N-Q 1 d37990dnq.htm 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:  September 30, 2015  

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

   September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
 

LONG-TERM INVESTMENTS – 97.6%

     
 

COMMON STOCKS – 97.6%

     
      Aerospace & Defense – 3.6%              
  10,800     

General Dynamics Corporation

      $ 1,489,860   
  18,100     

Lockheed Martin Corporation

        3,752,311   
  7,000     

Northrop Grumman Corporation

        1,161,650   
  6,700     

Raytheon Company

        732,042   
  10,600     

Rockwell Collins, Inc.

        867,504   
  9,000     

Textron Inc.

            338,760   
 

Total Aerospace & Defense

            8,342,127   
      Air Freight & Logistics – 0.4%              
  6,800     

FedEx Corporation

            979,064   
      Auto Components – 1.9%              
  11,500     

BorgWarner Inc.

        478,285   
  32,300     

Delphi Automotive PLC

        2,456,092   
  45,200     

Goodyear Tire & Rubber Company

        1,325,716   
  2,000     

Johnson Controls, Inc.

            82,720   
 

Total Auto Components

            4,342,813   
      Banks – 2.9%              
  8,400     

BB&T Corporation

        299,040   
  29,100     

Comerica Incorporated

        1,196,010   
  22,700     

Fifth Third Bancorp.

        429,257   
  58,100     

Huntington BancShares Inc.

        615,860   
  51,400     

KeyCorp.

        668,714   
  50,500     

People's United Financial, Inc.

        794,365   
  45,500     

Regions Financial Corporation

        409,955   
  4,600     

SunTrust Banks, Inc.

        175,904   
  23,550     

Wells Fargo & Company

        1,209,293   
  34,400     

Zions Bancorporation

            947,376   
 

Total Banks

            6,745,774   
      Beverages – 1.3%              
  5,600     

Brown-Forman Corporation, Class B

        542,640   
  3,000     

Coca-Cola Enterprises Inc.

        145,050   
  8,000     

Constellation Brands, Inc., Class A

        1,001,680   
  14,300     

Dr. Pepper Snapple Group

        1,130,415   
  1,600     

Monster Beverage Corporation, (2)

            216,224   
 

Total Beverages

            3,036,009   
      Biotechnology – 2.1%              
  8,500     

AbbVie Inc.

        462,485   
  14,900     

Gilead Sciences, Inc.

        1,463,031   
  6,100     

Regeneron Pharmaceuticals, Inc., (2)

        2,837,354   
  1,300     

Vertex Pharmaceuticals Inc., (2)

            135,382   
 

Total Biotechnology

            4,898,252   
      Building Products – 0.6%              
  10,200     

Allegion PLC

        588,132   
  29,200     

Masco Corporation

            735,256   
 

Total Building Products

            1,323,388   

 

Nuveen Investments     1   


JCE    Nuveen Core Equity Alpha Fund   
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
      Capital Markets – 4.7%              
  4,300     

Affiliated Managers Group Inc., (2)

      $ 735,257   
  9,500     

Bank New York Mellon

        371,925   
  23,000     

Charles Schwab Corporation

        656,880   
  29,600     

E*Trade Group Inc., (2)

        779,368   
  17,800     

Goldman Sachs Group, Inc., (3)

        3,092,928   
  78,000     

Morgan Stanley

        2,457,000   
  29,300     

Northern Trust Corporation

        1,997,088   
  11,500     

State Street Corporation

            772,915   
 

Total Capital Markets

            10,863,361   
      Chemicals – 3.8%              
  17,600     

CF Industries Holdings, Inc.

        790,240   
  22,400     

Dow Chemical Company

        949,760   
  17,800     

Eastman Chemical Company

        1,152,016   
  10,300     

Ecolab Inc.

        1,130,116   
  39,500     

LyondellBasell Industries NV, Class A

        3,292,720   
  2,900     

PPG Industries, Inc.

        254,301   
  5,400     

Sherwin-Williams Company

            1,203,012   
 

Total Chemicals

            8,772,165   
      Commercial Services & Supplies – 1.2%              
  19,300     

Cintas Corporation

        1,654,975   
  17,000     

Republic Services, Inc.

        700,400   
  2,200     

Stericycle Inc., (2)

            306,482   
 

Total Commercial Services & Supplies

            2,661,857   
      Communications Equipment – 0.6%              
  7,200     

F5 Networks, Inc., (2)

        833,760   
  17,700     

Juniper Networks Inc.

            455,067   
 

Total Communications Equipment

            1,288,827   
      Construction & Engineering – 0.2%              
  21,900     

Quanta Services Incorporated, (2)

            530,199   
      Construction Materials – 0.8%              
  900     

Martin Marietta Materials

        136,755   
  18,400     

Vulcan Materials Company

            1,641,280   
 

Total Construction Materials

            1,778,035   
      Consumer Finance – 1.1%              
  13,900     

Capital One Financial Corporation

        1,008,028   
  28,400     

Discover Financial Services

            1,476,516   
 

Total Consumer Finance

            2,484,544   
      Containers & Packaging – 1.1%              
  15,200     

Avery Dennison Corporation

        859,864   
  3,500     

Ball Corporation

        217,700   
  29,600     

Sealed Air Corporation

            1,387,648   
 

Total Containers & Packaging

            2,465,212   
      Distributors – 0.1%              
  1,500     

Genuine Parts Company

            124,335   
      Diversified Financial Services – 3.3%              
  32,300     

CME Group, Inc., (3)

        2,995,502   
  40,400     

Leucadia National Corporation

        818,504   
  16,400     

McGraw-Hill Companies, Inc.

        1,418,600   
  12,400     

Moody's Corporation

        1,217,680   
  23,100     

NASDAQ Stock Market, Inc.

            1,231,923   
 

Total Diversified Financial Services

            7,682,209   

 

  2      Nuveen Investments


Shares     Description (1)             Value  
      Diversified Telecommunication Services – 0.7%              
  39,500     

Level 3 Communications Inc., (2)

          $ 1,725,755   
      Electrical Equipment – 0.3%              
  7,600     

Ametek Inc.

        397,632   
  2,100     

Rockwell Automation, Inc.

            213,087   
 

Total Electrical Equipment

            610,719   
      Electronic Equipment, Instruments & Comp – 0.4%              
  19,900     

Amphenol Corporation, Class A

            1,014,104   
      Energy Equipment & Services – 1.6%              
  21,700     

Baker Hughes Incorporated

        1,129,268   
  15,700     

Cooper Cameron Corporation, (2)

        962,724   
  22,600     

Halliburton Company

        798,910   
  15,400     

Helmerich & Payne Inc.

            727,804   
 

Total Energy Equipment & Services

            3,618,706   
      Food & Staples Retailing – 2.8%              
  45,400     

CVS Health Corporation

        4,380,192   
  55,400     

Kroger Co.

        1,998,278   
  1,000     

Walgreens Boots Alliance Inc.

            83,100   
 

Total Food & Staples Retailing

            6,461,570   
      Food Products – 1.3%              
  8,500     

Archer-Daniels-Midland Company

        352,325   
  34,800     

ConAgra Foods, Inc.

        1,409,748   
  1,300     

McCormick & Company, Incorporated

        106,834   
  26,300     

Tyson Foods, Inc., Class A

            1,133,530   
 

Total Food Products

            3,002,437   
      Health Care Equipment & Supplies – 1.0%              
  7,900     

Abbott Laboratories

        317,738   
  51,900     

Boston Scientific Corporation, (2)

        851,679   
  3,300     

Edwards Lifesciences Corporation, (2)

        469,161   
  1,300     

Intuitive Surgical, Inc., (2)

        597,454   
  1,300     

Saint Jude Medical Inc.

        82,017   
  1,000     

Stryker Corporation

            94,100   
 

Total Health Care Equipment & Supplies

            2,412,149   
      Health Care Providers & Services – 10.8%              
  27,759     

Aetna Inc., (3)

        3,037,112   
  40,600     

AmerisourceBergen Corporation, (3)

        3,856,594   
  45,800     

Anthem Inc., (3)

        6,412,000   
  34,800     

Cardinal Health, Inc.

        2,673,336   
  28,000     

CIGNA Corporation

        3,780,560   
  5,800     

Davita Inc., (2)

        419,514   
  7,100     

HCA Holdings Inc., (2)

        549,256   
  3,800     

Humana Inc.

        680,200   
  5,800     

McKesson HBOC Inc.

        1,073,174   
  3,100     

Patterson Companies, Inc.

        134,075   
  6,100     

Tenet Healthcare Corporation, (2)

        225,212   
  8,600     

UnitedHealth Group Incorporated

        997,686   
  9,100     

Universal Health Services, Inc., Class B

            1,135,771   
 

Total Health Care Providers & Services

            24,974,490   
      Health Care Technology – 0.4%              
  15,000     

Cerner Corporation, (2)

            899,400   
      Hotels, Restaurants & Leisure – 1.5%              
  13,100     

Carnival Corporation

        651,070   
  9,600     

Darden Restaurants, Inc.

        657,984   

 

Nuveen Investments     3   


JCE    Nuveen Core Equity Alpha Fund   
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
      Hotels, Restaurants & Leisure (continued)              
  16,900     

Marriott International, Inc., Class A

      $ 1,152,580   
  7,400     

Starbucks Corporation

        420,616   
  8,200     

YUM! Brands, Inc.

            655,590   
 

Total Hotels, Restaurants & Leisure

            3,537,840   
      Household Durables – 1.8%              
  31,700     

D.R. Horton, Inc.

        930,712   
  23,100     

Leggett and Platt Inc.

        952,875   
  2,900     

Mohawk Industries Inc., (2)

        527,191   
  43,900     

Newell Rubbermaid Inc.

            1,743,269   
 

Total Household Durables

            4,154,047   
      Independent Power & Renewable Electricity Producers – 0.1%              
  25,000     

AES Corporation

            244,750   
      Industrial Conglomerates – 0.3%              
  4,500     

Roper Technologies, Inc.

            705,150   
      Insurance – 4.4%              
  6,800     

AFLAC Incorporated

        395,284   
  6,800     

Allstate Corporation

        396,032   
  8,000     

American International Group, Inc.

        454,560   
  4,200     

AON PLC

        372,162   
  3,300     

Assurant Inc.

        260,733   
  35,900     

Hartford Financial Services Group, Inc.

        1,643,502   
  23,000     

Lincoln National Corporation

        1,091,580   
  16,700     

Marsh & McLennan Companies, Inc.

        872,074   
  17,400     

MetLife, Inc.

        820,410   
  3,600     

Principal Financial Group, Inc.

        170,424   
  10,200     

Progressive Corporation

        312,528   
  5,900     

Prudential Financial, Inc.

        449,639   
  17,600     

Torchmark Corporation

        992,640   
  28,500     

Unum Group

        914,280   
  24,800     

XL Capital Ltd

            900,736   
 

Total Insurance

            10,046,584   
      Internet & Catalog Retail – 1.0%              
  700     

Expedia, Inc.

        82,376   
  20,700     

NetFlix.com Inc., (2)

            2,137,482   
 

Total Internet & Catalog Retail

            2,219,858   
      Internet Software & Services – 1.7%              
  8,000     

Akamai Technologies, Inc., (2)

        552,480   
  34,600     

Facebook Inc., Class A, (2)

        3,110,540   
  2,200     

VeriSign, Inc., (2)

            155,232   
 

Total Internet Software & Services

            3,818,252   
      IT Services – 2.5%              
  2,300     

Alliance Data Systems Corporation, (2)

        595,654   
  6,000     

Automatic Data Processing, Inc.

        482,160   
  9,600     

Fidelity National Information Services

        643,968   
  26,000     

Fiserv, Inc., (2)

        2,251,860   
  11,900     

Paychex, Inc.

        566,797   
  16,300     

Total System Services Inc.

        740,509   
  20,600     

Western Union Company

            378,216   
 

Total IT Services

            5,659,164   
      Leisure Products – 0.7%              
  23,800     

Hasbro, Inc.

            1,716,932   

 

  4      Nuveen Investments


Shares     Description (1)             Value  
      Life Sciences Tools & Services – 0.6%              
  25,900     

Perkinelmer Inc.

      $ 1,190,364   
  1,100     

Waters Corporation, (2)

            130,031   
 

Total Life Sciences Tools & Services

            1,320,395   
      Machinery – 0.9%              
  1,000     

Deere & Company

        74,000   
  4,000     

Ingersoll Rand Company Limited

        203,080   
  7,000     

Snap-on Incorporated

        1,056,580   
  8,800     

Stanley Black & Decker Inc.

            853,424   
 

Total Machinery

            2,187,084   
      Media – 1.6%              
  2,400     

Comcast Corporation, Class A

        136,512   
  42,900     

TEGNA Inc.

        960,531   
  3,100     

Time Warner Cable, Class A

        556,047   
  10,500     

Time Warner Inc.

        721,875   
  12,700     

Walt Disney Company

            1,297,940   
 

Total Media

            3,672,905   
      Metals & Mining – 0.4%              
  64,500     

Newmont Mining Corporation

            1,036,515   
      Multiline Retail – 3.1%              
  17,300     

Dollar General Corporation

        1,253,212   
  24,500     

Dollar Tree Stores Inc., (2)

        1,633,170   
  31,600     

Kohl's Corporation

        1,463,396   
  36,200     

Target Corporation

            2,847,492   
 

Total Multiline Retail

            7,197,270   
      Multi-Utilities – 0.1%              
  15,500     

NiSource Inc.

            287,525   
      Oil, Gas & Consumable Fuels – 3.7%              
  35,300     

Cabot Oil & Gas Corporation

        771,658   
  16,200     

Cimarex Energy Company

        1,660,176   
  15,500     

Columbia Pipeline Group, Inc.

        283,495   
  8,400     

EQT Corporation

        544,068   
  29,500     

Marathon Petroleum Corporation

        1,366,735   
  15,100     

Newfield Exploration Company, (2)

        496,790   
  10,100     

Phillips 66

        776,084   
  11,200     

Tesoro Corporation

        1,089,088   
  23,300     

Valero Energy Corporation

        1,400,330   
  1,700     

Williams Companies, Inc.

            62,645   
 

Total Oil, Gas & Consumable Fuels

            8,451,069   
      Personal Products – 0.2%              
  5,100     

Estee Lauder Companies Inc., Class A

            411,468   
      Pharmaceuticals – 4.2%              
  13,317     

Allergan PLC, (2)

        3,619,694   
  9,700     

Eli Lilly and Company, (3)

        811,793   
  8,400     

Endo International PLC, (2)

        581,952   
  21,500     

Mallinckrodt PLC, (2)

        1,374,710   
  80,600     

Zoetis Incorporated, (3)

            3,319,108   
 

Total Pharmaceuticals

            9,707,257   
      Professional Services – 0.4%              
  3,300     

Dun and Bradstreet Inc.

        346,500   
  5,400     

Equifax Inc.

            524,772   
 

Total Professional Services

            871,272   

 

Nuveen Investments     5   


JCE    Nuveen Core Equity Alpha Fund   
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
      Real Estate Investment Trust – 0.4%              
  1,600     

Equinix Inc.

      $ 437,440   
  2,300     

Equity Residential

        172,776   
  1,000     

Essex Property Trust Inc.

            223,420   
 

Total Real Estate Investment Trust

            833,636   
      Real Estate Management & Development – 0.2%              
  13,300     

CBRE Group Inc., Class A, (2)

            425,600   
      Semiconductors & Semiconductor Equipment – 4.6%              
  13,500     

Analog Devices, Inc.

        761,535   
  26,500     

Avago Technologies Limited

        3,312,765   
  26,600     

Broadcom Corporation, Class A

        1,368,038   
  11,700     

Lam Research Corporation

        764,361   
  3,100     

Microchip Technology Incorporated

        133,579   
  10,300     

NVIDIA Corporation

        253,895   
  11,100     

Qorvo Inc., (2)

        500,055   
  37,000     

Skyworks Solutions Inc.

        3,115,770   
  8,900     

Xilinx, Inc.

            377,360   
 

Total Semiconductors & Semiconductor Equipment

            10,587,358   
      Software – 3.3%              
  13,400     

Activision Blizzard Inc.

        413,926   
  8,200     

Adobe Systems Incorporated, (2)

        674,204   
  21,200     

CA Technologies

        578,760   
  62,300     

Electronic Arts Inc., (2)

        4,220,825   
  10,100     

Intuit, Inc.

        896,375   
  12,300     

Red Hat, Inc., (2)

            884,124   
 

Total Software

            7,668,214   
      Specialty Retail – 7.5%              
  800     

Advance Auto Parts, Inc.

        151,624   
  6,400     

AutoNation Inc., (2)

        372,352   
  1,500     

AutoZone, Inc., (2)

        1,085,745   
  20,100     

CarMax, Inc., (2)

        1,192,332   
  17,200     

GameStop Corporation, Class A

        708,812   
  30,300     

Home Depot, Inc.

        3,499,347   
  29,700     

L Brands Inc.

        2,676,861   
  36,400     

Lowe's Companies, Inc.

        2,508,688   
  7,300     

O'Reilly Automotive Inc., (2)

        1,825,000   
  25,000     

Ross Stores, Inc.

        1,211,750   
  23,100     

Tractor Supply Company

            1,947,792   
 

Total Specialty Retail

            17,180,303   
      Technology Hardware, Storage & Peripherals – 0.6%              
  12,200     

Apple, Inc.

            1,345,660   
      Textiles, Apparel & Luxury Goods – 2.0%              
  75,300     

Hanesbrands Inc.

        2,179,182   
  100     

Nike, Inc., Class B

        12,297   
  12,200     

Under Armour, Inc., Class A, (2)

        1,180,716   
  18,800     

VF Corporation

            1,282,348   
 

Total Textiles, Apparel & Luxury Goods

            4,654,543   
      Tobacco – 0.8%              
  16,100     

Altria Group, Inc.

        875,840   
  23,278     

Reynolds American Inc.

            1,030,517   
 

Total Tobacco

            1,906,357   
 

Total Long-Term Investments (cost $211,756,799)

            224,884,509   

 

  6      Nuveen Investments


Principal
Amount (000)
    Description (1)   Coupon   Maturity     Ratings (4)     Value  
      SHORT-TERM INVESTMENTS – 2.1%                      
      REPURCHASE AGREEMENTS – 1.0%                      
$ 2,328     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/15, repurchase price $2,327,793, collateralized by $2,275,000 U.S. Treasury Notes, 2.500%, due 8/15/23, value $2,380,219

  0.000%     10/01/15        N/A      $ 2,327,793   
      U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 1.1%                      
  2,500     

U.S. Treasury Bills, (3)

  0.000%     11/12/15        AAA        2,500,037   
$ 4,828     

Total Short-Term Investments (cost $4,827,438)

                        4,827,830   
 

Total Investments (cost $216,584,237) – 99.7%

                        229,712,339   
 

Other Assets Less Liabilities – 0.3% (5)

                        637,987   
 

Net Assets – 100%

                      $ 230,350,326   

Investments in Derivatives as of September 30, 2015

Options Written outstanding:

 

Number of
Contracts
     Description      Counterparty      Notional
Amount
       Expiration
Date
       Strike
Price
       Value  

(150)

     CBOE Volatility Index®      N/A (8)      $ (450,000 ) (6)         10/21/15         $ 30         $ (12,750

(150)

     CBOE Volatility Index®      N/A (8)        (375,000 ) (6)         10/21/15           25           (25,875

(100,623)

     Custom Basket*      BNP Paribas        (10,062,300 ) (7)         10/15/15           103           (43,660

(150)

     RUSSELL 2000® Index      N/A (8)        (17,700,000 ) (6)         11/20/15           1,180           (82,500

(150)

     RUSSELL 2000® Index      N/A (8)        (17,250,000 ) (6)         11/20/15           1,150           (200,250

(125)

     RUSSELL 2000® Index      N/A (8)        (14,625,000 ) (6)         11/20/15           1,170           (95,625

(125)

     RUSSELL 2000® Index      N/A (8)        (14,500,000 ) (6)         11/20/15           1,160           (128,750

(300)

     S&P Midcap 400® Index      Deutsche Bank        (43,500,000 ) (6)         10/14/15           1,450           (27,860

(101,773)

     Total Options Written (premiums received $1,009,734)      $ (118,462,300                            $ (617,270

* The following table represents the individual common stock holdings comprising the Custom Basket Options Written as of September 30, 2015.

 

Shares        Description    Value  
  15,250         Anadarko Petroleum Corp    $ (4,349
  8,750         Apple, Inc.      (4,415
  13,250         Chevron Corporation      (4,436
  21,000         Conocophillips      (4,308
  13,000         EOG Resources Inc.      (4,357
  13,750         Exxon Mobil Corporation      (4,347
  73,000         Ford Motor Company      (4,533
  27,000         Halliburton Company      (4,336
  36,500         Twitter Inc.      (4,303
  31,750         Yahoo! Inc.      (4,276
                $ (43,660

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-Mini

       Long           55           12/15         $ 5,248,925         $ 94,050         $ (97,514

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

 

Nuveen Investments     7   


JCE    NuveenCore Equity Alpha Fund   
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

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

     $ 224,884,509       $       $         —       $ 224,884,509   

Short-Term Investments:

             

Repurchase Agreements

               2,327,793                 2,327,793   

U.S. Government and Agency Obligations

               2,500,037                 2,500,037   

Investments in Derivatives:

             

Options Written

       (545,750      (71,520              (617,270

Futures Contracts*

       (97,514                       (97,514

Total

     $ 224,241,245       $ 4,756,310       $       $ 228,997,555   
* 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. 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 September 30, 2015, the cost of investments (excluding investments in derivatives) was $216,993,650.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of September 30, 2015, were as follows:

 

Gross unrealized:         

Appreciation

   $ 23,797,296   

Depreciation

     (11,078,607
Net unrealized appreciation (depreciation) of investments    $ 12,718,689   

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) Non-income producing; issuer has not declared a dividend within the past twelve months.

 

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

 

(4) 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.

 

(5) 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.

 

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

 

(7) For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by $100.

 

(8) Option is exchange-traded and therefore the counterparty is not applicable.

 

N/A Not applicable

 

  8      Nuveen Investments


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: 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: November 27, 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 (Signature and Title)    /s/ Gifford R. Zimmerman                                                        
   Gifford R. Zimmerman   
   Chief Administrative Officer (principal executive officer)   
Date: November 27, 2015      
By (Signature and Title)    /s/ Stephen D. Foy                                                                    
   Stephen D. Foy   
   Vice President and Controller (principal financial officer)   
Date: November 27, 2015