I think you have captured the situation pretty well but one comment I would make is that the fund currently has about 3% of its assets in cash which of course could be deployed for income. Having said that, it doesn't appear that this would be enough to get the NII where it needs to be.
Also, I don't see how they can go from $0.0229 UNII on 2/29 to $0.0112 3 months later when they are missing earning the div by $0.005/month???
You are not looking at the right numbers; the issue is "Net Investment Income", $60.6M vs dividends paid, $63.5M. In other words, they are paying out more than they are taking in, and that is not sustainable. I sold long ago but am hanging on to NCV.
For mrq I get $0.0872 NII/share for NCV. Dividing the difference into the UNII, I get 8.3 mos to use up UNII.
At the rate things are going now, should be opportunity during that period to bolster NII. Personally, I am not worried about it. As I have said before, in the worst case, a small divy cut would still keep this a very attractive investment vs alternatives.
If you take the latest qtr income reported in the Feb, '12 annual report and annualize it, you get less than the reported income for the year, meaning that quarterly income is dropping, albeit slightly. So they are not quite earning the div, but very close. Any div drop down the road would not be enough for me to go looking for a better deal elsewhere; I have been through that analysis and am sitting tight. NCZ not in as good of shape and I have gotten out of it.
Add up the dividends over that period of time and see what you get...it will be a positive return albeit perhaps not great but probably better than the market.
Junk bonds will move more or less WITH the market; as business improves and the market goes up, a company's ability to pay interest and principal goes up,hence the risk (and interest rate to cover that) goes down. Here's an example: