You are correct that the market is pricing MREITs according to core income. The risk is calculating the probability of what will happen this quarter. A cut in dividend is guaranteed in the future, core income cannot support the dividend and comp income cannot be used all at once. It is against the interest of management to reduce the size of their portfolio.
The risk is figuring out what management will do. Will they decide to maintain the dividend for one more quarter as a Christmas bonus? Will they cut this quarter and how much will they cut?
Div maintained. Price 35
Div cut to 1.10 Price 33
Div cut to .90. Price 30
Div cut to .70. Price 28