TABLE OF CONTENTS

	City National Rochdale Funds Annual Report
2	Letter to Our Shareholders
4	Fixed Income and Blended Funds Investment Adviser’s Report
7	Fixed Income and Blended Funds Overview
15	Equity Funds Investment Adviser’s Report
17	Equity Funds Overview
21	Schedule of Investments/Consolidated Schedule of Investments
124	Statements of Assets and Liabilities/Consolidated Statement of Assets and Liabilities
128	Statements of Operations/Consolidated Statement of Operations
132	Statements of Changes in Net Assets/Consolidated Statement of Changes in Net Assets
138	Consolidated Statement of Cash Flows
140	Financial Highlights/Consolidated Financial Highlights
145	Notes to Financial Statements/Consolidated Notes to Financial Statements
162	Report of Independent Registered Public Accounting Firm
163	Trustees and Officers
166	Notice to Shareholders
168	Disclosure of Fund Expenses
171	Board Approval of Advisory and Sub-Advisory Agreements

 

The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q within 60 days after the end of the period. The Funds’ Form N-Q filings are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most current Form N-Q filing is also available on the Funds’ website at www.citynationalrochdalefunds.com and without charge, upon request, by calling 1-888-889-0799.

 

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the Funds’ portfolio securities, and information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ending June 30 is available (1) without charge, upon request, by calling 1-888-889-0799, (2) on the Funds’ website at www.citynationalrochdalefunds.com, and (3) on the Commission’s website at www.sec.gov.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 1

letter to our shareholders

September 30, 2015

 

Dear Shareholders,

 

This annual report covers the one-year period ended September 30, 2015. Heading towards the end of the calendar year, risk assets have delivered a wide range of performance outcomes. Though U.S. equity performance stands in stark contrast to the double digit returns garnered at this time last year, relative to other equity markets around the world, domestic investors generally still remain ahead of the pack. Volatility levels within both equity and fixed income markets have increased throughout the year, as anxiety surrounding U.S. interest rate policy, global central bank activity, and Chinese GDP trends have weighed on investor psychology. Commodity markets have been among the hardest hit, as Oil’s approximate 50% freefall over the course of the last 12 months has pressured business models and export-oriented economies alike.

 

Within fixed income markets, credit quality positioning was of key importance throughout the year, particularly during the most recent quarter. Energy companies have been under significant pressure, as $40 - $50 Oil (per barrel) has dramatically changed profitability projections across the sector. Spread widening was the most acute for high yield issuers within the Exploration & Production space, but bonds across all industries were not immune from the sell-off that took hold during August and September. The BofaML U.S. High Yield Master II Index declined 4.9% during the third quarter (“Q3”), with CCC rated credits bearing the brunt of the damage. Investment grade exposure held up well, however, as evidenced by the 1.2% return posted by the Barclays Aggregate Index during the quarter. Over the last 12 months, investment grade bonds have outpaced high yield bonds by over 500 basis points (“bps”). Though volatility can be painful in the short to intermediate term, it can also create attractive purchase opportunities for astute investors with the ability to distinguish between price and intrinsic value.

 

Equity investors have experienced mixed results over the course of the last year, depending on how they have been positioned from both geographic and style standpoints. International markets have been challenged, particularly within emerging market economies, where China’s decision to devalue its currency in mid-August was met with rapid sell orders around the world. Triggered by this development, the MSCI Emerging Markets Index plunged almost 18% during Q3. Uncertainty surrounding the potential implications of a U.S. interest rate hike on emerging market borrowers, both corporate and sovereign, further magnified investor anxiety during the late summer months. The spillover effect to U.S. markets elicited a 6.4% decline for the S&P 500 Index during the quarter as well. Though more recently it has been a bit of a wild ride, there are also some bright spots worth mentioning. Domestic investors with an eye towards growth have fared reasonably well, outshining their value-oriented peers. Healthcare, Consumer Discretionary, and Information Technology stocks in particular have been among the strongest contributors in this regard, supporting a 3.2% return for the Russell 1000 Growth Index on a trailing 12-month basis.

 

Coming into 2015, we expected to face choppy seas amidst a backdrop of shifting global economic currents and uncertain monetary policy developments around the world. Our unwavering focus on risk management and downside protection continues to serve us well, as capital preservation will always be of paramount importance within all of the investment strategies that we manage. As always, we thank you for your trust and confidence in our abilities to continue to serve you well through your investment in the City National Rochdale Funds.

 

Sincerely,

 

 

Bruce Simon
Chief Investment Officer
City National Rochdale Funds

 

Index returns are for illustrative purposes only and do not represent actual Fund performance. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 2

 

Past performance is no guarantee of future results. Certain shareholders may be subject to the Alternative Minimum Tax (AMT). Federal income tax rules apply to any capital gain distributions.

 

This information must be preceded or accompanied by a current prospectus. Please read the prospectus carefully before investing.

 

City National Rochdale Funds do not generally accept investments by non-U.S. persons and may not be available in all states.

 

BofaML U.S. High Yield Master II Index measures the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P, and Fitch) and an investment grade rated country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings).

 

Barclays Aggregate Index is an index generally representing fixed-rate, investment-grade government bonds, corporate debt securities, mortgage-backed securities, and asset-backed securities with minimum maturity dates of at least one year.

 

MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. With over 800 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

 

The S&P 500 Index is a stock market index based on the market capitalizations of 500 large companies having common stock listed on the NYSE or NASDAQ.

 

Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 3

investment adviser’s report (Unaudited)

September 30, 2015

Fixed Income and Blended Funds

 

Government Bond Fund – CNBIX

 

The Servicing Class Shares of the Fund posted a return of 0.50% for Q3, which underperformed the Barclays U.S. 1-5 Year Government Bond Index’s 0.68% return. Calendar year to date, as of September 30, 2015, the Fund is lagging the benchmark’s return of 1.59% by 64 basis points with a return of 0.95%. For the fiscal year ended September 30, 2015, the Servicing Class Shares of the Fund has returned 1.21% and the benchmark has delivered a return of 2.05%.

 

As of the most recent quarter, the portfolio maintained its short duration positioning relative to the benchmark in anticipation of an eventual rise in interest rates. This proved to be a headwind during the quarter, as longer duration assets outperformed shorter duration positions as interest rates rallied. The yield enhancement garnered from the Fund’s overweight to Agency bullet bonds was additive to performance. The Fund also increased its allocation to 3-6 year maturity buckets to take advantage of the current steepness in the yield curve.

 

Corporate Bond Fund – CNCIX

 

The Servicing Class Shares of the Fund posted a return of -0.07% for Q3, underperforming the Barclays 1-5 Year A3 or Higher U.S. Corporate Index’s return of 0.72%. Calendar year to date, as of September 30, 2015, the Fund is underperforming the benchmark by 1.09% (0.58% for the Fund vs. 1.67% for the Benchmark). For the fiscal year ended September 30, 2015, the Servicing Class Shares of the Fund has underperformed the benchmark’s return by 1.79% (0.39% for the Fund vs. 2.18% for the benchmark).

 

As of the most recent quarter, the Fund continued to outpace the benchmark from a yield perspective, driven by an emphasis on investing in lower quality bonds within the investment grade universe. Sector allocation was additive to relative performance as bonds within the Financial sector outperformed bonds within the Industrial sector. Issuer selection within the Energy and Metals & Mining sectors accompanied by slightly underweight duration relative to the benchmark was a performance headwind.

 

California Tax Exempt Bond Fund - CNTIX

 

The Servicing Class Shares of the Fund posted a return of 1.00% for Q3, underperforming the Barclays Intermediate-Short California Municipal Bond Index return of 1.23% but outperforming the Lipper peer group return of 0.71%. Calendar year to date, as of September 30, 2015, the Fund is lagging the benchmark’s return of 1.70% by 51 basis points with a return of 1.19% but again outperforming the Lipper peer group return of 0.49%. For the fiscal year ended September 30, 2015, the 1.56% return for the Servicing Class Shares of the Fund has underperformed the benchmark return of 2.08% while outperforming the Lipper return of 0.68%.

 

Contributions to performance during the fiscal year include duration shifts, an overweight to lower investment grade credit quality and a sharp underweight to pre-refunded bonds. In anticipation of the Federal Reserve (Fed) raising short-term rates by summer 2015, we reduced duration from neutral to short the benchmark only to return to neutral in the third quarter as the economic fundamentals moved back to the negative side. We also migrated toward a mild barbell structure in anticipation of a flattening yield curve. The focus on lower investment grade credits served the Fund well as the fundamental health of California’s economy and the fiscal health of the issuers continued to improve during the year. A heavy wave of refundings in the market in the first half of 2015 led to underperformance in the sector. We benefited from our sharp underweight to refunded debt. Detractors to performance included the continuing low nominal rate environment, cash drag from new subscriptions in a low supply environment and an underweight to California state debt relative to the index.

 

Municipal High Income Bond Fund – CNRMX

 

The Servicing Class Shares of the Fund posted a return of 1.43% for Q3, underperforming the Barclays High Yield Muni Index’s return of 1.99% by 56 basis points. Calendar year to date, as of September 30, 2015, the Fund is ahead of the benchmark’s return of 0.03% by 173 basis points with a return of 1.76%. For the fiscal year ended September 30, 2015, the Servicing Class Shares of the Fund returned 3.81%, outpacing the benchmark’s return of 1.24% by 257 basis points.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 4

 

The Fund outperformed the benchmark in three out of the four quarters during the last year. One of the primary areas of attention within the High Yield Muni space over the last 12 months has been Puerto Rico, which has grown to over a 25% weighting within the benchmark. Our Fund has generally maintained less than 5% exposure to these credits, which has been a meaningful contributor to both absolute and relative performance. Focusing on higher quality bonds, often mis-rated by the market, and a concerted effort to minimize relative interest rate risk within the portfolio have provided constructive support for the Fund’s outperformance.

 

High Yield Bond Fund – CHYIX

 

The Servicing Class Shares of the Fund posted a return of -5.03% for Q3, outperforming the Citigroup High Yield Market Capped Index’s return of -5.52% by 49 basis points. Calendar year to date, as of September 30, 2015, the Fund is ahead of the benchmark’s return of -3.11% by 152 basis points with a return of -1.59%. For the fiscal year ended September 30, 2015, the Servicing Class Shares of the Fund returned -3.71%, outpacing the benchmark’s return of -4.41% by 70 basis points.

 

The Fund outperformed the benchmark in three out of four quarters during the last year. Much of this is attributable to positive security selection, and avoiding or underweighting sectors with questionable creditworthiness. The manager has upgraded the credit quality of the overall portfolio over the course of the last year, which has helped to insulate against elevated volatility that has punctuated credit markets as of late. The Fund’s approximate 8% allocation to bank loans has also been a constructive hedge against downside risk, as senior secured paper has performed relatively well during periods of market stress. Though the portfolio’s Energy exposure has hindered performance, the manager has been able to take advantage of mispriced bonds that have sold off along with the rest of the sector.

 

Intermediate Fixed Income Fund – RIMCX

 

The Class N Shares of the Fund posted a return of 0.31% for Q3, lagging the Barclays Intermediate U.S. Government/Credit Index’s return of 0.95%. Calendar year to date, as of September 30, 2015, the Fund is underperforming the benchmark’s return of 1.77% by 95 basis points with a return of 0.82%. For the fiscal year ended September 30, 2015, the Class N Shares of the Fund returned 1.34%, underperforming the benchmark’s return of 2.68% by 134 basis points.

 

As of the most recent quarter, the Fund continued to outpace the benchmark from a yield perspective, driven by an emphasis on investing in lower quality bonds within the investment grade universe. The significant overweight to corporate credit has been the most meaningful driver of underperformance over the last year. Corporate sector allocation was additive to relative performance as bonds within the Financial sector outperformed bonds within the Industrial sector. Issuer selection within the Energy and Metals & Mining sectors accompanied by slightly underweight duration relative to the benchmark was a performance headwind.

 

Fixed Income Opportunities Fund – RIMOX

 

The Fund posted a return of -2.60% for Q3, underperforming the Credit Suisse Leveraged Loan Index’s return of -1.22% by 138 basis points. Calendar year to date, as of September 30, 2015, the Fund is outperforming the benchmark’s return of 1.61% by 46 basis points with a return of 2.07%. For the fiscal year ended September 30, 2015, the Fund has returned -0.88%, trailing the benchmark’s return of 1.22% by 210 basis points.

 

The Fund’s diversified asset class exposures have been instrumental in delivering an attractive yield profile, without assuming an inordinate amount of interest rate risk. With just over 30% of the Fund allocated to a combination of domestic and European bank loans, the strategy has been well positioned to withstand the elevated volatility experienced in credit markets as of late. The Fund’s emerging markets high yield bond allocation, although pressured in Q3, has been additive to performance during 2015. The domestic high yield segment of the Fund has sidestepped many of the problem areas within the Energy sector over the course of the last year, and generally maintains a higher quality portfolio compared to broad market indices.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 5

investment adviser’s report (Unaudited)

September 30, 2015

Fixed Income and Blended Funds (continued)

 

Multi-Asset Fund – CNIIX

 

The Servicing Class Shares of the Fund posted a -4.09% return in Q3, underperforming the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index of 0.01%. Calendar year to date, as of September 30, 2015, the Fund has delivered -4.83% return relative to 0.02% for the benchmark. For the fiscal year ended September 30, 2015, the Servicing Class Shares of the Fund returned -3.59% compared to a 0.02% return for the benchmark.

 

The bulk of the Fund’s underperformance came in Q3 of 2015. As of the most recent quarter, approximately 45% of the Fund was invested in fixed income, 35% in equities, 3% in real estate investment trusts and the remaining 17% in cash. Emerging markets and European equities exposure was a performance headwind during the most recent quarter. On the positive side, an allocation to longer duration treasuries, equities in the Utilities sector, and cash helped boost performance.

 

This material represents the managers’ assessment of the portfolios and market environment at a specific point in time and should not be relied upon by the reader as research or investment advice.

 

Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-888-889-0799.

 

Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.

 

The Government Bond Fund’s, Corporate Bond Fund’s, California Tax Exempt Bond Fund’s, Municipal High Income Fund’s, High Yield Bond Fund’s, Intermediate Fixed Income Fund’s, Multi-Asset Fund’s, and Fixed Income Opportunities Fund’s investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be lower. The Adviser intends to continue these arrangements at least through January 31, 2016, but there can be no assurance that City National Rochdale, LLC will continue to waive fees. After January 31, 2016, City National Rochdale, LLC intends to discontinue the voluntary fee waivers for the Municipal High Income Fund and High Yield Bond.

 

Mutual fund investing involves risk, including loss of principal. Bonds and bond funds are subject to interest rate risk and will decline in value as interest rates rise. The securities of mid-cap companies may have greater price volatility and less liquidity than the securities of larger capitalized companies. Emerging markets involve heightened risk related to the same factors as well as increased volatility and lower trading volume.

 

The California Tax Exempt Bond Fund invests primarily in California securities and may be more volatile and susceptible to a single adverse economic or regulatory occurrence affecting those obligations than a fund investing in obligations of a number of states.

 

The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or both of two major nationally recognized statistical rating organizations (“NRSROs”). The two NRSROs currently utilized for this purpose are Standard & Poor’s (S&P) and Moody’s. When a bond is rated by S&P that rating is utilized. If it is not rated by S&P, the Moody’s rating is utilized. When a security is rated by neither, it is classified as “Not Rated”. For bonds, these credit quality ratings are shown without regard to gradations within a given rating category. For example, securities rated “AA-” or “AA+” have been included in the “AA” rated category. Long-term ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 6

fund overview (Unaudited)

September 30, 2015

City National Rochdale Government Bond Fund

 

The Fund seeks to provide current income (as the primary component of a total return intermediate duration strategy) by investing primarily in securities either issued or guaranteed by the U.S. Government or its agencies or instrumentalities.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Government Bond Fund, Servicing Class Shares, versus the Barclays U.S. 1-5 Year Government Bond Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Servicing Class*(1)^	CNBIX	1.21%	0.16%	0.89%	2.56%
Institutional Class(2)^^†	CNIGX	1.55%	0.41%	1.09%	2.67%
Class N(3)	CGBAX	0.95%	-0.12%	0.64%	2.30%
Barclays U.S. 1-5 Year Government Bond Index	n/a	2.05%	0.90%	1.24%	3.19%

 

 

Top Ten Holdings
% OF PORTFOLIO
Tennessee Valley Authority, Ser E
6.250%, 12/15/17	5.9%
Illinois Municipal Electric Agency, Ser A, NATL Pre-Refunded @ 100
5.125%, 02/01/17	5.6%
FNMA
1.000%, 10/16/17	4.0%
FNMA
5.000%, 02/13/17	3.7%
FNMA
0.875%, 02/08/18	3.7%
U.S. Treasury Bonds
2.195%, 11/15/21	3.7%
FNMA
2.430%, 10/09/19	3.6%
FNMA
3.619%, 12/01/20	3.5%
FNMA
4.875%, 12/15/16	3.5%
U.S. Treasury Notes
2.875, 03/31/18	3.5%

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 7

fund overview (Unaudited)

September 30, 2015

City National Rochdale Corporate Bond Fund

 

The Fund seeks to provide current income (as the primary component of a total return intermediate duration strategy) by investing in a diversified portfolio of fixed income securities, primarily investment grade corporate bonds issued by domestic and international companies denominated in U.S. dollars.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Corporate Bond Fund, Servicing Class Shares, versus the Barclays 1-5 Year U.S. Corporate A3 or Higher, 2% Issuer Constrained Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Servicing Class*(1)^	CNCIX	0.39%	1.01%	1.79%	3.52%
Class N(2)	CCBAX	0.14%	0.76%	1.54%	3.27%
Barclays 1-5 Year U.S. Corporate A3 or Higher, 2% Issuer Constrained Index	n/a	2.18%	1.62%	2.37%	4.00%

 

 

Top Ten Holdings
% OF PORTFOLIO
Florida State, Hurricane Catastrophe Fund
Finance, Ser A, RB
2.107%, 07/01/18	3.1%
Toyota Motor Credit, MTN
2.050%, 01/12/17	3.0%
Total Capital International
2.875%, 02/17/22	2.9%
Lowe’s
6.100%, 09/15/17	2.4%
Stone Ridge Reinsurance Risk Premium Interval Fund	2.3%
Fifth Third Bank
1.150%, 11/18/16	2.3%
Nissan Auto Lease Trust 2015-A, Ser 2015-A, Cl A3
1.400%, 06/15/18	2.2%
Hewlett Packard Enterprise
2.060%, 10/05/17	2.2%
Standard Chartered, MTN
1.700%, 04/17/18	2.2%
VW Credit, MTN
1.875%, 10/13/16	2.2%

 

BOND CREDIT QUALITY
CREDIT RATINGS(1)	% OF NET ASSETS
AAA	2.2%
AA	21.1%
A	36.1%
BBB	33.0%
BB	3.2%
NR	1.5%
Registered Investment Company	2.3%
Short-Term Investments and Other Net Assets	2.1%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 8

fund overview (Unaudited)

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund

 

The Fund seeks to provide current income exempt from federal and California state income tax (as the primary component of a total return strategy) by investing primarily in California municipal bonds and notes.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale California Tax Exempt Bond Fund, Servicing Class Shares, versus the Barclays Intermediate-Short California Municipal Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Servicing Class*(1)^	CNTIX	1.56%	1.63%	2.48%	3.25%
Class N(2)	CCTEX	1.30%	1.37%	2.21%	2.99%
Barclays Intermediate-Short California Municipal Index	n/a	2.08%	2.23%	2.96%	3.94%

 

 

Top Ten Holdings*
% OF PORTFOLIO
Fairfield County, Redevelopment Agency, TA
4.000%, 08/01/17	2.9%
Los Angeles, Unified School District, Ser B, GO, AMBAC Callable 07/01/17 @ 100
5.000%, 07/01/19	2.2%
California Statewide, Communities Development Authority, Kaiser Permanente, Ser B, RB Callable 02/01/17 @ 100
0.970%, 04/01/52	2.0%
Riverside County, Public Safety Communication, Ser A, COP, AMBAC
5.000%, 11/01/17	1.8%
Southern California, Public Power Authority, Subordinated Southern Transmission Project, Ser A, RB
5.000%, 07/01/17	1.5%
California State, GO
5.000%, 09/01/21	1.5%
California Statewide, Communities Development Authority, Kaiser Permanente, Ser A, RB
5.000%, 04/01/19	1.4%
San Diego, Public Facilities Financing Authority Sewer Revenue, RB
5.000%, 05/15/25	1.3%
Southern California, Public Power Authority, Linden Wind Energy Project, Ser A, RB Callable 07/01/20 @ 100
5.000%, 07/01/27	1.3%
California State, GO
5.250%, 09/01/22	1.2%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 9

fund overview (Unaudited)

September 30, 2015

City National Rochdale Municipal High Income Fund

 

The Fund seeks to provide a high level of current income that is not subject to federal income tax.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Municipal High Income Fund, Servicing Class Shares, versus the Barclays High Yield Municipal Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	Inception to Date
Servicing Class*(1)^	CNRMX	3.81%	8.24%
Class N(1)	CNRNX	3.55%	7.92%
Barclays High Yield Municipal Index	n/a	1.24%	7.71%

 

 

Top Ten Holdings*
% OF PORTFOLIO
New York State, Liberty Development, RB Callable 11/15/24 @ 100
5.000%, 11/15/44	1.4%
Southeastern Ohio, Port Authority, Memorial Health System Project, RB Callable 12/01/22 @ 100
6.000%, 12/01/42	1.1%
Puerto Rico, Commonwealth, Ser A, GO Callable 07/01/20 @ 100
8.000%, 07/01/35	1.1%
Territory of Guam, Ser A, GO Pre-Refunded @ 100
7.000%, 11/15/39	1.1%
Authority, Utility System Project, Ser A, RB Callable 07/01/19 @ 100
6.750%, 07/01/39	1.0%
Mid-Bay Bridge Authority, Ser A, RB Pre-Refunded @ 100
7.250%, 10/01/34	1.0%
Houston, Higher Education Finance, Ser A, RB Pre-Refunded @ 100
6.875%, 05/15/41	1.0%
Illinois State, Finance Authority, Three Crowns Park Plaza Project, Ser A, RB Callable 02/15/16 @ 100
5.875%, 02/15/38	1.0%
Delaware State, Economic Development Authority, Indian River Power Project, RB Callable 10/01/20 @ 100
5.375%, 10/01/45	1.0%
Texas State, Private Activity Bond Surface Transportation Corp., NTE Mobility Project, RB Callable 12/31/19 @ 100
6.875%, 12/31/39	0.9%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 10

fund overview (Unaudited)

September 30, 2015

City National Rochdale High Yield Bond Fund

 

The Fund seeks to maximize total return by investing primarily in fixed income securities rated below investment grade including corporate bonds and debentures, convertible and preferred securities, zero coupon obligations and debt securities that are issued by U.S. and foreign governments.

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale High Yield Bond Fund, Servicing Class Shares, versus the Citigroup High Yield Market Capped Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Servicing Class*(1)^	CHYIX	-3.71%	3.49%	6.21%	6.61%
Institutional Class(2)^^†	CNIHX	-3.47%	3.70%	6.41%	6.71%
Class N(1)	CHBAX	-3.94%	3.19%	5.93%	6.31%
Citigroup High Yield Market Capped Index	n/a	-4.41%	2.91%	5.83%	6.68%

 

 

Top Ten Holdings
% OF PORTFOLIO
Central Garden and Pet
8.250%, 03/01/18	2.3%
Epicor Software
9.250%, 05/21/23	1.8%
MDC Partners
6.750%, 04/01/20	1.7%
Vector Group
7.750%, 02/15/21	1.7%
Opal Acquisition
8.875%, 12/15/21	1.6%
McGraw-Hill Global Education Holdings
9.750%, 04/01/21	1.5%
ContourGlobal Power Holdings
7.125%, 06/01/19	1.4%
Icahn Enterprises
5.875%, 02/01/22	1.3%
Open Text
5.625%, 01/15/23	1.3%
Ironshore Holdings US
8.500%, 05/15/20	1.3%

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 11

fund overview (Unaudited)

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund

 

The Fund seeks current income and, to the extent consistent with this goal, capital appreciation, by investing primarily in fixed income securities.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Intermediate Fixed Income Fund, Class N Shares, versus the Barclays Intermediate U.S. Government/Credit Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Class N*(1)	RIMCX	1.34%	1.63%	2.83%	3.52%
Institutional Class(2)	CNRIX	1.87%	1.94%	3.01%	3.61%
Barclays Intermediate U.S. Government/Credit Index	n/a	2.68%	1.45%	2.42%	4.17%

 

 

Top Ten Holdings
% OF PORTFOLIO
Apple
0.561%, 02/07/20	2.7%
Svenska Handelsbanken, MTN
5.125%, 03/30/20	2.4%
FNMA
1.625%, 11/27/18	2.3%
Rio Tinto Finance USA
3.750%, 06/15/25	2.1%
Carmax Auto Owner Trust, Ser 2014-2, Cl A3
0.980%, 01/15/19	2.0%
Stone Ridge Reinsurance Risk Premium Interval Fund	1.9%
Morgan Stanley
3.750%, 02/25/23	1.9%
State Street
2.550%, 08/18/20	1.9%
Oracle
2.500%, 05/15/22	1.8%
FNMA
5.000%, 03/15/16	1.8%

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 12

fund overview (Unaudited)

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund

 

The Fund seeks a high level of current income by investing primarily in fixed income securities.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Fixed Income Opportunities Fund, Class N Shares, versus the Credit Suisse Leveraged Loan Index, the Barclays U.S. Aggregate Bond Index and the Barclays U.S. Corporate High Yield Bond Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmarks do not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	Inception to Date
Class N(1)	RIMOX	-0.88%	3.64%	4.82%	6.48%
Credit Suisse Leveraged Loan Index	n/a	1.22%	3.77%	4.84%	7.12%
Barclays U.S. Aggregate Bond Index	n/a	2.94%	1.71%	3.10%	4.37%
Barclays U.S. Corporate High Yield Bond Index	n/a	-3.43%	3.51%	6.15%	10.03%

 

 

Top Ten Holdings*
% OF PORTFOLIO
Stone Ridge Reinsurance Risk Premium Interval Fund	1.0%
AXA Equitable Life #0474,
Acquired 11/04/2013	0.7%
Digicel Group
8.2500%, 09/30/20	0.6%
Dubai World
4.250%, 09/30/22	0.6%
Dubai Holding Commercial Operations, MTN
6.000%, 02/01/17	0.4%
Republic of Angola
6.600%, 12/06/20	0.4%
Fortescue Metals Group (FMG), Cov-Lite Term Loan
3.750%, 06/30/19	0.4%
Hilton Worldwide Finance, LLC., Term Loan B-1
3.500%, 10/26/20	0.4%
IHeart Communications, Term Loan D Extended
6.944%, 01/30/19	0.4%
Dubai World
2.000%, 09/30/18	0.4%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 13

fund overview (Unaudited)

September 30, 2015

City National Rochdale Multi-Asset Fund

 

The Fund seeks to generate a positive total return in excess of inflation in a manner consistent with capital preservation in all market environments by investing all or a principal portion of its assets in other mutual funds or exchange-traded funds.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Multi-Asset Fund, Servicing Class Shares, versus the BofA Merrill Lynch 3-Month U.S. Treasury Index and a 40/60 hybrid of the following two indexes: the MSCI World Index and Barclays Intermediate U.S. Government/Credit Bond Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmarks do not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	Inception to Date
Servicing Class*(1)^	CNIIX	-3.59%	1.55%	1.86%	1.16%
Class N(1)	CNIAX	-3.84%	1.29%	1.62%	0.91%
BofA Merrill Lynch U.S. 3-Month U.S. Treasury Index	n/a	0.02%	0.06%	0.08%	0.47%
40/60 hybrid of the following two indexes:	n/a	-0.34%	4.37%	4.94%	3.49%
MSCI World Index (net)	n/a	-5.09%	8.58%	8.29%	1.63%
Barclays Intermediate U.S. Government/Credit Bond Index	n/a	2.68%	1.45%	2.42%	4.09%

 

 

Top Ten Holdings*
% OF PORTFOLIO
iShares 7-10 Year Treasury Bond ETF	16.7%
Vanguard Short-Term Bond Index Fund	8.2%
iShares Russell 3000 Index Fund	5.5%
iShares S&P MidCap 400 Index Fund	4.6%
Ashmore Emerging Markets Corporate Debt Fund	4.5%
SPDR S&P Dividend	4.5%
iShares MSCI World ETF	3.9%
DoubleLine Total Return Bond Fund	3.6%
Voya Global Real Estate Fund	3.5%
Oppenheimer Senior Floating Rate Fund	3.4%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 14

investment adviser’s report (Unaudited)

September 30, 2015

Equity Funds

 

Dividend & Income Fund - RIMHX

 

The Fund posted a return of -1.63% for Q3, underperforming the blended benchmark’s (Dow Jones U.S. Selected Dividend Index: 60%; BofA Merrill Lynch Core Fixed Rate Preferred Securities Index: 25%; MSCI U.S. REIT Index: 15%) return of -0.45% by 118 basis points. Calendar year to date, as of September 30, 2015, the Fund delivered a return of -4.08%, lagging the blended benchmark’s -2.97% return by 111 basis points. For the fiscal year ended September 30, 2015, the Class N shares of the Fund generated a 0.53% return, underperforming the benchmark’s return of 4.78% by 425 basis points.

 

During the most recent quarter, the Fund’s exposure to Consumer Staples stocks helped insulate performance against the periods of elevated market volatility. Companies in the portfolio continued to perform well operationally and provided solid guidance, offering confidence in forward looking dividend growth potential. The Fund’s exposure to the pipeline Master Limited Partnership (MLP) segment was a headwind during Q3 and year-to-date 2015, as many of these securities declined heavily following weak energy markets. In addition, the positive performance of preferred stocks, up 4.38% in the year-to-date period and up 2.32% in the quarter, had a strong positive impact on the blended benchmark and hurt the Fund’s relative performance.

 

U.S. Core Equity Fund – CNRUX

 

The Institutional Class Shares of the Fund posted a return of -6.12% for Q3, outpacing the S&P 500 Index’s return of -6.44% by 32 basis points. Calendar year to date, as of September 30, 2015, the Fund delivered a return of -1.69%, 360 basis points ahead of the S&P 500 Index’s return of -5.29%. For the fiscal year ended September 30, 2015, the Institutional Class Shares of the Fund has returned 1.79%, versus -0.61% for the S&P 500 Index.

 

In terms of performance attribution, the Fund has generally remained positioned with domestic, defensive stocks with highly visible earnings and growth and mid cap tilts. Returns outpaced the benchmark in three of the last four quarters. Information Technology (+173 bps), Health Care (+80 bps) and Consumer Staples (+62 bps) were the top contributing sectors for the year. During the most recent quarter, performance was pressured by Financial stocks which tend to be more reliant on rising rate environment and overweight in Industrial stocks due to cyclical exposure with global growth concerns from China. As of the end of Q3, the Fund was overweight Consumer Discretionary, Industrials, and Utilities sectors, and underweight Materials, Financials, and Consumer Staples.

 

Socially Responsible Equity Fund – AHSRX

 

The Institutional Class Shares of the Fund posted a return of -10.02% for Q3, trailing the MSCI KLD 400 Social Index’s return of -6.31%. Calendar year to date, as of September 30, 2015, the Fund delivered a return of -10.2%, lagging the benchmark’s -6.00% return by 420 basis points. For the fiscal year ended September 30, 2015, the Institutional Class Shares of the Fund returned -7.70% versus -1.40% for the MSCI KLD 400 Social Index (net).

 

Much of the Fund’s underperformance is due to a significant overweight to the Energy sector, which has declined almost 33% within the benchmark over the last 12 months. The strategy generally maintains more of a value orientation than the benchmark, which can cause increased style variability when measuring relative performance. A significant underweight to Consumer Discretionary stocks has also been a material headwind, as this has been the benchmark’s best performing sector over the course of the last year.

 

EMERGING MARKETS FUND – RIMIX

 

The Fund posted negative returns of -13.90% for Q3 though, outperforming the MSCI Emerging Markets Index and the MSCI Emerging Markets Asia Index returns of 17.90% and -17.01%, respectively. During the current calendar year through September 30, the fund returned -9.93%, compared with -15.47% and -12.81% for the MSCI Emerging Markets Index and the MSCI Emerging Markets Asia Index, respectively. For the fiscal year ended September 30, 2015, the Fund outperformed its benchmarks, with a total return of -8.74%, compared to a -19.28% return for the MSCI Emerging Markets Index (net) and -13.05% for the MSCI Emerging Markets Asia Index (net).

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 15

investment adviser’s report (Unaudited)

September 30, 2015

Equity Funds (continued)

 

Emerging markets experienced increased volatility in the past year over Fed rate hike concerns and with the uncertainties over economic slowdown in China. The Fund’s disciplined investment strategy based on bottom up stock picking and its bias on domestic consumption themes remained intact. The relative resilience in the region’s consumption growth and the Fund’s quality of stock selection are underscored by the attractive downside capture ratios of 53.48% and 74.83% compared against the MSCI Emerging Markets Index and the MSCI Emerging Markets Asia Index, respectively.

 

Following the significant rally in China equities at the start of the second quarter of this calendar year, the Fund’s cash holdings were raised and the cash was subsequently deployed through the Q3 2015 market correction period. Thus, with the active management of cash balances, cash was the primary performance attribution factor in Q3 2015. The Fund’s relative underweight positions in Financials and Information technology helped, while sharp stock-specific corrections in a few of the Fund’s larger consumer space holdings detracted from performance during the quarter. The Fund’s exposure in all the countries, except Indonesia, contributed positively; while not being in South Korea hurt performance. The manager’s long term outlook and investment thesis remain unaltered.

 

This material represents the managers’ assessment of the portfolios and market environment at a specific point in time and should not be relied upon by the reader as research or investment advice.

 

Performance data quoted represents past performance and does not guarantee similar future results. The investment performance 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, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-888-889-0799.

 

Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index.

 

The Dividend and Income Fund’s, U.S. Core Equity Fund’s, Socially Responsible Equity Fund’s, and Emerging Markets Fund’s investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be lower. The Adviser intends to continue these arrangements at least through January 31, 2016 but there can be no assurance that City National Rochdale, LLC will continue to waive fees. After January 31, 2016, City National Rochdale, LLC intends to discontinue the voluntary fee waivers for the Dividend & Income Fund, U.S. Core Equity Fund and Emerging Markets Fund.

 

The Socially Responsible Equity Fund’s investment performance reflects contractual fee waivers in effect. Absent these waivers, total return and yield would be lower. Waivers are in effect until January 31, 2016.

 

Mutual fund investing involves risk including lose of principal. Bonds and bond funds are subject to interest rate risk and will decline in value as interest rates rise. The securities of mid-cap companies may have greater price volatility and less liquidity than the securities of larger capitalized companies. Emerging markets involve heightened risk related to the same factors as well as increased volatility and lower trading volume.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 16

fund overview (Unaudited)

September 30, 2015

City National Rochdale Dividend & Income Fund

 

The Fund seeks to provide significant income and, as a secondary focus, long-term capital appreciation, by investing primarily in income-generating securities, principally comprised of dividend-paying equity securities.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Dividend & Income Fund, versus the S&P 500 Index and the 60/25/15 Hybrid of the following 3 Indexes: Dow Jones U.S. Select Dividend Index, BofA ML Core Fixed Rate Preferred Securities Index and MSCI U.S. REIT Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmarks do not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Class N(1)	RIMHX	0.53%	8.26%	9.97%	6.93%
S&P 500 Index	n/a	-0.61%	12.40%	13.34%	6.80%
60/25/15 Hybrid of the following 3 Indexes:	n/a	4.78%	10.18%	11.61%	5.91%
Dow Jones U.S. Select Dividend Index	n/a	2.24%	12.10%	13.45%	6.00%
BofA ML Core Fixed Rate Preferred Securities Index	n/a	7.60%	5.51%	6.48%	3.18%
MSCI U.S. REIT Index	n/a	9.47%	9.45%	11.95%	6.80%

 

 

Top Ten Holdings
% OF PORTFOLIO
Duke Energy	2.3%
Dr Pepper Snapple Group	2.2%
Philip Morris International	2.2%
Eli Lilly	2.2%
Lockheed Martin	2.1%
PowerShares Preferred Portfolio	2.1%
B&G Foods	2.0%
General Mills	2.0%
Clorox	2.0%
Lamar Advertising	1.9%

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 17

fund overview (Unaudited)

September 30, 2015

City National Rochdale U.S. Core Equity Fund

 

The Fund seeks to provide long-term capital appreciation by investing primarily in common stock of large and middle capitalization corporations domiciled in the United States.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale U.S. Core Equity Fund, Servicing Class Shares, versus the S&P 500 Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmark does not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	Inception to Date
Servicing Class*(1)^	CNRVX	1.48%	14.62%
Institutional Class(1)^^	CNRUX	1.79%	15.19%
Class N(1)	CNRWX	1.31%	14.34%
S&P 500 Index	n/a	-0.61%	13.93%

 

 

Top Ten Holdings
% OF PORTFOLIO
Apple	3.6%
CVS Health	3.1%
Visa	3.0%
Gilead Sciences	2.9%
Comcast	2.9%
Charles Schwab	2.9%
MasterCard	2.8%
PG&E	2.6%
Google, Cl A	2.5%
Home Depot	2.5%

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 18

fund overview (Unaudited)

September 30, 2015

City National Rochdale Socially Responsible Equity Fund

 

The Fund seeks to provide long-term capital growth by investing primarily in common stocks of U.S. issuers that meet certain socially responsible criteria.

 

 

Comparison of Change in the Value of a $1,000,000 Investment in the City National Rochdale Socially Responsible Equity Fund, Institutional Class Shares, versus the MSCI KLD 400 Social Index and the Russell 1000 Value Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmarks do not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	5-Year Return	10-Year Return
Institutional Class*(1)^	AHSRX	-7.70%	8.59%	8.46%	3.93%
Class N(2)	AHRAX	-7.86%	8.34%	8.21%	3.67%
MSCI KLD 400 Social Index (net)	n/a	-1.40%	13.21%	12.91%	6.81%
Russell 1000 Value Index	n/a	-4.42%	11.59%	12.29%	5.71%

 

 

Top Ten Holdings*
% OF PORTFOLIO
Verizon Communications	3.3%
American International Group	3.1%
Symetra Financial	2.9%
Bank of America	2.9%
MetLife	2.8%
Eaton	2.7%
HCC Insurance Holdings	2.7%
Cisco Systems	2.6%
TE Connectivity	2.5%
IBM	2.5%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 19

fund overview (Unaudited)

September 30, 2015

City National Rochdale Emerging Markets Fund

 

The Fund seeks to provide long-term capital appreciation by investing primarily in the equity securities of companies that are operating principally in emerging market countries.

 

 

Comparison of Change in the Value of a $10,000 Investment in the City National Rochdale Emerging Markets Fund, Class N shares, versus the MSCI Emerging Markets Index and the MSCI Emerging Markets Asia Index⁽¹⁾

 

 

 

Past performance is no indication of future performance.

 

The Fund’s comparative benchmarks do not include the annual operating expenses incurred by the Fund. Please note that one cannot invest directly in an unmanaged index.

 

AVERAGE ANNUAL TOTAL RETURNS
Shares	Ticker Symbol	1-Year Return	3-Year Return	Inception to Date
Class N(1)	RIMIX	-8.74%	5.87%	9.78%
MSCI Emerging Markets Index (net)	n/a	-19.28%	-5.27%	-0.92%
MSCI Emerging Markets Asia Index (net)	n/a	-13.05%	-0.40%	3.35%

 

 

Top Ten Holdings*
% OF PORTFOLIO
Tencent Holdings	4.0%
Sunny Optical Technology Group	2.7%
NagaCorp	2.4%
ANTA Sports Products	2.3%
Great Wall Motor	2.3%
AAC Technologies Holdings	2.2%
HDFC Bank	2.1%
Cognizant Technology Solutions	2.0%
Ping An Insurance Group of China	1.9%
ZTE	1.9%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 20

schedule of investments

September 30, 2015

City National Rochdale Government Money Market Fund

 

 

---

Description		Face Amount (000)				Value (000)
U.S. Government Agency Obligations [71.3%]
FAMC DN
0.090%, 10/02/15(A)		$	49,000			$	49,000
0.200%, 12/01/15(A)			38,016				38,003
0.200%, 12/10/15(A)			16,000				15,994
0.195%, 12/15/15(A)			60,000				59,975
0.170%, 01/06/16(A)			50,000				49,977
FFCB
0.165%, 10/06/15(B)			80,000				80,014
0.153%, 10/11/15(B)			58,000				57,997
0.157%, 10/15/15(B)			50,000				49,996
0.145%, 10/16/15(B)			50,000				49,997
0.278%, 10/19/15(B)			50,000				50,031
FHLB
0.169%, 10/02/15(B)			50,000				50,000
0.151%, 10/13/15(B)			50,000				50,000
0.172%, 10/15/15(B)			20,000				20,000
0.170%, 10/16/15			50,000				50,000
0.158%, 10/18/15(B)			50,000				50,000
0.174%, 10/25/15(B)			65,000				65,002
0.190%, 11/17/15			50,000				49,998
0.154%, 12/02/15(A)			143,700				143,662
0.165%, 01/13/16(A)			100,000				99,952
0.270%, 02/05/16			37,700				37,693
FHLB DN
0.122%, 10/07/15(A)			136,988				136,985
0.156%, 10/09/15			40,000				39,999
0.095%, 10/14/15(A)			21,600				21,599
0.125%, 10/16/15(A)			50,000				49,997
0.080%, 10/21/15(A)			118,645				118,639
0.012%, 10/28/15(A)			20,200				20,198
0.020%, 11/02/15(A)			14,000				13,999
0.170%, 11/03/15(A)			100,000				99,984
0.153%, 11/04/15(A)			158,322				158,299
0.166%, 11/06/15(A)			75,000				74,988
0.138%, 11/13/15(A)			163,500				163,473
0.180%, 11/16/15(A)			54,600				54,587
0.133%, 11/18/15(A)			161,000				160,972
0.100%, 11/20/15(A)			100,000				99,986
0.185%, 11/25/15(A)			80,000				79,977
0.192%, 11/27/15			50,000				49,985
0.172%, 12/04/15			23,493				23,486

0.100%, 12/08/15(A)			9,300				9,298
0.215%, 12/11/15(A)			55,600				55,577
0.175%, 12/18/15			62,000				61,977
0.280%, 02/12/16(A)			40,000				39,958
0.300%, 02/17/16(A)			30,000				29,965
FHLMC
0.165%, 10/16/15(B)			50,000				50,000
FNMA
4.375%, 10/15/15			14,000				14,023
0.375%, 12/21/15			24,115				24,127
0.500%, 03/30/16			35,203				35,228
Total U.S. Government Agency Obligations
(Cost $2,804,597)							2,804,597
Municipal Bonds [6.6%]
California [1.7%]
ABAG Finance Authority for Nonprofit, Miramar Apartments Project, Ser A, RB, FNMA, AMT
0.020%, 10/01/15(B) (D)			14,800				14,800
Anaheim, Housing Authority, Sea Wind Apartments Project, Ser C, RB, FNMA, AMT
0.030%, 10/01/15(B) (D)			6,300				6,300
California Statewide, Communities Development Authority, Fairway Family Apartments Project, Ser PP, RB, FNMA, AMT
0.020%, 10/01/15(B) (D)			8,000				8,000
Los Angeles, Community Redevelopment Agency, Hollywood and Vine Apartments Project, Ser A, RB, FNMA, AMT
0.020%, 10/01/15(B) (D)			28,450				28,450
Sacramento County, Housing Authority, Ashford Heights Apartments Project, Ser H, RB, FNMA, AMT
0.030%, 10/01/15(B) (D)			9,000				9,000
Total California							66,550
Florida [0.1%]
Duval County, Housing Finance Authority, Camri Green Apartments Project, RB, FNMA, AMT
0.040%, 10/01/15(B) (D)			6,400				6,400

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 21

schedule of investments

September 30, 2015

City National Rochdale Government Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
New York [3.7%]
New York State, Housing Development Authority, 26th Street Development Project, Ser A, RB, FHLMC
0.010%, 10/01/15(B) (D)		$	13,500			$	13,500
New York State, Housing Development Authority, 26th Street Development Project, Ser A, RB, FHLMC, AMT
0.010%, 10/01/15(B) (D)			9,350				9,350
New York State, Housing Finance Agency, 345 East 94th Street Project, Ser A, RB, FHLMC, AMT
0.020%, 10/07/15(B) (D)			13,300				13,300
New York State, Housing Finance Agency, 360 West 43rd Street Project, Ser A, RB, FNMA, AMT
0.020%, 10/07/15(B) (D)			18,100				18,100
New York State, Housing Finance Agency, 360 West 43rd Street Project, Ser A, RB, FNMA, AMT
0.020%, 10/07/15(B) (D)			23,800				23,800
New York State, Housing Finance Agency, 750 6th Avenue Project, Ser A, RB, FNMA, AMT
0.020%, 10/07/15(B) (D)			7,500				7,500
New York State, Housing Finance Agency, East 84th Street Project, Ser A, RB, FNMA, AMT
0.020%, 10/07/15(B) (D)			15,000				15,000
New York State, Housing Finance Agency, Victory Housing Project, Ser 2004-A, RB, FHLMC, AMT
0.020%, 10/07/15(B) (D)			25,500				25,500
New York State, Housing Finance Agency, West 38th Street Project, Ser A, RB, FNMA, AMT
0.020%, 10/07/15(B) (D)			20,000				20,000
Total New York							146,050
Texas [0.7%]
Houston, Housing Finance, Regency Park Apartments Project, RB, FNMA, AMT
0.040%, 10/07/15(B) (D)			13,395				13,395
Texas State, Department of Housing & Community Affairs, Idlewilde Apartments Project, RB, FNMA, AMT
0.040%, 10/01/15(B) (D)			13,390				13,390
Total Texas							26,785
Washington [0.4%]
Washington State, Housing Finance Commission, Vintage Spokane Project, Ser A, RB, FNMA, AMT
0.030%, 10/01/15(B) (D)			16,295				16,295
Total Municipal Bonds
(Cost $262,080)							262,080
U.S. Treasury Obligations [4.1%]
U.S. Treasury Notes
0.084%, 10/06/15(B)			130,000				130,004
0.060%, 10/06/15(B)			30,000				29,999
Total U.S. Treasury Obligations
(Cost $160,003)							160,003
Repurchase Agreements [9.9%]
Barclays (C)
0.100%, dated 09/30/15, repurchased on 10/01/15, repurchase price $47,000,131 (collateralized by various U.S. Government obligations, par values ranging from $8 to $37,200,000, 0.625% - 9.000%, 10/01/15 to 02/15/25; with a total market value $47,813,143)			47,000				47,000
Wells Fargo (C)
0.140%, dated 09/30/15, repurchased on 10/01/15, repurchase price $343,001,334 (collateralized by various U.S. Government obligations, par values ranging from $1,000 to $163,000,000, 3.500% - 6.000%, 09/20/29 to 09/20/45; with a total market value $348,903,291)			343,000				343,000
Total Repurchase Agreements
(Cost $390,000)							390,000

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 22

schedule of investments

September 30, 2015

City National Rochdale Government Money Market Fund (concluded)

 

Description		Shares				Value (000)
Short-Term Investment [8.1%]
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 0.050%**			318,950,180			$	318,950
Total Short-Term Investment
(Cost $318,950)							318,950
Total Investments [100.0%]
(Cost $3,935,630)						$	3,935,630

 

Percentages are based on Net Assets of $3,935,556 (000).

 

 

ABAG — Association of Bay Area Governments

AMT — Alternative Minimum Tax (subject to)

DN — Discount Note

FAMC — Federal Agriculture Mortgage Corporation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

RB — Revenue Bond

Ser — Series

 

The following is a list of the level of inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
U.S. Government Agency Obligations		$	—			$	2,804,597			$	—			$	2,804,597
Municipal Bonds			—				262,080				—				262,080
U.S. Treasury Obligations			—				160,003				—				160,003
Repurchase Agreements			—				390,000				—				390,000
Short-Term Investment			318,950				—				—				318,950
Total Investments in Securities		$	318,950			$	3,616,680			$	—			$	3,935,630

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 23

schedule of investments

September 30, 2015

City National Rochdale Prime Money Market Fund

 

Description		Face Amount (000)				Value (000)
Commercial Paper [64.1%]
Banks [25.4%]
ANZ New Zealand International (A) (B)
0.390%, 01/05/16		$	30,000			$	29,969
Bank of Nova Scotia (A) (B)
0.230%, 10/26/15			30,000				29,995
Bank of Tokyo-Mitsubishi UFJ NY (B)
0.190%, 10/23/15			30,000				29,997
Barclays Bank (B)
0.330%, 11/27/15			30,000				29,984
BNP Paribas Fortis (B)
0.270%, 11/06/15			20,000				19,995
Macquarie Bank (A) (B)
0.390%, 10/16/15			30,000				29,995
National Australia Bank (A) (B)
0.260%, 10/13/15			10,000				9,999
0.150%, 10/26/15			20,000				19,998
Standard Chartered Bank (A) (B)
0.300%, 12/01/15			30,000				29,985
Sumitomo Mitsui Banking (A) (B)
0.300%, 11/12/15			30,000				29,989
Total Banks							259,906
Consumer Staples [2.9%]
Wal-Mart Stores (A) (B)
0.120%, 10/23/15			30,000				29,998
Financial Services [22.2%]
Allianz Finance (A) (B)
0.300%, 11/02/15			20,200				20,194
ASB Finance (A) (B)
0.280%, 10/01/15			20,000				20,000
AXA Financial (A) (B)
0.220%, 10/08/15			30,000				29,999
Caisse Centrale Desjardins (A) (B)
0.220%, 11/23/15			30,000				29,990
Collateralized Commercial Paper (B)
0.450%, 02/01/16			15,000				14,977
0.520%, 03/07/16			15,000				14,966
General Electric Capital (B)
0.380%, 11/10/15			10,000				9,996
John Deere Financial Canada ULC (A) (B)
0.190%, 10/13/15			27,250				27,248
National Securities Clearing (A) (B)
0.100%, 10/05/15			30,000				30,000
Toyota Motor Credit (B)
0.170%, 10/15/15			30,000				29,998
Total Financial Services							227,368
Foreign Agency Obligation [2.9%]
Korea Development Bank NY (B)
0.270%, 12/03/15			30,000				29,986
Medical - HMO [2.9%]
UnitedHealth Group (A) (B)
0.220%, 10/01/15			30,000				30,000
Pharmaceuticals [5.9%]
Abbott Laboratories (A) (B)
0.150%, 10/20/15			30,000				29,998
AstraZeneca (A) (B)
0.190%, 10/19/15			30,000				29,997
Total Pharmaceuticals							59,995
University [1.9%]
University of California
0.110%, 10/08/15(B)			19,000				18,999
Total Commercial Paper
(Cost $656,252)							656,252
Certificates of Deposit [11.2%]
Banco Del Estado De Chile
0.490%, 03/02/16			30,000				30,000
Bank of America
0.330%, 12/01/15			30,000				30,000
Mizuho Bank
0.270%, 10/05/15			30,000				30,000

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 24

schedule of investments

September 30, 2015

City National Rochdale Prime Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
National Bank of Canada NY
0.416%, 10/13/15		$	5,000			$	4,999
Norinchukin Bank
0.260%, 10/05/15			20,000				20,000
Total Certificates of Deposit
(Cost $114,999)							114,999
U.S. Treasury Obligation [1.9%]
U.S. Treasury Note
0.500%, 06/30/16			20,000				20,025
Total U.S. Treasury Obligation
(Cost $20,025)							20,025
Municipal Bond [1.5%]
California [1.5%]
Southern California, Metropolitan Water District, Ser B-3, RB
0.010%, 10/01/15(C)			15,000				15,000
Total Municipal Bond
(Cost $15,000)							15,000
U.S. Government Agency Obligation [1.5%]
FFCB
0.155%, 10/06/15(C)			15,000				15,002
Total U.S. Government Agency Obligation
(Cost $15,002)							15,002
Corporate Bond [0.5%]
Financial Services [0.5%]
General Electric Capital, MTN
0.512%, 11/11/15			5,000				5,004
Total Corporate Bond
(Cost $5,004)							5,004

 

Description		Face Amount (000)/Shares				Value (000)
Repurchase Agreements [18.1%]
Barclays (D)
0.100%, dated 09/30/15, repurchased on 10/01/15, repurchase price $3,000,008 (collateralized by various U.S. Government Agency obligations, par values ranging from $39,300 to $2,412,800, 0.000% - 1.000%, 12/10/15 to 06/30/19; with a total market value of $3,059,968)		$	3,000			$	3,000
Goldman Sachs (D)
0.110%, dated 09/30/15, repurchased on 10/01/15, repurchase price $125,000,382 (collateralized by various U.S. Government Agency obligations, par values ranging from $5,000 to $74,800,000, 0.178% - 1.840%, 10/09/15 to 04/08/20; with a total market value of $127,111,534)			125,000				125,000
Wells Fargo (D)
0.140%, dated 09/30/15, repurchased on 10/01/15, repurchase price $57,000,222 (collateralized by various U.S. Government Agency obligations, par values ranging from $7,760,858 to $47,000,000, 3.500% - 4.000%, 07/01/45 to 10/01/45; with a total market value of $57,999,930)			57,000				57,000
Total Repurchase Agreements
(Cost $185,000)							185,000
Short-Term Investment [1.2%]
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.030%**			12,826,661				12,827
Total Short-Term Investment
(Cost $12,827)							12,827
Total Investments [100.0%]
(Cost $1,024,109)						$	1,024,109

 

Percentages are based on Net Assets of $1,023,952 (000).

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 25

schedule of investments

September 30, 2015

City National Rochdale Prime Money Market Fund (concluded)

 

 

Cl — Class

FFCB — Federal Farm Credit Bank

MTN — Medium Term Note

NY — New York

RB — Revenue Bond

Ser — Series

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Commercial Paper		$	—			$	656,252			$	—			$	656,252
Certificates of Deposit			—				114,999				—				114,999
U.S. Treasury Obligation			—				20,025				—				20,025
Municipal Bond			—				15,000				—				15,000
U.S. Government Agency Obligation			—				15,002				—				15,002
Corporate Bond			—				5,004				—				5,004
Repurchase Agreements			—				185,000				—				185,000
Short-Term Investment			12,827				—				—				12,827
Total Investments in Securities		$	12,827			$	1,011,282			$	—			$	1,024,109

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 26

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund

 

Description		Face Amount (000)				Value (000)
Municipal Bonds [85.4%]
Arizona [0.9%]
Maricopa County, Industrial Development Authority, Ser A, RB, FNMA, AMT
0.040%, 10/01/15(A) (B)		$	7,715			$	7,715
California [78.5%]
Abag, Finance Authority for Nonprofit, Ser C, RB
0.010%, 10/07/15(A) (B) (C)			1,300				1,300
Alameda County Joint Powers Authority, Ser 2927Z, RB, AGM
0.010%, 10/01/15(B) (D)			3,490				3,490
Bay Area Toll Authority, RB
0.010%, 10/01/15(A) (B) (C)			4,975				4,975
Bay Area Toll Authority, Ser A-2, RB
0.010%, 10/01/15(A) (B) (C)			6,000				6,000
Bay Area Toll Authority, Ser C-1, RB
0.010%, 10/01/15(A) (B) (C)			6,700				6,700
Bay Area Toll Authority, Ser C-2, RB
0.010%, 10/01/15(A) (B) (C)			9,000				9,000
Bay Area Toll Authority, Ser E-1, RB
0.060%, 10/01/15(A) (B)			1,900				1,900
Bay Area Toll Authority, Ser F, RB
Pre-Refunded @ 100
5.000%, 04/01/16(E)			890				911
Bay Area Toll Authority, Ser F, RB
Pre-Refunded @ 100
5.000%, 04/01/16(E)			605				619
Bay Area Toll Authority, Ser F, RB
Pre-Refunded @ 100
5.000%, 04/01/16(E)			550				563
Bay Area Toll Authority, Ser F, RB
Pre-Refunded @ 100
5.000%, 04/01/22(E)			115				118
Big Bear Lake California, Southwest Gas Corporation Project, Ser A, RB, AMT
0.020%, 10/07/15(A) (B) (C)			16,000				16,000
California State, Economic Recovery Project, Ser A, GO
Pre-Refunded @ 100
5.000%, 07/01/22(E)			1,655				1,714
California State, Educational Facilities Authority, Stanford University Project, Ser L-4, RB
0.010%, 10/07/15(B)			1,075				1,075
California State, Educational Facilities Authority, Stanford University Project, Ser L-5, RB
0.010%, 10/07/15(A) (B)			100				100
California State, Educational Facilities Authority, Stanford University Project, Ser L-6, RB
0.010%, 10/07/15(A) (B)			400				400
California State, Educational Facilities Authority, Stanford University Project, Ser L-7, RB
0.010%, 10/07/15(A) (B)			1,200				1,200
California State, GO
4.000%, 02/01/16			10,500				10,637
California State, Health Facilities Financing Authority, Adventis Health System Project, Ser A, RB
0.010%, 10/01/15(A) (B) (C)			8,600				8,600
California State, Health Facilities Financing Authority, Adventis Health System Project, Ser B, RB
0.010%, 10/01/15(A) (B) (C)			2,680				2,680

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 27

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
California State, Health Facilities Financing Authority, Catholic Health Care Project, Ser H, RB
0.010%, 10/07/15(A) (B) (C)		$	3,500			$	3,500
California State, Health Facilities Financing Authority, Catholic Healthcare Project, Ser C, RB, NATL
0.130%, 10/07/15(A) (B) (C)			2,100				2,100
California State, Health Facilities Financing Authority, Catholic Healthcare Project, Ser H, RB
0.010%, 10/07/15(A) (B) (C)			800				800
California State, Health Facilities Financing Authority, Catholic Healthcare Project, Ser K, RB
0.010%, 10/07/15(A) (B) (C)			5,000				5,000
California State, Health Facilities Financing Authority, Health Facility Catholic Project, Ser I, RB
0.010%, 10/07/15(A) (B) (C)			100				100
California State, Health Facilities Financing Authority, Kaiser Permanente Project, Ser C, RB
0.010%, 10/07/15(A) (B)			7,700				7,700
California State, Health Facilities Financing Authority, Ser B, RB
0.010%, 10/01/15(A) (B) (C)			600				600
California State, Health Facilities Financing Authority, Ser B, RB
0.010%, 10/07/15(A) (B) (C)			1,960				1,960
California State, Health Facilities Financing Authority, St. Joseph Health System Project, Ser B, RB
0.010%, 10/01/15(A) (B) (C)			3,700				3,700
California State, Health Facilities Financing Authority, St. Joseph Health System Project, Ser C, RB
0.010%, 10/01/15(B) (C)			100				100
California State, Health Facilities Financing Authority, Stanford Hospital Project, Ser B-1, RB
0.010%, 10/07/15(A) (B)			10,000				10,000
California State, Infrastructure & Economic Development Bank, RB
0.060%, 10/01/15(A) (B) (C)			6,245				6,245
California State, Infrastructure & Economic Development Bank, Museum of Nautral History Foundation Project, Ser A, RB
0.010%, 10/01/15(A) (B) (C)			630				630
California State, Infrastructure & Economic Development Bank, Ser A-1, RB
4.000%, 10/01/15			1,400				1,400
California State, Kindergarten Project, GO
0.010%, 10/01/15(A) (B) (C)			7,900				7,900
California State, Kindergarten Project, Ser A-1, GO
0.010%, 10/01/15(A) (B) (C)			3,100				3,100
California State, Kindergarten Project, Ser A-2, GO
0.010%, 10/01/15(A) (B) (C)			10,545				10,545
California State, Kindergarten Project, Ser A-3, GO
0.010%, 10/01/15(A) (B) (C)			1,000				1,000
California State, Kindergarten Project, Ser A5, GO
0.010%, 10/01/15(A) (B) (C)			4,000				4,000
California State, Kindergarten Project, Ser B-1, GO
0.010%, 10/01/15(A) (B) (C)			4,100				4,100
California State, Kindergarten Project, Ser B-2, GO
0.010%, 10/01/15(A) (B) (C)			1,835				1,835
California State, Kindergarten Project, Ser B-3, GO
0.010%, 10/01/15(A) (B) (C)			1,055				1,055
California State, Kindergarten Project, Ser B-4, GO
0.010%, 10/01/15(A) (B) (C)			700				700
California State, Kindergarten Project, Ser B-5, GO
0.010%, 10/01/15(A) (B) (C)			500				500
California State, Kindergarten Project, Ser B-6, GO
0.010%, 10/01/15(A) (B) (C)			500				500
California State, Municipal Finance Authority, Cheveron USA Recovery Zone Project, Ser B-5, RB
0.010%, 10/07/15(A) (B) (C)			21,000				21,000

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 28

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
California State, Municipal Finance Authority, Chevron USA Recovery Zone Project, RB
0.010%, 10/01/15(A) (B)		$	400			$	400
California State, Municipal Finance Authority, Chevron USA Recovery Zone Project, Ser B, RB
0.010%, 10/01/15(A) (B)			950				950
California State, Public Works Board, Ser F, RB, ETM
4.000%, 10/01/15			100				100
California State, Public Works Board, Ser J, RB
Pre-Refunded @ 100
5.000%, 01/01/17(E)			100				101
California State, Public Works Board, University of California Projects, Ser L, RB, NATL
Pre-Refunded @ 100
5.250%, 11/01/15(E)			1,000				1,004
California State, Ser 2813, GO
0.080%, 10/01/15(A) (B) (D)			8,000				8,000
California State, Ser A-2, GO
0.010%, 10/01/15(A) (B) (C)			400				400
California State, Ser B-1, GO
0.010%, 10/07/15(A) (B) (C)			21,000				21,000
California State, Ser B-4, GO
0.010%, 10/07/15(A) (B) (C)			1,500				1,500
California State, Ser C-1, GO
0.010%, 10/01/15(A) (B) (C)			250				250
California State, University, Ser C, RB, NATL
Pre-Refunded @ 100
5.000%, 11/01/15(E)			155				156
California State, University, Ser C, RB, NATL
Pre-Refunded @ 100
5.000%, 11/01/15(E)			660				663
California State, University, Ser C, RB, NATL
Pre-Refunded @ 100
5.000%, 11/01/15(E)			265				266
California State, University, Ser C, RB, NATL
Pre-Refunded @ 100
5.000%, 11/01/15(E)			250				251
California Statewide, Communities Development Authority, John Muir Health Project, Ser A, RB
0.010%, 10/01/15(A) (B) (C)			2,075				2,075
California Statewide, Communities Development Authority, John Muir Health Project, Ser C, RB
0.010%, 10/01/15(A) (B) (C)			600				600
California Statewide, Communities Development Authority, Kaiser Permanente Project, Ser B, RB
0.010%, 10/07/15(A) (B)			7,100				7,100
California Statewide, Communities Development Authority, Kaiser Permanente Project, Ser D, RB
0.010%, 10/07/15(A) (B)			18,000				18,000
California Statewide, Communities Development Authority, RB, AMT
0.080%, 10/07/15(A) (B) (C)			150				150
California Statewide, Communities Development Authority, Ser A, RB
0.010%, 10/07/15(B) (C)			100				100
California Statewide, Communities Development Authority, Ser A, RB, AMT
0.080%, 10/07/15(A) (B) (C)			535				535
California Statewide, Communities Development Authority, Ser S, RB, AMT
0.030%, 10/01/15(A) (B) (C)			1,500				1,500
Contra Costa, Water District, Ser B, RB, ETM
5.000%, 10/01/15			1,300				1,300
Contra County, Housing & Finance Authority, Multi-Family Housing Project, Ser B, RB
0.070%, 10/07/15			9,900				9,900
County of Santa Cruz California, GO
2.000%, 06/30/16			5,000				5,063
County of Ventura California, GO
2.000%, 07/01/16			15,000				15,193
East Bay, Municipal Utility District Water System Revenue, Ser A-2, RB
0.010%, 10/07/15(A) (B)			2,990				2,990

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 29

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
East Bay, Municipal Utility District Water System Revenue, Ser A-4, RB
0.010%, 10/07/15(A) (B)		$	100			$	100
East Bay, Municipal Utility District Water System Revenue, Ser B, RB
5.000%, 06/01/16			135				139
East Bay, Municipal Utility District, Ser A-3, RB
0.010%, 10/07/15(A) (B)			150				150
Eastern Municipal Water District, Ser A, RB
0.060%, 10/01/15(A) (B)			7,500				7,500
Eastern Municipal Water District, Ser C, COP
0.010%, 10/07/15(A) (B)			8,475				8,475
Elsinore Valley, Municipal Water District, Ser A, COP
0.030%, 10/07/15(A) (B) (C)			3,040				3,040
Elsinore Valley, Municipal Water District, Ser B, COP
0.030%, 10/07/15(A) (B) (C)			9,000				9,000
Hayward, Unified School District, GO
Pre-Refunded @ 100
5.000%, 08/01/33(E)			225				234
Irvine Ranch, Water District, SAB
0.010%, 10/01/15(A) (B) (C)			5,800				5,800
Irvine Ranch, Water District, Ser A, SAB
0.010%, 10/01/15(A) (B) (C)			1,635				1,635
Irvine Ranch, Water District, Ser B, SAB
0.010%, 10/01/15(A) (B) (C)			9,145				9,145
Irvine, Unified School District, SPL Tax
0.010%, 10/01/15(A) (B) (C)			500				500
Irvine, Unified School District, SPL Tax
0.010%, 10/01/15(A) (B) (C)			4,710				4,710
Irvine, Unified School District, Ser A, SPL Tax
0.010%, 10/01/15(A) (B) (C)			200				200
Irvine, Unified School District, Ser B, SPL Tax
0.010%, 10/07/15(A) (B) (C)			5,220				5,220
JPMorgan Chase Putters, Ser 3365, RB
0.030%, 10/01/15(B) (D) (G)			7,730				7,730
JPMorgan Chase Putters, Ser 3962, RB
0.030%, 10/01/15(B) (D) (G)			4,345				4,345
JPMorgan Chase Putters, Ser 3969, RB
0.030%, 10/01/15(B) (D) (G)			5,000				5,000
JPM Chase Putters, Ser 2015-ZF0159, GO
0.030%, 10/01/15(B) (D) (G)			7,500				7,500
JPM Chase Putters, Ser 2015-ZF0162, RB
0.030%, 10/01/15(B) (D) (G)			1,625				1,625
JPM Chase Putters, Ser 2015-ZF0177, RB
0.030%, 10/01/15(B) (D) (G)			1,410				1,410
JPM Chase Putters, Ser 2015-ZF0178, RB
0.030%, 10/01/15(B) (D) (G)			500				500
JPM Chase Putters, Ser 2015-ZF0179, GO
0.030%, 10/01/15(B) (D) (G)			3,050				3,050
JPM Chase Putters, Ser 2015-ZF0181, RB
0.030%, 10/01/15(B) (D) (G)			6,750				6,750
JPM Chase Putters, Ser 2015-ZF0182, RB
0.030%, 10/01/15(B) (D) (G)			3,000				3,000
JPM Chase Putters, Ser 2015-ZF0187, RB
0.030%, 10/01/15(B) (D) (G)			4,605				4,605
JPM Chase Putters, Ser 2015-ZF0188, RB
0.030%, 10/01/15(B) (D) (G)			1,385				1,385
JPM Chase Putters, Ser 2015-ZF0243, RB
0.030%, 10/01/15(B) (D) (G)			2,920				2,920
JPM Chase Putters, Ser 2015-ZF0250, GO
0.050%, 10/01/15(B) (D) (G)			5,410				5,410

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 30

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
JPM Chase Putters, Ser ZF0190, RB
0.030%, 10/01/15(B) (D) (G)		$	1,835			$	1,835
Kern, Community College District, GO, AGM
Pre-Refunded @ 100
5.000%, 11/01/15(E)			400				402
Livermore, Ser A, COP
0.010%, 10/01/15(A) (B) (C)			3,000				3,000
Livermore, Ser B, COP
0.010%, 10/01/15(A) (B) (C)			6,410				6,410
Los Angeles County, TRAN
5.000%, 06/30/16			10,075				10,428
Los Angeles, Department of Water & Power, Ser A-1, RB
0.010%, 10/01/15(A) (B)			12,100				12,100
Los Angeles, Department of Water & Power, Ser B-4, RB
0.010%, 10/01/15(A) (B)			6,400				6,400
Los Angeles, Housing and Finance Authority, Multi-Family Housing Project, Various Loans to Lender Program, Ser A, RB, AMT
0.030%, 10/01/15(A) (B) (C)			2,359				2,359
Los Angeles, Unified School District, Ser A, GO, NATL
Pre-Refunded @ 100
5.000%, 07/01/18(E)			435				450
Los Angeles, Unified School District, Ser F, GO, FGIC
Pre-Refunded @ 100
5.000%, 07/01/19(E)			100				103
Los Angeles, Unified School District, Ser F, GO, FGIC
Pre-Refunded @ 100
5.000%, 07/01/30(E)			2,300				2,382
Los Angeles, Unified School District, Ser S, GO, FGIC
Pre-Refunded @ 100
5.000%, 07/01/18(E)			100				103
Los Angeles, Wastewater System Revenue, Ser B, RB
4.000%, 06/01/16			160				164
Los Angeles, Water & Power Resource Authority, Ser B-6, RB
0.010%, 10/01/15(A) (B)			15,200				15,200
Los Gatos-Saratoga, Joint High School District, GO
2.000%, 12/01/15			4,740				4,754
Metropolitan Water District of Southern California, Ser A-1, RB
0.040%, 10/01/15(A) (B)			15,000				15,000
Metropolitan Water District of Southern California, Ser A-2, RB
0.070%, 10/01/15(A) (B)			7,500				7,500
Metropolitan Water District of Southern California, Ser A-3, RB
0.040%, 10/01/15(B)			11,000				11,000
Metropolitan Water District of Southern California, Ser B, RB
4.000%, 07/01/16			200				205
Metropolitan Water District of Southern California, Ser B, RB
4.000%, 07/01/16			200				205
Metropolitan Water District of Southern California, Ser B, RB
4.000%, 07/01/16			175				180
Metropolitan Water District of Southern California, Ser C, RB
4.000%, 10/01/15			125				125
Metropolitan Water District of Southern California, Ser C, RB
5.000%, 07/01/16			275				285
Metropolitan Water District of Southern California, Ser D, RB
0.010%, 10/01/15(A) (B)			6,100				6,100
Monrovia, Unified School District, Ser A, GO, AGM
Pre-Refunded @ 100
5.000%, 08/01/31(E)			500				519
Monterey Peninsula, Water Management District, COP
0.030%, 10/01/15(A) (B) (C)			5,467				5,467
Orange County, Fire Authority, GO
2.000%, 06/30/16			7,000				7,088
Orange County, Municipal Improvement Authority, SAB
0.010%, 10/07/15(A) (B) (C)			7,213				7,213
Orange County, Water District Authority, Ser A, COP
0.010%, 10/07/15(A) (B) (C)			25,050				25,050

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 31

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
Pasadena, Unified School District, GO, AGM
Pre-Refunded @ 102
5.000%, 11/01/15(E)		$	500			$	512
Pasadena, Unified School District, GO, AGM
Pre-Refunded @ 102
5.000%, 11/01/15(E)			910				932
Pasadena, Unified School District, GO, AGM
Pre-Refunded @ 102
5.000%, 11/01/15(E)			300				307
Redondo Beach, Unified School District, Ser A, GO
Pre-Refunded @ 102
5.125%, 08/01/37(E)			150				159
Riverside County, RB, TRAN
2.000%, 06/30/16			6,000				6,076
Sacramento County, Sanitation Districts Financing Authority, RB, NATL
Pre-Refunded @ 100
4.750%, 12/01/15(E)			250				252
Sacramento County, Sanitation Districts Financing Authority, RB, NATL
Pre-Refunded @ 100
5.000%, 12/01/29(E)			650				671
Sacramento, Municipal Utility District, Sub-Ser L, RB
0.010%, 10/01/15(A) (B) (C)			2,685				2,685
San Bernardino County, Ser A, GO
2.000%, 06/30/16			7,000				7,090
San Bernardino, Community College District, Ser C, GO, AGM
Pre-Refunded @ 100
5.000%, 08/01/27(E)			125				130
San Diego County California, TRAN
2.000%, 06/30/16			1,500				1,520
San Diego County, Regional Transportation Commission, Ser A, RB
5.000%, 04/01/16			1,000				1,024
San Diego County, Regional Transportation Commission, Ser B, RB
0.010%, 10/01/15(A) (B)			280				280
San Diego County, Regional Transportation Commission, Ser C, RB
0.010%, 10/01/15(A) (B)			100				100
San Diego County, Regional Transportation Commission, Ser D, RB
0.010%, 10/01/15(A) (B)			12,540				12,540
San Francisco City & County, Airports Comm-San Francisco International Airport, Ser 36B-RMKT, RB
0.010%, 10/07/15(A) (B) (C)			600				600
San Francisco City & County, Airports Comm-San Francisco International Airport, Ser 37C-RMKT, RB
0.010%, 10/07/15(A) (B) (C)			17,000				17,000
San Francisco City & County, Public Utilities Commission Water Revenue, Ser B, RB, XLCA
5.000%, 11/01/15			500				502
San Francisco City & County, Redevelopment Agency, Ser C, RB, AMT
0.080%, 10/07/15(A) (B) (C)			800				800
San Francisco City & County, Ser B, RB
0.060%, 10/01/15(B) (C)			3,475				3,475
San Francisco, Public Utilities Commission Water Revenue, Ser A, RB, AGM
Pre-Refunded @ 100
4.750%, 05/01/16(E)			12,485				12,807
San Francisco, Public Utilities Commission Water Revenue, Ser A, RB, AGM
Pre-Refunded @ 100
4.500%, 05/01/16(E)			150				154
San Francisco, Public Utilities Commission Water Revenue, Ser A, RB, AGM
Pre-Refunded @ 100
5.000%, 11/01/19(E)			100				103
San Francisco, Public Utilities Commission Water Revenue, Ser A, RB, AGM
Pre-Refunded @ 100
5.000%, 11/01/23(E)			200				205
San Mateo, Joint Powers Financing Authority, Public Safety Project, Ser A, RB
0.030%, 10/01/15(A) (B) (C)			5,000				5,000

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 32

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
San Ramon Valley Unified School District, GO, NATL
Pre-Refunded @ 100
5.000%, 08/01/25(E)		$	100			$	104
Santa Clara Valley, Transportation Authority, Ser A, RB
0.010%, 10/01/15(A) (B)			7,600				7,600
Santa Clara Valley, Transportation Authority, Ser C, RB
0.010%, 10/01/15(A) (B)			540				540
Santa Clara Valley, Transportation Authority, Ser C, RB
0.010%, 10/01/15(A) (B)			7,300				7,300
Santa Clara Valley, Transportation Authority, Ser D, RB
0.010%, 10/01/15(A) (B)			10,000				10,000
South San Francisco Unified School District, Ser C, GO, ETM
0.400%, 06/01/16(F)			150				150
Southern California, Metropolitan Water District, Ser B-3, RB
0.010%, 10/01/15(A) (B)			1,600				1,600
Southern California, Public Power Authority, Magnolia Power Project, Ser A-1, RB
0.010%, 10/07/15(A) (B) (C)			11,045				11,045
Southern California, Public Power Authority, Ser A-2, RB
0.010%, 10/07/15(A) (B) (C)			100				100
State of California, Department of Water Resources, Ser AJ, RB
5.000%, 12/01/15			1,150				1,159
Tamalpais Unified High School District, GO, NATL
Pre-Refunded @ 100
5.000%, 08/01/29(E)			450				468
University of California, Ser AF, RB
5.000%, 05/15/16			1,000				1,029
University of California, Ser Z-1, RB
0.120%, 10/01/15(A) (B)			20,875				20,875
Ventura County, Public Financing Authority, Ser 2015-ZF2065, RB
0.060%, 10/01/15(A) (B) (D)			5,630				5,630
Ventura County, Public Financing Authority, Ser 2015-ZF2066, RB
0.060%, 10/01/15(A) (B) (D)			5,685				5,685
West Covina, Public Financing Authority, Golf Course Project, Ser B, RB
0.020%, 10/07/15(A) (B) (C)			800				800
West Covina, Public Financing Authority, Ser A, RB
0.020%, 10/07/15(A) (B) (C)			300				300
West Valley-Mission Community College District, Ser A, GO, AGM
Pre-Refunded @ 100
5.000%, 08/01/26(E)			1,265				1,315
Total California							691,328
Connecticut [0.0%]
Hartford City, GO, AMBAC
Pre-Refunded @ 100
5.000%, 07/15/18(E)			100				104
Iowa [0.2%]
Iowa State, Finance Authority, Ser C, RB, GNMA/FNMA, AMT
0.020%, 10/01/15(A) (B)			1,200				1,200
New York [0.9%]
New York City, Refunding Project, Ser I-6, GO
0.010%, 10/01/15(A) (B) (C)			785				785
New York State, Dormitory Authority, Ser D, RB
Pre-Refunded @ 100
5.000%, 03/15/19(E)			100				104
New York State, Housing Finance Agency, Ser B, RB
0.110%, 10/07/15(A) (B) (C)			7,000				7,000
Total New York							7,889
Texas [0.1%]
JPMorgan Chase Putters, Ser 4302Z, RB
0.130%, 10/01/15(B) (D)			600				600
Lower Neches Valley, Industrial Development Authority, Exxon Mobil Project, RB
0.010%, 10/01/15(A) (B)			300				300

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 33

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (continued)

 

Description		Face Amount (000)				Value (000)
North Texas, Tollway Authority, Ser F, RB Pre-Refunded @ 100
6.125%, 01/01/31(E)		$	250			$	254
Total Texas							1,154
Utah [1.3%]
Utah Housing, Ser A-1, RB, AMT
0.030%, 10/07/15(A) (B)			3,810				3,810
Utah Housing, Ser B, RB, AMT
0.030%, 10/07/15(A) (B)			3,380				3,380
Utah Housing, Ser G-2, RB, AMT
0.080%, 10/07/15(A) (B)			4,300				4,300
Total Utah							11,490
Virginia [0.1%]
King George County, Industrial Development Authority, Ser A, RB
0.020%, 10/01/15			500				500
Washington [2.4%]
JPMorgan Chase Putters, Ser 5002, RB
0.020%, 10/01/15(B) (D)			9,195				9,195
Washington State, Health Care Facilities Authority, Ser D-R, RB
0.010%, 10/01/15(A) (B) (C)			6,180				6,180
Washington State, Housing Finance Commission, Eagles Lending Apartments Project, Ser A, RB, FNMA, AMT
0.040%, 10/01/15(A) (B)			6,065				6,065
Total Washington							21,440
Wyoming [1.0%]
Wyoming Community Development Authority, Ser 11, RB, AMT
0.060%, 10/01/15(A) (B)			6,000				6,000
Wyoming Community Development Authority, Ser 6, RB, AMT
0.060%, 10/01/15(A) (B)			3,000				3,000
Total Wyoming							9,000
Total Municipal Bonds
(Cost $751,820)							751,820
Commercial Paper [10.4%]
California [10.4%]
California State, Educational Facilities Authority
0.200%, 03/30/16			25,000				25,000
California State, Health Facilities Financing Authority, Stanford Hospital Project, Ser B-2, RB
0.140%, 12/03/15			18,550				18,550
California State, University, Ser A, RB
0.090%, 10/05/15			16,035				16,035
San Diego County, Water Authority
0.010%, 10/05/15			15,000				15,000
San Francisco City & County, Public Utilities Commission, Ser A-6
0.030%, 10/19/15			15,000				15,000
San Francisco, Public Utilities Commission Water Revenue
0.040%, 12/09/15			2,000				2,000
Total California							91,585
Total Commercial Paper
(Cost $91,585)							91,585
Total Investments [95.8%]
(Cost $843,405)						$	843,405

 

Percentages are based on Net Assets of $880,539 (000).

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 34

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Money Market Fund (concluded)

 

 

AGM — Assured Guarantee Municipal

AMBAC — American Municipal Bond Assurance Company

AMT — Alternative Minimum Tax (subject to)

COP — Certificate of Participation

ETM — Escrowed to Maturity

FGIC — Financial Guaranty Insurance Company

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

NATL — National Public Finance Guarantee Corporation

RB — Revenue Bond

SAB — Special Assessment Board

Ser — Series

SPL Tax — Special Tax

TRAN — Tax and Revenue Anticipation Note

XLCA — XL Capital Assurance Inc.

 

As of September 30, 2015, all of the Fund’s investments are Level 2 in accordance with authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 35

schedule of investments

September 30, 2015

City National Rochdale Government Bond Fund

 

 

Description		Face Amount (000)				Value (000)
U.S. Government Agency Obligations [52.8%]
FFCB
0.295%, 01/26/15(A)		$	5,000			$	5,007
FFCB
0.290%, 01/21/16			5,250				5,252
FHLB
1.150%, 07/25/18			1,520				1,520
FHLMC, MTN
1.500%, 01/30/16(B)			5,000				5,002
1.250%, 05/12/17			2,350				2,375
1.000%, 09/29/17			4,130				4,155
FNMA
5.000%, 02/13/17			5,200				5,515
4.875%, 12/15/16			5,000				5,283
2.430%, 10/09/19(B)			5,805				5,391
1.875%, 02/19/19			445				455
1.750%, 06/20/19			4,525				4,614
1.625%, 11/27/18			5,000				5,089
1.625%, 01/21/20			5,000				5,052
1.000%, 10/16/17			6,000				6,001
0.875%, 02/08/18			5,500				5,508
0.875%, 05/21/18			4,500				4,498
Tennessee Valley Authority, Ser E
6.250%, 12/15/17			8,000				8,930
Total U.S. Government Agency Obligations
(Cost $78,932)							79,647
U.S. Treasury Obligations [34.6%]
U.S. Treasury Bonds
2.195%, 11/15/21(B)			6,100				5,505
U.S. Treasury Notes
3.250%, 03/31/17			2,000				2,082
3.000%, 02/28/17			2,415				2,500
2.875%, 03/31/18			5,000				5,256
2.750%, 02/28/18			5,000				5,235
2.000%, 11/30/20			5,000				5,136
1.750%, 10/31/18			3,500				3,584
1.500%, 12/31/18			4,550				4,620
1.375%, 06/30/18			3,400				3,446
1.375%, 09/30/18			5,000				5,065
1.375%, 04/30/20			5,000				5,014
1.125%, 12/31/19			4,700				4,673
Total U.S. Treasury Obligations
(Cost $51,473)							52,116
Municipal Bond [5.6%]
Illinois [5.6%]
Illinois Municipal Electric Agency, Ser A, NATL
Pre-Refunded @ 100
5.125%, 02/01/17(C)			8,000				8,490
Total Municipal Bond
(Cost $8,469)							8,490
U.S. Government Mortgage-Backed Obligations [6.9%]
FHLMC REMIC, Ser 2011-3877, Cl ND,
3.000%, 02/15/25			1,012				1,038
FNMA, Pool FN0004
3.619%, 12/01/20			4,963				5,347
FNMA, Ser 2010-123, Cl HA,
2.500%, 03/25/24			3,289				3,357
FNMA ARM, Pool 766620
2.289%, 01/01/15(A)			144				154
FNMA REMIC, Ser 2011-144, Cl CE,
1.250%, 06/25/35			269				269
GNMA, Pool 329656
8.000%, 08/15/22			4				4
GNMA, Pool 376533
7.500%, 06/15/24			1				1
GNMA, Pool 398660
7.500%, 05/15/26			2				2
GNMA, Pool 497411
6.000%, 01/15/29			4				5
GNMA, Pool 571376
7.000%, 12/15/16			1				1
GNMA, Pool 584992
7.500%, 04/15/32			27				30
GNMA ARM, Pool G2 81318
1.750%, 01/01/15(A)			222				229
GNMA ARM, Pool G2 81447
1.625%, 01/01/15(A)			47				49
Total U.S. Government Mortgage-Backed Obligations
(Cost $10,417)							10,486

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 36

schedule of investments

September 30, 2015

City National Rochdale Government Bond Fund (concluded)

 

Description		Shares				Value (000)
Short-Term Investments [0.3%]
City National Rochdale Government Money Market Fund, Institutional Class, 0.010%**‡			199,557			$	199
SEI Daily Income Trust Government Fund, Cl A, 0.030%**			199,542				199
Total Short-Term Investments
(Cost $398)							398
Total Investments [100.2%]
(Cost $149,689)							151,137

 

Percentages are based on Net Assets of $150,820 (000).

 

 

ARM — Adjustable Rate Mortgage

Cl — Class

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

MTN — Medium Term Note

NATL — National Public Finance Guarantee Corporation

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
U.S. Government Agency Obligations		$	—			$	79,647			$	—			$	79,647
U.S. Treasury Obligations			—				52,116				—				52,116
Municipal Bond							8,490				—				8,490
U.S. Government Mortgage-Backed Obligations			—				10,486				—				10,486
Short-Term Investments			398				—				—				398
Total Investments in Securities		$	398			$	150,739			$	—			$	151,137

 

For the period ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 37

schedule of investments

September 30, 2015

City National Rochdale Corporate Bond Fund

 

 

Description		Face Amount (000)				Value (000)
Corporate Bonds [89.6%]
Auto-Med and Heavy Duty Trks [0.7%]
PACCAR Financial, MTN
1.750%, 08/14/18		$	1,000			$	1,005
Banks [14.1%]
Bank of America, MTN
6.400%, 08/28/17			400				434
Barclays Bank, MTN
0.254%, 01/10/14(A)			1,950				1,923
Capital One
2.350%, 08/17/18			500				501
Citigroup
5.500%, 02/15/17			1,250				1,316
Fifth Third Bank
1.150%, 11/18/16			3,060				3,061
JPMorgan Chase
6.300%, 04/23/19			2,000				2,274
6.000%, 01/15/18			405				443
National Australia Bank, MTN
2.750%, 03/09/17			480				492
Nordea Bank
2.375%, 04/04/19(B)			1,000				1,012
Standard Chartered, MTN
1.700%, 04/17/18(B)			3,000				2,978
UBS, MTN
5.875%, 12/20/17			2,000				2,178
Wells Fargo Bank
5.750%, 05/16/16			2,400				2,475
Total Banks							19,087
Broadcasting & Cable [1.1%]
CBS
4.300%, 02/15/21			1,400				1,489
Computer System Design & Services [2.2%]
Hewlett Packard Enterprise
2.060%, 10/05/17(A) (B)			3,000				3,000
Computers-Memory Devices [0.7%]
NetApp
2.000%, 12/15/17			1,000				1,001
Diagnostic Equipment [0.5%]
Danaher
1.650%, 09/15/18			700				704
Diversified Minerals [1.5%]
BHP Billiton
5.250%, 12/15/15			27				27
Teck Resources
3.150%, 01/15/17			1,250				1,177
2.500%, 02/01/18			1,000				809
Total Diversified Minerals							2,013
Diversified Operations [2.6%]
Glencore Funding
1.700%, 05/27/16(B)			1,500				1,425
Siemens Finc
5.750%, 10/17/16(B)			2,000				2,097
Total Diversified Operations							3,522
Drugs [1.9%]
AbbVie
2.500%, 05/14/20			1,000				995
Wyeth
5.500%, 02/15/16			1,500				1,527
Total Drugs							2,522
Electric Utilities [2.5%]
American Electric Power
1.650%, 12/15/17			1,000				997
Commonwealth Edison
6.950%, 07/15/18			1,000				1,121

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 38

schedule of investments

September 30, 2015

City National Rochdale Corporate Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Exelon Generation
6.200%, 10/01/17		$	1,200			$	1,302
Total Electric Utilities							3,420
Financial Services [17.6%]
American Honda Finance
1.600%, 02/16/18(B)			1,900				1,903
Countrywide Financial
6.250%, 05/15/16			1,200				1,234
Daimler Finance North America
2.250%, 07/31/19(B)			2,900				2,823
Ford Motor Credit
8.000%, 12/15/16			1,000				1,075
2.375%, 01/16/18			1,000				1,001
General Electric Capital, MTN
5.300%, 02/11/21			2,500				2,875
Harley Davidson Funding
6.800%, 06/15/18(B)			2,500				2,827
Harley-Davidson Financial Services, MTN
3.875%, 03/15/16(B)			1,000				1,013
Nissan Motor Acceptance, MTN
1.950%, 09/12/17(B)			1,000				1,012
Toyota Motor Credit, MTN
2.050%, 01/12/17			4,000				4,059
VW Credit, MTN
1.875%, 10/13/16			3,000				2,960
Western Union
5.930%, 10/01/16			1,000				1,044
Total Financial Services							23,826
Food, Beverage & Tobacco [0.7%]
Kraft Heinz Foods
2.000%, 07/02/18(B)			1,000				1,001
Food-Confectionery [0.2%]
JM Smucker
2.500%, 03/15/20(B)			250				251
Home Decoration Products [0.7%]
Newell Rubbermaid
2.875%, 12/01/19			1,000				1,009
Insurance [4.5%]
Berkshire Hathaway
2.100%, 08/14/19			2,000				2,035
Genworth Financial
7.700%, 06/15/20			1,400				1,414
Metropolitan Life Global Funding I, MTN
1.875%, 06/22/18(B)			2,700				2,718
Total Insurance							6,167
Investment Banker/Broker Dealer [8.4%]
Deutsche Bank
1.400%, 02/13/17			2,500				2,495
Goldman Sachs Group
5.625%, 01/15/17			1,700				1,785
2.625%, 01/31/19			500				506
Jefferies Group
8.500%, 07/15/19			1,530				1,812
Macquarie Group
6.000%, 01/14/20(B)			2,000				2,244
Morgan Stanley
3.750%, 02/25/23			2,000				2,049
Morgan Stanley, MTN
5.950%, 12/28/17			465				507
Total Investment Banker/Broker Dealer							11,398
Medical Labs and Testing Srv [1.1%]
Laboratory Corp of America Holdings
2.625%, 02/01/20			1,500				1,504
Medical-HMO [1.1%]
UnitedHealth Group
1.625%, 03/15/19			1,500				1,490
Petroleum & Fuel Products [10.1%]
BP Capital Markets
1.375%, 05/10/18			2,800				2,780
Freeport-McMoran Oil & Gas
6.125%, 06/15/19			1,300				1,209
Kinder Morgan Energy Partners
6.000%, 02/01/17			1,000				1,046
Korea National Oil
2.875%, 11/09/15(B)			1,000				1,002
Korea National Oil, MTN
2.750%, 01/23/19(B)			1,500				1,520
Sunoco Logistics Partners Operations
4.650%, 02/15/22			1,300				1,271
Total Capital International
2.875%, 02/17/22			4,000				3,986
Transocean
6.500%, 11/15/20			1,250				956
Total Petroleum & Fuel Products							13,770

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 39

schedule of investments

September 30, 2015

City National Rochdale Corporate Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Real Estate Investment Trusts [5.0%]
American Tower
7.250%, 05/15/19		$	1,200			$	1,387
HCP
5.625%, 05/01/17			1,000				1,061
Kimco Realty
6.875%, 10/01/19			1,080				1,262
Simon Property Group
2.500%, 09/01/20			2,000				2,020
Welltower
4.700%, 09/15/17			1,000				1,054
Total Real Estate Investment Trusts							6,784
Regional Authority [1.6%]
Province of Ontario Canada
4.400%, 04/14/20			2,000				2,229
Retail [4.3%]
AutoZone
4.000%, 11/15/20			1,400				1,487
CVS Health
2.800%, 07/20/20			1,000				1,016
Lowe’s
6.100%, 09/15/17			3,000				3,280
Total Retail							5,783
Telephones & Telecommunications [5.0%]
America Movil
5.000%, 03/30/20			2,600				2,840
AT&T
3.000%, 06/30/22			3,000				2,927
Telefonica Emisiones SAU
6.421%, 06/20/16			1,000				1,036
Total Telephones & Telecommunications							6,803
Trucking & Leasing [1.5%]
Penske Truck Leasing
4.875%, 07/11/22(B)			1,100				1,169
3.750%, 05/11/17(B)			750				772
Total Trucking & Leasing							1,941
Total Corporate Bonds
(Cost $121,958)							121,719

 

Description		Face Amount (000)/Shares				Value (000)
Municipal Bonds [4.2%]
California [1.1%]
State of California
6.200%, 03/01/19		$	1,300			$	1,493
Florida [3.1%]
Florida State, Hurricane Catastrophe Fund Finance, Ser A, RB
2.107%, 07/01/18			4,130				4,167
Total Municipal Bonds
(Cost $5,602)							5,660
Closed-End Fund [2.3%]
Stone Ridge Reinsurance Risk Premium Interval Fund(C)			294,118				3,120
Total Closed-End Fund
(Cost $3,000)							3,120
Asset-Backed Security [2.2%]
Nissan Auto Lease Trust 2015-A, Ser 2015-A, Cl A3
1.400%, 06/15/18			3,000				3,016
Total Asset-Backed Security
(Cost $2,999)							3,016
U.S. Government Mortgage-Backed Obligation [0.0%]
FNMA REMIC, Ser 2002-56, Cl MC
5.500%, 09/25/17			28				29
Total U.S. Government Mortgage-Backed Obligation
(Cost $28)							29
Short-Term Investments [3.2%]
City National Rochdale Prime Money Market Fund, Institutional Class, 0.010%**†			2,142,809				2,143
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.030%**			2,142,809				2,143
Total Short-Term Investments
(Cost $4,286)							4,286
Total Investments [101.5%]
(Cost $137,873)						$	137,830

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 40

schedule of investments

September 30, 2015

City National Rochdale Corporate Bond Fund (concluded)

 

Percentages are based on Net Assets of $135,805 (000).

 

 

Cl — Class

FNMA — Federal National Mortgage Association

MTN — Medium Term Note

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Corporate Bonds		$	—			$	121,719			$	—			$	121,719
Municipal Bonds			—				5,660				—				5,660
Closed-End Fund			3,120				—				—				3,120
Asset-Backed Security			—				3,016				—				3,016
U.S. Government Mortgage-Backed Obligation			—				29				—				29
Short-Term Investments			4,286				—				—				4,286
Total Investments in Securities		$	7,406			$	130,424			$	—			$	137,830

 

For the period ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 41

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund

 

 

Description		Face Amount (000)				Value (000)
Municipal Bonds [97.1%]
California [94.5%]
Abag, Finance Authority for Nonprofit, Sharp Healthcare, Ser A, RB
Callable 08/01/21 @ 100
6.000%, 08/01/30		$	1,000			$	1,216
Bay Area Toll Authority, Ser C, RB
Callable 10/01/18 @ 100
1.875%, 04/01/47(A)			1,200				1,221
Bay Area Toll Authority, Ser D, RB
Callable 10/01/19 @ 100
1.875%, 04/01/34(A)			750				763
Beverly Hills, Community Facilities District, Ser 2002-A, SPL Tax
4.000%, 09/01/22			250				272
Brea, Redevelopment Agency Successor, Redevelopment Project AB, SPL Tax
Callable 08/01/23 @ 100
5.000%, 08/01/25			500				595
Brea, Redevelopment Agency Successor, Redevelopment Project AB, TA
5.000%, 08/01/20			500				580
California State, Department of Water Resources, Ser F-3, RB
Callable 05/01/18 @ 100
4.375%, 05/01/20			200				218
California State, Educational Facilities Authority, Chapman University, RB
Callable 04/01/25 @ 100
5.000%, 04/01/26			100				119
California State, Educational Facilities Authority, Chapman University, RB
Callable 04/01/25 @ 100
5.000%, 04/01/27			100				118
California State, GO
4.000%, 02/01/18			1,000				1,076
California State, GO
4.000%, 03/01/18			1,000				1,079
California State, GO
3.000%, 03/01/18			1,000				1,055
California State, GO
4.000%, 02/01/19			1,000				1,101
California State, GO
5.000%, 11/01/19			1,000				1,155
California State, GO
5.000%, 09/01/20			1,000				1,174
California State, GO
5.000%, 09/01/21			1,200				1,434
California State, GO
5.000%, 12/01/21			1,000				1,201
California State, GO
5.250%, 09/01/22			1,000				1,223
California State, GO
Callable 11/01/20 @ 100
5.000%, 11/01/22			1,025				1,195
California State, GO
Callable 12/01/23 @ 100
5.000%, 12/01/26			1,000				1,207
California State, GO
Callable 11/01/23 @ 100
5.000%, 11/01/27			500				598
California State, GO
Callable 06/01/19 @ 100
3.000%, 12/01/32(A)			1,000				1,067
California State, GO
Callable 04/01/18 @ 100
5.125%, 04/01/33			1,050				1,142
California State, Health Facilities Financing Authority, Catholic Healthcare, Ser A, RB
Callable 03/01/21 @ 100
5.250%, 03/01/22			265				311

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 42

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
California State, Health Facilities Financing Authority, Cedars-Sinai Medical Center, RB
5.000%, 08/15/17		$	750			$	813
California State, Health Facilities Financing Authority, City of Hope, Ser A, RB
5.000%, 11/15/17			375				408
California State, Health Facilities Financing Authority, Insured Marshall Medical Center, RB, CA MTG INS
Callable 11/01/24 @ 100
5.000%, 11/01/29			250				292
California State, Health Facilities Financing Authority, Memorial Health Services Corp, Ser A, RB
5.000%, 10/01/15			450				450
California State, Health Facilities Financing Authority, St. Joseph Health System, Ser B, RB
5.000%, 07/01/43(A)			875				950
California State, Health Facilities Financing Authority, St. Joseph Health System, Ser D, RB
5.000%, 07/01/43(A)			975				1,141
California State, Health Facilities Financing Authority, Sutter Health, Ser A, RB
5.500%, 08/15/17			500				545
California State, Health Facilities Financing Authority, Sutter Health, Ser A, RB
5.500%, 08/15/18			125				142
California State, Public Works Board, Department of Corrections and Rehab Project, Ser A, RB
4.000%, 09/01/17			500				532
California State, Public Works Board, Department of Corrections and Rehab Project, Ser A, RB
5.000%, 09/01/22			1,000				1,198
California State, Public Works Board, Department of Corrections-State Prisons, Ser A, RB, AMBAC
5.000%, 12/01/19			755				828
California State, Public Works Board, Judicial Council, Ser B, RB
5.000%, 10/01/23			475				575
California State, Public Works Board, State Prisons, Ser C, RB
5.000%, 10/01/16			1,000				1,046
California State, Public Works Board, Various Capital Projects, Ser A, RB
4.000%, 04/01/17			500				526
California State, Public Works Board, Various Capital Projects, Ser G-1, RB
Callable 10/01/19 @ 100
5.250%, 10/01/23			250				287
California State, Ser E, GO
Callable 06/01/18 @ 100
0.965%, 12/01/29(A)			1,000				1,013
California Statewide, Communities Development Authority, Cottage Health System, RB
Callable 11/01/24 @ 100
5.000%, 11/01/25			350				421
California Statewide, Communities Development Authority, RB
1.375%, 04/01/28(A)			500				502
California Statewide, Communities Development Authority, Kaiser Permanente, Ser A, RB
5.000%, 04/01/19			1,200				1,364
California Statewide, Communities Development Authority, Kaiser Permanente, Ser B, RB
Callable 02/01/17 @ 100
0.970%, 04/01/52(A)			2,000				2,006
California Statewide, Communities Development Authority, Sutter Health, Ser A, RB
5.000%, 08/15/18			200				224
Carlsbad, Public Financing Authority, Municipal Golf Course Project, Ser A, RB, AMBAC
4.500%, 09/01/16			350				364
Chula Vista, Elementary School District, School Building Project, Ser A, COP, AGM
5.000%, 09/01/22			1,000				1,181

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 43

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Chula Vista, Police Facility Project, COP
5.000%, 10/01/21		$	360			$	425
El Dorado, Irrigation District, Ser A, RB, AGM
4.500%, 03/01/19			500				557
Elk Grove, Finance Authority, SPL Tax
3.000%, 09/01/18			480				504
Encinitas, Unified School District, GO, NATL
0.796%, 08/01/17(B)			500				494
Fairfield County, Redevelopment Agency, TA
4.000%, 08/01/17			2,630				2,790
Gilroy, Public Facilities Financing Authority, RB
5.000%, 11/01/21			940				1,110
Golden State Tobacco Securitization, Ser A, RB
5.000%, 06/01/19			1,000				1,137
Golden State Tobacco Securitization, Ser A, RB
Callable 06/01/23 @ 100
5.000%, 06/01/30			1,075				1,210
Hemet, Unified School District, GO, AGM
4.000%, 08/01/24			500				568
Irvine Unified School District, SPL Tax, BAM
Callable 03/01/25 @ 100
5.000%, 09/01/30			250				295
JPM Chase Putters, Ser 2015-ZF0183, RB
0.270%, 12/01/22(A) (D) (E)			1,000				1,000
Jurupa, Unified School District, GO, AGM
5.000%, 08/01/22			1,000				1,198
Long Beach, Harbor Revenue, Ser C, RB
4.000%, 11/15/18			500				550
Los Angeles County, Disney Parking Hall Project, COP
5.000%, 09/01/22			500				600
Los Angeles, California Wastewater System Revenue, Ser B, RB
Callable 06/01/22 @ 100
5.000%, 06/01/31			1,000				1,152
Los Angeles, Community College District, Election of 2001, Ser E-1, GO,
Pre-Refunded @ 100
5.000%, 08/01/27(C)			400				448
Los Angeles, Department of Airports, Senior International Governmental, Ser C, RB
4.000%, 05/15/17			545				576
Los Angeles, Department of Airports, Ser C, RB
5.000%, 05/15/25			550				676
Los Angeles, Department of Water & Power System, Ser A, RB
5.000%, 07/01/19			500				574
Los Angeles, Department of Water & Power System, Ser C, RB
5.000%, 07/01/23			500				614
Los Angeles, Municipal Improvement Authority, Capital Equipment, Ser A, RB
4.000%, 11/01/19			575				636
Los Angeles, Municipal Improvement Authority, Ser C, RB
4.000%, 09/01/16			500				516
Los Angeles, Sanitation Districts Financing Authority, Ser A, RB
Callable 10/01/25 @ 100
5.000%, 10/01/28			500				600
Los Angeles, Ser A, GO
5.000%, 09/01/21			240				289
Los Angeles, Unified School District, Election of 2005, Ser E, GO, AGM,
Pre-Refunded @ 100
5.000%, 07/01/19(C)			500				538
Los Angeles, Unified School District, Headquarters Building Project, Ser A, COP
5.000%, 10/01/20			1,000				1,170
Los Angeles, Unified School District, Ser A, GO
5.000%, 07/01/18			350				390
Los Angeles, Unified School District, Ser B, GO, AMBAC
Callable 07/01/17 @ 100
5.000%, 07/01/19			2,000				2,152
Merced, Irrigation District, Ser A, RB, AGM
5.000%, 10/01/20			500				583

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 44

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Modesto, Irrigation District, Ser A, RB
5.000%, 07/01/17		$	1,000			$	1,074
Northern California, Power Agency, Hydroelectric Project Number 1, Ser C, RB, ASSURED GTY
Callable 07/01/18 @ 100
5.000%, 07/01/20			500				554
Oakland-Alameda County, Coliseum Authority, Ser A, RB
5.000%, 02/01/20			820				937
Orange County, Public Financing Authority, RB, NATL
5.000%, 07/01/17			1,050				1,131
Orange County, Redevelopment Agency Successor Agency, TA, AGM
5.000%, 09/01/23			320				380
Orange County, Sanitation District, Ser A, COP
3.000%, 02/01/17			500				517
Petaluma, Joint Unified High School District, Election of 2014, Ser A, GO
4.000%, 08/01/18			595				646
Port of Oakland, Ser B, RB, NATL
Callable 11/01/17 @ 100
5.000%, 11/01/23			500				541
Port of Oakland, Transportation Airport & Marina Revenue, Ser C, RB, NATL
5.000%, 11/01/15			450				452
Riverside County, Public Safety Communication, Ser A, COP, AMBAC
5.000%, 11/01/17			1,600				1,726
Riverside County, Transportation Commission, Ser A, RB
Callable 06/01/23 @ 100
5.250%, 06/01/28			500				607
Riverside, Public Financing Authority, Ser A, RB
5.000%, 11/01/21			1,000				1,167
Roseville, Finance Authority, RB
4.000%, 02/01/18			500				536
Sacramento County, Sanitation District Financing Authority, Sewer Revenue, Ser A, RB
5.000%, 12/01/20			500				591
Sacramento, Area Flood Control Agency, SAB, BAM
Callable 10/01/24 @ 100
5.000%, 10/01/30			250				286
Sacramento, Area Flood Control Agency, Ser A, SAB, NATL
Callable 10/01/17 @ 100
5.000%, 10/01/21			400				433
Sacramento, Financing Authority, EPA Building Project, Ser A, RB
4.000%, 05/01/18			850				917
San Diego, Public Facilities Financing Authority Sewer Revenue, RB
5.000%, 05/15/25			1,000				1,251
San Francisco City & County, Airports Commission, Ser B, RB
5.000%, 05/01/17			495				530
San Francisco City & County, Multiple Capital Improvement Projects, Ser B, COP
Callable 04/01/19 @ 100
5.000%, 04/01/22			735				826
San Francisco City & County, Open Space Fund, Various Park Projects, RB, NATL
Callable 11/02/15 @ 100
3.750%, 07/01/18			500				501
San Francisco City & County, Public Utilities Commission Water Revenue, Ser A, RB
5.000%, 11/01/20			250				295
San Francisco City & County, Redevelopment Agency, Redevelopment Projects, Ser B, TA
5.000%, 08/01/17			540				576
San Francisco City & County, Redevelopment Agency, Redevelopment Projects, Ser B, TA, NATL
Callable 11/02/15 @ 100
5.250%, 08/01/18			600				601
San Luis Obispo County, Financing Authority, Ser A, RB, BAM
Callable 09/01/25 @ 100
5.000%, 09/01/30			500				583
San Marcos, Public Facilities Authority, Ser A, SPL Tax
5.000%, 09/01/19			330				376

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 45

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
San Mateo County, Joint Powers Financing Authority, Maple Street Project, RB
3.000%, 06/15/17		$	1,000			$	1,042
San Mateo County, Transportation Authority, Ser A, RB, NATL, ETM
5.250%, 06/01/19			755				871
San Pablo County, Redevelopment Agency, Ser A, TA, AGM
5.000%, 06/15/21			480				560
Santa Clara County, Financing Authority, Lease Revenue Capital Project, Ser A, RB
5.000%, 02/01/20			500				576
Santa Cruz County Redevelopment Agency, Ser A, SPL TAX, AGM
Callable 09/01/25 @ 100
5.000%, 09/01/28			480				568
Santa Cruz County, Redevelopment Agency, TA, BAM
5.000%, 09/01/19			640				729
Santa Rosa, Wastewater Revenue, Ser A, RB
4.000%, 09/01/17			415				442
Southern California, Metropolitan Water District, Ser G-4, RB
Callable 07/01/19 @ 100
3.000%, 07/01/37(A)			1,000				1,066
Southern California, Public Power Authority, Linden Wind Energy Project, Ser A, RB
Callable 07/01/20 @ 100
5.000%, 07/01/27			1,065				1,235
Southern California, Public Power Authority, Subordinated Southern Transmission Project, Ser A, RB
5.000%, 07/01/17			1,375				1,482
Turlock, Irrigation District, RB
5.000%, 01/01/19			200				225
Turlock, Irrigation District, Ser A, RB
5.000%, 01/01/17			575				606
Tustin, Unified School District, SPL TAX, BAM
5.000%, 09/01/24			500				601
University of California, Regents Medical Center Pooled Revenue, Ser J, RB
Callable 05/15/23 @ 100
5.000%, 05/15/26			500				597
University of California, Revenues Limited Project, Ser E, RB
Callable 05/15/20 @ 100
5.000%, 05/15/22			500				581
Ventura County, Public Financing Authority, Ser A, RB
4.000%, 11/01/18			500				546
Ventura County, Public Financing Authority, Ser A, RB
5.000%, 11/01/19			500				575
Ventura County, Public Financing Authority, Ser B, RB
5.000%, 11/01/18			500				561
Walnut, Energy Center Authority, RB
5.000%, 01/01/19			300				339
Total California							92,516
Connecticut [2.1%]
Connecticut State, Ser A, GO
Callable 10/19/15 @ 100
1.370%, 03/01/19(A)			1,000				1,000
Connecticut State, Ser D, GO
0.900%, 08/15/19(A)			1,000				1,001
Total Connecticut							2,001
Guam [0.5%]
Territory of Guam, Ser A, RB
5.000%, 01/01/17			500				525
Total Municipal Bonds
(Cost $93,078)							95,042

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 46

schedule of investments

September 30, 2015

City National Rochdale California Tax Exempt Bond Fund (concluded)

 

Description		Shares				Value (000)
Short-Term Investment [1.8%]
City National Rochdale California Tax Exempt Money Market Fund, Institutional Class, 0.010%** ‡			1,735,823			$	1,736
Total Short-Term Investment
(Cost $1,736)							1,736
Total Investments [98.9%]
(Cost $94,814)						$	96,778

 

Percentages are based on Net Assets of $97,893 (000).

 

 

AGM — Assured Guarantee Municipal

AMBAC — American Municipal Bond Assurance Company

ASSURED GTY— Assured Guaranty Ltd.

BAM — Build America Mutual Assurance Company

CA MTG INS — Cal-Mortgage Loan Insurance Division

COP — Certificate of Participation

EPA — Environmental Protection Agency

ETM — Escrowed to Maturity

GO — General Obligation

NATL — National Public Finance Guarantee Corporation

RB — Revenue Bond

SAB — Special Assessment Board

Ser — Series

SPL Tax — Special Tax

TA — Tax Allocation

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Municipal Bonds		$	—			$	95,042			$	—			$	95,042
Short-Term Investment			1,736				—				—				1,736
Total Investments in Securities		$	1,736			$	95,042			$	—			$	96,778

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 47

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund

 

 

Description		Face Amount (000)				Value (000)
Municipal Bonds [90.2%]
Alabama [2.8%]
Birmingham, Water Works Board, Ser A, RB
Callable 01/01/25 @ 100
5.000%, 01/01/42		$	5,000			$	5,529
Cullman County, Health Care Authority, Cullman Regional Medical Center Project, Ser A, RB
Callable 02/01/19 @ 100
7.000%, 02/01/36			4,315				4,623
Jefferson County, Sewer Revenue, Ser D, RB
Callable 10/01/23 @ 105
6.000%, 10/01/42			4,000				4,467
Jefferson County, Sewer Revenue, Ser D, RB
Callable 10/01/23 @ 105
6.500%, 10/01/53			4,000				4,572
Total Alabama							19,191
Alaska [0.7%]
Northern Tobacco Securitization, Ser A, RB
Callable 10/19/15 @ 100
5.000%, 06/01/46			6,000				4,731
American Samoa [0.7%]
American Samoa Economic Development Authority, Ser A, RB
Callable 09/01/25 @ 100
6.625%, 09/01/35			5,000				4,996
Arizona [1.0%]
Phoenix, Industrial Development Authority, Legacy Traditional School Projects, RB
Callable 07/01/25 @ 100
5.000%, 07/01/45(A)			3,300				3,078
Pima County, Industrial Development Authority, Noah Webster School Project, RB
Callable 12/15/23 @ 100
7.000%, 12/15/43			1,500				1,663
Yavapai County Industrial Development Authority, Ser A, RB
Callable 03/01/25 @ 100
5.000%, 09/01/34(A)			2,015				1,993
Total Arizona							6,734
California [10.9%]
Adelanto, Public Utility Authority, Utility System Project, Ser A, RB
Callable 07/01/19 @ 100
6.750%, 07/01/39			6,500				7,275
California State, GO
Callable 12/01/23 @ 100
5.000%, 12/01/31			1,500				1,749
California State, Municipal Finance Authority, Ser A, RB
Callable 11/01/25 @ 100
5.500%, 11/01/45(A)			4,000				4,006
California State, Pollution Control Financing Authority, San Diego Water Project, RB
Callable 07/01/17 @ 100
5.000%, 11/21/45(A)			2,000				2,059
California State, Public Works Board, Department of Corrections and Rehab Project, Ser A, RB
Callable 09/01/24 @ 100
5.000%, 09/01/31			5,000				5,810

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 48

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
California State, Public Works Board, Various Capital Projects, Ser A, RB
Callable 04/01/22 @ 100
5.000%, 04/01/37		$	1,000			$	1,113
California State, School Finance Authority, View Park Elementary & Middle School Project, Ser A, RB
Callable 10/01/24 @ 100
5.625%, 10/01/34			575				577
California State, School Finance Authority, View Park Elementary & Middle School Project, Ser A, RB
Callable 10/01/24 @ 100
5.875%, 10/01/44			1,000				1,004
California State, School Finance Authority, View Park Elementary & Middle School Project, Ser A, RB
Callable 10/01/24 @ 100
6.000%, 10/01/49			720				722
California Statewide Communities Development Authority, RB
Callable 06/01/25 @ 100
7.000%, 06/01/45			3,155				2,993
Golden State Tobacco Securitization, Golden State Tobacco Settlement, Ser A, RB
Callable 06/01/25 @ 100
5.000%, 06/01/35			5,000				5,610
Golden State Tobacco Securitization, Golden State Tobacco Settlement, Ser A-1, RB
Callable 06/01/17 @ 100
4.500%, 06/01/27			4,655				4,463
Golden State Tobacco Securitization, Golden State Tobacco Settlement, Ser A-1, RB
Callable 06/01/17 @ 100
5.750%, 06/01/47			5,000				4,444
Golden State Tobacco Securitization, Golden State Tobacco Settlement, Ser A-1, RB
Callable 06/01/17 @ 100
5.125%, 06/01/47			7,280				5,976
Inland Empire Tobacco Securitization Authority, Ser A, RB
Callable 06/01/17 @ 100
4.625%, 06/01/21			4,795				4,721
Lake Elsinore, Public Financing Authority, SAB
Callable 09/01/25 @ 100
5.000%, 09/01/35			2,650				2,835
M-S-R Energy Authority, Ser C, RB
7.000%, 11/01/34			2,500				3,440
Palomar Pomerado Health Care District, COP
Callable 11/01/20 @ 100
6.000%, 11/01/30			3,920				4,213
San Buenaventura, Community Memorial Health System Project, RB
Callable 12/01/21 @ 100
7.000%, 12/01/26			1,000				1,195
San Buenaventura, Community Memorial Health System Project, RB
Callable 12/01/21 @ 100
7.500%, 12/01/41			1,000				1,209
San Mateo, Community Facilities District, SAB
Callable 09/01/22 @ 100
5.500%, 09/01/44			1,000				1,097
San Mateo, Foster City School District, GO
Callable 08/01/31 @ 100
0.000%, 08/01/42(B)			6,000				4,455
Southern California, Tobacco Securitization Authority, Ser A-1, RB
Callable 10/19/15 @ 100
5.000%, 06/01/37			3,000				2,622
Southern California, Tobacco Securitization Authority, Ser A1-SNR, RB
Callable 10/19/15 @ 100
5.125%, 06/01/46			3,000				2,542
Total California							76,130
Colorado [4.5%]
Arkansas State, River Power Authority, Colorado Improvement Project, RB
Callable 10/01/20 @ 100
6.125%, 10/01/40			2,500				2,674

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 49

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Arkansas State, River Power Authority, Colorado Improvement Project, RB
Callable 10/01/18 @ 100
6.000%, 10/01/40		$	2,965			$	3,130
Castle Oaks Metropolitan District No. 3, GO
Callable 12/01/20 @ 103
6.250%, 12/01/44			2,860				2,774
Colorado State, Educational & Cultural Facilities Authority, Charter School Preparatory School Project, RB
Callable 04/01/25 @ 100
5.125%, 04/01/35(A)			1,515				1,442
Colorado State, Educational & Cultural Facilities Authority, Charter School Preparatory School Project, RB
Callable 04/01/25 @ 100
5.250%, 04/01/45(A)			2,655				2,503
Colorado State, Educational & Cultural Facilities Authority, Charter School Project, RB
Callable 07/01/25 @ 100
5.000%, 07/01/36(A)			915				900
Colorado State, Educational & Cultural Facilities Authority, Charter School Project, RB
Callable 07/01/25 @ 100
5.250%, 07/01/46(A)			1,930				1,892
Colorado State, Educational & Cultural Facilities Authority, Charter School Skyview Project, RB
Callable 07/01/24 @ 100
5.375%, 07/01/44(A)			1,350				1,392
Colorado State, Educational & Cultural Facilities Authority, Charter School Skyview Project, RB
Callable 07/01/24 @ 100
5.500%, 07/01/49(A)			1,600				1,647
Colorado State, High Performance Transportation Enterprise, U.S. 36 & I-25 Managed Lanes Project, RB, AMT
Callable 01/01/23 @ 100
5.750%, 01/01/44			2,000				2,114
Colorado State, Public Energy Authority, RB
6.500%, 11/15/38			4,000				5,245
Denver City & County, United Airlines Project, Ser A, RB, AMT
Callable 10/01/17 @ 100
5.250%, 10/01/32			1,000				1,031
Lewis Pointe Metropolitan District, Ser A, GO
Callable 12/01/20 @ 100
6.000%, 12/01/44			2,590				2,562
Regional Transportation District, Denver Transportation Partners Project, RB
Callable 07/15/20 @ 100
6.000%, 01/15/41			1,000				1,120
Wildgrass County, Metropolitan District, GO
Pre-Refunded @ 100
6.200%, 12/01/34(C)			1,000				1,060
Total Colorado							31,486
Delaware [1.0%]
Delaware State, Economic Development Authority, Indian River Power Project, RB
Callable 10/01/20 @ 100
5.375%, 10/01/45			6,500				6,725
District of Columbia [0.3%]
Metropolitan Washington, Airports Authority, Dulles Toll Road Revenue, Ser B, RB
Callable 10/01/28 @ 100
0.000%, 10/01/44(B)			2,000				2,091
Florida [6.9%]
Alachua County, Health Facilities Authority, East Ridge Retirement Village Project, RB
Callable 11/15/24 @ 100
6.000%, 11/15/34			2,500				2,668
Alachua County, Health Facilities Authority, East Ridge Retirement Village Project, RB
Callable 11/15/24 @ 100
6.250%, 11/15/44			1,000				1,078

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 50

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Brevard County, Industrial Development Authority, TUFF Florida Tech Project, RB
Callable 11/01/19 @ 100
6.750%, 11/01/39		$	745			$	809
Capital Trust Agency, Silver Creek Street Project, Ser A, RB
Callable 01/01/21 @ 103
8.250%, 01/01/44			3,390				3,127
Capital Trust Agency, Silver Creek Street Project, Ser A, RB
Callable 01/01/21 @ 103
8.250%, 01/01/49			1,000				910
Florida State, Development Finance Corp., Renaissance Charter School Project, Ser A, RB
Callable 06/15/22 @ 100
6.125%, 06/15/43			1,000				1,037
Florida State, Development Finance, Renaissance Charter School Project, Ser A, RB
Callable 06/15/24 @ 100
6.000%, 06/15/34			2,110				2,061
Florida State, Development Finance, Renaissance Charter School Project, Ser A, RB
Callable 06/15/24 @ 100
6.125%, 06/15/44			3,000				2,907
Florida State, Development Finance, Tuscan Isle Senior Living Community Project, Ser A, RB
Callable 06/01/22 @ 103
7.000%, 06/01/35(A)			1,350				1,399
Florida State, Development Finance, Tuscan Isle Senior Living Community Project, Ser A, RB
Callable 06/01/22 @ 103
7.000%, 06/01/45(A)			3,000				3,056
Florida State, Village Community Development District No. 10, SAB
Callable 05/01/23 @ 100
6.000%, 05/01/44			1,000				1,146
Miami-Dade County, Industrial Development Authority, Pinecrest Academy Project, RB
Callable 09/15/24 @ 100
5.250%, 09/15/44			2,500				2,570
Miami-Dade County, Industrial Development Authority, Youth CO-OP Charter Schools Project, Ser A, RB
Callable 09/15/25 @ 100
5.750%, 09/15/35(A)			1,605				1,581
Mid-Bay Bridge Authority, Ser A, RB
Pre-Refunded @ 100
7.250%, 10/01/34(C)			5,200				6,906
Mid-Bay Bridge Authority, Ser A, RB
Callable 10/01/25 @ 100
5.000%, 10/01/35			5,000				5,460
Osceola County, Poinciana Parkway Project, Ser A, RB
Callable 10/01/24 @ 100
5.375%, 10/01/47			5,000				5,332
Palm Beach County, Health Facilities Authority, Sinai Residences Project, Ser A, RB
Callable 06/01/22 @ 102
7.250%, 06/01/34			500				574
Palm Beach County, Health Facilities Authority, Sinai Residences Project, Ser A, RB
Callable 06/01/22 @ 102
7.500%, 06/01/49			2,000				2,304
Saint Johns County, Industrial Development Authority, Presbyterian Retirement Project, Ser A, RB
Callable 08/01/20 @ 100
6.000%, 08/01/45			3,000				3,326
Total Florida							48,251
Georgia [1.2%]
Atlanta, Department of Aviation, Ser A, RB
Callable 01/01/24 @ 100
5.000%, 01/01/31			2,500				2,849
DeKalb County, Hospital Authority, Dekalb Medical Center Project, RB
Callable 09/01/20 @ 100
6.125%, 09/01/40			1,000				1,084
Greene County, Development Authority, GLEN-I, LLC Project, Ser A, RB
Callable 01/01/25 @ 100
7.250%, 01/01/46(A)			3,400				3,395

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 51

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Savannah, Economic Development Authority, Marshes Skidaway Island Project, RB
Callable 01/01/24 @ 100
7.250%, 01/01/49		$	810			$	905
Total Georgia							8,233
Guam [1.4%]
Territory of Guam, Government Waterworks Authority, RB
Callable 07/01/20 @ 100
5.625%, 07/01/40			2,000				2,212
Territory of Guam, Ser A, GO
Pre-Refunded @ 100
7.000%, 11/15/39(C)			6,000				7,424
Total Guam							9,636
Hawaii [0.4%]
Hawaii State, Department of Budget & Finance, 15 Craigside Project, Ser A, RB
Callable 11/15/19 @ 100
8.750%, 11/15/29			2,450				3,089
Illinois [5.4%]
Bridgeview Village, Ser A, GO
Callable 06/01/24 @ 100
5.500%, 12/01/43			4,880				4,588
Chicago, Midway International Airport, Ser B, RB
Callable 01/01/23 @ 100
5.000%, 01/01/35			2,000				2,181
Chicago, Midway International Airport, Ser B, RB
Callable 01/01/24 @ 100
5.000%, 01/01/35			3,000				3,304
Chicago, Refunding Project, Ser A, GO, AGM
Callable 01/01/24 @ 100
5.250%, 01/01/31			1,000				1,032
Illinois State, Finance Authority, Admiral at Lake Project, Ser A, RB
Callable 05/15/20 @ 100
8.000%, 05/15/40			4,000				4,621
Illinois State, Finance Authority, Admiral at Lake Project, Ser A, RB
Callable 05/15/20 @ 100
8.000%, 05/15/46			2,825				3,248
Illinois State, Finance Authority, Lutheran Home and Services Project, RB
Callable 05/15/22 @ 100
5.625%, 05/15/42			5,000				5,171
Illinois State, Finance Authority, Roosevelt University Project, RB
Callable 10/01/19 @ 100
6.250%, 04/01/29			1,000				1,079
Illinois State, Finance Authority, Roosevelt University Project, RB
Callable 10/01/19 @ 100
6.500%, 04/01/39			3,445				3,721
Illinois State, Finance Authority, Three Crowns Park Plaza Project, Ser A, RB
Callable 02/15/16 @ 100
5.875%, 02/15/38			6,750				6,775
Southwestern Illinois, Development Authority, Collinsville Project, RB
Callable 03/01/16 @ 100
5.350%, 03/01/31			170				132
Village of Bridgeview, Cook County, Ser A, GO
Callable 12/01/25 @ 100
5.750%, 12/01/35			2,000				2,014
Total Illinois							37,866
Indiana [1.8%]
Carmel City, Barrington Carmel Project, Ser A, RB
Callable 11/15/22 @ 100
7.000%, 11/15/32			1,650				1,858
Carmel City, Barrington Carmel Project, Ser A, RB
Callable 11/15/22 @ 100
7.125%, 11/15/47			3,000				3,345
Indiana State, Finance Authority, Ohio Valley Electric Corporation Project, Ser A, RB
Callable 06/01/22 @ 100
5.000%, 06/01/39			1,000				1,038
Indianapolis, Ritter Affordable Assisted Living Project, RB
Callable 12/01/22 @ 102
6.900%, 12/01/33			4,000				4,057

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 52

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Terre Haute, Westminster Village Project, RB
Callable 08/01/22 @ 100
6.000%, 08/01/39		$	2,355			$	2,311
Total Indiana							12,609
Iowa [0.3%]
Iowa State, Finance Authority, Ser B, RB
Callable 06/01/25 @ 100
5.000%, 06/01/36			2,000				1,927
Kansas [0.7%]
Arkansas City, Public Building Commission, South Central Regional Medical Center, RB
Callable 09/01/19 @ 100
7.000%, 09/01/29			2,550				2,541
Wyandotte County-Kansas City Unified Government, RB
Callable 09/01/25 @ 100
5.750%, 09/01/32			2,000				1,985
Total Kansas							4,526
Kentucky [1.5%]
Kentucky State, Economic Development Finance Authority, Owensboro Medical Health System Project, Ser A, RB
Callable 06/01/20 @ 100
6.375%, 06/01/40			1,000				1,125
Kentucky State, Economic Development Finance Authority, Owensboro Medical Health System Project, Ser A, RB
Callable 06/01/20 @ 100
6.500%, 03/01/45			2,960				3,338
Kentucky State, Public Transportation Infrastructure Authority, Downtown Crossing Project, Ser A, RB
Callable 07/01/23 @ 100
5.750%, 07/01/49			5,650				6,243
Total Kentucky							10,706
Louisiana [2.4%]
Juban Crossing Economic Development District, General Infrastructure Project, Ser C, RB
Callable 03/15/25 @ 100
7.000%, 09/15/44(A)			5,665				5,663
Louisiana State, Local Government Environmental Facilities & Community Development Authority, Ser S, RB
Callable 06/01/25 @ 100
5.625%, 06/01/45			2,000				1,963
Louisiana State, Public Facilities Authority, Pellets Inc. Project, RB, AMT
7.000%, 07/01/24(A)			2,000				1,988
Louisiana State, Public Facilities Authority, Pellets Inc. Project, RB, AMT
Callable 07/01/23 @ 100
10.500%, 07/01/39			2,000				2,209
Louisiana State, Public Facilities Authority, Pellets Inc. Project, Ser A, RB, AMT
Callable 07/01/24 @ 100
8.375%, 07/01/39			5,000				5,112
Total Louisiana							16,935
Maryland [1.6%]
Howard County, Annapolis Junction Town Center Project, TA
Callable 02/15/24 @ 100
5.800%, 02/15/34			725				755
Howard County, Annapolis Junction Town Center Project, TA
Callable 02/15/24 @ 100
6.100%, 02/15/44			1,425				1,483
Maryland State, Economic Development, RB
Callable 09/01/20 @ 100
5.750%, 09/01/25			3,000				3,064
Westminster, Luther Village Millers Grant Inc. Project, RB
Callable 07/01/24 @ 100
6.000%, 07/01/34			1,205				1,269
Westminster, Luther Village Millers Grant Inc. Project, RB
Callable 07/01/24 @ 100
6.125%, 07/01/39			750				790

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 53

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Westminster, Luther Village Millers Grant Inc. Project, RB
Callable 07/01/24 @ 100
6.250%, 07/01/44		$	3,780			$	4,001
Total Maryland							11,362
Massachusetts [0.7%]
Massachusetts, Port Authority, Ser B, RB, AMBAC, AMT
0.379%, 01/01/31(D)			6,000				5,091
Michigan [2.7%]
Kent, Hospital Finance Authority, Metropolitan Hospital Project, Ser A, RB
Callable 11/02/15 @ 100
6.000%, 07/01/35			4,805				4,816
Kent, Hospital Finance Authority, Ser A, RB
Callable 11/02/15 @ 100
6.250%, 07/01/40			1,500				1,504
Michigan State, Finance Authority, RB
Callable 11/15/25 @ 100
5.250%, 11/15/35			2,340				2,383
Michigan State, Finance Authority, Old Redford School Project, Ser A, RB
Callable 12/01/20 @ 100
6.500%, 12/01/40			3,745				3,771
Michigan State, Public Educational Facilities Authority, Old Redford Project, Ser A, RB
Callable 12/01/15 @ 100
5.875%, 12/01/30			2,000				1,999
Michigan State, Tobacco Settlement Finance Authority, Ser A, RB
Callable 06/01/17 @ 100
5.125%, 06/01/22			2,935				2,620
Michigan State, Tobacco Settlement Finance Authority, Turbo Project, Ser A, RB
Callable 06/01/18 @ 100
6.875%, 06/01/42			2,000				1,967
Total Michigan							19,060
Missouri [2.9%]
Blue Springs, Improvement Adams Farm Project, Ser A, SPL Tax
Callable 06/01/24 @ 100
5.250%, 06/01/39			3,400				3,368
Kirkwood, Industrial Development Authority, Aberdeen Heights Project, Ser A, RB
Callable 05/15/20 @ 100
8.250%, 05/15/45			3,000				3,384
Poplar Bluff Missouri, Ser A, SPL Tax
Callable 11/01/23 @ 100
5.125%, 11/01/35(A)			5,000				4,994
Saint Joseph, Industrial Development Authority, Living Community Saint Joseph Project, RB
Callable 11/02/15 @ 100
7.000%, 08/15/32			1,000				1,000
Saint Louis County, Lambert Airport Project, SAB
Pre-Refunded @ 105
9.000%, 11/01/31(C)			2,500				2,854
St. Louis County, Industrial Development Authority, RB
Callable 09/01/24 @ 100
5.000%, 09/01/38(A)			2,000				1,994
St. Louis County, Industrial Development Authority, RB
Callable 09/01/24 @ 100
5.250%, 09/01/45(A)			3,000				2,986
Total Missouri							20,580
Nebraska [1.0%]
Central Plains Energy Project, Project No. 3, RB
Callable 09/01/22 @ 100
5.250%, 09/01/37			1,000				1,098
Central Plains Energy Project, Project No. 3, RB
Callable 09/01/22 @ 100
5.000%, 09/01/42			5,500				5,849
Total Nebraska							6,947

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 54

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Nevada [0.7%]
Clark County, Department of Aviation, Ser A-2, RB
Callable 07/01/24 @ 100
5.000%, 07/01/35		$	3,000			$	3,346
State of Nevada Department of Business & Industry, Ser A, RB
Callable 12/15/25 @ 100
5.000%, 12/15/35(A)			1,595				1,551
Total Nevada							4,897
New Jersey [1.7%]
New Jersey State, Economic Development Authority, Continental Airlines Project, RB, AMT
Callable 08/20/22 @ 101
5.250%, 09/15/29			1,000				1,078
New Jersey State, Economic Development Authority, School Facilities Construction, Ser UU, RB
Callable 06/15/24 @ 100
5.000%, 06/15/40			5,000				5,066
Tobacco Settlement Financing, Ser 1A, RB
Callable 06/01/17 @ 100
5.000%, 06/01/41			7,500				5,886
Total New Jersey							12,030
New York [3.9%]
Metropolitan Transportation Authority, Ser A-1, RB
Callable 05/15/25 @ 100
5.000%, 11/15/45			5,000				5,551
Nassau County, Industrial Development Agency, Ser A, RB
Callable 01/01/25 @ 101
6.700%, 01/01/49			4,789				4,680
Nassau County, Industrial Development Agency, Ser C, RB
Callable 01/01/18 @ 100
2.000%, 01/01/49			1,728				207
New York City, Industrial Development Agency, American Airlines JFK International Airport Project, RB, AMT
Callable 08/01/16 @ 101
7.750%, 08/01/31(D)			4,000				4,223
New York State, Liberty Development, RB
Callable 11/15/24 @ 100
5.000%, 11/15/44(A)			10,000				10,087
Niagara, Tobacco Asset Securitization, RB
Callable 05/15/24 @ 100
5.250%, 05/15/34			1,000				1,119
Niagara, Tobacco Asset Securitization, RB
Callable 05/15/24 @ 100
5.250%, 05/15/40			1,000				1,110
Total New York							26,977
North Carolina [0.2%]
North Carolina State, Medical Care Commission, RB
Callable 09/01/24 @ 100
5.000%, 09/01/37			1,655				1,651
Ohio [3.1%]
Muskingum County, Hospital Facilities Authority, Genesis Healthcare System Project, RB
Callable 02/15/23 @ 100
5.000%, 02/15/33			1,000				1,041
Muskingum County, Hospital Facilities Authority, Genesis Healthcare Systems Project, RB
Callable 02/15/23 @ 100
5.000%, 02/15/44			1,000				1,023
Muskingum County, Hospital Facilities Authority, Genesis Healthcare Systems Project, RB
Callable 02/15/23 @ 100
5.000%, 02/15/48			3,000				3,055
Ohio State, Air Quality Development Authority, Pollution Control Firstenergy Project, Ser B, RB
3.625%, 12/01/33(D)			1,000				1,013

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 55

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Ohio State, Air Quality Development Authority, Pollution Control Firstenergy Project, Ser S, RB
3.625%, 10/01/33(D)		$	1,000			$	1,012
Ohio State, Air Quality Development Authority, Ser E, RB
5.625%, 10/01/19			3,350				3,718
Ohio State, Water Development Authority, Pollution Control Firstenergy Project, Ser S, RB
3.625%, 10/01/33(D)			1,500				1,518
Southeastern Ohio, Port Authority, Memorial Health System Project, RB
Callable 12/01/22 @ 100
6.000%, 12/01/42			7,000				7,521
Toledo-Lucas County Port Authority, SAB
Callable 11/02/15 @ 101
5.375%, 12/01/35			2,005				2,013
Total Ohio							21,914
Pennsylvania [3.7%]
Beaver County, Industrial Development Authority, Ser B, RB
3.500%, 12/01/35(D)			5,000				5,036
Delaware County, Industrial Development Authority, Chester Community Charter School Project, Ser A, RB
Callable 08/15/20 @ 100
6.125%, 08/15/40			4,730				4,822
Delaware County, Industrial Development Authority, Covanta Project, Ser A, RB
Callable 07/01/20 @ 100
5.000%, 07/01/43			2,500				2,485
Pennsylvania State, Economic Development Financing Authority, Ser A-RE, RB
Callable 09/01/25 @ 100
6.400%, 12/01/38			3,000				3,118
Pennsylvania State, Turnpike Commission, Ser A, RB
Callable 12/01/24 @ 100
5.000%, 12/01/33			1,500				1,694
Pennsylvania State, Turnpike Commission, Sub-Ser E, RB
Callable 12/01/27 @ 100
0.000%, 12/01/38(B)			2,000				2,230
Philadelphia, Authority for Industrial Development, Mariana Bracetti Academy, RB
Callable 12/15/21 @ 100
7.150%, 12/15/36			165				180
Philadelphia, Hospitals & Higher Education Facilities Authority, Temple University Health Systems Project, Ser A, RB
Callable 07/01/22 @ 100
5.625%, 07/01/42			3,000				3,153
Pottsville, Hospital Authority, Schuykill Health System Project, RB
Callable 07/01/24 @ 100
6.500%, 07/01/28			3,000				3,236
Total Pennsylvania							25,954
Rhode Island [0.7%]
Tobacco Settlement Financing, Ser A, RB
Callable 06/01/25 @ 100
5.000%, 06/01/35			2,500				2,589
Tobacco Settlement Financing, Ser A, RB
Callable 06/01/25 @ 100
5.000%, 06/01/40			2,250				2,286
Total Rhode Island							4,875
South Carolina [0.8%]
South Carolina State, Public Service Authority, Ser E, RB
Callable 12/01/23 @ 100
5.500%, 12/01/53			5,000				5,554
Tennessee [0.3%]
Johnson City, Health & Educational Facilities Board, Mountain States Health Alliance Project, RB
Callable 07/01/20 @ 100
6.000%, 07/01/38			2,000				2,241
Texas [10.2%]
Arlington, Higher Education Finance Corp., Universal Academy Project, Ser A, RB
Callable 03/01/24 @ 100
7.000%, 03/01/34			400				413

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 56

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Arlington, Higher Education Finance Corp., Universal Academy Project, Ser A, RB
Callable 03/01/24 @ 100
7.125%, 03/01/44		$	2,300			$	2,401
Bexar County, Health Facilities Development Corp., Army Retirement Residence Project, RB
Callable 07/01/20 @ 100
6.200%, 07/01/45			3,250				3,515
Celina, Lakes at Mustang Ranch Public Improvement District Phase 1 Project, SAB
5.375%, 09/01/28			400				387
Celina, Lakes at Mustang Ranch Public Improvement District Phase 1 Project, SAB
5.500%, 09/01/32			250				241
Celina, Lakes at Mustang Ranch Public Improvement District Phase 1 Project, SAB
5.875%, 09/01/40			600				574
Central Texas, Regional Mobility Authority, RB
Callable 01/01/23 @ 100
5.000%, 01/01/33			1,000				1,075
Central Texas, Regional Mobility Authority, RB
Callable 01/01/23 @ 100
5.000%, 01/01/42			1,000				1,056
Grand Parkway Transportation, Toll Revenue, Ser B, RB
Callable 10/01/23 @ 100
5.000%, 04/01/53			2,000				2,178
Hackberry City, Public Improvement District No. 3, SAB
Callable 09/01/19 @ 103
6.750%, 09/01/28			500				522
Hackberry City, Public Improvement District No. 3, SAB
Callable 09/01/19 @ 103
7.000%, 09/01/33			475				508
Hackberry City, Public Improvement District No. 3, SAB
Callable 09/01/19 @ 103
6.625%, 09/01/37			450				470
Hackberry City, Public Improvement District No. 3, SAB
Callable 09/01/19 @ 103
6.750%, 09/01/44			525				547
Houston, Airport System Revenue, United Airlines Project, RB, AMT
Callable 07/01/24 @ 100
5.000%, 07/01/29			3,000				3,163
Houston, Higher Education Finance, Ser A, RB
Pre-Refunded @ 100
6.875%, 05/15/41(C)			5,300				6,861
Leander, Oak Creek Public Improvement District, SAB
Callable 09/01/19 @ 103
5.750%, 09/01/38			500				491
Leander, Oak Creek Public Improvement District, SAB
Callable 09/01/19 @ 103
5.875%, 09/01/44			500				490
Lubbock, Health Facilities Development, First Mortgage - Carillon Project, Ser A, RB
Callable 07/01/16 @ 101
6.500%, 07/01/26			430				438
Lubbock, Health Facilities Development, First Mortgage - Carillon Project, Ser A, RB
Callable 07/01/16 @ 101
6.625%, 07/01/36			255				259
McLendon-Chisholm, Sonoma Public Improvement District Project, SAB
Callable 09/15/20 @ 103
5.125%, 09/15/28			500				488
McLendon-Chisholm, Sonoma Public Improvement District Project, SAB
Callable 09/15/20 @ 103
5.500%, 09/15/40			375				362
McLendon-Chishom, Sonoma Public Improvement District Project, SAB
Callable 09/15/20 @ 103
5.375%, 09/15/35			400				388
North Texas State, Thruway Authority, Convertible Capital Appreciation Project, Ser C, RB
Callable 09/01/31 @ 100
7.000%, 09/01/43(B)			5,000				4,526

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 57

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Red River, Health Facilities Development, MRC Crossings Project, Ser B, RB
Callable 11/02/15 @ 100
5.000%, 11/15/19		$	1,075			$	1,077
Sanger, Industrial Development Authority, Pellets Project, Ser B, RB, AMT
Callable 07/01/22 @ 100
8.000%, 07/01/38			4,950				5,338
Tarrant County Cultural Education Facilities Finance, Buckingham Senior Living Community Project, RB
Callable 11/15/25 @ 100
5.500%, 11/15/45			4,100				4,100
Tarrant County Cultural Education Facilities Finance, RB
Callable 05/15/17 @ 100
4.500%, 11/15/21			3,500				3,498
Tarrant County, Cultural Education Facilities Finance, Buckingham Senior Living Community Project, RB
Callable 11/15/17 @ 100
5.750%, 11/15/37			6,000				6,098
Tarrant County, Cultural Education Facilities Finance, Trinity Basin Preparatory Project, Ser A, RB
Pre-Refunded @ 100
7.300%, 06/01/29(C)			600				715
Texas State, Municipal Gas Acquisition & Supply I, Ser Senior D, RB
6.250%, 12/15/26			3,575				4,306
Texas State, Municipal Gas Acquisition & Supply III, RB
5.000%, 12/15/32			2,500				2,685
Texas State, Private Activity Bond Surface Transportation Corp., LBJ Infrastructure Project, RB
Callable 06/30/20 @ 100
7.000%, 06/30/40			5,165				6,121
Texas State, Private Activity Bond Surface Transportation Corp., NTE Mobility Project, RB
Callable 12/31/19 @ 100
6.875%, 12/31/39			5,350				6,257
Total Texas							71,548
Virginia [2.4%]
Cherry Hill, Community Development Authority, SAB
Callable 03/01/25 @ 100
5.150%, 03/01/35(A)			1,000				1,001
Cherry Hill, Community Development Authority, SAB
Callable 03/01/25 @ 100
5.400%, 03/01/45(A)			2,000				2,022
James City County, Economic Development Authority, United Methodist Home Project, Ser A, RB
Callable 06/01/23 @ 100
6.000%, 06/01/43			4,690				4,362
Lower Magnolia Green Community Development Authority, SAB
Callable 03/01/25 @ 100
5.000%, 03/01/45(A)			4,135				4,017
Virginia State, College Building Authority, Marymount University Project, Ser A, RB
Callable 07/01/25 @ 100
5.000%, 07/01/35(A)			1,200				1,257
Virginia State, College Building Authority, Marymount University Project, Ser A, RB
Callable 07/01/25 @ 100
5.000%, 07/01/45(A)			3,110				3,114
Virginia State, Small Business Financing Authority, Elizabeth River Project, RB, AMT
Callable 07/01/22 @ 100
6.000%, 01/01/37			1,000				1,139
Total Virginia							16,912
Washington [0.6%]
Washington State, Housing Finance Commission, Rockwood Retirement Community Project, RB
Callable 10/22/15 @ 100
5.375%, 01/01/20(A)			2,000				2,003
Washington State, Housing Finance Commission, Rockwood Retirement Community Project, RB
Callable 01/01/24 @ 100
7.500%, 01/01/49(A)			2,000				2,265
Total Washington							4,268

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 58

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Wisconsin [5.4%]
Public Finance Authority, Airport Facilities, Senior Trips Obligation Group Project, RB, AMT
Callable 07/01/22 @ 100
5.000%, 07/01/42		$	1,000			$	1,033
Public Finance Authority, Coral Academy Project, RB
Callable 07/01/24 @ 100
5.375%, 07/01/34			2,000				2,038
Public Finance Authority, Coral Academy Project, RB
Callable 07/01/24 @ 100
5.625%, 07/01/44			3,500				3,593
Public Finance Authority, RB
Callable 09/01/24 @ 100
5.000%, 09/01/30(A)			800				805
Public Finance Authority, RB
Callable 03/01/25 @ 100
5.250%, 03/01/35(A)			1,250				1,238
Public Finance Authority, RB
Callable 09/01/24 @ 100
5.000%, 09/01/38(A)			1,580				1,540
Public Finance Authority, RB
Callable 03/01/25 @ 100
5.500%, 03/01/45(A)			3,460				3,420
Public Finance Authority, RB
Callable 04/01/25 @ 100
5.875%, 04/01/45			3,000				3,102
Public Finance Authority, Las Ventanas Retirement Community Project, RB
Callable 10/01/20 @ 102
7.000%, 10/01/42			5,400				5,382
Public Finance Authority, Ser A, RB
Callable 06/15/25 @ 100
5.500%, 06/15/35(A)			3,000				2,905
Public Finance Authority, Ser A, RB
Callable 06/15/25 @ 100
5.500%, 06/15/45(A)			4,280				4,041
Wisconsin State, Health & Educational Facilities Authority, RB
Callable 10/01/22 @ 102
5.500%, 10/01/49			2,500				2,496
Wisconsin State, Health & Educational Facilities Authority, RB
Callable 12/01/22 @ 102
5.250%, 12/01/49			6,000				6,015
Total Wisconsin							37,608
Puerto Rico [3.7%]
Puerto Rico, Commonwealth, Aqueduct & Sewer Authority, Ser A, RB
Callable 07/01/22 @ 100
5.250%, 07/01/24			2,590				1,829
Puerto Rico, Commonwealth, Aqueduct & Sewer Authority, Ser A, RB
Callable 07/01/22 @ 100
5.250%, 07/01/42			840				569
Puerto Rico, Commonwealth, Aqueduct & Sewer Authority, Ser Senior A, RB
Callable 07/01/18 @ 100
6.000%, 07/01/38			4,000				2,785
Puerto Rico, Commonwealth, Aqueduct & Sewer Authority, Ser Senior A, RB
Callable 07/01/18 @ 100
6.000%, 07/01/44			3,000				2,078
Puerto Rico, Commonwealth, Ser A, GO
Callable 07/01/20 @ 100
8.000%, 07/01/35			10,000				7,500
Puerto Rico, Electric Power Authority, Ser A, RB
Callable 07/01/23 @ 100
7.000%, 07/01/33			1,440				929
Puerto Rico, Electric Power Authority, Ser A, RB
Callable 07/01/23 @ 100
7.000%, 07/01/40			1,000				645
Puerto Rico, Electric Power Authority, Ser A, RB
Callable 07/01/22 @ 100
5.000%, 07/01/42			1,310				845
Puerto Rico, Electric Power Authority, Ser WW, RB
Callable 07/01/18 @ 100
5.500%, 07/01/38			1,060				684
Puerto Rico, Electric Power Authority, Ser XX, RB
Callable 07/01/20 @ 100
5.750%, 07/01/36			940				606

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 59

schedule of investments

September 30, 2015

City National Rochdale Municipal High Income Fund (concluded)

 

Description		Face Amount (000)/Shares				Value (000)
Puerto Rico, Sales Tax Financing, Sub-Ser A, RB
Callable 02/01/20 @ 100
5.375%, 08/01/39		$	7,000			$	2,949
Puerto Rico, Sales Tax Financing, Sub-Ser A, RB
Callable 08/01/19 @ 100
6.000%, 08/01/42			3,500				1,479
Puerto Rico, Sales Tax Financing, Sub-Ser A, RB
Callable 08/01/19 @ 100
6.500%, 08/01/44			1,250				534
Puerto Rico, Sales Tax Financing, Sub-Ser C, RB
5.250%, 08/01/40			3,000				1,875
Puerto Rico, Sales Tax Financing, Sub-Ser C, RB
Callable 08/01/20 @ 100
5.250%, 08/01/41			1,000				421
Total Puerto Rico							25,728
Total Municipal Bonds
(Cost $623,120)							631,059
Short-Term Investments [8.8%]
City National Rochdale Government Money Market Fund, Institutional Class, 0.010%** ‡			33,108,254				33,108
SEI Daily Income Trust Government Fund, Cl A, 0.010%**			28,172,329				28,173
Total Short-Term Investments
(Cost $61,281)							61,281
Total Investments [99.0%]
(Cost $684,401)						$	692,340

 

Percentages are based on Net Assets of $699,662 (000).

 

 

AGM — Assured Guarantee Municipal

AMBAC — American Municipal Bond Assurance Company

AMT — Alternative Minimum Tax (subject to)

COP — Certificate of Participation

GO — General Obligation

RB — Revenue Bond

SAB — Special Assessment Board

Ser — Series

SPL Tax — Special Tax

TA — Tax Allocation

 

A list of open futures contracts held by the Fund at September 30, 2015, is as follows:

 

Type of Contract		Number of Contracts Short			Expiration Date		Unrealized (Depreciation) ($ Thousands)
U.S. Long Treasury Bond			(89)		Dec-2015		$	(58	)

 

For the year ended September 30, 2015, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

 

The following is a list of the inputs used as of September 30, 2015 is valuing the Fund’s investments and other financial instruments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Municipal Bonds		$	—			$	631,059			$	—			$	631,059
Short-Term Investments			61,281				—				—				61,281
Total Investments in Securities		$	61,281			$	631,059			$	—			$	692,340

 

Other Financial Instruments		Level 1				Level 2				Level 3				Total
Futures Contracts* Depreciation		$	(58	)		$	—			$	—			$	(58	)

 

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 60

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund

 

Description		Face Amount (000)				Value (000)
Corporate Bonds [89.3%]
Advertising Agencies [1.7%]
MDC Partners
6.750%, 04/01/20(A)		$	1,450			$	1,432
Aerospace & Defense [1.4%]
LMI Aerospace
7.375%, 07/15/19			400				386
Orbital ATK
5.500%, 10/01/23(A)			450				451
StandardAero Aviation Holdings
10.000%, 07/15/23(A)			400				396
Total Aerospace & Defense							1,233
Air Transportation [0.7%]
CEVA Group
7.000%, 03/01/21(A)			725				642
Airlines [0.1%]
Continental Airlines, Ser 2009-2, Cl B
9.250%, 05/10/17			87				94
Automotive [0.8%]
Midas Intermediate Holdco II
7.875%, 10/01/22(A)			675				658
Banks [0.3%]
Compass Bank
3.875%, 04/10/25			300				280
Broadcasting & Cable [3.8%]
Anixter
5.500%, 03/01/23(A)			450				443
CCO Holdings
5.125%, 05/01/23(A)			450				415
CSC Holdings
5.250%, 06/01/24			200				158
DISH DBS
5.875%, 07/15/22			650				575
5.875%, 11/15/24			100				85
Midcontinent Communications & Midcontinent Finance
6.875%, 08/15/23(A)			250				249
Sirius XM Radio
5.375%, 04/15/25(A)			400				383
Unitymedia GmbH
6.125%, 01/15/25(A)			200				197
Unitymedia Hessen GmbH & KG
5.000%, 01/15/25(A)			400				376
Univision Communications
5.125%, 02/15/25(A)			400				375
Total Broadcasting & Cable							3,256
Building & Construction [1.1%]
Building Materials Corp of America
6.000%, 10/15/25(A)			250				252
Dycom Investments
7.125%, 01/15/21			300				316
Reliance Intermediate Holdings
6.500%, 04/01/23(A)			400				400
Total Building & Construction							968
Business Services [0.8%]
FTI Consulting
6.000%, 11/15/22			700				725
Coal Mining [0.9%]
CONSOL Energy
8.000%, 04/01/23(A)			700				500
5.875%, 04/15/22			450				303
Total Coal Mining							803
Commercial Serv-Finance [0.5%]
WEX
4.750%, 02/01/23(A)			450				430

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 61

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Commercial Services [0.1%]
Iron Mountain
6.000%, 10/01/20(A)		$	100			$	101
Computer Graphics [1.8%]
Epicor Software
9.250%, 05/21/23			1,600				1,552
Computer System Design & Services [1.7%]
Brocade Communications Systems
4.625%, 01/15/23			450				434
NCR
6.375%, 12/15/23			400				392
5.875%, 12/15/21			650				637
Total Computer System Design & Services							1,463
Consumer Products & Services [4.3%]
Central Garden and Pet
8.250%, 03/01/18			1,955				1,982
Spectrum Brands
5.750%, 07/15/25(A)			200				204
Tempur Sealy International
5.625%, 10/15/23(A)			75				75
WMG Acquisition
6.750%, 04/15/22(A)			450				423
6.000%, 01/15/21(A)			993				993
Total Consumer Products & Services							3,677
Containers & Packaging [1.2%]
Berry Plastics Escrow
6.000%, 10/15/22(A)			150				150
Novelis
8.750%, 12/15/20			400				385
Reynolds Group Issuer
7.875%, 08/15/19			500				520
Total Containers & Packaging							1,055
Data Processing/Mgmt [1.1%]
Audatex North America
6.125%, 11/01/23(A)			200				201
6.000%, 06/15/21(A)			300				300
First Data
8.750%, 01/15/22(A) (B)			460				481
Total Data Processing/Mgmt							982
Distribution/Wholesale [0.4%]
VWR Funding
4.625%, 04/15/22(A)			300				316
Diversified Operations [1.0%]
Actuant
5.625%, 06/15/22			300				299
Amsted Industries
5.375%, 09/15/24(A)			250				243
5.000%, 03/15/22(A)			350				345
Total Diversified Operations							887
Drugs [1.4%]
Valeant Pharmaceuticals International
5.500%, 03/01/23(A)			250				237
5.375%, 03/15/20(A)			1,000				972
Total Drugs							1,209
E-Commerce/Services [0.3%]
IAC
4.750%, 12/15/22			250				230
Electric Utilities [1.8%]
AES
7.375%, 07/01/21			750				778
3.283%, 12/01/15(C)			350				333
Terraform Global Operating
9.750%, 08/15/22(A)			500				401
Total Electric Utilities							1,512
Energy & Power [1.9%]
ContourGlobal Power Holdings
7.125%, 06/01/19(A)			1,250				1,253
TerraForm Power Operating
6.125%, 06/15/25(A)			125				108
5.875%, 02/01/23(A)			350				309
Total Energy & Power							1,670
Engines-Internal Combust [1.0%]
Briggs & Stratton
6.875%, 12/15/20			800				864
Enterprise Software/Serv [2.7%]
Information US
6.500%, 05/15/22(A)			1,000				917
5.750%, 08/15/20(A)			300				299

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 62

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Open Text
5.625%, 01/15/23(A)		$	1,150			$	1,141
Total Enterprise Software/Serv							2,357
Entertainment & Gaming [1.4%]
Buffalo Thunder Development Authority
11.000%, 12/09/22(A) (F)			35				24
0.000%, 11/15/29(A) (D) (F)			16				—
Mashantucket Western Pequot Tribe
6.500%, 07/01/36 (F)			85				1
Seminole Hard Rock Entertainment
5.875%, 05/15/21(A)			250				246
Wynn Las Vegas
5.500%, 03/01/25(A)			1,100				943
Total Entertainment & Gaming							1,214
Financial Services [5.0%]
Credit Acceptance
6.125%, 02/15/21			450				443
Icahn Enterprises
5.875%, 02/01/22			1,150				1,157
Jefferies Finance
7.500%, 04/15/21(A)			1,000				935
7.375%, 04/01/20(A)			495				477
Jefferies LoanCore
6.875%, 06/01/20(A)			450				430
NewStar Financial
7.250%, 05/01/20(A)			300				299
Oxford Finance
7.250%, 01/15/18(A)			450				459
Quicken Loans
5.750%, 05/01/25(A)			150				141
Total Financial Services							4,341
Food, Beverage & Tobacco [3.1%]
Bumble Bee Holdings
9.000%, 12/15/17(A)			923				942
Darling Ingredients
5.375%, 01/15/22			300				294
Le-Nature’s
9.000%, 06/15/13(A) (D) (F)			150				—
Vector Group
7.750%, 02/15/21			1,350				1,427
Total Food, Beverage & Tobacco							2,663
Food-Wholesale/Distrib [0.6%]
KeHE Distributors
7.625%, 08/15/21(A)			450				472
Gas-Distribution [1.1%]
LBC Tank Terminals Holding Netherlands
6.875%, 05/15/23(A)			950				986
Gold Mining [0.8%]
Eldorado
6.125%, 12/15/20(A)			800				696
Hotels and Motels [0.2%]
Interval Acquisition
5.625%, 04/15/23(A)			200				197
Industrial [1.2%]
Unifrax I
7.500%, 02/15/19(A)			1,025				1,004
Insurance [2.6%]
American Equity Investment Life Holding
6.625%, 07/15/21			1,050				1,102
Ironshore Holdings US
8.500%, 05/15/20(A)			950				1,116
Total Insurance							2,218
Internet Connectiv Svcs [0.9%]
Cogent Communications Group
5.375%, 03/01/22(A)			300				290
Zayo Group
6.375%, 05/15/25(A)			550				528
Total Internet Connectiv Svcs							818
Internet Infrastr Sftwr [0.2%]
TIBCO Software
11.375%, 12/01/21(A)			150				150
Investment Banker/Broker Dealer [1.0%]
Ares Finance II
5.250%, 09/01/25(A)			350				356
National Financial Partners
9.000%, 07/15/21(A)			500				482
Total Investment Banker/Broker Dealer							838

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 63

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Investment Banks [1.4%]
Citigroup
6.300%, 12/29/49(C)		$	400			$	385
Royal Bank of Scotland Group
1.213%, 12/30/15(C)			800				800
Total Investment Banks							1,185
Machinery [0.8%]
CNH Industrial Capital
3.875%, 07/16/18(A)			250				245
Tempel Steel
12.000%, 08/15/16(A)			500				454
Total Machinery							699
Medical Products & Services [1.6%]
Halyard Health
6.250%, 10/15/22			400				408
Tenet Healthcare
3.786%, 12/15/15(A) (C)			1,000				993
Total Medical Products & Services							1,401
Metals & Mining [0.2%]
Kaiser Aluminum
8.250%, 06/01/20			170				181
Miscellaneous Business Services [0.7%]
ADT
6.250%, 10/15/21			400				412
3.500%, 07/15/22			200				177
Total Miscellaneous Business Services							589
Oil-Field Services [1.1%]
Exterran Holdings
7.250%, 12/01/18			550				539
FTS International
7.783%, 12/01/15(A) (C)			550				407
Total Oil-Field Services							946
Oil-US Royalty Trusts [0.2%]
IronGate Energy Services
11.000%, 07/01/18(A) (F)			275				175
Paper & Related Products [1.9%]
Cascades
5.750%, 07/15/23(A)			200				191
Opal Acquisition
8.875%, 12/15/21(A)			1,500				1,412
Total Paper & Related Products							1,603
Petrochemicals [0.9%]
TPC Group
8.750%, 12/15/20(A)			895				765
Petroleum & Fuel Products [9.5%]
Antero Resources
5.625%, 06/01/23(A)			350				307
5.125%, 12/01/22			350				301
Antero Resources Finance
5.375%, 11/01/21			50				44
Atlas Energy Holdings Operating
9.250%, 08/15/21(F)			725				305
7.750%, 01/15/21(F)			975				409
BreitBurn Energy Partners
7.875%, 04/15/22			1,100				393
Comstock Resources
10.000%, 03/15/20(A)			750				521
Crestwood Midstream Partners
6.125%, 03/01/22			550				476
EP Energy
9.375%, 05/01/20			500				430
6.375%, 06/15/23			400				295
FTS International
6.250%, 05/01/22			450				140
Gibson Energy
6.750%, 07/15/21(A)			300				288
Legacy Reserves
8.000%, 12/01/20			760				547
6.625%, 12/01/21			750				510
Milagro Oil & Gas
10.500%, 05/15/16(D) (F)			400				120
Precision Drilling
6.625%, 11/15/20			475				414
QEP Resources
5.250%, 05/01/23			300				251
Sabine Pass Liquefaction
5.625%, 04/15/23			950				843
SandRidge Energy
8.750%, 06/01/20(A)			400				243
8.125%, 10/15/22			850				183
Ultra Petroleum
5.750%, 12/15/18(A)			700				504

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 64

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
Unit
6.625%, 05/15/21		$	850			$	697
Total Petroleum & Fuel Products							8,221
Publishing-Books [1.5%]
McGraw-Hill Global Education Holdings
9.750%, 04/01/21			1,150				1,256
Real Estate [1.0%]
Kennedy-Wilson
5.875%, 04/01/24			850				831
Real Estate Investment Trusts [1.3%]
Corrections Corp of America
5.000%, 10/15/22			250				250
DuPont Fabros Technology
5.625%, 06/15/23			350				352
Hospitality Properties Trust
4.500%, 03/15/25			550				539
Total Real Estate Investment Trusts							1,141
Real Estate Oper/Develop [0.2%]
Greystar Real Estate Partners
8.250%, 12/01/22(A)			200				209
Research and Development [0.2%]
Jaguar Holding II
6.375%, 08/01/23(A)			200				194
Retail [5.4%]
AmeriGas Finance
7.000%, 05/20/22			1,010				1,035
Brunswick
4.625%, 05/15/21(A)			550				546
Carrols Restaurant
8.000%, 05/01/22			200				211
Checkers Drive-In Restaurants
11.000%, 12/01/17(A)			650				691
Ferrellgas
6.750%, 01/15/22			300				279
6.750%, 06/15/23(A)			600				546
6.500%, 05/01/21			50				47
Men’s Wearhouse
7.000%, 07/01/22			300				309
Nathan’s Famous
10.000%, 03/15/20(A) (F)			250				262
NPC International
10.500%, 01/15/20			225				234
Petco Animal Supplies
9.250%, 12/01/18(A)			300				304
PF Chang’s China Bistro
10.250%, 06/30/20(A)			285				277
Total Retail							4,741
Security Brokers & Dealers [1.1%]
Citigroup
5.950%, 10/24/15(C)			200				188
Goldman Sachs Group
5.375%, 10/23/15(C)			300				293
JPMorgan Chase
5.300%, 10/21/15(C)			500				491
Total Security Brokers & Dealers							972
Semi-Conductors [1.5%]
Applied Materials
3.900%, 10/01/25			250				249
Micron Technology
5.250%, 08/01/23(A)			1,150				1,058
Total Semi-Conductors							1,307
Telecommunication Equip [1.3%]
Avaya
7.000%, 04/01/19(A)			850				674
CommScope Technologies Finance
6.000%, 06/15/25(A)			500				480
Total Telecommunication Equip							1,154
Telephones & Telecommunications [4.6%]
Altice US Finance I
5.375%, 07/15/23(A)			350				336
CenturyLink
5.625%, 04/01/25(A)			350				278
Interoute Finco
7.375%, 10/15/20(A)			500				494
Level 3 Financing
5.375%, 05/01/25(A)			850				797
Neptune Finco
6.625%, 10/15/25(A)			300				302
Sirius XM Canada Holdings
5.625%, 04/23/21(A)			600				447
Sprint
7.625%, 02/15/25			250				194
Sprint Communications
9.000%, 11/15/18(A)			400				420

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 65

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (continued)

 

Description		Face Amount (000)				Value (000)
UPCB Finance IV
5.375%, 01/15/25(A)		$	300			$	276
Virgin Media Secured Finance
5.250%, 01/15/26(A)			500				460
Total Telephones & Telecommunications							4,004
Transportation Services [1.2%]
HRG Group
7.875%, 07/15/19			604				627
7.875%, 07/15/19(A)			150				155
Moto Finance
6.375%, 09/01/20(A)			150				229
Total Transportation Services							1,011
Utility [0.8%]
Suburban Propane Partners
5.750%, 03/01/25			250				237
5.500%, 06/01/24			450				416
Total Utility							653
Total Corporate Bonds
(Cost $85,191)							77,231
Loan Participations [8.2%]
Aerospace [0.2%]
TransDigm Inc., Term Loan E
3.500%, 05/13/22			199				196
Automotive [0.6%]
Mavis Tire Supply, Term Loan
6.250%, 11/02/20(F)			550				542
Communications [1.1%]
Numericable, Cov-Lite Term Loan B-5
4.000%, 07/27/22			400				392
Tibco Software, First Lien Term Loan
6.500%, 11/25/20(F)			547				542
Total Communications							934
Computers & Electronics [1.0%]
Advanced Computer, Second Lien Term Loan
10.500%, 01/31/23			400				384
Epicor Software, First Lien Term Loan
4.750%, 06/01/22			499				495
Total Computers & Electronics							879
Financial Services [0.5%]
AlixPartners, First Lien Term Loan
4.500%, 07/22/22			450				448
Lincoln Finance
0.000%, 12/31/15(E) (G)			1,000				—
Total Financial Services							448
Information Technology [0.2%]
Avaya, First Lien Term Loan B-7
6.250%, 05/29/20			194				151
Manufacturing [0.3%]
Pelican Products, Term Loan
9.250%, 04/09/21			250				248
Metals & Mining [0.3%]
Noranda Aluminum, Term Loan
5.750%, 02/24/19			396				267
Oil & Gas [0.4%]
Cactus Wellhead, First Lien Term Loan
7.000%, 07/31/20			347				260
Frac Tech International, Term Loan B
5.750%, 04/16/21			165				50
Total Oil & Gas							310
Professional & Business Services [0.2%]
Intertrust Group, Second Lien Term Loan
8.000%, 04/15/22			200				200
Restaurants [0.6%]
Jack’s Family Restaurants, Cov-Lite Term Loan
5.750%, 06/24/22(F)			550				542
Retail [0.5%]
Hardware Holdings, Term Loan B
6.750%, 03/30/20(F)			396				386

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 66

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (continued)

 

Description		Face Amount (000)/Shares				Value (000)
Specialty Apparel Stores [0.6%]
Boot Barn, First Lien Term Loan
5.500%, 06/24/21(F)		$	549			$	543
Telecommunications [1.2%]
Sky Bet, Cov-Lite First Lien Term Loan
6.500%, 02/25/22			650				983
Transportation [0.5%]
CEVA Group, First Lien Term Loan
6.500%, 03/19/21			186				166
Navistar, Tranche B Term Loan
7.000%, 08/17/17			300				293
Total Transportation							459
Total Loan Participations
(Cost $7,434)							7,088
Common Stock [0.6%]
Electronic Equipment & Instruments [0.0%]
CUI *(G)			—				8
Metals & Mining [0.2%]
Mirabela Nickel *(G)			2,465,571				144
Miscellaneous Manufacturing [0.0%]
CEVA Group *			22				14
Printing & Publishing [0.4%]
Houghton Mifflin Harcourt *			16,866				342
Total Common Stock
(Cost $853)							508
Mortgage-Backed Security [0.3%]
SRERS Funding, Ser 2011-RS, Cl A1B1
0.430%, 10/09/15(A) (C)			259				249
Total Mortgage-Backed Security
(Cost $228)							249
Convertible Bond [0.2%]
Metals & Mining [0.2%]
Mirabela Nickel
9.500%, 06/24/19(A) (F) (G)			595				184
Total Convertible Bond
(Cost $595)							184
Preferred Stock [0.0%]
Miscellaneous Manufacturing [0.0%]
CEVA Group 7.000% *			49				30
Total Preferred Stock
(Cost $44)							30
Special Stock [0.0%]
Broadcasting & Cable [0.0%]
Adelphia Recovery Trust *(F) (G)			8,500				—
Total Special Stock
(Cost $9)							—
Short-Term Investments [0.5%]
City National Rochdale Prime Money Market Fund, Institutional Class, 0.010%** ‡			239,494				240
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.030%**			181,146				181
Total Short-Term Investments
(Cost $421)							421
Total Investments [99.1%]
(Cost $94,775)						$	85,711

 

Percentages are based on Net Assets of $86,511 (000).

 

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 67

schedule of investments

September 30, 2015

City National Rochdale High Yield Bond Fund (concluded)

 

Cl — Class

Ser — Series

Amounts designated as “—” are either $0 or have been rounded to $0.

 

A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:

 

Settlement Date	Currency to Deliver (000)	Currency to Receive (000)		Unrealized Appreciation (Depreciation) (000)
10/7/15	USD	AUD 144		$	1
10/7/15	GBP	USD 1,221			6
10/7/15	AUD	USD 142			(2	)
10/7/15	CAD	USD 451			2
10/7/15	EUR	USD 329			(1	)
				$	6

 

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:

 

Counterparty		Currency to Deliver (000)				Currency to Receive (000)				Unrealized Appreciation (000)
Bank of America		$	(2,281	)		$	2,287			$	6

 

For the period ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3(1)				Total
Corporate Bonds		$	—			$	77,231			$	—			$	77,231
Loan Participations			—				7,088				—				7,088
Common Stock			342				14				152				508
Mortgage-Backed Security			—				249				—				249
Convertible Bond			—				—				184				184
Preferred Stock			—				30				—				30
Special Stock			—				—				—				—
Short-Term Investments			421				—				—				421
Total Investments in Securities		$	763			$	84,612			$	336			$	85,711

 

Other Financial Instruments		Level 1				Level 2				Level 3				Total
Forwards Contracts*
Unrealized Appreciation		$	—			$	9			$	—			$	9
Unrealized Depreciation			—				(3	)			—				(3	)
Total Other Financial Instruments		$	—			$	6			$	—			$	6

 

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value (000) as of September 30, 2015:

 

		Investments in Corporate Bonds (000)				Investments in Common Stock (000)				Investments in Convertible Bonds (000)
Beginning balance as of October 1, 2014		$	5			$	13			$	542
Accrued discounts/ premiums			—				—				—
Realized gain/(loss)			—				—				—
Change in unrealized appreciation/(depreciation)			45				(5	)			(410	)
Purchases			—				—				52
Sales/paydowns			(50	)			—				—
Transfers into Level 3			—				144				—
Transfers out of Level 3			—				—				—
Ending balance as of September 30, 2015		$	—			$	152			$	184
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	—			$	(5	)		$	(410	)

 

		Total (000)
Beginning balance as of October 1, 2014		$	560
Accrued discounts/ premiums			—
Realized gain/(loss)			—
Change in unrealized appreciation/(depreciation)			(370	)
Purchases			52
Sales/paydowns			(50	)
Transfers into Level 3			144
Transfers out of Level 3			—
Ending balance as of September 30, 2015		$	336
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(415	)

 

For the year ended September 30, 2015, there have been transfers between Level 2 and Level 3 assets and liabilities.

 

The transfers between fair values hierarchy levels were due to changes in the availability of observable inputs to determine fair value. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 68

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund

 

 

Description		Face Amount (000)				Value (000)
Corporate Bonds [72.7%]
Consumer Discretionary [4.6%]
AutoZone
3.700%, 04/15/22		$	250			$	257
2.500%, 04/15/21			1,000				991
Best Buy
3.750%, 03/15/16			300				302
CBS
3.375%, 03/01/22			175				174
Comcast
3.125%, 07/15/22			200				203
Expedia
5.950%, 08/15/20			250				277
Gap
5.950%, 04/12/21			495				536
Harley-Davidson Financial Services, MTN
1.550%, 11/17/17(A)			3,725				3,715
Home Depot
2.625%, 06/01/22			1,000				1,000
Hyundai Capital America
2.600%, 03/19/20(A)			1,000				997
Johnson Controls
5.500%, 01/15/16			100				101
Newell Rubbermaid
2.875%, 12/01/19			2,000				2,018
Scripps Networks Interactive
2.700%, 12/15/16			1,000				1,015
Time Warner Cable
4.125%, 02/15/21			165				170
Toys R Us Property II
8.500%, 12/01/17			1				1
Tupperware Brands
4.750%, 06/01/21			500				523
Viacom
6.250%, 04/30/16			49				50
Yum! Brands
6.250%, 03/15/18			30				33
Total Consumer Discretionary							12,363
Consumer Staples [3.5%]
Avon Products
6.500%, 03/01/19			250				215
Bunge Finance
8.500%, 06/15/19			105				125
5.900%, 04/01/17			100				106
Campbell Soup
8.875%, 05/01/21			350				454
ConAgra Foods
4.950%, 08/15/20			410				448
1.900%, 01/25/18			200				199
CVS Health
3.500%, 07/20/22			2,000				2,066
Dr Pepper Snapple Group
2.900%, 01/15/16			2,200				2,213
JM Smucker
3.000%, 03/15/22(A)			500				498
Kraft Heinz Foods
3.500%, 07/15/22(A)			500				511
PepsiCo
3.100%, 07/17/22			2,620				2,683
Total Consumer Staples							9,518
Energy [3.5%]
Boardwalk Pipelines
5.875%, 11/15/16			146				151
5.750%, 09/15/19			175				185
5.500%, 02/01/17			221				227
BP Capital Markets
3.125%, 10/01/15			145				145
Buckeye Partners
6.050%, 01/15/18			155				163
ConocoPhillips
5.750%, 02/01/19			290				326

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 69

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
DCP Midstream
9.750%, 03/15/19(A)		$	114			$	128
DCP Midstream Operating
3.250%, 10/01/15			120				120
Duke Capital
6.750%, 07/15/18			745				824
Ecopetrol
7.625%, 07/23/19			250				274
Enbridge Energy Partners
5.875%, 12/15/16			191				200
Energy Transfer Partners
9.700%, 03/15/19			330				394
9.000%, 04/15/19			189				222
6.125%, 02/15/17			426				448
3.600%, 02/01/23			200				180
Enterprise Products Operating
6.500%, 01/31/19			140				157
EOG Resources
5.625%, 06/01/19			290				327
FMC Technologies
3.450%, 10/01/22			200				187
Freeport-McMoran Oil & Gas
6.125%, 06/15/19			1,309				1,217
Husky Energy
3.950%, 04/15/22			150				145
Kinder Morgan Energy Partners
5.300%, 09/15/20			125				133
Marathon Oil
6.000%, 10/01/17			150				161
ONEOK Partners
2.000%, 10/01/17			155				154
Panhandle Eastern Pipe Line
7.000%, 06/15/18			396				442
Petrofac
3.400%, 10/10/18(A)			125				123
Plains All American Pipeline
5.875%, 08/15/16			205				213
PPL Energy Supply
6.200%, 05/15/16			105				106
Puget Energy
6.000%, 09/01/21			500				575
Rowan
4.875%, 06/01/22			200				149
Sabine Pass LNG
7.500%, 11/30/16			100				102
Spectra Energy Capital
6.200%, 04/15/18			135				146
Transocean
7.375%, 04/15/18			494				469
6.000%, 03/15/18			500				458
Williams Partners
3.350%, 08/15/22			200				180
Total Energy							9,431
Financials [30.7%]
ACE INA Holdings
5.800%, 03/15/18			300				330
Alleghany
5.625%, 09/15/20			270				303
American Express
0.919%, 05/22/18(B)			3,000				2,996
American Express Credit, MTN
2.800%, 09/19/16			175				178
American Tower
4.000%, 06/01/25			1,800				1,758
Associates Corp of North America
6.950%, 11/01/18			150				171
Axis Specialty Finance
5.875%, 06/01/20			250				283
Bank of America
5.700%, 05/02/17			950				1,003
5.420%, 03/15/17			42				44
Bank of America, MTN
5.650%, 05/01/18			145				158
Bank of Montreal, MTN
1.450%, 04/09/18			340				338
Barclays Bank
5.125%, 01/08/20			100				112
BB&T, MTN
1.600%, 08/15/17			355				357
Bear Stearns
7.250%, 02/01/18			275				308
5.550%, 01/22/17			468				492
Capital One Financial
1.500%, 03/22/18			475				468
Citigroup
6.125%, 05/15/18			140				155
4.500%, 01/14/22			2,000				2,163
CNA Financial
6.950%, 01/15/18			1,076				1,192
Commonwealth Bank of Australia, MTN
5.000%, 10/15/19(A)			150				166
Countrywide Financial, MTN
6.000%, 08/26/20(C)			313				312
Credit Suisse NY, MTN
5.300%, 08/13/19			150				167
Daimler Finance North America
1.875%, 01/11/18(A)			4,200				4,173

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 70

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Discover Bank
3.100%, 06/04/20		$	1,000			$	1,010
ERAC USA Finance
3.300%, 10/15/22(A)			250				250
Ford Motor Credit
4.250%, 02/03/17			2,000				2,067
1.700%, 05/09/16			1,000				1,003
Goldman Sachs Group
6.250%, 09/01/17			550				598
6.150%, 04/01/18			150				165
5.625%, 01/15/17			700				735
5.350%, 01/15/16			250				253
Goldman Sachs Group, MTN
6.000%, 06/15/20			500				575
HCP
4.000%, 06/01/25			2,770				2,714
HSBC Finance
6.676%, 01/15/21			83				97
ING Bank
3.750%, 03/07/17(A)			200				206
Jefferies Group
8.500%, 07/15/19			1,000				1,184
5.500%, 03/15/16			1,000				1,017
JPMorgan Chase
4.950%, 03/25/20			100				110
4.250%, 10/15/20			150				161
3.125%, 01/23/25			4,700				4,536
Lehman Brothers Holdings, MTN
7.000%, 09/28/37(D)			400				41
Macquarie Bank, MTN
2.600%, 06/24/19(A)			4,200				4,223
Marsh & McLennan, MTN
2.550%, 10/15/18			100				102
MetLife
6.817%, 08/15/18			3,500				3,987
Metropolitan Life Global Funding I
3.875%, 04/11/22(A)			125				130
Moody’s
5.500%, 09/01/20			800				904
Morgan Stanley
3.750%, 02/25/23			5,000				5,121
MUFG Americas Holdings
2.250%, 02/10/20			2,000				1,993
NASDAQ OMX Group
5.550%, 01/15/20			1,249				1,375
National Bank of Canada, MTN
1.450%, 11/07/17			750				749
National Rural Utilities Cooperative Finance
10.375%, 11/01/18			125				156
6.550%, 11/01/18			300				343
Navient, MTN
5.000%, 06/15/18			2				2
Penske Truck Leasing
3.750%, 05/11/17(A)			3,000				3,090
Principal Financial Group
8.875%, 05/15/19			130				159
3.300%, 09/15/22			200				200
Protective Life
6.400%, 01/15/18			250				275
Prudential Financial, MTN
5.375%, 06/21/20			145				163
Silicon Valley Bank
6.050%, 06/01/17			355				377
Simon Property Group
10.350%, 04/01/19			3,500				4,401
State Street
2.550%, 08/18/20			5,000				5,066
SunTrust Banks
6.000%, 09/11/17			254				275
Svenska Handelsbanken, MTN
5.125%, 03/30/20(A)			5,800				6,514
TD Ameritrade Holding
5.600%, 12/01/19			290				332
Toronto-Dominion Bank, MTN
0.864%, 11/05/19(B)			3,100				3,095
Toyota Motor Credit, MTN
2.000%, 09/15/16			100				101
UBS, MTN
7.375%, 06/15/17			388				422
US Bank
2.125%, 10/28/19			4,500				4,533
Volkswagen International Finance
2.375%, 03/22/17(A)			125				123
Wells Fargo Bank
5.750%, 05/16/16			100				103
Wilmington Trust
8.500%, 04/02/18			315				362
Total Financials							83,025
Health Care [1.3%]
Actavis
3.250%, 10/01/22			500				488
Laboratory Corp of America Holdings
3.200%, 02/01/22			2,530				2,518

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 71

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
UnitedHealth Group
4.700%, 02/15/21		$	200			$	223
1.625%, 03/15/19			250				248
Total Health Care							3,477
Industrials [5.3%]
Carlisle
3.750%, 11/15/22			250				250
CNH America
7.250%, 01/15/16			388				392
Eaton
8.875%, 06/15/19			125				152
Embraer Overseas
5.696%, 09/16/23(A)			520				515
GATX
6.000%, 02/15/18			170				185
General Electric Capital, MTN
6.000%, 08/07/19			410				474
5.625%, 09/15/17			300				327
5.300%, 02/11/21			3,500				4,026
4.375%, 09/16/20			150				166
IDEX
4.200%, 12/15/21			250				264
Joy Global
6.000%, 11/15/16			500				515
Lennox International
4.900%, 05/15/17			250				261
NuStar Logistics
8.150%, 04/15/18			250				267
4.800%, 09/01/20			200				191
Owens Corning
6.500%, 12/01/16			36				38
PACCAR Financial, MTN
1.750%, 08/14/18			4,000				4,020
Penske Truck Leasing
4.875%, 07/11/22(A)			200				213
4.250%, 01/17/23(A)			300				306
3.375%, 03/15/18(A)			250				257
2.500%, 03/15/16(A)			500				503
Republic Services
3.550%, 06/01/22			250				256
Roper Industries
3.125%, 11/15/22			200				197
1.850%, 11/15/17			250				251
Xylem
3.550%, 09/20/16			200				204
Total Industrials							14,230
Information Technology [8.6%]
Apple
0.561%, 02/07/20(B)			7,238				7,191
Arrow Electronics
6.875%, 06/01/18			400				438
Avnet
6.625%, 09/15/16			128				134
Fiserv
3.500%, 10/01/22			250				253
2.700%, 06/01/20			2,000				2,016
KLA-Tencor
4.650%, 11/01/24			2,500				2,498
Lexmark International
5.125%, 03/15/20			2,250				2,350
Nokia
5.375%, 05/15/19			950				1,000
Oracle
2.500%, 05/15/22			5,000				4,927
Texas Instruments
1.650%, 08/03/19			295				294
Western Union
5.253%, 04/01/20			2,000				2,194
Total Information Technology							23,295
Materials [5.6%]
Airgas
2.900%, 11/15/22			250				240
AngloGold Ashanti Holdings
5.375%, 04/15/20			1,317				1,240
ArcelorMittal
10.600%, 06/01/19			200				216
6.125%, 06/01/18			800				784
Avery Dennison
5.375%, 04/15/20			405				445
Cabot
5.000%, 10/01/16			300				311
Glencore Canada
6.000%, 10/15/15			1,192				1,192
5.500%, 06/15/17			1,010				943
Glencore Funding
1.700%, 05/27/16(A)			1,500				1,425
1.649%, 01/15/19(A) (B)			2,000				1,635
Kinross
5.125%, 09/01/21			303				264
Rio Tinto Finance USA
6.500%, 07/15/18			100				111
3.750%, 06/15/25			5,780				5,638
Vale Overseas
5.625%, 09/15/19			505				507

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 72

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Worthington Industries
6.500%, 04/15/20		$	250			$	284
Total Materials							15,235
REITs [2.5%]
BioMed Realty
3.850%, 04/15/16			500				505
Boston Properties
5.875%, 10/15/19			140				159
Common Wealth REIT
5.875%, 09/15/20			105				115
DDR
4.625%, 07/15/22			250				262
Equity One
3.750%, 11/15/22			250				245
Highwoods Realty
3.625%, 01/15/23			200				201
HRPT Properties Trust
6.650%, 01/15/18			300				322
Liberty Property, MTN
7.500%, 01/15/18			177				197
National Retail Properties
6.875%, 10/15/17			300				329
3.800%, 10/15/22			350				355
Prologis
6.875%, 03/15/20			101				114
3.350%, 02/01/21			2,200				2,230
Realty Income
5.950%, 09/15/16			129				134
3.250%, 10/15/22			200				195
Senior Housing Properties Trust
6.750%, 12/15/21			500				573
4.300%, 01/15/16			500				501
Washington Real Estate Investment Trust
3.950%, 10/15/22			250				252
Welltower
4.950%, 01/15/21			155				169
Total REITs							6,858
Shipping & Transportation [0.1%]
Federal Express 1998 Pass-Through Trust
7.020%, 01/15/16			197				199
Telecommunication Services [4.2%]
America Movil
3.125%, 07/16/22			4,000				3,884
AT&T
5.600%, 05/15/18			310				339
CenturyLink
6.450%, 06/15/21			355				325
5.800%, 03/15/22			250				214
COX Communications
7.250%, 11/15/15			231				233
COX Communications, MTN
6.850%, 01/15/18			224				243
Deutsche Telekom International Finance BV
6.000%, 07/08/19			50				57
Qwest
6.500%, 06/01/17			100				107
Telefonica Emisiones SAU
6.421%, 06/20/16			275				285
6.221%, 07/03/17			286				309
5.462%, 02/16/21			115				128
5.134%, 04/27/20			300				331
3.992%, 02/16/16			500				505
Verizon Communications
4.600%, 04/01/21			4,100				4,422
Total Telecommunication Services							11,382
Utilities [2.8%]
AmeriGas Partners
6.500%, 05/20/21			477				479
Arizona Public Service
6.250%, 08/01/16			44				46
British Transco Finance
6.625%, 06/01/18			128				145
Cleveland Electric Illuminating
7.880%, 11/01/17			10				11
5.700%, 04/01/17			6				6
Entergy Mississippi
6.640%, 07/01/19			540				628
Entergy Texas
7.125%, 02/01/19			190				220
Exelon Generation
6.200%, 10/01/17			2,125				2,305
Jersey Central Power & Light
5.625%, 05/01/16			265				271
Korea Electric Power
6.750%, 08/01/27			75				95
National Fuel Gas
4.900%, 12/01/21			500				526
Nisource Capital Markets, MTN
7.860%, 03/27/17			163				175

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 73

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Northern Indiana Public Service, MTN
7.590%, 06/12/17		$	440			$	476
ONEOK
4.250%, 02/01/22			294				254
Pennsylvania Electric
6.625%, 04/01/19			15				17
PPL Energy Supply
5.700%, 10/15/15			75				75
Puget Energy
5.625%, 07/15/22			250				281
Puget Sound Energy, MTN
6.740%, 06/15/18			57				63
Southwestern Electric Power
5.875%, 03/01/18			581				638
3.550%, 02/15/22			500				510
Southwestern Public Service
8.750%, 12/01/18			250				301
Xcel Energy
5.613%, 04/01/17			10				11
Total Utilities							7,533
Total Corporate Bonds
(Cost $195,762)							196,546
U.S. Government Agency Obligations [6.0%]
FHLMC
1.750%, 05/30/19			3,000				3,061
1.000%, 09/29/17			660				664
FNMA
5.000%, 03/15/16			4,700				4,802
1.875%, 09/18/18			150				154
1.625%, 11/27/18			6,000				6,107
1.375%, 11/15/16			460				464
1.125%, 04/27/17			470				474
0.875%, 05/21/18			350				350
Total U.S. Government Agency Obligations
(Cost $15,863)							16,076
U.S. Treasury Obligations [4.8%]
U.S. Treasury Notes
2.750%, 02/15/19			845				892
2.625%, 11/15/20			425				449
2.375%, 07/31/17			1,010				1,043
2.250%, 11/15/24			4,500				4,584
2.000%, 02/15/25			2,300				2,291
1.750%, 10/31/18			610				625
1.250%, 04/30/19			2,375				2,388

 

Description		Face Amount (000)/Shares				Value (000)
0.875%, 07/31/19		$	815			$	806
Total U.S. Treasury Obligations
(Cost $13,023)							13,078
Municipal Bonds [3.5%]
California [0.6%]
State of California Department of Water Resources Power Supply Revenue, Ser L
Callable 05/01/20 @ 100
5.000%, 05/01/21			1,315				1,525
Florida [1.4%]
Florida State, Hurricane Catastrophe Fund Finance, Ser A, RB
2.107%, 07/01/18			3,870				3,905
Illinois [1.5%]
Illinois Municipal Electric Agency, Ser A, NATL
Pre-Refunded @ 100
5.125%, 02/01/17(E)			3,865				4,102
Total Municipal Bonds
(Cost $9,465)							9,532
Preferred Stock [2.9%]
Financials [1.0%]
BB&T 5.625%			10,000				248
Citigroup 5.800%			10,000				249
Goldman Sachs Group 5.950%			25,000				624
HSBC Holdings 8.000%			30,000				765
JPMorgan Chase 5.500%			20,000				483
Prudential Financial 5.750%			10,000				252
Total Financials							2,621
Industrials [0.3%]
Pitney Bowes 6.700%			10,000				261
Stanley Black & Decker 5.750%			20,000				510
Total Industrials							771
REITs [1.2%]
Digital Realty Trust 6.625%			10,000				253
Kimco Realty 5.500%			10,000				242
National Retail Properties 6.625%			20,000				507
Realty Income 6.625%			20,000				514
Senior Housing Properties Trust 5.625%			52,500				1,288

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 74

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Shares/Face Amount (000)				Value (000)
Vornado Realty Trust 5.700%			20,000			$	483
Total REITs							3,287
Telecommunication Services [0.2%]
Telephone & Data Systems 5.875%			30,000				719
Utilities [0.2%]
SCE Trust I 5.625%			20,000				490
Total Preferred Stock
(Cost $7,904)							7,888
Asset-Backed Securities [2.2%]
Bayview Financial Acquisition Trust, Ser 2007-A, Cl 1A2
6.205%, 05/28/37		$	91				95
BT SPE (Acquired 07/06/11, Acquisition Cost $1,102,589)
9.250%, 06/06/16 (F)(G)(H)			625				560
Carmax Auto Owner Trust, Ser 2014-2, Cl A3
0.980%, 01/15/19			5,350				5,351
Cityscape Home Equity Loan Trust Series, Ser 1997-C, Cl A4
7.000%, 07/25/28 (D)			5				—
Conseco Financial, Ser 1997-7, Cl A6
6.760%, 07/15/28			16				16
Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28			–				—
GMACM Mortgage Loan Trust, Ser 2004-GH1, Cl A6
4.810%, 07/25/35			13				13
Total Asset-Backed Securities
(Cost $6,099)							6,035
U.S. Government Mortgage-Backed Obligations [2.0%]
FHLMC, Pool 1B2677
2.416%, 01/01/35(B)			6				6
FHLMC, Pool 1B2683
2.436%, 01/01/35(B)			4				4
FHLMC, Pool 1B2692
2.364%, 12/01/34(B)			11				12
FHLMC, Pool A93505
4.500%, 08/01/40			39				42
FHLMC, Pool A93996
4.500%, 09/01/40			58				63

 

Description		Face Amount (000)				Value (000)
FHLMC, Pool C03490
4.500%, 08/01/40		$	303			$	329
FHLMC, Pool C09015
3.000%, 10/01/42			218				222
FHLMC, Pool C20300
6.500%, 01/01/29			4				4
FHLMC, Pool E01280
5.000%, 12/01/17			2				3
FHLMC, Pool G02940
5.500%, 05/01/37			10				11
FHLMC, Pool G04222
5.500%, 04/01/38			17				19
FHLMC, Pool G04913
5.000%, 03/01/38			66				72
FHLMC, Pool G08003
6.000%, 07/01/34			17				20
FHLMC, Pool G11431
6.000%, 08/01/18			1				1
FHLMC, Pool G11880
5.000%, 12/01/20			12				13
FHLMC, Pool G18124
6.000%, 06/01/21			9				10
FHLMC, Pool J19197
3.000%, 05/01/27			150				156
FHLMC, Pool Q08998
3.500%, 06/01/42			180				188
FHLMC, Pool Q10378
3.000%, 08/01/42			209				212
FHLMC, Ser 2004-2804, Cl VC, Pool FHR 2804 VC
5.000%, 07/15/21			87				92
FHLMC Multifamily Structured Pass Through Certificates, Ser K003, Cl A4
5.053%, 01/25/19			150				166
FHLMC Multifamily Structured Pass Through Certificates, Ser K704, Cl A2
2.412%, 08/25/18			400				411
FHLMC Multifamily Structured Pass Through Certificates, Ser K705, Cl A2
2.303%, 09/25/18			200				205
FHLMC Multifamily Structured Pass Through Certificates, Ser K708, Cl A2
2.130%, 01/25/19			300				307
FNMA, Pool 252570
6.500%, 07/01/29			5				6
FNMA, Pool 253183
7.500%, 04/01/30			1				1

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 75

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
FNMA, Pool 253398
8.000%, 08/01/30		$	2			$	2
FNMA, Pool 254545
5.000%, 12/01/17			6				7
FNMA, Pool 254685
5.000%, 04/01/18			6				6
FNMA, Pool 254949
5.000%, 11/01/33			13				14
FNMA, Pool 255814
5.500%, 08/01/35			22				25
FNMA, Pool 303168
9.500%, 02/01/25			2				2
FNMA, Pool 725424
5.500%, 04/01/34			20				22
FNMA, Pool 735060
6.000%, 11/01/34			13				14
FNMA, Pool 735228
5.500%, 02/01/35			11				12
FNMA, Pool 735230
5.500%, 02/01/35			26				30
FNMA, Pool 745275
5.000%, 02/01/36			106				116
FNMA, Pool 745418
5.500%, 04/01/36			121				136
FNMA, Pool 827223
2.090%, 04/01/35(B)			55				58
FNMA, Pool 844809
5.000%, 11/01/35			49				55
FNMA, Pool AD0454
5.000%, 11/01/21			24				25
FNMA, Pool AD8522
4.000%, 08/01/40			43				46
FNMA, Pool AE0828
3.500%, 02/01/41			329				345
FNMA, Pool AH0621
3.500%, 01/01/41			79				83
FNMA, Pool AJ1407
4.000%, 09/01/41			68				73
FNMA, Pool AJ7689
4.000%, 12/01/41			225				240
FNMA, Pool AK0971
3.000%, 02/01/27			141				148
FNMA, Pool AO2970
3.000%, 05/01/42			199				202
FNMA, Pool AO4137
3.500%, 06/01/42			194				203
FNMA, Pool MA1277
2.500%, 12/01/27			133				137
FNMA REMIC Trust, Ser 2004-W6, Cl 1A6
5.500%, 07/25/34			42				42

 

Description		Face Amount (000)/Shares				Value (000)
GNMA, Pool 780315
9.500%, 12/15/17		$	1			$	1
GNMA, Pool G2 4696
4.500%, 05/20/40			141				153
GNMA, Pool G2 4747
5.000%, 07/20/40			54				60
GNMA, Pool G2 4923
4.500%, 01/20/41			79				86
GNMA, Pool G2 MA0155
4.000%, 06/20/42			190				204
GNMA, Pool G2 MA0392
3.500%, 09/20/42			215				226
Total U.S. Government Mortgage-Backed Obligations
(Cost $5,151)							5,348
Closed-End Fund [1.9%]
Stone Ridge Reinsurance Risk Premium Interval Fund(F)			490,196				5,201
Total Closed-End Fund
(Cost $5,000)							5,201
Foreign Government Bonds [1.3%]
Hashemite Kingdom of Jordan Government AID Bond
2.578%, 06/30/22			3,000				3,100
Mexico Government International Bond, MTN
5.125%, 01/15/20			100				110
Province of Newfoundland and Labrador Canada
7.320%, 10/13/23			100				126
Province of Quebec Canada, MTN
7.380%, 04/09/26(C)			100				132
Total Foreign Government Bonds
(Cost $3,353)							3,468
Commercial Mortgage-Backed Obligations [0.4%]
Commercial Mortgage Trust, Ser 2012-CR2, Cl A4
3.147%, 08/15/45			125				129
GS Mortgage Securities II, Ser GCJ9, Cl A3
2.773%, 11/10/45			275				277
JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2013-LC11, Cl A5
2.960%, 04/15/46			150				152

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 76

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (continued)

 

Description		Face Amount (000)				Value (000)
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C6, Cl A4
2.858%, 11/15/45		$	275			$	278
NCUA Guaranteed Notes Trust, Ser 2010-C1, Cl A2
2.900%, 10/29/20			190				191
NCUA Guaranteed Notes Trust, Ser 2010-R1, Cl 2A
1.840%, 10/07/20			8				8
Total Commercial Mortgage-Backed Obligations
(Cost $1,035)							1,035
Residential Mortgage-Backed Securities [0.0%]
Banc of America Alternative Loan Trust, Ser 2004-2, Cl 5A1
5.500%, 03/25/19			17				18
RAAC, Ser 2004-SP1, Cl AI4
5.285%, 08/25/27(B)			2				2
Residential Accredit Loans, Ser 2004-QS5, Cl A5
4.750%, 04/25/34			5				5
Residential Accredit Loans, Ser 2004-QS6, Cl A1
5.000%, 05/25/19			10				10
Residential Asset Mortgage Products, Ser 2002-RS3, Cl AI5
5.572%, 06/25/32(B)			28				27
WaMu Mortgage Pass-Through Certificates Series Trust, Ser 2004-CB2, Cl 5A
5.000%, 07/25/19			28				29
Total Residential Mortgage-Backed Securities
(Cost $91)							91

 

Description		Shares				Value (000)
Short-Term Investments [1.5%]
City National Rochdale Government Money Market Fund, Institutional Class, 0.010%**‡			2,030,440			$	2,031
SEI Daily Income Trust Government Fund, Cl A, 0.030%**			2,030,440				2,030
Total Short-Term Investments
(Cost $4,061)							4,061
Total Investments [99.2%]
(Cost $266,807)						$	268,359

 

Percentages are based on Net Assets of $270,587 (000).

 

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 77

schedule of investments

September 30, 2015

City National Rochdale Intermediate Fixed Income Fund (concluded)

 

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

MTN — Medium Term Note

NATL — National Public Finance Guarantee Corporation

NCUA — National Credit Union Administration

NY — New York

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

SPE — Special Purpose Entity

Amounts designated as “—” are either $0 or have been rounded to $0.

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Corporate Bonds		$	—			$	196,546			$	—			$	196,546
U.S. Government Agency Obligations			—				16,076				—				16,076
U.S. Treasury Obligations			—				13,078				—				13,078
Municipal Bonds			—				9,532				—				9,532
Preferred Stock			7,888				—				—				7,888
Asset-Backed Securities			—				5,475				560				6,035
U.S. Government Mortgage-Backed Obligations			—				5,348				—				5,348
Closed-End Fund			5,201				—				—				5,201
Foreign Government Bonds			—				3,468				—				3,468
Commercial Mortgage-Backed Obligations			—				1,035				—				1,035
Residential Mortgage-Backed Securities			—				91				—				91
Short-Term Investments			4,061				—				—				4,061
Total Investments in Securities		$	17,150			$	250,649			$	560			$	268,359

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value (000) as of September 30, 2015:

 

		Investments in Asset-Backed Securities
Beginning balance as of October 1, 2014		$	807
Accrued discounts/premiums			—
Realized gain/(loss)			—
Change in unrealized appreciation/(depreciation)			(16	)
Purchases			—
Sales/paydowns			(231	)
Transfers into Level 3			—
Transfers out of Level 3			—
Ending balance as of September 30, 2015		$	560
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(16	)

 

The following table summarizes the quantitative inputs and assumptions used for items categorized as Level 3 investments as of September 30, 2015. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.

 

	Fair Value at September 30, 2015 (000)	Valuation Techniques
BT SPE	$560	Discounted Cash Flow Model based on actual collection level and experienced defaults
		Observable Inputs
		Cumulated Collections
		Cumulated Defaults
		Annualized Default Rate
		Cumulated Default Rate
		Pace of Collection Pace of Defaults
		Interest Rates
		Unobservable Inputs	Range
		Projected Default Rates	5%-12%
		Projected Collection Rates	90%-100%
		Expected Discount Rates	7%-9.25%

 

The unobservable inputs used to determine fair value of recurring Level 3 assets may have similar or diverging impacts on valuation. Significant increased and decreased in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.

 

For the period ended September 30, 2015, there have been no transfers between Level 1 and Level 2 assets and liabilities. For the period ended September 30, 2015, there have been no transfers between Level 2 and Level 3 assets and liabilities. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 78

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund

 

 

Description		Face Amount (000)				Value (000)
Corporate Bonds [47.4%]
Advertising Sales [0.2%]
Lamar Media
5.875%, 02/01/22		$	525			$	546
5.375%, 01/15/24			475				480
5.000%, 05/01/23			450				443
Outfront Media Capital
5.875%, 03/15/25			675				687
5.625%, 02/15/24			275				279
5.625%, 02/15/24(A)			325				329
5.250%, 02/15/22			300				300
Total Advertising Sales							3,064
Aerospace & Defense [0.2%]
Accudyne Industries Borrower
7.750%, 12/15/20(A)			900				781
KLX
5.875%, 12/01/22(A)			600				584
TransDigm
7.500%, 07/15/21			100				104
6.500%, 07/15/24			875				822
6.500%, 05/15/25(A)			425				399
6.000%, 07/15/22			950				886
5.500%, 10/15/20			350				334
Total Aerospace & Defense							3,910
Agricultural [0.1%]
Avangardco Investments Public
10.000%, 10/29/15			1,250				532
Mriya Agro Holding
9.450%, 04/19/18(B)			1,195				179
UKRLANDFARMING
10.875%, 03/26/18			2,760				1,160
Total Agricultural							1,871
Airlines [0.2%]
Avianca Holdings
8.375%, 05/10/20			1,300				1,099
SriLankan Airlines
5.300%, 06/27/19			1,500				1,444
Total Airlines							2,543
Airport Develop/Maint [0.1%]
Aeropuertos Dominicanos Siglo XXI
9.750%, 11/13/19			1,840				1,822
Applications Software [0.1%]
Emdeon
11.000%, 12/31/19			525				559
6.000%, 02/15/21(A)			500				483
Nuance Communications
5.375%, 08/15/20(A)			900				898
Total Applications Software							1,940
Auto Rent & Lease [0.3%]
CAR
6.125%, 02/04/20			2,000				1,980
6.000%, 02/11/21			200				191
Hertz
6.750%, 04/15/19			575				585
6.250%, 10/15/22			1,025				1,027
United Rentals North America
6.125%, 06/15/23			575				573
5.750%, 11/15/24			175				168
5.500%, 07/15/25			1,200				1,122
4.625%, 07/15/23			325				315
Total Auto Rent & Lease							5,961
Auto/Trk Prts and Equip-Repl [0.2%]
JB Poindexter
9.000%, 04/01/22(A)			725				763
UCI International
8.625%, 02/15/19(G) (I)			1,275				1,020
Total Auto/Trk Prts and Equip-Repl							1,783

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 79

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Automotive [0.0%]
General Motors
4.000%, 04/01/25		$	700			$	664
Autoparts [0.8%]
Affinia Group
7.750%, 05/01/21			1,325				1,391
American Axle & Manufacturing
7.750%, 11/15/19			600				660
6.625%, 10/15/22			675				678
6.250%, 03/15/21			275				274
International Automotive Components Group
9.125%, 06/01/18(A)			900				914
Lear
5.250%, 01/15/25			200				196
4.750%, 01/15/23			1,400				1,372
Metalsa
4.900%, 04/24/23			1,000				860
MPG Holdco I
7.375%, 10/15/22			1,000				1,040
Nexteer Automotive Group
5.875%, 11/15/21			1,000				975
Omega US Sub
8.750%, 07/15/23(A)			550				486
Schaeffler Finance BV
4.750%, 05/15/21(A)			625				616
4.750%, 05/15/23(A)			800				772
Schaeffler Finance BV, MTN
4.250%, 05/15/21(A)			375				360
Schaeffler Holding Finance BV
6.875%, 08/15/18(A) (F)			850				877
6.750%, 11/15/22(A) (F)			575				618
Stackpole International Intermediate
7.750%, 10/15/21(A)			950				1,033
Tenneco
5.375%, 12/15/24			625				641
ZF North America Capital
4.750%, 04/29/25(A)			750				687
Total Autoparts							14,450
Banks [4.9%]
Access Bank, MTN
9.250%, 06/24/21(D)			3,695				3,113
African Bank, MTN
8.125%, 02/24/17			1,329				1,124
Agricola Senior Trust
6.750%, 06/18/20			2,000				1,982
AK BARS Bank Via AK BARS Luxembourg
8.000%, 08/06/18			3,250				3,257
Banco BMG
9.950%, 11/05/19			950				845
8.000%, 04/15/18			1,000				925
Banco do Brasil
9.250%, 10/29/49(D)			500				300
8.500%, 10/29/49(D)			2,500				2,012
Bank of Ceylon
6.875%, 05/03/17			500				513
Bank of Georgia JSC, MTN
7.750%, 07/05/17			2,200				2,264
Bank of Moscow Via Kuznetski Capital
0.000%, 11/25/15(D) (E)			2,500				2,501
BMCE Bank
6.250%, 11/27/18			500				516
CIT Group
5.250%, 03/15/18			875				899
5.000%, 05/15/17			625				641
5.000%, 08/01/23			1,175				1,168
Commercial Bank Privatbank JSC Via Standard Bank
5.799%, 02/09/16(D)			370				210
Credit Bank of Moscow Via CBOM Finance
8.700%, 11/13/18			1,685				1,513
7.700%, 02/01/18			1,540				1,516
Development Bank of Mongolia, MTN
5.750%, 03/21/17			940				888
Eastern and Southern African Trade and Development Bank, MTN
6.375%, 12/06/18			3,200				3,236
FBN Finance
8.250%, 08/07/20			2,590				2,041
FBN Finance BV
8.000%, 07/23/21(D)			4,828				3,645
Finansbank
6.250%, 04/30/19			2,000				2,004
ForteBank JSC
11.750%, 12/15/24			2,230				2,130
Gazprombank Via GBP Eurobond Finance
7.496%, 12/28/23(D)			1,000				840
Halyk Savings Bank of Kazakhstan JSC
7.250%, 05/03/17			1,000				1,012
7.250%, 01/28/21			1,625				1,652

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 80

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
ICBC Standard Bank, MTN
8.125%, 12/02/19		$	3,064			$	3,279
International Bank of Azerbaijan
5.625%, 06/11/19			2,900				2,588
International Bank of Azerbaijan Via Rubrika Finance, MTN
7.200%, 10/31/16			500				493
Kaspi Bank JSC
9.875%, 10/28/16			2,305				2,317
Kazkommertsbank
8.500%, 05/11/18			2,280				2,155
Kazkommertsbank JSC
6.765%, 07/27/16(D) (E)			4,000				3,770
5.500%, 12/21/22			4,448				3,211
Kazkommertsbank JSC, MTN
8.000%, 11/03/15			1,940				1,918
7.500%, 11/29/16			2,205				2,027
6.875%, 02/13/17			2,410				2,500
National Savings Bank
8.875%, 09/18/18			1,800				1,908
NDR Finance
8.000%, 06/22/17(D) (G) (I)			721				51
Oschadbank Via SSB #1
0.000%, 03/10/23(E)			5,250				4,528
0.000%, 03/20/25(E)			530				451
Privatbank CJSC Via UK SPV Credit Finance, MTN
10.250%, 01/15/16			300				213
Renaissance Capital Via Renaissance Consumer Funding
13.500%, 06/21/18			1,624				1,364
Russian Standard Bank Via Russian Standard Finance, MTN
10.750%, 04/10/18			1,380				386
Sberbank of Russia Via SB Capital
5.500%, 02/26/24(B)			2,000				1,695
Trade & Development Bank of Mongolia, MTN
9.375%, 05/19/20			1,750				1,706
VTB Bank Via VTB Capital
6.950%, 10/17/22			1,000				880
Total Banks							80,187
Batteries/Battery Sys [0.0%]
EnerSys
5.000%, 04/30/23(A)			450				436
Broadcasting & Cable [1.7%]
AMC Networks
7.750%, 07/15/21			600				635
4.750%, 12/15/22			325				306
Anixter
5.625%, 05/01/19			600				629
5.500%, 03/01/23(A)			350				345
5.125%, 10/01/21			300				298
Belden
5.500%, 09/01/22(A)			1,050				1,016
5.250%, 07/15/24(A)			550				509
CCO Holdings
7.375%, 06/01/20			300				312
6.625%, 01/31/22			650				655
5.875%, 05/01/27(A)			200				185
5.750%, 09/01/23			525				503
5.750%, 01/15/24			425				406
5.375%, 05/01/25(A)			250				228
5.250%, 03/15/21			675				665
5.125%, 02/15/23			500				461
Cequel Communications Holdings I
6.375%, 09/15/20(A)			225				212
5.125%, 12/15/21(A)			750				660
Clear Channel Communications
9.000%, 03/01/21			1,150				966
Clear Channel Worldwide Holdings
6.500%, 11/15/22			2,000				2,007
Columbus International
7.375%, 03/30/21			3,410				3,529
DISH DBS
5.875%, 07/15/22			2,425				2,146
5.000%, 03/15/23			100				84
Gray Television
7.500%, 10/01/20			1,150				1,179
LIN Television
6.375%, 01/15/21			175				182
5.875%, 11/15/22(A)			650				645
Nexstar Broadcasting
6.125%, 02/15/22(A)			875				864
Numericable Group
6.250%, 05/15/24(A)			575				554
6.000%, 05/15/22(A)			800				771
Sinclair Television Group
5.625%, 08/01/24(A)			1,775				1,613
Tribune Media
5.875%, 07/15/22(A)			1,250				1,213
Unitymedia Hessen GmbH & KG
5.500%, 01/15/23(A)			525				524

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 81

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Unitymedia KabelBW GmbH
6.125%, 01/15/25(A)		$	1,325			$	1,308
VTR Finance BV
6.875%, 01/15/24			2,610				2,369
Ziggo Bond Finance BV
5.875%, 01/15/25(A)			275				252
Total Broadcasting & Cable							28,231
Building & Construction [2.0%]
Allegion US Holding
5.750%, 10/01/21			550				564
Building Materials Corp of America
6.000%, 10/15/25(A)			425				429
Cemex
7.250%, 01/15/21			765				763
6.500%, 12/10/19			2,155				2,139
5.875%, 03/25/19			970				946
CEMEX Espana
9.875%, 04/30/19			1,590				1,709
Cemex Finance
9.375%, 10/12/22			4,885				5,196
China Shanshui Cement Group
7.500%, 03/10/20			3,450				3,053
CPG Merger Sub
8.000%, 10/01/21(A)			375				378
Dry Mix Solutions Investissements SAS
4.212%, 06/15/21(D)			3,000				3,148
Elementia
5.500%, 01/15/25			300				282
Grupo Cementos de Chihuahua
8.125%, 02/08/20			915				950
Kerneos Corporate SAS
4.717%, 03/01/21(D)			2,000				2,215
Masonite International
5.625%, 03/15/23(A)			500				510
NCI Building Systems
8.250%, 01/15/23(A)			800				838
Nortek
8.500%, 04/15/21			1,350				1,417
Saderea, MTN
12.500%, 11/30/26(G) (I)			2,938				2,577
USG
7.875%, 03/30/20(A)			250				263
5.875%, 11/01/21(A)			650				674
5.500%, 03/01/25(A)			400				399
West China Cement
6.500%, 09/11/19			2,000				1,950
Wise Metals Intermediate Holdings
9.750%, 06/15/19(A)			525				505
Yuksel Insaat
9.500%, 11/10/15			1,465				718
Total Building & Construction							31,623
Building & Construction Supplies [0.1%]
Signode Industrial Group Lux
6.375%, 05/01/22(A)			1,750				1,654
Building-Heavy Construct [0.3%]
Empresas ICA
8.900%, 02/04/21			2,209				1,110
8.875%, 05/29/24			3,620				1,584
Pratama Agung Pte
6.250%, 02/24/20			2,500				2,364
Total Building-Heavy Construct							5,058
Business Services [0.0%]
CoreLogic
7.250%, 06/01/21			675				705
Chemicals [0.5%]
Ashland
4.750%, 08/15/22			950				890
Axiall
4.875%, 05/15/23			100				84
Celanese US Holdings
4.625%, 11/15/22			375				353
Eagle Spinco
4.625%, 02/15/21			175				148
Eco Services Operations
8.500%, 11/01/22(A)			475				423
Hexion US Finance
8.875%, 02/01/18			1,625				1,300
Huntsman International
5.125%, 11/15/22(A)			475				407
4.875%, 11/15/20			900				782
Ineos Finance
4.000%, 05/01/23			1,000				1,022
Novacap International SAS, MTN
4.977%, 05/01/19(D)			1,000				1,109
Platform Specialty
6.500%, 02/01/22			1,625				1,398

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 82

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
WR Grace & -Conn
5.625%, 10/01/24(A)		$	325			$	319
5.125%, 10/01/21(A)			225				222
Total Chemicals							8,457
Coal Mining [0.5%]
Berau Coal Energy
7.250%, 03/13/17			3,935				1,377
Indo Energy Finance II BV
6.375%, 01/24/23			3,815				1,602
Mongolian Mining, MTN
8.875%, 03/29/17			12,398				4,959
New World Resources
8.000%, 04/07/20			897				552
Total Coal Mining							8,490
Coatings/Paint [0.1%]
US Coatings Acquisition
7.375%, 05/01/21(A)			1,300				1,370
Commercial Serv-Finance [0.3%]
Igloo Holdings
8.250%, 12/15/17(A) (F)			975				980
Interactive Data
5.875%, 04/15/19(A)			1,350				1,346
TMF Group Holding BV
5.342%, 12/01/18(D)			1,000				1,124
Total Commercial Serv-Finance							3,450
Commercial Services [0.3%]
Allegion
5.875%, 09/15/23			175				179
Anna Merger Sub
7.750%, 10/01/22(A)			2,050				1,940
BC Luxco 1
7.375%, 01/29/20			2,470				2,322
Iron Mountain
6.000%, 10/01/20(A)			125				126
5.750%, 08/15/24			725				700
Total Commercial Services							5,267
Communication & Media [0.0%]
Ottawa Holdings Pte
5.875%, 05/16/18			1,500				623
Computer Graphics [0.1%]
Southern Graphics
8.375%, 10/15/20(A)			1,375				1,375
Computer Software [0.1%]
Italics Merger Sub
7.125%, 07/15/23(A)			1,175				1,122
SS&C Technologies Holdings
5.875%, 07/15/23(A)			800				814
Total Computer Software							1,936
Computer System Design & Services [0.3%]
Compiler Finance Sub
7.000%, 05/01/21(A)			800				480
IHS
5.000%, 11/01/22			550				529
NCR
6.375%, 12/15/23			350				343
5.875%, 12/15/21			400				392
5.000%, 07/15/22			800				758
4.625%, 02/15/21			250				239
SunGard Data Systems
6.625%, 11/01/19			1,800				1,859
Total Computer System Design & Services							4,600
Consumer Products & Services [0.5%]
First Quality Finance
4.625%, 05/15/21(A)			1,200				1,116
Prestige Brands
8.125%, 02/01/20			475				497
5.375%, 12/15/21(A)			1,125				1,097
Serta Simmons Holdings
8.125%, 10/01/20(A)			1,950				2,045
ServiceMaster
7.450%, 08/15/27			225				226
7.100%, 03/01/18			475				480
Spectrum Brands
6.125%, 12/15/24(A)			575				592
5.750%, 07/15/25(A)			800				816
Tempur Sealy International
5.625%, 10/15/23(A)			475				477
Total Consumer Products & Services							7,346
Containers & Packaging [1.1%]
Ardagh Packaging Finance
9.125%, 10/15/20(A)			2,200				2,294
6.750%, 01/31/21(A)			200				200
6.000%, 06/30/21(A)			175				167

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 83

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Ball
5.250%, 07/01/25		$	1,225			$	1,207
4.000%, 11/15/23			825				771
Berry Plastics
5.500%, 05/15/22			2,075				2,018
5.125%, 07/15/23			575				542
Berry Plastics Escrow
6.000%, 10/15/22(A)			400				401
BWAY Holding
9.125%, 08/15/21(A)			1,550				1,496
Crown Americas
4.500%, 01/15/23			1,300				1,274
Graphic Packaging International
4.875%, 11/15/22			350				349
4.750%, 04/15/21			200				198
Owens-Brockway Glass Container
6.375%, 08/15/25(A)			425				429
5.875%, 08/15/23(A)			375				377
5.375%, 01/15/25(A)			950				912
5.000%, 01/15/22(A)			125				119
Pactiv
7.950%, 12/15/25			200				190
Reynolds Group Issuer
9.875%, 08/15/19			350				362
8.250%, 02/15/21			1,025				1,022
5.750%, 10/15/20			1,350				1,364
Sealed Air
6.500%, 12/01/20(A)			725				794
5.250%, 04/01/23(A)			50				50
5.125%, 12/01/24(A)			850				833
4.875%, 12/01/22(A)			725				717
Total Containers & Packaging							18,086
Data Processing/Mgmt [0.4%]
Audatex North America
6.125%, 11/01/23(A)			1,025				1,030
6.000%, 06/15/21(A)			1,175				1,177
First Data
8.750%, 01/15/22(A) (F)			3,225				3,370
8.250%, 01/15/21(A)			150				156
5.375%, 08/15/23			1,300				1,287
Total Data Processing/Mgmt							7,020
Decision Support Software [0.1%]
MSCI
5.750%, 08/15/25(A)			525				529
MSCI
5.250%, 11/15/24(A)			275				278
Total Decision Support Software							807
Dental Supplies and Equip [0.3%]
IDH Finance
5.586%, 12/01/18(D)			3,000				4,504
Diagnostic Equipment [0.1%]
Crimson Merger Sub
6.625%, 05/15/22(A)			2,350				2,021
Dialysis Centers [0.0%]
DaVita HealthCare Partners
5.750%, 08/15/22			875				910
5.125%, 07/15/24			175				172
5.000%, 05/01/25			350				336
Total Dialysis Centers							1,418
Diamonds/Precious Stones [0.1%]
Petra Diamonds US Treasury
8.250%, 05/31/20			2,500				2,353
Disposable Medical Prod [0.1%]
Sterigenics-Nordion Holdings
6.500%, 05/15/23(A)			1,325				1,315
Distribution/Wholesale [0.2%]
American Builders & Contractors Supply
5.625%, 04/15/21(A)			900				882
Beacon Roofing Supply
6.375%, 10/01/23(A)			300				301
DH Services Luxembourg Sarl
7.750%, 12/15/20(A)			1,350				1,363
HD Supply
7.500%, 07/15/20			325				338
5.250%, 12/15/21(A)			575				578
Total Distribution/Wholesale							3,462
Drugs [0.5%]
Endo
6.000%, 07/15/23(A)			725				716
Endo Finance
6.000%, 02/01/25(A)			1,375				1,335
Grifols Worldwide Operations
5.250%, 04/01/22			1,250				1,237

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 84

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Quintiles Transnational
4.875%, 05/15/23(A)		$	375			$	371
Valeant Pharmaceuticals International
5.625%, 12/01/21(A)			425				404
5.500%, 03/01/23(A)			100				95
VPII Escrow
7.500%, 07/15/21(A)			1,400				1,442
VRX Escrow
6.125%, 04/15/25(A)			2,050				1,953
5.875%, 05/15/23(A)			1,300				1,242
5.375%, 03/15/20(A)			100				97
Total Drugs							8,892
E-Commerce/Services [0.1%]
IAC
4.750%, 12/15/22			1,250				1,147
Educational Software [0.0%]
Blackboard
7.750%, 11/15/19(A)			650				546
Electric Utilities [0.5%]
Calpine
5.875%, 01/15/24(A)			550				566
5.750%, 01/15/25			1,150				1,075
Eskom Holdings SOC
5.750%, 01/26/21			2,500				2,348
NRG Energy
6.625%, 03/15/23			400				368
6.250%, 05/01/24			500				441
Star Energy Geothermal Wayang Windu
6.125%, 03/27/20			4,100				3,752
Total Electric Utilities							8,550
Electrical Products [0.1%]
WESCO Distribution
5.375%, 12/15/21			1,600				1,530
Energy [0.2%]
CGG
6.875%, 01/15/22			375				208
ContourGlobal Power Holdings
7.125%, 06/01/19			3,150				3,158
Viridian Group
7.500%, 03/01/20			500				542
Total Energy							3,908
Energy & Power [0.2%]
Greenko Dutch BV
8.000%, 08/01/19			3,000				3,063
TerraForm Power Operating
6.125%, 06/15/25(A)			450				389
5.875%, 02/01/23(A)			525				464
Total Energy & Power							3,916
Engineering/R and D Services [0.1%]
Abengoa, MTN
8.500%, 03/31/16			1,000				951
Enterprise Software/Serv [0.4%]
BMC Software Finance
8.125%, 07/15/21(A)			875				707
Boxer Parent
9.000%, 10/15/19(A) (F)			1,200				852
Ensemble S Merger Sub
9.000%, 09/30/23(A)			1,125				1,088
Infor Software Parent
7.125%, 05/01/21(A)			1,775				1,562
Infor US
6.500%, 05/15/22(A)			2,175				1,996
Information US
5.750%, 08/15/20(A)			225				224
Open Text
5.625%, 01/15/23(A)			500				496
Total Enterprise Software/Serv							6,925
Entertainment & Gaming [1.1%]
Affinity Gaming
9.000%, 05/15/18			375				373
Ameristar Casinos
7.500%, 04/15/21			600				626
Boyd Gaming
6.875%, 05/15/23			750				761
Chester Downs & Marina
9.250%, 02/01/20(A)			700				527
Cinemark USA
7.375%, 06/15/21			200				209
5.125%, 12/15/22			300				294
GLP Capital
5.375%, 11/01/23			500				507
4.875%, 11/01/20			450				456
MGM Resorts International
7.750%, 03/15/22			1,400				1,491
6.750%, 10/01/20			250				258
6.000%, 03/15/23			375				364
5.250%, 03/31/20			350				345

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 85

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Mohegan Tribal Gaming Authority
9.750%, 09/01/21		$	750			$	763
Penn National Gaming
5.875%, 11/01/21			1,525				1,538
Pinnacle Entertainment
7.750%, 04/01/22			525				575
6.375%, 08/01/21			400				423
Regal Entertainment Group
5.750%, 03/15/22			500				491
5.750%, 02/01/25			375				354
Seminole Hard Rock Entertainment
5.875%, 05/15/21(A)			1,700				1,675
Seminole Indian Tribe of Florida
7.804%, 10/01/20(A)			555				589
Station Casinos
7.500%, 03/01/21			1,200				1,248
Studio City Finance
8.500%, 12/01/20			2,000				1,850
Total Entertainment & Gaming							15,717
E-Services/Consulting [0.1%]
TES Finance
6.750%, 07/15/20			1,000				1,414
Export/Import Bank [0.3%]
Ukreximbank Via Biz Finance
9.625%, 04/27/22			4,819				4,221
Financial Services [1.2%]
AerCap Ireland Capital
4.625%, 07/01/22			250				249
4.500%, 05/15/21			800				799
Ally Financial
5.125%, 09/30/24			450				444
4.750%, 09/10/18			1,150				1,172
4.625%, 05/19/22			100				98
4.625%, 03/30/25			1,300				1,229
4.125%, 03/30/20			425				420
4.125%, 02/13/22			400				385
2.750%, 01/30/17			1,150				1,141
Arrow Global Finance
5.217%, 11/01/21(D)			1,000				1,122
Astana Finance JSC
0.000%, 12/22/24(F) (G) (I)			147				4
Credito Real
7.500%, 03/13/19			2,500				2,468
International Lease Finance
5.875%, 08/15/22			1,025				1,092
4.625%, 04/15/21			1,500				1,508
Koks Finance
10.750%, 12/28/18			2,353				2,075
Lock
5.500%, 08/15/20(D)			2,000				2,240
Quicken Loans
5.750%, 05/01/25(A)			1,575				1,479
Total Financial Services							17,925
Firearms and Ammunition [0.0%]
FGI Operating Company
7.875%, 05/01/20			925				703
Food, Beverage & Tobacco [2.0%]
ARAMARK
5.750%, 03/15/20			1,475				1,533
Boparan Finance
5.500%, 07/15/21			1,000				1,324
Boparan Finance, MTN
4.375%, 07/15/21			1,000				981
CEDC Finance International
10.000%, 04/30/18(E)			2,005				1,729
CFG Investment SAC
9.750%, 07/30/19			1,020				612
Dean Foods
6.500%, 03/15/23(A)			950				964
Galapagos
4.712%, 06/15/21(D)			3,000				3,151
Hearthside Group Holdings
6.500%, 05/01/22(A)			1,525				1,411
JBS Investments GmbH
7.750%, 10/28/20			750				769
Marfrig Holding Europe BV
8.375%, 05/09/18			2,305				2,149
6.875%, 06/24/19			2,550				2,155
Marfrig Overseas
9.500%, 05/04/20			4,604				4,466
MHP
8.250%, 04/02/20			6,115				5,145
Minerva Luxembourg
8.750%, 12/29/49(D)			2,000				1,760
Pinnacle Foods Finance
4.875%, 05/01/21			1,675				1,646
Smithfield Foods
6.625%, 08/15/22			850				896
Sun Merger Sub
5.875%, 08/01/21(A)			600				615
Total Food, Beverage & Tobacco							31,306

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 86

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Food-Canned [0.0%]
TreeHouse Foods
4.875%, 03/15/22		$	100			$	96
Food-Flour and Grain [0.1%]
Post Holdings
8.000%, 07/15/25(A)			750				773
7.750%, 03/15/24(A)			375				384
Total Food-Flour and Grain							1,157
Food-Wholesale/Distrib [0.1%]
US Foods
8.500%, 06/30/19			2,225				2,303
Gaming [0.0%]
Rivers Pittsburgh Borrower
9.500%, 06/15/19(A)			717				746
Gold Mining [0.1%]
Polyus International
5.625%, 04/29/20			1,620				1,529
Health Care [0.1%]
Envision Healthcare
5.125%, 07/01/22(A)			1,100				1,097
Home Decoration Products [0.1%]
RSI Home Products
6.500%, 03/15/23(A)			1,125				1,125
Hotels and Motels [0.0%]
Grupo Posadas
7.875%, 06/30/22			500				451
Hilton Worldwide Finance
5.625%, 10/15/21			700				723
Total Hotels and Motels							1,174
Industrial [0.0%]
Unifrax I
7.500%, 02/15/19(A)			950				931
Insurance [0.2%]
Hockey Merger Sub 2
7.875%, 10/01/21(A)			1,450				1,385
Hub Holdings
8.125%, 07/15/19(A) (F)			1,050				1,013
Total Insurance							2,398
Internet Connectiv Svcs [0.1%]
Adria Bidco BV
7.875%, 11/15/20			1,000				1,145
Internet Security [0.2%]
Blue Coat Holdings
8.375%, 06/01/23(A)			1,200				1,197
VeriSign
5.250%, 04/01/25			525				521
4.625%, 05/01/23			825				802
Total Internet Security							2,520
Investment Banker/Broker Dealer [0.0%]
First Investment Finance BV
11.625%, 03/29/16(E) (G) (I)			200				197
Neuberger Berman Group
5.875%, 03/15/22(A)			300				318
Total Investment Banker/Broker Dealer							515
Investment Companies [0.1%]
Sagicor Finance 2015
8.875%, 08/11/22(A)			805				859
Mach Tools and Rel Products [0.0%]
Milacron
7.750%, 02/15/21(A)			525				535
Machinery-General Indust [0.2%]
ATS Automation Tooling Systems
6.500%, 06/15/23(A)			500				501
Gardner Denver
6.875%, 08/15/21(A)			1,075				949
Zebra Technologies
7.250%, 10/15/22(A)			1,325				1,411
Total Machinery-General Indust							2,861
Manufacturing [0.0%]
Cleaver-Brooks
8.750%, 12/15/19(A)			825				780
Medical Labs and Testing Srv [0.2%]
Ephios Bondco
5.059%, 07/01/22(D)			2,000				2,212
5.000%, 07/01/22(D)			1,000				1,116
Total Medical Labs and Testing Srv							3,328

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 87

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Medical Products & Services [1.3%]
AMAG Pharmaceuticals
7.875%, 09/01/23(A)		$	250			$	239
Care UK Health & Social Care
5.584%, 07/15/19(D)			679				947
CHS
6.875%, 02/01/22			2,025				2,068
5.125%, 08/01/21			450				458
HCA
7.500%, 02/15/22			1,625				1,836
6.500%, 02/15/20			450				491
5.875%, 05/01/23			825				856
5.375%, 02/01/25			1,650				1,633
5.250%, 04/15/25			725				740
5.000%, 03/15/24			1,875				1,880
HCA Holdings
6.250%, 02/15/21			550				586
Hill-Rom Holdings
5.750%, 09/01/23(A)			375				376
IASIS Healthcare
8.375%, 05/15/19			1,200				1,235
LifePoint Hospitals
5.500%, 12/01/21			1,025				1,035
Mallinckrodt International Finance
5.625%, 10/15/23(A)			350				319
5.500%, 04/15/25(A)			300				267
4.875%, 04/15/20(A)			175				167
4.750%, 04/15/23			850				735
Teleflex
5.250%, 06/15/24			450				452
Tenet Healthcare
8.125%, 04/01/22			1,425				1,515
6.750%, 06/15/23			650				645
4.500%, 04/01/21			850				837
4.375%, 10/01/21			925				902
Total Medical Products & Services							20,219
Medical-HMO [0.1%]
MPH Acquisition Holdings
6.625%, 04/01/22(A)			1,900				1,900
Medical-Outptnt/Home Med [0.1%]
Amsurg
5.625%, 11/30/20			300				304
5.625%, 07/15/22			1,075				1,074
Total Medical-Outptnt/Home Med							1,378
Metal-Copper [0.2%]
First Quantum Minerals
7.250%, 10/15/19			3,800				2,584
Metal-Iron [0.1%]
Koks OAO Via Koks Finance
7.750%, 06/23/16			200				190
Metalloinvest Finance
5.625%, 04/17/20			1,835				1,727
Total Metal-Iron							1,917
Metals & Mining [0.4%]
Consolidated Minerals
8.000%, 05/15/20			2,000				1,400
TiZir
9.000%, 09/28/17(G) (I)			3,800				2,584
Vedanta Resources
8.250%, 06/07/21			1,265				886
7.125%, 05/31/23			1,670				1,031
Total Metals & Mining							5,901
Mining Other [0.1%]
Uranium One Investments
6.250%, 12/13/18			2,150				1,975
Miscellaneous Business Services [0.1%]
Garda World Security
7.250%, 11/15/21(A)			1,425				1,300
Total Miscellaneous Business Services							1,300
Miscellaneous Manufacturing [0.5%]
MAF Global Securities
7.125%, 10/29/49(D)			2,025				2,091
Natsionalnaya Kompaniya Kazakhstan Engineering AO
4.550%, 12/03/16			1,100				1,039
Sistema via Sistema International Funding
6.950%, 05/17/19			2,525				2,458
TMK OAO Via TMK Capital
7.750%, 01/27/18			1,330				1,297
6.750%, 04/03/20			1,900				1,661
Total Miscellaneous Manufacturing							8,546
MRI/Medical Diag Imaging [0.1%]
Surgical Care Affiliates
6.000%, 04/01/23(A)			1,050				1,040

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 88

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Office Automation and Equip [0.1%]
CDW
6.000%, 08/15/22		$	1,125			$	1,176
5.500%, 12/01/24			1,125				1,125
Total Office Automation and Equip							2,301
Oil-Field Services [0.4%]
Borets Finance
7.625%, 09/26/18			700				564
Hiland Partners
5.500%, 05/15/22(A)			375				366
Sea Trucks Group
9.000%, 03/26/18(A)			8,295				5,525
Western Refining Logistics
7.500%, 02/15/23			725				720
Total Oil-Field Services							7,175
Paper & Related Products [0.2%]
Argos Merger Sub
7.125%, 03/15/23(A)			1,900				1,921
Clearwater Paper
5.375%, 02/01/25(A)			1,300				1,235
Total Paper & Related Products							3,156
Petrochemicals [0.1%]
Braskem Finance
7.375%, 10/29/49			500				346
7.250%, 06/05/18			400				395
7.000%, 05/07/20			1,500				1,402
Total Petrochemicals							2,143
Petroleum & Fuel Products [6.3%]
Access Midstream Partners
4.875%, 03/15/24			825				739
Antero Resources
5.625%, 06/01/23(A)			200				175
5.125%, 12/01/22			350				301
Antero Resources Finance
6.000%, 12/01/20			650				601
5.375%, 11/01/21			475				418
Approach Resources
7.000%, 06/15/21			875				525
Blue Racer Midstream
6.125%, 11/15/22(A)			725				689
BreitBurn Energy Partners
7.875%, 04/15/22			350				125
California Resources
6.000%, 11/15/24			1,250				745
5.500%, 09/15/21			175				107
Carrizo Oil & Gas
7.500%, 09/15/20			775				725
6.250%, 04/15/23			350				305
Chaparral Energy
9.875%, 10/01/20(G) (I)			75				24
7.625%, 11/15/22			400				118
Chesapeake Energy
6.875%, 11/15/20			525				386
5.750%, 03/15/23			650				424
5.375%, 06/15/21			500				332
China Oil & Gas Group
5.250%, 04/25/18			2,877				2,692
Crestwood Midstream Partners
6.250%, 04/01/23(A)			875				744
6.125%, 03/01/22			250				216
6.000%, 12/15/20			425				381
CrownRock
7.750%, 02/15/23(A)			225				220
CVR Refining
6.500%, 11/01/22			600				581
DNO
8.750%, 06/18/20(A)			1,000				777
Energy Transfer Equity
5.875%, 01/15/24			2,625				2,364
Energy XXI Gulf Coast
7.500%, 12/15/21			650				84
6.875%, 03/15/24			100				17
EP Energy
9.375%, 05/01/20			675				580
7.750%, 09/01/22			150				120
6.375%, 06/15/23			350				258
EP PetroEcuador via Noble Sovereign Funding I
5.957%, 09/24/19(D)			2,526				1,914
FTS International
6.250%, 05/01/22(G) (I)			625				194
Genel Energy Finance
7.500%, 05/14/19(A)			1,600				1,312
Georgian Oil and Gas
6.875%, 05/16/17			4,900				4,900
Gulf Keystone Petroleum
13.000%, 04/18/17(G) (I)			4,200				2,688
Gulfport Energy
7.750%, 11/01/20			650				639
6.625%, 05/01/23(A)			300				276
Halcon Resources
8.625%, 02/01/20(A)			425				353

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 89

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Holly Energy Partners
6.500%, 03/01/20		$	900			$	855
InterOil Exploration and Production
6.000%, 01/22/20(G) (I)			2,415				725
Kinder Morgan
5.625%, 11/15/23(A)			1,200				1,177
Laredo Petroleum
7.375%, 05/01/22			425				411
6.250%, 03/15/23			200				182
5.625%, 01/15/22			300				268
Legacy Reserves
6.625%, 12/01/21(G) (I)			950				646
Linn Energy
7.750%, 02/01/21			250				57
6.500%, 05/15/19			275				76
6.500%, 09/15/21			275				57
6.250%, 11/01/19			425				108
Lone Pine Resources Canada
0.000%, 02/15/17(G) (I)			75				—
MarkWest Energy Partners
4.875%, 12/01/24			700				640
4.875%, 06/01/25			875				805
Metro Exploration Holding
11.500%, 02/14/16(E) (G) (I)			3,943				237
MIE Holdings
7.500%, 04/25/19			3,400				1,564
MIE Holdings, MTN
6.875%, 02/06/18			760				380
Millennium Offshore Services Superholdings
9.500%, 02/15/18			1,200				1,035
Northern Oil and Gas
8.000%, 06/01/20			1,275				948
Nostrum Oil & Gas Finance BV
6.375%, 02/14/19			3,845				3,076
Oasis Petroleum
6.875%, 03/15/22			150				119
6.875%, 01/15/23			225				174
6.500%, 11/01/21			850				672
Odebrecht Drilling Norbe VIII
6.350%, 06/30/21			2,989				1,054
Pacific Rubiales Energy
7.250%, 12/12/21			5,835				2,101
5.625%, 01/19/25			10,756				3,761
5.375%, 01/26/19			1,535				568
5.125%, 03/28/23			2,750				969
PDC Energy
7.750%, 10/15/22			200				199
Petrobras Global Finance BV
7.875%, 03/15/19			1,201				991
6.875%, 01/20/40			5,295				3,442
6.850%, 06/05/15			580				370
6.250%, 03/17/24			4,002				2,913
5.625%, 05/20/43			1,060				649
5.375%, 01/27/21			2,928				2,136
Petrobras International Finance
5.875%, 03/01/18			500				413
5.750%, 01/20/20			1,077				806
Petroleos de Venezuela
9.750%, 05/17/35			6,600				2,393
8.500%, 11/02/17			8,136				5,431
5.125%, 10/28/16			3,670				2,514
5.000%, 10/28/15			734				728
Puma International Financing
6.750%, 02/01/21			3,020				2,990
QGOG Atlantic
5.250%, 07/30/18			1,401				910
QGOG Constellation
6.250%, 11/09/19			3,925				1,707
Range Resources
5.000%, 03/15/23			475				420
4.875%, 05/15/25(A)			772				688
Regency Energy Partners
5.875%, 03/01/22			400				410
5.500%, 04/15/23			200				194
5.000%, 10/01/22			150				146
4.500%, 11/01/23			350				324
Rice Energy
7.250%, 05/01/23(A)			200				188
6.250%, 05/01/22			775				691
Rose Rock Midstream
5.625%, 07/15/22			1,300				1,144
5.625%, 11/15/23(A)			425				370
Rosneft Oil via Rosneft International Finance
4.199%, 03/06/22			1,595				1,353
RSP Permian
6.625%, 10/01/22			525				504
6.625%, 10/01/22(A)			100				96
Sabine Pass Liquefaction
6.250%, 03/15/22			1,050				977
5.625%, 02/01/21			1,225				1,136
5.625%, 04/15/23			175				155
5.625%, 03/01/25(A)			625				551
SandRidge Energy
8.125%, 10/15/22			975				210
7.500%, 03/15/21			75				17
Seven Energy
10.250%, 10/11/21			3,600				2,341
Sibur Securities
3.914%, 01/31/18			1,010				972

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 90

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
SM Energy
6.500%, 01/01/23		$	100			$	93
5.625%, 06/01/25			375				323
5.000%, 01/15/24			350				296
Summit Midstream Holdings
7.500%, 07/01/21			200				192
5.500%, 08/15/22			1,050				903
Targa Resources Partners
5.250%, 05/01/23			825				732
5.000%, 01/15/18(A)			250				238
4.250%, 11/15/23			250				208
Tesoro Logistics
6.250%, 10/15/22(A)			125				122
6.125%, 10/15/21			225				221
5.875%, 10/01/20			924				896
5.500%, 10/15/19(A)			50				49
5.125%, 04/01/24			600				588
W&T Offshore
8.500%, 06/15/19			725				323
Whiting Petroleum
6.250%, 04/01/23			1,225				1,060
Yingde Gases Investment
8.125%, 04/22/18			1,645				1,365
Zhaikmunai LLP
7.125%, 11/13/19			3,393				2,714
Total Petroleum & Fuel Products							102,516
Printing & Publishing [0.4%]
Expo Event Transco
9.000%, 06/15/21(A)			1,175				1,175
Multi-Color
6.125%, 12/01/22(A)			1,075				1,099
Mustang Merger
8.500%, 08/15/21(A)			850				882
Nielsen Finance
5.000%, 04/15/22(A)			1,700				1,647
4.500%, 10/01/20			625				627
Time
5.750%, 04/15/22(A)			700				654
Total Printing & Publishing							6,084
Publishing-Newspapers [0.1%]
Gannett
6.375%, 10/15/23			1,125				1,181
5.500%, 09/15/24(A)			50				48
5.125%, 10/15/19			175				178
4.875%, 09/15/21(A)			50				49
Total Publishing-Newspapers							1,456
Radio [0.4%]
Cumulus Media Holdings
7.750%, 05/01/19			500				359
Entercom Radio
10.500%, 12/01/19			600				628
Radio One
9.250%, 02/15/20(A)			900				770
7.375%, 04/15/22(A)			975				907
Sirius XM Holdings
4.625%, 05/15/23(A)			1,425				1,332
Sirius XM Radio
6.000%, 07/15/24(A)			975				980
5.375%, 04/15/25(A)			650				622
Townsquare Media
6.500%, 04/01/23(A)			750				668
Total Radio							6,266
Real Estate Investment Trusts [0.0%]
ESH Hospitality
5.250%, 05/01/25(A)			300				295
RHP Hotel Properties
5.000%, 04/15/23			150				149
Total Real Estate Investment Trusts							444
Real Estate Oper/Develop [2.0%]
Agile Property Holdings
9.875%, 03/20/17			850				871
8.875%, 04/28/17			830				834
Central China Real Estate
8.000%, 01/28/20			775				729
China SCE Property Holdings
11.500%, 11/14/17			2,520				2,630
CIFI Holdings Group
12.250%, 04/15/18			892				963
Global Prime Capital Pte
6.750%, 04/27/20			2,000				1,885
Jababeka International BV
7.500%, 09/24/19			2,500				2,194
Kaisa Group Holdings
10.250%, 01/08/20(B)			1,575				756
9.000%, 06/06/19(B)			700				336
8.875%, 03/19/18(B)			3,220				1,546
KWG Property Holding
8.975%, 01/14/19			1,600				1,640
Logan Property Holdings
11.250%, 06/04/19			375				387
Pakuwon Prima Pte
7.125%, 07/02/19			2,000				1,898

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 91

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Sunac China Holdings
9.375%, 04/05/18		$	2,840			$	2,918
Times Property Holdings
12.625%, 03/21/19			1,570				1,662
Trillion Chance
8.500%, 01/10/19			1,795				1,732
Vingroup JSC
11.625%, 05/07/18			4,025				4,239
VLL International
7.375%, 06/18/22			2,500				2,550
Yuzhou Properties
8.750%, 10/04/18			880				873
8.625%, 01/24/19			2,490				2,446
Total Real Estate Oper/Develop							33,089
Research and Development [0.1%]
Jaguar Holding II
6.375%, 08/01/23(A)			2,200				2,139
Resorts/Theme Parks [0.2%]
Cedar Fair
5.250%, 03/15/21			1,300				1,316
Six Flags Entertainment
5.250%, 01/15/21(A)			1,325				1,325
Total Resorts/Theme Parks							2,641
Retail [1.3%]
BKW
6.000%, 04/01/22(A)			2,275				2,309
Burger King
4.625%, 01/15/22(A)			450				440
Family Tree Escrow
5.750%, 03/01/23(A)			425				441
Ferrellgas
6.750%, 01/15/22			725				674
6.750%, 06/15/23(A)			425				387
6.500%, 05/01/21			675				631
Grupo Famsa
7.250%, 06/01/20			3,000				2,633
Hillman Group
6.375%, 07/15/22(A)			1,050				966
Jo-Ann Stores
8.125%, 03/15/19(A)			100				92
Jo-Ann Stores Holdings
9.750%, 10/15/19(A) (F) (G) (I)			525				420
L Brands
5.625%, 10/15/23			700				744
Limited Brands
5.625%, 02/15/22			350				370
Michaels Stores
5.875%, 12/15/20(A)			1,500				1,564
Neiman Marcus Group
8.750%, 10/15/21(A) (F)			900				927
8.000%, 10/15/21(A)			50				51
New Look Secured Issuer
4.500%, 07/01/22(D)			2,000				2,168
NPC International
10.500%, 01/15/20			1,025				1,066
Party City Holdings
6.125%, 08/15/23(A)			700				705
Petco Animal Supplies
9.250%, 12/01/18(A)			1,150				1,167
Petco Holdings
8.500%, 10/15/17(A) (F)			600				605
Rite Aid
6.125%, 04/01/23(A)			1,050				1,042
Sally Holdings
6.875%, 11/15/19			725				752
Stonegate Pub Financing
5.334%, 04/15/19(D)			1,000				1,513
Stretford 79
4.834%, 07/15/20(D)			1,000				1,233
Vista Outdoor
5.875%, 10/01/23(A)			525				533
Total Retail							23,433
Rubber/Plastic Products [0.1%]
Gates Global
6.000%, 07/15/22(A)			1,525				1,228
Semicon Compo-Intg Circu [0.0%]
NXP BV
5.750%, 03/15/23(A)			200				208
Semi-Conductors [0.2%]
Advanced Micro Devices
7.500%, 08/15/22			325				208
7.000%, 07/01/24			850				527
Entegris
6.000%, 04/01/22(A)			1,300				1,320
Freescale Semiconductor
6.000%, 01/15/22(A)			450				470
Micron Technology
5.250%, 08/01/23(A)			575				529
5.250%, 01/15/24(A)			400				367

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 92

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Sensata Technologies BV
5.625%, 11/01/24(A)		$	425			$	424
5.000%, 10/01/25(A)			500				469
Total Semi-Conductors							4,314
Special Purpose Banks [0.0%]
Vnesheconombank Via VEB Finance
6.025%, 07/05/22			790				744
Steel & Steel Works [0.5%]
ArcelorMittal
6.125%, 06/01/25			600				486
Evraz Group
9.500%, 04/24/18			1,000				1,046
Ferrexpo Finance
10.375%, 04/07/19			1,873				1,218
Gerdau Trade
4.750%, 04/15/23			250				199
Metinvest BV
10.250%, 01/31/16			3,887				2,586
Metinvest BV, MTN
10.500%, 11/28/17			1,560				920
8.750%, 02/14/18			3,519				1,986
Steel Dynamics
6.375%, 08/15/22			300				295
5.500%, 10/01/24			500				459
5.250%, 04/15/23			125				114
5.125%, 10/01/21			225				213
Total Steel & Steel Works							9,522
Sugar [0.1%]
Cosan Luxembourg
5.000%, 03/14/23			2,000				1,500
Technology [0.1%]
Sophia Holding Finance
9.625%, 12/01/18(A) (F)			225				230
Truven Health Analytics
10.625%, 06/01/20			1,025				1,071
Total Technology							1,301
Telecommunication Equip [0.2%]
CommScope
5.500%, 06/15/24(A)			525				501
CommScope Holding
6.625%, 06/01/20(A) (F)			1,200				1,230
CommScope Technologies Finance
6.000%, 06/15/25(A)			500				480
Total Telecommunication Equip							2,211
Telephones & Telecommunications [4.8%]
Altice
7.750%, 05/15/22(A)			1,400				1,274
7.625%, 02/15/25(A)			725				634
Altice Financing
6.625%, 02/15/23			200				192
6.625%, 02/15/23(A)			150				144
Altice US Finance I
5.375%, 07/15/23(A)			575				552
Altice US Finance II
7.750%, 07/15/25(A)			1,000				885
Banglalink Digital Communications
8.625%, 05/06/19			4,430				4,408
Bite Finance International BV, MTN
7.476%, 02/15/18(D)			1,810				1,987
Colombia Telecomunicaciones ESP
8.500%, 12/29/49(D)			2,500				2,331
Comcel Trust
6.875%, 02/06/24			3,005				2,968
Digicel
7.000%, 02/15/20(A)			325				321
6.000%, 04/15/21			4,310				3,933
6.000%, 04/15/21(A)			175				160
Digicel Group
8.250%, 09/30/20			12,865				11,952
8.250%, 09/30/20(A)			1,375				1,272
7.125%, 04/01/22			2,980				2,570
Intelsat Jackson Holdings
5.500%, 08/01/23			1,350				1,114
6.625%, 12/15/22			1,375				1,086
Intelsat Luxembourg
8.125%, 06/01/23			600				390
7.750%, 06/01/21			825				544
Level 3 Communications
5.750%, 12/01/22			750				736
Level 3 Financing
7.000%, 06/01/20			500				517
5.375%, 05/01/25(A)			1,200				1,125

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 93

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Matterhorn Telecom
3.727%, 05/01/22(D)		$	1,500			$	1,555
MetroPCS Wireless
6.625%, 11/15/20			600				610
Millicom International Cellular
6.625%, 10/15/21			2,895				2,863
6.000%, 03/15/25			1,765				1,593
4.750%, 05/22/20			890				850
Neptune Finco
10.875%, 10/15/25(A)			1,575				1,591
10.125%, 01/15/23(A)			625				632
6.625%, 10/15/25(A)			625				628
Oi
5.750%, 02/10/22			1,960				911
Reliance Communications
6.500%, 11/06/20			2,000				2,008
Sable International Finance
6.875%, 08/01/22			2,290				2,319
Sixsigma Networks Mexico
8.250%, 11/07/21			2,500				2,347
Sprint
7.875%, 09/15/23			1,725				1,396
7.125%, 06/15/24			350				269
Sprint Capital
6.875%, 11/15/28			1,850				1,327
Sprint Nextel
7.000%, 03/01/20(A)			600				600
6.000%, 11/15/22			1,100				828
Syniverse Holdings
9.125%, 01/15/19			1,150				978
T-Mobile USA
6.836%, 04/28/23			925				916
6.731%, 04/28/22			125				125
6.633%, 04/28/21			125				125
6.625%, 04/01/23			1,450				1,436
6.500%, 01/15/24			875				848
6.125%, 01/15/22			275				265
Vimpel Communications Via VIP Finance Ireland
9.125%, 04/30/18			700				754
7.748%, 02/02/21			2,334				2,382
VimpelCom Holdings BV
7.504%, 03/01/22			2,673				2,680
5.200%, 02/13/19			670				655
Virgin Media Finance
6.375%, 04/15/23(A)			675				672
Virgin Media Secured Finance
5.250%, 01/15/26(A)			2,250				2,070
Vivacom, MTN
6.625%, 11/15/18			2,573				2,767
Total Telephones & Telecommunications							80,095
Textile-Apparel [0.0%]
Texhong Textile Group
7.625%, 01/19/16			500				503
Textile-Home Furnishings [0.1%]
Springs Industries
6.250%, 06/01/21			850				842
Textile-Products [0.2%]
Golden Legacy PTE
9.000%, 04/24/19			3,270				2,910
Transportation Services [1.8%]
Air Medical Merger Sub
6.375%, 05/15/23(A)			1,125				1,021
Brunswick Rail Finance
6.500%, 11/01/17			1,685				674
DTEK Finance
10.375%, 03/28/18			1,756				764
7.875%, 04/04/18			5,491				2,170
Dubai Holding Commercial Operations, MTN
6.000%, 02/01/17			4,600				6,941
Equiniti Newco 2
6.338%, 12/15/18(D)			2,000				3,014
Equiniti Newco 2, MTN
7.125%, 12/15/18			500				772
Far East Capital
8.750%, 05/02/20			1,690				984
8.000%, 05/02/18			1,880				1,108
Favor Sea
11.750%, 02/04/19			1,810				1,484
Georgian Railway JSC
7.750%, 07/11/22			1,785				1,796
Grupo KUO De
6.250%, 12/04/22			52				51
Kazakhstan Temir Zholy Finance BV
6.375%, 10/06/20			2,425				2,283
Nielsen Luxembourg SaRL
5.500%, 10/01/21(A)			250				248
Noble Group
6.000%, 06/24/49(D)			2,411				1,194
Sabre GLBL
5.375%, 04/15/23(A)			900				887

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 94

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
SCF Capital
5.375%, 10/27/17		$	500			$	486
Topaz Marine
8.625%, 11/01/18			600				530
Travelex Financing
6.582%, 08/01/18(D)			1,000				1,505
Total Transportation Services							27,912
Transport-Equip and Leasing [0.0%]
Jurassic Holdings III
6.875%, 02/15/21(A)			500				351
Utility [0.1%]
Suburban Propane Partners
7.375%, 08/01/21			275				287
5.750%, 03/01/25			350				332
5.500%, 06/01/24			1,125				1,040
Total Utility							1,659
X-Ray Equipment [0.0%]
Hologic
5.250%, 07/15/22(A)			475				480
Total Corporate Bonds
(Cost $878,270)							777,935
Loan Participations [28.9%]
Aerospace [0.7%]
Air Canada, Term Loan
4.000%, 09/26/19			1,412				1,408
AM General Corporation, Term Loan B - 2013
10.250%, 03/22/18(G) (I)			348				287
American Airlines Inc, 2015 Term Loans
3.500%, 06/27/20			1,420				1,405
BE Aerospace Inc, Term Loan B
4.000%, 11/19/21			493				492
Dae Aviation Holdings, Term Loan B
5.250%, 06/24/22			150				150
LM U.S. (Landmark Aviation), Second Lien
8.250%, 10/26/20(H)			2,000				1,985
Tasc Inc, Second Lien
12.000%, 05/23/21			360				363
Tasc Inc, Term Loan
6.500%, 05/23/20			680				680
TransDigm Inc., Term Loan C
3.750%, 02/28/20			1,091				1,076
TransDigm Inc., Term Loan D
3.750%, 06/04/21			1,694				1,672
TransDigm Inc., Term Loan E
3.500%, 05/13/22			1,125				1,106
US Airways Group Inc, Term Loan B-1
3.500%, 05/23/19			1,132				1,127
WP CPP Holdings, Second Lien
8.750%, 04/30/21			22				22
WP CPP Holdings, Term B-3 Loan
4.500%, 12/28/19			169				166
Wyle Services Corporation, Term Loan B
5.000%, 05/21/21			188				187
Total Aerospace							12,126
Automotive [0.4%]
Car Trawler, Term Loan
4.250%, 04/30/21(G)			3,000				3,352
Oasis Holdings
4.683%, 11/19/20			4,580				2,359
Total Automotive							5,711
Broadcasting [0.9%]
Cumulus Media, Term Loan B
4.250%, 12/23/20			1,351				1,128
Gray Television, Inc., Term Loan B
3.750%, 06/13/21(G)			1,589				1,583
IHeart Communications, Term Loan D Extended
6.944%, 01/30/19(G)			7,773				6,432
IHeart Communications, Term Loan E
7.670%, 07/30/19			2,443				2,034
Media General Inc, Term Loan B
4.000%, 07/31/20			568				563
Sinclair Broadcasting Group, Term Loan B - 2011
3.000%, 10/28/16			91				90
Univision Comm (fka Umbrella), Replacement First-Lien Term Loans
4.000%, 03/01/20			2,242				2,226

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 95

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Univision Comm (fka Umbrella), TL C-3 (2013 Inc. Term Loans)
4.000%, 03/01/20		$	1,322			$	1,313
Total Broadcasting							15,369
Cable/Wireless Video [2.5%]
Altice Financing
4.500%, 07/15/22			2,000				2,220
Altice Financing, Term Loan B
5.500%, 07/02/19			3,753				3,745
Altice Financing, Term Loan B 2022
5.250%, 01/28/22			229				228
Cablevision Systems Corp, Term Loan B - 2013
2.672%, 04/17/20			948				941
Cequel Communications LLC, Lien 1
3.500%, 12/14/22			1,122				1,105
Charter Comm Operating, LLC, Term Loan A1
2.160%, 04/22/18			433				429
Charter Comm Operating, LLC, Term Loan E
3.000%, 04/10/20			1,901				1,876
Charter Comm Operating, LLC, Term Loan H
3.250%, 07/23/21			510				507
Charter Comm Operating, LLC, Term Loan I
3.500%, 01/23/23			1,945				1,933
CSC Holdings Inc., Term Loan B
5.000%, 09/23/22(H)			1,120				1,113
Eircom
4.500%, 05/31/22			3,002				3,302
Intelsat Jackson Holdings, Term Loan B2
3.750%, 06/30/19			1,743				1,694
Liberty Cablevision of Puerto Rico, First Lien Term Loan
4.500%, 12/24/21			2,190				2,120
Liberty Cablevision of Puerto Rico, Second Lien - 2014
7.750%, 06/26/23			215				210
M7 Group
4.250%, 06/17/21			995				1,109
MCC Iowa (Broadband), Term Loan G
4.000%, 01/20/20			252				251
MCC Iowa (Broadband), Term Loan H
3.250%, 01/22/21			1,277				1,253
MCC Iowa (Broadband), Term Loan J
3.750%, 06/18/21			79				79
Quebecor Media, Term Loan B
3.250%, 08/17/20			1,574				1,530
Serbia Broadband (Telemach), Term Loan
8.278%, 06/19/19			3,135				3,529
Tele Columbus
6.000%, 01/21/21			1,000				1,110
UPC Financing, Term Loan AH
3.250%, 06/10/21			860				843
Virgin Media Invst Hlds Ltd, Term Loan F
3.500%, 06/07/23			2,420				2,382
Ziggo B.V., Term Loan B1
3.500%, 01/15/22			2,589				2,538
Ziggo B.V., Term Loan B2
3.500%, 01/15/22			1,668				1,636
Ziggo B.V., Term Loan B3
3.500%, 01/15/22			2,743				2,690
Total Cable/Wireless Video							40,373
Chemicals [1.2%]
Axalta Coating Systems US Holdings, Term Loan B - 2014
3.750%, 02/01/20			317				314
Chemours Co LLC, Term Loan B
3.750%, 05/12/22			603				528
Constantia Flexibles Cov-Lite, 1st Lien
4.750%, 04/30/22			162				163
4.750%, 04/30/22			833				835
Flint Group SA, Term Loan B-2
4.750%, 09/03/21			2,555				2,510
Flint Group SA, Term Loan C
4.750%, 09/03/21			422				416
Gemini HDPE LLC, Term Loan B
4.750%, 07/24/21			574				566
Huntsman International LLC, Term Loan C
2.460%, 06/30/16			332				329
Ineos Finance PLC, Term Loan
4.000%, 12/15/20			995				1,073

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 96

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Ineos Group Holdings PLC, Dollar Term Loans - 2020
3.750%, 12/15/20		$	3,230			$	3,125
Ineos Group Holdings PLC, Term Loan - 2022
4.250%, 03/11/22			269				260
Klockner Pentaplast
5.000%, 04/22/20			1,058				1,186
5.000%, 04/28/20			937				1,049
MacDermid Holdings, LLC, Tranche B Term Loan
4.500%, 06/05/20			342				331
Minerals Technologies Inc., Term Loan B-1
3.750%, 05/09/21			1,210				1,201
Minerals Technologies Inc., Term Loan B-2
4.750%, 05/09/21			195				195
Perstorp Holding AB, Facility A (Mezzanine)
14.000%, 12/27/17			2,152				2,385
Polymer Group inc, Term Loan B
5.250%, 12/19/19			2,133				2,131
Styrolution, Term Loan B-1
6.500%, 11/07/19			1,112				1,105
Trinseo Materials Operating S.C.A (fka Styron), Term Loan B
4.250%, 11/05/21			249				247
Univar, Term Loan B
4.250%, 06/24/22			490				480
Total Chemicals							20,429
Consumer Non-Durables [0.4%]
Eastman Kodak Company, Exit Term Loan
7.250%, 09/03/19			332				318
Jarden Corporation, Tranche B-1 Term Loan
2.903%, 09/30/20			254				254
Kate Spade & Company, Term Loan B
4.000%, 04/09/21			267				265
Libbey Glass Inc., Term Loan B
3.750%, 04/09/21			247				246
Party City Holdings Inc., Term Loan B - new
4.250%, 08/19/22			470				469
PHS, Lien 1
5.529%, 04/17/20			2,000				2,901
Spectrum Brands Inc, Term Loan
3.750%, 06/23/22			457				458
Varsity Brands (Hercules Achievement), Term Loan B
5.000%, 12/10/21			1,047				1,049
Total Consumer Non-Durables							5,960
Diversified Media [1.5%]
Affinion Group Inc., Term Loan B
6.750%, 10/08/16			314				294
ALM Media, LLC, Term Loan B
5.500%, 07/29/20			215				208
Block Communication, Incremental Term Loan B
4.000%, 11/07/21			178				178
Bureau Van Dijk
5.216%, 09/17/21(G)			1,000				1,508
Deluxe Entertainment Services Group, Term Loan
6.500%, 02/28/20			573				532
Eden Bidco Limited (Top Right Group), Term Loan B
6.000%, 04/13/22			389				387
Emerald Expositions Holding, Inc., Term Loan B
4.750%, 06/17/20			281				279
EMI Music Publishing Limited, Term Loan
4.000%, 08/14/22			210				209
Harland Clarke Holdings, Cov-Lite Term Loan B-4
6.000%, 08/04/19			3,667				3,651
Harland Clarke Holdings, Term Loan B3
7.000%, 05/22/18			4,830				4,812
Harland Clarke Holdings, Tranche B-2 TL
5.510%, 06/30/17			156				155
Houghton Mifflin Harcourt Publishers Inc., Term Loan B
4.000%, 05/28/21			195				192
Learfield Communications, 2014 Replacement Term Loan
4.500%, 10/09/20			167				167
Lions Gate Entertainment, Second Lien
5.000%, 03/17/22			740				741
Live Nation, Term Loan B
3.500%, 08/17/20			519				517

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 97

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
McGraw-Hill, Term Loan
4.750%, 03/22/19		$	194			$	194
MediArena Acquisition (Endemol), First Lien Term Loan
6.750%, 08/11/21			506				488
Merrill Communications LLC, Term Loan - 2022
6.250%, 05/27/22			477				474
Regal Cinemas, Term Loan
3.750%, 04/01/22			469				469
Rovi Solutions Corporation, Term Loan B
3.750%, 07/02/21			410				400
Tribune Media Company, Term Loan B
3.750%, 12/28/20			1,945				1,927
TWCC Hld Corp-Weather Channel, Term Loan B - extended
5.750%, 02/11/20			703				698
Village Roadshow Limited, Ultimates Facility Tranche A-2
4.750%, 11/21/17			697				690
Warner Music Group Corp., Term Loan - 2013
3.750%, 07/01/20			1,019				998
WME IMG Holdings LLC, Second Lien
8.250%, 05/06/22			360				341
WME IMG Holdings LLC, Term Loan B
5.250%, 05/06/21			3,279				3,258
Total Diversified Media							23,767
Energy [1.3%]
Alon USA Inc, MLP Term Loan
9.250%, 11/26/18			549				543
Azure Midstream Holdings LLC, Term Loan B
7.500%, 11/15/18			190				162
Chief Exploration & Development LLC, Second Lien
7.500%, 05/16/21(G) (I)			415				341
CITGO Petroleum Corp., Term Loan B
4.500%, 07/23/21			356				353
CITGO Petroleum Corp., Term Loan B 2015
9.500%, 05/09/18			2,406				2,365
CJ Holding Company, Term Loan B1
6.500%, 03/24/20			359				248
Drillships Financing Holding Inc., Term Loan B1
6.000%, 03/31/21			1,851				1,084
EMG Utica, Term Loan
4.750%, 03/27/20(G)			640				605
Energy Transfer Equity LP, Term Loan B
3.250%, 12/02/19			4,555				4,387
EP Energy (aka Everest Acquisition), Term Loan B-3
3.500%, 05/24/18			644				598
Frac Tech International, Term Loan B - 2014
5.750%, 04/16/21			641				194
Glenn Pool Oil , Term Loan
4.500%, 05/02/16			242				241
Harvey Gulf Int’l Marine, Term Loan B
6.750%, 06/18/20			1,120				722
KCA Deutag, Term Loan
6.250%, 05/15/20			262				208
MEG Energy Corp, Term Loan B - 2013
3.750%, 03/31/20			150				140
Motor Fuel
6.000%, 08/05/22			2,000				2,998
New World Resources
8.500%, 10/07/16(G) (I)			300				335
Obsidian Natural Gas Trust
7.000%, 11/02/15			84				84
Osum Production Corp., Term Loan B
6.500%, 07/31/20(G) (I)			1,136				920
Pacific Drilling, Term Loan B
4.500%, 05/18/18			245				145
Paradigm, Term C Loan
4.750%, 07/24/19			183				165
Petroleum Geo-Services, Term Loan B
3.250%, 03/19/21(G) (I)			281				208
Philadelphia Energy Solutions, Term Loan
6.250%, 04/04/18			356				352
Seadrill Operating LP, Term Loan B
4.000%, 02/21/21			1,184				714
Sheridan Production Partners, Term Loan II-A
4.250%, 12/16/20(G) (I)			37				28

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 98

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Sheridan Production Partners, Term Loan II-M
4.250%, 12/16/20(G) (I)		$	14			$	10
Sheridan Production Partners, Term Loan II-SIP
4.250%, 12/16/20(G) (I)			267				198
Southcross Holdings Borrower LP, Term Loan B
6.000%, 07/29/21			178				129
Stonewall Gas Gathering LLC, Loan
8.750%, 01/28/22			527				523
Templar Energy LLC, Second Lien - 2014
8.500%, 11/25/20			4,345				1,919
Vantage Drilling Co (Offshore), Term Loan
5.000%, 10/25/17(G) (I)			507				164
Vantage Drilling Co (Offshore), Term Loan B (2013)
5.750%, 03/28/19(G) (I)			491				155
Veresen Midstream LP, Initial Term Loan
5.250%, 02/25/22			129				128
Western Refining, Term Loan B
4.250%, 11/12/20			355				353
Total Energy							21,719
Financial [1.8%]
Alliant Holdings Inc., Term Loan B - new
4.500%, 08/12/22			509				501
American Capital Holdings, Inc., Term Loan B - 2017
3.500%, 08/22/17			377				375
Aruba Investments, First Lien
4.250%, 02/02/22			998				1,111
Clipper Acquisitions (aka TCW), Initial Term Loan
3.000%, 02/06/20			219				215
Compass Investors Inc. (USI), Term Loan
4.250%, 12/27/19			345				341
Delos, Term Loan B
3.500%, 03/06/21			370				369
Dubai World
4.250%, 09/30/22(G) (I)			11,260				9,374
2.000%, 09/30/18			7,191				5,861
Duff & Phelps Corporation, Second Lien
9.500%, 08/13/21			160				158
Foncia Groupe, Term Loan D
4.250%, 06/01/18			2,000				2,234
4.250%, 03/24/21			1,000				1,119
Grosvenor Capital Management Holdings LLP, Cov-Lite Term Loan
3.750%, 01/04/21			236				233
Hub International Holdings, Initial Term Loan
4.000%, 10/02/20			348				339
Hyperion Insurance Group Ltd, Term Loan B
5.500%, 04/29/22			244				244
Ineos U.S. Finance LLC, 1st Lien
4.250%, 03/11/22			995				1,075
Ion Trading Technologies, Lien 1
4.500%, 06/10/21			1,800				2,013
iStar Financial Inc., Term Loan A-2 - 2012
7.000%, 03/19/17			127				129
Optimal Payments Ltd.
4.000%, 01/22/21			2,000				2,225
RCS Capital Corporation, Term Loan
6.500%, 04/29/19			484				447
Starwood Property Trust, Inc., Term Loan
3.500%, 04/17/20			355				349
Victory Capital Management, Term Loan B
7.000%, 10/31/21			271				263
Vistra Group, Ltd.
3.750%, 07/21/22(H)			1,000				1,118
Total Financial							30,093
Food and Drug [0.4%]
Albertsons, LLC, Term Loan B-2
5.375%, 03/21/19			2,580				2,578
Albertsons, LLC, Term Loan B-3
4.000%, 08/09/19			312				312
Albertsons, LLC, Term Loan B-4
5.500%, 08/25/21			124				124
Hostess Brands, LLC, Second Lien
8.500%, 07/28/23			210				210
Hostess Brands, LLC, Term Loan
4.500%, 07/29/22			615				615

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 99

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
New Albertsons’s, Inc., Term Loan
4.750%, 06/27/21		$	545			$	543
Rite Aid Corporation, Second Lien - Tranche 1 Term Loans
5.750%, 07/07/20			1,085				1,096
Rite Aid Corporation, Second Lien - Tranche 2 Term Loans
4.875%, 06/21/21			440				440
Supervalu Inc., Term Loan B - 2013
4.500%, 03/21/19			1,303				1,304
Total Food and Drug							7,222
Food/Tobacco [0.7%]
Agrokor
9.000%, 06/04/18			3,500				3,904
Burger King (1011778 B.C. / New Red), Term Loan B 2015
3.750%, 12/10/21			1,837				1,827
Deoleo, Term Loan
4.500%, 06/02/21			3,000				2,958
JBS USA LLC, Term Loan
1.500%, 08/18/22			390				390
JBS USA LLC, Term Loan B-2
3.750%, 09/18/20			289				287
Landry’s Inc., Term Loan B
4.000%, 04/19/18			558				558
Post Holdings Inc, Term Loan B
3.750%, 06/02/21			225				225
United Biscuits
4.817%, 12/10/21			1,000				1,510
Total Food/Tobacco							11,659
Forest Prod/Containers [0.7%]
Ardagh Holdings USA Inc., Incremental Term Loan B
4.000%, 12/17/19			985				980
Berry Plastics Corp., Term Loan D
3.500%, 02/08/20			2,833				2,804
Berry Plastics Corp., Term Loan F
4.000%, 09/16/22(H)			395				394
Caraustar Industries, Inc., Term Loan B
7.500%, 05/01/19			140				139
CD&R Millennium LLC (Mauser), Second Lien
8.750%, 07/31/22			150				148
Oak Tea Inc.
3.500%, 07/02/21(G)			1,945				2,173
Owens-Brockway Glass Container Inc., Term Loan B
3.500%, 08/14/22			209				210
Reynolds Group Holdings, Term Loan B - 2013
4.000%, 12/01/18			1,856				1,855
SIG Combibloc (Onex Wizard), Term Loan B
4.250%, 03/11/22			214				213
Verallia, Lien 1
4.000%, 07/22/22(H)			2,000				2,237
Total Forest Prod/Containers							11,153
Gaming/Leisure [2.0%]
Amaya, First Lien Term Loan
5.000%, 08/01/21			814				800
Belmond Interfin Ltd., Term Loan
4.000%, 03/19/21			394				390
Boyd Gaming Corp, Term Loan B
4.000%, 08/14/20			177				177
Caesars Entertainment Op Co Inc, Prop Co Term Loan
7.000%, 10/11/20			1,395				1,297
Caesars Entertainment Op Co Inc, Term Loan B-4
10.500%, 10/31/16(B)			116				108
Caesars Entertainment Op Co Inc, Term Loan B-6 Extended
9.500%, 01/28/18(B)			4,097				3,780
Caesars Entertainment Op Co Inc, Term Loan B7
9.750%, 03/01/17(B)			751				676
CCM Merger (Motor City), Term Loan B - new
4.500%, 08/06/21			1,620				1,615
Clubcorp Club Operations, Term Loan
4.250%, 07/24/20			270				270
Diamond Resorts Corp, Cov-Lite Term Loan
5.500%, 05/09/21			1,398				1,393
Four Seasons Holdings Inc., Second Lien
6.250%, 12/27/20			150				149
Four Seasons Holdings Inc., Term Loan (12/13)
3.500%, 06/27/20			927				919

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 100

 

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Gala Group Finance Ltd., First Lien
5.508%, 05/25/18		$	2,410			$	3,639
Global Cash Access, Term Loan B
6.250%, 11/25/20			399				398
Hilton Worldwide Finance, LLC., Term Loan B-1
3.500%, 10/26/20			6,481				6,459
La Quinta Intermediate Holdings, Term Loan B
4.000%, 04/14/21			549				544
LTF Merger Sub, Inc. (Lifetime Fitness), Term Loan
4.250%, 06/03/22			579				576
Mohegan Tribal Gaming, Term Loan B
5.500%, 11/19/19			221				220
NCL Corp Ltd, Term Loan B
4.000%, 11/05/21			174				173
Nordic Cinema
4.000%, 06/10/22			2,000				2,221
Parques, Term Loan
5.000%, 03/26/19			3,000				3,338
Playa Resorts Holding, Term Loan B
4.000%, 08/09/19			186				185
Scientific Games Inc., Term Loan B
4.250%, 10/18/20			149				147
4.250%, 10/18/20			895				882
4.250%, 10/18/20			1,510				1,489
Shingle Springs Tribal, Term Loan B
6.250%, 08/29/19			132				133
Total Gaming/Leisure							31,978
Healthcare [3.0%]
Aenova
5.000%, 09/29/20			2,000				2,213
Air Medical Group Holdings, Inc., Term Loan B
4.500%, 04/28/22			998				984
Alere Inc., Term Loan A
3.200%, 06/11/20			385				383
Allscripts Healthcare Solutions Inc, Term Loan A1
2.920%, 06/28/18			406				405
Amdipharm Mercury Ltd.
5.250%, 11/07/19			2,000				3,019
Ardent Legacy Holdings, Term Loan B
7.750%, 08/04/21			255				255
Catalent Pharma, Term Loan
4.250%, 05/07/21			988				1,105
CDRH (Healogics), Term Loan B
5.240%, 07/01/21			356				354
Community Health Systems, Inc., Term Loan A - 2019
2.608%, 01/25/19			3,500				3,471
Community Health Systems, Inc., Term Loan F
3.425%, 01/25/18			2,488				2,483
Community Health Systems, Inc., Term Loan G
3.750%, 12/31/19			818				816
Community Health Systems, Inc., Term Loan H
4.000%, 01/27/21			1,307				1,306
ConvaTec Healthcare, First Lien
4.250%, 12/22/16			2,993				3,347
ConvaTec Healthcare, Term Loan B
4.250%, 12/30/16			539				537
DPX Holdings B.V., Term Loan B
4.250%, 03/11/21			1,768				1,733
Emdeon Inc, Term Loan B-2
3.750%, 11/02/18			359				357
Endo Pharmaceutical, Term Loan B
3.750%, 06/24/22			2,005				1,997
Genoa-QoL Acquisitions Corp, Second Lien
8.750%, 04/21/23			55				55
Gesundheits
4.750%, 07/25/21(G)			1,000				1,114
Grifols, Inc, Term Loan B
3.194%, 02/27/21			1,782				1,781
Halyard Health, Inc., Term Loan B
4.000%, 10/01/21			317				317
Iasis Healthcare Corporation, Term Loan B - 2013
4.500%, 05/03/18			260				260
IMS Healthcare, Term Loan B - 2021
3.500%, 03/17/21			170				169
Indivior Finance S.� r.l., Term Loan B
7.000%, 12/19/19			517				486

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 101

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
inVentiv Health, Inc., Term B-4 Loan
7.750%, 05/15/18		$	475			$	475
Kindred Healthcare Inc., Term Loan B
4.250%, 04/09/21			461				459
Kinetic Concepts, Term Loan E-1
4.500%, 05/04/18			258				257
LGC Science Holdings, Term Loan
3.889%, 03/12/21(G)			3,000				3,333
MultiPlan Inc, Term Loan
3.750%, 03/31/21(D)			1,011				998
P2 Lower Acq. (Progressive), Term Loan
5.500%, 10/22/20			1,458				1,460
Regional Care (aka RCHP, Inc.), Second Lien
10.500%, 10/23/19			95				95
Regional Care (aka RCHP, Inc.), Term B-2 Loan
6.000%, 04/23/19			965				953
Royalty Pharma (aka RPI), Term Loan B-4
3.500%, 11/09/20			1,492				1,485
Siemens Audiology, Lien 1
4.250%, 01/17/22			998				1,115
Sunrise Medical, Cov-lite Term Loan
5.000%, 07/05/22			303				334
Sunrise Medical, Lien 1 Term Loan B
5.000%, 07/05/22			2,197				2,421
Valeant Pharmaceuticals International, Series C-2 TLB
3.500%, 12/11/19			756				743
Valeant Pharmaceuticals International, Series D-2 TLB
3.500%, 02/13/19			309				304
Valeant Pharmaceuticals International, Series E Tranche B Term Loan
3.500%, 06/26/20			3,706				3,646
Valeant Pharmaceuticals International, Series F-1 Tranche B Term Loan
4.000%, 04/01/22			2,866				2,833
Total Healthcare							49,858
Housing [0.3%]
ABC Supply Company, Term Loan B
3.500%, 04/16/20			820				812
Continental Building Products LLC, First Lien Term Loan
4.000%, 08/28/20			274				273
DTZ US Borrower LLC, Incremental Term Loan
4.250%, 11/04/21			3,016				2,981
QUIKRETE Holdings, Inc., First Lien Term Loan
4.000%, 09/28/20			269				267
Realogy Corporation, New Term Loan B
3.750%, 03/05/20			312				311
Total Housing							4,644
Industrials [0.1%]
Delachaux
5.250%, 09/25/21(G)			500				754
Interpipe Ukraine
8.300%, 03/06/16(G) (I)			3,821				1,137
Total Industrials							1,891
Information Technology [2.1%]
Aricent Technologies, Term Loan
5.500%, 04/14/21			425				421
Arris Group, Inc., Term Loan B 2015
3.250%, 04/17/20			574				572
Avago Technologies Finance, Term Loan B
3.750%, 05/06/21			1,865				1,862
Avaya Inc., Term B-6 Loans
6.500%, 03/31/18			908				788
Avaya Inc., Term Loan B-7
6.250%, 05/29/20			2,579				2,015
Blackboard Inc, Term Loan B3
4.750%, 10/04/18			881				875
CDW LLC, Term Loan
3.250%, 04/29/20			1,178				1,167
CompuCom Systems, Inc., Term Loan B
4.250%, 05/07/20			136				109
Dell Inc, Term Loan B-2
4.500%, 04/29/20			2,792				2,776
Dell Inc, Term Loan C
3.750%, 10/29/18			576				575

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 102

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
eResearch Technology, Inc., Term Loan
5.500%, 05/06/22		$	289			$	288
Fidji Luxembourg (BC3) S.Ã r.l., Term Loan
6.250%, 12/24/20			170				169
Freescale Semiconductor, Tranche B4 Term Loan
4.250%, 02/28/20			2,607				2,603
Infor (US) , Term Loan B-3
3.750%, 06/03/20			186				180
Infor (US), Term Loan B-5
3.750%, 06/03/20			881				851
Informatica, Term Loan
4.500%, 06/03/22			1,000				1,116
Internap Network Services, Term Loan
6.000%, 11/26/19			285				283
iParadigms Holdings LLC, First Lien Term Loan
5.000%, 07/23/21			252				249
IPC Corp., Term B-1 Loans
5.500%, 08/06/21			279				275
Mitel Networks Corporation, Term Loan B 2015
5.000%, 04/29/22			658				653
Nuance Communications, Term Loan
2.920%, 08/07/19			186				184
On Semiconductor Corp, Term Loan
1.980%, 01/02/18(G) (I)			447				436
Presidio, Inc., Term Loan - 2022
5.250%, 02/02/22			592				590
RAET B.V.
4.250%, 07/01/21			1,500				1,672
Riverbed Technology, Inc., Term Loan B
6.000%, 04/24/22			677				677
Scout24 Holdings
4.250%, 12/12/20			1,785				1,992
Sophia LP, Term B Loan
4.750%, 09/16/22(H)			350				349
Southern Graphics Inc., Term Loan - 2013
4.250%, 10/17/19			204				201
SS&C Technologies, Term Loan B-1 (2022)
4.000%, 07/08/22			2,020				2,021
SS&C Technologies, Term Loan B-2 (2022)
4.000%, 07/08/22			320				320
Technicolor, Term Loan
5.500%, 07/11/20			3,753				3,725
The Active Network, Inc., First Lien Term Loan
5.500%, 11/13/20			108				107
TransUnion LLC, Term Loan B-2
3.500%, 04/09/21			438				433
Vertafore, Inc., Term Loan - 2013
4.250%, 10/03/19			784				782
Zebra Technologies Corp, Term Loan B
4.750%, 09/30/21(G)			3,373				3,388
Total Information Technology							34,704
Manufacturing [0.3%]
Doosan Infracore, Term Loan B
4.500%, 05/28/21			351				351
Generac Power Systems Inc, Term Loan B
3.250%, 06/22/18			170				164
LTI Boyd Corporation, Second Lien
10.250%, 04/17/23			500				487
Mirror Bidco Corp. (Dematic), Cov-Lite Term Loan
4.250%, 12/28/19			292				291
Otter Products, LLC, Term Loan B
5.750%, 06/03/20			340				331
Signode Industrial Group US Inc., Term Loan B
3.750%, 05/01/21			1,254				1,243
TTM Technologies, Term Loan
6.000%, 05/07/21			535				498
Utex Industries, First Lien Term Loan
5.000%, 05/14/21			1,124				965
Total Manufacturing							4,330
Metals/Minerals [0.5%]
Atkore International, Inc., Term Loan
4.500%, 04/09/21			356				339
Atlas Iron Limited, Term Loan
8.750%, 12/10/17(G) (I)			116				39
Dynacast International LLC, Term Loan B-1
4.500%, 01/28/22			363				361

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 103

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Fortescue Metals Group (FMG), Cov-Lite Term Loan
3.750%, 06/30/19		$	7,943			$	6,478
Novelis Inc., Incremental Term Loan
4.000%, 06/02/22			1,486				1,460
Total Metals/Minerals							8,677
Retail [1.8%]
Abercrombie & Fitch Management Co., Term Loan B
4.750%, 07/30/21			993				973
AS Adventure
5.883%, 04/12/22			1,000				1,490
AS Adventure, Term Loan B
5.000%, 04/01/22			2,000				2,218
BJ’s Wholesale Club Inc, Second Lien Term Loan
8.500%, 03/26/20			535				529
Capital Automotive LP, Second Lien
6.000%, 04/30/20(G)			1,530				1,536
Capital Automotive LP, Term Loan - 2013
4.000%, 04/10/19			1,915				1,910
CWGS Group, LLC, Term Loan
5.750%, 02/20/20			939				937
Dollar Tree Inc, Term Loan B-1
3.500%, 07/06/22			2,735				2,735
Dollar Tree Inc, Term Loan B-2
4.250%, 03/09/22			1,365				1,365
HMK Intermediate Hldg (Sleepys), Term Loan
5.000%, 03/30/19			323				322
Hudson’s Bay Company, Term Loan B - 2022
4.750%, 08/12/22(H)			2,305				2,312
J Crew Group Inc, Term Loan B
4.000%, 03/05/21			809				625
JC Penney, Prop Co Term Loan
6.000%, 05/21/18			3,457				3,433
Jo-Ann Stores, Inc., Initial Loans
4.000%, 03/16/18			597				587
Michaels Stores, Term Loan B
3.750%, 01/28/20			352				351
Neiman Marcus (fka Mariposa), New Term Loan
4.250%, 10/25/20			762				744
Petco Animal Supplies Inc, Term Loan B - 2013
4.000%, 11/24/17			369				369
Petsmart (fka Argos Merger), Term Loan B-1
4.250%, 03/10/22			1,706				1,701
Sears Roebuck Acceptance Corp., Term Loan B
5.500%, 06/30/18(G)			2,181				2,142
Staples Inc, Term Loan B
2.750%, 04/23/21(H)			600				597
Toys R Us Property Company, Initial Term Loan
6.000%, 08/21/19			1,328				1,208
Toys R Us-Delaware, Inc., FILO CAD Term Loan
8.250%, 10/09/19			125				124
Toys R Us-Delaware, Inc., FILO US Term Loan
8.250%, 10/09/19			155				154
Toys R Us-Delaware, Inc., Term Loan B-3
5.250%, 05/25/18			33				25
Toys R Us-Delaware, Inc., Term Loan B4
9.750%, 04/09/20			1,328				1,164
Total Retail							29,551
Service [2.8%]
4L Technologies Inc., Term Loan B
5.500%, 05/08/20			64				61
Advanced Disposal Services, Term Loan B-2
3.750%, 10/09/19			1,085				1,068
AHT Cooling
4.271%, 11/19/20			1,000				1,087
AI Avocado BV
4.000%, 10/08/21			1,000				1,115
Asurion Corporation, Incremental Term Loan B-2
4.250%, 07/08/20			1,251				1,170
Asurion Corporation, Incremental Tranche B-1
5.000%, 05/24/19			1,810				1,724
Asurion Corporation, Second Lien
8.500%, 03/03/21			2,295				2,056
Asurion Corporation, Term Loan B-4
5.000%, 07/29/22			2,683				2,531

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 104

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Busy Bees Nurseries Ltd., Term Loan
4.750%, 04/29/22		$	1,000			$	1,512
Callcredit Information Group, 1st Lien
5.181%, 02/12/21(G)			3,000				4,453
Digital River, Inc., Term Loan
7.500%, 02/13/21			303				302
DigitalGlobe Inc, Term Loan B
3.750%, 01/31/20			442				439
Dorna Sports, Term Loan
4.172%, 04/30/21(G)			1,949				2,168
Environmental Resources, Term Loan
8.000%, 05/09/22			2,000				1,985
5.000%, 05/07/21			2,000				1,985
Evertec Group, LLC, Term Loan A
2.700%, 04/17/18			533				507
Evertec Group, LLC, Term Loan B
3.500%, 04/17/20			91				88
First Data Corporation, 2018 New Dollar Term Loan
3.687%, 03/23/18			4,965				4,920
First Data Corporation, 2018B Second New Term Loan
3.687%, 09/24/18			805				797
First Data Corporation, 2021 Extended Dollar Term Loan
4.187%, 03/24/21			1,745				1,741
First Data Corporation, New 2022 Dollar Term Loan
3.950%, 06/24/22			220				219
Interactive Data Corporation, Term Loan B - 2014
4.750%, 05/02/21			1,457				1,451
iQor US Inc., Term Loan B
6.000%, 04/01/21(G) (I)			1,045				846
LS Deco LLC (Leighton), Term Loan B
5.500%, 05/21/22			171				171
Nets Holdings, Term Loan
4.250%, 05/04/21			3,000				3,337
PODS LLC, Term Loan B
5.250%, 01/28/22			184				182
PrePaid Legal Services, Inc., Term Loan B
6.250%, 07/01/19(G)			135				135
Redtop Acquisitions Limited, First Lien Term Loan
4.500%, 12/03/20			215				216
Redtop Acquisitions Limited, Second Lien
8.250%, 06/03/21			187				186
Securitas Direct, Term Loan
3.681%, 08/30/19(G)			3,000				3,428
Sedgwick, Inc., First Lien Term Loan
3.750%, 03/01/21			1,486				1,462
Sedgwick, Inc., Second Lien
6.750%, 02/28/22			760				712
Spin Holdco (Coinmach), Term Loan B
4.250%, 11/14/19			108				106
STG-Fairway Acq. - First Advantage, Term Loan B - new
6.250%, 06/29/22			1,724				1,717
Total Service							45,877
Sovereign [0.6%]
Arab Republic of Egypt
1.884%, 01/04/21(G) (I)			2,790				2,528
Republic of Angola
6.600%, 12/06/20			7,000				6,922
Total Sovereign							9,450
Telecommunications [1.3%]
Cincinnati Bell Inc., Term Loan B - 2013
4.000%, 09/10/20			1,032				1,028
Frontier Communications, Term Loan A
3.050%, 10/14/16			3,054				3,023
Integra Telecom, Term Loan B - new
5.250%, 08/14/20			427				424
Level 3 Communications, Term Loan B-3 -2019
4.000%, 08/01/19			735				734
Level 3 Communications, Term loan B-4 - 2020
4.000%, 01/15/20			3,665				3,651
LTS Buyer LLC (Light Tower), Term Loan
4.000%, 04/13/20			1,104				1,082
Numericable U.S. LLC, Term Loan B-1
4.500%, 05/21/20			2,685				2,666

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 105

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)				Value (000)
Numericable U.S. LLC, Term Loan B-2
4.500%, 05/21/20		$	2,323			$	2,307
Numericable U.S. LLC, Term Loan B-5
4.000%, 07/27/22			360				353
Sky Bet, Cov-Lite First Lien Term Loan
6.083%, 02/25/22			1,000				1,513
Telenet Communications
3.500%, 05/01/23			2,000				2,186
Telx Group, Term Loan B (2014)
4.500%, 04/09/20			563				561
Zayo Group LLC, Term Loan B - 2012
4.000%, 07/02/19			2,398				2,381
Total Telecommunications							21,909
Textile & Apparel Mfg. [0.1%]
Vivarte, BOND
4.000%, 10/29/19			1,000				1,179
Transportation [0.5%]
Allison Transmission Inc, Term Loan B3 (2013)
3.500%, 08/23/19			1,631				1,629
Chrysler Automotive, 2014 Term Loan B
3.250%, 12/31/18			1,478				1,463
Chrysler Group
4.250%, 05/24/17(G)			871				866
Commercial Barge Line Company, Term Loan B
7.500%, 09/22/19			1				1
7.500%, 09/22/19			292				286
CS Intermedia Holdco 2 LLC, Term Loan
4.000%, 04/04/21			281				279
FleetPride, Term Loan B
5.250%, 11/15/19			209				201
Gruden Acquisition, Inc. (Quality Distribution), Term Loan
5.750%, 07/29/22			310				305
MPG Holdco (Metaldyne), Term Loan B
3.750%, 10/20/21			354				351
Navios Maritime Midstream Partners LP, Term Loan
5.500%, 06/15/20			145				143
Navios Maritime Partners LP, Term Loan B
5.250%, 06/27/18			332				329
Schaeffler Finance BV, Term Loan E
3.750%, 05/15/20			1,035				1,034
Tower Auto Holdings, Term Loan B - 2020
4.000%, 04/23/20			208				203
Travelport, Term Loan B
5.750%, 09/02/21			377				375
Visteon Corporation, Term Loan B
3.500%, 04/09/21			312				310
Wabash National Corporation, Term Loan B
4.250%, 03/16/22			323				324
Total Transportation							8,099
Utility [0.7%]
Bronco Midstream Funding, LLC, Term Loan B
5.000%, 08/15/20			1,043				970
Calpine, Construction TL B1 (2020)
3.000%, 05/03/20			147				143
Calpine, Construction TL B2 (2022)
3.250%, 01/31/22			1,080				1,051
Calpine, Term Loan B3
4.000%, 09/27/19			1,549				1,544
Calpine, Term Loan B4
4.000%, 10/31/20			828				825
Calpine, Term Loan B5
3.500%, 05/20/22			883				868
Empire Generating Co, LLC, Term Loan B
5.250%, 03/12/21			1,498				1,401
Empire Generating Co, LLC, Term Loan C
5.250%, 03/12/21			110				103
Green Energy Partners / Stonewall LLC, Term Loan B-1
6.500%, 11/12/21			205				201
La Frontera Generation LLC, Term Loan B
4.500%, 09/30/20			1,448				1,279
Longview Power
6.000%, 04/13/20			1,496				1,469

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 106

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Face Amount (000)/ Acquisition Cost (000)				Value (000)
Panda Temple Power II, LLC, Term Loan
7.250%, 04/03/19		$	150			$	133
Power Buyer, LLC, Second Lien
8.250%, 11/06/20			180				171
Power Buyer, LLC, Term Loan
4.250%, 05/06/20			547				540
Terra-Gen Finance Company, LLC, Term Loan B
5.250%, 11/26/21			172				167
TPF Generation Holdings, Term Loan B - 2013
4.750%, 12/31/17			910				854
Viva Alamo LLC, Term Loan B
5.250%, 02/22/21(G) (I)			275				228
Total Utility							11,947
Wireless Communications [0.3%]
Aircell Business Aviation Services LLC (GOGO), Term Loan - B-2
7.500%, 03/21/18			226				227
Aircell Business Aviation Services LLC (GOGO), Term Loan B
11.250%, 06/21/17			1,928				1,996
Crown Castle Int’l, Extended Increm Tranche B2
3.000%, 01/31/21			1,413				1,407
nTelos, Term Loan B
5.750%, 11/09/19			923				920
Syniverse Technologies, Inc., Old Term Loan B - Initial Term Loans
4.000%, 04/23/19			65				58
Syniverse Technologies, Inc., Tranche B Term Loan
4.000%, 04/23/19			297				270
Total Wireless Communications							4,878
Total Loan Participations
(Cost $499,522)							474,553
Life Settlement Contracts (G)(I)(J) [9.7%]
American General Life #460L,
Acquired 05/30/2014*			303				425
American General Life #508L,
Acquired 05/30/2014*			2,595				2,808
American General Life #542L,
Acquired 07/30/2015*			83				132

 

Description		Acquisition Cost (000)				Value (000)
American General Life #634L,
Acquired 05/30/2014*		$	530			$	880
American General Life #906L,
Acquired 07/30/2015*			479				2,638
American General Life #964L,
Acquired 07/30/2015*			1,459				1,526
AXA Equitable Life #0474,
Acquired 11/04/2013*			7,290				12,271
AXA Equitable Life #0932,
Acquired 11/04/2013*			1,014				4,360
AXA Equitable Life #1600,
Acquired 05/30/2014*			1,436				1,812
AXA Equitable Life #1616,
Acquired 05/30/2014*			3,254				3,879
AXA Equitable Life #1898,
Acquired 11/04/2013*			441				333
AXA Equitable Life #4496,
Acquired 11/04/2013*			115				756
AXA Equitable Life #7233,
Acquired 11/04/2013*			395				1,370
AXA Equitable Life #7578,
Acquired 11/04/2013*			2,104				3,154
AXA Equitable Life #7857,
Acquired 11/04/2013*			2,297				4,888
AXA Equitable Life #8538,
Acquired 11/04/2013*			1,333				2,723
AXA Equitable Life #9345,
Acquired 11/04/2013*			143				540
Guardian Insurance #0346,
Acquired 11/04/2013*			646				3,014
ING Reliastar #3394,
Acquired 05/30/2014*			3,687				4,282
ING Reliastar #1234,
Acquired 12/05/2013*			1,067				3,557
ING Reliastar #1649,
Acquired 12/05/2013*			61				1,380
ING Reliastar #4842,
Acquired 11/20/2013*			921				3,983
ING Reliastar #776H,
Acquired 05/30/2014*			1,518				1,826
John Hancock #0430,
Acquired 05/30/2014*			2,418				3,476
John Hancock #0801,
Acquired 05/30/2014*			1,564				2,237
John Hancock #1929,
Acquired 05/30/2014*			3,812				5,147
John Hancock #2223,
Acquired 11/19/2013*			1,279				3,077
John Hancock #5072,
Acquired 05/30/2014*			1,409				1,821

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 107

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Acquisition Cost (000)				Value (000)
John Hancock #5080,
Acquired 11/19/2013*		$	313			$	1,916
John Hancock #5885,
Acquired 05/30/2014*			894				980
John Hancock #6686,
Acquired 05/30/2014*			3,035				2,726
John Hancock #6912,
Acquired 05/30/2014*			1,065				1,314
Lincoln National #9330,
Acquired 05/30/2014*			5,482				4,316
Lincoln National #0019,
Acquired 09/18/2015*			2,460				4,126
Lincoln National #4654,
Acquired 05/30/2014*			721				697
Lincoln National #5456
Acquired 09/18/2015*			1,029				3,206
Lincoln National #4754,
Acquired 09/18/2015*			610				2,404
Lincoln National #5255,
Acquired 09/18/2015*			287				319
Lincoln National #5658,
Acquired 09/18/2015*			329				1,004
Lincoln National #7099,
Acquired 09/18/2015*			1,254				2,852
Lincoln National #8558,
Acquired 09/18/2015*			1,659				3,523
Lincoln National #9239,
Acquired 05/30/2014*			2,181				2,598
Mass Mutual #1849,
Acquired 11/05/2013*			2,926				4,163
Mass Mutual #5167,
Acquired 05/30/2014*			63				924
Mass Mutual #5681,
Acquired 11/05/2013*			288				1,472
Mass Mutual #5864,
Acquired 05/30/2014*			4,668				4,888
Mass Mutual #6620,
Acquired 11/05/2013*			222				1,599
Met Life #8MLU,
Acquired 05/30/2014*			1,413				4,319
NY Life Insurance #5673,
Acquired 05/30/2014*			3,334				4,559
Pacific Life #7850,
Acquired 05/30/2014*			550				631
Penn Mutual #3106,
Acquired 05/30/2014*			1,294				1,418
Phoenix Life #5555,
Acquired 05/30/2014*			3,946				5,465
Phoenix Life #6161,
Acquired 05/30/2014*			3,472				5,577

 

Description		Acquisition Cost (000)/ Face Amount (000)				Value (000)
Phoenix Life #8499,
Acquired 05/30/2014*		$	756			$	545
Phoenix Life #8509,
Acquired 05/30/2014*			761				545
Principal Financial #6653,
Acquired 10/30/2013*			306				860
Security Mutual Life #5380,
Acquired 10/30/2013*			410				1,107
Transamerica #1708,
Acquired 10/28/2013*			957				3,447
Transamerica #3426,
Acquired 11/12/2013*			275				684
Transamerica #8205,
Acquired 10/28/2013*			714				1,391
U.S. Life Insurance #46NL,
Acquired 07/30/2015*			879				1,504
Union Central Life #4500,
Acquired 10/30/2013*			790				3,940
Total Life Settlement Contracts
(Cost $92,996)							159,314
Sovereign Debt [1.5%]
Bosnia & Herzegovina Government International Bond
0.875%, 12/11/17(D)			1,678				1,694
City of Buenos Aires Argentina, MTN
8.950%, 02/19/21			200				206
Egyptian Paris Club
2.779%, 01/01/21(G) (I)			112				105
Islamic Republic of Pakistan
7.250%, 04/15/19			2,500				2,563
Ivory Coast Government International Bond
5.750%, 12/31/32			1,000				866
Kenya Government International Bond
5.875%, 06/24/19			1,677				1,608
Mozambique EMATUM Finance 2020 BV
6.305%, 09/11/20			1,915				1,637
Provincia de Buenos Aires
11.750%, 10/05/15			3,950				3,950
10.875%, 01/26/21			2,750				2,681
9.250%, 04/15/17			227				228
Republic of Argentina
7.000%, 10/03/15			3,000				3,087

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 108

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description	Face Amount (000)/ Shares/Number of Warrants				Value (000)
Senegal Government International Bond
8.750%, 05/13/21		$	1,500			$	1,565
Ukraine Government International Bond
6.875%, 12/01/15			2,750				2,227
United Republic of Tanzania
6.538%, 03/09/20(D)			2,690				2,549
Total Sovereign Debt
(Cost $25,933)							24,966
Closed-End Fund [1.0%]
Stone Ridge Reinsurance Risk Premium Interval Fund(G)			1,476,378				15,664
Total Closed-End Fund
(Cost $15,000)							15,664
Asset-Backed Securities [0.3%]
BT SPE (Acquired 07/06/11, Acquisition Cost $10,781,378)
9.250%, 06/06/16(G) (I) (J)			6,112				5,469
Sealane Trade Finance, Ser 2011-1X, Cl A
2.314%, 02/12/16(D) (G) (I)			93				81
Start CLO, Ser 2011-7A, Cl A
2.332%, 06/09/16(A) (D) (G) (I)			122				114
Total Asset-Backed Securities
(Cost $6,328)							5,664
Warrants [0.3%]
Central Bank of Nigeria,
Expires 11/15/20*			34,250				4,675
Gulf Keystone Petro,
Expires 04/18/17*			661,000				13
Total Warrants
(Cost $6,033)							4,688
Convertible Bonds [0.3%]
Coal Mining [0.0%]
Enercoal Resources Pte
9.250%, 04/07/18(B)			200				30
New World Resources
4.000%, 10/07/20			326				37
Total Coal Mining							67
Description	Face Amount (000)/Shares				Value (000)
Food, Beverage & Tobacco [0.1%]
CEDC Finance International
10.000%, 04/30/18(B) (G) (I)		$	1,599			$	783
Medical Products & Services [0.0%]
Bio City Development B.V
8.000%, 07/06/18			1,000				510
Metal-Iron [0.0%]
London Mining Jersey
12.000%, 02/15/16(B) (G) (I)			1,500				77
Miscellaneous Business Services [0.2%]
DP World
1.750%, 06/19/24			3,000				3,274
Petroleum & Fuel Products [0.0%]
Gulf Keystone Petroleum
6.250%, 10/18/17			1,000				401
Total Convertible Bonds
(Cost $7,967)							5,112
Common Stock [0.1%]
Energy [0.0%]
Aventine Renewable Energy Holdings *(G) (I)			3,836				32
Lone Pine Resource *(G) (I)			9,355				—
Lone Pine Resource A *(G) (I) (J)			9,355				11
Total Energy							43
Metals & Mining [0.1%]
New World Resources, Cl A *			44,276,198				301
Petropavlovsk			4,522,345				404
Total Metals & Mining							705
Petroleum & Fuel Products [0.0%]
InterOil Exploration and Production *			460,225				88

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 109

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

Description		Shares				Value (000)
Services [0.0%]
A’Ayan Leasing *			1,169,438			$	128
Astana Finance *			208,618				—
Total Services							128
Total Common Stock
(Cost $2,102)							964
Short-Term Investments [8.6%]
City National Rochdale Government Money Market Fund, Institutional Class, 0.010%**‡			59,033				59
SEI Daily Income Trust Government Fund, Cl A, 0.030%**			141,221,661				141,322
Total Short-Term Investments
(Cost $141,381)							141,381
Total Investments [98.1%]
(Cost $1,675,532)						$	1,610,241

 

Percentages are based on Net Assets of $1,641,954 (000).

 

 

CHF — Swiss Franc

Cl — Class

EUR — Euro

GBP — British Pound Sterling

LLC — Limited Liability Corporation

LLP — Limited Liability Partnerships

LP — Limited Partnership

MLP — Master Limited Partnership

MTN — Medium Term Note

NY — New York

PLC — Public Limited Company

Ser — Series

SPE — Special Purpose Entity

USD — United States Dollar

Amounts designated as “—” are either $0 or have been rounded to $0.

 

A list of the open forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:

 

Maturity Date	Currency to Deliver (000)					Currency to Receive (000)						Unrealized Appreciation (Depreciation) (000)
10/23/15-11/27/15	GBP			33,889		USD			51,382			$	131
10/23/15-12/1/15	EUR			105,350		USD			118,078				253
1/15/16	CHF			2,440		USD			2,590				75
												$	459

 

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2015, is as follows:

 

Counterparty		Currency to Deliver (000)				Currency to Receive (000)				Unrealized Appreciation (000)
U.S. Bank		$	(171,591	)		$	172,050			$	459

 

For the period ended September 30, 2015, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 110

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (continued)

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3(1)				Total
Corporate Bonds		$	—			$	777,935			$	—			$	777,935
Loan Participations			—				472,025				2,528				474,553
Life Settlement Contracts			—				—				159,314				159,314
Sovereign Debt			—				24,861				105				24,966
Closed-End Fund			15,664				—				—				15,664
Asset-Backed Securities			—				195				5,469				5,664
Convertible Bonds			—				5,112				—				5,112
Warrants			4,675				13				—				4,688
Common Stock			620				333				11				964
Short-Term Investments			141,381				—				—				141,381
Total Investments in Securities		$	162,340			$	1,280,474			$	167,427			$	1,610,241

 

Other Financial Instruments		Level 1				Level 2				Level 3				Total
Forwards Contracts*
Unrealized Appreciation		$	—			$	459			$	—			$	459

 

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value (000) as of September 30, 2015:

 

		Investments in Loan Participations				Investments in Life Settlement Contracts				Investments in Sovereign Debt
Beginning balance as of October 1, 2014		$	6,000			$	130,798			$	179
Accrued discounts/ premiums			117				—				5
Realized gain/(loss)			(617	)			22,396				17
Change in unrealized appreciation/(depreciation)			291				30,306				—
Purchases			—				10,527				—
Sales/paydowns			(3,263	)			(34,713	)			(96	)
Transfers into Level 3			—				—				—
Transfers out of Level 3			—				—				—
Ending balance as of September 30, 2015		$	2,528			$	159,314			$	105
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(36	)		$	30,306			$	—

 

		Investments in Asset-Backed Securities				Investments in Corporate Bonds
Beginning balance as of October 1, 2014		$	7,886			$	165
Accrued discounts/ premiums			—				—
Realized gain/(loss)			—				19
Change in unrealized appreciation/(depreciation)			(156	)			(7	)
Purchases			—				—
Sales/paydowns			(2,261	)			(177	)
Transfers into Level 3			—				—
Transfers out of Level 3			—				—
Ending balance as of September 30, 2015		$	5,469			$	—
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(156	)		$	—

 

		Investments in Common Stock				Total
Beginning balance as of October 1, 2014		$	18			$	145,046
Accrued discounts/ premiums			—				122
Realized gain/(loss)			—				21,815
Change in unrealized appreciation/(depreciation)			(7	)			30,427
Purchases			—				10,527
Sales/paydowns			—				(40,510	)
Transfers into Level 3			—				—
Transfers out of Level 3			—				—
Ending balance as of September 30, 2015		$	11			$	167,427
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(7	)		$	30,107

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 111

consolidated schedule of investments

September 30, 2015

City National Rochdale Fixed Income Opportunities Fund (concluded)

 

The following table summarizes the quantitative inputs and assumptions used for items categorized as material Level 3 investments as of September 30, 2015. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.

 

	Fair Value at September 30, 2015 (000)	Valuation Techniques
BT SPE	$5,469	Discounted Cash Flow Model based on actual collection level and experienced defaults
		Observable Inputs
		Accumulated Collections
		Accumulated Defaults
		Annualized Default Rate
		Accumulated Default Rate
		Pace of Collection Pace of Defaults
		Interest Rates
		Unobservable Inputs	Range
		Projected Default Rates	5%-12%
		Projected Collection Rates	90%-100%
		Expected Discount Rates	9.25%
		Valuation Techniques
Life Settlement Contracts	159,314	Discounted Cash Flow Model
		Observable Inputs
		Maturity Value
		Unobservable Inputs	Range
		Discount Rate	14%
		Expected Maturity (months)	2-112 Months

 

The unobservable inputs used to determine fair value of recurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement. Increases in projected collection rates in isolation would result in a higher fair value measurement, while increases in expected discount rates, projected default rates, and maturities of life settlement contracts, in isolation, would result in a lower fair value measurement.

 

For the year ended September 30, 2015, there have been no transfers between Levels of assets and liabilities.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

At September 30, 2015, the Fund had the following investments in life settlement contracts:

 

Year		Number of Contracts				Fair Value (000)				Face Value (Death Benefits) (000)
2016			8			$	34,606			$	36,357
2017			4				7,066				10,066
2018			8				31,528				56,750
2019			10				36,512				79,875
2020			11				17,960				62,500
Thereafter			21				31,642				138,000
			62			$	159,314			$	383,548

 

For the year ended September 30, 2015, the net change to fair value on life settlement contracts, net of premiums paid and continuing costs disclosed in the Fund’s Consolidated Statement of Operations, as part of the unrealized appreciation (depreciation) on investments, consisted of a net positive change to fair value on life settlement contracts of $30,305,686, offset by $20,832,231 in premiums paid and continuing costs associated with its investment in the Policies. For the year ended September 30, 2015, the Fund realized gains of $22,395,662 on matured life settlements, which are disclosed in the Consolidated Statement of Operations, as part of the realized loss on investments.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 112

schedule of investments

September 30, 2015

City National Rochdale Multi-Asset Fund

 

Description		Shares				Value (000)
Exchange Traded Funds [48.9%]
Financial Select Sector SPDR			22,680			$	514
iShares 7-10 Year Treasury Bond ETF			31,780				3,428
iShares MSCI World ETF			12,035				803
iShares Russell 3000 Index Fund			9,870				1,124
iShares S&P MidCap 400 Index Fund			6,865				938
SPDR S&P 500			3,053				585
SPDR S&P Dividend			12,712				917
SPDR S&P Telecom ETF			6,015				318
Technology Select Sector SPDR			7,330				290
Utilities Select Sector SPDR Fund			16,070				696
Vanguard FTSE Developed Markets ETF			11,415				407
Total Exchange Traded Funds
(Cost $9,881)							10,020
Unaffiliated Registered Investment Companies [25.6%]
Ashmore Emerging Markets Corporate Debt Fund			118,498				921
DoubleLine Total Return Bond Fund			68,222				746
Oppenheimer Senior Floating Rate Fund			89,396				705
Vanguard Short-Term Bond Index Fund			160,226				1,689
Voya Global Real Estate Fund			38,090				727
WisdomTree Europe Hedged Equity Fund			8,305				454
Total Unaffiliated Registered Investment Companies
(Cost $5,361)							5,242
Affiliated Registered Investment Companies [8.9%]
City National Rochdale Corporate Bond Fund, Servicing Class			124,539				1,300
City National Rochdale High Yield Bond Fund, Institutional Class			70,053				531
Total Affiliated Registered Investment Companies
(Cost $1,962)							1,831
Short-Term Investments [13.3%]
City National Rochdale Prime Money Market Fund, Institutional Class, 0.010%**‡			1,356,828				1,357
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.030%**			1,356,828				1,357
Total Short-Term Investments
(Cost $2,714)							2,714
Total Investments [96.7%]
(Cost $19,918)						$	19,807

 

Percentages are based on Net Assets of $20,484 (000).

 

 

Cl — Class

ETF — Exchange Traded Fund

FTSE — Financial Times and Stock Exchange

MSCI — Morgan Stanley Capital International

S&P — Standard & Poor’s

SPDR — Standard & Poor’s Depositary Receipts

 

As of September 30, 2015, all of the Fund’s investments are Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 113

schedule of investments

September 30, 2015

City National Rochdale Dividend & Income Fund

 

 

Description		Shares				Value (000)
Common Stock [94.7%]
Consumer Discretionary [3.4%]
Cedar Fair			14,000			$	737
Hasbro			20,000				1,443
McDonald’s			33,800				3,330
Six Flags Entertainment			18,000				824
Total Consumer Discretionary							6,334
Consumer Staples [26.1%](A)
Altria Group			64,250				3,495
B&G Foods			102,900				3,751
Campbell Soup			15,000				760
Clorox			32,100				3,708
Coca-Cola			8,000				321
ConAgra Foods			27,800				1,126
Dr Pepper Snapple Group			52,900				4,182
General Mills			66,680				3,743
Hershey			24,400				2,242
Imperial Tobacco Group ADR			23,152				2,396
Kellogg			40,500				2,695
Kimberly-Clark			18,200				1,985
PepsiCo			8,000				754
Philip Morris International			52,600				4,173
Procter & Gamble			39,149				2,816
Reynolds American			36,272				1,606
Sysco			31,600				1,232
Unilever ADR			22,200				905
Universal			38,592				1,913
Vector Group			146,243				3,307
Wal-Mart Stores			29,200				1,893
Total Consumer Staples							49,003
Energy [8.1%]
Buckeye Partners			12,400				735
Chevron			30,683				2,420
ConocoPhillips			27,500				1,319
Enbridge Energy Partners			15,000				371
Energy Transfer Partners			3,700				152
Enterprise Products Partners			72,584				1,807
Exxon Mobil			25,838				1,921
Kinder Morgan			33,500				927
NuStar Energy			11,250				504
Occidental Petroleum			25,500				1,687
ONEOK			18,500				596
Plains All American Pipeline			60,725				1,845
Spectra Energy			4,753				125
TransCanada			25,928				819
Total Energy							15,228
Financials [5.7%]
Arthur J Gallagher			13,200				545
BB&T			44,000				1,566
Cincinnati Financial			51,700				2,781
Compass Diversified Holdings			52,000				838
JPMorgan Chase			32,000				1,951
Mercury General			15,000				758
NBT Bancorp			25,935				699
People’s United Financial			30,000				472
US Bancorp			10,000				410
Welltower			11,612				786
Total Financials							10,806
Health Care [7.8%]
Bristol-Myers Squibb			52,000				3,078
Eli Lilly			48,400				4,051
GlaxoSmithKline ADR			32,000				1,230
Johnson & Johnson			38,200				3,566
Merck			28,150				1,390
Pfizer			41,944				1,318
Total Health Care							14,633

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 114

schedule of investments

September 30, 2015

City National Rochdale Dividend & Income Fund (continued)

 

Description		Shares				Value (000)
Industrials [4.6%]
3M			1,000			$	142
Eaton			39,700				2,036
General Dynamics			14,500				2,000
General Electric			20,000				504
Lockheed Martin			19,200				3,981
Total Industrials							8,663
Information Technology [0.9%]
Paychex			20,000				953
Seagate Technology			15,000				672
Total Information Technology							1,625
Materials [2.0%]
Dow Chemical			19,000				805
EI du Pont de Nemours			32,700				1,576
Olin			28,000				471
Sonoco Products			24,000				906
Total Materials							3,758
REITs [12.6%]
Apartment Investment & Management, Cl A			17,229				638
Camden Property Trust			8,914				659
Care Capital Properties			9,658				318
Communications Sales & Leasing			27,225				487
EPR Properties			33,200				1,712
Government Properties Income Trust			35,000				560
Health Care Property Investors			33,546				1,250
Healthcare Realty Trust			17,000				422
Healthcare Trust of America, Cl A			20,000				490
Home Properties			45,000				3,364
Liberty Property Trust			17,385				548
Mid-America Apartment Communities			12,000				982
National Health Investors			20,000				1,150
National Retail Properties, Cl REIT			48,500				1,759
National Storage Affiliates Trust			50,000				678
Plum Creek Timber			24,000				948
Public Storage			10,000				254
QTS Realty Trust, Cl A *			8,000				350
Select Income REIT			62,000				1,179
Simon Property Group			10,000				1,837
Sovran Self Storage			10,036				946
Tanger Factory Outlet Centers			27,984				923
Ventas			38,632				2,166
Total REITs							23,620
Shipping & Transportation [0.6%]
Fly Leasing ADR			87,370				1,153
Telecommunication Services [6.3%]
AT&T			84,500				2,753
Consolidated Communications Holdings			125,400				2,416
Lamar Advertising, Cl A			70,000				3,653
Verizon Communications			68,067				2,962
Total Telecommunication Services							11,784
Utilities [16.6%]
AGL Resources			19,000				1,160
American Electric Power			33,500				1,905
AmeriGas Partners			28,200				1,171
Atmos Energy			15,000				873
Avista			30,000				998
Brookfield Infrastructure Partners, Cl Miscellaneous			36,000				1,324
Dominion Resources			24,000				1,689
DTE Energy			15,000				1,206
Duke Energy			59,006				4,245
Entergy			13,700				892
Eversource Energy			37,492				1,898
Ferrellgas Partners			7,300				144
FirstEnergy			38,000				1,190
NiSource			20,000				371
Northwest Natural Gas			8,396				385
OGE Energy			33,600				919
Pinnacle West Capital			28,885				1,852
Portland General Electric			12,000				443
PPL			20,000				658
SCANA			38,000				2,138
Sempra Energy			9,000				870
Suburban Propane Partners			11,200				368
UIL Holdings			14,000				704
United Utilities Group ADR			17,318				483
WEC Energy Group			36,500				1,906
Xcel Energy			40,000				1,416
Total Utilities							31,208
Total Common Stock
(Cost $147,126)							177,815

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 115

schedule of investments

September 30, 2015

City National Rochdale Dividend & Income Fund (continued)

 

Description		Shares/Face Amount (000)				Value (000)
Exchange Traded Funds [2.5%]
iShares US Preferred Stock ETF			19,500			$	753
PowerShares Preferred Portfolio			269,500				3,929
Total Exchange Traded Funds
(Cost $4,725)							4,682
Preferred Stock [1.6%]
Financials [0.8%]
AmTrust Financial Services 7.500%			10,000				251
Bank of America 6.500%			10,000				255
Capital One Financial 6.700%			10,000				265
JPMorgan Chase 6.125%			10,000				251
Wells Fargo 6.000%			10,000				254
Wells Fargo Real Estate Investment 6.375%			10,000				256
Total Financials							1,532
REITs [0.5%]
Equity Commonwealth 7.250%			10,000				255
First Potomac Realty Trust 7.750%			10,000				255
National Retail Properties 6.625%			10,000				253
Public Storage 6.500%			10,000				252
Total REITs							1,015
Telecommunication Services [0.3%]
Qwest 7.375%			10,000				255
Verizon Communications 5.900%			10,000				260
Total Telecommunication Services							515
Total Preferred Stock
(Cost $2,977)							3,062
Asset-Backed Security [0.2%]
BT SPE (Acquired 07/06/11, Acquisition Cost $551,294)
9.250%, 06/06/16(B)(C)		$	313				280
Total Asset-Backed Security
(Cost $312)							280

 

Description		Shares				Value (000)
Short-Term Investments [0.4%]
City National Rochdale Government Money Market Fund, Institutional Class, 0.010%**‡			455,644			$	455
SEI Daily Income Trust Government Fund, Cl A, 0.030%**			205,644				206
Total Short-Term Investments
(Cost $661)							661
Total Investments [99.4%]
(Cost $155,801)						$	186,500

 

Percentages are based on Net Assets of $187,685 (000).

 

 

ADR — American Depositary Receipt

Cl — Class

ETF — Exchange Traded Fund

REIT — Real Estate Investment Trust

SPE — Special Purpose Entity

 

The following is a list of the inputs used as of September 30, 2015 in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Common Stock		$	177,815			$	—			$	—			$	177,815
Exchange Traded Funds			4,682				—				—				4,682
Preferred Stock			3,062				—				—				3,062
Asset-Backed Security			—				—				280				280
Short-Term Investments			661				—				—				661
Total Investments in Securities		$	186,220			$	—			$	280			$	186,500

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 116

schedule of investments

September 30, 2015

City National Rochdale Dividend & Income Fund (concluded)

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value (000) as of September 30, 2015:

 

		Investments in Asset-Backed Security
Beginning balance as of October 1, 2014		$	403
Accrued discounts/premiums			—
Realized gain/(loss)			—
Change in unrealized appreciation/(depreciation)			(8	)
Purchases			—
Sales/paydowns			(115	)
Transfers into Level 3			—
Transfers out of Level 3			—
Ending balance as of September 30, 2015		$	280
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(8	)

 

The following table summarizes the quantitative inputs and assumptions used for items categorized as material Level 3 investments as of September 30, 2015. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.

 

	Fair Value at September 30, 2015 (000)	Valuation Technique
BT SPE	$280	Discounted Cash Flow Model based on actual collection level and experienced defaults
		Observable Inputs
		Accumulated Collections
		Accumulated Defaults
		Annualized Default Rate
		Accumulated Default Rate
		Pace of Collection Pace of Defaults
		Interest Rates
		Unobservable Inputs	Range
		Projected Default Rates	5%-12%
		Projected Collection Rates	90%-100%
		Expected Discount Rates	9.25%

 

The unobservable inputs used to determine fair value of recurring Level 3 assets may have similar or diverging impacts on valuation. Significant increased and decreased in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.

 

For the period ended September 30, 2015, the transfers into Level 1 were due to changes in the availability of observable inputs to determine fair value. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 117

schedule of investments

September 30, 2015

City National Rochdale U.S. Core Equity Fund

 

 

Description		Shares				Value (000)
Common Stock [97.2%]
Aerospace & Defense [7.0%]
Boeing			20,900			$	2,737
Hexcel			71,800				3,221
Honeywell International			43,100				4,081
Textron			131,700				4,957
Total Aerospace & Defense							14,996
Auto Components [1.3%]
Magna International			57,800				2,775
Biotechnology [5.3%]
Celgene *			46,700				5,052
Gilead Sciences			63,400				6,225
Total Biotechnology							11,277
Capital Markets [4.1%]
Affiliated Managers Group *			14,900				2,548
Charles Schwab			215,000				6,140
Total Capital Markets							8,688
Commercial Banks [3.6%]
BankUnited			98,500				3,521
Wells Fargo			79,800				4,098
Total Commercial Banks							7,619
Computer Software [1.5%]
Microsoft			72,600				3,213
Computers & Peripherals [3.6%]
Apple			69,500				7,666
Diversified Financial Services [2.3%]
JPMorgan Chase			79,800				4,866
Diversified Telecommunication Services [1.4%]
Verizon Communications			67,400				2,933
Energy Equipment & Services [1.4%]
Schlumberger			43,400				2,993
Food & Staples Retailing [5.5%]
Costco Wholesale			34,300				4,959
CVS Health			69,800				6,734
Total Food & Staples Retailing							11,693
Food Products [2.8%]
Tyson Foods, Cl A			104,700				4,512
WhiteWave Foods, Cl A *			39,400				1,582
Total Food Products							6,094
Health Care Equipment & Supplies [2.2%]
Edwards Lifesciences *			33,800				4,805
Health Care Providers & Services [2.7%]
HCA Holdings *			41,000				3,172
UnitedHealth Group			23,400				2,714
Total Health Care Providers & Services							5,886
Health Care Technology [1.2%]
Cerner *			41,500				2,488
Hotels, Restaurants & Leisure [1.8%]
Starbucks			69,500				3,950
Household Durables [1.7%]
PulteGroup			198,800				3,751
Insurance [4.1%]
American International Group			82,500				4,688
Prudential Financial			52,700				4,016
Total Insurance							8,704

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 118

schedule of investments

September 30, 2015

City National Rochdale U.S. Core Equity Fund (concluded)

 

Description		Shares				Value (000)
Internet Software & Services [5.8%]
Facebook, Cl A *			53,000			$	4,765
Google, Cl A *			12,310				7,738
Total Internet Software & Services							12,503
IT Services [5.8%]
MasterCard, Cl A			66,600				6,002
Visa, Cl A			91,200				6,353
Total IT Services							12,355
Leisure Equipment & Products [1.4%]
Polaris Industries			24,600				2,949
Life Sciences Tools & Services [1.8%]
Thermo Fisher Scientific			31,400				3,840
Machinery [2.0%]
Wabtec			48,200				4,244
Media [6.7%]
Comcast, Cl A			108,900				6,194
Lions Gate Entertainment			89,600				3,297
Walt Disney			46,600				4,763
Total Media							14,254
Multi-Utilities [2.6%]
PG&E			106,800				5,639
Oil, Gas & Consumable Fuels [4.0%]
Chevron			28,400				2,240
EOG Resources			29,500				2,148
Exxon Mobil			57,200				4,253
Total Oil, Gas & Consumable Fuels							8,641
Pharmaceuticals [1.9%]
Eli Lilly			48,200				4,034
Road & Rail [2.1%]
Union Pacific			49,800				4,403
Semiconductors & Semiconductor Equipment [2.2%]
NXP Semiconductor *			53,900				4,693
Software [1.8%]
Adobe Systems *			47,700				3,922
Specialty Retail [4.2%]
Home Depot			45,500				5,255
Lowe’s			53,000				3,653
Total Specialty Retail							8,908
Water Utilities [1.4%]
American Water Works			54,700				3,013
Total Common Stock
(Cost $177,911)							207,795
Short-Term Investments [1.4%]
City National Rochdale Prime Money Market Fund, Institutional Class, 0.010%**‡			1,554,962				1,555
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.030%**			1,556,961				1,557
Total Short-Term Investments
(Cost $3,112)							3,112
Total Investments [98.6%]
(Cost $181,023)						$	210,907

 

Percentages are based on Net Assets of $213,843 (000).

 

 

Cl — Class

 

As of September 30, 2015, all of the Fund’s investments are Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 119

schedule of investments

September 30, 2015

City National Rochdale Socially Responsible Equity Fund

 

Description		Shares				Value (000)
Common Stock [96.8%]
Automotive [4.6%]
Ford Motor			478,000			$	6,487
Johnson Controls			131,700				5,447
Total Automotive							11,934
Banks [3.9%]
Bank of America			478,700				7,458
M&T Bank			22,000				2,683
Total Banks							10,141
Biotechnology [2.9%]
Baxalta			118,200				3,725
Gilead Sciences			39,200				3,849
Total Biotechnology							7,574
Building & Construction [2.3%]
USG *			224,000				5,963
Chemicals [2.5%]
Albemarle			55,000				2,426
Chemours			272,400				1,762
Innophos Holdings			57,000				2,259
Total Chemicals							6,447
Commercial Banks [2.3%]
BB&T			168,300				5,991
Communication & Media [2.4%]
Starz *			169,000				6,310
Communications Equipment [2.0%]
Qualcomm			96,000				5,158
Computer Software [4.3%]
Microsoft			142,200				6,294
Oracle			140,100				5,060
Total Computer Software							11,354
Drugs [1.9%]
AbbVie			89,300				4,859
Electronic Equipment & Instruments [7.0%]
Cisco Systems			254,800				6,689
Corning			301,300				5,158
TE Connectivity			110,000				6,588
Total Electronic Equipment & Instruments							18,435
Energy Equipment & Services [1.4%]
National Oilwell Varco			95,300				3,588
Financial Services [2.0%]
American Express			70,700				5,241
Food, Beverage & Tobacco [2.4%]
PepsiCo			67,500				6,365
Health Care Products & Services [5.9%]
Cardinal Health			31,600				2,427
DaVita HealthCare Partners *			89,700				6,488
Express Scripts Holding *			80,000				6,477
Total Health Care Products & Services							15,392
Household Furniture & Fixtures [1.4%]
Stanley Black & Decker			37,700				3,656
Household Products [2.0%]
Procter & Gamble			73,200				5,266
Independent Power Producers & Energy Trader [1.0%]
Calpine *			179,900				2,626
Industrial Products & Services [7.0%]
Eaton			136,800				7,018
Republic Services, Cl A			159,400				6,567
Tyco International			139,675				4,673
Total Industrial Products & Services							18,258

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 120

schedule of investments

September 30, 2015

City National Rochdale Socially Responsible Equity Fund (concluded)

 

Description		Shares				Value (000)
Information Technology [2.5%]
IBM			45,400			$	6,582
Insurance [14.1%]
American International Group			141,600				8,046
Berkshire Hathaway, Cl B *			35,600				4,642
Genworth Financial, Cl A *			508,700				2,350
HCC Insurance Holdings			89,600				6,941
MetLife			152,500				7,191
Symetra Financial			243,100				7,692
Total Insurance							36,862
Medical Products & Services [3.9%]
Baxter International			155,200				5,098
Becton Dickinson			39,400				5,227
Total Medical Products & Services							10,325
Petroleum & Fuel Products [4.2%]
ConocoPhillips			73,000				3,501
Devon Energy			147,000				5,452
Phillips 66			26,400				2,029
Total Petroleum & Fuel Products							10,982
Real Estate Management & Development [3.1%]
Brookfield Asset Management, Cl A			142,350				4,475
Kennedy-Wilson Holdings			168,900				3,745
Total Real Estate Management & Development							8,220
Retail [3.6%]
AutoNation *			91,000				5,295
Target			52,000				4,090
Total Retail							9,385
Specialty Finance [1.9%]
Air Lease, Cl A			162,700				5,031
Telephone & Telecommunications [3.3%]
Verizon Communications			198,000				8,615
Transportation Infrastructure [1.0%]
Wesco Aircraft Holdings *			206,000				2,513
Total Common Stock
(Cost $267,726)							253,073
Short-Term Investment [3.7%]
AIM STIT-Government TaxAdvantage Portfolio, 0.020%**			9,755,692				9,756
Total Short-Term Investment
(Cost $9,756)							9,756
Total Investments [100.5%]
(Cost $277,482)						$	262,829

 

Percentages are based on Net Assets of $261,424 (000).

 

 

Cl — Class

 

As of September 30, 2015, all of the Fund’s investments are Level 1 in accordance with authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 121

consolidated schedule of investments

September 30, 2015

City National Rochdale Emerging Markets Fund

 

 

Description		Shares				Value (000)
Common Stock [88.0%]
China [29.7%]
AAC Technologies Holdings			2,456,200			$	15,292
Alibaba Group Holding ADR *			125,519				7,402
ANTA Sports Products			6,150,000				15,871
Baidu ADR *			60,500				8,313
China Medical System Holdings			7,223,000				8,267
China Pioneer Pharma Holdings			14,755,000				6,359
China Railway Group, Cl H			7,272,000				6,596
China State Construction International Holdings			4,287,091				6,129
CIMC Enric Holdings			11,242,000				6,412
Fufeng Group			15,762,000				6,386
Great Wall Motor, Cl H			14,116,500				15,592
Man Wah Holdings			9,403,200				9,148
New Oriental Education & Technology Group ADR			366,500				7,407
Ping An Insurance Group of China, Cl H			2,645,000				13,088
Sunac China Holdings			11,898,000				6,202
Sunny Optical Technology Group			9,160,132				18,178
Tencent Holdings			1,628,100				27,163
Zhejiang Expressway, Cl H			6,054,000				6,570
ZTE, Cl H			5,706,024				12,988
Total China							203,363
Hong Kong [8.4%]
Bloomage BioTechnology			6,922,500				10,468
Galaxy Entertainment Group			2,472,000				6,283
Minth Group			3,000,000				5,350
MTR			1,695,739				7,352
NagaCorp			27,372,063				16,388
Skyworth Digital Holdings			16,948,814				11,416
Total Hong Kong							57,257
India [24.4%]
Amtek Auto(A)			2,436,433				1,629
Bharat Petroleum(A)			477,920				6,194
CESC(A)			1,374,602				10,824
Coal India(A)			1,416,958				7,072
Crompton Greaves(A)			2,822,928				7,343
Dr. Reddy’s Laboratories ADR			167,200				10,686
Emami(A)			681,022				11,958
HDFC Bank(A)			353,793				6,926
HDFC Bank ADR			239,000				14,600
Housing Development Finance(A)			432,415				7,989
ICICI Bank ADR			846,027				7,090
Infosys ADR			200,000				3,818
ITC(A)			1,675,823				8,394
Kaveri Seed(A)			625,531				4,040
Kotak Mahindra Bank(A)			1,026,940				10,140
Mindtree(A)			456,968				10,543
Sun Pharmaceutical Industries * (A)			680,355				9,001
Taro Pharmaceutical Industries * (A)			69,669				9,955
Tata Motors, Cl A(A)			1,326,174				4,373
Tata Motors ADR *			260,954				5,872
Tech Mahindra(A)			1,032,336				8,766
Total India							167,213
Indonesia [6.0%]
Bank Mandiri Persero			11,554,300				6,250
Ciputra Development			65,004,198				3,616
Kalbe Farma			41,503,100				3,895
Lippo Karawaci			87,737,461				6,768
Mitra Adiperkasa *			18,996,500				3,890
MNC Kapital Indonesia			89,800,000				10,237
Surya Citra Media			33,593,500				6,283
Total Indonesia							40,939
Malaysia [3.3%]
Inari Amertron			10,957,911				8,451
My EG Services			10,907,300				6,972
Nirvana Asia			28,415,000				6,966
Total Malaysia							22,389

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 122

consolidated schedule of investments

September 30, 2015

City National Rochdale Emerging Markets Fund (concluded)

 

Description		Shares				Value (000)
Philippines [8.4%]
GT Capital Holdings			454,850			$	12,310
Jollibee Foods			1,826,410				7,534
Megaworld			124,813,526				11,670
Metropolitan Bank & Trust			4,413,094				7,705
Security Bank			2,398,330				7,040
SM Prime Holdings			25,310,875				11,182
Total Philippines							57,441
Singapore [0.3%]
Raffles Medical Group			581,689				1,848
Thailand [5.5%]
KCE Electronics - Foreign			354,100				546
Krung Thai Bank - Foreign			18,127,850				8,541
Land & Houses NVDR			28,171,284				6,248
LPN Development NVDR			8,254,701				3,866
LPN Development			3,220,000				1,508
LPN Development - Foreign			987,700				463
Minor International - Foreign			10,050,305				7,961
Minor International NVDR			1,096,700				869
Siam Cement - Foreign			580,100				7,448
Total Thailand							37,450
United States [2.0%]
Cognizant Technology Solutions, Cl A *			224,000				14,025
Total Common Stock
(Cost $588,612)							601,925
Participatory Notes [2.3%]
Boci Financial,# *			3,452,638				9,118
Hanghou Hikvision Digital Technology# *			958,643				4,899
Hikvision Digital Technology,*
Expires 06/14/16			291,400				1,488
Total Participatory Notes
(Cost $19,748)							15,505

 

Description		Number of Warrants/Shares				Value (000)
Warrants [0.0%]
Inari Amertron,
Expires 02/17/20*			893,923			$	274
Minor International,
Expires 11/3/17*			400,127				—
Total Warrants
(Cost $—)							274
Short-Term Investments [6.0%]
City National Rochdale Government Money Market Fund, Institutional Class, 0.010%** ‡			20,187,019				20,187
SEI Daily Income Trust Government Fund, Cl A, 0.010%**			20,712,038				20,712
Total Short-Term Investments
(Cost $40,899)							40,899
Total Investments [96.3%]
(Cost $649,259)						$	658,603

 

Percentages are based on Net Assets of $684,182 (000).

 

 

ADR — American Depositary Receipt

Cl — Class

NVDR — Non Voting Depository Receipt

 

Amounts designated as “—” are $0 or have been rounded to $0.

 

As of September 30, 2015, all of the Fund’s investments are Level 1 in accordance with authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For the year ended September 30, 2015, there have been no transfers between any of the fair value hierarchy levels. Transfers between Levels are recognized at period end.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 123

statements of assets and liabilities (000)

September 30, 2015

 

		City National Rochdale Government Money Market Fund				City National Rochdale Prime Money Market Fund				City National Rochdale California Tax Exempt Money Market Fund
ASSETS:
Cost of securities (including repurchase agreements)		$	3,935,630			$	1,024,109			$	843,405
Investments in securities, at value		$	3,545,630			$	839,109			$	843,405
Affiliated investments, at value			—				—				—
Repurchase agreements, at value			390,000				185,000				—
Cash			—				—				34,790
Dividend and interest receivable			486				95				1,132
Receivable for investment securities sold			—				—				2,155
Receivable for reimbursement of legal fees (Note 4)			—				—				25
Receivable for reimbursement of transfer agent fees (Note 4)			—				—				1
Prepaid expenses			136				36				31
Total Assets			3,936,252				1,024,240				881,539
LIABILITIES:
Payable for income distributions			12				5				3
Payable for investment securities purchased			—				—				855
Investment advisory fees payable			233				147				19
Administrative fees payable			48				18				16
Accrued expenses			403				118				107
Total Liabilities			696				288				1,000
Net Assets		$	3,935,556			$	1,023,952			$	880,539
Net Assets:
Paid-in Capital (unlimited authorization — $0.01 par value)		$	3,935,555			$	1,023,963			$	880,507
Undistributed (Distributions in excess of) net investment income			1				—				(4	)
Accumulated net realized gain (loss) on investments			—				(11	)			36
Net Assets		$	3,935,556			$	1,023,952			$	880,539
Institutional Class Shares:
Net Assets ($Dollars)		$	—			$	68,005,340			$	—
Total shares outstanding at end of year			—				68,005,155				—
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	—			$	1.00			$	—
Class N Shares:
Net Assets ($Dollars)		$	2,958,782,440			$	291,290,915			$	594,314,753
Total shares outstanding at end of year			2,958,779,064				291,352,144				594,293,772
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	1.00			$	1.00			$	1.00
Class S Shares:
Net Assets ($Dollars)		$	668,182,548			$	258,809,012			$	60,397,408
Total shares outstanding at end of year			668,183,245				258,773,951				60,390,794
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	1.00			$	1.00			$	1.00
Servicing Class Shares:
Net Assets ($Dollars)		$	308,590,844			$	405,846,719			$	225,826,523
Total shares outstanding at end of year			308,592,049				405,925,026				225,822,897
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	1.00			$	1.00			$	1.00

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 124

statements of assets and liabilities (000)

September 30, 2015

 

		City National Rochdale Government Bond Fund				City National Rochdale Corporate Bond Fund				City National Rochdale California Tax Exempt Bond Fund				City National Rochdale Municipal High Income Fund
ASSETS:
Cost of securities (including affiliated investments)		$	149,689			$	137,873			$	94,814			$	684,401
Investments in securities, at value		$	150,938			$	135,687			$	95,042			$	659,232
Affiliated investments, at value			199				2,143				1,736				33,108
Dividend and interest receivable			642				1,190				1,001				10,360
Foreign tax reclaim receivable			—				5				—				—
Receivable for investment securities sold			—				—				—				16
Cash			—				—				—				—
Receivable for capital shares sold			154				61				300				1,038
Cash pledged as collateral for future contacts			—				—				—				303
Receivable for variation margin			—				—				—				50
Prepaid expenses			6				5				3				20
Total Assets			151,939				139,091				98,082				704,127
LIABILITIES:
Payable for income distributions			19				167				98				1,500
Payable for capital shares redeemed			987				6				8				194
Payable for investment securities purchased			—				3,000				—				1,985
Investment advisory fees payable			50				40				13				255
Shareholder servicing and distribution fees payable			20				28				31				416
Administrative fees payable			11				11				10				18
Accrued expenses			32				34				29				97
Total Liabilities			1,119				3,286				189				4,465
Net Assets		$	150,820			$	135,805			$	97,893			$	699,662
NET ASSETS:
Paid-in Capital (unlimited authorization — $0.01 par value)		$	149,449			$	135,732			$	95,893			$	691,097
Undistributed net investment income			4				1				3				523
Accumulated net realized gain (loss) on investments			(81	)			115				33				161
Net unrealized appreciation (depreciation) on investments			1,448				(43	)			1,964				7,939
Net unrealized depreciation on futures contracts			—				—				—				(58	)
Net Assets		$	150,820			$	135,805			$	97,893			$	699,662
Institutional Class Shares:
Net Assets ($Dollars)		$	58,301,307			$	—			$	—			$	—
Total shares outstanding at end of year			5,506,866				—				—				—
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	10.59			$	—			$	—			$	—
Class N Shares:
Net Assets ($Dollars)		$	1,894,740			$	4,411,228			$	11,385,997			$	382,461,126
Total shares outstanding at end of year			178,692				422,037				1,063,171				35,833,045
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	10.60			$	10.45			$	10.71			$	10.67
Servicing Class Shares:
Net Assets ($Dollars)		$	90,623,874			$	131,393,942			$	86,507,477			$	317,201,171
Total shares outstanding at end of year			8,562,948				12,585,926				8,100,649				29,705,902
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	10.58			$	10.44			$	10.68			$	10.68

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 125

statements of assets and liabilities/ consolidated statement of assets and liabilities (000)

September 30, 2015

 

		City National Rochdale High Yield Bond Fund				City National Rochdale Intermediate Fixed Income Fund				City National Rochdale Fixed Income Opportunities Fund				City National Rochdale Multi- Asset Fund
ASSETS:
Cost of securities (including affiliated investments)		$	94,775			$	266,807			$	1,675,532			$	19,918
Investments in securities, at value		$	85,471			$	266,328			$	1,610,182			$	16,619
Affiliated investments, at value			240				2,031				59				3,188
Cash			54				—				3,086				—
Foreign Currency(1)			13				—				2,796				—
Dividend and interest receivable			1,615				2,280				22,112				27
Foreign tax reclaim receivable			3				—				81				—
Receivable for capital shares sold			62				413				2,514				—
Receivable for investment securities sold			785				—				28,751				688
Unrealized gain on forward foreign currency contracts			9				—				462				—
Prepaid expenses			4				8				50				1
Total Assets			88,256				271,060				1,670,093				20,523
LIABILITIES:
Payable for income distributions			167				—				—				—
Payable for capital shares redeemed			208				212				528				—
Payable for investment securities purchased			1,255				—				25,514				—
Unrealized loss on forward foreign currency contracts			3				—				3				—
Investment advisory fees payable			38				91				673				3
Shareholder servicing and distribution fees payable			31				105				684				4
Administrative fees payable			10				12				31				9
Accrued expenses			33				53				706				23
Total Liabilities			1,745				473				28,139				39
Net Assets		$	86,511			$	270,587			$	1,641,954			$	20,484
NET ASSETS:
Paid-in Capital (unlimited authorization — $0.01 par value)			95,792				271,449				1,748,537				21,357
Undistributed (Distributions in excess of) net investment income			54				67				(3,287	)			11
Accumulated net realized (loss) on investments and foreign currency			(277	)			(2,481	)			(6,004	)			(773	)
Net unrealized appreciation (depreciation) on:
Investments			(9,064	)			1,552				(97,693	)			(111	)
Forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies			6				—				401				—
Net Assets		$	86,511			$	270,587			$	1,641,954			$	20,484
Institutional Class Shares:
Net Assets ($Dollars)		$	38,273,843			$	15,573,928			$	—			$	—
Total shares outstanding at end of year			5,047,375				596,278				—				—
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	7.58			$	26.12			$	—			$	—
Class N Shares:
Net Assets ($Dollars)		$	21,063,452			$	255,013,103			$	1,641,953,977			$	16,079,779
Total shares outstanding at end of year			2,778,756				9,765,382				65,105,191				1,534,880
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	7.58			$	26.11			$	25.22			$	10.48
Servicing Class Shares:
Net Assets ($Dollars)		$	27,173,568			$	—			$	—			$	4,404,395
Total shares outstanding at end of year			3,584,820				—				—				420,036
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	7.58			$	—			$	—			$	10.49

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 126

statements of assets and liabilities/ consolidated statement of assets and liabilities (000)

September 30, 2015

 

		City National Rochdale Dividend & Income Fund				City National Rochdale U.S. Core Equity Fund				City National Rochdale Socially Responsible Equity Fund				City National Rochdale Emerging Markets Fund
ASSETS:
Cost of securities (including affiliated investments)		$	155,801			$	181,023			$	277,482			$	649,259
Investments in securities, at value		$	186,045			$	209,352			$	262,829			$	638,416
Affiliated investments, at value			455				1,555				—				20,187
Cash			39				—				14				—
Foreign Currency(1)			—				—				—				24,071
Dividend and interest receivable			475				159				168				1,011
Receivable for investment securities sold			1,652				2,898				—				—
Foreign tax reclaim receivable			4				—				4				10
Receivable for capital shares sold			167				112				277				2,386
Prepaid expenses			6				8				9				24
Total Assets			188,843				214,084				263,301				686,105
LIABILITIES:
Payable for capital shares redeemed			158				16				22				680
Payable for investment securities purchased			801				—				1,625				277
Investment advisory fees payable			75				72				163				486
Shareholder servicing and distribution fees payable			77				103				9				278
Administrative fees payable			11				12				11				18
Accrued expenses			36				38				47				184
Total Liabilities			1,158				241				1,877				1,923
Net Assets		$	187,685			$	213,843			$	261,424			$	684,182
NET ASSETS:
Paid-in Capital (unlimited authorization — $0.01 par value)		$	154,733			$	183,045			$	274,213			$	684,229
Undistributed (Distributions in excess of) net investment income			(5	)			88				77				171
Accumulated net realized gain (loss) on investments and foreign currency			2,258				826				1,787				(8,965	)
Net unrealized appreciation (depreciation) on:
Investments			30,699				29,884				(14,653	)			9,344
Foreign currencies and translation of other assets and liabilities denominated in foreign currencies			—				—				—				(597	)
Net Assets		$	187,685			$	213,843			$	261,424			$	684,182
Institutional Class Shares:
Net Assets ($Dollars)		$	—			$	6,870,442			$	238,379,305			$	—
Total shares outstanding at end of year			—				526,935				23,418,941				—
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	—			$	13.04			$	10.18			$	—
Class N Shares:
Net Assets ($Dollars)		$	187,684,670			$	102,752,748			$	23,044,621			$	684,181,674
Total shares outstanding at end of year			5,484,369				7,954,955				2,269,039				19,337,304
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	34.22			$	12.92			$	10.16			$	35.38
Servicing Class Shares:
Net Assets ($Dollars)		$	—			$	104,219,535			$	—			$	—
Total shares outstanding at end of year			—				8,058,325				—				—
Net asset value, offering and redemption price per share
(net assets ÷ shares outstanding)		$	—			$	12.93			$	—			$	—

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 127

statements of operations (000)

For the year ended September 30, 2015

 

		City National Rochdale Government Money Market Fund				City National Rochdale Prime Money Market Fund				City National Rochdale California Tax Exempt Money Market Fund
INCOME:
Interest Income		$	4,399			$	1,990			$	604
Total Investment Income			4,399				1,990				604
EXPENSES:
Investment Advisory Fees			10,321				2,630				2,470
Shareholder Servicing Fees — Class N(1)			16,545				1,802				3,398
Shareholder Servicing Fees — Class S(1)			5,268				1,894				592
Shareholder Servicing Fees — Servicing Class			647				1,014				545
Administration Fees			755				277				254
Transfer Agent Fees			410				104				94
Trustee Fees			177				64				59
Professional Fees			330				92				85
Custody Fees			159				40				24
Registration Fees			207				56				49
Printing Fees			159				40				36
Insurance and Other Expenses			240				66				77
Total Expenses			35,218				8,079				7,683
Less, Waivers and/or Reimbursements of:
Investment Advisory Fees			(8,586	)			(1,422	)			(2,470	)
Shareholder Servicing Fees — Class N(1)			(16,545	)			(1,802	)			(3,398	)
Shareholder Servicing Fees — Class S(1)			(5,268	)			(1,894	)			(592	)
Shareholder Servicing Fees — Servicing Class			(647	)			(1,014	)			(545	)
Administration Fees			(170	)			(62	)			(127	)
Transfer Agent Fees			—				—				(10	)
Legal Fees			—				—				(25	)
Net Expenses			4,002				1,885				516
Net Investment Income			397				105				88
Net Realized Gain from Securities Transactions			—				—				36
Net Increase in Net Assets Resulting from Operations		$	397			$	105			$	124

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 128

statements of operations (000)

For the year ended September 30, 2015

 

		City National Rochdale Government Bond Fund				City National Rochdale Corporate Bond Fund				City National Rochdale California Tax Exempt Bond Fund				City National Rochdale Municipal High Income Fund (2)
INCOME:
Dividend Income		$	—			$	—			$	—			$	—
Dividend Income from Affiliated Investments			—				—				—				4
Interest Income			1,843				3,456				1,823				28,086
Total Investment Income			1,843				3,456				1,823				28,090
EXPENSES:
Investment Advisory Fees			713				568				248				2,552
Shareholder Servicing Fees — Class N(1)			10				22				57				1,474
Shareholder Servicing Fees — Servicing Class			262				344				201				681
Administration Fees			131				128				119				197
Transfer Agent Fees			16				14				10				62
Trustee Fees			30				30				28				45
Professional Fees			27				26				23				67
Custody Fees			7				12				4				22
Registration Fees			9				7				5				33
Printing Fees			6				6				4				25
Offering Costs			—				—				—				7
Insurance and Other Expenses			13				24				17				23
Total Expenses			1,224				1,181				716				5,188
Recovery of Investment Advisory Fees Previously Waived(2)			—				—				—				13
Less, Waivers of:
Investment Advisory Fees			(74	)			(89	)			(109	)			—
Net Expenses			1,150				1,092				607				5,201
Net Investment Income			693				2,364				1,216				22,889
Net Realized Gain from Securities Transactions			124				115				129				162
Net Change in Unrealized Appreciation (Depreciation) on:
Investments			1,373				(1,927	)			6				(4,922	)
Futures Contracts			—				—				—				(58	)
Net Increase in Net Assets Resulting from Operations		$	2,190			$	552			$	1,351			$	18,071

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 129

statements of operations/ consolidated statement of operations (000)

For the year ended September 30, 2015

 

		City National Rochdale High Yield Bond Fund				City National Rochdale Intermediate Fixed Income Fund				City National Rochdale Fixed Income Opportunities Fund				City National Rochdale Multi- Asset Fund
INCOME:
Dividend Income		$	61			$	449			$	—			$	517
Dividend Income from Affiliated Investments			—				—				—				78
Interest Income			6,539				6,411				93,635				—
Less: Foreign Taxes Withheld			—				(1	)			(62	)			—
Total Investment Income			6,600				6,859				93,573				595
EXPENSES:
Investment Advisory Fees			598				980				7,571				115
Shareholder Servicing Fees — Class N(1)			118				1,177				7,571				88
Shareholder Servicing Fees — Servicing Class(1)			90				—				—				13
Administration Fees			121				145				427				108
Transfer Agent Fees			9				25				156				2
Trustee Fees			28				33				96				25
Professional Fees			22				34				236				17
Custody Fees			9				10				535				3
Registration Fees			6				15				102				2
Printing Fees			4				10				60				1
Interest Expense			—				—				22				—
Insurance and Other Expenses			28				40				174				2
Total Expenses			1,033				2,469				16,950				376
Less, Waiver of:
Investment Advisory Fees			(128	)			(43	)			(248	)			(44	)
Net Expenses			905				2,426				16,702				332
Net Investment Income			5,695				4,433				76,871				263
Net Realized Gain (Loss) from:
Securities Transactions			(271	)			792				(7,681	)			(242	)
Affiliated Investments			—				—				—				(153	)
Distributions of Realized Gains from Investment Company Shares			—				—				—				85
Forward Foreign Currency Contracts			—				—				5,455				—
Foreign Currency Transactions			72				—				2,835				—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments			(9,010	)			(2,189	)			(90,387	)			(649	)
Affiliated Investments			—				—				—				(48	)
Forward Foreign Currency Contracts			—				—				(1,588	)			—
Foreign Currency Translations			6				—				(207	)			—
Net Increase (Decrease) in Net Assets Resulting from Operations		$	(3,508	)		$	3,036			$	(14,702	)		$	(744	)

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 130

statements of operations/ consolidated statement of operations (000)

For the year ended September 30, 2015

 

		City National Rochdale Dividend & Income Fund				City National Rochdale U.S. Core Equity Fund				City National Rochdale Socially Responsible Equity Fund				City National Rochdale Emerging Markets Fund
INCOME:
Dividend Income		$	7,123			$	2,903			$	5,553			$	13,381
Interest Income			36				1				11				—
Less: Foreign Taxes Withheld			(8	)			(10	)			(8	)			(647	)
Total Investment Income			7,151				2,894				5,556				12,734
EXPENSES:
Investment Advisory Fees			963				880				1,973				6,979
Shareholder Servicing Fees — Class N(1)			963				523				132				—
Shareholder Servicing Fees — Servicing Class			—				271				—				3,490
Administration Fees			136				140				145				219
Transfer Agent Fees			19				21				29				72
Trustee Fees			31				32				34				50
Professional Fees			29				30				39				78
Custody Fees			12				11				10				425
Registration Fees			10				11				26				46
Printing Fees			7				8				11				28
Interest Expense			1				—				—				—
Insurance and Other Expenses			12				12				12				140
Total Expenses			2,183				1,939				2,411				11,527
Recovery of Investment Advisory Fees Previously Waived(2)			—				8				60				—
Less, Waiver of:
Investment Advisory Fees			(44	)			—				—				(291	)
Shareholder Servicing Fees — Class N			—				—				(66	)			—
Net Expenses			2,139				1,947				2,405				11,236
Net Investment Income			5,012				947				3,151				1,498
Net Realized Gain (Loss) from:
Securities Transactions			5,580				1,411				2,738				(7,454	)
Foreign Currency Transactions			—				—				—				(1,325	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments			(10,600	)			242				(28,300	)			(71,965	)
Foreign Currency Translations			—				—				—				(270	)
Net Increase (Decrease) in Net Assets Resulting from Operations		$	(8	)		$	2,600			$	(22,411	)		$	(79,516	)

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 131

statements of changes in net assets (000)

For the year ended September 30,

 

		City National Rochdale Government Money Market Fund								City National Rochdale Prime Money Market Fund
		2015				2014				2015				2014
OPERATIONS:
Net Investment Income		$	397			$	378			$	105			$	120
Net Realized Gain (Loss) from Security Transactions			—				2				—				4
Net Change in Unrealized Appreciation (Depreciation) on Investments			—				—				—				—
Net Increase in Net Assets Resulting from Operations			397				380				105				124
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Institutional Class			—				—				(6	)			(4	)
Class N			(301	)			(300	)			(33	)			(36	)
Class S			(70	)			(61	)			(25	)			(23	)
Servicing Class			(26	)			(17	)			(41	)			(57	)
Realized Capital Gains:
Institutional Class			—				—				—				—
Class N			—				—				—				—
Servicing Class			—				—				—				—
Total Dividends and Distributions			(397	)			(378	)			(105	)			(120	)
CAPITAL SHARE TRANSACTIONS:(1)
Institutional Class:
Shares Issued			—				—				103,267				177,330
Shares Issued in Lieu of Dividends and Distributions			—				—				5				—
Shares Redeemed			—				—				(89,242	)			(134,563	)
Increase in Net Assets from Institutional Class Share Transactions			—				—				14,030				42,767
Class N:
Shares Issued			3,753,981				4,544,028				701,569				712,240
Shares Issued in Lieu of Dividends and Distributions			252				249				23				24
Shares Redeemed			(3,969,801	)			(4,410,324	)			(743,764	)			(803,775	)
Increase (Decrease) in Net Assets from Class N Share Transactions			(215,568	)			133,953				(42,172	)			(91,511	)
Class S:
Shares Issued			1,307,608				1,522,771				1,030,737				869,219
Shares Issued in Lieu of Dividends and Distributions			—				—				—				—
Shares Redeemed			(1,345,358	)			(1,291,990	)			(970,164	)			(878,235	)
Increase (Decrease) in Net Assets from Class S Share Transactions			(37,750	)			230,781				60,573				(9,016	)
Servicing Class:
Shares Issued			1,454,606				1,008,445				1,141,621				1,057,487
Shares Issued in Lieu of Dividends and Distributions			—				—				11				9
Shares Redeemed			(1,357,973	)			(924,910	)			(1,199,419	)			(1,207,309	)
Increase (Decrease) in Net Assets from Servicing Class Share Transactions			96,633				83,535				(57,787	)			(149,813	)
Net Increase (Decrease) in Net Assets from Share Transactions			(156,685	)			448,269				(25,356	)			(207,573	)
Total Increase (Decrease) in Net Assets			(156,685	)			448,271				(25,356	)			(207,569	)
NET ASSETS:
Beginning of Year			4,092,241				3,643,970				1,049,308				1,256,877
End of Year		$	3,935,556			$	4,092,241			$	1,023,952			$	1,049,308
Undistributed (Distributions in excess of) net investment income		$	1			$	—			$	—			$	—

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 132

 

City National Rochdale California Tax Exempt Money Market Fund								City National Rochdale Government Bond Fund								City National Rochdale Corporate Bond Fund
2015				2014				2015				2014				2015				2014
$	88			$	96			$	693			$	738			$	2,364			$	2,226
	36				(2	)			124				1,551				115				1,186
	—				—				1,373				(1,205	)			(1,927	)			(775	)
	124				94				2,190				1,084				552				2,637
	—				—				(352	)			(402	)			—				—
	(62	)			(69	)			(2	)			(2	)			(63	)			(44	)
	(8	)			(7	)			—				—				—				—
	(22	)			(20	)			(354	)			(346	)			(2,301	)			(2,181	)
	—				—				—				—				—				—
	—				—				—				—				(35	)			(20	)
	—				—				—				—				(1,106	)			(914	)
	(92	)			(96	)			(708	)			(750	)			(3,505	)			(3,159	)
	—				—				10,393				9,605				—				—
	—				—				347				338				—				—
	—				—				(9,674	)			(9,682	)			—				—
	—				—				1,066				261				—				—
	686,601				988,104				310				385				1,983				1,625
	61				67				1				1				62				47
	(715,932	)			(1,037,816	)			(461	)			(871	)			(1,546	)			(750	)
	(29,270	)			(49,645	)			(150	)			(485	)			499				922
	453,783				372,122				—				—				—				—
	—				—				—				—				—				—
	(474,800	)			(370,022	)			—				—				—				—
	(21,017	)			2,100				—				—				—				—
	816,681				698,593				19,490				28,483				26,686				43,257
	—				—				176				193				260				241
	(792,229	)			(662,963	)			(43,478	)			(30,360	)			(35,461	)			(35,408	)
	24,452				35,630				(23,812	)			(1,684	)			(8,515	)			8,090
	(25,835	)			(11,915	)			(22,896	)			(1,908	)			(8,016	)			9,012
	(25,803	)			(11,917	)			(21,414	)			(1,574	)			(10,969	)			8,490
	906,342				918,259				172,234				173,808				146,774				138,284
$	880,539			$	906,342			$	150,820			$	172,234			$	135,805			$	146,774
$	(4	)		$	—			$	4			$	2			$	1			$	1

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 133

statements of changes in net assets/ consolidated statements of changes in net assets (000)

For the year or period ended September 30,

 

		City National Rochdale California Tax Exempt Bond Fund								City National Rochdale Municipal High Income Fund
		2015				2014				2015				2014(4)
OPERATIONS:
Net Investment Income		$	1,216			$	1,008			$	22,889			$	7,598
Net Realized Gain (Loss) from:
Security Transactions and Affiliated Investments			129				461				162				74
Distributions of Realized Gains from Investment Company Shares			—				—				—				—
Foreign Currency Transactions			—				—				—				—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments, Affiliated Investments and Futures Contracts			6				1,052				(4,980	)			12,861
Foreign Currency Translations			—				—				—				—
Net Increase (Decrease) in Net Assets Resulting from Operations			1,351				2,521				18,071				20,533
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Institutional Class			—				—				—				—
Class N			(126	)			(115	)			(11,345	)			(3,407	)
Servicing Class			(1,090	)			(893	)			(11,151	)			(4,062	)
Realized Capital Gains:
Institutional Class			—				—				—				—
Class N			(52	)			(17	)			(36	)			—
Servicing Class			(355	)			(110	)			(38	)			—
Total Dividends and Distributions			(1,623	)			(1,135	)			(22,570	)			(7,469	)
CAPITAL SHARE TRANSACTIONS:(1)
Institutional Class:
Shares Issued			—				—				—				—
Shares Issued from Merger(3)			—				—				—				—
Shares Issued in Lieu of Dividends and Distributions			—				—				—				—
Shares Redeemed			—				—				—				—
Increase (Decrease) in Net Assets from Institutional Class Share Transactions			—				—				—				—
Class N:
Shares Issued			4,360				4,384				214,782				212,375
Shares Issued from Merger(3)			—				—				—				—
Shares Issued in Lieu of Dividends and Distributions			111				75				7,366				2,227
Shares Redeemed			(4,001	)			(1,893	)			(38,116	)			(19,319	)
Increase (Decrease) in Net Assets from Class N Share Transactions			470				2,566				184,032				195,283
Servicing Class:
Shares Issued			33,934				26,391				134,840				220,241
Shares Issued in Lieu of Dividends and Distributions			115				97				563				74
Shares Redeemed			(18,007	)			(16,133	)			(37,325	)			(6,611	)
Increase (Decrease) in Net Assets from Servicing Class Share Transactions			16,042				10,355				98,078				213,704
Net Increase (Decrease) in Net Assets from Share Transactions			16,512				12,921				282,110				408,987
Total Increase (Decrease) in Net Assets			16,240				14,307				277,611				422,051
NET ASSETS:
Beginning of Year/Period			81,653				67,346				422,051				—
End of Year/Period		$	97,893			$	81,653			$	699,662			$	422,051
Undistributed (distribution in excess of) net investment income		$	3			$	—			$	523			$	130

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 134

 

City National Rochdale High Yield Bond Fund								City National Rochdale Intermediate Fixed Income Fund								City National Rochdale Fixed Income Opportunities Fund								City National Rochdale Multi-Asset Fund (2)
2015				2014				2015				2014				2015				2014				2015				2014
$	5,695			$	7,711			$	4,433			$	4,535			$	76,871			$	56,680			$	263			$	199
	(271	)			5,028				792				(123	)			(7,681	)			4,871				(395	)			1,226
	—				—				—				—				—				—				85				38
	72				—				—				—				8,290				5,476				—				—
	(9,010	)			(1,148	)			(2,189	)			2,982				(90,387	)			(2,897	)			(697	)			(275	)
	6				—				—				—				(1,795	)			2,649				—				—
	(3,508	)			11,591				3,036				7,394				(14,702	)			66,779				(744	)			1,188
	(2,379	)			(2,421	)			(244	)			(611	)			—				—				—				(28	)
	(1,278	)			(1,899	)			(4,288	)			(3,973	)			(93,437	)			(54,067	)			(177	)			(149	)
	(2,049	)			(3,386	)			—				—				—				—				(75	)			(57	)
	(1,868	)			(90	)			—				—				—				—				—				—
	(1,142	)			(83	)			—				—				(6,421	)			(5,256	)			—				—
	(1,982	)			(208	)			—				—				—				—				—				—
	(10,698	)			(8,087	)			(4,532	)			(4,584	)			(99,858	)			(59,323	)			(252	)			(234	)
	5,782				7,321				6,668				1,175				—				—				—				783
	—				—				—				44,899				—				—				—				—
	4,041				2,362				232				648				—				—				—				27
	(6,571	)			(9,031	)			(39	)			(38,696	)			—				—				—				(7,291	)
	3,252				652				6,861				8,026				—				—				—				(6,481	)
	5,469				4,360				95,123				98,095				664,124				629,065				1,700				650
	—				—				—				—				—				58,518				—				—
	1,309				1,220				3,268				2,343				62,724				32,489				129				105
	(8,540	)			(14,526	)			(46,217	)			(53,966	)			(361,831	)			(260,475	)			(3,712	)			(4,588	)
	(1,762	)			(8,946	)			52,174				46,472				365,017				459,597				(1,883	)			(3,833	)
	9,056				26,803				—				—				—				—				2,142				1,149
	742				557				—				—				—				—				53				33
	(21,350	)			(74,330	)			—				—				—				—				(3,637	)			(228	)
	(11,552	)			(46,970	)			—				—				—				—				(1,442	)			954
	(10,062	)			(55,264	)			59,035				54,498				365,017				459,597				(3,325	)			(9,360	)
	(24,268	)			(51,760	)			57,539				57,308				250,457				467,053				(4,321	)			(8,406	)
	110,779				162,539				213,048				155,740				1,391,497				924,444				24,805				33,211
$	86,511			$	110,779			$	270,587			$	213,048			$	1,641,954			$	1,391,497			$	20,484			$	24,805
$	54			$	6			$	67			$	63			$	(3,287	)		$	6,957			$	11			$	—

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 135

statements of changes in net assets/ consolidated statements of changes in net assets (000)

For the year ended September 30,

 

		City National Rochdale Dividend & Income Fund
		2015				2014
OPERATIONS:
Net Investment Income		$	5,012			$	4,785
Net Realized Gain (Loss) from:
Security Transactions			5,580				5,858
Foreign Currency Transactions			—				—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments			(10,600	)			9,234
Foreign Currency Translations			—				—
Net Increase (Decrease) in Net Assets Resulting from Operations			(8	)			19,877
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Institutional Class			—				—
Class N			(5,817	)			(5,449	)
Servicing Class			—				—
Realized Capital Gains:
Institutional Class			—				—
Class N			—				—
Servicing Class			—				—
Total Dividends and Distributions			(5,817	)			(5,449	)
CAPITAL SHARE TRANSACTIONS:(1)
Institutional Class:
Shares Issued			—				—
Shares Issued from Merger(2)			—				—
Shares Issued in Lieu of Dividends and Distributions			—				—
Shares Redeemed			—				—
Increase in Net Assets from Institutional Class Share Transactions			—				—
Class N:
Shares Issued			66,145				68,568
Shares Issued from Merger(2)			—				—
Shares Issued in Lieu of Dividends and Distributions			3,602				3,535
Shares Redeemed			(49,154	)			(69,421	)
Increase (Decrease) in Net Assets from Class N Share Transactions			20,593				2,682
Servicing Class:
Shares Issued			—				—
Shares Issued in Lieu of Dividends and Distributions			—				—
Shares Redeemed			—				—
Increase in Net Assets from Servicing Class Share Transactions			—				—
Net Increase in Net Assets from Share Transactions			20,593				2,682
Total Increase in Net Assets			14,768				17,110
NET ASSETS:
Beginning of Year			172,917				155,807
End of Year		$	187,685			$	172,917
Undistributed (Distributions in excess of) net investment income		$	(5	)		$	(4	)

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 136

 

City National Rochdale U.S. Core Equity Fund								City National Rochdale Socially Responsible Equity Fund								City National Rochdale Emerging Markets Fund
2015				2014				2015				2014				2015				2014
$	947			$	468			$	3,151			$	1,396			$	1,498			$	2,603
	1,411				19,801				2,738				6,101				(7,454	)			(405	)
	—				—				—				—				(1,325	)			(579	)
	242				10,820				(28,300	)			(169	)			(71,965	)			53,480
	—				—				—				—				(270	)			(330	)
	2,600				31,089				(22,411	)			7,328				(79,516	)			54,769
	(53	)			(82	)			(2,845	)			(939	)			—				—
	(278	)			(82	)			(241	)			(461	)			(2,025	)			(1,072	)
	(542	)			(306	)			—				—				—				—
	(621	)			—				(5,652	)			(7,405	)			—				—
	(9,079	)			(1,261	)			(672	)			(5,241	)			—				—
	(10,078	)			(1,354	)			—				—				—				—
	(20,651	)			(3,085	)			(9,410	)			(14,046	)			(2,025	)			(1,072	)
	—				1,318				112,429				131,401				—				—
	—				50,817				—				—				—				—
	674				81				8,463				8,341				—				—
	(8	)			(47,918	)			(26,406	)			(7,405	)			—				—
	666				4,298				94,486				132,337				—				—
	19,775				27,776				4,092				11,122				357,980				295,842
	—				2,752				—				—				—				—
	8,212				1,216				904				5,563				1,003				530
	(14,129	)			(13,106	)			(5,830	)			(19,455	)			(175,750	)			(61,619	)
	13,858				18,638				(834	)			(2,770	)			183,233				234,753
	35,806				38,171				—				—				—				—
	64				11				—				—				—				—
	(25,710	)			(16,976	)			—				—				—				—
	10,160				21,206				—				—				—				—
	24,684				44,142				93,652				129,567				183,233				234,753
	6,633				72,146				61,831				122,849				101,692				288,450
	207,210				135,064				199,593				76,744				582,490				294,040
$	213,843			$	207,210			$	261,424			$	199,593			$	684,182			$	582,490
$	88			$	—			$	77			$	—			$	171			$	2,023

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 137

consolidated statement of cash flows (000)

For the year ended September 30, 2015

 

		City National Rochdale Fixed Income Opportunities Fund
Cash Flows from Operating Activities:
Net decrease in net assets from operations		$	(14,702	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities:
Purchase of investment securities			(2,184,181	)
Proceeds from disposition of investment securities			1,882,310
Amortization (accretion of market discount)			(5,785	)
Premium payments			(20,832	)
Net realized loss on investments			7,681
Net change in unrealized depreciation on investments			90,387
Changes in assets:
Receivable for investment securities sold			(15,233	)
Dividends and interest receivable			(4,237	)
Unrealized gain on forward currency contracts			1,670
Prepaid expenses			(28	)
Foreign tax reclaim receivable			(81	)
Changes in liabilities:
Payable for investment securities purchased			(12,862	)
Due to custodian			(1,198	)
Unrealized loss on forward foreign currency contracts			(82	)
Investment advisory fees payable			209
Shareholder servicing and distribution fees payable			109
Administrative fees payable			4
Accrued expense payable			208
Net Cash Used in Operating Activities			(276,643	)
Cash Flows from Financing Activities:
Proceeds from shares issued			667,307
Cost of shares redeemed			(361,664	)
Distributions			(37,134	)
Net cash provided by financing activities			268,509
Net change in cash			(8,134	)
Cash at beginning of year			14,016
Cash at end of year		$	5,882
Non-Cash Financing Activities:
Reinvestments of dividends and distributions		$	62,724

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 138

 

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financial highlights

For a Share Outstanding Throughout Each Period For the year or period ended September 30,

 

		Net Asset Value Beginning of Period				Net Investment Income†				Dividends from Net Investment Income				Net Asset Value End of Period				Total Return‡				Net Assets End of Period (000)				Ratio of Expenses to Average Net Assets(1)(2)				Ratio of Net Investment Income to Average Net Assets(1)(2)				Ratio of Expenses to Average Net Assets (Excluding Waivers & Recovered Fees)(1)
City National Rochdale Government Money Market Fund
Class N (commenced operations on June 21, 1999)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	2,958,782				0.10	%			0.01	%			0.87	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				3,174,351				0.08				0.01				0.88
2013			1.00			0.000^				(0.000)^					1.00				0.01				3,040,396				0.13				0.01				0.97
2012			1.00			0.000^				(0.000)^					1.00				0.00				2,808,068				0.14				0.01				1.11
2011			1.00			0.000^				(0.000)^					1.00				0.02				2,926,120				0.14				0.02				1.11
Class S (commenced operations on October 6, 1999)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	668,183				0.10	%			0.01	%			1.07	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				705,932				0.08				0.01				1.08
2013			1.00			0.000^				(0.000)^					1.00				0.01				475,151				0.12				0.01				1.11
2012			1.00			0.000^				(0.000)^					1.00				0.00				288,922				0.14				0.01				1.11
2011			1.00			0.000^				(0.000)^					1.00				0.01				291,194				0.15				0.01				1.11
Servicing Class (commenced operations on April 3, 2000)^^
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	308,591				0.10	%			0.01	%			0.57	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				211,958				0.08				0.01				0.58
2013			1.00			0.000^				(0.000)^					1.00				0.01				128,423				0.12				0.01				0.61
2012			1.00			0.000^				(0.000)^					1.00				0.00				96,452				0.14				0.01				0.61
2011			1.00			0.000^				(0.000)^					1.00				0.02				51,705				0.14				0.03				0.61
City National Rochdale Prime Money Market Fund
Institutional Class (commenced operations on December 19, 2012)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	68,005				0.18	%			0.01	%			0.32	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				53,975				0.15				0.01				0.33
2013			1.00			0.000^				(0.000)^					1.00				0.02				11,207				0.18				0.02				0.35
Class N (commenced operations on October 18, 1999)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	291,291				0.18	%			0.01	%			0.87	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				333,463				0.15				0.01				0.88
2013			1.00			0.000^				(0.000)^					1.00				0.02				424,972				0.20				0.02				0.96
2012			1.00			0.000^				(0.000)^					1.00				0.00				394,036				0.24				0.01				1.10
2011			1.00			0.000^				(0.000)^					1.00				0.03				450,282				0.25				0.03				1.10
Class S (commenced operations on October 26, 1999)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	258,809				0.18	%			0.01	%			1.07	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				198,237				0.15				0.01				1.08
2013			1.00			0.000^				(0.000)^					1.00				0.01				207,252				0.21				0.01				1.09
2012			1.00			0.000^				(0.000)^					1.00				0.00				256,060				0.24				0.01				1.10
2011			1.00			0.000^				0.000^					1.00				0.02				265,116				0.27				0.01				1.10
Servicing Class (commenced operations on March 23, 1998)^^
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	405,847				0.18	%			0.01	%			0.57	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				463,633				0.15				0.01				0.58
2013			1.00			0.000^				(0.000)^					1.00				0.02				613,445				0.19				0.02				0.59
2012			1.00			0.000^				(0.000)^					1.00				0.00				506,728				0.23				0.02				0.60
2011			1.00				0.001				(0.001	)			1.00				0.06				630,250				0.22				0.05				0.60
City National Rochdale California Tax Exempt Money Market Fund
Class N (commenced operations on June 21, 1999)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	594,315				0.06	%			0.01	%			0.89	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				623,561				0.05				0.01				0.90
2013			1.00			0.000^				(0.000)^					1.00				0.01				673,208				0.11				0.01				0.97
2012			1.00			0.000^				(0.000)^					1.00				0.00				666,532				0.12				0.01				1.11
2011			1.00			0.000^				(0.000)^					1.00				0.02				628,163				0.17				0.02				1.12
Class S (commenced operations on November 12, 1999)
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	60,397				0.06	%			0.01	%			1.09	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				81,412				0.05				0.01				1.10
2013			1.00			0.000^				(0.000)^					1.00				0.01				79,312				0.11				0.01				1.11
2012			1.00			0.000^				(0.000)^					1.00				0.00				99,970				0.12				0.01				1.11
2011			1.00			0.000^				(0.000)^					1.00				0.01				78,221				0.17				0.01				1.12
Servicing Class (commenced operations on April 3, 2000)^^
2015		$	1.00			$0.000^				$(0.000)^				$	1.00				0.01	%		$	225,827				0.06	%			0.01	%			0.59	%
2014			1.00			0.000^				(0.000)^					1.00				0.01				201,369				0.05				0.01				0.60
2013			1.00			0.000^				(0.000)^					1.00				0.01				165,740				0.10				0.01				0.61
2012			1.00			0.000^				(0.000)^					1.00				0.00				137,665				0.12				0.01				0.61
2011			1.00			0.000^				(0.000)^					1.00				0.02				169,932				0.16				0.02				0.62

 

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 140

 

		Net Asset Value Beginning of Period				Net Investment Income†				Net Realized and Unrealized Gains (Losses) on Securities†				Dividends from Net Investment Income				Distributions from Realized Capital Gains				Net Asset Value End of Period				Total Return‡				Net Assets End of Period (000)				Ratio of Expenses to Average Net Assets(1)(2)				Ratio of Net Investment Income to Average Net Assets(1)(2)				Ratio of Expenses to Average Net Assets (Excluding Waivers & Recovered Fees)(1)				Portfolio Turnover Rate
City National Rochdale Government Bond Fund
Institutional Class (commenced operations on February 1, 2012)
2015		$	10.49			$	0.06			$	0.10			$	(0.06	)		$	—			$	10.59				1.55	%		$	58,301				0.53	%			0.59	%			0.57	%			37	%
2014			10.47				0.06				0.02				(0.06	)			—				10.49				0.80				56,722				0.53				0.59				0.57				59
2013			10.73				0.11				(0.23	)			(0.14	)			—				10.47				(1.11	)			56,351				0.54				1.03				0.52				28
2012			10.75				0.05				0.04				(0.11	)			—				10.73				0.01				55,502				0.55				0.96				0.53				55
Class N (commenced operations on April 13, 2000)
2015		$	10.51			$	0.01			$	0.09			$	(0.01	)		$	—			$	10.60				0.95	%		$	1,895				1.03	%			0.08	%			1.07	%			37	%
2014			10.49				0.01				0.02				(0.01	)			—				10.51				0.29				2,027				1.03				0.10				1.07				59
2013			10.75				0.04				(0.21	)			(0.09	)			—				10.49				(1.60	)			2,505				1.03				0.38				1.02				28
2012			10.77				0.06				0.05				(0.12	)			(0.01	)			10.75				0.01				2,970				1.03				0.56				1.03				55
2011			10.68				0.12				0.15				(0.18	)			—				10.77				2.60				2,940				0.95				1.17				1.03				86
Servicing Class (commenced operations on January 14, 2000)^
2015		$	10.49			$	0.04			$	0.09			$	(0.04	)		$	—			$	10.58				1.21	%		$	90,624				0.78	%			0.33	%			0.82	%			37	%
2014			10.47				0.04				0.02				(0.04	)			—				10.49				0.54				113,485				0.78				0.34				0.82				59
2013			10.72				0.07				(0.20	)			(0.12	)			—				10.47				(1.26	)			114,953				0.79				0.62				0.77				28
2012			10.75				0.09				0.03				(0.14	)			(0.01	)			10.72				0.01				124,121				0.77				0.83				0.78				55
2011			10.66				0.15				0.15				(0.21	)			—				10.75				2.86				175,866				0.70				1.40				0.78				86
City National Rochdale Corporate Bond Fund
Class N (commenced operations on April 13, 2000)
2015		$	10.67			$	0.15			$	(0.14	)		$	(0.15	)		$	(0.08	)		$	10.45				0.14	%		$	4,411				1.01	%			1.42	%			1.07	%			32	%
2014			10.71				0.14				0.03				(0.14	)			(0.07	)			10.67				1.64				4,008				1.01				1.32				1.07				37
2013			10.91				0.16				(0.10	)			(0.17	)			(0.09	)			10.71				0.49				3,100				1.00				1.51				1.00				29
2012			10.59				0.22				0.37				(0.22	)			(0.05	)			10.91				0.06				2,535				1.00				2.05				1.00				31
2011			10.89				0.29				(0.30	)			(0.29	)			—				10.59				(0.10	)			2,481				1.00				2.69				1.00				40
Servicing Class (commenced operations on January 14, 2000)^
2015		$	10.66			$	0.18			$	(0.14	)		$	(0.18	)		$	(0.08	)		$	10.44				0.39	%		$	131,394				0.76	%			1.67	%			0.82	%			32	%
2014			10.70				0.17				0.03				(0.17	)			(0.07	)			10.66				1.89				142,766				0.76				1.57				0.82				37
2013			10.90				0.19				(0.11	)			(0.19	)			(0.09	)			10.70				0.75				135,184				0.75				1.77				0.75				29
2012			10.58				0.25				0.37				(0.25	)			(0.05	)			10.90				0.06				133,787				0.75				2.30				0.75				31
2011			10.88				0.32				(0.30	)			(0.32	)			—				10.58				0.15				111,563				0.75				2.94				0.75				40
City National Rochdale California Tax Exempt Bond Fund
Class N (commenced operations on April 13, 2000)
2015		$	10.74			$	0.12			$	0.02			$	(0.12	)		$	(0.05	)		$	10.71				1.30	%		$	11,386				0.88	%			1.10	%			1.00	%			10	%
2014			10.54				0.13				0.22				(0.13	)			(0.02	)			10.74				3.31				10,955				0.88				1.17				1.02				36
2013			10.86				0.18				(0.22	)			(0.18	)			(0.10	)			10.54				(0.45	)			8,197				0.87				1.64				0.86				34
2012			10.70				0.22				0.23				(0.22	)			(0.07	)			10.86				4.32				6,093				0.83				2.07				0.86				27
2011			10.73				0.26				0.01				(0.26	)			(0.04	)			10.70				2.65				4,563				0.75				2.46				0.87				26
Servicing Class (commenced operations on January 14, 2000)^
2015		$	10.71			$	0.14			$	0.03			$	(0.15	)		$	(0.05	)		$	10.68				1.56	%		$	86,507				0.63	%			1.36	%			0.75	%			10	%
2014			10.51				0.15				0.22				(0.15	)			(0.02	)			10.71				3.58				70,698				0.63				1.43				0.77				36
2013			10.83				0.20				(0.22	)			(0.20	)			(0.10	)			10.51				(0.20	)			59,149				0.62				1.91				0.62				34
2012			10.67				0.25				0.23				(0.25	)			(0.07	)			10.83				4.59				51,840				0.58				2.34				0.61				27
2011			10.70				0.29				0.01				(0.29	)			(0.04	)			10.67				2.92				53,464				0.50				2.73				0.62				26

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 141

financial highlights/consolidated financial highlights

For a Share Outstanding Throughout Each Period For the year or period ended September 30,

 

				Net Asset Value Beginning of Period				Net Investment Income†				Net Realized and Unrealized Gains (Losses) on Securities†				Dividends from Net Investment Income				Distributions from Realized Capital Gains				Net Asset Value End of Period				Total Return‡				Net Assets End of Period (000)				Ratio of Expenses to Average Net Assets(1)(2)				Ratio of Net Investment Income to Average Net Assets(1)(2)				Ratio of Expenses to Average Net Assets (Excluding Waivers & Recovered Fees)(1)				Portfolio Turnover Rate
City National Rochdale Municipal High Income Fund
Class N (commenced operations on December 30, 2013)
2015				$	10.71			$	0.41			$	(0.04	)		$	(0.41	)		$ —^				$	10.67				3.55	%		$	382,461				1.04	%			3.85	%			1.03	%			2	%
2014					10.00				0.32				0.71				(0.32	)			—				10.71				10.38				201,200				1.08				4.02				1.08				1
Servicing Class (commenced operations on December 30, 2013)
2015				$	10.72			$	0.44			$	(0.04	)		$	(0.44	)		$ —^				$	10.68				3.81	%		$	317,201				0.79	%			4.10	%			0.79	%			2	%
2014					10.00				0.34				0.72				(0.34	)			—				10.72				10.68				220,851				0.83				4.27				0.84				1
City National Rochdale High Yield Bond Fund
Institutional Class (commenced operations on February 2, 2012)
2015				$	8.76			$	0.49			$	(0.77	)		$	(0.49	)		$	(0.41	)		$	7.58				(3.47	)%		$	38,274				0.70	%			5.94	%			0.83	%			77	%
2014					8.59				0.53				0.19				(0.53	)			(0.02	)			8.76				8.49				40,639				0.70				5.98				0.78				59
2013					8.64				0.60				(0.05	)			(0.60	)			—				8.59				6.49				39,219				0.75				6.87				0.75				56
2012					8.39				0.43				0.26				(0.44	)			—				8.64				8.39				40,891				0.85				7.66				0.85				41
Class N (commenced operations on January 14, 2000)
2015				$	8.76			$	0.44			$	(0.76	)		$	(0.45	)		$	(0.41	)		$	7.58				(3.94	)%		$	21,063				1.20	%			5.43	%			1.33	%			77	%
2014					8.59				0.49				0.18				(0.48	)			(0.02	)			8.76				7.95				26,166				1.20				5.49				1.28				59
2013					8.64				0.56				(0.05	)			(0.56	)			—				8.59				5.95				34,371				1.27				6.37				1.26				56
2012					7.98				0.62				0.66				(0.62	)			—				8.64				16.56				38,629				1.38				7.43				1.39				41
2011					8.31				0.69				(0.33	)			(0.69	)			—				7.98				4.14				28,672				1.30				8.12				1.40				56
Servicing Class (commenced operations on January 14, 2000)^
2015				$	8.76			$	0.47			$	(0.77	)		$	(0.47	)		$	(0.41	)		$	7.58				(3.71	)%		$	27,174				0.95	%			5.67	%			1.08	%			77	%
2014					8.59				0.51				0.19				(0.51	)			(0.02	)			8.76				8.22				43,974				0.95				5.83				1.02				59
2013					8.63				0.58				(0.04	)			(0.58	)			—				8.59				6.35				88,949				0.99				6.58				0.99				56
2012					7.98				0.65				0.65				(0.65	)			—				8.63				16.77				74,245				1.08				7.76				1.09				41
2011					8.31				0.72				(0.33	)			(0.72	)			—				7.98				4.45				65,829				1.00				8.43				1.10				56
City National Rochdale Intermediate Fixed Income Fund
Institutional Class (commenced operations on December 20, 2013)
2015				$	26.23			$	0.60			$	(0.11	)		$	(0.60	)		$	—			$	26.12				1.87	%		$	15,574				0.51	%			2.29	%			0.53	%			21	%
2014					25.89				0.53				0.33				(0.52	)			—				26.23				3.35				8,784				0.51				2.57				0.52				28
Class N (commenced operations on December 31, 1999)
2015				$	26.23			$	0.47			$	(0.12	)		$	(0.47	)		$	—			$	26.11				1.34	%		$	255,013				1.01	%			1.79	%			1.03	%			21	%
2014					25.89				0.57				0.34				(0.57	)			—				26.23				3.54				204,264				1.01				2.17				1.04				28
	2013	*			26.76				0.60				(0.85	)			(0.62	)			—				25.89				(0.96	)			155,740				1.02				3.04				1.04				21
	2012				25.68				0.95				1.08				(0.95	)			—				26.76				7.99				130,359				1.13				3.59				1.12				26
	2011				25.89				0.97				(0.23	)			(0.95	)			—				25.68				2.88				107,957				1.15				3.74				1.15				58
	2010				25.11				0.95				0.79				(0.96	)			—				25.89				7.01				75,900				1.15				3.79				1.12				52
City National Rochdale Fixed Income Opportunities Fund
Class N (commenced operations on July 1, 2009)
	2015			$	27.19			$	1.34			$	(1.59	)		$	(1.60	)		$	(0.12	)		$	25.22				(0.88	)%		$	1,641,954				1.10	%(4)			5.08	%			1.12	%(4)			73	%
	2014				26.83				1.28				0.38				(1.17	)			(0.13	)			27.19				6.20				1,391,497				1.11	(3)			4.65				1.12	(3)			82
	2013	*			27.20				1.28				(0.43	)			(1.22	)		—^^					26.83				3.16				924,444				1.08				6.24				1.11				52
	2012				26.16				1.70				1.04				(1.64	)			(0.06	)			27.20				10.70				654,095				1.12				6.29				1.12				41
	2011				27.34				1.58				(1.02	)			(1.45	)			(0.29	)			26.16				2.04				497,684				1.16				5.80				1.16				60
	2010				26.56				1.79				1.07				(1.79	)			(0.29	)			27.34				11.10				257,900				1.18				6.60				1.18				62

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 142

 

 

				Net Asset Value Beginning of Period				Net Investment Income†				Net Realized and Unrealized Gains (Losses) on Securities†				Redemption Fees				Dividends from Net Investment Income				Distributions from Realized Capital Gains				Distributions from Return of Capital				Net Asset Value End of Period				Total Return‡				Net Assets End of Period (000)				Ratio of Expenses to Average Net Assets(1)(2)				Ratio of Net Investment Income to Average Net Assets(1)(2)				Ratio of Expenses to Average Net Assets (Excluding Waivers & Recovered Fees)(1)				Portfolio Turnover Rate
City National Rochdale Multi-Asset Fund
Class N (commenced operations on October 1, 2007)
2015				$	11.01			$	0.12			$	(0.54	)		$	—			$	(0.11	)		$	—			$	—			$	10.48				(3.84	)%		$	16,080				1.50	%			1.09	%			1.69	%			67	%
2014					10.70				0.07				0.32				—				(0.08	)			—				—				11.01				3.67				18,760				1.49				0.63				1.53				75
2013					10.44				0.15				0.29				—				(0.18	)			—				—				10.70				4.25				21,966				1.09				1.45				1.10				56
2012					9.88				0.18				0.57				—				(0.19	)			—				—				10.44				7.61				25,001				1.09				1.72				1.10				89
2011					10.36				0.17				(0.48	)			—				(0.17	)			—				—				9.88				(3.11	)			26,377				1.09				1.57				1.10				67
Servicing Class (commenced operations on October 1, 2007)^^
2015				$	11.02			$	0.15			$	(0.54	)		$	—			$	(0.14	)		$	—			$	—			$	10.49				(3.59	)%		$	4,404				1.25	%			1.35	%			1.43	%			67	%
2014					10.71				0.10				0.32				—				(0.11	)			—				—				11.02				3.94				6,045				1.24				0.87				1.29				75
2013					10.45				0.18				0.29				—				(0.21	)			—				—				10.71				4.51				4,938				0.84				1.70				0.84				56
2012					9.88				0.20				0.57				—				(0.20	)			—				—				10.45				7.89				7,230				0.84				1.99				0.84				89
2011					10.37				0.19				(0.48	)			—				(0.20	)			—				—				9.88				(2.97	)			19,084				0.84				1.76				0.85				67
City National Rochdale Dividend & Income Fund
Class N (commenced operations on June 1, 1999)
2015				$	35.08			$	0.94			$	(0.72	)		$	—			$	(1.08	)		$	—			$	—			$	34.22				0.53	%		$	187,685				1.11	%			2.60	%			1.13	%			13	%
2014					32.25				0.95				2.96				—				(1.08	)			—				—				35.08				12.20				172,917				1.09				2.74				1.14				16
	2013	*			29.07				0.62				3.37				—				(0.54	)			—				(0.27	)			32.25				13.74				155,807				1.16				2.55				1.19				17
	2012				28.06				0.92				1.17				—				(0.92	)			—				(0.16	)			29.07				7.49				116,138				1.38				3.18				1.37				13
	2011				26.73				0.90				1.46				0.01				(0.88	)			—				(0.16	)			28.06				9.02				107,012				1.40				3.27				1.40				21
	2010				23.71				0.82				3.24				—				(0.81	)			—				(0.23	)			26.73				17.48				70,800				1.35				3.29				1.35				16
City National Rochdale U.S. Core Equity Fund
Institutional Class (commenced operations on December 3, 2012)
	2015			$	14.21			$	0.11			$	0.13			$	—			$	(0.10	)		$	(1.31	)		$	—			$	13.04				1.79	%		$	6,870				0.52	%			0.79	%			0.52	%			32	%
	2014				12.13				0.08				2.30				—				(0.08	)			(0.22	)			—				14.21				19.86				6,759				0.53				0.59				0.53				60
	2013				10.00				0.14				2.08				—				(0.09	)			—				—				12.13				22.23				—				0.00	(3)			1.57				0.00	(3)			32
Class N (commenced operations on December 3, 2012)
	2015			$	14.09			$	0.04			$	0.14			$	—			$	(0.04	)		$	(1.31	)		$	—			$	12.92				1.31	%		$	102,753				1.02	%			0.29	%			1.02	%			32	%
	2014				12.08				0.01				2.23				—				(0.01	)			(0.22	)			—				14.09				18.80				97,205				1.03				0.09				1.04				60
	2013				10.00				0.05				2.08				—				(0.05	)			—				—				12.08				21.33				66,145				0.99				0.52				0.99				32
Servicing Class (commenced operations on December 3, 2012)
	2015			$	14.11			$	0.07			$	0.13			$	—			$	(0.07	)		$	(1.31	)		$	—			$	12.93				1.48	%		$	104,220				0.77	%			0.54	%			0.77	%			32	%
	2014				12.09				0.05				2.24				—				(0.05	)			(0.22	)			—				14.11				19.15				103,246				0.78				0.34				0.79				60
	2013				10.00				0.07				2.08				—				(0.06	)			—				—				12.09				21.60				68,919				0.74				0.73				0.74				32

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 143

financial highlights/consolidated financial highlights

For a Share Outstanding Throughout Each Period For the year or period ended September 30,

 

		Net Asset Value Beginning of Period				Net Investment Income (Loss)†				Net Realized and Unrealized Gains (Losses) on Securities†				Redemption Fees				Dividends from Net Investment Income				Distributions from Realized Capital Gains				Distributions from Return of Capital				Net Asset Value End of Period				Total Return‡				Net Assets End of Period (000)				Ratio of Expenses to Average Net Assets(1)(2)				Ratio of Net Investment Income (Loss) to Average Net Assets(1)(2)				Ratio of Expenses to Average Net Assets (Excluding Waivers & Recovered Fees)(1)				Portfolio Turnover Rate
City National Rochdale Socially Responsible Equity Fund
Institutional Class (commenced operations on January 3, 2005)
2015		$	11.45			$	0.14			$	(0.99	)		$	—			$	(0.13	)		$	(0.29	)		$	—			$	10.18				(7.70	)%		$	238,379				0.89	%			1.22	%			0.87	%			29	%
2014			12.28				0.19				1.18				—				(0.18	)			(2.02	)			—				11.45				12.46				172,830				0.89				1.62				0.96				34
2013			10.06				0.12				2.22				—				(0.12	)			—				—				12.28				23.38				45,357				0.87				1.10				0.87				42
2012			8.38				0.13				1.68				—				(0.13	)			—				—				10.06				21.63				80,109				0.90				1.37				0.90				38
2011			8.81				0.12				(0.43	)			—				(0.12	)			—				—				8.38				(3.67	)			62,193				0.88				1.27				0.89				22
Class N (commenced operations on August 12, 2005)
2015		$	11.42			$	0.11			$	(0.98	)		$	—			$	(0.10	)		$	(0.29	)		$	—			$	10.16				(7.86	)%		$	23,045				1.14	%			0.99	%			1.37	%			29	%
2014			12.26				0.18				1.15				—				(0.15	)			(2.02	)			—				11.42				12.11				26,763				1.14				1.55				1.46				34
2013			10.04				0.09				2.22				—				(0.09	)			—				—				12.26				23.12				31,387				1.13				0.81				1.38				42
2012			8.37				0.11				1.67				—				(0.11	)			—				—				10.04				21.28				25,631				1.15				1.13				1.40				38
2011			8.79				0.10				(0.42	)			—				(0.10	)			—				—				8.37				(3.80	)			3,132				1.13				1.05				1.39				22
City National Rochdale Emerging Markets Fund
Class N (commenced operations on December 14, 2011)
2015		$	38.90			$	0.09			$	(3.48	)		$	—			$	(0.13	)		$	—			$	—			$	35.38				(8.74	)%		$	684,182				1.61	%			0.21	%			1.65	%			34	%
2014			34.24				0.22				4.55				—				(0.11	)			—				—				38.90				13.96				582,490				1.61				0.58				1.64				42
2013*			32.31				0.33				1.60				—				—				—				—				34.24				5.97				294,040				1.62				1.31				1.69				25
2012			25.28				0.04				7.00				0.01				—				—				(0.02	)			32.31				27.87				136,838				1.97				0.15				1.94				69
2011			25.00				(0.02	)(3)			0.30			—^					—				—				—				25.28				1.12				5,934				2.25				(2.15	)			9.74				6

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

See accompanying notes to financial statements.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 144

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

 

City National Rochdale Funds, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company currently offering the following 15 series (each a “Fund” and collectively, the “Funds”): City National Rochdale Government Money Market Fund (“Government Money Market Fund”), City National Rochdale Prime Money Market Fund (“Prime Money Market Fund”), and City National Rochdale California Tax Exempt Money Market Fund (“California Money Market Fund”) (collectively, the “Money Market Funds”); City National Rochdale Government Bond Fund (“Government Bond Fund”), City National Rochdale Corporate Bond Fund (“Corporate Bond Fund”), City National Rochdale California Tax Exempt Bond Fund (“California Tax Exempt Bond Fund”), City National Rochdale Municipal High Income Fund (“Municipal High Income Fund”), City National Rochdale High Yield Bond Fund (“High Yield Bond Fund”), City National Rochdale Intermediate Fixed Income Fund (“Intermediate Fixed Income Fund”), and City National Rochdale Fixed Income Opportunities Fund (“Fixed Income Opportunities Fund”) (collectively, the “Fixed Income Funds”); City National Rochdale Multi-Asset Fund (“Multi-Asset Fund”); City National Rochdale Dividend & Income Fund (“Dividend & Income Fund”), City National Rochdale U.S. Core Equity Fund (“U.S. Core Equity Fund”), City National Rochdale Socially Responsible Equity Fund (“Socially Responsible Equity Fund”), and City National Rochdale Emerging Markets Fund (“Emerging Markets Fund”) (collectively, the “Equity Funds”).

 

On May 30, 2014, the Board of Trustees of the Trust approved the reorganization of City National Rochdale Alternative Total Return Fund LLC, an affiliate of City National Rochdale, LLC (“City National Rochdale”) into the Fixed Income Opportunities Fund. The reorganization was effective as of the close of business on May 30, 2014.

 

The Municipal High Income Fund commenced operations on December 30, 2013.

 

On December 20, 2013, a new Institutional Class of the Intermediate Fixed Income Fund opened.

 

On January 31, 2014, the Institutional Class of the Multi-Asset Fund closed.

 

On September 15, 2015, the Limited Maturity Fund Fixed Income Fund Closed.

 

The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Each Fund is diversified with the exception of the California Tax Exempt Bond Fund and the Emerging Markets Fund, which are non-diversified.

 

 

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

 

Use of Estimates – The Funds are investment companies that conform with accounting principles generally accepted in the United States of America (“GAAP”). Therefore the Funds follow the accounting and reporting guidance for investment companies. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

Security Valuation – Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price is used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, if the Funds’ Fair Value Committee concludes it approximates market value after taking into account factors such as credit, liquidity and interest rate conditions as well as issuer specific factors. Investments in underlying registered investment companies are valued at their respective daily net assets in accordance with pricing procedures approved by their respective boards. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held by the Funds are provided daily by recognized independent pricing agents. If a security

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 145

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from one or more independent brokers.

 

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Funds’ Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; for international securities, market events occur after the close of the foreign markets that make closing prices not representative of fair value; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

 

Investments in life settlement policies (“Policies”) are valued using the fair value method of accounting. The Fair Value Procedures recognize that the Policies are illiquid and that no market currently exists for the Policies. Under the fair value method, the Fixed Income Opportunities Fund recognizes the initial investment in its Policies at the transaction price. In subsequent periods, the Fund re-measures the investment in its Policies at fair value daily and recognizes changes in fair value in earnings, less Policy premiums paid and continuing costs, plus proceeds from Policy maturities in the period in which the changes occur. Due to the inherent uncertainty of this method of valuation, the estimated values may differ significantly from the value that would have been used had a ready market value for the investment existed, and the difference could be material. Life settlement contracts are included in Level 3 of the fair value hierarchy.

 

In accordance with GAAP, the objective of a fair value measurement is to determine 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 (an exit price). The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

 

 

 

 

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3, the fair value measurement of which considers several inputs, may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

 

For the year ended September 30, 2015, there have been no changes to the Funds’ fair valuation methodologies. For more details of the investment classification, refer to the Schedules of Investments/Consolidated Schedule of Investments.

 

Security Transactions and Related Income – Security transactions are accounted for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of securities are those of the specific securities sold. Interest income is recognized on an accrual basis and dividend income is recognized on the ex-dividend date. Purchase discounts and premiums on securities held by the Funds are accreted and amortized to maturity using the scientific method, which approximates the effective interest method over the holding period of a security, except for the Money Market Funds, which use a straight line basis which is not materially different from the scientific method.

 

Repurchase Agreements – Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank, U.S. Bank, N.A., until maturity of the repurchase agreements. Provisions of the agreements and procedures adopted by the investment adviser require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until maturity of the repurchase agreement. Provisions of the agreements require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default. If the counterparty defaults and

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 146

 

the value of the collateral declines or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.

 

TBA Transactions – The Funds may engage in “to be announced” (“TBA”) security transactions. Such transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. The Funds record TBA securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payments for the securities purchased.

 

Expense Allocation – Common expenses incurred by the Funds are allocated among the Funds (i) based upon relative average daily net assets, (ii) as incurred on a specific identification basis, (iii) equally among the Funds, or (iv) a combination of the above, depending on the nature of the expenditure.

 

Classes – Class-specific expenses are borne by that class. Income, non class-specific expenses, and realized and unrealized gains/losses are allocated to the respective class on the basis of relative net asset value each day.

 

Dividends and Distributions to Shareholders – Dividends from net investment income are declared daily and paid to shareholders monthly for the Money Market Funds and Fixed Income Funds except for the Intermediate Fixed Income Fund, Fixed Income Opportunities Fund and Dividend & Income Fund. Dividends from net investment income are declared and paid quarterly for the Intermediate Fixed Income Fund, Fixed Income Opportunities Fund, Dividend & Income Fund, Multi-Asset Fund and Equity Funds except for the Emerging Markets Fund. Dividends from net investment income are declared and paid annually for the Emerging Markets Fund. Distributions from net realized capital gains are distributed to shareholders at least annually.

 

Foreign Currency – Values of investments denominated in foreign currencies are converted into U.S. dollars using the spot market rate of exchange at the time of valuation. Purchases and sales of investments and dividend and interest income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such translations. The gain or loss upon the sale of a security resulting from changes in foreign exchange rates is included with net realized and unrealized gain or loss from investments, as appropriate. Foreign securities and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin.

 

Forward Foreign Currency Contracts – A forward foreign currency contract is an agreement between two parties to buy or sell a currency at a set price on a future date. Forward contracts are marked to market daily and the change in market value is recorded as an unrealized gain (loss) on forward foreign currency contracts in the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities. When a contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, which is included within realized gain (loss) on foreign currency transactions in the Statements of Operations/Consolidated Statement of Operations. A Fund could be at risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably.

 

To reduce counterparty risk with respect to over-the-counter (“OTC”) transactions, the High Yield Bond Fund and the Fixed Income Opportunities Fund have entered into master netting arrangements, established within the High Yield Bond Fund’s and the Fixed Income Opportunities Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allows the High Yield Bond Fund and the Fixed Income Opportunities Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in forward foreign currency contracts for each individual counterparty. In addition, the High Yield Bond Fund and the Fixed Income Opportunities Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the High Yield Bond Fund and the Fixed Income Opportunities Fund.

 

For financial reporting purposes, the High Yield Bond Fund and the Fixed Income Opportunities Fund do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

 

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount of each transaction under such

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 147

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

agreement and comparing that amount to the value of any collateral currently pledged by the High Yield Bond Fund and the Fixed Income Opportunities Fund or the counterparty.

 

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the High Yield Bond Fund and the Fixed Income Opportunities Fund, if any, is reported separately on the Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the High Yield Bond Fund and the Fixed Income Opportunities Fund, if any, is noted in the Schedule of Investments/Consolidated Schedule of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the High Yield Bond Fund and the Fixed Income Opportunities Fund from its counterparties are not fully collateralized, contractually or otherwise, the High Yield Bond Fund and the Fixed Income Opportunities Fund bear the risk of loss from counterparty nonperformance.

 

The following tables present, by derivative type, the High Yield Bond Fund’s and the Fixed Income Opportunities Fund’s OTC derivative assets and liabilities net of the related collateral posted for the benefit of the High Yield Bond Fund and the Fixed Income Opportunities Fund at September 30, 2015 (000):

 

Derivative Type		Derivative Assets Subject to a Netting Agreement or Similar Arrangement				Derivative Available for Offset				Collateral Received				Net Amount
High Yield Bond Fund
Forward Foreign Currency Contracts		$	9			$	(3	)		$	—			$	6
Fixed Income Opportunities Fund
Forward Foreign Currency Contracts			462				—				—				462

 

Derivative Type		Derivative Liabilities Subject to a Netting Agreement or Similar Arrangement				Derivative Available for Offset				Collateral Pledged				Net Amount
High Yield Bond Fund
Forward Foreign Currency Contracts		$	3			$	(3	)		$	—			$	—
Fixed Income Opportunities Fund
Forward Foreign Currency Contracts			3				(3	)			—				—

 

Futures Contracts — To the extent consistent with their Investment Objective and Strategies, certain Funds may use futures contracts for tactical hedging purposes as well as to enhance the Funds’ returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

 

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

 

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 2015, if applicable.

 

Restricted Securities – Restricted securities include securities that have not been registered under the Securities Act of 1933, as amended, and securities that are subject to restrictions on resale.

 

A Fund may invest in restricted securities that are consistent with the Fund’s investment objective and investment strategies. A Fund will not invest in a restricted security if, immediately after and as a result of the investment in such security, more than 15% (5% in the case of the Money Market Funds) of the Fund’s net assets would be invested in illiquid securities. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense either upon demand by the Fund or in connection with another registered offering of the securities. Investments in restricted securities are valued at fair value as determined in good faith in accordance with procedures adopted by the Board of Trustees. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized in the near term, and the difference could be material.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 148

 

Master Limited Partnerships – Entities commonly referred to as “MLPs” are generally organized under state law as limited partnerships or limited liability companies. The City National Rochdale Dividend & Income Fund may, as a non-principal investment strategy, invest in MLPs receiving partnership taxation treatment under the Internal Revenue Code of 1986, interests or “units” of which are traded on securities exchanges like shares of corporate stock. To qualify as an MLP for U.S. federal income tax purposes, an entity must receive at least 90% of its income from qualifying sources such as interest, dividends, real estate rents, gain from the sale or disposition of real property, income and gain from certain mineral or natural resources activities, income and gain from the transportation or storage of certain fuels, and, in certain circumstances, income and gain from commodities or futures, forwards and options with respect to commodities, and gain from the sale or other disposition of a capital asset held for the production of such income. Mineral or natural resources activities include exploration, development, production, mining, processing, refining, marketing and transportation (including pipelines), of oil and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members). The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership. The limited partners or members, through their ownership of limited partner or member interests, provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The MLPs themselves generally do not pay U.S. federal income taxes. Thus, unlike investors in corporate securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy, natural resources or real estate sectors.

 

Investments in Irish Subsidiary – The Fixed Income Opportunities Fund may invest up to 15% of its net assets in life insurance policies and interests related thereto purchased through life settlement transactions. The Fund may invest in life insurance policies and related interests directly or through a wholly-owned subsidiary of the Fund under the laws of Ireland (the “Subsidiary”).

 

The principal purpose of investment in the Subsidiary is to allow the Fixed Income Opportunities Fund to gain exposure to life insurance policies within the limitations of the federal tax law requirements applicable to regulated investment companies. The Subsidiary is a company organized under the laws of Ireland and is overseen by its own board of directors. Although the Subsidiary has its own board of directors, the Subsidiary is wholly-owned and controlled by the Fund. The Subsidiary is not an investment company registered under the 1940 Act and is not subject to all of the investor protections of the 1940 Act.

 

Information regarding the Fixed Income Opportunities Fund and the Subsidiary has been consolidated in the Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets and Consolidated Statement of Cash Flows.

 

The Subsidiary commenced operations on October 3, 2013. The net assets of the Subsidiary at September 30, 2015, were $179,776,620, which represented 10.9% of the net assets of the Fixed Income Opportunities Fund.

 

Investments in Mauritius Subsidiary – To the extent that the Emerging Markets Fund seeks to invest in the securities of Indian companies, it currently intends to do so by investing in shares of a wholly-owned collective investment vehicle (the “Mauritius Subsidiary”) registered with and regulated by the Mauritius Financial Services Commission that is also managed by City National Rochdale. The Mauritius Subsidiary was formed to allow the Fund’s investments in Indian companies to benefit from a favorable tax treaty between Mauritius and India. In order to do so, the Mauritius Subsidiary will seek to maintain residency in Mauritius.

 

Investment in Affiliated Security – The Funds may invest excess cash in the Money Market Funds. The Multi-Asset Fund also invests in other series of the Trust.

 

Deferred Offering Costs – Offering costs, including costs of printing initial prospectuses and legal and registration fees, are amortized over twelve months from inception of a Fund. As of September 30, 2015, deferred offering costs for the Municipal High Income Fund have been fully amortized.

 

 

Pursuant to an Amended and Restated Administration Agreement dated January 1, 2013, as amended (the “Agreement”), SEI Investments Global Funds Services (the “Administrator”), a wholly owned subsidiary of SEI Investments Company, acts as the Trust’s administrator. Under the terms of

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 149

 

 

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

the Agreement, the Administrator is entitled to receive an annual fee based on the average daily net assets of the Trust and subject to a minimum annual fee.

 

The Trust has adopted a Rule 12b-1 Distribution Plan (“the Plan”) with respect to Class N and Class S Shares that allows each Fund to pay distribution and servicing fees. Pursuant to the Plan, SEI Investments Distribution Co. (the “Distributor”) may receive a distribution fee, computed daily and paid monthly, at the annual rate of 0.50% of the average daily net assets of the Class S Shares and 0.30% of the average daily net assets of the Class N Shares of the Money Market Funds and 0.25% of the Class N Shares of the Fixed Income Funds, Multi-Asset Fund and Equity Funds, which may be used by the Distributor to provide compensation for sales support and distribution-related activities.

 

US Bancorp Fund Services, LLC (the “Transfer Agent”) serves as transfer agent for the Trust and provides services at an annual rate of $20,000 per share class for all Funds plus other transaction based fees and out-of-pocket expenses.

 

The Trust has entered into Shareholder Servicing Agreements that permit payment of compensation to City National Bank (“CNB”) and its affiliates (including City National Rochdale), which provide certain shareholder support for their customers who own Class N, Class S or Servicing Class Shares, as applicable. In consideration for such services, a shareholder servicing fee is charged at the annual rate of up to 0.25% of average daily net assets of the relevant class of each Fund. CNB and City National Rochdale have agreed to voluntarily waive portions of their shareholder servicing fees with respect to certain Funds. For the year ended September 30, 2015, CNB and City National Rochdale received $9,782,869 in shareholder servicing fees from the Trust.

 

Certain officers of the Trust are also officers or employees of City National Rochdale, City National Bank or the Administrator. Such officers are paid no fees by the Trust for serving as officers of the Trust.

 

 

Under the terms of the current investment management agreements, City National Rochdale receives an annual fee equal to a percentage of the average daily net assets of each Fund, as follows:

 

Fund	Fee
Government Money Market Fund	0.26%
Prime Money Market Fund	0.25
California Tax Exempt Money Market Fund	0.27
Government Bond Fund	0.43
Corporate Bond Fund	0.40
California Tax Exempt Bond Fund	0.27
Municipal High Income Fund	0.45
High Yield Bond Fund	0.60
Intermediate Fixed Income Fund	0.40
Fixed Income Opportunities Fund	0.50
Multi-Asset Fund	0.50
Dividend & Income Fund	0.50
U.S. Core Equity Fund	0.40
Socially Responsible Equity Fund	0.75
Emerging Markets Fund	1.00

 

Guggenheim Partners Investment Management, LLC (“Guggenheim”) acts as the investment sub-adviser with respect to the High Yield Bond Fund.

 

Alcentra LTD, All Financial Partners II LLC, Ashmore Investment Management Limited, Federated Investment Management Corp., GML Capital LLP and Seix Investment Advisors LLC act as the investment sub-advisers with respect to the Fixed Income Opportunities Fund.

 

SKBA Capital Management, LLC acts as the investment sub-adviser with respect to the Socially Responsible Equity Fund.

 

Waddell & Reed Investment Management Company acts as the investment sub-adviser with respect to the Municipal High Income Fund.

 

Sub-adviser fees are paid by City National Rochdale.

 

City National Rochdale has voluntarily agreed to limit its fees or reimburse expenses to the extent necessary to keep operating expenses at or below certain percentages of certain of the Funds’ respective average daily net assets. With respect to the Socially Responsible Equity Fund, voluntary limits are in addition to the contractual expense limitations described in the fee table in each Fund’s prospectus. The voluntary expense limitations (expressed as percentages of average daily net assets) are as follows:

 

	Government Money Market Fund	Prime Money Market Fund	California Tax Exempt Money Market Fund
Institutional Class	n/a	0.38%	n/a
Class N	0.93%	0.93%	0.85%
Class S	1.13%	1.13%	1.05%
Servicing Class	0.63%	0.63%	0.55%

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 150

 

	Government Bond Fund	Corporate Bond Fund	California Tax Exempt Bond Fund	Municipal High Income Fund
Institutional Class	0.53%	n/a	n/a	n/a
Class N	1.03%	1.01%	0.88%	1.15%
Servicing Class	0.78%	0.76%	0.63%	0.90%

 

	High Yield Bond Fund	Intermediate Fixed Income Fund	Fixed Income Opportunities Fund	Multi-Asset Fund
Institutional Class	0.70%	0.51%	n/a	n/a
Class N	1.20%	1.01%	1.09%	1.49%
Servicing Class	0.95%	n/a	n/a	1.24%

 

	Dividend & Income Fund	U.S. Core Equity Fund	Socially Responsible Equity Fund	Emerging Markets Fund
Institutional Class	n/a	0.55%	0.89%	n/a
Class N	1.11%	1.05%	1.14%	1.61%
Servicing Class	n/a	0.80%	n/a	n/a

 

The contractual limitations for the Socially Responsible Equity Fund are as follows:

 

	Socially Responsible Equity Fund
Institutional Class	1.25%
Class N	1.50%

 

Any fee reductions or expense reimbursements may be repaid by a Fund to City National Rochdale, within three years after occurrence if such repayments can be achieved within the Fund’s expense limit in effect at the time such expenses were incurred and if certain other conditions are satisfied.

 

As of September 30, 2015, fees which were previously waived by City National Rochdale which may be subject to possible future reimbursement were as follows:

 

Fund		Potential Amount of Recovery (000)				Expiration
Government Money Market Fund		$	7,131				2016
			9,264				2017
			8,586				2018
Prime Money Market Fund			1,741				2016
			2,095				2017
			1,422				2018
California Tax Exempt Money Market Fund			2,275				2016
			2,592				2017
			2,470				2018
Government Bond Fund			5				2016
			67				2017
			74				2018
Corporate Bond Fund			83				2017
			89				2018
California Tax Exempt Bond Fund			3				2016
			99				2017
			109				2018
High Yield Bond Fund			6				2016
			101				2017
			128				2018
Intermediate Fixed Income Fund			16				2016
			59				2017
			43				2018
Fixed Income Opportunities Fund			42				2016
			263				2017
			248				2018
Multi-Asset Fund			11				2017
			44				2018
Dividend & Income Fund			23				2016
			90				2017
			44				2018
Emerging Markets Fund			115				2016
			145				2017
			291				2018

 

City National Rochdale, CNB, the Administrator, the transfer agent and the Funds’ legal counsel have voluntarily agreed to further waive and reduce their fees and/or reimburse certain expenses of the Money Market Funds in order to maintain a one-day net income yield (yield floor) of each Fund of not less than 0.01% of the Fund’s average daily net assets. The following table shows waivers, with respect to such yield floor, by class for the year ended September 30, 2015:

 

		Shareholder Servicing Fee Waiver				Investment Advisory Fee Waiver				Administration Fee Waiver				Transfer Agent Fee Waiver				Legal Fee Waiver
Government Money Market Fund
Class N		$	14,741	(1)		$	6,507			$	129			$	—			$	—
Class S			4,846	(1)			1,521				30				—				—
Servicing Class			647				558				11				—				—
Prime Money Market Fund
Institutional Class		$	—			$	89			$	4			$	—			$	—
Class N			1,606	(1)			449				19				—				—
Class S			1,743	(1)			337				15				—				—
Servicing Class			1,014				547				24				—				—
California Tax Exempt Money Market Fund
Class N		$	2,965	(1)		$	1,414	(1)		$	75			$	6			$	17
Class S			537	(1)			180	(1)			9				1				2
Servicing Class			545				498	(1)			25				3				6

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 151

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

 

 

The cost of security purchases and proceeds from the sale and maturities of securities, other than temporary investments in short-term securities for the year ended September 30, 2015, were as follows for the Fixed Income Funds, Multi-Asset Fund and Equity Funds:

 

		Purchases								Sales and Maturities
Fund		U.S. Gov’t (000)				Other (000)				U.S. Gov’t (000)				Other (000)
Government Bond Fund		$	45,453			$	8,603			$	8,603			$	3,076
Corporate Bond Fund			—				43,487				40				50,239
California Tax Exempt Bond Fund			—				26,931				—				8,236
Municipal High Income Fund			—				281,984				—				9,080
High Yield Bond Fund			—				65,999				—				71,207
Intermediate Fixed Income Fund			6,892				96,173				4,251				42,100
Fixed Income Opportunities Fund			3,191				808,475				3,201				616,538
Multi-Asset Fund			—				14,735	*			—				20,884	*
Dividend & Income Fund			—				43,962				—				24,175
U.S. Core Equity			—				71,454				—				67,227
Socially Responsible Equity Fund			—				167,392				—				71,822
Emerging Markets Fund			—				378,503				—				214,811

 

 

The Funds may purchase or sell investment securities in transactions with affiliated entities under procedures adopted by the Board, pursuant to the 1940 Act. These transactions are effected at market rates without incurring broker commissions.

 

The following is a summary of the transactions with affiliates for the Multi-Asset Fund for the year ended September 30, 2015:

 

		Limited Maturity Fixed Income Fund, Institutional Class				Government Bond Fund, Institutional Class				Corporate Bond Fund, Servicing Class
Beginning balance as of October 1, 2014		$	1,213			$	1,145			$	1,588
Purchases at Cost			64				55				82
Proceeds from Sales			(1,274	)			(1,205	)			(340	)
Realized Gain (Loss)			(8	)			(18	)			(6	)
Unrealized Gain (Loss)			5				23				(24	)
Ending balance as of September 30, 2015		$	—			$	—			$	1,300

 

		High Yield Bond Fund, Institutional Class				Emerging Markets Fund, Institutional Class
Beginning balance as of October 1, 2014		$	745			$	736
Purchases at Cost			36				516
Proceeds from Sales			(186	)			(1,143	)
Realized Gain (Loss)			15				(136	)
Unrealized Gain (Loss)			(79	)			27
Ending balance as of September 30, 2015		$	531			$	—

 

The Funds may also invest in the affiliated Money Market Funds to manage excess cash or to serve as margin or collateral for derivative positions.

 

The following is a summary of the transactions with affiliates for the year ended September 30, 2015:

 

		Purchases at Cost (000)				Proceeds from Sales (000)				Value 9/30/2015 (000)				Dividend Income (000)
Government Money Market Fund
Government Bond Fund		$	22,055			$	(24,227	)		$	199			$	—
Municipal High Income Fund			112,509				(110,098	)			33,108				4
Intermediate Fixed Income Fund			43,862				(46,007	)			2,031				—
Fixed Income Opportunities Fund			9,098				(9,039	)			59				—
Dividend & Income Fund			21,331				(21,470	)			455				—
Emerging Markets Fund			110,918				(110,520	)			20,187				2
Prime Money Market Fund
Corporate Bond Fund			24,376				(24,455	)			2,143				—
High Yield Bond Fund			33,600				(34,216	)			240				—
Multi-Asset Fund			5,321				(4,209	)			1,357				1
U.S. Core Equity Fund			28,462				(29,371	)			1,555				—
California Tax Exempt Money Market Fund
California Tax Exempt Bond Fund			34,471				(35,614	)			1,736				—

 

 

Each Fund intends to qualify or continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income and net capital gains. Accordingly, no provisions for Federal income taxes are required.

 

Management has analyzed the Funds’ tax position taken on Federal income tax returns for all open tax years and has concluded that as of September 30, 2015, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 152

 

returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

 

The Funds may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. The Funds accrue such taxes when the related income is earned.

 

The timing and characterization of certain income and capital gains distributions are determined annually in accordance with Federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent. To the extent these differences are permanent in nature, they are charged or credited to undistributed net investment income (loss), accumulated net realized gain (loss), or paid-in capital, as appropriate, in the period that the differences arise.

 

Accordingly, the following permanent differences, primarily attributable to foreign currency transactions, a permanent ROC for investment in tax exempt investments in a taxable fund, REIT adjustments, investments in partnerships, realized gains (losses) on paydowns, net operating losses, return of capital distributions, distributions in excess of net investment income, investments in Passive Foreign Investment Companies and timing of distributions, were reclassified to/from the following accounts as of September 30, 2015:

 

		Increase (Decrease) Undistributed Net Investments Income (Loss) (000)				Increase (Decrease) Accumulated Net Realized Gain (Loss) (000)				Increase (Decrease) Paid- in Capital (000)
Government Money Market		$	1			$	(1	)		$	—
Government Bond Fund			17				(17	)			—
California Tax Exempt Bond Fund			3				(3	)			—
High Yield Bond Fund			59				(59	)			—
Intermediate Fixed Income Fund			103				(103	)			—
Fixed Income Opportunities Fund			6,322				(6,322	)			—
Dividend & Income Fund			804				(555	)			(249	)
U.S. Core Equity Fund			14				(14	)			—
Socially Responsible Equity Fund			12				(12	)			—
Emerging Markets Fund			(1,325	)			1,325				—

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

The tax character of dividends and distributions declared during the years ended September 30, 2015 and September 30, 2014 unless otherwise indicated were as follows:

 

Fund		Tax Exempt Income (000)				Ordinary Income (000)				Long-Term Capital Gain (000)				Return of Capital (000)				Total (000)
Government Money Market Fund
2015		$	—			$	397			$	—			$	—			$	397
2014			—				378				—				—				378
Prime Money Market Fund
2015			—				105				—				—				105
2014			—				120				—				—				120
California Tax Exempt Money Market Fund
2015			90				2				—				—				92
2014			96				—				—				—				96
Government Bond Fund
2015			—				708				—				—				708
2014			—				750				—				—				750
Corporate Bond Fund
2015			—				2,423				1,082				—				3,505
2014			—				2,225				934				—				3,159
California Tax Exempt Bond Fund
2015			1,216				121				286				—				1,623
2014			1,008				—				127				—				1,135
Municipal High Income Fund
2015			22,487				83				—				—				22,570
2014^^			7,464				5				—				—				7,469
High Yield Bond Fund
2015			—				6,630				4,068				—				10,698
2014			—				7,732				355				—				8,087
Intermediate Fixed Income Fund
2015			—				4,532				—				—				4,532
2014			—				4,584				—				—				4,584
Fixed Income Opportunities Fund
2015			—				97,143				2,715				—				99,858
2014			—				54,067				5,256				—				59,323
Multi-Asset Fund
2015			—				252				—				—				252
2014			—				234				—				—				234
Dividend & Income Fund
2015			—				4,363				1,454				—				5,817
2014			—				5,449				—				—				5,449
U.S. Core Equity Fund
2015			—				2,073				18,578				—				20,651
2014			—				3,085				—				—				3,085
Socially Responsible Equity Fund
2015			—				3,086				6,324				—				9,410
2014			—				1,409				12,637				—				14,046
Emerging Markets Fund
2015			—				2,025				—				—				2,025
2014			—				1,072				—				—				1,072

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 153

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

As of September 30, 2015, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:

 

Fund		Undistributed Tax-Exempt Income (000)				Undistributed Ordinary Income (000)				Undistributed Long-Term Capital Gain (000)				Capital Loss Carryforwards (000)				Post-October Losses (000)				Unrealized Appreciation (Depreciation) (000)				Other Temporary Differences (000)				Total Distributable Earnings (Accumulated Losses) (000)
Government Money Market Fund		$	—			$	34			$	—			$	—			$	—			$	—			$	(33	)		$	1
Prime Money Market Fund			—				9				—				(12	)			—				—				(8	)			(11	)
California Tax Exempt Money Market Fund			5				34				—				—				—				—				(7	)			32
Government Bond Fund			—				78				—				(81	)			—				1,448				(74	)			1,371
Corporate Bond Fund			—				180				115				—				—				(43	)			(179	)			73
California Tax Exempt Bond Fund			113				—				33				—				—				1,964				(110	)			2,000
Municipal High Income Fund			2,337				88				16				—				—				8,457				(2,333	)			8,565
High Yield Bond Fund			—				503				—				(13	)			(263	)			(9,058	)			(450	)			(9,281	)
Intermediate Fixed Income Fund			—				76				—				(2,481	)			—				1,552				(9	)			(862	)
Fixed Income Opportunities Fund			—				15,637				—				(789	)			(24,124	)			(96,769	)			(538	)			(106,583	)
Multi-Asset Fund			—				11				—				(74	)			(631	)			(178	)			(1	)			(873	)
Dividend & Income Fund			—				—				—				—				—				32,958				(6	)			32,952
U.S. Core Equity Fund			—				88				855				—				—				29,855				—				30,798
Socially Responsible Equity Fund			—				76				1,788				—				—				(14,653	)			—				(12,789	)
Emerging Markets Fund			—				227				—				(2,121	)			(5,735	)			7,582				—				(47	)

 

For tax purposes, the losses in the Funds generated prior to the Regulated Investment Company Modernization Act of 2010 can be carried forward for a maximum of eight years to offset any future net realized capital gains. As of September 30, 2015, the breakdown of capital loss carryforwards was as follows:

 

		Expiring September 30,
Fund			2015 (000)				2017 (000)				2018 (000)				2019 (000)			Total (000)
Multi-Asset Fund		$	—			$	(74	)		$	—			$	—			$	(74	)

 

		Expiring December 31,
Fund			2016  (000)				2017 (000)				2018 (000)			Total (000)
Intermediate Fixed Income Fund		$	—			$	(192	)		$	(2,240	)		$	(2,432	)

 

Post-October losses represent losses realized on investments and foreign currency transactions from November 1, 2014, through September 30, 2015, that, in accordance with Federal income tax regulations, the Funds have elected to defer and treat as having arisen in the following fiscal year.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 154

 

Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:

 

Fund		Short-Term Loss (000)				Long-Term Loss (000)				Total (000)*
Prime Money Market Fund		$	(12	)		$	—			$	(12	)
Government Bond Fund			(81	)			—				(81	)
Intermediate Fixed Income Fund			(49	)			—				(49	)
Fixed Income Opportunities Fund			(765	)			(24	)			(789	)
Emerging Markets Fund			(1,305	)			(816	)			(2,121	)
High Yield Bond Fund			—				(13	)			(13	)

 

 

During the year ended September 30, 2015, the following Funds utilized capital loss carryforwards to offset capital gains amounting to:

 

Fund		Amount (000)
California Tax Exempt Money Market Fund		$	2
Government Bond Fund			107
Intermediate Fixed Income Fund			343
Multi-Asset Fund			386
Dividend & Income Fund			4,416

 

The aggregate gross unrealized appreciation on securities, the aggregate gross unrealized depreciation on securities and the net unrealized appreciation/ (depreciation) for tax purposes as of September 30, 2015, for each of the Fixed Income Funds, Multi-Asset Fund and Equity Funds were as follows:

 

Fund		Federal Tax Cost (000)				Aggregate Gross Unrealized Appreciation (000)				Aggregate Gross Unrealized Depreciation (000)				Net Unrealized Appreciation (Depreciation) (000)
Government Bond Fund		$	149,689			$	1,460			$	(12	)		$	1,448
Corporate Bond Fund			137,873				1,552				(1,595	)			(43	)
California Tax Exempt Bond Fund			94,814				2,052				(88	)			1,964
Municipal High Income Fund			683,883				20,885				(12,428	)			8,457
High Yield Bond Fund			94,775				462				(9,526	)			(9,064	)
Intermediate Fixed Income Fund			266,807				4,185				(2,633	)			1,552
Fixed Income Opportunities Fund			1,679,021				75,386				(144,166	)			(68,780	)
Multi-Asset Fund			19,985				453				(631	)			(178	)
Dividend & Income Fund			153,542				36,473				(3,515	)			32,958
U.S. Core Equity Fund			181,052				32,709				(2,854	)			29,855
Socially Responsible Equity Fund			277,482				12,831				(27,484	)			(14,653	)
Emerging Markets Fund			650,424				78,833				(70,654	)			8,179

 

At September 30, 2015, the Money Market Funds’ cost of securities for Federal income tax purposes approximates the cost disclosed in the Schedule of Investments.

 

 

In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

 

The Multi-Asset Fund may invest in exchange-traded notes (“ETNs”) as a non-principal investment strategy. ETNs are unsecured debt obligations of investment banks which are traded on exchanges and the returns of which are linked to the performance of market indexes. In addition to trading ETNs on exchanges, investors may redeem ETNs directly with the issuer on a weekly basis, typically in a minimum amount of 50,000 units, or hold the ETNs until maturity. ETNs are riskier than ordinary unsecured debt securities and have no principal protection. The Fund will generally invest in ETNs which are linked to commodities indexes. The Fund’s investment in an ETN may be influenced by many unpredictable factors, including highly volatile commodities prices, changes in supply and demand relationships, weather, agriculture, trade, changes in interest rates, and monetary and other governmental policies, action and inaction. Investing in ETNs is not equivalent to investing directly in index components or the relevant index

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 155

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

itself. Because ETNs are debt securities, they possess credit risk; if the issuer has financial difficulties or goes bankrupt, the investor may not receive the return it was promised.

 

The Municipal High Income Fund, High Yield Bond Fund, Intermediate Fixed Income Fund, Fixed Income Opportunities Fund and Multi-Asset Fund may invest in lower-rated corporate bonds, known as high yield bonds. High yield bonds involve greater risks of default, downgrade, or price declines and are more volatile than investment grade securities. Issuers of high yield bonds may be more susceptible than other issuers to economic downturns and are subject to a greater risk that the issuer may not be able to pay interest or dividends and ultimately to repay principal upon maturity. Discontinuation of these payments could have a substantial adverse effect on the market value of the security.

 

The Intermediate Fixed Income Fund and Fixed Income Opportunities Fund may invest in asset-backed and mortgage-backed securities. As a general rule, prepayments of the principal of the loans underlying mortgage-backed or other pass-through securities increase during a period of falling interest rates and decrease during a period of rising interest rates. In periods of declining interest rates, as a result of prepayments a Fund may be required to reinvest its assets in securities with lower interest rates. In periods of increasing interest rates, the securities subject to prepayment risk held by a Fund may exhibit price characteristics of longer-term debt securities.

 

The Intermediate Fixed Income Fund and Fixed Income Opportunities Fund may invest in bank loans. Bank loans are not traded on an exchange and purchasers and sellers of bank loans generally rely on market makers, typically the administrative agent under a bank loan, to effect private sales transactions. As a result, bank loans may have relatively less liquidity than other types of fixed income assets, and a Fund may be more likely to incur losses on the sale of bank loans than on other, more liquid, investments.

 

The Fixed Income Opportunities Fund may invest in beneficial interests in individual life insurance policies (“Policies”). A Policy owner transfers his or her Policy at a discount to its face value (the amount that is payable upon the death of the insured) in return for an immediate cash settlement. The ultimate purchaser of the Policy (in this case, the Fund) is responsible for premiums payable on the Policy and is entitled to receive the full face value from the insurance company upon the death of the insured. If the Fund is unable to make premium payments on a Policy, the Policy will lapse and the Fund will lose its ownership interest in the Policy. There is currently no established secondary market for Policies, and the Policies are not considered liquid investments by the Fund. If the Fund must sell Policies to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss. The longer the insured lives, the lower the Fund’s rate of return on the Policy. The underwriter’s estimate of the insured’s life expectancy may be incorrect. An insurance company may be unable or refuse to pay benefits on a Policy. In addition, market quotations will not be readily available for the Policies and the Policies will be priced using a fair value methodology adopted by the Trust’s Board. The sales price the Fund could receive for a Policy may differ from the Trust’s valuation of the Policy. A Policy is a liability of the issuing life insurance company, and if the life insurance company goes out of business, sufficient funds may not be available to pay that liability.

 

California Tax Exempt Funds – Specific Risks

 

The ability of issuers to pay interest on, and repay principal of, California municipal securities may be affected by economic and political developments in the State of California.

 

Certain securities are backed by letters of credit from various financial institutions and financial guaranty assurance agencies. These letters of credit enhance the credit quality of the individual securities; however, if any of the financial institutions’ or financial guaranty assurance agencies’ credit quality should deteriorate, it could cause the individual security’s credit quality to change. Additionally, if any of the Funds concentrate their letters of credit in any one financial institution, the risk of credit quality deterioration increases.

 

The Funds invest in Certificates of Participation in a municipal obligation, which are subject to annual appropriation risk.

 

Emerging Markets Fund – Specific Risks

 

Foreign investments tend to be more volatile than domestic securities, and are subject to risks that are not typically associated with domestic securities (e.g., changes in currency rates and exchange control regulations, future political and economic developments and the possibility of seizure or nationalization of companies, or the imposition of withholding taxes on income). There may be less government supervision of foreign markets. As a result, foreign issuers may not be subject to the uniform accounting, auditing, and financial reporting standards and practices applicable to domestic issuers, and there may be less publicly available information about foreign issuers.

 

As long as the Emerging Markets Fund holds a foreign security, its value will be affected by the value of the local currency relative to the U.S. dollar. The value of a foreign currency may decline in relation to the U.S. dollar while the Fund holds securities

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 156

 

denominated in such currency. Currency exchange rates can be volatile and can be affected by, among other factors, the general economics of a country or the actions of the U.S. or foreign governments or central banks. U.S. dollar-denominated securities of foreign issuers may also be affected by currency risk, as the value of these securities may also be affected by changes in the issuer’s local currency.

 

Risks associated with foreign investments may be intensified in the case of investments in emerging market countries, the political, legal and economic systems of which are less developed and less stable than those of more developed nations. Emerging markets may have relatively unstable governments, immature economic structures, national policies restricting investments by foreigners, social instability, and different and/or developing legal systems. In some countries, there is the risk that the government may take over the assets or operations of a company or that the government may impose withholding and other taxes or limits on the removal of the Emerging Market Fund’s assets from that country. In addition, the economies of emerging markets may be predominantly based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Such investments are often less liquid and/or more volatile than securities issued by companies located in developed nations. Emerging market securities are also subject to the risk that the securities may not be sold at the quoted market price within a reasonable period of time

 

 

Capital share activity for the year ended September 30, 2015, and the year or period ended September 30, 2014, were as follows (000):

 

		Government Money Market Fund								Prime Money Market Fund								California Tax Exempt Money Market Fund
		2015				2014				2015				2014				2015				2014
CAPITAL SHARES ISSUED AND REDEEMED:
Institutional Class:
Shares issued			—				—				103,267				177,330				—				—
Shares issued in Lieu of Dividends and Distributions			—				—				5				—				—				—
Shares redeemed			—				—				(89,241	)			(134,563	)			—				—
Net Institutional Class transactions			—				—				14,031				42,767				—				—
Class N:
Shares issued			3,753,980				4,544,028				701,569				712,240				686,601				988,104
Shares issued in Lieu of Dividends and Distributions			252				249				23				24				61				67
Shares redeemed			(3,969,801	)			(4,410,324	)			(743,764	)			(803,775	)			(715,932	)			(1,037,816	)
Net Class N transactions			(215,569	)			133,953				(42,172	)			(91,511	)			(29,270	)			(49,645	)
Class S:
Shares issued			1,307,608				1,522,771				1,030,736				869,219				453,783				372,122
Shares issued in Lieu of Dividends and Distributions			—				—				—				—				—				—
Shares redeemed			(1,345,358	)			(1,291,990	)			(970,164	)			(878,235	)			(474,800	)			(370,022	)
Net Class S transactions			(37,750	)			230,781				60,572				(9,016	)			(21,017	)			2,100
Servicing Class:
Shares issued			1,454,606				1,008,445				1,141,621				1,057,487				816,680				698,593
Shares issued in Lieu of Dividends and Distributions			—				—				11				9				—				—
Shares redeemed			(1,357,973	)			(924,910	)			(1,199,419	)			(1,207,309	)			(792,228	)			(662,963	)
Net Servicing Class transactions			96,633				83,535				(57,787	)			(149,813	)			24,452				35,630

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 157

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

		Government Bond Fund								Corporate Bond Fund								California Tax Exempt Bond Fund
		2015				2014				2015				2014				2015				2014
CAPITAL SHARES ISSUED AND REDEEMED:
Institutional Class:
Shares issued			985				550				—				—				—				—
Shares issued in Lieu of Dividends and Distributions			33				14				—				—				—				—
Shares redeemed			(917	)			(322	)			—				—				—				—
Net Institutional Class transactions			101				242				—				—				—				—
Class N:
Shares issued			29				12				187				128				407				241
Shares issued in Lieu of Dividends and Distributions			—				—				6				4				10				7
Shares redeemed			(43	)			(30	)			(146	)			(88	)			(374	)			(164	)
Net Class N transactions			(14	)			(18	)			47				44				43				84
Servicing Class:
Shares issued			1,849				1,126				2,527				1,617				3,179				1,874
Shares issued in Lieu of Dividends and Distributions			17				7				25				19				11				7
Shares redeemed			(4,123	)			(1,563	)			(3,358	)			(1,846	)			(1,687	)			(718	)
Net Servicing Class transactions			(2,257	)			(430	)			(806	)			(210	)			1,503				1,163

 

		Municipal High Income Fund								High Yield Bond Fund								Intermediate Fixed Income Fund (1)								Fixed Income Opportunities Fund
		2015				2014				2015				2014				2015				2014				2015				2014
CAPITAL SHARES ISSUED AND REDEEMED:
Institutional Class:
Shares issued			—				—				707				831				254				45				—				—
Shares issued from Merger(2)			—				—				—				—				—				1,734				—				—
Shares issued in Lieu of Dividends and Distributions			—				—				501				267				9				25				—				—
Shares redeemed			—				—				(800	)			(1,023	)			(2	)			(1,469	)			—				—
Net Institutional Class transactions			—				—				408				75				261				335				—				—
Class N:
Shares issued			19,914				20,399				668				494				3,610				3,739				25,240				22,889
Shares issued from Merger(2)			—				—				—				—				—				—				—				2,105
Shares issued in Lieu of Dividends and Distributions			685				211				163				138				124				89				2,433				1,185
Shares redeemed			(3,548	)			(1,828	)			(1,040	)			(1,645	)			(1,755	)			(2,058	)			(13,754	)			(9,450	)
Net Class N transactions			17,051				18,782				(209	)			(1,013	)			1,979				1,770				13,919				16,729
Servicing Class:
Shares issued			12,508				21,234				1,101				3,068				—				—				—				—
Shares issued in Lieu of Dividends and Distributions			52				7				92				63				—				—				—				—
Shares redeemed			(3,463	)			(633	)			(2,629	)			(8,462	)			—				—				—				—
Net Servicing Class transactions			9,097				20,608				(1,436	)			(5,331	)			—				—				—				—

 

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 158

 

		Multi-Asset Fund (1)								Dividend & Income Fund								U.S. Core Equity Fund
		2015				2014				2015				2014				2015				2014
CAPITAL SHARES ISSUED AND REDEEMED:
Institutional Class:
Shares issued			—				71				—				—				—				100
Shares issued from Merger(2)			—				—				—				—				—				3,795
Shares issued in Lieu of Dividends and Distributions			—				3				—				—				52				6
Shares redeemed			—				(664	)			—				—				(1	)			(3,425	)
Net Institutional Class transactions			—				(590	)			—				—				51				476
Class N:
Shares issued			153				59				1,823				2,007				1,450				2,093
Shares issued from Merger(2)			—				—				—				—				—				207
Shares issued in Lieu of Dividends and Distributions			12				10				100				102				640				97
Shares redeemed			(334	)			(418	)			(1,369	)			(2,010	)			(1,032	)			(977	)
Net Class N transactions			(169	)			(349	)			554				99				1,058				1,420
Servicing Class:
Shares issued			191				105				—				—				2,617				2,881
Shares issued in Lieu of Dividends and Distributions			5				3				—				—				4				1
Shares redeemed			(324	)			(21	)			—				—				(1,882	)			(1,265	)
Net Servicing Class transactions			(128	)			87				—				—				739				1,617

 

		Socially Responsible Equity Fund								Emerging Markets Fund
		2015				2014				2015				2014
CAPITAL SHARES ISSUED AND REDEEMED:
Institutional Class:
Shares issued			9,898				11,271				—				—
Shares issued in Lieu of Dividends and Distributions			767				768				—				—
Shares redeemed			(2,343	)			(635	)			—				—
Net Institutional Class transactions			8,322				11,404				—				—
Class N:
Shares issued			363				968				8,896				8,011
Shares issued in Lieu of Dividends and Distributions			82				514				25				15
Shares redeemed			(519	)			(1,699	)			(4,558	)			(1,641	)
Net Class N transactions			(74	)			(217	)			4,363				6,385

 

 

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 159

notes to financial statements/ consolidated notes to financial statements

September 30, 2015

 

 

Intermediate Fixed Income Fund:

 

On December 20, 2013, the assets of the City National Rochdale Full Maturity Fixed Income Fund (the “Full Maturity Fixed Income Fund”) were reorganized into the Intermediate Fixed Income Fund. In this reorganization, 4,352,128 shares of the Full Maturity Fixed Income Fund were exchanged for 1,734,179 shares of the Intermediate Fixed Income Fund in a tax-free exchange.

 

The value of the Full Maturity Fixed Income Fund on December 20, 2013 was $44,899,004. Upon the business combination of such Funds on December 20, 2013, the value of the Full Maturity Fixed Income Fund, which included accumulated realized losses of $124,817 and unrealized loss of $238,709, combined with the value of the Intermediate Fixed Income Fund was $209,405,691.

 

Assuming the reorganization had been completed on October 1, 2013, the beginning of the fiscal year end, the Intermediate Fixed Income Fund’s pro-forma net investment income, net gain/(loss) on investments and net increase in net assets from operations, for the year ended September 30, 2014, would have been $4,836,013, $2,902,040 and $7,738,053, respectively. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Full Maturity Fixed Income Fund that have been included in the Intermediate Fixed Income Fund’s Statement of Operations since December 20, 2013. Because the Intermediate Fixed Income Fund and Full Maturity Fixed Income Fund sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

 

U.S. Core Equity Fund:

 

On March 21, 2014, the assets of the City National Rochdale Diversified Equity Fund (the “Diversified Equity Fund”) were reorganized into the U.S. Core Equity Fund. In this reorganization, 3,019,691 shares of the Diversified Equity Fund were exchanged for 207,167 Class N shares and 3,794,815 Institutional Class shares of the U.S. Core Equity Fund in a taxable exchange.

 

The value of the Diversified Equity Fund on March 21, 2014 was $53,568,331. Upon the business combination of such Funds on March 21, 2014, the value of the Diversified Equity Fund, which included accumulated realized losses of $451,745 and distributions in excess of net investment income of $210, combined with the value of the U.S. Core Equity Fund was $223,593,114.

 

Assuming the reorganization had been completed on October 1, 2013, the beginning of the fiscal year end, the U.S. Core Equity Fund’s pro-forma net investment income, net gain/(loss) on investments and net increase in net assets from operations for the year ended September 30, 2014, would have been $1,073,823, $35,415,034 and $36,488,858, respectively. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Diversified Equity Fund that have been included in the U.S. Core Equity Fund’s Statement of Operations since March 21, 2014. Because the U.S. Core Equity Fund and Diversified Equity Fund sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis

 

Fixed Income Opportunities Fund:

 

On May 30, 2014, the assets of City National Rochdale Alternative Total Return Fund LLC were reorganized into the Fixed Income Opportunities Fund. In this reorganization, the total net assets of City National Rochdale Alternative Total Return Fund LLC were exchanged for 2,104,921 shares of the Fixed Income Opportunities Fund in a taxable exchange.

 

The value of City National Rochdale Alternative Total Return Fund LLC on May 30, 2014 was $58,518,275. Upon the business combination of such Funds on May 30, 2014, the value of City National Rochdale Alternative Total Return Fund LLC, which included realized gains of $49,195,270 and distributions in excess of net investment income of $28,972,614, combined with the value of the Fixed Income Opportunities Fund was $1,349,061,955.

 

Assuming the reorganization had been completed on October 1, 2013, the beginning of the fiscal year end, the Fixed Income Opportunities Fund’s pro-forma net investment income, net gain/(loss) on investments and net increase in net assets from operations for the year ended September 30, 2014, would have been $57,319,270, $8,564,090 and $65,883,360, respectively. The only investments acquired as part of the reorganization were life settlement contracts. Since the date of reorganization there were no realized gains with respect to the merged assets and the net change in unrealized loss amounted to $2,969,202. Because the Fixed Income Opportunities Fund and City National Rochdale Alternative Total Return Fund LLC sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

 

10. LINE OF CREDIT

 

The Funds, except for the Money Market Funds, have an unsecured Loan Agreement (“LOC”) with U.S. Bank N.A. Under the terms of the LOC, borrowings for an individual Fund were limited to either the lesser of 10% of the Fund’s net assets or an explicit amount on the LOC. Interest is charged to a Fund based on its borrowings at prime rate minus 0.50%.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 160

 

Borrowing activity under the LOC for the year ended September 30, 2015, was as follows:

 

Fund		Maximum Amount of Line of Credit (000)				Interest Expense (000)				Average Rate				Average Borrowings (000)				Maximum Amount Outstanding (000)
City National Rochdale Fixed Income Opportunities Fund		$	50,000			$	22				2.75	%		$	4,515			$	20,000
Dividend & Income Fund		$	50,000			$	1				2.75	%		$	79			$	945

 

Average borrowing activity was calculated using the number of days for amounts outstanding in the Fixed Income Opportunities Fund and Dividend & Income Fund.

 

 

On July 23, 2014, the Securities and Exchange Commission voted to amend the rules under the Investment Company Act of 1940, as amended, which currently govern the operations of the Money Market Funds (the “MMFs”). The most significant change resulting from these amendments is a requirement that certain types of money market funds transact fund shares based on a market-based NAV. Other types of money market funds may continue to transact fund shares at an NAV calculated using the amortized cost valuation method. Among additional disclosure and other requirements, the amendments also will permit a money market fund, or, in certain circumstances, require a money market fund (other than a government money market fund) to impose liquidity fees on all redemptions, and permit a money market fund to limit (or gate) redemptions for up to ten business days in any 90-day period. The amendments have staggered compliance dates. The majority of these amendments will impact the MMFs beginning on October 14, 2016.

 

 

The Trust has selected BBD, LLP (“BBD”) to serve as the Funds’ independent registered public accounting firm for the Funds’ fiscal year ended September 30, 2015. The decision to select BBD was recommended by the Trust’s Audit Committee on August 27, 2015, and was approved by the Board of Trustees on August 27, 2015. During the Trust’s fiscal year ended September 30, 2015, nor the Trust, nor anyone on its behalf, consulted with BBD on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Trust’s financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph(a)(1)(iv) in Item 304 of Regulation S-K). The selection of BBD does not reflect any disagreements with or dissatisfaction by the Trust or the Board of Trustees with the performance of the Trust’s prior independent registered public accounting firm, KPMG LLP (“KPMG”). KPMG’s report on the Trust’s financial statement for the fiscal years ended September 30, 2013 and September 30, 2014, contained no adverse opinion or disclaimer of opinion, nor was it qualified or modified as to uncertainty, audit scope, or accounting principles. During the Trust’s fiscal years ended 2013 and 2014 (i) there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused them to make reference to the subject matter of the disagreements in connection with its reports on the Trust’s financial statements for such years; and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K.

 

 

On November 2, 2015, Royal Bank of Canada completed its acquisition of City National Corporation. City National Rochdale, LLC, the investment adviser to the City National Rochdale Funds, 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.

 

On November 20, 2015, approximately 86% of the shares of the City National Rochdale Socially Responsible Equity Fund was redeemed.

 

A special meeting of shareholders of the City National Rochdale Socially Responsible Equity Fund is scheduled for December 7, 2015 to seek approval of a proposed reorganization of the Fund into a newly formed series of Forum Funds II. This proposed reorganization will result in a change in the investment adviser to the City National Rochdale Socially Responsible Equity Fund from City National Rochdale, LLC to SKBA Capital Management, LLC, currently the sub-adviser to the Fund, and no change to the Fund’s investment objective or strategies.

 

Effective January 31, 2016, the Adviser intends to discontinue the voluntary fee waivers for the City National Rochdale Municipal High Income Fund, City National Rochdale High Yield Bond Fund, City National Rochdale U.S. Core Equity Fund, City National Rochdale Dividend & Income Fund, and City National Rochdale Emerging Markets Fund.

 

The Trust has evaluated the need for additional disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no adjustments were required to the financial statements as of September 30, 2015 and no issues were noted to disclose.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 161

report of independent registered public accounting firm

 

To the Shareholders and Board of Trustees
of City National Rochdale Funds

 

We have audited the accompanying statements of assets and liabilities of Government Money Market Fund, Prime Money Market Fund, California Tax Exempt Money Market Fund, Government Bond Fund, Corporate Bond Fund, California Tax Exempt Bond Fund, Municipal High Income Fund, High Yield Bond Fund, Intermediate Fixed Income Fund, Fixed Income Opportunities Fund (consolidated), Multi-Asset Fund, Dividend & Income Fund, U.S. Core Equity Fund, Socially Responsible Equity Fund and Emerging Markets Fund (consolidated) (the “Funds”), each a series of shares of beneficial interest in the City National Rochdale Funds, including the schedules of investments, as of September 30, 2015, and the related statements of operations, changes in net assets, and consolidated cash flows (for Fixed Income Opportunities only) and the financial highlights for the year then ended (consolidated for Fixed Income Opportunities and Emerging Markets Fund). These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets and the financial highlights (consolidated for Fixed Income Opportunities and Emerging Markets Fund) for each of the years or periods presented through September 30, 2014 for each of the Funds were audited by other auditors, whose reports dated November 28, 2014 and March 31, 2013 expressed an unqualified opinion on those financial statements and financial highlights.

 

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2015 by correspondence with the custodian and brokers, or by other appropriate auditing procedures. An audit also includes 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 (consolidated where noted) referred to above present fairly, in all material respects, the financial position of each of the Funds comprising the City National Rochdale Funds as of September 30, 2015, and the results of their operations and cash flows, the changes in their net assets and their financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.

 

 

Philadelphia, Pennsylvania
November 30, 2015

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 162

trustees and officers (Unaudited)

September 30, 2015

 

Information pertaining to the Trustees and Officers of the Trust is set forth below as of September 30, 2015. Trustees who are not deemed to be “interested persons” of the Trust as defined in the Investment Company Act of 1940 are referred to as “Independent Trustees.” The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-888-889-0799.

 

Name, Address, and Age	Position with the Trust	Term of Office(1) and Length of Time Served	Principal Occupation for the Past Five Years	Number of Portfolios in Fund Complex(2) Overseen by Trustee	Other Directorships Held by Trustee
INDEPENDENT TRUSTEES
Irwin G. Barnet City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 77	Trustee	Since 1999	Retired (May 2014-present). Attorney and of counsel, Reed Smith LLP, a law firm (2009-April 2014). Partner, Reed Smith LLP (2003-2008). Attorney and principal, Crosby, Heafey, Roach & May P.C., a law firm (2000-2002). Attorney and principal, Sanders, Barnet, Goldman, Simons & Mosk, a law firm (1980-2000).	20	None
Daniel A. Hanwacker City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 63	Trustee	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).	20	Rochdale Investment Trust (2011-2013)
Jon C. Hunt City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 63	Trustee	Since 2013	Retired (March 2013 to present). Consultant to Management, Convergent Capital Management, LLC (“CCM”) (July 2012-March 2013). Managing Director and Chief Operating Officer, CCM (1998-June 2012).	20	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 City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 72	Trustee	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).	20	Windermere Jupiter Fund, LLC, CMS/Ironwood Multi-Strategy Fund LLC, CMS/Barlow Long-Short Equity Fund, LLC (3)

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 163

trustees and officers (Unaudited) (Continued)

September 30, 2015

 

Name, Address, and Age	Position with the Trust	Term of Office(1) and Length of Time Served	Principal Occupation for the Past Five Years	Number of Portfolios in Fund Complex(2) Overseen by Trustee	Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (Continued)
Jay C. Nadel City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 56	Trustee	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).	20	Lapolla Industries, Inc. (2007-present); Rochdale Investment Trust (2011-2013)
James Wolford City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 61	Trustee	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).	20	None
INTERESTED TRUSTEES
Andrew S. Clare (4) City National Rochdale Funds 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 69	Trustee	Since 2013	Attorney and partner, Loeb & Loeb LLP, a law firm (1972-present).	20	None

 

 

Name of Trustee	End of Term of Office
Irwin G. Barnet	December 31, 2015
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

 

 

 

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 164

 

Name Address, and Age	Position with the Trust	Term of Office(1) and Length of Time Served	Principal Occupation for the Past Five Years
OFFICERS
Garrett R. D’Alessandro City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 57	President and Chief Executive Officer	Since 2013	Chief Executive Officer, City National Rochdale (1986-present).
Eric Kleinschmidt SEI Investments One Freedom Valley Drive Oaks, Pennsylvania 19456 Age: 47	Treasurer	Since 2005	Director of Fund Accounting, SEI Investments Company (2004-present). Manager of Fund Accounting, SEI Investments (1999-2004).
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-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).
Lisa Whittaker SEI Investments One Freedom Valley Drive Oaks, Pennsylvania 19456 Age: 36	Vice President and Assistant Secretary	Since 2012	Attorney, SEI Investments Company (2012-present). Associate Counsel, The Glenmede Trust Company (2011-2012). Associate, Drinker Biddle & Reath LLP (2006-2011).
Greg Francoeur City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 44	Vice President and Assistant Treasurer	Since 2015	Segment Finance Manager, City National Corporation Wealth Management Segment (2009-present). Chief Financial Officer, Convergent Capital Management, (2003-2009).
Mitchell Cepler City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 32	Vice President and Assistant Treasurer	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: 44	Vice President and Secretary	Since 2013	Chief Operating Officer, City National Rochdale (2003-present).
Anthony Sozio City National Rochdale, LLC 400 N. Roxbury Drive Beverly Hills, California 90210 Age: 44	Vice President and Assistant Secretary	Since 2013	Assistant Vice President of Registered Fund Operations, City National Rochdale (1998-present).

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 165

notice to shareholders (Unaudited)

September 30, 2015

 

For shareholders that do not have a September 30, 2015, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2015, taxable year end, please consult your tax advisor as to the pertinence of this notice.

 

For California income tax purposes, for the fiscal year ended September 30, 2015, each of the California Tax Exempt Bond Fund, California Tax Exempt Money Market Fund and Municipal High Income Fund is designating 92.41%, 91.17% and 10.94%, respectively, of its distributions paid from net investment income as exempt-interest dividends under Section 17145 of the California Revenue and Taxation Code.

 

For Federal income tax purposes, for the fiscal year ended September 30, 2015, each Fund is designating the following items with regard to distributions paid during the year:

 

	(A) Long Term Capital Gain Distributions	(B) Return of Capital	(C) Ordinary Income Distributions	(D) Tax Exempt Interest	(E) Total Distributions	(F) Dividends Qualifying for Corporate Dividends Rec. Deduction (1)	(G) Qualifying Dividend Income (2)	(H) U.S. Government Interest (3)	(I) Interest Related Dividends (4)	(J) Qualified Short-Term Capital Gain Dividends (5)
Government Money Market Fund	0.00%	0.00%	100.00%	0.00%	100.00%	0.00%	0.00%	78.26%	99.51%	100.00%
Prime Money Market Fund	0.00%	0.00%	100.00%	0.00%	100.00%	0.00%	0.00%	2.32%	99.52%	0.00%
California Tax Exempt Money Market Fund	0.00%	0.00%	1.67%	98.33%	100.00%	0.00%	0.00%	0.00%	100.00%	0.00%
Limited Maturity Fixed Income	0.00%	0.00%	100.00%	0.00%	100.00%	0.00%	0.00%	0.00%	88.37%	0.00%
Government Bond Fund	0.00%	0.00%	100.00%	0.00%	100.00%	0.00%	0.00%	60.32%	100.00%	0.00%
Corporate Bond Fund	30.74%	0.00%	69.26%	0.00%	100.00%	0.00%	0.00%	0.00%	98.84%	100.00%
California Tax Exempt Bond Fund	17.95%	0.00%	7.79%	74.26%	100.00%	0.00%	0.00%	0.00%	0.00%	100.00%
Municipal High Income Fund	0.00%	0.00%	0.39%	99.61%	100.00%	0.00%	0.00%	0.00%	0.00%	100.00%
High Yield Bond Fund	37.97%	0.00%	62.03%	0.00%	100.00%	0.00%	0.00%	0.00%	98.21%	100.00%
Intermediate Fixed Income Fund	0.00%	0.00%	100.00%	0.00%	100.00%	6.36%	4.08%	2.62%	93.09%	0.00%
Fixed Income Opportunities Fund	2.72%	0.00%	97.28%	0.00%	100.00%	15.16%	15.25%	0.01%	64.13%	100.00%
Multi-Asset Fund	0.00%	0.00%	100.00%	0.00%	100.00%	56.09%	62.14%	0.00%	0.00%	0.00%
Dividend & Income Fund	25.40%	0.00%	74.60%	0.00%	100.00%	100.00%	100.00%	0.00%	0.00%	0.00%
U.S. Core Equity Fund	89.96%	0.00%	10.04%	0.00%	100.00%	96.64%	96.20%	0.00%	0.00%	100.00%
Socially Responsible Equity Fund	67.20%	0.00%	32.80%	0.00%	100.00%	100.00%	100.00%	0.00%	0.00%	0.00%
Emerging Markets Fund (6)	0.00%	0.00%	100.00%	0.00%	100.00%	0.00%	100.00%	0.00%	0.00%	0.00%

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 166

 

Items (A), (B), (C), (D) and (E) are based on the percentage of each fund’s total distribution.

Items (F) and (G) are based on the percentage of “Ordinary Income Distributions.”

Item (H) is based on the percentage of gross income of each Fund.

Item (I) is based on the percentage of net investment income distributions.

Item (J) is based on the percentage of short-term capital gain distributions.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 167

disclosure of fund expenses (Unaudited)

 

All mutual funds have operating expenses. As a shareholder of a Fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, class-specific distribution fees, acquired fund fees and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

 

Operating expenses such as these are deducted from the Fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio.

 

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (April 1, 2015, to September 30, 2015).

 

The table below illustrates your Fund’s costs in two ways:

 

Actual Fund Return. This section helps you to estimate the actual expenses that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

 

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

 

Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

 

NOTE: Because the return is set at 5% for comparison purposes – NOT your Fund’s actual return – the account values shown do not apply to your specific investment.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 168

 

 

	Beginning Account Value 4/01/2015	Ending Account Value 9/30/2015	Annualized Expense Ratios	Expense Paid During Period*
City National Rochdale Government Money Market Fund
Actual Fund Return
Class N	$ 1,000.00	$ 1,000.10	0.11%	$ 0.55
Class S	1,000.00	1,000.10	0.11%	0.55
Servicing Class	1,000.00	1,000.10	0.12%	0.60
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,024.52	0.11%	$ 0.56
Class S	1,000.00	1,024.52	0.11%	0.56
Servicing Class	1,000.00	1,024.47	0.12%	0.61
City National Rochdale Prime Money Market Fund
Actual Fund Return
Institutional Class	$ 1,000.00	$ 1,000.10	0.20%	$ 1.00
Class N	1,000.00	1,000.10	0.20%	1.00
Class S	1,000.00	1,000.10	0.20%	1.00
Servicing Class	1,000.00	1,000.10	0.20%	1.00
Hypothetical 5% Return
Institutional Class	$ 1,000.00	$ 1,024.07	0.20%	$ 1.01
Class N	1,000.00	1,024.07	0.20%	1.01
Class S	1,000.00	1,024.07	0.20%	1.01
Servicing Class	1,000.00	1,024.07	0.20%	1.01
City National Rochdale California Tax Exempt Money Market Fund
Actual Fund Return
Class N	$ 1,000.00	$ 1,000.10	0.10%	$ 0.50
Class S	1,000.00	1,000.10	0.07%	0.35
Servicing Class	1,000.00	1,000.10	0.07%	0.35
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,024.57	0.10%	$ 0.51
Class S	1,000.00	1,024.72	0.07%	0.36
Servicing Class	1,000.00	1,024.72	0.07%	0.36
City National Rochdale Government Bond Fund
Actual Fund Return
Institutional Class	$ 1,000.00	$ 1,005.30	0.54%	$ 0.89
Class N	1,000.00	1,001.80	1.00%	5.02
Servicing Class	1,000.00	1,003.10	0.74%	3.72
Hypothetical 5% Return
Institutional Class	$ 1,000.00	$ 1,022.36	0.54%	$ 2.74
Class N	1,000.00	1,020.05	1.00%	5.06
Servicing Class	1,000.00	1,021.36	0.74%	3.75
City National Rochdale Corporate Bond Fund
Actual Fund Return
Class N	$ 1,000.00	$ 993.60	1.03%	$ 5.15
Servicing Class	1,000.00	995.80	0.75%	3.75
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,019.90	1.03%	$ 5.22
Servicing Class	1,000.00	1,021.31	0.75%	3.80
City National Rochdale California Tax Exempt Bond Fund
Actual Fund Return
Class N	$ 1,000.00	$ 1,004.60	0.88%	$ 4.42
Servicing Class	1,000.00	1,005.90	0.63%	3.17
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,020.66	0.88%	$ 4.46
Servicing Class	1,000.00	1,021.91	0.63%	3.19
City National Rochdale Municipal High Income Fund
Actual Fund Return
Class N	$ 1,000.00	$ 1,000.80	1.04%	$ 5.22
Servicing Class	1,000.00	1,002.10	0.79%	3.96
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,019.85	1.04%	$ 5.27
Servicing Class	1,000.00	1,021.11	0.79%	4.00
City National Rochdale High Yield Bond Fund
Actual Fund Return
Institutional Class	$ 1,000.00	$ 959.20	0.70%	$ 1.11
Class N	1,000.00	956.80	1.20%	5.89
Servicing Class	1,000.00	958.00	0.95%	4.66
Hypothetical 5% Return
Institutional Class	$ 1,000.00	$ 1,021.56	0.70%	$ 3.55
Class N	1,000.00	1,019.05	1.20%	6.07
Servicing Class	1,000.00	1,020.31	0.95%	4.81

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 169

disclosure of fund expenses (Unaudited) (Continued)

 

	Beginning Account Value 4/01/2015	Ending Account Value 9/30/2015	Annualized Expense Ratios	Expense Paid During Period*
City National Rochdale Intermediate Fixed Income Fund
Actual Fund Return
Institutional Class	$ 1,000.00	$ 997.80	0.55%	$ 0.89
Class N	$ 1,000.00	$ 995.30	1.07%	$ 5.35
Hypothetical 5% Return
Institutional Class	$ 1,000.00	$ 1,022.31	0.55%	$ 2.79
Class N	$ 1,000.00	$ 1,019.70	1.07%	$ 5.42
City National Rochdale Fixed Income Opportunities Fund
Actual Fund Return
Class N	$ 1,000.00	$ 1,001.40	1.09%	$ 5.47
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,019.60	1.09%	$ 5.52
City National Rochdale Multi-Asset Fund
Actual Fund Return
Class N	$ 1,000.00	$ 937.90	1.50%	$ 7.29
Servicing Class	1,000.00	939.20	1.25%	6.08
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,017.55	1.50%	$ 7.59
Servicing Class	1,000.00	1,018.80	1.25%	6.33
City National Rochdale Dividend & Income Fund
Actual Fund Return
Class N	$ 1,000.00	$ 957.60	1.13%	$ 5.55
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,019.40	1.13%	$ 5.72
City National Rochdale U.S. Core Equity Fund
Actual Fund Return
Institutional Class	$ 1,000.00	$ 958.20	0.54%	$ 0.87
Class N	1,000.00	956.20	1.06%	5.20
Servicing Class	1,000.00	956.70	0.78%	3.83
Hypothetical 5% Return
Institutional Class	$ 1,000.00	$ 1,022.36	0.54%	$ 2.74
Class N	1,000.00	1,019.75	1.06%	5.37
Servicing Class	1,000.00	1,021.16	0.78%	3.95
City National Rochdale Socially Responsible Equity Fund
Actual Fund Return
Institutional Class	$ 1,000.00	$ 910.00	0.91%	$ 4.36
Class N	1,000.00	908.70	1.16%	5.55
Hypothetical 5% Return
Institutional Class	$ 1,000.00	$ 1,020.51	0.91%	$ 4.61
Class N	1,000.00	1,019.25	1.16%	5.87
City National Rochdale Emerging Markets Fund
Actual Fund Return
Class N	$ 1,000.00	$ 854.20	1.61%	$ 7.48
Hypothetical 5% Return
Class N	$ 1,000.00	$ 1,017.00	1.61%	$ 8.14

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 170

board approval of advisory and sub-advisory agreements

(Unaudited)

 

The Board of Trustees of City National Rochdale Funds (the “Trust”) is comprised of seven Trustees, six of whom are not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”). During the six months ended September 30, 2015, the Board and the Independent Trustees approved the following advisory agreement and sub-advisory agreements:

 

 

 

 

 

 

 

 

 

 

 

The advisory and sub-advisory agreements listed above are collectively referred to below as the “Agreements” and Guggenheim, Waddell, SKBA, Seix, Federated, GML, Alcentra, Ashmore and AllFinancial are collectively referred to below as the “Sub-Advisers.”

 

General Information

 

The following information summarizes the Board’s considerations associated with its review of the Agreements. In connection with their deliberations, the Board considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The Agreements were considered separately for each Fund, although the Board took into account the common interests of the Funds in its review. As described below, the Board considered the nature, quality and extent of the various investment advisory and administrative services performed by the Adviser and each Sub-Adviser. In considering these matters, the Independent Trustees discussed the approval of the Agreements with management and in private sessions with their independent counsel at which no representatives of the Adviser or the Sub-Advisers were present.

 

The Board reviewed extensive materials regarding investment results of the Adviser and each Sub-Adviser with respect to the Funds (or portions of the Funds) they manage, advisory fee and expense comparisons, financial information with respect to each firm, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management and administrative services to the Funds. They also took into account information they received at past meetings of the Board and its committees with respect to these matters.

 

In deciding to approve the Agreements, the Board and the Independent Trustees did not identify a single factor as controlling and this summary does not describe all of the matters considered. In addition, each Board member did not necessarily attribute the same weight to each matter. However, the Board and the Independent Trustees concluded that each of the various factors referred to below favored such approval.

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 171

board approval of advisory and sub-advisory agreements

(Unaudited) (Continued)

 

CITY NATIONAL ROCHDALE, LLC

 

Nature, Extent and Quality of Services

 

In reviewing the services provided by the Adviser to the Funds, the Board considered a variety of matters, including the background, education and experience of its key portfolio management and operational personnel; its overall financial strength and stability; its resources and efforts to retain, attract and motivate capable personnel to serve the Funds; and the overall general quality and depth of its organization. The Board also took into account the experience, capability and integrity of the Adviser’s senior management; its investment philosophy and processes, including sub-adviser oversight processes; its brokerage, trading and soft dollar practices; its disaster recovery and contingency planning; and its commitment and systems in place with regard to compliance with applicable laws and regulations. The Board found all of these matters to be satisfactory.

 

The Board assessed the performance of each Fund compared with its respective benchmark index or indexes and the average of all funds in its respective peer group category (each a “universe”) selected by Lipper, Inc. (and iMoneyNet, Inc.for the money market funds only) for the one-, three-, five-, ten- and 15-year and since inception periods ended June 30, 2015, as applicable. In addition, the Board reviewed the performance of each Fund compared to the performance of a select group of comparable funds determined by the Adviser to have investment objectives similar to that of the Fund.

 

The Board’s observations with respect to the annualized total returns of the Funds were as follows:

 

 

 

 

 

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 172

 

 

 

 

 

 

 

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 173

board approval of advisory and sub-advisory agreements

(Unaudited) (Continued)

 

 

 

The Board concluded that the Adviser continues to provide satisfactory management and oversight services to the Funds. The Board members noted that the investment results of the Funds over the long term were generally competitive; that the Adviser had reasonable explanations for the performance of those Funds that had underperformed relative to their benchmarks; that the results for the Money Market Funds compared to their peer groups were acceptable given the special services and investment focuses of those Funds and the unusual market conditions applicable to the money market fund industry in recent years; and that consideration of returns of market indexes needed to take into account that indexes do not reflect the expenses of operating mutual funds.

 

Advisory Fees and Fund Expenses

 

The Board reviewed information regarding the advisory fees (both before and after waivers) charged by the Adviser to the Funds, and the total expenses (net of fee waivers) of each Fund (as percentages of their respective average annual net assets) compared to those of the funds included in the relevant Lipper universes and peer groups selected by the Adviser (“Peer Groups”).

 

The Board observed as follows with respect to the investment advisory fees (net of fee waivers) paid by the Funds:

 

 

 

 

 

 

The Board noted that the Adviser does not manage investment portfolios for other registered investment companies, pension funds, or institutional accounts that have similar investment objectives and policies as the Funds except as follows, so in most cases it did not have a basis to compare the Funds’ advisory fees with advisory fees charged by the Adviser to other clients. The Board observed that the Adviser manages the City National Rochdale International Trade Fixed Income Fund, a closed-end fund that is managed using the same strategies and sub-adviser, GML, as those used to manage a portion of the Fixed Income Opportunities Fund, for a fee greater than that charged to the Fixed Income Opportunities Fund.

 

The Board’s observations with respect to the total expenses of the lowest-expense class of each Fund (net of fee waivers) were as follows:

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 174

 

 

 

 

The Board concluded that the advisory fees charged by the Adviser continued to be fair and reasonable, and the total expenses of each Fund continued to be reasonable.

 

Profitability, Benefits to Advisers and Economies of Scale

 

The Board considered information prepared by the Adviser relating to its costs and profits with respect to the Funds. The Board also considered the benefits received by the Adviser and its affiliates as a result of its relationship with the Funds (other than investment advisory fees paid to the Adviser), including fees paid to affiliates of the Adviser such as City National Bank, City National Securities, Inc. and RIM Securities, LLC for providing certain shareholder servicing and sub-distribution services to the Trust; benefits to City National Bank’s brokerage and wealth management businesses as a result of the availability of the Funds to its customers; research services made available to the Adviser by broker-dealers that provide execution services to the Funds; and the intangible benefits to the Adviser and its affiliates of their association with the Funds generally and any favorable publicity arising in connection with the Funds’ performance. The Board concluded that although there were no advisory fee breakpoints, in the current economic environment significant economies of scale were not available with respect to the money market Funds and were not likely to be realized with respect to the other Funds until the asset levels of those Funds were significantly higher than their current levels.

 

Conclusions

 

Based on their review, including their consideration of each of the factors referred to above, the Board and the Independent Trustees concluded that the compensation payable to the Adviser with respect to each of the Funds pursuant to its advisory agreement with the Trust is fair and reasonable in light of the nature and quality of the services being provided by it to the Funds and their shareholders, and that renewal of the agreement was in the best interest of the Funds and their shareholders.

 

SUB-ADVISERS

 

Nature, Extent and Quality of Services

 

In reviewing the services provided by each Sub-Adviser, the Board considered a variety of matters, including the background, education and experience of the Sub-Adviser’s key portfolio management and operational personnel; its overall financial strength and stability; its resources and related efforts to retain, attract and motivate capable personnel to serve the relevant Funds; and the overall general quality and depth of its organization. The Board also reviewed each Sub-Adviser’s investment philosophy and processes as well as its brokerage and trading practices, its disaster recovery and contingency planning, and its commitment and systems in place with regard to compliance with applicable laws and regulations. The Board found all of these matters to be satisfactory.

 

Investment Performance

 

The Board’s observations regarding the performance of the High Yield Bond Fund, Municipal High Income Fund, Fixed Income Opportunities Fund and Socially Responsible Equity Fund are described above. In addition, the Board assessed the performance of the portion of the Fixed Income Opportunities Fund managed by each of Seix, Federated, GML, Alcentra, and Ashmore, compared with the Sub-Adviser’s respective benchmark for various periods ended June 30, 2015. The Board made the following additional observations in reviewing the annualized total returns of those Sub-Advisers:

 

 

 

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 175

board approval of advisory and sub-advisory agreements

(Unaudited) (Continued)

 

Board considered GML Capital’s explanation that in 2014, declining U.S. Treasury yields, among other factors, contributed to the portfolio’s underperformance relative to the Index, and that for a recent year-to-date period the portfolio had underperformed the Index primarily due to the portfolio’s substantial underweight to Russian exposure relative to the Index.

 

 

In considering AllFinancial’s performance, the Board noted that AllFinancial operates in an asset class (life settlement policies) for which indices and peer comparisons are not available, but that AllFinancial continues to meet the Adviser’s expectations regarding its ability to oversee and manage those assets.

 

The Board considered the Adviser’s view that the investment performance of the Fund or Fund portfolio managed by each Sub-Adviser was satisfactory. The Board concluded that each Sub-Adviser continued to provide satisfactory services to the Funds.

 

Advisory Fees and Fund Expenses

 

The Board reviewed information regarding the advisory fees charged by each Sub-Adviser and observed that the fees charged by each Sub-Adviser were generally equal to or lower than the fees it charged to its other advisory or sub-advisory clients to manage comparable funds. The Trustees also noted that the Adviser pays all sub-advisory fees out of its advisory fees. The Board noted that Guggenheim’s sub-advisory fee with respect to the High Yield Bond Fund was higher than its fees with respect to another mutual fund for which it serves as sub-adviser, but also noted that the other fund was significantly larger than the Fund (with assets in excess of $1 billion). Additionally, the Board considered that Guggenheim had indicated that it would consider adding additional breakpoints to the sub-advisory fee structure should the assets of the High Yield Bond Fund grow to over $300 million. The Board also observed that Seix’s sub-advisory fee with respect to the Fixed Income Opportunities Fund was higher than the fee it charged to another mutual fund for which it served as sub-adviser using a similar strategy, but noted that the other fund was significantly larger than the Fund (with assets over $6.5 billion) and was a part of a larger mutual fund complex for which Seix serves as sub-adviser. Additionally, the Board considered that Seix indicated that the lower sub-advisory fee for the other mutual fund it manages using a similar strategy reflected the economies of scale of the other fund and the group of funds of which it is a part.

 

Benefits to Sub-Advisers

 

The Board considered the benefits received by each Sub-Adviser and its affiliates as a result of its relationship with the Funds (other than the sub-advisory fees paid to the Sub-Adviser), including any research services made available to the Sub-Adviser by broker-dealers providing execution services to the relevant Fund, the intangible benefits of the Sub-Adviser’s association with the Funds generally and any favorable publicity arising in connection with the Funds’ performance.

 

Conclusions

 

Based on their review, including their consideration of each of the factors referred to above, the Board and the Independent Trustees concluded that the compensation payable to each Sub-Adviser pursuant to its respective sub-advisory agreement is fair and reasonable in light of the nature and quality of the services being provided by each Sub-Adviser to the respective Fund and its shareholders, and that renewal of each sub-advisory agreement was in the best interest of the Funds and their shareholders.

 

CITY NATIONAL ROCHDALE FUNDS | PAGE 176