Investment Company Act file number 811-21449
Nuveen Municipal High Income Opportunity Fund
(Exact name of
registrant as specified in charter)
Nuveen
Investments
333 West
Wacker Drive, Chicago, Illinois 60606
(Address of
principal executive offices) (Zip code)
Kevin
J. McCarthy Vice President and
Secretary
333 West Wacker
Drive, Chicago, Illinois 60606
(Name and address of
agent for service)
Registrant's telephone number, including area code: 312-917-7700
Date of fiscal year end: 10/31
Date of reporting period: 7/31/08
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
| Portfolio of Investments (Unaudited) | ||||||||
| Nuveen Municipal High Income Opportunity Fund (NMZ) | ||||||||
| July 31, 2008 | ||||||||
| Principal | Optional Call | |||||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | ||||
|
| ||||||||
| National – 2.3% (1.4% of Total Investments) | ||||||||
| Charter Mac Equity Issuer Trust, Preferred Shares, Series 2004A-4: | ||||||||
| $ 5,000 | 6.000%, 12/31/45 (Mandatory put 4/30/19) (Alternative Minimum Tax) | 4/19 at 100.00 | Aaa | $ | 5,282,450 | |||
| 1,000 | 5.750%, 12/31/45 (Mandatory put 4/30/15) (Alternative Minimum Tax) | 4/15 at 100.00 | Aaa | 1,049,720 | ||||
| 1,000 | GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 (Mandatory put 10/31/19) | No Opt. Call | Baa1 | 1,018,050 | ||||
| (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 7,000 | Total National | 7,350,220 | ||||||
|
| ||||||||
| Alabama – 0.8% (0.5% of Total Investments) | ||||||||
| 2,000 | Bessemer, Alabama, General Obligation Warrants, Series 2007, 6.500%, 2/01/37 | 2/17 at 102.00 | N/R | 1,703,320 | ||||
| 1,000 | Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health | 11/15 at 100.00 | Baa1 | 862,470 | ||||
| System Inc., Series 2005A, 5.000%, 11/15/30 | ||||||||
|
| ||||||||
| 3,000 | Total Alabama | 2,565,790 | ||||||
|
| ||||||||
| Arizona – 5.6% (3.4% of Total Investments) | ||||||||
| 479 | Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment | 7/10 at 102.00 | N/R | 498,419 | ||||
| Lien Bonds, Series 2001A, 7.875%, 7/01/25 | ||||||||
| 2,000 | Maricopa County Industrial Development Authority, Arizona, Multifamily Housing Revenue Bonds, | 10/08 at 103.00 | N/R | 2,002,680 | ||||
| Privado Park Apartments Project, Series 2006A, 5.250%, 11/01/41 (Mandatory put 11/01/11) | ||||||||
| (Alternative Minimum Tax) | ||||||||
| 6,720 | Maricopa County Industrial Development Authority, Arizona, Senior Living Facility Revenue | 1/11 at 103.00 | BB | 6,199,939 | ||||
| Bonds, Christian Care Mesa II Inc., Series 2004A, 6.625%, 1/01/34 (Alternative Minimum Tax) | ||||||||
| Phoenix Industrial Development Authority, Arizona, Educational Revenue Bonds, Keystone | ||||||||
| Montessori School, Series 2004A: | ||||||||
| 275 | 6.375%, 11/01/13 | 11/11 at 103.00 | N/R | 282,788 | ||||
| 790 | 7.250%, 11/01/23 | 11/11 at 103.00 | N/R | 828,505 | ||||
| 1,715 | 7.500%, 11/01/33 | 11/11 at 103.00 | N/R | 1,787,939 | ||||
| 990 | Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Franklin | 7/16 at 100.00 | N/R | 841,708 | ||||
| Phonetic Charter School, Series 2006, 5.750%, 7/01/36 | ||||||||
| 1,645 | Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Heritage | 7/14 at 100.00 | N/R (4) | 1,957,715 | ||||
| Elementary School, Series 2004, 7.500%, 7/01/34 (Pre-refunded 7/01/14) | ||||||||
| 550 | Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah | 12/14 at 100.00 | BBB– | 530,464 | ||||
| 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 | 579,110 | ||||
| Educational Services Charter School, Series 2004, 6.250%, 7/01/14 (ETM) | ||||||||
| 1,150 | Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract | 10/12 at 100.00 | BBB– | 1,040,336 | ||||
| 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– | 972,350 | ||||
| Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24 | ||||||||
|
| ||||||||
| 17,814 | Total Arizona | 17,521,953 | ||||||
|
| ||||||||
| California – 15.2% (9.4% of Total Investments) | ||||||||
| 8,000 | Alameda Public Finance Authority, California, Revenue Bond Anticipation Notes, Alameda Power | No Opt. Call | N/R | 6,240,000 | ||||
| and Telecom, Series 2004, 7.000%, 6/01/09 | ||||||||
| 940 | California Health Facilities Financing Authority, Hospital Revenue Bonds, Downey Community | 11/08 at 100.00 | BB | 900,943 | ||||
| Hospital, Series 1993, 5.750%, 5/15/15 | ||||||||
| 2,500 | California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Tender Option | 8/18 at 100.00 | AA– | 2,022,650 | ||||
| Bond Trust 2716, 12.370%, 8/15/38 (IF) | ||||||||
| 4,000 | California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional | No Opt. Call | BB | 3,266,120 | ||||
| Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax) | ||||||||
| 2,925 | California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series | 3/14 at 102.00 | N/R | 3,018,337 | ||||
| 2004A, 7.750%, 3/01/34 | ||||||||
| California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender | ||||||||
| Option Bond Trust 2708: | ||||||||
| 2,565 | 12.360%, 11/15/38 (IF) | 5/18 at 100.00 | AA– | 2,073,033 | ||||
| 1,000 | 13.370%, 11/15/48 (IF) | 5/18 at 100.00 | AA– | 843,340 | ||||
| 1,005 | California Statewide Community Development Authority, Subordinate Lien Multifamily Housing | 1/14 at 100.00 | N/R | 1,031,401 | ||||
| Revenue Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative | ||||||||
| Minimum Tax) | ||||||||
| 1,000 | Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement | 6/17 at 100.00 | BBB | 821,300 | ||||
| Asset-Backed Bonds, Series 2007A-1, 5.750%, 6/01/47 | ||||||||
| 5,500 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed | 6/13 at 100.00 | AAA | 6,288,700 | ||||
| Bonds, Series 2003A-1, 6.750%, 6/01/39 (Pre-refunded 6/01/13) | ||||||||
| 2,500 | Independent Cities Lease Finance Authority, California, Revenue Bonds, El Granada Mobile Home | 5/14 at 100.00 | N/R | 2,513,450 | ||||
| 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 | 970,908 | ||||
| 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 | 1,166,664 | ||||
| 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 | 3,204,908 | ||||
| District 3, Series 2004, 5.950%, 9/01/34 | ||||||||
| 2,950 | Los Angeles Regional Airports Improvement Corporation, California, Sublease Revenue Bonds, Los | 12/12 at 102.00 | B– | 2,451,008 | ||||
| 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 | 724,336 | ||||
| 1,250 | 5.650%, 9/01/34 | 9/14 at 100.00 | N/R | 1,129,863 | ||||
| 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 | 497,210 | ||||
| 1,625 | 5.600%, 8/15/28 | 8/12 at 101.00 | N/R | 1,606,264 | ||||
| 1,000 | 5.625%, 8/15/34 | 8/12 at 101.00 | N/R | 983,860 | ||||
| 2,250 | San Diego County, California, Certificates of Participation, San Diego-Imperial Counties | 9/12 at 100.00 | Baa1 | 2,158,808 | ||||
| Developmental Services Foundation Project, Series 2002, 5.500%, 9/01/27 | ||||||||
| 3,895 | West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities | 9/13 at 103.00 | N/R | 3,747,457 | ||||
| District 2001-1, Series 2004A, 6.125%, 9/01/39 | ||||||||
|
| ||||||||
| 51,820 | Total California | 47,660,560 | ||||||
|
| ||||||||
| Colorado – 10.7% (6.6% of Total Investments) | ||||||||
| 925 | Bradburn Metropolitan District 3, Colorado, General Obligation Bonds, Series 2003, | 12/13 at 101.00 | N/R | 920,190 | ||||
| 7.500%, 12/01/33 | ||||||||
| 5,594 | Buffalo Ridge Metropolitan District, Colorado, Limited Obligation Assessment Bonds, Series | 12/13 at 101.00 | N/R | 5,684,399 | ||||
| 2003, 7.500%, 12/01/33 | ||||||||
| 400 | Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Academy | 12/10 at 101.00 | BBB (4) | 444,820 | ||||
| Charter School – Douglas County School District Re. 1, Series 2000, 6.875%, 12/15/20 | ||||||||
| (Pre-refunded 12/15/10) | ||||||||
| 650 | Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Bromley | 9/11 at 100.00 | Ba1 (4) | 731,764 | ||||
| East Charter School, Series 2000A, 7.250%, 9/15/30 (Pre-refunded 9/15/11) | ||||||||
| 3,500 | Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Denver | 5/14 at 101.00 | N/R | 3,375,785 | ||||
| Arts and Technology Academy, Series 2003, 8.000%, 5/01/34 | ||||||||
| Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Excel | ||||||||
| Academy Charter School, Series 2003: | ||||||||
| 470 | 7.300%, 12/01/23 (Pre-refunded 12/01/11) | 12/11 at 100.00 | AAA | 537,290 | ||||
| 875 | 7.500%, 12/01/33 (Pre-refunded 12/01/11) | 12/11 at 100.00 | AAA | 1,005,804 | ||||
| 1,784 | Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, | 2/10 at 100.00 | AAA | 1,924,436 | ||||
| Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2002, | ||||||||
| 8.000%, 2/15/32 (Pre-refunded 2/15/10) | ||||||||
| 1,000 | Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, | 2/16 at 101.00 | N/R | 839,430 | ||||
| Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2006, | ||||||||
| 5.625%, 2/15/36 | ||||||||
| 1,240 | Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Weld | 6/11 at 100.00 | Ba1 (4) | 1,368,402 | ||||
| County School District 6 – Frontier Academy, Series 2001, 7.250%, 6/01/20 (Pre-refunded 6/01/11) | ||||||||
| 1,000 | Colorado Health Facilities Authority, Colorado, Revenue Bonds, Catholic Health Initiatives, | 9/16 at 100.00 | AA | 813,580 | ||||
| Series 2006A, Trust 1088,12.408%, 9/01/41 (IF) | ||||||||
| 1,040 | Colorado Health Facilities Authority, Colorado, Revenue Bonds, Catholic Health Initiatives, | 9/16 at 100.00 | AA | 991,531 | ||||
| Series 2006A, 5.000%, 9/01/41 (UB) | ||||||||
| 1,000 | Colorado Health Facilities Authority, Colorado, Revenue Bonds, Catholic Health Initiatives, | 4/18 at 100.00 | AAA | 980,760 | ||||
| Series 2006C-1, Trust 1090, 12.515%, 10/01/41 – FSA Insured (IF) | ||||||||
| 4,300 | Denver Health and Hospitals Authority, Colorado, Revenue Bonds, Series 2004A, 6.250%, 12/01/33 | 12/14 at 100.00 | AAA | 4,990,623 | ||||
| (Pre-refunded 12/01/14) | ||||||||
| 1,000 | Denver, Colorado, FHA-Insured Multifamily Housing Mortgage Loan Revenue Bonds, Garden Court | 7/10 at 100.00 | AAA | 1,002,650 | ||||
| Community Project, Series 1998, 5.400%, 7/01/39 | ||||||||
| 3,145 | Kit Carson County Health Service District, Colorado, Health Care Facility Revenue Bonds, | No Opt. Call | N/R | 2,898,621 | ||||
| Series 2007, 6.750%, 1/01/34 | ||||||||
| 1,250 | Mesa County, Colorado, Residential Care Facilities Mortgage Revenue Bonds, Hilltop Community | 12/11 at 101.00 | A | 1,190,013 | ||||
| Resources Inc. Obligated Group, Series 2001A, 5.250%, 12/01/21 – RAAI Insured | ||||||||
| 1,000 | Mountain Shadows Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series | 12/16 at 100.00 | N/R | 785,940 | ||||
| 2007, 5.500%, 12/01/27 | ||||||||
| 1,995 | Park Creek Metropolitan District, Colorado, Limited Tax Obligation Revenue Bonds, Series | 12/13 at 100.00 | N/R | 2,068,336 | ||||
| 2003CR-2, 7.875%, 12/01/32 (Mandatory put 12/01/13) | ||||||||
| 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 | 507,770 | ||||
| 500 | 6.750%, 12/01/33 | 12/13 at 100.00 | N/R | 505,385 | ||||
|
| ||||||||
| 33,168 | Total Colorado | 33,567,529 | ||||||
|
| ||||||||
| Connecticut – 0.3% (0.2% of Total Investments) | ||||||||
| 1,025 | Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator | 1/09 at 100.00 | BBB | 960,876 | ||||
| Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| Florida – 9.6% (6.0% of Total Investments) | ||||||||
| 1,600 | Aberdeen Community Development District, Florida, Special Assessment Bonds, Series 2005, | 5/14 at 100.00 | N/R | 1,220,176 | ||||
| 5.500%, 5/01/36 | ||||||||
| 4,240 | Bartram Springs Community Development District, Duval County, Florida, Special Assessment | 5/13 at 102.00 | N/R (4) | 4,814,944 | ||||
| Bonds, Series 2003A, 6.650%, 5/01/34 (Pre-refunded 5/01/13) | ||||||||
| 700 | Broward County, Florida, Airport Facility Revenue Bonds, Learjet Inc., Series 2000, 7.500%, | 11/14 at 101.00 | Ba2 | 724,605 | ||||
| 11/01/20 (Alternative Minimum Tax) | ||||||||
| 1,140 | Century Gardens Community Development District, Miami-Dade County, Florida, Special Assessment | 5/14 at 101.00 | N/R | 1,103,987 | ||||
| Revenue Bonds, Series 2004, 5.900%, 5/01/34 | ||||||||
| 440 | Islands at Doral Northeast Community Development District, Miami-Dade County, Florida, Special | 5/14 at 101.00 | N/R | 442,121 | ||||
| Assessment Bonds, Series 2004, 6.125%, 5/01/24 | ||||||||
| 3,000 | Jacksonville, Florida, Economic Development Commission Health Care Facilities Revenue Bonds, | 9/17 at 100.00 | N/R | 2,983,290 | ||||
| The Florida Proton Therapy Institute Project, Series 2007, 6.250%, 9/01/27 | ||||||||
| 610 | Lexington Community Development District, Florida, Special Assessment Revenue Bonds, Series | 5/14 at 101.00 | N/R | 573,193 | ||||
| 2004, 6.125%, 5/01/34 | ||||||||
| 1,000 | Miami-Dade County, Florida, Aviation Revenue Bonds, Series 2008, Trust 1145, 12.624%, | 10/18 at 100.00 | AAA | 841,940 | ||||
| 10/01/38 – AGC Insured (Alternative Minimum Tax) (IF) | ||||||||
| 3,759 | MMA Financial CDD Junior Securitization Trust, Florida, Pass-Through Certificates, Class A, | 11/08 at 100.00 | N/R | 3,763,955 | ||||
| Series 2003I, 8.000%, 11/01/13 | ||||||||
| 985 | Old Palm Community Development District, Florida, Special Assessment Bonds, Palm Beach | 5/15 at 101.00 | N/R | 802,608 | ||||
| Gardens, Series 2004A, 5.900%, 5/01/35 | ||||||||
| 3,755 | Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake | 7/09 at 103.00 | N/R | 3,695,521 | ||||
| Delray Apartments, Series 1999A, 6.400%, 1/01/31 (Alternative Minimum Tax) | ||||||||
| 2,000 | Pine Island Community Development District, Florida, Special Assessment Bonds, Bella Collina, | 5/12 at 101.00 | N/R | 1,694,020 | ||||
| Series 2004, 5.750%, 5/01/35 | ||||||||
| 1,000 | Sarasota County Health Facility Authority, Florida, Revenue Bonds, Sarasota-Manatee Jewish | 7/17 at 100.00 | N/R | 817,130 | ||||
| Housing Council, Inc., Series 2007, 5.750%, 7/01/45 | ||||||||
| Stonegate Community Development District, Florida, Special Assessment Revenue Bonds, | ||||||||
| Series 2004: | ||||||||
| 440 | 6.000%, 5/01/24 | 5/14 at 101.00 | N/R | 437,958 | ||||
| 500 | 6.125%, 5/01/34 | 5/14 at 101.00 | N/R | 498,655 | ||||
| 995 | Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2006, | 5/14 at 101.00 | N/R | 832,507 | ||||
| 5.400%, 5/01/37 | ||||||||
| 1,715 | Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2007, | 5/18 at 100.00 | N/R | 1,706,905 | ||||
| 6.650%, 5/01/40 | ||||||||
| Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003: | ||||||||
| 135 | 6.000%, 5/01/23 | 5/13 at 101.00 | N/R | 120,578 | ||||
| 3,735 | 6.125%, 5/01/35 | 5/13 at 101.00 | N/R | 3,208,066 | ||||
|
| ||||||||
| 31,749 | Total Florida | 30,282,159 | ||||||
|
| ||||||||
| Georgia – 1.3% (0.8% of Total Investments) | ||||||||
| 500 | Effingham County Development Authority, Georgia, Solid Waste Disposal Revenue Bonds, Ft. James | 7/10 at 100.00 | B | 443,040 | ||||
| Project, Series 1998, 5.625%, 7/01/18 (Alternative Minimum Tax) (5) | ||||||||
| 900 | Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Canterbury Court, | 2/09 at 100.00 | N/R | 828,045 | ||||
| Series 2004A, 6.125%, 2/15/34 | ||||||||
| 1,000 | Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, Elderly Care, | 7/17 at 100.00 | N/R | 784,030 | ||||
| Lenbrook Square Project, Series 2006A, 5.125%, 7/01/37 | ||||||||
| 1,915 | Fulton County Residential Care Facilities Authority, Georgia, Revenue Bonds, St. Anne’s | 12/13 at 102.00 | N/R | 2,030,494 | ||||
| Terrace, Series 2003, 7.625%, 12/01/33 | ||||||||
|
| ||||||||
| 4,315 | Total Georgia | 4,085,609 | ||||||
|
| ||||||||
| Hawaii – 0.8% (0.5% of Total Investments) | ||||||||
| 2,000 | Hawaii State Department of Budget and Finance, Private School Revenue Bonds, Island Pacific | No Opt. Call | N/R | 1,789,000 | ||||
| Academy Project, Series 2007, 6.375%, 3/01/34 | ||||||||
| 1,000 | Hawaii State Department of Budget and Finance, Private School Revenue Bonds, Montessori of | 2/17 at 100.00 | N/R | 853,390 | ||||
| Maui, Series 2007, 5.500%, 1/01/37 | ||||||||
|
| ||||||||
| 3,000 | Total Hawaii | 2,642,390 | ||||||
|
| ||||||||
| Illinois – 7.8% (4.8% of Total Investments) | ||||||||
| 2,000 | Chicago, Illinois, Certificates of Participation Tax Increment Revenue Notes, | 12/08 at 100.00 | N/R | 2,005,180 | ||||
| Chicago/Kingsbury Redevelopment Project, Series 2004A, 6.570%, 2/15/13 | ||||||||
| 1,000 | Chicago, Illinois, Certificates of Participation, Tax Increment Allocation Revenue Bonds, | 7/11 at 100.00 | N/R | 1,013,180 | ||||
| Diversey-Narragansett Project, Series 2006, 7.460%, 2/15/26 | ||||||||
| 2,000 | Illinois Finance Authority, Revenue Bonds, Midwest Regional Medical Center Galena-Stauss | 10/16 at 100.00 | N/R | 1,867,260 | ||||
| Hospital, Series 2006, 6.750%, 10/01/46 | ||||||||
| 1,350 | Illinois Health Facilities Authority, FHA-Insured Mortgage Revenue Refunding Bonds, Sinai | 8/13 at 100.00 | AAA | 1,326,200 | ||||
| Health System, Series 2003, 5.150%, 2/15/37 | ||||||||
| 1,000 | Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002, | 5/12 at 100.00 | Baa3 | 906,510 | ||||
| 5.500%, 5/15/32 | ||||||||
| 8,800 | Illinois Health Facilities Authority, Revenue Bonds, Lake Forest Hospital, Series 2016, | 7/12 at 100.00 | A– | 8,925,576 | ||||
| 5.750%, 7/01/29 (UB) | ||||||||
| 1,400 | Illinois Health Facilities Authority, Revenue Bonds, Midwest Physicians Group Ltd., Series | 11/08 at 102.00 | N/R | 1,258,516 | ||||
| 1998, 5.500%, 11/15/19 | ||||||||
| 1,650 | Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel | 1/16 at 100.00 | N/R | 1,665,906 | ||||
| Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36 | ||||||||
| 1,255 | Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel | 7/18 at 100.00 | N/R | 1,027,236 | ||||
| Revenue Bonds, Series 2005C-3, 4.000%, 1/01/36 | ||||||||
| 2,022 | Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series | 3/14 at 102.00 | N/R | 1,945,488 | ||||
| 2004A, 6.200%, 3/01/34 | ||||||||
| 998 | Volo Village, Illinois, Special Service Area 3 Special Tax Bonds, Symphony Meadows Project 1, | 3/16 at 102.00 | N/R | 876,184 | ||||
| Series 2006, 6.000%, 3/01/36 (Mandatory put 2/29/16) | ||||||||
| 1,000 | Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project | 1/17 at 102.00 | N/R | 872,480 | ||||
| Revenue Bonds, Series 2007, 6.000%, 1/01/26 | ||||||||
| 980 | Yorkville, Illinois, Special Service Area 2005-108 Assessment Bonds, Autumn Creek Project, | 3/16 at 102.00 | N/R | 826,013 | ||||
| Series 2006, 6.000%, 3/01/36 | ||||||||
|
| ||||||||
| 25,455 | Total Illinois | 24,515,729 | ||||||
|
| ||||||||
| Indiana – 10.5% (6.5% of Total Investments) | ||||||||
| 6,360 | Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A, | 7/12 at 103.00 | N/R | 6,410,880 | ||||
| 6.650%, 1/15/24 | ||||||||
| 22,770 | Indiana Finance Authority, Water Facilities Refunding Revenue Bonds, Indiana-American Water | 10/16 at 100.00 | AA | 19,948,114 | ||||
| Company Inc. Project, Series 2006, 4.875%, 10/01/36 – AMBAC Insured (Alternative Minimum | ||||||||
| Tax) (UB) | ||||||||
| Indiana Health Facility Financing Authority, Hospital Revenue Bonds, Community Foundation of | ||||||||
| Northwest Indiana, Series 2004A: | ||||||||
| 500 | 6.250%, 3/01/25 | 3/14 at 101.00 | BBB | 509,320 | ||||
| 2,500 | 6.000%, 3/01/39 | 3/14 at 101.00 | BBB | 2,423,650 | ||||
| 1,000 | Indiana Health Facility Financing Authority, Revenue Bonds, Ascension Health, Tender Option | 11/16 at 100.00 | Aa1 | 846,900 | ||||
| Bond Series 2842, 12.012%, 11/15/39 (IF) | ||||||||
| 200 | Jasper County, Indiana, Economic Development Revenue Refunding Bonds, Georgia Pacific | 4/10 at 101.00 | B2 | 180,878 | ||||
| Corporation Project, Series 2000, 6.700%, 4/01/29 (Alternative Minimum Tax) | ||||||||
| 1,000 | St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village | 7/15 at 103.00 | N/R | 1,030,910 | ||||
| Apartments, Series 2005A, 7.500%, 7/01/35 | ||||||||
| 1,735 | Whitley County, Indiana, Solid Waste and Sewerage Disposal Revenue Bonds, Steel Dynamics Inc., | 11/10 at 102.00 | N/R | 1,771,140 | ||||
| Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 36,065 | Total Indiana | 33,121,792 | ||||||
|
| ||||||||
| Iowa – 0.3% (0.2% of Total Investments) | ||||||||
| 1,000 | Iowa Finance Authority, Health Facility Revenue Bonds, Care Initiatives Project, Series 2006A, | 7/16 at 100.00 | BBB– | 933,180 | ||||
| 5.500%, 7/01/25 | ||||||||
|
| ||||||||
| Kansas – 0.6% (0.3% of Total Investments) | ||||||||
| 2,000 | Fredonia, Kansas, Hospital Revenue Bonds, Series 2007, 6.125%, 8/15/37 | 8/17 at 100.00 | N/R | 1,759,720 | ||||
|
| ||||||||
| Louisiana – 8.6% (5.4% of Total Investments) | ||||||||
| 1,000 | Carter Marina Community Development District, Louisiana, Special Assessment Bonds, Series | 10/12 at 100.00 | N/R | 945,590 | ||||
| 2007, 6.250%, 10/01/22 | ||||||||
| 8,500 | Hodge, Louisiana, Combined Utility System Revenue Bonds, Smurfit-Stone Container Corporation, | No Opt. Call | B– | 8,032,838 | ||||
| Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax) | ||||||||
| 5,000 | Louisiana Local Government Envirnomental Facilities & Community Development Authority, Revenue | 11/17 at 100.00 | BB+ | 4,879,400 | ||||
| Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32 | ||||||||
| 1,000 | Louisiana Local Government Environmental Facilities and Community Development Authority, | 9/16 at 100.00 | N/R | 853,370 | ||||
| Carter Plantation Hotel Project Revenue Bonds, Series 2006A, 6.000%, 9/01/36 | ||||||||
| 1,000 | Louisiana Local Government Environmental Facilities and Community Development Authority, | 6/16 at 101.00 | N/R | 1,017,300 | ||||
| Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36 | ||||||||
| 3,000 | Louisiana Local Government Environmental Facilities and Community Development Authority, | 12/17 at 100.00 | N/R | 2,790,930 | ||||
| Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 | ||||||||
| Ouachita Parish Industrial Development Authority, Louisiana, Solid Waste Disposal Revenue | ||||||||
| Bonds, White Oaks Project, Series 2004A: | ||||||||
| 865 | 8.250%, 3/01/19 (Alternative Minimum Tax) | 3/10 at 102.00 | N/R | 885,976 | ||||
| 805 | 8.500%, 3/01/24 (Alternative Minimum Tax) | 3/10 at 102.00 | N/R | 827,355 | ||||
| 5,125 | St. James Parish, Louisiana, Solid Waste Disposal Revenue Bonds, Freeport McMoran Project, | 4/11 at 100.00 | N/R | 5,145,141 | ||||
| Series 1992, 7.700%, 10/01/22 (Alternative Minimum Tax) | ||||||||
| 2,000 | Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds, | 5/11 at 101.00 | BBB | 1,802,580 | ||||
| Series 2001B, 5.875%, 5/15/39 | ||||||||
|
| ||||||||
| 28,295 | Total Louisiana | 27,180,480 | ||||||
|
| ||||||||
| Maine – 1.0% (0.6% of Total Investments) | ||||||||
| 3,155 | Portland Housing Development Corporation, Maine, Section 8 Assisted Senior Living Revenue | 2/14 at 102.00 | Baa2 | 3,029,873 | ||||
| Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34 | ||||||||
|
| ||||||||
| Maryland – 3.6% (2.2% of Total Investments) | ||||||||
| 2,000 | Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995, | 10/08 at 100.00 | N/R | 1,939,860 | ||||
| 7.400%, 9/01/19 (Alternative Minimum Tax) | ||||||||
| 3,850 | Maryland Health and Higher Educational Facilities Authority, Revenue Bonds, MedStar Health, | 8/14 at 100.00 | A– | 3,737,888 | ||||
| Series 2004, 5.500%, 8/15/33 | ||||||||
| 7,435 | Prince George’s County, Maryland, Revenue Bonds, Dimensions Health Corporation, Series 1994, | 1/09 at 100.00 | B3 | 5,704,355 | ||||
| 5.300%, 7/01/24 | ||||||||
|
| ||||||||
| 13,285 | Total Maryland | 11,382,103 | ||||||
|
| ||||||||
| Massachusetts – 1.1% (0.7% of Total Investments) | ||||||||
| 525 | Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, | No Opt. Call | N/R | 496,918 | ||||
| Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) | ||||||||
| 2,000 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, | 10/12 at 102.00 | BB– | 1,743,220 | ||||
| 5.250%, 10/01/26 | ||||||||
| 1,350 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire | 7/14 at 100.00 | BB– | 1,308,852 | ||||
| Community Services Inc., Series 2004B, 6.375%, 7/01/34 | ||||||||
|
| ||||||||
| 3,875 | Total Massachusetts | 3,548,990 | ||||||
|
| ||||||||
| Michigan – 4.4% (2.7% of Total Investments) | ||||||||
| 1,240 | Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series | 4/09 at 100.00 | N/R | 1,242,034 | ||||
| 1999, 7.000%, 4/01/29 | ||||||||
| 870 | Countryside Charter School, Berrien County, Michigan, Charter School Revenue Bonds, Series | 4/09 at 100.00 | N/R | 877,665 | ||||
| 2000, 8.000%, 4/01/29 | ||||||||
| Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A: | ||||||||
| 1,425 | 5.500%, 5/01/21 | 5/09 at 101.00 | BB– | 1,214,827 | ||||
| 15 | 5.500%, 5/01/21 – ACA Insured | 5/09 at 101.00 | BB– | 12,990 | ||||
| Garden City Hospital Finance Authority, Michigan, Revenue Bonds, Garden City Hospital | ||||||||
| Obligated Group, Series 2007A: | ||||||||
| 1,000 | 4.875%, 8/15/27 | 8/17 at 100.00 | N/R | 763,600 | ||||
| 1,000 | 5.000%, 8/15/38 | 8/17 at 100.00 | N/R | 709,920 | ||||
| 3,580 | Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Detroit Medical | 8/08 at 100.00 | BB– | 3,247,561 | ||||
| Center Obligated Group, Series 1993B, 5.500%, 8/15/23 | ||||||||
| 500 | Michigan State Hospital Finance Authority, Revenue Bonds, Chelsea Community Hospital, Series | 5/15 at 100.00 | BBB | 429,830 | ||||
| 2005, 5.000%, 5/15/30 | ||||||||
| 1,500 | Michigan State Hospital Finance Authority, Revenue Bonds, Hills and Dales General Hospital, | 11/15 at 102.00 | N/R | 1,432,980 | ||||
| Series 2005A, 6.750%, 11/15/38 | ||||||||
| 2,625 | Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates of Participation, Series | 6/10 at 102.00 | N/R (4) | 2,896,609 | ||||
| 2000, 8.250%, 6/01/30 (Pre-refunded 6/01/10) | ||||||||
| Pontiac Hospital Finance Authority, Michigan, Hospital Revenue Refunding Bonds, NOMC Obligated | ||||||||
| Group, Series 1993: | ||||||||
| 985 | 6.000%, 8/01/13 (6) | 8/08 at 100.00 | C | 64,518 | ||||
| 1,500 | 6.000%, 8/01/18 (6) | 8/08 at 100.00 | C | 98,250 | ||||
| 1,800 | 6.000%, 8/01/23 (6) | 8/08 at 100.00 | C | 117,900 | ||||
| 1,000 | Summit Academy North Charter School, Michigan, Charter School Revenue Bonds, Series 2005, | 11/15 at 100.00 | BB+ | 850,370 | ||||
| 5.500%, 11/01/30 | ||||||||
|
| ||||||||
| 19,040 | Total Michigan | 13,959,054 | ||||||
|
| ||||||||
| Minnesota – 3.4% (2.1% of Total Investments) | ||||||||
| Minneapolis, Minnesota, Student Housing Revenue Bonds, Riverton Community Housing Project, | ||||||||
| Series 2000: | ||||||||
| 100 | 7.200%, 7/01/14 (Pre-refunded 7/01/10) | 7/10 at 100.00 | N/R (4) | 108,404 | ||||
| 100 | 7.300%, 7/01/15 (Pre-refunded 7/01/10) | 7/10 at 100.00 | N/R (4) | 108,582 | ||||
| 1,325 | Ramsey, Anoka County, Minnesota, Charter School Lease Revenue Bonds, PACT Charter School, | 6/14 at 102.00 | N/R | 1,325,239 | ||||
| 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 | N/R (4) | 5,498,850 | ||||
| 7/01/30 (Pre-refunded 7/01/14) | ||||||||
| 1,430 | St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, Higher | 6/14 at 102.00 | N/R | 1,440,239 | ||||
| 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 | 1,103,509 | ||||
| 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 | 972,110 | ||||
| 2005B, 6.000%, 5/01/30 | ||||||||
|
| ||||||||
| 10,055 | Total Minnesota | 10,556,933 | ||||||
|
| ||||||||
| Mississippi – 0.3% (0.2% of Total Investments) | ||||||||
| 957 | Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care | 10/19 at 101.00 | N/R | 847,573 | ||||
| Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| Missouri – 2.7% (1.7% of Total Investments) | ||||||||
| 2,000 | Branson Regional Airport Transportation Development District, Missouri, Project Revenue Bonds, | 7/17 at 100.00 | N/R | 1,614,760 | ||||
| Series 2007B, 6.000%, 7/01/37 (Alternative Minimum Tax) | ||||||||
| 5,935 | Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue | 12/16 at 100.00 | AA | 5,001,840 | ||||
| Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – | ||||||||
| AMBAC Insured (Alternative Minimum Tax) (UB) | ||||||||
| 1,300 | Saint Louis Industrial Development Authority, Missouri, Saint Louis Convention Center | 12/10 at 102.00 | N/R | 1,178,268 | ||||
| Headquarters Hotel Project, Series 2000A, 7.250%, 12/15/35 (Alternative Minimum Tax) | ||||||||
| 805 | Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment | 12/08 at 100.00 | N/R | 755,388 | ||||
| Projects, Series 2007A, 6.000%, 3/27/26 | ||||||||
|
| ||||||||
| 10,040 | Total Missouri | 8,550,256 | ||||||
|
| ||||||||
| Montana – 2.2% (1.3% of Total Investments) | ||||||||
| 5,200 | Montana Board of Investments, Exempt Facility Revenue Bonds, Stillwater Mining Company, Series | 7/10 at 101.00 | BB– | 4,904,068 | ||||
| 2000, 8.000%, 7/01/20 (Alternative Minimum Tax) | ||||||||
| 2,030 | Montana Board of Investments, Resource Recovery Revenue Bonds, Yellowstone Energy LP, Series | No Opt. Call | N/R | 1,917,437 | ||||
| 1993, 7.000%, 12/31/19 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 7,230 | Total Montana | 6,821,505 | ||||||
|
| ||||||||
| Nebraska – 2.2% (1.4% of Total Investments) | ||||||||
| 7,250 | Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City | 2/17 at 100.00 | AAA | 6,863,575 | ||||
| 2, Series 2006A, Residuals 2885, 12.189%, 2/01/49 – AMBAC Insured (IF) | ||||||||
|
| ||||||||
| Nevada – 1.5% (0.9% of Total Investments) | ||||||||
| 1,170 | Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company Project, | 10/08 at 100.00 | BB+ | 1,001,169 | ||||
| Series 1995C, 5.500%, 10/01/30 | ||||||||
| 500 | Clark County, Nevada, Industrial Development Revenue Bonds, Nevada Power Company, Series | 11/08 at 100.00 | BB+ | 440,660 | ||||
| 1997A, 5.900%, 11/01/32 (Alternative Minimum Tax) | ||||||||
| 1,465 | Clark County, Nevada, Local Improvement Bonds, Mountain’s Edge Special Improvement District | 8/16 at 100.00 | N/R | 1,376,924 | ||||
| 142, Series 2003, 6.375%, 8/01/23 | ||||||||
| 1,000 | Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas | 1/10 at 100.00 | AA | 663,430 | ||||
| Monorail Project, First Tier, Series 2000, 5.375%, 1/01/40 – AMBAC Insured | ||||||||
| 4,500 | Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas | 1/10 at 102.00 | N/R | 1,296,720 | ||||
| Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40 | ||||||||
|
| ||||||||
| 8,635 | Total Nevada | 4,778,903 | ||||||
|
| ||||||||
| New Jersey – 5.0% (3.1% of Total Investments) | ||||||||
| 1,000 | New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey | 1/09 at 101.00 | BB+ | 829,750 | ||||
| Obligated Group, Series 1998, 5.125%, 7/01/25 | ||||||||
| 1,660 | New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental | 9/09 at 101.00 | B | 1,194,586 | ||||
| Airlines Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax) | ||||||||
| 500 | New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental | 11/10 at 101.00 | B | 392,360 | ||||
| Airlines Inc., Series 2000, 7.000%, 11/15/30 (Alternative Minimum Tax) | ||||||||
| 500 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Trinitas Hospital | 7/10 at 101.00 | BBB– (4) | 551,505 | ||||
| Obligated Group, Series 2000, 7.500%, 7/01/30 (Pre-refunded 7/01/10) | ||||||||
| Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, | ||||||||
| Series 2003: | ||||||||
| 7,825 | 6.750%, 6/01/39 (Pre-refunded 6/01/13) | 6/13 at 100.00 | AAA | 9,098,201 | ||||
| 2,760 | 7.000%, 6/01/41 (Pre-refunded 6/01/13) | 6/13 at 100.00 | AAA | 3,238,474 | ||||
| 500 | Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, | 6/17 at 100.00 | BBB | 358,800 | ||||
| Series 2007-1A, 5.000%, 6/01/41 | ||||||||
|
| ||||||||
| 14,745 | Total New Jersey | 15,663,676 | ||||||
|
| ||||||||
| New York – 0.7% (0.5% of Total Investments) | ||||||||
| 5 | Dormitory Authority of the State of New York, Revenue Bonds, Lenox Hill Hospital Obligated | 7/11 at 101.00 | Ba2 | 4,564 | ||||
| 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– | 851,030 | ||||
| Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax) | ||||||||
| 1,700 | New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds, | 8/24 at 100.00 | CCC+ | 767,737 | ||||
| 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– | 730,988 | ||||
| Airport – American Airlines Inc., Series 2002A, 8.000%, 8/01/12 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 3,455 | Total New York | 2,354,319 | ||||||
|
| ||||||||
| North Carolina – 3.4% (2.1% of Total Investments) | ||||||||
| 1,250 | Charlotte-Mecklenberg Hospital Authority, North Carolina, Carolinas HealthCare System Revenue | 1/18 at 100.00 | AA– | 959,600 | ||||
| Bonds, Series 2008, Trust 1149, 12.043%, 1/15/47 (IF) | ||||||||
| 5,500 | North Carolina Capital Facilities Finance Agency, Solid Waste Facilities Revenue Bonds, | 7/12 at 106.00 | N/R | 4,970,680 | ||||
| Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29 | ||||||||
| 1,000 | North Carolina Capital Facilities Financing Agency, General Revenue Bonds, Duke University, | 10/16 at 100.00 | AA+ | 1,039,820 | ||||
| Series 2006A, Trust 1076, 12.445%, 10/01/44 (IF) | ||||||||
| North Carolina Capital Facilities Financing Agency, Revenue Bonds, Duke University, | ||||||||
| Series 2008: | ||||||||
| 1,775 | 5.000%, 10/01/41 (UB) | 10/15 at 100.00 | AA+ | 1,792,981 | ||||
| 1,780 | 5.000%, 10/01/44 (UB) | 10/16 at 100.00 | AA+ | 1,797,711 | ||||
|
| ||||||||
| 11,305 | Total North Carolina | 10,560,792 | ||||||
|
| ||||||||
| Ohio – 9.5% (5.9% of Total Investments) | ||||||||
| Belmont County, Ohio, Revenue Bonds, Ohio Valley Health Services and Education Corporation, | ||||||||
| Series 1998: | ||||||||
| 500 | 5.700%, 1/01/13 | 1/10 at 100.00 | B– | 491,895 | ||||
| 400 | 5.800%, 1/01/18 | 1/10 at 100.00 | B– | 367,868 | ||||
| Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue | ||||||||
| Bonds, Senior Lien, Series 2007A-2: | ||||||||
| 345 | 5.125%, 6/01/24 | 6/17 at 100.00 | BBB | 307,581 | ||||
| 3,570 | 5.875%, 6/01/30 | 6/17 at 100.00 | BBB | 3,087,907 | ||||
| 3,375 | 5.750%, 6/01/34 | 6/17 at 100.00 | BBB | 2,794,028 | ||||
| 10,855 | 5.875%, 6/01/47 | 6/17 at 100.00 | BBB | 8,819,034 | ||||
| 3,255 | Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program – | 5/14 at 102.00 | N/R | 3,055,501 | ||||
| Garfield Heights Project, Series 2004D, 5.250%, 5/15/23 | ||||||||
| 7,000 | Ohio Water Development Authority, Solid Waste Disposal Revenue Bonds, Bay Shore Power, Series | 9/08 at 102.00 | N/R | 6,617,590 | ||||
| 1998A, 5.875%, 9/01/20 (Alternative Minimum Tax) | ||||||||
| 1,000 | Ohio, Environmental Facilities Revenue Bonds, Ford Motor Company, Series 2005, 5.750%, 4/01/35 | 4/15 at 100.00 | Ba1 | 627,470 | ||||
| (Alternative Minimum Tax) | ||||||||
| 4,000 | Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc., | 7/17 at 102.00 | N/R | 3,597,400 | ||||
| Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 34,300 | Total Ohio | 29,766,274 | ||||||
|
| ||||||||
| Oklahoma – 1.5% (1.0% of Total Investments) | ||||||||
| 985 | Okeene Municipal Hospital and Schallmo Authority, Oklahoma, Revenue Bonds, Series 2006, | 1/16 at 101.00 | N/R | 960,080 | ||||
| 7.000%, 1/01/35 | ||||||||
| 660 | Oklahoma Development Finance Authority, Revenue Refunding Bonds, Hillcrest Healthcare System, | 8/09 at 101.00 | AAA | 690,743 | ||||
| Series 1999A, 5.625%, 8/15/29 (Pre-refunded 8/15/09) | ||||||||
| 850 | Tulsa Industrial Authority, Oklahoma, Student Housing Revenue Bonds, University of Tulsa, | 10/16 at 100.00 | A2 | 790,866 | ||||
| Series 2006, 5.000%, 10/01/37 | ||||||||
| 1,335 | Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995, | 12/08 at 100.00 | B– | 1,055,598 | ||||
| 6.250%, 6/01/20 | ||||||||
| 1,500 | Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc., | No Opt. Call | Caa2 | 1,365,165 | ||||
| Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14) | ||||||||
|
| ||||||||
| 5,330 | Total Oklahoma | 4,862,452 | ||||||
|
| ||||||||
| Pennsylvania – 5.2% (3.2% of Total Investments) | ||||||||
| Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn | ||||||||
| Allegheny Health System, Series 2000B: | ||||||||
| 695 | 9.250%, 11/15/22 (Pre-refunded 11/15/10) | 11/10 at 102.00 | AAA | 811,732 | ||||
| 6,455 | 9.250%, 11/15/30 (Pre-refunded 11/15/10) | 11/10 at 102.00 | AAA | 7,539,180 | ||||
| 500 | Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, Sacred Heart Hospital, Series | No Opt. Call | BB– | 483,650 | ||||
| 2005, 6.000%, 11/15/16 | ||||||||
| 1,000 | Berks County Industrial Development Authority, Pennsylvania, First Mortgage Revenue Bonds, One | 11/17 at 101.00 | N/R | 922,910 | ||||
| Douglassville Properties Project, Series 2007A, 6.125%, 11/01/34 (Alternative Minimum Tax) | ||||||||
| 2,000 | Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds, | 10/15 at 102.00 | N/R | 1,751,820 | ||||
| Immaculata University, Series 2005, 5.750%, 10/15/37 | ||||||||
| 400 | Pennsylvania Economic Development Financing Authority, Exempt Facilities Revenue Bonds, | 12/09 at 103.00 | Ba3 | 401,956 | ||||
| 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 | Ba3 | 602,934 | ||||
| Reliant Energy Inc., Series 2003A, 6.750%, 12/01/36 (Alternative Minimum Tax) | ||||||||
| 4,000 | Pennsylvania Economic Development Financing Authority, Revenue Bonds, Amtrak 30th Street | 6/12 at 102.00 | BBB | 3,792,040 | ||||
| Station Parking Garage, Series 2002, 5.800%, 6/01/23 – ACA Insured (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 15,650 | Total Pennsylvania | 16,306,222 | ||||||
|
| ||||||||
| Rhode Island – 1.6% (1.0% of Total Investments) | ||||||||
| 1,500 | Central Falls Detention Facility Corporation, Rhode Island, Detention Facility Revenue Bonds, | 7/15 at 103.00 | N/R | 1,508,355 | ||||
| Series 2005, 7.250%, 7/15/35 | ||||||||
| 1,000 | Rhode Island Student Loan Authority, Student Loan Program Revenue Bonds, Series 2008A, 6.750%, | 12/17 at 100.00 | A | 962,510 | ||||
| 12/01/28 (Alternative Minimum Tax) | ||||||||
| 3,000 | Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds, | 6/12 at 100.00 | BBB | 2,716,680 | ||||
| Series 2002A, 6.250%, 6/01/42 | ||||||||
|
| ||||||||
| 5,500 | Total Rhode Island | 5,187,545 | ||||||
|
| ||||||||
| South Carolina – 1.4% (0.9% of Total Investments) | ||||||||
| 4,000 | Lancaster County, South Carolina, Assessment Bonds, Edgewater II Improvement District, Series | 11/17 at 100.00 | N/R | 3,959,800 | ||||
| 2007A, 7.750%, 11/01/39 | ||||||||
| 490 | Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement | No Opt. Call | BBB (4) | 550,716 | ||||
| Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/30 (ETM) | ||||||||
|
| ||||||||
| 4,490 | Total South Carolina | 4,510,516 | ||||||
|
| ||||||||
| Tennessee – 2.9% (1.8% of Total Investments) | ||||||||
| 3,500 | Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue | 4/12 at 101.00 | Ba2 | 3,588,410 | ||||
| Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31 | ||||||||
| 1,500 | Maury County Industrial Development Board, Tennessee, Multi-Modal Interchangeable Rate | 9/08 at 100.00 | B– | 1,078,035 | ||||
| Pollution Control Revenue Refunding Bonds, Saturn Corporation, Series 1994, 6.500%, 9/01/24 | ||||||||
| Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding | ||||||||
| Bonds, Sumner Regional Health System Inc., Series 2007: | ||||||||
| 2,000 | 5.500%, 11/01/37 | 11/17 at 100.00 | N/R | 1,821,840 | ||||
| 2,000 | 5.500%, 11/01/46 | 11/17 at 100.00 | N/R | 1,778,900 | ||||
| 990 | Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds, | 7/17 at 100.00 | N/R | 866,349 | ||||
| Rutland Place, Series 2007A, 6.300%, 7/01/37 | ||||||||
|
| ||||||||
| 9,990 | Total Tennessee | 9,133,534 | ||||||
|
| ||||||||
| Texas – 10.9% (6.7% of Total Investments) | ||||||||
| 1,935 | Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, First Tier | 1/11 at 100.00 | N/R | 1,875,847 | ||||
| Series 2001A, 9.750%, 1/01/26 | ||||||||
| 1,000 | Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, First Tier | 1/17 at 100.00 | BB | 879,310 | ||||
| Series 2006B, 5.750%, 1/01/34 | ||||||||
| 10 | Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric | No Opt. Call | Caa1 | 9,180 | ||||
| Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax) | ||||||||
| 700 | Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric | 7/18 at 100.00 | Caa1 | 693,441 | ||||
| Company, Series 2001D, 8.250%, 5/01/33 (Alternative Minimum Tax) | ||||||||
| 1,750 | Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds, | 11/12 at 100.00 | CCC+ | 791,088 | ||||
| American Airlines Inc., Series 2007, 5.500%, 11/01/30 (Alternative Minimum Tax) | ||||||||
| Decatur Hospital Authority, Texas, Revenue Bonds, Wise Regional Health System, Series 2004A: | ||||||||
| 1,840 | 7.000%, 9/01/25 | 9/14 at 100.00 | N/R | 1,854,757 | ||||
| 6,600 | 7.125%, 9/01/34 | 9/14 at 100.00 | N/R | 6,707,514 | ||||
| 585 | Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo | 4/12 at 100.00 | Baa3 | 616,151 | ||||
| Petroleum Corporation Project, Series 1998, 8.000%, 4/01/28 (Alternative Minimum Tax) | ||||||||
| 1,000 | Heart of Texas Education Finance Corporation, Texas, Gateway Charter Academy, Series 2006A, | 8/16 at 100.00 | N/R | 874,760 | ||||
| 6.000%, 2/15/36 | ||||||||
| 2,020 | Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc., | 7/09 at 101.00 | B– | 1,330,756 | ||||
| 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– | 642,320 | ||||
| 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– | 508,518 | ||||
| 5,350 | 6.750%, 7/01/29 (Alternative Minimum Tax) | 7/11 at 101.00 | B– | 4,079,750 | ||||
| 1,000 | La Vernia Education Financing Corporation, Texas, Charter School Revenue Bonds, Riverwalk | 8/11 at 100.00 | N/R | 819,600 | ||||
| Education Foundation, Series 2007A, 5.450%, 8/15/36 | ||||||||
| 1,800 | North Texas Thruway Authority, Second Tier System Revenue Refunding Bonds, Series 2008, | 1/18 at 100.00 | A3 | 1,738,062 | ||||
| 5.750%, 1/01/38 | ||||||||
| 1,000 | Sabine River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company | 8/13 at 101.00 | Caa1 | 808,680 | ||||
| LLC Project, Series 2003B, 6.150%, 8/01/22 | ||||||||
| 2,000 | Sea Breeze Public Facility Corporation, Texas, Multifamily Housing Revenue Bonds, Sea Breeze | 1/21 at 100.00 | N/R | 1,799,140 | ||||
| Senior Apartments, Series 2006, 6.500%, 1/01/46 (Alternative Minimum Tax) | ||||||||
| 2,000 | Tarrant County Cultural and Educational Facilities Finance Corporation, Texas, Revenue Bonds, | 2/17 at 100.00 | AA– | 1,620,960 | ||||
| Texas Health Resources Project, Trust 1031, 12.658%, 2/15/36 (IF) | ||||||||
| 5,770 | Texas Department of Housing and Community Affairs, Multifamily Housing Revenue Bonds, Humble | 7/21 at 100.00 | N/R | 5,557,318 | ||||
| Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax) | ||||||||
| 1,000 | Texas Public Finance Authority, Charter School Finance Corporation Revenue Bonds, Cosmos | 2/15 at 100.00 | N/R | 761,190 | ||||
| Foundation Inc., Series 2007A, 5.375%, 2/15/37 | ||||||||
| 340 | Trinity River Authority of Texas, Pollution Control Revenue Refunding Bonds, TXU Electric | 5/13 at 101.00 | Caa1 | 266,121 | ||||
| Company, Series 2003, 6.250%, 5/01/28 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| 39,275 | Total Texas | 34,234,463 | ||||||
|
| ||||||||
| Virgin Islands – 2.6% (1.6% of Total Investments) | ||||||||
| 5,000 | Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project – Hovensa LLC, Series | 1/14 at 100.00 | BBB | 4,863,050 | ||||
| 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 | 3,128,664 | ||||
| Hovensa LLC, Series 2004, 5.875%, 7/01/22 | ||||||||
|
| ||||||||
| 8,300 | Total Virgin Islands | 7,991,714 | ||||||
|
| ||||||||
| Virginia – 5.4% (3.3% of Total Investments) | ||||||||
| 1,940 | Isle of Wight County Industrial Development Authority, Virginia, Environmental Improvement | 3/17 at 100.00 | BBB | 1,416,161 | ||||
| Revenue Bonds, International Paper Company Project, Series 2007A, 4.700%, 3/01/31 (Alternative | ||||||||
| Minimum Tax) | ||||||||
| Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll | ||||||||
| Road, Series 1998A: | ||||||||
| 2,000 | 0.000%, 8/15/14 (Pre-refunded 8/15/08) | 8/08 at 73.23 | AAA | 1,463,400 | ||||
| 4,250 | 5.500%, 8/15/28 (Pre-refunded 8/15/08) | 8/08 at 102.00 | AAA | 4,341,078 | ||||
| 1,850 | 0.000%, 8/15/30 (Pre-refunded 8/15/08) | 8/08 at 28.38 | AAA | 524,642 | ||||
| Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll | ||||||||
| Road, Series 1998B: | ||||||||
| 2,000 | 0.000%, 8/15/12 (Pre-refunded 8/15/08) | 8/08 at 82.10 | AAA | 1,640,700 | ||||
| 3,000 | 0.000%, 8/15/15 (Pre-refunded 8/15/08) | 8/08 at 68.82 | AAA | 2,063,070 | ||||
| 9,000 | 0.000%, 8/15/19 (Pre-refunded 8/15/08) | 8/08 at 54.38 | AAA | 4,890,510 | ||||
| 580 | Rockbridge County Industrial Development Authority, Virginia, Horse Center Revenue Bonds, | 7/11 at 105.00 | B2 (4) | 667,319 | ||||
| Series 2001A, 7.400%, 7/15/21 (Pre-refunded 7/15/11) | ||||||||
|
| ||||||||
| 24,620 | Total Virginia | 17,006,880 | ||||||
|
| ||||||||
| Washington – 4.3% (2.7% of Total Investments) | ||||||||
| 3,000 | Skagit County Public Hospital District 1, Washington, Revenue Bonds, Skagit Valley Hospital, | 12/13 at 100.00 | Baa2 | 3,062,700 | ||||
| Series 2003, 6.000%, 12/01/18 | ||||||||
| Vancouver Downtown Redevelopment Authority, Washington, Revenue Bonds, Conference Center | ||||||||
| Project, Series 2003A: | ||||||||
| 1,750 | 6.000%, 1/01/28 – ACA Insured | 1/14 at 100.00 | N/R | 1,633,170 | ||||
| 4,725 | 6.000%, 1/01/34 – ACA Insured | 1/14 at 100.00 | N/R | 4,210,542 | ||||
| 2,500 | 5.250%, 1/01/34 – ACA Insured | 1/14 at 100.00 | N/R | 2,022,600 | ||||
| 1,000 | Washington State Economic Development Finance Authority, Revenue Bonds, Coeur D’Alene Fiber | 12/17 at 100.00 | N/R | 830,460 | ||||
| Project, Series 2007G, 7.000%, 12/01/27 (Alternative Minimum Tax) | ||||||||
| 2,000 | Washington State Health Care Facilities Authority, Revenue Bonds, Northwest Hospital and | No Opt. Call | N/R | 1,813,460 | ||||
| Medical Center of Seattle, Series 2007, 5.700%, 12/01/32 | ||||||||
|
| ||||||||
| 14,975 | Total Washington | 13,572,932 | ||||||
|
| ||||||||
| West Virginia – 0.3% (0.2% of Total Investments) | ||||||||
| 500 | Ohio County Commission, West Virginia, Special District Excise Tax Revenue Bonds, Fort Henry | 3/16 at 100.00 | N/R | 467,195 | ||||
| Economic Development, Series 2006B, 5.625%, 3/01/36 | ||||||||
| 500 | Ohio County Commission, West Virginia, Tax Increment Revenue Bonds, Fort Henry Centre | No Opt. Call | N/R | 490,490 | ||||
| Financing District, Series 2007A, 5.850%, 6/01/34 | ||||||||
|
| ||||||||
| 1,000 | Total West Virginia | 957,685 | ||||||
|
| ||||||||
| Wisconsin – 9.7% (6.0% of Total Investments) | ||||||||
| 550 | Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series | 12/14 at 101.00 | N/R (4) | 685,845 | ||||
| 2003A, 7.750%, 6/01/16 (Pre-refunded 12/01/14) | ||||||||
| Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care Inc., | ||||||||
| Series 1999A: | ||||||||
| 9,485 | 5.600%, 2/15/29 | 2/09 at 101.00 | BBB+ | 8,937,808 | ||||
| 2,300 | 5.600%, 2/15/29 – ACA Insured | 2/09 at 101.00 | BBB+ | 2,203,630 | ||||
| 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 | 838,154 | ||||
| 1,000 | 6.250%, 4/01/34 | 4/14 at 100.00 | N/R | 918,830 | ||||
| Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan | ||||||||
| Healthcare System, Series 2006: | ||||||||
| 7,995 | 5.250%, 8/15/26 (UB) | 8/16 at 100.00 | A– | 6,949,974 | ||||
| 12,000 | 5.250%, 8/15/34 (UB) | 8/16 at 100.00 | A– | 9,946,080 | ||||
|
| ||||||||
| 34,205 | Total Wisconsin | 30,480,321 | ||||||
|
| ||||||||
| Wyoming – 0.3% (0.2% of Total Investments) | ||||||||
| 1,000 | Sweetwater County, Wyoming, Solid Waste Disposal Revenue Bonds, FMC Corporation, Series 2005, | 12/15 at 100.00 | BBB | 889,140 | ||||
| 5.600%, 12/01/35 (Alternative Minimum Tax) | ||||||||
|
| ||||||||
| $ 557,368 | Total Investments (cost $534,484,056) – 161.5% | 507,965,217 | ||||||
|
|
| |||||||
| Floating Rate Obligations – (14.2)% | (44,565,000) | |||||||
|
| ||||||||
| Other Assets Less Liabilities – 2.0% | 6,162,549 | |||||||
|
| ||||||||
| Preferred Shares, at Liquidation Value – (49.3)% (7) | (155,000,000) | |||||||
|
| ||||||||
| Net Assets Applicable to Common Shares – 100% | $ | 314,562,766 | ||||||
|
| ||||||||
| Futures Contracts outstanding at July 31, 2008: | ||||||||||
| Unrealized | ||||||||||
| Contract | Number of | Contract | Value at | Appreciation | ||||||
| Type | Position | Contracts | Expiration | July 31, 2008 | (Depreciation) | |||||
|
| ||||||||||
| U.S. 30-Year Treasury Bonds | Short | (234) | 9/08 | $(27,027,000) | $80,938 | |||||
|
| ||||||||||
| (1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares | |
| unless otherwise noted. | ||
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There | |
| may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be | ||
| subject to periodic principal paydowns. | ||
| (3) | Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. | |
| (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below | ||
| investment grade. | ||
| The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, CIFG, FGIC, | ||
| MBIA, RAAI and XLCA as of July 31, 2008. Subsequent to July 31, 2008, and during the period this Portfolio | ||
| of Investments was prepared, there may have been reductions to the ratings of certain bonds resulting from | ||
| changes to the ratings of the underlying insurers both during the period and after period end. Such | ||
| reductions would likely reduce the effective rating of many of the bonds insured by that insurer or insurers | ||
| presented at period end. | ||
| (4) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities | |
| which ensure the timely payment of principal and interest. Such investments are normally considered to be | ||
| equivalent to AAA rated securities. | ||
| (5) | The issuer has received a formal adverse determination from the Internal Revenue Service (the "IRS") | |
| regarding the tax-exempt status of the bonds' coupon payments. The Fund will continue to treat coupon | ||
| payments as tax-exempt income until such time that it is formally determined that the interest on the bonds | ||
| should be treated as taxable. | ||
| (6) | On April 14, 2008, the Adviser concluded that the issuer was not likely to meet its interest payment | |
| obligations and directed the Custodian to cease accruing additional income and “write-off” any remaining | ||
| recorded balances on the Fund’s records. | ||
| (7) | Preferred Shares, at Liquidation Value as a percentage of total investments is (30.5)%. | |
| N/R | Not rated. | |
| (ETM) | Escrowed to maturity. | |
| (IF) | Inverse floating rate investment. | |
| (UB) | Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the | |
| provisions of SFAS No. 140. |
Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No.140. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
At July 31, 2008, the cost of investments was $488,323,693.
Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2008, were as follows:
|
| ||
| Gross unrealized: | ||
| Appreciation | $ 13,321,391 | |
| Depreciation | (38,237,528) | |
|
| ||
| Net unrealized appreciation (depreciation) of investments | $(24,916,137) | |
|
| ||
Item 2. Controls and Procedures.
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: See EX-99 CERT attached hereto.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Municipal High Income Opportunity Fund
By (Signature and Title)
/s/ Kevin J.
McCarthy
Kevin
J.
McCarthy
Vice President and Secretary
Date September 29, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)
/s/ Gifford R.
Zimmerman
Gifford R.
Zimmerman
Chief Administrative Officer (principal executive officer)
Date September 29, 2008
By (Signature and Title)
/s/ Stephen D.
Foy
Stephen
D.
Foy
Vice President and Controller (principal financial officer)
Date September 29, 2008