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, 2017
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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, 2017 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
$25 PAR PREFERRED SECURITIES - 29.9%
BANKS - 10.4%
85,593 Banc Of California, Inc., Series E .................. 7.00% (a) $ 2,107,300
4,043 Bank of America Corp., Series W ..................... 6.63% (a) 106,948
122,775 Bank of America Corp., Series Y ..................... 6.50% (a) 3,210,566
417,451 Citigroup Capital XIII (b) (c)....................... 7.41% 10/30/40 10,778,585
151,390 Citigroup, Inc., Series J (d)........................ 7.13% (a) 4,234,378
500,000 Citigroup, Inc., Series K (c) (d).................... 6.88% (a) 13,905,000
300,000 Citigroup, Inc., Series S (c)........................ 6.30% (a) 7,746,000
99,752 Fifth Third Bancorp, Series I (d).................... 6.63% (a) 2,787,071
168,761 FNB Corp. (c) (d).................................... 7.25% (a) 5,057,767
658,373 GMAC Capital Trust I, Series 2 (b) (c)............... 6.69% 02/15/40 16,920,186
166,392 Huntington Bancshares, Inc., Series D ............... 6.25% (a) 4,302,897
293,789 ING Groep N.V. (c)................................... 6.20% (a) 7,429,924
169,165 JPMorgan Chase & Co., Series AA ..................... 6.10% (a) 4,362,765
244,803 JPMorgan Chase & Co., Series BB ..................... 6.15% (a) 6,362,430
523,000 KeyCorp, Series E (c) (d)............................ 6.13% (a) 14,330,200
198,230 MB Financial, Inc., Series A (c) (e)................. 8.00% (a) 5,263,007
691,300 People's United Financial, Inc., Series A (c) (d).... 5.63% (a) 17,939,235
38,987 PNC Financial Services Group, Inc., Series P (d)..... 6.13% (a) 1,105,671
466,512 Royal Bank of Scotland Group PLC, Series S (c)....... 6.60% (a) 11,807,419
50,000 US Bancorp, Series F (d)............................. 6.50% (a) 1,462,500
101,431 Valley National Bancorp, Series A (c) (d)............ 6.25% (a) 2,840,068
6,452 Wells Fargo & Co. (d)................................ 5.85% (a) 167,558
100,000 Wells Fargo & Co., Series W ......................... 5.70% (a) 2,483,000
115,455 Wintrust Financial Corp., Series D (c) (d)........... 6.50% (a) 3,111,512
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149,821,987
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CAPITAL MARKETS - 2.9%
145,201 Apollo Investment Corp. (c).......................... 6.88% 07/15/43 3,762,158
24,485 Goldman Sachs Group, Inc., Series K (d).............. 6.38% (a) 654,239
376,213 Morgan Stanley, Series E (c) (d)..................... 7.13% (a) 10,819,886
633,698 Morgan Stanley, Series F (c) (d)..................... 6.88% (a) 17,452,043
40,000 State Street Corp., Series G (d)..................... 5.35% (a) 1,018,800
310,975 Stifel Financial Corp., Series A (c)................. 6.25% (a) 8,054,252
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41,761,378
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CONSUMER FINANCE - 1.0%
287,368 Capital One Financial Corp., Series C (c)............ 6.25% (a) 7,428,463
282,289 Capital One Financial Corp., Series D (c)............ 6.70% (a) 7,672,615
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15,101,078
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DIVERSIFIED FINANCIAL SERVICES - 0.7%
396,387 KKR Financial Holdings LLC, Series A (c)............. 7.38% (a) 10,310,026
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.7%
300,000 Qwest Corp. ......................................... 6.88% 10/01/54 7,701,000
243,977 Qwest Corp. ......................................... 6.63% 09/15/55 6,116,503
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED)
141,191 Qwest Corp. ......................................... 7.00% 02/01/56 $ 3,675,202
300,000 Qwest Corp. (c)...................................... 6.50% 09/01/56 7,395,000
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24,887,705
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ELECTRIC UTILITIES - 0.1%
30,732 Southern (The) Co. .................................. 6.25% 10/15/75 806,408
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EQUITY REAL ESTATE INVESTMENT TRUSTS - 1.5%
300,000 American Homes 4 Rent, Series E (c).................. 6.35% (a) 7,377,000
82,300 EPR Properties, Series F ............................ 6.63% (a) 2,080,544
87,997 Kilroy Realty Corp., Series H ....................... 6.38% (a) 2,213,125
75,872 Taubman Centers, Inc., Series J (c).................. 6.50% (a) 1,912,733
85,000 Taubman Centers, Inc., Series K ..................... 6.25% (a) 2,082,500
250,000 VEREIT, Inc., Series F (c)........................... 6.70% (a) 6,322,500
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21,988,402
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FOOD PRODUCTS - 3.0%
874,388 CHS, Inc., Series 2 (c) (d).......................... 7.10% (a) 24,036,926
582,059 CHS, Inc., Series 3 (c) (d).......................... 6.75% (a) 15,692,311
114,692 CHS, Inc., Series 4 (c).............................. 7.50% (a) 3,136,826
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42,866,063
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INSURANCE - 5.9%
68,407 Allstate Corp., Series E ............................ 6.63% (a) 1,807,997
182,995 Amtrust Financial Services, Inc. (c)................. 7.25% 06/15/55 4,724,931
204,030 Amtrust Financial Services, Inc. (c)................. 7.50% 09/15/55 5,272,135
100,000 Amtrust Financial Services, Inc., Series F .......... 6.95% (a) 2,405,000
75,500 Aspen Insurance Holdings Ltd. ....................... 5.63% (a) 1,736,500
203,483 Aspen Insurance Holdings Ltd. (c).................... 7.25% (a) 5,249,861
135,352 Axis Capital Holdings Ltd., Series C ................ 6.88% (a) 3,429,820
379,000 Berkley (WR) Corp. (c)............................... 5.75% 06/01/56 9,399,200
160,203 Delphi Financial Group, Inc. (d) (e)................. 7.38% 05/15/37 3,594,555
158,193 Global Indemnity Ltd. (c)............................ 7.75% 08/15/45 3,975,390
17,485 National General Holdings Corp. ..................... 7.63% 09/15/55 446,742
47,000 National General Holdings Corp., Series C ........... 7.50% (a) 1,186,280
107,835 PartnerRe Ltd., Series G (c)......................... 6.50% (a) 2,798,318
7,456 PartnerRe Ltd., Series H ............................ 7.25% (a) 207,650
225,000 Phoenix Companies, Inc. ............................. 7.45% 01/15/32 4,134,375
973,973 Reinsurance Group of America, Inc. (c) (d)........... 5.75% 06/15/56 26,102,476
320,246 Torchmark Corp. (c).................................. 6.13% 06/15/56 8,236,727
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84,707,957
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INTERNET SOFTWARE & SERVICES - 0.5%
268,155 eBay, Inc. .......................................... 6.00% 02/01/56 6,947,896
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MULTI-UTILITIES - 1.4%
502,571 Integrys Holding, Inc. (c) (d)....................... 6.00% 08/01/73 12,972,614
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
MULTI-UTILITIES (CONTINUED)
320,000 Just Energy Group, Inc., Series A (d) (f)............ 8.50% (a) $ 8,000,000
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20,972,614
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OIL, GAS & CONSUMABLE FUELS - 0.3%
158,900 NuStar Energy L.P., Series A (d)..................... 8.50% (a) 4,242,630
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WIRELESS TELECOMMUNICATION SERVICES - 0.5%
262,545 United States Cellular Corp. (c)..................... 7.25% 12/01/64 6,957,442
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TOTAL $25 PAR PREFERRED SECURITIES................................................ 431,371,586
(Cost $422,515,425) --------------
$50 PAR PREFERRED SECURITIES - 0.1%
CONSUMER FINANCE - 0.1%
38,765 SLM Corp., Series A (c).............................. 6.97% (a) 1,957,633
(Cost $1,903,672) --------------
$100 PAR PREFERRED SECURITIES - 4.1%
BANKS - 3.5%
80,000 Agribank FCB (d) (e)................................. 6.88% (a) 8,525,000
179,000 CoBank ACB, Series F (c) (d)......................... 6.25% (a) 18,302,750
82,220 CoBank ACB, Series G (c)............................. 6.13% (a) 8,021,589
54,250 Cobank ACB, Series H (c) (d)......................... 6.20% (a) 5,518,245
100,000 Farm Credit Bank Of Texas (c) (d) (e)................ 6.75% (a) 10,525,000
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50,892,584
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CONSUMER FINANCE - 0.6%
140,000 SLM Corp., Series B (b).............................. 2.66% (a) 8,058,750
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TOTAL $100 PAR PREFERRED SECURITIES............................................... 58,951,334
(Cost $55,867,346) --------------
$1,000 PAR PREFERRED SECURITIES - 6.1%
BANKS - 4.3%
12,000 AgStar Financial Services ACA (c) (d) (e) (g)........ 6.75% (a) 12,734,250
25,859 Farm Credit Bank Of Texas, Series 1 (c) (e).......... 10.00% (a) 31,095,447
15,364 Sovereign Real Estate Investment Trust (e) (g)....... 12.00% (a) 19,108,975
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62,938,672
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.3%
16,000 Centaur Funding Corp. (e) (g)........................ 9.08% 04/21/20 18,960,000
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INSURANCE - 0.5%
8,910 XLIT Ltd., Series D (b).............................. 4.14% (a) 7,150,275
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See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
$1,000 PAR PREFERRED SECURITIES (CONTINUED)
TOTAL $1,000 PAR PREFERRED SECURITIES............................................. $ 89,048,947
(Cost $91,989,813) --------------
$1,000,000 PAR PREFERRED SECURITIES - 1.1%
BANKS - 1.1%
12 FT Real Estate Securities Co., Inc. (e) (f) (g)...... 9.50% (a) 15,516,722
(Cost $15,990,000) --------------
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
CAPITAL PREFERRED SECURITIES - 100.7%
BANKS - 42.3%
$ 16,000,000 Australia & New Zealand Banking Group
Ltd. (c) (d) (h) (i).............................. 6.75% (a) 17,005,616
33,200,000 Banco Bilbao Vizcaya Argentaria S.A. (c) (d) (i)..... 9.00% (a) 34,730,221
16,000,000 Banco do Brasil S.A. (d) (h) (i)..................... 9.00% (a) 16,240,000
5,800,000 Banco Mercantil del Norte S.A. (d) (h) (i)........... 5.75% 10/04/31 5,408,500
18,000,000 Bank of America Corp., Series DD (c) (d)............. 6.30% (a) 19,305,000
23,867,000 Bank of America Corp., Series Z (c) (d).............. 6.50% (a) 25,627,191
40,000 Barclays Bank PLC (h)................................ 10.18% 06/12/21 50,136
20,000,000 Barclays PLC (c) (d) (i)............................. 8.25% (a) 20,923,560
20,500,000 BNP Paribas S.A. (c) (d) (h) (i)..................... 7.63% (a) 21,576,250
7,500,000 BPCE S.A. (c) (d) (h)................................ 12.50% (a) 9,206,250
800,000 Citigroup, Inc., Series E (d) (e).................... 8.40% (a) 861,000
25,000,000 Citigroup, Inc., Series R (c) (d).................... 6.13% (a) 26,293,750
9,000,000 Citigroup, Inc., Series T (c) (d).................... 6.25% (a) 9,517,500
25,000,000 CoBank ACB, Series I (c) (d)......................... 6.25% (a) 26,476,850
4,000,000 Commerzbank AG (c)................................... 8.13% 09/19/23 4,578,200
37,104,000 Cooperatieve Rabobank UA (c) (d) (h)................. 11.00% (a) 43,550,820
32,500,000 Credit Agricole S.A. (c) (d) (h) (i)................. 8.13% (a) 34,642,563
10,000,000 Credit Agricole S.A. (c) (d) (h)..................... 8.38% (a) 11,057,800
5,975,000 Credit Agricole S.A. (c) (d)......................... 8.38% (a) 6,607,036
13,000,000 Dresdner Funding Trust I (c) (h)..................... 8.15% 06/30/31 15,080,000
4,500,000 ING Groep N.V. (d) (i)............................... 6.88% (a) 4,540,725
15,000,000 Intesa Sanpaolo S.p.A. (c) (d) (h) (i)............... 7.70% (a) 13,762,500
20,000,000 JPMorgan Chase & Co., Series S (c) (d)............... 6.75% (a) 21,913,200
14,000,000 Lloyds Bank PLC (c) (d) (h).......................... 12.00% (a) 18,585,000
14,150,000 Lloyds Bank PLC (c) (d).............................. 12.00% (a) 18,784,125
7,248,000 Macquarie Bank Ltd. (c) (d) (i)...................... 10.25% 06/20/57 7,487,097
5,575,000 Natixis S.A. (d)..................................... 10.00% (a) 6,034,938
23,264,000 Natixis S.A. (c) (d) (h)............................. 10.00% (a) 25,183,280
11,290,000 NIBC Bank N.V. (c)................................... 7.63% (a) 11,484,470
10,000,000 Royal Bank Of Scotland Group PLC (c) (d)............. 7.65% (a) 11,607,500
10,000,000 Royal Bank Of Scotland Group PLC (c) (d) (i)......... 8.00% (a) 9,726,300
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
BANKS (CONTINUED)
$ 25,000,000 Royal Bank Of Scotland Group PLC (c) (d) (i)......... 8.63% (a) $ 25,875,000
24,600,000 Societe Generale S.A. (c) (d) (h) (i)................ 7.38% (a) 24,707,010
12,750,000 Societe Generale S.A. (c) (d) (i).................... 8.25% (a) 13,291,875
12,400,000 Standard Chartered PLC (c) (d) (h) (i)............... 7.50% (a) 12,474,400
21,500,000 Wells Fargo & Co., Series K (c) (d).................. 7.98% (a) 22,601,875
12,670,000 Zions Bancorporation, Series J (c) (d)............... 7.20% (a) 13,651,925
--------------
610,449,463
--------------
CAPITAL MARKETS - 2.3%
5,000,000 Aberdeen Asset Management PLC (c).................... 7.00% (a) 5,197,845
4,150,000 Charles Schwab Corp. (c) (d)......................... 7.00% (a) 4,716,475
4,500,000 Credit Suisse Group AG (d) (h) (i)................... 7.50% (a) 4,773,668
2,500,000 Goldman Sachs Group, Inc., Series L (c) (d).......... 5.70% (a) 2,583,500
15,000,000 UBS Group AG (c) (d) (i)............................. 7.13% (a) 15,506,475
--------------
32,777,963
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DIVERSIFIED FINANCIAL SERVICES - 1.1%
18,418,000 Glen Meadow Pass-Through Trust (b) (c) (d) (h)....... 6.51% 02/12/67 15,747,390
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DIVERSIFIED TELECOMMUNICATION SERVICES - 2.1%
27,150,000 Koninklijke KPN N.V. (c) (d) (h)..................... 7.00% 03/28/73 29,322,000
1,000,000 Koninklijke KPN N.V. (c) (d)......................... 7.00% 03/28/73 1,080,000
--------------
30,402,000
--------------
ELECTRIC UTILITIES - 8.2%
36,500,000 Emera, Inc., Series 16-A (c) (d)..................... 6.75% 06/15/76 39,967,500
34,750,000 Enel S.p.A. (c) (d) (h).............................. 8.75% 09/24/73 39,701,875
3,000,000 Nextera Energy Capital Holdings, Inc.,
Series D (c) (d).................................. 7.30% 09/01/67 3,025,500
25,400,000 PPL Capital Funding, Inc., Series A (c) (d).......... 6.70% 03/30/67 23,495,000
6,500,000 Southern (The) Co., Series B (d)..................... 5.50% 03/15/57 6,732,862
4,179,000 Southern California Edison Co., Series E (c) (d)..... 6.25% (a) 4,603,169
--------------
117,525,906
--------------
ENERGY EQUIPMENT & SERVICES - 1.8%
24,800,000 Transcanda Trust, Series 16-A (c) (d)................ 5.88% 08/15/76 26,226,000
--------------
FOOD PRODUCTS - 4.1%
9,000,000 Dairy Farmers of America (c) (e) (g)................. 7.13% (a) 9,607,500
13,211,000 Land O'Lakes Capital Trust I (c) (h)................. 7.45% 03/15/28 14,895,402
23,000,000 Land O'Lakes, Inc. (c) (e) (g)....................... 8.00% (a) 24,035,000
10,000,000 Land O'Lakes, Inc. (c) (e) (g)....................... 8.00% (a) 10,450,000
--------------
58,987,902
--------------
INDEPENDENT POWER AND RENEWABLE ELECTRICITY
PRODUCERS - 1.6%
9,850,000 AES Gener S.A. (d) (h)............................... 8.38% 12/18/73 10,517,830
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS
(CONTINUED)
$ 12,150,000 AES Gener S.A. (d)................................... 8.38% 12/18/73 $ 12,973,770
--------------
23,491,600
--------------
INDUSTRIAL CONGLOMERATES - 0.7%
10,000,000 General Electric Co., Series D (c) (d)............... 5.00% (a) 10,412,500
--------------
INSURANCE - 32.0%
2,500,000 Aegon N.V. (b)....................................... 2.29% (a) 1,907,858
9,600,000 AG Insurance S.A. N.V. (c) (d)....................... 6.75% (a) 10,156,166
25,320,000 American International Group, Inc. (c) (d)........... 8.18% 05/15/58 32,472,900
40,000,000 Aquarius & Investments PLC for Swiss
Reinsurance Co., Ltd. (d)......................... 8.25% (a) 42,800,000
30,000,000 Assured Guaranty Municipal Holdings, Inc. (d) (h).... 6.40% 12/15/66 24,825,000
11,000,000 Aviva PLC (c)........................................ 8.25% (a) 11,488,180
38,700,000 Catlin Insurance Co., Ltd. (b) (c) (h)............... 4.00% (a) 34,636,500
2,050,000 Cloverie PLC for Zurich Insurance Co., Ltd. (d)...... 8.25% (a) 2,158,752
10,600,000 CNP Assurances (c) (d)............................... 6.88% (a) 11,323,376
10,600,000 CNP Assurances (c) (d)............................... 7.50% (a) 11,308,875
12,500,000 Dai-Ichi Life Insurance Co., Ltd. (The) (c) (d)...... 7.25% (a) 14,148,437
27,375,000 Friends Life Holdings PLC (c) (d).................... 7.88% (a) 29,565,000
25,616,000 La Mondiale SAM (c) (d).............................. 7.63% (a) 27,546,166
12,500,000 Liberty Mutual Group, Inc. (c) (d) (h)............... 7.00% 03/15/37 12,125,000
16,210,000 Liberty Mutual Group, Inc. (c) (d) (h)............... 7.80% 03/15/37 18,560,450
2,000,000 Liberty Mutual Group, Inc. (c) (d)................... 10.75% 06/15/58 3,045,000
15,000,000 Metlife Capital Trust X (c) (d) (h).................. 9.25% 04/08/38 20,812,500
17,180,000 Metlife, Inc. (c) (d)................................ 10.75% 08/01/39 26,629,000
20,000,000 Mitsui Sumitomo Insurance Co., Ltd. (c) (d) (h)...... 7.00% 03/15/72 22,751,400
3,000,000 Nationwide Financial Services Capital Trust (c)...... 7.90% 03/01/37 3,271,767
19,700,000 Nationwide Financial Services, Inc. (c).............. 6.75% 05/15/37 20,586,500
20,250,000 QBE Insurance Group Ltd. (d)......................... 6.75% 12/02/44 21,616,875
24,300,000 QBE Insurance Group, Ltd. (c) (d) (h)................ 7.50% 11/24/43 27,033,750
25,000,000 Sirius International Group Ltd. (d) (e) (g).......... 7.51% (a) 25,500,000
6,800,000 Stancorp Financial Group, Inc. (c) (d)............... 6.90% 06/01/67 5,661,000
--------------
461,930,452
--------------
METALS & MINING - 1.2%
15,000,000 BHP Billiton Finance USA Ltd. (c) (d) (h)............ 6.75% 10/19/75 17,028,750
--------------
OIL, GAS & CONSUMABLE FUELS - 2.6%
20,510,000 Enbridge Energy Partners L.P. (c) (d)................ 8.05% 10/01/37 19,997,250
2,500,000 Enterprise Products Operating LLC, Series A (b)...... 4.74% 08/01/66 2,440,875
15,000,000 Enterprise Products Operating LLC, Series B (c)...... 7.03% 01/15/68 15,673,050
--------------
38,111,175
--------------
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- -------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
TRANSPORTATION INFRASTRUCTURE - 0.7%
$ 10,000,000 AerCap Global Aviation Trust (c) (d) (h)............. 6.50% 06/15/45 $ 10,350,000
--------------
TOTAL CAPITAL PREFERRED SECURITIES................................................ 1,453,441,101
(Cost $1,454,059,805) --------------
TOTAL INVESTMENTS - 142.0%........................................................ 2,050,287,323
(Cost $2,042,326,061) (j)
OUTSTANDING LOAN - (44.7%)........................................................ (645,000,000)
NET OTHER ASSETS AND LIABILITIES - 2.7%........................................... 38,502,962
--------------
NET ASSETS - 100.0%............................................................... $1,443,790,285
==============
-----------------------------
(a) Perpetual maturity.
(b) Floating rate security. The interest rate shown reflects the rate in
effect at January 31, 2017.
(c) All or a portion of this security serves as collateral on the outstanding
loan.
(d) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at January 31, 2017. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(e) Pursuant to procedures adopted by the Fund's Board of Trustees, this
security has been determined to be illiquid by Stonebridge Advisors, LLC
(the "Sub-Advisor").
(f) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Fund's Board of Trustees, and in
accordance with the provisions of the Investment Company Act of 1940, as
amended. At January 31, 2017, securities noted as such are valued at
$23,516,722 or 1.6% 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 January 31, 2017, securities noted as such
amounted to $585,760,077 or 40.6% of net assets.
(i) This security is a contingent convertible capital security, which may be
subject to conversion into common stock of the issuer under certain
circumstances. At January 31, 2017, securities noted as such amounted to
$282,671,760 or 13.5% of managed assets. Of these securities,14.2%
originated in emerging markets and 85.8% originated in foreign markets.
(j) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of January 31, 2017,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $45,599,249 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $37,637,987.
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
INTEREST RATE SWAP AGREEMENTS:
EXPIRATION
COUNTERPARTY FLOATING RATE(1) DATE NOTIONAL AMOUNT FIXED RATE (1) VALUE
------------------- ---------------- ---------- --------------- -------------- -------------
Bank of Nova Scotia 1 month LIBOR 1/23/25 $ 165,000,000 1.786% $ 3,448,588
--------------- -------------
(1) The Fund pays the fixed rate and received the floating rate. The floating
rate on January 31, 2017 was 0.776%.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of January 31,
2017 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
1/31/2017 PRICES INPUTS INPUTS
-------------- -------------- -------------- --------------
$25 Par Preferred Securities:
Insurance ................................ $ 84,707,957 $ 76,598,192 $ 8,109,765 $ --
Multi-Utilities .......................... 20,972,614 -- 20,972,614 --
Other industry categories* ............... 325,691,015 325,691,015 -- --
$50 Par Preferred Securities ................... 1,957,633 1,957,633 -- --
$100 Par Preferred Securities:
Banks ................................... 50,892,584 -- 50,892,584 --
Consumer Finance ........................ 8,058,750 8,058,750 -- --
$1,000 Par Preferred Securities ................ 89,048,947 -- 89,048,947 --
$1,000,000 Par Preferred Securities*............ 15,516,722 -- -- 15,516,722
Capital Preferred Securities* .................. 1,453,441,101 -- 1,453,441,101 --
-------------- -------------- -------------- --------------
Total Investments .............................. 2,050,287,323 412,305,590 1,622,465,011 15,516,722
Interest Rate Swaps** .......................... 3,448,588 -- 3,448,588 --
-------------- -------------- -------------- --------------
Total $2,053,735,911 $ 412,305,590 $1,625,913,599 $ 15,516,722
============== ============== ============== ==============
* See Portfolio of Investments for industry breakout.
** See Interest Rate Swap Agreements for contract detail.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. There were no
transfers between Levels at January 31, 2017.
Level 3 Par Preferred Securities are valued using broker quotes. These values
are based on unobservable and non-quantitative inputs. The Funds's Board of
Trustees has adopted valuation procedures that are utilized by the Advisor's
Pricing Committee to oversee the day-to-day valuation of the Fund's investments.
The Advisor's Pricing Committee, through the Fund's fund accounting agent,
monitors daily pricing via tolerance checks and stale and unchanged price
reviews. The Advisor's Pricing Committee also reviews monthly back testing of
third-party pricing service prices by comparing sales prices of the Fund's
investments to prior day third-party pricing service prices. Additionally, the
Advisor's Pricing Committee reviews periodic information from the Fund's
third-party pricing service that compares secondary market trade prices to their
daily valuations.
See Notes to Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JANUARY 31, 2017 (UNAUDITED)
The following table presents the activity of the Fund's investments measured at
fair value on a recurring basis using significant unobservable inputs (Level 3)
for the period presented.
BEGINNING BALANCE AT OCTOBER 31, 2016
$1,000,000 Par Preferred Securities $ 15,800,486
Net Realized Gain (Loss) --
Net Change in Unrealized
Appreciation/Depreciation (283,764)
Purchases --
Sales --
Transfers In --
Transfers Out --
ENDING BALANCE AT JANUARY 31, 2017
$1,000,000 Par Preferred Securities 15,516,722
--------------
Total Level 3 holdings $ 15,516,722
==============
There was a net change of $(283,764) in unrealized appreciation (depreciation)
from Level 3 investments held as of January 31, 2017.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JANUARY 31, 2017 (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 is considered an investment company and follows accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies."
2. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION
The net asset value ("NAV") of the Common Shares of the Fund is determined daily
as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time,
on each day the NYSE is open for trading. If the NYSE closes early on a
valuation day, the NAV is determined as of that time. Domestic debt securities
and foreign securities are priced using data reflecting the earlier closing of
the principal markets for those securities. The NAV per common share is
calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service, or are determined by the Pricing Committee of the Fund's
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Investments valued by the
Advisor's Pricing Committee are footnoted as such in the footnotes to the
Portfolio of Investments. The Fund's investments are valued as follows:
Preferred stocks and other equity securities listed on any national or
foreign exchange (excluding The Nasdaq Stock Market LLC ("Nasdaq") and the
London Stock Exchange Alternative Investment Market ("AIM")), are valued
at the last sale price on the exchange on which they are principally
traded or, for Nasdaq and AIM securities, the official closing price.
Securities traded on one or more than one securities exchange are valued
at the last sale price or official closing price, as applicable, at the
close of the securities exchange representing the principal market for
such securities.
Corporate bonds, notes and other debt securities are valued on the basis
of valuations provided by dealers who make markets in such securities or
by a third-party pricing service approved by the Fund's Board of Trustees,
which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Securities traded in an over-the-counter market are valued at the mean of
their most recent bid and asked price, if available, and otherwise at
their closing bid price.
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
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
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JANUARY 31, 2017 (UNAUDITED)
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, 2017, 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.
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, 2017, 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
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JANUARY 31, 2017 (UNAUDITED)
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
ACQUISITION AMOUNT/ CURRENT CARRYING % OF NET
SECURITY DATE SHARES PRICE COST VALUE ASSETS
-------------------------------------------- --------------- ------------ ------------- ------------ ------------ ------------
AgStar Financial Services ACA, 6.75% 5/29/13-7/31/15 12,000 $ 1,061.19 $ 12,105,000 $ 12,734,250 0.88%
Centaur Funding Corp., 9.08%, 04/21/20 5/29/13-5/31/1 16,000 1,185.00 20,528,750 18,960,000 1.31
FT Real Estate Securities Co., Inc., 9.50% 6/15/16 12 1293,060.20 15,990,000 15,516,722 1.08
Sovereign Real Estate Investment Trust,
12.00% 6/11/13-3/22/16 15,364 1,243.75 20,231,885 19,108,975 1.32
Dairy Farmers of America, 7.13% 9/15/16 $ 9,000,000 106.75 9,000,000 9,607,500 0.67
Land O' Lakes, Inc., 8.00% 7/09/15-3/18/1 $ 23,000,000 104.50 23,032,500 24,035,000 1.66
Land O' Lakes, Inc., 8.00% 4/11/16 $ 10,000,000 104.50 10,000,000 10,450,000 0.72
Sirius International Group Ltd., 7.51% 8/6/14-4/24/15 $ 25,000,000 102.00 26,480,164 25,500,000 1.77
------------ ------------ -----
$137,368,299 $135,912,447 9.41%
============ ============ =====
D . 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 January 31, 2017 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, 2017. 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, 2016 to January 31, 2017).
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 20, 2017
----------------
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 20, 2017
----------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: March 20, 2017
----------------
* Print the name and title of each signing officer under his or her signature.