Denali Structured Return Strategy Fund
06/05/2026 | Press release | Distributed by Public on 06/05/2026 09:00
Annual Report by Investment Company (Form N-CSR)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------------------------------------------------------
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
811-23918
Investment Company Act file number
--------------------------------------------------------------
Denali Structured Return Strategy Fund
(Exact name of registrant as specified in charter)
--------------------------------------------------------------
3550 Lenox Road NE, Suite 2550
Atlanta, GA 30326
(Address of principal executive offices) (Zip code)
Liquid Strategies, LLC
3550 Lenox Road NE, Suite 2550
Atlanta, GA 30326
(Name and address of agent for service)
--------------------------------------------------------------
770-350-8700
Registrant's telephone number, including area code
Date of fiscal year end: March 31
Date of reporting period: March 31, 2026
Item 1. Reports to Stockholders.
(a)
|
Denali Structured Return Strategy Fund (DNLIX) |
ANNUAL REPORT
March 31, 2026
|
Denali Structured Return Strategy Fund Table of Contents |
|
Shareholder Letter (Unaudited) |
2 |
|
|
Schedule of Investments |
7 |
|
|
Schedule of Written Options |
12 |
|
|
Statement of Assets and Liabilities |
13 |
|
|
Statement of Operations |
14 |
|
|
Statements of Changes in Net Assets |
15 |
|
|
Statement of Cash Flows |
16 |
|
|
Financial Highlights |
18 |
|
|
Notes to Financial Statements |
19 |
|
|
Report of Independent Registered Public Accounting Firm |
31 |
|
|
Shareholder Expense Example (Unaudited) |
32 |
|
|
Additional Information (Unaudited) |
33 |
|
|
Board of Trustees and Officers (Unaudited) |
34 |
1
|
Denali Structured Return Strategy Fund Shareholder Letter March 31, 2026 (Unaudited) |
The investment objective of the Fund is primarily income and secondarily capital appreciation.
Fund Overview
The Denali Structured Return Strategy Fund seeks to provide investors with income and capital appreciation through direct and indirect investments of a substantial majority of its assets in income-generating investments of domestic issuers and through a modest investment in call option spreads on the S&P 500 Index. Income-generating investments may be publicly traded or privately offered, and typically make interest, dividend, or other periodic payments, distributions, and/or accruals.
The Fund utilizes the income from a diversified pool of income-generating investments to systematically purchase quarterly S&P 500 call option spreads, providing defined exposure to potential market gains from the S&P 500 Index. Each quarter, the Fund resets its exposure with the goal of harvesting realized equity upside while limiting the Fund's direct equity-market downside to the net cost of the option spread. The Fund is structured as a continuously offered, non-diversified, closed-end interval fund. The Fund offers daily subscriptions and will offer to make quarterly repurchases at NAV, subject to applicable terms and fund conditions.
Executive Summary
For the fiscal year ended March 31, 2026, the Denali Structured Return Strategy Fund completed its second full annual reporting period and continued to execute its structured return approach through a combination of income-producing private credit investments and quarterly S&P 500 call option spreads. Over the two-year period beginning with the Fund's first full-quarter options period on March 31, 2024, the Fund returned 27.07% cumulatively, net of fees, compared to 27.52% for the S&P 500 Index. While cumulative returns over that period were comparable, the Fund achieved those results with materially lower realized volatility.
The most recent fiscal year included a wide range of market environments. Equity markets advanced during much of 2025, allowing the Fund to participate meaningfully in upside through its call spread exposure. The first quarter of 2026, however, was defined by a sharp deterioration in market sentiment, rising volatility, renewed inflation concerns, and a negative quarterly return for the S&P 500. During that environment, the Fund experienced a smaller drawdown than the index, returning -0.98% for the quarter compared to -4.33% for the S&P 500 Index.
These results are consistent with the Fund's intended design: income generation from a diversified private credit portfolio combined with rules-based, defined upside participation in the S&P 500 through quarterly call spreads. We believe the Fund's performance profile over the past two years is consistent with the Fund's intended design of combining income-oriented investments with defined equity participation.
Past performance does not guarantee future results
Market Overview - March 31, 2026
The first quarter of 2026 was defined by a large shift in equity market sentiment. Entering the year near all-time highs, with the S&P 500 trading around 6,845, the markets appeared poised for a fourth consecutive positive year. That optimism deteriorated quickly as the quarter progressed with the onset of the Iran conflict. This situation contributed to a sharp and sustained rise in oil prices, reigniting inflation concerns that the Fed had worked hard to manage in 2025, leading to broader risk aversion.
The VIX, a measure of the expected volatility of the S&P 500 Index, opened the year at a 14.95, but it ramped up and closed the quarter at 25.25, a level that suggests meaningful market uncertainty rather than routine volatility. The S&P 500 declined -4.33% for the quarter, ending at 6,528. March performance contributed to most of this decline with the S&P 500 finishing down -4.98% for the month. Subsequent to March 31, the equity markets rebounded sharply, led by the technology sector, as market participants began to discount a more rapid resolution to the Iran conflict.
2
|
Denali Structured Return Strategy Fund Shareholder Letter March 31, 2026 (Unaudited) (Continued) |
The Federal Reserve maintained a wait-and-see posture, holding the federal funds rate steady at both its January and March meetings as policymakers continued to weigh inflation pressures against signs of economic softening. For the remainder of 2026, the market, according to the CME Fed Watch, is expecting roughly a 25% chance of a single rate reduction in December, with limited expectations for rate hikes.
For an income-oriented strategy that also relies on quarterly option spreads, this environment had two important implications. First, higher implied volatility increased the cost of equity participation through call spreads. Second, wider credit spreads and higher rates affected valuations across a range of income-oriented and credit-related investments. We believe both factors reinforce the importance of disciplined portfolio construction and ongoing risk management.
Fund Performance Update - Q1 2026
The Fund's structured approach seeks to limit volatility during significant market drawdowns while preserving the ability to participate in defined equity-market upside. The first quarter of 2026 marked the second negative quarterly return for the S&P 500 since the Fund's inception. In both negative quarters, the Fund experienced smaller drawdowns than the index: in the just completed Q1 2026, the S&P 500 declined -4.33% while the Fund returned -0.98%; a year ago, in Q1 2025, the S&P 500 declined -4.27% while the Fund returned -0.27%.
During the first quarter, the Fund's performance of -0.98% versus the S&P 500 of -4.33% unfolded as follows. At the December 31, 2025 close, the Fund established a 6,860 | 7,200 call spread on the S&P 500, providing approximately 4.96% of upside potential from the starting level. With the S&P 500 closing on March 31 at 6,528, well below the 6,860 lower strike, the call spread expired worthless.
During the quarter, the team made one active management decision: closing the short call position at the 7,200 level early in an intra-quarter drawdown, at a cost of less than 10 bps to the Fund. While the S&P 500 ultimately did not approach that level, closing the short call allowed for full upside participation above the long call strike should the market have rebounded before the end of the quarter.
The private credit portfolio contributed approximately 1.4%-1.5% in performance during the quarter, which partially offset the ~2.4% all-in cost of the call spread (inclusive of the short leg close). Compared to prior quarters, the private credit portfolio returns did not offset as much of the cost of the call spread. The net result was a return of -0.98%, resulting in a smaller drawdown relative to the index during the quarter and consistent with the Fund's stated investment approach.
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the Financial Highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
3
|
Denali Structured Return Strategy Fund Shareholder Letter March 31, 2026 (Unaudited) (Continued) |
Since inception 3/11/2024 - 3/31/2026. Past performance does not predict future performance. Does not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance Review
Stepping back and viewing the full two-year track record, since the Fund's first full-quarter options period began on March 31, 2024, Denali has returned 27.07% cumulatively, net of fees, compared to the S&P 500's 27.52%. While total returns have been relatively comparable, the path to achieving those returns has been meaningfully different. Denali has delivered its performance with significantly lower realized volatility, 4.95% annualized, compared to 13.00% for the S&P 500, resulting in a Sharpe ratio (a measure of risk-adjusted return that compares an investment's excess return to its volatility) of 1.62 for the Fund versus 0.73 for the index over this period. Observed volatility reflects both the Fund's portfolio structure and valuation practices applicable to certain portfolio holdings.
In up-market quarters such as Q2 2024, Q3 2024, Q4 2024, Q2 2025, Q3 2025, and Q4 2025, the Fund captured meaningful upside through its call spread, in several cases reaching or nearing its cap. In the two down-market quarters, Q1 2025 and Q1 2026, the Fund's structure contained losses to a fraction of the index's decline. This is the trade-off the strategy is designed to deliver: defined, rules-based upside participation in exchange for defined downside exposure relative to the index. The results to date are consistent with the strategy's intended design.
Private Credit Portfolio
The income-generating portion of the portfolio, primarily composed of niche private credit investments, continued to provide the income base used to support the Fund's quarterly call option exposure to the S&P 500 Index. This portion of the portfolio also remains central to the Fund's objectives of primarily generating income and secondarily seeking capital appreciation.
The private credit portfolio remained well diversified throughout the quarter, investing across 21 strategy partners with 50+ individual investments. The weighted average loan-to-value finished the quarter at approximately 57%, and cash levels have hovered between 5% - 10% throughout the quarter.
During Q1, the portfolio exited consumer lending exposure, allowing capital to be redeployed, and was able to recycle that capital opportunistically into other exposures. No new strategy types or asset classes were added in the quarter, and the Team's focus has been primarily on expanding the pipeline, monitoring existing investments, and maintaining appropriate position sizing across the portfolio.
4
|
Denali Structured Return Strategy Fund Shareholder Letter March 31, 2026 (Unaudited) (Continued) |
The quarter's private credit return contribution was modestly below expectations, with performance of approximately 1.4% - 1.5% for the first quarter of 2026. During the quarter, markets experienced higher volatility, rising interest rates, and wider credit spreads, conditions that affected a broad range of income-oriented and credit-related investments. This resulted in market value adjustments to some of our portfolio investments and contributed to the Fund's quarterly result. We continue to monitor these developments closely while maintaining a focus on credit discipline, diversification, and liquidity management.
Outlook for Q2 2026
The following discussion reflects current portfolio positioning and expectations, which are subject to change.
On March 31, 2026, the Fund closed the Q1 call spread and opened a new 6,535 | 6,860 S&P 500 call spread for Q2. This spread provides for approximately 4.97% of upside participation from the starting level. The cost of purchasing the Q2 spread was higher than in prior quarters due to the rise in implied volatility and higher option prices. When the cost of the call spread increases, stronger performance from the credit side of the portfolio is required to fund that higher amount. If that performance does not materialize, the Fund may lag the S&P 500 in a rising equity market during the quarter. Conversely, if equity markets remain under pressure, the Fund's downside exposure to the index is limited to the net cost of the option spread, while the income-generating portfolio may help offset some of that cost.
As we look ahead, we continue to implement the Fund's approach as described: a rules-based strategy that seeks meaningful equity upside participation through S&P 500 call spreads funded by a diversified portfolio of private credit investments. Two years in, the track record reflects the strategy's design. We appreciate the continued trust and confidence of our shareholders and remain committed to managing the Fund with discipline, transparency, and a focus on long-term alignment with investors. Actual outcomes may differ materially based on market conditions, volatility levels, credit performance, valuation and execution.
Disclosures
An investment in the Fund's shares is subject to risks. The value of the Fund's investments will increase or decrease based on changes in the prices of the investments it holds. This will cause the value of the Fund's shares to increase or decrease. You could lose money by investing in the Fund. By itself, the Fund does not constitute a complete investment program. Before investing in the Fund, investors should carefully consider the Fund's investment objectives, risks, charges and expenses, together with the other information contained in the prospectus. All returns referenced are quoted net of fees.
Since the Fund is non-diversified, it is subject to a greater reduction of capital and greater volatility than a fund more proportionately allocated among a larger number of securities. The Fund is relatively new and has limited operating history by which to evaluate its performance. There can be no assurance that the Fund's strategy will be successful. The Fund may use leverage, including through borrowing, which increases both the potential for gain and the risk of loss.
Shares of the Fund are not listed on any securities exchange, which makes them inherently illiquid. There is no secondary market for the Fund's shares, and it is not anticipated that a secondary market will develop. Shares of the Fund are not redeemable. As a result, an investment in the Fund may not be suitable for investors who may need access to their invested capital within a specified time frame.
Although the Fund intends to offer to repurchase at least 5% of its outstanding shares at NAV on a quarterly basis pursuant to its repurchase policy, the Fund is not required to repurchase shares at a shareholder's option, and shares will not be exchangeable for units, interests or shares of any security. The Fund is not required to extend, and shareholders should not expect the Board of Trustees to authorize, repurchase offers in excess of 5% of outstanding shares. Regardless of Fund performance, investors may not be able to sell or otherwise liquidate their shares when desired and, except to the extent permitted under the Fund's quarterly repurchase policy, will be unable to reduce exposure during periods of market decline.
The Fund may invest a portion of its assets in securities with speculative characteristics, including lower-rated or unrated debt securities commonly referred to as "high-yield" or "junk" bonds. These investments involve greater risk of default, loss of principal and price volatility.
5
|
Denali Structured Return Strategy Fund Shareholder Letter March 31, 2026 (Unaudited) (Continued) |
Call Option Spread Risk:
The Adviser uses call option spreads in an effort to capture a portion of positive equity market returns while limiting exposure to significant equity market losses. When the Fund purchases a call option, the Fund obtains the right, but not the obligation, to buy an asset at a specified strike price during a specified time period. The Fund generally purchases call options with strike prices near the current level of the S&P 500® Index and simultaneously writes call options with higher strike prices, typically approximately 5% above the then-current index level.
Call options and call option spreads may expire worthless in flat or declining equity markets and may fail to provide participation in positive equity market returns. The Fund does not invest directly in the constituent securities of the S&P 500® Index and therefore will not fully participate in broad equity market appreciation. The cost of maintaining call spreads may increase due to higher implied volatility or option pricing, which may reduce Fund performance. The Adviser may utilize over-the-counter options, which subject the Fund to counterparty credit risk. There can be no assurance that the Fund's call spread strategy will achieve its intended results.
Investors should consider the investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the Fund. For a prospectus or summary prospectus, please visit the Documents section at www.LSfunds.com/DNLIX or call 1-800-632-4027. Please read the prospectus carefully before investing.
Liquid Strategies, LLC ("Liquid") is an independent investment adviser registered with the U.S. Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration as an investment adviser does not imply any specific level of skill or training. Additional information regarding Liquid, including its investment strategies, fees and objectives, is available in Form ADV Part 2A and Form CRS.
All content is provided on an "as is" basis without warranties of any kind. Information contained herein has been obtained from sources believed to be reliable; however, Liquid Strategies, LLC does not guarantee its accuracy or completeness. Information may be superseded by subsequent market events or other circumstances, and Liquid undertakes no obligation to update or revise such information.
Options trading involves significant risk and is not suitable for all investors. Options may be highly volatile and may lower total returns. Even well-structured options strategies may result in losses due to market conditions or unforeseen events. Investors should carefully review the disclosure document Characteristics and Risks of Standardized Options, available at www.theocc.com, before engaging in options transactions.
Investing involves risk, including possible loss of principal. Past performance does not guarantee future results. Investors should consult with their financial, legal and/or tax advisers before making any investment decision.
Distributed by Foreside Fund Services, LLC, which is not affiliated with the Adviser.
6
|
Denali Structured Return Strategy Fund Schedule of Investments March 31, 2026 |
|
Shares / |
First |
Cost / |
Value |
|||||||
|
INVESTMENTS IN PRIVATE INVESTMENT VEHICLES - 39.4% |
||||||||||
|
Non-Listed BDC's - 0.3% |
||||||||||
|
Direct Lending |
||||||||||
|
Monroe Capital Income Plus Corporation (a) |
48,356 |
8/9/2024 |
$ |
500,000 |
$ |
482,542 |
||||
|
Total Investment in Non-Listed BDC's |
500,000 |
482,542 |
||||||||
|
Partnerships - 38.3% |
||||||||||
|
Asset Backed Lending - 8.4% |
||||||||||
|
BasePoint Income Solutions Evergreen Fund L.P. (a)(b) |
9/30/2025 |
2,300,000 |
2,410,191 |
|||||||
|
Coromandel Credit Income Evergreen Fund LP (a)(b) |
8/4/2025 |
9,500,000 |
9,529,994 |
|||||||
|
Consumer Lending - 7.0% |
||||||||||
|
HFSA, LLC (a)(b) |
3/12/2024 |
9,924,500 |
9,924,500 |
|||||||
|
Diversified Alternative Credit - 7.9% |
||||||||||
|
Bay Point Capital Partners II, LP (a)(b) |
7/31/2025 |
285,793 |
301,453 |
|||||||
|
Ivy Evergreen Fund QP, LP (b)(c) |
12/1/2025 |
7,637,441 |
7,676,861 |
|||||||
|
Revere Specialty Finance Fund, LP (a)(b) |
5/1/2024 |
3,200,000 |
3,258,202 |
|||||||
|
Legal Finance - 4.9% |
||||||||||
|
EAJF Leveraged Feeder LP (a)(b) |
5/1/2025 |
5,700,000 |
6,494,512 |
|||||||
|
Virage Opportunity Fund LP (a)(b)(f) |
11/15/2024 |
482,611 |
482,611 |
|||||||
|
Real Estate - 8.1% |
||||||||||
|
Oak Institutional Credit Solutions, LLC (a)(b) |
4/23/2024 |
3,625,000 |
3,635,857 |
|||||||
|
Revere Tactical Opportunities Fund IV, LP (a)(b) |
3/6/2025 |
3,800,000 |
3,856,389 |
|||||||
|
Tailor Ridge Real Estate Lending Fund I, LP (a)(b) |
9/2/2025 |
3,800,000 |
3,906,153 |
|||||||
|
Specialty Finance - 2.0% |
||||||||||
|
Aero Capital Solutions Fund IV, LP (a)(b)(f) |
2/7/2025 |
1,497,129 |
1,852,193 |
|||||||
|
DelGatto Diamond Finance Fund, L.P. (a)(b) |
7/2/2024 |
900,000 |
1,030,664 |
|||||||
|
Total Investment in Partnerships |
52,652,474 |
54,359,580 |
||||||||
|
Special Purpose Vehicles - 0.8% |
||||||||||
|
Consumer Lending - 0.5% |
||||||||||
|
LS Hive, LLC (b)(c) |
2/5/2026 |
750,000 |
749,732 |
|||||||
|
Real Estate - 0.3% |
||||||||||
|
Peachtree Group PCF IV LO Atlanta 3343 SIDE CAR LLC (a)(b)(f) |
10/16/2025 |
420,000 |
415,579 |
|||||||
|
Total Investment in Special Purpose Vehicles |
1,170,000 |
1,165,311 |
||||||||
|
Total Investment in Private Investment Vehicles |
56,007,433 |
|||||||||
The accompanying notes are an integral part of the financial statements.
7
|
Denali Structured Return Strategy Fund Schedule of Investments March 31, 2026 (Continued) |
|
Shares / |
First |
Cost / |
Value |
|||||||
|
INVESTMENTS IN LOANS - 35.6% |
||||||||||
|
Senior Secured Debt - 21.6% |
||||||||||
|
Asset Backed Lending - 2.4% |
||||||||||
|
Coromandel LS 15 LLC, 03/01/2027, 12.68%, SOFR + 9.00% (c) |
8/4/2025 |
$ |
2,705,715 |
$ |
2,697,086 |
|||||
|
Coromandel LS 16 LLC, 03/08/2027, 12.68%, SOFR + 9.00% (c) |
8/8/2025 |
200,000 |
199,438 |
|||||||
|
Coromandel LS 17 LLC, 04/15/2027, 12.68%, SOFR + 9.00% (c) |
9/15/2025 |
500,000 |
497,652 |
|||||||
|
Direct Lending - 7.8% |
||||||||||
|
CA CO SPV, LLC, 06/30/2027, 12.00% (c) |
7/3/2024 |
4,600,000 |
4,628,262 |
|||||||
|
CA Credit SPV, LLC, 06/30/2027, 12.25% (c) |
6/6/2024 |
1,400,000 |
1,408,256 |
|||||||
|
RIM SPV, LLC, 09/30/2028, 14.00% (c) |
2/21/2025 |
5,017,000 |
5,041,062 |
|||||||
|
Legal Finance - 1.6% |
||||||||||
|
Virage Opportunity Fund Credit Facility, 12/20/2028, 18.25% (c) |
12/20/2024 |
2,316,439 |
2,330,787 |
|||||||
|
Media Finance - 0.5% |
||||||||||
|
C-Cubed 308 Productions, 10/17/2026, 0.00% cash or 21.60% PIK (c) |
10/17/2025 |
650,000 |
644,768 |
|||||||
|
Real Estate - 3.0% |
||||||||||
|
EWP LS Funding, LLC, 12/17/2028, 0.00% cash or 15.00% PIK (c) |
12/17/2025 |
1,250,000 |
1,241,469 |
|||||||
|
EWP Oceana Garage SPV LLC A, 10/30/2027, 0.00% cash or 16.00% PIK (c) |
10/30/2025 |
2,000,000 |
1,992,032 |
|||||||
|
EWP Oceana Garage SPV LLC B, 10/30/2027, 18.00% (c) |
10/30/2025 |
1,000,000 |
996,402 |
|||||||
|
Specialty Finance - 5.6% |
||||||||||
|
Assil New York, 09/10/2026, 13.20% (c) |
9/10/2025 |
1,500,000 |
1,498,671 |
|||||||
|
Assil New York I, 08/06/2026, 13.20% (c) |
2/6/2026 |
1,500,000 |
1,498,558 |
|||||||
|
Jewelry World, 06/09/2026, 13.20% (c) |
12/9/2025 |
250,000 |
249,900 |
|||||||
|
Safdico I, 10/17/2026, 13.20% (c) |
10/16/2025 |
750,000 |
749,896 |
|||||||
|
Safdico II, 11/25/2026, 13.20% (c) |
11/28/2025 |
1,000,000 |
999,629 |
|||||||
|
SD Diamonds, LLC III, 06/03/2026, 13.20% (c) |
12/3/2025 |
325,000 |
324,868 |
|||||||
|
Wrist Aficionado III, 06/24/2026, 13.20% (c) |
2/26/2026 |
1,000,000 |
999,465 |
|||||||
|
Yafa II, 09/26/2026, 13.20% (c) |
9/26/2025 |
500,000 |
499,585 |
|||||||
|
Yafa III, 10/09/2026, 13.20% (c) |
10/8/2025 |
375,000 |
374,991 |
|||||||
|
Yafa IV, 09/05/2026, 13.20% (c) |
3/5/2026 |
500,000 |
499,704 |
|||||||
|
Trade Receivables Finance - 0.7% |
||||||||||
|
CRWD Specialty Finance LLC, 11/17/2026, 18.00% (c) |
5/17/2024 |
1,000,000 |
1,000,143 |
|||||||
|
Total Investment in Senior Secured Debt |
30,339,154 |
30,372,624 |
||||||||
|
Senior Unsecured Debt - 5.0% |
||||||||||
|
Diversified Alternative Credit - 0.3% |
||||||||||
|
Ivy Battery, LLC, 01/24/2027, 12.25% (c) |
4/23/2024 |
417,944 |
416,887 |
|||||||
|
Trade Receivables Finance - 4.7% |
||||||||||
|
Altriarch Specialty Finance SPV II, LLC, 12/31/2026, 8.00% (c) |
4/19/2024 |
6,687,594 |
6,636,703 |
|||||||
|
Total Investment in Senior Unsecured Debt |
7,105,538 |
7,053,590 |
||||||||
The accompanying notes are an integral part of the financial statements.
8
|
Denali Structured Return Strategy Fund Schedule of Investments March 31, 2026 (Continued) |
|
Shares / |
First |
Cost / |
Value |
|||||||
|
Subordinate Debt - 9.0% |
||||||||||
|
Trade Receivables Finance |
||||||||||
|
PFF LLC 1, 06/18/2026, 0.00% cash or 12.11% PIK (c) |
12/18/2024 |
$ |
1,594,555 |
$ |
1,482,785 |
|||||
|
PFF LLC 2, 06/19/2026, 0.00% cash or 11.86% PIK (c) |
12/18/2024 |
1,594,269 |
1,556,848 |
|||||||
|
PFF LLC 3, 12/18/2026, 0.00% cash or 11.61% PIK (c) |
6/18/2024 |
1,598,421 |
1,486,029 |
|||||||
|
PFF LLC 4, 12/13/2026, 0.00% cash or 11.99% PIK (c) |
12/13/2024 |
795,513 |
740,098 |
|||||||
|
PFF LLC 5, 03/31/2027, 0.00% cash or 12.36% PIK (c) |
12/18/2024 |
1,600,355 |
1,564,904 |
|||||||
|
PFF LLC 6, 01/24/2027, 0.00% cash or 12.01% PIK (c) |
1/24/2025 |
1,060,797 |
1,000,068 |
|||||||
|
PFF LLC 7, 08/20/2026, 0.00% cash or 12.28% PIK (c) |
2/20/2025 |
1,062,169 |
1,020,289 |
|||||||
|
PFF LLC 8, 09/11/2026, 0.00% cash or 11.94% PIK (c) |
3/11/2025 |
530,211 |
505,799 |
|||||||
|
PFF LLC 9, 05/09/2026, 0.00% cash or 11.63% PIK (c) |
5/9/2025 |
529,416 |
523,076 |
|||||||
|
PFF LLC 10, 05/21/2027, 0.00% cash or 12.25% PIK (c) |
5/21/2025 |
637,209 |
568,281 |
|||||||
|
PFF LLC 11, 07/25/2026, 0.00% cash or 11.16% PIK (c) |
5/9/2025 |
1,056,421 |
1,020,471 |
|||||||
|
PFF LLC 12, 08/15/2026, 0.00% cash or 11.72% PIK (c) |
5/21/2025 |
529,654 |
508,554 |
|||||||
|
PFF LLC 13, 10/24/2027, 0.00% cash or 15.00% PIK (c) |
5/21/2025 |
1,066,391 |
916,302 |
|||||||
|
Total Investment in Subordinate Debt |
13,655,381 |
12,893,504 |
||||||||
|
Total Investment in Loans |
50,319,718 |
|||||||||
|
INVESTMENTS IN LOAN PARTICIPATION - 6.1% |
||||||||||
|
Other - 1.3% |
||||||||||
|
Real Estate |
||||||||||
|
RF JV NPL LLC (c) |
4/25/2025 |
1,500,000 |
1,826,848 |
|||||||
|
Total Investment in Other |
1,500,000 |
1,826,848 |
||||||||
|
Senior Secured Debt - 3.7% |
||||||||||
|
Direct Lending - 2.1% |
||||||||||
|
IVY Auto 1, 12/24/2026, 13.50% (c) |
10/24/2024 |
500,000 |
500,213 |
|||||||
|
IVY Auto 2, 01/07/2027, 13.50% (c) |
11/8/2024 |
300,000 |
300,445 |
|||||||
|
IVY Auto 3, 10/19/2026, 13.50% (c) |
1/13/2025 |
300,000 |
300,938 |
|||||||
|
IVY Auto 4, 05/25/2026, 13.50% (c) |
3/26/2025 |
250,000 |
250,067 |
|||||||
|
IVY Auto 5, 07/07/2026, 13.50% (c) |
5/9/2025 |
300,000 |
300,088 |
|||||||
|
IVY Auto 6, 07/20/2026, 13.50% (c) |
5/21/2025 |
500,000 |
500,255 |
|||||||
|
IVY Auto 7, 08/10/2026, 13.50% (c) |
6/11/2025 |
250,000 |
250,115 |
|||||||
|
IVY Auto 8, 01/15/2027, 14.00% (c) |
1/16/2026 |
378,300 |
377,656 |
|||||||
|
Real Estate - 0.5% |
||||||||||
|
Ciel at Cedar Mill Senior Living, 10/03/2027, 9.50%, SOFR + 5.00% (c) |
10/30/2025 |
750,000 |
745,408 |
|||||||
|
Real Estate Debt - 1.1% |
||||||||||
|
Coromandel LS LLC Beta Corp, 06/30/2028, 13.63%, SOFR + 9.95% (c) |
4/29/2025 |
1,006,250 |
1,005,744 |
|||||||
|
Coromandel LS LLC Beta SPV, 06/30/2028, 13.63%, SOFR + 12.19% (c) |
4/29/2025 |
743,750 |
742,164 |
|||||||
|
Total Investment in Senior Secured Debt |
5,278,300 |
5,273,093 |
||||||||
|
Senior Unsecured Debt - 0.4% |
||||||||||
|
Diversified Alternative Credit |
||||||||||
|
IVY Iron, LLC, 01/03/2027, 13.50% (c) |
11/4/2024 |
500,000 |
500,421 |
|||||||
|
Total Investment in Senior Unsecured Debt |
500,000 |
500,421 |
||||||||
The accompanying notes are an integral part of the financial statements.
9
|
Denali Structured Return Strategy Fund Schedule of Investments March 31, 2026 (Continued) |
|
Shares / |
First |
Cost / |
Value |
|||||||
|
Subordinate Debt - 0.7% |
||||||||||
|
Consumer Lending - 0.2% |
||||||||||
|
Revere BCF Funding, LLC, 04/23/2030, 14.98%, SOFR + 14.00% (c) |
8/1/2025 |
$ |
306,040 |
$ |
305,202 |
|||||
|
Real Estate - 0.5% |
||||||||||
|
Dodson Courtyard Apartments Owner, LLC, 03/31/2027, 11.25%, SOFR + 6.75% (c) |
12/5/2025 |
750,000 |
749,308 |
|||||||
|
Total Investment in Subordinate Debt |
1,056,040 |
1,054,510 |
||||||||
|
Total Investment in Loan Participation |
8,654,872 |
|||||||||
|
INVESTMENTS IN PROFIT SHARE INTEREST - 2.5% |
||||||||||
|
Participation - 2.5% |
||||||||||
|
Specialty Finance |
||||||||||
|
Bijan & Co. Inc, 09/10/2026, 13.80% (c) |
9/10/2024 |
225,000 |
225,000 |
|||||||
|
B.R Diamonds, 08/28/2026, 13.80% (c) |
8/28/2025 |
162,500 |
162,500 |
|||||||
|
Luxtech II, 06/12/2026, 13.80% (c) |
12/11/2024 |
100,000 |
100,000 |
|||||||
|
PGA Mastermind, 08/12/2026, 13.80% (c) |
2/11/2025 |
750,000 |
750,000 |
|||||||
|
Rafael Koblence I, 07/25/2026, 13.80% (c) |
7/24/2025 |
650,000 |
650,000 |
|||||||
|
Rio Diamond MFG Corp, 10/02/2026, 13.80% (c) |
4/4/2025 |
300,000 |
300,000 |
|||||||
|
Rio Diamond MFG Corp I, 07/10/2026, 13.80% (c) |
7/9/2025 |
500,000 |
500,000 |
|||||||
|
Safdico, 05/08/2026, 13.80% (c) |
10/31/2024 |
675,000 |
675,000 |
|||||||
|
Total Investment in Participation |
3,362,500 |
3,362,500 |
||||||||
|
Total Investment in Profit Share Interest |
3,362,500 |
|||||||||
|
INVESTMENTS IN PREFERRED EQUITY - 2.2% |
||||||||||
|
Other - 2.2% |
||||||||||
|
Real Estate |
||||||||||
|
Revere Capital Los Alamos MF LLC, 14.00% (c) |
6/27/2024 |
3,114,714 |
3,115,904 |
|||||||
|
Total Investment in Preferred Equity |
3,114,714 |
3,115,904 |
||||||||
|
INVESTMENTS IN PUBLIC SECURITIES - 3.7% |
||||||||||
|
Closed-End Funds - 1.8% |
||||||||||
|
Cliffwater Enhanced Lending Fund - Class I |
229,667 |
2,286,432 |
2,528,633 |
|||||||
|
Total Investment in Closed-End Funds |
2,286,432 |
2,528,633 |
||||||||
|
Open-End Funds - 1.9% |
||||||||||
|
Holbrook Structured Income Fund - Class I |
274,928 |
2,700,000 |
2,677,802 |
|||||||
|
Total Investment in Open-End Funds |
2,700,000 |
2,677,802 |
||||||||
|
Total Investment in Public Securities |
5,206,435 |
|||||||||
|
INVESTMENTS IN MONEY MARKET INSTRUMENTS - 8.3% |
||||||||||
|
First American Treasury Obligations Fund - Class X, 3.59% (d) |
11,768,309 |
11,768,309 |
11,768,309 |
|||||||
|
Total Investment in Money Market Instruments |
11,768,309 |
11,768,309 |
||||||||
The accompanying notes are an integral part of the financial statements.
10
|
Denali Structured Return Strategy Fund Schedule of Investments March 31, 2026 (Continued) |
|
Contracts |
Notional |
Cost / |
Value |
|||||||||
|
INVESTMENTS IN PURCHASED OPTIONS - 4.4% |
||||||||||||
|
Call Options - 4.4% |
||||||||||||
|
S&P 500 Index |
||||||||||||
|
Expiration: 06/30/2026; Exercise: $6,535.00 (e) |
215 |
$ |
140,363,180 |
$ |
6,261,668 |
$ |
6,261,445 |
|||||
|
Total Investment in Purchased Options |
6,261,668 |
6,261,445 |
||||||||||
|
Total Investments - 102.2 (cost $143,250,510) |
144,696,616 |
|||||||||||
|
Liabilities in Excess of Other Assets - (2.2)% |
(3,086,933 |
) |
||||||||||
|
TOTAL NET ASSETS - 100.0% |
$ |
141,609,683 |
||||||||||
Percentages are stated as a percent of net assets.
BDC Business Development Company
LLC Limited Liability Company
LP Limited Partnership
PIK Payment in Kind
SOFR Secured Overnight Financing Rate
SPV Special Purpose Vehicle
(a) Investment valued using net asset value per share (or its equivalent) as a practical expedient. See Note 9 for respective investment strategies, unfunded commitments, and redemptive restrictions.
(b) Private investment company does not issue shares or units.
(c) Value was determined using significant unobservable inputs. See Note 9 for details.
(d) The rate shown represents the 7-day annualized yield as of March 31, 2026.
(e) Exchange traded. 100 shares per contract.
(f) All or a portion of this security is unfunded.
The accompanying notes are an integral part of the financial statements.
11
|
Denali Structured Return Strategy Fund Schedule of Written Options March 31, 2026 |
|
Contracts |
Notional |
Value |
|||||||||
|
WRITTEN OPTIONS - (1.7)% |
|||||||||||
|
Call Options - (1.7)% |
|||||||||||
|
S&P 500 Index |
|||||||||||
|
Expiration: 06/30/2026; Exercise: $6,860.00 (a) |
(215 |
) |
$ |
(140,363,180 |
) |
$ |
(2,464,545 |
) |
|||
|
Total Written Options (Premiums Received $2,464,322) |
(2,464,545 |
) |
|||||||||
Percentages are stated as a percent of net assets.
(a) Exchange traded. 100 shares per contract.
The accompanying notes are an integral part of the financial statements.
12
|
Denali Structured Return Strategy Fund Statement of Assets and Liabilities March 31, 2026 |
|
Assets |
|||
|
Investments, at value |
$ |
144,696,616 |
|
|
Receivable for investments sold |
2,464,322 |
||
|
Receivable for fund shares sold |
1,184,799 |
||
|
Dividends and interest receivable |
1,182,325 |
||
|
Receivable for distributions from private investment vehicles |
1,009,446 |
||
|
Deposits at broker for options contracts |
130,502 |
||
|
Prepaid expenses and other assets |
41,424 |
||
|
Total assets |
150,709,434 |
||
|
Liabilities |
|||
|
Payable for investments purchased |
6,261,668 |
||
|
Written option contracts, at value |
2,464,545 |
||
|
Payable to Adviser, net of waiver (recoupment) |
167,222 |
||
|
Payable for audit fees |
106,798 |
||
|
Payable for fund administration and accounting fees |
46,259 |
||
|
Payable for transfer agent fees |
20,924 |
||
|
Payable for expenses and other liabilities |
32,335 |
||
|
Total liabilities |
9,099,751 |
||
|
Net Assets |
$ |
141,609,683 |
|
|
Net Assets Consists of: |
|||
|
Paid-in capital |
$ |
141,594,060 |
|
|
Total distributable earnings (accumulated losses) |
15,623 |
||
|
Net Assets |
$ |
141,609,683 |
|
|
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
13,153,776 |
||
|
Net Asset Value, redemption price and offering price per share |
$ |
10.77 |
|
|
Cost: |
|||
|
Investments |
$ |
143,250,510 |
|
|
Premiums received, written options |
$ |
2,464,322 |
The accompanying notes are an integral part of the financial statements.
13
|
Denali Structured Return Strategy Fund Statement of Operations For the Year Ended March 31, 2026 |
|
Investment Income |
||||
|
Interest income |
$ |
6,915,999 |
||
|
Distributions from private investment companies |
3,905,925 |
|||
|
Profit share income |
807,273 |
|||
|
Payment in kind income |
780,881 |
|||
|
Dividend income |
654,519 |
|||
|
Total investment income |
13,064,597 |
|||
|
Expenses |
||||
|
Investment advisory fee (See Note 4) |
2,078,766 |
|||
|
Fund administration and accounting fees |
150,011 |
|||
|
Legal fees |
108,297 |
|||
|
Audit fees |
102,098 |
|||
|
Transfer agent fees |
69,801 |
|||
|
Federal and state registration fees |
69,663 |
|||
|
Reports to shareholders |
41,178 |
|||
|
Trustees' fees |
33,169 |
|||
|
Broker interest expense |
15,513 |
|||
|
Compliance fees |
10,000 |
|||
|
Custodian fees |
8,737 |
|||
|
Excise tax on undistributed income |
6,674 |
|||
|
Registration fees |
6,528 |
|||
|
Other |
2,908 |
|||
|
Total expenses |
2,703,343 |
|||
|
Expenses waived by Adviser (See Note 4) |
(181,100 |
) |
||
|
Expenses recouped by Adviser (See Note 4) |
389 |
|||
|
Net expenses |
2,522,632 |
|||
|
Net Investment Income (Loss) |
10,541,965 |
|||
|
Realized and Unrealized Gain (Loss) on Investments |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
4,184,501 |
|||
|
Written option contracts expired or closed |
(2,682,718 |
) |
||
|
Net realized gain (loss) |
1,501,783 |
|||
|
Net change in unrealized appreciation/depreciation on: |
||||
|
Investments |
558,405 |
|||
|
Written option contracts |
(1,094 |
) |
||
|
Net change in unrealized appreciation/depreciation |
557,311 |
|||
|
Net realized and unrealized gain (loss) on investments |
2,059,094 |
|||
|
Net increase (decrease) in net assets resulting from operations |
$ |
12,601,059 |
The accompanying notes are an integral part of the financial statements.
14
|
Denali Structured Return Strategy Fund Statements of Changes in Net Assets |
|
Year Ended |
Year Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income (loss) |
$ |
10,541,965 |
$ |
4,182,916 |
||||
|
Net realized gain (loss) on investments and written options |
1,501,783 |
271,685 |
||||||
|
Net change in unrealized appreciation/depreciation on investments and written options |
557,311 |
889,460 |
||||||
|
Net increase (decrease) in net assets resulting from operations |
12,601,059 |
5,344,061 |
||||||
|
From Distributions |
||||||||
|
Distributable earnings |
(12,625,723 |
) |
(5,303,537 |
) |
||||
|
Total distributions |
(12,625,723 |
) |
(5,303,537 |
) |
||||
|
Fund Capital Shares Transactions |
||||||||
|
Subscriptions |
68,279,915 |
92,443,805 |
||||||
|
Redemptions |
(25,998,312 |
) |
(3,033,369 |
) |
||||
|
Reinvestments |
7,026,237 |
2,760,083 |
||||||
|
Net increase (decrease) in net assets resulting from capital share transactions |
49,307,840 |
92,170,519 |
||||||
|
Total Increase (Decrease) in Net Assets |
49,283,176 |
92,211,043 |
||||||
|
Net Assets |
||||||||
|
Beginning of year |
92,326,507 |
115,464 |
||||||
|
End of year |
$ |
141,609,683 |
$ |
92,326,507 |
||||
|
Changes in Shares Outstanding |
||||||||
|
Beginning shares |
8,662,949 |
11,493 |
||||||
|
Subscriptions |
6,163,835 |
8,668,992 |
||||||
|
Redemptions |
(2,307,816 |
) |
(273,887 |
) |
||||
|
Reinvestments |
634,808 |
256,351 |
||||||
|
Net increase (decrease) in shares outstanding |
4,490,827 |
8,651,456 |
||||||
|
Ending shares |
13,153,776 |
8,662,949 |
||||||
The accompanying notes are an integral part of the financial statements.
15
|
Denali Structured Return Strategy Fund Statement of Cash Flows |
|
Year Ended |
||||
|
Cash Provided by (Used in) Operating Activities |
||||
|
Net increase (decrease) in net assets from operations |
$ |
12,601,059 |
||
|
Adjustments to reconcile net increase (decrease) in net assets resulting from operations |
||||
|
Purchases of investment securities |
(77,041,889 |
) |
||
|
Sales of investment securities |
31,991,136 |
|||
|
Purchased option transactions |
(21,067,042 |
) |
||
|
Proceeds from purchased options |
22,782,360 |
|||
|
Premiums received from written options |
6,484,046 |
|||
|
Premiums paid on closing written options |
(7,884,205 |
) |
||
|
(Purchases) and sales of short-term investments, net |
(3,396,054 |
) |
||
|
Payment in kind income |
(780,881 |
) |
||
|
Net realized (gain) loss on investments and written options |
(1,501,783 |
) |
||
|
Net change in unrealized (appreciation)/depreciation on investments and written options |
(557,311 |
) |
||
|
Net amortization and accretion of premium and discount on investments and other cost adjustments |
11,492 |
|||
|
(Increase) Decrease in Assets: |
||||
|
Investments paid in advance |
750,000 |
|||
|
Receivable for investments sold |
(761,450 |
) |
||
|
Receivable for distributions from private investment vehicles |
(613,346 |
) |
||
|
Dividends and interest receivable |
(316,093 |
) |
||
|
Prepaid expenses and other assets |
(3,729 |
) |
||
|
Increase (Decrease) in Liabilities: |
||||
|
Payable for investments purchased |
2,861,116 |
|||
|
Payable to Adviser, net of waiver (recoupment) |
2,919 |
|||
|
Payable to trustees |
(552 |
) |
||
|
Payable for fund administration and accounting fees |
(10,207 |
) |
||
|
Payable for transfer agent fees |
(5,976 |
) |
||
|
Payable for audit fees |
49,799 |
|||
|
Payable for expenses and other liabilities |
(74,396 |
) |
||
|
Accrued organizational expenses |
(3,983 |
) |
||
|
Accrued offering costs |
(33,956 |
) |
||
|
Net cash provided by (used in) operating activities |
(36,518,926 |
) |
||
The accompanying notes are an integral part of the financial statements.
16
|
Denali Structured Return Strategy Fund Statement of Cash Flows (Continued) |
|
Year Ended |
||||
|
Cash Provided by (Used in) Financing Activities |
||||
|
Proceeds from shares sold, net of receivable for fund shares sold |
$ |
68,695,937 |
||
|
Payment on shares redeemed |
(25,998,312 |
) |
||
|
Cash distributions paid to shareholders |
(6,052,704 |
) |
||
|
Net cash provided by (used in) financing activities |
36,644,921 |
|||
|
Net increase (decrease) in cash and restricted cash |
$ |
125,995 |
||
|
Cash and Restricted Cash |
||||
|
Beginning Balance |
4,507 |
|||
|
Ending Balance |
$ |
130,502 |
||
|
Reconciliation of Restricted and Unrestricted Cash at the Beginning of the Year to the Statement of Assets & Liabilities: |
||||
|
Cash |
- |
|||
|
Deposits at broker for options contracts |
4,507 |
|||
|
Total restricted and unrestricted cash at beginning of year |
$ |
4,507 |
||
|
Reconciliation of Restricted and Unrestricted Cash at the End of the Year to the Statement of Assets & Liabilities: |
||||
|
Cash |
- |
|||
|
Deposits at broker for options contracts |
130,502 |
|||
|
Total restricted and unrestricted cash at end of year |
$ |
130,502 |
||
|
Supplemental Information of Cash Flow and Non-Cash Information |
||||
|
Cash financing activities - decrease in receivable for fund shares sold |
$ |
(416,022 |
) |
|
|
Cash financing activities - decrease in distributions payable |
(453,218 |
) |
||
|
Non-Cash financing activities - reinvestment of distributions reinvested |
7,026,237 |
|||
|
Non-Cash operating activities - payment in kind income |
780,881 |
|||
The accompanying notes are an integral part of the financial statements.
17
|
Denali Structured Return Strategy Fund Financial Highlights |
|
Year Ended |
Year Ended |
Period Ended |
||||||||||
|
Per Share Data: |
||||||||||||
|
Net Asset Value, Beginning of Year or Period |
$ |
10.66 |
$ |
10.05 |
$ |
10.00 |
||||||
|
Investments Operations: |
||||||||||||
|
Net investment income (loss)(b) |
0.93 |
0.88 |
0.13 |
|||||||||
|
Net realized and unrealized gain (loss) on investments(c) |
0.28 |
0.54 |
(0.08 |
) |
||||||||
|
Total from investment operations |
1.21 |
1.42 |
0.05 |
|||||||||
|
Less distributions paid from: |
||||||||||||
|
Net investment income |
(0.95 |
) |
(0.42 |
) |
- |
|||||||
|
Capital gains |
(0.15 |
) |
(0.39 |
) |
- |
|||||||
|
Return of capital |
- |
- |
- |
|||||||||
|
Total distributions paid |
(1.10 |
) |
(0.81 |
) |
- |
|||||||
|
Net Asset Value, End of Year or Period |
$ |
10.77 |
$ |
10.66 |
$ |
10.05 |
||||||
|
Total return(d) |
11.40 |
% |
14.17 |
% |
0.50 |
% |
||||||
|
Supplemental Data and Ratios: |
||||||||||||
|
Net assets, end of year or period (000's) |
$ |
141,610 |
$ |
92,327 |
$ |
115 |
||||||
|
Ratio of expenses to average net assets: |
||||||||||||
|
Before expense reimbursement/recoupment(e)(f) |
2.14 |
% |
2.77 |
% |
993.31 |
% |
||||||
|
Before expense reimbursement/recoupment excluding broker interest expense(e)(f) |
2.13 |
% |
2.77 |
% |
993.31 |
% |
||||||
|
After expense reimbursement/recoupment(e)(f) |
2.00 |
% |
1.99 |
% |
1.99 |
% |
||||||
|
After expense reimbursement/recoupment excluding broker interest expense(e)(f) |
1.99 |
% |
1.99 |
% |
1.99 |
% |
||||||
|
Ratio of net investment income to average net assets after expense reimbursement/recoupment(e)(f)(g) |
8.37 |
% |
8.09 |
% |
23.32 |
% |
||||||
|
Portfolio turnover rate(d) |
37 |
% |
9 |
% |
0 |
% |
||||||
(a) Commencement of operations of the Fund was March 12, 2024.
(b) Net investment income per share was calculated using average shares outstanding during the year or period.
(c) Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statement of Operations due to share transactions for the year or period.
(d) Not annualized for periods less than one year.
(e) The ratios of expenses and net investment income to average net assets do not reflect the Fund's proportionate share of income and expenses of underlying investment companies in which the Fund invests, including management and performance fees.
(f) Annualized for periods less than one year.
(g) As of March 31, 2026, the Fund's underlying investment companies included a range of management fees from 0.00% to 2.25% (unaudited) and performance fees from 10% to 20% (unaudited).
The accompanying notes are an integral part of the financial statements.
18
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 |
1. Organization
Denali Structured Return Strategy Fund (the "Fund") was organized as a statutory trust under the laws of the state of Delaware on October 23, 2023, and commenced operations on March 12, 2024. The Fund is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a continuously-offered, closed-end management investment company that operates as an interval fund. The Fund's investment objective is primarily income and secondarily capital appreciation. The Fund is non-diversified and pursues its investment objective through direct and indirect investment of a substantial majority of its assets in income-generating investments of domestic issuers; and through a modest (approximately one and a half to three percent of total assets) investment in call option spreads on the S&P 500® Index. These investments may be publicly-traded or privately-offered, and typically make interest, dividend, or other periodic payments, distributions, and/or accruals; in addition to offering potential capital appreciation to investors. The Fund defines income-generating investments to include notes, bonds, debentures, loans, loan participations, dividend-paying preferred and common shares and funds that invest in the preceding.
The Fund is managed by Liquid Strategies, LLC (the "Adviser"). The Adviser is an investment adviser registered with the Securities and Exchange Commission ("SEC").
The Fund's Board of Trustees (the "Board" or "Trustees") is responsible for the overall management of the Fund, including supervision of the duties performed by the Adviser.
2. Significant Accounting Policies
The Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America ("GAAP"). The Fund is an investment company and applies the specialized accounting and reporting guidance in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 Financial Services - Investment Companies. The functional and reporting currency of the Fund is the U.S. dollar. Following are the significant accounting policies adopted by the Fund:
A. Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, recognition of income, and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from those estimates.
B. Fund Expenses
The Fund bears its own operating expenses subject to an expense limitation and reimbursement agreement discussed in Note 4. These operating expenses include, but are not limited to: all investment-related expenses, advisory fees, registration expenses, legal fees, audit and tax preparation fees and expenses, administrative and accounting expenses and fees, transfer agent fees, custody fees, costs of insurance, fees and travel-related expenses of the Board, and all costs and expenses of preparing, setting in type, printing and distributing reports and other communications to shareholders.
C. Investment Transactions and Investment Income
Securities transactions are recorded on the trade date. Realized gains and losses from securities transactions are calculated on a specific identification cost basis. Interest income, including amortization of premium and accretion of discount, is recognized on the accrual basis. Dividend income is recorded on the ex-dividend date. Distributions received from investments in securities and private funds that represent a return of capital or capital gains are recorded as a reduction of cost or as a realized gain, respectively. Distributions from private funds occur at irregular intervals and the exact timing and character has not been communicated from the private funds. It is estimated that distributions will occur over the life of the private funds.
Investments structured with payment in kind ("PIK") or accrued interest generally earn interest on a current basis, but such interest is not paid in cash as earned. Instead, interest either remains accrued on the investment or is periodically added to principal, and is generally payable upon maturity, repayment, or another specified payment event. These structures are subject to the risk that the borrower may default when cash interest or principal payments become due.
19
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
The Fund may acquire income-generating equity membership interests into business entities that generate income from investment into interest bearing notes or loans from investments into other business or consumer lending portfolios. Profit share income is recognized on an accrual basis and reported as profit share income on the Fund's Statement of Operations. The Fund accrues income daily and will adjust accruals as information is received based on the best available information regarding the performance from the underlying investment, which may occur at irregular intervals.
D. Distributions to Shareholders
The Fund's distributions, typically quarterly, may be funded from unlimited amounts of offering proceeds or borrowings, which may constitute a return of capital and reduce the amount of capital available to the Fund for investment. Any capital returned to shareholders through distributions will be distributed after payment of fees and expenses.
E. Investment Valuation
In computing the net asset value ("NAV"), portfolio securities of the Fund are valued at their current market values determined on the basis of market quotations. If market quotations are not readily available (collectively, "Fair Valued Securities"), securities are valued at fair value as determined by the Adviser, in its capacity as the Valuation Designee (the "Valuation Designee"). The Board has delegated the day-to-day responsibility for determining these fair values in accordance with the policies it has approved for each period end. Fair valuation involves subjective judgments, and it is possible that the fair value determined for a security may differ materially from the value that could be realized upon the sale of the security. There is no single standard for determining fair value of a security. Rather, the fair value determinations involve significant professional judgment in the application of both observable and unobservable attributes, and as a result, the calculated NAVs of the Fair Valued Securities' assets may differ from their actual realizable value or future fair value. In determining the fair value of a security for which there are no readily available market quotations, the Adviser may consider several factors, including fundamental analytical data relating to the investment in the security, the nature and duration of any restriction on the disposition of the security, the cost of the security at the date of purchase, the liquidity of the market for the security as well as overall market information and the prices of a group of similar assets. The Adviser may also consider periodic financial statements (audited and unaudited) or other information provided by the issuer to investors or prospective investors.
The Fund's investments in pooled investment vehicles will be fair valued at the cost of the security as of the date of purchase and subsequently valued at the pooled investment vehicle's NAV, as determined by such pooled investment vehicle's manager.
For purposes of determining the NAV of the Fund, readily marketable portfolio securities listed on the New York Stock Exchange ("NYSE") are valued, except as indicated below, at the last sale price reflected on the consolidated tape at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and asked prices on such day. If no bid or asked prices are quoted on such day or if market prices may be unreliable because of events occurring after the close of trading, then the security is valued by such method as the Adviser determines in good faith to reflect its fair market value. Readily marketable securities not listed on the NYSE but listed on other domestic or foreign securities exchanges are valued in a like manner. Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined as reflected on the consolidated tape at the close of the exchange representing the principal market for such securities. Securities trading on the NASDAQ Global Market®, NASDAQ Global Select Market® and the NASDAQ Capital Market® exchanges (collectively, "NASDAQ") are valued at the NASDAQ official closing price.
Readily marketable securities traded in the over-the-counter market, including listed securities whose primary market is believed by the Adviser to be over-the-counter, are valued at the mean of the current bid and asked prices as reported by the NASDAQ or, in the case of securities not reported by the NASDAQ or a comparable source, as the Adviser deems appropriate to reflect their fair market value. Where securities are traded on multiple markets, including exchanges and over-the-counter markets, the securities are generally valued using quotations from the principal market, or, in the absence of a principal market, the market determined by the valuation designee to be most representative of fair value, subject to Board oversight.
Non-dollar-denominated securities, if any, are valued as of the close of the NYSE at the closing price of such securities in their principal trading market, but may be valued at fair value if subsequent events occurring before the computation of NAV materially have affected the value of the securities. Trading may take place in foreign issues held by the Fund, if any, at times
20
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
when the Fund is not open for business. As a result, the Fund's NAV may change at times when it is not possible to purchase or sell shares of the Fund. The Fund may use a third-party pricing service to assist it in determining the market value of securities in the Fund's portfolio.
Exchange-traded options are valued at last sale price.
The Adviser provides the Board with periodic reports that discuss the functioning of the fair valuation process, if applicable to that period, and that identify issues and valuations problems that have arisen, if any.
F. Cash and Cash Equivalents
Cash and cash equivalents include liquid investments of sufficient credit quality with original maturities of three months or less from the date of purchase.
G. Income Taxes
The Fund intends to continue to qualify to be taxed as a "regulated investment company" under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Fund generally will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. The Fund generally intends to operate in a manner such that it will not be liable for federal income or excise taxes.
The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions when the positions are more likely than not to be sustained. Management is not aware of any exposure to uncertain tax positions that could require accrual.
As of March 31, 2026, the Fund's most recent fiscal year end, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the year ended March 31, 2026, the Fund's most recent fiscal period end, the Fund did not incur any interest or penalties.
The Fund utilizes a tax year-end of March 31. The Fund's Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
H. Indemnifications
Under the Fund's organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnification to other parties. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred and may not occur. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
I. Segment Reporting
The Fund has one reportable segment. Business activities are managed on a consolidated basis and revenues are derived primarily through the Fund's investments in accordance with its investment objective. The Fund's chief operating decision maker ("CODM") is the Principal Executive Officer and the Principal Financial Officer. The CODM assesses performance based on the Fund's Total Return as reported in the Financial Highlights, and the same accounting policies are applied as described in the summary of significant accounting policies. The Fund's Total Return is utilized by the CODM to compare results, including the impact of the Fund's costs, to the Fund's competitors and to the Fund's benchmark index.
3. Investment Transactions
For the year ended March 31, 2026, the Fund purchased (at cost) and sold interests (proceeds) in investment securities in the amount of $84,000,974 and $40,441,136 (excluding short-term securities), respectively.
21
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
4. Fees and Other Related Party Transactions
The Fund has entered into an investment advisory agreement with the Adviser. Under the investment advisory agreement, the Fund pays the Adviser a monthly fee, which is calculated and accrued monthly (the "Advisory Fee"), at the annual rate of 1.65% of the Fund's average daily net assets. For the year ended March 31, 2026, the Fund incurred $2,078,766 in advisory fees under the agreement.
The Adviser and the Fund have entered into an expense limitation and reimbursement agreement under which the Adviser has agreed contractually to waive its management fees and to pay or absorb the ordinary operating expenses of the Fund (including organizational and offering expenses, but excluding interest, dividends, amortization/accretion and interest on securities sold short, brokerage commissions, acquired fund fees and expenses and extraordinary expenses), to the extent that the management fees plus the Fund's ordinary annual operating expenses exceed 1.99% per annum of the Fund's average daily net assets through at least July 31, 2027. In consideration of the Advisor's agreement to limit the Fund's expenses, any waiver and reimbursement by the Adviser is subject to repayment by the Fund within the three years from the date the Adviser waived or made any reimbursement payment, if the Fund is able to make the repayment (after the repayment amount is taken into consideration) without exceeding the lesser of the expense limitation in place at the time of the waiver or the current expense limitation and the repayment is approved by the Board of Trustees. The expense limitation and reimbursement agreement may not be terminated by the Adviser, but it may be terminated by the Board upon written notice to the Adviser.
During the year ended March 31, 2026, the Adviser waived $181,100 of expenses and the Fund repaid $389 of previously waived expenses to the Adviser. The amounts subject to repayment by the Fund, pursuant to the aforementioned conditions at March 31, 2026, are included in the table below.
|
Total Waived Expenses |
Recoverable Expenses |
Recoverable Expenses |
Recoverable Expenses |
Recoverable Expenses |
||||
|
$669,562 |
$33,956 |
$52,837 |
$401,669 |
$181,100 |
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Fund Services"), an indirect wholly-owned subsidiary of U.S. Bancorp, serves as the Fund's Administrator ("Administrator") and, in that capacity, performs various administrative and accounting services for the Fund. Fund Services also serves as the Fund's fund accountant and transfer agent. The Administrator prepares various federal and state regulatory filings, reports and returns for the Fund; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Fund's custodian; coordinates the preparation and payment of the Fund's expenses and reviews the Fund's expense accruals. As compensation for its services, the Administrator is entitled to a monthly fee at an annual rate based upon the average daily net assets of the Fund. U.S. Bank, N.A. (the "Custodian") serves as custodian to the Fund. These fees are included in the Administration, Fund accounting, Transfer agent, and Custodian line items that are reflected in the Statement of Operations.
The Fund has engaged Foreside Fund Services, LLC to serve as the Fund's distributor.
5. Trustees and Officers
The Board has overall responsibility to manage and control the business affairs of the Fund, including the complete and exclusive authority to oversee and to establish policies regarding the management, conduct and operation of the Fund's business. The Board exercises the same powers, authority and responsibilities on behalf of the Fund as are customarily exercised by the board of directors of a registered investment company organized as a corporation. Each Trustee who is not an "interested person," as defined in the 1940 Act, as amended, of the Fund, as well as Niagara Income Opportunities Fund, an affiliated registrant not disclosed in this report, is each paid an annual fee of $10,000 plus $2,000 per in-person meeting and $500 per electronic meeting. All Trustees are reimbursed by the Fund for any reasonable expenses incurred attending such meetings. One of the Trustees is an employee of the Adviser and receives no compensation from the Fund for serving as a Trustee.
The officers of the Fund are affiliated with the Adviser. All such affiliated officers receive no compensation from the Fund for serving in their respective roles.
22
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
6. Repurchase Offers
The Fund operates as an "interval fund" pursuant to Rule 23c-3 under the 1940 Act. The Board has adopted a fundamental policy that the Fund will make quarterly repurchase offers pursuant to Rule 23c-3 under the 1940 Act, as such rule may be amended from time to time, for between 5% and 25% of the shares of beneficial interest ("Shares") outstanding at NAV, unless suspended or postponed in accordance with regulatory requirements. Each repurchase pricing shall occur no later than the 14th day after the Repurchase Request Deadline (as defined in the Fund's Prospectus), or the next business day if the 14th day is not a business day. The Fund will not be required to repurchase Shares at a shareholder's option nor will Shares be exchangeable for units, interests or shares of any investment of the Fund. In connection with each repurchase offer, it is possible that the Fund may offer to repurchase only the minimum amount of 5% of its outstanding Shares. It is also possible that a repurchase offer may be oversubscribed, with the result that shareholders may only be able to have a portion of their Shares repurchased. The Fund does not intend to list its Shares in the foreseeable future. The Shares are, therefore, not readily marketable. Even though the Fund will make quarterly repurchase offers to repurchase a portion of the Shares to provide liquidity to shareholders, investors should consider the Shares to be illiquid. The Fund's fundamental policy requires the Fund to make repurchase offers every three months. Quarterly repurchases occur in the months of March, June, September, and December. During the year ended March 31, 2026, the Fund completed four repurchase offers:
|
Repurchase |
Repurchase |
NAV on |
Number of |
Percentage of |
Number of |
Value of |
||||||
|
5/30/25 |
6/20/25 |
$11.07 |
516,429 |
5.7% |
593,533 |
$6,570,405 |
||||||
|
8/29/25 |
9/19/25 |
11.49 |
575,596 |
4.2% |
488,038 |
5,607,551 |
||||||
|
11/28/25 |
12/19/25 |
11.53 |
618,188 |
6.1% |
751,239 |
8,661,789 |
||||||
|
2/27/26 |
3/20/26 |
10.86 |
670,082 |
3.5% |
475,006 |
5,158,567 |
7. Risk Factors
The Fund is a closed-end investment company that operates as an interval fund. It is designed for long-term investors and not as a trading vehicle. Unlike many closed-end investment companies, the Fund's shares are not listed on any securities exchange and are not publicly traded. There is currently no secondary market for the shares and the Fund expects that no secondary market will develop. Liquidity is provided to shareholders only through the Fund's quarterly repurchase offers for no less than 5% of the shares outstanding at NAV. There is no guarantee that shareholders will be able to sell all of the shares they desire in a quarterly repurchase offer.
Participation Agreements and Assignments: The Fund enters into participation agreements pursuant to which one or more participants purchase an interest in a loan; however, a designated lead lender remains the sole lender of record. The lead lender is responsible for originating the loan, retaining control over the loan, managing the relationship with the borrower, and handling all communications with the borrower, as well as servicing the loan for both itself and the participants. The other participants generally have a contractual relationship with the lead lender, rather than with the borrower, unless otherwise specified in the participation agreement. Accordingly, such participants do not have direct claims against the borrower and must instead seek reimbursement for their participation interests from the lead lender.
Profit Sharing Agreements: The Fund may acquire income-generating equity membership interests into business entities that generate income from investment into interest bearing notes or loans from investments into other business or consumer lending portfolios.
The Fund may be materially affected by market, economic and political conditions globally and in the jurisdictions and sectors in which it invests or operates, including factors affecting interest rates, the availability of credit, currency exchange rates and trade barriers. These factors are outside the Adviser's control and could adversely affect the liquidity and value of the Fund's investments, and may reduce the ability of the Fund to make attractive new investments.
23
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
In particular, economic and financial market conditions began to significantly deteriorate around 2007 and early 2020 as compared to prior periods. Global financial markets experienced considerable declines in the valuations of debt and equity securities, an acute contraction in the availability of credit and the failure of a number of leading financial institutions. As a result, certain government bodies and central banks worldwide, including the U.S. Treasury Department and the U.S. Federal Reserve, undertook unprecedented intervention programs, the effects of which remain uncertain. The U.S. economy has experienced and continues to experience relatively high levels of constrained lending. Although certain financial markets have shown some recent signs of the improvement, to the extent economic conditions experienced recently, they may adversely impact the investments of the Fund. Low interest rates related to monetary stimulus and economic stagnation may also negatively impact expected returns on investments in such an environment. Trends and historical events do not imply, forecast or predict future events and past performance is not necessarily indicative of future results. There can be no assurance that the assumptions made or the beliefs and expectations currently held by the Adviser will prove correct, and actual events and circumstances may vary significantly.
The Fund may be subject to risk arising from a default by one of several large institutions that are dependent on one another to meet their liquidity or operational needs, so that a default by one institution may cause a series of defaults by the other institutions. This is sometimes referred to as "systemic risk" and may adversely affect financial intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges, with which the Fund interacts on a daily basis.
In addition, the Fund is subject to the risk that geopolitical and other events will disrupt the economy on a national or global level. For instance, war, terrorism, market manipulation, government defaults, government shutdowns, political changes or diplomatic developments, climate change and climate-related events, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters can all negatively impact the securities markets, which could cause the Fund to lose value. The lingering effects of COVID-19 and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, have had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may negatively impact the performance of the Fund's investments or decrease the liquidity of those investments. Therefore, the Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns.
8. Derivative Transactions
The Fund may purchase and write put and call options on indices and enter into related closing transactions. All options written on indices or securities must be covered, the Fund will segregate cash and/or other liquid assets in an amount equal to the Fund's obligations. Put and call options on indices give the holder the right to receive, upon exercise of the option, an amount of cash if the closing level of the underlying index is greater than (or less than, in the case of puts) the exercise price of the option. This amount of cash is equal to the difference between the closing price of the index and the exercise price of the option, expressed in dollars multiplied by a specified number. The premium paid to the writer is the consideration for undertaking the obligations under the option contract.
The Fund uses call option spreads to capture a portion of positive equity market returns without exposing the Fund to significant equity market losses. The Fund purchasing put and call options pay a premium; therefore, if price movements in the underlying securities are such that exercise of the options would not be profitable for the Fund, loss of the premium paid may be offset by an increase in the value of the Fund's securities or by a decrease in the cost of acquisition of securities by the Fund. When the Fund writes an option, if the underlying securities do not increase or decrease to a price level that would make the exercise of the option profitable to the holder thereof, the option generally will expire without being exercised and the Fund will realize as profit the premium received for such option. When an index call option of which the Fund is the writer is exercised, the Fund will be required to deliver a cash amount commensurate to if they were to sell the underlying securities to the option holder at the strike price and will not participate in any increase in the price of such securities above the strike price. When an index put option of which the Fund is the writer is exercised, the Fund will be required to deliver a cash amount commensurate to if they were to purchase the underlying securities at a price in excess of the market value of such securities. The Fund maintains minimal counterparty risk through contracts bought or sold on an exchange. As of March 31, 2026, the Fund's derivative instruments are not subject to a master netting arrangement.
24
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
The average monthly value outstanding of purchased and written options during the year ended March 31, 2026 was $4,767,933 and $1,230,458 respectively.
The following is a summary of the effect of derivative instruments on the Fund's Statements of Assets and Liabilities as of March 31, 2026:
|
Equity Risk Contracts |
Asset |
Liability |
||||
|
Purchased Options |
$ |
6,261,445 |
$ |
- |
||
|
Written Options |
$ |
- |
$ |
2,464,545 |
||
The following is a summary of the effect of derivative instruments on the Fund's Statement of Operations for the year ended March 31, 2026:
|
Net Realized Gain (Loss) |
Net Change in Unrealized |
||||||||||||||
|
Purchased |
Written |
Purchased |
Written |
||||||||||||
|
Equity Risk Contracts |
$ |
4,576,435 |
$ |
(2,682,718 |
) |
$ |
(3,623 |
) |
$ |
(1,094 |
) |
||||
9. Fair Value of Financial Instruments
The Fund has adopted the authoritative fair valuation accounting standards of ASC 820, Fair Value Measurements and Disclosures, which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below.
Level 1 - Quoted prices in active markets for identical securities.
Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 - Valuations based primarily on inputs that are unobservable and significant.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Valuation Designee's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment. The following section describes the valuation techniques used by the Valuation Designee to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.
Investments whose values are based on quoted market prices in active markets are classified within Level 1. These investments generally include equity securities traded on a national securities exchange, registered investment companies, certain U.S. government securities, certain money market securities, and purchased and written options. The Valuation Designee does not adjust the quoted price for such instruments, even in situations where the Fund holds a large position and a sale could reasonably be expected to impact the quoted price.
25
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs, are classified within Level 2. These investments generally include certain U.S. government and sovereign obligations, most government agency securities, and investment grade corporate bonds.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. When observable prices are not available for these investments, the Valuation Designee uses one or more valuation techniques (e.g., the market approach or income approach) for which sufficient data is available. The selection of appropriate valuation techniques may be affected by the availability of relevant inputs as well as the relative reliability of inputs. In some cases, one valuation technique may provide the best indication of fair value while in other circumstances, multiple valuation techniques may be appropriate. The results of the application of the various techniques may not be equally representative of fair value, due to factors such as assumptions made in the valuation. In some situations, the Valuation Designee may determine it appropriate to evaluate and weigh the results, as appropriate, to develop a range of possible values, with the fair value based on the Valuation Designee's assessment of the most representative point within the range. Investments in special purpose vehicles ("SPV") consist of an investment by the Fund in an entity that invests directly or indirectly in a note secured by the expected value of contingency fees received from future case settlements, real estate, specialty finance investments, and royalties. The debt offerings are short-term in nature and carry a fixed interest rate. During the year ended March 31, 2026, the Investment Manager determined there were minimal credit impairments. Investments in SPV are generally measured based on NAV as a practical expedient. For investments that cannot be measured based on NAV as a practical expedient as of March 31, 2026, the Fund determined its value through a market approach method. These investments are categorized as Level 3 in the fair value hierarchy.
The Fund values private investment companies using the NAVs provided by the underlying private investment companies as a practical expedient. The Fund applies the practical expedient to private investment companies on an investment-by-investment basis, and consistently with the Fund's entire position in a particular investment, unless it is probable that the Fund will sell a portion of an investment at an amount different from the NAV of the investment. Each of these investments has certain restrictions with respect to rights of withdrawal by the Fund as specified in the respective agreements. Generally, the Fund is required to provide notice of its intent to withdraw after the investment has been maintained for a certain period of time.
The following is a summary of the inputs used to value the Fund's investments as of March 31, 2026. Assets valued using NAV as a practical expedient, an indicator of fair value, are listed in a separate column to permit reconciliation to totals in the Statement of Assets and Liabilities.
|
Fair Value Measurements at Reporting Date Using: |
|||||||||||||||||
|
Level 1 |
Level 2 |
Level 3 |
Practical |
Total |
|||||||||||||
|
Assets: |
|||||||||||||||||
|
Private Investment Vehicles |
$ |
- |
$ |
- |
$ |
8,426,593 |
$ |
47,580,840 |
$ |
56,007,433 |
|||||||
|
Loans |
- |
- |
50,319,718 |
- |
50,319,718 |
||||||||||||
|
Loan Participation |
- |
- |
8,654,872 |
- |
8,654,872 |
||||||||||||
|
Profit Share Interest |
- |
- |
3,362,500 |
- |
3,362,500 |
||||||||||||
|
Preferred Equity |
- |
- |
3,115,904 |
- |
3,115,904 |
||||||||||||
|
Public Securities |
5,206,435 |
- |
- |
- |
5,206,435 |
||||||||||||
|
Money Market Instruments |
11,768,309 |
- |
- |
- |
11,768,309 |
||||||||||||
|
Purchased Options |
6,261,445 |
- |
- |
- |
6,261,445 |
||||||||||||
|
Total Assets: |
$ |
23,236,189 |
$ |
- |
$ |
73,879,587 |
$ |
47,580,840 |
$ |
144,696,616 |
|||||||
|
Liabilities: |
|||||||||||||||||
|
Written Options |
$ |
(2,464,545 |
) |
$ |
- |
$ |
- |
$ |
- |
$ |
(2,464,545 |
) |
|||||
|
Total Liabilities: |
$ |
(2,464,545 |
) |
$ |
- |
$ |
- |
$ |
- |
$ |
(2,464,545 |
) |
|||||
Refer to the Schedule of Investments for industry classifications.
26
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
The following table presents the changes in assets and transfers in and out which are classified in Level 3 of the fair value hierarchy for the year ended March 31, 2026:
|
Loans/Credit |
Loan |
Profit Share |
Preferred |
Private |
||||||||||||||
|
March 31, 2025 |
$ |
43,399,500 |
$ |
2,800,000 |
$ |
5,865,000 |
$ |
900,000 |
$ |
- |
||||||||
|
Amortization/Accretion |
(9,057 |
) |
- |
- |
- |
- |
||||||||||||
|
Realized gains (losses) |
(394,615 |
) |
- |
- |
- |
- |
||||||||||||
|
Change in unrealized appreciation/depreciation |
(780,356 |
) |
320,532 |
- |
1,190 |
39,152 |
||||||||||||
|
Transfers into Level 3 |
- |
- |
- |
- |
- |
|||||||||||||
|
Transfers out of Level 3 |
- |
- |
- |
- |
- |
|||||||||||||
|
Purchases |
34,271,596 |
(a) |
6,484,340 |
1,612,500 |
2,214,714 |
8,387,441 |
||||||||||||
|
Sales |
(26,167,350 |
) |
(950,000 |
) |
(4,115,000 |
) |
- |
- |
||||||||||
|
March 31, 2026 |
$ |
50,319,718 |
$ |
8,654,872 |
$ |
3,362,500 |
$ |
3,115,904 |
$ |
8,426,593 |
||||||||
|
Net change in unrealized appreciation/depreciation attributable to Level 3 investments held at March 31, 2026 |
$ |
(780,356 |
) |
$ |
320,532 |
$ |
- |
$ |
1,190 |
$ |
39,152 |
|||||||
(a) Includes payment in kind
The following table summarizes the valuation techniques and significant unobservable inputs used for the Fund's investments that are categorized in Level 3 of the fair value hierarchy as of March 31, 2026:
|
Investments |
Fair Value |
Valuation |
Unobservable |
Range |
Weighted |
Impact to |
|||||||
|
Loans |
$ |
50,319,718 |
Discounted Cash Flow |
Discount Rate |
7.32% - 29.90% |
16.66% |
Decrease |
||||||
|
Credit Quality Adjustment |
0.00% - 13.50% |
3.30% |
Decrease |
||||||||||
|
Loan Participation |
8,654,872 |
Discounted Cash Flow |
Discount Rate |
10.31% - 15.86% |
13.59% |
Decrease |
|||||||
|
Account Value |
Account Value |
121.79 - 121.79 |
121.79 |
Increase |
|||||||||
|
Profit Share Interest |
3,362,500 |
Transaction Price |
Transaction Price |
100.00 - 100.00 |
100.00 |
Increase |
|||||||
|
Preferred Equity |
3,115,904 |
Discounted Cash Flow |
Discount Rate |
18.85% - 18.85% |
18.85% |
Increase |
|||||||
|
Private Investment Vehicles |
8,426,593 |
Account Value |
Account Value |
101.38 - 102.11 |
101.44 |
Increase |
|||||||
During the year, the Fund changed the valuation technique for certain securities from a market approach, which incorporated transaction cost inputs, to an income approach utilizing a discounted cash flow methodology. Management determined that the revised approach better reflects current market participant assumptions and appropriately incorporates security-specific cash flow projections. This change is considered a change in accounting estimate in accordance with U.S. GAAP and has been applied prospectively.
27
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
Loans may be structured to be fully funded at the time of investment or include unfunded loan commitments, which are contractual obligations for future funding. As of March 31, 2026, the Fund had unfunded loan commitments to loans of $0.
The following table represents investment categories, unfunded commitments and redemptive restrictions of investments that are measured at NAV per share (or its equivalent) as a practical expedient as of March 31, 2026:
|
Investment Name |
Investment |
Fair Value |
Total |
Redemption |
Redemption |
Lockup |
Gate |
|||||||||
|
Aero Capital Solutions Fund IV, LP |
Specialty Finance |
$ |
1,852,193 |
$ |
252,871 |
N/A |
N/A |
N/A |
N/A |
|||||||
|
BasePoint Income Solutions Evergreen Fund L.P. |
Asset Backed Lending |
2,410,191 |
- |
Quarterly |
90 days |
2 years |
25% |
|||||||||
|
Bay Point Capital Partners II, LP |
Diversified Alternative Credit |
301,453 |
- |
Quarterly |
30 days |
1 year |
25% |
|||||||||
|
Coromandel Credit Income Evergreen Fund LP |
Asset Backed Lending |
9,529,994 |
- |
Quarterly |
90 days |
2 years |
25% |
|||||||||
|
DelGatto Diamond Finance Fund, L.P. |
Specialty Finance |
1,030,664 |
- |
Monthly |
90 days |
1 year |
25% |
|||||||||
|
EAJF Leveraged Feeder LP |
Legal Finance |
6,494,512 |
- |
Quarterly |
60 days |
3 years |
15% |
|||||||||
|
HFSA, LLC |
Consumer Lending |
9,924,500 |
- |
Monthly except September, October, November, December |
90 days |
N/A |
5% |
|||||||||
|
Monroe Capital Income Plus Corporation |
Direct Lending |
482,542 |
- |
Quarterly |
N/A |
1 year |
5% |
|||||||||
|
Oak Institutional Credit Solutions, LLC |
Real Estate |
3,635,857 |
- |
Quarterly |
90 days |
1 year |
5% |
|||||||||
|
Peachtree Group PCF IV LO Atlanta 3343 SIDE CAR LLC |
Real Estate |
415,579 |
330,000 |
N/A |
N/A |
N/A |
N/A |
|||||||||
|
Revere Specialty Finance Fund, LP |
Diversified Alternative Credit |
3,258,202 |
- |
Quarterly |
60 days |
2 years |
N/A |
|||||||||
|
Revere Tactical Opportunities Fund IV, LP |
Real Estate |
3,856,389 |
- |
Quarterly |
60 days |
2 years |
N/A |
|||||||||
|
Tailor Ridge Real Estate Lending Fund I, LP |
Real Estate |
3,906,153 |
- |
Quarterly |
90 days |
1 year |
25% |
|||||||||
|
Virage Opportunity Fund LP |
Legal Finance |
482,611 |
17,390 |
N/A |
N/A |
N/A |
N/A |
|||||||||
|
Total |
$ |
47,580,840 |
$ |
600,261 |
||||||||||||
28
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
10. Federal Income Tax
The tax characterization of distributions paid for the years ended March 31, 2026 and 2025, were as follows:
|
Distributions Paid from: |
For the Year |
For the Year |
||||
|
Ordinary Income(a) |
$ |
10,877,464 |
$ |
3,895,728 |
||
|
Long-Term Capital Gains |
1,748,259 |
1,407,809 |
||||
(a) Ordinary income may include short-term capital gains
At March 31, 2026, the components of distributable earnings (accumulated losses) and the cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:
|
Tax Cost of Investments |
$ |
143,769,701 |
||
|
Unrealized Appreciation |
2,354,958 |
|||
|
Unrealized Depreciation |
(1,428,043 |
) |
||
|
Net Unrealized Appreciation/(Depreciation) |
926,915 |
|||
|
Undistributed Ordinary Income |
1,390,926 |
|||
|
Undistributed Capital Gains |
- |
|||
|
Other Accumulated Gain/(Loss) |
(2,302,218 |
) |
||
|
Total Distributable Earnings/(Accumulated Losses) |
$ |
15,623 |
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to partnerships.
As of March 31, 2026, the Fund did not have an available capital loss carryforward.
Under current tax law, net capital losses realized after October 31 and net ordinary losses incurred after December 31 may be deferred, and treated as occurring on the first business day of the Fund's following taxable year. For the tax year ended March 31, 2026, the Fund deferred $2,301,995 of post October losses. The Fund did not defer any late year losses.
U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial reporting and tax reporting. These reclassifications have no effect on net assets or NAV per share. These differences were primarily related to distribution reclassifications; the amounts did not affect net assets. The reclassifications were as follows:
|
Paid-in Capital |
Distributable earnings |
|||||
|
$701 |
$(701) |
11. New Accounting Pronouncements and Other Regulatory Matters
In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management has concluded there is no material impact to the Fund's financial statements.
29
|
Denali Structured Return Strategy Fund Notes to Financial Statements March 31, 2026 (Continued) |
12. Subsequent Events
On May 28, 2026, the Fund announced a quarterly offer to repurchase outstanding shares of beneficial interest up to 5% of its issues and outstanding shares at a price equal to the NAV as of the close of business on the repurchase pricing date. The repurchase offer date is May 28, 2026, and the repurchase request deadline is June 18, 2026.
Subsequent to March 31, 2026, the maturity dates of the following securities were extended:
|
Investment Name |
Updated Maturity Date |
|||||
|
Wrist Aficionado III |
06/24/2026 |
|||||
|
Rio Diamond MFG Corp |
10/02/2026 |
|||||
|
Yafa III |
10/09/2026 |
|||||
|
Safdico I |
10/17/2026 |
|||||
|
Ivy Auto 3 |
10/19/2026 |
|||||
|
CRWD Specialty Finance LLC |
11/17/2026 |
|||||
|
Safdico II |
11/25/2026 |
|||||
|
Ivy Auto 1 |
12/24/2026 |
|||||
|
PFF LLC 5 |
03/31/2027 |
In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. Management has determined that other than as disclosed above there are no subsequent events that would need to be recorded or disclosed in the Fund's financial statements.
30
|
Denali Structured Return Strategy Fund Report of Independent Registered Public Accounting Firm |
To the Shareholders and Board of Trustees of
Denali Structured Return Strategy Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedules of investments and written options, of Denali Structured Return Strategy Fund (the "Fund") as of March 31, 2026, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the years ended March 31, 2026, 2025 and for the period from March 12, 2024 (commencement of operations) through March 31, 2024, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of March 31, 2026, the results of its operations and its cash flows for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2026, by correspondence with the custodians, private investment counterparties, participating lenders, underlying fund administrators or managers, and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditors of one or more funds advised by Liquid Strategies, LLC since 2019.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
May 30, 2026
31
|
Denali Structured Return Strategy Fund Shareholder Expense Example March 31, 2026 (Unaudited) |
As a shareholder of the Fund you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (October 1, 2025 through March 31, 2026).
ACTUAL EXPENSES
The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
|
Beginning |
Ending |
Annualized |
Expenses |
|||||||||
|
Denali Structured Return Strategy Fund |
||||||||||||
|
Actual |
$ |
1,000.00 |
$ |
1,014.40 |
2.01 |
% |
$ |
10.09 |
||||
|
Hypothetical (5% return before expenses) |
$ |
1,000.00 |
$ |
1,014.91 |
2.01 |
% |
$ |
10.10 |
||||
(1) Expenses are calculated using the Fund's annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/365 (to reflect the six-month period).
32
|
Denali Structured Return Strategy Fund Additional Information March 31, 2026 (Unaudited) |
N-PORT
The Fund will file its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the SEC on Form N-PORT. The Fund's Form N-PORT will be available without charge by visiting the SEC's Web site at www.sec.gov.
Proxy Voting
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities owned by the Fund and information regarding how the Fund voted proxies relating to the portfolio of securities for the most recent 12-month period ended June 30th are available to shareholders without charge, upon request by calling the Advisor toll free at (800) 251-8112 or on the SEC's web site at www.sec.gov.
Board of Trustees
The Fund's Statement of Additional Information includes additional information about the Fund's Trustees and is available upon request without charge by calling the Advisor toll free at (800) 251-8112 or by visiting the SEC's web site at www.sec.gov.
Forward-Looking Statements
This report contains "forward-looking statements,'' which are based on current management expectations. Actual future results, however, may prove to be different from expectations. You can identify forward-looking statements by words such as "may'', "will'', "believe'', "attempt'', "seem'', "think'', "ought'', "try'' and other similar terms. The Fund cannot promise future returns. Management's opinions are a reflection of its best judgment at the time this report is compiled, and it disclaims any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.
33
|
Denali Structured Return Strategy Fund Board of Trustees and Officers March 31, 2026 (Unaudited) |
The Fund's Statement of Additional Information includes additional information about the Funds' Trustees and Officers, and is available, without charge upon request by calling 1-770-350-5700, or by visiting the Fund's website at lsfunds.com/dnlix.
|
Name, Address and |
Position |
Term of Office |
Principal Occupation(s) |
Number of |
Other |
|
Independent Trustees |
|||||
|
Louis J Douglass, IV, |
Trustee |
Indefinite |
Investment Manager, Argent Financial Group (January 2019 to Present). |
2 |
Trustee, Niagara Income Opportunities Fund (since 2023). |
|
Todd E. Dawes, |
Trustee |
Indefinite |
CIO, Certis Capital (August 2014 to Present); CIO and Founder, Merus Advisors (2014 to Present); President, Amet Partners (May 2022 to Present). |
2 |
Trustee, Niagara Income Opportunities Fund (since 2023). |
|
Jeffrey G. Evans, |
Trustee |
Indefinite |
CFO, Internet2 (a nonprofit internet support services provider) (March 2021 to Present). |
2 |
Trustee, Niagara Income Opportunities Fund (since 2023). |
|
Interested Trustee and Officers |
|||||
|
Adam C. Stewart |
Interested Trustee; Chairman, President, Chief Executive Officer, and Principal Executive Officer |
Indefinite |
Portfolio Manager and Member, Liquid Strategies, LLC (2013 to present). |
2 |
Trustee, Niagara Income Opportunities Fund (since 2023). |
(1) The Fund Complex includes the Fund and Niagara Income Opportunities Fund.
34
|
Denali Structured Return Strategy Fund Board of Trustees and Officers March 31, 2026 (Unaudited) (Continued) |
|
Name, Address and |
Position |
Term of Office |
Principal Occupation(s) During Past 5 Years |
|
Kathryn Bruckert |
Secretary; Treasurer, Chief Financial Officer, Principal Financial Officer, Chief Accounting Officer, and Principal Accounting Officer |
Indefinite |
Controller, Bison Holdings, LLC (a financial services holding company), July 2022 to present; Assistant Controller, Roark Capital (private equity sponsor), August 2021 to July 2022. |
|
Parimal Patel |
Chief Compliance Officer |
Indefinite |
Chief Compliance Officer, Liquid Strategies, LLC, March 2024 to Present; Vice President/Compliance, Voya Investment Management, September 2023 to March 2024; Various Senior Compliance Roles, Invesco US, May 2010 to September 2023. |
35
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
Denali Structured Return Strategy Fund
Fund Service Providers
Investment Adviser
Liquid Strategies, LLC
3550 Lenox Road NE, Suite 2550,
Atlanta, GA 30326
Custodian
U.S. Bank, N.A.
1555 N. River Center Drive, Suite 302,
Milwaukee, WI 53212
Administrator, Fund Accountant, and Transfer Agent
U.S. Bank Global Fund Services
615 East Michigan Street, 3rd Floor,
Milwaukee, WI 53212
Legal Counsel
Thompson Hine LLP
41 South High Street, Suite 1700,
Columbus, OH 43215
Distributor
Foreside Fund Services, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101
Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1835 Market Street, Suite 310
Philadelphia, PA 19103
(b) Not applicable.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant's Principal Executive Officer and Principal Financial Officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant's Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant's board of Trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. Jeffrey Evans is the "audit committee financial expert" and is considered to be "independent" as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. "Audit services" refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. "Audit-related services" refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. "Tax services" refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no "Other services" provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
|
FYE |
FYE |
|||||
|
(a) Audit Fees |
$ |
95,000 |
$ |
90,000 |
||
|
(b) Audit-Related Fees |
$ |
0 |
$ |
0 |
||
|
(c) Tax Fees |
$ |
12,340 |
$ |
12,000 |
||
|
(d) All Other Fees |
$ |
0 |
$ |
0 |
||
(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
(e)(2) The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
|
FYE |
FYE |
|||||
|
Audit-Related Fees |
0 |
% |
0 |
% |
||
|
Tax Fees |
0 |
% |
0 |
% |
||
|
All Other Fees |
0 |
% |
0 |
% |
||
(f) Not applicable
(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant's accountant for services to the registrant and to the registrant's investment adviser (and any other controlling entity, etc. - not sub-adviser) for the last two years.
|
Non-Audit Related Fees |
FYE |
FYE |
||
|
Registrant |
N/A |
N/A |
||
|
Registrant's Investment Adviser |
N/A |
N/A |
(h) The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant's independence.
(i) Not applicable
(j) Not applicable
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1(a) of this Form.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Not applicable to closed-end management investment companies.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable to closed-end management investment companies.
Item 9. Proxy Disclosure for Open-End Management Investment Companies.
Not applicable to closed-end management investment companies.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Not applicable to closed-end management investment companies.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Proxy Voting
Purpose
Fiduciary obligations of prudence and loyalty require an investment adviser with proxy voting responsibility to vote proxies on issues that affect the value of the client's investment.
Rule 206(4)-6 under the Advisers Act requires every investment adviser who exercises voting authority with respect to client securities to adopt and implement written policies and procedures, reasonably designed to ensure that the adviser votes proxies in the best interest of its Clients.
Policy
It is the policy of the Firm to vote proxies in the interest of maximizing value for the Firm's Clients.
Procedures
The Firm assumes voting responsibility for all Client accounts unless explicitly noted otherwise in the Client's advisory agreement. Per the fundamental strategy of the firm, the Adviser will only be invested in a small number of individual securities, primarily in the form of other Exchange Traded Funds (ETFs). The Adviser shall vote Client proxies in a way that it believes will cause securities to increase the most, or decline the least, in value in order to maximize shareholder value. Consideration will be given to both the short- and long-term implications of the proposal to be voted on. The Adviser does not use a third party to vote proxies unless specific circumstances warrant its use.
Preparation of the Form N-PX shall be completed and filed with the SEC annually as required. The Form N-PX is required to be completed by investment companies to disclose their procedures for voting procies and provide details on how the funds proxies were voted.
The Investment Team is responsible for monitoring proxy voting decisions for any conflicts of interests, regardless of whether they are actual or perceived. In addition, all Supervised Persons are expected to perform their tasks relating to the voting of Proxies in accordance with the principles set forth above, according the first priority to the economic interests of the Firm's Clients. If at any time a Supervised Person becomes aware of any potential or actual conflict of interest or perceived conflict of interest regarding the voting policies and procedures described herein or a particular vote on behalf of any Client, he or she should contact any member of the Investment Team or the Firm's CCO. If any Supervised Person is pressured or lobbied either from within or outside of the Firm with respect to a particular voting decision, he or she should contact any member of the Investment Team or the Firm's CCO. The Investment Team will use its best judgment to address any such conflict of interest and ensure that it is resolved in the best interest of the Clients. The Investment Team may cause any of the following actions to be taken in that regard:
If the issue is specifically addressed in these policies and procedures, the Firm will vote in accordance with these policies. In a situation where the issue is not specifically addressed in these policies and procedures and an apparent or actual conflict exists, the Firm shall either: i) delegate the voting decision to an independent third party; ii) inform clients of the conflict of interest and obtain advance consent of a majority of such clients for a particular voting decision; or iii) obtain approval of a voting decision from the Company's CCO, who will be responsible for documenting the rationale for the decision made and voted.
Responsibility
The Investment Team and the CCO are responsible for the Proxy Policy as well as preparation and filing of the Form N-PX.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1)
Mark Garfinkel, CFA®, Shawn Gibson, and Connor Allen serve as the Portfolio Managers for the Fund and responsible for the day-to-day management of the Fund.
Mark Garfinkel, CFA®. Mr. Garfinkel has served a Portfolio Manager of the Adviser since September, 2023. He is a graduate from Vanderbilt University and the Owen Graduate School of Management, where he earned his BA and MBA. He has 25 years of experience in the investment and wealth management industry, receiving his Chartered Financial Analyst designation in 1993 and working in 36 various roles ranging from Personal Trust Portfolio Manager to Chief Investment Officer and Lead Portfolio Manager for a highly successful Small Cap Growth investment fund.
From 1990 - 2006, Mr. Garfinkel worked with SunTrust Banks and Trusco Capital Management for 16 years managing personal trust and institutional equity and balanced portfolios, before developing and launching a Small Cap Growth investment discipline for the firm. From 2006 - 2014, following his tenure with SunTrust, Mr. Garfinkel was a founding partner and Chief Investment Officer for Perimeter Capital Management, where he continued as the Lead Portfolio Manager for the firm's Small Cap Growth Strategy. From 2014 - 2022, Mr. Garfinkel took a brief hiatus from the investment business, serving as the CFO and COO for a small payments technology firm located in the Atlanta area until 2020. Subsequently, Mr. Garfinkel launched his own payments consulting firm, before deciding to return to his roots in investment management. Mr. Garfinkel joined Bison Wealth, LLC, an SEC registered investment adviser, in May 2022 serving as the Head of Investment Policy and Strategy; and continues to hold this position.
Shawn Gibson. Mr. Gibson is a founder of the Adviser and has served as Chief Investment Officer since 2013. He is a graduate of the University of Virginia McIntire School of Commerce, where he earned his BS degree. He has over 25 of investment experience primarily in the area of options trading and options portfolio management. Mr. Gibson started trading options in 1997 with the Timber Hill Group, one of the world's largest options market making firms. While at Timber Hill, he was an options market maker on the floor of the Pacific Exchange and was later promoted to join a small team in Greenwich, CT that was responsible for overseeing the firm's multi-billion dollar options trading portfolio. He subsequently served as Head of Options Strategy and Director of Alternative Investments at BB&T, where he worked with advisors and their clients to develop options-based hedging and yield enhancing strategies.
Mr. Gibson is an active member of his community and was voted as one of the Top 40 leaders under 40 while living in Richmond after being nominated by his peers due to his professional accomplishments and community involvement.
Connor Allen. Mr. Allen has served as a Portfolio Strategist of the Adviser since January 2024.
Previously, from August 2022 to January 2024, he served as a Trader and Technology Specialist at Bison Holdings, LLC (a holding company for investment advisers). He has previously worked on the investment team at The Motley Fool from June 2021 to March 2023 as an Intern and Contributing Writer. Prior to that, he was a part time Intern at True North Investments LLC from May 2020 to May 2022. From August 2018 to May 2022, he was a student at LaGrange College and holds a BBA from LaGrange College.
(a)(2)
As of March 31, 2026, the Portfolio Managers managed the following accounts in addition to the Fund:
|
Mark Garfinkel |
Other Accounts Managed |
Other Accounts Managed |
||||||||
|
Account Type |
Number of |
Assets Under |
Number of |
Assets Under |
||||||
|
Registered Investment Companies |
1 |
$ |
152.17 |
0 |
$ |
0 |
||||
|
Other Pooled Investment Vehicles |
0 |
$ |
0 |
0 |
$ |
0 |
||||
|
Other Accounts |
0 |
$ |
0 |
0 |
$ |
0 |
||||
|
Shawn Gibson |
Other Accounts Managed |
Other Accounts Managed |
||||||||
|
Account Type |
Number of |
Assets Under |
Number of |
Assets Under |
||||||
|
Registered Investment Companies |
9 |
$ |
872.70 |
0 |
$ |
0 |
||||
|
Other Pooled Investment Vehicles |
1 |
$ |
70.89 |
0 |
$ |
0 |
||||
|
Other Accounts |
8 |
$ |
102.69 |
0 |
$ |
0 |
||||
|
Connor Allen |
Other Accounts Managed |
Other Accounts Managed |
||||||||
|
Account Type |
Number of |
Assets Under |
Number of |
Assets Under |
||||||
|
Registered Investment Companies |
1 |
$ |
152.17 |
0 |
$ |
0 |
||||
|
Other Pooled Investment Vehicles |
0 |
$ |
0 |
0 |
$ |
0 |
||||
|
Other Accounts |
0 |
$ |
0 |
0 |
$ |
0 |
||||
Conflicts of Interest
Set out below are practices that the Adviser may follow.
Because each Portfolio Manager has responsibility for managing more than one account, potential conflicts of interest may arise. Those conflicts could include preferential treatment of one account over others in terms of allocation of resources or of investment opportunities for accounts with similar strategies. In addition, the Portfolio Managers, who on behalf of the Adviser provide investment advisory services to the Fund, may be engaged in substantial activities other than on behalf of the Adviser or Fund, may have differing economic interests in respect of such activities, and may have conflicts of interest in allocating their time and activity between the Fund and other accounts. To the extent a conflict of interest arises in connection with a prospective investment by the Fund, the Adviser will take appropriate steps to mitigate that conflict. Such persons devote only so much time to the affairs of the Fund and Adviser as in his or her judgment is necessary and appropriate.
The Adviser and the Portfolio Managers attempt to avoid conflicts of interest that may arise as a result of the management of multiple client accounts. The Adviser and the Portfolio Managers have adopted allocation policies and procedures intended to treat all client accounts (including the Fund) in a fair and equitable manner. Such allocation policies and procedures also apply to situations in which an investment opportunity of a limited amount, size or quantity is appropriate for more than one client account and require that the Adviser allocate investment opportunities among such accounts in a fair and equitable manner (e.g., on a pro rata or alternating basis). To the extent that a Portfolio Manager seeks to purchase or sell the same security for multiple client accounts, the Portfolio Manager may aggregate, or bunch, these orders where he or she deems this to be appropriate and consistent with applicable regulatory requirements. When a bunched order (if any) is filled in its entirety, each participating client account will participate at the average security prices for the bunched order. When a bunched order (if any) is only partially filled, the securities purchased will be allocated on a pro-rata basis to each account participating in the bunched order based on the initial amount requested for the account, subject to certain exceptions. Each participating account will receive the average price for the bunched order on the same business day.
(a)(3)
With respect to the Fund, each Portfolio Manager is compensated with a salary and discretionary bonus paid by the Adviser; and Mr. Gibson receives a share of Adviser profits based upon his ownership interest.
(a)(4)
As of March 31, 2026, Mr. Garfinkel and Mr. Gibson had beneficial ownership of 5,759 and 1,492 shares respectively.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 16. Controls and Procedures.
(a) The Registrant's Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant's service provider.
(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
The registrant did not engage in securities lending activities during the fiscal year reported on this Form N-CSR.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not applicable.
(b) Not applicable.
Item 19. Exhibits.
|
(a) |
(1) |
Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. |
||
|
Filed herewith. |
||||
|
(2) |
Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed. |
|||
|
Not applicable. |
||||
|
(3) |
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)). |
|||
|
Filed herewith. |
||||
|
(4) |
Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. |
|||
|
Not applicable. |
||||
|
(5) |
Change in the registrant's independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. |
|||
|
There was no change in the registrant's independent public accountant for the period covered by this report. |
||||
|
(b) |
Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
|||
|
Furnished herewith. |
||||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
(Registrant) |
Denali Structured Return Strategy Fund |
|
|
By (Signature and Title)* |
/s/ Adam C. Stewart |
|
|
Adam C. Stewart, |
||
|
Principal Executive Officer |
||
|
Date |
5/30/2026 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By (Signature and Title)* |
/s/ Adam C. Stewart |
|
|
Adam C. Stewart, |
||
|
Principal Executive Officer |
||
|
Date |
5/30/2026 |
|
By (Signature and Title)* |
/s/ Kathryn Bruckert |
|
|
Kathryn Bruckert, |
||
|
Principal Financial Officer |
||
|
Date |
5/30/2026 |
* Print the name and title of each signing officer under his or her signature.
Denali Structured Return Strategy Fund published this content on June 05, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on June 05, 2026 at 15:00 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]