Franklin BSP Realty Trust, Inc. 10-K

Item 9A. Controls and Procedures. Disclosure Controls and Procedures We maintain disclosure controls and procedures that are designed to provide reasonable assurance that information required to be disclosed in reports we file and submit under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure. In designing and evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures in reaching that level of reasonable assurance. In accordance with Rules 13a-15(b) and 15d-15(b) of the Exchange Act, management, with the participation of our Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of our disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act) as of the end of the period covered by this Annual Report on Form 10-K. Based on such evaluation, our Chief Executive Officer and Chief Financial Officer have concluded, as of December 31, 2023, that our disclosure controls and procedures are effective to provide the reasonable assurance described above. Internal Control Over Financial Reporting Management's Annual Reporting on Internal Control over Financial Reporting Our management is responsible for establishing and maintaining adequate internal control over financial reporting, as such term is defined in Rules 13a-15(f) and 15d-15(f) promulgated under the Exchange Act. Our internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. Our management assessed the effectiveness of our internal control over financial reporting as of December 31, 2023. In making that assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control-Integrated Framework (2013). Based on its assessment, our management concluded that, as of December 31, 2023, our internal control over financial reporting was effective. Our independent registered public accounting firm, PricewaterhouseCoopers LLP (“PwC”), audited the effectiveness of our internal control over financial reporting as of December 31, 2023. Their report dated February 26, 2024, which is included herein, expressed an unqualified opinion on the effectiveness of our internal control over financial reporting Changes in Internal Control Over Financial Reporting During the quarter ended December 31, 2023, there were no changes in our internal control over financial reporting that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting. Item 9B. Other Information. During the quarter ended December 31, 2023, no director or officer of the Company adopted or terminated a “Rule 10b5-1 trading arrangement” or “non-Rule 10b5-1 trading arrangement,” as each term is defined in Item 408(a) of Regulation S-K. Item 9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections. Not applicable. 56 Table of Contents PART III Item 10. Directors, Executive Officers and Corporate Governance. The Board of Directors maintains a Code of Ethics that is applicable to our directors, officers, our Advisor and employees of the Advisor performing substantial services for the Company. It covers topics including, but not limited to, conflicts of interest, confidentiality of information, full and fair disclosure, reporting of violations and compliance with laws and regulations. The Code of Ethics is available on the Company’s website at www.fbrtreit.com by clicking on “Governance – Governance Documents – Code of Ethics.” We intend to disclose on this website any amendment to, or waiver of, any provision of this Code of Ethics applicable to our directors and executive officers that would otherwise be required to be disclosed under the rules of the SEC. You may also obtain a copy of the Code of Ethics by writing to our secretary at: Franklin BSP Realty Trust, Inc., 1345 Avenue of the Americas, Suite 32A, New York, New York 10105, Attention: Micah Goodman, Secretary. A waiver of the Code of Ethics for our Chief Executive Officer may be made only by the Board of Directors or the appropriate committee of the Board and will be promptly disclosed to the extent required by law. A waiver of the Code of Ethics for all other person may be made only by our Chief Executive Officer and shall be discussed with the Board or a committee of the Board as appropriate. The other information required by this item is hereby incorporated by reference to the material appearing in the Proxy Statement for the 2024 Annual Meeting of Stockholders, to be filed pursuant to Regulation 14A under the Exchange Act. Item 11. Executive Compensation. The information required by this item is hereby incorporated by reference to the material appearing in the Proxy Statement for the 2024 Annual Meeting of Stockholders, to be filed pursuant to Regulation 14A under the Exchange Act. Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. Except as set forth below, the information required by this item is hereby incorporated by reference to the material appearing in the Proxy Statement for the 2024 Annual Meeting of Stockholders, to be filed pursuant to Regulation 14A under the Exchange Act. Equity Compensation Plan Information The following table provides information about the Company's common stock that may be issued under our equity compensation plans as of December 31, 2023: Plan Category Number of Securities to be Issued Upon Exercise of Outstanding Options, Warrants and Rights (1) Weighted-Average Exercise Price of Outstanding Options, Warrants, and Rights Number of Securities Remaining Available for Future Issuance Under Equity Compensation Plans (2) Equity compensation plans approved by security holders — — — Equity compensation plans not approved by security holders 809,257 — 4,526,704 Total 809,257 — 4,526,704 ________________________ (1) Represents unvested and outstanding restricted stock units issued under the Franklin BSP Realty Trust, Inc. 2021 Equity Incentive Plan. One share of the Company’s common stock will be issued for each restricted stock unit that vests. (2) The number of securities remaining available for future issuance consists of shares issuable under the Franklin BSP Realty Trust, Inc. 2021 Equity Incentive Plan, which was adopted and approved by our Board of Directors prior to the listing of our common stock on the NYSE. Item 13. Certain Relationships and Related Transactions, and Director Independence. The information required by this item is hereby incorporated by reference to the material appearing in the Proxy Statement for the 2024 Annual Meeting of Stockholders, to be filed pursuant to Regulation 14A under the Exchange Act. Item 14. Principal Accounting Fees and Services. The information required by this item is hereby incorporated by reference to the material appearing in the Proxy Statement for the 2024 Annual Meeting of Stockholders, to be filed pursuant to Regulation 14A under the Exchange Act. 57 Table of Contents PART IV Item 15. Exhibits and Financial Statement Schedules. (a) Financial Statement Schedules See the Index to Consolidated Financial Statements on page F-1 of this report. (b) Exhibits See the Index to Exhibit below. INDEX TO EXHIBITS The following exhibits are included in this Annual Report on Form 10-K for the year ended December 31, 2023 (and are numbered in accordance with Item 601 of Regulation S-K). Exhibit No. Description 3.1 Articles of Amendment and Restatement, effective March 10, 2021 (incorporated by reference to Exhibit 3.1 to the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2020 filed with the SEC on March 11, 2021). 3.2 Articles of Amendment to the Articles of Amendment and Restatement (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K filed with the SEC on October 8, 2021). 3.3 Articles Supplementary of Franklin BSP Realty Trust, Inc., effective October 19, 2021, relating to Series E Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K filed with the SEC on October 21, 2021). 3.4 Articles Supplementary of Franklin BSP Realty Trust, Inc., dated June 21, 2022, relating to Series H Convertible Preferred Stock (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on June 24, 2022). 3.5 Amendment No. 1 to Articles Supplementary of Franklin BSP Realty Trust, Inc., effective January 19, 2023, relating to Series H Convertible Preferred Stock (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K filed with the SEC on January 20, 2023). 3.6 Amendment No. 2 to Articles Supplementary of Franklin BSP Realty Trust, Inc., effective January 10, 2024, relating to Series H Convertible Preferred Stock (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K filed with the SEC on January 12, 2024) 3.7 Amended and Restated Bylaws of Franklin BSP Realty Trust, Inc. (incorporated by reference to Exhibit 3.1 to the Current Report on Form 8-K filed with the SEC on June 16, 2022) 4.1 Amended and Restated Agreement of Limited Partnership of Benefit Street Partners Realty Operating Partnership, L.P., dated as of December 31, 2014 (incorporated by reference to Exhibit 4.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on January 6, 2015). 4.2 Amendment No. 1 to the Amended and Restated Agreement of Limited Partnership of Benefit Street Partners Realty Operating Partnership, L.P., dated as of February 9, 2017 (incorporated by reference to Exhibit 4.2 to the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2016 filed with the SEC on March 29, 2017). 4.3 Description of Securities of the Registrant (incorporated by reference to Exhibit 4.3 to the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2022 filed with the SEC on March 16, 2023). 10.1 Form of Director and Officer Indemnification Agreement (incorporated by reference to Exhibit 10.4 to the Registrant’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2016 filed with the SEC on November 14, 2016). 10.2† Franklin BSP Realty Trust, Inc. 2021 Equity Incentive Plan (incorporated by reference to Exhibit 99.1 to the Registrant’s Registration Statement on Form S-8 filed with the SEC on November 12, 2021). 10.3† Form of Restricted Share Unit Award Agreement pursuant to the Franklin BSP Realty Trust, Inc. 2021 Equity Incentive Plan.(incorporated by reference to Exhibit 10.45 to the Registrant’s Annual Report on Form 10-K filed with the SEC on February 25, 2022). 10.4 Amended and Restated Advisory Agreement, dated as of January 19, 2018, by and among Benefit Street Partners Realty Trust, Benefit Street Partners Realty Operating Partnership, L.P. and Benefit Street Partners, L.L.C (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on January 23, 2018). 10.5 Amendment No. 1 to Amended and Restated Advisory Agreement, dated August 18, 2021, by and among Benefit Street Partners Realty Trust, Inc., Benefit Street Partners Realty Operating Partnership, L.P. and Benefit Street Partners L.L.C. (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on August 18, 2021). 10.6 Indenture, dated as of March 25, 2021, by and among BSPRT 2021-FL6 Issuer, Ltd., BSPRT 2021-FL6 Co-Issuer, LLC, Benefit Street Partners Realty Operating Partnership, L.P., as advancing agent, and U.S. Bank National Association, as trustee, note administrator and custodian (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on March 30, 2021). 10.7 Indenture, dated as of December 21, 2021, by and among BSPRT 2021-FL7 Issuer, Ltd., BSPRT 2021-FL7 Co-Issuer, LLC, Benefit Street Partners Realty Operating Partnership, L.P., as advancing agent, and U.S. Bank National Association, as trustee, note administrator and custodian (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 21, 2021. 58 Table of Contents 10.8 Indenture, dated as of February 15, 2022, by and among BSPRT 2022-FL8 Issuer, Ltd., BSPRT 2022-FL8 Co-Issuer, LLC, Benefit Street Partners Realty Operating Partnership, L.P., as advancing agent, and U.S. Bank National Association, as trustee, note administrator and custodian (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on February 18, 2022). 10.9 Indenture, dated as of June 29, 2022, by and among BSPRT 2022-FL9 Issuer, LLC, Benefit Street Partners Realty Operating Partnership, L.P., as advancing agent, U.S. Bank Trust Company, National Association, as trustee and note administrator, and U.S. Bank National Association as custodian (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on July 1, 2022). 10.10† Form of Director Restricted Stock Award Agreement under Franklin BSP Realty Trust, Inc. 2021 Equity Incentive Plan (incorporated by reference to Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2023, filed with the SEC on May 3, 2023). 10.11 Indenture, dated as of September 28, 2023, by and among BSPRT 2023-FL10 Issuer, LLC, Benefit Street Partners Realty Operating Partnership, L.P., as advancing agent, U.S. Bank Trust Company, National Association, as trustee and note administrator, and U.S. Bank National Association as custodian (incorporated by reference to Exhibit 10.1 of the Registrant’s Current Report on Form 8-K filed with the SEC on October 3, 2023) 21* Subsidiaries of the Registrant 23.1* Consent of PricewaterhouseCoopers LLP 23.2* Consent of Ernst & Young LLP 31.1* Certification of the Principal Executive Officer of the Company pursuant to Securities Exchange Act Rule 13a - 14(a) or 15(d) - 14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 31.2* Certification of the Principal Financial Officer of the Company pursuant to Securities Exchange Act Rule 13a - 14(a) or 15(d) - 14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 32* Written statements of the Principal Executive Officer and Principal Financial Officer of the Company pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. 97.1†* Compensation Recovery Policy 101* XBRL (eXtensible Business Reporting Language). The following materials from Benefit Street Partners Realty Trust, Inc.’s Annual Report on Form 10-K for the year ended December 31, 202 3 formatted in XBRL: (i) the Consolidated Balance Sheets, (ii) the Consolidated Statements of Operations and Comprehensive Income (Loss), (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statements of Cash Flows and (v) the Notes to the Consolidated Financial Statements. 104 Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) ____________________________________________ * Filed herewith. † Indicates management contract or compensatory plan or arrangement. Item 16. Form 10-K Summary None. 59 Table of Contents SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Franklin BSP Realty Trust, Inc. Date: February 26, 2024 By /s/ Richard J. Byrne Richard J. Byrne Chief Executive Officer Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. Name Capacity Date /s/ Richard J. Byrne Chairman and Chief Executive Officer February 26, 2024 Richard J. Byrne (Principal Executive Officer) /s/ Jerome S. Baglien Chief Financial Officer, Chief Operating Officer and Treasurer (Principal Financial and Accounting Officer) February 26, 2024 Jerome S. Baglien /s/ Elizabeth K. Tuppeny Lead Independent Director February 26, 2024 Elizabeth K. Tuppeny /s/ Pat Augustine Director February 26, 2024 Pat Augustine /s/ Joe Dumars Director February 26, 2024 Joe Dumars /s/ Jamie Handwerker Director February 26, 2024 Jamie Handwerker /s/ Peter McDonough Director February 26, 2024 Peter McDonough /s/ Buford Ortale Director February 26, 2024 Buford Ortale 60 Table of Contents FRANKLIN BSP REALTY TRUST, INC. INDEX TO CONSOLIDATED FINANCIAL STATEMENTS Page Report of Independent Registered Public Accounting Firm, PricewaterhouseCoopers LLP (PCAOB ID 238 ) F- 2 Report of Independent Registered Public Accounting Firm, Ernst & Young LLP (PCAOB ID 42) F-3 Consolidated Balance Sheets F- 5 Consolidated Statements of Operations F- 6 Consolidated Statements of Comprehensive Income F- 7 Consolidated Statements of Changes in Stockholders' Equity F- 8 Consolidated Statements of Cash Flows F- 9 Notes to Consolidated Financial Statements F- 12 Financial Statement Schedule: Schedule IV: Mortgage Loans on Real Estate F- 50 F-1 Table of Contents Report of Independent Registered Public Accounting Firm To the Board of Directors and Stockholders of Franklin BSP Realty Trust, Inc. Opinions on the Financial Statements and Internal Control over Financial Reporting We have audited the accompanying consolidated balance sheet of Franklin BSP Realty Trust, Inc. and its subsidiaries (the “Company”) as of December 31, 2023 and the related consolidated statements of operations, of comprehensive income, of changes in stockholders’ equity and of cash flows for the year then ended, including the related notes and financial statement schedule listed in the accompanying index as of December 31, 2023 (collectively referred to as the “consolidated financial statements”). We also have audited the Company's internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of the Company as of December 31, 2023, and the results of its operations and its cash flows for the year then ended in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO. Basis for Opinions The Company's management is responsible for these consolidated financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in Management's Annual Reporting on Internal Control over Financial Reporting appearing under Item 9A. Our responsibility is to express opinions on the Company’s consolidated financial statements and on the Company's internal control over financial reporting based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects. Our audit of the consolidated financial statements included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audit also included performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinions. Definition and Limitations of Internal Control over Financial Reporting A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. F-2 Table of Contents Critical Audit Matters The critical audit matter communicated below is a matter arising from the current period audit of the consolidated financial statements that was communicated or required to be communicated to the audit committee and that (i) relates to accounts or disclosures that are material to the consolidated financial statements and (ii) involved our especially challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates. Allowance for Credit Losses - Commercial Mortgage Loans, Held for Investment As described in Notes 2 and 3 to the consolidated financial statements, the allowance for credit losses on the Company’s commercial mortgage loans, held for investment was $47.2 million as of December 31, 2023, inclusive of the general and specific allowances for credit losses of $47.2 million and $0, respectively. The general allowance for credit losses for the Company’s loans carried at amortized cost, such as loans held for investment, represents a lifetime estimate of expected credit losses. The Company’s model to determine the general allowance for credit losses principally utilizes historical loss rates derived from a commercial mortgage-backed securities database with historical losses provided by a third party, forecasting the loss parameters based on a projected macroeconomic scenario using a probability-based statistical approach over a reasonable and supportable forecast period of twelve months, followed by an immediate reversion to average historical losses. For loans held for investment which management identifies reasonable doubt as to whether the collection of contractual components can be satisfied, a specific allowance for credit losses analysis is performed and management may elect to use the fair value of the collateral at the reporting date as a practical expedient. The specific allowance for credit losses is assessed on an individual basis for such loans by comparing the estimated fair value of the underlying collateral, less costs to sell to the book value of the respective loan. The estimated fair value of underlying collateral requires judgments, which may include assumptions regarding capitalization rates and discount rates or other factors deemed relevant by management. The principal considerations for our determination that performing procedures relating to the allowance for credit losses for commercial mortgage loans, held for investment is a critical audit matter are (i) the significant judgment by management when developing the allowance for credit losses; (ii) a high degree of auditor judgement, subjectivity, and effort in performing procedures and evaluating (a) management’s projected macroeconomic scenario used when developing the general allowance for credit losses and (b) management’s assumptions related to capitalization rates and discount rates used when developing the fair value estimate of the underlying collateral used in the specific allowance for credit losses; and (iii) the audit effort involved the use of professionals with specialized skill and knowledge. Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements. These procedures included testing the effectiveness of controls relating to the allowance for credit losses for commercial mortgage loans, held for investment, including controls over management’s projected macroeconomic scenario used in the general allowance for credit losses and assumptions used in developing the fair value estimate of the underlying collateral used in the specific allowance for credit losses. These procedures also included, among others, (i) testing management’s process for developing the allowance for credit losses for commercial mortgage loans, held for investment; (ii) testing the completeness and accuracy of data used in developing the allowance for credit losses; and (iii) the involvement of professionals with specialized skill and knowledge to assist in evaluating (a) the appropriateness of the model used by management for the general allowance for credit losses and the methodology used by management for the specific allowance for credit losses, (b) the reasonableness of the projected macroeconomic scenario when estimating the general allowance for credit losses, and (c) the reasonableness of management’s assumptions related to capitalization rates and discount rates used when estimating the fair value of the underlying collateral used when developing the specific allowance for credit losses. /s/ PricewaterhouseCoopers LLP Atlanta, Georgia February 26, 2024 We have served as the Company’s auditor since 2023. F-3 Report of Independent Registered Public Accounting Firm To the Stockholders and the Board of Directors of Franklin BSP Realty Trust, Inc. Opinion on the Financial Statements We have audited the accompanying consolidated balance sheet of Franklin BSP Realty Trust, Inc. (the Company) as of December 31, 2022, the related consolidated statements of operations, comprehensive income, stockholders’ equity and cash flows for each of the two years in the period ended December 31, 2022, and the related notes (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company at December 31, 2022, and the results of its operations and its cash flows for each of the two years in the period ended December 31, 2022, in conformity with U.S. generally accepted accounting principles. Basis for Opinion These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on the Company’s financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. /s/ Ernst & Young LLP We served as the Company’s auditor from 2017-2022. New York, New York March 16, 2023 Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED BALANCE SHEETS (In thousands, except share and per share data) December 31, 2023 December 31, 2022 ASSETS Cash and cash equivalents $ 337,595 $ 179,314 Restricted cash 6,092 11,173 Commercial mortgage loans, held for investment, net of allowance for credit losses of $ 47,175 and $ 40,848 as of December 31, 2023 and 2022, respectively 4,989,767 5,228,928 Commercial mortgage loans, held for sale, measured at fair value — 15,559 Real estate securities, trading, measured at fair value (includes pledged assets of $ 227,610 as of December 31, 2022) — 235,728 Real estate securities, available for sale, measured at fair value, amortized cost of $ 243,272 and $ 220,635 as of December 31, 2023 and 2022, respectively (includes pledged assets of $ 167,948 and $ 198,429 as of December 31, 2023 and 2022, respectively) 242,569 221,025 Derivative instruments, measured at fair value — 415 Receivable for loan repayment (1) 55,174 42,557 Accrued interest receivable 42,490 34,007 Prepaid expenses and other assets 19,213 15,795 Intangible lease asset, net of amortization 42,793 54,831 Real estate owned, net of depreciation 115,830 127,772 Real estate owned, held for sale 103,657 36,497 Total assets $ 5,955,180 $ 6,203,601 LIABILITIES AND STOCKHOLDERS' EQUITY Collateralized loan obligations $ 3,567,166 $ 3,121,983 Repurchase agreements and revolving credit facilities - commercial mortgage loans 299,707 680,859 Repurchase agreements - real estate securities 174,055 440,008 Mortgage note payable 23,998 23,998 Other financings 36,534 76,301 Unsecured debt 81,295 98,695 Derivative instruments, measured at fair value — 64 Interest payable 15,383 12,715 Distributions payable 36,133 36,317 Accounts payable and accrued expenses 13,339 17,668 Due to affiliates 19,316 15,429 Intangible lease liability, held for sale 12,297 — Intangible lease liability, net of amortization — 6,428 Total liabilities $ 4,279,223 $ 4,530,465 Commitments and Contingencies Redeemable convertible preferred stock: Redeemable convertible preferred stock Series H, $ 0.01 par value, 20,000 authorized and 17,950 issued and outstanding as of December 31, 2023 and 2022, respectively $ 89,748 $ 89,748 Redeemable convertible preferred stock Series I, $ 0.01 par value, none issued and outstanding as of December 31, 2023, 1,000 authorized and 1,000 issued and outstanding as of December 31, 2022 — 5,000 Total redeemable convertible preferred stock $ 89,748 $ 94,748 Equity: Preferred stock, $ 0.01 par value; 100,000,000 shares authorized, 7.5 % Cumulative Redeemable Preferred Stock, Series E, 10,329,039 shares issued and outstanding as of December 31, 2023 and 2022 $ 258,742 $ 258,742 Common stock, $ 0.01 par value, 900,000,000 shares authorized, 82,751,913 and 82,992,784 issued and outstanding as of December 31, 2023 and 2022, respectively 820 826 Additional paid-in capital 1,599,197 1,602,247 Accumulated other comprehensive income (loss) ( 703 ) 390 Accumulated deficit ( 298,942 ) ( 299,225 ) Total stockholders' equity $ 1,559,114 $ 1,562,980 Non-controlling interest 27,095 15,408 Total equity $ 1,586,209 $ 1,578,388 Total liabilities, redeemable convertible preferred stock and equity $ 5,955,180 $ 6,203,601 ________________________ (1) Includes $ 55.1 million and $ 42.5 million of cash held by the servicer related to the CLOs as of December 31, 2023 and 2022, respectively. The Company no longer holds a residential mortgage backed securities principal paydown receivable as of December 31, 2023. The Company held a residential mortgage backed securities principal paydown receivable of $ 0.1 million as of December 31, 2022. The accompanying notes are an integral part of these consolidated financial statements. Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED STATEMENTS OF OPERATIONS (In thousands, except share and per share data) Year Ended December 31, 2023 2022 2021 Income Interest income $ 552,506 $ 357,705 $ 216,890 Less: Interest expense 305,577 160,526 56,193 Net interest income 246,929 197,179 160,697 Revenue from real estate owned 17,021 9,655 4,759 Total income $ 263,950 $ 206,834 $ 165,456 Expenses Asset management and subordinated performance fee $ 33,847 $ 26,157 $ 28,110 Acquisition expenses 1,241 1,360 1,203 Administrative services expenses 14,440 12,928 7,658 Impairment of acquired assets — — 88,282 Professional fees 15,270 22,566 11,650 Share-based compensation 4,761 2,519 — Depreciation and amortization 7,128 5,408 2,107 Other expenses 11,135 6,572 3,946 Total expenses $ 87,822 $ 77,510 $ 142,956 Other income/(loss) (Provision)/benefit for credit losses $ ( 33,738 ) $ ( 36,115 ) $ 5,192 Realized gain/(loss) on extinguishment of debt 2,201 ( 5,167 ) ( 4,642 ) Realized gain/(loss) on sale of available for sale trading securities 80 — — Realized gain/(loss) on sale of commercial mortgage loans, held for sale — ( 354 ) 26 Realized gain/(loss) on sale of commercial mortgage loans, held for sale, measured at fair value 3,873 2,358 24,208 Gain/(loss) on other real estate investments ( 7,089 ) ( 692 ) 9,790 Unrealized gain/(loss) on commercial mortgage loans, held for sale, measured at fair value 44 ( 511 ) 469 Trading gain/(loss) ( 605 ) ( 119,220 ) ( 36,128 ) Unrealized gain/(loss) on derivatives ( 140 ) ( 15,840 ) 7,402 Realized gain/(loss) on derivatives 998 60,033 484 Total other income/(loss) $ ( 34,376 ) $ ( 115,508 ) $ 6,801 Income/(loss) before taxes 141,752 13,816 29,301 (Provision)/benefit for income tax 2,757 399 ( 3,599 ) Net income/(loss) $ 144,509 $ 14,215 $ 25,702 Net (income)/loss attributable to non-controlling interest 706 216 — Net income/(loss) attributable to Franklin BSP Realty Trust, Inc. $ 145,215 $ 14,431 $ 25,702 Less: Preferred stock dividends 26,993 41,741 33,587 Net income/(loss) attributable to common stock $ 118,222 $ ( 27,310 ) $ ( 7,885 ) Basic earnings per share $ 1.42 $ ( 0.38 ) $ ( 0.18 ) Diluted earnings per share $ 1.42 $ ( 0.38 ) $ ( 0.18 ) Basic weighted average shares outstanding 82,307,970 71,628,365 43,419,209 Diluted weighted average shares outstanding 82,307,970 71,628,365 43,434,731 The accompanying notes are an integral part of these consolidated financial statements. Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (In thousands) Year Ended December 31, 2023 2022 2021 Net income/(loss) $ 144,509 $ 14,215 $ 25,702 Amounts related to available for sale real estate securities: Change in net unrealized gain/(loss) $ ( 330 ) $ 390 $ 8,256 Reclassification adjustment for amounts included in net income/(loss) ( 763 ) — — $ ( 1,093 ) $ 390 $ 8,256 Amounts related to cash flow hedges: Change in net unrealized gain/(loss) $ — $ ( 220 ) $ ( 852 ) Reclassification adjustment for amounts included in net income/(loss) — 282 790 $ — $ 62 $ ( 62 ) Comprehensive (income)/loss attributable to non-controlling interest 706 216 — Comprehensive income/(loss) attributable to Franklin BSP Realty Trust, Inc. $ 144,122 $ 14,883 $ 33,896 The accompanying notes are an integral part of these consolidated financial statements. Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (In thousands, except share data) Common Stock Additional Paid-In Capital Accumulated Other Comprehensive Income/(Loss) Accumulated Deficit Preferred E Preferred F Total Stockholders' Equity Non-Controlling Interest Total Equity Number of Shares Par Value Balance, December 31, 2020 44,510,051 $ 446 $ 912,725 $ ( 8,256 ) $ ( 106,471 ) $ — $ — $ 798,444 $ — $ 798,444 Issuance of preferred stock — — — — — 258,742 710,431 969,173 — 969,173 Issuance of common stock 31,887,442 319 579,207 — — — — 579,526 — 579,526 Common stock repurchases ( 648,837 ) ( 6 ) ( 11,411 ) — — — — ( 11,417 ) — ( 11,417 ) Common stock issued through distribution reinvestment plan 289,755 3 5,107 — — — — 5,110 — 5,110 Share-based compensation 11,184 — 211 — — — — 211 — 211 Common stock exchanged for Series F Preferred Stock ( 39,733,299 ) ( 397 ) ( 710,034 ) — — — — ( 710,431 ) — ( 710,431 ) Series A Preferred stock converted into common stock 7,649,632 76 127,527 — — — — 127,603 — 127,603 Offering costs — — ( 68 ) — — — — ( 68 ) — ( 68 ) Net income/(loss) attributable to Franklin BSP Realty Trust, Inc. — — — — 25,702 — — 25,702 — 25,702 Distributions declared — — — — ( 86,410 ) — — ( 86,410 ) — ( 86,410 ) Other comprehensive income/(loss) — — — 8,194 — — — 8,194 — 8,194 Contributions/(distributions) in non-controlling interest, net — — — — — — — — 5,764 5,764 Balance, December 31, 2021 43,965,928 $ 441 $ 903,264 $ ( 62 ) $ ( 167,179 ) $ 258,742 $ 710,431 $ 1,705,637 $ 5,764 $ 1,711,401 Common stock repurchases ( 1,416,369 ) ( 14 ) ( 16,565 ) — — — — ( 16,579 ) — ( 16,579 ) Common stock issued through distribution reinvestment plan 73,501 1 999 — — — — 1,000 — 1,000 Share-based compensation 516,887 — 2,519 — — — — 2,519 — 2,519 Offering costs — — — — ( 91 ) — — ( 91 ) — ( 91 ) Series F Preferred stock converted into common stock 39,733,299 397 710,034 — — — ( 710,431 ) — — — Series C Preferred stock converted into common stock 119,538 1 1,996 — — — — 1,997 — 1,997 Net income/(loss) attributable to Franklin BSP Realty Trust, Inc. — — — — 14,431 — — 14,431 — 14,431 Net (income)/loss attributable to non-controlling interest — — — — — — — — 216 216 Distributions declared — — — — ( 146,386 ) — — ( 146,386 ) — ( 146,386 ) Other comprehensive income/(loss) — — — 452 — — — 452 — 452 Contributions/(distributions) in non-controlling interest, net — — — — — — — — 9,428 9,428 Balance, December 31, 2022 82,992,784 $ 826 $ 1,602,247 $ 390 $ ( 299,225 ) $ 258,742 $ — $ 1,562,980 $ 15,408 $ 1,578,388 Common stock repurchases ( 1,026,105 ) ( 10 ) ( 12,495 ) — — — — ( 12,505 ) — ( 12,505 ) Common stock issued through distribution reinvestment plan 61,866 1 768 — — — — 769 — 769 Share-based compensation 481,189 — 4,761 — — — — 4,761 — 4,761 Shares canceled for tax withholding on vested equity rewards ( 57,021 ) — ( 812 ) — — — — ( 812 ) — ( 812 ) Series I Preferred stock converted into common stock 299,200 3 4,997 — — — — 5,000 — 5,000 Offering costs — — ( 269 ) — — — — ( 269 ) — ( 269 ) Net income/(loss) attributable to Franklin BSP Realty Trust, Inc. — — — — 145,215 — — 145,215 — 145,215 Net income/(loss) attributable to non-controlling interest — — — — — — — — ( 706 ) ( 706 ) Distributions declared — — — — ( 144,932 ) — — ( 144,932 ) — ( 144,932 ) Other comprehensive income/(loss) — — — ( 1,093 ) — — — ( 1,093 ) — ( 1,093 ) Contributions/(distributions) in non-controlling interest, net — — — — — — — — 12,393 12,393 Balance, December 31, 2023 82,751,913 $ 820 $ 1,599,197 $ ( 703 ) $ ( 298,942 ) $ 258,742 $ — $ 1,559,114 $ 27,095 $ 1,586,209 The accompanying notes are an integral part of these consolidated financial statements. Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (In thousands) For the Years Ended December 31, 2023 2022 2021 Cash flows from operating activities: Net income/(loss) $ 144,509 $ 14,215 $ 25,702 Adjustments to reconcile net income to net cash provided by operating activities: Premium amortization and (discount accretion), net ( 13,072 ) ( 12,619 ) ( 7,035 ) Accretion of deferred commitment fees ( 7,577 ) ( 9,450 ) ( 10,139 ) Amortization of deferred financing costs 7,779 6,308 4,561 Share-based compensation 4,761 2,519 211 Realized (gain)/loss from sale of available for sale trading securities ( 80 ) — — (Gain)/loss on other real estate investments 7,089 692 ( 9,790 ) Realized (gain)/loss from extinguishment of debt ( 2,201 ) 5,167 4,642 Realized (gain)/loss on swap terminations — ( 55,301 ) ( 616 ) Realized (gain)/loss on sale of commercial mortgage loans, held for sale ( 3,873 ) 354 — Trading (gain)/loss 605 119,220 36,128 Unrealized (gain)/loss on commercial mortgage loans held for sale, measured at fair value ( 44 ) 511 ( 469 ) Unrealized (gain)/losses on derivative instruments 140 15,840 ( 7,402 ) Depreciation and amortization 8,412 5,329 2,107 Provision/(benefit) for credit losses 33,738 36,115 ( 5,192 ) Origination of commercial mortgage loans, held for sale, measured at fair value ( 102,500 ) ( 366,692 ) ( 420,673 ) Proceeds from sale of commercial mortgage loans, held for sale, measured at fair value 121,976 384,808 454,073 Severance and deferred compensation — — ( 22,168 ) Changes in assets and liabilities: Accrued interest receivable ( 906 ) ( 563 ) ( 4,675 ) Prepaid expenses and other assets ( 3,085 ) ( 6,879 ) 94,864 Accounts payable and accrued expenses ( 5,081 ) 5,027 3,640 Due to affiliates 3,887 ( 2,109 ) 8,013 Interest payable 2,910 10,023 715 Net cash (used in)/provided by operating activities $ 197,387 $ 152,515 $ 146,497 Cash flows from investing activities: Cash acquired through merger $ — $ — $ 174,083 Origination and purchase of commercial mortgage loans, held for investment ( 936,271 ) ( 2,227,723 ) ( 2,881,852 ) Principal repayments received on commercial mortgage loans, held for investment 1,065,538 1,258,393 1,225,645 Principal repayments received on commercial mortgage loans, held for sale, measured at fair value — 532 — Proceeds from sale of other real estate investments 39,755 2,045 30,338 Purchase of real estate owned and capital expenditures ( 1,151 ) ( 663 ) ( 134,052 ) Proceeds from sale of commercial mortgage loans, held for sale — 9,344 52,615 Purchase of real estate securities ( 223,768 ) ( 220,630 ) — Proceeds from sale of real estate securities 418,791 3,731,716 2,059,418 Principal collateral on mortgage investments 17,702 545,416 541,313 Proceeds from sale/(purchase) of derivative instruments 211 ( 1,165 ) 1,239 Net cash (used in)/provided by investing activities $ 380,807 $ 3,097,265 $ 1,068,747 Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (In thousands) For the Years Ended December 31, 2023 2022 2021 Cash flows from financing activities: Cash consideration paid in merger $ — $ — $ ( 20,485 ) Proceeds from issuances of redeemable convertible preferred stock — — 15,000 Payments for common stock repurchases ( 12,505 ) ( 16,579 ) ( 11,417 ) Shares cancelled for tax withholding on vested equity awards ( 812 ) — — Payments of offering costs ( 269 ) — — Borrowings on collateralized loan obligations 689,294 1,630,639 1,410,173 Repayments of collateralized loan obligations ( 241,223 ) ( 662,410 ) ( 869,887 ) Borrowings on repurchase agreements and revolving credit facilities - commercial mortgage loans 600,164 1,918,631 1,874,694 Repayments of repurchase agreements and revolving credit facilities - commercial mortgage loans ( 981,317 ) ( 2,257,372 ) ( 1,131,434 ) Borrowings on repurchase agreements - real estate securities 870,014 18,457,406 13,553,886 Repayments of repurchase agreements - real estate securities ( 1,135,967 ) ( 22,196,183 ) ( 15,983,193 ) Borrowings on other financings 59,707 38,537 6,524 Repayments on other financings ( 99,474 ) ( 139 ) — Borrowings on unsecured debt — — 210,000 Repayments of unsecured debt ( 13,367 ) ( 50,000 ) ( 160,000 ) Borrowing on mortgage note payable — — 23,940 Payments of deferred financing costs ( 12,905 ) ( 15,232 ) ( 9,285 ) Cash collateral received on interest rate swaps — 56,767 11,138 Proceeds from interest rate swap settlements — 8,478 9,115 Distributions to non-controlling interest ( 1,987 ) ( 745 ) — Contributions from non-controlling interest — 125 — Distributions paid to common and preferred stockholders ( 144,347 ) ( 139,415 ) ( 67,955 ) Net cash (used in)/provided by financing activities: $ ( 424,994 ) $ ( 3,227,492 ) $ ( 1,139,186 ) Net change in cash, cash equivalents and restricted cash $ 153,200 $ 22,288 $ 76,058 Cash, cash equivalents and restricted cash, beginning of period 190,487 168,199 92,141 Cash, cash equivalents and restricted cash, end of period $ 343,687 $ 190,487 $ 168,199 Reconciliation of cash, cash equivalents and restricted cash: Cash and cash equivalents, beginning of period $ 179,314 $ 154,929 $ 82,071 Restricted cash, beginning of period 11,173 13,270 10,070 Cash, cash equivalents and restricted cash, beginning of period $ 190,487 $ 168,199 $ 92,141 Cash and cash equivalents, end of period $ 337,595 $ 179,314 $ 154,929 Restricted cash, end of period 6,092 11,173 13,270 Cash, cash equivalents and restricted cash, end of period $ 343,687 $ 190,487 $ 168,199 Supplemental disclosures of cash flow information: Cash payments for income taxes $ 325 $ 1,199 $ 140 Cash payments for interest 295,130 144,195 51,050 Supplemental disclosures of non-cash flow information: Common stock issued through distribution reinvestment plan $ 769 $ 1,963 $ 5,110 Table of Contents FRANKLIN BSP REALTY TRUST, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (In thousands) For the Years Ended December 31, 2023 2022 2021 Distribution payable 36,133 36,317 30,346 Commercial mortgage loans transferred from held for sale to held for investment — 9,296 52,615 Loans transferred to real estate owned 77,305 115,978 — Reclassification of assets held for investment to held for sale 114,512 — — Reclassification of liabilities held for investment to held for sale 13,664 — — Conversion of preferred stock to common stock 5,000 712,428 ( 127,603 ) Issuances of common stock due to merger — — 579,526 Issuances of Series E preferred stock due to merger — — 258,742 Unsecured debt assumed due to merger — — 98,574 Exchange of preferred stock — 94,748 710,431 The accompanying notes are an integral part of these consolidated financial statements. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 1 - Organization and Business Operations Franklin BSP Realty Trust, Inc., (the "Company") is a real estate finance company that primarily originates, acquires and manages a diversified portfolio of commercial real estate debt investments secured by properties located within and outside the United States. The Company is a Maryland corporation and has made tax elections to be treated as a real estate investment trust (a "REIT") for U.S. federal income tax purposes since 2013. The Company believes that it has qualified as a REIT and intends to continue to meet the requirements for qualification and taxation as a REIT. Substantially all of the Company's business is conducted through Benefit Street Partners Realty Operating Partnership, L.P. (the “OP”), a Delaware limited partnership. The Company is the sole general partner and directly or indirectly holds all of the units of limited partner interests in the OP. In addition, the Company, through one or more subsidiaries which are treated as a taxable REIT subsidiary (a “TRS”), is indirectly subject to U.S. federal, state and local income taxes. The Company has no employees. Benefit Street Partners L.L.C. serves as the Company's advisor (the "Advisor") pursuant to an advisory agreement, as amended on August 18, 2021 (the "Advisory Agreement"). The Advisor, an investment adviser registered with the SEC, is a credit-focused alternative asset management firm. Established in 2008, the Advisor's credit platform manages funds for institutions and high-net-worth investors across various credit funds and complementary strategies including high yield, levered loans, private/opportunistic debt, liquid credit, structured credit and commercial real estate debt. These strategies complement each other as they all leverage the sourcing, analytical, compliance, and operational capabilities that encompass the platform. The Advisor manages the Company's affairs on a day-to-day basis. The Advisor receives compensation fees and reimbursements for services related to the investment and management of the Company's assets and the operations of the Company. The advisor is a wholly-owned subsidiary of Franklin Resources, Inc., which together with its various subsidiaries operates as "Franklin Templeton”. The Company invests in commercial real estate debt investments, which may include first mortgage loans, subordinated mortgage loans, mezzanine loans and participations in such loans. The Company also originates conduit loans which the Company intends to sell through its TRS into commercial mortgage-backed securities ("CMBS") securitization transactions. Historically this business has focused primarily on CMBS, commercial real estate collateralized loan obligation bonds ("CRE CLO bonds"), collateralized debt obligations ("CDOs") and other securities. As a result of the October 2021 acquisition of Capstead Mortgage Corporation ("Capstead"), the Company acquired a portfolio of residential mortgage backed securities (“RMBS”) in the form of residential adjustable-rate mortgage pass-through securities ("ARM Agency Securities" or "ARMs") issued and guaranteed by government-sponsored enterprises or by an agency of the federal government. As of December 31, 2023, the Company has fully disposed of all of its ARM Agency Securities and is continuing to reinvest the proceeds from the sale of these securities in its other businesses. The Company also owns real estate that was either acquired by the Company through foreclosure or deed in lieu of foreclosure, or that was purchased for investment, primarily subject to triple net leases. Note 2 - Summary of Significant Accounting Policies Basis of Accounting The Company's consolidated financial statements and related footnotes have been prepared on the accrual basis of accounting in conformity with accounting principles generally accepted in the United States of America ("GAAP") and pursuant to the requirements for reporting on Form 10-K and Regulation S-X, as appropriate. Use of Estimates GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities as of the date of the financial statements and the reported amounts of income and expenses during the reported periods. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ materially. Principles of Consolidation The accompanying consolidated financial statements include the accounts of the Company, the OP and its subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation. In determining whether the Company has a controlling financial interest in a joint venture and the requirement to consolidate the accounts of that entity, management considers factors such as ownership interest, authority to make decisions and contractual and substantive participating rights of the other partners or members, as well as whether the entity is a variable interest entity ("VIE") for which the Company is the primary beneficiary. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 The Company has determined the OP is a VIE of which the Company is the primary beneficiary. Substantially all of the Company's assets and liabilities are held by the OP. The Company consolidates all entities that it controls through either majority ownership or voting rights. In addition, the Company consolidates all VIEs of which the Company is considered the primary beneficiary. VIEs are entities in which equity investors (i) do not have the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. Non-controlling interest represents the equity of consolidated joint ventures that are not owned by the Company. The accompanying consolidated financial statements include the accounts of collateralized loan obligations ("CLOs") issued and securitized by wholly owned subsidiaries of the Company. The Company has determined the CLOs are VIEs of which the Company's subsidiary is the primary beneficiary. The assets and liabilities of the CLOs are consolidated in the accompanying consolidated balance sheets in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 810, Consolidation. Reclassifications Certain prior year balances have been reclassified in order to conform to the current period presentation. For the twelve months ended December 31, 2022 and 2021, $ 5.2 million and $ 4.6 million, respectively, related to the remaining unamortized deferred financing costs on the redemption of BSPRT 2018-FL4 and BSPRT 2018-FL3, respectively, were reclassified from Interest Expense to Realized gain/(loss) on extinguishment of debt in the consolidated statements of operations and the consolidated statement of cash flows. For the twelve months ended December 31, 2022, $ 33 thousand of Realized loss on sale of other real estate investments, measured at fair value and $ 0.7 million of Unrealized loss on other real estate investments, measured at fair value were combined to be presented as a net result in Gain/(loss) on other real estate investments in the consolidated statements of operations. For the twelve months ended December 31, 2021, $ 9.8 million of Realized gain on sale of real estate owned assets, held for sale and $ 19 thousand of Unrealized loss on other real estate investments, measured at fair value were combined to be presented as a net result in Gain/(loss) on other real estate investments in the consolidated statements of operations. Acquisition Expenses For commercial mortgage loans, held for investment the Company capitalizes certain direct costs relating to loan origination activities. The cost is amortized over the life of the loan and recognized in Interest income in the consolidated statements of operations. Acquisition expenses paid on future funding amounts are expensed within the Acquisition expenses in the consolidated statements of operations. Cash and Cash Equivalents Cash consists of amounts deposited with high quality financial institutions. These deposits are guaranteed by the Federal Deposit Insurance Company up to an insurance limit. Cash equivalents include short-term, liquid investments in money market funds with original maturities of 90 days or less when purchased. Cash and cash equivalent balances may, at a limited number of banks and financial institutions, exceed insurable amounts. The Company believes it mitigates risk by investing in or through major financial institutions and primarily in funds that are currently U.S. federal government insured up to applicable account limits. Restricted Cash Restricted cash primarily consists of cash pledged as margin on repurchase agreements and derivative transactions. The duration of this restricted cash generally matches the duration of the related repurchase agreements or derivative transaction. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Commercial Mortgage Loans Held for Investment - Commercial mortgage loans that are held for investment purposes and are anticipated to be held until maturity, are carried at cost, net of unamortized acquisition expenses, discounts or premiums and unfunded commitments. Commercial mortgage loans, held for investment purposes, are carried at amortized cost less a allowance for credit losses. Interest income is recorded on the accrual basis and related discounts, premiums and acquisition expenses on investments are amortized over the life of the investment using the effective interest method. Amortization or accretion is reflected as an adjustment to interest income in the consolidated statements of operations. Guaranteed loan commitment fees payable by the borrower upon maturity are accreted over the life of the investment using the effective interest method. The accretion of guaranteed loan commitment fees is recognized in Interest income in the consolidated statements of operations. Held for Sale - Commercial mortgage loans that are intended to be sold in the foreseeable future are reported as held for sale and are recorded at the lower of cost or fair value with changes recorded through the statements of operations. Unamortized loan origination costs for commercial mortgage loans held for sale that are carried at the lower of cost or fair value are capitalized as part of the carrying value of the loans and recognized upon the sale of such loans. Amortization of origination costs ceases upon transfer of commercial mortgage loans to held for sale. Held for Sale, Measured at Fair Value - The fair value option provides an option to irrevocably elect fair value as an alternative measurement for selected financial assets, financial liabilities, and written loan commitments. The Company has elected to measure commercial mortgage loans held for sale in the Company's TRS under the fair value option. These commercial mortgage loans are included in the Commercial mortgage loans, held for sale, measured at fair value in the consolidated balance sheets. Interest income received on commercial mortgage loans held for sale, measured at fair value is recorded on the accrual basis of accounting and is included in Interest income in the consolidated statements of operations. Costs to originate these investments are expensed when incurred. Real estate owned The Company classifies its real estate owned as long-lived assets held for investment or as long-lived assets held for sale. Held for investment assets are stated at cost, as adjusted for any impairment loss, less accumulated depreciation. Real estate owned, held for investment - Amounts capitalized to real estate owned, held for investment consist of the cost of acquisition or construction, any tenant improvements or major improvements, betterments that extend the useful life of the related asset, and transaction costs associated with the acquisition of an individual asset that does not qualify as a business combination. All repairs and maintenance are expensed as incurred. Additionally, the Company capitalizes interest while the development, or redevelopment, of a real estate owned asset is in progress. No development or redevelopments of real estate owned assets are in progress as of December 31, 2023. The Company’s real estate owned, held for investment assets are depreciated or amortized using the straight-line method over the following useful lives: Building 40 years Furniture, fixtures, and equipment 15 years Site Improvements 5 - 25 years Intangible Lease Assets Lease Term The Company continually monitors events and changes in circumstances that could indicate that the carrying amounts of the real estate and related intangible assets of either operating properties or properties under construction in which the Company has an ownership interest, either directly or through investments in joint ventures, may not be recoverable. When indicators of potential impairment are present, management assesses whether the respective carrying values will be recovered from the undiscounted future operating cash flows expected from the use of the asset and its eventual disposition for assets held for use, or from the estimated fair values, less costs to sell, for assets held for sale. In the event that the expected undiscounted future cash flows for assets held for use or the estimated fair value, less costs to sell, for assets held for sale do not exceed the respective asset carrying value, management adjusts such assets to the respective estimated fair values and recognizes an impairment loss. Estimated fair values are calculated based on the following information, depending upon availability, in order of preference: (i) recently quoted market prices, (ii) market prices for comparable properties, or (iii) the present value of undiscounted cash flows, including estimated sales value (which is based on key assumptions such as estimated market rents, lease-up periods, estimated lease terms, and capitalization and discount rates) less estimated selling costs. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Real estate owned, held for sale - Real estate owned is classified as held for sale in the period in which the six criteria under ASC Topic 360, "Property, Plant, and Equipment" are met: (i) we commit to a plan and have the authority to sell the asset; (ii) the asset is available for sale in its current condition; (iii) we have initiated an active marketing plan to locate a buyer for the asset; (iv) the sale of the asset is both probable and expected to qualify for full sales recognition within a period of 12 months; (v) the asset is being actively marketed for sale at a price that is reflective of its current fair value; and (vi) we do not anticipate changes to our plan to sell the asset. Held for sale assets are carried at the lower of depreciated cost or estimated fair value, less estimated costs to sell. Real estate owned assets are not depreciated or amortized while they are classified as held for sale. Interest and other expenses attributable to the liabilities of a disposal group classified as held for sale continue to be accrued. Upon the disposition of a real estate owned asset, the Company calculates realized gains and losses as net proceeds received less the carrying value of the real estate owned asset. Net proceeds received are net of direct selling costs associated with the disposition of the real estate owned asset. Fair Value of Assets and Liabilities of Acquired Properties Upon the acquisition of real properties, the Company records the fair value of properties (plus any related acquisition costs) allocated based on relative fair value as tangible assets, consisting of land and building, and identified intangible assets and liabilities, consisting of the value of above-market and below-market leases and the value of in-place leases, based on their estimated fair values. Substantially all of the Company’s property acquisitions qualify as asset acquisitions under ASC 805, Business Combinations. The estimated fair values of the tangible assets of an acquired property are determined by valuing the property as if it were vacant, and the “as-if-vacant” value is then allocated to land and building based on management’s determination of the estimated fair value of these assets. Management relies on a sales comparison approach using closed land sales and listings in determining the land value, and determines the as-if-vacant estimated fair value of a property using methods similar to those used by independent appraisers. Factors considered by management in performing these analyses include an estimate of carrying costs during the expected lease-up periods considering current market conditions and costs to execute similar leases. In estimating carrying costs, management includes real estate taxes, insurance, and other operating expenses and estimates of lost rental revenue during the expected lease-up periods based on current market demand. Management also estimates the cost to execute similar leases including leasing commissions, legal, and other related costs. The estimated fair values of above-market and below-market in-place leases are recorded based on the present value (using an interest rate which reflects the risks associated with the leases acquired) of the difference between (i) the contractual amounts to be paid pursuant to the in-place leases and (ii) management’s estimate of market rates for the corresponding in-place leases, measured over a period equal to the remaining terms of the leases, taking into consideration the probability of renewals for any below-market leases. The capitalized above-market and below-market lease values are recorded as intangible lease assets or liabilities and amortized as an adjustment to rental revenues over the remaining terms of the respective leases. The estimated fair values of in-place leases include an estimate of the direct costs associated with obtaining the acquired or "in place" tenant and estimates of opportunity costs associated with lost rentals that are avoided by acquiring an in-place lease. The amount capitalized as direct costs associated with obtaining a tenant include commissions, tenant improvements, and other direct costs and are estimated based on management’s consideration of current market costs to execute a similar lease. These direct lease origination costs are included in deferred lease costs in the accompanying consolidated balance sheets and are amortized to expense over the remaining terms of the respective leases. The value of opportunity costs is calculated using the contractual amounts to be paid pursuant to the in-place leases over a market absorption period for a similar lease. These lease intangibles are included in intangible lease assets in the accompanying consolidated balance sheets and are amortized to expense over the remaining terms of the respective leases. Credit Losses The allowance for credit losses required under ASU 2016-13 is deducted from the respective loan's amortized cost basis in the consolidated balance sheets. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 General allowance for credit losses The general allowance for credit losses for the Company’s financial instruments carried at amortized cost and off-balance sheet credit exposures, such as loans held for investment and unfunded loan commitments represents a lifetime estimate of expected credit losses. Factors considered by the Company when determining the general provision for credit losses reserve include loan-specific characteristics such as loan-to-value (“LTV”) ratio, vintage year, loan term, property type, occupancy and geographic location, financial performance of the borrower, expected payments of principal and interest, as well as internal or external information relating to past events, current conditions and forward looking information through the use of projected macroeconomic scenarios over the reasonable and supportable forecasts. The general allowance for credit losses is measured on a collective (pool) basis when similar risk characteristics exist for multiple financial instruments. If similar risk characteristics do not exist, the Company measures the general allowance for credit losses on an individual instrument basis. The determination of whether a particular financial instrument should be included in a pool can change over time. If a financial asset’s risk characteristics change, the Company evaluates whether it is appropriate to continue to keep the financial instrument in its existing pool or evaluate it individually. In measuring the general allowance for credit losses for financial instruments such as loans held for investment and unfunded loan commitments that share similar risk characteristics, the Company primarily applies a probability of default (“PD”)/loss given default (“LGD”) model for instruments that are collectively assessed, whereby the provision for credit losses is calculated as the product of PD, LGD and exposure at default (“EAD”). The Company’s model to determine the general allowance for credit losses principally utilizes historical loss rates derived from a commercial mortgage backed securities database with historical losses from 2002 to 2021 provided by a reputable third party, forecasting the loss parameters based on a projected macroeconomic scenario using a probability-based statistical approach over a reasonable and supportable forecast period of twelve months, followed by an immediate reversion to average historical losses. Specific allowance for credit losses For financial instruments where the borrower is experiencing financial difficulty based on the Company’s assessment at the reporting date and the repayment is expected to be provided substantially through the operation or sale of the collateral, the Company may elect to use as a practical expedient the fair value of the collateral at the reporting date when determining the provision for credit losses. For loans held for investment which the Company identifies reasonable doubt as to whether the collection of contractual components can be satisfied, a loan specific allowance for credit losses analysis is performed. Determining whether a specific allowance for credit losses for a loan is required entails significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to have a specific allowance for credit losses, the specific allowance for credit losses is recorded as a component of our Current Expected Credit Loss ("CECL") reserve by applying the practical expedient for collateral dependent loans. The CECL reserve is assessed on an individual basis for such loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. The estimated fair value of the underlying collateral requires judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plans, loan sponsorship, actions of other lenders, and other factors deemed relevant by the Company. Actual losses, if any, could ultimately differ materially from these estimates. The Company only expects to write-off specific provisions if and when such amounts are deemed non-recoverable. Non-recoverability is generally determined at the time a loan is settled, or in the case of foreclosure, when the underlying asset is sold. Non-recoverability may also be concluded if, in the Company's determination, it is deemed certain that all amounts due will not be collected. If a loan is determined to be impaired based on the above considerations, management records a write-off through a charge to the allowance for credit losses and the respective loan balance. Risk Rating In developing the provision for credit losses for its loans held for investment, the Company performs a comprehensive analysis of its loan portfolio and assigns risk ratings to loans that incorporate management's current judgments about their credit quality based on all known and relevant internal and external factors that may affect collectability, using similar factors as those in developing the provision for credit losses. This methodology results in loans being segmented by risk classification into risk rating categories that are associated with estimated probabilities of default and principal loss. Risk rating categories range from "1" to "5" with "1" representing the lowest risk of loss and "5" representing the highest risk of loss with the ratings updated quarterly. At the time of origination or purchase, loans held for investment are ranked as a “2” and will move accordingly going forward based on the ratings which are defined as follows: Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 1. Very Low Risk- Investment exceeding fundamental performance expectations and/or capital gain expected. Trends and risk factors since time of investment are favorable. 2. Low Risk- Performing consistent with expectations and a full return of principal and interest expected. Trends and risk factors are neutral to favorable. 3. Average Risk- Performing investments requiring closer monitoring. Trends and risk factors show some deterioration. 4. High Risk/Delinquent/Defaulted/Potential for Loss- Underperforming investment with the potential of some interest loss but still expecting a positive return on investment. Trends and risk factors are negative. 5. Impaired/Loss Likely- Underperforming investment with expected loss of interest and some principal. The Company also considers qualitative and environmental factors, including, but not limited to, economic and business conditions, nature and volume of the loan portfolio, lending terms, volume and severity of past due loans, concentration of credit and changes in the level of such concentrations in its determination of the provision for credit losses. Changes in the provision for credit losses for the Company’s financial instruments are recorded in (Provision)/benefit for credit losses in the consolidated statements of operations with a corresponding offset to the financial instrument’s amortized cost recorded in the consolidated balance sheets, or as a component of Accounts payable and accrued expenses for unfunded loan commitments. The Company has elected to not measure a provision for credit losses for accrued interest receivable as balances are written off in a timely manner when loans, real estate securities or preferred equity investments are designated as non-performing and placed on non-accrual or cost recovery status within 90 days of becoming past due. Non-performing status The Company designates loans as non-performing when (i) full payment of principal and coupon interest components become 90-days past due ("non-accrual status"); or (ii) the Company has reasonable doubt as to whether the collection of contractual components can be satisfied ("cost recovery status"). When a loan is designated as non-performing and placed on non-accrual status, interest is only recognized as income when payment has been received. Loans designated as non-performing and placed on non-accrual status are removed from their non-performing designation when collection of principal and coupon interest components have been satisfied. When a loan is designated as non-performing and placed on cost recovery status, the cost-recovery method is applied to which receipt of principal or coupon interest is recorded as a reduction to the amortized cost until collection of all contractual components are reasonably assured. Real Estate Securities Available For Sale The Company’s real estate securities are classified as available for sale ("AFS") and carried at fair value. Changes in fair value of available for sale real estate securities are recognized in the consolidated statements of comprehensive income. Related discounts, premiums and acquisition expenses on investments are amortized or accreted over the life of the investment using the effective interest method. Amortization and accretion are reflected as an adjustment to interest income in the consolidated statements of operations. The Company uses the specific identification method in determining the cost relief for real estate securities sold. Realized gains and losses from the sale of available for sale securities are included in the consolidated statements of operations. AFS real estate securities which have experienced a decline in the fair value below their amortized cost basis (i.e., impairment) are evaluated each reporting period to determine whether the decline in fair value is due to credit-related factors. Any impairment that is not credit-related is recognized in accumulated other comprehensive income, while credit-related impairment is recognized as an allowance in the consolidated balance sheets with a corresponding adjustment in the consolidated statements of operations. If the Company intends to sell an impaired real estate security or more likely than not will be required to sell such a security before recovering its amortized cost basis, the entire impairment amount is recognized in the consolidated statements of operations with a corresponding adjustment to the security’s amortized cost basis. The Company analyzes the AFS real estate securities portfolio on a periodic basis for credit losses at the individual security level using the same criteria described above for those amortized cost financial assets subject to an provision for credit losses including but not limited to; performance of the underlying assets in the security, borrower financial resources and investment in collateral, collateral type, credit ratings, project economics and geographic location as well as national and regional economic factors. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 The non-credit loss component of the unrealized loss within the Company’s AFS portfolio is recognized as an adjustment to the individual security’s asset balance with an offsetting entry to Accumulated other comprehensive income/(loss) in the consolidated balance sheets. Repurchase Agreements Commercial mortgage loans and real estate securities sold under repurchase agreements have been treated as collateralized financing transactions because the Company maintains effective control over the transferred securities. Commercial mortgage loans and real estate securities financed through repurchase agreements remain in the consolidated balance sheets as an asset and cash received from the purchaser is recorded as a liability. Interest paid in accordance with repurchase agreements is recorded in Interest expense in the consolidated statements of operations. Deferred Financing Costs The deferred financing costs related to the Company's various Master Repurchase Agreements as well as certain prepaid subscription costs are included in Prepaid expenses and other assets in the consolidated balance sheets. Deferred financing cost on the Company's CLO are netted against the Company's CLO payable in Collateralized loan obligations in the consolidated balance sheets. Deferred financing costs are amortized over the terms of the respective financing agreement using the effective interest method and included in Interest expense in the consolidated statements of operations. Unamortized deferred financing costs are generally realized in Realized gain/(loss) on extinguishment of debt in the consolidated statements of operations when the associated debt is refinanced or repaid before maturity. Offering and Related Costs Since 2018, the Company has from time to time offered, shares of the Company’s common stock or one or more series of its preferred stock, including its former Series C convertible preferred stock (the “Series C Preferred Stock,”), former Series D convertible preferred stock (the “Series D Preferred Stock”), Series H convertible preferred stock (the “Series H Preferred Stock”) and former Series I convertible preferred stock (the “Series I Preferred Stock”) in private placements exempt from the registration requirements of the Securities Act of 1933, as amended. In connection with these offerings, the Company incurred various offering costs. These offering costs include but are not limited to legal, accounting, printing, mailing and filing fees, and diligence expenses of broker-dealers. Offering costs for the common stock are recorded in the Company’s stockholders’ equity, while the offering costs for the Series C Preferred Stock and Series D Preferred Stock are included within Series C Preferred Stock and Series D Preferred Stock, respectively, in the consolidated balance sheets. Offering costs for the Series H Preferred Stock and Series I Preferred Stock were expensed in the consolidated statement of operations. Equity Incentive Plan The Company maintains the Franklin BSP Realty Trust, Inc. 2021 Equity Incentive Plan (the “2021 Incentive Plan”), pursuant to which the Company has granted and may in the future, from time to time, grant equity awards to the Company’s directors, officers and employees (if it ever has employees), employees of the Advisor and its affiliates, or certain of the Company’s consultants, advisors or other service providers to the Company or an affiliate of the Company. The 2021 Incentive Plan, which is administered by the Compensation Committee of the board of directors, provides for the grant of awards of share options, share appreciation rights, restricted shares, restricted share units, deferred share units, unrestricted shares, dividend equivalent rights, performance shares and other performance-based awards, other equity-based awards, long-term incentive plan units and cash bonus awards. Since 2022, the Company has been issuing under the 2021 Incentive Plan annual awards of restricted stock units ("RSUs") to its officers and certain other personnel of the Advisor who provide services to the Company. These awards are service-based and vest in equal annual installments beginning on the anniversary of the date of grant over a period of three years , subject to continuing service. One share of the Company’s common stock is issued for each unit that vests. These awards also grant non-forfeitable dividend equivalent rights equal to the cash dividend paid in the ordinary course on a common share to the Company's common shareholders. Upon termination for any reason, all unvested RSUs will be forfeited by the grantee, who will be given no further rights to such RSUs. The fair value of the RSUs is expensed over the vesting period, which are included in Share-based compensation in the consolidated statements of operations. Restricted Share Plan The Company also had an Amended and Restated Employee and Director Incentive Restricted Share Plan (the "RSP"), which provided the Company with the ability to grant awards of restricted shares to the Company’s directors, officers and employees (if the Company ever has employees), employees of the Advisor and its affiliates, employees of entities that provide services to the Company, directors of the Advisor or of entities that provide services to the Company, the Advisor and its affiliates. The RSP expired on February 7, 2023. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Distribution Reinvestment Plan The Company maintains a dividend reinvestment plan ("DRIP") pursuant to which stockholders may reinvest dividends into shares of common stock. Shares of common stock purchased through the DRIP for dividend reinvestments are supplied either directly by the Company as newly issued shares or via purchases by the DRIP administrator of shares of common stock on the open market, at the Company’s option. If the shares are purchased in the open market, the purchase price is the average price per share of shares purchased; if the shares are purchased directly from the Company, the purchase price is generally the average of the daily high and low sales prices for a share of common stock reported by the NYSE on the dividend payment date authorized by the Company’s board of directors. The Company may suspend, modify or terminate the DRIP at any time in its sole discretion. Income Taxes The Company has conducted its operations to qualify as a REIT for U.S. federal income tax purposes beginning with its taxable year ended December 31, 2013. As a REIT, if the Company meets certain organizational and operational requirements and distributes at least 90 % of its "REIT taxable income" (determined before the deduction of dividends paid and excluding net capital gains) to its stockholders in a year, it will not be subject to U.S. federal income tax to the extent of the income that it distributes. However, even if the Company qualifies for taxation as a REIT, it may be subject to certain state and local taxes on income in addition to U.S. federal income and excise taxes on its undistributed income. The Company, through its TRSs, is indirectly subject to U.S. federal, state and local income taxes. The Company’s TRSs are not consolidated for U.S. federal income tax purposes, but are instead taxed as C corporations. For financial reporting purposes, the TRSs are consolidated and a provision for current and deferred taxes is established for the portion of earnings recognized by the Company with respect to its interest in its TRS. Total income tax (provision)/benefit for the years ended December 31, 2023, 2022, and 2021 were $ 2.8 million, $ 0.4 million, and $( 3.6 ) million, respectively. The Company uses a more-likely-than-not threshold for recognition and derecognition of tax positions taken or to be taken in a tax return. The Company has assessed its tax positions for all open tax years beginning with December 31, 2017 and concluded that there were no uncertainties to be recognized. The Company’s accounting policy with respect to interest and penalties related to tax uncertainties is to classify these amounts as provision for income taxes. The Company utilizes the TRSs to reduce the impact of the prohibited transaction tax and to avoid penalty for the holding of assets not qualifying as real estate assets for purposes of the REIT asset tests. Any income associated with a TRS is fully taxable because the TRS is subject to federal and state income taxes as a domestic C corporation based upon its net income. Derivatives and Hedging Activities In the normal course of business, the Company is exposed to the effect of interest rate changes and may undertake a strategy to limit these risks through the use of derivatives. The Company uses derivatives primarily to economically hedge against interest rates, CMBS spreads and macro market risk in order to minimize volatility. The Company may use a variety of derivative instruments that are considered conventional, including but not limited to: Treasury note futures and credit derivatives on various indices including CMBX and CDX. The Company recognizes all derivatives on the consolidated balance sheets at fair value. The Company does not designate derivatives as hedges to qualify for hedge accounting for financial reporting purposes and therefore any net payments under, or fluctuations in the fair value of these derivatives have been recognized currently in Unrealized (gain)/loss on derivative instruments in the accompanying consolidated statements of operations. The Company records derivative asset and liability positions on a gross basis with any collateral posted with or received from counterparties recorded separately within Restricted cash in the consolidated balance sheets. Certain derivatives that the Company has entered into are subject to master netting agreements with its counterparties, allowing for netting of the same transaction, in the same currency, on the same date. Per Share Data The Company’s Series H Preferred Stock and Series I Preferred Stock are each considered a participating security and the Company calculates basic earnings per share using the two-class method. The Company’s dilutive earnings per share calculation is computed using the more dilutive result of the treasury stock method, assuming the participating security is a potential common share, or the two-class method, assuming the participating security is not converted. The Company calculates basic earnings per share by dividing net income applicable to common stock for the period by the weighted-average number of shares of common stock outstanding for that period. Diluted earnings per share reflects the potential dilution that could occur from shares outstanding if potential shares of common stock with a dilutive effect have been issued in connection with the restricted stock plan or upon conversion of the outstanding shares of the Company’s Series H Preferred Stock and Series I Preferred Stock , except when doing so would be anti-dilutive. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Reportable Segments The Company has determined that it has four reportable segments based on how the chief operating decision maker reviews and manages the business. The four reporting segments are as follows: • The real estate debt business focuses on originating, acquiring and asset managing commercial real estate debt investments, including first mortgages, subordinate mortgages, mezzanine loans and participations in such loans. • The real estate securities business focuses on investing in and asset managing real estate securities. Historically this business has focused primarily on CMBS, CRE CLO bonds, CDO notes, and other securities. As a result of the October 2021 acquisition of Capstead, the Company acquired a portfolio of ARM Agency Securities. The portfolio was completely divested by the third quarter of 2023. • The commercial real estate conduit business operated through the Company's TRS, which is focused on generating risk-adjusted returns by originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market at a profit. The TRS may also hold certain mezzanine loans that don't qualify as good REIT assets due to any potential loss from foreclosure. • The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase. See Note 16 - Segment Reporting for further information regarding the Company's segments. Redeemable Convertible Preferred Stock The Company’s outstanding classes of redeemable convertible preferred stock are classified outside of permanent equity in the consolidated balance sheets. Series H Preferred Stock The Series H Preferred Stock ranks senior to the Common Stock and on parity with the Company’s 7.50 % Series E Cumulative Redeemable Preferred Stock ("Series E Preferred Stock") with respect to priority in dividends and in the distribution of assets in the event of the liquidation, dissolution or winding-up of the Company. The liquidation preference of each share of Series H Preferred Stock is the greater of (i) $ 5,000 plus accrued and unpaid dividends, and (ii) the amount that would be received upon a conversion of the Series H Preferred Stock into the Common Stock. Dividends on the Series H Preferred Stock, which are typically declared and paid quarterly, accrue at a rate equal to the greater of (i) an annual amount equal to 4.0 % of the liquidation preference per share and (ii) the dividends that would have been paid had such share of Series H Preferred Stock been converted into a share of common stock on the first day of such quarter, subject to proration in the event the share of Series H preferred stock is not outstanding for the full quarter. Dividends are paid in arrears. Dividends will accumulate and be cumulative from the most recent date to which dividends had been paid. On January 10, 2024, the Series H Preferred Stock was amended such that the mandatory conversion date was extended by one year, to January 21, 2025. Unless earlier converted, the Series H Preferred Stock will automatically convert into common stock at a rate of 299.2 shares of common stock per share of Series H Preferred Stock (subject to adjustments as described in the Articles Supplementary for the Series H Preferred Stock) on January 21, 2025. The holder of the Series H Preferred Stock has the right to convert up to 4,487 shares of Series H Preferred Stock one time in each calendar month through December 2024, upon 10 business days’ advance notice to the Company. Holders of the Series H Preferred Stock (voting as a single class with holders of common stock) are entitled to vote on each matter submitted to a vote of the stockholders of the Company upon which the holders of common stock are entitled to vote. The number of votes applicable to a share of outstanding Series H Preferred Stock will be equal to the number of shares of common stock a share of Series H Preferred Stock could have been converted into as of the record date set for purposes of such stockholder vote (rounded down to the nearest whole number of shares of common stock). In addition, the affirmative vote of the holders of two-thirds of the outstanding shares of Series H Preferred Stock, voting as a single class with other shares of parity preferred stock, is required to approve the issuance of any equity securities senior to the Series H Preferred Stock and to take certain actions materially adverse to the holders of the Series H Preferred Stock. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Series I Preferred Stock On January 19, 2023, all of the 1,000 outstanding shares of the Series I Preferred Stock converted by their terms into 299.2 shares of common stock per share of Series I Preferred Stock. Perpetual Preferred Stock—Series E Preferred Stock The Series E Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series E Preferred Stock ranks, with respect to rights to the payment of dividends and the distribution of assets upon its liquidation, dissolution or winding up, senior to the common stock and on a parity with the Series H Preferred Stock. The liquidation preference is $ 25.00 per share, plus an amount equal to any accumulated and unpaid dividends. Holders of shares of the Series E Preferred Stock are entitled to receive, when, as and if authorized by our board of directors and declared by the Company, out of funds legally available for the payment of dividends, cumulative cash dividends at the rate of 7.50 % of the $ 25.00 per share liquidation preference per annum (equivalent to $ 1.875 per annum per share). Dividends on the Series E Preferred Stock are cumulative and payable quarterly in arrears. Dividends on the Series E Preferred Stock will accumulate whether or not the Company has earnings, whether or not there are funds legally available for the payment of those dividends and whether or not those dividends are declared. The Company may, at its option, upon not less than 30 nor more than 60 days’ written notice, redeem the Series E Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price of $ 25.00 per share, plus any accumulated and unpaid dividends thereon to, but not including, the date fixed for redemption. Upon a change of control of the Company, in the event the Company does not redeem the Series E Preferred Stock, a holder of Series E Preferred Stock will have the right to convert to Common Stock upon the terms set forth in the applicable Articles Supplementary. The Series E Preferred Stock is listed on the New York Stock Exchange under the symbol “FBRT PRE”. Recently Issued Accounting Pronouncements In March 2022, the FASB issued ASU 2022-02 "Financial Instruments-Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures," or ASU 2022-02. ASU 2022-02 eliminates the accounting guidance for troubled debt restructurings ("TDR") and requires disclosure of current-period gross write-offs by year of loan origination. Additionally, ASU 2022-02 updates the accounting for credit losses under ASC 326 and adds enhanced disclosures with respect to loan refinancing and restructuring in the form of principal forgiveness, interest rate concessions, other-than-insignificant payment delays, or term extensions when the borrower is experiencing financial difficulties. On January 1, 2023, the Company adopted ASU 2022-02 on a prospective basis and the adoption had no significant or material impact to the Company's consolidated financial statements. In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting , which provides temporary optional expedients and exceptions to the US GAAP guidance on contract modifications and hedge accounting to ease the financial reporting burdens of the expected market transition from the London interbank offered rate (“LIBOR”) and other interbank offered rates to alternative reference rates. The guidance is effective upon issuance and generally can be elected over time through December 31, 2024, as extended under ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848 . During the third quarter of 2023, the Company adopted ASU 2020-04. The adoption of ASU 2020-04 did not have a material impact on the Company's consolidated financial statements as of December 31, 2023. In November 2023, the FASB issued ASU 2023-07 “Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures,” or ASU 2023-07. ASU 2023-07 enhances the disclosures required for reportable segments on an annual and interim basis. ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted. We do not expect the adoption of ASU 2023-07 to have a material impact on our consolidated financial statements. In December 2023, the FASB issued Accounting Standards Update, or ASU, 2023-09 “Income Taxes (Topic 740): Improvements to Income Tax Disclosures,” or ASU 2023-09. ASU 2023-09 requires additional disaggregated disclosures on the entity’s effective tax rate reconciliation and additional details on income taxes paid. ASU 2023-09 is effective on a prospective basis, with the option for retrospective application, for annual periods beginning after December 15, 2024 and early adoption is permitted. We do not expect the adoption of ASU 2023-09 to have a material impact on our consolidated financial statements. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 3 - Commercial Mortgage Loans The following table is a summary of the Company's commercial mortgage loans, held for investment, carrying values by class (dollars in thousands): December 31, 2023 December 31, 2022 Senior loans $ 5,017,569 $ 5,251,464 Mezzanine loans 19,373 18,312 Total gross carrying value of loans 5,036,942 5,269,776 General allowance for credit losses 47,175 26,624 Specific allowance for credit losses (1) — 14,224 Less: Allowance for credit losses 47,175 40,848 Total commercial mortgage loans, held for investment, net $ 4,989,767 $ 5,228,928 ________________________ (1) As of December 31, 2022, the Company recorded a specific reserve with respect to a retail loan designated as non-performing. For the years ended December 31, 2023 and 2022, the activity in the Company's commercial mortgage loans, held for investment carrying values, was as follows (dollars in thousands): For the Years Ended December 31, 2023 December 31, 2022 Amortized cost, beginning of period $ 5,269,776 $ 4,226,888 Acquisitions and originations 941,513 2,247,613 Principal repayments ( 1,076,532 ) ( 1,109,769 ) Net fees capitalized into carrying value of loans ( 5,242 ) ( 13,775 ) Discount accretion/premium amortization 13,016 12,614 Loans transferred from/(to) commercial real estate loans, held for sale — ( 9,296 ) Transfer to real estate owned ( 103,863 ) ( 80,460 ) Cost recovery ( 1,726 ) ( 4,039 ) Amortized cost, end of period 5,036,942 5,269,776 Allowance for credit losses, beginning of period ( 40,848 ) ( 15,827 ) General (provision)/benefit for credit losses ( 20,551 ) ( 10,797 ) Specific (provision)/benefit for credit losses ( 12,334 ) ( 25,281 ) Write offs from specific allowance for credit losses 26,558 11,057 Allowance for credit losses, end of period ( 47,175 ) ( 40,848 ) Total commercial mortgage loans, held for investment, net $ 4,989,767 $ 5,228,928 As of December 31, 2023 and 2022, the Company's total commercial mortgage loan, held for investment portfolio, was comprised of 144 and 161 loans, respectively. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Loan Portfolio by Collateral Type and Geographic Region The following tables represent the composition by loan collateral type and region of the Company's commercial mortgage loans, held for investment portfolio (dollars in thousands): December 31, 2023 December 31, 2022 Loan Collateral Type Par Value Percentage Par Value Percentage Multifamily $ 3,876,108 76.8 % $ 4,030,975 76.1 % Hospitality 670,274 13.3 % 510,566 9.7 % Office 269,924 5.4 % 405,705 7.7 % Industrial 73,724 1.5 % 93,035 1.8 % Retail 34,000 0.7 % 120,017 2.3 % Other 121,006 2.3 % 128,676 2.4 % Total $ 5,045,036 100.0 % $ 5,288,974 100.0 % December 31, 2023 December 31, 2022 Loan Region Par Value Percentage Par Value Percentage Southeast $ 1,989,175 39.4 % $ 2,229,756 42.2 % Southwest 1,920,491 38.1 % 1,763,492 33.3 % Mideast 455,739 9.0 % 706,192 13.4 % Great Lakes 161,059 3.2 % 162,162 3.1 % Far West 113,554 2.3 % 234,891 4.4 % Other 405,018 8.0 % 192,481 3.6 % Total $ 5,045,036 100.0 % $ 5,288,974 100.0 % Allowance for Credit Losses The following table presents the changes in the Company's allowance for credit losses for the years ended December 31, 2023 and 2022 (dollars in thousands): General Allowance for Credit Losses Specific Allowance for Credit Losses Funded Unfunded Total Total Allowance for Credit Losses December 31, 2021 $ — $ 15,827 $ 243 $ 16,070 $ 16,070 Changes: Provision/(Benefit) 25,281 10,797 37 10,834 36,115 Write offs ( 11,057 ) — — — ( 11,057 ) December 31, 2022 $ 14,224 $ 26,624 $ 280 $ 26,904 $ 41,128 Changes: Provision/(Benefit) 12,334 20,551 853 21,404 33,738 Write offs ( 26,558 ) — — — ( 26,558 ) December 31, 2023 $ — $ 47,175 $ 1,133 $ 48,308 $ 48,308 Specific Allowance for Credit Losses As of December 31, 2022, the Company identified a commercial mortgage loan, held for investment secured by a portfolio of retail properties (the “Walgreens Portfolio”), that was assigned a risk rating of “5” due to certain conditions that negatively impacted the underlying collateral property’s cash flows. The loan was evaluated in accordance with ASC 310 - Receivables and was determined to be a TDR. The Company elected the practical expedient collateral-dependent asset to measure the fair value of the underlying collateral, as of December 31, 2022, and recorded a specific provision for credit losses of $ 14.2 million based on the difference between the Company’s estimation of the fair value of the underlying collateral property, less costs to sell, and the loan’s amortized cost basis. As of December 31, 2022, the loan had a fully funded outstanding principal balance of $ 63.6 million, and carrying value of $ 46.1 million. During the first quarter of 2023, the Company recorded an additional $ 0.8 million specific allowance for credit losses on the loan and wrote off the remaining $ 15.1 million specific allowance for credit losses for the Walgreens Portfolio, net of $ 0.7 million recoveries recorded. All properties collateralized by the senior mortgage notes were assumed by the Company through foreclosures and deeds-in-lieu of foreclosure and correspondingly were transferred to Real estate owned, net of depreciation in the consolidated balance sheets. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 In February 2020, the Company originated a first mortgage loan secured by an office property in Portland, OR. In February 2023, the fully committed $ 37.3 million senior loan was restructured as a result of financial difficulty to a $ 25.0 million committed senior loan. In connection with the restructuring, the Company committed a $ 10.1 million mezzanine note. In accordance with the adoption of ASU 2022-02, the restructuring was classified as a continuation of an existing loan on the senior loan and new loan for the mezzanine note. During the second quarter of 2023, the Company assigned the senior and mezzanine notes a risk rating of "5" and placed the loan on cost recovery status. The Company elected to apply a practical expedient for collateral dependent assets in which the allowance for credit losses is calculated as the difference between the estimated fair value of the underlying collateral, less estimated cost to sell, and the amortized cost basis of the loan. As a result, the Company recorded a specific allowance for credit losses of $ 11.9 million on this loan in the second quarter of 2023 and subsequently wrote off this specific allowance for credit losses in the same quarter. During the third quarter of 2023, the Company foreclosed upon the mortgage notes through deed-in-lieu of foreclosure. The carrying value of the loan at the time of repossession was $ 20.3 million, net of cost recoveries totaling $ 1.1 million. In connection therewith, the underlying collateral assets were reclassified to Real estate owned, net of depreciation in the consolidated balance sheets as a result of deed-in-lieu. The transfer was evaluated to be an asset acquisition in accordance with ASC 805. See Note 5 - Real Estate Owned. General Allowance for Credit Losses The Company recorded an increase in its general allowance for credit losses during the year ended December 31, 2023 of $ 21.4 million. The primary driver for the higher reserve balance is due to a more pessimistic and conservative macro-economic outlook since the end of the prior year slightly offset by a decrease in the overall portfolio of commercial mortgage loans, held for investment as of December 31, 2023. The Company recorded an increase in its general allowance for credit losses during the year ended December 31, 2022 of $ 10.8 million. The primary driver for the higher reserve balance is the change in economic outlook since the end of the prior year coupled with the increase in overall portfolio of commercial mortgage loans, held for investment as of December 31, 2022. Past Due Status The following table presents a summary of the loans amortized cost basis as of December 31, 2023 (dollars in thousands): Current Less than 90 days past due 90 or more days past due (1) Total As of December 31, 2023 $ 4,837,414 $ 136,139 $ 63,389 $ 5,036,942 ________________________ (1) This is comprised of (i) $ 27.4 million of outstanding principal amount of a mortgage loan collateralized by self storage properties which was paid down subsequent to December 31, 2023 and (ii) $ 35.9 million outstanding principal amount of a mortgage loan collateralized by multifamily properties which was designated as non-performing and, subsequent to December 31, 2023, all past due accrued interest was collected. Non-performing Status The following table presents the amortized cost basis of our non-performing loans as of December 31, 2023 and 2022 (dollars in thousands): December 31, 2023 December 31, 2022 Non-performing loan amortized cost at beginning of year, January 1 $ 117,379 $ 57,075 Addition of non-performing loan amortized cost 118,647 60,304 Less: Removal of non-performing loan amortized cost 157,841 — Non-performing loan amortized cost end of period (1) $ 78,185 $ 117,379 ________________________ (1) As of December 31, 2023 and 2022, the Company had two and two loans, respectively, designated as non-performing. No specific allowances for credit losses were determined for the 2 loans on non-performing status as of December 31, 2023. As of December 31, 2023, the two designated non-performing loans were both collateralized by multifamily properties. Loan Credit Characteristics, Quality and Vintage As part of the Company's process for monitoring the credit quality of its commercial mortgage loans, excluding those held for sale, measured at fair value, it performs a quarterly loan portfolio assessment and assigns risk ratings to each of its loans. The loans are scored on a scale of 1 to 5 as described in Note 2 - Summary of Significant Accounting Policies. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Commercial mortgage loans, held for investment in the consolidated balance sheets, are assigned an initial risk rating of 2 . As of December 31, 2023 and 2022, the weighted average risk rating of loans was 2.3 and 2.2 , respectively. The following tables present the par value and amortized cost of our commercial mortgage loans, held for investment as of December 31, 2023 and 2022, by the Company’s internal risk rating and year of origination (dollars in thousands): December 31, 2023 Amortized Cost by Year of Origination Risk Rating Number of Loans Total Par Value 2023 2022 2021 2020 2019 Prior Total Amortized Cost % of Portfolio 1 — $ — $ — $ — $ — $ — $ — $ — $ — — % 2 111 3,897,680 694,228 1,256,509 1,724,734 105,477 73,743 35,734 3,890,424 77.2 % 3 27 875,449 2,379 273,097 468,244 74,729 — 56,362 874,811 17.4 % 4 6 271,907 — 141,740 87,126 — 42,840 — 271,707 5.4 % 5 — — — — — — — — — — % Total 144 $ 5,045,036 $ 696,607 $ 1,671,346 $ 2,280,104 $ 180,206 $ 116,583 $ 92,096 $ 5,036,942 100.0 % Allowance for credit losses ( 47,175 ) Total carrying value, net $ 4,989,767 December 31, 2022 Amortized Cost by Year of Origination Risk Rating Number of Loans Total Par Value 2022 2021 2020 2019 2018 Prior Total Amortized Cost % of Portfolio 1 — $ — $ — $ — $ — $ — $ — $ — $ — — % 2 141 4,783,568 1,778,691 2,483,120 315,269 115,673 75,467 — 4,768,220 90.6 % 3 15 281,071 — 167,707 36,655 54,631 — 21,792 280,785 5.3 % 4 4 160,695 32,305 — 36,356 — 34,731 57,075 160,467 3.0 % 5 1 63,640 60,304 — — — — — 60,304 1.1 % Total 161 $ 5,288,974 $ 1,871,300 $ 2,650,827 $ 388,280 $ 170,304 $ 110,198 $ 78,867 $ 5,269,776 100.0 % Allowance for credit losses ( 40,848 ) Total carrying value, net $ 5,228,928 Commercial Mortgage Loans, Held for Sale, Measured at Fair Value As of December 31, 2023 the Company did no t hold any commercial mortgage loans, held for sale. As of December 31, 2022, the contractual principal balance outstanding of commercial mortgage loans, held for sale, measured at fair value was $ 15.6 million which was comprised of two loans. As of December 31, 2022, none of the Company's commercial mortgage loans, held for sale, measured at fair value were in default or greater than ninety days past due. The following tables represent the composition by loan collateral type and region of the Company's commercial mortgage loans, held for sale, measured at fair value (dollars in thousands): December 31, 2023 December 31, 2022 Loan Collateral Type Par Value Percentage Par Value Percentage Retail — — % $ 12,000 76.8 % Office — — % 3,625 23.2 % Total $ — — % $ 15,625 100.0 % December 31, 2023 December 31, 2022 Loan Region Par Value Percentage Par Value Percentage Southeast $ — — % $ 15,625 100.0 % Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 4 - Real Estate Securities Real Estate Securities Classified As Trading As of December 31, 2023, the Company did no t hold any real estate securities classified as trading. The following is a summary of the Company's ARMs classified by collateral type and interest rate characteristics as of December 31, 2022 (dollars in thousands): Carrying Amount Average Yield (1) December 31, 2022 Agency Securities: Fannie Mae/Freddie Mac ARMs $ 235,728 2.42 % ________________________ (1) Average yield is presented for the year then ended, and is based on the cash component of interest income expressed as a percentage on average cost basis (the “cash yield”). During the year ended December 31, 2023, the carrying amount of the Company's ARMs portfolio declined due to (i) $ 17.6 million of principal paydowns, (ii) $ 218.2 million of sales, and (iii) $ 0.6 million of net trading losses, related to principal paydowns, changes in market values and sales of these securities. During the year ended December 31, 2022, the carrying amount of the Company's ARMs portfolio declined due to (i) $ 480.2 million of principal paydowns, (ii) $ 3.8 billion of sales, and (iii) $ 119.2 million of net trading losses related to principal paydowns, changes in market values and sales of these securities. The net trading gains/losses on ARM Agency Securities were included in Trading gain/(loss) in the consolidated statements of operations. Real Estate Securities Classified As Available For Sale The following is a summary of the Company's real estate securities, available for sale, measured at fair value as of December 31, 2023 and 2022 (dollars in thousands): CRE CLO Bonds Number of Bonds Benchmark Interest Rate Weighted Average Interest Rate Weighted Average Contractual Maturity (years) Par Value Fair Value December 31, 2023 7 1 Month SOFR 8.12 % 12.2 $ 243,340 $ 242,569 December 31, 2022 7 1 Month SOFR 7.55 % 15.4 $ 221,000 $ 221,025 The Company classified its CRE CLO bonds as available for sale and reports them at fair value in the consolidated balance sheets with changes in fair value recorded in Accumulated other comprehensive income/(loss) in the consolidated balance sheets. The following table shows the amortized cost, allowance for expected credit losses, unrealized gain/(loss) and fair value of the Company's CRE CLO bonds by investment type as of December 31, 2023 and 2022 (dollars in thousands): Amortized Cost Credit Loss Allowance Unrealized Gain Unrealized (Loss) Fair Value December 31, 2023 $ 243,272 $ — 74 ( 777 ) $ 242,569 December 31, 2022 $ 220,635 $ — $ 833 ( 443 ) $ 221,025 As of December 31, 2023, the Company held seven CRE CLO bonds with an amortized cost basis of $ 243.3 million and a net unrealized loss of $ 0.7 million, five of which were held in a gross unrealized loss position of $ 0.8 million. As of December 31, 2022, the Company held seven CRE CLO bonds with an amortized cost basis of $ 220.6 million and a net unrealized gain of $ 0.39 million, three of which were held in a gross unrealized loss position of $ 0.44 million. As of December 31, 2023 and 2022, zero positions had an unrealized loss for a period greater than twelve months. As of December 31, 2023 and 2022, the fair value of the Company's CRE CLO bonds that were in an unrealized loss position for less than twelve months, and for which an allowance for credit loss has not been recorded was $ 184.2 million and $ 113.7 million, respectively. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 5 - Real Estate Owned Real Estate Owned, Held for Investment The following table summarizes the Company's real estate owned, held for investment assets as of December 31, 2023 and 2022 (dollars in thousands): As of December 31, 2023 Acquisition Date Property Type Primary Location(s) Land Building and Improvements Furniture, Fixtures and Equipment Accumulated Depreciation Real Estate Owned, net September 2021 (1) Industrial Jeffersonville, GA $ 3,436 $ 84,259 $ 2,928 $ ( 5,179 ) $ 85,444 August 2023 (2) Office Portland, OR 16,479 2,065 — ( 13 ) 18,531 October 2023 (3) Multifamily Lubbock, TX 1,618 10,076 185 ( 24 ) 11,855 $ 21,533 $ 96,400 $ 3,113 $ ( 5,216 ) $ 115,830 ________________________ See notes below. As of December 31, 2022 Acquisition Date Property Type Primary Location(s) Land Building and Improvements Furniture, Fixtures and Equipment Accumulated Depreciation Real Estate Owned, net September 2021 (1) Industrial Jeffersonville, GA $ 3,436 $ 84,259 $ 2,928 $ ( 2,877 ) $ 87,746 Various (4) Retail Various 9,105 31,036 — ( 115 ) 40,026 $ 12,541 $ 115,295 $ 2,928 $ ( 2,992 ) $ 127,772 ________________________ (1 ) In the third quarter of 2021, the Company and an affiliate of the Company entered into a joint venture agreement and formed a joint venture entity, Jeffersonville Member, LLC (the “Jeffersonville JV”) to acquire a triple net lease property in Jeffersonville, GA. Refer to Note 11 - Related Party Transactions and Arrangements for details. (2) In August 2023, the Company obtained, through deed-in-lieu of foreclosure, an office property located in Portland, OR in lieu of repayment of the associated loan. (3) In October 2023, the Company obtained, through deed-in-lieu of foreclosure, a multifamily property located in Lubbock, TX in lieu of repayment of the associated loan. (4) As of December 31, 2023 and 2022, the Company foreclosed upon 24 and ten retail properties respectively, located throughout the United States of America. During the year ended December 31, 2023, the Company classified the entire portfolio consisting of the 24 retail properties as Real estate owned, held for sale in the consolidated balance sheets as discussed in the paragraphs below. Refer to Note 11 - Related Party Transactions and Arrangements for details. Depreciation expense for the years ended December 31, 2023 and 2022 totaled $ 3.3 million and $ 2.4 million, respectively. Real Estate Owned, Held for Sale The following table summarizes the Company's Real estate owned, held for sale assets and liabilities as of December 31, 2023 and 2022 (dollars in thousands): As of December 31, 2023 Property Type Primary Location(s) Assets, Net Liabilities, Net Retail Various $ 103,657 $ 12,297 As of December 31, 2022 Property Type Primary Location(s) Assets, Net Liabilities, Net Multifamily New Rochelle, NY $ 23,520 $ — Office St. Louis, MO 12,977 — $ 36,497 $ — During the year ended December 31, 2022, the Company entered into agreements with two borrowers to voluntarily transfer their assets in exchange for the removal of the borrowers' obligation to repay all of the associated commercial mortgage Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 loans receivable with an amortized cost of $ 36.9 million, in aggregate, provided by the Company. One of the voluntary transfers collateralized by a multifamily portfolio was the result of the borrower experiencing financial difficulty and the recorded investment in the receivable was more than the fair value, less estimated costs to sell, for the collateral collected. Therefore, the voluntary transfer qualified as a TDR. The Company accounted for both voluntary transfers and the real estate owned acquired as asset acquisitions. The voluntary transfers resulted in a total realized loss of $ 0.4 million, in aggregate, and was recognized in Realized (gain)/loss on sale of commercial mortgage loan, held for sale in the consolidated statements of operations for the year ended December 31, 2022. As of December 31, 2022, the Company designated the properties included within the real estate owned business segment as held for sale in accordance with ASC 360. As of December 31, 2022, the Company recognized an unrealized loss of $ 0.7 million on real estate owned, held for sale assets resulting in a carrying value of $ 36.5 million, in aggregate. During the year ended December 31, 2023, the Company sold the two properties for an aggregate amount of $ 34.8 million resulting in a total loss of $ 3.3 million included in Gain/(loss) on other real estate investments in the consolidated statements of operations. In November 2022, the Company and an affiliate of the Company entered into a joint venture agreement and formed a joint venture entity, BSPRT Walgreens Portfolio, LLC (the "Walgreens JV") to assume the retail Walgreens Portfolio consisting of 24 retail properties with various locations throughout the United States. Refer to Note 11 - Related Party Transactions and Arrangements. As of December 31, 2022, through foreclosures, the Company had acquired ten of the 24 properties, and subsequently acquired the remaining 14 properties during the year ended December 31, 2023. During the third quarter of 2023, the Company classified the real estate owned assets and liabilities as held for sale in accordance with ASC 360 - Property, Plant, and Equipment and recognized an impairment loss of $ 4.0 million included in Gain/(loss) on other real estate investments in the consolidated statements of operations. Refer to Note 12 - Fair Value of Financial Instruments for discussion on the properties fair value measurement. In addition, the Company sold one of the retail properties in the portfolio in September 2023, resulting in a loss of $ 22 thousand included in Gain/(loss) on other real estate investments in the consolidated statements of operations. As of December 31, 2023, the Company's real estate owned held for sale assets consisted of the remaining 23 retail properties in the Walgreens Portfolio. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 6 - Leases Intangible Lease Assets and Liabilities, Held for Investment The following table summarizes the Company's identified intangible lease assets (primarily in-place leases) and liabilities (primarily below-market leases) recognized in the consolidated balance sheets as of December 31, 2023 and 2022 (dollars in thousands): Identified intangible assets: December 31, 2023 December 31, 2022 Gross amount $ 49,285 $ 58,542 Accumulated amortization $ ( 6,492 ) ( 3,711 ) Total, net 42,793 $ 54,831 Identified intangible liabilities: Gross amount $ — $ 6,507 Accumulated amortization — ( 79 ) Total, net $ — $ 6,428 Rental Income Rental income for the years ended December 31, 2023 and 2022 totaled $ 17.9 million and $ 9.6 million, respectively. Rental income is included in Revenue from real estate owned in the consolidated statements of operations. The following table summarizes the Company's schedule of future minimum rents on its real estate owned, held for investment properties, to be received under the lease (dollars in thousands): Future Minimum Rents December 31, 2023 2024 $ 8,616 2025 8,374 2026 8,539 2027 8,710 2028 8,884 2029 and beyond 97,388 Total future minimum rent $ 140,511 Amortization Expense Intangible lease assets are amortized using the straight-line method over the remaining term of the lease. The weighted average life of the intangible assets as of December 31, 2023 is approximately 14.8 years. Amortization expense for the years ended December 31, 2023 and 2022 totaled $ 3.8 million and $ 3.0 million, respectively. Amortization of acquired below (above) market leases, net of acquired above-market leases, resulted in a decrease to rental revenues of $ 0.9 million for the year ended December 31, 2023 and an increase to rental revenues of $ 0.1 million for the year ended December 31, 2022, respectively. The following table summarizes the Company's expected amortization of other identified intangible assets, net over the next five years, exclusive of intangible assets that are held for sale, assuming no further acquisitions or dispositions (dollars in thousands): Amortization Expense - Other identified intangible assets December 31, 2023 2024 $ 2,880 2025 2,880 2026 2,880 2027 2,880 2028 2,880 Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 7 - Debt Below is a summary of the Company's Repurchase facilities and revolving credit facilities - commercial mortgage loans ("Repo and Revolving Credit Facilities"), Mortgage note payable, Other financing and Unsecured debt as of December 31, 2023 and 2022 (dollars in thousands): As of December 31, 2023 Repo and revolving credit facilities - commercial mortgage loans (2) : Capacity Amount Outstanding Interest Expense (1) Ending Weighted Average Interest Rate Term Maturity JPM Repo Facility (3) $ 500,000 $ 108,574 $ 22,401 7.90 % 07/2026 Atlas Repo Facility (4) 600,000 52,864 6,603 7.68 % 03/2024 WF Repo Facility (5) 400,000 71,730 9,580 7.85 % 10/2025 Barclays Revolver Facility (6) 250,000 — 940 N/A 09/2024 Barclays Repo Facility (7) 500,000 66,539 11,616 7.22 % 03/2025 Churchill Repo Facility (8) 225,000 — 30 N/A N/A Total $ 2,475,000 $ 299,707 $ 51,170 7.70 % Mortgage note payable: Debt related to our REO (9) N/A $ 23,998 $ 1,982 8.48 % 10/2024 Other Financing Other Financings (10) N/A $ 36,534 $ 5,330 7.36 % Various (9) Unsecured Debt (11) Junior subordinated notes maturing in: October 2035 (12) N/A $ 17,047 $ 1,940 9.15 % 10/2035 December 2035 N/A $ 39,550 $ 3,519 8.95 % 12/2035 September 2036 N/A $ 24,698 $ 2,199 8.95 % 09/2036 Total/Weighted average N/A $ 81,295 $ 7,658 8.99 % ________________________ See notes below. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 As of December 31, 2022 Repo and revolving credit facilities - commercial mortgage loans (2) : Capacity Amount Outstanding Interest Expense (1) Ending Weighted Average Interest Rate Term Maturity JPM Repo Facility (3) $ 500,000 $ 275,423 $ 11,773 7.42 % 10/2024 Atlas Repo Facility (4) 600,000 168,046 8,676 7.12 % 10/2023 WF Repo Facility (5) 500,000 79,807 7,492 7.11 % 11/2023 Barclays Revolver Facility (6) 250,000 — 1,267 N/A 09/2023 Barclays Repo Facility (7) 500,000 157,583 8,997 6.75 % 03/2025 Total $ 2,350,000 $ 680,859 $ 38,205 7.16 % Mortgage note payable: Debt related to our REO (9) N/A $ 23,998 $ 1,185 7.32 % 10/2024 Other Financing Other Financings (10) N/A $ 76,301 $ 3,069 6.17 % Various Unsecured Debt (11) Junior subordinated notes maturing in: October 2035 N/A $ 34,508 $ 2,046 8.25 % 10/2035 December 2035 N/A 39,513 2,202 8.39 % 12/2035 September 2036 N/A 24,674 1,375 8.39 % 09/2036 Total/Weighted average N/A $ 98,695 $ 5,623 8.34 % ________________________ (1) Represents year to date expense and includes amortization of deferred financing costs. (2) The Company may pledge one or more mortgage loans to the financing entity in exchange for funds typically at an advance rate of between 60 % to 75 % of the principal amount of the mortgage loan being pledged. These loans are all floating rate at the Secured Overnight Financing Rate ("SOFR") plus an applicable spread. Additionally, the Repo and Revolving Credit Facilities generally provide that in the event of a decrease in the value of the Company's collateral, the lenders can demand additional collateral. As of December 31, 2023 and December 31, 2022, the Company is in compliance with all debt covenants. (3) On July 27, 2023, the Company extended the maturity date from October 6, 2023 to July 26, 2026 with a one-year extension option. (4) During the first quarter of 2023, this repurchase facility was transferred from Credit Suisse to Atlas SP partners. On January 4, 2024, the Company extended the maturity date to January 5, 2026 with a one-year extension option. Additionally, the committed financing was decreased from $ 600 million to $ 350 million. (5) On October 25, 2023, the committed financing was decreased from $ 500 million to $ 400 million. Additionally, the maturity date was extended to November 21, 2025. There are two more one-year extension options. (6) The Company may increase the total commitment amount by an amount between $ 100 million and $ 150 million for three month intervals, on an unlimited basis prior to maturity. Additionally, on April 24, 2023, the Company extended the maturity date to September 20, 2024. (7) There are two one-year extension options. (8) On October 12, 2023, the Company entered into a master repurchase agreement ("MRA") with Churchill MRA Funding, with a maximum facility amount of $ 225 million. (9) Relates to a mortgage note payable in Jeffersonville JV, a consolidated joint venture. The loan has a principal amount of $ 112.7 million of which $ 88.7 million of the loan is owned by the Company and was eliminated in our consolidated financial statements (see Note 5 - Real Estate Owned). (10) Comprised of three note-on-note financings via participation agreements. From inception of the loan, the Company's outstanding loans could increase as a result of future fundings, leading to an increase in amount outstanding via the participation agreement. The weighted average contractual maturity date of these loans is August 2025. (11) The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. Interest paid on unsecured debt, including related derivative cash flows, totaled $ 7.7 million for the year ended December 31, 2023, compared to $ 5.7 million for the year ended December 31, 2022, respectively. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 (12) During the year ended December 31, 2023, the Company had a realized a gain on extinguishment for debt in the amount of $ 4.4 million as a result of the repurchase of $ 17.5 million par value of the Company's unsecured debt during the first quarter of 2023 at a price equal to 75 % of par value. Repurchase Agreements - Real Estate Securities The Company has entered into various Master Repurchase Agreements (the "MRAs") that allow the Company to sell real estate securities while providing a fixed repurchase price for the same real estate securities in the future. The repurchase contracts on each security under an MRA generally mature in 30 - 90 days and terms are adjusted for current market rates as necessary. Below is a summary of the Company's MRAs as of December 31, 2023 and 2022 (dollars in thousands): As of December 31, 2023 Counterparty Amount Outstanding Interest Expense Collateral Pledged (1) Weighted Average Interest Rate Weighted Average Days to Maturity JP Morgan Securities LLC $ 113,111 $ 6,717 $ 127,602 6.29 % 15 Wells Fargo Securities, LLC 8,994 235 9,975 6.14 % 5 Barclays Capital Inc. 51,950 3,371 58,250 6.19 % 5 Total/Weighted Average $ 174,055 $ 10,323 $ 195,827 6.25 % 11 As of December 31, 2022 Counterparty Amount Outstanding Interest Expense Collateral Pledged (1) Weighted Average Interest Rate Weighted Average Days to Maturity JP Morgan Securities LLC $ 103,513 $ 1,281 $ 120,751 5.34 % 22 Barclays Capital Inc. 119,351 1,646 144,778 5.18 % 50 Total/Weighted Average $ 222,864 $ 2,927 $ 265,529 5.25 % 37 ________________________ (1) Includes $ 27.9 million and $ 67.1 million of CLO notes, held by the Company, which is eliminated in Real estate securities, available for sale, measured at fair value in the consolidated balance sheets as of December 31, 2023 and 2022, respectively. The Company did no t have any outstanding repurchase agreements collateralized by real estate securities classified as trading as of December 31, 2023. Below is a summary of the Company's repurchase agreements collateralized by real estate securities classified as trading included in Repurchase agreements - real estate securities in the consolidated balance sheet as of December 31, 2022 (dollars in thousands): December 31, 2022 Amount Outstanding Accrued Interest Receivable Collateral Carrying Amount Weighted Average Borrowing Rates Repurchase arrangements secured by trading securities with maturities of 30 days or less $ 172,144 $ 544 $ 180,400 4.25 % Repurchase arrangements secured by Agency securities with maturities of 31 to 90 days 45,000 114 47,210 4.51 % Total/Weighted Average $ 217,144 $ 658 $ 227,610 4.30 % Average repurchase agreements outstanding were $ 1.0 billion during the year ended December 31, 2022. Average repurchase agreements outstanding differed from respective year-end balances during the indicated periods primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff and asset sales. Interest paid on repurchase agreements, including related derivative payments, totaled $ 4.6 million and $ 8.5 million during the twelve months ended December 31, 2023 and 2022, respectively. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Collateralized Loan Obligation The following table represents the terms of the notes issued by 2019-FL5 Issuer, 2021-FL6 Issuer, 2021-FL7 Issuer, 2022-FL8 Issuer, 2022-FL9 Issuer and 2023-FL10 Issuer (collectively the "CLOs"), as of December 31, 2023 and December 31, 2022: December 31, 2023 CLO Facility Number of Loans in pool (1) Benchmark Interest Rate (2) Weighted Average Spread Par Value Par Value Outstanding (3) Principal Balance of Collateralized Mortgage Assets Maturity Dates 2021-FL6 Issuer 54 Term SOFR 1.43 % $ 584,500 $ 558,040 $ 673,289 3/15/2036 2021-FL7 Issuer 40 Term SOFR 1.64 % 722,250 720,000 864,079 12/21/2038 2022-FL8 Issuer 46 AVG SOFR 1.72 % 960,000 960,000 1,184,931 2/15/2037 2022-FL9 Issuer 51 Term SOFR 2.80 % 670,637 670,639 800,638 5/15/2039 2023-FL10 Issuer 27 Term SOFR 2.57 % 717,243 689,294 895,525 9/15/2035 $ 3,654,630 $ 3,597,973 $ 4,418,462 December 31, 2022 CLO Facility Number of Loans in pool (1) Benchmark interest rate (2) Weighted Average Spread Par Value Par Value Outstanding (3) Principal Balance of Collateralized Mortgage Assets Maturity Dates 2019-FL5 Issuer 25 LIBOR 1.77 % $ 664,199 $ 210,339 $ 378,786 5/15/2029 2021-FL6 Issuer 58 LIBOR 1.42 % 584,500 584,500 691,148 3/15/2036 2021-FL7 Issuer 39 LIBOR 1.64 % 722,250 722,250 899,729 12/21/2038 2022-FL8 Issuer 39 AVG SOFR 1.72 % 960,000 960,000 1,198,477 2/15/2037 2022-FL9 Issuer 50 Term SOFR 3.04 % 670,637 670,639 797,545 5/15/2039 $ 3,601,586 $ 3,147,728 $ 3,965,685 ________________________ (1) Loan assets may be pledged towards one or multiple CLO pool. (2) On March 5, 2021, the Financial Conduct Authority of the U.K. (the “FCA”) announced that LIBOR tenors relevant to 2019-FL5 Issuer, 2021- FL6 Issuer, and 2021-FL7 Issuer would cease to be published or no longer be representative after June 30, 2023. The Alternative Reference Rates Committee (the “ARRC”) interpreted this announcement to constitute a benchmark transition event. The benchmark index of 1M LIBOR interest rate converted from LIBOR to compounded SOFR, plus a benchmark adjustment of 11.448 basis points with a lookback period equal to the number of calendar days in the applicable interest accrual period plus two SOFR business days, conforming with the indenture agreement and recommendations from the ARRC. Compounded SOFR for any interest accrual period shall be the “30-Day Average SOFR” as published by the Federal Reserve Bank of New York on each benchmark determination date. On July 13, 2023, the Company converted the indices for 2021-FL6 Issuer and 2021-FL7 Issuer to 1M Term SOFR + 11.448 basis points and the applicable spreads remain unchanged. (3) Excludes $ 495.0 million and $ 453.4 million, respectively, of CLO notes, held by the Company, which are eliminated in Collateralized loan obligations in the consolidated balance sheet as of December 31, 2023 and December 31, 2022, respectively. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 On July 17, 2023, the Company called all of the outstanding notes issued by BSPRT 2019-FL5 Issuer, Ltd., a wholly owned indirect subsidiary of the Company. The outstanding principal of the notes on the date of the call was $ 122.0 million. The Company recognized all the remaining unamortized deferred financing costs of $ 2.9 million recorded within the Realized gain/(loss) on extinguishment of debt in the consolidated statements of operations, which was a non-cash charge. On September 28, 2023, BSPRT 2023-FL10 Issuer, LLC, a wholly-owned indirect subsidiary of the Company, entered into an indenture with the OP, as advancing agent, U.S. Bank Trust Company, National Association, as trustee and note administrator, and U.S. Bank National Association, as custodian and in other capacities, which governs the issuance of approximately $ 896.6 million principal balance secured floating rate notes, of which $ 573.8 million were purchased by third party investors and $ 322.8 million were purchased by a wholly-owned subsidiary of the OP. During the three months ended December 31, 2023, an additional $ 115.5 million was sold by the wholly-owned subsidiary to third party investors. As of December 31, 2023 $ 689.3 million was outstanding. In addition, concurrently with the issuance of the notes, BSPRT 2023-FL10 Issuer, LLC also issued 75,086 preferred shares, par value of $ 0.001 per share and with an aggregate liquidation preference and notional amount equal to $ 1,000 per share, which were not offered as part of closing the indenture. For U.S. federal income tax purposes, BSPRT 2023-FL10 Issuer, LLC is a disregarded entity. The below table reflects the total assets and liabilities of the Company's outstanding CLOs. The CLOs are considered VIEs and are consolidated into the Company's consolidated financial statements as of December 31, 2023 and 2022 as the Company is the primary beneficiary of the VIE. The Company is the primary beneficiary of the CLOs because (i) the Company has the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIEs or the obligation to absorb losses of the VIEs that could be significant to the VIE. The VIE’s are non-recourse to the Company. Assets (dollars in thousands) December 31, 2023 December 31, 2022 Cash and cash equivalents (1) $ 55,914 $ 43,246 Commercial mortgage loans, held for investment, net (2) 4,379,760 $ 3,942,918 Accrued interest receivable 23,927 $ 15,444 Total Assets $ 4,459,601 $ 4,001,608 Liabilities Notes payable (3)(4) $ 4,092,971 $ 3,601,102 Accrued interest payable 15,171 $ 10,582 Total Liabilities $ 4,108,142 $ 3,611,684 ________________________ (1) Includes $ 55.1 million and $ 42.5 million of cash held by the servicer related to CLOs as of December 31, 2023 and 2022, respectively. (2) The balance is presented net of allowance for credit losses of $ 32.6 million and $ 13.2 million as of December 31, 2023 and 2022, respectively. (3) Includes $ 495.0 million and $ 453.4 million of CLO notes, held by the Company, which are eliminated in Collateralized loan obligation in the consolidated balance sheets as of December 31, 2023 and 2022, respectively. (4) The balance is presented net of deferred financing cost and discount of $ 30.8 million and $ 19.2 million as of December 31, 2023 and 2022, respectively. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 8 - Earnings Per Share The Company uses the two-class method in calculating basic and diluted earnings per share. Net income/(loss) is allocated between our common stock and other participating securities based on their participation rights. Diluted net income per share has been computed using the weighted average number of shares of common stock outstanding and other dilutive securities. The following table presents a reconciliation of the numerators and denominators of the basic and diluted earnings per share computations and the calculation of basic and diluted earnings per share for the years ended December 31, 2023, 2022 and 2021 (dollars in thousands, except share and per share data): Year Ended December 31, Numerator 2023 2022 2021 Net income/(loss) $ 144,509 $ 14,215 $ 25,702 Net (income)/loss from non-controlling interest 706 216 — Less: Preferred stock dividends 26,993 41,741 33,587 Net income/(loss) attributable to common stock 118,222 ( 27,310 ) ( 7,885 ) Less: Participating securities' share in earnings 1,162 — — Net income/(loss) attributable to common shareholders (for basic and diluted earnings per share) $ 117,060 $ ( 27,310 ) $ ( 7,885 ) Year Ended December 31, Denominator 2023 2022 2021 Weighted-average common shares outstanding for basic earnings per share 82,307,970 71,628,365 43,419,209 Effect of dilutive shares (1) : Unvested restricted shares and stock units — — 15,251 Weighted-average common shares outstanding for diluted earnings per share 82,307,970 71,628,365 43,434,731 Basic earnings per share $ 1.42 $ ( 0.38 ) $ ( 0.18 ) Diluted earnings per share $ 1.42 $ ( 0.38 ) $ ( 0.18 ) ________________________ (1) The effect of the weighted average dilutive shares excluded restricted shares and restricted stock units for the years ended December 31, 2023 and 2022 of 191,324 and 476,653 , respectively, as the effect was anti-dilutive. Additionally, the effect of the weighted average dilutive shares excluded the common equivalent of convertible preferred shares for the year-ended December 31, 2023 and 2022 of 5,385,254 and 17,521,845 , respectively, as the effect was anti-dilutive. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 9 - Redeemable Convertible Preferred Stock and Equity Transactions The following table presents the summary of the Company's outstanding shares of redeemable convertible preferred stock, perpetual preferred stock, and common stock as of December 31, 2023 and 2022 (in thousands, except share and per share amounts): Balance as of Shares Outstanding as of Fourth Quarter 2023 Dividend Per Share (1) December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 Redeemable Convertible Preferred Stock: Series H Preferred Stock (2) $ 89,748 $ 89,748 17,950 17,950 $ 106.22 Series I Preferred Stock (3) $ — $ 5,000 — 1,000 $ — Perpetual Preferred Stock: Series E Preferred Stock $ 258,742 $ 258,742 10,329,039 10,329,039 $ 0.46875 Common Stock: Common Stock - at par value (4)(5) $ 820 $ 826 82,751,913 82,992,784 $ 0.355 ________________________ (1) As declared by the Company's board of directors. (2) On January 10, 2024, the Series H Preferred Stock was amended such that the mandatory conversion date was extended by one year , to January 21, 2025. Unless earlier converted, the Series H Preferred Stock will automatically convert into common stock at a rate of 299.2 shares of common stock per share of Series H Preferred Stock (subject to adjustments as described in the Articles Supplementary for the Series H Preferred Stock) on January 21, 2025. The holder of the Series H Preferred Stock has the right to convert up to 4,487 shares of Series H Preferred Stock one time in each calendar month through December 2024, upon 10 business days’ advance notice to the Company. (3) On January 19, 2023, all 1,000 outstanding shares of the Company's Series I Preferred Stock each automatically converted into 299.2 shares of Common Stock, pursuant to the terms of the Series I Preferred Stock, resulting in the issuance of 299,200 shares of Common Stock. (4) Common Stock includes shares issued pursuant to the Company's dividend reinvestment plan ("DRIP") and unvested restricted shares. (5) During the year ended December 31, 2023, the Company repurchased 1,026,105 shares of Common Stock at a net average price of $ 12.19 per share, for a total of $ 12.5 million. All of these shares were retired upon settlement, reducing the total outstanding shares as of December 31, 2023. See discussion in the "Stock Repurchases" section below. During the year ended December 31, 2023 and 2022, the Company paid an aggregate of $ 118.0 million and $ 87.8 million, respectively, of common stock distributions comprised of quarterly common dividends of $ 0.355 per share. Stock Repurchases The Company’s board of directors has authorized a $ 65 million share repurchase program of the Company’s common stock. The Company’s share repurchase program authorizes share repurchases at prices below the most recently reported book value per share as determined in accordance with GAAP. Repurchases made under the program may be made through open market, block, and privately negotiated transactions, including Rule 10b5-1 plans, as permitted by securities laws and other legal requirements. The timing, manner, price and amount of any purchases by the Company will be determined by the Company in its reasonable business judgment and consistent with the exercise of its legal duties and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The share repurchase program does not obligate the Company to acquire any particular amount of common stock. The Company's share repurchase program will remain open until at least December 31, 2024, or until the capital committed to the applicable repurchase program has been exhausted, whichever is sooner. Repurchases under the Company’s share repurchase program may be suspended from time to time at the Company’s discretion without prior notice. As of December 31, 2023, the Company had $ 35.9 million remaining under the share repurchase program. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 The following table is a summary of the Company’s repurchase activity of its common stock during the year ended December 31, 2023 (in thousands, except share amounts): Year Ended December 31, 2023 Shares Amount (1)(2) Beginning of period, authorized repurchase amount $ 48,421 Repurchases paid 1,026,105 ( 12,504 ) Remaining as of December 31, 2023 $ 35,917 ________________________ (1) For the year ended December 31, 2023, the net average purchase price was 12.19 per share. (2) Amount includes commissions paid associated with share repurchases. Dividend Reinvestment and Direct Stock Purchase Plan The Company has adopted a dividend reinvestment and direct stock purchase plan ("DRIP") under which we registered and reserved for issuance, in the aggregate, 63,000,000 shares of common stock. Under the dividend reinvestment component of this plan, the Company's common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of common stock. The direct stock purchase component allows stockholders, subject to the Company's approval, to purchase shares of common stock directly from us. During the years ended December 31, 2023, 2022 and 2021, the Company issued 61,866 shares, 72,764 shares and zero shares, respectively, of common stock under the dividend reinvestment component of DRIP. As of December 31, 2023, 62,865,370 shares remained available for issuance under the DRIP. At-the-Market Sales Agreement On April 14, 2023, the Company established a $ 200 million at-the-market offering program ("ATM program") by entering into a Sales Agreement (the "Sales Agreement") with a financial syndicate as sales agents (the "Agents"), pursuant to which the Company may sell, from time to time, and at various prices, through the Agents, shares of the Company's common stock. Sales, if any, of the common stock made through the Agents, pursuant to the Sales Agreement, may be made in "at the market" offerings (as defined in Rule 415 under the Securities Act of 1933, as amended), by means of ordinary brokers' transactions on the New York Stock Exchange or otherwise, at market prices prevailing at the time of sale, in block transactions, in negotiated transactions, in any manner permitted by applicable law or as otherwise as may be agreed by the Company and any Agent. As of December 31, 2023, the Company has no t sold any shares of common stock under its ATM program, and sales of common stock with an aggregate sales price of $ 200 million remained available for issuance under the Sales Agreement. Note 10 - Commitments and Contingencies Unfunded Commitments Under Commercial Mortgage Loans As of December 31, 2023 and 2022, the Company had the below unfunded commitments to the Company's borrowers (dollars in thousands): Funding Expiration December 31, 2023 December 31, 2022 2023 $ 9,694 (1) $ 73,921 2024 117,411 312,009 2025 131,579 70,429 2026 28,525 8,579 2027 and beyond 684 1,050 $ 287,893 $ 465,988 ________________________ (1) The balance relates to four loans that are subject to modification as of December 31, 2023. The borrowers are generally required to meet or maintain certain metrics in order to qualify for the unfunded commitment amounts. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Litigation and Regulatory Matters The Company is not presently named as a defendant in any material litigation arising outside the ordinary course of business. However, the Company is involved in routine litigation arising in the ordinary course of business, none of which the Company believes, individually or in the aggregate, will have a material impact on the Company’s financial condition, operating results or cash flows. Note 11 - Related Party Transactions and Arrangements Advisory Agreement Fees and Reimbursements Pursuant to the Advisory Agreement, the Company is required to make the following payments and reimbursements to the Advisor: • The Company reimburses the Advisor’s costs of providing services pursuant to the Advisory Agreement, except the salaries and benefits paid by the Advisor to the Company’s executive officers. • The Company pays the Advisor, or its affiliates, a monthly asset management fee equal to one-twelfth of 1.5% of stockholders' equity as calculated pursuant to the Advisory Agreement. • The Company will pay the Advisor an annual subordinated performance fee calculated on the basis of total return to stockholders, payable monthly in arrears, such that for any year in which total return on stockholders’ capital (as defined in the Advisory Agreement) exceeds 6.0 % per annum, our Advisor will be entitled to 15.0 % of the excess total return; provided that in no event will the annual subordinated performance fee payable to our Advisor exceed 10.0 % of the aggregate total return for such year. • The Company reimburses the Advisor for insourced expenses incurred by the Advisor on the Company's behalf related to selecting, evaluating, originating and acquiring investments in an amount up to 0.5 % of the principal amount funded by the Company to originate or acquire commercial mortgage loans and up to 0.5 % of the anticipated net equity funded by the Company to acquire real estate securities investments. The table below shows the costs incurred due to arrangements with our Advisor and its affiliates during the years ended December 31, 2023, 2022 and 2021 and the associated payable as of December 31, 2023 and 2022 (dollars in thousands): Year Ended December 31, Payable as of December 31, 2023 2022 2021 2023 2022 Acquisition expenses (1) $ 1,241 $ 1,360 $ 1,203 $ — $ — Administrative services expenses 14,440 12,928 7,658 3,447 3,526 Asset management and subordinated performance fee 33,847 26,157 28,110 15,014 8,843 Other related party expenses (2)(3) 1,192 875 355 855 3,060 Total related party fees and reimbursements $ 50,720 $ 41,320 $ 37,326 $ 19,316 $ 15,429 ________________________ (1) Total acquisition fees and expenses paid during the years ended December 31, 2023, 2022 and 2021 were $ 5.8 million, $ 11.7 million and $ 15.0 million respectively, of which $ 4.6 million, $ 10.3 million and $ 13.8 million were capitalized in Commercial mortgage loans, held for investment and Real estate securities, available for sale, measured at fair value in the consolidated balance sheets for the years ended December 31, 2023, 2022 and 2021. (2) These are related to reimbursable costs incurred related to the increase in loan origination activities and are included in Other expenses in the consolidated statements of operations. (3) As of December 31, 2023 and December 31, 2022, the related party payables include $ 0.7 million and $ 2.9 million of payments made by the Advisor to third party vendors on behalf of the Company. The payables as of December 31, 2023 and 2022 in the table above are included in Due to affiliates in the consolidated balance sheets. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Other Transactions In the third quarter of 2021, the Company and an affiliate of the Company entered into the Jeffersonville JV to acquire a $ 139.5 million triple net lease property in Jeffersonville, GA. The Company has a 79 % interest in the Jeffersonville JV, while the affiliated fund has a 21 % interest. The Company invested a total of $ 109.8 million, made up of $ 88.7 million in debt and $ 21.1 million in equity, representing 79 % of the ownership interest in the Jeffersonville JV. The affiliated fund made up the remaining $ 29.8 million composed of a $ 24.0 million mortgage note payable and $ 5.8 million in non-controlling interest. The Company has majority control of Jeffersonville JV and, therefore, consolidates the accounts of Jeffersonville JV in its consolidated financial statements. The Company's $ 88.7 million mortgage note payable to Jeffersonville JV is eliminated in consolidation (see Note 7 - Debt). Pursuant to the Company's 2021 Incentive Plan, in the first quarter of 2023, the Company issued awards of restricted stock units to its officers and certain other personnel of the Advisor who provide services to the Company under the Advisory Agreement. As of December 31, 2023, our commercial mortgage loans, held for investment, includes an aggregate of $ 124.1 million carrying value of loans to affiliates of our Advisor. The Company recognized $ 10.0 million and $ 5.0 million in interest income from these loans for the year ended December 31, 2023 and 2022 respectively, in the consolidated statements of operations. As disclosed in Note 3 - Commercial Mortgage Loans in April 2022, the Company fully funded a $ 113.2 million first mortgage consisting of 24 retail properties with various locations throughout the United States. The Company entered into a joint venture agreement and formed a joint venture entity, BSPRT Walgreens Portfolio, LLC (the "Walgreens Portfolio") to acquire 75.618 % ownership interest in the Walgreens Portfolio, while the affiliated fund has 24.242 % interest (see Note 5 - Real Estate Owned). Note 12 - Share-Based Compensation Share Plans The Company's 2021 Incentive plan provides the Company with the ability to grant equity-based awards to its directors, officers and employees (if the Company ever has employees), employees of the Advisor and its affiliates, or certain of the Company's consultants, employees of entities that provide services to the Company, directors of the Advisor or of entities that provide services to the Company, the Advisor and its affiliates. As of December 31, 2023, there w ere 4,526,704 sh ares of common stock remaining available for issuance under the Company's 2021 Incentive Plan. The Board may amend, suspend or terminate the 2021 Incentive Plan at any time; provided that no amendment, suspension or termination may impair rights or obligations under any outstanding award without the participant’s consent or violate the 2021 Incentive Plan’s prohibition on repricing. The Company's previous plan, the RSP, expired on February 7, 2023. Service-based Restricted Stock and Restricted Stock Units In accordance with the 2021 Incentive Plan, the Company issued awards of RSUs to its officers and certain other personnel of the Advisor who provide services to the Company under the Advisory Agreement. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Restricted Stock and RSU activity issued under the RSP and 2021 Incentive Plan for the years ended December 31, 2023 and 2022 are summarized below: Shares Outstanding Fourth Quarter 2023 Weighted Average Grant Date Fair Value For the Years Ended December 31, 2023 December 31, 2022 RSP 2021 Incentive Plan RSP 2021 Incentive Plan Unvested equity awards outstanding at beginning of period 20,934 492,107 11,184 — $ 14.11 Grants — 481,189 28,143 492,107 14.20 Forfeitures — — — — — Vested ( 20,934 ) ( 164,039 ) ( 18,393 ) — 14.34 Unvested equity awards outstanding at end of period — 809,257 20,934 492,107 $ 14.11 T he Company recognized compensation expense associated with equity awards of $ 4.8 million and $ 2.5 million during the years ended December 31, 2023 and 2022, respectively, which is included in Share-based compensation in the consolidated statements of operations. Unrecognized estimated compensation expense for these awards totaled $ 7.1 million as of December 31, 2023 to be expensed over a weighted average period of 1.3 years . The fair value of equity awards that vested during the year ended December 31, 2023 was $ 2.7 million . Note 13 - Fair Value of Financial Instruments GAAP establishes a hierarchy of valuation techniques based on the observability of inputs used in measuring financial instruments at fair values. GAAP establishes market-based or observable inputs as the preferred source of values, followed by valuation models using management assumptions in the absence of market inputs. The three levels of the hierarchy are described below: • Level I - Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date. • Level II - Inputs (other than quoted prices included in Level I) are either directly or indirectly observable for the asset or liability through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life. • Level III - Unobservable inputs that reflect the entity's own assumptions about the assumptions that market participants would use in the pricing of the asset or liability and are consequently not based on market activity, but rather through particular valuation techniques. The determination of where an asset or liability falls in the above hierarchy requires significant judgment and factors specific to the asset or liability. In instances where the determination of the fair value measurement is based on inputs from different levels of the fair value hierarchy, the level in the fair value hierarchy within which the entire fair value measurement falls is based on the lowest level input that is significant to the fair value measurement in its entirety. The Company evaluates its hierarchy disclosures each quarter and depending on various factors, it is possible that an asset or liability may be classified differently from quarter to quarter. The Company has implemented valuation control processes to validate the fair value of the Company's financial instruments measured at fair value including those derived from pricing models. These control processes are designed to assure that the values used for financial reporting are based on observable inputs wherever possible. In the event that observable inputs are not available, the control processes are designed to assure that the valuation approach utilized is appropriate and consistently applied and the assumptions are reasonable. Financial Instruments Measured at Fair Value on a Recurring Basis CRE CLO bonds , recorded in Real estate securities, available for sale, measured at fair value in the consolidated balance sheets are valued utilizing both observable and unobservable market inputs. These factors include projected future cash flows, ratings, subordination levels, vintage, remaining lives, credit issues, and recent trades of similar real estate securities. Depending upon the significance of the fair value inputs used in determining these fair values, these real estate securities are Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 classified in either Level II or Level III of the fair value hierarchy. The Company obtains third party pricing for determining the fair value of each CRE CLO investment, resulting in a Level II classification. Commercial mortgage loans held for sale, measured at fair value in the Company's TRS are initially recorded at transaction price, which are considered to be the best initial estimate of fair value. The Company engaged the services of a third party independent valuation firm to determine fair value of certain investments held by the Company. Fair value is determined using a discounted cash flow model that primarily considers changes in interest rates and credit spreads, weighted average life and current performance of the underlying collateral. Commercial mortgage loans held for sale, measured at fair value that are originated in the last month of the reporting period are held and marked to the transaction price. The Company classified the commercial mortgage loans held for sale, measured at fair value as Level III. Other real estate investments, measured at fair value in the consolidated balance sheets are valued using unobservable inputs. The Company engaged the services of a third party independent valuation firm to determine fair value of certain investments, including preferred equity investments, held by the Company. Fair value is determined using a discounted cash flow model that primarily considers changes in interest rates and credit spreads, weighted average life and current performance of the underlying collateral. The Company classified the other real estate investments, measured at fair value as Level III. The fair value for Treasury note futures is derived using market prices. Treasury note futures trade on the Chicago Mercantile Exchange (“CME”). The instruments are a variety of recently issued 10-year U.S. Treasury notes. The future contracts are liquid and are centrally cleared through the CME. Treasury note futures are generally categorized in Level I of the fair value hierarchy. The fair value for credit default swaps and interest rate swaps contracts are derived using pricing models that are widely accepted by marketplace participants. Credit default swaps and some interest rate swaps are traded in the over the counter ("OTC") market. The pricing models take into account multiple inputs including specific contract terms, interest rate yield curves, interest rates, credit curves, recovery rates, and/or current credit spreads obtained from swap counterparties and other market participants. Most inputs into the models are not subjective as they are observable in the marketplace or set per the contract. Valuation is primarily determined by the difference between the contract spread and the current market spread. The contract spread (or rate) is generally fixed and the market spread is determined by the credit risk of the underlying debt or reference entity. If the underlying indices are liquid and the OTC market for the current spread is active, credit default swaps and interest rate swaps are categorized in Level II of the fair value hierarchy. If the underlying indices are illiquid and the OTC market for the current spread is not active, credit default swaps are categorized in Level III of the fair value hierarchy. The credit default swaps and interest rate swaps are generally categorized in Level II of the fair value hierarchy. A review of the fair value hierarchy classification is conducted on a quarterly basis. Changes in the type of inputs may result in a reclassification for certain assets or liabilities. The Company's policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the beginning of the reporting period. There were no material transfers between levels within the fair value hierarchy during the year ended December 31, 2023. Material transfers between levels within the fair value hierarchy during the year ended December 31, 2022 were specifically related to the transfer of ARM Agency Securities from Level II to Level III. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 The following table presents the Company's financial instruments carried at fair value on a recurring basis in the consolidated balance sheets by its level in the fair value hierarchy as of December 31, 2023 and 2022 (dollars in thousands). The Company did not have any liabilities carried at fair value as of December 31, 2023. December 31, 2023 Total Level I Level II Level III Assets, at fair value Real estate securities, available for sale, measured at fair value $ 242,569 $ — $ 242,569 $ — Total assets, at fair value $ 242,569 $ — $ 242,569 $ — December 31, 2022 Total Level I Level II Level III Assets, at fair value Real estate securities, available for sale, measured at fair value $ 221,025 $ — $ 221,025 $ — Real estate securities, trading, measured at fair value 235,728 — — 235,728 Commercial mortgage loans, held for sale, measured at fair value 15,559 — — 15,559 Credit default swaps 234 — 234 — Interest rate swaps 90 — 90 — Treasury note futures 91 91 — — Total assets, at fair value $ 472,727 $ 91 $ 221,349 $ 251,287 Liabilities, at fair value Credit default swaps $ 64 $ — $ 64 $ — Total liabilities, at fair value $ 64 $ — $ 64 $ — Both observable and unobservable inputs may be used to determine the fair value of positions that the Company has classified within the Level III category. As a result, the unrealized gains and losses for assets and liabilities within the Level III category may include changes in fair value that were attributable to both observable and unobservable inputs. The following table summarizes the valuation method and significant unobservable inputs used for the Company’s financial instruments that are categorized within Level III of the fair value hierarchy as of December 31, 2023 and 2022 (dollars in thousands). The following table contains the Level III inputs used to value assets and liabilities on a recurring and nonrecurring basis or where the Company discloses fair value as of December 31, 2022. The Company did no t hold any applicable positions as of December 31, 2023. December 31, 2022 Asset Category Fair Value Valuation Methodologies Unobservable Inputs (1) Weighted Average (2) Range Commercial mortgage loans, held for sale, measured at fair value $ 15,559 Discounted Cash Flow Yield 7.2 % 6.3 % - 7.7 % Real estate securities, trading, measured at fair value $ 235,728 Discounted Cash Flow Yield 3.3 % 2.0 % - 6.5 % ________________________ (1) In determining certain inputs, the Company evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments including exit strategies and realization opportunities. The Company has determined that market participants would take these inputs into account when valuing the investments. (2) Inputs were weighted based on the fair value of the investments included in the range. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Increases or decreases in any of the above unobservable inputs in isolation would result in a lower or higher fair value measurement for such assets. The following table presents additional information about the Company’s financial instruments which are measured at fair value on a recurring basis as of December 31, 2023 and 2022 for which the Company has used Level III inputs to determine fair value (dollars in thousands): December 31, 2023 Commercial mortgage loans, held for sale, measured at fair value Real estate securities, trading, measured at fair value Beginning balance, January 1, 2023 $ 15,559 $ 235,728 Transfers into Level III (1) — — Total realized and unrealized gain/(loss) included in earnings: Realized gain/(loss) on sale of commercial mortgage loan, held for sale 3,873 — Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments 44 — Trading gain/(loss) — ( 605 ) Originations 102,500 — Sales / paydowns ( 121,976 ) ( 235,123 ) Transfers out of Level III (1) — — Ending balance, December 31, 2023 $ — $ — ________________________ (1) There were no transfers in or out of Level III as of December 31, 2023. December 31, 2022 Commercial mortgage loans, held for sale, measured at fair value Real estate securities, trading, measured at fair value Other real estate investments, measured at fair value Beginning balance, January 1, 2022 $ 34,718 $ — $ 2,074 Transfers into Level III (1) — 4,566,871 — Total realized and unrealized gain/(loss) included in earnings: Realized gain/(loss) on sale of commercial mortgage loan, held for sale 2,358 — — Realized gain/(loss) on sale of available for sale trading securities — — ( 33 ) Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments ( 511 ) — 4 Trading gain/(loss) — ( 119,220 ) — Originations 366,692 — — Sales / paydowns ( 387,698 ) ( 4,211,923 ) ( 2,045 ) Transfers out of Level III (1) — — — Ending balance, December 31, 2022 $ 15,559 $ 235,728 $ — ________________________ (1) Transfers into Level III include transfers related to ARM Agency Securities transferred from Level II. There were no transfers out of Level III as of December 31, 2022. The fair value of cash and cash equivalents and restricted cash are measured using observable quoted market prices, or Level I inputs and their carrying value approximates their fair value. The fair value of borrowings under repurchase agreements approximate their carrying value in the consolidated balance sheets due to their short-term nature and are measured using Level III inputs. Financial Instruments Measured at Fair Value on a Nonrecurring Basis Real Estate Owned, held for sale , recorded in Real estate owned, held for sale in the consolidated balance sheets are Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 valued at fair value on a non-recurring basis in accordance with ASC 820. As of December 31, 2023 and 2022, there were no Real estate owned, held for sale assets measured at fair value on a nonrecurring basis in the consolidated balance sheets. As of September 30, 2023, our Real estate owned, held for sale assets and liabilities, measured at fair value on a nonrecurring basis in the consolidated balance sheets, had an aggregate fair value of $ 91.4 million, net, that represented the remaining 23 retail properties in the Walgreens Portfolio and were written down to estimated fair value less cost to sell for impairment purposes and were classified as Level III investments. The significant unobservable inputs utilized in the analysis were the exit capitalization rates, which ranged from 5.00 %- 5.75 %. Financial Instruments Not Measured at Fair Value The Company's financial assets and liabilities that are not reported at fair value in the consolidated balance sheets are reported below as of December 31, 2023 and 2022 (dollars in thousands): December 31, 2023 December 31, 2022 Level Carrying Amount Fair Value Level Carrying Amount Fair Value Commercial mortgage loans, held for investment (1) Asset III $ 5,036,942 $ 5,010,580 III $ 5,269,776 $ 5,278,495 Collateralized loan obligation (2) Liability II 3,567,166 3,521,274 III 3,121,983 3,055,810 Mortgage note payable Liability III 23,998 23,998 III 23,998 23,998 Other financings Liability III 36,534 36,534 III 76,301 76,301 Unsecured debt Liability III 81,295 64,900 III 98,695 66,300 ________________________ (1) The carrying value is gross of $ 47.2 million and $ 40.8 million of allowance for credit losses as of December 31, 2023 and 2022, respectively. (2) Depending upon the significance of the fair value inputs utilized in determining these fair values, our collateralized loan obligations are classified in either Level II or Level III of the fair value hierarchy. Beginning in the third quarter of 2023, the transfers from Level III to Level II were a result of the availability of current and reliable market data provided by third party pricing services or other valuation techniques which utilized observable inputs. Repurchase agreements - commercial mortgage loans of $ 299.7 million and $ 680.9 million as of December 31, 2023 and 2022, respectively, and repurchase agreements - real estate securities of $ 174.1 million and $ 440.0 million as of December 31, 2023 and 2022, respectively, are not carried at fair value and do not include accrued interest, which are presented in Note 7 – Debt. For these instruments, carrying value generally approximates fair value and are classified as Level III. The fair value of the commercial mortgage loans, held for investment is estimated using a discounted cash flow analysis, based on the Advisor's experience with similar types of investments. The Company estimates the fair value of the collateralized loan obligations using external broker quotes. The Mortgage note payable was recorded at transaction proceeds, which are considered to be the best initial estimate of fair value. The fair value of the Other financings is generally estimated using a discounted cash flow analysis. The fair value of the Unsecured debt is based on discounted cash flows using Company estimates for market yields on similarly structured debt instruments. Note 14 - Derivative Instruments The Company uses derivative instruments primarily to manage the fair value variability of fixed rate assets caused by interest rate fluctuations and overall portfolio market risk. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 As of December 31, 2023, there were no derivative instruments outstanding. The following derivative instruments were outstanding as of December 31, 2022 (dollars in thousands): Fair Value Contract type Notional Assets Liabilities As of December 31, 2022 Credit default swaps $ 18,000 $ 234 $ 64 Interest rate swaps 9,800 90 — Treasury note futures 3,500 91 — Total $ 31,300 $ 415 $ 64 The following table indicates the net realized and unrealized gains and losses on derivatives, by primary underlying risk exposure, as included in the consolidated statements of operations for the year ended December 31, 2023, 2022 and 2021: Year Ended December 31, 2023 Year Ended December 31, 2022 Year Ended December 31, 2021 Contract type Unrealized gain/(loss) Realized gain/(loss) Unrealized gain/(loss) Realized gain/(loss) Unrealized gain/(loss) Realized gain/(loss) Credit default swaps $ 41 $ ( 36 ) $ 147 $ ( 405 ) $ 101 $ ( 650 ) Interest rate swaps ( 90 ) 672 ( 15,954 ) 59,499 7,070 ( 70 ) Treasury note futures ( 91 ) 362 ( 33 ) 939 231 1,478 Options — — — — — ( 274 ) Total $ ( 140 ) $ 998 $ ( 15,840 ) $ 60,033 $ 7,402 $ 484 The Company paired out of the entirety of its ARM portfolio-related swap agreements and does no t hold any derivative positions related to the trading securities as of December 31, 2023 and 2022. Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level II Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). In determining fair value estimates for swaps, the Company utilizes the standard methodology of netting the discounted future fixed cash payments and the discounted future variable cash receipts which are based on expected future interest rates derived from observable market interest rate curves. The Company also incorporates both its own nonperformance risk and its counterparties’ nonperformance risk in determining fair value. In considering the effect of nonperformance risk, the Company considered the impact of netting and credit enhancements, such as collateral postings and guarantees, and has concluded that counterparty risk is not significant to the overall valuation. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 15 - Offsetting Assets and Liabilities The Company's consolidated balance sheets used a gross presentation of repurchase agreements and collateral pledged. The table below provides a gross presentation, the effects of offsetting and a net presentation of the Company's derivative instruments and repurchase agreements within the scope of ASC 210-20, Balance Sheet—Offsetting , as of December 31, 2023 and 2022 (dollars in thousands): Gross Amounts Not Offset on the Balance Sheet Assets (1) Gross Amounts of Recognized Assets Gross Amounts Offset on the Balance Sheet Net Amount of Assets Presented on the Balance Sheet Financial Instruments Cash Collateral (2) Net Amount December 31, 2022 Derivative instruments, at fair value $ 415 $ — $ 415 $ — $ — $ 415 Gross Amounts Not Offset on the Balance Sheet Liabilities Gross Amounts of Recognized Liabilities Gross Amounts Offset on the Balance Sheet Net Amount of Assets Presented on the Balance Sheet Financial Instruments Cash Collateral (2) Net Amount December 31, 2023 Repurchase agreements, commercial mortgage loans $ 299,707 $ — $ 299,707 $ 299,707 $ — $ — Repurchase agreements, real estate securities 174,055 — 174,055 174,055 — — December 31, 2022 Repurchase agreements, commercial mortgage loans $ 680,859 $ — $ 680,859 $ 680,859 $ — $ — Repurchase agreements, real estate securities 440,008 — 440,008 440,008 — — Derivative instruments, at fair value 64 — 64 — 64 — ________________________ (1) As of December 31, 2023, there were no assets which were presented gross within the scope of ASC 210-20, Balance Sheet—Offsetting . (2) Included in Restricted cash in the consolidated balance sheets. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 16 - Segment Reporting The Company conducts its business through the following segments: • The real estate debt business focuses on originating, acquiring and asset managing commercial real estate debt investments, including first mortgages, subordinate mortgages, mezzanine loans and participations in such loans. • The real estate securities business focuses on investing in and asset managing real estate securities. Historically this business has focused primarily on CMBS, CRE CLO bonds, CDO notes, and other securities. As a result of the October 2021 acquisition of Capstead, the Company acquired a portfolio of ARM Agency Securities. The portfolio was completely divested by the third quarter of 2023. • The commercial real estate conduit business operated through the Company's TRS, which is focused on generating risk-adjusted returns by originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market at a profit. The TRS may also hold certain mezzanine loans that don't qualify as good REIT assets due to any potential loss from foreclosure. • The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase. Profit or loss on segment operations is measured by Net income/(loss) included in the consolidated statements of operations. The following table represents the Company's operations by segment for the years ended December 31, 2023, 2022 and 2021 (dollars in thousands): December 31, 2023 Total Real Estate Debt and Other Real Estate Investments Real Estate Securities TRS Real Estate Owned Interest income $ 552,506 $ 530,116 $ 17,323 $ 2,244 $ 2,823 Revenue from real estate owned 17,021 — — — 17,021 Interest expense 305,577 288,327 14,118 1,150 1,982 Net income/(loss) 144,509 153,655 1,921 ( 10,506 ) ( 561 ) Total assets as of December 31, 2023 5,955,180 5,372,371 245,949 66,503 270,357 December 31, 2022 Interest income $ 357,705 $ 320,546 $ 30,203 $ 6,956 $ — Revenue from real estate owned 9,655 — — — 9,655 Interest expense 160,526 146,493 11,203 1,643 1,187 Net income/(loss) 14,215 78,252 ( 69,155 ) 2,736 2,382 Total assets as of December 31, 2022 6,203,601 5,444,152 474,231 63,307 221,911 December 31, 2021 Interest income $ 216,890 $ 189,090 $ 24,740 $ 3,060 $ — Revenue from real estate owned 4,759 — — — 4,759 Interest expense 56,193 50,132 3,682 992 1,387 Net income/(loss) 25,702 86,863 ( 85,381 ) 13,149 11,071 Total assets as of December 31, 2021 9,474,701 4,205,883 5,054,394 72,840 141,584 For the purposes of the table above, management fees have been allocated to the business segments using an agreed upon percentage of each respective segment's prior period equity. Administrative fees are derived from an agreed upon reimbursable amount based on employee time charged and allocated to the business segments. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 17 - Income Taxes The Company has conducted its operations to qualify as a REIT for U.S. federal income tax purposes beginning with its taxable year ended December 31, 2013. As a REIT, if the Company meets certain organizational and operational requirements and distributes at least 90 % of its "REIT taxable income" (determined before the deduction of dividends paid and excluding net capital gains) to its stockholders in a year, it will not be subject to U.S. federal income tax to the extent of the income that it distributes. However, even if the Company qualifies for taxation as a REIT, it may be subject to certain state and local taxes on income in addition to U.S. federal income and excise taxes on its undistributed income. The Company, through its TRSs, is indirectly subject to U.S. federal, state and local income taxes. The Company’s TRSs are not consolidated for U.S. federal income tax purposes, but is instead taxed as a C corporations. For financial reporting purposes, the TRSs are consolidated and a provision for current and deferred taxes is established for the portion of earnings recognized by the Company with respect to its interest in its TRSs. Total (provision)/benefit for income taxes for the years ended December 31, 2023, 2022 and 2021 were $ 2.8 million, $ 0.4 million and $( 3.6 ) million, respectively. As of December 31, 2023, our taxable REIT subsidiaries have an estimated $ 13.1 million of federal net operating loss ("NOL") carryforwards and $ 5.7 million of state and local NOL carryforwards. The NOL carryforwards are subject to certain limitations. The Company has analyzed and determined that future earnings of the Company's TRS are sufficient to support a conclusion that valuation allowance is not necessary as of December 31, 2023. The Company uses a more-likely-than-not threshold for recognition and derecognition of tax positions taken or to be taken in a tax return. The Company has assessed its tax positions for all open tax years beginning with December 31, 2018 and concluded that there were no uncertainties to be recognized. The Company’s accounting policy with respect to interest and penalties related to tax uncertainties is to classify these amounts as provision for income taxes. Components of the provision for income taxes consist of the following (dollars in thousands): Year Ended December 31, 2023 2022 2021 Current (provision)/benefit for income taxes U.S. Federal $ ( 12 ) $ 65 $ ( 3,093 ) State and local ( 1 ) 167 ( 349 ) Total current (provision)/benefit for income taxes $ ( 13 ) $ 232 $ ( 3,442 ) Deferred (provision)/benefit for income taxes U.S. Federal $ 2,670 $ 99 $ 1 State and local 100 68 ( 158 ) Total deferred (provision)/benefit for income taxes $ 2,770 $ 167 $ ( 157 ) Total (provision)/benefit for income taxes $ 2,757 $ 399 $ ( 3,599 ) The tax characteristics of $ 1.42 distributions per share of Common Stock declared during 2023 was $ 1.42 ordinary income. The tax characteristics of the $ 1.88 per share of Series E Preferred Stock declared during 2023 was $ 1.88 ordinary income. The tax characteristics of the $ 1.42 per as-converted share of Series H Preferred Stock declared during 2023 was $ 1.42 ordinary income. The ordinary income per share of each stockholder represents the ordinary dividend that may be eligible for the 20% deduction applicable to qualified REIT dividends under Internal Revenue Code Section 199A. The tax characteristics of the $ 1.42 distributions per common share declared during 2022 was $ 1.42 ordinary income. The tax characteristics of the $ 318.66 distributions per share of Series C Preferred stock declared during 2022 was $ 318.66 ordinary income. The tax characteristics of the $ 106.22 per share of Series I Preferred Stock declared during 2022 was $ 106.22 ordinary income. The Series D Preferred Stock was exchanged for an equivalent number of shares of Series H Preferred Stock on June 24, 2022 and the tax characteristics of the $ 424.86 per share declared during 2022 was $ 424.86 ordinary income. The tax characteristics of the $ 0.355 distributions per share of Series F Preferred stock declared during 2022, prior to converting on a one -for-one basis into shares of Common Stock, was $ 0.355 ordinary income. The tax characteristics of the $ 1.875 distributions per share of Series E Preferred stock declared during 2022 was $ 1.875 ordinary income. The ordinary income per share of each stockholder represents the amount of ordinary dividends that may be eligible for the 20% deduction applicable to qualified REIT dividends under Section 199A. The Company utilizes the TRSs to reduce the impact of the prohibited transaction tax and to avoid penalty for the holding of assets not qualifying as real estate assets for purposes of the REIT asset tests. Any income associated with a TRS is fully taxable because the TRS is subject to federal and state income taxes as a domestic C corporation based upon its net income. Table of Contents FRANKLIN BSP REALTY TRUST, INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2023 Note 18 - Subsequent Events The Company has evaluated subsequent events through the filing of this Annual Report on Form 10-K. The following activity took place subsequent to the year end: Loan Activity : On February 7, 2024, we obtained, through deed-in-lieu of foreclosure, a multifamily property located in San Antonio, Texas. The loan had an amortized cost basis of $ 42.2 million as of December 31, 2023. On February 14, 2024, we sold the property for $ 42.8 million and fully recovered our loan basis. Stock Repurchases : Subsequent to December 31, 2023, the Company repurchased 56,323 shares of common stock at a weighted average cost of $ 12.52 per share. As of February 7, 2024, $ 35.2 million remains available under the Company’s share repurchase program (see Part II, Item 5, "Purchases of Equity Securities by the Issuer and Affiliated Purchasers" for additional details). Table of Contents FRANKLIN BSP REALTY TRUST, INC. SCHEDULE IV - MORTGAGE LOANS ON REAL ESTATE December 31, 2023 (Dollars in thousands) Description Property Type Face Value Amortized Cost Principal amount subject to delinquent principal or interest (1) Index (2) Spread Payment Terms Maturity Date Senior Debt 1 Hospitality $ 4,586 $ 4,586 $ — Adj. 1 month SOFR Term 4.00 % Amortizing Balloon 3/9/2024 Senior Debt 2 Multifamily 35,212 35,212 — 1 month SOFR Term 4.50 % Interest Only 9/9/2024 Senior Debt 3 Hospitality 21,796 21,796 — 1 month SOFR Term 4.25 % Amortizing Balloon 3/9/2024 Senior Debt 4 Office 13,937 13,937 — 1 month SOFR Term 5.50 % Amortizing Balloon 9/9/2024 Senior Debt 5 Office 41,185 41,185 — 1 month SOFR Term 3.56 % Amortizing Balloon 5/9/2024 Senior Debt 6 Hospitality 18,398 18,398 — 1 month SOFR Term 3.84 % Amortizing Balloon 1/9/2024 Senior Debt 7 Hospitality 12,900 12,900 — 1 month SOFR Term 4.41 % Amortizing Balloon 10/9/2025 Senior Debt 8 Hospitality 4,805 4,805 — 1 month SOFR Term 5.25 % Amortizing Balloon 5/9/2024 Senior Debt 9 Office 14,852 14,852 — 1 month SOFR Term 4.00 % Amortizing Balloon 12/9/2024 Senior Debt 10 Office 24,444 24,442 — Adj. 1 month SOFR Term 4.35 % Interest Only 1/9/2024 Senior Debt 11 Manufactured Housing 1,301 1,301 — 5.50 % Amortizing Balloon 5/9/2025 Senior Debt 12 Self Storage 27,440 27,440 27,440 Adj. 1 month SOFR Term 5.00 % Interest Only 1/9/2024 Senior Debt 13 Office 17,103 17,103 — Adj. 1 month SOFR Term 4.50 % Amortizing Balloon 10/9/2024 Senior Debt 14 Office 63,274 63,146 — 5.15 % Amortizing Balloon 10/9/2025 Senior Debt 15 Office 30,186 30,186 — 1 month SOFR Term 2.81 % Interest Only 10/9/2024 Senior Debt 16 Office 9,175 9,175 — Adj. 1 month SOFR Term 5.00 % Interest Only 11/9/2024 Senior Debt 17 Multifamily 12,550 12,547 — Adj. 1 month SOFR Term 4.55 % Interest Only 2/9/2024 Senior Debt 18 Multifamily 21,000 21,000 — Adj. 1 month SOFR Term 4.60 % Interest Only 1/9/2024 Senior Debt 19 Office 10,855 10,855 — 1 month SOFR Term 5.56 % Amortizing Balloon 1/9/2024 Senior Debt 20 Office 44,913 44,892 — Adj. 1 month SOFR Term 3.97 % Interest Only 3/9/2024 Senior Debt 21 Multifamily 34,476 34,457 — 1 month SOFR Term 8.00 % Interest Only 2/9/2024 Senior Debt 22 Hospitality 23,000 22,992 — Adj. 1 month SOFR Term 5.79 % Interest Only 3/9/2024 Senior Debt 23 Multifamily 34,750 34,750 — 1 month SOFR Term 4.10 % Interest Only 3/9/2024 Senior Debt 24 Multifamily 55,000 55,000 — 1 month SOFR Term 4.00 % Interest Only 5/9/2024 Senior Debt 25 Multifamily 14,700 14,696 — Adj. 1 month SOFR Term 3.39 % Interest Only 4/9/2024 Senior Debt 26 Multifamily 8,898 8,893 — Adj. 1 month SOFR Term 3.80 % Interest Only 4/9/2024 Senior Debt 27 Multifamily 19,804 19,798 — Adj. 1 month SOFR Term 3.60 % Interest Only 4/9/2024 Senior Debt 28 Multifamily 43,246 43,237 — Adj. 1 month SOFR Term 2.95 % Interest Only 4/9/2026 Senior Debt 29 Hospitality 25,700 25,700 — Adj. 1 month SOFR Term 5.60 % Interest Only 5/9/2024 Senior Debt 30 Mixed Use 32,500 32,500 — Adj. 1 month SOFR Term 3.70 % Interest Only 7/9/2024 Senior Debt 31 Multifamily 75,927 75,901 — Adj. 1 month SOFR Term 2.95 % Interest Only 4/9/2026 Senior Debt 32 Multifamily 20,450 20,426 — Adj. 1 month SOFR Term 3.60 % Interest Only 5/9/2024 Senior Debt 33 Multifamily 30,320 30,310 — Adj. 1 month SOFR Term 2.95 % Interest Only 4/9/2026 Senior Debt 34 Multifamily 35,466 35,459 — Adj. 1 month SOFR Term 2.95 % Interest Only 4/9/2026 Senior Debt 35 Multifamily 33,588 33,582 — Adj. 1 month SOFR Term 2.95 % Interest Only 4/9/2026 Senior Debt 36 Multifamily 152,112 151,644 — 1 month SOFR Term 4.55 % Interest Only 6/9/2024 Table of Contents Description Property Type Face Value Amortized Cost Principal amount subject to delinquent principal or interest (1) Index (2) Spread Payment Terms Maturity Date Senior Debt 37 Hospitality 36,750 36,713 — Adj. 1 month SOFR Term 6.25 % Interest Only 6/9/2024 Senior Debt 38 Multifamily 35,116 34,990 — Adj. 1 month SOFR Term 8.00 % Interest Only 3/9/2025 Senior Debt 39 Multifamily 16,453 16,453 — Adj. 1 month SOFR Term 3.75 % Interest Only 10/9/2024 Senior Debt 40 Multifamily 47,984 47,901 — Adj. 1 month SOFR Term 3.15 % Interest Only 10/9/2024 Senior Debt 41 Multifamily 41,650 41,650 — Adj. 1 month SOFR Term 3.40 % Interest Only 9/9/2024 Senior Debt 42 Multifamily 34,760 34,713 — Adj. 1 month SOFR Term 3.64 % Interest Only 10/9/2024 Senior Debt 43 Multifamily 8,500 8,489 — Adj. 1 month SOFR Term 3.75 % Interest Only 9/9/2024 Senior Debt 44 Multifamily 14,890 14,890 — Adj. 1 month SOFR Term 3.15 % Interest Only 9/9/2024 Senior Debt 45 Multifamily 69,500 69,312 — Adj. 1 month SOFR Term 3.25 % Interest Only 10/9/2024 Senior Debt 46 Multifamily 11,325 11,306 — Adj. 1 month SOFR Term 3.75 % Interest Only 10/9/2024 Senior Debt 47 Multifamily 27,199 27,160 — Adj. 1 month SOFR Term 3.20 % Interest Only 10/9/2024 Senior Debt 48 Hospitality 17,122 17,122 — Adj. 1 month SOFR Term 5.25 % Interest Only 10/9/2024 Senior Debt 49 Multifamily 56,150 56,071 — Adj. 1 month SOFR Term 3.10 % Interest Only 10/9/2024 Senior Debt 50 Multifamily 38,242 38,116 — Adj. 1 month SOFR Term 2.90 % Interest Only 11/9/2026 Senior Debt 51 Multifamily 55,394 55,394 — Adj. 1 month SOFR Term 3.10 % Interest Only 1/9/2024 Senior Debt 52 Multifamily 38,153 38,101 — Adj. 1 month SOFR Term 2.90 % Interest Only 12/9/2024 Senior Debt 53 Multifamily 68,165 68,165 — Adj. 1 month SOFR Term 2.85 % Interest Only 11/9/2024 Senior Debt 54 Multifamily 32,567 32,510 — Adj. 1 month SOFR Term 3.25 % Interest Only 12/9/2024 Senior Debt 55 Multifamily 61,600 61,600 — Adj. 1 month SOFR Term 3.35 % Interest Only 11/9/2024 Senior Debt 56 Multifamily 44,987 44,987 — Adj. 1 month SOFR Term 3.00 % Interest Only 12/9/2024 Senior Debt 57 Multifamily 47,147 47,019 — Adj. 1 month SOFR Term 2.75 % Interest Only 11/9/2025 Senior Debt 58 Multifamily 86,000 85,959 — 1 month SOFR Term 3.24 % Interest Only 3/9/2024 Senior Debt 59 Manufactured Housing 6,700 6,688 — Adj. 1 month SOFR Term 4.50 % Interest Only 12/9/2024 Senior Debt 60 Multifamily 58,680 58,677 — Adj. 1 month SOFR Term 3.45 % Interest Only 1/9/2024 Senior Debt 61 Multifamily 26,068 26,068 — Adj. 1 month SOFR Term 2.90 % Interest Only 3/9/2024 Senior Debt 62 Multifamily 14,933 14,905 — Adj. 1 month SOFR Term 3.20 % Interest Only 12/9/2024 Senior Debt 63 Multifamily 38,283 38,219 — Adj. 1 month SOFR Term 3.00 % Interest Only 12/9/2024 Senior Debt 64 Multifamily 42,235 42,234 — Adj. 1 month SOFR Term 2.90 % Interest Only 1/9/2024 Senior Debt 65 Multifamily 69,415 69,415 — Adj. 1 month SOFR Term 2.88 % Interest Only 12/9/2024 Senior Debt 66 Multifamily 66,742 66,742 — Adj. 1 month SOFR Term 2.88 % Interest Only 12/9/2024 Senior Debt 67 Multifamily 17,145 17,144 — 1 month SOFR Term 3.50 % Interest Only 1/9/2025 Senior Debt 68 Multifamily 59,232 59,175 — Adj. 1 month SOFR Term 2.75 % Interest Only 12/9/2024 Senior Debt 69 Multifamily 22,240 22,239 — 1 month SOFR Term 2.96 % Interest Only 7/9/2024 Senior Debt 70 Multifamily 25,241 25,195 — 1 month SOFR Term 2.96 % Interest Only 1/9/2025 Senior Debt 71 Multifamily 32,428 32,425 — 1 month SOFR Term 3.20 % Interest Only 1/9/2024 Senior Debt 72 Multifamily 78,416 78,167 — 1 month SOFR Term 3.45 % Interest Only 1/9/2027 Senior Debt 73 Multifamily 81,247 81,164 — 1 month SOFR Term 3.21 % Interest Only 1/9/2025 Senior Debt 74 Multifamily 24,000 23,999 — 1 month SOFR Term 3.10 % Interest Only 1/9/2024 Senior Debt 75 Retail 31,000 30,946 — 1 month SOFR Term 3.29 % Interest Only 1/9/2025 Senior Debt 76 Multifamily 38,511 38,511 — 1 month SOFR Term 3.55 % Interest Only 2/9/2024 Senior Debt 77 Multifamily 23,855 23,848 — 1 month SOFR Term 2.95 % Interest Only 2/9/2024 Table of Contents Description Property Type Face Value Amortized Cost Principal amount subject to delinquent principal or interest (1) Index (2) Spread Payment Terms Maturity Date Senior Debt 78 Multifamily 11,100 11,097 — 1 month SOFR Term 3.30 % Interest Only 2/9/2024 Senior Debt 79 Multifamily 47,444 47,442 — 1 month SOFR Term 2.86 % Interest Only 1/9/2024 Senior Debt 80 Multifamily 36,824 36,821 — 1 month SOFR Term 2.86 % Interest Only 1/9/2024 Senior Debt 81 Hospitality 10,504 10,481 — 1 month SOFR Term 5.30 % Interest Only 2/9/2025 Senior Debt 82 Multifamily 82,000 81,989 — 1 month SOFR Term 3.20 % Interest Only 2/9/2024 Senior Debt 83 Industrial 55,000 54,973 — 1 month SOFR Term 3.50 % Interest Only 3/9/2024 Senior Debt 84 Multifamily 39,864 39,843 — 1 month SOFR Term 3.10 % Interest Only 3/9/2024 Senior Debt 85 Multifamily 35,220 35,202 — 1 month SOFR Term 2.95 % Interest Only 3/9/2024 Senior Debt 86 Mixed Use 19,000 18,991 — 1 month SOFR Term 3.42 % Interest Only 3/9/2024 Senior Debt 87 Multifamily 85,500 85,480 — 1 month SOFR Term 3.15 % Interest Only 3/9/2024 Senior Debt 88 Multifamily 31,900 31,888 — 1 month SOFR Term 3.30 % Interest Only 4/9/2024 Senior Debt 89 Hospitality 30,021 29,741 — 1 month SOFR Term 7.05 % Interest Only 6/9/2025 Senior Debt 90 Multifamily 13,558 12,691 — 1 month SOFR Term 6.75 % Interest Only 4/9/2025 Senior Debt 91 Hospitality 43,457 43,457 — 1 month SOFR Term 4.90 % Interest Only 4/9/2024 Senior Debt 92 Hospitality 15,634 15,568 — 1 month SOFR Term 5.34 % Interest Only 11/9/2025 Senior Debt 93 Multifamily 35,949 35,949 35,949 1 month SOFR Term 6.05 % Interest Only 6/9/2024 Senior Debt 94 Multifamily 56,616 56,479 — 1 month SOFR Term 3.95 % Interest Only 5/9/2025 Senior Debt 95 Multifamily 29,905 29,816 — 1 month SOFR Term 4.00 % Interest Only 11/9/2024 Senior Debt 96 Multifamily 56,859 56,806 — 1 month SOFR Term 6.70 % Interest Only 3/9/2024 Senior Debt 97 Multifamily 12,536 12,523 — 1 month SOFR Term 3.55 % Interest Only 5/9/2024 Senior Debt 98 Industrial 18,724 18,673 — 1 month SOFR Term 4.90 % Interest Only 9/9/2024 Senior Debt 99 Multifamily 19,899 19,875 — 1 month SOFR Term 3.50 % Interest Only 6/9/2024 Senior Debt 100 Multifamily 28,979 28,936 — 1 month SOFR Term 3.65 % Interest Only 6/9/2024 Senior Debt 101 Multifamily 17,330 17,303 — 1 month SOFR Term 3.65 % Interest Only 6/9/2024 Senior Debt 102 Multifamily 70,750 70,673 — 1 month SOFR Term 3.80 % Interest Only 6/9/2024 Senior Debt 103 Multifamily 83,914 83,810 — 1 month SOFR Term 3.95 % Interest Only 6/9/2024 Senior Debt 104 Multifamily 45,469 45,414 — 1 month SOFR Term 3.95 % Interest Only 6/9/2024 Senior Debt 105 Multifamily 58,003 57,930 — 1 month SOFR Term 3.95 % Interest Only 6/9/2024 Senior Debt 106 Multifamily 20,716 20,688 — 1 month SOFR Term 3.95 % Interest Only 6/9/2024 Senior Debt 107 Multifamily 146,810 146,608 — 1 month SOFR Term 3.95 % Interest Only 6/9/2024 Senior Debt 108 Multifamily 56,000 55,938 — 1 month SOFR Term 3.80 % Interest Only 6/9/2024 Senior Debt 109 Multifamily 11,675 11,661 — 1 month SOFR Term 4.45 % Interest Only 11/9/2024 Senior Debt 110 Multifamily 70,750 70,569 — 1 month SOFR Term 3.45 % Interest Only 6/9/2024 Senior Debt 111 Hospitality 39,525 39,346 — 1 month SOFR Term 6.94 % Interest Only 8/9/2025 Senior Debt 112 Multifamily — — — 1 month SOFR Term 6.31 % Interest Only 9/9/2025 Senior Debt 113 Hospitality 16,270 16,249 — 1 month SOFR Term 5.75 % Interest Only 4/9/2024 Senior Debt 114 Manufactured Housing 11,617 11,587 — 1 month SOFR Term 4.75 % Interest Only 9/9/2024 Senior Debt 115 Hospitality — — — 1 month SOFR Term 7.50 % Interest Only 11/9/2024 Senior Debt 116 Multifamily 48,764 48,684 — 1 month SOFR Term 4.20 % Interest Only 1/9/2025 Senior Debt 117 Multifamily 51,000 50,875 — 1 month SOFR Term 3.75 % Interest Only 12/9/2024 Senior Debt 118 Multifamily 14,635 14,594 — 1 month SOFR Term 4.25 % Interest Only 1/9/2025 Table of Contents Description Property Type Face Value Amortized Cost Principal amount subject to delinquent principal or interest (1) Index (2) Spread Payment Terms Maturity Date Senior Debt 119 Hospitality 28,300 28,297 — 1 month SOFR Term 5.25 % Interest Only 1/9/2024 Senior Debt 120 Multifamily 55,500 55,353 — 1 month SOFR Term 3.85 % Interest Only 4/9/2025 Senior Debt 121 Hospitality 10,500 10,465 — 1 month SOFR Term 5.50 % Interest Only 4/9/2025 Senior Debt 122 Hospitality 120,000 119,559 — 1 month SOFR Term 4.90 % Interest Only 2/9/2026 Senior Debt 123 Multifamily 64,500 64,388 — 1 month SOFR Term 5.00 % Interest Only 5/9/2024 Senior Debt 124 Hospitality 39,549 39,661 — 1 month SOFR Term 3.75 % Interest Only 12/27/2024 Senior Debt 125 Multifamily 21,700 21,616 — 1 month SOFR Term 3.95 % Interest Only 7/9/2025 Senior Debt 126 Manufactured Housing 21,449 21,296 — 1 month SOFR Term 4.25 % Interest Only 8/9/2025 Senior Debt 127 Multifamily 19,793 19,881 — 4.75 % Interest Only 7/9/2028 Senior Debt 128 Multifamily 78,996 78,664 — 1 month SOFR Term 3.20 % Interest Only 8/9/2025 Senior Debt 129 Hospitality 23,000 22,861 — 1 month SOFR Term 5.45 % Interest Only 8/9/2026 Senior Debt 130 Hospitality 12,420 12,322 — 1 month SOFR Term 4.85 % Interest Only 9/9/2026 Senior Debt 131 Multifamily 38,750 38,572 — 1 month SOFR Term 4.50 % Interest Only 11/9/2025 Senior Debt 132 Hospitality 31,300 31,078 — 1 month SOFR Term 4.25 % Interest Only 11/9/2026 Senior Debt 133 Multifamily 42,750 42,555 — 1 month SOFR Term 3.85 % Interest Only 11/9/2025 Senior Debt 134 Multifamily 17,119 16,966 — 1 month SOFR Term 3.20 % Interest Only 10/9/2026 Senior Debt 135 Multifamily 21,000 20,887 — 1 month SOFR Term 3.75 % Interest Only 12/9/2024 Senior Debt 136 Hospitality 41,071 40,855 — 1 month SOFR Term 3.65 % Interest Only 12/9/2026 Senior Debt 137 Hospitality 25,750 25,595 — 1 month SOFR Term 3.95 % Interest Only 1/9/2026 Senior Debt 138 Hospitality 16,566 16,563 — 5.99 % Amortizing Balloon 10/6/2024 Mezzanine Loan 1 Retail 3,000 2,994 — 1 month SOFR Term 12.00 % Interest Only 1/9/2025 Mezzanine Loan 2 Mixed Use 1,000 1,000 — 1 month SOFR Term 11.00 % Interest Only 3/9/2024 Mezzanine Loan 3 Hospitality 1,350 1,346 — 1 month SOFR Term 9.25 % Interest Only 11/9/2025 Mezzanine Loan 4 Hospitality — — — 1 month SOFR Term 10.00 % Interest Only 11/9/2024 Mezzanine Loan 5 Multifamily 2,378 2,378 — 1 month SOFR Term 4.50 % Interest Only 9/9/2024 Mezzanine Loan 6 Multifamily 11,700 11,655 — 1 month SOFR Term 3.95 % Interest Only 7/9/2025 Commercial mortgage loans, held for investment (3) $ 5,045,036 $ 5,036,942 $ 63,389 Allowance for credit losses $ ( 47,175 ) Commercial mortgage loans, held for investment, net of allowance for credit losses $ 4,989,767 ________________________ (1) Principal amount of loans subject to delinquent principal or interest is defined as loans in (a) maturity default or (b) receipt of interest outstanding for more than 90 days. (2) On March 5, 2021, the Financial Conduct Authority of the U.K. (the “FCA”) announced that LIBOR tenors would cease to be published or no longer be representative. The Alternative Reference Rates Committee (the “ARRC”) interpreted this announcement to constitute a benchmark transition event. The benchmark index of LIBOR interest rate will convert from LIBOR to compounded SOFR, plus a benchmark adjustment of 11.448 basis points. As of December 31, 2023, all of our commercial mortgage loans, held for investment which had been indexed at LIBOR were converted to SOFR utilizing the 11.448 basis points adjustment and the applicable spreads remain unchanged. The loans which have the SOFR adjustment are indicated with "Adj. 1M SOFR Term." Effective yield is calculated as the spread of the loan plus the higher of any applicable index or index floor. (3) The estimated aggregate cost for U.S. federal income tax purposes is approximately $ 5.0 billion. For the activity within the Company's loan portfolio during the years ended December 31, 2023 and 2022, refer to Note 3 - Commercial Mortgage Loans on the consolidated financials of Form 10-K.