Form N-Q

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         811-21449         

        Nuveen Municipal High Income Opportunity Fund         
(Exact name of registrant as specified in charter)

Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)


Kevin J. McCarthy—Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)

Registrant's telephone number, including area code:         312-917-7700        

Date of fiscal year end:            10/31          

Date of reporting period:         7/31/07         

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 Municipal High Income Opportunity (NMZ)             
    July 31, 2007             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    National – 2.1% (1.4% of Total Investments)             
    Charter Mac Equity Issuer Trust, Preferred Shares, Series 2004A-4:             
$          5,000     6.000%, 12/31/45 (Mandatory put 4/30/19) (Alternative Minimum Tax)    4/19 at 100.00    A3   $   5,432,000 
1,000     5.750%, 12/31/45 (Mandatory put 4/30/15) (Alternative Minimum Tax)    4/15 at 100.00    A3    1,061,180 
1,000    GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 (Mandatory put 10/31/19)    No Opt. Call    Baa1    1,022,180 
     (Alternative Minimum Tax)             
7,000    Total National            7,515,360 
    Alabama – 2.3% (1.5% of Total Investments)             
6,200    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/08 at 102.00    N/R (4)    6,388,790 
     Hospital, Series 1998, 5.750%, 4/01/27 (Pre-refunded 4/01/08)             
2,000    Bessemer, Alabama, General Obligation Warrants, Series 2007, 6.500%, 2/01/37    2/17 at 102.00    N/R    1,945,080 
8,200    Total Alabama            8,333,870 
    Arizona – 5.5% (3.7% of Total Investments)             
515    Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment    7/10 at 102.00    N/R    558,044 
     Lien Bonds, Series 2001A, 7.875%, 7/01/25             
2,000    Maricopa County Industrial Development Authority, Arizona, Multifamily Housing Revenue Bonds,    11/07 at 103.00    N/R    1,978,500 
     Privado Park Apartments Project, Series 2006A, 5.250%, 11/01/41 (Mandatory put 11/01/11)             
     (Alternative Minimum Tax)             
6,720    Maricopa County Industrial Development Authority, Arizona, Senior Living Facility Revenue    1/11 at 103.00    BB    6,918,240 
     Bonds, Christian Care Mesa II Inc., Series 2004A, 6.625%, 1/01/34 (Alternative Minimum Tax)             
    Phoenix Industrial Development Authority, Arizona, Educational Revenue Bonds, Keystone             
    Montessori School, Series 2004A:             
315     6.375%, 11/01/13    11/11 at 103.00    N/R    322,774 
790     7.250%, 11/01/23    11/11 at 103.00    N/R    845,663 
1,715     7.500%, 11/01/33    11/11 at 103.00    N/R    1,835,633 
1,000    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Franklin    7/16 at 100.00    N/R    995,060 
     Phonetic Charter School, Series 2006, 5.750%, 7/01/36             
1,645    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Heritage    7/14 at 100.00    AAA    1,939,850 
     Elementary School, Series 2004, 7.500%, 7/01/34 (Pre-refunded 7/01/14)             
550    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah    12/14 at 100.00    BBB–    571,742 
     Webster Basic Schools Inc., Series 2004, 6.125%, 12/15/34             
500    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Pointe    No Opt. Call    AAA    571,100 
     Educational Services Charter School, Series 2004, 6.250%, 7/01/14 (ETM)             
1,000    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Pointe    7/14 at 100.00    N/R (4)    1,168,400 
     Educational Services Charter School, Series 2004, 7.125%, 7/01/24 (Pre-refunded 7/01/14)             
1,150    Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract    10/12 at 100.00    A    1,170,723 
     Revenue Bonds, Florence West Prison LLC, Series 2002A, 5.250%, 10/01/22 – ACA Insured             
1,000    Tucson Industrial Development Authority, Arizona, Charter School Revenue Bonds, Arizona    9/14 at 100.00    BBB–    1,030,170 
     Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24             
18,900    Total Arizona            19,905,899 
    California – 17.4% (11.9% of Total Investments)             
8,000    Alameda Public Finance Authority, California, Revenue Bond Anticipation Notes, Alameda Power    No Opt. Call    N/R    7,997,840 
     and Telecom, Series 2004, 7.000%, 6/01/09             
940    California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community    11/07 at 100.00    BB    940,132 
     Hospital, Series 1993, 5.750%, 5/15/15             
    California State Public Works Board, Lease Revenue Bonds, Department of General Services,             
    Series 2003D:             
1,090     5.000%, 6/01/21    12/13 at 100.00    A    1,125,436 
1,170     5.100%, 6/01/23    12/13 at 100.00    A    1,210,915 
3,000    California State Public Works Board, Lease Revenue Bonds, Department of Mental Health,    6/14 at 100.00    A    3,084,540 
     Coalinga State Hospital, Series 2004A, 5.000%, 6/01/25             
2,000    California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional    No Opt. Call    BB    1,851,140 
     Biosolids Project, Series 2007A, 5.500%, 12/01/33 (WI/DD, Settling 8/02/07) (Alternative             
     Minimum Tax)             
2,925    California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series    3/14 at 102.00    N/R    3,064,493 
     2004A, 7.750%, 3/01/34             
1,005    California Statewide Community Development Authority, Subordinate Lien Multifamily Housing    1/14 at 100.00    N/R    1,070,848 
     Revenue Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative             
     Minimum Tax)             
3,360    California, General Obligation Bonds, Series 2003, 5.000%, 11/01/21    11/13 at 100.00    A+    3,497,760 
4,975    Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement    6/13 at 100.00    AAA    5,417,775 
     Asset-Backed Bonds, Series 2003B, 5.625%, 6/01/33 (Pre-refunded 6/01/13)             
5,500    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    AAA    6,309,490 
     Bonds, Series 2003A-1, 6.750%, 6/01/39 (Pre-refunded 6/01/13)             
1,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    AAA    1,205,370 
     Revenue Bonds, Series 2003A-2, 7.900%, 6/01/42 (Pre-refunded 6/01/13)             
    Huntington Beach, California, Special Tax Bonds, Community Facilities District 2003-1,             
    Huntington Center, Series 2004:             
500     5.800%, 9/01/23    9/14 at 100.00    N/R    516,745 
1,000     5.850%, 9/01/33    9/14 at 100.00    N/R    1,033,960 
2,500    Independent Cities Lease Finance Authority, California, Revenue Bonds, El Granada Mobile Home    5/14 at 100.00    N/R    2,761,500 
     Park, Series 2004A, 6.450%, 5/15/44             
1,015    Independent Cities Lease Finance Authority, California, Subordinate Lien Revenue Bonds, El    5/14 at 100.00    N/R    1,079,128 
     Granada Mobile Home Park, Series 2004B, 6.500%, 5/15/44             
1,200    Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2003-2 Improvement    9/13 at 102.00    N/R    1,259,928 
     Area A, Canyon Hills, Series 2004A, 5.950%, 9/01/34             
3,400    Lee Lake Water District, Riverside County, California, Special Tax Bonds, Community Facilities    9/13 at 102.00    N/R    3,592,780 
     District 3, Series 2004, 5.950%, 9/01/34             
300    Los Angeles Regional Airports Improvement Corporation, California, Sublease Revenue Bonds, Los    12/12 at 102.00    B    331,824 
     Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002B,             
     7.500%, 12/01/24 (Alternative Minimum Tax)             
2,950    Los Angeles Regional Airports Improvement Corporation, California, Sublease Revenue Bonds, Los    12/12 at 102.00    B    3,262,936 
     Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002C,             
     7.500%, 12/01/24 (Alternative Minimum Tax)             
    Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds,             
    Community Facilities District, Series 2004:             
800     5.550%, 9/01/29    9/14 at 100.00    N/R    816,192 
1,250     5.650%, 9/01/34    9/14 at 100.00    N/R    1,275,350 
995    Oceanside, California, Special Tax Revenue Bonds, Community Facilities District – Morro Hills,    3/14 at 100.00    N/R    1,029,895 
     Series 2004, 5.750%, 9/01/28             
    Orange County, California, Special Tax Bonds, Community Facilities District 03-1 of Ladera             
    Ranch, Series 2004A:             
500     5.500%, 8/15/23    8/12 at 101.00    N/R    524,960 
1,625     5.600%, 8/15/28    8/12 at 101.00    N/R    1,707,436 
1,000     5.625%, 8/15/34    8/12 at 101.00    N/R    1,051,070 
2,250    San Diego County, California, Certificates of Participation, San Diego-Imperial Counties    9/12 at 100.00    BBB–    2,292,278 
     Developmental Services Foundation Project, Series 2002, 5.500%, 9/01/27             
3,895    West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities    9/13 at 103.00    N/R    4,167,533 
     District 2001-1, Series 2004A, 6.125%, 9/01/39             
60,145    Total California            63,479,254 
    Colorado – 8.8% (6.0% of Total Investments)             
925    Bradburn Metropolitan District 3, Colorado, General Obligation Bonds, Series 2003,    12/13 at 101.00    N/R    1,016,529 
     7.500%, 12/01/33             
5,594    Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series    12/13 at 101.00    N/R    6,128,842 
     2003, 7.500%, 12/01/33             
400    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Academy    12/10 at 101.00    BBB (4)    441,152 
     Charter School – Douglas County School District Re. 1, Series 2000, 6.875%, 12/15/20             
     (Pre-refunded 12/15/10)             
650    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Bromley    9/11 at 100.00    Ba1 (4)    731,796 
     East Charter School, Series 2000A, 7.250%, 9/15/30 (Pre-refunded 9/15/11)             
900    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Compass    7/08 at 100.00    N/R (4)    931,752 
     Montessori Elementary Charter School, Series 2000, 7.750%, 7/15/31 (Pre-refunded 7/15/08)             
3,500    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Denver    5/14 at 101.00    N/R    3,715,705 
     Arts and Technology Academy, Series 2003, 8.000%, 5/01/34             
    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Excel             
    Academy Charter School, Series 2003:             
485     7.300%, 12/01/23 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    551,266 
875     7.500%, 12/01/33 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    1,001,473 
1,784    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,    2/10 at 100.00    AAA    1,951,732 
     Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2002,             
     8.000%, 2/15/32 (Pre-refunded 2/15/10)             
1,000    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,    2/16 at 101.00    N/R    968,930 
     Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2006,             
     5.625%, 2/15/36             
1,240    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Weld    6/11 at 100.00    Ba1 (4)    1,360,516 
     County School District 6 – Frontier Academy, Series 2001, 7.250%, 6/01/20             
     (Pre-refunded 6/01/11)             
1,500    Colorado Educational and Cultural Facilities Authority, Independent School Improvement Revenue    6/14 at 100.00    N/R    1,353,630 
     Bonds, Heritage Christian School of Northern Colorado, Series 2004A, 7.500%, 6/01/34 (5)             
900    Colorado Housing and Finance Authority, Multifamily Project Bonds, Class II Series 2002C-6,    10/12 at 100.00    AA    918,459 
     5.300%, 10/01/42             
4,300    Denver Health and Hospitals Authority, Colorado, Revenue Bonds, Series 2004A, 6.250%, 12/01/33    12/14 at 100.00    BBB (4)    4,911,460 
     (Pre-refunded 12/01/14)             
1,000    Denver, Colorado, FHA-Insured Multifamily Housing Mortgage Loan Revenue Bonds, Garden Court    7/08 at 102.00    AAA    1,015,150 
     Community Project, Series 1998, 5.400%, 7/01/39             
1,250    Mesa County, Colorado, Residential Care Facilities Mortgage Revenue Bonds, Hilltop Community    12/11 at 101.00    AA    1,284,088 
     Resources Inc. Obligated Group, Series 2001A, 5.250%, 12/01/21 – RAAI Insured             
1,995    Park Creek Metropolitan District, Colorado, Limited Tax Obligation Revenue Bonds, Series    12/13 at 100.00    N/R    2,207,468 
     2003CR-2, 7.875%, 12/01/32 (Mandatory put 12/01/13)             
    Tallyn’s Reach Metropolitan District 2, Aurora, Colorado, Limited Tax General Obligation             
    Bonds, Series 2004:             
250     6.000%, 12/01/18    12/13 at 100.00    N/R    261,270 
315     6.375%, 12/01/23    12/13 at 100.00    N/R    332,728 
    Tallyn’s Reach Metropolitan District 3, Aurora, Colorado, Limited Tax General Obligation             
    Bonds, Series 2004:             
500     6.625%, 12/01/23    12/13 at 100.00    N/R    534,785 
500     6.750%, 12/01/33    12/13 at 100.00    N/R    534,235 
29,863    Total Colorado            32,152,966 
    Connecticut – 0.5% (0.4% of Total Investments)             
1,025    Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator    1/08 at 100.00    BBB    1,027,665 
     Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax)             
1,000    Mashantucket Western Pequot Tribe, Connecticut, Subordinate Special Revenue Bonds, Series    9/16 at 100.00    Baa3    1,020,360 
     2006A, 5.500%, 9/01/36             
2,025    Total Connecticut            2,048,025 
    Florida – 8.7% (5.9% of Total Investments)             
4,320    Bartram Springs Community Development District, Duval County, Florida, Special Assessment    5/13 at 102.00    N/R (4)    4,844,966 
     Bonds, Series 2003A, 6.650%, 5/01/34 (Pre-refunded 5/01/13)             
1,000    Bartram Springs Community Development District, Duval County, Florida, Special Assessment    5/16 at 100.00    N/R    907,830 
     Bonds, Series 2006, 4.750%, 5/01/34             
700    Broward County, Florida, Airport Facility Revenue Bonds, Learjet Inc., Series 2000, 7.500%,    11/14 at 101.00    BBB–    799,323 
     11/01/20 (Alternative Minimum Tax)             
1,160    Century Gardens Community Development District, Miami-Dade County, Florida, Special Assessment    5/14 at 101.00    N/R    1,178,966 
     Revenue Bonds, Series 2004, 5.900%, 5/01/34             
    Islands at Doral Northeast Community Development District, Miami-Dade County, Florida, Special             
    Assessment Bonds, Series 2004:             
455     6.125%, 5/01/24    5/14 at 101.00    N/R    487,373 
450     6.250%, 5/01/34    5/14 at 101.00    N/R    479,043 
6,880    Lee County Industrial Development Authority, Florida, Multifamily Housing Revenue Bonds,    No Opt. Call    N/R    6,880,000 
     Legacy at Lehigh Project, Senior Series 2003A, 6.000%, 12/01/43 (5)             
620    Lexington Community Development District, Florida, Special Assessment Revenue Bonds, Series    5/14 at 101.00    N/R    649,896 
     2004, 6.125%, 5/01/34             
3,816    MMA Financial CDD Junior Securitization Trust, Florida, Pass-Through Certificates, Class A,    11/07 at 100.00    N/R    3,821,213 
     Series 2003I, 8.000%, 11/01/13             
3,820    Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake    7/09 at 103.00    N/R    3,925,623 
     Delray Apartments, Series 1999A, 6.400%, 1/01/31 (Alternative Minimum Tax)             
1,000    Sarasota County Health Facility Authority, Florida, Revenue Bonds, Sarasota-Manatee Jewish    7/17 at 100.00    N/R    957,670 
     Housing Council, Inc., Series 2007, 5.750%, 7/01/45             
1,700    South-Dade Venture Community Development District, Florida, Special Assessment Revenue Bonds,    5/14 at 101.00    N/R    1,775,395 
     Series 2004, 6.125%, 5/01/34             
    Stonegate Community Development District, Florida, Special Assessment Revenue Bonds,             
    Series 2004:             
455     6.000%, 5/01/24    5/14 at 101.00    N/R    486,845 
500     6.125%, 5/01/34    5/14 at 101.00    N/R    527,025 
    Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:             
140     6.000%, 5/01/23    5/13 at 101.00    N/R    144,645 
3,745     6.125%, 5/01/35    5/13 at 101.00    N/R    3,848,587 
30,761    Total Florida            31,714,400 
    Georgia – 1.0% (0.7% of Total Investments)             
500    Effingham County Development Authority, Georgia, Solid Waste Disposal Revenue Bonds, Ft. James    7/08 at 102.00    B1    495,315 
     Project, Series 1998, 5.625%, 7/01/18 (Alternative Minimum Tax) (6)             
900    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Canterbury Court,    2/09 at 100.00    N/R    939,249 
     Series 2004A, 6.125%, 2/15/34             
1,935    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, St. Anne’s    12/13 at 102.00    N/R    2,152,997 
     Terrace, Series 2003, 7.625%, 12/01/33             
3,335    Total Georgia            3,587,561 
    Hawaii – 0.2% (0.2% of Total Investments)             
1,000    Hawaii State Department of Budget and Finance, Private School Revenue Bonds, Montessori of    2/17 at 100.00    N/R    976,450 
     Maui, Series 2007, 5.500%, 1/01/37             
    Illinois – 7.2% (4.9% of Total Investments)             
2,000    Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes,    12/08 at 100.00    N/R    2,047,600 
     Chicago/Kingsbury Redevelopment Project, Series 2004A, 6.570%, 2/15/13             
1,000    Chicago, Illinois, Certificates of Participation, Tax Increment Allocation Revenue Bonds,    7/11 at 100.00    N/R    1,056,570 
     Diversey-Narragansett Project, Series 2006, 7.460%, 2/15/26             
2,000    Illinois Finance Authority, Revenue Bonds, Midwest Regional Medical Center Galena-Stauss    10/16 at 100.00    N/R    1,992,920 
     Hospital, Series 2006, 6.750%, 10/01/46             
1,350    Illinois Health Facilities Authority, FHA-Insured Mortgage Revenue Refunding Bonds, Sinai    8/13 at 100.00    AAA    1,388,948 
     Health System, Series 2003, 5.150%, 2/15/37             
1,000    Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002,    5/12 at 100.00    Baa2    1,019,060 
     5.500%, 5/15/32             
8,800    Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2002A,    7/12 at 100.00    A–    9,181,479 
     5.750%, 7/01/29             
1,400    Illinois Health Facilities Authority, Revenue Bonds, Midwest Physicians Group Ltd., Series    11/08 at 102.00    N/R    1,395,912 
     1998, 5.500%, 11/15/19             
1,650    Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel    1/16 at 100.00    N/R    1,745,799 
     Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36             
1,154    Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel    1/08 at 100.00    N/R    1,141,211 
     Revenue Bonds, Series 2005C-3, 4.000%, 1/01/36             
2,060    Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series    3/14 at 102.00    N/R    2,169,736 
     2004A, 6.200%, 3/01/34             
1,000    Volo Village, Illinois, Special Service Area 3 Special Tax Bonds, Symphony Meadows Project 1,    3/16 at 102.00    N/R    1,012,830 
     Series 2006, 6.000%, 3/01/36 (Mandatory put 2/29/16)             
1,000    Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project    1/17 at 102.00    N/R    980,840 
     Revenue Bonds, Series 2007, 6.000%, 1/01/26             
1,000    Yorkville, Illinois, Special Service Area 2005-108 Assessment Bonds, Autumn Creek Project,    3/16 at 102.00    N/R    1,023,140 
     Series 2006, 6.000%, 3/01/36             
25,414    Total Illinois            26,156,045 
    Indiana – 9.8% (6.6% of Total Investments)             
6,360    Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A,    7/12 at 103.00    N/R    6,738,293 
     6.650%, 1/15/24             
22,770    Indiana Finance Authority, Tax Exempt Revenue Bonds, Indiana-American Water Company Inc.,    10/16 at 100.00    AAA    22,744,953 
     Series 2006, 4.875%, 10/01/36 – AMBAC Insured (UB)             
    Indiana Health Facility Financing Authority, Hospital Revenue Bonds, Community Foundation of             
    Northwest Indiana, Series 2004A:             
500     6.250%, 3/01/25    3/14 at 101.00    BBB–    534,655 
2,500     6.000%, 3/01/34    3/14 at 101.00    BBB–    2,628,700 
1,000    St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village    7/15 at 103.00    N/R    1,065,950 
     Apartments, Series 2005A, 7.500%, 7/01/35             
1,795    Whitley County, Indiana, Solid Waste and Sewerage Disposal Revenue Bonds, Steel Dynamics Inc.,    11/10 at 102.00    N/R    1,914,780 
     Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax)             
34,925    Total Indiana            35,627,331 
    Louisiana – 6.9% (4.6% of Total Investments)             
2,100    Carter Plantation Community Development District, Livingston Parish, Louisiana, Special    11/07 at 100.00    N/R    2,099,811 
     Assessment Bonds, Series 2004, 5.500%, 5/01/16             
8,500    Hodge, Louisiana, Combined Utility System Revenue Bonds, Smurfit-Stone Container Corporation,    No Opt. Call    CCC+    10,060,174 
     Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax)             
2,580    Lafourche Parish Housing Authority, Louisiana, GNMA Collateralized Mortgage Loan Multifamily    1/11 at 105.00    AAA    2,799,506 
     Mortgage Revenue Bonds, City Place II Apartments, Series 2001, 6.700%, 1/20/40             
1,000    Louisiana Local Government Environmental Facilities and Community Development Authority,    9/16 at 100.00    N/R    991,240 
     Carter Plantation Hotel Project Revenue Bonds, Series 2006A, 6.000%, 9/01/36             
1,000    Louisiana Local Government Environmental Facilities and Community Development Authority,    6/16 at 101.00    N/R    1,009,270 
     Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36             
    Ouachita Parish Industrial Development Authority, Louisiana, Solid Waste Disposal Revenue             
    Bonds, White Oaks Project, Series 2004A:             
865     8.250%, 3/01/19 (Alternative Minimum Tax)    3/10 at 102.00    N/R    904,444 
805     8.500%, 3/01/24 (Alternative Minimum Tax)    3/10 at 102.00    N/R    844,445 
5,125    St. James Parish, Louisiana, Solid Waste Disposal Revenue Bonds, Freeport McMoran Project,    10/07 at 100.00    N/R    5,244,669 
     Series 1992, 7.700%, 10/01/22 (Alternative Minimum Tax)             
1,000    Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,    5/11 at 101.00    BBB    1,036,120 
     Series 2001B, 5.875%, 5/15/39             
22,975    Total Louisiana            24,989,679 
    Maine – 0.9% (0.6% of Total Investments)             
3,155    Portland Housing Development Corporation, Maine, Section 8 Assisted Senior Living Revenue    2/14 at 102.00    Baa2    3,288,141 
     Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34             
    Maryland – 3.4% (2.3% of Total Investments)             
2,000    Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995,    9/07 at 100.00    N/R    2,005,380 
     7.400%, 9/01/19 (Alternative Minimum Tax)             
3,850    Maryland Health and Higher Educational Facilities Authority, Revenue Bonds, MedStar Health,    8/14 at 100.00    A3    3,997,648 
     Series 2004, 5.500%, 8/15/33             
7,435    Prince George’s County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994,    1/08 at 100.00    B3    6,236,181 
     5.300%, 7/01/24             
13,285    Total Maryland            12,239,209 
    Massachusetts – 1.0% (0.7% of Total Investments)             
580    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    580,191 
     Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)             
1,350    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire    7/14 at 100.00    BB–    1,419,255 
     Community Services Inc., Series 2004B, 6.375%, 7/01/34             
1,440    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2000H,    7/10 at 100.00    AAA    1,512,029 
     6.650%, 7/01/41 – MBIA Insured (Alternative Minimum Tax)             
3,370    Total Massachusetts            3,511,475 
    Michigan – 4.6% (3.1% of Total Investments)             
1,265    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series    4/09 at 100.00    N/R    1,291,160 
     1999, 7.000%, 4/01/29             
885    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series    4/09 at 100.00    N/R    918,887 
     2000, 8.000%, 4/01/29             
1,435    Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A,    5/09 at 101.00    BB–    1,440,496 
     5.500%, 5/01/21             
3,580    Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Detroit Medical    8/07 at 100.00    BB–    3,499,772 
     Center Obligated Group, Series 1993B, 5.500%, 8/15/23             
1,500    Michigan State Hospital Finance Authority, Revenue Bonds, Hills and Dales General Hospital,    11/15 at 102.00    N/R    1,575,735 
     Series 2005A, 6.750%, 11/15/38             
970    Midland County Economic Development Corporation, Michigan, Subordinated Pollution Control    1/08 at 101.00    BB–    982,038 
     Limited Obligation Revenue Refunding Bonds, Midland Cogeneration Project, Series 2000A,             
     6.875%, 7/23/09 (Alternative Minimum Tax)             
2,665    Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates of Participation, Series    6/10 at 102.00    N/R    2,768,882 
     2000, 8.250%, 6/01/30             
    Pontiac Hospital Finance Authority, Michigan, Hospital Revenue Refunding Bonds, NOMC Obligated             
    Group, Series 1993:             
985     6.000%, 8/01/13    8/07 at 100.00    B1    985,581 
1,500     6.000%, 8/01/18    8/07 at 100.00    B1    1,469,910 
1,800     6.000%, 8/01/23    8/07 at 100.00    B1    1,719,036 
16,585    Total Michigan            16,651,497 
    Minnesota – 2.9% (1.9% of Total Investments)             
    Minneapolis, Minnesota, Student Housing Revenue Bonds, Riverton Community Housing Project,             
    Series 2000:             
100     7.200%, 7/01/14 (Pre-refunded 7/01/10)    7/10 at 100.00    N/R (4)    108,204 
100     7.300%, 7/01/15 (Pre-refunded 7/01/10)    7/10 at 100.00    N/R (4)    108,465 
1,325    Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School,    6/14 at 102.00    N/R    1,406,686 
     Series 2004A, 6.750%, 12/01/33             
5,000    St. Louis Park, Minnesota, Revenue Bonds, Park Nicollet Health Services, Series 2003B,    7/14 at 100.00    A    5,092,600 
     5.250%, 7/01/30             
1,430    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher    6/14 at 102.00    N/R    1,507,978 
     Ground Academy Charter School, Series 2004A, 6.625%, 12/01/23             
1,100    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, HOPE    6/14 at 102.00    N/R    1,163,921 
     Community Academy Charter School, Series 2004A, 6.750%, 12/01/33             
1,000    St. Paul Port Authority, Minnesota, Lease Revenue Bonds, HealthEast Midway Campus, Series    5/15 at 100.00    N/R    1,022,560 
     2005B, 6.000%, 5/01/30             
10,055    Total Minnesota            10,410,414 
    Mississippi – 0.2% (0.2% of Total Investments)             
982    Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care    10/19 at 101.00    N/R    1,006,435 
     Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax)             
    Missouri – 2.6% (1.8% of Total Investments)             
540    Branson Regional Airport Transportation Development District, Missouri, Project Revenue Bonds,    7/17 at 100.00    N/R    524,281 
     Series 2007B, 6.000%, 7/01/37 (Alternative Minimum Tax)             
2,330    Kansas City Industrial Development Authority, Missouri, Multifamily Housing Revenue Bonds,    2/14 at 102.00    N/R    1,683,565 
     Pickwick Apartments Project, Series 2004, 8.000%, 2/01/34 (Alternative Minimum Tax) (5)             
5,935    Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue    12/16 at 100.00    AAA    5,650,298 
     Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC             
     Insured (Alternative Minimum Tax) (UB)             
1,000    Saint Louis Industrial Development Authority, Missouri, Saint Louis Convention Center    12/10 at 102.00    Caa2    1,013,630 
     Headquarters Hotel Project, Series 2000A, 7.250%, 12/15/35 (Alternative Minimum Tax)             
885    Saint Louis, Missouri, Tax Increment Financing Reveneu Bonds, Grace Lofts Redevelopment    3/26 at 100.00    N/R    865,026 
     Projects, Series 2007A, 6.000%, 3/27/26             
10,690    Total Missouri            9,736,800 
    Montana – 2.0% (1.4% of Total Investments)             
5,200    Montana Board of Investments, Exempt Facility Revenue Bonds, Stillwater Mining Company, Series    7/10 at 101.00    B2    5,336,448 
     2000, 8.000%, 7/01/20 (Alternative Minimum Tax)             
1,945    Montana Board of Investments, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series    No Opt. Call    N/R    1,957,351 
     1993, 7.000%, 12/31/19 (Alternative Minimum Tax)             
7,145    Total Montana            7,293,799 
    Nebraska – 3.5% (2.3% of Total Investments)             
8,670    Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City 2,    2/17 at 100.00    AAA    9,538,386 
     Series 2006A, Residuals 1508-2, 7.245%, 2/01/49 – AMBAC Insured (IF)             
3,000     Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City 2,    2/17 at 100.00    AAA    3,100,170 
     Series 2006A, 5.000%, 2/01/49 – AMBAC Insured (UB)             
11,670    Total Nebraska            12,638,556 
    Nevada – 3.3% (2.2% of Total Investments)             
3,670    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company Project,    1/08 at 100.00    B    3,579,608 
     Series 1995C, 5.500%, 10/01/30             
2,000    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    1/08 at 100.00    B    2,011,580 
     1995A, 5.600%, 10/01/30 (Alternative Minimum Tax)             
500    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    11/07 at 100.00    B    500,130 
     1997A, 5.900%, 11/01/32 (Alternative Minimum Tax)             
1,485    Clark County, Nevada, Local Improvement Bonds, Mountain’s Edge Special Improvement District    8/07 at 103.00    N/R    1,537,302 
     142, Series 2003, 6.375%, 8/01/23             
4,350    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas    1/10 at 102.00    N/R    4,419,252 
     Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40             
12,005    Total Nevada            12,047,872 
    New Jersey – 4.9% (3.3% of Total Investments)             
1,000    New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey    1/08 at 102.00    BB+    963,630 
     Obligated Group, Series 1998, 5.125%, 7/01/25             
3,510    New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental    9/09 at 101.00    B    3,612,246 
     Airlines Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax)             
500    New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental    11/10 at 101.00    B    528,295 
     Airlines Inc., Series 2000, 7.000%, 11/15/30 (Alternative Minimum Tax)             
500    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Trinitas Hospital    7/10 at 101.00    BBB– (4)    552,960 
     Obligated Group, Series 2000, 7.500%, 7/01/30 (Pre-refunded 7/01/10)             
    Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,             
    Series 2003:             
7,825     6.750%, 6/01/39 (Pre-refunded 6/01/13)    6/13 at 100.00    AAA    8,972,302 
2,760     7.000%, 6/01/41 (Pre-refunded 6/01/13)    6/13 at 100.00    AAA    3,198,785 
16,095    Total New Jersey            17,828,218 
    New York – 2.3% (1.5% of Total Investments)             
4,000    Dormitory Authority of the State of New York, Revenue Bonds, Lenox Hill Hospital Obligated    7/11 at 101.00    Ba2    4,078,200 
     Group, Series 2001, 5.500%, 7/01/30             
1,000    New York City Industrial Development Agency, New York, American Airlines-JFK International    8/16 at 101.00    B    1,177,850 
     Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax)             
500    New York City Industrial Development Agency, New York, Liberty Revenue Bonds, 7 World Trade    3/09 at 103.00    N/R    524,575 
     Center, Series 2005A, 6.250%, 3/01/15             
1,700    New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds,    10/07 at 100.00    CCC+    1,703,247 
     American Airlines Inc., Series 1994, 6.900%, 8/01/24 (Alternative Minimum Tax)             
750    New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds, JFK    No Opt. Call    B    844,755 
     Airport – American Airlines Inc., Series 2002A, 8.000%, 8/01/12 (Alternative Minimum Tax)             
7,950    Total New York            8,328,627 
    North Carolina – 1.5% (1.0% of Total Investments)             
5,500    North Carolina Capital Facilities Finance Agency, Solid Waste Facilities Revenue Bonds,    7/12 at 106.00    N/R    5,593,005 
     Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29             
    Ohio – 5.1% (3.5% of Total Investments)             
    Belmont County, Ohio, Revenue Bonds, Ohio Valley Health Services and Education Corporation,             
    Series 1998:             
500     5.700%, 1/01/13    1/08 at 102.00    B    489,400 
400     5.800%, 1/01/18    1/08 at 102.00    B    386,492 
3,375    Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program –    5/14 at 102.00    N/R    3,375,911 
     Garfield Heights Project, Series 2004D, 5.250%, 5/15/23             
7,300    Ohio Water Development Authority, Solid Waste Disposal Revenue Bonds, Bay Shore Power, Series    9/08 at 102.00    N/R    7,385,556 
     1998A, 5.875%, 9/01/20 (Alternative Minimum Tax)             
1,000    Ohio, Environmental Facilities Revenue Bonds, Ford Motor Company, Series 2005, 5.750%, 4/01/35    4/15 at 100.00    Ba1    967,010 
     (Alternative Minimum Tax)             
800    Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004A,    3/14 at 101.00    A    806,240 
     4.800%, 3/01/22             
1,275    Trumbull County, Ohio, Sewerage Disposal Revenue Bonds, General Motors Corporation, Series    No Opt. Call    B–    1,323,297 
     1994, 6.750%, 7/01/14 (Alternative Minimum Tax)             
4,000    Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc.,    7/17 at 102.00    N/R    4,000,720 
     Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax)             
18,650    Total Ohio            18,734,626 
    Oklahoma – 4.9% (3.4% of Total Investments)             
1,000    Okeene Municipal Hospital and Schallmo Authority, Oklahoma, Revenue Bonds, Series 2006,    1/16 at 101.00    N/R    1,015,050 
     7.000%, 1/01/35             
    Oklahoma Development Finance Authority, Revenue Refunding Bonds, Hillcrest Healthcare System,             
    Series 1999A:             
1,200     5.750%, 8/15/15 (Pre-refunded 8/15/09)    8/09 at 101.00    AAA    1,256,340 
11,680     5.625%, 8/15/29 (Pre-refunded 8/15/09)    8/09 at 101.00    AAA    12,199,993 
850    Tulsa Industrial Authority, Oklahoma, Student Housing Revenue Bonds, University of Tulsa,    10/16 at 100.00    A2    857,412 
     Series 2006, 5.000%, 10/01/37             
1,335    Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,    12/07 at 100.00    B    1,335,654 
     6.250%, 6/01/20             
1,500    Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,    No Opt. Call    Caa1    1,723,200 
     Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14)             
17,565    Total Oklahoma            18,387,649 
    Pennsylvania – 4.9% (3.3% of Total Investments)             
    Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn             
    Allegheny Health System, Series 2000B:             
695     9.250%, 11/15/22 (Pre-refunded 11/15/10)    11/10 at 102.00    AAA    821,379 
6,455     9.250%, 11/15/30 (Pre-refunded 11/15/10)    11/10 at 102.00    AAA    7,628,777 
500    Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, Sacred Heart Hospital, Series    No Opt. Call    BB+    511,160 
     2005, 6.000%, 11/15/16             
1,000    Berks County Industrial Development Authority, Pennsylvania, First Mortgage Revenue Bonds, One    11/17 at 101.00    N/R    1,004,730 
     Douglassville Properties Project, Series 2007A, 6.125%, 11/01/34 (Alternative Minimum Tax)             
2,000    Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds,    10/15 at 102.00    N/R    2,033,000 
     Immaculata University, Series 2005, 5.750%, 10/15/37             
500    New Morgan Industrial Development Authority, Pennsylvania, Solid Waste Disposal Revenue Bonds,    10/07 at 100.00    BB–    502,410 
     New Morgan Landfill Company Inc., Series 1994, 6.500%, 4/01/19 (Alternative Minimum Tax)             
400    Pennsylvania Economic Development Financing Authority, Exempt Facilities Revenue Bonds,    12/09 at 103.00    B2    438,096 
     Reliant Energy Inc., Series 2002A, 6.750%, 12/01/36 (Alternative Minimum Tax)             
600    Pennsylvania Economic Development Financing Authority, Exempt Facilities Revenue Bonds,    12/09 at 103.00    B2    657,144 
     Reliant Energy Inc., Series 2003A, 6.750%, 12/01/36 (Alternative Minimum Tax)             
4,000    Pennsylvania Economic Development Financing Authority, Revenue Bonds, Amtrak 30th Street    6/12 at 102.00    A    4,253,680 
     Station Parking Garage, Series 2002, 5.800%, 6/01/23 – ACA Insured (Alternative Minimum Tax)             
16,150    Total Pennsylvania            17,850,376 
    Rhode Island – 1.3% (0.9% of Total Investments)             
1,500    Central Falls Detention Facility Corporation, Rhode Island, Detention Facility Revenue Bonds,    7/15 at 103.00    N/R    1,663,500 
     Series 2005, 7.250%, 7/15/35             
3,000    Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,    6/12 at 100.00    BBB    3,143,940 
     Series 2002A, 6.250%, 6/01/42             
4,500    Total Rhode Island            4,807,440 
    South Carolina – 0.2% (0.1% of Total Investments)             
490    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement    No Opt. Call    BBB    554,381 
     Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/30             
    Tennessee – 1.7% (1.1% of Total Investments)             
3,500    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue    4/12 at 101.00    Ba2    3,574,130 
     Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31             
1,500    Maury County Industrial Development Board, Tennessee, Multi-Modal Interchangeable Rate    9/07 at 100.00    B–    1,507,950 
     Pollution Control Revenue Refunding Bonds, Saturn Corporation, Series 1994, 6.500%, 9/01/24             
1,000    Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue    7/17 at 100.00    N/R    994,730 
     Bonds, Rutland Place, Series 2007A, 6.300%, 7/01/37             
6,000    Total Tennessee            6,076,810 
    Texas – 10.4% (7.0% of Total Investments)             
2,000    Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, First Tier    1/11 at 100.00    N/R    2,045,340 
     Series 2001A, 9.750%, 1/01/26             
2,705    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    11/07 at 100.00    CCC+    2,706,353 
     American Airlines Inc., Series 1995, 6.000%, 11/01/14             
1,750    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    11/12 at 100.00    CCC+    1,669,325 
     American Airlines Inc., Series 2007, 5.500%, 11/01/30 (Alternative Minimum Tax)             
    Decatur Hospital Authority, Texas, Revenue Bonds, Wise Regional Health System, Series 2004A:             
1,840     7.000%, 9/01/25    9/14 at 100.00    N/R    1,989,371 
6,600     7.125%, 9/01/34    9/14 at 100.00    N/R    7,161,396 
585    Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo    4/12 at 100.00    Baa3    656,458 
     Petroleum Corporation Project, Series 1998, 8.000%, 4/01/28 (Alternative Minimum Tax)             
1,000    Heart of Texas Education Finance Corporation, Texas, Gateway Charter Academy, Series 2006A,    8/16 at 100.00    N/R    980,570 
     6.000%, 2/15/36             
    Houston Health Facilities Development Corporation, Texas, Revenue Bonds, Buckingham Senior             
    Living Community Inc., Series 2004A:             
250     7.000%, 2/15/23 (Pre-refunded 2/15/14)    2/14 at 101.00    N/R (4)    294,150 
1,400     7.125%, 2/15/34 (Pre-refunded 2/15/14)    2/14 at 101.00    N/R (4)    1,656,326 
2,020    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,    7/09 at 101.00    B–    2,036,968 
     Series 1998B, 5.700%, 7/15/29 (Alternative Minimum Tax)             
975    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,    7/09 at 101.00    B–    983,190 
     Series 1998C, 5.700%, 7/15/29 (Alternative Minimum Tax)             
    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,             
    Series 2001E:             
600     7.375%, 7/01/22 (Alternative Minimum Tax)    7/11 at 101.00    B–    651,468 
5,350     6.750%, 7/01/29 (Alternative Minimum Tax)    7/11 at 101.00    B–    5,660,942 
1,000    La Vernia Education Financing Corporation, Texas, Charter School Revenue Bonds, Riverwalk    8/11 at 100.00    N/R    961,260 
     Education Foundation, Series 2007A, 5.450%, 8/15/36             
500    Mission Economic Development Corporation, Texas, Solid Waste Disposal Revenue Bonds, Allied    4/12 at 100.00    B+    491,575 
     Waste Industries, Inc., Series 2007A, 5.200%, 4/01/18 (Alternative Minimum Tax)             
2,000    Sea Breeze Public Facility Corporation, Texas, Multifamily Housing Revenue Bonds, Sea Breeze    1/21 at 100.00    N/R    2,007,860 
     Senior Apartments, Series 2006, 6.500%, 1/01/46 (Alternative Minimum Tax)             
5,785    Texas Department of Housing and Community Affairs, Multifamily Housing Revenue Bonds, Humble    7/21 at 100.00    N/R    5,924,997 
     Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax)             
36,360    Total Texas            37,877,549 
    Virgin Islands – 2.4% (1.6% of Total Investments)             
5,000    Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project – Hovensa LLC, Series    1/14 at 100.00    BBB    5,403,450 
     2003, 6.125%, 7/01/22 (Alternative Minimum Tax)             
3,300    Virgin Islands Public Finance Authority, Senior Secured Lien Revenue Bonds, Refinery Project –    7/14 at 100.00    BBB    3,462,030 
     Hovensa LLC, Series 2004, 5.875%, 7/01/22             
8,300    Total Virgin Islands            8,865,480 
    Virginia – 4.5% (3.0% of Total Investments)             
    Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll             
    Road, Series 1998A:             
2,000     0.000%, 8/15/14 (Pre-refunded 8/15/08)    8/08 at 73.23    AAA    1,408,180 
4,250     5.500%, 8/15/28 (Pre-refunded 8/15/08)    8/08 at 102.00    AAA    4,409,673 
1,850     0.000%, 8/15/30 (Pre-refunded 8/15/08)    8/08 at 28.38    AAA    504,828 
    Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll             
    Road, Series 1998B:             
2,000     0.000%, 8/15/12 (Pre-refunded 8/15/08)    8/08 at 82.10    AAA    1,578,780 
3,000     0.000%, 8/15/15 (Pre-refunded 8/15/08)    8/08 at 68.82    AAA    1,985,220 
9,000     0.000%, 8/15/19 (Pre-refunded 8/15/08)    8/08 at 54.38    AAA    4,705,920 
605    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Bonds,    7/11 at 105.00    B2 (4)    689,283 
     Series 2001A, 7.400%, 7/15/21 (Pre-refunded 7/15/11)             
950    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Refunding    7/11 at 105.00    B2 (4)    1,068,161 
     Bonds, Series 2001C, 6.850%, 7/15/21 (Pre-refunded 7/15/11)             
23,655    Total Virginia            16,350,045 
    Washington – 3.5% (2.3% of Total Investments)             
3,000    Skagit County Public Hospital District 1, Washington, Revenue Bonds, Skagit Valley Hospital,    12/13 at 100.00    Baa2    3,196,890 
     Series 2003, 6.000%, 12/01/18             
    Vancouver Downtown Redevelopment Authority, Washington, Revenue Bonds, Conference Center             
    Project, Series 2003A:             
1,750     6.000%, 1/01/28 – ACA Insured    1/14 at 100.00    A    1,869,700 
4,725     6.000%, 1/01/34 – ACA Insured    1/14 at 100.00    A    5,018,659 
2,500     5.250%, 1/01/34 – ACA Insured    1/14 at 100.00    A    2,529,725 
11,975    Total Washington            12,614,974 
    Wisconsin – 5.5% (3.7% of Total Investments)             
550    Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series    12/14 at 101.00    N/R (4)    681,934 
     2003A, 7.750%, 6/01/16 (Pre-refunded 12/01/14)             
    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care Inc.,             
    Series 1999A:             
9,485     5.600%, 2/15/29    2/09 at 101.00    BBB+    9,670,905 
2,300     5.600%, 2/15/29 – ACA Insured    2/09 at 101.00    A    2,342,228 
    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Southwest Health Center             
    Inc., Series 2004A:             
875     6.125%, 4/01/24    4/14 at 100.00    N/R    911,286 
1,000     6.250%, 4/01/34    4/14 at 100.00    N/R    1,045,150 
5,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    2/12 at 101.00    A– (4)    5,424,350 
     Services Inc., Series 2002, 5.750%, 8/15/30 (Pre-refunded 2/15/12)             
19,210    Total Wisconsin            20,075,853 
$       525,885    Total Investments (cost $506,891,333) – 147.9%            539,256,071 
    Floating Rate Obligations – (5.8)%            (21,135,000) 
    Other Assets Less Liabilities – 0.4%            1,566,408 
    Preferred Shares, at Liquidation Value – (42.5)%            (155,000,000) 
    Net Assets Applicable to Common Shares – 100%           $   364,687,479 

    The Fund may invest in “zero coupon” securities. A zero coupon security does not pay a regular interest 
    coupon to its holders during the life of the security. Tax-exempt income to the holder of the security 
    comes from accretion of the difference between the original purchase price of the security at issuance 
    and the par value of the security at maturity and is effectively paid at maturity. Such securities are 
    included in the portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon 
    securities generally are more volatile than the market prices of securities that pay interest periodically. 
(1)    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
    shares unless otherwise noted. 
(2)    Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
    There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
    may be subject to periodic principal paydowns. 
(3)    Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & 
    Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. 
(4)    Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities 
    which ensure the timely payment of principal and interest. Such investments are normally considered to 
    be equivalent to AAA rated securities. 
(5)    Non-income producing security, in the case of a bond, generally denotes that the issuer has defaulted 
    on the payment of principal or interest or has filed for bankruptcy. 
(6)    The issuer has received a formal adverse determination from the Internal Revenue Service (the “IRS”) 
    regarding the tax-exempt status of the bonds’ coupon payments. The Fund will continue to treat coupon 
    payments as tax-exempt income until such time that it is formally determined that the interest on the 
    bonds should be treated as taxable. 
N/R    Not rated. 
WI/DD    Purchased on a when-issued or delayed delivery basis. 
(ETM)    Escrowed to maturity. 
(IF)    Inverse floating rate investment. 
(UB)    Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the 
    provisions of SFAS No. 140. 

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 the treatment of paydown gains and losses, timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No. 140.

At July 31, 2007, the cost of investments was $484,239,662.

Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2007, were as follows:

Gross unrealized:     
  Appreciation    $36,299,587 
  Depreciation    (2,418,523) 
Net unrealized appreciation (depreciation) of investments    $33,881,064 

Item 2. Controls and Procedures.

  1. 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)).
  2. 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 Municipal High Income Opportunity Fund        

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

Date         September 28, 2007        

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         September 28, 2007        

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

Date        September 28, 2007        

* Print the name and title of each signing officer under his or her signature.