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
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(Exact name of registrant as specified in charter)

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

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

Registrant's telephone number, including area code: (630) 241-4141
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Date of fiscal year end: OCTOBER 31
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Date of reporting period: JULY 31, 2007
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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 TAX-ADVANTAGED PREFERRED INCOME FUND
PORTFOLIO OF INVESTMENTS
JULY 31, 2007 (UNAUDITED)

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

PREFERRED SECURITIES - 126.9%

CAPITAL MARKETS - 5.7%
80,000 Deutsche Bank Contingent Capital Trust II, 6.55% .......... $ 1,952,000
7,800 Merrill Lynch & Company, Series H, 6.01% (a) .............. 194,298
39,400 Morgan Stanley, Series A, 6.06% (a) ....................... 1,000,760
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3,147,058
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COMMERCIAL BANKS - 43.2%
69,200 ABN AMRO Capital Funding Trust V, Series E, 5.90% ......... 1,543,852
50,000 ABN AMRO Capital Funding Trust VII, Series G, 6.08% ....... 1,146,000
6,000 Heartland Financial, 8.26% (b) ............................ 6,020,568
90,000 HSBC Holdings PLC, Series A, 6.20% ........................ 2,091,600
6,000 Irwin Financial Corporation, Series A, 8.61% (a)(b) ....... 6,045,906
29,000 Royal Bank of Scotland PLC, Series R, 6.13% ............... 667,000
60,000 Santander Finance Preferred SA Unipersonal, 6.80% (b) ..... 1,522,500
19,900 SunTrust Banks, Series A, 5.89% (a) ....................... 507,450
101,400 U.S. Bancorp, Series B, 5.96% (a) ......................... 2,631,330
63,000 Zions Bancorporation, Series A, 5.88% (a) ................. 1,597,050
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23,773,256
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CONSUMER FINANCE - 1.4%
10,000 SLM Corp., Series B, 6.06% (a) ............................ 750,000
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DIVERSIFIED FINANCIAL SERVICES - 2.6%
40,000 Bank of America Corp., Series D, 6.20% .................... 1,000,000
18,800 ING Groep NV, 6.13% ....................................... 431,648
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1,431,648
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ELECTRIC UTILITIES - 7.4%
40,000 Alabama Power Company, 5.63%. ............................. 1,003,752
80,000 PPL Electric Utilities Corp., 6.25% ....................... 2,022,504
10,000 Southern California Edison Company, 6.13% ................. 1,025,313
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4,051,569
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INSURANCE - 27.0%
94,000 Aspen Insurance Holdings Ltd., 7.40% (a) .................. 2,213,700
100,000 Axis Capital Holdings Ltd., Series A, 7.25% ............... 2,500,000
60,000 Endurance Specialty Holdings Ltd., Series A, 7.75% ........ 1,561,200
40,000 PartnerRe Ltd., Series C, 6.75% ........................... 960,400
9,700 Prudential PLC, 6.50% ..................................... 237,262
20,000 Renaissancere Holdings Ltd., Series B, 7.30% .............. 501,000
80,000 Renaissancere Holdings Ltd., Series D, 6.60% .............. 1,835,200
100,000 XL Capital Ltd., Series B, 7.63% .......................... 2,500,000
2,500 Zurich RegCaps Funding Trust VI, 6.07% (a)(b) ............. 2,571,095
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14,879,857
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OIL, GAS & CONSUMABLE FUELS - 10.5%
120,000 Double Eagle Petroleum Corp., Series A, 9.25% ............. 3,149,400
100,000 GMX Resources Inc., Series B, 9.25% ....................... 2,608,500
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5,757,900
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THRIFTS & MORTGAGE FINANCE - 24.4%
17,000 FannieMae, Series H, 5.81% ................................ 807,500
64,800 Franklin Bank Corp., Series A, 7.50% ...................... 1,587,600

See Notes to Quarterly Portfolio of Investments. Page 1

FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JULY 31, 2007 (UNAUDITED)

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

PREFERRED SECURITIES - (CONTINUED)

THRIFTS & MORTGAGE FINANCE - (CONTINUED)
73,000 FreddieMac, Series V, 5.57% ............................... $ 1,675,350
40,000 FreddieMac, Series W, 5.66% ............................... 920,000
200,000 IndyMac Bank FSB, 8.50% (b) ............................... 4,312,500
60,000 Sovereign Bancorp, Inc., Series C, 7.30% .................. 1,626,000
100,000 Washington Mutual, Inc., 6.06% (a) ........................ 2,510,000
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13,438,950
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TRADING COMPANIES & DISTRIBUTORS - 4.7%
250,400 Willis Lease Finance Corp., Series A, 9.00% ............... 2,586,632
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TOTAL PREFERRED SECURITIES ................................ 69,816,870
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(Cost $71,769,905)

CANADIAN INCOME TRUSTS - 12.0%

110,000 Atlantic Power Corp., IPS ................................. 1,134,233
21,800 BFI Canada Income Fund .................................... 567,672
60,000 Crescent Point Energy Trust ............................... 1,136,108
80,900 Energy Savings Income Fund ................................ 1,152,825
17,500 Newalta Income Fund ....................................... 397,600
115,000 Teranet Income Fund. ...................................... 1,068,289
90,000 Yellow Pages Income Fund .................................. 1,132,171
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TOTAL CANADIAN INCOME TRUSTS .............................. 6,588,898
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(Cost $6,210,137)

TOTAL INVESTMENTS - 138.9% ................................ 76,405,768
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(Cost $77,980,042) (c)

NET OTHER ASSETS & LIABILITIES - 1.1% ..................... 624,401
AUCTION PREFERRED SHARES, AT LIQUIDATION VALUE - (40.0)% .. (22,000,000)
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NET ASSETS (APPLICABLE TO COMMON SHAREHOLDERS) - 100.0% ... $ 55,030,169
=============

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(a) Variable rate security. The interest rate shown reflects the rate in
effect at July 31, 2007.

(b) Securities are 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, 2007, these securities amounted to
$20,472,569, or 37.2% of net assets (Note 1C).

IPS Income Participating Securities

SCHEDULE OF FOREIGN CURRENCY FUTURES CONTRACTS:

NUMBER OF UNREALIZED
CONTRACTS DESCRIPTION VALUE DEPRECIATION
--------- ---------------------------------------- ---------- ------------
FUTURE CONTRACTS - SHORT POSITION
52 Canadian Dollar September 2007 ......... $4,888,520 $(31,720)
---------- ---------
$4,888,520 $(31,720)
========== =========

Page 2 See Notes to Quarterly Portfolio of Investments.

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NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
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FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
JULY 31, 2007 (UNAUDITED)

1. VALUATION AND INVESTMENT PRACTICES

A. PORTFOLIO VALUATION:

The net asset value ("NAV") of the Common Shares of First Trust Tax-Advantaged
Preferred Income Fund (the "Fund") is determined daily as of the close of
regular session 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 subtracting the Fund's liabilities (including accrued expenses,
dividends payable and any borrowings of the Fund) and the liquidation value of
any outstanding Preferred Shares from the Fund's Total Assets (the value of the
securities and other investments the Fund holds plus cash or other assets,
including interest accrued but not yet received) and dividing the result 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. A majority of the Fund's
assets are valued using market information supplied by third parties. 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, or if events occurring after the close of the principal markets for
particular securities (e.g., domestic debt and foreign securities), but before
the Fund values its assets, would materially affect NAV, First Trust Advisors
L.P. may use a fair value method to value the Fund's securities and 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. Short-term investments that
mature in less than 60 days are valued at amortized cost.

B. SECURITIES TRANSACTIONS:

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

Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund maintains liquid assets with a
current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments. At July 31, 2007, the Fund had no
when-issued or delayed-delivery purchase commitments.

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 Securities Act
of 1933, as amended (the "Securities Act"). Prior to registration, restricted
securities may only be resold in transactions exempt from registration under
Rule 144A of the Securities Act, normally to qualified institutional buyers. As
of July 31, 2007, the Fund held restricted securities as shown in the following
table that the Sub-Advisor has deemed illiquid pursuant to procedures adopted by
the Fund's Board of Trustees. 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 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.

CARRYING
VALUE 07/31/07
ACQUISITION PER SHARE CURRENT MARKET % OF
SECURITY DATE SHARES 07/31/07 CARRYING COST VALUE NET ASSETS
-----------------------------------------------------------------------------------------------------------

Heartland Financial, 8.26% ....... 12/21/06 6,000 $1,003.43 $ 6,000,000 $ 6,020,568 10.94%
IndyMac Bank FSB, 8.50% .......... 05/22/07 200,000 21.56 5,000,000 4,312,500 7.83
Irwin Financial Corporation,
Series A, 8.61% ............... 12/22/06 6,000 1,007.65 5,940,000 6,045,906 10.99
Santander Finance Preferred SA
Unipersonal, 6.80% ............ 10/31/06 60,000 25.38 1,500,000 1,522,500 2.77
Zurich RegCaps Funding
Trust VI, 6.07% ............... 02/06/07 2,500 1,028.44 2,575,000 2,571,095 4.67
------- ------------ ----------- -----
274,500 $ 21,015,000 $20,472,569 37.20%
======= ============ =========== =====

Page 3

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NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
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FIRST TRUST TAX-ADVANTAGED PREFERRED INCOME FUND
JULY 31, 2007 (UNAUDITED)

2. UNREALIZED APPRECIATION (DEPRECIATION)

As of July 31, 2007, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $1,088,370
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $2,662,644.

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

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

Date SEPTEMBER 24, 2007
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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, 2007
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By (Signature and Title)* /S/ MARK R. BRADLEY
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Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)

Date SEPTEMBER 24, 2007
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* Print the name and title of each signing officer under his or her signature.