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)


Jessica R. Droeger—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:         1/31/07         

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 Municiapl High Income Opportunity Fund (NMZ)             
    January 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:             
$         1,000     5.750%, 12/31/45 (Mandatory put 4/30/15) (Alternative Minimum Tax)    4/15 at 100.00    A3   $   1,074,800 
5,000     6.000%, 12/31/45 (Mandatory put 4/30/19) (Alternative Minimum Tax)    4/19 at 100.00    A3    5,536,100 
1,000    GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 (Mandatory put 10/31/19)    No Opt. Call    Baa1    1,072,490 
     (Alternative Minimum Tax)             
7,000    Total National            7,683,390 
    Alabama – 1.7% (1.2% of Total Investments)             
6,200    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/08 at 102.00    N/R (4)    6,435,786 
     Hospital, Series 1998, 5.750%, 4/01/27 (Pre-refunded 4/01/08)             
    Arizona – 5.3% (3.7% of Total Investments)             
538    Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment    7/10 at 102.00    N/R    594,011 
     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    1,987,820 
     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    6,990,278 
     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    324,167 
790     7.250%, 11/01/23    11/11 at 103.00    N/R    853,390 
1,715     7.500%, 11/01/33    11/11 at 103.00    N/R    1,851,531 
1,000    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Franklin    7/16 at 100.00    N/R    1,006,080 
     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    N/R    1,743,930 
     Elementary School, Series 2004, 7.500%, 7/01/34             
550    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah    12/14 at 100.00    BBB–    577,231 
     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    577,635 
     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)    1,181,560 
     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    1,197,610 
     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–    1,039,490 
     Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24             
18,923    Total Arizona            19,924,733 
    California – 16.8% (11.3% of Total Investments)             
8,000    Alameda Public Finance Authority, California, Revenue Bond Anticipation Notes, Alameda Power    No Opt. Call    N/R    7,959,520 
     and Telecom, Series 2004, 7.000%, 6/01/09             
940    California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community    5/07 at 100.00    BB    940,235 
     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    1,140,282 
1,170     5.100%, 6/01/23    12/13 at 100.00    A    1,228,301 
3,000    California State Public Works Board, Lease Revenue Bonds, Department of Mental Health,    6/14 at 100.00    A    3,129,750 
     Coalinga State Hospital, Series 2004A, 5.000%, 6/01/25             
2,925    California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series    3/14 at 102.00    N/R    3,101,612 
     2004A, 7.750%, 3/01/34             
1,005    California Statewide Community Development Authority, Subordinate Lien Multifamily Housing    1/14 at 100.00    N/R    1,080,063 
     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+    3,537,542 
4,975    Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement    6/13 at 100.00    AAA    5,480,958 
     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    BBB    6,288,865 
     Bonds, Series 2003A-1, 6.750%, 6/01/39             
1,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    BBB    1,221,290 
     Revenue Bonds, Series 2003A-2, 7.900%, 6/01/42             
    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    515,290 
1,000     5.850%, 9/01/33    9/14 at 100.00    N/R    1,030,570 
2,500    Independent Cities Lease Finance Authority, California, Revenue Bonds, El Granada Mobile Home    5/14 at 100.00    N/R    2,764,725 
     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    1,077,981 
     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    1,286,928 
     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    3,646,296 
     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    346,140 
     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    3,403,710 
     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    816,328 
1,250     5.650%, 9/01/34    9/14 at 100.00    N/R    1,275,538 
995    Oceanside, California, Special Tax Revenue Bonds, Community Facilities District – Morro Hills,    3/14 at 100.00    N/R    1,045,357 
     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    522,140 
1,625     5.600%, 8/15/28    8/12 at 101.00    N/R    1,701,180 
1,000     5.625%, 8/15/34    8/12 at 101.00    N/R    1,047,810 
2,250    San Diego County, California, Certificates of Participation, San Diego-Imperial Counties    9/12 at 100.00    BBB–    2,335,725 
     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    4,243,174 
     District 2001-1, Series 2004A, 6.125%, 9/01/39             
58,145    Total California            62,167,310 
    Colorado – 8.8% (6.0% of Total Investments)             
925    Bradburn Metropolitan District 3, Colorado, General Obligation Bonds, Series 2003, 7.500%,    12/13 at 101.00    N/R    1,028,508 
     12/01/33             
5,594    Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series    12/13 at 101.00    N/R    6,219,969 
     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)    446,264 
     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)    732,609 
     East Charter School, Series 2000A, 7.250%, 9/15/30 (Pre-refunded 9/15/11)             
905    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Compass    7/08 at 100.00    N/R (4)    937,933 
     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    3,738,595 
     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    558,696 
875     7.500%, 12/01/33 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    1,015,613 
1,797    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,    2/10 at 100.00    AAA    1,997,509 
     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    985,200 
     Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2006,             
     5.625%, 2/15/36             
1,450    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Weld    6/11 at 100.00    Ba1 (4)    1,609,921 
     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    1,631,265 
     Bonds, Heritage Christian School of Northern Colorado, Series 2004A, 7.500%, 6/01/34             
900    Colorado Housing and Finance Authority, Multifamily Project Bonds, Class II Series 2002C-6,    10/12 at 100.00    AA    926,937 
     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    4,784,352 
1,000    Denver, Colorado, FHA–Insured Multifamily Housing Mortgage Loan Revenue Bonds, Garden Court    7/08 at 102.00    AAA    1,023,300 
     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    1,310,288 
     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    2,246,889 
     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    259,250 
315     6.375%, 12/01/23    12/13 at 100.00    N/R    330,404 
    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    531,485 
500     6.750%, 12/01/33    12/13 at 100.00    N/R    531,500 
30,091    Total Colorado            32,846,487 
    Connecticut – 0.6% (0.4% of Total Investments)             
1,025    Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator    7/07 at 100.00    BBB    1,025,656 
     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    1,053,620 
     2006A, 5.500%, 9/01/36             
2,025    Total Connecticut            2,079,276 
    Florida – 9.1% (6.2% of Total Investments)             
4,390    Bartram Springs Community Development District, Duval County, Florida, Special Assessment    5/13 at 102.00    N/R (4)    4,982,870 
     Bonds, Series 2003A, 6.650%, 5/01/34 (Pre-refunded 5/01/13)             
700    Broward County, Florida, Airport Facility Revenue Bonds, Learjet Inc., Series 2000, 7.500%,    11/14 at 101.00    BBB–    821,863 
     11/01/20 (Alternative Minimum Tax)             
1,175    Century Gardens Community Development District, Miami-Dade County, Florida, Special Assessment    5/14 at 101.00    N/R    1,236,335 
     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:             
470     6.125%, 5/01/24    5/14 at 101.00    N/R    509,391 
450     6.250%, 5/01/34    5/14 at 101.00    N/R    482,846 
6,880    Lee County Industrial Development Authority, Florida, Multifamily Housing Revenue Bonds,    No Opt. Call    Caa3    6,795,789 
     Legacy at Lehigh Project, Senior Series 2003A, 6.000%, 12/01/43 (5)             
630    Lexington Community Development District, Florida, Special Assessment Revenue Bonds, Series    5/14 at 101.00    N/R    665,816 
     2004, 6.125%, 5/01/34             
3,330    Meadowwoods Community Development District, Pasco County, Florida, Special Assessment Revenue    5/14 at 101.00    N/R    3,473,357 
     Bonds, Series 2004A, 6.050%, 5/01/35             
3,885    MMA Financial CDD Junior Securitization Trust, Florida, Pass-Through Certificates, Class A,    11/07 at 100.00    N/R    3,909,107 
     Series 2003I, 8.000%, 11/01/13             
3,860    Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake    7/09 at 103.00    N/R    3,997,802 
     Delray Apartments, Series 1999A, 6.400%, 1/01/31 (Alternative Minimum Tax)             
1,700    South-Dade Venture Community Development District, Florida, Special Assessment Revenue Bonds,    5/14 at 101.00    N/R    1,817,742 
     Series 2004, 6.125%, 5/01/34             
    Stonegate Community Development District, Florida, Special Assessment Revenue Bonds, Series             
    2004:             
470     6.000%, 5/01/24    5/14 at 101.00    N/R    505,241 
500     6.125%, 5/01/34    5/14 at 101.00    N/R    531,865 
    Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:             
145     6.000%, 5/01/23    5/13 at 101.00    N/R    154,194 
3,750     6.125%, 5/01/35    5/13 at 101.00    N/R    3,973,425 
32,335    Total Florida            33,857,643 
    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    507,175 
     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    949,518 
     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    2,182,796 
     Terrace, Series 2003, 7.625%, 12/01/33             
3,335    Total Georgia            3,639,489 
    Illinois – 9.5% (6.5% of Total Investments)             
2,000    Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes,    12/08 at 100.00    N/R    2,069,220 
     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    1,067,610 
     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    1,999,960 
     Hospital, Series 2006, 6.750%, 10/01/46             
    Illinois Health Facilities Authority, FHA-Insured Mortgage Revenue Refunding Bonds, Sinai             
    Health System, Series 2003:             
5,000     5.100%, 8/15/33    8/13 at 100.00    AAA    5,192,000 
5,000     5.150%, 2/15/37    8/13 at 100.00    AAA    5,211,850 
1,000    Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002,    5/12 at 100.00    Baa2    1,037,240 
     5.500%, 5/15/32             
8,800    Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2002A,    7/12 at 100.00    A–    9,399,454 
     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    1,405,278 
     1998, 5.500%, 11/15/19             
795    Illinois Health Facilities Authority, Revenue Bonds, Victory Health Services, Series 1997A,    8/07 at 101.00    N/R (4)    811,202 
     5.750%, 8/15/27 (Pre-refunded 8/15/07)             
1,650    Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel    1/16 at 100.00    N/R    1,772,859 
     Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36             
1,062    Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel    7/07 at 100.00    N/R    1,062,583 
     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    2,200,595 
     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    1,040,610 
     Series 2006, 6.000%, 3/01/36 (Mandatory put 2/29/16)             
1,000    Yorkville, Illinois, Special Service Area 2005-108 Assessment Bonds, Autumn Creek Project,    3/16 at 102.00    N/R    1,040,610 
     Series 2006, 6.000%, 3/01/36             
33,767    Total Illinois            35,311,071 
    Indiana – 9.7% (6.7% of Total Investments)             
6,360    Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A, 6.650%,    7/12 at 103.00    N/R    6,824,280 
     1/15/24             
22,770    Indiana Finance Authority, Water Facilities Refunding Revenue Bonds, Indiana-American Water    10/16 at 100.00    AAA    23,128,400 
     Company Inc. Project, 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–    542,420 
2,500     6.000%, 3/01/34    3/14 at 101.00    BBB–    2,673,875 
1,000    St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village    7/15 at 103.00    N/R    1,080,900 
     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    1,939,767 
     Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax)             
34,925    Total Indiana            36,189,642 
    Louisiana – 6.9% (4.8% of Total Investments)             
2,280    Carter Plantation Community Development District, Livingston Parish, Louisiana, Special    5/07 at 100.00    N/R    2,284,355 
     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+    10,696,313 
     Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax)             
2,590    Lafourche Parish Housing Authority, Louisiana, GNMA Collateralized Mortgage Loan Multifamily    1/11 at 105.00    AAA    2,808,415 
     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    1,012,210 
     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    1,021,160 
     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    904,686 
805     8.500%, 3/01/24 (Alternative Minimum Tax)    3/10 at 102.00    N/R    841,933 
5,125    St. James Parish, Louisiana, Solid Waste Disposal Revenue Bonds, Freeport McMoran Project,    4/07 at 100.00    N/R    5,251,331 
     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    1,070,520 
     Series 2001B, 5.875%, 5/15/39             
23,165    Total Louisiana            25,890,923 
    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    3,321,836 
     Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34             
    Maryland – 3.3% (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    2,010,940 
     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    4,089,971 
     Series 2004, 5.500%, 8/15/33             
7,435    Prince George’s County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994,    7/07 at 100.00    B3    6,353,579 
     5.300%, 7/01/24             
13,285    Total Maryland            12,454,490 
    Massachusetts – 1.0% (0.7% of Total Investments)             
635    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    643,985 
     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–    1,436,441 
     Community Services Inc., Series 2004B, 6.375%, 7/01/34             
1,445    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2000H,    7/10 at 100.00    AAA    1,543,014 
     6.650%, 7/01/41 – MBIA Insured (Alternative Minimum Tax)             
3,430    Total Massachusetts            3,623,440 
    Michigan – 4.6% (3.2% of Total Investments)             
1,290    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series    4/09 at 100.00    N/R    1,315,568 
     1999, 7.000%, 4/01/29             
900    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series    4/09 at 100.00    N/R    938,079 
     2000, 8.000%, 4/01/29             
1,440    Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A,    5/09 at 101.00    BB–    1,452,427 
     5.500%, 5/01/21             
3,580    Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Detroit Medical    2/07 at 100.00    BB–    3,549,248 
     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    1,556,130 
     Series 2005A, 6.750%, 11/15/38             
1,200    Midland County Economic Development Corporation, Michigan, Subordinated Pollution Control    7/07 at 101.00    BB–    1,231,908 
     Limited Obligation Revenue Refunding Bonds, Midland Cogeneration Project, Series 2000A,             
     6.875%, 7/23/09 (Alternative Minimum Tax)             
2,705    Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates of Participation, Series    6/10 at 102.00    N/R    2,861,051 
     2000, 8.250%, 6/01/30             
    Pontiac Hospital Finance Authority, Michigan, Hospital Revenue Refunding Bonds, NOMC Obligated             
    Group, Series 1993:             
1,000     6.000%, 8/01/13    2/07 at 100.00    BB–    1,001,250 
1,500     6.000%, 8/01/18    2/07 at 100.00    BB–    1,485,300 
1,800     6.000%, 8/01/23    2/07 at 100.00    BB–    1,741,500 
16,915    Total Michigan            17,132,461 
    Minnesota – 2.8% (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)    109,601 
100     7.300%, 7/01/15 (Pre-refunded 7/01/10)    7/10 at 100.00    N/R (4)    109,917 
1,325    Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School,    6/14 at 102.00    N/R    1,422,017 
     Series 2004A, 6.750%, 12/01/33             
5,000    St. Louis Park, Minnesota, Revenue Bonds, Park Nicollet Health Services, Series 2003B, 5.250%,    7/14 at 100.00    A    5,245,300 
     7/01/30             
1,430    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher    6/14 at 102.00    N/R    1,472,428 
     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    1,176,439 
     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    1,034,040 
     2005B, 6.000%, 5/01/30             
10,055    Total Minnesota            10,569,742 
    Mississippi – 0.3% (0.2% of Total Investments)             
991    Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care    10/19 at 101.00    N/R    1,028,761 
     Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax)             
    Missouri – 2.5% (1.7% of Total Investments)             
2,330    Kansas City Industrial Development Authority, Missouri, Multifamily Housing Revenue Bonds,    2/14 at 102.00    N/R    2,412,179 
     Pickwick Apartments Project, Series 2004, 8.000%, 2/01/34 (Alternative Minimum Tax)             
5,935    Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue    12/16 at 100.00    AAA    5,828,823 
     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    989,380 
     Headquarters Hotel Project, Series 2000A, 7.250%, 12/15/35 (Alternative Minimum Tax)             
9,265    Total Missouri            9,230,382 
    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    5,393,024 
     2000, 8.000%, 7/01/20 (Alternative Minimum Tax)             
1,965    Montana Board of Investments, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series    No Opt. Call    N/R    1,985,456 
     1993, 7.000%, 12/31/19 (Alternative Minimum Tax)             
7,165    Total Montana            7,378,480 
    Nebraska – 3.5% (2.4% of Total Investments)             
8,670    Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City    2/17 at 100.00    AAA    9,943,188 
     2, Series 2006A, Residuals 1508-2, 7.146%, 2/01/49 (IF)             
3,000    Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City    2/17 at 100.00    AAA    3,146,850 
     2, Series 2006A, 5.000%, 2/01/49 – AMBAC Insured (UB)             
11,670    Total Nebraska            13,090,038 
    Nevada – 2.5% (1.7% of Total Investments)             
3,670    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company Project,    7/07 at 100.00    B    3,637,557 
     Series 1995C, 5.500%, 10/01/30             
2,000    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    7/07 at 100.00    B    2,013,060 
     1995A, 5.600%, 10/01/30 (Alternative Minimum Tax)             
500    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    5/07 at 100.00    B    500,205 
     1997A, 5.900%, 11/01/32 (Alternative Minimum Tax)             
1,500    Clark County, Nevada, Local Improvement Bonds, Mountain’s Edge Special Improvement District    2/07 at 103.00    N/R    1,554,195 
     142, Series 2003, 6.375%, 8/01/23             
1,550    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas    1/10 at 102.00    N/R    1,650,239 
     Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40             
9,220    Total Nevada            9,355,256 
    New Jersey – 4.8% (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+    983,000 
     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    3,661,667 
     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    543,545 
     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–    551,700 
     Obligated Group, Series 2000, 7.500%, 7/01/30             
    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    BBB (4)    9,077,235 
2,760     7.000%, 6/01/41 (Pre-refunded 6/01/13)    6/13 at 100.00    BBB (4)    3,243,469 
16,095    Total New Jersey            18,060,616 
    New York – 2.3% (1.6% 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    4,168,760 
     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    1,229,060 
     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    531,485 
     Center, Series 2005A, 6.250%, 3/01/15             
1,700    New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds,    2/07 at 100.00    CCC+    1,717,340 
     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    862,275 
     Airport – American Airlines Inc., Series 2002A, 8.000%, 8/01/12 (Alternative Minimum Tax)             
7,950    Total New York            8,508,920 
    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    5,682,875 
     Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29             
    Ohio – 4.0% (2.7% 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    492,105 
400     5.800%, 1/01/18    1/08 at 102.00    B    390,200 
3,375    Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program –    5/14 at 102.00    N/R    3,467,104 
     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    7,409,281 
     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    1,013,100 
     (Alternative Minimum Tax)             
800    Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004A,    3/14 at 101.00    A+    817,768 
     4.800%, 3/01/22             
1,275    Trumbull County, Ohio, Sewerage Disposal Revenue Bonds, General Motors Corporation, Series    No Opt. Call    B–    1,345,520 
     1994, 6.750%, 7/01/14 (Alternative Minimum Tax)             
14,650    Total Ohio            14,935,078 
    Oklahoma – 5.0% (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    1,009,790 
     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    1,268,052 
11,680     5.625%, 8/15/29 (Pre-refunded 8/15/09)    8/09 at 101.00    AAA    12,307,331 
850    Tulsa Industrial Authority, Oklahoma, Student Housing Revenue Bonds, University of Tulsa,    10/16 at 100.00    A2    880,609 
     Series 2006, 5.000%, 10/01/37             
1,335    Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,    6/07 at 100.00    B    1,339,980 
     6.250%, 6/01/20             
1,500    Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,    No Opt. Call    B–    1,791,900 
     Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14)             
17,565    Total Oklahoma            18,597,662 
    Pennsylvania – 4.7% (3.2% of Total Investments)             
    Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn             
    Allegheny Health System, Series 2000B:             
695     9.250%, 11/15/22    11/10 at 102.00    Ba3    824,506 
6,455     9.250%, 11/15/30    11/10 at 102.00    Ba3    7,645,367 
500    Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, Sacred Heart Hospital, Series    No Opt. Call    BB+    517,380 
     2005, 6.000%, 11/15/16             
2,000    Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds,    10/15 at 102.00    N/R    2,021,320 
     Immaculata University, Series 2005, 5.750%, 10/15/37             
190    Monroeville Hospital Authority, Pennsylvania, Revenue Bonds, Forbes Health System, Series    4/07 at 100.00    Ba3    190,298 
     1992, 7.000%, 10/01/13             
300    Monroeville Hospital Authority, Pennsylvania, Revenue Bonds, Forbes Health System, Series    4/07 at 101.00    Ba3    302,520 
     1995, 6.250%, 10/01/15             
500    New Morgan Industrial Development Authority, Pennsylvania, Solid Waste Disposal Revenue Bonds,    4/07 at 100.00    BB–    499,950 
     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    441,508 
     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    662,262 
     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    4,325,800 
     Station Parking Garage, Series 2002, 5.800%, 6/01/23 – ACA Insured (Alternative Minimum Tax)             
230    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Allegheny General    3/07 at 100.00    Ba3    230,393 
     Hospital, Series 1991A, 7.250%, 9/01/17             
15,870    Total Pennsylvania            17,661,304 
    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    1,683,825 
     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    3,246,990 
     Series 2002A, 6.250%, 6/01/42             
4,500    Total Rhode Island            4,930,815 
    South Carolina – 0.2% (0.1% of Total Investments)             
490    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement    No Opt. Call    BBB    571,428 
     Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/30             
    Tennessee – 1.1% (0.8% of Total Investments)             
3,500    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue    4/12 at 101.00    Baa3    3,760,575 
     Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31             
500    Maury County Industrial Development Board, Tennessee, Multi-Modal Interchangeable Rate    3/07 at 100.00    B–    509,600 
     Pollution Control Revenue Refunding Bonds, Saturn Corporation, Series 1994, 6.500%, 9/01/24             
4,000    Total Tennessee            4,270,175 
    Texas – 9.2% (6.3% of Total Investments)             
1,200    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    5/07 at 100.00    CCC+    1,217,880 
     American Airlines Inc., Series 1992, 7.250%, 11/01/30 (Alternative Minimum Tax)             
2,705    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    11/07 at 100.00    CCC+    2,728,642 
     American Airlines Inc., Series 1995, 6.000%, 11/01/14             
    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    2,018,701 
6,600     7.125%, 9/01/34    9/14 at 100.00    N/R    7,259,472 
585    Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo    4/12 at 100.00    Ba1    655,089 
     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    988,450 
     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    2/14 at 101.00    N/R    279,230 
1,400     7.125%, 2/15/34    2/14 at 101.00    N/R    1,563,114 
2,020    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,    7/09 at 101.00    B–    2,062,763 
     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–    995,641 
     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–    666,552 
5,350     6.750%, 7/01/29 (Alternative Minimum Tax)    7/11 at 101.00    B–    5,811,652 
2,000    Sea Breeze Public Facility Corporation, Texas, Multifamily Housing Revenue Bonds, Sea Breeze    1/21 at 100.00    N/R    2,030,080 
     Senior Apartments, Series 2006, 6.500%, 1/01/46 (Alternative Minimum Tax)             
5,825    Texas Department of Housing and Community Affairs, Multifamily Housing Revenue Bonds, Humble    7/21 at 100.00    N/R    6,036,098 
     Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax)             
32,350    Total Texas            34,313,364 
    Virgin Islands – 3.3% (2.3% of Total Investments)             
3,000    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 2003, 5.000%,    10/14 at 100.00    AA    3,138,750 
     10/01/26 – RAAI Insured             
5,000    Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project – Hovensa LLC, Series    1/14 at 100.00    BBB    5,531,300 
     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    3,619,242 
     Hovensa LLC, Series 2004, 5.875%, 7/01/22             
11,300    Total Virgin Islands            12,289,292 
    Virginia – 4.3% (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    1,382,760 
4,250     5.500%, 8/15/28 (Pre-refunded 8/15/08)    8/08 at 102.00    AAA    4,447,923 
1,850     0.000%, 8/15/30 (Pre-refunded 8/15/08)    8/08 at 28.38    AAA    495,726 
    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    1,550,280 
3,000     0.000%, 8/15/15 (Pre-refunded 8/15/08)    8/08 at 68.82    AAA    1,949,400 
9,000     0.000%, 8/15/19 (Pre-refunded 8/15/08)    8/08 at 54.38    AAA    4,620,960 
630    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Bonds,    7/11 at 105.00    B2    674,522 
     Series 2001A, 7.400%, 7/15/21             
980    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Refunding    7/11 at 100.00    B2    997,767 
     Bonds, Series 2001C, 6.850%, 7/15/21             
23,710    Total Virginia            16,119,338 
    Washington – 3.5% (2.4% of Total Investments)             
3,000    Skagit County Public Hospital District 1, Washington, Revenue Bonds, Skagit Valley Hospital,    12/13 at 100.00    Baa2    3,246,390 
     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    1,921,360 
2,500     5.250%, 1/01/34 – ACA Insured    1/14 at 100.00    A    2,594,500 
4,725     6.000%, 1/01/34 – ACA Insured    1/14 at 100.00    A    5,164,047 
11,975    Total Washington            12,926,297 
    Wisconsin – 5.8% (4.0% 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)    691,818 
     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+    9,820,008 
2,300     5.600%, 2/15/29 – ACA Insured    2/09 at 101.00    A    2,370,219 
    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    922,836 
1,000     6.250%, 4/01/34    4/14 at 100.00    N/R    1,057,350 
6,305    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    2/12 at 101.00    A– (4)    6,911,479 
     Services Inc., Series 2002, 5.750%, 8/15/30 (Pre-refunded 2/15/12)             
20,515    Total Wisconsin            21,773,710 
$      521,532    Total Investments (cost $502,095,540) – 145.9%            543,851,510 
    Floating Rate Obligation – (5.7%)            (21,135,000) 
    Other Assets Less Liabilities – 1.4%            5,082,503 
    Preferred Shares, at Liquidation Value – (41.6)%            (155,000,000) 
    Net Assets Applicable to Common Shares – 100%           $   372,799,013 

(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. 
(ETM)    Escrowed to maturity. 
(UB)    Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the 
    provisions of SFAS No. 140. 
(IF)    Inverse floating rate investment. 

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 January 31, 2007, the cost of investments was $479,658,240.

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

Gross unrealized:     
  Appreciation    $43,836,427 
  Depreciation    (778,267) 
Net unrealized appreciation (depreciation) of investments    $43,058,160 

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/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         March 30, 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         March 30, 2007        

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

Date        March 30, 2007        

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