N-CSR 1 annualform-022.htm ANNUAL REPORT annualform-022.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number    811-4764 

Dreyfus Municipal Bond Opportunity Fund
(Exact name of Registrant as specified in charter)

c/o The Dreyfus Corporation
200 Park Avenue
New York, New York 10166
(Address of principal executive offices) (Zip code)

Michael A. Rosenberg, Esq.
200 Park Avenue
New York, New York 10166
(Name and address of agent for service)

Registrant's telephone number, including area code:    (212) 922-6000 

Date of fiscal year end:    4/30 
Date of reporting period:    4/30/09 

FORM N-CSR

Item 1.    Reports to Stockholders. 


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The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.

Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value

Contents
 
    THE FUND 
 
2    A Letter from the CEO 
3    Discussion of Fund Performance 
6    Fund Performance 
8    Understanding Your Fund’s Expenses 
8    Comparing Your Fund’s Expenses 
With Those of Other Funds
9    Statement of Investments 
26    Statement of Assets and Liabilities 
27    Statement of Operations 
28    Statement of Changes in Net Assets 
30    Financial Highlights 
34    Notes to Financial Statements 
44    Report of Independent Registered 
    Public Accounting Firm 
45    Important Tax Information 
46    Board Members Information 
49    Officers of the Fund 
 
FOR MORE INFORMATION
    Back Cover 

Dreyfus Municipal
Bond Opportunity Fund

The Fund


A LETTER FROM THE CEO

Dear Shareholder:

We present to you this annual report for Dreyfus Municipal Bond Opportunity Fund, covering the 12-month period from May 1, 2008, through April 30, 2009.

Both the municipal and taxable fixed-income markets were not immune to price volatility during the reporting period, as higher-yielding market sectors generally plummeted over the fall of 2008 and later rebounded strongly in late April 2009. In supporting the recent rally, investors apparently shrugged off more bad economic news: the unemployment rate surged to a 25-year high in April, and a 6.3% annualized contraction over the fourth quarter of 2008 was followed by a 5.7% economic contraction during the first quarter of 2009.Yet, the market rebound proved to be robust, particularly among high yield bonds, which previously had been hard-hit in the downturn. Conversely, U.S.Treasury securities, which had served as a relatively safe haven in 2008, gave back some of their gains in 2009, particularly long-term nominal Treasuries.

These price and yield swings have left the global markets wondering whether fixed income investors are anticipating sustainable economic improvement, or continued economic distress. We generally have remained cautious in the absence of real economic progress, but the market’s gyrations illustrate the importance of a long-term investment focus combined with a diversified approach.That’s why we encourage you to speak regularly with your financial consultant, who can discuss with you the potential benefits of adhering to a long-term investment strategy tailored to your current fixed income needs and future investment goals.

For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the fund’s Portfolio Manager.

Thank you for your continued confidence and support.


Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
May 15, 2009

2


DISCUSSION OF FUND PERFORMANCE

For the period of May 1, 2008, through April 30, 2009, as provided by James Welch, Senior Portfolio Manager

Fund and Market Performance Overview

For the 12-month period ended April 30, 2009, Dreyfus Municipal Bond Opportunity Fund’s Class A shares produced a total return of –2.64%, Class B shares returned –3.26%, Class C shares returned –3.42% and Class Z shares returned –2.59%.1 The Barclays Capital Municipal Bond Index (the “Index”), the fund’s benchmark, achieved a total return of 3.11% for the same period.2

Municipal bonds suffered bouts of heightened volatility due to a severe financial crisis and economic downturn over much of the reporting period, but a market rally buoyed market averages late in the reporting period. The fund produced lower returns than its benchmark, due primarily to weakness among lower-rated credits.

The Fund’s Investment Approach

The fund seeks to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital.To pursue its goal, the fund normally invests substantially all of its assets in municipal bonds that provide income exempt from federal income tax. The fund invests at least 70% of its assets in investment-grade municipal bonds or the unrated equivalent as determined by Dreyfus.The fund may invest up to 30% of its assets in municipal bonds rated below investment grade or the unrated equivalent as determined by Dreyfus. Under normal market conditions, the dollar-weighted average maturity of the fund’s portfolio is expected to exceed 10 years.

We may buy and sell bonds based on credit quality, market outlook and yield potential. In selecting municipal bonds for investment, we may assess the current interest-rate environment and a municipal bond’s potential volatility in different rate environments. We focus on bonds with the potential to offer attractive current income, typically looking

The Fund 3

DISCUSSION OF FUND PERFORMANCE (continued)

for bonds that can provide consistently attractive current yields or that are trading at competitive market prices. A portion of the fund’s assets may be allocated to“discount”bonds,which are bonds that sell at a price below their face value, or to “premium” bonds, which are bonds that sell at a price above their face value.The fund’s allocation either to discount bonds or to premium bonds will change along with our changing views of the current interest-rate and market environments.We may also look to select bonds that are most likely to obtain attractive prices when sold.

Financial Crisis and Recession Sparked Heightened Volatility

An intensifying credit crisis and a severe recession roiled most financial markets, including municipal bonds, over much of the reporting period. Slumping home values, rising unemployment and plunging consumer confidence contributed to one of the worst recessions since the 1930s, putting fiscal pressure on most states and municipalities. Meanwhile, an ongoing credit crunch escalated in September 2008 into a global financial crisis that punished a number of large financial institutions, including major municipal bond insurers and dealers. These developments sparked a “flight to quality” in which investors fled riskier assets in favor of traditional safe havens, especially U.S.Treasury securities.

In this tumultuous environment, yield differences between municipal bonds and comparable Treasuries moved toward historically wide levels, as deleveraging among institutional investors resulted in widespread selling pressure even for creditworthy securities. A market rally in the reporting period’s final months,stemming in part from massive interventions into the financial crisis by government and monetary authorities, helped the municipal bond market erase most of its previous losses.

Defensive Strategies Cushioned Losses but Dampened Performance

Although we adopted a generally defensive investment posture in order to cushion losses during the downturn,the fund’s holdings of lower-rated credits — including bonds backed by the states’ settlement of litigation with U.S. tobacco companies and securities issued to finance industrial development projects — dampened the fund’s relative performance.

4

Whenever market liquidity allowed, we attempted to upgrade the fund’s credit profile by reducing its positions in corporate-backed municipal bonds rated BBB or lower in favor of general obligation bonds and essential-purpose revenue bonds from fiscally sound municipal issuers.We also maintained a larger-than-normal cash position during the worst of the financial crisis, and we attempted to increase diversification among the fund’s holdings.

Our interest-rate strategies also reflected a more conservative position, as we positioned the fund to capture the benefits of wider-than-average yield differences along the market’s maturity spectrum. We generally focused on bonds in the 20-year maturity range, which provided much of the yield of longer-term bonds but entailed less risk should inflation eventually accelerate as a result of massive government borrowing and spending.

Maintaining a Cautious Investment Posture

Although we recently have seen evidence of market stabilization and a return to a focus on fundamentals among investors, the U.S. economy has remained weak, and many states have continued to struggle with budget pressures. Consequently, we have maintained a generally defensive investment posture, including strategies to manage risks through careful credit analysis and diversification.

May 15, 2009

1    Total return includes reinvestment of dividends and any capital gains paid, and does not take into 
    consideration the maximum initial sales charge in the case of Class A shares or the applicable 
    contingent deferred sales charges imposed on redemptions in the case of Class B and Class C 
    shares. Had these charges been reflected, returns would have been lower. Class Z is not subject to 
    any initial or deferred sales charge. Each share class is subject to a different sales charge and 
    distribution expense structure and will achieve different returns. Past performance is no guarantee 
    of future results. Share price, yield and investment return fluctuate such that upon redemption, 
    fund shares may be worth more or less than their original cost. Income may be subject to state and 
    local taxes, and some income may be subject to the federal alternative minimum tax (AMT) for 
    certain investors. Capital gains, if any, are taxable. 
2    SOURCE: LIPPER INC. — Reflects reinvestment of dividends and, where applicable, capital 
    gain distributions.The Barclays Capital Municipal Bond Index is a widely accepted, unmanaged 
    total return performance benchmark for the long-term, investment-grade, tax-exempt bond market. 
    Index returns do not reflect fees and expenses associated with operating a mutual fund. 

The Fund 5

FUND PERFORMANCE


† Source: Lipper Inc. 
Past performance is not predictive of future performance. 
The above graph compares a $10,000 investment made in Class A, Class B and Class C shares of Dreyfus 
Municipal Bond Opportunity Fund on 4/30/99 to a $10,000 investment made in the Barclays Capital Municipal 
Bond Index (the “Index”) on that date. All dividends and capital gain distributions are reinvested. Performance for 
Class Z shares will vary from the performance of Class A, Class B and Class C shares shown above due to differences 
in charges and expenses. 
The fund invests primarily in municipal securities and its performance shown in the line graph takes into account the 
maximum initial sales charge on Class A shares and all other applicable fees and expenses for Class A, Class B and 
Class C shares.The Index, unlike the fund, is an unmanaged total return performance benchmark for the long-term, 
investment-grade, tax-exempt bond market, calculated by using municipal bonds selected to be representative of the 
municipal market overall.These factors can contribute to the Index potentially outperforming or underperforming the fund. 
Unlike a mutual fund, the Index is not subject to charges, fees and other expenses. Investors cannot invest directly in any 
index. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in 
the Financial Highlights section of the prospectus and elsewhere in this report. 

6

Average Annual Total Returns as of 4/30/09                 
 
    Inception                From 
    Date    1 Year    5 Years    10 Years    Inception 
  
 
 
 
 
Class A shares                     
with maximum sales charge (4.5%)    11/26/86    –7.01%    1.74%    2.39%    — 
without sales charge    11/26/86    –2.64%    2.67%    2.87%    — 
Class B shares                     
with applicable redemption charge †    1/15/93    –6.97%    1.80%    2.56%    — 
without redemption    1/15/93    –3.26%    2.13%    2.56%    — 
Class C shares                     
with applicable redemption charge ††    7/13/95    –4.35%    1.91%    2.10%    — 
without redemption    7/13/95    –3.42%    1.91%    2.10%    — 
Class Z shares    10/14/04    –2.59%    —    —    2.04% 

Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Performance for Class B shares assumes the conversion of Class B shares to Class A shares at the end of the sixth year following the date of purchase.

†    The maximum contingent deferred sales charge for Class B shares is 4%.After six years Class B shares convert to 
    Class A shares. 
††    The maximum contingent deferred sales charge for Class C shares is 1% for shares redeemed within one year of the 
    date of purchase. 

The Fund 7

UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)

As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.

Review your fund’s expenses

The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Municipal Bond Opportunity Fund from November 1, 2008 to April 30, 2009. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended April 30, 2009

    Class A    Class B    Class C    Class Z 
 
 
 
 
Expenses paid per $1,000†    $ 4.83    $ 7.37    $ 8.79    $ 4.53 
Ending value (after expenses)    $1,052.20    $1,049.20    $1,048.30    $1,052.50 

  COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)

Using the SEC’s method to compare expenses

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended April 30, 2009

    Class A    Class B    Class C    Class Z 
 
 
 
 
Expenses paid per $1,000†    $ 4.76    $ 7.25    $ 8.65    $ 4.46 
Ending value (after expenses)    $1,020.08    $1,017.60    $1,016.22    $1,020.38 

† Expenses are equal to the fund’s annualized expense ratio of .95% for Class A, 1.45% for Class B, 1.73% for 
   Class C and .89% for Class Z, multiplied by the average account value over the period, multiplied by 181/365 (to 
   reflect the one-half year period). 

8

STATEMENT OF INVESTMENTS 
April 30, 2009 

Long-Term Municipal    Coupon    Maturity    Principal     
 Investments—98.0%    Rate (%)    Date    Amount ($)    Value ($) 
  
 
 
 
Alabama—.6%                 
University of Alabama Board of                 
   Trustees, HR (University of                 
   Alabama at Birmingham)                 
   (Insured; MBIA, Inc.)    5.75    9/1/10    3,000,000 a    3,233,400 
Arizona—3.8%                 
Arizona Health Facilities                 
   Authority, Health Care                 
   Facilities Revenue (The                 
   Beatitudes Campus Project)    5.20    10/1/37    2,400,000    1,251,600 
City of Phoenix, County of                 
   Maricopa and the County of                 
   Pima Industrial Development                 
   Authorities, SFMR (Collateralized:                 
   FHLMC, FNMA and GNMA)    5.80    12/1/39    5,205,000    5,348,085 
Glendale Western Loop 101 Public                 
   Facilities Corporation, Third                 
   Lien Excise Tax Revenue    7.00    7/1/33    5,000,000    5,321,550 
Mohave County Industrial                 
   Development Authority,                 
   Correctional Facilities                 
   Contract Revenue (Mohave                 
   Prison, LLC Expansion Project)    8.00    5/1/25    5,000,000    5,232,750 
Pima County Industrial Development                 
   Authority, Education Revenue                 
   (American Charter Schools                 
   Foundation Project)    5.63    7/1/38    5,000,000    3,321,150 
California—10.6%                 
Anaheim Public Financing                 
   Authority, Revenue (City of                 
   Anaheim Electric System                 
   Distribution Facilities)    5.25    10/1/34    3,185,000    3,199,524 
California,                 
   GO (Various Purpose)    5.75    4/1/31    2,675,000    2,729,570 
California,                 
   GO (Various Purpose)    6.50    4/1/33    5,000,000    5,478,200 
California Health Facilities                 
   Financing Authority, Revenue                 
   (Providence Health and Services)    6.50    10/1/38    3,000,000    3,166,170 

The Fund 9

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
California (continued)                   
California Pollution Control                   
   Financing Authority, PCR (San                   
   Diego Gas and Electric                   
   Company) (Insured; MBIA, Inc.)    5.90    6/1/14    12,710,000      13,724,766 
California Statewide Communities                   
   Development Authority,                   
   Environmental Facilities                   
   Revenue (Microgy                   
   Holdings Project)    9.00    12/1/38    3,500,000      2,765,140 
California Statewide Communities                   
   Development Authority,                   
   Revenue (Daughters of                   
   Charity Health System)    5.25    7/1/35    6,270,000      4,251,812 
Golden State Tobacco                   
   Securitization Corporation,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    7.88    6/1/13    2,170,000  a    2,629,346 
Golden State Tobacco                   
   Securitization Corporation,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    7.90    6/1/13    1,920,000  a    2,328,192 
Golden State Tobacco                   
   Securitization Corporation,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    4.50    6/1/27    7,500,000      6,082,575 
Golden State Tobacco                   
   Securitization Corporation,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    5.00    6/1/33    4,900,000      3,132,423 
Golden State Tobacco                   
   Securitization Corporation,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    5.13    6/1/47    3,750,000      1,933,912 
Lincoln, Community Facilities                   
   District Number 2003-1,                   
   Special Tax Bonds (Lincoln                   
   Crossing Project)    6.00    9/1/13    3,145,000  a    3,752,866 
San Bernardino Community College                   
   District, GO    6.25    8/1/33    2,000,000      2,187,860 

10

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
Colorado—4.9%                   
Colorado Educational and Cultural                   
   Facilities Authority, LR                   
   (Community Colleges of                   
   Colorado System Headquarters                   
   Project) (Insured; AMBAC)    5.50    12/1/21    1,100,000      1,157,530 
Colorado Health Facilities                   
   Authority, Revenue (Poudre                   
   Hospital) (Insured; FSA)    5.25    3/1/36    1,650,000      1,565,784 
Colorado Housing Finance Authority                   
   (Single Family Program)                   
   (Collateralized; FHA)    7.15    10/1/30    45,000      46,048 
Colorado Housing Finance                   
   Authority, Single Family                   
   Program Senior and Subordinate                   
   Bonds (Collateralized; FHA)    6.60    8/1/32    2,270,000      2,389,402 
Denver City and County,                   
   Airport Revenue (Insured; AMBAC)    6.00    11/15/17    5,000,000      5,066,450 
Northwest Parkway Public Highway                   
   Authority, Revenue    7.13    6/15/11    8,250,000  a    8,840,205 
Northwest Parkway Public                   
   Highway Authority, Revenue                   
   (Insured; AMBAC)    0.00    6/15/11    6,125,000  a,b    2,246,221 
University of Colorado Hospital                   
   Authority, Revenue    5.25    11/15/39    4,810,000      3,705,335 
University of Colorado Regents,                   
   University Enterprise Revenue    5.75    6/1/28    1,000,000      1,085,200 
Connecticut—1.7%                   
Connecticut,                   
   GO    5.00    2/15/25    2,500,000      2,721,700 
Mashantucket Western Pequot Tribe,                   
   Special Revenue    5.75    9/1/27    8,000,000  c    4,360,240 
Mashantucket Western Pequot Tribe,                   
   Special Revenue    6.50    9/1/31    3,500,000  c    1,997,730 
Florida—9.5%                   
Broward County Housing Finance                   
   Authority, MFHR (Pembroke                   
   Villas Project) (Insured; FSA)    5.55    1/1/23    1,000,000      1,006,280 

The Fund 11

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal     
 Investments (continued)    Rate (%)    Date    Amount ($)    Value ($) 
 
 
 
 
Florida (continued)                 
Broward County School Board,                 
   COP (Master Lease Purchase                 
   Agreement) (Insured; FSA)    5.00    7/1/21    1,250,000    1,259,925 
Capital Projects Finance                 
   Authority, Revenue (Capital                 
   Projects Loan Program-AAAE                 
   Airport Projects) (Insured;                 
   MBIA, Inc.)    5.25    6/1/14    1,485,000    1,569,274 
Capital Projects Finance                 
   Authority, Student Housing                 
   Revenue (Capital Projects Loan                 
   Program-Florida Universities)                 
   (Insured; MBIA, Inc.)    5.50    10/1/17    2,520,000    2,456,975 
Escambia County Housing Finance                 
   Authority, SFMR (Multi-County                 
   Program) (Collateralized: FNMA                 
   and GNMA)    5.50    10/1/21    1,770,000    1,784,797 
Florida Board of Education,                 
   Lottery Revenue (Insured; FGIC)    5.00    7/1/20    1,480,000    1,512,072 
Florida Department of Children and                 
   Family Services, COP (South                 
   Florida Evaluation Treatment                 
   Center Project)    5.00    10/1/21    1,600,000    1,644,288 
Florida Housing Finance Agency,                 
   Housing Revenue (Brittany of                 
   Rosemont Apartments Project)                 
   (Insured; AMBAC)    7.00    2/1/35    6,000,000    6,005,040 
Florida Intergovernmental Finance                 
   Commission, Capital Revenue                 
   (Insured; AMBAC)    5.00    2/1/18    1,000,000    1,024,030 
Florida Intergovernmental Finance                 
   Commission, Capital Revenue                 
   (Insured; AMBAC)    5.13    2/1/31    1,500,000    1,477,635 
Florida State Board of Education,                 
   Public Education Capital                 
   Outlay Bonds    5.00    6/1/28    6,610,000    6,725,014 
Highlands County Health Facilities                 
   Authority, HR (Adventist                 
   Health System/Sunbelt                 
   Obligated Group)    6.00    11/15/11    2,500,000 a    2,777,300 

12

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
Florida (continued)                   
Highlands County Health Facilities                   
   Authority, HR (Adventist                   
   Health System/Sunbelt                   
   Obligated Group)    5.25    11/15/36    4,250,000      3,709,740 
Lee County Housing Finance                   
   Authority, SFMR                   
   (Collateralized: FHLMC,                   
   FNMA and GNMA)    6.30    3/1/29    75,000      76,428 
Miami-Dade County,                   
   Aviation Revenue, Miami                   
   International Airport (Hub of                   
   the Americas) (Insured; FSA)    5.00    10/1/33    1,285,000      1,143,907 
Miami-Dade County,                   
   Solid Waste System Revenue                   
   (Insured; FSA)    5.50    10/1/17    2,595,000      2,795,957 
Miami-Dade County Housing Finance                   
   Authority, MFMR (Country Club                   
   Villas II Project) (Insured; FSA)    5.70    7/1/21    400,000      405,620 
Orange County Housing Finance                   
   Authority, MFHR (Palm Grove                   
   Gardens) (Collateralized; FNMA)    5.15    1/1/23    1,175,000      1,190,181 
Orange County Housing Finance                   
   Authority, MFHR (Seminole                   
   Pointe Apartments)    5.75    12/1/23    2,830,000      2,165,573 
Osceola County Industrial                   
   Development Authority, Revenue                   
   (Community Provider Pooled                   
   Loan Program)    7.75    7/1/17    937,000      867,381 
Palm Bay,                   
   Educational Facilities Revenue                   
   (Patriot Charter School Project)    7.00    7/1/36    215,000  d    128,996 
Palm Bay,                   
   Utility System Improvement                   
   Revenue (Insured; FGIC)    0.00    10/1/20    1,845,000  b    1,017,739 
Port of Palm Beach District,                   
   Revenue (Insured; XLCA)    0.00    9/1/23    1,000,000  b    401,930 
Port Saint Lucie,                   
   Utility System Revenue                   
   (Insured; MBIA, Inc.)    0.00    9/1/33    4,000,000  b    880,320 

The Fund 13

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal     
 Investments (continued)    Rate (%)    Date    Amount ($)    Value ($) 
 
 
 
 
Florida (continued)                 
Seminole Water Control District,                 
   Improvement Bonds (Unit of                 
   Development Number 2)    6.75    8/1/22    1,615,000    1,409,330 
South Indian River Water Control                 
   District, Special Assessment                 
   Revenue Improvement (Unit of                 
   Development RI-13) (Insured;                 
   MBIA, Inc.)    5.00    8/1/21    1,095,000    992,180 
Village Center Community                 
   Development District, Utility                 
   Revenue (Insured; MBIA, Inc.)    5.25    10/1/23    1,000,000    908,740 
Winter Park,                 
   Water and Sewer Revenue                 
   (Insured; AMBAC)    5.38    12/1/18    1,730,000    1,832,987 
Winter Springs,                 
   Water and Sewer Revenue                 
   (Insured; MBIA, Inc.)    5.00    4/1/20    1,585,000    1,619,886 
Georgia—1.8%                 
College Park Business and                 
   Industrial Development                 
   Authority, Revenue (Civic                 
   Center Project) (Insured; AMBAC)    5.75    9/1/10     4,250,000 a    4,609,720 
Georgia,                 
   GO    5.25    7/1/10     5,000,000 a    5,275,050 
Illinois—3.2%                 
Chicago,                 
   SFMR (Collateralized: FHLMC,                 
   FNMA and GNMA)    6.45    9/1/29    1,330,000    1,356,932 
Chicago Board of Education,                 
   Unlimited Tax GO (Dedicated                 
   Revenues)    5.25    12/1/25    10,000,000    10,326,600 
Illinois Development Finance                 
   Authority, Revenue (Community                 
   Rehabilitation Providers                 
   Facilities Acquisition Program)    8.75    3/1/10    47,000    46,976 
Illinois Development Finance                 
   Authority, Revenue (Community                 
   Rehabilitation Providers                 
   Facilities Acquisition Program)    8.25    8/1/12    216,484    169,587 

14

Long-Term Municipal    Coupon    Maturity    Principal     
 Investments (continued)    Rate (%)    Date    Amount ($)    Value ($) 
  
 
 
 
Illinois (continued)                 
Metropolitan Pier and Exposition                 
   Authority, Dedicated State Tax                 
   Revenue (McCormick Place                 
   Expansion Project) (Insured;                 
   MBIA, Inc.)    5.50    6/15/23    5,000,000    5,230,050 
Kansas—1.4%                 
Sedgwick and Shawnee Counties,                 
   SFMR (Mortgage-Backed                 
   Securities Program)                 
   (Collateralized: FNMA and GNMA)    5.55    6/1/38    2,325,000    2,325,721 
Wichita,                 
   HR (Via Christi Health                 
   System, Inc.)    6.25    11/15/19    2,000,000    2,074,620 
Wichita,                 
   HR (Via Christi Health                 
   System, Inc.)    6.25    11/15/20    3,000,000    3,104,670 
Kentucky—2.5%                 
Mount Sterling,                 
   LR (Kentucky League of Cities                 
   Funding Trust Program)    6.10    3/1/18    5,500,000    5,472,775 
Paducah Electric Plant Board,                 
   Revenue (Insured;                 
   Assured Guaranty)    5.25    10/1/35    1,000,000    1,013,070 
Pendleton County,                 
   Multi-County LR (Kentucky                 
   Association of Counties                 
   Leasing Trust Program)    6.40    3/1/19    6,000,000    7,025,700 
Louisiana—1.4%                 
Louisiana Housing Finance Agency,                 
   SFMR (Home Ownership Program)                 
   (Collateralized: FNMA and GNMA)    6.40    12/1/30    1,255,000    1,304,773 
Louisiana Local Government                 
   Environmental Facilities and                 
   Community Development                 
   Authority, Revenue (Westlake                 
   Chemical Corporation Projects)    6.75    11/1/32    5,000,000    3,505,250 
Saint James Parish,                 
   SWDR (Freeport-McMoRan                 
   Partnership Project)    7.70    10/1/22    3,020,000    2,850,034 

The Fund 15

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal         
 Investments (continued)    Rate (%)    Date    Amount ($)        Value ($) 
 
 
 
 
 
Massachusetts—3.7%                     
Massachusetts Health and                     
   Educational Facilities                     
   Authority, Revenue (Harvard                     
   University Issue)    5.50    11/15/36    3,500,000        3,794,455 
Massachusetts Health and                     
   Educational Facilities                     
   Authority, Revenue                     
   (Massachusetts Institute of                     
   Technology Issue)    5.25    7/1/30    9,485,000        10,615,517 
Massachusetts Industrial                     
   Finance Agency, Water                     
   Treatment Revenue                     
   (Massachusetts-American                     
   Hingham Project)    6.95    12/1/35    2,450,000        2,072,920 
Route 3 North Transportation                     
   Improvement Association, LR                     
   (Insured; MBIA, Inc.)    5.75    6/15/10    3,000,000    a    3,170,400 
Michigan—6.8%                     
Detroit School District,                     
   School Building and Site                     
   Improvement Bonds (GO—                     
   Unlimited Tax) (Insured; FGIC)    5.00    5/1/28    5,000,000        4,892,000 
Michigan Building Authority,                     
   Revenue (Facilities Program)                     
   (Insured; FSA)    5.50    10/15/18    1,500,000        1,585,650 
Michigan Building Authority,                     
   Revenue (Facilities Program)                     
   (Insured; FSA)    5.50    10/15/19    8,500,000        8,985,350 
Michigan Strategic Fund,                     
   SWDR (Genesee Power                     
   Station Project)    7.50    1/1/21    7,225,000        5,895,600 
Pontiac Tax Increment Finance                     
   Authority, Tax Increment                     
   Revenue (Development                     
   Area Number 3)    6.25    6/1/12    2,640,000    a    3,038,930 
Pontiac Tax Increment Finance                     
   Authority, Tax Increment                     
   Revenue (Development                     
   Area Number 3)    6.25    6/1/22    610,000        366,427 

16

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
Michigan (continued)                   
Romulus Economic Development                   
   Corporation, Limited                   
   Obligation EDR (Romulus HIR                   
   Limited Partnership Project)                   
   (Insured; ITT Lyndon Property                   
   Insurance Company)    7.00    11/1/15    5,000,000      6,332,700 
Royal Oak Hospital Finance                   
   Authority, HR (William Beaumont                   
   Hospital Obligated Group)    8.00    9/1/29    5,000,000      5,581,200 
Minnesota—.9%                   
Chaska,                   
   Electric Revenue    6.00    10/1/10    2,000,000  a    2,144,560 
Minnesota Housing Finance Agency,                   
   SFMR    5.95    1/1/17    375,000      375,630 
Saint Paul Housing and                   
   Redevelopment Authority,                   
   Hospital Facility Revenue                   
   (HealthEast Project)    6.00    11/15/30    3,000,000      2,313,960 
Mississippi—.3%                   
Mississippi Home Corporation,                   
   SFMR (Collateralized; GNMA)    6.95    12/1/31    1,495,000      1,533,302 
Missouri—2.3%                   
Missouri Development Finance                   
   Board, Infrastructure                   
   Facilities Revenue (Branson                   
   Landing Project)    5.38    12/1/27    2,470,000      2,083,223 
Missouri Health and Educational                   
   Facilities Authority, Health                   
   Facilities Revenue (Saint                   
   Anthony’s Medical Center)    6.13    12/1/10    4,000,000  a    4,357,640 
Missouri Highways and                   
   Transportation Commission,                   
   Second Lien State Road Revenue    5.25    5/1/22    5,000,000      5,572,900 
Missouri Housing Development                   
   Commission, SFMR                   
   (Homeownership Loan                   
   Program) (Collateralized:                   
   FNMA and GNMA)    6.30    9/1/25    90,000      91,604 

The Fund 17

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
New Jersey—2.3%                   
New Jersey Turnpike Authority,                   
   Turnpike Revenue (Insured;                   
   MBIA, Inc.)    5.50    1/1/10    6,000,000  a    6,202,080 
Tobacco Settlement Financing                   
   Corporation of New Jersey,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    7.00    6/1/13    5,135,000  a    6,223,363 
New Mexico—1.2%                   
Farmington,                   
   PCR (Public Service Company of                   
   New Mexico San Juan Project)    6.38    4/1/22    1,430,000      1,344,886 
Jicarilla Apache Nation,                   
   Revenue    5.50    9/1/23    5,000,000      5,131,950 
New York—7.2%                   
Austin Trust                   
   (Port Authority of New York                   
   and New Jersey, Consolidated                   
   Bonds, 151st Series)    6.00    9/15/28    9,690,000  c,e    10,032,832 
Long Island Power Authority,                   
   Electric System General Revenue    6.00    5/1/33    5,000,000      5,365,400 
New York City Industrial                   
   Development Agency,                   
   Special Facility Revenue                   
   (American Airlines, Inc.                   
   John F. Kennedy International                   
   Airport Project)    7.13    8/1/11    3,555,000      3,311,127 
New York City Industrial                   
   Development Agency, Special                   
   Facility Revenue (American                   
   Airlines, Inc. John F. Kennedy                   
   International Airport Project)    8.00    8/1/28    3,000,000      2,348,970 
New York City Municipal Water                   
   Finance Authority, Water and                   
   Sewer System Revenue    6.00    6/15/10    3,085,000  a    3,306,380 
New York State Dormitory                   
   Authority, Revenue (New York                   
   University) (Insured; MBIA, Inc.)    6.00    7/1/17    3,500,000      4,156,530 

18

Long-Term Municipal    Coupon    Maturity    Principal     
 Investments (continued)    Rate (%)    Date    Amount ($)    Value ($) 
  
 
 
 
New York (continued)                 
New York State Dormitory                 
   Authority, Revenue (Orange                 
   Regional Medical Center                 
   Obligated Group)    6.25    12/1/37    5,000,000    3,640,250 
New York State Dormitory                 
   Authority, Revenue                 
   (Rochester Institute of                 
   Technology) (Insured; AMBAC)    5.25    7/1/24    3,345,000    3,347,643 
New York State Dormitory                 
   Authority, Revenue (State                 
   University Educational Facilities)    7.50    5/15/13    2,500,000    2,930,575 
North Carolina—4.9%                 
North Carolina Eastern Municipal                 
   Power Agency, Power                 
   System Revenue    7.00    1/1/13    3,500,000    3,795,225 
North Carolina Eastern Municipal                 
   Power Agency, Power System                 
   Revenue (Insured; ACA)    6.75    1/1/26    5,000,000    5,056,600 
North Carolina Eastern Municipal                 
   Power Agency, Power System                 
   Revenue (Insured; AMBAC)    6.00    1/1/18    7,500,000    8,081,925 
North Carolina Medical Care                 
   Commission, Revenue (North                 
   Carolina Housing Foundation, Inc.)                 
   (Insured; ACA)    6.45    8/15/20    1,000,000    837,360 
North Carolina Medical Care                 
   Commission, Revenue (North                 
   Carolina Housing Foundation,                 
   Inc.) (Insured; ACA)    6.63    8/15/30    2,565,000    1,879,401 
University of North Carolina Board                 
   of Governors of the University                 
   of North Carolina at Chapel                 
   Hill, General Revenue    5.00    12/1/34    6,350,000    6,496,304 
Ohio—3.1%                 
Buckeye Tobacco Settlement                 
   Financing Authority, Tobacco                 
   Settlement Asset-Backed Bonds    6.50    6/1/47    2,000,000    1,240,120 

The Fund 19

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
Ohio (continued)                   
Cleveland-Cuyahoga County Port                   
   Authority, Senior Special                   
   Assessment/Tax Increment                   
   Revenue (University Heights—                   
   Public Parking Garage Project)    7.35    12/1/31    3,000,000      2,630,340 
Cuyahoga County,                   
   Hospital Facilities Revenue                   
   (UHHS/CSAHS-Cuyahoga, Inc. and                   
   CSAHS/UHHS-Canton, Inc. Project)    7.50    1/1/30    7,000,000      6,940,920 
Hamilton County,                   
   Sales Tax Refunding and                   
   Improvement Bonds                   
   (Insured; AMBAC)    0.00    12/1/25    14,865,000  b    5,805,228 
Oklahoma—1.9%                   
McGee Creek Authority,                   
   Water Revenue                   
   (Insured; MBIA, Inc.)    6.00    1/1/13    5,660,000      6,057,389 
Oklahoma Municipal Power                   
   Authority, Power Supply                   
   System Revenue    6.00    1/1/38    4,000,000      4,269,600 
Oregon—1.6%                   
Oregon Department of                   
   Administrative Services,                   
   Lottery Revenue (Insured; FSA)    5.00    4/1/26    4,885,000      5,065,794 
Portland,                   
   Sewer System Revenue                   
   (Insured; FGIC)    5.75    8/1/10    3,500,000  a    3,724,490 
Pennsylvania—1.6%                   
Harrisburg Authority,                   
   University Revenue (The                   
   Harrisburg University of                   
   Science and Technology Project)    6.00    9/1/36    2,000,000      1,497,860 
Pennsylvania Economic                   
   Development Financing                   
   Authority, SWDR                   
   (USG Corporation Project)    6.00    6/1/31    3,000,000      1,561,410 
Pennsylvania Higher Educational                   
   Facilities Authority, Revenue                   
   (University of Pennsylvania                   
   Health System)    6.00    8/15/26    5,000,000      5,344,550 

20

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
South Carolina—1.0%                   
South Carolina Public Service                   
   Authority, Revenue Obligations    5.50    1/1/38    5,000,000      5,263,900 
Tennessee—1.5%                   
Johnson City Health and                   
   Educational Facilities Board,                   
   Hospital First Mortgage                   
   Revenue (Mountain States                   
   Health Alliance)    5.50    7/1/31    4,955,000      3,981,937 
Memphis Center City Revenue                   
   Finance Corporation, Sports                   
   Facility Revenue (Memphis Redbirds                   
   Baseball Foundation Project)    6.50    9/1/28    8,000,000  d    4,038,480 
Texas—8.1%                   
Alliance Airport Authority Inc.,                   
   Special Facilities Revenue                   
   (American Airlines, Inc. Project)    5.75    12/1/29    3,000,000      1,145,880 
Austin Convention Enterprises Inc.,                   
   Convention Center Hotel                   
   First Tier Revenue    6.70    1/1/11    5,000,000  a    5,467,500 
Brazos River Authority, PCR (TXU                   
   Electric Company Project)    8.25    5/1/33    4,000,000      1,728,560 
Brazos River Authority, PCR (TXU                   
   Energy Company LLC Project)    5.00    3/1/41    3,000,000      1,086,930 
Brazos River Authority,                   
   Revenue (Reliant                   
   Energy, Inc. Project)    5.38    4/1/19    3,250,000      2,965,560 
Cities of Dallas and Fort Worth,                   
   Dallas/Fort Worth                   
   International Airport, Joint                   
   Revenue (Insured; FSA)    5.50    11/1/21    3,000,000      3,019,950 
North Texas Tollway Authority,                   
   First Tier System Revenue                   
   (Insured; Assured Guaranty)    5.75    1/1/40    11,850,000      12,358,010 
North Texas Tollway Authority,                   
   Second Tier System Revenue    5.75    1/1/38    5,510,000      5,207,115 
Southwest Independent School                   
   District, Unlimited Tax Bonds                   
   (Permanent School Fund                   
   Guarantee Program)    5.25    2/1/25    6,110,000      6,911,510 

The Fund 21

STATEMENT OF INVESTMENTS (continued)

Long-Term Municipal    Coupon    Maturity    Principal       
 Investments (continued)    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
Texas (continued)                   
Texas Turnpike Authority,                   
   Central Texas Turnpike System                   
   Revenue (Insured; AMBAC)    5.75    8/15/38    3,500,000      3,484,915 
Virginia—.7%                   
Virginia Housing Development                   
   Authority, Commonwealth                   
   Mortgage Revenue    6.25    7/1/31    3,550,000      3,789,448 
Washington—2.5%                   
Washington Public Power Supply                   
   System, Revenue (Nuclear                   
   Project Number 3) (Insured;                   
   MBIA, Inc.)    7.13    7/1/16    10,425,000      13,187,625 
West Virginia—1.0%                   
The County Commission of Pleasants                   
   County, PCR (Allegheny Energy                   
   Supply Company, LLC Pleasants                   
   Station Project)    5.25    10/15/37    3,500,000      2,881,375 
West Virginia Hospital Finance                   
   Authority, HR (Charleston Area                   
   Medical Center, Inc.)    6.00    9/1/10    2,440,000  a    2,623,878 
Wisconsin—3.5%                   
Badger Tobacco Asset                   
   Securitization Corporation,                   
   Tobacco Settlement                   
   Asset-Backed Bonds    7.00    6/1/12    13,350,000  a    15,253,576 
Wisconsin Health and Educational                   
   Facilities Authority, Revenue                   
   (Aurora Health Care, Inc.)    6.40    4/15/33    4,000,000      3,586,880 
U.S. Related—.5%                   
Puerto Rico Infrastructure                   
   Financing Authority, Special                   
   Tax Revenue (Insured; AMBAC)    5.50    7/1/26    3,000,000      2,732,580 
Total Long-Term Municipal Investments               
   (cost $538,305,918)                  525,879,868 

22

Short-Term Municipal    Coupon    Maturity    Principal       
 Investments—.4%    Rate (%)    Date    Amount ($)      Value ($) 
  
 
 
 
California—.1%                   
Orange County Sanitation District,                   
   COP, Refunding (Liquidity Facility;                   
   Dexia Credit Locale)    1.00    5/1/09    800,000  f    800,000 
Ohio—.3%                   
Cuyahoga County,                   
   HR (W.O. Walker Center, Inc.                   
   Project) (Insured; AMBAC and                   
   Liquidity Facility; Key Bank)    9.00    5/7/09    1,425,000  f    1,425,000 
Total Short-Term Municipal Investments               
   (cost $2,225,000)                  2,225,000 
 
Total Investments (cost $540,530,918)            98.4%      528,104,868 
Cash and Receivables (Net)            1.6%      8,639,769 
Net Assets            100.0%      536,744,637 

a These securities are prerefunded; the date shown represents the prerefunded date. Bonds which are prerefunded are 
   collateralized by U.S. Government securities which are held in escrow and are used to pay principal and interest on 
   the municipal issue and to retire the bonds in full at the earliest refunding date. 
b Security issued with a zero coupon. Income is recognized through the accretion of discount. 
c Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in 
   transactions exempt from registration, normally to qualified institutional buyers.At April 30, 2009, these securities 
   amounted to $16,390,802 or 3.1% of net assets. 
d Non-income producing—security in default. 
e Collateral for floating rate borrowings. 
f Variable rate demand note—rate shown is the interest rate in effect at April 30, 2009. Maturity date represents the 
   next demand date, or the ultimate maturity date if earlier. 

The Fund 23

STATEMENT OF INVESTMENTS (continued)

Summary of Abbreviations         
 
ABAG    Association of Bay Area Governments    ACA    American Capital Access 
AGC    ACE Guaranty Corporation    AGIC    Asset Guaranty Insurance Company 
AMBAC    American Municipal Bond         
         Assurance Corporation    ARRN    Adjustable Rate Receipt Notes 
BAN    Bond Anticipation Notes    BIGI    Bond Investors Guaranty Insurance 
BPA    Bond Purchase Agreement    CGIC    Capital Guaranty Insurance Company 
CIC    Continental Insurance Company    CIFG    CDC Ixis Financial Guaranty 
CMAC    Capital Markets Assurance Corporation    COP    Certificate of Participation 
CP    Commercial Paper    EDR    Economic Development Revenue 
EIR    Environmental Improvement Revenue    FGIC    Financial Guaranty Insurance 
                 Company 
FHA    Federal Housing Administration    FHLB    Federal Home Loan Bank 
FHLMC    Federal Home Loan Mortgage    FNMA    Federal National 
          Corporation             Mortgage Association 
FSA    Financial Security Assurance    GAN    Grant Anticipation Notes 
GIC    Guaranteed Investment Contract    GNMA    Government National 
                 Mortgage Association 
GO    General Obligation    HR    Hospital Revenue 
IDB    Industrial Development Board    IDC    Industrial Development Corporation 
IDR    Industrial Development Revenue    LOC    Letter of Credit 
LOR    Limited Obligation Revenue    LR    Lease Revenue 
MFHR    Multi-Family Housing Revenue    MFMR    Multi-Family Mortgage Revenue 
PCR    Pollution Control Revenue    PILOT    Payment in Lieu of Taxes 
RAC    Revenue Anticipation Certificates    RAN    Revenue Anticipation Notes 
RAW    Revenue Anticipation Warrants    RRR    Resources Recovery Revenue 
SAAN    State Aid Anticipation Notes    SBPA    Standby Bond Purchase Agreement 
SFHR    Single Family Housing Revenue    SFMR    Single Family Mortgage Revenue 
SONYMA    State of New York Mortgage Agency    SWDR    Solid Waste Disposal Revenue 
TAN    Tax Anticipation Notes    TAW    Tax Anticipation Warrants 
TRAN    Tax and Revenue Anticipation Notes    XLCA    XL Capital Assurance 

24

Summary of Combined Ratings (Unaudited)     
 
Fitch    or    Moody’s    or    Standard & Poor’s    Value (%)† 
  
 
 
 
 
AAA        Aaa        AAA    38.4 
AA        Aa        AA    19.2 
A        A        A    16.5 
BBB        Baa        BBB    11.4 
BB        Ba        BB    2.2 
B        B        B    4.3 
CCC        Caa        CCC    .4 
F1        MIG1/P1        SP1/A1    .3 
Not Ratedg        Not Ratedg        Not Ratedg    7.3 
                    100.0 

† Based on total investments. 
g Securities which, while not rated by Fitch, Moody’s and Standard & Poor’s, have been determined by the Manager to 
   be of comparable quality to those rated securities in which the fund may invest. 

See notes to financial statements.

The Fund 25

STATEMENT OF ASSETS AND LIABILITIES

April 30, 2009

            Cost    Value 
 
 
 
 
Assets ($):                 
Investments in securities—See Statement of Investments    540,530,918    528,104,868 
Cash                4,729,685 
Interest receivable                9,831,691 
Receivable for investment securities sold            8,482,247 
Receivable for shares of Beneficial Interest subscribed        70,879 
Prepaid expenses and other assets            155,504 
                551,374,874 
Liabilities ($):                 
Due to The Dreyfus Corporation and affiliates—Note 3(c)        424,442 
Payable for investment securities purchased            8,987,158 
Payable for floating rate notes issued—Note 4            4,845,000 
Payable for shares of Beneficial Interest redeemed            274,931 
Interest and expense payable related to             
floating rate notes issued—Note 4            5,815 
Accrued expenses                92,891 
                14,630,237 
Net Assets ($)                536,744,637 
Composition of Net Assets ($):             
Paid-in capital                610,826,231 
Accumulated net realized gain (loss) on investments            (61,655,544) 
Accumulated net unrealized appreciation             
(depreciation) on investments                (12,426,050) 
Net Assets ($)                536,744,637 
 
 
 
 
 
 
Net Asset Value Per Share             
    Class A    Class B    Class C    Class Z 
 
 
 
 
Net Assets ($)    269,846,272    4,347,642    14,702,023    247,848,700 
Shares Outstanding    23,171,795    373,137    1,260,548    21,282,988 
Net Asset Value Per Share ($)    11.65    11.65    11.66    11.65 
 
See notes to financial statements.                 

26

STATEMENT OF OPERATIONS 
Year Ended April 30, 2009 

Investment Income ($):     
Interest Income    32,438,968 
Expenses:     
Management fee—Note 3(a)    3,055,999 
Shareholder servicing costs—Note 3(c)    1,667,210 
Interest and expense related to     
     floating rate notes issued—Note 4    368,973 
Distribution fees—Note 3(b)    129,933 
Professional fees    71,781 
Registration fees    66,242 
Custodian fees—Note 3(c)    62,937 
Prospectus and shareholders’ reports    28,322 
Trustees’ fees and expenses—Note 3(d)    18,322 
Loan commitment fees—Note 2    9,234 
Interest expense—Note 2    2,672 
Miscellaneous    51,807 
Total Expenses    5,533,432 
Less—reduction in fees due to earnings credits—Note 1(b)    (25,906) 
Net Expenses    5,507,526 
Investment Income—Net    26,931,442 
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($):     
Net realized gain (loss) on investments    (21,088,457) 
Net realized gain (loss) on financial futures    262,106 
Net Realized Gain (Loss)    (20,826,351) 
Net unrealized appreciation (depreciation) on investments    (23,307,538) 
Net Realized and Unrealized Gain (Loss) on Investments    (44,133,889) 
Net (Decrease) in Net Assets Resulting from Operations    (17,202,447) 
 
See notes to financial statements.     

The Fund 27

STATEMENT OF CHANGES IN NET ASSETS

        Year Ended April 30, 
   
 
    2009    2008 
 
 
Operations ($):         
Investment income—net    26,931,442    26,322,223 
Net realized gain (loss) on investments    (20,826,351)    (5,030,933) 
Net unrealized appreciation         
   (depreciation) on investments    (23,307,538)    (19,790,039) 
Net Increase (Decrease) in Net Assets         
   Resulting from Operations    (17,202,447)    1,501,251 
Dividends to Shareholders from ($):         
Investment income—net:         
Class A Shares    (13,493,811)    (12,205,656) 
Class B Shares    (272,812)    (389,945) 
Class C Shares    (534,704)    (422,610) 
Class Z Shares    (12,544,701)    (13,297,453) 
Total Dividends    (26,846,028)    (26,315,664) 
Beneficial Interest Transactions ($):         
Net proceeds from shares sold:         
Class A Shares    21,346,082    19,713,056 
Class B Shares    1,254,163    1,335,172 
Class C Shares    4,915,594    2,494,973 
Class Z Shares    6,603,364    8,075,856 
Net assets received in connection         
   with reorganization—Note 1    —    75,827,457 
Dividends reinvested:         
Class A Shares    8,971,644    7,960,418 
Class B Shares    174,572    230,569 
Class C Shares    331,422    254,674 
Class Z Shares    9,060,366    9,202,687 
Cost of shares redeemed:         
Class A Shares    (39,184,027)    (40,609,156) 
Class B Shares    (6,202,019)    (6,958,891) 
Class C Shares    (2,210,438)    (2,739,225) 
Class Z Shares    (31,734,929)    (27,260,622) 
Increase (Decrease) in Net Assets from         
   Beneficial Interest Transactions    (26,674,206)    47,526,968 
Total Increase (Decrease) in Net Assets    (70,722,681)    22,712,555 
Net Assets ($):         
Beginning of Period    607,467,318    584,754,763 
End of Period    536,744,637    607,467,318 

28

        Year Ended April 30, 
   
 
    2009    2008 
  
 
Capital Share Transactions:         
Class Aa         
Shares sold    1,801,890    1,538,513 
Shares issued in connection with         
   reorganization—Note 1    —    5,433,955 
Shares issued for dividends reinvested    762,813    627,299 
Shares redeemed    (3,347,035)    (3,188,279) 
Net Increase (Decrease) in Shares Outstanding    (782,332)    4,411,488 
Class Ba         
Shares sold    107,314    105,095 
Shares issued in connection with         
   reorganization—Note 1    —    294,375 
Shares issued for dividends reinvested    14,758    18,142 
Shares redeemed    (523,033)    (543,612) 
Net Increase (Decrease) in Shares Outstanding    (400,961)    (126,000) 
Class C         
Shares sold    420,753    195,473 
Shares issued in connection with         
   reorganization—Note 1    —    216,723 
Shares issued for dividends reinvested    28,212    20,046 
Shares redeemed    (188,579)    (215,078) 
Net Increase (Decrease) in Shares Outstanding    260,386    217,164 
Class Z         
Shares sold    552,118    625,853 
Shares issued for dividends reinvested    770,240    724,521 
Shares redeemed    (2,655,326)    (2,136,912) 
Net Increase (Decrease) in Shares Outstanding    (1,332,968)    (786,538) 

a During the period ended April 30, 2009, 255,144 Class B shares representing $3,052,070 were automatically 
   converted to 255,309 Class A shares and during the period ended April 30, 2008, 280,628 Class B shares 
   representing $3,590,148 were automatically converted to 280,789 Class A shares. 

See notes to financial statements.

The Fund 29

FINANCIAL HIGHLIGHTS

The following tables describe the performance for each share class for the fiscal periods indicated.All information (except portfolio turnover rate) reflects financial results for a single fund share.Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.

        Year Ended April 30,     
   
 
 
Class A Shares    2009    2008    2007    2006    2005 
 
 
 
 
 
Per Share Data ($):                     
Net asset value, beginning of period    12.56    13.10    12.91    13.12    12.81 
Investment Operations:                     
Investment income—neta    .57    .57    .57    .59    .59 
Net realized and unrealized                     
   gain (loss) on investments    (.91)    (.54)    .18    (.21)    .31 
Total from Investment Operations    (.34)    .03    .75    .38    .90 
Distributions:                     
Dividends from investment income—net    (.57)    (.57)    (.56)    (.59)    (.59) 
Net asset value, end of period    11.65    12.56    13.10    12.91    13.12 
Total Return (%)b    (2.64)    .28    5.94    2.93    7.18 
Ratios/Supplemental Data (%):                     
Ratio of total expenses                     
   to average net assets    1.00    1.17    1.16    1.09    1.03 
Ratio of net expenses                     
   to average net assets    .99    1.17c    1.16c    1.09c    1.02 
Ratio of interest and expense related                     
   to floating rate notes issued                     
   to average net assets    .07    .23    .25    .18    .10 
Ratio of net investment income                     
   to average net assets    4.85    4.49    4.33    4.51    4.54 
Portfolio Turnover Rate    56.67    77.20    68.06    48.31    48.30 
Net Assets, end of period ($ x 1,000)    269,846    300,982    256,047    258,504    279,612 

a    Based on average shares outstanding at each month end. 
b    Exclusive of sales charge. 
c    Expense waivers and/or reimbursements amounted to less than .01%. 

See notes to financial statements.

30

        Year Ended April 30,     
   
 
 
Class B Shares    2009    2008    2007    2006    2005 
  
 
 
 
 
Per Share Data ($):                     
Net asset value, beginning of period    12.57    13.11    12.91    13.12    12.82 
Investment Operations:                     
Investment income—neta    .49    .49    .49    .52    .52 
Net realized and unrealized                     
   gain (loss) on investments    (.90)    (.53)    .21    (.21)    .31 
Total from Investment Operations    (.41)    (.04)    .70    .31    .83 
Distributions:                     
Dividends from investment income—net    (.51)    (.50)    (.50)    (.52)    (.53) 
Net asset value, end of period    11.65    12.57    13.11    12.91    13.12 
Total Return (%)b    (3.26)    (.25)    5.48    2.40    6.64 
Ratios/Supplemental Data (%):                     
Ratio of total expenses                     
   to average net assets    1.54    1.67    1.67    1.61    1.54 
Ratio of net expenses                     
   to average net assets    1.53    1.67c    1.67c    1.61c    1.54c 
Ratio of interest and expense related                     
   to floating rate notes issued                     
   to average net assets    .07    .23    .25    .18    .10 
Ratio of net investment income                     
   to average net assets    4.26    3.95    3.81    3.99    4.02 
Portfolio Turnover Rate    56.67    77.20    68.06    48.31    48.30 
Net Assets, end of period ($ x 1,000)    4,348    9,732    11,799    16,462    21,192 

a    Based on average shares outstanding at each month end. 
b    Exclusive of sales charge. 
c    Expense waivers and/or reimbursements amounted to less than .01%. 

See notes to financial statements.

The Fund 31

FINANCIAL HIGHLIGHTS (continued)

        Year Ended April 30,     
   
 
 
Class C Shares    2009    2008    2007    2006    2005 
 
 
 
 
 
Per Share Data ($):                     
Net asset value, beginning of period    12.58    13.12    12.93    13.14    12.83 
Investment Operations:                     
Investment income—neta    .49    .47    .47    .49    .49 
Net realized and unrealized                     
   gain (loss) on investments    (.93)    (.53)    .19    (.21)    .32 
Total from Investment Operations    (.44)    (.06)    .66    .28    .81 
Distributions:                     
Dividends from investment income—net    (.48)    (.48)    (.47)    (.49)    (.50) 
Net asset value, end of period    11.66    12.58    13.12    12.93    13.14 
Total Return (%)b    (3.42)    (.46)    5.16    2.18    6.40 
Ratios/Supplemental Data (%):                     
Ratio of total expenses                     
   to average net assets    1.76    1.91    1.89    1.82    1.76 
Ratio of net expenses                     
   to average net assets    1.75    1.91c    1.89c    1.82c    1.76c 
Ratio of interest and expense related                     
   to floating rate notes issued                     
   to average net assets    .07    .23    .25    .18    .10 
Ratio of net investment income                     
   to average net assets    4.12    3.74    3.58    3.78    3.81 
Portfolio Turnover Rate    56.67    77.20    68.06    48.31    48.30 
Net Assets, end of period ($ x 1,000)    14,702    12,586    10,274    9,121    9,158 

a    Based on average shares outstanding at each month end. 
b    Exclusive of sales charge. 
c    Expense waivers and/or reimbursements amounted to less than .01%. 

See notes to financial statements.

32

        Year Ended April 30,     
   
 
 
Class Z Shares    2009    2008    2007    2006    2005a 
  
 
 
 
 
Per Share Data ($):                     
Net asset value, beginning of period    12.56    13.10    12.91    13.12    13.09 
Investment Operations:                     
Investment income—netb    .58    .58    .57    .60    .32 
Net realized and unrealized                     
   gain (loss) on investments    (.91)    (.54)    .19    (.21)    .03 
Total from Investment Operations    (.33)    .04    .76    .39    .35 
Distributions:                     
Dividends from investment income—net    (.58)    (.58)    (.57)    (.60)    (.32) 
Net asset value, end of period    11.65    12.56    13.10    12.91    13.12 
Total Return (%)    (2.59)    .33    6.00    2.99    2.71c 
Ratios/Supplemental Data (%):                     
Ratio of total expenses                     
   to average net assets    .94    1.08    1.10    1.03    .98d 
Ratio of net expenses                     
   to average net assets    .94e    1.08e    1.10e    1.03e    .96d 
Ratio of interest and expense related                     
   to floating rate notes issued                     
   to average net assets    .07    .23    .25    .18    .10 
Ratio of net investment income                     
   to average net assets    4.90    4.53    4.38    4.57    4.49d 
Portfolio Turnover Rate    56.67    77.20    68.06    48.31    48.30 
Net Assets, end of period ($ x 1,000)    247,849    284,168    306,634    324,537    350,202 

a    From October 14, 2004 (commencement of initial offering) to April 30, 2005. 
b    Based on average shares outstanding at each month end. 
c    Not annualized. 
d    Annualized. 
e    Expense waivers and/or reimbursements amounted to less than .01%. 

See notes to financial statements.

The Fund 33

NOTES TO FINANCIAL STATEMENTS

NOTE 1—Significant Accounting Policies:

Dreyfus Municipal Bond Opportunity Fund (the “fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified open-end management investment company. The fund’s investment objective is to maximize current income exempt from federal income tax to the extent consistent with the preservation of capital.The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser.

At a meeting of the fund’s Board of Trustees held on July 22, 2008, the Board approved, effective December 1, 2008, a proposal to change the name of the fund from “Dreyfus Premier Municipal Bond Fund” to “Dreyfus Municipal Bond Opportunity Fund”.

Effective July 1, 2008, BNY Mellon reorganized and consolidated a number of its banking and trust company subsidiaries.As a result of the reorganization, any services previously provided to the fund by Mellon Bank, N.A. or Mellon Trust of New England, N.A. are now provided by The Bank of NewYork Mellon (formerly,The Bank of NewYork).

As of the close of business on November 27, 2007, pursuant to an Agreement and Plan of Reorganization previously approved by the fund’s Board of Trustees, all of the assets, subject to the liabilities, of Dreyfus Premier State Municipal Bond Fund, Florida Series (“Florida Series”) were transferred to the fund in exchange for corresponding class of shares of Beneficial Interest of the fund of equal value. Shareholders of Class A, Class B and Class C shares of the Florida Series received Class A, Class B and Class C shares of the fund, respectively, in each case in an equal amount to the aggregate net asset value of their investment in the Florida Series at the time of the exchange. The net asset value of the fund’s shares on the close of business on November 27, 2007, after the reorganization, was $12.75 for Class A, $12.76 for Class B and $12.77 for Class C, and a total of 5,433,955 Class A shares, 294,375 Class B shares and 216,723 Class C shares, representing net assets of $75,827,457 (including $1,541,384 net

34

unrealized appreciation on investments) were issued to the Florida Series shareholders in the exchange. The exchange was a tax-free event to the Florida Series shareholders.

MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares.The fund is authorized to issue an unlimited number of $.001 par value shares of Beneficial Interest in each of the following classes of shares: Class A, Class B, Class C and Class Z. Class A shares are subject to a sales charge imposed at the time of purchase. Class B shares are subject to a contingent deferred sales charge (“CDSC”) imposed on Class B share redemptions made within six years of purchase and automatically convert to Class A shares after six years.The fund does not offer Class B shares, except in connection with dividend reinvestment and permitted exchanges of Class B shares. Class C shares are subject to a CDSC imposed on Class C shares redeemed within one year of purchase. Class Z shares are sold at net asset value per share generally only to shareholders who received Class Z shares in exchange for their shares of General Municipal Bond Fund, Inc. as a result of the reorganization of such fund. Class Z shares generally are not available for new accounts. Other differences between the classes include the services offered to and the expenses borne by each class, the allocation of certain transfer agency costs and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.

The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.

The Fund 35

NOTES TO FINANCIAL STATEMENTS (continued)

(a) Portfolio valuation: Investments in securities are valued each business day by an independent pricing service (the “Service”) approved by the Board of Trustees. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments (which constitute a majority of the portfolio securities) are carried at fair value as determined by the Service, based on methods which include consideration of: yields or prices of municipal securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Options and financial futures on municipal and U.S.Treasury securities are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day.

The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.

Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.

  Level 1—quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own
assumptions in determining the fair value of investments).

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

36

The following is a summary of the inputs used as of April 30, 2009 in valuing the fund’s investments:

        Level 2—Other    Level 3—     
    Level 1—    Significant    Significant     
    Quoted    Observable    Unobservable     
    Prices    Inputs    Inputs    Total 
  
 
 
 
Assets ($)                 
Investments in                 
Securities    —    528,104,868    —    528,104,868 
Other Financial                 
   Instruments†    —    —    —    — 
Liabilities ($)                 
Other Financial                 
   Instruments†    —    —    —    — 

†    Other financial instruments include derivative instruments, such as futures, forward currency 
    exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized 
    appreciation (depreciation) at period end. 

In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4,“Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the fund’s financial statement disclosures.

(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and recognized on the

The Fund 37

NOTES TO FINANCIAL STATEMENTS (continued)

accrual basis. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date.

The fund has arrangements with the custodian and cash management bank whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.

(c) Dividends to shareholders: It is the policy of the fund to declare dividends daily from investment income-net. Such dividends are paid monthly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.

(d) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, which can distribute tax exempt dividends, by complying with the applicable provisions of the Code, and to make distributions of income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.

As of and during the period ended April 30, 2009, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.

Each of the tax years in the four-year period ended April 30, 2009 remains subject to examination by the Internal Revenue Service and state taxing authorities.

38

At April 30, 2009, the components of accumulated earnings on a tax basis were as follows: undistributed tax exempt income $372,304, accumulated capital losses $48,376,176 and unrealized depreciation $12,638,480. In addition, the fund had $13,066,938 of capital losses realized after October 31, 2008, which were deferred for tax purposes to the first day of the following fiscal year.

The accumulated capital loss carryover is available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to April 30, 2009. If not applied, $17,083,173 of the carryover expires in fiscal 2010, $10,015,796 expires in fiscal 2011, $8,158,132 expires in fiscal 2012, $910,072 expires in fiscal 2016 and $12,209,003 expires in fiscal 2017.

The tax character of distributions paid to shareholders during the fiscal periods ended April 30, 2009 and April 30, 2008 were as follows: tax exempt income $26,843,543 and $26,289,307 and ordinary income $2,485 and $26,357, respectively.

During the period ended April 30, 2009, as a result of permanent book to tax differences, primarily due to the tax treatment for amortization adjustments and capital loss carryover expiration, the fund decreased accumulated undistributed investment income-net by $85,414, increased accumulated net realized gain (loss) on investments by $9,636,443 and decreased paid-in capital by $9,551,029. Net assets and net asset value per share were not affected by this reclassification.

NOTE 2—Bank Lines of Credit:

Prior to October 15, 2008, the fund participated with other Dreyfus-managed funds in a $350 million unsecured credit facility led by Citibank, N.A. Effective October 15, 2008, the fund participates with other Dreyfus-managed funds in a $145 million unsecured credit facility with Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing

The Fund

39

NOTES TO FINANCIAL STATEMENTS (continued)

of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of the Facility fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.

The average daily amount of borrowings outstanding under the Facilities during the period ended April 30, 2009 was approximately $157,300, with a related weighted average annualized interest rate of 1.70%.

NOTE 3—Management Fee and Other Transactions With Affiliates:

(a) Pursuant to a management agreement with the Manager, the management fee is computed at the annual rate of .55% of the value of the fund’s average daily net assets and is payable monthly.

During the period ended April 30, 2009, the Distributor retained $11,475 from commissions earned on sales of the fund’s Class A shares and $29,401 and $1,194 from CDSCs on redemptions of the fund’s Class B and Class C shares, respectively.

(b) Under the Distribution Plan (the “Plan”) adopted pursuant to Rule 12b-1 under the Act, Class B and Class C shares pay the Distributor for distributing their shares at an annual rate of .50% of the value of the average daily net assets of Class B shares and .75% of the value of the average daily net assets of Class C shares. During the period ended April 30, 2009, Class B and Class C shares were charged $32,135 and $97,798, respectively, pursuant to the Plan.

(c) Under the Shareholder Services Plan, Class A, Class B, Class C and Class Z shares pay the Distributor at an annual rate of .25% of the value of the average daily net assets of Class A, Class B and Class C shares and .20% of the value of the average daily net assets of Class Z shares, for the provision of certain services.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to

40

Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2009, Class A, Class B, Class C and Class Z shares were charged $698,145, $16,068, $32,599 and $513,823, respectively, pursuant to the Shareholder Services Plan.

The fund compensates DreyfusTransfer, Inc., a wholly-owned subsidiary of the Manager, under a transfer agency agreement for providing personnel and facilities to perform transfer agency services for the fund. During the period ended April 30, 2009, the fund was charged $234,406 pursuant to the transfer agency agreement.

The fund compensates The Bank of NewYork Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, under a cash management agreement for performing cash management services related to fund subscriptions and redemptions. During the period ended April 30, 2009, the fund was charged $20,622 pursuant to the cash management agreement.These fees were offset by earnings credits pursuant to the cash management agreement.

The fund also compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. During the period ended April 30, 2009, the fund was charged $62,937 pursuant to the custody agreement.

During the period ended April 30, 2009, the fund was charged $4,976 for services performed by the Chief Compliance Officer.

The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $240,349, Rule 12b-1 distribution plan fees $10,705, shareholder services plan fees $99,154, custodian fees $31,641, chief compliance officer fees $2,793 and transfer agency per account fees $39,800.

(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.

The Fund 41

NOTES TO FINANCIAL STATEMENTS (continued)

NOTE 4—Securities Transactions:

The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2009, amounted to $315,573,478 and $317,518,824, respectively.

The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. These investments require initial margin deposits with a broker, which consist of cash or cash equiva-lents.The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Investments in financial futures require the fund to “mark to market” on a daily basis, which reflects the change in the market value of the contract at the close of each day’s trading. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses. When the contracts are closed, the fund recognizes a realized gain or loss.At April 30, 2009, there were no financial futures contracts outstanding.

The fund may participate in secondary inverse floater structures in which fixed-rate, tax-exempt municipal bonds purchased by the fund are transferred to a trust. The trust subsequently issues two or more variable rate securities that are collateralized by the cash flows of the fixed-rate, tax-exempt municipal bonds. One or more of these variable rate securities pays interest based on a short-term floating rate set by a remarketing agent at predetermined intervals. A residual interest tax-exempt security is also created by the trust, which is transferred to the fund, and is paid interest based on the remaining cash flow of the trust, after payment of interest on the other securities and various expenses of the trust.

42

The fund accounts for the transfer of bonds to the trusts as secured borrowings, with the securities transferred remaining in the fund’s investments, and the related floating rate certificate securities reflected as fund liabilities under the caption, “Payable for floating rate notes issued” in the Statement of Assets and Liabilities.

The average daily amount of borrowings outstanding under the inverse floater structure during the period ended April 30, 2009, was approximately $13,834,200, with a related weighted average annualized interest rate of 2.67%.

At April 30, 2009, the cost of investments for federal income tax purposes was $535,898,348; accordingly, accumulated net unrealized depreciation on investments was $12,638,480, consisting of $24,085,802 gross unrealized appreciation and $36,724,282 gross unrealized depreciation.

The FASB released Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk related contingent features in derivative agree-ments.The application of FAS 161 is required for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of FAS 161 and its impact on the financial statements and the accompanying notes has not yet been determined.

The Fund 43

REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

  Shareholders and Board of Trustees
Dreyfus Municipal Bond Opportunity Fund

We have audited the accompanying statement of assets and liabilities, of Dreyfus Municipal Bond Opportunity Fund (formerly, Dreyfus Premier Municipal Bond Fund), including the statement of investments, as of April 30, 2009, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2009 by correspondence with the custodian and others.We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Municipal Bond Opportunity Fund at April 30, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the indicated periods, in conformity with U.S. generally accepted accounting principles.

44

IMPORTANT TAX INFORMATION (Unaudited)

In accordance with federal tax law, the fund hereby designates all the dividends paid from investment income-net during its fiscal year ended April 30, 2009 as “exempt-interest dividends” (not generally subject to regular federal income tax), except $2,485 that is being designated as an ordinary income distribution for reporting purposes.

As required by federal tax law rules, shareholders will receive notification of their portion of the fund’s taxable ordinary dividends (if any) and capital gains distributions (if any) paid for the 2009 calendar year on Form 1099-DIV and their portion of the fund’s tax-exempt dividends paid for the 2009 calendar year on Form 1099-INT, both of which will be mailed by early 2010.

The Fund 45

BOARD MEMBERS INFORMATION (Unaudited) 
 
 
 
Joseph S. DiMartino (65) 
Chairman of the Board (1995) 
Principal Occupation During Past 5Years: 
• Corporate Director and Trustee 
Other Board Memberships and Affiliations: 
• The Muscular Dystrophy Association, Director 
• CBIZ (formerly, Century Business Services, Inc.), a provider of outsourcing functions for small 
 and medium size companies, Director 
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard 
 mills and paperboard converting plants, Director 
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and 
 businesses, Director 
No. of Portfolios for which Board Member Serves: 172 
——————— 
Clifford L. Alexander, Jr. (75) 
Board Member (1986) 
Principal Occupation During Past 5Years: 
• President of Alexander & Associates, Inc., a management consulting firm (January 1981-present) 
Other Board Memberships and Affiliations: 
• Mutual of America Life Insurance Company, Director 
No. of Portfolios for which Board Member Serves: 52 
——————— 
David W. Burke (73) 
Board Member (2007) 
Principal Occupation During Past 5Years: 
• Corporate Director and Trustee 
Other Board Memberships and Affiliations: 
• John F. Kennedy Library Foundation, Director 
No. of Portfolios for which Board Member Serves: 88 
——————— 
Peggy C. Davis (66) 
Board Member (1990) 
Principal Occupation During Past 5Years: 
• Shad Professor of Law, New York University School of Law (1983-present) 
• Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences 
 and the law, legal process and professional methodology and training 
No. of Portfolios for which Board Member Serves: 55 

46

Diane Dunst (69) 
Board Member (2007) 
Principal Occupation During Past 5Years: 
• President, Huntting House Antiques 
No. of Portfolios for which Board Member Serves: 22 
                                                                     ——————— 
Ernest Kafka (76) 
Board Member (1986) 
Principal Occupation During Past 5Years: 
• Physician engaged in private practice specializing in the psychoanalysis of adults and 
   adolescents (1962-present) 
• Instructor,The New York Psychoanalytic Institute (1981-present) 
No. of Portfolios for which Board Member Serves: 22 
                                                                     ——————— 
Nathan Leventhal (66) 
Board Member (1989) 
Principal Occupation During Past 5Years: 
• Commissioner, NYC Planning Commission (March 2007-present) 
• Chairman of the Avery-Fisher Artist Program (November 1997-present) 
Other Board Memberships and Affiliations: 
• Movado Group, Inc., Director 
• Mayor’s Committee on Appointments, Chairman 
No. of Portfolios for which Board Member Serves: 36 
                                                                     ——————— 
Daniel Rose (79) 
Board Member (2007) 
Principal Occupation During Past 5Years: 
• Chairman and Chief Executive Officer of Rose Associates, Inc., a New York based real estate 
   development and management firm 
Other Board Memberships and Affiliations: 
• Baltic-American Enterprise Fund,Vice Chairman and Director 
• Harlem Educational Activities Fund, Inc., Chairman 
• Housing Committee of the Real Estate Board of New York, Inc., Director 
No. of Portfolios for which Board Member Serves: 36 

The Fund 47

BOARD MEMBERS INFORMATION (Unaudited) (continued)

Warren B. Rudman (78) 
Board Member (2007) 
Principal Occupation During Past 5Years: 
• Co-Chairman, Stonebridge International LLC 
• Of Counsel to (from January 1993 to December 31, 2003, Partner in) the law firm Paul, 
 Weiss, Rifkind,Wharton & Garrison LLP 
Other Board Memberships and Affiliations: 
• Boston Scientific, Director 
• D.B. Zwirn & Co.,Vice Chairman of the International Advisory Board 
No. of Portfolios for which Board Member Serves: 33 
 
———————

Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, NewYork, NewYork 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-554-4611.

  Saul B. Klaman, Emeritus Board Member
Jay I. Meltzer, Emeritus Board Member
Sander Vanocur, Emeritus Board Member

48

OFFICERS OF THE FUND (Unaudited)


The Fund 49

OFFICERS OF THE FUND (Unaudited) (continued)


50

NOTES


Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.

Item 3. Audit Committee Financial Expert.

The Registrant's Board has determined that Joseph S. DiMartino, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). Mr. DiMartino is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $38,437 in 2008 and $39,208 in 2009.

(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $0 in 2008 and $5,276 in 2009.

The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $0 in 2008 and $0 in 2009.

(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice, and tax planning ("Tax Services") were $2,709 in 2008 and $3,181 in 2009. These services consisted of: (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments; and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held. The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates, which required pre-approval by the Audit Committee were $0 in 2008 and $0 in 2009.

(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $236 in 2008 and $153 in 2009. These services consisted of a review of the Registrant's anti-money laundering program.

The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee, were $0 in 2008 and $0 in 2009.

Note: In each of (b) through (d) of this Item 4, 100% of all services provided by the Auditor were pre-approved as required.

Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.

Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $2,465,481 in 2008 and $18,957,657 in 2009.

Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Auditor's independence.

Item 5.    Audit Committee of Listed Registrants. 
    Not applicable. [CLOSED-END FUNDS ONLY] 
Item 6.    Investments. 
(a)    Not applicable. 
Item 7.    Disclosure of Proxy Voting Policies and Procedures for Closed-End Management 
    Investment Companies. 
    Not applicable. [CLOSED-END FUNDS ONLY] 
Item 8.    Portfolio Managers of Closed-End Management Investment Companies. 
    Not applicable. [CLOSED-END FUNDS ONLY, beginning with reports for periods ended 
                          on and after December 31, 2005] 
Item 9.    Purchases of Equity Securities by Closed-End Management Investment Companies and 
    Affiliated Purchasers. 
    Not applicable. [CLOSED-END FUNDS ONLY] 
Item 10.    Submission of Matters to a Vote of Security Holders. 
There have been no material changes to the procedures applicable to Item 10.
Item 11.    Controls and Procedures. 

(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of ethics referred to in Item 2.

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.

(a)(3) Not applicable.

(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.

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.

Dreyfus Municipal Bond Opportunity Fund

By:    /s/ J. David Officer 
   
    J. David Officer, 
President
 
Date:    June 29, 2009 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:    /s/ J. David Officer 
   
    J. David Officer, 
President
 
Date:    June 29, 2009 
 
By:    /s/ James Windels 
   
    James Windels, 
Treasurer
 
Date:    June 29, 2009 

EXHIBIT INDEX

(a)(1) Code of ethics referred to in Item 2.

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)

(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)