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 811-22123
 
Nuveen Municipal High Income Opportunity Fund 2
(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:          7/31/11         
 
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 2 (NMD)  
     
   
July 31, 2011  
     
Principal  
   
Optional Call  
   
Amount (000)  
 
Description (1)  
Provisions (2)  
Ratings (3)  
Value  
   
Alabama – 1.7% (1.4% of Total Investments)  
     
$    2,290  
 
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health  
11/15 at 100.00  
Baa2  
$   2,298,542  
   
System Inc., Series 2005A, 5.250%, 11/15/20  
     
1,000  
 
Phenix City Industrial Development Board, Alabama, Environmental Improvement Revenue Bonds,  
5/12 at 100.00  
BBB  
996,230  
   
MeadWestvaco Corporation, Series 2002A, 6.350%, 5/15/35 (Alternative Minimum Tax)  
     
3,290  
 
Total Alabama  
   
3,294,772  
   
Arizona – 4.8% (4.1% of Total Investments)  
     
1,000  
 
Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, General Obligation  
7/17 at 100.00  
N/R  
928,200  
   
Bonds, Series 2007, 6.200%, 7/15/32  
     
70  
 
Pima County Industrial Development Authority, Arizona, Choice Education and Development  
No Opt. Call  
N/R  
69,878  
   
Charter School Revenue Bonds, Series 2006, 6.000%, 6/01/16  
     
500  
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds Legacy  
No Opt. Call  
N/R  
524,250  
   
Traditional School Project, Series 2009, 8.500%, 7/01/39  
     
825  
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Paradise  
6/19 at 100.00  
BBB–  
707,933  
   
Education Center Project, Series 2010, 6.000%, 6/01/40  
     
2,575  
 
Quechan Indian Tribe of the Fort Yuma Reservation, Arizona, Government Project Bonds, Series  
12/17 at 102.00  
N/R  
2,416,380  
   
2008, 7.000%, 12/01/27  
     
4,325  
 
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc  
No Opt. Call  
A  
3,887,267  
   
Prepay Contract Obligations, Series 2007, 5.000%, 12/01/37  
     
1,000  
 
Yuma County Industrial Development Authority, Arizona, Exempt Revenue Bonds, Far West Water &  
12/17 at 100.00  
N/R  
887,460  
   
Sewer Inc. Refunding, Series 2007A, 6.375%, 12/01/37 (Alternative Minimum Tax)  
     
10,295  
 
Total Arizona  
   
9,421,368  
   
California – 17.1% (14.6% of Total Investments)  
     
1,470  
 
Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender  
No Opt. Call  
AA  
1,598,243  
   
Option Bond Trust 2985, 17.806%, 4/01/16 (IF)  
     
2,000  
 
California Educational Facilities Authority, Revenue Bonds, Dominican University, Series 2006,  
12/16 at 100.00  
Baa3  
1,625,320  
   
5.000%, 12/01/36  
     
1,875  
 
California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital  
11/21 at 100.00  
Aa3  
2,100,225  
   
and Clinics, Tender Option Bond Trust 3267, 19.980%, 11/15/40 (IF)  
     
565  
 
California Housing Finance Agency, California, Home Mortgage Revenue Bonds, Series 2008B,  
8/17 at 100.00  
Baa1  
556,271  
   
5.000%, 2/01/28 (Alternative Minimum Tax)  
     
1,000  
 
California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects  
8/20 at 100.00  
N/R  
969,930  
   
Series 2010B, 7.250%, 8/15/45  
     
1,000  
 
California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series  
11/19 at 100.00  
Baa1  
1,097,930  
   
2009, 8.500%, 11/01/39  
     
1,300  
 
California State, General Obligation Bonds, Tender Option Bond Trust 3162, 19.710%, 3/01/18 –  
No Opt. Call  
AA+  
1,507,116  
   
AGM Insured (IF)  
     
520  
 
California Statewide Communities Development Authority, Revenue Bonds, American Baptist Homes  
10/19 at 100.00  
BBB  
520,603  
   
of the West, Series 2010, 6.250%, 10/01/39  
     
500  
 
California Statewide Community Development Authority, Revenue Bonds, California Baptist  
11/21 at 100.00  
N/R  
520,970  
   
University, Series 2011A, 7.500%, 11/01/41  
     
1,825  
 
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity  
7/15 at 100.00  
BBB  
1,463,778  
   
Health System, Series 2005A, 5.250%, 7/01/35  
     
500  
 
California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanente System,  
4/17 at 100.00  
AA+  
507,980  
   
Series 2007A, 5.000%, 4/01/31 – BHAC Insured  
     
2,000  
 
California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System,  
7/18 at 100.00  
AA–  
2,007,360  
   
Series 2007C, 5.750%, 7/01/47 – FGIC Insured  
     
1,125  
 
California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender  
11/16 at 100.00  
AA–  
948,870  
   
Option Bond Trust 3048, 18.502%, 11/15/48 (IF)  
     
   
Daly City Housing Development Finance Agency, California, Mobile Home Park Revenue Bonds,  
     
   
Franciscan Mobile Home Park Refunding, Series 2007A:  
     
2,000  
 
5.000%, 12/15/37  
12/17 at 100.00  
A  
1,731,880  
1,960  
 
6.500%, 12/15/47  
12/17 at 100.00  
N/R  
1,680,132  
1,370  
 
Elk Grove Community Facilities District 2005-1, California, Special Tax Bonds, Series 2007,  
9/15 at 102.00  
N/R  
881,554  
   
5.250%, 9/01/37  
     
1,000  
 
Fontana, California, Special Tax Bonds, Community Facilities District 31 Citrus Heights North  
9/14 at 102.00  
N/R  
828,440  
   
Special Tax Bonds, Series 2006, 5.000%, 9/01/26  
     
   
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed  
     
   
Bonds, Series 2007A-1:  
     
4,500  
 
5.000%, 6/01/33  
6/17 at 100.00  
Baa3  
3,239,497  
1,000  
 
5.750%, 6/01/47  
6/17 at 100.00  
Baa3  
748,370  
2,500  
 
5.125%, 6/01/47  
6/17 at 100.00  
Baa3  
1,684,725  
1,000  
 
Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series  
8/15 at 100.00  
CCC  
670,500  
   
2005, 5.000%, 8/01/25 – AMBAC Insured  
     
1,000  
 
Lathrop Financing Authority, California, Revenue Bonds, Water Supply Project Series 2003,  
6/13 at 100.00  
N/R  
951,320  
   
6.000%, 6/01/35  
     
850  
 
Los Angeles County, California, Community Development Commission Headquarters Office Building,  
9/21 at 100.00  
Aa3  
806,268  
   
Lease Revenue Bonds, Community Development Properties Los Angeles County Inc., Tender  
     
   
Option Bond Trust Series 2011-23B, 19.168%, 9/01/42 (IF) (6)  
     
700  
 
Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International  
5/20 at 100.00  
AA  
744,604  
   
Airport, Tender Option Bond Trust 10-27B, 18.070%, 5/15/40 (IF) (6)  
     
500  
 
Los Angeles Regional Airports Improvement Corporation, California, Sublease Revenue Bonds, Los  
12/12 at 102.00  
B–  
506,330  
   
Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002C,  
     
   
7.500%, 12/01/24 (Alternative Minimum Tax)  
     
500  
 
March Joint Powers Redevelopment Agency March Air Force Base Redevelopment Project, California,  
8/21 at 100.00  
BBB+  
528,820  
   
Series 2011A, 7.500%, 8/01/41  
     
625  
 
Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010,  
11/20 at 100.00  
Baa3  
629,963  
   
5.250%, 11/01/21  
     
2,500  
 
San Bernardino Community College District, California, General Obligation Bonds, Tender Option  
8/16 at 100.00  
AA+  
2,630,200  
   
Bond Trust 11780-1, 18.086%, 2/01/27 – AGM Insured (IF)  
     
37,685  
 
Total California  
   
33,687,199  
   
Colorado – 8.4% (7.2% of Total Investments)  
     
1,500  
 
Arista Metropolitan District, Colorado, Special Revenue Bonds, Series 2008, 9.250%, 12/01/37  
12/15 at 100.00  
N/R  
1,384,095  
1,975  
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Windsor  
5/17 at 100.00  
BBB–  
1,684,853  
   
Academy, Series 2007A, 5.700%, 5/01/37  
     
1,950  
 
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Pikes Peak School of  
6/18 at 102.00  
N/R  
1,768,709  
   
Expeditionary Learning Charter School, Series 2008, 6.625%, 6/01/38  
     
750  
 
Colorado Health Facilities Authority, Health Facilities Revenue Bonds, Sisters of Charity of  
No Opt. Call  
AA  
834,120  
   
Leavenworth Health Services Corporation, Tender Option Bond Trust 3702,  
     
   
18.900%, 1/01/18 (IF) (6)  
     
1,000  
 
Colorado Health Facilities Authority, Revenue Bonds, Evangelical Lutheran Good Samaritan  
6/16 at 100.00  
A–  
902,510  
   
Society, Series 2006, 5.250%, 6/01/36  
     
   
Colorado Housing and Finance Authority, Revenue Bonds, Confluence Energy LLC Project,  
     
   
Series 2007:  
     
218  
 
0.000%, 4/21/14 (Alternative Minimum Tax) (4)  
No Opt. Call  
N/R  
261,409  
5,045  
 
6.750%, 4/01/27 (Alternative Minimum Tax) (4), (5)  
4/17 at 100.00  
N/R  
2,078,540  
993  
 
Colorado Housing and Finance Authority, Revenue Bonds, Confluence Energy LLC Project,  
No Opt. Call  
N/R  
99,300  
   
Series 2007, 0.000%, 4/21/14 (Alternative Minimum Tax) (4), (5)  
     
1,000  
 
Confluence Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series 2007,  
12/17 at 100.00  
N/R  
764,500  
   
5.400%, 12/01/27  
     
1,070  
 
Fitzsimons Village Metropolitan District 1, Aurora, Arapahoe County, Colorado, Tax Increment  
3/20 at 100.00  
N/R  
1,071,231  
   
Public Improvement Fee Supported Revenue Bonds, Series 2010A, 7.500%, 3/01/40  
     
5  
 
Maher Ranch Metropolitan District 4, Colorado, General Obligation Limited Tax Bonds, Series  
12/17 at 100.00  
N/R  
4,033  
   
2007, 5.250%, 12/01/36 – RAAI Insured  
     
500  
 
Pinery West Metropolitan District 2, Colorado, General Obligation Limited Tax Bonds, Series  
12/17 at 100.00  
N/R  
421,585  
   
2007, 5.000%, 12/01/27 – RAAI Insured  
     
1,000  
 
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Series 2003,  
6/14 at 101.00  
N/R  
1,003,150  
   
8.000%, 12/01/25  
     
1,700  
 
Public Authority for Colorado Energy, Natural Gas Purchase Revenue Bonds, Colorado Springs  
No Opt. Call  
A  
1,871,853  
   
Utilities, Series 2008, 6.500%, 11/15/38  
     
   
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private  
     
   
Activity Bonds, Series 2010:  
     
500  
 
6.500%, 1/15/30  
7/20 at 100.00  
Baa3  
532,440  
1,000  
 
6.000%, 1/15/41  
7/20 at 100.00  
Baa3  
1,009,620  
815  
 
Three Springs Metropolitan District 3, Durango, La Plata County, Colorado, Property Tax  
12/20 at 100.00  
N/R  
805,204  
   
Supported Revenue Bonds, Series 2010, 7.750%, 12/01/39  
     
21,021  
 
Total Colorado  
   
16,397,852  
   
Connecticut – 0.5% (0.5% of Total Investments)  
     
1,000  
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue  
4/20 at 100.00  
N/R  
1,088,750  
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39  
     
   
District of Columbia – 1.5% (1.3% of Total Investments)  
     
2,500  
 
District of Columbia, Revenue Bonds, Howard University, Tender Option Bond Trust 1006,  
4/21 at 100.00  
A–  
2,962,600  
   
11.333%, 10/01/37 (IF) (6)  
     
   
Florida – 10.9% (9.4% of Total Investments)  
     
965  
 
Ave Maria Stewardship Community Development District, Florida, Capital Improvement Revenue  
5/16 at 100.00  
N/R  
735,166  
   
Bonds, Series 2006A, 5.125%, 5/01/38  
     
1,000  
 
Beacon Lakes Community Development District, Florida, Special Assessment Bonds, Series 2003A,  
5/13 at 101.00  
N/R  
1,003,820  
   
6.900%, 5/01/35  
     
995  
 
Beeline Community Development District, Palm Beach County, Florida, Special Assessment Bonds,  
5/18 at 100.00  
N/R  
996,970  
   
Series 2008A, 7.000%, 5/01/37  
     
970  
 
Colonial Country Club Community Development District, Florida, Capital Improvement Revenue  
5/13 at 101.00  
A  
992,436  
   
Bonds, Series 2003, 6.400%, 5/01/33  
     
2,000  
 
Escambia County, Florida, Environmental Improvement Revenue Bonds, International Paper Company  
8/11 at 100.00  
BBB  
1,881,200  
   
Projects, Series 2006B, 5.000%, 8/01/26 (Alternative Minimum Tax)  
     
1,000  
 
Martin County Industrial Development Authority, Florida, Industrial Development Revenue Bonds,  
12/11 at 100.00  
BB+  
1,004,200  
   
Indiantown Cogeneration LP, Series 1994A, 7.875%, 12/15/25 (Alternative Minimum Tax)  
     
2,320  
 
Old Palm Community Development District, Florida, Special Assessment Bonds, Palm Beach  
5/15 at 101.00  
N/R  
2,080,367  
   
Gardens, Series 2004A, 5.900%, 5/01/35  
     
1,000  
 
Orange County Housoing Finance Authority, Florida, Multifamily Housing Bonds, Buena Vista  
1/12 at 100.00  
N/R  
915,850  
   
Place II, Series 1999-I, 6.900%, 7/01/39 (Alternative Minimum Tax)  
     
1,140  
 
Pine Island Community Development District, Florida, Special Assessment Bonds, Bella Collina,  
5/12 at 101.00  
N/R  
797,498  
   
Series 2004, 5.750%, 5/01/35  
     
995  
 
Poinciana West Community Development District, Florida, Special Assessment Bonds, Series 2007,  
5/17 at 100.00  
N/R  
841,591  
   
6.000%, 5/01/37  
     
1,000  
 
Port Saint Lucie, Florida, Special Assessment Revenue Bonds, Southwest Annexation District 1B,  
7/17 at 100.00  
Baa1  
859,290  
   
Series 2007, 5.000%, 7/01/33 – NPFG Insured  
     
490  
 
South Village Community Development District, Clay County, Florida, Capital Improvement  
5/13 at 100.00  
N/R  
383,807  
   
Revenue Bonds, Series 2005A, 5.700%, 5/01/35  
     
1,345  
 
Stoneybrook Venice Community Development District, Florida, Capital Improvement Revenue Bonds,  
5/18 at 100.00  
N/R  
1,315,518  
   
Series 2007, 6.750%, 5/01/38  
     
2,835  
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2006,  
5/14 at 101.00  
N/R  
2,144,451  
   
5.400%, 5/01/37  
     
5,820  
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2007,  
No Opt. Call  
N/R  
3,568,649  
   
5.250%, 5/01/39  
     
   
Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:  
     
475  
 
6.000%, 5/01/23  
5/13 at 101.00  
N/R  
438,734  
1,750  
 
6.125%, 5/01/35  
5/13 at 101.00  
N/R  
1,553,440  
26,100  
 
Total Florida  
   
21,512,987  
   
Georgia – 2.3% (2.0% of Total Investments)  
     
1,000  
 
Atlanta, Georgia, Tax Allocation Bonds, Beltline Project Series 2008A. Remarketed,  
1/19 at 100.00  
N/R  
1,035,490  
   
7.500%, 1/01/31  
     
1,250  
 
Clayton County Development Authority, Georgia, Special Facilities Revenue Bonds, Delta Air  
6/20 at 100.00  
CCC+  
1,452,675  
   
Lines, Inc. Project, Series 2009A, 8.750%, 6/01/29  
     
1,170  
 
Clayton County Development Authority, Georgia, Special Facilities Revenue Bonds, Delta Air  
6/15 at 100.00  
CCC+  
1,257,060  
   
Lines, Inc. Project, Series 2009B, 9.000%, 6/01/35 (Alternative Minimum Tax)  
     
855  
 
Effingham County Development Authority, Georgia, Solid Waste Disposal Revenue Bonds, Ft. James  
1/12 at 100.00  
BBB–  
855,068  
   
Project, Series 1998, 5.625%, 7/01/18 (Alternative Minimum Tax)  
     
4,275  
 
Total Georgia  
   
4,600,293  
   
Illinois – 14.8% (12.7% of Total Investments)  
     
1,000  
 
Bolingbrook, DuPage & Will Counties, Illinois, Special Tax Revenue Bonds, Special Service  
4/21 at 100.00  
Baa1  
796,840  
   
Areas 2001-1, 2001-2, 2001-3, and 2002-1, Refunding Series 2007, 4.500%, 3/01/32 – NPFG Insured  
     
1,000  
 
Cook County, Illinois, Recovery Zone Facility Revenue Bonds, Navistar International  
10/20 at 100.00  
BB–  
1,031,310  
   
Corporation Project, Series 2010, 6.500%, 10/15/40  
     
1,180  
 
Evanston, Illinois, Educational Facility Revenue Bonds, Roycemore School Project, Series 2011,  
7/21 at 100.00  
N/R  
1,184,626  
   
8.250%, 7/01/41  
     
1,100  
 
Hillside, Cook County, Illinois, Senior Lien Tax Increment Revenue Bonds, Mannheim  
1/18 at 102.00  
N/R  
994,752  
   
Redevelopment Project, Series 2008, 7.000%, 1/01/28  
     
1,000  
 
Illinois Finance Authority Revenue Bonds, Christian Homes, Inc., Refunding Series 2010,  
5/15 at 100.00  
N/R  
1,001,540  
   
5.500%, 5/15/23  
     
5,620  
 
Illinois Finance Authority, Charter School Revenue Bonds, Chicago Charter School Foundation,  
No Opt. Call  
BBB+  
4,756,993  
   
Series 2007, 5.000%, 12/01/36  
     
500  
 
Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Series 2010A,  
5/20 at 100.00  
N/R  
492,630  
   
7.750%, 5/15/30  
     
500  
 
Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Temps 75 Series 2010D-1,  
11/12 at 100.00  
N/R  
500,050  
   
7.000%, 5/15/18  
     
1,250  
 
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Tender Option Bond Trust  
11/17 at 100.00  
A  
1,254,750  
   
4702, 21.111%, 11/15/37 (IF) (6)  
     
1,900  
 
Illinois Finance Authority, Revenue Bonds, Provena Health, Series 2009A, 7.750%, 8/15/34  
8/19 at 100.00  
BBB+  
2,095,624  
1,500  
 
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.500%, 4/01/37  
4/17 at 100.00  
Baa2  
1,409,730  
2,500  
 
Illinois Finance Authority, Revenue Bonds, Sherman Health Systems, Series 2007A,  
8/17 at 100.00  
BBB  
2,327,125  
   
5.500%, 8/01/37  
     
2,000  
 
Illinois Finance Authority, Revenue Bonds, Silver Cross Hospital and Medical Centers, Series  
8/19 at 100.00  
BBB  
2,071,620  
   
2009, 6.875%, 8/15/38  
     
500  
 
Illinois FInance Authority, Revenue Bonds, Southern Illinois Healthcare Enterprises, Inc.,  
3/20 at 100.00  
AA+  
508,095  
   
Series 2005 Remarketed, 5.250%, 3/01/30 – AGM Insured  
     
500  
 
Illinois Health Facilities Authority, Revenue Refunding Bonds, Elmhurst Memorial Healthcare,  
1/13 at 100.00  
Baa1  
503,235  
   
Series 2002, 5.500%, 1/01/22  
     
2,000  
 
Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel  
1/16 at 100.00  
B–  
1,384,100  
   
Revenue Bonds, Series 2005A-2, 5.500%, 1/01/36 – ACA Insured  
     
   
Lombard Public Facilities Corporation, Illinois, Second Tier Conference Center and Hotel  
     
   
Revenue Bonds, Series 2005B:  
     
285  
 
5.250%, 1/01/25  
1/16 at 100.00  
B–  
198,776  
200  
 
5.250%, 1/01/36  
1/16 at 100.00  
B–  
140,984  
800  
 
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series  
No Opt. Call  
A–  
826,328  
   
2010, 6.000%, 6/01/28  
     
   
Southwestern Illinois Development Authority, Illinois, Saint Clair County Comprehensive Mental  
     
   
Health Center, Series 2007:  
     
1,170  
 
6.200%, 6/01/17  
No Opt. Call  
N/R  
1,167,052  
3,020  
 
6.625%, 6/01/37  
6/17 at 103.00  
N/R  
2,819,895  
1,000  
 
Southwestern Illinois Development Authority, Local Government Program Revenue Bonds, Granite  
3/14 at 100.00  
N/R  
1,009,760  
   
City Project, Series 2009B, 7.750%, 3/01/22  
     
750  
 
Springfield, Sangamon County, Illinois, Special Service Area, Legacy Pointe, Special  
3/17 at 102.00  
N/R  
762,083  
   
Assessment Bonds, Series 2009, 7.875%, 3/01/32  
     
31,275  
 
Total Illinois  
   
29,237,898  
   
Indiana – 3.7% (3.2% of Total Investments)  
     
3,100  
 
Hospital Authority of Delaware County, Indiana, Hospital Revenue Bonds, Cardinal Health  
8/16 at 100.00  
Baa3  
2,845,366  
   
System, Series 2006, 5.125%, 8/01/29  
     
1,250  
 
Indiana Bond Bank, Special Program Gas Revenue Bonds, JP Morgan Ventures Energy Corporation  
No Opt. Call  
Aa3  
1,718,800  
   
Guaranteed, Series 2007A, 18.240%, 4/15/17 (IF)  
     
1,000  
 
Indianapolis, Indiana, Multifamily Housing Revenue Bonds, GMF-Berkley Commons Apartments,  
7/20 at 100.00  
A+  
993,150  
   
Series 2010A, 6.000%, 7/01/40  
     
   
Vigo County Hospital Authority, Indiana, Revenue Bonds, Union Hospital, Series 2007:  
     
250  
 
5.700%, 9/01/37  
9/17 at 100.00  
N/R  
212,265  
1,800  
 
5.800%, 9/01/47  
9/17 at 100.00  
N/R  
1,519,506  
7,400  
 
Total Indiana  
   
7,289,087  
   
Kentucky – 0.5% (0.4% of Total Investments)  
     
   
Kentucky Economic Development Finance Authority, Hospital Facilities Revenue Bonds, Owensboro  
     
   
Medical Health System, Series 2010A:  
     
500  
 
6.000%, 6/01/30  
6/20 at 100.00  
Baa2  
510,955  
500  
 
6.500%, 3/01/45  
No Opt. Call  
Baa2  
514,145  
1,000  
 
Total Kentucky  
   
1,025,100  
   
Louisiana – 3.4% (2.9% of Total Investments)  
     
500  
 
Louisiana Local Government Environment Facilities and Community Development Authority, Revenue  
11/20 at 100.00  
BBB–  
519,260  
   
Bonds, Westlake Chemical Corporation Projects, Series 2010A-1, 6.500%, 11/01/35  
     
3,500  
 
Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue  
11/17 at 100.00  
BBB–  
3,664,500  
   
Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32  
     
4,000  
 
Louisiana Local Government Environmental Facilities and Community Development Authority,  
12/17 at 100.00  
N/R  
2,021,280  
   
Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 (4), (5)  
     
555  
 
Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,  
11/11 at 101.00  
A–  
551,559  
   
Series 2001B, 5.875%, 5/15/39  
     
8,555  
 
Total Louisiana  
   
6,756,599  
   
Maryland – 0.4% (0.3% of Total Investments)  
     
100  
 
Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,  
9/16 at 100.00  
Baa3  
83,952  
   
9/01/39 – SYNCORA GTY Insured  
     
1,000  
 
Maryland Economic Development Corporation, Revenue Bonds, Chesapeake Bay Hyatt Conference  
12/16 at 100.00  
N/R  
613,200  
   
Center, Series 2006A, 5.000%, 12/01/31  
     
1,100  
 
Total Maryland  
   
697,152  
   
Massachusetts – 0.0% (0.0% of Total Investments)  
     
90  
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,  
9/12 at 102.00  
Caa3  
63,602  
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)  
     
   
Michigan – 1.2% (1.0% of Total Investments)  
     
1,750  
 
Michigan Public Educational Facilities Authority, Charter School Revenue Bonds, American  
12/17 at 100.00  
N/R  
1,524,880  
   
Montessori Academy, Series 2007, 6.500%, 12/01/37  
     
980  
 
Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, David  
6/17 at 100.00  
N/R  
783,334  
   
Ellis Academy-West Charter School Project, Series 2007, 5.875%, 6/01/37  
     
2,730  
 
Total Michigan  
   
2,308,214  
   
Minnesota – 1.5% (1.3% of Total Investments)  
     
3,000  
 
St. Paul Housing and Redevelopment Authority, Minnesota, Revenue Bonds, Healtheast Inc.,  
11/15 at 100.00  
BB+  
2,910,210  
   
Series 2005, 6.000%, 11/15/35  
     
   
Mississippi – 1.0% (0.9% of Total Investments)  
     
975  
 
Mississippi Business Finance Corporation, Gulf Opportunity Zone Revenue Bonds, Roberts Hotel  
2/21 at 102.00  
NA  
948,587  
   
of Jackson, LLC Project, Series 2010, 8.500%, 2/01/30 (5)  
     
1,000  
 
Mississippi Business Finance Corporation, Pollution Control Revenue Refunding Bonds, System  
10/11 at 100.00  
BBB  
1,001,300  
   
Energy Resources Inc. Project, Series 1998, 5.875%, 4/01/22  
     
1,975  
 
Total Mississippi  
   
1,949,887  
   
Missouri – 3.3% (2.8% of Total Investments)  
     
1,000  
 
Hanley Road Corridor Transportation Development District, Brentwood and Maplewood, Missouri,  
10/19 at 100.00  
A–  
1,013,490  
   
Transportation Sales Revenue Bonds, Refunding Series 2009A, 5.875%, 10/01/36  
     
1,000  
 
Missouri Development Finance Board. Infrastructure Facilities Revenue Bonds, City of  
4/14 at 100.00  
A–  
1,028,300  
   
Independence, Missouri – Events Center Project, Series 2009F, 6.250%, 4/01/38  
     
1,100  
 
Saint Louis Industrial Development Authority, Missouri, Confluence Academy Project, Series  
6/15 at 103.00  
N/R  
874,808  
   
2007A, 5.350%, 6/15/32  
     
1,000  
 
Saint Louis Land Clearance for Redevelopment Authority, Missouri, Tax-Exempt Recovery Zone  
9/20 at 100.00  
N/R  
960,220  
   
Facilities Improvement, Special Revenue Bonds, Kiel Opera House Project, Series 2010B,  
     
   
7.000%, 9/01/35  
     
990  
 
Saint Louis, Missouri, Orpheum Theater Community Improvement District, Saint Louis, Missouri,  
No Opt. Call  
N/R  
995,366  
   
Property and Sales Tax Revenue Bonds, Series 2009, 9.000%, 3/01/29  
     
1,894  
 
Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Fashion Square Redevelopment  
9/11 at 100.00  
N/R  
1,601,699  
   
Project, Series 2008A, 6.300%, 8/22/26  
     
6,984  
 
Total Missouri  
   
6,473,883  
   
Nevada – 2.0% (1.7% of Total Investments)  
     
2,500  
 
Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,  
No Opt. Call  
AA+  
2,693,600  
   
Tender Option Bond Trust Series 2010-11836, 17.885%, 6/01/16 (IF)  
     
1,200  
 
Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas  
1/12 at 100.00  
N/R  
287,964  
   
Monorail Project, First Tier, Series 2000, 5.375%, 1/01/40 – AMBAC Insured (5)  
     
950  
 
Sparks Tourism Improvement District 1, Legends at Sparks Marina, Nevada, Senior Sales Tax  
6/18 at 100.00  
B2  
870,694  
   
Revenue Bonds Series 2008A, 6.500%, 6/15/20  
     
4,650  
 
Total Nevada  
   
3,852,258  
   
New Jersey – 3.3% (2.8% of Total Investments)  
     
   
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental  
     
   
Airlines Inc., Series 1999:  
     
2,000  
 
6.250%, 9/15/19 (Alternative Minimum Tax)  
9/11 at 100.00  
B  
1,991,640  
55  
 
6.400%, 9/15/23 (Alternative Minimum Tax)  
9/11 at 100.00  
B  
54,834  
25  
 
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental  
11/11 at 100.00  
B  
25,017  
   
Airlines Inc., Series 2000, 7.000%, 11/15/30 (Alternative Minimum Tax)  
     
3,200  
 
New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters  
7/18 at 100.00  
BBB–  
2,995,744  
   
University Hospital, Series 2007, 5.750%, 7/01/37  
     
1,000  
 
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph’s  
No Opt. Call  
BBB–  
1,091,740  
   
Healthcare System Obligated Group Issue, Series 2008, 6.000%, 7/01/18  
     
500  
 
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,  
6/17 at 100.00  
Baa3  
344,940  
   
Series 2007-1A, 4.750%, 6/01/34  
     
6,780  
 
Total New Jersey  
   
6,503,915  
   
New Mexico – 0.7% (0.6% of Total Investments)  
     
495  
 
Montecito Estates Public Improvement District, New Mexico, Special Levee Revenue Bonds, Series  
10/17 at 100.00  
N/R  
431,323  
   
2007, 7.000%, 10/01/37  
     
965  
 
New Mexico Hospital Equipment Loan Council, First Mortgage Revenue Bonds, La Vida LLena  
7/20 at 100.00  
N/R  
928,214  
   
Project, Series 2010A, 5.875%, 7/01/30  
     
1,460  
 
Total New Mexico  
   
1,359,537  
   
New York – 2.7% (2.3% of Total Investments)  
     
   
New York City Industrial Development Agency, New York, American Airlines-JFK International  
     
   
Airport Special Facility Revenue Bonds, Series 2005:  
     
1,000  
 
7.625%, 8/01/25 (Mandatory put 8/01/16) (Alternative Minimum Tax)  
8/16 at 101.00  
B–  
1,031,470  
1,000  
 
8.000%, 8/01/28  
No Opt. Call  
B–  
1,044,200  
   
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bronx  
     
   
Parking Development Company, LLC Project, Series 2007:  
     
500  
 
5.750%, 10/01/37  
10/17 at 100.00  
N/R  
278,815  
2,000  
 
5.875%, 10/01/46  
10/17 at 102.00  
N/R  
1,125,500  
1,030  
 
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special  
7/16 at 101.00  
N/R  
916,659  
   
Needs Facilities Pooled Program, Series 2008A-1, 5.800%, 7/01/23  
     
625  
 
New York Liberty Development Corporation, Second Priority Liberty Revenue Refunding Bonds,  
1/20 at 100.00  
AA  
595,700  
   
Bank of America Tower at One Bryant Park Project, Tender Option Bond Trust PT4704,  
     
   
18.435%, 1/15/44 (IF) (6)  
     
265  
 
Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air  
12/20 at 100.00  
BBB–  
269,041  
   
Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/42  
     
6,420  
 
Total New York  
   
5,261,385  
   
North Carolina – 1.8% (1.6% of Total Investments)  
     
1,970  
 
Albemarle Hospital Authority, North Carolina, Health Care Facilities Revenue Bonds, Series  
10/17 at 100.00  
N/R  
1,579,388  
   
2007, 5.250%, 10/01/38  
     
   
North Carolina Capital Facilities Financing Agency, Educational Facilities Revenue Bond,  
     
   
Meredith College, Series 2008A:  
     
1,000  
 
6.000%, 6/01/31  
6/18 at 100.00  
BBB  
1,027,520  
1,000  
 
6.125%, 6/01/35  
6/18 at 100.00  
BBB  
1,019,730  
3,970  
 
Total North Carolina  
   
3,626,638  
   
Ohio – 2.0% (1.7% of Total Investments)  
     
500  
 
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue  
6/17 at 100.00  
Baa3  
378,115  
   
Bonds, Senior Lien, Series 2007A-2, 5.750%, 6/01/34  
     
1,700  
 
Lorain County Port Authority, Ohio, Recovery Zone Facility Economic Development Revenue Bonds,  
12/20 at 100.00  
BB  
1,736,720  
   
United State Steel Corporation Project, Series 2010, 6.750%, 12/01/40  
     
1,250  
 
Ohio State, Hospital Facility Revenue Refunding Bonds, Cleveland Clinic Health System  
No Opt. Call  
Aa2  
1,437,750  
   
Obligated Group, Tender Option Bond Trust 3551, 19.915%, 1/01/17 (IF)  
     
2,000  
 
Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc.,  
7/17 at 102.00  
N/R  
362,000  
   
Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (4), (5)  
     
5,450  
 
Total Ohio  
   
3,914,585  
   
Oklahoma – 0.3% (0.2% of Total Investments)  
     
45  
 
Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,  
12/11 at 100.00  
B–  
43,871  
   
6.250%, 6/01/20  
     
500  
 
Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,  
No Opt. Call  
Caa2  
517,455  
   
Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14)  
     
545  
 
Total Oklahoma  
   
561,326  
   
Oregon – 0.2% (0.1% of Total Investments)  
     
190  
 
Oregon, Economic Development Revenue Bonds, Georgia Pacific Corp., Series 1995CLVII, 6.350%,  
8/11 at 100.00  
BBB–  
190,010  
   
8/01/25 (Alternative Minimum Tax)  
     
125  
 
Oregon, Economic Development Revenue Refunding Bonds, Georgia Pacific Corp., Series 1997-183,  
12/11 at 100.00  
Ba2  
122,948  
   
5.700%, 12/01/25  
     
315  
 
Total Oregon  
   
312,958  
   
Pennsylvania – 2.4% (2.1% of Total Investments)  
     
500  
 
Allegheny Country Industrial Development Authority, Allegheny County, Pennsylvania,  
No Opt. Call  
BB  
537,745  
   
Environmental Improvement Revenue Bonds, United States Steel Corporation Project, Refunding  
     
   
Series 2009, 6.750%, 11/01/24  
     
1,010  
 
Chester County Industrial Development Authority, Pennsylvania, Avon Grove Charter School  
12/17 at 100.00  
BB+  
877,528  
   
Revenue Bonds, Series 2007A, 6.375%, 12/15/37  
     
185  
 
Montgomery County Industrial Development Authority, Pennsylvania, FHA Insured Mortgage Revenue  
8/20 at 100.00  
AA  
207,071  
   
Bonds, New Regional Medical Center Project, Tender Option Bond Trust 62B,  
     
   
19.543%, 8/01/38 (IF) (6)  
     
2,115  
 
Pennsylvania Economic Development Finance Authority, Solid Waste Disposal Revenue Bonds (USG  
12/11 at 100.00  
B  
1,835,482  
   
Corporation Project) Series 1999, 6.000%, 6/01/31 (Alternative Minimum Tax)  
     
1,000  
 
Pennsylvania Housing Finance Agency, Single Family Mortgage Revenue Bonds, Tender Option Bond  
4/19 at 100.00  
AA+  
962,400  
   
Trust 4657, 16.302%, 10/01/29 (IF) (6)  
     
395  
 
Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Health System  
5/20 at 100.00  
AA  
393,179  
   
Revenue Bonds, Jefferson Health System, Series 2010B, 5.000%, 5/15/40  
     
5,205  
 
Total Pennsylvania  
   
4,813,405  
   
Puerto Rico – 0.0% (0.0% of Total Investments)  
     
20  
 
Puerto Rico Ports Authority, Special Facilities Revenue Bonds, American Airlines Inc., Series  
12/11 at 100.00  
CCC+  
16,580  
   
1996A, 6.250%, 6/01/26 (Alternative Minimum Tax)  
     
   
Rhode Island – 0.2% (0.2% of Total Investments)  
     
500  
 
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,  
6/12 at 100.00  
BBB  
472,000  
   
Series 2002A, 6.250%, 6/01/42  
     
   
South Carolina – 1.2% (1.0% of Total Investments)  
     
3,477  
 
Lancaster County, South Carolina, Special Assessment Bonds, Edgewater II Improvement District,  
No Opt. Call  
N/R  
1,740,934  
   
Series 2007B, 7.700%, 11/01/17 (4), (5)  
     
625  
 
South Carolina Jobs-Economic Development Authority, Hospital Revenue Bonds, Palmetto Health,  
8/21 at 100.00  
AA+  
653,513  
   
Refunding Series 2011A, 6.500%, 8/01/39 – AGM Insured  
     
4,102  
 
Total South Carolina  
   
2,394,447  
   
Tennessee – 1.3% (1.1% of Total Investments)  
     
500  
 
Johnson City Health and Educational Facilities Board, Tennessee, Hospital Revenue Bonds,  
7/20 at 100.00  
BBB+  
525,860  
   
Mountain States Health Alliance, Refunding Series 2010A, 6.500%, 7/01/38  
     
   
Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding  
     
   
Bonds, Sumner Regional Health System Inc., Series 2007:  
     
1,500  
 
5.500%, 11/01/37 (4), (5)  
11/17 at 100.00  
N/R  
112,335  
1,000  
 
5.500%, 11/01/46 (4), (5)  
11/17 at 100.00  
N/R  
74,890  
1,824  
 
The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006B, 5.625%, 9/01/26  
No Opt. Call  
N/R  
1,769,973  
4,824  
 
Total Tennessee  
   
2,483,058  
   
Texas – 8.0% (6.8% of Total Investments)  
     
1,000  
 
Alliance Airport Authority, Texas, Special Facilities Revenue Bonds, American Airlines Inc.,  
12/11 at 100.00  
CCC+  
715,850  
   
Series 2007, 5.750%, 12/01/29 (Alternative Minimum Tax)  
     
940  
 
Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric  
No Opt. Call  
CC  
925,345  
   
Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax)  
     
1,000  
 
Central Texas Regional Mobility Authority, Senior Lien Revenue Bonds, Series 2011,  
1/21 at 100.00  
BBB–  
993,110  
   
6.000%, 1/01/41  
     
2,100  
 
Clifton Higher Education Finance Corporation, Texas, Education Revenue Bonds, Tejano Center  
No Opt. Call  
BBB–  
2,337,300  
   
for Community Concerns, Inc.-Raul Yzaguirre School for Success, Refunding Series 2009A,  
     
   
8.750%, 2/15/28  
     
10  
 
Dallas-Ft. Worth International Airport Facility Improvement Corporation, Texas, Revenue Bonds,  
11/11 at 100.00  
CCC+  
7,508  
   
American Airlines Inc., Series 1999, 6.375%, 5/01/35 (Alternative Minimum Tax)  
     
3,000  
 
Danbury Higher Education Authority Inc., Texas, Golden Rule Charter School Revenue Bonds,  
2/18 at 100.00  
BB+  
2,601,990  
   
Series 2008A, 6.500%, 8/15/38  
     
975  
 
Hidalgo Willacy Housing Finance Corporation, Texas, Multifamily Housing Revenue Bonds,  
1/14 at 102.00  
N/R  
916,403  
   
Heritage Square Apartments Project, Series 2003A, 7.000%, 1/01/39  
     
1,330  
 
La Vernia Higher Education Financing Corporation, Texas, Education Revenue Bonds, Amigos Por  
2/16 at 100.00  
N/R  
1,158,829  
   
Vida Friends For Life Public Charter School, Series 2008, 6.375%, 2/15/37  
     
335  
 
North Texas Tollway Authority, Second Tier System Revenue Refunding Bonds, Series 2008F,  
1/18 at 100.00  
A3  
336,407  
   
5.750%, 1/01/38  
     
385  
 
Sabine River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric  
No Opt. Call  
CC  
378,998  
   
Company, Series 2001A, 5.500%, 5/01/22 (Mandatory put 11/01/11)  
     
2,000  
 
Sabine River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company  
8/13 at 101.00  
CC  
712,360  
   
LLC Project, Series 2003B, 6.150%, 8/01/22  
     
250  
 
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Senior  
No Opt. Call  
A  
268,193  
   
Lien Series 2008D, 6.250%, 12/15/26  
     
1,000  
 
Texas Private Activity Bond Surface Transportation Corporation, Senior Lien Revenue Bonds, LBJ  
6/20 at 100.00  
Baa3  
1,086,940  
   
Infrastructure Group LLC IH-635 Managed Lanes Project, Series 2010, 7.000%, 6/30/34  
     
970  
 
Texas Public Finance Authority, Charter School Revenue Bonds, School of Excellence Charter  
12/14 at 100.00  
BB+  
897,784  
   
School, Series 2004A, 7.000%, 12/01/34  
     
2,000  
 
Texas Turnpike Authority, Central Texas Turnpike System Revenue Bonds, First Tier Series  
8/12 at 100.00  
BBB+  
1,839,360  
   
2002A, 5.000%, 8/15/42 – AMBAC Insured  
     
550  
 
Travis County Health Facilities Development Corporation, Texas, Revenue Bonds, Westminster  
No Opt. Call  
N/R  
564,212  
   
Manor, Series 2010, 7.000%, 11/01/30  
     
17,845  
 
Total Texas  
   
15,740,589  
   
Utah – 3.3% (2.9% of Total Investments)  
     
   
Utah State Charter School Finance Authority, Charter School Revenue Bonds, Noah Webster  
     
   
Academy, Series 2008A:  
     
500  
 
6.250%, 6/15/28  
6/17 at 100.00  
N/R  
455,785  
1,430  
 
6.500%, 6/15/38  
6/17 at 100.00  
N/R  
1,276,046  
5,550  
 
Utah State Charter School Finance Authority, Revenue Bonds, Summit Academy Project, Series  
12/17 at 100.00  
BBB–  
4,837,935  
   
2007A, 5.800%, 6/15/38  
     
7,480  
 
Total Utah  
   
6,569,766  
   
Virgin Islands – 0.9% (0.8% of Total Investments)  
     
1,000  
 
Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project – Hovensa LLC, Series  
1/14 at 100.00  
Baa3  
956,270  
   
2003, 6.125%, 7/01/22 (Alternative Minimum Tax)  
     
1,000  
 
Virgin Islands Public Finance Authority, Revenue Bonds, Refinery Project Hovensa LLC, Series  
1/15 at 100.00  
Baa3  
841,880  
   
2007, 4.700%, 7/01/22 (Alternative Minimum Tax)  
     
2,000  
 
Total Virgin Islands  
   
1,798,150  
   
Virginia – 1.5% (1.3% of Total Investments)  
     
50  
 
Goochland County Industrial Development Authority, Virginia, Industrial Development Revenue  
12/11 at 100.00  
Ba2  
48,939  
   
Refunding Bonds, Nekoosa Packaging Corporation Project, Series 1998, 5.650%, 12/01/25  
     
   
(Alternative Minimum Tax)  
     
3,000  
 
Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds,  
6/17 at 100.00  
Baa3  
1,923,000  
   
Series 2007B1, 5.000%, 6/01/47  
     
1,000  
 
Virginia Small Business Financing Authority, Revenue Bonds Hampton Roads Proton Beam Therapy  
7/14 at 102.00  
N/R  
1,052,050  
   
Institute at Hampton University, LLC Project, Series 2009, 9.000%, 7/01/39  
     
4,050  
 
Total Virginia  
   
3,023,989  
   
Washington – 5.8% (5.0% of Total Investments)  
     
2,415  
 
FYI Properties, Washington, Lease Revenue Bonds, Washington State Department of Information  
6/19 at 100.00  
AA  
2,842,165  
   
Services Project, Tender Option Bond Trust 2009-14A&B, 19.625%, 6/01/34 (IF) (6)  
     
3,600  
 
Kalispel Indian Tribe, Washington, Priority Distribution Bonds, Series 2008, 6.750%, 1/01/38  
No Opt. Call  
N/R  
2,971,620  
7,000  
 
Washington State Health Care Facilities Authority, Revenue Bonds, Northwest Hospital and  
No Opt. Call  
N/R  
5,629,190  
   
Medical Center of Seattle, Series 2007, 5.700%, 12/01/32  
     
15  
 
Washington State Health Care Facilities Authority, Revenue Bonds, Virginia Mason Medical  
8/17 at 100.00  
BBB  
14,375  
   
Center, Series 2007B, 5.750%, 8/15/37 – ACA Insured  
     
13,030  
 
Total Washington  
   
11,457,350  
   
West Virginia – 0.2% (0.2% of Total Investments)  
     
400  
 
Ohio County Commission, West Virginia, Special District Excise Tax Revenue Bonds, Fort Henry  
3/16 at 100.00  
BBB  
399,712  
   
Economic Development, Series 2006B, 5.625%, 3/01/36  
     
   
Wisconsin – 1.9% (1.6% of Total Investments)  
     
30  
 
Green Bay Redevelopment Authority, Wisconsin, Industrial Development Revenue Bonds, Fort James  
No Opt. Call  
N/R  
30,260  
   
Project, Series 1999, 5.600%, 5/01/19 (Alternative Minimum Tax)  
     
1,000  
 
Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series  
12/18 at 102.00  
N/R  
914,350  
   
2006, 7.000%, 12/01/26  
     
1,000  
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Froedtert Community  
No Opt. Call  
AA–  
1,024,800  
   
Health, Inc. Obligated Group, Tender Option Bond Trust 3592, 19.005%, 4/01/17 (IF) (6)  
     
1,000  
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Healthcare  
2/12 at 101.00  
A+  
906,560  
   
Inc., Tender Option Bond Trust 09-3114, 16.404%, 2/15/26 – NPFG Insured (IF)  
     
1,500  
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan  
8/16 at 100.00  
BBB+  
859,500  
   
Healthcare System, Series 2006, Trust 2187, 15.185%, 8/15/34 (IF)  
     
4,530  
 
Total Wisconsin  
   
3,735,470  
$ 263,851  
 
Total Investments (cost $242,603,023) – 116.7%  
   
230,073,871  
   
Borrowings – (17.8)% (7)  
   
(35,000,000)
   
Other Assets Less Liabilities – 1.1% (8)  
   
2,071,018  
   
Net Assets Applicable to Common Shares – 100%  
   
$ 197,144,889  
 
 
 
 
 
 
 
 

 
 
                 
Investments in Derivatives  
           
Forward Swaps outstanding at July 31, 2011:  
           
   
Fund  
   
Fixed Rate  
   
Unrealized  
 
Notional  
Pay/Receive  
Floating Rate  
Fixed Rate  
Payment  
Effective  
Termination  
Appreciation  
Counterparty  
Amount  
Floating Rate  
Index  
(Annualized)  
Frequency  
Date (9)  
Date  
(Depreciation)  
Barclays Bank PLC  
$35,000,000  
Receive  
1-Month USD-LIBOR  
1.333%  
Monthly  
4/25/11  
4/25/14  
$(605,281)
Barclays Bank PLC  
6,000,000  
Receive  
3-Month USD-LIBOR  
4.098  
Semi-Annually
12/23/11  
12/23/35  
(255,968)
               
$(861,249)
 
 
Fair Value Measurements
 
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
 
Level 1 – Quoted prices in active markets for identical securities.
 
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of July 31, 2011:
 
         
 
Level 1  
Level 2  
Level 3  
Total  
Investments:  
       
Municipal Bonds  
$ —  
$223,323,183  
$6,750,688  
$230,073,871  
Derivatives:  
       
Forward Swaps*  
—  
(861,249)  
—  
(861,249)  
Total  
$ —  
$222,461,934  
$6,750,688  
$229,212,622  
* Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.  
     
 
 
The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:
 
   
 
Level 3  
 
Municipal Bonds  
Balance at the beginning of period  
$ 3,970,170  
Gains (losses):  
 
  Net realized gains (losses)  
(54,786)
  Net change in unrealized appreciation (depreciation)  
(1,607,988)
Purchases at cost  
821,102  
Sales at proceeds  
(140,024)
Net discounts (premiums)  
—  
Transfers in to  
3,762,214  
Transfers out of  
—  
Balance at the end of period  
$ 6,750,688  
* Represents net unrealized appreciation (depreciation).  
 
 
During the period ended July 31, 2011, the Fund recognized no significant transfers to or from Level 1 or Level 2. Transfers in and/or out of Level 3 are shown using end of period values.
 
Derivative Instruments and Hedging Activities
 
The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
 
The following tables presents the fair value of all derivative instruments held by the Fund as of July 31, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.
 
             
   
Location on the Statement of Assets and Liabilities  
 
Underlying  
Derivative  
Asset Derivatives  
   
Liability Derivatives  
Risk Exposure  
Instrument  
Location  
Value  
 
Location  
Value  
Interest Rate  
Swaps  
Unrealized appreciation on  
$ —  
 
Unrealized depreciation on  
$861,249  
   
interest rate swaps*  
   
interest rate swaps*  
 
* Value represents cumulative gross appreciation (depreciation) of swap contracts as reported in the Fund’s Portfolio of Investments.  
 
 
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 securities reflected as financing transactions, if any. 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, 2011, the cost of investments (excluding investmestments in derivatives) was $245,609,440.
 
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investmestments in derivatives) at July 31, 2011, were as follows:
 
   
Gross unrealized:  
 
Appreciation  
$ 10,016,096  
Depreciation  
(25,551,665)
Net unrealized appreciation (depreciation) of investments  
$(15,535,569)
 
 
     
(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc.  
   
(“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB  
   
by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of  
   
these national rating agencies.  
(4)  
 
For fair value measurement disclosure purposes, investment categorized as Level 3.  
(5)  
 
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income  
   
producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the  
   
payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s  
   
Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has  
   
directed the Fund’s custodian to cease accruing additional income on the Fund’s records.  
(6)  
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for  
   
investments in derivatives and/or inverse floating rate transactions.  
(7)  
 
Borrowings as a percentage of Total Investments is 15.2%.  
(8)  
 
Other Assets Less Liabilities include the Value and/or the Unrealized Appreciation/Depreciation of  
   
derivative instruments as listed within Investments in Derivatives.  
(9)  
 
Effective date represents the date on which both the Fund and Counterparty commence interest payment  
   
accruals on each forward swap contract.  
N/R  
 
Not rated.  
(IF)  
 
Inverse floating rate investment.  
USD-LIBOR  
 
United States Dollar-London Inter-Bank Offered Rate.  
 
 
 
 
 
 
 
Item 2. Controls and Procedures.

a.  
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)).
 
 
b.  
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: See 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 2 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date          September 29, 2011        
 
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, 2011        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date          September 29, 2011        
 

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