Form N-Q

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         811-06379         

        Nuveen Insured Municipal Opportunity Fund, Inc.         
(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:         7/31/08         

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 Insured Municipal Opportunity Fund, Inc. (NIO)             
    July 31, 2008             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Alabama – 11.5% (6.8% of Total Investments)             
$       10,500    Birmingham Waterworks And Sewerage Board, Alabama, Water and Sewerage Revenue Bonds,    1/17 at 100.00    AA   $  9,361,590 
     Series 2007A, 4.500%, 1/01/43 – AMBAC Insured (UB)             
11,175    Hoover Board of Education, Alabama, Capital Outlay Tax Anticipation Warrants, Series 2001,    2/11 at 100.00    AA    11,525,225 
     5.250%, 2/15/22 – MBIA Insured             
    Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 1999A:             
10,815     5.000%, 2/01/33 (Pre-refunded 2/01/09) – FGIC Insured    2/09 at 101.00    AAA    11,090,242 
9,790     5.000%, 2/01/33 (Pre-refunded 2/01/09) – FGIC Insured    2/09 at 101.00    AAA    10,039,156 
29,860     5.750%, 2/01/38 (Pre-refunded 2/01/09) – FGIC Insured    2/09 at 101.00    AAA    30,731,015 
2,500    Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 2002B, 5.125%,    8/12 at 100.00    AAA    2,708,175 
     2/01/42 (Pre-refunded 8/01/12) – FGIC Insured             
    Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 2002D:             
425     5.000%, 2/01/38 (Pre-refunded 8/01/12) – FGIC Insured    8/12 at 100.00    AAA    454,087 
14,800     5.000%, 2/01/42 (Pre-refunded 8/01/12) – FGIC Insured    8/12 at 100.00    AAA    15,962,984 
18,760    Jefferson County, Alabama, Sewer Revenue Capitol Improvement Warrants, Series 2001A, 5.000%,    2/11 at 101.00    AAA    19,901,921 
     2/01/41 (Pre-refunded 2/01/11) – FGIC Insured             
10,195    Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 1997A, 5.375%, 2/01/27 –    7/08 at 100.00    BB    7,479,154 
     FGIC Insured             
5,240    Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 2003B, 5.000%, 2/01/41    2/11 at 101.00    AAA    5,593,071 
     (Pre-refunded 2/01/11) – FGIC Insured             
6,000    University of Alabama, Tuscaloosa, General Revenue Bonds, Series 2004A, 5.000%, 7/01/29 –    7/14 at 100.00    AA    6,018,000 
     MBIA Insured             
130,060    Total Alabama            130,864,620 
    Alaska – 1.2% (0.7% of Total Investments)             
2,425    Alaska Housing Finance Corporation, Collateralized Veterans Mortgage Program Bonds, First    12/09 at 100.00    AAA    2,449,929 
     Series 1999A-1, 6.150%, 6/01/39             
11,245    Alaska Housing Finance Corporation, General Mortgage Revenue Bonds, Series 1999A, 6.050%,    6/09 at 100.00    AAA    11,307,522 
     6/01/39 – MBIA Insured             
13,670    Total Alaska            13,757,451 
    Arizona – 2.3% (1.4% of Total Investments)             
    Arizona State University, Certificates of Participation, Resh Infrastructure Projects, Series 2005A:             
2,000     5.000%, 9/01/25 – AMBAC Insured    3/15 at 100.00    AA    2,018,900 
2,000     5.000%, 9/01/27 – AMBAC Insured    3/15 at 100.00    AA    2,011,060 
1,000    Arizona State University, System Revenue Bonds, Series 2005, 5.000%, 7/01/27 – AMBAC Insured    7/15 at 100.00    AA    991,500 
1,000    Maricopa County Union High School District 210, Phoenix, Arizona, General Obligation Bonds,    7/14 at 100.00    AAA    1,091,510 
     Series 2004A, 5.000%, 7/01/22 (Pre-refunded 7/01/14) – FSA Insured             
5,200    Mesa, Arizona, Utility System Revenue Bonds, Reset Option Longs, Series 11032- 11034, 8.230%,    7/17 at 100.00    AAA    2,955,160 
     7/01/31 – FSA Insured (IF)             
1,150    Phoenix Civic Improvement Corporation, Arizona, Junior Lien Wastewater System Revenue Bonds,    7/14 at 100.00    AA    1,161,086 
     Series 2004, 5.000%, 7/01/27 – MBIA Insured             
13,490    Phoenix Civic Improvement Corporation, Arizona, Junior Lien Water System Revenue Bonds, Series    7/15 at 100.00    AA    13,458,433 
     2005, 4.750%, 7/01/25 – MBIA Insured             
2,905    Pima County Industrial Development Authority, Arizona, Lease Obligation Revenue Refunding    1/09 at 100.00    Aaa    2,922,924 
     Bonds, Tucson Electric Power Company, Series 1988A, 7.250%, 7/15/10 – FSA Insured             
28,745    Total Arizona            26,610,573 
    Arkansas – 0.5% (0.3% of Total Investments)             
3,660    Arkansas State University, Student Fee Revenue Bonds, Beebe Campus, Series 2006, 5.000%,    9/15 at 100.00    Aa3    3,543,795 
     9/01/35 – AMBAC Insured             
2,000    Pulaski County, Arkansas, Hospital Revenue Bonds, Arkansas Children’s Hospital, Series 2005,    3/15 at 100.00    AA    1,991,000 
     5.000%, 3/01/25 – AMBAC Insured             
5,660    Total Arkansas            5,534,795 
    California – 32.7% (19.4% of Total Investments)             
5,600    Alameda Corridor Transportation Authority, California, Subordinate Lien Revenue Bonds, Series    No Opt. Call    AA    2,931,936 
     2004A, 0.000%, 10/01/20 – AMBAC Insured             
10,000    California Department of Veterans Affairs, Home Purchase Revenue Bonds, Series 2002A, 5.300%,    6/12 at 101.00    AA    10,275,200 
     12/01/21 – AMBAC Insured             
    California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A:             
30,000     5.375%, 5/01/17 (Pre-refunded 5/01/12) – XLCA Insured    5/12 at 101.00    Aaa    33,032,399 
25,000     5.375%, 5/01/18 (Pre-refunded 5/01/12) – AMBAC Insured    5/12 at 101.00    Aaa    27,527,000 
    California Department of Water Resources, Water System Revenue Bonds, Central Valley Project,             
    Series 2005AC:             
30     5.000%, 12/01/24 (Pre-refunded 12/01/14) – MBIA Insured    12/14 at 100.00    Aa2 (4)    33,112 
25     5.000%, 12/01/27 (Pre-refunded 12/01/14) – MBIA Insured    12/14 at 100.00    Aa2 (4)    27,594 
    California Department of Water Resources, Water System Revenue Bonds, Central Valley Project,             
    Series 2005AC:             
3,670     5.000%, 12/01/24 – MBIA Insured    12/14 at 100.00    AAA    3,776,026 
2,795     5.000%, 12/01/27 – MBIA Insured    12/14 at 100.00    AAA    2,844,891 
18,000    California Infrastructure Economic Development Bank, First Lien Revenue Bonds, San Francisco    1/28 at 100.00    AAA    19,216,980 
     Bay Area Toll Bridge, Series 2003A, 5.000%, 7/01/33 (Pre-refunded 1/01/28) –             
     AMBAC Insured (UB)             
4,500    California, General Obligation Bonds, Series 1998, 5.000%, 10/01/19 – FGIC Insured    10/08 at 101.00    A+    4,560,345 
10,150    California, General Obligation Bonds, Series 2004, 5.000%, 6/01/31 – AMBAC Insured    12/14 at 100.00    AA    10,026,779 
3,500    Coachella Valley Unified School District, Riverside County, California, General Obligation    8/15 at 100.00    A–    3,442,915 
     Bonds, Series 2005A, 5.000%, 8/01/26 – FGIC Insured             
20,000    Cucamonga County Water District, San Bernardino County, California, Certificates of    9/11 at 101.00    A+    19,583,200 
     Participation, Water Shares Purchase, Series 2000, 5.125%, 9/01/35 – FGIC Insured             
5,750    East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water    6/15 at 100.00    AA+    5,849,475 
     System Subordinated Revenue Bonds, Series 2005A, 5.000%, 6/01/27 – MBIA Insured             
10,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/15 at 100.00    A    9,014,000 
     Revenue Bonds, Series 2005A, 5.000%, 6/01/38 – FGIC Insured (UB)             
1,520    Hayward Redevelopment Agency, California, Downtown Redevelopment Project Tax Allocation Bonds,    3/16 at 100.00    A–    1,467,028 
     Series 2006, 5.000%, 3/01/36 – XLCA Insured             
5,600    Kern Community College District, California, General Obligation Bonds, Series 2006, 0.000%,    No Opt. Call    AAA    2,413,208 
     11/01/24 – FSA Insured             
5,000    Long Beach Bond Financing Authority, California, Lease Revenue Refunding Bonds, Long Beach    11/11 at 101.00    AA    4,947,800 
     Aquarium of the South Pacific, Series 2001, 5.250%, 11/01/30 – AMBAC Insured             
2,740    Los Angeles Harbors Department, California, Revenue Bonds, Series 2006A, 5.000%, 8/01/22 –    8/16 at 102.00    AA    2,622,920 
     FGIC Insured (Alternative Minimum Tax)             
20,000    Los Angeles Unified School District, California, General Obligation Bonds, Series 2003A,    7/13 at 100.00    AAA    20,573,600 
     5.000%, 7/01/21 – FSA Insured             
3,000    Los Angeles Unified School District, California, General Obligation Bonds, Series 2006F,    7/16 at 100.00    AA–    3,050,880 
     5.000%, 7/01/24 – FGIC Insured             
6,205    Port of Oakland, California, Revenue Bonds, Series 2002L, 5.000%, 11/01/22 – FGIC Insured    11/12 at 100.00    A+    5,813,278 
     (Alternative Minimum Tax)             
    Poway Redevelopment Agency, California, Tax Allocation Bonds, Paguay Redevelopment Project,             
    Series 2001:             
15,000     5.200%, 6/15/30 – AMBAC Insured    12/11 at 101.00    AA    14,748,900 
5,000     5.125%, 6/15/33 – AMBAC Insured    12/11 at 101.00    AA    4,886,300 
2,035    Redding, California, Electric System Revenue Certificates of Participation, Series 2005,    6/15 at 100.00    N/R    1,777,776 
     5.000%, 6/01/30 – FGIC Insured             
6,000    Redlands Unified School District, San Bernardino County, California, General Obligation Bonds,    7/13 at 100.00    AAA    6,096,360 
     Series 2003, 5.000%, 7/01/26 – FSA Insured             
2,970    Riverside Community College District, California, General Obligation Bonds, Series 2005,    8/15 at 100.00    AAA    3,063,733 
     5.000%, 8/01/22 – FSA Insured             
2,500    Sacramento County Sanitation District Financing Authority, California, Revenue Bonds, Series    12/15 at 100.00    AA    2,540,100 
     2005B, 4.750%, 12/01/21 – FGIC Insured             
13,710    San Francisco Airports Commission, California, Revenue Refunding Bonds, San Francisco    5/11 at 100.00    AA    13,113,889 
     International Airport, Second Series 2001, Issue 27A, 5.250%, 5/01/26 – MBIA Insured             
     (Alternative Minimum Tax)             
3,030    San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series    7/11 at 100.00    AA+    3,045,332 
     2001, 5.125%, 7/01/36 – AMBAC Insured             
8,470    San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series    7/11 at 100.00    AA+ (4)    9,082,805 
     2001, 5.125%, 7/01/36 (Pre-refunded 7/01/11) – AMBAC Insured             
    San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series 2005A:             
1,220     5.000%, 7/01/22 – MBIA Insured    7/15 at 100.00    AA+    1,262,468 
1,280     5.000%, 7/01/23 – MBIA Insured    7/15 at 100.00    AA+    1,312,282 
66,685    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Senior Lien Toll    No Opt. Call    AAA    37,409,614 
     Road Revenue Bonds, Series 1993, 0.000%, 1/01/21 (ETM)             
    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue             
    Refunding Bonds, Series 1997A:             
31,615     5.250%, 1/15/30 – MBIA Insured    1/09 at 100.00    AA    28,404,813 
21,500     0.000%, 1/15/32 – MBIA Insured    No Opt. Call    AA    5,075,935 
12,525    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment    8/10 at 101.00    AA (4)    13,343,258 
     Project, Series 2002, 5.000%, 8/01/20 (Pre-refunded 8/01/10) – MBIA Insured             
19,595    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment    8/17 at 100.00    AA    17,266,134 
     Project, Series 2006C, 4.250%, 8/01/30 – MBIA Insured (UB)             
11,000    Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and    No Opt. Call    AA    12,569,590 
     Housing Facility, Series 1994A, 6.250%, 7/01/24 – MBIA Insured             
5,000    Walnut Energy Center Authority, California, Electric Revenue Bonds, Turlock Irrigation    1/14 at 100.00    AA    4,894,150 
     District, Series 2004A, 5.000%, 1/01/34 – AMBAC Insured             
422,220    Total California            372,924,005 
    Colorado – 7.0% (4.1% of Total Investments)             
1,080    Arkansas River Power Authority, Colorado, Power Revenue Bonds, Series 2006, 5.250%, 10/01/40 –    10/16 at 100.00    BBB    930,701 
     XLCA Insured             
1,900    Aspen, Colorado, Sales Tax Revenue Bonds, Parks and Open Space, Series 2005B, 5.250%, 11/01/24 –    11/15 at 100.00    AAA    1,987,191 
     FSA Insured             
1,000    Colorado Department of Transportation, Certificates of Participation, Series 2004, 5.000%,    6/14 at 100.00    AA    1,013,650 
     6/15/25 – MBIA Insured             
4,950    Denver Convention Center Hotel Authority, Colorado, Senior Revenue Bonds, Convention Center    12/13 at 100.00    N/R (4)    5,310,162 
     Hotel, Series 2003A, 5.000%, 12/01/33 (Pre-refunded 12/01/13) – XLCA Insured             
1,740    Douglas County School District RE1, Douglas and Elbert Counties, Colorado, General Obligation    12/14 at 100.00    Aaa    1,762,620 
     Bonds, Series 2005B, 5.000%, 12/15/28 – FSA Insured             
35,995    E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 1997B, 0.000%, 9/01/23 –    No Opt. Call    AA    15,128,699 
     MBIA Insured             
30,800    E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000A, 5.750%, 9/01/35    9/10 at 102.00    AAA    33,409,067 
     (Pre-refunded 9/01/10) – MBIA Insured             
11,800    E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B, 0.000%, 9/01/15    9/10 at 74.80    Aaa    8,338,824 
     (Pre-refunded 9/01/10) – MBIA Insured             
10,000    E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004A, 0.000%, 9/01/27 –    No Opt. Call    AA    3,230,300 
     MBIA Insured             
4,520    Jefferson County School District R1, Colorado, General Obligation Bonds, Series 2004,    12/14 at 100.00    AAA    4,631,192 
     5.000%, 12/15/24 – FSA Insured (UB)             
2,500    Summit County School District RE-1, Summit, Colorado, General Obligation Bonds, Series 2004B,    12/14 at 100.00    Aa3    2,566,675 
     5.000%, 12/01/24 – FGIC Insured             
1,000    University of Colorado, Enterprise System Revenue Bonds, Series 2005, 5.000%, 6/01/30 –    6/15 at 100.00    AA–    979,120 
     FGIC Insured             
107,285    Total Colorado            79,288,201 
    District of Columbia – 1.1% (0.6% of Total Investments)             
    District of Columbia Water and Sewerage Authority, Subordinate Lien Public Utility Revenue             
    Bonds, Series 2003:             
5,000     5.125%, 10/01/24 – FGIC Insured    10/13 at 100.00    AA–    5,098,450 
5,000     5.125%, 10/01/25 – FGIC Insured    10/13 at 100.00    AA–    5,086,950 
2,670    Washington Convention Center Authority, District of Columbia, Senior Lien Dedicated Tax    10/16 at 100.00    AA    1,927,046 
     Revenue Bonds, Series 2007, Residuals 1606, 8.249%, 10/01/30 – AMBAC Insured (IF)             
12,670    Total District of Columbia            12,112,446 
    Florida – 6.4% (3.8% of Total Investments)             
1,000    Hillsborough County School Board, Florida, Certificates of Participation, Master Lease    7/15 at 100.00    AA    999,960 
     Program, Series 2005A, 5.000%, 7/01/26 – MBIA Insured             
    Indian Trace Development District, Florida, Water Management Special Benefit Assessment Bonds,             
    Series 2005:             
645     5.000%, 5/01/25 – MBIA Insured    5/15 at 102.00    A2    656,391 
1,830     5.000%, 5/01/27 – MBIA Insured    5/15 at 102.00    A2    1,853,150 
4,425    Jacksonville Economic Development Commission, Florida, Healthcare Facilities Revenue Bonds,    11/12 at 100.00    AA    4,484,207 
     Mayo Clinic, Series 2001C, 5.500%, 11/15/36 – MBIA Insured             
1,505    Lee County, Florida, Transportation Facilities Revenue Bonds, Series 2004B, 5.000%, 10/01/21 –    10/14 at 100.00    AA    1,543,001 
     AMBAC Insured             
2,000    Marco Island, Florida, Water Utility System Revenue Bonds, Series 2003, 5.000%, 10/01/27 –    10/13 at 100.00    AA    2,000,760 
     MBIA Insured             
2,150    Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002A,    10/12 at 100.00    AAA    1,991,223 
     5.125%, 10/01/35 – FSA Insured (Alternative Minimum Tax)             
35,920    Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002,    10/12 at 100.00    A2    33,526,649 
     5.375%, 10/01/32 – FGIC Insured (Alternative Minimum Tax)             
12,930    Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System, Series    12/15 at 100.00    AA    12,492,449 
     2005A, 5.000%, 6/01/32 – MBIA Insured             
5,320    Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System, Series    6/15 at 100.00    AA    5,283,771 
     2005B, 5.000%, 6/01/25 – MBIA Insured             
    Northern Palm Beach County Improvement District, Florida, Revenue Bonds, Water Control and             
    Improvement Development Unit 9B, Series 2005:             
1,290     5.000%, 8/01/23 – MBIA Insured    8/15 at 102.00    AA    1,324,804 
2,145     5.000%, 8/01/29 – MBIA Insured    8/15 at 102.00    AA    2,157,355 
2,320    Osceola County, Florida, Transportation Revenue Bonds, Osceola Parkway, Series 2004, 5.000%,    4/14 at 100.00    A2    2,326,658 
     4/01/23 – MBIA Insured             
2,225    Plantation, Florida, Non-Ad Valorem Revenue Refunding and Improvement Bonds, Series 2003,    8/13 at 100.00    Aaa    2,338,542 
     5.000%, 8/15/18 – FSA Insured             
75,705    Total Florida            72,978,920 
    Georgia – 1.0% (0.6% of Total Investments)             
1,000    Atlanta, Georgia, Water and Wastewater Revenue Bonds, Series 2004, 5.000%, 11/01/22 –    11/14 at 100.00    AAA    1,023,080 
     FSA Insured             
1,520    College Park Business and Industrial Development Authority, Georgia, Revenue Bonds, Public    9/14 at 102.00    AA    1,595,422 
     Safety Project, Series 2004, 5.250%, 9/01/23 – MBIA Insured             
    Fulton County Development Authority, Georgia, Revenue Bonds, Georgia Tech Molecular Science             
    Building, Series 2004:             
1,695     5.250%, 5/01/19 – MBIA Insured    5/14 at 100.00    AA    1,794,107 
1,135     5.250%, 5/01/20 – MBIA Insured    5/14 at 100.00    AA    1,189,628 
4,500     5.000%, 5/01/36 – MBIA Insured    5/14 at 100.00    AA    4,446,405 
1,250    Glynn-Brunswick Memorial Hospital Authority, Georgia, Revenue Bonds, Southeast Georgia Health    8/08 at 100.00    AA    1,252,550 
     Systems, Series 1996, 5.250%, 8/01/13 – MBIA Insured             
11,100    Total Georgia            11,301,192 
    Idaho – 0.3% (0.1% of Total Investments)             
235    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-1, 6.750%, 7/01/22    No Opt. Call    Aa1    243,958 
195    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-2, 6.900%, 7/01/26    No Opt. Call    Aa1    202,603 
     (Alternative Minimum Tax)             
280    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1995B, 6.600%, 7/01/27    1/09 at 100.00    Aaa    289,232 
     (Alternative Minimum Tax)             
    Idaho Housing and Finance Association, Grant and Revenue Anticipation Bonds, Federal Highway             
    Trust Funds, Series 2006:             
1,000     5.000%, 7/15/23 – MBIA Insured    7/16 at 100.00    Aa3    1,040,570 
1,065     5.000%, 7/15/24 – MBIA Insured    7/16 at 100.00    Aa3    1,105,310 
2,775    Total Idaho            2,881,673 
    Illinois – 5.8% (3.4% of Total Investments)             
1,050    Bedford Park, Illinois, General Obligation Bonds, Series 2004A, 5.250%, 12/15/20 – FSA Insured    12/14 at 100.00    AAA    1,113,252 
    Chicago, Illinois, Second Lien Passenger Facility Charge Revenue Refunding Bonds, O’Hare             
    International Airport, Series 2001E:             
4,615     5.500%, 1/01/17 – AMBAC Insured (Alternative Minimum Tax)    1/11 at 101.00    AA    4,661,935 
4,870     5.500%, 1/01/18 – AMBAC Insured (Alternative Minimum Tax)    1/11 at 101.00    AA    4,905,892 
7,200    Chicago, Illinois, Third Lien General Airport Revenue Bonds, O’Hare International Airport,    1/16 at 100.00    AA    7,256,808 
     Series 2005A, 5.250%, 1/01/24 – MBIA Insured             
10,000    Illinois Development Finance Authority, Revenue Bonds, Provena Health, Series 1998A, 5.500%,    11/08 at 101.00    AA    10,115,900 
     5/15/21 – MBIA Insured             
2,095    Illinois Educational Facilities Authority, Revenue Bonds, Robert Morris College, Series 2000,    12/08 at 100.00    A2    2,098,436 
     5.800%, 6/01/30 – MBIA Insured             
4,500    Illinois Health Facilities Authority, Revenue Bonds, Alexian Brothers Health System, Series    1/09 at 101.00    AAA    4,607,235 
     1999, 5.000%, 1/01/19 (Pre-refunded 1/01/09) – FSA Insured             
22,510    Illinois, General Obligation Bonds, Illinois FIRST Program, Series 2002, 5.125%, 2/01/27 –    2/12 at 100.00    AA    22,808,258 
     FGIC Insured             
    Schaumburg, Illinois, General Obligation Bonds, Series 2004B:             
4,260     5.000%, 12/01/22 – FGIC Insured    12/14 at 100.00    AA+    4,366,543 
2,365     5.000%, 12/01/23 – FGIC Insured    12/14 at 100.00    AA+    2,413,719 
4,000    Southwestern Illinois Development Authority, School Revenue Bonds, Triad School District 2,    No Opt. Call    AA    1,599,880 
     Madison County, Illinois, Series 2006, 0.000%, 10/01/25 – MBIA Insured             
67,465    Total Illinois            65,947,858 
    Indiana – 3.6% (2.1% of Total Investments)             
2,030    Decatur Township-Marion County Multi-School Building Corporation, Indiana, First Mortgage    7/13 at 100.00    AA+ (5)    2,205,798 
     Bonds, Series 2003, 5.000%, 7/15/20 (Pre-refunded 7/15/13) – FGIC Insured             
8,000    Indiana Municipal Power Agency, Power Supply Revenue Bonds, Series 2007A, 5.000%, 1/01/42 –    1/17 at 100.00    AA    7,619,680 
     MBIA Insured             
20,000    Indianapolis Local Public Improvement Bond Bank, Indiana, Series 1999E, 0.000%, 2/01/28 –    No Opt. Call    AA    6,812,400 
     AMBAC Insured             
3,250    Indianapolis Local Public Improvement Bond Bank, Indiana, Waterworks Project, Series 2002A,    7/12 at 100.00    AAA    3,531,385 
     5.250%, 7/01/33 (Pre-refunded 7/01/12) – MBIA Insured             
1,340    Monroe-Gregg Grade School Building Corporation, Morgan County, Indiana, First Mortgage Bonds,    1/14 at 100.00    AAA    1,455,856 
     Series 2004, 5.000%, 1/15/25 (Pre-refunded 1/15/14) – FSA Insured             
5,000    Noblesville Redevelopment Authority, Indiana, Economic Development Lease Rental Bonds, Exit 10    7/13 at 100.00    AA    4,950,800 
     Project, Series 2003, 5.000%, 1/15/28 – AMBAC Insured             
10,000    Purdue University, Indiana, Student Fee Bonds, Series 2002O, 5.000%, 7/01/19 – MBIA Insured    1/12 at 100.00    Aa1    10,235,800 
3,705    Whitley County Middle School Building Corporation, Columbia City, Indiana, First Mortgage    7/13 at 100.00    Aaa    4,025,853 
     Bonds, Series 2003, 5.000%, 7/15/16 (Pre-refunded 7/15/13) – FSA Insured             
53,325    Total Indiana            40,837,572 
    Kansas – 1.3% (0.8% of Total Investments)             
2,055    Kansas Turnpike Authority, Revenue Bonds, Series 2004A-2, 5.000%, 9/01/23 – FSA Insured    9/14 at 101.00    AAA    2,138,104 
    Neosho County Unified School District 413, Kansas, General Obligation Bonds, Series 2008:             
2,145     5.000%, 9/01/27 – FSA Insured (UB)    9/14 at 100.00    Aaa    2,202,593 
4,835     5.000%, 9/01/29 – FSA Insured (UB)    9/14 at 100.00    Aaa    4,939,001 
5,000    University of Kansas Hospital Authority, Health Facilities Revenue Bonds, KU Health System,    9/09 at 100.00    AAA    5,210,100 
     Series 1999A, 5.650%, 9/01/29 (Pre-refunded 9/01/09) – AMBAC Insured             
14,035    Total Kansas            14,489,798 
    Kentucky – 2.2% (1.3% of Total Investments)             
3,870    Kenton County School District Finance Corporation, Kentucky, School Building Revenue Bonds,    6/14 at 100.00    Aa3    4,009,243 
     Series 2004, 5.000%, 6/01/20 – MBIA Insured             
7,500    Kentucky Turnpike Authority, Economic Development Road Revenue Bonds, Revitalization Project,    7/16 at 100.00    AA+    7,622,250 
     Series 2006B, 5.000%, 7/01/25 – AMBAC Insured             
12,980    Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage    11/11 at 101.00    AA    13,353,435 
     System Revenue Bonds, Series 2001A, 5.500%, 5/15/34 – MBIA Insured             
24,350    Total Kentucky            24,984,928 
    Louisiana – 5.8% (3.4% of Total Investments)             
5,000    DeSoto Parish, Louisiana, Pollution Control Revenue Refunding Bonds, Cleco Utility Group Inc.    9/09 at 102.00    AA    5,207,650 
     Project, Series 1999, 5.875%, 9/01/29 – AMBAC Insured             
3,025    Lafayette City and Parish, Louisiana, Utilities Revenue Bonds, Series 2004, 5.250%, 11/01/22 –    11/14 at 100.00    AA    3,155,559 
     MBIA Insured             
5,140    Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series 2004,    7/14 at 100.00    AA    5,204,867 
     5.250%, 7/01/24 – MBIA Insured (UB)             
    Louisiana State, Gasoline and Fuels Tax Revenue Bonds, Series 2005A:             
2,400     5.000%, 5/01/25 – FGIC Insured    5/15 at 100.00    AA–    2,405,256 
4,415     5.000%, 5/01/26 – FGIC Insured    5/15 at 100.00    AA–    4,419,680 
5,000     5.000%, 5/01/27 – FGIC Insured    5/15 at 100.00    AA–    4,981,550 
    Louisiana State, Gasoline and Fuels Tax Revenue Bonds, Series 2006:             
3,300     4.750%, 5/01/39 – FSA Insured (UB)    5/16 at 100.00    AAA    3,111,735 
35,725     4.500%, 5/01/41 – FGIC Insured (UB)    5/16 at 100.00    AA–    31,707,010 
38    Louisiana State, Gasoline Tax Revenue Bonds, Series 2006, Residuals 660-1, 7.758%, 5/01/41 –    5/16 at 100.00    AA–    21,087 
     FGIC Insured (IF)             
5,485    Orleans Levee District, Louisiana, Levee District General Obligation Bonds, Series 1986,    12/08 at 100.00    AAA    5,523,560 
     5.950%, 11/01/15 – FSA Insured             
69,528    Total Louisiana            65,737,954 
    Maine – 0.3% (0.1% of Total Investments)             
3,000    Maine Health and Higher Educational Facilities Authority, Revenue Bonds, Series 2003B, 5.000%,    7/13 at 100.00    AAA    3,024,570 
     7/01/28 – FSA Insured             
    Maryland – 0.4% (0.3% of Total Investments)             
5,345    Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,    9/16 at 100.00    BBB–    4,857,215 
     9/01/28 – XLCA Insured             
    Massachusetts – 4.8% (2.9% of Total Investments)             
22,500    Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,    1/12 at 101.00    AA (5)    24,536,925 
     Series 2002A, 5.375%, 1/01/42 (Pre-refunded 1/01/12) – AMBAC Insured             
11,000    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,    8/15 at 100.00    AAA    11,402,380 
     5.000%, 8/15/23 – FSA Insured (UB)             
1,805    Massachusetts Water Resources Authority, General Revenue Bonds, Tender Option Bond Trust 2848,    2/17 at 100.00    AAA    1,056,647 
     9.722%, 8/01/46 – FSA Insured (IF)             
15,000    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/23    1/14 at 100.00    A (4)    16,173,300 
     (Pre-refunded 1/01/14) – FGIC Insured             
1,500    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    11/14 at 100.00    AA (4)    1,675,125 
     2004-1, 5.375%, 11/01/20 (Pre-refunded 11/01/14) – AMBAC Insured             
51,805    Total Massachusetts            54,844,377 
    Michigan – 6.7% (4.0% of Total Investments)             
5,490    Detroit City School District, Wayne County, Michigan, Unlimited Tax School Building and Site    No Opt. Call    AAA    6,398,403 
     Improvement Bonds, Series 2001A, 6.000%, 5/01/29 – FSA Insured (UB)             
6,000    Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18 – MBIA Insured    10/11 at 100.00    AA    6,163,260 
7,420    Detroit, Michigan, Senior Lien Water Supply System Revenue Bonds, Series 1997A, 5.000%,    10/08 at 100.00    AAA    7,419,703 
     7/01/27 – MBIA Insured             
    Detroit, Michigan, Sewerage Disposal System Revenue Bonds, Series 1999A:             
15,825     5.750%, 7/01/26 (Pre-refunded 1/01/10) – FGIC Insured    1/10 at 101.00    Aaa    16,783,837 
20,000     5.875%, 7/01/27 (Pre-refunded 1/01/10) – FGIC Insured    1/10 at 101.00    Aaa    21,246,600 
1,085    Grand Rapids Community College, Kent County, Michigan, General Obligation Refunding Bonds,    5/13 at 100.00    AA    1,139,532 
     Series 2003, 5.250%, 5/01/20 – AMBAC Insured             
6,850    Wayne County, Michigan, Airport Revenue Bonds, Detroit Metropolitan Wayne County Airport,    12/08 at 101.00    AA    6,876,852 
     Series 1998A, 5.375%, 12/01/15 – MBIA Insured (Alternative Minimum Tax)             
10,000    Wayne County, Michigan, Limited Tax General Obligation Airport Hotel Revenue Bonds, Detroit    12/11 at 101.00    AA    10,205,200 
     Metropolitan Wayne County Airport, Series 2001A, 5.250%, 12/01/25 – MBIA Insured             
72,670    Total Michigan            76,233,387 
    Minnesota – 1.3% (0.8% of Total Investments)             
13,020    Saint Paul Housing and Redevelopment Authority, Minnesota, Multifamily Housing Revenue Bonds,    12/11 at 102.00    Aaa    14,767,935 
     Marian Center Project, Series 2001A, 6.450%, 6/20/43 (Pre-refunded 12/20/11)             
    Nebraska – 2.3% (1.4% of Total Investments)             
27,125    Lincoln, Nebraska, Electric System Revenue Bonds, Series 2008, 4.500%, 9/01/37 –    9/17 at 100.00    AA    24,207,706 
     FGIC Insured (UB)             
    Nebraska Public Power District, General Revenue Bonds, Series 2005A:             
1,000     5.000%, 1/01/24 – FSA Insured    1/15 at 100.00    AAA    1,022,530 
1,000     5.000%, 1/01/25 – FSA Insured    1/15 at 100.00    AAA    1,018,630 
29,125    Total Nebraska            26,248,866 
    Nevada – 8.0% (4.8% of Total Investments)             
8,475    Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,    12/12 at 100.00    AAA    8,346,773 
     Series 2002, 5.000%, 6/01/32 – MBIA Insured             
3,630    Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,    12/12 at 100.00    Aaa    3,931,254 
     Series 2002, 5.000%, 6/01/32 (Pre-refunded 12/01/12) – MBIA Insured             
7,370    Clark County, Nevada, Subordinate Lien Airport Revenue Bonds, Series 2004A-2, 5.125%, 7/01/25 –    7/14 at 100.00    Aa3    7,357,250 
     FGIC Insured             
    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas             
    Monorail Project, First Tier, Series 2000:             
15,000     5.625%, 1/01/34 – AMBAC Insured    1/10 at 102.00    AA    10,325,100 
13,000     5.375%, 1/01/40 – AMBAC Insured    1/10 at 100.00    AA    8,624,590 
14,985    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 – FGIC Insured    6/12 at 100.00    Baa1    14,620,115 
25,300    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 (Pre-refunded    6/12 at 100.00    Baa1 (4)    27,480,607 
     6/01/12) – FGIC Insured             
10,000    Reno, Nevada, Senior Lien Sales and Room Tax Revenue Bonds, Reno Transportation Rail Access    6/12 at 100.00    AA (4)    10,790,800 
     Corridor Project, Series 2002, 5.125%, 6/01/27 (Pre-refunded 6/01/12) – AMBAC Insured             
97,760    Total Nevada            91,476,489 
    New Jersey – 2.3% (1.4% of Total Investments)             
    Essex County Improvement Authority, New Jersey, Guaranteed Revenue Bonds, Project             
    Consolidation, Series 2004:             
2,000     5.125%, 10/01/21 – MBIA Insured    10/14 at 100.00    A1    2,079,100 
2,250     5.125%, 10/01/22 – MBIA Insured    10/14 at 100.00    A1    2,330,978 
    New Jersey Economic Development Authority, Revenue Bonds, Motor Vehicle Surcharge, Series 2004A:             
3,850     5.000%, 7/01/22 – MBIA Insured    7/14 at 100.00    AA    3,958,955 
3,850     5.000%, 7/01/23 – MBIA Insured    7/14 at 100.00    AA    3,946,866 
8,250    New Jersey Turnpike Authority, Revenue Bonds, Series 2003A, 5.000%, 1/01/19 – FGIC Insured    7/13 at 100.00    A    8,431,665 
    New Jersey Turnpike Authority, Revenue Bonds, Series 2005A:             
3,320     5.000%, 1/01/21 – FSA Insured (UB)    1/15 at 100.00    AAA    3,459,573 
2,000     5.000%, 1/01/23 – FSA Insured (UB)    7/13 at 100.00    AAA    2,042,700 
25,520    Total New Jersey            26,249,837 
    New Mexico – 0.3% (0.2% of Total Investments)             
3,660    San Juan County, New Mexico, Subordinate Gross Receipts Tax Revenue Bonds, Series 2005,    6/15 at 100.00    AA    3,678,812 
     5.000%, 6/15/25 – MBIA Insured             
    New York – 6.9% (4.1% of Total Investments)             
1,880    Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, Montefiore    2/15 at 100.00    N/R    1,858,512 
     Hospital, Series 2004, 5.000%, 8/01/23 – FGIC Insured             
3,335    Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Series    3/15 at 100.00    AAA    3,421,710 
     2005F, 5.000%, 3/15/24 – AMBAC Insured             
3,820    Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, 2006A,    2/17 at 100.00    AA    3,333,026 
     4.500%, 2/15/47 – MBIA Insured (UB)             
6,900    Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F,    11/16 at 100.00    AA    6,062,616 
     4.250%, 5/01/33 – MBIA Insured (UB)             
12,500    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A,    6/16 at 100.00    A–    12,456,125 
     5.000%, 12/01/25 – FGIC Insured             
    Metropolitan Transportation Authority, New York, State Service Contract Refunding Bonds,             
    Series 2002A:             
1,500     5.000%, 7/01/21 – FGIC Insured    7/12 at 100.00    AA–    1,528,485 
5,000     5.000%, 7/01/25 – FGIC Insured    7/12 at 100.00    AA–    5,063,600 
5,000    New York City, New York, General Obligation Bonds, Fiscal Series 2005F-1, 5.000%, 9/01/21 –    9/15 at 100.00    AA    5,199,200 
     AMBAC Insured             
10,000    New York City, New York, General Obligation Bonds, Fiscal Series 2005M, 5.000%, 4/01/26 –    4/15 at 100.00    AA    10,100,900 
     FGIC Insured             
5,000    New York State Thruway Authority, General Revenue Bonds, Series 2005F, 5.000%, 1/01/26 –    1/15 at 100.00    AA    5,107,050 
     AMBAC Insured             
    New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds,             
    Series 2004A-1:             
1,000     5.000%, 3/15/23 – FGIC Insured    3/14 at 100.00    AAA    1,025,540 
5,000     5.000%, 3/15/25 – FGIC Insured    3/14 at 100.00    AAA    5,100,300 
3,650    New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, Series    3/15 at 100.00    AAA    3,749,134 
     2008, 5.000%, 3/15/25 – FSA Insured (UB)             
15,000    Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue    11/12 at 100.00    AA    15,004,650 
     Refunding Bonds, Series 2002E, 5.000%, 11/15/32 – MBIA Insured             
79,585    Total New York            79,010,848 
    North Carolina – 1.5% (0.9% of Total Investments)             
    Mooresville, North Carolina, Enterprise System Revenue Bonds, Series 2004:             
2,115     5.000%, 5/01/22 – FGIC Insured    5/14 at 100.00    A    2,158,231 
2,575     5.000%, 5/01/26 – FGIC Insured    5/14 at 100.00    A    2,533,156 
5,000    North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Series 2003A, 5.250%,    1/13 at 100.00    AAA    5,325,550 
     1/01/16 – FSA Insured             
    Raleigh Durham Airport Authority, North Carolina, Airport Revenue Bonds, Series 2005A:             
3,205     5.000%, 5/01/23 – AMBAC Insured    5/15 at 100.00    Aa3    3,226,666 
3,295     5.000%, 5/01/24 – AMBAC Insured    5/15 at 100.00    Aa3    3,307,851 
16,190    Total North Carolina            16,551,454 
    North Dakota – 0.6% (0.3% of Total Investments)             
    Grand Forks, North Dakota, Sales Tax Revenue Bonds, Alerus Project, Series 2005A:             
2,195     5.000%, 12/15/22 – MBIA Insured    12/15 at 100.00    A1    2,267,259 
1,355     5.000%, 12/15/23 – MBIA Insured    12/15 at 100.00    A1    1,386,788 
3,000     5.000%, 12/15/24 – MBIA Insured    12/15 at 100.00    A1    3,062,850 
6,550    Total North Dakota            6,716,897 
    Ohio – 4.3% (2.5% of Total Investments)             
2,650    Cleveland State University, Ohio, General Receipts Bonds, Series 2004, 5.250%, 6/01/24 –    6/14 at 100.00    A    2,724,783 
     FGIC Insured             
2,000    Columbus City School District, Franklin County, Ohio, General Obligation Bonds, Series 2004,    12/14 at 100.00    AAA    2,219,000 
     5.250%, 12/01/25 (Pre-refunded 12/01/14) – FSA Insured             
2,385    Columbus, Ohio, Tax Increment Financing Bonds, Easton Project, Series 2004A, 5.000%, 12/01/22 –    6/14 at 100.00    AA    2,399,215 
     AMBAC Insured             
2,205    Hamilton City School District, Ohio, General Obligation Bonds, Series 2005, 5.000%, 12/01/24 –    6/15 at 100.00    A2    2,227,734 
     MBIA Insured             
19,595    Hamilton County, Ohio, Sales Tax Bonds, Subordinate Series 2006, 4.250%,    12/16 at 100.00    Aa3    16,972,601 
     12/01/32 – AMBAC Insured (UB)             
20,100    Lucas County, Ohio, Hospital Revenue Bonds, ProMedica Healthcare Obligated Group, Series 1999,    11/09 at 101.00    AA    18,734,808 
     5.375%, 11/15/39 – AMBAC Insured             
3,000    Ross Local School District, Butler County, Ohio, General Obligation Bonds, Series 2003,    12/13 at 100.00    Aaa    3,268,530 
     5.000%, 12/01/28 (Pre-refunded 12/01/13) – FSA Insured             
51,935    Total Ohio            48,546,671 
    Oklahoma – 3.1% (1.9% of Total Investments)             
3,500    Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,    7/15 at 100.00    AA    3,550,925 
     7/01/24 – AMBAC Insured             
3,315    Oklahoma Housing Finance Agency, GNMA Collateralized Single Family Mortgage Revenue Bonds,    No Opt. Call    AAA    3,567,404 
     Series 1987A, 7.997%, 8/01/18 (Alternative Minimum Tax)             
21,000    Oklahoma Municipal Power Authority, Power Supply System Revenue Bonds, Series 2007, 4.500%,    1/17 at 100.00    A    18,205,110 
     1/01/47 – FGIC Insured             
5,245    Oklahoma State Industries Authority, Revenue Bonds, Oklahoma Medical Research Foundation,    2/11 at 100.00    Aa3    5,290,999 
     Series 2001, 5.250%, 2/01/21 – AMBAC Insured             
4,880    University of Oklahoma, Student Housing Revenue Bonds, Series 2004, 5.000%, 7/01/22 –    7/14 at 100.00    Aa3    4,992,630 
     AMBAC Insured             
37,940    Total Oklahoma            35,607,068 
    Oregon – 0.6% (0.4% of Total Investments)             
2,535    Oregon Department of Administrative Services, Certificates of Participation, Series 2005A,    5/15 at 100.00    AAA    2,582,785 
     5.000%, 5/01/25 – FSA Insured             
3,470    Oregon Department of Administrative Services, Certificates of Participation, Series 2005B,    11/15 at 100.00    AA–    3,621,466 
     5.000%, 11/01/18 – FGIC Insured             
1,070    Oregon Housing and Community Services Department, Single Family Mortgage Revenue Bonds, Series    1/09 at 100.00    Aa2    1,070,535 
     1995A, 6.450%, 7/01/26 (Alternative Minimum Tax)             
7,075    Total Oregon            7,274,786 
    Pennsylvania – 3.2% (1.9% of Total Investments)             
7,925    Commonwealth Financing Authority, Pennsylvania, State Appropriation Lease Bonds, Series 2008,    6/16 at 100.00    AAA    8,084,015 
     5.000%, 6/01/26 – FSA Insured (UB)             
1,800    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Drexel University, Series    5/15 at 100.00    AA    1,790,928 
     2005A, 5.000%, 5/01/28 – MBIA Insured             
11,740    Pennsylvania Public School Building Authority, Lease Revenue Bonds, School District of    12/16 at 100.00    AAA    10,819,819 
     Philadelphia, Series 2006B, 4.500%, 6/01/32 – FSA Insured (UB)             
2,625    Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Series 2006A, 5.000%, 12/01/26 –    6/16 at 100.00    AA    2,629,883 
     AMBAC Insured             
6,335    Radnor Township School District, Delaware County, Pennsylvania, General Obligation Bonds,    8/15 at 100.00    Aaa    6,447,636 
     Series 2005B, 5.000%, 2/15/30 – FSA Insured             
    Reading School District, Berks County, Pennsylvania, General Obligation Bonds, Series 2005:             
3,285     5.000%, 1/15/22 – FSA Insured (UB)    1/16 at 100.00    AAA    3,406,939 
3,450     5.000%, 1/15/23 – FSA Insured (UB)    1/16 at 100.00    AAA    3,560,366 
37,160    Total Pennsylvania            36,739,585 
    Puerto Rico – 1.0% (0.6% of Total Investments)             
2,500    Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2005RR, 5.000%, 7/01/30    7/15 at 100.00    AAA    2,758,400 
     (Pre-refunded 7/01/15) – XLCA Insured             
2,000    Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2003G, 5.250%,    7/13 at 100.00    BBB+    2,012,380 
     7/01/19 – FGIC Insured             
1,550    Puerto Rico Municipal Finance Agency, Series 2005C, 5.250%, 8/01/21 – CIFG Insured    No Opt. Call    A–    1,550,434 
36,000    Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 0.000%,    No Opt. Call    A+    5,166,720 
     8/01/42 – FGIC Insured             
42,050    Total Puerto Rico            11,487,934 
    Rhode Island – 2.2% (1.3% of Total Investments)             
2,195    Providence Housing Development Corporation, Rhode Island, FHA-Insured Section 8 Assisted    1/09 at 100.00    AA    2,294,412 
     Mortgage Revenue Refunding Bonds, Barbara Jordan Apartments, Series 1994A, 6.750%,             
     7/01/25 – MBIA Insured             
20,475    Rhode Island Depositors Economic Protection Corporation, Special Obligation Refunding Bonds,    2/11 at 100.00    AA (4)    21,785,810 
     Series 1993B, 5.250%, 8/01/21 (Pre-refunded 2/01/11) – MBIA Insured             
1,405    Rhode Island Health & Educational Building Corporation, Higher Education Auxiliary Enterprise    9/14 at 100.00    Aa3    1,470,206 
     Revenue Bonds, Series 2004A, 5.500%, 9/15/24 – AMBAC Insured             
24,075    Total Rhode Island            25,550,428 
    South Carolina – 6.0% (3.5% of Total Investments)             
7,325    Anderson County School District 5, South Carolina, General Obligation Bonds, Series 2008,    2/18 at 100.00    AAA    7,918,179 
     Trust 1181, 12.742%, 2/01/38 – FSA Insured (IF)             
10,000    Beaufort County, South Carolina, Tax Increment Bonds, New River Redevelopment Project, Series    12/12 at 100.00    AA    9,975,100 
     2002, 5.000%, 6/01/27 – MBIA Insured             
    Medical University Hospital Authority, South Carolina, FHA-Insured Mortgage Revenue Bonds,             
    Series 2004A:             
2,000     5.250%, 8/15/22 – MBIA Insured    8/14 at 100.00    AA    2,055,100 
2,105     5.250%, 8/15/23 – MBIA Insured    8/14 at 100.00    AA    2,152,994 
4,855    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,    No Opt. Call    AAA    4,000,423 
     1/01/13 – AMBAC Insured (ETM)             
2,750    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,    7/09 at 76.63    AAA    2,026,613 
     1/01/13 (Pre-refunded 7/01/09) – AMBAC Insured             
7,955    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,    No Opt. Call    Aaa    6,369,409 
     1/01/13 – AMBAC Insured             
8,000    South Carolina JOBS Economic Development Authority, Industrial Revenue Bonds, South Carolina    11/12 at 100.00    AA    8,087,360 
     Electric and Gas Company, Series 2002A, 5.200%, 11/01/27 – AMBAC Insured             
10,000    South Carolina JOBS Economic Development Authority, Industrial Revenue Bonds, South Carolina    11/12 at 100.00    AA    9,574,000 
     Electric and Gas Company, Series 2002B, 5.450%, 11/01/32 – AMBAC Insured (Alternative             
     Minimum Tax)             
17,500    South Carolina Transportation Infrastructure Bank, Revenue Bonds, Series 2007A, 4.500%,    10/16 at 100.00    A1    15,804,250 
     10/01/34 – XLCA Insured             
72,490    Total South Carolina            67,963,428 
    Tennessee – 0.6% (0.3% of Total Investments)             
6,455    Memphis-Shelby County Airport Authority, Tennessee, Airport Revenue Bonds, Series 2001A,    3/11 at 100.00    AAA    6,494,246 
     5.500%, 3/01/18 – FSA Insured (Alternative Minimum Tax)             
    Texas – 16.4% (9.7% of Total Investments)             
22,650    Brazos River Authority, Texas, Revenue Refunding Bonds, Houston Industries Inc., Series 1998C,    11/08 at 102.00    AA    22,700,283 
     5.125%, 5/01/19 – AMBAC Insured             
521    Capital Area Housing Finance Corporation, Texas, FNMA Backed Single Family Mortgage Revenue    4/12 at 106.00    Aaa    537,830 
     Refunding Bonds, Series 2002A-2, 6.300%, 4/01/35 – AMBAC Insured (Alternative Minimum Tax)             
12,500    Dallas-Ft. Worth International Airport, Texas, Joint Revenue Bonds, Series 2000A, 6.125%,    11/09 at 100.00    A+    12,542,375 
     11/01/35 – FGIC Insured (Alternative Minimum Tax)             
    Harris County, Texas, Toll Road Senior Lien Revenue Bonds, Series 1989:             
9,000     0.000%, 8/15/18 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 53.84    Aaa    4,733,280 
39,000     0.000%, 8/15/19 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 50.26    Aaa    19,147,050 
7,280     0.000%, 8/15/20 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 46.91    Aaa    3,336,497 
5,085     0.000%, 8/15/21 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 43.80    Aaa    2,175,516 
25,000    Harris County-Houston Sports Authority, Texas, Junior Lien Revenue Refunding Bonds, Series    11/11 at 100.00    AA    22,825,250 
     2001B, 5.250%, 11/15/40 – MBIA Insured             
4,671    Houston Housing Finance Corporation, Texas, GNMA Collateralized Mortgage Multifamily Housing    9/11 at 105.00    Aaa    4,753,583 
     Revenue Bonds, RRG Apartments Project, Series 2001, 6.350%, 3/20/42             
    Houston, Texas, First Lien Combined Utility System Revenue Bonds, Series 2004A:             
4,000     5.250%, 5/15/24 – FGIC Insured    5/14 at 100.00    AA    4,047,400 
5,000     5.250%, 5/15/25 – MBIA Insured    5/14 at 100.00    AA    5,102,050 
6,570    Houston, Texas, General Obligation Public Improvement Bonds, Series 2001A, 5.375%, 3/01/19    3/11 at 100.00    AAA    7,012,161 
     (Pre-refunded 3/01/11) – FSA Insured             
17,500    Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment    9/11 at 100.00    AA    17,578,225 
     Project, Series 2001B, 5.250%, 9/01/33 – AMBAC Insured             
4,170    Houston, Texas, Subordinate Lien Airport System Revenue Bonds, Series 2000B, 5.500%, 7/01/30    7/10 at 100.00    AAA    4,422,368 
     (Pre-refunded 7/01/10) – FSA Insured             
23,865    Jefferson County Health Facilities Development Corporation, Texas, FHA-Insured Mortgage Revenue    8/11 at 100.00    AA    24,070,716 
     Bonds, Baptist Hospital of Southeast Texas, Series 2001, 5.500%, 8/15/41 – AMBAC Insured             
140    Lower Colorado River Authority, Texas, Revenue Refunding and Improvement Bonds, Series 2001A,    5/11 at 100.00    AA (4)    148,589 
     5.000%, 5/15/21 (Pre-refunded 5/15/11) – MBIA Insured             
8,065    Lower Colorado River Authority, Texas, Revenue Refunding and Improvement Bonds, Series 2001A,    5/11 at 100.00    AA    8,163,796 
     5.000%, 5/15/21 – MBIA Insured             
    Port of Houston Authority, Harris County, Texas, General Obligation Port Improvement Bonds,             
    Series 2001B:             
3,205     5.500%, 10/01/18 – FGIC Insured (Alternative Minimum Tax)    10/11 at 100.00    AAA    3,210,449 
3,375     5.500%, 10/01/19 – FGIC Insured (Alternative Minimum Tax)    10/11 at 100.00    AAA    3,355,830 
7,205    San Antonio, Texas, Airport System Improvement Revenue Bonds, Series 2001, 5.375%, 7/01/15 –    7/11 at 101.00    A+    7,279,284 
     FGIC Insured (Alternative Minimum Tax)             
7,550    Waco Health Facilities Development Corporation, Texas, Hillcrest Health System Project, FHA    8/16 at 100.00    AA    7,358,683 
     Insured Mortgage Revenue Bonds, Series 2006A, 5.000%, 8/01/31 – MBIA Insured             
1,840    Ysleta Independent School District Public Facility Corporation, Texas, Lease Revenue Refunding    11/09 at 100.00    AA    1,883,001 
     Bonds, Series 2001, 5.375%, 11/15/24 – AMBAC Insured             
218,192    Total Texas            186,384,216 
    Utah – 1.5% (0.9% of Total Investments)             
2,000    Clearfield City, Utah, Sales Tax Revenue Bonds, Series 2003, 5.000%, 7/01/28 (Pre-refunded    7/13 at 100.00    AA– (4)    2,172,480 
     7/01/13) – FGIC Insured             
15,000    Utah Transit Authority, Sales Tax Revenue Bonds, Series 2008A, 5.000%, 6/15/32 – FSA Insured    6/18 at 100.00    AAA    15,221,100 
17,000    Total Utah            17,393,580 
    Virginia – 1.4% (0.8% of Total Investments)             
1,035    Loudoun County Industrial Development Authority, Virginia, Lease Revenue Bonds, Public Safety    6/14 at 100.00    AAA    1,097,224 
     Facilities, Series 2003A, 5.250%, 12/15/20 – FSA Insured             
4,840    Metropolitan Washington D.C. Airports Authority, Airport System Revenue Bonds, Series 2001A,    10/11 at 101.00    AA    4,900,984 
     5.500%, 10/01/19 – MBIA Insured (Alternative Minimum Tax)             
10,000    Virginia Housing Development Authority, Commonwealth Mortgage Bonds, Series 2001H-1, 5.375%,    7/11 at 100.00    AAA    10,028,900 
     7/01/36 – MBIA Insured             
15,875    Total Virginia            16,027,108 
    Washington – 2.3% (1.4% of Total Investments)             
2,500    Grant County Public Utility District 2, Washington, Revenue Bonds, Wanapum Hydroelectric    1/15 at 100.00    Aa2    2,452,850 
     Development, Series 2005A, 5.000%, 1/01/29 – FGIC Insured             
3,500    King County School District 401, Highline, Washington, General Obligation Bonds, Series 2004,    12/14 at 100.00    AA+    3,554,810 
     5.000%, 10/01/24 – FGIC Insured             
3,195    Kitsap County, Washington, Limited Tax General Obligation Bonds, Series 2000, 5.500%, 7/01/25    7/10 at 100.00    AA (4)    3,388,361 
     (Pre-refunded 7/01/10) – AMBAC Insured             
4,250    Snohomish County Public Utility District 1, Washington, Generation System Revenue Bonds,    No Opt. Call    Aaa    5,103,230 
     Series 1989, 6.650%, 1/01/16 – FGIC Insured (ETM)             
    Tacoma, Washington, Solid Waste Utility Revenue Refunding Bonds, Series 2006:             
3,890     5.000%, 12/01/24 – XLCA Insured    12/16 at 100.00    AA    3,864,016 
4,085     5.000%, 12/01/25 – XLCA Insured    12/16 at 100.00    AA    4,033,448 
4,290     5.000%, 12/01/26 – XLCA Insured    12/16 at 100.00    AA    4,199,010 
25,710    Total Washington            26,595,725 
    Wisconsin – 2.6% (1.6% of Total Investments)             
15,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Marshfield Clinic,    8/08 at 101.00    AA    15,017,701 
     Series 1997, 5.750%, 2/15/27 – MBIA Insured             
290    Wisconsin, General Obligation Bonds, Series 2004-3, 5.250%, 5/01/20 – FGIC Insured    5/14 at 100.00    Aa3    304,562 
2,600    Wisconsin, General Obligation Bonds, Series 2004-3, 5.250%, 5/01/20 (Pre-refunded 5/01/14) –    5/14 at 100.00    Aaa    2,866,995 
     FGIC Insured             
10,945    Wisconsin, General Obligation Bonds, Series 2004-4, 5.000%, 5/01/20 – MBIA Insured    5/14 at 100.00    AA    11,356,314 
28,835    Total Wisconsin            29,545,572 
$     2,027,615    Total Long-Term Investments (cost $1,845,883,673) – 163.3%            1,859,523,020 
    Short-Term Investments – 5.4% (3.2% of Total Investments)             
4,300    Austin, Texas, Water and Wastewater System Revenue Bonds, Tender Option Bond Trust 1281,        A-1    4,300,000 
     Variable Rate Demand Obligations, 2.760%, 5/15/35 – AMBAC Insured (5)             
200    California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A, Trust        VMIG-1    200,000 
     M5J-REG D, Variable Rate Demand Obligations, 10.300%, 5/01/12 – MBIA Insured (5)             
7,080    Columbus Repair and Renovation School Building Corporation, Bartholemew County, Indiana, First        A-1+    7,080,000 
     Motrgage Bonds, Tender Option Bond Trust 1079B, Variable Rate Demand Obligations, 2.640%,             
     7/15/13 – MBIA Insured (5)             
4,240    Indianapolis Local Public Improvement Bond Bank, Indiana, Waterworks Revenue Bonds, Macon        A-1+    4,240,000 
     Trust Series S, Variable Rate Demand Obligations, 3.740%, 1/01/21 – MBIA Insured (5)             
10,700    Lancaster, Pennsylvania, General Obligation Bonds, Tender Option Bond Trust 2007-47, 3.740%,        VMIG-1    10,700,000 
     Variable Rate Demand Obligations, 5/01/15 – AMBAC Insured (5)             
6,960    Massachusetts Turnpike Authority, Metropolitan Highway System Revenue Bonds, Senior Series        A-1    6,960,000 
     1997A, Trust 489, Variable Rate Demand Obligations, 6.000%, 1/01/37 – MBIA Insured (5)             
4,585    Mesa County Valley School District 51, Grand Junction, Colorado, General Obligation Bonds, Trust        VMIG-1    4,585,000 
     2696, Variable Rate Demand Obligations, 2.640%, 6/01/13 – MBIA Insured (5)             
10,000    New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2007, Trust        A-1+    10,000,000 
     2199, Variable Rate Demand Obligations, 2.590%, 6/15/15 – AMBAC Insured (5)             
4,000    Ohio Air Quality Development Authority, Pollution Control Revenue Bonds, Dayton Power and        VMIG-1    4,000,000 
     Light Company Project, Trust 1223, Variable Rate Demand Obligations, 5.500%, 1/01/34 –             
     FGIC Insured (5)             
9,130    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment        N/R    9,130,000 
     Project, Series 2006C, Floaters 1601, Variable Rate Demand Obligations, 4.000%, 8/01/30 –             
     MBIA Insured (5)             
$         6,195    Total Short-Term Investments (cost $61,195,000)            61,195,000 
    Total Investments (cost $1,907,078,673) – 168.7%            1,920,718,020 
    Floating Rate Obligations – (14.2)%            (161,383,333)
    Other Assets Less Liabilities – 1.6%            17,897,805 
    Preferred Shares, at Liquidation Value – (56.1)% (6)            (638,450,000)
    Net Assets Applicable to Common Shares – 100%           $  1,138,782,492 

    As of July 31, 2008, all of the bonds in the Portfolio of Investments, excluding temporary investments in 
    short-term municipal securities, are either covered by Original Issue Insurance, Secondary Market 
    Insurance or Portfolio Insurance, or are backed by an escrow or trust containing sufficient U.S. Government 
    or U.S. Government agency securities, any of which ensure the timely payment of principal and interest. 
(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 higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. 
    (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below 
    investment grade. 
    The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AMBAC, CIFG, FGIC, 
    MBIA, RAAI and XLCA as of July 31, 2008. Subsequent to July 31, 2008, and during the period this Portfolio 
    of Investments was prepared, there may have been reductions to the ratings of certain bonds resulting from 
    changes to the ratings of the underlying insurers both during the period and after the period end. Such 
    reductions would likely reduce the effective rating of many of the bonds insured by that insurer or insurers 
    presented at period end. 
(4)    Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities 
    which ensure the timely payment of principal and interest. Such investments are normally considered to be 
    equivalent to AAA rated securities. 
(5)    Investment has a maturity of more than one year, but has variable rate and demand features which qualify 
    it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate 
    changes periodically based on market conditions or a specified market index. 
(6)    Preferred Shares, at Liquidation Value as a percentage of total investments is (33.2)%. 
N/R    Not rated. 
(ETM)    Escrowed to maturity. 
(IF)    Inverse floating rate investment. 
(UB)    Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the 
    provisions of SFAS No. 140. 

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 transactions subject to SFAS No. 140. 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, 2008, the cost of investments was $1,743,770,473.

Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2008, were as follows:

Gross unrealized:     
 Appreciation    $ 62,226,306 
 Depreciation    (46,664,894)
Net unrealized appreciation (depreciation) of investments    $ 15,561,412 

Item 2. Controls and Procedures.

  1. 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)).
  2. 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 Insured Municipal Opportunity Fund, Inc.         

By (Signature and Title)          /s/ Kevin J. McCarthy                    
                                                  Kevin J. McCarthy
                                                  Vice President and Secretary

Date         September 29, 2008        

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, 2008        

By (Signature and Title)         /s/ Stephen D. Foy                              
                                                 Stephen D. Foy
                                                 Vice President and Controller (principal financial officer) 

Date        September 29, 2008