Franklin BSP Realty Trust : FBRT First Quarter 2024 Supplemental Information

First Quarter 2024

Franklin BSP

Realty Trust

Supplemental Information

Important Information

The information herein relates to the Company's business and financial information as of March 31, 2024 and does not reflect subsequent developments.

Risk Factors

Investing in and owning our common stock involves a high degree of risk. See the section entitled "Risk Factors" in our Annual Report on Form 10-K filed with the SEC on February 26, 2024, and the risk disclosures in our subsequent periodic reports filed with the SEC for a discussion of these risks.

Forward-Looking Statements

Certain statements included in this presentation are forward-looking statements. Those statements include statements regarding the intent, belief or current expectations of Franklin BSP Realty Trust, Inc. ("FBRT" or the "Company") and may include the assumptions on which such statements are based, and generally are identified by the use of words such as "may," "will," "seeks," "anticipates," "believes," "estimates," "expects," "plans," "intends," "should" or similar expressions. Actual results may differ materially from those contemplated by such forward-looking statements. Factors that could cause actual outcomes to differ materially from our forward-looking statements include macroeconomic factors in the United States including inflation, changing interest rates and economic contraction, the extent of any recoveries on delinquent loans, and the financial stability of our borrowers, and the other factors set forth in the risk factors section of our most recent Form 10-K and Form 10-Q. The extent to which these factors impact us and our borrowers will depend on future developments, which are highly uncertain and cannot be predicted with confidence. Further, forward-looking statements speak only as of the date they are made, and we undertake no obligation to update or revise forward-looking statements to reflect changed assumptions, the occurrence of unanticipated events or changes to future operating results over time, except as required by law.

Additional Important Information

The summary information provided in this presentation does not purport to be complete and no obligation to update or otherwise revise such information is being assumed. Nothing shall be relied upon as a promise or representation as to the future performance of the Company. This summary is not an offer to sell securities and is not soliciting an offer to buy securities in any jurisdiction where the offer or sale is not permitted. This summary is not advice, a recommendation or an offer to enter into any transaction with us or any of our affiliated funds. There is no guarantee that any of the goals, targets or objectives described in this summary will be achieved.

The information contained herein is not intended to provide, and should not be relied upon for, accounting, legal, ERISA or tax advice or investment recommendations. Investors should also seek advice from their own independent tax, accounting, financial, ERISA, investment and legal advisors to properly assess the merits and risks associated with their investment in light of their own financial condition and other circumstances. The information contained herein is qualified in its entirety by reference to our most recent Annual Report on Form 10-K and Quarterly Report on Form 10-Q. You may obtain a copy of the most recent Annual Report or Quarterly Report by calling [phone] and/or visiting www.fbrtreit.com.

This presentation contains information regarding FBRT's financial results that is calculated and presented on the basis of methodologies other than in accordance with accounting principles generally accepted in the United States ("GAAP"), including Distributable Earnings. Please refer to the appendix for the reconciliation of the applicable GAAP financial measures to non-GAAP financial measures.

PAST PERFORMANCE IS NOT A GUARANTEE OR INDICATIVE OF FUTURE RESULTS. INVESTMENTS INVOLVE SIGNIFICANT RISKS, INCLUDING LOSS OF THE ENTIRE INVESTMENT. There is no guarantee that any of the estimates, targets or projections illustrated in this summary will be achieved. Any references herein to any of the Company's past or present investments, portfolio characteristics, or performance, have been provided for illustrative purposes only. It should not be assumed that these investments were or will be profitable or that any future investments will be profitable or will equal the performance of these investments. There can be no guarantee that the investment objective of the Company will be achieved. Any investment entails a risk of loss. An investor could lose all or substantially all of his or her investment. Please refer to our most recent Annual Report on Form 10-Kand Quarterly Report on Form 10-Qfor a more complete list of risk factors. The following slides contain summaries of certain financial information about the Company. The information contained in this presentation is summary information that is intended to be considered in the context of our filings with the Securities and Exchange Commission and other public announcements that we may make, by press release or otherwise, from time to time.

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FBRT 1Q 2024 Financial Update

FBRT 1Q 2024 Financial Update

Highlights

Earnings

Capitalization

• GAAP Net Income of $35.8 million and $0.35 per diluted common share and $0.35 per fully converted share (1)
• Distributable Earnings (2) of $41.0 million and $0.41 per diluted common share on a fully converted basis (1)
• Declared a cash dividend of $0.355 per share, representing a yield of 9.1% on book value per share, fully converted (1). GAAP and Distributable Earnings (2) dividend coverage of 99% and 115%, respectively
• Book value per share, fully converted is $15.68 vs. $15.77 last quarter (1). Undepreciated book value per share, fully converted is $15.79 vs. $15.88 last quarter (1) (3)
• Net debt to equity is 2.4x; recourse net debt to equity is 0.3x
• 87% of financing sources are non-mark-to-market on our core book

Investments

Portfolio

• $1.0 billion of liquidity of which $240 million is cash and $11 million is CLO reinvest available (4).
• Core Portfolio: Principal balance increased by $199 million in the quarter. Closed $591 million of new loan commitments and funded $493 million of principal balance including future funding on existing loans. Received loan repayments of $252 million
• Core Portfolio of 145 CRE loans and $5.2 billion of principal balance, average size of $36 million and 75% multifamily. During the quarter, one asset was removed from the watch list. Six assets remain on the watch list, all of which are risk rated a four

1. Fully converted per share information assumes applicable conversion of our outstanding series of convertible preferred stock into common stock and the full vesting of our outstanding equity compensation awards.
2. Please see appendix for GAAP net income to Distributable Earnings calculation.
3. Adjusted for accumulated depreciation and amortization of real property of $10.4 million and $9.4 million at 3/31/24 and 12/31/23, respectively.
4. Cash excludes restricted cash. Total liquidity amount includes the cash available we can invest at a market advance rate utilizing our available capacity on financing lines.

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FBRT 1Q 2024 Financial Update

Financial Highlights

Income Statement
Net interest income / other income
Operating expenses	(1)
Provision for credit loss
Other income/(loss)
GAAP net income (loss)
Adjustments to GAAP net income (loss)	(2)
Distributable Earnings	(2)
GAAP net income (loss) per share, fully converted	(3)
GAAP return on common equity
GAAP dividend coverage, fully converted	(2), (3)
Distributable Earnings per share, fully converted	(2), (3)
Distributable Earnings return on common equity	(2)
Distributable Earnings dividend coverage, fully converted	(2), (3)
Dividend per share
Dividend per share yield on book value

	Balance Sheet - Assets (End of Quarter)
$52.2	Total core portfolio			$5,184.2
(17.9)	Total real estate securities			$217.9
(2.9)	Cash and restricted cash			$248.1
4.4	CLO reinvestment available			$10.8
$35.8	Other assets				$366.7
5.2	Total assets					$6,027.7
$41.0
	Balance Sheet - Debt & Equity
$0.35	Collateralized loan obligations			3,530.7
8.9%	Warehouse					412.6
99.0%	Repo - securities			194.8
	Asset specific financings			36.9
$0.41	Unsecured debt				81.3
10.4%	Total Debt					$4,256.2
114.7%	Preferred equity	(4)			348.5
	Common stock/retained earnings	(5)		1,326.6
$0.355	Total equity	(4), (5)			1,675.1
9.1%	Book value per share, fully converted	(3)	$15.68
	Net debt/total equity			2.39x
	Recourse net debt/total equity			0.28x

Note: All numbers in millions except per share and share data.

1. Does not include conduit operating expenses which are reported under Other income / (loss).
2. Please see appendix for the detail on the adjustments from GAAP net income to Distributable Earnings.
3. Fully converted per share information assumes applicable conversion of our outstanding series of convertible preferred stock into common stock and the full vesting of our outstanding equity compensation awards.
4. Includes $90 million of preferred equity that converts to common equity on 1/21/25, subject to the holder's right to accelerate the conversion. These amounts are reflected as temporary equity on the consolidated balance sheets. The remaining $259 million of preferred equity represents the Series E preferred, which does not convert to common equity.
5. Includes non-controlling interest.

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FBRT 1Q 2024 Financial Update

Earnings & Distributions

Distributable Earnings ($M) (1)			GAAP Net Income (Loss) ($M)
$63.5
	Williamsburg
	Hotel Sale
	$15.0 (3)			$39.6
$42.0		$35.8
$41.0
$39.3	$31.0	$30.0

2Q'23

3Q'23

4Q'23

1Q'24

2Q'23

3Q'23

4Q'23

1Q'24

2Q'23	3Q'23	4Q'23	1Q'24
$0.355	$0.355	$0.355	$0.355	Dividend per share
$0.66	$0.43	$0.39	$0.41	Distributable earnings per share, fully converted
(1), (2)
185%	120%	109%	115%	Distributable dividend coverage, fully converted
(1), (2)

Note: All numbers in millions except per share data.

1. Please see appendix for the detail on the adjustments from GAAP net income to Distributable Earnings
2. Fully converted per share information assumes applicable conversion of our outstanding series of convertible preferred stock into common stock and the full vesting of our outstanding equity compensation awards.
3. In Q2 2023, the sale of the Williamsburg Hotel loan accounted for approximately $15.0 million of Distributable Earnings.

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FBRT 1Q 2024 Financial Update

Core Net Fundings

1Q 2024 ($M) (1)

(2)

(3)

Note: All numbers in millions.

1. Total commitment for 1Q 2024 totaled $591m
2. Includes full paydowns, dispositions, partial paydowns and amortization
3. In February 2024, the Company, through deed-in-lieu of foreclosure, acquired a multifamily property located in San Antonio, TX, and assumed the senior mortgage note which the Company originated in November 2021. At the time of the deed-in-lieu of foreclosure, the amortized cost of the loan was $42.2 million and contractual interest was satisfied. Subsequently thereafter, the property was sold to a third party. In connection with the sale, the senior mortgage note which the Company originated in November 2021 was assumed by the buyer and immediately modified, resulting in a $5.9 million principal paydown. As a result, the modification was accounted for as a new loan for GAAP purposes and the sale of the real estate owned transaction resulted in a net gain of $6.0 thousand recorded in Gain/(loss) on other real estate investments in the consolidated statement of operations.

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FBRT 1Q 2024 Financial Update

Capitalization Overview

Average debt cost including financing was 7.8% in 1Q24 vs. 7.9% last quarter

Financing Sources (1)

Net Leverage

	Asset Specific
	Financings
Repo - Securities	1%	Unsecured Debt
	2%
5%

Warehouse 10%

Collateralized Loan

Obligations

83%

3.00x
2.50x		2.39x
2.00x
1.50x
1.00x
0.50x	0.28x
0.00x
Recourse Leverage	Total Leverage

1. On our core book (excluding repo-securities), 87% of financings are non-mark-to-market

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FBRT 1Q 2024 Financial Update

Financing Detail

CLOs		Warehouse/Revolver/Other

		Reinvest	Cost of
CLO Name	Debt Amount(1)	End Date	Debt(2)
BSPRT 2021-FL6	$537 million	Ended	S + 1.44%
BSPRT 2021-FL7	$675 million	Ended	S + 1.66%
BSPRT 2022-FL8	$960 million	Ended	S + 1.72%
BSPRT 2022-FL9	$671 million	7/8/24	S + 2.80%
BSPRT 2023-FL10	$717 million	4/8/25	S + 2.59%
Total	$3,559 million

CLO reinvestment	$11 million
available
Repo - Securities	$195 million
(outstanding)

Name	Commitment (3)
Barclays (Warehouse)	$500 million
Wells Fargo	$400 million
JP Morgan	$500 million
Atlas SP Partners	$350 million
Churchill	$225 million
Barclays (Secured Revolver)	$250 million
Total	$2,225 million

1. Outstanding balance as of March 31, 2024, and net of tranches held by FBRT
2. Cost of debt is shown before discount and transaction costs
3. Commitment for loans. Excludes bond repurchase agreements

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FBRT 1Q 2024 Financial Update

Liquidity

Liquidity ($M)

(1)

1. Represents cash available at 3/31/2024 that we can invest at a market advance rate utilizing our available capacity on financing lines

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