Good morning. Thank you for attending today's Oxford Square Capital Corp.'s Q1 2022 Earnings Conference Call. My name is Bethany, and I will be your moderator for today's call. All lines will be muted during the presentation portion of the call, with an opportunity for Q&A at the end. If you would like to ask a question, please press star one on your telephone keypad. I would now like to pass the Conference over to our host, Chief Executive Officer Jonathan Cohen. Please go ahead.
Good morning, everyone, and welcome to the Oxford Square Capital Corp. Q1 2022 Earnings Conference Call. I'm joined today by Bruce Rubin, our Chief Financial Officer, and Kevin Yonon, our Managing Director and Portfolio Manager. Bruce, could you please open the call with a disclosure regarding forward-looking statements? Thank you, Jonathan. Today's Conference Call is being recorded. An audio replay of the Conference Call will be available for 30 days. Replay information is included in our press release that was issued this morning. Please note that this call is the property of Oxford Square Capital Corp., and the unauthorized rebroadcast of this call in any form is strictly prohibited. At this point, please direct your attention to the customary disclosure in this morning's press release regarding forward-looking information.
Today's Conference Call includes forward-looking statements and projections that reflect the company's current views with respect to, among other things, future events and financial performance. We ask that you refer to our most recent filings with the SEC for important factors that could cause actual results to differ materially from those indicated in these projections. We do not undertake to update our forward-looking statements unless required to do so by law. To obtain copies of our latest SEC filings, please visit our website at www.oxfordsquarecapital.com. With that, I'll turn the call back over to Jonathan.
Thank you, Bruce. For the quarter ended March 31st, Oxford Square's net investment income was approximately $4.3 million or $0.09 per share, and our net asset value per share stood at $4.65.
This compares to net investment income of approximately $4.5 million or $0.09 per share, and a net asset value per share of $4.92 for the prior quarter. That decrease in net investment income was principally driven by lower CLO effective yield income, partially offset by higher interest income on our corporate debt investments. For Q1 2022, we recorded total investment income of approximately $9.9 million as compared to approximately $10.2 million in the prior quarter. In Q1 2022, we recorded net unrealized depreciation on investments of approximately $13.5 million or $0.27 per share, compared to net unrealized depreciation on investments of approximately $700,000 or $0.01 per share for the prior quarter.
In Q1 2022, we recorded realized gains on investments of approximately $1 million or $0.02 per share, compared to realized losses of $47 million or $0.08 per share for the prior quarter. During Q1 , our investment activity consisted of purchases of approximately $47.4 million, sales of approximately $3.4 million, and repayments of approximately $38.6 million. As of March 31, we held cash and cash equivalents of approximately $15.1 million. On April 21, our board of directors declared monthly distributions of $0.035 per share for each of the months ending July, August, and September of 2022. Additional details regarding record and payment data information can be found in our press release that was issued this morning.
With that, I'll turn the call over to our portfolio manager, Kevin Yonon, to discuss the loan market.
Thank you, Jonathan. During the quarter ended March 31, 2022, the U.S. loan market exhibited weakness versus the quarter ended December 31, 2021. U.S. loan prices, as defined by the S&P/LSTA Leveraged Loan Index, decreased from 98.64% of par as of December 31 to 97.60% of par as of March 31. According to LCD, during the quarter, there was pricing dispersion related to credit quality, with double B-rated loan prices decreasing 79 basis points, B-rated loan prices decreasing 108 basis points, and triple C-rated loan prices decreasing 260 basis points on average. The 12-month trailing default rate for the S&P/LSTA Leveraged Loan Index remained at a 10-year low of 0.19% by principal amounts at the end of the quarter.
Additionally, the distress ratio, defined as the percentage of loans with a price below 80% of par, ended the quarter at approximately 1.55% compared to 0.99% at the end of December 2021. During the quarter ended March 31, primary market issuance was approximately $113.5 billion, representing a 39% decline versus the quarter ended March 31, 2021. This was driven by lower refinancing, M&A, and LBO activity. At the same time, U.S. loan fund inflows, as measured by Lipper, were approximately $15.5 billion for the quarter ended March 31. We continue to focus on portfolio management strategies designed to maximize our long-term total return. As a permanent capital vehicle, we have historically been able to take a longer-term view towards our investment strategy.
Thanks very much, Kevin. We note that additional information about Oxford Square's Q1 performance has been posted to our website at www.oxfordsquarecapital.com. Operator, with that, we're happy to open the call for any questions.
Certainly. If you would like to ask a question, please press star followed by one on your telephone keypad. If, for any reason you would like to remove that question, please press star followed by two. Again, to ask a question, please press star one. As a reminder, if you're using a speakerphone, please remember to pick up your handset before asking your question. We will pause here briefly to allow questions to register. The first question is from the line of Mickey Schleien with Ladenburg Thalmann. Please go ahead.
Yes, good morning, everyone. Hope you're doing well. Jonathan, in Q1 , we saw spreads on new single B loans climb around 50 basis points. One-month LIBOR climbed about 40, and three-month LIBOR climbed about 90. We're now climbing through floors, and new loans are getting meaningfully more expensive, and that trend is probably going to continue. I'd like to ask, how are you seeing these trends affecting borrowers in the portfolio in terms of their appetite for capital and their ability to service their debt?
From our perspective, Mickey, we've not yet seen that dynamic manifest across the businesses that we monitor. I think it's just simply too new.
I understand. Jonathan, obviously, inflation is running quite high, numbers we haven't seen in a long time. Do you have any insight into the trends that you're seeing in revenues amongst issuers of leveraged loans and their ability to defend their margins and pass inflation on to their customers?
Sure, Mickey. Hi, this is Kevin Yonan. You know, I mean, in terms of revenues, I mean, with respect to our portfolio companies on the market, I mean, we've generally seen revenues flat to improving since our last call. I would say the bigger pressure, which I think all issuers are seeing are on the margins front with respect to you know, it depends on the industry, whether it's labor costs, input costs, fuel costs, and sort of anything else that's being impacted by inflation. I'm assuming over the next few quarters, we will see impacts related to that.
Kevin
Again, is that probably? Sorry, Mickey, go ahead.
No, go ahead, Jonathan.
Just further to Kevin's point, Mickey, it's probably too recent a dynamic to see very dramatic changes across our obligor pool at the moment.
With that in mind, Jonathan, with Kevin's remarks in mind, how are you thinking about your portfolio allocation? Are you changing, you know, perhaps the target industries you're most interested in and moving away from others or, you know, how are you managing that risk?
We're taking into account, Mickey, the dynamics that we see in the marketplace broadly, as we have for a long time, and trying to incorporate that into the companies, into our decision-making around the companies that we're investing with. As Kevin alluded to, there are going to be companies that are certainly benefit from an inflationary environment and companies that are harmed by that same environment. We're trying to reflect that in our decision-making as we always do.
I understand. A couple more questions, Jonathan. With CLO triple A spreads up, you know, following the volatility in Q1 , how do you see the current opportunity in that market to invest in primary versus secondary vehicles?
Hey, Mickey. This is Joe. You're right. Triple A's have definitely ticked up. We have been seeing opportunities in the primary market just because of the asset side. As we noted, the asset side has been widening out, as well as the opportunity to buy assets at a discounted price. We've definitely been seeing and continue to see opportunities both on the primary and selective secondary side.
I think it's fair to say that secondary market opportunities, Mickey, are generally driven at least in part by market volatility broadly. When markets are choppy, when global markets are under more pressure or subject to greater price movement, we do tend to see more opportunities present themselves in the secondary CLO Equity Tranche Market.
Jonathan, did that occur in Q1 ? You know, we haven't seen your schedule of investments, but were you able to find some interesting secondary CLO or individual loans in Q2 ?
Well, as you know, Mickey, speaking just about the market broadly, Oxford Square recently has been constrained by the 30% non-qualified asset test structure. That remains something that we are mindful of. So far as the market is broadly concerned, secondary market opportunities do seem to be improving.
Fair enough. Last question, just for housekeeping. Can you tell me what the current average LIBOR and SOFR floors are in your loan and CLO portfolios, just so we can gauge, you know, the investment risk related to interest rates?
Sure, Mickey. We're looking at approximately 40 basis points with respect to the syndicated corporate loan portfolio.
I would say a little above that. I don't have the exact numbers, but I would say somewhere around 50-60 on the CLO portfolio.
Right.
Okay. Floors are no longer really relevant?
No.
Not at this moment, Mickey. No, you're absolutely right.
Okay. That's it for me this morning, Jonathan and everyone else. Thank you for your time.
Thank you, Mickey. Thank you for your questions.
Thank you. There are no additional questions waiting at this time. I would like to pass the conference back to Jonathan Cohen for any closing remarks.
Thank you very much, operator. I'd like to thank everybody, listening to this call and on the replay for their continued interest in Oxford Square Capital Corp. We look forward to speaking to you again. Thanks very much.
That concludes the Oxford Square Capital Corp. Q1 2022 Earnings Call. I hope you all enjoy the rest of your day. You may now disconnect your lines.