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WATERFALL ASSET MANAGEMENT, LLC

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13F filer, CIK 1570717, NEW YORK, NY

WATERFALL ASSET MANAGEMENT, LLC reported $163,425,241 across 18 holdings for the quarter ended 2026-06-30, in a 13F-HR filed 2026-08-12. Its ten largest share positions make up 80.18% of the portfolio.

Filed (acceptance time not in the bulk data set), ingested 13F-HR 0001570717-26-000005

Period
2026-06-30
Reported value
$163M
Holdings
18
Top 10 weight
80.18%
New
3
Sold out
5

Largest buys vs the previous quarter

SecurityShares changeApprox. value
FBRTnew+758,000$6.17M
SVCnew+2,875,000$4.86M
BRSPadded+603,796$3.29M
MRPadded+92,315$2.77M
PMTnew+199,682$2.25M

Ranked by the share change valued at this quarter's implied price (value over shares in the 13F). A position sold out is valued at the previous quarter's price, its last report.

Largest sells vs the previous quarter

SecurityShares changeApprox. value
APLEreduced-559,572-$9.41M
AATexited-279,323-$5.14M
IVTexited-164,962-$5.02M
VNOreduced-89,500-$3.52M
KREFexited-475,154-$3.05M

Ranked by the share change valued at this quarter's implied price (value over shares in the 13F). A position sold out is valued at the previous quarter's price, its last report.

Holdings, Q2 2026

Share positions as resolved from 13F-HR 0001570717-26-000005, largest first. % of portfolio is the value over $163,425,241, the sum of the share positions whose value is usable for ratios (method).

SecurityHistorySharesValue% of portfolioChangeLatest eventTimeline
AVBAVALONBAY CMNTYS INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: 63,800 shares; 2026Q1: 75,150 shares; 2026Q2: 68,650 shares 68,650$13M7.93%-6,500Timeline
CPTCAMDEN PPTY TRQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: 30,500 shares; 2025Q4: 107,000 shares; 2026Q1: 131,704 shares; 2026Q2: 111,704 shares 111,704$12.8M7.83%-20,000Timeline
MRPMILLROSE PPTYS INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: 105,062 shares; 2026Q1: 325,046 shares; 2026Q2: 417,361 shares 417,361$12.5M7.67%+92,315Timeline
BRSPBRIGHTSPIRE CAPITAL INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: 197,800 shares; 2025Q3: 644,158 shares; 2025Q4: 822,810 shares; 2026Q1: 1,472,790 shares; 2026Q2: 2,076,586 shares 2,076,586$11.3M6.93%+603,796Timeline
RITMRITHM CAPITAL CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: 50,000 shares; 2024Q4: 50,000 shares; 2025Q1: 50,000 shares; 2025Q2: 133,714 shares; 2025Q3: 360,573 shares; 2025Q4: 700,425 shares; 2026Q1: 1,026,404 shares; 2026Q2: 1,127,584 shares 1,127,584$10.6M6.48%+101,180Timeline
PKPARK HOTELS & RESORTS INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: 110,000 shares; 2025Q3: 122,153 shares; 2025Q4: 367,684 shares; 2026Q1: 581,643 shares; 2026Q2: 689,616 shares 689,616$9.83M6.01%+107,973Timeline
RCREADY CAPITAL CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: 3,908,983 shares; 2024Q4: 3,908,983 shares; 2025Q1: 3,908,983 shares; 2025Q2: 3,908,983 shares; 2025Q3: 3,908,983 shares; 2025Q4: 3,908,983 shares; 2026Q1: 3,908,983 shares; 2026Q2: 3,908,983 shares 3,908,983$6.84M4.19%0Timeline
APLEAPPLE HOSPITALITY REIT INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: 400,000 shares; 2025Q3: 730,000 shares; 2025Q4: 882,127 shares; 2026Q1: 935,516 shares; 2026Q2: 375,944 shares 375,944$6.32M3.87%-559,572Timeline
FBRTFRANKLIN BSP RLTY TR INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: not reported; 2026Q2: 758,000 shares 758,000$6.17M3.78%newTimeline
DRHDIAMONDROCK HOSPITALITY COQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 417,789 shares; 2026Q2: 456,804 shares 456,804$5.56M3.4%+39,015Timeline
GNLGLOBAL NET LEASE INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: 200,000 shares; 2025Q3: 342,259 shares; 2025Q4: 422,227 shares; 2026Q1: 397,609 shares; 2026Q2: 570,029 shares 570,029$5.1M3.12%+172,420Timeline
SVCSERVICE PPTYS TRQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: not reported; 2026Q2: 2,875,000 shares 2,875,000$4.86M2.97%newTimeline
DXDYNEX CAP INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: 150,000 shares; 2025Q4: 277,300 shares; 2026Q1: 295,000 shares; 2026Q2: 322,500 shares 322,500$4.23M2.59%+27,500Timeline
ESRTEMPIRE ST RLTY TR INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 714,535 shares; 2026Q2: 689,535 shares 689,535$3.73M2.28%-25,000Timeline
VNOVORNADO RLTY TRQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 170,500 shares; 2026Q2: 81,000 shares 81,000$3.18M1.95%-89,500Timeline
PMTPENNYMAC MTG INVT TRQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: not reported; 2026Q2: 199,682 shares 199,682$2.25M1.38%newTimeline

Principal amounts

Notes and convertibles filed as a face amount (PRN). A face amount is never added to a share count (H6).

SecurityTypeAmountValueChange
PENNYMAC CORPPENNYMAC CORP Convertible Bondprincipal41,022,000$41.7M-18,297,000
RITHM PPTY TR INCRITHM PPTY TR INC 9.875 FXD-FLT Cprincipal139,481$3.48M0

Sold out in Q2 2026

Positions in the previous quarter's report that this quarter's report no longer lists.

SecurityShares beforeValue beforeType
AATAMERICAN ASSETS TR INC279,323$5.14Mshares
IVTINVENTRUST PPTYS CORP164,962$5.02Mshares
KREFKKR REAL ESTATE FIN TR INC475,154$3.05Mshares
REDWOOD TRUST INCREDWOOD TRUST INC2,743,000$2.78Mprincipal
LINELINEAGE INC83,600$2.74Mshares

How Q2 2026 was built

Available 13F filings of this filer for the quarter and their roles: the base report is the latest original or restatement, NEW HOLDINGS amendments filed after it are added (method).

FilingRoleAmendmentFiledAcceptedIngested
13F-HR 0001570717-26-000005 base2026-08-12acceptance time not in the bulk data set

Filings

Every filing of this filer: 13F reports and notices, the 13D and 13G it filed or is a reporting person of, and Forms 3, 4 and 5 it reported as an owner.

FilingSubjectFiledAcceptedIngested
13F-HR 0001570717-26-000005 Quarter ended 2026-06-302026-08-12acceptance time not in the bulk data set
13F-HR 0001570717-26-000004 Quarter ended 2026-03-312026-05-08acceptance time not in the bulk data set
13F-HR 0001570717-26-000001 Quarter ended 2025-12-312026-02-13acceptance time not in the bulk data set
13F-HR 0001570717-25-000005 Quarter ended 2025-09-302025-11-12acceptance time not in the bulk data set
13F-HR 0001752724-25-186395 Quarter ended 2025-06-302025-08-12acceptance time not in the bulk data set
13F-HR 0000905148-25-001749 Quarter ended 2025-03-312025-05-15acceptance time not in the bulk data set
13F-HR 0000905148-25-000532 Quarter ended 2024-12-312025-02-13acceptance time not in the bulk data set
13F-HR 0000905148-24-003061 Quarter ended 2024-09-302024-11-13acceptance time not in the bulk data set
13F-HR/A 0000905148-24-002248 Quarter ended 2024-06-302024-08-15acceptance time not in the bulk data set
13F-HR 0000905148-24-002134 Quarter ended 2024-06-302024-08-13acceptance time not in the bulk data set
13F-HR 0000905148-24-001372 Quarter ended 2024-03-312024-05-14acceptance time not in the bulk data set
13F-HR/A 0000905148-24-001254 Quarter ended 2023-12-312024-05-02acceptance time not in the bulk data set
13F-HR 0000905148-24-000604 Quarter ended 2023-12-312024-02-13acceptance time not in the bulk data set