City National Rochdale High Yield Alternative Strategies Fund TEI LLC

Annual Report

March 31, 2016

Dear Fellow Shareholders,

The City National Rochdale High Yield Alternative Strategies Fund LLC (“Taxable Fund”) and City National Rochdale High Yield Alternative Strategies Fund TEI LLC (“TEI Fund”), (collectively “RHYAS”) seek to diversify clients’ traditional stock and bond only portfolios through inclusion of alternative strategies focusing on the fixed income markets. For the one year period ending March 31, 2016, the Taxable Fund returned -6.96% and the TEI Fund returned -7.04%. The benchmark of this strategy comprises a 50% weight in the Barclays U.S. Corporate High Yield and a 50% weight in the Credit Suisse Leveraged Loan Index. The strategy benchmark returned -2.38% over the previous year. Year to date ended March 31, 2016, the Taxable Fund returned -0.45% and the TEI Fund returned -0.50%, with the benchmark returning +2.34% over the same period.

The performance over the past year has been challenging for the shareholders of the City National Rochdale High Yield Alternative Strategy, to say the least. There have been wide swings in volatility in the Distressed Debt asset class and Collateralized Loan Obligation universe. From the outset of this strategy in 2013 we held the belief that a single calendar year could not and should not define the outcome of these strategies. The fund invests in less liquid credit markets, therefore during periods of volatility in the traditional High Yield/Loan Market, investors should expect the potential for additional volatility in this fund. This was the case during the previous year.

Some positive news is, thus far, most of these negative marks have not been realized losses and we have started to see stability in the markets. March & April of 2016 were strong months for the fund with approximately +5% returns in over the past two months. While we’re not at the point to say the volatility is clearly in the rear view, many managers see assets trading at discounts similar to the 2009 time period.

570 Lexington Ave. New York, NY 10022-6937 | (T) 212-702-3500 | www.cnr.com

The investment objective of the Fund is to focus on unique investment opportunities in less liquid Fixed Income instruments, typically unavailable in a mutual fund structure. Specifically, the Fund’s targeted investments include Collateralized Loan Obligations, Residential Mortgage Backed Securities and Distressed Debt/Asset Backed Securities. As we orient the strategy to capture attractive opportunities in yield based asset classes, our focus is on a limited set of managers who target greater risk adjusted returns through unique opportunities. We believe the strategy can complement an existing portfolio in one of two ways: first, as a fixed income replacement providing higher return from yields than traditional fixed income with commensurately higher volatility, and second, as a supplement to a portion of an equity allocation with similar volatility expectations. The Fund can serve as a risk stabilizer (reducing overall equity exposure) or a return enhancer (reducing overall fixed income exposure), while providing greater asset class diversification in either instance.

Outlook

The U.S. economy remains on a positive track, with modest but steady growth continuing in 2016. Underlying economic fundamentals remain strong and we continue to expect that better growth will materialize in the quarters ahead. The Federal Reserve is expected to continue modest rate rises in 2016, while continuing to give the market plenty of notice. While defaults are expected to rise in both US High Yield and US Bank Loan markets, most are expecting the levels to be below the long term average, well below if we exclude Energy related names. Macroeconomic fundamentals in the U.S. should be generally supportive of credit risk and dampen defaults through the rest of the year. The portfolio has allocated to Europe over the past year, where dislocation has created opportunities in the bank loan market.

We are not sure when, but when rates inevitably do rise, we view this portfolio to be well positioned to adapt. The portfolio consists of Fixed Income based asset classes that are less sensitive to rising rates and more dependent on the macroeconomic landscape. We do believe there will continue to be bouts of volatility in the High Yield market over the next 12 months, and we see the managers taking advantage of this potential instability. For those investors willing to take on the higher risk for higher return, we believe City National Rochdale High Yield Alternative Strategies Fund is an appropriate addition to client portfolios, relative to Core Fixed Income. Again, many of the managers in this strategy have structured the investment to benefit from a rising rate environment through re-investment opportunities, or themes based on valuation of distressed assets.

Sincerely,

Garrett R. D’Alessandro, CFA, CAIA, AIF®

Chief Executive Officer & President

City National Rochdale LLC

570 Lexington Ave. New York, NY 10022-6937 | (T) 212-702-3500 | www.cnr.com

Important Disclosures

The performance returns presented may contain figures estimated by the underlying manager which, if subsequently revised by the underlying manager, may change the returns indicated for the applicable period.

The unsubsidized total annual fund operating expense ratio for the City National Rochdale High Yield Alternative Strategies Fund and the City National Rochdale High Yield Alternative Strategies Fund TEI is 2.42% and 2.41%, respectively. Cumulative Return at POP (Public Offering Price, reflecting maximum front end sales charge of 2.00%) since inception of July 1, 2007 for the City National Rochdale High Yield Alternative Strategies Fund and the City National Rochdale High Yield Alternative Strategies Fund TEI is -0.71% and -1.38%, respectively. Performance quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. The most recent month-end performance can be obtained by calling 800-245-9888.

An investor should consider carefully the Funds’ investment objectives, risks, charges, and expenses. The prospectus contains this and other important information about the investment company, and it may be obtained by calling 800-245-9888. Please read it carefully before investing. RIM Securities LLC, the affiliated broker dealer for City National Rochdale LLC, 570 Lexington Avenue, New York, NY 10022.

The views expressed herein represent the opinions of City National Rochdale LLC and are subject to change without notice at anytime. This information should not in any way be construed to be investment, financial, tax, or legal advice or other professional advice or service, and should not be relied on in making any investment or other decisions. Hedge fund investments are speculative and may entail substantial risks. Investing in small and medium-size companies may carry additional risks such as limited liquidity and increased volatility. Investing in international companies carries risks such as currency fluctuation, interest rate fluctuation, and economic and political instability. Short sales may increase volatility and potential for loss. As with all investments, there is no guarantee that investment objectives will be met.

City National Rochdale LLC, its affiliated companies, or their respective shareholders, directors, officers and/or employees may have long or short positions in the securities discussed herein.

570 Lexington Ave. New York, NY 10022-6937 | (T) 212-702-3500 | www.cnr.com

City National Rochdale High Yield Alternative

Strategies Fund LLC

Financial Statements

March 31, 2016

City National Rochdale High Yield Alternative Strategies Fund LLC

Financial Statements

March 31, 2016

TABLE OF CONTENTS

City National Rochdale High Yield Alternative Strategies Fund LLC

	Page

Report of Independent Registered Public Accounting Firm	1

Financial Statements

Statement of Assets, Liabilities and Members' Capital	2
Statement of Operations	3
Statements of Changes in Members' Capital	4
Statement of Cash Flows	5
Notes to Financial Statements	6-12
Financial Highlights	13

City National Rochdale High Yield Alternative Strategies Master Fund LLC	Page

Report of Independent Registered Public Accounting Firm	1

Financial Statements

Statement of Assets, Liabilities and Members' Capital	2
Statement of Operations	3
Statements of Changes in Members' Capital	4
Statement of Cash Flows	5
Schedule of Investments	6-7
Strategy Allocation Breakdown	8
Notes to Financial Statements	9-18
Financial Highlights	19

Director and Officer Information

Additional Information

Report of Independent Registered Public Accounting Firm

The Managing Member and the Board of Directors of

City National Rochdale High Yield Alternative Strategies Fund LLC

We have audited the accompanying statement of assets, liabilities and members' capital of City National Rochdale High Yield Alternative Strategies Fund LLC (the “Fund”), as of March 31, 2016, the related statements of operations and cash flows for the year then ended, the statements of changes in members’ capital for the years ended March 31, 2016 and 2015, and the financial highlights for the years ended March 31, 2016, 2015, 2014, 2013 and 2012. These financial statements and financial highlights are the responsibility of the Fund's Management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights and assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of March 31, 2016 and the results of its operations and its cash flows for the year then ended, the changes in its members’ capital for the years ended March 31, 2016 and 2015 and the financial highlights for the years ended March 31, 2016, 2015, 2014, 2013, and 2012, in conformity with accounting principles generally accepted in the United States of America.

As discussed in Note 1 to the financial statements, a substantial portion of the assets of the Fund are invested through a master-feeder structure in City National Rochdale High Yield Alternative Strategies Master Fund LLC. The financial statements of City National Rochdale High Yield Alternative Strategies Master Fund LLC are included with the report of the Fund and should be read in conjunction with the financial statements of the Fund.

PKF O’Connor Davies, LLP

New York, New York

May 27, 2016

PKF O'CONNOR DAVIES, LLP

665 Fifth Avenue, New York, NY 10022 | Tel: 212.867.8000 or 212.286.2600 | Fax: 212.286.4080 | www.pkfod.com

PKF O'Connor Davies, LLP is a member firm of the PKF International Limited network of legally independent firms and does not accept any responsibility or liability for the actions or inactions on the part of any other individual member firm or firms.

City National Rochdale High Yield Alternative Strategies Fund LLC

Statement of Assets, Liabilities and Members' Capital

March 31, 2016

ASSETS
Investment in City National Rochdale High Yield
Alternative Strategies Master Fund LLC	$	15,880,676
Prepaid expenses		1,547

Total Assets		15,882,223

LIABILITIES AND MEMBERS' CAPITAL
Liabilities
Professional fees payable		26,101
Investor servicing fee payable		9,774
Incentive fee payable		303
Due to Adviser		209
Accrued expenses and other liabilities		5,999

Total Liabilities		42,386

Total Members' Capital	$	15,839,837

The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Fund LLC

Statement of Operations

Year Ended March 31, 2016

NET INVESTMENT LOSS ALLOCATED FROM CITY NATIONAL ROCHDALE
HIGH YIELD ALTERNATIVE STRATEGIES MASTER FUND LLC
Interest income	$	856
Expenses		(334,665	)

Net Investment Loss Allocated		(333,809	)


FUND EXPENSES
Investor servicing fees (see Note 4)		41,438
Professional fees		21,795
Registration fees		2,993
Custody fees		1,200
Insurance expense		988
Incentive fees		242
Other fees		4,714
Total Fund Expenses		73,370

Less incentive fee adjustment		(15,006	)
Less expenses waived and reimbursed		(35,122	)

Net Fund Expenses		23,242

Net Investment Loss		(357,051	)

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM CITY NATIONAL ROCHDALE HIGH YIELD ALTERNATIVE
STRATEGIES MASTER FUND LLC
Net realized gain on investments		298,858
Net change in unrealized appreciation/depreciation on investments		(1,110,007	)

Net Realized and Unrealized Loss on Investments		(811,149	)

Net Decrease in Members' Capital Resulting from Operations	$	(1,168,200	)

The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Fund LLC

Statements of Changes in Members' Capital

	Year Ended			Year Ended
	March 31, 2016			March 31, 2015
FROM OPERATIONS
Net investment loss	$	(357,051	)	$	(390,295	)
Net realized gain on investments		298,858			605,498
Net change in unrealized appreciation/depreciation on investments		(1,110,007	)		268,864

Net Increase (Decrease) in Members' Capital
Resulting From Operations		(1,168,200	)		484,067

DISTRIBUTIONS TO SHAREHOLDERS
From net investment income		(61,892	)		(205,645	)

INCREASE (DECREASE) FROM TRANSACTIONS
IN MEMBERS' CAPITAL
Proceeds from sales of members' interests, net		123,698			699,596

Total Increase (Decrease) in Members' Capital		(1,106,394	)		978,018

MEMBERS' CAPITAL

Beginning of year		16,946,231			15,968,213

End of year	$	15,839,837		$	16,946,231

The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Fund LLC

Statement of Cash Flows

Year Ended March 31, 2016

CASH FLOWS FROM OPERATING ACTIVITIES
Net decrease in members' capital resulting from operations	$	(1,168,200	)
Adjustments to reconcile net decrease in members' capital resulting
from operations to net cash used in operating activities:
Net change in unrealized appreciation/depreciation on investments		1,110,007
Net realized gain on investments		(298,858	)
Purchases of investments in Master Fund, net		(61,806	)
Net investment loss allocated from Master Fund		333,809
Expenses paid by the Master Fund		30,162
Changes in operating assets and liabilities:
Prepaid expenses		(55	)
Receivable from Adviser		4,974
Due to Adviser		209
Incentive fee payable		(15,990	)
Professional fees payable		(152	)
Investor servicing fee payable		(629	)
Accrued expenses and other liabilities		4,723

Net Cash used in Operating Activities		(61,806	)

CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from sales of members' interests, net		123,698
Distributions		(61,892	)
Net Cash from Financing Activities		61,806

Net Change in Cash and Cash Equivalents		-

CASH AND CASH EQUIVALENTS
Beginning of year		-

End of year	$	-

The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

1.	Organization

City National Rochdale High Yield Alternative Strategies Fund LLC (the “Fund”) is a Delaware limited liability company registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company. The Fund commenced investment operations on July 1, 2007. The Fund’s investment objective is to generate income from investments in higher yielding investments with lower credit quality and higher volatility than the investment grade fixed income securities. “Lower credit quality” in this objective means investments rated below BBB, and “higher volatility” means the fluctuations in principal will be greater than the fluctuations in price associated with investment grade fixed income securities.

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. City National Rochdale LLC (the “Manager” or "Adviser") is the investment adviser to the Master Fund. The Manager is also the adviser to City National Rochdale High Yield Alternative Strategies Fund TEI LLC, which also invests substantially all of its investable assets with the Master Fund. The Manager delegates sub-investment advisory responsibilities to PineBridge Investments LLC (the “Sub-Adviser”) with respect to the Master Fund.

The Manager has engaged the Sub-Adviser to provide sub-investment advisory services. The Sub-Adviser has investment discretion to manage the assets of the Master Fund and is responsible for identifying prospective Hedge Funds, performing due diligence and review of those Hedge Funds and their Hedge Fund Managers, selecting Hedge Funds, allocating and reallocating the Master Fund’s assets among Hedge Funds, and providing risk management services, subject to the general supervision of the Manager.

The financial statements of the Master Fund are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements. At March 31, 2016, the Fund's beneficial ownership of the Master Fund's net assets was 45.84%.

The Fund reserves the right to reject any subscriptions for Interests in the Fund. Generally, initial and additional subscriptions for investment (or "Member Interests") in the Fund by eligible Members may be accepted at such times as the Fund may determine. Each Member must be a qualified investor and subscribe for a minimum initial investment in the Fund of $25,000. Additional investments in the Fund must be made in a minimum amount of $10,000. Brokers selling the Fund may establish higher minimum investment requirements than the Fund. The Fund from time to time may offer to repurchase members' interests in the Fund at such times and on such terms as may be determined by the Fund's Board in its complete and absolute discretion. Fund interests must be held for at least six months after initial purchase (or for a second six-month period as described below). Members must hold

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

1.	Organization (continued)

Fund interests for at least six months before being eligible to request that the Fund repurchase Fund interests during a tender offer. If no such request is made by a Member during a tender offer, such Member must hold Fund interests for a second six-month period before submitting an initial request.

2.	Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund.

Basis of Presentation and Use of Estimates

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”). The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect certain reported amounts and disclosures. Accordingly, actual results could differ from those estimates.

Fair Value Measurements

The Fund follows fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized in the three broad levels listed below:

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

2.	Significant Accounting Policies (continued)

Fair Value Measurements (continued)

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities.

For the year ended March 31, 2016, the Fund’s investment consisted entirely of an investment in the Master Fund. The fair value hierarchy of the Master Fund’s investments is disclosed in the notes to the Master Fund’s financial statements, included elsewhere in this report.

Investments Valuation

The net asset value of the Fund is determined as of the close of business at the end of each month. The net asset value of the Fund equals the value of the assets of the Fund, less liabilities, including accrued fees and expenses.

The Fund's investment in the Master Fund represents substantially all of the Fund's assets. All investments owned are carried at fair value, which is the portion of the net asset value of the Master Fund held by the Fund.

The accounting for and valuation of investments by the Master Fund is discussed in the notes to the financial statements for the Master Fund, included elsewhere in this report.

The Fund has not maintained any positions in derivative instruments or directly engaged in hedging activities.

Investment Income Recognition

Purchases and sales of investments in the Master Fund are recorded on a trade-date basis. Interest income is recorded on the accrual basis and dividends are recorded on the ex-dividend date. Realized and unrealized gains and losses are included in the determination of income as allocated from the Master Fund based upon its ownership interest.

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

2.	Significant Accounting Policies (continued)

Fund Expenses

The direct expenses of the Fund include, but are not limited to, the following: legal fees; accounting and auditing fees; custodial fees; costs of computing the Fund's net asset value; costs of insurance; registration expenses; expenses of meetings of the Board and members; all costs with respect to communications to members; and other types of expenses as may be approved from time to time by the Board. The Fund, as an investor in the Master Fund, recognizes its share of the fees and expenses of the Master Fund (including a management fee and incentive fee).

Income Taxes

The Fund's tax year end is December 31. The Fund is treated as a partnership for Federal income tax purposes, whereby each Member is responsible for the tax liability or benefit relating to such Member’s distributive share of taxable income or loss. Accordingly, no provision for Federal income taxes is reflected in the accompanying financial statements.

The Fund has adopted authoritative guidance on uncertain tax positions. The Fund recognizes the effect of tax positions when they are more likely than not of being sustained. Management is not aware of any exposure to uncertain tax positions that could require accrual or which could affect the Fund’s liquidity or future cash flows, or its treatment as a flow through entity, pursuant to relevant income tax regulations. As of March 31, 2016, the Fund’s tax years 2013 through 2015 remain open and subject to examination by relevant taxing authorities.

Distribution Policy

The Fund plans to make periodic distributions of its net investment income and capital gains, if any, to Members. The amount and frequency of distributions is at the sole discretion of the Board. During the six months ended March 31, 2016, the Fund distributed $61,892 to Members.

Capital Accounts

Net profits or net losses of the Fund for each month are allocated to the capital accounts of Members as of the last day of each month in accordance with each Members' respective investment percentage in the Fund. Net profits or net losses are measured as the net change in the value of the net assets of the Fund during each month, before giving effect to any repurchases of interest in the Fund, and excluding the amount of any items to be allocated to the capital accounts of the Members of the Fund, other than in accordance with the Members' respective investment percentages.

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

2.	Significant Accounting Policies (continued)

Capital Accounts (continued)

Prior to the end of each quarter and year end, the Fund receives Member contributions with an effective subscription date of the first day of the following month. These contributions are held by the Master Fund and have an effective investment date of first day of the following month. The Master Fund, in turn, makes contributions to certain Hedge Funds, which have effective subscription dates of the first day of the following month. These amounts are reported as "Contributions received in advance" and "Investments made in advance", respectively.

Cash and Cash Equivalents

The Fund considers all highly liquid investments with a maturity of ninety days or less at time of purchase to be cash equivalents.

Subsequent Events

The Fund has adopted financial reporting rules regarding subsequent events, which requires an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Fund’s related events and transactions through the date the financial statements were available to be issued and determined that there were no significant subsequent events that would require adjustment to or additional disclosure in these financial statements.

3.	Commitments and Other Related Party Transactions

The Manager has contractually agreed to waive and/or reimburse the expenses of the Fund and the Master Fund, to the extent needed to limit their combined annual operating expenses to 2.25% of net assets. To the extent that the Manager reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which the expenses were reimbursed or absorbed. The Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses are to be reimbursed or at the time these payments are proposed. For the year ended March 31, 2016, the Manager waived $35,122 of fees and expenses, which may be recouped by the Manager no later than March 31, 2019.

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

3.	Commitments and Other Related Party Transactions (continued)

The following is a schedule of when fees may be recouped by the Manager:

City National Rochdale High Yield Alternative Strategies Fund LLC		Expiration
$	111,311	March 31, 2017
	8,893	March 31, 2018
	35,122	March 31, 2019
$	155,326

No accrual has been made for such contingent liability because of the uncertainty of the reimbursement from the Fund.

Pursuant to the Sub-Investment Advisory Agreement, the Sub-Adviser is entitled to receive a performance-based incentive fee equal to 10% of the net profits (taking into account net realized and unrealized gains or losses and net investment income or loss), if any, in excess of the non-cumulative “Preferred Return,” subject to reduction of that excess for prior losses that have not been previously offset against net profits (the “Incentive Fee”). The Incentive Fee is accrued monthly and is generally payable annually on a calendar year basis. The Preferred Return is a non-cumulative, annual return equal to the weighted average returns of a composite benchmark consisting of 50% of the Barclays Capital U.S. Corporate High Yield Index (Total Return) and 50% of the Credit Suisse Institutional Leveraged Loan Index.

4.	Investor Servicing Fees

The Fund pays a fee to RIM Securities, LLC, an affiliate of the Manager, as Distributor, to reimburse it for payments made to broker-dealers and certain financial advisers (“Investor Service Providers”) that have agreed to provide ongoing investor services to investors in the Fund that are their customers. This fee is paid quarterly and in an amount, with respect to each Investor Service Provider, not to exceed the lesser of: (i) 0.25% (on an annualized basis) of the aggregate value of outstanding interests held by investors that receive services from the Investment Service Provider, determined as of the last day of the calendar month (before any repurchase of Member interests); or (ii) the Distributor’s actual payments to the Investment Service Provider.

City National Rochdale High Yield Alternative Strategies Fund LLC

Notes to Financial Statements

March 31, 2016

5.	Concentration, Liquidity and Off-Balance Sheet Risks

The Master Fund invests primarily in Hedge Funds that are illiquid securities and not registered under the 1940 Act. Such Hedge Funds invest in actively traded securities, illiquid securities, derivatives and other financial instruments using several investment strategies and investment techniques, including leverage, which may involve significant risks. The Master Fund's concentration and liquidity risks are discussed in the notes to the Master Fund's financial statements which are included elsewhere in this report.

In the normal course of business, the Hedge Funds in which the Master Fund invests trade various derivatives and financial instruments and enter into various investment activities with off balance sheet risk. The Master Fund's off balance sheet risk in these financial instruments is discussed in the notes to the Master Fund's financial statements which are included elsewhere in this report.

6.	Investment Transactions

For the year ended March 31, 2016, the Fund's assets were invested in the Master Fund and the Fund made aggregate purchases of $123,698 and aggregate sales of $92,054 in the Master Fund.

7.	Affiliated Parties

On November 2, 2015, Royal Bank of Canada completed its acquisition of City National Corporation. City National Rochdale, LLC, the investment adviser to the Fund, is a subsidiary of City National Bank. City National Rochdale, LLC and City National Bank are wholly-owned subsidiaries of RBC USA Holdco Corporation, which is a wholly-owned indirect subsidiary of Royal Bank of Canada.

City National Rochdale High Yield Alternative Strategies Fund LLC

Financial Highlights

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31, 2016			March 31, 2015			March 31, 2014			March 31, 2013			March 31, 2012
TOTAL RETURN
Total Return before incentive fee		(6.96	%)		3.01	%		4.56	%		(0.86	%)		(4.56	%)
Incentive fee		0.10	%		(0.07	%)		(0.10	%)		0.01	%		0.04	%
Total Return after incentive fee		(6.86	%)		2.94	%		4.46	%		(0.85	%)		(4.52	%)

RATIOS/SUPPLEMENTAL DATA

Net Assets, end of period ($000's)	$	15,840		$	16,946		$	15,968		$	8,840		$	19,217
Portfolio Turnover		0.15	%		20.10	%		23.29	%		7.98	%		13.27	%

RATIO OF NET INVESTMENT LOSS
TO AVERAGE NET ASSETS

Net investment loss, before waivers and reimbursements		(2.37	%)		(2.38	%)		(3.36	%)		(2.55	%)		(2.31	%)
Net investment loss, after waivers and reimbursements		(2.16	%)		(2.32	%)		(2.41	%)		(2.24	%)		(2.21	%)

RATIO OF EXPENSES TO AVERAGE NET ASSETS,
BEFORE INCENTIVE FEE

Operating expenses, before waivers and reimbursements		2.46	%		2.30	%		3.20	%		2.56	%		2.35	%
Operating expenses, after waivers and reimbursements		2.25	%		2.25	%		2.25	%		2.25	%		2.25	%

RATIO OF EXPENSES TO AVERAGE NET ASSETS,
NET OF WAIVERS AND REIMBURSEMENTS
AFTER INCENTIVE FEE

Operating expenses, after waivers and reimbursements		2.25	%		2.25	%		2.25	%		2.25	%		2.25	%
Incentive fee		(0.10	%)		0.07	%		0.10	%		(0.01	%)		(0.04	%)
Total Operating expenses, after waivers/reimbursements
or recoupment, after incentive fee		2.15	%		2.32	%		2.35	%		2.24	%		2.21	%

Total return is calculated for all Members taken as a whole and an individual Member's return may vary from these Fund returns based on the timing of capital transactions.

Total returns do not include the effect of any sales load.

Portfolio turnover represents the Master Fund's portfolio turnover for the periods above. The ratios of expenses to average net assets do not include expenses of the Hedge Funds in which the Master Fund invests.

The expense ratios are calculated for all Members taken as a whole. The computation of such ratios based on the amount of expenses assessed to an individual Member's capital may vary from these ratios based on the timing of capital transactions.

The accompanying notes are an integral part of these financial statements

See Report of Independent Registered Public Accounting Firm

******

City National Rochdale High Yield Alternative Strategies

Master Fund LLC

Financial Statements

March 31, 2016

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Financial Statements

March 31, 2016

TABLE OF CONTENTS

	Page

Report of Independent Registered Public Accounting Firm	1

Financial Statements

Statement of Assets, Liabilities and Members' Capital	2
Statement of Operations	3
Statements of Changes in Members' Capital	4
Statement of Cash Flows	5
Schedule of Investments	6-7
Strategy Allocation Breakdown	8
Notes to Financial Statements	9-18
Financial Highlights	19

Director and Officer Information

Additional Information

Report of Independent Registered Public Accounting Firm

The Managing Member and the Board of Directors of

City National Rochdale High Yield Alternative Strategies Master Fund LLC

We have audited the accompanying statement of assets, liabilities and members' capital of City National Rochdale High Yield Alternative Strategies Master Fund LLC (the “Fund”), including the schedule of investments, as of March 31, 2016, the related statements of operations and cash flows for the year then ended, the statements of changes in members’ capital for the years ended March 31, 2016 and 2015, and the financial highlights for the years ended March 31 2016, 2015, 2014, 2013 and 2012. These financial statements and financial highlights are the responsibility of the Fund's Management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatements. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights and assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of cash and investments as of March 31, 2016, by correspondence with the custodian and investment managers, respectively, or by other appropriate auditing procedures where replies from investment managers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of March 31, 2016 and the results of its operations and its cash flows for the year then ended, the changes in its members’ capital for the years ended March 31, 2016 and 2015 and the financial highlights for the years ended March 31, 2016, 2015, 2014, 2013 and 2012, in conformity with accounting principles generally accepted in the United States of America.

PKF O’Connor Davies, LLP

New York, New York

May 27, 2016

PKF O'CONNOR DAVIES, LLP

665 Fifth Avenue, New York, NY 10022 | Tel: 212.867.8000 or 212.286.2600 | Fax: 212.286.4080 | www.pkfod.com

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Statement of Assets, Liabilities and Members' Capital

March 31, 2016

ASSETS
Investments, at fair value (cost $33,311,420)	$	35,212,769
Receivable for fund investments sold		30,889
Interest receivable		693

Total Assets		35,244,351

LIABILITIES AND MEMBERS' CAPITAL
Liabilities
Management fees payable		34,935
Members' capital balances payable		427,500
Payable to third party		33,312
Professional fees payable		58,267
Directors' fees payable		10,100
Accrued expenses and other liabilities		38,798

Total Liabilities		602,912

Total Members' Capital	$	34,641,439


The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Statement of Operations

Year Ended March 31, 2016

INVESTMENT INCOME
Interest income	$	1,868

Investment Income		1,868

EXPENSES
Management fees (see Note 4)		451,901
Professional fees		150,203
Administration fees		100,856
Directors' fees		17,668
Custody fees		7,003
Other expenses		1,446

Total Expenses		729,077

Net Investment Loss		(727,209	)

REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain on investments		649,557
Net change in unrealized appreciation/depreciation on investments		(2,429,852	)

Net Realized and Unrealized Loss on Investments		(1,780,295	)

Net Decrease in Members' Capital Resulting from Operations	$	(2,507,504	)



The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Statements of Changes in Members' Capital

	Year Ended			Year Ended
	March 31, 2016			March 31, 2015
FROM OPERATIONS
Net investment loss	$	(727,209	)	$	(673,847	)
Net realized gain on investments		649,557			1,300,929
Net change in unrealized appreciation/depreciation on investments		(2,429,852	)		580,749

Net Increase (Decrease) in Members' Capital
Resulting From Operations		(2,507,504	)		1,207,831

INCREASE (DECREASE) FROM TRANSACTIONS
IN MEMBERS' CAPITAL
Proceeds from sales of members' interests (see Note 2)		350,476			889,609

Total Increase (Decrease) in Members' Capital		(2,157,028	)		2,097,440


MEMBERS' CAPITAL

Beginning of year		36,798,467			34,701,027

End of year	$	34,641,439		$	36,798,467

The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Statement of Cash Flows

Year Ended March 31, 2016

CASH FLOWS FROM OPERATING ACTIVITIES
Net decrease in members' capital resulting from operations	$	(2,507,504	)

Adjustments to reconcile net decrease in members' capital
resulting from operations to net cash from operating activities:
Purchases of investments		(50,391	)
Sales of investments		2,862,173
Purchases of money market fund		(8,363,921	)
Sales of money market fund		5,281,532
Net change in unrealized appreciation/depreciation on investments		2,429,852
Net realized gain on investments		(649,557	)

Change in Operating Assets and Liabilities:
Receivable for fund investments sold		253,587
Interest receivable		(685	)
Members' capital balances payable		427,500
Management fees payable		(2,997	)
Contributions received in advance		(75,000	)
Payable to third party		33,312
Directors' fees payable		6,083
Professional fees payable		787
Accrued expenses and other liabilities		4,753

Net Cash used in Operating Acivities		(350,476	)

CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from sales of members' interests		350,476

Net Cash from Financing Activities		350,476

Net Change in Cash and Cash Equivalents		-

CASH AND CASH EQUIVALENTS
Beginning of year		-

End of year		-

The accompanying notes are an integral part of these financial statements

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 March 31, 2016 the Fund owned 45.84% 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

March 31, 2016

								Redemptions
	Percentage of									Notice Period
	Members' Capital			Cost		Fair Value		Frequency		# of Days
Long-Term Alternative Investment Funds: ¹

High Yield/Credit:
Canyon Value Realization Fund, LP - Series L		18.6	%	$	5,250,000	$	6,431,580	Annually			100
GoldenTree High Yield Partners LP		18.7			5,160,047		6,487,584	Quarterly			90
		37.3			10,410,047		12,919,164

Structured Credit - CLO:
Clareant Structured Credit Opportunitiy Fund I		5.4			1,872,534		1,867,840	Quarterly			90
Clareant Structured Credit Opportunitiy Fund II		8.8			2,813,216		3,062,342	Quarterly			90
Great Lakes III, LP		16.8			7,832,343		5,819,412	Quarterly			90
		31.0			12,518,093		10,749,594

Structured Credit - Mortgages:
Midway Market Neutral Institutional Fund LLC		18.0			5,550,000		6,240,754	Monthly			90
		18.0			5,550,000		6,240,754

Liquidating Positions:
Brencourt SP Fund, LP²		0.3			106,864		115,868		*		*
CamCap Resources, LP²		0.0			17,257		163		*		*
GoldenTree Partners LP²		2.5			328,983		853,394		*		*
Stark Select Asset Fund LLC²		0.0			63,540		17,196		*		*
		2.8			516,644		986,621
Total Long-Term Alternative Investment Funds:		89.1			28,994,784		30,896,133

Short-Term Investment:

Money Market Fund:
First American Government Obligations Fund, 0.02%³		12.5			4,316,636		4,316,636


Total Investments		101.6	%	$	33,311,420	$	35,212,769

¹ All investments are non-income producing.
²Remaining value represents side pocket interests.
³ 7-Day Yield.

* Special Investments have been established for Brencourt SP Fund, LP, CamCap Resources, LP, GoldenTree Partners LP, and Stark Select Asset Fund LLC. These investments are long-term and illiquid.

The investments in Hedge Funds shown above, representing 89.1% of net assets, have been fair valued in accordance with procedures established by the Board of Directors.


The accompanying notes are an integral part of these financial statements.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Schedule of Investments, Continued

March 31, 2016

High Yield / Credit. The credit strategy involves investing in the securities of companies that are non-investment grade, high yield and or distressed. Often, a corporate event results in the re-pricing of these securities, which may lead to profits. A non-investment grade bond generally has a Standard & Poor's rating of lower than BBB- or a Moody's rating lower than Baa3. In the event of a corporate event such as bankruptcy or default, bonds that rank higher in the capital structure of the issuers, such as first lien bank loan or a senior secured bond have priority over other bonds deemed junior in ranking in the capital structure. The distressed and high-yield sub-strategy involves investing in the securities (bank loans and bonds) of companies experiencing financial or operational difficulties or otherwise having below investment grade credit ratings. These securities may trade at substantial discounts to par value, because, in part, certain classes of investors who cannot hold non-investment grade, high yield or distressed bonds are forced to sell at discounted prices. Profits are made based on two kinds of mispricings: (1) fundamental or intrinsic value, and (2) relative value between comparable securities. Hedge Fund Managers may also take long/short positions throughout the capital structure of leveraged companies to implement a negative or positive credit view in the marketplace with the intention to offer better risk adjusted returns than being outright long or short the market.

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.

Liquidating Positions. Liquidating positions from former investment strategies remain in the Fund due to redemption restrictions placed on them by Hedge Fund Managers either at their sole discretion or for other factors. Such factors include the magnitude of redemptions requested, portfolio valuation issues or market conditions.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Schedule of Investments, Continued

March 31, 2016

Strategy Allocation Breakdown
(as a % of total investments)

The accompanying notes are an integral part of these financial statements

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

1.	Organization

City National Rochdale High Yield Alternative Strategies Master Fund LLC (the "Master Fund") is a closed-end, non-diversified management investment company that was organized as a limited liability company under the laws of the State of Delaware on September 11, 2006 and serves as a master fund in a master feeder structure. City National Rochdale High Yield Alternative Strategies Fund LLC and City National Rochdale High Yield Alternative Strategies Fund TEI LLC (the “Feeder Funds”) serve as the feeder funds in the master feeder structure. Interests in the Master Fund are issued solely in private placement transactions that do not involve any "public offering" within the meaning of Section 4(2) of the Securities Act of 1933, as amended (the "1933 Act"). Investments in the Master Fund may be made only by U.S. and foreign investment companies, common or commingled trust funds, organizations or trusts described in Sections 401(a) or 501(a) of the Internal Revenue Code of 1986, as amended, or similar organizations or entities that are "accredited investors" within the meaning of Regulation D under the 1933 Act. The Master Fund is a registered investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

City National Rochdale, LLC (the “Manager” or "Adviser"), is the investment adviser to the Master Fund. The Manager delegates sub-investment advisory responsibilities to PineBridge Investments LLC (the “Sub-Adviser”) with respect to the Master Fund.

The Master Fund seeks to achieve its objective by investing substantially all of its assets in the securities of privately placed investment vehicles, typically referred to as hedge funds (“Hedge Funds" or "Investment Funds”) that pursue a variety of high yield income generating strategies.

The Master Fund’s investment objective is to generate income from investments in higher yielding investments with lower credit quality and higher volatility than investment grade fixed income securities. “Lower credit quality” in this objective means investments rated below BBB, and “higher volatility” means the fluctuations in principal will be greater than the fluctuations in price associated with investment grade fixed income securities. Under normal circumstances, at least 80% of the Master Fund’s total assets will be invested either directly, or indirectly through Private Funds, in a variety of high yield income generating investments.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

2.	Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Master Fund.

Basis of Presentation and Use of Estimates

Investments Valuation

Investments are carried at fair value. The fair value of alternative investments has been estimated using the Net Asset Value (“NAV”) as reported by the management of the respective alternative investment fund. Financial Accounting Standards Board (FASB) guidance provides for the use of NAV as a “Practical Expedient” for estimating fair value of alternative investments. NAV reported by each alternative investment fund is used as a practical expedient to estimate the fair value of the Master Fund’s interest therein and their classification within Level 2 or 3 is based on the Master Fund’s ability to redeem its interest in the near term and liquidate the underlying portfolios.

Investments in Investment Funds are stated and recorded at fair value as determined in good faith by the Fair Value Committee in accordance with US GAAP. The Master Fund uses the NAV as reported by the Hedge Fund Managers, as a practical expedient, to determine the fair value of all the investments in Investment Funds which (a) do not have a readily determinable fair value and (b) either have the attributes of an investment company or prepare their financial statements consistent with the measurement principles of an investment company. Such values generally represent the Master Fund's proportionate share of the net assets of the Investment Funds as reported by the Hedge Fund Managers. Accordingly, the value of the investments in Investment Funds are generally increased by additional contributions to the Investment Funds and the Master Fund's share of net earnings from the Investment Funds, and decreased by distributions from the Investment Funds and the Master Fund's share of net losses from the Investment Funds.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

2.	Significant Accounting Policies (continued)

Investment Valuations (continued)

The Sub-Adviser reviews the details of the reported information obtained from the Hedge Fund Managers and considers: (i) the measurement date of the NAV provided, (ii) the basis of accounting and, (iii) in instances where the basis of accounting is other than fair value, fair valuation information provided by the Hedge Fund Managers. The Sub-Adviser may make adjustments to the NAV of various Investment Funds to obtain the best estimate of fair value, which is consistent with the measurement principles of an investment company. Any determinations made by the Sub-Adviser will be reviewed and approved by the Adviser’s Fair-Value Committee, which has been designated by the Board to make all necessary fair value determinations.

The Master Fund has not maintained any positions in derivative instruments or directly engaged in hedging activities.

Fair Value Measurements

The Master Fund follows fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized in the three broad levels listed below:

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Master Fund has the ability to access.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

2. Significant Accounting Policies (continued)

Fair Value Measurements (continued)

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Master Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. See Note 3 – Investments.

Investment Income Recognition

Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis and dividends are recorded on the ex-dividend date. Realized and unrealized gains and losses are included in the determination of income.

Fund Expenses

The expenses of the Master Fund include, but are not limited to, the following: legal fees; accounting and auditing fees; custodial fees; management fees; an incentive fee; costs of computing the Master Fund's net asset value; costs of insurance; registration expenses; due diligence, including travel and related expenses; expenses of meetings of the Board and officers; all costs with respect to communications to Members; and other types of expenses as may be approved from time to time by the Board.

Income Taxes

The Master Fund’s tax year end is December 31. The Master Fund is treated as a partnership for Federal income tax purposes. Each Member is responsible for the tax liability or benefit relating to such Member’s distributive share of taxable income or loss. Accordingly, no provision for Federal income taxes is reflected in the accompanying financial statements.

The Master Fund has adopted authoritative guidance on uncertain tax positions. The Master Fund recognizes the effect of tax positions when they are more likely than not of being sustained. Management is not aware of any exposure to uncertain tax positions that could require accrual or which could affect its liquidity or future cash flows. As of March 31, 2016, the Master Fund’s tax years 2013 through 2015 remain open and subject to examination by relevant taxing authorities.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

2.	Significant Accounting Policies (continued)

Subsequent Events

The Master Fund has adopted financial reporting rules regarding subsequent events, which requires an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Master Fund’s related events and transactions through the date the financial statements were available to be issued and determined that there were no significant subsequent events that would require adjustment to or additional disclosure in these financial statements.

Capital Accounts

Net profits or net losses of the Master Fund for each month are allocated to the capital accounts of Members as of the last day of each month in accordance with Members' respective investment percentages of the Master Fund. Net profits or net losses are measured as the net change in the value of the net assets of the Master Fund during a fiscal period, before giving effect to any repurchases of interest in the Master Fund, and excluding the amount of any items to be allocated to the capital accounts of the Members of the Master Fund, other than in accordance with the Members' respective investment percentages.

Prior to the end of each quarter and year end, the Master Fund receives Member contributions with an effective subscription date of the first day of the following month.

The Master Fund, in turn, makes contributions to certain Hedge Funds, which have effective subscription dates of the first day of the following month. These amounts are reported as "Contributions received in advance" and "Investments made in advance", respectively.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

3.	Investments

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 March 31, 2016. The alternative investments below were valued using the practical expedient:

	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total

Alternative Investments:
High Yield/Credit	$	-	$	-	$	12,919,164	$	12,919,164
Structured Credit – CLO		-		-		10,749,594		10,749,594
Structured Credit – Mortgages		-		-		6,240,754		6,240,754
Liquidating Positions		-		-		986,621		986,621
Total Alternative Investments		-		-		30,896,133		30,896,133

Short-Term Investment		4,316,636		-		-		4,316,636

Total Investments	$	4,316,636	$	-	$	30,896,133	$	35,212,769

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 is a reconciliation of the beginning and ending balances for Level 3 investments during the year ended March 31, 2016:

	Alternative Investment Funds

Balance, March 31, 2015	$	35,488,210

Total realized gains		649,557
Change in unrealized appreciation/depreciation		(2,429,852	)
Purchases		50,391
Sales		(2,862,173	)

Balance, March 31, 2016	$	30,896,133

Net unrealized gains relating to Level 3 alternative investments held at March 31, 2016 amounted to $1,901,349.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

4.	Commitments and Other Related Party Transactions

Management and Incentive Fees

Under the supervision of the Master Fund’s Board and pursuant to an investment management agreement (“Investment Management Agreement”), City National Rochdale LLC, an investment adviser registered under the Investment Advisers Act of 1940, as amended, serves as the Manager for the Master Fund. The Manager is authorized, subject to the approval of the Master Fund’s Board, to retain one or more other organizations, including its affiliates, to provide any or all of the services required to be provided by the Manager to the Master Fund or to assist in providing these services.

The investment management fee is shared by the Manager and the Sub-Adviser. The Master Fund pays the Manager an investment management fee at an annual rate equal to 1.25% of the Master Fund’s month-end net assets, including assets attributable to the Manager (or its affiliates) and before giving effect to any repurchases by the Master Fund of Member interests. The investment management fee is accrued monthly. The investment management fee is paid to the Manager out of the Master Fund’s assets.

The Manager pays a fee to the Sub-Adviser at a rate equal to 40% of the amount of the fee earned by the Manager pursuant to the Sub-Investment Advisory Agreement.

The Sub-Adviser is entitled to receive a performance-based incentive fee equal to 10% of each Member’s net profits (taking into account net realized and unrealized gains or losses and net investment income or loss), if any, in excess of the non-cumulative “Preferred Return,” subject to reduction of that excess for prior losses that have not been previously offset against net profits (the “Incentive Fee”). The Incentive Fee is calculated and paid at the Feeder Fund level. The Incentive Fee is accrued monthly and is generally payable annually on a calendar year basis. The Preferred Return is a non-cumulative, annual return equal to the weighted average returns of a composite benchmark consisting of 50% of the Barclays Capital U.S. Corporate High Yield Index (Total Return) and 50% of the Credit Suisse Institutional Leveraged Loan Index.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

4.	Commitments and Other Related Party Transactions (continued)

Administration Fee

U.S. Bancorp Fund Services, LLC (the “Administrator”) acts as the Funds’ Administrator under an Administration Agreement. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the Members of the Feeder Funds; monitors the activities of the Funds’ custodian, transfer agent and accountants; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals. For its services, the Administrator receives a monthly fee from the Master Fund at an annual rate of 0.12% for the first $150 million, 0.10% for the next $150 million and 0.08% thereafter of average net assets, with a minimum annual fee of $100,000.

Expense Reimbursement

The Manager has contractually agreed to waive and/or reimburse the Master Fund’s expenses to the extent needed to limit the Master Fund’s annual operating expenses combined with the annual operating expenses of the Feeder Funds to 2.25% of net assets for each Feeder Fund. To the extent that the Manager reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which the expenses were reimbursed or absorbed. A Feeder Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses are to be reimbursed or at the time these payments are proposed.

The following is a schedule of when fees may be recouped by the Manager with respect to the Feeder Funds:

City National Rochdale High Yield Alternative Strategies Fund LLC			City National Rochdale High Yield Alternative Strategies Fund TEI LLC		Expiration
	$	111,311	$	139,734	March 31, 2017
		8,893		10,803	March 31, 2018
		35,122		37,704	March 31, 2019
	$	155,326	$	188,241

No accrual has been made for such contingent liability because of the uncertainty of the reimbursement from the Feeder Funds.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

5.	Investment Risks and Uncertainties

Alternative Investments consist of non-traditional, not readily marketable investments, some of which may be structured as offshore limited partnerships, venture capital funds, hedge funds, private equity funds and common trust funds. The underlying investments of such funds, whether invested in stock or other securities, are generally not currently traded in a public market and typically are subject to restrictions on resale. Values determined by investment managers and general partners of underlying securities that are thinly traded or not traded in an active market may be based on historical cost, appraisals, a review of the investees’ financial results, financial condition and prospects, together with comparisons to similar companies for which quoted market prices are available or other estimates that require varying degrees of judgment.

Investments are carried at fair value provided by the respective alternative investment’s management. Because of the inherent uncertainty of valuations, the estimated fair values may differ significantly from the values that would have been used had a ready market for such investments existed or had such investments been liquidated, and those differences could be material.

6.	Concentration, Liquidity and Off-Balance Sheet Risk

The Master Fund invests primarily in Hedge Funds that are not registered under the 1940 Act and invest in and actively traded securities and other financial instruments using different strategies and investment techniques, including leverage, which may involve significant risks. These Hedge Funds may invest a high percentage of their assets in specific sectors of the market in order to achieve a potentially greater investment return. As a result, the Hedge Funds may be more susceptible to economic, political, and regulatory developments in a particular sector of the market, positive or negative, and may experience increased volatility of the Hedge Funds' net asset value.

Various risks are also associated with an investment in the Master Fund, including risks relating to the multi-manager structure of the Master Fund, risks relating to compensation arrangements and risks relating to limited liquidity, as described below.

Redemption restrictions exist for Hedge Funds whereby the Hedge Fund Managers may suspend redemption either in their sole discretion or other factors. Such factors include the magnitude of redemptions requested, portfolio valuation issues or market conditions.

Redemptions are currently restricted for certain Hedge Funds with a fair value at March 31, 2016 aggregating $986,621 as noted in the Schedule of Investments.

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Notes to Financial Statements

March 31, 2016

6.	Concentration, Liquidity and Off-Balance Sheet Risk (continued)

In the normal course of business, the Hedge Funds in which the Master Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, and interest rate, credit default and total return equity swap contracts. The Master Fund's risk of loss in these Hedge Funds is limited to the value of its own investments reported in these financial statements by the Master Fund. The Master Fund itself does not invest directly in securities with off-balance sheet risk.

7.	Investment Transactions

For the year ended March 31, 2016 (excluding short-term securities), the aggregate purchases of investments were $50,391 and sales of investments were $2,862,173.

8.	New Accounting Pronouncement Note

In May 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2015-07 “Disclosure for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)”. The amendments in ASU No. 2015-07 remove the requirement to categorize within the fair value hierarchy investments measured using the NAV practical expedient. The ASU also removes certain disclosure requirements for investments that qualify, but do not utilize, the NAV practical expedient. The amendments in the ASU are effective for public business entities for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Fund's future financial statements and related disclosures.

9.	Affiliated Parties

City National Rochdale High Yield Alternative Strategies Master Fund LLC

Financial Highlights

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31, 2016			March 31, 2015			March 31, 2014			March 31, 2013			March 31, 2012

TOTAL RETURN - NET		(6.80	%)		3.39	%		5.01	%		(0.58	%)		(4.08	%)

RATIOS/SUPPLEMENTAL DATA

Net Assets, end of period ($000's)	$	34,641		$	36,798		$	34,701		$	24,970		$	55,669

Portfolio Turnover		0.15	%		20.10	%		23.29	%		7.98	%		13.27	%

Ratio of Net Investment
Loss to Average Net Assets		(2.01	%)		(1.86	%)		(2.14	%)		(1.79	%)		(1.66	%)

Ratio of Expenses to
Average Net Assets		2.02	%		1.86	%		2.14	%		1.79	%		1.67	%

Total return is calculated for all Members taken as a whole and an individual Member's return may vary from these Master Fund returns based on the timing of capital transactions.

Total returns do not include the effect of any sales load.

The ratios of expenses to average net assets do not include expenses of the Hedge Funds in which the Master Fund invests.

The ratios above do not include the proportionate share of income or loss from their investments in other funds.

The accompanying notes are an integral part of these financial statements

See Report of Independent Registered Public Accounting Firm

* * * * * *

DIRECTORS AND OFFICERS OF THE FUND

The Directors of the Fund, who were elected by the shareholders of the Fund, are responsible for the overall management of the Fund, including, general supervision and review of the investment activities of the Fund. The Directors, in turn, elect the officers of the Fund, who are responsible for administering the day to day operations of the Fund. The current Directors and Officers, their affiliations and principal occupations for the past five years are set forth below. The Statement of Additional Information includes information about the Directors and is available, without charge, by calling 1-866-209-1967.

Independent Directors

Name Address Age	Position with the Fund	Term of Office ⁽¹⁾ and Length of Time Served	Principal Occupation for the Past Five Years	# of Funds in Fund Complex⁽²⁾ Overseen by Director	Other Directorships Held
Daniel A. Hanwacker 570 Lexington Avenue New York, NY 10022 Age: 63	Director	Since 2013	CEO and President, Hanwacker Associates, Inc. (asset management consulting and executive search services) (2001- present). Managing Director - Asset Management, Putnam Lovell Securities (2000-2001). Co-Founding Partner, Constellation Financial Management, Co., LLC (1995- 2000).	21	Rochdale Investment Trust (2011- 2013)
Jon C. Hunt 570 Lexington Avenue New York, NY 10022 Age: 63	Director	Since 2013	Retired (March 2013 to present). Consultant to Management, Convergent Capital Management, LLC (“CCM”) (July 2012 to March 2013). Managing Director and Chief Operating Officer, CCM (1998 - June 2012).	21	Nuveen Commodities Asset Management, member of Independent Committee (February 2012 - present); Advisor’s Inner Circle Fund III (February 2014 – present); O’Connor EQUUS (May 2014- present) ; Winton Series Trust and Winton Diversified Opportunities Fund, Lead Independent Trustee (January 2015 - present)
Vernon C. Kozlen 570 Lexington Avenue New York, NY 10022 Age: 71	Director	Since 2007	Retired (2007- present). President and Chief Executive Officer, City National Rochdale Funds (2000-2007). Executive Vice President and Director of Asset Management Development, CNB (1996- 2007). Director, Reed, Conner & Birdwell LLC (2000-2007), and Convergent Capital Management, LLC (2003-2007). Chairman of the Board, City National Asset Management, Inc. (2001-2005). Chairman of the Board, City National Securities, Inc. (1999-2005). Director, City National Asset Management, Inc. (2001-2006), and City National Securities, Inc. (1999-2006).	21	Windermere Jupiter Fund, LLC, CMS/Ironwood Multi-Strategy Fund LLC, CMS/Barlow Long-Short Equity Fund, LLC ⁽³⁾

Jay C. Nadel 570 Lexington Avenue New York, NY 10022 Age: 57	Director	Since 2013	Financial Services Consultant (2005 - present). Executive Vice President, Bank of New York Broker-Dealer and Member of the Operating Committee (2002-2004). Weiss, Peck & Greer, Partner, Managing Director and Chair of the Operations Committee (1986-2001).	21	Lapolla Industries, Inc. (2007 – present); Rochdale Investment Trust (2011-2013)
James Wolford 570 Lexington Avenue New York, NY 10022 Age: 60	Director	Since 1999	Chief Executive Officer of Corinthian Development Company (December 2013 – present). President, Chief Operating Officer and Chief Financial Officer, Thompson National Properties (March 2011-December 2013). Chief Financial Officer, Pacific Office Properties, a real estate investment trust (April 2010-March 2011). Chief Financial Officer, Bixby Land Company, a real estate company (2004-March 2010). Regional Financial Officer, AIMCO, a real estate investment trust (2004). Chief Financial Officer, DBM Group, a direct mail marketing company (2001-2004). Senior Vice President and Chief Operating Officer, Forecast Commercial Real Estate Service, Inc. (2000-2001). Senior Vice President and Chief Financial Officer, Bixby Ranch Company (1985-2000).	21	None

Interested Director

Andrew S Clare ⁽⁴⁾

570 Lexington Avenue

New York, NY 10022

Age: 69

Director

Since 2013

Attorney and partner, Loeb & Loeb LLP, a law firm (1972-present).

None

(1)	The Trustees serve for terms of office as follows:

Name of Trustee End of Term of Office

Vernon C. Kozlen	December 31, 2018*
James Wolford	March 29, 2023
Andrew S. Clare	December 31, 2020*
Daniel A. Hanwacker	March 29, 2023
Jon C. Hunt	March 29, 2023
Jay C. Nadel	March 29, 2023

* Subject to extension by the Board for up to two years.

(2)

“Fund complex” is defined as two or more registered investment companies that hold themselves out to investors as related companies or have a common investment adviser or affiliated investment advisers and in this case includes the following registered closed-end funds: City National Rochdale High Yield Alternative Strategies Master Fund LLC, City National Rochdale High Yield Alternative Strategies Fund LLC, City National Rochdale High Yield Alternative Strategies Fund TEI LLC, City National Rochdale Structured Claims Fixed Income Fund LLC and City National Rochdale International Trade Fixed Income Fund.

(3)	Convergent Wealth Advisors, LLC, which is under common control with CNB, serves as investment adviser to Windermere Jupiter Fund, LLC, CMS/Ironwood Multi-Strategy Fund, LLC and CMS/Barlow Long-Short Equity Fund, LLC, each of which is a private investment fund.

(4)	Mr. Clare is an “interested person” of the Trust, as defined in the 1940 Act, by virtue of the provision of significant legal services by him and his law firm to CNB.

Officers of the Fund

Name Address Age	Position(s) with the Fund	Term of Office(1) and Length of Time Served	Principal Occupation for the Past Five Years
Garrett R. D’Alessandro City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 57	President and Chief Executive Officer	Since Inception	Chief Executive Officer, City National Rochdale (1986 - present).
F. Michael Gozzillo City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 50	Vice President; Chief Compliance Officer (“CCO”); Anti-Money Laundering Officer & Identity Theft Program Officer	Since 2013	Senior Vice President & Chief Compliance Officer, City National Rochdale (2012-present). CCO, Symphonic Financial Advisers LLC (2013 to Present). CCO, City National Rochdale High Yield Alternative Strategies Master Fund LLC, City National Rochdale High Yield Alternative Strategies Fund LLC, City National Rochdale High Yield Alternative Strategies Fund TEI LLC, City National Rochdale Structured Claims Fixed Income Fund LLC and City National Rochdale International Trade Fixed Income Fund (2013-present). Director & Compliance Officer, TIAA-CREF (2008-2012). CCO, TIAA-CREF Life Insurance Co. Separate Accounts (2009- 2012).
Mitchell Cepler City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 33	Treasurer and Chief Financial Officer	Since 2015	Group Finance Manager, City National Rochdale (2011 – present). Manager, Financial Planning and Analysis, ESP Technologies Corporation (2008- 2011).
Kurt Hawkesworth City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 43	Secretary	Since 2010	Chief Operating Officer, City National Rochdale (2003-present).

(1)	Each officer serves until removed by the Board or the principal executive officer of the Trust, or until such officer resigns.

Additional Information

Proxy Voting Policies and Procedures

A description of the policies and procedures that the Master Fund uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, will be available (i) without charge, upon request, by calling 1-800-245-9888; and (ii) on the SEC’s website at www.sec.gov.

Portfolio Holdings Disclosure

The Master Fund will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q will be available on the SEC’s website at www.sec.gov, and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330.

	FYE 3/31/2016	FYE 3/31/2015
Audit Fees	$17,947	$17,947
Audit-Related Fees	$0	$0
Tax Fees	$4,152	$4,152
All Other Fees	$0	$0

Non-Audit Related Fees	FYE 3/31/2016	FYE 3/31/2015
Registrant	$4,152	$4,152
Registrant’s Investment Adviser	$0	$0

Name	Title	Length of Service	Business Experience During Past 5 Years	Role of Portfolio Manager
William C. Miller Jr.	Managing Director - Fixed Income Investments	Since 2013	Managing Director Fixed Income Investments, specializes in the research, analysis and selection of fixed income securities	Heads the team of investment professionals and is intricately involved in the firm’s day to day fixed income investments research.

Name	Number of Registered Investment Companies Managed and Total Assets for Such Accounts (Including The Trust)	Beneficial Ownership of Equity Securities In Trust	Number of Other Pooled Investment Vehicles Managed and Total Assets for Such Accounts	Number of Other Accounts Managed and Total Assets For Such Accounts
William C. Miller Jr.	6, $6.4 billion	$0	0, $0	23, $335.5 million

		No. of Accounts	Market Value ($ millions)
Steven Costabile**	RIC
	Performance Fee
	OPI	11	2,700
	Performance Fee	11	2,700
	OA	7	2,000
	Performance Fee	7	2,000

Francis Owusu	RIC

	OPI	1	35

	OA