I'm a little confused. If the GWO issue is going to sell at par, and the dividend yield is 5.65%, that means that the dividend payments will be about $1.41 per year. By comparison, you mention that there are other issues with the same credit rating that have the same yield, but trading at a discount. Shouldn't this mean that one would make the same return on investment? By talking about capital appreciation, are you referring to the gain one would make if and when the issue is called by the issuer?
The market for preferred stock is not very efficient since there is only a small amount on the market, and it is traded vary rarely. Where an issue does trade in the secondary market, the bid-offer spreads can be relatively wide and there isn't much market depth. Purchasing in the primary market is the typical way to get preferred stock since in the secondary market, it is harder to get the volume one desires without driving up the price.