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:

12/31

 

Date of reporting period:

3/31/2015

 

 

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

 



 

 

 

Portfolio of Investments (Unaudited)

 

 

 

 

 

Nuveen Core Equity Alpha Fund (JCE)

 

 

 

 

 

March 31, 2015

 

 

 

 

Shares

 

Description (1)

 

Value

 

 

 

LONG-TERM INVESTMENTS - 98.3%

 

 

 

 

 

COMMON STOCKS - 98.3%

 

 

 

 

 

Aerospace & Defense - 4.0%

 

 

 

 

 

 

 

 

 

10,800

 

General Dynamics Corporation

 

$   1,465,884

 

29,000

 

Lockheed Martin Corporation

 

5,885,840

 

7,000

 

Northrop Grumman Corporation

 

1,126,720

 

27,300

 

Raytheon Company

 

2,982,525

 

 

 

Total Aerospace & Defense

 

11,460,969

 

 

 

Air Freight & Logistics - 1.1%

 

 

 

 

 

 

 

 

 

27,900

 

C.H. Robinson Worldwide, Inc.

 

2,042,838

 

6,800

 

FedEx Corporation

 

1,125,060

 

 

 

Total Air Freight & Logistics

 

3,167,898

 

 

 

Airlines - 2.1%

 

 

 

 

 

 

 

 

 

10,000

 

Delta Air Lines, Inc.

 

449,600

 

126,800

 

Southwest Airlines Co.

 

5,617,240

 

 

 

Total Airlines

 

6,066,840

 

 

 

Banks - 1.0%

 

 

 

 

 

 

 

 

 

11,600

 

M&T Bank Corporation

 

1,473,200

 

23,550

 

Wells Fargo & Company

 

1,281,120

 

 

 

Total Banks

 

2,754,320

 

 

 

Beverages - 1.6%

 

 

 

 

 

 

 

 

 

900

 

Constellation Brands, Inc., Class A, (2)

 

104,589

 

38,700

 

Dr. Pepper Snapple Group

 

3,037,176

 

13,400

 

PepsiCo, Inc.

 

1,281,308

 

 

 

Total Beverages

 

4,423,073

 

 

 

Biotechnology - 3.2%

 

 

 

 

 

 

 

 

 

14,100

 

Amgen Inc.

 

2,253,885

 

9,200

 

Celgene Corporation

 

1,060,576

 

19,600

 

Gilead Sciences, Inc., (2)

 

1,923,348

 

6,100

 

Regeneron Pharmaceuticals, Inc., (2)

 

2,754,028

 

9,000

 

Vertex Pharmaceuticals Inc.

 

1,061,730

 

 

 

Total Biotechnology

 

9,053,567

 

 

 

Capital Markets - 3.2%

 

 

 

 

 

 

 

 

 

23,500

 

Bank New York Mellon

 

945,640

 

10,000

 

E*Trade Group Inc.

 

285,550

 

9,500

 

Goldman Sachs Group, Inc., (3)

 

1,785,715

 

2,000

 

Legg Mason, Inc.

 

110,400

 

78,000

 

Morgan Stanley

 

2,783,820

 

33,000

 

Northern Trust Corporation

 

2,298,450

 

11,500

 

State Street Corporation

 

845,595

 

 

 

Total Capital Markets

 

9,055,170

 

 

 

Chemicals - 1.4%

 

 

 

 

 

 

 

 

 

600

 

Air Products & Chemicals Inc.

 

90,768

 

10,000

 

Airgas, Inc.

 

1,061,100

 

3,300

 

Ecolab Inc.

 

377,454

 

15,600

 

LyondellBasell Industries NV

 

1,369,680

 

2,000

 

Sherwin-Williams Company

 

569,000

 

2,800

 

Sigma-Aldrich Corporation

 

387,100

 

 

 

Total Chemicals

 

3,855,102

 

 

 

Commercial Services & Supplies - 2.1%

 

 

 

 

 

 

 

 

 

3,900

 

ADT Corporation

 

161,928

 

19,300

 

Cintas Corporation

 

1,575,459

 

49,300

 

Republic Services, Inc.

 

1,999,608

 

700

 

Stericycle Inc.

 

98,301

 

41,500

 

Waste Management, Inc.

 

2,250,545

 

 

 

Total Commercial Services & Supplies

 

6,085,841

 

 

 

Communications Equipment - 0.3%

 

 

 

 

 

 

 

 

 

7,200

 

F5 Networks, Inc., (2)

 

827,568

 

 

 

Consumer Finance - 2.6%

 

 

 

 

 

 

 

 

 

29,500

 

Capital One Financial Corporation

 

2,325,190

 

60,800

 

Discover Financial Services

 

3,426,080

 

79,300

 

Navient Corporation

 

1,612,169

 

 

 

Total Consumer Finance

 

7,363,439

 

 

 

Containers & Packaging - 1.0%

 

 

 

 

 

 

 

 

 

22,700

 

Ball Corporation

 

1,603,528

 

29,600

 

Sealed Air Corporation

 

1,348,576

 

 

 

Total Containers & Packaging

 

2,952,104

 

 

 

Distributors - 0.7%

 

 

 

 

 

 

 

 

 

20,500

 

Genuine Parts Company

 

1,910,395

 

 

 

Diversified Financial Services - 3.3%

 

 

 

 

 

 

 

 

 

3,400

 

Berkshire Hathaway Inc., Class B

 

490,688

 

49,800

 

CME Group, Inc.

 

4,716,558

 

16,400

 

McGraw-Hill Companies, Inc.

 

1,695,760

 

11,000

 

Moody’s Corporation

 

1,141,800

 

23,100

 

NASDAQ Stock Market, Inc.

 

1,176,714

 

 

 

Total Diversified Financial Services

 

9,221,520

 

 

 

Diversified Telecommunication Services - 1.0%

 

 

 

 

 

 

 

 

 

85,400

 

CenturyLink Inc.

 

2,950,570

 

 

 

Electric Utilities - 3.3%

 

 

 

 

 

 

 

 

 

3,200

 

American Electric Power Company, Inc.

 

180,000

 

5,056

 

Duke Energy Corporation

 

388,200

 

13,600

 

Edison International

 

849,592

 

35,400

 

Entergy Corporation

 

2,743,146

 

14,400

 

Eversource Energy

 

727,488

 

16,500

 

Exelon Corporation

 

554,565

 

24,800

 

FirstEnergy Corp.

 

869,488

 

4,000

 

NextEra Energy Inc.

 

416,200

 

8,900

 

Pepco Holdings, Inc.

 

238,787

 

15,900

 

Pinnacle West Capital Corporation

 

1,013,625

 

10,700

 

PPL Corporation

 

360,162

 

21,100

 

Southern Company

 

934,308

 

400

 

Xcel Energy, Inc.

 

13,924

 

 

 

Total Electric Utilities

 

9,289,485

 

 

 

Electronic Equipment & Instruments - 0.4%

 

 

 

 

 

 

 

 

 

19,900

 

Amphenol Corporation, Class A

 

1,172,707

 

 

 

Food & Staples Retailing - 3.1%

 

 

 

 

 

 

 

 

 

6,500

 

Costco Wholesale Corporation, (3)

 

984,717

 

45,400

 

CVS Caremark Corporation

 

4,685,734

 

41,000

 

Kroger Co.

 

3,143,060

 

 

 

Total Food & Staples Retailing

 

8,813,511

 

 

 

Food Products - 1.7%

 

 

 

 

 

 

 

 

 

33,900

 

Archer-Daniels-Midland Company

 

1,606,860

 

72,300

 

ConAgra Foods, Inc.

 

2,641,119

 

2,200

 

Hershey Foods Corporation

 

222,002

 

4,400

 

Hormel Foods Corporation

 

250,140

 

2,000

 

Mead Johnson Nutrition Company, Class A Shares

 

201,060

 

 

 

Total Food Products

 

4,921,181

 

 

 

Gas Utilities - 0.0%

 

 

 

 

 

 

 

 

 

1,300

 

AGL Resources Inc.

 

64,545

 

 

 

Health Care Equipment & Supplies - 1.8%

 

 

 

 

 

 

 

 

 

21,900

 

Edwards Lifesciences Corporation, (2)

 

3,119,874

 

2,600

 

Intuitive Surgical, Inc., (2)

 

1,313,078

 

5,900

 

Stryker Corporation

 

544,275

 

 

 

Total Health Care Equipment & Supplies

 

4,977,227

 

 

 

Health Care Providers & Services - 7.4%

 

 

 

 

 

 

 

 

 

4,859

 

Aetna Inc.

 

517,629

 

40,600

 

AmerisourceBergen Corporation, (3)

 

4,615,002

 

42,500

 

Anthem Inc., (3)

 

6,562,425

 

34,800

 

Cardinal Health, Inc.

 

3,141,396

 

5,800

 

Davita Inc., (2)

 

471,424

 

3,800

 

Humana Inc.

 

676,476

 

10,400

 

McKesson HBOC Inc.

 

2,352,480

 

12,600

 

Patterson Companies, Inc.

 

614,754

 

4,700

 

Quest Diagnostics Incorporated

 

361,195

 

8,600

 

UnitedHealth Group Incorporated

 

1,017,294

 

6,700

 

Universal Health Services, Inc., Class B

 

788,657

 

 

 

Total Health Care Providers & Services

 

21,118,732

 

 

 

Health Care Technology - 0.4%

 

 

 

 

 

 

 

 

 

15,000

 

Cerner Corporation, (2)

 

1,098,900

 

 

 

Hotels, Restaurants & Leisure - 3.3%

 

 

 

 

 

 

 

 

 

13,100

 

Carnival Corporation

 

626,704

 

2,100

 

Chipotle Mexican Grill, (2)

 

1,366,134

 

9,600

 

Darden Restaurants, Inc.

 

665,664

 

44,500

 

Marriott International, Inc., Class A

 

3,574,240

 

19,000

 

Royal Caribbean Cruises Limited

 

1,555,150

 

17,000

 

Wyndham Worldwide Corporation

 

1,537,990

 

 

 

Total Hotels, Restaurants & Leisure

 

9,325,882

 

 

 

Household Durables - 1.5%

 

 

 

 

 

 

 

 

 

2,400

 

D.R. Horton, Inc.

 

68,352

 

23,100

 

Leggett and Platt Inc.

 

1,064,679

 

43,900

 

Newell Rubbermaid Inc.

 

1,715,173

 

6,100

 

Pulte Corporation

 

135,603

 

6,400

 

Whirlpool Corporation

 

1,293,184

 

 

 

Total Household Durables

 

4,276,991

 

 

 

Insurance - 2.3%

 

 

 

 

 

 

 

 

 

2,500

 

Ace Limited

 

278,725

 

20,400

 

Allstate Corporation

 

1,451,868

 

4,200

 

AON PLC

 

403,704

 

3,600

 

Chubb Corporation

 

363,960

 

35,900

 

Hartford Financial Services Group, Inc.

 

1,501,338

 

7,700

 

Lincoln National Corporation

 

442,442

 

16,700

 

Marsh & McLennan Companies, Inc.

 

936,703

 

9,500

 

Principal Financial Group, Inc.

 

488,015

 

6,300

 

Travelers Companies, Inc.

 

681,219

 

 

 

Total Insurance

 

6,547,974

 

 

 

Internet Software & Services - 2.9%

 

 

 

 

 

 

 

 

 

68,400

 

Facebook Inc., Class A Shares, (2)

 

5,623,506

 

59,700

 

Yahoo! Inc., (2)

 

2,652,770

 

 

 

Total Internet Software & Services

 

8,276,276

 

 

 

IT Services - 1.8%

 

 

 

 

 

 

 

 

 

14,600

 

Automatic Data Processing, Inc.

 

1,250,344

 

9,600

 

Fidelity National Information Services

 

653,376

 

6,800

 

Fiserv, Inc., (2)

 

539,920

 

11,900

 

Paychex, Inc.

 

590,418

 

161,700

 

Xerox Corporation

 

2,077,845

 

 

 

Total IT Services

 

5,111,903

 

 

 

Machinery - 0.5%

 

 

 

 

 

 

 

 

 

14,000

 

Pall Corporation

 

1,405,460

 

 

 

Media - 0.6%

 

 

 

 

 

 

 

 

 

5,600

 

Cablevision Systems Corporation

 

102,480

 

900

 

Time Warner Cable, Class A

 

134,892

 

1,100

 

Time Warner Inc.

 

92,884

 

12,700

 

Walt Disney Company

 

1,332,103

 

 

 

Total Media

 

1,662,359

 

 

 

Metals & Mining - 0.2%

 

 

 

 

 

 

 

 

 

52,900

 

Alcoa Inc.

 

683,468

 

 

 

Multiline Retail - 2.4%

 

 

 

 

 

 

 

 

 

24,500

 

Dollar Tree Stores Inc., (2)

 

1,988,053

 

31,600

 

Kohl’s Corporation

 

2,472,700

 

10,400

 

Nordstrom, Inc.

 

835,328

 

19,100

 

Target Corporation

 

1,567,537

 

 

 

Total Multiline Retail

 

6,863,618

 

 

 

Multi-Utilities - 2.6%

 

 

 

 

 

 

 

 

 

35,500

 

Ameren Corporation

 

1,498,100

 

7,100

 

CMS Energy Corporation

 

247,861

 

10,200

 

Consolidated Edison, Inc.

 

622,200

 

2,200

 

DTE Energy Company

 

177,518

 

2,700

 

Integrys Energy Group, Inc.

 

194,454

 

50,600

 

NiSource Inc.

 

2,234,496

 

3,500

 

Public Service Enterprise Group Incorporated

 

146,720

 

19,000

 

Sempra Energy

 

2,071,380

 

6,800

 

TECO Energy, Inc.

 

131,920

 

 

 

Total Multi-Utilities

 

7,324,649

 

 

 

Oil, Gas & Consumable Fuels - 0.0%

 

 

 

 

 

 

 

 

 

2,000

 

Spectra Energy Corporation

 

72,340

 

 

 

Pharmaceuticals - 4.6%

 

 

 

 

 

 

 

 

 

16,917

 

Actavis Inc., (2)

 

5,034,838

 

22,900

 

Eli Lilly and Company

 

1,663,685

 

21,500

 

Mallinckrodt PLC, (2)

 

2,722,975

 

80,600

 

Zoetis Incorporated

 

3,730,974

 

 

 

Total Pharmaceuticals

 

13,152,472

 

 

 

Professional Services - 0.3%

 

 

 

 

 

 

 

 

 

3,300

 

Dun and Bradstreet Inc.

 

423,588

 

4,800

 

Robert Half International Inc.

 

290,496

 

 

 

Total Professional Services

 

714,084

 

 

 

Real Estate Investment Trust - 3.2%

 

 

 

 

 

 

 

 

 

4,200

 

American Tower Corporation, REIT

 

395,430

 

4,800

 

Apartment Investment & Management Company, Class A

 

188,928

 

15,100

 

AvalonBay Communities, Inc.

 

2,631,175

 

1,600

 

Boston Properties, Inc.

 

224,768

 

36,700

 

Equity Residential

 

2,857,462

 

2,000

 

Essex Property Trust Inc.

 

459,800

 

9,100

 

General Growth Properties Inc.

 

268,905

 

1,000

 

Health Care REIT, Inc.

 

77,360

 

16,400

 

Host Hotels & Resorts Inc.

 

330,952

 

25,900

 

Iron Mountain Inc.

 

944,832

 

7,200

 

Macerich Company

 

607,176

 

6,700

 

Weyerhaeuser Company

 

222,105

 

 

 

Total Real Estate Investment Trust

 

9,208,893

 

 

 

Road & Rail - 4.6%

 

 

 

 

 

 

 

 

 

87,500

 

CSX Corporation

 

2,898,000

 

22,000

 

Kansas City Southern Industries

 

2,245,760

 

42,100

 

Norfolk Southern Corporation

 

4,332,932

 

33,700

 

Union Pacific Corporation

 

3,650,047

 

 

 

Total Road & Rail

 

13,126,739

 

 

 

Semiconductors & Semiconductor Equipment - 4.9%

 

 

 

 

 

 

 

 

 

26,500

 

Avago Technologies Limtied

 

3,364,970

 

74,600

 

Broadcom Corporation, Class A

 

3,229,807

 

38,000

 

Intel Corporation

 

1,188,260

 

26,600

 

KLA-Tencor Corporation

 

1,550,514

 

24,800

 

Lam Research Corporation

 

1,741,828

 

105,100

 

Micron Technology, Inc., (2)

 

2,851,363

 

 

 

Total Semiconductors & Semiconductor Equipment

 

13,926,742

 

 

 

Software - 1.7%

 

 

 

 

 

 

 

 

 

24,800

 

Electronic Arts Inc., (2)

 

1,458,612

 

10,100

 

Intuit, Inc.

 

979,296

 

7,400

 

Microsoft Corporation

 

300,847

 

12,300

 

Red Hat, Inc., (2)

 

931,725

 

44,600

 

Symantec Corporation

 

1,042,079

 

 

 

Total Software

 

4,712,559

 

 

 

Specialty Retail - 7.7%

 

 

 

 

 

 

 

 

 

7,700

 

Bed Bath and Beyond Inc., (2)

 

591,167

 

51,200

 

Best Buy Co., Inc.

 

1,934,848

 

20,100

 

CarMax, Inc., (2)

 

1,387,101

 

43,300

 

Home Depot, Inc.

 

4,919,313

 

38,900

 

L Brands Inc.

 

3,667,881

 

46,000

 

Lowe’s Companies, Inc.

 

3,421,940

 

7,300

 

O’Reilly Automotive Inc., (2)

 

1,578,552

 

22,000

 

Ross Stores, Inc.

 

2,317,920

 

105,300

 

Staples, Inc.

 

1,714,810

 

3,300

 

TJX Companies, Inc.

 

231,165

 

 

 

Total Specialty Retail

 

21,764,697

 

 

 

Technology Hardware, Storage & Peripherals - 3.1%

 

 

 

 

 

 

 

 

 

12,200

 

Apple, Inc.

 

1,518,046

 

17,800

 

EMC Corporation

 

454,968

 

43,800

 

NetApp, Inc.

 

1,553,148

 

33,100

 

SanDisk Corporation

 

2,105,822

 

20,900

 

Seagate Technology

 

1,087,427

 

22,600

 

Western Digital Corporation

 

2,056,826

 

 

 

Total Technology Hardware, Storage & Peripherals

 

8,776,237

 

 

 

Textiles, Apparel & Luxury Goods - 1.7%

 

 

 

 

 

 

 

 

 

8,100

 

Ralph Lauren Corporation

 

1,065,150

 

48,100

 

VF Corporation

 

3,622,411

 

 

 

Total Textiles, Apparel & Luxury Goods

 

4,687,561

 

 

 

Tobacco - 1.7%

 

 

 

 

 

 

 

 

 

70,900

 

Altria Group, Inc.

 

3,546,418

 

18,700

 

Lorillard Inc.

 

1,222,045

 

 

 

Total Tobacco

 

4,768,463

 

 

 

Total Long-Term Investments (cost $243,062,196)

 

278,994,031

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (4)

 

Value

 

 

 

SHORT-TERM INVESTMENTS - 4.0%

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements - 3.1%

 

 

 

 

 

 

 

 

 

$   8,870

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/15, repurchase price $8,869,740, collateralized by $8,705,000 U.S. Treasury Notes, 2.375%, due 8/15/24, value $9,053,200

 

0.000%

 

4/01/15

 

N/A

 

$     8,869,740

 

 

 

U.S. Government and Agency Obligations - 0.9%

 

 

 

 

 

 

 

 

 

2,500

 

U.S. Treasury Bills, (3)

 

0.000%

 

1/15/15

 

AAA

 

2,497,578

 

$  11,370

 

Total Short-Term Investments (cost $11,367,832)

 

 

 

 

 

 

 

11,367,318

 

 

 

Total Investments (cost $254,430,028) - 102.3%

 

 

 

 

 

 

 

290,361,349

 

 

 

Other Assets Less Liabilities - (2.3)% (5)

 

 

 

 

 

 

 

(6,542,954

)

 

 

Net Assets - 100%

 

 

 

 

 

 

 

$  283,818,395

 

 

Investments in Derivatives as of March 31, 2015

 

Options Written outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Number of

 

 

 

 

 

Notional

 

Expiration

 

Strike

 

 

 

Option Type

 

Contracts

 

Description

 

Counterparty

 

Amount

 

Date

 

Price

 

Value

 

Call

 

(205,169

)

Custom Basket 1*

 

Deutsche Bank

 

$ (20,516,900

)(6)

5/05/15

 

$   103.00

 

$       (125,153

)

Call

 

(93,939

)

Custom Basket 6**

 

Citigroup

 

(9,393,900

)(6)

4/13/15

 

103.00

 

(57,782

)

Call

 

(231,975

)

Custom Basket 7***

 

BNP Paribas

 

(23,197,500

)(6)

4/17/15

 

103.00

 

(3,781

)

Call

 

(130

)

S&P Midcap 400® Index

 

Citigroup

 

(20,227,350

)(7)

4/17/15

 

1,555.95

 

(40,592

)

 

 

(531,213

)

Total Options Written (premiums received $365,401)

 

$ (73,335,650

)

 

 

 

 

$       (227,308

)

 

*The following table represents the individual common stock holdings comprising the Custom Basket 1 Options Written as of March 31, 2015.

 

Shares

 

Description

 

Value

 

20,000

 

58.com, Inc., ADR

 

$           (6,451

)

16,000

 

Cognizant Technology Solutions Corp

 

(6,089

)

80,000

 

Flextronics International Ltd.

 

(6,185

)

110,000

 

iShares® MSCI Australia ETF

 

(15,339

)

140,000

 

iShares® MSCI Hong Kong ETF

 

(18,728

)

20,000

 

iShares® Russell 2000® ETF

 

(15,171

)

36,000

 

JD.com Inc., ADR

 

(6,452

)

16,000

 

Lululemon Athletica Inc.

 

(6,248

)

40,000

 

New Oriental Education & Technology Group, ADR

 

(5,410

)

24,000

 

Qunar Cayman Islands Ltd., ADR

 

(6,039

)

20,000

 

SOHU.com, Inc.

 

(6,506

)

22,000

 

SPDR® S&P® Retail ETF

 

(13,560

)

38,000

 

Vipshop Holdings Ltd., ADR

 

(6,824

)

26,000

 

WuXi PharmaTech (Cayman) Inc., ADR

 

(6,151

)

 

 

 

 

$       (125,153

)

 

** The following table represents the individual common stock holdings comprising the Custom Basket 6 Options Written as of March 31, 2015.

 

Shares

 

Description

 

Value

 

40,000

 

Barrick Gold Corporation

 

$           (2,657

)

30,000

 

Goldcorp Inc.

 

(3,432

)

20,000

 

iShares® Core S&P Mid-Cap ETF

 

(18,349

)

20,000

 

iShares® MSCI Hong Kong ETF

 

(2,633

)

50,000

 

iShares® MSCI Japan ETF

 

(3,774

)

90,000

 

Market Vectors® Gold Miners ETF

 

(9,915

)

30,000

 

Newmont Mining Corporation

 

(4,137

)

40,000

 

Pan American Silver Corporation

 

(2,170

)

15,000

 

PowerShares NASDAQ Internet Portfolio

 

(6,500

)

10,000

 

Randgold Resources Ltd., ADR

 

(4,215

)

 

 

 

 

$         (57,782

)

 

*** The following table represents the individual common stock holdings comprising the Custom Basket 7 Options Written as of March 31, 2015.

 

Shares

 

Description

 

Value

 

10,000

 

Boeing Company

 

$              (248

)

20,000

 

Deere & Company

 

(294

)

40,000

 

iShares® Core S&P Mid-Cap ETF

 

(978

)

40,000

 

iShares® Transportation Average ETF

 

(1,056

)

20,000

 

J.B. Hunt Transport Services, Inc.

 

(282

)

10,000

 

Kansas City Southern

 

(187

)

20,000

 

Landstar System, Inc.

 

(223

)

10,000

 

Union Pacific Corporation

 

(188

)

20,000

 

United Parcel Service, Inc., Class B

 

(325

)

 

 

 

 

$           (3,781

)

 

Futures Contracts outstanding:

 

 

 

 

 

 

 

 

 

 

 

Variation

 

 

 

 

 

 

 

 

 

 

 

 

 

Margin

 

Unrealized

 

 

 

Contract

 

Number of

 

Contract

 

Notional

 

Receivable/

 

Appreciation

 

Description

 

Position

 

Contracts

 

Expiration

 

Value

 

(Payable)

 

(Depreciation)

 

S&P 500 E-Mini

 

Long

 

60

 

6/15

 

$  6,182,400

 

$   (44,400

)

$   56,221

 

 

 

 

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

 

$  278,994,031

 

$                 –

 

$              –

 

$ 278,994,031

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

 

8,869,740

 

 

8,869,740

 

 

 

U.S. Government and Agency Obligations

 

 

2,497,578

 

 

2,497,578

 

 

 

Investments in Derivatives:

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

 

(227,308

)

 

(227,308

)

 

 

Futures Contracts*

 

56,221

 

 

 

56,221

 

 

 

Total

 

$  279,050,252

 

$ 11,140,010

 

$              –

 

$ 290,190,262

 

 

 

 

 

 

* 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 March 31, 2015, the cost of investments (excluding investments in derivatives) was $254,839,441.

 

 

 

 

 

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of March 31, 2015, were as follows:

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

Appreciation

 

$   41,931,058

 

 

 

Depreciation

 

(6,409,150

)

 

 

 

Net unrealized appreciation (depreciation) of investments

 

 

$   35,521,908

 

 

 

 

 

 

 

 

 

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 100.

(7)

 

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

ADR

 

ADR American Depositary Receipt

REIT

 

Real Estate Investment Trust

N/A

 

Not applicable

 


 

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: May 29, 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: May 29, 2015

 

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

 

Date: May 29, 2015