Privacy Notice: US

This Privacy Notice (the “Policy”) states the practices of Waterfall Asset Management, LLC (“Waterfall” or “we” or “us”) as they pertain to the collection, use, storage, sharing and disclosure (collectively, “processing”) of personal information collected through our websites that link to this Policy (collectively, the “Site”) or in connection with events, conferences and other meetings or communications with you. Please note that this Policy does not apply to information collected from our investors in connection with our financial products and services. We address such practices in separate notices as required by applicable law and regulation.

If you are an individual resident in the European Economic Area (EEA) or the UK, please click here for the Privacy Notice applicable to you.

This Policy may be modified at any time. You should check this website periodically for updates.

Information We Collect

We collect information in multiple ways, including when you provide information directly to us, from third parties and when we passively collect information from or about you when you visit the Site, such as from your browser or device.

Information You Provide to Us
We may collect your personal information when you contact us, seek information from us, use the Contact Us form on our website, correspond with us via email, or communicate with us via phone or in person at events, conferences, office visits and other meetings. We will collect any information that you provide to us. For example, we may collect your name, email address, company name, phone number, location, and the contents of any message you send.

Information Collected from Third Parties
We may also receive your personal information from our affiliates, non-affiliated third parties and publicly accessible sources (e.g., the internet or social media).

Information Collected from Social Media and Other Content Platforms
In some cases, you may be able to access the Site via social media or other third-party platforms (such as LinkedIn and Facebook). By using these services to connect with us, you may allow us to access information from your social media profile, such as name, gender, and profile picture, consistent with your privacy settings or as allowed by you on that service. If you do not wish to have this information shared, do not use such third-party platforms to access our Site. Please note that your use of such third-party platforms is governed by those services’ privacy policies. We have no control of, and assume no liability for, the privacy practices of third-party services.

Information We Collect Through Automated Means
We also may collect information through automated and technical means.

  • Website Usage Information. As you browse the Site, we and our service providers (who are third party companies that work on our behalf to provide and enhance the Site) may use a variety of technologies, including cookies and similar tools, to assist in collecting information about how you interact with the Site. For example, our servers automatically record certain information in server logs. These server logs may include information such as your web request, IP address, browser type, domain name and settings, referring / exit pages and URLs, how you interact with links on the Site, pages viewed, mobile carrier, mobile device identifiers and information about the device you are using to access the Site and other such information.
  • Location Information. We may collect and process general information about the location of the device from which you are accessing the Site (e.g., approximate geographic location inferred from an IP address).
  • Cookies and Other Tracking Technologies. We and our service providers may also collect data about your use of the Site through Internet server logs and online tracking technologies, like cookies and/or tracking pixels. A web server log is a file where website activity is stored. A cookie is a small text file that is placed on your computer when you visit a website that enables us to: (a) recognize your computer; (b) understand the web pages of the Site you have visited; (c) recognize repeat users; (d) facilitate the ongoing access to and use of a website; (e) allow the Site to track usage behavior and compile aggregate data that will allow content improvements and targeted advertising; (f) enhance your user experience by delivering content and advertisements specific to your inferred interests; (g) perform searches and analytics; and (h) assist with security administrative functions.Tracking pixels (sometimes referred to as web beacons or clear GIFs) are electronic tags with a unique identifier embedded in websites, online ads and/or email, and that are designed to provide usage information like ad impressions or clicks, measure popularity of the Site and associated advertising, and to access user cookies. We and our service providers may also include Web beacons in email messages, newsletters and other electronic communications to determine whether the message has been opened and for other analytics, personalization and advertising. As we and our service providers adopt additional technologies, we may also gather additional information through other methods. You can change your settings to notify you when a cookie is being set or updated, or to block cookies altogether. Please consult the “Help” section of your browser for more information. However, note that by blocking any or all cookies, you may not have access to certain features or offerings on the Site.

How We Use Your Personal Information

We may use the Personal Information we collect from and about you for the following business and commercial purposes:

  • to provide the information, products and services you request;
  • to provide you with a personalized experience when you use this Site;
  • to provide you with effective customer service;
  • to maintain, provide, operate, and improve the Site;
  • to identify you by your device(s) and to match your device(s) with other browsers or devices you use for the purpose of providing relevant and easier access to content and other operational purposes;
  • to contact you with information and notices related to your use of this Site;
  • to contact you with special offers and other information we believe will be of interest to you (in accordance with any privacy preferences you have expressed to us);
  • to invite you to participate in surveys and provide feedback to us (in accordance with any privacy preferences you have expressed to us);
  • to prevent or address technical or security issues, including bug detection and fraudulent activity;
  • to engage in internal analytics, research, auditing, and reporting;
  • to comply with the law and protect the safety, rights, property, or security of the Site and the general public;
  • to enforce the legal terms that govern your use of the Site; and
  • other purposes for which we notify you.

Please note that we may combine information that we collect from or about you (including automatically collected information) with information we obtain about you from our affiliates and/or non-affiliated third parties, and use such combined information in accordance with this Policy.

We may aggregate and/or de-identify information we collect and may use aggregate or de-identified information for any purpose, including without limitation for research and analytics, and may also share such data with any third parties, including partners, affiliates, subsidiaries, service providers, and others.

How We Share Your Personal Information

We may disclose and/or share your information as described below and elsewhere in this Policy, including with:

  • Vendors. We may provide access to or share your information with select entities that use the information to perform services on our behalf, such as analytics and research providers, data storage providers, web hosting providers, and fraud prevention services.
  • Affiliates and Subsidiaries. We may share the information we collect with our affiliates and subsidiaries.
  • Third Parties Designated by You. If you direct us to share information with a third-party partner or other entity or as necessary to provide you with a service you request, then we may share your personal information.
  • Business Transactions. We may disclose your personal information in connection with the evaluation of or entering into a corporate transaction where all or a portion of our business or assets (including any associated lists containing your personal information) change ownership, are sold, or are transferred.
  • Third Parties for Legal Purposes. We may disclose your personal information (i) in connection with any legal investigation; (ii) to comply with relevant laws or to respond to subpoenas or warrants served; (iii) to protect or defend the rights or property of Waterfall or users of the Site; and/or (iv) to investigate or assist in preventing any violation or potential violation of the law, this Policy, or any associated Terms of Use.

How We Protect Your Information

We maintain physical, electronic and procedural safeguards to protect your personal information. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure.

Notice Concerning Do Not Track

Do Not Track (“DNT”) is a privacy preference that users can set in certain web browsers. At this time, we do not recognize or respond to DNT signals. You can learn more about Do Not Track here.

California Collection Notice

If you are a California resident, California law requires us to provide you with some additional information regarding how Waterfall collects, uses, and shares your “personal information” (as defined in the California Consumer Privacy Act (“CCPA”)). Please note the CCPA’s scope excludes personal information covered by certain financial services-specific privacy laws, including the Gramm-Leach-Bliley Act (GLBA) and California Financial Information Privacy Act (FIPA). Our separate Privacy Notice that is provided to investors applies to this excluded data and has been provided to our fund investors.

Depending on how you interact with our Site and services, we may collect the following categories of information from you, in addition to the information we collect in connection with providing financial products and services:

Identifiers (such as your name and contact information, IP address, and mobile device identifiers);

  • We may share identifiers with service providers, including Google Analytics.
  • Our business and commercial purposes for collecting and sharing this information are to operate our website, to communicate with you, and for legal and everyday business purposes.

Internet usage information (such as browsing history and use and interaction with our website).

  • We may share internet usage information with service providers, including Google Analytics.
  • Our business and commercial purposes for collecting and sharing this information are to operate our website, to communicate with you, and for legal and everyday business purposes.

This information is used and disclosed for the various business and commercial purposes and to the categories of third parties described in the “How We Use Your Personal Information” and “How We Share Your Personal Information” sections of this Policy, above.

Sale of Personal Information

Please note that the CCPA lists certain obligations for businesses that “sell” personal information to third parties and gives California residents the right to opt out of the “sale” of personal information. We do not engage in such activity and have not engaged in such activity in the past twelve months. We may share certain information and allow parties to collect certain information about your activity, for example through cookies. We explain our use of cookies and how you can control cookies above.

Your California Privacy Rights

If you are a California resident, you may have certain rights.
California law may permit you to request that we:

  • Provide you with the categories of personal information we have collected or disclosed about you in the last twelve months; the categories of sources of such information; the business or commercial purpose for collecting or selling your personal information; and the categories of third parties with whom we shared personal information.
  • Provide you with access to and/or a copy of certain personal information we hold about you.
  • Delete certain personal information we have about you.

You may have the right to receive information about the financial incentives that we offer to you for your personal information (if any). You also have the right not to be discriminated against (as provided for in applicable law) for exercising your rights. Please note that certain information may be exempt from such requests under California law. For example, we may need certain information to provide services to you or for compliance with applicable law. If you ask us to delete certain information, you may no longer be able to access or use some of our services.

Shine the Light Disclosure: The California “Shine the Light” law gives residents of California the right under certain circumstances to request information from us regarding the manner in which we share certain categories of personal information (as defined in the Shine the Light law) with third parties for their direct marketing purposes. We do not share your personal information with third parties for their own direct marketing purposes.

If you would like further information regarding your legal rights under California law or would like to exercise any of them, please contact us using the information in the Contact Us section below. You will need to provide additional information to verify your identity before we fulfill your request. You can also designate an authorized agent to make a request on your behalf. To do so, you must provide us with written authorization or power of attorney, signed by you, for the agent to act on your behalf. You will still need to verify your identity directly with us.

Contact Us

If you have questions about this Policy, please contact us at (212) 257-4600 or at the toll-free number (888) 275-2094, or write to us at Waterfall Asset Management, LLC 1251 Avenue of the Americas, 50th Floor, New York, NY 10020.

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Privacy Notice: UK & EEA

This notice is intended to inform you of how Waterfall processes your personal data during and after your dealings with us. This notice applies only if the General Data Protection Regulation and other data privacy laws in the European Economic Area (“EEA”) and the United Kingdom (“UK”) (such regulation and laws, collectively, the “GDPR”) apply to such processing. We recognise the importance of protecting the privacy of your personal data and the need to process such data in accordance with the GDPR.
You may wish to use the table of contents below to navigate to those sections that are most relevant to you.

You may wish to use the table of contents below to navigate to those sections that are most relevant to you.

1. Application of this notice

This notice applies to you if you are an individual resident in the EEA or the UK who:

  • visits our websites;
  • visits our offices in the Republic of Ireland or the UK;
  • is an obligor (borrower) of an organization to which we provide investment management services;
  • is employed or otherwise engaged by our service providers or professional advisors; or we deal with in connection with transactions or potential transactions involving us, or funds or special purpose vehicles that we manage.

If you are an organization (for example, a fund, special purpose vehicle, Creditor, business associate, service provider, professional advisor or investor), we would ask that you provide this notice to your obligors (borrowers), customers, or directors, officers, employees, partners and other staff who have or have had dealings with us on your behalf.

This notice should be read along with any additional notice that we provide when we collect or otherwise process your personal data. We may update this notice at any time.

If we make a material change to this notice, you will be provided with appropriate notice in accordance with applicable legal requirements.

If you are an individual resident in the United States, please click here for the Privacy Notice applicable to you.

2. WHO IS YOUR WATERFALL DATA CONTROLLER AND HOW MAY YOU CONTACT US?

Waterfall”, “we”, “us” or “our” refers to the relevant Waterfall entity with which you deal as set out in the table below. This entity is the primary controller of your data and is responsible for providing you with this notice under the GDPR.

Country of your dealings Primary controller Address
Republic of Ireland Waterfall Asset Management (Ireland) Designated Activity Company 32 Molesworth Street, Dublin 2, D02Y512
United Kingdom Waterfall Asset Management (UK) LLP 16 Berkeley Street
London, W1J 8DZ
United States Waterfall Asset Management, LLC 1251 Avenue of Americas, 50th Floor
New York, NY 10020

If you have any enquiries, requests or concerns regarding this notice or the processing of your personal data, or if you wish to exercise any of your rights under the GDPR as set out in Section 13 below, please contact your primary controller as set out above or via e-mail (Kenneth Nick knick@waterfallam.com). You can also lodge a complaint with the national supervisory authority having competence in the UK or your EEA country of residence.

3. WATERFALL’S APPROACH TO DATA PROTECTION

Consistent with the GDPR, Waterfall will process your personal data:

  • lawfully, fairly, and transparently;
  • only for valid purposes that notified to you and thereafter not used for incompatible purposes;
  • insofar as it is relevant to the above purposes;
  • only for such period as necessary for the above purposes;
  • in a manner that is accurate and to the extent reasonable, keep it up to date; and
  • securely.

4. WHAT PERSONAL DATA DOES WATERFALL PROCESS AND WHY DOES IT DO SO?

A. Individuals who visit Waterfall’s websites

What personal data of yours do we process? Why do we process your personal data?
• Name and email address; and
• all other information you choose to provide to Waterfall in the Subject and Message of the communication.
It is in our legitimate interest to process such data in order to respond to your queries, complaints or other communications.

We will have obtained your personal data from you. We may also process your personal data in other ways that are set out in Section 5 below.

Our websites are not intended for children.

B. Individuals who visit Waterfall’s offices in Ireland and the UK

If you visit our offices in Ireland or the UK, we may collect and otherwise process your personal data as follows:

What personal data of yours do we process? Why do we process your personal data?
• Name, organizational affiliation and contact information (including address and e-mail address) when you complete the visitors book; and
• Video images from CCTV when you enter and exit our offices.
It is in our legitimate interest to process such data in order to keep our offices secure.

We will have obtained your personal data from you, or from the organization with which you are affiliated (for example, your employer). We may also process your personal data in other ways that are set out in Section 5 below.

C. Individuals who are obligors (borrowers) of organizations to which we provide investment management services

If you are an obligor (borrower) of a fund, special purpose vehicle or other organization (collectively, “Creditor”) to which we provide investment management services, we may collect and otherwise process your personal data as follows:

What personal data of yours do we process? Why do we process your personal data?
• Name, organizational affiliation and contact information (including address and e-mail address);
• social security/national ID;
• nationality;
• date of birth;
• gender;
• photographs;
• personal guarantees;
• bank statements; and
• all other information provided to the Creditor or its data processors (including in your communications with them).
It is in our legitimate interest to process such data in order to:

• advise the Creditor whether to initially lend to you or to make any additional loans to you;
• advise the Creditor regarding administering your loans, including making any repayments;
• advise the Creditor regarding recovering any debt you owe;
• maintain our records and communicate with you;
• perform any anti-money laundering, know your customer (“KYC”) and anti-bribery diligence; and
• search credit and fraud prevention agencies’ records.
Limited health data concerning you that you voluntarily disclosed to the Creditor or its data processors in connection with your financial circumstances. We will seek your explicit consent to process such data.
Data concerning your criminal convictions or offences if this is revealed to us when we perform anti-money laundering, KYC or background checks or we receive such data from your Creditor. It may be necessary for us to process such data for us to comply with our legal obligations, including to perform anti-money laundering, KYC and background checks.

If it is not necessary for us to process such data in order to comply with our legal obligations, then we will ask for your consent to process such data.

We will have obtained your personal data from you, your Creditor (including its processors), or publicly-available sources. We also process your personal data in other ways that are set out in Section 5 below.

D. Individuals who are employed or engaged by our service providers or professional advisors;

If you are a service provider or professional advisor engaged by Waterfall, or if you are employed or otherwise engaged by a service provider or professional advisor to Waterfall, we may collect and otherwise process your personal data as follows:

What personal data of yours do we process? Why do we process your personal data?
Name, organizational affiliation and contact information (including address and e-mail address). It is in our legitimate interest to process such data in order to:• organize calls and meetings between you and our staff, and for us to conduct our business; and
• manage our relationships with service providers and professional advisors (for example, to maintain records of goods or services that we receive).It may also be necessary for us to process such data in order to:

• perform, or to enter into, contracts with such providers and advisors (for example, to process payment details); and
• comply with our legal obligations, including to perform conflicts, anti-money laundering, KYC and background checks.

Identity and nationality information (for example, details contained in your passport copies or bank statements). • It may be necessary for us to process such data in order to comply with our legal obligations, including to perform conflicts, anti-money laundering, KYC and background checks.
• If it is not necessary for us to process such data in order to comply with our legal obligations, then we will ask for your consent to process such data.
Data concerning your criminal convictions or offences if this is revealed to us when we perform anti-money laundering, KYC or background checks. • It may be necessary for us to process such data in order to comply with our legal obligations, including to perform anti-money laundering, KYC and background checks.
• If it is not necessary for us to process such data in order to comply with our legal obligations, then we will ask for your consent to process such data.

We may also process your personal data in other ways that are set out in Section 5 below.

We will have obtained your personal data from you, or from the organization with which you are affiliated (for example, your employer). With respect to data concerning your criminal convictions or offences, we may obtain this data from third party sources (for example, disclosure and barring check databases).

E. Individuals we deal with in connection with transactions or potential transactions involving us, or funds or special purpose vehicles that we manage.

If you are involved in a transaction or potential transaction involving us, or funds or special purpose vehicles that we manage, for example as:

  • an investor or potential investor; or
  • a shareholder, partner, director, officer, employee, or consultant in an organization that is also involved, whether as target, acquirer, parent, affiliate, service provider or professional advisor;

then we may collect and otherwise process your personal data as follows:

What personal data of yours do we process? Why do we process your personal data?
• Name, organizational affiliation and contact information (including address and e-mail address);
• professional opinions and judgements;
• photographs;
• log-in details (for example, for virtual data rooms);
• financial and bank account details;
• identity and nationality information (for example, passport copy or bank statements);
• third party referees (other than data concerning your criminal convictions or offences);
• results of any due diligence performed (other than data concerning your criminal convictions or offences); and
It is in our legitimate interest to process such data in order to:
• organize calls and meetings between you and our staff, and for us to conduct our business;
• evaluate, pursue and complete transactions and potential transactions involving us;
• maintain records of investments to operate our business;
• conduct trade and transaction reporting;
• administer transactions that have been entered into; and
• bill and invoice.
It may also be necessary for us to process such data in order to comply with our legal obligations to:
• perform conflicts, anti-money laundering, KYC and background checks;
• results of any anti-money laundering, KYC or background checks (other than data concerning your criminal convictions or offences). • maintain records of investments;
• conduct trade and transaction reporting;
• administer transactions that have been entered into; and
• bill and invoice properly.
• Third party referees that reveal data concerning your criminal convictions or offences;
• Results of any due diligence that reveal data concerning your criminal convictions or offences; and
• Results of any anti-money laundering, KYC or background checks that reveal data concerning your criminal convictions or offences.
It may be necessary for us to process such data in order to comply with our legal obligations including to perform conflicts, anti-money laundering, KYC and background checks.

If it is not necessary for us to process such data in order to comply with our legal obligations, then we will ask for your consent.

We will have obtained your personal data from you, or from the organization with which you are affiliated (for example, your employer). With respect to data concerning your criminal convictions or offences, we may be revealed this data by third party sources (for example, disclosure and barring check databases).

We also process your personal data in other ways that are set out in Section 5 below.

5. DOES WATERFALL PROCESS YOUR PERSONAL DATA FOR ANY OTHER PURPOSES?

Yes. In addition to the purposes that are set out above, we also process your personal data to the extent it is in our legitimate interest to do so in order to:

  • train our staff;
  • identify and prevent fraud and other unlawful activity;
  • keep our information systems secure;
  • obtain advice from our professional advisors, including accountants, legal advisers and other consultants;
  • prepare for, respond to, and obtain advice in connection with, enquiries, investigations, disputes or proceedings; and
  • prepare for, and participate in, transactions involving us, and the funds, special purpose vehicles, and organizations to which we provide investment management services.

We may also process your personal data to the extent necessary to comply with our statutory and other legal obligations.

Waterfall will only use your personal data for the purposes for which we collected it or as described in this notice. However, we may use it for a different purpose if we reasonably consider that we need to use it for such purpose and that such purpose is compatible with the original purpose. If the proposed purpose is not compatible with the original purpose, we will inform you of this and we will convey the basis that we believe allows us to make such use of your data.

Importantly, we may process your personal data without your knowledge or your consent if we are required or allowed to do so under applicable law.

Where you have provided consent, you may withdraw your consent at any time, without affecting the lawfulness of the processing that was carried out prior to withdrawing your consent. To withdraw your consent, please contact us as set out in Section 2.

6. DOES WATERFALL PROCESS “SPECIAL” CATEGORIES OF PERSONAL DATA, OR PERSONAL DATA RELATING TO CHILDREN, OR DATA CONCERNING CRIMINAL CONVICTIONS AND OFFENCES?

The GDPR provides additional protections for so-called “special categories” of personal data (for example, data concerning an individual’s health, or racial or ethnic background), and data concerning criminal convictions and offences. With respect to individuals to whom this notice applies, Waterfall

does not collect any “special categories” of personal data, except that we may process data concerning health of certain obligors in the limited circumstances as set out in this notice.

We may process data concerning your criminal convictions and offences if this is revealed to us in the limited circumstances that are set out in this notice. We do not knowingly process personal data relating to children.

7. DO WE UNDERTAKE AUTOMATED DECISION-MAKING AND PROFILING USING YOUR PERSONAL DATA?
No.
8. DOES WATERFALL COLLECT AND PROCESS COOKIE DATA?
No.
9. TO WHOM DOES WATERFALL TRANSFER OR MAKE AVAILABLE YOUR PERSONAL DATA?
We transfer and could make available your personal data to:

  • our other affiliates;
  • unds or special purpose vehicles that we manage;
  • third-party service providers that process personal data for Waterfall;
  • business associates (for example, investors, lenders or financial intermediaries) who are involved in, or considering being involved in, transactions where we are advising or we are otherwise involved;
  • professional advisors (for example, accountants, lawyers or other consultants)
  • independent public accountants and auditors, authorized representatives of internal control functions;
  • third parties that are considering acquiring or that acquire all or part of our assets or stock, or that succeed us in carrying on all or part of our business or services provided to or by us; and
  • regulators and other governmental agencies inside and outside the EEA or the UK.

If you are an obligor (borrower) to whom this privacy notice applies, we may also transfer and make available your personal data to your Creditor.

10. DOES WATERFALL TRANSFER YOUR PERSONAL DATA OUTSIDE THE EEA OR THE UK?

Given the global nature of our activities, we may, for the above listed purposes, transfer your personal data to other Waterfall affiliates, or to other recipients as referred to above, that are located in the UK or countries outside the EEA and UK (including in the U.S.) Some of these countries may be considered by the European Commission or the UK as not providing an adequate level of data protection.

Your personal data will only be transferred from the EEA or the UK to a recipient in a country that is not considered to provide an adequate level of data protection when the transfer is in compliance with applicable Data Protection Requirements. We use European Commission-approved Standard Contraction Clauses and other data protection contract language or a derogation under Article 49(1) of the GDPR for transfers of your personal data to such countries.

11. HOW LONG DOES WATERFALL RETAIN YOUR PERSONAL DATA?

We will retain your information for the period necessary to fulfill the purposes outlined in this notice unless a longer retention period is required or permitted by law. Information may persist in copies made for backup and business continuity purposes for additional time.

12. DOES WATERFALL KEEP YOUR PERSONAL DATA SECURE?

We have implemented technical and organizational measures that are intended to prevent the unlawful or unauthorized processing of your personal data, and protect against unauthorized access or disclosure, the accidental loss, destruction or alteration of, or damage to, your personal data.

13. WHAT RIGHTS DO YOU HAVE UNDER THE GDPR?

You have certain rights under the GDPR that you may exercise (subject to limitations and/or restrictions), including the right to:

  • request access to, rectification or erasure of any personal data we hold about you;
  • seek to restrict the processing of your personal data;
  • object to the processing of any personal data we hold about you;
  • prevent the processing of your data for direct-marketing purposes
  • request a copy of your data in a portable format;
  • object to any decision that significantly affects you being taken solely by a computer or other automated process;
  • obtain a copy of any European Commission-approved Model Contracts that we use for data transfers to countries that are not regarded by the Commission as providing an adequate level of data protection; and
  • lodge a complaint with the national supervisory authority having competence in the UK or your EEA Member State of residence.

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MODERN SLAVERY ACT

WATERFALL ASSET MANAGEMENT, LLC

UK MODERN SLAVERY ACT DISCLOSURE STATEMENT 2021

This disclosure statement (the “Statement”) has been published pursuant to section 54(1) of the UK Modern Slavery Act 2015 (“the Act”) and is made on behalf of Waterfall Asset Management, LLC, (“WAM”, the “Firm”, “we” or “our”). This Statement sets out the steps taken by the Firm’s UK operations during the financial year ending December 31, 2020. In accordance with the Act, this Statement is published on the Firm’s website.

WAM is committed to high standards of ethical conduct and compliance with applicable laws. It is our expectation that our suppliers also conduct themselves in this manner. Our commitment to ethical conduct and compliance with laws includes compliance with laws prohibiting human trafficking and slavery. The Act defines “modern slavery” as including the offences of “slavery, servitude and forced or compulsory labour” as well as “human trafficking”.

All references to “employees” hereinafter refer to all officers, partners, consultants and employees of the Firm.

Business structure and supply chain

WAM is an institutional asset manager focused on structured credit (asset-backed securities and loans) and private equity investments. WAM provides a range of financial services to its client base. Given the nature of our business, we consider the risk of modern slavery and human trafficking within our supply chain to be low.

To date, the Firm has not received any reports of incidents relating to modern slavery or human trafficking in our supply chains.

Culture and Governance

WAM is committed to ensuring that its operations are free from modern slavery as defined in the Act. All employees are expected to adhere to strict internal policies (as detailed below) which encourage them to carry out their responsibilities with integrity and monitor WAM’s compliance with the applicable rules and regulations.

WAM is registered as an investment adviser with the U.S. Securities and Exchange Commission and through a subsidiary in the UK, authorised and regulated by the Financial Conduct Authority. Therefore, it is subject to both institutions’ rules, which require and regulate on good culture and governance across our business, and our employees and customers.

Relevant policies

We are committed to ensuring that our supply chains do not rely on or benefit from slavery or human trafficking. To this end, we have adopted an internal anti-slavery policy, which is applicable to all our employees. It sets out our commitment to acting ethically and with integrity in our business dealings and relationships to ensure modern slavery is not taking place anywhere in our own business or in any of our supply chains. It requires our employees to play an active role in the prevention, detection and reporting of modern slavery in any part of our business or supply chain.

In addition to this anti-slavery policy, our employees are required to comply with our internal Code of Ethics (the “Code”), which stipulates that our employees must always act with dignity and integrity and in an ethical manner, including when dealing with third-party service providers. The Code also permits the Firm to extend the applicability of the Code to certain non-employees, such as consultants or service providers, thereby providing us with the ability to mandate compliance by these third-party suppliers to our Code should it be required.

Our employees are also required to adhere to the WAM Compliance Manual (the “Manual”), which further reflects our commitment to acting ethically and with integrity in our business dealings. Pursuant to the Manual, WAM seeks to provide all its employees with (i) an awareness of the requirements of the laws, rules and regulations governing our activities, and (ii) the procedural means to ensure that our operations meet those requirements. This is in addition to the initial training and continuing education provided to our employees to allow them to understand and meet applicable requirements of the Manual (and also of the Code), which is one of the responsibilities of our Chief Compliance Officer (the “CCO”).

Reporting

WAM has a whistleblowing mechanism in place, which is consistent with our commitment to encouraging employees to assist us in ensuring we comply with all applicable rules and regulations. Pursuant to the Manual, all employees are encouraged to report to the CCO suspected violations of the rules and regulations applicable to the Firm (including suspected violations of the Manual). Employees do not need prior authorization to make any such reports or disclosures, and do not need to notify WAM or any person or entity affiliated with it that they have made such reports or disclosures. We believe that this whistleblowing policy helps encourage a culture of speaking out at the Firm, and aids us in monitoring our compliance with the applicable rules and regulations (including the Act).

This Statement has been approved by the managing members of the Firm.

March 1, 2021

 

/s/Thomas Capasse
Thomas Capasse, for and on behalf of Waterfall Asset Management, LLC.

 

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TERMS AND CONDITIONS

The effective date of this Terms and Conditions Agreement (the “Terms and Conditions”) is May 21, 2013.

A. Your Acceptance of These Terms and Conditions

Please take a few minutes to review, understand and accept the Terms and Conditions before using www.waterfallam.com (the “Site”). By using the Site, you agree to these Terms and Conditions. If you do not agree to these Terms and Conditions, please do not use the Site.

B. Your Acceptance of Our Privacy Policy

By agreeing to these Terms and Conditions, you agree to the terms of our Privacy Policy. Before using this Site, please carefully review our Privacy Policy.

C. Your Consent to Other Agreements

When you sign up to use a special feature of this Site, you may be asked to expressly consent to special terms, for example, by checking a box or clicking on a button marked, “I agree.” This separate agreement will supplement or amend these Terms and Conditions, but only with respect to the matters governed by such separate agreement.

D. Ownership of This Site and Its Content/Copyright Notice

This Site and its content are protected under applicable intellectual property and other laws. All Content and related intellectual property rights are the property of Waterfall Asset Management, LLC (“WATERFALL”) or its licensor. Except as otherwise provided herein, no content may be used, copied, reproduced, distributed, republished, downloaded, modified, displayed, posted or transmitted in any form or by any means without our express prior written permission.

E. Trademark Notice

The names and logos of WATERFALL products and services; all graphics; all button icons; and all trademarks, service marks and logos appearing within this Site, unless otherwise noted, are trademarks (whether registered or not), service marks and/or trade dress of WATERFALL (the “Marks”). All other trademarks, product names, company names, logos, service marks and/or trade dress mentioned, displayed, cited or otherwise indicated within this Site (the “Third Party Marks”) are the property of their respective owners. You are not authorized to display or use the Marks or the Third Party Marks in any manner without prior written permission.

F. Your Obligations

To the extent that you provide personal information to WATERFALL, you agree that it will be true, accurate, current, and complete and that you will update all personal information as necessary.

To the extent that you create an account through this Site, you understand and agree that any account you create, including your username and password, are personal to you and may not be used by anyone else. You are responsible for maintaining the confidentiality of your username and password and are fully responsible for all activities that occur under your username and password by you or by anyone else using your username and password, whether or not authorized by you. You agree to change your password immediately if you believe that your password may have been compromised or used without authorization. You also agree to immediately inform us of any apparent breaches of security such as loss, theft or unauthorized disclosure or use of your username or password by contacting us.

You agree to use this Site in a manner consistent with any and all applicable rules and regulations. You agree not to upload or transmit through this Site any computer viruses, trojan horses, worms or anything else designed to interfere with, interrupt or disrupt the normal operating procedures of a computer. Any unauthorized modification, tampering or change of any information, or any interference with the availability of or access to this Site is strictly prohibited. We reserve all rights and remedies available to us.

G. Disclaimers

WE MAKE NO REPRESENTATIONS OR WARRANTIES WITH RESPECT TO THIS SITE OR ITS CONTENT, OR ANY PRODUCT OR SERVICE AVAILABLE ON OR PROMOTED THROUGH THIS SITE. THIS SITE AND ALL OF ITS CONTENT ARE PROVIDED ON AN “AS IS,” “AS AVAILABLE” BASIS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE FULLEST EXTENT PERMITTED BY LAW, WATERFALL, ITS AFFILIATES, AND THEIR SERVICE PROVIDERS AND LICENSORS DISCLAIM ANY AND ALL REPRESENTATIONS AND WARRANTIES, WHETHER EXPRESS, IMPLIED, ARISING BY STATUTE, CUSTOM, COURSE OF DEALING, COURSE OF PERFORMANCE OR IN ANY OTHER WAY, WITH RESPECT TO THIS SITE, ITS CONTENT, AND ANY PRODUCTS OR SERVICES AVAILABLE OR PROMOTED THROUGH THIS SITE. WITHOUT LIMITING THE GENERALITY OF THE FOREGOING, WATERFALL, ITS AFFILIATES, AND THEIR SERVICE PROVIDERS AND LICENSORS DISCLAIM ALL REPRESENTATIONS AND WARRANTIES (A) OF TITLE, NON-INFRINGEMENT, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE; (B) RELATING TO THE SECURITY OF THIS SITE; (C) THAT THE CONTENT OF THIS SITE IS ACCURATE, COMPLETE OR CURRENT; OR (D) THAT THIS SITE WILL OPERATE SECURELY OR WITHOUT INTERRUPTION OR ERROR.

WE DO NOT REPRESENT OR WARRANT THAT THIS SITE, ITS SERVERS, OR ANY TRANSMISSIONS SENT FROM US OR THROUGH THIS SITE WILL BE FREE OF ANY HARMFUL COMPONENTS (INCLUDING VIRUSES).

WE DO NOT MAKE ANY REPRESENTATIONS OR WARRANTIES AGAINST THE POSSIBILITY OF DELETION, MIS-DELIVERY OR FAILURE TO STORE COMMUNICATIONS, PERSONALIZED SETTINGS, OR OTHER DATA. YOU ACCEPT THAT OUR SHAREHOLDERS, OWNERS, OFFICERS, DIRECTORS, EMPLOYEES AND OTHER REPRESENTATIVES SHALL HAVE THE BENEFIT OF THIS CLAUSE.

APPLICABLE LAW MAY NOT ALLOW THE LIMITATION OF CERTAIN WARRANTIES, SO ALL OR PART OF THIS DISCLAIMER OF WARRANTIES MAY NOT APPLY TO YOU.

H. Limitation of Liability

TO THE FULLEST EXTENT PERMITTED BY APPLICABLE LAWS WE, ON BEHALF OF OUR DIRECTORS, OFFICERS, MANAGERS, EMPLOYEES, AGENTS, SUPPLIERS, LICENSORS AND SERVICE PROVIDERS, EXCLUDE AND DISCLAIM LIABILITY FOR ANY LOSSES AND EXPENSES OF WHATEVER NATURE AND HOWSOEVER ARISING INCLUDING, WITHOUT LIMITATION, ANY DIRECT, INDIRECT, GENERAL, SPECIAL, PUNITIVE, INCIDENTAL OR CONSEQUENTIAL DAMAGES; LOSS OF USE; LOSS OF DATA; LOSS CAUSED BY A VIRUS; LOSS OF INCOME OR PROFIT; LOSS OF OR DAMAGE TO PROPERTY; CLAIMS OF THIRD PARTIES; OR OTHER LOSSES OF ANY KIND OR CHARACTER, EVEN IF WE HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR LOSSES, ARISING OUT OF OR IN CONNECTION WITH THE USE OF THIS SITE. YOU ASSUME TOTAL RESPONSIBILITY FOR ESTABLISHING SUCH PROCEDURES FOR DATA BACK UP AND VIRUS CHECKING AS YOU CONSIDER NECESSARY. THIS LIMITATION OF LIABILITY APPLIES WHETHER THE ALLEGED LIABILITY IS BASED ON CONTRACT, TORT (INCLUDING NEGLIGENCE), STRICT LIABILITY OR ANY OTHER BASIS.

IF ANY PART OF THIS LIMITATION ON LIABILITY IS FOUND TO BE INVALID OR UNENFORCEABLE FOR ANY REASON, THEN THE AGGREGATE LIABILITY OF THE RELEASED PARTIES FOR LIABILITIES THAT OTHERWISE WOULD HAVE BEEN LIMITED SHALL NOT EXCEED TEN DOLLARS ($10.00).

I. Links to Third-Party Websites

This Site contains links to other websites operated by nonaffiliated organizations. Because we have no control over such third-party websites, we are not responsible for the availability of those websites and do not endorse and are not responsible or liable for any content, advertising, services, products, or other materials on or available from such websites or any damage or loss caused or alleged to be caused thereby. These Terms and Conditions do not apply to your use of third-party websites.

J. Modification and Discontinuation

We reserve the right at any time to modify, edit, delete, suspend or discontinue, temporarily or permanently this Site (or any portion thereof) and/or the information, materials, products and/or services available through this Site (or any part thereof) with or without notice. You agree that we shall not be liable to you or to any third party in such event.

K. Waiver

Our failure at any time to require performance of any provision of these Terms and Conditions or to exercise any right provided for herein will not be deemed a waiver of such provision or such right. All waivers must be in writing. Unless the written waiver contains an express statement to the contrary, no waiver by WATERFALL of any breach of any provision of these Terms and Conditions or of any right provided for herein will be construed as a waiver of any continuing or succeeding breach of such provision, a waiver of the provision itself, or a waiver of any right herein.

L. Severability

If any provision of these Terms and Conditions is held by a court of competent jurisdiction to be contrary to law, such provision will be changed and interpreted so as to best accomplish the objectives of the original provision to the fullest extent allowed by law and the remaining provisions of these Terms and Conditions will remain in full force and effect.

M. Governing Law, Jurisdiction and Venue

These Terms and Conditions will be governed under the laws of the State of New York without regard to its conflicts of law provisions. All actions or proceedings arising out of or relating to these Terms and Conditions will be venued exclusively in the State of New York. You hereby irrevocably consent and submit to the personal jurisdiction of said courts for all such purposes. However, we retain the right to bring legal proceedings in any jurisdiction.

N. Indemnity

You agree to defend, indemnify and hold WATERFALL, its subsidiaries, and affiliates, and their respective officers, agents, partners and employees, harmless from any loss, liability, claim, or demand, including reasonable attorneys’ fees, made by any third party due to or arising out of your use of this Site in violation of these Terms and Conditions and/or arising from a breach of these Terms and Conditions and/or any breach of your representations and warranties set forth above and/or if any material that you post using this Site causes us to be liable to another. We reserve the right to defend any such claim, and you agree to provide us with such reasonable cooperation and information as we may request.

O. These Terms and Conditions May Change

We reserve the right to update or modify these Terms and Conditions at any time, without prior notice, by posting the revised version to this Site. The changes will be effective as of the date we post the revised version on this Site. Your continued use of this Site after we have posted the revised Terms and Conditions constitutes your agreement to be bound by the revised Terms and Conditions.

P. Entire Agreement

These Terms and Conditions (together with our Privacy Statements/Notices and any click-through agreements applicable to you) contain the entire understanding and agreement between you and WATERFALL with respect to this Site and supersede all previous communications, negotiations, and agreements, whether oral, written, or electronic, between you and WATERFALL with respect to your use of this Site.

Q. Contact Us

If you have questions about these Terms and Conditions, please contact our Compliance Department at 212-257-4606 or write to us at Waterfall Asset Management, LLC, 1140 Avenue of the Americas, 7th Floor, New York, NY 10036.

2019 RTS 28 Disclosure

Waterfall Asset Management (UK), LLP

Best Execution Disclosure (RTS 28) – Year to 31 December 2019

QUANTITATIVE INFORMATION

Class of instrument Asset Backed Securities
Notification if <1 average trade per business day in the previous year Yes
Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class Proportion of orders executed as percentage of total in that class Percentage of passive orders Percentage of aggressive orders Percentage of directed orders
Barclays Bank PLC (G5GSEF7VJP5I7OUK5573) 31% 13% N/A N/A N/A
Credit Suisse Group AG (549300506SI9CRFV9Z86) 26% 3% N/A N/A N/A
Citigroup Global Markets Limited (XKZZ2JZF41MRHTR1V493) 20% 76% N/A N/A N/A
Deutsche Bank AG (529900SICIK5OVMVY186) 19% 3% N/A N/A N/A
Natwest Markets (RR3QWICWWIPCS8A4S074) 3% 3% N/A N/A N/A

QUALITATIVE INFORMATION

A summary of the analysis and conclusions the firm draws from its detailed monitoring of the quality of execution obtained on the execution venues where it executed all client orders in the previous year. As part of the analysis by Waterfall Asset Management (UK), LLP (“Waterfall”) of best execution in relation to trades executed in the previous year, reviews of external market data and externally verifiable reference prices (where available) were undertaken when pricing or checking the price of the instruments. Based upon the monitoring completed, Waterfall believes it has reasonably satisfied its obligation for best execution.
An explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution. Best execution is a key element in Waterfall’s commitment to act in the best interests of its clients, as well as being a regulatory requirement. Waterfall seeks to ensure that all sufficient steps are taken to obtain the best possible result for its Clients when it executes, places or transmits orders on their behalf. This means taking into account the ‘execution factors’ such as price, costs, speed, likelihood of execution and settlement, size, nature or any other consideration relevant to the execution of the order. The relative importance of the execution factors is judged on an order-by-order basis in line with Waterfall’s industry experience and prevailing market conditions. The following additional factors were considered in executing the reported Corporate Bonds and Asset Backed Securities:

  • Overall broker service levels
  • Response time when the transaction was time-sensitive
  • Historical price and liquidity where the instrument was illiquid
A description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders. Waterfall does not have any close links, conflicts of interests or common ownerships with any current or potential brokers it uses to execute orders.
A description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received. Waterfall has not entered into any arrangements with its brokers regarding payments made or received, discounts or non-monetary benefits that would compromise its ability to meet its obligations in regard to best execution, conflicts of interest, or inducements.
An explanation of the factors that led to a change in the list of execution venues listed in the firm’s execution policy, if such a change occurred. Waterfall has not made any such changes in the previous year.
An explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements. Waterfall’s clients are exclusively professional clients and so are treated with a consistent approach.
An explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client. Waterfall does not execute retail client orders.
An explanation of how the Firm has used any data or tools relating to the quality of execution, including any data published under Commission Delegated Regulation (EU) 2017/575. Waterfall does not currently use data or tools relating to the quality of execution published by trading venues under ‘RTS 27’.
Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/EU. Not applicable as there were no such CTPs available in Europe during the period to which this disclosure relates.

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2020 RTS 28 Disclosure

Waterfall Asset Management (UK), LLP

Best Execution Disclosure (RTS 28) – Year to 31 December 2020

QUANTITATIVE INFORMATION

Class of instrument Asset Backed Securities
Notification if < 1 average trade per business day in the previous year Yes
Top five execution venues ranked in terms of trading volumes (descending order) Proportion of volume traded as a percentage of total in that class Proportion of orders executed as percentage of total in that class Percentage of passive orders Percentage of aggressive orders Percentage of directed orders
Credit Suisse Group AG (549300506SI9CRFV9Z86) 91% 41% N/A N/A N/A
Natwest Markets (RR3QWICWWIPCS8A4S074) 6% 24% N/A N/A N/A
Barclays Bank PLC
(G5GSEF7VJP5I7OUK5573)
2% 11% N/A N/A N/A
Goldman Sachs International Bank (N9FYJ29MC81JI74MJE92) 1% 24% N/A N/A N/A
N/A N/A N/A N/A N/A N/A

QUALITATIVE INFORMATION

A summary of the analysis and conclusions the firm draws from its detailed monitoring of the quality of execution obtained on the execution venues where it executed all client orders in the previous year. As part of the analysis by Waterfall Asset Management (UK), LLP (“Waterfall”) of best execution in relation to trades executed in the previous year, reviews of external market data and externally verifiable reference prices (where available) were undertaken when pricing or checking the price of the instruments. Based upon the monitoring completed, Waterfall believes it has reasonably satisfied its obligation for best execution.
An explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution. Best execution is a key element in Waterfall’s commitment to act in the best interests of its clients, as well as being a regulatory requirement. Waterfall seeks to ensure that all sufficient steps are taken to obtain the best possible result for its Clients when it executes, places or transmits orders on their behalf. This means taking into account the ‘execution factors’ such as price, costs, speed, likelihood of execution and settlement, size, nature or any other consideration relevant to the execution of the order. The relative importance of the execution factors is judged on an order-by-order basis in line with Waterfall’s industry experience and prevailing market conditions. The following additional factors were considered in executing the reported Corporate Bonds and Asset Backed Securities:

  • Overall broker service levels
  • Response time when the transaction was time-sensitive
  • Historical price and liquidity where the instrument was illiquid
A description of any close links, conflicts of interests, and common ownerships with respect to any execution venues used to execute orders. Waterfall does not have any close links, conflicts of interests or common ownerships with any current or potential brokers it uses to execute orders.
A description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received. Waterfall has not entered into any arrangements with its brokers regarding payments made or received, discounts or non-monetary benefits that would compromise its ability to meet its obligations in regards to best execution, conflicts of interest, or inducements.
An explanation of the factors that led to a change in the list of execution venues listed in the firm’s execution policy, if such a change occurred. Waterfall has not made any such changes in the previous year.
An explanation of how order execution differs according to client categorisation, where the firm treats categories of clients differently and where it may affect the order execution arrangements. Waterfall’s clients are exclusively professional clients and so are treated with a consistent approach.
An explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client. Waterfall does not execute retail client orders.
An explanation of how the Firm has used any data or tools relating to the quality of execution, including any data published under Commission Delegated Regulation (EU) 2017/575. Waterfall does not currently use data or tools relating to the quality of execution published by trading venues under ‘RTS 27’.
Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider established under Article 65 of Directive 2014/65/EU. Not applicable as there were no such CTPs available in Europe during the period to which this disclosure relates.

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