Edgar Filing: Nuveen Core Equity Alpha Fund

Nuveen Core Equity Alpha Fund

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 811-22003

Nuveen Core Equity Alpha Fund

(Exact name of registrant as specified in charter)

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: December 31

Date of reporting period: March 31, 2016

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

JCE


Nuveen Core Equity Alpha Fund
Portfolio of Investments		March 31, 2016 (Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 98.4%

		COMMON STOCKS – 98.4%

		Aerospace & Defense – 4.1%

	19,100	Lockheed Martin Corporation	$	4,230,650
	7,000	Northrop Grumman Corporation		1,385,300
	28,900	Raytheon Company		3,544,007
	4,000	Rockwell Collins, Inc.		368,840
		Total Aerospace & Defense		9,528,797

		Air Freight & Logistics – 0.1%

	5,400	Expeditors International of Washington, Inc.		263,574

		Airlines – 2.5%

	51,800	Delta Air Lines, Inc.		2,521,624
	74,000	Southwest Airlines Co., (2)		3,315,200
		Total Airlines		5,836,824

		Auto Components – 1.6%

	29,400	Delphi Automotive PLC		2,205,588
	45,200	Goodyear Tire & Rubber Company		1,490,696
		Total Auto Components		3,696,284

		Banks – 0.8%

	8,900	Fifth Third Bancorp.		148,541
	58,100	Huntington BancShares Inc.		554,274
	50,500	People's United Financial, Inc., (2)		804,465
	5,800	SunTrust Banks, Inc.		209,264
	3,150	Wells Fargo & Company		152,334
		Total Banks		1,868,878

		Beverages – 2.8%

	5,600	Brown-Forman Corporation		551,432
	22,300	Constellation Brands, Inc., Class A		3,369,307
	29,700	Dr. Pepper Snapple Group		2,655,774
		Total Beverages		6,576,513

		Biotechnology – 0.9%

	6,100	Regeneron Pharmaceuticals, Inc.		2,198,684

		Building Products – 0.7%

	10,200	Allegion PLC		649,842
	29,200	Masco Corporation		918,340
		Total Building Products		1,568,182

		Capital Markets – 0.0%

	400	Goldman Sachs Group, Inc.		62,792

		Chemicals – 1.8%

	1,100	Airgas, Inc.		155,804
	4,600	Ecolab Inc., (2)		512,992
	1,700	International Flavors & Fragrances Inc.		193,409
	39,500	LyondellBasell Industries NV		3,380,410
		Total Chemicals		4,242,615


Nuveen Investments			1


JCE	Nuveen Core Equity Alpha Fund
	Portfolio of Investments (continued)	March 31, 2016 (Unaudited)


Shares		Description (1)	Value

		Commercial Services & Supplies – 1.9%

	19,300	Cintas Corporation	$	1,733,333
	17,000	Republic Services, Inc.		810,050
	9,900	Stericycle Inc.		1,249,281
	10,200	Waste Management, Inc.		601,800
		Total Commercial Services & Supplies		4,394,464

		Communications Equipment – 0.8%

	8,400	Harris Corporation		654,024
	17,700	Juniper Networks Inc.		451,527
	11,900	Motorola Solutions Inc.		900,830
		Total Communications Equipment		2,006,381

		Construction & Engineering – 0.2%

	21,900	Quanta Services Incorporated		494,064

		Construction Materials – 0.8%

	18,400	Vulcan Materials Company		1,942,488

		Consumer Finance – 0.3%

	13,000	Discover Financial Services		661,960

		Containers & Packaging – 0.5%

	15,200	Avery Dennison Corporation		1,096,072
	1,600	Ball Corporation		114,064
		Total Containers & Packaging		1,210,136

		Diversified Consumer Services – 0.0%

	300	H & R Block Inc.		7,926

		Diversified Financial Services – 2.0%

	32,300	CME Group, Inc.		3,102,415
	23,100	NASDAQ Stock Market, Inc.		1,533,378
		Total Diversified Financial Services		4,635,793

		Electric Utilities – 1.2%

	9,600	Eversource Energy		560,064
	7,200	Pinnacle West Capital Corporation		540,504
	16,600	PPL Corporation		631,962
	6,500	Southern Company		336,245
	18,100	Xcel Energy, Inc.		756,942
		Total Electric Utilities		2,825,717

		Electrical Equipment – 0.2%

	7,600	Ametek Inc.		379,848

		Electronic Equipment, Instruments & Components – 0.1%

	2,200	TE Connectivity Limited		136,224

		Energy Equipment & Services – 0.4%

	4,300	Cooper Cameron Corporation		288,315
	2,000	Helmerich & Payne Inc.		117,440
	62,700	Transocean Inc.		573,078
		Total Energy Equipment & Services		978,833

		Food & Staples Retailing – 2.3%

	5,100	Costco Wholesale Corporation		803,658
	22,900	CVS Health Corporation		2,375,417
	55,400	Kroger Co.		2,119,050
	4,800	Sysco Corporation		224,304
		Total Food & Staples Retailing		5,522,429


	2			Nuveen Investments


Shares		Description (1)	Value

		Food Products – 4.7%

	26,600	Campbell Soup Company, (2)	$	1,696,814
	34,800	ConAgra Foods, Inc.		1,552,776
	3,800	Hershey Foods Corporation		349,942
	46,800	Hormel Foods Corporation		2,023,632
	10,300	Kellogg Company		788,465
	21,000	McCormick & Company, Incorporated		2,089,080
	24,000	Mondelez International Inc.		962,880
	26,300	Tyson Foods, Inc., Class A		1,753,158
		Total Food Products		11,216,747

		Health Care Equipment & Supplies – 2.3%

	2,400	Becton, Dickinson and Company		364,368
	51,900	Boston Scientific Corporation		976,239
	2,900	C. R. Bard, Inc.		587,743
	23,000	DENTSPLY SIRONA Inc.		1,417,490
	24,100	Edwards Lifesciences Corporation		2,125,861
		Total Health Care Equipment & Supplies		5,471,701

		Health Care Providers & Services – 5.3%

	3,559	Aetna Inc.		399,854
	19,400	AmerisourceBergen Corporation		1,679,070
	23,400	Anthem Inc.		3,252,366
	34,800	Cardinal Health, Inc.		2,851,860
	5,800	CIGNA Corporation		795,992
	8,200	Henry Schein Inc.		1,415,566
	15,100	UnitedHealth Group Incorporated, (2)		1,946,390
		Total Health Care Providers & Services		12,341,098

		Hotels, Restaurants & Leisure – 2.8%

	13,100	Carnival Corporation		691,287
	5,400	McDonald's Corporation		678,672
	36,100	Royal Caribbean Cruises Limited		2,965,615
	38,800	Starbucks Corporation		2,316,360
		Total Hotels, Restaurants & Leisure		6,651,934

		Household Durables – 2.1%

	31,700	D.R. Horton, Inc.		958,291
	10,500	Mohawk Industries Inc.		2,004,450
	43,900	Newell Rubbermaid Inc.		1,944,331
		Total Household Durables		4,907,072

		Household Products – 1.4%

	15,000	Clorox Company		1,890,900
	10,500	Kimberly-Clark Corporation		1,412,355
		Total Household Products		3,303,255

		Industrial Conglomerates – 0.5%

	6,100	Roper Technologies, Inc.		1,114,897

		Insurance – 3.6%

	6,800	Allstate Corporation		458,116
	8,000	American International Group, Inc.		432,400
	12,700	Assurant Inc.		979,805
	29,000	Cincinnati Financial Corporation		1,895,440
	35,900	Hartford Financial Services Group, Inc.		1,654,272
	41,400	Progressive Corporation		1,454,796
	5,900	Travelers Companies, Inc.		688,589
	24,800	XL Capital Ltd, Class A		912,640
		Total Insurance		8,476,058


Nuveen Investments			3


JCE	Nuveen Core Equity Alpha Fund
	Portfolio of Investments (continued)	March 31, 2016 (Unaudited)


Shares		Description (1)	Value

		Internet & Catalog Retail – 2.7%

	6,500	Amazon.com, Inc.	$	3,858,660
	3,400	Expedia, Inc.		366,588
	20,700	NetFlix.com Inc.		2,116,161
		Total Internet & Catalog Retail		6,341,409

		Internet Software & Services – 2.2%

	34,600	Facebook Inc., Class A Shares		3,947,860
	12,400	VeriSign, Inc.		1,097,896
		Total Internet Software & Services		5,045,756

		IT Services – 2.9%

	3,300	Accenture Limited		380,820
	10,300	Automatic Data Processing, Inc.		924,013
	26,000	Fiserv, Inc.		2,667,080
	3,500	MasterCard, Inc.		330,750
	31,000	Paychex, Inc.		1,674,310
	16,300	Total System Services Inc.		775,554
		Total IT Services		6,752,527

		Leisure Products – 0.5%

	900	Hasbro, Inc.		72,090
	35,700	Mattel, Inc.		1,200,234
		Total Leisure Products		1,272,324

		Life Sciences Tools & Services – 0.6%

	11,800	Agilent Technologies, Inc.		470,230
	12,200	Perkinelmer Inc.		603,412
	2,700	Thermo Fisher Scientific, Inc.		382,293
		Total Life Sciences Tools & Services		1,455,935

		Machinery – 1.2%

	7,000	Snap-on Incorporated		1,098,930
	8,800	Stanley Black & Decker Inc.		925,848
	16,500	Xylem Inc.		674,850
		Total Machinery		2,699,628

		Media – 2.9%

	34,600	Cablevision Systems Corporation		1,141,800
	3,300	Comcast Corporation, Class A		201,564
	67,800	Interpublic Group of Companies, Inc.		1,556,010
	600	Omnicom Group, Inc.		49,938
	3,500	Scripps Networks Interactive, Class A Shares		229,250
	12,000	Time Warner Cable, Class A		2,455,440
	12,700	Walt Disney Company		1,261,237
		Total Media		6,895,239

		Multiline Retail – 1.3%

	36,200	Target Corporation, (2)		2,978,536

		Multi-Utilities – 2.9%

	7,500	Ameren Corporation		375,750
	13,200	CMS Energy Corporation		560,208
	18,100	Consolidated Edison, Inc.		1,386,822
	1,400	DTE Energy Company		126,924
	74,000	NiSource Inc., (2)		1,743,440
	7,000	PG&E Corporation		418,040
	7,100	Scana Corporation		498,065
	24,800	TECO Energy, Inc.		682,744
	15,600	WEC Energy Group, Inc.		937,092
		Total Multi-Utilities		6,729,085


	4			Nuveen Investments


Shares		Description (1)	Value

		Oil, Gas & Consumable Fuels – 2.8%

	2,500	Cimarex Energy Company	$	243,175
	8,200	Marathon Petroleum Corporation		304,876
	15,100	Newfield Exploration Company		502,075
	10,100	Phillips 66		874,559
	11,200	Tesoro Corporation		963,312
	56,800	Valero Energy Corporation		3,643,152
		Total Oil, Gas & Consumable Fuels		6,531,149

		Personal Products – 0.2%

	5,100	Estee Lauder Companies Inc., Class A		480,981

		Pharmaceuticals – 1.9%

	817	Allergan PLC		218,981
	9,700	Eli Lilly and Company, (2)		698,497
	80,600	Zoetis Incorporated, (2)		3,572,998
		Total Pharmaceuticals		4,490,476

		Professional Services – 1.2%

	23,400	Equifax Inc.		2,674,386
	1,800	Verisk Analytics Inc, Class A Shares		143,856
		Total Professional Services		2,818,242

		Real Estate Investment Trust – 7.7%

	11,400	Apartment Investment & Management Company, Class A		476,748
	3,300	AvalonBay Communities, Inc.		627,660
	1,500	Boston Properties, Inc.		190,620
	600	Crown Castle International Corporation		51,900
	9,043	Equinix Inc.		2,990,611
	15,400	Equity Residential		1,155,462
	4,200	Essex Property Trust Inc.		982,212
	18,700	Extra Space Storage Inc.		1,747,702
	6,000	Federal Realty Investment Trust		936,300
	51,900	Kimco Realty Corporation		1,493,682
	11,900	Macerich Company		942,956
	30,300	Prologis Inc.		1,338,654
	15,000	Public Storage, Inc.		4,137,450
	7,600	Realty Income Corporation		475,076
	600	Simon Property Group, Inc.		124,614
	3,500	Vornado Realty Trust		330,505
		Total Real Estate Investment Trust		18,002,152

		Semiconductors & Semiconductor Equipment – 5.3%

	44,200	Applied Materials, Inc.		936,156
	21,044	Broadcom Limited		3,251,298
	11,300	First Solar Inc.		773,711
	11,500	Intel Corporation		372,025
	13,700	KLA-Tencor Corporation		997,497
	11,600	Lam Research Corporation		958,160
	12,200	Microchip Technology Incorporated		588,040
	99,700	NVIDIA Corporation, (2)		3,552,311
	18,800	Xilinx, Inc.		891,684
		Total Semiconductors & Semiconductor Equipment		12,320,882

		Software – 4.6%

	64,100	Activision Blizzard Inc.		2,169,144
	33,000	Adobe Systems Incorporated		3,095,400
	3,100	Autodesk, Inc.		180,761
	62,300	Electronic Arts Inc., (2)		4,118,653
	3,600	Intuit, Inc.		374,436
	12,300	Red Hat, Inc.		916,473
		Total Software		10,854,867


Nuveen Investments			5


JCE	Nuveen Core Equity Alpha Fund
	Portfolio of Investments (continued)	March 31, 2016 (Unaudited)


Shares		Description (1)							Value

		Specialty Retail – 6.1%

	1,500	AutoZone, Inc.							$	1,195,035
	30,300	Home Depot, Inc.								4,042,929
	29,700	L Brands Inc.								2,607,957
	36,400	Lowe's Companies, Inc., (2)								2,757,300
	10,900	O'Reilly Automotive Inc., (2)								2,982,894
	2,000	Ross Stores, Inc.								115,800
	5,700	Tractor Supply Company								515,622
		Total Specialty Retail								14,217,537

		Textiles, Apparel & Luxury Goods – 1.0%

	22,600	Nike, Inc., Class B, (2)								1,389,222
	2,900	Under Armour, Inc.								246,007
	9,200	VF Corporation								595,792
		Total Textiles, Apparel & Luxury Goods								2,231,021

		Tobacco – 1.7%

	16,100	Altria Group, Inc.								1,008,826
	60,078	Reynolds American Inc.								3,022,523
		Total Tobacco								4,031,349
		Total Long-Term Investments (cost $198,289,320)								230,671,263

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (3)		Value

		SHORT-TERM INVESTMENTS – 4.0%

		REPURCHASE AGREEMENTS – 2.9%

$	6,761	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/16, repurchase price $6,760,975 collateralized by $6,660,000 U.S. Treasury Notes, 2.125%, due 5/15/25, value $6,901,425		0.030%		4/01/16		N/A	$	6,760,969

		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 1.1%

	2,500	U.S. Treasury Bills, (2)		0.00%		4/28/16		AAA		2,499,680
$	9,261	Total Short-Term Investments (cost $9,260,461)								9,260,649
		Total Investments (cost $207,549,781) – 102.4%								239,931,912
		Other Assets Less Liabilities – (2.4)% (4)								(5,727,358	)
		Net Assets – 100%							$	234,204,554

Investments in Derivatives as of March 31, 2016

Options Written outstanding:


Number of Contracts			Description	Notional Amount (5)			Expiration Date		Strike Price		Value
	(125	)	RUSSELL 2000^® Index	$	(13,437,500	)		4/15/16	$	1,075	$	(515,000	)
	(150	)	RUSSELL 2000^® Index		(16,500,000	)		4/15/16		1,100		(321,750	)
	(160	)	RUSSELL 2000^® Index		(17,920,000	)		4/15/16		1,120		(151,200	)
	(75	)	RUSSELL 2000^® Index		(8,325,000	)		4/15/16		1,110		(112,500	)
	(125	)	RUSSELL 2000^® Index		(14,125,000	)		5/20/16		1,130		(218,125	)
	(75	)	RUSSELL 2000^® Index		(8,625,000	)		5/20/16		1,150		(72,000	)
	(25	)	RUSSELL 2000^® Index		(2,875,000	)		6/17/16		1,150		(40,250	)
	(735	)	Total Options Written (premiums received $719,374)	$	(81,807,500	)					$	(1,430,825	)


	6			Nuveen Investments

Futures Contracts outstanding:


Description	Contract Position		Number of Contracts		Contract Expiration		Notional Amount at Value		Variation Margin Receivable/ (Payable)			Unrealized Appreciation (Depreciation)
S&P 500 E-Muni		Long		55		6/16	$	5,528,719	$	(10,175	)	$	112,906

Fair Value Measurements

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:


	Level 1			Level 2		Level 3		Total
Long-Term Investments:
Common Stocks	$	230,671,263		$	—	$	—	$	230,671,263

Short-Term Investments:
Repurchase Agreements		—			6,760,969		—		6,760,969
U.S. Government and Agency Obligations		—			2,499,680		—		2,499,680

Investments in Derivatives:
Options Written		(1,430,825	)		—		—		(1,430,825	)
Futures Contracts*		112,906			—		—		112,906
Total	$	229,353,344		$	9,260,649	$	—	$	238,613,993

*	Represents net unrealized appreciation (depreciation).

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions and the recognition of unrealized gain or loss for tax (mark-to-market) on futures contracts and certain options contracts. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

As of March 31, 2016, the cost of investments (excluding investments in derivatives) was $207,590,016.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of March 31, 2016, were as follows:


Gross unrealized:
Appreciation			$34,332,315
Depreciation			(1,990,419)
Net unrealized appreciation (depreciation) of investments			$32,341,896


Nuveen Investments			7


JCE	Nuveen Core Equity Alpha Fund
	Portfolio of Investments (continued)	March 31, 2016 (Unaudited)

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1)	All percentages shown in the Portfolio of Investments are based on net assets.

(2)	Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(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)	Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter derivatives as well as the exchange-cleared and exchange-traded derivatives, when applicable. Other assets less liabilities also includes the value of options.

(5)	For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.

N/A	Not Applicable


	8			Nuveen Investments

Item 2. Controls and Procedures.

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)).

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: 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 Core Equity Alpha Fund

By (Signature and Title)		/s/ Kevin J. McCarthy
		Kevin J. McCarthy
		Vice President and Secretary

Date: May 27, 2016

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: May 27, 2016

By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller (principal financial officer)

Date: May 27, 2016