Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-06379         

        Nuveen Insured Municipal Opportunity Fund, Inc.         
(Exact name of registrant as specified in charter)


        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)


Jessica R. Droeger—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:          1/31/06         

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, 2006

        Optional         
Principal        Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Alabama – 11.2% (7.4% of Total Investments)             
    Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health             
    System Inc., Series 1996A:             
$       7,465     5.875%, 11/15/19 (Pre-refunded 11/15/06) – MBIA Insured    11/06 at 102.00    AAA   $    7,762,107 
1,750     5.875%, 11/15/26 (Pre-refunded 11/15/06) – MBIA Insured    11/06 at 102.00    AAA    1,819,650 
11,175    Hoover Board of Education, Alabama, Capital Outlay Tax Anticipation Warrants, Series 2001,    2/11 at 100.00    AAA    11,872,097 
     5.250%, 2/15/22 – MBIA Insured             
3,750    Huntsville Healthcare Authority, Alabama, Revenue Bonds, Series 2005A, 5.000%, 6/01/24 – MBIA    6/15 at 100.00    AAA    3,894,300 
     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    11,390,250 
9,790     5.000%, 2/01/33 (Pre-refunded 2/01/09) – FGIC Insured    2/09 at 101.00    AAA    10,327,961 
29,860     5.750%, 2/01/38 (Pre-refunded 2/01/09) – FGIC Insured    2/09 at 101.00    AAA    32,134,735 
2,500    Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 2002B, 5.125%,    8/12 at 100.00    AAA    2,719,500 
     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    457,474 
14,800     5.000%, 2/01/42 (Pre-refunded 8/01/12) – FGIC Insured    8/12 at 100.00    AAA    15,993,176 
18,760    Jefferson County, Alabama, Sewer Revenue Capitol Improvement Warrants, Series 2001A, 5.000%,    2/11 at 101.00    AAA    20,113,346 
     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 –    2/07 at 100.00    AAA    10,363,829 
     FGIC Insured             
5,240    Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 2003B, 5.000%, 2/01/41    2/11 at 101.00    AAA    5,635,463 
     (Pre-refunded 2/01/11) – FGIC Insured             
6,000    University of Alabama, Tuscaloosa, General Revenue Bonds, Series 2004A, 5.000%, 7/01/29 – MBIA    7/14 at 100.00    AAA    6,265,740 
     Insured             
132,525    Total Alabama            140,749,628 
    Alaska – 1.4% (0.9% of Total Investments)             
3,190    Alaska Housing Finance Corporation, Collateralized Veterans Mortgage Program Bonds, First    12/09 at 100.00    AAA    3,326,787 
     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    11,606,977 
     6/01/39 – MBIA Insured             
3,000    Alaska Student Loan Corporation, Student Loan Revenue Bonds, Series 1998A, 5.250%, 7/01/14 –    7/08 at 100.00    AAA    3,079,200 
     AMBAC Insured (Alternative Minimum Tax)             
17,435    Total Alaska            18,012,964 
    Arizona – 2.4% (1.5% 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    AAA    2,097,380 
2,000     5.000%, 9/01/27 – AMBAC Insured    3/15 at 100.00    AAA    2,088,220 
1,000    Arizona State University, System Revenue Bonds, Series 2005, 5.000%, 7/01/27 – AMBAC Insured    7/15 at 100.00    AAA    1,048,570 
1,000    Maricopa County Union High School District 210, Phoenix, Arizona, General Obligation Bonds,    7/14 at 100.00    AAA    1,057,280 
     Series 2004A, 5.000%, 7/01/22 – FSA Insured             
3,200    Mesa, Arizona, Street and Highway User Tax Revenue Bonds, Series 2005, 5.000%, 7/01/24 – FSA    7/15 at 100.00    AAA    3,385,824 
     Insured             
1,150    Phoenix Civic Improvement Corporation, Arizona, Junior Lien Wastewater System Revenue Bonds,    7/14 at 100.00    AAA    1,204,234 
     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    13,855,579 
     2005, 4.750%, 7/01/25 – MBIA Insured             
4,815    Pima County Industrial Development Authority, Arizona, Lease Obligation Revenue Refunding    7/06 at 101.00    AAA    4,884,095 
     Bonds, Tucson Electric Power Company, Series 1988A, 7.250%, 7/15/10 – FSA Insured             
28,655    Total Arizona            29,621,182 
    Arkansas – 0.4% (0.3% of Total Investments)             
    Pulaski County, Arkansas, Hospital Revenue Bonds, Arkansas Children’s Hospital, Series 2005:             
2,000     5.000%, 3/01/25 – AMBAC Insured    3/15 at 100.00    AAA    2,082,900 
3,000     5.000%, 3/01/30 – AMBAC Insured    3/15 at 100.00    AAA    3,094,920 
5,000    Total Arkansas            5,177,820 
    California – 29.6% (19.4% of Total Investments)             
10,000    California Department of Veterans Affairs, Home Purchase Revenue Bonds, Series 2002A, 5.300%,    6/12 at 101.00    AAA    10,619,400 
     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    33,310,499 
35,000     5.375%, 5/01/18 (Pre-refunded 5/01/12) – AMBAC Insured    5/12 at 101.00    AAA    38,862,245 
    California Department of Water Resources, Water System Revenue Bonds, Central Valley Project,             
    Series 2005AC:             
3,700     5.000%, 12/01/24 – MBIA Insured    12/14 at 100.00    AAA    3,903,796 
2,820     5.000%, 12/01/27 – MBIA Insured    12/14 at 100.00    AAA    2,960,464 
    California Rural Home Mortgage Finance Authority, GNMA Mortgage-Backed Securities Program             
    Single Family Mortgage Revenue Bonds, Series 1996A:             
70     7.550%, 11/01/26 (Alternative Minimum Tax)    No Opt. Call    AAA    70,722 
60     7.750%, 5/01/27 (Alternative Minimum Tax)    No Opt. Call    AAA    60,646 
4,500    California, General Obligation Bonds, Series 1998, 5.000%, 10/01/19 – FGIC Insured    10/08 at 101.00    AAA    4,713,345 
3,500    Coachella Valley Unified School District, Riverside County, California, General Obligation    8/15 at 100.00    AAA    3,688,020 
     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    AAA    20,664,400 
     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    AAA    6,049,633 
     System Subordinated Revenue Bonds, Series 2005A, 5.000%, 6/01/27 – MBIA Insured             
3,190    El Camino Community College District, California, General Obligation Bonds, Series 2005,    8/15 at 100.00    AAA    3,441,372 
     5.000%, 8/01/18 – FSA Insured             
10,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/15 at 100.00    AAA    10,319,300 
     Revenue Bonds, Series 2005A, 5.000%, 6/01/38 – FGIC Insured             
4,000    Kern Community College District, California, General Obligation Bonds, Series 2005, 5.000%,    11/15 at 100.00    AAA    4,295,000 
     11/01/20 – FSA Insured             
5,000    Long Beach Bond Financing Authority, California, Lease Revenue Refunding Bonds, Long Beach    11/11 at 101.00    AAA    5,261,950 
     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    AAA    2,895,057 
     (WI/DD, Settling 5/04/06) – FGIC Insured (Alternative Minimum Tax)             
20,000    Los Angeles Unified School District, California, General Obligation Bonds, Series 2003A,    7/13 at 100.00    AAA    21,120,800 
     5.000%, 7/01/21 – FSA Insured             
12,500    Orange County, California, Recovery Certificates of Participation, Series 1996A, 6.000%,    7/06 at 102.00    AAA    12,893,750 
     7/01/26 (Pre-refunded 7/01/06) – MBIA Insured             
6,205    Port of Oakland, California, Revenue Bonds, Series 2002L, 5.000%, 11/01/22 – FGIC Insured    11/12 at 100.00    AAA    6,403,498 
     (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    AAA    15,710,550 
5,000     5.125%, 6/15/33 – AMBAC Insured    12/11 at 101.00    AAA    5,175,250 
2,035    Redding, California, Electric System Revenue Certificates of Participation, Series 2005,    6/15 at 100.00    AAA    2,103,111 
     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    6,262,140 
     Series 2003, 5.000%, 7/01/26 – FSA Insured             
2,285    Rio Hondo Community College District, California, General Obligation Bonds, Series 2005A,    8/15 at 100.00    AAA    2,450,114 
     5.000%, 8/01/20 – FGIC Insured             
2,970    Riverside Community College District, California, General Obligation Bonds, Series 2005,    8/15 at 100.00    AAA    3,162,931 
     5.000%, 8/01/22 – FSA Insured             
2,500    Sacramento County Sanitation Financing Authority, California, Revenue Bonds, Series 2005B,    12/15 at 100.00    AAA    2,612,775 
     4.750%, 12/01/21 – FGIC Insured             
6,500    Salinas, California, GNMA Collateralized Housing Facility Revenue Refunding Bonds, Villa Serra    7/06 at 100.00    AAA    6,550,830 
     Project, Series 1994A, 6.600%, 7/20/30             
13,710    San Francisco Airports Commission, California, Revenue Refunding Bonds, San Francisco    5/11 at 100.00    AAA    14,155,986 
     International Airport, Second Series 2001, Issue 27A, 5.250%, 5/01/26 – MBIA Insured             
     (Alternative Minimum Tax)             
11,500    San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series    7/11 at 100.00    AAA    11,872,370 
     2001, 5.125%, 7/01/36 – AMBAC Insured             
    San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series             
    2005A:             
1,165     5.000%, 7/01/21 – MBIA Insured    7/15 at 100.00    AAA    1,244,779 
1,220     5.000%, 7/01/22 – MBIA Insured    7/15 at 100.00    AAA    1,298,641 
1,280     5.000%, 7/01/23 – MBIA Insured    7/15 at 100.00    AAA    1,358,413 
66,685    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Senior Lien Toll    No Opt. Call    AAA    34,335,439 
     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    1/07 at 102.00    AAA    32,707,614 
21,500     0.000%, 1/15/32 – MBIA Insured    No Opt. Call    AAA    6,283,375 
12,525    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment    8/10 at 101.00    AAA    13,160,519 
     Project, Series 2002, 5.000%, 8/01/20 – MBIA Insured             
11,000    Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and    No Opt. Call    AAA    13,589,180 
     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    AAA    5,149,650 
     District, Series 2004A, 5.000%, 1/01/34 – AMBAC Insured             
398,525    Total California            370,717,564 
    Colorado – 6.9% (4.6% of Total Investments)             
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    2,062,089 
     FSA Insured             
1,000    Colorado Department of Transportation, Certificates of Participation, Series 2004, 5.000%,    6/14 at 100.00    AAA    1,045,510 
     6/15/25 – MBIA Insured             
10,545    Denver City and County, Colorado, Airport System Revenue Bonds, Series 1996D, 5.500%, 11/15/25 –    11/06 at 101.00    AAA    10,803,985 
     MBIA Insured             
4,950    Denver Convention Center Hotel Authority, Colorado, Senior Revenue Bonds, Convention Center    12/13 at 100.00    AAA    5,100,035 
     Hotel, Series 2003A, 5.000%, 12/01/33 – XLCA Insured             
1,740    Douglas County School District RE1, Douglas and Elbert Counties, Colorado, General Obligation    12/14 at 100.00    Aaa    1,821,780 
     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    AAA    16,018,495 
     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    33,890,471 
     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    7,452,172 
     (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    AAA    3,600,000 
     MBIA Insured             
1,250    Jefferson County School District R1, Colorado, General Obligation Bonds, Series 2004, 5.000%,    12/14 at 100.00    AAA    1,320,050 
     12/15/24 – FSA Insured             
2,500    Summit County School District RE-1, Summit, Colorado, General Obligation Bonds, Series 2004B,    12/14 at 100.00    Aaa    2,639,575 
     5.000%, 12/01/24 – FGIC Insured             
1,250    University of Colorado, Enterprise System Revenue Bonds, Series 2005, 5.000%, 6/01/30 – FGIC    6/15 at 100.00    AAA    1,309,263 
     Insured             
113,730    Total Colorado            87,063,425 
    Connecticut – 0.8% (0.5% of Total Investments)             
2,100    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State    11/15 at 100.00    AAA    2,263,653 
     University System, Series 2005G, 5.000%, 11/01/19 – FSA Insured             
4,000    Connecticut, General Obligation Bonds, Series 2004D, 5.000%, 12/01/24 – MBIA Insured    12/14 at 100.00    AAA    4,238,440 
3,335    Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System    11/15 at 100.00    AAA    3,532,032 
     Revenue Bonds, Series 2005A, 5.000%, 11/15/25 – MBIA Insured             
9,435    Total Connecticut            10,034,125 
    Delaware – 0.3% (0.2% of Total Investments)             
3,400    Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2005, 5.000%,    1/15 at 100.00    AAA    3,591,386 
     1/01/24 – MBIA Insured             
    District of Columbia – 1.0% (0.7% of Total Investments)             
1,895    District of Columbia Housing Finance Agency, GNMA Collateralized Single Family Mortgage    6/06 at 100.00    AAA    1,901,841 
     Revenue Bonds, Series 1990B, 7.100%, 12/01/24 (Alternative Minimum Tax)             
    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    AAA    5,300,550 
5,000     5.125%, 10/01/25 – FGIC Insured    10/13 at 100.00    AAA    5,310,300 
11,895    Total District Of Columbia            12,512,691 
    Florida – 6.5% (4.3% of Total Investments)             
6,020    Board of Regents, Florida State University, Housing Facility Revenue Bonds, Series 2005A,    5/15 at 101.00    AAA    6,332,799 
     5.000%, 5/01/27 – MBIA Insured             
3,445    Collier County, Florida, Capital Improvement Revenue Bonds, Series 2005, 5.000%, 10/01/24 –    10/14 at 100.00    AAA    3,631,753 
     MBIA Insured             
1,000    Hillsborough County School Board, Florida, Certificates of Participation, Master Lease    7/15 at 100.00    AAA    1,048,570 
     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    Aaa    684,010 
1,830     5.000%, 5/01/27 – MBIA Insured    5/15 at 102.00    Aaa    1,932,315 
4,425    Jacksonville Economic Development Commission, Florida, Healthcare Facilities Revenue Bonds,    11/12 at 100.00    AAA    4,797,231 
     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    AAA    1,601,185 
     AMBAC Insured             
2,000    Marco Island, Florida, Water Utility System Revenue Bonds, Series 2003, 5.000%, 10/01/27 –    10/13 at 100.00    AAA    2,087,180 
     MBIA Insured             
35,920    Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002,    10/12 at 100.00    AAA    37,452,346 
     5.375%, 10/01/32 – FGIC Insured (Alternative Minimum Tax)             
2,150    Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002A,    10/12 at 100.00    AAA    2,202,503 
     5.125%, 10/01/35 – FSA Insured (Alternative Minimum Tax)             
5,320    Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System, Series    6/15 at 100.00    AAA    5,553,548 
     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    AAA    1,377,901 
2,145     5.000%, 8/01/29 – MBIA Insured    8/15 at 102.00    AAA    2,259,200 
    Ocala, Florida, Utility System Revenue Bonds, Series 2005B:             
1,025     5.250%, 10/01/24 – FGIC Insured    10/15 at 100.00    Aaa    1,114,400 
2,590     5.000%, 10/01/27 – FGIC Insured    10/15 at 100.00    Aaa    2,716,340 
2,320    Osceola County, Florida, Transportation Revenue Bonds, Osceola Parkway, Series 2004, 5.000%,    4/14 at 100.00    Aaa    2,446,231 
     4/01/23 – MBIA Insured             
    Plantation, Florida, Non-Ad Valorem Revenue Refunding and Improvement Bonds, Series 2003:             
2,110     5.000%, 8/15/17 – FSA Insured    8/13 at 100.00    Aaa    2,252,910 
2,225     5.000%, 8/15/18 – FSA Insured    8/13 at 100.00    Aaa    2,371,983 
77,965    Total Florida            81,862,405 
    Georgia – 0.6% (0.4% of Total Investments)             
1,000    Atlanta, Georgia, Water and Wastewater Revenue Bonds, Series 2004, 5.000%, 11/01/22 – FSA    11/14 at 100.00    AAA    1,055,390 
     Insured             
1,520    College Park Business and Industrial Development Authority, Georgia, Revenue Bonds, Public    9/14 at 102.00    AAA    1,657,788 
     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    AAA    1,852,127 
1,135     5.250%, 5/01/20 – MBIA Insured    5/14 at 100.00    AAA    1,239,375 
1,250    Glynn-Brunswick Memorial Hospital Authority, Georgia, Revenue Bonds, Southeast Georgia Health    8/06 at 102.00    AAA    1,286,425 
     Systems, Series 1996, 5.250%, 8/01/13 – MBIA Insured             
640    Glynn-Brunswick Memorial Hospital Authority, Georgia, Revenue Bonds, Southeast Georgia Health    8/06 at 102.00    AAA    658,963 
     Systems, Series 1996, 5.250%, 8/01/13 (Pre-refunded 8/01/06) – MBIA Insured             
7,240    Total Georgia            7,750,068 
    Hawaii – 3.2% (2.1% of Total Investments)             
24,250    Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaiian Electric    5/06 at 101.00    AAA    24,648,428 
     Company Inc., Series 1996A, 6.200%, 5/01/26 – MBIA Insured (Alternative Minimum Tax)             
    Hawaii, General Obligation Bonds, Series 2005DF:             
10,000     5.000%, 7/01/24 – AMBAC Insured    7/15 at 100.00    AAA    10,564,800 
5,000     5.000%, 7/01/25 – AMBAC Insured    7/15 at 100.00    AAA    5,278,400 
39,250    Total Hawaii            40,491,628 
    Idaho – 0.1% (0.1% of Total Investments)             
645    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-1, 6.750%, 7/01/22    No Opt. Call    Aa1    653,269 
580    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-2, 6.900%, 7/01/26    No Opt. Call    Aa1    588,039 
     (Alternative Minimum Tax)             
630    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1995B, 6.600%, 7/01/27    7/06 at 101.00    Aaa    632,583 
     (Alternative Minimum Tax)             
1,855    Total Idaho            1,873,891 
    Illinois – 6.1% (4.0% 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    1,143,408 
    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    AAA    4,926,651 
4,870     5.500%, 1/01/18 – AMBAC Insured (Alternative Minimum Tax)    1/11 at 101.00    AAA    5,198,871 
7,200    Chicago, Illinois, Third Lien General Airport Revenue Bonds, O’Hare International Airport,    1/16 at 100.00    AAA    7,774,416 
     Series 2005A, 5.250%, 1/01/24 – MBIA Insured             
2,635    Eastern Illinois University, Auxiliary Facilities System Revenue Bonds, Series 1989, 0.000%,    4/06 at 82.25    AAA    2,155,035 
     10/01/09 – MBIA Insured             
10,000    Illinois Development Finance Authority, Revenue Bonds, Provena Health, Series 1998A, 5.500%,    5/08 at 101.00    AAA    10,462,700 
     5/15/21 – MBIA Insured             
2,095    Illinois Educational Facilities Authority, Revenue Bonds, Robert Morris College, Series 2000,    12/07 at 100.00    Aaa    2,175,385 
     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    4,730,625 
     1999, 5.000%, 1/01/19 (Pre-refunded 1/01/09) – FSA Insured             
7,000    Illinois Health Facilities Authority, Revenue Bonds, Hospital Sisters Services Inc. Obligated    6/08 at 101.00    Aaa    7,244,090 
     Group, Series 1998A, 5.000%, 6/01/18 – MBIA Insured             
22,410    Illinois, General Obligation Bonds, Illinois FIRST Program, Series 2002, 5.125%, 2/01/27 –    2/12 at 100.00    AAA    23,330,603 
     FGIC Insured             
    Schaumburg, Illinois, General Obligation Bonds, Series 2004B:             
4,260     5.000%, 12/01/22 – FGIC Insured    12/14 at 100.00    AAA    4,494,641 
2,365     5.000%, 12/01/23 – FGIC Insured    12/14 at 100.00    AAA    2,489,919 
73,000    Total Illinois            76,126,344 
    Indiana – 3.2% (2.1% of Total Investments)             
2,350    Cloverdale Multi-School Building Corporation, Putnam and Owen Counties, Indiana, First    7/15 at 100.00    AAA    2,466,396 
     Mortgage Bonds, Series 2005, 5.000%, 7/15/24 – MBIA Insured             
2,030    Decatur Township-Marion County Multi-School Building Corporation, Indiana, First Mortgage    7/13 at 100.00    AAA    2,142,564 
     Bonds, Series 2003, 5.000%, 7/15/20 – FGIC Insured             
20,000    Indianapolis Local Public Improvement Bond Bank, Indiana, Series 1999E, 0.000%, 2/01/28 –    No Opt. Call    AAA    7,135,600 
     AMBAC Insured             
3,250    Indianapolis Local Public Improvement Bond Bank, Indiana, Waterworks Project, Series 2002A,    7/12 at 100.00    AAA    3,555,695 
     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    1,395,731 
     Series 2004, 5.000%, 1/15/25 – FSA Insured             
    Noblesville Redevelopment Authority, Indiana, Economic Development Lease Rental Bonds, Exit 10             
    Project, Series 2003:             
3,110     5.000%, 1/15/21 – AMBAC Insured    7/13 at 100.00    AAA    3,256,637 
5,000     5.000%, 1/15/28 – AMBAC Insured    7/13 at 100.00    AAA    5,174,350 
10,000    Purdue University, Indiana, Student Fee Bonds, Series 2002O, 5.000%, 7/01/19 – MBIA Insured    1/12 at 100.00    AAA    10,600,300 
3,705    Whitley County Middle School Building Corporation, Columbia City, Indiana, First Mortgage    7/13 at 100.00    AAA    3,983,283 
     Bonds, Series 2003, 5.000%, 7/15/16 – FSA Insured             
50,785    Total Indiana            39,710,556 
    Kansas – 0.7% (0.4% of Total Investments)             
1,055    Butler County Unified School District 394, Kansas, General Obligation Bonds, Series 2004,    9/14 at 100.00    AAA    1,125,052 
     5.000%, 9/01/20 – FSA Insured             
2,055    Kansas Turnpike Authority, Revenue Bonds, Series 2004A-2, 5.000%, 9/01/23 – FSA Insured    9/14 at 101.00    AAA    2,187,527 
5,000    University of Kansas Hospital Authority, Health Facilities Revenue Bonds, KU Health System,    9/09 at 100.00    AAA    5,295,650 
     Series 1999A, 5.650%, 9/01/29 – AMBAC Insured             
8,110    Total Kansas            8,608,229 
    Kentucky – 1.5% (1.0% of Total Investments)             
3,870    Kenton County School District Finance Corporation, Kentucky, School Building Revenue Bonds,    6/14 at 100.00    Aaa    4,112,146 
     Series 2004, 5.000%, 6/01/20 – MBIA Insured             
12,980    Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage    11/11 at 101.00    AAA    14,123,798 
     System Revenue Bonds, Series 2001A, 5.500%, 5/15/34 – MBIA Insured             
16,850    Total Kentucky            18,235,944 
    Louisiana – 2.3% (1.5% of Total Investments)             
5,000    De Soto Parish, Louisiana, Pollution Control Revenue Refunding Bonds, Cleco Utility Group Inc.    9/09 at 102.00    AAA    5,447,550 
     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    AAA    3,231,396 
     MBIA Insured             
1,640    Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series    7/14 at 100.00    AAA    1,739,482 
     2004, 5.250%, 7/01/24 – MBIA Insured             
    Louisiana, Gasoline and Fuels Tax Revenue Bonds, Series 2005A:             
2,400     5.000%, 5/01/25 – FGIC Insured    5/15 at 100.00    AAA    2,509,224 
4,415     5.000%, 5/01/26 – FGIC Insured    5/15 at 100.00    AAA    4,602,284 
5,000     5.000%, 5/01/27 – FGIC Insured    5/15 at 100.00    AAA    5,204,400 
6,455    Orleans Levee District, Louisiana, Levee District General Obligation Bonds, Series 1986,    6/06 at 103.00    AAA    6,657,429 
     5.950%, 11/01/15 – FSA Insured             
27,935    Total Louisiana            29,391,765 
    Maine – 0.2% (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    3,094,530 
     7/01/28 – FSA Insured             
    Maryland – 0.5% (0.4% of Total Investments)             
    Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A:             
1,050     5.250%, 9/01/27 (WI/DD, Settling 2/08/06) – XLCA Insured    9/16 at 100.00    AAA    1,134,525 
5,345     5.250%, 9/01/28 (WI/DD, Settling 2/08/06) – XLCA Insured    9/16 at 100.00    AAA    5,765,812 
6,395    Total Maryland            6,900,337 
    Massachusetts – 4.5% (3.0% of Total Investments)             
22,500    Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,    1/12 at 101.00    AAA    24,141,600 
     Series 2002A, 5.375%, 1/01/42 – AMBAC Insured             
11,000    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,    8/15 at 100.00    AAA    11,663,410 
     5.000%, 8/15/23 – FSA Insured             
15,000    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/23    1/14 at 100.00    AAA    16,447,650 
     (Pre-refunded 1/01/14) – FGIC Insured             
    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series             
    2004-1:             
1,500     5.375%, 11/01/20 – AMBAC Insured    11/14 at 100.00    AAA    1,656,390 
2,500     5.375%, 11/01/21 – AMBAC Insured    11/14 at 100.00    AAA    2,756,775 
52,500    Total Massachusetts            56,665,825 
    Michigan – 7.4% (4.8% of Total Investments)             
5,490    Detroit City School District, Wayne County, Michigan, Unlimited Tax School Building and Site    No Opt. Call    AAA    6,783,170 
     Improvement Bonds, Series 2001A, 6.000%, 5/01/29 – FSA Insured             
6,000    Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18 – MBIA Insured    10/11 at 100.00    AAA    6,491,700 
7,420    Detroit, Michigan, Senior Lien Water Supply System Revenue Bonds, Series 1997A, 5.000%,    7/07 at 101.00    AAA    7,595,260 
     7/01/27 – MBIA Insured             
1,280    Detroit, Michigan, Senior Lien Water Supply System Revenue Bonds, Series 1997A, 5.000%,    7/07 at 101.00    AAA    1,322,509 
     7/01/27 (Pre-refunded 7/01/07) – 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    17,264,442 
20,000     5.875%, 7/01/27 (Pre-refunded 1/01/10) – FGIC Insured    1/10 at 101.00    AAA    21,910,000 
8,000    Gaylord Community Schools, Otsego and Antrim Counties, Michigan, School Building and Site    5/07 at 37.75    AAA    2,897,280 
     Refunding Bonds, Series 1992, 0.000%, 5/01/21 (Pre-refunded 5/01/07) – MBIA Insured             
1,085    Grand Rapids Community College, Kent County, Michigan, General Obligation Refunding Bonds,    5/13 at 100.00    AAA    1,177,019 
     Series 2003, 5.250%, 5/01/20 – AMBAC Insured             
27,000    Okemos Public School District, Ingham County, Michigan, School Building and Site Bonds, Series    5/06 at 34.54    AAA    9,252,090 
     1991I, 0.000%, 5/01/21 (Pre-refunded 5/01/06) – MBIA Insured             
6,850    Wayne County, Michigan, Airport Revenue Bonds, Detroit Metropolitan Wayne County Airport,    12/08 at 101.00    AAA    7,169,210 
     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    AAA    10,697,000 
     Metropolitan Wayne County Airport, Series 2001A, 5.250%, 12/01/25 – MBIA Insured             
108,950    Total Michigan            92,559,680 
    Minnesota – 1.1% (0.7% of Total Investments)             
13,020    St. Paul Housing and Redevelopment Authority, Minnesota, GNMA Collateralized Multifamily    12/11 at 102.00    Aaa    13,926,322 
     Housing Revenue Bonds, Marian Center Project, Series 2001A, 6.450%, 6/20/43             
    Nebraska – 0.3% (0.1% of Total Investments)             
    Nebraska Public Power District, General Revenue Bonds, Series 2005A:             
1,000     5.000%, 1/01/24 – FSA Insured    1/15 at 100.00    AAA    1,055,530 
1,000     5.000%, 1/01/25 – FSA Insured    1/15 at 100.00    AAA    1,054,010 
2,000    Total Nebraska            2,109,540 
    Nevada – 8.3% (5.5% of Total Investments)             
12,105    Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,    12/12 at 100.00    AAA    12,446,119 
     Series 2002, 5.000%, 6/01/32 – 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    AAA    7,746,386 
     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    AAA    16,211,550 
13,000     5.375%, 1/01/40 – AMBAC Insured    1/10 at 100.00    AAA    13,582,660 
315    Nevada Housing Division, Single Family Mortgage Bonds, Senior Series 1994B-1, 6.700%, 10/01/17    4/06 at 100.00    Aa2    315,964 
240    Nevada Housing Division, Single Family Mortgage Bonds, Senior Series 1994B-2, 6.950%, 10/01/26    4/06 at 100.00    Aa2    240,233 
     (Alternative Minimum Tax)             
14,985    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 – FGIC Insured    6/12 at 100.00    AAA    16,001,582 
25,300    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 (Pre-refunded    6/12 at 100.00    AAA    27,829,241 
     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    AAA    10,402,000 
     Corridor Project, Series 2002, 5.125%, 6/01/27 – AMBAC Insured             
98,315    Total Nevada            104,775,735 
    New Jersey – 2.6% (1.7% 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    Aaa    2,138,360 
2,250     5.125%, 10/01/22 – MBIA Insured    10/14 at 100.00    Aaa    2,400,593 
    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    AAA    4,070,528 
3,850     5.000%, 7/01/23 – MBIA Insured    7/14 at 100.00    AAA    4,062,135 
2,120    New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Series 2004E,    7/14 at 100.00    AAA    2,250,719 
     5.000%, 7/01/21 – FGIC Insured             
    New Jersey Turnpike Authority, Revenue Bonds, Series 2003A:             
8,250     5.000%, 1/01/19 – FGIC Insured    7/13 at 100.00    AAA    8,805,802 
2,000     5.000%, 1/01/23 – FSA Insured    7/13 at 100.00    AAA    2,105,540 
3,320    New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.000%, 1/01/21 – FSA Insured    1/15 at 100.00    AAA    3,532,248 
2,795    Rutgers State University, New Jersey, Revenue Bonds, Series 2004E, 5.000%, 5/01/22 – FGIC    5/14 at 100.00    AAA    2,954,371 
     Insured             
30,435    Total New Jersey            32,320,296 
    New Mexico – 0.3% (0.1% of Total Investments)             
3,660    San Juan County, New Mexico, Subordinate Gross Receipts Tax Revenue Bonds, Series 2005,    6/15 at 100.00    AAA    3,834,143 
     5.000%, 6/15/25 – MBIA Insured             
    New York – 7.8% (5.1% of Total Investments)             
1,880    Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, Montefiore    2/15 at 100.00    AAA    1,983,814 
     Hospital, Series 2004, 5.000%, 8/01/23 – FGIC Insured             
1,000    Dormitory Authority of the State of New York, Revenue Bonds, Mental Health Services Facilities    2/15 at 100.00    AAA    1,055,400 
     Improvements, Series 2005D, 5.000%, 2/15/23 – 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    3,521,060 
     2005F, 5.000%, 3/15/24 – AMBAC Insured             
8,685    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A,    6/08 at 101.00    AAA    9,109,783 
     5.300%, 12/01/19 – FSA Insured             
    Metropolitan Transportation Authority, New York, State Service Contract Refunding Bonds,             
    Series 2002A:             
2,500     5.000%, 7/01/21 – FGIC Insured    7/12 at 100.00    AAA    2,643,500 
5,000     5.000%, 7/01/25 – FGIC Insured    7/12 at 100.00    AAA    5,255,800 
1,500    New York City Municipal Water Finance Authority, New York, Water and Sewerage System Revenue    6/15 at 100.00    AAA    1,583,190 
     Bonds, Fiscal Series 2005C, 5.000%, 6/15/25 – MBIA Insured             
    New York City Sales Tax Asset Receivable Corporation, New York, Dedicated Revenue Bonds, Local             
    Government Assistance Corporation, Series 2004A:             
4,825     5.000%, 10/15/24 – MBIA Insured    10/14 at 100.00    AAA    5,101,907 
1,665     5.000%, 10/15/25 – MBIA Insured    10/14 at 100.00    AAA    1,758,074 
10,525    New York City, New York, General Obligation Bonds, Fiscal Series 2005M, 5.000%, 4/01/26 – FGIC    4/15 at 100.00    AAA    11,041,041 
     Insured             
5,000    New York City, New York, General Obligation Bonds, Fiscal Series 2006F-1, 5.000%, 9/01/21 –    9/15 at 100.00    AAA    5,318,800 
     AMBAC Insured             
5,000    New York State Thruway Authority, General Revenue Bonds, Series 2005F, 5.000%, 1/01/26 – AMBAC    1/15 at 100.00    AAA    5,254,900 
     Insured             
3,000    New York State Thruway Authority, General Revenue Bonds, Series 2005G, 4.750%, 1/01/29 – FSA    7/15 at 100.00    AAA    3,053,490 
     Insured             
    New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Second Generation,             
    Series 2005B:             
3,770     5.000%, 4/01/21 – AMBAC Insured    10/15 at 100.00    AAA    4,030,582 
7,000     5.000%, 4/01/22 – AMBAC Insured    10/15 at 100.00    AAA    7,455,070 
3,500    New York State Thruway Authority, State Personal Income Tax Revenue Bonds, Series 2005A,    3/15 at 100.00    AAA    3,749,935 
     5.000%, 3/15/19 – FSA Insured             
3,650    New York State Urban Development Corporation, Service Contract Revenue Bonds, Series 2005B,    3/15 at 100.00    AAA    3,850,823 
     5.000%, 3/15/25 – FSA 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    1,052,770 
5,000     5.000%, 3/15/25 – FGIC Insured    3/14 at 100.00    AAA    5,249,800 
15,000    Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue    11/12 at 100.00    AAA    15,491,100 
     Refunding Bonds, Series 2002E, 5.000%, 11/15/32 – MBIA Insured             
92,835    Total New York            97,560,839 
    North Carolina – 1.4% (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    AAA    2,234,075 
2,575     5.000%, 5/01/26 – FGIC Insured    5/14 at 100.00    AAA    2,698,008 
5,000    North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Series 2003A, 5.250%,    1/13 at 100.00    AAA    5,426,100 
     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    Aaa    3,383,294 
3,295     5.000%, 5/01/24 – AMBAC Insured    5/15 at 100.00    Aaa    3,470,558 
16,190    Total North Carolina            17,212,035 
    North Dakota – 0.9% (0.6% 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    Aaa    2,336,534 
1,355     5.000%, 12/15/23 – MBIA Insured    12/15 at 100.00    Aaa    1,438,983 
3,000     5.000%, 12/15/24 – MBIA Insured    12/15 at 100.00    Aaa    3,178,500 
3,600    North Dakota Water Commission, Water Development and Management Program Bonds, Series 2005B,    8/15 at 100.00    AAA    3,802,032 
     5.000%, 8/01/25 – MBIA Insured             
10,150    Total North Dakota            10,756,049 
    Ohio – 2.9% (1.9% of Total Investments)             
2,650    Cleveland State University, Ohio, General Receipts Bonds, Series 2004, 5.250%, 6/01/24 – FGIC    6/14 at 100.00    AAA    2,879,305 
     Insured             
2,000    Columbus City School District, Franklin County, Ohio, General Obligation Bonds, Series 2004,    12/14 at 100.00    AAA    2,173,680 
     5.250%, 12/01/25 – FSA Insured             
2,385    Columbus, Ohio, Tax Increment Financing Bonds, Easton Project, Series 2004A, 5.000%, 12/01/22 –    6/14 at 100.00    AAA    2,499,909 
     AMBAC Insured             
2,205    Hamilton City School District, Ohio, General Obligation Bonds, Series 2005, 5.000%, 12/01/24 –    6/15 at 100.00    Aaa    2,333,816 
     MBIA Insured             
20,100    Lucas County, Ohio, Hospital Revenue Bonds, ProMedica Healthcare Obligated Group, Series 1999,    11/09 at 101.00    AAA    21,271,629 
     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    3,127,080 
     5.000%, 12/01/28 – FSA Insured             
1,530    Tallmadge City School District, Ohio, General Obligation Bonds, Series 2005, 5.000%, 12/01/28 –    6/15 at 100.00    AAA    1,602,537 
     FSA Insured             
33,870    Total Ohio            35,887,956 
    Oklahoma – 1.7% (1.1% of Total Investments)             
2,500    Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,    7/15 at 100.00    AAA    2,643,175 
     7/01/24 – AMBAC Insured             
5,265    Oklahoma Housing Finance Agency, GNMA Collateralized Single Family Mortgage Revenue Bonds,    No Opt. Call    AAA    5,623,810 
     Series 1987A, 7.997%, 8/01/18 (Alternative Minimum Tax)             
5,245    Oklahoma State Industries Authority, Revenue Bonds, Oklahoma Medical Research Foundation,    2/11 at 100.00    Aaa    5,550,888 
     Series 2001, 5.250%, 2/01/21 – AMBAC Insured             
2,515    Oklahoma State University, Athletic Facilities Revenue Bonds, Series 2004, 5.000%, 8/01/34 –    8/14 at 100.00    AAA    2,613,110 
     AMBAC Insured             
4,880    University of Oklahoma, Student Housing Revenue Bonds, Series 2004, 5.000%, 7/01/22 – AMBAC    7/14 at 100.00    Aaa    5,156,013 
     Insured             
20,405    Total Oklahoma            21,586,996 
    Oregon – 0.8% (0.5% of Total Investments)             
    Oregon Department of Administrative Services, Certificates of Participation, Series 2005A:             
2,535     5.000%, 5/01/25 – FSA Insured    5/15 at 100.00    AAA    2,660,204 
2,115     5.000%, 5/01/30 – FSA Insured    5/15 at 100.00    AAA    2,199,833 
3,470    Oregon Department of Administrative Services, Certificates of Participation, Series 2005B,    11/15 at 100.00    AAA    3,723,032 
     5.000%, 11/01/18 – FGIC Insured             
1,385    Oregon Housing and Community Services Department, Single Family Mortgage Revenue Bonds, Series    7/06 at 101.00    Aa2    1,412,271 
     1995A, 6.450%, 7/01/26 (Alternative Minimum Tax)             
9,505    Total Oregon            9,995,340 
    Pennsylvania – 1.3% (0.9% of Total Investments)             
1,800    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Drexel University, Series    5/15 at 100.00    AAA    1,886,112 
     2005A, 5.000%, 5/01/28 – MBIA Insured             
6,335    Radnor Township School District, Delaware County, Pennsylvania, General Obligation Bonds,    8/15 at 100.00    Aaa    6,625,903 
     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    1/16 at 100.00    AAA    3,498,328 
3,450     5.000%, 1/15/23 – FSA Insured    1/16 at 100.00    AAA    3,665,383 
1,000    York County, Pennsylvania, General Obligation Bonds, Series 2006, 5.000%, 6/01/33 – MBIA    12/15 at 100.00    AAA    1,040,530 
     Insured             
15,870    Total Pennsylvania            16,716,256 
    Puerto Rico – 0.5% (0.3% 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    2,611,600 
     XLCA Insured             
2,000    Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2003G, 5.250%,    7/13 at 100.00    AAA    2,182,460 
     7/01/19 – FGIC Insured             
1,550    Puerto Rico Municipal Finance Agency, Series 2005C, 5.250%, 8/01/21 – CIFG Insured    No Opt. Call    AAA    1,733,102 
6,050    Total Puerto Rico            6,527,162 
    Rhode Island – 2.1% (1.4% of Total Investments)             
2,195    Providence Housing Development Corporation, Rhode Island, FHA-Insured Section 8 Assisted    7/06 at 100.00    AAA    2,211,506 
     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    AAA    22,129,994 
     Series 1993B, 5.250%, 8/01/21 (Pre-refunded 2/01/11) – MBIA Insured             
1,405    Rhode Island Health and Educational Building Corporation, Higher Education Auxiliary    9/14 at 100.00    Aaa    1,549,265 
     Enterprise Revenue Bonds, Series 2004A, 5.500%, 9/15/24 – AMBAC Insured             
24,075    Total Rhode Island            25,890,765 
    South Carolina – 3.9% (2.6% of Total Investments)             
10,000    Beaufort County, South Carolina, Tax Increment Bonds, New River Redevelopment Project, Series    12/12 at 100.00    AAA    10,371,100 
     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    AAA    2,141,940 
2,105     5.250%, 8/15/23 – MBIA Insured    8/14 at 100.00    AAA    2,249,719 
4,855    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,    No Opt. Call    AAA    3,498,028 
     1/01/13 (ETM) – AMBAC Insured             
7,955    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,    No Opt. Call    AAA    5,738,180 
     1/01/13 – AMBAC Insured             
9,190    Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A, 0.000%,    7/09 at 76.63    AAA    6,244,881 
     1/01/13 (Pre-refunded 7/01/09) – AMBAC Insured             
8,000    South Carolina JOBS Economic Development Authority, Industrial Revenue Bonds, South Carolina    11/12 at 100.00    AAA    8,523,040 
     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    AAA    10,522,000 
     Electric and Gas Company, Series 2002B, 5.450%, 11/01/32 – AMBAC Insured (Alternative Minimum             
     Tax)             
54,105    Total South Carolina            49,288,888 
    Tennessee – 0.5% (0.4% of Total Investments)             
6,455    Memphis-Shelby County Airport Authority, Tennessee, Airport Revenue Bonds, Series 2001A,    3/11 at 100.00    AAA    6,855,016 
     5.500%, 3/01/18 – FSA Insured (Alternative Minimum Tax)             
    Texas – 16.5% (10.8% of Total Investments)             
    Austin, Texas, Tax and Revenue Solid Waste Certificates of Obligation, Series 2002:             
2,150     5.375%, 9/01/18 (Pre-refunded 9/01/12) – MBIA Insured    9/12 at 100.00    AAA    2,366,290 
2,250     5.375%, 9/01/19 (Pre-refunded 9/01/12) – MBIA Insured    9/12 at 100.00    AAA    2,476,350 
22,650    Brazos River Authority, Texas, Revenue Refunding Bonds, Houston Industries Inc., Series 1998C,    5/08 at 102.00    AAA    23,758,944 
     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    526,466 
     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    AAA    13,444,875 
     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    4,275,720 
39,000     0.000%, 8/15/19 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 50.26    AAA    17,296,110 
7,280     0.000%, 8/15/20 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 46.91    AAA    3,013,920 
5,085     0.000%, 8/15/21 (Pre-refunded 8/15/09) – AMBAC Insured    8/09 at 43.80    AAA    1,965,200 
25,000    Harris County-Houston Sports Authority, Texas, Junior Lien Revenue Refunding Bonds, Series    11/11 at 100.00    AAA    25,965,250 
     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    4,931,268 
     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    AAA    4,278,160 
5,000     5.250%, 5/15/25 – MBIA Insured    5/14 at 100.00    AAA    5,340,500 
6,570    Houston, Texas, General Obligation Public Improvement Bonds, Series 2001A, 5.375%, 3/01/19    3/11 at 100.00    AAA    7,121,420 
     (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    AAA    18,247,950 
     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    4,432,085 
     FSA Insured             
23,865    Jefferson County Health Facilities Development Corporation, Texas, FHA-Insured Mortgage    8/11 at 100.00    AAA    25,150,846 
     Revenue Bonds, Baptist Hospital of Southeast Texas, Series 2001, 5.500%, 8/15/41 – AMBAC             
     Insured             
8,205    Lower Colorado River Authority, Texas, Revenue Refunding and Improvement Bonds, Series 2001A,    5/11 at 100.00    AAA    8,625,342 
     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    3,417,139 
3,375     5.500%, 10/01/19 – FGIC Insured (Alternative Minimum Tax)    10/11 at 100.00    AAA    3,598,391 
7,205    San Antonio, Texas, Airport System Improvement Revenue Bonds, Series 2001, 5.375%, 7/01/15 –    7/11 at 101.00    AAA    7,684,853 
     FGIC Insured (Alternative Minimum Tax)             
    Tarrant County Health Facilities Development Corporation, Texas, Revenue Bonds, Texas Health             
    Resources System, Series 1997A:             
2,900     5.250%, 2/15/22 – MBIA Insured    2/08 at 102.00    AAA    3,038,939 
6,820     5.000%, 2/15/26 – MBIA Insured    2/08 at 101.00    AAA    6,936,963 
7,410    Texas Department of Housing and Community Affairs, Single Family Mortgage Revenue Bonds,    9/06 at 102.00    AAA    7,610,144 
     Series 1996D, 6.250%, 9/01/28 – MBIA Insured (Alternative Minimum Tax)             
1,840    Ysleta Independent School District Public Facility Corporation, Texas, Lease Revenue Refunding    11/09 at 100.00    AAA    1,943,261 
     Bonds, Series 2001, 5.375%, 11/15/24 – AMBAC Insured             
232,172    Total Texas            207,446,386 
    Utah – 0.3% (0.1% of Total Investments)             
2,000    Clearfield City, Utah, Sales Tax Revenue Bonds, Series 2003, 5.000%, 7/01/28 – FGIC Insured    7/13 at 100.00    AAA    2,078,380 
1,810    Utah Housing Finance Agency, FHA-Insured Section 8 Assisted Multifamily Housing Revenue Bonds,    7/06 at 100.00    AA    1,813,023 
     Series 1992A, 7.400%, 7/01/24             
3,810    Total Utah            3,891,403 
    Virginia – 2.3% (1.5% of Total Investments)             
8,000    Greater Richmond Convention Center Authority, Virginia, Hotel Tax Revenue Bonds, Series 2005,    6/15 at 100.00    AAA    8,336,880 
     5.000%, 6/15/30 – MBIA Insured             
1,035    Loudoun County Industrial Development Authority, Virginia, Lease Revenue Bonds, Public Safety    6/14 at 100.00    AAA    1,124,310 
     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    AAA    5,191,045 
     5.500%, 10/01/19 – MBIA Insured (Alternative Minimum Tax)             
4,265    Metropolitan Washington D.C. Airports Authority, Airport System Revenue Bonds, Series 2004A,    10/14 at 100.00    AAA    4,515,270 
     5.000%, 10/01/20 – MBIA Insured             
10,000    Virginia Housing Development Authority, Commonwealth Mortgage Bonds, Series 2001H-1, 5.375%,    7/11 at 100.00    AAA    10,280,600 
     7/01/36 – MBIA Insured             
28,140    Total Virginia            29,448,105 
    Washington – 1.2% (0.8% of Total Investments)             
2,500    Grant County Public Utility District 2, Washington, Revenue Bonds, Wanapum Hydroelectric    1/15 at 100.00    AAA    2,595,550 
     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    AAA    3,671,710 
     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    AAA    3,459,067 
     (Pre-refunded 7/01/10) – AMBAC Insured             
4,250    Snohomish County Public Utility District 1, Washington, Generation System Revenue Bonds,    7/06 at 100.00    AAA    5,033,403 
     Series 1989, 6.650%, 1/01/16 (ETM) – FGIC Insured             
13,445    Total Washington            14,759,730 
    West Virginia – 0.8% (0.5% of Total Investments)             
10,000    Harrison County Commission, West Virginia, Solid Waste Disposal Revenue Bonds, West Penn Power    5/06 at 100.00    AAA    10,073,600 
     Company – Harrison Station, Series 1993B, 6.300%, 5/01/23 – MBIA Insured (Alternative Minimum             
     Tax)             
    Wisconsin – 4.1% (2.7% of Total Investments)             
18,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Healthcare Inc.,    8/07 at 102.00    AAA    18,748,980 
     Series 1997, 5.250%, 8/15/17 – MBIA Insured             
15,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Marshfield Clinic,    2/07 at 102.00    AAA    15,595,050 
     Series 1997, 5.750%, 2/15/27 – MBIA Insured             
680    Wisconsin Housing and Economic Development Authority, Housing Revenue Bonds, Series 1992A,    7/06 at 100.00    AAA    681,142 
     6.850%, 11/01/12 – MBIA Insured             
1,675    Wisconsin Public Power Incorporated System, Power Supply System Revenue Bonds, Series 2005A,    7/15 at 100.00    AAA    1,744,529 
     5.000%, 7/01/30 – AMBAC Insured             
2,890    Wisconsin, General Obligation Bonds, Series 2004-3, 5.250%, 5/01/20 – FGIC Insured    5/14 at 100.00    AAA    3,148,742 
10,945    Wisconsin, General Obligation Bonds, Series 2004-4, 5.000%, 5/01/20 – MBIA Insured    5/14 at 100.00    AAA    11,624,028 
49,190    Total Wisconsin            51,542,471 
$ 1,968,132    Total Investments (cost $1,798,126,884) – 152.4%            1,913,157,020 
    Other Assets Less Liabilities – 1.8%            22,418,140 
    Preferred Shares, at Liquidation Value – (54.2)%            (680,000,000) 
    Net Assets Applicable to Common Shares – 100%          $  1,255,575,160 

    All of the bonds in the Portfolio of Investments 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 or Moody’s rating. Ratings below Baa by Moody's Investor 
    Service, Inc. or BBB by Standard & Poor's Group are considered to be below investment grade. 
WI/DD    Investment purchased on a when-issued or delayed delivery basis. 
(ETM)    Security is escrowed to maturity. 

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 and timing differences in recognizing certain gains and losses on investment transactions.

At January 31, 2006, the cost of investments was $1,796,724,282.

Gross unrealized appreciation and gross unrealized depreciation of investments at January 31, 2006, were as follows:

Gross unrealized:   
  Appreciation  $117,031,444 
  Depreciation  (598,706) 
Net unrealized appreciation (depreciation) of investments  $116,432,738 

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: 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/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         March 31, 2006        

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         March 31, 2006        

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

Date        March 31, 2006        

* Print the name and title of each signing officer under his or her signature.