UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-22795
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First Trust Intermediate Duration Preferred & Income Fund
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: October 31
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Date of reporting period: July 31, 2016
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS
JULY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES - 30.4%
BANKS - 10.3%
100,000 Banc Of California, Inc., Series E .................. 7.00% (a) $ 2,700,000
651,465 Citigroup Capital XIII (b) (c)....................... 7.12% 10/30/40 17,061,868
290,000 Citigroup, Inc., Series K (c) (d).................... 6.88% (a) 8,633,300
512,413 Citigroup, Inc., Series S (c)........................ 6.30% (a) 13,732,668
250,615 Fifth Third Bancorp, Series I (c) (d)................ 6.63% (a) 7,771,571
245,076 First Niagara Financial Group, Inc.,
Series B (c) (d) ................................. 8.63% (a) 6,345,018
211,031 FNB Corp. (c) (d).................................... 7.25% (a) 6,862,728
794,773 GMAC Capital Trust I, Series 2 (b) (c)............... 6.60% 02/15/40 20,203,130
560,000 Huntington Bancshares, Inc., Series D (c)............ 6.25% (a) 15,517,600
161,002 ING Groep N.V. ...................................... 6.20% (a) 4,161,902
13,383 JPMorgan Chase & Co., Series AA ..................... 6.10% (a) 362,813
215,000 JPMorgan Chase & Co., Series BB ..................... 6.15% (a) 5,863,050
154,900 JPMorgan Chase & Co., Series Y ...................... 6.13% (a) 4,197,790
198,230 MB Financial, Inc., Series A (c) (e)................. 8.00% (a) 5,421,590
290,878 Royal Bank of Scotland Group PLC, Series R (c)....... 6.13% (a) 7,327,217
424,591 Royal Bank of Scotland Group PLC, Series S (c)....... 6.60% (a) 10,784,611
129,641 Valley National Bancorp, Series A (c) (d)............ 6.25% (a) 3,768,664
100,000 Wells Fargo & Co., Series W ......................... 5.70% (a) 2,690,000
115,455 Wintrust Financial Corp., Series D (c) (d)........... 6.50% (a) 3,382,832
67,992 Zions Bancorporation, Series G (c) (d)............... 6.30% (a) 2,079,875
--------------
148,868,227
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CAPITAL MARKETS - 4.5%
150,000 Apollo Investment Corp. (c).......................... 6.88% 07/15/43 4,036,500
350,000 Charles Schwab Corp., Series D ...................... 5.95% (a) 9,621,500
300,000 Goldman Sachs Group, Inc., Series J (c) (d).......... 5.50% (a) 8,121,000
174,947 Goldman Sachs Group, Inc., Series N ................. 6.30% (a) 4,734,066
307,974 Morgan Stanley, Series E (c) (d)..................... 7.13% (a) 9,288,496
501,249 Morgan Stanley, Series F (c) (d)..................... 6.88% (a) 14,786,845
200,000 Morgan Stanley, Series I (c) (d)..................... 6.38% (a) 5,602,000
333,400 Stifel Financial Corp., Series A (c)................. 6.25% (a) 8,781,756
--------------
64,972,163
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CONSUMER FINANCE - 0.7%
350,000 Capital One Financial Corp., Series D (c)............ 6.70% (a) 10,027,500
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DIVERSIFIED FINANCIAL SERVICES - 0.7%
391,656 KKR Financial Holdings LLC, Series A (c)............. 7.38% (a) 10,304,469
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.2%
104,820 Qwest Corp. ......................................... 6.88% 10/01/54 2,800,790
400,000 Qwest Corp. (c)...................................... 6.63% 09/15/55 10,452,000
133,868 Qwest Corp. ......................................... 7.00% 02/01/56 3,665,306
--------------
16,918,096
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See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
ELECTRIC UTILITIES - 0.2%
94,993 SCE Trust V, Series K (d)............................ 5.45% (a) $ 2,741,498
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FOOD PRODUCTS - 3.3%
877,598 CHS, Inc., Series 2 (c) (d).......................... 7.10% (a) 26,608,771
582,059 CHS, Inc., Series 3 (c) (d).......................... 6.75% (a) 17,025,226
114,692 CHS, Inc., Series 4 (c).............................. 7.50% (a) 3,480,902
--------------
47,114,899
--------------
INSURANCE - 5.8%
182,995 Amtrust Financial Services, Inc. (c)................. 7.25% 06/15/55 4,767,020
204,030 Amtrust Financial Services, Inc. (c)................. 7.50% 09/15/55 5,531,253
328,607 Aspen Insurance Holdings Ltd. (c) (d)................ 5.95% (a) 9,509,887
203,483 Aspen Insurance Holdings Ltd. (c).................... 7.25% (a) 5,390,265
158,193 Global Indemnity PLC (c)............................. 7.75% 08/15/45 4,057,650
47,000 National General Holdings Corp., Series C 7.50% (a) 1,213,070
107,835 PartnerRe Ltd., Series G (c)......................... 6.50% (a) 3,073,297
84,812 PartnerRe Ltd., Series H ............................ 7.25% (a) 2,585,918
200,000 Phoenix Companies, Inc. ............................. 7.45% 01/15/32 4,020,000
1,040,000 Reinsurance Group of America, Inc. (c) (d)........... 5.75% 06/15/56 27,840,800
277,567 Torchmark Corp. (c).................................. 6.13% 06/15/56 7,388,834
300,000 W.R. Berkley Corp. (c)............................... 5.75% 06/01/56 7,758,000
--------------
83,135,994
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INTERNET SOFTWARE & SERVICES - 0.3%
166,950 eBay, Inc. .......................................... 6.00% 02/01/56 4,470,921
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MULTI-UTILITIES - 1.5%
300,000 Dominion Resources, Inc., Series A .................. 5.25% 07/30/76 7,677,000
502,571 Integrys Holding, Inc. (c) (d)....................... 6.00% 08/01/73 13,585,751
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21,262,751
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REAL ESTATE INVESTMENT TRUSTS - 1.5%
100,000 American Homes 4 Rent, Series D ..................... 6.50% (a) 2,661,000
300,000 American Homes 4 Rent, Series E (c).................. 6.35% (a) 7,647,000
2,938 Digital Realty Trust, Inc., Series H ................ 7.38% (a) 84,027
99,794 Taubman Centers, Inc., Series J (c).................. 6.50% (a) 2,595,642
85,000 Taubman Centers, Inc., Series K ..................... 6.25% (a) 2,226,150
250,000 VEREIT, Inc., Series F (c)........................... 6.70% (a) 6,755,000
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21,968,819
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WIRELESS TELECOMMUNICATION SERVICES - 0.4%
219,483 United States Cellular Corp. (c)..................... 7.25% 12/01/64 5,825,079
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TOTAL $25 PAR PREFERRED SECURITIES................................................. 437,610,416
(Cost $408,758,208) --------------
$50 PAR PREFERRED SECURITIES - 0.1%
CONSUMER FINANCE - 0.1%
38,765 SLM Corp., Series A (b) (c).......................... 6.97% (a) 1,938,250
(Cost $1,903,672) --------------
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$100 PAR PREFERRED SECURITIES - 4.1%
BANKS - 3.6%
80,000 Agribank FCB (d) (e)................................. 6.88% (a) $ 8,642,504
179,000 CoBank ACB, Series F (c) (d)......................... 6.25% (a) 18,616,000
82,220 CoBank ACB, Series G (c)............................. 6.13% (a) 7,977,913
54,250 Cobank ACB, Series H (c) (d)......................... 6.20% (a) 5,538,589
100,000 Farm Credit Bank Of Texas (c) (d) (e)................ 6.75% (a) 10,825,000
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51,600,006
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CONSUMER FINANCE - 0.5%
140,000 SLM Corp., Series B (b).............................. 2.35% (a) 7,172,200
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TOTAL $100 PAR PREFERRED SECURITIES................................................ 58,772,206
(Cost $55,867,346) --------------
$1,000 PAR PREFERRED SECURITIES - 6.1%
BANKS - 2.9%
12,000 AgStar Financial Services ACA (c) (d) (e) (f)........ 6.75% (a) 12,734,250
23,859 Farm Credit Bank Of Texas, Series 1 (c) (e).......... 10.00% (a) 28,690,448
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41,424,698
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DIVERSIFIED FINANCIAL SERVICES - 0.3%
4,000 Pitney Bowes International Holdings, Inc.,
Series F (c) (e) (f) ............................. 6.13% (a) 4,100,000
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.3%
16,000 Centaur Funding Corp. (e) (f)........................ 9.08% 04/21/20 19,120,000
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INSURANCE - 0.3%
5,000 XLIT Ltd., Series D (b).............................. 3.80% (a) 3,912,500
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REAL ESTATE INVESTMENT TRUSTS - 1.3%
15,364 Sovereign Real Estate Investment Trust (e) (f)....... 12.00% (a) 19,569,895
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TOTAL $1,000 PAR PREFERRED SECURITIES.............................................. 88,127,093
(Cost $90,371,500) --------------
$1,000,000 PAR PREFERRED SECURITIES - 1.1%
REAL ESTATE INVESTMENT TRUSTS - 1.1%
12 FT Real Estate Securities Co., Inc. (e) (f) (g)...... 9.50% (a) 15,990,000
(Cost $15,990,000) --------------
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES - 98.5%
BANKS - 43.3%
$ 16,000,000 Australia & New Zealand Banking Group
Ltd. (c) (d) (h) (i) ............................. 6.75% (a) $ 17,421,104
33,200,000 Banco Bilbao Vizcaya Argentaria S.A. (c) (d) (i)..... 9.00% (a) 34,424,250
18,000,000 Banco do Brasil S.A. (d) (h) (i)..................... 9.00% (a) 14,589,000
18,000,000 Bank of America Corp., Series DD (c) (d)............. 6.30% (a) 19,659,366
23,000,000 Bank of America Corp., Series Z (c) (d).............. 6.50% (a) 25,141,875
40,000 Barclays Bank PLC (h)................................ 10.18% 06/12/21 51,157
12,500,000 Barclays PLC (c) (d) (i)............................. 8.25% (a) 12,765,625
3,510,000 BBVA Global Finance Ltd. ............................ 7.00% 12/01/25 3,956,223
20,500,000 BNP Paribas S.A. (c) (d) (h) (i)..................... 7.63% (a) 21,350,750
7,500,000 BPCE S.A. (c) (d) (h)................................ 12.50% (a) 9,428,100
800,000 Citigroup, Inc., Series E (d) (e).................... 8.40% (a) 886,000
25,000,000 Citigroup, Inc., Series R (c) (d).................... 6.13% (a) 26,025,750
9,000,000 Citigroup, Inc., Series T (c) (d).................... 6.25% (a) 9,708,750
7,500,000 Citizens Financial Group, Inc. (c) (d)............... 5.50% (a) 7,406,250
25,000,000 CoBank ACB, Series I (c) (d)......................... 6.25% (a) 27,087,425
4,000,000 Commerzbank AG (c)................................... 8.13% 09/19/23 4,668,720
15,000,000 Cooperatieve Rabobank UA (c) (d) (i)................. 8.40% (a) 15,813,750
32,104,000 Cooperatieve Rabobank UA (c) (d) (h)................. 11.00% (a) 39,367,530
3,033,000 Countrywide Capital III, Series B ................... 8.05% 06/15/27 3,899,346
32,500,000 Credit Agricole S.A. (c) (d) (h) (i)................. 8.13% (a) 34,328,125
5,975,000 Credit Agricole S.A. (c) (d)......................... 8.38% (a) 6,771,587
15,000,000 Credit Agricole S.A. (c) (d) (h)..................... 8.38% (a) 16,999,800
25,000,000 Dresdner Funding Trust I (c) (h)..................... 8.15% 06/30/31 29,536,250
5,214,000 HSBC Capital Funding L.P. (c) (d).................... 10.18% (a) 7,677,615
15,000,000 Intesa Sanpaolo S.p.A. (c) (d) (h) (i)............... 7.70% (a) 13,631,250
20,000,000 JPMorgan Chase & Co., Series S (c) (d)............... 6.75% (a) 22,548,000
14,150,000 Lloyds Bank PLC (c) (d).............................. 12.00% (a) 19,391,443
14,000,000 Lloyds Bank PLC (c) (d) (h).......................... 12.00% (a) 19,185,880
5,000,000 Lloyds Banking Group PLC (d) (i)..................... 7.50% (a) 5,000,000
7,248,000 Macquarie Bank Ltd. (c) (d) (i)...................... 10.25% 06/20/57 7,719,439
5,575,000 Natixis S.A. (c) (d)................................. 10.00% (a) 6,271,875
23,264,000 Natixis S.A. (c) (d) (h)............................. 10.00% (a) 26,172,000
11,290,000 NIBC Bank N.V. (c)................................... 7.63% (a) 11,445,249
10,000,000 Royal Bank Of Scotland Group PLC (c) (d) (i)......... 7.50% (a) 9,735,000
19,700,000 Royal Bank Of Scotland Group PLC (c) (d)............. 7.65% (a) 23,196,750
17,500,000 Royal Bank Of Scotland Group PLC (c) (d) (i)......... 8.00% (a) 17,434,375
7,000,000 Societe Generale S.A. (c) (d) (h) (i)................ 8.00% (a) 6,930,000
9,500,000 Societe Generale S.A. (c) (d) (i).................... 8.25% (a) 9,701,875
21,500,000 Wells Fargo & Co., Series K (c) (d).................. 7.98% (a) 22,843,750
12,670,000 Zions Bancorporation, Series J (c) (d)............... 7.20% (a) 13,398,525
--------------
623,569,759
--------------
CAPITAL MARKETS - 2.1%
5,000,000 Aberdeen Asset Management PLC (c).................... 7.00% (a) 5,246,050
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
CAPITAL MARKETS (CONTINUED)
$ 4,150,000 Charles Schwab Corp. (c) (d)......................... 7.00% (a) $ 4,793,250
4,500,000 Credit Suisse Group AG (d) (h) (i)................... 7.50% (a) 4,674,375
15,000,000 UBS Group AG (c) (d) (i)............................. 7.13% (a) 15,436,080
--------------
30,149,755
--------------
DIVERSIFIED FINANCIAL SERVICES - 1.0%
18,418,000 Glen Meadow Pass-Through Trust (c) (d) (h)........... 6.51% 02/12/67 13,713,674
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 2.1%
27,150,000 Koninklijke KPN N.V. (c) (d) (h)..................... 7.00% 03/28/73 29,559,563
1,000,000 Koninklijke KPN N.V. (c) (d)......................... 7.00% 03/28/73 1,088,750
--------------
30,648,313
--------------
ELECTRIC UTILITIES - 7.3%
35,000,000 Emera, Inc., Series 16-A (c) (d)..................... 6.75% 06/15/76 37,905,455
34,750,000 Enel S.p.A. (c) (d) (h).............................. 8.75% 09/24/73 40,353,437
3,000,000 Nextera Energy Capital Holdings, Inc.,
Series D (c) (d) ................................. 7.30% 09/01/67 2,947,500
22,900,000 PPL Capital Funding, Inc., Series A (c) (d).......... 6.70% 03/30/67 19,452,268
4,179,000 Southern California Edison Co., Series E (c) (d)..... 6.25% (a) 4,659,585
--------------
105,318,245
--------------
ENERGY EQUIPMENT & SERVICES - 0.2%
2,500,000 Enterprise Products Operating LLC, Series A (b)...... 4.46% 08/01/66 2,312,500
--------------
FOOD PRODUCTS - 3.4%
13,211,000 Land O'Lakes Capital Trust I (c) (h)................. 7.45% 03/15/28 14,267,880
10,000,000 Land O'Lakes, Inc. (c) (e) (f)....................... 8.00% (a) 10,575,000
23,000,000 Land O'Lakes, Inc. (c) (e) (f)....................... 8.00% (a) 24,322,500
--------------
49,165,380
--------------
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 1.6%
9,850,000 AES Gener S.A. (d) (h)............................... 8.38% 12/18/73 10,613,375
12,150,000 AES Gener S.A. (d)................................... 8.38% 12/18/73 13,091,625
--------------
23,705,000
--------------
INDUSTRIAL CONGLOMERATES - 1.1%
15,000,000 General Electric Co., Series D (c) (d)............... 5.00% (a) 16,181,250
--------------
INSURANCE - 33.3%
2,500,000 Aegon N.V. (b)....................................... 1.43% (a) 1,465,093
9,600,000 AG Insurance S.A. N.V. (c) (d)....................... 6.75% (a) 10,264,013
25,320,000 American International Group, Inc. (c) (d)........... 8.18% 05/15/58 32,979,300
40,000,000 Aquarius & Investments PLC for Swiss Reinsurance
Co., Ltd. (c) (d) ................................ 8.25% (a) 43,175,000
30,000,000 Assured Guaranty Municipal Holdings, Inc. (d) (h).... 6.40% 12/15/66 21,450,000
27,000,000 Aviva PLC (c)........................................ 8.25% (a) 28,954,476
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
$ 32,000,000 Catlin Insurance Co., Ltd. (d) (h)................... 7.25% (a) $ 23,200,000
2,050,000 Cloverie PLC for Zurich Insurance Co., Ltd. (d)...... 8.25% (a) 2,221,663
10,600,000 CNP Assurances (c) (d)............................... 6.88% (a) 11,453,692
10,600,000 CNP Assurances (c) (d)............................... 7.50% (a) 11,479,270
12,500,000 Dai-Ichi Life Insurance Co., Ltd. (The) (c) (d) (h).. 7.25% (a) 14,898,437
27,375,000 Friends Life Holdings PLC (c) (d).................... 7.88% (a) 29,802,752
11,782,000 Hartford Financial Services Group, Inc. (c) (d)...... 8.13% 06/15/38 12,930,745
25,616,000 La Mondiale SAM (c) (d).............................. 7.63% (a) 27,601,240
14,000,000 Liberty Mutual Group, Inc. (c) (d) (h)............... 7.00% 03/15/37 12,285,000
16,210,000 Liberty Mutual Group, Inc. (c) (h)................... 7.80% 03/15/37 18,074,150
2,000,000 Liberty Mutual Group, Inc. (c) (d)................... 10.75% 06/15/58 2,945,000
15,000,000 Metlife Capital Trust X (c) (h)...................... 9.25% 04/08/38 21,468,750
17,180,000 Metlife, Inc. (c).................................... 10.75% 08/01/39 27,530,950
20,000,000 Mitsui Sumitomo Insurance Co., Ltd. (c) (d) (h)...... 7.00% 03/15/72 23,975,000
3,000,000 Nationwide Financial Services Capital Trust (c) (e).. 7.90% 03/01/37 3,602,955
19,700,000 Nationwide Financial Services, Inc. (c).............. 6.75% 05/15/37 20,389,500
22,000,000 QBE Capital Funding III Ltd. (c) (d) (h)............. 7.25% 05/24/41 24,530,000
20,250,000 QBE Insurance Group Ltd. (c) (d)..................... 6.75% 12/02/44 22,300,312
25,000,000 Sirius International Group Ltd. (d) (e) (f).......... 7.51% (a) 25,156,250
6,800,000 Stancorp Financial Group, Inc. (c) (d)............... 6.90% 06/01/67 5,321,000
--------------
479,454,548
--------------
METALS & MINING - 1.2%
15,000,000 BHP Billiton Finance USA Ltd. (c) (d) (h)............ 6.75% 10/19/75 16,725,000
--------------
OIL, GAS & CONSUMABLE FUELS - 1.9%
13,000,000 Enbridge Energy Partners L.P. (d).................... 8.05% 10/01/37 10,400,000
16,000,000 Enterprise Products Operating LLC,
Series B (c) (d).................................. 7.03% 01/15/68 16,882,592
--------------
27,282,592
--------------
TOTAL CAPITAL PREFERRED SECURITIES................................................. 1,418,226,016
(Cost $1,431,039,293) --------------
TOTAL INVESTMENTS - 140.3%......................................................... 2,020,663,981
(Cost $2,003,930,019) (j)
OUTSTANDING LOAN - (44.1%)......................................................... (635,000,000)
NET OTHER ASSETS AND LIABILITIES - 3.8%............................................ 54,815,077
--------------
NET ASSETS - 100.0%................................................................ $1,440,479,058
==============
-----------------------------
(a) Perpetual maturity.
(b) Floating rate security. The interest rate shown reflects the rate in
effect at July 31, 2016.
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
(c) All or a portion of this security serves as collateral on the outstanding
loan.
(d) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at July 31, 2016. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(e) Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be illiquid by Stonebridge Advisors, LLC
("the Sub-Advisor").
(f) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the Securities
Act of 1933, as amended (the "1933 Act"), and may be resold in
transactions exempt from registration, normally to qualified institutional
buyers (see Note 2C - Restricted Securities in the Notes to Portfolio of
Investments).
(g) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Fund's Board of Trustees, and in
accordance with the provisions of the Investment Company Act of 1940, as
amended. At July 31, 2016, securities noted as such are valued at
$15,990,000 or 1.1% of net assets.
(h) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the
Fund's Board of Trustees, this security has been determined to be liquid
by the Sub-Advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At July 31, 2016, securities noted as such
amounted to $538,779,587 or 37.4% of net assets.
(i) This security is a contingent convertible capital security which may be
subject to conversion into common stock of the issuer under certain
circumstances. At July 31, 2016, securities noted as such amounted to
$240,954,998 or 11.6% of managed assets. 1.7% of these securities
originated in emerging markets and 9.9% originated in foreign markets.
(j) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of July 31, 2016, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $67,734,025 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $51,000,063.
INTEREST RATE SWAP AGREEMENTS:
EXPIRATION NOTIONAL
COUNTERPARTY FLOATING RATE DATE AMOUNT FIXED RATE(1) VALUE
------------------- ------------- ---------- --------------- ------------- -------------
Bank of Nova Scotia 1 month LIBOR 1/23/25 $ 165,000,000 1.786% $(9,383,609)
(1) The Fund pays the fixed rate and receives the floating rate. The floating
rate on July 31, 2016 was 0.488%.
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2016 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2016
is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio of
Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2016 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
$25 Par Preferred Securities:
Insurance.................................. $ 83,135,994 $ 79,115,994 $ 4,020,000 $ --
Multi-Utilities............................ 21,262,751 7,677,000 13,585,751 --
Other industry categories*................. 333,211,671 333,211,671 -- --
$50 Par Preferred Securities*................... 1,938,250 1,938,250 -- --
$100 Par Preferred Securities:
Banks........................................ 51,600,006 -- 51,600,006 --
Consumer Finance............................. 7,172,200 7,172,200 -- --
$1,000 Par Preferred Securities*................ 88,127,093 -- 88,127,093
$1,000,000 Par Preferred Securities*............ 15,990,000 -- 15,990,000 --
Capital Preferred Securities*................... 1,418,226,016 -- 1,418,226,016 --
-------------- -------------- -------------- --------------
Total Investments............................... $2,020,663,981 $ 429,115,115 $1,591,548,866 $ --
============== ============== ============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
7/31/2016 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Interest Rate Swaps**........................... $ (9,383,609) $ -- $ (9,383,609) $ --
============== ============== ============== ==============
* See Portfolio of Investments for industry breakout.
** See Interest Rate Swap Agreements for contract detail.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at July 31, 2016.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2016 (UNAUDITED)
1. ORGANIZATION
First Trust Intermediate Duration Preferred & Income Fund (the "Fund") is a
non-diversified, closed-end management investment company organized as a
Massachusetts business trust on February 4, 2013, and is registered with the
Securities and Exchange Commission under the Investment Company Act of 1940, as
amended (the "1940 Act"). The Fund trades under the ticker symbol "FPF" on the
New York Stock Exchange ("NYSE").
The Fund, which is an investment company within the scope of Financial
Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follows
accounting and reporting guidance under FASB Accounting Standards Codification
Topic 946, "Financial Services - Investment Companies."
2. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION
The net asset value ("NAV") of the Common Shares of the Fund, is determined
daily as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern
time, on each day the NYSE is open for trading. If the NYSE closes early on a
valuation day, the NAV is determined as of that time. Domestic debt securities
and foreign securities are priced using data reflecting the earlier closing of
the principal markets for those securities. The NAV per common share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service, or are determined by the Pricing Committee of the Fund's
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee are footnoted as such in the footnotes to the
Portfolio of Investments. The Fund's investments are valued as follows:
Preferred stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")), are valued
at the last sale price on the exchange on which they are principally
traded or, for Nasdaq and AIM securities, the official closing price.
Securities traded on one or more than one securities exchange are valued
at the last sale price or official closing price, as applicable, at the
close of the securities exchange representing the principal market for
such securities.
Corporate bonds, notes and other debt securities are valued on the basis
of valuations provided by dealers who make markets in such securities or
by a third-party pricing service approved by the Fund's Board of Trustees,
which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Securities traded in an over-the-counter market are valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their closing bid price.
Exchange-traded futures contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded futures contracts are fair valued at the mean
of the most recent bid and asked price, if available, and otherwise at
their closing bid price. Over-the-counter options contracts are fair
valued at the mean of the most recent bid and asked price, if available,
and otherwise at their closing bid price.
Swaps are fair valued utilizing quotations provided by a third-party
pricing service or, if the pricing service does not provide a value, by
quotes provided by the selling dealer or financial institution.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Board of Trustees or its delegate,
the Advisor's Pricing Committee, at fair value. These securities generally
include, but are not limited to, restricted securities (securities which may not
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2016 (UNAUDITED)
be publicly sold without registration under the Securities Act of 1933, as
amended (the "1933 Act")), for which a pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market price is not available from a pre-established pricing source; a
security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of the Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the pricing service, does not reflect the security's fair value. As a general
principle, the current fair value of a security would appear to be the amount
which the owner might reasonably expect to receive for the security upon its
current sale. When fair value prices are used, generally they will differ from
market quotations or official closing prices on the applicable exchange. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
If the securities in question are foreign securities, the following additional
information may be considered:
1) the value of similar foreign securities traded on other foreign
markets;
2) ADR trading of similar securities;
3) closed-end fund trading of similar securities;
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of
foreign securities;
6) factors relating to the event that precipitated the pricing problem;
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of July 31, 2016, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2016 (UNAUDITED)
C. RESTRICTED SECURITIES
The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the 1933 Act. Prior
to registration, restricted securities may only be resold in transactions exempt
from registration under Rule 144A under the 1933 Act, normally to qualified
institutional buyers. As of July 31, 2016, the Fund held restricted securities
as shown in the following table that Stonebridge Advisors LLC (the
"Sub-Advisor") has deemed illiquid pursuant to procedures adopted by the Fund's
Board of Trustees. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is determined
based on security-specific factors and assumptions, which require subjective
judgment. The Fund does not have the right to demand that such securities be
registered. These securities are valued according to the valuation procedures as
stated in the Portfolio Valuation note (Note 2A) and are not expressed as a
discount to the carrying value of a comparable unrestricted security. There are
no unrestricted securities with the same maturity dates and yields for these
issuers.
PAR % OF
ACQUISITION AMOUNT/ CURRENT CARRYING NET
SECURITY DATE SHARES PRICE COST VALUE ASSETS
-------------------------------------------- --------------- ------------ ------------- ------------ ------------ ------------
Centaur Funding Corp., 9.08%, 04/21/20 5/29/13-5/31/13 16,000 $ 1,195.00 $ 20,528,750 $ 19,120,000 1.33%
Sovereign Real Estate Investment Trust,
12.00% 6/11/13-3/22/16 15,364 1,273.75 20,231,885 19,569,895 1.36
AgStar Financial Services ACA, 6.75% 5/29/13-7/31/15 12,000 1,061.19 12,105,000 12,734,250 0.88
Pitney Bowes International Holdings, Inc.,
Series F, 6.13% 6/27/13 4,000 1,025.00 3,935,000 4,100,000 0.28
FT Real Estate Securities Co., Inc., 9.50% 6/15/16 12 1,332,500.00 15,990,000 15,990,000 1.11
Sirius International Group Ltd., 7.51% 8/6/14-4/24/15 $25,000,000 100.63 26,480,164 25,156,250 1.75
Land O' Lakes, Inc., 8.00% 7/09/15-3/18/16 $23,000,000 105.75 23,032,500 24,322,500 1.69
Land O' Lakes, Inc., 8.00% 4/11/16 $10,000,000 105.75 13,655,158 10,575,000 0.73
------------ ------------ -----
$135,958,457 $131,567,895 9.13%
============ ============ =====
D. FUTURES CONTRACTS
The Fund purchases or sells (i.e. is long or short) futures contracts to hedge
against changes in interest rates (interest rate risk). Futures contracts are
agreements between the Fund and a counterparty to buy or sell a specific
quantity of an underlying instrument at a specified price and at a specified
date. Depending on the terms of the contract, futures contracts are settled
either through physical delivery of the underlying instrument on the settlement
date or by payment of a cash settlement amount on the settlement date. Open
futures contracts can also be closed out prior to settlement by entering into an
offsetting transaction in a matching futures contract. If the Fund is not able
to enter into an offsetting transaction, the Fund will continue to be required
to maintain margin deposits on the futures contract. When the contract is closed
or expires, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed or expired.
Upon entering into a futures contract, the Fund must deposit funds, called
margin, with its custodian in the name of the clearing broker equal to a
specified percentage of the current value of the contract. Open futures contacts
are marked to market daily. Pursuant to the contract, the Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin.
If market conditions change unexpectedly, the Fund may not achieve the
anticipated benefits of the futures contract and may realize a loss. The use of
futures contracts involves the risk of imperfect correlation in movements in the
price of the futures contracts, interest rates and the underlying instruments.
The Fund did not hold any futures contracts as of July 31, 2016.
E . SWAP AGREEMENTS
The Fund may enter into interest rate swap agreements. A swap is a financial
instrument that typically involves the exchange of cash flows between two
parties ("Counterparties") on specified dates (settlement dates) where the cash
flows are based on agreed upon prices, rates, etc. Swap agreements are
individually negotiated and involve the risk of the potential inability of the
Counterparties to meet the terms of the agreement. In connection with these
agreements, cash and securities may be identified as collateral in accordance
with the terms of the respective swap agreements to provide assets of value and
recourse in the event of default under the swap agreement or
bankruptcy/insolvency of a party to the swap agreement. In the event of a
default by the Counterparty, the Fund will seek withdrawal of this collateral
and may incur certain costs exercising its right with respect to the collateral.
If a Counterparty becomes bankrupt or otherwise fails to perform its obligations
due to financial difficulties, the Fund may experience significant delays in
obtaining any recovery in a bankruptcy or other reorganization proceeding. The
Fund may obtain only limited recovery or may obtain no recovery in such
circumstances.
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2016 (UNAUDITED)
Swap agreements may increase or decrease the overall volatility of the
investments of the Fund. The performance of swap agreements may be affected by a
change in the specific interest rate, security, currency, or other factors that
determine the amounts of payments due to and from the Fund. The Fund's maximum
equity price risk to meet its future payments under swap agreements outstanding
at July 31, 2016 is equal to the total notional amount as shown on the Portfolio
of Investments. The notional amount represents the U.S. dollar value of the
contract as of the day of the opening transaction or contract reset.
The Fund held interest rate swap agreements at July 31, 2016. An interest rate
swap agreement involves the Fund's agreement to exchange a stream of interest
payments for another party's stream of cash flows. Interest rate swaps do not
involve the delivery of securities or other underlying assets or principal.
Accordingly, the risk of loss with respect to interest rate swaps is limited to
the net amount of interest payments that the Fund is contractually obligated to
make.
3. DERIVATIVE TRANSACTIONS
The average volume of interest rate swaps was $165,000,000 for the fiscal year
to date period (November 1, 2015 to July 31, 2016).
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Intermediate Duration Preferred & Income Fund
-------------------------------------------------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: September 20, 2016
--------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: September 20, 2016
--------------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: September 20, 2016
--------------------
* Print the name and title of each signing officer under his or her signature.