To me, the apparent danger is the issue of being called before receiving a distribution. Is there another danger I am not seeing?

No, mainly it's just the built-in capital loss, whereas if you buy below par you have a built-in capital gain. Although the gain/loss is unrealized and may not become realized for quite some time.

When looking at the price, you really should factor in any accrued but unpaid dividend. For example, many of mine pay around $0.46 per quarter, so I have to subtract out about $0.13 per month depending on how far it is from the next ex-dividend date.

Right now I hold BMR-A, looking to sell it when it gets enough above par. Last price 25.40. Dividend is $0.154/mo and we have one month to go to the ex date. So the 25.40 includes $0.307 of accrued dividend for a "real" price of 25.09. That's a yield of about 7.4%, at a built-in loss of only 9 cents. That's probably a risk worth taking, if you can't find anything better that's still under par.

BWDIK? I'm still pretty new at this game.