nq2.htm



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number 811-22391
 
Nuveen Build America Bond Fund
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            3/31          
 
Date of reporting period:         12/31/14         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
 
 

 
 
Item 1. Schedule of Investments
 
           
   
Portfolio of Investments (Unaudited)
     
           
   
Nuveen Build America Bond Fund (NBB)
     
   
December 31, 2014
     
 
 
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
LONG-TERM INVESTMENTS – 118.0% (99.7% of Total Investments)
     
           
   
MUNICIPAL BONDS – 118.0% (99.7% of Total Investments)
     
           
   
Alabama – 0.3% (0.3% of Total Investments)
     
$ 2,000
 
Baptist Health Care Authority, Alabama, An Affiliate of UAB Health System, Taxable Bond Series
No Opt. Call
A3
$ 2,099,820
   
2013A, 5.500%, 11/15/43
     
   
Arizona – 1.6% (1.4% of Total Investments)
     
4,070
 
Downtown Phoenix Hotel Corporation, Arizona, Revenue Bonds, Subordinate Lien Series 2005C,
No Opt. Call
AA–
4,139,963
   
5.290%, 7/01/18 – FGIC Insured
     
5,000
 
Mesa, Arizona, Utility System Revenue Bonds, Series 2010, 6.100%, 7/01/34
7/20 at 100.00
Aa2
5,740,350
9,070
 
Total Arizona
   
9,880,313
   
California – 28.2% (23.8% of Total Investments)
     
2,520
 
Alameda Corridor Transportation Authority, California, User Fee Revenue Bonds, Subordinate
No Opt. Call
BBB+
926,176
   
Lien Series 2004B, 0.000%, 10/01/31 – AMBAC Insured
     
1,995
 
Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Build
No Opt. Call
AA
2,822,187
   
America Federally Taxable Bond Series 2009F-2, 6.263%, 4/01/49
     
75
 
Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge,
No Opt. Call
A+
95,603
   
Subordinate Lien, Build America Federally Taxable Bond Series 2010S-1, 6.793%, 4/01/30
     
500
 
California Infrastructure and Economic Development Bank, Revenue Bonds, University of
No Opt. Call
AA–
624,905
   
California San Francisco Neurosciences Building, Build America Taxable Bond Series 2010B,
     
   
6.486%, 5/15/49
     
465
 
California Municipal Finance Authority Charter School Revenue Bonds, Albert Einstein Academies
No Opt. Call
BB
466,600
   
Project, Taxable Series 2013B, 7.000%, 8/01/18
     
3,005
 
California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build
No Opt. Call
A1
4,451,697
   
America Taxable Bond Series 2009G-2, 8.361%, 10/01/34
     
2,050
 
California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build
3/20 at 100.00
A1
2,468,979
   
America Taxable Bond Series 2010A-2, 8.000%, 3/01/35
     
7,000
 
California State University, Systemwide Revenue Bonds, Build America Taxable Bond Series
No Opt. Call
Aa2
9,331,210
   
2010B, 6.484%, 11/01/41
     
7,115
 
California State, General Obligation Bonds, Various Purpose Build America Taxable Bond Series
3/20 at 100.00
Aa3
8,846,079
   
2010, 7.950%, 3/01/36
     
16,610
 
California State, General Obligation Bonds, Various Purpose, Build America Taxable Bond Series
No Opt. Call
Aa3
26,388,141
   
2010, 7.600%, 11/01/40
     
1,000
 
California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda
No Opt. Call
BBB
1,046,330
   
University Medical Center, Series 2014B, 6.000%, 12/01/24
     
15,000
 
Los Angeles Community College District, California, General Obligation Bonds, Build America
No Opt. Call
AA+
21,318,600
   
Taxable Bonds, Series 2010, 6.600%, 8/01/42
     
10,000
 
Los Angeles Community College District, Los Angeles County, California, General Obligation
No Opt. Call
AA+
14,212,400
   
Bonds, Series 2010, 6.600%, 8/01/42 (UB) (4)
     
   
Los Angeles County Public Works Financing Authority, California, Lease Revenue Bonds, Multiple
     
   
Capital Projects I, Build America Taxable Bond Series 2010B:
     
5,500
 
7.488%, 8/01/33
No Opt. Call
AA
7,330,125
18,085
 
7.618%, 8/01/40
No Opt. Call
AA
26,360,334
9,390
 
Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International
No Opt. Call
AA–
12,350,667
   
Airport, Build America Taxable Bonds, Series 2009C, 6.582%, 5/15/39
     
   
Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally
     
   
Taxable – Direct Payment – Build America Bonds, Series 2010A:
     
50
 
5.716%, 7/01/39
No Opt. Call
AA–
63,768
2,115
 
6.166%, 7/01/40
7/20 at 100.00
AA–
2,465,604
1,685
 
Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally
No Opt. Call
AA–
2,437,454
   
Taxable – Direct Payment – Build America Bonds, Series 2010D, 6.574%, 7/01/45
     
2,000
 
Los Angeles Department of Water and Power, California, Water System Revenue Bonds, Tender
No Opt. Call
AA
6,765,200
   
Option Bond Trust T0003, 29.822%, 7/01/42 (IF) (4)
     
3,000
 
Oakland Redevelopment Agency, California, Subordinated Housing Set Aside Revenue Bonds,
No Opt. Call
A
3,346,680
   
Federally Taxable Series 2011A-T, 7.500%, 9/01/19
     
1,365
 
San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds,
No Opt. Call
AA–
1,780,206
   
Build America Taxable Bonds, Series 2010B, 6.000%, 11/01/40
     
3,000
 
San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds,
No Opt. Call
AA–
4,454,220
   
Build America Taxable Bonds, Series 2010G, 6.950%, 11/01/50
     
4,000
 
San Francisco City and County, California, Certificates of Participation, 525 Golden Gate
No Opt. Call
AA
9,589,800
   
Avenue, San Francisco Public Utilities Commission Office Project, Tender Option Bond Trust
     
   
B001, 29.563%, 11/01/30 (IF)
     
   
Stanton Redevelopment Agency, California, Consolidated Project Tax Allocation Bonds,
     
   
Series 2011A:
     
275
 
6.500%, 12/01/17
No Opt. Call
A–
300,550
295
 
6.750%, 12/01/18
No Opt. Call
A–
330,332
2,505
 
University of California, General Revenue Bonds, Limited Project, Build America Taxable Bond
No Opt. Call
AA–
3,212,287
   
Series 2010F, 5.946%, 5/15/45
     
120,600
 
Total California
   
173,786,134
   
Colorado – 0.6% (0.5% of Total Investments)
     
3,100
 
Denver School District 1, Colorado, General Obligation Bonds, Build America Taxable Bonds,
No Opt. Call
AA+
3,752,860
   
Series 2009C, 5.664%, 12/01/33
     
   
Connecticut – 0.9% (0.7% of Total Investments)
     
4,500
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue
4/20 at 100.00
N/R
5,466,240
   
Bonds, Harbor Point Project, Federally Taxable – Issuer Subsidy – Recovery Zone Economic
     
   
Development Bond Series 2010B, 12.500%, 4/01/39
     
   
Florida – 1.4% (1.1% of Total Investments)
     
2,850
 
Academic Charter Schools Finance LLC, Florida, Mortgage Loan Revenue Bonds, Series 2004A,
No Opt. Call
N/R
2,864,906
   
8.000%, 8/15/24
     
5,000
 
Florida State Board of Education, Public Education Capital Outlay Bonds, Build America Taxable
6/19 at 100.00
AAA
5,557,000
   
Bonds, Series 2010G, 5.750%, 6/01/35
     
7,850
 
Total Florida
   
8,421,906
   
Georgia – 4.9% (4.2% of Total Investments)
     
9,000
 
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project J Bonds, Taxable Build
No Opt. Call
A+
12,046,590
   
America Bonds Series 2010A, 6.637%, 4/01/57
     
15,000
 
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project P Bonds, Refunding
No Opt. Call
A–
18,306,300
   
Taxable Build America Bonds Series 2010A, 7.055%, 4/01/57
     
24,000
 
Total Georgia
   
30,352,890
   
Illinois – 15.2% (12.9% of Total Investments)
     
4,320
 
Chicago Transit Authority, Illinois, Sales Tax Receipts Revenue Bonds, Federally Taxable Build
No Opt. Call
AA
5,133,758
   
America Bonds, Series 2010B, 6.200%, 12/01/40
     
10,925
 
Chicago, Illinois, General Airport Revenue Bonds, O’Hare International Airport, Third Lien,
1/20 at 100.00
A2
12,486,401
   
Build America Taxable Bond Series 2010B, 6.845%, 1/01/38
     
11,085
 
Chicago, Illinois, Wastewater Transmission Revenue Bonds, Build America Taxable Bond Series
No Opt. Call
AA
14,576,332
   
2010B, 6.900%, 1/01/40
     
14,695
 
Chicago, Illinois, Water Revenue Bonds, Taxable Second Lien Series 2010B, 6.742%, 11/01/40
No Opt. Call
AA
19,415,916
15,480
 
Cook County, Illinois, General Obligation Bonds, Build America Taxable Bonds, Series 2010D,
No Opt. Call
AA
17,189,147
   
6.229%, 11/15/34
     
260
 
Illinois Finance Authority, Revenue Bonds, Illinois Institute of Technology, Refunding Series
No Opt. Call
Baa3
260,034
   
2006A, 6.100%, 4/01/15
     
14,000
 
Illinois State, General Obligation Bonds, Taxable Build America Bonds, Series 2010-3,
No Opt. Call
A–
15,696,940
   
6.725%, 4/01/35
     
4,900
 
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds,
No Opt. Call
AA–
6,398,028
   
Senior Lien Series 2009A, 6.184%, 1/01/34
     
1,555
 
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds,
No Opt. Call
AA–
2,024,672
   
Senior Lien Series 2009B, 5.851%, 12/01/34
     
685
 
Northern Illinois Municipal Power Agency, Power Project Revenue Bonds, Prairie State Project,
No Opt. Call
A2
846,948
   
Build America Taxable Bond Series 2010A, 7.820%, 1/01/40
     
77,905
 
Total Illinois
   
94,028,176
   
Indiana – 0.9% (0.8% of Total Investments)
     
5,000
 
Indiana University, Consolidated Revenue Bonds, Build America Taxable Bonds, Series 2010B,
6/20 at 100.00
Aaa
5,539,550
   
5.636%, 6/01/35
     
   
Kentucky – 1.8% (1.5% of Total Investments)
     
5,000
 
Kentucky Municipal Power Agency, Power Supply System Revenue Bonds, Prairie State Project,
9/20 at 100.00
AA
8,486,750
   
Tender Option Bond Trust B002, 29.266%, 9/01/37 – AGC Insured (IF)
     
1,950
 
Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage
No Opt. Call
AA
2,614,346
   
System Revenue Bonds, Build America Taxable Bonds Series 2010A, 6.250%, 5/15/43
     
6,950
 
Total Kentucky
   
11,101,096
   
Louisiana – 3.7% (3.1% of Total Investments)
     
20,350
 
East Baton Rouge Sewerage Commission, Louisiana, Revenue Bonds, Build America Taxable Bonds,
2/20 at 100.00
AA
22,929,770
   
Series 2010B, 6.087%, 2/01/45 (UB) (4)
     
   
Massachusetts – 0.8% (0.7% of Total Investments)
     
2,000
 
Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Tender Option
No Opt. Call
AAA
5,040,600
   
Bond Trust T0004, 25.796%, 6/01/40 (IF) (4)
     
   
Michigan – 4.8% (4.1% of Total Investments)
     
8,905
 
Detroit City School District, Wayne County, Michigan, General Obligation Bonds, Build America
No Opt. Call
Aa2
11,774,458
   
Taxable Bond Series 2009B, 7.747%, 5/01/39
     
3,145
 
Michigan Tobacco Settlement Finance Authority, Tobacco Settlement Asset-Backed Revenue Bonds,
No Opt. Call
B2
2,793,420
   
Taxable Turbo Series 2006A, 7.309%, 6/01/34
     
13,955
 
Wayne County Building Authority, Michigan, General Obligation Bonds, Jail Facilities,
12/20 at 100.00
BBB–
15,223,928
   
Federally Taxable Recovery Zone Economic Development Series 2010, 10.000%, 12/01/40
     
26,005
 
Total Michigan
   
29,791,806
   
Missouri – 0.3% (0.2% of Total Investments)
     
1,290
 
Curators of the University of Missouri, System Facilities Revenue Bonds, Build America Taxable
No Opt. Call
AA+
1,674,188
   
Bonds, Series 2009A, 5.960%, 11/01/39
     
   
Nevada – 3.3% (2.8% of Total Investments)
     
8,810
 
Clark County, Nevada, Airport Revenue Bonds, Senior Lien Series 2009B, 6.881%, 7/01/42
7/19 at 100.00
AA–
10,219,248
1,800
 
Clark County, Nevada, Airport Revenue Bonds, Taxable Direct Payment Build America Bond Series
No Opt. Call
AA–
2,644,380
   
2010C, 6.820%, 7/01/45
     
1,315
 
Las Vegas, Nevada, Certificates of Participation, City Hall Project, Build America Federally
9/19 at 100.00
AA–
1,589,217
   
Taxable Bonds, Series 2009B, 7.800%, 9/01/39
     
5,250
 
North Las Vegas, Nevada, General Obligation Water and Wastewater Improvement Bonds, Build
No Opt. Call
BB–
4,757,550
   
America Taxable Bonds, Series 2010A, 6.572%, 6/01/40
     
1,035
 
Reno, Nevada, 1999 Special Assessment District 2 Local Improvement Bonds, ReTRAC Project,
No Opt. Call
BBB
1,063,928
   
Taxable Series 2006, 6.890%, 6/01/16
     
18,210
 
Total Nevada
   
20,274,323
   
New Jersey – 4.2% (3.5% of Total Investments)
     
130
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Build America
12/20 at 100.00
A2
145,276
   
Bonds Issuer Subsidy Program, Series 2010C, 6.104%, 12/15/28
     
4,755
 
New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2009F,
No Opt. Call
A+
7,187,087
   
7.414%, 1/01/40
     
12,535
 
New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2010A,
No Opt. Call
A+
18,358,510
   
7.102%, 1/01/41
     
17,420
 
Total New Jersey
   
25,690,873
   
New York – 13.5% (11.4% of Total Investments)
     
25,000
 
Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Build
No Opt. Call
AAA
31,813,250
   
America Taxable Bonds, Series 2010D, 5.600%, 3/15/40 (UB)
     
5,100
 
Long Island Power Authority, New York, Electric System Revenue Bonds, Build America Taxable
No Opt. Call
A–
5,877,648
   
Bond Series 2010B, 5.850%, 5/01/41
     
3,815
 
Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Build America
No Opt. Call
AA
5,844,542
   
Taxable Bonds, Series 2010C, 7.336%, 11/15/39
     
4,980
 
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Build America
No Opt. Call
AA–
6,233,864
   
Taxable Bonds, Series 2009A-1, 5.871%, 11/15/39
     
100
 
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Build America
No Opt. Call
AA–
136,452
   
Taxable Bonds, Series 2010B-1, 6.648%, 11/15/39
     
1,890
 
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
6/20 at 100.00
AA+
2,144,866
   
Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series AA,
     
   
5.790%, 6/15/41
     
2,595
 
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
No Opt. Call
AA+
3,495,699
   
Bonds, Second Generation Resolution, Build America Taxable Bonds, Series 2010DD,
     
   
5.952%, 6/15/42
     
2,025
 
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
No Opt. Call
AA+
2,727,857
   
Bonds, Second Generation Resolution, Build America Taxable Bonds, Series 2010DD,
     
   
5.952%, 6/15/42 (UB)
     
1,595
 
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
No Opt. Call
AA+
4,374,766
   
Bonds, Second Generation Resolution, Taxable Tender Option Bonds Trust T30001-2,
     
   
26.959%, 6/15/44 (IF)
     
6,340
 
New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Build
No Opt. Call
AA
8,470,430
   
America Taxable Bond Fiscal 2011 Series 2010S-1B, 6.828%, 7/15/40
     
10,000
 
New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Build
No Opt. Call
AAA
12,445,700
   
America Taxable Bonds, Series 2010G-1, 5.467%, 5/01/40 (4)
     
63,440
 
Total New York
   
83,565,074
   
Ohio – 5.5% (4.6% of Total Investments)
     
10,700
 
American Municipal Power Inc., Ohio, Combined Hydroelectric Projects Revenue Bonds, Build
No Opt. Call
A
16,274,165
   
America Bond Series 2010B, 7.834%, 2/15/41
     
25
 
JobsOhio Beverage System, Ohio, Statewide Liquor Profits Revenue Bonds, Senior Lien Taxable
No Opt. Call
AA
27,257
   
Series 2013B, 4.532%, 1/01/35
     
15,000
 
Northeast Ohio Regional Sewer District, Wastewater Improvement Revenue Bonds, Build America
11/20 at 100.00
AA+
17,493,300
   
Taxable Bonds, Series 2010, 6.038%, 11/15/40
     
25,725
 
Total Ohio
   
33,794,722
   
Oregon – 2.7% (2.3% of Total Investments)
     
4,000
 
Oregon Department of Administrative Services, Certificates of Participation, Federally Taxable
5/20 at 100.00
AA
6,983,800
   
Build America Bonds, Tender Option Bond Trust TN-011, 27.314%, 5/01/35 (IF) (4)
     
8,790
 
Warm Springs Reservation Confederated Tribes, Oregon, Tribal Economic Development Bonds,
No Opt. Call
A3
9,622,940
   
Hydroelectric Revenue Bonds, Pelton Round Butte Project, Refunding Series 2009A,
     
   
8.250%, 11/01/19
     
12,790
 
Total Oregon
   
16,606,740
   
Pennsylvania – 1.1% (0.9% of Total Investments)
     
1,915
 
Commonwealth Financing Authority, Pennsylvania, State Appropriation Lease Bonds, Build America
No Opt. Call
A+
2,353,688
   
Taxable Bonds, Series 2009D, 6.218%, 6/01/39
     
2,000
 
Pennsylvania State, General Obligation Bonds, Build America Taxable Bonds, Third Series 2010B,
7/20 at 100.00
Aa3
2,303,740
   
5.850%, 7/15/30
     
1,420
 
Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Build America Taxable Bonds, Series
No Opt. Call
A+
1,890,673
   
2009A, 6.105%, 12/01/39
     
5,335
 
Total Pennsylvania
   
6,548,101
   
South Carolina – 3.7% (3.1% of Total Investments)
     
7,220
 
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,
No Opt. Call
AA–
9,978,545
   
Federally Taxable Build America Series 2010C, 6.454%, 1/01/50
     
8,985
 
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,
No Opt. Call
AA–
12,417,899
   
Federally Taxable Build America, Series 2010C, 6.454%, 1/01/50 (UB)
     
205
 
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,
No Opt. Call
AA–
596,622
   
Federally Taxable Build America, Tender Option Bond Trust T30002, 28.411%, 1/01/50 (IF)
     
16,410
 
Total South Carolina
   
22,993,066
   
Tennessee – 1.6% (1.4% of Total Investments)
     
5,000
 
Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee,
No Opt. Call
A1
7,165,800
   
Tourism Tax Revenue Bonds, Build America Taxable Bonds, Series 2010A-2, 7.431%, 7/01/43
     
2,030
 
Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee,
No Opt. Call
Aa3
2,736,237
   
Tourism Tax Revenue Bonds, Build America Taxable Bonds, Subordinate Lien Series 2010B,
     
   
6.731%, 7/01/43
     
7,030
 
Total Tennessee
   
9,902,037
   
Texas – 10.0% (8.4% of Total Investments)
     
9,280
 
Dallas Convention Center Hotel Development Corporation, Texas, Hotel Revenue Bonds, Build
No Opt. Call
A+
12,540,435
   
America Taxable Bonds, Series 09B, 7.088%, 1/01/42
     
15,000
 
North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bond Series 2009B,
No Opt. Call
A2
21,845,250
   
6.718%, 1/01/49
     
10,000
 
North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bonds, Series
2/20 at 100.00
Baa3
12,142,900
   
2010-B2, 8.910%, 2/01/30
     
5,000
 
San Antonio, Texas, General Obligation Bonds, Build America Taxable Bonds, Series 2010B,
8/20 at 100.00
AAA
5,793,500
   
6.038%, 8/01/40
     
7,015
 
Texas State, General Obligation Bonds, Transportation Commission, Build America Taxable Bonds,
No Opt. Call
AAA
9,262,185
   
Series 2009A, 5.517%, 4/01/39
     
46,295
 
Total Texas
   
61,584,270
   
Utah – 0.9% (0.8% of Total Investments)
     
4,000
 
Central Utah Water Conservancy District, Utah, Revenue Bonds, Federally Taxable Build America
4/20 at 100.00
AA+
4,400,920
   
Bonds, Series 2010A, 5.700%, 10/01/40
     
1,000
 
Tooele County Municipal Building Authority, Utah, Lease Revenue Bonds, Build America Bond
12/20 at 100.00
A+
1,144,000
   
Series 2010A-2, 8.000%, 12/15/32
     
5,000
 
Total Utah
   
5,544,920
   
Virginia – 3.6% (3.1% of Total Investments)
     
14,800
 
Metropolitan Washington Airports Authority, Virginia, Dulles Toll Road Second Senior Lien
No Opt. Call
BBB+
20,313,148
   
Revenue Bonds, Build America Bonds, Series 2009D, 7.462%, 10/01/46 – AGC Insured
     
2,625
 
Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds,
No Opt. Call
B–
2,014,530
   
Refunding Senior Lien Series 2007A, 6.706%, 6/01/46
     
17,425
 
Total Virginia
   
22,327,678
   
Washington – 2.5% (2.1% of Total Investments)
     
4,000
 
Seattle, Washington, Municipal Light and Power Revenue Bonds, Federally Taxable Build America
No Opt. Call
AA
8,825,000
   
Bonds, Tender Option Bond Trust T0001, 24.504%, 2/01/40 (IF) (4)
     
5,015
 
Washington State Convention Center Public Facilities District, Lodging Tax Revenue Bonds,
No Opt. Call
Aa3
6,315,791
   
Build America Taxable Bond Series 2010B, 6.790%, 7/01/40
     
9,015
 
Total Washington
   
15,140,791
$ 554,715
 
Total Long-Term Investments (cost $599,779,982)
   
727,837,944
 
Principal
         
Amount (000)
 
Description (1)
Coupon
Maturity
Value
   
SHORT-TERM INVESTMENTS – 0.4% (0.3% of Total Investments)
     
$ 2,334
 
Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/14,
0.000%
1/02/15
$ 2,333,827
   
repurchase price $2,333,827, collateralized by $2,370,000 U.S. Treasury Notes,
     
   
1.500%, due 1/31/19, value $2,384,813
     
   
Total Short-Term Investments (cost $2,333,827)
   
2,333,827
   
Total Investments (cost $602,113,809) – 118.4%
   
730,171,771
   
Borrowings – (14.5)% (5), (6)
   
(89,500,000)
   
Floating Rate Obligations – (8.6)%
   
(53,090,000)
   
Other Assets Less Liabilities – 4.7% (7)
   
29,058,676
   
Net Assets – 100%
   
$ 616,640,447
 
 
 
 

 
 
 
Investments in Derivatives as of December 31, 2014
Interest Rate Swaps outstanding:
 
Counterparty
Notional
Amount
Fund
Pay/Receive
Floating
Rate
Floating
Rate
Index
Fixed Rate
(Annualized)
Fixed Rate
Payment
Frequency
Effective
Date (8)
Termination
Date
Value
Unrealized
Appreciation
(Depreciation) (7)
Barclays Bank PLC*
$ 47,600,000
Receive
3-Month USD-LIBOR-BBA
3.219%
Semi-Annually
1/15/16
1/15/44
$ (3,855,867)
$ (3,857,095)
Barclays Bank PLC*
46,500,000
Receive
3-Month USD-LIBOR-BBA
3.502
Semi-Annually
6/15/15
6/15/44
(7,253,156)
(7,254,369)
Morgan Stanley
121,000,000
Receive
1-Month USD-LIBOR-BBA
1.500
Monthly
12/01/15
12/01/19
(587,629)
(587,629)
 
$215,100,000
           
$(11,696,652)
$(11,699,093)
* Citigroup is the clearing broker for this transaction.
 
Fair Value Measurements
 
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using significant unobservable inputs (including management's assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of the end of the reporting period:
         
 
Level 1
Level 2
Level 3
Total
Long-Term Investments:
       
Municipal Bonds
$ —
$727,837,944
$ —
$727,837,944
Short-Term Investments:
       
Repurchase Agreements
2,333,827
2,333,827
Investments in Derivatives:
       
Interest Rate Swaps*
(11,699,093)
(11,699,093)
Total
$ —
$718,472,678
$ —
$718,472,678
* Represents net unrealized appreciation (depreciation).
 
Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
As of December 31, 2014, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives) was $550,467,343.
 
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of December 31, 2014, were as follows:
   
Gross unrealized:
 
Appreciation
$126,862,934 
Depreciation
(252,327)
Net unrealized appreciation (depreciation) of investments
$126,610,607 
     
(1)
 
All percentages shown in the Portfolio of Investments are based on net assets unless otherwise noted.
(2)
 
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption.
   
There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities
   
may be subject to periodic principal paydowns.
(3)
 
Ratings: Using the highest of Standard & Poor’s Group ("Standard & Poor's"), Moody’s Investors Service,
   
Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s
   
or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated
   
by any of these national rating agencies.
(4)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for
   
investments in derivatives and/or inverse floating rate transactions.
(5)
 
Borrowings as a percentage of Total Investments is 12.3%.
(6)
 
The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral
   
for Borrowings.
(7)
 
Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative
   
instruments as listed within Investments in Derivatives as of the end of the reporting period.
(8)
 
Effective date represents the date on which both the Fund and Counterparty commence interest
   
payment accruals on each contract.
(IF)
 
Inverse floating rate investment.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction.
USD-LIBOR-BBA
 
United States Dollar-London Inter-Bank Offered Rate-British Bankers’ Association.
 
 
 
 

 
 
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 this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (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.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: See EX-99 CERT 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)  Nuveen Build America Bond Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:         February 27, 2015        
 
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/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date:         February 27, 2015        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         February 27, 2015