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:          1/31/06         

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, 2006

        Optional         
Principal        Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    National – 2.1% (1.5% of Total Investments)             
$     5,000    Charter Mac Equity Issuer Trust, Preferred Shares, Series 2004A-4, 6.000%, 12/31/45    12/45 at 100.00    A3   $   5,505,400 
     (Mandatory put 4/30/19) (Alternative Minimum Tax)             
1,000    Charter Mac Equity Issuer Trust, Preferred Shares, Series 2004A-4, 5.750%, 12/31/45    12/45 at 100.00    A3    1,073,486 
     (Mandatory put 4/30/15)             
1,000    GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 (Mandatory put 10/31/19)    10/39 at 100.00    Baa1    1,043,635 
     (Alternative Minimum Tax)             
7,000    Total National            7,622,521 
    Alabama – 2.4% (1.7% of Total Investments)             
2,000    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/06 at 102.00    N/R (4)    2,049,920 
     Hospital, Series 1996, 6.750%, 4/01/15 (Pre-refunded 4/01/06)             
6,200    Baldwin County Eastern Shore Healthcare Authority, Alabama, Hospital Revenue Bonds, Thomas    4/08 at 102.00    N/R (4)    6,569,148 
     Hospital, Series 1998, 5.750%, 4/01/27 (Pre-refunded 4/01/08)             
8,200    Total Alabama            8,619,068 
    Arizona – 4.6% (3.3% of Total Investments)             
566    Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment    7/10 at 102.00    N/R    621,213 
     Lien Bonds, Series 2001A, 7.875%, 7/01/25             
6,720    Maricopa County Industrial Development Authority, Arizona, Senior Living Facility Revenue    1/11 at 103.00    BB    6,764,688 
     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:             
350     6.375%, 11/01/13    11/11 at 103.00    N/R    353,574 
790     7.250%, 11/01/23    11/11 at 103.00    N/R    802,237 
1,715     7.500%, 11/01/33    11/11 at 103.00    N/R    1,741,240 
1,645    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Heritage    7/14 at 100.00    N/R    1,701,259 
     Elementary School, Series 2004, 7.500%, 7/01/34             
550    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah    12/14 at 100.00    BBB–    561,259 
     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    587,715 
     Educational Services Charter School, Series 2004, 6.250%, 7/01/14 (ETM)             
1,000    Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Pointe    7/14 at 100.00    N/R (4)    1,202,780 
     Educational Services Charter School, Series 2004, 7.125%, 7/01/24 (Pre-refunded 7/01/14)             
1,150    Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract    10/12 at 100.00    A    1,191,227 
     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–    1,015,100 
     Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24             
15,986    Total Arizona            16,542,292 
    California – 17.5% (12.6% of Total Investments)             
8,000    Alameda Public Finance Authority, California, Revenue Bond Anticipation Notes, Alameda Power    No Opt. Call    N/R    8,006,400 
     and Telecom, Series 2004, 7.000%, 6/01/09             
500    California Health Facilities Financing Authority, Health Facility Revenue Bonds, Catholic    7/26 at 100.00    A–    525,615 
     Healthcare West, Series 2004I, 4.950%, 7/01/26 (Mandatory put 7/01/14)             
1,005    California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community    5/06 at 100.00    BB    1,005,171 
     Hospital, Series 1993, 5.750%, 5/15/15             
    California State Public Works Board, Lease Revenue Bonds, Department of General Services,             
    Series 2003D:             
1,090     5.000%, 6/01/21    12/13 at 100.00    A–    1,139,115 
1,170     5.100%, 6/01/23    12/13 at 100.00    A–    1,225,049 
3,000    California State Public Works Board, Lease Revenue Bonds, Department of Mental Health,    6/14 at 100.00    A–    3,108,360 
     Coalinga State Hospital, Series 2004A, 5.000%, 6/01/25             
2,925    California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series    3/14 at 102.00    N/R    3,062,563 
     2004A, 7.750%, 3/01/34             
1,015    California Statewide Community Development Authority, Subordinate Lien Multifamily Housing    1/14 at 100.00    N/R    1,074,946 
     Revenue Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative Minimum             
     Tax)             
3,360    California, General Obligation Bonds, Series 2003, 5.000%, 11/01/21    11/13 at 100.00    A    3,525,816 
4,975    Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement    6/13 at 100.00    Aaa    5,572,000 
     Asset-Backed Bonds, Series 2003B, 5.625%, 6/01/33 (Pre-refunded 6/01/13)             
5,500    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    BBB    6,193,935 
     Bonds, Series 2003A-1, 6.750%, 6/01/39             
1,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    BBB    1,204,390 
     Revenue Bonds, Series 2003A-2, 7.900%, 6/01/42             
    Huntington Beach, California, Special Tax Bonds, Community Facilities District 2003-1,             
    Huntington Center, Series 2004:             
500     5.800%, 9/01/23    9/14 at 100.00    N/R    515,215 
1,000     5.850%, 9/01/33    9/14 at 100.00    N/R    1,030,230 
2,500    Independent Cities Lease Finance Authority, California, Revenue Bonds, El Granada Mobile Home    5/14 at 100.00    N/R    2,780,050 
     Park, Series 2004A, 6.450%, 5/15/44             
1,015    Independent Cities Lease Finance Authority, California, Subordinate Lien Revenue Bonds, El    5/14 at 100.00    N/R    1,079,300 
     Granada Mobile Home Park, Series 2004B, 6.500%, 5/15/44             
1,200    Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2003-2 Improvement    9/13 at 102.00    N/R    1,259,340 
     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    3,555,108 
     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–    310,515 
     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–    3,053,398 
     Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002C,             
     7.500%, 12/01/24 (Alternative Minimum Tax)             
    Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds,             
    Community Facilities District, Series 2004:             
800     5.550%, 9/01/29    9/14 at 100.00    N/R    816,168 
1,250     5.650%, 9/01/34    9/14 at 100.00    N/R    1,275,250 
1,555    Murrieta Valley Unified School District, Riverside County, California, Special Tax Bonds,    9/11 at 100.00    N/R    1,587,546 
     Community 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    1,035,540 
     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    516,640 
1,625     5.600%, 8/15/28    8/12 at 101.00    N/R    1,674,774 
1,000     5.625%, 8/15/34    8/12 at 101.00    N/R    1,024,010 
2,250    San Diego County, California, Certificates of Participation, San Diego-Imperial Counties    9/12 at 100.00    BBB–    2,261,588 
     Developmental Services Foundation Project, Series 2002, 5.500%, 9/01/27             
3,895    West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities    9/13 at 103.00    N/R    4,091,308 
     District 2001-1, Series 2004A, 6.125%, 9/01/39             
60,280    Total California            63,509,340 
    Colorado – 9.5% (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    989,186 
     12/01/33             
5,600    Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series    12/13 at 101.00    N/R    5,988,584 
     2003, 7.500%, 12/01/33             
400    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Academy    12/10 at 101.00    BBB    437,548 
     Charter School – Douglas County School District Re. 1, Series 2000, 6.875%, 12/15/20             
650    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Bromley    9/11 at 100.00    Ba1 (4)    755,664 
     East Charter School, Series 2000A, 7.250%, 9/15/30 (Pre-refunded 9/15/11)             
920    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Compass    7/08 at 100.00    N/R (4)    977,638 
     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    3,683,225 
     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:             
500     7.300%, 12/01/23 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    596,380 
875     7.500%, 12/01/33 (Pre-refunded 12/01/11)    12/11 at 100.00    AAA    1,052,791 
1,809    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,    2/12 at 100.00    N/R    1,904,479 
     Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2002,             
     8.000%, 2/15/32             
1,450    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Weld    6/11 at 100.00    Ba1    1,501,475 
     County School District 6 – Frontier Academy, Series 2001, 7.250%, 6/01/20             
1,500    Colorado Educational and Cultural Facilities Authority, Independent School Improvement Revenue    6/14 at 100.00    N/R    1,636,950 
     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    1,986,920 
     School Association, Series 2004A, 7.500%, 6/01/24             
900    Colorado Housing and Finance Authority, Multifamily Project Bonds, Class II Series 2002C-6,    10/12 at 100.00    AA    921,591 
     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    4,736,149 
1,000    Denver, Colorado, FHA-Insured Multifamily Housing Mortgage Loan Revenue Bonds, Garden Court    7/08 at 102.00    AAA    1,022,940 
     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    811,672 
     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    1,312,800 
     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    12/32 at 100.00    N/R    2,259,800 
     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    253,953 
315     6.375%, 12/01/23    12/13 at 100.00    N/R    323,354 
    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    520,995 
500     6.750%, 12/01/33    12/13 at 100.00    N/R    516,650 
31,944    Total Colorado            34,190,744 
    Connecticut – 0.3% (0.2% of Total Investments)             
1,025    Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator    7/06 at 100.00    BBB    1,024,283 
     Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax)             
    Florida – 9.2% (6.5% of Total Investments)             
4,445    Bartram Springs Community Development District, Duval County, Florida, Special Assessment    5/13 at 102.00    N/R    4,852,873 
     Bonds, 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–    795,347 
     11/01/20 (Alternative Minimum Tax)             
1,190    Century Gardens Community Development District, Miami-Dade County, Florida, Special Assessment    5/14 at 101.00    N/R    1,234,078 
     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    520,327 
450     6.250%, 5/01/34    5/14 at 101.00    N/R    477,014 
6,880    Lee County Industrial Development Authority, Florida, Multifamily Housing Revenue Bonds,    No Opt. Call    B2    5,997,502 
     Legacy at Lehigh Project, Senior Series 2003A, 6.000%, 12/01/43             
640    Lexington Community Development District, Florida, Special Assessment Revenue Bonds, Series    5/14 at 101.00    N/R    666,982 
     2004, 6.125%, 5/01/34             
3,370    Meadowwoods Community Development District, Pasco County, Florida, Special Assessment Revenue    5/14 at 101.00    N/R    3,437,771 
     Bonds, Series 2004A, 6.050%, 5/01/35             
3,936    MMA Financial CDD Junior Securitization Trust, Florida, Pass-Through Certificates, Class A,    11/07 at 100.00    N/R    3,992,993 
     Series 2003I, 8.000%, 11/01/13             
3,945    Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake    7/09 at 103.00    N/R    4,086,073 
     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    1,794,350 
     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    515,172 
500     6.125%, 5/01/34    5/14 at 101.00    N/R    524,770 
    Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:             
150     6.000%, 5/01/23    5/13 at 101.00    N/R    157,799 
3,750     6.125%, 5/01/35    5/13 at 101.00    N/R    3,928,950 
32,626    Total Florida            32,982,001 
    Georgia – 1.0% (0.7% of Total Investments)             
500    Effingham County Development Authority, Georgia, Solid Waste Disposal Revenue Bonds, Ft. James    7/08 at 102.00    B1    489,280 
     Project, Series 1998, 5.625%, 7/01/18 (Alternative Minimum Tax)             
900    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Canterbury Court,    2/09 at 100.00    N/R    924,066 
     Series 2004A, 6.125%, 2/15/34             
1,955    Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, St. Anne’s    12/13 at 102.00    N/R    2,158,672 
     Terrace, Series 2003, 7.625%, 12/01/33             
3,355    Total Georgia            3,572,018 
    Illinois – 10.8% (7.7% of Total Investments)             
2,000    Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes,    12/08 at 100.00    N/R    2,099,260 
     Chicago/Kingsbury Redevelopment Project, Series 2004A, 6.570%, 2/15/13             
    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    5,142,150 
10,000     5.100%, 8/15/33    8/13 at 100.00    AAA    10,225,800 
5,000     5.150%, 2/15/37    8/13 at 100.00    AAA    5,142,000 
8,800    Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2002A,    7/12 at 100.00    A–    9,343,840 
     5.750%, 7/01/29             
1,400    Illinois Health Facilities Authority, Revenue Bonds, Midwest Physicians Group Ltd., Series    11/08 at 102.00    BB+    1,304,254 
     1998, 5.500%, 11/15/19             
795    Illinois Health Facilities Authority, Revenue Bonds, Victory Health Services, Series 1997A,    8/07 at 101.00    BBB–    796,646 
     5.750%, 8/15/27             
305    Illinois Health Facilities Authority, Revenue Refunding Bonds, Proctor Community Hospital,    7/06 at 100.00    BBB–    305,192 
     Series 1991, 7.375%, 1/01/23             
1,650    Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel    1/16 at 100.00    N/R    1,732,995 
     Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36             
1,022    Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel    4/06 at 100.00    N/R    1,020,955 
     Revenue Bonds, Series 2005C-3, 4.000%, 1/01/36             
2,065    Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series    3/14 at 102.00    N/R    2,139,237 
     2004A, 6.200%, 3/01/34             
38,037    Total Illinois            39,252,329 
    Indiana – 3.5% (2.5% of Total Investments)             
6,360    Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A, 6.650%,    7/12 at 103.00    N/R    6,386,203 
     1/15/24             
    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–    539,795 
2,500     6.000%, 3/01/34    3/14 at 101.00    BBB–    2,649,550 
1,000    St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village    7/15 at 103.00    N/R    1,064,470 
     Apartments, Series 2005A, 7.500%, 7/01/35             
1,865    Whitley County, Indiana, Solid Waste and Sewerage Disposal Revenue Bonds, Steel Dynamics Inc.,    11/10 at 102.00    N/R    2,024,420 
     Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax)             
12,225    Total Indiana            12,664,438 
    Louisiana – 6.3% (4.4% of Total Investments)             
2,590    Carter Plantation Community Development District, Livingston Parish, Louisiana, Special    5/16 at 100.00    N/R    2,535,222 
     Assessment Bonds, Series 2004, 5.500%, 5/01/16             
8,500    Hodge, Louisiana, Combined Utility System Revenue Bonds, Smurfit-Stone Container Corporation,    No Opt. Call    CCC+    9,374,905 
     Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax)             
2,610    Lafourche Parish Housing Authority, Louisiana, GNMA Collateralized Mortgage Loan Multifamily    1/11 at 105.00    AAA    2,771,872 
     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    899,712 
805     8.500%, 3/01/24 (Alternative Minimum Tax)    3/10 at 102.00    N/R    835,646 
5,125    St. James Parish, Louisiana, Solid Waste Disposal Revenue Bonds, Freeport McMoran Project,    10/22 at 100.00    N/R    5,130,484 
     Series 1992, 7.700%, 10/01/22 (Alternative Minimum Tax)             
1,000    Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,    5/11 at 101.00    BBB    1,047,460 
     Series 2001B, 5.875%, 5/15/39             
21,495    Total Louisiana            22,595,301 
    Maine – 0.8% (0.6% of Total Investments)             
3,155    Portland Housing Development Corporation, Maine, Section 8 Assisted Senior Living Revenue    2/14 at 102.00    Baa2    3,278,802 
     Bonds, 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,    9/07 at 100.00    N/R    2,027,920 
     7.400%, 9/01/19 (Alternative Minimum Tax)             
3,800    Maryland Health and Higher Educational Facilities Authority, Revenue Bonds, MedStar Health,    8/14 at 100.00    BBB+    3,983,122 
     Series 2004, 5.500%, 8/15/33             
7,435    Prince George’s County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994,    7/06 at 100.00    B3    6,184,433 
     5.300%, 7/01/24             
13,235    Total Maryland            12,195,475 
    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–    1,420,767 
     Community Services Inc., Series 2004B, 6.375%, 7/01/34             
3,455    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2000H,    7/10 at 100.00    AAA    3,715,300 
     6.650%, 7/01/41 – MBIA Insured (Alternative Minimum Tax)             
4,805    Total Massachusetts            5,136,067 
    Michigan – 5.1% (3.6% of Total Investments)             
1,315    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series    4/09 at 100.00    N/R    1,319,800 
     1999, 7.000%, 4/01/29             
915    Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series    4/09 at 100.00    N/R    943,978 
     2000, 8.000%, 4/01/29             
1,450    Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A,    5/09 at 101.00    BB–    1,387,143 
     5.500%, 5/01/21             
3,580    Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Detroit Medical    2/06 at 101.00    BB–    3,466,478 
     Center Obligated Group, Series 1993B, 5.500%, 8/15/23             
1,500    Michigan State Hospital Finance Authority, Revenue Bonds, Hills and Dales General Hospital,    11/15 at 102.00    N/R    1,488,825 
     Series 2005A, 6.750%, 11/15/38             
2,740    Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates of Participation, Series    6/10 at 102.00    N/R    2,916,429 
     2000, 8.250%, 6/01/30             
    Pontiac Hospital Finance Authority, Michigan, Hospital Revenue Refunding Bonds, NOMC Obligated             
    Group, Series 1993:             
1,000     6.000%, 8/01/13    2/06 at 100.00    Ba2    1,000,230 
1,500     6.000%, 8/01/18    2/06 at 100.00    Ba2    1,457,685 
1,800     6.000%, 8/01/23    2/06 at 100.00    Ba2    1,701,360 
2,500    Saginaw Hospital Finance Authority, Michigan, Hospital Revenue Bonds, Covenant Medical Center,    7/14 at 100.00    A    2,593,300 
     Series 2004G, 5.125%, 7/01/22             
18,300    Total Michigan            18,275,228 
    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    102,450 
100     7.300%, 7/01/15    7/10 at 100.00    N/R    102,444 
1,325    Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School,    6/14 at 102.00    N/R    1,348,996 
     Series 2004A, 6.750%, 12/01/33             
5,000    St. Louis Park, Minnesota, Revenue Bonds, Park Nicollet Health Services, Series 2003B, 5.250%,    7/14 at 100.00    A    5,152,350 
     7/01/30             
1,430    St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher    6/14 at 102.00    N/R    1,462,561 
     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    1,147,663 
     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    1,019,790 
     2005B, 6.000%, 5/01/30             
10,055    Total Minnesota            10,336,254 
    Mississippi – 0.3% (0.2% of Total Investments)             
1,000    Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care    11/19 at 101.00    N/R    1,019,650 
     Apartments, Series 2004-2, 6.125%, 9/01/34             
    Missouri – 1.4% (1.0% of Total Investments)             
2,355    Kansas City Industrial Development Authority, Missouri, Multifamily Housing Revenue Bonds,    2/14 at 102.00    N/R    2,483,395 
     Pickwick 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    6/06 at 100.00    N/R    2,538,750 
     Multipurpose Arena, Series 1992, 7.875%, 12/01/24 (Alternative Minimum Tax)             
4,855    Total Missouri            5,022,145 
    Montana – 2.1% (1.5% of Total Investments)             
5,200    Montana Board of Investments, Exempt Facility Revenue Bonds, Stillwater Mining Company, Series    7/10 at 101.00    B1    5,396,560 
     2000, 8.000%, 7/01/20 (Alternative Minimum Tax)             
1,995    Montana Board of Investments, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series    No Opt. Call    N/R    1,995,239 
     1993, 7.000%, 12/31/19 (Alternative Minimum Tax)             
7,195    Total Montana            7,391,799 
    Nevada – 2.3% (1.6% of Total Investments)             
3,670    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company Project,    10/30 at 100.00    B–    3,633,520 
     Series 1995C, 5.500%, 10/01/30             
2,000    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    10/30 at 100.00    B–    1,995,060 
     1995A, 5.600%, 10/01/30 (Alternative Minimum Tax)             
500    Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series    11/32 at 100.00    B–    500,020 
     1997A, 5.900%, 11/01/32 (Alternative Minimum Tax)             
1,500    Clark County, Nevada, Local Improvement Bonds, Mountain’s Edge Special Improvement District    2/06 at 103.00    N/R    1,561,425 
     142, Series 2003, 6.375%, 8/01/23             
550    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas    1/10 at 102.00    N/R    575,669 
     Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40             
8,220    Total Nevada            8,265,694 
    New Jersey – 3.9% (2.7% of Total Investments)             
1,510    New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental    9/09 at 101.00    B    1,401,552 
     Airlines Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax)             
500    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Trinitas Hospital    7/10 at 101.00    BBB–    556,655 
     Obligated Group, Series 2000, 7.500%, 7/01/30             
    Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,             
    Series 2003:             
7,825     6.750%, 6/01/39    6/13 at 100.00    BBB    8,791,622 
2,760     7.000%, 6/01/41    6/13 at 100.00    BBB    3,154,294 
12,595    Total New Jersey            13,904,123 
    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    4,663,440 
    New York – 4.9% (3.4% of Total Investments)             
4,000    Dormitory Authority of the State of New York, Revenue Bonds, Lenox Hill Hospital Obligated    7/11 at 101.00    Ba2    3,872,000 
     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–    1,041,650 
     Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax)             
500    New York City Industrial Development Agency, New York, Liberty Revenue Bonds, 7 World Trade    3/09 at 103.00    N/R    522,025 
     Center, Series 2005A, 6.250%, 3/01/15             
1,700    New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds,    8/06 at 100.00    CCC    1,407,566 
     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–    787,440 
     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–    4,389,840 
5,000     5.500%, 6/01/22    6/13 at 100.00    AA–    5,474,000 
16,950    Total New York            17,494,521 
    North Carolina – 1.6% (1.1% of Total Investments)             
5,500    North Carolina Capital Facilities Finance Agency, Solid Waste Facilities Revenue Bonds,    7/12 at 106.00    N/R    5,614,565 
     Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29             
    Ohio – 3.9% (2.7% of Total Investments)             
    Belmont County, Ohio, Revenue Bonds, Ohio Valley Health Services and Education Corporation,             
    Series 1998:             
500     5.700%, 1/01/13    1/08 at 102.00    B    480,655 
400     5.800%, 1/01/18    1/08 at 102.00    B    371,360 
3,375    Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program –    5/14 at 102.00    N/R    3,432,443 
     Garfield Heights Project, Series 2004D, 5.250%, 5/15/23             
7,600    Ohio Water Development Authority, Solid Waste Disposal Revenue Bonds, Bay Shore Power, Series    9/08 at 102.00    N/R    7,676,000 
     1998A, 5.875%, 9/01/20 (Alternative Minimum Tax)             
800    Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004A,    3/14 at 101.00    A+    809,432 
     4.800%, 3/01/22             
1,275    Trumbull County, Ohio, Sewerage Disposal Revenue Bonds, General Motors Corporation, Series    No Opt. Call    B1    1,162,609 
     1994, 6.750%, 7/01/14 (Alternative Minimum Tax)             
13,950    Total Ohio            13,932,499 
    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 8/15/09)    8/09 at 101.00    AAA    1,298,268 
11,680     5.625%, 8/15/29 (Pre-refunded 8/15/09)    8/09 at 101.00    AAA    12,588,354 
1,335    Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,    6/06 at 101.00    B–    1,252,030 
     6.250%, 6/01/20             
14,215    Total Oklahoma            15,138,652 
    Pennsylvania – 4.9% (3.5% of Total Investments)             
    Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn             
    Allegheny Health System, Series 2000B:             
695     9.250%, 11/15/22    11/10 at 102.00    Ba3    827,606 
6,455     9.250%, 11/15/30    11/10 at 102.00    Ba3    7,659,568 
500    Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, Sacred Heart Hospital, Series    No Opt. Call    BB+    499,985 
     2005, 6.000%, 11/15/16             
2,000    Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds,    10/15 at 102.00    N/R    2,010,800 
     Immaculata University, Series 2005, 5.750%, 10/15/37             
190    Monroeville Hospital Authority, Pennsylvania, Revenue Bonds, Forbes Health System, Series    10/13 at 100.00    Ba3    190,264 
     1992, 7.000%, 10/01/13             
300    Monroeville Hospital Authority, Pennsylvania, Revenue Bonds, Forbes Health System, Series    4/06 at 102.00    Ba3    305,181 
     1995, 6.250%, 10/01/15             
500    New Morgan Industrial Development Authority, Pennsylvania, Solid Waste Disposal Revenue Bonds,    4/06 at 100.00    BB–    498,805 
     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    B1    426,448 
     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    B1    639,672 
     Reliant Energy Inc., Series 2003A, 6.750%, 12/01/36 (Alternative Minimum Tax)             
4,000    Pennsylvania Economic Development Financing Authority, Revenue Bonds, Amtrak 30th Street    6/12 at 102.00    A    4,312,120 
     Station Parking Garage, Series 2002, 5.800%, 6/01/23 – ACA Insured (Alternative Minimum Tax)             
230    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Allegheny General    9/17 at 100.00    Ba3    230,352 
     Hospital, Series 1991A, 7.250%, 9/01/17             
15,870    Total Pennsylvania            17,600,801 
    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    1,616,595 
     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    3,170,370 
     Series 2002A, 6.250%, 6/01/42             
4,500    Total Rhode Island            4,786,965 
    South Carolina – 1.5% (1.0% of Total Investments)             
2,755    Berkeley County School District, South Carolina, Installment Purchase Revenue Bonds, Securing    12/13 at 100.00    A–    2,901,125 
     Assets for Education, Series 2003, 5.250%, 12/01/19             
500    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,    No Opt. Call    AAA    636,175 
     1/01/19 (ETM) – FGIC Insured             
1,150    South Carolina JOBS Economic Development Authority, Hospital Revenue Bonds, Georgetown    8/11 at 100.00    AA    1,192,746 
     Memorial Hospital, Series 2001, 5.250%, 2/01/21 – RAAI Insured             
490    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement    No Opt. Call    BBB    548,094 
     Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/30             
4,895    Total South Carolina            5,278,140 
    Tennessee – 1.1% (0.8% of Total Investments)             
3,500    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue    4/12 at 101.00    Baa3    3,710,875 
     Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31             
500    Maury County Industrial Development Board, Tennessee, Multi-Modal Interchangeable Rate    3/06 at 101.00    B1    428,200 
     Pollution Control Revenue Refunding Bonds, Saturn Corporation, Series 1994, 6.500%, 9/01/24             
4,000    Total Tennessee            4,139,075 
    Texas – 9.1% (6.4% of Total Investments)             
1,200    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    5/06 at 100.00    CCC    999,984 
     American Airlines Inc., Series 1992, 7.250%, 11/01/30 (Alternative Minimum Tax)             
2,705    Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,    11/07 at 100.00    CCC    2,303,443 
     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    CCC    420,179 
     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    1,991,395 
6,600     7.125%, 9/01/34    9/14 at 100.00    N/R    7,144,434 
585    Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo    4/12 at 100.00    Ba1    660,547 
     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,    12/14 at 100.00    A    3,096,600 
     Memorial Hermann Healthcare System, Series 2004A, 5.125%, 12/01/23             
    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    275,710 
1,400     7.125%, 2/15/34    2/14 at 101.00    N/R    1,537,424 
2,020    Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc.,    7/09 at 101.00    B–    1,640,260 
     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–    791,710 
     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–    617,022 
5,350     6.750%, 7/01/29 (Alternative Minimum Tax)    7/11 at 101.00    B–    5,295,591 
5,850    Texas Department of Housing and Community Affairs, Multifamily Housing Revenue Bonds, Humble    7/21 at 100.00    N/R    5,897,502 
     Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax)             
32,940    Total Texas            32,671,801 
    Virgin Islands – 3.4% (2.4% of Total Investments)             
3,000    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 2003, 5.000%,    10/14 at 100.00    AA    3,121,770 
     10/01/26 – RAAI Insured             
5,000    Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project – Hovensa LLC, Series    1/14 at 100.00    BBB    5,490,500 
     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    3,571,590 
     Hovensa LLC, Series 2004, 5.875%, 7/01/22             
11,300    Total Virgin Islands            12,183,860 
    Virginia – 4.2% (3.0% of Total Investments)             
    Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll             
    Road, Series 1998A:             
2,000     0.000%, 8/15/14    8/08 at 73.23    BB–    1,270,800 
4,250     5.500%, 8/15/28    8/08 at 102.00    BB–    4,376,225 
1,850     0.000%, 8/15/30    8/08 at 28.38    BB–    454,416 
    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–    1,422,000 
3,000     0.000%, 8/15/15    8/08 at 68.82    BB–    1,791,060 
9,000     0.000%, 8/15/19    8/08 at 54.38    BB–    4,227,750 
650    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Bonds,    7/11 at 105.00    B2    676,845 
     Series 2001A, 7.400%, 7/15/21             
1,000    Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Refunding    7/11 at 100.00    B2    1,003,780 
     Bonds, Series 2001C, 6.850%, 7/15/21             
23,750    Total Virginia            15,222,876 
    Washington – 3.6% (2.5% of Total Investments)             
3,000    Skagit County Public Hospital District 1, Washington, Revenue Bonds, Skagit Valley Hospital,    12/13 at 100.00    Baa3    3,248,190 
     Series 2003, 6.000%, 12/01/18             
    Vancouver Downtown Redevelopment Authority, Washington, Revenue Bonds, Conference Center             
    Project, Series 2003A:             
1,750     6.000%, 1/01/28 – ACA Insured    1/14 at 100.00    A    1,909,128 
4,725     6.000%, 1/01/34 – ACA Insured    1/14 at 100.00    A    5,125,302 
2,500     5.250%, 1/01/34 – ACA Insured    1/14 at 100.00    A    2,554,275 
11,975    Total Washington            12,836,895 
    Wisconsin – 5.7% (4.0% of Total Investments)             
550    Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series    12/14 at 101.00    N/R    550,171 
     2003A, 7.750%, 6/01/16             
    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care Inc.,             
    Series 1999A:             
9,380     5.600%, 2/15/29    2/09 at 101.00    BBB+    9,605,026 
2,300     5.600%, 2/15/29 – ACA Insured    2/09 at 101.00    A    2,364,653 
300    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Milwaukee Catholic Home    7/06 at 102.00    N/R    307,197 
     Inc., Series 1996, 7.250%, 7/01/17             
500    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Oakwood Village    8/15 at 100.00    N/R    500,695 
     Obligated Group, Series 2000A, 7.000%, 8/15/15             
    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    894,346 
1,000     6.250%, 4/01/34    4/14 at 100.00    N/R    1,018,440 
5,030    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    2/12 at 101.00    A    5,346,840 
     Services Inc., Series 2002, 5.750%, 8/15/30             
19,935    Total Wisconsin            20,587,368 
$     499,868    Total Investments (cost $478,910,696) – 141.5%            509,551,030 
    Other Assets Less Liabilities – 1.5%            5,655,043 
    Preferred Shares, at Liquidation Value – (43.0)%            (155,000,000) 
    Net Assets Applicable to Common Shares – 100%           $   360,206,073 

(1)    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
    shares unless otherwise noted. 
(2)    Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
    There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
    may be subject to periodic principal paydowns. 
(3)    Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below Baa by Moody's Investor 
    Service, Inc. or BBB by Standard & Poor's Group are considered to be below investment grade. 
(4)    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. 
(ETM)    Security is escrowed to maturity. 

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 taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. At January 31, 2006, the cost of investments was $478,074,703.

Gross unrealized appreciation and gross unrealized depreciation of investments at January 31, 2006, were as follows:

Gross unrealized:   
 Appreciation  $33,104,616 
 Depreciation  (1,628,289) 
Net unrealized appreciation (depreciation) of investments  $31,476,327 

Item 2. Controls and Procedures.

  1. The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  2. There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)         Nuveen Municipal High Income Opportunity Fund        

By (Signature and Title)*          /s/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         March 31, 2006        

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, 2006        

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

Date        March 31, 2006        

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