Company: NMZ
Filing Date: 2025-01-06
Form Type: N-CSR
Source: 0001193125-25-002222
Chunk: 75

Company: NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND
Filing Date: 2025-01-06
Form: N-CSR
Chunk 75
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 NMCO used total return swaps to help manage the equity risk of the portfolio’s Vistra Vision exposure. In a total return swap, one party agrees to pay the other the total return of a defined underlying asset during a specified period, in return for periodic payments based on a fixed or variable interest rate or the total return from other underlying assets. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined baskets of loans and mortgages. The Fund entered into a total return swap involving an underlying index or basket of securities to create exposure to a number of securities in a single trade. An index total return swap can be used by the Fund to assume risk, without the complications of buying the component securities from what may not always be the most liquid of markets. 195 Notes to Financial Statements (continued) Total return swap contracts are valued daily. Changes in the value of a total return swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, where applicable. For over-the-counter(“OTC”) swaps, the daily change in market value of the swap contract, along with any daily interest accrued, are recognized as components of “Unrealized appreciation or depreciation on total return swaps” on the Statement of Assets and Liabilities, where applicable. As of the end of the reporting period, the Funds did not hold total return swaps. The average notional amount of Total Return swap contracts outstanding during the current fiscal period was as follows:

| Fund |     | Average Notional Amount of Swap Contracts 
 Outstanding*                              |
| NZF  |     | $–                                        |
| NMZ  |     | –                                         |
| NMCO |     | –                                         |

* The average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period and at the end of each fiscal quarter within the current fiscal period. The Fund did not hold any open swap contracts at the end of any fiscal quarter within the current fiscal period. During the current fiscal period, the effect of derivative contracts on the Funds’ Statements of Operations was as follows:

| Derivative Instrument |     | Risk Exposure |     | Net Realized Gain 
            (Loss) |     | Change in      
 Unrealized     
 Appreciation   
 (Depreciation)