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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
xQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
 For the quarterly period ended March 31, 20222023
 OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number: 000-55188001-40923
FRANKLIN BSP REALTY TRUST, INC.
(Exact name of registrant as specified in its charter) 
Maryland46-1406086
(State or Other Jurisdiction of
Incorporation or Organization)
(I.R.S. Employer
Identification No.)
1345 Avenue of the Americas, Suite 32A
New York, New York
10105
(Address of Principal Executive Office)(Zip Code)
(212) 588-6770
(Registrant’s Telephone Number, Including Area Code)
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Common Stock, par value $0.01 per shareFBRTNew York Stock Exchange
7.50% Series E Cumulative Redeemable Preferred Stock, par value $0.01 per shareFBRT PRENew York Stock Exchange
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act:
Large acceleratedLarge-accelerated filer ox
Accelerated filer o
Non-accelerated filer xo
Smaller reporting company
Emerging growth filer

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes No x

The number of shares of the registrant's common stock, $0.01 par value, outstanding as of April 29, 202228, 2023 was 83,691,399.82,280,994.


FRANKLIN BSP REALTY TRUST, INC.

TABLE OF CONTENTS


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i

Table of Contents
PART I
I. Item 1. Consolidated Financial Statements and Notes (unaudited)
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Table of Contents
FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED BALANCE SHEETS
(In thousands, except share and per share data)
March 31, 2022December 31, 2021
ASSETS(Unaudited)
Cash and cash equivalents$117,064 $154,929 
Restricted cash12,467 13,270 
Commercial mortgage loans, held for investment, net of allowance of $14,933 and $15,827 as of March 31, 2022 and December 31, 2021, respectively4,530,451 4,211,061 
Commercial mortgage loans, held for sale, measured at fair value107,978 34,718 
Real estate securities, trading, measured at fair value1,949,336 4,566,871 
Derivative instruments, measured at fair value478 436 
Other real estate investments, measured at fair value— 2,074 
Receivable for loan repayment (1)
204,833 252,351 
Accrued interest receivable24,787 30,109 
Prepaid expenses and other assets18,430 13,595 
Intangible lease asset, net of amortization47,752 48,472 
Real estate owned, net of depreciation89,473 90,048 
Cash collateral receivable from derivative counterparties9,106 56,767 
Total assets$7,112,155 $9,474,701 
LIABILITIES AND STOCKHOLDERS' EQUITY
Collateralized loan obligations$2,883,887 $2,162,190 
Repurchase agreements - commercial mortgage loans522,890 1,019,600 
Repurchase agreements - real estate securities1,714,541 4,178,784 
Mortgage note payable23,998 23,998 
Other financing and loan participation - commercial mortgage loans40,199 37,903 
Unsecured debt98,620 148,594 
Derivative instruments, measured at fair value3,753 32,295 
Interest payable3,309 2,692 
Distributions payable36,735 30,346 
Accounts payable and accrued expenses12,857 12,705 
Due to affiliates21,898 17,538 
Total liabilities$5,362,687 $7,666,645 
Commitment and contingencies (See Note 10)00
Redeemable convertible preferred stock Series C, $0.01 par value, 20,000 authorized and 1,400 issued and outstanding as of March 31, 2022 and December 31, 2021, respectively6,973 6,971 
Redeemable convertible preferred stock Series D, $0.01 par value, 20,000 authorized and 17,950 issued and outstanding as of March 31, 2022 and December 31, 2021, respectively89,691 89,684 
Equity:
Preferred stock, $0.01 par value, 10,000,000 authorized and none issued or outstanding as of March 31, 2022 and December 31, 2021, respectively0— 
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 March 31, 2022 and December 31, 2021, respectively258,742 258,742 
Series F Preferred stock, $0.01 par value, 40,000,000 authorized and 39,733,299 issued and outstanding as of March 31, 2022 and December 31, 2021, respectively710,431 710,431 
Common stock, $0.01 par value, 900,000,000 shares authorized, 44,471,127 and 43,965,928 shares issued and outstanding as of March 31, 2022 and December 31, 2021, respectively441 441 
Additional paid-in capital903,855 903,264 
Accumulated other comprehensive income (loss)— (62)
Accumulated deficit(226,429)(167,179)
Total stockholders' equity$1,647,040 $1,705,637 
Non-controlling interest5,764 5,764 
Total equity$1,652,804 $1,711,401 
Total liabilities, redeemable convertible preferred stock and equity$7,112,155 $9,474,701 
March 31, 2023December 31, 2022
ASSETS(Unaudited)
Cash and cash equivalents$230,405 $179,314 
Restricted cash6,874 11,173 
Commercial mortgage loans, held for investment, net of allowance for credit losses of $28,751 and $40,848 as of March 31, 2023 and December 31, 2022, respectively5,022,750 5,228,928 
Commercial mortgage loans, held for sale, measured at fair value15,928 15,559 
Real estate securities, trading, measured at fair value133,705 235,728 
Real estate securities, available for sale, measured at fair value, amortized cost of $113,588 and $220,635 as of March 31, 2023 and December 31, 2022, respectively112,329 221,025 
Derivative instruments, measured at fair value325 415 
Receivable for loan repayment (1)
18,197 42,557 
Accrued interest receivable36,337 34,007 
Prepaid expenses and other assets19,372 15,795 
Intangible lease asset, net of amortization59,022 54,831 
Real estate owned, net of depreciation148,624 127,772 
Real estate owned, held for sale35,158 36,497 
Total assets$5,839,026 $6,203,601 
LIABILITIES AND STOCKHOLDERS' EQUITY
Collateralized loan obligations$3,052,802 $3,121,983 
Repurchase agreements - commercial mortgage loans604,421 680,859 
Repurchase agreements - real estate securities228,934 440,008 
Mortgage note payable23,998 23,998 
Other financing and loan participation - commercial mortgage loans79,121 76,301 
Unsecured debt81,220 98,695 
Derivative instruments, measured at fair value294 64 
Interest payable12,690 12,715 
Distributions payable36,367 36,317 
Accounts payable and accrued expenses15,531 17,668 
Due to affiliates13,856 15,429 
Intangible lease liability, net of depreciation9,115 6,428 
Total liabilities$4,158,349 $4,530,465 
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 March 31, 2023 and December 31, 2022$89,748 $89,748 
Redeemable convertible preferred stock Series I, $0.01 par value, none authorized and outstanding as of March 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 March 31, 2023 and December 31, 2022$258,742 $258,742 
Common stock, $0.01 par value, 900,000,000 shares authorized, 83,363,971 and 82,992,784 shares issued and outstanding as of March 31, 2023 and December 31, 2022, respectively826 826 
Additional paid-in capital1,603,790 1,602,247 
Accumulated other comprehensive income (loss)(1,935)390 
Accumulated deficit(291,762)(299,225)
Total stockholders' equity$1,569,661 $1,562,980 
Non-controlling interest21,268 15,408 
Total equity$1,590,929 $1,578,388 
Total liabilities, redeemable convertible preferred stock and equity$5,839,026 $6,203,601 
___________________________________________________________________________________________
(1) Includes $177.4$17.9 million and $187.0$42.5 million of cash held by servicer related to the CLOs as of March 31, 20222023 and December 31, 2021,2022, respectively, as well as $27.4$0.3 million and $65.3$0.1 million of RMBS principal paydowns receivable as of March 31, 20222023 and December 31, 2021,2022, respectively.
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The accompanying notes are an integral part of these unaudited consolidated financial statements.
31

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FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED STATEMENTS OF OPERATIONS
(In thousands, except share and per share data)
(Unaudited)
Three Months Ended March 31,
20222021
Income:
Interest income$75,258 $42,237 
Less: Interest expense22,480 11,369 
Net interest income52,778 30,868 
Revenue from real estate owned2,312 716 
Total income$55,090 $31,584 
Expenses:
Asset management and subordinated performance fee6,745 5,416 
Acquisition expenses315 153 
Administrative services expenses3,353 3,474 
Professional fees6,659 1,997 
Depreciation and amortization1,295 406 
Other expenses1,762 495 
Total expenses$20,129 $11,941 
Other (income)/loss:
Provision/(benefit) for credit losses(955)(2,331)
Realized (gain)/loss on sale of real estate securities— 1,060 
Realized (gain)/loss on sale of commercial mortgage loans, held for sale, measured at fair value(1,889)(6,630)
Realized (gain)/loss on other real estate investments, measured at fair value33 — 
Unrealized (gain)/loss on commercial mortgage loans, held for sale, measured at fair value939 (479)
Unrealized (gain)/loss on other real estate investments, measured at fair value(4)(6)
Trading (gain)/loss88,435 — 
Unrealized (gain)/loss on derivatives4,963 (2,109)
Realized (gain)/loss on derivatives(34,030)(1,978)
Total other (income)/loss$57,492 $(12,473)
Income before taxes(22,531)32,116 
Provision/(benefit) for income tax(24)1,970 
Net income/(loss)$(22,507)$30,146 
Net income/(loss) applicable to common stock$(43,518)$23,408 
Basic earnings per share$(0.99)$0.53 
Diluted earnings per share$(0.99)$0.53 
Basic weighted average shares outstanding43,956,965 44,290,177 
Diluted weighted average shares outstanding43,956,965 44,306,065 

Three Months Ended
March 31,
20232022
Income:
Interest income$130,536 $75,258 
Less: Interest expense71,075 22,480 
Net interest income59,461 52,778 
Revenue from real estate owned3,312 2,312 
Total income$62,773 $55,090 
Expenses:
Asset management and subordinated performance fee$8,085 $6,745 
Acquisition expenses378 315 
Administrative services expenses4,029 3,353 
Professional fees4,814 6,159 
Share-based compensation1,022 500 
Depreciation and amortization1,805 1,295 
Other expenses2,166 1,762 
Total expenses$22,299 $20,129 
Other (income)/loss:
Provision/(benefit) for credit losses$4,360 $(955)
Realized (gain)/loss on extinguishment of debt(4,767)— 
Realized (gain)/loss on sale of available for sale trading securities(596)— 
Realized (gain)/loss on sale of commercial mortgage loans, held for sale, measured at fair value— (1,889)
Unrealized (gain)/loss on commercial mortgage loans, held for sale, measured at fair value(347)939 
(Gain)/loss on other real estate investments1,339 29 
Trading (gain)/loss(2,968)88,435 
Unrealized (gain)/loss on derivatives320 4,963 
Realized (gain)/loss on derivatives(44)(34,030)
Total other (income)/loss$(2,703)$57,492 
Income/(loss) before taxes43,177 (22,531)
Provision/(benefit) for income tax(662)(24)
Net income/(loss)$43,839 $(22,507)
Net (income)/loss attributable to non-controlling interest(9)— 
Net income/(loss) attributable to Franklin BSP Realty Trust, Inc.$43,830 $(22,507)
Less: Preferred stock dividends6,748 21,011 
Net income/(loss) applicable to common stock$37,082 $(43,518)
Basic earnings per share$0.44 $(0.99)
Diluted earnings per share$0.44 $(0.99)
Basic weighted average shares outstanding82,774,771 43,956,965 
Diluted weighted average shares outstanding82,774,771 43,956,965 
        
The accompanying notes are an integral part of these unaudited consolidated financial statements.
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FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(In thousands)
(Unaudited)

Three months ended March 31,
20232022
Net income/(loss)$43,839 $(22,507)
Amounts related to available for sale real estate securities:
Change in net unrealized gain/(loss)$(1,648)$— 
Reclassification adjustment for amounts included in net income/(loss)(677)— 
$(2,325)$— 
Amounts related to cash flow hedges:
Change in net unrealized gain/(loss)$— $(220)
Reclassification adjustment for amounts included in net income/(loss)— 282 
$— $62 
Comprehensive (income)/loss attributed to non-controlling interest$(9)$— 
Comprehensive income/(loss) attributable to Franklin BSP Realty Trust, Inc.$41,505 $(22,445)

The accompanying notes are an integral part of these unaudited consolidated financial statements.
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FRANKLIN BSP REALTY TRUST, INC.
THE ACCOMPANYING CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(In thousands, except share data)
(Unaudited)








Common StockAdditional Paid-In CapitalAccumulated Other Comprehensive Income/(Loss)Accumulated DeficitPreferred ETotal Stockholders' EquityNon-Controlling InterestTotal Equity
Number of SharesPar Value
Balance, December 31, 202282,992,784 $826 $1,602,247 $390 $(299,225)$258,742 $1,562,980 $15,408 $1,578,388 
Issuance of common stock      —  — 
Common stock repurchases(313,411)(3)(3,664)— — — (3,667)— (3,667)
Common stock issued through distribution reinvestment plan— — — — — — — — — 
Share-based compensation442,419 — 1,022 — — — 1,022 — 1,022 
Shares canceled for tax withholding on vested equity rewards(57,021)— (812)— — — (812)— (812)
Series I preferred stock exchanged for common stock299,200 4,997 — — — 5,000 — 5,000 
Offering costs— — — — — — — — — 
Net income/(loss) attributable to Franklin BSP Realty Trust, Inc.— — — — 43,830 — 43,830 — 43,830 
Net income/(loss) attributable to non-controlling interest— — — — — — — 
Distributions declared— — — — (36,367)— (36,367)— (36,367)
Other comprehensive income/(loss)— — — (2,325)— — (2,325)— (2,325)
Contributions in non-controlling interest, net      — 5,851 5,851 
Balance, March 31, 202383,363,971 $826 $1,603,790 $(1,935)$(291,762)$258,742 $1,569,661 $21,268 $1,590,929 
Common StockAdditional Paid-In CapitalAccumulated Other Comprehensive Income/(Loss)Accumulated DeficitPreferred EPreferred FTotal Stockholders' EquityNon-Controlling InterestTotal Equity
Number of SharesPar Value
Balance, December 31, 202143,965,928 $441 $903,264 $(62)$(167,179)$258,742 $710,431 $1,705,637 $5,764 $1,711,401 
Issuance of common stock— — — — — — — — — — 
Common stock repurchases— — — — — — — — — — 
Common stock issued through distribution reinvestment plan5,982 — 91 — — — — 91 — 91 
Share-based compensation499,217 — 500 — — — — 500 — 500 
Offering costs— — — — — — — — — — 
Net income/(loss)— — — — (22,507)— — (22,507)— (22,507)
Distributions declared— — — — (36,743)— — (36,743)— (36,743)
Other comprehensive income/(loss)— — — 62 — — — 62 — 62 
Balance, March 31, 202244,471,127 $441 $903,855 $ $(226,429)$258,742 $710,431 $1,647,040 $5,764 $1,652,804 
The accompanying notes are an integral part of these unaudited consolidated financial statements.
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FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOMECASH FLOWS
(In thousands)
(Unaudited)
Three Months Ended March 31,
20222021
Net income/(loss)$(22,507)$30,146 
Unrealized gain/(loss) on available for sale securities— 8,042 
Amounts related to cash flow hedges:
  Change in net unrealized gain/(loss)(220) 
  Reclassification adjustment for amounts included in net income/(loss)282  
$62 $ 
Comprehensive income/(loss) attributable to Franklin BSP Realty Trust, Inc.$(22,445)$38,188 

The accompanying notes are an integral part of these unaudited consolidated financial statements.
Three Months Ended March 31,
20232022
Cash flows from operating activities:
Net income/(loss)$43,839 $(22,507)
Adjustments to reconcile net income to net cash (used in)/provided by operating activities:
Premium amortization and (discount accretion), net$(4,163)$(2,542)
Accretion of deferred commitment fees(2,869)(2,219)
Amortization of deferred financing costs1,837 1,403 
Share-based compensation1,022 500 
Realized (gain)/loss from sale of other real estate investments, measured at fair value(596)33 
Realized (gain)/loss on extinguishment of debt(4,767)— 
Realized (gain)/loss on swap terminations— (34,378)
Trading (gain)/loss(2,968)88,435 
Unrealized (gain)/loss from commercial mortgage loans, held for sale, measured at fair value(347)939 
Unrealized (gain)/loss on derivative instruments320 4,963 
Unrealized (gain)/loss from other real estate investments, measured at fair value1,339 (4)
Depreciation and amortization1,642 1,295 
Provision/(benefit) for credit losses4,360 (955)
Origination of commercial mortgage loans, held for sale, measured at fair value— (150,300)
Proceeds from sale or repayment of commercial mortgage loans, held for sale, measured at fair value(22)76,100 
Changes in assets and liabilities:
Accrued interest receivable539 7,542 
Prepaid expenses and other assets(1,042)(5,807)
Accounts payable and accrued expenses(3,510)239 
Due to affiliates(1,573)4,360 
Interest payable217 617 
Net cash (used in)/provided by operating activities$33,258 $(32,286)
Cash flows from investing activities:
Origination and purchase of commercial mortgage loans, held for investment$(195,617)$(636,465)
Principal repayments received on commercial mortgage loans, held for investment406,243 330,130 
Proceeds from (purchase)/sale of other real estate investments— 2,045 
Purchase of real estate securities, available for sale(20,267)— 
Proceeds from sale/(repayment) of real estate securities, available for sale, measured at fair value127,660 — 
Proceeds from sale/(repayment) of real estate securities, trading, at fair value97,487 2,190,143 
Principal collateral on mortgage investments7,302 376,857 
Proceeds from sale/(purchase) of derivative instruments— 148 
Net cash (used in)/provided by investing activities$422,808 $2,262,858 
Cash flows from financing activities:
Proceeds from issuances of common stock$5,000 $— 
Proceeds from issuances of redeemable convertible preferred stock(5,000)— 
Payments for common stock repurchases(3,666)— 
Shares cancelled for tax withholding on vested equity rewards(812)— 
Borrowings on collateralized loan obligations— 960,000 
Repayments of collateralized loan obligations(69,042)(235,139)
Borrowings on repurchase agreements - commercial mortgage loans157,862 474,466 
Repayments of repurchase agreements - commercial mortgage loans(234,300)(971,176)
Borrowings on repurchase agreements - real estate securities258,881 11,937,334 
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FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITYCASH FLOWS
(In thousands, except share data)thousands)
(Unaudited)
Common Stock
Number of SharesPar ValueAdditional Paid-In CapitalAccumulated Other Comprehensive LossAccumulated DeficitPreferred EPreferred FTotal Stockholders' EquityNon-Controlling InterestTotal Equity
Balance, December 31, 202143,965,928 $441 $903,264 $(62)$(167,179)$258,742 $710,431 $1,705,637 $5,764 $1,711,401 
Issuance of common stock       —  — 
Common stock repurchases— — — — — — — — — — 
Common stock issued through distribution reinvestment plan5,982 — 91 — — — — 91 — 91 
Share-based compensation499,217 — 500 — — — — 500 — 500 
Offering costs— — — — — — — — — — 
Net income/(loss)— — — — (22,507)— — (22,507)— (22,507)
Distributions declared— — — — (36,743)— — (36,743)— (36,743)
Other comprehensive income— — — 62 — — — 62 — 62 
Balance, March 31, 202244,471,127 $441 $903,855 $ $(226,429)$258,742 $710,431 $1,647,040 $5,764 $1,652,804 
Balance, December 31, 202044,510,051 $446 $912,725 $(8,256)$(106,471)$ $ $798,444 $ $798,444 
Issuance of common stock— — — — — — — — — — 
Common stock repurchases(521,796)(5)(9,142)— — — — (9,147)— (9,147)
Common stock issued through distribution reinvestment plan147,404 2,583 — — — — 2,585 — 2,585 
Share-based compensation— — 55 — — — — 55 — 55 
Offering costs— — (21)— — — — (21)— (21)
Net income/(loss)— — — — 30,146 — — 30,146 — 30,146 
Distributions declared— — — — (15,644)— — (15,644)— (15,644)
Other comprehensive income— — — 8,042 — — — 8,042 — 8,042 
Balance, March 31, 202144,135,659 $443 $906,200 $(214)$(91,969)$ $ $814,460 $ $814,460 
Repayments of repurchase agreements - real estate securities(469,955)(14,401,577)
Proceeds from other financing and loan participation - commercial mortgage loans— 2,296 
Borrowings on other financing43,615 — 
Repayments on other financing(40,795)— 
Repayments of unsecured debt(13,367)(50,000)
Payments of deferred financing costs(1,377)(3,595)
Cash collateral received on interest rate swaps— 47,661 
Proceeds from interest rate swap settlements— 744 
Distributions paid(36,317)(30,254)
Net cash (used in)/provided by financing activities:$(409,273)$(2,269,240)
Net change in cash, cash equivalents and restricted cash46,793 (38,668)
Cash, cash equivalents and restricted cash, beginning of period190,487 168,199 
Cash, cash equivalents and restricted cash, end of period$237,279 $129,531 
Reconciliation of cash, cash equivalents and restricted cash:
Cash and cash equivalents, beginning of period179,314 154,929 
Restricted cash, beginning of period11,173 13,270 
Cash, cash equivalents and restricted cash, beginning of period$190,487 $168,199 
Cash and cash equivalents, end of period230,405 117,064 
Restricted cash, end of period6,874 12,467 
Cash, cash equivalents and restricted cash, end of period$237,279 $129,531 
Supplemental disclosures of cash flow information:
Cash payments for income taxes$(15)$— 
Cash payments for interest69,263 20,460 
Pre-close loan fundings held with servicer(2,742)— 
Supplemental disclosures of non - cash flow information:
Distribution payable$36,367 $36,735 
Common stock issued through distribution reinvestment plan— 91 
Real estate owned received in foreclosure23,999 — 
Loans transferred to real estate owned, held for investment33,206 — 
The accompanying notes are an integral part of these unaudited consolidated financial statements.
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FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(In thousands)
(Unaudited)
Three Months Ended March 31,
20222021
Cash flows from operating activities:
Net income/(loss)$(22,507)$30,146 
Adjustments to reconcile net income to net cash (used in)/provided by operating activities:
Premium amortization and (discount accretion), net$(2,542)$(1,169)
Accretion of deferred commitment fees(2,219)(1,488)
Amortization of deferred financing costs1,403 1,335 
Share-based compensation500 55 
Realized (gain)/loss from sale of real estate securities— 1,060 
Realized (gain)/loss from sale of other real estate investments33 — 
Realized (gain)/loss on swap terminations(34,378)— 
Realized and unrealized gain/loss on real estate securities, trading88,435 — 
Unrealized (gain)/loss from commercial mortgage loans, held for sale939 (479)
Unrealized (gain)/loss from derivative instruments4,963 (2,109)
Unrealized (gain)/loss from other real estate investments(4)(6)
Depreciation and amortization1,295 406 
Provision/(benefit) for credit losses(955)(2,331)
Origination of commercial mortgage loans, held for sale(150,300)(166,360)
Proceeds from sale of commercial mortgage loans, held for sale76,100 141,372 
Changes in assets and liabilities:
Accrued interest receivable7,542 308 
Prepaid expenses and other assets(5,807)1,850 
Accounts payable and accrued expenses239 1,570 
Due to affiliates4,360 952 
Interest payable617 (664)
Net cash (used in)/provided by operating activities$(32,286)$4,448 
Cash flows from investing activities:
Origination and purchase of commercial mortgage loans, held for investment$(636,465)$(520,849)
Principal repayments received on commercial mortgage loans, held for investment330,130 52,800 
Proceeds from (purchase)/sale of other real estate investments2,045 — 
Proceeds from sale/repayment of real estate securities2,190,143 159,254 
Principal collateral on mortgage investments376,857 — 
Proceeds from (purchase)/sale of derivative instruments148 973 
Net cash (used in)/provided by investing activities$2,262,858 $(307,822)
Cash flows from financing activities:
Proceeds from issuances of redeemable convertible preferred stock$— $15,000 
Common stock repurchases— (9,147)
Borrowings on collateralized loan obligations960,000 573,125 
Repayments of collateralized loan obligations(235,139)(119,425)
Borrowings on repurchase agreements - commercial mortgage loans474,466 168,655 
Repayments of repurchase agreements - commercial mortgage loans(971,176)(292,070)
Borrowings on repurchase agreements - real estate securities11,937,334 168,550 
Repayments of repurchase agreements - real estate securities(14,401,577)(267,106)
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FRANKLIN BSP REALTY TRUST, INC.
CONSOLIDATED STATEMENTS OF CASH FLOWS
(In thousands)
(Unaudited)
Proceeds from other financing and loan participation - commercial mortgage loans2,296 2,638 
Borrowings on unsecured debt— 100,000 
Repayments of unsecured debt(50,000)— 
Payments of deferred financing costs(3,595)(3,944)
Cash collateral received on interest rate swaps47,661 — 
Proceeds from interest rate swap settlements744 — 
Distributions paid(30,254)(14,136)
Net cash (used in)/provided by financing activities:$(2,269,240)$322,140 
Net change in cash, cash equivalents and restricted cash(38,668)18,766 
Cash, cash equivalents and restricted cash, beginning of period168,199 92,141 
Cash, cash equivalents and restricted cash, end of period$129,531 $110,907 
Supplemental disclosures of cash flow information:
Taxes paid$— $— 
Interest paid20,460 10,698 
Supplemental disclosures of non - cash flow information:
Distribution payable$36,735 $14,585 
Common stock issued through distribution reinvestment plan91 2,585 
Real estate owned received in foreclosure— 37,523 
Reconciliation of cash, cash equivalents and restricted cash at end of period:
Cash and cash equivalents$117,064 $99,099 
Restricted cash12,467 11,808 
Cash, cash equivalents and restricted cash, end of period$129,531 $110,907 
The accompanying notes are an integral part of these unaudited consolidated financial statements.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)


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, unsecured REIT debt,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 and continues to hold a significant 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. Although the Company continues to hold a small portion of this portfolio it does not intend to do so long-term and intends to reinvest proceeds from this portfolio in its other businesses. The Company also owns real estate that was either acquired by the Company through foreclosure andor deed in lieu of foreclosure, andor that was purchased for investment, typicallyprimarily subject to triple net leases.
Note 2 - Summary of Significant Accounting Policies
Basis of Accounting
The Company's unaudited 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") for interim financial statements and pursuant to the requirements for reporting on Form 10-Q and Regulation S-X, as appropriate. Accordingly, the consolidated financial statements may not include all of the information and notes required by GAAP for annual consolidated financial statements.
These financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto as of, and for the year ended December 31, 2021,2022, which are included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission ("SEC") on February 25, 2022.March 16, 2023.
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. In the opinion of management, the interim data includes all adjustments, of a normal and recurring nature, necessary for a fair statement of the results for the periods presented. The current period’s results of operations will not necessarily be indicative of results that ultimately may be achieved for the entire year or any subsequent interim periods.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
The global coronavirus (COVID-19) pandemic has caused economic disruptions and changes to the real estate market. Certain jurisdictions, including those where our corporate headquarters and/or properties that secure our investments, or properties that the Company owns, are located, have at times imposed “stay-at-home” guidelines or orders or other restrictions to help prevent its spread. The effects of COVID-19 may negatively and materially impact significant estimates and assumptions used by the Company including, but not limited to estimates of expected credit losses, valuation of our equity investments and the fair value estimates of the Company's assets and liabilities. Actual results could differ from those estimates.
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.
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 a consolidated joint ventureventures that isare 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.
Certain prior year balances have been reclassified in order to conform to the current period presentation. For the period ended March 31, 2022, Unrealized (gain)/loss on other real estate investments, measured at fair value of ($4.0) thousand, and Realized (gain)/loss on other real estate investments, measured at fair value of $33 thousand was reclassified to (Gain)/loss on other real estate investments on the consolidated statements of operations. In addition, for the three months ended March 31, 2022, $0.5 million was reclassified from Professional fees to Share-based compensation on the consolidated statements of operations.
Acquisition Expenses
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 Company's consolidated statements of operations. Acquisition expenses paid on future funding amounts are expensed within the acquisition expenses line in the Company's 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.
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.
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 an 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 Company’s 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 Company's consolidated statements of operations.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Held for Sale - Commercial mortgage loans that are intended to be sold in the foreseeable future are reported as held for sale and are transferred at fair value and 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, Accounted for Under theMeasured at Fair Value Option - 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, is classified as held for sale in the period in which the six criteria under ASC Topic 360, "Property, Plant, and Equipment" are met: (1) we commit to a plan and have the authority to sell the asset; (2) the asset is available for sale in its current condition; (3) we have initiated an active marketing plan to locate a buyer for the asset; (4) the sale of the asset is both probable and expected to qualify for full sales recognition within a period of 12 months; (5) the asset is being actively marketed for sale at a price that is reflective of its current fair value; and (6) 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.
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 March 31, 2022.2023.
The Company’s real estate owned, held for investment assets are depreciated or amortized using the straight-line method over the following useful lives:
Buildings40 years
Furniture, fixtures, and equipment15 years
Site Improvements5 - 25 years
Intangible lease assetsLease 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.
Real estate owned, assets that are probable to be sold within one year are reported as held for sale. sale - Real estate owned assetsis classified as held for sale in the period in which the six criteria under ASC Topic 360, "Property, Plant, and Equipment" are measuredmet: (1) we commit to a plan and have the authority to sell the asset; (2) the asset is available for sale in its current condition; (3) we have initiated an active marketing plan to locate a buyer for the asset; (4) the sale of the asset is both probable and expected to qualify for full sales recognition within a period of 12 months; (5) the asset is being actively marketed for sale at a price that is reflective of its current fair value; and (6) we do not anticipate changes to our plan to sell the asset. Held for sale assets are carried at the lower of its carrying amountdepreciated cost or estimated fair value, less costestimated costs to sell.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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.
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Table Gains and losses on real estate owned, held for sale are included in (Gain)/loss on other real estate investments on the consolidated statements of Contents
FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
operations.
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 Accounting Standards Codification ("ASC")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 Accounting Standards Update ("ASU") No.ASU 2016-13 Financial Instruments Credit Losses, is deducted from the respective loans’loan's amortized cost basis on the Company’s consolidated balance sheets. The
General allowance for credit losses attributed to unfunded loan commitments is included in Accounts payable and accrued expenses on the consolidated balance sheets.
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 allowance 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 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
In measuring the general allowance for credit losses for financial instruments including our 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 allowance for credit losses is calculated as the product of PD, LGD and exposure at default (“EAD”). The Company’s model principally utilizes historical loss rates derived from a commercial mortgage backed securities database with historical losses from 1998 to2001 - 2021 provided by a reputable third party, forecasting the loss parameters using a scenario-based statistical approach over a reasonable and supportable forecast period of twelve months, followed by an immediate reversion to average historical losses. For
When a borrower is experiencing financial instruments assessed on an individualdifficulties and a loan is modified, the effect of the modification will be included in the Company’s assessment of the CECL allowance for loan losses. If the Company provides principal forgiveness, the amortized cost basis includingof the loan is written off against the allowance for loan losses. Generally, when it is probable thatmodifying loans, the Company will be unableseek to collectprotect its position by requiring incremental pay downs, additional collateral or guarantees and, in some cases, lookback features or equity interests to offset the full paymenteffects of principal and interest onmodifications granted should conditions impacting the instrument, the Company applies a discounted cash flow (“DCF”) methodology.loan improve.
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 thea specific allowance for credit losses.
For financial instruments which the Company identifies reasonable doubt as to whether the collection of contractual components can be satisfied, a loan specific allowance 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 current losses, the specific allowance for current 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. These valuations require 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 allowances for current losses 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 allowanceallowances 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 allowance 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:
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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/Defaulted/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 allowance for credit losses.
Changes in the allowanceallowances for credit losses for the Company’s financial instruments are recorded in Provision/(benefit) for credit losses on the consolidated statements of operations with a corresponding offset to the financial instrument’s amortized cost recorded on 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 an allowance for credit losses for accrued interest receivable as it isbalances are written off in a timely following three months' time, reversed against interest incomemanner when a loan,loans, real estate securitysecurities or preferred equity investment isinvestments are designated as non-performing and placed on nonaccrual status. non-accrual or cost recovery status within 90 days of becoming past due.
Non-performing status
The Company did not record reversals of accrued interest receivable during the three months ended March 31, 2022. Loans are charged off against the Provision/(benefit) for credit lossesdesignates loans as non-performing when all or a portion of the principal amount is determined to be uncollectible.
Past due and nonaccrual status
Loans are placed on nonaccrual status and considered non-performing when(i) full payment of principal and/or 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 unpaid for 90 days or more or where reasonable doubt existsonly recognized as to timelyincome 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 unless theof principal and coupon interest components have been satisfied. When a loan is both well secureddesignated as non-performing and in the process of collection. Interest receivedplaced on nonaccrualcost recovery status, loans are accounted for under the cost-recovery method until qualifying for returnis applied to accrual. Upon restructuring the nonaccrual loan, the Company may return a loan to accrual status when repaymentwhich receipt of principal andor coupon interest is reasonably assured.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
Troubled Debt Restructuring (“TDR”)
The Company classifies an individual financial instrumentrecorded as a TDR when it has a reasonable expectation that the financial instrument’s contractual terms will be modified in a manner that grants concessionreduction to the borrower who is experiencing financial difficulty. Concessions could include term extensions, payment deferrals, interest rate reductions, principal forgiveness, forbearance, or other actions designed to maximize the Company’samortized cost until collection on the financial instrument. The Company determines the allowance for credit losses for financial instruments thatof all contractual components are TDRs individually.reasonably assured.
Real Estate Securities
Available For Sale
On the acquisition date, all of theThe Company’s commercial real estate securities wereare classified as available for sale ("AFS") and carried at fair value, and subsequently any unrealized gains or losses are recognized as a component of accumulated other comprehensive income or loss. The Company may elect thevalue. Changes in fair value optionof available for itssale real estate securities and as a result, any unrealized gains or losses on such real estate securities will be recordedare recognized in the Company’s consolidated statements of operations. No such election was made as of March 31, 2022.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 isand accretion are reflected as an adjustment to interest income in the Company’s 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 real estateavailable for sale trading securities are included in the Company’s 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 on the consolidated balance sheets with a corresponding adjustment on 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 securityreal 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 allowanceprovision 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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 in the consolidated balance sheets.
Trading
In the merger with Capstead, the Company acquired a portfolio of residential mortgage pass-through securities consisting primarily of adjustable-rate mortgage ("ARM") securities issued and guaranteed by government-sponsored enterprises, either Fannie Mae, Freddie Mac, or by an agency of the federal government, Ginnie Mae. Together these securities are referred to as "ARM Agency Securities" and are classified as "trading".
ARM Agency Securities are recorded at fair value and are classified as trading on the balance sheet with trading gains and losses on the paydownsdue to fair value changes and sales of these securities recorded in the Company's consolidated statements of operations. The Company calculates trading gains and losses on the sales of ARM Agency Securities based on the specific identification method. Fair values fluctuate with current and projected changes in interest rates, prepayment expectations and other factors such as market liquidity conditions and the perceived credit quality of agency securities. Judgment is required to interpret market data and develop estimated fair values, particularly in circumstances of deteriorating credit quality and market liquidity.
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 a repurchase agreement remain on the Company’s 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 on the Company's consolidated statements of operations.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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 on the consolidated balance sheets. Deferred financing cost on the Company's collateralized loan obligations ("CLO")CLOs are netted against the Company's CLO payable in the Collateralized loan obligations on 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 on the Company's consolidated statements of operations. Unamortized deferred financing costs are generally expensed when the associated debt is refinanced or repaid before maturity.
Share Repurchase Program
Until the merger with Capstead, the Company had a Share Repurchase Program (the "SRP") that enabled stockholders to sell their shares to the Company, subject to certain conditions. Under the SRP, when a stockholder requested a redemption and the redemption was approved by the board of directors, the Company reclassified such obligation from equity to a liability based on the settlement value of the obligation. Shares repurchased under the SRP have the status of authorized but unissued shares.
Offering and Related Costs
Since 2018, the Company has from time to time offered, and may in the future offer, shares of the Company’s common stock or one or more series of its preferred stock, including its Series CH convertible preferred stock (the “Series CH Preferred Stock,”Stock”) and former Series DI convertible preferred stock (the “Series DI 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 incursincurred 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 offeringequity. Offering costs for the Series CH Preferred Stock and Series DI Preferred Stock are included within Series C Preferred Stock and Series D Preferred Stock, respectively, onwere expensed to the Company’sCompany's consolidated balance sheets.statement of operations.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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 Boardboard of Directors,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, LTIPlong-term incentive plan units and cash bonus awards.
In January 2022 and 2023, the Company began issuingissued under the 2021 Incentive Plan 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 will beis 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 expense on the consolidated statements of operations.
Restricted Share Plan
The Company also hashad an Amended and Restated Employee and Director Incentive Restricted Share Plan (the "RSP"), which providesprovided 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 total number of common shares granted under the RSP shall not exceed 5% of the Company’s authorized common shares, and in any event, will not exceed 4.0 million shares (as such number may be adjusted for stock splits, stock distributions, combinations and similar events). The RSP will expireexpired on February 7, 2023.
Restricted share awards entitle the recipient to receive common shares from the Company under terms that provide for vesting over a specified period of time or upon attainment of pre-established performance objectives. Such awards would typically be forfeited with respect to the unvested shares upon the termination of the recipient’s employment or other relationship with the Company. Restricted shares may not, in general, be sold or otherwise transferred until restrictions are removed and the shares have vested. Holders of restricted shares may receive cash distributions prior to the time that the restrictions on the shares have lapsed. Any distributions payable in common shares shall be subject to the same restrictions as the underlying restricted shares. The fair value of the restricted share awards areis expensed over the vesting period.
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Tableperiod, which are included in share-based compensation expense on the consolidated statements of Contents
FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
operations.
Distribution Reinvestment Plan
Pursuant to the terms of the Company's distributionThe Company maintains a dividend reinvestment plan ("DRIP") in effect until December 17, 2021,pursuant to which stockholders had the option to elect tomay reinvest distributions by purchasingdividends into shares of common stock in lieu of receiving cash. No dealer manager fees or selling commissions were paid with respect to shares purchased pursuant to the DRIP. The purchase price for shares purchased through the DRIP was the lesser of (i) the Company’s most recent estimated per share NAV, and (ii) the Company’s GAAP book value per share. The Company had the right to amend any aspect of the DRIP or terminate the DRIP with ten days’ notice to participants. Shares issued under the DRIP were recorded to equity in the consolidated balance sheets in the period distributions are declared.
On December 17, 2021, the Company amended and restated the DRIP (the “Amended DRIP”) in recognition of the listing of the Company’s common stock on the New York Stock Exchange (“NYSE”).stock. Shares of common stock purchased through the Amended 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 will beis the average price per share of shares purchased; if the shares are purchased directly from the Company, the purchase price willis generally be 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 Amended 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 TRSs. Total Provision/(benefit) for income tax provision/(benefit) for the three months ended March 31, 2023 and 2022 was $(0.7) million and $(24.0) thousand, respectively.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021 was $(24) thousand and $2.0 million, respectively.2023
(Unaudited)
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, interest rate swaps, 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 on the Company’s 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
Per Share Data
The Company’sSeries C Preferred Stock, Series DH Preferred Stock and Series FI 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 CH Preferred Stock and Series DI Preferred Stock, except when doing so would be anti-dilutive.
Reportable Segments
The Company has determined that it has 4four reportable segments based on how the chief operating decision maker reviews and manages the business. The 4four reporting segments are as follows:
The real estate debt business which is focused on originating, acquiring and asset managing commercial real estate debt investments, including first mortgage loans, 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, unsecured REIT debt,CRE CLO bonds, CDO notes and other securities. As a result of the October 2021 acquisition of Capstead, the Company acquired and continues to hold a significant portfolio of RMBS in the form of the ARM Agency Securities. The Company has and intends to reinvest the cash and proceeds from dividends, interest, repayments and sales of these assets into its other segments and does not intend to continue to invest in ARM Agency Securities or RMBS in general. As of March 31, 2022, all of the real estate securities in this segment were ARM Agency Securities acquired in the Capstead acquisition.
The commercial conduit business in the Company's TRS, which is focused on originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market.
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 Series C and Series D classes of redeemable convertible preferred stock are classified outside of permanent equity in the consolidated balance sheets.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
Series CH Preferred Stock
The Series CH Preferred Stock ranks senior to the Common Stock and while it was outstanding, ranked senior to the Company's Series F Convertible Preferred Stock ("Series F Preferred Stock") and on parity with the Series DI Preferred Stock and the Company’s 7.50% Series E Cumulative Redeemable Preferred Stock (“("Series E Preferred Stock”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 CH 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 CH Preferred Stock into the Common Stock.
Dividends on the Series CH 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 CH 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 CH 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.
Each outstanding share ofOn January 19, 2023, the Series CH Preferred Stock shallwas amended such that the mandatory conversion date was extended by one year, to January 19, 2024. Unless earlier converted, the Series H Preferred Stock will automatically convert into common stock at a rate of 299.2 shares of common stock (the “Conversion Rate”), subjectper share of Series H Preferred Stock (subject to anti-dilution adjustments as described in the Articles Supplementary for the Series CH Preferred Stock) on January 19, 2024. The holder of the Series H Preferred Stock on October 19, 2022 or at anyhas the right to convert up to 4,487 shares of Series H Preferred Stock one time before thenin each calendar month through December 2023, upon the election of the Company with 10 business days’ prioradvance notice to the holders.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
In the event of the sale of all or substantially all of the business or assets of the Company (by sale, merger, consolidation or otherwise) or the acquisition by any person of more than 50% of the total economic interests or voting power of all securities of the Company (a “ Change of Control”), in each case prior to the automatic conversion dates set forth above, each holder of Series C Preferred Stock will have the right, prior to consummation of such transaction, to convert its Series C Preferred Stock into common stock at the Conversion Rate. In addition, in the event of a change of control (as defined in the Articles Supplementary of the Series C Preferred Stock) of the Advisor or a Change of Control that is not a "Liquidity Event" and that is related to the removal of the Advisor, both the Company and the holder shall have the right, prior to consummation of the transaction, to require the redemption of the Series C Preferred Stock for the liquidation preference. A "Liquidity Event" is defined as (i) the listing of the Common Stock on a national securities exchange or quotation on an electronic inter-dealer quotation system; (ii) a merger or business combination involving the Company pursuant to which outstanding shares of Common Stock are exchanged for securities of another company which are listed on a national securities exchange or quoted on an electronic inter-dealer quotation system; or (iii) any other transaction or series of transaction that results in all shares of Common Stock being transferred or exchanged for cash or securities which are listed on a national securities exchange or quoted on an electronic inter-dealer quotation system.Company.
Holders of the Series CH 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 CH Preferred Stock will be equal to the number of shares of common stock a share of Series CH 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 CH 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 CH Preferred Stock and to take certain actions materially adverse to the holders of the Series CH Preferred Stock.
Series DI 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.
The Series DI Preferred Stock iswas on parity with the Series CH Preferred Stock and Series E Preferred Stock with respect to preference on liquidation and dividend rights. The terms of the Series DI Preferred Stock arewere substantially the same as the terms of the Series CH Preferred Stock, except that the holders of the Series DI Preferred Stock havehad the option to accelerate the mandatory conversion date, which is Octoberwas January 19, 2022, to a date no earlier than April 19, 2022.
Automatically Convertible Preferred Stock - Series F Preferred Stock
The Series F Preferred Stock ranked junior to all other outstanding classes of the Company’s 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 F Preferred Stock was $2.00.
Dividends on the Series F Preferred Stock were equal to, and were paid2023, upon at the same time as, dividends that were authorized and declared on the Company’s common stock. The Series F Preferred Stock ranked senior to the Company’s Common Stock with respect to the distribution of assets upon any liquidation, dissolution or winding up of the Company (other than a liquidation, dissolution or winding up of the Company that results in the automatic conversion of such Series F Preferred Stock into Common Stock).
Each share (or fractional share) of Series F Preferred Stock automatically converted into 1 share of Common Stock (or equivalent fractional share, as applicable) on April 19, 2022, in accordance with the terms of the Series F Preferred Stock. Following the conversion, there were no shares of Series F Preferred Stock issued or outstanding.
The Series F Preferred Stock had no stated maturity and was not redeemable.
Holders of Series F Preferred Stock (voting as a single class with holders of Common Stock and other series of Company equity securities entitled to vote with the common stockholders) were 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 F Preferred Stock would have been equal to the number of shares of Common Stock a share of Series F 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 F Preferred Stock would have been required to take certain actions materially adverse to the holders of the Series F Preferred Stock.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
least 10 days' written notice.
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 Series F Preferred Stock and on a parity with the Series CI Preferred Stock and Series DH 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”.
Summary
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Table of Preferred Stock Conversion TermsContents
The complete terms of the Series C Preferred Stock, Series D Preferred Stock, Series E Preferred Stock and Series F Preferred Stock are set forth in the Articles Supplementary applicable to each class, which have been filed as exhibits to the Company’s periodic reports filed pursuant to the Securities Exchange Act of 1934, as amended.FRANKLIN BSP REALTY TRUST, INC.
The below table summarizes the timing of the conversion of the Company’s outstanding classes of convertible preferred stock into common stock:NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Series/Shares Outstanding at 3/31/22Conversion DateConversion Amount Per One Share of Preferred*
Redeemable Convertible Series C Preferred Stock / 1,400 shares outstandingOctober 19, 2022, subject to the Company’s right to accelerate the conversion starting April 19, 2022299.2 shares of Common Stock
Redeemable Convertible Series D Preferred Stock / 17,950 shares outstandingOctober 19, 2022, subject to the holder’s right to accelerate the conversion starting April 19, 2022299.2 shares of Common Stock
Series F Preferred Stock / 39,733,299 shares outstandingApril 19, 20221 share of Common Stock
March 31, 2023
*Subject to anti-dilution adjustments as set forth in Articles Supplementary.(Unaudited)
Recently Issued Accounting Pronouncements Not Yet Adopted
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 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 is effective for fiscal years beginning after December 15, 2022,on a prospective basis and earlythe adoption is permitted. The amendments should be applied prospectively, however forhad no significant impact to the recognition and measurement of troubled debt restructurings, the entity has the option to apply a modified retrospective transition method, resulting in a cumulative-effect adjustment to retained earnings in the period of adoption. We are currently evaluating what impact, if any ASU 2022-02 will have on ourCompany's consolidated financial statements.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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 LIBORthe London interbank offered rate (“LIBOR”) and other interbank offered rates to alternative reference rates. The guidance is effective upon issuance and generally can be appliedelected over time through December 31, 2022.2024, as extended under ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848. The Company has not adopted any of the optional expedients or exceptions through March 31, 2022,2023, but will continue to evaluate the possible adoption of any such expedients or exceptions during the effective period as circumstances evolve.
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):
March 31, 2022December 31, 2021March 31, 2023December 31, 2022
Senior loansSenior loans$4,517,879 $4,204,464 Senior loans$5,025,739 $5,251,464 
Mezzanine loansMezzanine loans27,505 22,424 Mezzanine loans25,762 18,312 
Total gross carrying value of loansTotal gross carrying value of loans4,545,384 4,226,888 Total gross carrying value of loans5,051,501 5,269,776 
Less: Allowance for credit losses (1)
14,933 15,827 
General allowance for credit lossesGeneral allowance for credit losses28,751 26,624 
Specific allowance for credit losses (1)
Specific allowance for credit losses (1)
— 14,224 
Less: Allowance for credit lossesLess: Allowance for credit losses28,751 40,848 
Total commercial mortgage loans, held for investment, netTotal commercial mortgage loans, held for investment, net$4,530,451 $4,211,061 Total commercial mortgage loans, held for investment, net$5,022,750 $5,228,928 
_________________________________________________________________________________
(1) As of December 31, 2022, the Company recorded a specific allowance for credit losses with respect to a retail loan designated as non-performing. As of March 31, 20222023, the loan was written down to the estimated fair value of the collateral less estimated costs to sell and December 31, 2021, there have been nothe excess of the carrying value of the loan over fair value of the collateral less estimated costs to sell was charged-off against the specific reservesallowance for loans in non-performing status.credit losses.
As of March 31, 20222023 and December 31, 2021,2022, the Company's total commercial mortgage loan portfolio, excluding commercial mortgage loans accountedheld for under the fair value option,investment, was comprised of 166157 and 165161 loans, respectively.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
Allowance for Credit Losses
The following table presents the activity in the Company's allowance for credit losses, excluding the unfunded loan commitments, as of March 31, 20222023 (dollars in thousands):
Three Months Ended March 31, 2022
MultiFamilyRetailOfficeIndustrialMixed UseHospitalitySelf-StorageManufactured HousingTotal
Beginning Balance$9,681 $288 $776 $86 $169 $4,597 $152 $78 $15,827 
Current Period:
Provision/(benefit) for credit losses32 234 (103)15 (108)(807)(110)(47)(894)
Write offs— — — — — — — — — 
Ending Balance$9,713 $522 $673 $101 $61 $3,790 $42 $31 $14,933 
MultiFamilyRetailOfficeIndustrialMixed UseHospitalitySelf-StorageManufactured HousingTotal
December 31, 2022$21,166 $14,601 $670 $259 $47 $4,064 $10 $31 $40,848 
Changes:
General allowance/(benefit) for credit losses(1,759)(343)2,986 (205)30 1,342 45 31 2,127 
Specific allowance/(benefit) for credit losses— 835 — — — — — — 835 
Write offs against specific allowance
for credit losses
— (15,059)— — — — — — (15,059)
March 31, 2023$19,407 $34 $3,656 $54 $77 $5,406 $55 $62 $28,751 
The Company recorded a decreasean increase in its general provision for credit losses during the three months ended March 31, 20222023 of $0.9$2.1 million. The primary driver for the improvement in thehigher reserve balance is the positivechange in economic outlook since the end of the prior year.year offset slightly by the decrease in loan portfolio.
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TableThe Company identified a commercial mortgage loan, held for investment secured by a portfolio of Contents
FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
24 retail properties, that was assigned a risk rating of “5” due to certain conditions that negatively impacted the underlying collateral property’s cash flows. As of December 31, 2022, the specific allowance for current losses remaining was $14.2 million. During the three months ended March 31, 2022
(Unaudited)
2023, the Company recorded an additional $0.8 million to the specific allowance for current losses and charged off the remaining $15.1 million which directly reduced the amortized cost basis of the loan. The Company's evaluation of the significant unobservable inputs to the discounted cash flow model used to approximate the fair value of the retail properties collateralizing the loan included a capitalization rate, which ranged from 5.00%-6.75%. As of March 31, 2023, the loan has a fully funded outstanding principal balance of $38.4 million and carrying value of $26.4 million which is composed of 9 remaining retail properties.
The following table presents the activity in the Company's allowance for credit losses for the unfunded loan commitments, which is included in accounts payable and accrued expenses in the consolidated balance sheets as of March 31, 20222023 (dollars in thousands):
Three Months Ended March 31, 2022
MultiFamilyRetailOfficeIndustrialMixed UseHospitalitySelf-StorageManufactured HousingTotal
Beginning Balance$137 $1 $13 $3 $10 $79 $ $ $243 
Current Period:
Provision/(benefit) for credit losses(32)15 (4)(2)(10)(28)— — (61)
Ending Balance$105 $16 $9 $1 $ $51 $ $ $182 
MultiFamilyRetailOfficeIndustrialMixed UseHospitalitySelf-StorageManufactured HousingTotal
December 31, 2022$165 $(36)$86 $3 $ $61 $ $1 $280 
Changes:
General allowance/(benefit) for credit losses579 36 804 — — (21)— — 1,398 
March 31, 2023$744 $ $890 $3 $ $40 $ $1 $1,678 
18

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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):
March 31, 2022December 31, 2021March 31, 2023December 31, 2022
Loan TypePar ValuePercentagePar ValuePercentage
Loan Collateral TypeLoan Collateral TypePar ValuePercentagePar ValuePercentage
MultifamilyMultifamily$3,264,959 71.6 %$2,953,938 69.6 %Multifamily$3,851,347 75.9 %$4,030,975 76.1 %
HospitalityHospitality542,171 11.9 %460,884 10.9 %Hospitality602,615 11.9 %510,566 9.7 %
OfficeOffice479,607 10.5 %485,575 11.4 %Office328,454 6.5 %405,705 7.7 %
RetailRetail84,215 1.8 %104,990 2.5 %Retail87,102 1.7 %120,017 2.3 %
IndustrialIndustrial69,985 1.5 %88,956 2.1 %Industrial78,050 1.5 %93,035 1.8 %
Mixed Use52,500 1.2 %62,965 1.5 %
Self Storage44,895 1.0 %56,495 1.3 %
Manufactured Housing24,152 0.5 %29,159 0.7 %
OtherOther128,642 2.5 %128,676 2.4 %
TotalTotal$4,562,484 100.0 %$4,242,962 100.0 %Total$5,076,210 100.0 %$5,288,974 100.0 %
March 31, 2022December 31, 2021March 31, 2023December 31, 2022
Loan RegionLoan RegionPar ValuePercentagePar ValuePercentageLoan RegionPar ValuePercentagePar ValuePercentage
SoutheastSoutheast$2,029,772 40.0 %$2,229,756 42.2 %
SouthwestSouthwest$1,784,211 39.1 %$1,764,905 41.6 %Southwest1,736,116 34.2 %1,763,492 33.3 %
Southeast1,380,246 30.1 %1,106,439 26.2 %
MideastMideast784,182 17.2 %646,125 15.2 %Mideast524,930 10.3 %706,192 13.4 %
Far WestFar West262,728 5.8 %301,040 7.1 %Far West197,207 3.9 %234,891 4.4 %
Great LakesGreat Lakes168,114 3.7 %183,930 4.3 %Great Lakes162,563 3.2 %162,162 3.1 %
New England67,117 1.5 %67,651 1.6 %
Plains60,172 1.3 %60,225 1.4 %
Rocky Mountain43,751 1.0 %43,751 1.0 %
VariousVarious11,963 0.3 %68,896 1.6 %Various425,622 8.4 %192,481 3.6 %
TotalTotal$4,562,484 100.0 %$4,242,962 100.0 %Total$5,076,210 100.0 %$5,288,974 100.0 %
As of March 31, 20222023 and December 31, 2021,2022, the Company's total commercial mortgage loans, held for sale, measured at fair value were each comprised of 9 loans and 1 loan, respectively.two loans. As of March 31, 20222023 and December 31, 2021,2022, the contractual principal outstanding of commercial mortgage loans, held for sale, measured at fair value was $108.5 million and $34.3 million, respectively.$15.6 million. As of March 31, 20222023 and December 31, 2021,2022, 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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):
March 31, 2022December 31, 2021
Loan TypePar ValuePercentagePar ValuePercentage
Retail$54,550 50.3 %$— — %
Hospitality32,457 30.0 %— — %
Office12,193 11.2 %34,250 100.0 %
Multifamily6,500 6.0 %— — %
Mixed Use2,750 2.5 %— — %
Total$108,450 100.0 %$34,250 100.0 %
March 31, 2023December 31, 2022
Loan Collateral TypePar ValuePercentagePar ValuePercentage
Retail$12,000 76.8 %$12,000 76.8 %
Office3,625 23.2 %3,625 23.2 %
Total$15,625 100.0 %$15,625 100.0 %
March 31, 2022December 31, 2021
Loan RegionPar ValuePercentagePar ValuePercentage
Far West$47,300 43.6 %$— — %
Southeast44,750 41.3 %34,250 100.0 %
Great Lakes10,000 9.2 %— — %
Rocky Mountain6,400 5.9 %— — %
Total$108,450 100.0 %$34,250 100.0 %
March 31, 2023December 31, 2022
Loan RegionPar ValuePercentagePar ValuePercentage
Southeast$15,625 100.0 %$15,625 100.0 %
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
Loan Credit Quality and Vintage
The following tables present the amortized cost of our commercial mortgage loans, held for investment as of March 31, 20222023 and December 31, 2021,2022, by loan collateral type, the Company’s internal risk rating and year of origination. The risk ratings are updated as of March 31, 2022.2023.
As of March 31, 2022
As of March 31, 2023As of March 31, 2023
202220212020201920182017Total20232022202120202019PriorTotal
Multifamily:Multifamily:Multifamily:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$388,347 $2,426,914 $229,560 $67,567 $83,619 $— $3,196,007 1-2 internal grade$— $1,452,965 $1,990,747 $74,521 $— $— $3,518,233 
3-4 internal grade3-4 internal grade— — 18,669 037,025 — 55,694 3-4 internal grade— — 242,376 10,761 — 69,742 322,879 
Total Multifamily LoansTotal Multifamily Loans$388,347 $2,426,914 $248,229 $67,567 $120,644 $ $3,251,701 Total Multifamily Loans$ $1,452,965 $2,233,123 $85,282 $ $69,742 $3,841,112 
Retail:Retail:Retail:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$20,480 $33,843 $11,952 $17,596 $— $— $83,871 1-2 internal grade$— $14,588 $33,897 $— $— $— $48,485 
3-4 internal grade3-4 internal grade— — 00— — — 3-4 internal grade— — — — — — — 
5 internal grade5 internal grade— 26,450 — — — — 26,450 
Total Retail LoansTotal Retail Loans$20,480 $33,843 $11,952 $17,596 $ $ $83,871 Total Retail Loans$ $41,038 $33,897 $ $ $ $74,935 
Office:Office:Office:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$— $50,320 $254,583 $137,233 $36,291 $— $478,427 1-2 internal grade$— $— $50,667 $123,578 $58,890 $18,620 $251,755 
3-4 internal grade3-4 internal grade— — — 0— — — 3-4 internal grade7,439 — — 43,085 25,761 — 76,285 
Total Office LoansTotal Office Loans$ $50,320 $254,583 $137,233 $36,291 $ $478,427 Total Office Loans$7,439 $ $50,667 $166,663 $84,651 $18,620 $328,040 
Industrial:Industrial:Industrial:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$54,730 $— $14,931 $— $— $— $69,661 1-2 internal grade$— $77,813 $— $— $— $— $77,813 
3-4 internal grade3-4 internal grade— — — — — — — 
Total Industrial LoansTotal Industrial Loans$ $77,813 $ $ $ $ $77,813 
Hospitality:Hospitality:
Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$119,423 $139,900 $162,798 $— $49,388 $22,036 $493,545 
3-4 internal grade3-4 internal grade— — — — 28,799 78,803 107,602 
Total Hospitality LoansTotal Hospitality Loans$119,423 $139,900 $162,798 $ $78,187 $100,839 $601,147 
Other:Other:
Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$— $30,413 $54,156 $36,210 $— $— $120,779 
3-4 internal grade3-4 internal grade— — — 7,675 — — 7,675 
Total Other LoansTotal Other Loans$ $30,413 $54,156 $43,885 $ $ $128,454 
TotalTotal$126,862 $1,742,129 $2,534,641 $295,830 $162,838 $189,201 $5,051,501 

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
3-4 internal grade— — 0— — — — 
Total Industrial Loans$54,730 $ $14,931 $ $ $ $69,661 
Mixed Use:
Risk Rating:
1-2 internal grade$19,902 $32,411 $— $— $— $— $52,313 
3-4 internal grade— — — — — — — 
Total Mixed Use Loans$19,902 $32,411 $ $ $ $ $52,313 
Hospitality:
Risk Rating:
1-2 internal grade$90,726 $154,543 $26,932 $33,945 $— $— $306,146 
3-4 internal grade— — — 103,130 52,234 79,041 234,405 
Total Hospitality Loans$90,726 $154,543 $26,932 $137,075 $52,234 $79,041 $540,551 
Self-Storage:
Risk Rating:
1-2 internal grade$— $14,957 $29,820 $— $— $— $44,777 
3-4 internal grade— — — — — — — 
Total Self-Storage Loans$ $14,957 $29,820 $ $ $ $44,777 
Manufactured Housing:
Risk Rating:
1-2 internal grade$— $6,668 $17,415 $— $— $— $24,083 
3-4 internal grade— — — — — — — 
Total Manufactured Housing Loans$ $6,668 $17,415 $ $ $ $24,083 
Total$574,185 $2,719,656 $603,862 $359,471 $209,169 $79,041 $4,545,384 

December 31, 2021
As of December 31, 2022As of December 31, 2022
20212020201920182017Total202220212020201920182017Total
Multifamily:Multifamily:Multifamily:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$2,438,376 $270,953 $103,989 $90,877 $— $2,904,195 1-2 internal grade$1,511,181 $2,184,362 $74,372 $— $34,668 $— $3,804,583 
3-4 internal grade3-4 internal grade— — — 37,025 — 37,025 3-4 internal grade— 167,707 10,807 — 34,731 — 213,245 
Total Multifamily LoansTotal Multifamily Loans$2,438,376 $270,953 $103,989 $127,902 $ $2,941,220 Total Multifamily Loans$1,511,181 $2,352,069 $85,179 $ $69,399 $ $4,017,828 
Retail:Retail:Retail:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$33,830 $11,928 $29,515 $29,452 $— $104,725 1-2 internal grade$22,275 $33,884 $— $— $— $— $56,159 
3-4 internal grade3-4 internal grade— — — — — — 3-4 internal grade— — — — — — — 
5 internal grade5 internal grade60,304 — — — — — 60,304 
Total Retail LoansTotal Retail Loans$33,830 $11,928 $29,515 $29,452 $ $104,725 Total Retail Loans$82,579 $33,884 $ $ $ $ $116,463 
Office:Office:Office:
Risk Rating:Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$— $50,351 $189,740 $66,110 $18,683 $— $324,884 
3-4 internal grade3-4 internal grade— — 54,533 25,748 — — 80,281 
Total Office LoansTotal Office Loans$ $50,351 $244,273 $91,858 $18,683 $ $405,165 
Industrial:Industrial:
Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$77,762 $— $14,955 $— $— $— $92,717 
3-4 internal grade3-4 internal grade— — — — — — — 
Total Industrial LoansTotal Industrial Loans$77,762 $ $14,955 $ $ $ $92,717 
Hospitality:Hospitality:
Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$137,055 $160,397 $— $49,564 $22,116 $— $369,132 
3-4 internal grade3-4 internal grade32,305 — — 28,882 — 78,867 140,054 
Total Hospitality LoansTotal Hospitality Loans$169,360 $160,397 $ $78,446 $22,116 $78,867 $509,186 
Other:Other:
Risk Rating:Risk Rating:
1-2 internal grade1-2 internal grade$30,418 $54,126 $36,202 $— $— $— $120,746 
3-4 internal grade3-4 internal grade— — 7,671 — — — 7,671 
Total Other LoansTotal Other Loans$30,418 $54,126 $43,873 $ $ $ $128,417 
TotalTotal$1,871,300 $2,650,827 $388,280 $170,304 $110,198 $78,867 $5,269,776 
2321

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
1-2 internal grade$50,291 $253,759 $136,800 $43,308 $— $484,158 
3-4 internal grade— — — — — — 
Total Office Loans$50,291 $253,759 $136,800 $43,308 $ $484,158 
Industrial:
Risk Rating:
1-2 internal grade$— $31,906 $— $— $— $31,906 
3-4 internal grade— — 56,933 — — 56,933 
Total Industrial Loans$ $31,906 $56,933 $ $ $88,839 
Mixed Use:
Risk Rating:
1-2 internal grade$32,395 $30,325 $— $— $— $62,720 
3-4 internal grade— — — — — — 
Total Mixed Use Loans$32,395 $30,325 $ $ $ $62,720 
Hospitality:
Risk Rating:
1-2 internal grade$153,032 $26,920 $34,054 $— $— $214,006 
3-4 internal grade— — 113,961 52,790 79,102 245,853 
Total Hospitality Loans$153,032 $26,920 $148,015 $52,790 $79,102 $459,859 
Self-Storage:
Risk Rating:
1-2 internal grade$14,948 $41,382 $— $— $— $56,330 
3-4 internal grade— — — — — — 
Total Self-Storage Loans$14,948 $41,382 $ $ $ $56,330 
Manufactured Housing:
Risk Rating:
1-2 internal grade$6,665 $22,372 $— $— $— $29,037 
3-4 internal grade— — — — — — 
Total Manufactured Housing Loans$6,665 $22,372 $ $ $ $29,037 
Total$2,729,537 $689,545 $475,252 $253,452 $79,102 $4,226,888 
24

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Past Due Status
The following table presents an aging summary of the loans amortized cost basis atas of March 31, 20222023 (dollars in thousands):
MultifamilyRetailOfficeIndustrialMixed UseHospitalitySelf-StorageManufactured HousingTotalMultifamilyRetailOfficeIndustrialMixed UseHospitalitySelf-StorageManufactured HousingTotal
Status:Status:Status:
CurrentCurrent$3,251,701 $83,871 $478,427 $69,661 $52,313 $483,476 $44,777 $24,083 $4,488,309 Current$3,841,111 $48,485 $328,040 $77,813 $52,432 $544,072 $44,867 $31,181 $4,968,001 
1-29 days past due1-29 days past due— — — — — — 0— — 1-29 days past due— — — — — — — — 
30-59 days past due30-59 days past due— — — — — — — — — 30-59 days past due— — — — — — — — — 
60-89 days past due60-89 days past due— — — — — — — — — 60-89 days past due— — — — — — — — — 
90-119 days past due90-119 days past due— — — — — — — — — 90-119 days past due— — — — — — — — — 
120+ days past due (1)
120+ days past due (1)
— — — — — 57,075 — — 57,075 
120+ days past due (1)
— 26,450 — — — 57,075 — — 83,525 
TotalTotal$3,251,701 $83,871 $478,427 $69,661 $52,313 $540,551 $44,777 $24,083 $4,545,384 Total$3,841,111 $74,935 $328,040 $77,813 $52,432 $601,147 $44,867 $31,181 $5,051,526 
_________________________________________________________________________________
(1) For the three months ended March 31, 2022,2023, there was no interest income recognized on this loan.these loans.
Non-performing Status
The following table presents the amortized cost basis of the loans on nonaccrual status as of March 31, 2023 and December 31, 2022 (dollars in thousands):
March 31, 2023December 31, 2022
Non-performing loan amortized cost at beginning of year, January 1$117,379 $57,075 
Addition of non-performing loan amortized cost— 60,304 
Less: Removal of non-performing loan amortized cost33,854 — 
Non-performing loan amortized cost at end of period$83,525 $117,379 
As of March 31, 2022 and December 31, 2021,2023, the Company had 1 loantwo loans with a total amortized cost basis of $83.5 million designated as non-performing status. One loan is for a hotel property located in New York City which was placed on non-accrual status in 2019 and had an amortized cost basis of $57.1 million on non-accrual status for which there was no relatedas of March 31, 2023. No specific allowance for credit losses.losses has been recorded on the loan. The Company did not recognize any interest income on the non-accrual loan during the three months ended March 31, 2023. In April 2023, the New York Hotel property was sold and as a result of the sale, the Company has recovered the full principal amount of its loan (equal to the carrying cost of the loan as of December 31, 2022) and approximately $20.0 million of additional proceeds after the payment of all related closing expenses. As of December 31, 2022, the hotel property in New York City, had a carrying value of $57.1 million, designated as non-performing, and no specific allowance for credit loss was recorded for the loan.
The second loan relates to a commercial mortgage loan with a fully funded outstanding principal balance of $38.4 million and an amortized costs basis of $26.4 million collateralized by a portfolio of retail properties (the "Walgreens Portfolio") in various locations throughout the United States. The loan has been assigned a risk rating of “5” and concurrently, the Company elected to apply a practical expedient for collateral dependent assets in which a specific allowance for credit loss was determined. The loan was evaluated in accordance with ASC 310 - Receivables and was determined to be a TDR. During the three months ended March 31, 2023 the Company recorded an additional $0.8 million to the specific allowance for credit losses and charged off the remaining $15.1 million specific allowance which directly reduced the amortized cost basis of the loan. The Company designated the loan as non-performing and placed the loan on cost recovery status during the second quarter of 2022. Upon designation, the Company ceased the recognition of interest income. Any contractual amounts received are accounted for under the cost-recovery method, until the loan qualifies for return to accrual status. As of December 31, 2022, the Company had $2.6 million in cost recovery proceeds. During the three months ended March 31, 2023, the Company received $0.6 million additional cost recovery proceeds and $1.1 million was transferred to real estate owned in connection with the five properties foreclosed upon during the period. Cost recovery proceeds directly reduce the amortized cost of the loan. As of December 31, 2022, the retail portfolio had a carrying value of $46.0 million net of a specific allowance for credit losses of $14.2 million.

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
Credit Characteristics
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 follows:
Investment RatingSummary Description
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/Defaulted/Loss Likely - Underperforming investment with expected loss of interest and some principal.
All commercial mortgage loans, excluding loans classified as commercial mortgage loans, held for sale, measured at fair value within the consolidated balance sheets, are assigned an initial risk rating of 2.0.2. As of March 31, 20222023 and December 31, 2021,2022, the weighted average risk rating of the loans was 2.1.2.1 and 2.2, respectively.
The following table represents the allocation by risk rating for the Company's commercial mortgage loans, held for investment (dollars in thousands):
March 31, 2022  December 31, 2021
March 31, 2023March 31, 2023  December 31, 2022
Risk RatingRisk Rating  Number of Loans  Par ValueRisk Rating  Number of Loans  Par ValueRisk Rating  Number of Loans  Par ValueRisk Rating  Number of Loans  Par Value
11  —   $— 1  —   $— 1    $31,450 1  —   $— 
22  150   4,272,194 2  148   3,903,047 2  133   4,491,420 2  141   4,783,568 
33  15   233,215 3  16   282,840 3  20   425,425 3  15   281,071 
44    57,075 4    57,075 4    89,514 4    160,695 
55  —   — 5  —   — 5    38,426 5    63,640 
  166   $4,562,484 165   $4,242,962   157   $5,076,235 161   $5,288,974 
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
For the three months ended March 31, 20222023 and year ended December 31, 2021,2022, the activity in the Company's commercial mortgage loans, held for investment portfolio, net of allowance for credit losses, was as follows (dollars in thousands):
Three Months Ended March 31,Year Ended December 31,Three months ended March 31, 2023Year Ended December 31, 2021
20222021
Balance at Beginning of Year$4,211,061 $2,693,848 
Amortized cost, Beginning of PeriodAmortized cost, Beginning of Period$5,269,776 $4,226,888 
Acquisitions and originationsAcquisitions and originations640,033 2,897,002 Acquisitions and originations193,476 2,247,613 
Principal repaymentsPrincipal repayments(320,511)(1,286,598)Principal repayments(381,033)(1,109,769)
Discount accretion/premium amortizationDiscount accretion/premium amortization2,542 7,038 Discount accretion/premium amortization3,736 12,614 
Loans transferred from/(to) commercial real estate loans, held for saleLoans transferred from/(to) commercial real estate loans, held for sale— (52,615)Loans transferred from/(to) commercial real estate loans, held for sale— (9,296)
Net fees capitalized into carrying value of loansNet fees capitalized into carrying value of loans(3,568)(15,150)Net fees capitalized into carrying value of loans(601)(13,775)
(Provision)/benefit for credit losses894 4,770 
Charge-off from allowance— 289 
Transfer to real estate ownedTransfer to real estate owned— (37,523)Transfer to real estate owned(33,206)(80,460)
Balance at End of Period$4,530,451 $4,211,061 
Cost recoveryCost recovery(648)(4,039)
Amortized cost, End of PeriodAmortized cost, End of Period$5,051,500 $5,269,776 
Allowance for credit losses, Beginning of PeriodAllowance for credit losses, Beginning of Period$(40,848)$(15,827)
General (provision)/benefit for credit lossesGeneral (provision)/benefit for credit losses(2,127)(10,797)
Specific (provision)/benefit for credit lossesSpecific (provision)/benefit for credit losses(835)(25,281)
Write offs from specific allowance for credit lossesWrite offs from specific allowance for credit losses15,059 11,057 
Allowance for credit losses, End of PeriodAllowance for credit losses, End of Period$(28,751)$(40,848)
Balance, End of PeriodBalance, End of Period$5,022,749 $5,228,928 

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. Additionally, the Company committed a $10.1 million mezzanine note. In accordance with the adoption of ASU 2022-02, we have classified the restructuring as a continuation of an existing loan on the senior loan and new loan for the mezzanine note. As of March 31, 2023, the amortized cost basis of the loan was $25.0 million on the senior loan and $7.4 million on the mezzanine note. As of December 31, 2022 and prior to modification, the senior loan had an amortized costs of $36.4 million. The Company internally rated the senior and mezzanine loans as risk rating of 4 as of March 31, 2023, and the senior loan as a 4 as of December 31, 2022.
Note 4 - Real Estate Securities
Real Estate Securities Classified As Trading
The following is a summary of the Company's RMBS classified by collateral type and interest rate characteristics as of March 31, 2023 and December 31, 2022 (dollars in thousands):
Carrying
Amount
Average
Yield (1)
Carrying Amount
Average Yield (1)
March 31, 2022
March 31, 2023March 31, 2023
Agency Securities:Agency Securities:Agency Securities:
Fannie Mae/Freddie Mac ARMs Fannie Mae/Freddie Mac ARMs$1,678,297 2.34 % Fannie Mae/Freddie Mac ARMs$133,705 2.71 %
Ginnie Mae ARMs271,039 2.68 %
$1,949,336 2.37 %
December 31, 2021
December 31, 2022December 31, 2022
Agency Securities:Agency Securities:Agency Securities:
Fannie Mae/Freddie Mac ARMs Fannie Mae/Freddie Mac ARMs$4,246,803 2.23 % Fannie Mae/Freddie Mac ARMs$235,728 2.42 %
Ginnie Mae ARMs320,068 2.72 %
$4,566,871 2.26 %
________________________

(1) Average yield is presented for the yearperiod then ended and is based on the cash component of interest income expressed as a percentage on average cost basis (the “cash yield”).
The maturity of the Company's ARM Agency Securities is directly affected by prepayments of principal on the underlying mortgage loans. Consequently, actual maturities willmay be significantly shorter than the portfolio’s weighted average contractual maturity of 278209 months.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
The Company's ARM Agency Securities are backed by residential mortgage loans that have coupon interest rates that adjust at least annually to more current interest rates or begin doing so after an initial fixed-rate period. After the initial fixed-rate period, if applicable, mortgage loans underlying ARM securities typically either (i) adjust annually based on specified margins over the one-year London interbank offered rate (“LIBOR”)LIBOR or the one-year Constant Maturity U.S. Treasury Note Rate (“CMT”), (ii) adjust semiannually based on specified margins over six-month LIBOR or the six-month Secured Overnight Financing Rate (“SOFR”), or (iii) adjust monthly based on specified margins over indices such as one-month LIBOR, the Eleventh District Federal Reserve Bank Cost of Funds Index, or over a rolling twelve month average of the one-year CMT index, usually subject to periodic and lifetime limits, or caps, on the amount of such adjustments during any single interest rate adjustment period and over the contractual term of the underlying loans.
For the three months ended March 31, 2023 and 2022, the Company sold trading securities totaling $95.5 million and $2.2 billion, respectively. For the three months ended March 31, 2023 and 2022, the Company recognized trading gains on ARM Agency Securities of $3.0 million and trading losses of $88.4 million, respectively, due to principal paydowns, changes in market values, and sales of these securities, which were included in Trading (gain)/loss in the Company's 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 March 31, 2023 and December 31, 2022 (dollars in thousands):
March 31, 2023
TypeInterest RateMaturityPar ValueFair Value
CRE CLO bond 17.5%8/19/2035$40,000 $39,405 
CRE CLO bond 27.9%8/19/203525,000 24,756 
CRE CLO bond 37.6%10/19/203928,340 28,123 
CRE CLO bond 47.5%2/19/20385,885 5,825 
CRE CLO bond 58.1%2/19/203814,382 14,221 
$113,607 $112,330 
December 31, 2022
TypeInterest RateMaturityPar ValueFair Value
CRE CLO bond 17.1%8/19/2035$40,000 $39,795 
CRE CLO bond 27.6%8/19/203525,000 25,010 
CRE CLO bond 38.4%8/19/203510,000 10,056 
CRE CLO bond 47.4%10/25/203936,700 36,990 
CRE CLO bond 58.0%10/25/203935,000 35,298 
CRE CLO bond 68.6%10/25/203914,300 14,221 
CRE CLO bond 77.3%10/19/203960,000 59,655 
$221,000 $221,025 
The Company classified its CRE CLO bonds as available for sale and reported them at fair value in the consolidated balance sheets with changes in fair value recorded in accumulated other comprehensive income/(loss). The weighted average contractual maturity for CLO investments included within the CRE CLO bonds portfolio as of March 31, 2023 and December 31, 2022 was 13.9 years and 15.4 years, respectively.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
DuringThe following table shows the first quarteramortized cost, allowance for expected credit losses, unrealized gain/(loss) and fair value of the Company's CRE CLO bonds by investment type as of March 31, 2023 and December 31, 2022 (dollars in thousands):
Amortized CostCredit Loss AllowanceUnrealized GainUnrealized (Loss)Fair Value
March 31, 2023
CLOs$113,588 $ $ $(1,258)$112,330 
December 31, 2022
CLOs$220,635 $ $833 $(443)$221,025 
As of March 31, 2023, the Company held five CRE CLO bonds with an amortized cost basis of $113.6 million and an unrealized loss of $1.3 million. As of December 31, 2022, the Company sold trading securities usingheld 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 an unrealized loss position of $0.4 million. As of March 31, 2023 and December 31, 2022, zero positions had an unrealized loss for a period greater than twelve months. As of March 31, 2023 and December 31, 2022, the specific identification methodfair value of the Company's CRE CLO bonds that were in an unrealized loss position for proceeds totaling $2.2 billion. Subsequent to quarter end, the Company sold trading securities using the same methodless than twelve months, and for proceeds totaling $1.2 billion.which an allowance for credit loss has not been recorded was $112.3 million and $113.7 million, respectively.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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 March 31, 2023 (dollars in thousands):
As of March 31, 2023
Acquisition Date (1)
Property TypePrimary Location(s)LandBuilding and ImprovementsFurniture, Fixtures and EquipmentAccumulated DepreciationReal Estate Owned, net
September 2021IndustrialJeffersonville, GA$3,436 $84,259 $2,928 $(3,453)$87,170 
Various (2)
RetailVarious$13,319 $48,509 $— $(374)$61,454 
$16,755 $132,768 $2,928 $(3,827)$148,624 
________________________
See notes below.
The following table summarizes the Company's real estate owned asset held for investment, as of MarchDecember 31, 2022 (dollars in thousands):
Acquisition DateProperty TypePrimary Location(s)LandBuilding and ImprovementsFurniture, Fixtures and EquipmentAccumulated DepreciationReal Estate Owned, net
September 2021 (1)
IndustrialJeffersonville, GA$3,436 $84,259 $2,928 $(1,150)$89,473 
$3,436 $84,259 $2,928 $(1,150)$89,473 
As of December 31, 2022
Acquisition Date (1)
Property TypePrimary Location(s)LandBuilding and ImprovementsFurniture, Fixtures and EquipmentAccumulated DepreciationReal Estate Owned, net
September 2021IndustrialJeffersonville, GA$3,436 $84,259 $2,928 $(2,877)$87,746 
Various (2)
RetailVarious$9,105 $31,036 $— $(115)$40,026 
$12,541 $115,295 $2,928 $(2,992)$127,772 
________________________
(1) SeeRefer to Note 2 - Summaryfor the useful life of Significant Accounting Policies.the above assets.
The following table summarizes(2) As discussed below, 15 and ten retail properties associated with the Company's real estate owned asset, held for investment,loan secured by the Walgreen's Portfolio were foreclosed upon as of March 31, 2023 and December 31, 2021 (dollars in thousands):
Acquisition DateProperty TypePrimary Location(s)LandBuilding and ImprovementsFurniture, Fixtures and EquipmentAccumulated DepreciationReal Estate Owned, net
September 2021 (1)
IndustrialJeffersonville, GA$3,436 $84,259 $2,928 $(575)$90,048 
$3,436 $84,259 $2,928 $(575)$90,048 
________________________
(1) See Note 2 - Summary2022, respectively. The properties are located throughout the United States of Significant Accounting Policies.America.
Depreciation expense for the three months ended March 31, 20222023 and March 31, 20212022 totaled $0.6$0.8 million and $0.2$0.6 million, respectively.
In August 2021 the Company and an affiliate ofinvestment fund managed by the CompanyAdvisor entered into a joint venture agreement and formed a joint venture entity, Jeffersonville Member, LLC (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 affiliateaffiliated 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 affiliateaffiliated fund made up the remaining $29.8 million composed of a $24.0 million mortgage note payable and $5.7 million in equity.non-controlling interest. The Company has control of Jeffersonville JV with 79% ownership and, therefore, consolidates Jeffersonville JV on its consolidated balance sheet. The Company's $88.7 million mortgage note payable to Jeffersonville JV is eliminated in consolidation (see Note 7 - Debt).
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
As disclosed in Note 3 - Commercial Mortgage Loans in April 2022, the Company fully funded a $113.2 million first mortgage loan, collateralized by the Walgreens Portfolio consisting of 24 retail properties with various locations throughout the United States. As of December 31, 2022, through foreclosures, the Company acquired ten of the 24 properties, and subsequently acquired an additional five of the properties during the three months ended March 31, 2023. As a result, the Company recorded at fair value $61.8 million and $40.1 million, as of March 31, 2023 and December 31, 2022, respectively, of real estate owned, held for investment. These properties are held through a joint venture entity, BSPRT Walgreens Portfolio, LLC (the "Walgreens JV"), formed by the Company and an affiliate of the Company. The Company has 75.618% ownership interest in the Walgreens JV, while the affiliated fund has 24.242% interest. The Company has control of 15 of the 24 Walgreens properties acquired through foreclosure as the majority owner in the joint venture and, therefore, consolidates these properties on its consolidated balance sheet. As of March 31, 2023 and December 31, 2022, the Company recorded $13.9 million and $10.5 million, respectively, in non-controlling interest related to the Walgreens properties on its consolidated balance sheets. Subsequent to quarter ended March 31, 2023, the Walgreens JV obtained legal ownership of nine additional properties.
We are engaged in ongoing litigation relating to the loan secured by the Walgreens Portfolio, as more fully described in "Part II, Item 1. Legal Proceedings".
Real Estate Owned, Held for Sale
During the fourth quarter of 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 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 March 31, 2023 and December 31, 2022, the Company has designated the properties included within the real estate owned business segment as held for sale in accordance with ASC 360. The properties are currently being marketed and sales are probable to occur within one year. For the three months ended March 31, 2023, the Company recognized an unrealized loss of $1.3 million. As of March 31, 2023 and December 31, 2022 the carrying value on real estate owned, held for sale assets amounted to $35.2 million and $36.5 million, respectively, in aggregate.

Note 6 - Leases
Intangible Lease Asset
The following table summarizes the Company's intangible lease asset recognized in the consolidated balance sheets as of March 31, 2023 and December 31, 2022 (dollars in thousands):
Acquisition DateProperty TypePrimary Location(s)Intangible Lease Asset, GrossAccumulated AmortizationIntangible Lease Asset, Net of Amortization
September 2021IndustrialJeffersonville, GA$49,192 $(1,440)$47,752 
$49,192 $(1,440)$47,752 
Identified intangible assets:March 31, 2023December 31, 2022
Gross amount$63,704 $58,542 
Accumulated amortization(4,682)(3,711)
Total, net$59,022 $54,831 
The following table summarizes the Company's intangible lease asset recognized in the consolidated balance sheets as
Identified intangible liabilities:
Gross amount$9,357 $6,507 
Accumulated amortization$(242)(79)
Total, net$9,115 $6,428 
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021 (dollars in thousands):2023
Acquisition DateProperty TypePrimary Location(s)Intangible Lease Asset, GrossAccumulated AmortizationIntangible Lease Asset, Net of Amortization
September 2021IndustrialJeffersonville, GA$49,192 $(720)$48,472 
$49,192 $(720)$48,472 
(Unaudited)
Rental Income
On September 17, 2021, the Company through a joint venture, purchased an industrial facility that is subject to an existing triple net lease. The minimum rental amount due under the lease is subject to annual increases of 2.0%. The initial term of the lease expires in 2038 and contains renewal options for 4four consecutive five-yearfive-year terms. The remaining lease term is 16.515.6 years. Rental income for this operating lease for the three months ended March 31, 2023 and March 31, 2022, totaled $2.3 million.million in both years. Rental income is included in Revenue from real estate owned in the consolidated statements of operations.
As of March 31, 2023 and December 31, 2022, respectively, 15 and ten retail properties in the Walgreens Portfolio were foreclosed upon that were each subject to triple net leases. The initial terms of the leases expire in March 2034 and contain renewal options for 11 consecutive five-year terms. The remaining lease term is 11 years. Rental income for these operating leases for the three months ended March 31, 2023 totaled $1.0 million. This retail portfolio was not owned by the Company as of March 31, 2022.
The following table summarizes the Company's schedule of future minimum rents on its real estate owned, held for investment properties to be contractually received under the industrial facility lease (dollars in thousands):
Minimum RentsMarch 31, 2022
2022 (April - December)$5,923 
20238,046 
Future Minimum RentsFuture Minimum RentsMarch 31, 2023
2023 (April - December)2023 (April - December)$8,938 
202420248,207 202412,070 
202520258,372 202512,234 
202620268,539 202612,401 
2027 and beyond2027 and beyond114,981 2027 and beyond142,984 
Total minimum rent$154,068 
Total future minimum rentTotal future minimum rent$188,627 
Amortization Expense
Intangible lease assets are amortized using the straight-line method over the shorter of the contractual life of the lease of a period up toand 20 years. The weighted average life of the intangible asset as of March 31, 20222023 is approximately 16.514.5 years. Amortization expense for the three months ended March 31, 2023 and March 31, 2022 totaled $1.0 million and $0.7 million. million, respectively.
Amortization expenseof acquired below-market leases, net of acquired above-market leases, resulted in an increase to rental revenues of $0.2 million for the three months ended March 31, 2021 totaled $0.2 million.
2023. There was no amortization of acquired below-market leases, net of acquired above-market leases, for the three months ended March 31, 2022. The following table summarizes the Company's expected acquired below (above) market leases, net amortization for intangible assets over the next five years, assuming no further acquisitions or dispositions (dollars in thousands):
Amortization ExpenseMarch 31, 2022
2022 (April - December)$(2,160)
2023(2,880)
Amortization Expense - Acquired below (above) market leases, netAmortization Expense - Acquired below (above) market leases, netMarch 31, 2023
2023 (April - December)2023 (April - December)$(626)
20242024(2,880)2024(835)
20252025(2,880)2025(835)
20262026(2,880)2026(835)
20272027(835)
The following table summarizes the Company's expected other identified intangible assets, net amortization over the next five years, assuming no further acquisitions or dispositions (dollars in thousands):
Amortization Expense - Other identified intangible assetsMarch 31, 2023
2023 (April - December)$3,104 
20244,176 
20254,176 
20264,176 
20274,176 
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Note 7 - Debt
Repurchase Agreements - Commercial Mortgage Loans
The Company has entered into repurchase facilities with JPMorgan Chase Bank, National Association (the "JPM Repo Facility"), Barclays Bank PLC (the "Barclays Revolver Facility" and the "Barclays Repo Facility"), Wells Fargo Bank, National Association (the "WF Repo Facility"), and Credit Suisse AGAtlas SP Partners (the "CS"Atlas Repo Facility" and together with JPM Repo Facility, WF Repo Facility, Barclays Revolver Facility, and Barclays Repo Facility, collectively, the "Repo Facilities").
The Repo Facilities are financing sources through which the Company may pledge one or more mortgage loans to the financing entity in exchange for funds typically at an advance rate of between 65% to 80%75% of the principal amount of the mortgage loan being pledged.
The details of the Company's Repo Facilities atas of March 31, 20222023 and December 31, 20212022 are as follows (dollars in thousands):
As of March 31, 2022
As of March 31, 2023As of March 31, 2023
Repurchase FacilityRepurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateTerm MaturityRepurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility(2)JPM Repo Facility(2)$400,000 $69,757 $1,474 2.80 %10/6/2022JPM Repo Facility(2)$500,000 $261,741 $5,608 7.95 %10/6/2024
CS Repo Facility (2)
300,000 123,259 1,138 3.01 %9/30/2022
Atlas Repo Facility (3)
Atlas Repo Facility (3)
600,000 71,896 2,115 7.42 %3/15/2024
WF Repo Facility (3)(4)
WF Repo Facility (3)(4)
450,000 201,812 1,248 2.08 %11/21/2023
WF Repo Facility (3)(4)
500,000 100,846 2,239 7.68 %11/21/2023
Barclays Revolver Facility (4)(5)
Barclays Revolver Facility (4)(5)
250,000 — 2,027 N/A9/20/2023
Barclays Revolver Facility (4)(5)
250,000 — 215 N/A9/20/2023
Barclays Repo Facility (5)(6)
Barclays Repo Facility (5)(6)
500,000 128,062 1,490 2.08 %3/14/2025
Barclays Repo Facility (5)(6)
500,000 169,938 3,528 7.23 %3/14/2025
TotalTotal$1,900,000 $522,890 $7,377 Total$2,350,000 $604,421 $13,705 
________________________________________________________________________________
(1) For the three months ended March 31, 2022.2023. Includes amortization of deferred financing costs.
(2) On August 12, 2021, the Company exercised theWith one-year extension option uponavailable at the satisfaction of certain conditions, and extended the term maturity to September 30, 2022. Additionally, on November 3, 2021Company's discretion. On July 7, 2022, the committed financing amount was amendedincreased from $200$400 million to $300 million with$500 million. Additionally, on December 12, 2022, the optionCompany extended the maturity date to increase to $400 million at the Company's discretion.October 6, 2024.
(3) On November 19, 2021,July 12, 2022, the committed financing was increased from $300 million to $600 million. Additionally, on March 17, 2023, the maturity date was extended to March 15, 2024. During the first quarter of 2023, this repurchase facility was transferred from Credit Suisse to the new company, Atlas SP Partners, which has acquired these assets.
(4) On May 12, 2022, the committed financing amount was increased from $275$450 million to $450$500 million. There are 3three more one-yearone-year extension options available at the Company's discretion.
(4)(5) On September 8, 2021, the Company amended the maturity date to September 20, 2023. On December 1, 2021 the committed financing amount was increased from $100 million to $250 million. 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.
(5) Subsequent to quarter end On December 3, 2021, on April 24, 2023, the Company amendedextended the maturity date to March 14, 2025 and the committed financing amount was increased from $300 million to $500 million. September 20, 2024.
(6) There are 2 one-yeartwo one-year extension options available at the Company's discretion.



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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
As of December 31, 2021
Repurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility$400,000 $136,470 $5,178 2.13 %10/6/2022
CS Repo Facility (2)
300,000 137,364 3,446 2.43 %9/30/2022
WF Repo Facility (3)
450,000 186,734 2,090 1.64 %11/21/2023
Barclays Revolver Facility (4)
250,000 166,700 1,976 6.12 %9/20/2023
Barclays Repo Facility (5)
500,000 392,332 4,057 1.76 %3/14/2025
Total$1,900,000 $1,019,600 $16,747 
________________________
As of December 31, 2022
Repurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense(1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility$500,000 $275,423 $11,773 7.42 %10/6/2024
Credit Suisse Repo Facility600,000 168,046 8,676 7.12 %10/31/2023
WF Repo Facility500,000 79,807 7,492 7.11 %11/21/2023
Barclays Revolver Facility250,000 — 1,267 N/A9/20/2023
Barclays Repo Facility500,000 157,583 8,997 6.75 %3/14/2025
Total$2,350,000 $680,859 $38,205 

(1) For the year ended December 31, 2020.2022. Includes amortization of deferred financing costs.
(2) On August 12, 2021, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to September 30, 2022. Additionally, on November 3, 2021 the committed financing amount was amended from $200 million to $300 million with the option to increase to $400 million at the Company's discretion.
(3) On November 19, 2021, the committed financing amount was increased from $275 million to $450 million. There are 3 more one-year extension options available at the Company's discretion.
(4) On September 8, 2021, the Company amended the maturity date to September 20, 2023. On December 1, 2021 the committed financing amount was increased from $100 million to $250 million. 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.
(5) On December 3, 2021 the Company amended the maturity date to March 14, 2025 and the committed financing amount was increased from $300 million to $500 million. There are 2 one-year extension options available at the Company's discretion.
The Company expects to use the advances from the Repo Facilities to finance the acquisition or origination of eligible loans, including first mortgage loans, subordinated mortgage loans, mezzanine loans and participation interests therein.
The Repo 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 March 31, 20222023 and December 31, 2021,2022, the Company is in compliance with all debt covenants.
Other financing and loan participation - Commercial Mortgage Loans
On March 23, 2020, the Company transferred $15.2 million of its interest in a term loan to Sterling National Bank ("SNB")a regional bank via a participation agreement. Since inception, the Company's outstanding loan increased as a result of future fundings, leading to an increase in amount outstanding via the participation agreement. The Company incurred $1.0 million and $0.2 million of interest expense on the SNBregional bank term loan for the three months endedas of March 31, 2022.2023 and 2022, respectively. As of March 31, 20222023 and December 31, 20212022 the outstanding participation balance was $37.9 million.$58.7 million and $59.2 million, respectively. The loan accrued interest at an annual rate of one-month LIBOR +2.20% and matures on FebruaryJune 9, 2023.
On February 10, 2022, the Company transferred $38.0 million of its interest in a term loan to Customers Banka regional bank via a participation agreement. Since inception, the Company's outstanding loan increasedcould increase as a result of future fundings, leadingwhich could lead to an increase in amount outstanding via the participation agreement. The Company incurred $0.6 million and $5,000 of interest expense on the Customers Bankregional bank term loan for the three months ended March 31, 2022.2023 and 2022, respectively. As of March 31, 2023 and December 31, 2022, the outstanding participation balance was $2.3 million.$20.4 millionand$17.1 million, respectively. The loan accrued interest at an annual rate of one-month SOFR + 4.01% and matures on May 1, 2025.
Mortgage Note Payable
On September 17, 2021, the Company, in connection with the consolidatingconsolidated joint venture (as discussed in Note 5 - Real Estate Owned), originated a $112.7 million mortgage note payable, of which $88.7 million is eliminated in consolidationour consolidated financial statements (see Note 5 - Real Estate Owned). TheAs of March 31, 2023 and December 31, 2022, the remaining outstanding mortgage note payable of $24.0 million is recorded onincluded in the consolidated balance sheet. As of March 31, 2022,2023, the loan accrued interest at an annual rate of 3.1%LIBOR + 3.0%, which is eliminated in our consolidated financial statements, and matures on October 9, 2024.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Unsecured Debt
As of March 31, 2022,2023, the Company heldhad outstanding 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, respectively, with a total face amount of $100$82.5 million. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for the effects of related derivatives held as cash flow hedges prior to termination) were as follows (dollars in thousands):
As of March 31, 2022As of December 31, 2021As of March 31, 2023As of December 31, 2022
Borrowings
Outstanding
Average
 Rate
Borrowings
Outstanding
Average
 Rate
Borrowings
Outstanding
Weighted Average
 Rate
Borrowings
Outstanding
Weighted Average
 Rate
Junior subordinated notes maturing in:Junior subordinated notes maturing in:Junior subordinated notes maturing in:
October 2035 ($35,000 face amount)$34,479 5.34 %$34,470 7.86 %
October 2035 ($17,500 face amount) October 2035 ($17,500 face amount)$17,018 8.88 %$34,508 8.25 %
December 2035 ($40,000 face amount) December 2035 ($40,000 face amount)39,484 5.25 %39,474 7.63 % December 2035 ($40,000 face amount)39,522 8.48 %39,513 8.39 %
September 2036 ($25,000 face amount) September 2036 ($25,000 face amount)24,657 5.29 %24,650 7.67 % September 2036 ($25,000 face amount)24,680 8.48 %24,674 8.39 %
$98,620 5.29 %$98,594 7.72 %$81,220 8.56 %$98,695 8.34 %
The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option.
Pursuant to a lending and security agreement with Security Benefit Life Insurance Company ("SBL"), which was entered into in February 2020 and amended in During the three months ended March and August 2020,31, 2023 the Company may borrow up to $100recognized a realized gain on extinguishment for debt in the amount of $4.4 million as a result of the repurchase of $17.5 million par value unsecured debt at a rate of one-month LIBOR + 4.5%. The facility has a maturity of February 10, 2023price equal to 75% par. Interest paid on unsecured debt, including related derivative cash flows, totaled $2.3 million and is secured by a pledge of equity interests in certain of the Company’s subsidiaries. The Company incurred $0.3$1.8 million of interest expense on the lending agreement with SBL for the three months ended March 31, 2022. As of March 31,2023 and 2022, there was no outstanding balance.respectively.
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 March 31, 20222023 and December 31, 20212022 (dollars in thousands):
Weighted AverageWeighted Average
CounterpartyCounterpartyAmount OutstandingInterest Expense
Collateral Pledged (1)
Interest RateDays to MaturityCounterpartyAmount OutstandingInterest Expense
Collateral Pledged (1)
Interest RateDays to Maturity
As of March 31, 2022
As of March 31, 2023As of March 31, 2023
JP Morgan Securities LLCJP Morgan Securities LLC$19,283 $55 $23,995 1.27 %14JP Morgan Securities LLC$62,980 $1,091 $69,985 5.80 %17
Goldman Sachs International— — — N/A N/A
Barclays Capital Inc.Barclays Capital Inc.35,327 75 44,284 1.40 %7Barclays Capital Inc.44,954 622 56,819 5.84 %13
Citigroup Global Markets, Inc.— — — N/A N/A
Total/Weighted AverageTotal/Weighted Average$54,610 $130 $68,279 1.35 %9Total/Weighted Average$107,934 $1,713 $126,804 5.82 %15
As of December 31, 2021
As of December 31, 2022As of December 31, 2022
JP Morgan Securities LLCJP Morgan Securities LLC$19,025 $261 $24,087 1.14 %10JP Morgan Securities LLC$103,513 $1,281 $120,751 5.34 %22
Goldman Sachs International— 37 — N/AN/A
Barclays Capital Inc.Barclays Capital Inc.15,286 526 19,131 1.21 %14Barclays Capital Inc.119,351 1,646 144,778 5.18 %50
Citigroup Global Markets, Inc.— 81 — N/AN/A
Total/Weighted Average Total/Weighted Average$34,311 $905 $43,218 1.71 %12 Total/Weighted Average$222,864 $2,927 $265,529 5.25 %37
________________________________________________________________________________
(1) Includes $68.3$42.6 million and $43.2$67.1 million of CLO notes, held by the Company, which areis eliminated within the realReal estate securities, trading, at fair value line inof the consolidated balance sheets as of March 31, 20222023 and December 31, 2021,2022, respectively.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Repurchase Agreements - Real Estate Securities Classified As Trading
The Company pledges its real estate securities classified as trading as collateral for repurchase agreements with commercial banks and other financial institutions. Repurchase arrangements entered into by the Company involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date and are accounted for as financings. The Company maintains the beneficial interest in the specific securities pledged during the term of each repurchase arrangement and receives the related principal and interest payments.
The terms and conditions of repurchase agreements are negotiated on a transaction-by-transaction basis when each such agreement is initiated or renewed. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of an agreement at which time the Company may enter into a new agreement at prevailing haircuts and rates with the same lending counterparty or repay that counterparty and negotiate financing with a different lending counterparty. None of the Company’s lending counterparties are obligated to renew or otherwise enter into new agreements at the conclusion of existing agreements. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security pay-down factors, lending counterparties typically require the Company to post additional securities as collateral, pay down borrowings or fund cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements. These actions are referred to as margin calls. Conversely, in response to increases in fair value of pledged securities, the Company routinely margin calls its lending counterparties in order to have previously pledged collateral returned.
Repurchase agreements (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands):
Collateral TypeCollateral
Carrying
Amount
Accrued
Interest
Receivable
Borrowings
Outstanding
Average
Borrowing
Rates
As of March 31, 2022
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$1,733,101 $3,726 $1,659,931 0.39 %
$1,733,101 $3,726 $1,659,931 0.39 %
As of December 31, 2021
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$4,327,020 $8,908 $4,144,473 0.13 %
$4,327,020 $8,908 $4,144,473 0.13 %
Amount OutstandingAccrued
Interest
Receivable
Collateral
Carrying
Amount
Weighted Average
Borrowing
Rates
As of March 31, 2023
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$121,000 $371 $126,749 4.81 %
As of December 31, 2022
Repurchase arrangements secured by Agency 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 days45,000 114 47,210 4.51 %
$217,144 $658 $227,610 4.30 %
Average repurchase agreements outstanding were $3.06 billion$149.4 million and $3.97 billion$220.1 million during the quartersthree months ended March 31, 20222023 and December 31, 2021.2022, respectively. Average repurchase agreements outstanding differed from respective quarter-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 $2.0 million and $1.3 million during the three months ended March 31, 2023 and 2022, respectively.
Collateralized Loan ObligationsObligation
As of March 31, 20222023 and December 31, 2021 the notes issued by BSPRT 2018-FL4 Issuer, Ltd. and BSPRT 2018-FL4 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 24 and 31 mortgage assets having a principal balance of $338.0 million and $503.3 million, respectively (the "2018-FL4 Mortgage Assets"). The sale of the 2018-FL4 Mortgage Assets to BSPRT 2018-FL4 Issuer is governed by a Mortgage Asset Purchase Agreement dated as of October 12, 2018, between the Company and BSPRT 2018-FL4 Issuer.
As of March 31, 2022, and December 31, 2021, the notes issued by BSPRT 2019-FL5 Issuer, Ltd. and BSPRT 2019-FL5 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 4022 and 4825 mortgage assets having a principal balance of $546.4$339.0 million and $589.0$378.8 million respectively (the "2019-FL5 Mortgage Assets"). The sale of the 2019-FL5 Mortgage Assets to BSPRT 2019-FL5 Issuer, Ltd. is governed by a Mortgage Asset Purchase Agreement dated as of May 30, 2019, between the Company and BSPRT 2019-FL5 Issuer.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
Issuer, Ltd.
As of March 31, 20222023 and December 31, 20212022, the notes issued by BSPRT 2021-FL6 Issuer, Ltd. and BSPRT 2021-FL6 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 3858 and 4458 mortgage assets having a principal balance of $636.9$686.1 million and $682.32$691.1 million respectively (the "2021-FL6 Mortgage Assets"). The sale of the 2021-FL6 Mortgage Assets to BSPRT 2021-FL6 Issuer, Ltd. is governed by a Collateral Interest Purchase Agreement dated as of March 25, 2021, between the Company and BSPRT 2021-FL6 Issuer, Ltd.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
As of March 31, 20222023 and December 31, 20212022, the notes issued by BSPRT 2021-FL7 Issuer, Ltd. and BSPRT 2021-FL7 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 4540 and 4739 mortgage assets having a principal balance of $899.1$899.8 million and $871.44$899.7 million respectively (the "2021-FL7 Mortgage Assets"). The sale of the 2021-FL7 Mortgage Assets to BSPRT 2021-FL7 Issuer, Ltd. is governed by a Collateral Interest Purchase Agreement dated as of March 25, 2021, between the Company and BSPRT 2021-FL7 Issuer, Ltd.
On February 15, 2022, BSPRT 2022-FL8 Issuer, Ltd. and BSPRT 2022-FL8 Co-Issuer, LLC, both wholly owned indirect subsidiaries of the Company entered into an indenture with the OP, as advancing agent and U.S. Bank National Association, as note administrator and trustee, which governs the issuance of approximately $1.1 billion principal balance secured floating rate notes, of which $960 million were purchased by third party investors and $132 million were purchased by a wholly owned subsidiary of the OP. In addition, concurrently with the issuance of the notes, BSPRT 2022-FL8 Issuer, Ltd. also issued 108,000 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 2022-FL8 Issuer, Ltd. and BSPRT 2022-FL8 Co-Issuer, LLC are disregarded entities.
As of March 31, 20222023 and ,December 31, 2022, the notes issued by BSPRT 2022-FL8 Issuer, Ltd. and BSPRT 2022-FL8 Co-Issuer, LLC, are collateralized by interests in a pool of 3238 and 39 mortgage assets having a principal balance of $1.2 billion and $1.2 billion, respectively (the "2022-FL8 Mortgage Assets"). The sale of the 2022-FL8 Mortgage Assets to BSPRT 2022-FL8 Issuer, Ltd. is governed by a Collateral Interest Purchase Agreement dated as of December 21, 2021, between the Company and BSPRT 2022-FL8 Issuer, Ltd.
As of March 31, 2023 and December 31, 2022, the notes issued by BSPRT 2022-FL9 Issuer, LLC are collateralized by interests in a pool of 50 and 50 mortgage assets having a principal balance of $802.3 million and $797.5 million, respectively (the "2022-FL9 Mortgage Assets"). The sale of the 2022-FL9 Mortgage Assets to BSPRT 2022-FL9 Issuer, LLC is governed by a Collateral Interest Purchase Agreement, dated as of June 29, 2022, by and among FBRT Sub REIT, BSPRT 2022-FL9 Issuer, LLC, the OP, and BSPRT 2022-FL9 Seller, LLC.

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
The Company, through its wholly-owned subsidiaries, holds the preferred equity tranches of the above CLOs of approximately $437.2$401.8 million and $329.2$401.8 million as of March 31, 20222023 and December 31, 2021,2022, respectively. The following table represents the terms of the notes issued by 2018-FL4 Issuer, 2019-FL5 Issuer, 2021-FL6 Issuer, 2021-FL7 Issuer, 2022-FL8 Issuer and 2022-FL82022-FL9 Issuer (collectively the "CLOs"), respectively, as of March 31, 20222023 (dollars in thousands):
CLO FacilityCLO FacilityTranchePar Value Issued
Par Value Outstanding (1)
Interest RateMaturity DateCLO FacilityTranchePar Value Issued
Par Value Outstanding (1)
Interest RateMaturity Date
2018-FL4 IssuerTranche A$416,827 $— 1M LIBOR + 1059/15/2035
2018-FL4 IssuerTranche A-S73,813 42,998 1M LIBOR + 1309/15/2035
2018-FL4 IssuerTranche B56,446 56,446 1M LIBOR + 1609/15/2035
2018-FL4 IssuerTranche C68,385 68,385 1M LIBOR + 2109/15/2035
2018-FL4 IssuerTranche D57,531 57,531 1M LIBOR + 2759/15/2035
2018-FL4 IssuerTranche E28,223 28,223 1M LIBOR + 3059/15/2035
2019-FL5 Issuer2019-FL5 IssuerTranche A407,025 170,467 1M LIBOR + 1155/15/20292019-FL5 IssuerTranche A$407,025 $— 1M LIBOR + 1155/15/2029
2019-FL5 Issuer2019-FL5 IssuerTranche A-S76,950 76,950 1M LIBOR + 1485/15/20292019-FL5 IssuerTranche A-S76,950 12,531 1M LIBOR + 1485/15/2029
2019-FL5 Issuer2019-FL5 IssuerTranche B50,000 50,000 1M LIBOR + 1405/15/20292019-FL5 IssuerTranche B50,000 50,000 1M LIBOR + 1405/15/2029
2019-FL5 Issuer2019-FL5 IssuerTranche C61,374 61,374 1M LIBOR + 2005/15/20292019-FL5 IssuerTranche C61,374 61,374 1M LIBOR + 2005/15/2029
2019-FL5 Issuer2019-FL5 IssuerTranche D48,600 5,000 1M LIBOR + 2405/15/20292019-FL5 IssuerTranche D48,600 5,000 1M LIBOR + 2405/15/2029
2019-FL5 Issuer2019-FL5 IssuerTranche E20,250 20,250 1M LIBOR + 2855/15/20292019-FL5 IssuerTranche E20,250 12,000 1M LIBOR + 2855/15/2029
2021-FL6 Issuer2021-FL6 IssuerTranche A367,500 367,500 1M LIBOR + 1103/15/20362021-FL6 IssuerTranche A367,500 367,500 1M LIBOR + 1103/15/2036
2021-FL6 Issuer2021-FL6 IssuerTranche A-S86,625 86,625 1M LIBOR + 1303/15/20362021-FL6 IssuerTranche A-S86,625 86,625 1M LIBOR + 1303/15/2036
2021-FL6 Issuer2021-FL6 IssuerTranche B33,250 33,250 1M LIBOR + 1603/15/20362021-FL6 IssuerTranche B33,250 33,250 1M LIBOR + 1603/15/2036
2021-FL6 Issuer2021-FL6 IssuerTranche C41,125 41,125 1M LIBOR + 2053/15/20362021-FL6 IssuerTranche C41,125 41,125 1M LIBOR + 2053/15/2036
2021-FL6 Issuer2021-FL6 IssuerTranche D44,625 44,625 1M LIBOR + 3003/15/20362021-FL6 IssuerTranche D44,625 44,625 1M LIBOR + 0.033/15/2036
2021-FL6 Issuer2021-FL6 IssuerTranche E11,375 11,375 1M LIBOR + 3503/15/20362021-FL6 IssuerTranche E11,375 11,375 1M LIBOR + 3503/15/2036
2021-FL7 Issuer2021-FL7 IssuerTranche A508,500 508,500 1M LIBOR + 13212/21/20382021-FL7 IssuerTranche A508,500 508,500 1M LIBOR + 13212/21/2038
2021-FL7 Issuer2021-FL7 IssuerTranche A-S13,500 13,500 1M LIBOR + 16512/21/20382021-FL7 IssuerTranche A-S13,500 13,500 1M LIBOR + 16512/21/2038
2021-FL7 Issuer2021-FL7 IssuerTranche B52,875 52,875 1M LIBOR + 20512/21/20382021-FL7 IssuerTranche B52,875 52,875 1M LIBOR + 20512/21/2038
2021-FL7 Issuer2021-FL7 IssuerTranche C66,375 66,375 1M LIBOR + 23012/21/20382021-FL7 IssuerTranche C66,375 66,375 1M LIBOR + 23012/21/2038
2021-FL7 Issuer2021-FL7 IssuerTranche D67,500 67,500 1M LIBOR + 27512/21/20382021-FL7 IssuerTranche D67,500 67,500 1M LIBOR + 27512/21/2038
2021-FL7 Issuer2021-FL7 IssuerTranche E13,500 13,500 1M LIBOR + 34012/21/20382021-FL7 IssuerTranche E13,500 13,500 1M LIBOR + 34012/21/2038
2022-FL8 Issuer2022-FL8 IssuerTranche A690,000 690,000 1M LIBOR + 1502/15/20372022-FL8 IssuerTranche A690,000 690,000 1M SOFR + 1502/15/2037
2022-FL8 Issuer2022-FL8 IssuerTranche A-S66,000 66,000 1M LIBOR + 1852/15/20372022-FL8 IssuerTranche A-S66,000 66,000 1M SOFR + 1852/15/2037
2022-FL8 Issuer2022-FL8 IssuerTranche B55,500 55,500 1M LIBOR + 2052/15/20372022-FL8 IssuerTranche B55,500 55,500 1M SOFR + 2052/15/2037
2022-FL8 Issuer2022-FL8 IssuerTranche C67,500 67,500 1M LIBOR + 2302/15/20372022-FL8 IssuerTranche C67,500 67,500 1M SOFR + 2302/15/2037
2022-FL8 Issuer2022-FL8 IssuerTranche D81,000 81,000 1M LIBOR + 3502/15/20372022-FL8 IssuerTranche D81,000 81,000 1M SOFR + 2802/15/2037
2022-FL8 IssuerTranche E25,500 — 1M LIBOR + 3502/15/2037
2022-FL9 Issuer2022-FL9 IssuerTranche A423,667 423,667 1M SOFR + 2555/15/2039
2022-FL9 Issuer2022-FL9 IssuerTranche A-S96,380 96,380 1M SOFR + 3105/15/2039
2022-FL9 Issuer2022-FL9 IssuerTranche B42,166 42,166 1M SOFR + 3605/15/2039
2022-FL9 Issuer2022-FL9 IssuerTranche C48,189 48,189 1M SOFR + 4155/15/2039
2022-FL9 Issuer2022-FL9 IssuerTranche D49,194 49,194 1M SOFR + 5055/15/2039
2022-FL9 Issuer2022-FL9 IssuerTranche E11,043 11,043 1M SOFR + 5655/15/2039
$3,657,674 $2,904,374 $3,601,588 $3,078,294 
________________________________________________________________________________
(1) Excludes $452.6$461.6 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligations line in the consolidated balance sheetssheet as of March 31, 2022.2023.

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
The following table represents the terms of the notes issued by 2018-FL4 Issuer, 2019-FL5 Issuer, 2021-FL6 Issuer and 2021-FL7 Issuer, 2022-FL8 Issuer and 2022-FL9 Issueras of December 31, 20212022 (dollars in thousands):
CLO FacilityTranchePar Value Issued
Par Value Outstanding (1)
Interest RateMaturity Date
2018-FL4 IssuerTranche A$416,827 $75,263 1M LIBOR + 1059/15/2035
2018-FL4 IssuerTranche A-S73,813 73,813 1M LIBOR + 1309/15/2035
2018-FL4 IssuerTranche B56,446 56,446 1M LIBOR + 1609/15/2035
2018-FL4 IssuerTranche C68,385 68,385 1M LIBOR + 2109/15/2035
2018-FL4 IssuerTranche D57,531 57,531 1M LIBOR + 2759/15/2035
2018-FL4 IssuerTranche E28,223 28,223 1M LIBOR + 3059/15/2035
2019-FL5 IssuerTranche A407,025 299,529 1M LIBOR + 1155/15/2029
2019-FL5 IssuerTranche A-S76,950 76,950 1M LIBOR + 1485/15/2029
2019-FL5 IssuerTranche B50,000 50,000 1M LIBOR + 1405/15/2029
2019-FL5 IssuerTranche C61,374 61,374 1M LIBOR + 2005/15/2029
2019-FL5 IssuerTranche D48,600 5,000 1M LIBOR + 2405/15/2029
2019-FL5 IssuerTranche E20,250 20,250 1M LIBOR + 2855/15/2029
2021-FL6 IssuerTranche A367,500 367,500 1M LIBOR + 1103/15/2036
2021-FL6 IssuerTranche A-S86,625 86,625 1M LIBOR + 1303/15/2036
2021-FL6 IssuerTranche B33,250 33,250 1M LIBOR + 1603/15/2036
2021-FL6 IssuerTranche C41,125 41,125 1M LIBOR + 2053/15/2036
2021-FL6 IssuerTranche D44,625 44,625 1M LIBOR + 3003/15/2036
2021-FL6 IssuerTranche E11,375 11,375 1M LIBOR + 3503/15/2036
2021-FL7 IssuerTranche A508,500 508,500 1M LIBOR + 13212/21/2038
2021-FL7 IssuerTranche A-S13,500 13,500 1M LIBOR + 16512/21/2038
2021-FL7 IssuerTranche B52,875 52,875 1M LIBOR + 20512/21/2038
2021-FL7 IssuerTranche C66,375 66,375 1M LIBOR + 23012/21/2038
2021-FL7 IssuerTranche D67,500 67,500 1M LIBOR + 27512/21/2038
2021-FL7 IssuerTranche E13,500 13,500 1M LIBOR + 34012/21/2038
$2,672,174 $2,179,514 
________________________
CLO FacilityTranchePar Value Issued
Par Value Outstanding (1)
Interest RateMaturity Date
2019-FL5 IssuerTranche A$407,025 $— 1M LIBOR + 1155/15/2029
2019-FL5 IssuerTranche A-S76,950 73,715 1M LIBOR + 1485/15/2029
2019-FL5 IssuerTranche B50,000 50,000 1M LIBOR + 1405/15/2029
2019-FL5 IssuerTranche C61,374 61,374 1M LIBOR + 2005/15/2029
2019-FL5 IssuerTranche D48,600 5,000 1M LIBOR + 2405/15/2029
2019-FL5 IssuerTranche E20,250 20,250 1M LIBOR + 2855/15/2029
2021-FL6 IssuerTranche A367,500 367,500 1M LIBOR + 1103/15/2036
2021-FL6 IssuerTranche A-S86,625 86,625 1M LIBOR + 1303/15/2036
2021-FL6 IssuerTranche B33,250 33,250 1M LIBOR + 1603/15/2036
2021-FL6 IssuerTranche C41,125 41,125 1M LIBOR + 2053/15/2036
2021-FL6 IssuerTranche D44,625 44,625 1M LIBOR + 3003/15/2036
2021-FL6 IssuerTranche E11,375 11,375 1M LIBOR + 3503/15/2036
2021-FL7 IssuerTranche A508,500 508,500 1M LIBOR + 13212/21/2038
2021-FL7 IssuerTranche A-S13,500 13,500 1M LIBOR + 16512/21/2038
2021-FL7 IssuerTranche B52,875 52,875 1M LIBOR + 20512/21/2038
2021-FL7 IssuerTranche C66,375 66,375 1M LIBOR + 23012/21/2038
2021-FL7 IssuerTranche D67,500 67,500 1M LIBOR + 27512/21/2038
2021-FL7 IssuerTranche E13,500 13,500 1M LIBOR + 34012/21/2038
2022-FL8 IssuerTranche A690,000 690,000 1M SOFR + 1502/15/2037
2022-FL8 IssuerTranche A-S66,000 66,000 1M SOFR + 1852/15/2037
2022-FL8 IssuerTranche B55,500 55,500 1M SOFR + 2052/15/2037
2022-FL8 IssuerTranche C67,500 67,500 1M SOFR + 2302/15/2037
2022-FL8 IssuerTranche D81,000 81,000 1M SOFR + 2802/15/2037
2022-FL9 IssuerTranche A423,667 423,667 1M SOFR + 2555/15/2039
2022-FL9 IssuerTranche A-S96,380 96,380 1M SOFR + 3105/15/2039
2022-FL9 IssuerTranche B42,166 42,166 1M SOFR + 3605/15/2039
2022-FL9 IssuerTranche C48,189 48,189 1M SOFR + 4155/15/2039
2022-FL9 IssuerTranche D49,194 49,194 1M SOFR + 5055/15/2039
2022-FL9 IssuerTranche E11,041 11,043 1M SOFR + 5655/15/2039
$3,601,586 — $3,147,728 
________________________________________________________
(1) Excludes $320.6$453.4 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligations line in the consolidated balance sheetssheet as of December 31, 2021.2022.


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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
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 March 31, 20222023 and December 31, 20212022 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)Assets (dollars in thousands)March 31, 2022December 31, 2021Assets (dollars in thousands)March 31, 2023December 31, 2022
Cash (1)
Cash (1)
$178,313 $187,668 
Cash (1)
$18,682 $43,246 
Commercial mortgage loans, held for investment, net (2)
Commercial mortgage loans, held for investment, net (2)
3,600,351 2,629,431 
Commercial mortgage loans, held for investment, net (2)
3,904,756 3,942,918 
Accrued interest receivableAccrued interest receivable7,833 5,918 Accrued interest receivable16,652 15,444 
Total AssetsTotal Assets$3,786,497 $2,823,017 Total Assets$3,940,090 $4,001,608 
Liabilities
Liabilities (dollars in thousands)Liabilities (dollars in thousands)
Notes payable (3)(4)
Notes payable (3)(4)
$3,336,459 $2,482,762 
Notes payable (3)(4)
$3,539,918 $3,601,102 
Accrued interest payableAccrued interest payable2,495 1,598 Accrued interest payable14,138 10,582 
Total LiabilitiesTotal Liabilities$3,338,954 $2,484,360 Total Liabilities$3,554,056 $3,611,684 
________________________________________________________________________________
(1) Includes $177.4$17.9 million and $187.0$42.5 million of cash held by the servicer related to CLO loan payoffs as of March 31, 20222023 and December 31, 2021,2022, respectively.
(2) The balance is presented net of allowance for credit losses of $8.5$13.9 million and $8.7$13.2 million as of March 31, 20222023 and December 31, 2021,2022, respectively.
(3) Includes $452.6$461.6 million and $320.6$453.4 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligationsobligation line of the consolidated balance sheets as of March 31, 20222023 and December 31, 2021,2022, respectively.
(4) The balance is presented net of deferred financing cost and discount of $20.5$19.0 million and $17.3$19.2 million as of March 31, 20222023 and December 31, 2021,2022, respectively.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Note 8 - Earnings Per Share
The Company uses the two-class method in calculating basic and diluted earnings per share. Net income/(loss) is allocated between our common stock and other participating securities based on their participation rights. Diluted net income per share has been computed using the weighted average number of shares of common stock outstanding and other dilutive securities. The following table presents a reconciliation of the numerators and denominators of the basic and diluted earnings per share computations and the calculation of basic and diluted earnings per share for the three months ended March 31, 20222023 and March 31, 20212022 (in thousands, except share and per share data):
Three Months Ended March 31,
Three Months Ended March 31,20232022
NumeratorNumerator20222021Numerator
Net income/(loss)Net income/(loss)$(22,507)$30,146 Net income/(loss)$43,839 $(22,507)
Net (income)/loss from noncontrolling interestNet (income)/loss from noncontrolling interest(9)— 
Less: Preferred stock dividendsLess: Preferred stock dividends21,011 3,511 Less: Preferred stock dividends6,748 21,011 
Less: Undistributed earnings allocated to preferred stock— 3,227 
Net income/(loss) attributable to common stockholders (for basic and diluted earnings per share)$(43,518)$23,408 
Net income/(loss) applicable to common stockNet income/(loss) applicable to common stock$37,082 $(43,518)
Less: Participating securities' share in earningsLess: Participating securities' share in earnings797 — 
Net income/(loss) applicable to common stockholders (basic & diluted earnings per share)Net income/(loss) applicable to common stockholders (basic & diluted earnings per share)$36,285 $(43,518)
DenominatorDenominatorDenominator
Weighted-average common shares outstanding for basic earnings per shareWeighted-average common shares outstanding for basic earnings per share43,956,965 44,290,177 Weighted-average common shares outstanding for basic earnings per share82,774,771 43,956,965 
Effect of dilutive shares (1):
 
Unvested restricted shares— 15,888 
Weighted-average common shares outstanding for diluted earnings per share43,956,965 44,306,065 
Weighted-average common shares outstanding for diluted earnings per share (1)
Weighted-average common shares outstanding for diluted earnings per share (1)
82,774,771 43,956,965 
Basic earnings per shareBasic earnings per share$(0.99)$0.53 Basic earnings per share$0.44 $(0.99)
Diluted earnings per shareDiluted earnings per share$(0.99)$0.53 Diluted earnings per share$0.44 $(0.99)
_______________________________________________
(1) The effect of dilutive shares excluded an aggregate of711,000 and 368,257 weighted average restricted shares and stock units for the three months ended March 31, 2023 and March 31, 2022, respectively, as theirthe effect was anti-dilutive. Additionally, the effect of dilutive shares excluded 5,430,480 and 45,522,676 weighted average common equivalent of convertible preferred shares for the three months ended March 31, 2023 and March 31, 2022, respectively, as the effect was anti-dilutive.
38
Note 9 - Stock Transactions
As of March 31, 2022 and December 31, 2021, the Company had 44,471,127 and 43,965,928 shares of common stock outstanding, respectively, including shares issued pursuant to the Company's distribution reinvestment plan (the "DRIP") and unvested restricted shares.
As of each of March 31, 2022 and December 31, 2021, the Company had 1,400 shares of Series C Preferred Stock outstanding, 17,950 shares of Series D Preferred Stock outstanding, 10,329,039 shares of Series E Preferred Stock outstanding and 39,733,299 shares of Series F Preferred Stock outstanding.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
The following tables present the activity in the Company's Series CNote 9 - Redeemable Convertible Preferred Stock for the period ended March 31, 2022 and March 31, 2021 (dollars in thousands, except share amounts):
SharesAmount
Balance, December 31, 20211,400 $6,971 
Issuance of Preferred Stock— — 
Dividends paid in Preferred Stock— — 
Offering costs— — 
Amortization of offering costs— 
Ending Balance, March 31, 20221,400 $6,973 
SharesAmount
Balance, December 31, 20201,400 $6,962 
Issuance of Preferred Stock— — 
Dividends paid in Preferred Stock— — 
Offering costs— — 
Amortization of offering costs— 
Ending Balance, March 31, 20211,400 $6,964 
Equity Transactions
The following table presents the activity insummary of the Company's Series Doutstanding shares of Redeemable Convertible Preferred Stock, for the period endedPerpetual Preferred Stock, Automatically Convertible Preferred Stock and Common Stock and Preferred Stock as of March 31, 20222023 and March 31, 2021 (dollars in thousands, except share amounts):
SharesAmount
Balance, December 31, 202117,950 $89,684 
Issuance of Preferred Stock— — 
Dividends paid in Preferred Stock— — 
Offering costs— — 
Amortization of offering costs— 
Balance, March 31, 202217,950 $89,691 
SharesAmount
Balance, December 31, 2020— $— 
Issuance of Preferred Stock17,950 89,748 
Dividends paid in Preferred Stock— — 
Offering costs— (26)
Amortization of offering costs— — 
Ending Balance, March 31, 202117,950 $89,722 
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
The following table presents the activity in the Company's Series E Preferred Stock for the period ended MarchDecember 31, 2022 (dollars in thousands, except share amounts):
SharesAmount
Balance, December 31, 202110,329,039 $258,742 
Issuance of Preferred Stock— — 
Dividends paid in Preferred Stock— — 
Offering costs— — 
Amortization of offering costs— — 
Balance, March 31, 202210,329,039 $258,742 
Balance as ofShares Outstanding as of
First Quarter 2023 Dividend/Distribution Per Share (4)
March 31, 2023December 31, 2022March 31, 2023December 31, 2022
Redeemable Convertible Preferred Stock:
Series H Preferred Stock$89,748 $89,748 17,950 17,950 $106.22 
Series I Preferred Stock (1)
$— $5,000 $— 1,000 106.22 
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 (2)(3)
$826 $826 83,363,971 82,992,784 $0.355 
_________________________________________________________
As(1) 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.
(2) Common Stock includes shares issued pursuant to the DRIP and unvested restricted shares.
(3) During the three months ended March 31, 2023, the Company repurchased 313,411 shares of Common Stock at an average price of $11.70 per share, for a total of $3.7 million. All of these shares were retired upon settlement, reducing the total outstanding shares as of March 31, 2021 the Company did not have any Series E Preferred Stock outstanding.
The following table presents the activity2023. See discussion in the "Stock Repurchases" section below.
(4) As declared by the Company's Series F Preferred Stock for the period ended March 31, 2022 (dollars in thousands, except share amounts):
SharesAmount
Balance, December 31, 202139,733,299 $710,431 
Issuance of Preferred Stock— — 
Dividends paid in Preferred Stock— — 
Offering costs— — 
Amortization of offering costs— — 
Balance, March 31, 202239,733,299 $710,431 
Asboard of March 31, 2021 the Company did not have any Series F Preferred Stock outstanding.
On April 19, 2022, all 39,733,299 shares of Series F Preferred Stock converted to common stock on a one for one ratio.directors.
Distributions
In order to maintain its election to qualify as a REIT, the Company must currently distribute, at a minimum, an amount equal to 90% of its taxable income, without regard to the deduction for distributions paid and excluding net capital gains. The Company must distribute 100% of its taxable income (including net capital gains) to avoid paying corporate U.S. federal income taxes. Distribution payments are dependent on the availability of funds. The Company's board of directors may reduce the amount of distributions paid or suspend distribution payments at any time, and therefore, distributions payments are not assured.
Quarterly distributions are paid at a quarterly rate of $0.355 per share of common stock (equivalent to $1.42 per annum). In March 2022, the Company's board of directors declared the following first quarter 2022 dividends: (i) a quarterly cash dividend of $0.355 per share on the Company's common stock and Series F Preferred Stock (equivalent to $1.42 per annum), (ii) a first quarter 2022 dividend of $106.22 per share on the Company’s Series C Preferred Stock and Series D Preferred Stock, and (iii) a first quarter 2022 dividend of $0.46875 per share on the Company’s Series E Preferred Stock, all which were paid in April 2022 to holders of record on March 31, 2021. Distribution payments are dependent on the availability of funds. The board of directors may reduce the amount of distributions paid or suspend distribution payments at any time, and therefore, distribution payments are not assured. Dividends on the Company’s outstanding shares of preferred stock, to the extent not declared by the board of directors quarterly, will accrue, and dividends may not be paid on the Company's common stock to the extent there are accrued and unpaid dividends on the preferred stock. The amount of dividends paid on the Company’s Series CH Preferred Stock and Series D Preferred Stock areis generally in an amount equal to the dividends a holder of such preferred stock would have received if the preferred stock had been converted into common stock in accordance with its terms, except when the amount of common stock dividends are below the threshold stated in the terms of such preferred stock.
The Company distributed $29.5 million of common stock dividends during the three months ended March 31, 2023, comprised of $29.5 million in cash. The Company distributed $12.5 million of common stock dividends during the three months ended March 31, 2022, comprised of $12.4 million in cash and $0.1 million in shares of common stock issued under the DRIP. The
As of March 31, 2023 and December 31, 2022, the Company distributed $12.2 million ofhad declared but unpaid common stock dividends duringdistributions of $29.6 million and $29.5 million, respectively, declared but unpaid Series E Preferred Stock distributions of $4.8 million and declared but unpaid Series H Preferred Stock distributions of $1.9 million. Additionally, as of December 31, 2022 the three months ended March 31, 2021, comprisedCompany had declared unpaid Series I Preferred stock distributions of $9.7 million$0.1 million. These amounts are included in cash and $2.6 million in shares of common stock issued underDistributions payable on the DRIP.Company’s consolidated balance sheets.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)

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. Purchases 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 share repurchase program will remain open until at least December 31, 2023 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.
The following table is a summary of the Company’s repurchase activity of its common stock during the three months ended March 31, 2023:
For the Three Months Ended March 31, 2023
Shares
Amount (2)
Beginning of period, authorized repurchase amount (1)
— $48,421 
Repurchases paid244,584 (2,867)
Repurchases unsettled (3)
68,827 (800)
Remaining as of March 31, 2023$44,754 

(1)Amount includes commissions paid associated with share repurchases.
(2) For the period ended March 31, 2023, the average purchase price was $11.70 per share.
(3) Represents repurchases for which an order had been placed before the end of the quarter but had not yet settled by March 31, 2023.
As of March 31, 2022 and December 31, 2021,2023, the Company had declared but unpaid common stock distributions$44.8 million remaining under the share repurchase program.
Accumulated Other Comprehensive Income/(Loss)
The following tables set forth the changes in accumulated other comprehensive income/(loss) by component.
For the Three Months Ended
March 31, 2023March 31, 2022
(dollars in thousands)TotalAvailable for Sale Real Estate SecuritiesCash Flow HedgesTotalAvailable for Sale Real Estate SecuritiesCash Flow Hedges
Balance, Beginning of Period$390 $390 $— $(62)$— $(62)
Other comprehensive income/(loss)(1,648)(1,648)— (220)— (220)
Reclassification adjustment for amounts included in net income/(loss)(677)(677)— 282 — 282 
Balance, End of Period$(1,935)$(1,935)$ $ $ $ 
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Table of $15.7 million and $12.5 million, respectively. Additionally, as of Contents
FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022 and December 31, 2021, the Company had declared but unpaid Series C Preferred Stock distributions of $0.2 million and $0.1 million, respectively, $1.9 million and $1.5 million of declared but unpaid Series D Preferred stock distributions, respectively, $4.8 million of declared but unpaid Series E Preferred stock distributions and $14.1 million and $11.3 million of declared but unpaid Series F Preferred Stock distributions, respectively. These amounts are included in Distributions payable on the Company’s consolidated balance sheets.2023
(Unaudited)
Note 10 - Commitments and Contingencies
Unfunded Commitments Under Commercial Mortgage Loans
As of March 31, 20222023 and December 31, 2021,2022, the Company had the below unfunded commitments to the Company's borrowers (dollars in thousands):
Funding ExpirationFunding ExpirationMarch 31, 2022December 31, 2021Funding ExpirationMarch 31, 2023December 31, 2022
2022$17,538 $25,864 
20232023102,288 123,860 2023$45,889 $73,921 
20242024245,726 271,056 2024330,379 312,009 
2025 and beyond35,126 37,325 
20252025105,538 70,429 
2026 and beyond2026 and beyond9,452 9,629 
$400,678 $458,105 $491,258 $465,988 
The borrowers are generally required to meet or maintain certain metrics in order to qualify for the unfunded commitment amounts.
Litigation and Regulatory Matters
The Company is not presently involvednamed 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
The table below shows the costs incurred due to arrangements with our Advisor and its affiliates during the three months ended March 31, 20222023 and 20212022 and the associated payable as of March 31, 20222023 and December 31, 20212022 (dollars in thousands):
Three Months Ended March 31,Payable as ofThree Months Ended March 31,Payable as of
20222021March 31, 2022December 31, 202120232022March 31, 2023December 31, 2022
Acquisition expenses (1)
Acquisition expenses (1)
$315 $153 $— $— 
Acquisition expenses (1)
$378 $315 $— $— 
Administrative services expensesAdministrative services expenses3,353 3,474 3,353 — Administrative services expenses4,029 3,353 4,029 3,526 
Asset management and subordinated performance feeAsset management and subordinated performance fee6,745 5,416 17,586 15,595 Asset management and subordinated performance fee8,085 6,745 8,085 8,843 
Other related party expenses (2)(3)
Other related party expenses (2)(3)
253 29 959 1,943 
Other related party expenses (2)(3)
211 253 1,742 3,060 
Total related party fees and reimbursementsTotal related party fees and reimbursements$10,666 $9,072 $21,898 $17,538 Total related party fees and reimbursements$12,703 $10,666 $13,856 $15,429 
_________________________________________________________________________________
(1) Total acquisition expenses paid during the three months ended March 31, 2023 and 2022 were $1.1 million and $3.2 million, respectively, of which $0.7 million and $2.9 million waswere capitalized within the commercial mortgage loans, held for investment line of the consolidated balance sheets. Total acquisition expenses paid during the three months ended March 31, 2021 were $2.6 million, of which $2.4 million was capitalized within the commercial mortgage loans, heldand real estate securities, available for investment linesale, measured at fair value lines of the consolidated balance sheets.
(2) These are related to reimbursable costs incurred related to the increase in loan origination activities and are included in Other expenses in the Company's consolidated statements of operations.
(3) As of March 31, 20222023 and December 31, 20212022, the related party payables include $1.0$1.7 million and $1.9$2.9 million of payments made by the Advisor to third party vendors on behalf of the Company.
The payables as of March 31, 20222023 and December 31, 20212022, in the table above are included in Due to affiliates on the Company's consolidated balance sheets.
Other Transactions
Pursuant to a lending and security agreement with SBL, which was entered into in February 2020 and amended in March and August 2020, the Company may borrow up to $100.0 million at a rate of one-month LIBOR + 4.5%. The facility has a maturity of February 10, 2023 and is secured by a pledge of equity interests in certain of the Company’s subsidiaries. The Company incurred $0.3 million in interest expense on the lending agreement with SBL for the three months ended March 31, 2022. As of March 31, 2023 and December 31, 2022, there were no amounts outstanding under the lending agreement.
SBL also holdsheld 17,950 shares of the Company's outstanding shares of Series DH Preferred Stock (see Note 2 - Summary of which, 14,950 shares were acquired in exchange for an equivalent number of shares of Series A Preferred Stock in March 2021. SBL also acquired an additional 3,000 shares of Series D Preferred Stock at the liquidation preference of $15.0 million (net of accrued and unpaid dividends on the exchanged Series A Preferred Stock) in such transaction.Significant Accounting Policies).
In August 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 $139.5 million triple net lease property in Jeffersonville, GA. The Company has a 79% interest in the Jeffersonville JV, while the affiliate 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 affiliate made up the remaining $29.8 million composed of a $24.0 million mortgage note payable and $5.7 million in equity. The Company has control of Jeffersonville JV with 79% ownership and, therefore, consolidates Jeffersonville JV on its consolidated balance sheet.sheets. The Company's $88.7 million mortgage note payable to Jeffersonville JV is eliminated in consolidation (see Note 7 - Debt).
As discussed below, in the first quarter of 2022,2023, pursuant to the 2021 Incentive Plan, 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 (see Note 12 - Share-based Compensation).

As of March 31, 2023 and December 31, 2022, our commercial mortgage loans, held for investment, includes an aggregate of $123.3 million and $122.9 million, respectively, carrying value of loans to affiliates of our Advisor. The Company recognized $2.3 million and $0.7 million of interest income from these loans for the three months ended March 31, 2023 and 2022, respectively, in the Company’s 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 to acquire 75.618% ownership interest in the loans acquired from the Walgreens Portfolio, while the affiliated fund has 24.242% interest (see Note 5 - Real Estate Owned).
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
Note 12 - Share-based Compensation
Share PlanPlans
The Company's equity incentive plans provide2021 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.
Under the Company's RSP, the total number2021 Incentive Plan, as of common shares granted shall not exceed 5% of the Company’s authorized common shares, and in any event, will not exceed 4.0 million shares (as such number may be adjusted for stock splits, stock distributions, combinations and similar events). The RSP will expire on February 7, 2023.
At March 31, 2022,2023, there were 5,007,893 shareswere 4,565,474 shares of common stock remaining available for issuance under the Company's 2021 Incentive Plan.issuance. 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 the first quarter of 2022, 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.
Restricted Stock and RSU activity issued under the RSP and 2021 Incentive Plan for the quarterthree months ended March 31, 2023 is summarized below:
Shares OutstandingFirst Quarter 2023 Weighted Average Grant Date Fair Value
For the Three Months Ended
March 31, 2023March 31, 2022
RSP2021 Incentive PlanRSP2021 Incentive Plan
Unvested equity awards outstanding at beginning of period20,934 492,107 11,184 — $14.11 
Grants— 442,419 7,209 492,107 14.24 
Forfeitures— — — — — 
Vested— (164,039)— — 14.24 
Unvested equity awards outstanding at end of period20,934 770,487 18,393 492,107 $14.16 
During the three months ended March 31, 2022 is summarized below:
Number of sharesWeighted Avg Grant Date Fair Value
Unvested RSU awards outstanding at December 31, 2021— $— 
Grants492,107 14.34 
Forfeitures— — 
Vested— — 
Unvested RSU awards outstanding at March 31, 2022492,107 $14.34 
During the quarter ended2023 and March 31, 2022, the companyCompany recognized compensation expense associated with the RSUsequity awards of $412,000,$1.0 million and $0.5 million, respectively, which is included in Other expensesshare-based compensation expense on the consolidated statements of operations. Unrecognized estimated compensation expense for these awards totaled $4.5$11.2 million atas of March 31, 2022,2023 to be expensed over a weighted average period of 1.81.7 years. The fair value of equity awards that vested during the three months ended March 31, 2023 was $2.3 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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 on 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 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.
Real estate securities classified as trading, RMBS, are measured at fair value by utilizing a third party pricing service to obtain a current estimated liquid price of the securities. The third party pricing service utilizes relevant market information and interest rate movements and applies its internal pricing application to the evaluation to test against internal tolerances and parameters. The RMBS are classified in Level IIIII of the fair value hierarchy.
Commercial mortgage loans held for sale, measured at fair value in the Company's TRS are initially recorded at transaction proceeds,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 proceeds.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 on 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 inas Level III 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 OTCover 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 inas Level II of the fair value hierarchy.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
The fair value of exchange-traded swap agreements economically hedging RMBS repurchase agreements are calculated using the net 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. Interest rate swap agreements economically hedging the Company's RMBS repurchase agreements are measured at fair value on a recurring basis primarily using Level II inputs. The fair value of these derivatives areis calculated including accrued interest and net of variation margin amounts received or paid through the exchange, resulting in separately presenting on the balance sheet a significantly reduced fair value amount representing the unsettled fair value of these derivatives.derivatives on the consolidated balance sheets.
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 for the period ended March 31, 2022 and2023. Material transfers between levels within the fair value hierarchy during the period ended December 31, 2021.
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Table2022 were specifically related to the transfer of Contents
FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
ARM Agency Securities from Level II to Level III.
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 March 31, 20222023 and December 31, 20212022 (dollars in thousands):
TotalLevel ILevel IILevel III
March 31, 2022
Assets, at fair value
Real estate securities, trading, measured at fair value$1,949,336 $— $1,949,336 $— 
Commercial mortgage loans, held for sale, measured at fair value107,978 — — 107,978 
Other real estate investments, measured at fair value— — — — 
Credit default swaps104 — 104 — 
Interest rate swaps374 — 374 — 
Total assets, at fair value$2,057,792 $ $1,949,814 $107,978 
Liabilities, at fair value
 Credit default swaps$1,493 $— $1,493 $— 
 Interest rate swaps2,260 — 2,260 — 
Total liabilities, at fair value$3,753 $ $3,753 $ 
December 31, 2021
Assets, at fair value
Real estate securities, trading, measured at fair value$4,566,871 $— $4,566,871 $— 
Commercial mortgage loans, held for sale, measured at fair value34,718 — — 34,718 
Other real estate investments, measured at fair value2,074 — — 2,074 
Interest rate swaps312 — 312 — 
Treasury note futures124 — 124 — 
Total assets, at fair value$4,604,099 $ $4,567,307 $36,792 
Liabilities, at fair value
Credit default swaps$1,142 $— $1,142 $— 
Unsecured debt-related interest rate swap agreements31,153 — 31,153 — 
Total liabilities, at fair value$32,295 $ $32,295 $ 
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
TotalLevel ILevel IILevel III
March 31, 2023
Assets, at fair value
Real estate securities, available for sale, measured at fair value$112,329 $— $112,329 $— 
Real estate securities, trading, measured at fair value133,705 — $— $133,705 
Commercial mortgage loans, held for sale, measured at fair value15,928 — — 15,928 
Interest rate swaps— — — — 
Credit default swaps325 — 325 — 
Total assets, at fair value$262,287 $ $112,654 $149,633 
Liabilities, at fair value
Interest rate swaps$202 $— $202 $— 
Credit default swaps$92 $— $92 $— 
Total liabilities, at fair value$294 $ $294 $ 
December 31, 2022
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 value15,559 — — 15,559 
Treasury note futures91 91 — — 
Interest rate swaps90 — 90 — 
Credit default swaps234 — 234 — 
Total assets, at fair value$472,727 $91 $221,349 $251,287 
Liabilities, at fair value
Credit default swaps64 — 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 March 31, 20222023 and December 31, 20212022 (dollars in thousands):.
Asset CategoryFair ValueValuation Methodologies
Unobservable Inputs (1)
Weighted Average (2)
Range
March 31, 2022
Commercial mortgage loans, held for sale, measured at fair value$107,978  Discounted Cash Flow Yield2.3%1.6% - 5.6%
December 31, 2021
Commercial mortgage loans, held for sale, measured at fair value$34,718 Discounted Cash FlowYield3.4%3.2% - 4.2%
Other real estate investments, measured at fair value2,074 Discounted Cash FlowYield10.9%9.9% - 11.9%
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
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 March 31, 2023:
Asset CategoryFair ValueValuation Methodologies
Unobservable Inputs (1)
Weighted Average (2)
Range
March 31, 2023
Commercial mortgage loans, held for sale, measured at fair value$15,928  Discounted Cash Flow Yield6.6%6.4% - 6.8%
Real estate securities, trading, measured at fair value133,705  Discounted Cash Flow Yield3.3%2.0% - 6.6%
December 31, 2022
Commercial mortgage loans, held for sale, measured at fair value$15,559 Discounted Cash FlowYield7.2%6.3% - 7.7%
Real estate securities, trading, measured at fair value235,728 Discounted Cash FlowYield3.3%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.
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TableThere were no assets measured at fair value on a nonrecurring basis on our consolidated balance sheets as of Contents
FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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 March 31, 20222023 and December 31, 20212022 for which the Company has used Level III inputs to determine fair value (dollars in thousands):
March 31, 2022March 31, 2023
Commercial Mortgage Loans, held for sale, measured at fair valueOther Real Estate Investments, measured at fair valueCommercial Mortgage Loans, held for sale, measured at fair valueReal estate securities, trading, measured at fair value
Beginning balance, January 1, 2022$34,718 $2,074 
Beginning balance, January 1, 2023Beginning balance, January 1, 2023$15,559 $235,728 
Transfers into Level III (1)
Transfers into Level III (1)
— — 
Transfers into Level III (1)
— — 
Total realized and unrealized gain/(loss) included in earnings:Total realized and unrealized gain/(loss) included in earnings:Total realized and unrealized gain/(loss) included in earnings:
Realized gain/(loss) on sale of commercial mortgage loans, held for sale, and other real estate investments1,889 (33)
Realized gain/(loss) on sale of commercial mortgage loans, held for saleRealized gain/(loss) on sale of commercial mortgage loans, held for sale— — 
Realized gain/(loss) on sale of available for sale trading securitiesRealized gain/(loss) on sale of available for sale trading securities— — 
Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investmentsUnrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments(939)Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments347 — 
Trading gain/(loss)Trading gain/(loss)— 2,968 
Net accretionNet accretion— — Net accretion— — 
PurchasesPurchases150,300 — Purchases— — 
Sales / paydownsSales / paydowns(77,990)(2,045)Sales / paydowns22 (104,991)
Transfers out of Level III (1)
Transfers out of Level III (1)
— — 
Transfers out of Level III (1)
— — 
Ending Balance, March 31, 2022$107,978 $ 
December 31, 2021
Commercial Mortgage Loans, held for sale, measured at fair valueOther Real Estate Investments, measured at fair value
Beginning balance, January 1, 2021$67,649 $2,522 
Transfers into Level III (1)
— — 
Total realized and unrealized gain/(loss) included in earnings:
Realized gain/(loss) on sale of commercial mortgage loans, held for sale24,208 — 
Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments469 (19)
Net accretion— (3)
Purchases420,673 — 
Sales / paydowns(478,281)(426)
Transfers out of Level III (1)
— — 
Ending Balance, December 31, 2021$34,718 $2,074 
Ending Balance, March 31, 2023Ending Balance, March 31, 2023$15,928 $133,705 

(1) TransfersThere were no transfers in and transfersor out include transfers between Commercial mortgage loans, held for sale and Commercial mortgage loans, held for investment.of Level III as of March 31, 2023.

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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
December 31, 2022
Commercial Mortgage Loans, held for sale, measured at fair valueReal estate securities, trading, measured at fair valueOther 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 loans, held for sale2,358 — — 
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)— 
Trading gain/(loss)— (119,220)— 
Net accretion— — — 
Purchases366,692 — — 
Sales / paydowns(387,698)(4,211,923)(2,045)
Transfers out of Level III— — — 
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.
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 on the consolidated balance sheets due to their short-term nature and are measured using Level IIIII inputs.
Financial Instruments Not Measured at Fair Value
The fair values of the Company's commercial mortgage loans, held for investment and collateralized loan obligations, which are not reported at fair value on the consolidated balance sheets are reported below as of March 31, 20222023 and December 31, 20212022 (dollars in thousands):
Level
Carrying Amount (1)
Fair ValueMarch 31, 2023December 31, 2022
March 31, 2022
Level
Carrying Amount (1)
Fair Value
Carrying Amount (1)
Fair Value
Commercial mortgage loans, held for investmentCommercial mortgage loans, held for investmentAssetIII$4,545,384 $4,568,380 Commercial mortgage loans, held for investmentAssetIII$5,051,501 $5,057,359 $5,269,776 $5,278,495 
Collateralized loan obligationsCollateralized loan obligationsLiabilityIII2,883,887 2,879,415 Collateralized loan obligationsLiabilityIII3,052,802 2,987,015 3,121,983 3,055,810 
Mortgage note payableMortgage note payableLiabilityIII23,998 23,998 Mortgage note payableLiabilityIII23,998 23,998 23,998 23,998 
Other financing and loan participation - commercial mortgage loansOther financing and loan participation - commercial mortgage loansLiabilityIII40,199 40,199 Other financing and loan participation - commercial mortgage loansLiabilityIII79,121 79,121 76,301 76,301 
Unsecured debtUnsecured debtLiabilityIII98,620 79,000 Unsecured debtLiabilityIII81,220 58,100 98,695 66,300 
December 31, 2021
Commercial mortgage loans, held for investmentAssetIII$4,226,888 $4,249,118 
Collateralized loan obligationLiabilityIII2,162,190 2,181,571 
Mortgage Note PayableLiabilityIII23,998 23,998 
Other financing and loan participation - commercial mortgage loansLiabilityIII37,903 37,903 
Unsecured DebtLiabilityIII148,594 125,400 
________________________________________________________________________________
(1) The carrying value is gross of $14.9$28.8 million and $15.8$40.8 million of allowance for credit losses as of March 31, 20222023 and December 31, 2021,2022, respectively.


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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
Repurchase agreements - commercial mortgage loans of $604.4 million and $680.9 million as of March 31, 2023 and December 31, 2022, respectively, and repurchase agreements - real estate securities of $228.9 million and $440.0 million as of March 31, 2023 and December 31, 2022, respectively, are not carried at fair value and does not include accrued interest expense, 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 fair value of the other financing and loan participation-commercial mortgage loans is generally estimated using a discounted cash flow analysis. AtAs of March 31, 2022,2023, 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 unsecured debt is based on discounted cash flows using Company estimates for market yields on similarly structured debt instruments.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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.
As of March 31, 2022, the net premiums received on derivative instrument assets were $0.8 million.
The following derivative instruments were outstanding as of March 31, 20222023 and December 31, 20212022 (dollars in thousands):
Fair Value
Contract typeNotional
Assets
Liabilities
March 31, 2022
Credit default swaps$98,000 $104 $1,493 
Interest rate swaps (1)
1,588,000 374 2,260 
Interest rate swaps on unsecured debt— — — 
Treasury note futures— — — 
Total$1,686,000 $478 $3,753 
December 31, 2021
Credit default swaps$47,000 $— $1,142 
Interest rate swaps3,649,500 312 — 
Interest rate swaps on unsecured debt100,000 — 31,153 
Treasury note futures360 124 — 
Total$3,796,860 $436 $32,295 
________________________
(1) As of March 31, 2022, asset vs. liability notional breakout for interest rate swaps assets was $1,499.5 million and $88.5 million, respectively.
March 31, 2023December 31, 2022
Fair ValueFair Value
Contract typeNotional
Assets
LiabilitiesNotional
Assets
Liabilities
Credit default swaps$18,000 $325 $92 $18,000 $234 $64 
Interest rate swaps (1)
12,500 — 202 9,800 90 — 
Treasury note futures— — — 3,500 91 — 
Total$30,500 $325 $294 $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 loss on derivative instruments in the consolidated statements of operations for the three months ended March 31, 20222023 and March 31, 2021:2022:
Three Months Ended March 31, 2022
Contract typeUnrealized (Gain)/LossRealized (Gain)/Loss
Credit default swaps$99 $(104)
Interest rate swaps4,740 (32,987)
Treasury note futures124 (939)
Total$4,963 $(34,030)
Three Months Ended March 31, 2021
Contract typeUnrealized (Gain)/LossRealized (Gain)/Loss
Credit default swaps$(163)$455 
Interest rate swaps(865)(921)
Treasury note futures(1,081)(1,512)
Total$(2,109)$(1,978)
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
The following table includes information regarding components of unsecured debt-related effects on interest expense and other comprehensive income for the three months ended March 31, 2022 and March 31, 2021:
Three Months Ended March 31, 2022Three Months Ended March 31, 2021
Related to the statement of operations
Amount of net loss reclassified from other comprehensive income (1)
$(282)$— 
Related to other comprehensive income
Amount of gain/(loss) recognized in other comprehensive income$(220)$— 
________________________
(1) Included in interest expense in the consolidated statements of operations
The Company's portfolio of derivatives additionally hedges the variability of the underlying benchmark interest rate of current and forecasted 30- to 90-day repurchase agreements. The Company attempts to mitigate exposure to higher interest rates primarily by entering into pay-fixed, receive-variable, interest rate swap agreements for terms between eighteen months and three years. From an economic perspective, this hedge relationship establishes a relatively stable fixed rate on related debt because the variable-rate payments received on the swap agreements offset a significant portion of the interest accruing on the debt, leaving the fixed-rate swap payments as the Company’s effective borrowing rate. Additionally, changes in fair value of these derivatives tend to offset opposing changes in fair value of the Company’s residential mortgage investments that can occur in response to changes in market interest rates.
During the first quarter of 2022, the Company entered into swap agreements with notional amounts totaling $1.1 billion requiring fixed-rate interest payments averaging 1.10%. No swaps had matured during this time. In the first quarter of 2022, the Company terminated $3.3 billion notional amount of swaps related to the ARM portfolio requiring fixed-rate interest payments averaging 0.25%. Subsequent to March 31, 2022, the Company terminated $0.8 billion notional amount of swaps requiring fixed-rate interest payments averaging 0.28%.
At March 31, 2022, the Company’s trading securities portfolio financing-related swap positions, all of which were either SOFR or OIS-indexed, had the following characteristics (dollars in thousands):
Period of Contract ExpirationSwap Notional
Amounts
Average Fixed Rates
Third quarter 2022$300,000 0.03 %
Fourth quarter 2022400,000 0.07 %
First quarter 2023525,000 0.77 %
Fourth quarter 2023174,500 0.11 %
First quarter 2024100,000 2.28 %
$1,499,500 
In January 2022, the Company terminated the entirety of its three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements with notional amounts totaling $100 million and average fixed rates of 4.09% with 20-year payment terms coinciding with the floating-rate terms of the Company’s unsecured debt that mature in 2035 and 2036.
Three Months Ended March 31, 2023Three Months Ended March 31, 2022
Contract typeUnrealized (Gain)/LossRealized (Gain)/LossUnrealized (Gain)/LossRealized (Gain)/Loss
Credit default swaps$(63)$— $99 $(104)
Interest rate swaps291 — 4,740 (32,987)
Treasury note futures92 (44)124 (939)
Options— — — — 
Total$320 $(44)$4,963 $(34,030)
Interest rate swap agreements are measured at fair value on a recurring basis primarily using Level TwoII Inputs in accordance with ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). In determining fair value estimates for swaps, Thethe 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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 20222023
(Unaudited)
The fair value of exchange-traded swap agreements hedging repurchase agreements is calculated including accrued interest and net of variation margin amounts received or paid through the exchange, resulting in separately presenting on the balance sheet a fair value amount representing the unsettled fair value of these derivatives. Non-exchange traded swap agreements held as cash flow hedges of unsecured debt are reported at fair value calculated excluding accrued interest. At March 31, 2022, cash collateral receivable from derivative counterparties includes initial margin for all derivatives and variation margin for non-exchange traded derivatives. Accrued interest for non-exchange traded swap agreements is included in accounts payable and accrued expenses.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
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 March 31, 20222023 and December 31, 20212022 (dollars in thousands):
Gross Amounts Not Offset on the Balance Sheet 


Gross Amounts Not Offset on the Balance Sheet
AssetsAssetsGross Amounts of Recognized AssetsGross Amounts Offset on the Balance SheetNet Amount of Assets Presented on the Balance SheetFinancial Instruments
Cash Collateral (1)
Net AmountAssetsGross Amounts of Recognized AssetsGross Amounts Offset on the Balance SheetNet Amount of Assets Presented on the Balance SheetFinancial Instruments
Cash Collateral (1)
Net Amount
March 31, 2022
March 31, 2023March 31, 2023
Derivative instruments, at fair value
Derivative instruments, at fair value
$478 $— $478 $— $— $478 Derivative instruments, at fair value
$325 $— $325 $— $— $325 
December 31, 2021
December 31, 2022December 31, 2022
Derivative instruments, at fair valueDerivative instruments, at fair value$436 $— $436 $— $— $436 Derivative instruments, at fair value$415 $— $415 $— $— $415 
_________________________________________________________
Gross Amounts Not Offset on the Balance Sheet
LiabilitiesGross Amounts of Recognized LiabilitiesGross Amounts Offset on the Balance SheetNet Amount of Liabilities Presented on the Balance SheetFinancial Instruments
Cash Collateral (1)
Net Amount
March 31, 2022
Repurchase agreements - commercial mortgage loans$522,890 $— $522,890 $813,303 $5,010 $— 
Repurchase agreements - real estate securities1,714,541 — 1,714,541 1,801,381 — — 
Derivative instruments, at fair value3,753 — 3,753 — 7,069 — 
December 31, 2021
Repurchase agreements - commercial mortgage loans$1,019,600 $— $1,019,600 $1,460,317 $5,015 $— 
Repurchase agreements - real estate securities4,178,784 — 4,178,784 4,370,239 — — 
Derivative instruments, at fair value32,295 — 32,295 — 64,393 — 
See notes below.



Gross Amounts Not Offset on the Balance Sheet
Liabilities Gross Amounts of Recognized LiabilitiesGross Amounts Offset on the Balance SheetNet Amount of Liabilities Presented on the Balance SheetFinancial Instruments
Cash Collateral (1)
Net Amount
March 31, 2023
Repurchase agreements - commercial mortgage loans$604,421 $— $604,421 $604,421 $— $— 
Repurchase agreements - real estate securities228,934 — 228,934 228,934 — — 
Derivative instruments, at fair value294 — 294 — 294 — 
December 31, 2022
Repurchase agreements - commercial mortgage loans$680,859 $— $680,859 $680,859 $— $— 
Repurchase agreements - real estate securities440,008 — 440,008 440,008 — — 
Derivative instruments, at fair value64 — 64 — 64 — 
_________________________________________________________________________________
(1) These cash collateral amounts are recorded within theIncluded in Restricted cash balance onin the Company's consolidated balance sheets.


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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022
(Unaudited)
Note 16 - Segment Reporting
The Company conducts its business through the following reporting segments:
The real estate debt business focuses on originating, acquiring and asset managing commercial real estate debt investments, including first mortgage loans,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, unsecured REIT debt,CRE CLO bonds, CDO notes and other securities. As a result of the October 2021 acquisition of Capstead, the Company acquired and continues to hold a significant portfolio of ARM Agency Securities. As of March 31, 2022, all of the real estate securities in this segment were ARM Agency Securities acquired in the Capstead acquisition.
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.
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FRANKLIN BSP REALTY TRUST, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
(Unaudited)
The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase.
The following table represents the Company's operations by segment for the three and three months ended March 31, 20222023 and March 31, 20212022 (dollars in thousands):
Three Months Ended March 31, 2023Three Months Ended March 31, 2023TotalReal Estate Debt and Other Real Estate InvestmentsReal Estate SecuritiesTRSReal Estate Owned
Interest incomeInterest income$130,536 $125,949 $3,568 $322 $697 
Revenue from real estate ownedRevenue from real estate owned3,312 — — — 3,312 
Interest expenseInterest expense71,075 66,958 3,446 216 455 
Net income/(loss)Net income/(loss)43,839 43,531 3,295 (3,314)327 
Total assets as of March 31, 2023Total assets as of March 31, 20235,839,026 5,242,621 253,809 95,490 247,106 
Three Months Ended March 31, 2022Three Months Ended March 31, 2022TotalReal Estate Debt and Other Real Estate InvestmentsReal Estate SecuritiesTRSReal Estate OwnedThree Months Ended March 31, 2022
Interest incomeInterest income$75,258 $55,687 $18,885 $686 $— Interest income$75,258 $55,687 $18,885 $686 $— 
Revenue from real estate ownedRevenue from real estate owned2,312 — — — 2,312 Revenue from real estate owned2,312 — — — 2,312 
Interest expenseInterest expense22,480 19,464 2,616 206 194 Interest expense22,480 19,464 2,616 206 194 
Net income/(loss)Net income/(loss)(22,507)22,092 (45,311)(107)819 Net income/(loss)(22,507)22,092 (45,311)(107)819 
Total assets as of March 31, 20227,112,155 4,346,668 2,496,732 127,392 141,363 
Three Months Ended March 31, 2021
Interest income$42,237 $40,757 $424 $1,056 $— 
Revenue from real estate owned716 — — — 716 
Interest expense11,369 10,574 182 332 281 
Net income/(loss)30,146 23,033 (454)7,538 29 
Total assets as of December 31, 20219,474,701 4,205,883 5,054,394 72,840 141,584 
Total assets as of December 31, 2022Total assets as of December 31, 20226,203,601 5,444,152 474,231 63,307 221,911 
For the purposes of the table above, any expenses not associated with a specific segmentmanagement fees have been allocated to the business segments using an agreed upon percentage of each respective segment's prior period equity. Administrative fees have been allocated to the business segments using a percentage derived from taking the respective business segment's prior period equity as a percent of consolidated equity and multiplying it by using the sum of commercial mortgage loans originated during the year as the denominator and commercial mortgage loans, held for investment, net of allowance and commercial mortgage loans, held for sale, measured at fair value as numerator.Company's total administrative fee.
Note 17 - Subsequent Events
The Company has evaluated subsequent events through the filing of this Quarterly Report on Form 10-Q.
On April 19, 2022, all of the 39,733,299 outstanding shares of the Company’s Series F Preferred Stock automatically converted on a one-for-one basis into an equal amount of shares of common stock, pursuantSubsequent to the terms ofquarter ended March 31, 2023, the Articles Supplementary of the Series F Preferred Stock. The shares of common stock issued upon conversion of the Series F Preferred Stock are freely tradable by the holders on the New York Stock Exchange. There are no shares of Series F Preferred Stock outstanding following the conversion.events took place:
Williamsburg Hotel Bankruptcy Case - see Part II, Item 1 "Legal Proceedings" for details.
Loan Fraud Lawsuit - see Part II, Item 1 "Legal Proceedings" for details.


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Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
The following discussion and analysis should be read in conjunction with the accompanying financial statements of Franklin BSP Realty Trust, Inc. the notes thereto and other financial information included elsewhere in this Quarterly Report on Form 10-Q, as well as our Annual Report on Form 10-K for the fiscal year ended December 31, 20212022 filed with the U.S. Securities and Exchange Commission (the "SEC") on February 25, 2022.March 16, 2023.
As used herein, the terms "the Company," "we," "our" and "us" refer to Franklin BSP Realty Trust, Inc., a Maryland corporation and, as required by context, to Benefit Street Partners Realty Operating Partnership, L.P., a Delaware limited partnership, which we refer to as the "OP," and to its subsidiaries. We are externally managed by Benefit Street Partners L.L.C. (our "Advisor").
Certain statements included in this Quarterly Report on Form 10-Q are forward-looking statements. Those statements include statements regarding the intent, belief or current expectations of the Company and members of our management team, as well as 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. 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, unless required by law.
Our forward-looking statements are subject to various risks and uncertainties. Accordingly, there are or will be important factors that could cause actual outcomes or results to differ materially from those indicated in these statements, and thus our investors should not place undue reliance on these statements. We believe these factors include but are not limited to those described under the section entitled “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2021,2022, as such factors may be updated from time to time in our periodic filings with the Securities and Exchange Commission (the “SEC”), which are accessible on the SEC’s website at http://www.sec.gov. These factors include:
our business and investment strategy;
our ability to make investments in a timely manner or on acceptable terms;
the impact of the COVID-19 pandemic;national health crises;
current credit market conditions and our ability to obtain long-term financing for our investments in a timely manner and on terms that are consistent with what we project when we invest;
the effect of general market, real estate market, economic and political conditions, including changing interest rate environments and inflation;
our ability to make scheduled payments on our debt obligations;
our ability to generate sufficient cash flows to make distributions to our stockholders;
our ability to generate sufficient debt and equity capital to fund additional investments;
our ability to refinance our existing financing arrangements;
our ability to successfully and in a timely matter reinvest the dividend, interest,recover unpaid principal and sales proceeds from the assets acquired in the merger with Capstead Mortgage Corporation in a manner consistent with our investment strategies;
adverse changes in the value of the assets acquired in the merger with Capstead Mortgage Corporation prior to the time such assets are monetized and reinvested in in a manner consistent with our investment strategies;on defaulted loans;
the degree and nature of our competition;
the availability of qualified personnel;
our ability to recover or mitigate estimated losses on non-performing assets;
we may be deemed to be an investment company under the Investment Company Act of 1940, as amended (the "Investment Company Act"), and thus subject to regulation under the Investment Company Act;
our ability to maintain our qualification as a real estate investment trust ("REIT"); and
other factors set forth under the caption "Risk Factors" in our Annual Report on Form 10-K for the year ended December 31, 2021.2022.
Currently, one of the most significant factors that could cause actual outcomes to differ materially from our forward-looking statements is the continuing adverse effect of the current pandemic of the novel coronavirus, or COVID-19, on the financial condition, operating results and cash flows of the Company, its borrowers, the real estate market, the global economy and the financial markets. The extent to which the COVID-19 pandemic continues to impact us and our borrowers will depend on future developments, which are highly uncertain and cannot be predicted with confidence, including the scope, severity and duration of the pandemic, including resurgences of the virus and its variants, the speed, effectiveness and adoption of vaccine (including boosters) and treatment developments and the direct and indirect economic effects of the pandemic and containment measures, among others.
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Overview
The Company is a Maryland corporation and has made tax elections to be treated as a REITreal estate investment trust ("REIT") for U.S. federal income tax purposes since 2013. The Company, through one or more subsidiaries which are each treated as a taxable REIT subsidiary ("TRS"), is indirectly subject to U.S. federal, state and local income taxes. We commenced business in May 2013. We primarily originate, acquire and manage a diversified portfolio of commercial real estate debt investments secured by properties located within and outside of the United States. Commercial real estate debt investments may include first mortgage loans, subordinated mortgage loans, mezzanine loans and participations in such loans. Substantially all of our business is conducted through the OP, a Delaware limited partnership. We are the sole general partner and directly or indirectly hold all of the units of limited partner interests in the OP.
The Company has no employees. We are managed by our Advisor pursuant to an Advisory Agreement as amended on August 18, 2021 (the "Advisory Agreement"). Our Advisor manages our affairs on a day-to-day basis. The Advisor receives compensation and fees for services related to the investment and management of our assets and our operations.
The Advisor, an SEC-registered investment adviser, is a credit-focused alternative asset management firm. The Advisor 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 Advisor’s robust platform. The Advisor is a wholly-owned subsidiary of Franklin Resources, Inc., which together with its various subsidiaries operates as “Franklin Templeton.”"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 at a profit. Historically this business has focused primarily on CMBS, unsecured REIT debt,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”("Capstead"), the Company acquired and continues to hold a significant portfolio of residential mortgage backedmortgage-backed securities (“RMBS”("RMBS") in the form of residential adjustable-rate mortgage pass-through securities (“("ARM Agency Securities”Securities" or "ARMs") issued and guaranteed by government-sponsored enterprises or by an agency of the federal government. Although the Company continues to hold a small portion of this portfolio it does not intend to do so long-term and intends to reinvest proceeds from the remaining portion of the portfolio in its other businesses. The Company also owns real estate which it acquires through foreclosure and deed in lieu of foreclosure, and which it purchases for investment, typically subject to triple net leases.


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Book Value Per Share
The following table calculates our book value per share as of March 31, 20222023 and December 31, 20212022 ($ in thousands, except per share data):
March 31, 2022December 31, 2021March 31, 2023December 31, 2022
Stockholders' equity applicable to common stockStockholders' equity applicable to common stock$677,867 $736,464 Stockholders' equity applicable to common stock$1,310,919 $1,304,238 
Shares
Shares:Shares:
Common stockCommon stock43,957,363 43,951,382 Common stock82,572,550 82,479,743 
Restricted stockRestricted stock513,764 14,546 Restricted stock791,421 513,041 
Total outstandingTotal outstanding44,471,127 43,965,928 Total outstanding83,363,971 82,992,784 
Book value per shareBook value per share$15.24 $16.75 Book value per share$15.73 $15.72 
The following table calculates our fully-converted book value per share as of March 31, 20222023 and December 31, 20212022 ($ in thousands, except per share data):
March 31, 2022December 31, 2021
Stockholders' equity applicable to convertible common stock$1,484,962 $1,543,550 
Shares
Common stock43,957,363 43,951,382 
Restricted stock513,764 14,546 
Series C convertible preferred stock418,880 418,880 
Series D convertible preferred stock5,370,640 5,370,640 
Series F convertible preferred stock39,733,299 39,733,299 
Total outstanding89,993,946 89,488,747 
Fully-converted book value per share$16.50 $17.25 
March 31, 2023December 31, 2022
Stockholders' equity applicable to convertible common stock$1,400,667 $1,398,986 
Shares:
Common stock82,572,550 82,479,743 
Equity compensation awards (restricted stock and restricted stock units)791,421 513,041 
Series H convertible preferred stock5,370,640 5,370,640 
Series I convertible preferred stock— 299,200 
Total outstanding88,734,611 88,662,624 
Fully-converted book value per share (1) (2)
$15.78 $15.78 

(1) Fully-converted book value per share reflects full conversion of our series of our Series H and Series I preferred stock and vesting of our outstanding equity compensation awards.
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(2) Excluding the amounts for accumulated depreciation and amortization of real property of $6.5 million and $5.2 million as of March 31, 2023 and December 31, 2022, respectively, would result in a fully-converted book value per share of $15.86 and $15.84 as of March 31, 2023 and December 31, 2022, respectively.

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Critical Accounting Estimates
Our financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("GAAP"), which requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Critical accounting estimates are those that require the application of management’s most difficult, subjective or complex judgments on matters that are inherently uncertain and that may change in subsequent periods. In preparing the financial statements, management has made estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. In preparing the financial statements, management has utilized available information, including our past history, industry standards and the current economic environment, among other factors, in forming its estimates and judgments, giving due consideration to materiality. Actual results may differ from these estimates. In addition, other companies may utilize different estimates, which may impact the comparability of our results of operations to those of companies in similar businesses.
During the three months ended March 31, 2022,2023, there were no material changes to our critical accounting estimates as compared to the critical accounting estimates disclosed in Management’s Discussion and Analysis of Financial Condition and Results of Operations contained in Part II, Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2021.2022.
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Portfolio
As of March 31, 20222023 and December 31, 2021,2022, our portfolio consisted of 166157 and 165161 commercial mortgage loans, respectively, excluding commercial mortgage loans accounted for under the fair value option. The commercial mortgage loans, held for investment as of March 31, 20222023 and December 31, 20212022 had a total carrying value, net of allowance for credit losses, of $4,530.5$5,022.8 million and $4,211.1$5,228.9 million, respectively. As of March 31, 20222023 and December 31, 2021,2022, our total commercial mortgage loans, held for sale, measured at fair value, were comprised of ninetwo loans with total fair value of $108.0$15.9 million and one loantwo loans with total fair value of $34.7$15.6 million, respectively. As of March 31, 20222023 and December 31, 20212022 we had real estate securities, trading, measured at fair valuevalues of $1,949.3$133.7 million and $4,566.9$235.7 million, respectively.respectively, due to the Company's progress in selling down the ARM Agency Securities portfolio acquired from Capstead. As of March 31, 2023 and December 31, 2022, we had no other$112.3 million and $221.0 million, respectively, of real estate investments,securities, available for sale, measured at fair value. As of December 31, 2021, our other real estate investments, measured at fair value, were comprised of one investment with a total fair value of $2.1 million. As of March 31, 20222023 and December 31, 2021,2022, our real estate owned, held for investment portfolio comprisedwas composed of one investment16 and 11 investments, respectively, with carrying values of $148.6 million and $127.8 million, respectively. As of March 31, 2023 and December 31, 2022, we had two properties classified as real estate owned, held for sale with a carryingcombined fair value of $89.5$35.2 million and $90.0$36.5 million, respectively.
As of March 31, 2022,2023, we had onetwo loans with a total amortized cost basis of $83.5 million designated as non-performing status. One loan with unpaid contractual principal balanceis for a total carrying valuehotel property located in New York City, which was placed on non-accrual status in 2019 and had an amortized cost basis of $57.1 million that had interest past dueas of March 31, 2023 and December 31, 2022. No specific allowance for greater than 90 days. Wecredit losses has been recorded on the loan. The Company did not takerecognize any assetinterest income on the non-accrual loan during the three months ended March 31, 2023. Subsequent to March 31, 2023, in April 2023, the Company received full principal repayment related to the New York City hotel property.
The second loan relates to a commercial mortgage loan with a fully funded outstanding principal balance of $38.4 million and an amortized costs basis of $26.4 million collateralized by a portfolio of retail properties in various locations throughout the United States. The loan has been assigned a risk rating of “5” and concurrently, the Company elected to apply a practical expedient for collateral dependent assets in which a specific reservesallowance for thiscredit loss was determined. The loan
was evaluated in accordance with ASC 310 - Receivables and was determined to be a TDR. During the three months ended March 31, 2023 the Company recorded an additional $0.8 million to the specific allowance for credit losses and charged off the remaining $15.1 million specific allowance which directly reduced the amortized cost basis of the loan. The Company designated the loan as non-performing and placed the loan on cost recovery status during the second quarter of 2022. Upon designation, the Company ceased the recognition of interest income. Any contractual amounts received are accounted for under the cost-recovery method, until the loan qualifies for return to accrual status. As of December 31, 2022, the Company had $2.6 million in cost recovery proceeds. During the three months ended March 31, 2023, $0.6 million of additional cost recovery proceeds was received and $1.1 million was transferred to real estate owned in connection with the five properties foreclosed upon during the period. As of March 31, 2023 the Company had $2.1 million in cost recovery proceeds. Cost recovery proceeds directly reduce the amortized cost of the loan. As of December 31, 2021, we2022, the retail portfolio had two loans with an aggregate unpaid contractual principal balance anda carrying value of $114.0$46.0 million one with interest past duenet of a specific allowance for greater than 90 dayscredit losses of $14.2 million. See "Part II, Item 1. Legal Proceedings" of this Quarterly Report on Form 10-Q for more information about this loan and the other which was current.related litigation. Future developments relating to these legal proceedings could have a material impact on our future results.
As of March 31, 20222023 and December 31, 20212022 our commercial mortgage loans, held for investment excluding commercial mortgage loans accounted for under the fair value option,on non-performing status, had a weighted average coupon of 4.4%8.8% and 4.3%8.3%, and a weighted average remaining life of 1.91.2 years and 2.11.4 years, respectively.
As of March 31, 2022,2023, the value of the Company’s residential ARM Agency Securities portfolio was $1.9 billion,$133.7 million, compared to $4.6 billion$235.7 million as of December 31, 2021.2022. The reduction in the value of this portfolio induring the first quarterthree months ended March 31, 2023, is due in part to (i) $339$7.5 million of principal paydowns and (ii) $2.2 billion$95.5 million of sales. During that period, the Company experiencedsales and (iii) $3.0 million of trading losses of $88.4 million related to these assets. As of May 3, 2022, the value of the Company’s residential ARM Agency Securities portfolio was $649 million. From April 1, 2022 to May 3, 2022, the Company experienced losses of $6.9 million related to the ARM Agency Securities portfolio as a result of net trading losses totaling $15.4 milliongains related to principal paydowns, changes in market pricevalues, and losses on sales of securities, net of portfolio related derivative gains of $8.6 million.


these securities.
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The following charts summarize our commercial mortgage loans, held for investment, by coupon rate type, collateral type and geographical region as of March 31, 20222023 and December 31, 2021:2022:
bsprt-20220331_g1.jpg3428bsprt-20220331_g2.jpg3432
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54975581496545497558149649
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bsprt-20220331_g3.jpg5497558149679bsprt-20220331_g4.jpg5497558149673

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bsprt-20220331_g5.jpgbsprt-20220331_g6.jpg

An investments region classification is defined according to the below map based on the location of investments secured property.
usamapregions22july2015a16.jpg

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The following charts show the par value by contractual maturity year for the commercial mortgage loans held for investments (excluding commercial mortgage loans in principal default) in our portfolio as of March 31, 20222023 and December 31, 2021:2022:
bsprt-20220331_g8.jpg5497558149701


bsprt-20220331_g9.jpg5497558149698

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The following table shows selected data from our commercial mortgage loans, held for investment in our portfolio as of March 31, 20222023 (dollars in thousands):
Loan TypeLoan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield
Loan to Value (2)
Loan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield (5)
Loan to Value (2)
Senior Debt 1Senior Debt 1Hospitality$4,8491 month LIBOR + 4.00%5.0%77.0%Senior Debt 1Hospitality$4,8131 month LIBOR + 4.00%8.86%77.0%
Senior Debt 2Senior Debt 2Hospitality57,0751 month LIBOR + 5.19%6.2%51.8%Senior Debt 2Hospitality57,0751 month LIBOR + 5.19%10.05%51.8%
Senior Debt 3Senior Debt 3Multifamily20,3431 month LIBOR + 4.50%5.5%22.4%Senior Debt 3Multifamily34,5301 month SOFR + 3.03%7.83%63.7%
Senior Debt 4Senior Debt 4Hospitality22,0941 month LIBOR + 6.00%6.5%48.1%Senior Debt 4Multifamily35,2121 month SOFR + 4.50%9.30%83.6%
Senior Debt 5Senior Debt 5Multifamily35,8831 month LIBOR + 3.00%3.8%63.7%Senior Debt 5Hospitality22,0361 month SOFR + 4.25%9.05%68.8%
Senior Debt 6Senior Debt 6Multifamily37,0251 month LIBOR + 3.00%4.5%83.6%Senior Debt 6Office18,6201 month SOFR + 4.75%9.55%70.0%
Senior Debt 7Senior Debt 7Hospitality22,3551 month LIBOR + 3.50%4.8%68.8%Senior Debt 7Office43,7861 month SOFR + 3.56%8.36%71.0%
Senior Debt 8Senior Debt 8Office20,6221 month LIBOR + 3.75%5.8%70.0%Senior Debt 8Hospitality9,5061 month SOFR + 5.57%10.37%68.7%
Senior Debt 9Senior Debt 9Office15,6691 month LIBOR + 3.40%5.3%67.5%Senior Debt 9Hospitality19,2931 month SOFR + 3.84%8.64%62.6%
Senior Debt 10Senior Debt 10Multifamily27,3921 month LIBOR + 3.35%5.3%73.0%Senior Debt 10Hospitality12,9641 month SOFR + 3.02%7.82%56.4%
Senior Debt 11Senior Debt 11Hospitality7,7851 month SOFR + 4.85%6.8%62.5%Senior Debt 11Hospitality4,9741 month LIBOR + 4.25%9.11%47.7%
Senior Debt 12Senior Debt 12Office7,1031 month LIBOR + 3.90%6.0%67.6%Senior Debt 12Hospitality31,4501 month SOFR + 5.25%10.05%31.0%
Senior Debt 13Senior Debt 13Hospitality13,9431 month LIBOR + 4.47%6.7%44.8%Senior Debt 13Office15,1041 month SOFR + 4.00%8.80%70.9%
Senior Debt 14Senior Debt 14Office43,0121 month LIBOR + 3.50%5.8%71.0%Senior Debt 14Office25,8021 month LIBOR + 4.35%9.21%64.9%
Senior Debt 15Senior Debt 15Retail8,2031 month LIBOR + 8.00%8.5%51.6%Senior Debt 15Multifamily10,7611 month SOFR + 4.25%9.05%72.4%
Senior Debt 16(6)Senior Debt 16(6)Hospitality10,5801 month LIBOR + 4.50%6.8%68.7%Senior Debt 16(6)Office32,4391 month SOFR + 4.83%9.64%78.3%
Senior Debt 17Senior Debt 17Hospitality19,9001 month LIBOR + 4.15%6.5%61.8%Senior Debt 17Manufactured Housing1,3235.50%62.8%
Senior Debt 18Senior Debt 18Office39,6501 month LIBOR + 4.11%6.4%68.2%Senior Debt 18Manufactured Housing7,6801 month LIBOR + 4.50%9.36%66.7%
Senior Debt 19Senior Debt 19Hospitality20,9301 month LIBOR + 3.75%6.1%62.6%Senior Debt 19Self Storage29,8951 month LIBOR + 5.00%9.86%58.8%
Senior Debt 20Senior Debt 20Hospitality13,0001 month LIBOR + 2.94%5.4%56.4%Senior Debt 20Multifamily14,5011 month SOFR + 4.83%9.63%70.0%
Senior Debt 21Senior Debt 21Hospitality4,9881 month LIBOR + 4.25%6.5%47.7%Senior Debt 21Manufactured Housing5,0201 month LIBOR + 5.25%10.11%65.9%
Senior Debt 22Senior Debt 22Hospitality12,7501 month LIBOR + 4.45%6.9%62.9%Senior Debt 22Office18,1031 month LIBOR + 4.50%9.36%47.9%
Senior Debt 23Senior Debt 23Retail9,4001 month LIBOR + 4.20%6.3%77.1%Senior Debt 23Office64,9575.15%52.5%
Senior Debt 24Senior Debt 24Hospitality33,9451 month LIBOR + 3.99%5.7%31.0%Senior Debt 24Office35,0001 month LIBOR + 5.21%10.07%66.0%
Senior Debt 25Senior Debt 25Office21,8251 month LIBOR + 3.50%5.4%70.9%Senior Debt 25Office12,7501 month LIBOR + 5.00%9.86%67.8%
Senior Debt 26Senior Debt 26Hospitality7,1001 month LIBOR + 4.00%5.8%70.3%Senior Debt 26Multifamily39,0971 month LIBOR + 4.45%9.31%66.5%
Senior Debt 27Senior Debt 27Multifamily15,5751 month LIBOR + 2.75%4.3%71.7%Senior Debt 27Multifamily12,3631 month LIBOR + 4.55%9.41%73.0%
Senior Debt 28Senior Debt 28Multifamily27,5531 month LIBOR + 3.15%5.0%71.6%Senior Debt 28Multifamily21,0001 month LIBOR + 4.60%9.46%66.7%
Senior Debt 29Senior Debt 29Multifamily24,5001 month SOFR + 3.30%4.8%75.5%Senior Debt 29Office11,1131 month SOFR + 5.56%10.36%63.9%
Senior Debt 30Senior Debt 30Office25,8021 month LIBOR + 4.35%6.1%64.9%Senior Debt 30Office44,0581 month LIBOR + 3.95%8.81%53.9%
Senior Debt 31(2)Senior Debt 31(2)Office58,7141 month LIBOR + 3.70%5.0%65.7%Senior Debt 31(2)Multifamily16,6941 month SOFR + 8.00%12.80%—%
Senior Debt 32Senior Debt 32Multifamily11,6941 month LIBOR + 3.15%4.8%72.4%Senior Debt 32Hospitality23,0001 month LIBOR + 5.79%10.65%57.2%
Senior Debt 33Senior Debt 33Office29,3171 month LIBOR + 2.70%3.2%71.4%Senior Debt 33Multifamily34,7501 month SOFR + 4.10%8.90%78.2%
Senior Debt 34Senior Debt 34Manufactured Housing1,3525.50%5.5%62.8%Senior Debt 34Multifamily12,3251 month LIBOR + 4.50%9.36%83.3%
Senior Debt 35Senior Debt 35Multifamily7,0381 month LIBOR + 4.75%5.8%62.6%Senior Debt 35Multifamily5,5751 month LIBOR + 4.50%9.36%83.6%
Senior Debt 36Senior Debt 36Multifamily4,3001 month LIBOR + 5.50%6.5%87.4%Senior Debt 36Multifamily55,0001 month LIBOR + 3.00%7.86%71.6%
Senior Debt 37Senior Debt 37Manufactured Housing7,6801 month LIBOR + 4.50%5.0%66.7%Senior Debt 37Multifamily14,4651 month LIBOR + 3.39%8.25%70.6%
Senior Debt 38Senior Debt 38Hospitality27,0001 month LIBOR + 6.50%7.0%62.7%Senior Debt 38Multifamily8,8981 month LIBOR + 3.80%8.66%69.9%
Senior Debt 39Senior Debt 39Multifamily50,0001 month LIBOR + 6.69%7.4%80.0%Senior Debt 39Multifamily18,6531 month LIBOR + 6.25%11.11%67.0%
Senior Debt 40Senior Debt 40Self Storage29,8951 month LIBOR + 5.00%5.5%58.8%Senior Debt 40Multifamily19,5361 month LIBOR + 3.60%8.46%70.8%
Senior Debt 41Senior Debt 41Multifamily14,1831 month LIBOR + 4.75%5.3%70.0%Senior Debt 41Multifamily43,0961 month LIBOR + 2.95%7.81%71.6%
Senior Debt 42Senior Debt 42Manufactured Housing3,4001 month LIBOR + 5.00%5.5%58.6%Senior Debt 42Hospitality25,7001 month LIBOR + 5.60%10.46%61.0%
Senior Debt 43Senior Debt 43Multifamily27,5501 month LIBOR + 5.75%6.2%69.8%Senior Debt 43Mixed Use32,5001 month LIBOR + 3.70%8.56%69.7%
Senior Debt 44Senior Debt 44Manufactured Housing5,0201 month LIBOR + 5.25%5.7%65.9%Senior Debt 44Multifamily75,7681 month LIBOR + 2.95%7.81%72.6%
Senior Debt 45Office18,5031 month LIBOR + 4.50%5.3%47.9%
Senior Debt 46Office67,1175.15%5.2%52.5%
Senior Debt 47Office30,9901 month LIBOR + 5.20%5.7%66.0%
Senior Debt 48Office12,7501 month LIBOR + 5.00%5.5%67.8%
Senior Debt 49Multifamily44,0361 month LIBOR + 4.35%4.8%73.2%
Senior Debt 50Multifamily38,0191 month LIBOR + 4.45%4.9%66.5%
Senior Debt 51Retail11,9631 month LIBOR + 4.87%5.3%75.0%
Senior Debt 52Multifamily5,7301 month LIBOR + 5.00%5.5%73.5%
Senior Debt 53Multifamily18,8001 month LIBOR + 4.00%4.5%79.7%
Senior Debt 54Industrial14,9851 month LIBOR + 4.50%5.0%66.3%
60

Table of Contents
Loan TypeLoan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield
Loan to Value (2)
Loan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield (5)
Loan to Value (2)
Senior Debt 45Senior Debt 45Multifamily20,9601 month LIBOR + 3.35%8.21%67.7%
Senior Debt 46Senior Debt 46Multifamily30,2311 month LIBOR + 2.95%7.81%70.4%
Senior Debt 47Senior Debt 47Multifamily35,4661 month LIBOR + 2.95%7.81%71.7%
Senior Debt 48Senior Debt 48Multifamily33,5881 month LIBOR + 2.95%7.81%72.2%
Senior Debt 49Senior Debt 49Hospitality25,7711 month LIBOR + 9.00%13.86%74.2%
Senior Debt 50Senior Debt 50Self Storage15,0001 month LIBOR + 4.26%9.12%74.6%
Senior Debt 51Senior Debt 51Office6,7211 month LIBOR + 5.25%10.11%67.3%
Senior Debt 52 (2)
Senior Debt 52 (2)
Multifamily133,2791 month LIBOR + 4.75%9.61%—%
Senior Debt 53Senior Debt 53Multifamily11,2451 month LIBOR + 3.15%8.01%75.6%
Senior Debt 54Senior Debt 54Hospitality22,0181 month LIBOR + 5.35%10.21%56.8%
Senior Debt 55Senior Debt 55Office11,9811 month LIBOR + 5.50%6.0%68.8%Senior Debt 55Hospitality33,0001 month LIBOR + 6.25%11.11%59.2%
Senior Debt 56Multifamily11,9181 month LIBOR + 4.55%5.0%73.0%
Senior Debt 56 (2)
Senior Debt 56 (2)
Multifamily32,9331 month LIBOR + 8.00%12.86%—%
Senior Debt 57Senior Debt 57Multifamily21,0001 month LIBOR + 4.60%5.1%66.7%Senior Debt 57Multifamily16,2191 month LIBOR + 3.75%8.61%76.9%
Senior Debt 58Senior Debt 58Office26,0001 month LIBOR + 5.00%5.5%63.9%Senior Debt 58Multifamily30,4201 month LIBOR + 3.00%7.86%73.5%
Senior Debt 59Senior Debt 59Multifamily11,6721 month LIBOR + 3.50%4.0%60.1%Senior Debt 59Multifamily42,6971 month LIBOR + 3.15%8.01%71.0%
Senior Debt 60Senior Debt 60Multifamily21,0001 month LIBOR + 4.95%5.4%84.2%Senior Debt 60Multifamily42,8501 month LIBOR + 3.40%8.26%79.9%
Senior Debt 61Senior Debt 61Office43,7511 month LIBOR + 3.94%4.4%53.9%Senior Debt 61Multifamily36,7601 month LIBOR + 3.64%8.50%66.0%
Senior Debt 62Senior Debt 62Multifamily3,2951 month LIBOR + 7.25%7.7%—%Senior Debt 62Multifamily8,5001 month LIBOR + 3.75%8.61%79.4%
Senior Debt 63Senior Debt 63Multifamily5,4001 month LIBOR + 5.25%5.7%83.1%Senior Debt 63Multifamily14,2781 month LIBOR + 3.15%8.01%79.8%
Senior Debt 64Senior Debt 64Hospitality23,0001 month LIBOR + 5.79%6.3%57.2%Senior Debt 64Multifamily13,8491 month LIBOR + 3.75%8.61%64.2%
Senior Debt 65Senior Debt 65Multifamily34,7501 month LIBOR + 6.75%7.2%78.2%Senior Debt 65Multifamily67,1381 month LIBOR + 3.25%8.11%77.1%
Senior Debt 66Senior Debt 66Multifamily12,3251 month LIBOR + 4.50%5.0%83.3%Senior Debt 66Multifamily10,5681 month LIBOR + 3.75%8.61%70.0%
Senior Debt 67Senior Debt 67Multifamily6,3001 month LIBOR + 5.35%5.8%84.0%Senior Debt 67Multifamily27,0151 month LIBOR + 3.20%8.06%77.3%
Senior Debt 68Senior Debt 68Multifamily31,3541 month LIBOR + 3.00%3.5%74.3%Senior Debt 68Hospitality17,1221 month LIBOR + 5.25%10.11%61.0%
Senior Debt 69Senior Debt 69Multifamily12,0381 month LIBOR + 4.25%4.7%76.4%Senior Debt 69Hospitality16,5001 month LIBOR + 7.10%11.96%73.0%
Senior Debt 70Senior Debt 70Multifamily5,5751 month LIBOR + 4.50%5.0%83.6%Senior Debt 70Multifamily56,1501 month LIBOR + 3.10%7.96%78.9%
Senior Debt 71Senior Debt 71Multifamily53,5571 month LIBOR + 3.00%3.5%71.6%Senior Debt 71Multifamily37,8821 month LIBOR + 2.90%7.76%72.2%
Senior Debt 72Senior Debt 72Multifamily14,0451 month LIBOR + 3.39%3.9%70.6%Senior Debt 72Multifamily54,7921 month LIBOR + 3.10%7.96%67.2%
Senior Debt 73Senior Debt 73Multifamily8,4471 month LIBOR + 3.80%4.3%69.9%Senior Debt 73Multifamily38,0391 month LIBOR + 2.90%7.76%72.0%
Senior Debt 74Senior Debt 74Multifamily13,5821 month LIBOR + 4.50%5.0%76.7%Senior Debt 74Multifamily66,4831 month LIBOR + 2.85%7.71%70.6%
Senior Debt 75Senior Debt 75Multifamily18,6531 month LIBOR + 5.25%5.7%67.0%Senior Debt 75Multifamily31,8861 month LIBOR + 3.25%8.11%80.0%
Senior Debt 76Senior Debt 76Multifamily18,2731 month LIBOR + 3.60%4.1%70.8%Senior Debt 76Multifamily62,8501 month LIBOR + 3.35%8.21%78.0%
Senior Debt 77Senior Debt 77Multifamily42,1701 month LIBOR + 2.95%3.4%71.6%Senior Debt 77Multifamily44,2431 month LIBOR + 3.00%7.86%74.8%
Senior Debt 78Senior Debt 78Hospitality25,7851 month LIBOR + 5.60%6.1%61.0%Senior Debt 78Multifamily46,9521 month LIBOR + 2.75%7.61%68.1%
Senior Debt 79Senior Debt 79Mixed Use32,5001 month LIBOR + 3.70%4.2%69.7%Senior Debt 79Multifamily86,0001 month SOFR + 3.24%8.04%60.0%
Senior Debt 80Senior Debt 80Multifamily12,9971 month LIBOR + 3.75%4.2%63.2%Senior Debt 80Multifamily30,1641 month LIBOR + 2.90%7.76%74.2%
Senior Debt 81Senior Debt 81Multifamily71,3341 month LIBOR + 2.95%3.4%72.6%Senior Debt 81Manufactured Housing6,7001 month LIBOR + 4.50%9.36%77.9%
Senior Debt 82Senior Debt 82Multifamily20,4271 month LIBOR + 3.35%3.8%67.7%Senior Debt 82Multifamily58,6801 month LIBOR + 3.45%8.31%74.8%
Senior Debt 83Senior Debt 83Multifamily29,0331 month LIBOR + 2.95%3.4%70.4%Senior Debt 83Multifamily26,9661 month LIBOR + 2.90%7.76%72.1%
Senior Debt 84Senior Debt 84Multifamily35,3071 month LIBOR + 2.95%3.4%71.7%Senior Debt 84Multifamily14,1851 month LIBOR + 3.20%8.06%62.4%
Senior Debt 85Senior Debt 85Multifamily32,5571 month LIBOR + 2.95%3.4%72.2%Senior Debt 85Multifamily37,4941 month LIBOR + 3.00%7.86%73.3%
Senior Debt 86Senior Debt 86Hospitality25,7711 month LIBOR + 9.00%9.5%74.2%Senior Debt 86Multifamily33,9211 month LIBOR + 3.20%8.06%74.5%
Senior Debt 87Senior Debt 87Self Storage15,0001 month LIBOR + 4.26%4.7%74.6%Senior Debt 87Multifamily40,3201 month LIBOR + 2.90%7.76%71.7%
Senior Debt 88Senior Debt 88Multifamily24,5791 month LIBOR + 3.25%3.7%70.8%Senior Debt 88Multifamily66,8711 month LIBOR + 2.88%7.74%74.8%
Senior Debt 89Senior Debt 89Office6,8001 month LIBOR + 5.25%5.7%67.3%Senior Debt 89Multifamily64,0741 month LIBOR + 2.88%7.74%75.5%
Senior Debt 90Multifamily45,2021 month LIBOR + 6.50%7.0%—%
Senior Debt 91Multifamily10,5911 month LIBOR + 3.15%3.6%75.6%
Senior Debt 92Hospitality18,8591 month LIBOR + 5.35%5.8%56.8%
Senior Debt 93Hospitality28,0001 month LIBOR + 6.25%6.7%59.2%
Senior Debt 94Multifamily32,2131 month LIBOR + 3.15%3.6%73.0%
Senior Debt 95Multifamily37,3931 month LIBOR + 3.40%3.9%75.6%
Senior Debt 96Multifamily3,0631 month LIBOR + 8.00%8.5%—%
Senior Debt 97Multifamily29,5001 month LIBOR + 2.88%3.3%68.0%
Senior Debt 98Multifamily14,1931 month LIBOR + 3.75%4.2%76.9%
Senior Debt 99Multifamily29,2501 month LIBOR + 3.00%3.5%73.5%
Senior Debt 100Multifamily35,2071 month LIBOR + 3.15%3.6%71.0%
Senior Debt 101Multifamily42,8501 month LIBOR + 3.40%3.9%79.9%
Senior Debt 102Multifamily35,8231 month LIBOR + 3.64%4.1%66.0%
Senior Debt 103Multifamily8,5001 month LIBOR + 3.75%4.2%79.4%
Senior Debt 104Multifamily14,2001 month LIBOR + 3.15%3.6%79.8%
Senior Debt 105Multifamily13,3501 month LIBOR + 3.75%4.2%64.2%
Senior Debt 106Multifamily66,6501 month LIBOR + 3.25%3.7%77.1%
Senior Debt 107Multifamily18,8531 month LIBOR + 2.95%3.4%72.1%
Senior Debt 108Multifamily9,0991 month LIBOR + 3.75%4.2%70.0%
Senior Debt 109Hospitality34,0121 month SOFR + 6.73%7.0%55.8%
Senior Debt 110Multifamily26,3401 month LIBOR + 3.20%3.7%77.3%
61

Table of Contents
Loan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield
Loan to Value (2)
Senior Debt 111Hospitality17,3701 month LIBOR + 5.25%5.7%61.0%
Senior Debt 112Hospitality16,5001 month LIBOR + 7.10%7.6%73.0%
Senior Debt 113Multifamily13,1681 month LIBOR + 3.40%3.9%78.2%
Senior Debt 114Multifamily88,5001 month LIBOR + 2.75%3.2%50.3%
Senior Debt 115Multifamily56,1501 month LIBOR + 3.10%3.6%78.9%
Senior Debt 116Multifamily37,0511 month LIBOR + 2.90%3.4%72.2%
Senior Debt 117Multifamily52,5761 month LIBOR + 3.10%3.6%67.2%
Senior Debt 118Multifamily37,1001 month LIBOR + 2.90%3.4%72.0%
Senior Debt 119Multifamily62,2251 month LIBOR + 2.85%3.3%70.6%
Senior Debt 120Multifamily30,6001 month LIBOR + 2.65%3.1%59.1%
Senior Debt 121Multifamily30,6501 month LIBOR + 3.25%3.7%80.0%
Senior Debt 122Multifamily62,8501 month LIBOR + 3.35%3.8%78.0%
Senior Debt 123Multifamily43,2281 month LIBOR + 3.00%3.5%74.8%
Senior Debt 124Multifamily46,0801 month LIBOR + 2.75%3.2%68.1%
Senior Debt 125Multifamily86,0001 month SOFR + 3.24%3.5%60.0%
Senior Debt 126Multifamily28,8801 month LIBOR + 2.90%3.4%74.2%
Senior Debt 127Manufactured Housing6,7001 month LIBOR + 4.50%5.0%77.9%
Senior Debt 128Multifamily58,6801 month LIBOR + 3.45%3.9%74.8%
Senior Debt 129Multifamily26,6001 month LIBOR + 2.90%3.4%72.1%
Senior Debt 130Multifamily12,4781 month LIBOR + 3.20%3.7%62.4%
Senior Debt 131Multifamily35,9961 month LIBOR + 3.00%3.5%73.3%
Senior Debt 132Multifamily32,2501 month LIBOR + 3.20%3.7%74.5%
Senior Debt 133Multifamily38,6311 month LIBOR + 2.90%3.4%71.7%
Senior Debt 134Multifamily64,2811 month LIBOR + 2.88%3.3%74.8%
Senior Debt 135Multifamily62,0031 month LIBOR + 2.88%3.3%75.5%
Senior Debt 136Multifamily16,5701 month SOFR + 3.50%3.8%71.7%
Senior Debt 137Multifamily56,9301 month LIBOR + 2.75%3.2%73.9%
Senior Debt 138Multifamily65,0001 month SOFR + 5.14%5.4%74.7%
Senior Debt 139Multifamily22,2401 month SOFR + 2.96%3.3%79.4%
Senior Debt 140Multifamily25,5731 month SOFR + 2.96%3.3%72.9%
Senior Debt 141Multifamily31,6781 month SOFR + 3.20%3.5%74.2%
Senior Debt 142Multifamily78,0501 month SOFR + 3.45%3.8%78.8%
Senior Debt 143Multifamily77,8701 month SOFR + 3.21%3.5%76.1%
Senior Debt 144Multifamily24,0001 month SOFR + 3.10%3.4%72.7%
Senior Debt 145Retail31,0001 month SOFR + 3.29%3.6%42.5%
Senior Debt 146Multifamily22,3011 month SOFR + 2.95%3.3%65.6%
Senior Debt 147Multifamily10,6001 month SOFR + 3.30%3.6%75.7%
Senior Debt 148Multifamily47,4441 month SOFR + 2.86%3.2%68.2%
Senior Debt 149Multifamily36,8241 month SOFR + 2.86%3.2%69.7%
Senior Debt 150Hospitality10,3001 month SOFR + 5.30%5.6%68.2%
Senior Debt 151Retail20,6501 month SOFR + 4.95%5.3%63.3%
Senior Debt 152Multifamily82,0001 month SOFR + 3.20%3.5%74.5%
Senior Debt 153Industrial55,0001 month SOFR + 3.50%3.8%70.1%
Senior Debt 154Multifamily38,3201 month SOFR + 3.10%3.4%74.1%
Senior Debt 155Multifamily34,0001 month SOFR + 2.95%3.3%63.1%
Senior Debt 156Mixed Use19,0001 month SOFR + 3.42%3.7%65.1%
Senior Debt 157Multifamily85,5001 month SOFR + 3.15%3.5%69.6%
Senior Debt 158Multifamily31,0951 month SOFR + 3.30%3.6%76.9%
Senior Debt 159Hospitality43,0511 month SOFR + 4.90%5.2%61.1%
Senior Debt 160Hospitality17,1175.99%6.0%52.9%
Mezzanine Loan 1Multifamily6,5001 month LIBOR + 10.25%11.0%90.4%
Mezzanine Loan 2Multifamily3,0001 month LIBOR + 9.20%10.0%62.2%
Mezzanine Loan 3Multifamily10,0001 month SOFR + 15.29%15.6%86.2%
Mezzanine Loan 4Retail3,0001 month SOFR + 12.00%12.3%46.6%
Mezzanine Loan 5Hospitality4,1131 month SOFR + 14.45%14.8%62.5%
Mezzanine Loan 6Mixed Use1,0001 month SOFR + 11.00%11.3%68.5%
Loan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield (5)
Loan to Value (2)
Senior Debt 90Multifamily16,9091 month SOFR + 3.50%8.30%71.7%
Senior Debt 91Multifamily57,6601 month LIBOR + 2.75%7.61%73.9%
Senior Debt 92Multifamily66,5431 month SOFR + 6.03%10.83%74.7%
Senior Debt 93Multifamily22,2401 month SOFR + 2.96%7.76%79.4%
Senior Debt 94Multifamily25,7461 month SOFR + 2.96%7.76%72.9%
Senior Debt 95Multifamily31,6781 month SOFR + 3.20%8.00%74.2%
Senior Debt 96Multifamily78,0501 month SOFR + 3.45%8.25%78.8%
Senior Debt 97Multifamily81,2471 month SOFR + 3.21%8.01%76.1%
Senior Debt 98Multifamily24,0001 month SOFR + 3.10%7.90%72.7%
Senior Debt 99Retail31,0001 month SOFR + 3.29%8.09%42.5%
Senior Debt 100Multifamily38,2341 month SOFR + 3.55%8.35%66.2%
Senior Debt 101Multifamily23,1981 month SOFR + 2.95%7.75%65.6%
Senior Debt 102Multifamily10,7241 month SOFR + 3.30%8.10%75.7%
Senior Debt 103Multifamily47,4441 month SOFR + 2.86%7.66%68.2%
Senior Debt 104Multifamily36,8241 month SOFR + 2.86%7.66%69.7%
Senior Debt 105Hospitality10,4931 month SOFR + 5.30%10.10%68.2%
Senior Debt 106Retail14,6761 month SOFR + 4.95%9.75%63.3%
Senior Debt 107Multifamily82,0001 month SOFR + 3.20%8.00%74.5%
Senior Debt 108Industrial55,0001 month SOFR + 3.50%8.30%70.1%
Senior Debt 109Multifamily39,3251 month SOFR + 3.10%7.90%74.1%
Senior Debt 110Multifamily35,1191 month SOFR + 2.95%7.75%63.1%
Senior Debt 111Mixed Use18,9681 month SOFR + 3.42%8.22%65.1%
Senior Debt 112Multifamily85,5001 month SOFR + 3.15%7.95%69.6%
Senior Debt 113Multifamily31,2821 month SOFR + 3.30%8.10%76.9%
Senior Debt 114 (2)
Hospitality2,0291 month SOFR + 7.05%11.85%—%
Senior Debt 115 (2) (4)
Multifamily1 month SOFR + 6.75%11.55%—%
Senior Debt 116Hospitality43,4571 month SOFR + 4.90%9.70%61.1%
Senior Debt 117Hospitality11,6801 month SOFR + 5.22%10.02%57.7%
Senior Debt 118Multifamily7,2861 month SOFR + 7.02%11.82%15.9%
Senior Debt 119Multifamily32,1371 month SOFR + 6.05%10.85%62.4%
Senior Debt 120Multifamily56,6161 month SOFR + 3.95%8.75%73.2%
Senior Debt 121Multifamily29,0911 month SOFR + 4.00%8.80%70.9%
Senior Debt 122Multifamily52,3961 month SOFR + 6.70%11.50%46.5%
Senior Debt 123Multifamily12,3471 month SOFR + 3.55%8.35%67.7%
Senior Debt 124 (3)
Retail38,4261 month SOFR + 4.50%9.30%72.3%
Senior Debt 125Industrial23,0501 month SOFR + 4.90%9.70%64.6%
Senior Debt 126Multifamily19,5481 month SOFR + 3.50%8.30%64.5%
Senior Debt 127Multifamily17,6001 month SOFR + 4.55%9.35%67.2%
Senior Debt 128Multifamily28,6401 month SOFR + 3.65%8.45%71.0%
Senior Debt 129Multifamily17,3301 month SOFR + 3.65%8.45%73.9%
Senior Debt 130Multifamily70,7501 month SOFR + 3.80%8.60%77.9%
Senior Debt 131Multifamily82,4081 month SOFR + 3.95%8.75%71.8%
Senior Debt 132Multifamily43,8221 month SOFR + 3.95%8.75%75.9%
Senior Debt 133Multifamily56,6941 month SOFR + 3.95%8.75%73.7%
Senior Debt 134Multifamily20,4111 month SOFR + 3.95%8.75%75.1%
62

Table of Contents
Loan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield
Loan to Value (2)
$4,562,4844.5%68.2%
Loan TypeProperty TypePar Value
Interest Rate (1)
Effective Yield (5)
Loan to Value (2)
Senior Debt 135Multifamily136,6571 month SOFR + 3.95%8.75%67.8%
Senior Debt 136Multifamily56,0001 month SOFR + 3.80%8.60%73.8%
Senior Debt 137Multifamily11,6751 month SOFR + 4.45%9.25%74.8%
Senior Debt 138Multifamily69,2001 month SOFR + 3.45%8.25%71.6%
Senior Debt 139Multifamily92,9231 month SOFR + 6.52%7.57%50.1%
Senior Debt 140Hospitality29,6441 month SOFR + 6.94%11.74%71.2%
Senior Debt 115 (2) (4)
Multifamily1 month SOFR + 6.31%11.11%—%
Senior Debt 142Hospitality13,5251 month SOFR + 5.75%10.55%62.1%
Senior Debt 143Manufactured Housing10,5501 month SOFR + 4.75%9.55%53.8%
Senior Debt 144Multifamily47,2931 month SOFR + 4.20%9.00%70.1%
Senior Debt 145Multifamily51,0001 month SOFR + 3.75%8.55%64.6%
Senior Debt 146Multifamily14,6351 month SOFR + 4.25%9.05%68.1%
Senior Debt 147Hospitality28,3001 month SOFR + 5.25%10.05%54.9%
Senior Debt 148 (4)
Hospitality1 month SOFR + 7.50%12.30%6.2%
Senior Debt 149Hospitality120,0001 month SOFR + 4.90%9.70%53.6%
Senior Debt 150Hospitality16,9155.99%5.99%52.9%
Mezzanine Loan 1Multifamily3,0001 month SOFR + 9.23%14.03%62.2%
Mezzanine Loan 2Multifamily10,0001 month SOFR + 16.29%21.09%86.2%
Mezzanine Loan 3Retail3,0001 month SOFR + 12.00%16.80%46.6%
Mezzanine Loan 4Mixed Use1,0001 month SOFR + 11.00%15.80%68.5%
Mezzanine Loan 5 (4)
Hospitality1 month SOFR + 10.00%14.80%6.2%
Mezzanine Loan 6Hospitality1,3501 month SOFR + 9.25%14.05%64.6%
Mezzanine Loan 7 (4)
Multifamily1 month SOFR + 4.50%9.30%58.2%
$5,076,2108.70%66.1%
__________________________________________________________________________________
(1) Our floating rate loan agreements generally contain the contractual obligation for the borrower to maintain an interest rate cap to protect against rising interest rates. In a simple interest rate cap, the borrower pays a premium for a notional principal amount based on a capped interest rate (the “cap rate”). When the floating rate exceeds the cap rate, the borrower receives a payment from the cap counterparty equal to the difference between the floating rate and the cap rate on the same notional principal amount for a specified period of time. When interest rates rise, the value of an interest rate cap will increase, thereby reducing the borrower's exposure to rising interest rates.
(2) Loan to value percentage is from metrics at origination. Predevelopment construction loans at origination will not have an LTV and therefore is nil.
(3) Loan was designated as non-performing and placed on cost recovery status. In this instance, the assumed collateral value was less than the value of the loan, therefore the LTV at origination is not relevant.
(4) Commitment on the loan was unfunded as of March 31, 2023.
(5) Effective yield is calculated as the spread of the loan plus the higher of any applicable index or index floor.
(6) Includes $7.4 million of amortized cost of mezzanine note as a result of a loan modification accounted for as a continuation of an existing loan for GAAP purposes. Interest Rate, Effective Yield, and Loan to Value are shown blended based on the weighted average principal balances of the senior and mezzanine notes.
The following table shows selected data from our commercial mortgage loans, held for sale, measured at fair value as of March 31, 20222023 (dollars in thousands):
Loan TypeProperty TypePar ValueInterest RateEffective Yield
Loan to Value (1)
TRS Senior Debt 1Retail$10,0004.0%4.0%64.5%
TRS Senior Debt 2Hospitality6,4004.9%4.9%52.9%
TRS Senior Debt 3Retail4,3004.5%4.5%59.3%
TRS Senior Debt 4Multifamily6,5004.6%4.6%52.0%
TRS Senior Debt 5Hospitality13,1005.1%5.1%62.4%
TRS Senior Debt 6Mixed Use2,7505.4%5.4%51.9%
TRS Senior Debt 7Retail40,2504.8%4.8%62.9%
TRS Senior Debt 8Office12,1933.6%3.6%63.2%
TRS Senior Debt 9Hospitality12,9573.3%3.3%44.7%
$108,4504.4%59.2%
Loan TypeProperty TypePar ValueInterest RateEffective Yield
Loan to Value (1)
TRS Senior Debt 1Retail$12,000 7.05%7.05%43.48%
TRS Senior Debt 2Office3,625 6.35%6.35%51.42%
$15,625 6.89%45.32%
__________________________________________________________________________________
(1) Loan to value percentage is from metrics at origination. Predevelopment construction loans at origination will not have an LTV at origination and therefore is nil.
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The following table shows selected data from our real estate owned, assetheld for investment assets in our portfolio as of March 31, 20222023 (dollars in thousands):
TypeProperty TypeCarrying Value
Real Estate Owned 1Industrial$89,47387,170 
Real Estate Owned 2Retail61,454 
$89,473148,624 
The following table shows selected data from our real estate owned, held for sale assets in our portfolio as of March 31, 2023 (dollars in thousands):
TypeProperty TypeCarrying Value
Real Estate Owned, held for saleVarious$35,158
The following is a summary of the Company's RMBS, all of which were ARM Agency Securities, classified by collateral type and interest rate characteristics as of March 31, 20222023 (dollars in thousands):
TypeCarrying
Amount
Average
Yield (1)
Agency Securities:
   Fannie Mae/Freddie Mac ARMs$1,678 2.34 %
   Ginnie Mae ARMs271 2.68 %
$1,949 2.37 %
________________________
TypeCarrying Amount
Average Yield (1)
Agency Securities:
   Fannie Mae/Freddie Mac ARMs$133,705 2.71 %

(1) Average yield is presented for the period then ended and is based on the cash component of interest income expressed as a percentage on average cost basis (the “cash yield”).
The following table shows selected data from our real estate securities, CRE CLO bonds, measured at fair value as of March 31, 2023 (dollars in thousands):
TypePar Value Interest Rate Effective Yield
CRE CLO bond 1$40,000 1 month SOFR + 2.78%7.5%
CRE CLO bond 225,000 1 month SOFR + 3.23%7.9%
CRE CLO bond 328,340 1 month SOFR + 2.90%7.6%
CRE CLO bond 45,885 1 month SOFR + 2.83%7.5%
CRE CLO bond 514,382 1 month SOFR + 3.48%8.1%
$113,607 

Results of Operations
We conduct ourThe 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 mortgage loans,mortgages, subordinate mortgages, mezzanine loans and participations in such loans.
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The real estate securities business focuses on investing in and asset managing real estate securities. Historically this business has focused primarily on CMBS, unsecured REIT debt,CRE CLO bonds, CDO notes and other securities. As a result of the October 2021 acquisition of Capstead, the Company acquired and continues to hold a significant portfolio of ARM Agency Securities. The Company intends to reinvest the cash and proceeds from dividends, interest, repayments and sales of these assets into its other segments and does not intend to continue to invest in ARM Agency Securities or RMBS in general. As of March 31, 2022, all of the real estate securities in this segment were ARM Agency Securities acquired in the Capstead acquisition.
The Conduitcommercial real estate conduit business operated through the Company's TRS, which is focused on generating superior risk-adjusted returns by originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market at a profit.
The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase.
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Comparison of the Three Months Ended March 31, 20222023 to the Three Months Ended March 31, 2022
Net Interest Income
Net interest income is generated on our interest-earning assets less related interest-bearing liabilities and is recorded as part of our real estate debt, real estate securities and TRS segments.
The following table presents the average balance of interest-earning assets less related interest-bearing liabilities, associated interest income and expense and corresponding yield earned and incurred for the three months ended March 31, 2023 and March 31, 2022 (dollars in thousands):
Three Months Ended March 31,
20232022
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Interest-earning assets:
Real estate debt$5,127,298$126,6469.8%$4,361,119$55,6875.1%
Real estate conduit15,6253228.2%92,0716863.0%
Real estate securities280,2333,5685.1%3,199,82618,8852.4%
Total$5,423,156$130,5369.6%$7,653,016$75,2583.9%
Interest-bearing liabilities:
Repurchase Agreements - commercial mortgage loans$671,580$14,5338.7%$813,144$7,6053.7%
Other financing and loan participation - commercial mortgage loans72,1601,4408.0%38,3443763.9%
Repurchase Agreements - real estate securities274,9353,4465.0%3,100,1571,3910.2%
Collateralized loan obligations3,110,15349,5376.4%2,513,33011,7741.9%
Unsecured debt98,7082,1198.6%105,8291,3345.0%
Total$4,227,536$71,0756.7%$6,570,804$22,4801.4%
Net interest income/spread$59,4612.9%$52,7782.5%
Average leverage % (5)
78.0 %85.9 %
Weighted average levered yield (6)
19.9 %19.5 %
_________________________________________________
(1) Based on amortized cost for real estate debt and real estate securities and principal amount for interest-bearing liabilities. Amounts are calculated based on daily averages for the three months ended March 31, 2023 and March 31, 2022, respectively.
(2) Includes the effect of amortization of premium or accretion of discount and deferred fees.
(3) Calculated as interest income or expense divided by average carrying value.
(4) Annualized.
(5) Calculated by dividing total average interest-bearing liabilities by total average interest-earning assets.
(6) Calculated by dividing net interest income/spread by the average interest-earning assets less average interest-bearing liabilities.
Interest Income
Interest income for the three months ended March 31, 2023 and March 31, 2022 totaled $130.5 million and $75.3 million, respectively, an increase of $55.2 million. This was primarily due to an increase of $766.2 million in the average carrying value of our real estate debt and an approximate 440 basis point increase in daily average LIBOR/SOFR rates. As of March 31, 2023, our portfolio consisted of (i) 157 commercial mortgage loans, held for investment, (ii) two commercial mortgage loans, held for sale, measured at fair value, (iii) five real estate securities, available for sale, measured at fair value and (iv) RMBS investments. As of March 31, 2022, our portfolio consisted of 166 commercial mortgage loans, held for investment, nine commercial mortgage loans, held for sale, measured at fair value and RMBS securities.
Interest Expense
Interest expense for the three months ended March 31, 2023 and March 31, 2022 totaled $71.1 million and $22.5 million, respectively, an increase of $48.6 million. This was primarily due to an increase of $596.8 million in the average carrying value of our collateralized loan obligations and an approximate 440 basis point increase in daily average LIBOR/SOFR rates.
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Revenue from Real Estate Owned
For the three months ended March 31, 2023 and March 31, 2022, our revenue from real estate owned, net was $3.3 million and $2.3 million, respectively. The $1.0 million increase was primarily the result of an additional retail properties brought on as real estate owned, held for investment.
Provision/(Benefit) for Credit losses
Our allowance for credit losses was $4.4 million during the three months ended March 31, 2023 compared to a benefit of $1.0 million during three months ended March 31, 2022. The following paragraphs set forth explanations for changes in the general and specific reserves for the three months ended March 31, 2023 and 2022.
For the three months ended March 31, 2023, the increase in general reserve of $3.5 million is primarily due to a more pessimistic view of the macroeconomic scenario utilized for the CECL model offset slightly by a decreased loan portfolio compared to the preceding period of December 31, 2022. Comparatively, for quarter ended March 31, 2022, the benefit in general reserve of $1.0 million was driven by a positive economic outlook comparatively to the prior period of December 31, 2021.
For the three months ended March 31, 2023, the increase in specific reserve of $0.8 million is due to higher capitalization rates on the assumed fair value of the Walgreens properties which was partially offset by the cost recovery proceeds received during the quarter. Comparatively, for the quarter ended March 31, 2022, there had been no specific reserve.
Realized (Gain)/Loss on Extinguishment of Debt
Realized gain on extinguishment for debt for the three months ended March 31, 2023 was $4.8 million primarily related to the redemption of $17.5 million of our $100 million par value unsecured debt at a price equal to 75% of par. For the quarter ended March 31, 2022, there were no redemptions.
Realized (Gain)/Loss on Sale of Available for Sale Trading Securities
Realized gain on sale of available for sale trading securities for the three months ended March 31, 2023 was $0.6 million due to the sale of four CRE CLO bonds. For the quarter ended March 31, 2022, there were no sales of available for sale trading securities.
Realized (Gain)/Loss on Sale of Commercial Mortgage Loans, Held for Sale, Measured at Fair Value
There were no sales of commercial mortgage loans, held for sale, measured at fair value for three months ended March 31, 2023. Therefore, there was no realized gain. Realized gain on commercial mortgage loans, held for sale, measured at fair value for the three months ended March 31, 2022 of $1.9 million was related to the $75.9 million sale of a fixed-rate commercial real estate loan into the CMBS securitization market with proceeds on the sale of $77.8 million.
Unrealized (Gain)/Loss on Commercial Mortgage Loans, Held for Sale, Measured at Fair Value
Unrealized gain on commercial mortgage loans, held for sale, measured at fair value, at the TRS for the three months ended March 31, 2023 was $0.3 million compared to a loss of $0.9 million for the three months ended March 31, 2022. The $1.3 million increase is primarily resulting from the change in market values of these loans.
(Gain)/Loss on Other Real Estate Investments
Loss on other real estate investments for the three months ended March 31, 2023 and March 31, 2022 was $1.3 million and $29.0 thousand, respectively. The $1.3 million increased loss is a result of additional loss on our real estate owned, held for sale asset.
Trading (Gain)/Loss
Trading gain for the three months ended March 31, 2023 of $3.0 million was attributable to principal paydowns, changes in market values and gains on sales of ARM Agency Securities.This is compared to trading loss for the three months ended March 31, 2022 of $88.4 million attributable to principal paydowns, changes in market values and losses on sales of ARM Agency Securities.
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Net Result from Derivative Transactions
Net result from derivative transactions for the three months ended March 31, 2023 of a $0.3 million loss is composed of a realized gain of $44.0 thousand offset by an unrealized loss of $0.3 million primarily due to the decreasing values on our interest rate swap portfolio. This is compared to a net gain on our derivative portfolio of $29.1 million composed of a realized gain of $34.0 million partially offset by an unrealized loss of $5.0 million for the three months ended March 31, 2022 primarily due to termination and settlement of our interest rate swap positions.
Provision/(Benefit) for Income Tax
Benefit for income tax for the three months ended March 31, 2023 was $0.7 million compared to $24.0 thousand for the three months ended March 31, 2022. The difference is due to change in taxable income/(loss) at our TRS.
Net (Income)/Loss Attributable to Non-controlling Interest
Net loss attributable to non-controlling interest in our consolidated joint ventures for the three months ended March 31, 2023 amounted to $9.0 thousand.
Preferred Share Dividends of Franklin BSP Realty Trust, Inc.
Preferred share dividends were $6.7 million for the three months ended March 31, 2023, compared to $21.0 million for the prior year's quarter, a decrease of $14.3 million. The decrease is primarily due to the automatic conversion into Common Stock of the Company's Series F Convertible Preferred Stock in April 2022, Series C Convertible Preferred Stock in October 2022 and Series I Convertible Preferred Stock in January 2023 (see Note 12 - Share-based Compensation).
Expenses from operations
Expenses from operations for the three months ended March 31, 2023 and 2022 consisted of the following (dollars in thousands):
Three Months Ended March 31,
20232022
Asset management and subordinated performance fee$8,085 $6,745 
Administrative services expenses4,029 3,353 
Acquisition expenses378 315 
Professional fees4,814 6,159 
Share-based compensation expense1,022 500 
Depreciation and amortization1,805 1,295 
Other expenses2,166 1,762 
Total expenses from operations$22,299 $20,129 
The increase in our operating expenses was primarily related to (i) an increase in asset management and subordinated performance fees due to incentive fees incurred for the quarter ended March 31, 2023 of $1.9 million, (ii) an increase in shared-based compensation expense of $0.4 million due to the equity awards issued under the Company's 2021 Incentive Plan during the quarter ended March 31, 2023, and partially offset by (iii) a decrease in professional fees is primarily related to the reduction in legal costs associated with our recovery efforts related to a hotel asset and the Walgreens properties.
Comparison of the Three Months Ended March 31, 2023 to the Three Months Ended December 31, 2022
Net Interest Income
Net interest income is generated on our interest-earning assets less related interest-bearing liabilities and is recorded as part of our real estate debt, real estate securities and TRS segments.
The following table presents the average balance of interest-earning assets less related interest-bearing liabilities, associated interest income and expense and corresponding yield earned and incurred for the three months ended March 31, 20222023 and MarchDecember 31, 20212022 (dollars in thousands):
Three Months Ended March 31,
20222021
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Interest-earning assets:
Real estate debt$4,361,119$55,6875.1%$2,723,798$40,7576.0%
Real estate conduit92,0716863.0%116,7811,0563.6%
Real estate securities3,199,82618,8852.4%79,6684242.1%
Total$7,653,016$75,2583.9%$2,920,247$42,2375.8%
Interest-bearing liabilities:
Repurchase Agreements - commercial mortgage loans$813,144$7,6053.7%$340,485$2,8303.3%
Other financing and loan participation - commercial mortgage loans38,3443763.9%44,9395274.7%
Repurchase Agreements - real estate securities3,100,1571,3910.2%123,3221,2464.0%
Collateralized loan obligations2,513,33011,7741.9%1,598,5326,7661.7%
Unsecured debt105,8291,3345.0%
Total$6,570,804$22,4801.4%$2,107,278$11,3692.2%
Net interest income/spread$52,7782.5%$30,8683.6%
Average leverage % (5)
85.9 %72.2 %
Weighted average levered yield (6)
19.5 %15.2 %
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Three Months Ended
March 31, 2023December 31, 2022
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Interest-earning assets:
Real estate debt$5,127,298$126,6469.8%$5,261,204$110,9618.4%
Real estate conduit15,6253228.2%46,8582,36320.2%
Real estate securities280,2333,5685.1%407,6994,7794.7%
Total$5,423,156$130,5369.6%$5,715,761$118,1038.3%
Interest-bearing liabilities:
Repurchase Agreements - commercial mortgage loans$671,580$14,5338.7%$729,330$14,1207.7%
Other financing and loan participation - commercial mortgage loans72,1601,4408.0%59,5083102.1%
Repurchase Agreements - real estate securities274,9353,4465.0%394,4914,3504.4%
Collateralized loan obligations3,110,15349,5376.4%3,180,16343,4855.5%
Unsecured debt98,7082,1198.6%98,6831,9998.1%
Total$4,227,536$71,0756.7%$4,462,175$64,2645.8%
Net interest income/spread$59,4612.9%$53,8392.5%
Average leverage % (5)
78.0 %78.1 %
Weighted average levered yield (6)
19.9 %17.2 %
_________________________________________________
(1) Based on amortized cost for real estate debt and real estate securities and principal amount for repurchase agreements.interest-bearing liabilities. Amounts are calculated based on daily averages for the three months ended March 31, 20222023 and MarchDecember 31, 2021,2022, respectively.
(2) Includes the effect of amortization of premium or accretion of discount and deferred fees.
(3) Calculated as interest income or expense divided by average carrying value.
(4) Annualized.
(5) Calculated by dividing total average interest-bearing liabilities by total average interest-earning assets.
(6) Calculated by dividing net interest income/spread by the net average interest-earning assets andless average interest-bearing liabilities.
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Interest incomeIncome
Interest income for the three months ended March 31, 2023 and December 31, 2022 and March 31, 2021 totaled $75.3$130.5 million and $42.2$118.1 million, respectively, an increase of $33.1$12.4 million. This was primarily due to (i) $14.9 millionan approximate 83 basis point increase in average LIBOR/SOFR rates which was partially offset by a decrease of higher interest income attributed to an increase of $1,637.3$133.9 million in the average carrying value of our real estate debt assetsdebt. As of March 31, 2023, our portfolio consisted of (i) 157 commercial mortgage loans, held for investment, (ii) two commercial mortgage loans, held for sale, (iii) five real estate securities, available for sale, measured at fair value and (ii) $18.5(iv) RMBS investments.
Interest Expense
Interest expense for the three months ended March 31, 2023 and December 31, 2022 totaled $71.1 million of higher interest income attributed toand $64.3 million, respectively, an increase of $3,120.2$6.8 million. This was primarily due to an approximate 83 basis point increase in average LIBOR/SOFR rates which was partially offset by a decrease of $127.8 million in the average carrying balance of our repurchase agreements - commercial mortgage loans and collateralized loan obligations. In addition, interest expense on our repurchase agreements on real estate securities decreased. This is due to a decrease of $119.6 million in the average carrying value due to sales of our real estate securities within the ARM Agency Securities portfolio totaling $235.7 million in principal balance during the three months ended December 31, 2022 offset by a 174 basis point increase in average borrowing rates on the ARM Agency Securities portfolio. As of
Revenue from Real Estate Owned
For the three months ended March 31, 2023 and December 31, 2022, our portfolio consistedrevenue from real estate owned, net was $3.3 million and $2.7 million, respectively. The $0.6 million increase was primarily the result of 166 commercial mortgage loans,the retail properties brought on as real estate owned, held for investment, nineinvestment.
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Provision/(Benefit) for Credit losses
Our allowance for credit losses was $4.4 million during the three months ended March 31, 2023 compared to an increase of $5.1 million during the three months ended December 31, 2022. The following paragraphs set forth explanations for changes in the general and specific reserves for the three months ended March 31, 2023 and December 31, 2022.
For the three months ended March 31, 2023 and December 31, 2022, the increase in general reserve of $3.5 million and $7.5 million, respectively, is primarily due to a more pessimistic view of the macroeconomic scenario utilized for the CECL model offset slightly by a decreased loan portfolio.
For the three months ended March 31, 2023, the increase in specific reserve of $0.8 million is due to higher capitalization rates on the assumed fair value of the Walgreens properties which was partially offset by the cost recovery proceeds received during the quarter. Comparatively, for the quarter ended December 31, 2022, the $2.3 million reversal of the specific provision for credit losses was primarily due to cost recovery proceeds related to the Walgreens properties.
Realized (Gain)/Loss on Extinguishment of Debt
Realized gain on extinguishment for debt for the three months ended March 31, 2023 and December 31, 2022 was $4.8 million and $15.0 thousand. The $4.8 million for the three months ended March 31, 2023 was primarily the result of the redemption of $17.5 million of our $100 million par value unsecured debt at a price equal to 75% par. For the quarter ended December 31, 2022, there were no redemptions.
Realized (Gain)/Loss on Sale of Available for Sale Trading Securities
Realized gain on sale of available for sale trading securities for the three months ended March 31, 2023 of $0.6 million was primarily due to the sale of four CRE CLO bonds. For the quarter ended December 31, 2022, there were no sales of available for sale trading securities.
Realized (Gain)/Loss on Sale of Commercial Mortgage Loans, Held for Sale, Measured at Fair Value
There were no sales of commercial mortgage loans, held for sale, measured at fair value and RMBS securities.
Interest expense
Interest expensefor three months ended March 31, 2023. Therefore, there was no realized gain. Realized gain on commercial mortgage loans, held for sale, measured at fair value for the three months ended MarchDecember 31, 2022 and March 31, 2021 totaled $22.5of $2.5 million and $11.4was related to the $52.5 million respectively, an increasesale of $11.1 million. This was primarily due to (i) $4.8 million of higher interest expense attributed to an increase of $472.7 million in the average carrying value of our repurchase agreements ona fixed-rate commercial mortgage loans and (ii) $5.0 million of higher interest expense attributed to an increase of $914.8 million in the average carrying value of our real estate debt assets.loan into the CMBS securitization market with proceeds on the sale of $50.0 million.
Realized Gain/Unrealized (Gain)/Loss on Commercial Mortgage Loans, Held for Sale, Measured at Fair Value
RealizedUnrealized gain on commercial mortgage loans, held for sale, measured at fair value, at the TRS for the three months ended March 31, 2023 was $0.3 million compared to $3.2 million for the three months ended December 31, 2022. The $2.9 million decrease is primarily resulting from the reversal of unrealized gain/loss on sale of a fixed-rate commercial real estate loan into the CMBS securitization market.
(Gain)/Loss on Other Real Estate Investments
Loss on other real estate investments for the three months ended March 31, 2023 of $1.3 million compared to $0.7 million for the three months ended December 31, 2022, an increase in loss of $0.6 million related to our real estate owned, held for sale property.
Trading (Gain)/Loss
Trading gain for the three months ended March 31, 2023 was $1.9$3.0 million attributable to principal paydowns, changes in market values and gains on sales of ARM Agency Securities. This is compared to a trading loss of $5.5 million for the three months ended December 31, 2022 attributable to principal paydowns, changes in market values on ARM Agency Securities.
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Net Result from Derivative Transactions
Net result from derivative transactions for the three months ended March 31, 2023 of a $0.3 million loss is composed of a realized gain of $44.0 thousand offset by an unrealized loss of $0.3 million primarily due to termination and settlement of our interest rate swap positions throughout the quarter.This is compared to a net result on our derivative portfolio of a $0.6 million loss composed of an unrealized loss of $3.0 million partially offset by a realized gain of $2.4 million for the three months ended December 31, 2022 primarily due to termination and settlement of our interest rate swap positions despite increasing values on our interest rate swap portfolio.
Provision/(Benefit) for Income Tax
Benefit for income tax for the three months ended March 31, 2023 was $0.7 million compared to a realized gainbenefit for income tax of $6.6$0.7 million for the three months ended December 31, 2022.
Net (Income)/Loss Attributable to Non-controlling Interest
Net loss attributable to non-controlling interest in our consolidated joint ventures for the three months ended March 31, 2023 amounted to $9.0 thousand compared to $0.2 million for the three months ended December 31, 2022.
Preferred Share Dividends of Franklin BSP Realty Trust, Inc.
Preferred share dividends were $6.7 million for the three months ended March 31, 2021. The $4.7 million decrease in realized gain was due to the difference in proceeds received between the one sale of fixed-rate commercial real estate loans into the CMBS securitization market during the three months ended March 31, 20222023 compared to the one sale during the three months ended March 31, 2021. Proceeds from sale were $77.8$6.9 million for the three months ended MarchDecember 31, 2022 compared to $147.9 million for the three months ended March 31, 2021.
Realized Gain/Loss on Real Estate Securities Available for Sale
For the three months ended March 31, 2022 there was no realized gain/loss on our real estate securities, available for sale, measured at fair value. For the three months ended March 31, 2021 our real estate securities, available for sale, measured at fair value had a realized loss of $1.1 million, included within the consolidated statements of operations. The loss is attributable to 8 sales of CMBS securities during the three months ended March 31, 2021.2022.
Expenses from operationsOperations
Expenses from operations for the three months ended March 31, 20222023 and MarchDecember 31, 20212022 consisted of the following (dollars in thousands):
Three Months Ended March 31, Three Months Ended
20222021March 31, 2023December 31, 2022
Asset management and subordinated performance feeAsset management and subordinated performance fee$6,745 $5,416 Asset management and subordinated performance fee$8,085 $6,381 
Administrative services expensesAdministrative services expenses3,353 3,474 Administrative services expenses4,029 3,526 
Acquisition expensesAcquisition expenses315 153 Acquisition expenses378 364 
Professional feesProfessional fees6,659 1,997 Professional fees4,814 4,278 
Share-based compensation expenseShare-based compensation expense1,022 669 
Depreciation and amortizationDepreciation and amortization1,295 406 Depreciation and amortization1,805 1,522 
Other expensesOther expenses1,762 495 Other expenses2,166 1,723 
Total expenses from operationsTotal expenses from operations$20,129 $11,941 Total expenses from operations$22,299 $18,463 
Overall,The increase in our operating expenses increased during the three months ended March 31, 2022, compared to March 31, 2021 due to an increase in our total portfolio size as a result of the Capstead acquisition. Professional fees saw a much higher increase due to legal cost incurred on recovery of an asset.
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Comparison of the Three Months Ended March 31, 2022 to the Three Months Ended December 31, 2021
Net Interest Income
Net interest income is generated on our interest-earning assets less related interest-bearing liabilities and is recorded as part of our real estate debt, real estate securities and TRS segments.
The following table presents the average balance of interest-earning assets less related interest-bearing liabilities, associated interest income and expense and corresponding yield earned and incurred for the three months ended March 31, 2022 and December 31, 2021 (dollars in thousands):
Three Months Ended
March 31, 2022December 31, 2021
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Average Carrying Value (1)
Interest Income/Expense (2)
WA Yield/Financing Cost (3)(4)
Interest-earning assets:
Real estate debt$4,361,119$55,6875.1%$3,631,346$53,1455.9%
Real estate conduit92,0716863.0%36,4474975.5%
Real estate securities3,199,82618,8852.4%3,482,24524,2792.8%
Total$7,653,016$75,2583.9%$7,150,038$77,9214.4%
Interest-bearing liabilities:
Repurchase Agreements - commercial mortgage loans$813,144$7,6053.7%$959,729$9,0693.8%
Other financing and loan participation - commercial mortgage loans38,3443763.9%37,7703864.1%
Repurchase Agreements - real estate securities3,100,1571,3910.2%3,233,5991,3610.2%
Collateralized loan obligations2,513,33011,7741.9%1,714,73611,9222.8%
Unsecured debt105,8291,3345.0101,0642,1038.3%
Total$6,570,804$22,4801.4%$6,046,898$24,8411.6%
Net interest income/spread$52,7782.5%$53,0802.8%
Average leverage % (5)
85.9 %84.6 %
Weighted average levered yield (6)
19.5 %19.2 %
________________________
(1) Based on amortized cost for real estate debt and real estate securities and principal amount for repurchase agreements. Amounts are calculated based on daily averages for the three months ended March 31, 2022 and December 31, 2021, respectively.
(2) Includes the effect of amortization of premium or accretion of discount and deferred fees.
(3) Calculated as interest income or expense divided by average carrying value.
(4) Annualized.
(5) Calculated by dividing total average interest-bearing liabilities by total average interest-earning assets.
(6) Calculated by dividing net interest income/spread by the net average interest-earning assets and average interest-bearing liabilities.
Interest Income
Interest income for the three months ended March 31, 2022 and December 31, 2021 totaled $75.3 million and $77.9 million, respectively, a decrease of $2.6 million. This was primarily due to (i) $5.4 million of lower interest income attributed to a decrease of $282.4 million in the average carrying value of our real estate securities portfolio and partially offset by (ii) $2.5 million of higher interest income attributed to an increase of $729.8 million in the average carrying value of our real estate debt assets. As of March 31, 2022, our portfolio consisted of 166 commercial mortgage loans, held for investment, 9 commercial mortgage loans, held for sale, measured at fair value and RMBS securities.
Interest expense
Interest expense for the three months ended March 31, 2022 and December 31, 2021 totaled $22.5 million and $24.8 million, respectively, a decrease of $2.3 million. This was primarily due to $1.5 million of lower interest expense attributed to a decrease of $146.6 million in the average carrying value of our repurchase agreements on commercial mortgage loans.
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Realized Gain/Loss on Commercial Mortgage Loans Held for Sale
Realized gain on commercial mortgage loans, held for sale, measured at fair value at the TRS for the three months ended March 31, 2022 was $1.9 million compared to a realized gain of $2.0 million for the three months ended December 31, 2021. The realized gains were consistent quarter over quarter. Total proceeds from the sales of fixed-rate commercial real estate loans into the CMBS securitization market during the three months ended March 31, 2022 and December 31, 2021 were $77.8 million and $67.1 million, respectively.
Trading Gain/Loss
For the three months ended March 31, 2022 we had a trading loss of $88.4 million included within the consolidated statements of operations compared to a trading loss of $34.8 million for the three months ended December 31, 2021. During the three months ended March 31, 2022, the loss was attributable to $51.2 million of losses due to sales of the ARM Agency Securities, $27.5 million of losses due to change in market values of these securities and $9.7 million of losses due to mortgage prepayments. For the three months ended December 31, 2021, the loss was attributable to $20.9 million of losses due to change in market values of the ARM Agency Securities and $14.0 million of losses due to mortgage prepayments, net of $0.1 million in realized gains on sales of securities.
Expenses from operations
Expenses from operations for the three months ended March 31, 2022 and December 31, 2021 consisted of the following (dollars in thousands):
 Three Months Ended
March 31, 2022December 31, 2021
Asset management and subordinated performance fee$6,745 $8,428 
Administrative services expenses3,353 (1,874)
Acquisition expenses315 191 
Impairment of acquired assets— 88,282 
Professional fees6,659 4,388 
Depreciation and amortization1,295 1,295 
Other expenses1,762 1,831 
Total expenses from operations$20,129 $102,541 
The decrease in our expenses from operations was primarily related to the merger with Capstead, which resulted in impairment of acquired assets during the three months ended December 31, 2021. This is coupled with the decreasean increase in asset management and subordinated performance fee of $1.7 million, which was primarily attributablefees due to no incentive feefees incurred duringfor the three monthsquarter ended March 31, 2022 compared2023 of $1.9 million coupled with the increase in shared-based compensation expense of $0.4 million due to $1.8 million incurredthe equity awards issued under the Company's 2021 Incentive Plan during the three monthsquarter ended DecemberMarch 31, 2021.2023.
Liquidity and Capital Resources
Overview
Our expected material cash requirements over the next twelve months and thereafter are comprisedcomposed of (i) contractually obligated expenditures, including payments of principal and interest and contractually-obligated fundings on our loans; (ii) other essential expenditures, including operating and administrative expenses and dividends paid in accordance with REIT distribution requirements; and (iii) opportunistic expenditures, including new loans.
Our contractually obligated expenditures primarily consist of payment obligations under the debt financing arrangements which are set forth below, including in the table under “Contractual Obligations and Commitments.”
We expect to use additional debt and equity financing as a source of capital. Our board of directors currently intends to operate at a leverage level of between one to three times book value of equity. However, our board of directors may change this target without shareholder approval. We believe that the recent listing of our common stock will improve our access to capital through public offerings of our securities. We anticipate that our debt and equity financing sources and our anticipated cash generated from operations will be adequate to fund our anticipated uses of capital.
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In addition to our current mix of financing sources, we may also access additional forms of financings, including credit facilities, securitizations, public and private, secured and unsecured debt issuances by us or our subsidiaries, or through capital recycling initiatives whereby we sell certain assets in our portfolio and reinvest the proceeds in assets with more attractive risk-adjusted returns.
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Collateralized Loan Obligations
During the three months ended March 31, 2022,2023, the Company raised $1.2 billion ofno capital through the issuance of BSPRT 2022-FL8 Issuer, Ltd.and issuances. Additionally, as of March 31, 2022,2023, the Company had $177.4$15.1 million of reinvestment capital available across all outstanding collateralized loan obligations.
CLO NameDebt AmountReinvestment End Date
BSPRT 2019 FL5$141 millionEnded
BSPRT 2021 FL6$585 million9/15/23
BSPRT 2021 FL7$722 million12/15/23
BSPRT 2022 FL8$960 million2/15/24
BSPRT 2022 FL9$671 million7/15/24

Repurchase Agreements, Commercial Mortgage Loans
As of March 31, 2022 we haveThe Company has entered into repurchase facilities with JPMorgan Chase Bank, National Association (the "JPM Repo Facility"), Barclays Bank PLC (the "Barclays Revolver Facility" and the "Barclays Repo Facility"), Wells Fargo Bank, National Association (the "WF Repo Facility"), and Credit Suisse AGAtlas SP Partners (the "CS"Atlas Repo Facility" and together with JPM Repo Facility, WF Repo Facility, Barclays Revolver Facility, and Barclays Repo Facility, collectively, the "Repo Facilities").
The Repo Facilities are financing sources through which wethe Company may pledge one or more mortgage loans to the financing entity in exchange for funds typically at an advance rate of between 65% to 80%75% of the principal amount of the mortgage loan being pledged.
We expect to use the advances from these Repo Facilities to finance the acquisition or origination of eligible loans, including first mortgage loans, subordinated mortgage loans, mezzanine loans and participation interests therein.
The Repo Facilities generally provide that in the event of a decrease in the value of our collateral, the lenders can demand additional collateral. Should the value of our collateral decrease as a result of deteriorating credit quality, resulting margin calls may cause an adverse change in our liquidity position.
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The details of our Repo Facilities atas of March 31, 20222023 and December 31, 20212022 are as follows (dollars in thousands):
As of March 31, 2022
As of March 31, 2023As of March 31, 2023
Repurchase FacilityRepurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateMaturityRepurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility(2)JPM Repo Facility(2)$400,000 $69,757 $1,474 2.80 %10/6/2022JPM Repo Facility(2)$500,000 $261,741 $5,608 7.95 %10/6/2024
CS Repo Facility (2)
300,000 123,259 1,138 3.01 %9/30/2022
Atlas Repo Facility (3)
Atlas Repo Facility (3)
600,000 71,896 2,115 7.42 %3/15/2024
WF Repo Facility (3)(4)
WF Repo Facility (3)(4)
450,000 201,812 1,248 2.08 %11/21/2023
WF Repo Facility (3)(4)
500,000 100,846 2,239 7.68 %11/21/2023
Barclays Revolver Facility (4)(5)
Barclays Revolver Facility (4)(5)
250,000 — 2,027 N/A9/20/2023
Barclays Revolver Facility (4)(5)
250,000 — 215 N/A9/20/2023
Barclays Repo Facility (5)(6)
Barclays Repo Facility (5)(6)
500,000 128,062 1,490 2.08 %3/14/2025
Barclays Repo Facility (5)(6)
500,000 169,938 3,528 7.23 %3/14/2025
TotalTotal$1,900,000 $522,890 $7,377 Total$2,350,000 $604,421 $13,705 
________________________________________________________________________________
(1) For the three months ended March 31, 2022.2023. Includes amortization of deferred financing costs.
(2) On August 12, 2021, the Company exercised theWith one-year extension option uponavailable at the satisfaction of certain conditions, and extended the term maturity to September 30, 2022. Additionally, on November 3, 2021Company's discretion. On July 7, 2022, the committed financing amount was amendedincreased from $200$400 million to $300 million with$500 million. Additionally, on December 12, 2022, the optionCompany extended the maturity date to increase to $400 million at the Company's discretion.October 6, 2024.
(3) On November 19, 2021,July 12, 2022, the committed financing was increased from $300 million to $600 million. Additionally, on March 17, 2023, the maturity date was extended to March 15, 2024. During the first quarter of 2023, this repurchase facility was transferred from Credit Suisse to the new company, Atlas SP Partners, which has acquired these assets.
(4) On May 12, 2022, the committed financing amount was increased from $275$450 million to $450$500 million. There are 3three more one-year extension options available at the Company's discretion.
(4)(5) On September 8, 2021, the Company amended the maturity date to September 20, 2023. On December 1, 2021 the committed financing amount was increased from $100 million to $250 million. 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.
(5) Subsequent to quarter end On December 3, 2021, on April 24, 2023, the Company amendedextended the maturity date to March 14, 2025 and the committed financing amount was increased from $300 million to $500 million. September 20, 2024.
(6) There are two one-year extension options available at the Company's discretion.
As of December 31, 2021
Repurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility$400,000 $136,470 $5,178 2.13 %10/6/2022
CS Repo Facility (2)
300,000 137,364 3,446 2.43 %9/30/2022
WF Repo Facility (3)
450,000 186,734 2,090 1.64 %11/21/2023
Barclays Revolver Facility (4)
250,000 166,700 1,976 6.12 %9/20/2023
Barclays Repo Facility (5)
500,000 392,332 4,057 1.76 %3/14/2025
Total$1,900,000 $1,019,600 $16,747 
________________________
As of December 31, 2022
Repurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense(1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility$500,000 $275,423 $11,773 7.42 %10/6/2024
Credit Suisse Repo Facility600,000 168,046 8,676 7.12 %10/31/2023
WF Repo Facility500,000 79,807 7,492 7.11 %11/21/2023
Barclays Revolver Facility250,000 — 1,267 N/A9/20/2023
Barclays Repo Facility500,000 157,583 8,997 6.75 %3/14/2025
Total$2,350,000 $680,859 $38,205 

(1) For the year ended December 31, 2020.2022. Includes amortization of deferred financing costs.
(2) On August 12, 2021, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to September 30, 2022. Additionally, on November 3, 2021 the committed financing amount was amended from $200 million to $300 million with the option to increase to $400 million at the Company's discretion.
(3) On November 19, 2021, the committed financing amount was increased from $275 million to $450 million. There are 3 more one-year extension options available at the Company's discretion.
(4) On September 8, 2021, the Company amended the maturity date to September 20, 2023. On December 1, 2021 the committed financing amount was increased from $100 million to $250 million. 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.
(5) On December 3, 2021 the Company amended the maturity date to March 14, 2025 and the committed financing amount was increased from $300 million to $500 million. There are two one-year extension options available at the Company's discretion.
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Other financing and loan participation - Commercial Mortgage Loans
On March 23, 2020, the Company transferred $15.2 million of its interest in a term loan to Sterling National Bank ("SNB")a regional bank via a participation agreement. Since inception, the Company's outstanding loan increased as a result of future fundings, leading to an increase in amount outstanding via the participation agreement. The Company incurred $1.0 million and $0.2 million of interest expense on the SNBregional bank term loan for the three months endedas of March 31, 2022.2023 and 2022, respectively. As of March 31, 20222023 and December 31, 20212022 the outstanding participation balance was $37.9$58.7 million and $37.9$59.2 million, respectively. The loan accrued interest at an annual rate of one-month LIBOR + 2.20%+2.20% and matures on FebruaryJune 9, 2023.
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On February 10, 2022, the Company transferred $37.95$38.0 million of its interest in a term loan to Customers Banka regional bank via a participation agreement. Since inception, the Company's outstanding loan increasedcould increase as a result of future fundings, leadingwhich could lead to an increase in amount outstanding via the participation agreement. The Company incurred $5$0.6 million and $5.0 thousand of interest expense on the Customers Bankregional bank term loan for the three months ended March 31, 2022.2023 and 2022, respectively. As of March 31, 2023 and December 31, 2022, the outstanding participation balance was $2.3 million.$20.4 millionand$17.1 million, respectively. The loan accrued interest at an annual rate of one-month SOFR + 4.01% and matures on May 1, 2025.
Mortgage Note Payable
On September 17, 2021, the Company, in connection with the consolidating joint venture (as discussed in Note 5 - Real Estate Owned), originated a $112.7 million mortgage note payable, of which $88.7 million is eliminated in consolidationour consolidated financial statements (see Note 5 - Real Estate Owned). TheAs of March 31, 2023 and December 31, 2022, the remaining outstanding mortgage note payable of $24.0 million is disclosed onincluded in the consolidated balance sheet. As of March 31, 2022,2023, the loan accrued interest at an annual rate of 3.1%Libor + 3.0%, of which the interest accrued on the $88.7 million is eliminated in our consolidated financial statements and matures on October 9, 2024.
Unsecured Debt
AtAs of March 31, 2022,2023, the Company held 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, respectively, with a total face amount of $100.0$82.5 million. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for the effects of related derivatives held as cash flow hedges)amortization) were as follows (dollars in thousands):
As of March 31, 2022As of December 31, 2021As of March 31, 2023As of December 31, 2022
Borrowings
Outstanding
Average
 Rate
Borrowings
Outstanding
Average
 Rate
Borrowings
Outstanding
Weighted Average
 Rate
Borrowings
Outstanding
Weighted Average
 Rate
Junior subordinated notes maturing in:Junior subordinated notes maturing in:Junior subordinated notes maturing in:
October 2035 ($35,000 face amount)$34,479 5.34 %$34,470 7.86 %
October 2035 ($17,500 face amount) October 2035 ($17,500 face amount)$17,018 8.88 %$34,508 8.25 %
December 2035 ($40,000 face amount) December 2035 ($40,000 face amount)39,484 5.25 %39,474 7.63 % December 2035 ($40,000 face amount)39,522 8.48 %39,513 8.39 %
September 2036 ($25,000 face amount) September 2036 ($25,000 face amount)24,657 5.29 %24,650 7.67 % September 2036 ($25,000 face amount)24,680 8.48 %24,674 8.39 %
$98,620 5.29 %$98,594 7.72 %$81,220 8.56 %$98,695 8.34 %
The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. During the three months ended March 31, 2023 the Company recognized a realized gain on extinguishment of debt in the amount of $4.4 million as a result of the redemption of $17.5 million par value unsecured debt at a price equal to 75% par. Interest paid on unsecured debt, including related derivative cash flows, totaled $2.3 million and $1.8 million for the twelve months ended March 31, 2022.
Pursuant to a lending and security agreement with Security Benefit Life Insurance Company ("SBL"), which was entered into in February 2020 and amended in March and August 2020, the Company may borrow up to $100.0 million at a rate of one-month LIBOR + 4.5%. The facility has a maturity of February 10, 2023 and is secured by a pledge of equity interests in certain of the Company’s subsidiaries. The Company incurred $0.3 million of interest expense on the lending agreement with SBL for the three months ended March 31, 2022. As of March 31,2023 and 2022, there was no outstanding balance.respectively.
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.
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Below is a summary of the Company's MRAs as of March 31, 20222023 and December 31, 20212022 (dollars in thousands):
Weighted Average
CounterpartyAmount OutstandingInterest Expense
Collateral Pledged (1)
Interest RateDays to Maturity
As of March 31, 2022
JP Morgan Securities LLC$19,283 $55 $23,995 1.27 %14
Wells Fargo Securities, LLC— — — N/A N/A
Goldman Sachs International— — — N/A N/A
Barclays Capital Inc.35,327 75 44,284 1.40 %7
Credit Suisse AG— — — N/A N/A
Citigroup Global Markets, Inc.— — — N/A N/A
Total/Weighted Average$54,610 $130 $68,279 1.35 %9
As of December 31, 2021
JP Morgan Securities LLC$19,025 $261 $24,087 1.14 %10
Wells Fargo Securities, LLC— — — N/A N/A
Goldman Sachs International— 37 — N/AN/A
Barclays Capital Inc.15,286 526 19,131 1.21 %14
Credit Suisse AG— — — N/A N/A
Citigroup Global Markets, Inc.— 81 — N/AN/A
    Total/Weighted Average$34,311 $905 $43,218 1.71 %12
Weighted Average
CounterpartyAmount OutstandingInterest Expense
Collateral Pledged (1)
Interest RateDays to Maturity
As of March 31, 2023
JP Morgan Securities LLC$62,980 $1,091 $69,985 5.80 %17
Barclays Capital Inc.44,954 622 56,819 5.84 %13
Total/Weighted Average$107,934 $1,713 $126,804 5.82 %15
As of December 31, 2022
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 $68.3$42.6 million and $43.2$67.1 million of CLO notes, held by the Company, which areis eliminated within the realReal estate securities, trading, at fair value line inof the consolidated balance sheets as of March 31, 20222023 and December 31, 2021,2022, respectively.
Repurchase Agreements - Real Estate Securities Classified As Trading
As a result of the Capstead merger which closed on October 19, 2021, the Company acquired a significant portfolio of ARM Agency Securities which the Company accounts for as real estate securities classified as trading. The Company pledges its real estate securities classified as trading as collateral for repurchase agreements with commercial banks and other financial institutions. Repurchase arrangements entered into by the Company involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date and are accounted for as financings. The Company maintains the beneficial interest in the specific securities pledged during the term of each repurchase arrangement and receives the related principal and interest payments.
The terms and conditions of repurchase agreements are negotiated on a transaction-by-transaction basis when each such agreement is initiated or renewed. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of an agreement at which time the Company may enter into a new agreement at prevailing haircuts and rates with the same lending counterparty or repay that counterparty and negotiate financing with a different lending counterparty. None of the Company’s lending counterparties are obligated to renew or otherwise enter into new agreements at the conclusion of existing agreements. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security pay-down factors, lending counterparties typically require the Company to post additional securities as collateral, pay down borrowings or fund cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements. These actions are referred to as margin calls. Conversely, in response to increases in fair value of pledged securities, the Company routinely margin calls its lending counterparties in order to have previously pledged collateral returned.
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Repurchase agreements (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands):
Collateral TypeCollateral
Carrying
Amount
Accrued
Interest
Receivable
Borrowings
Outstanding
Average
Borrowing
Rates
As of March 31, 2022
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$1,733,101 $3,726 $1,659,931 0.39 %
$1,733,101 $3,726 $1,659,931 0.39 %
As of December 31, 2021
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$4,327,020 $8,908 $4,144,473 0.13 %
$4,327,020 $8,908 $4,144,473 0.13 %
Amount OutstandingAccrued
Interest
Receivable
Collateral
Carrying
Amount
Weighted Average
Borrowing
Rates
As of March 31, 2023
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$121,000 $371 $126,749 4.81 %
As of December 31, 2022
Repurchase arrangements secured by Agency 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 days45,000 114 47,210 4.51 %
$217,144 $658 $227,610 4.30 %
As of March 31, 2022, the Company’s repurchase agreements collateralized by RMBS totaled $1.66 billion with 9 counterparties at average rates of 0.39%, before the effects of currently-paying interest rate swap agreements. Average repurchase agreements outstanding were $3.06 billion in$149.4 million and $220.1 million during the first quarter of 2022.three months ended March 31, 2023 and December 31, 2022, respectively. Average repurchase agreements outstanding differed from respective year-endperiod-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 cash flows,derivative payments, totaled $2.0 million and $1.26 million during the three months ended March 31, 2022.2023 and 2022, respectively.
The Company finances its residential mortgage investments primarily by borrowing under repurchase arrangements, the terms and conditions of which are negotiated on a transaction-by-transaction basis, when each such agreement is initiated or renewed.
Future agreements are dependent upon the willingness of lenders to participate in the financing of mortgage investments, lender collateral requirements and the lenders’ determination of the fair value of the investments pledged as collateral, which fluctuates with changes in interest rates and liquidity conditions within the commercial banking and mortgage finance industries. None of our repurchase agreement counterparties are obligated to renew or otherwise enter into new agreements at the conclusion of existing borrowings. Repurchase agreements averaged $3.06 billion during the first quarter of 2022 and ended the year at $1.66 billion, all maturing within 90 days. Average repurchase agreements can differ from period-end balances for a number of reasons including portfolio growth or contraction, as well as differences in the timing of portfolio acquisitions relative to portfolio runoff.
To help mitigate exposure to rising short-term interest rates, wethe Company may economically hedge the portfolio of repurchase agreements using derivatives supplemented with longer-maturity repurchase agreements when available at attractive rates and terms. AtAs of March 31, 2022,2023, the Company held $1.50 billion notional amount of portfolio financing-related interest rate swap agreements with contract expirations occurring at various dates through the First quarter 2024 and a weighted average expiration of 10.6 months. At March 31, 2022, we expect to have no net cash obligationsdid not hold any derivative positions related to repurchase agreement-related interest rate swap agreements after considering the variable-rate payments owed to us under the agreements’ terms based on market interest rate expectations as of quarter-end.

trading securities.
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The following tables summarize our Repurchase Agreements, Commercial Mortgage Loans and our MRAs for the three months ended March 31, 2023, 2022, 2020 and 2019,2021, respectively:
As of March 31, 2022As of March 31, 2023
Amount OutstandingAverage Outstanding BalanceAmount OutstandingAverage Outstanding Balance
Q1Q1Q1Q1
Repurchase Agreements, Commercial Mortgage LoansRepurchase Agreements, Commercial Mortgage Loans$522,890 $813,144 Repurchase Agreements, Commercial Mortgage Loans$604,421 $725,300 
Repurchase Agreements, Real Estate SecuritiesRepurchase Agreements, Real Estate Securities$54,610 $44,744 Repurchase Agreements, Real Estate Securities$107,934 $217,389 
Repurchase Agreements, Real Estate Securities held as tradingRepurchase Agreements, Real Estate Securities held as trading$1,659,931 $3,055,413 Repurchase Agreements, Real Estate Securities held as trading$121,000 $149,387 
As of March 31, 2021
Amount OutstandingAverage Outstanding BalanceAs of March 31, 2022
Q1Q1Amount OutstandingAverage Outstanding Balance
Q1Q1
Repurchase Agreements, Commercial Mortgage LoansRepurchase Agreements, Commercial Mortgage Loans$152,925 $340,485 Repurchase Agreements, Commercial Mortgage Loans$522,890 $813,144 
Repurchase Agreements, Real Estate SecuritiesRepurchase Agreements, Real Estate Securities$88,272 $123,322 Repurchase Agreements, Real Estate Securities$54,610 $44,744 
Repurchase Agreements, Real Estate Securities held as tradingRepurchase Agreements, Real Estate Securities held as trading1,659,9313,055,413
As of March 31, 2020
Amount OutstandingAverage Outstanding Balance
Q1Q1
Repurchase Agreements, Commercial Mortgage Loans$234,524 $282,282 
Repurchase Agreements, Real Estate Securities$496,880 $412,809 
The use of our warehouse lines is dependent upon a number of factors including but not limited to: origination volume, loan repayments and prepayments, our use of other financing sources such as collateralized loan obligations, our liquidity needs and types of loan assets and underlying collateral that we hold.
During the three months ended March 31, 2023, the maximum average outstanding balance was $1.1 billion, of which $0.7 billion was related to repurchase agreements on our commercial mortgage loans and $0.4 billion for repurchase agreements on our real estate securities.
During the three months ended March 31, 2022, the maximum average outstanding balance was $5.3 billion, of which $1.1 billion was related to repurchase agreements on our commercial mortgage loans and $4.2 billion for repurchase agreements on our real estate securities.
During the three months ended March 31, 2021, the maximum average outstanding balance was $475.5 million, of which $363.6 million was related to repurchase agreements on our commercial mortgage loans and $111.9 million for repurchase agreements on our real estate securities.
During the three months ended March 31, 2020, the maximum average outstanding balance was $721.0 million, of which $452.8 million was related to repurchase agreements on our commercial mortgage loans and $268.2 million for repurchase agreements on our real estate securities.
Distributions
In order to maintain our election to qualify as a REIT, we must currently distribute, at a minimum, an amount equal to 90% of our taxable income, without regard to the deduction for distributions paid and excluding net capital gains. The Company must distribute 100% of its taxable income (including net capital gains) to avoid paying corporate U.S. federal income taxes.
Distributions on our common stock and Series F Preferred Stock are payable when authorized and declared by our board of directors.
Dividends payable on each share of Series C and Series DH Preferred Stock areis generally equal to the quarterly dividend that would have been paid had such share of preferred stock been converted to a share of common stock, except to the extent common stock dividends have been reduced below certain specified levels. To the extent dividends on shares of preferred stock are not authorized and declared by our board of directors and paid by the Company monthly, the dividend amounts will accrue.
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).
In March 2022,2023, the Company's board of directors declared the followingfollowing: (i) a first quarter 2022 dividends: (i) a quarterly cash2023 dividend of $0.355 per share on the Company's common stock and Series F Preferred Stock (equivalent to $1.42 per annum), (ii) a first quarter 20222023 dividend of $106.22 per share on the Company’s Series C Preferred Stock and Series DH Preferred Stock, and (iii) a first quarter 20222023 dividend of $0.46875 per share on the Company’s Series E Preferred Stock, all of which were paid in April 20222023 to holders of record on March 31, 2021.2023.
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The below table shows the distributions paid on shares outstanding of common stock during the three months ended March 31, 20222023 and March 31, 20212022 (dollars in thousands):
Three months ended March 31, 2022
Payment Date Amount Paid in Cash Amount Issued under DRIP
January 7, 2022$12,435 $91 
Total$12,435 $91 
Three months ended March 31, 2023
Payment Date Amount Paid in Cash Amount Issued under DRIP
January 10, 2023$29,462$
Three Months Ended March 31, 2021
Payment Date Amount Paid in Cash Amount Issued under DRIP
January 4, 2021$9,652 $2,584 
Total$9,652 $2,584 
Three Months Ended March 31, 2022
Payment Date Amount Paid in Cash Amount Issued under DRIP
January 7, 2022$12,435 $91 
Cash Flows
Cash Flows for the Three months ended March 31, 2023
Net cash provided by operating activities for the three months ended March 31, 2023 was $33.3 million. Cash inflows were primarily driven by net income of $43.8 million, offset by certain non-cash income.
Net cash provided by investing activities for the three months ended March 31, 2023 was $422.8 million. Cash inflows were primarily driven by the sale of real estate securities, trading, at fair value of $97.5 million, sale of real estate securities, available for sale, measured at fair value of $127.7 million, principal repayments on commercial mortgage loans, held for investment of $406.2 million and principal collateral received on mortgage investments of $7.3 million. Inflows were offset by proceeds for originations and purchases of $195.6 million of commercial mortgage loans, held for investment and $20.3 million for the purchase of real estate securities.
Net cash used in financing activities for the three months ended March 31, 2023 was $409.3 million. Cash outflows were primarily driven by (i) our net repayments on CMBS MRAs of $211.1 million, (ii) net repayments from borrowings on repurchase agreements - commercial mortgage loans of $76.4 million, (iii) net repayments from borrowings on unsecured debt of $13.4 million, (iv) net repayments from borrowings on collateralized loan obligations of $69.0 million and (v) the $36.3 million used for cash distributions to stockholders.
Cash Flows for the Three months ended March 31, 2022
Net cash used in operating activities for the three months ended March 31, 2022 was $32.3 million. Cash outflows were primarily driven by net loss of $22.5 million, coupled with net outflows of $74.2 million related to originations of and proceeds from sales of commercial mortgage loans, measured at fair value and realized gains of $34.4 million on swap terminations. This is partially offset by a non-cash adjustment of $88.4 million related to trading losses on real estate securities.
Net cash provided by investing activities for the three months ended March 31, 2022 was $2,262.9 million. Cash inflows were primarily driven by proceeds from the sale of real estateavailable for sale trading securities of $2,190.1 million, principal repayments on commercial mortgage loans, held for investment of $330.1 million and $376.9 million in principal collateral received on mortgage investments. Inflows were offset by proceeds for originationsorigination and purchasespurchase of $636.5 million of commercial mortgage loans, held for investment.
Net cash used in financing activities for the three months ended March 31, 2022 was $2,269.2 million. Cash outflows were primarily driven by our net repayments on CMBS MRAs of $2,464.2 million, net repayments from borrowings on repurchase agreements - commercial mortgage loans and unsecured debt of $496.7 million and $50.0 million, respectively, and $30.3 million was used for cash distributions to stockholders. Outflows were offset by net borrowings on CLOs of $724.9 million.
Cash Flows for the Three months ended March 31, 2021
Net cash provided by operating activities for the three months ended March 31, 2021 was $4.4 million. Cash inflows were primarily driven by net income of $30.1 million, partially offset by the payment of $25.0 million related to originations of and proceeds from sales of commercial mortgage loans, measured at fair value.
Net cash used in investing activities for the three months ended March 31, 2021 was $307.8 million. Cash inflows were primarily driven by origination and purchase of $520.8 million of commercial mortgage loans, held for investment. Outflows were offset by proceeds from the sale/repayment of real estate securities of $159.3 million and principal repayments on commercial mortgage loans, held for investment of $52.8 million.
Net cash provided by financing activities for the three months ended March 31, 2021 was $322.1 million. Cash inflows were primarily driven by proceeds from net borrowing on CLOs of $453.7 million, borrowings from other financing and loan participation and unsecured debt of $102.6 million and proceeds from issuances of redeemable convertible preferred stock of $15.0 million. Inflows were offset by net repayments on our Repo Facilities of $123.4 million and CMBS MRAs of $98.6 million.
Election as a REIT
We elected to be taxed as a REIT under Sections 856 through 860 of the Internal Revenue Code commencing with the taxable year ended December 31, 2013. As a REIT, if we meet certain organizational and operational requirements and distribute at least 90% of our "REIT taxable income" (determined before the deduction of dividends paid and excluding net capital gains) to our stockholders in a year, we will not be subject to U.S. federal income tax to the extent of the income that we distribute. Even if we qualify for taxation as a REIT, we may be subject to certain state and local taxes on our income and property, and U.S. federal income and excise taxes on our undistributed income.
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Contractual Obligations and Commitments
Our contractual obligations, excluding interest obligations (as amounts are not fixed or determinable), as of March 31, 20222023 are summarized as follows (dollars in thousands):
Less than 1 year1 to 3 years3 to 5 yearsMore than 5 yearsTotalLess than 1 year1 to 3 years3 to 5 yearsMore than 5 yearsTotal
Unfunded loan commitments (1)
Unfunded loan commitments (1)
$17,538 $348,014 $35,126 $— 400,678 
Unfunded loan commitments (1)
$45,889 $435,917 $9,452 $— $491,258 
Repurchase agreements - commercial mortgage loansRepurchase agreements - commercial mortgage loans193,016 329,874 — — 522,890 Repurchase agreements - commercial mortgage loans100,846 503,575 — — 604,421 
Repurchase agreements - real estate securitiesRepurchase agreements - real estate securities1,714,541 — — — 1,714,541 Repurchase agreements - real estate securities234,683 — — — 234,683 
CLOs (2)
CLOs (2)
— — — 2,904,374 2,904,374 
CLOs (2)
— — — 3,078,294 3,078,294 
Mortgage Note PayableMortgage Note Payable— — — 23,998 23,998 Mortgage Note Payable— — — 23.998 23.998 
Unsecured debtUnsecured debt— — — 98,620 98,620 Unsecured debt— — — 81,220 81,220 
Other financing and loan participation - commercial mortgage loansOther financing and loan participation - commercial mortgage loans— 37,903 2,296 — 40,199 Other financing and loan participation - commercial mortgage loans58,692 — 20,429 — 79,121 
TotalTotal$1,925,095 $715,791 $37,422 $3,026,992 $5,705,300 Total$440,110 $939,492 $29,881 $3,159,538 $4,569,021 
________________________________________________________________________________
(1) The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the loan maturity date.
(2) Excludes $452.6$461.6 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligations line of the consolidated balance sheet as of March 31, 2022.2023.
In addition to its cash requirements, the Company pays a quarterly dividend and has an existing share repurchase authorization. As of March 31, 2022,2023, the Company’s quarterly cash dividend was $0.355 per share of common stock (which was paid on an as-converted basis on the Company’s shares of Series CH convertible preferred stock ("Series H Preferred Stock, Series D Preferred StockStock") and Series FI convertible preferred stock ("Series I Preferred Stock)Stock"), and $0.46875 per share on the Company’s shares of 7.50% Series E Cumulative Redeemable Preferred Stock ("Series E Preferred Stock.Stock"). The payment of future dividends is subject to declaration by the Boardboard of Directors.directors. The Company’s Boardboard of Directorsdirectors also has authorized a $65.0 million share repurchase program, that will be operative following the conclusion of the $35.0which $44.8 million open market share purchase program the Advisor agreed to implement in connection with the Company’s merger with Capstead.remained available as of March 31, 2023. The authorization does not obligate the Company to acquire any specific number of shares.
Related Party Arrangements
Amended Advisory Agreement
Refer to “Note 11 - Related Party Transactions and Arrangements” for a summary of the Company’s Advisory Agreement with the Advisor and amounts paid to the Advisor pursuant to the Advisory Agreement for the three months ended March 31, 2022 and 2021.
Lending Agreement with Stockholder
Pursuant to a lending and security agreement with Security Benefit Life Insurance Company ("SBL"), which was entered into in February 2020 and amended in March and August 2020, the Company may borrow up to $100.0 million at a rate of one-month LIBOR + 4.5%. The facility has a maturity of February 10, 2023 and is secured by a pledge of equity interests in certain of the Company’s subsidiaries. The Company incurred $0.3 million interest expense on the lending agreement with SBL for the three months ended March 31, 2022. As of March 31, 2022 there were no amounts outstanding under the lending agreement.
SBL also holds 17,950 shares of the Company's outstanding shares of Series D Preferred Stock, of which 14,950 shares were acquired in exchange for an equivalent number of shares of Series A Preferred Stock in March 2021. SBL also acquired an additional 3,000 shares of Series D Preferred Stock at the liquidation preference of $15.0 million (net of accrued and unpaid dividends on the exchanged Series A Preferred Stock) in such transaction.
Other Related Party Arrangement
In August 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 $139.5 million triple net lease property in Jeffersonville, GA. The Company has a 79% interest in the Jeffersonville JV, while the affiliate 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 affiliate made up the remaining $29.8 million composed of a $24.0 million mortgage note payable and $5.7 million in equity. The Company has control of Jeffersonville JV with 79% ownership and, therefore, consolidates Jeffersonville JV on its consolidated balance sheet. The Company's $88.7 million mortgage note payable to Jeffersonville JV is eliminated in consolidation (see Note 7 - Debt).
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During the first quarter of 2022, pursuant to the 2021 Incentive Plan, 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 (see Note 12 - Share-based Compensation).related party arrangements.
Non-GAAP Financial Measures
Distributable Earnings and Run-Rate Distributable Earnings
Beginning in the third quarter of 2021 to more appropriately reflect the principal purpose of the measure, "modified funds from operations ("MFFO")" or "funds from operations ("FFO")" was relabeled "Distributable Earnings", a non-GAAP financial measure. Distributable Earnings is a non-GAAP measure, which we definethe Company defines as GAAP net income (loss), adjusted for (i) non-cash CLO amortization acceleration and amortization over ourthe expected useful life of ourthe Company's CLOs, (ii) unrealized gains and losses on loans, derivatives and ARMs, including CECL reserves and impairments, (iii) non-cash equity compensation expense, (iv) depreciation and amortization, (v) non-cash incentivesubordinated performance fee accruals, (vi) loan workout charges, (vii) realized gains and losses on debt extinguishment, (viii) certain other non-cash items, and (vii)(ix) impairments of acquisition assets related to the Capstead merger. Further, Run-Rate Distributable Earnings, a non-GAAP measure, presents Distributable Earnings before trading and derivative gain/loss on residential adjustable-rate mortgage securities.ARMs.
We believe
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The Company believes that Distributable Earnings and Run-Rate Distributable Earnings providesprovide meaningful information to consider in addition to ourthe disclosed GAAP results. We believeThe Company believes Distributable Earnings is a useful financial metric for existing and potential future holders of ourits common stock as historically, overtime,over time, Distributable Earnings has been an indicator of our dividends per share. As a REIT, wethe Company generally must distribute annually at least 90% of our netits taxable income, subject to certain adjustments, and therefore we believe ourbelieves dividends are one of the principal reasons stockholders may invest in ourits common stock. Further, Distributable Earnings helps us toinvestors evaluate our performance excluding the effects of certain transactions and GAAP adjustments that wethe Company does not believe are not necessarily indicative of our current loan portfolio performance and the Company's operations and is one of the performance metrics we considerthe Company's board of directors considers when declaring our dividends. We believedividends are declared. The Company believes Run-Rate Distributable Earnings is a useful financial metric because it presents the Distributable Earnings of ourits core businesses, net of the impacts of the realized trading and derivative gain/loss on the residential adjustable-rate mortgage securities we acquired from Capstead, that we are currentlywhich the Company is actively in the process of liquidating from ourits portfolio.
Distributable Earnings doesand Run-Rate Distributable Earnings do not represent net income (loss) and should not be considered as an alternative to GAAP net income (loss). OurThe methodology for calculating Distributable Earnings and Run-Rate Distributable Earnings may differ from the methodologies employed by other companies and thus may not be comparable to the Distributable Earnings reported by other companies.
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The following table provides a reconciliation of GAAP net income to Distributable Earnings and Run-Rate Distributable Earnings as of March 31, 20222023 and March 31, 20212022 (amounts in thousands, except share and per share data):
Three Months Ended March 31,
20222021
GAAP Net Income$(22,507)$30,146
Adjustments:
CLO amortization acceleration (1)
(977)(695)
Unrealized (gain)/loss on financial instruments (2)
5,898(2,594)
Unrealized gain/(loss) reversal - ARMs27,462
Incentive fees1,661
Depreciation and amortization1,295406
Increase/(decrease) in provision for credit losses(955)(2,331)
Loan Workout Charges (3)
1,900
Realized trading and derivatives gain/loss on ARMs28,029
Run Rate Distributable Earnings (4)
$40,145$26,593
Realized trading and derivatives gain/loss on ARMs(28,029)
Distributable Earnings$12,116$26,593
Average Equity$1,519,569$1,023,213
7.5% Cumulative Redeemable Preferred Stock, Series E Dividend$4,842$
GAAP Common ROE(7.2)%11.8%
Run-Rate Distributable Earnings ROE9.3%10.4%
Distributable Earnings ROE1.9%10.4%
GAAP Net Income Per Share, Fully Converted$(0.30)$0.53
Run-Rate Distributable Earnings Per Share, Fully Converted$0.39$0.47
Distributable Earnings Per Share, Fully Converted$0.08$0.47
Three Months Ended March 31,
20232022
GAAP Net Income (Loss)$43,839$(22,507)
Adjustments:
CLO amortization acceleration (1)
(1,468)(977)
Unrealized (gain)/loss on financial instruments (2)
1,3125,898
Unrealized (gain)/loss - ARMs(734)27,462
Subordinate performance fee(594)
Non-Cash Compensation Expense1,022
Depreciation and amortization1,8051,295
Increase/(decrease) in provision for credit losses4,360(955)
Loan workout charges (3)
1,900
Realized gain on debt extinguishment(4,767)
Realized trading and derivatives (gain)/loss on ARMs(2,234)28,029
Run Rate Distributable Earnings (4)
$42,541$40,145
Realized trading and derivatives gain/(loss) on ARMs2,234(28,029)
Distributable Earnings$44,775$12,116
7.5% Cumulative Redeemable Preferred Stock, Series E Dividend4,842 4,842 
Noncontrolling interests in joint ventures net income/(loss)— 
Depreciation and amortization attributed to noncontrolling interests of joint ventures360 — 
Distributable Earnings to Common$39,564$7,274
Average Common Stock & Common Stock Equivalents1,422,565 1,519,569 
GAAP Net Income (Loss) ROE11.0%(7.2)%
Run-Rate Distributable Earnings ROE10.5%9.3%
Distributable Earnings ROE11.1%1.9%
GAAP Net Income/(Loss) Per Share, Diluted$0.44$(0.99)
GAAP Net Income/(Loss) Per Share, Fully Converted (5)
$0.44$(0.30)
Run-Rate Distributable Earnings Per Share, Fully Converted (5)
$0.42$0.39
Distributable Earnings Per Share, Fully Converted (5)
$0.44$0.08
____________________________________________________________________________________
(1) Adjusted for non-cash CLO amortization acceleration to effectively amortize issuance costs of our CLOs over the expected lifetime of the CLOs. We assume our CLOs will be outstanding for four years and amortized the financing costs over four years in our distributable earnings as compared to effective yield methodology in our GAAP earnings.
(2) Adjusted forRepresents unrealized gains and losses on (i) commercial mortgage loans, held for sale, measured at fair value, (ii) other real estate investments, measured at fair value and (iii) derivatives.
(3) Represents loan workout expenses the Company incurred, which the Company deems likely to be recovered and is non-recurring in nature.recovered.
(4) Distributable Earnings before realized trading and derivative gain/loss on residential adjustable-rate mortgage securities (“Run-Rate Distributable Earnings”) (a non-GAAP financial measure).
(5) Fully Converted assumes conversion of our series of convertible preferred stock and full vesting of our outstanding equity compensation awards.
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Item 3. Quantitative and Qualitative Disclosures about Market Risk.
Credit Risk
Our investments are subject to a high degree of credit risk. Credit risk is the exposure to loss from loan defaults. Default rates are subject to a wide variety of factors, including, but not limited to, borrower financial condition, property performance, property management, supply/demand factors, construction trends, consumer behavior, regional economics, interest rates, the strength of the U.S. economy, and other factors beyond our control. All loans are subject to a certain probability of default. We manage credit risk through the underwriting process, acquiring our investments at the appropriate discount to face value, if any, and establishing loss assumptions. We also carefully monitor the performance of the loans, as well as external factors that may affect their value.
Capital Market Risk
We are exposed to risks related to the debt capital markets, and our related ability to finance our business through borrowings under repurchase obligations or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore requires us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt capital markets to inform our decisions on the amount, timing and terms of capital we raise.
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TableMarket uncertainty and volatility may cause fluctuation in market value of Contents
The COVID-19 pandemic has resulted in extreme volatility in a variety of global markets, including the real estate-related debt markets.certain asset classes within our portfolio. We have and may continue to receive margin calls from our lenders as a result of the decline in the market value of the assets pledged by us to our lenders under our repurchase agreements and warehouse credit facilities, and if we fail to resolve such margin calls when due by payment of cash or delivery of additional collateral, the lenders may exercise remedies including demanding payment by us of our aggregate outstanding financing obligations and/or taking ownership of the loans or other assets securing the applicable obligations and liquidating them at inopportune prices.
Market Risk
As a result of the closing of the Capstead merger on October 19, 2021 we hold a significant amount of ARM Agency securities. Changes in the level of interest rates and spreads can significantly impact the value of these assets. We may utilize a variety of financial instruments in order to limit the adverse effects of interest rates on our results. Since the closing of the merger, we have made significant strides in unwinding our ARMs portfolio and expect to reduce this portfolio and thereby further mitigate our market risk.
Interest Rate Risk
Our market risk arises primarily from interest rate risk relating to interest rate fluctuations. Many factors including governmental monetary and tax policies, domestic and international economic and political considerations and other factors that are beyond our control contribute to interest rate risk. To meet our short and long-term liquidity requirements, we may borrow funds at fixed and variable rates. Our interest rate risk management objectives are to limit the impact of interest rate changes in earnings and cash flows and to lower our overall borrowing costs. To achieve these objectives, from time to time, we may enter into interest rate hedge contracts such as swaps, collars and treasury lock agreements in order to mitigate our interest rate risk with respect to various debt instruments. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in benefits of lower interest rates with respect to our portfolio of investments with fixed interest rates. We do not have any foreign denominated investments, and thus, we are not exposed to foreign currency fluctuations.
As of March 31, 20222023 and December 31, 2021,2022, our portfolio included 163154 and 161157 variable rate investments, respectively, based on LIBOR and SOFR (or "indexing rates") for various terms. Borrowings under our repurchase agreementsfinancing arrangements are also based on LIBOR.LIBOR and SOFR. The following table quantifies the potential changes in interest income net of interest expense should interest rates increase by 50 or 100 basis points or decrease by 25 basis points, assuming that our current balance sheet was to remain constant, and no actions were taken to alter our existing interest rate sensitivity. The changes in the portfolio for each basis points increase/decrease is a change from the base scenario.
Estimated Percentage Change in Interest Income Net of Interest Expense
Change in Interest RatesMarch 31, 2022December 31, 2021
(-) 25 Basis Points0.12 %2.08 %
Base Interest Rate— %— %
(+) 50 Basis Points1.01 %(1.74)%
(+) 100 Basis Points2.72 %(1.64)%
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Estimated Percentage Change in Interest Income Net of Interest Expense
Change in Interest RatesMarch 31, 2023December 31, 2022
(-) 25 Basis Points(1.54)%(1.78)%
Base Interest Rate— %— %
(+) 50 Basis Points3.03 %3.49 %
(+) 100 Basis Points6.06 %6.98 %
Real Estate Risk
The market values of commercial mortgage assets are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, the impacts of the COVID-19 pandemic, national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors); local real estate conditions; changes or continued weakness in specific industry segments; and demographic factors. In addition, decreases in property values reduce the value of the collateral and the potential proceeds available to a borrower to repay the underlying loans, which could also cause us to suffer losses.    
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
In accordance with Rules 13a-15(b) and 15d-15(b) of the Securities Exchange Act of 1934, as amended (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 Quarterly Report on Form 10-Q. Based on such evaluation, our Chief Executive Officer and Chief Financial Officer have concluded, as of the end of such period, that our disclosure controls and procedures are effective in recording, processing, summarizing and reporting, on a timely basis, information required to be disclosed by us in our reports that we file or submit under the Exchange Act.
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Changes in Internal Control Over Financial Reporting
During the quarter ended March 31, 2022,2023, 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.
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PART II
Item 1. Legal Proceedings.
ReferPlease refer to “Litigation and Regulatory Proceedings” in “Note 10 - Commitments and Contingencies”. to the consolidated financial statements included in this report. The Company believes that these matters,proceedings, individually or in the aggregate, will not have a material impact on the Company’s financial condition, operating results or cash flows.
Loan Fraud Lawsuit
The Company originated a loan in April 2022 secured by a portfolio of 24 properties net leased to Walgreens (the “Collateral Properties”). As more particularly described under Item 3. Legal Proceedings in our Annual Report on Form 10-K for the year ended December 31, 2022, due to the sponsor’s fraud and default under the loan, the Company commenced foreclosure on the Collateral Properties in 2022. To date, the Company has completed foreclosure or received grant deeds from the borrower on all 24 of the Collateral Properties. Note that the collectability, if any, of amounts of legal judgments we have achieved to date and that we may achieve in the future is not currently determinable.
Williamsburg Hotel Bankruptcy Case
The sale of the Williamsburg Hotel, the Company’s Brooklyn hotel asset, by a trustee appointed by the United States Bankruptcy Court for the Southern District of New York, was completed on April 18, 2023, pursuant to the Chapter 11 plan in In re 96 Wythe Acquisition LLC, Case No. 21-22108. The purchaser of the hotel was selected after a multi-month marketing process.  The sale closed for a total sale price of $96 million, comprising cash and new indebtedness. As a result of the sale, the Company has recovered the full principal amount of its loan (equal to the carrying cost of the loan as of December 31, 2022) and approximately $20 million of additional proceeds after the payment of all related closing expenses. The Company may elect to pursue additional remedies available under the loan documents.
Item 1A. Risk Factors.
Our potential risks and uncertainties are presented in the section entitled "Risk Factors" contained in our Annual Report on Form 10-K for the year ended December 31, 2021.2022. There have been no material changes from these risk factors.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
Purchases of Equity Securities by the Issuer and Affiliated Purchasers
The Company’s board of directors has authorized a $65 million share repurchase program that will become operative following the conclusion of the $35 million open market share purchase program the Advisor agreed to implement in connection with the Capstead acquisition. The Company’s share repurchase program authorizespermits share repurchases at prices below the most recently reported book value per share as determined in accordance with GAAP. Purchases made under the Company’s 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 and the Advisor will beare determined by the respective teams responsible at the Company and the Advisor, as applicable, in theirits reasonable business judgment and consistent with the exercise of theirits legal duties and will beare subject to economic and market conditions, stock price, applicable legal requirements and other factors. The CompanyCompany's share repurchase program does not obligate the Company to acquire any particular amount of common stock. The Company’s and the Advisor’s share purchase programsrepurchase program will remain open until at least November 2022December 31, 2023 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.
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The following table sets forth purchases of the Company's common stock under the Advisor'sshare purchase programprograms for the three monthsquarter ended March 31, 2022:2023:
Total number of shares purchased
Average price paid per share (2)
Total number of shares purchased as part of publicly announced plans or programs (1)
Approximate dollar value of shares that may yet be purchased under the plans or programs (1)
January 1, 2022 - January 31, 2022— $— — $— 
February 1, 2022 - February 28, 2022— — — — 
March 1, 2022 - March 31, 2022572,940 13.15 572,940 27,466,738 
Total572,940$13.15 572,940 $27,466,738 
Total number of shares purchased
Average price paid per share (2)
Total number of shares purchased as part of publicly announced plans or programs (1)
Approximate dollar value of shares that may yet be purchased under the plans or programs (1)
January 1, 2023 - January 31, 2023— $— — $— 
February 1, 2023 - February 28, 2023— — — — 
March 1, 2023 - March 31, 2023313,411 11.70 313,411 44,754,508 
Total313,411$11.70 313,411$44,754,508 
_______________________
(1) All of the purchases listed in the table above were made in the open market by the Advisor under the Advisor’sCompany's share purchase program announced on July 26, 2021, including under a Rule 10b5-1 plan adopted by the Advisor. No shares were repurchased under the Company’s share repurchase program during the three months ended March 31, 2022.Company.
(2) The average price paid per share represents the average of the gross purchase price per share, inclusive of any broker’s fees or commissions.
Subsequent to March 31, 2022,2023, the Advisor purchased an aggregate of 900,098Company repurchased 363,422 additional shares of the Company’s common stock at an average price of $13.45 per share.$12.35, inclusive of any broker's fees or commissions, for an aggregate of $4.5 million. As of May 3, 2022, there was a $15.4April 28, 2023, $40.3 million remaining balance under the Advisor’s purchase plan and $65.0 million remainingremains available under the Company’s share repurchase program.
Unregistered Sales of Equity Securities
None.
Item 3. Defaults upon Senior Securities.
Not applicable.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
None.
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Item 6. Exhibits.
EXHIBITS INDEX
The following exhibits are included in this Quarterly Report on Form 10-Q for the quarter ended March 31, 20222023 (and are numbered in accordance with Item 601 of Regulation S-K).
Exhibit No.Description
10.13.1
3.2
10.2*10.1*†
10.3*
31.1*
31.2*
32*
101*
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.
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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 Franklin BSP Realty Trust, Inc. 
Dated:May 4, 20223, 2023By/s/ Richard J. Byrne
Name: Richard J. Byrne
Title: Chief Executive Officer and President
(Principal Executive Officer)
Dated:May 4, 20223, 2023By/s/ Jerome S. Baglien
Name: Jerome S. Baglien
Title: Chief Financial Officer, Chief Operating Officer and Treasurer
(Principal Financial and Accounting Officer)
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