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:          1/31/09         

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)              
    January 31, 2009              
Principal         Optional Call          
Amount (000)     Description (1)     Provisions (2)     Ratings (3)     Value  
    Alabama – 6.0% (3.8% of Total Investments)              
$     3,500     Birmingham Waterworks And Sewer Board, Alabama, Water and Sewer Revenue Bonds, Tender     1/17 at 100.00     A3    $   1,912,260  
      Option Bond Trust 2707, 10.205%, 1/01/43 – AMBAC Insured (IF)              
11,175     Hoover Board of Education, Alabama, Capital Outlay Tax Anticipation Warrants, Series 2001,     2/11 at 100.00     AA     11,501,310  
      5.250%, 2/15/22 – MBIA Insured              
2,500     Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 2002B, 5.125%,     8/12 at 100.00     AAA     2,746,550  
      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     461,240  
14,800       5.000%, 2/01/42 (Pre-refunded 8/01/12) – FGIC Insured     8/12 at 100.00     AAA     16,197,564  
18,760     Jefferson County, Alabama, Sewer Revenue Capitol Improvement Warrants, Series 2001A, 5.000%,     2/11 at 101.00     AAA     19,944,882  
      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 –     4/09 at 100.00     Caa1     5,128,799  
      FGIC Insured              
5,240     Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 2003B, 5.000%, 2/01/41     2/11 at 101.00     AAA     5,603,027  
      (Pre-refunded 2/01/11) – FGIC Insured              
66,595     Total Alabama             63,495,632  
    Alaska – 1.3% (0.8% of Total Investments)              
2,425     Alaska Housing Finance Corporation, Collateralized Veterans Mortgage Program Bonds, First     12/09 at 100.00     AAA     2,434,530  
      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     11,257,707  
      6/01/39 – MBIA Insured              
13,670     Total Alaska             13,692,237  
    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–     2,002,000  
2,000       5.000%, 9/01/27 – AMBAC Insured     3/15 at 100.00     AA–     1,954,940  
1,000     Arizona State University, System Revenue Bonds, Series 2005, 5.000%, 7/01/27 – AMBAC Insured     7/15 at 100.00     A     1,004,320  
1,000     Maricopa County Union High School District 210, Phoenix, Arizona, General Obligation Bonds,     7/14 at 100.00     AAA     1,172,130  
      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, 11.539%,     7/17 at 100.00     AAA     2,266,264  
      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+     1,159,177  
      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     AAA     13,574,852  
      2005, 4.750%, 7/01/25 – MBIA Insured              
1,350     Pima County Industrial Development Authority, Arizona, Lease Obligation Revenue Refunding     7/09 at 100.00     Aa3     1,359,693  
      Bonds, Tucson Electric Power Company, Series 1988A, 7.250%, 7/15/10 – FSA Insured              
27,190     Total Arizona             24,493,376  
    Arkansas – 0.3% (0.2% of Total Investments)              
3,660     Arkansas State University, Student Fee Revenue Bonds, Beebe Campus, Series 2006, 5.000%,     9/15 at 100.00     Baa1     3,070,337  
      9/01/35 – AMBAC Insured              
    California – 32.0% (20.1% of Total Investments)              
5,600     Alameda Corridor Transportation Authority, California, Subordinate Lien Revenue Bonds, Series     No Opt. Call     A     2,903,096  
      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     Aa2     10,404,900  
      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) – SYNCORA GTY Insured     5/12 at 101.00     Aaa     34,318,498  
25,000       5.375%, 5/01/18 (Pre-refunded 5/01/12) – AMBAC Insured     5/12 at 101.00     Aaa     28,598,748  
    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     AAA     35,580  
25       5.000%, 12/01/27 (Pre-refunded 12/01/14) – MBIA Insured     12/14 at 100.00     AAA     29,650  
    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     3,776,320  
2,795       5.000%, 12/01/27 – MBIA Insured     12/14 at 100.00     AAA     2,828,652  
10,150     California, General Obligation Bonds, Series 2004, 5.000%, 6/01/31 – AMBAC Insured     12/14 at 100.00     A1     9,402,859  
3,500     Coachella Valley Unified School District, Riverside County, California, General Obligation     8/15 at 100.00     AA     3,463,775  
      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     AA–     17,425,600  
      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+     5,805,545  
      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     7,968,200  
      Revenue Bonds, Series 2005A, 5.000%, 6/01/38 – FGIC Insured              
1,520     Hayward Redevelopment Agency, California, Downtown Redevelopment Project Tax Allocation     3/16 at 100.00     A–     1,283,762  
      Bonds, Series 2006, 5.000%, 3/01/36 – SYNCORA GTY Insured              
5,600     Kern Community College District, California, General Obligation Bonds, Series 2006, 0.000%,     No Opt. Call     AAA     2,385,208  
      11/01/24 – FSA Insured              
5,000     Long Beach Bond Financing Authority, California, Lease Revenue Refunding Bonds, Long Beach     11/11 at 101.00     A     3,977,550  
      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     2,562,256  
      FGIC Insured (Alternative Minimum Tax)              
20,000     Los Angeles Unified School District, California, General Obligation Bonds, Series 2003A,     7/13 at 100.00     AAA     20,761,200  
      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–     3,025,770  
      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     AA     5,462,324  
      (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     A     12,314,550  
5,000       5.125%, 6/15/33 – AMBAC Insured     12/11 at 101.00     A     3,934,950  
2,035     Redding, California, Electric System Revenue Certificates of Participation, Series 2005,     6/15 at 100.00     AA–     1,687,198  
      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     6,009,180  
      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     3,127,291  
      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     2,589,100  
      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     12,049,856  
      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+     2,992,489  
      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)     9,314,798  
      2001, 5.125%, 7/01/36 (Pre-refunded 7/01/11) – AMBAC Insured              
1,220     San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series     7/15 at 100.00     AA+     1,281,732  
      2005A, 5.000%, 7/01/22 – MBIA Insured              
66,685     San Joaquin Hills Transportation Corridor Agency, Orange County, California, Senior Lien Toll     No Opt. Call     AAA     43,279,229  
      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     7/09 at 100.00     AA     20,069,202  
21,500       0.000%, 1/15/32 – MBIA Insured     No Opt. Call     AA     3,448,170  
12,525     San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment     8/10 at 101.00     AA (4)     13,444,961  
      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     13,530,348  
      Project, Series 2006C, 4.250%, 8/01/30 – MBIA Insured              
11,250     Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and     No Opt. Call     AA     13,060,688  
      Housing Facility, Series 1994A, 6.250%, 7/01/24 – MBIA Insured              
6,785     Santa Clara Valley Water District, California, Water Revenue Bonds, Series 2006A, 3.750%,     6/16 at 100.00     AAA     5,861,901  
      6/01/25 – FSA Insured              
5,000     Walnut Energy Center Authority, California, Electric Revenue Bonds, Turlock Irrigation     1/14 at 100.00     A1     4,586,800  
      District, Series 2004A, 5.000%, 1/01/34 – AMBAC Insured              
405,475     Total California             339,001,936  
    Colorado – 7.1% (4.5% 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     868,504  
      SYNCORA GTY Insured              
1,900     Aspen, Colorado, Sales Tax Revenue Bonds, Parks and Open Space, Series 2005B, 5.250%,     11/15 at 100.00     AAA     1,982,384  
      11/01/24 – FSA Insured              
1,000     Colorado Department of Transportation, Certificates of Participation, Series 2004, 5.000%,     6/14 at 100.00     AA     1,016,660  
      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)     5,658,395  
      Hotel, Series 2003A, 5.000%, 12/01/33 (Pre-refunded 12/01/13) – SYNCORA GTY Insured              
1,740     Douglas County School District RE1, Douglas and Elbert Counties, Colorado, General Obligation     12/14 at 100.00     Aa2     1,747,813  
      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%,     No Opt. Call     AA–     11,691,536  
      9/01/23 – 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     33,685,958  
      (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     8,620,490  
      (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–     2,201,900  
      MBIA Insured              
4,520     Jefferson County School District R1, Colorado, General Obligation Bonds, Series 2004,     12/14 at 100.00     AAA     4,623,598  
      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     2,577,875  
      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     994,740  
      FGIC Insured              
107,285     Total Colorado             75,669,853  
    District of Columbia – 1.1% (0.7% 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     5,081,550  
5,000       5.125%, 10/01/25 – FGIC Insured     10/13 at 100.00     AA     5,052,350  
2,670     Washington Convention Center Authority, District of Columbia, Senior Lien Dedicated Tax     10/16 at 100.00     AAA     1,882,243  
      Revenue Bonds, Series 2007, Residuals 1606, 11.765%, 10/01/30 – AMBAC Insured (IF)              
12,670     Total District of Columbia             12,016,143  
    Florida – 6.0% (3.8% of Total Investments)              
1,000     Hillsborough County School Board, Florida, Certificates of Participation, Master Lease     7/15 at 100.00     AA     955,160  
      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     Baa1     553,358  
1,830       5.000%, 5/01/27 – MBIA Insured     5/15 at 102.00     Baa1     1,523,493  
4,425     Jacksonville Economic Development Commission, Florida, Healthcare Facilities Revenue Bonds,     11/12 at 100.00     AA     4,169,810  
      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     A     1,569,730  
      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     1,954,760  
      MBIA Insured              
2,150     Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002A,     10/12 at 100.00     AAA     1,747,456  
      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     AA     29,284,856  
      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     9,873,089  
      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     4,497,528  
      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     1,298,875  
2,145       5.000%, 8/01/29 – MBIA Insured     8/15 at 102.00     AA     1,964,799  
2,320     Osceola County, Florida, Transportation Revenue Bonds, Osceola Parkway, Series 2004, 5.000%,     4/14 at 100.00     A3     2,288,123  
      4/01/23 – MBIA Insured              
2,225     Plantation, Florida, Non-Ad Valorem Revenue Refunding and Improvement Bonds, Series 2003,     8/13 at 100.00     Aa3     2,391,942  
      5.000%, 8/15/18 – FSA Insured              
75,705     Total Florida             64,072,979  
    Georgia – 1.1% (0.7% 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     1,027,480  
      FSA Insured              
1,520     College Park Business and Industrial Development Authority, Georgia, Revenue Bonds, Public     9/14 at 102.00     AA     1,584,585  
      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     1,866,771  
1,135       5.250%, 5/01/20 – MBIA Insured     5/14 at 100.00     AA     1,226,776  
4,500       5.000%, 5/01/36 – MBIA Insured     5/14 at 100.00     AA     4,369,275  
1,250     Glynn-Brunswick Memorial Hospital Authority, Georgia, Revenue Bonds, Southeast Georgia Health     4/09 at 100.00     AA     1,251,200  
      Systems, Series 1996, 5.250%, 8/01/13 – MBIA Insured              
11,100     Total Georgia             11,326,087  
    Idaho – 0.3% (0.2% of Total Investments)              
170     Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-1, 6.750%, 7/01/22     No Opt. Call     Aa1     178,264  
135     Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-2, 6.900%, 7/01/26     No Opt. Call     Aa1     139,614  
      (Alternative Minimum Tax)              
235     Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1995B, 6.600%, 7/01/27     7/09 at 100.00     Aaa     246,123  
      (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     1,052,980  
1,065       5.000%, 7/15/24 – MBIA Insured     7/16 at 100.00     Aa3     1,109,293  
2,605     Total Idaho             2,726,274  
    Illinois – 5.7% (3.6% 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     1,144,731  
    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     A1     4,665,534  
4,870       5.500%, 1/01/18 – AMBAC Insured (Alternative Minimum Tax)     1/11 at 101.00     A1     4,902,337  
7,200     Chicago, Illinois, Third Lien General Airport Revenue Bonds, O’Hare International Airport,     1/16 at 100.00     AA     7,119,000  
      Series 2005A, 5.250%, 1/01/24 – MBIA Insured              
10,000     Illinois Development Finance Authority, Revenue Bonds, Provena Health, Series 1998A, 5.500%,     5/09 at 100.50     AA     9,541,900  
      5/15/21 – MBIA Insured              
2,095     Illinois Educational Facilities Authority, Revenue Bonds, Robert Morris College, Series 2000,     6/09 at 100.00     Baa1     2,032,506  
      5.800%, 6/01/30 – MBIA Insured              
22,510     Illinois, General Obligation Bonds, Illinois FIRST Program, Series 2002, 5.125%, 2/01/27 –     2/12 at 100.00     AA     22,681,076  
      FGIC Insured              
    Schaumburg, Illinois, General Obligation Bonds, Series 2004B:              
4,260       5.000%, 12/01/22 – FGIC Insured     12/14 at 100.00     AA+     4,437,685  
2,365       5.000%, 12/01/23 – FGIC Insured     12/14 at 100.00     AA+     2,443,589  
4,000     Southwestern Illinois Development Authority, School Revenue Bonds, Triad School District 2,     No Opt. Call     AA     1,577,080  
      Madison County, Illinois, Series 2006, 0.000%, 10/01/25 – MBIA Insured              
62,965     Total Illinois             60,545,438  
    Indiana – 3.9% (2.4% of Total Investments)              
2,030     Decatur Township-Marion County Multi-School Building Corporation, Indiana, First Mortgage     7/13 at 100.00     AA+ (4)     2,340,204  
      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     7,021,920  
      MBIA Insured              
20,000     Indianapolis Local Public Improvement Bond Bank, Indiana, Series 1999E, 0.000%, 2/01/28 –     No Opt. Call     AA     6,873,800  
      AMBAC Insured              
3,250     Indianapolis Local Public Improvement Bond Bank, Indiana, Waterworks Project, Series 2002A,     7/12 at 100.00     AAA     3,652,968  
      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     1,553,556  
      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–     4,827,650  
      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     10,436,600  
3,705     Whitley County Middle School Building Corporation, Columbia City, Indiana, First Mortgage     7/13 at 100.00     AAA     4,271,161  
      Bonds, Series 2003, 5.000%, 7/15/16 (Pre-refunded 7/15/13) – FSA Insured              
53,325     Total Indiana             40,977,859  
    Kansas – 1.4% (0.9% 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     2,164,922  
    Neosho County Unified School District 413, Kansas, General Obligation Bonds, Series 2006:              
2,145       5.000%, 9/01/27 – FSA Insured     9/14 at 100.00     Aa3     2,200,577  
4,835       5.000%, 9/01/29 – FSA Insured     9/14 at 100.00     Aa3     4,914,826  
5,000     University of Kansas Hospital Authority, Health Facilities Revenue Bonds, KU Health System,     9/09 at 100.00     AAA     5,138,050  
      Series 1999A, 5.650%, 9/01/29 (Pre-refunded 9/01/09) – AMBAC Insured              
14,035     Total Kansas             14,418,375  
    Kentucky – 2.3% (1.5% of Total Investments)              
3,870     Kenton County School District Finance Corporation, Kentucky, School Building Revenue Bonds,     6/14 at 100.00     Aa3     3,931,301  
      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+     7,669,950  
      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     13,016,733  
      System Revenue Bonds, Series 2001A, 5.500%, 5/15/34 – MBIA Insured              
24,350     Total Kentucky             24,617,984  
    Louisiana – 5.9% (3.7% of Total Investments)              
5,000     DeSoto Parish, Louisiana, Pollution Control Revenue Refunding Bonds, Cleco Utility Group Inc.     9/09 at 102.00     A     4,631,750  
      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     3,155,771  
      MBIA Insured              
4,545     Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series     7/14 at 100.00     AA     4,310,024  
      2004, 5.250%, 7/01/24 – MBIA Insured              
    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     2,432,856  
4,415       5.000%, 5/01/26 – FGIC Insured     5/15 at 100.00     AA     4,451,689  
5,000       5.000%, 5/01/27 – FGIC Insured     5/15 at 100.00     AA     5,015,600  
    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     3,032,370  
35,725       4.500%, 5/01/41 – FGIC Insured (UB)     5/16 at 100.00     Aa3     30,528,085  
38     Louisiana State, Gasoline Tax Revenue Bonds, Series 2006, Residuals 660-1, 14.252%, 5/01/41 –     5/16 at 100.00     Aa3     16,028  
      FGIC Insured (IF)              
4,950     Orleans Levee District, Louisiana, Levee District General Obligation Bonds, Series 1986,     6/09 at 100.00     AAA     4,963,365  
      5.950%, 11/01/15 – FSA Insured              
68,398     Total Louisiana             62,537,538  
    Maine – 0.3% (0.2% of Total Investments)              
3,000     Maine Health and Higher Educational Facilities Authority, Revenue Bonds, Series 2003B, 5.000%,     7/13 at 100.00     AAA     3,010,500  
      7/01/28 – FSA Insured              
    Maryland – 0.3% (0.2% of Total Investments)              
5,345     Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,     9/16 at 100.00     Baa3     3,554,425  
      9/01/28 – SYNCORA GTY Insured              
    Massachusetts – 5.8% (3.7% of Total Investments)              
22,500     Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,     1/12 at 101.00     A (4)     25,358,850  
      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     11,517,770  
      5.000%, 8/15/23 – FSA Insured (UB)              
7,255     Massachusetts Water Resources Authority, General Revenue Bonds, 4.500%, 8/01/46 –     2/17 at 100.00     AAA     6,155,868  
      FSA Insured (UB)              
15,000     Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/23     1/14 at 100.00     A (4)     17,088,000  
      (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     A+ (4)     1,796,115  
      2004-1, 5.375%, 11/01/20 (Pre-refunded 11/01/14) – AMBAC Insured              
57,255     Total Massachusetts             61,916,603  
    Michigan – 7.0% (4.4% of Total Investments)              
5,490     Detroit City School District, Wayne County, Michigan, Unlimited Tax School Building and Site     No Opt. Call     AAA     6,081,548  
      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     5,357,040  
7,420     Detroit, Michigan, Senior Lien Water Supply System Revenue Bonds, Series 1997A, 5.000%,     4/09 at 100.00     AA–     6,580,279  
      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     16,723,069  
20,000       5.875%, 7/01/27 (Pre-refunded 1/01/10) – FGIC Insured     1/10 at 101.00     Aaa     21,158,000  
1,085     Grand Rapids Community College, Kent County, Michigan, General Obligation Refunding Bonds,     5/13 at 100.00     AA     1,178,484  
      Series 2003, 5.250%, 5/01/20 – AMBAC Insured              
6,850     Wayne County, Michigan, Airport Revenue Bonds, Detroit Metropolitan Wayne County Airport,     12/09 at 100.50     AA     6,912,335  
      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     10,092,500  
      Metropolitan Wayne County Airport, Series 2001A, 5.250%, 12/01/25 – MBIA Insured              
72,670     Total Michigan             74,083,255  
    Minnesota – 2.3% (1.5% of Total Investments)              
5,000     City of Minneapolis, Minnesota, Health Care System Revenue Bonds, Series 2008B,     11/18 at 100.00     AAA     5,300,300  
      6.500%, 11/15/38 – AGC Insured              
4,000     Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series     No Opt. Call     AAA     4,378,600  
      2009A, 5.000%, 1/01/15 (WI/DD, Settling 2/11/09) – AGC Insured              
13,020     Saint Paul Housing and Redevelopment Authority, Minnesota, Multifamily Housing Revenue Bonds,     12/11 at 102.00     Aaa     15,177,935  
      Marian Center Project, Series 2001A, 6.450%, 6/20/43 (Pre-refunded 12/20/11)              
22,020     Total Minnesota             24,856,835  
    Nebraska – 2.8% (1.7% of Total Investments)              
27,125     Lincoln, Nebraska, Electric System Revenue Bonds, Series 2007A, 4.500%, 9/01/37 –     9/17 at 100.00     AA     23,462,040  
      FGIC Insured (UB)              
5,000     Municipal Energy Agency of Nebraska, Power Supply System Revenue and Refunding Bonds, Series     4/19 at 100.00     AAA     5,032,700  
      2009A, 5.375%, 4/01/39 – BHAC Insured              
1,000     Nebraska Public Power District, General Revenue Bonds, Series 2005A, 5.000%, 1/01/25 –     1/15 at 100.00     AAA     1,010,160  
      FSA Insured              
33,125     Total Nebraska             29,504,900  
    Nevada – 7.9% (4.9% of Total Investments)              
8,475     Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,     12/12 at 100.00     AA+     7,885,310  
      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     Aa1 (4)     4,127,274  
      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%,     7/14 at 100.00     AA     7,253,186  
      7/01/25 – 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     A     6,483,300  
13,000       5.375%, 1/01/40 – AMBAC Insured     1/10 at 100.00     A     5,620,290  
14,985     Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 – FGIC Insured     6/12 at 100.00     Baa1     12,292,046  
25,300     Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 (Pre-refunded     6/12 at 100.00     Baa1 (4)     28,579,386  
      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     A (4)     11,229,000  
      Corridor Project, Series 2002, 5.125%, 6/01/27 (Pre-refunded 6/01/12) – AMBAC Insured              
97,760     Total Nevada             83,469,792  
    New Jersey – 2.5% (1.6% 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     2,086,720  
2,250       5.125%, 10/01/22 – MBIA Insured     10/14 at 100.00     A1     2,322,383  
    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     3,922,996  
3,850       5.000%, 7/01/23 – MBIA Insured     7/14 at 100.00     AA     3,889,886  
8,250     New Jersey Turnpike Authority, Revenue Bonds, Series 2003A, 5.000%, 1/01/19 – FGIC Insured     7/13 at 100.00     AA     8,681,640  
    New Jersey Turnpike Authority, Revenue Bonds, Series 2005A:              
3,320       5.000%, 1/01/21 – FSA Insured (UB)     1/15 at 100.00     AAA     3,538,390  
2,000       5.000%, 1/01/23 – FSA Insured (UB)     7/13 at 100.00     AAA     2,036,400  
25,520     Total New Jersey             26,478,415  
    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     3,663,733  
      5.000%, 6/15/25 – MBIA Insured              
    New York – 7.0% (4.4% of Total Investments)              
1,880     Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, Montefiore     2/15 at 100.00     AA–     1,825,818  
      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     3,418,942  
      2005F, 5.000%, 3/15/24 – AMBAC Insured              
3,820     Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Series 2006A, 4.500%,     2/17 at 100.00     AA     2,829,398  
      2/15/47 – MBIA Insured              
12,500     Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A,     6/16 at 100.00     AA     12,207,250  
      5.000%, 12/01/25 – FGIC Insured              
6,900     Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 4.250%,     11/16 at 100.00     AA     5,381,448  
      5/01/33 – MBIA 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     1,536,360  
5,000       5.000%, 7/01/25 – FGIC Insured     7/12 at 100.00     AA     5,002,900  
2,615     New York City Industrial Development Agency, New York, Revenue Bonds, Yankee Stadium Project     3/19 at 100.00     AAA     2,757,308  
      Pilot, Series 2009A, 7.000%, 3/01/49 (WI/DD, Settling 2/05/09) – AGC Insured              
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     5,146,700  
      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     9,751,800  
      FGIC Insured              
5,000     New York State Thruway Authority, General Revenue Bonds, Series 2005F, 5.000%, 1/01/26 –     1/15 at 100.00     A+     4,965,950  
      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     1,028,320  
5,000       5.000%, 3/15/25 – FGIC Insured     3/14 at 100.00     AAA     5,071,450  
3,650     New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, Series     3/15 at 100.00     AAA     3,720,737  
      2005B, 5.000%, 3/15/25 – FSA Insured (UB)              
10,000     Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue     11/12 at 100.00     AA     9,701,400  
      Refunding Bonds, Series 2002E, 5.000%, 11/15/32 – MBIA Insured              
77,200     Total New York             74,345,781  
    North Carolina – 1.6% (1.0% 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     AA     2,175,806  
2,575       5.000%, 5/01/26 – FGIC Insured     5/14 at 100.00     AA     2,548,400  
5,000     North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Series 2003A, 5.250%,     1/13 at 100.00     AAA     5,467,150  
      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     3,266,760  
3,295       5.000%, 5/01/24 – AMBAC Insured     5/15 at 100.00     Aa3     3,322,909  
16,190     Total North Carolina             16,781,025  
    North Dakota – 0.6% (0.4% 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     2,277,576  
1,355       5.000%, 12/15/23 – MBIA Insured     12/15 at 100.00     A1     1,385,040  
3,000       5.000%, 12/15/24 – MBIA Insured     12/15 at 100.00     A1     3,038,310  
6,550     Total North Dakota             6,700,926  
    Ohio – 3.1% (1.9% of Total Investments)              
2,650     Cleveland State University, Ohio, General Receipts Bonds, Series 2004, 5.250%, 6/01/24 –     6/14 at 100.00     AA–     2,714,130  
      FGIC Insured              
2,000     Columbus City School District, Franklin County, Ohio, General Obligation Bonds, Series 2004,     12/14 at 100.00     AAA     2,384,980  
      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%,     6/14 at 100.00     A     2,344,407  
      12/01/22 – AMBAC Insured              
2,205     Hamilton City School District, Ohio, General Obligation Bonds, Series 2005, 5.000%, 12/01/24 –     6/15 at 100.00     Baa1     2,223,919  
      MBIA Insured              
6,535     Hamilton County, Ohio, Sales Tax Revenue Bonds, Tender Option Bond Trust 2706, 7.443%,     12/16 at 100.00     A2     2,831,223  
      12/01/32 – AMBAC Insured (IF)              
20,100     Lucas County, Ohio, Hospital Revenue Bonds, ProMedica Healthcare Obligated Group, Series 1999,     11/09 at 101.00     A     16,874,754  
      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     Aa3 (4)     3,488,130  
      5.000%, 12/01/28 (Pre-refunded 12/01/13) – FSA Insured              
38,875     Total Ohio             32,861,543  
    Oklahoma – 3.2% (2.0% of Total Investments)              
3,500     Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,     7/15 at 100.00     AA     3,578,890  
      7/01/24 – AMBAC Insured              
2,920     Oklahoma Housing Finance Agency, GNMA Collateralized Single Family Mortgage Revenue Bonds,     No Opt. Call     AAA     3,166,302  
      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     AA     16,836,120  
      1/01/47 – FGIC Insured              
5,245     Oklahoma State Industries Authority, Revenue Bonds, Oklahoma Medical Research Foundation,     2/11 at 100.00     A1     5,348,222  
      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     A1     5,024,399  
      AMBAC Insured              
37,545     Total Oklahoma             33,953,933  
    Oregon – 0.3% (0.2% of Total Investments)              
2,535     Oregon Department of Administrative Services, Certificates of Participation, Series 2005A,     5/15 at 100.00     AAA     2,577,943  
      5.000%, 5/01/25 – FSA Insured              
1,030     Oregon Housing and Community Services Department, Single Family Mortgage Revenue Bonds,     7/09 at 100.00     Aa2     1,030,505  
      Series 1995A, 6.450%, 7/01/26 (Alternative Minimum Tax)              
3,565     Total Oregon             3,608,448  
    Pennsylvania – 3.4% (2.1% of Total Investments)              
7,925     Commonwealth Financing Authority, Pennsylvania, State Appropriation Lease Bonds, Series 2006A,     6/16 at 100.00     AAA     8,073,594  
      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     1,737,288  
      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     9,973,717  
      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     Aa3     2,624,816  
      AMBAC Insured              
6,335     Radnor Township School District, Delaware County, Pennsylvania, General Obligation Bonds,     8/15 at 100.00     Aa3     6,366,422  
      Series 2005B, 5.000%, 2/15/30 – FSA Insured              
    Reading School District, Berts County, Pennsylvania, General Obligation Bonds, Series 2005:              
3,285       5.000%, 1/15/22 – FSA Insured (UB)     1/16 at 100.00     AAA     3,455,853  
3,450       5.000%, 1/15/23 – FSA Insured (UB)     1/16 at 100.00     AAA     3,589,449  
37,160     Total Pennsylvania             35,821,139  
    Puerto Rico – 0.9% (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     2,983,750  
      (Pre-refunded 7/01/15) – SYNCORA GTY Insured              
2,000     Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2003G, 5.250%,     7/13 at 100.00     BBB+     1,874,620  
      7/01/19 – FGIC Insured              
1,550     Puerto Rico Municipal Finance Agency, Series 2005C, 5.250%, 8/01/21 – CIFG Insured     No Opt. Call     BBB–     1,429,534  
36,000     Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 0.000%,     No Opt. Call     AA–     3,586,320  
      8/01/42 – FGIC Insured              
42,050     Total Puerto Rico             9,874,224  
    Rhode Island – 2.4% (1.5% of Total Investments)              
2,195     Providence Housing Development Corporation, Rhode Island, FHA-Insured Section 8 Assisted     7/09 at 100.00     AA     2,197,810  
      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)     22,128,971  
      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     A2     1,454,723  
      Revenue Bonds, Series 2004A, 5.500%, 9/15/24 – AMBAC Insured              
24,075     Total Rhode Island             25,781,504  
    South Carolina – 6.7% (4.2% of Total Investments)              
14,650     Anderson County School District 5, South Carolina, General Obligation Bonds, Series 2008,     2/18 at 100.00     AAA     14,817,010  
      Trust 1181, 8.484%, 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     9,776,300  
      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     1,994,000  
2,105       5.250%, 8/15/23 – MBIA Insured     8/14 at 100.00     AA     2,069,468  
4,855     Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,     No Opt. Call     Aaa     4,227,249  
      1/01/13 – AMBAC Insured (ETM)              
715     Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,     7/09 at 76.63     Aa3 (4)     545,895  
      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     A     6,659,528  
      1/01/13 – AMBAC Insured              
8,000     South Carolina JOBS Economic Development Authority, Industrial Revenue Bonds, South Carolina     11/12 at 100.00     A     7,989,840  
      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     A     8,236,500  
      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     14,480,375  
      10/01/34 – SYNCORA GTY Insured              
77,780     Total South Carolina             70,796,165  
    Tennessee – 0.6% (0.4% of Total Investments)              
6,455     Memphis-Shelby County Airport Authority, Tennessee, Airport Revenue Bonds, Series 2001A,     3/11 at 100.00     AAA     6,526,392  
      5.500%, 3/01/18 – FSA Insured (Alternative Minimum Tax)              
    Texas – 15.2% (9.5% of Total Investments)              
22,650     Brazos River Authority, Texas, Revenue Refunding Bonds, Houston Industries Inc., Series 1998C,     5/09 at 101.00     AA     19,200,179  
      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     544,060  
      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     AA     11,727,500  
      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     4,821,750  
39,000       0.000%, 8/15/19 (Pre-refunded 8/15/09) – AMBAC Insured     8/09 at 50.26     Aaa     19,504,680  
7,280       0.000%, 8/15/20 (Pre-refunded 8/15/09) – AMBAC Insured     8/09 at 46.91     Aaa     3,398,814  
5,085       0.000%, 8/15/21 (Pre-refunded 8/15/09) – AMBAC Insured     8/09 at 43.80     Aaa     2,216,145  
25,000     Harris County-Houston Sports Authority, Texas, Junior Lien Revenue Refunding Bonds, Series     11/11 at 100.00     AA     18,461,750  
      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     4,684,546  
      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     4,027,200  
5,000       5.250%, 5/15/25 – MBIA Insured     5/14 at 100.00     AA     5,095,700  
17,500     Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment     9/11 at 100.00     A     17,005,100  
      Project, Series 2001B, 5.250%, 9/01/33 – AMBAC Insured              
23,865     Jefferson County Health Facilities Development Corporation, Texas, FHA-Insured Mortgage     8/11 at 100.00     A     20,333,935  
      Revenue 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)     152,337  
      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     8,263,480  
      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     3,230,416  
3,375       5.500%, 10/01/19 – FGIC Insured (Alternative Minimum Tax)     10/11 at 100.00     AAA     3,380,265  
7,205     San Antonio, Texas, Airport System Improvement Revenue Bonds, Series 2001, 5.375%, 7/01/15 –     7/11 at 101.00     AA     7,362,357  
      FGIC Insured (Alternative Minimum Tax)              
7,550     Waco Health Facilities Development Corporation, Texas, Hillcrest Health System Project, FHA     8/16 at 100.00     AA     5,844,455  
      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     A+     1,869,348  
      Bonds, Series 2001, 5.375%, 11/15/24 – AMBAC Insured              
207,452     Total Texas             161,124,017  
    Utah – 1.6% (1.0% 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)     2,293,140  
      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     14,836,050  
17,000     Total Utah             17,129,190  
    Virginia – 1.5% (0.9% of Total Investments)              
1,035     Loudoun County Industrial Development Authority, Virginia, Lease Revenue Bonds, Public Safety     6/14 at 100.00     AAA     1,128,243  
      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     4,889,513  
      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     9,935,600  
      7/01/36 – MBIA Insured              
15,875     Total Virginia             15,953,356  
    Washington – 2.6% (1.6% of Total Investments)              
2,500     Grant County Public Utility District 2, Washington, Revenue Bonds, Wanapum Hydroelectric     1/15 at 100.00     AA     2,387,575  
      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+     3,618,685  
      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)     3,410,982  
      (Pre-refunded 7/01/10) – AMBAC Insured              
4,250     Snohomish County Public Utility District 1, Washington, Generation System Revenue Bonds,     7/09 at 100.00     Aaa     5,515,608  
      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 – SYNCORA GTY Insured     12/16 at 100.00     AA     3,919,836  
4,085       5.000%, 12/01/25 – SYNCORA GTY Insured     12/16 at 100.00     AA     4,075,523  
4,290       5.000%, 12/01/26 – SYNCORA GTY Insured     12/16 at 100.00     AA     4,225,049  
25,710     Total Washington             27,153,258  
    Wisconsin – 2.6% (1.6% of Total Investments)              
15,000     Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Marshfield Clinic,     2/09 at 100.00     AA     12,848,700  
      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     312,988  
2,600     Wisconsin, General Obligation Bonds, Series 2004-3, 5.250%, 5/01/20 (Pre-refunded 5/01/14) –     5/14 at 100.00     Aa3 (4)     3,064,594  
      FGIC Insured              
10,945     Wisconsin, General Obligation Bonds, Series 2004-4, 5.000%, 5/01/20 – MBIA Insured     5/14 at 100.00     AA     11,688,057  
28,835     Total Wisconsin             27,914,339  
$    1,931,700     Total Investments (cost $1,745,496,288) – 159.2%             1,689,525,746  
    Floating Rate Obligations – (8.6)%             (90,833,333)
    Other Assets Less Liabilities – 6.9%             72,975,334  
    Auction Rate Preferred Shares, at Liquidation Value – (57.5)% (5)             (610,400,000)
    Net Assets Applicable to Common Shares – 100%           $   1,061,267,747  

    At least 80% of the Fund’s net assets (including net assets attributable to Auction Rate Preferred shares)  
    are invested in municipal securities that are covered by insurance or backed by an escrow or trust account  
    containing sufficient U.S. Government or U.S. Government agency securities or U.S. Treasury-issued State  
    and Local Government Series securities to 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, AGC, AMBAC, CIFG,  
    FGIC, FSA, MBIA, RAAI and SYNCORA as of January 31, 2009. Subsequent to January 31, 2009, 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 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)     Auction Rate Preferred Shares, at Liquidation Value as a percentage of Total Investments is 36.1%.  
N/R     Not rated.  
(ETM)     Escrowed to maturity.  
WI/DD     Purchased on a when-issued or delayed delivery basis.  
(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.  

Fair Value Measurements

During the current fiscal period, the Fund adopted the provisions of Statement of Financial Accounting Standards No. 157 (SFAS No.157) “Fair Value Measurements.” SFAS No. 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about fair value measurements. In determining the value of the Fund's investments various inputs are used. These inputs are summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities.  
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates,  
               prepayment speeds, credit risk, etc.).  
Level 3 – Significant unobservable inputs (including management's assumptions in determining the fair  
               value of investments).  

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the Fund's fair value measurements as of January 31, 2009:

    Level 1     Level 2            Level 3     Total  
Investments     $ —              $1,689,525,746      $ —             $1,689,525,746  

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 January 31, 2009, the cost of investments was $1,653,830,031.

Gross unrealized appreciation and gross unrealized depreciation of investments at January 31, 2009, were as follows:

Gross unrealized:      
  Appreciation     $  69,364,970  
  Depreciation     (124,497,178)
Net unrealized appreciation (depreciation) of investments     $ (55,132,208)

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          April 1, 2009        

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          April 1, 2009        

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

Date         April 1, 2009        

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