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:         6/30/10         
 
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)      
  June 30, 2010      
Principal   Optional Call    
Amount (000) Description (1) Provisions (2) Ratings (3) Value
  Alabama – 1.0% (0.8% of Total Investments)      
$ 5,000  Hartselle, Alabama, General Obligation Bonds, Federally Taxable Build America Bonds, Series  6/20 at 100.00  AAA  $ 5,126,200 
  2010, 6.200%, 6/01/39       
  Arizona – 2.9% (2.4% of Total Investments)      
5,000  Arizona Board of Regents, Univeristy of Arizona, System Revenue Bonds, Build America Taxable  8/20 at 100.00  AA–  5,127,550 
  Bonds, Series 2010A, 6.423%, 8/01/35       
10,000  Mesa, Arizona, Utility System Revenue Bonds, Series 2010, 6.100%, 7/01/34  No Opt. Call  Aa2  10,263,400 
15,000  Total Arizona      15,390,950 
  California – 19.4% (16.2% of Total Investments)      
500  California Infrastructure Economic Development Bond Bank, Revenue Bonds, University of  No Opt. Call  Aa2  560,805 
  California San Francisco Neurosciences Building, Build America Taxable Bond Series 2010B,       
  6.486%, 5/15/49       
9,000  California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build  3/20 at 100.00  A2  9,229,500 
  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  7,615,230 
  2010B, 6.484%, 11/01/41       
10,000  California State, General Obligation Bonds, Various Purpose Build America Taxable Bond Series  3/20 at 100.00  A1  10,653,500 
  2010, 7.950%, 3/01/36       
3,000  Fresno, California, Water System Revenue Bonds, Build America Taxable Bond Series 2010A-2,  No Opt. Call  A  3,379,110 
  6.750%, 6/01/40       
20,000  Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally  No Opt. Call  AA–  20,238,600 
  Taxable – Direct Payment – Build America Bonds, Series 2010A, 5.716%, 7/01/39       
9,520  Napa Valley Unified School District, Napa County, California, General Obligation Bonds, Build  No Opt. Call  Aa2  10,459,719 
  America Taxable Bond Series 2010B, 6.507%, 8/01/43       
5,000  Orange County Sanitation District, California, Wastewater Revenue Bonds, Build America Taxable  No Opt. Call  AAA  5,305,550 
  Bond Series 2010A, 5.580%, 2/01/40       
6,175  Pacifica, California, General Obligiation Taxable Pension Bonds, Series 2010, 6.899%, 6/01/30 –  6/20 at 100.00  AAA  6,244,716 
  AGM Insured       
2,355  San Bernardino Community College District, California, General Obligation Bonds, Election of  No Opt. Call  AA–  2,780,643 
  2008, Build America Taxable Bond Series 2009C, 7.630%, 8/01/44       
7,840  San Francisco City and County Redevelopment Financing Authority, California, Taxable Tax  No Opt. Call  A1  8,669,942 
  Allocation Revenue Bonds, San Francisco Redevelopment Projects, Series 2009F, 8.406%, 8/01/39       
4,000  San Francisco City and County, California, Certificates of Participation, 525 Golden Gate  No Opt. Call  AA–  4,901,200 
  Avenue, San Francisco Public Utilities Commission Office Project, Tender Option Bond Trust       
  B001, 30.322%, 11/01/30 (IF)       
2,000  Santa Barbara County, California, Certificates of Participation, Recovery Zone Economic  No Opt. Call  AA+  2,027,240 
  Development Taxable Bonds, Series 2010A-2, 6.250%, 12/01/40       
5,000  Walnut Energy Center Authority, California, Electric Revenue Bonds, Turlock Irrigation  No Opt. Call  A+  5,097,700 
  District, Build America Taxable Bonds, Series 2010B, 6.230%, 1/01/29       
5,000  West Kern Water District, California, Certificates of Participation, Land Acquistion Project,  No Opt. Call  AA–  5,401,850 
  Build America Bonds, Series 10B, 6.720%, 6/01/40       
96,390  Total California      102,565,305 
  Colorado – 2.8% (2.3% of Total Investments)      
2,000  Mesa County, Colorado, Certificates of Participation, Build America Taxable Bonds, Series  12/20 at 100.00  Aa3  2,056,740 
  2010A, 6.371%, 12/01/30       
3,000  Mesa State College, Colorado, Auxiliary Facilities Enterprise Revenue Bonds, Build America  No Opt. Call  Aa2  3,360,600 
  Taxable Bond Series 2010B, 6.746%, 5/15/42       
1,000  Metropolitan State College of Denver, Colorado, Institutional Enterprise Revenue Bonds,  No Opt. Call  Aa2  1,035,670 
  Federally Taxable Build America Bonds, Recovery Zone Eonomic Development Project, Series 2010,       
  6.000%, 12/01/40       
5,000  St. Vrain Valley School District RE-1J, Boulder, Larimer and Weld Counties, Colorado, General  12/20 at 100.00  Aa2  5,116,400 
  Obligation Bonds, Build America Taxable Bond Series 2010B, 5.790%, 12/15/33       
3,000  Westminster County, Colorado, Water and Wastewater Utility Enterprise Revenue Bonds, Build  12/20 at 100.00  AA  3,111,120 
  America Taxable Bonds, Series 2010, 5.818%, 12/01/30       
14,000  Total Colorado      14,680,530 
  Connecticut – 1.3% (1.1% of Total Investments)      
6,000  Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue  4/20 at 100.00  N/R  6,841,860 
  Bonds, Harbor Point Project, Federally Taxable – Issuer Subsidy – Recovery Zone Economic       
  Development Bond Series 2010B, 12.500%, 4/01/39       
  Florida – 7.7% (6.4% of Total Investments)      
10,000  Cape Coral, Florida, Gas Tax Revenue Bonds, Federally Taxable Build America Bonds – Direct  10/20 at 100.00  A2  10,631,300 
  Payment, Series 2010B, 7.147%, 10/01/30       
6,195  Florida State Board of Education, Public Education Capital Outlay Bonds, Build America Taxable  6/19 at 100.00  AAA  6,471,359 
  Bonds, Series 2010G, 5.750%, 6/01/35       
12,080  Lee Memorial Health System, Florida, Hospital Revenue Bonds, Build America Taxable Bond Series  No Opt. Call  A  13,258,162 
  2010A, 7.281%, 4/01/27       
9,575  Orlando Community Redevelopment Agency, Florida, Tax Increment Revenue Bonds, Downtown  9/20 at 100.00  A1  10,182,725 
  District, Direct Subsidy Build America Table Bond Series 2010B, 7.784%, 9/01/40       
37,850  Total Florida      40,543,546 
  Georgia – 4.7% (4.0% of Total Investments)      
10,000  Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project J Bonds, Taxable Build  No Opt. Call  A+  9,904,700 
  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–  15,061,350 
  Taxable Build America Bonds Series 2010A, 7.055%, 4/01/57       
25,000  Total Georgia      24,966,050 
  Illinois – 4.9% (4.1% of Total Investments)      
3,750  Chicago, Illinois, General Airport Revenue Bonds, O’Hare International Airport, Third Lien,  1/20 at 100.00  A1  3,990,938 
  Build America Taxable Bond Series 2010B, 6.845%, 1/01/38       
2,400  Cook County School District 151 South Holland, Illinois, General Obligation Bonds, Build  2/20 at 100.00  AA–  2,435,448 
  America Taxable Bonds, Series 2010B, 6.125%, 2/01/30       
5,000  Cook County, Illinois, General Obligation Bonds, Build America Taxable Bonds, Series 2010D,  No Opt. Call  AA  5,035,850 
  6.229%, 11/15/34       
13,875  Illinois State, General Obligation Bonds, Taxable Build America Bonds, Series 2010-3,  No Opt. Call  A+  13,768,995 
  6.725%, 4/01/35       
450  Lakewood, Illinois, General Obligation Bonds, Waterworks & Sewer Alternative Revenue Source,  12/19 at 100.00  AAA  463,167 
  Build America Taxable Bond Series 2010A, 6.300%, 12/01/34       
25,475  Total Illinois      25,694,398 
  Indiana – 4.1% (3.4% of Total Investments)      
  Evansville Redevelopment Authority, Indiana, Lease Rental Revenue Bonds, Build America Taxable       
  Bond Series 2010B:       
1,250  6.960%, 2/01/34  8/20 at 100.00  Aa3  1,295,700 
9,500  7.210%, 2/01/39  8/20 at 100.00  Aa3  9,864,420 
5,000  Indiana University, Consolidated Revenue Bonds, Build America Taxable Bonds, Series 2010B,  6/20 at 100.00  Aaa  5,070,300 
  5.636%, 6/01/35       
5,000  Speedway Redevelopment Authority, Indiana, Lease Rental Revenue Bonds, Federally Taxable Build  No Opt. Call  A+  5,346,700 
  America Bonds, Series 2010A, 6.512%, 2/01/35       
20,750  Total Indiana      21,577,120 
  Kansas – 0.4% (0.3% of Total Investments)      
2,105  Wallace County, Kansas, General Obligation Bonds, Build America Taxable Series 2010B,  No Opt. Call  A  2,171,097 
  6.449%, 9/01/30       
  Kentucky – 1.2% (1.0% of Total Investments)      
5,000  Kentucky Municipal Power Agency, Power Supply System Revenue Bonds, Prairie State Project,  9/20 at 100.00  AAA  6,426,850 
  Tender Option Bond Trust B002, 28.592%, 9/01/37 – AGM Insured (IF)       
  Louisiana – 3.9% (3.3% of Total Investments)      
20,000  East Baton Rouge Sewage Commission, Louisiana, Revenue Bonds, Build America Taxable Bonds,  2/20 at 100.00  Aa2  20,639,000 
  Series 2010B, 6.087%, 2/01/45       
  Michigan – 8.4% (7.1% of Total Investments)      
  Belding School District, Ionia, Kent and Montcalm Counties, Michigan, General Obligation       
  Bonds, Build America Series 2010B:       
1,000  6.520%, 5/01/30  5/20 at 100.00  AA–  1,041,120 
1,500  6.620%, 5/01/35  5/20 at 100.00  AA–  1,550,175 
14,650  Detroit City School District, Wayne County, Michigan State, Unlimited Tax General Obligation,  No Opt. Call  Aa2  16,694,114 
  Build America Bonds, Taxable – Direct Payment Bonds, Series 2009B, 7.747%, 5/01/39       
4,500  Hartland Consolidated School District, Livingston County, Michigan, General Obligation Bonds,  5/20 at 100.00  AA–  4,597,605 
  Build America Taxable Bond Series 2010C, 6.550%, 5/01/35       
5,000  Jackson Public Schools, Jackson County, Michigan, General Obligation Bonds, Qualified School  5/20 at 100.00  Aa2  5,191,150 
  Construction Bonds – Taxable Direct Payment, Series 2010B, 6.450%, 5/01/27       
1,170  Michigan Tobacco Settlement Finance Authority, Tobacco Settlement Asset-Backed Revenue Bonds,  6/22 at 100.00  BBB  893,155 
  Taxable Turbo Series 2006A, 7.309%, 6/01/34       
  Monroe, Michigan, Limited Tax General Obligation Bonds, Taxable Recovery Zone Economic       
  Development Bonds, Series 2010:       
950  6.650%, 5/01/27  5/20 at 100.00  A+  982,443 
1,000  6.800%, 5/01/29  5/20 at 100.00  A+  1,030,960 
1,000  7.000%, 5/01/31  5/20 at 100.00  A+  1,029,940 
  Van Dyke Public Schools, Macomb County, Michigan, General Obligation Bonds, Federally Taxable       
  Build America Bonds , Series 2010:       
4,500  6.550%, 5/01/35  5/20 at 100.00  AA–  4,620,870 
6,740  6.600%, 5/01/40  5/20 at 100.00  AA–  6,910,657 
42,010  Total Michigan      44,542,189 
  Missouri – 0.4% (0.4% of Total Investments)      
1,900  Missouri Joint Municipal Electric Utility Commission, Power Project Revenue Bonds, Prairie  1/19 at 100.00  A3  2,248,080 
  State Project, Federally Taxable Build America Bonds – Direct Pay, Series 2009A, 6.890%, 1/01/42       
  Nebraska – 0.3% (0.3% of Total Investments)      
1,670  District Energy Corporation, Nebraska, Facility Revenue Bonds, Build America Taxable Bonds,  7/20 at 100.00  Aa1  1,725,411 
  Series 2010B, 5.901%, 7/01/32       
  Nevada – 1.1% (0.9% of Total Investments)      
1,165  Las Vegas, Nevada, Certificates of Participation, City Hall Project, Build America Federally  9/19 at 100.00  Aa2  1,302,039 
  Taxable Bonds, Series 2009B, 7.800%, 9/01/39       
4,000  North Las Vegas, Nevada, General Obligation Water and Wastewater Improvement Bonds, Build  No Opt. Call  Aa2  4,289,160 
  America Taxable Bonds, Series 2010A, 6.572%, 6/01/40       
5,165  Total Nevada      5,591,199 
  New York – 12.8% (10.7% of Total Investments)      
25,000  Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Build  12/10 at 100.00  AAA  25,696,000 
  America Taxable Bonds, Series 2010D, 5.600%, 3/15/40       
10,000  Long Island Power Authority, New York, Electric System Revenue Bonds, Build America Taxable  No Opt. Call  A–  10,479,300 
  Bond Series 2010B, 5.850%, 5/01/41       
4,620  New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue  No Opt. Call  AA+  4,976,433 
  Bonds, Second Generation Resolution, Taxable Build America Bonds, Series 2010DD, 5.952%, 6/15/42       
25,000  New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Build  No Opt. Call  AAA  26,329,500 
  America Taxable Bonds, Series 2010G-1, 5.467%, 5/01/40 (5)       
64,620  Total New York      67,481,233 
  North Carolina – 1.4% (1.2% of Total Investments)      
4,785  East Carolina University, North Carolina, General Revenue Bonds, Build America Taxable Bond  10/20 at 100.00  Aa2  5,000,038 
  Series 2010B, 5.875%, 10/01/35       
2,500  High Point, North Carolina, Combined Enterprise System Revenue Bonds, Build America Taxable  11/20 at 100.00  AA+  2,563,500 
  Bonds, Series 2010B, 5.921%, 11/01/35       
7,285  Total North Carolina      7,563,538 
  Ohio – 4.3% (3.6% of Total Investments)      
500  American Municipal Power Inc., Ohio, Combined Hydroelectric Projects Revenue Bonds, Federally  No Opt. Call  A  541,040 
  Taxable Build America Bonds, Series 2009B, 6.424%, 2/15/32       
10,000  Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue  6/17 at 100.00  BBB  7,171,200 
  Bonds, Senior Lien, Series 2007A-2, 5.875%, 6/01/47       
9,490  Franklin County Convention Facilities Authority, Ohio, Lease Revenue Anticipation Bonds,  No Opt. Call  AA  10,112,829 
  Federally Taxable Direct Payment Build America Bonds, Series 2010, 6.640%, 12/01/42       
5,000  Lucas County, Ohio, General Obligation Bonds, Taxable Arena improvement Series 2010,  10/20 at 100.00  Aa2  5,129,400 
  6.150%, 10/01/40       
24,990  Total Ohio      22,954,469 
  Oklahoma – 0.4% (0.3% of Total Investments)      
2,000  Tulsa County Industrial Authority, Oklahoma, Educational Facilities Lease Revenue Bonds, Sand  No Opt. Call  A  2,088,400 
  Springs Public Schools Project, Federally Taxable Build America Bonds, Series 2010A, 6.129%, 9/01/24       
  Oregon – 3.0% (2.5% of Total Investments)      
4,000  Oregon Department of Administrative Services, Certificates of Participation, Federally Taxable  5/20 at 100.00  Aa2  4,743,920 
  Build America Bonds, Tender Option Bond Trust TN-011, 26.975%, 5/01/35 (IF)       
10,230  Warm Springs Reservation Confederated Tribes, Oregon, Tribal Economic Development Bonds,  No Opt. Call  A3  11,199,906 
  Hydroelectric Revenue Bonds, Pelton Round Butte Project, Refunding Series 2009A, 8.250%, 11/01/19       
14,230  Total Oregon      15,943,826 
  Pennsylvania – 4.1% (3.4% of Total Investments)      
4,510  Haverford Township School District, Delaware County, Pennsylvania, General Obligation Bonds,  3/20 at 100.00  AAA  4,698,924 
  Federally Taxable Build America Bonds, Series 2010, 6.004%, 3/01/35 – AGC Insured       
3,000  New Castle Sanitation Authority, Lawrence County, Pennsylvania, Sewer Revenue Bonds, Build  6/20 at 100.00  A  3,053,730 
  America Taxable Bonds, Series 2010A, 6.506%, 6/01/41 (WI/DD, Settling 7/15/10) – AGM Insured       
13,095  Uniontown Area School District, Fayette County, Pennsylvania, General Obligation Bonds,  10/20 at 100.00  Aa3  13,658,085 
  Federally Taxable Build America Bonds, Series 2010, 6.261%, 10/01/39       
20,605  Total Pennsylvania      21,410,739 
  South Dakota – 0.4% (0.3% of Total Investments)      
2,000  South Dakota Health and Educational Facilities Authority, Recovery Zone Economic Development  8/20 at 100.00  Aa2  1,991,880 
  Revenue Bonds, Vocational Education Program, Federally Taxable Series 2010, 6.250%, 8/01/39       
  (WI/DD, Settling 7/02/10)       
  Tennessee – 3.2% (2.7% of Total Investments)      
15,000  Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennesse,  No Opt. Call  A1  16,953,300 
  Tourism Tax Revenue Bonds, Build America Taxable Bonds, Series 2010A-2, 7.431%, 7/01/43       
  Texas – 7.5% (6.3% of Total Investments)      
1,650  Cameron County Regional Mobility Authority, Texas, Vehicle Registration Fee Revenue Bonds,  2/20 at 100.00  AA–  1,761,721 
  Federally Taxable Build America Series 2010B, 6.552%, 2/15/36       
10,000  North Texas Tollway Authority, System Revenue Bonds, Subordinate Lien Taxable Revenue Bonds,  2/20 at 100.00  Baa3  10,039,400 
  Federally Taxable Build America Bonds, Series 2010-B2, 8.910%, 2/01/30       
20,000  North Texas Tollway Authority, System Revenue Bonds, Taxble Build America Bond Series 2009B,  No Opt. Call  A2  22,625,000 
  6.718%, 1/01/49       
5,000  San Antonio, Texas, General Obligation Bonds, Build America Taxable Bonds, Series 2010B,  8/20 at 100.00  AAA  5,178,450 
  6.038%, 8/01/40 (WI/DD, Settling 7/13/10)       
36,650  Total Texas      39,604,571 
  Utah – 2.4% (2.0% of Total Investments)      
5,000  Central Utah Water Conservancy District, Utah, Revenue Bonds, Federally Taxable Build America  4/20 at 100.00  AA+  5,093,100 
  Bonds, Series 2010A, 5.700%, 10/01/40       
6,510  Midvale Redevelopment Agency, Utah, Tax Increment and Sales Tax Revenue Bonds, Federally  5/20 at 100.00  AAA  6,672,685 
  Taxable Build America Bonds, Series 2010, 6.250%, 5/01/34 – AGM Insured       
775  North Salt Lake, Utah, Sales Tax Revenue Bonds, Build America Taxable Bond Series 2010,  12/19 at 100.00  AA–  794,701 
  5.800%, 6/15/30       
12,285  Total Utah      12,560,486 
  Vermont – 1.0% (0.9% of Total Investments)      
5,000  University of Vermont and State Agricultural College, Revenue Bonds, Build America Bonds  No Opt. Call  Aa3  5,401,400 
  Series 2010, 6.428%, 10/01/44       
  Virgin Islands – 2.7% (2.3% of Total Investments)      
12,500  Virgin Islands Water and Power Authority, Electric System Revenue Bonds, Build America Taxable  No Opt. Call  AAA  14,221,125 
  Bonds Series 2010C, 6.850%, 7/01/35 – AGM Insured       
  Virginia – 2.4% (2.0% of Total Investments)      
1,135  Metropolitan Washington DC Airports Authority, Virginia, Dulles Toll Raod Revenue Bonds,  No Opt. Call  BBB+  1,308,110 
  Series 2009D, 7.462%, 10/01/46 – AGC Insured       
10,000  Metropolitan Washington DC Airports Authority, Virginia, Dulles Toll Road Revenue Bonds,  No Opt. Call  BBB  10,757,600 
  Dulles Metrorail Capital Improvement Project, Build America Taxable Bonds, Series 2010D,       
  8.000%, 10/01/47       
1,025  Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds,  6/12 at 100.00  BBB  691,137 
  Refunding Senior Lien Series 2007A1, 6.706%, 6/01/46       
12,160  Total Virginia      12,756,847 
  Washington – 6.7% (5.6% of Total Investments)      
  Auburn, Washington, Limited Tax General Obligation Bonds, Taxable Build America Bonds,       
  Series 2010B:       
5,645  6.193%, 12/01/34  6/20 at 100.00  AA  5,857,647 
6,465  6.243%, 12/01/39  6/20 at 100.00  AA  6,757,735 
1,885  Bremerton, Washington, General Obligation Bonds, Build America Taxable Bonds, Series 2010B,  No Opt. Call  A1  1,916,271 
  6.129%, 9/01/35       
5,000  Grays Harbor County Public Utility District 1, Washington, Electric System Revenue Bonds,  No Opt. Call  A1  5,696,000 
  Taxable Build America Bonds – Direct Payment, Series 2010A, 6.707%, 7/01/40       
10,000  King County Public Hospital District 1, Washington, Hospital Facilities Revenue Bonds, Valley  6/20 at 100.00  BBB+  10,191,500 
  Medical Center, Build America Taxable Bonds, Series 2010B, 8.000%, 6/15/40       
4,000  Seattle, Washington, Municipal Light and Power Revenue Bonds, Federally Taxable Build America  No Opt. Call  Aa2  5,030,120 
  Bonds, Tender Option Bond Trust T0001, 24.149%, 2/01/40 (IF)       
32,995  Total Washington      35,449,273 
  Wyoming – 1.0% (0.8% of Total Investments)      
5,000  University of Wyoming, Facilities Improvement Revenue Bonds, Build America Taxable Bond Series  6/20 at 100.00  Aa2  5,139,400 
  2010C, 5.800%, 6/01/30       
$ 590,635  Total Long-Term Investments (cost $601,806,108) – 117.8%      622,250,272 
Principal        
Amount (000) Description (1)     Value
  Short-Term Investments – 1.7% (1.4% of Total Investments)      
$     8,820  State Street Bank Euro Dollar Time Deposit, 0.010%, 7/01/10      $    8,819,998 
  Total Short-Term Investments (cost $8,819,998)      8,819,998 
  Total Investments (cost $610,626,106) – 119.5%      631,070,270 
  Borrowings – (17.4)% (4)      (92,000,000)
  Other Assets Less Liabilities – (2.1)%      (10,919,993)
  Net Assets Applicable to Common Shares – 100%      $ 528,150,277 

 
Investments in Derivatives              
Forward Swaps outstanding at June 30, 2010:            
    Fund     Fixed Rate     Unrealized
  Notional Pay/Receive Floating Rate Fixed Rate Payment Effective Termination Appreciation
Counterparty Amount Floating Rate Index (Annualized) Frequency Date (6) Date (Depreciation)
Morgan Stanley  $35,000,000  Receive  3-Month USD-LIBOR  4.136%  Semi-Annually  6/29/11  6/29/40  $(1,596,000) 
Morgan Stanley  35,000,000  Receive  3-Month USD-LIBOR  4.260  Semi-Annually  6/29/11  6/29/40  (2,355,500) 
Morgan Stanley  40,000,000  Receive  3-Month USD-LIBOR  4.198  Semi-Annually  7/08/11  7/08/40  (2,212,000) 
                $(6,163,500) 

Fair Value Measurements
 
In determining the value of the Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
 
  Level 1 – Quoted prices in active markets for identical securities.
 
  Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
  Level 3 – 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 risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of June 30, 2010:
 
  Level 1 Level 2 Level 3 Total
Investments:         
Municipal Bonds  $ —  $622,250,272  $ —  $622,250,272 
Short-Term Investments  8,819,998  —  —  8,819,998 
Derivatives:         
Forward Swaps*  —  (6,163,500)  —  (6,163,500) 
Total  $8,819,998  $616,086,772  $ —  $624,906,770 
* Represents net unrealized appreciation (depreciation).         

Derivative Instruments and Hedging Activities
 
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
 
The following table presents the fair value of all derivative instruments held by the Fund as of June 30, 2010, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.
 
      Location on the Statement of Assets and Liabilities  
Underlying Derivative Asset Derivatives Liability Derivatives
Risk Exposure Instrument Location Value Location Value
Interest Rate  Forward Swaps  Unrealized appreciation on  $ —  Unrealized depreciation on  $6,163,500 
    forward swaps*    forward swaps*   
* Represents cumulative appreciation (depreciation) of forward swap contracts as reported in the Portfolio of Investments.   

Income Tax Information
 
The following information is determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States.
 
At June 30, 2010, the cost of investments was $610,626,104.
 
Gross unrealized appreciation and gross unrealized depreciation of investments at June 30, 2010, were as follows:
 
Gross unrealized:   
    Appreciation  $21,784,715 
    Depreciation  (1,340,549)
Net unrealized appreciation (depreciation) of investments  $20,444,166 
 
 
(1)  All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
  shares 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 Investor 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. 
(4)  Borrowings as a percentage of Total Investments is 14.6%. 
(5)  Investment, or portion of investment, has been pledged to collateralize the net payment obligations for 
  investments in derivatives. 
(6)  Effective date represents the date on which both the Fund and Counterparty commence interest payment 
  accruals on each forward swap contract. 
N/R  Not rated. 
WI/DD  Purchased on a when-issued or delayed delivery basis. 
(IF)  Inverse floating rate investment. 
USD-LIBOR  United States Dollar-London Inter-Bank Offered Rate 
 
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         August 27, 2010        
 
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         August 27, 2010        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date         August 27, 2010