Waterfall Asset Management, LLC's SEC 13F Portfolio ($178.8M)

Sector-focusedMomentum followerQuality / disciplined sizing

Total reported value

$178.8M

Reporting period: 2026-03-31 · Number of holdings: 20

WATERFALL ASSET MANAGEMENT, LLC disclosed 20 holdings in its latest 13F filing for the period ending 2026-03-31, with total reported value of $178.8M and a quarterly turnover rate of 47.2%.

Browse other institutions with $100M to $1B AUM Browse other institutions starting with "W"

Personality snowflake

Concentration: 59.02
Portfolio Stability: 47.18
Momentum/Contrarian: 100
Sector conviction: 100
Diversification: 40
Sizing Uniformity: 85.67

Recent moves

Trim PMT 8.5 06-01-29
-25.0%　-$18.0M
Add MRP
+209.4%　$6.0M
Trim RWT 7.75 06-15-27
-68.6%　-$6.0M
Add BRSP
+79.0%　$3.6M
Add PK
+58.2%　$2.2M
Add RITM
+46.5%　$2.1M

Holdings Map

New buyAddUnchangedTrim

Top 10 holdings by weight

Full holdings list this quarter

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	PMT 8.5 06-01-29	Pennymac CORP	Stock-Other	34.46%	-8.41%	-24.98%
2	CPT	Camden Property Trust	Stock-Real Estate	7.19%	+0.84%	+23.09%
3	AVB	Avalonbay Communities INC	Stock-Real Estate	6.87%	+0.60%	+17.79%
4	APLE	Apple Hospitality Reit INC	Stock-Real Estate	6.02%	+0.37%	+6.05%
5	RITM	Rithm Capital CORP	Stock-Real Estate	5.44%	+1.31%	+46.54%
6	MRP	Millrose Properties	Stock-Real Estate	5.09%	+3.40%	+209.38%
7	BRSP	Brightspire Capital INC	Stock-Other	4.61%	+2.11%	+79.00%
8	RC	Ready Capital CORP	Stock-Other	3.54%	-1.02%	—
9	PK	Park Hotels & Resorts INC	Stock-Real Estate	3.43%	+1.34%	+58.19%
10	AAT	American Assets Trust INC	Stock-Other	2.88%	-1.27%	-31.21%
11	IVT	Inventrust Properties CORP	Stock-Other	2.81%	+2.81%	NEW
12	VNO	Vornado Realty Trust	Stock-Real Estate	2.48%	+2.48%	NEW
13	DRH	Diamondrock Hospitality Co	Stock-Other	2.19%	+2.19%	NEW
14	DX	Dynex Capital INC	Stock-Other	2.11%	+0.02%	+6.38%
15	GNL	Global Net Lease INC	Stock-Real Estate	2.08%	+0.13%	-5.83%
16	ESRT	Empire State Realty Trust-a	Stock-Other	2.08%	+2.08%	NEW
17	RPT V9.875 PERP	Rithm Property Trust	Stock-Other	1.94%	+1.94%	NEW
18	KREF	Kkr Real Estate Finance Trus	Stock-Other	1.71%	+1.71%	NEW
19	RWT 7.75 06-15-27	Redwood Trust INC	Stock-Other	1.55%	-3.16%	-68.63%
20	LINE	Lineage INC	Stock-Other	1.53%	-0.46%	-20.38%

Portfolio Performance

Performance for Q3 2026

—

Performance Last 4 Quarters

+7.5%

Based on 41% of reported portfolio value with available pricing

Stdev: +10.1%
Beta: +0.96
Alpha: -1.4%
Max Drawdown: -7.6%
Annualized Perf: +10.4%
Batting Avg vs S&P: +40%
Sortino: +1.84
Stutzer: +0.3
Treynor: +0.11
Sterling: +0.95
Calmar: +1.36
Information Ratio: -1.81
Tracking Error: +1.1%
Stdev Down: +5.7%
Winning Months %: +66.7%
Losing Months %: +33.3%
Best 12 Months: +15%
Worst 12 Months: +12.2%
Efficiency Ratio: +0.38
Sharpe: +1.03
Stdev Sectors: 0%
Skewness: -0.26
Kurtosis: +0.26
Upside Potential: +3.37

Reported value over time

Sector allocation

Sector allocation over time

Quarterly history

Period	Holdings	Total value	Stability	Top holdings
2026-03-31	20	$178.8M	47	1PMT 8.5 06-01-29 2CPT 3AVB Top holdings2026-03-31 1.PMT 8.5 06-01-29 2.CPT 3.AVB 4.APLE 5.RITM 6.MRP 7.BRSP 8.RC 9.PK 10.AAT
2025-12-31	17	$185.8M	100	1PMT 8.5 06-01-29 2CPT 3AVB Top holdings2025-12-31 1.PMT 8.5 06-01-29 2.CPT 3.AVB 4.APLE 5.RWT 7.75 06-15-27 6.RC 7.NSA 8.AAT 9.RITM 10.ARI
2025-09-30	18	$902.6M	100	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2025-09-30 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.APLE 5.AAT 6.LINE 7.PMT 8.5 06-01-29 8.RPT V9.875 PERP 9.ELME 10.RITM
2025-06-30	12	$225.5M	0	1SPY 2PMT 8.5 06-01-29 3RWT 7.75 06-15-27 Top holdings2025-06-30 1.SPY 2.PMT 8.5 06-01-29 3.RWT 7.75 06-15-27 4.RC 5.RPT V9.875 PERP 6.APLE 7.ELME 8.FPAYQ 9.GNL 10.RITM
2025-03-31	6	$189.4M	0	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2025-03-31 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.RPT V9.875 PERP 5.FPAYQ 6.RITM
2024-12-31	5	$662.0M	0	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2024-12-31 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.FPAYQ 5.RITM
2024-09-30	6	$881.3M	0	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2024-09-30 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.FPAYQ 5.CRMT 6.RITM
2024-06-30	5	$116.3M	0	1RWT 7.75 06-15-27 2RC 3TWO 6.25 01-15-26 Top holdings2024-06-30 1.RWT 7.75 06-15-27 2.RC 3.TWO 6.25 01-15-26 4.PMT 5.5 03-15-26 5.ABR 7.5 08-01-25
2024-03-31	5	$145.7M	0	1RWT 7.75 06-15-27 2TWO 6.25 01-15-26 3RC Top holdings2024-03-31 1.RWT 7.75 06-15-27 2.TWO 6.25 01-15-26 3.RC 4.PMT 5.5 03-15-26 5.FPAYQ
2023-12-31	7	$176.7M	0	1RWT 7.75 06-15-27 2TWO 6.25 01-15-26 3RC Top holdings2023-12-31 1.RWT 7.75 06-15-27 2.TWO 6.25 01-15-26 3.RC 4.PMT 5.5 03-15-26 5.PMT 5.5 11-01-24 6.RUN 0 02-01-26 7.FPAYQ

Holding changes this quarter

Waterfall Asset Management, LLC's most significant position changes for 2026-03-31: Sold out: National Storage Affiliates (NSA); Sold out: Apollo Commercial Real Estat (ARI); New buy: Inventrust Properties CORP (IVT); New buy: Vornado Realty Trust (VNO); New buy: Diamondrock Hospitality Co (DRH).

Position changes disclosed by Waterfall Asset Management, LLC for the quarter ending 2026-03-31, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	MRP	Millrose Properties	+3.4%	+209.38%	Add
2	BRSP	Brightspire Capital INC	+2.1%	+79.00%	Add
3	PK	Park Hotels & Resorts INC	+1.3%	+58.19%	Add
4	RITM	Rithm Capital CORP	+1.3%	+46.54%	Add
5	CPT	Camden Property Trust	+0.8%	+23.09%	Add
6	AVB	Avalonbay Communities INC	+0.6%	+17.79%	Add
7	APLE	Apple Hospitality Reit INC	+0.4%	+6.05%	Add
8	GNL	Global Net Lease INC	+0.1%	-5.83%	Trim
9	DX	Dynex Capital INC	0%	+6.38%	Add
10	LINE	Lineage INC	-0.5%	-20.38%	Trim
11	RC	Ready Capital CORP	-1%	—	Unchanged
12	AAT	American Assets Trust INC	-1.3%	-31.21%	Trim
13	RWT 7.75 06-15-27	Redwood Trust INC	-3.2%	-68.63%	Trim
14	PMT 8.5 06-01-29	Pennymac CORP	-8.4%	-24.98%	Trim
15	NSA	National Storage Affiliates	—	EXIT	Sold out
16	ARI	Apollo Commercial Real Estat	—	EXIT	Sold out
17	IVT	Inventrust Properties CORP	—	NEW	New buy
18	VNO	Vornado Realty Trust	—	NEW	New buy
19	DRH	Diamondrock Hospitality Co	—	NEW	New buy
20	ESRT	Empire State Realty Trust-a	—	NEW	New buy
21	RPT V9.875 PERP	Rithm Property Trust	—	NEW	New buy
22	KREF	Kkr Real Estate Finance Trus	—	NEW	New buy
23	FVR	Frontview Reit INC	—	EXIT	Sold out

FAQ

What is Waterfall Asset Management, LLC and what type of investor is it?

Waterfall Asset Management, LLC is a investment manager that files SEC Form 13F quarterly, disclosing its U.S. public equity holdings to regulators. As of the most recent reporting period (2026-03-31), the firm manages a tracked equity portfolio valued at approximately $178.8M, spread across 20 disclosed positions.

What are Waterfall Asset Management, LLC's largest equity positions?

Based on the latest 13F filing, Waterfall Asset Management, LLC's top holdings by market value are: 1. Pennymac CORP (PMT 8.5 06-01-29) — $61.6M (34.5%) 2. Camden Property Trust (CPT) — $12.9M (7.2%) 3. Avalonbay Communities INC (AVB) — $12.3M (6.9%) 4. Apple Hospitality Reit INC (APLE) — $10.8M (6.0%) 5. Rithm Capital CORP (RITM) — $9.7M (5.4%)

What changes did Waterfall Asset Management, LLC make in its most recent portfolio filing?

In the latest reported quarter, Waterfall Asset Management, LLC made 22 notable position adjustments: 6 new positions were initiated, 8 existing holdings were added to, 5 positions were partially reduced, and 3 were completely exited. The largest of these moves: Sold out: National Storage Affiliates (NSA); Sold out: Apollo Commercial Real Estat (ARI); New buy: Inventrust Properties CORP (IVT); New buy: Vornado Realty Trust (VNO); New buy: Diamondrock Hospitality Co (DRH)

What sectors does Waterfall Asset Management, LLC focus on?

Waterfall Asset Management, LLC is concentrated in the following sectors based on its current disclosed equity portfolio: • Real Estate: 100.0%

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Waterfall Asset Management, LLC's SEC 13F Portfolio ($178.8M)

Sector-focusedMomentum followerQuality / disciplined sizing

Total reported value

$178.8M

Reporting period: 2026-03-31 · Number of holdings: 20

WATERFALL ASSET MANAGEMENT, LLC disclosed 20 holdings in its latest 13F filing for the period ending 2026-03-31, with total reported value of $178.8M and a quarterly turnover rate of 47.2%.

Browse other institutions with $100M to $1B AUM Browse other institutions starting with "W"

Personality snowflake

Concentration: 59.02
Portfolio Stability: 47.18
Momentum/Contrarian: 100
Sector conviction: 100
Diversification: 40
Sizing Uniformity: 85.67

Recent moves

Trim PMT 8.5 06-01-29
-25.0%　-$18.0M
Add MRP
+209.4%　$6.0M
Trim RWT 7.75 06-15-27
-68.6%　-$6.0M
Add BRSP
+79.0%　$3.6M
Add PK
+58.2%　$2.2M
Add RITM
+46.5%　$2.1M

Holdings Map

New buyAddUnchangedTrim

Top 10 holdings by weight

Full holdings list this quarter

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	PMT 8.5 06-01-29	Pennymac CORP	Stock-Other	34.46%	-8.41%	-24.98%
2	CPT	Camden Property Trust	Stock-Real Estate	7.19%	+0.84%	+23.09%
3	AVB	Avalonbay Communities INC	Stock-Real Estate	6.87%	+0.60%	+17.79%
4	APLE	Apple Hospitality Reit INC	Stock-Real Estate	6.02%	+0.37%	+6.05%
5	RITM	Rithm Capital CORP	Stock-Real Estate	5.44%	+1.31%	+46.54%
6	MRP	Millrose Properties	Stock-Real Estate	5.09%	+3.40%	+209.38%
7	BRSP	Brightspire Capital INC	Stock-Other	4.61%	+2.11%	+79.00%
8	RC	Ready Capital CORP	Stock-Other	3.54%	-1.02%	—
9	PK	Park Hotels & Resorts INC	Stock-Real Estate	3.43%	+1.34%	+58.19%
10	AAT	American Assets Trust INC	Stock-Other	2.88%	-1.27%	-31.21%
11	IVT	Inventrust Properties CORP	Stock-Other	2.81%	+2.81%	NEW
12	VNO	Vornado Realty Trust	Stock-Real Estate	2.48%	+2.48%	NEW
13	DRH	Diamondrock Hospitality Co	Stock-Other	2.19%	+2.19%	NEW
14	DX	Dynex Capital INC	Stock-Other	2.11%	+0.02%	+6.38%
15	GNL	Global Net Lease INC	Stock-Real Estate	2.08%	+0.13%	-5.83%
16	ESRT	Empire State Realty Trust-a	Stock-Other	2.08%	+2.08%	NEW
17	RPT V9.875 PERP	Rithm Property Trust	Stock-Other	1.94%	+1.94%	NEW
18	KREF	Kkr Real Estate Finance Trus	Stock-Other	1.71%	+1.71%	NEW
19	RWT 7.75 06-15-27	Redwood Trust INC	Stock-Other	1.55%	-3.16%	-68.63%
20	LINE	Lineage INC	Stock-Other	1.53%	-0.46%	-20.38%

Portfolio Performance

Performance for Q3 2026

—

Performance Last 4 Quarters

+7.5%

Based on 41% of reported portfolio value with available pricing

Stdev: +10.1%
Beta: +0.96
Alpha: -1.4%
Max Drawdown: -7.6%
Annualized Perf: +10.4%
Batting Avg vs S&P: +40%
Sortino: +1.84
Stutzer: +0.3
Treynor: +0.11
Sterling: +0.95
Calmar: +1.36
Information Ratio: -1.81
Tracking Error: +1.1%
Stdev Down: +5.7%
Winning Months %: +66.7%
Losing Months %: +33.3%
Best 12 Months: +15%
Worst 12 Months: +12.2%
Efficiency Ratio: +0.38
Sharpe: +1.03
Stdev Sectors: 0%
Skewness: -0.26
Kurtosis: +0.26
Upside Potential: +3.37

Reported value over time

Sector allocation

Sector allocation over time

Quarterly history

Period	Holdings	Total value	Stability	Top holdings
2026-03-31	20	$178.8M	47	1PMT 8.5 06-01-29 2CPT 3AVB Top holdings2026-03-31 1.PMT 8.5 06-01-29 2.CPT 3.AVB 4.APLE 5.RITM 6.MRP 7.BRSP 8.RC 9.PK 10.AAT
2025-12-31	17	$185.8M	100	1PMT 8.5 06-01-29 2CPT 3AVB Top holdings2025-12-31 1.PMT 8.5 06-01-29 2.CPT 3.AVB 4.APLE 5.RWT 7.75 06-15-27 6.RC 7.NSA 8.AAT 9.RITM 10.ARI
2025-09-30	18	$902.6M	100	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2025-09-30 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.APLE 5.AAT 6.LINE 7.PMT 8.5 06-01-29 8.RPT V9.875 PERP 9.ELME 10.RITM
2025-06-30	12	$225.5M	0	1SPY 2PMT 8.5 06-01-29 3RWT 7.75 06-15-27 Top holdings2025-06-30 1.SPY 2.PMT 8.5 06-01-29 3.RWT 7.75 06-15-27 4.RC 5.RPT V9.875 PERP 6.APLE 7.ELME 8.FPAYQ 9.GNL 10.RITM
2025-03-31	6	$189.4M	0	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2025-03-31 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.RPT V9.875 PERP 5.FPAYQ 6.RITM
2024-12-31	5	$662.0M	0	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2024-12-31 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.FPAYQ 5.RITM
2024-09-30	6	$881.3M	0	1SPY 2RWT 7.75 06-15-27 3RC Top holdings2024-09-30 1.SPY 2.RWT 7.75 06-15-27 3.RC 4.FPAYQ 5.CRMT 6.RITM
2024-06-30	5	$116.3M	0	1RWT 7.75 06-15-27 2RC 3TWO 6.25 01-15-26 Top holdings2024-06-30 1.RWT 7.75 06-15-27 2.RC 3.TWO 6.25 01-15-26 4.PMT 5.5 03-15-26 5.ABR 7.5 08-01-25
2024-03-31	5	$145.7M	0	1RWT 7.75 06-15-27 2TWO 6.25 01-15-26 3RC Top holdings2024-03-31 1.RWT 7.75 06-15-27 2.TWO 6.25 01-15-26 3.RC 4.PMT 5.5 03-15-26 5.FPAYQ
2023-12-31	7	$176.7M	0	1RWT 7.75 06-15-27 2TWO 6.25 01-15-26 3RC Top holdings2023-12-31 1.RWT 7.75 06-15-27 2.TWO 6.25 01-15-26 3.RC 4.PMT 5.5 03-15-26 5.PMT 5.5 11-01-24 6.RUN 0 02-01-26 7.FPAYQ

Holding changes this quarter

Position changes disclosed by Waterfall Asset Management, LLC for the quarter ending 2026-03-31, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	MRP	Millrose Properties	+3.4%	+209.38%	Add
2	BRSP	Brightspire Capital INC	+2.1%	+79.00%	Add
3	PK	Park Hotels & Resorts INC	+1.3%	+58.19%	Add
4	RITM	Rithm Capital CORP	+1.3%	+46.54%	Add
5	CPT	Camden Property Trust	+0.8%	+23.09%	Add
6	AVB	Avalonbay Communities INC	+0.6%	+17.79%	Add
7	APLE	Apple Hospitality Reit INC	+0.4%	+6.05%	Add
8	GNL	Global Net Lease INC	+0.1%	-5.83%	Trim
9	DX	Dynex Capital INC	0%	+6.38%	Add
10	LINE	Lineage INC	-0.5%	-20.38%	Trim
11	RC	Ready Capital CORP	-1%	—	Unchanged
12	AAT	American Assets Trust INC	-1.3%	-31.21%	Trim
13	RWT 7.75 06-15-27	Redwood Trust INC	-3.2%	-68.63%	Trim
14	PMT 8.5 06-01-29	Pennymac CORP	-8.4%	-24.98%	Trim
15	NSA	National Storage Affiliates	—	EXIT	Sold out
16	ARI	Apollo Commercial Real Estat	—	EXIT	Sold out
17	IVT	Inventrust Properties CORP	—	NEW	New buy
18	VNO	Vornado Realty Trust	—	NEW	New buy
19	DRH	Diamondrock Hospitality Co	—	NEW	New buy
20	ESRT	Empire State Realty Trust-a	—	NEW	New buy
21	RPT V9.875 PERP	Rithm Property Trust	—	NEW	New buy
22	KREF	Kkr Real Estate Finance Trus	—	NEW	New buy
23	FVR	Frontview Reit INC	—	EXIT	Sold out