Cohen & Steers Alternative Income Fund NPORT-P Cohen & Steers Alternative Income Fund, Inc. (Jul 2020 report)

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS

July 31, 2020 (Unaudited)

			Shares		Value
COMMON STOCK	40.6	%
AIRPORTS—FOREIGN	0.2	%
Aena SME SA, 144A (Spain)(a),(b)				334	$	43,549
Airports of Thailand PCL (Thailand)				22,900		37,938
Auckland International Airport Ltd. (New Zealand)				25,739		109,721
						191,208
COMMUNICATIONS	3.0	%
TOWERS	2.7	%
American Tower Corp.				3,926		1,026,217
Crown Castle International Corp.				2,647		441,255
SBA Communications Corp.				2,127		662,646
						2,130,118
TOWERS—FOREIGN	0.3	%
Cellnex Telecom SA, 144A (Spain)(a)				3,217		202,460
TOTAL COMMUNICATIONS						2,332,578
CONSUMER STAPLES	0.8	%
FOOD PRODUCTS	0.2	%
Hormel Foods Corp.				1,928		98,058
Performance Food Group Co.(b)				821		23,005
						121,063
FOOD PRODUCTS—FOREIGN	0.6	%
Wilmar International Ltd. (Singapore)				147,100		497,228
TOTAL CONSUMER STAPLES						618,291
CONSUMER—NON-CYCLICAL	2.0	%
AGRICULTURE	0.5	%
Archer-Daniels-Midland Co.				9,331		399,647
FOOD PRODUCTS	0.9	%
Hershey Co./The				1,396		202,992
Tyson Foods, Inc., Class A				8,176		502,415
						705,407
FOOD PRODUCTS—FOREIGN	0.6	%
Associated British Foods PLC (United Kingdom)				11,555		264,658
Mowi ASA (Norway)				9,829		178,506
						443,164
TOTAL CONSUMER—NON-CYCLICAL						1,548,218

1

			Shares		Value
ELECTRIC	2.4	%
Alliant Energy Corp.				3,846	$	207,107
CenterPoint Energy, Inc.				9,081		172,630
Evergy, Inc.				3,921		254,198
FirstEnergy Corp.				4,340		125,860
NextEra Energy Partners LP				1,246		77,501
NextEra Energy, Inc.				864		242,525
NorthWestern Corp.				5,333		300,035
Pinnacle West Capital Corp.				1,778		147,716
PNM Resources, Inc.				3,534		149,241
Public Service Enterprise Group, Inc.				3,516		196,685
						1,873,498
ELECTRIC—FOREIGN	1.1	%
Elia Group SA/NV (Belgium)				1,710		186,112
Enel S.p.A. (Italy)				16,300		149,317
Hydro One Ltd., 144A (Canada)(a)				15,310		326,214
Iberdrola SA (Spain)				7,583		98,012
National Grid PLC (United Kingdom)				3,806		44,651
Orsted A/S, 144A (Denmark)(a)				567		80,812
						885,118
ENERGY	4.0	%
GAS—DISTRIBUTION—FOREIGN	0.6	%
Enn Energy Holdings Ltd. (China)				13,600		164,856
Snam S.p.A. (Italy)				19,696		104,851
Tokyo Gas Co., Ltd. (Japan)				1,900		40,341
Towngas China Co., Ltd. (China)				407,000		196,028
						506,076
OIL & GAS	0.5	%
Cabot Oil & Gas Corp.				5,160		96,492
Chevron Corp.				2,131		178,876
Concho Resources, Inc.				1,825		95,886
						371,254
OIL & GAS—FOREIGN	2.6	%
BP PLC (United Kingdom)				164,221		594,727
Lukoil PJSC, ADR (Russia)				4,811		326,356
Repsol SA (Spain)				70,125		552,987

2

			Shares		Value
Total SA (France)				15,647	$	592,140
						2,066,210
OIL & GAS SERVICES	0.3	%
Hess Midstream LP, Class A				11,531		200,524
TOTAL ENERGY						3,144,064
MARINE PORTS—FOREIGN	0.1	%
Koninklijke Vopak NV (Netherlands)				1,750		95,547
MATERIALS	6.0	%
CHEMICALS	0.6	%
FMC Corp.				4,461		473,089
CHEMICALS—FOREIGN	0.5	%
Nutrien Ltd. (Canada)				5,827		189,902
Sociedad Quimica y Minera de Chile SA, ADR (Chile)				6,213		189,807
						379,709
METALS & MINING	1.3	%
Newmont Corp.				11,582		801,474
Nucor Corp.				4,469		187,475
						988,949
METALS & MINING—FOREIGN	3.6	%
Anglo American PLC (South Africa)				19,130		463,100
BHP Group PLC (Australia)				26,765		578,751
MMC Norilsk Nickel PJSC, ADR (Russia)				16,591		433,387
Rio Tinto Ltd. (Australia)				8,110		593,560
Sumitomo Metal Mining Co., Ltd. (Japan)				3,100		93,184
Wheaton Precious Metals Corp. (Canada)				12,987		705,584
						2,867,566
TOTAL MATERIALS						4,709,313
PIPELINES	0.8	%
Kinder Morgan, Inc.				20,940		295,254
ONEOK, Inc.				5,125		143,039
Williams Cos., Inc.				10,141		193,997
						632,290
PIPELINES—FOREIGN	1.6	%
Enbridge, Inc. (Canada)				19,586		626,863
Pembina Pipeline Corp. (Canada)				7,597		184,615

3

			Shares		Value
TC Energy Corp. (Canada)				9,116	$	415,493
						1,226,971
REAL ESTATE	16.2	%
DATA CENTERS	0.6	%
Digital Realty Trust, Inc.				2,552		409,698
Equinix, Inc.				125		98,185
						507,883
DIVERSIFIED—FOREIGN	3.8	%
Activia Properties, Inc. (Japan)				55		180,997
CapitaLand Commercial Trust (Singapore)				52,700		62,145
Castellum AB (Sweden)				12,305		264,638
Charter Hall Group (Australia)				17,910		133,519
China Overseas Land & Investment Ltd. (China)				14,000		42,660
China Resources Land Ltd. (China)				12,000		50,015
City Developments Ltd. (Singapore)				9,100		54,496
Covivio (France)				1,394		100,184
ESR Cayman Ltd., 144A (China)(a),(b)				32,000		78,913
Hang Lung Properties Ltd. (Hong Kong)				81,000		198,722
Keppel DC REIT (Singapore)				76,973		167,290
Land Securities Group PLC (United Kingdom)				13,408		100,986
Mirvac Group (Australia)				101,261		150,687
Mitsubishi Estate Co., Ltd. (Japan)				19,500		280,123
Mitsui Fudosan Co., Ltd. (Japan)				11,100		173,537
New World Development Co., Ltd. (Hong Kong)				44,750		218,504
NIPPON REIT Investment Corp. (Japan)				58		175,359
Nomura Real Estate Master Fund, Inc. (Japan)				55		68,209
NSI NV (Netherlands)				3,448		122,750
Stockland (Australia)				26,919		60,840
Sun Hung Kai Properties Ltd. (Hong Kong)				18,500		224,993
United Urban Investment Corp. (Japan)				98		95,302
						3,004,869
HEALTH CARE	2.0	%
CareTrust REIT, Inc.				9,798		176,560
Healthpeak Properties, Inc.				7,817		213,326
Medical Properties Trust, Inc.				19,248		387,462
Ventas, Inc.				7,324		280,949
Welltower, Inc.				9,965		533,725
						1,592,022

4

			Shares		Value
HEALTH CARE—FOREIGN	0.4	%
Assura PLC (United Kingdom)				177,433	$	182,942
Parkway Life Real Estate Investment Trust (Singapore)				40,426		104,904
						287,846
HOTEL	0.2	%
Host Hotels & Resorts, Inc.				15,216		164,028
INDUSTRIALS	1.6	%
Duke Realty Corp.				12,044		484,048
Prologis, Inc.				7,297		769,250
						1,253,298
INDUSTRIALS—FOREIGN	0.9	%
GLP J-REIT (Japan)				150		250,189
Goodman Group (Australia)				6,525		79,335
LondonMetric Property PLC (United Kingdom)				55,629		168,055
Mapletree Industrial Trust (Singapore)				39,400		94,199
Segro PLC (United Kingdom)				10,840		137,280
						729,058
NET LEASE	0.9	%
Agree Realty Corp.				2,942		197,026
VICI Properties, Inc.				23,234		504,410
						701,436
NET LEASE—FOREIGN	0.1	%
ARGAN SA (France)				680		68,984
OFFICE	0.1	%
Boston Properties, Inc.				572		50,959
OFFICE—FOREIGN	0.4	%
Cofinimmo SA (Belgium)				1,089		155,437
Entra ASA, 144A (Norway)(a)				4,220		59,573
Gecina SA (France)				488		63,305
						278,315
RESIDENTIAL	2.5	%
APARTMENT	1.0	%
Apartment Investment & Management Co., Class A				4,765		184,977
Essex Property Trust, Inc.				1,370		302,414
UDR, Inc.				7,833		283,555
						770,946

5

			Shares		Value
APARTMENT—FOREIGN	1.2	%
Aedifica SA (Belgium)				666	$	76,742
Daiwa House REIT Investment Corp. (Japan)				71		184,609
LEG Immobilien AG (Germany)				2,302		320,983
Vonovia SE (Germany)				5,424		350,585
						932,919
SINGLE FAMILY	0.3	%
Invitation Homes, Inc.				9,892		294,979
TOTAL RESIDENTIAL						1,998,844
RETAIL—FOREIGN	0.6	%
Catena AB (Sweden)				1,558		64,057
Klepierre SA (France)				5,740		99,410
Link REIT (Hong Kong)				21,283		165,136
SmartCentres Real Estate Investment Trust (Canada)				8,728		132,147
Unibail-Rodamco-Westfield (France)				552		28,948
						489,698
SELF STORAGE	1.1	%
Extra Space Storage, Inc.				2,626		271,371
Public Storage				2,852		570,058
						841,429
SELF STORAGE—FOREIGN	0.3	%
National Storage REIT (Australia)				81,823		105,026
Safestore Holdings PLC (United Kingdom)				5,864		58,946
Warehouses De Pauw SCA (Belgium)				2,484		79,942
						243,914
SHOPPING CENTERS	0.7	%
COMMUNITY CENTER	0.1	%
Kimco Realty Corp.				9,646		107,553
REGIONAL MALL	0.6	%
Simon Property Group, Inc.				6,872		428,469
TOTAL SHOPPING CENTERS						536,022
TOTAL REAL ESTATE						12,748,605
TOLL ROADS—FOREIGN	1.4	%
Transurban Group (Australia)				35,165		347,835
Vinci SA (France)				7,696		662,356

6

			Shares		Value
Zhejiang Expressway Co., Ltd. (China)				78,000	$	58,005
						1,068,196
WATER	0.4	%
American Water Works Co., Inc.				2,192		322,816
WATER—FOREIGN	0.6	%
Guangdong Investment Ltd. (China)				90,000		145,510
Pennon Group PLC (United Kingdom)				15,959		220,521
United Utilities Group PLC (United Kingdom)				11,138		130,621
						496,652
TOTAL COMMON STOCK (Identified cost—$30,452,556)						31,893,365
MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES	13.6	%
CRUDE/REFINED PRODUCTS	5.4	%
Genesis Energy LP				20,251		135,074
Magellan Midstream Partners LP				35,593		1,441,161
NuStar Energy LP				35,023		503,631
PBF Logistics LP				10,823		102,602
Phillips 66 Partners LP				20,248		562,894
Plains All American Pipeline LP				126,489		966,376
Rattler Midstream LP				24,443		192,367
Shell Midstream Partners LP				31,888		376,916
						4,281,021
DIVERSIFIED MIDSTREAM	5.3	%
Energy Transfer LP				205,959		1,349,031
Enterprise Products Partners LP				81,463		1,433,749
MPLX LP				75,471		1,378,855
						4,161,635
GATHERING & PROCESSING	1.6	%
Crestwood Equity Partners LP				28,564		414,178
Enable Midstream Partners LP				32,082		149,181
EnLink Midstream LLC				65,113		159,527
Noble Midstream Partners LP				15,937		149,808
Western Midstream Partners LP				42,558		383,022
						1,255,716
NATURAL GAS PIPELINES	1.3	%
Cheniere Energy Partners LP				2,611		88,461

7

			Shares		Value
Equitrans Midstream Corp.				36,562	$	352,823
TC PipeLines LP				18,403		564,236
						1,005,520
TOTAL MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES (Identified cost—$13,124,311)						10,703,892
PREFERRED SECURITIES—$25 PAR VALUE	9.1	%
BANKS	2.5	%
Bank of America Corp., 5.875%, Series HH(c)				2,070		56,987
Citigroup, Inc., 6.875% to 11/15/23, Series K(c),(d)				3,300		92,400
Dime Community Bancshares, Inc., 5.50%, Series A(c)				5,287		106,797
JPMorgan Chase & Co., 6.10%, Series AA(c)				7,619		192,989
JPMorgan Chase & Co., 6.15%, Series BB(c)				2,448		61,739
Truist Financial Corp., 5.25%, Series O(c)				6,950		186,608
Truist Financial Corp., 4.75%, Series R(c)				7,575		191,382
US Bancorp, 6.50% to 1/15/22, Series F(c),(d)				11,900		317,968
US Bancorp, 5.50%, Series K(c)				5,000		137,450
Wells Fargo & Co., 4.75%, Series Z(c)				19,670		479,948
Wells Fargo & Co., 5.70%, Series W(c)				4,142		105,621
						1,929,889
BANKS—FOREIGN	0.2	%
HSBC Holdings PLC, 6.20%, Series A (United Kingdom)(c)				6,051		157,084
ELECTRIC	1.1	%
CMS Energy Corp., 5.875%, due 3/1/79				2,425		66,882
SCE Trust V, 5.45% to 3/15/26, Series K(c),(d)				8,800		197,296
Sempra Energy, 5.75%, due 7/1/79				6,987		188,090
Southern Co./The, 4.95%, due 1/30/80, Series 2020				17,085		447,627
						899,895
FINANCIAL	0.3	%
DIVERSIFIED FINANCIAL SERVICES	0.2	%
Synchrony Financial, 5.625%, Series A(c)				5,800		139,896
INVESTMENT BANKER/BROKER	0.1	%
Morgan Stanley, 6.875% to 1/15/24, Series F(c),(d)				2,866		82,254
TOTAL FINANCIAL						222,150

8

			Shares		Value
INSURANCE	1.8	%
LIFE/HEALTH INSURANCE	0.3	%
Athene Holding Ltd., 6.375% to 6/30/25, Series C(c),(d)				3,410	$	89,308
Unum Group, 6.25%, due 6/15/58				6,928		182,345
						271,653
MULTI-LINE	0.5	%
American International Group, Inc., 5.85%, Series A(c)				13,800		380,052
MULTI-LINE—FOREIGN	0.1	%
Aegon Funding Co. LLC, 5.10%, due 12/15/49 (Netherlands)				3,300		82,731
PROPERTY CASUALTY	0.2	%
Axis Capital Holdings Ltd., 5.50%, Series E(c)				7,400		189,440
PROPERTY CASUALTY—FOREIGN	0.4	%
Enstar Group Ltd., 7.00% to 9/1/28, Series D (Bermuda)(c),(d)				10,325		277,019
REINSURANCE	0.3	%
Arch Capital Group Ltd., 5.45%, Series F(c)				9,517		250,678
TOTAL INSURANCE						1,451,573
INTEGRATED TELECOMMUNICATIONS SERVICES	0.6	%
AT&T, Inc., 4.75%, Series C(c)				18,800		471,504
PIPELINES	0.2	%
Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(c),(d)				7,482		142,308
REAL ESTATE	1.8	%
INDUSTRIALS	0.7	%
Monmouth Real Estate Investment Corp., 6.125%, Series C(c)				13,700		344,144
Rexford Industrial Realty, Inc., 5.625%, Series C(c)				7,400		190,550
						534,694
NET LEASE	0.2	%
Spirit Realty Capital, Inc., 6.00%, Series A(c)				7,350		185,587
OFFICE	0.2	%
Brookfield Property Partners LP, 5.75%, Series A(c)				8,446		152,028
RESIDENTIAL—SINGLE FAMILY	0.7	%
American Homes 4 Rent, 5.875%, Series G(c)				9,364		243,464
American Homes 4 Rent, 6.25%, Series H(c)				10,485		288,967
						532,431
TOTAL REAL ESTATE						1,404,740

9

			Shares			Value
UTILITIES	0.6	%
ELECTRIC UTILITIES	0.3	%
NextEra Energy Capital Holdings, Inc., 5.65%, due 3/1/79, Series N				9,506		$	264,647
GAS UTILITIES	0.3	%
South Jersey Industries, Inc., 5.625%, due 9/16/79				7,175			185,402
TOTAL UTILITIES							450,049
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$7,059,374)							7,129,192
			Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES	35.4	%
BANKS	7.6	%
Bank of America Corp., 5.875% to 3/15/28, Series FF(c),(d)			$	332,000			354,295
Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d)				400,000			439,278
Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d)				428,000			465,282
Bank of America Corp., 6.50% to 10/23/24, Series Z(c),(d)				425,000			475,882
Bank of New York Mellon Corp./The, 4.70% to 9/20/25, Series G(c),(d)				148,000			160,621
Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d)				150,000			160,439
Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d)				1,107,000			1,226,927
Citigroup, Inc., 5.00% to 9/12/24, Series U(c),(d)				381,000			382,723
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(c),(d)				65,000			69,063
Comerica, Inc., 5.625% to 7/1/25(c),(d)				98,000			104,889
Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A(a)				200,000			281,947
Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144A(a),(c),(d),(e)				125,000			131,809
Fifth Third Bancorp, 4.50% to 9/30/25, Series L(c),(d)				75,000			76,500
Goldman Sachs Group, Inc./The, 5.50% to 8/10/24, Series Q(c),(d)				230,000			247,186
Huntington Bancshares, Inc., 5.625% to 7/15/30, Series F(c),(d)				27,000			29,868
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d)				72,000			79,825
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d)				320,000			337,502
Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d)				50,000			53,375
Truist Financial Corp., 4.95% to 9/1/25, Series P(c),(d)				226,000			241,820
Truist Financial Corp., 5.10% to 3/1/30, Series Q(c),(d)				320,000			348,000
Wells Fargo & Co., 7.50%, Series L(c)				107	†		144,610

10

			Principal Amount		Value
Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d)			$	114,000	$	123,457
						5,935,298
BANKS—FOREIGN	12.6	%
AIB Group PLC, 5.25% to 10/9/24 (Ireland)(c),(d),(f),(g)				200,000		224,006
Australia & New Zealand Banking Group Ltd./United Kingdom, 6.75% to 6/15/26, 144A (Australia)(a),(c),(d),(g)				200,000		223,791
Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9 (Spain)(c),(d),(g)				200,000		191,472
Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(f),(g)				200,000		206,975
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(c),(d),(f),(g)				200,000		250,644
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(c),(d)				230,000		236,868
Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(c),(d),(f),(g)				400,000		411,632
BNP Paribas SA, 7.00% to 8/16/28, 144A (France)(a),(c),(d),(g)				200,000		222,913
BNP Paribas SA, 7.195% to 6/25/37, 144A (France)(a),(c),(d)				100,000		108,734
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(c),(d),(g)				200,000		222,389
Commerzbank AG, 6.125% to 10/9/25 (Germany)(c),(d),(f),(g)				200,000		223,780
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(c),(d),(g)				200,000		211,139
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(c),(d),(g)				400,000		440,464
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(c),(d),(g)				200,000		233,948
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(c),(d),(f),(g)				200,000		208,348
Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(a),(c),(d),(g)				200,000		212,889
Credit Suisse Group AG, 7.50% to 7/17/23, 144A (Switzerland)(a),(c),(d),(g)				600,000		633,141
Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(a),(c),(d),(g)				200,000		220,125
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(c),(d)				200,000		318,737
HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(c),(d),(g)				200,000		202,163
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(g)				200,000		205,083
ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(c),(d),(g)				200,000		208,610
ING Groep N.V., 6.875% to 4/16/22 (Netherlands)(c),(d),(f),(g)				200,000		209,886
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(c),(d),(g)				200,000		205,586
Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(c),(d),(f),(g)				200,000		266,709
Natwest Group PLC, 7.648% to 9/30/31 (United Kingdom)(c),(d)				220,000		328,948

11

			Principal Amount		Value
Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(c),(d),(g)			$	200,000	$	225,944
Natwest Group PLC, 8.625% to 8/15/21 (United Kingdom)(c),(d),(g)				200,000		209,402
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)(d)				200,000		152,074
Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(c),(d),(g)				400,000		402,078
Societe Generale SA, 7.375% to 9/13/21, 144A (France)(a),(c),(d),(g)				200,000		204,820
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(c),(d),(g)				400,000		425,778
Standard Chartered PLC, 6.00% to 7/26/25, 144A (United Kingdom)(a),(c),(d),(g)				200,000		203,138
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(c),(d),(g)				400,000		422,196
Stichting AK Rabobank Certificaten, 6.50% (Netherlands)(c),(f)				150,000		194,284
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c),(d),(f),(g)				200,000		216,001
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(c),(d),(g)				200,000		212,361
UBS Group AG, 7.125% to 8/10/21 (Switzerland)(c),(d),(f),(g)				200,000		207,091
Unione di Banche Italiane SpA, 5.875% to 1/20/25, Series EMTN (Italy)(c),(d),(f),(g)				200,000		233,802
						9,937,949
ELECTRIC	1.7	%
CenterPoint Energy, Inc., 6.125% to 9/1/23, Series A(c),(d)				760,000		755,668
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(d)				255,000		272,812
Sempra Energy, 4.875% to 10/15/25(c),(d)				290,000		300,962
						1,329,442
FINANCIAL	0.7	%
CREDIT CARD	0.1	%
Discover Financial Services, 6.125% to 6/23/25, Series D(c),(d)				40,000		42,612
INVESTMENT BANKER/BROKER	0.6	%
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(c),(d)				481,000		527,897
TOTAL FINANCIAL						570,509
INSURANCE	8.2	%
LIFE/HEALTH INSURANCE	2.1	%
MetLife, Inc., 6.40%, due 12/15/36				275,000		341,564
MetLife, Inc., 10.75%, due 8/1/39				500,000		822,277
SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(c),(d)				290,000		243,238

12

			Principal Amount		Value
Voya Financial, Inc., 6.125% to 9/15/23, Series A(c),(d)			$	265,000	$	274,170
						1,681,249
LIFE/HEALTH INSURANCE—FOREIGN	0.9	%
Legal & General Group PLC, 5.625% to 3/24/31 (United Kingdom)(c),(d),(f),(g)				200,000		264,143
M&G PLC, 5.625% to 10/20/31, due 10/20/51 (United Kingdom)(d),(f)				300,000		451,327
						715,470
MULTI-LINE	0.6	%
American International Group, Inc., 8.175% to 5/15/38, due 5/15/58(d)				325,000		449,689
MULTI-LINE—FOREIGN	1.0	%
AXA SA, 6.379% to 12/14/36, 144A (France)(a),(c),(d)				400,000		531,454
Beazley Insurance DAC, 5.50%, due 9/10/29 (United Kingdom)(f)				200,000		211,750
						743,204
PROPERTY CASUALTY	1.4	%
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(d)				750,000		784,908
Liberty Mutual Group, Inc., 3.625% to 5/23/24, due 5/23/59, 144A(a),(d)				200,000		232,959
Markel Corp., 6.00% to 6/1/25(c),(d)				80,000		84,300
						1,102,167
PROPERTY CASUALTY—FOREIGN	1.6	%
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(c),(d)				200,000		210,000
QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN (Australia)(d),(f)				200,000		215,761
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(d),(f)				200,000		221,401
VIVAT NV, 6.25% to 11/16/22 (Netherlands)(c),(d),(f)				600,000		603,000
						1,250,162
REINSURANCE	0.6	%
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(d)				535,000		502,626
TOTAL INSURANCE						6,444,567

13

			Principal Amount		Value
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.7	%
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d)			$	455,000	$	547,431
OIL & GAS—FOREIGN	0.6	%
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(c),(d)				120,000		125,820
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(c),(d)				345,000		370,875
TOTAL OIL & GAS—FOREIGN						496,695
PIPELINES	0.1	%
Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(c),(d)				49,000		40,792
PIPELINES—FOREIGN	1.4	%
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d)				350,000		346,901
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(d)				170,000		173,598
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(d)				430,000		450,195
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(d)				115,000		117,157
						1,087,851
UTILITIES	1.8	%
ELECTRIC UTILITIES	0.5	%
NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(d)				325,000		370,270
ELECTRIC UTILITIES—FOREIGN	1.3	%
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(d)				915,000		1,018,619
TOTAL UTILITIES						1,388,889
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$26,896,478)						27,779,423
CORPORATE BONDS—INDUSTRIALS—DIVERSIFIED MANUFACTURING	0.1	%
General Electric Co., 4.35%, due 5/1/50				85,000		88,268
TOTAL CORPORATE BONDS (Identified cost—$84,703)						88,268

14

			Number of Rights		Value
RIGHTS—COMMUNICATIONS—TOWERS—FOREIGN	0.0	%
Cellnex Telecom SA (Spain)				3,292	$	13,766
TOTAL RIGHTS (Identified cost—$0)						13,766
			Shares
SHORT-TERM INVESTMENTS	0.6	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 0.08%(h)				505,448		505,448
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$505,448)						505,448
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$78,122,870)	99.4	%				78,113,354
OTHER ASSETS IN EXCESS OF LIABILITIES	0.6					473,271
NET ASSETS	100.0	%			$	78,586,625

Forward Foreign Currency Exchange Contracts

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation (Depreciation)
Brown Brothers Harriman	EUR	260,748	USD	302,218	8/4/20	$	(4,930	)
Brown Brothers Harriman	EUR	891,516	USD	1,002,630	8/4/20		(47,532	)
Brown Brothers Harriman	GBP	727,561	USD	900,168	8/4/20		(52,209	)
Brown Brothers Harriman	USD	955,273	GBP	727,561	8/4/20		(2,896	)
Brown Brothers Harriman	USD	1,361,492	EUR	1,152,264	8/4/20		(4,182	)
Brown Brothers Harriman	CAD	202,350	USD	151,332	8/5/20		262
Brown Brothers Harriman	USD	151,151	CAD	202,350	8/5/20		(81	)
Brown Brothers Harriman	CAD	202,832	USD	151,508	9/2/20		69
Brown Brothers Harriman	EUR	1,165,660	USD	1,378,055	9/2/20		4,126
Brown Brothers Harriman	GBP	758,572	USD	996,066	9/2/20		2,939
						$	(104,434	)

15

Glossary of Portfolio Abbreviations

ADR	American Depositary Receipt
CAD	Canadian Dollar
EMTN	Euro Medium Term Note
EUR	Euro Currency
GBP	Great British Pound
REIT	Real Estate Investment Trust
USD	United States Dollar

Note: Percentages indicated are based on the net assets of the Fund.

† Represents shares.

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $7,547,155 which represents 9.6% of the net assets of the Fund, of which 0.0% are illiquid.

(b) Non-income producing security.

(c) Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer.

(d) Security converts to floating rate after the indicated fixed-rate coupon period.

(e) Security value is determined based on significant unobservable inputs (Level 3).

(f) Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $4,820,540 which represents 6.1% of the net assets of the Fund, of which 0.0% are illiquid.

(g) Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $8,862,447 or 11.3% of the net assets of the Fund.

(h) Rate quoted represents the annualized seven-day yield.

16

Country Summary	% of Net Assets
United States		56.4	%
United Kingdom		8.4	%
France		5.9	%
Canada		5.6	%
Australia		3.7	%
Switzerland		2.4	%
Netherlands		2.2	%
Japan		2.0	%
Spain		1.7	%
China		1.6	%
Germany		1.1	%
Hong Kong		1.0	%
Russia		1.0	%
Brazil		0.9	%
Italy		0.9	%
Belgium		0.6	%
Ireland		0.6	%
Singapore		0.6	%
South Africa		0.6	%
Other		2.8	%
		100.0	%

17

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

Note 1. Portfolio Valuation

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected 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 ask prices on such day or, if no ask price is available, at the bid price. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

Readily marketable securities traded in the over-the-counter (OTC) market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment advisor) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.

Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

Foreign equity fair value pricing procedures utilized by the Fund may cause certain non-U.S. equity holdings to be fair valued on the basis of fair value factors provided by a pricing service to reflect any significant market movements between the time the Fund values such securities and the earlier closing of foreign markets.

The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

• Level 1 — quoted prices in active markets for identical investments

• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.

• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following is a summary of the inputs used as of July 31, 2020 in valuing the Fund’s investments carried at value:

	Total			Quoted Prices in Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Common Stock:
Airports—Foreign	$	191,208		$	—	$	191,208		$	—
Communications		2,332,578			2,130,118		202,460			—
Consumer Staples		618,291			121,063		497,228			—
Consumer—Non-Cyclical		1,548,218			1,105,054		443,164			—
Electric—Foreign		885,118			407,026		478,092			—
Energy		3,144,064			571,778		2,572,286			—
Materials		4,709,313			2,547,331		2,161,982			—
Real Estate		12,748,605			6,938,154		5,810,451			—
Toll Roads—Foreign		1,068,196			—		1,068,196			—
Water—Foreign		496,652			—		496,652			—
Other Industries		4,151,122			4,151,122		—			—
Master Limited Partnerships and Related Companies		10,703,892			10,703,892		—			—
Preferred Securities—$25 Par Value		7,129,192			7,129,192		—			—
Preferred Securities—Capital Securities:
Banks		5,935,298			144,610		5,658,879			131,809
Other Industries		21,844,125			—		21,844,125			—
Corporate Bonds		88,268			—		88,268			—
Rights		13,766			13,766		—			—
Short-Term Investments		505,448			—		505,448			—
Total Investments in Securities(a)	$	78,113,354		$	35,963,106	$	42,018,439		$	131,809	(b)
Forward Foreign Currency Exchange Contracts	$	7,396		$	—	$	7,396		$	—
Total Derivative Assets(a)	$	7,396		$	—	$	7,396		$	—
Forward Foreign Currency Exchange Contracts	$	(111,830	)	$	—	$	(111,830	)	$	—
Total Derivative Liabilities(a)	$	(111,830	)	$	—	$	(111,830	)	$	—

(a) Portfolio holdings are disclosed individually on the Schedule of Investments.

(b) Level 3 investments are valued by a third-party pricing service. The inputs for these securities are not readily available or cannot be reasonably estimated. A change in the significant unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:

	Preferred Securities— Capital  Securities
Balance as of April 30, 2020	$	—
Purchases		125,000
Change in unrealized appreciation (depreciation)		6,809
Balance as of July 31, 2020	$	131,809

The change in unrealized appreciation (depreciation) attributable to securities owned on July 31, 2020 which were valued using significant unobservable inputs (Level 3) amounted to $6,809.

Note 2. Derivative Instruments

Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

The following summarizes the volume of the Fund’s forward foreign currency exchange contracts activity during the nine months ended July 31, 2020:

	Forward Foreign Currency Exchange Contracts
Average Notional Amount	$	1,997,399