Cohen & Steers Alternative Income Fund NPORT-P Cohen & Steers Alternative Income Fund, Inc. (Jul 2022 report)

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS

July 31, 2022 (Unaudited)

			Shares		Value
CLOSED-END FUNDS	1.4	%
MASTER LIMITED PARTNERSHIPS	0.6	%
Kayne Anderson Energy Infrastructure Fund				48,910	$	446,059
U.S. GENERAL EQUITY	0.8	%
Adams Diversified Equity Fund, Inc.				34,010		565,927
TOTAL CLOSED-END FUNDS (Identified cost—$1,091,255)						1,011,986
COMMON STOCK	48.0	%
AIRPORTS—FOREIGN	0.5	%
Aena SME SA, 144A (Spain)(a),(b)				2,045		258,671
Auckland International Airport Ltd. (New Zealand)(b)				31,163		146,332
						405,003
COMMUNICATIONS	7.1	%
SATELLITES—FOREIGN	0.2	%
SES SA (Luxembourg)				25,171		189,959
TOWERS	6.0	%
American Tower Corp.				8,609		2,331,576
Crown Castle International Corp.				6,285		1,135,448
SBA Communications Corp.				2,885		968,754
						4,435,778
TOWERS—FOREIGN	0.9	%
Cellnex Telecom SA, 144A (Spain)(a)				15,115		676,080
TOTAL COMMUNICATIONS						5,301,817
CONSUMER—NON-CYCLICAL—AGRICULTURE	0.4	%
Bunge Ltd.				2,900		267,757
ELECTRIC	2.5	%
Alliant Energy Corp.				4,810		293,073
CenterPoint Energy, Inc.				17,618		558,314
Evergy, Inc.				3,071		209,627
Eversource Energy				4,255		375,376
FirstEnergy Corp.				4,232		173,935
PNM Resources, Inc.				5,136		247,915
						1,858,240
ELECTRIC—FOREIGN	1.5	%
Hydro One Ltd., 144A (Canada)(a)				8,451		235,932
Kansai Electric Power Co., Inc./The (Japan)				8,400		85,165

1

			Shares		Value
National Grid PLC (United Kingdom)				59,966	$	825,708
						1,146,805
ENERGY	1.8	%
GAS—DISTRIBUTION—FOREIGN	0.8	%
Enn Energy Holdings Ltd. (H shares) (China)				25,100		409,446
Snam SpA (Italy)				36,960		185,448
						594,894
OIL & GAS—FOREIGN	1.0	%
MEG Energy Corp. (Canada)(b)				13,625		187,583
Suncor Energy, Inc. (Canada)				15,922		540,369
						727,952
TOTAL ENERGY						1,322,846
ENVIRONMENTAL SERVICES	0.3	%
Waste Management, Inc.				1,319		217,055
INFRASTRUCTURE—FOREIGN	0.2	%
Atlas Arteria Ltd. (Australia)(c)				33,560		182,611
MARINE PORTS—FOREIGN	0.5	%
COSCO SHIPPING Ports Ltd. (H shares) (China)				170,000		126,909
International Container Terminal Services, Inc. (Philippines)				18,890		66,549
Santos Brasil Participacoes SA (Brazil)				122,167		153,945
						347,403
MATERIALS	1.8	%
METALS & MINING	0.2	%
Alcoa Corp.				2,694		137,098
METALS & MINING—FOREIGN	1.6	%
Agnico Eagle Mines Ltd. (Canada)				6,132		263,659
Anglo American PLC (South Africa)				10,228		369,689
BHP Group Ltd. (Australia)				20,399		558,226
						1,191,574
TOTAL MATERIALS						1,328,672
PIPELINES	3.4	%
Cheniere Energy, Inc.				5,429		812,070
DT Midstream, Inc.(b)				7,548		415,366
Equitrans Midstream Corp.				13,621		106,925
ONEOK, Inc				4,436		265,007
Targa Resources Corp.				10,501		725,724

2

			Shares		Value
Williams Cos., Inc./The				5,095	$	173,689
						2,498,781
PIPELINES—FOREIGN	5.2	%
Enbridge, Inc. (Canada)				43,694		1,962,315
Pembina Pipeline Corp. (Canada)				21,265		811,874
TC Energy Corp. (Canada)				17,106		911,973
Tidewater Renewables Ltd. (Canada)(b)				21,678		203,144
						3,889,306
RAILWAYS—FOREIGN	1.0	%
Getlink SE (France)				26,277		525,916
West Japan Railway Co. (Japan)				5,100		187,327
						713,243
REAL ESTATE	14.4	%
DATA CENTERS	1.1	%
Digital Realty Trust, Inc.				5,435		719,866
Equinix, Inc.				96		67,559
						787,425
DATA CENTERS—FOREIGN	0.1	%
Digital Core REIT Management Pte. Ltd. (Singapore)(b)				42,768		37,265
DIVERSIFIED—FOREIGN	2.0	%
British Land Co., PLC/The (United Kingdom)				12,141		73,001
Capitaland Investment Ltd. (Singapore)				30,800		87,636
Charter Hall Group (Australia)				11,303		102,146
CK Asset Holdings Ltd. (Hong Kong)				11,000		77,877
Covivio (France)				349		22,072
Hang Lung Properties Ltd. (Hong Kong)				35,000		63,857
ICADE (France)				549		27,487
Ingenia Communities Group (Australia)				21,356		70,026
Merlin Properties Socimi SA (Spain)				7,380		79,157
Mitsui Fudosan Co., Ltd. (Japan)				10,000		223,494
Nomura Real Estate Holdings, Inc. (Japan)				4,200		101,889
Nomura Real Estate Master Fund, Inc. (Japan)				73		91,454
Orix JREIT, Inc. (Japan)				59		84,645
Sun Hung Kai Properties Ltd. (Hong Kong)				15,000		179,057
Tokyo Tatemono Co., Ltd. (Japan)				4,500		66,273
United Urban Investment Corp. (Japan)				97		105,740
						1,455,811

3

			Shares		Value
ELECTRIC—FOREIGN	0.1	%
Daiwa House REIT Investment Corp. (Japan)				40	$	96,272
HEALTH CARE	1.0	%
Healthcare Realty Trust, Inc., Class A				2,545		66,806
Healthpeak Properties, Inc.				3,152		87,090
Welltower, Inc.				6,395		552,144
						706,040
HEALTH CARE—FOREIGN	0.2	%
Assura PLC (United Kingdom)				48,998		41,063
HealthCo REIT (Australia)				28,737		34,781
Parkway Life Real Estate Investment Trust (Singapore)				26,526		92,017
						167,861
HOTEL	0.4	%
Host Hotels & Resorts, Inc.				15,378		273,882
INDUSTRIALS	1.5	%
Americold Realty Trust, Inc.				5,243		171,708
Duke Realty Corp.				9,298		581,683
Prologis, Inc.				2,988		396,089
						1,149,480
INDUSTRIALS—FOREIGN	1.0	%
Ascendas Real Estate Investment Trust (Singapore)				17,000		36,592
Catena AB (Sweden)				3,226		147,827
ESR Group Ltd., 144A (China)(a),(b)				17,600		45,768
Frasers Logistics & Commercial Trust (Singapore)				78,800		82,259
Goodman Group (Australia)				5,842		85,498
LaSalle Logiport REIT (Japan)				61		80,393
Segro PLC (United Kingdom)				5,934		79,385
Sirius Real Estate Ltd. (Germany)				45,438		52,889
Tritax Big Box REIT PLC (United Kingdom)				35,019		84,253
Urban Logistics REIT PLC (United Kingdom)				22,722		49,096
						743,960
NET LEASE	0.5	%
NETSTREIT Corp.				6,944		142,352
Realty Income Corp.				1,087		80,427
Spirit Realty Capital, Inc.				2,604		115,461
Store Capital Corp.				2,322		67,385
						405,625

4

			Shares		Value
NET LEASE—FOREIGN	0.2	%
ARGAN SA (France)				799	$	81,484
LXI REIT PLC (United Kingdom)				17,561		31,809
						113,293
OFFICE	0.1	%
Highwoods Properties, Inc.				2,574		91,557
OFFICE—FOREIGN	0.4	%
Dexus (Australia)				14,542		97,722
Kenedix Office Investment Corp. (Japan)				16		86,001
Keppel REIT (Singapore)				79,100		63,594
Workspace Group PLC (United Kingdom)				4,388		31,539
						278,856
RESIDENTIAL	3.0	%
APARTMENT	1.2	%
Apartment Income REIT Corp.				5,369		243,430
Camden Property Trust				1,460		206,006
Essex Property Trust, Inc.				316		90,543
Mid-America Apartment Communities, Inc.				879		163,257
UDR, Inc.				4,292		207,733
						910,969
APARTMENT—FOREIGN	1.0	%
Aedifica SA (Belgium)				743		77,142
Japan Metropolitan Fund Invest (Japan)				178		145,051
Tricon Residential, Inc. (Canada)				9,791		106,526
UNITE Group PLC/The (United Kingdom)				4,973		70,901
Vonovia SE (Germany)				7,967		265,459
Wharf Real Estate Investment Co., Ltd. (Hong Kong)				8,000		35,610
						700,689
MANUFACTURED HOME	0.3	%
Sun Communities, Inc.				1,488		243,973
SINGLE FAMILY	0.5	%
Invitation Homes, Inc.				9,459		369,185
TOTAL RESIDENTIAL						2,224,816
RETAIL—FOREIGN	0.5	%
Eurocommercial Properties NV (Netherlands)				2,231		50,515
Klepierre SA (France)(b)				4,556		101,235
Link REIT (Hong Kong)				20,683		173,206

5

			Shares		Value
SmartCentres Real Estate Investment Trust (Canada)				2,779	$	63,412
						388,368
SELF STORAGE	1.1	%
CubeSmart				5,306		243,386
Extra Space Storage, Inc.				1,204		228,182
Public Storage				1,116		364,274
						835,842
SELF STORAGE—FOREIGN	0.2	%
Big Yellow Group PLC (United Kingdom)				1,541		26,731
National Storage REIT (Australia)				23,250		40,655
Safestore Holdings PLC (United Kingdom)				7,220		100,536
						167,922
SHOPPING CENTERS	0.9	%
COMMUNITY CENTER	0.4	%
Kite Realty Group Trust				13,449		267,501
REGIONAL MALL	0.5	%
Simon Property Group, Inc.				3,644		395,884
TOTAL SHOPPING CENTERS						663,385
SPECIALTY	0.1	%
Lamar Advertising Co., Class A				1,022		103,283
TOTAL REAL ESTATE						10,690,943
RENEWABLE ENERGY	0.1	%
Clearway Energy, Inc., Class C				1,910		71,701
TOLL ROADS—FOREIGN	1.8	%
Transurban Group (Australia)(c)				40,418		413,140
Vinci SA (France)				9,677		927,625
						1,340,765
UTILITIES	5.5	%
ELECTRIC	2.5	%
Exelon Corp.				4,929		229,149
NextEra Energy, Inc.				3,442		290,815
Sempra Energy				6,745		1,118,321
WEC Energy Group, Inc.				2,251		233,676
						1,871,961

6

			Shares		Value
ELECTRIC—FOREIGN	0.3	%
E.ON SE (Germany)				20,826	$	187,207
GAS—DISTRIBUTION	1.5	%
NiSource, Inc.				21,044		639,738
Southwest Gas Holdings, Inc.				2,709		235,575
Spire, Inc.				3,310		249,044
						1,124,357
GAS—DISTRIBUTION—FOREIGN	0.4	%
AltaGas Ltd. (Canada)				10,503		234,001
Hong Kong and China Gas Co., Ltd. (Hong Kong)				95,000		100,333
						334,334
WATER	0.3	%
Essential Utilities, Inc.				4,534		235,496
WATER—FOREIGN	0.5	%
Pennon Group PLC (United Kingdom)				31,168		381,510
TOTAL UTILITIES						4,134,865
TOTAL COMMON STOCK (Identified cost—$32,828,784)						35,717,813
PREFERRED SECURITIES—$25 PAR VALUE	6.2	%
BANKS	1.0	%
Dime Community Bancshares, Inc., 5.50%(d)				5,287		110,551
Fifth Third Bancorp, 6.625% to 12/31/23, Series I(d),(e)				3,476		91,836
Goldman Sachs Group, Inc./The, 5.50% to 5/10/23, Series J(d),(e)				6,000		150,480
PacWest Bancorp, 7.75% to 9/1/27, Series A(d),(e)				4,000		103,600
PNC Financial Services Group, Inc./The, 5.354% (3 Month US LIBOR + 4.067%), Series P (FRN)(d),(f)				3,818		96,481
Regions Financial Corp., 6.375% to 9/15/24, Series B(d),(e)				3,579		95,273
Signature Bank/New York NY, 5.00%, Series a(d)				2,483		49,883
Western Alliance Bancorp, 4.25% to 9/30/26, Series A(d),(e)				2,998		72,132
						770,236
ELECTRIC	0.2	%
SCE Trust V, 5.45% to 3/15/26, Series K (TruPS)(d),(e)				6,561		153,659
ELECTRIC—FOREIGN	0.3	%
Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada)				1,861		38,783

7

			Shares		Value
Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(d)				9,106	$	177,112
						215,895
FINANCIAL	0.8	%
DIVERSIFIED FINANCIAL SERVICES	0.5	%
Carlyle Finance LLC, 4.625%, due 5/15/61				2,551		50,561
Oaktree Capital Group LLC, 6.55%, Series B(d)				7,222		185,533
Synchrony Financial, 5.625%, Series A(d)				5,438		112,349
						348,443
INVESTMENT BANKER/BROKER	0.3	%
Morgan Stanley, 6.375% to 10/15/24, Series I(d),(e)				3,448		91,303
Morgan Stanley, 6.50%, Series P(d)				6,400		166,224
						257,527
TOTAL FINANCIAL						605,970
INDUSTRIALS	0.2	%
CHS, Inc., 7.10% to 3/31/24, Series 2(d),(e)				2,437		64,532
CHS, Inc., 6.75% to 9/30/24, Series 3(d),(e)				4,393		117,249
						181,781
INSURANCE	1.3	%
LIFE/HEALTH INSURANCE	0.6	%
Athene Holding Ltd., 5.625%, Series B(d)				3,816		92,920
Athene Holding Ltd., 4.875%, Series D(d)				6,460		132,236
Brighthouse Financial, Inc., 5.375%, Series C(d)				9,321		194,156
CNO Financial Group, Inc., 5.125%, due 11/25/60				2,483		50,653
						469,965
MULTI-LINE	0.1	%
Kemper Corp., 5.875% to 3/15/27, due 3/15/62(e)				3,025		73,205
PROPERTY CASUALTY	0.4	%
Enstar Group Ltd., 7.00% to 9/1/28, Series D(d),(e)				10,325		250,691
REINSURANCE	0.2	%
Reinsurance Group of America, Inc., 5.75% to 6/15/26, due 6/15/56(e)				5,214		136,868
TOTAL INSURANCE						930,729
INTEGRATED TELECOMMUNICATIONS SERVICES	0.8	%
Telephone and Data Systems, Inc., 6.625%, Series UU(d)				6,100		146,156
Telephone and Data Systems, Inc., 6.00%, Series VV(d)				8,525		184,566

8

			Shares		Value
United States Cellular Corp., 5.50%, due 3/1/70				3,814	$	79,713
United States Cellular Corp., 5.50%, due 6/1/70				4,564		95,524
United States Cellular Corp., 6.25%, due 9/1/69				3,295		76,675
						582,634
PIPELINES	0.2	%
Energy Transfer LP, 7.60% to 5/15/24, Series E(d),(e)				6,122		145,091
PIPELINES—FOREIGN	0.5	%
Enbridge, Inc., 5.949% to 6/1/23, Series 1 (Canada)(d),(e)				2,156		49,761
Enbridge, Inc., 6.375% to 4/15/23, due 4/15/78, Series B (Canada)(e)				7,595		193,824
Enbridge, Inc., 4.959% to 9/1/22, Series L (Canada)(d),(e)				1,937		46,197
TC Energy Corp., 3.351% to 11/30/25, Series 11 (Canada)(d),(e)				3,054		44,622
						334,404
REAL ESTATE	0.3	%
HOTEL	0.1	%
Pebblebrook Hotel Trust, 6.375%, Series G(d)				4,000		91,000
OFFICE	0.2	%
Brookfield Property Partners LP, 5.75%, Series A(d)				4,462		88,660
Brookfield Property Preferred LP, 6.25%, due 7/26/81				3,000		62,160
						150,820
TOTAL REAL ESTATE						241,820
UTILITIES	0.6	%
ELECTRIC—FOREIGN	0.5	%
Algonquin Power & Utilities Corp., 6.875% to 10/17/23, due 10/17/78 (Canada)(e)				7,210		186,378
Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A (Canada)(e)				3,707		94,566
Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(d)				2,618		48,276
Brookfield BRP Holdings Canada, Inc., 4.875% (Canada)(d)				2,422		46,745
						375,965
GAS—DISTRIBUTION	0.1	%
NiSource, Inc., 6.50% to 3/15/24, Series B(d),(e)				3,602		96,101
TOTAL UTILITIES						472,066
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$5,018,786)						4,634,285

9

			Principal Amount		Value
PREFERRED SECURITIES—CAPITAL SECURITIES	41.7	%
BANKS	9.1	%
Ally Financial, Inc., 4.70% to 5/15/26, Series B(d),(e)			$	44,000	$	37,216
Ally Financial, Inc., 4.70% to 5/15/28, Series C(d),(e)				207,000		163,828
Bank of America Corp., 5.875% to 3/15/28, Series FF(d),(e)				198,000		187,605
Bank of America Corp., 6.10% to 3/17/25, Series AA(d),(e)				540,000		546,384
Bank of America Corp., 6.125% to 4/27/27, Series TT(d),(e)				170,000		171,275
Bank of America Corp., 6.25% to 9/5/24, Series X(d),(e)				589,000		594,692
Bank of America Corp., 6.30% to 3/10/26, Series DD(d),(e)				174,000		181,516
Bank of America Corp., 6.50% to 10/23/24, Series Z(d),(e)				381,000		391,631
Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(d),(e)				20,000		17,474
Capital One Financial Corp., 3.95% to 9/1/26, Series M(d),(e)				116,000		101,208
Citigroup, Inc., 3.875% to 2/18/26(d),(e)				307,000		281,381
Citigroup, Inc., 4.00% to 12/10/25, Series W(d),(e)				153,000		142,616
Citigroup, Inc., 4.15% to 11/15/26, Series Y(d),(e)				55,000		48,569
Citigroup, Inc., 5.00% to 9/12/24, Series U(d),(e)				99,000		91,908
Citigroup, Inc., 5.95% to 1/30/23(d),(e)				120,000		119,654
Citigroup, Inc., 5.95% to 5/15/25, Series P(d),(e)				378,000		372,428
Citigroup, Inc., 6.25% to 8/15/26, Series T(d),(e)				277,000		284,640
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(d),(e)				125,000		128,775
Comerica, Inc., 5.625% to 7/1/25(d),(e)				73,000		75,190
Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144A(a),(d),(e)				125,000		119,316
Fifth Third Bancorp, 4.50% to 9/30/25, Series L(d),(e)				74,000		71,979
Goldman Sachs Capital I, 6.345%, due 2/15/34 (TruPS)				69,000		75,642
Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series U(d),(e)				32,000		27,123
Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(d),(e)				42,000		37,004
Goldman Sachs Group, Inc./The, 5.50% to 8/10/24, Series Q(d),(e)				279,000		278,511
JPMorgan Chase & Co., 5.00% to 8/1/24, Series FF(d),(e)				40,000		37,184
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(d),(e)				145,000		145,178
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(d),(e)				130,000		129,428
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(d),(e)				208,000		213,850
PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(d),(e)				70,000		70,613
PNC Financial Services Group, Inc./The, 6.46% (3 Month US LIBOR + 3.678%), Series O (FRN)(d),(f)				196,000		195,184
Regions Financial Corp., 5.75% to 6/15/25, Series D(d),(e)				100,000		101,944
SVB Financial Group, 4.00% to 5/15/26, Series C(d),(e)				210,000		170,499

10

			Principal Amount		Value
SVB Financial Group, 4.25% to 11/15/26, Series D(d),(e)			$	210,000	$	166,412
SVB Financial Group, 4.70% to 11/15/31, Series E(d),(e)				110,000		88,317
Truist Financial Corp., 4.95% to 9/1/25, Series P(d),(e)				88,000		89,144
US Bancorp, 3.70% to 1/15/27(d),(e)				44,000		36,756
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(d),(e)				503,000		466,218
Wells Fargo & Co., 5.875% to 6/15/25, Series U(d),(e)				358,000		362,016
						6,820,308
BANKS—FOREIGN	13.4	%
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(d),(e),(g),(h)				200,000		184,965
AIB Group PLC, 6.25% to 6/23/25 (Ireland)(d),(e),(g),(h)				200,000		200,949
Australia & New Zealand Banking Group Ltd./United Kingdom, 6.75% to 6/15/26, 144A (Australia)(a),(d),(e),(h)				200,000		204,167
Banco Santander SA, 7.50% to 2/8/24 (Spain)(d),(e),(g),(h)				200,000		203,117
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(d),(e),(g),(h)				200,000		212,387
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(d),(e)				140,000		136,675
Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(d),(e),(h)				200,000		243,571
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(d),(e),(h)				400,000		413,000
Barclays PLC, 8.875% to 9/15/27 (United Kingdom)(d),(e),(g),(h)				400,000		511,436
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(d),(e),(h)				200,000		208,094
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(d),(e),(h)				400,000		412,250
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(d),(e),(h)				400,000		426,832
Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)(a),(d),(e),(h)				400,000		339,000
Credit Suisse Group AG, 9.75% to 6/23/27, 144A (Switzerland)(a),(d),(e),(h)				400,000		425,800
Deutsche Bank AG, 6.00% to 10/30/25, Series 2020 (Germany)(d),(e),(h)				200,000		174,000
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(d),(e)				65,000		87,932
Iccrea Banca SpA, 4.75% to 10/18/26, due 1/18/32, Series EMTN (Italy)(e),(g)				200,000		169,124
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(d),(e),(h)				200,000		191,262
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(d),(e),(h)				400,000		375,000
Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(d),(e),(h)				400,000		404,627
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(d),(e),(h)				400,000		406,000
Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(d),(e),(g),(h)				200,000		225,342
NatWest Group PLC, 6.00% to 12/29/25 (United Kingdom)(d),(e),(h)				400,000		391,252

11

			Principal Amount		Value
NatWest Group PLC, 8.00% to 8/10/25 (United Kingdom)(d),(e),(h)			$	400,000	$	413,570
Nordea Bank Abp, 6.625% to 3/26/26, 144A (Finland)(a),(d),(e),(h)				200,000		200,541
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)(e)				200,000		148,188
Skandinaviska Enskilda Banken AB, 6.875% to 6/30/27 (Sweden)(d),(e),(g),(h)				200,000		201,625
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(d),(e),(h)				200,000		203,029
Societe Generale SA, 8.00% to 9/29/25, 144A (France)(a),(d),(e),(h)				400,000		411,262
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(d),(e),(h)				400,000		410,266
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(d),(e),(g),(h)				400,000		409,809
UBS Group AG, 7.00% to 2/19/25 (Switzerland)(d),(e),(g),(h)				400,000		417,201
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(d),(e),(h				400,000		408,252
UniCredit SpA, 8.00% to 6/3/24 (Italy)(d),(e),(g),(h)				200,000		194,450
						9,964,975
ELECTRIC	1.9	%
American Electric Power Co., Inc., 3.875% to 11/15/26, due 2/15/62(e)				101,000		85,495
CenterPoint Energy, Inc., 6.125% to 9/1/23, Series A(d),(e)				170,000		153,528
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(e)				65,000		61,026
Dominion Energy, Inc., 4.35% to 1/15/27, Series C(d),(e)				182,000		166,529
Dominion Energy, Inc., 4.65% to 12/15/24, Series B(d),(e)				120,000		112,200
Duke Energy Corp., 4.875% to 9/16/24(d),(e)				300,000		284,240
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(e)				143,000		126,396
Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(e)				290,000		270,814
Southern Co./The, 5.113%, due 8/1/27				130,000		133,319
						1,393,547
ELECTRIC—FOREIGN	1.1	%
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(e)				713,000		711,251
SSE PLC, 4.00% to 1/21/28 (United Kingdom)(d),(e),(g)				100,000		92,781
						804,032
FINANCIAL	2.6	%
CREDIT CARD	0.1	%
Discover Financial Services, 6.125% to 6/23/25, Series D(d),(e)				40,000		40,941

12

			Principal Amount		Value
DIVERSIFIED FINANCIAL SERVICES	0.4	%
Aircastle Ltd., 5.25% to 6/15/26, 144A(a),(d),(e)			$	60,000	$	48,134
Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51, 144A(a),(e)				165,000		140,327
ILFC E-Capital Trust II, 5.10% (30 Year CMT + 1.80%), due 12/21/65, 144A (FRN) (TruPS)(a),(f)				110,000		82,225
						270,686
DIVERSIFIED FINANCIAL SERVICES—FOREIGN	0.5	%
Julius Baer Group Ltd., 6.875% to 6/9/27 (Switzerland)(d),(e),(g),(h)				400,000		402,411
INVESTMENT BANKER/BROKER	1.6	%
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(d),(e)				164,000		138,990
Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(d),(e)				576,000		524,517
Charles Schwab Corp./The, 5.00% to 6/1/27(d),(e)				53,000		51,410
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(d),(e)				252,000		257,141
Charles Schwab Corp./The, 6.106% (3 Month US LIBOR + 4.82%) (FRN)(d),(f)				205,000		205,135
Morgan Stanley, 5.875% to 9/15/26, Series M(d),(e)				56,000		56,685
						1,233,878
TOTAL FINANCIAL						1,947,916
INSURANCE	7.7	%
FINANCE	0.2	%
Liberty Mutual Group, Inc., 4.125% to 9/15/26, due 12/15/51, 144A(a),(e)				146,000		121,613
LIFE/HEALTH INSURANCE	1.9	%
Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(d),(e)				145,000		142,614
MetLife, Inc., 9.25%, due 4/8/68, 144A(a)				100,000		119,313
MetLife, Inc., 10.75%, due 8/1/39				100,000		138,431
Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(e)				365,000		364,567
SBL Holdings, Inc., 6.50% to 11/13/26, 144A(a),(d),(e)				150,000		110,250
SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(d),(e)				140,000		114,952
Voya Financial, Inc., 5.65% to 5/15/23, due 5/15/53(e)				80,000		76,503
Voya Financial, Inc., 6.125% to 9/15/23, Series A(d),(e)				380,000		365,029
						1,431,659
LIFE/HEALTH INSURANCE—FOREIGN	2.6	%
Athora Netherlands NV, 5.375% to 5/31/27, due 8/31/32 (Netherlands)(e),(g)				100,000		101,354

13

			Principal Amount		Value
Dai-ichi Life Insurance Co., Ltd./The, 5.10% to 10/28/24, 144A (Japan)(a),(d),(e)			$	600,000	$	600,537
Fukoku Mutual Life Insurance Co., 6.50% to 9/19/23 (Japan)(d),(e),(g)				400,000		406,600
Meiji Yasuda Life Insurance Co., 5.20% to 10/20/25, due 10/20/45, 144A (Japan)(a),(e)				200,000		199,918
Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(d),(e),(g),(h)				200,000		192,383
Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United Kingdom)(d),(e),(g),(h)				200,000		167,500
Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)(d),(e),(g),(h)				200,000		234,638
						1,902,930
MULTI-LINE	0.1	%
Hartford Financial Services Group, Inc./The, 3.536% (3 Month US LIBOR + 2.125%), due 2/12/67, Series ICON, 144A (FRN)(a),(f)				100,000		81,377
MULTI-LINE—FOREIGN	0.4	%
AXA SA, 6.379% to 12/14/36, 144A (France)(a),(d),(e)				200,000		226,708
AXA SA, 8.60%, due 12/15/30 (France)				60,000		73,243
						299,951
PROPERTY CASUALTY	1.2	%
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(e)				500,000		502,881
Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42(e)				145,000		124,788
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(e)				130,000		121,694
Markel Corp., 6.00% to 6/1/25(d),(e)				180,000		182,923
						932,286
PROPERTY CASUALTY—FOREIGN	1.0	%
Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom)(e),(g)				200,000		169,200
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(d),(e)				400,000		390,400
QBE Insurance Group Ltd., 7.50% to 11/24/23, due 11/24/43, 144A (Australia)(a),(e)				200,000		203,364
						762,964
REINSURANCE	0.3	%
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(e)				55,000		47,925

14

			Principal Amount		Value
Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51, 144A(a),(e)			$	242,000	$	200,797
						248,722
TOTAL INSURANCE						5,781,502
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.4	%
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(e)				110,000		89,302
Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(e),(g)				200,000		196,437
						285,739
OIL & GAS—FOREIGN	0.7	%
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(d),(e)				235,000		232,596
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(d),(e)				305,000		278,234
						510,830
PIPELINES	0.4	%
Energy Transfer LP, 6.50% to 11/15/26, Series H(d),(e)				120,000		109,200
Energy Transfer LP, 7.125% to 5/15/30, Series G(d),(e)				200,000		180,500
						289,700
PIPELINES—FOREIGN	2.2	%
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(e)				315,000		297,486
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(e)				300,000		285,746
Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(e)				80,000		75,988
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(e)				283,000		261,366
Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(e)				122,000		114,057
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(e)				175,000		168,565
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(e)				420,000		413,091
						1,616,299

15

			Principal Amount		Value
REAL ESTATE—RETAIL—FOREIGN	0.7	%
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(a),(e)			$	400,000	$	368,426
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(a),(e)				200,000		170,424
						538,850
UTILITIES	1.5	%
ELECTRIC	1.1	%
Edison International, 5.00% to 12/15/26, Series B(d),(e)				222,000		187,830
Edison International, 5.375% to 3/15/26, Series A(d),(e)				203,000		175,424
Sempra Energy, 4.125% to 1/1/27, due 4/1/52(e)				160,000		135,443
Sempra Energy, 4.875% to 10/15/25(d),(e)				315,000		306,155
						804,852
ELECTRIC—FOREIGN	0.4	%
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(e)				335,000		296,241
GAS—DISTRIBUTION	0.0	%
South Jersey Industries, Inc., 5.02%, due 4/15/31				40,000		35,599
TOTAL UTILITIES						1,136,692
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$32,965,091)						31,090,390
			Shares
SHORT-TERM INVESTMENTS	2.3	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 1.67%(i)				1,753,292		1,753,292
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$1,753,292)						1,753,292
PURCHASED OPTION CONTRACTS (Premiums paid—$32,339)	0.1	%				61,064

16

			Value
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$73,689,547)	99.7	%	$	74,268,830
WRITTEN OPTION CONTRACTS (Premiums received—$73,253)	(0.2	)		(167,790	)
OTHER ASSETS IN EXCESS OF LIABILITIES	0.5			370,780
NET ASSETS	100.0	%	$	74,471,820

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 USD-SOFR- OIS Annually, Pay 2.00% Annually, maturing 8/29/32	Goldman Sachs International		2.00	%	8/25/22	$	1,352,000	$	24,282	$	55,766
Binary Options
Description	Counterparty	Exercise Price/Rate			Expiration    Date	Notional Amount(k)		Premiums    Paid		Value
Put — Euro Stoxx Banks Index	Goldman Sachs International		EUR 65.00		11/18/22	$	15,907	$	4,057	$	2,330
Put — Euro Currency	Goldman Sachs International		0.985		11/17/22		15,385		4,000		2,968
						$	31,292	$	8,057	$	5,298

17

Written Options
Interest Rate Swaptions
Description	Counterparty	Exercise Rate			Expiration    Date	Notional Amount(j)			Premiums    Received			Value
Option to pay USD-SOFR-OIS Annually, Receive 2.30% Annually, maturing 8/29/32	Goldman Sachs International		2.30	%	8/25/22	$	(1,352,000	)	$	(13,114	)	$	(25,795	)

Equity Options
Description	Counterparty	Exercise Price($)		Expiration Date		Number of Contracts			Notional Amount(l)			Premiums Received			Value
Call — Aena SME SA	Goldman Sachs International		EUR 134.029		9/16/22		(778	)	$	(97,804	)	$	(1,507	)	$	(1,176	)
Call — Agnico Eagle Mines Ltd.	Goldman Sachs International		CAD 66.647		9/16/22		(2,424	)		(104,225	)		(1,863	)		(1,099	)
Call — CenterPoint Energy, Inc.	Goldman Sachs International		30.768		9/16/22		(5,855	)		(185,545	)		(3,663	)		(9,540	)
Call — Digital Realty Trust, Inc.	Goldman Sachs International		134.300		9/16/22		(1,504	)		(199,205	)		(2,567	)		(6,072	)
Call — Enbridge, Inc.	Goldman Sachs International		CAD 54.704		9/16/22		(16,645	)		(747,533	)		(15,917	)		(37,799	)
Call — E.ON SE	Goldman Sachs International		EUR 8.966		9/16/22		(7,465	)		(66,912	)		(1,103	)		(2,254	)
Call — Evergy, Inc.	Goldman Sachs International		67.603		9/16/22		(1,169	)		(79,796	)		(1,366	)		(2,556	)
Call — Exelon Corp.	Goldman Sachs International		45.982		9/16/22		(1,806	)		(83,961	)		(1,783	)		(2,997	)
Call — Getlink SE	Goldman Sachs International		EUR 20.048		9/16/22		(7,512	)		(149,944	)		(2,995	)		(3,659	)
Call — Healthpeak Properties, Inc.	Goldman Sachs International		28.700		9/16/22		(1,117	)		(30,863	)		(376	)		(608	)
Call — Invitation Homes, Inc.	Goldman Sachs International		39.692		9/16/22		(3,560	)		(138,947	)		(1,449	)		(4,108	)
Call — Hydro One Ltd.	Goldman Sachs International		CAD 35.245		9/16/22		(3,193	)		(89,141	)		(1,819	)		(2,534	)
Call — Lamar Advertising Co.	Goldman Sachs International		101.134		9/16/22		(371	)		(37,493	)		(412	)		(1,590	)
Call — Sempra Energy	Goldman Sachs International		156.080		9/16/22		(2,449	)		(406,044	)		(8,898	)		(31,095	)
Call — Simon Property Group, Inc.	Goldman Sachs International		109.465		9/16/22		(1,427	)		(155,029	)		(1,631	)		(5,816	)
Call — Snam SpA	Goldman Sachs International		EUR 5.044		9/16/22		(14,291	)		(71,541	)		(1,315	)		(1,541	)
Call — Store Capital Corp.	Goldman Sachs International		29.551		9/16/22		(704	)		(20,430	)		(195	)		(500	)
Call — Vinci SA	Goldman Sachs International		EUR 93.826		9/16/22		(3,692	)		(352,361	)		(6,044	)		(11,324	)
Call — Vonovia SE	Goldman Sachs International		EUR 31.968		9/16/22		(2,974	)		(98,695	)		(1,365	)		(5,919	)
Call — Welltower, Inc.	Goldman Sachs International		87.092		9/16/22		(2,679	)		(231,305	)		(2,672	)		(6,934	)
Call — Williams Cos., Inc.	Goldman Sachs International		33.602		9/16/22		(1,861	)		(63,441	)		(1,199	)		(2,874	)
							(83,476	)	$	(3,410,215	)	$	(60,139	)	$	(141,995	)

18

Forward Foreign Currency Exchange Contracts

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation (Depreciation)
Brown Brothers Harriman	EUR	1,197,248	USD	1,253,986	8/2/22	$	30,339
Brown Brothers Harriman	GBP	766,759	USD	931,459	8/2/22		(2,300	)
Brown Brothers Harriman	GBP	203,427	USD	250,388	8/2/22		2,654
Brown Brothers Harriman	USD	187,549	EUR	183,186	8/2/22		(324	)
Brown Brothers Harriman	USD	189,113	EUR	185,672	8/2/22		653
Brown Brothers Harriman	USD	845,165	EUR	828,390	8/2/22		1,491
Brown Brothers Harriman	USD	1,181,764	GBP	970,186	8/2/22		(272	)
Brown Brothers Harriman	CAD	252,089	USD	195,430	8/3/22		(1,429	)
Brown Brothers Harriman	USD	196,934	CAD	252,089	8/3/22		(74	)
Brown Brothers Harriman	CAD	246,844	USD	192,817	9/2/22		61
Brown Brothers Harriman	EUR	836,114	USD	854,801	9/2/22		(1,574	)
Brown Brothers Harriman	EUR	116,598	USD	118,903	9/2/22		(520	)
Brown Brothers Harriman	GBP	1,001,311	USD	1,220,438	9/2/22		186
						$	28,891

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
OIS	Overnight Indexed Swap
REIT	Real Estate Investment Trust
SOFR	Secured Overnight Financing Rate
TruPS	Trust Preferred Securities
USD	United States Dollar

19

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 $8,626,957 which represents 11.6% of the net assets of the Fund, of which 0.0% are illiquid.

(b) Non-income producing security.

(c) Stapled security. A security contractually bound to one or more other securities to form a single saleable unit 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.

(f) Variable rate. Rate shown is in effect at July 31, 2022.

(g) Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $4,893,709 which represents 6.6% of the net assets of the Fund, of which 0.0% are illiquid

(h) 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 $10,419,988 or 14.0% of the net assets of the Fund.

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

(j) Represents the notional amount of the underlying swap contract.

(k) Represents the nominal pay out amount.

(l) Represents the number of contracts multiplied by notional contract size multiplied by the underlying price.

20

Country Summary	% of Net Assets
United States		50.6
Canada		12.6
United Kingdom		9.3
France		4.9
Australia		3.9
Japan		3.4
Switzerland		3.2
Spain		1.9
Italy		1.2
Germany		0.9
Hong Kong		0.9
China		0.8
Ireland		0.6
Singapore		0.5
South Africa		0.5
Sweden		0.5
Netherlands		0.5
Other (includes short-term investments)		3.8
		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.

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.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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 July 31, 2022 in valuing the Fund’s investments carried at value:

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

	Quoted Prices in Active  Markets for Identical Investments (Level  1)		Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Closed-End Funds	$	1,011,986	$	—		$	—	$	1,011,986
Common Stock:
Airports — Foreign		—		405,003			—		405,003
Communications		4,435,778		866,039			—		5,301,817
Electric — Foreign		235,932		910,873			—		1,146,805
Energy		727,952		594,894			—		1,322,846
Infrastructure — Foreign		—		182,611			—		182,611
Marine Ports — Foreign		153,945		193,458			—		347,403
Materials		400,757		927,915			—		1,328,672
Railways — Foreign		—		713,243			—		713,243
Real Estate		6,710,584		3,980,359			—		10,690,943
Toll Roads — Foreign		—		1,340,765			—		1,340,765
Utilities		3,465,815		669,050			—		4,134,865
Other Industries		8,802,840		—			—		8,802,840
Preferred Securities — $25 Par Value:
Financial		439,746		166,224			—		605,970
Other Industries		4,028,315					—		4,028,315
Preferred Securities — Capital Securities		—		31,090,390			—		31,090,390
Short-Term Investments		—		1,753,292			—		1,753,292
Purchased Option Contracts				61,064			—		61,064
Total Investments in Securities(a)	$	30,413,650	$	43,855,180		$	—	$	74,268,830
Forward Foreign Currency Exchange Contracts	$	—	$	35,384		$	—	$	35,384
Total Derivative Assets(a)	$	—	$	35,384		$	—	$	35,384
Forward Foreign Currency Exchange Contracts	$	—	$	(6,493	)	$	—	$	(6,493	)
Written Option Contracts		—		(167,790	)		—		(167,790	)
Total Derivative Liabilities(a)	$	—	$	(174,283	)	$	—	$	(174,283	)

(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 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.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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.

Binary Option Contracts: The Fund may write or purchase binary options, which are options in which the payout depends on whether the price of a particular asset will rise above or fall below a specified level. When the binary option expires the buyer receives either a pre-determined amount of cash or nothing at all.

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, 2022:

	Purchased Option Contracts(a)		Written Option Contracts(a)		Forward Foreign Currency  Exchange Contracts
Average Notional Amount	$	1,348,679	$	4,836,048	$	3,087,727

(a) Notional amount for swaption contracts represents the notional amount of the underlying swap contract. Notional amount for digital binary option contracts represents the nominal payout amount. Notional amount for all other option contracts is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price.