COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
July 31, 2021 (Unaudited)
Shares | Value | |||||||||||
COMMON STOCK | 46.7 | % | ||||||||||
AIRPORTS—FOREIGN | 0.5 | % | ||||||||||
Aena SME SA, 144A (Spain)(a),(b) | 1,600 | $ | 254,711 | |||||||||
Auckland International Airport Ltd. (New Zealand)(b) | 27,244 | 137,422 | ||||||||||
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392,133 | ||||||||||||
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COMMUNICATIONS | 5.8 | % | ||||||||||
TOWERS | 5.0 | % | ||||||||||
American Tower Corp. | 7,873 | 2,226,485 | ||||||||||
Crown Castle International Corp. | 5,676 | 1,095,979 | ||||||||||
SBA Communications Corp. | 1,474 | 502,619 | ||||||||||
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3,825,083 | ||||||||||||
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TOWERS—FOREIGN | 0.8 | % | ||||||||||
Cellnex Telecom SA, 144A (Spain)(a) | 9,391 | 612,035 | ||||||||||
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TOTAL COMMUNICATIONS | 4,437,118 | |||||||||||
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ELECTRIC | 2.6 | % | ||||||||||
CenterPoint Energy, Inc. | 11,837 | 301,370 | ||||||||||
Duke Energy Corp. | 2,007 | 210,956 | ||||||||||
Evergy, Inc. | 5,621 | 366,601 | ||||||||||
Eversource Energy | 3,414 | 294,526 | ||||||||||
NextEra Energy, Inc. | 3,900 | 303,810 | ||||||||||
Portland General Electric Co. | 4,100 | 200,490 | ||||||||||
Public Service Enterprise Group, Inc. | 4,983 | 310,092 | ||||||||||
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1,987,845 | ||||||||||||
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ELECTRIC—FOREIGN | 2.4 | % | ||||||||||
China Longyuan Power Group Corp. Ltd. (China) | 205,000 | 383,032 | ||||||||||
Elia Group SA/NV (Belgium) | 1,794 | 212,281 | ||||||||||
Hydro One Ltd., 144A (Canada)(a) | 12,600 | 311,061 | ||||||||||
Kansai Electric Power Co., Inc./The (Japan) | 38,100 | 359,624 | ||||||||||
National Grid PLC (United Kingdom) | 45,320 | 582,136 | ||||||||||
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1,848,134 | ||||||||||||
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ENERGY—GAS—DISTRIBUTION—FOREIGN | 0.8 | % | ||||||||||
Enn Energy Holdings Ltd. (China) | 12,100 | 253,019 | ||||||||||
Snam S.p.A. (Italy) | 56,228 | 340,439 | ||||||||||
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593,458 | ||||||||||||
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ENVIRONMENTAL SERVICES | 0.3 | % | ||||||||||
Waste Management, Inc. | 1,464 | 217,053 | ||||||||||
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1
Shares | Value | |||||||||||
INDUSTRIALS—DIVERSIFIED—FOREIGN | 0.0 | % | ||||||||||
ESR Cayman Ltd., 144A (China)(a),(b) | 9,000 | $ | 31,617 | |||||||||
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MARINE PORTS—FOREIGN | 0.9 | % | ||||||||||
China Merchants Port Holdings Co., Ltd. (China) | 154,000 | 214,419 | ||||||||||
COSCO SHIPPING Ports Ltd. (China) | 494,000 | 352,169 | ||||||||||
Koninklijke Vopak NV (Netherlands) | 2,425 | 102,668 | ||||||||||
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669,256 | ||||||||||||
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MATERIALS—METALS & MINING—FOREIGN | 2.2 | % | ||||||||||
Anglo American PLC (South Africa) | 21,222 | 941,153 | ||||||||||
Kirkland Lake Gold Ltd. (Canada) | 16,453 | 703,565 | ||||||||||
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1,644,718 | ||||||||||||
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PIPELINES | 2.1 | % | ||||||||||
Cheniere Energy, Inc.(b) | 7,483 | 635,531 | ||||||||||
Targa Resources Corp. | 2,283 | 96,137 | ||||||||||
Williams Cos., Inc./The | 35,601 | 891,805 | ||||||||||
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1,623,473 | ||||||||||||
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PIPELINES—FOREIGN | 3.7 | % | ||||||||||
Enbridge, Inc. (Canada) | 35,652 | 1,405,391 | ||||||||||
Gibson Energy, Inc. (Canada) | 7,023 | 128,684 | ||||||||||
Pembina Pipeline Corp. (Canada) | 15,962 | 527,631 | ||||||||||
TC Energy Corp. (Canada) | 14,752 | 719,154 | ||||||||||
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2,780,860 | ||||||||||||
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REAL ESTATE | 16.2 | % | ||||||||||
DATA CENTERS | 1.0 | % | ||||||||||
CyrusOne, Inc. | 5,222 | 372,172 | ||||||||||
Digital Realty Trust, Inc. | 2,100 | 323,736 | ||||||||||
Equinix, Inc. | 109 | 89,425 | ||||||||||
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785,333 | ||||||||||||
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DATA CENTERS—FOREIGN | 0.3 | % | ||||||||||
GDS Holdings Ltd., ADR (China)(b) | 4,004 | 236,076 | ||||||||||
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DIVERSIFIED—FOREIGN | 3.1 | % | ||||||||||
Activia Properties, Inc. (Japan) | 33 | 149,651 | ||||||||||
British Land Co., PLC/The (United Kingdom) | 19,344 | 137,291 | ||||||||||
Castellum AB (Sweden) | 7,673 | 214,902 | ||||||||||
Charter Hall Group (Australia) | 11,959 | 142,963 | ||||||||||
City Developments Ltd. (Singapore) | 6,400 | 32,355 | ||||||||||
CK Asset Holdings Ltd. (Hong Kong) | 23,500 | 160,121 |
2
Shares | Value | |||||||||||
Hysan Development Co., Ltd. (Hong Kong) | 29,000 | $ | 114,192 | |||||||||
ICADE (France) | 2,066 | 189,079 | ||||||||||
LaSalle Logiport REIT (Japan) | 60 | 109,931 | ||||||||||
Mirvac Group (Australia) | 92,667 | 194,490 | ||||||||||
Mitsubishi Estate Co., Ltd. (Japan) | 7,400 | 115,481 | ||||||||||
Mitsui Fudosan Co., Ltd. (Japan) | 12,500 | 290,837 | ||||||||||
NSI NV (Netherlands) | 1,674 | 69,602 | ||||||||||
Orix JREIT, Inc. (Japan) | 72 | 137,168 | ||||||||||
Stockland (Australia) | 11,088 | 35,802 | ||||||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 11,500 | 164,705 | ||||||||||
United Urban Investment Corp. (Japan) | 79 | 116,010 | ||||||||||
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2,374,580 | ||||||||||||
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HEALTH CARE | 1.4 | % | ||||||||||
Healthpeak Properties, Inc. | 8,384 | 309,956 | ||||||||||
Ventas, Inc. | 2,914 | 174,199 | ||||||||||
Welltower, Inc. | 6,452 | 560,421 | ||||||||||
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1,044,576 | ||||||||||||
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HEALTH CARE—FOREIGN | 0.3 | % | ||||||||||
Assura PLC (United Kingdom) | 109,069 | 118,708 | ||||||||||
Parkway Life Real Estate Investment Trust (Singapore) | 24,626 | 84,331 | ||||||||||
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203,039 | ||||||||||||
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HOTEL | 0.5 | % | ||||||||||
Host Hotels & Resorts, Inc.(b) | 22,522 | 358,775 | ||||||||||
Ryman Hospitality Properties, Inc.(b) | 704 | 53,997 | ||||||||||
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412,772 | ||||||||||||
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INDUSTRIALS | 0.9 | % | ||||||||||
Duke Realty Corp. | 8,402 | 427,494 | ||||||||||
Prologis, Inc. | 2,163 | 276,950 | ||||||||||
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704,444 | ||||||||||||
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INDUSTRIALS—FOREIGN | 0.7 | % | ||||||||||
Catena AB (Sweden) | 1,692 | 101,618 | ||||||||||
CTP NV, 144A (Netherlands)(a),(b) | 2,893 | 58,341 | ||||||||||
Frasers Logistics & Commercial Trust (Singapore) | 31,000 | 34,776 | ||||||||||
Goodman Group (Australia) | 2,145 | 35,638 | ||||||||||
LondonMetric Property PLC (United Kingdom) | 40,884 | 141,390 | ||||||||||
Segro PLC (United Kingdom) | 9,951 | 168,403 | ||||||||||
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540,166 | ||||||||||||
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3
Shares | Value | |||||||||||
NET LEASE | 1.0 | % | ||||||||||
NETSTREIT Corp. | 14,976 | $ | 388,627 | |||||||||
Spirit Realty Capital, Inc. | 4,856 | 243,868 | ||||||||||
VICI Properties, Inc. | 3,072 | 95,816 | ||||||||||
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728,311 | ||||||||||||
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NET LEASE—FOREIGN | 0.1 | % | ||||||||||
ARGAN SA (France) | 289 | 37,711 | ||||||||||
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OFFICE—FOREIGN | 0.5 | % | ||||||||||
Alstria Office REIT AG (Germany) | 2,921 | 61,885 | ||||||||||
Cofinimmo SA (Belgium) | 408 | 65,968 | ||||||||||
Daiwa Office Investment Corp. (Japan) | 17 | 122,419 | ||||||||||
Keppel REIT (Singapore) | 54,000 | 47,825 | ||||||||||
Workspace Group PLC (United Kingdom) | 4,388 | 52,668 | ||||||||||
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350,765 | ||||||||||||
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RESIDENTIAL | 2.9 | % | ||||||||||
APARTMENT | 1.4 | % | ||||||||||
Apartment Income REIT Corp. | 3,138 | 165,184 | ||||||||||
AvalonBay Communities, Inc. | 1,094 | 249,246 | ||||||||||
UDR, Inc. | 11,310 | 621,937 | ||||||||||
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1,036,367 | ||||||||||||
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APARTMENT—FOREIGN | 1.0 | % | ||||||||||
Aedifica SA (Belgium) | 590 | 84,547 | ||||||||||
Daiwa House REIT Investment Corp. (Japan) | 28 | 83,205 | ||||||||||
LEG Immobilien AG (Germany) | 596 | 94,279 | ||||||||||
Vonovia SE (Germany) | 5,744 | 382,800 | ||||||||||
Wharf Real Estate Investment Co., Ltd. (Hong Kong) | 23,000 | 129,781 | ||||||||||
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774,612 | ||||||||||||
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MANUFACTURED HOME | 0.2 | % | ||||||||||
Sun Communities, Inc. | 863 | 169,243 | ||||||||||
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SINGLE FAMILY | 0.3 | % | ||||||||||
Invitation Homes, Inc. | 5,607 | 228,093 | ||||||||||
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TOTAL RESIDENTIAL | 2,208,315 | |||||||||||
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RETAIL—FOREIGN | 0.9 | % | ||||||||||
CapitaLand Integrated Commercial Trust (Singapore) | 107,596 | 170,731 | ||||||||||
Eurocommercial Properties NV (Netherlands) | 2,214 | 55,521 | ||||||||||
Japan Retail Fund Investment Corp. (Japan) | 101 | 105,414 | ||||||||||
Klepierre SA (France) | 7,256 | 176,022 |
4
Shares | Value | |||||||||||
Link REIT (Hong Kong) | 11,583 | $ | 110,745 | |||||||||
SmartCentres Real Estate Investment Trust (Canada) | 4,024 | 97,278 | ||||||||||
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715,711 | ||||||||||||
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SELF STORAGE | 1.1 | % | ||||||||||
CubeSmart | 6,659 | 330,686 | ||||||||||
Public Storage | 1,729 | 540,278 | ||||||||||
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870,964 | ||||||||||||
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SELF STORAGE—FOREIGN | 0.2 | % | ||||||||||
National Storage REIT (Australia) | 39,047 | 61,034 | ||||||||||
Safestore Holdings PLC (United Kingdom) | 8,389 | 123,137 | ||||||||||
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184,171 | ||||||||||||
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SHOPPING CENTERS | 1.1 | % | ||||||||||
COMMUNITY CENTER | 0.6 | % | ||||||||||
Federal Realty Investment Trust | 3,691 | 433,803 | ||||||||||
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REGIONAL MALL | 0.5 | % | ||||||||||
Simon Property Group, Inc. | 2,886 | 365,137 | ||||||||||
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TOTAL SHOPPING CENTERS | 798,940 | |||||||||||
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SPECIALTY | 0.1 | % | ||||||||||
Lamar Advertising Co., Class A | 1,043 | 111,184 | ||||||||||
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TIMBER | 0.1 | % | ||||||||||
Weyerhaeuser Co. | 1,543 | 52,045 | ||||||||||
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TOTAL REAL ESTATE | 12,359,103 | |||||||||||
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RENEWABLE ENERGY | 3.0 | % | ||||||||||
Clearway Energy, Inc. | 7,398 | 212,175 | ||||||||||
Renewable Energy Group, Inc.(b) | 33,468 | 2,049,915 | ||||||||||
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2,262,090 | ||||||||||||
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RENEWABLE ENERGY—FOREIGN | 0.0 | % | ||||||||||
Altius Renewable Royalties Corp. (Canada)(b) | 4,438 | 31,659 | ||||||||||
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TOLL ROADS—FOREIGN | 2.1 | % | ||||||||||
Transurban Group (Australia) | 40,482 | 424,820 | ||||||||||
Vinci SA (France) | 9,801 | 1,037,194 | ||||||||||
Zhejiang Expressway Co., Ltd., Class H (China) | 180,000 | 151,947 | ||||||||||
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1,613,961 | ||||||||||||
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5
Shares | Value | |||||||||||
UTILITIES | 4.1 | % | ||||||||||
ELECTRIC | 1.2 | % | ||||||||||
Sempra Energy | 7,189 | $ | 939,243 | |||||||||
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GAS | 0.7 | % | ||||||||||
NiSource, Inc. | 9,914 | 245,570 | ||||||||||
Southwest Gas Holdings, Inc. | 3,704 | 259,020 | ||||||||||
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504,590 | ||||||||||||
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WATER | 1.0 | % | ||||||||||
American Water Works Co., Inc. | 1,280 | 217,741 | ||||||||||
Essential Utilities, Inc. | 10,682 | 524,700 | ||||||||||
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742,441 | ||||||||||||
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WATER—FOREIGN | 1.2 | % | ||||||||||
Guangdong Investment Ltd. (China) | 134,000 | 187,607 | ||||||||||
Pennon Group PLC (United Kingdom) | 20,683 | 367,417 | ||||||||||
United Utilities Group PLC (United Kingdom) | 25,690 | 383,159 | ||||||||||
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938,183 | ||||||||||||
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TOTAL UTILITIES | 3,124,457 | |||||||||||
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TOTAL COMMON STOCK | 35,616,935 | |||||||||||
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MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES | ||||||||||||
CRUDE/REFINED PRODUCTS | 2.2 | % | ||||||||||
Magellan Midstream Partners LP | 35,712 | 1,664,179 | ||||||||||
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TOTAL MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES | 1,664,179 | |||||||||||
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PREFERRED SECURITIES—$25 PAR VALUE | 8.5 | % | ||||||||||
BANKS | 1.3 | % | ||||||||||
Bank of Hawaii Corp., 4.375%, Series A(c) | 5,200 | 134,836 | ||||||||||
Dime Community Bancshares, Inc., 5.50%, Series A(c) | 5,287 | 139,577 | ||||||||||
First Horizon Corp., 4.70%, Series F(c) | 4,000 | 103,480 | ||||||||||
First Republic Bank/CA, 4.00%, Series M(c) | 6,000 | 150,000 | ||||||||||
JPMorgan Chase & Co., 4.20%, Series MM(c) | 8,000 | 201,080 | ||||||||||
Signature Bank/New York NY, 5.00%, Series a(c) | 2,952 | 77,667 | ||||||||||
Wells Fargo & Co., 4.25%, Series DD(c) | 5,200 | 130,104 | ||||||||||
Wells Fargo & Co., 4.75%, Series Z(c) | 1,870 | 48,975 | ||||||||||
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985,719 | ||||||||||||
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6
Shares | Value | |||||||||||
ELECTRIC | 0.6 | % | ||||||||||
CMS Energy Corp., 4.20%, Series C(c) | 7,600 | $ | 193,040 | |||||||||
SCE Trust V, 5.45% to 3/15/26, Series K(c),(d) | 8,800 | 224,400 | ||||||||||
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417,440 | ||||||||||||
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ELECTRIC—FOREIGN | 0.3 | % | ||||||||||
Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada) | 5,775 | 151,016 | ||||||||||
Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(c) | 3,396 | 88,636 | ||||||||||
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239,652 | ||||||||||||
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FINANCIAL | 1.3 | % | ||||||||||
DIVERSIFIED FINANCIAL SERVICES | 1.0 | % | ||||||||||
Carlyle Finance LLC, 4.625%, due 5/15/61 | 4,802 | 121,251 | ||||||||||
Federal Agricultural Mortgage Corp., 4.875%, Series G(c) | 7,200 | 188,820 | ||||||||||
KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61 | 3,963 | 103,870 | ||||||||||
National Rural Utilities Cooperative Finance Corp., 5.50%, due 5/15/64, Series US | 2,900 | 79,083 | ||||||||||
Oaktree Capital Group LLC, 6.55%, Series B(c) | 3,500 | 98,105 | ||||||||||
Synchrony Financial, 5.625%, Series A(c) | 8,490 | 227,107 | ||||||||||
|
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818,236 | ||||||||||||
|
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INVESTMENT ADVISORY SERVICES | 0.2 | % | ||||||||||
Affiliated Managers Group, Inc., 4.20%, due 9/30/61 | 2,800 | 69,440 | ||||||||||
Stifel Financial Corp., 4.50%, Series D(c) | 2,800 | 71,064 | ||||||||||
|
| |||||||||||
140,504 | ||||||||||||
|
| |||||||||||
INVESTMENT BANKER/BROKER | 0.1 | % | ||||||||||
Charles Schwab Corp./The, 4.45%, Series J(c) | 2,500 | 66,850 | ||||||||||
|
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TOTAL FINANCIAL | 1,025,590 | |||||||||||
|
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INDUSTRIALS | 0.1 | % | ||||||||||
CHS, Inc., 7.50%, Series 4(c) | 3,300 | 96,492 | ||||||||||
|
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INSURANCE | 1.6 | % | ||||||||||
LIFE/HEALTH INSURANCE | 0.9 | % | ||||||||||
Athene Holding Ltd., 6.375% to 6/30/25, Series C(c),(d) | 3,736 | 107,410 | ||||||||||
Athene Holding Ltd., 4.875%, Series D(c) | 5,275 | 137,994 | ||||||||||
Brighthouse Financial, Inc., 5.375%, Series C(c) | 9,321 | 247,845 | ||||||||||
CNO Financial Group, Inc., 5.125%, due 11/25/60 | 3,737 | 102,581 | ||||||||||
Equitable Holdings, Inc., 5.25%, Series A(c) | 3,613 | 95,925 |
7
Shares | Value | |||||||||||
Globe Life, Inc., 4.25%, due 6/15/61 | 10 | $ | 261 | |||||||||
|
| |||||||||||
692,016 | ||||||||||||
|
| |||||||||||
PROPERTY CASUALTY | 0.5 | % | ||||||||||
Assurant, Inc., 5.25%, due 1/15/61 | 1,613 | 44,115 | ||||||||||
Enstar Group Ltd., 7.00% to 9/1/28, Series D(c),(d) | 10,325 | 307,169 | ||||||||||
|
| |||||||||||
351,284 | ||||||||||||
|
| |||||||||||
REINSURANCE | 0.1 | % | ||||||||||
Arch Capital Group Ltd., 4.55%, Series G(c) | 3,600 | 92,736 | ||||||||||
|
| |||||||||||
REINSURANCE—FOREIGN | 0.1 | % | ||||||||||
RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda)(c) | 3,224 | 82,180 | ||||||||||
|
| |||||||||||
TOTAL INSURANCE | 1,218,216 | |||||||||||
|
| |||||||||||
INTEGRATED TELECOMMUNICATIONS SERVICES | 1.1 | % | ||||||||||
AT&T, Inc., 4.75%, Series C(c) | 3,100 | 82,057 | ||||||||||
Telephone and Data Systems, Inc., 6.625%, Series UU(c) | 6,100 | 173,179 | ||||||||||
United States Cellular Corp., 5.50%, due 3/1/70 | 6,900 | 181,815 | ||||||||||
United States Cellular Corp., 5.50%, due 6/1/70 | 6,536 | 170,067 | ||||||||||
United States Cellular Corp., 6.25%, due 9/1/69 | 8,400 | 233,352 | ||||||||||
|
| |||||||||||
840,470 | ||||||||||||
|
| |||||||||||
PIPELINES | 0.2 | % | ||||||||||
Energy Transfer LP, 7.60% to 5/15/24, Series E(c),(d) | 6,122 | 153,540 | ||||||||||
|
| |||||||||||
PIPELINES—FOREIGN | 0.2 | % | ||||||||||
Enbridge, Inc., 5.949% to 6/1/23, Series 1 (Canada)(c),(d) | 2,991 | 66,580 | ||||||||||
TC Energy Corp., 3.355% to 11/30/25, Series 11 (Canada)(c),(d) | 4,302 | 82,343 | ||||||||||
|
| |||||||||||
148,923 | ||||||||||||
|
| |||||||||||
REAL ESTATE | 1.3 | % | ||||||||||
HOTEL | 0.1 | % | ||||||||||
Pebblebrook Hotel Trust, 6.375%, Series G(c) | 4,000 | 107,520 | ||||||||||
|
| |||||||||||
INDUSTRIALS | 0.5 | % | ||||||||||
Monmouth Real Estate Investment Corp., 6.125%, Series C(c) | 10,700 | 271,352 | ||||||||||
Rexford Industrial Realty, Inc., 5.625%, Series C(c) | 3,590 | 100,269 | ||||||||||
|
| |||||||||||
371,621 | ||||||||||||
|
| |||||||||||
NET LEASE | 0.2 | % | ||||||||||
Spirit Realty Capital, Inc., 6.00%, Series A(c) | 4,350 | 114,101 | ||||||||||
|
| |||||||||||
OFFICE | 0.2 | % | ||||||||||
Brookfield Property Partners LP, 5.75%, Series A(c) | 4,462 | 109,274 |
8
Shares | Value | |||||||||||
Brookfield Property Preferred LP, 6.25%, due 7/26/81 | 3,000 | $ | 74,850 | |||||||||
|
| |||||||||||
184,124 | ||||||||||||
|
| |||||||||||
RESIDENTIAL—SINGLE FAMILY | 0.3 | % | ||||||||||
American Homes 4 Rent, 5.875%, Series G(c) | 9,364 | 246,460 | ||||||||||
|
| |||||||||||
TOTAL REAL ESTATE | 1,023,826 | |||||||||||
|
| |||||||||||
UTILITIES | 0.4 | % | ||||||||||
ELECTRIC | 0.1 | % | ||||||||||
Sempra Energy, 5.75%, due 7/1/79 | 2,287 | 63,716 | ||||||||||
|
| |||||||||||
GAS | 0.3 | % | ||||||||||
South Jersey Industries, Inc., 5.625%, due 9/16/79 | 8,575 | 229,724 | ||||||||||
|
| |||||||||||
TOTAL UTILITIES | 293,440 | |||||||||||
|
| |||||||||||
UTILITIES—FOREIGN | 0.1 | % | ||||||||||
Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(c) | 3,200 | 80,192 | ||||||||||
|
| |||||||||||
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$6,205,400) |
| 6,523,500 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
PREFERRED SECURITIES—CAPITAL SECURITIES | 41.7 | % | ||||||||||
BANKS | 8.5 | % | ||||||||||
Ally Financial, Inc., 4.70% to 5/15/26, Series B(c),(d) | $ | 130,000 | 136,305 | |||||||||
Ally Financial, Inc., 4.70% to 5/15/28, Series C(c),(d) | 280,000 | 291,536 | ||||||||||
Bank of America Corp., 5.875% to 3/15/28, Series FF(c),(d) | 237,000 | 272,550 | ||||||||||
Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d) | 360,000 | 404,505 | ||||||||||
Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d) | 403,000 | 445,567 | ||||||||||
Bank of America Corp., 6.50% to 10/23/24, Series Z(c),(d) | 85,000 | 96,050 | ||||||||||
Capital One Financial Corp., 3.95% to 9/1/26, Series M(c),(d) | 139,000 | 143,518 | ||||||||||
Citigroup, Inc., 3.875% to 2/18/26(c),(d) | 280,000 | 287,280 | ||||||||||
Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d) | 153,000 | 158,477 | ||||||||||
Citigroup, Inc., 5.00% to 9/12/24, Series U(c),(d) | 361,000 | 380,548 | ||||||||||
Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d) | 455,000 | 501,637 | ||||||||||
Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d) | 277,000 | 321,320 | ||||||||||
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(c),(d) | 65,000 | 72,963 | ||||||||||
Comerica, Inc., 5.625% to 7/1/25(c),(d) | 98,000 | 109,270 | ||||||||||
Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144A(a),(c),(d) | 125,000 | 136,875 | ||||||||||
Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series U(c),(d) | 155,000 | 156,085 |
9
Principal Amount | Value | |||||||||||
Goldman Sachs Group, Inc./The, 3.80% to 5/10/26, Series T(c),(d) | $ | 95,000 | $ | 97,138 | ||||||||
JPMorgan Chase & Co., 3.65% to 6/1/26, Series KK(c),(d) | 200,000 | 202,125 | ||||||||||
JPMorgan Chase & Co., 4.60% to 2/1/25, Series HH(c),(d) | 68,000 | 70,465 | ||||||||||
JPMorgan Chase & Co., 5.00% to 8/1/24, Series FF(c),(d) | 185,000 | 195,398 | ||||||||||
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d) | 345,000 | 375,834 | ||||||||||
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d) | 280,000 | 305,046 | ||||||||||
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d) | 90,000 | 99,452 | ||||||||||
Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d) | 50,000 | 56,000 | ||||||||||
SVB Financial Group, 4.00% to 5/15/26, Series C(c),(d) | 210,000 | 218,662 | ||||||||||
Truist Financial Corp., 4.95% to 9/1/25, Series P(c),(d) | 88,000 | 96,360 | ||||||||||
Truist Financial Corp., 5.10% to 3/1/30, Series Q(c),(d) | 145,000 | 167,113 | ||||||||||
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c),(d) | 503,000 | 522,499 | ||||||||||
Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d) | 170,000 | 192,950 | ||||||||||
|
| |||||||||||
6,513,528 | ||||||||||||
|
| |||||||||||
BANKS—FOREIGN | 15.8 | % | ||||||||||
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(c),(d),(e),(f) | 200,000 | 254,178 | ||||||||||
Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)(c),(d),(e),(f) | 200,000 | 252,499 | ||||||||||
Banco Santander SA, 4.75% to 11/12/26 (Spain)(c),(d),(f) | 200,000 | 204,500 | ||||||||||
Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(e),(f) | 200,000 | 220,139 | ||||||||||
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(c),(d),(e),(f) | 200,000 | 280,696 | ||||||||||
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(c),(d) | 150,000 | 164,812 | ||||||||||
Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(c),(d),(f) | 200,000 | 222,926 | ||||||||||
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(f) | 200,000 | 226,875 | ||||||||||
BNP Paribas SA, 4.50% to 2/25/30, 144A (France)(a),(c),(d),(f) | 200,000 | 204,875 | ||||||||||
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(c),(d),(f) | 200,000 | 234,173 | ||||||||||
Commerzbank AG, 4.25% to 10/9/27 (Germany)(c),(d),(e),(f) | 200,000 | 241,823 | ||||||||||
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(c),(d),(f) | 200,000 | 223,889 | ||||||||||
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(c),(d),(f) | 200,000 | 226,002 | ||||||||||
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(c),(d),(f) | 200,000 | 244,034 | ||||||||||
Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)(a),(c),(d),(f) | 400,000 | 444,734 | ||||||||||
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(c),(d),(e),(f) | 200,000 | 208,544 | ||||||||||
Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(a),(c),(d),(f) | 200,000 | 225,593 | ||||||||||
Danske Bank A/S, 4.375% to 5/18/26 (Denmark)(c),(d),(e),(f) | 200,000 | 204,201 | ||||||||||
Deutsche Bank AG, 4.789% to 4/30/25 (Germany)(c),(d),(e),(f) | 200,000 | 200,593 | ||||||||||
Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(f) | 200,000 | 219,500 | ||||||||||
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(c),(d) | 65,000 | 108,971 |
10
Principal Amount | Value | |||||||||||
HSBC Holdings PLC, 4.60% to 12/17/30 (United Kingdom)(c),(d),(f) | $ | 200,000 | $ | 205,900 | ||||||||
HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(c),(d),(f) | 200,000 | 221,500 | ||||||||||
HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(c),(d),(f) | 200,000 | 221,685 | ||||||||||
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(f) | 200,000 | 221,167 | ||||||||||
Intesa Sanpaolo SpA, 5.50% to 3/1/28, Series EMTN (Italy)(c),(d),(e),(f) | 250,000 | 327,669 | ||||||||||
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(c),(d),(f) | 200,000 | 229,624 | ||||||||||
Lloyds Banking Group PLC, 6.413% to 10/1/35, 144A (United Kingdom)(a),(c),(d) | 100,000 | 138,625 | ||||||||||
Lloyds Banking Group PLC, 6.657% to 5/21/37, 144A (United Kingdom)(a),(c),(d) | 200,000 | 284,210 | ||||||||||
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c),(d),(f) | 400,000 | 465,946 | ||||||||||
Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(a),(c),(d),(f) | 200,000 | 219,167 | ||||||||||
Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(c),(d),(e),(f) | 200,000 | 312,055 | ||||||||||
Natwest Group PLC, 4.60% to 6/28/31 (United Kingdom)(c),(d),(f) | 400,000 | 410,500 | ||||||||||
Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(c),(d),(f) | 200,000 | 236,785 | ||||||||||
Royal Bank of Canada, 3.65% to 10/24/26, due 11/24/81 (Canada)(d) | 200,000 | 160,462 | ||||||||||
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)(d) | 200,000 | 170,771 | ||||||||||
Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(c),(d),(f) | 200,000 | 227,624 | ||||||||||
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(c),(d),(f) | 200,000 | 223,020 | ||||||||||
Societe Generale SA, 8.00% to 9/29/25, 144A (France)(a),(c),(d),(f) | 200,000 | 236,375 | ||||||||||
Standard Chartered PLC, 4.75% to 1/14/31, 144A (United Kingdom)(a),(c),(d),(f) | 200,000 | 205,125 | ||||||||||
Standard Chartered PLC, 6.00% to 7/26/25, 144A (United Kingdom)(a),(c),(d),(f) | 200,000 | 219,670 | ||||||||||
Standard Chartered PLC, 7.014% to 7/30/37, 144A (United Kingdom)(a),(c),(d) | 300,000 | 413,250 | ||||||||||
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(c),(d),(f) | 200,000 | 217,848 | ||||||||||
Stichting AK Rabobank Certificaten, 2.188% (Netherlands)(c),(e) | 98,850 | 162,494 | ||||||||||
Svenska Handelsbanken AB, 4.75% to 3/1/31 (Sweden)(c),(d),(e),(f) | 200,000 | 213,611 |
11
Principal Amount | Value | |||||||||||
UBS Group AG, 3.875% to 6/2/26, 144A (Switzerland)(a),(c),(d),(f) | $ | 200,000 | $ | 202,080 | ||||||||
UBS Group AG, 5.125% to 7/29/26 (Switzerland)(c),(d),(e),(f) | 200,000 | 219,363 | ||||||||||
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c),(d),(e),(f) | 200,000 | 229,787 | ||||||||||
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(c),(d),(f) | 200,000 | 219,889 | ||||||||||
UniCredit SpA, 4.45% to 12/3/27, Series EMTN (Italy)(c),(d),(e),(f) | 200,000 | 241,995 | ||||||||||
UniCredit SpA, 8.00% to 6/3/24 (Italy)(c),(d),(e),(f) | 200,000 | 222,375 | ||||||||||
|
| |||||||||||
12,094,129 | ||||||||||||
|
| |||||||||||
ELECTRIC | 1.2 | % | ||||||||||
CenterPoint Energy, Inc., 6.125% to 9/1/23, Series A(c),(d) | 170,000 | 179,881 | ||||||||||
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(d) | 80,000 | 90,024 | ||||||||||
Dominion Energy, Inc., 4.65% to 12/15/24, Series B(c),(d) | 120,000 | 128,610 | ||||||||||
Duke Energy Corp., 4.875% to 9/16/24(c),(d) | 170,000 | 181,560 | ||||||||||
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(d) | 180,000 | 183,645 | ||||||||||
Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(d) | 140,000 | 148,050 | ||||||||||
|
| |||||||||||
911,770 | ||||||||||||
|
| |||||||||||
ELECTRIC—FOREIGN | 1.0 | % | ||||||||||
Electricite de France SA, 5.00% to 1/22/26, Series EMTN (France)(c),(d),(e) | 200,000 | 269,013 | ||||||||||
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(d) | 401,000 | 470,367 | ||||||||||
|
| |||||||||||
739,380 | ||||||||||||
|
| |||||||||||
FINANCIAL | 2.9 | % | ||||||||||
CREDIT CARD | 0.5 | % | ||||||||||
American Express Co., 3.55% to 9/15/26(c),(d) | 370,000 | 372,775 | ||||||||||
Discover Financial Services, 6.125% to 6/23/25, Series D(c),(d) | 40,000 | 45,202 | ||||||||||
|
| |||||||||||
417,977 | ||||||||||||
|
| |||||||||||
DIVERSIFIED FINANCIAL SERVICES | 0.8 | % | ||||||||||
Aircastle Ltd., 5.25% to 6/15/26, 144A(a),(c),(d) | 60,000 | 60,750 | ||||||||||
Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51, 144A(a),(d) | 90,000 | 90,601 | ||||||||||
Depository Trust & Clearing Corp./The, 3.375% to 6/20/26, Series D, 144A(a),(c),(d) | 250,000 | 254,844 | ||||||||||
ILFC E-Capital Trust II, 3.91% (3 Month US LIBOR + 1.80%), due 12/21/65, 144A (FRN)(a),(g) | 210,000 | 177,713 | ||||||||||
|
| |||||||||||
583,908 | ||||||||||||
|
|
12
Principal Amount | Value | |||||||||||
INVESTMENT BANKER/BROKER | 1.6 | % | ||||||||||
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(c),(d) | $ | 281,000 | $ | 292,928 | ||||||||
Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(c),(d) | 531,000 | 555,559 | ||||||||||
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(c),(d) | 308,000 | 344,714 | ||||||||||
|
| |||||||||||
1,193,201 | ||||||||||||
|
| |||||||||||
TOTAL FINANCIAL | 2,195,086 | |||||||||||
|
| |||||||||||
INSURANCE | 7.0 | % | ||||||||||
LIFE/HEALTH INSURANCE | 1.6 | % | ||||||||||
Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(c),(d) | 180,000 | 195,750 | ||||||||||
MetLife, Inc., 10.75%, due 8/1/69 | 280,000 | 483,136 | ||||||||||
SBL Holdings, Inc., 6.50% to 11/13/26, 144A(a),(c),(d) | 150,000 | 149,250 | ||||||||||
SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(c),(d) | 290,000 | 293,988 | ||||||||||
Voya Financial, Inc., 6.125% to 9/15/23, Series A(c),(d) | 85,000 | 91,800 | ||||||||||
|
| |||||||||||
1,213,924 | ||||||||||||
|
| |||||||||||
LIFE/HEALTH INSURANCE—FOREIGN | 1.0 | % | ||||||||||
Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(c),(d),(e),(f) | 400,000 | 429,103 | ||||||||||
Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)(c),(d),(e),(f) | 200,000 | 320,944 | ||||||||||
|
| |||||||||||
750,047 | ||||||||||||
|
| |||||||||||
MULTI-LINE | 0.8 | % | ||||||||||
American International Group, Inc., 8.175% to 5/15/38, due 5/15/58(d) | 325,000 | 482,786 | ||||||||||
Hartford Financial Services Group, Inc./The, 2.281% (3 Month US LIBOR + 2.125%), due 2/12/47, 144A, Series ICON (FRN)(a),(g) | 100,000 | 96,871 | ||||||||||
|
| |||||||||||
579,657 | ||||||||||||
|
| |||||||||||
MULTI-LINE—FOREIGN | 0.5 | % | ||||||||||
AXA SA, 6.379% to 12/14/36, 144A (France)(a),(c),(d) | 100,000 | 139,887 | ||||||||||
UnipolSai Assicurazioni SpA, 6.375% to 4/27/30 (Italy)(c),(d),(e),(f) | 200,000 | 275,989 | ||||||||||
|
| |||||||||||
415,876 | ||||||||||||
|
| |||||||||||
PROPERTY CASUALTY | 1.3 | % | ||||||||||
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(d) | 500,000 | 582,774 | ||||||||||
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(d) | 130,000 | 138,801 | ||||||||||
Markel Corp., 6.00% to 6/1/25(c),(d) | 130,000 | 144,299 |
13
Principal Amount | Value | |||||||||||
PartnerRe Finance B LLC, 4.50% to 4/1/30, due 10/1/50(d) | $ | 110,000 | $ | 115,679 | ||||||||
|
| |||||||||||
981,553 | ||||||||||||
|
| |||||||||||
PROPERTY CASUALTY—FOREIGN | 1.1 | % | ||||||||||
Athora Netherlands NV, 6.25% to 11/16/22 (Netherlands)(c),(d),(e) | 200,000 | 211,920 | ||||||||||
Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom)(d),(e) | 200,000 | 217,700 | ||||||||||
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(c),(d) | 400,000 | 440,000 | ||||||||||
|
| |||||||||||
869,620 | ||||||||||||
|
| |||||||||||
REINSURANCE | 0.7 | % | ||||||||||
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(d) | 300,000 | 321,119 | ||||||||||
Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51, 144A(a),(d) | 182,000 | 185,429 | ||||||||||
|
| |||||||||||
506,548 | ||||||||||||
|
| |||||||||||
TOTAL INSURANCE | 5,317,225 | |||||||||||
|
| |||||||||||
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN | 0.4 | % | ||||||||||
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d) | 190,000 | 191,900 | ||||||||||
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d) | 75,000 | 93,236 | ||||||||||
|
| |||||||||||
285,136 | ||||||||||||
|
| |||||||||||
OIL & GAS—FOREIGN | 0.9 | % | ||||||||||
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(c),(d) | 360,000 | 385,200 | ||||||||||
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(c),(d) | 305,000 | 337,498 | ||||||||||
|
| |||||||||||
722,698 | ||||||||||||
|
| |||||||||||
PIPELINES | 0.2 | % | ||||||||||
Energy Transfer LP, 6.50% to 11/15/26, Series H(c),(d) | 120,000 | 123,457 | ||||||||||
Energy Transfer LP, 7.125% to 5/15/30, Series G(c),(d) | 40,000 | 41,450 | ||||||||||
|
| |||||||||||
164,907 | ||||||||||||
|
|
14
Principal Amount | Value | |||||||||||
PIPELINES—FOREIGN | 2.2 | % | ||||||||||
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(d) | $ | 315,000 | $ | 356,741 | ||||||||
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d) | 260,000 | 288,870 | ||||||||||
Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(d) | 80,000 | 89,182 | ||||||||||
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(d) | 283,000 | 315,333 | ||||||||||
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(d) | 175,000 | 191,056 | ||||||||||
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(d) | 420,000 | 470,925 | ||||||||||
|
| |||||||||||
1,712,107 | ||||||||||||
|
| |||||||||||
REAL ESTATE—RETAIL—FOREIGN | 0.6 | % | ||||||||||
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(a),(d) | 400,000 | 427,618 | ||||||||||
|
| |||||||||||
UTILITIES | 1.0 | % | ||||||||||
ELECTRIC | 0.9 | % | ||||||||||
Edison International, 5.375% to 3/15/26, Series A(c),(d) | 270,000 | 274,219 | ||||||||||
NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(d) | 55,000 | 64,788 | ||||||||||
Sempra Energy, 4.875% to 10/15/25(c),(d) | 340,000 | 371,875 | ||||||||||
|
| |||||||||||
710,882 | ||||||||||||
|
| |||||||||||
GAS | 0.1 | % | ||||||||||
South Jersey Industries, Inc., 5.02%, due 4/15/31 | 40,000 | 43,050 | ||||||||||
|
| |||||||||||
TOTAL UTILITIES | 753,932 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES | 31,837,516 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS | 1.2 | % | ||||||||||
MONEY MARKET FUNDS | ||||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class, 0.01%(h) | 918,572 | 918,572 | ||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS | 918,572 | |||||||||||
|
|
15
Value | ||||||||||||
PURCHASED OPTION CONTRACTS | 0.0 | % | $ | 16,531 | ||||||||
TOTAL INVESTMENTS IN SECURITIES | 100.3 | % | 76,577,233 | |||||||||
WRITTEN OPTION CONTRACTS | (0.1 | ) | (78,489 | ) | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.2 | ) | (181,788 | ) | ||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 76,316,956 | ||||||||
|
|
|
|
Over-The-Counter Option Contracts
Purchased Options Interest Rate Swaptions | ||||||||||||||||||||||
Description | Counterparty | Exercise Rate | Expiration Date | Notional Amount(i) | Premiums Paid | Value | ||||||||||||||||
Option to receive 3-month LIBOR Quarterly, Pay 1.75% Semiannually, maturing 4/1/22 | Goldman Sachs International | 1.75 | % | 4/1/22 | $ | 746,000 | $ | 12,452 | $ | 7,742 | ||||||||||||
Option to receive 3-month LIBOR Quarterly, Pay 1.48% Semiannually, maturing 4/20/22 | Goldman Sachs International | �� | 1.48 | % | 4/20/22 | 450,000 | 8,356 | 8,789 | ||||||||||||||
$ | 1,196,000 | $ | 20,808 | $ | 16,531 | |||||||||||||||||
Written Options Interest Rate Swaptions | ||||||||||||||||||||||
Description | Counterparty | Exercise Rate | Expiration Date | Notional Amount(i) | Premiums Received | Value | ||||||||||||||||
Option to pay 3-month LIBOR Quarterly, Receive 2.05% Semiannually, maturing 4/1/22 | Goldman Sachs International | 2.05 | % | 4/1/22 | $ | (746,000 | ) | $ | (6,653 | ) | $ | (4,098 | ) | |||||||||
Option to pay 3-month LIBOR Quarterly, Receive 1.78% Semiannually, maturing 4/20/22 | Goldman Sachs International | 1.78 | % | 4/20/22 | (450,000 | ) | (4,440 | ) | (4,766 | ) | ||||||||||||
$ | (1,196,000 | ) | $ | (11,093 | ) | $ | (8,864 | ) | ||||||||||||||
16
Equity Options | ||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount(j) | Premiums Received | Value | |||||||||||||||||
Call — Aena SME SA | Goldman Sachs International | $ | 141.38 | 9/17/21 | (272 | ) | $ | (43,301 | ) | $ | (713 | ) | $ | (554 | ) | |||||||||
Call — American Tower Corp. | Goldman Sachs International | 293.30 | 9/17/21 | (1,338 | ) | (378,502 | ) | (6,342 | ) | (4,754 | ) | |||||||||||||
Call — American Water Works Co., Inc. | Goldman Sachs International | 171.95 | 9/17/21 | (218 | ) | (37,016 | ) | (560 | ) | (881 | ) | |||||||||||||
Call — Avalonbay Communities, Inc. | Goldman Sachs International | 232.90 | 9/17/21 | (263 | ) | (59,819 | ) | (982 | ) | (1,204 | ) | |||||||||||||
Call — Cellnex Telecom SA | Goldman Sachs International | 58.05 | 9/17/21 | (1,596 | ) | (104,015 | ) | (1,722 | ) | (1,450 | ) | |||||||||||||
Call — Crown Castle International Corp. | Goldman Sachs International | 198.70 | 9/17/21 | (965 | ) | (186,316 | ) | (2,649 | ) | (2,372 | ) | |||||||||||||
Call — CubeSmart | Goldman Sachs International | 50.86 | 9/17/21 | (1,598 | ) | (79,365 | ) | (1,205 | ) | (1,381 | ) | |||||||||||||
Call — Digital Realty Trust, Inc. | Goldman Sachs International | 159.61 | 9/17/21 | (504 | ) | (77,697 | ) | (1,061 | ) | (1,081 | ) | |||||||||||||
Call — Duke Energy Corp. | Goldman Sachs International | 105.86 | 9/17/21 | (341 | ) | (35,862 | ) | (501 | ) | (627 | ) | |||||||||||||
Call — Duke Realty Corp. | Goldman Sachs International | 53.37 | 9/17/21 | (2,016 | ) | (102,599 | ) | (873 | ) | (992 | ) | |||||||||||||
Call — Enbridge, Inc. | Goldman Sachs International | 49.41 | 9/17/21 | (6,061 | ) | (238,916 | ) | (2,725 | ) | (3,667 | ) | |||||||||||||
Call — Equinix, Inc. | Goldman Sachs International | 865.49 | 9/17/21 | (26 | ) | (21,462 | ) | (303 | ) | (229 | ) | |||||||||||||
Call — Essential Utilities, Inc. | Goldman Sachs International | 50.11 | 9/17/21 | (1,816 | ) | (89,199 | ) | (1,011 | ) | (1,966 | ) | |||||||||||||
Call — Healthpeak Properties, Inc. | Goldman Sachs International | 37.67 | 9/17/21 | (2,012 | ) | (74,390 | ) | (993 | ) | (1,405 | ) | |||||||||||||
Call — Invitation Homes, Inc. | Goldman Sachs International | 42.23 | 9/17/21 | (1,346 | ) | (54,742 | ) | (720 | ) | (718 | ) | |||||||||||||
Call — Kirkland Lake Gold, Inc. | Goldman Sachs International | 53.30 | 9/17/21 | (3,126 | ) | (133,677 | ) | (3,395 | ) | (6,789 | ) | |||||||||||||
Call — Leg Immobilien SE | Goldman Sachs International | 135.83 | 9/17/21 | (143 | ) | (22,621 | ) | (332 | ) | (410 | ) | |||||||||||||
Call — National Grid PLC | Goldman Sachs International | 9.44 | 9/17/21 | (7,704 | ) | (98,958 | ) | (1,644 | ) | (1,708 | ) | |||||||||||||
Call — Nextera Energy, Inc. | Goldman Sachs International | 79.51 | 9/17/21 | (663 | ) | (51,648 | ) | (725 | ) | (889 | ) | |||||||||||||
Call — Pembina Pipeline Corp. | Goldman Sachs International | 40.86 | 9/17/21 | (2,714 | ) | (89,697 | ) | (1,127 | ) | (3,118 | ) |
17
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount(j) | Premiums Received | Value | |||||||||||||||||||
Call — Prologis, Inc. | Goldman Sachs International | $ | 131.77 | 9/17/21 | (519 | ) | $ | (66,468 | ) | $ | (944 | ) | $ | (988 | ) | |||||||||||
Call — Public Service Enterprise | Goldman Sachs International | 62.46 | 9/17/21 | (847 | ) | (52,716 | ) | (689 | ) | (1,195 | ) | |||||||||||||||
Call — Public Storage | Goldman Sachs International | 321.08 | 9/17/21 | (415 | ) | (129,667 | ) | (1,853 | ) | (1,845 | ) | |||||||||||||||
Call — Renewable Energy Group, Inc. | Goldman Sachs International | 76.11 | 9/17/21 | (6,359 | ) | (389,484 | ) | (9,143 | ) | (8,129 | ) | |||||||||||||||
Call — SBA Communications Corp. | Goldman Sachs International | 350.02 | 9/17/21 | (274 | ) | (93,445 | ) | (1,285 | ) | (2,035 | ) | |||||||||||||||
Call — Simon Property Group, Inc. | Goldman Sachs International | 131.55 | 9/17/21 | (693 | ) | (87,633 | ) | (2,205 | ) | (2,809 | ) | |||||||||||||||
Call — Snam SPA | Goldman Sachs International | 5.12 | 9/17/21 | (9,559 | ) | (57,876 | ) | (761 | ) | (1,552 | ) | |||||||||||||||
Call — Spirit Realty Capital, Inc. | Goldman Sachs International | 52.93 | 9/17/21 | (1,165 | ) | (58,528 | ) | (716 | ) | (930 | ) | |||||||||||||||
Call — Sun Communities, Inc. | Goldman Sachs International | 192.40 | 9/17/21 | (207 | ) | (40,618 | ) | (714 | ) | (1,573 | ) | |||||||||||||||
Call — TC Energy Corp. | Goldman Sachs International | 61.79 | 9/17/21 | (2,508 | ) | (122,256 | ) | (2,098 | ) | (1,878 | ) | |||||||||||||||
Call — UDR, Inc. | Goldman Sachs International | 56.83 | 9/17/21 | (2,714 | ) | (149,265 | ) | (2,098 | ) | (2,365 | ) | |||||||||||||||
Call — Ventas, Inc. | Goldman Sachs International | 62.51 | 9/17/21 | (699 | ) | (41,808 | ) | (704 | ) | (904 | ) | |||||||||||||||
Call — VICI Properties, Inc. | Goldman Sachs International | 33.37 | 9/17/21 | (737 | ) | (22,996 | ) | (395 | ) | (283 | ) | |||||||||||||||
Call — Vinci SA | Goldman Sachs International | 94.05 | 9/17/21 | (1,666 | ) | (176,305 | ) | (2,740 | ) | (2,234 | ) | |||||||||||||||
Call — Waste Management, Inc. | Goldman Sachs International | 149.16 | 9/17/21 | (249 | ) | (36,899 | ) | (381 | ) | (685 | ) | |||||||||||||||
Call — Welltower, Inc. | Goldman Sachs International | 91.89 | 9/17/21 | (1,548 | ) | (134,501 | ) | (2,402 | ) | (2,215 | ) | |||||||||||||||
Call — Williams Co., Inc. | Goldman Sachs International | 26.14 | 9/17/21 | (6,052 | ) | (151,607 | ) | (2,138 | ) | (1,810 | ) | |||||||||||||||
(70,933 | ) | $ | (3,791,874 | ) | $ | (60,849 | ) | $ | (69,625 | ) | ||||||||||||||||
18
Forward Foreign Currency Exchange Contracts
Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
Brown Brothers Harriman | EUR | 199,361 | USD | 236,717 | 8/3/21 | $ | 225 | |||||||||||
Brown Brothers Harriman | EUR | 1,745,328 | USD | 2,069,112 | 8/3/21 | (1,282 | ) | |||||||||||
Brown Brothers Harriman | GBP | 459,352 | USD | 634,037 | 8/3/21 | (4,463 | ) | |||||||||||
Brown Brothers Harriman | USD | 2,306,654 | EUR | 1,944,689 | 8/3/21 | 232 | ||||||||||||
Brown Brothers Harriman | USD | 639,092 | GBP | 459,352 | 8/3/21 | (592 | ) | |||||||||||
Brown Brothers Harriman | CAD | 517,062 | USD | 416,770 | 8/4/21 | 2,326 | ||||||||||||
Brown Brothers Harriman | USD | 414,784 | CAD | 517,062 | 8/4/21 | (340 | ) | |||||||||||
Brown Brothers Harriman | CAD | 517,582 | USD | 415,157 | 9/2/21 | 307 | ||||||||||||
Brown Brothers Harriman | EUR | 1,963,967 | USD | 2,330,689 | 9/2/21 | (415 | ) | |||||||||||
Brown Brothers Harriman | GBP | 461,613 | USD | 642,233 | 9/2/21 | 546 | ||||||||||||
$ | (3,456 | ) | ||||||||||||||||
Glossary of Portfolio Abbreviations
ADR | American Depositary Receipt | |
CAD | Canadian Dollar | |
EMTN | Euro Medium Term Note | |
EUR | Euro Currency | |
FRN | Floating Rate Note | |
GBP | Great British Pound | |
LIBOR | London Interbank Offered Rate | |
REIT | Real Estate Investment Trust | |
USD | United States Dollar |
Note: Percentages indicated are based on the net assets of the Fund.
(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 $8,670,369 which represents 11.4% 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) | Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $5,516,691 which represents 7.2% of the net assets of the Fund, of which 0.0% are illiquid. |
(f) | 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 $11,516,570 or 15.1% of the net assets of the Fund. |
(g) | Variable rate. Rate shown is in effect at July 31, 2021. |
(h) | Rate quoted represents the annualized seven-day yield. |
(i) | Represents the notional amount of the underlying swap contract. |
(j) | Represents the number of contracts multiplied by notional contract size multiplied by the underlying price. |
19
Country Summary | % of Net Assets | |||
United States | 53.1 | |||
United Kingdom | 10.7 | |||
Canada | 9.3 | |||
France | 4.8 | |||
Australia | 2.6 | |||
China | 2.4 | |||
Spain | 2.3 | |||
Switzerland | 2.3 | |||
Italy | 2.1 | |||
Japan | 2.1 | |||
Germany | 1.6 | |||
South Africa | 1.2 | |||
Netherlands | 1.1 | |||
Hong Kong | 0.9 | |||
Sweden | 0.7 | |||
Singapore | 0.5 | |||
Belgium | 0.5 | |||
Other | 1.8 | |||
|
| |||
100.0 | ||||
|
|
20
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. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.
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 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.
COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 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, 2021 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 | $ | 35,616,935 | $ | 35,616,935 | $ | — | $ | — | ||||||||
Master Limited Partnerships and Related Companies | 1,664,179 | 1,664,179 | — | — | ||||||||||||
Preferred Securities—$25 Par Value: | ||||||||||||||||
Banks | 985,719 | 784,639 | 201,080 | — | ||||||||||||
Other Industries | 5,537,781 | 5,537,781 | — | — | ||||||||||||
Preferred Securities—Capital Securities | 31,837,516 | — | 31,837,516 | — | ||||||||||||
Short-Term Investments | 918,572 | — | 918,572 | — | ||||||||||||
Purchased Option Contracts | 16,531 | — | 16,531 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities(a) | $ | 76,577,233 | $ | 43,603,534 | $ | 32,973,699 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Exchange Contracts | $ | 3,636 | $ | — | $ | 3,636 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Assets(a) | $ | 3,636 | $ | — | $ | 3,636 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Exchange Contracts | $ | (7,092 | ) | $ | — | $ | (7,092 | ) | $ | — | ||||||
Written Option Contracts | (78,489 | ) | — | (78,489 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Liabilities(a) | $ | (85,581 | ) | $ | — | $ | (85,581 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
(a) | Portfolio holdings are disclosed individually on the Schedule of Investments. |
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
Preferred Securities— Capital Securities— Banks | ||||
Balance as of October 31, 2020 | $ | 134,813 | ||
Transfer out of Level 3(a) | (136,875 | ) | ||
Change in unrealized appreciation (depreciation) | 2,062 | |||
|
| |||
Balance as of July 31, 2021 | $ | — | ||
|
|
(a) | As of October 31, 2020, the Fund used significant unobservable inputs in determining the value of this investment. As of July 31, 2021, the same investment was transferred from Level 3 to Level 2 as a result of the availability of observable inputs. |
COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Note 2. Derivative Investments
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.
Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.
When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.
Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.
Interest Rate Swaption Contracts: The Fund may write or purchase interest rate swaptions which are options to enter into a pre-defined swap agreement at a specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises the swaption. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the nine months ended July 31, 2021:
Purchased Option Contracts(a),(b) | Written Option Contracts(a),(b) | Forward Foreign Currency Exchange Contracts | ||||||||||
Average Notional Amount | $ | 1,311,882 | $ | 3,476,192 | $ | 2,453,331 |
(a) | Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month end. For the period, this represents five months for both purchased and written option contracts. |
(b) | Notional amount for swaption contracts represents the notional amount of the underlying swap contract. Notional amount for all other option contracts is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price. |