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
-----------
First Trust Intermediate Duration Preferred & Income Fund
--------------------------------------------------------------------
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
--------------------------------------------------------------------
(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
--------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
--------------
Date of fiscal year end: October 31
------------
Date of reporting period: July 31, 2015
---------------
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, 450 Fifth Street, NW, Washington,
DC 20549-0609. 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, 2015 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES - 37.0%
BANKS - 15.4%
100,000 Bank of America Corp., Series W (a).................. 6.63% (b) $ 2,610,250
231,955 Bank of America Corp., Series Y (a).................. 6.50% (b) 6,002,995
702,419 Citigroup Capital XIII (a) (c)....................... 7.88% 10/30/40 17,890,612
200,000 Citigroup, Inc., Series J (a) (c).................... 7.13% (b) 5,590,000
650,000 Citigroup, Inc., Series K (a) (c).................... 6.88% (b) 17,823,000
566,593 Fifth Third Bancorp, Series I (a) (c)................ 6.63% (b) 15,904,266
400,250 First Niagara Financial Group., Inc.,
Series B (a) (c).................................. 8.63% (b) 10,906,812
288,318 FNB Corp. (a) (c).................................... 7.25% (b) 8,271,843
600,000 GMAC Capital Trust I, Series 2 (a) (c)............... 8.13% 02/15/40 15,738,000
19,476 HSBC USA, Inc., Series F (d)......................... 3.50% (b) 435,094
196,862 HSBC USA, Inc., Series H (a)......................... 6.50% (b) 5,031,793
226,235 ING Groep N.V. (a)................................... 6.20% (b) 5,816,502
500,000 ING Groep N.V. (a)................................... 6.38% (b) 12,800,000
200,000 JPMorgan Chase & Co., Series AA (a).................. 6.10% (b) 4,966,000
25,000 JPMorgan Chase & Co., Series BB ..................... 6.15% (b) 625,000
130,000 JPMorgan Chase & Co., Series T (a)................... 6.70% (b) 3,438,500
250,000 JPMorgan Chase & Co., Series W (a)................... 6.30% (b) 6,402,500
234,000 JPMorgan Chase & Co., Series Y (a)................... 6.13% (b) 5,845,320
198,230 MB Financial, Inc., Series A (a) (e) (f)............. 8.00% (b) 5,296,706
220,000 PNC Financial Services Group, Inc.,
Series P (a) (c).................................. 6.13% (b) 6,061,000
200,000 Royal Bank of Scotland Group PLC, Series M (a)....... 6.40% (b) 5,050,000
233,786 Royal Bank of Scotland Group PLC, Series N (a)....... 6.35% (b) 5,903,096
200,000 Royal Bank of Scotland Group PLC, Series P (a)....... 6.25% (b) 5,050,000
287,914 Royal Bank of Scotland Group PLC, Series R (a)....... 6.13% (b) 7,209,367
424,591 Royal Bank of Scotland Group PLC, Series S (a)....... 6.60% (b) 10,720,923
291,029 Santander Finance Preferred SAU., Series 6 (a) (d)... 4.00% (b) 6,696,577
109,365 Synovus Financial Corp., Series C (c)................ 7.88% (b) 3,058,808
165,000 Texas Capital Bancshares, Inc., Series A (a)......... 6.50% (b) 4,139,850
130,000 Valley National Bancorp, Series A (c)................ 6.25% (b) 3,344,900
230,956 Wells Fargo & Co. (a) (c)............................ 6.63% (b) 6,420,577
182,000 Wells Fargo & Co., Series J (a)...................... 8.00% (b) 5,187,000
150,000 Wintrust Financial Corp., Series D (c)............... 6.50% (b) 3,765,000
67,992 Zions Bancorporation, Series G (a) (c)............... 6.30% (b) 1,789,549
--------------
225,791,840
--------------
CAPITAL MARKETS - 4.4%
119,601 Apollo Investment Corp. (a).......................... 6.88% 07/15/43 3,078,530
46,400 Ares Capital Corp. .................................. 7.75% 10/15/40 1,181,808
50,000 Charles Schwab Corp., Series C ...................... 6.00% (b) 1,257,000
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
CAPITAL MARKETS (CONTINUED)
350,000 Deutsche Bank Contingent Capital Trust II (a)........ 6.55% (b) $ 9,387,000
93,095 Deutsche Bank Contingent Capital Trust III (b)....... 7.60% (b) 2,574,077
200,000 Deutsche Bank Contingent Capital Trust V............. 8.05% (b) 5,730,000
250,000 Goldman Sachs Group, Inc., Series K (a) (c).......... 6.38% (b) 6,645,000
244,000 Morgan Stanley, Series E (a) (c)..................... 7.13% (b) 6,827,120
350,000 Morgan Stanley, Series F (a) (c)..................... 6.88% (b) 9,509,500
220,000 Morgan Stanley, Series G (a)......................... 6.63% (b) 5,764,000
65,292 Raymond James Financial, Inc. ....................... 6.90% 03/15/42 1,757,008
396,514 State Street Corp., Series D (a) (c)................. 5.90% (b) 10,297,468
--------------
64,008,511
--------------
CONSUMER FINANCE - 0.6%
200,000 Capital One Financial Corp., Series C (a)............ 6.25% (b) 5,174,000
138,802 Capital One Financial Corp., Series D (a)............ 6.70% (b) 3,746,266
--------------
8,920,266
--------------
DIVERSIFIED FINANCIAL SERVICES - 3.4%
21,187 Allied Capital Corp. ................................ 6.88% 04/15/47 537,514
110,360 Countrywide Capital IV (a)........................... 6.75% 04/01/33 2,820,802
371,750 Countrywide Capital V (a)............................ 7.00% 11/01/36 9,501,930
40,000 KKR Financial Holdings LLC .......................... 8.38% 11/15/41 1,098,000
387,531 KKR Financial Holdings LLC, Series A (a)............. 7.38% (b) 10,242,444
500,000 RBS Capital Funding Trust V, Series E (a)............ 5.90% (b) 12,320,000
19,582 RBS Capital Funding Trust VI, Series F .............. 6.25% (b) 493,271
504,065 RBS Capital Funding Trust VII, Series G (a).......... 6.08% (b) 12,571,381
--------------
49,585,342
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.9%
250,400 Qwest Corp. (a)...................................... 7.38% 06/01/51 6,520,416
251,594 Qwest Corp. (a)...................................... 7.50% 09/15/51 6,657,177
350,000 Qwest Corp. (a)...................................... 6.13% 06/01/53 8,802,500
205,150 Qwest Corp. (a)...................................... 6.88% 10/01/54 5,356,466
--------------
27,336,559
--------------
FOOD PRODUCTS - 3.0%
930,633 CHS, Inc., Series 2 (a) (c).......................... 7.10% (b) 25,331,830
582,059 CHS, Inc., Series 3 (a) (c).......................... 6.75% (b) 15,267,408
114,692 CHS, Inc., Series 4 (a).............................. 7.50% (b) 3,121,916
--------------
43,721,154
--------------
INSURANCE - 4.3%
150,000 Allstate Corp., Series E (a)......................... 6.63% (b) 3,984,000
333,141 Aspen Insurance Holdings Ltd. (a) (c)................ 5.95% (b) 8,528,409
203,483 Aspen Insurance Holdings Ltd. (a).................... 7.25% (b) 5,310,906
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
190,236 Aspen Insurance Holdings Ltd. (c).................... 7.40% (b) $ 5,005,109
69,186 Aviva PLC ........................................... 8.25% 12/01/41 1,884,627
158,483 Axis Capital Holdings Ltd., Series C (a)............. 6.88% (b) 4,223,572
264,683 Endurance Specialty Holdings Ltd., Series B (a)...... 7.50% (b) 6,961,163
603,315 Hartford Financial Services Group, Inc. (a) (c)...... 7.88% 04/15/42 18,817,395
90,729 Maiden Holdings North America Ltd. .................. 8.25% 06/15/41 2,417,928
120,897 PartnerRe Ltd., Series E (a)......................... 7.25% (b) 3,337,966
100,602 Reinsurance Group of America, Inc. (c)............... 6.20% 09/15/42 2,847,037
--------------
63,318,112
--------------
MULTI-UTILITIES - 0.9%
473,173 Integrys Energy Group, Inc. (a) (c).................. 6.00% 08/01/73 13,073,770
--------------
REAL ESTATE INVESTMENT TRUSTS - 3.0%
200,000 Digital Realty Trust, Inc., Series E (a)............. 7.00% (b) 5,180,000
100,000 Digital Realty Trust, Inc., Series H ................ 7.38% (b) 2,713,000
219,385 DuPont Fabros Technology, Inc., Series A (a)......... 7.88% (b) 5,578,741
229,604 Equity Commonwealth, Series E (a).................... 7.25% (b) 5,887,047
150,541 Kilroy Realty Corp., Series G (a).................... 6.88% (b) 3,888,474
300,000 National Retail Properties, Inc., Series D (a)....... 6.63% (b) 7,851,000
99,794 Taubman Centers, Inc., Series J (a).................. 6.50% (b) 2,526,784
71,356 Taubman Centers, Inc., Series K (a).................. 6.25% (b) 1,812,892
250,000 VEREIT, Inc., Series F (a)........................... 6.70% (b) 6,137,500
78,000 Vornado Realty Trust, Series J ...................... 6.88% (b) 2,010,840
--------------
43,586,278
--------------
WIRELESS TELECOMMUNICATION SERVICES - 0.1%
48,000 United States Cellular Corp ......................... 7.25% 12/01/63 1,241,280
--------------
TOTAL $25 PAR PREFERRED SECURITIES................................................. 540,583,112
(Cost $522,373,205) --------------
$50 PAR PREFERRED SECURITIES - 0.1%
CONSUMER FINANCE - 0.1%
38,465 SLM Corp., Series A ................................. 6.97% (b) 1,852,474
--------------
TOTAL $50 PAR PREFERRED SECURITIES................................................. 1,852,474
(Cost $1,889,695) --------------
$100 PAR PREFERRED SECURITIES - 3.5%
BANKS - 3.5%
80,000 AgriBank FCB (c) (e)................................. 6.88% (b) 8,405,000
179,000 CoBank ACB, Series F (a) (c)......................... 6.25% (b) 18,795,000
82,220 CoBank ACB, Series G (a)............................. 6.13% (b) 7,482,020
60,000 CoBank ACB, Series H (a) (c)......................... 6.20% (b) 6,048,000
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$100 PAR PREFERRED SECURITIES (CONTINUED)
BANKS (CONTINUED)
100,000 Farm Credit Bank of Texas (a) (c) (e) (g)............ 6.75% (b) $ 10,446,880
--------------
TOTAL $100 PAR PREFERRED SECURITIES................................................ 51,176,900
(Cost $51,241,096) --------------
$1,000 PAR PREFERRED SECURITIES - 4.2%
BANKS - 0.9%
12,000 AgStar Financial Services ACA (a) (c) (e) (g)........ 6.75% (b) 12,535,500
--------------
DIVERSIFIED FINANCIAL SERVICES - 0.3%
4,000 Pitney Bowes International Holdings, Inc.,
Series F (a) (e) (g).............................. 6.13% (b) 4,227,500
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4%
16,000 Centaur Funding Corp. (e) (g)........................ 9.08% 04/21/20 19,885,000
--------------
INSURANCE - 0.3%
5,000 XLIT Ltd., Series D (d).............................. 3.41% (b) 4,229,687
--------------
REAL ESTATE INVESTMENT TRUSTS - 1.3%
14,000 Sovereign Real Estate Investment Trust (e) (g)....... 12.00% (b) 18,532,500
--------------
TOTAL $1,000 PAR PREFERRED SECURITIES.............................................. 59,410,187
(Cost $59,195,625) --------------
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES - 94.6%
BANKS - 42.8%
$ 31,000,000 Banco Bilbao Vizcaya Argentaria S.A. (a) (c)......... 9.00% (b) 33,712,500
20,000,000 Banco do Brasil S.A. (c) (h)......................... 9.00% (b) 17,244,000
3,430,000 Banco do Brasil S.A. (c)............................. 9.25% (b) 3,099,863
22,500,000 Bank of America Corp., Series Z (a) (c).............. 6.50% (b) 23,259,375
9,940,000 Barclays Bank PLC (a) (h)............................ 10.18% 06/12/21 13,160,809
2,560,000 Barclays Bank PLC (a)................................ 10.18% 06/12/21 3,389,504
15,000,000 Barclays Bank PLC (a) (c)............................ 7.75% 04/10/23 16,466,250
10,000,000 Barclays PLC (a) (c)................................. 6.63% (b) 9,928,270
10,000,000 Barclays PLC (a) (c)................................. 8.25% (b) 10,724,670
3,510,000 BBVA Global Finance Ltd. (a)......................... 7.00% 12/01/25 3,854,612
10,000,000 BNP Paribas S.A. (a) (c) (h)......................... 7.20% (b) 11,812,500
7,500,000 BPCE S.A. (a) (c) (h)................................ 12.50% (b) 9,937,500
6,801,000 BPCE S.A. (a)........................................ 13.00% (b) 6,984,627
800,000 Citigroup, Inc., Series E (c) (e).................... 8.40% (b) 912,000
8,500,000 Citigroup, Inc., Series O (a) (c).................... 5.88% (b) 8,563,750
8,000,000 Citigroup, Inc., Series P (a) (c).................... 5.95% (b) 7,810,000
20,000,000 Citizens Financial Group, Inc. (a) (c) (h)........... 5.50% (b) 19,677,000
4,000,000 Commerzbank AG (a)................................... 8.13% 09/19/23 4,681,240
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
BANKS (CONTINUED)
$ 4,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA (a) (c)........................................ 8.38% (b) $ 4,221,700
15,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA (a) (c)........................................ 8.40% (b) 16,350,000
25,104,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA (a) (c) (h).................................... 11.00% (b) 31,607,191
3,033,000 Countrywide Capital III, Series B ................... 8.05% 06/15/27 3,791,474
5,000,000 Credit Agricole S.A. (a) (c) (h)..................... 8.13% 09/19/33 5,595,310
5,975,000 Credit Agricole S.A. (a) (c)......................... 8.38% (b) 6,871,250
17,000,000 Credit Agricole S.A. (a) (c) (h)..................... 8.38% (b) 19,550,000
25,000,000 Dresdner Funding Trust I (a) (h)..................... 8.15% 06/30/31 31,437,500
40,694,000 Fuerstenberg Capital International Sarl & Cie
SECS (a) (c)...................................... 10.25% (b) 42,655,247
1,464,000 HSBC Capital Funding L.P. (c)........................ 10.18% (b) 2,203,320
3,000,000 HSBC Holdings PLC (c)................................ 6.38% (b) 3,021,000
4,000,000 ING Groep N.V. (a) (c)............................... 6.50% (b) 3,945,000
21,500,000 JPMorgan Chase & Co., Series S (a) (c)............... 6.75% (b) 22,803,437
26,000,000 KBC Bank N.V. (a) (c)................................ 8.00% 01/25/23 28,634,502
10,000,000 LBG Capital No.1 PLC (a) (c) (h)..................... 8.00% (b) 11,470,000
10,500,000 LBG Capital No.1 PLC (a) (c)......................... 8.50% (b) 12,491,588
13,000,000 Lloyds Bank PLC (a) (c).............................. 12.00% (b) 18,752,500
19,500,000 Lloyds Bank PLC (a) (c) (h).......................... 12.00% (b) 28,128,750
5,000,000 M&T Bank Corp., Series E (a) (c)..................... 6.45% (b) 5,362,500
10,754,000 Natixis (a) (c) (h).................................. 10.00% (b) 12,609,065
5,575,000 Natixis S.A. (a) (c)................................. 10.00% (b) 6,536,688
10,290,000 NIBC Bank N.V. (a)................................... 7.63% (b) 10,336,305
19,700,000 Royal Bank of Scotland Group PLC (a) (c)............. 7.65% (b) 24,920,500
13,980,000 SMFG Preferred Capital USD 3 Ltd. (a) (c) (h)........ 9.50% (b) 16,771,498
10,000,000 Societe Generale S.A. (a) (c) (h).................... 7.88% (b) 10,180,000
9,500,000 Societe Generale S.A. (a) (c)........................ 8.25% (b) 10,200,625
9,500,000 Wells Fargo & Co., Series U (a) (c).................. 5.88% (b) 9,737,500
6,800,000 Zions Bancorporation (a) (c)......................... 5.80% (b) 6,485,500
12,000,000 Zions Bancorporation, Series J (a) (c)............... 7.20% (b) 12,780,000
--------------
624,668,420
--------------
CAPITAL MARKETS - 1.6%
4,150,000 Charles Schwab Corp. (a) (c)......................... 7.00% (b) 4,809,476
2,500,000 Deutsche Bank Capital Trust IV (c) (e)............... 4.59% (b) 2,425,000
15,000,000 UBS Group AG (a)..................................... 7.13% (b) 15,721,500
--------------
22,955,976
--------------
DIVERSIFIED FINANCIAL SERVICES - 5.1%
15,000,000 General Electric Capital Corp., Series A (a) (c)..... 7.13% (b) 17,362,500
15,000,000 General Electric Capital Corp., Series B (a) (c)..... 6.25% (b) 16,287,000
31,040,000 Glen Meadow Pass Through Trust (a) (c) (h)........... 6.51% 02/12/67 28,867,200
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
$ 11,400,000 Macquarie PMI LLC (a)................................ 8.38% (b) $ 11,600,389
--------------
74,117,089
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4%
19,650,000 Koninklijke KPN N.V. (a) (c) (h)..................... 7.00% 03/28/73 20,706,188
--------------
ELECTRIC UTILITIES - 4.6%
34,750,000 Enel SpA (a) (c) (h)................................. 8.75% 09/24/73 40,866,000
3,000,000 NextEra Energy Capital Holdings, Inc., Series D (c).. 7.30% 09/01/67 3,012,390
21,500,000 PPL Capital Funding, Inc., Series A (a) (c).......... 6.70% 03/30/67 18,830,195
4,179,000 Southern California Edison Co., Series E (a) (c)..... 6.25% (b) 4,612,571
--------------
67,321,156
--------------
FOOD PRODUCTS - 1.0%
13,211,000 Land O'Lakes Capital Trust I (a) (h)................. 7.45% 03/15/28 14,201,825
--------------
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 1.7%
9,850,000 AES Gener S.A. (c) (h)............................... 8.38% 12/18/73 10,810,375
12,150,000 AES Gener S.A. (c)................................... 8.38% 12/18/73 13,334,625
--------------
24,145,000
--------------
INSURANCE - 33.5%
2,500,000 Aegon N.V. (a) (d)................................... 2.62% (b) 2,176,413
25,320,000 American International Group, Inc. (a) (c)........... 8.18% 05/15/58 33,992,100
39,660,000 Aquarius + Investments PLC for Swiss Reinsurance Co.,
Ltd. (a).......................................... 8.25% (b) 43,386,176
30,000,000 Assured Guaranty Municipal Holdings, Inc. (a) (c) (h) 6.40% 12/15/66 22,350,000
2,000,000 Assured Guaranty US Holdings, Series A (c) (e)....... 6.40% 12/15/66 1,440,000
27,000,000 Aviva PLC (a)........................................ 8.25% (b) 29,778,570
6,800,000 AXA S.A. (a)......................................... 8.60% 12/15/30 9,163,000
17,030,000 Catlin Insurance Co., Ltd. (a) (c) (h)............... 7.25% (b) 15,880,475
15,050,000 Cloverie PLC for Zurich Insurance Co., Ltd. (a) (c).. 8.25% (b) 17,076,844
7,000,000 CNP Assurances (a) (c)............................... 6.88% (b) 7,625,485
10,600,000 CNP Assurances (a) (c)............................... 7.50% (b) 11,699,241
12,500,000 Dai-ichi Life Insurance Co., Ltd. (The) (a) (c) (h).. 7.25% (b) 14,585,937
27,375,000 Friends Life Holdings PLC (a) (c).................... 7.88% (b) 30,475,903
11,782,000 Hartford Financial Services Group, Inc. (a) (c)...... 8.13% 06/15/38 13,313,660
17,165,000 La Mondiale SAM (a) (c).............................. 7.63% (b) 18,874,016
14,000,000 Liberty Mutual Group, Inc. (a) (c) (h)............... 7.00% 03/15/37 14,385,000
5,492,000 Liberty Mutual Group, Inc. (a) (h)................... 7.80% 03/15/37 6,521,750
2,000,000 Liberty Mutual Group, Inc. (a) (c)................... 10.75% 06/15/58 3,045,000
15,000,000 MetLife Capital Trust X (a) (h)...................... 9.25% 04/08/38 21,034,500
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
$ 17,180,000 MetLife, Inc. (a).................................... 10.75% 08/01/39 $ 27,238,890
25,000,000 Mitsui Sumitomo Insurance Co., Ltd. (a) (c) (h)...... 7.00% 03/15/72 29,093,750
3,000,000 Nationwide Financial Services Capital Trust (a) (e).. 7.90% 03/01/37 3,339,939
19,700,000 Nationwide Financial Services, Inc. (a).............. 6.75% 05/15/37 20,763,800
14,347,000 Prudential Financial, Inc. (a) (c)................... 8.88% 06/15/38 16,803,924
33,520,000 QBE Capital Funding III Ltd. (a) (c) (h)............. 7.25% 05/24/41 36,955,800
25,000,000 Sirius International Group Ltd. (a) (c) (e) (g)...... 7.51% (b) 25,625,000
10,000,000 StanCorp Financial Group, Inc. (c)................... 6.90% 06/01/67 9,275,000
3,000,000 Sumitomo Life Insurance Co. (a) (c) (h).............. 6.50% 09/20/73 3,386,250
--------------
489,286,423
--------------
MULTI-UTILITIES - 1.3%
18,278,000 RWE AG (a) (c)....................................... 7.00% 10/12/72 19,330,813
--------------
OIL, GAS & CONSUMABLE FUELS - 1.6%
13,000,000 Enbridge Energy Partners L.P. (a) (c)................ 8.05% 10/01/37 13,344,500
10,000,000 Enterprise Products Operating LLC, Series B (a) (c).. 7.03% 01/15/68 10,725,000
--------------
24,069,500
--------------
TOTAL CAPITAL PREFERRED SECURITIES................................................. 1,380,802,390
(Cost $1,370,146,005) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CORPORATE BONDS AND NOTES - 2.3%
FOOD PRODUCTS - 1.6%
22,000,000 Land O' Lakes, Inc. (e) (g).......................... 8.00% (b) 22,715,000
--------------
INSURANCE - 0.7%
10,000,000 Genworth Holdings, Inc. (a).......................... 7.63% 09/24/21 10,762,500
--------------
TOTAL CORPORATE BONDS AND NOTES.................................................... 33,477,500
(Cost $32,490,994) --------------
TOTAL INVESTMENTS - 141.7%......................................................... 2,067,302,563
(Cost $2,037,336,620) (i)
OUTSTANDING LOAN - (45.6%)......................................................... (665,000,000)
NET OTHER ASSETS AND LIABILITIES - 3.9%............................................ 57,571,771
--------------
NET ASSETS - 100.0%................................................................ $1,459,874,334
==============
-----------------------------
(a) All or a portion of this security serves as collateral on the outstanding
loan.
(b) Perpetual maturity.
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
(c) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at July 31, 2015. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(d) Floating rate security. The interest rate shown reflects the rate in
effect at July 31, 2015.
(e) Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be illiquid by the Stonebridge Advisors,
LLC (the "Sub-Advisor").
(f) 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 provisions of the Investment Company Act of 1940, as
amended. At July 31, 2015, securities noted as such are valued at
$5,296,706 or 0.36% of net assets.
(g) 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.)
(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, 2015, securities noted as such
are valued at $518,826,173 or 35.54% of net assets.
(i) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of July 31, 2015, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $54,585,668 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $24,619,725.
INTEREST RATE SWAP AGREEMENTS:
EXPIRATION
COUNTERPARTY FLOATING RATE DATE NOTIONAL AMOUNT FIXED RATE(1) VALUE
------------------- ------------- ---------- --------------- ------------- -------------
Bank of Nova Scotia 1 month LIBOR 1/23/25 $ 165,000,000 1.78% $ 4,479,946
------------- -----------
(1) The Fund pays the fixed rate and receives the floating rate. The floating
rate on July 31, 2015 was 0.19%.
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2015 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2015
is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio of
Investments.
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 7/31/2015 PRICES INPUTS INPUTS
------------------------------------------------ -------------- -------------- -------------- --------------
$25 Par Preferred Securities:
Banks.................................... $ 225,791,840 $ 220,495,134 $ 5,296,706 $ --
Other Industry categories*............... 314,791,272 314,791,272 -- --
$50 Par Preferred Securities*................... 1,852,474 1,852,474 -- --
$100 Par Preferred Securities* ................. 51,176,900 -- 51,176,900 --
$1,000 Par Preferred Securities*................ 59,410,187 -- 59,410,187 --
Capital Preferred Securities*................... 1,380,802,390 -- 1,380,802,390 --
Corporate Bonds and Notes*...................... 33,477,500 -- 33,477,500 --
-------------- -------------- -------------- --------------
Total Investments............................... $2,067,302,563 $ 537,138,880 $1,530,163,683 $ --
Interest Rate Swaps**........................... $ 4,479,946 $ -- $ 4,479,946 $ --
-------------- -------------- -------------- --------------
Total .......................................... $2,071,782,509 $ 537,138,880 $1,534,643,629 $ --
============== ============== ============== ==============
* 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. As of July 31,
2015, the Fund transferred $25 Par preferred securities valued at $5,296,706
from Level 1 to Level 2. The preferred security that transferred from Level 1 to
Level 2 did so as a result of a lack of trading on the primary exchange.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2015 (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(R) 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 an independent 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 options and 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 options and 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, 2015 (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, 2015, 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.
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, 2015 (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, 2015, 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.
% OF
ACQUISITION PAR CURRENT CARRYING NET
SECURITY DATE VALUE/SHARES PRICE COST VALUE ASSETS
-------------------------------------------- --------------- ------------ ----------- ------------ ------------ ------------
AgStar Financial Services ACA, 6.75% 5/29/13 12,000 $ 1,044.63 $ 12,105,000 $ 12,535,500 0.86%
Centaur Funding Corp., 9.08%, 04/21/20 5/29/13-5/31/13 16,000 1,242.81 20,528,750 19,885,000 1.36
Farm Credit Bank of Texas, 6.75% 7/16/13-7/17/13 100,000 104.47 10,020,000 10,446,880 0.72
Pitney Bowes International Holdings, Inc.,
Series F, 6.13% 6/27/13 4,000 1,056.88 3,935,000 4,227,500 0.29
Sovereign Real Estate Investment
Trust, 12.00% 6/11/13-5/12/14 14,000 1,323.75 18,489,375 18,532,500 1.27
Land O' Lakes, Inc., 8.00%, 09/24/21 7/9/15 $ 22,000,000 103.25 22,000,000 22,715,000 1.56
Sirius International Group Ltd., 7.51% 8/6/14-4/24/15 $ 25,000,000 102.50 26,480,164 25,625,000 1.76
------------ ------------ -------
$113,558,289 $113,967,380 7.82%
============ ============ =======
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, 2015.
E. OPTION CONTRACTS
The Fund may purchase or write put and call options on futures contracts and
enter into closing transactions with respect to such options to terminate an
existing position. A futures option gives the holder the right, in return for
the premium paid, to assume a long position (call) or short position (put) in a
futures contract at a specified exercise price prior to the expiration of the
option. Upon exercise of a call option, the holder acquires a long position in
the futures contract and the writer is assigned the opposite short position. In
the case of a put option, the opposite is true. Prior to exercise or expiration,
a futures option may be closed out by an offsetting purchase or sale of a
futures option of the same series.
The Fund may use options on futures contracts in connection with hedging
strategies. Generally, these strategies would be applied under the same market
and market sector conditions in which the Fund uses put and call options on
securities or indices. The purchase of put options on futures contracts is
analogous to the purchase of puts on securities or indices so as to hedge the
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2015 (UNAUDITED)
Fund's securities holdings against the risk of declining market prices. The
writing of a call option or the purchasing of a put option on a futures contract
constitutes a partial hedge against declining prices of securities which are
deliverable upon exercise of the futures contract. If the price at expiration of
a written call option is below the exercise price, the Fund will retain the full
amount of the option premium, which provides a partial hedge against any decline
that may have occurred in the Fund's holdings of securities. If the price when
the option is exercised is above the exercise price, however, the Fund will
incur a loss, which may be offset, in whole or in part, by the increase in the
value of the securities held by the Fund that were being hedged. Writing a put
option or purchasing a call option on a futures contract serves as a partial
hedge against an increase in the value of the securities the Fund intends to
acquire.
As with investments in futures contracts, the Fund is required to deposit and
maintain margin with respect to put and call options on futures contracts
written by them. Such margin deposits will vary depending on the nature of the
underlying futures contract (and the related initial margin requirements), the
current market value of the option, and other futures positions held by the
Fund. The Fund will earmark or set aside in a segregated account at such Fund's
custodian, liquid assets, such as cash, U.S. government securities or other
high-grade liquid debt obligations equal in value to the amount due on the
underlying obligation. Such segregated assets will be marked-to-market daily,
and additional assets will be earmarked or placed in the segregated account
whenever the total value of the earmarked or segregated assets falls below the
amount due on the underlying obligation.
The risks associated with the use of options on futures contracts include the
risk that the Fund may close out its position as a writer of an option only if a
liquid secondary market exists for such options, which cannot be assured. The
Fund's successful use of options on futures contracts depends on its
Sub-Advisor's ability to correctly predict the movement in prices of futures
contracts and the underlying instruments, which may prove to be incorrect. In
addition, there may be imperfect correlation between the instruments being
hedged and the futures contract subject to the option. Certain characteristics
of the futures market might increase the risk that movements in the prices of
futures contracts or options on futures contracts might not correlate perfectly
with movements in the prices of the investments being hedged. For example, all
participants in the futures and options on futures contracts markets are subject
to daily variation margin calls and might be compelled to liquidate futures or
options on futures contracts positions whose prices are moving unfavorably to
avoid being subject to further calls. These liquidations could increase the
price volatility of the instruments and distort the normal price relationship
between the futures or options and the investments being hedged. Also, because
of initial margin deposit requirements, there might be increased participation
by speculators in the futures markets. This participation also might cause
temporary price distortions. In addition, activities of large traders in both
the futures and securities markets involving arbitrage, "program trading," and
other investment strategies might result in temporary price distortions.
Over-the-counter options have the risk of the potential inability of
counterparties to meet the terms of their contracts. The Fund's maximum equity
price risk for purchased options is limited to the premium initially paid. In
addition, certain risks may arise upon entering into option contracts including
the risk that an illiquid secondary market will limit the Fund's ability to
close out an option contract prior to the expiration date and that a change in
the value of the option contract may not correlate exactly with changes in the
value of the securities hedged. The Fund did not hold any options as of July 31,
2015.
F . 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.
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, 2015 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, 2015. 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.
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2015 (UNAUDITED)
3. DERIVATIVE TRANSACTIONS
The average volume of interest rate swaps was $165,000,000 for the fiscal year
to date period (November 1, 2014 to July 31, 2015).
For the fiscal year to date period (November 1, 2014 to July 31, 2015), the
notional values of futures contracts opened and closed were $0 and $54,498,126,
respectively.
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/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: September 22, 2015
---------------------
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/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: September 22, 2015
---------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: September 22, 2015
---------------------
* Print the name and title of each signing officer under his or her signature.