N-Q 1 nq.htm NMZ 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)


        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:          07/31/05         

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)               
      July 31, 2005               
 
 
 
 
  Principal        Optional Call          Market 
  Amount (000)    Description(1)    Provisions*    Ratings**      Value 
 
      Alabama - 2.3% (1.5% of Total Investments)               
 
$   2,000    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/06 at 102.00    BBB-    $   2,057,440 
      Hospital, Series 1996, 6.750%, 4/01/15               
 
  6,200    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/08 at 102.00    BBB-      6,253,692 
      Hospital, Series 1998, 5.750%, 4/01/27               
 
      Arizona - 4.5% (3.1% of Total Investments)               
 
  576    Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment Lien    7/10 at 102.00    N/R      635,201 
      Bonds, Series 2001A, 7.875%, 7/01/25               
 
  6,720    Maricopa County Industrial Development Authority, Arizona, Senior Living Facility Revenue Bonds,    1/11 at 103.00    BBB      6,758,237 
      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:               
  350    6.375%, 11/01/13    11/11 at 103.00    N/R      353,532 
  790    7.250%, 11/01/23    11/11 at 103.00    N/R      801,400 
  1,715    7.500%, 11/01/33    11/11 at 103.00    N/R      1,740,742 
 
  550    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah Webster    12/14 at 100.00    BBB-      561,352 
      Basic Schools Inc., Series 2004, 6.125%, 12/15/34               
 
  1,645    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Heritage    7/14 at 100.00    N/R      1,681,700 
      Elementary School, Series 2004, 7.500%, 7/01/34               
 
      Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Pointe               
      Educational Services Charter School, Series 2004:               
  500    6.250%, 7/01/14    No Opt. Call    N/R      506,445 
  1,000    7.125%, 7/01/24    7/14 at 100.00    N/R      1,012,410 
 
  1,150    Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract Revenue    10/12 at 100.00    A      1,189,468 
      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-      1,014,360 
      Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24               
 
      California - 18.9% (13.3% of Total Investments)               
 
  8,000    Alameda Public Finance Authority, California, Revenue Bond Anticipation Notes, Alameda Power and    No Opt. Call    N/R      8,150,880 
      Telecom, Series 2004, 7.000%, 6/01/09               
 
  500    California Health Facilities Financing Authority, Health Facility Revenue Bonds, Catholic    No Opt. Call    A-      526,315 
      Healthcare West, Series 2004I, 4.950%, 7/01/26 (Mandatory put 7/01/14)               
 
  1,100    California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community    11/05 at 100.00    BB+      1,100,132 
      Hospital, Series 1993, 5.750%, 5/15/15               
 
  3,360    California, General Obligation Bonds, Series 2003, 5.000%, 11/01/21    11/13 at 100.00    A      3,554,074 
 
      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-      1,148,010 
  1,170    5.100%, 6/01/23    12/13 at 100.00    A-      1,237,041 
 
  3,000    California State Public Works Board, Lease Revenue Bonds, Department of Mental Health, Coalinga    6/14 at 100.00    A-      3,163,050 
      State Hospital, Series 2004A, 5.000%, 6/01/25               
    1,020    California Statewide Community Development Authority, Subordinate Lien Multifamily Housing Revenue    1/14 at 100.00    N/R        1,081,496 
      Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative Minimum Tax)               
 
  3,800    California Statewide Community Development Authority, Senior Lien Revenue Bonds, East Valley    10/15 at 103.00    N/R      4,194,402 
      Tourist Authority, Series 2003B, 9.250%, 10/01/20 (a)               
 
  2,925    California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series    3/14 at 102.00    N/R      3,049,547 
      2004A, 7.750%, 3/01/34               
 
  1,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    BBB      1,249,050 
      Revenue Bonds, Series 2003A-2, 7.900%, 6/01/42               
 
  5,500    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds,    6/13 at 100.00    BBB      6,334,900 
      Series 2003A-1, 6.750%, 6/01/39               
 
  4,975    Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement    6/13 at 100.00    A-***      5,629,213 
      Asset-Backed Bonds, Series 2003B, 5.625%, 6/01/33 (Pre-refunded to 6/01/13)               
 
      Huntington Beach, California, Special Tax Bonds, Community Facilities District 2003-1, Huntington               
      Center, Series 2004:               
  500    5.800%, 9/01/23    9/14 at 100.00    N/R      516,680 
  1,000    5.850%, 9/01/33    9/14 at 100.00    N/R      1,034,290 
 
  2,500    Independent Cities Lease Finance Authority, California, Revenue Bonds, El Granada Mobile Home Park,    5/14 at 100.00    N/R      2,671,675 
      Series 2004A, 6.450%, 5/15/44               
 
  1,015    Independent Cities Lease Finance Authority, California, Subordinate Lien Revenue Bonds, El Granada    5/14 at 100.00    N/R      1,053,032 
      Mobile Home Park, Series 2004B 6.500%, 5/15/44               
 
  1,200    Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2003-2 Improvement Area    9/13 at 102.00    N/R      1,261,716 
      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      3,507,780 
      District 3, Series 2004, 5.950%, 9/01/34               
 
  300    Los Angeles Regional Airports Improvement Corporation, California, Sublease Revenue Bonds, Los    12/12 at 102.00    B-      321,153 
      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-      3,158,005 
      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    9/05 at 102.00    N/R      816,096 
  1,250    5.650%, 9/01/34    9/05 at 102.00    N/R      1,275,150 
 
  1,555    Murrieta Valley Unified School District, Riverside County, California, Special Tax Bonds, Community    9/11 at 100.00    N/R      1,546,930 
      Facilities District 2000-1, Series 2004B, 5.300%, 9/01/34               
 
  1,000    Oceanside, California, Special Tax Revenue Bonds, Community Facilities District - Morro Hills,    3/14 at 100.00    N/R      1,032,410 
      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      514,875 
  1,625    5.600%, 8/15/28    8/12 at 101.00    N/R      1,675,326 
  1,000    5.625%, 8/15/34    8/12 at 101.00    N/R      1,031,930 
 
  2,250    San Diego County, California, Certificates of Participation, Developmental Services Foundation,    9/12 at 100.00    BBB-      2,283,480 
      Series 2002, 5.500%, 9/01/27               
 
  3,895    West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities District    9/13 at 103.00    N/R      4,006,864 
      2001-1, Series 2004A, 6.125%, 9/01/39               
 
      Colorado - 9.4% (6.7% of Total Investments)               
 
  925    Bradburn Metropolitan District 3, Colorado, General Obligation Bonds, Series 2003, 7.500%,    12/13 at 101.00    N/R      993,145 
      12/01/33               
 
  5,600    Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series 2003,    12/13 at 101.00    N/R      6,012,552 
      7.500%, 12/01/33               
    925    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Compass    7/08 at 100.00    N/R***        1,009,536 
      Montessori Elementary Charter School, Series 2000, 7.750%, 7/15/31 (Pre-refunded to 7/15/08)               
 
  650    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Bromley East    9/11 at 100.00    Ba1***      768,794 
      Charter School, Series 2000A, 7.250%, 9/15/30 (Pre-refunded to 9/15/11)               
 
  400    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Academy    12/10 at 101.00    BBB      433,500 
      Charter School - Douglas County School District Re. 1, Series 2000, 6.875%, 12/15/20               
 
  1,450    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Weld County    6/11 at 100.00    Ba1      1,504,099 
      School District 6 - Frontier Academy, Series 2001, 7.250%, 6/01/20               
 
  1,809    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Jefferson    2/12 at 100.00    N/R      1,887,203 
      County School District R-1 - Compass Montessori Secondary School, Series 2002, 8.000%, 2/15/32               
 
  3,500    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Denver Arts    5/14 at 101.00    N/R      3,648,400 
      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:               
  500    7.300%, 12/01/23    12/13 at 100.00    N/R      528,175 
  875    7.500%, 12/01/33    12/13 at 100.00    N/R      930,247 
 
  1,500    Colorado Educational and Cultural Facilities Authority, Independent School Improvement Revenue    6/14 at 100.00    N/R      1,667,115 
      Bonds, Heritage Christian School of Northern Colorado, Series 2004A, 7.500%, 6/01/34               
 
  2,000    Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Colorado Lutheran High    6/14 at 100.00    N/R      2,125,020 
      School Association, Series 2004A, 7.500%, 6/01/24               
 
  1,000    Colorado Housing and Finance Authority, Multifamily Project Bonds, Class II Series 2002C-6,    10/12 at 100.00    AA      1,029,780 
      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      4,722,088 
 
  1,000    Denver, Colorado, FHA-Insured Multifamily Housing Mortgage Loan Revenue Bonds, Garden Court    7/08 at 102.00    AAA      1,028,370 
      Community Project, Series 1998, 5.400%, 7/01/39               
 
  800    Eagle County Air Terminal Corporation, Colorado, Airport Terminal Revenue Bonds, Series 1996,    5/06 at 101.00    N/R      819,768 
      7.500%, 5/01/21 (Alternative Minimum Tax)               
 
  1,250    Mesa County, Colorado, Residential Care Facilities Mortgage Revenue Bonds, Hilltop Community    12/11 at 101.00    AA      1,321,575 
      Resources Inc. Obligated Group, Series 2001A, 5.250%, 12/01/21 - RAAI Insured               
 
  2,000    Park Creek Metropolitan District, Colorado, Limited Tax Obligation Revenue Bonds, Series 2003CR-2,    No Opt. Call    N/R      2,134,060 
      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      251,360 
  315    6.375%, 12/01/23    12/13 at 100.00    N/R      320,049 
 
      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      516,080 
  500    6.750%, 12/01/33    12/13 at 100.00    N/R      509,985 
 
      Connecticut - 0.3% (0.2% of Total Investments)               
 
  1,025    Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon    1/06 at 100.00    BBB      1,027,255 
      Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax)               
 
      Florida - 10.4% (7.4% of Total Investments)               
 
  4,480    Bartram Springs Community Development District, Duval County, Florida, Special Assessment Bonds,    5/13 at 102.00    N/R      4,915,277 
      Series 2003A, 6.650%, 5/01/34               
 
  700    Broward County, Florida, Airport Facility Revenue Bonds, Learjet Inc., Series 2000, 7.500%,    11/14 at 101.00    BBB-      799,540 
      11/01/20 (Alternative Minimum Tax)               
 
  3,000    Capital Trust Agency, Florida, Revenue Bonds, Seminole Tribe Convention Center, Series 2002A,    10/12 at 102.00    N/R      3,301,950 
      10.000%, 10/01/33 (a)               
 
  1,190    Century Gardens Community Development District, Miami-Dade County, Florida, Special Assessment    5/14 at 101.00    N/R      1,237,755 
      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:             
    485    6.125%, 5/01/24    5/14 at 101.00    N/R       521,826 
  450    6.250%, 5/01/34    5/14 at 101.00    N/R     478,841 
 
  6,880    Lee County Industrial Development Authority, Florida, Multifamily Housing Revenue Bonds, Legacy at    No Opt. Call    B2     6,179,066 
      Lehigh Project, Senior Series 2003A, 6.000%, 12/01/43             
 
  640    Lexington Community Development District, Florida, Special Assessment Revenue Bonds, Series 2004,    5/14 at 101.00    N/R     669,088 
      6.125%, 5/01/34             
 
  3,940    MMA Financial CDD Junior Securitization Trust, Florida, Pass-Through Certificates, Class A, Series    11/07 at 100.00    N/R     3,954,066 
      2003I, 8.000%, 11/01/13             
 
  3,370    Meadowwoods Community Development District, Pasco County, Florida, Special Assessment Revenue    5/14 at 101.00    N/R     3,445,589 
      Bonds, Series 2004A, 6.050%, 5/01/35             
 
  1,000    Orlando Utilities Commission, Florida, Subordinate Lien Water and Electric Revenue Bonds, Series    No Opt. Call    Aa1***     1,219,570 
      1989D, 6.750%, 10/01/17             
 
  3,985    Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake    7/09 at 103.00    N/R     4,027,958 
      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     1,800,946 
      Series 2004, 6.125%, 5/01/34             
 
      Stonegate Community Development District, Florida, Special Assessment Revenue Bonds, Series 2004:             
  485    6.000%, 5/01/24    5/14 at 101.00    N/R     513,397 
  500    6.125%, 5/01/34    5/14 at 101.00    N/R     528,520 
 
      Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:             
  150    6.000%, 5/01/23    5/13 at 101.00    N/R     158,070 
  3,750    6.125%, 5/01/35    5/13 at 101.00    N/R     3,942,938 
 
      Georgia - 0.9% (0.6% of Total Investments)             
 
  1,975    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, St. Anne's Terrace,    12/13 at 102.00    N/R     2,184,923 
      Series 2003, 7.625%, 12/01/33             
 
  900    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Canterbury Court,    2/09 at 100.00    N/R     922,086 
      Series 2004A, 6.125%, 2/15/34             
 
      Illinois - 10.1% (7.2% of Total Investments)             
 
  2,000    Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes, Chicago/Kingsbury    12/08 at 100.00    N/R     2,085,640 
      Redevelopment Project, Series 2004A, 6.570%, 2/15/13             
 
  1,400    Illinois Health Facilities Authority, Revenue Bonds, Midwest Physicians Group Ltd., Series 1998,    11/08 at 102.00    BB+     1,295,826 
      5.500%, 11/15/19             
 
  795    Illinois Health Facilities Authority, Revenue Bonds, Victory Health Services, Series 1997A,    8/07 at 101.00    BBB-     795,191 
      5.750%, 8/15/27             
 
  8,725    Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2002A, 5.750%,    7/12 at 100.00    A-     9,250,071 
      7/01/29             
 
      Illinois Health Facilities Authority, FHA-Insured Mortgage Revenue Refunding Bonds, Sinai Health             
      System, Series 2003:             
  5,000    5.000%, 8/15/24    8/13 at 100.00    AAA     5,194,450 
  10,000    5.100%, 8/15/33    8/13 at 100.00    AAA     10,390,000 
  5,000    5.150%, 2/15/37    8/13 at 100.00    AAA     5,216,850 
 
  305    Illinois Health Facilities Authority, Revenue Refunding Bonds, Proctor Community Hospital, Series    1/06 at 100.00    BB+     305,189 
      1991, 7.375%, 1/01/23             
 
  2,065    Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series 2004A,    3/14 at 102.00    N/R     2,104,173 
      6.200%, 3/01/34             
 
      Indiana - 3.2% (2.3% of Total Investments)             
 
  6,360    Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A, 6.650%, 1/15/24    7/12 at 103.00    N/R     6,417,367 
      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-        542,550 
  2,500    6.000%, 3/01/34   3/14 at 101.00    BBB-      2,662,925 
  1,935    Whitley County, Indiana, Solid Waste and Sewerage Disposal Revenue Bonds, Steel Dynamics Inc.,   11/10 at 102.00    N/R      2,112,536 
      Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax)              
      Kentucky - 0.7% (0.5% of Total Investments)              
  2,875    Kenton County Airport Board, Kentucky, Special Facilities Revenue Bonds, Delta Air Lines Project,   No Opt. Call    Ca      2,678,465 
      Series 1992A, 7.500%, 2/01/20 (Alternative Minimum Tax)              
      Louisiana - 6.6% (4.7% of Total Investments)              
  2,730    Carter Plantation Community Development District, Livingston Parish, Louisiana, Special Assessment   11/05 at 100.00    N/R      2,685,201 
      Bonds, Series 2004, 5.500%, 5/01/16              
  8,500    Hodge, Louisiana, Combined Utility System Revenue Bonds, Smurfit-Stone Container Corporation,   No Opt. Call    B      10,357,505 
      Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax)              
  2,620    Lafourche Parish Housing Authority, Louisiana, GNMA Collateralized Mortgage Loan Multifamily   1/11 at 105.00    AAA      2,939,509 
      Mortgage Revenue Bonds, City Place II Apartments, Series 2001, 6.700%, 1/20/40              
      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      903,752 
  805    8.500%, 3/01/24 (Alternative Minimum Tax)   3/10 at 102.00    N/R      839,213 
  5,125    St. James Parish, Louisiana, Solid Waste Disposal Revenue Bonds, Freeport McMoran Project, Series   No Opt. Call    N/R      5,134,994 
      1992, 7.700%, 10/01/22 (Alternative Minimum Tax)              
  1,000    Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds, Series   5/11 at 101.00    BBB      1,059,360 
      2001B, 5.875%, 5/15/39              
      Maine - 0.9% (0.6% of Total Investments)              
  3,155    Portland Housing Development Corporation, Maine, Senior Living Section 8 Assisted Revenue Bonds,   2/14 at 102.00    Baa2      3,176,233 
      Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34              
      Maryland - 3.4% (2.4% of Total Investments)              
  2,000    Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995,   9/05 at 102.00    N/R      2,041,360 
      7.400%, 9/01/19 (Alternative Minimum Tax)              
  3,800    Maryland Health and Higher Educational Facilities Authority, Revenue Bonds, MedStar Health, Series   8/14 at 100.00    Baa1      3,980,424 
      2004, 5.500%, 8/15/33              
  7,435    Prince George's County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994,   1/06 at 101.00    B3      6,174,396 
      5.300%, 7/01/24              
      Massachusetts - 1.4% (1.0% of Total Investments)              
  1,350    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire   7/14 at 100.00    BB-      1,430,879 
      Community Services Inc., Series 2004B, 6.375%, 7/01/34              
  3,470    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2000H, 6.650%,   7/10 at 100.00    AAA      3,775,534 
      7/01/41 (Alternative Minimum Tax)- MBIA Insured              
      Michigan - 4.6% (3.3% of Total Investments)              
  1,315    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series 1999,   4/09 at 100.00    N/R      1,320,076 
      7.000%, 4/01/29              
  915    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series 2000,   4/09 at 100.00    N/R      947,775 
      8.000%, 4/01/29              
  1,450    Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A, 5.500%,   5/09 at 101.00    BB-      1,362,565 
      5/01/21              
  3,580    Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Detroit Medical Center   8/05 at 101.00    BB-      3,361,727 
      Obligated Group, Series 1993B, 5.500%, 8/15/23              
    2,740    Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates of Participation, Series 2000,   6/10 at 102.00    N/R        2,927,306 
      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   8/05 at 100.00    BB      1,000,230 
  1,500    6.000%, 8/01/18   8/05 at 100.00    BB      1,456,560 
  1,800    6.000%, 8/01/23   8/05 at 100.00    BB      1,699,830 
  2,500    Saginaw Hospital Finance Authority, Michigan, Hospital Revenue Bonds, Covenant Medical Center,   7/14 at 100.00    A      2,588,600 
      Series 2004G, 5.125%, 7/01/22              
      Minnesota - 2.9% (2.0% of Total Investments)              
      Minneapolis, Minnesota, Student Housing Revenue Bonds, Riverton Community Housing Project, Series              
      2000:              
  100    7.200%, 7/01/14   7/10 at 100.00    N/R      102,564 
  100    7.300%, 7/01/15   7/10 at 100.00    N/R      102,557 
  1,325    Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School, Series   6/14 at 102.00    N/R      1,348,784 
      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-      5,213,150 
      7/01/30              
  1,100    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, HOPE   6/14 at 102.00    N/R      1,119,745 
      Community Academy Charter School, Series 2004A, 6.750%, 12/01/33              
  1,430    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher   6/14 at 102.00    N/R      1,461,446 
      Ground Academy Charter School, Series 2004A, 6.625%, 12/01/23              
  1,000    St. Paul Port Authority, Minnesota, Lease Revenue Bonds, HealthEast Midway Campus, Series 2005B,   5/15 at 100.00    N/R      1,016,120 
      6.000%, 5/01/30              
      Mississippi - 0.3% (0.2% of Total Investments)              
  1,000    Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care Apartments,   11/19 at 101.00    N/R      1,021,090 
      Series 2004-2, 6.125%, 9/01/34              
      Missouri - 1.4% (1.0% of Total Investments)              
  2,380    Kansas City Industrial Development Authority, Missouri, Multifamily Housing Revenue Bonds, Pickwick   2/14 at 102.00    N/R      2,419,651 
      Apartments Project, Series 2004, 8.000%, 2/01/34 (Alternative Minimum Tax)              
  2,500    St. Louis County Industrial Development Authority, Missouri, Revenue Bonds, Kiel Center   12/05 at 100.00    N/R      2,548,250 
      Multipurpose Arena, Series 1992, 7.875%, 12/01/24 (Alternative Minimum Tax)              
      Montana - 2.1% (1.5% of Total Investments)              
  5,200    Montana Board of Investments, Exempt Facility Revenue Bonds, Stillwater Mining Company Project,   7/10 at 101.00    B1      5,450,016 
      Series 2000, 8.000%, 7/01/20 (Alternative Minimum Tax)              
  2,000    Montana Board of Investment, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series 1993,   No Opt. Call    N/R      1,984,100 
      7.000%, 12/31/19 (Alternative Minimum Tax)              
      National - 2.1% (1.5% of Total Investments)              
      Charter Mac Equity Issuer Trust, Preferred Shares, Series 2004A-4:              
  5,000    6.000%, 12/31/45 (Alternative Minimum Tax) (Mandatory put 4/30/19)   No Opt. Call    A3      5,363,100 
  1,000    5.750%, 12/31/45 (Mandatory put 4/30/15)   No Opt. Call    A3      1,065,110 
  1,000    GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 (Alternative Minimum Tax) (Mandatory   No Opt. Call    Baa1      1,035,480 
      put 10/31/19)              
      Nevada - 2.3% (1.6% of Total Investments)              
  1,500    Clark County, Nevada, Local Improvement Bonds, Mountain's Edge Special Improvement District 142,   8/05 at 103.00    N/R      1,553,295 
      Series 2003, 6.375%, 8/01/23              
  2,000    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series 1995A,   No Opt. Call    B-      1,999,880 
      5.600%, 10/01/30 (Alternative Minimum Tax)              
 
    3,670    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company Project, Series   No Opt. Call    B-        3,669,633 
      1995C, 5.500%, 10/01/30              
 
  500    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series 1997A,   No Opt. Call    B-      500,055 
      5.900%, 11/01/32 (Alternative Minimum Tax)              
 
  550    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas Monorail   1/10 at 102.00    N/R      576,571 
      Project, Second Tier, Series 2000, 7.375%, 1/01/40              
 
      New Jersey - 4.0% (2.8% of Total Investments)              
 
  1,510    New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines   9/09 at 101.00    B      1,382,903 
      Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax)              
 
  500    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Trinitas Hospital Obligated   7/10 at 101.00    BBB-      563,545 
      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   6/13 at 100.00    BBB      9,248,055 
  2,760    7.000%, 6/01/41   6/13 at 100.00    BBB      3,340,180 
 
      New Mexico - 1.3% (0.9% of Total Investments)              
 
  4,500    Jicarilla Apache Nation, New Mexico, Revenue Bonds, Series 2002A, 5.000%, 9/01/18   9/13 at 101.00    N/R      4,691,745 
 
      New York - 3.3% (2.4% of Total Investments)              
 
  1,700    New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds, American   8/06 at 100.00    CCC      1,449,284 
      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    CCC      737,250 
      Airport - American Airlines Inc., Series 2002A, 8.000%, 8/01/12 (Alternative Minimum Tax)              
 
      New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State              
      Contingency Contract-Backed Bonds, Series 2003B-1C:              
  4,000    5.500%, 6/01/21   6/13 at 100.00    AA-      4,398,680 
  5,000    5.500%, 6/01/22   6/13 at 100.00    AA-      5,466,700 
 
      North Carolina - 1.6% (1.1% of Total Investments)              
 
  5,500    North Carolina Capital Facilities Finance Agency, Solid Waste Facilities Revenue Bonds, Liberty   7/12 at 106.00    N/R      5,616,765 
      Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29              
 
      Ohio - 3.9% (2.8% 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      479,260 
  400    5.800%, 1/01/18   1/08 at 102.00    B      368,988 
 
  3,375    Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program -   5/14 at 102.00    N/R      3,396,836 
      Garfield Heights Project, Series 2004D, 5.250%, 5/15/23              
 
  7,800    Ohio Water Development Authority, Solid Waste Disposal Revenue Bonds, Bay Shore Power, Series   9/08 at 102.00    N/R      7,887,204 
      1998A, 5.875%, 9/01/20 (Alternative Minimum Tax)              
 
  800    Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004A, 4.800%,   3/14 at 101.00    A+      809,104 
      3/01/22              
 
  1,275    Trumbull County, Ohio, Sewerage Disposal Revenue Bonds, General Motors Corporation, Series 1994,   No Opt. Call    Baa3      1,321,984 
      6.750%, 7/01/14 (Alternative Minimum Tax)              
 
      Oklahoma - 4.2% (3.0% of Total Investments)              
 
      Oklahoma Development Finance Authority, Revenue Refunding Bonds, Hillcrest Healthcare System,              
      Series 1999A:              
  1,200    5.750%, 8/15/15 (Pre-refunded to 8/15/09)   8/09 at 101.00    AAA      1,316,220 
  11,680    5.625%, 8/15/29 (Pre-refunded to 8/15/09)   8/09 at 101.00    AAA      12,756,429 
    1,335    Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,    12/05 at 102.00    B-        1,255,167 
      6.250%, 6/01/20               
      Pennsylvania - 4.7% (3.4% 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    B1      838,559 
  6,455    9.250%, 11/15/30    11/10 at 102.00    B1      7,758,587 
  2,000    Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds, Immaculata    10/15 at 102.00    N/R      1,952,540 
      University, Series 2005, 5.750%, 10/15/37               
  190    Monroeville Hospital Authority, Pennsylvania, Revenue Bonds, Forbes Health System, Series 1992,    No Opt. Call    B1      190,293 
      7.000%, 10/01/13               
  300    Monroeville Hospital Authority, Pennsylvania, Revenue Bonds, Forbes Health System, Series 1995,    10/05 at 102.00    B1      306,456 
      6.250%, 10/01/15               
  500    New Morgan Industrial Development Authority, Pennsylvania, Solid Waste Disposal Revenue Bonds, New    10/05 at 101.00    BB-      500,125 
      Morgan Landfill Company Inc., Series 1994, 6.500%, 4/01/19 (Alternative Minimum Tax)               
  600    Pennsylvania Economic Development Financing Authority, Exempt Facilities Revenue Bonds, Reliant    12/09 at 103.00    B+      645,720 
      Energy Inc., Series 2003A, 6.750%, 12/01/36 (Alternative Minimum Tax)               
  400    Pennsylvania Economic Development Financing Authority, Exempt Facilities Revenue Bonds, Reliant    12/09 at 103.00    B+      430,512 
      Energy Inc., Series 2002A, 6.750%, 12/01/36 (Alternative Minimum Tax)               
  4,000    Pennsylvania Economic Development Financing Authority, Revenue Bonds, Amtrak 30th Street Station    6/12 at 102.00    A      4,310,320 
      Parking Garage, Series 2002, 5.800%, 6/01/23 (Alternative Minimum Tax) - ACA Insured               
  230    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Allegheny General Hospital,    No Opt. Call    B1      230,389 
      Series 1991A, 7.250%, 9/01/17               
      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      1,542,780 
      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      3,241,740 
      Series 2002A, 6.250%, 6/01/42               
      South Carolina - 2.0% (1.4% of Total Investments)               
  2,755    Berkeley County School District, South Carolina, Installment Purchase Revenue Bonds, Securing    12/13 at 100.00    A-      2,918,785 
      Assets for Education, Series 2003, 5.250%, 12/01/19               
      Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991:               
  500    6.750%, 1/01/19 - FGIC Insured    No Opt. Call    AAA      646,265 
  1,375    6.750%, 1/01/19 - FGIC Insured    No Opt. Call    AAA      1,732,706 
  1,150    South Carolina JOBS Economic Development Authority, Hospital Revenue Bonds, Georgetown Memorial    8/11 at 100.00    AA      1,199,864 
      Hospital, Series 2001, 5.250%, 2/01/21 - RAAI Insured               
  490    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement Asset-Backed    No Opt. Call    BBB      574,388 
      Bonds, Series 2001B, 6.375%, 5/15/30               
      Tennessee - 1.0% (0.7% of Total Investments)               
  3,500    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue Bonds,    4/12 at 101.00    Baa3      3,732,750 
      Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31               
      Texas - 9.0% (6.4% of Total Investments)               
  1,200    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    11/05 at 100.00    CCC      1,043,196 
      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,    11/05 at 102.00    CCC      2,320,024 
      American Airlines Inc., Series 1995, 6.000%, 11/01/14               
  565    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    11/09 at 101.00    Caa2      436,310 
      American Airlines Inc., Series 1999, 6.375%, 5/01/35 (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        2,033,844 
  6,600    7.125%, 9/01/34   9/14 at 100.00    N/R      7,251,684 
 
  585    Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo   4/12 at 100.00    Ba1      669,205 
      Petroleum Corporation Project, Series 1998, 8.000%, 4/01/28 (Alternative Minimum Tax)              
 
  3,000    Harris County Health Facilities Development Corporation, Texas, Hospital Revenue Bonds, Memorial   12/14 at 100.00    A      3,107,910 
      Hermann Healthcare System, Series 2004A, 5.125%, 12/01/23              
 
  2,020    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc., Series   7/09 at 101.00    B-      1,622,908 
      1998B, 5.700%, 7/15/29 (Alternative Minimum Tax)              
 
  975    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc., Series   7/09 at 101.00    B-      783,335 
      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-      611,634 
  5,350    6.750%, 7/01/29 (Alternative Minimum Tax)   7/11 at 101.00    B-      5,180,298 
 
      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      276,318 
  1,400    7.125%, 2/15/34   2/14 at 101.00    N/R      1,540,476 
 
  5,850    Texas Department of Housing and Community Affairs, Multifamily Housing Revenue Bonds, Humble   7/21 at 100.00    N/R      5,886,855 
      Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax)              
 
      Virgin Islands - 3.4% (2.4% of Total Investments)              
 
  5,000    Virgin Islands Public Finance Authority, Refinery Revenue Bonds, Hovensa LLC, Series 2003, 6.125%,   1/14 at 100.00    BBB      5,518,050 
      7/01/22 (Alternative Minimum Tax)              
 
  3,300    Virgin Islands Public Finance Authority, Senior Secured Lien Refinery Revenue Bonds, Hovensa LLC,   7/14 at 100.00    BBB      3,586,044 
      Series 2004, 5.875%, 7/01/22              
 
  3,000    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 2003, 5.000%,   10/14 at 100.00    AA      3,166,920 
      10/01/26 - RAAI Insured              
 
      Virginia - 3.9% (2.7% of Total Investments)              
 
      Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll Road,              
      Series 1998B:              
  2,000    0.000%, 8/15/12   8/08 at 82.10    BB      1,388,360 
  3,000    0.000%, 8/15/15   8/08 at 68.82    BB      1,748,280 
  9,000    0.000%, 8/15/19   8/08 at 54.38    BB      4,123,890 
 
      Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll Road,              
      Series 1998A:              
  2,000    0.000%, 8/15/14   8/08 at 73.23    BB      1,240,740 
  4,250    5.500%, 8/15/28   8/08 at 102.00    BB      4,428,883 
  1,850    0.000%, 8/15/30   8/08 at 28.38    BB      443,260 
 
  650    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Bonds, Series   7/11 at 105.00    B2      664,801 
      2001A, 7.400%, 7/15/21              
 
      Washington - 3.5% (2.5% of Total Investments)              
 
  3,000    Skagit County Public Hospital District 1, Washington, Revenue Bonds, Skagit Valley Hospital, Series   12/13 at 100.00    Baa3      3,256,800 
      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      1,892,748 
  2,500    5.250%, 1/01/34 - ACA Insured   1/14 at 100.00    A      2,557,950 
  4,725    6.000%, 1/01/34 - ACA Insured   1/14 at 100.00    A      5,090,054 
 
      Wisconsin - 5.7% (4.0% of Total Investments)              
 
  550    Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series 2003A,   12/14 at 101.00    N/R      552,316 
      7.750%, 6/01/16              
    300    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Milwaukee Catholic Home Inc.,    7/06 at 102.00    N/R        308,410
      Series 1996, 7.250%, 7/01/17             
 
  500    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Oakwood Village Obligated    8/05 at 100.00    N/R      500,340
      Group, Series 2000A, 7.000%, 8/15/15             
 
  5,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan Services    2/12 at 101.00    A      5,367,300
      Inc., Series 2002, 5.750%, 8/15/30             
 
      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    A      2,374,450
  9,380    5.600%, 2/15/29    2/09 at 101.00    BBB+      9,671,338
 
      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      892,290
  1,000    6.250%, 4/01/34    4/14 at 100.00    N/R      1,017,280
 
$   499,420    Total Long-Term Investments (cost $479,874,002) - 141.5%              512,239,481
 
      Other Assets Less Liabilities - 1.3%              4,847,813
 
      Preferred Shares, at Liquidation Value - (42.8)%              (155,000,000)
 
      Net Assets Applicable to Common Shares - 100%            $   362,087,294

(1 )    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares 
    unless otherwise noted. 
*     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. 
**     Ratings: Using the higher of Standard & Poor's or Moody's rating. 
***     Securities are backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency 
    securities which ensures the timely payment of principal and interest. Such securities are normally considered 
    to be equivalent to AAA rated securities. 
N/R     Investment is not rated. 
(a)     The issuer has recieved a preliminary 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. 

             Income Tax Information       
 
             The following information is presented on an income tax basis. Differences between amounts for financial statement       
             and federal income tax purposes are primarily due to timing differences in recognizing income on taxable market       
             discount securities and timing differences in recognizing certain gains and losses on investment transactions.       
 
             At July 31, 2005, the cost of investments was $479,259,653.       
 
             Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2005, were as       
             follows:       
 
             Gross unrealized:       
                Appreciation    $   34,606,666  
                Depreciation      (1,626,838 ) 
 
             Net unrealized appreciation of investments    $   32,979,828  

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--Vice President and Secretary        

Date         09/29/05        

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--Chief Administrative Officer (principal executive officer)        

Date         09/29/05        

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

Date         09/29/05        

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