N-Q 1 fpf_nq.txt QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-22795 ----------- First Trust Intermediate Duration Preferred & Income Fund --------------------------------------------------------------------- (Exact name of registrant as specified in charter) 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 --------------------------------------------------------------------- (Address of principal executive offices) (Zip code) W. Scott Jardine, Esq. First Trust Portfolios L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 --------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 630-765-8000 -------------- Date of fiscal year end: October 31 ------------ Date of reporting period: January 31, 2016 ------------------ 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 -------------- 186,562,969 -------------- 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 -------------- 52,238,637 -------------- 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 -------------- 9,030,190 -------------- 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 -------------- 26,480,797 -------------- 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 -------------- 24,500,250 -------------- ELECTRIC UTILITIES - 0.4% 200,000 Southern (The) Co. (b)............................... 6.25% 10/15/75 5,298,000 -------------- 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 -------------- 42,615,655 -------------- 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 -------------- 54,765,704 -------------- MULTI-UTILITIES - 1.0% 513,571 Integrys Energy Group, Inc. (b) (c) ................. 6.00% 08/01/73 13,401,019 -------------- 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 -------------- 43,321,195 -------------- 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 -------------- 5,044,000 -------------- 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 -------------- 51,651,710 -------------- CONSUMER FINANCE - 0.4% 140,000 SLM Corp., Series B (d).............................. 2.21% (a) 5,810,000 -------------- 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 -------------- 23,113,000 -------------- DIVERSIFIED FINANCIAL SERVICES - 0.3% 4,000 Pitney Bowes International Holdings, Inc., Series F (b) (e) (g).............................. 6.13% (a) 4,143,750 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 1.4% 16,000 Centaur Funding Corp. (e) (g)........................ 9.08% 04/21/20 19,345,000 -------------- INSURANCE - 0.3% 5,000 XLIT Ltd., Series D (d).............................. 3.74% (a) 3,953,125 -------------- REAL ESTATE INVESTMENT TRUSTS - 1.3% 14,000 Sovereign Real Estate Investment Trust (e) (g)....... 12.00% (a) 17,552,500 -------------- THRIFTS & MORTGAGE FINANCE - 0.4% 5,000 Flagstar Bancorp, Inc., Series C (e) (h)............. 9.00% (a) 6,309,685 -------------- 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.