COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
January 31, 2022 (Unaudited)
Shares | Value | |||||||||||
CLOSED-END FUNDS | 1.4 | % | ||||||||||
MASTER LIMITED PARTNERSHIPS | 0.5 | % | ||||||||||
Kayne Anderson MLP Investment Company | 48,910 | $ | 410,355 | |||||||||
|
| |||||||||||
U.S. GENERAL EQUITY | 0.9 | % | ||||||||||
Adams Diversified Equity Fund, Inc. | 38,440 | 708,834 | ||||||||||
|
| |||||||||||
TOTAL CLOSED-END FUNDS | 1,119,189 | |||||||||||
|
| |||||||||||
COMMON STOCK | 48.1 | % | ||||||||||
AIRPORTS—FOREIGN | 1.1 | % | ||||||||||
Aena SME SA, 144A (Spain)(a),(b) | 3,572 | 577,173 | ||||||||||
Auckland International Airport Ltd. (New Zealand)(b) | 27,950 | 132,676 | ||||||||||
Beijing Capital International Airport Co., Ltd., Class H (China)(b) | 264,000 | 176,253 | ||||||||||
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886,102 | ||||||||||||
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COMMUNICATIONS | 5.9 | % | ||||||||||
TOWERS | 5.1 | % | ||||||||||
American Tower Corp. | 8,772 | 2,206,158 | ||||||||||
Crown Castle International Corp. | 8,363 | 1,526,331 | ||||||||||
SBA Communications Corp. | 684 | 222,601 | ||||||||||
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3,955,090 | ||||||||||||
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| |||||||||||
TOWERS—FOREIGN | 0.8 | % | ||||||||||
Cellnex Telecom SA, 144A (Spain)(a) | 14,823 | 672,158 | ||||||||||
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| |||||||||||
TOTAL COMMUNICATIONS | 4,627,248 | |||||||||||
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| |||||||||||
ELECTRIC | 2.6 | % | ||||||||||
CenterPoint Energy, Inc. | 8,566 | 242,932 | ||||||||||
Evergy, Inc. | 3,071 | 199,492 | ||||||||||
Eversource Energy | 3,248 | 290,663 | ||||||||||
PG&E Corp.(b) | 40,927 | 523,456 | ||||||||||
PNM Resources, Inc. | 7,021 | 314,611 | ||||||||||
Portland General Electric Co. | 2,088 | 109,704 | ||||||||||
Public Service Enterprise Group, Inc. | 5,141 | 342,031 | ||||||||||
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2,022,889 | ||||||||||||
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ELECTRIC—FOREIGN | 1.7 | % | ||||||||||
China Longyuan Power Group Corp. Ltd. (China) | 136,000 | 277,479 | ||||||||||
Daiwa House REIT Investment Corp. (Japan) | 38 | 113,201 | ||||||||||
Elia Group SA/NV (Belgium) | 1,841 | 248,433 | ||||||||||
Hydro One Ltd., 144A (Canada)(a) | 8,804 | 227,450 | ||||||||||
National Grid PLC (United Kingdom) | 30,569 | 447,314 | ||||||||||
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| |||||||||||
1,313,877 | ||||||||||||
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|
1
Shares | Value | |||||||||||
ENERGY | 1.2 | % | ||||||||||
GAS—DISTRIBUTION—FOREIGN | 0.6 | % | ||||||||||
Enn Energy Holdings Ltd. (China) | 15,400 | $ | 245,172 | |||||||||
Snam S.p.A. (Italy) | 36,960 | 207,112 | ||||||||||
|
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452,284 | ||||||||||||
|
| |||||||||||
OIL & GAS—FOREIGN | 0.6 | % | ||||||||||
Suncor Energy, Inc. (Canada) | 15,922 | 454,932 | ||||||||||
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| |||||||||||
TOTAL ENERGY | 907,216 | |||||||||||
|
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ENVIRONMENTAL SERVICES | 0.3 | % | ||||||||||
Waste Management, Inc. | 1,433 | 215,580 | ||||||||||
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INFRASTRUCTURE | 0.5 | % | ||||||||||
Norfolk Southern Corp. | 1,329 | 361,475 | ||||||||||
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| |||||||||||
INFRASTRUCTURE—FOREIGN | 0.1 | % | ||||||||||
Atlas Arteria Ltd. (Australia)(c) | 23,389 | 108,570 | ||||||||||
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| |||||||||||
MARINE PORTS—FOREIGN | 1.4 | % | ||||||||||
China Merchants Port Holdings Co., Ltd. (China) | 188,000 | 347,456 | ||||||||||
COSCO SHIPPING Ports Ltd. (China) | 558,000 | 444,504 | ||||||||||
Santos Brasil Participacoes SA (Brazil) | 227,302 | 298,783 | ||||||||||
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1,090,743 | ||||||||||||
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| |||||||||||
MATERIALS—METALS & MINING—FOREIGN | 2.5 | % | ||||||||||
Anglo American PLC (South Africa) | 15,910 | 701,400 | ||||||||||
BHP Group Ltd. (Australia) | 20,399 | 643,890 | ||||||||||
Kirkland Lake Gold Ltd. (Canada) | 15,454 | 582,101 | ||||||||||
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1,927,391 | ||||||||||||
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PIPELINES | 2.3 | % | ||||||||||
Cheniere Energy, Inc. | 7,209 | 806,687 | ||||||||||
Targa Resources Corp. | 16,834 | 994,553 | ||||||||||
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| |||||||||||
1,801,240 | ||||||||||||
|
| |||||||||||
PIPELINES—C-CORP | 0.9 | % | ||||||||||
DT Midstream, Inc. | 12,931 | 668,533 | ||||||||||
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| |||||||||||
PIPELINES—FOREIGN | 4.1 | % | ||||||||||
Enbridge, Inc. (Canada) | 51,555 | 2,179,574 | ||||||||||
TC Energy Corp. (Canada) | 15,134 | 781,494 | ||||||||||
Tidewater Renewables Ltd. (Canada)(b) | 21,678 | 218,460 | ||||||||||
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| |||||||||||
3,179,528 | ||||||||||||
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|
2
Shares | Value | |||||||||||
RAILWAYS—FOREIGN | 0.5 | % | ||||||||||
Canadian National Railway Co. (Canada) | 1,848 | $ | 225,237 | |||||||||
West Japan Railway Co. (Japan) | 4,200 | 175,996 | ||||||||||
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| |||||||||||
401,233 | ||||||||||||
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| |||||||||||
REAL ESTATE | 15.3 | % | ||||||||||
DATA CENTERS | 0.8 | % | ||||||||||
Digital Realty Trust, Inc. | 3,913 | 583,937 | ||||||||||
Equinix, Inc. | 73 | 52,918 | ||||||||||
|
| |||||||||||
636,855 | ||||||||||||
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| |||||||||||
DATA CENTERS—FOREIGN | 0.3 | % | ||||||||||
Digital Core REIT Management Pte Ltd. (Singapore)(b) | 42,768 | 50,038 | ||||||||||
NEXTDC Ltd. (Australia)(b) | 19,088 | 146,462 | ||||||||||
|
| |||||||||||
196,500 | ||||||||||||
|
| |||||||||||
DIVERSIFIED—FOREIGN | 2.4 | % | ||||||||||
Activia Properties, Inc. (Japan) | 16 | 54,158 | ||||||||||
British Land Co., PLC/The (United Kingdom) | 9,918 | 74,162 | ||||||||||
Capitaland Investment Ltd. (Singapore)(b) | 32,800 | 84,160 | ||||||||||
Castellum AB (Sweden) | 5,863 | 138,096 | ||||||||||
Charter Hall Group (Australia) | 10,742 | 128,666 | ||||||||||
CK Asset Holdings Ltd. (Hong Kong) | 9,500 | 63,416 | ||||||||||
Dexus (Australia) | 12,153 | 88,473 | ||||||||||
Hysan Development Co., Ltd. (Hong Kong) | 22,000 | 67,436 | ||||||||||
ICADE (France) | 1,375 | 99,284 | ||||||||||
Merlin Properties Socimi SA (Spain) | 10,809 | 122,190 | ||||||||||
Mirvac Group (Australia) | 45,414 | 84,160 | ||||||||||
Mitsui Fudosan Co., Ltd. (Japan) | 13,300 | 285,116 | ||||||||||
Nomura Real Estate Holdings, Inc. (Japan) | 4,100 | 96,009 | ||||||||||
Nomura Real Estate Master Fund, Inc. (Japan) | 65 | 90,183 | ||||||||||
NSI NV (Netherlands) | 1,472 | 61,039 | ||||||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 11,000 | 134,206 | ||||||||||
Tokyu Fudosan Holdings Corp. (Japan) | 7,900 | 43,278 | ||||||||||
United Urban Investment Corp. (Japan) | 133 | 157,147 | ||||||||||
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| |||||||||||
1,871,179 | ||||||||||||
|
| |||||||||||
HEALTH CARE | 1.3 | % | ||||||||||
Healthcare Trust of America, Inc., Class A | 2,278 | 74,149 | ||||||||||
Healthpeak Properties, Inc. | 3,134 | 110,849 |
3
Shares | Value | |||||||||||
Ventas, Inc. | 3,812 | $ | 202,112 | |||||||||
Welltower, Inc. | 7,155 | 619,838 | ||||||||||
|
| |||||||||||
1,006,948 | ||||||||||||
|
| |||||||||||
HEALTH CARE—FOREIGN | 0.3 | % | ||||||||||
Assura PLC (United Kingdom) | 110,520 | 99,963 | ||||||||||
HealthCo REIT (Australia) | 28,737 | 38,761 | ||||||||||
Parkway Life Real Estate Investment Trust (Singapore) | 26,526 | 94,339 | ||||||||||
|
| |||||||||||
233,063 | ||||||||||||
|
| |||||||||||
HOTEL | 0.4 | % | ||||||||||
Host Hotels & Resorts, Inc.(b) | 4,507 | 78,151 | ||||||||||
Ryman Hospitality Properties, Inc.(b) | 3,030 | 267,852 | ||||||||||
|
| |||||||||||
346,003 | ||||||||||||
|
| |||||||||||
HOTEL—FOREIGN | 0.0 | % | ||||||||||
Invincible Investment Corp. (Japan) | 118 | 37,171 | ||||||||||
|
| |||||||||||
INDUSTRIALS | 1.4 | % | ||||||||||
Americold Realty Trust | 3,128 | 88,992 | ||||||||||
Duke Realty Corp. | 9,984 | 576,875 | ||||||||||
First Industrial Realty Trust, Inc. | 490 | 29,782 | ||||||||||
Prologis, Inc. | 2,312 | 362,568 | ||||||||||
|
| |||||||||||
1,058,217 | ||||||||||||
|
| |||||||||||
INDUSTRIALS—FOREIGN | 1.0 | % | ||||||||||
Catena AB (Sweden) | 2,618 | 148,607 | ||||||||||
CTP NV, 144A (Netherlands)(a) | 1,975 | 40,176 | ||||||||||
ESR Cayman Ltd., 144A (China)(a),(b) | 15,800 | 53,573 | ||||||||||
Frasers Logistics & Commercial Trust (Singapore) | 99,500 | 101,226 | ||||||||||
Goodman Group (Australia) | 3,143 | 51,896 | ||||||||||
LaSalle Logiport REIT (Japan) | 61 | 97,581 | ||||||||||
LondonMetric Property PLC (United Kingdom) | 8,396 | 30,252 | ||||||||||
Segro PLC (United Kingdom) | 6,006 | 105,884 | ||||||||||
Tritax Big Box REIT PLC (United Kingdom) | 29,695 | 95,251 | ||||||||||
Urban Logistics REIT PLC (United Kingdom) | 22,722 | 53,631 | ||||||||||
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778,077 | ||||||||||||
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| |||||||||||
NET LEASE | 0.6 | % | ||||||||||
NETSTREIT Corp. | 7,090 | 160,234 | ||||||||||
Spirit Realty Capital, Inc. | 2,659 | 126,196 | ||||||||||
VICI Properties, Inc. | 5,081 | 145,418 | ||||||||||
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| |||||||||||
431,848 | ||||||||||||
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4
Shares | Value | |||||||||||
NET LEASE—FOREIGN | 0.1 | % | ||||||||||
ARGAN SA (France) | 937 | $ | 117,899 | |||||||||
|
| |||||||||||
OFFICE—FOREIGN | 0.4 | % | ||||||||||
Cofinimmo SA (Belgium) | 343 | 50,600 | ||||||||||
Daiwa Office Investment Corp. (Japan) | 16 | 100,251 | ||||||||||
Keppel REIT (Singapore) | 92,400 | 77,011 | ||||||||||
Workspace Group PLC (United Kingdom) | 4,388 | 50,140 | ||||||||||
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278,002 | ||||||||||||
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RESIDENTIAL | 2.8 | % | ||||||||||
APARTMENT | 1.4 | % | ||||||||||
Apartment Income REIT Corp. | 5,482 | 289,559 | ||||||||||
AvalonBay Communities, Inc. | 1,617 | 394,920 | ||||||||||
Highwoods Properties, Inc. | 2,628 | 113,319 | ||||||||||
UDR, Inc. | 5,441 | 309,267 | ||||||||||
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| |||||||||||
1,107,065 | ||||||||||||
|
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APARTMENT—FOREIGN | 0.9 | % | ||||||||||
Aedifica SA (Belgium) | 424 | 50,996 | ||||||||||
LEG Immobilien SE (Germany) | 380 | 50,410 | ||||||||||
Tricon Residential, Inc. (Canada) | 9,150 | 134,413 | ||||||||||
Vonovia SE (Germany) | 6,802 | 387,413 | ||||||||||
Wharf Real Estate Investment Co., Ltd. (Hong Kong) | 19,000 | 90,365 | ||||||||||
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713,597 | ||||||||||||
|
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MANUFACTURED HOME | 0.1 | % | ||||||||||
Sun Communities, Inc. | 333 | 62,924 | ||||||||||
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SINGLE FAMILY | 0.4 | % | ||||||||||
Invitation Homes, Inc. | 7,402 | 310,736 | ||||||||||
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| |||||||||||
TOTAL RESIDENTIAL | 2,194,322 | |||||||||||
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| |||||||||||
RETAIL—FOREIGN | 0.8 | % | ||||||||||
CapitaLand Integrated Commercial Trust (Singapore) | 41,296 | 59,536 | ||||||||||
Eurocommercial Properties NV (Netherlands) | 2,705 | 65,414 | ||||||||||
Japan Retail Fund Investment Corp. (Japan) | 76 | 64,046 | ||||||||||
Klepierre SA (France)(b) | 5,629 | 149,722 | ||||||||||
Link REIT (Hong Kong) | 16,883 | 144,949 | ||||||||||
SmartCentres Real Estate Investment Trust (Canada) | 4,024 | 97,312 | ||||||||||
Unibail-Rodamco-Westfield (France)(b) | 356 | 27,126 | ||||||||||
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| |||||||||||
608,105 | ||||||||||||
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|
5
Shares | Value | |||||||||||
SELF STORAGE | 1.3 | % | ||||||||||
CubeSmart | 6,031 | $ | 306,013 | |||||||||
Public Storage | 2,033 | 728,891 | ||||||||||
|
| |||||||||||
1,034,904 | ||||||||||||
|
| |||||||||||
SELF STORAGE—FOREIGN | 0.2 | % | ||||||||||
National Storage REIT (Australia) | 39,047 | 68,452 | ||||||||||
Safestore Holdings PLC (United Kingdom) | 6,652 | 114,051 | ||||||||||
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| |||||||||||
182,503 | ||||||||||||
|
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SHOPPING CENTERS | 1.1 | % | ||||||||||
COMMUNITY CENTER | 0.5 | % | ||||||||||
Kite Realty Group Trust | 19,102 | 398,850 | ||||||||||
|
| |||||||||||
REGIONAL MALL | 0.6 | % | ||||||||||
Simon Property Group, Inc. | 2,886 | 424,819 | ||||||||||
|
| |||||||||||
TOTAL SHOPPING CENTERS |
| 823,669 | ||||||||||
|
| |||||||||||
SPECIALTY | 0.1 | % | ||||||||||
Lamar Advertising Co., Class A | 1,043 | 115,523 | ||||||||||
|
| |||||||||||
TOTAL REAL ESTATE |
| 11,950,788 | ||||||||||
|
| |||||||||||
RENEWABLE ENERGY | 1.1 | % | ||||||||||
Clearway Energy, Inc. | 7,400 | 249,232 | ||||||||||
Renewable Energy Group, Inc.(b) | 14,593 | 587,514 | ||||||||||
|
| |||||||||||
836,746 | ||||||||||||
|
| |||||||||||
TOLL ROADS—FOREIGN | 2.5 | % | ||||||||||
Transurban Group (Australia)(c) | 44,150 | 390,031 | ||||||||||
Vinci SA (France) | 12,595 | 1,380,494 | ||||||||||
Zhejiang Expressway Co., Ltd., (Class H)(China) | 184,000 | 157,639 | ||||||||||
|
| |||||||||||
1,928,164 | ||||||||||||
|
| |||||||||||
UTILITIES | 4.1 | % | ||||||||||
ELECTRIC | 1.4 | % | ||||||||||
NextEra Energy, Inc. | 1,924 | 150,303 | ||||||||||
Sempra Energy | 7,019 | 969,745 | ||||||||||
|
| |||||||||||
1,120,048 | ||||||||||||
|
| |||||||||||
GAS | 0.7 | % | ||||||||||
Atmos Energy Corp. | 2,036 | 218,300 | ||||||||||
NiSource, Inc. | 11,721 | 342,019 | ||||||||||
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| |||||||||||
560,319 | ||||||||||||
|
|
6
Shares | Value | |||||||||||
GAS—FOREIGN | 0.1 | % | ||||||||||
China Suntien Green Energy Corp. Ltd (China) | 113,000 | $ | 68,857 | |||||||||
|
| |||||||||||
MULTI-UTILITIES—FOREIGN | 0.1 | % | ||||||||||
Engie SA (France) | 7,532 | 115,856 | ||||||||||
|
| |||||||||||
WATER | 0.9 | % | ||||||||||
Essential Utilities, Inc. | 13,742 | 669,785 | ||||||||||
|
| |||||||||||
WATER—FOREIGN | 0.9 | % | ||||||||||
Pennon Group PLC (United Kingdom) | 21,600 | 316,496 | ||||||||||
United Utilities Group PLC (United Kingdom) | 26,452 | 381,593 | ||||||||||
|
| |||||||||||
698,089 | ||||||||||||
|
| |||||||||||
TOTAL UTILITIES |
| 3,232,954 | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 37,460,277 | |||||||||||
|
| |||||||||||
MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES | 0.5 | % | ||||||||||
DIVERSIFIED MIDSTREAM | 0.3 | % | ||||||||||
Energy Transfer LP | 26,017 | 248,983 | ||||||||||
|
| |||||||||||
PIPELINES—C-CORP | 0.2 | % | ||||||||||
NextDecade Corp.(b) | 65,042 | 143,743 | ||||||||||
|
| |||||||||||
TOTAL MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES | 392,726 | |||||||||||
|
| |||||||||||
PREFERRED SECURITIES—$25 PAR VALUE | 7.9 | % | ||||||||||
BANKS | 0.7 | % | ||||||||||
Bank of America Corp., 6.00%, Series GG(d) | 2,321 | 60,578 | ||||||||||
Dime Community Bancshares, Inc., 5.50%, Series A(d) | 5,287 | 132,915 | ||||||||||
First Horizon Corp., 4.70%, Series F(d) | 1,574 | 37,902 | ||||||||||
First Republic Bank/CA, 4.50%, Series N(d) | 1,575 | 37,438 | ||||||||||
JPMorgan Chase & Co., 6.00%, Series EE(d) | 2,872 | 76,424 | ||||||||||
Signature Bank/New York NY, 5.00%, Series a(d) | 2,952 | 73,062 | ||||||||||
Wells Fargo & Co., 4.75%, Series Z(d) | 1,870 | 46,451 | ||||||||||
Western Alliance Bancorp, 4.25% to 9/30/26, Series A(d),(e) | 2,998 | 75,609 | ||||||||||
|
| |||||||||||
540,379 | ||||||||||||
|
| |||||||||||
ELECTRIC | 0.4 | % | ||||||||||
CMS Energy Corp., 5.875%, due 3/1/79 | 3,008 | 80,073 | ||||||||||
CMS Energy Corp., 5.875%, due 10/15/78 | 668 | 17,829 | ||||||||||
Duke Energy Corp., 5.75%, Series A(d) | 1,305 | 34,883 | ||||||||||
SCE Trust V, 5.45% to 3/15/26, Series K (TruPS)(d),(e) | 6,561 | 164,353 | ||||||||||
|
| |||||||||||
297,138 | ||||||||||||
|
|
7
Shares | Value | |||||||||||
ELECTRIC—FOREIGN | 0.4 | % | ||||||||||
BIP Bermuda Holdings I Ltd., 5.125%, (Bermuda)(d) | 2,140 | $ | 52,580 | |||||||||
Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada) | 1,861 | 44,254 | ||||||||||
Brookfield Infrastructure Partners LP, 5.125%, Series 13 | 9,106 | 216,996 | ||||||||||
|
| |||||||||||
313,830 | ||||||||||||
|
| |||||||||||
FINANCIAL | 1.1 | % | ||||||||||
DIVERSIFIED FINANCIAL SERVICES | 0.9 | % | ||||||||||
Carlyle Finance LLC, 4.625%, due 5/15/61 | 2,551 | 61,607 | ||||||||||
Federal Agricultural Mortgage Corp., 4.875%, Series G(d) | 7,200 | 176,400 | ||||||||||
KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61 | 2,275 | 55,851 | ||||||||||
Oaktree Capital Group LLC, 6.55%, Series B(d) | 7,222 | 191,816 | ||||||||||
Synchrony Financial, 5.625%, Series A(d) | 8,061 | 209,506 | ||||||||||
|
| |||||||||||
695,180 | ||||||||||||
|
| |||||||||||
INVESTMENT ADVISORY SERVICES | 0.1 | % | ||||||||||
Affiliated Managers Group Inc, 5.875%, due 3/30/59 | 3,660 | 97,356 | ||||||||||
|
| |||||||||||
INVESTMENT BANKER/BROKER | 0.1 | % | ||||||||||
Morgan Stanley, 6.375% to 10/15/24, Series I(d),(e) | 2,374 | 64,715 | ||||||||||
|
| |||||||||||
TOTAL FINANCIAL |
| 857,251 | ||||||||||
|
| |||||||||||
INSURANCE | 1.7 | % | ||||||||||
LIFE/HEALTH INSURANCE | 1.0 | % | ||||||||||
Athene Holding Ltd., 5.625%, Series B(d) | 2,367 | 60,998 | ||||||||||
Athene Holding Ltd., 4.875%, Series D(d) | 7,615 | 186,187 | ||||||||||
Brighthouse Financial, Inc., 5.375%, Series C(d) | 9,321 | 230,322 | ||||||||||
CNO Financial Group, Inc., 5.125%, due 11/25/60 | 5,269 | 131,725 | ||||||||||
Equitable Holdings, Inc., 5.25%, Series A(d) | 5,880 | 150,704 | ||||||||||
MetLife, Inc., 5.625%, Series E(d) | 538 | 14,305 | ||||||||||
|
| |||||||||||
774,241 | ||||||||||||
|
| |||||||||||
MULTI-LINE | 0.1 | % | ||||||||||
Allstate Corp., 5.625%, Series G(d) | 409 | 10,712 | ||||||||||
American International Group, Inc., 5.85%, Series A(d) | 3,101 | 81,928 | ||||||||||
|
| |||||||||||
92,640 | ||||||||||||
|
| |||||||||||
PROPERTY CASUALTY | 0.4 | % | ||||||||||
Assurant, Inc., 5.25%, due 1/15/61 | 1,014 | 25,796 | ||||||||||
Enstar Group Ltd., 7.00% to 9/1/28, Series D(d),(e) | 10,325 | 288,790 | ||||||||||
|
| |||||||||||
314,586 | ||||||||||||
|
|
8
Shares | Value | |||||||||||
REINSURANCE | 0.1 | % | ||||||||||
Arch Capital Group Ltd., 4.55%, Series G(d) | 2,593 | $ | 62,725 | |||||||||
|
| |||||||||||
REINSURANCE—FOREIGN | 0.1 | % | ||||||||||
RenaissanceRe Holdings Ltd., 5.75%, Series F (Bermuda)(d) | 3,469 | 92,553 | ||||||||||
|
| |||||||||||
TOTAL INSURANCE |
| 1,336,745 | ||||||||||
|
| |||||||||||
INTEGRATED TELECOMMUNICATIONS SERVICES | 1.1 | % | ||||||||||
AT&T, Inc., 4.75%, Series C(d) | 3,100 | 76,167 | ||||||||||
Telephone and Data Systems, Inc., 6.625%, Series UU(d) | 6,100 | 158,722 | ||||||||||
Telephone and Data Systems, Inc., 6.00%, Series VV(d) | 8,525 | 216,279 | ||||||||||
United States Cellular Corp., 5.50%, due 3/1/70 | 5,814 | 145,175 | ||||||||||
United States Cellular Corp., 5.50%, due 6/1/70 | 4,864 | 121,892 | ||||||||||
United States Cellular Corp., 6.25%, due 9/1/69 | 4,595 | 117,954 | ||||||||||
|
| |||||||||||
836,189 | ||||||||||||
|
| |||||||||||
PIPELINES | 0.2 | % | ||||||||||
Energy Transfer LP, 7.60% to 5/15/24, Series E(d),(e) | 6,122 | 152,438 | ||||||||||
|
| |||||||||||
PIPELINES—FOREIGN | 0.3 | % | ||||||||||
Enbridge, Inc., 5.949% to 6/1/23, Series 1 (Canada)(d),(e) | 3,984 | 95,456 | ||||||||||
TC Energy Corp., 3.355% to 11/30/25, Series 11 (Canada)(d),(e) | 6,302 | 119,977 | ||||||||||
|
| |||||||||||
215,433 | ||||||||||||
|
| |||||||||||
REAL ESTATE | 1.3 | % | ||||||||||
HOTEL | 0.1 | % | ||||||||||
Pebblebrook Hotel Trust, 6.375%, Series G(d) | 4,000 | 100,040 | ||||||||||
|
| |||||||||||
INDUSTRIALS | 0.4 | % | ||||||||||
Monmouth Real Estate Investment Corp., 6.125%, Series C(d) | 10,700 | 269,533 | ||||||||||
Rexford Industrial Realty, Inc., 5.625%, Series C(d) | 2,700 | 69,228 | ||||||||||
|
| |||||||||||
338,761 | ||||||||||||
|
| |||||||||||
NET LEASE | 0.2 | % | ||||||||||
Spirit Realty Capital, Inc., 6.00%, Series A(d) | 4,350 | 110,490 | ||||||||||
|
| |||||||||||
OFFICE | 0.3 | % | ||||||||||
Brookfield Property Partners LP, 5.75%, Series A(d) | 4,462 | 101,511 | ||||||||||
Brookfield Property Preferred LP, 6.25%, due 7/26/81 | 3,000 | 74,910 | ||||||||||
Hudson Pacific Properties, Inc., 4.75%, Series C(d) | 2,986 | 75,426 | ||||||||||
|
| |||||||||||
251,847 | ||||||||||||
|
|
9
Shares | Value | |||||||||||
RESIDENTIAL—SINGLE FAMILY | 0.3 | % | ||||||||||
American Homes 4 Rent, 5.875%, Series G(d) | 9,364 | $ | 236,441 | |||||||||
|
| |||||||||||
TOTAL REAL ESTATE |
| 1,037,579 | ||||||||||
|
| |||||||||||
UTILITIES | 0.7 | % | ||||||||||
ELECTRIC—FOREIGN | 0.3 | % | ||||||||||
Algonquin Power & Utilities Corp., 6.875% to 10/17/23, due 10/17/78 (Canada)(e) | 3,685 | 97,652 | ||||||||||
Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(d) | 2,618 | 59,900 | ||||||||||
Brookfield BRP Holdings Canada, Inc., 4.875% (Canada)(d) | 2,422 | 58,564 | ||||||||||
|
| |||||||||||
216,116 | ||||||||||||
|
| |||||||||||
GAS | 0.4 | % | ||||||||||
NiSource, Inc., 6.50% to 3/15/24, Series B(d),(e) | 3,602 | 97,506 | ||||||||||
South Jersey Industries, Inc., 5.625%, due 9/16/79 | 9,734 | 249,483 | ||||||||||
|
| |||||||||||
346,989 | ||||||||||||
|
| |||||||||||
TOTAL UTILITIES |
| 563,105 | ||||||||||
|
| |||||||||||
TOTAL PREFERRED SECURITIES—$25 PAR VALUE | 6,150,087 | |||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
PREFERRED SECURITIES—CAPITAL SECURITIES | 39.6 | % | ||||||||||
BANKS | 8.7 | % | ||||||||||
Ally Financial, Inc., 4.70% to 5/15/26, Series B(d),(e) | $ | 104,000 | 103,145 | |||||||||
Ally Financial, Inc., 4.70% to 5/15/28, Series C(d),(e) | 260,000 | 258,050 | ||||||||||
Bank of America Corp., 5.875% to 3/15/28, Series FF(d),(e) | 237,000 | 250,924 | ||||||||||
Bank of America Corp., 6.10% to 3/17/25, Series AA(d),(e) | 440,000 | 474,586 | ||||||||||
Bank of America Corp., 6.25% to 9/5/24, Series X(d),(e) | 403,000 | 427,432 | ||||||||||
Bank of America Corp., 6.50% to 10/23/24, Series Z(d),(e) | 85,000 | 91,690 | ||||||||||
Capital One Financial Corp., 3.95% to 9/1/26, Series M(d),(e) | 116,000 | 113,680 | ||||||||||
Citigroup, Inc., 3.875% to 2/18/26(d),(e) | 280,000 | 273,280 | ||||||||||
Citigroup, Inc., 4.00% to 12/10/25, Series W(d),(e) | 153,000 | 151,470 | ||||||||||
Citigroup, Inc., 4.15% to 11/15/26, Series Y(d),(e) | 98,000 | 95,866 | ||||||||||
Citigroup, Inc., 5.00% to 9/12/24, Series U(d),(e) | 401,000 | 406,470 | ||||||||||
Citigroup, Inc., 5.95% to 5/15/25, Series P(d),(e) | 495,000 | 523,462 | ||||||||||
Citigroup, Inc., 6.25% to 8/15/26, Series T(d),(e) | 277,000 | 306,777 | ||||||||||
Comerica, Inc., 5.625% to 7/1/25(d),(e) | 98,000 | 105,713 | ||||||||||
Farm Credit Bank of Texas, 5.70% to 9/15/25, | 125,000 | 133,750 |
10
Principal Amount | Value | |||||||||||
Goldman Sachs Capital I, 6.345%, due 2/15/34 (TruPS) | $ | 69,000 | $ | 90,231 | ||||||||
Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series U(d),(e) | 132,000 | 125,895 | ||||||||||
Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(d),(e) | 117,000 | 114,309 | ||||||||||
JPMorgan Chase & Co., 3.65% to 6/1/26, Series KK(d),(e) | 131,000 | 126,267 | ||||||||||
JPMorgan Chase & Co., 4.60% to 2/1/25, Series HH(d),(e) | 68,000 | 67,830 | ||||||||||
JPMorgan Chase & Co., 5.00% to 8/1/24, Series FF(d),(e) | 185,000 | 188,353 | ||||||||||
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(d),(e) | 345,000 | 366,347 | ||||||||||
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(d),(e) | 280,000 | 292,600 | ||||||||||
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(d),(e) | 90,000 | 96,419 | ||||||||||
M&T Bank Corp., 3.50% to 9/1/26(d),(e) | 83,000 | 78,237 | ||||||||||
PNC Financial Services Group, Inc./The, 3.40% to 9/15/26, Series T(d),(e) | 67,000 | 63,314 | ||||||||||
Regions Financial Corp., 5.75% to 6/15/25, Series D(d),(e) | 50,000 | 53,880 | ||||||||||
SVB Financial Group, 4.00% to 5/15/26, Series C(d),(e) | 210,000 | 204,376 | ||||||||||
SVB Financial Group, 4.25% to 11/15/26, Series D(d),(e) | 210,000 | 207,112 | ||||||||||
SVB Financial Group, 4.70% to 11/15/31, Series E(d),(e) | 110,000 | 109,609 | ||||||||||
Truist Financial Corp., 4.95% to 9/1/25, Series P(d),(e) | 88,000 | 93,361 | ||||||||||
US Bancorp, 3.70% to 1/15/27(d),(e) | 121,000 | 116,583 | ||||||||||
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(d),(e) | 503,000 | 498,511 | ||||||||||
Wells Fargo & Co., 5.875% to 6/15/25, Series U(d),(e) | 170,000 | 182,163 | ||||||||||
|
| |||||||||||
6,791,692 | ||||||||||||
|
| |||||||||||
BANKS—FOREIGN | 14.0% | |||||||||||
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(d),(e),(f),(g) | 400,000 | 463,070 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA, 6.125% to 11/16/27 (Spain)(d),(e),(g) | 200,000 | 205,750 | ||||||||||
Banco Mercantil del Norte SA/Grand Cayman, 6.625% to 1/24/32, 144A (Mexico)(a),(d),(e),(g) | 200,000 | 193,560 | ||||||||||
Banco Santander SA, 7.50% to 2/8/24 (Spain)(d),(e),(f),(g) | 200,000 | 212,981 | ||||||||||
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(d),(e),(f),(g) | 200,000 | 254,675 | ||||||||||
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(d),(e) | 140,000 | 146,300 | ||||||||||
Barclays PLC, 5.875% to 9/15/24 (United Kingdom)(d),(e),(f),(g) | 200,000 | 277,103 | ||||||||||
Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(d),(e),(g) | 200,000 | 212,940 | ||||||||||
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(d),(e),(g) | 400,000 | 436,888 | ||||||||||
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(d),(e),(g) | 200,000 | 223,799 | ||||||||||
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(d),(e),(g) | 200,000 | 214,978 | ||||||||||
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(d),(e),(g) | 400,000 | 434,710 | ||||||||||
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(d),(e),(g) | 200,000 | 231,925 | ||||||||||
Credit Suisse Group AG, 6.25% to 12/18/24, 144A (Switzerland)(a),(d),(e),(g) | 200,000 | 210,250 |
11
Principal Amount | Value | |||||||||||
Credit Suisse Group AG, 6.375% to 8/21/26, 144A | $ | 400,000 | $ | 418,500 | ||||||||
Deutsche Bank AG, 4.789% to 4/30/25 (Germany)(d),(e),(f),(g) | 400,000 | 387,162 | ||||||||||
Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(d),(e),(g) | 200,000 | 212,750 | ||||||||||
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A | 65,000 | 105,625 | ||||||||||
HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(d),(e),(g) | 200,000 | 211,626 | ||||||||||
HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(d),(e),(g) | 200,000 | 211,719 | ||||||||||
Iccrea Banca SpA, 4.75% to 10/18/26, due 1/18/32, Series EMTN | 200,000 | 226,297 | ||||||||||
ING Groep N.V., 4.875% to 5/16/29 (Netherlands)(d),(e),(f),(g) | 200,000 | 195,875 | ||||||||||
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(d),(e),(g) | 200,000 | 210,417 | ||||||||||
Intesa Sanpaolo SpA, 5.50% to 3/1/28, Series EMTN (Italy)(d),(e),(f),(g) | 250,000 | 296,491 | ||||||||||
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(d),(e),(g) | 200,000 | 220,000 | ||||||||||
Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(d),(e),(g) | 200,000 | 217,298 | ||||||||||
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(d),(e),(g) | 400,000 | 443,873 | ||||||||||
Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A | 200,000 | 209,417 | ||||||||||
Nationwide Building Society, 5.75% to 6/20/27 | 200,000 | 282,967 | ||||||||||
Natwest Group PLC, 6.00% to 12/29/25 (United Kingdom)(d),(e),(g) | 200,000 | 211,120 | ||||||||||
Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(d),(e),(g) | 200,000 | 225,565 | ||||||||||
Royal Bank of Canada, 3.65% to 10/24/26, due 11/24/81 (Canada)(e) | 200,000 | 149,238 | ||||||||||
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 | 200,000 | 161,528 | ||||||||||
Societe Generale SA, 4.75% to 5/26/26, 144A (France)(a),(d),(e),(g) | 200,000 | 198,082 | ||||||||||
Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(d),(e),(g) | 200,000 | 213,500 | ||||||||||
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(d),(e),(g) | 400,000 | 429,440 | ||||||||||
Societe Generale SA, 8.00% to 9/29/25, 144A (France)(a),(d),(e),(g) | 200,000 | 225,987 | ||||||||||
Standard Chartered PLC, 6.00% to 7/26/25, 144A | 200,000 | 209,500 | ||||||||||
Standard Chartered PLC, 7.75% to 4/2/23, 144A | 200,000 | 210,582 |
12
Principal Amount | Value | |||||||||||
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(d),(e),(f),(g) | $ | 200,000 | $ | 217,724 | ||||||||
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(d),(e),(g) | 400,000 | 423,030 | ||||||||||
Unicaja Banco SA, 4.875% to 11/18/26 (Spain)(d),(e),(f),(g) | 200,000 | 220,040 | ||||||||||
UniCredit SpA, 8.00% to 6/3/24 (Italy)(d),(e),(f),(g) | 200,000 | 217,100 | ||||||||||
|
| |||||||||||
10,881,382 | ||||||||||||
|
| |||||||||||
ELECTRIC | 1.6 | % | ||||||||||
American Electric Power Co., Inc., 3.875% to 11/15/26, due 2/15/62(e) | 101,000 | 99,177 | ||||||||||
CenterPoint Energy, Inc., 6.125% to 9/1/23, Series A(d),(e) | 170,000 | 173,950 | ||||||||||
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(e) | 65,000 | 68,881 | ||||||||||
Dominion Energy, Inc., 4.35 to 1/15/27, Series C(d),(e) | 127,000 | 128,270 | ||||||||||
Dominion Energy, Inc., 4.65 to 12/15/24, Series B(d),(e) | 120,000 | 123,600 | ||||||||||
Duke Energy Corp., 3.25% to 1/15/27, due 1/15/82(e) | 18,000 | 16,849 | ||||||||||
Duke Energy Corp., 4.875% to 9/16/24(d),(e) | 300,000 | 309,750 | ||||||||||
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(e) | 165,000 | 161,431 | ||||||||||
Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(e) | 190,000 | 191,902 | ||||||||||
|
| |||||||||||
1,273,810 | ||||||||||||
|
| |||||||||||
ELECTRIC—FOREIGN | 0.8 | % | ||||||||||
Electricite de France SA, 5.00% to 1/22/26, Series EMTN | 200,000 | 240,996 | ||||||||||
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(e) | 313,000 | 354,081 | ||||||||||
|
| |||||||||||
595,077 | ||||||||||||
|
| |||||||||||
FINANCIAL | 2.5 | % | ||||||||||
CREDIT CARD | 0.2 | % | ||||||||||
American Express Co., 3.55% to 9/15/26(d),(e) | 131,000 | 125,760 | ||||||||||
Discover Financial Services, 6.125% to 6/23/25, Series D(d),(e) | 40,000 | 43,202 | ||||||||||
|
| |||||||||||
168,962 | ||||||||||||
|
| |||||||||||
DIVERSIFIED FINANCIAL SERVICES | 0.6 | % | ||||||||||
Aircastle Ltd., 5.25% to 6/15/26, 144A(a),(d),(e) | 60,000 | 60,000 | ||||||||||
Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51, 144A(a),(e) | 165,000 | 164,364 | ||||||||||
ILFC E-Capital Trust II, 3.62% (30 Year CMT + 1.80%), due 12/21/65, 144A (FRN) (TruPS)(a),(h) | 210,000 | 183,225 | ||||||||||
|
| |||||||||||
407,589 | ||||||||||||
|
|
13
Principal Amount | Value | |||||||||||
INVESTMENT ADVISORY SERVICES—FOREIGN | 0.5 | % | ||||||||||
Julius Baer Group Ltd., 4.875% to 10/8/26 (Switzerland)(d),(e),(f),(g) | $ | 400,000 | $ | 406,398 | ||||||||
|
| |||||||||||
INVESTMENT BANKER/BROKER | 1.2 | % | ||||||||||
Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(d),(e) | 482,000 | 476,785 | ||||||||||
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(d),(e) | 191,000 | 187,375 | ||||||||||
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(d),(e) | 252,000 | 271,908 | ||||||||||
|
| |||||||||||
936,068 | ||||||||||||
|
| |||||||||||
TOTAL FINANCIAL | 1,919,017 | |||||||||||
|
| |||||||||||
INSURANCE | 6.1 | % | ||||||||||
FINANCE | 0.2 | % | ||||||||||
Liberty Mutual Group, Inc., 4.125% to 9/15/26, due 12/15/51, 144A(a),(e) | 138,000 | 136,143 | ||||||||||
|
| |||||||||||
LIFE/HEALTH INSURANCE | 1.5 | % | ||||||||||
Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(d),(e) | 180,000 | 185,400 | ||||||||||
MetLife, Inc., 10.75%, due 8/1/69 | 200,000 | 328,336 | ||||||||||
SBL Holdings, Inc., 6.50% to 11/13/26, 144A(a),(d),(e) | 150,000 | 142,875 | ||||||||||
SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(d),(e) | 290,000 | 286,012 | ||||||||||
Voya Financial, Inc., 6.125% to 9/15/23, Series A(d),(e) | 225,000 | 233,438 | ||||||||||
|
| |||||||||||
1,176,061 | ||||||||||||
|
| |||||||||||
LIFE/HEALTH INSURANCE—FOREIGN | 1.2 | % | ||||||||||
Phoenix Group Holdings PLC, 5.625% to 1/29/25 | 400,000 | 410,222 | ||||||||||
Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 | 200,000 | 194,896 | ||||||||||
Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)(d),(e),(f),(g) | 200,000 | 296,072 | ||||||||||
|
| |||||||||||
901,190 | ||||||||||||
|
| |||||||||||
MULTI-LINE | 0.1 | % | ||||||||||
Hartford Financial Services Group, Inc./The, 2.281% (3 Month US LIBOR + 2.125%), due 2/12/67, 144A, Series ICON (FRN)(a),(h) | 100,000 | 96,274 | ||||||||||
|
| |||||||||||
MULTI-LINE—FOREIGN | 0.2 | % | ||||||||||
AXA SA, 6.379% to 12/14/36, 144A (France)(a),(d),(e) | 100,000 | 135,750 | ||||||||||
|
| |||||||||||
PROPERTY CASUALTY | 1.2 | % | ||||||||||
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(e) | 500,000 | 568,750 | ||||||||||
Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42(e) | 120,000 | 118,585 | ||||||||||
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(e) | 130,000 | 134,709 | ||||||||||
Markel Corp., 6.00% to 6/1/25(d),(e) | 130,000 | 138,937 | ||||||||||
|
| |||||||||||
960,981 | ||||||||||||
|
|
14
Principal Amount | Value | |||||||||||
PROPERTY CASUALTY—FOREIGN | 1.1 | % | ||||||||||
Athora Netherlands NV, 6.25% to 11/16/22 (Netherlands)(d),(e),(f) | $ | 200,000 | $ | 205,457 | ||||||||
Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 | 200,000 | 211,054 | ||||||||||
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(d),(e) | 400,000 | 424,000 | ||||||||||
|
| |||||||||||
840,511 | ||||||||||||
|
| |||||||||||
REINSURANCE | 0.6 | % | ||||||||||
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(e) | 300,000 | 313,084 | ||||||||||
Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51, 144A(a),(e) | 182,000 | 181,600 | ||||||||||
|
| |||||||||||
494,684 | ||||||||||||
|
| |||||||||||
TOTAL INSURANCE | 4,741,594 | |||||||||||
|
| |||||||||||
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN | 0.3 | % | ||||||||||
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(e) | 160,000 | 152,683 | ||||||||||
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(e) | 75,000 | 86,312 | ||||||||||
|
| |||||||||||
238,995 | ||||||||||||
|
| |||||||||||
OIL & GAS—FOREIGN | 0.7 | % | ||||||||||
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(d),(e) | 235,000 | 241,462 | ||||||||||
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(d),(e) | 305,000 | 322,919 | ||||||||||
|
| |||||||||||
564,381 | ||||||||||||
|
| |||||||||||
PIPELINES | 0.3 | % | ||||||||||
Energy Transfer LP, 6.50% to 11/15/26, Series H(d),(e) | 120,000 | 123,037 | ||||||||||
Energy Transfer LP, 7.125% to 5/15/30, Series G(d),(e) | 130,000 | 132,519 | ||||||||||
|
| |||||||||||
255,556 | ||||||||||||
|
|
15
| Principal Amount | Value | ||||||||||
PIPELINES—FOREIGN | 2.1 | % | ||||||||||
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(e) | $ | 315,000 | $ | 345,713 | ||||||||
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(e) | 300,000 | 318,652 | ||||||||||
Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(e) | 80,000 | 85,700 | ||||||||||
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(e) | 283,000 | 298,211 | ||||||||||
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(e) | 175,000 | 181,125 | ||||||||||
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(e) | 420,000 | 449,610 | ||||||||||
|
| |||||||||||
1,679,011 | ||||||||||||
|
| |||||||||||
REAL ESTATE—RETAIL—FOREIGN | 0.8 | % | ||||||||||
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(a),(e) | 400,000 | 411,000 | ||||||||||
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(a),(e) | 200,000 | 206,494 | ||||||||||
|
| |||||||||||
617,494 | ||||||||||||
|
| |||||||||||
UTILITIES | 1.7 | % | ||||||||||
ELECTRIC | 1.4 | % | ||||||||||
Edison International, 5.00% to 12/15/26, Series B(d),(e) | 222,000 | 221,707 | ||||||||||
Edison International, 5.375% to 3/15/26, Series A(d),(e) | 203,000 | 206,172 | ||||||||||
NextEra Energy Capital Holdings, Inc., 3.80% to 3/15/27, due 3/15/82(d)(e) | 136,000 | 133,849 | ||||||||||
NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(e) | 55,000 | 61,222 | ||||||||||
Sempra Energy, 4.125% to 1/1/27, due 4/1/52(e) | 160,000 | 156,186 | ||||||||||
Sempra Energy, 4.875% to 10/15/25(d),(e) | 265,000 | 277,839 | ||||||||||
|
| |||||||||||
1,056,975 | ||||||||||||
|
| |||||||||||
ELECTRIC—FOREIGN | 0.2 | % | ||||||||||
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(e) | 200,000 | 197,824 | ||||||||||
|
| |||||||||||
GAS | 0.1 | % | ||||||||||
South Jersey Industries, Inc., 5.02%, due 4/15/31 | 40,000 | 42,788 | ||||||||||
|
| |||||||||||
TOTAL UTILITIES |
| 1,297,587 | ||||||||||
|
| |||||||||||
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES | 30,855,596 | |||||||||||
|
|
16
Shares | Value | |||||||||||
SHORT-TERM INVESTMENTS | 2.5 | % | ||||||||||
MONEY MARKET FUNDS | ||||||||||||
State Street Institutional Treasury Money Market Fund, Premier | 1,942,554 | $ | 1,942,554 | |||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS | 1,942,554 | |||||||||||
|
| |||||||||||
PURCHASED OPTION CONTRACTS | 0.0 | % | 33,124 | |||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES | 100.1 | % | 77,953,553 | |||||||||
WRITTEN OPTION CONTRACTS | (0.1 | ) | (88,551 | ) | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 38,336 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 77,903,338 | ||||||||
|
|
|
|
Over-The-Counter Option Contracts
Purchased Options | ||||||||||||||||||||
Interest Rate Swaptions | ||||||||||||||||||||
Description | Counterparty | Exercise Rate | Expiration Date | Notional Amount(j) | Premiums Paid | Value | ||||||||||||||
Option to receive 3-month LIBOR Quarterly, Pay 1.75% Semiannually, maturing 4/5/32 | Goldman Sachs International | 1.75 | % | 4/1/22 | $ | 746,000 | $ | 12,452 | $ | 14,631 | ||||||||||
Option to receive 3-month LIBOR Quarterly, Pay 1.48% Semiannually, maturing 4/22/32 | Goldman Sachs International | 1.48 | % | 4/20/22 | 450,000 | 8,356 | 18,493 | |||||||||||||
| ||||||||||||||||||||
$ | 1,196,000 | $ | 20,808 | $ | 33,124 | |||||||||||||||
|
17
Written Options | ||||||||||||||||||||||
Interest Rate Swaptions | ||||||||||||||||||||||
Description | Counterparty | Exercise Rate | Expiration Date | Notional Amount(j) | Premiums Received | Value | ||||||||||||||||
Option to pay 3-month LIBOR Quarterly, Receive 2.05% Semiannually, maturing 4/5/32 | Goldman Sachs International | 2.05 | % | 4/1/22 | $ | (746,000 | ) | $ | (6,653 | ) | $ | (4,901 | ) | |||||||||
Option to pay 3-month LIBOR Quarterly, Receive 1.78% Semiannually, maturing 4/22/32 | Goldman Sachs International | 1.78 | % | 4/20/22 | (450,000 | ) | (4,440 | ) | (9,079 | ) | ||||||||||||
| ||||||||||||||||||||||
$ | (1,196,000 | ) | $ | (11,093 | ) | $ | (13,980 | ) | ||||||||||||||
|
Equity Options | ||||||||||||||||||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount(k) | Premiums Received | Value | |||||||||||||||||||
Call — Aena SME SA | Goldman Sachs International | $ | 153.02 | 3/18/22 | (893 | ) | $ | (143,614 | ) | $ | (2,110 | ) | $ | (1,654 | ) | |||||||||||
Call — Anglo American PLC | Goldman Sachs International | 37.99 | 3/18/22 | (3,978 | ) | (172,698 | ) | (2,860 | ) | (928 | ) | |||||||||||||||
Call — Avalonbay Communities, Inc. | Goldman Sachs International | 252.11 | 3/18/22 | (432 | ) | (105,507 | ) | (1,748 | ) | (2,876 | ) | |||||||||||||||
Call — Canadian National Railway Co. | Goldman Sachs International | 160.05 | 3/18/22 | (494 | ) | (60,210 | ) | (1,040 | ) | (1,062 | ) | |||||||||||||||
Call — CenterPoint Energy, Inc. | Goldman Sachs International | 28.33 | 3/18/22 | (2,291 | ) | (64,973 | ) | (1,201 | ) | (2,135 | ) | |||||||||||||||
Call — Crown Castle International Corp. | Goldman Sachs International | 190.32 | 3/18/22 | (2,236 | ) | (408,092 | ) | (7,983 | ) | (6,360 | ) | |||||||||||||||
Call — Digital Realty Trust, Inc. | Goldman Sachs International | 161.57 | 3/18/22 | (1,046 | ) | (156,095 | ) | (2,976 | ) | (1,061 | ) | |||||||||||||||
Call — Duke Realty Corp. | Goldman Sachs International | 60.36 | 3/18/22 | (2,670 | ) | (154,273 | ) | (2,831 | ) | (3,056 | ) | |||||||||||||||
Call — Engie | Goldman Sachs International | 14.18 | 3/18/22 | (1,883 | ) | (28,673 | ) | (538 | ) | (536 | ) | |||||||||||||||
Call — Equinix, Inc. | Goldman Sachs International | 774.87 | 3/18/22 | (20 | ) | (14,498 | ) | (215 | ) | (243 | ) | |||||||||||||||
Call — Healthcare Trust of America, Inc. | Goldman Sachs International | 34.19 | 3/18/22 | (609 | ) | (19,823 | ) | (471 | ) | (859 | ) | |||||||||||||||
Call — Healthpeak Properties, Inc. | Goldman Sachs International | 36.54 | 3/18/22 | (838 | ) | (29,640 | ) | (440 | ) | (397 | ) | |||||||||||||||
Call — Host Hotels & Resorts, Inc. | Goldman Sachs International | 18.83 | 3/18/22 | (1,205 | ) | (20,895 | ) | (301 | ) | (413 | ) | |||||||||||||||
Call — Kirkland Lake Gold, Ltd. | Goldman Sachs International | 56.55 | 3/18/22 | (4,132 | ) | (155,639 | ) | (3,412 | ) | (1,971 | ) | |||||||||||||||
Call — National Grid PLC | Goldman Sachs International | 10.99 | 3/18/22 | (11,645 | ) | (169,080 | ) | (3,105 | ) | (3,484 | ) |
18
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount(k) | Premiums Received | Value | |||||||||||||||||||
Call — Nisource, Inc. | Goldman Sachs International | 28.00 | 3/18/22 | (3,134 | ) | $ | (91,450 | ) | $ | (1,696 | ) | $ | (4,385 | ) | ||||||||||||
Call — Norfolk Southern Corp. | Goldman Sachs International | 290.81 | 3/18/22 | (355 | ) | (96,556 | ) | (1,804 | ) | (820 | ) | |||||||||||||||
Call — PG&E Corp. | Goldman Sachs International | 13.51 | 3/18/22 | (9,190 | ) | (117,540 | ) | (1,849 | ) | (3,104 | ) | |||||||||||||||
Call — Prologis, Inc. | Goldman Sachs International | 164.28 | 3/18/22 | (618 | ) | (96,915 | ) | (1,643 | ) | (1,639 | ) | |||||||||||||||
Call — Public Service Enterprise Group, Inc. | Goldman Sachs International | 66.72 | 3/18/22 | (1,375 | ) | (91,479 | ) | (1,667 | ) | (2,371 | ) | |||||||||||||||
Call — Public Storage | Goldman Sachs International | 370.58 | 3/18/22 | (544 | ) | (195,040 | ) | (3,041 | ) | (3,454 | ) | |||||||||||||||
Call — Simon Property Group, Inc. | Goldman Sachs International | 160.59 | 3/18/22 | (772 | ) | (113,638 | ) | (2,077 | ) | (1,886 | ) | |||||||||||||||
Call — Suncor Energy, Inc. | Goldman Sachs International | 37.64 | 3/18/22 | (4,258 | ) | (121,662 | ) | (2,101 | ) | (3,884 | ) | |||||||||||||||
Call — Targa Resources Corp. | Goldman Sachs International | 61.81 | 3/18/22 | (4,604 | ) | (272,004 | ) | (3,835 | ) | (9,646 | ) | |||||||||||||||
Call — TC Energy Corp. | Goldman Sachs International | 64.12 | 3/18/22 | (4,047 | ) | (208,980 | ) | (4,126 | ) | (8,892 | ) | |||||||||||||||
Call — Ventas, Inc. | Goldman Sachs International | 56.20 | 3/18/22 | (1,019 | ) | (54,027 | ) | (894 | ) | (895 | ) | |||||||||||||||
Call — Vinci SA | Goldman Sachs International | 102.67 | 3/18/22 | (3,149 | ) | (341,958 | ) | (5,507 | ) | (3,901 | ) | |||||||||||||||
Call — Waste Management, Inc. | Goldman Sachs International | 156.75 | 3/18/22 | (383 | ) | (57,619 | ) | (1,074 | ) | (859 | ) | |||||||||||||||
Call — Welltower, Inc. | Goldman Sachs International | 93.07 | 3/18/22 | (1,913 | ) | (165,723 | ) | (2,541 | ) | (1,800 | ) | |||||||||||||||
| ||||||||||||||||||||||||||
(69,733 | ) | $ | (3,728,292 | ) | $ | (65,086 | ) | $ | (74,571 | ) | ||||||||||||||||
|
19
Forward Foreign Currency Exchange Contracts
Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
Brown Brothers Harriman | CAD | 556,803 | USD | 440,802 | 2/2/22 | $ | 2,771 | |||||||||||
Brown Brothers Harriman | EUR | 2,279,109 | USD | 2,593,375 | 2/2/22 | 32,910 | ||||||||||||
Brown Brothers Harriman | GBP | 658,899 | USD | 892,238 | 2/2/22 | 6,085 | ||||||||||||
Brown Brothers Harriman | USD | 437,852 | CAD | 556,803 | 2/2/22 | 179 | ||||||||||||
Brown Brothers Harriman | USD | 1,737,004 | EUR | 1,549,361 | 2/2/22 | 3,626 | ||||||||||||
Brown Brothers Harriman | USD | 277,653 | EUR | 244,712 | 2/2/22 | (2,731 | ) | |||||||||||
Brown Brothers Harriman | USD | 55,130 | EUR | 48,300 | 2/2/22 | (867 | ) | |||||||||||
Brown Brothers Harriman | USD | 265,890 | EUR | 234,287 | 2/2/22 | (2,681 | ) | |||||||||||
Brown Brothers Harriman | USD | 229,420 | EUR | 202,449 | 2/2/22 | (1,979 | ) | |||||||||||
Brown Brothers Harriman | USD | 884,098 | GBP | 658,899 | 2/2/22 | 2,056 | ||||||||||||
Brown Brothers Harriman | CAD | 552,321 | USD | 434,283 | 3/2/22 | (216 | ) | |||||||||||
Brown Brothers Harriman | EUR | 1,528,460 | USD | 1,714,397 | 3/2/22 | (3,712 | ) | |||||||||||
Brown Brothers Harriman | GBP | 645,517 | USD | 865,909 | 3/2/22 | (2,087 | ) | |||||||||||
| ||||||||||||||||||
$ | 33,354 | |||||||||||||||||
|
Glossary of Portfolio Abbreviations
CAD | Canadian Dollar | |
CMT | Constant Maturity Treasury | |
EMTN | Euro Medium Term Note | |
EUR | Euro Currency | |
FRN | Floating Rate Note | |
GBP | Great British Pound | |
LIBOR | London Interbank Offered Rate | |
MLP | Master Limited Partnership | |
REIT | Real Estate Investment Trust | |
TruPS | Trust Preferred Securities | |
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 $8,504,902 which represents 10.9% of the net assets of the Fund, of which 0.0% are illiquid. |
(b) | Non-income producing security. |
(c) | Stapled security - consists of unit of a trust and a share of the company which cannot be sold separately. |
(d) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. |
(e) | Security converts to floating rate after the indicated fixed-rate coupon period. |
20
(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 $5,216,580 which represents 6.7% 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 $11,399,982 or 14.6% of the net assets of the Fund. |
(h) | Variable rate. Rate shown is in effect at January 31, 2022. |
(i) | Rate quoted represents the annualized seven-day yield. |
(j) | Represents the notional amount of the underlying swap contract. |
(k) | Represents the number of contracts multiplied by notional contract size multiplied by the underlying price. |
Country Summary | % of Net Assets | |||
United States | 51.0 | |||
Canada | 10.7 | |||
United Kingdom | 8.9 | |||
France | 5.7 | |||
Australia | 3.9 | |||
Spain | 3.2 | |||
China | 2.3 | |||
Switzerland | 2.2 | |||
Japan | 1.7 | |||
Italy | 1.5 | |||
Germany | 1.3 | |||
Netherlands | 1.0 | |||
South Africa | 0.9 | |||
Hong Kong | 0.6 | |||
Singapore | 0.6 | |||
Other (includes short-term investments) | 4.5 | |||
|
| |||
100.0 | ||||
|
|
21
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.
The following is a summary of the inputs used as of January 31, 2022 in valuing the Fund’s investments carried at value:
COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Total | Quoted Prices in Active Markets for Identical Investments (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Closed-End Funds | $ | 1,119,189 | $ | 1,119,189 | $ | — | $ | — | ||||||||
Common Stock: | ||||||||||||||||
Airports — Foreign | 886,102 | — | �� | 886,102 | — | |||||||||||
Communications — Towers | 4,627,248 | 3,955,090 | 672,158 | — | ||||||||||||
Electric — Foreign | 1,313,877 | 227,450 | 1,086,427 | — | ||||||||||||
Energy | 907,216 | 454,932 | 452,284 | — | ||||||||||||
Infrastructure — Foreign | 108,570 | — | 108,570 | — | ||||||||||||
Marine Ports — Foreign | 1,090,743 | 298,783 | 791,960 | — | ||||||||||||
Materials | 1,927,391 | 1,225,991 | 701,400 | — | ||||||||||||
Railways — Foreign | 401,233 | 225,237 | 175,996 | — | ||||||||||||
Real Estate | 11,950,788 | 7,455,421 | 4,495,367 | — | ||||||||||||
Toll Roads — Foreign | 1,928,164 | 157,639 | 1,770,525 | — | ||||||||||||
Utilities | 3,232,954 | 2,350,152 | 882,802 | — | ||||||||||||
Other Industries | 9,085,991 | 9,085,991 | — | — | ||||||||||||
Master Limited Partnerships and Related Companies | 392,726 | 392,726 | — | — | ||||||||||||
Preferred Securities — $25 Par Value | 6,150,087 | 6,150,087 | — | |||||||||||||
Preferred Securities — Capital Securities | 30,855,596 | — | 30,855,596 | — | ||||||||||||
Short-Term Investments | 1,942,554 | — | 1,942,554 | — | ||||||||||||
Purchased Option Contracts | 33,124 | — | 33,124 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities(a) | $ | 77,953,553 | $ | 33,098,688 | $ | 44,854,865 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Exchange Contracts | $ | 47,627 | $ | — | $ | 47,627 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Assets(a) | $ | 47,627 | $ | — | $ | 47,627 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Exchange Contracts | $ | (14,273 | ) | $ | — | $ | (14,273 | ) | $ | — | ||||||
Written Option Contracts | (88,551 | ) | — | (88,551 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Liabilities(a) | $ | (102,824 | ) | $ | — | $ | (102,824 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
(a) | Portfolio holdings are disclosed individually on the Schedule of Investments. |
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
COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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.
The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the three months ended January 31, 2022:
COHEN & STEERS ALTERNATIVE INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Purchased Option Contracts(a) | Written Option Contracts(a) | Forward Foreign Currency Exchange Contracts | ||||||||||
Average Notional Amount | $ | 1,196,000 | $ | 4,915,218 | $ | 3,826,346 |
(a) | 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. |