CONTENTS

	Page
Adoption of an Optional Delivery Method for Shareholder Reports (Rule 30e-3 Notice)	1
Letter to Stockholders	2
Management Discussion	6
Schedule of Investments	10
Statement of Assets and Liabilities	13
Statement of Operations	14
Statement of Changes in Net Assets Applicable to Common Stockholders	15
Statement of Cash Flows	16
Financial Highlights	17
Notes to Financial Statements	21
Glossary of Key Terms	41
Additional Information	42

CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS: This report of Kayne Anderson Energy Infrastructure Fund, Inc. (the “Company”) contains “forward-looking statements” as defined under the U.S. federal securities laws. Generally, the words “believe,” “expect,” “intend,” “estimate,” “anticipate,” “project,” “will” and similar expressions identify forward-looking statements, which generally are not historical in nature. Forward-looking statements are subject to certain risks and uncertainties that could cause actual results to materially differ from the Company’s historical experience and its present expectations or projections indicated in any forward-looking statements. These risks include, but are not limited to, changes in economic and political conditions; regulatory and legal changes; energy infrastructure company industry risk; leverage risk; valuation risk; interest rate risk; tax risk; and other risks discussed in the Company’s filings with the Securities and Exchange Commission (“SEC”). You should not place undue reliance on forward-looking statements, which speak only as of the date they are made. The Company undertakes no obligation to update or revise any forward-looking statements made herein. There is no assurance that the Company’s investment objectives will be attained.

All investments in securities involve risks, including the possible loss of principal. The value of an investment in the Company could be volatile, and you could suffer losses of some or a substantial portion of the amount invested. The Company’s concentration of investments in energy infrastructure companies subjects it to the risks of midstream, renewable infrastructure and utility entities and the energy sector, including the risks of declines in energy and commodity prices, decreases in energy demand, adverse weather conditions, natural or other disasters, changes in government regulation, and changes in tax laws. Leverage creates risks that may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares and fluctuations in distribution rates, which increases a stockholder’s risk of loss.

Performance data quoted in this report represent past performance and are for the stated time period only. Past performance is not a guarantee of future results. Current performance may be lower or higher than that shown based on market fluctuations from the end of the reported period.

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
ADOPTION OF AN OPTIONAL DELIVERY METHOD FOR SHAREHOLDER REPORTS

Rule 30e-3 Notice

Paper copies of Kayne Anderson Energy Infrastructure Fund, Inc.’s (the “Company”) annual and semi-annual shareholder reports are no longer being sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Company’s website (www.kaynefunds.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive paper copies of shareholder reports and other communications from the Company anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling the Company at 1-877-657-3863. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held directly with KA Fund Advisors, LLC.

1

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
LETTER TO STOCKHOLDERS

April 7, 2022

Dear Fellow Stockholders:

It has been an eventful start to fiscal 2022. The global equity markets began the year grappling with concerns about inflation, rising interest rates, and the potential for a slower global recovery. Russia’s invasion of Ukraine has added further uncertainty and amplified volatility in the financial markets. Energy markets, in particular, are a focal point as Western countries question their dependence on Russian energy-related commodities. The phrase “energy security” has suddenly become a hot topic among governments, business leaders, and investors as the tragedy unfolding in Ukraine highlights the inter-related nature of the global energy market and the importance of abundant, reliable U.S. energy resources and the infrastructure that supports the transportation and export of these resources. Further, while we are big proponents of the energy transition, we have a pragmatic view of how long this transition will take (and how difficult it will be at times). Along those lines, we are also seeing increased recognition of our long-held view that traditional energy sources (like natural gas) are critical long-term complements to the acceleration in wind and solar energy development. We believe the investment case for energy infrastructure is robust, and we believe KYN is ideally suited to give investors exposure to this asset class with its portfolio of high-quality, well-capitalized companies focused primarily on North American midstream, utilities, and renewable infrastructure.

In this letter, we discuss the energy infrastructure markets, KYN’s portfolio positioning, and the Company’s strong year-to-date performance. In summary:

•   KYN had an outstanding quarter generating a Net Asset Return of 16.3%;(1)

•   We achieved this return while maintaining conservative leverage levels with ample “downside cushion” given the overall equity market volatility;(2)

•   We closed the previously announced acquisition of the Fiduciary/Claymore Energy Infrastructure Fund; and

•   On March 30th, KYN announced an increase in its quarterly distribution to $0.20 per share (14% increase) that will be paid on April 19th.

Market Conditions

The S&P 500 declined 4.0% during KYN’s fiscal first quarter (ended February 28th). Volatility was very high as the market assessed accelerating inflation, rising interest rates, a COVID-19 resurgence in Asia, and the Russian invasion late in the quarter.(3) Bond yields rose during the quarter, with the 10-year U.S. Treasury bond yield up 40 basis points (bps) to 1.8%. Since quarter-end, yields have continued to trend much higher, with the 10-year Treasury bond currently yielding around 2.6% as inflationary pressures mount and markets are bracing for more aggressive Federal Reserve action to rein in inflation expectations. Central banks are now faced with the difficult task of “threading the needle” to navigate out of quantitative easing and raise interest rates to quell inflation while not moving so fast as to kill the economic recovery and risk causing a recession. The impact of the war in Ukraine, including the disruption of commodity markets, only makes this task more difficult. Against this backdrop, uncertainty remains heightened, and we expect continued periods of above-average volatility in equity markets.

____________

Endnotes can be found on page 5.

2

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
LETTER TO STOCKHOLDERS

Energy commodity prices were strong during the fiscal quarter and traded much higher after the Russian invasion. WTI crude oil prices ended the quarter at an eight-year high of $96 per barrel (up 45% during the quarter) and traded briefly over $125 per barrel in early March. Global crude oil inventories were already tight, with minimal spare production capacity as demand continued to rebound. The potential disruption in supplies from Russia has proved to be a tipping point, sending prices much higher and provoking the U.S. and other allies to release record quantities of oil from strategic reserves. We expect extreme volatility in oil prices until there is more clarity around the Ukrainian crisis, the ability of Russian supply to reach global markets, and the outlook for demand given the headwinds of higher prices and slowing economic growth. We do not expect a major supply response from U.S. producers this year despite higher prices, and we continue to forecast U.S. production to grow in the range of 5-8% during 2022. If we can avoid a global recession, we also believe oil prices will remain strong for quite some time due to minimal spare capacity and a higher risk premium reflected in prices.

Natural gas and LNG (liquified natural gas) have also garnered headlines, given that Russia represents roughly 40% of Europe’s gas supply. U.S. prices were strong during the quarter, averaging $4.40 per million British thermal unit (MMBtu), while prices in Europe averaged $30 per MMBtu. European countries have announced ambitious plans to diversify away from Russian natural gas by accelerating investments in renewables and LNG import infrastructure. The need for additional LNG has highlighted the important role of U.S. supply. This year, the U.S. is expected to surpass Qatar and Australia as the world’s largest exporter of LNG — a remarkable statistic considering that the first world scale LNG export facility in the U.S. was completed a mere six years ago.

The strategic importance of reliable U.S. energy supplies to Europe and Asia has never been more apparent. This has given rise to a global focus on the concept of energy security, and this theme is resonating with governments and investors alike. The importance of energy infrastructure in facilitating the transportation and delivery of U.S. oil, natural gas, LNG, and natural gas liquids is an important part of this story, and we expect this to generate positive investor sentiment toward many of our portfolio companies. We also believe that the quest for energy security does not conflict with the energy transition. We have long held that oil, natural gas, LNG and natural gas liquids will be part of the global mix for decades to come, complementing growing renewable energy sources and providing feedstock for plastic products that are fundamental to our modern lives.

While Ukraine and energy security have dominated the headlines since mid-February, there was intense focus earlier in the quarter on the President’s Build Back Better (“BBB”) proposal. Unfortunately, the failure of BBB to advance in Congress thus far during 2022 dampened investor sentiment a bit for some of our renewable infrastructure and utility holdings during the quarter. However, the long-term fundamentals for those businesses remain strong, and we believe there is broad political support for developing U.S. energy infrastructure across these sectors.

Portfolio and Performance

As has been the case for the last several quarters, returns across KYN’s three energy infrastructure sectors — midstream, U.S. utilities, and renewable infrastructure — were mixed during the first fiscal quarter of 2022.

•   Midstream energy, our largest sector, had another outstanding quarter, with the Alerian Midstream Energy Total Return Index (AMNAX) up 17.1%, outperforming the S&P 500 by approximately 2,100 bps.

____________

Endnotes can be found on page 5.

3

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
LETTER TO STOCKHOLDERS

•   U.S. utilities were up slightly for the quarter, with the Utilities Select Sector SPDR Fund (XLU) returning 4.1%, or approximately 800 bps better than the S&P 500.

•   Renewable infrastructure returns were near breakeven, at negative 0.5%.(4)

Over the last twelve months, the AMNAX returned 43%, which is approximately 2,700 bps greater than the S&P 500’s return over the same time period. U.S. utilities have returned 20% over this period, and renewable infrastructure returns are roughly flat over the last year. While renewable infrastructure has lagged the midstream and utility sectors since mid-January 2021, one must also consider the exceptional returns it generated during fiscal 2019 and 2020. The diversity among these returns is not a surprise, as returns among our three primary sectors are not expected to be highly correlated. This portfolio diversification reduces KYN’s overall risk without unduly sacrificing returns. Over the long term, we believe each sector’s fundamental prospects are very favorable.

As shown below, KYN’s sector allocations remain skewed toward midstream compared to the weightings that make up KYN’s Composite Energy Infrastructure Index benchmark. As a reminder, the benchmark index is a blend of midstream, U.S. utilities, and renewable infrastructure sectors, as measured by the AMNAX, XLU, and our renewable infrastructure composite, respectively.(5)

KYN’s NAV Return of 16.3% was 310 basis points better than the 13.2% benchmark index return, primarily due to KYN’s higher allocation to midstream, which outperformed the other sectors during the quarter. KYN’s midstream holdings largely consist of larger, diversified midstream companies that have exposure to the most attractive upstream producing basins and own assets that link the oil, natural gas, and natural gas liquids to domestic customers and export markets. We expect continued outperformance for midstream equities and anticipate remaining “overweight” in this subsector for the foreseeable future.

KYN’s Market Return was 13.9% for the quarter, or 240 bps less than NAV Return, as KYN’s share price traded at a wider discount to NAV over the quarter.(6) We are disappointed in the stock price performance relative to NAV performance. While we will continue to assess all options to narrow the stock price to NAV discount, we will continue to focus on providing attractive risk-adjusted returns while maintaining conservative balance sheet leverage and ample liquidity in the portfolio. We expect that our consistent performance, along with a substantial return of cash to shareholders through quarterly distributions, will be recognized by the market over time.

____________

Endnotes can be found on page 5.

4

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
LETTER TO STOCKHOLDERS

Distribution

Given KYN’s strong performance over the last seven quarters and our outlook for the next 12 to 18 months, we announced a 14% increase in our quarterly distribution to $0.20 per share.(7) Based on our current outlook, we believe this distribution level is sustainable and consistent with our distribution policy, which considers net distributable income as well as realized and unrealized gains from KYN’s portfolio investments. While we are cognizant of the heightened risks in broader markets, we remain optimistic about the long-term outlook for energy infrastructure companies and their role in the energy transition and in facilitating increased energy security for our allies across the globe.

We encourage investors to visit our website at kaynefunds.com for more information about the Company, including the podcasts posted on the “Insights” page that discuss performance and key industry trends. For more details on KYN’s performance, please refer to the “Quarterly Performance” section of our website at kaynefunds.com/kyn. We appreciate your investment in KYN and look forward to providing future updates.

KA Fund Advisors, LLC

____________

(1)    Net Asset Return is defined as the change in net asset value per share plus cash distributions paid during the period (assuming reinvestment through our dividend reinvestment plan).

​(2)    Downside cushion reflects the decrease in total asset value that could be sustained while maintaining compliance with 1940 Act leverage levels and KYN’s financial covenants.

​(3)    Performance metrics in this letter represent total returns unless specifically noted otherwise.

​(4)    Based on a composite total return for 38 domestic and international renewable infrastructure and utility companies (calculated on a market-cap weighted basis with individual constituents capped at a 10% weighting).

​(5)    The sub-sector allocations for KYN’s Composite Energy Infrastructure Index were established by Kayne Anderson at the beginning of fiscal 2022 and are expected to change on an annual basis based on the estimated sub-sector allocations of the Company’s assets during that year. The benchmark for the midstream sector is the Alerian Midstream Energy Total Return Index (AMNAX). The benchmark for the renewable infrastructure sector is the composite total return defined in footnote (4). The benchmark for the U.S. utilities sector is the Utilities Select Sector SPDR Fund (XLU), which is an ETF linked to the Utilities Select Sector Index (IXU), a sub-set of the S&P 500.

​(6)    Market return is defined as the change in share price plus cash distributions paid during the period (assuming reinvestment through our dividend reinvestment plan).

​(7)    Distribution payable April 19, 2022.

5

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
MANAGEMENT DISCUSSION
(UNAUDITED)

Company Overview

Kayne Anderson Energy Infrastructure Fund, Inc. (the “Company” or “KYN”) is a non-diversified, closed-end fund that commenced operations in September 2004. Our investment objective is to provide a high after-tax total return with an emphasis on making cash distributions to stockholders. We intend to achieve our investment objective by investing at least 80% of our total assets in the securities of Energy Infrastructure Companies. Please refer to the Glossary of Key Terms for the meaning of capitalized terms not otherwise defined herein.

As of February28, 2022, we had total assets of $1.8 billion, net assets applicable to our common stockholders of $1.3 billion (net asset value of $10.15 per share), and 126.4 million shares of common stock outstanding.

Recent Events

On March4, 2022, we completed the previously announced merger with Fiduciary/Claymore Energy Infrastructure Fund (“FMO”). Pursuant to the terms of the merger agreement approved by FMO shareholders, FMO was merged with and into KYN, and FMO shareholders received newly issued shares of KYN common stock in exchange for their shares of FMO, the aggregate net asset value of which equal the aggregate net asset value of FMO common shares, as determined at the close of business on March4, 2022. A total of 9.7million shares of new KYN common stock were issued as a result of the merger. The merger qualified as a tax-free reorganization under Section 368(a) of the Internal Revenue Code. Immediately following the merger, KYN’s combined net assets were $1.4billion and the Company had 136.1million shares of common stock outstanding.

Our Top Ten Portfolio Investments

Listed below are our top ten portfolio investments by issuer as of February28, 2022.

	Holding	Category	Amount ($ in millions)		Percent of Long-Term Investments
1.	MPLX LP(1)	Midstream Energy Company	$	221.9	12.3%
2.	Enterprise Products Partners L.P.(1)	Midstream Energy Company		188.0	10.4
3.	Targa Resources Corp.	Midstream Energy Company		150.7	8.3
4.	Energy Transfer LP	Midstream Energy Company		149.8	8.3
5.	The Williams Companies, Inc.	Midstream Energy Company		134.2	7.4
6.	Plains All American Pipeline, L.P.(2)	Midstream Energy Company		94.3	5.2
7.	Cheniere Energy, Inc.	Midstream Energy Company		88.7	4.9
8.	Western Midstream Partners, LP	Midstream Energy Company		83.9	4.6
9.	ONEOK, Inc.	Midstream Energy Company		69.1	3.8
10.	Magellan Midstream Partners, L.P.	Midstream Energy Company		59.9	3.3
			$	1,240.5	68.5%

____________

(1)  Includes our ownership of common and preferred units.

(2)  Includes our ownership of Plains All American Pipeline, L.P. (“PAA”) and Plains AAP, L.P. (“PAGP-AAP”).

6

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
MANAGEMENT DISCUSSION
(UNAUDITED)

Results of Operations — For the Three Months Ended February 28, 2022

Investment Income.    Investment income totaled $8.7 million for the quarter. We received $24.3 million of dividends and distributions, of which $15.2 million was treated as return of capital and $0.4 million was treated as distributions in excess of cost basis.

Operating Expenses.    Operating expenses totaled $9.7 million, including $5.8 million of investment management fees, $2.4 million of interest expense, $0.9 million of preferred stock distributions and $0.6 million of other operating expenses.

Net Investment Loss.    Our net investment loss totaled $0.7 million and included a current tax expense of $0.4million and a deferred tax benefit of $0.7 million.

Net Realized Losses.    We had net realized losses from our investments of $16.0 million, consisting of realized losses from long term investments of $20.7 million, $0.1 million of realized gains from option activity, a current income tax expense of $5.8million and a deferred tax benefit of $10.4 million.

Net Change in Unrealized Gains.    We had a net increase in our unrealized gains of $195.3 million. The net change consisted of a $251.2 million increase in unrealized gains on investments and a deferred tax expense of $55.9 million.

Net Increase in Net Assets Resulting from Operations.    As a result of the above, we had a net increase in net assets resulting from operations of $178.6 million.

Distributions to Common Stockholders

On March30, 2022, KYN declared a quarterly distribution of $0.20 per common share for the first quarter, which was paid on April19, 2022. Payment of future distributions is subject to Board of Directors approval, as well as meeting the covenants on our debt agreements and terms of our preferred stock.

The Board of Directors considers several items in setting our distributions to common stockholders including net distributable income (“NDI”), realized and unrealized gains and expected returns for portfolio investments. For instance, we expect earnings growth and/or excess free cash flows generated by our holdings will enhance shareholder value and, in turn, result in appreciation in our portfolio investments. Taking this into consideration when setting our distribution gives us an effective way to pass along these benefits to our stockholders.

NDI is the amount of income received by us from our portfolio investments less operating expenses, subject to certain adjustments as described below. NDI is not a financial measure under the accounting principles generally accepted in the United States of America (“GAAP”). Refer to the Reconciliation of NDI to GAAP section below for a reconciliation of this measure to our results reported under GAAP.

For the purposes of calculating NDI, income from portfolio investments includes (a) cash dividends and distributions, (b) paid-in-kind dividends received (i.e., stock dividends), (c) interest income from debt securities and commitment fees from private investments in public equity (“PIPE investments”) and (d) net premiums received from the sale of covered calls.

For the purposes of calculating NDI, operating expenses include (a) investment management fees paid to our investment adviser, (b) other expenses (mostly comprised of fees paid to other service providers), (c) interest expense and preferred stock distributions and (d) current and deferred income tax expense/benefit on net investment income/loss.

7

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
MANAGEMENT DISCUSSION
(UNAUDITED)

Net Distributable Income (NDI)

(amounts in millions, except for per share amounts)

	Three Months Ended February 28, 2022
Distributions and Other Income from Investments
Dividends and Distributions	$	24.3
Net Premiums Received from Call Options Written		0.1
Total Distributions and Other Income from Investments		24.4
Expenses
Net Investment Management Fee		(5.8	)
Other Expenses		(0.6	)
Interest Expense		(2.4	)
Preferred Stock Distributions		(0.9	)
Income Tax Benefit, net		0.3
Net Distributable Income (NDI)	$	15.0
Weighted Shares Outstanding		126.4
NDI per Weighted Share Outstanding	$	0.119
Adjusted NDI per Weighted Share Outstanding(1)	$	0.123

____________

(1)    Adjusted NDI includes distributions received from Atlantica Sustainable Infrastructure plc and Rattler Midstream LP attributable to the first quarter of fiscal 2022 with ex-dividend dates in March 2022, which were after our quarter end ($0.6 million).

Reconciliation of NDI to GAAP

The difference between distributions and other income from investments in the NDI calculation and total investment income as reported in our Statement of Operations is reconciled as follows:

•   A significant portion of the cash distributions received from our investments is characterized as return of capital. For GAAP purposes, return of capital distributions are excluded from investment income, whereas the NDI calculation includes the return of capital portion of such distributions.

•   GAAP recognizes distributions received from our investments that exceed the cost basis of our securities to be realized gains and are therefore excluded from investment income, whereas the NDI calculation includes these distributions.

•   NDI includes the value of paid-in-kind dividends and distributions (if any), whereas such amounts are not included as investment income for GAAP purposes, but rather are recorded as unrealized gains upon receipt.

•   NDI includes commitment fees from PIPE investments (if any), whereas such amounts are generally not included in investment income for GAAP purposes, but rather are recorded as a reduction to the cost of the investment.

8

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
MANAGEMENT DISCUSSION
(UNAUDITED)

•   We may sell covered call option contracts to generate income or to reduce our ownership of certain securities that we hold. In some cases, we are able to repurchase these call option contracts at a price less than the call premium that we received, thereby generating a profit. The premium we receive from selling call options, less (i) the premium that we pay to repurchase such call option contracts and (ii) the amount by which the market price of an underlying security is above the strike price at the time a new call option is written (if any), is included in NDI. For GAAP purposes, premiums received from call option contracts sold are not included in investment income. See Note 2 — Significant Accounting Policies for the GAAP treatment of option contracts.

Liquidity and Capital Resources

At February28, 2022, we had total leverage outstanding of $426 million, which represented 23% of total assets. Our current policy is to utilize leverage in an amount that represents approximately 25% to 30% of our total assets. Total leverage was comprised of $210 million of Notes, $65 million of borrowings outstanding under our unsecured revolving credit facility (the “Credit Facility”), $50 million outstanding under our unsecured term loan (the “Term Loan”) and $102 million of MRP Shares. At such date we had $1 million of cash. As of April22, 2022, we had $148 million of borrowings outstanding under our Credit Facility, $50 million outstanding under our Term Loan and we had $2 million of cash.

On February25, 2022, we entered into a $200million Credit Facility. The Credit Facility matures on February24, 2023, and replaces our $170million unsecured revolving credit facility that was scheduled to mature on February25, 2022. The interest rate on borrowings under the Credit Facility may vary between the secured overnight financing rate (“SOFR”) plus 1.40% and SOFR plus 2.25%, depending on our asset coverage ratios. We pay a fee of 0.20% per annum on any unused amounts of the Credit Facility.

Our $50 million Term Loan has a three-year term, maturing August 6, 2024. The interest rate on $25 million of the Term Loan is fixed at a rate of 1.735% and the interest rate on the remaining $25 million is LIBOR plus 1.30%. Amounts repaid under the Term Loan cannot be reborrowed.

As of February28, 2022, we had $210 million of Notes outstanding that mature between 2022 and 2026 and we had $102 million of MRP Shares outstanding that are subject to mandatory redemption between 2022 and 2030. On April4, 2022, we redeemed all $12million of our Series CC Notes at par (originally scheduled to mature on May3, 2022). We expect to have sufficient borrowing capacity on our Credit Facility to refinance the remaining $27 million of Notes and $10 million of MRP Shares that mature in fiscal 2022. We may consider issuing additional Notes and MRP Shares during fiscal 2022 depending on market conditions and our capital needs.

At February28, 2022, our asset coverage ratios under the Investment Company Act of 1940, as amended (“1940 Act”), were 526% for debt and 401% for total leverage (debt plus preferred stock). We target asset coverage ratios that give us the ability to withstand declines in the market value of the securities we hold before breaching the financial covenants in our leverage. These targets are dependent on market conditions as well as certain other factors and may vary from time to time. Currently, we are targeting asset coverage ratios that provide approximately 30% to 40% of cushion relative to our financial covenants (i.e., market values could decline by approximately this amount before our asset coverage ratios would be equal to our financial covenants).

As of February28, 2022, our total leverage consisted 67% of fixed rate obligations and 33% of floating rate obligations. At such date, the weighted average interest/dividend rate on our total leverage was 2.77%.

9

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
SCHEDULE OF INVESTMENTS
FEBRUARY28, 2022
(amounts in 000’s)
(UNAUDITED)

Description	No. of Shares/Units	Value
Long-Term Investments — 140.7%
Equity Investments(1) — 140.7%
Midstream Energy Company(2) — 117.5%
Aris Water Solutions, Inc.	667	$	9,745
Cheniere Energy, Inc.	667		88,671
Cheniere Energy Partners, L.P.	195		10,503
DCP Midstream, LP	323		10,685
DT Midstream, Inc.	870		46,186
Enbridge Inc.(3)	842		36,349
Energy Transfer LP	14,775		149,817
Enterprise Products Partners L.P.	6,686		163,272
Enterprise Products Partners L.P. — Convertible Preferred Units(4)(5)(6)	23		24,737
Hess Midstream LP	334		10,674
Kinder Morgan, Inc.	2,019		35,122
Magellan Midstream Partners, L.P.	1,234		59,871
MPLX LP	4,243		139,087
MPLX LP — Convertible Preferred Units(4)(5)(7)	2,255		82,773
ONEOK, Inc.	1,058		69,117
Pembina Pipeline Corporation(3)	733		24,899
Phillips 66 Partners LP(8)	335		14,121
Plains All American Pipeline, L.P.(9)	7,188		75,975
Plains GP Holdings, L.P. — Plains AAP, L.P.(5)(9)(10)	1,622		18,348
Rattler Midstream LP	756		10,440
Targa Resources Corp.	2,305		150,692
TC Energy Corporation(3)	1,073		57,621
The Williams Companies, Inc.	4,291		134,223
Western Midstream Partners, LP	3,222		83,902
			1,506,830
Utility Company(2) — 11.3%
American Electric Power Company, Inc.	57		5,167
Dominion Energy, Inc.	437		34,763
Duke Energy Corporation	145		14,529
Evergy, Inc.	121		7,564
Eversource Energy	108		8,834
NextEra Energy, Inc.	151		11,787
Sempra Energy	233		33,574
TransAlta Corporation(3)	1,150		11,667
Xcel Energy Inc.	250		16,853
			144,738

See accompanying notes to financial statements.

10

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
SCHEDULE OF INVESTMENTS
FEBRUARY28, 2022
(amounts in 000’s)
(UNAUDITED)

Description	No. of Shares/Units	Value
Renewable Infrastructure Company(2) — 10.1%
Atlantica Sustainable Infrastructure plc(3)	729	$	24,603
Brookfield Renewable Partners L.P.(3)	567		20,378
Clearway Energy, Inc. — Class A	111		3,406
Clearway Energy, Inc. — Class C	365		12,191
Enviva Inc.	372		25,957
Innergex Renewable Energy Inc.(3)	735		10,677
NextEra Energy Partners, LP	269		20,993
Northland Power Inc.(3)	377		11,963
			130,168
Energy Company(2) — 1.8%
Phillips 66(8)	186		15,669
Shell plc — ADR(3)(11)	140		7,334
			23,003
Total Long-Term Investments — 140.7% (Cost — $1,744,517)			1,804,739
Debt			(324,686	)
Mandatory Redeemable Preferred Stock at Liquidation Value			(101,670	)
Current Income Tax Receivable, net			7,877
Deferred Income Tax Liability, net			(104,916	)
Other Assets in Excess of Other Liabilities			1,614
Net Assets Applicable to Common Stockholders		$	1,282,958

____________

(1)    Unless otherwise noted, equity investments are common units/common shares.

(2)    Refer to Glossary of Key Terms for definitions of Energy Company, Midstream Energy Company, Renewable Infrastructure Company and Utility Company.

(3)    Foreign security.

(4)    Fair valued on a recurring basis using significant unobservable inputs (Level 3). See Notes 2 and 3 in Notes to Financial Statements.

(5)    The Company’s ability to sell this security is subject to certain legal or contractual restrictions. As of February 28, 2022, the aggregate value of restricted securities held by the Company was $125,858 (6.9% of total assets), which included $18,348 of Level 2 securities and $107,510 of Level 3 securities. See Note 7 — Restricted Securities.

(6)    Enterprise Products Partners, L.P. (“EPD”) Series A Cumulative Convertible Preferred Units (“EPD Convertible Preferred Units”) are senior to the common units in terms of liquidation preference and priority of distributions, and pay a distribution of 7.25% per annum. The EPD Convertible Preferred Units are convertible into EPD common units at any time after September 29, 2025 at the liquidation preference amount divided by 92.5% of the 5-day volume weighted average price of EPD’s common units at such time.

See accompanying notes to financial statements.

11

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
SCHEDULE OF INVESTMENTS
FEBRUARY28, 2022
(amounts in 000’s)
(UNAUDITED)

(7)    MPLX LP Series A Convertible Preferred Units (“MPLX Convertible Preferred Units”) are convertible on a one-for-one basis into common units of MPLX LP and are senior to the common units in terms of liquidation preference and priority of distributions. For the quarter ended February 28, 2022, the Company received a distribution of $0.705 per MPLX Convertible Preferred Unit.

(8)    On March 9, 2022, Phillips 66 (“PSX”) announced the completion of the previously announced merger between PSX and Phillips 66 Partners LP (“PSXP”). The merger resulted in PSX acquiring all of the publicly held common units of PSXP not already owned. As a result, KYN received 0.50 shares of PSX common stock for each PSXP common unit held.

(9)    The Company believes that it is an affiliate of Plains AAP, L.P. (“PAGP-AAP”) and Plains All American Pipeline, L.P. (“PAA”). See Note 5 — Agreements and Affiliations.

(10)  The Company’s ownership of PAGP-AAP is exchangeable on a one-for-one basis into either Plains GP Holdings, L.P. (“PAGP”) shares or PAA units at the Company’s option. The Company values its PAGP-AAP investment on an “as exchanged” basis based on the higher public market value of either PAGP or PAA. As of February 28, 2022, the Company’s PAGP-AAP investment is valued at PAGP’s closing price. See Note 7 — Restricted Securities.

(11)  ADR — American Depositary Receipt.

At February28, 2022, the Company’s geographic allocation was as follows:

Geographic Location	% of Long-Term Investments
United States	88.6%
Canada	9.6%
Europe/U.K.	1.8%

See accompanying notes to financial statements.

12

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2022
(amounts in 000’s, except share and per share amounts)
(UNAUDITED)

ASSETS
Investments at fair value:
Non-affiliated (Cost — $1,631,520)	$	1,710,416
Affiliated (Cost — $112,997)		94,323
Cash		1,278
Deposits with brokers		759
Receivable for securities sold		3,404
Interest, dividends and distributions receivable		1,513
Current income tax receivable, net		7,877
Deferred credit facility offering costs and other assets		1,200
Total Assets		1,820,770
LIABILITIES
Investment management fee payable		5,761
Accrued directors’ fees		148
Accrued expenses and other liabilities		2,777
Deferred income tax liability, net		104,916
Credit facility		65,000
Term loan		50,000
Unamortized term loan issuance costs		(134	)
Notes		209,686
Unamortized notes issuance costs		(825	)
Mandatory redeemable preferred stock, $25.00 liquidation value per share (4,066,795 shares issued and outstanding)		101,670
Unamortized mandatory redeemable preferred stock issuance costs		(1,187	)
Total Liabilities		537,812
NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS	$	1,282,958
NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS CONSIST OF
Common stock, $0.001 par value (126,447,554 shares issued and outstanding, 195,933,205 shares authorized)	$	126
Paid-in capital		1,795,178
Total distributable earnings (loss)		(512,346	)
NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS	$	1,282,958
NET ASSET VALUE PER COMMON SHARE	$	10.15

See accompanying notes to financial statements.

13

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
STATEMENT OF OPERATIONS
FOR THE THREE MONTHS ENDED FEBRUARY 28, 2022(amounts in 000’s)
(UNAUDITED)

INVESTMENT INCOME
Income
Dividends and distributions:
Non-affiliated investments	$	22,711
Affiliated investments		1,586
Total dividends and distributions (after foreign taxes withheld of $331)		24,297
Return of capital		(15,175	)
Distributions in excess of cost basis		(452	)
Total Investment Income		8,670
Expenses
Investment management fees		5,761
Administration fees		164
Directors’ fees		152
Professional fees		124
Insurance		56
Reports to stockholders		52
Stock exchange listing fees		31
Custodian fees		19
Other expenses		44
Total Expenses — before interest expense, preferred distributions and taxes		6,403
Interest expense including amortization of offering costs		2,378
Distributions on mandatory redeemable preferred stock including amortization of offering costs		950
Total Expenses — before taxes		9,731
Net Investment Loss — Before Taxes		(1,061	)
Current income tax expense		(419	)
Deferred income tax benefit		749
Net Investment Loss		(731	)
REALIZED AND UNREALIZED GAINS (LOSSES)
Net Realized Gains (Losses)
Investments — non-affiliated		(21,042	)
Investments — affiliated		452
Foreign currency transactions		(119	)
Options		126
Current income tax (expense)		(5,816	)
Deferred income tax benefit		10,395
Net Realized Losses		(16,004	)
Net Change in Unrealized Gains (Losses)
Investments — non-affiliated		238,925
Investments — affiliated		12,296
Foreign currency translations		9
Deferred income tax expense		(55,888	)
Net Change in Unrealized Gains		195,342
Net Realized and Unrealized Gains		179,338
NET INCREASE IN NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS RESULTING FROM OPERATIONS
	$	178,607

See accompanying notes to financial statements.

14

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS
(amounts in 000’s)

	For the Three Months Ended February 28, 2022 (Unaudited)			For the Fiscal Year Ended November 30, 2021
OPERATIONS
Net investment loss, net of tax(1)	$	(731	)	$	(9,857	)
Net realized gains (losses), net of tax		(16,004	)		142,221
Net change in unrealized gains, net of tax		195,342			203,391
Net Increase in Net Assets Resulting from Operations		178,607			335,755
DIVIDENDS AND DISTRIBUTIONS TO COMMON STOCKHOLDERS(1)
Dividends		—	​(2)		—
Distributions — return of capital		(22,128	)(2)		(82,190	)
Dividends and Distributions to Common Stockholders		(22,128	)		(82,190	)
Total Increase in Net Assets Applicable to Common Stockholders		156,479			253,565
NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS
Beginning of period		1,126,479			872,914
End of period	$	1,282,958		$	1,126,479

____________

(1)    Distributions on the Company’s mandatory redeemable preferred stock (“MRP Shares”) are treated as an operating expense under GAAP and are included in the calculation of net investment loss. See Note 2 — Significant Accounting Policies.

(2)    The characterization of the distributions paid to common stockholders for the three months ended February 28, 2022, as either dividends (eligible to be treated as qualified dividend income) or distributions (return of capital) is based solely on the Company’s operating results during the period and does not reflect the expected results during the remainder of the fiscal year. The actual characterization of the common stock distributions made during the period will not be determinable until after the end of the fiscal year when the Company can determine its earnings and profits. Therefore, the characterization may differ from this preliminary estimate.

See accompanying notes to financial statements.

15

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
STATEMENT OF CASH FLOWS
FOR THE THREE MONTHS ENDED FEBRUARY 28, 2022
(amounts in 000’s)
(UNAUDITED)

CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in net assets resulting from operations	$	178,607
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Return of capital distributions		15,175
Distributions in excess of cost basis		452
Net realized losses (excluding foreign currency transactions)		20,464
Net change in unrealized gains (excluding foreign currency translations)		(251,221	)
Purchase of long-term investments		(72,049	)
Proceeds from sale of long-term investments		82,898
Amortization of deferred debt offering costs		295
Amortization of mandatory redeemable preferred stock offering costs		51
Increase in deposits with brokers		(468	)
Increase in receivable for securities sold		(3,404	)
Decrease in dividends and distributions receivable		167
Decrease in current income tax receivable		6,348
Decrease in other assets		66
Decrease in payable for securities purchased		(20	)
Increase in investment management fee payable		412
Increase in accrued directors’ fees		10
Decrease in accrued expenses and other liabilities		(1,378	)
Increase in deferred income tax liability		44,743
Net Cash Provided by Operating Activities		21,148
CASH FLOWS FROM FINANCING ACTIVITIES
Increase in borrowings under credit facility		2,000
Costs associated with renewal of credit facility		(895	)
Cash distributions paid to common stockholders		(22,128	)
Net Cash Used in Financing Activities		(21,023	)
NET CHANGE IN CASH		125
CASH — BEGINNING OF PERIOD		1,153
CASH — END OF PERIOD	$	1,278

____________

Supplemental disclosure of cash flow information:

During the three months ended February 28,2022, interest paid related to debt obligations were $3,481 and income tax refunds received were $112(net of payments made).

See accompanying notes to financial statements.

16

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
FINANCIAL HIGHLIGHTS
(amounts in 000’s, except share and per share amounts)

	For the Three Months Ended February 28, 2022 (Unaudited)			For the Fiscal Year Ended November 30,
				2021			2020			2019
Per Share of Common Stock(1)
Net asset value, beginning of period	$	8.91		$	6.90		$	13.89		$	16.37
Net investment income (loss)(2)		(0.01	)		(0.08	)		(0.34	)		(0.26	)
Net realized and unrealized gain (loss)		1.43			2.74			(5.87	)		(0.75	)
Total income (loss) from operations		1.42			2.66			(6.21	)		(1.01	)
Common dividends(3)		—			—			—			—
Common distributions — return of capital(3)		(0.18	)		(0.65	)		(0.78	)		(1.47	)
Total dividends and distributions — common		(0.18	)		(0.65	)		(0.78	)		(1.47	)
Offering expenses associated with the issuance of common stock		—			—			—			—
Effect of issuance of common stock		—			—			—			—
Effect of shares issued in reinvestment of distributions		—			—			—			—
Total capital stock transactions		—			—			—			—
Net asset value, end of period	$	10.15		$	8.91		$	6.90		$	13.89
Market value per share of common stock, end of period	$	8.67		$	7.77		$	5.89		$	12.55
Total investment return based on common stock market value(4)		13.9	%(5)		44.0	%		(47.3	)%		(12.4	)%
Total investment return based on net asset value(6)		16.3	%(5)		41.0	%		(44.3	)%		(6.1	)%
Supplemental Data and Ratios(7)
Net assets applicable to common stockholders, end of period	$	1,282,958		$	1,126,479		$	872,914		$	1,755,216
Ratio of expenses to average net assets
Management fees (net of fee waiver)		2.0	%		1.8	%		2.3	%		2.3	%
Other expenses		0.2			0.3			0.3			0.1
Subtotal		2.2			2.1			2.6			2.4
Interest expense and distributions on mandatory redeemable preferred stock(2)		1.1			1.3			3.6			2.1
Income tax expense(8)		4.3	​(5)		5.1			—			—
Total expenses		7.6	%		8.5	%		6.2	%		4.5	%
Ratio of net investment income (loss) to average net assets(2)		(0.2	)%		(0.9	)%		(4.0	)%		(1.6	)%
Net increase (decrease) in net assets to common stockholders resulting from operations to average net assets		14.9	%(5)		31.4	%		(73.8	)%		(6.3	)%
Portfolio turnover rate		4.2	%(5)		50.8	%		22.3	%		22.0	%
Average net assets	$	1,194,842		$	1,068,396		$	1,063,404		$	2,032,591
Notes outstanding, end of period(9)	$	209,686		$	209,686		$	173,260		$	596,000
Borrowings under credit facilities, end of period(9)	$	65,000		$	63,000		$	62,000		$	35,000
Term loan outstanding, end of period(9)	$	50,000		$	50,000		$	—		$	60,000
Mandatory redeemable preferred stock, end of period(9)	$	101,670		$	101,670		$	136,633		$	317,000
Average shares of common stock outstanding		126,447,554			126,447,554			126,420,698			126,326,087
Asset coverage of total debt(10)		526.5	%		480.6	%		529.1	%		399.9	%
Asset coverage of total leverage (debt and preferred stock)(11)		400.9	%		365.5	%		334.7	%		274.1	%
Average amount of borrowings per share of common stock during the period(1)	$	2.74		$	2.43		$	2.88		$	6.09

See accompanying notes to financial statements.

17

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
FINANCIAL HIGHLIGHTS
(amounts in 000’s, except share and per share amounts)

	For the Fiscal Year Ended November 30,
	2018			2017			2016			2015
Per Share of Common Stock(1)
Net asset value, beginning of period	$	15.90		$	19.18		$	19.20		$	36.71
Net investment income (loss)(2)		(0.45	)		(0.45	)		(0.61	)		(0.53	)
Net realized and unrealized gain (loss)		2.74			(0.92	)		2.80			(14.39	)
Total income (loss) from operations		2.29			(1.37	)		2.19			(14.92	)
Common dividends(3)		(1.80	)		(0.53	)		—			(2.15	)
Common distributions — return of capital(3)		—			(1.37	)		(2.20	)		(0.48	)
Total dividends and distributions —  common		(1.80	)		(1.90	)		(2.20	)		(2.63	)
Offering expenses associated with the issuance of common stock		(0.01	)(12)		—			—			—
Effect of issuance of common stock		—			—			—			0.03
Effect of shares issued in reinvestment of distributions		(0.01	)		(0.01	)		(0.01	)		0.01
Total capital stock transactions		(0.02	)		(0.01	)		(0.01	)		0.04
Net asset value, end of period	$	16.37		$	15.90		$	19.18		$	19.20
Market value per share of common stock, end of period	$	15.85		$	15.32		$	19.72		$	18.23
Total investment return based on common stock market value(4)		14.8	%		(13.8	)%		24.1	%		(47.7	)%
Total investment return based on net asset value(6)		14.2	%		(8.0	)%		14.6	%		(42.8	)%
Supplemental Data and Ratios(7)
Net assets applicable to common stockholders, end of period	$	2,066,269		$	1,826,173		$	2,180,781		$	2,141,602
Ratio of expenses to average net assets
Management fees (net of fee waiver)		2.3	%		2.5	%		2.5	%		2.6	%
Other expenses		0.2			0.1			0.2			0.1
Subtotal		2.5			2.6			2.7			2.7
Interest expense and distributions on mandatory redeemable preferred stock(2)		1.9			2.0			2.8			2.4
Income tax expense(8)		—			—			7.9			—
Total expenses		4.4	%		4.6	%		13.4	%		5.1	%
Ratio of net investment income (loss) to average net assets(2)		(2.5	)%		(2.4	)%		(3.4	)%		(1.8	)%
Net increase (decrease) in net assets to common stockholders resulting from operations to average net assets		10.8	%		(7.5	)%		12.5	%		(51.7	)%
Portfolio turnover rate		25.8	%		17.6	%		14.5	%		17.1	%
Average net assets	$	2,127,407		$	2,128,965		$	2,031,206		$	3,195,445
Notes outstanding, end of period(9)	$	716,000		$	747,000		$	767,000		$	1,031,000
Borrowings under credit facilities, end of period(9)	$	39,000		$	—		$	43,000		$	—
Term loan outstanding, end of period(9)	$	60,000		$	—		$	—		$	—
Mandatory redeemable preferred stock, end of period(9)	$	317,000		$	292,000		$	300,000		$	464,000
Average shares of common stock outstanding		118,725,060			114,292,056			112,967,480			110,809,350
Asset coverage of total debt(10)		392.4	%		383.6	%		406.3	%		352.7	%
Asset coverage of total leverage (debt and preferred stock)(11)		282.5	%		275.8	%		296.5	%		243.3	%
Average amount of borrowings per share of common stock during the period(1)	$	6.52		$	7.03		$	7.06		$	11.95

See accompanying notes to financial statements.

18

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
FINANCIAL HIGHLIGHTS
(amounts in 000’s, except share and per share amounts)

	For the Fiscal Year Ended November 30,
	2014			2013			2012
Per Share of Common Stock(1)
Net asset value, beginning of period	$	34.30		$	28.51		$	27.01
Net investment income (loss)(2)		(0.76	)		(0.73	)		(0.71	)
Net realized and unrealized gain (loss)		5.64			8.72			4.27
Total income (loss) from operations		4.88			7.99			3.56
Common dividends(3)		(2.28	)		(1.54	)		(1.54	)
Common distributions — return of capital(3)		(0.25	)		(0.75	)		(0.55	)
Total dividends and distributions — common		(2.53	)		(2.29	)		(2.09	)
Offering expenses associated with the issuance of common stock		—			—			—
Effect of issuance of common stock		0.06			0.09			0.02
Effect of shares issued in reinvestment of distributions		—			—			0.01
Total capital stock transactions		0.06			0.09			0.03
Net asset value, end of period	$	36.71		$	34.30		$	28.51
Market value per share of common stock, end of period	$	38.14		$	37.23		$	31.13
Total investment return based on common stock market value(4)		9.9	%		28.2	%		19.3	%
Total investment return based on net asset value(6)		14.8	%		29.0	%		13.4	%
Supplemental Data and Ratios(7)
Net assets applicable to common stockholders, end of period	$	4,026,822		$	3,443,916		$	2,520,821
Ratio of expenses to average net assets
Management fees (net of fee waiver)		2.4	%		2.4	%		2.4	%
Other expenses		0.1			0.1			0.2
Subtotal		2.5			2.5			2.6
Interest expense and distributions on mandatory redeemable preferred stock(2)		1.8			2.1			2.4
Income tax expense(8)		8.3			14.4			7.2
Total expenses		12.6	%		19.0	%		12.2	%
Ratio of net investment income (loss) to average net assets(2)		(2.0	)%		(2.3	)%		(2.5	)%
Net increase (decrease) in net assets to common stockholders resulting from operations to average net assets		13.2	%		24.3	%		11.6	%
Portfolio turnover rate		17.6	%		21.2	%		20.4	%
Average net assets	$	3,967,458		$	3,027,563		$	2,346,249
Notes outstanding, end of period(9)	$	1,435,000		$	1,175,000		$	890,000
Borrowings under credit facilities, end of period(9)	$	51,000		$	69,000		$	19,000
Term loan outstanding, end of period(9)	$	—		$	—		$	—
Mandatory redeemable preferred stock, end of period(9)	$	524,000		$	449,000		$	374,000
Average shares of common stock outstanding		107,305,514			94,658,194			82,809,687
Asset coverage of total debt(10)		406.2	%		412.9	%		418.5	%
Asset coverage of total leverage (debt and preferred stock)(11)		300.3	%		303.4	%		296.5	%
Average amount of borrowings per share of common stock during the period(1)	$	13.23		$	11.70		$	10.80

See accompanying notes to financial statements.

19

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
FINANCIAL HIGHLIGHTS
(amounts in 000’s, except share and per share amounts)

____________

(1)    Based on average shares of common stock outstanding.

(2)    Distributions on the Company’s MRP Shares are treated as an operating expense under GAAP and are included in the calculation of net investment income (loss). See Note 2 — Significant Accounting Policies.

(3)    The characterization of the distributions paid for the three months ended February 28, 2022, is based solely on the Company’s operating results during the period and does not reflect the expected results during the remainder of the fiscal year. The actual characterization of the distributions made during the period will not be determinable until after the end of the fiscal year when the Company can determine its earnings and profits. Therefore, the characterization may differ from this preliminary estimate. The information presented for each of the other periods is a characterization of the total distributions paid to common stockholders as either a dividend (eligible to be treated as qualified dividend income) or a distribution (return of capital) and is based on the Company’s earnings and profits.

(4)    Total investment return based on market value is calculated assuming a purchase of common stock at the market price on the first day and a sale at the current market price on the last day of the period reported. The calculation also assumes reinvestment of distributions at actual prices pursuant to the Company’s dividend reinvestment plan.

(5)    Not annualized.

(6)    Total investment return based on net asset value is calculated assuming a purchase of common stock at the net asset value on the first day and a sale at the net asset value on the last day of the period reported. The calculation also assumes reinvestment of distributions at actual prices pursuant to the Company’s dividend reinvestment plan.

(7)    Unless otherwise noted, ratios are annualized.

(8)    For the fiscal years ended November 30, 2020, 2019, 2018, 2017 and 2015, the Company reported an income tax benefit of $190,326 (17.9% of average net assets), $43,357 (2.1% of average net assets), $175,827 (8.3% of average net assets), $86,746 (4.1% of average net assets) and $980,647 (30.7% of average net assets), respectively. The income tax expense is assumed to be 0% because the Company reported a net deferred income tax benefit during the period.

(9)    Principal/liquidation value.

(10)  Calculated pursuant to section 18(a)(1)(A) of the 1940 Act. Represents the value of total assets less all liabilities not represented by Notes (principal value) or any other senior securities representing indebtedness and MRP Shares (liquidation value) divided by the aggregate amount of Notes and any other senior securities representing indebtedness. Under the 1940 Act, the Company may not declare or make any distribution on its common stock nor can it incur additional indebtedness if, at the time of such declaration or incurrence, its asset coverage with respect to senior securities representing indebtedness would be less than 300%.

(11)  Calculated pursuant to section 18(a)(2)(A) of the 1940 Act. Represents the value of total assets less all liabilities not represented by Notes (principal value), any other senior securities representing indebtedness and MRP Shares (liquidation value) divided by the aggregate amount of Notes, any other senior securities representing indebtedness and MRP Shares. Under the 1940 Act, the Company may not declare or make any distribution on its common stock nor can it issue additional preferred stock if at the time of such declaration or issuance, its asset coverage with respect to all senior securities would be less than 200%. In addition to the limitations under the 1940 Act, the Company, under the terms of its MRP Shares, would not be able to declare or pay any distributions on its common stock if such declaration would cause its asset coverage with respect to all senior securities to be less than 225%.

(12)  Represents offering costs incurred in connection with the merger of Kayne Anderson Energy Development Company.

See accompanying notes to financial statements.

20

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

1.     Organization

Kayne Anderson Energy Infrastructure Fund, Inc. (the “Company” or “KYN”) was organized as a Maryland corporation on June 4, 2004, and is a non-diversified, closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Company’s investment objective is to obtain a high after-tax total return with an emphasis on making cash distributions to shareholders. The Company intends to achieve this objective by investing at least 80% of its total assets in the securities of Energy Infrastructure Companies. The Company commenced operations on September 28, 2004. The Company’s shares of common stock are listed on the New York Stock Exchange, Inc. (“NYSE”) under the symbol “KYN.” For more information about the Company’s investment objective, policies and principal risks, see Investment Objective, Policies and Risks in the Company’s most recently filed annual report.

On February4, 2022, the Company announced that the proposal to merge Fiduciary/Claymore Energy Infrastructure Fund (“FMO”) with and into KYN was approved by FMO shareholders. See Note 14 – Subsequent Events.

2.     Significant Accounting Policies

The following is a summary of the significant accounting policies that the Company uses to prepare its financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The Company is an investment company and follows accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 — “Financial Services — Investment Companies.”

A. Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of income and expenses during the period. Actual results could differ materially from those estimates.

B. Cash and Cash Equivalents — Cash and cash equivalents include short-term, liquid investments with an original maturity of three months or less and include money market fund accounts.

C.Calculation of Net Asset Value — The Company determines its net asset value on a daily basis and reports its net asset value on its website. Net asset value is computed by dividing the value of the Company’s assets (including accrued interest and distributions and current and deferred income tax assets), less all of its liabilities (including accrued expenses, distributions payable, current and deferred accrued income taxes, and any borrowings) and the liquidation value of any outstanding preferred stock, by the total number of common shares outstanding.

D.Investment Valuation — Readily marketable portfolio securities listed on any exchange (including a foreign exchange) other than the NASDAQ Stock Market, Inc. (“NASDAQ”) are valued, except as indicated below, at the last sale price 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 most recent bid and ask prices on such day. Securities admitted to trade on the NASDAQ are valued at the NASDAQ official closing price. Portfolio securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. The value of foreign securities traded outside of the Americas may be adjusted to reflect events occurring after a foreign exchange closes that may affect the value of the foreign security. In such cases, these foreign securities are valued by an independent pricing service and are categorized as a Level 2 security for purposes of the fair value hierarchy. See Note 3 — Fair Value.

21

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

Equity securities traded in the over-the-counter market, but excluding securities admitted to trading on the NASDAQ, are valued at the closing bid prices. Debt securities that are considered bonds are valued by using the bid price provided by an independent pricing service or, if such prices are not available or in the judgment of KA Fund Advisors, LLC (“KAFA”) such prices are stale or do not represent fair value, by an independent broker. For debt securities that are considered bank loans, the fair market value is determined by using the bid price provided by the agent or syndicate bank or principal market maker. When price quotes for securities are not available, or such prices are stale or do not represent fair value in the judgment of KAFA, fair market value will be determined using the Company’s valuation process for securities that are privately issued or otherwise restricted as to resale.

Exchange-traded options and futures contracts are valued at the last sales price at the close of trading in the market where such contracts are principally traded or, if there was no sale on the applicable exchange on such day, at the mean between the quoted bid and ask price as of the close of such exchange.

The Company may hold securities that are privately issued or otherwise restricted as to resale. For these securities, as well as any security for which (a) reliable market quotations are not available in the judgment of KAFA, or (b) the independent pricing service or independent broker does not provide prices or provides a price that in the judgment of KAFA is stale or does not represent fair value, each shall be valued in a manner that most fairly reflects fair value of the security on the valuation date. Unless otherwise determined by the Board of Directors, the following valuation process is used for such securities:

•   Investment Team Valuation.    The applicable investments are valued by senior professionals of KAFA who are responsible for the portfolio investments. The investments will be valued monthly with new investments valued at the time such investment was made.

•   Investment Team Valuation Documentation.    Preliminary valuation conclusions will be determined by senior management of KAFA. Such valuations and supporting documentation are submitted to the Valuation Committee (a committee of the Company’s Board of Directors) and the Board of Directors on a quarterly basis.

•   Valuation Committee.    The Valuation Committee meets to consider the valuations submitted by KAFA at the end of each quarter. Between meetings of the Valuation Committee, a senior officer of KAFA is authorized to make valuation determinations. All valuation determinations of the Valuation Committee are subject to ratification by the Board of Directors at its next regular meeting.

•   Valuation Firm.    Quarterly, a third-party valuation firm engaged by the Board of Directors reviews the valuation methodologies and calculations employed for these securities, unless the aggregate fair value of such security is less than 0.1% of total assets.

•   Board of Directors Determination.    The Board of Directors meets quarterly to consider the valuations provided by KAFA and the Valuation Committee and ratify valuations for the applicable securities. The Board of Directors considers the report provided by the third-party valuation firm in reviewing and determining in good faith the fair value of the applicable portfolio securities.

At February28, 2022, the Company held 8.4% of its net assets applicable to common stockholders (5.9% of total assets) in securities that were fair valued pursuant to procedures adopted by the Board of Directors (Level 3 securities). The aggregate fair value of these securities at February28, 2022, was $107,510. See Note 3 — Fair Value and Note 7 — Restricted Securities.

22

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

E. Security Transactions — Security transactions are accounted for on the date these securities are purchased or sold (trade date). Realized gains and losses are calculated using the specific identification cost basis method for GAAP purposes. For tax purposes, the Company utilizes the average cost method to compute the adjusted tax cost basis of its MLP securities.

F. Return of Capital Estimates — Dividends and distributions received from the Company’s investments generally are comprised of income and return of capital. At the time such dividends and distributions are received, the Company estimates the amount of such payments that is considered investment income and the amount that is considered a return of capital. The Company estimates the return of capital portion of dividends and distributions received from investments based on historical information available and other information provided by certain investments. Return of capital estimates are adjusted to actual in the subsequent fiscal year when final tax reporting information related to the Company’s investments is received.

The return of capital portion of the distributions is a reduction to investment income that results in an equivalent reduction in the cost basis of the associated investments and increases net realized gains (losses) and net change in unrealized gains (losses). If the distributions received by the Company exceed its cost basis (i.e. its cost basis has been reduced to zero), the distributions are treated as realized gains.

The Company includes all distributions received on its Statement of Operations and reduces its investment income by (i) the estimated return of capital and (ii) the distributions in excess of cost basis, if any. Distributions received that were in excess of cost basis were treated as realized gains.

In accordance with GAAP, the return of capital cost basis reductions for the Company’s investments are limited to the total amount of the cash distributions received from such investments.

The following table sets forth the Company’s estimated return of capital portion of the dividends and distributions received from its investments that were not treated as distributions in excess of cost basis.

	For the Three MonthsEnded February 28, 2022
Dividends and distributions (before foreign taxes withheld of $331 and excluding distributions in excess of cost basis)	$	24,176
Dividends and distributions — % return of capital		63	%
Return of capital — attributable to net realized gains (losses)	$	438
Return of capital — attributable to net change in unrealized gains (losses)		14,737
Total return of capital	$	15,175

G. Investment Income — The Company records dividends and distributions on the ex-dividend date. Interest income is recognized on the accrual basis, including amortization of premiums and accretion of discounts. When investing in securities with paid-in-kind interest, the Company will accrue interest income during the life of the security even though it will not be receiving cash as the interest is accrued. To the extent that interest income to be received is not expected to be realized, a reserve against income is established.

23

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

The Company may receive paid-in-kind and non-cash dividends and distributions in the form of additional units or shares from its investments. For paid-in-kind dividends, the additional units are not reflected in investment income during the period received, but are recorded as unrealized gains upon receipt. Non-cash distributions are reflected in investment income because the Company has the option to receive its distributions in cash or in additional units of the security. During the three months ended February28, 2022, the Company did not receive any paid-in-kind dividends or non-cash distributions.

H. Distributions to Stockholders — Distributions to common stockholders are recorded on the ex- dividend date. Distributions to holders of MRP Shares are accrued on a daily basis. As required by the Distinguishing Liabilities from Equity topic of the FASB Accounting Standards Codification (ASC 480), the Company includes the accrued distributions on its MRP Shares as an operating expense due to the fixed term of this obligation. For tax purposes, payments made to the holders of the Company’s MRP Shares are treated as dividends or distributions.

The characterization of the distributions paid to holders of MRP Shares and common stock as either a dividend (eligible to be treated as qualified dividend income) or a distribution (return of capital) is determined after the end of the fiscal year based on the Company’s actual earnings and profits and may differ substantially from preliminary estimates.

I. Partnership Accounting Policy — The Company records its pro-rata share of the income (loss), to the extent of distributions it has received, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly. These amounts are included in the Company’s Statement of Operations.

J. Taxes — The Company, as a corporation, is obligated to pay federal and state income tax on its taxable income. The Company invests in MLPs, which generally are treated as partnerships for federal income tax purposes. As a limited partner in the MLPs, the Company includes its allocable share of the MLP’s taxable income or loss in computing its own taxable income. Deferred income taxes reflect (i) taxes on unrealized gains (losses), which are attributable to the difference between fair value and tax cost basis, (ii) the net tax effects of temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for income tax purposes and (iii) the net tax benefit of accumulated net operating and capital losses. To the extent the Company has a deferred tax asset, consideration is given as to whether or not a valuation allowance is required. The need to establish a valuation allowance for deferred tax assets is assessed periodically by the Company based on the Income Tax Topic of the FASB Accounting Standards Codification (ASC 740), that it is more likely than not that some portion or all of the deferred tax asset will not be realized. In the assessment for a valuation allowance, consideration is given to all positive and negative evidence related to the realization of the deferred tax asset. This assessment considers, among other matters, the nature, frequency and severity of current and cumulative losses, forecasts of future profitability (which are highly dependent on future cash distributions from the Company’s holdings), the duration of statutory carryforward periods and the associated risk that certain loss carryforwards may expire unused.

The Company may rely to some extent on information provided by portfolio investments, which may not necessarily be timely, to estimate taxable income allocable to the units/shares of such companies held in the portfolio and to estimate the associated current and/or deferred tax liability. Such estimates are made in good faith. From time to time, as new information becomes available, the Company modifies its estimates or assumptions regarding the deferred tax liability. See Note 6 — Income Taxes.

The Company may be subject to withholding taxes on foreign-sourced income and accrues such taxes when the related income is earned.

24

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

The Company utilizes the average cost method to compute the adjusted tax cost basis of its MLP securities.

The Company’s policy is to classify interest and penalties associated with underpayment of federal and state income taxes, if any, as income tax expense on its Statement of Operations. Tax years subsequent to fiscal year 2016 remain open and subject to examination by the federal and state tax authorities.

K. Derivative Financial Instruments — The Company may utilize derivative financial instruments in its operations.

Interest rate swap contracts.    The Company may use hedging techniques such as interest rate swaps to mitigate potential interest rate risk on a portion of the Company’s leverage. Such interest rate swaps would principally be used to protect the Company against higher costs on its leverage resulting from increases in interest rates. The Company does not hedge any interest rate risk associated with portfolio holdings. Interest rate transactions the Company may use for hedging purposes may expose it to certain risks that differ from the risks associated with its portfolio holdings. A decline in interest rates may result in a decline in the value of the swap contracts, which, everything else being held constant, would result in a decline in the net assets of the Company. In addition, if the counterparty to an interest rate swap defaults, the Company would not be able to use the anticipated net receipts under the interest rate swap to offset its cost of financial leverage.

Interest rate swap contracts are recorded at fair value with changes in value during the reporting period, and amounts accrued under the agreements, included as unrealized gains or losses in the Statement of Operations. Monthly cash settlements under the terms of the interest rate swap agreements or termination payments are recorded as realized gains or losses in the Statement of Operations. The Company generally values its interest rate swap contracts based on dealer quotations, if available, or by discounting the future cash flows from the stated terms of the interest rate swap agreement by using interest rates currently available in the market. See Note 8 — Derivative Financial Instruments.

Option contracts.    The Company is also exposed to financial market risks including changes in the valuations of its investment portfolio. The Company may purchase or write (sell) call options. A call option on a security is a contract that gives the holder of the option, in return for a premium, the right to buy from the writer of the option the security underlying the option at a specified exercise price at any time during the term of the option.

The Company would realize a gain on a purchased call option if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise the Company would realize either no gain or a loss on the purchased call option. The Company may also purchase put option contracts. If a purchased put option is exercised, the premium paid increases the cost basis of the securities sold by the Company.

The Company may also write (sell) call options with the purpose of generating realized gains or reducing its ownership of certain securities. If the Company writes a call option on a security, the Company has the obligation upon exercise of the option to deliver the underlying security upon payment of the exercise price. The Company will only write call options on securities that the Company holds in its portfolio (i.e., covered calls).

25

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

When the Company writes a call option, an amount equal to the premium received by the Company is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Company on the expiration date as realized gains from investments. If the Company repurchases a written call option prior to its exercise, the difference between the premium received and the amount paid to repurchase the option is treated as a realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Company has realized a gain or loss. The Company, as the writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. See Note 8 — Derivative Financial Instruments.

L. Short Sales — A short sale is a transaction in which the Company sells securities it does not own (but has borrowed) in anticipation of or to hedge against a decline in the market price of the securities. To complete a short sale, the Company may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Company for the short sale are retained by the broker until the Company replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Company becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever the price may be.

The Company’s short sales, if any, are fully collateralized. The Company is required to maintain assets consisting of cash or liquid securities equal in amount to the liability created by the short sale. These assets are adjusted daily to reflect changes in the value of the securities sold short. The Company is liable for any interest, dividends or distributions paid on securities sold short.

The Company may also sell short “against the box” (i.e., the Company enters into a short sale as described above while holding an offsetting long position in the security which it sold short). If the Company enters into a short sale “against the box,” the Company would segregate an equivalent amount of securities owned as collateral while the short sale is outstanding.

M. Foreign Currency Translations — The books and records of the Company are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the rate of exchange as of the valuation date; and (ii) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Company does not isolate that portion of gains and losses on investments in equity and debt securities which is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity and debt securities. Accordingly, realized and unrealized foreign currency gains and losses with respect to such securities are included in the reported net realized and unrealized gains and losses on investment transactions balances.

Net realized foreign exchange gains or losses represent gains and losses from transactions in foreign currencies and foreign currency contracts, foreign exchange gains or losses realized between the trade date and settlement date on security transactions, and the difference between the amounts of interest and dividends recorded on the Company’s books and the U.S. dollar equivalent of such amounts on the payment date.

Net unrealized foreign exchange gains or losses represent the difference between the cost of assets and liabilities (other than investments) recorded on the Company’s books from the value of the assets and liabilities (other than investments) on the valuation date.

26

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

N. Indemnifications — Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. In addition, in the normal course of business, the Company enters into contracts that provide general indemnification to other parties. The Company’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Company that have not yet occurred, and may not occur. However, the Company has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

O. Offering and Debt Issuance Costs — Offering costs incurred by the Company related to the issuance of its common stock reduce additional paid-in capital when the stock is issued. Costs incurred by the Company related to the issuance of its debt (credit facility, term loan or notes) or its preferred stock are capitalized and amortized over the period the debt or preferred stock is outstanding.

The Company has classified the costs incurred to issue its term loan, notes and preferred stock as a deduction from the carrying value on the Statement of Assets and Liabilities. For the purpose of calculating the Company’s asset coverage ratios pursuant to the 1940 Act, deferred issuance costs are not deducted from the carrying value of debt or preferred stock.

3.     Fair Value

The Fair Value Measurement Topic of the FASB Accounting Standards Codification (ASC 820) defines fair value as the price at which an orderly transaction to sell an asset or to transfer a liability would take place between market participants under current market conditions at the measurement date. As required by ASC 820, the Company has performed an analysis of all assets and liabilities (other than deferred taxes) measured at fair value to determine the significance and character of all inputs to their fair value determination. Inputs are the assumptions, along with considerations of risk, that a market participant would use to value an asset or a liability. In general, observable inputs are based on market data that is readily available, regularly distributed and verifiable that the Company obtains from independent, third-party sources. Unobservable inputs are developed by the Company based on its own assumptions of how market participants would value an asset or a liability.

The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.

•   Level 1 — Valuations based on quoted unadjusted prices for identical instruments in active markets traded on a national exchange to which the Company has access at the date of measurement.

•   Level 2 — Valuations based on quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.

•   Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Company’s own assumptions that market participants would use to price the asset or liability based on the best available information.

27

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

The following table presents the Company’s assets measured at fair value on a recurring basis at February28, 2022, and the Company presents these assets by security type and description on its Schedule of Investments. Note that the valuation levels below are not necessarily an indication of the risk or liquidity associated with the underlying investment.

	Total		Quoted Prices inActive Markets(Level 1)		Prices with OtherObservable Inputs(Level 2)		UnobservableInputs(Level 3)
Assets at Fair Value
Equity investments	$	1,804,739	$	1,678,881	$	18,348(1)	$	107,510

____________

(1)    As of February 28, 2022, this amount represents the value of the Company’s investment in Plains AAP, L.P. (“PAGP-AAP”).

The Company did not have any liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at February28, 2022.

As of February28, 2022, the Company had Notes outstanding with aggregate principal amount of $209,686 and 4,066,795 of MRP Shares outstanding with a total liquidation value of $101,670. See Note 11 — Notes and Note 12 — Preferred Stock.

All of the Notes and MRP Shares were issued in private placements to institutional investors and are not listed on any exchange or automated quotation system. As such, the Company categorizes all of the Notes ($209,686 aggregate principal amount) and all of the MRP Shares ($101,670 aggregate liquidation value) as Level 3 and determines the fair value of these instruments based on estimated market yields and credit spreads for comparable instruments with similar maturity, terms and structure.

The Company records these Notes and MRP Shares on its Statement of Assets and Liabilities at principal amount or liquidation value. As of February28, 2022, the estimated fair values of these leverage instruments are as follows.

Instrument	Principal Amount/Liquidation Value		Fair Value
Notes (Series CC, FF, GG, KK, MM through QQ)	$	209,686	$	211,400
MRP Shares (Series P, R and S)	$	101,670	$	100,200

The following table presents the Company’s assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended February28, 2022.

	EquityInvestments
Balance — November 30, 2021	$	106,563
Purchases		—
Sales		—
Transfers out to Level 1 and 2		—
Realized gains (losses)		—
Change in unrealized gains (losses), net		947
Balance — February 28, 2022	$	107,510
Net change in unrealized gain (loss) of investments still held at February 28, 2022	$	947

28

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

The $947 of unrealized gains (net) relates to investments that were held during the period. The Company includes these unrealized gains and losses on the Statement of Operations — Net Change in Unrealized Gains (Losses).

Valuation Techniques and Unobservable Inputs

Unless otherwise determined by the Board of Directors, the Company values its private investments in public equity (“PIPE”) investments that will become publicly tradeable (e.g., through subsequent registration or expiration of a restriction on trading) based on the market value of the publicly-traded security less a discount. This discount is initially equal to the discount negotiated at the time the Company agrees to a purchase price. To the extent that such securities become publicly traded within a time frame that may be reasonably determined, this discount will be amortized on a straight line basis over such estimated time frame.

The Company owns cumulative convertible preferred units of Enterprise Products Partners L.P. (“EPD”). The convertible preferred units will be convertible by the holders into common units at any time after September 29, 2025 at a conversion rate calculated as the Liquidation Preference divided by 92.5% of the 5-day volume weighted average price of EPD’s common units at the time of conversion. The convertible preferred units are redeemable at any time by EPD, at Redemption Prices ranging from 100% to 110% of Liquidation Preference based on the date of redemption. The convertible preferred units are senior to the underlying common units in terms of liquidation preference and priority of distributions. The Company’s Board of Directors has determined that it is appropriate to value these convertible preferred units using a discounted cash flow analysis under two different scenarios and calculate a probability weighted valuation based on these scenarios. Under the first scenario, the valuation assumes that the Company holds the security until the fifth anniversary of the original issuance date (September 30, 2025) and assigns a 95% probability to this outcome. Under the second scenario, the valuation assumes the security is redeemed by EPD upon the next step-down in Redemption Price (September 30, 2022) and assigns a 5% probability to this outcome. To determine the appropriate discount rate for this analysis, the Company estimates the credit spread for the convertible preferred units, which is based on (a) the credit spread of EPD’s unsecured notes with a focus on its notes maturing February 2026 and (b) the credit spread of publicly traded preferred securities of similar investment grade issuers in the energy industry over their publicly traded notes. The Company’s ability to sell the preferred units prior to redemption is subject to certain restrictions. As such, the Company applies a 5% illiquidity discount to be amortized over an assumed five-year holding period to September 30, 2025. If the resulting valuation implies a price higher than the current redemption price, the valuation is limited to the current redemption price plus unpaid distributions.

The Company owns convertible preferred units of MPLX LP (“MPLX”). The convertible preferred units are convertible on a one-for-one basis into common units at the Company’s option and are senior to the underlying common units in terms of liquidation preference and priority of distributions. The Company’s Board of Directors has determined that it is appropriate to value this convertible preferred units using a two-step process. The first step in this valuation process is to use a convertible pricing model to value the security. The convertible pricing model takes into account the attributes of the convertible preferred units, including the preferred dividend, conversion ratio and call features, to determine the estimated value of such units. In using this model, the Company estimates (i) the credit spread for the convertible preferred units, which is based on (a) the credit spread of the partnership’s unsecured notes,

29

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

(b) the credit spread of the partnership’s publicly traded preferred securities to their unsecured notes, and (c) the credit spreads of similar publicly traded preferred securities over bonds with similar maturities, and (ii) the expected volatility for the underlying common units. The second step in this valuation process is to assess the additional yield that a buyer of this security would require to hold this security (relative to the yield implied by the convertible pricing model) due to the illiquid nature of the security. The range of additional yield required is informed by publicly reported trades in the security, if any, as well as the judgment of KAFA. For this security, if the resulting price for the convertible preferred units is less than the public market price for the underlying common units at such time, the public market price for the common units will be used to value the convertible preferred units.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Company’s investments may fluctuate from period to period. Additionally, the fair value of the Company’s investments may differ from the values that would have been used had a ready market existed for such investments and may differ materially from the values that the Company may ultimately realize.

The following table summarizes the significant unobservable inputs that the Company used to value its portfolio investments categorized as Level 3 as of February28, 2022:

Quantitative Table for Valuation Techniques

					Range		Weighted Average
Assets at Fair Value	Fair Value		Valuation Technique	Unobservable Inputs	Low	High
EPD Convertible Preferred Units	$	24,737	- Discounted cash flow analysis	- Discount rate - Illiquidity discount	3.1% 3.6%	4.2% 3.6%	3.7% 3.6%
MPLX Convertible Preferred Units		82,773	- Convertible pricing model	- Credit spread - Volatility - Yield spread	4.4% 20.0% 0.5%	4.9% 30.0% 1.0%	4.6% 25.0% 0.8%
Total	$	107,510

4.     Risk Considerations

The Company’s investments are concentrated in the energy sector. A downturn in one or more industries within the energy sector, material declines in energy-related commodity prices, adverse political, legislative or regulatory developments or environmental, catastrophic or other events could have a larger impact on the Company than on an investment company that does not concentrate in the energy sector. The performance of companies in the energy sector may lag the performance of other sectors or the broader market as a whole. The Company also invests in securities of foreign issuers, predominantly those located in Canada and, to a lesser extent, Europe. The value of those investments will fluctuate with market conditions, currency exchange rates and the economic and political climates of the foreign countries in which the issuers operate or are domiciled. Additionally, to the extent that the Company invests a relatively high percentage of its assets in the securities of a limited number of issuers, the Company may be more susceptible than a more widely diversified investment company to any single economic, political or regulatory occurrence.

30

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

At February28, 2022, the Company had the following investment concentrations:

Category	Percent of Long-Term Investments
Energy Companies	100.0%
Equity securities	100.0%
Energy Infrastructure Companies	98.7%
Largest single issuer	12.3%
Restricted securities	7.0%

For more information about the principal risks of investing in the Company, see Investment Objective, Policies and Risks in the Company’s most recently filed annual report.

5.     Agreements and Affiliations

A. Administration Agreement — On February 1, 2022, the Company entered into an amended administration and accounting agreement with Ultimus Fund Solutions, LLC (“Ultimus”). Pursuant to the agreement, Ultimus will continue to provide certain administrative and accounting services for the Company. The agreement has an initial term of three years and automatic one-year renewals unless earlier terminated by either party as provided under the terms of the agreement.

B. Investment Management Agreement — The Company has entered into an investment management agreement with KA Fund Advisors, LLC (“KAFA”) under which KAFA, subject to the overall supervision of the Company’s Board of Directors, manages the day-to-day operations of, and provides investment advisory services to, the Company. For providing these services, KAFA receives an investment management fee from the Company.

KAFA has also entered into a fee waiver agreement with the Company that provides for a management fee of 1.375% on average total assets up to $4,000,000; 1.25% on average total assets between $4,000,000 and $6,000,000; 1.125% on average total assets between $6,000,000 and $8,000,000; and 1.0% on average total assets over $8,000,000. These tiered fee waivers will result in a reduction to the effective management fee rate payable to KAFA as the Company’s assets under management increase. Any amount waived by KAFA pursuant to the fee waiver agreement may not be recouped.

The investment management and fee waiver agreements have a current term through April 30, 2023 and may be renewed annually thereafter upon approval of KAFA and the Company’s Board of Directors (including a majority of the Company’s directors who are not “interested persons” of the Company, as such term is defined in the 1940 Act). For the three months ended February28, 2022, the Company paid management fees at an annual rate of 1.375% of the Company’s average quarterly total assets (as defined in the investment management agreement).

For purposes of calculating the management fee the average total assets for each quarterly period are determined by averaging the total assets at the last day of that quarter with the total assets at the last day of the prior quarter. The Company’s total assets are equal to the Company’s gross asset value (which includes assets attributable to the Company’s use of preferred stock, commercial paper or notes and other borrowings and excludes any net deferred tax asset), minus the sum of the Company’s accrued and unpaid dividends and distributions on any outstanding common stock and accrued and unpaid dividends and distributions on any outstanding preferred stock and accrued liabilities (other than liabilities associated with borrowing or leverage by the Company and any accrued taxes, including, a deferred tax liability). Liabilities associated with borrowing or leverage by the Company include the

31

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

principal amount of any borrowings, commercial paper or notes issued by the Company, the liquidation preference of any outstanding preferred stock, and other liabilities from other forms of borrowing or leverage such as short positions and put or call options held or written by the Company.

C. Portfolio Companies — From time to time, the Company may “control” or may be an “affiliate” of one or more of its portfolio companies, as each of these terms is defined in the 1940 Act. In general, under the 1940 Act, the Company would be presumed to “control” a portfolio company if the Company and its affiliates owned 25% or more of its outstanding voting securities and would be an “affiliate” of a portfolio company if the Company and its affiliates owned 5% or more of its outstanding voting securities. The 1940 Act contains prohibitions and restrictions relating to transactions between investment companies and their affiliates (including the Company’s investment adviser), principal underwriters and affiliates of those affiliates or underwriters.

The Company believes that there are several factors that determine whether or not a security should be considered a “voting security” in complex structures such as limited partnerships of the kind in which the Company invests. The Company also notes that the Securities and Exchange Commission (the “SEC”) staff has issued guidance on the circumstances under which it would consider a limited partnership interest to constitute a voting security. Under most partnership agreements, the management of the partnership is vested in the general partner, and the limited partners, individually or collectively, have no rights to manage or influence management of the partnership through such activities as participating in the selection of the managers or the board of the limited partnership or the general partner. As a result, the Company believes that many of the limited partnership interests in which it invests should not be considered voting securities. However, it is possible that the SEC staff may consider the limited partner interests the Company holds in certain limited partnerships to be voting securities. If such a determination were made, the Company may be regarded as a person affiliated with and controlling the issuer(s) of those securities for purposes of Section 17 of the 1940 Act.

In making such a determination as to whether to treat any class of limited partnership interests the Company holds as a voting security, the Company considers, among other factors, whether or not the holders of such limited partnership interests have the right to elect the board of directors of the limited partnership or the general partner. If the holders of such limited partnership interests do not have the right to elect the board of directors, the Company generally has not treated such security as a voting security. In other circumstances, based on the facts and circumstances of those partnership agreements, including the right to elect the directors of the general partner, the Company has treated those securities as voting securities. If the Company does not consider the security to be a voting security, it will not consider such partnership to be an “affiliate” unless the Company and its affiliates own more than 25% of the outstanding securities of such partnership. Additionally, certain partnership agreements give common unitholders the right to elect the partnership’s board of directors, but limit the amount of voting securities any limited partner can hold to no more than 4.9% of the partnership’s outstanding voting securities (i.e., any amounts held in excess of such limit by a limited partner do not have voting rights). In such instances, the Company does not consider itself to be an affiliate if it owns more than 5% of such partnership’s common units.

There is no assurance that the SEC staff will not consider that other limited partnership securities that the Company owns and does not treat as voting securities are, in fact, voting securities for the purposes of Section 17 of the 1940 Act. If such determination were made, the Company will be required to abide by the restrictions on “control” or “affiliate” transactions as proscribed in the 1940 Act. The Company or any portfolio company that it controls, and its affiliates, may from time to time engage in certain of such joint transactions, purchases, sales and loans in reliance upon and in compliance with the conditions of certain exemptive rules promulgated by the SEC. The Company cannot make assurances,

32

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

however, that it would be able to satisfy the conditions of these rules with respect to any particular eligible transaction, or even if the Company were allowed to engage in such a transaction, that the terms would be more or as favorable to the Company or any company that it controls as those that could be obtained in an arm’s length transaction. As a result of these prohibitions, restrictions may be imposed on the size of positions that may be taken for the Company or on the type of investments that it could make.

Plains GP Holdings, L.P., Plains AAP, L.P. and Plains All American Pipeline, L.P. — Kayne Anderson Capital Advisors, L.P. (“KACALP”) is the managing member of KAFA. Members of senior management of KACALP and KAFA and various affiliated funds managed by KACALP own Plains GP Holdings L.P. (“PAGP”) shares, Plains All American Pipeline, L.P. (“PAA”) units and interests in Plains AAP, L.P. (“PAGP-AAP”). The Company believes that it is an affiliate of PAA, PAGP and PAGP-AAP under the 1940 Act by virtue of the Company’s and other affiliated Kayne Anderson funds’ ownership interest in PAA, PAGP and PAGP-AAP.

The following table summarizes the Company’s investments in affiliates as of and for the three months ended February28, 2022:

Investment(1)	No. of Shares/Units(2)  (in 000’s)	Value		Dividends/ Distributions Received		Net Realized Gains (Losses)(3)		Net Change  in Unrealized Gains (Losses)
PAA	7,188	$	75,975	$	1,294	$	452	$	9,903
PAGP-AAP	1,622		18,348		292		—		2,393
Total		$	94,323	$	1,586	$	452	$	12,296

____________

(1)    See Schedule of Investments for investment classifications.

(2)    During the three months ended February 28, 2022, there were no purchases or sales of any affiliates.

(3)    Net realized gains for the period relate to distributions received in excess of cost basis.

6.     Income Taxes

The Company’s taxes include current and deferred income taxes. Current income taxes reflect the estimated income tax liability or asset of the Company as of a measurement date. Deferred income taxes reflect (i) taxes on net unrealized gains (losses), which are attributable to the difference between fair market value and tax cost basis, (ii) the net tax effects of temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for income tax purposes and (iii) the net tax benefit of accumulated net operating losses and capital losses, if any.

As of February28, 2022, the components of the Company’s current and deferred tax assets and liabilities are as follows:

Current income tax receivable, net	$	7,877
Deferred tax assets:
Capital loss carryforward — Federal	$	44,403
Capital loss carryforward — State		3,903
Net operating loss carryforward — State		372
Deferred tax liabilities:
Net unrealized gains on investment securities		(153,594	)
Total deferred income tax liability, net	$	(104,916	)

33

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

During the three months ended February28, 2022, the Company received $112 of tax refunds (net of $1 of state tax payments) primarily related to state capital loss carryback claims.

As of February28, 2022, the Company had a net current income tax receivable of $7,877 which was comprised of a net state tax receivable of $4,052 and a net federal tax receivable of $3,825.

As of February28, 2022, the Company had capital loss carryforwards of $215,026 (state and federal deferred tax asset of $3,903 and $44,403, respectively). Realization of capital loss carryforwards is dependent on generating sufficient capital gains prior to their expiration. The majority of these capital loss carryforwards will expire if not used by fiscal 2025.

The Company periodically reviews the recoverability of its deferred tax assets based on the weight of available evidence. When assessing the recoverability of its deferred tax assets, significant weight is given to the effects of potential future realized and unrealized gains on investments and the period over which these deferred tax assets can be realized.

Based on the Company’s assessment at February28, 2022, it has determined that it is more likely than not that its deferred tax assets would be realized through future taxable income of the appropriate character. Accordingly, there is no valuation allowance related to the Company’s deferred tax assets.

The Company will continue to review and assess the need for a valuation allowance in the future. Significant variability in the fair value of its portfolio of investments may change the Company’s assessment regarding the recoverability of its deferred tax assets. If a further valuation allowance is required to reduce any deferred tax asset in the future, or if a change in a valuation allowance is necessary, it could have a material impact on the Company’s net asset value and results of operations in the period of adjustment.

Total income taxes were different from the amount computed by applying the federal statutory income tax rate of 21% to the net investment loss and realized and unrealized gains (losses) on investments before taxes as follows:

	For the Three Months Ended February 28, 2022
Computed federal income tax expense at 21%	$	48,213
State income tax expense, net of federal tax		3,186
Foreign tax credit		(331	)
dividend received deduction, non-deductible distributions on MRP Shares and other, net		(89	)
Total income tax expense	$	50,979

As a limited partner of MLPs, the Company includes its allocable share of such MLP’s income or loss in computing its own taxable income or loss. Additionally, for income tax purposes, the Company reduces the cost basis of its MLP investments by the cash distributions received, and increases or decreases the cost basis of its MLP investments by its allocable share of the MLP’s income or loss. During the three months ended February28, 2022, the Company increased its tax cost basis by approximately $10,246 due to its 2021 net allocated income from its MLP investments.

The Company utilizes the average cost method to compute the adjusted tax cost basis of its MLP securities.

34

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

At February28, 2022, the cost basis of investments for federal income tax purposes was $1,119,312. The cost basis for federal income tax purposes is $625,205 lower than the cost basis for GAAP reporting purposes primarily due to the additional basis adjustments attributable to the Company’s share of the allocated losses from its MLP investments. At February28, 2022, gross unrealized appreciation and depreciation of investments and options, if any, for federal income tax purposes were as follows:

Gross unrealized appreciation of investments (including options, if any)	$	688,110
Gross unrealized depreciation of investments (including options, if any)		(2,683	)
Net unrealized appreciation of investments	$	685,427

Distributions in the amount of $4,087 paid to holders of MRP Shares for the fiscal year ended November 30, 2021, were characterized as distributions (return of capital). Distributions in the amount of $82,190 paid to common stockholders for the fiscal year ended November 30, 2021, were characterized as distributions (return of capital). These characterizations are based on the Company’s earnings and profits.

7.     Restricted Securities

From time to time, the Company’s ability to sell certain of its investments is subject to certain legal or contractual restrictions. For instance, private investments that are not registered under the Securities Act of 1933, as amended (the “Securities Act”), cannot be offered for public sale in a non-exempt transaction without first being registered. In other cases, certain of the Company’s investments have restrictions such as lock-up agreements that preclude the Company from offering these securities for public sale.

At February28, 2022, the Company held the following restricted investments:

Investment	Acquisition Date	Type of Restriction	Number of Units, (in 000s)	Cost Basis (GAAP)		Fair Value		Fair Value Per Unit		Percent of Net Assets		Percent of Total Assets
Level 2 Investments
Plains GP Holdings, L.P. — Plains AAP, L.P.(1)	​(2)	​(3)	1,622	$	1,536	$	18,348	$	11.31	1.4	%	1.0	%
Level 3 Investments(4)
Enterprise Products Partners L.P. Convertible Preferred Units	​(2)	​(5)	23	$	24,961	$	24,737	$	1,086.16	1.9	%	1.4	%
MPLX LP Convertible Preferred Units	5/13/16		2,255		72,217		82,773		36.70	6.5		4.5
Total				$	97,178	$	107,510			8.4	%	5.9	%
Total of all restricted investments				$	98,714	$	125,858			9.8	%	6.9	%

____________

(1)    The Company values its investment in Plains AAP, L.P. (“PAGP-AAP”) on an “as exchanged” basis based on the higher public market value of either Plains GP Holdings, L.P. (“PAGP”) or Plains All American Pipeline, L.P. (“PAA”). As of February 28, 2022, the Company’s PAGP-AAP investment is valued at PAGP’s closing price. See Note 3 — Fair Value.

(2)    Security was acquired at various dates in current and/or prior fiscal years.

(3)    The Company’s investment in PAGP-AAP is exchangeable on a one-for-one basis into either PAGP shares or PAA units at the Company’s option. Upon exchange, the PAGP shares or the PAA units will be freely tradable.

35

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

(4)    Securities are valued using inputs reflecting the Company’s own assumptions as more fully described in Note 2 — Significant Accounting Policies and Note 3 — Fair Value.

(5)    Unregistered or restricted security of a publicly-traded company.

8.     Derivative Financial Instruments

As required by the Derivatives and Hedging Topic of the FASB Accounting Standards Codification (ASC 815), the following are the derivative instruments and hedging activities of the Company. See Note 2 — Significant Accounting Policies.

Option Contracts — Based on the notional amount, the Company has written a monthly average of $6,654 of call options during the three months ended February28, 2022.

Interest Rate Swap Contracts — As of February28, 2022, the Company did not have any interest rate swap contracts outstanding.

As of February28, 2022, the Company held no derivative instruments.

The following table sets forth the effect of the Company’s derivative instruments on the Statement of Operations:

		For the Three Months Ended February 28, 2022
Derivatives Not Accounted for as Hedging Instruments	Location of Gains/(Losses) on Derivatives Recognized in Income	Net Realized Gains/(Losses) on Derivatives Recognized in Income	Change in Unrealized Gains/(Losses) on Derivatives Recognized in Income
Call options written	Options	$ 126	$ —

9.     Investment Transactions

For the three months ended February28, 2022, the Company purchased and sold securities in the amounts of $72,049 and $82,898 (excluding short-term investments).

10.   Credit Facility and Term Loan

As of February28, 2022, the Company had a $200,000 unsecured revolving credit facility (the “Credit Facility”) that matures on February 24, 2023. The interest rate on outstanding borrowings under the Credit Facility may vary between the secured overnight financing rate (“SOFR”) plus 1.40% and SOFR plus 2.25%, depending on the Company’s asset coverage ratios. The Company pays a fee of 0.20% per annum on any unused amounts of the Credit Facility.

For the three months ended February28, 2022, the average amount of borrowings outstanding under the Credit Facility was $86,889 with a weighted average interest rate of 1.44%. As of February28, 2022, the Company had $65,000 outstanding under the Credit Facility at a weighted average interest rate of 1.55%.

As of February28, 2022, the Company had a $50,000 unsecured term loan (the “Term Loan”) that matures on August 6, 2024. The interest rate on $25,000 of the Term Loan is fixed at a rate of 1.735% and the interest rate on the remaining $25,000 is LIBOR plus 1.30%. Amounts repaid under the Term Loan cannot be reborrowed.

36

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

As of February28, 2022, $50,000 was borrowed under the Term Loan at a weighted average interest rate of 1.61%. As of February28, 2022, the Company had $134 of unamortized Term Loan issuance costs.

As of February28, 2022, the Company was in compliance with all financial and operational covenants required by the Credit Facility and Term Loan. See Financial Highlights for the Company’s asset coverage ratios under the 1940 Act.

11.   Notes

At February28, 2022, the Company had $209,686 aggregate principal amount of Notes outstanding.

The table below sets forth a summary of the key terms of each series of Notes outstanding at February28, 2022.

Series	Principal Outstanding February 28, 2022		Unamortized Issuance Costs		Estimated Fair Value February 28, 2022		Fixed/Floating Interest Rate	Maturity
CC	$	11,575	$	4	$	11,700	3.95%	5/3/22
FF		16,571		28		16,900	3.57%	4/16/23
GG		21,419		69		21,900	3.67%	4/16/25
KK		32,247		98		33,200	3.93%	7/30/24
MM		27,322		33		27,600	3.26%	10/29/22
NN		15,774		37		16,000	3.37%	10/29/23
OO		14,778		47		15,000	3.46%	10/29/24
PP		50,000		368		49,800	3-month LIBOR + 125 bps	6/19/26
QQ		20,000		141		19,300	1.81%	6/19/25
	$	209,686	$	825	$	211,400

Holders of the fixed rate Notes are entitled to receive cash interest payments semi-annually (on June 19 and December 19) at the fixed rate. Holders of the floating rate Notes are entitled to receive cash interest payments quarterly (on March 19, June 19, September 19 and December 19) at the floating rate. As of February28, 2022, the weighted average interest rate on the outstanding Notes was 2.92%.

As of February28, 2022, each series of Notes was rated “AAA” by Kroll Bond Rating Agency (“KBRA”). In the event the credit rating on any series of Notes falls below “A-”, the interest rate on such series will increase by 1% during the period of time such series is rated below “A-”. The Company is required to maintain a current rating from one rating agency with respect to each series of Notes and is prohibited from having any rating of less than investment grade (“BBB-”) with respect to each series of Notes.

The Notes were issued in private placement offerings to institutional investors and are not listed on any exchange or automated quotation system. The Notes contain various covenants related to other indebtedness, liens and limits on the Company’s overall leverage. Under the 1940 Act and the terms of the Notes, the Company may not declare dividends or make other distributions on shares of its common stock or make purchases of such shares if, at any time of the declaration, distribution or purchase, asset coverage with respect to senior securities representing indebtedness (including the Notes) would be less than 300%.

37

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

The Notes are redeemable in certain circumstances at the option of the Company. The Notes are also subject to a mandatory redemption to the extent needed to satisfy certain requirements if the Company fails to meet an asset coverage ratio required by law and is not able to cure the coverage deficiency by the applicable deadline.

The Notes are unsecured obligations of the Company and, upon liquidation, dissolution or winding up of the Company, will rank: (1) senior to all of the Company’s outstanding preferred shares; (2) senior to all of the Company’s outstanding common shares; (3) on parity with any unsecured creditors of the Company and any unsecured senior securities representing indebtedness of the Company; and (4) junior to any secured creditors of the Company.

At February28, 2022, the Company was in compliance with all covenants under the Notes agreements.

12.   Preferred Stock

At February28, 2022, the Company had 4,066,795shares of MRP Shares outstanding, with a total liquidation value of $101,670 ($25.00 per share).

The table below sets forth a summary of the key terms of each series of MRP Shares outstanding at February28, 2022.

Series	Liquidation Value February 28, 2022		Unamortized Issuance Costs		Estimated Fair Value February 28, 2022		Rate	Mandatory Redemption Date
P	$	10,067	$	19	$	10,100	3.86%	10/29/22
R		41,828		432		41,300	3.38%	2/11/27
S		49,775		736		48,800	3.60%	2/11/30
	$	101,670	$	1,187	$	100,200

Holders of the MRP Shares are entitled to receive cumulative cash dividend payments on the first business day following each quarterly period (February 28, May 31, August 31 and November 30).

As of February28, 2022, each series of MRP Shares was rated “A+” by KBRA. The dividend rate on the Company’s MRP Shares will increase if the credit rating is downgraded below “A” (as determined by the lowest credit rating assigned). Further, the annual dividend rate for all series of MRP Shares will increase by 4.0% if no ratings are maintained, and the annual dividend rate will increase by 5.0% if the Company fails to make a dividend or certain other payments.

The MRP Shares rank senior to all of the Company’s outstanding common shares and on parity with any other preferred stock. The MRP Shares are redeemable in certain circumstances at the option of the Company and are also subject to a mandatory redemption if the Company fails to meet a total leverage (debt and preferred stock) asset coverage ratio of 225%.

Under the terms of the MRP Shares, the Company may not declare dividends or pay other distributions on shares of its common stock or make purchases of such shares if, at any time of the declaration, distribution or purchase, asset coverage with respect to total leverage would be less than 225%.

38

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

The holders of the MRP Shares have one vote per share and will vote together with the holders of common stock as a single class except on matters affecting only the holders of MRP Shares or the holders of common stock. The holders of the MRP Shares, voting separately as a single class, have the right to elect at least two directors of the Company.

At February28, 2022, the Company was in compliance with the asset coverage requirement of its MRP Shares.

13.   Common Stock

At February28, 2022, the Company had 195,933,205shares of common stock authorized and 126,447,554shares outstanding. As of February28, 2022, KAFA owned 86shares of the Company.

During the three months ended February28, 2022, and fiscal year ended November30, 2021, there were no common stock transactions.

14.   Subsequent Events

On March4, 2022, the Company completed the previously announced merger with Fiduciary/Claymore Energy Infrastructure Fund (“FMO”). Pursuant to the terms of the merger agreement approved by FMO shareholders, FMO was merged with and into KYN, and FMO shareholders received newly issued shares of KYN common stock in exchange for their shares of FMO, the aggregate net asset value of which equaled the aggregate net asset value of FMO common shares, as determined at the close of business on March4, 2022. A total of 9,683,976shares of new KYN common stock were issued as a result of the merger. The merger qualified as a tax-free reorganization under Section 368(a) of the Internal Revenue Code. Immediately following the merger, KYN’s combined net assets were $1,433,834 and the Company had 136,131,530shares of common stock outstanding.

On March30, 2022, the Company declared a quarterly distribution of $0.20 per common share for the first quarter. The total distribution of $27,266 was paid April 19, 2022. Of this total, pursuant to the Company’s dividend reinvestment plan, $3,456 was reinvested into the Company through open market purchases of common stock.

On April4, 2022, the Company redeemed all $11,575 of its Series CC Notes at par value (originally scheduled to mature on May3, 2022).

On April27, 2022, the Company announced the appointment of Caroline Winn as an Independent Director, meaning a Director who is not an “interested person” of the Company, as that term is defined under the 1940 Act.

Caroline Winn is the chief executive officer for San Diego Gas & Electric (SDG&E), one of Sempra’s (NYSE: SRE) regulated California utilities. Ms. Winn’s 30-plus year career in the utility space enabled a broad set of leadership roles. She is recognized for demonstrating bold thinking, large strategic business transformation, mobilizing and driving organizations to achieve mission critical outcomes. Ms. Winn demonstrates a passion for organizational and talent development and recognizes people and relationships as drivers to achieve exceptional business success. An experienced executive and board member, her collaborative, resilient, and transparent leadership style has earned high praise from the industry, regulators, and government officials. Ms. Winn also currently serves on the board of directors

39

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
NOTES TO FINANCIAL STATEMENTS
(amounts in 000’s, except number of option contracts, share and per share amounts)
(UNAUDITED)

of SDG&E and leads SDG&E’s Women’s Leadership Group. In addition, Ms. Winn is a director and member of the audit committee of the board of the Monarch School for underserved youth and serves on the director’s council of the Scripps Institution of Oceanography. Ms. Winn holds a bachelor’s degree in electrical engineering from California State University Sacramento and is a registered professional engineer in the State of California.

The Company has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no additional items require recognition or disclosure.

40

KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
GLOSSARY OF KEY TERMS
(UNAUDITED)

This glossary contains definitions of certain key terms, as they are used in our investment policies and as described in this report. These definitions may not correspond to standard sector definitions.

“Energy Assets” means Energy Infrastructure Assets and other assets that are used in the energy sector, including assets used in exploring, developing, producing, generating, transporting, transmitting, storing, gathering, processing, fractionating, refining, distributing, mining or marketing of natural gas, natural gas liquids, crude oil, refined products, coal, electricity or water.

“Energy Companies” means companies that own and/or operate Energy Assets or provide energy- related services. For purposes of this definition, this includes companies that (i) derive at least 50% of their revenues or operating income from operating Energy Assets or providing services for the operation of such assets or (ii) have Energy Assets that represent the majority of their assets.

“Energy Infrastructure Assets” means (a) Midstream Assets, (b) Renewable Infrastructure Assets and (c) Utility Assets.

“Energy Infrastructure Companies” consists of (a) Midstream Energy Companies, (b) Renewable Infrastructure Companies and (c) Utility Companies.

“Master Limited Partnerships” or “MLPs” means limited partnerships and limited liability companies that are publicly traded and are treated as partnerships for federal income tax purposes.

“Midstream Assets” means assets used in energy logistics, including, but not limited to, assets used in transporting, storing, gathering, processing, fractionating, distributing, or marketing of natural gas, natural gas liquids, crude oil, refined products or water produced in conjunction with such activities.

“Midstream Energy Companies” means companies that primarily own and operate Midstream Assets. Such companies may be structured as Master Limited Partnerships or taxed as corporations. For purposes of this definition, this includes companies that (i) derive at least 50% of their revenue or operating income from operating Midstream Assets or providing services for the operation of such assets or (ii) have Midstream Assets that represent the majority of their assets.

“Renewable Infrastructure Assets” means assets used in the generation, production, distribution, transportation, transmission, storage and marketing of energy including, but not limited to, electricity or steam from renewable sources such as solar, wind, flowing water (hydroelectric power), geothermal, biomass and hydrogen.

“Renewable Infrastructure Companies” means companies that own and/or operate Renewable Infrastructure Assets. For purposes of this definition, this includes companies that (i) derive at least 50% of their revenues or operating income from operating Renewable Infrastructure Assets or providing services for the operation of such assets or (ii) have Renewable Infrastructure Assets that represent the majority of their assets.

“Utility Assets” means assets, other than Renewable Infrastructure Assets, that are used in the generation, production, distribution, transportation, transmission, storage and marketing of energy, including, but not limited to, electricity, natural gas and steam.

“Utility Companies” means companies that own and/or operate Utility Assets. For purposes of this definition, this includes companies that (i) derive at least 50% of their revenues or operating income from operating Utility Assets or providing services for the operation of such assets or (ii) have Utility Assets that represent the majority of their assets.

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KAYNE ANDERSON ENERGY INFRASTRUCTURE FUND, INC.
ADDITIONAL INFORMATION
(UNAUDITED)

REPURCHASE DISCLOSURE

Notice is hereby given in accordance with Section 23(c) of the 1940 Act, that the Company may from time to time purchase shares of its common and preferred stock and its Notes in the open market or in privately negotiated transactions.

42

Directors and Corporate Officers

James C. Baker, Jr.	Chairman of the Board of Directors, President and Chief Executive Officer
William H. Shea, Jr.	Lead Independent Director
William R. Cordes	Director
Anne K. Costin	Director
Barry R. Pearl	Director
Albert L. Richey	Director
Caroline A. Winn	Director
Terry A. Hart	Chief Operating Officer and Assistant Secretary
A. Colby Parker	Chief Financial Officer and Treasurer
Michael J. O’Neil	Chief Compliance Officer and Secretary
J.C. Frey	Executive Vice President
Ron M. Logan, Jr.	Senior Vice President
Adriana I. Jimenez	Vice President
Investment Adviser KA Fund Advisors, LLC 811 Main Street, 14th Floor Houston, TX 77002	Administrator Ultimus Fund Solutions, LLC 225 Pictoria Drive, Suite 450 Cincinnati, OH 45246
1800 Avenue of the Stars, Third Floor Los Angeles, CA 90067	Stock Transfer Agent and Registrar American Stock Transfer & Trust Company, LLC 6201 15th Avenue Brooklyn, NY 11219 (888) 888-0317
Custodian JPMorgan Chase Bank, N.A. 383 Madison Avenue, Fourth Floor New York, NY 10179	Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP 601 S. Figueroa Street, Suite 900 Los Angeles, CA 90017
	Legal Counsel Paul Hastings LLP 101 California Street, Forty-Eighth Floor San Francisco, CA 94111

Please visit us on the web at www.kaynefunds.com or call us toll-free at 1-877-657-3863.

This report, including the financial statements herein, is made available to stockholders of the Company for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Company or of any securities mentioned in this report.