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WATERFALL ASSET MANAGEMENT, LLC

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13F filer, CIK 1570717, NEW YORK, NY

WATERFALL ASSET MANAGEMENT, LLC reported $178,814,295 across 20 holdings for the quarter ended 2026-03-31, in a 13F-HR filed 2026-05-08. Its ten largest share positions make up 79.53% of the portfolio.

Filed (acceptance time not in the bulk data set), ingested 13F-HR 0001570717-26-000004

Period
2026-03-31
Reported value
$179M
Holdings
20
Top 10 weight
79.53%
New
6
Sold out
3

Largest buys vs the previous quarter

SecurityShares changeApprox. value
MRPadded+219,984$6.16M
IVTnew+164,962$5.02M
VNOnew+170,500$4.43M
DRHnew+417,789$3.91M
ESRTnew+714,535$3.72M

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
NSAexited-297,700-$8.42M
ARIexited-569,000-$5.56M
FVRexited-184,197-$2.75M
AATreduced-126,710-$2.33M
LINEreduced-21,400-$701K

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, Q1 2026

Share positions as resolved from 13F-HR 0001570717-26-000004, largest first. % of portfolio is the value over $178,814,295, the sum of the share positions whose value is usable for ratios (method).

SecurityHistorySharesValue% of portfolioChangeLatest eventTimeline
CPTCAMDEN PPTY TRQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: 30,500 shares; 2025Q4: 107,000 shares; 2026Q1: 131,704 shares 131,704$12.9M7.19%+24,704Timeline
AVBAVALONBAY CMNTYS INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: 63,800 shares; 2026Q1: 75,150 shares 75,150$12.3M6.87%+11,350Timeline
APLEAPPLE HOSPITALITY REIT INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 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 935,516$10.8M6.02%+53,389Timeline
RITMRITHM CAPITAL CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 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 1,026,404$9.73M5.44%+325,979Timeline
MRPMILLROSE PPTYS INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: 105,062 shares; 2026Q1: 325,046 shares 325,046$9.1M5.09%+219,984Timeline
BRSPBRIGHTSPIRE CAPITAL INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 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 1,472,790$8.25M4.61%+649,980Timeline
RCREADY CAPITAL CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 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 3,908,983$6.33M3.54%0Timeline
PKPARK HOTELS & RESORTS INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 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 581,643$6.12M3.43%+213,959Timeline
AATAMERICAN ASSETS TR INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: 314,643 shares; 2025Q4: 406,033 shares; 2026Q1: 279,323 shares 279,323$5.14M2.88%-126,710Timeline
IVTINVENTRUST PPTYS CORPQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 164,962 shares 164,962$5.02M2.81%newTimeline
VNOVORNADO RLTY TRQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 170,500 shares 170,500$4.43M2.48%newTimeline
DRHDIAMONDROCK HOSPITALITY COQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 417,789 shares 417,789$3.91M2.19%newTimeline
DXDYNEX CAP INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: 150,000 shares; 2025Q4: 277,300 shares; 2026Q1: 295,000 shares 295,000$3.76M2.11%+17,700Timeline
GNLGLOBAL NET LEASE INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 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 397,609$3.72M2.08%-24,618Timeline
ESRTEMPIRE ST RLTY TR INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 714,535 shares 714,535$3.72M2.08%newTimeline
KREFKKR REAL ESTATE FIN TR INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: not reported; 2025Q4: not reported; 2026Q1: 475,154 shares 475,154$3.05M1.71%newTimeline
LINELINEAGE INCQuarterly shares; oldest to newest; scale is this security's eight-quarter maximum; 2024Q2: restricted; 2024Q3: not reported; 2024Q4: not reported; 2025Q1: not reported; 2025Q2: not reported; 2025Q3: 162,409 shares; 2025Q4: 105,000 shares; 2026Q1: 83,600 shares 83,600$2.74M1.53%-21,400Timeline

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 Bondprincipal59,319,000$61.6M-19,755,000
RITHM PPTY TR INCRITHM PPTY TR INC 9.875 FXD-FLT Cprincipal139,481$3.46Mnew
REDWOOD TRUST INCREDWOOD TRUST INC Convertibleprincipal2,743,000$2.78M-6,000,000

Sold out in Q1 2026

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

SecurityShares beforeValue beforeType
NSANATIONAL STORAGE AFFILIATES297,700$8.42Mshares
ARIAPOLLO COML REAL ESTATE FIN569,000$5.56Mshares
FVRFRONTVIEW REIT INC184,197$2.75Mshares

How Q1 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 0001570717-26-000004 base2026-05-08acceptance time not in the bulk data set