If you are vassal to another faction, it will still work. If, however, your faction is at war with the faction in control of the city, you wont gain any income. At the end of the week when your financial information appears, you will see red text next your enterprise saying "Under sequestration". This is basically like when a criminal skips the country and they freeze his assets. It will still be there though, and will start giving you income again when the factions make peace