COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS

July 31, 2021 (Unaudited)

			Shares		Value
COMMON STOCK	46.7	%
AIRPORTS—FOREIGN	0.5	%
Aena SME SA, 144A (Spain)(a),(b)				1,600	$	254,711
Auckland International Airport Ltd. (New Zealand)(b)				27,244		137,422
						392,133
COMMUNICATIONS	5.8	%
TOWERS	5.0	%
American Tower Corp.				7,873		2,226,485
Crown Castle International Corp.				5,676		1,095,979
SBA Communications Corp.				1,474		502,619
						3,825,083
TOWERS—FOREIGN	0.8	%
Cellnex Telecom SA, 144A (Spain)(a)				9,391		612,035
TOTAL COMMUNICATIONS						4,437,118
ELECTRIC	2.6	%
CenterPoint Energy, Inc.				11,837		301,370
Duke Energy Corp.				2,007		210,956
Evergy, Inc.				5,621		366,601
Eversource Energy				3,414		294,526
NextEra Energy, Inc.				3,900		303,810
Portland General Electric Co.				4,100		200,490
Public Service Enterprise Group, Inc.				4,983		310,092
						1,987,845
ELECTRIC—FOREIGN	2.4	%
China Longyuan Power Group Corp. Ltd. (China)				205,000		383,032
Elia Group SA/NV (Belgium)				1,794		212,281
Hydro One Ltd., 144A (Canada)(a)				12,600		311,061
Kansai Electric Power Co., Inc./The (Japan)				38,100		359,624
National Grid PLC (United Kingdom)				45,320		582,136
						1,848,134
ENERGY—GAS—DISTRIBUTION—FOREIGN	0.8	%
Enn Energy Holdings Ltd. (China)				12,100		253,019
Snam S.p.A. (Italy)				56,228		340,439
						593,458
ENVIRONMENTAL SERVICES	0.3	%
Waste Management, Inc.				1,464		217,053

1

			Shares		Value
INDUSTRIALS—DIVERSIFIED—FOREIGN	0.0	%
ESR Cayman Ltd., 144A (China)(a),(b)				9,000	$	31,617
MARINE PORTS—FOREIGN	0.9	%
China Merchants Port Holdings Co., Ltd. (China)				154,000		214,419
COSCO SHIPPING Ports Ltd. (China)				494,000		352,169
Koninklijke Vopak NV (Netherlands)				2,425		102,668
						669,256
MATERIALS—METALS & MINING—FOREIGN	2.2	%
Anglo American PLC (South Africa)				21,222		941,153
Kirkland Lake Gold Ltd. (Canada)				16,453		703,565
						1,644,718
PIPELINES	2.1	%
Cheniere Energy, Inc.(b)				7,483		635,531
Targa Resources Corp.				2,283		96,137
Williams Cos., Inc./The				35,601		891,805
						1,623,473
PIPELINES—FOREIGN	3.7	%
Enbridge, Inc. (Canada)				35,652		1,405,391
Gibson Energy, Inc. (Canada)				7,023		128,684
Pembina Pipeline Corp. (Canada)				15,962		527,631
TC Energy Corp. (Canada)				14,752		719,154
						2,780,860
REAL ESTATE	16.2	%
DATA CENTERS	1.0	%
CyrusOne, Inc.				5,222		372,172
Digital Realty Trust, Inc.				2,100		323,736
Equinix, Inc.				109		89,425
						785,333
DATA CENTERS—FOREIGN	0.3	%
GDS Holdings Ltd., ADR (China)(b)				4,004		236,076
DIVERSIFIED—FOREIGN	3.1	%
Activia Properties, Inc. (Japan)				33		149,651
British Land Co., PLC/The (United Kingdom)				19,344		137,291
Castellum AB (Sweden)				7,673		214,902
Charter Hall Group (Australia)				11,959		142,963
City Developments Ltd. (Singapore)				6,400		32,355
CK Asset Holdings Ltd. (Hong Kong)				23,500		160,121

2

			Shares		Value
Hysan Development Co., Ltd. (Hong Kong)				29,000	$	114,192
ICADE (France)				2,066		189,079
LaSalle Logiport REIT (Japan)				60		109,931
Mirvac Group (Australia)				92,667		194,490
Mitsubishi Estate Co., Ltd. (Japan)				7,400		115,481
Mitsui Fudosan Co., Ltd. (Japan)				12,500		290,837
NSI NV (Netherlands)				1,674		69,602
Orix JREIT, Inc. (Japan)				72		137,168
Stockland (Australia)				11,088		35,802
Sun Hung Kai Properties Ltd. (Hong Kong)				11,500		164,705
United Urban Investment Corp. (Japan)				79		116,010
						2,374,580
HEALTH CARE	1.4	%
Healthpeak Properties, Inc.				8,384		309,956
Ventas, Inc.				2,914		174,199
Welltower, Inc.				6,452		560,421
						1,044,576
HEALTH CARE—FOREIGN	0.3	%
Assura PLC (United Kingdom)				109,069		118,708
Parkway Life Real Estate Investment Trust (Singapore)				24,626		84,331
						203,039
HOTEL	0.5	%
Host Hotels & Resorts, Inc.(b)				22,522		358,775
Ryman Hospitality Properties, Inc.(b)				704		53,997
						412,772
INDUSTRIALS	0.9	%
Duke Realty Corp.				8,402		427,494
Prologis, Inc.				2,163		276,950
						704,444
INDUSTRIALS—FOREIGN	0.7	%
Catena AB (Sweden)				1,692		101,618
CTP NV, 144A (Netherlands)(a),(b)				2,893		58,341
Frasers Logistics & Commercial Trust (Singapore)				31,000		34,776
Goodman Group (Australia)				2,145		35,638
LondonMetric Property PLC (United Kingdom)				40,884		141,390
Segro PLC (United Kingdom)				9,951		168,403
						540,166

3

			Shares		Value
NET LEASE	1.0	%
NETSTREIT Corp.				14,976	$	388,627
Spirit Realty Capital, Inc.				4,856		243,868
VICI Properties, Inc.				3,072		95,816
						728,311
NET LEASE—FOREIGN	0.1	%
ARGAN SA (France)				289		37,711
OFFICE—FOREIGN	0.5	%
Alstria Office REIT AG (Germany)				2,921		61,885
Cofinimmo SA (Belgium)				408		65,968
Daiwa Office Investment Corp. (Japan)				17		122,419
Keppel REIT (Singapore)				54,000		47,825
Workspace Group PLC (United Kingdom)				4,388		52,668
						350,765
RESIDENTIAL	2.9	%
APARTMENT	1.4	%
Apartment Income REIT Corp.				3,138		165,184
AvalonBay Communities, Inc.				1,094		249,246
UDR, Inc.				11,310		621,937
						1,036,367
APARTMENT—FOREIGN	1.0	%
Aedifica SA (Belgium)				590		84,547
Daiwa House REIT Investment Corp. (Japan)				28		83,205
LEG Immobilien AG (Germany)				596		94,279
Vonovia SE (Germany)				5,744		382,800
Wharf Real Estate Investment Co., Ltd. (Hong Kong)				23,000		129,781
						774,612
MANUFACTURED HOME	0.2	%
Sun Communities, Inc.				863		169,243
SINGLE FAMILY	0.3	%
Invitation Homes, Inc.				5,607		228,093
TOTAL RESIDENTIAL						2,208,315
RETAIL—FOREIGN	0.9	%
CapitaLand Integrated Commercial Trust (Singapore)				107,596		170,731
Eurocommercial Properties NV (Netherlands)				2,214		55,521
Japan Retail Fund Investment Corp. (Japan)				101		105,414
Klepierre SA (France)				7,256		176,022

4

			Shares		Value
Link REIT (Hong Kong)				11,583	$	110,745
SmartCentres Real Estate Investment Trust (Canada)				4,024		97,278
						715,711
SELF STORAGE	1.1	%
CubeSmart				6,659		330,686
Public Storage				1,729		540,278
						870,964
SELF STORAGE—FOREIGN	0.2	%
National Storage REIT (Australia)				39,047		61,034
Safestore Holdings PLC (United Kingdom)				8,389		123,137
						184,171
SHOPPING CENTERS	1.1	%
COMMUNITY CENTER	0.6	%
Federal Realty Investment Trust				3,691		433,803
REGIONAL MALL	0.5	%
Simon Property Group, Inc.				2,886		365,137
TOTAL SHOPPING CENTERS						798,940
SPECIALTY	0.1	%
Lamar Advertising Co., Class A				1,043		111,184
TIMBER	0.1	%
Weyerhaeuser Co.				1,543		52,045
TOTAL REAL ESTATE						12,359,103
RENEWABLE ENERGY	3.0	%
Clearway Energy, Inc.				7,398		212,175
Renewable Energy Group, Inc.(b)				33,468		2,049,915
						2,262,090
RENEWABLE ENERGY—FOREIGN	0.0	%
Altius Renewable Royalties Corp. (Canada)(b)				4,438		31,659
TOLL ROADS—FOREIGN	2.1	%
Transurban Group (Australia)				40,482		424,820
Vinci SA (France)				9,801		1,037,194
Zhejiang Expressway Co., Ltd., Class H (China)				180,000		151,947
						1,613,961

5

			Shares		Value
UTILITIES	4.1	%
ELECTRIC	1.2	%
Sempra Energy				7,189	$	939,243
GAS	0.7	%
NiSource, Inc.				9,914		245,570
Southwest Gas Holdings, Inc.				3,704		259,020
						504,590
WATER	1.0	%
American Water Works Co., Inc.				1,280		217,741
Essential Utilities, Inc.				10,682		524,700
						742,441
WATER—FOREIGN	1.2	%
Guangdong Investment Ltd. (China)				134,000		187,607
Pennon Group PLC (United Kingdom)				20,683		367,417
United Utilities Group PLC (United Kingdom)				25,690		383,159
						938,183
TOTAL UTILITIES						3,124,457
TOTAL COMMON STOCK (Identified cost—$30,581,442)						35,616,935
MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES
CRUDE/REFINED PRODUCTS	2.2	%
Magellan Midstream Partners LP				35,712		1,664,179
TOTAL MASTER LIMITED PARTNERSHIPS AND RELATED COMPANIES (Identified cost—$1,828,613)						1,664,179
PREFERRED SECURITIES—$25 PAR VALUE	8.5	%
BANKS	1.3	%
Bank of Hawaii Corp., 4.375%, Series A(c)				5,200		134,836
Dime Community Bancshares, Inc., 5.50%, Series A(c)				5,287		139,577
First Horizon Corp., 4.70%, Series F(c)				4,000		103,480
First Republic Bank/CA, 4.00%, Series M(c)				6,000		150,000
JPMorgan Chase & Co., 4.20%, Series MM(c)				8,000		201,080
Signature Bank/New York NY, 5.00%, Series a(c)				2,952		77,667
Wells Fargo & Co., 4.25%, Series DD(c)				5,200		130,104
Wells Fargo & Co., 4.75%, Series Z(c)				1,870		48,975
						985,719

6

			Shares		Value
ELECTRIC	0.6	%
CMS Energy Corp., 4.20%, Series C(c)				7,600	$	193,040
SCE Trust V, 5.45% to 3/15/26, Series K(c),(d)				8,800		224,400
						417,440
ELECTRIC—FOREIGN	0.3	%
Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada)				5,775		151,016
Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(c)				3,396		88,636
						239,652
FINANCIAL	1.3	%
DIVERSIFIED FINANCIAL SERVICES	1.0	%
Carlyle Finance LLC, 4.625%, due 5/15/61				4,802		121,251
Federal Agricultural Mortgage Corp., 4.875%, Series G(c)				7,200		188,820
KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61				3,963		103,870
National Rural Utilities Cooperative Finance Corp., 5.50%, due 5/15/64, Series US				2,900		79,083
Oaktree Capital Group LLC, 6.55%, Series B(c)				3,500		98,105
Synchrony Financial, 5.625%, Series A(c)				8,490		227,107
						818,236
INVESTMENT ADVISORY SERVICES	0.2	%
Affiliated Managers Group, Inc., 4.20%, due 9/30/61				2,800		69,440
Stifel Financial Corp., 4.50%, Series D(c)				2,800		71,064
						140,504
INVESTMENT BANKER/BROKER	0.1	%
Charles Schwab Corp./The, 4.45%, Series J(c)				2,500		66,850
TOTAL FINANCIAL						1,025,590
INDUSTRIALS	0.1	%
CHS, Inc., 7.50%, Series 4(c)				3,300		96,492
INSURANCE	1.6	%
LIFE/HEALTH INSURANCE	0.9	%
Athene Holding Ltd., 6.375% to 6/30/25, Series C(c),(d)				3,736		107,410
Athene Holding Ltd., 4.875%, Series D(c)				5,275		137,994
Brighthouse Financial, Inc., 5.375%, Series C(c)				9,321		247,845
CNO Financial Group, Inc., 5.125%, due 11/25/60				3,737		102,581
Equitable Holdings, Inc., 5.25%, Series A(c)				3,613		95,925

7

			Shares		Value
Globe Life, Inc., 4.25%, due 6/15/61				10	$	261
						692,016
PROPERTY CASUALTY	0.5	%
Assurant, Inc., 5.25%, due 1/15/61				1,613		44,115
Enstar Group Ltd., 7.00% to 9/1/28, Series D(c),(d)				10,325		307,169
						351,284
REINSURANCE	0.1	%
Arch Capital Group Ltd., 4.55%, Series G(c)				3,600		92,736
REINSURANCE—FOREIGN	0.1	%
RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda)(c)				3,224		82,180
TOTAL INSURANCE						1,218,216
INTEGRATED TELECOMMUNICATIONS SERVICES	1.1	%
AT&T, Inc., 4.75%, Series C(c)				3,100		82,057
Telephone and Data Systems, Inc., 6.625%, Series UU(c)				6,100		173,179
United States Cellular Corp., 5.50%, due 3/1/70				6,900		181,815
United States Cellular Corp., 5.50%, due 6/1/70				6,536		170,067
United States Cellular Corp., 6.25%, due 9/1/69				8,400		233,352
						840,470
PIPELINES	0.2	%
Energy Transfer LP, 7.60% to 5/15/24, Series E(c),(d)				6,122		153,540
PIPELINES—FOREIGN	0.2	%
Enbridge, Inc., 5.949% to 6/1/23, Series 1 (Canada)(c),(d)				2,991		66,580
TC Energy Corp., 3.355% to 11/30/25, Series 11 (Canada)(c),(d)				4,302		82,343
						148,923
REAL ESTATE	1.3	%
HOTEL	0.1	%
Pebblebrook Hotel Trust, 6.375%, Series G(c)				4,000		107,520
INDUSTRIALS	0.5	%
Monmouth Real Estate Investment Corp., 6.125%, Series C(c)				10,700		271,352
Rexford Industrial Realty, Inc., 5.625%, Series C(c)				3,590		100,269
						371,621
NET LEASE	0.2	%
Spirit Realty Capital, Inc., 6.00%, Series A(c)				4,350		114,101
OFFICE	0.2	%
Brookfield Property Partners LP, 5.75%, Series A(c)				4,462		109,274

8

			Shares		Value
Brookfield Property Preferred LP, 6.25%, due 7/26/81				3,000	$	74,850
						184,124
RESIDENTIAL—SINGLE FAMILY	0.3	%
American Homes 4 Rent, 5.875%, Series G(c)				9,364		246,460
TOTAL REAL ESTATE						1,023,826
UTILITIES	0.4	%
ELECTRIC	0.1	%
Sempra Energy, 5.75%, due 7/1/79				2,287		63,716
GAS	0.3	%
South Jersey Industries, Inc., 5.625%, due 9/16/79				8,575		229,724
TOTAL UTILITIES						293,440
UTILITIES—FOREIGN	0.1	%
Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(c)				3,200		80,192
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$6,205,400)						6,523,500
			Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES	41.7	%
BANKS	8.5	%
Ally Financial, Inc., 4.70% to 5/15/26, Series B(c),(d)			$	130,000		136,305
Ally Financial, Inc., 4.70% to 5/15/28, Series C(c),(d)				280,000		291,536
Bank of America Corp., 5.875% to 3/15/28, Series FF(c),(d)				237,000		272,550
Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d)				360,000		404,505
Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d)				403,000		445,567
Bank of America Corp., 6.50% to 10/23/24, Series Z(c),(d)				85,000		96,050
Capital One Financial Corp., 3.95% to 9/1/26, Series M(c),(d)				139,000		143,518
Citigroup, Inc., 3.875% to 2/18/26(c),(d)				280,000		287,280
Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d)				153,000		158,477
Citigroup, Inc., 5.00% to 9/12/24, Series U(c),(d)				361,000		380,548
Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d)				455,000		501,637
Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d)				277,000		321,320
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(c),(d)				65,000		72,963
Comerica, Inc., 5.625% to 7/1/25(c),(d)				98,000		109,270
Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144A(a),(c),(d)				125,000		136,875
Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series U(c),(d)				155,000		156,085

9

			Principal Amount		Value
Goldman Sachs Group, Inc./The, 3.80% to 5/10/26, Series T(c),(d)			$	95,000	$	97,138
JPMorgan Chase & Co., 3.65% to 6/1/26, Series KK(c),(d)				200,000		202,125
JPMorgan Chase & Co., 4.60% to 2/1/25, Series HH(c),(d)				68,000		70,465
JPMorgan Chase & Co., 5.00% to 8/1/24, Series FF(c),(d)				185,000		195,398
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d)				345,000		375,834
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d)				280,000		305,046
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d)				90,000		99,452
Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d)				50,000		56,000
SVB Financial Group, 4.00% to 5/15/26, Series C(c),(d)				210,000		218,662
Truist Financial Corp., 4.95% to 9/1/25, Series P(c),(d)				88,000		96,360
Truist Financial Corp., 5.10% to 3/1/30, Series Q(c),(d)				145,000		167,113
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c),(d)				503,000		522,499
Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d)				170,000		192,950
						6,513,528
BANKS—FOREIGN	15.8	%
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(c),(d),(e),(f)				200,000		254,178
Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)(c),(d),(e),(f)				200,000		252,499
Banco Santander SA, 4.75% to 11/12/26 (Spain)(c),(d),(f)				200,000		204,500
Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(e),(f)				200,000		220,139
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(c),(d),(e),(f)				200,000		280,696
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(c),(d)				150,000		164,812
Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(c),(d),(f)				200,000		222,926
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(f)				200,000		226,875
BNP Paribas SA, 4.50% to 2/25/30, 144A (France)(a),(c),(d),(f)				200,000		204,875
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(c),(d),(f)				200,000		234,173
Commerzbank AG, 4.25% to 10/9/27 (Germany)(c),(d),(e),(f)				200,000		241,823
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(c),(d),(f)				200,000		223,889
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(c),(d),(f)				200,000		226,002
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(c),(d),(f)				200,000		244,034
Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)(a),(c),(d),(f)				400,000		444,734
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(c),(d),(e),(f)				200,000		208,544
Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(a),(c),(d),(f)				200,000		225,593
Danske Bank A/S, 4.375% to 5/18/26 (Denmark)(c),(d),(e),(f)				200,000		204,201
Deutsche Bank AG, 4.789% to 4/30/25 (Germany)(c),(d),(e),(f)				200,000		200,593
Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(f)				200,000		219,500
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(c),(d)				65,000		108,971

10

	Principal Amount		Value
HSBC Holdings PLC, 4.60% to 12/17/30 (United Kingdom)(c),(d),(f)	$	200,000	$	205,900
HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(c),(d),(f)		200,000		221,500
HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(c),(d),(f)		200,000		221,685
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(f)		200,000		221,167
Intesa Sanpaolo SpA, 5.50% to 3/1/28, Series EMTN (Italy)(c),(d),(e),(f)		250,000		327,669
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(c),(d),(f)		200,000		229,624
Lloyds Banking Group PLC, 6.413% to 10/1/35, 144A (United Kingdom)(a),(c),(d)		100,000		138,625
Lloyds Banking Group PLC, 6.657% to 5/21/37, 144A (United Kingdom)(a),(c),(d)		200,000		284,210
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c),(d),(f)		400,000		465,946
Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(a),(c),(d),(f)		200,000		219,167
Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(c),(d),(e),(f)		200,000		312,055
Natwest Group PLC, 4.60% to 6/28/31 (United Kingdom)(c),(d),(f)		400,000		410,500
Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(c),(d),(f)		200,000		236,785
Royal Bank of Canada, 3.65% to 10/24/26, due 11/24/81 (Canada)(d)		200,000		160,462
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)(d)		200,000		170,771
Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(c),(d),(f)		200,000		227,624
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(c),(d),(f)		200,000		223,020
Societe Generale SA, 8.00% to 9/29/25, 144A (France)(a),(c),(d),(f)		200,000		236,375
Standard Chartered PLC, 4.75% to 1/14/31, 144A (United Kingdom)(a),(c),(d),(f)		200,000		205,125
Standard Chartered PLC, 6.00% to 7/26/25, 144A (United Kingdom)(a),(c),(d),(f)		200,000		219,670
Standard Chartered PLC, 7.014% to 7/30/37, 144A (United Kingdom)(a),(c),(d)		300,000		413,250
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(c),(d),(f)		200,000		217,848
Stichting AK Rabobank Certificaten, 2.188% (Netherlands)(c),(e)		98,850		162,494
Svenska Handelsbanken AB, 4.75% to 3/1/31 (Sweden)(c),(d),(e),(f)		200,000		213,611

11

			Principal Amount		Value
UBS Group AG, 3.875% to 6/2/26, 144A (Switzerland)(a),(c),(d),(f)			$	200,000	$	202,080
UBS Group AG, 5.125% to 7/29/26 (Switzerland)(c),(d),(e),(f)				200,000		219,363
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c),(d),(e),(f)				200,000		229,787
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(c),(d),(f)				200,000		219,889
UniCredit SpA, 4.45% to 12/3/27, Series EMTN (Italy)(c),(d),(e),(f)				200,000		241,995
UniCredit SpA, 8.00% to 6/3/24 (Italy)(c),(d),(e),(f)				200,000		222,375
						12,094,129
ELECTRIC	1.2	%
CenterPoint Energy, Inc., 6.125% to 9/1/23, Series A(c),(d)				170,000		179,881
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(d)				80,000		90,024
Dominion Energy, Inc., 4.65% to 12/15/24, Series B(c),(d)				120,000		128,610
Duke Energy Corp., 4.875% to 9/16/24(c),(d)				170,000		181,560
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(d)				180,000		183,645
Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(d)				140,000		148,050
						911,770
ELECTRIC—FOREIGN	1.0	%
Electricite de France SA, 5.00% to 1/22/26, Series EMTN (France)(c),(d),(e)				200,000		269,013
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(d)				401,000		470,367
						739,380
FINANCIAL	2.9	%
CREDIT CARD	0.5	%
American Express Co., 3.55% to 9/15/26(c),(d)				370,000		372,775
Discover Financial Services, 6.125% to 6/23/25, Series D(c),(d)				40,000		45,202
						417,977
DIVERSIFIED FINANCIAL SERVICES	0.8	%
Aircastle Ltd., 5.25% to 6/15/26, 144A(a),(c),(d)				60,000		60,750
Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51, 144A(a),(d)				90,000		90,601
Depository Trust & Clearing Corp./The, 3.375% to 6/20/26, Series D, 144A(a),(c),(d)				250,000		254,844
ILFC E-Capital Trust II, 3.91% (3 Month US LIBOR + 1.80%), due 12/21/65, 144A (FRN)(a),(g)				210,000		177,713
						583,908

12

			Principal Amount		Value
INVESTMENT BANKER/BROKER	1.6	%
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(c),(d)			$	281,000	$	292,928
Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(c),(d)				531,000		555,559
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(c),(d)				308,000		344,714
						1,193,201
TOTAL FINANCIAL						2,195,086
INSURANCE	7.0	%
LIFE/HEALTH INSURANCE	1.6	%
Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(c),(d)				180,000		195,750
MetLife, Inc., 10.75%, due 8/1/69				280,000		483,136
SBL Holdings, Inc., 6.50% to 11/13/26, 144A(a),(c),(d)				150,000		149,250
SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(c),(d)				290,000		293,988
Voya Financial, Inc., 6.125% to 9/15/23, Series A(c),(d)				85,000		91,800
						1,213,924
LIFE/HEALTH INSURANCE—FOREIGN	1.0	%
Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(c),(d),(e),(f)				400,000		429,103
Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)(c),(d),(e),(f)				200,000		320,944
						750,047
MULTI-LINE	0.8	%
American International Group, Inc., 8.175% to 5/15/38, due 5/15/58(d)				325,000		482,786
Hartford Financial Services Group, Inc./The, 2.281% (3 Month US LIBOR + 2.125%), due 2/12/47, 144A, Series ICON (FRN)(a),(g)				100,000		96,871
						579,657
MULTI-LINE—FOREIGN	0.5	%
AXA SA, 6.379% to 12/14/36, 144A (France)(a),(c),(d)				100,000		139,887
UnipolSai Assicurazioni SpA, 6.375% to 4/27/30 (Italy)(c),(d),(e),(f)				200,000		275,989
						415,876
PROPERTY CASUALTY	1.3	%
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(d)				500,000		582,774
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(d)				130,000		138,801
Markel Corp., 6.00% to 6/1/25(c),(d)				130,000		144,299

13

			Principal Amount		Value
PartnerRe Finance B LLC, 4.50% to 4/1/30, due 10/1/50(d)			$	110,000	$	115,679
						981,553
PROPERTY CASUALTY—FOREIGN	1.1	%
Athora Netherlands NV, 6.25% to 11/16/22 (Netherlands)(c),(d),(e)				200,000		211,920
Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom)(d),(e)				200,000		217,700
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(c),(d)				400,000		440,000
						869,620
REINSURANCE	0.7	%
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(d)				300,000		321,119
Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51, 144A(a),(d)				182,000		185,429
						506,548
TOTAL INSURANCE						5,317,225
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.4	%
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d)				190,000		191,900
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d)				75,000		93,236
						285,136
OIL & GAS—FOREIGN	0.9	%
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(c),(d)				360,000		385,200
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(c),(d)				305,000		337,498
						722,698
PIPELINES	0.2	%
Energy Transfer LP, 6.50% to 11/15/26, Series H(c),(d)				120,000		123,457
Energy Transfer LP, 7.125% to 5/15/30, Series G(c),(d)				40,000		41,450
						164,907

14

			Principal Amount		Value
PIPELINES—FOREIGN	2.2	%
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(d)			$	315,000	$	356,741
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d)				260,000		288,870
Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(d)				80,000		89,182
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(d)				283,000		315,333
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(d)				175,000		191,056
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(d)				420,000		470,925
						1,712,107
REAL ESTATE—RETAIL—FOREIGN	0.6	%
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(a),(d)				400,000		427,618
UTILITIES	1.0	%
ELECTRIC	0.9	%
Edison International, 5.375% to 3/15/26, Series A(c),(d)				270,000		274,219
NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(d)				55,000		64,788
Sempra Energy, 4.875% to 10/15/25(c),(d)				340,000		371,875
						710,882
GAS	0.1	%
South Jersey Industries, Inc., 5.02%, due 4/15/31				40,000		43,050
TOTAL UTILITIES						753,932
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$30,184,392)						31,837,516
			Shares
SHORT-TERM INVESTMENTS	1.2	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 0.01%(h)				918,572		918,572
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$918,572)						918,572

15

			Value
PURCHASED OPTION CONTRACTS (Premiums paid—$20,808)	0.0	%	$	16,531
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$69,739,227)	100.3	%		76,577,233
WRITTEN OPTION CONTRACTS	(0.1	)		(78,489	)
LIABILITIES IN EXCESS OF OTHER ASSETS	(0.2	)		(181,788	)
NET ASSETS	100.0	%	$	76,316,956

Over-The-Counter Option Contracts

Purchased Options Interest Rate Swaptions
Description	Counterparty	Exercise Rate			Expiration Date		Notional Amount(i)			Premiums Paid			Value
Option to receive 3-month LIBOR Quarterly, Pay 1.75% Semiannually, maturing 4/1/22	Goldman Sachs International		1.75	%		4/1/22	$	746,000		$	12,452		$	7,742
Option to receive 3-month LIBOR Quarterly, Pay 1.48% Semiannually, maturing 4/20/22	Goldman Sachs International		1.48	%		4/20/22		450,000			8,356			8,789
							$	1,196,000		$	20,808		$	16,531
Written Options Interest Rate Swaptions
Description	Counterparty	Exercise Rate			Expiration Date		Notional Amount(i)			Premiums Received			Value
Option to pay 3-month LIBOR Quarterly, Receive 2.05% Semiannually, maturing 4/1/22	Goldman Sachs International		2.05	%		4/1/22	$	(746,000	)	$	(6,653	)	$	(4,098	)
Option to pay 3-month LIBOR Quarterly, Receive 1.78% Semiannually, maturing 4/20/22	Goldman Sachs International		1.78	%		4/20/22		(450,000	)		(4,440	)		(4,766	)
							$	(1,196,000	)	$	(11,093	)	$	(8,864	)

16

Equity Options
Description	Counterparty	Exercise Price		Expiration Date	Number of Contracts			Notional Amount(j)			Premiums Received			Value
Call — Aena SME SA	Goldman Sachs International	$	141.38	9/17/21		(272	)	$	(43,301	)	$	(713	)	$	(554	)
Call — American Tower Corp.	Goldman Sachs International		293.30	9/17/21		(1,338	)		(378,502	)		(6,342	)		(4,754	)
Call — American Water Works Co., Inc.	Goldman Sachs International		171.95	9/17/21		(218	)		(37,016	)		(560	)		(881	)
Call — Avalonbay Communities, Inc.	Goldman Sachs International		232.90	9/17/21		(263	)		(59,819	)		(982	)		(1,204	)
Call — Cellnex Telecom SA	Goldman Sachs International		58.05	9/17/21		(1,596	)		(104,015	)		(1,722	)		(1,450	)
Call — Crown Castle International Corp.	Goldman Sachs International		198.70	9/17/21		(965	)		(186,316	)		(2,649	)		(2,372	)
Call — CubeSmart	Goldman Sachs International		50.86	9/17/21		(1,598	)		(79,365	)		(1,205	)		(1,381	)
Call — Digital Realty Trust, Inc.	Goldman Sachs International		159.61	9/17/21		(504	)		(77,697	)		(1,061	)		(1,081	)
Call — Duke Energy Corp.	Goldman Sachs International		105.86	9/17/21		(341	)		(35,862	)		(501	)		(627	)
Call — Duke Realty Corp.	Goldman Sachs International		53.37	9/17/21		(2,016	)		(102,599	)		(873	)		(992	)
Call — Enbridge, Inc.	Goldman Sachs International		49.41	9/17/21		(6,061	)		(238,916	)		(2,725	)		(3,667	)
Call — Equinix, Inc.	Goldman Sachs International		865.49	9/17/21		(26	)		(21,462	)		(303	)		(229	)
Call — Essential Utilities, Inc.	Goldman Sachs International		50.11	9/17/21		(1,816	)		(89,199	)		(1,011	)		(1,966	)
Call — Healthpeak Properties, Inc.	Goldman Sachs International		37.67	9/17/21		(2,012	)		(74,390	)		(993	)		(1,405	)
Call — Invitation Homes, Inc.	Goldman Sachs International		42.23	9/17/21		(1,346	)		(54,742	)		(720	)		(718	)
Call — Kirkland Lake Gold, Inc.	Goldman Sachs International		53.30	9/17/21		(3,126	)		(133,677	)		(3,395	)		(6,789	)
Call — Leg Immobilien SE	Goldman Sachs International		135.83	9/17/21		(143	)		(22,621	)		(332	)		(410	)
Call — National Grid PLC	Goldman Sachs International		9.44	9/17/21		(7,704	)		(98,958	)		(1,644	)		(1,708	)
Call — Nextera Energy, Inc.	Goldman Sachs International		79.51	9/17/21		(663	)		(51,648	)		(725	)		(889	)
Call — Pembina Pipeline Corp.	Goldman Sachs International		40.86	9/17/21		(2,714	)		(89,697	)		(1,127	)		(3,118	)

17

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amount(j)			Premiums Received			Value
Call — Prologis, Inc.	Goldman Sachs International	$	131.77		9/17/21		(519	)	$	(66,468	)	$	(944	)	$	(988	)
Call — Public Service Enterprise	Goldman Sachs International		62.46		9/17/21		(847	)		(52,716	)		(689	)		(1,195	)
Call — Public Storage	Goldman Sachs International		321.08		9/17/21		(415	)		(129,667	)		(1,853	)		(1,845	)
Call — Renewable Energy Group, Inc.	Goldman Sachs International		76.11		9/17/21		(6,359	)		(389,484	)		(9,143	)		(8,129	)
Call — SBA Communications Corp.	Goldman Sachs International		350.02		9/17/21		(274	)		(93,445	)		(1,285	)		(2,035	)
Call — Simon Property Group, Inc.	Goldman Sachs International		131.55		9/17/21		(693	)		(87,633	)		(2,205	)		(2,809	)
Call — Snam SPA	Goldman Sachs International		5.12		9/17/21		(9,559	)		(57,876	)		(761	)		(1,552	)
Call — Spirit Realty Capital, Inc.	Goldman Sachs International		52.93		9/17/21		(1,165	)		(58,528	)		(716	)		(930	)
Call — Sun Communities, Inc.	Goldman Sachs International		192.40		9/17/21		(207	)		(40,618	)		(714	)		(1,573	)
Call — TC Energy Corp.	Goldman Sachs International		61.79		9/17/21		(2,508	)		(122,256	)		(2,098	)		(1,878	)
Call — UDR, Inc.	Goldman Sachs International		56.83		9/17/21		(2,714	)		(149,265	)		(2,098	)		(2,365	)
Call — Ventas, Inc.	Goldman Sachs International		62.51		9/17/21		(699	)		(41,808	)		(704	)		(904	)
Call — VICI Properties, Inc.	Goldman Sachs International		33.37		9/17/21		(737	)		(22,996	)		(395	)		(283	)
Call — Vinci SA	Goldman Sachs International		94.05		9/17/21		(1,666	)		(176,305	)		(2,740	)		(2,234	)
Call — Waste Management, Inc.	Goldman Sachs International		149.16		9/17/21		(249	)		(36,899	)		(381	)		(685	)
Call — Welltower, Inc.	Goldman Sachs International		91.89		9/17/21		(1,548	)		(134,501	)		(2,402	)		(2,215	)
Call — Williams Co., Inc.	Goldman Sachs International		26.14		9/17/21		(6,052	)		(151,607	)		(2,138	)		(1,810	)
							(70,933	)	$	(3,791,874	)	$	(60,849	)	$	(69,625	)

18

Forward Foreign Currency Exchange Contracts

Counterparty		Contracts to Deliver			In Exchange             For		Settlement Date	Unrealized Appreciation (Depreciation)
Brown Brothers Harriman	EUR		199,361	USD		236,717	8/3/21	$	225
Brown Brothers Harriman	EUR		1,745,328	USD		2,069,112	8/3/21		(1,282	)
Brown Brothers Harriman	GBP		459,352	USD		634,037	8/3/21		(4,463	)
Brown Brothers Harriman	USD		2,306,654	EUR		1,944,689	8/3/21		232
Brown Brothers Harriman	USD		639,092	GBP		459,352	8/3/21		(592	)
Brown Brothers Harriman	CAD		517,062	USD		416,770	8/4/21		2,326
Brown Brothers Harriman	USD		414,784	CAD		517,062	8/4/21		(340	)
Brown Brothers Harriman	CAD		517,582	USD		415,157	9/2/21		307
Brown Brothers Harriman	EUR		1,963,967	USD		2,330,689	9/2/21		(415	)
Brown Brothers Harriman	GBP		461,613	USD		642,233	9/2/21		546
								$	(3,456	)

Glossary of Portfolio Abbreviations

ADR	American Depositary Receipt
CAD	Canadian Dollar
EMTN	Euro Medium Term Note
EUR	Euro Currency
FRN	Floating Rate Note
GBP	Great British Pound
LIBOR	London Interbank Offered Rate
REIT	Real Estate Investment Trust
USD	United States Dollar

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

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $8,670,369 which represents 11.4% of the net assets of the Fund, of which 0.0% are illiquid.

(b) Non-income producing security.

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

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

(e) Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $5,516,691 which represents 7.2% of the net assets of the Fund, of which 0.0% are illiquid.

(f) Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $11,516,570 or 15.1% of the net assets of the Fund.

(g) Variable rate. Rate shown is in effect at July 31, 2021.

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

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

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

19

Country Summary	% of Net Assets
United States		53.1
United Kingdom		10.7
Canada		9.3
France		4.8
Australia		2.6
China		2.4
Spain		2.3
Switzerland		2.3
Italy		2.1
Japan		2.1
Germany		1.6
South Africa		1.2
Netherlands		1.1
Hong Kong		0.9
Sweden		0.7
Singapore		0.5
Belgium		0.5
Other		1.8
		100.0

20

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

Note 1. Portfolio Valuation

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.

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

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

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

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

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

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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

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

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

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

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

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

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

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

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following is a summary of the inputs used as of July 31, 2021 in valuing the Fund’s investments carried at value:

	Total			Quoted Prices in Active  Markets for Identical Investments (Level  1)		Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Common Stock	$	35,616,935		$	35,616,935	$	—		$	—
Master Limited Partnerships and Related Companies		1,664,179			1,664,179		—			—
Preferred Securities—$25 Par Value:
Banks		985,719			784,639		201,080			—
Other Industries		5,537,781			5,537,781		—			—
Preferred Securities—Capital Securities		31,837,516			—		31,837,516			—
Short-Term Investments		918,572			—		918,572			—
Purchased Option Contracts		16,531			—		16,531			—
Total Investments in Securities(a)	$	76,577,233		$	43,603,534	$	32,973,699		$	—
Forward Foreign Currency Exchange Contracts	$	3,636		$	—	$	3,636		$	—
Total Derivative Assets(a)	$	3,636		$	—	$	3,636		$	—
Forward Foreign Currency Exchange Contracts	$	(7,092	)	$	—	$	(7,092	)	$	—
Written Option Contracts		(78,489	)		—		(78,489	)		—
Total Derivative Liabilities(a)	$	(85,581	)	$	—	$	(85,581	)	$	—

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

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

	Preferred Securities— Capital Securities— Banks
Balance as of October 31, 2020	$	134,813
Transfer out of Level 3(a)		(136,875	)
Change in unrealized appreciation (depreciation)		2,062
Balance as of July 31, 2021	$	—

(a) As of October 31, 2020, the Fund used significant unobservable inputs in determining the value of this investment. As of July 31, 2021, the same investment was transferred from Level 3 to Level 2 as a result of the availability of observable inputs.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

Note 2. Derivative Investments

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

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

Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.

Interest Rate Swaption Contracts: The Fund may write or purchase interest rate swaptions which are options to enter into a pre-defined swap agreement at a specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises the swaption. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the nine months ended July 31, 2021:

	Purchased  Option Contracts(a),(b)		Written  Option Contracts(a),(b)		Forward Foreign Currency  Exchange Contracts
Average Notional Amount	$	1,311,882	$	3,476,192	$	2,453,331

(a) Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month end. For the period, this represents five months for both purchased and written option contracts.

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