BlackRock Build America Bond Trust

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 811-22426

Name of Fund:  BlackRock Build America Bond Trust (BBN)

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Build America

        Bond Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 07/31/2015

Date of reporting period: 10/31/2014

Item 1 – Schedule of Investments

Schedule of Investments October 31, 2014 (Unaudited)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Arizona — 2.9%

  

  

City of Phoenix Arizona Civic Improvement Corp., RB, Sub-Series C (NPFGC), 6.00%, 7/01/35 (a)

    $ 10,000      $ 10,389,200   

Salt River Project Agricultural Improvement & Power District, RB, Build America Bonds, Series A, 4.84%, 1/01/41 (a)

      25,000        28,441,500   
    

 

 

  
               38,830,700   

California — 32.8%

  

  

Bay Area Toll Authority, RB, Build America Bonds:

     

Series S-1, 6.92%, 4/01/40

      13,700        18,730,914   

Series S-3, 6.91%, 10/01/50

      14,000        20,100,220   

California Infrastructure & Economic Development Bank, RB, Build America Bonds, 6.49%, 5/15/49

      2,790        3,355,142   

City of San Francisco Public Utilities Commission, RB, Build America Bonds, Sub-Series E, 6.00%, 11/01/40 (a)

      21,255        26,791,290   

City of San Jose California, Refunding ARB, Series B (AGM), 6.60%, 3/01/41

      10,000        11,298,100   

County of Alameda California Joint Powers Authority, RB, Build America Bonds, Recovery Zone,
Series A, 7.05%, 12/01/44 (a)

      13,300        17,282,020   

County of Orange California Local Transportation Authority, Refunding RB, Build America Bonds, Series A, 6.91%, 2/15/41

      5,000        6,892,550   

County of Sonoma California, Refunding RB, Series A, 6.00%, 12/01/29

      14,345        16,498,041   

Los Angeles Community College District California, GO, Build America Bonds, 6.60%, 8/01/42 (a)

      10,000        13,805,400   

Los Angeles Department of Water & Power, RB, Build America Bonds (a):

     

6.17%, 7/01/40

      37,500        42,165,750   

7.00%, 7/01/41

      17,225        20,301,041   

Metropolitan Water District of Southern California, RB, Build America Bonds, Series A, 6.95%, 7/01/40 (a)

      12,000        14,311,320   
Municipal Bonds   

Par  

(000)

     Value  

California (concluded)

  

  

Palomar Community College District, GO, Build America Bonds, Series B-1, 7.19%, 8/01/45

    $ 8,500      $ 9,829,570   

Rancho Water District Financing Authority, RB, Build America Bonds, Series A, 6.34%, 8/01/40 (a)

      20,000        22,520,400   

Riverside Community College District, GO, Build America Bonds, Series D-1, 7.02%, 8/01/40

      11,000        12,715,450   

San Diego County Regional Airport Authority, RB, Series B, 5.59%, 7/01/43

      5,000        5,521,050   

San Diego County Regional Airport Authority, Refunding RB, Build America Bonds, Sub-Series C, 6.63%, 7/01/40

      32,100        36,354,534   

San Diego Tobacco Settlement Revenue Funding Corp., RB, Asset-Backed, 7.13%, 6/01/32

      2,450        2,382,233   

State of California, GO, Build America Bonds, Various Purpose:

     

7.55%, 4/01/39 (a)

      9,035        13,537,412   

7.63%, 3/01/40 (a)

      8,950        13,363,603   

7.60%, 11/01/40

      15,000        22,703,250   

State of California Public Works Board, RB, Build America Bonds, Series G-2, 8.36%, 10/01/34 (a)

      18,145        26,206,642   

University of California, RB, Build America Bonds (a):

     

5.95%, 5/15/45

      24,000        30,216,480   

6.30%, 5/15/50

      27,010        31,659,501   
    

 

 

  
               438,541,913   

Colorado — 3.8%

     

City & County of Denver Colorado School District No. 1, COP, Refunding, Series B, 7.02%, 12/15/37 (a)

      6,000        8,023,140   

Regional Transportation District, COP, Build America Bonds, Series B, 7.67%, 6/01/40

      28,000        36,619,520   

State of Colorado, COP, Build America Bonds, Series E, 7.02%, 3/15/31

      5,000        5,752,850   
    

 

 

  
               50,395,510   

Connecticut — 1.1%

     

Town of Stratford Connecticut, GO, 6.00%, 8/15/38

      12,000        14,377,200   

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014    1

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

District of Columbia — 2.3%

     

Metropolitan Washington Airport Authority, RB, Build America Bonds, Series D, 8.00%, 10/01/47

    $ 10,750      $ 14,512,070   

Washington Convention & Sports Authority, Refunding RB, Series C, 7.00%, 10/01/40

      15,000        16,738,650   
    

 

 

  
               31,250,720   

Florida — 4.5%

     

City of Sunrise Florida Utility System, RB, Build America Bonds, Series B, 5.91%, 10/01/35 (a)

      25,000        28,643,250   

County of Pasco Florida Water & Sewer, RB, Build America Bonds, Series B, 6.76%, 10/01/39

      1,500        1,701,675   

Town of Davie Florida Water & Sewer, RB, Build America Bonds, Series B (AGM), 6.85%, 10/01/40

      2,500        2,935,675   

Village Center Community Development District, Refunding RB (b):

     

4.76%, 11/01/29

      7,340        7,408,409   

5.02%, 11/01/36

      13,500        13,623,660   

Village Center Community Development District Utility Revenue, Refunding RB, Little Sumter Service Area (b):

     

4.76%, 10/01/29

      1,800        1,818,468   

5.02%, 10/01/36

      4,500        4,541,175   
    

 

 

  
               60,672,312   

Georgia — 5.5%

     

Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A:

     

6.64%, 4/01/57

      28,084        35,680,160   

6.66%, 4/01/57

      20,665        25,965,573   

7.06%, 4/01/57

      10,000        11,669,200   
    

 

 

  
               73,314,933   

Hawaii — 2.5%

     

University of Hawaii, RB, Build America Bonds, Series B-1, 6.03%, 10/01/40

      30,500        34,147,495   

Illinois — 21.7%

     

Chicago Board of Education, GO, Build America Bonds, 6.52%, 12/01/40

      11,000        11,161,370   
Municipal Bonds   

Par  

(000)

     Value  

Illinois (concluded)

     

Chicago Transit Authority, RB:

     

Build America Bonds, Series B, 6.20%, 12/01/40 (a)

    $ 16,015      $ 18,645,784   

Series A, 6.90%, 12/01/40 (a)

      4,075        5,058,298   

Series B, 6.90%, 12/01/40

      4,900        6,082,370   

City of Chicago, GO, Refunding Series B, 6.31%, 1/01/44

      4,000        4,090,160   

City of Chicago Illinois, GO:

     

Build America Bonds, Series B, 7.52%, 1/01/40

      12,665        14,180,747   

Taxable Project, Recovery Zone, Series D, 6.26%, 1/01/40

      31,625        31,263,842   

City of Chicago Illinois, Refunding ARB, O’Hare International Airport, General 3rd Lien, Build America Bonds, Series B:

     

6.85%, 1/01/38 (a)

      30,110        33,796,367   

6.40%, 1/01/40

      1,500        1,901,175   

City of Chicago Illinois Wastewater Transmission, RB, Build America Bonds, Series B, 6.90%, 1/01/40 (a)

      36,000        43,210,440   

City of Chicago Illinois Waterworks Transmission, RB, Build America Bonds, 2nd Lien, Series B, 6.74%, 11/01/40

      15,250        19,707,270   

County of Cook Illinois, GO, Build America Bonds, Series D, 6.23%, 11/15/34 (a)

      19,900        22,319,840   

Illinois Finance Authority, RB, Carle Foundation, Series A, 5.75%, 8/15/34

      5,000        5,696,950   

Illinois Municipal Electric Agency, RB, Build America Bonds, Series A, 7.29%, 2/01/35

      15,000        18,504,450   

Northern Illinois Municipal Power Agency, RB, Build America Bonds, Prairie State Project, Series A, 7.82%, 1/01/40

      5,000        6,056,800   

State of Illinois, GO, Build America Bonds:

     

6.73%, 4/01/35

      6,320        6,976,901   

7.35%, 7/01/35

      35,855        41,392,805   
    

 

 

  
               290,045,569   

Indiana — 2.6%

     

Indiana Finance Authority, RB, Build America Bonds, Series B, 6.60%, 2/01/39

      7,900        10,026,917   

 

                
2    BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Indiana (concluded)

     

Indiana Municipal Power Agency, RB, Build America Bonds, Direct Payment, Series A, 5.59%, 1/01/42

    $ 22,290      $ 24,562,020   
    

 

 

  
               34,588,937   

Kentucky — 1.7%

  

City of Wickliffe Kentucky, RB, MeadWestvaco Corp., 7.67%, 1/15/27 (b)

      9,400        10,631,588   

Kentucky State Property & Building Commission, RB, Build America Bonds, Series C, 5.92%, 11/01/30

      10,000        11,547,800   
    

 

 

  
               22,179,388   

Maryland — 0.1%

  

Maryland Community Development Administration, RB, Residential, Series I, 6.50%, 3/01/43

      935        963,789   

Massachusetts — 1.5%

  

Commonwealth of Massachusetts, RB, Build America Bonds, Recovery Zone, Series A, 5.73%, 6/01/40 (a)

      5,000        6,376,800   

Massachusetts HFA, Refunding RB, Series D, 7.02%, 12/01/42 (a)

      12,000        13,438,920   
    

 

 

  
               19,815,720   

Michigan — 1.9%

  

Detroit City School District, GO, Build America Bonds (Q-SBLF), 6.85%, 5/01/40 (a)

      10,000        10,462,200   

Michigan State University, RB, Build America Bonds, General, Series A, 6.17%, 2/15/50

      5,500        6,395,675   

Michigan Tobacco Settlement Finance Authority, RB, Series A, 7.31%, 6/01/34

      6,425        5,603,821   

State of Michigan, RB, Build America Bonds, Series B, 7.63%, 9/15/27

      2,000        2,386,100   
    

 

 

  
               24,847,796   

Minnesota — 1.2%

  

Southern Minnesota Municipal Power Agency, Refunding RB, Build America Bonds, Series A, 5.93%, 1/01/43

      8,000        9,720,160   
Municipal Bonds   

Par  

(000)

     Value  

Minnesota (concluded)

     

Western Minnesota Municipal Power Agency, RB, Build America Bonds, Series C, 6.77%, 1/01/46

    $ 5,000      $ 6,393,950   
    

 

 

  
               16,114,110   

Mississippi — 0.5%

  

Mississippi Development Bank, RB, Build America Bonds, Desoto County Highway Construction Project,
Series B, 6.41%, 1/01/40

      5,000        6,216,200   

Missouri — 1.7%

  

Missouri Joint Municipal Electric Utility Commission, RB, Build America Bonds, Plum Point Project, Series A, 7.73%, 1/01/39

      11,000        13,466,090   

University of Missouri, RB, Build America Bonds, Series A, 5.79%, 11/01/41 (a)

      7,000        9,110,850   
    

 

 

  
               22,576,940   

Nevada — 1.2%

  

County of Clark Nevada, ARB, Build America Bonds (a):

     

Series B, 6.88%, 7/01/42

      10,000        11,381,200   

Series C, 6.82%, 7/01/45

      2,000        2,825,080   

Las Vegas Valley Water District Nevada, GO, Limited Tax, Build America Bonds, Series C, 7.01%, 6/01/39

      2,265        2,481,942   
    

 

 

  
               16,688,222   

New Jersey — 14.6%

  

County of Camden New Jersey Improvement Authority, RB, Build America Bonds, Cooper Medical School of Rowan University Project, Series A, 7.75%, 7/01/34

      5,000        5,943,950   

New Jersey EDA, RB:

     

Build America Bonds, Series CC-1, 6.43%, 12/15/35 (a)

      15,000        16,681,950   

Series A (NPFGC), 7.43%, 2/15/29

      20,974        26,244,976   

New Jersey State Housing & Mortgage Finance Agency, RB, M/F Housing, Series C (AGM), 6.65%, 11/01/44

      19,800        22,226,094   

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014    3

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New Jersey (concluded)

     

New Jersey State Turnpike Authority, RB, Build America Bonds:

     

Series A, 7.10%, 1/01/41

    $ 34,000      $ 48,288,500   

Series F, 7.41%, 1/01/40

      6,790        9,943,140   

New Jersey Transportation Trust Fund Authority, RB, Build America Bonds:

     

Series B, 6.88%, 12/15/39

      8,500        9,594,120   

Series C, 5.75%, 12/15/28

      5,000        5,704,000   

Series C, 6.10%, 12/15/28 (a)

      42,500        46,922,550   

South Jersey Port Corp., RB, Build America Bonds, Marine Terminal, Series P-3, 7.37%, 1/01/40

      3,215        3,615,010   
    

 

 

  
               195,164,290   

New York — 15.7%

     

City of New York New York, GO, Build America Bonds, Sub-Series C-1, 5.82%, 10/01/31

      15,000        16,893,600   

City of New York New York Municipal Water Finance Authority, RB, Build America Bonds, 2nd General Resolution,
Series DD, 6.45%, 6/15/41

      6,300        7,237,944   

City of New York New York Municipal Water Finance Authority, Refunding RB, Build America Bonds, 2nd General Resolution:

     

Series AA, 5.79%, 6/15/41 (a)

      25,000        27,790,000   

Series CC, 6.28%, 6/15/42 (a)

      20,000        23,220,600   

Series EE, 6.49%, 6/15/42

      2,000        2,298,400   

Series GG, 6.12%, 6/15/42

      2,445        2,773,755   

City of New York New York Transitional Finance Authority, RB, Build America Bonds, Future Tax Secured (a):

     

Sub-Series B-1, 5.57%, 11/01/38

      19,000        23,277,470   

Sub-Series C-2, 6.27%, 8/01/39

      14,795        16,516,398   

Metropolitan Transportation Authority, RB, Build America Bonds:

     

Series A, 6.67%, 11/15/39

      2,220        3,002,128   

Series C, 7.34%, 11/15/39 (a)

      13,245        19,865,248   

Series C-1, 6.69%, 11/15/40

      13,000        17,621,370   

Port Authority of New York & New Jersey, RB:

     

182nd Series, 5.31%, 8/01/46

      14,500        15,434,380   
Municipal Bonds   

Par  

(000)

     Value  

New York (concluded)

     

Port Authority of New York & New Jersey, RB (concluded):

     

187th Series, 4.43%, 10/15/34

    $ 5,000      $ 5,109,100   

State of New York Dormitory Authority, RB, Build America Bonds, General Purpose, Series H, 5.39%, 3/15/40 (a)

      15,000        18,584,400   

State of New York Dormitory Authority, Refunding RB, Touro College & University, Series B, 5.75%, 1/01/29

      10,300        10,467,066   
    

 

 

  
               210,091,859   

Ohio — 5.5%

     

American Municipal Power, Inc., RB, Build America Bonds, Combined Hydroelectric Projects, Series B, 7.83%, 2/15/41

      10,000        14,664,700   

County of Franklin Ohio Convention Facilities Authority, RB, Build America Bonds, 6.64%, 12/01/42 (a)

      30,365        39,249,192   

County of Hamilton Ohio, RB, Sewer System, Build America Bonds, Series B, 6.50%, 12/01/34 (a)

      7,000        7,959,420   

Mariemont City School District, GO, Refunding, Build America Bonds, Series B, 6.55%, 12/01/47 (a)

      10,055        11,323,237   
    

 

 

  
               73,196,549   

Oklahoma — 0.3%

     

Oklahoma Municipal Power Authority, RB, Build America Bonds, Series B, 6.44%, 1/01/45

      3,500        4,121,040   

Pennsylvania — 1.1%

     

Pennsylvania Economic Development Financing Authority, RB, Build America Bonds, Series B, 6.53%, 6/15/39

      13,050        14,897,097   

South Carolina — 1.0%

     

South Carolina State Public Service Authority, RB, Build America Bonds, Series C, 6.45%, 1/01/50

      10,000        13,628,200   

 

                
4    BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds  

Par  

(000)

     Value  

Tennessee — 3.9%

    

Metropolitan Government of Nashville & Davidson County Convention Center Authority, RB, Build America Bonds:

    

Series A2, 7.43%, 7/01/43

   $ 35,105      $ 49,052,567   

Series B, 6.73%, 7/01/43

     2,500        3,279,525   
   

 

 

  
              52,332,092   

Texas — 9.6%

    

City of Austin Texas, RB, Travis, Williams and Hays Counties, Rental Car Specialty Facilities, 5.75%, 11/15/42

     10,000        10,291,200   

City of San Antonio Texas, RB, Build America Bonds, Series A, 6.17%, 2/01/41

     19,000        21,469,050   

City of San Antonio Texas, Refunding RB, Build America Bonds, Junior Lien, Series B, 6.31%, 2/01/37 (a)

     35,000        40,253,150   

County of Bexar Texas Hospital District, GO, Build America Bonds, Series B, 5.41%, 2/15/40 (a)

     20,000        21,128,800   

Cypress-Fairbanks ISD, GO, Build America Bonds, Schoolhouse, Series B, 6.63%, 2/15/38

     14,000        15,890,700   

Dallas Area Rapid Transit, RB, Build America Bonds, Senior Lien, Series B, 5.02%, 12/01/48

     2,500        2,948,050   

Katy ISD Texas, GO, Build America Bonds, School Building, Series D (PSF-GTD), 6.35%, 2/15/41 (a)

     5,000        5,607,650   

North Texas Municipal Water District, RB, Build America Bonds, Series A, 6.01%, 9/01/40

     10,000        11,279,700   
   

 

 

  
              128,868,300   

Utah — 3.3%

    

County of Utah Utah, RB, Build America Bonds, Recovery Zone, Series C, 7.13%, 12/01/39

     11,800        13,790,424   
Municipal Bonds  

Par  

(000)

     Value  

Utah (concluded)

    

Utah Transit Authority, RB, Build America Bonds, Subordinated, 5.71%, 6/15/40

   $ 26,405      $ 30,500,943   
   

 

 

  
        44,291,367   

Virginia — 0.5%

    

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT, 6.00%, 1/01/37

     5,865        6,659,473   

West Virginia — 1.3%

    

West Virginia Tobacco Settlement Finance Authority, RB, Series A, 7.47%, 6/01/47

     21,490        18,100,812   

Washington — 1.9%

    

Port of Seattle Washington, RB, Series B1, 7.00%, 5/01/36

     5,000        5,833,750   

Washington State Convention Center Public Facilities District, RB, Build America Bonds, Series B, 6.79%, 7/01/40

     16,100        19,605,453   
   

 

 

  
        25,439,203   

Total Long-Term Investments

(Cost — $1,702,260,402) — 148.2%

  

  

     1,982,357,736   
   
   
Short-Term Securities   Shares         

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.07% (c)(d)

     4,006,875        4,006,875   

Total Short-Term Securities

(Cost — $4,006,875) — 0.3%

             4,006,875   
Total Investments (Cost — $1,706,267,277*) — 148.5%        1,986,364,611   
Liabilities in Excess of Other Assets — (48.5)%        (649,087,573 ) 
   

 

 

  
Net Assets — 100.0%      $ 1,337,277,038   
   

 

 

  

 

*   As of October 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 1,706,267,048   
 

 

 

  

Gross unrealized appreciation

   $ 283,830,782   

Gross unrealized depreciation

     (3,733,448 ) 
 

 

 

  

Net unrealized appreciation

   $ 280,097,334   
 

 

 

  

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014    5

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

 

Notes to Schedule of Investments

 

*   Cost for federal income tax purposes.

 

(a)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   Investments in issuers considered to be an affiliate of the Trust during the period ended October 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2014		       

Net

Activity

        Shares Held
at October 31,
2014		        Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

        3,333,851           673,024           4,006,875         $ 789   

 

(d)   Represents the current yield as of report date.

 

Portfolio Abbreviations

 

AGM    Assured Guaranty Municipal Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
COP    Certificates of Participation
EDA    Economic Development Authority
GO    General Obligation Bonds
HFA    Housing Finance Agency
ISD    Independent School District
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
PSF-GTD    Permanent School Fund Guaranteed
Q-SBLF    Qualified School Bond Loan Fund
RB    Revenue Bonds
SAN    State Aid Notes

 

Ÿ  

Reverse repurchase agreements outstanding as of October 31, 2014 were as follows:

 

Counterparty  

Interest

Rate

    

Trade

Date

  

Maturity

Date

   Face Value     Face Value
Including
Accrued
Interest		  

RBC Capital Markets LLC

     0.50 %    1/30/14   Open   $ 19,278,000      $ 19,351,631   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     14,718,000        14,771,762   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     25,470,000        25,563,036   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     36,703,000        36,837,068   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     34,825,000        34,952,208   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     9,587,000        9,622,019   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     19,973,000        20,045,957   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     19,825,000        19,897,416   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     23,141,000        23,225,529   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     14,758,000        14,811,908   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     5,437,000        5,456,860   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     15,468,000        15,524,501   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     12,315,000        12,359,984   

Credit Suisse Securities (USA) LLC

     0.50 %    2/10/14   Open     2,350,000        2,358,584   

RBC Capital Markets LLC

     0.50 %    2/11/14   Open     16,520,000        16,580,344   

 

                
6    BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

 

Ÿ  

Reverse repurchase agreements outstanding as of October 31, 2014 were as follows (concluded):

 

Counterparty  

Interest

Rate

     Trade
Date		   Maturity
Date		   Face Value     Face Value
Including
Accrued
Interest		  

Barclays Capital, Inc.

     0.50 %    4/17/14   Open   $ 14,334,000      $ 14,372,622   

Barclays Capital, Inc.

     0.55 %    4/17/14   Open     24,131,000        24,202,522   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     19,710,000        19,761,191   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     26,343,000        26,405,199   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     7,954,000        7,974,658   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     5,074,000        5,084,782   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     17,483,000        17,524,279   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     12,015,000        12,046,206   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     9,405,000        9,429,427   

Barclays Capital, Inc.

     0.50 %    5/14/14   Open     24,188,000        24,250,822   

RBC Capital Markets LLC

     0.50 %    5/28/14   Open     11,903,613        11,929,569   

Credit Suisse Securities (USA) LLC

     0.50 %    8/08/14   Open     9,400,000        9,411,097   

RBC Capital Markets LLC

     0.50 %    8/18/14   Open     7,080,000        7,087,375   

RBC Capital Markets LLC

     0.50 %    8/28/14   Open     12,300,000        12,310,933   

RBC Capital Markets LLC

     0.50 %    9/26/14   Open     16,895,825        16,903,569   

RBC Capital Markets LLC

     0.50 %    10/01/14   Open     10,250,000        10,254,413   

Deutsche Bank Securities, Inc.

     0.50 %    10/02/14   Open     24,946,000        24,956,048   

Deutsche Bank Securities, Inc.

     0.50 %    10/02/14   Open     24,885,000        24,895,023   

Deutsche Bank Securities, Inc.

     0.55 %    10/02/14   Open     4,505,000        4,506,996   

Deutsche Bank Securities, Inc.

     0.55 %    10/02/14   Open     29,559,000        29,572,096   

Deutsche Bank Securities, Inc.

     0.55 %    10/02/14   Open     36,876,000        36,892,338   

RBC Capital Markets LLC

     0.50 %    10/28/14   Open     9,700,000        9,700,539   

Credit Suisse Securities (USA) LLC

     0.50 %    10/29/14   Open     8,177,000        8,177,014   

Credit Suisse Securities (USA) LLC

     0.50 %    10/29/14   Open     10,432,000        10,432,024   

Credit Suisse Securities (USA) LLC

     0.50 %    10/29/14   Open     18,278,000        18,278,036   

Credit Suisse Securities (USA) LLC

     0.50 %    10/29/14   Open     8,015,000        8,015,092   

RBC Capital Markets LLC

     0.50 %    10/30/14   Open     12,127,250        12,127,419   

Total

         $ 686,334,688      $ 687,860,096   
       

 

 

  

 

Ÿ  

Financial futures contracts outstanding as of October 31, 2014 were as follows:

 

Contracts Sold     Issue   Exchange   Expiration   Notional Value     Unrealized
Depreciation		  
  (1,630 )    U.S. Treasury Long Bond   Chicago Board of Trade   December 2014   USD     229,982,812      $ (3,515,618 ) 
  (970 )    10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   USD 122,568,594        (1,079,497 ) 
  (250 )    5-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   USD 29,857,422        (307,678 ) 
  Total              $ (4,902,793 ) 
         

 

 

  

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014    7

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to the Trust’s most recent financial statements as contained in its annual report.

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 
Investments:                 

Long-Term Investments1

     —         $ 1,982,357,736         —      $ 1,982,357,736   

Short-Term Securities

   $ 4,006,875           —         —        4,006,875   
 

 

 

  

Total

   $ 4,006,875         $ 1,982,357,736         —      $ 1,986,364,611   
 

 

 

  

1    See above Schedule of Investments for values in each sector.

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                 

Interest rate contracts

   $ (4,902,793 )         —         —      $ (4,902,793 ) 

2    Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

       

 

                
8    BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014   

Schedule of Investments (concluded)

   

BlackRock Build America Bond Trust (BBN)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of October 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 

Cash pledged for financial futures contracts

   $ 4,578,000           —         —      $ 4,578,000   

Liabilities:

                 

Reverse repurchase agreements

     —         $ (687,860,096 )       —        (687,860,096 ) 
 

 

 

  

Total

   $ 4,578,000         $ (687,860,096 )       —      $ (683,282,096 ) 
 

 

 

  
There were no transfers between levels during the period ended October 31, 2014.   

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    OCTOBER 31, 2014    9

Item 2 –   Controls and Procedures
2(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”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(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) 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 – Attached hereto

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.

BlackRock Build America Bond Trust

 

By:       

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Build America Bond Trust
Date: December 23, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:       

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Build America Bond Trust
Date: December 23, 2014
By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Build America Bond Trust
Date: December 23, 2014