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: 04/30/2015

Item 1 – Schedule of Investments

Schedule of Investments April 30, 2015 (Unaudited)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Arizona — 3.0%

  

City of Phoenix Arizona Civic Improvement Corp., RB, Sub-Series C (NPFGC), 6.00%, 7/01/16 (a)

    $ 10,000      $ 10,633,100   

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

      25,000        29,801,500   
    

 

 

  
               40,434,600   

California — 34.6%

  

Bay Area Toll Authority, RB, Build America Bonds, San Francisco Toll Bridge:

     

Series S-1, 6.92%, 4/01/40

      13,700        18,666,113   

Series S-1, 7.04%, 4/01/50

      13,200        19,223,556   

Series S-3, 6.91%, 10/01/50

      14,000        20,259,400   

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

      3,790        4,749,173   

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

      21,255        26,849,741   

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

      10,000        11,458,200   

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

      13,300        18,610,823   

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

      5,000        7,016,750   

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

      14,345        17,150,021   

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

      10,000        14,147,500   

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

     

6.17%, 7/01/40

      37,500        42,643,875   

7.00%, 7/01/41

      17,225        20,412,486   

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

      12,000        14,407,200   
Municipal Bonds   

Par  

(000)

     Value  

California (concluded)

  

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

    $ 7,500      $ 8,973,375   

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

      20,000        23,156,800   

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

      11,000        13,104,630   

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

      5,000        5,599,850   

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

      32,100        36,808,428   

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

      2,440        2,404,547   

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

     

7.55%, 4/01/39

      9,035        13,924,923   

7.63%, 3/01/40

      8,950        13,714,622   

7.60%, 11/01/40

      15,000        23,484,450   

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

      18,145        26,710,892   

University of California, RB, Build America Bonds:

     

5.95%, 5/15/45

      24,000        29,973,600   

6.30%, 5/15/50

      27,010        32,700,467   
    

 

 

  
               466,151,422   

Colorado — 3.8%

  

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

      6,000        8,233,080   

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

      28,000        36,940,120   

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

      5,000        6,002,650   
    

 

 

  
               51,175,850   

Connecticut — 1.1%

  

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

      12,000        14,532,840   

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015    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 — 2.8%

  

Metropolitan Washington Airports Authority, RB, Build America Bonds:

     

7.46%, 10/01/46

    $ 5,000      $ 7,028,700   

Series D, 8.00%, 10/01/47

      10,750        14,147,107   

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

      15,000        16,900,050   
    

 

 

  
               38,075,857   

Florida — 4.3%

  

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

      25,000        28,349,500   

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

      1,500        1,716,345   

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

      2,500        2,942,875   

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

     

4.76%, 11/01/29

      5,155        5,513,530   

5.02%, 11/01/36

      13,500        14,318,910   

Village Center Community Development District Utility Revenue, Refunding RB, Little Sumter Service Area, 5.02%, 10/01/36 (b)

      4,500        4,637,025   
    

 

 

  
               57,478,185   

Georgia — 5.3%

  

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

     

6.64%, 4/01/57

      26,084        33,715,657   

6.66%, 4/01/57

      20,665        26,263,355   

7.06%, 4/01/57

      10,000        11,768,700   
    

 

 

  
               71,747,712   

Hawaii — 2.5%

  

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

      30,500        34,412,540   
Municipal Bonds   

Par  

(000)

     Value  

Illinois — 21.6%

  

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

    $ 5,400      $ 5,001,264   

Chicago Transit Authority, RB:

     

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

      16,015        18,899,942   

Series A, 6.90%, 12/01/40

      4,075        5,175,576   

Series B, 6.90%, 12/01/40

      4,900        6,202,224   

City of Chicago Illinois, GO:

     

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

      19,265        20,297,026   

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

      31,625        29,149,711   

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

     

6.85%, 1/01/38

      30,110        34,115,834   

6.40%, 1/01/40

      1,500        1,987,020   

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

      36,000        45,674,280   

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

      15,250        19,361,553   

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

      19,900        20,673,712   

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

      5,000        5,851,500   

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

      15,000        18,542,400   

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

      5,000        6,130,450   

State of Illinois, GO, Build America Bonds:

     

6.63%, 2/01/35

      4,000        4,435,720   

6.73%, 4/01/35

      6,320        7,052,614   

7.35%, 7/01/35

      35,855        42,090,185   
    

 

 

  
               290,641,011   

Indiana — 2.7%

  

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

      7,900        10,599,746   

 

                
2    BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015   

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      $ 26,039,401   
    

 

 

  
               36,639,147   

Kentucky — 1.7%

  

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

      9,400        10,682,574   

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

      10,000        11,880,400   
    

 

 

  
               22,562,974   

Maryland — 0.1%

  

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

      805        849,742   

Massachusetts — 1.5%

  

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

      5,000        6,392,400   

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

      12,000        13,527,720   
    

 

 

  
               19,920,120   

Michigan — 1.9%

  

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

      10,000        10,559,000   

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

      5,500        6,772,865   

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

      6,425        5,595,468   

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

      2,000        2,344,660   
    

 

 

  
               25,271,993   

Minnesota — 1.2%

  

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

      8,000        9,844,960   
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      $ 6,503,200   
    

 

 

  
               16,348,160   

Mississippi — 0.5%

  

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

      5,000        6,187,100   

Missouri — 1.8%

  

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

      11,000        14,606,790   

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

      7,000        9,394,000   
    

 

 

  
               24,000,790   

Nevada — 1.1%

  

County of Clark Nevada, ARB, Build America Bonds:

     

Series B, 6.88%, 7/01/42

      10,000        11,486,700   

Series C, 6.82%, 7/01/45

      2,000        2,871,820   
    

 

 

  
               14,358,520   

New Jersey — 14.0%

  

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        5,959,350   

New Jersey EDA, RB:

     

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

      15,000        16,429,650   

Series A (NPFGC), 7.43%, 2/15/29

      20,974        25,789,211   

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

      14,360        15,231,365   

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

     

Series A, 7.10%, 1/01/41

      34,000        49,212,960   

Series F, 7.41%, 1/01/40

      6,790        10,102,026   

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015    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 Transportation Trust Fund Authority, RB, Build America Bonds:

     

Series B, 6.88%, 12/15/39

    $ 8,500      $ 9,241,710   

Series C, 5.75%, 12/15/28

      5,000        5,578,150   

Series C, 6.10%, 12/15/28

      42,500        46,939,550   

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

      3,215        3,602,247   
    

 

 

  
               188,086,219   

New York — 15.9%

  

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

      15,000        16,994,400   

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        7,299,747   

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

      25,000        28,037,250   

Series CC, 6.28%, 6/15/42

      20,000        23,227,400   

Series EE, 6.49%, 6/15/42

      2,000        2,321,060   

Series GG, 6.12%, 6/15/42

      2,445        2,795,271   

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

     

Sub-Series B-1, 5.57%, 11/01/38

      19,000        23,755,510   

Sub-Series C-2, 6.27%, 8/01/39

      14,795        16,819,104   

Metropolitan Transportation Authority, RB, Build America Bonds:

     

Series A, 6.67%, 11/15/39

      2,220        3,022,441   

Series C, 7.34%, 11/15/39

      13,245        19,942,864   

Series C-1, 6.69%, 11/15/40

      13,000        17,761,640   

Nassau County Tobacco Settlement Corp., Refunding RB, Series A1, 6.83%, 6/01/21

      23,003        22,974,364   

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

      15,000        18,610,650   
Municipal Bonds   

Par  

(000)

     Value  

New York (concluded)

  

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

    $ 10,300      $ 10,423,394   
    

 

 

  
               213,985,095   

Ohio — 6.3%

  

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

      10,000        14,641,000   

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

      30,575        39,780,827   

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

      7,000        8,039,010   

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

      10,055        11,489,044   

Ohio University, RB, 5.59%, 12/01/2114

      10,100        11,193,931   
    

 

 

  
               85,143,812   

Oklahoma — 0.3%

  

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

      3,500        4,178,930   

Pennsylvania — 1.9%

  

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

      23,050        26,176,963   

South Carolina — 1.0%

  

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

      10,000        13,143,700   

Tennessee — 3.7%

  

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

     

Series A2, 7.43%, 7/01/43

      35,105        47,238,692   

 

                
4    BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015   

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Tennessee (concluded)

  

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

     

Series B, 6.73%, 7/01/43

    $ 2,500      $ 3,276,525   
    

 

 

  
               50,515,217   

Texas — 9.6%

  

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

      10,000        10,633,900   

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

      19,000        21,547,520   

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

      35,000        40,024,250   

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

      20,000        21,593,600   

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

      14,000        15,947,400   

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

      2,500        3,009,650   

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

      5,000        5,637,200   

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

      10,000        11,415,300   
    

 

 

  
               129,808,820   

Utah — 3.3%

  

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

      11,800        13,867,596   
Municipal Bonds   

Par  

(000)

     Value  

Utah (concluded)

  

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

    $ 26,405      $ 31,226,817   
    

 

 

  
               45,094,413   

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        6,773,195   

Washington — 2.0%

  

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

      5,000        5,773,550   

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

      16,100        20,618,304   
    

 

 

  
               26,391,854   

West Virginia — 1.4%

  

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

      21,435        18,647,593   
Total Long-Term Investments
(Cost — $1,741,750,406) — 151.4%		         2,038,734,374   
Short-Term Securities    Shares         

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (c)(d)

      21,429,474        21,429,474   
Total Short-Term Securities
(Cost — $21,429,474) — 1.6%		         21,429,474   
Total Investments
(Cost — $1,763,179,880*) — 153.0%		         2,060,163,848   
Liabilities in Excess of Other Assets — (53.0)%        (713,905,708 ) 
    

 

 

  
Net Assets — 100.0%      $ 1,346,258,140   
    

 

 

  

 

*   As of April 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 1,763,179,880   
 

 

 

  

Gross unrealized appreciation

   $ 305,829,527   

Gross unrealized depreciation

     (8,845,559 ) 
 

 

 

  

Net unrealized appreciation

   $ 296,983,968   
 

 

 

  

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015    5

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

    

 

 

Notes to Schedule of Investments

 

(a)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(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)   During the period ended April 30, 2015, investments in issuers considered to be an affiliate of the Fund 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 April 30,
2015		        Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

        3,333,851           18,095,623           21,429,474         $ 6,450   

 

(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    Public School Fund Guaranteed
Q-SBLF    Qualified School Board Loan Fund
RB    Revenue Bonds

 

Ÿ  

As of April 30, 2015, reverse repurchase agreements outstanding were as follows:

 

Counterparty  

Interest

Rate

    

Trade

Date

  

Maturity

Date1

   Face Value    

Face Value

Including

Accrued

Interest

  
RBC Capital Markets LLC     0.65 %    2/11/14   Open   $ 16,520,000      $ 16,630,202   
Barclays Capital, Inc.     0.50 %    4/17/14   Open     14,334,000        14,408,656   
Barclays Capital, Inc.     0.55 %    4/17/14   Open     24,131,000        24,269,251   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     5,074,000        5,096,262   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     17,483,000        17,568,230   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     12,015,000        12,079,430   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     9,405,000        9,455,434   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     19,710,000        19,815,695   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     24,188,000        24,317,708   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     26,343,000        26,471,422   
Barclays Capital, Inc.     0.50 %    5/14/14   Open     7,954,000        7,996,653   

 

                
6    BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015   

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

    

 

 

Ÿ  

As of April 30, 2015, reverse repurchase agreements outstanding were as follows (concluded):

 

Counterparty  

Interest

Rate

    

Trade

Date

  

Maturity

Date1

   Face Value    

Face Value

Including

Accrued

Interest

  
RBC Capital Markets LLC     0.50 %    5/28/14   Open   $ 11,903,613      $ 11,959,493   
RBC Capital Markets LLC     0.50 %    8/18/14   Open     7,080,000        7,105,173   
RBC Capital Markets LLC     0.50 %    8/28/14   Open     12,300,000        12,341,854   
RBC Capital Markets LLC     0.50 %    9/26/14   Open     16,895,825        16,946,043   
RBC Capital Markets LLC     0.50 %    10/1/14   Open     10,250,000        10,280,181   
Deutsche Bank Securities, Inc.     0.50 %    10/2/14   Open     24,946,000        25,018,759   
Deutsche Bank Securities, Inc.     0.50 %    10/2/14   Open     24,885,000        24,957,581   
RBC Capital Markets LLC     0.50 %    10/28/14   Open     9,700,000        9,724,924   
RBC Capital Markets LLC     0.50 %    10/30/14   Open     12,127,250        12,157,905   
RBC Capital Markets LLC     0.50 %    11/14/14   Open     6,919,500        6,935,646   
RBC Capital Markets LLC     0.50 %    11/28/14   Open     13,200,000        13,228,233   
Deutsche Bank Securities, Inc.     0.60 %    12/18/14   Open     40,026,000        40,114,724   
Deutsche Bank Securities, Inc.     0.60 %    12/18/14   Open     4,658,000        4,668,325   
Deutsche Bank Securities, Inc.     0.60 %    12/18/14   Open     29,381,000        29,446,128   
RBC Capital Markets LLC     0.50 %    12/18/14   Open     19,278,000        19,397,973   
RBC Capital Markets LLC     0.50 %    12/18/14   Open     20,655,000        20,692,303   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     14,718,000        14,752,281   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     2,350,000        2,355,474   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     19,825,000        19,871,176   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     15,468,000        15,504,028   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     10,432,000        10,456,298   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     34,825,000        34,906,113   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     9,587,000        9,609,330   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     5,437,000        5,449,664   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     18,278,000        18,320,573   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     8,177,000        8,196,046   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     14,758,000        14,792,374   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     25,470,000        25,529,324   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     12,315,000        12,343,684   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     9,400,000        9,421,894   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     36,703,000        36,788,487   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     8,015,000        8,033,668   
Credit Suisse Securities (USA) LLC     0.65 %    12/23/14   Open     23,141,000        23,194,899   
RBC Capital Markets LLC     0.50 %    3/10/15   Open     11,940,000        11,948,623   
RBC Capital Markets LLC     0.50 %    3/12/15   Open     11,660,000        11,668,097   
RBC Capital Markets LLC     0.50 %    3/31/15   Open     17,175,000        17,182,395   
Total         $ 751,036,188      $ 753,408,616   
       

 

 

    

 

 

  

 

1   

Certain agreements have no stated maturity and can be terminated by either party at any time.

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015    7

Schedule of Investments (continued)

   

BlackRock Build America Bond Trust (BBN)

    

 

 

Ÿ  

As of April 30, 2015, financial futures contracts outstanding were as follows:

 

Contracts

Short

     Issue    Exchange    Expiration   

Notional

Value

    

Unrealized

Appreciation

(Depreciation)

       
  (920 )    5-Year U.S. Treasury Note    Chicago Board of Trade    June 2015    $ 110,522,188      $ (1,000,397 )   
  (943 )    10-Year U.S. Treasury Note    Chicago Board of Trade    June 2015    $ 121,057,625        (956,509 )   
  (1,223 )    Long U.S. Treasury Bond    Chicago Board of Trade    June 2015    $ 195,183,156        1,009,801       

 

Total

  

   $ (947,105 )   
            

 

 

 

                
8    BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015   

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. 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 instrument 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, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

 

                
   BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015    9

Schedule of Investments (concluded)

   

BlackRock Build America Bond Trust (BBN)

    

 

As of April 30, 2015, the following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                 
Investments:                 

Long-Term Investments 1

     —         $ 2,038,734,374           —         $ 2,038,734,374   

Short-Term Securities

   $ 21,429,474           —           —           21,429,474   
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ 21,429,474         $ 2,038,734,374           —         $ 2,060,163,848   
 

 

 

       

 

 

       

 

 

       

 

 

  

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

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 2                 

Assets:

                 

Interest rate contracts

   $ 1,009,801           —           —         $ 1,009,801   

Liabilities:

                 

Interest rate contracts

     (1,956,906 )         —           —           (1,956,906 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ (947,105 )         —           —         $ (947,105 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

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

       

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of April 30, 2015, 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

   $ 6,426,000           —           —         $ 6,426,000   

Liabilities:

                 

Cash received as collateral for reverse repurchase agreements

     —         $ (6,645,000 )         —           (6,645,000 ) 

Reverse repurchase agreements

     —           (753,408,616 )         —           (753,408,616 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ 6,426,000         $ (760,053,616 )         —         $ (753,627,616 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

During the period ended April 30, 2015, there were no transfers between levels.

 

                
10    BLACKROCK BUILD AMERICA BOND TRUST    APRIL 30, 2015   

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: June 22, 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:

/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Build America Bond Trust
Date: June 22, 2015
By:

/s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Build America Bond Trust
Date: June 22, 2015