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:          07/31/05         

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

      Portfolio of Investments (Unaudited)              
      Nuveen Insured Municipal Opportunity Fund, Inc. (NIO)              
      July 31, 2005              
 
 
 
 
  Principal      Optional Call          Market 
  Amount (000)    Description(1)    Provisions*    Ratings**      Value 
 
      Alabama - 13.7% (9.0% of Total Investments)              
 
$   3,815    Alabama Housing Finance Authority, GNMA Collateralized Multifamily Housing Revenue Refunding Bonds,   7/06 at 102.00    Aaa    $   3,894,352 
      Royal Hills Apartments, Series 1995F, 6.500%, 7/20/30              
 
  11,000    Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health   11/05 at 102.00    AAA      11,244,860 
      System Inc., Series 1995B, 5.875%, 11/15/20 - MBIA Insured              
 
      Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health              
      System Inc., Series 1996A:              
  7,465    5.875%, 11/15/19 - MBIA Insured   11/06 at 102.00    AAA      7,855,793 
  1,750    5.875%, 11/15/26 - MBIA Insured   11/06 at 102.00    AAA      1,845,113 
 
  11,175    Hoover Board of Education, Alabama, Capital Outlay Tax Anticipation Warrants, Series 2001, 5.250%,   2/11 at 100.00    AAA      11,983,847 
      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      3,961,650 
      Insured              
 
      Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 1997A:              
  15,825    5.375%, 2/01/27 (Pre-refunded to 2/01/07) - FGIC Insured   2/07 at 100.00    AAA      16,396,757 
  10,195    5.375%, 2/01/27 - FGIC Insured   2/07 at 100.00    AAA      10,505,234 
 
      Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 1999A:              
  10,815    5.000%, 2/01/33 (Pre-refunded to 2/01/09) - FGIC Insured   2/09 at 101.00    AAA      11,536,901 
  9,790    5.000%, 2/01/33 (Pre-refunded to 2/01/09) - FGIC Insured   2/09 at 101.00    AAA      10,477,062 
  29,860    5.750%, 2/01/38 (Pre-refunded to 2/01/09) - FGIC Insured   2/09 at 101.00    AAA      32,693,714 
 
  18,760    Jefferson County, Alabama, Sewer Revenue Capitol Improvement Warrants, Series 2001A, 5.000%,   2/11 at 101.00    AAA      20,252,358 
      2/01/41 (Pre-refunded to 2/01/11) - FGIC Insured              
 
      Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 2002B:              
  2,500    5.125%, 2/01/42 (Pre-refunded to 8/01/12) - FGIC Insured   8/12 at 100.00    AAA      2,721,625 
  2,500    5.125%, 2/01/42 (Pre-refunded to 8/01/12) - FGIC Insured   8/12 at 100.00    AAA      2,739,400 
 
      Jefferson County, Alabama, Sewer Revenue Capital Improvement Warrants, Series 2002D:              
  425    5.000%, 2/01/38 (Pre-refunded to 8/01/12) - FGIC Insured   8/12 at 100.00    AAA      459,421 
  14,800    5.000%, 2/01/42 (Pre-refunded to 8/01/12) - FGIC Insured   8/12 at 100.00    AAA      16,103,436 
 
  5,240    Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 2003B, 5.000%, 2/01/41   2/11 at 101.00    AAA      5,697,924 
      (Pre-refunded to 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      6,342,480 
      Insured              
 
      Alaska - 2.3% (1.5% of Total Investments)              
 
  11,245    Alaska Housing Finance Corporation, General Mortgage Revenue Bonds, Series 1999A, 6.050%, 6/01/39 -   6/09 at 100.00    AAA      11,689,740 
      MBIA Insured              
 
  11,460    Alaska Housing Finance Corporation, Governmental Purpose Bonds, Series 1995A, 5.875%, 12/01/30 -   12/05 at 102.00    AAA      11,783,401 
      MBIA Insured              
 
  3,190    Alaska Housing Finance Corporation, Collateralized Veterans Mortgage Program Bonds, First Series   12/09 at 100.00    AAA      3,353,966 
      1999A-1, 6.150%, 6/01/39              
 
  3,000    Alaska Student Loan Corporation, Student Loan Revenue Bonds, Series 1998A, 5.250%, 7/01/14   7/08 at 100.00    AAA      3,107,370 
      (Alternative Minimum Tax) - AMBAC Insured              
 
      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        2,125,960 
  2,000    5.000%, 9/01/27 - AMBAC Insured   3/15 at 100.00    AAA      2,122,720 
 
  1,000    Arizona State University, System Revenue Bonds, Series 2005, 5.000%, 7/01/27 - AMBAC Insured   7/15 at 100.00    AAA      1,064,760 
 
  1,000    Maricopa County Union High School District 210, Phoenix, Arizona, General Obligation Bonds, Series   7/14 at 100.00    AAA      1,068,580 
      2004A, 5.000%, 7/01/22 - FSA Insured              
 
  1,150    Phoenix Civic Improvement Corporation, Arizona, Junior Lien Wastewater System Revenue Bonds, Series   7/14 at 100.00    AAA      1,219,150 
      2004, 5.000%, 7/01/27 - MBIA Insured              
 
  16,490    Phoenix Civic Improvement Corporation, Arizona, Junior Lien Water System Revenue Bonds, Series   7/15 at 100.00    AAA      16,996,243 
      2005, 4.750%, 7/01/27 - MBIA Insured              
 
  5,695    Pima County Industrial Development Authority, Arizona, Lease Obligation Revenue Refunding Bonds,   1/06 at 101.00    AAA      5,885,782 
      Tucson Electric Power Company, Series 1988A, 7.250%, 7/15/10 - FSA Insured              
 
      California - 28.4% (18.6% of Total Investments)              
 
      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      70,841 
  60    7.750%, 5/01/27 (Alternative Minimum Tax)   No Opt. Call    AAA      60,748 
 
  4,500    California, General Obligation Bonds, Series 1998, 5.000%, 10/01/19 - FGIC Insured   10/08 at 101.00    AAA      4,761,270 
 
  10,000    California Department of Veterans Affairs, Home Purchase Revenue Bonds, Series 2002A, 5.300%,   6/12 at 101.00    AAA      10,622,700 
      12/01/21 - AMBAC Insured              
 
      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      3,936,800 
  2,820    5.000%, 12/01/27 - MBIA Insured   12/14 at 100.00    AAA      2,991,512 
 
      California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A:              
  30,000    5.375%, 5/01/17 - XLCA Insured   5/12 at 101.00    AAA      32,910,000 
  35,000    5.375%, 5/01/18 - AMBAC Insured   5/12 at 101.00    AAA      38,535,350 
 
  20,000    Cucamonga County Water District, San Bernardino County, California, Certificates of Participation,   9/11 at 101.00    AAA      20,946,000 
      Water Shares Purchase, Series 2000, 5.125%, 9/01/35 - FGIC Insured              
 
  15,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed   6/15 at 100.00    AAA      15,754,350 
      Revenue Bonds, Series 2005A, 5.000%, 6/01/35 (WI, settling 8/04/05) - FGIC Insured              
 
  5,000    Long Beach Bond Financing Authority, California, Lease Revenue Refunding Bonds, Long Beach Aquarium   11/11 at 101.00    AAA      5,323,000 
      of the South Pacific, Series 2001, 5.250%, 11/01/30 - AMBAC Insured              
 
  7,670    Los Angeles Community College District, Los Angeles County, California, General Obligation Bonds,   8/15 at 100.00    AAA      8,176,757 
      Series 2005A, 5.000%, 8/01/24 - FSA Insured              
 
  20,000    Los Angeles Unified School District, California, General Obligation Bonds, Series 2003A, 5.000%,   7/13 at 100.00    AAA      21,366,800 
      7/01/21 - FSA Insured              
 
  12,500    Orange County, California, Recovery Certificates of Participation, Series 1996A, 6.000%, 7/01/26 -   7/06 at 102.00    AAA      13,075,625 
      MBIA Insured              
 
  6,205    Port of Oakland, California, Revenue Bonds, Series 2002L, 5.000%, 11/01/22 (Alternative Minimum   11/12 at 100.00    AAA      6,447,367 
      Tax) - FGIC Insured              
 
      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      15,890,700 
  5,000    5.125%, 6/15/33 - AMBAC Insured   12/11 at 101.00    AAA      5,246,900 
 
  6,000    Redlands Unified School District, San Bernardino County, California, General Obligation Bonds,   7/13 at 100.00    AAA      6,322,500 
      Series 2003, 5.000%, 7/01/26 - FSA Insured              
 
  10,000    Sacramento Power Authority, California, Revenue Bonds, Power Authority Cogeneration Project, Series   7/06 at 102.00    AAA      10,490,200 
      1995, 5.875%, 7/01/15 (Pre-refunded to 7/01/06) - MBIA Insured              
 
  6,500    Salinas, California, GNMA Collateralized Housing Facility Revenue Refunding Bonds, Villa Serra   1/06 at 101.00    AAA      6,573,970 
      Project, Series 1994A, 6.600%, 7/20/30                 
    10,000    San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport,    5/06 at 101.00    AAA        10,249,100 
      Second Series Issue 13B, 5.500%, 5/01/26 (Alternative Minimum Tax) - MBIA Insured                 
  13,710    San Francisco Airports Commission, California, Revenue Refunding Bonds, San Francisco International    5/11 at 100.00    AAA        14,299,393 
      Airport, Second Series 2001, Issue 27A, 5.250%, 5/01/26 (Alternative Minimum Tax) - MBIA Insured                 
  11,500    San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series 2001,    7/11 at 100.00    AAA        12,036,935 
      5.125%, 7/01/36 - AMBAC Insured                 
  66,685    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Senior Lien Toll Road    No Opt. Call    AAA        34,600,179 
      Revenue Bonds, Series 1993, 0.000%, 1/01/21                 
      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        33,088,259 
  21,500    0.000%, 1/15/32 - MBIA Insured    No Opt. Call    AAA        5,962,810 
  12,525    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project,    8/10 at 101.00    AAA        13,256,836 
      Series 2002, 5.000%, 8/01/20 - MBIA Insured                 
  11,000    Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing    No Opt. Call    AAA        13,643,410 
      Facility, Series 1994A, 6.250%, 7/01/24 - MBIA Insured                 
      Colorado - 7.9% (5.1% of Total Investments)                 
  5,070    Adams 12 Five Star Schools, Adams County, Colorado, General Obligation Bonds, Series 2005, 5.000%,    12/15 at 100.00    AAA        5,427,942 
      12/15/24 - FSA Insured                 
  1,000    Colorado Department of Transportation, Certificates of Participation, Series 2004, 5.000%, 6/15/25 -    6/14 at 100.00    AAA        1,058,350 
      MBIA Insured                 
  10,000    Denver City and County, Colorado, Airport System Revenue Refunding Bonds, Series 2001A, 5.500%,    11/11 at 100.00    AAA        10,870,200 
      11/15/15 (Alternative Minimum Tax) - FGIC 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        10,940,965 
      MBIA Insured                 
  4,950    Denver Convention Center Hotel Authority, Colorado, Senior Revenue Bonds, Convention Center Hotel,    12/13 at 100.00    AAA        5,163,939 
      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        1,842,051 
      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        15,479,290 
      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        34,520,024 
      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        7,359,896 
      (Pre-refunded to 9/01/10) - MBIA Insured                 
  10,000    E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004A, 0.000%, 9/01/27 - MBIA    No Opt. Call    AAA        3,477,200 
      Insured                 
  1,250    Jefferson County School District R1, Colorado, General Obligation Bonds, Series 2004, 5.000%,    12/14 at 100.00    AAA        1,334,287 
      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        2,667,975 
      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        1,325,188 
      Insured                 
      Connecticut - 0.3% (0.2% of Total Investments)                 
  4,000    Connecticut, General Obligation Bonds, Series 2004D, 5.000%, 12/01/24 - MBIA Insured    12/14 at 100.00    AAA        4,284,800 
      District of Columbia - 1.0% (0.6% of Total Investments)                 
  1,915    District of Columbia Housing Finance Agency, GNMA Collateralized Single Family Mortgage Revenue    12/05 at 100.00    AAA        1,921,664 
      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        5,338,950 
  5,000    5.125%, 10/01/25 - FGIC Insured    10/13 at 100.00    AAA      5,328,950 
 
      Florida - 7.5% (4.9% of Total Investments)               
 
  5,000    Broward County School Board, Florida, Certificates of Participation, Series 2005A, 5.000%, 7/01/28 -    7/15 at 100.00    AAA      5,282,200 
      FSA Insured               
 
  3,445    Collier County, Florida, Capital Improvement Revenue Bonds, Series 2005, 5.000%, 10/01/24 - MBIA    10/14 at 100.00    AAA      3,670,372 
      Insured               
 
  10,355    Florida Board of Education, Lottery Revenue Bonds, Series 2005A, 5.000%, 7/01/22 - AMBAC Insured    7/15 at 101.00    AAA      11,182,779 
 
  2,285    Florida Municipal Loan Council, Revenue Bonds, Series 2005A, 5.000%, 2/01/23 - MBIA Insured    2/15 at 100.00    AAA      2,427,972 
 
  1,000    Hillsborough County School Board, Florida, Certificates of Participation, Master Lease Program,    7/15 at 100.00    AAA      1,059,750 
      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      693,375 
  1,830    5.000%, 5/01/27 - MBIA Insured    5/15 at 102.00    Aaa      1,958,466 
 
  4,425    Jacksonville Economic Development Commission, Florida, Healthcare Facilities Revenue Bonds, Mayo    11/12 at 100.00    AAA      4,891,395 
      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      1,614,143 
      AMBAC Insured               
 
  2,000    Marco Island, Florida, Water Utility System Revenue Bonds, Series 2003, 5.000%, 10/01/27 - MBIA    10/13 at 100.00    AAA      2,110,300 
      Insured               
 
  35,920    Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002,    10/12 at 100.00    AAA      38,004,438 
      5.375%, 10/01/32 (Alternative Minimum Tax) - FGIC Insured               
 
  2,150    Miami-Dade County, Florida, Aviation Revenue Bonds, Miami International Airport, Series 2002A,    10/12 at 100.00    AAA      2,233,592 
      5.125%, 10/01/35 (Alternative Minimum Tax) - FSA 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      1,392,220 
  2,145    5.000%, 8/01/29 - MBIA Insured    8/15 at 102.00    AAA      2,291,932 
 
      Ocala, Florida, Utility System Revenue Bonds, Series 2005B:               
  1,025    5.250%, 10/01/24 - FGIC Insured    10/15 at 100.00    Aaa      1,124,415 
  2,590    5.000%, 10/01/27 - FGIC Insured    10/15 at 100.00    Aaa      2,750,036 
 
  4,000    Orange County School Board, Florida, Certificates of Participation, Series 2004A, 5.000%, 8/01/29 -    8/14 at 100.00    Aaa      4,214,880 
      AMBAC Insured               
 
      Plantation, Florida, Non-Ad Valorem Revenue Refunding and Improvement Bonds, Series 2003:               
  2,010    5.000%, 8/15/16 - FSA Insured    8/13 at 100.00    Aaa      2,172,187 
  2,110    5.000%, 8/15/17 - FSA Insured    8/13 at 100.00    Aaa      2,279,644 
  2,225    5.000%, 8/15/18 - FSA Insured    8/13 at 100.00    Aaa      2,398,617 
 
  2,275    Volusia County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%, 8/01/24 -    8/15 at 100.00    Aaa      2,411,932 
      FSA Insured               
 
      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 Insured    11/14 at 100.00    AAA      1,064,320 
 
  1,520    College Park Business and Industrial Development Authority, Georgia, Revenue Bonds, Public Safety    9/14 at 102.00    AAA      1,680,436 
      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      1,856,008 
  1,135    5.250%, 5/01/20 - MBIA Insured    5/14 at 100.00    AAA      1,241,928 
      Glynn-Brunswick Memorial Hospital Authority, Georgia, Revenue Bonds, Southeast Georgia Health               
      Systems, Series 1996:               
    640    5.250%, 8/01/13 (Pre-refunded to 8/01/06) - MBIA Insured    8/06 at 102.00    AAA        668,179 
  1,250    5.250%, 8/01/13 - MBIA Insured    8/06 at 102.00    AAA      1,301,975 
      Hawaii - 3.1% (2.0% of Total Investments)               
  24,250    Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaiian Electric Company    5/06 at 101.00    AAA      25,036,670 
      Inc., Series 1996A, 6.200%, 5/01/26 (Alternative Minimum Tax) - MBIA Insured               
  4,005    Hawaii, Highway Revenue Bonds, Series 2005A, 5.000%, 7/01/23 - FSA Insured    7/15 at 100.00    AAA      4,281,105 
  10,000    Honolulu City and County, Hawaii, General Obligation Bonds, Series 2005A, 5.000%, 7/01/23 - MBIA    7/15 at 100.00    AAA      10,689,400 
      Insured               
      Idaho - 0.2% (0.1% of Total Investments)               
  730    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-1, 6.750%, 7/01/22    No Opt. Call    Aa1      740,118 
  660    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1994B-2, 6.900%, 7/01/26    No Opt. Call    Aa1      685,522 
      (Alternative Minimum Tax)               
  695    Idaho Housing Agency, Single Family Mortgage Senior Bonds, Series 1995B, 6.600%, 7/01/27    1/06 at 101.00    Aaa      709,720 
      (Alternative Minimum Tax)               
      Illinois - 5.8% (3.8% 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      1,153,037 
      Chicago, Illinois, Second Lien Passenger Facility Charge Revenue Refunding Bonds, O'Hare               
      International Airport, Series 2001E:               
  4,615    5.500%, 1/01/17 (Alternative Minimum Tax) - AMBAC Insured    1/11 at 101.00    AAA      4,987,707 
  4,870    5.500%, 1/01/18 (Alternative Minimum Tax) - AMBAC Insured    1/11 at 101.00    AAA      5,253,659 
  5,000    DuPage and Will Counties Community School District 204 - Indian Prairie, Illinois, General    12/11 at 100.00    AAA      5,381,250 
      Obligation Bonds, Series 2001, 5.000%, 12/30/15 - FGIC Insured               
  4,020    Eastern Illinois University, Auxiliary Facilities System Revenue Bonds, Series 1989, 0.000%,    10/05 at 79.43    AAA      3,176,081 
      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      10,588,000 
      5/15/21 - MBIA Insured               
  2,095    Illinois Educational Facilities Authority, Revenue Bonds, Robert Morris College, Series 2000,    12/07 at 100.00    Aaa      2,207,355 
      5.800%, 6/01/30 - MBIA Insured               
  7,000    Illinois Health Facilities Authority, Revenue Bonds, Hospital Sisters Services Inc. Obligated    6/08 at 101.00    Aaa      7,320,320 
      Group, Series 1998A, 5.000%, 6/01/18 - MBIA Insured               
  4,500    Illinois Health Facilities Authority, Revenue Bonds, Alexian Brothers Health System, Series 1999,    1/09 at 101.00    AAA      4,691,430 
      5.000%, 1/01/19 - FSA Insured               
  22,410    Illinois, General Obligation Bonds, Illinois FIRST Program, Series 2002, 5.125%, 2/01/27 - FGIC    2/12 at 100.00    AAA      23,537,671 
      Insured               
      Schaumburg, Illinois, General Obligation Bonds, Series 2004B:               
  4,260    5.000%, 12/01/22 - FGIC Insured    12/14 at 100.00    AAA      4,525,867 
  2,365    5.000%, 12/01/23 - FGIC Insured    12/14 at 100.00    AAA      2,506,971 
      Indiana - 3.1% (2.0% of Total Investments)               
  2,350    Cloverdale Multi-School Building Corporation, Putnam and Owen Counties, Indiana, First Mortgage    7/15 at 100.00    AAA      2,486,981 
      Bonds, Series 2005, 5.000%, 7/15/24 - MBIA Insured               
  2,030    Decatur Township-Marion County Multi-School Building Corporation, Indiana, First Mortgage Bonds,    7/13 at 100.00    AAA      2,160,651 
      Series 2003, 5.000%, 7/15/20 - FGIC Insured               
  3,250    Indianapolis Local Public Improvement Bond Bank, Indiana, Waterworks Project, Series 2002A,    7/12 at 100.00    AAA      3,482,863 
      5.250%, 7/01/33 - MBIA Insured               
  20,000    Indianapolis Local Public Improvement Bond Bank, Indiana, Series 1999E, 0.000%, 2/01/28 - AMBAC    No Opt. Call    AAA      6,862,200 
      Insured               
    1,340    Monroe-Gregg Grade School Building Corporation, Morgan County, Indiana, First Mortgage Bonds,    1/14 at 100.00    AAA        1,406,410 
      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      3,275,763 
  5,000    5.000%, 1/15/28 - AMBAC Insured    7/13 at 100.00    AAA      5,221,750 
  10,000    Purdue University, Indiana, Student Fee Bonds, Series 2002O, 5.000%, 7/01/19 - MBIA Insured    1/12 at 100.00    AAA      10,655,600 
  3,705    Whitley County Middle School Building Corporation, Columbia City, Indiana, First Mortgage Bonds,    7/13 at 100.00    AAA      4,002,363 
      Series 2003, 5.000%, 7/15/16 - FSA Insured               
      Kansas - 0.7% (0.4% of Total Investments)               
  1,055    Butler County Unified School District 394, Kansas, General Obligation Bonds, Series 2004, 5.000%,    9/14 at 100.00    AAA      1,134,273 
      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      2,207,481 
  5,000    University of Kansas Hospital Authority, Health Facilities Revenue Bonds, KU Health System, Series    9/09 at 100.00    AAA      5,381,200 
      1999A, 5.650%, 9/01/29 - AMBAC Insured               
      Kentucky - 1.8% (1.1% of Total Investments)               
  3,870    Kenton County School District Finance Corporation, Kentucky, School Building Revenue Bonds, Series    6/14 at 100.00    Aaa      4,142,177 
      2004, 5.000%, 6/01/20 - MBIA Insured               
  3,770    Kentucky Turnpike Authority, Economic Development Road Revenue Bonds, Revitalization Project,    7/15 at 100.00    AAA      4,026,775 
      Series 2005B, 5.000%, 7/01/24 - AMBAC Insured               
  12,980    Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage System    11/11 at 101.00    AAA      14,391,315 
      Revenue Bonds, Series 2001A, 5.500%, 5/15/34 - MBIA Insured               
      Louisiana - 2.6% (1.7% of Total Investments)               
  5,000    De Soto Parish, Louisiana, Pollution Control Revenue Refunding Bonds, Cleco Utility Group Inc.    9/09 at 102.00    AAA      5,545,500 
      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      3,306,355 
      MBIA Insured               
  1,640    Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series 2004,    7/14 at 100.00    AAA      1,761,934 
      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      2,555,208 
  4,415    5.000%, 5/01/26 - FGIC Insured    5/15 at 100.00    AAA      4,693,233 
  5,000    5.000%, 5/01/27 - FGIC Insured    5/15 at 100.00    AAA      5,311,000 
  6,895    Orleans Levee District, Louisiana, Levee District General Obligation Bonds, Series 1986, 5.950%,    12/05 at 103.00    AAA      7,170,662 
      11/01/15 - FSA Insured               
  3,000    St. Charles Parish, Louisiana, Pollution Control Revenue Bonds, Louisiana Power and Light Company,    12/05 at 100.00    AAA      3,079,050 
      Series 1991, 7.500%, 6/01/21 (Alternative Minimum Tax) - FSA Insured (a)               
      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      3,138,600 
      7/01/28 - FSA Insured               
      Massachusetts - 5.2% (3.4% of Total Investments)               
  22,500    Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series    1/12 at 101.00    AAA      24,340,275 
      2002A, 5.375%, 1/01/42 - AMBAC Insured               
  8,400    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health Systems,    10/05 at 102.00    AAA      8,611,176 
      Series 1995D, 6.000%, 10/01/13 - MBIA Insured               
  1,105    Massachusetts Housing Finance Agency, Housing Revenue Refunding Bonds, Series 1995A, 6.100%,    12/05 at 102.00    AAA      1,132,658 
      12/01/16 - MBIA Insured               
    10,925    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%,   8/15 at 100.00    AAA        11,713,676 
      8/15/22 (WI, settling 8/17/05) - FSA Insured                
 
  15,000    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/23   1/14 at 100.00    AAA        16,594,500 
      (Pre-refunded to 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        1,663,650 
  2,500    5.375%, 11/01/21 - AMBAC Insured   11/14 at 100.00    AAA        2,768,675 
 
      Michigan - 7.6% (5.0% of Total Investments)                
 
  6,000    Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18 - MBIA Insured   10/11 at 100.00    AAA        6,575,700 
 
  5,490    Detroit City School District, Wayne County, Michigan, Unlimited Tax School Building and Site   No Opt. Call    AAA        6,865,300 
      Improvement Bonds, Series 2001A, 6.000%, 5/01/29 - FSA Insured                
 
      Detroit, Michigan, Sewerage Disposal System Revenue Bonds, Series 1999A:                
  15,825    5.750%, 7/01/26 (Pre-refunded to 1/01/10) - FGIC Insured   1/10 at 101.00    AAA        17,548,026 
  20,000    5.875%, 7/01/27 (Pre-refunded to 1/01/10) - FGIC Insured   1/10 at 101.00    AAA        22,279,800 
 
  8,700    Detroit, Michigan, Senior Lien Water Supply System Revenue Bonds, Series 1997A, 5.000%, 7/01/27 -   7/07 at 101.00    AAA        9,026,685 
      MBIA Insured                
 
  8,000    Gaylord Community Schools, Otsego and Antrim Counties, Michigan, School Building and Site Refunding   5/07 at 37.75    AAA        2,863,360 
      Bonds, Series 1992, 0.000%, 5/01/21 (Pre-refunded to 5/01/07) - MBIA Insured                
 
  1,875    Grand Ledge Public Schools, Eaton, Clinton and Ionia Counties, Michigan, General Obligation Bonds,   5/15 at 100.00    AAA        1,999,350 
      Series 2005, 5.000%, 5/01/23 - FGIC Insured                
 
      Grand Rapids Community College, Kent County, Michigan, General Obligation Refunding Bonds, Series                
      2003:                
  1,050    5.250%, 5/01/17 - AMBAC Insured   5/13 at 100.00    AAA        1,153,593 
  1,085    5.250%, 5/01/20 - AMBAC Insured   5/13 at 100.00    AAA        1,188,227 
 
  27,000    Okemos Public School District, Ingham County, Michigan, School Building and Site Bonds, Series   5/06 at 34.54    AAA        9,131,130 
      1991I, 0.000%, 5/01/21 (Pre-refunded to 5/01/06) - MBIA Insured                
 
  10,000    Wayne County, Michigan, Limited Tax General Obligation Airport Hotel Revenue Bonds, Detroit   12/11 at 101.00    AAA        10,786,200 
      Metropolitan Wayne County Airport, Series 2001A, 5.250%, 12/01/25 - MBIA Insured                
 
  6,850    Wayne County, Michigan, Airport Revenue Bonds, Detroit Metropolitan Wayne County Airport, Series   12/08 at 101.00    AAA        7,250,862 
      1998A, 5.375%, 12/01/15 (Alternative Minimum Tax) - MBIA Insured                
 
  1,725    Zeeland Public Schools, Ottawa and Allegan Counties, Michigan, General Obligation Bonds, Series   5/15 at 100.00    AAA        1,839,402 
      2005, 5.000%, 5/01/23 - FGIC Insured                
 
      Minnesota - 1.1% (0.7% of Total Investments)                
 
  13,020    St. Paul Housing and Redevelopment Authority, Minnesota, GNMA Collateralized Multifamily Housing   12/11 at 102.00    Aaa        14,024,493 
      Revenue Bonds, Marian Center Project, Series 2001A, 6.450%, 6/20/43                
 
      Nebraska - 0.2% (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        1,065,300 
  1,000    5.000%, 1/01/25 - FSA Insured   1/15 at 100.00    AAA        1,063,690 
 
      Nevada - 8.2% (5.4% of Total Investments)                
 
  12,105    Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan, Series   12/12 at 100.00    AAA        12,582,542 
      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        7,832,099 
      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        16,448,400 
  13,000    5.375%, 1/01/40 - AMBAC Insured   1/10 at 100.00    AAA        13,782,340 
 
  405    Nevada Housing Division, Single Family Mortgage Bonds, Senior Series 1994B-1, 6.700%, 10/01/17   10/05 at 101.00    Aa2        409,682 
    315    Nevada Housing Division, Single Family Mortgage Bonds, Senior Series 1994B-2, 6.950%, 10/01/26   10/05 at 101.00    Aa2        316,339 
      (Alternative Minimum Tax)              
 
  40,285    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.375%, 6/01/32 - FGIC Insured   6/12 at 100.00    AAA      43,616,167 
 
  10,000    Reno, Nevada, Senior Lien Sales and Room Tax Revenue Bonds, Reno Transportation Rail Access   6/12 at 100.00    AAA      10,500,700 
      Corridor Project, Series 2002, 5.125%, 6/01/27 - AMBAC Insured              
 
      New Jersey - 2.2% (1.5% 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      2,160,860 
  2,250    5.125%, 10/01/22 - MBIA Insured   10/14 at 100.00    Aaa      2,425,590 
 
      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      4,108,104 
  3,850    5.000%, 7/01/23 - MBIA Insured   7/14 at 100.00    AAA      4,099,211 
 
  2,120    New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Series 2004E, 5.000%,   7/14 at 100.00    AAA      2,270,308 
      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      8,828,325 
  2,000    5.000%, 1/01/23 - FSA Insured   7/13 at 100.00    AAA      2,120,100 
 
  2,795    Rutgers State University, New Jersey, Revenue Bonds, Series 2004E, 5.000%, 5/01/22 - FGIC Insured   5/14 at 100.00    AAA      2,983,607 
 
      New Mexico - 0.3% (0.2% of Total Investments)              
 
  3,660    San Juan County, New Mexico, Subordinate Gross Receipts Tax Revenue Bonds, Series 2005, 5.000%,   6/15 at 100.00    AAA      3,874,842 
      6/15/25 - MBIA Insured              
 
      New York - 6.3% (4.1% of Total Investments)              
 
  8,685    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A,   6/08 at 101.00    AAA      9,269,066 
      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      2,664,575 
  5,000    5.000%, 7/01/25 - FGIC Insured   7/12 at 100.00    AAA      5,292,150 
 
  2,250    Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2005B,   11/15 at 100.00    AAA      2,388,420 
      5.000%, 11/15/30 - AMBAC Insured              
 
  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      11,175,129 
      Insured              
 
  1,500    New York City Municipal Water Finance Authority, New York, Water and Sewerage System Revenue Bonds,   6/15 at 100.00    AAA      1,601,760 
      Fiscal Series 2005C, 5.000%, 6/15/25 - MBIA Insured              
 
  6,480    New York City Municipal Water Finance Authority, New York, Water and Sewerage System Revenue Bonds,   6/06 at 101.00    AAA      6,709,457 
      Fiscal Series 1996B, 5.750%, 6/15/26 - MBIA Insured              
 
      Dormitory Authority of the State of New York, Revenue Bonds, Mental Health Services Facilities              
      Improvements, Series 2005A:              
  2,750    5.000%, 2/15/23 - AMBAC Insured   2/15 at 100.00    AAA      2,929,273 
  1,100    5.000%, 2/15/24 - AMBAC Insured   2/15 at 100.00    AAA      1,170,818 
 
  1,000    Dormitory Authority of the State of New York, Revenue Bonds, Mental Health Services Facilities   2/15 at 100.00    AAA      1,065,190 
      Improvements, Series 2005D, 5.000%, 2/15/23 - FGIC Insured              
 
  1,880    Dormitory Authority of the State of New York, FHA-Insured Mortgage Revenue Bonds, Montefiore   2/15 at 100.00    AAA      2,002,181 
      Hospital, Series 2004, 5.000%, 8/01/23 - FGIC 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      5,318,450 
      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      1,062,190 
    5,000    5.000%, 3/15/25 - FGIC Insured    3/14 at 100.00    AAA        5,307,200 
 
      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      5,176,115 
  1,665    5.000%, 10/15/25 - MBIA Insured    10/14 at 100.00    AAA      1,783,515 
 
  15,000    Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue    11/12 at 100.00    AAA      15,664,800 
      Refunding Bonds, Series 2002E, 5.000%, 11/15/32 - MBIA Insured               
 
      North Carolina - 1.3% (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      2,254,527 
  2,575    5.000%, 5/01/26 - FGIC Insured    5/14 at 100.00    AAA      2,727,363 
 
  5,000    North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Series 2003A, 5.250%,    1/13 at 100.00    AAA      5,464,900 
      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      3,414,895 
  3,295    5.000%, 5/01/24 - AMBAC Insured    5/15 at 100.00    Aaa      3,505,353 
 
      North Dakota - 0.8% (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      2,357,628 
  1,355    5.000%, 12/15/23 - MBIA Insured    12/15 at 100.00    Aaa      1,451,842 
  3,000    5.000%, 12/15/24 - MBIA Insured    12/15 at 100.00    Aaa      3,209,190 
 
  3,600    North Dakota Water Commission, Water Development and Management Program Bonds, Series 2005B,    8/15 at 100.00    AAA      3,822,732 
      5.000%, 8/01/25 - MBIA Insured               
 
      Ohio - 2.7% (1.8% 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      2,883,121 
      Insured               
 
  2,000    Columbus City School District, Franklin County, Ohio, General Obligation Bonds, Series 2004,    12/14 at 100.00    AAA      2,182,540 
      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      2,523,640 
      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      2,355,932 
      MBIA Insured               
 
  20,100    Lucas County, Ohio, Hospital Revenue Bonds, ProMedica Healthcare Obligated Group, Series 1999,    11/09 at 101.00    AAA      21,620,967 
      5.375%, 11/15/39 - AMBAC Insured               
 
  3,000    Ross Local School District, Butler County, Ohio, General Obligation Bonds, Series 2003, 5.000%,    12/13 at 100.00    Aaa      3,163,980 
      12/01/28 - FSA Insured               
 
      Oklahoma - 1.5% (1.0% of Total Investments)               
 
  2,515    Oklahoma State University, Athletic Facilities Revenue Bonds, Series 2004, 5.000%, 8/01/34 - AMBAC    8/14 at 100.00    AAA      2,650,382 
      Insured               
 
  5,880    Oklahoma Housing Finance Agency, GNMA Collateralized Single Family Mortgage Revenue Bonds, Series    No Opt. Call    AAA      5,971,552 
      1987A, 7.997%, 8/01/18 (Alternative Minimum Tax)               
 
  5,245    Oklahoma State Industries Authority, Revenue Bonds, Oklahoma Medical Research Foundation, Series    2/11 at 100.00    Aaa      5,600,821 
      2001, 5.250%, 2/01/21 - 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      5,207,155 
      Insured               
 
      Oregon - 0.5% (0.3% 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      2,688,494 
  2,115    5.000%, 5/01/30 - FSA Insured    5/15 at 100.00    AAA      2,229,231 
    1,470    Oregon Housing and Community Services Department, Single Family Mortgage Revenue Bonds, Series   1/06 at 102.00    Aa2        1,501,105 
      1995A, 6.450%, 7/01/26 (Alternative Minimum Tax)              
 
      Pennsylvania - 0.9% (0.6% of Total Investments)              
 
  3,000    Cumberland Valley School District, Cumberland County, Pennsylvania, General Obligation Bonds,   11/15 at 100.00    Aaa      3,239,100 
      Series 2005, 5.000%, 11/15/20 - FSA Insured              
 
  1,800    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Drexel University, Series   5/15 at 100.00    AAA      1,908,990 
      2005A, 5.000%, 5/01/28 - MBIA Insured              
 
  6,335    Radnor Township School District, Delaware County, Pennsylvania, General Obligation Bonds, Series   8/15 at 100.00    Aaa      6,717,381 
      2005B, 5.000%, 2/15/30 - FSA Insured              
 
      Puerto Rico - 0.4% (0.2% of Total Investments)              
 
  2,000    Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2003G, 5.250%,   7/13 at 100.00    AAA      2,208,240 
      7/01/19 - FGIC Insured              
 
  2,500    Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2005RR, 5.000%, 7/01/30 - XLCA   7/15 at 100.00    AAA      2,653,550 
      Insured              
 
      Rhode Island - 2.0% (1.3% of Total Investments)              
 
  2,195    Providence Housing Development Corporation, Rhode Island, FHA-Insured Mortgage Revenue Refunding   1/06 at 101.00    AAA      2,220,352 
      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, Series   2/11 at 100.00    AAA      22,392,484 
      1993B, 5.250%, 8/01/21 (Pre-refunded to 2/01/11) - MBIA Insured              
 
  1,405    Rhode Island Health and Educational Building Corporation, Higher Education Auxiliary Enterprise   9/14 at 100.00    Aaa      1,564,201 
      Revenue Bonds, Series 2004A, 5.500%, 9/15/24 - AMBAC Insured              
 
      South Carolina - 4.1% (2.7% of Total Investments)              
 
  10,000    Beaufort County, South Carolina, Tax Increment Bonds, New River Redevelopment Project, Series 2002,   12/12 at 100.00    AAA      10,477,700 
      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      2,161,320 
  2,105    5.250%, 8/15/23 - MBIA Insured   8/14 at 100.00    AAA      2,271,506 
 
      Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1988A:              
  9,190    0.000%, 1/01/13 (Pre-refunded to 7/01/09) - AMBAC Insured   7/09 at 76.63    AAA      6,172,739 
  4,855    0.000%, 1/01/13 - AMBAC Insured   No Opt. Call    AAA      3,462,586 
  7,955    0.000%, 1/01/13 - AMBAC Insured   No Opt. Call    AAA      5,637,868 
 
  3,000    South Carolina JOBS Economic Development Authority, Hospital Revenue Bonds, Oconee Memorial   9/05 at 102.00    AAA      3,067,680 
      Hospital Inc., Series 1995, 6.150%, 3/01/15 - CONNIE LEE/AMBAC Insured              
 
  8,000    South Carolina JOBS Economic Development Authority, Industrial Revenue Bonds, South Carolina   11/12 at 100.00    AAA      8,600,960 
      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      10,676,800 
      Electric and Gas Company, Series 2002B, 5.450%, 11/01/32 (Alternative Minimum Tax) - AMBAC Insured              
 
      Tennessee - 0.5% (0.4% of Total Investments)              
 
  6,455    Memphis-Shelby County Airport Authority, Tennessee, Airport Revenue Bonds, Series 2001A, 5.500%,   3/11 at 100.00    AAA      6,953,778 
      3/01/18 (Alternative Minimum Tax)- FSA Insured              
 
      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 to 9/01/12) - MBIA Insured   9/12 at 100.00    AAA      2,396,498 
  2,250    5.375%, 9/01/19 (Pre-refunded to 9/01/12) - MBIA Insured   9/12 at 100.00    AAA      2,507,963 
 
  22,650    Brazos River Authority, Texas, Revenue Refunding Bonds, Houston Industries Inc., Series 1998C,   5/08 at 102.00    AAA      24,040,937 
      5.125%, 5/01/19 (Optional put 5/01/08) - AMBAC Insured              
    805    Capital Area Housing Finance Corporation, Texas, FNMA Backed Single Family Mortgage Revenue   4/12 at 106.00    AAA        824,590 
      Refunding Bonds, Series 2002A-2, 6.300%, 4/01/35 (Alternative Minimum Tax) - AMBAC Insured              
 
  12,500    Dallas-Ft. Worth International Airport, Texas, Joint Revenue Bonds, Series 2000A, 6.125%, 11/01/35   11/09 at 100.00    AAA      13,711,000 
      (Alternative Minimum Tax) - FGIC Insured              
 
  25,000    Harris County-Houston Sports Authority, Texas, Junior Lien Revenue Refunding Bonds, Series 2001B,   11/11 at 100.00    AAA      26,204,500 
      5.250%, 11/15/40 - MBIA Insured              
 
      Harris County, Texas, Toll Road Senior Lien Revenue Bonds, Series 1989:              
  9,000    0.000%, 8/15/18 (Pre-refunded to 8/15/09) - AMBAC Insured   8/09 at 53.84    AAA      4,224,240 
  39,000    0.000%, 8/15/19 (Pre-refunded to 8/15/09) - AMBAC Insured   8/09 at 50.26    AAA      17,087,850 
  7,280    0.000%, 8/15/20 (Pre-refunded to 8/15/09) - AMBAC Insured   8/09 at 46.91    AAA      2,977,666 
  5,085    0.000%, 8/15/21 (Pre-refunded to 8/15/09) - AMBAC Insured   8/09 at 43.80    AAA      1,941,555 
 
  6,570    Houston, Texas, General Obligation Public Improvement Bonds, Series 2001A, 5.375%, 3/01/19   3/11 at 100.00    AAA      7,229,431 
      (Pre-refunded to 3/01/11) - FSA Insured              
 
  4,170    Houston, Texas, Subordinate Lien Airport System Revenue Bonds, Series 2000B, 5.500%, 7/01/30 - FSA   7/10 at 100.00    AAA      4,497,053 
      Insured              
 
  17,500    Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment   9/11 at 100.00    AAA      18,613,875 
      Project, Series 2001B, 5.250%, 9/01/33 - AMBAC Insured              
 
  4,671    Houston Housing Finance Corporation, Texas, GNMA Collateralized Mortgage Multifamily Housing   9/11 at 105.00    Aaa      4,968,029 
      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      4,322,720 
  5,000    5.250%, 5/15/25 - MBIA Insured   5/14 at 100.00    AAA      5,395,750 
 
  23,865    Jefferson County Health Facilities Development Corporation, Texas, FHA-Insured Mortgage Revenue   8/11 at 100.00    AAA      25,602,849 
      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      8,673,423 
      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 (Alternative Minimum Tax) - FGIC Insured   10/11 at 100.00    AAA      3,479,124 
  3,375    5.500%, 10/01/19 (Alternative Minimum Tax) - FGIC Insured   10/11 at 100.00    AAA      3,663,664 
 
  7,205    San Antonio, Texas, Airport System Improvement Revenue Bonds, Series 2001, 5.375%, 7/01/15   7/11 at 101.00    AAA      7,809,283 
      (Alternative Minimum Tax) - FGIC Insured              
 
      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      3,059,297 
  6,820    5.000%, 2/15/26 - MBIA Insured   2/08 at 101.00    AAA      6,989,954 
 
  7,960    Texas Department of Housing and Community Affairs, Single Family Mortgage Revenue Bonds, Series   9/06 at 102.00    AAA      8,304,429 
      1996D, 6.250%, 9/01/28 (Alternative Minimum Tax) - MBIA Insured              
 
  1,910    Waco, Texas, Combined Tax and Revenue Certificates of Obligation, Series 2004, 5.000%, 2/01/21 -   2/14 at 100.00    AAA      2,023,244 
      MBIA Insured              
 
  1,840    Ysleta Independent School District Public Facility Corporation, Texas, Lease Revenue Refunding   11/09 at 100.00    AAA      1,962,746 
      Bonds, Series 2001, 5.375%, 11/15/24 - AMBAC Insured              
 
      Utah - 0.3% (0.2% 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      2,097,880 
 
  2,165    Utah Housing Finance Agency, FHA-Insured Section 8 Assisted Multifamily Housing Revenue Bonds,   1/06 at 100.00    AA      2,168,854 
      Series 1992A, 7.400%, 7/01/24              
 
      Virginia - 2.8% (1.8% of Total Investments)              
 
  8,000    Greater Richmond Convention Center Authority, Virginia, Hotel Tax Revenue Bonds, Series 2005,   6/15 at 100.00    AAA      8,462,960 
      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      1,131,234 
      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        5,249,077
      5.500%, 10/01/19 (Alternative Minimum Tax) - MBIA Insured             
  4,265    Metropolitan Washington D.C. Airports Authority, Airport System Revenue Bonds, Series 2004A,    10/14 at 100.00    AAA      4,537,320
      5.000%, 10/01/20 - MBIA Insured             
  2,540    Spotsylvania County, Virginia, Water and Sewerage System Revenue Bonds, Series 2005, 5.000%,    6/15 at 100.00    AAA      2,709,647
      6/01/26 - FSA Insured             
  3,000    Upper Occoquan Sewerage Authority, Virginia, Regional Sewer Revenue Bonds, Series 2005, 5.000%,    7/15 at 100.00    AAA      3,229,620
      7/01/21 - FSA Insured             
  10,000    Virginia Housing Development Authority, Commonwealth Mortgage Bonds, Series 2001H-1, 5.375%,    7/11 at 100.00    AAA      10,339,800
      7/01/36 - MBIA Insured             
      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      2,631,350
      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      3,707,340
      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      3,515,650
      (Pre-refunded to 7/01/10) - AMBAC Insured             
  4,250    Snohomish County Public Utility District 1, Washington, Generation System Revenue Bonds, Series    1/06 at 100.00    AAA      5,105,865
      1989, 6.650%, 1/01/16 - FGIC Insured             
      West Virginia - 0.8% (0.5% of Total Investments)             
  10,000    Harrison County Commission, West Virginia, Solid Waste Disposal Revenue Bonds, West Penn Power    11/05 at 100.00    AAA      10,026,700
      Company - Harrison Station, Series 1993B, 6.300%, 5/01/23 (Alternative Minimum Tax) - MBIA Insured             
      Wisconsin - 3.9% (2.6% of Total Investments)             
  680    Wisconsin Housing and Economic Development Authority, Housing Revenue Bonds, Series 1992A, 6.850%,    1/06 at 100.00    AAA      681,265
      11/01/12 - MBIA Insured             
  2,890    Wisconsin, General Obligation Bonds, Series 2004-3, 5.250%, 5/01/20 - FGIC Insured    5/14 at 100.00    AAA      3,157,815
  10,945    Wisconsin, General Obligation Bonds, Series 2004-4, 5.000%, 5/01/20 - MBIA Insured    5/14 at 100.00    AAA      11,691,882
  15,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Marshfield Clinic, Series    2/07 at 102.00    AAA      15,832,650
      1997, 5.750%, 2/15/27 - MBIA Insured             
  18,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Healthcare Inc.,    8/07 at 102.00    AAA      19,003,500
      Series 1997, 5.250%, 8/15/17 - MBIA Insured             
$   2,010,431    Total Long-Term Investments (cost $1,834,998,288) - 152.9%              1,970,352,197
      Other Assets Less Liabilities - (0.1)%              (1,445,216)
      Preferred Shares, at Liquidation Value - (52.8)%              (680,000,000)
      Net Assets Applicable to Common Shares - 100%            $   1,288,906,981

    All of the bonds in the portfolio 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. 
*     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. 
**     Ratings: Using the higher of Standard & Poor's or Moody's rating. 
(WI)     Security purchased on a when-issued basis. 
(a)     The issuer has received a preliminary adverse determination from the Internal Revenue Service (the “IRS”) 
    regarding the tax-exempt status of the bonds’ coupon payments. The Fund will continue to treat coupon 
    payments as tax-exemt income until such time that it is formally determined that the interest on the bonds 
    should be treated as taxable. 
 
    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 income on taxable market 
    discount securities and timing differences in recognizing certain gains and losses on investment transactions. 
 
    At July 31, 2005, the cost of investments was $1,834,212,222. 
 
    Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2005, were as 
    follows: 

             Gross unrealized:       
             Appreciation        $137,523,790  
             Depreciation      (1,383,815 ) 
 
             Net unrealized appreciation of investments        $136,139,975  

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--Vice President and Secretary        

Date         09/29/05        

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--Chief Administrative Officer (principal executive officer)        

Date         09/29/05        

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

Date         09/29/05        

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