#1KKR REAL ESTATE FINANCE TRUST KKR Real Estate Finance Trust Inc. 1st Quarter 2020 Supplemental Information April 28, 2020#2Legal Disclosures This presentation has been prepared for KKR Real Estate Finance Trust Inc. (NYSE: KREF) for the benefit of its stockholders. This presentation is solely for informational purposes in connection with evaluating the business, operations and financial results of KKR Real Estate Finance Trust Inc. and its subsidiaries (collectively, "KREF" or the "Company"). This presentation is not and shall not be construed as an offer to purchase or sell, or the solicitation of an offer to purchase or sell, any securities, any investment advice or any other service by KREF. Nothing in this presentation constitutes the provision of any tax, accounting, financial, investment, regulatory, legal or other advice by KREF or its advisors. This presentation may not be referenced, quoted or linked by website by any third party, in whole or in part, except as agreed to in writing by KREF. This presentation contains certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, which reflect the Company's current views with respect to, among other things, its future operations and financial performance. You can identify these forward looking statements by the use of words such as "outlook," "believe," "expect," "potential," "continue," "may," "should," "seek," "approximately," "predict," "intend," "will," "plan," "estimate," "anticipate," the negative version of these words, other comparable words or other statements that do not relate strictly to historical or factual matters. By their nature, forward-looking statements speak only as of the date they are made, are not statements of historical fact or guarantees of future performance and are subject to risks, uncertainties, assumptions or changes in circumstances that are difficult to predict or quantify, in particular due to the uncertainties created by the COVID-19 pandemic, including the projected impact of COVID-19 on our business, financial performance and operating results. The forward-looking statements are based on the Company's beliefs, assumptions and expectations, taking into account all information currently available to it. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to the Company or are within its control. Such forward-looking statements are subject to various risks and uncertainties, including, among other things: the severity and duration of the COVID-19 pandemic; potential risks and uncertainties relating to the ultimate geographic spread of COVID-19; actions that may be taken by governmental authorities to contain the COVID-19 outbreak or to treat its impact; the potential negative impacts of COVID-19 on the global economy and the impacts of COVID-19 on the Company's financial condition and business operations; deterioration in the performance of the properties securing our investments that may cause deterioration in the performance of our investments and, potentially, principal losses to us; difficulty or delays in redeploying the proceeds from repayments of our existing investments; the general political, economic and competitive conditions in the United States and in any foreign jurisdictions in which the Company invests; the level and volatility of prevailing interest rates and credit spreads; adverse changes in the real estate and real estate capital markets; general volatility of the securities markets in which the Company participates; changes in the Company's business, investment strategies or target assets; difficulty in obtaining financing or raising capital; adverse legislative or regulatory developments; reductions in the yield on the Company's investments and increases in the cost of the Company's financing; acts of God such as hurricanes, earthquakes and other natural disasters, pandemics such as COVID-19, acts of war and/or terrorism and other events that may cause unanticipated and uninsured performance declines and/ or losses to the Company or the owners and operators of the real estate securing the Company's investments; deterioration in the performance of properties securing the Company's investments that may cause deterioration in the performance of the Company's investments and, potentially, principal losses to the Company; defaults by borrowers in paying debt service on outstanding indebtedness; the adequacy of collateral securing the Company's investments and declines in the fair value of the Company's investments; adverse developments in the availability of desirable investment opportunities whether they are due to competition, regulation or otherwise; difficulty in successfully managing the Company's growth, including integrating new assets into the Company's existing systems; the cost of operating the Company's platform, including, but not limited to, the cost of operating a real estate investment platform and the cost of operating as a publicly traded company; the availability of qualified personnel and the Company's relationship with our Manager; KKR controls the Company and its interests may conflict with those of the Company's stockholders in the future; the Company's qualification as a REIT for U.S. federal income tax purposes and the Company's exclusion from registration under the Investment Company Act of 1940; authoritative GAAP or policy changes from such standard-setting bodies such as the Financial Accounting Standards Board, the Securities and Exchange Commission (the "SEC"), the Internal Revenue Service, the New York Stock Exchange and other authorities that the Company is subject to, as well as their counterparts in any foreign jurisdictions where the Company might do business; and other risks and uncertainties, including those described under Part I-Item 1A. "Risk Factors" of the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2019, and under Part II - Item 1A. "Risk Factors" of the Company's Quarterly Report on Form 10-Q for the quarter ended March 31, 2020, as such factors may be updated from time to time in the Company's periodic filings with the SEC, which are accessible on the SEC's website at www.sec.gov. Accordingly, there are or will be important factors that could cause actual outcomes or results to differ materially from those indicated in this presentation. These factors should not be construed as exhaustive and should be read in conjunction with the other cautionary statements and information included in this presentation and in the Company's filings with the SEC. All forward looking statements in this presentation speak only as of April 27, 2020. KREF undertakes no obligation to publicly update or review any forward-looking statements, whether as a result of new information, future developments or otherwise, except as required by law. All financial information in this presentation is as of March 31, 2020 unless otherwise indicated. This presentation also includes non-GAAP financial measures, including Core Earnings and Core Earnings per Diluted Share. Such non-GAAP financial measures should be considered only as supplemental to, and not as superior to, financial measures prepared in accordance with U.S. GAAP. Please refer to the Appendix of this presentation for a reconciliation of the non-GAAP financial measures included in this presentation to the most directly comparable financial measures prepared in accordance with U.S 2 KKR REAL ESTATE FINANCE TRUST#31Q'20 Key Highlights Financials Liquidity & Capitalization Portfolio Interest Rate Sensitivity Net Loss(¹) of $35.2 million or ($0.61) per diluted share, net of $55.3 million or ($0.96) per diluted share for Current Expected Credit Loss ("CECL") adjustment(²) Core Earnings (3) of $25.3 million or $0.44 per diluted share Repurchased 1.6 million shares at an average price per share of $11.64 for a total of $19.2 million; year-to- date as of April 28, 2020, KREF repurchased 2,037,637 shares of common stock at an average price of $12.27 for a total of $25.0 million Book value(4) of $1,030.2 million or $18.45 per share, inclusive of ($70.3) million or ($1.22) per share CECL adjustment • Paid 1Q dividend of $0.43 per share, equating to an 11.9% annualized dividend yield(5) ● ● ● ● ● ● ● ● ● ● ● ● $369.9 million cash on hand and $80.1 million approved and undrawn credit capacity 73% of outstanding secured financing is non-mark-to-market Increased borrowing capacity on the corporate revolving credit facility by $85.0 million to $335.0 million Entered into a new $500.0 million non-mark-to-market warehouse facility Outstanding total portfolio of $5.2 billion, up 3% from 4Q'19 and 40% from 1Q'19 Multifamily and office assets represent 85% of loan portfolio; only 8% of portfolio is comprised of hospitality and retail asset classes Senior loans weighted average LTV of 66%(6) Weighted average risk rating of 3.0 (Average Risk) 99.9% of the loan portfolio is floating rate Portfolio benefits from decreasing rates given in place LIBOR floors Approximately 98% of the portfolio is subject to LIBOR floor of at least 0.95% Note: Net income attributable to common stockholders per share and Core Earnings per share are based on diluted weighted average shares outstanding as of March 31, 2020; book value per share is based on shares outstanding at March 31, 2020. (1) Represents Net Income attributable to common stockholders. (2) In connection with first quarter adoption of Accounting Standards Updated 2016-13, Financial Instruments-Credit Losses ("ASU 2016-13" or "CECL") (3) See Appendix for definition and reconciliation to financial results prepared in accordance with GAAP. (4) Book value per share includes the year to date ("YTD") impact of a ($0.4) million, or ($0.01) per common share, non-cash redemption value adjustment to our redeemable Special Non-Voting Preferred Stock (SNVPS'), resulting in a cumulative (since issuance of the SNVPS) decrease of $2.1 million to our book value as of March 31, 2020. (5) Based on KREF common stock closing price of $14.40 as of April 27, 2020. (6) LTV is generally based on the initial loan amount divided by the as-is appraised value as of the date the loan was originated or by the current principal amount as of the date of the most recent as-is appraised value. 3 KKR REAL ESTATE FINANCE TRUST#4Conservative Portfolio Construction and Liability Management 100% 80% 60% 40% 20% 0% $150 $100 4 $50 $0 Investment Portfolio Evolution 27% 6% 67% At IPO $50 <3% At IPO 97% 4Q'18 Larger Average Loan Size $100 <1% 4Q'18 99% 1Q'20 $130 1Q'20 Other Securities Mezz Loan Senior Loan 100% 80% 60% 40% 20% 0% 100% 80% 60% 40% 20% 0% Property Type Evolution 62% 31% At IPO 0% 86% At IPO 7% 4Q'18 Increased Non-MTM Financing 60% 85% 4Q'18 8% 1Q'20 73% 1Q'20 KREF benefits from KKR's alignment of interest (36% ownership), one firm culture and integrated real estate platform Multifamily and Office Hospitality and Retail KKR REAL ESTATE FINANCE TRUST#51Q'20 Financial Summary ($ in Millions, except per share data) LO Net Interest Income 5 Other Income Income Statement Operating Expenses and Other CECL Provision for Credit Losses, Net Net Income Attributable to Common Stockholders Weighted Average Shares Outstanding, Diluted (¹) Net Income per Share, Diluted Core Earnings (2) Weighted Average Shares Outstanding, Diluted Core Earnings per Share, Diluted (²) Dividend per Share 1Q20 $32.0 (1.5) (10.4) (55.3) ($35.2) 57,346,726 ($0.61) $25.3 57,432,611 $0.44 $0.43 ($ in Millions, except per share data) Total Portfolio Term Credit Facilities Term Lending Agreement Asset Specific Financing Warehouse Facility Revolving Credit Agreements Convertible Notes Total Debt Balance Sheet Term Loan Facility Collateralized Loan Obligation Senior Loan Interests (3) Total Leverage Cash Total Permanent Equity Debt-to-Equity Ratio (4) Total Leverage Ratio (5) Shares Outstanding Book Value per Share (6) (1) Excludes 85,885 anti-dilutive restricted stock units. (2) See Appendix for definition and reconciliation to financial results prepared in accordance with GAAP. (3) Includes loans financed through the non-recourse sale of a senior interest that is not included in our GAAP consolidated financial statements. (4) Represents (i) total debt less cash to (ii) total permanent equity. The debt-to-equity ratio, adjusted for the impact of CECL allowance for credit losses, is 2.0x at 1Q'20. (5) Represents (i) total leverage less cash to (ii) total permanent equity. The total leverage ratio, adjusted for the impact of CECL allowance for credit losses, is 3.7x at 1Q'20. (6) Book value per share includes (i) CECL credit loss provision impact of ($70.3) million or ($1.22) per common share, and (2) the YTD impact of ($0.4) million, or ($0.01) per common share, non-cash redemption value adjustment to our redeemable SNVPS, resulting in a cumulative (since issuance of the SNVPS) decrease of $2.1 million to our book value as of March 31, 2020. 1Q20 $5,232.5 1,095.5 896.8 82.3 45.4 335.0 143.8 $2,598.8 924.9 810.0 143.6 $4,477.3 369.9 1,030.2 2.2x 4.0x 55,838,032 $18.45 KKR REAL ESTATE FINANCE TRUST#6Recent Operating Performance 1Q'20 Net loss attributable to common stockholders of ($35.2) million or ($0.61) per diluted share, net of ($55.3) million or ($0.96) per diluted share, provision for credit losses in connection with CECL adoption • 1Q'20 Core Earnings (¹) of $25.3 million or $0.44 per diluted share • Book value of $1,030.2 million or $18.45 per share in 1Q'20(³), net of (i) ($70.3) million or ($1.22) per share CECL impact and (ii) $19.2 million of 1,648,551 share buyback, compared to $1,122.0 million or $19.52 per share in 4Q'19 • Paid 1Q dividend of $0.43 per share on April 15, 2020, equating to an 11.9% annualized dividend yield based on KREF common stock closing price of $14.40 as of April 27, 2020 and 9.3% based on 1Q'20 book value per share Net Income (2) and Core Earnings (¹) Net income per diluted share: $0.43 Core earnings per diluted share: $0.44 ($ in Millions) $24.7 $25.3 1Q'19 6 $0.43 $0.44 $24.8 $25.5 4Q'19 ($0.61) $0.44 $25.3 1Q'20 ($35.2) ■ Net Income ■ Core Earnings (1) See Appendix for definition and reconciliation to financial results prepared in accordance with GAAP. (2) Represents Net Income attributable to common stockholders. Dividends and Book Value Per Share Book value per share: $19.67 CECL adjustment: n/a Dividend per share: $0.43 8.7% $19.52 n/a $0.43 8.8% $18.45 ($1.22) (3) Book value per share includes the YTD impact of ($0.4) million, or ($0.01) per common share, non-cash redemption value adjustment to our redeemable SNVPS, resulting in a cumulative (since issuance of the SNVPS) decrease of $2.1 million to our book value as of March 31, 2020. $0.43 9.3% 1Q'19 4Q¹19 1Q'20 Annualized dividend yield based on book value per share KKR REAL ESTATE FINANCE TRUST#71Q'20 Equity Activity $19.52 Book Value at 4Q'19 7 $0.40 Net Income, excl. CECL and RECOP I MTM (1)(2) ($0.43) 1Q'20 Dividend Changes in Book Value per Share $0.19 Share Buybacks (3) $(0.05) RECOP I Unrealized MTM (1) (1) Collectively, represents ($0.61) net loss per common share attributable to common stockholders. (2) Includes $2.8 million, or $0.05 per common share, non-recurring exit fee income in 1Q'20. (3) Repurchased 1.6 million shares at an average price per share of $11.64 for a total of $19.2 million. $0.04 Accretion to APIC due to RSU Amortization Cumulative provision for credit losses of ($70.3) million or ($1.22) per diluted share during 1Q'20, inclusive of ($4.3) million or ($0.07) per diluted share allowance for unfunded loan commitments $19.67 Subtotal Pre- CECL impact ($0.26) CECL Day-One Adjustment ($0.96) 1Q'20 CECL Provision (1) (4) Book value per share includes the YTD impact of ($0.4) million, or ($0.01) per common share, non-cash redemption value adjustment to our redeemable SNVPS, resulting in a cumulative (since issuance of the SNVPS) decrease of $2.1 million to our book value as of March 31, 2020. $18.45 Book Value at 10'20 (4) KKR REAL ESTATE FINANCE TRUST#81Q'20 Loan Activity C ($ in Millions) $4,111 Future Funding Obligations (3) $3661 $353mm Committed to 3 New Loans $3,745 66% Weighted Average LTV 1Q'19 Portfolio $1,479 2Q'19 Fundings $272 2Q'19 Repayments (4) $5,489 I $537 $4,952 2Q'19 Portfolio Summary of 1Q'20 Originations 94% Senior Loans Portfolio Funding Activity (2) $473 L+3.2% Weighted Average Coupon 3Q'19 Fundings $204 $5,777 $556 $5,221 3Q'19 3Q'19 Repayments (5) Portfolio $619 4Q'19 Fundings (1) See Appendix for definition. (2) Includes capital committed to our investment in an aggregator vehicle that invests in CMBS. (3) Future funding obligations are generally contingent upon certain events and may not result in investment by us. (4) Excludes non-consolidated senior interests and includes pari passu and vertical loan syndications, as applicable. (5) Includes sale of residual direct CMBS B-Piece investments with an initial cost of $10.0 million. 8 $765 4Q'19 Repayments (4) $5,696 Weighted Average Underwritten IRR (¹) $621 $5,075 100% Floating-Rate Loans 4Q'19 Portfolio 11.3% $338 1Q'20 Fundings $180 1Q'20 Repayments $5,826 $593 $5,233 1Q'20 Portfolio KKR REAL ESTATE FINANCE TRUST#91Q'20 Loan Originations Investment Loan Type Loan Size Location Collateral Loan Purpose LTV(¹) Investment Date Asset Photos New York Multifamily Floating-Rate Mezzanine Loan $20.0 million Westbury, NY 237-unit Class-A Multifamily Construction 66% January 2020 Case Studies 6=883 San Diego Multifamily Floating-Rate Senior Loan $106.0 million San Diego, CA 231-unit Class-A Multifamily Acquisition 71% February 2020 (1) LTV based on initial loan amount divided by the as-is appraised value as of the date the loan was originated. 9 Plano Office Floating-Rate Senior Loan $226.5 million Plano, TX Class-A Office Campus totaling 930k SF Refinance 64% February 2020 Cont KKR REAL ESTATE FINANCE TRUST#10KREF Portfolio by the Numbers Outstanding total portfolio of $5.2 billion as of March 31, 2020 • Multifamily and office loans comprise 85% of the portfolio and hospitality and retail loans comprise 8% of the portfolio ($ in Millions) Current Portfolio: $5.2 billion (¹) Including net funding and repayment activity subsequent to quarter end $1,812 $1,265 Total Portfolio Growth $2,083 $2,474 $2,960 $4,134 $3,383 $5,221 $5,233 $4,952 $3,745 $5,075 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18 4Q'18 1Q'19 2Q'19 3Q'19 4Q'19 1Q'20 ($ in Millions) $2,956 $1,504 $1,555 $1,441 Multifamily Office (1) As of April 27, 2020. (2) Chart based on total assets. Total assets reflect the principal amount outstanding of our senior and mezzanine loans. 10 $131 Property Type(²) $233 Multifamily YoY increase of 97% ■ 1Q'19 $216 $216 Retail Hospitality ■ 1Q'20 $166 $143 $132 $138 Condo Industrial (Resi) $69 Student Housing KKR REAL ESTATE FINANCE TRUST#111Q'20 KREF Loan Portfolio $5.2 billion loan portfolio comprised of 40 investments • Portfolio weighted average LTV of 66% (¹) Geography (2) Other (<5%) 19% 11 TX 5% WA 7% VA 7% CA 7% FL 5% MA 7% NY 22% PA 9% IL 12% Investment Type(³) Mezz 0.4% Office Class-B 25% Senior Loans 99.6% Class-A 75% Hospitality 4% Retail 4% Condo (Residential) 3% Property Type Industrial 3% Interest Rate Type Fixed 0.1% Office 28% Multifamily 57% Floating 99.9% Student Housing 1% Class-B 12% Multifamily Note: The charts above are based on total assets. Total assets reflect the principal amount of our senior and mezzanine loans. (1) LTV is generally based on the initial loan amount divided by the as-is appraised value as of the date the loan was originated or by the current principal amount as of the date of the most recent as-is appraised value. See page 20 for additional details. (2) Map does not include Midwest Mezzanine portfolio ($5.5 million). (3) Senior loans include senior mortgages and similar credit quality loans, including related contiguous junior participations in senior loans where KREF has financed a loan with structural leverage through the non-recourse sale of a corresponding first mortgage and excludes vertical loan syndications. Class-A 88% KKR REAL ESTATE FINANCE TRUST#12Portfolio Credit Quality Remains Strong KREF's loan portfolio is 100% performing, with no defaulted or impaired loans (% of total portfolio) 4Q'19 20% 0% - 60% 1Q'20 20% 0% - 60% Loan-to-Value(1,2) 25% 18% ... 65% - 70% 60% - 65% 28% Weighted Average LTV(3): 66% 17% 29% 70% -75% 75% - 80% 8% Weighted Average LTV(3): 66% 27% 60% - 65% 65% - 70% 70% 75% 8% 75% - 80% (% of portfolio) (2) Includes non-consolidated senior interests and excludes vertical loan syndications. (3) Weighted average is weighted by current principal amount for our senior and mezzanine loans. 12 4Q'19 2% 1 1 1Q'20 3% 1 2 Risk Rating Distribution (2) 9% 2 5 6% 2 89% 3 33 Loan Count 77% 3 28 Weighted Average Risk Rating (³): 2.9 4 0 Weighted Average Risk Rating (³): 3.0 14% 4 7 Loan Count (1) LTV is generally based on the initial loan amount divided by the as-is appraised value as of the date the loan was originated or by the current principal amount as of the date of the most recent as-is appraised value. 5 5 KKR REAL ESTATE FINANCE TRUST#13Hospitality Loans - Overview Investment Current Principal Amount As % of Total KREF Portfolio Loan Amount / Key LTV(¹) December 31, 2019 T12 Debt Yield (2) December 31, 2019 T12 DSCR(3) Financing Asset Photos Fort Lauderdale Hotel $140.0 million 2.7% $404,624 62% 9.5% 2.0x Non MTM: CLO/ Term Loan Facility Brooklyn Hotel (1) LTV is based on initial loan amount divided by the as-is appraised value as of the date the loan was originated. (2) T12 Debt Yield is calculated based on NOI net of FF&E reserves for the Trailing Twelve Months ended December 31, 2019. (3) T12 DSCR is based on LIBOR calculated at the greater of (i) spot LIBOR of 1.76% at December 31, 2019 and (ii) the applicable LIBOR floor. 13 $76.0 million 1.5% $387,755 69% 8.2% 1.6x Non MTM: Asset Specific Financing KKR REAL ESTATE FINANCE TRUST#14Financing Overview: 73% Non-Mark-To-Market Diversified financing sources totaling $6.1 billion with $1.7 billion of undrawn capacity ($ in Millions) Summary of Outstanding Financing Maximum Capacity Term Credit Facilities Term Lending Agreement Warehouse Facility Asset Specific Financing Convertible Notes Corporate Revolving Credit Facility Total Corporate Obligations Term Loan Facility Collateralized Loan Obligation Senior Loan Interests (1) $2,000 $900 $500 $300 $144 $335 $4,179 $1,000 $810 $144 Outstanding Face Amount $1,096 $897 $45 $82 $144 $335 $2,599 $925 $810 $144 Weighted Average Coupon L+1.7% L+1.9% L+1.5% L+1.7% 6.1% L+2.0% L+1.5% L+1.4% L+1.6% 2.2x 0.2x 2.0x Warehouse, Facility 1% Asset Specific. Financing 2% Leverage Ratios Senior Loan Interests 4% 4.0x 0.3x 3.7x Debt-to-Equity Ratio (2) Total Leverage Ratio (3) Outstanding Secured Financing (4) Term Credit Facilities 27% Collateralized Loan Obligation 20% CECL Impact Total Leverage $6,133 $4,478 (1) Includes $143.6 million of Non-Consolidated Senior Interests, which result from non-recourse sales of senior loan interest in loans KREF originated. (2) Represents (i) facilities outstanding face amount (excluding non-recourse term loan facility), and convertible notes less cash to (ii) total permanent equity, in each case, at period end. The debt-to-equity ratio, adjusted for the impact of CECL allowance for credit losses, is 2.0x at 1Q'20. (3) Represents (i) facilities outstanding face amount, convertible notes, loan participations sold (excluding pari passu and vertical loan syndications), non-consolidated senior loan interests, and collateralized loan obligation less cash to (ii) total permanent equity, in each case, at period end. The total leverage ratio, adjusted for the impact of CECL allowance for credit losses, is 3.7x at 1Q'20. (4) Based on outstanding face amount of secured financing and excludes convertible notes and the corporate revolving credit facility. 14 Pre-CECL Term Loan Facility 23% Term Lending Agreement 23% Non-Mark- to-Market 73% KKR REAL ESTATE FINANCE TRUST#15Financing Overview: Term Credit Facilities ($ in Millions) Counterparty Drawn Capacity Collateral: Loans / Principal Balance Final Stated Maturity Weighted Average Pricing Weighted Average Advance 15 WELLS FARGO $469 $1,000 5 Loans / $653 November 2023 L + 1.50% 71.8% Morgan Stanley $405 $600 3 Loans / $545 December 2022 L + 1.76% 74.4% Goldman Sachs $222 $400 3 Loans / $311 October 2020 L + 1.93% 71.3% Property Type: Total / Weighted Average Condo 9% Office 9% Retail 15% $1,096 $2,000 11 Loans / $1,509 L + 1.68% 72.6% Student Housing 5% Multi- family 62% KKR REAL ESTATE FINANCE TRUST#16Liquidity Overview ($ in Millions) $500.0 $450.0 $400.0 $350.0 $300.0 $250.0 $200.0 $150.0 $100.0 $50.0 $0.0 $369.9 Cash $80.1 Sources of Available Liquidity $450.0 Approved and Undrawn Total Available Liquidity Credit Capacity (1) Cash and Cash Equivalents Term Credit Facilities Term Lending Agreement Warehouse Facility Asset Specific Financing Term Loan Facility Corporate Revolving Credit Facility Total Available Capacity $369.9 6.9 1.6 2.9 2.6 66.2 $450.0 (1) Represents under-levered amounts under financing facilities. While these amounts were previously contractually approved and/or drawn, in certain cases, the lender's consent is KKR required for us to (re)borrow these amounts. 16 REAL ESTATE FINANCE TRUST#17Rate Floors Provide Protection in a Declining Rate Environment ● ● 99.9% of the portfolio is indexed to one-month USD LIBOR Portfolio benefits from decreasing rates given in place LIBOR floors 98% of the portfolio is subject to a LIBOR floor of at least 0.95% ✓ 5% of total outstanding financing is subject to a LIBOR floor greater than 0.0% ($ Impact Per Share / Q) $0.25 $0.20 $0.15 $0.10 $0.05 $0.00 $0.00 1.76% LIBOR as of 12/31/2019 Net Interest Income Per Share Sensitivity to LIBOR Movements (¹) (1) Portfolio as of March 31, 2020. 17 $0.02 1.50% $0.05 1.25% $0.09 0.99% LIBOR as of 3/31/2020 LIBOR $0.13 0.75% $0.17 0.50% $0.21 0.25% KKR REAL ESTATE FINANCE TRUST#18Appendix 18 KKR REAL ESTATE FINANCE TRUST#19Portfolio Details # Investment Senior Loans (1) 1 Senior Loan 2 3 4 5 6 7 8 9 10 11 Senior Loan 12 Senior Loan 13. Senior Loan 14 Senior Loan 15 Senior Loan 16 Senior Loan 17 Senior Loan 18 Senior Loan 19 Senior Loan 20 Senior Loan 21 Senior Loan Senior Loan 22 23 Senior Loan Senior Loan 24 25 Senior Loan 26 Senior Loan Senior Loan 27 28 Senior Loan 29 Senior Loan 30 Senior Loan 31 Senior Loan 32 Senior Loan 33 Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Senior Loan Location Brooklyn, NY Chicago, IL Arlington, VA New York, NY Boston, MA Plano, TX Various Minneapolis, MN Chicago, IL Denver, CO Irvine, CA Philadelphia, PA Washington, D.C. Seattle, WA Chicago, IL Philadelphia, PA New York, NY North Bergen, NJ Fort Lauderdale, FL Various 34 35 36 37 38 Total / Weighted Average Mezzanine Loans 1 Fixed Rate Mezzanine 2 Floating Rate Mezzanine Total / Weighted Average CMBS Total / Weighted Average Portfolio Total / Weighted Average 1020 Outstanding Portfolio (8) New York, NY Boston, MA West Palm Beach, FL Portland, OR San Diego, CA State College, PA Seattle, WA Los Angeles, CA New York, NY Seattle, WA Philadelphia, PA Brooklyn, NY Queens, NY Atlanta, GA Herndon, VA Austin, TX Atlanta, GA Queens, NY Various Westbury, NY *See footnotes on subsequent page 19 Property Type Multifamily Multifamily Multifamily Multifamily Office Office Multifamily Office Multifamily Multifamily Office Office Office Office Office Office Multifamily Multifamily Hospitality Retail Condo (Resi) Multifamily Multifamily Retail Multifamily Student Housing Multifamily Multifamily Multifamily Office Multifamily Hospitality Industrial Industrial Multifamily Multifamily Multifamily Multifamily Retail Multifamily Investment Date 5/22/2019 6/28/2019 6/28/2019 12/20/2018 5/23/2018 2/6/2020 5/31/2019 11/13/2017 6/6/2019 8/13/2019 11/15/2019 4/11/2019 12/20/2019 9/13/2018 7/15/2019 6/19/2018 12/5/2018 10/23/2017 11/9/2018 12/19/2019 8/4/2017 3/29/2019 11/7/2018 10/26/2015 2/3/2020 10/15/2019 9/7/2018 12/11/2019 3/29/2018 3/20/2018 10/30/2018 1/18/2019 7/21/2017 7/24/2018 12/23/2019 9/12/2019 8/9/2019 10/9/2018 6/8/2015 1/27/2020 Committed Principal Amount Principal Amount $386.0 340.0 273.5 234.5 227.3 226.5 216.5 194.4 186.0 185.0 183.3 182.6 175.5 172.0 170.0 165.0 163.0 150.0 150.0 147.0 143.4 138.0 135.0 125.0 106.0 93.4 92.3 91.0 86.0 80.7 77.0 76.0 75.1 74.5 73.9 67.5 61.5 45.0 $5,769.3 5.5 20.0 $25.5 Current $40.0 $5,834.8 $367.6 320.3 264.6 190.2 204.9 164.4 200.8 187.8 179.5 154.4 151.0 153.3 47.3 168.0 126.1 157.3 148.0 150.0 140.0 102.2 143.4 137.0 131.6 125.0 106.0 69.4 92.3 90.0 86.0 80.7 77.0 76.0 66.3 72.1 72.5 67.5 61.5 42.0 $5,174.0 5.5 17.3 $22.8 Net Equity (2) $91.4 68.3 65.5 32.6 38.0 32.4 34.5 33.2 35.2 59.4 34.3 37.9 12.3 29.6 20.8 40.6 23.0 35.7 27.2 25.0 46.4 24.3 28.6 49.8 41.4 16.9 16.7 18.1 14.4 14.7 12.8 15.6 12.2 15.5 11.9 12.3 11.2 7.9 $1,147.6 5.5 17.2 $22.7 $35.7 $35.7 $5,232.5 $1,206.0 Future Funding (3) $18.4 19.7 8.9 44.3 22.3 62.1 15.7 6.6 1.3 30.6 32.3 29.3 128.2 4.0 43.9 7.7 15.0 10.0 44.8 1.0 3.4 - 23.9 1.0 8.8 2.4 1.4 - 3.0 $590.2 2.7 $2.7 $4.3 $597.2 Coupon (4) (5) L + 2.7% L + 2.8% L + 2.5% L + 3.6% L+2.4% L + 2.7% L + 3.5% L + 3.8% L+2.7% L + 2.8% L + 2.9% L + 2.6% L + 3.4% L + 3.8% L +3.3% L + 2.5% L + 2.6% L + 3.2% L + 2.9% L + 2.6% L + 4.7% L + 2.7% L + 2.9% L + 5.5% L +3.3% L + 2.7% L + 2.6% L + 2.8% L + 2.6% L + 3.6% L + 2.7% L + 2.9% L + 3.0% L + 2.7% L + 2.5% L + 2.5% L + 3.0% L + 2.8% L + 3.0% 11.0% L + 9.0% 11.0% 4.7% 4.8% Max Remaining Term (Yrs) (4) (6) 4.2 6.3 4.3 3.8 3.2 4.9 4.2 2.7 4.2 4.4 4.6 4.1 4.8 3.5 4.4 3.3 3.7 2.6 3.7 5.4 1.5 4.0 3.6 0.6 4.9 4.6 3.4 2.8 3.0 3.0 3.6 3.9 2.3 3.4 4.8 4.5 4.4 3.6 3.9 5.3 4.3 4.6 9.2 3.9 Loan Per SQFT / Unit / Key $ 428,966 / unit $ 400,426 / unit $ 238,357 / unit $ 970,296 / unit $ 442 / sqft $ 177 / sqft $ 187,693/ unit $ 176/sqft $364,837 / unit $ 259,986 / unit $ 248 / sqft $ 217 / sqft $ 286/sqft $ 490 / sqft $ 121 sqft $ 162/sqft $ 556,391 / unit $ 468,750 / unit $ 404,624/ key $76/ sqft $ 1,817/ sqft (9) $ 351,282 / unit $ 162,040 / unit $ 115 sqft $ 458,874 / unit $ 54,620/ bed $ 515,571 / unit $ 416,667 / unit $ 462,366 / unit $ 473/ sqft $ 150,980 unit $ 387,755 / key $ 116/sqft $ 66/ sqft $ 246,512 / unit $ 190,678 / unit $ 170,833 / unit $333,333 / unit LTV(4)(7) $ 46/sqft $452,875 / unit 51% 75% 70% 71% 68% 64% 74% 63% 74% 64% 66% 65% 58% 62% 59% 71% 67% 57% 62% 55% 53% 63% 73% 61% 71% 64% 76% 72% 48% 61% 73% 69% 64% 74% 72% 75% 74% 70% 66% 72% 66% 67% 58% 66% $5,232.5 KKR REAL ESTATE FINANCE TRUST#20Portfolio Details (1) Senior loans include senior mortgages and similar credit quality investments, including junior participations in our originated senior loans for which we have syndicated the senior participations and retained the junior participations for our portfolio and excludes vertical loan syndications. (2) Net equity reflects (i) the amortized cost basis of our loans, net of borrowings and (ii) the cost basis of our investment in RECOP I. (3) Represents Committed Principal Amount less Current Principal Amount on Senior Loans and $4.3 million of remaining commitment to RECOP I. (4) Weighted averages are weighted by current principal amount for senior loans and mezzanine loans and by net equity for our RECOP I CMBS B-Piece investment. (5) L = one-month USD LIBOR rate; greater of (i) spot one-month USD LIBOR rate of 0.99% and (ii) LIBOR floor, where applicable, included in portfolio- wide averages represented as fixed rates. (6) Max remaining term (years) assumes all extension options are exercised, if applicable. (7) For senior loans, loan-to-value ratio ("LTV") LTV is based on the initial loan amount divided by the as-is appraised value as of the date the loan was originated or by the current principal amount as of the date of the most recent as-is appraised value; for Senior Loan 4, LTV is based on the initial loan amount divided by the appraised bulk sale value assuming a condo-conversion and no renovation; for Senior Loan 21, LTV is based on the current principal amount divided by the adjusted appraised gross sellout value net of sales cost; for mezzanine loans, LTV is based on the current balance of the whole loan dividend by the as-is appraised value as of the date the loan was originated; for RECOP I CMBS B-Pieces, LTV is based on the weighted average LTV of the underlying loan pool at issuance. (8) Represents Current Principal Amount of Senior Loans and Mezzanine Loans and Net Equity for our RECOP I CMBS B-Piece investment. (9) For Senior Loan 21, Loan per SQFT of $1,817 is based on the allocated loan amount of the residential units. Excluding the value of the retail and parking components of the collateral, the Loan per SQFT is $2,039 based on allocating the full amount of the loan to only the residential units. 20 KKR REAL ESTATE FINANCE TRUST#21Fully Extended Loan Maturities • Fully extended weighted average loan maturity of 3.9 years(¹) ($ in Millions) $2,500 $2,000 $1,500 $1,000 $500 $0 $125.0 2020 $143.4 (1) Excludes RECOP I CMBS B-Piece investment. 21 2021 Fully Extended Loan Maturities (¹) $404.0 2022 $1,489.9 2023 $2,216.3 2024 $497.9 2025 $320.3 2026 KKR REAL ESTATE FINANCE TRUST#22Consolidated Balance Sheets (in thousands - except share and per share data) Assets Cash and cash equivalents Commercial mortgage loans, held-for-investment Less: Allowance for credit losses Commercial mortgage loans, held-for-investment, net Equity method investments Accrued interest receivable Other assets Total Assets Liabilities and Equity Liabilities Secured financing agreements, net Collateralized loan obligation, net Convertible notes, net Loan participations sold, net Dividends payable Accrued interest payable Accounts payable, accrued expenses and other liabilities Due to affiliates Total Liabilities Commitments and Contingencies Temporary Equity Redeemable preferred stock (1) Permanent Equity Preferred stock, 50,000,000 authorized (1 share with par value of $0.01 issued and outstanding as of March 31, 2020 and December 31, 2019, respectively) Common stock, 300,000,000 authorized (55,838,032 and 57,486,583 shares with par value of $0.01 issued and outstanding as of March 31, 2020 and December 31, 2019, respectively) Additional paid-in capital Accumulated deficit Repurchased stock, 3,511,240 and 1,862,689 shares repurchased as of March 31, 2020 and December 31, 2019, respectively Total KKR Real Estate Finance Trust Inc. stockholders' equity 22 $ $ March 31, 2020 Total Permanent Equity Total Liabilities and Equity (1) Includes $4.3 million and $0.0 million of reserve for unfunded loan commitments at March 31, 2020 and December 31, 2019, respectively. 369,867 5,089,968 (65,979) 5,023,989 34,441 17,263 10,121 5,455,681 3,368,329 805,008 139,420 64,972 24,204 7,513 8,907 5,022 4,423,375 2,108 575 1,167,602 (82,777) (55,202) 1,030,198 1,030,198 5,455,681 December 31, 2019 $ $ $ 67,619 4,931,042 4,931,042 37,469 16,305 4,583 5,057,018 2,884,887 803,376 139,075 64,966 25,036 6,686 3,363 5,917 3,933,306 1,694 575 1,165,995 (8,594) (35,958) 1,122,018 1,122,018 5,057,018 KKR REAL ESTATE FINANCE TRUST#23Consolidated Statements of Income (in thousands - except share and per share data) Net Interest Income Interest income Interest expense Total net interest income Other Income Income (loss) from equity method investments Change in net assets related to CMBS consolidated variable interest entities Other income Gain (loss) on sale of investments Total other income (loss) Operating Expenses General and administrative Provision for credit losses, net Management fees to affiliate Incentive compensation to affiliate Total operating expenses Income (Loss) Before Income Taxes, Preferred Dividends and Redemption Value Adjustment Income tax expense (benefit) Net Income (Loss) Preferred Stock Dividends and Redemption Value Adjustment Net Income (Loss) Attributable to Common Stockholders Net Income (Loss) Per Share of Common Stock, Basic Net Income (Loss) Per Share of Common Stock, Diluted Weighted Average Number of Shares of Common Stock Outstanding, Basic Weighted Average Number of Shares of Common Stock Outstanding, Diluted Dividends Declared per Share of Common Stock 23 SASA March 31, 2020 71,079 39,082 31,997 (1,901) 360 (1,541) 3,767 55,274 4,299 1,606 64,946 (34,490) 82 (34,572) 592 (35,164) (0.61) (0.61) 57,346,726 57,346,726 0.43 Three Months Ended December 31, 2019 $ SASA $ 72,417 41,333 31,084 1,254 447 71 1,772 2,676 4,280 1,174 8,130 24,726 213 24,513 (276) 24,789 0.43 0.43 57,486,583 57,595,424 $ 0.43 $ March 31, 2019 64,751 34,842 29,909 1,125 342 482 1,949 2,361 4,287 953 7,601 24,257 9 24,248 (457) 24,705 0.43 0.43 57,387,386 57,477,234 0.43 KKR REAL ESTATE FINANCE TRUST#24Reconciliation of GAAP Net Income to Core Earnings ($ in thousands, except share and per share data) Net Income (Loss) Attributable to Common Stockholders Adjustments Non-cash equity compensation expense Unrealized (gains) or losses (¹) CECL provision for credit losses, net Non-cash convertible notes discount amortization Core Earnings (2) Weighted Average Shares Outstanding 24 Basic Diluted Core Earnings per Weighted Average Share, Basic (²) Core Earnings per Weighted Average Share, Diluted (²) 1Q20 (35,164) 1,607 3,444 55,274 90 25,251 57,346,726 57,432,611 0.44 0.44 4Q19 24,789 1,017 (407) 91 25,490 57,486,583 57,595,424 0.44 0.44 (1) Includes $0.4 million, ($0.4) million and ($0.6) million non-cash redemption value adjustment of our SNVPS during 1Q'20, 4Q'19 and 10'19, respectively. Includes $3.0 million of unrealized loss on RECOP I, an equity method investment, during 1Q'20 and $0.2 million of unrealized loss on CMBS B-Pieces during 1Q'19. (2) See Appendix page 25 for definitions. 1Q19 24,705 991 • Although pursuant to the Company's Management Agreement, KREF calculates the inc entive compensation and base management fees due to its Manager using Core Earnings before incentive compensation, beginning with the first quarter of 2020, The Company revised its definition of Core Earnings for reporting purposes to be net of incentive compensation, since the Company believes this is a more meaningful presentation of the economic performance of its common stock. (464) 89 25,321 57,387,386 57,477,234 0.44 0.44 KKR REAL ESTATE FINANCE TRUST#25Key Definitions "Core Earnings": Used by the Company to evaluate the Company's performance excluding the effects of certain transactions and GAAP adjustments the Company believes are not necessarily indicative of the current loan activity and operations. Core Earnings is a measure that is not prepared in accordance with GAAP. The Company defines Core Earnings for reporting purposes as net income (loss) attributable to stockholders or, without duplication, owners of the Company's subsidiaries, computed in accordance with GAAP, including realized losses not otherwise included in GAAP net income (loss) and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) any unrealized gains or losses or other similar non-cash items that are included in net income for the applicable reporting period, regardless of whether such items are included in other comprehensive income or loss, or in net income, and (iv) one-time events pursuant to changes in GAAP and certain material non-cash income or expense items after discussions between the Company's Manager and board of directors and after approval by a majority of the independent directors. The exclusion of depreciation and amortization from the calculation of Core Earnings only applies to debt investments related to real estate to the extent the Company forecloses upon the property or properties underlying such debt investments. ● 25 The Company believes that providing Core Earnings on a supplemental basis to its net income as determined in accordance with GAAP is helpful to stockholders in assessing the overall performance of the Company's business. Although pursuant to the Management Agreement with its Manager, the Company calculates the incentive compensation and base management fees due to its Manager using Core Earnings before incentive compensation, beginning with the first quarter of 2020, the Company revised its definition of Core Earnings for reporting purposes to be net of incentive compensation, since the Company believes this is a more meaningful presentation of the economic performance of its common stock. Core Earnings should not be considered as a substitute for GAAP net income. The Company cautions readers that its methodology for calculating Core Earnings may differ from the methodologies employed by other REITS to calculate the same or similar supplemental performance measures, and as a result, the Company's reported Core Earnings may not be comparable to similar measures presented by other REITs. "IRR": IRR is the annualized effective compounded return rate that accounts for the time-value of money and represents the rate of return on an investment over a holding period expressed as a percentage of the investment. It is the discount rate that makes the net present value of all cash outflows (the costs of investment) equal to the net present value of cash inflows (returns on investment). It is derived from the negative and positive cash flows resulting from or produced by each transaction (or for a transaction involving more than one investment, cash flows resulting from or produced by each of the investments), whether positive, such as investment returns, or negative, such as transaction expenses or other costs of investment, taking into account the dates on which such cash flows occurred or are expected to occur, and compounding interest accordingly. The weighted average underwritten IRR for the investments shown reflects the returns underwritten by KKR Real Estate Finance Manager LLC, the Company's external manager, taking into account certain assumptions around leverage up to no more than the maximum approved advance rate, and calculated on a weighted average basis assuming no dispositions, early prepayments or defaults but assuming that extension options are exercised and that the cost of borrowings remains constant over the remaining term. With respect to certain loans included in the weighted average underwritten IRR shown, the calculation assumes certain estimates with respect to the timing and magnitude of the initial and future fundings for the total loan commitment and associated loan repayments, and assumes no defaults. With respect to certain loans included in the weighted average underwritten IRR shown, the calculation assumes the one-month spot USD LIBOR as of the date the loan was originated. There can be no assurance that the actual weighted average IRRS will equal the weighted average underwritten IRRs shown. KKR REAL ESTATE FINANCE TRUST