# EDGAR Filing Document

**Accession Number:** 0002000182
**File Stem:** 0000894189-25-014264
**Filing Date:** 2025-11
**Character Count:** 33045
**Document Hash:** 56771c1ec2cad9c0894e95354d4073fd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-25-014264.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0000894189-25-014264

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**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:** 251508637

**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:** 2025-09-30

**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:** $128319491.13

**Total Liabilities:** $2856649.90

**Net Assets:** $125462841.23

**Cash Not Reported:** $3313929.07

**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:** 1214.765077000000 | **1-Year:** 1557.405212000000 | **5-Year:** 656.461549000000 | **10-Year:** 3.583846000000 | **30-Year:** 71.795027000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.46%                | 1.53%                | 1.95%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-825460.58                                |
| Month 2  | $3246.46                 | $290465.71                                 |
| Month 3  | $0.00                    | $-45341.67                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Cliffwater Enhanced Lending Fu          | Cliffwater Enhanced Lending Fund         | CUSIP: 18685P108<br>LEI: 549300GSOYHH68H7U345 | Long             | EC               | RF                | US        |    229667 | NS      | $2551599.24   | 2.03%             |  |  |  | No            | 1                  | On Loan: No      |
| First American Treasury Obliga          | First American Treasury Obligations Fund | CUSIP: 31846V328<br>LEI: 549300UU586IAH2B8H03 | Long             | STIV             | RF                | US        |  11004061 | NS      | $11004061.31  | 8.77%             |  |  |  | No            | 1                  | On Loan: No      |
| Holbrook Structured Income Fun          | Holbrook Structured Income Fund          | CUSIP: 90214Q626<br>LEI: 549300VN9LSTDZVMEG10 | Long             | EC               | RF                | US        |    274928 | NS      | $2691548.68   | 2.15%             |  |  |  | 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      | $1700352.28   | 1.36%             |  |  |  | No            | N/A                | On Loan: No      |
| Altriarch SPV Loan                      | Altriarch SPV Loan                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   7600000 | PA      | $7600000.00   | 6.06%             | 2025-12-31      | Fixed         | 8.00%                 | No            | 3                  | On Loan: No      |
| Bay Point                               | Bay Point                                | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    285793 | PA      | $289976.28    | 0.23%             |  |  |  | No            | N/A                | On Loan: No      |
| EAJF Leveraged Feeder LP                | EAJF Leveraged Feeder LP                 | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   5700000 | PA      | $6254535.90   | 4.99%             |  |  |  | No            | N/A                | On Loan: No      |
| C-Cubed NCF                             | C-Cubed NCF                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1300000 | PA      | $1300000.00   | 1.04%             | 2025-11-15      | Fixed         | 18.00%                | No            | 3                  | On Loan: No      |
| Chicago Atlantic Note                   | Chicago Atlantic Note                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1400000 | PA      | $1400000.00   | 1.12%             | 2027-06-30      | Fixed         | 12.50%                | No            | 3                  | On Loan: No      |
| Chicago Atlantic Fund Note              | Chicago Atlantic Fund Note               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   4600000 | PA      | $4600000.00   | 3.67%             | 2027-06-30      | Fixed         | 12.00%                | No            | 3                  | On Loan: No      |
| HFSA LLC                                | HFSA LLC                                 | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |  10674500 | PA      | $11020684.71  | 8.78%             |  |  |  | No            | N/A                | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2025-12-24      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.24%             | 2026-01-07      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.24%             | 2026-03-12      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    250000 | PA      | $250000.00    | 0.20%             | 2026-05-25      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.24%             | 2026-07-07      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-07-20      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Auto Note                           | Ivy Auto Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    250000 | PA      | $250000.00    | 0.20%             | 2026-08-10      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-02-05      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $750000.00    | 0.60%             | 2026-03-01      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    400000 | PA      | $400000.00    | 0.32%             | 2026-03-12      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    750000 | PA      | $750000.00    | 0.60%             | 2026-04-11      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.24%             | 2026-05-25      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    250000 | PA      | $250000.00    | 0.20%             | 2026-07-08      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-07-20      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-11-15      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1200000 | PA      | $1200000.00   | 0.96%             | 2026-06-22      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    600000 | PA      | $600000.00    | 0.48%             | 2026-07-16      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    400000 | PA      | $400000.00    | 0.32%             | 2026-08-23      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2025-09-18      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Bank of Orrick                          | Bank of Orrick                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1500000 | PA      | $1521529.50   | 1.21%             | 2026-12-31      | Fixed         | 15.50%                | No            | 3                  | On Loan: No      |
| Coromandel LS LLC - Funding Account     | Coromandel LS LLC - Funding Account      | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   9500000 | PA      | $9718889.50   | 7.75%             |  |  |  | No            | N/A                | On Loan: No      |
| Coromandel Note                         | Coromandel Note                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   2705715 | PA      | $2705714.58   | 2.16%             | 2027-03-01      | Floating      | 13.24%                | No            | 3                  | On Loan: No      |
| Coromandel Note                         | Coromandel Note                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    200000 | PA      | $200000.00    | 0.16%             | 2027-03-08      | Floating      | 13.24%                | No            | 3                  | On Loan: No      |
| Coromandel Note                         | Coromandel Note                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2027-04-15      | Floating      | 13.24%                | No            | 3                  | On Loan: No      |
| Coromandel LS LLC                       | Coromandel LS LLC                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1006250 | PA      | $1017955.71   | 0.81%             | 2028-06-30      | Floating      | 14.19%                | No            | 3                  | On Loan: No      |
| Coromandel LS LLC                       | Coromandel LS LLC                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    743750 | PA      | $752340.31    | 0.60%             | 2028-06-30      | Floating      | 14.19%                | No            | 3                  | On Loan: No      |
| Delgatto Participation - Auro           | Delgatto Participation - Auro            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    615400 | PA      | $615400.00    | 0.49%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation 1                | Delgatto Participation 1                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    225000 | PA      | $225000.00    | 0.18%             |  |  |  | No            | 3                  | On Loan: No      |
| DELGATTO PARTICIPATION-BRDIA            | DELGATTO PARTICIPATION-BRDIA             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    162500 | PA      | $162500.00    | 0.13%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - LuxTech 2      | Delgatto Participation - LuxTech 2       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     25000 | PA      | $25000.00     | 0.02%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - LuxTech 3      | Delgatto Participation - LuxTech 3       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    100000 | PA      | $100000.00    | 0.08%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - PGAMM          | Delgatto Participation - PGAMM           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    750000 | PA      | $750000.00    | 0.60%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation RAFKA2           | Delgatto Participation RAFKA2            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    650000 | PA      | $650000.00    | 0.52%             |  |  |  | No            | 3                  | On Loan: No      |
| DELGATTO PARTICIPATION - RIODIAMOND2    | DELGATTO PARTICIPATION - RIODIAMOND2     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $500000.00    | 0.40%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - RAFKA          | Delgatto Participation - RAFKA           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    300000 | PA      | $300000.00    | 0.24%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - SAFDICO        | Delgatto Participation - SAFDICO         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    675000 | PA      | $675000.00    | 0.54%             |  |  |  | No            | 3                  | On Loan: No      |
| DELGATTO PARTICIPATION - SDDIA          | DELGATTO PARTICIPATION - SDDIA           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $500000.00    | 0.40%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - WRISTA2        | Delgatto Participation - WRISTA2         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.80%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation- YAFASJ2         | Delgatto Participation- YAFASJ2          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-03-27      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |
| Delgatto Participation - Zoya2          | Delgatto Participation - Zoya2           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    150000 | PA      | $150000.00    | 0.12%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Participation - Zoya           | Delgatto Participation - Zoya            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    300000 | PA      | $300000.00    | 0.24%             |  |  |  | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.24%             | 2026-10-04      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    300000 | PA      | $300000.00    | 0.24%             | 2025-10-19      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    200000 | PA      | $200000.00    | 0.16%             | 2025-12-14      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-01-08      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Battery Note                        | Ivy Battery Note                         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-01-12      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Ivy Iron Note                           | Ivy Iron Note                            | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-01-03      | Fixed         | 13.50%                | No            | 3                  | On Loan: No      |
| Monroe Income Plus Corporation          | Monroe Income Plus Corporation           | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    500000 | PA      | $513219.50    | 0.41%             |  |  |  | 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      | $3713932.13   | 2.96%             |  |  |  | No            | N/A                | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    600000 | PA      | $600000.00    | 0.48%             | 2027-05-21      | Fixed         | 12.25%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.80%             | 2026-01-25      | Fixed         | 11.16%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-08-15      | Fixed         | 11.72%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1506125 | PA      | $1506125.00   | 1.20%             | 2025-12-18      | Fixed         | 12.11%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1506125 | PA      | $1506125.00   | 1.20%             | 2025-09-18      | Fixed         | 11.86%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1506125 | PA      | $1506125.00   | 1.20%             | 2025-12-18      | Fixed         | 11.61%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    750000 | PA      | $750000.00    | 0.60%             | 2025-12-13      | Fixed         | 11.99%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1506125 | PA      | $1506125.00   | 1.20%             | 2026-06-18      | Fixed         | 12.36%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.80%             | 2026-01-24      | Fixed         | 12.01%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.80%             | 2026-08-20      | Fixed         | 12.28%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-09-11      | Fixed         | 11.94%                | No            | 3                  | On Loan: No      |
| Parabilis Note                          | Parabilis Note                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $500000.00    | 0.40%             | 2026-05-09      | Fixed         | 11.63%                | No            | 3                  | On Loan: No      |
| Revere Blue Chip Denali                 | Revere Blue Chip Denali                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    306040 | PA      | $313711.79    | 0.25%             | 2029-03-01      | Floating      | 15.54%                | No            | 3                  | 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      | $3356480.00   | 2.68%             |  |  |  | No            | N/A                | On Loan: No      |
| Revere Specialty Finance REFD           | Revere Specialty Finance REFD            | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   1500000 | PA      | $1581670.50   | 1.26%             |  |  |  | No            | 3                  | On Loan: No      |
| Revere Specialty The Hill               | Revere Specialty The Hill                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   3114714 | PA      | $3268459.40   | 2.61%             | 2026-12-31      | Fixed         | 10.20%                | No            | 3                  | On Loan: No      |
| Revere Specialty The Hill               | Revere Specialty The Hill                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   1500000 | PA      | $1591479.00   | 1.27%             |  |  |  | No            | 3                  | On Loan: No      |
| RevTek SPV Loan                         | RevTek SPV Loan                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |   5650000 | PA      | $5650000.00   | 4.50%             | 2028-09-30      | Fixed         | 14.00%                | No            | 3                  | On Loan: No      |
| TAIRIDGE                                | TAIRIDGE                                 | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |   2500000 | PA      | $2524830.00   | 2.01%             |  |  |  | No            | 3                  | On Loan: No      |
| VOF Loan                                | VOF Loan                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | PF                | US        |   1874914 | PA      | $1874914.33   | 1.49%             | 2028-12-20      | Fixed         | 18.25%                | No            | 3                  | On Loan: No      |
| Virage                                  | Virage                                   | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    404986 | PA      | $404985.72    | 0.32%             |  |  |  | No            | 3                  | On Loan: No      |
| Delgatto Diamond Finance Fund LP        | Delgatto Diamond Finance Fund LP         | CUSIP: N/A<br>LEI: N/A                        | Long             |  | PF                | US        |    900000 | PA      | $985765.50    | 0.79%             |  |  |  | No            | N/A                | On Loan: No      |
| DELGATTO PARTICIPATION - ASSIL          | DELGATTO PARTICIPATION - ASSIL           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1500000 | PA      | $1500000.00   | 1.20%             | 2026-03-10      | Fixed         | 13.20%                | No            | 3                  | On Loan: No      |

### Signature

**Date Signed:** 2025-11-20

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

**Signature:** /s/ Parimal Patel

**Name of Signer:** Parimal Patel

**Title:** Chief Compliance Officer