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 811-22425
 
Nuveen Build America Bond Opportunity 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:          6/30/12         
 
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 Opportunity Fund (NBD)  
     
   
June 30, 2012  
     
Principal  
   
Optional Call  
   
Amount (000)  
 
Description (1)  
Provisions (2)  
Ratings (3)  
Value  
   
California – 19.0% (18.0% of Total Investments)  
     
$    1,030  
 
Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge,  
No Opt. Call  
A+  
$     1,475,496  
   
Subordinate Lien, Build America Federally Taxable Bond Series 2010S-1, 7.043%, 4/01/50  
     
1,500  
 
California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build  
No Opt. Call  
A2  
1,912,815  
   
America Taxable Bond Series 2009G-2, 8.361%, 10/01/34  
     
2,000  
 
Los Angeles Community College District, Los Angeles County, California, General Obligation  
No Opt. Call  
Aa1  
5,638,300  
   
Bonds, Tender Option Bond Trust TN027, 29.949%, 8/01/49 (IF) (4)  
     
1,000  
 
Los Angeles County Public Works Financing Authority, California, Lease Revenue Bonds, Mulitple  
No Opt. Call  
A+  
1,247,190  
   
Capital Projects I, Build America Taxable Bond Series 2010B, 7.618%, 8/01/40  
     
2,650  
 
Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International  
No Opt. Call  
AA–  
3,398,307  
   
Airport, Build America Taxable Bonds, Series 2009C, 6.582%, 5/15/39  
     
2,000  
 
Los Angeles Department of Water and Power, California, Water System Revenue Bonds, Tender  
No Opt. Call  
AA  
6,492,000  
   
Option Bond Trust T0003, 30.024%, 7/01/42 (IF) (4)  
     
1,000  
 
Oakland Redevelopment Agency, California, Subordinated Housing Set Aside Revenue Bonds,  
No Opt. Call  
A
1,136,130  
   
Federally Taxable Series 2011A-T, 7.500%, 9/01/19  
     
2,175  
 
San Diego County Regional Transportation Commission, California, Sales Tax Revenue Bonds,  
No Opt. Call  
AAA  
2,897,818  
   
Build America Taxable Bonds Series 2010A, 5.911%, 4/01/48  
     
2,000  
 
San Francisco City and County, California, Certificates of Participation, 525 Golden Gate  
No Opt. Call  
AA–  
3,083,600  
   
Avenue, San Francisco Public Utilities Commission Office Project, Tender Option Bond Trust  
     
   
B001, 29.077%, 11/01/41 (IF)  
     
315  
 
Stanton Redevelopment Agency, California, Consolidated Project Tax Allocation Bonds, Series  
No Opt. Call  
A–  
343,460  
   
2011A, 7.000%, 12/01/19  
     
3,000  
 
The Regents of the University of California, Medical Center Pooled Revenue Bonds, Build  
No Opt. Call  
Aa2  
3,944,397  
   
America Taxable Bonds, Series 2010H, 6.548%, 5/15/48  
     
18,670  
 
Total California  
   
31,569,513  
   
Colorado – 4.8% (4.6% of Total Investments)  
     
4,000  
 
Colorado State Bridge Enterprise Revenue Bonds, Federally Taxable Build America Series 2010A,  
No Opt. Call  
AA  
5,287,240  
   
6.078%, 12/01/40  
     
2,000  
 
Regional Transportation District, Colorado, Sales Tax Revenue Bonds, FasTracks Project, Build  
No Opt. Call  
AA+  
2,695,340  
   
America Series 2010B, 5.844%, 11/01/50  
     
6,000  
 
Total Colorado  
   
7,982,580  
   
Connecticut – 0.7% (0.7% of Total Investments)  
     
1,000  
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue  
4/20 at 100.00  
N/R  
1,187,440  
   
Bonds, Harbor Point Project, Federally Taxable – Issuer Subsidy – Recovery Zone Economic  
     
   
Development Bond Series 2010B, 12.500%, 4/01/39  
     
   
District of Columbia – 0.6% (0.6% of Total Investments)  
     
800  
 
District of Columbia, Income Tax Secured Revenue Bonds, Build America Taxable Bonds, Series  
No Opt. Call  
AAA  
997,912  
   
2009E, 5.591%, 12/01/34 (4)  
     
   
Georgia – 3.4% (3.2% of Total Investments)  
     
2,000  
 
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project J Bonds, Taxable Build  
No Opt. Call  
A+  
2,343,360  
   
America Bonds Series 2010A, 6.637%, 4/01/57  
     
3,000  
 
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project P Bonds, Refunding  
No Opt. Call  
A–  
3,228,090  
   
Taxable Build America Bonds Series 2010A, 7.055%, 4/01/57  
     
5,000  
 
Total Georgia  
   
5,571,450  
   
Illinois – 14.0% (13.2% of Total Investments)  
     
3,575  
 
Chicago Transit Authority, Illinois, Sales Tax Receipts Revenue Bonds, Federally Taxable Build  
No Opt. Call  
AA  
3,948,981  
   
America Bonds, Series 2010B, 6.200%, 12/01/40  
     
5,080  
 
Chicago, Illinois, Wastewater Transmission Revenue Bonds, Build America Taxable Bond Series  
No Opt. Call  
AA  
6,517,742  
   
2010B, 6.900%, 1/01/40 (4)  
     
3,000  
 
Chicago, Illinois, Water Revenue Bonds, Taxable Second Lien Series 2010B, 6.742%, 11/01/40  
No Opt. Call  
AA  
4,023,450  
1,000  
 
Cook County, Illinois, General Obligation Bonds, Build America Taxable Bonds, Series 2010D,  
No Opt. Call  
AA  
1,125,080  
   
6.229%, 11/15/34  
     
500  
 
Illinois Finance Authority, Revenue Bonds, Illinois Institute of Technology, Refunding Series  
10/12 at 100.00  
Baa3  
494,285  
   
2006B, 6.100%, 4/01/15  
     
2,000  
 
Illinois State, General Obligation Bonds, Build America Taxable Bonds, Series 2010-5,  
No Opt. Call  
A+  
2,325,360  
   
7.350%, 7/01/35  
     
3,810  
 
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds,  
No Opt. Call  
AA–  
4,730,572  
   
Senior Lien Series 2009A, 6.184%, 1/01/34  
     
18,965  
 
Total Illinois  
   
23,165,470  
   
Indiana – 2.4% (2.3% of Total Investments)  
     
3,075  
 
Indianapolis Local Public Improvement Bond Bank, Indiana, Build America Taxable Bonds, Series  
No Opt. Call  
AA+  
4,019,148  
   
2010B-2, 6.116%, 1/15/40  
     
   
Kentucky – 2.3% (2.2% of Total Investments)  
     
3,000  
 
Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage  
No Opt. Call  
AA  
3,853,230  
   
System Revenue Bonds, Build America Taxable Bonds Series 2010A, 6.250%, 5/15/43  
     
   
Massachusetts – 3.3% (3.1% of Total Investments)  
     
2,000  
 
Massachusetts, Transporation Fund Revenue Bonds, Accelerated Bridge Program, Tender Option  
No Opt. Call  
AAA  
5,389,100  
   
Bond Trust T0004, 25.490%, 6/01/40 (IF) (4)  
     
   
Michigan – 4.2% (4.0% of Total Investments)  
     
3,000  
 
Detroit City School District, Wayne County, Michigan, General Obligation Bonds, Build America  
5/20 at 100.00  
Aa2  
3,189,090  
   
Taxable Bond Series 2010B, 6.845%, 5/01/40  
     
1,980  
 
Michigan Tobacco Settlement Finance Authority, Tobacco Settlement Asset-Backed Revenue Bonds,  
6/22 at 100.00  
B2  
1,472,031  
   
Taxable Turbo Series 2006A, 7.309%, 6/01/34  
     
2,000  
 
Wayne County Building Authority, Michigan, General Obligation Bonds, Jail Facilities,  
12/20 at 100.00  
BBB+  
2,321,420  
   
Federally Taxable Recovery Zone Economic Development Series 2010, 10.000%, 12/01/40  
     
6,980  
 
Total Michigan  
   
6,982,541  
   
Mississippi – 1.9% (1.8% of Total Investments)  
     
2,585  
 
Mississippi State, General Obligation Bonds, Build America Taxable Bond Series 2010F,  
No Opt. Call  
AA+  
3,091,091  
   
5.245%, 11/01/34  
     
   
Missouri – 1.1% (1.1% of Total Investments)  
     
250  
 
Curators of the University of Missouri, System Facilities Revenue Bonds, Build America Taxable  
No Opt. Call  
AA+  
335,585  
   
Bonds, Series 2009A, 5.960%, 11/01/39  
     
1,150  
 
Curators of the University of Missouri, System Facilities Revenue Bonds, Build America Taxable  
No Opt. Call  
AA+  
1,525,740  
   
Bonds, Series 2010, 5.792%, 11/01/41  
     
1,400  
 
Total Missouri  
   
1,861,325  
   
Nevada – 2.5% (2.3% of Total Investments)  
     
1,950  
 
Clark County, Nevada, Airport Revenue Bonds, Senior Lien Series 2009B, 6.881%, 7/01/42  
7/19 at 100.00  
Aa2  
2,232,633  
1,340  
 
Clark County, Nevada, Airport System Revenue, Taxable Direct Payment Build America Bonds,  
No Opt. Call  
Aa2  
1,857,093  
   
Senior Series 2010C, 6.820%, 7/01/45  
     
3,290  
 
Total Nevada  
   
4,089,726  
   
New Jersey – 5.8% (5.5% of Total Investments)  
     
3,000  
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Build America  
No Opt. Call  
A+  
3,538,530  
   
Bonds Issuer Subsidy Program, Series 2010C, 5.754%, 12/15/28  
     
2,500  
 
New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2010A,  
No Opt. Call  
A+  
3,544,175  
   
7.102%, 1/01/41  
     
2,050  
 
Rutgers State University, New Jersey, Revenue Bonds, Build America Taxable Bond Series 2010H,  
No Opt. Call  
AA  
2,587,162  
   
5.665%, 5/01/40  
     
7,550  
 
Total New Jersey  
   
9,669,867  
   
New York – 14.0% (13.3% of Total Investments)  
     
2,000  
 
Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Tender  
No Opt. Call  
AAA  
4,625,200  
   
Option Bond Trust B004, 24.523%, 3/15/40 (IF)  
     
2,000  
 
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Federally  
No Opt. Call  
A
2,621,240  
   
Taxable Issuer Subsidy Build America Bonds, Series 2010A, 6.668%, 11/15/39  
     
3,000  
 
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue  
No Opt. Call  
AA+  
3,756,840  
   
Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series AA,  
     
   
5.440%, 6/15/43 (4)  
     
2,000  
 
New York City Municipal Water Finance Authority, New York, Water and Sewer System  
No Opt. Call  
AA+  
5,071,800  
   
Revenue Bonds, Second Generation Resolution, Taxable Tender Option Bonds Trust T30001-2,  
     
   
26.488%, 6/15/44 (IF)  
     
3,005  
 
New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Build  
No Opt. Call  
AA–  
4,109,608  
   
America Taxable Bond Fiscal 2011 Series 2010S-1B, 6.828%, 7/15/40  
     
2,500  
 
New York City, New York, General Obligation Bonds, Federally Taxable Build America Bonds,  
12/20 at 100.00  
AA  
3,053,000  
   
Series 2010-F1, 6.646%, 12/01/31  
     
14,505  
 
Total New York  
   
23,237,688  
   
North Carolina – 1.0% (0.9% of Total Investments)  
     
1,400  
 
North Carolina Turnpike Authority, Triangle Expressway System State Annual Appropriation  
1/19 at 100.00  
AA  
1,631,196  
   
Revenue Bonds, Federally Taxable Issuer Subsidy Build America Bonds, Series 2009B,  
     
   
6.700%, 1/01/39  
     
   
Ohio – 3.9% (3.7% of Total Investments)  
     
3,000  
 
American Municipal Power Inc., Ohio, Meldahl Hydroelectric Projects Revenue Bonds, Federally  
No Opt. Call  
A
4,106,460  
   
Taxable Build America Bonds, Series 2010B, 7.499%, 2/15/50  
     
2,150  
 
Northeast Ohio Regional Sewer District, Wastewater Improvement Revenue Bonds, Build America  
11/20 at 100.00  
AA+  
2,426,555  
   
Taxable Bonds, Series 2010, 6.038%, 11/15/40  
     
5,150  
 
Total Ohio  
   
6,533,015  
   
Pennsylvania – 1.8% (1.7% of Total Investments)  
     
2,500  
 
Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Build America Taxable Bonds, Series  
No Opt. Call  
Aa3  
2,998,750  
   
2010B, 5.511%, 12/01/45  
     
   
South Carolina – 7.9% (7.5% of Total Investments)  
     
205  
 
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,  
No Opt. Call  
AA–  
611,864  
   
Federally Taxable Build America Tender Option Bond Trust T30002, 29.502%, 1/01/50 (IF)  
     
8,985  
 
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,  
No Opt. Call  
AA–  
12,551,506  
   
Federally Taxable Build America Series 2010C, 6.454%, 1/01/50 (UB)  
     
9,190  
 
Total South Carolina  
   
13,163,370  
   
Tennessee – 2.1% (1.9% of Total Investments)  
     
3,000  
 
Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee,  
No Opt. Call  
Aa2  
3,404,490  
   
Tourism Tax Revenue Bonds, Build America Taxable Bonds, Subordinate Lien Series 2010B,  
     
   
6.731%, 7/01/43  
     
   
Texas – 5.5% (5.2% of Total Investments)  
     
1,810  
 
Board of Regents, University of Texas System, Financing System Revenue Bonds, Build America  
8/19 at 100.00  
AAA  
2,130,696  
   
Taxable Bonds, Series 2009B, 6.276%, 8/15/41  
     
2,000  
 
Dallas Area Rapid Transit, Texas, Senior Lien Sales Tax Revenue Bonds, Build America Taxable  
No Opt. Call  
AA+  
2,782,660  
   
Bonds, Series 2009B, 5.999%, 12/01/44  
     
2,000  
 
Dallas Convention Center Hotel Development Corporation, Texas, Hotel Revenue Bonds, Build  
No Opt. Call  
A+  
2,401,120  
   
America Taxable Bonds, Series 09B, 7.088%, 1/01/42  
     
1,500  
 
North Texas Tollway Authority, System Revenue Bonds, Subordinate Lien Taxable Revenue Bonds,  
2/20 at 100.00  
Baa3  
1,736,100  
   
Federally Taxable Build America Bonds, Series 2010-B2, 8.910%, 2/01/30  
     
7,310  
 
Total Texas  
   
9,050,576  
   
Virginia – 2.7% (2.5% of Total Investments)  
     
2,110  
 
Metropolitan Washington DC Airports Authority, Virginia, Dulles Toll Road Revenue Bonds,  
No Opt. Call  
BBB+  
2,514,761  
   
Series 2009D, 7.462%, 10/01/46 – AGC Insured  
     
3,000  
 
Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds,  
6/17 at 100.00  
B2  
1,919,730  
   
Refunding Senior Lien Series 2007A1, 6.706%, 6/01/46  
     
5,110  
 
Total Virginia  
   
4,434,491  
   
Washington – 0.7% (0.7% of Total Investments)  
     
1,000  
 
Washington State Convention Center Public Facilities District, Lodging Tax Revenue Bonds,  
No Opt. Call  
Aa3  
1,231,440  
   
Build America Taxable Bond Series 2010B, 6.790%, 7/01/40  
     
$ 129,480  
 
Total Investments (cost $130,384,831) – 105.6%  
   
175,115,409  
   
Floating Rate Obligations – (4.3)%  
   
(7,190,000)  
   
Other Assets Less Liabilities – (1.3)% (5)  
   
(2,052,469)  
   
Net Assets – 100%  
   
$    165,872,940  
 
 
 

 
                             
Investments in Derivatives at June 30, 2012
                 
Swaps outstanding:  
                           
       
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)
 
Barclays Bank PLC  
  $ 11,200,000  
Receive  
1-Month USD-LIBOR  
    2.240 %  
Monthly  
12/17/10  
12/17/15  
  $ (658,886 )  
Barclays Bank PLC  
    20,000,000  
Receive  
3-Month USD-LIBOR  
    2.863  
Semi-Annually  
2/14/13  
2/14/42  
    (1,263,464 )  
Morgan Stanley  
    11,200,000  
Receive  
1-Month USD-LIBOR  
    1.295  
Monthly  
12/17/10  
12/17/13  
    (160,160 )  
Morgan Stanley  
    15,000,000  
Receive  
3-Month USD-LIBOR  
    3.035  
Semi-Annually  
2/21/14  
2/21/41  
    (1,112,707 )  
Morgan Stanley  
    18,000,000  
Receive  
3-Month USD-LIBOR  
    3.098  
Semi-Annually  
1/24/14  
1/24/41  
    (1,343,797 )  
                              $ (4,539,014 )  
 
 
Fair Value Measurements
 
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements
as of the end of the reporting period:
 
 
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:  
                       
Municipal Bonds  
  $     $ 175,115,409     $     $ 175,115,409  
Derivatives:  
                               
Swaps*  
          (4,539,014 )             (4,539,014 )  
Total  
  $     $ 170,576,395     $     $ 170,576,395  
* Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.
                         
 
 
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, 2012, 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  
Swaps  
   
Unrealized depreciation  
 
     
$ —  
 
on swaps  
$(4,539,014)  
 
 
Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
At June 30, 2012, the cost of investments (excluding investments in derivatives) was $123,223,982.
 
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at June 30, 2012, were as follows:
 
       
Gross unrealized:  
     
Appreciation  
  $ 44,697,458  
Depreciation  
     
Net unrealized appreciation (depreciation) of investments  
  $ 44,697,458  
 
(1)
All percentages shown in the Portfolio of Investments are based on net assets unless otherwise noted.
   
   
(2)
 Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.
   
(3)
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
   
(4)
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives and/or inverse floating rate transactions.
   
(5)
Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at June 30, 2012.
   
(6)
Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each swap contract.
   
N/R
Not rated.
   
(IF)
Inverse floating rate investment.
   
(UB)
Underlying bond of an inverse floating rate trust reflected as a financing transaction.
   
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 Opportunity Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:          August 29, 2012        
 
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 29, 2012        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:          August 29, 2012        
 

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