WATERFALL ASSET MANAGEMENT, LLC
CIK 0001570717
Annualised vol
5.078083%
Beta
0.130487
HHI
1058.824008
Top-10 weight
80.181516%
VaR 95%
0.414374%
VaR 99%
0.87362%
Max drawdown
16.259094%
Matched value
27.067277%
Returns of reported holdings
Loading returns…
Position changes vs prior quarter
What the latest 13F shows bought and sold against the quarter before, by share count.
| Ticker | Change | Shares now | Shares before | Share change % | Value now ($) |
|---|---|---|---|---|---|
| BRSP | ADDED | 2,076,586 | 1,472,790 | 41.0% | 11,317,394 |
| RITM | ADDED | 1,127,584 | 1,026,404 | 9.86% | 10,587,464 |
| PK | ADDED | 689,616 | 581,643 | 18.56% | 9,827,028 |
| RC | UNCHANGED | 3,908,983 | 3,908,983 | 0.0% | 6,840,720 |
| APLE | REDUCED | 375,944 | 935,516 | -59.81% | 6,319,619 |
| DRH | ADDED | 456,804 | 417,789 | 9.34% | 5,563,873 |
| GNL | ADDED | 570,029 | 397,609 | 43.36% | 5,096,059 |
| RWT | CLOSED OUT | 0 | 2,743,000 | -100.0% | 0 |
| LINE | CLOSED OUT | 0 | 83,600 | -100.0% | 0 |
Holdings (latest quarter)
| Ticker | Change | Issuer | Class | CUSIP | Value ($) | Weight % | Shares |
|---|---|---|---|---|---|---|---|
| - | PENNYMAC CORP | NOTE 8.500% 6/0 | 70932AAH6 | 41,690,232 | 25.51 | 4.1022E7 | |
| - | AVALONBAY CMNTYS INC | COM | 053484101 | 12,953,569 | 7.93 | 68650.0 | |
| - | CAMDEN PPTY TR | SH BEN INT | 133131102 | 12,788,991 | 7.83 | 111704.0 | |
| - | MILLROSE PPTYS INC | COM CL A | 601137102 | 12,541,698 | 7.67 | 417361.0 | |
| BRSP | ADDED | BRIGHTSPIRE CAPITAL INC | COM CL A | 10949T109 | 11,317,394 | 6.93 | 2076586.0 |
| RITM | ADDED | RITHM CAPITAL CORP | COM NEW | 64828T201 | 10,587,464 | 6.48 | 1127584.0 |
| PK | ADDED | PARK HOTELS & RESORTS INC | COM | 700517105 | 9,827,028 | 6.01 | 689616.0 |
| RC | UNCHANGED | READY CAPITAL CORP | COM | 75574U101 | 6,840,720 | 4.19 | 3908983.0 |
| APLE | REDUCED | APPLE HOSPITALITY REIT INC | COM NEW | 03784Y200 | 6,319,619 | 3.87 | 375944.0 |
| - | FRANKLIN BSP RLTY TR INC | COMMON STOCK | 35243J101 | 6,170,120 | 3.78 | 758000.0 | |
| DRH | ADDED | DIAMONDROCK HOSPITALITY CO | COM | 252784301 | 5,563,873 | 3.4 | 456804.0 |
| GNL | ADDED | GLOBAL NET LEASE INC | COM NEW | 379378201 | 5,096,059 | 3.12 | 570029.0 |
| - | SERVICE PPTYS TR | COM SH BEN INT | 81761L102 | 4,858,750 | 2.97 | 2875000.0 | |
| - | DYNEX CAP INC | COM | 26817Q886 | 4,227,975 | 2.59 | 322500.0 | |
| - | EMPIRE ST RLTY TR INC | CL A | 292104106 | 3,730,384 | 2.28 | 689535.0 | |
| - | RITHM PPTY TR INC | 9.875 FXD-FLT C | 38983D862 | 3,475,652 | 2.13 | 139481.0 | |
| - | VORNADO RLTY TR | SH BEN INT | 929042109 | 3,183,300 | 1.95 | 81000.0 | |
| - | PENNYMAC MTG INVT TR | COM | 70931T103 | 2,252,413 | 1.38 | 199682.0 |
Quarterly portfolios
| Period | Filed | Value ($) | Positions | Vol % | Beta | Max DD % |
|---|---|---|---|---|---|---|
| 2026-06-30 | 2026-08-12 | 163,425,241 | 18 | 5.078083 | 0.130487 | 16.259094 |
| 2026-03-31 | 2026-05-08 | 178,814,295 | 20 | 3.755258 | 0.094838 | 11.693967 |
| 2025-12-31 | 2026-02-13 | 185,843,781 | 17 | 2.795788 | 0.067335 | 8.29071 |
| 2025-09-30 | 2025-11-12 | 902,591,079 | 18 | 0.515889 | 0.009718 | 1.382492 |
| 2025-03-31 | 2025-05-15 | 189,425,417 | 6 | 1.943546 | 0.008401 | 5.722261 |
| 2024-12-31 | 2025-02-13 | 662,042,153 | 5 | 0.764835 | 0.002993 | 2.279041 |