Edgar Filing: 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:		12/31
Date of reporting period:			3/31/2012

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, 2012

Shares		Description (1)					Value
		Common Stocks – 97.7%
		Aerospace & Defense – 1.5%
1,500		Boeing Company					$ 111,555
800		General Dynamics Corporation					58,704
10,200		Goodrich Corporation					1,279,488
3,000		Honeywell International Inc.					183,150
800		Lockheed Martin Corporation					71,888
9,900		Northrop Grumman Corporation					604,692
3,800		Precision Castparts Corporation					657,020
1,300		Raytheon Company					68,614
6,900		Rockwell Collins, Inc.					397,164
2,600		United Technologies Corporation					215,644
		Total Aerospace & Defense					3,647,919
		Air Freight & Logistics – 1.2%
21,700		C.H. Robinson Worldwide, Inc.					1,421,133
3,900		Expeditors International of Washington, Inc.					181,389
15,300		FedEx Corporation					1,406,988
		Total Air Freight & Logistics					3,009,510
		Auto Components – 0.2%
1,700		BorgWarner Inc., (2)					143,378
21,200		Goodyear Tire & Rubber Company, (2)					237,864
		Total Auto Components					381,242
		Automobiles – 0.1%
9,600		Ford Motor Company					119,904
3,500		Harley-Davidson, Inc.					171,780
		Total Automobiles					291,684
		Beverages – 1.3%
23,700		Beam Inc.					1,388,109
9,400		Brown-Forman Corporation					783,866
2,700		Coca Cola Enterprises Inc.					77,220
12,700		Coca-Cola Company					939,927
		Total Beverages					3,189,122
		Biotechnology – 1.0%
2,300		Amgen Inc.					156,377
14,700		Biogen Idec Inc., (2)					1,851,759
3,100		Celgene Corporation, (2)					240,312
2,400		Gilead Sciences, Inc., (2)					117,240
		Total Biotechnology					2,365,688
		Building Products – 0.1%
18,200		Masco Corporation					243,334
		Capital Markets – 0.9%
10,100		Ameriprise Financial, Inc.					577,013
1,700		Franklin Resources, Inc.					210,851
10,400		Invesco LTD					277,368
28,600		Morgan Stanley					561,704
2,000		Northern Trust Corporation					94,900
3,100		State Street Corporation					141,050
2,900		T. Rowe Price Group Inc.					189,370
		Total Capital Markets					2,052,256
		Chemicals – 2.2%
12,700		Airgas, Inc.					1,129,919
500		CF Industries Holdings, Inc.					91,325
37,700		E.I. Du Pont de Nemours and Company					1,994,330
31,600		Eastman Chemical Company					1,633,404
4,800		Sherwin-Williams Company					521,616
		Total Chemicals					5,370,594
		Commercial Banks – 1.4%
15,000		BB&T Corporation					470,850
62,000		Fifth Third Bancorp.					871,100
47,600		Huntington BancShares Inc.					307,020
33,800		KeyCorp.					287,300
3,600		M&T Bank Corporation					312,768
1,400		PNC Financial Services Group, Inc.					90,286
51,600		Regions Financial Corporation					340,044
11,500		U.S. Bancorp					364,320
8,650		Wells Fargo & Company					295,311
		Total Commercial Banks					3,338,999
		Commercial Services & Supplies – 0.2%
800		Cintas Corporation					31,296
11,900		Iron Mountain Inc.					342,720
400		Stericycle Inc., (2)					33,456
2,100		Waste Management, Inc.					73,416
		Total Commercial Services & Supplies					480,888
		Communications Equipment – 1.1%
51,800		Cisco Systems, Inc.					1,095,570
3,700		F5 Networks, Inc., (2)					499,352
13,928		Motorola Solutions Inc.					707,960
6,800		QUALCOMM, Inc.					462,536
		Total Communications Equipment					2,765,418
		Computers & Peripherals – 3.5%
12,600		Apple, Inc., (2)					7,553,322
6,700		Dell Inc., (2)					111,220
3,500		EMC Corporation, (2)					104,580
4,300		Lexmark International, Inc., Class A					142,932
6,400		SanDisk Corporation, (2)					317,376
3,100		Western Digital Corporation, (2)					128,309
		Total Computers & Peripherals					8,357,739
		Construction Materials – 0.1%
7,800		Vulcan Materials Company					333,294
		Consumer Finance – 0.4%
7,500		American Express Company					433,950
1,000		Capital One Financial Corporation					55,740
11,000		Discover Financial Services					366,740
7,100		SLM Corporation					111,896
		Total Consumer Finance					968,326
		Containers & Packaging – 0.1%
1,400		Ball Corporation					60,032
3,100		Owens-Illinois, Inc., (2)					72,354
		Total Containers & Packaging					132,386
		Distributors – 0.7%
26,500		Genuine Parts Company					1,662,875
		Diversified Consumer Services – 0.2%
5,700		Apollo Group, Inc., (2)					220,248
3,900		Devry, Inc.					132,093
9,200		H & R Block Inc.					151,524
		Total Diversified Consumer Services					503,865
		Diversified Financial Services – 1.1%
25,200		Bank of America Corporation					241,164
7,800		Citigroup Inc.					285,090
10,205		JP Morgan Chase & Co.					469,226
14,300		Leucadia National Corporation					373,230
24,700		Moody’s Corporation					1,039,870
5,300		NASDAQ Stock Market, Inc., (2)					137,270
2,000		New York Stock Exchange Euronext					60,020
		Total Diversified Financial Services					2,605,870
		Diversified Telecommunication Services – 1.1%
2,600		AT&T Inc.					81,198
63,570		CenturyLink Inc.					2,456,981
		Total Diversified Telecommunication Services					2,538,179
		Electric Utilities – 3.9%
12,700		American Electric Power Company, Inc.					489,966
39,200		Duke Energy Corporation					823,592
34,376		Exelon Corporation					1,347,883
27,200		FirstEnergy Corp.					1,240,048
6,300		Northeast Utilities					233,856
1,200		Pepco Holdings, Inc.					22,668
28,500		Pinnacle West Capital Corporation					1,365,150
29,400		PPL Corporation					830,844
44,200		Progress Energy, Inc.					2,347,462
14,300		Southern Company					642,499
		Total Electric Utilities					9,343,968
		Electrical Equipment – 0.9%
18,800		Rockwell Automation, Inc.					1,498,360
6,200		Roper Industries Inc.					614,792
		Total Electrical Equipment					2,113,152
		Electronic Equipment & Instruments – 0.4%
21,300		Jabil Circuit Inc.					535,056
8,100		Molex Inc.					227,772
8,300		TE Connectivity Limited					305,025
		Total Electronic Equipment & Instruments					1,067,853
		Energy Equipment & Services – 2.3%
9,800		Baker Hughes Incorporated					411,012
1,200		Cooper Cameron Corporation, (2)					63,396
3,000		FMC Technologies Inc., (2)					151,260
500		Halliburton Company					16,595
1,600		Helmerich & Payne Inc.					86,320
7,300		Nabors Industries Inc., (2)					127,677
38,500		National-Oilwell Varco Inc.					3,059,595
22,642		Schlumberger Limited					1,583,355
		Total Energy Equipment & Services					5,499,210
		Food & Staples Retailing – 0.6%
4,200		Costco Wholesale Corporation					381,360
8,900		CVS Caremark Corporation					398,720
41,700		SUPERVALU INC.					238,107
2,500		Sysco Corporation					74,650
4,500		Wal-Mart Stores, Inc.					275,400
		Total Food & Staples Retailing					1,368,237
		Food Products – 4.7%
2,800		Archer-Daniels-Midland Company					88,648
15,400		ConAgra Foods, Inc.					404,404
23,300		Dean Foods Company, (2)					282,163
21,600		General Mills, Inc.					852,120
17,000		H.J. Heinz Company					910,350
14,200		Hershey Foods Corporation					870,886
20,000		Hormel Foods Corporation					590,400
31,200		JM Smucker Company					2,538,432
5,300		Kellogg Company					284,239
20,400		Kraft Foods Inc.					775,404
1,400		McCormick & Company, Incorporated					76,202
16,900		Mead Johnson Nutrition Company, Class A Shares					1,393,912
99,700		Sara Lee Corporation					2,146,541
		Total Food Products					11,213,701
		Gas Utilities – 1.4%
6,349		AGL Resources Inc.					249,008
39,600		ONEOK, Inc.					3,233,736
		Total Gas Utilities					3,482,744
		Health Care Equipment & Supplies – 1.2%
9,400		Baxter International, Inc.					561,932
5,000		Covidien PLC					273,400
3,400		DENTSPLY International Inc.					136,442
2,800		Intuitive Surgical, Inc., (2)					1,516,900
3,800		Saint Jude Medical Inc.					168,378
4,200		Stryker Corporation					233,016
1,500		Varian Medical Systems, Inc., (2)					103,440
		Total Health Care Equipment & Supplies					2,993,508
		Health Care Providers & Services – 3.4%
7,700		Aetna Inc.					386,232
59,100		AmerisourceBergen Corporation					2,345,088
34,000		Cardinal Health, Inc.					1,465,740
13,200		CIGNA Corporation					650,100
6,600		Coventry Health Care, Inc., (2)					234,762
3,400		Express Scripts, Holding Company, (2)					184,212
10,300		Humana Inc.					952,544
7,900		McKesson HBOC Inc.					693,383
700		Medco Health Solutions, Inc.					49,210
16,400		Tenet Healthcare Corporation, (2)					87,084
16,900		UnitedHealth Group Incorporated					996,086
800		Wellpoint Inc.					59,040
		Total Health Care Providers & Services					8,103,481
		Health Care Technology – 0.8%
25,800		Cerner Corporation, (2)					1,964,928
		Hotels, Restaurants & Leisure – 2.6%
1,400		Carnival Corporation, ADR					44,912
18,400		McDonald’s Corporation					1,805,040
44,600		Starbucks Corporation					2,492,694
2,800		Starwood Hotels & Resorts Worldwide, Inc.					157,948
5,300		Wyndham Worldwide Corporation					246,503
22,300		YUM! Brands, Inc.					1,587,314
		Total Hotels, Restaurants & Leisure					6,334,411
		Household Durables – 0.7%
34,200		D.R. Horton, Inc.					518,814
1,800		Harman International Industries Inc.					84,258
24,200		Lennar Corporation, Class A					657,756
16,400		Newell Rubbermaid Inc.					292,084
25,600		Pulte Corporation, (2)					226,560
		Total Household Durables					1,779,472
		Household Products – 0.5%
6,700		Colgate-Palmolive Company					655,126
7,100		Kimberly-Clark Corporation					524,619
		Total Household Products					1,179,745
		Independent Power Producers & Energy Traders – 0.0%
3,600		NRG Energy Inc., (2)					56,412
		Industrial Conglomerates – 0.2%
600		Danaher Corporation					33,600
27,500		General Electric Company					551,925
		Total Industrial Conglomerates					585,525
		Insurance – 3.4%
3,700		Ace Limited					270,840
15,700		AFLAC Incorporated					722,043
1,300		Allstate Corporation					42,796
3,300		American International Group, (2)					101,739
34,900		Aon Corporation					1,712,194
7,100		Assurant Inc.					287,550
9,500		Chubb Corporation					656,545
4,000		Cincinnati Financial Corporation					138,040
75,100		Genworth Financial Inc., Class A, (2)					624,832
5,000		Hartford Financial Services Group, Inc.					105,400
7,200		Lincoln National Corporation					189,792
8,900		Marsh & McLennan Companies, Inc.					291,831
4,500		MetLife, Inc.					168,075
6,600		Principal Financial Group, Inc.					194,766
35,800		Progressive Corporation					829,844
4,400		Prudential Financial, Inc.					278,916
4,050		Torchmark Corporation					201,893
15,000		Travelers Companies, Inc.					888,000
6,200		Unum Group					151,776
10,300		XL Capital Ltd, Class A					223,407
		Total Insurance					8,080,279
		Internet & Catalog Retail – 0.7%
4,100		Amazon.com, Inc., (2)					830,291
800		NetFlix.com Inc., (2)					92,032
1,200		Priceline.com Incorporated, (2)					861,000
		Total Internet & Catalog Retail					1,783,323
		Internet Software & Services – 1.7%
20,300		eBay Inc., (2)					748,867
5,100		Google Inc., Class A, (2)					3,270,324
		Total Internet Software & Services					4,019,191
		IT Services – 3.5%
10,500		Accenture Limited					677,250
3,800		Automatic Data Processing, Inc.					209,722
30,900		Cognizant Technology Solutions Corporation, Class A, (2)					2,377,755
600		Computer Sciences Corporation					17,964
1,000		Fiserv, Inc., (2)					69,390
12,100		International Business Machines Corporation (IBM)					2,524,665
2,200		MasterCard, Inc.					925,188
14,400		Paychex, Inc.					446,256
5,100		Teradata Corporation, (2)					347,565
10,100		Total System Services Inc.					233,007
4,200		Visa Inc.					495,600
		Total IT Services					8,324,362
		Leisure Equipment & Products – 0.3%
20,800		Mattel, Inc.					700,128
		Life Sciences Tools & Services – 0.4%
21,400		Agilent Technologies, Inc., (2)					952,514
1,000		Waters Corporation, (2)					92,660
		Total Life Sciences Tools & Services					1,045,174
		Machinery – 3.7%
27,300		Caterpillar Inc.					2,907,996
1,200		Cummins Inc.					144,048
1,300		Deere & Company					105,170
800		Dover Corporation					50,352
54,800		Eaton Corporation					2,730,684
2,700		Joy Global Inc.					198,450
1,600		PACCAR Inc.					74,928
11,100		Pall Corporation					661,893
1,600		Parker Hannifin Corporation					135,280
1,200		Snap-on Incorporated					73,164
24,287		Stanley Black & Decker Inc.					1,869,128
		Total Machinery					8,951,093
		Media – 4.0%
57,700		CBS Corporation, Class B					1,956,607
22,100		Comcast Corporation, Class A					663,221
87,000		DIRECTV Group, Inc., (2)					4,292,580
30,600		Gannett Company Inc.					469,098
5,300		Interpublic Group Companies, Inc.					60,473
11,400		McGraw-Hill Companies, Inc.					552,558
2,500		Omnicom Group, Inc.					126,625
200		Time Warner Cable, Class A					16,300
17,000		Time Warner Inc.					641,750
14,900		Viacom Inc., Class B					707,154
2,300		Walt Disney Company					100,694
400		Washington Post Company					149,428
		Total Media					9,736,488
		Metals & Mining – 0.4%
2,600		Cliffs Natural Resources Inc.					180,076
2,900		Freeport-McMoRan Copper & Gold, Inc.					110,316
3,100		Newmont Mining Corporation					158,937
9,000		Nucor Corporation					386,550
3,700		Titanium Metals Corporation					50,172
4,200		United States Steel Corporation					123,354
		Total Metals & Mining					1,009,405
		Multiline Retail – 1.0%
4,400		Dollar Tree Stores Inc., (2)					415,756
200		Family Dollar Stores, Inc.					12,656
6,200		J.C. Penney Company, Inc.					219,666
30,300		Macy’s, Inc.					1,203,819
7,000		Sears Holding Corporation, (2)					463,750
3,600		Target Corporation					209,772
		Total Multiline Retail					2,525,419
		Multi-Utilities – 4.9%
30,700		Ameren Corporation					1,000,206
143,700		CenterPoint Energy, Inc.					2,833,764
38,900		CMS Energy Corporation					855,800
22,100		Consolidated Edison, Inc.					1,291,082
34,300		Dominion Resources, Inc.					1,756,503
9,600		DTE Energy Company					528,288
71,200		NiSource Inc.					1,733,720
13,200		Scana Corporation					602,052
22,800		Wisconsin Energy Corporation					802,104
15,200		Xcel Energy, Inc.					402,344
		Total Multi-Utilities					11,805,863
		Oil, Gas & Consumable Fuels – 7.5%
15,000		Alpha Natural Resources Inc., (2)					228,150
25,200		Cabot Oil & Gas Corporation					785,484
16,900		Chesapeake Energy Corporation					391,573
18,200		Chevron Corporation					1,951,768
10,100		ConocoPhillips					767,701
3,700		CONSOL Energy Inc.					126,170
7,200		Denbury Resources Inc., (2)					131,256
49,900		El Paso Corporation					1,474,545
700		EOG Resources, Inc.					77,770
12,100		EQT Corporation					583,341
33,500		Exxon Mobil Corporation					2,905,453
900		Hess Corporation					53,055
52,800		Marathon Oil Corporation					1,673,760
29,450		Marathon Petroleum Corporation					1,276,952
800		Noble Energy, Inc.					78,224
800		Occidental Petroleum Corporation					76,184
12,000		Pioneer Natural Resources Company					1,339,080
46,400		Spectra Energy Corporation					1,463,920
11,900		Tesoro Corporation, (2)					319,396
6,200		Valero Energy Corporation					159,774
71,300		Williams Companies, Inc.					2,196,753
1,466		WPX Energy Inc., (2)					26,403
		Total Oil, Gas & Consumable Fuels					18,086,712
		Paper & Forest Products – 0.3%
20,200		MeadWestvaco Corporation					638,118
		Personal Products – 1.7%
64,400		Estee Lauder Companies Inc., Class A					3,988,936
		Pharmaceuticals – 2.4%
7,400		Abbott Laboratories					453,546
7,300		Allergan, Inc.					696,639
58,800		Bristol-Myers Squibb Company					1,984,500
17,400		Eli Lilly and Company					700,698
600		Forest Laboratories, Inc., (2)					20,814
10,600		Johnson & Johnson					699,176
6,832		Merck & Company Inc.					262,349
14,500		Watson Pharmaceuticals Inc., (2)					972,370
		Total Pharmaceuticals					5,790,092
		Professional Services – 0.6%
14,900		Equifax Inc.					659,474
23,300		Robert Half International Inc.					705,990
		Total Professional Services					1,365,464
		Real Estate Investment Trust – 3.1%
30,400		American Tower Corporation					1,915,808
11,400		AvalonBay Communities, Inc.					1,611,390
8,400		Boston Properties, Inc.					881,916
13,300		Equity Residential					832,846
15,900		Host Hotels & Resorts Inc.					261,078
6,800		Public Storage, Inc.					939,556
6,900		Simon Property Group, Inc.					1,005,192
2,700		Weyerhaeuser Company					59,184
		Total Real Estate Investment Trust					7,506,970
		Real Estate Management & Development – 0.1%
6,700		CBRE Group Inc., (2)					133,732
		Road & Rail – 0.6%
31,600		CSX Corporation					680,032
4,300		Norfolk Southern Corporation					283,069
2,900		Ryder System, Inc.					153,120
2,500		Union Pacific Corporation					268,700
		Total Road & Rail					1,384,921
		Semiconductors & Equipment – 2.3%
2,000		Analog Devices, Inc.					80,800
11,000		Applied Materials, Inc.					136,840
1,200		Broadcom Corporation, Class A, (2)					47,160
46,300		Intel Corporation					1,301,493
17,500		KLA-Tencor Corporation					952,350
1,500		Linear Technology Corporation					50,550
8,900		Novellus Systems, Inc., (2)					444,199
14,600		Teradyne Inc., (2)					246,594
69,800		Texas Instruments Incorporated					2,345,978
1,400		Xilinx, Inc.					51,002
		Total Semiconductors & Equipment					5,656,966
		Software – 1.5%
3,300		Autodesk, Inc., (2)					139,656
1,900		Citrix Systems, (2)					149,929
22,600		Electronic Arts Inc. (EA), (2)					372,448
27,400		Intuit, Inc.					1,647,562
26,900		Microsoft Corporation					867,525
6,400		Oracle Corporation					186,624
1,400		Red Hat, Inc., (2)					83,846
1,600		Salesforce.com, Inc., (2)					247,216
		Total Software					3,694,806
		Specialty Retail – 5.5%
3,400		Abercrombie & Fitch Co., Class A					168,674
1,200		AutoNation Inc., (2)					41,172
5,100		AutoZone, Inc., (2)					1,896,180
9,100		Bed Bath and Beyond Inc., (2)					598,507
6,000		CarMax, Inc., (2)					207,900
11,700		GameStop Corporation, (2)					255,528
29,300		Home Depot, Inc.					1,474,083
23,000		Limited Brands, Inc.					1,104,000
11,100		Lowe’s Companies, Inc.					348,318
16,700		O’Reilly Automotive Inc., (2)					1,525,545
20,400		Ross Stores, Inc.					1,185,240
9,300		Staples, Inc.					150,474
2,100		Tiffany & Co.					145,173
107,800		TJX Companies, Inc.					4,280,738
		Total Specialty Retail					13,381,532
		Textiles, Apparel & Luxury Goods – 0.7%
4,300		Nike, Inc., Class B					466,292
700		Ralph Lauren Corporation					122,031
7,500		VF Corporation					1,094,850
		Total Textiles, Apparel & Luxury Goods					1,683,173
		Thrifts & Mortgage Finance – 0.0%
6,300		Hudson City Bancorp, Inc.					46,053
		Tobacco – 3.2%
50,600		Altria Group, Inc.					1,562,022
7,200		Lorillard Inc.					932,256
26,600		Philip Morris International					2,357,026
72,000		Reynolds American Inc.					2,983,680
		Total Tobacco					7,834,984
		Trading Companies & Distributors – 2.1%
52,100		Fastenal Company					2,818,610
10,300		W.W. Grainger, Inc.					2,212,543
		Total Trading Companies & Distributors					5,031,153
		Wireless Telecommunication Services – 0.1%
3,900		Crown Castle International Corporation, (2)					208,026
		Total Common Stocks (cost $187,454,403)					235,737,898

Principal
Amount (000)		Description (1)	Coupon		Maturity	Ratings (3)	Value
		Short-Term Investments – 4.2%
		U.S. Government and Agency Obligations – 1.4%
$	3,350	U.S. Treasury Bills, (4)	0.000%		9/20/12	N/R	$ 3,347,853
		Repurchase Agreements – 2.8%
6,693		Repurchase Agreement with State Street Bank, dated 3/30/12, repurchase price $6,692,905, collateralized by $6,115,000 U.S. Treasury Notes, 3.125%, 5/15/21 value $6,831,079	0.010%		4/02/12	N/A	6,692,899
$	10,043	Total Short-Term Investments (cost $10,041,460)					10,040,752
		Total Investments – (cost $197,495,863) 101.9%					245,778,650
		Other Assets Less Liabilities (1.9)% (5)					(4,602,002	)
		Net Assets – 100%					$ 241,176,648

Investments in Derivatives at March 31, 2012

Call Options Written outstanding:

Number of			Notional		Expiration	Strike
Contracts		Type	Amount (6)		Date	Price	Value (5)
		Call Options – (0.2)%
(461,788)		Custom Basket 2 NASDAQ	$ (46,178,781	)	4/10/12	$ 103.0	$ (481,552	)
(202,380)		Custom Basket 4 NASDAQ	(20,238,032	)	4/11/12	103.0	(69,194	)
(664,168)		Total Call Options Written (premiums received $340,694)	$ (66,416,813	)			$ (550,746	)

Futures Contracts outstanding:

Type		Contract Position		Number of Contracts		Contract Expiration		Value		Unrealized Appreciation (Depreciation) (5)
S&P 500 Index		Long		120		6/12		$ 8,419,200		$ 85,440

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 three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 - 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 risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of March 31, 2012:

Level 1

Level 2

Level 3

Total

Long-Term Investments:

Common Stocks

235,737,898

–

235,737,898

Short-Term Investments:

Repurchase Agreements

–

6,692,899

–

6,692,899

U.S. Government and Agency Obligations

–

3,347,853

–

3,347,853

Derivatives:

Call Options Written

–

(550,746

)

–

(550,746

)

Futures Contracts*

85,440

–

85,440

Total

235,823,338

9,490,006

–

245,313,344

* Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:

Level 3
Common
Stocks

Level 3
Preferred
Stocks

Level 3
Total

Balance at the beginning of year

765

1,530

Gains (losses):

Net realized gains (losses)

(11,741

)

(11,714

)

Net change in unrealized appreciation (depreciation)

15,995

(255

)

15,740

Purchases at cost

–

Sales at proceeds

(5,019

)

(537

)

(5,556

)

Net discounts (premiums)

–

Transfers in to

–

Transfers out of

–

Balance at the end of period

–

During the period ended March 31, 2012, the Fund recognized no transfers to or from Level 1, Level 2 or Level 3.

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 tables presents the fair value of all derivative instruments held by the Fund as of March 31, 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

Equity Price

Futures contracts

Variation margin futures contracts*

$ 85,440

Variation margin futures contracts*

$ —

Equity Price

Options

—

Call options written, at value

550,746

Total

$ 85,440

$ 550,746

* Value represents cumulative gross appreciation (depreciation) of futures contracts as reported in Portfolio of Investments.

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.

At March 31, 2012, the cost of investments was (excluding investments in derivatives) $197,692,857.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at March 31, 2012, were as follows:

Gross unrealized:

Appreciation

50,350,069

Depreciation

(2,264,276

)

Net unrealized appreciation (depreciation) of investments

48,085,793

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)

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.

(5)

Other Assets Less Liabilities includes the Value and the Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at March 31, 2012.

(6)

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

ADR

American Depositary Receipt.

N/R

Not rated.

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 30, 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 May 30, 2012

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

Date May 30, 2012