Company: NMZ
Filing Date: 2025-01-06
Form Type: N-CSR
Source: 0001193125-25-002222
Chunk: 4

Company: NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND
Filing Date: 2025-01-06
Form: N-CSR
Chunk 4
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 on pursuing its investment objectives. There were no material changes to the Fund’s positioning. |

| · |     | The portfolio management team took advantage of periods of market softness to buy bonds at attractive valuations and continued to carefully manage the Fund’s income sustainability via tactical trading. |

5 (continued) How did the Fund perform and what factors affected relative performance? For the 12-monthreporting period ended October 31, 2024, NMZ returned 24.79%. The Fund outperformed the returns of the S&P Municipal Yield Index, which returned 16.94%. Top contributors to relative performance

| · |     | The Fund’s use of leverage through inverse floating rate securities and the issuance of preferred shares. |

| · |     | Duration positioning, driven by the longer-duration profile and overweight to longer-dated bonds. |

| · |     | Credit quality positioning, specifically the overweight exposure to below-investment-grade andnon-ratedbonds. |

Top detractors from relative performance

| · |     | Sector allocation, particularly the underweight to senior living/life care and overweight to transportation. |

| · |     | Short position in a basket of energy stocks, implemented to manage risk against a potentially meaningful downturn in the Fund’s Vistra Vision equity position. |

Nuveen Municipal Credit Opportunities Fund (NMCO) What factors affected markets during the reporting period?

| · |     | Municipal bond yields ended the reporting period lower than where they started, although the path was not a straight line given uncertainties about the Federal Reserve’s plan for monetary easing and the U.S. election. |

| · |     | Credit fundamentals remained strong, with default activity at low levels. Although supply has increased in 2024year-to-date,demand for municipal debt remained solid. |

What key strategies were used to manage the Fund during the reporting period?

| · |     | The Fund’s trading activity remained focused on pursuing its investment objectives. There were no material changes to the Fund’s positioning. |

| · |     | The Fund worked to reinvest cash from called and maturing bonds and coupon income in new issues offering hightax-exemptincome and attractive spreads and in secondary market opportunities where pricing dislocations presented attractive relative value. |

How did the Fund perform and what factors affected relative performance? For the 12-monthreporting period ended October 31, 2024, NMCO returned 23.33%. The Fund outperformed the returns of the S&P Municipal Yield Index, which returned