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        

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