Waterfall Asset Management, LLC

Portfolio Overview

Waterfall Asset Management, LLC disclosed 18 positions worth $163.4M in its Form 13F-HR for Q2 2026, followed by $AVB and $CPT. During the quarter the fund opened 3 new positions and exited 5 — including a new stake in $FBRT and a full exit from $AAT. The portfolio is most concentrated in Real Estate (66.3% of disclosed assets). All figures are sourced directly from Waterfall Asset Management, LLC’s Form 13F-HR filing with the SEC under CIK 1570717.

• PENNYMAC CORP - NOTE 8.500% 6/0

  —

  Quality

  $41.7M41,022,000 sh
• 

  AVALONBAY COMMUNITIES INC

  $AVB

  65.5#461

  Quality

  $13.0M68,650 sh
• 

  CAMDEN PROPERTY TRUST

  $CPT

  61.0#805

  Quality

  $12.8M111,704 sh
• 

  Millrose Properties, Inc.

  $MRP

  82.3

  Quality

  $12.5M417,361 sh
• 

  BrightSpire Capital, Inc.

  $BRSP

  32.7

  Quality

  $11.3M2,076,586 sh
• 

  Rithm Capital Corp.

  $RITM

  47.1

  Quality

  $10.6M1,127,584 sh
• 

  Park Hotels & Resorts Inc.

  $PK

  41.1

  Quality

  $9.8M689,616 sh
• 

  Ready Capital Corp

  $RC

  24.5

  Quality

  $6.8M3,908,983 sh
• 

  Apple Hospitality REIT, Inc.

  $APLE

  55.2

  Quality

  $6.3M375,944 sh
• 

  Franklin BSP Realty Trust, Inc.

  $FBRT

  58.2

  Quality

  $6.2M758,000 sh

Company	Quality	Value	Shares
PENNYMAC CORP - NOTE 8.500% 6/0	—	$41.7M	41,022,000
AVALONBAY COMMUNITIES INC$AVB	65.5#461	$13.0M	68,650
CAMDEN PROPERTY TRUST$CPT	61.0#805	$12.8M	111,704
Millrose Properties, Inc.$MRP	82.3	$12.5M	417,361
BrightSpire Capital, Inc.$BRSP	32.7	$11.3M	2,076,586
Rithm Capital Corp.$RITM	47.1	$10.6M	1,127,584
Park Hotels & Resorts Inc.$PK	41.1	$9.8M	689,616
Ready Capital Corp$RC	24.5	$6.8M	3,908,983
Apple Hospitality REIT, Inc.$APLE	55.2	$6.3M	375,944
Franklin BSP Realty Trust, Inc.$FBRT	58.2	$6.2M	758,000

Showing top 10 of 18 holdings.

Full Holdings — Waterfall Asset Management, LLC (Q2 2026)

All 18 disclosed positions from the latest Form 13F-HR, with quarter-over-quarter share changes and 13F Pro quality scores. Sourced from SEC EDGAR.

#	Ticker	Company	Value	Weight	QoQ	Quality
1	—	PENNYMAC CORP - NOTE 8.500% 6/0	$41.7M	25.5%	-31%	—
2	$AVB	AVALONBAY COMMUNITIES INC	$13.0M	7.9%	-9%	65.5
3	$CPT	CAMDEN PROPERTY TRUST	$12.8M	7.8%	-15%	61
4	$MRP	Millrose Properties, Inc.	$12.5M	7.7%	+28%	82.3
5	$BRSP	BrightSpire Capital, Inc.	$11.3M	6.9%	+41%	32.7
6	$RITM	Rithm Capital Corp.	$10.6M	6.5%	+10%	47.1
7	$PK	Park Hotels & Resorts Inc.	$9.8M	6.0%	+19%	41.1
8	$RC	Ready Capital Corp	$6.8M	4.2%	+0%	24.5
9	$APLE	Apple Hospitality REIT, Inc.	$6.3M	3.9%	-60%	55.2
10	$FBRT	Franklin BSP Realty Trust, Inc.	$6.2M	3.8%	NEW	58.2
11	$DRH	DiamondRock Hospitality Co	$5.6M	3.4%	+9%	56.3
12	$GNL	Global Net Lease, Inc.	$5.1M	3.1%	+43%	45.8
13	$SVC	Service Properties Trust	$4.9M	3.0%	NEW	35.7
14	$DX	DYNEX CAPITAL INC	$4.2M	2.6%	+9%	—
15	$ESRT	Empire State Realty Trust, Inc.	$3.7M	2.3%	-3%	41.8
16	—	RITHM PPTY TR INC - 9.875 FXD-FLT C	$3.5M	2.1%	+0%	—
17	$VNO	VORNADO REALTY TRUST	$3.2M	1.9%	-52%	50.1
18	$PMT	PennyMac Mortgage Investment Trust	$2.3M	1.4%	NEW	37.5