Edgar Filing: FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND

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 811-21876

FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
(Exact name of registrant as specified in charter)

1001 Warrenville Road, Suite 300
LISLE, IL 60532
(Address of principal executive offices) (Zip code)

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
(Name and address of agent for service)

Registrant's telephone number, including area code:
630-241-4141

Date of fiscal year end: OCTOBER 31

Date of reporting period: JULY 31, 2008

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 TAX-ADVANTAGED PREFERRED INCOME FUND
PORTFOLIO OF INVESTMENTS (a)
JULY 31, 2008 (UNAUDITED)

SHARES DESCRIPTION VALUE
--------- -------------------------------------------------------------------- ------------

PREFERRED SECURITIES - 153.8%
CAPITAL MARKETS - 5.3%
40,000 Lehman Brothers Holdings Inc., Series J, 7.95% (f) ................. $ 631,200
15,000 Merrill Lynch & Co Inc., Series Q, 8.625% .......................... 308,250
39,400 Morgan Stanley, Series A, 4.00% (c) ................................ 579,180
------------
1,518,630
------------
COMMERCIAL BANKS - 47.0%
40,000 ABN AMRO Capital Funding Trust VII, Series G, 6.08% ................ 694,000
39,000 Barclays Bank PLC, Series D, 8.125% ................................ 932,100
40,000 Credit Suisse Guernsey Ltd., 7.90% ................................. 986,400
6,000 Heartland Financial, 8.26% (b) (d) (e) ............................. 1,500,000
40,000 HSBC Holdings PLC, 8.125% .......................................... 1,026,800
10,000 HSBC Holdings PLC, Series A, 6.20% ................................. 206,000
6,000 Irwin Financial Corporation, Series A, 8.61% (b) (c) (d) (e) ....... 1,350,000
40,000 National City Corp., 9.875% ........................................ 768,000
1,000,000 PNC Financial Services Group, Inc., 8.25% .......................... 959,400
20,000 Royal Bank of Scotland PLC, Series Q, 6.75% ........................ 362,000
29,000 Royal Bank of Scotland PLC, Series R, 6.13% ........................ 483,430
15,900 Royal Bank of Scotland PLC, Series T, 7.25% ........................ 318,000
30,000 Santander Finance Preferred SA Unipersonal, 6.80% .................. 609,300
5,000 Santander Finance Preferred SA Unipersonal, Series 6, 4.00% (c) .... 73,750
53,800 US Bancorp, Series D, 7.875% ....................................... 1,386,964
500,000 Wachovia Corp., 7.98% (c) .......................................... 385,153
40,000 Wachovia Corp., Series J, 8.00% .................................... 767,200
55,900 Zions Bancorporation, Series A, 4.00% (c) .......................... 668,005
------------
13,476,502
------------
CONSUMER FINANCE - 1.5%
10,000 SLM Corp., Series B, 3.48% (c) ..................................... 440,000
------------
DIVERSIFIED FINANCIAL SERVICES - 6.9%
40,000 Citigroup Inc., Series AA, 8.125% .................................. 822,000
38,500 ING Groep NV, 6.125% ............................................... 703,395
500,000 JPMorgan Chase & Co, Series 1, 7.90% (c) ........................... 463,868
------------
1,989,263
------------
ELECTRIC UTILITIES - 19.2%
40,000 Alabama Power Company, 5.63% ....................................... 878,752
49,400 Alabama Power Company, 6.45% ....................................... 1,222,650
80,000 PPL Electric Utilities Corp., 6.25% ................................ 1,915,000
20,000 San Diego Gas & Electric Company, 6.80% ............................ 522,500
10,000 Southern California Edison Company, 6.13% .......................... 980,000
------------
5,518,902
------------
INSURANCE - 39.5%
40,000 Allianz SE, 8.375% ................................................. 1,000,400
84,500 Aspen Insurance Holdings Ltd., 7.40% (c) ........................... 1,499,875
72,500 Axis Capital Holdings Ltd., Series A, 7.25% ........................ 1,551,500
60,000 Endurance Specialty Holdings Ltd., Series A, 7.75% ................. 1,230,000
8,700 Genworth Financial Inc., 5.25% ..................................... 430,379
40,000 PartnerRe Ltd., Series C, 6.75% .................................... 813,600
33,400 Prudential PLC, 6.50% .............................................. 666,330

See Notes to Quarterly Portfolio of Investments

Page 1

FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
JULY 31, 2008 (UNAUDITED)

SHARES DESCRIPTION VALUE
--------- -------------------------------------------------------------------- ------------

PREFERRED SECURITIES - (CONTINUED)
INSURANCE - (CONTINUED)
18,650 Prudential PLC, 6.75% .............................................. $ 391,650
18,500 RenaissanceRe Holdings Ltd., Series B, 7.30% ....................... 381,470
50,000 RenaissanceRe Holdings Ltd., Series D, 6.60% ....................... 950,000
2,500 Zurich RegCaPS Funding Trust VI, 3.51% (c) (d) ..................... 2,411,719
------------
11,326,923
------------
OIL, GAS & CONSUMABLE FUELS - 18.9%
120,000 Double Eagle Petroleum Corp., Series A, 9.25% ...................... 2,905,200
100,000 GMX Resources Inc., Series B, 9.25% ................................ 2,525,000
------------
5,430,200
------------
THRIFTS & MORTGAGE FINANCE - 7.0%
20,000 Fannie Mae, Series O, 7.00% (c) (h) ................................ 605,000
77,000 Franklin Bank Corp., Series A, 7.50% ............................... 385,000
3,500 FreddieMac, Series W, 5.66% (h) .................................... 43,750
200,000 IndyMac Bank FSB, 8.50% (b) (d) (f) ................................ 14,500
36,100 Sovereign Bancorp, Inc., Series C, 7.30% ........................... 649,800
40,000 Washington Mutual, Inc., 4.00% (c) ................................. 304,000
------------
2,002,050
------------
TRADING COMPANIES & DISTRIBUTORS - 8.5%
250,400 Willis Lease Finance Corp., Series A, 9.00% ........................ 2,423,872
------------
TOTAL PREFERRED SECURITIES
(Cost $67,538,014) ................................................. 44,126,342
------------
CANADIAN INCOME TRUSTS - 12.7%
40,000 Atlantic Power Corp., IPS .......................................... 324,234
21,800 BFI Canada Income Fund ............................................. 474,556
25,000 Crescent Point Energy Trust ........................................ 844,768
41,149 Energy Savings Income Fund ......................................... 538,097
85,000 Teranet Income Fund ................................................ 682,358
90,000 Yellow Pages Income Fund ........................................... 793,691
------------
TOTAL CANADIAN INCOME TRUSTS
(Cost $3,860,795) .................................................. 3,657,704
------------
RIGHTS - 0.0%
MULTI-UTILITIES - 0.0%
60,900 Energy Savings Income Fund, Expiration 12/31/08 (b) (e) ............ 0
------------
TOTAL RIGHTS
(Cost $0) .......................................................... 0
------------
TOTAL INVESTMENTS - 166.5%
(Cost $71,398,809) (g) ............................................. 47,784,046
NET OTHER ASSETS AND LIABILITIES - 3.2% ............................ 916,121
AUCTION PREFERRED SHARES, AT LIQUIDATION VALUE - (69.7)% ........... (20,000,000)
------------
NET ASSETS (APPLICABLE TO COMMON SHAREHOLDERS) - 100.0% ............ $ 28,700,167
============

See Notes to Quarterly Portfolio of Investments

Page 2

FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
JULY 31, 2008 (UNAUDITED)

----------
(a) All percentages shown in the Portfolio of Investments are based on net
assets.

(b) Non-income producing security.

(d) This security is restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended. Prior
to registration, restricted securities may only be resold in transactions
exempt from registration. At July 31, 2008, the value of these securities
amounted to $5,276,219 or 18.38% of net assets (See Note 1C in the Notes to
Quarterly Portfolio of Investments).

(e) This security is fair valued in accordance with procedures adopted by the
Fund's Board of Trustees.

(f) This company filed for protection in federal bankruptcy court subsequent to
the date of this report.

(g) Aggregate cost for federal income tax and financial reporting purposes. As
of July 31, 2008, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$480,469, and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$24,095,232.

(h) The U.S. Government took control over this company subsequent to the
date of this report.

IPS Income Participating Securities

See Notes to Quarterly Portfolio of Investments

Page 3

NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS

FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
JULY 31, 2008 (UNAUDITED)

1. VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of the First Trust
Tax-Advantaged Preferred Income Fund (the "Fund") is determined daily as of the
close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00
p.m. Eastern Time, on each day the NYSE is open for trading. 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) and the
liquidation value of any outstanding Auction Preferred Shares, by the total
number of Common 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 according
to procedures adopted by the Fund's Board of Trustees. Securities for which
market quotations are readily available are valued at market value, which is
currently determined using the last reported sale price or, if no sales are
reported (as in the case of some securities traded over-the-counter), the last
reported bid price, except that certain U.S. government securities are valued at
the mean between the last reported bid and asked prices. The Fund will value
other debt securities not traded in an organized market on the basis of
valuations provided by dealers or by an independent pricing service, approved by
the Fund's Board of Trustees, which uses information with respect to
transactions in such securities, quotations from dealers, market transactions
for comparable securities, various relationships between securities and yield to
maturity in determining value. Debt securities having a remaining maturity of
less than sixty days when purchased are valued at amortized cost. In the event
that market quotations are not readily available, the pricing service does not
provide a valuation for a particular asset, or the valuations are deemed
unreliable, First Trust Advisors L.P. ("First Trust") may use a fair value
method to value the Fund's securities and other investments. Additionally, if
events occur after the close of the principal markets for particular securities
(e.g., domestic debt and foreign securities), but before the Fund values its
assets, that could materially affect NAV, First Trust may use a fair value
method to value the Fund's securities and other investments. The use of fair
value pricing by the Fund is governed by valuation procedures adopted by the
Fund's Board of Trustees and in accordance with the provisions of the Investment
Company Act of 1940, as amended.

B. SECURITIES TRANSACTIONS:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.

C. RESTRICTED SECURITIES:

The Fund invests in restricted securities, which are securities that cannot be
offered for public sale without first being registered under the Securities Act
of 1933, as amended. Prior to registration, restricted securities may only be
resold in transactions exempt from registration. As of July 31, 2008, the Fund
held restricted securities as shown in the following table. 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 footnote (Note 1A) and are not expressed as a discount to the carrying
value of comparable unrestricted securities.

% OF
ACQUISITION VALUE CARRYING NET
SECURITY DATE SHARES PER SHARE COST VALUE ASSETS
-------- ----------- ------- --------- ----------- ---------- ------

Heartland Financial, 8.26% 12/21/06 6,000 $250.00 $ 6,000,000 $1,500,000 5.23%
IndyMac Bank FSB, 8.50% 05/22/07 200,000 0.07 5,000,000 14,500 0.05
Irwin Financial Corporation, Series A, 8.61% 12/22/06 6,000 225.00 5,940,000 1,350,000 4.70
Zurich RegCaPS Funding Trust VI, 3.51% 02/06/07 2,500 964.69 2,575,000 2,411,719 8.40
------- ----------- ---------- -----
214,500 $19,515,000 $5,276,219 18.38%
======= =========== ========== =====

Page 4

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 TAX-ADVANTAGED PREFERRED INCOME FUND
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By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)

Date September 24, 2008
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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.

Date September 24, 2008
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By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)

Date September 24, 2008
----------------------------------------------------------------------------

* Print the name and title of each signing officer under his or her signature.