Waterfall Asset Management, LLC
- SEC CIK
- 0001570717
- Latest filing
- Aug 12, 2026
The latest 13F from Waterfall Asset Management, LLC covers Q2 2026 (filed Aug 12, 2026): 18 long positions worth $163.4M. The top 10 holdings make up 80.2% of the portfolio, and the largest is Pennymac Corp at 25.5%. Livermore has 13 filings on Form 13F from this institution, going back to Q4 2023.
What changed in Q2 2026
Share counts compared with Q1 2026: how many positions were new, added to, reduced or sold out, and the biggest buys and sells. Dollar amounts are estimated at the quarter-end prices implied by the filing.
- New
- 3
- Est. +$13.3M
- Added
- 7
- Est. +$10.9M
- Reduced
- 5
- Est. −$16.6M
- Sold out
- 5
- Est. −$18.7M
Top 5 holdings
Share of this quarter's portfolio value
Biggest buys
New and added positions, by estimated amount bought
Largest weight increases
New and added positions, by percentage points of the portfolio gained
Biggest sells
Reduced and sold-out positions, by estimated amount sold
Largest weight decreases
Reduced and sold-out positions, by percentage points of the portfolio lost
Metrics
13F metrics for Q2 2026, computed only from the numbers in the filings. Definitions below.
- Portfolio value
- $163.4M
- −$15.4M (−8.6%) vs. prior quarter
- Positions
- 18
- −2 vs. prior quarter
- Top 10 concentration
- 80.2%
- Top 10 as share of value
- Turnover
- 14.1%
- Q2 2026, one quarter
- Average holding period
- 4.4 quarters
- Weighted by value
How these are calculated
- Portfolio value: the market value of all long positions in the 13F, as reported at quarter end, excluding options.
- Top 10 concentration: the combined value of the 10 largest positions as a share of portfolio value.
- Turnover: the smaller of this quarter's estimated purchases and estimated sales, divided by the average of this and last quarter's portfolio value. Estimates multiply the change in shares by the quarter-end price implied by the filing (market value divided by shares); new positions use this quarter's value and sold-out positions last quarter's. Only positions reported in shares count, and it is not calculated when the previous quarter was not filed.
- Average holding period: how many consecutive quarters each current position has been held (including this one; a quarter without the position or without a filing starts the count over), weighted by this quarter's value. Counting starts with the first 13F in Livermore (Q4 2023), so positions held before then are understated.
13F filings by quarter
11 quarters, going back to Q4 2023. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.
Peak $185.8M (Q4 2025)
| Quarter | Filed | Positions | Value | Top 3 holdings | Changes | Filing |
|---|---|---|---|---|---|---|
| Q2 2026 | Aug 12, 2026 | 18 | $163.4M | Pennymac CorpAVBCPT | vs. Q1 2026 | SEC |
| Q1 2026 | May 8, 2026 | 20 | $178.8M | Pennymac CorpCPTAVB | vs. Q4 2025 | SEC |
| Q4 2025 | Feb 13, 2026 | 17 | $185.8M | Pennymac CorpCPTAVB | vs. Q3 2025 | SEC |
| Q3 2025 | Nov 12, 2025 | 17 | $101.9M | Redwood Trust IncRCAPLE | vs. Q2 2025 | SEC |
| Q2 2025 | Aug 12, 2025 | 11 | $83.4M | Pennymac CorpRedwood Trust IncRC | vs. Q1 2025 | SEC |
| Q1 2025 | May 15, 2025 | 5 | $60.8M | Redwood Trust IncRCRPT.PC | vs. Q4 2024 | SEC |
| Q4 2024 | Feb 13, 2025 | 4 | $76.0M | Redwood Trust IncRCFPAY | vs. Q3 2024 | SEC |
| Q3 2024 | Nov 13, 2024 | 5 | $78.1M | Redwood Trust IncRCFPAY | vs. Q2 2024 | SEC |
| Q2 2024 | Aug 15, 2024Amended | 5 | $116.3M | Redwood Trust IncRCTwo HBRS Invt Corp | vs. Q1 2024 | SEC |
| Q1 2024 | May 14, 2024 | 5 | $145.7M | Redwood Trust IncTwo HBRS Invt CorpRC | vs. Q4 2023 | SEC |
| Q4 2023 | May 2, 2024Amended | 7 | $176.7M | Redwood Trust IncTwo HBRS Invt CorpRC | – | SEC |