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:          7/31/12         
 
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, 2012  
     
Principal  
   
Optional Call  
   
Amount (000)  
 
Description (1)  
Provisions (2)  
Ratings (3)  
Value  
   
Municipal Bonds – 113.5% (100.0% of Total Investments)  
     
   
Alabama – 1.5% (1.3% of Total Investments)  
     
$    2,290  
 
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health  
11/15 at 100.00  
Baa2  
$   2,397,401  
   
System Inc., Series 2005A, 5.250%, 11/15/20  
     
1,000  
 
Phenix City Industrial Development Board, Alabama, Environmental Improvement Revenue Bonds,  
11/12 at 100.00  
BBB  
1,009,800  
   
MeadWestvaco Corporation, Series 2002A, 6.350%, 5/15/35 (Alternative Minimum Tax)  
     
3,290  
 
Total Alabama  
   
3,407,201  
   
Arizona – 6.3% (5.5% of Total Investments)  
     
1,000  
 
Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, General Obligation  
7/17 at 100.00  
N/R  
1,035,660  
   
Bonds, Series 2007, 6.200%, 7/15/32  
     
1,500  
 
Phoenix Industrial Development Authority, Arizona, Lease Revenue Bonds, Rowan University  
6/22 at 100.00  
A+  
1,910,520  
   
Project, Tender Option Bond Trust 1086, 17.141%, 6/01/42 (IF) (4)  
     
55  
 
Pima County Industrial Development Authority, Arizona, Choice Education and Development  
No Opt. Call  
N/R  
56,584  
   
Charter School Revenue Bonds, Series 2006, 6.000%, 6/01/16  
     
495  
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds Legacy  
7/19 at 100.00  
N/R  
568,706  
   
Traditional School Project, Series 2009, 8.500%, 7/01/39  
     
1,000  
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Carden  
1/22 at 100.00  
BBB–  
1,073,170  
   
Traditional Schools Project, Series 2012, 7.500%, 1/01/42  
     
825  
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Paradise  
6/19 at 100.00  
BBB–  
840,642  
   
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  
CCC  
2,294,325  
   
2008, 7.000%, 12/01/27  
     
1,000  
 
Quechan Indian Tribe of the Fort Yuma Reservation, Arizona, Tribal Econmic Development Bonds,  
5/22 at 100.00  
N/R  
1,057,850  
   
Series 2012A, 9.750%, 5/01/25  
     
   
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc  
     
   
Prepay Contract Obligations, Series 2007:  
     
1,000  
 
5.500%, 12/01/37  
No Opt. Call  
B
1,012,250  
3,825  
 
5.000%, 12/01/37  
No Opt. Call  
A–  
3,976,279  
1,000  
 
Yuma County Industrial Development Authority, Arizona, Exempt Revenue Bonds, Far West Water &  
12/17 at 100.00  
N/R  
1,002,750  
   
Sewer Inc. Refunding, Series 2007A, 6.375%, 12/01/37 (Alternative Minimum Tax)  
     
14,275  
 
Total Arizona  
   
14,828,736  
   
California – 18.4% (16.2% of Total Investments)  
     
1,470  
 
Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender  
No Opt. Call  
AA  
2,262,947  
   
Option Bond Trust 2985, 17.356%, 4/01/16 (IF)  
     
2,000  
 
California Educational Facilities Authority, Revenue Bonds, Dominican University, Series 2006,  
12/16 at 100.00  
Baa3  
2,028,620  
   
5.000%, 12/01/36  
     
1,875  
 
California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital  
11/21 at 100.00  
AA–  
3,261,225  
   
and Clinics, Tender Option Bond Trust 3267, 19.740%, 11/15/40 (IF) (4)  
     
565  
 
California Housing Finance Agency, California, Home Mortgage Revenue Bonds, Series 2008B,  
8/17 at 100.00  
BBB  
568,599  
   
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  
1,050,490  
   
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  
AA  
1,207,830  
   
2009, 8.500%, 11/01/39  
     
1,300  
 
California State, General Obligation Bonds, Tender Option Bond Trust 3162, 19.560%, 3/01/18 –  
No Opt. Call  
AA–  
2,078,752  
   
AGM Insured (IF)  
     
520  
 
California Statewide Communities Development Authority, Revenue Bonds, American Baptist Homes  
10/19 at 100.00  
BBB+  
565,718  
   
of the West, Series 2010, 6.250%, 10/01/39  
     
1,000  
 
California Statewide Communities Development Authority, Statewide Community Infrastructure  
9/21 at 100.00  
N/R  
1,067,000  
   
Program Revenue Bonds, Series 2011A, 8.000%, 9/02/41  
     
500  
 
California Statewide Community Development Authority, Revenue Bonds, California Baptist  
11/21 at 100.00  
N/R  
603,575  
   
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  
1,882,834  
   
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+  
560,690  
   
Series 2007A, 5.000%, 4/01/31 – BHAC Insured (4)  
     
2,000  
 
California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System,  
7/18 at 100.00  
AA–  
2,240,920  
   
Series 2007C, 5.750%, 7/01/47 – FGIC Insured  
     
   
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
2,055,800  
1,945  
 
6.500%, 12/15/47  
12/17 at 100.00  
N/R  
1,992,516  
1,370  
 
Elk Grove Community Facilities District 2005-1, California, Special Tax Bonds, Series 2007,  
9/15 at 102.00  
N/R  
1,093,822  
   
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  
1,006,930  
   
Series 2006, 5.000%, 9/01/26  
     
   
Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement  
     
   
Asset-Backed Revenue Bonds, Tender Option Bond Trust 1011:  
     
1,500  
 
17.151%, 6/01/29 – AMBAC Insured (IF) (4)  
10/12 at 100.00  
A2  
1,506,360  
250  
 
17.151%, 6/01/38 – FGIC Insured (IF) (4)  
6/15 at 100.00  
A2  
274,190  
500  
 
17.130%, 6/01/45 (IF) (4)  
6/15 at 100.00  
A2  
546,180  
   
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  
BB–  
3,612,682  
1,000  
 
5.750%, 6/01/47  
6/17 at 100.00  
BB–  
846,630  
2,500  
 
5.125%, 6/01/47  
6/17 at 100.00  
BB–  
1,911,925  
1,000  
 
Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series  
8/15 at 100.00  
CC  
704,160  
   
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  
1,008,060  
   
6.000%, 6/01/35  
     
850  
 
Los Angeles County, California, Community Development Commission Headquarters Office Building,  
9/21 at 100.00  
Aa3  
1,193,536  
   
Lease Revenue Bonds, Community Development Properties Los Angeles County Inc., Tender Option  
     
   
Bond Trust Series 2011-23B, 18.898%, 9/01/42 (IF) (4)  
     
700  
 
Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International  
5/20 at 100.00  
AA  
1,047,984  
   
Airport, Tender Option Bond Trust 10-27B, 18.329%, 5/15/40 (IF) (4)  
     
500  
 
March Joint Powers Redevelopment Agency, California, March Air Force Base Redevelopment  
8/21 at 100.00  
BBB+  
585,750  
   
Project Tax Allocation Revenue Bonds, 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  
683,675  
   
5.250%, 11/01/21  
     
2,500  
 
San Bernardino Community College District, California, General Obligation Bonds, Tender Option  
8/16 at 100.00  
Aa2  
3,715,300  
   
Bond Trust 11780-1, 17.115%, 2/01/27 – AGM Insured (IF)  
     
39,295  
 
Total California  
   
43,164,700  
   
Colorado – 9.3% (8.2% 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  
1,179,810  
1,945  
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Windsor  
5/17 at 100.00  
BBB–  
1,946,400  
   
Academy, Series 2007A, 5.700%, 5/01/37  
     
1,920  
 
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Pikes Peak School of  
6/18 at 102.00  
N/R  
1,955,770  
   
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  
1,173,300  
   
Leavenworth Health Services Corporation, Tender Option Bond Trust 3702, 18.780%, 1/01/18 (IF) (4)  
     
1,000  
 
Colorado Health Facilities Authority, Revenue Bonds, Evangelical Lutheran Good Samaritan  
6/16 at 100.00  
A–  
1,040,530  
   
Society, Series 2006, 5.250%, 6/01/36  
     
   
Colorado Housing and Finance Authority, Revenue Bonds, Confluence Energy LLC Project,  
     
   
Series 2007:  
     
1,073  
 
5.000%, 9/01/16 (Alternative Minimum Tax) (5)  
No Opt. Call  
N/R  
658,301  
5,045  
 
6.750%, 4/01/27 (Alternative Minimum Tax)  
4/17 at 100.00  
N/R  
4,175,646  
1,000  
 
Compark Business Campus Metropolitan District, Douglas County, Colorado, General Obligation  
12/22 at 100.00  
N/R  
1,023,010  
   
Bonds, Series 2012A, 6.750%, 12/01/39 – RAAI Insured  
     
1,000  
 
Confluence Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series 2007,  
12/17 at 100.00  
N/R  
866,320  
   
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  
1,154,402  
   
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  
4,511  
   
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  
504,860  
   
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  
1,038,140  
   
8.000%, 12/01/25  
     
1,700  
 
Public Authority for Colorado Energy, Natural Gas Purchase Revenue Bonds, Colorado Springs  
No Opt. Call  
A
2,105,807  
   
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  
601,635  
1,000  
 
6.000%, 1/15/41  
7/20 at 100.00  
Baa3  
1,139,860  
2,000  
 
Stone Ridge Metropolitan District 2, Colorado, General Obligation Bonds, Limited Tazx  
12/17 at 100.00  
N/R  
510,500  
   
Convertible to Unlimited, Series 2007, 7.250%, 12/01/31  
     
815  
 
Three Springs Metropolitan District 3, Durango, La Plata County, Colorado, Property Tax  
12/20 at 100.00  
N/R  
859,450  
   
Supported Revenue Bonds, Series 2010, 7.750%, 12/01/39  
     
23,823  
 
Total Colorado  
   
21,938,252  
   
Connecticut – 0.7% (0.6% of Total Investments)  
     
1,000  
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue  
4/20 at 100.00  
N/R  
1,143,470  
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39  
     
500  
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series  
4/21 at 100.00  
N/R  
533,350  
   
2011aA, 7.000%, 4/01/41  
     
1,500  
 
Total Connecticut  
   
1,676,820  
   
District of Columbia – 1.8% (1.6% of Total Investments)  
     
2,500  
 
District of Columbia, Revenue Bonds, Howard University, Tender Option Bond Trust 1006,  
4/21 at 100.00  
A–  
4,271,000  
   
23.123%, 10/01/37 (IF) (4)  
     
   
Florida – 9.1% (8.0% of Total Investments)  
     
945  
 
Ave Maria Stewardship Community Development District, Florida, Capital Improvement Revenue  
5/16 at 100.00  
N/R  
846,257  
   
Bonds, Series 2006A, 5.125%, 5/01/38  
     
1,000  
 
Ave Maria Stewardship Community District, Florida, Capital Improvement Revenue Bonds, Series  
5/22 at 100.00  
N/R  
1,010,550  
   
2012, 6.700%, 5/01/42  
     
985  
 
Beacon Lakes Community Development District, Florida, Special Assessment Bonds, Series 2003A,  
5/13 at 101.00  
N/R  
1,010,492  
   
6.900%, 5/01/35  
     
975  
 
Beeline Community Development District, Palm Beach County, Florida, Special Assessment Bonds,  
5/18 at 100.00  
N/R  
1,038,746  
   
Series 2008A, 7.000%, 5/01/37  
     
430  
 
Colonial Country Club Community Development District, Florida, Capital Improvement Revenue  
5/13 at 101.00  
A
449,427  
   
Bonds, Series 2003, 6.400%, 5/01/33  
     
1,000  
 
Cordoba Ranch Community Development District, Hillsborough County, Florida, Special Assessment  
No Opt. Call  
N/R  
885,010  
   
Revenue Bonds, Series 2006, 5.550%, 5/01/37  
     
1,000  
 
Martin County Industrial Development Authority, Florida, Industrial Development Revenue Bonds,  
12/12 at 100.00  
BB+  
1,004,000  
   
Indiantown Cogeneration LP, Series 1994A, 7.875%, 12/15/25 (Alternative Minimum Tax)  
     
2,275  
 
Old Palm Community Development District, Florida, Special Assessment Bonds, Palm Beach  
5/15 at 101.00  
N/R  
2,298,342  
   
Gardens, Series 2004A, 5.900%, 5/01/35  
     
1,065  
 
Pine Island Community Development District, Florida, Special Assessment Bonds, Bella Collina,  
5/13 at 100.00  
N/R  
1,001,920  
   
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  
997,448  
   
6.000%, 5/01/37  
     
1,000  
 
Port Saint Lucie, Florida, Special Assessment Revenue Bonds, Southwest Annexation District 1B,  
7/17 at 100.00  
BBB  
1,035,620  
   
Series 2007, 5.000%, 7/01/33 – NPFG Insured  
     
480  
 
South Village Community Development District, Clay County, Florida, Capital Improvement  
5/13 at 100.00  
N/R  
434,126  
   
Revenue Bonds, Series 2005A, 5.700%, 5/01/35  
     
1,315  
 
Stoneybrook Venice Community Development District, Florida, Capital Improvement Revenue Bonds,  
5/18 at 100.00  
N/R  
1,379,119  
   
Series 2007, 6.750%, 5/01/38  
     
2,720  
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2006,  
5/14 at 101.00  
BB  
2,416,720  
   
5.400%, 5/01/37  
     
   
Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2007:  
     
1,150  
 
6.375%, 5/01/17 (5), (6)  
No Opt. Call  
N/R  
565,107  
5,820  
 
5.250%, 5/01/39 (5), (6)  
5/17 at 100.00  
N/R  
2,859,932  
   
Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003:  
     
445  
 
6.000%, 5/01/23  
5/13 at 101.00  
N/R  
447,648  
1,750  
 
6.125%, 5/01/35  
5/13 at 101.00  
N/R  
1,755,688  
25,350  
 
Total Florida  
   
21,436,152  
   
Georgia – 1.7% (1.5% of Total Investments)  
     
990  
 
Atlanta, Georgia, Tax Allocation Bonds, Beltline Project Series 2008A. Remarketed, 7.500%, 1/01/31  
1/19 at 100.00  
N/R  
1,170,220  
1,250  
 
Clayton County Development Authority, Georgia, Special Facilities Revenue Bonds, Delta Air  
6/20 at 100.00  
CCC+  
1,540,563  
   
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+  
1,288,498  
   
Lines, Inc. Project, Series 2009B, 9.000%, 6/01/35 (Alternative Minimum Tax)  
     
3,410  
 
Total Georgia  
   
3,999,281  
   
Illinois – 12.4% (10.9% of Total Investments)  
     
1,000  
 
Cook County, Illinois, Recovery Zone Facility Revenue Bonds, Navistar International  
10/20 at 100.00  
B2  
1,036,500  
   
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  
1,287,156  
   
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  
1,106,842  
   
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  
BBB–  
1,029,750  
   
5.500%, 5/15/23  
     
3,370  
 
Illinois Finance Authority, Charter School Revenue Bonds, Chicago Charter School Foundation,  
12/16 at 100.00  
BBB+  
3,431,469  
   
Series 2007, 5.000%, 12/01/36  
     
500  
 
Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Series 2010A, 7.750%, 5/15/30  
5/20 at 100.00  
N/R  
586,870  
500  
 
Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Temps 75 Series 2010D-1,  
11/12 at 100.00  
N/R  
502,640  
   
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
1,726,650  
   
4702, 20.273%, 11/15/37 (IF) (4)  
     
1,900  
 
Illinois Finance Authority, Revenue Bonds, Provena Health, Series 2009A, 7.750%, 8/15/34  
8/19 at 100.00  
BBB+  
2,448,587  
1,770  
 
Illinois Finance Authority, Revenue Bonds, Sherman Health Systems, Series 2007A,  
8/17 at 100.00  
BBB  
1,908,786  
   
5.500%, 8/01/37  
     
2,000  
 
Illinois Finance Authority, Revenue Bonds, Silver Cross Hospital and Medical Centers,  
8/19 at 100.00  
BBB+  
2,388,940  
   
Series 2009, 6.875%, 8/15/38  
     
500  
 
Illinois FInance Authority, Revenue Bonds, Southern Illinois Healthcare Enterprises, Inc.,  
3/20 at 100.00  
AA–  
560,830  
   
Series 2005 Remarketed, 5.250%, 3/01/30 – AGM Insured  
     
2,000  
 
Illinois Finance Authority, Student Housing Revenue Bonds, MJH Education Assistance Illinois  
6/14 at 100.00  
Ca  
1,720,000  
   
IV LLC, Fullerton Village Project, Series 2004A, 5.125%, 6/01/35 (6)  
     
500  
 
Illinois Health Facilities Authority, Revenue Refunding Bonds, Elmhurst Memorial Healthcare,  
1/13 at 100.00  
BBB+  
508,470  
   
Series 2002, 5.500%, 1/01/22  
     
200  
 
Illinois State, General Obligation Bonds, Series 2012A, 5.000%, 3/01/36  
3/22 at 100.00  
A
216,696  
   
Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel  
     
   
Revenue Bonds, Series 2005A-2:  
     
250  
 
5.500%, 1/01/30 – ACA Insured  
1/16 at 100.00  
CCC  
166,408  
2,000  
 
5.500%, 1/01/36 – ACA Insured  
1/16 at 100.00  
CCC  
1,335,240  
   
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  
CCC  
153,843  
175  
 
5.250%, 1/01/36  
1/16 at 100.00  
CCC  
92,909  
800  
 
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series  
6/21 at 100.00  
A–  
932,600  
   
2010, 6.000%, 6/01/28  
     
   
Southwestern Illinois Development Authority, Illinois, Saint Clair County Comprehensive Mental  
     
   
Health Center, Series 2007:  
     
1,025  
 
6.200%, 6/01/17  
No Opt. Call  
N/R  
1,097,017  
3,020  
 
6.625%, 6/01/37  
6/17 at 103.00  
N/R  
3,167,014  
975  
 
Southwestern Illinois Development Authority, Local Government Program Revenue Bonds, Granite  
3/14 at 100.00  
N/R  
1,000,262  
   
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  
811,455  
   
Assessment Bonds, Series 2009, 7.875%, 3/01/32  
     
28,050  
 
Total Illinois  
   
29,216,934  
   
Indiana – 3.6% (3.2% of Total Investments)  
     
4,100  
 
Hospital Authority of Delaware County, Indiana, Hospital Revenue Bonds, Cardinal Health  
8/16 at 100.00  
Baa2  
4,342,761  
   
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  
A2  
2,079,200  
   
Guaranteed, Tender Option Bond Trust 2882, 17.700%, 4/15/17 (IF)  
     
   
Vigo County Hospital Authority, Indiana, Revenue Bonds, Union Hospital, Series 2007:  
     
250  
 
5.700%, 9/01/37  
9/17 at 100.00  
N/R  
257,963  
1,800  
 
5.800%, 9/01/47  
9/17 at 100.00  
N/R  
1,859,130  
7,400  
 
Total Indiana  
   
8,539,054  
   
Kentucky – 0.3% (0.2% of Total Investments)  
     
500  
 
Kentucky Economic Development Finance Authority, Hospital Facilities Revenue Bonds, Owensboro  
6/20 at 100.00  
BBB+  
583,290  
   
Medical Health System, Series 2010A, 6.000%, 6/01/30  
     
   
Louisiana – 3.4% (3.0% of Total Investments)  
     
1,000  
 
Louisana Public Facilities Authority, Revenue Bonds, Lake Charles Charter Academy Foundation  
12/21 at 100.00  
N/R  
1,057,130  
   
Project, Series 2011A, 7.750%, 12/15/31  
     
500  
 
Louisiana Local Government Environment Facilities and Community Development Authority, Revenue  
11/20 at 100.00  
BBB–  
580,730  
   
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–  
3,940,860  
   
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  
1,826,280  
   
Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 (6)  
     
555  
 
Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,  
11/12 at 100.00  
A–  
566,094  
   
Series 2001B, 5.875%, 5/15/39  
     
9,555  
 
Total Louisiana  
   
7,971,094  
   
Maryland – 0.5% (0.4% of Total Investments)  
     
375  
 
Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,  
9/16 at 100.00  
BB+  
379,928  
   
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  
684,460  
   
Center, Series 2006A, 5.000%, 12/01/31  
     
1,375  
 
Total Maryland  
   
1,064,388  
   
Massachusetts – 0.0% (0.0% of Total Investments)  
     
90  
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,  
9/12 at 102.00  
Caa3  
70,405  
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)  
     
   
Michigan – 1.3% (1.2% of Total Investments)  
     
1,750  
 
Michigan Public Educational Facilities Authority, Charter School Revenue Bonds, American  
12/17 at 100.00  
N/R  
1,750,578  
   
Montessori Academy, Series 2007, 6.500%, 12/01/37  
     
960  
 
Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, David  
6/17 at 100.00  
N/R  
960,106  
   
Ellis Academy-West Charter School Project, Series 2007, 5.875%, 6/01/37  
     
500  
 
Summit Academy North, Michigan, Revenue Bonds, Public School Academy Series 2005,  
11/15 at 100.00  
BB+  
443,135  
   
5.500%, 11/01/35  
     
3,210  
 
Total Michigan  
   
3,153,819  
   
Minnesota – 1.3% (1.2% of Total Investments)  
     
3,000  
 
St. Paul Housing and Redevelopment Authority, Minnesota, Revenue Bonds, Healtheast Inc.,  
11/15 at 100.00  
BBB–  
3,124,740  
   
Series 2005, 6.000%, 11/15/35  
     
   
Mississippi – 0.3% (0.3% of Total Investments)  
     
975  
 
Mississippi Business Finance Corporation, Gulf Opportunity Zone Revenue Bonds, Roberts Hotel  
2/21 at 102.00  
N/R  
785,460  
   
of Jackson, LLC Project, Series 2010, 8.500%, 2/01/30 (6)  
     
   
Missouri – 2.9% (2.5% of Total Investments)  
     
1,000  
 
Hanley Road Corridor Transportation Development District, Brentwood and Maplewood, Missouri,  
10/19 at 100.00  
A–  
1,112,810  
   
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–  
1,045,160  
   
Independence, Missouri – Events Center Project, Series 2009F, 6.250%, 4/01/38  
     
990  
 
Orpheum Theater Community Improvement District, Saint Louis, Missouri, Property and Sales Tax  
3/14 at 102.00  
N/R  
766,864  
   
Revenue Bonds, Series 2009, 9.000%, 3/01/29  
     
1,100  
 
Saint Louis Industrial Development Authority, Missouri, Confluence Academy Project, Series  
6/15 at 103.00  
N/R  
1,028,445  
   
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  
1,042,520  
   
Facilities Improvement, Special Revenue Bonds, Kiel Opera House Project, Series 2010B,  
     
   
7.000%, 9/01/35  
     
1,868  
 
Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Fashion Square Redevelopment  
9/12 at 100.00  
N/R  
1,768,043  
   
Project, Series 2008A, 6.300%, 8/22/26  
     
6,958  
 
Total Missouri  
   
6,763,842  
   
Nevada – 1.9% (1.7% of Total Investments)  
     
2,500  
 
Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,  
No Opt. Call  
AA+  
3,520,400  
   
Tender Option Bond Trust Series 2010-11836, 17.765%, 6/01/16 (IF)  
     
895  
 
Sparks Tourism Improvement District 1, Legends at Sparks Marina, Nevada, Senior Sales Tax  
6/18 at 100.00  
B2  
926,173  
   
Revenue Bonds Series 2008A, 6.500%, 6/15/20  
     
3,395  
 
Total Nevada  
   
4,446,573  
   
New Jersey – 3.2% (2.9% of Total Investments)  
     
2,000  
 
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental  
9/12 at 100.00  
B
2,008,060  
   
Airlines Inc., Series 1999, 6.250%, 9/15/19 (Alternative Minimum Tax)  
     
1,000  
 
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental  
11/12 at 100.00  
B
1,003,830  
   
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–  
3,432,224  
   
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–  
1,164,150  
   
Healthcare System Obligated Group Issue, Series 2008, 6.000%, 7/01/18  
     
7,200  
 
Total New Jersey  
   
7,608,264  
   
New Mexico – 0.7% (0.6% of Total Investments)  
     
485  
 
Montecito Estates Public Improvement District, New Mexico, Special Levee Revenue Bonds, Series  
10/17 at 100.00  
N/R  
499,720  
   
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  
BBB  
1,035,570  
   
Project, Series 2010A, 5.875%, 7/01/30  
     
1,450  
 
Total New Mexico  
   
1,535,290  
   
New York – 3.0% (2.6% of Total Investments)  
     
   
New York City Industrial Development Agency, New York, American Airlines-JFK International  
     
   
Airport Special Facility Revenue Bonds, Series 2005:  
     
1,000  
 
7.500%, 8/01/16 (Alternative Minimum Tax)  
No Opt. Call  
N/R  
1,055,620  
1,000  
 
7.625%, 8/01/25 (Alternative Minimum Tax)  
8/16 at 101.00  
N/R  
1,055,720  
1,000  
 
8.000%, 8/01/28  
8/16 at 101.00  
N/R  
1,066,440  
   
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  
266,470  
2,000  
 
5.875%, 10/01/46  
10/17 at 102.00  
N/R  
1,065,220  
1,030  
 
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special  
7/16 at 101.00  
N/R  
1,006,053  
   
Needs Facilities Pooled Program, Series 2008A-1, 5.800%, 7/01/23  
     
   
New York Liberty Development Corporation, Second Priority Liberty Revenue Refunding Bonds,  
     
   
Bank of America Tower at One Bryant Park Project, Tender Option Bond Trust PT4704:  
     
250  
 
17.865%, 1/15/44 (IF) (4)  
1/20 at 100.00  
AA  
358,920  
625  
 
17.865%, 1/15/44 (IF) (4)  
1/20 at 100.00  
AA  
897,300  
265  
 
Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air  
12/20 at 100.00  
BBB–  
300,923  
   
Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/42  
     
7,670  
 
Total New York  
   
7,072,666  
   
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  
1,991,138  
   
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  
1,108,840  
1,000  
 
6.125%, 6/01/35  
6/18 at 100.00  
BBB  
1,104,870  
3,970  
 
Total North Carolina  
   
4,204,848  
   
Ohio – 1.9% (1.7% of Total Investments)  
     
500  
 
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue  
6/17 at 100.00  
BB  
407,110  
   
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  
1,881,050  
   
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  
1,870,550  
   
Obligated Group, Tender Option Bond Trust 3551, 20.132%, 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  
280,240  
   
Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (6)  
     
5,450  
 
Total Ohio  
   
4,438,950  
   
Oklahoma – 1.1% (0.9% of Total Investments)  
     
1,000  
 
Fort Sill Apache Tribe of Oklahoma Economic Development Authority, Gaming Enterprise Revenue  
8/21 at 100.00  
N/R  
1,066,540  
   
Bonds, Fort Sill Apache Casino, Series 2011A, 8.500%, 8/25/26  
     
320  
 
Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, American Airlines Inc., Series 1995,  
12/12 at 100.00  
N/R  
326,400  
   
6.250%, 6/01/20  
     
1,000  
 
Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,  
No Opt. Call  
N/R  
1,148,320  
   
Series 2000A, 7.750%, 6/01/35 (Mandatory put 12/01/14)  
     
2,320  
 
Total Oklahoma  
   
2,541,260  
   
Pennsylvania – 2.8% (2.4% of Total Investments)  
     
500  
 
Allegheny Country Industrial Development Authority, Pennsylvania, Environmental Improvement  
11/19 at 100.00  
BB  
547,525  
   
Revenue Bonds, United States Steel Corporation Project, Refunding Series 2009, 6.750%, 11/01/24  
     
1,000  
 
Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn  
11/17 at 100.00  
B+  
820,860  
   
Allegheny Health System, Series 2007A, 5.375%, 11/15/40  
     
1,010  
 
Chester County Industrial Development Authority, Pennsylvania, Avon Grove Charter School  
12/17 at 100.00  
BBB–  
1,052,208  
   
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  
296,400  
   
Bonds, New Regional Medical Center Project, Tender Option Bond Trust 62B, 19.596%, 8/01/38 (IF) (4)  
     
2,115  
 
Pennsylvania Economic Development Finance Authority, Solid Waste Disposal Revenue Bonds (USG  
12/12 at 100.00  
B–  
2,052,185  
   
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+  
1,294,880  
   
Trust 4657, 15.822%, 10/01/29 (IF) (4)  
     
395  
 
Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Health System  
5/20 at 100.00  
AA  
433,516  
   
Revenue Bonds, Jefferson Health System, Series 2010B, 5.000%, 5/15/40 (4)  
     
6,205  
 
Total Pennsylvania  
   
6,497,574  
   
Puerto Rico – 0.0% (0.0% of Total Investments)  
     
20  
 
Puerto Rico Ports Authority, Special Facilities Revenue Bonds, American Airlines Inc., Series  
12/12 at 100.00  
N/R  
13,041  
   
1996A, 6.250%, 6/01/26 (Alternative Minimum Tax) (6)  
     
   
Rhode Island – 0.3% (0.2% of Total Investments)  
     
500  
 
Rhode Island Health & Educational Building Corporation, Health Facilities Revenue Bonds,  
1/21 at 100.00  
N/R  
587,300  
   
Tockwotton Home, Series 2011, 8.375%, 1/01/46  
     
   
South Carolina – 1.1% (0.9% of Total Investments)  
     
3,477  
 
Lancaster County, South Carolina, Special Assessment Bonds, Edgewater II Improvement District,  
No Opt. Call  
N/R  
1,743,368  
   
Series 2007B, 7.700%, 11/01/17 (6)  
     
625  
 
South Carolina Jobs-Economic Development Authority, Hospital Revenue Bonds, Palmetto Health,  
8/21 at 100.00  
AA–  
757,663  
   
Refunding Series 2011A, 6.500%, 8/01/39 – AGM Insured  
     
4,102  
 
Total South Carolina  
   
2,501,031  
   
Tennessee – 1.1% (1.0% of Total Investments)  
     
500  
 
Johnson City Health and Educational Facilities Board, Tennessee, Hospital Revenue Bonds,  
7/20 at 100.00  
BBB+  
593,225  
   
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 (6)  
11/17 at 100.00  
N/R  
29,985  
1,000  
 
5.500%, 11/01/46 (6)  
11/17 at 100.00  
N/R  
19,990  
1,824  
 
The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006B, 5.625%, 9/01/26  
No Opt. Call  
BBB  
1,958,082  
4,824  
 
Total Tennessee  
   
2,601,282  
   
Texas – 6.8% (6.0% of Total Investments)  
     
1,000  
 
Alliance Airport Authority, Texas, Special Facilities Revenue Bonds, American Airlines Inc.,  
12/12 at 100.00  
N/R  
652,380  
   
Series 2007, 5.750%, 12/01/29 (Alternative Minimum Tax) (6)  
     
500  
 
Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company  
No Opt. Call  
CC  
377,245  
   
LLC, Series 2003A, 6.750%, 4/01/38 (Mandatory put 4/01/13) (Alternative Minimum Tax)  
     
250  
 
Central Texas Regional Mobility Authority, Senior Lien Revenue Bonds, Series 2011,  
1/21 at 100.00  
BBB–  
290,075  
   
6.000%, 1/01/41  
     
2,100  
 
Clifton Higher Education Finance Corporation, Texas, Education Revenue Bonds, Tejano Center  
2/18 at 100.00  
BBB–  
2,438,856  
   
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,  
11/12 at 100.00  
N/R  
4,664  
   
American Airlines Inc., Series 1999, 6.375%, 5/01/35 (Alternative Minimum Tax) (6)  
     
2,910  
 
Danbury Higher Education Authority Inc., Texas, Golden Rule Charter School Revenue Bonds,  
2/18 at 100.00  
BB+  
2,989,996  
   
Series 2008A, 6.500%, 8/15/38  
     
965  
 
Hidalgo Willacy Housing Finance Corporation, Texas, Multifamily Housing Revenue Bonds,  
1/14 at 102.00  
N/R  
988,073  
   
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  
1,358,156  
   
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  
368,333  
   
5.750%, 1/01/38  
     
2,000  
 
Sabine River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company  
8/13 at 101.00  
CC  
200,500  
   
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–  
304,148  
   
Lien Series 2008D, 6.250%, 12/15/26  
     
1,000  
 
Texas Private Activity Bond Surface Transporation Corporation, Senior Lien Revenue Bonds, NTE  
12/19 at 100.00  
Baa2  
1,203,530  
   
Mobility Partners LLC North Tarrant Express Managed Lanes Project, Series 2009, 6.875%, 12/31/39  
     
1,000  
 
Texas Private Activity Bond Surface Transportation Corporation, Senior Lien Revenue Bonds, LBJ  
6/20 at 100.00  
Baa3  
1,234,690  
   
Infrastructure Group LLC IH-635 Managed Lanes Project, Series 2010, 7.000%, 6/30/34  
     
955  
 
Texas Public Finance Authority Charter School Finance Corporation, Charter School Revenue  
12/14 at 100.00  
BB+  
979,782  
   
Bonds, School of Excellence Education Project, 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+  
2,016,720  
   
2002A, 5.750%, 8/15/38 – AMBAC Insured  
     
550  
 
Travis County Health Facilities Development Corporation, Texas, Revenue Bonds, Westminster  
11/20 at 100.00  
BB+  
651,756  
   
Manor, Series 2010, 7.000%, 11/01/30  
     
17,155  
 
Total Texas  
   
16,058,904  
   
Utah – 3.2% (2.9% of Total Investments)  
     
   
Utah State Charter School Finance Authority, Charter School Revenue Bonds, Noah Webster  
     
   
Academy, Series 2008A:  
     
480  
 
6.250%, 6/15/28  
6/17 at 100.00  
N/R  
484,762  
1,430  
 
6.500%, 6/15/38  
6/17 at 100.00  
N/R  
1,443,485  
5,550  
 
Utah State Charter School Finance Authority, Revenue Bonds, Summit Academy Project, Series  
12/17 at 100.00  
BBB–  
5,693,523  
   
2007A, 5.800%, 6/15/38  
     
7,460  
 
Total Utah  
   
7,621,770  
   
Virginia – 1.4% (1.3% of Total Investments)  
     
3,000  
 
Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds,  
6/17 at 100.00  
B2  
2,104,140  
   
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  
1,085,370  
   
Institute at Hampton University, LLC Project, Series 2009, 9.000%, 7/01/39  
     
200  
 
Virginia Small Business Financing Authority, Senior Lien Revenue Bonds, 95 Express Lanes LLC  
1/22 at 100.00  
BBB–  
211,374  
   
Project, Series 2012, 5.000%, 1/01/40 (Alternative Minimum Tax)  
     
4,200  
 
Total Virginia  
   
3,400,884  
   
Washington – 6.0% (5.3% of Total Investments)  
     
2,415  
 
FYI Properties, Washington, Lease Revenue Bonds, Washington State Department of Information  
6/19 at 100.00  
AA  
3,733,687  
   
Services Project, Tender Option Bond Trust 2009-14A&B, 20.067%, 6/01/34 (IF) (4)  
     
3,600  
 
Kalispel Indian Tribe, Washington, Priority Distribution Bonds, Series 2008, 6.750%, 1/01/38  
1/18 at 100.00  
N/R  
3,145,572  
7,000  
 
Washington State Health Care Facilities Authority, Revenue Bonds, Northwest Hospital and  
12/17 at 100.00  
N/R  
7,163,940  
   
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  
15,944  
   
Center, Series 2007B, 5.750%, 8/15/37 – ACA Insured  
     
13,030  
 
Total Washington  
   
14,059,143  
   
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  
420,872  
   
Economic Development, Series 2006B, 5.625%, 3/01/36  
     
   
Wisconsin – 2.2% (2.0% of Total Investments)  
     
30  
 
Green Bay Redevelopment Authority, Wisconsin, Industrial Development Revenue Bonds, Fort James  
No Opt. Call  
N/R  
34,225  
   
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  
958,000  
   
2006, 7.000%, 12/01/26  
     
1,000  
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Froedtert Community  
No Opt. Call  
AA–  
1,444,200  
   
Health, Inc. Obligated Group, Tender Option Bond Trust 3592, 18.885%, 4/01/17 (IF) (4)  
     
1,500  
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan  
8/16 at 100.00  
A–  
1,773,660  
   
Healthcare System, Series 2006, Trust 2187, 14.439%, 8/15/34 (IF)  
     
1,000  
 
Wisconsin Public Finance Authority, Revenue Bonds, SearStone Retirement Community of Cary  
6/22 at 100.00  
N/R  
1,051,540  
   
North Carolina, Series 2012A, 8.625%, 6/01/47  
     
4,530  
 
Total Wisconsin  
   
5,261,625  
$ 268,437  
 
Total Municipal Bonds (cost $245,974,151)  
   
$ 266,866,445  
Shares  
 
Description (1)  
   
Value  
   
Promissory Note – 0.0% (0.0% of Total Investments)  
     
217,841  
 
Confluence Energy, LLC (5), (7)  
   
76,244  
   
Total Promissory Note (cost $76,244)  
   
76,244  
   
Total Investments (cost $246,050,395) – 113.5%  
   
266,942,689  
   
Borrowings – (14.9)% (8), (9)  
   
(35,000,000)
   
Other Assets Less Liabilities – 1.4% (10)  
   
3,270,596  
   
Net Assets Applicable to Common Shares – 100%  
   
$ 235,213,285  
 
 

 
                 
Investments in Derivatives at July 31, 2012:  
         
Swaps outstanding  
             
   
Fund  
   
Fixed Rate  
   
Unrealized  
 
Notional  
Pay/Receive  
Floating Rate  
Fixed Rate  
Payment  
Effective  
Termination  
Appreciation  
Counterparty  
Amount  
Floating Rate  
Index  
(Annualized)  
Frequency  
Date (11)  
Date  
(Depreciation)  
Barclays Bank PLC  
$35,000,000  
Receive  
1-Month USD-LIBOR  
1.333%  
Monthly  
4/25/11  
4/25/14  
$ (656,358)  
Morgan Stanley  
7,000,000  
Receive  
3-Month USD-LIBOR  
2.788  
Semi-Annually  
1/16/13  
1/16/41  
(601,337)  
               
$(1,257,695)  
 
 
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 following is a summary of the three-tiered hierarchy of valuation input levels.
 
     Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
     Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
     Level 3 – Prices are determined using 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 the end of the reporting period:
 
         
 
Level 1  
Level 2  
Level 3  
Total  
Long-Term Investments:  
       
Municipal Bonds  
$ —  
$262,783,105  
$4,083,340  
$266,866,445  
Promissory Note  
—
—
76,244  
76,244  
Derivatives:  
       
Swaps*  
—
(1,257,695)  
—
(1,257,695)  
Total  
$ —  
$261,525,410  
$4,159,584  
$265,684,994  
 
 
* 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  
Level 3  
Level 3  
 
Municipal Bonds  
Promissory Notes  
Total  
Balance at the beginning of period  
$ 6,360,854  
$ 261,409  
$ 6,622,263  
Gains (losses):  
     
Net realized gains (losses)  
—
—
—
Net change in unrealized appreciation (depreciation)  
2,702,237  
(185,165)  
2,517,072  
Purchases at cost  
494,500  
—
494,500  
Sales at proceeds  
(258,675)  
—
(258,675)  
Net discounts (premiums)  
—
—
—
Transfers in to  
2,859,932  
—
2,859,932  
Transfers out of  
(8,075,508)  
—
(8,075,508)  
Balance at the end of period  
$ 4,083,340  
$ 76,244  
$ 4,159,584  
 
 
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of July 31, 2012, were as follows:
 
         
 
Market Value  
Techniques  
Unobservable Inputs  
Range  
Municipal Bonds  
$4,159,584  
Discounted Cash Flow  
Discount Rate  
0-25%  
     
Liquidity Discount  
0-1%  
     
Subordination Spread  
0-6%  
 
 
The table below presents the transfers in and out of the valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers into or out of an assigned level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent a manager determines that the valuation inputs or methodologies may impact the valuation of those securities.
 
                     
  Level 1       Level 2       Level 3  
Transfers In  
 
(Transfers Out)  
 
Transfers In  
 
(Transfers Out)  
 
Transfers In  
 
(Transfers Out)  
$ —  
 
$ —  
 
$8,075,508  
 
$(2,859,932)  
 
$2,859,932  
 
$(8,075,508)  
 
The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
 
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
 
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.
 
Derivative Instruments and Hedging Activities
 
The Fund records 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, 2012, 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 depreciation on  
$(1,257,695)  
         
swaps  
 
 
 
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, 2012, the cost of investments (excluding investments in derivatives) was $248,454,664.
 
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at July 31, 2012, were as follows:
 
   
Gross unrealized:  
 
Appreciation  
$ 34,409,889  
Depreciation  
(15,921,864)
Net unrealized appreciation (depreciation) of investments  
$ 18,488,025  
 
 
     
(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 Investors 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)  
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for  
   
investments in derivatives and/or inverse floating rate transactions.  
(5)  
 
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board  
   
of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3.  
(6)  
 
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.  
(7)  
 
Promissory Note entered into as part of the acquisition of competing creditor interests and claims in connection  
   
with the restructuring of Colorado State Housing and Finance Authority Revenue – Confluence Energy LLC Revenue  
   
Bonds, 6.20% coupon, maturity 4/1/2016, and the recapitalization of the bonds’ issuer.  
(8)  
 
Borrowings as a percentage of Total Investments is 13.1%.  
(9)  
 
The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.  
(10)  
 
Other Assets Less Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments  
   
as noted within Investments in Derivatives at July 31, 2012.  
(11)  
 
Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals  
   
on each 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 28, 2012        
 
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 28, 2012        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:          September 28, 2012        
 

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