Company: NMZ
Filing Date: 2025-01-06
Form Type: N-CSR
Source: 0001193125-25-002222
Chunk: 3

Company: NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND
Filing Date: 2025-01-06
Form: N-CSR
Chunk 3
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 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 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. |

How did the Fund perform and what factors affected relative performance? For the 12-monthreporting period ended October 31, 2024, NZF returned 19.50%. The Fund outperformed the returns of the NZF Blended Benchmark, which returned 12.62%. The NZF Blended Benchmark consists of: 1) 60% S&P Municipal Bond Investment Grade Index and 2) 40% S&P Municipal Bond High Yield Index. Top contributors to relative performance

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

| · |     | Duration and yield curve positioning, largely driven by an overweight to the longest end of the yield curve and an underweight to the shortest end of the yield curve. |

| · |     | Credit quality positioning, especially the underweight allocations toAAA-ratedandAA-ratedbonds and overweight allocations toBBB-ratedand below-investment-grade bonds. |

| · |     | Although overall sector allocation detracted, an overweight to the health care sector was a positive contributor. |

Top detractors from relative performance

| · |     | Sector allocation, particularly an underweight to the life care and industrial development revenue sectors. |

| · |     | While overall credit quality positioning was beneficial to relative performance, an overweight toA-ratedbonds detracted. |

Nuveen Municipal High Income Opportunity Fund (NMZ) 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