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:         1/31/08         

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 Fund (NMZ)             
    January 31, 2008             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    National – 2.2% (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    Aaa   $   1,090,560 
5,000     6.000%, 12/31/45 (Mandatory put 4/30/19) (Alternative Minimum Tax)    4/19 at 100.00    Aaa    5,537,200 
1,000    GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 (Mandatory put 10/31/19)    No Opt. Call    Baa1    1,038,860 
     (Alternative Minimum Tax)             
7,000    Total National            7,666,620 
    Alabama – 2.6% (1.7% of Total Investments)             
6,200    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/08 at 102.00    N/R (4)    6,358,844 
     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    Aaa    1,863,740 
1,000    Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health    11/15 at 100.00    Baa1    911,820 
     System Inc., Series 2005A, 5.000%, 11/15/30             
9,200    Total Alabama            9,134,404 
    Arizona – 5.2% (3.4% of Total Investments)             
505    Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment    7/10 at 102.00    N/R    534,840 
     Lien Bonds, Series 2001A, 7.875%, 7/01/25             
2,000    Maricopa County Industrial Development Authority, Arizona, Multifamily Housing Revenue Bonds,    4/08 at 103.00    N/R    2,011,720 
     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    6,521,424 
     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:             
275     6.375%, 11/01/13    11/11 at 103.00    N/R    281,999 
790     7.250%, 11/01/23    11/11 at 103.00    N/R    838,451 
1,715     7.500%, 11/01/33    11/11 at 103.00    N/R    1,808,262 
1,000    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Franklin    7/16 at 100.00    N/R    937,000 
     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 (4)    2,005,271 
     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–    555,165 
     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    597,900 
     Educational Services Charter School, Series 2004, 6.250%, 7/01/14 (ETM)             
1,150    Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract    10/12 at 100.00    BBB–    1,133,164 
     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–    1,012,350 
     Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24             
17,850    Total Arizona            18,237,546 
    California – 14.3% (9.3% of Total Investments)             
8,000    Alameda Public Finance Authority, California, Revenue Bond Anticipation Notes, Alameda Power    No Opt. Call    N/R    7,963,599 
     and Telecom, Series 2004, 7.000%, 6/01/09             
940    California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community    5/08 at 100.00    BB    934,670 
     Hospital, Series 1993, 5.750%, 5/15/15             
4,000    California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional    No Opt. Call    BB    3,710,520 
     Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax)             
2,925    California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series    3/14 at 102.00    N/R    3,026,556 
     2004A, 7.750%, 3/01/34             
1,005    California Statewide Community Development Authority, Subordinate Lien Multifamily Housing    1/14 at 100.00    N/R    1,048,868 
     Revenue Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative             
     Minimum Tax)             
1,000    Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement    6/17 at 100.00    BBB    958,680 
     Asset-Backed Bonds, Series 2007A-1, 5.750%, 6/01/47             
5,500    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    AAA    6,518,160 
     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    1,242,230 
     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    506,650 
1,000     5.850%, 9/01/33    9/14 at 100.00    N/R    975,980 
2,500    Independent Cities Lease Finance Authority, California, Revenue Bonds, El Granada Mobile Home    5/14 at 100.00    N/R    2,554,650 
     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    1,005,784 
     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    1,184,940 
     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    3,357,330 
     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    316,218 
     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    3,109,477 
     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    763,120 
1,250     5.650%, 9/01/34    9/14 at 100.00    N/R    1,183,750 
995    Oceanside, California, Special Tax Revenue Bonds, Community Facilities District – Morro Hills,    3/14 at 100.00    N/R    979,030 
     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    506,525 
1,625     5.600%, 8/15/28    8/12 at 101.00    N/R    1,636,700 
1,000     5.625%, 8/15/34    8/12 at 101.00    N/R    1,003,270 
2,250    San Diego County, California, Certificates of Participation, San Diego-Imperial Counties    9/12 at 100.00    Baa3    2,271,173 
     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    3,916,695 
     District 2001-1, Series 2004A, 6.125%, 9/01/39             
49,550    Total California            50,674,575 
    Colorado – 9.5% (6.2% of Total Investments)             
925    Bradburn Metropolitan District 3, Colorado, General Obligation Bonds, Series 2003,    12/13 at 101.00    N/R    945,877 
     7.500%, 12/01/33             
5,594    Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series    12/13 at 101.00    N/R    5,833,871 
     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)    452,900 
     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)    750,601 
     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)    922,104 
     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    3,608,675 
     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:             
470     7.300%, 12/01/23 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    551,484 
875     7.500%, 12/01/33 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    1,033,051 
1,784    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,    2/10 at 100.00    AAA    1,960,331 
     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    906,790 
     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)    1,387,882 
     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    12,000 
     Bonds, Heritage Christian School of Northern Colorado, Series 2004A, 7.500%, 6/01/34 (5)             
4,300    Denver Health and Hospitals Authority, Colorado, Revenue Bonds, Series 2004A, 6.250%, 12/01/33    12/14 at 100.00    BBB (4)    5,142,757 
     (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    1,010,200 
     Community Project, Series 1998, 5.400%, 7/01/39             
3,145    Kit Carson County Health Service District, Colorado, Health Care Facility Revenue Bonds,    No Opt. Call    N/R    3,058,638 
     Series 2007, 6.750%, 1/01/34             
1,250    Mesa County, Colorado, Residential Care Facilities Mortgage Revenue Bonds, Hilltop Community    12/11 at 101.00    AA    1,285,313 
     Resources Inc. Obligated Group, Series 2001A, 5.250%, 12/01/21 – RAAI Insured             
1,000    Mountain Shadows Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series    12/16 at 100.00    N/R    824,120 
     2007, 5.500%, 12/01/27             
1,995    Park Creek Metropolitan District, Colorado, Limited Tax Obligation Revenue Bonds, Series    12/13 at 100.00    N/R    2,142,830 
     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    255,455 
315     6.375%, 12/01/23    12/13 at 100.00    N/R    322,028 
    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    517,245 
500     6.750%, 12/01/33    12/13 at 100.00    N/R    514,585 
33,093    Total Colorado            33,438,737 
    Connecticut – 0.7% (0.5% of Total Investments)             
1,025    Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator    7/08 at 100.00    BBB    1,023,616 
     Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax)             
1,700    Mashantucket Western Pequot Tribe, Connecticut, Subordinate Special Revenue Bonds, Series    11/17 at 100.00    Baa3    1,624,469 
     2007A, 5.750%, 9/01/34             
2,725    Total Connecticut            2,648,085 
    Florida – 9.0% (5.8% of Total Investments)             
2,000    Aberdeen Community Development District, Florida, Special Assessment Bonds, Series 2005,    5/14 at 100.00    N/R    1,610,820 
     5.500%, 5/01/36             
4,320    Bartram Springs Community Development District, Duval County, Florida, Special Assessment    5/13 at 102.00    N/R (4)    4,993,315 
     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    807,070 
     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    Ba2    752,710 
     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    1,114,319 
     Revenue Bonds, Series 2004, 5.900%, 5/01/34             
455    Islands at Doral Northeast Community Development District, Miami-Dade County, Florida, Special    5/14 at 101.00    N/R    480,812 
     Assessment Bonds, Series 2004, 6.125%, 5/01/24             
3,000    Jacksonville, Florida, Economic Development Commission Health Care Facilities Revenue Bonds,    9/17 at 100.00    N/R    3,010,530 
     The Florida Proton Therapy Institute Project, Series 2007, 6.250%, 9/01/27             
620    Lexington Community Development District, Florida, Special Assessment Revenue Bonds, Series    5/14 at 101.00    N/R    617,520 
     2004, 6.125%, 5/01/34             
3,813    MMA Financial CDD Junior Securitization Trust, Florida, Pass-Through Certificates, Class A,    5/08 at 100.00    N/R    3,821,548 
     Series 2003I, 8.000%, 11/01/13             
1,000    Old Palm Community Development District, Florida, Special Assessment Bonds, Palm Beach    5/15 at 101.00    N/R    809,840 
     Gardens, Series 2004A, 5.900%, 5/01/35             
3,790    Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake    7/09 at 103.00    N/R    3,858,826 
     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    919,210 
     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    1,710,659 
     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    463,104 
500     6.125%, 5/01/34    5/14 at 101.00    N/R    502,845 
1,000    Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2006,    5/14 at 101.00    N/R    829,130 
     5.400%, 5/01/37             
1,715    Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2007,    5/18 at 100.00    N/R    1,693,460 
     6.650%, 5/01/40             
    Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:             
140     6.000%, 5/01/23    5/13 at 101.00    N/R    133,860 
3,745     6.125%, 5/01/35    5/13 at 101.00    N/R    3,496,369 
32,113    Total Florida            31,625,947 
    Georgia – 1.2% (0.8% of Total Investments)             
500    Effingham County Development Authority, Georgia, Solid Waste Disposal Revenue Bonds, Ft. James    7/08 at 102.00    B    455,405 
     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    878,814 
     Series 2004A, 6.125%, 2/15/34             
1,000    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Elderly Care,    7/17 at 100.00    N/R    841,180 
     Lenbrook Square Project, Series 2006A, 5.125%, 7/01/37             
1,915    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, St. Anne’s    12/13 at 102.00    N/R    2,078,369 
     Terrace, Series 2003, 7.625%, 12/01/33             
4,315    Total Georgia            4,253,768 
    Hawaii – 0.8% (0.5% of Total Investments)             
2,000    Hawaii State Department of Budget and Finance, Private School Revenue Bonds, Island Pacific    No Opt. Call    N/R    1,913,120 
     Academy Project, Series 2007, 6.375%, 3/01/34             
1,000    Hawaii State Department of Budget and Finance, Private School Revenue Bonds, Montessori of    2/17 at 100.00    N/R    924,620 
     Maui, Series 2007, 5.500%, 1/01/37             
3,000    Total Hawaii            2,837,740 
    Illinois – 7.2% (4.7% of Total Investments)             
2,000    Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes,    12/08 at 100.00    N/R    2,024,820 
     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    1,033,020 
     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    1,896,500 
     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    1,362,852 
     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    1,000,100 
     5.500%, 5/15/32             
8,800    Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2016,    7/12 at 100.00    A–    9,068,752 
     5.750%, 7/01/29 (UB)             
1,400    Illinois Health Facilities Authority, Revenue Bonds, Midwest Physicians Group Ltd., Series    11/08 at 102.00    N/R    1,332,226 
     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    1,700,672 
     Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36             
1,203    Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel    7/18 at 100.00    N/R    1,111,885 
     Revenue Bonds, Series 2005C-3, 4.000%, 1/01/36             
2,055    Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series    3/14 at 102.00    N/R    2,085,496 
     2004A, 6.200%, 3/01/34             
998    Volo Village, Illinois, Special Service Area 3 Special Tax Bonds, Symphony Meadows Project 1,    3/16 at 102.00    N/R    949,308 
     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    927,040 
     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    951,210 
     Series 2006, 6.000%, 3/01/36             
25,456    Total Illinois            25,443,881 
    Indiana – 9.8% (6.4% of Total Investments)             
6,360    Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A,    7/12 at 103.00    N/R    6,617,962 
     6.650%, 1/15/24             
22,770    Indiana Finance Authority, Water Facilities Refunding Revenue Bonds, Indiana-American Water    10/16 at 100.00    AAA    21,968,041 
     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–    529,240 
2,500     6.000%, 3/01/34    3/14 at 101.00    BBB–    2,547,075 
200    Jasper County, Indiana, Economic Development Revenue Refunding Bonds, Georgia Pacific    4/10 at 101.00    B2    198,746 
     Corporation Project, Series 2000, 6.700%, 4/01/29 (Alternative Minimum Tax)             
1,000    St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village    7/15 at 103.00    N/R    1,027,530 
     Apartments, Series 2005A, 7.500%, 7/01/35             
1,735    Whitley County, Indiana, Solid Waste and Sewerage Disposal Revenue Bonds, Steel Dynamics Inc.,    11/10 at 102.00    N/R    1,819,165 
     Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax)             
35,065    Total Indiana            34,707,759 
    Kansas – 0.5% (0.3% of Total Investments)             
2,000    Fredonia, Kansas, Hospital Revenue Bonds, Series 2007, 6.125%, 8/15/37    8/17 at 100.00    N/R    1,882,060 
    Louisiana – 8.5% (5.5% of Total Investments)             
1,000    Carter Marina Community Development District, Louisiana, Special Assessment Bonds, Series    10/12 at 100.00    N/R    983,430 
     2007, 6.250%, 10/01/22             
3,000    Greystone Community Development District, Louisiana, Special Assessment Bonds, Livingston    12/14 at 100.00    N/R    3,052,890 
     Parish, Series 2007, 6.750%, 12/01/22             
8,500    Hodge, Louisiana, Combined Utility System Revenue Bonds, Smurfit-Stone Container Corporation,    No Opt. Call    B–    9,134,184 
     Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax)             
3,000    Louisiana Local Government Envirnomental Facilities & Community Development Authority, Revenue    11/17 at 100.00    BB+    3,092,430 
     Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32             
1,000    Louisiana Local Government Environmental Facilities and Community Development Authority,    9/16 at 100.00    N/R    939,550 
     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    958,740 
     Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36             
3,000    Louisiana Local Government Environmental Facilities and Community Development Authority,    12/17 at 100.00    N/R    3,001,830 
     Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37             
    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    893,398 
805     8.500%, 3/01/24 (Alternative Minimum Tax)    3/10 at 102.00    N/R    833,513 
5,125    St. James Parish, Louisiana, Solid Waste Disposal Revenue Bonds, Freeport McMoran Project,    4/08 at 100.00    N/R    5,178,300 
     Series 1992, 7.700%, 10/01/22 (Alternative Minimum Tax)             
2,000    Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,    5/11 at 101.00    BBB    1,949,520 
     Series 2001B, 5.875%, 5/15/39             
29,295    Total Louisiana            30,017,785 
    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    3,212,106 
     Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34             
    Maryland – 3.3% (2.2% of Total Investments)             
2,000    Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995,    9/19 at 100.00    N/R    1,988,160 
     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    3,876,142 
     Series 2004, 5.500%, 8/15/33             
7,435    Prince George’s County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994,    7/08 at 100.00    B3    5,885,174 
     5.300%, 7/01/24             
13,285    Total Maryland            11,749,476 
    Massachusetts – 1.1% (0.7% of Total Investments)             
580    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    568,522 
     Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)             
2,000    Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,    10/12 at 102.00    BBB–    1,872,160 
     5.250%, 10/01/26             
1,350    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire    7/14 at 100.00    BB–    1,375,826 
     Community Services Inc., Series 2004B, 6.375%, 7/01/34             
3,930    Total Massachusetts            3,816,508 
    Michigan – 4.8% (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    1,276,992 
     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    904,390 
     2000, 8.000%, 4/01/29             
    Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A:             
15     5.500%, 5/01/21 – ACA Insured    5/09 at 101.00    N/R    13,773 
1,435     5.500%, 5/01/21    5/09 at 101.00    BB–    1,317,617 
1,000    Garden City Hospital Finance Authority, Michigan, Revenue Bonds, Garden City Hospital    8/17 at 100.00    N/R    814,310 
     Obligated Group, Series 2007A, 5.000%, 8/15/38             
3,580    Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Detroit Medical    2/08 at 100.00    BB–    3,293,707 
     Center Obligated Group, Series 1993B, 5.500%, 8/15/23             
500    Michigan State Hospital Finance Authority, Revenue Bonds, Chelsea Community Hospital, Series    5/15 at 100.00    BBB    468,370 
     2005, 5.000%, 5/15/30             
1,500    Michigan State Hospital Finance Authority, Revenue Bonds, Hills and Dales General Hospital,    11/15 at 102.00    N/R    1,511,535 
     Series 2005A, 6.750%, 11/15/38             
2,665    Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates of Participation, Series    6/10 at 102.00    N/R (4)    2,980,616 
     2000, 8.250%, 6/01/30 (Pre-refunded 6/01/10)             
    Pontiac Hospital Finance Authority, Michigan, Hospital Revenue Refunding Bonds, NOMC Obligated             
    Group, Series 1993:             
985     6.000%, 8/01/13    2/08 at 100.00    B    858,250 
1,500     6.000%, 8/01/18    2/08 at 100.00    B    1,197,645 
1,800     6.000%, 8/01/23    2/08 at 100.00    B    1,352,700 
1,000    Summit Academy North Charter School, Michigan, Charter School Revenue Bonds, Series 2005,    11/15 at 100.00    BB+    897,770 
     5.500%, 11/01/30             
18,130    Total Michigan            16,887,675 
    Minnesota – 3.1% (2.0% 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)    110,429 
100     7.300%, 7/01/15 (Pre-refunded 7/01/10)    7/10 at 100.00    N/R (4)    110,652 
1,325    Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School,    6/14 at 102.00    N/R    1,386,189 
     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 (4)    5,669,250 
     7/01/30 (Pre-refunded 7/01/14)             
1,430    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher    6/14 at 102.00    N/R    1,491,118 
     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    1,136,267 
     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    1,007,480 
     2005B, 6.000%, 5/01/30             
10,055    Total Minnesota            10,911,385 
    Mississippi – 0.3% (0.2% of Total Investments)             
969    Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care    10/19 at 101.00    N/R    930,028 
     Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax)             
    Missouri – 2.7% (1.7% of Total Investments)             
2,000    Branson Regional Airport Transportation Development District, Missouri, Project Revenue Bonds,    7/17 at 100.00    N/R    1,866,240 
     Series 2007B, 6.000%, 7/01/37 (Alternative Minimum Tax)             
5,935    Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue    12/16 at 100.00    AAA    5,480,616 
     Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC Insured             
     (Alternative Minimum Tax) (UB)             
1,300    Saint Louis Industrial Development Authority, Missouri, Saint Louis Convention Center    12/10 at 102.00    Caa2    1,291,069 
     Headquarters Hotel Project, Series 2000A, 7.250%, 12/15/35 (Alternative Minimum Tax)             
830    Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment    6/08 at 100.00    N/R    803,648 
     Projects, Series 2007A, 6.000%, 3/27/26             
10,065    Total Missouri            9,441,573 
    Montana – 2.0% (1.3% of Total Investments)             
5,200    Montana Board of Investments, Exempt Facility Revenue Bonds, Stillwater Mining Company, Series    7/10 at 101.00    B–    5,159,960 
     2000, 8.000%, 7/01/20 (Alternative Minimum Tax)             
2,060    Montana Board of Investments, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series    No Opt. Call    N/R    2,020,304 
     1993, 7.000%, 12/31/19 (Alternative Minimum Tax)             
7,260    Total Montana            7,180,264 
    Nebraska – 2.9% (1.9% of Total Investments)             
6,500    Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska    2/17 at 100.00    AAA    7,176,520 
     City 2, Series 2006A, Residuals 1508-2, 10.202%, 2/01/49 – AMBAC Insured (IF)             
3,000    Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska    2/17 at 100.00    AAA    3,078,060 
     City 2, Series 2006A, 5.000%, 2/01/49 – AMBAC Insured (UB)             
9,500    Total Nebraska            10,254,580 
    Nevada – 2.4% (1.6% of Total Investments)             
1,170    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company Project,    7/08 at 100.00    B    1,083,607 
     Series 1995C, 5.500%, 10/01/30             
2,000    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    7/08 at 100.00    B    1,863,960 
     1995A, 5.600%, 10/01/30 (Alternative Minimum Tax)             
500    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    5/08 at 100.00    Ba3    484,715 
     1997A, 5.900%, 11/01/32 (Alternative Minimum Tax)             
1,475    Clark County, Nevada, Local Improvement Bonds, Mountain’s Edge Special Improvement District    8/16 at 100.00    N/R    1,458,569 
     142, Series 2003, 6.375%, 8/01/23             
4,500    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas    1/10 at 102.00    N/R    3,609,405 
     Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40             
9,645    Total Nevada            8,500,256 
    New Jersey – 5.2% (3.4% of Total Investments)             
1,000    New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey    7/08 at 102.00    BB+    878,870 
     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    3,298,277 
     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    504,080 
     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)    563,410 
     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    9,384,678 
2,760     7.000%, 6/01/41 (Pre-refunded 6/01/13)    6/13 at 100.00    AAA    3,342,636 
500    Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,    6/17 at 100.00    BBB    426,025 
     Series 2007-1A, 5.000%, 6/01/41             
16,595    Total New Jersey            18,397,976 
    New York – 1.0% (0.7% of Total Investments)             
5    Dormitory Authority of the State of New York, Revenue Bonds, Lenox Hill Hospital Obligated    7/11 at 101.00    Ba2    4,953 
     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    1,080,010 
     Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax)             
1,700    New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds,    4/08 at 100.00    CCC+    1,668,873 
     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    794,573 
     Airport – American Airlines Inc., Series 2002A, 8.000%, 8/01/12 (Alternative Minimum Tax)             
3,455    Total New York            3,548,409 
    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    5,395,335 
     Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29             
    Ohio – 9.5% (6.2% of Total Investments)             
    Belmont County, Ohio, Revenue Bonds, Ohio Valley Health Services and Education Corporation,             
    Series 1998:             
500     5.700%, 1/01/13    1/10 at 100.00    B    500,330 
400     5.800%, 1/01/18    1/10 at 100.00    B    385,960 
    Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue             
    Bonds, Senior Lien, Series 2007A-2:             
355     5.125%, 6/01/24    6/17 at 100.00    BBB    343,530 
3,570     5.875%, 6/01/30    6/17 at 100.00    BBB    3,552,079 
3,375     5.750%, 6/01/34    6/17 at 100.00    BBB    3,252,893 
10,855     5.875%, 6/01/47    6/17 at 100.00    BBB    10,483,432 
3,375    Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program –    5/14 at 102.00    N/R    3,310,436 
     Garfield Heights Project, Series 2004D, 5.250%, 5/15/23             
7,000    Ohio Water Development Authority, Solid Waste Disposal Revenue Bonds, Bay Shore Power, Series    9/08 at 102.00    N/R    6,871,620 
     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    899,550 
     (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    3,802,320 
     Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax)             
34,430    Total Ohio            33,402,150 
    Oklahoma – 1.5% (1.0% of Total Investments)             
985    Okeene Municipal Hospital and Schallmo Authority, Oklahoma, Revenue Bonds, Series 2006,    1/16 at 101.00    N/R    953,125 
     7.000%, 1/01/35             
660    Oklahoma Development Finance Authority, Revenue Refunding Bonds, Hillcrest Healthcare System,    8/09 at 101.00    AAA    700,550 
     Series 1999A, 5.625%, 8/15/29 (Pre-refunded 8/15/09)             
850    Tulsa Industrial Authority, Oklahoma, Student Housing Revenue Bonds, University of Tulsa,    10/16 at 100.00    A2    852,312 
     Series 2006, 5.000%, 10/01/37             
1,335    Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,    6/08 at 100.00    B    1,295,297 
     6.250%, 6/01/20             
1,500    Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,    No Opt. Call    Caa1    1,600,665 
     Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14)             
5,330    Total Oklahoma            5,401,949 
    Pennsylvania – 5.0% (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    832,805 
6,455     9.250%, 11/15/30 (Pre-refunded 11/15/10)    11/10 at 102.00    AAA    7,734,897 
500    Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, Sacred Heart Hospital, Series    No Opt. Call    BB–    504,360 
     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    952,000 
     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    1,951,160 
     Immaculata University, Series 2005, 5.750%, 10/15/37             
500    New Morgan Industrial Development Authority, Pennsylvania, Solid Waste Disposal Revenue Bonds,    4/08 at 100.00    BB–    499,940 
     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    409,968 
     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    613,698 
     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    BBB    4,105,000 
     Station Parking Garage, Series 2002, 5.800%, 6/01/23 – ACA Insured (Alternative Minimum Tax)             
16,150    Total Pennsylvania            17,603,828 
    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    1,603,125 
     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    3,005,880 
     Series 2002A, 6.250%, 6/01/42             
4,500    Total Rhode Island            4,609,005 
    South Carolina – 1.3% (0.8% of Total Investments)             
4,000    Lancaster County, South Carolina, Assessment Bonds, Edgewater II Improvement District, Series    11/17 at 100.00    N/R    3,950,400 
     2007A, 7.750%, 11/01/39             
490    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement    No Opt. Call    BBB    496,958 
     Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/30             
4,490    Total South Carolina            4,447,358 
    Tennessee – 2.8% (1.8% of Total Investments)             
3,500    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue    4/12 at 101.00    Ba2    3,625,020 
     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    3/08 at 100.00    B–    1,462,365 
     Pollution Control Revenue Refunding Bonds, Saturn Corporation, Series 1994, 6.500%, 9/01/24             
    Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding             
    Bonds, Sumner Regional Health System Inc., Series 2007:             
2,000     5.500%, 11/01/37    11/17 at 100.00    N/R    1,955,420 
2,000     5.500%, 11/01/46    11/17 at 100.00    N/R    1,913,860 
1,000    Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds,    7/17 at 100.00    N/R    925,970 
     Rutland Place, Series 2007A, 6.300%, 7/01/37             
10,000    Total Tennessee            9,882,635 
    Texas – 10.3% (6.7% of Total Investments)             
1,935    Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, First Tier    1/11 at 100.00    N/R    1,954,311 
     Series 2001A, 9.750%, 1/01/26             
1,000    Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, First Tier    1/17 at 100.00    BB    935,080 
     Series 2006B, 5.750%, 1/01/34             
10    Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric    No Opt. Call    Caa1    9,648 
     Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax)             
2,705    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    4/08 at 100.00    CCC+    2,556,225 
     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+    1,403,045 
     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    1,907,399 
6,600     7.125%, 9/01/34    9/14 at 100.00    N/R    6,831,858 
585    Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo    4/12 at 100.00    Baa3    637,258 
     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    920,800 
     6.000%, 2/15/36             
2,020    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,    7/09 at 101.00    B–    1,801,194 
     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–    869,388 
     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–    619,134 
5,350     6.750%, 7/01/29 (Alternative Minimum Tax)    7/11 at 101.00    B–    5,390,446 
1,000    La Vernia Education Financing Corporation, Texas, Charter School Revenue Bonds, Riverwalk    8/11 at 100.00    N/R    904,500 
     Education Foundation, Series 2007A, 5.450%, 8/15/36             
1,000    Sabine River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company    8/13 at 101.00    Caa1    940,220 
     LLC Project, Series 2003B, 6.150%, 8/01/22             
2,000    Sea Breeze Public Facility Corporation, Texas, Multifamily Housing Revenue Bonds, Sea Breeze    1/21 at 100.00    N/R    1,871,260 
     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    5,585,475 
     Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax)             
1,000    Texas Public Finance Authority, Charter School Finance Corporation Revenue Bonds, Cosmos    2/15 at 100.00    BB+    863,760 
     Foundation Inc., Series 2007A, 5.375%, 2/15/37             
340    Trinity River Authority of Texas, Pollution Control Revenue Refunding Bonds, TXU Electric    5/13 at 101.00    Caa1    314,123 
     Company, Series 2003, 6.250%, 5/01/28 (Alternative Minimum Tax)             
37,495    Total Texas            36,315,124 
    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    5,092,600 
     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    3,386,592 
     Hovensa LLC, Series 2004, 5.875%, 7/01/22             
8,300    Total Virgin Islands            8,479,192 
    Virginia – 4.9% (3.2% of Total Investments)             
1,940    Isle of Wight County Industrial Development Authority, Virginia, Environmental Improvement    3/17 at 100.00    BBB    1,582,943 
     Revenue Bonds, International Paper Company Project, Series 2007A, 4.700%, 3/01/31             
     (Alternative Minimum Tax)             
    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    1,447,780 
4,250     5.500%, 8/15/28 (Pre-refunded 8/15/08)    8/08 at 102.00    AAA    4,412,903 
1,850     0.000%, 8/15/30 (Pre-refunded 8/15/08)    8/08 at 28.38    AAA    519,036 
    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    1,623,180 
3,000     0.000%, 8/15/15 (Pre-refunded 8/15/08)    8/08 at 68.82    AAA    2,041,050 
9,000     0.000%, 8/15/19 (Pre-refunded 8/15/08)    8/08 at 54.38    AAA    4,838,310 
605    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Bonds,    7/11 at 105.00    B2 (4)    705,823 
     Series 2001A, 7.400%, 7/15/21 (Pre-refunded 7/15/11)             
24,645    Total Virginia            17,171,025 
    Washington – 4.2% (2.7% of Total Investments)             
3,000    Skagit County Public Hospital District 1, Washington, Revenue Bonds, Skagit Valley Hospital,    12/13 at 100.00    Baa2    3,172,440 
     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    N/R    1,755,495 
2,500     5.250%, 1/01/34 – ACA Insured    1/14 at 100.00    N/R    2,241,325 
4,725     6.000%, 1/01/34 – ACA Insured    1/14 at 100.00    N/R    4,684,838 
1,000    Washington State Economic Development Finance Authority, Revenue Bonds, Coeur D’Alene Fiber    12/17 at 100.00    N/R    917,050 
     Project, Series 2007G, 7.000%, 12/01/27 (Alternative Minimum Tax)             
2,000    Washington State Health Care Facilities Authority, Revenue Bonds, Northwest Hospital and    No Opt. Call    N/R    1,970,560 
     Medical Center of Seattle, Series 2007, 5.700%, 12/01/32             
14,975    Total Washington            14,741,708 
    West Virginia – 0.3% (0.2% of Total Investments)             
500    Ohio County Commission, West Virginia, Special District Excise Tax Revenue Bonds, Fort Henry    3/16 at 100.00    N/R    466,970 
     Economic Development, Series 2006B, 5.625%, 3/01/36             
500    Ohio County Commission, West Virginia, Tax Increment Revenue Bonds, Fort Henry Centre    No Opt. Call    N/R    483,990 
     Financing District, Series 2007A, 5.850%, 6/01/34             
1,000    Total West Virginia            950,960 
    Wisconsin – 6.8% (4.5% 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)    712,014 
     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:             
2,300     5.600%, 2/15/29 – ACA Insured    2/09 at 101.00    BBB+    2,302,346 
9,485     5.600%, 2/15/29    2/09 at 101.00    BBB+    9,386,545 
    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    883,619 
1,000     6.250%, 4/01/34    4/14 at 100.00    N/R    992,250 
7,995    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    8/16 at 100.00    A–    7,786,970 
     Health Care System, Series 2006, 5.250%, 8/15/26 (UB)             
3,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    8/16 at 100.00    A–    2,134,320 
     Healthcare System, Series 2006, Trust 2191, 13.383%, 8/15/34 (IF)             
25,205    Total Wisconsin            24,198,064 
    Wyoming – 0.3% (0.2% of Total Investments)             
1,000    Sweetwater County, Wyoming, Solid Waste Disposal Revenue Bonds, FMC Corporation, Series 2005,    12/15 at 100.00    BBB    956,121 
     5.600%, 12/01/35 (Alternative Minimum Tax)             
$       549,725    Total Investments (cost $528,999,134) – 153.3%            540,953,597 
    Floating Rate Obligations – (10.3)%            (36,370,000)
    Other Assets Less Liabilities – 0.9%            3,292,701 
    Preferred Shares, at Liquidation Value – (43.9)% (7)            (155,000,000)
    Net Assets Applicable to Common Shares – 100%          $  352,876,298 


    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 of Investments with a 0.000% 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 Group (“Standard & Poor’s”) or Moody’s Investor Service, 
    Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be 
    below investment grade. 
    The AAA ratings shown in the Portfolio of Investments reflect the AAA ratings on certain bonds that may be 
    insured by AMBAC, FGIC, XLCA or MBIA as of January 31, 2008. Subsequent to January 31, 2008, at least 
    one rating agency reduced the rating for AMBAC-insured bonds to AA and XLCA-insured and FGIC-insured 
    bonds experienced further downgrades such that they no longer carry AAA ratings which had the effect of 
    reducing the rating of many (if not all) of the bonds insured by those particular insurers. One or more 
    rating agencies have placed each of these insurers on “negative credit watch”, which may presage one or 
    more rating reductions for such insurer or insurers in the future. If one or more insurers’ ratings are 
    reduced below AAA by these rating agencies, it would likely reduce the effective rating of many of the 
    bonds insured by that insurer or insurers. 
(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 had 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 is formally determined that the interest on the bonds 
    should be treated as taxable. 
(7)    Preferred Shares, at Liquidation Value as a percentage of total investments is (28.7)%. 
N/R    Not rated. 
(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 investments transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No. 140. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require classification. Temporary and permanent differences do not impact the net asset value of the Fund.

At January 31, 2008, the cost of investments was $491,081,190.

Gross unrealized appreciation and gross unrealized depreciation of investments at January 31, 2008, were as follows:
Gross unrealized:     
  Appreciation    $23,492,504 
  Depreciation    (9,991,062) 
Net unrealized appreciation (depreciation) of investments    $13,501,442 

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         March 31, 2008        

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 31, 2008        

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

Date        March 31, 2008        

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