N-Q 1 cmr-taxable_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS
 
As filed with the Securities and Exchange Commission on August 28, 2018.



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 




Investment Company Act file number 811-21965



City National Rochdale High Yield Alternative Strategies Fund LLC
 (Exact name of registrant as specified in charter)



400 Park Avenue
New York, New York 10022-4406
(Address of principal executive offices) (Zip code)



Michael Lukaj
400 Park Avenue
New York, New York 10022-4406
(Name and address of agent for service)



(800) 245-9888
Registrant's telephone number, including area code



Date of fiscal year end:  March 31


Date of reporting period:  June 30, 2018

 
 

 
 
Item 1. Schedule of Investments.
 
City National Rochdale High Yield Alternative Strategies Fund LLC (the "Fund") invests substantially all of its investable assets in City National Rochdale High Yield Alternative Strategies Master Fund LLC (the "Master Fund"), a registered investment company with the same investment objective as the Fund.
 
As of June 30, 2018 the Fund owned 51.91% of the Master Fund. The schedule of investments of the Master Fund is as follows:
 
City National Rochdale High Yield Alternative Strategies Master Fund LLC
                          
SCHEDULE OF INVESTMENTS, June 30, 2018 (Unaudited)
                              
                               
                     
Redemptions
  
   
Percentage of
                      
Notice Period
  
   
Members' Capital
    
Cost
    
Fair Value
    
Frequency
    
# of Days
  
Long-Term Alternative Investment Funds:   (1)
                              
                               
                               
Structured Credit - CLO:
                              
                               
CIFC CLO Opportunity Holdings Fund II LP
    
17.5
%
  
$
4,896,613
    
$
5,475,707
      
*
      
*
  
(Purchased: 7/1/2017, 8/1/2017)
                                        
                                         
Clareant Structured Credit Opportunity Fund II
    
36.1
      
8,626,618
      
11,278,975
    
Quarterly
      
90
  
(Purchased: 5/1/2014, 7/1/2014, 8/1/2014, 9/1/2014,
                                        
10/1/2014, 11/1/2014, and 5/1/2017)
                                        
                                         
Great Lakes III, LP
    
14.3
      
4,604,736
      
4,462,325
    
Quarterly
      
90
  
(Purchased: 5/1/2013, 9/1/2013, 10/1/2013, 12/1/2013,
                                        
1/1/2014, 2/1/2014, 5/1/2014, and 7/1/2014)
                                        
                                         
SEIX CLO Management LP
    
29.4
      
8,029,884
      
9,182,763
       ** 
 
     ** 
 
(Purchased: 10/1/2016)
                                        
     
97.3
      
26,157,851
      
30,399,770
                  
                                         
Liquidating Positions:
                                        
                                         
GoldenTree Partners LP   (2)
    
1.9
      
213,691
      
607,881
       *** 
 
     *** 
(Acquired: 7/2/2007, 8/1/2007, 11/1/2007, 12/3/2007,
                                        
2/1/2008, 7/1/2012, and 8/1/2012)
                                        
                                         
Total Long-Term Alternative Investment Funds:
    
99.2
      
26,371,542
      
31,007,651
                  
                                         
Short-Term Investment:
                                        
                                         
Money Market Fund:
                                        
                                         
First American Government Obligations Fund - Class Z, 1.77%   (3)
    
14.5
      
4,534,050
      
4,534,050
                  
                                         
Total Investments
    
113.7
%
  
$
30,905,592
    
$
35,541,701
                  
 
(1)  All investments are non-income producing.
                    
(2)  Remaining value represents side pocket interests.
                    
(3)  7-day yield.
                    
                     
* This investment is long-term and illiquid.
                    
                     
** SEIX CLO Management LP has a five year re-investment period and a subsequent wind down.  This investment is long-term and illiquid.
    
                     
*** A side pocket investment has been established for GoldenTree Partners LP.  This investment is long-term and illiquid.
        
                     
The investments in Alternative Investments Funds shown above, representing 99.2% of net assets, have been fair valued in accordance with procedures established by the Board of Directors.

City National Rochdale High Yield Alternative Strategies Master Fund LLC
SCHEDULE OF INVESTMENTS, June 30, 2018 (Unaudited), Continued

Structured Credit

Structured credit strategy invests in stressed/distressed non-corporate fixed income asset classes in non-traditional markets such as residential real estate, commercial real estate and asset backed lending that have become distressed and/or undergoing structural changes, with anticipated improvement in the fundamental value of the underlying asset. Economic downturns and fundamental uncertainties can cause forced selling of securitized assets associated with such markets. In general, profits are made by identifying and investing in securities priced significantly below their intrinsic values where the strategy can maximize long-term capital appreciation from earning interest income and cash flows from current amortizing principal payments, cash flows from liquidations and from the fundamental appreciation of the underlying assets. Investing in structured credit requires deep fundamental analysis of the underlying assets and the behavior of the borrowers. Managers may invest in structured credit securities at deep discounts to fair value. Profits are realized as these securities converge to or above fair value with fundamental improvements in underlying borrowers, assets or improved technical behavior. Typically, structured credit managers will take positions in both agency and non-agency RMBS, CMBS, CLO, and other consumer and commercial loan ABS. At times, the strategy may also entail positions in other income generating assets such as life settlements and annuities, trade finance, legal settlements, whole loans, etc.


City National Rochdale High Yield Alternative Strategies Master Fund LLC
SCHEDULE OF INVESTMENTS, June 30, 2018 (Unaudited), Continued

The following are the classes of investments grouped by the fair value hierarchy for those investments measured at fair value on a recurring basis at June 30, 2018:
   
Quoted Prices in
Active Markets
for Identical
Assets
    
Significant Other
Observable
Inputs
    
Significant
Unobservable
Inputs
        
Description
  
(Level 1)
    
(Level 2)
    
(Level 3)
    
Total
  
                         
Alternative Investment Funds ^
  
$
-
    
$
-
    
$
-
    
$
31,007,651
  
Short-Term Investment
    
4,534,050
      
-
      
-
      
4,534,050
  
                                 
Total Investments
  
$
4,534,050
    
$
-
    
$
-
    
$
35,541,701
  


^ The Alternative Investment Funds were valued using the practical expedient and have not been classified in the fair value hierarchy.

The Fund did not invest in any Level 3 securities and there were no transfers into or out of Level 1, Level 2 or Level 3 fair value measurements during the reporting period, as compared to their classification from the most recent annual report.

The following table presents additional information for investments measured using the NAV practical expedient:
 
 
Alternative Investment Funds
  
Fair Value at
June 30, 2018
    
Unfunded
Commitments
    
Redemption
Frequency
    
Redemption
Notice Period
  
                         
Structured Credit – CLO
  
$
5,475,707
    
$
-
      
*
      
*
  
Structured Credit – CLO
    
15,741,300
      
-
    
Quarterly
    
90 days
  
Structured Credit – CLO
    
9,182,763
      
-
       ** 
 
     ** 
 
Liquidating Positions
    
607,881
      
-
       ***      *** 
Total
  
$
31,007,651
    
$
-
                  
                                 
* This investment is long-term and illiquid.

** SEIX CLO Management LP has a five year re-investment period and a subsequent wind down. This investment is long-term and illiquid.

*** A Special Investment has been established for GoldenTree Partners LP. This investment is long-term and illiquid.

The Master Fund has not maintained any positions in derivative instruments or directly engaged in hedging activities.
 
 
 
Item 2. Controls and Procedures.
 
(a)
The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
 
 
Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).  Filed herewith.
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)  City National Rochdale High Yield Alternative Strategies Fund LLC
 

By (Signature and Title)  /s/ Garrett R. D’Alessandro                                                  
Garrett R. D’Alessandro, President

Date  August 21, 2018                                                                                                       



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)  /s/ Garrett R. D’Alessandro                                                  
Garrett R. D’Alessandro, President

Date   August 21, 2018                                                                                                       


By (Signature and Title)  /s/ Mitchell Cepler                                                                  
Mitchell Cepler, Treasurer

Date  August 20, 2018