The Countrywide 6.25% preferred is trading above the 8.05% (symbol CPP) Both are backed by CFC jr subordinated debentures. Looks to me like it's just the small size of the issue. What's interesting is that the 8.05% underlying jr sub debentures last traded at 80-82, whereas CPP last traded around 67. Anybody have any thoughts? I have had this position for quite awhile, and CPP used to trade at as much as a $3 premium to the CFC-A (just a few months back)
Maybe it's the illiquidity, maybe there is some other reason. If you've done your research then maybe you can get paid a fair rate for giving up liquidity.
Have you confirmed that they both get the same tax treatment? It has been a while since I have looked at preferreds but I remember finding different issues from the same issuer with different tax treatments of the dividends.