UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number 811-22795
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First Trust Intermediate Duration Preferred & Income Fund
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: October 31
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Date of reporting period: July 31, 2014
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS
JULY 31, 2014 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$20 PAR PREFERRED SECURITIES - 0.4%
REAL ESTATE INVESTMENT TRUSTS - 0.4%
316,465 Equity Commonwealth (a).............................. 7.50% 11/15/19 $ 6,421,075
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TOTAL $20 PAR PREFERRED SECURITIES................................................. 6,421,075
(Cost $6,655,809) --------------
$25 PAR PREFERRED SECURITIES - 32.1%
BANKS - 8.1%
206,400 Barclays Bank PLC, Series 5 (a)...................... 8.13% (b) 5,323,056
100,000 Citigroup, Inc., Series J (c)........................ 7.13% (b) 2,731,000
635,144 Citigroup, Inc., Series K (a) (c).................... 6.88% (b) 17,066,319
600,000 Fifth Third Bancorp, Series I (a) (c)................ 6.63% (b) 16,146,000
86,950 FNB Corp. (c)........................................ 7.25% (b) 2,373,735
193,694 HSBC USA, Inc., Series H ............................ 6.50% (b) 4,888,837
105,000 JPMorgan Chase & Co., Series W (a)................... 6.30% (b) 2,606,100
220,000 PNC Financial Services Group, Inc., Series P (a) (c). 6.13% (b) 5,990,600
225,000 Regions Financial Corp., Series A ................... 6.38% (b) 5,573,250
350,000 Royal Bank of Scotland Group PLC, Series M (a)....... 6.40% (b) 8,564,500
50,000 Royal Bank of Scotland Group PLC, Series N .......... 6.35% (b) 1,216,500
369,820 Royal Bank of Scotland Group PLC, Series S (a)....... 6.60% (b) 9,071,685
523,170 Santander Finance Preferred SAU, Series 10 .......... 10.50% (b) 13,403,615
198,230 Taylor Capital Group Inc., Series A (a) (d).......... 8.00% (b) 5,681,272
165,000 Texas Capital Bancshares Inc., Series A (a).......... 6.50% (b) 4,067,250
200,000 Wells Fargo & Co. (a) (c)............................ 5.85% (b) 5,120,000
137,953 Wells Fargo & Co. (a) (c)............................ 6.63% (b) 3,803,364
182,000 Wells Fargo & Co., Series J (a)...................... 8.00% (b) 5,332,600
67,992 Zions Bancorporation, Series G (c)................... 6.30% (b) 1,743,315
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120,702,998
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CAPITAL MARKETS - 5.5%
107,000 Apollo Investment Corp. ............................. 6.88% 07/15/43 2,656,810
190,524 Ares Capital Corp. (a)............................... 7.00% 02/15/22 4,848,836
44,567 Ares Capital Corp. .................................. 7.75% 10/15/40 1,154,285
125,957 Deutsche Bank Capital Funding Trust IX .............. 6.63% (b) 3,206,865
350,000 Deutsche Bank Contingent Capital Trust II (a)........ 6.55% (b) 9,170,000
200,000 Goldman Sachs Group, Inc. (a)........................ 6.13% 11/01/60 5,126,000
500,000 Goldman Sachs Group, Inc., Series K (a) (c).......... 6.38% (b) 12,795,000
269,001 Morgan Stanley (a) (c)............................... 6.88% (b) 7,158,117
226,622 Morgan Stanley Capital Trust VI (a).................. 6.60% 02/01/46 5,722,205
214,051 Morgan Stanley Capital Trust VII (a)................. 6.60% 10/15/66 5,383,383
104,000 Morgan Stanley, Series E (c)......................... 7.13% (b) 2,866,240
220,000 Morgan Stanley, Series G (a)......................... 6.63% (b) 5,563,800
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
CAPITAL MARKETS (CONTINUED)
200,000 Raymond James Financial, Inc. (a).................... 6.90% 03/15/42 $ 5,290,000
462,159 State Street Corp., Series D (a) (c)................. 5.90% (b) 11,909,837
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82,851,378
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DIVERSIFIED FINANCIAL SERVICES - 5.9%
36,657 Allied Capital Corp. ................................ 6.88% 04/15/47 915,692
702,419 Citigroup Capital XIII (a) (c)....................... 7.88% 10/30/40 19,028,531
110,360 Countrywide Capital IV (a)........................... 6.75% 04/01/33 2,803,144
535,567 Countrywide Capital V (a)............................ 7.00% 11/01/36 13,608,757
1,710 ING Groep N.V. ...................................... 6.13% (b) 43,263
226,235 ING Groep N.V. (a)................................... 6.20% (b) 5,726,008
500,000 ING Groep N.V. (a)................................... 6.38% (b) 12,690,000
128,555 ING Groep N.V. (a)................................... 7.05% (b) 3,302,578
65,917 ING Groep N.V. ...................................... 7.20% (b) 1,699,999
300,000 ING Groep N.V. (a)................................... 7.38% (b) 7,686,000
40,000 KKR Financial Holdings LLC .......................... 8.38% 11/15/41 1,120,800
300,000 KKR Financial Holdings LLC, Series A (a)............. 7.38% (b) 7,680,000
87,858 RBS Capital Funding Trust V, Series E (a)............ 5.90% (b) 2,083,992
19,582 RBS Capital Funding Trust VI, Series F .............. 6.25% (b) 467,031
400,000 RBS Capital Funding Trust VII, Series G (a).......... 6.08% (b) 9,568,000
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88,423,795
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.8%
251,594 Qwest Corp. (a)...................................... 7.50% 09/15/51 6,642,082
105,200 Qwest Corp. (a)...................................... 7.00% 04/01/52 2,706,796
350,000 Qwest Corp. (a)...................................... 6.13% 06/01/53 8,225,000
400,000 Verizon Communications, Inc. (a)..................... 5.90% 02/15/54 10,168,000
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27,741,878
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ELECTRIC UTILITIES - 0.2%
97,950 SCE Trust III (a) (c)................................ 5.75% (b) 2,535,925
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FOOD PRODUCTS - 1.9%
1,046,935 CHS, Inc., Series 2 (a) (c).......................... 7.10% (b) 28,309,122
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INSURANCE - 5.6%
124,700 Allstate Corp., Series E ............................ 6.63% (b) 3,232,224
250,000 Aspen Insurance Holdings Ltd. (a) (c)................ 5.95% (b) 6,220,000
361,470 Aspen Insurance Holdings Ltd. (c).................... 7.40% (b) 9,687,396
48,700 Aviva PLC ........................................... 8.25% 12/01/41 1,378,210
150,515 Axis Capital Holdings Ltd., Series C ................ 6.88% (b) 3,898,338
264,683 Endurance Specialty Holdings Ltd., Series B ......... 7.50% (b) 6,947,929
603,315 Hartford Financial Services Group, Inc. (a) (c)...... 7.88% 04/15/42 17,936,555
115,000 Maiden Holdings North America Ltd. .................. 8.25% 06/15/41 3,085,450
500,000 MetLife, Inc., Series B (a).......................... 6.50% (b) 12,760,000
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$25 PAR PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
200,000 Montpelier Re Holdings Ltd., Series A (a)............ 8.88% (b) $ 5,442,000
118,028 PartnerRe Ltd., Series E ............................ 7.25% (b) 3,130,103
361,590 Reinsurance Group of America, Inc. (a) (c)........... 6.20% 09/15/42 9,799,089
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83,517,294
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MULTI-UTILITIES - 1.0%
473,173 Integrys Energy Group, Inc. (a) (c).................. 6.00% 08/01/73 12,174,741
93,750 SCANA Corp. ......................................... 7.70% 01/30/65 2,415,000
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14,589,741
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REAL ESTATE INVESTMENT TRUSTS - 1.9%
178,774 CommonWealth REIT, Series E (a)...................... 7.25% (b) 4,640,973
164,285 DuPont Fabros Technology, Inc., Series A ............ 7.88% (b) 4,181,053
62,848 EPR Properties, Series F ............................ 6.63% (b) 1,546,061
150,541 Kilroy Realty Corp., Series G (a).................... 6.88% (b) 3,905,034
30,980 Kilroy Realty Corp., Series H ....................... 6.38% (b) 765,516
300,000 National Retail Properties, Inc., Series D (a)....... 6.63% (b) 7,545,000
99,794 Taubman Centers, Inc., Series J ..................... 6.50% (b) 2,517,803
70,879 Taubman Centers, Inc., Series K ..................... 6.25% (b) 1,736,535
88,499 Vornado Realty Trust, Series J ...................... 6.88% (b) 2,356,728
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29,194,703
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WIRELESS TELECOMMUNICATION SERVICES - 0.2%
23,168 Telephone & Data Systems, Inc. ...................... 6.63% 03/31/45 568,311
77,004 Telephone & Data Systems, Inc. ...................... 6.88% 11/15/59 1,916,630
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2,484,941
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TOTAL $25 PAR PREFERRED SECURITIES................................................. 480,351,775
(Cost $471,565,881) --------------
$50 PAR PREFERRED SECURITIES - 0.2%
CONSUMER FINANCE - 0.2%
54,367 SLM Corp., Series A ................................. 6.97% (b) 2,642,236
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TOTAL $50 PAR PREFERRED SECURITIES................................................. 2,642,236
(Cost $2,677,798) --------------
$100 PAR PREFERRED SECURITIES - 2.9%
BANKS - 2.8%
80,000 AgriBank FCB (a) (c) (d)............................. 6.88% (b) 8,455,000
175,000 CoBank ACB, Series F (a) (c) (e)..................... 6.25% (b) 18,189,063
50,000 CoBank ACB, Series G (a)............................. 6.13% (b) 4,610,940
100,000 Farm Credit Bank of Texas (a) (c) (f)................ 6.75% (b) 10,521,880
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41,776,883
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See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
STATED STATED
SHARES DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
$100 PAR PREFERRED SECURITIES (CONTINUED)
INSURANCE - 0.1%
20,200 Principal Financial Group, Inc., Series A (c)........ 5.56% (b) $ 2,064,440
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TOTAL $100 PAR PREFERRED SECURITIES................................................ 43,841,323
(Cost $43,940,434) --------------
$1,000 PAR PREFERRED SECURITIES - 5.4%
BANKS - 1.7%
10,000 AgStar Financial Services ACA (a) (c) (f)............ 6.75% (b) 10,202,500
14,415 Santander Finance Preferred SAU, Series 11 (a) (c)... 10.50% (b) 15,106,920
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25,309,420
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DIVERSIFIED FINANCIAL SERVICES - 1.1%
15,000 Pitney Bowes International Holdings Inc.,
Series F (a) (f).................................. 6.13% (b) 16,232,812
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DIVERSIFIED TELECOMMUNICATION SERVICES - 1.3%
16,000 Centaur Funding Corp. (a) (f)........................ 9.08% 04/21/20 20,050,000
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REAL ESTATE INVESTMENT TRUSTS - 1.3%
14,000 Sovereign Real Estate Investment Trust (a) (f)....... 12.00% (b) 18,595,024
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TOTAL $1,000 PAR PREFERRED SECURITIES.............................................. 80,187,256
(Cost $78,987,909) --------------
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES - 102.6%
BANKS - 47.2%
$ 31,000,000 Banco Bilbao Vizcaya Argentaria S.A. (c)............. 9.00% (b) 34,255,000
31,000,000 Banco do Brasil S.A. (c) (e)......................... 9.00% (b) 30,153,700
15,000,000 Bank of America Corp., Series K (a) (c).............. 8.00% (b) 16,581,570
5,000,000 Bank of America Corp., Series V (c).................. 5.13% (b) 4,934,120
2,560,000 Barclays Bank PLC ................................... 10.18% 06/12/21 3,530,872
9,940,000 Barclays Bank PLC (a) (e)............................ 10.18% 06/12/21 13,709,715
15,000,000 Barclays Bank PLC (a) (c)............................ 7.75% 04/10/23 16,725,000
12,230,000 Barclays PLC (a) (c)................................. 6.63% (b) 12,103,725
15,500,000 Barclays PLC (a) (c)................................. 8.25% (b) 16,461,000
2,010,000 BBVA Global Finance Ltd. ............................ 7.00% 12/01/25 2,316,292
16,750,000 BBVA International Preferred SAU (a) (c)............. 5.92% (b) 17,503,750
17,000,000 BNP Paribas S.A. (a) (c) (e)......................... 7.20% (b) 19,698,750
7,400,000 BPCE S.A. (e)........................................ 5.15% 07/21/24 7,769,837
7,500,000 BPCE S.A. (a) (c) (e)................................ 12.50% (b) 10,368,750
3,000,000 BPCE S.A. ........................................... 13.00% (b) 3,354,000
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
BANKS (CONTINUED)
$ 10,000,000 Citigroup, Inc. (a) (c).............................. 5.95% (b) $ 9,970,000
800,000 Citigroup, Inc., Series E (c) (d).................... 8.40% (b) 922,400
14,500,000 Citigroup, Inc., Series M (a) (c).................... 6.30% (b) 14,619,639
4,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA (c)............................................ 8.38% (b) 4,382,000
20,000,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA (c)............................................ 8.40% (b) 22,525,000
25,104,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA (a) (c) (e).................................... 11.00% (b) 33,727,224
5,000,000 Credit Agricole S.A. (a) (c) (e)..................... 8.13% 09/19/33 5,681,250
13,000,000 Credit Agricole S.A. (a) (c) (e)..................... 7.88% (b) 13,825,500
11,000,000 Credit Agricole S.A. (a) (c) (e)..................... 8.38% (b) 12,911,250
3,500,000 Credit Agricole S.A. (c)............................. 8.38% (b) 4,108,125
9,700,000 Dresdner Funding Trust I (a) (e)..................... 8.15% 06/30/31 11,664,250
33,194,000 Fuerstenberg Capital International Sarl & Cie
SECS (c).......................................... 10.25% (b) 34,759,097
10,000,000 HBOS Capital Funding L.P. ........................... 6.85% (b) 10,126,250
4,000,000 HSBC USA Capital Trust II (a) (f).................... 8.38% 05/15/27 4,053,828
30,000,000 JPMorgan Chase & Co., Series 1 (a) (c)............... 7.90% (b) 33,187,500
25,000,000 JPMorgan Chase & Co., Series S (a) (c)............... 6.75% (b) 26,812,500
26,000,000 KBC Bank N.V. (c).................................... 8.00% 01/25/23 29,601,000
14,775,000 Lloyds Bank PLC (a) (c) (e).......................... 12.00% (b) 21,719,250
2,500,000 Lloyds Bank PLC (c).................................. 12.00% (b) 3,675,000
12,755,000 Lloyds Banking Group PLC (a) (c) (e)................. 5.92% (b) 13,041,988
30,000,000 Lloyds Banking Group PLC (a) (c) (e)................. 6.27% (b) 30,900,000
5,000,000 M&T Bank Corp., Series E (a) (c)..................... 6.45% (b) 5,325,000
5,575,000 Natixis (c).......................................... 10.00% (b) 6,662,125
10,754,000 Natixis (a) (c) (e).................................. 10.00% (b) 12,851,030
4,200,000 NIBC Bank N.V. ...................................... 7.63% (b) 4,268,250
24,600,000 Royal Bank of Scotland Group PLC, Series U (a) (c)... 7.64% (b) 26,260,500
10,000,000 Royal Bank of Scotland PLC (The) (c)................. 9.50% 03/16/22 11,646,350
13,980,000 SMFG Preferred Capital USD 3 Ltd. (a) (c) (e)........ 9.50% (b) 17,405,100
9,500,000 Societe Generale SA (c).............................. 8.25% (b) 10,200,150
15,184,000 Standard Chartered Bank (c).......................... 9.50% (b) 15,618,642
4,500,000 Standard Chartered PLC (a) (c) (e)................... 6.41% (b) 4,874,063
20,000,000 Wells Fargo & Co., Series K (a) (c).................. 7.98% (b) 22,780,000
6,800,000 Zions Bancorporation (a) (c)......................... 5.80% (b) 6,553,500
9,000,000 Zions Bancorporation, Series J (a) (c)............... 7.20% (b) 9,630,000
--------------
705,753,842
--------------
CAPITAL MARKETS - 3.6%
5,400,000 Credit Suisse Group AG (c) (e)....................... 6.25% (b) 5,423,760
10,000,000 Credit Suisse Group Guernsey I Ltd. (c).............. 7.88% 02/24/41 10,743,750
2,000,000 Deutsche Bank Capital Funding Trust I (e) (g)........ 3.20% (b) 1,980,000
2,500,000 Deutsche Bank Capital Trust IV (c) (d)............... 4.59% (b) 2,437,500
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
CAPITAL MARKETS (CONTINUED)
$ 12,500,000 Goldman Sachs Group, Inc., Series L (a) (c).......... 5.70% (b) $ 12,792,975
8,500,000 UBS AG (c)........................................... 7.25% 02/22/22 9,284,125
10,000,000 UBS AG (a)........................................... 7.63% 08/17/22 11,907,870
--------------
54,569,980
--------------
DIVERSIFIED FINANCIAL SERVICES - 6.7%
40,000,000 General Electric Capital Corp., Series A (a) (c)..... 7.13% (b) 46,872,160
24,520,000 Glen Meadow Pass Through Trust (a) (c) (e)........... 6.51% 02/12/67 24,336,100
10,000,000 Macquarie PMI LLC ................................... 8.38% (b) 10,637,500
14,530,000 Voya Financial, Inc. (a) (c)......................... 5.65% 05/15/53 14,856,925
3,585,000 ZFS Finance USA Trust II (c) (e)..................... 6.45% 12/15/65 3,880,762
--------------
100,583,447
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.3%
18,700,000 Koninklijke KPN N.V. (a) (c) (e)..................... 7.00% 03/28/73 19,588,250
--------------
ELECTRIC UTILITIES - 4.3%
15,290,000 Enel SpA (a) (c) (e)................................. 8.75% 09/24/73 18,118,650
14,975,000 NextEra Energy Capital Holdings, Inc.,
Series D (a) (c).................................. 7.30% 09/01/67 16,476,124
25,000,000 PPL Capital Funding Inc., Series A (a) (c)........... 6.70% 03/30/67 25,577,900
4,179,000 Southern California Edison Co., Series E (a) (c)..... 6.25% (b) 4,534,215
--------------
64,706,889
--------------
ENERGY EQUIPMENT & SERVICES - 0.6%
9,000,000 DCP Midstream LLC (a) (c) (e)........................ 5.85% 05/21/43 8,775,000
--------------
FOOD PRODUCTS - 0.5%
7,000,000 Land O'Lakes Capital Trust I (f)..................... 7.45% 03/15/28 7,210,000
--------------
INDEPENDENT POWER AND RENEWABLE ELECTRICITY
PRODUCERS - 0.4%
5,000,000 AES Gener S.A. (c) (e)............................... 8.38% 12/18/73 5,630,000
--------------
INSURANCE - 33.9%
2,500,000 Aegon N.V. (g)....................................... 2.72% (b) 2,277,250
1,050,000 AIG Life Holdings, Inc. (e).......................... 7.57% 12/01/45 1,411,820
15,000,000 American International Group, Inc. (a) (c)........... 8.18% 05/15/58 20,793,750
26,500,000 Aquarius + Investments PLC for Swiss Reinsurance Co.,
Ltd. (c).......................................... 8.25% (b) 29,653,500
10,000,000 Assured Guaranty Municipal Holdings, Inc. (a) (c) (e) 6.40% 12/15/66 8,900,000
4,930,000 Assured Guaranty US Holdings, Series A (a) (c)....... 6.40% 12/15/66 4,572,575
27,000,000 Aviva PLC (a)........................................ 8.25% (b) 30,516,507
6,800,000 AXA S.A. (a)......................................... 8.60% 12/15/30 9,163,000
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
PAR STATED STATED
AMOUNT DESCRIPTION RATE MATURITY VALUE
---------------- ----------------------------------------------------- ----------- --------------- --------------
CAPITAL PREFERRED SECURITIES (CONTINUED)
INSURANCE (CONTINUED)
$ 15,000,000 AXA S.A. (a) (c) (e)................................. 6.46% (b) $ 16,087,500
22,005,000 Catlin Insurance Co Ltd. (a) (c) (e)................. 7.25% (b) 22,830,188
15,050,000 Cloverie PLC for Zurich Insurance Co., Ltd. (c)...... 8.25% (b) 17,422,256
7,000,000 CNP Assurances (c)................................... 6.88% (b) 7,651,525
10,600,000 CNP Assurances (c)................................... 7.50% (b) 11,857,160
12,500,000 Dai-ichi Life Insurance Co Ltd. (The) (a) (c) (e).... 7.25% (b) 15,021,100
25,000,000 Friends Life Holdings PLC (c)........................ 7.88% (b) 28,127,650
20,000,000 Genworth Holdings, Inc. (a) (c)...................... 6.15% 11/15/66 18,250,000
16,782,000 Hartford Financial Services Group, Inc. (a) (c)...... 8.13% 06/15/38 19,865,693
1,000,000 La Mondiale SAM (c).................................. 7.63% (b) 1,114,200
2,000,000 Liberty Mutual Group, Inc. (c)....................... 10.75% 06/15/58 3,115,000
18,000,000 Lincoln National Corp. (a) (c)....................... 6.05% 04/20/67 18,270,000
7,500,000 MetLife Capital Trust X (a) (e)...................... 9.25% 04/08/38 10,800,000
16,265,000 MetLife, Inc. (a).................................... 10.75% 08/01/39 26,024,000
15,000,000 Mitsui Sumitomo Insurance Co., Ltd. (a) (c) (e)...... 7.00% 03/15/72 17,793,750
3,000,000 Nationwide Financial Services Capital Trust (a) (d).. 7.90% 03/01/37 3,451,143
13,000,000 Nationwide Financial Services, Inc. (a).............. 6.75% 05/15/37 13,706,875
10,600,000 Provident Financing Trust I (a)...................... 7.41% 03/15/38 12,351,777
23,265,000 Prudential Financial, Inc. (a) (c)................... 8.88% 06/15/38 28,499,625
20,389,000 Prudential PLC (c)................................... 11.75% (b) 21,130,140
39,520,000 QBE Capital Funding III Ltd. (a) (c) (e)............. 7.25% 05/24/41 42,780,400
5,500,000 StanCorp Financial Group,Inc. (a) (c)................ 6.90% 06/01/67 5,788,750
3,000,000 Sumitomo Life Insurance Co. (c) (e).................. 6.50% 09/20/73 3,549,123
8,000,000 Swiss Re Capital I LP (a) (c) (e).................... 6.85% (b) 8,540,000
26,111,000 XL Group PLC, Series E (a) (c)....................... 6.50% (b) 25,654,057
--------------
506,970,314
--------------
MACHINERY - 0.3%
4,500,000 Stanley Black & Decker, Inc. (c)..................... 5.75% 12/15/53 4,896,563
--------------
MULTI-UTILITIES - 1.5%
20,000,000 RWE AG (c)........................................... 7.00% 10/12/72 21,964,000
--------------
OIL, GAS & CONSUMABLE FUELS - 2.3%
5,000,000 BG Energy Capital PLC (c)............................ 6.50% 11/30/72 5,488,500
15,000,000 Enbridge Energy Partners L.P. (a) (c)................ 8.05% 10/01/37 16,987,500
10,000,000 Enterprise Products Operating LLC, Series B (a) (c).. 7.03% 01/15/68 11,396,330
--------------
33,872,330
--------------
TOTAL CAPITAL PREFERRED SECURITIES................................................. 1,534,520,615
(Cost $1,496,857,903) --------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
NUMBER OF
CONTRACTS DESCRIPTION VALUE
---------------- ----------------------------------------------------------------------------------- --------------
PUT OPTIONS PURCHASED - 0.0%
10 YEAR US TREASURY NOTE FUTURES
130 @ 123.5 due September 2014......................................................... $ 24,375
(Cost $98,081) --------------
TOTAL INVESTMENTS - 143.6%......................................................... 2,147,988,655
(Cost $2,100,783,815) (h)
CALL OPTIONS WRITTEN - 0.0%
10 YEAR US TREASURY NOTE FUTURES
100 @ 122.5 due September 2014......................................................... (217,188)
(Premiums received $185,491) --------------
OUTSTANDING LOAN - (45.9%)......................................................... (686,000,000)
NET OTHER ASSETS AND LIABILITIES - 2.3%............................................ 34,132,541
--------------
NET ASSETS - 100.0%................................................................ $1,495,904,008
==============
(a) All or a portion of this security serves as collateral on the outstanding
loan.
(b) Perpetual maturity.
(c) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at July 31, 2014. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(d) This security has been determined to be illiquid by Stonebridge Advisors
LLC (the "Sub-Advisor").
(e) 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, and may be resold in transactions exempt from
registration, normally to qualified institutional buyers. Pursuant to
procedures adopted by the Fund's Board of Trustees, this security has been
determined to be liquid by the Sub-Advisor. Although market instability
can result in periods of increased overall market illiquidity, liquidity
for each security is determined based on security specific factors and
assumptions, which require subjective judgment. At July 31, 2014,
securities noted as such amounted to $513,937,123 or 34.36% of net assets.
(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, and may be resold in transactions exempt from
registration, normally to qualified institutional buyers (see Note 2C -
Restricted Securities in the Notes to Quarterly Portfolio of Investments).
(g) Floating rate security. The interest rate shown reflects the rate in
effect at July 31, 2014.
(h) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of July 31, 2014, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $62,697,626 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $15,492,786.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JULY 31, 2014 (UNAUDITED)
---------------------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of July 31, 2014
is as follows (see Note 2A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 7/31/2014 PRICES INPUTS INPUTS
------------------------------------------------ -------------- ------------ -------------- ------------
$20 Par Preferred Securities*................... $ 6,421,075 $ 6,421,075 $ -- $ --
$25 Par Preferred Securities:
Banks..................................... 120,702,998 115,021,726 5,681,272 --
Other Industry Categories*................ 359,648,777 359,648,777 -- --
$50 Par Preferred Securities*................... 2,642,236 2,642,236 -- --
$100 Par Preferred Securities*.................. 43,841,323 -- 43,841,323 --
$1,000 Par Preferred Securities:
Banks...................................... 25,309,420 15,106,920 10,202,500 --
Other Industry Categories*................. 54,877,836 -- 54,877,836 --
Capital Preferred Securities*................... 1,534,520,615 -- 1,534,520,615 --
Put Options Purchased........................... 24,375 24,375 -- --
-------------- ------------ -------------- ------------
Total Investments............................... $2,147,988,655 $498,865,109 $1,649,123,546 $ --
============== ============ ============== ============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
INVESTMENTS 7/31/2014 PRICES INPUTS INPUTS
-------------- ------------ -------------- ------------
Call Options Written............................ $ (217,188) $ (217,188) $ -- $ --
Futures Contracts............................... (736,579) (736,579) -- --
-------------- ------------ -------------- ------------
Total........................................... $ (953,767) $ (953,767) $ -- $ --
============== ============ ============== ============
* See Portfolio of Investments for industry breakout.
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of July 31,
2014, the Fund transferred $25 par preferred securities valued at $5,681,272
from Level 1 to Level 2, and transferred $100 par preferred securities valued at
$8,455,000 from Level 1 to Level 2 of the fair value hierarchy.
FUTURES CONTRACTS AT JULY 31, 2014 (see Note 2D - Futures Contracts in the Notes
to Quarterly Portfolio of Investments):
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL APPRECIATION/
SHORT FUTURES CONTRACTS CONTRACTS MONTH VALUE (DEPRECIATION)
------------------------------------------------ -------------- -------------- -------------- ------------
U.S. Treasury Long Bond Futures 220 September-2014 $ 29,911,406 $ (317,969)
Ultra Long Term U.S. Treasury Bond Futures 165 September-2014 24,474,141 (415,078)
-------------- -------------- ----------
Total Futures Contracts 385 $ 54,385,547 $ (733,047)
============== ============== ==========
See Notes to Quarterly Portfolio of Investments
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2014 (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").
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 in
accordance with valuation procedures adopted by the Fund's Board of Trustees,
and in accordance with provisions of the 1940 Act. Market quotations and prices
used to value the Fund's investments are primarily obtained from third party
pricing services. 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.
Debt securities having a remaining maturity of sixty days or less when
purchased are valued at cost adjusted for amortization of premiums and
accretion of discounts.
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 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 valued at the mean of the most recent bid and asked
price, if available, and otherwise at their closing bid price.
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
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) 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. The use of fair value prices by the Fund
generally results in prices used by the Fund that may differ from current market
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2014 (UNAUDITED)
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 methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of July 31, 2014, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Realized gains and losses from securities transactions are recorded on the
identified cost basis.
C. RESTRICTED SECURITIES:
The Fund invests in restricted securities, which are securities that may not be
offered for public sale without first being registered under the 1933 Act. Prior
to registration, restricted securities may only be resold in transactions exempt
from registration under Rule 144A under the 1933 Act, normally to qualified
institutional buyers. As of July 31, 2014, the Fund held restricted securities
as shown in the following table that Stonebridge Advisors LLC ("Stonebridege" or
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 QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2014 (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 % OF
ACQUISITION AMOUNT/ CARRYING NET
SECURITY DATE SHARES PRICE COST VALUE ASSETS
------------------------------------------------ ----------- ----------- ------------- ------------ ------------ -------
Farm Credit Bank of Texas, 6.75% 7/16/13 100,000 $ 105.22 $ 10,020,000 $ 10,521,880 0.70%
AgStar Financial Services ACA, Series F, 6.75% 5/29/13 10,000 1,020.25 10,000,000 10,202,500 0.68
Pitney Bowes International Holdings, Inc.,
Series F, 6.13% 6/06/13 15,000 1,082.18 14,756,250 16,232,812 1.09
Centaur Funding Corp., 9.08%, 04/21/20 5/29/13 16,000 1,253.13 20,528,750 20,050,000 1.34
Sovereign Real Estate Investment Trust, 12.00% 6/12/13 14,000 1,328.22 18,489,375 18,595,024 1.25
HSBC USA Capital Trust II, 8.38%, 05/15/27 9/09/13 $ 4,000,000 101.35 4,080,000 4,053,828 0.27
Land O'Lakes Capital Trust I, 7.45% 6/6/14 $ 7,000,000 103.00 7,109,500 7,210,000 0.48
------------ ------------ -------
$ 84,983,875 $ 86,866,044 5.81%
============ ============ =======
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.
For the fiscal year to date period (November 1, 2013 to July 31, 2014), the
amount of notional values of futures contracts opened and closed were
$158,372,510 and $103,986,963, respectively.
E. OPTION CONTRACTS:
The Fund may purchase or write put and call options on futures contracts and
enter into closing transactions with respect to such options to terminate an
existing position. A futures option gives the holder the right, in return for
the premium paid, to assume a long position (call) or short position (put) in a
futures contract at a specified exercise price prior to the expiration of the
option. Upon exercise of a call option, the holder acquires a long position in
the futures contract and the writer is assigned the opposite short position. In
the case of a put option, the opposite is true. Prior to exercise or expiration,
a futures option may be closed out by an offsetting purchase or sale of a
futures option of the same series.
The Fund may use options on futures contracts in connection with hedging
strategies. Generally, these strategies would be applied under the same market
and market sector conditions in which the Fund uses put and call options on
securities or indices. The purchase of put options on futures contracts is
analogous to the purchase of puts on securities or indices so as to hedge a
Fund's securities holdings against the risk of declining market prices. The
writing of a call option or the purchasing of a put option on a futures contract
constitutes a partial hedge against declining prices of securities which are
deliverable upon exercise of the futures contract. If the price at expiration of
a written call option is below the exercise price, a Fund will retain the full
amount of the option premium, which provides a partial hedge against any decline
that may have occurred in a Fund's holdings of securities. If the price when the
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (CONTINUED)
FIRST TRUST INTERMEDIATE DURATION PREFERRED & INCOME FUND (FPF)
JULY 31, 2014 (UNAUDITED)
option is exercised is above the exercise price, however, a Fund will incur a
loss, which may be offset, in whole or in part, by the increase in the value of
the securities held by a Fund that were being hedged. Writing a put option or
purchasing a call option on a futures contract serves as a partial hedge against
an increase in the value of the securities a Fund intends to acquire.
As with investments in futures contracts, the Fund is required to deposit and
maintain margin with respect to put and call options on futures contracts
written by them. Such margin deposits will vary depending on the nature of the
underlying Futures Contract (and the related initial margin requirements), the
current market value of the option, and other Futures positions held by a Fund.
A Fund will earmark or set aside in a segregated account at such Fund's
custodian, liquid assets, such as cash, U.S. government securities or other
high-grade liquid debt obligations equal in value to the amount due on the
underlying obligation. Such segregated assets will be marked-to-market daily,
and additional assets will be earmarked or placed in the segregated account
whenever the total value of the earmarked or segregated assets falls below the
amount due on the underlying obligation.
The risks associated with the use of options on futures contracts include the
risk that the Fund may close out its position as a writer of an option only if a
liquid secondary market exists for such options, which cannot be assured. A
Fund's successful use of options on futures contracts depends on its
Sub-Advisor's ability to correctly predict the movement in prices of futures
contracts and the underlying instruments, which may prove to be incorrect. In
addition, there may be imperfect correlation between the instruments being
hedged and the futures contract subject to the option. Certain characteristics
of the futures market might increase the risk that movements in the prices of
futures contracts or options on futures contracts might not correlate perfectly
with movements in the prices of the investments being hedged. For example, all
participants in the futures and options on futures contracts markets are subject
to daily variation margin calls and might be compelled to liquidate Futures or
options on Futures Contracts positions whose prices are moving unfavorably to
avoid being subject to further calls. These liquidations could increase the
price volatility of the instruments and distort the normal price relationship
between the futures or options and the investments being hedged. Also, because
of initial margin deposit requirements, there might be increased participation
by speculators in the futures markets. This participation also might cause
temporary price distortions. In addition, activities of large traders in both
the futures and securities markets involving arbitrage, "program trading," and
other investment strategies might result in temporary price distortions.
Over-the-counter options have the risk of the potential inability of
counterparties to meet the terms of their contracts. The Fund's maximum equity
price risk for purchased options is limited to the premium initially paid. In
addition, certain risks may arise upon entering into option contracts including
the risk that an illiquid secondary market will limit the Fund's ability to
close out an option contract prior to the expiration date and that a change in
the value of the option contract may not correlate exactly with changes in the
value of the securities hedged.
At July 31, 2014, the Fund held 130 put options contracts with a notional value
of $16,055.
3. DERIVATIVES TRANSACTIONS
Written option activity for the Fund for the fiscal year to date period
(November 1, 2013 through July 31, 2014) was as follows:
Number
of
Written Options Contracts Premiums
------------------------------------------------------------------------------
Options outstanding at October 31, 2013........... -- $ --
Options Written................................... 430 620,206
Options Expired................................... -- --
Options Exercised................................. -- --
Options Closed.................................... (330) (434,715)
--------- ----------
Options outstanding at July 31, 2014 ............. 100 $ 185,491
========= ==========
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust Intermediate Duration Preferred & Income Fund
-----------------------------------------------------------
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: September 19, 2014
------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Mark R. Bradley
----------------------------------------
Mark R. Bradley, President and
Chief Executive Officer
(principal executive officer)
Date: September 19, 2014
------------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: September 19, 2014
------------------------
* Print the name and title of each signing officer under his or her signature.