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WATERFALL ASSET MANAGEMENT, LLC

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13F filer, CIK 1570717, NEW YORK, NY

WATERFALL ASSET MANAGEMENT, LLC reported $881,345,795 across 6 holdings for the quarter ended 2024-09-30, in a 13F-HR filed 2024-11-13.

Filed (acceptance time not in the bulk data set), ingested 13F-HR 0000905148-24-003061

Period
2024-09-30
Reported value
$881M
Holdings
6
Top 10 weight
100%
New
4
Sold out
3

Largest buys vs the previous quarter

SecurityShares changeApprox. value
FPAYQnew+1,629,547$1.68M
CRMTnew+30,000$1.26M
RITMnew+50,000$568K

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

None.

Holdings, Q3 2024

Share positions as resolved from 13F-HR 0000905148-24-003061, largest first. % of portfolio is the value over $78,081,795, the sum of the share positions whose value is usable for ratios (method).

SecurityHistorySharesValue% of portfolioChangeLatest eventTimeline
RCREADY CAPITAL CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2022Q4: restricted; 2023Q1: restricted; 2023Q2: restricted; 2023Q3: restricted; 2023Q4: restricted; 2024Q1: restricted; 2024Q2: restricted; 2024Q3: 3,908,983 shares 3,908,983$29.8M38.2%0Timeline
FPAYQFLEXSHOPPER INC COM NEWQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2022Q4: restricted; 2023Q1: restricted; 2023Q2: restricted; 2023Q3: restricted; 2023Q4: restricted; 2024Q1: restricted; 2024Q2: restricted; 2024Q3: 1,629,547 shares 1,629,547$1.68M2.15%newTimeline
CRMTAMERICAS CAR-MART INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2022Q4: restricted; 2023Q1: restricted; 2023Q2: restricted; 2023Q3: restricted; 2023Q4: restricted; 2024Q1: restricted; 2024Q2: restricted; 2024Q3: 30,000 shares 30,000$1.26M1.61%newTimeline
RITMRITHM CAPITAL CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2022Q4: restricted; 2023Q1: restricted; 2023Q2: restricted; 2023Q3: restricted; 2023Q4: restricted; 2024Q1: restricted; 2024Q2: restricted; 2024Q3: 50,000 shares 50,000$568K0.73%newTimeline

Options

Puts and calls, as filed. The amount and value describe the underlying shares, not the option premium, so they stay out of % of portfolio (H5).

SecurityTypeAmountValueChange
SPYSTATE STR SPDR S&P 500 ETF T SHSput1,400,000$803Mnew

Principal amounts

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

SecurityTypeAmountValueChange
REDWOOD TRUST INCREDWOOD TRUST INC Convertibleprincipal45,273,000$44.8M-3,750,000

Sold out in Q3 2024

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

SecurityShares beforeValue beforeType
TWO HARBORS INVENTMENT CORPOTWO HARBORS INVENTMENT CORPO15,939,000$15.4Mprincipal
PENNYMAC CORPPENNYMAC CORP11,760,000$11.1Mprincipal
ARBOR REALTY TRUST INCARBOR REALTY TRUST INC10,750,000$10.6Mprincipal

How Q3 2024 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 0000905148-24-003061 base2024-11-13acceptance time not in the bulk data set