Waterfall Asset Management, LLC

In its 13F for Q2 2026 (holdings as of June 30, 2026, filed August 12, 2026), Waterfall Asset Management, LLC reported 16 stock positions worth $118.3 million. Its top holding was Avalonbay Communities (AVB) at 11.0% of the portfolio, followed by Camden Property Trust (CPT, 10.8%) and Millrose Properties (MRP, 10.6%). Compared with Q1 2026, it opened 3 new positions, sold out of 4, added to 7 and reduced 5. The biggest buy was a new position in Franklin BSP Realty Trust (FBRT) and the biggest sale an exit from American Assets Trust (AAT).

Most Recent 13F
Q2 2026
Location
NEW YORK, NY
CIK
0001570717
Portfolio Value
$118.3M (Q2 2026)
SEC Filing
0001570717-26-000005 ↗ filed Aug 12, 2026

Holdings Value

0$50.0M$100.0M$150.0M Q1 2024: $38.1M Q1 2024 Q2 2024: $32.0M Q2 2024 Q3 2024: $33.3M Q3 2024 Q4 2024: $30.0M Q4 2024 Q1 2025: $22.6M Q1 2025 Q2 2025: $31.4M Q2 2025 Q3 2025: $63.7M Q3 2025 Q4 2025: $97.4M Q4 2025 Q1 2026: $111.0M Q1 2026 Q2 2026: $118.3M $118.3M Q2 2026

Holdings 16 stocks · $118.3M
AVB Avalonbay Communities Inc. 10.95% 68,650 $13.0M Reduce -8.7%
CPT Camden Property Trust 10.81% 111,704 $12.8M Reduce -15.2%
MRP Millrose Properties 10.61% 417,361 $12.5M Add +28.4%
BRSP Brightspire Capital Inc. 9.57% 2,076,586 $11.3M Add +41.0%
RITM Rithm Capital Corp. 8.95% 1,127,584 $10.6M Add +9.9%
PK Park Hotels & Resorts Inc. 8.31% 689,616 $9.8M Add +18.6%
RC Ready Capital Corp. 5.78% 3,908,983 $6.8M No change
APLE Apple Hospitality REIT Inc. 5.34% 375,944 $6.3M Reduce -59.8%
FBRT Franklin BSP Realty Trust Inc. 5.22% 758,000 $6.2M New
DRH Diamondrock Hospitality Co. 4.70% 456,804 $5.6M Add +9.3%
GNL Global Net Lease Inc. 4.31% 570,029 $5.1M Add +43.4%
SVC Service Pptys TR 4.11% 2,875,000 $4.9M New
DX Dynex Capital Inc. 3.58% 322,500 $4.2M Add +9.3%
ESRT Empire State Realty Trust-A 3.15% 689,535 $3.7M Reduce -3.5%
VNO Vornado Realty Trust 2.69% 81,000 $3.2M Reduce -52.5%
PMT Pennymac Mortgage Investment 1.90% 199,682 $2.3M New
Other holdings (2): bonds, preferreds, convertibles and warrants · $45.2M (not counted above)
SecurityClassShares / PrincipalValueChange
PENNYMAC CORP (PMT 8.5 06/01/29) NOTE 8.500% 6/0 · principal 41,022,000$41.7MReduce -30.9%
RITHM PROPERTY TRUST (RPT V9.875 PERP) 9.875 FXD-FLT C · principal 139,481$3.5MNo change

Total filed on the 13F, all lines: $163.4M.

Portfolio Sells Q1 2026 → Q2 2026
AAT American Assets Trust Inc. Sold out 0.00% −4.63
IVT Inventrust Properties Corp. Sold out 0.00% −4.53
APLE Apple Hospitality REIT Inc. Reduce -59.8% 5.34% −4.36
KREF KKR Real Estate Finance Trus Sold out 0.00% −2.75
LINE Lineage Inc. Sold out 0.00% −2.47
VNO Vornado Realty Trust Reduce -52.5% 2.69% −1.30
CPT Camden Property Trust Reduce -15.2% 10.81% −0.78
ESRT Empire State Realty Trust-A Reduce -3.5% 3.15% −0.19
AVB Avalonbay Communities Inc. Reduce -8.7% 10.95% −0.11

Portfolio Buys Q1 2026 → Q2 2026
FBRT Franklin BSP Realty Trust Inc. New 5.22% +5.22
SVC Service Pptys TR New 4.11% +4.11
PK Park Hotels & Resorts Inc. Add +18.6% 8.31% +2.79
MRP Millrose Properties Add +28.4% 10.61% +2.40
BRSP Brightspire Capital Inc. Add +41.0% 9.57% +2.14
PMT Pennymac Mortgage Investment New 1.90% +1.90
DRH Diamondrock Hospitality Co. Add +9.3% 4.70% +1.18
GNL Global Net Lease Inc. Add +43.4% 4.31% +0.95
DX Dynex Capital Inc. Add +9.3% 3.58% +0.18
RITM Rithm Capital Corp. Add +9.9% 8.95% +0.18

Notes & Other Activity Q1 2026 → Q2 2026
PENNYMAC CORP (PMT 8.5 06/01/29) NOTE 8.500% 6/0 · principal Reduce -30.9% 41,022,000 $41.7M
REDWOOD TRUST INC (RWT 7.75 06/15/27) NOTE 7.750% 6/1 · principal Sold out 2,743,000 $2.8Mbefore exit

Bonds, preferreds, convertibles and warrants; not part of the stock holdings or percentages above.

All Filings

QuarterPositions13F Reported ValueTop Holdings
Q2 2026 16$118.3MAVB, CPT, MRP, BRSP, RITM
Q1 2026 17$111.0MCPT, AVB, APLE, RITM, MRP
Q4 2025 15$97.4MCPT, AVB, APLE, RC, NSA
Q3 2025 14$63.7MRC, APLE, AAT, LINE, ELME
Q2 2025 8$31.4MRC, APLE, ELME, FPAYQ, GNL
Q1 2025 3$22.6MRC, FPAYQ, RITM
Q4 2024 3$30.0MRC, FPAYQ, RITM
Q3 2024 4$33.3MRC, FPAYQ, CRMT, RITM
Q2 2024Amended 1$32.0MRC
Q1 2024 2$38.1MRC, FPAYQ