCF Funding, LLC                             | Revere BCF Funding, LLC                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    306040 | PA      | $305202.35    | 0.22%             | 2030-04-23      | Floating      | 14.98%                | No            | 3                  | On Loan: No      |
| Revere Capital Los Alamos MF LLC                    | Revere Capital Los Alamos MF LLC                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               |  | US        |   3114714 | PA      | $3115903.82   | 2.21%             |  |  |  | No            | 3                  | On Loan: No      |
| Cliffwater Enhanced Lending Fund - Class I          | Cliffwater Enhanced Lending Fund - Class I          | CUSIP: 18685P108<br>LEI: 549300GSOYHH68H7U345 | Long             |  | RF                | US        |    229667 | NS      | $2528632.55   | 1.79%             |  |  |  | No            | 1                  | On Loan: No      |
| Aero Capital Solutions Fund IV LP                   | Aero Capital Solutions Fund IV LP                   | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   1497129 | PA      | $1852192.61   | 1.31%             |  |  |  | No            | N/A                | On Loan: No      |
| Altriarch Specialty Finance SPV II, LLC             | Altriarch Specialty Finance SPV II, LLC             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   6592657 | PA      | $6636702.54   | 4.71%             | 2026-12-31      | Fixed         | 8.00%                 | No            | 3                  | On Loan: No      |
| BasePoint Income Solutions Evergreen Fund L.P.      | BasePoint Income Solutions Evergreen Fund L.P.      | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   2300000 | PA      | $2410190.70   | 1.71%             |  |  |  | No            | N/A                | On Loan: No      |
| Bay Point Capital Partners II, LP                   | Bay Point Capital Partners II, LP                   | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    285793 | PA      | $301452.56    | 0.21%             |  |  |  | No            | N/A                | On Loan: No      |
| C-Cubed 308 Productions                             | C-Cubed 308 Productions                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    650000 | PA      | $644768.15    | 0.46%             | 2026-10-17      | Fixed         | 21.60%                | No            | 3                  | On Loan: No      |
| CRWD Specialty Finance LLC                          | CRWD Specialty Finance LLC                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $1000143.00   | 0.71%             | 2026-11-17      | Fixed         | 18.00%                | No            | 3                  | On Loan: No      |
| CA Credit SPV, LLC                                  | CA Credit SPV, LLC                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1400000 | PA      | $1408255.80   | 1.00%             | 2027-06-30      | Floating      | 12.25%                | No            | 3                  | On Loan: No      |
| CA CO SPV, LLC                                      | CA CO SPV, LLC                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   4600000 | PA      | $4628262.40   | 3.28%             | 2027-06-30      | Fixed         | 12.00%                | No            | 3                  | On Loan: No      |
| Coromandel Credit Income Evergreen Fund LP          | Coromandel Credit Income Evergreen Fund LP          | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   9500000 | PA      | $9902857.00   | 7.03%             |  |  |  | No            | N/A                | On Loan: No      |
| Coromandel LS LLC Beta Corp                         | Coromandel LS LLC Beta Corp                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1006250 | PA      | $1005743.86   | 0.71%             | 2028-06-30      | Floating      | 13.63%                | No            | 3                  | On Loan: No      |
| Coromandel LS LLC Beta SPV                          | Coromandel LS LLC Beta SPV                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    743750 | PA      | $742164.33    | 0.53%             | 2028-06-30      | Floating      | 13.63%                | No            | 3                  | On Loan: No      |
| IVY Auto 1                                          | IVY Auto 1                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500213.50    | 0.36%             | 2026-12-24      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| IVY Auto 2                                          | IVY Auto 2                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300444.90    | 0.21%             | 2027-01-07      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| IVY Auto 3                                          | IVY Auto 3                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300937.80    | 0.21%             | 2026-10-19      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| IVY Auto 4                                          | IVY Auto 4                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    250000 | PA      | $250067.00    | 0.18%             | 2026-05-25      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Revere Tactical Opportunities Fund IV               | Revere Tactical Opportunities Fund IV               | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   3800000 | PA      | $3918088.80   | 2.78%             |  |  |  | No            | N/A                | On Loan: No      |
| Revere Specialty Finance Fund LP                    | Revere Specialty Finance Fund LP                    | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   3200000 | PA      | $3323785.60   | 2.36%             |  |  |  | No            | N/A                | On Loan: No      |
| RF JV NPL LLC                                       | RF JV NPL LLC                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1500000 | PA      | $1826848.50   | 1.30%             |  |  |  | No            | 3                  | On Loan: No      |
| RIM SPV, LLC                                        | RIM SPV, LLC                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   5017000 | PA      | $5041061.53   | 3.58%             | 2028-09-30      | Fixed         | 14.00%                | No            | 3                  | On Loan: No      |
| Tailor Ridge Real Estate Lending Fund I, LP         | Tailor Ridge Real Estate Lending Fund I, LP         | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   3800000 | PA      | $3906153.00   | 2.77%             |  |  |  | No            | N/A                | On Loan: No      |
| Virage Opportunity Fund Credit Facility             | Virage Opportunity Fund Credit Facility             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   2316439 | PA      | $2330787.21   | 1.65%             | 2028-12-20      | Fixed         | 18.25%                | No            | 3                  | On Loan: No      |
| Virage Opportunity Fund LP                          | Virage Opportunity Fund LP                          | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    482611 | PA      | $482610.82    | 0.34%             |  |  |  | No            | N/A                | On Loan: No      |
| Coromandel LS 17 LLC                                | Coromandel LS 17 LLC                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $497652.00    | 0.35%             | 2027-04-15      | Floating      | 12.68%                | No            | 3                  | On Loan: No      |
| Delgatto Diamond Finance Fund L.P.                  | Delgatto Diamond Finance Fund L.P.                  | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    900000 | PA      | $1030663.80   | 0.73%             |  |  |  | No            | N/A                | On Loan: No      |
| LuxTech II                                          | LuxTech II                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    100000 | PA      | $100000.00    | 0.07%             |  |  |  | No            | 3                  | On Loan: No      |
| PGA Mastermind                                      | PGA Mastermind                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $750000.00    | 0.53%             |  |  |  | No            | 3                  | On Loan: No      |
| Rio Diamond MFG Corp I                              | Rio Diamond MFG Corp I                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.35%             |  |  |  | No            | 3                  | On Loan: No      |
| Rio Diamond MFG Corp                                | Rio Diamond MFG Corp                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.21%             |  |  |  | No            | 3                  | On Loan: No      |
| Coromandel LS 15 LLC                                | Coromandel LS 15 LLC                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   2705715 | PA      | $2697086.06   | 1.91%             | 2027-03-01      | Floating      | 12.68%                | No            | 3                  | On Loan: No      |
| Coromandel LS 16 LLC                                | Coromandel LS 16 LLC                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    200000 | PA      | $199438.40    | 0.14%             | 2027-03-08      | Floating      | 12.68%                | No            | 3                  | On Loan: No      |
| Safdico                                             | Safdico                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    675000 | PA      | $675000.00    | 0.48%             |  |  |  | No            | 3                  | On Loan: No      |
| IVY Auto 5                                          | IVY Auto 5                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300088.50    | 0.21%             | 2026-07-07      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| IVY Auto 6                                          | IVY Auto 6                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500255.00    | 0.36%             | 2026-07-20      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| IVY Auto 7                                          | IVY Auto 7                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    250000 | PA      | $250115.00    | 0.18%             | 2026-08-10      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| IVY Auto 8                                          | IVY Auto 8                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    378300 | PA      | $377656.13    | 0.27%             | 2027-03-17      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Battery, LLC                                    | Ivy Battery, LLC                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    417944 | PA      | $416887.21    | 0.30%             | 2026-11-23      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Evergreen Fund QP, LP                           | Ivy Evergreen Fund QP, LP                           | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   7637441 | PA      | $7742578.18   | 5.50%             |  |  |  | No            | N/A                | On Loan: No      |
| IVY Iron, LLC                                       | IVY Iron, LLC                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500421.00    | 0.36%             | 2027-01-03      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| LS Hive, LLC                                        | LS Hive, LLC                                        | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    750000 | PA      | $765822.00    | 0.54%             |  |  |  | No            | 3                  | On Loan: No      |
| Monroe Capital Income Plus Corp                     | Monroe Capital Income Plus Corp                     | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    500000 | PA      | $482541.50    | 0.34%             |  |  |  | No            | N/A                | On Loan: No      |
| Oak Institutional Credit Solutions, LLC             | Oak Institutional Credit Solutions, LLC             | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   3625000 | PA      | $3711833.25   | 2.63%             |  |  |  | No            | N/A                | On Loan: No      |
| Ciel at Cedar Mill Senior Living                    | Ciel at Cedar Mill Senior Living                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $745408.50    | 0.53%             | 2027-10-03      | Floating      | 8.68%                 | No            | 3                  | On Loan: No      |
| Dodson Courtyard Apartments Owner, LLC              | Dodson Courtyard Apartments Owner, LLC              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $749308.50    | 0.53%             | 2027-02-27      | Fixed         | 10.43%                | No            | 3                  | On Loan: No      |
| PFF LLC 10                                          | PFF LLC 10                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    600000 | PA      | $531072.00    | 0.38%             | 2027-05-21      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| PFF LLC 11                                          | PFF LLC 11                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $964050.00    | 0.68%             | 2026-07-25      | Fixed         | 11.16%                | No            | 3                  | On Loan: No      |
| PFF LLC 12                                          | PFF LLC 12                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $478899.50    | 0.34%             | 2026-08-15      | Fixed         | 11.72%                | No            | 3                  | On Loan: No      |
| PFF LLC 13                                          | PFF LLC 13                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $849911.00    | 0.60%             | 2027-10-24      | Fixed         | 15.00%                | No            | 3                  | On Loan: No      |
| PFF LLC 1                                           | PFF LLC 1                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1506125 | PA      | $1394355.46   | 0.99%             | 2026-06-18      | Fixed         | 12.11%                | No            | 3                  | On Loan: No      |
| PFF LLC 2                                           | PFF LLC 2                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1506125 | PA      | $1468703.82   | 1.04%             | 2026-06-19      | Fixed         | 11.86%                | No            | 3                  | On Loan: No      |
| PFF LLC 3                                           | PFF LLC 3                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1506125 | PA      | $1393733.43   | 0.99%             | 2026-12-18      | Fixed         | 11.61%                | No            | 3                  | On Loan: No      |
| PFF LLC 4                                           | PFF LLC 4                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $694584.75    | 0.49%             | 2026-12-13      | Fixed         | 11.99%                | No            | 3                  | On Loan: No      |
| PFF LLC 5                                           | PFF LLC 5                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1506125 | PA      | $1470673.83   | 1.04%             | 2027-03-31      | Fixed         | 12.36%                | No            | 3                  | On Loan: No      |
| PFF LLC 7                                           | PFF LLC 7                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1000000 | PA      | $958120.00    | 0.68%             | 2026-08-20      | Fixed         | 12.28%                | No            | 3                  | On Loan: No      |
| PFF LLC 8                                           | PFF LLC 8                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $475587.50    | 0.34%             | 2026-09-11      | Fixed         | 11.94%                | No            | 3                  | On Loan: No      |
| XSP US 03/31/26 C686                                | XSP US 03/31/26 C686                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       161 | NC      | $2093.00      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| SPXW US 03/31/26 C6860                              | SPXW US 03/31/26 C6860                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       197 | NC      | $492.50       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2026-05-28

**Name of Applicant:** Denali Structured Return Strategy Fund

**Signature:** /s/ Adam Stewart

**Name of Signer:** Adam Stewart

**Title:** President