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: January 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
JANUARY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES - 33.2%
BANKS - 13.4%
100,000 Bank of America Corp., Series CC .................... 6.20% (a) $ 2,545,000
100,000 Bank of America Corp., Series W (b).................. 6.63% (a) 2,646,880
149,523 Bank of America Corp., Series Y (b).................. 6.50% (a) 3,895,074
702,419 Citigroup Capital XIII (b) (d)....................... 6.99% 10/30/40 17,960,854
100,000 Citigroup, Inc., Series K (c)....................... 6.88% (a) 2,747,000
220,000 Citigroup, Inc., Series S ........................... 6.30% (a) 5,555,000
566,593 Fifth Third Bancorp, Series I (b) (c)................ 6.63% (a) 15,892,934
400,250 First Niagara Financial Group, Inc.,
Series B (b) (c).................................. 8.63% (a) 10,886,800
288,318 FNB Corp. (b) (c).................................... 7.25% (a) 8,361,222
900,000 GMAC Capital Trust I, Series 2 (b) (c)............... 6.40% 02/15/40 22,905,000
19,476 HSBC USA, Inc., Series F (d)......................... 3.50% (a) 427,498
196,862 HSBC USA, Inc., Series H (b)......................... 6.50% (a) 5,098,726
226,235 ING Groep N.V. (b)................................... 6.20% (a) 5,759,943
500,000 ING Groep N.V. (b)................................... 6.38% (a) 12,940,000
130,000 JPMorgan Chase & Co., Series T (b)................... 6.70% (a) 3,555,500
250,000 JPMorgan Chase & Co., Series W (b)................... 6.30% (a) 6,522,500
198,230 MB Financial, Inc., Series A (b) (e)................. 8.00% (a) 5,290,759
220,000 PNC Financial Services Group, Inc., Series P (b) (c). 6.13% (a) 6,133,600
287,914 Royal Bank of Scotland Group PLC, Series R (b)....... 6.13% (a) 7,200,729
424,591 Royal Bank of Scotland Group PLC, Series S (b)....... 6.60% (a) 10,733,660
256,940 Santander Finance Preferred SAU, Series 6 (b) (d).... 4.00% (a) 5,506,224
109,365 Synovus Financial Corp., Series C (b) (c)............ 7.88% (a) 3,062,220
165,000 Texas Capital Bancshares, Inc., Series A (b)......... 6.50% (a) 4,004,550
129,641 Valley National Bancorp, Series A (b) (c)............ 6.25% (a) 3,489,936
182,000 Wells Fargo & Co., Series J (b)...................... 8.00% (a) 5,096,000
100,000 Wells Fargo & Co., Series W ......................... 5.70% (a) 2,556,250
150,000 Wintrust Financial Corp., Series D (b) (c)........... 6.50% (a) 4,005,000
67,992 Zions Bancorporation, Series G (b) (c)............... 6.30% (a) 1,784,110
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186,562,969
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CAPITAL MARKETS - 3.7%
150,000 Apollo Investment Corp. (b).......................... 6.88% 07/15/43 3,817,500
50,000 Charles Schwab Corp., Series C ...................... 6.00% (a) 1,308,500
170,405 Deutsche Bank Contingent Capital Trust II ........... 6.55% (a) 4,299,318
250,000 Deutsche Bank Contingent Capital Trust III (b)....... 7.60% (a) 6,417,500
223,946 Deutsche Bank Contingent Capital Trust V (b)......... 8.05% (a) 5,889,780
250,000 Goldman Sachs Group, Inc., Series K (b) (c).......... 6.38% (a) 6,797,500
244,000 Morgan Stanley, Series E (b) (c)..................... 7.13% (a) 6,936,920
350,000 Morgan Stanley, Series F (b) (c)..................... 6.88% (a) 9,814,000
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
CAPITAL MARKETS (CONTINUED)
200,000 Morgan Stanley, Series I (b) (c)..................... 6.38% (a) $ 5,198,000
65,292 Raymond James Financial, Inc. ....................... 6.90% 03/15/42 1,759,619
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52,238,637
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CONSUMER FINANCE - 0.6%
200,000 Capital One Financial Corp., Series C (b)............ 6.25% (a) 5,252,000
138,802 Capital One Financial Corp., Series D (b)............ 6.70% (a) 3,778,190
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9,030,190
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DIVERSIFIED FINANCIAL SERVICES - 1.9%
21,187 Allied Capital Corp. ................................ 6.88% 04/15/47 538,997
57,757 Countrywide Capital IV .............................. 6.75% 04/01/33 1,471,071
40,000 KKR Financial Holdings LLC .......................... 8.38% 11/15/41 1,082,800
391,656 KKR Financial Holdings LLC, Series A (b)............. 7.38% (a) 10,347,552
19,582 RBS Capital Funding Trust VI, Series F .............. 6.25% (a) 489,158
504,065 RBS Capital Funding Trust VII, Series G (b).......... 6.08% (a) 12,551,219
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26,480,797
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.8%
250,400 Qwest Corp. (b)...................................... 7.38% 06/01/51 6,417,752
251,594 Qwest Corp. (b)...................................... 7.50% 09/15/51 6,513,769
217,145 Qwest Corp. (b)...................................... 6.88% 10/01/54 5,595,827
240,940 Qwest Corp. (b)...................................... 6.63% 09/15/55 5,972,902
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24,500,250
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ELECTRIC UTILITIES - 0.4%
200,000 Southern (The) Co. (b)............................... 6.25% 10/15/75 5,298,000
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FOOD PRODUCTS - 3.0%
919,304 CHS, Inc., Series 2 (b) (c).......................... 7.10% (a) 24,508,644
582,059 CHS, Inc., Series 3 (b) (c).......................... 6.75% (a) 15,022,943
114,692 CHS, Inc., Series 4 (b).............................. 7.50% (a) 3,084,068
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42,615,655
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INSURANCE - 3.9%
150,000 Allstate Corp., Series E (b)......................... 6.63% (a) 4,120,500
204,030 AmTrust Financial Services, Inc. (b)................. 7.50% 09/15/55 5,208,886
333,141 Aspen Insurance Holdings Ltd. (b) (c)................ 5.95% (a) 8,618,358
203,483 Aspen Insurance Holdings Ltd. (b).................... 7.25% (a) 5,359,742
108,375 Aspen Insurance Holdings Ltd. (c).................... 7.40% (a) 2,646,518
135,188 Axis Capital Holdings Ltd., Series C (b)............. 6.88% (a) 3,537,870
264,683 Endurance Specialty Holdings Ltd., Series B (b)...... 7.50% (a) 6,797,059
137,012 Endurance Specialty Holdings Ltd., Series C (b)...... 6.35% (a) 3,596,565
136,640 Global Indemnity PLC (b)............................. 7.75% 08/15/45 3,302,589
90,729 Maiden Holdings North America Ltd. .................. 8.25% 06/15/41 2,311,775
98,326 PartnerRe Ltd., Series D ............................ 6.50% (a) 2,752,145
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
221,479 PartnerRe Ltd., Series E (b)......................... 7.25% (a) $ 6,513,697
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54,765,704
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MULTI-UTILITIES - 1.0%
513,571 Integrys Energy Group, Inc. (b) (c) ................. 6.00% 08/01/73 13,401,019
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REAL ESTATE INVESTMENT TRUSTS - 3.1%
196,837 Digital Realty Trust, Inc., Series E (b)............. 7.00% (a) 5,048,869
100,000 Digital Realty Trust, Inc., Series H ................ 7.38% (a) 2,677,000
219,385 DuPont Fabros Technology, Inc., Series A (b)......... 7.88% (a) 5,608,029
229,604 Equity Commonwealth, Series E (b).................... 7.25% (a) 5,857,198
150,541 Kilroy Realty Corp., Series G (b).................... 6.88% (a) 3,889,980
300,000 National Retail Properties, Inc., Series D (b)....... 6.63% (a) 7,824,000
99,794 Taubman Centers, Inc., Series J (b).................. 6.50% (a) 2,559,217
71,356 Taubman Centers, Inc., Series K (b).................. 6.25% (a) 1,812,442
250,000 VEREIT, Inc., Series F (b)........................... 6.70% (a) 6,050,000
78,000 Vornado Realty Trust, Series J ...................... 6.88% (a) 1,994,460
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43,321,195
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WIRELESS TELECOMMUNICATION SERVICES - 0.4%
100,000 United States Cellular Corp. (b)..................... 7.25% 12/01/63 2,540,000
100,000 United States Cellular Corp. (b)..................... 7.25% 12/01/64 2,504,000
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5,044,000
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TOTAL $25 PAR PREFERRED SECURITIES.............................................. 463,258,416
(Cost $451,720,572) --------------
$50 PAR PREFERRED SECURITIES - 0.1%
CONSUMER FINANCE - 0.1%
38,465 SLM Corp., Series A ................................. 6.97% (a) 1,679,767
(Cost $1,889,695) --------------
$100 PAR PREFERRED SECURITIES - 4.1%
BANKS - 3.7%
80,000 AgriBank FCB (c) (e) ................................ 6.88% (a) 8,615,000
179,000 CoBank ACB, Series F (b) (c) (f)..................... 6.25% (a) 18,445,950
82,220 CoBank ACB, Series G (b)............................. 6.13% (a) 7,852,010
60,000 CoBank ACB, Series H (b) (c)......................... 6.20% (a) 6,045,000
100,000 Farm Credit Bank of Texas (b) (c) (e) (g)............ 6.75% (a) 10,693,750
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51,651,710
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CONSUMER FINANCE - 0.4%
140,000 SLM Corp., Series B (d).............................. 2.21% (a) 5,810,000
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TOTAL $100 PAR PREFERRED SECURITIES............................................. 57,461,710
(Cost $56,421,096) --------------
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$1,000 PAR PREFERRED SECURITIES - 5.3%
BANKS - 1.6%
12,000 AgStar Financial Services ACA (b) (c) (e) (g)........ 6.75% (a) $ 13,098,000
8,000 Farm Credit Bank of Texas, Series 1 (b) (e) (g)...... 10.00% (a) 10,015,000
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23,113,000
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DIVERSIFIED FINANCIAL SERVICES - 0.3%
4,000 Pitney Bowes International Holdings, Inc.,
Series F (b) (e) (g).............................. 6.13% (a) 4,143,750
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4%
16,000 Centaur Funding Corp. (e) (g)........................ 9.08% 04/21/20 19,345,000
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INSURANCE - 0.3%
5,000 XLIT Ltd., Series D (d).............................. 3.74% (a) 3,953,125
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REAL ESTATE INVESTMENT TRUSTS - 1.3%
14,000 Sovereign Real Estate Investment Trust (e) (g)....... 12.00% (a) 17,552,500
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THRIFTS & MORTGAGE FINANCE - 0.4%
5,000 Flagstar Bancorp, Inc., Series C (e) (h)............. 9.00% (a) 6,309,685
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TOTAL $1,000 PAR PREFERRED SECURITIES........................................... 74,417,060
(Cost $75,420,625) --------------
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES - 99.3%
BANKS - 47.8%
$ 33,200,000 Banco Bilbao Vizcaya Argentaria S.A. (b) (c)......... 9.00% (a) 34,777,000
20,000,000 Banco do Brasil S.A. (c) (f)......................... 9.00% (a) 12,100,000
3,430,000 Banco do Brasil S.A. (c)............................. 9.25% (a) 2,288,496
23,000,000 Bank of America Corp., Series Z (b) (c).............. 6.50% (a) 24,056,390
40,000 Barclays Bank PLC (f)................................ 10.18% 06/12/21 53,278
15,000,000 Barclays Bank PLC (b) (c)............................ 7.75% 04/10/23 15,918,750
10,000,000 Barclays PLC (b) (c)................................. 6.63% (a) 9,758,260
15,000,000 Barclays PLC (b) (c)................................. 8.25% (a) 15,749,475
3,510,000 BBVA Global Finance Ltd. (b)......................... 7.00% 12/01/25 3,900,530
7,500,000 BPCE S.A. (b) (c) (f)................................ 12.50% (a) 9,531,225
800,000 Citigroup, Inc., Series E (c) (e).................... 8.40% (a) 880,000
25,000,000 Citigroup, Inc., Series R (b) (c).................... 6.13% (a) 25,179,500
20,000,000 Citizens Financial Group, Inc. (b) (c) (f)........... 5.50% (a) 19,494,000
4,000,000 Commerzbank AG (b)................................... 8.13% 09/19/23 4,508,280
4,000,000 Cooperatieve Rabobank UA (b) (c)..................... 8.38% (a) 4,090,640
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
BANKS (CONTINUED)
$ 15,000,000 Cooperatieve Rabobank UA (b) (c)..................... 8.40% (a) $ 16,012,500
25,104,000 Cooperatieve Rabobank UA (b) (c) (f)................. 11.00% (a) 30,663,281
3,033,000 Countrywide Capital III, Series B ................... 8.05% 06/15/27 3,784,238
35,000,000 Credit Agricole S.A. (b) (c) (f)..................... 8.13% (a) 35,054,320
22,000,000 Credit Agricole S.A. (c) (f)......................... 8.38% (a) 24,575,210
5,975,000 Credit Agricole S.A. (b) (c)......................... 8.38% (a) 6,674,404
25,000,000 Dresdner Funding Trust I (b) (f)..................... 8.15% 06/30/31 30,062,500
42,000,000 Fuerstenberg Capital International Sarl & Cie
SECS (b) (c)...................................... 10.25% (a) 43,060,458
1,464,000 HSBC Capital Funding L.P. (c)........................ 10.18% (a) 2,181,360
5,000,000 Intesa Sanpaolo SpA (c) (f).......................... 7.70% (a) 4,839,890
21,500,000 JPMorgan Chase & Co., Series S (b) (c)............... 6.75% (a) 23,300,625
26,000,000 KBC Bank N.V. (b) (c)................................ 8.00% 01/25/23 28,232,750
10,000,000 LBG Capital No.1 PLC (b) (c) (f)..................... 8.00% (a) 10,295,000
10,500,000 LBG Capital No.1 PLC (b) (c)......................... 8.50% (a) 10,788,015
14,000,000 Lloyds Bank PLC (b) (c) (f).......................... 12.00% (a) 19,726,840
14,150,000 Lloyds Bank PLC (b) (c).............................. 12.00% (a) 19,938,199
5,000,000 Lloyds Banking Group PLC (b) (c)..................... 7.50% (a) 5,187,500
5,000,000 M&T Bank Corp., Series E (b) (c)..................... 6.45% (a) 5,312,500
5,575,000 Natixis S.A. (b) (c)................................. 10.00% (a) 6,376,406
23,264,000 Natixis S.A. (b) (c) (f)............................. 10.00% (a) 26,608,200
11,290,000 NIBC Bank N.V. (b)................................... 7.63% (a) 11,389,374
10,000,000 Royal Bank of Scotland Group PLC (b) (c)............. 7.50% (a) 10,200,000
19,700,000 Royal Bank of Scotland Group PLC (b) (c)............. 7.65% (a) 24,428,000
20,000,000 Royal Bank of Scotland Group PLC (b) (c)............. 8.00% (a) 20,575,000
20,000,000 Societe Generale S.A. (b) (c) (f).................... 8.00% (a) 19,810,040
9,500,000 Societe Generale S.A. (b) (c)........................ 8.25% (a) 9,926,607
21,500,000 Wells Fargo & Co., Series K (b) (c).................. 7.98% (a) 22,494,375
1,169,000 Zions Bancorporation (c)............................. 5.80% (a) 1,125,513
12,670,000 Zions Bancorporation, Series J (b) (c)............... 7.20% (a) 13,335,175
--------------
668,244,104
--------------
CAPITAL MARKETS - 1.6%
4,150,000 Charles Schwab Corp. (c)............................. 7.00% (a) 4,720,625
2,500,000 Deutsche Bank Capital Trust IV (c) (e)............... 4.59% (a) 2,500,950
15,000,000 UBS Group AG (b) (c)................................. 7.13% (a) 15,492,300
--------------
22,713,875
--------------
DIVERSIFIED FINANCIAL SERVICES - 1.4%
25,000,000 Glen Meadow Pass-Through Trust (b) (c) (f)........... 6.51% 02/12/67 19,312,500
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.8%
1,000,000 Koninklijke KPN N.V. (c)............................. 7.00% 03/28/73 1,022,500
24,150,000 Koninklijke KPN N.V. (b) (c) (f)..................... 7.00% 03/28/73 24,693,375
--------------
25,715,875
--------------
ELECTRIC UTILITIES - 4.5%
34,750,000 Enel SpA (b) (c) (f)................................. 8.75% 09/24/73 38,311,875
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
$ 3,000,000 NextEra Energy Capital Holdings, Inc.,
Series D (b) (c).................................. 7.30% 09/01/67 $ 2,797,500
22,900,000 PPL Capital Funding, Inc., Series A (b) (c).......... 6.70% 03/30/67 17,637,305
4,179,000 Southern California Edison Co., Series E (b) (c)..... 6.25% (a) 4,596,900
--------------
63,343,580
--------------
FOOD PRODUCTS - 1.0%
13,211,000 Land O'Lakes Capital Trust I (b) (f)................. 7.45% 03/15/28 13,805,495
--------------
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 1.6%
9,850,000 AES Gener S.A. (c) (f)............................... 8.38% 12/18/73 9,677,625
12,150,000 AES Gener S.A. (c)................................... 8.38% 12/18/73 11,937,375
--------------
21,615,000
--------------
INDUSTRIAL CONGLOMERATES - 2.6%
35,548,000 General Electric Co., Series D (b) (c)............... 5.00% (a) 36,570,005
--------------
INSURANCE - 33.8%
2,500,000 Aegon N.V. (b) (d)................................... 2.07% (a) 1,886,145
1,600,000 AG Insurance S.A. N.V. (c)........................... 6.75% (a) 1,700,200
25,320,000 American International Group, Inc. (b) (c)........... 8.18% 05/15/58 33,010,950
40,000,000 Aquarius + Investments PLC for Swiss Reinsurance
Co., Ltd. (b)..................................... 8.25% (a) 42,851,200
30,000,000 Assured Guaranty Municipal Holdings,
Inc. (b) (c) (f).................................. 6.40% 12/15/66 21,525,000
27,000,000 Aviva PLC (b)........................................ 8.25% (a) 29,050,650
6,800,000 AXA S.A. (b)......................................... 8.60% 12/15/30 9,131,380
32,000,000 Catlin Insurance Co., Ltd. (b) (c) (f)............... 7.25% (a) 25,040,000
2,050,000 Cloverie PLC for Zurich Insurance Co., Ltd. (c)...... 8.25% (a) 2,242,690
10,600,000 CNP Assurances (b) (c)............................... 6.88% (a) 11,302,250
10,600,000 CNP Assurances (b) (c)............................... 7.50% (a) 11,438,407
12,500,000 Dai-ichi Life Insurance Co., Ltd. (The) (b) (c) (f).. 7.25% (a) 14,554,688
27,375,000 Friends Life Holdings PLC (b) (c).................... 7.88% (a) 29,969,438
11,782,000 Hartford Financial Services Group, Inc. (b) (c)...... 8.13% 06/15/38 12,724,560
18,265,000 La Mondiale SAM (b) (c).............................. 7.63% (a) 19,346,379
14,000,000 Liberty Mutual Group, Inc. (b) (c) (f)............... 7.00% 03/15/37 13,055,000
5,492,000 Liberty Mutual Group, Inc. (b) (f)................... 7.80% 03/15/37 6,274,610
2,000,000 Liberty Mutual Group, Inc. (b) (c)................... 10.75% 06/15/58 2,970,000
15,000,000 MetLife Capital Trust X (b) (f)...................... 9.25% 04/08/38 20,137,500
17,180,000 MetLife, Inc. (b).................................... 10.75% 08/01/39 26,422,840
25,000,000 Mitsui Sumitomo Insurance Co., Ltd. (b) (c) (f)...... 7.00% 03/15/72 29,081,250
3,000,000 Nationwide Financial Services Capital Trust (b) (e).. 7.90% 03/01/37 3,391,215
19,700,000 Nationwide Financial Services, Inc. (b).............. 6.75% 05/15/37 19,798,500
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
$ 6,825,000 Prudential Financial, Inc. (c)....................... 8.88% 06/15/38 $ 7,686,656
33,520,000 QBE Capital Funding III Ltd. (b) (c) (f)............. 7.25% 05/24/41 36,872,000
9,050,000 QBE Insurance Group Ltd. (b) (c)..................... 6.75% 12/02/44 9,364,669
25,000,000 Sirius International Group Ltd. (b) (c) (e) (g)...... 7.51% (a) 25,097,500
6,800,000 StanCorp Financial Group, Inc. (b) (c)............... 6.90% 06/01/67 5,542,000
--------------
471,467,677
--------------
METALS & MINING - 1.8%
27,000,000 BHP Billiton Finance USA Ltd. (b) (c) (f)............ 6.75% 10/19/75 25,447,500
--------------
OIL, GAS & CONSUMABLE FUELS - 1.4%
13,000,000 Enbridge Energy Partners L.P. (b) (c)................ 8.05% 10/01/37 9,197,500
10,000,000 Enterprise Products Operating LLC, Series B (b) (c).. 7.03% 01/15/68 10,025,000
--------------
19,222,500
--------------
TOTAL CAPITAL PREFERRED SECURITIES................................................. 1,387,458,111
(Cost $1,432,091,806) --------------
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CORPORATE BONDS AND NOTES - 1.7%
INSURANCE - 1.7%
22,000,000 Land O' Lakes, Inc. (b) (e) (g)...................... 8.00% (a) 22,935,000
(Cost $22,000,000) --------------
TOTAL INVESTMENTS - 143.7%......................................................... 2,007,210,064
(Cost $2,039,543,794) (i)
OUTSTANDING LOAN - (46.2%)......................................................... (645,000,000)
NET OTHER ASSETS AND LIABILITIES - 2.5%............................................ 34,444,879
--------------
NET ASSETS - 100.0%................................................................ $1,396,654,943
==============
-----------------------------
(a) Perpetual maturity.
(b) All or a portion of this security serves as collateral on the outstanding
loan.
(c) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at January 31, 2016. 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 January 31, 2016.
(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").
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
(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. 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 January 31, 2016, securities noted as such amounted to
$559,048,152 or 40.0% 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 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) Step-up security. A security where the coupon increases or steps up at a
predetermined date. Interest rate shown reflects the rate in effect at
January 31, 2016.
(i) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of January 31, 2016,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $36,602,751 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $68,936,481.
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% $ (3,315,410)
(1) The Fund pays the fixed rate and receives the floating rate. The floating
rate on January 31, 2016 was 0.427%.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 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
1/31/2016 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
$25 Par Preferred Securities:
Multi-Utilities............................. $ 13,401,019 $ -- $ 13,401,019 $ --
Other industry categories*.................. 449,857,397 449,857,397 -- --
$50 Par Preferred Securities*................... 1,679,767 1,679,767 -- --
$100 Par Preferred Securities:
Banks....................................... 51,651,710 -- 51,651,710 --
Consumer Finance............................ 5,810,000 5,810,000 -- --
$1,000 Par Preferred Securities*................ 74,417,060 -- 74,417,060 --
Capital Preferred Securities*................... 1,387,458,111 -- 1,387,458,111 --
Corporate Bonds and Notes*...................... 22,935,000 -- 22,935,000 --
-------------- -------------- -------------- --------------
Total Investments............................... $2,007,210,064 $ 457,347,164 $1,549,862,900 $ --
============== ============== ============== ==============
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2016 (UNAUDITED)
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
1/31/2016 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
Interest Rate Swaps**........................... $ (3,315,410) $ -- $ (3,315,410) $ --
============== ============== ============== ==============
* 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 January
31, 2016, the Fund transferred $25 Par Preferred Securities valued at $2,311,775
from Level 2 to Level 1. The preferred security that transferred from Level 2 to
Level 1 did so as a result of the preferred security now being priced on the
primary exchange.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JANUARY 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(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)
JANUARY 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 January 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)
JANUARY 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 January 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 VALUE/ CURRENT CARRYING NET
SECURITY DATE SHARES PRICE COST VALUE ASSETS
-------------------------------------------- --------------- ------------ ----------- ------------ ------------ ------------
Farm Credit Bank of Texas, 6.75% 7/16/13-7/17/13 100,000 $ 106.94 $ 10,020,000 $ 10,693,750 0.77%
Centaur Funding Corp., 9.08%, 04/21/20 5/29/13-5/31/13 16,000 1,209.06 20,528,750 19,345,000 1.39
Sovereign Real Estate Investment
Trust, 12.00% 6/11/13-5/12/14 14,000 1,253.75 18,489,375 17,552,500 1.26
AgStar Financial Services ACA, 6.75% 5/29/13-7/31/15 12,000 1,091.50 12,105,000 13,098,000 0.94
Farm Credit Bank of Texas, Series 1, 10.00% 9/18/15-1/20/16 8,000 1,251.88 9,925,000 10,015,000 0.72
Pitney Bowes International Holdings, Inc.,
Series F, 6.13% 6/27/13 4,000 1,035.94 3,935,000 4,143,750 0.30
Sirius International Group Ltd., 7.51% 8/6/14-4/24/15 $25,000,000 100.39 26,480,164 25,097,500 1.80
Land O' Lakes, Inc., 8.00% 7/09/15 $22,000,000 104.25 22,000,000 22,935,000 1.64
------------ ------------ ------
$125,483,289 $122,880,500 8.82%
============ ============ ======
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 January 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
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JANUARY 31, 2016 (UNAUDITED)
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 January 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 January 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 January 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: March 22, 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: March 22, 2016
-----------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: March 22, 2016
-----------------
* Print the name and title of each signing officer under his or her signature.