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BlackRock TCP Capital Corp (NASDAQ:TCPC)
Q2 2020 Earnings Call
Aug 7, 2020, 11:00 p.m. ET

Contents:

  • Prepared Remarks
  • Questions and Answers
  • Call Participants

Prepared Remarks:

Operator

Ladies and gentlemen, good afternoon and welcome everyone to BlackRock TCP Capital Corp Second Quarter 2020 Earnings Conference Call. Today's conference call is being recorded for replay purposes. During the presentation, all participants will be in a listen-only mode. A question-and-answer session will follow the Company's formal remarks. [Operator Instructions]

And now, I'd like to turn the call over to Katie McGlynn, Director of the BlackRock TCP Capital Corp. Global Investor Relations team. Katie, please proceed.

Katie McGlynn -- Investor Relations

Thank you, Victor. Before we begin, I'll note that this conference call may contain forward-looking statements based on the estimates and assumptions of management at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties and actual results could differ materially from those projected. Any forward-looking statements made on this call are made as of today and are subject to change without notice.

This morning, we issued our earnings release for the second quarter ended June 30, 2020. We also posted a supplemental earnings presentation to our website at tcpcapital.com. To view the slide presentation, which we will refer to on today's call, please click on the Investor Relations link and select Events & Presentations. These documents should be reviewed in conjunction with the Company's Form 10-Q, which was filed with the SEC this morning.

I will now turn the call over to our Chairman and CEO, Howard Levkowitz.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Thanks Katie. First and foremost, we hope everyone is staying healthy and safe. Thank you for joining us today. There are several members of the TCPC team on the call with me, including our President and COO, Raj Vig and our CFO, Paul Davis.

I will start with a few highlights and updates since our last earnings call. I'll then provide an update on our portfolio and activity during the quarter. Paul will review our financial results and our capital and liquidity. After Paul's comments, I will provide some closing comments before opening the call to your questions.

Starting on Slide 4 and an update on our portfolio performance. Following the dramatic market dislocation in volatility in March, the second quarter saw significant recovery across both credit and equity markets. The broadly syndicated loan market, which has been more volatile than our portfolio recovered meaningfully and the overall yield spreads in the private markets also tightened.

Our portfolio continued to perform well, despite the significant headwinds caused by the pandemic, and our second quarter results benefited from the broader market recovery. Our net asset value increased 3.8% in the second quarter, reflecting a 1.6% net market value gain on our investments. The credit quality of our portfolio overall also remained solid. As of June 30, total non-accruals were just 0.6% of the portfolio at fair value. Next, as Paul will discuss in more detail, we further strengthened our capital and liquidity position during the second quarter by extending the maturity and increasing the capacity of one of our credit facilities. And subsequent to quarter end, we replaced our other credit facility with a new one on more favorable terms and with a longer maturity. Both facilities now also have expansion accordion features totaling $150 million in aggregate. And we are deeply appreciative of the strong relationships with both of our lender groups.

In addition, this morning we issued a press release announcing changes to our Board of Directors. Brian Wruble announced his retirement from the TCPC Board effective August 4. We thank Brian for his 16 years of outstanding service as a Director to funds managed by TCPC's advisor, including five years on the TCPC Board. We are also pleased to welcome Andrea Petro to our Board. She has an extensive background in credit and specialty finance, having run a significant lending business at Wells Fargo for many years, and we look forward to benefiting from her nearly 30 years of experience in commercial finance. Andrea's addition to the Board continues our long-term commitment to diversity and we're pleased to report that half of our Independent Directors are now women.

Turning to our dividend policy. As we mentioned on our last earnings call, we are in frequent dialog with our Board regarding the current environment, including the significant decline in LIBOR over the last six quarters, which has reduced our quarterly recurring net investment income before incentives by approximately $0.09. Consequently, our Board has made the decision to reduce quarterly dividend to $0.30 per share based on the significant decline in interest rates and uncertainties surrounding the current operating environment as well as our commitment to sustainably covering our dividend. This represents the first time we have lowered the dividend, but we believe that this proactive step is prudent based on the earnings power of the portfolio. The third quarter dividend of $0.30 per share will be payable on September 30 to shareholders of record on September 16.

Turning to Slide 6 and an update on our portfolio. At quarter-end, our portfolio had a fair market value of approximately $1.6 billion, substantially unchanged from the prior quarter. 92% of our investments are in senior secured debt and are spread across a wide range of industries, while the impacts of the global pandemic have been pervasive. We have limited direct exposure to sectors that have been more severely affected by the global shutdown.

Furthermore, our loans to companies and more impacted industries, including retail and airlines, are supported by strong collateral protections and most of our investments in these industries continue to perform well. Middle-market companies serve as a vital role in our economy and employ about a third of the U.S. workforce. Our team is working diligently with our borrowers with a focus on the long-term well-being of these businesses. For those borrowers that are more challenged, our team has been working alongside management to help them adapt to the current operating environment. For a small number of borrowers, this included in making certain amendments, which help these borrowers manage through the initial shutdown and resulted in amendment fees of $0.07 during the quarter. In some cases, we are already seeing these businesses begin to stabilize as their customers recover from the complete shutdown at the start of the pandemic and adapt to the current environment.

At the end of the second quarter, our diverse portfolio included 101 companies. Our largest position represented only 4.5% of the portfolio, and taken together, our five largest positions represented 17.8%. Furthermore, as the chart on the left side of Slide 11 illustrates, our recurring income is not reliant on income from any one portfolio company. In fact, over half of our individual portfolio companies contribute less than 1% to our recurring income. As of June 30, 92% of our debt investments were floating rate. 79% of these were subject to interest rate floors, all of which have now been triggered as a result of the decline in LIBOR. Additionally, 82% of our debt investments consisted of first lien exposure as demonstrated on Slide 8.

Moving on to our investment activity in the second quarter, we continue to prudently deploy capital. In the second quarter, we deployed $56 million, including investments in five new loans, three of which were with existing borrowers. Dispositions were $102 million for net dispositions of $46 million in the second quarter. As we stated in the past, follow-on investments in existing portfolio companies continue to be an important source of opportunities.

From a risk management perspective, these are companies we know and understand well. Although our largest investment in the quarter, a loan to Cole Haan [Phonetic] was a new investment for TCPC. This is a borrower our team knows well and has financed over a long period of time. Cole Haan has performed very well over the last several years given broad appeal for its products. Cole Haan also has a large presence online and a relatively small brick and motor footprint. When the Company looked to enhance liquidity during the quarter, we were able to provide that liquidity given our history with the company and our relationship with the owners.

As we analyze new investment opportunities, we continue to emphasize seniority, industry diversity and transactions where we lead our co-lead negotiations on deal terms. Our investment activity in the third quarter to-date has included selective investments and the modest amount of draws on unfunded commitments. Our focus for new deals is on companies that have faced minimal impact from COVID or our beneficiaries of the COVID impacted operating environment. Dispositions in the second quarter include the payoff of our loan to Discoverorg.

We also opportunistically reduced our exposure on several loans. Investments in new portfolio companies during the quarter had a weighted average effective yield of 10.6%. Investments we exited had a weighted average effective yield of 9.3%. The overall effective yield on our debt portfolio decreased to 9.8%, primarily reflecting the significant decline in LIBOR since the start of the year, partially mitigated by interest rate floors that were triggered as LIBOR declined and amendments made on a few loans to increase rates.

Between December 31, 2018 and June 30, 2020, LIBOR declined 250 basis points or 89%. This put pressure on our portfolio yield and resulted in a $0.09 per share quarterly degradation and recurring net investment income before incentives over this period. However, exposure to any further declines in interest rates is limited as over 75% of our floating rate loans are structured with LIBOR floors, as demonstrated on Slide 9 of the presentation.

As shown on Slide 14, while we are cognizant of the impacts that the current environment has had on BDC stock price performance recently, over the last eight-plus years, TCPC has returned in excess of $12 per share in dividends, translating to an annualized cash return to investors of 9.9% and an annualized economic return on NAV of 7.8%.

Now, I will turn the call over to Paul, who will discuss our financial results in more detail.

Paul L. Davis -- Chief Financial Officer

Thanks, Howard, and hello everyone. During the second quarter, as Howard noted, we continued to enhance our strong capital and liquidity position despite the current market disruption. First, we extended our SVCP operating facility by another year to May 2024 and increased its capacity by an additional $30 million, while maintaining our low rate of L+200 basis points. At June 30, we had available leverage of $328 million and a regulatory leverage ratio of 1.10 times debt to equity, net of cash and pending trades, well within our 2:1 regulatory leverage limit.

Following the end of the quarter, we secured a $100 million accordion feature on the SVCP Operating Facility to facilitate future expansion. We also replaced our TCPC Funding Facility with a new $200 million facility with improved terms, a two-year maturity extension to 2025, and a $50 million accordion feature, while again maintaining our low rate of L+200 basis points. Combined, we added accordion totaling $150 million since our last call. Together, these developments further strengthened our diversified and low-cost leverage program.

Turning to Slide 17, we generated net investment income in the second quarter of $0.36 per share, which again fully covered our second quarter dividend of $0.36 per share paid on June 30. This continues our long contiguous history of covering our dividend with net investment income each quarter. Investment income for the second quarter was $0.78 per share, substantially all of which was interest income. This includes recurring cash interest of $0.59, recurring discount and fee amortization of $0.04, and PIK income of $0.06.

We had modest prepayments in the quarter that contributed to pay per share, including both prepayment fees and unamortized OID. Investment income also included $0.08 of amendment fees and other income, and $0.01 of dividend income. Our income recognition follows our conservative policy of generally amortizing upfront economics over the life of an investment rather than recognizing all of it at the time the investment is made.

Operating expenses for the second quarter were $0.33 per share and included interest and other debt expenses of $0.18 per share. Incentive fees for the second quarter totaled $5.2 million or $0.09 per share for total net investment income of $0.36 per share. As you may recall, because our annualized cumulative total return fell below 7% at the end of the first quarter, the incentive fee on first quarter income was indefinitely deferred. However, the strong recovery during the second quarter brought our cumulative total return back above the 7% hurdle. As a result, we incurred incentive fees attributable to both our second quarter earnings and the catch-up for the first quarter. However, although our advisor earned the full catch-up amount from the first quarter, we are voluntarily further differing five-sixth of the catch-up amount to subsequent quarter such that one-sixth of the catch-up amount will be payable each quarter provided and only to the extent that our performance remains above our cumulative total return hurdle in each such quarter. We believe this demonstrates our advisor's confidence in our future performance and further aligns our advisor's interest with those of our shareholders. Accordingly, incentive fees payable for the second quarter included only $600,000 or $0.01 per share of catch-up incentive fees.

Our net increase in net assets for the quarter was $46 million or $0.80 per share, which included net realized and unrealized gains of $25.3 million or $0.44 per share, driven primarily by the market recovery in the second quarter following the COVID-related volatility earlier in the year. Substantially, all of our investments are valued every quarter using prices provided by third-party sources, including quotation services and independent valuation services, and our process is subject to rigorous oversight, including back-testing of every disposition against our valuations.

Our highly diversified portfolio continued to perform well in this challenging market environment and we believe our overall credit quality is sound. We placed our investment in one additional portfolio company, GlassPoint Solar, on non-accrual during the quarter. GlassPoint had been in the late stages of obtaining equity financing but the process was pulled as a result of COVID. Our team is working with the equity owner to find an alternative solution, which may include a monetization of the business assets in IP. We now have loans to just three portfolio companies, including AGY and Avanti on non-accrual, which together represented 0.6% of the portfolio at fair value and 1.6% at cost.

Turning to Slide 15, we had total liquidity of $348 million at quarter-end. This included available leverage of $328 million and cash of $21 million, less net pending settlements of $1 million. Additionally, our investments in unfunded credit facilities and delayed draw term loans to portfolio companies totaled just $46 million at quarter-end, or less than 3% of total investments. With the extension and expansion of the SVCP Operating Facility and the replacement of our TCPC Funding Facility with the new lower cost facility, our diverse and flexible leverage program is even stronger. As of June 30, this program included two low-cost credit facilities, one convertible note issuance, two straight unsecured note issuances, and an SBA program. Our unsecured debt continues to be investment grade rated by both Moody's and Fitch.

Given the modest size of each of our debt issuances, we are not overly reliant on any single source of financing and our leverage program is well laddered with no near-term maturities. Our nearest maturity is March of 2022 and this represented less than 15% of outstanding liabilities as of June 30. Combined, our outstanding liabilities had a weighted average interest rate of 3.53%, down from 3.84% at the end of 2019.

I'll now turn the call back over to Howard.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Thanks, Paul. There continues to be significant uncertainty about what the remainder of 2020 will look like. However, the pace of new deals entering the market has picked up modestly and the deals in our pipeline are generally on more favorable terms than what we saw leading up to this period. We are cautious in our deployment but in a solid position to opportunistically invest.

In addition, we remain focused on the long-term health of our existing portfolio companies with an emphasis on preserving capital for our shareholders. We seek to invest in companies with strong management teams that are relatively well situated to perform throughout economic cycles, including periods of dislocation. Our portfolio of companies collectively employed thousands of individuals and provided necessary goods and services to their customers. We are committed to helping our portfolio companies successfully navigate this period of dislocation, while continuing to deliver attractive returns to our shareholders.

Our performance to date and our confidence in our ability to succeed in this environment are driven by our team's two decades of experience in both performing and distressed credit, the strength of our underwriting platform, as well as the depth and breadth of the firmwide resources of BlackRock. In closing, while these are challenging times for everyone, our entire team is focused on generating strong risk-adjusted returns for our shareholders.

And with that, operator, please open the call for questions.

Questions and Answers:

Operator

Thank you. [Operator Instructions] Our first question will come from the line of Finian O'Shea from Wells Fargo Securities. You may begin.

Finian O'Shea -- Wells Fargo Securities -- Analyst

Hi, good afternoon. Hope everyone is hanging in there. Howard, first question on the five new loans you outlined. I suppose the two part question. I think there were three existing and two new. Let's start with the existing loans. Can you describe the nature where these portfolio of add-ons acquisitions -- to support acquisitions and -- or another sort like a dividend recap?

And then second question on the new loans that you took on this quarter, assuming that they -- you began looking at them for underwriting after COVID started, how would you describe the change in the level of competition in terms of both financial capital and number of firms that are at the table? Thank you.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Sure. Fin, thanks for joining us. We're doing well here. I'm going to address your questions first specifically and then turn it over to Raj for a little bit more market color since I think you've asked some important questions about both the environment and what we're doing. With respect to our portfolio, the loans that we made fall into a couple of categories. One of the more interesting ones was an existing portfolio company that had been for an extended period of time been pursuing a strategic acquisition that was accretive to the business. The sponsors and owners of the business put in a significant multiple in equity versus the amount of incremental debt that we advanced and we were very pleased because we think it enhanced both the business and the strength of our existing debt investment we're able to do it on new terms.

We talked about the loan to Cole Haan, which was another interesting example, great company, big online business, navigating this environment well, relatively low leverage, and that company actually has traded debt that they were looking to put on incremental liquidity and do it with a single source that they knew well and we were able to provide that financing at 50% spread over where their existing traded debt is because they wanted certainty of execution. So, we've been focused on doing things that we think are value-added, that we can diligence well, and that are appropriate opportunities for us in this dislocated environment.

I'll turn it over to Raj to maybe talk about the environment a little bit more generally.

Rajneesh Vig -- President & Chief Operating Officer

Yeah. Thanks, Fin. Hopefully, you can hear us all of us through these face masks that we are now a standard part of our earnings call. In terms of the post-COVID environment activities, clearly, post the start of the spike in March, if you will, the volume has been lower. That's clearer through our Q2 activities and into Q3. I think also, there are a fewer -- maybe not a lot fewer but certainly fewer active participants on the lending side based on people working on their portfolios, capital constraints, if you will. And at the margin -- but there is also still good dry powder from a number of active participants, and I think at the margin, what we're seeing is, for those companies that are attractive in this environment, those that are neutral to COVID or even in some cases beneficiaries, which does characterize a lot of our portfolio, there is active ability for people to pursue those names. And I think on the margin, things like covenant structures and things that normally were more discussion and negotiating items are a little bit more standard as part of the structure. But there is still competition for those companies that are attractive in this environment and I think it's sort of nets out being an attractive environment, but I think time will tell as we move forward through COVID and how far COVID extends, whether that's good for the lender, good for the bar, but right at the moment, we are active, we are seeing a pipeline rebuild. We are focusing on companies that in many cases are so much what we focused on pre-COVID, those that are less cyclical and very sustainable and predictable earnings. But there is still competition, particularly for those companies that stand well in this environment by the lower volume overall that's recovering, but still lower than the pre-COVID environment.

Finian O'Shea -- Wells Fargo Securities -- Analyst

Okay, that's helpful, thank you. Just next question, final question, on the amendment discussion, I think you said there were $0.08 of fees, which seems pretty heavy on a per share and a dollar basis, I think heavier than probably most of your competitors. So, any color you'd provide there? Is that a function of the tighter covenants or being more proactive or anything on the portfolio performance side? How would you guide us on that on the amendment piece?

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Yeah, thanks for focusing on that. It's actually $0.07, it does come from several portfolio companies. And I think you highlighted in your question the explanation, which is when we do our underwriting and draft our loans and set our covenants, it's based on expectations. And as a result of the COVID disruption, some companies, fortunately, a small proportion of our overall portfolio, but some companies missed their numbers and had covenant issues. And in connection with those, our goal is to work with the management teams and portfolio companies to make sure that they have a good path to recover, but also gives us the ability to enhance our economics as we're working with those companies. In some cases, there were also improvements to the loan documents in connection with them. And in particular in March, we saw some real disruption in a couple of businesses, and fortunately, the one that was most impacted by this started to see recovery in April and it's continued since then as its primary customer base has adjusted to the new environment.

Finian O'Shea -- Wells Fargo Securities -- Analyst

Okay. That's helpful and thanks for taking my questions.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Thank you for your questions.

Operator

Thank you. Our next question will come from the line of Chris Kotowski from Oppenheimer. You may begin.

Chris Kotowski -- Oppenheimer -- Analyst

Yeah, good afternoon. Just following up on Fin's question, I mean, is that amendment activity continuing into the third quarter and is that something we should expect for the next couple of quarters, given the stressed environment? Or do you see the second quarter as just really an exceptional that we're through most of that for now?

Rajneesh Vig -- President & Chief Operating Officer

So, let me take that one, Chris. I think -- and I guess what I would just want to do is reiterate Howard -- the point Howard made is just operationally, when we set our loans up at the front-end, we are believers that having covenants and having real covenants is a good thing. And sometimes, if a covenant is tripped or even an advance of it being tripped, you'll have the discussion, it really is the protection almost a circuit breaker to allow you to get back to the table and do a whole host of things. It may be tightening up the docs, as Howard said, it may be enhancing economics, it may be in advance of a real problem having the owner of the business or the sponsor address the problem in advance, whether it's through capital or other actions. So, I don't think we take the view that covenants or covenant-based discussions is necessarily a bad thing. It's actually meant to prevent bad things in the portfolio.

So, to your question, however, the activity has certainly abated. I think in Q2, the broader reset around COVID was more extensive for every company, even those that are still growing. And then as we come into Q3, I wouldn't say it's zero activity, there are some additional dialogues, again, we're going to use those discussions to make sure we are well protected and in certain cases enhance our economics, which is the case with one of our portfolio companies that's ongoing today, a public company, but it's certainly has come off a little bit. How it proceeds through the rest of the year is I think a question of how COVID extends, which we really can't answer, but we do feel good about the state of the portfolio, we do feel good about having real protections across most of the -- the majority of the portfolio with covenants and real loan docs and when we need to use those as we did in Q2 to our protection or advantage, we will continue to do so.

Chris Kotowski -- Oppenheimer -- Analyst

Okay. And then, I guess, just you delevered slightly this quarter, I mean obviously, you had the appreciation in NAV and investments came down slightly. Should we expect the overall portfolio to remain roughly flattish assuming that we are sort of in this half open, half closed kind of limbo for another quarter or two at least?

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Yeah. Chris, you've been following us since we went public and I think as you know and many of our other longtime shareholders know, we don't set firm targets for leverage. We're very cognizant about the way we approach risk. We've got a balance sheet that's well diversified with a half-dozen sources of financing. We're very pleased with the new facility we just brought on together with the $150 million of incremental aggregate accordion capacity from our two facilities. But we don't like to set sort of artificial targets, because as we saw in Q1, you can get movements in NAV, although that was certainly an outlier and an exception, and you can also be in a position, particularly in this more disruptive environment, where you think you're going to close things, that don't close or things that are supposed to get paid off, get pushed. In fact, that happened to us both at the beginning of the year and in Q2, where things that were supposed to close slipped.

And so, we don't target a hard level. We're very comfortable with our current leverage. We did think it was important coming out of Q1, particularly with the disruption to take it down some. And so, that's why we controlled both our new investments and we also did some selective sales to position the portfolio, we think, in a good place where it is today, where we have significant liquidity, we're comfortable with our leverage and we're in a position to do good deals as they come in, but don't have any artificial pressure to do things.

Chris Kotowski -- Oppenheimer -- Analyst

Okay. And then the one thing I was wondering about is, on the -- can you remind us where you stand on the SBA? I noticed that it's like the facility, you haven't drawn on it since I think the middle of last year some time. And can you just remind us where you are? I think you had applied for an additional license and got [Indecipherable].

Paul L. Davis -- Chief Financial Officer

Yeah. Right now, we've got $138 million drawn on the SBA debenture out of $150 million, and currently recycling, we had one investment come off in the quarter, one come back on. So, we still have a little bit of room. We invest as we see opportunities that are appropriate for the portfolio, not necessarily keep it -- not necessarily to put into the SBIC specifically, but as that fills up, yeah, we'll examine an additional certificate.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Yeah. And Chris, the SBA isn't large enough to have a statistically meaningful portfolio. But what we have found and this may be more coincident just because of the size is that the investments we've had in there tend to repay more quickly probably than on average. So, there's a lot of recycling activity. When you look at the aggregate draw, you're not seeing necessarily what's going on in the underlying portfolio, which is a lot of paybacks and payoffs along with replacement assets.

Chris Kotowski -- Oppenheimer -- Analyst

Okay. Interesting. Thank you. That's it for me.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Thank you.

Operator

Thank you. [Operator Instructions] Our next question will from the line of Matt Tjaden from Raymond James. You may begin.

Matt Tjaden -- Raymond James -- Analyst

Hi, everyone. Just to start-off the follow-up on the amendment question, would you be willing to give any commentary on the number of portfolio companies that took amendments over the quarter?

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Sure, happy to do so, and thanks for joining us. We had 11 portfolio companies that had amendments during the quarter out of 101 at the end of the quarter. So we had a few more than that going into the quarter. So, you can think of it as being between 10% or 11%.

Matt Tjaden -- Raymond James -- Analyst

Okay. And then I guess secondly, any update you can give on the airline book, especially kind of how collateral values against the loans are holding up given some pressure in the industry?

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Sure, happy to do that. We have two primary loans or longtime lease with United was repaid in full. That's something that we've actually been financing United planes since '09. We're pleased to have those are all paid off. We have loans to Mesa and to OneSky. In the case of Mesa, they are a regional operator, they connect jet service to American and United feeding into their hubs. They've obviously been impacted dramatically. They have gotten Federal money under the CARES Act. The loans continue to perform fully on amortization and interest. Of course, we all know that the sector has been impacted. We do think our approach to underwriting focusing typically on somewhat older equipment. These are all backed by assets and engines has proved highly effective since we started in this business of financing planes and plane parts since 2003. But clearly, there is some disruption there.

With respect to OneSky, which is the second largest operator of private aviation in the country, their business has picked up considerably. If you look at data that's publicly available, flight data, you can see that there is a significant increase in private aviation, particularly coming out of the beginning of the last quarter.

Matt Tjaden -- Raymond James -- Analyst

Okay, that's helpful. And then, just the last one for me. From our end, it kind of seems the Board elected to set the dividend at a level earnable with little to no prepayment or amendment fees. I guess, first question, is that fair to kind of think about from our end? And then the second question being, if that's correct, what are the expectations for prepayment and amendment activity in the near- to mid-term?

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Sure. Our prepayment activity has averaged $0.04 to $0.05 a quarter over quite an extended a period of time. There's clearly variance there. We had a record low activity in Q1, which was unusual. I would note that there is probably some historic seasonality to Q1. It tends to be a slower quarter for us generally, and this particular quarter, it was obviously heavily impacted as some things that we expected to happen and get repaid didn't happen.

But repayments and fees are lumpy and we'll give a data on what they've been historically, but don't try and project them in the future. The Board gave significant thought to setting the dividend level. We recognize it's very important to all of our investors. And we know that investors have taken comfort from the fact that in the eight-plus years since we've been public, we've always earned our dividend, and we wanted to set it at a level that we believe would be sustainable based on our information about the current operating environment.

Paul L. Davis -- Chief Financial Officer

Matt, I would also add to that, just as we noted in the script, LIBOR has come down quite a bit over the last six quarters and in our run rate -- it's had an impact of about $0.09 before incentives on the run rate. So, I think that's important to keep in mind, and that was the primary factor to consider in resetting the dividend.

Matt Tjaden -- Raymond James -- Analyst

Great, that's it for me. I appreciate the help.

George Bahamondes -- Deutsche Bank -- Analyst

Hi, good afternoon. Most of my questions have been asked and answered. Just had two more here for you. I'm sorry if I missed this, but are you able to disclose pricing for the loans sold in 2Q relative to par value?

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

That's not a disclosure we provide, but we were pleased with the prices that we achieved on those loans.

Paul L. Davis -- Chief Financial Officer

This is Paul, you probably noticed we had -- for the second quarter, we had $415,000 -- $416,000 of realized losses. There were some up, some down, it was kind of a mix, but roughly flat.

George Bahamondes -- Deutsche Bank -- Analyst

Great. Thank you for that. And my other one's on the LIBOR floors. Do you also disclose your kind of weighted average LIBOR floors across the portfolio? I know you provided a range here in the deck, but wondering if you do disclose this kind of weighted average?

Paul L. Davis -- Chief Financial Officer

Yeah, this is Paul. Our weighted average is 1.1%.

George Bahamondes -- Deutsche Bank -- Analyst

Okay. Great. That's it for me today. I appreciate you're taking my questions.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Thank you for your questions.

Operator

Thank you. And I'm not showing any further questions at this time. I'd like to turn the call back over to Howard Levkowitz for any closing remarks.

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

We appreciate your questions and our dialogue today. I'd like to thank all of our shareholders for your confidence and your continued support and our experienced and talented team of professionals at BlackRock TCP Capital Corp. for your continued hard work and dedication in these challenging times. Thanks again for joining us. This concludes today's call.

Operator

[Operator Closing Remarks]

Duration: 41 minutes

Call participants:

Katie McGlynn -- Investor Relations

Howard M. Levkowitz -- Chairman of the Board & Chief Executive Officer

Paul L. Davis -- Chief Financial Officer

Rajneesh Vig -- President & Chief Operating Officer

Finian O'Shea -- Wells Fargo Securities -- Analyst

Chris Kotowski -- Oppenheimer -- Analyst

Matt Tjaden -- Raymond James -- Analyst

George Bahamondes -- Deutsche Bank -- Analyst

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