ANNUAL CERTIFIED SHAREHOLDER REPORT

N-CSR 1 n-csr.htm ANNUAL CERTIFIED SHAREHOLDER REPORT ANNUAL CERTIFIED SHAREHOLDER REPORT

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 811-7822
---------------------------------------------

AMERICAN CENTURY INVESTMENT TRUST
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)

4500 MAIN STREET, KANSAS CITY, MISSOURI 64111
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)

CHARLES A. ETHERINGTON, 4500 MAIN STREET, KANSAS CITY, MISSOURI 64111
--------------------------------------------------------------------------------
(Name and address of agent for service)

Registrant's telephone number, including area code: 816-531-5575
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Date of fiscal year end: 03-31
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Date of reporting period: 03-31-2007
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ITEM 1. REPORTS TO STOCKHOLDERS.

[front cover]

AMERICAN CENTURY INVESTMENTS
Annual Report March 31, 2007

[photo of spring]

Prime Money Market Fund

[american century investments logo and text logo]

OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century® Prime Money Market Fund for the 12 months ended March 31, 2007. We've
gathered this information to help you monitor your investment. Another
resource is our website, americancentury.com, where we post company news,
portfolio commentaries, investment views, and other communications about
portfolio strategy, personal finance, government policy, and the markets.

Speaking of company news, American Century announced the following leadership
changes. Chief Investment Officer Mark Mallon retired in the first quarter of
2007, after nearly a decade at American Century. Effective January 1, 2007,
former International Equity CIO Enrique Chang became CIO with responsibilities
for the entire investment management operation. Prior to joining American
Century in 2006, Enrique worked at Munder Capital Management, serving the last
four years as president and CIO. Before that, he held a series of senior
investment management positions at Vantage Global Advisors, J. & W. Seligman
and Co., and General Reinsurance Corp.

In January 2007, President and Chief Executive Officer Bill Lyons announced
his retirement after nearly 20 years at American Century. Chief Financial
Officer Jonathan Thomas was appointed president and CEO effective March 1,
2007. Since 2005, Jonathan has overseen American Century's financial area,
with additional responsibilities in purchasing, facilities, real estate,
information technology, operations, and human resources. Before joining
American Century, Jonathan was a managing director and global chief operating
officer of Morgan Stanley's investment division, and worked in senior
leadership roles for Bank of America, Boston Financial Services, and Fidelity
Investments.

We wish to thank Mark and Bill for their many years of distinguished service
-- American Century is a stronger company as a result of their hard work. And
we firmly believe their roles in our firm have transitioned to two talented,
committed, and experienced top executives.

[photo of James E. Stowers, Jr. and James E. Stowers III]

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER
AMERICAN CENTURY COMPANIES, INC.

/s/James E. Stowers III
James E. Stowers III
CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

TABLE OF CONTENTS

Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . 2
U.S. Fixed-Income Total Returns. . . . . . . . . . . . . . . . . . . 2

PRIME MONEY MARKET FUND

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 5
Shareholder Fee Example . . . . . . . . . . . . . . . . . . . . . . . 6
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 8

FINANCIAL STATEMENTS

Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 14
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 16
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . 17
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 18
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . 22
Report of Independent Registered Public Accounting Firm . . . . . . . 27

OTHER INFORMATION

Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Share Class Information . . . . . . . . . . . . . . . . . . . . . . . 31
Additional Information. . . . . . . . . . . . . . . . . . . . . . . . 32
Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . 33

The opinions expressed in the Market Perspective and the Portfolio Commentary
reflect those of the portfolio management team as of the date of the report,
and do not necessarily represent the opinions of American Century or any other
person in the American Century organization. Any such opinions are subject to
change at any time based upon market or other conditions and American Century
disclaims any responsibility to update such opinions. These opinions may not
be relied upon as investment advice and, because investment decisions made by
American Century funds are based on numerous factors, may not be relied upon
as an indication of trading intent on behalf of any American Century fund.
Security examples are used for representational purposes only and are not
intended as recommendations to purchase or sell securities. Performance
information for comparative indices and securities is provided to American
Century by third party vendors. To the best of American Century's knowledge,
such information is accurate at the time of printing.

MARKET PERSPECTIVE

[photo of David MacEwen]

By David MacEwen, Chief Investment Officer, Fixed-Income

FED PAUSE TRIGGERED BOND RALLY

U.S. bonds mostly rallied during the 12 months ended March 31, 2007. The bulk
of the rally followed the Federal Reserve's (the Fed's) decision in August
2006 to stop raising short-term interest rates, its first pause after 17
increases from June 2004 to June 2006. The change in rate policy came in the
face of falling energy prices, a weakening economy, and expectations for
longer-term inflation containment.

During the reporting period, U.S. gross domestic product growth slowed to an
annual rate below 2.5%, less than the 3-4% rate of the past several calendar
years. Meanwhile, near-term inflation worries flared as the trailing 12-month
percentage change in core consumer prices (without volatile food and energy
prices) lingered at five-year highs. But forecasts of moderate economic growth
limited longer-term inflation fears, and equity market volatility in the first
quarter of 2007 helped push down yields.

TREASURY YIELD CURVE FELL, REMAINED FLAT

The Treasury yield curve (a graphic representation of bond yields at different
maturities) was essentially "flat" at the start of the reporting period, when
yields on two- and 10-year Treasurys were 4.82% and 4.85%, respectively.
Expectations of slower economic growth and Fed rate cuts at the short end of
the curve helped bring yields down modestly across the curve. And despite some
volatility during the period, the curve maintained its relatively flat shape,
ending March 2007 with yields of 4.58% and 4.65% on two- and 10-year
Treasurys, respectively.

CORPORATES AND MBS OUTPACED TREASURYS AND TIPS

Corporate bonds generally delivered the strongest results of the period as
moderate economic growth, the flat Treasury yield curve, and a relatively low
yield environment guided investors to higher-risk, higher-yielding securities.
Mortgage-backed securities (MBS) also outperformed the broad market.
Meanwhile, Treasury securities lagged as yield-seeking investors looked
elsewhere in the market. Inflation-linked securities also underperformed,
reflecting market and Fed beliefs that longer-term inflation pressures would
remain contained.

U.S. Fixed-Income Total Returns
For the 12 months ended March 31, 2007

TREASURY SECURITIES
3-Month Bill 5.10%
2-Year Note 4.97%
5-Year Note 5.60%
10-Year Note 5.82%
30-Year Bond 5.39%

LEHMAN BROTHERS U.S. BOND MARKET INDICES
Corporate High-Yield 11.58%
Corporate (investment-grade) 7.10%
Fixed-Rate Mortgage-Backed 6.94%
Aggregate (multi-sector) 6.59%
Agency 6.14%
Treasury 5.87%
Treasury Inflation-Protected (TIPS) 5.30%

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2

PERFORMANCE
Prime Money Market

Total Returns as of March 31, 2007
Average Annual Returns
Since Inception
1 year 5 years 10 years Inception Date

INVESTOR CLASS 4.83%(1) 2.20% 3.51% 3.89% 11/17/93

90-DAY U.S. TREASURY BILL INDEX 4.83% 2.51% 3.58% 3.93%(2) --

LIPPER MONEY MARKET INSTRUMENT
FUNDS AVERAGE RETURN(3) 4.43% 1.90% 3.24% 3.66%(2) --

Fund's Lipper Ranking among Money
Market Instrument Funds(3) 59 of 340 62 of 293 42 of 185 26 of 124(2) --

Advisor Class 4.58%(1) 1.95%(1) -- 2.96% 8/28/98

A Class(1) 4.58% -- -- 2.17% 1/31/03

B Class(1) 1/31/03
No sales charge* 3.80% -- -- 1.61%
With sales charge* -0.20% -- -- 1.15%

C Class(1) 4.06% -- -- 1.55% 5/7/02

*Sales charges include initial sales charges and contingent deferred sales
charges (CDSCs), as applicable. (Please see the Share Class Information page
for more about the applicable sales charges for each share class.) The SEC
requires that mutual funds provide performance information net of maximum
sales charges in all cases where charges could be applied.

(1) Class returns would have been lower if American Century had not
voluntarily waived a portion of its management fees or its distribution and
service fees, as applicable.

(2) Since 11/30/93, the date nearest the Investor Class's inception for which
data are available.

(3) Data provided by Lipper Inc. - A Reuters Company. ©2007 Reuters. All
rights reserved. Any copying, republication or redistribution of Lipper
content, including by caching, framing or similar means, is expressly
prohibited without the prior written consent of Lipper. Lipper shall not be
liable for any errors or delays in the content, or for any actions taken in
reliance thereon.
Lipper Fund Performance -- Performance data is total return, and is
preliminary and subject to revision.
Lipper Rankings -- Rankings are based only on the universe shown and are
based on average annual total returns. This listing might not represent the
complete universe of funds tracked by Lipper.

The data contained herein has been obtained from company reports, financial
reporting services, periodicals and other resources believed to be reliable.
Although carefully verified, data on compilations is not guaranteed by Lipper
and may be incomplete. No offer or solicitations to buy or sell any of the
securities herein is being made by Lipper.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. To obtain performance data current to the most recent month
end, please call 1-800-345-2021 or visit ammericancentury.com.

An investment in the fund is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the fund seeks
to preserve the value of your investment at $1.00 per share, it is possible to
lose money by investing in the fund.

The 7-day current yield more closely reflects the current earnings of the fund
than the total return.

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3

Prime Money Market

Portfolio Composition by Credit Rating
% of fund % of fund
investments as of investments as of
3/31/07 9/30/06

A-1+ 72% 71%
A-1 28% 29%

Ratings provided by independent research companies. These ratings are listed
in Standard & Poor's format even if they were provided by other sources.

Portfolio Composition by Maturity
% of fund % of fund
investments as of investments as of
3/31/07 9/30/06

1-30 days 56% 49%
31-90 days 32% 35%
91-180 days 9% 13%
More than 180 days 3% 3%

Yields and Weighted Average Maturity

7-DAY CURRENT YIELD* AS OF MARCH 31, 2007
Investor Class 4.86%
Advisor Class 4.61%
A Class 4.61%
B Class 3.84%
C Class 4.12%

7-DAY EFFECTIVE YIELD* AS OF MARCH 31, 2007
Investor Class 4.98%
Advisor Class 4.72%
A Class 4.72%
B Class 3.91%
C Class 4.20%

3/31/07 9/30/06
Weighted Average Maturity 43 days 51 days

*The yields presented reflect the waiver of a portion of the fund's management
fees. Without such waiver, the 7-day yields would have been lower.

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4

PORTFOLIO COMMENTARY
Prime Money Market

Portfolio Managers: Denise Latchford and Steven Permut

PERFORMANCE SUMMARY

Prime Money Market returned 4.83%* for the 12 months ended March 31, 2007,
outperforming the 4.43% average return of the 340 funds in Lipper Inc.'s money
market funds category. The portfolio's 12-month return ranked in the top 20%
of the Lipper category, and its longer-term performance rankings were also
favorable (see page 3).

MONEY MARKET RATES HELD STEADY

Money market rates rose modestly during the reporting period, with virtually
all of the increase occurring in the first few months of the period. The
Federal Reserve (the Fed) raised short-term interest rates in May and June
2006, the final two in a series of 17 rate hikes in a two-year period. Since
then, the Fed has held its federal funds rate target steady at 5.25%--its
highest level in six years--as U.S. economic growth cooled off.

The three-month Treasury bill yield--a common benchmark for money market
rates--tracked the federal funds rate during the reporting period. The
three-month T-bill yield rose from 4.63% at the beginning of the period to
5.01% by the end of June 2006, then fluctuated in a narrow range for the next
nine months, finishing the period at 5.04%.

PORTFOLIO STRATEGY

Prime Money Market's seven-day current yield increased from 4.22% to 4.86%
during the reporting period. The portfolio's yield peaked at 4.90%, its
highest point since March 2001.

Early in the period, we positioned the portfolio with a relatively short
average maturity of 40-45 days, which allowed its yield to reflect the Fed's
rate hikes more quickly. We shifted to a longer average maturity in the fall
of 2006, extending out to 50-60 days when it became clear that any more Fed
rate changes might be on hold indefinitely. More recently, however, we
shortened the average maturity back down to 40-45 days, taking advantage of
the inverted yield relationship in the money market. Increased issuance of
shorter-term securities (maturing in three months or less) caused them to have
higher yields than longer-term securities (maturing in six months to a year).

From a sector perspective, we modestly reduced our position in commercial
paper from 54% to 46% of the portfolio. We increased our holdings of
floating-rate corporate notes, many of which have yields that are higher than
prevailing commercial paper rates. In addition, we added a small position in
bank-issued floating-rate notes that are tied directly to the federal funds
rate target and reset their rates daily. These securities provide some measure
of protection from fluctuating Fed policy expectations while allowing the
portfolio to participate in any upward moves immediately.

STARTING POINT FOR NEXT REPORTING PERIOD

Based on federal funds rate futures, the market expects the Fed to cut
short-term interest rates before the end of this year, possibly as early as
August. In its most recent policy statement, the Fed toned down language from
previous statements regarding the threat of inflation, but Fed officials
reiterated that inflation remains their primary concern. Consequently,
inflation readings in the coming months will likely dictate the Fed's next
course of action.

*All fund returns, rankings, and yields referenced in this commentary are for
Investor Class shares. Class returns would have been lower had management fees
not been waived.

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5

SHAREHOLDER FEE EXAMPLE (UNAUDITED)

Fund shareholders may incur two types of costs: (1) transaction costs,
including sales charges (loads) on purchase payments and redemption/exchange
fees; and (2) ongoing costs, including management fees; distribution and
service (12b-1) fees; and other fund expenses. This example is intended to
help you understand your ongoing costs (in dollars) of investing in your fund
and to compare these costs with the ongoing cost of investing in other mutual
funds.

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007.

ACTUAL EXPENSES

The table provides information about actual account values and actual expenses
for each class. You may use the information, together with the amount you
invested, to estimate the expenses that you paid over the period. First,
identify the share class you own. Then simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number under the heading "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.

If you hold Investor Class shares of any American Century fund, or
Institutional Class shares of the American Century Diversified Bond Fund, in
an American Century account (i.e., not a financial intermediary or retirement
plan account), American Century may charge you a $12.50 semiannual account
maintenance fee if the value of those shares is less than $10,000. We will
redeem shares automatically in one of your accounts to pay the $12.50 fee. In
determining your total eligible investment amount, we will include your
investments in all PERSONAL ACCOUNTS (including American Century Brokerage
accounts) registered under your Social Security number. PERSONAL ACCOUNTS
include individual accounts, joint accounts, UGMA/UTMA accounts, personal
trusts, Coverdell Education Savings Accounts and IRAs (including traditional,
Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement
accounts. If you have only business, business retirement, employer-sponsored
or American Century Brokerage accounts, you are currently not subject to this
fee. We will not charge the fee as long as you choose to manage your accounts
exclusively online. If you are subject to the Account Maintenance Fee, your
account value could be reduced by the fee amount.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The table also provides information about hypothetical account values and
hypothetical expenses based on the actual expense ratio of each class of your
fund and an assumed rate of return of 5% per year before expenses, which is
not the actual return of a fund's share class. The hypothetical account values
and expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in your fund and other funds. To do so, compare
this 5% hypothetical example with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption/exchange fees. Therefore, the table is useful in
comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transactional
costs were included, your costs would have been higher.

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6

Prime Money Market Shareholder Fee Example
Expenses Paid During
Beginning Account Ending Account Period(1) 10/1/06 - Annualized
Value 10/1/06 Value 3/31/07 3/31/07 Expense Ratio(1)
ACTUAL
Investor Class (after
waiver)(2) $1,000 $1,024.30 $2.73 0.54%
Investor Class (before
waiver) $1,000 $1,024.30(3) $2.98 0.59%
Advisor Class (after
waiver)(2) $1,000 $1,023.10 $3.98 0.79%
Advisor Class (before
waiver) $1,000 $1,023.10(3) $4.24 0.84%
A Class (after
waiver)(2) $1,000 $1,023.10 $3.98 0.79%
A Class (before waiver) $1,000 $1,023.10(3) $4.24 0.84%
B Class (after
waiver)(2) $1,000 $1,019.30 $7.75 1.54%
B Class (before waiver) $1,000 $1,019.30(3) $8.00 1.59%
C Class (after
waiver)(2) $1,000 $1,020.50 $6.50 1.29%
C Class (before waiver) $1,000 $1,020.50(3) $6.75 1.34%
HYPOTHETICAL
Investor Class (after
waiver)(2) $1,000 $1,022.24 $2.72 0.54%
Investor Class (before
waiver) $1,000 $1,021.99 $2.97 0.59%
Advisor Class (after
waiver)(2) $1,000 $1,020.99 $3.98 0.79%
Advisor Class (before
waiver) $1,000 $1,020.74 $4.23 0.84%
A Class (after
waiver)(2) $1,000 $1,020.99 $3.98 0.79%
A Class (before waiver) $1,000 $1,020.74 $4.23 0.84%
B Class (after
waiver)(2) $1,000 $1,017.25 $7.75 1.54%
B Class (before waiver) $1,000 $1,017.00 $8.00 1.59%
C Class (after
waiver)(2) $1,000 $1,018.50 $6.49 1.29%
C Class (before waiver) $1,000 $1,018.25 $6.74 1.34%

(1) Expenses are equal to the class's annualized expense ratio listed in the
table above, multiplied by the average account value over the period,
multiplied by 182, the number of days in the most recent fiscal half-year,
divided by 365, to reflect the one-half year period.

(2) During the six months ended March 31, 2007, the class received a partial
waiver of its management fees.

(3) Ending account value assumes the return earned after waiver. The return
would have been lower had fees not been waived and would have resulted in a
lower ending account value.

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7

SCHEDULE OF INVESTMENTS
Prime Money Market

MARCH 31, 2007

Principal Amount Value

Commercial Paper(1) -- 46.1%

$10,000,000 American Family Financial Services, 5.25%, 8/17/07 $ 9,798,750
5,000,000 Amsterdam Funding Corp., 5.25%, 4/2/07 (Acquired 2/20/07, Cost
$4,970,104)(2) 4,999,271
10,000,000 Amsterdam Funding Corp., 5.19%, 4/4/07 (Acquired 10/11/06, Cost
$9,754,917)(2) 9,995,676
30,000,000 Amsterdam Funding Corp., 5.19%, 5/25/07 (Acquired 11/7/06, Cost
$29,139,325)(2) 29,766,450
50,000,000 Australia & New Zealand Banking Group Ltd., 5.21%, 6/18/07
(Acquired 1/18/07, Cost $48,907,347)(2) 49,435,583
20,000,000 Bank of America Corp., 5.18%, 4/4/07 19,991,375
5,000,000 Cedar Springs Capital Co., 5.25%, 5/16/07 (Acquired 2/27/07, Cost
$4,943,125)(2) 4,967,188
17,000,000 Cedar Springs Capital Co., 5.23%, 6/7/07 (Acquired 3/7/07, Cost
$16,772,786)(2) 16,834,529
42,500,000 Cedar Springs Capital Co., 5.25%, 6/13/07 (Acquired 3/12/07 -
3/14/07, Cost $41,929,439)(2) 42,047,790
29,000,000 Citibank Credit Card Issuance Trust, 5.24%, 6/14/07 (Acquired
3/19/07, Cost $28,632,763)(2) 28,687,638
15,000,000 Cobbler Funding Ltd./ Cobbler Funding LLC, 5.24%, 6/15/07
(Acquired 3/13/07, Cost $14,799,133)(2) 14,836,250
40,000,000 CRC Funding LLC, 5.25%, 4/16/07 (Acquired 2/21/07, Cost
$39,685,000)(2) 39,912,500
17,500,000 CRC Funding LLC, 5.25%, 4/18/07 (Acquired 2/21/07, Cost
$17,357,083)(2) 17,456,614
5,200,000 CRC Funding LLC, 5.25%, 4/26/07 (Acquired 2/23/07, Cost
$5,152,983)(2) 5,181,042
25,000,000 Credit Suisse First Boston, 5.25%, 4/12/07 (Acquired 2/12/07,
Cost $24,784,896)(2) 24,959,896
32,000,000 Crown Point Capital Co., 5.24%, 4/16/07 (Acquired 1/17/07, Cost
$31,585,458)(2) 31,930,134
8,500,000 Crown Point Capital Co., 5.21%, 4/17/07 (Acquired 10/20/06, Cost
$8,279,805)(2) 8,480,318

Principal Amount Value

$ 4,000,000 Crown Point Capital Co., 5.26%, 4/18/07 (Acquired 3/20/07, Cost
$3,983,051)(2) $ 3,990,064
10,276,000 Crown Point Capital Co., 5.27%, 4/19/07 (Acquired 3/20/07, Cost
$10,230,871)(2) 10,248,923
6,000,000 Danske Corporation, 5.21%, 4/10/07 (Acquired 11/6/06, Cost
$5,865,408)(2) 5,992,185
7,000,000 Emerald Notes of the BA Credit Card Trust, 5.25%, 5/3/07
(Acquired 2/5/07, Cost $6,911,188)(2) 6,967,333
36,000,000 Emerald Notes of the BA Credit Card Trust, 5.26%, 5/8/07
(Acquired 2/26/07, Cost $35,626,540)(2) 35,805,380
5,000,000 Emerald Notes of the BA Credit Card Trust, 5.25%, 5/14/07
(Acquired 2/16/07, Cost $4,936,563)(2) 4,968,646
14,000,000 Emerald Notes of the BA Credit Card Trust, 5.25%, 5/17/07
(Acquired 2/20/07, Cost $13,824,417)(2) 13,906,083
38,000,000 Fortis Funding LLC, 5.19%, 8/6/07 (Acquired 2/6/07, Cost
$37,008,422)(2) 37,304,251
12,500,000 Govco Incorporated, 5.24%, 4/12/07 (Acquired 1/16/07, Cost
$12,343,528)(2) 12,479,986
11,000,000 HBOS Treasury Services plc, 5.24%, 5/3/07 10,948,764
13,500,000 IXIS, 5.25%, 5/22/07 (Acquired 3/19/07, Cost $13,374,000)(2) 13,399,594
15,000,000 Legacy Capital LLC, 5.30%, 4/10/07 (Acquired 3/15/07, Cost
$14,944,792)(2) 14,980,125
30,000,000 Legacy Capital LLC, 5.26%, 4/12/07 (Acquired 3/9/07, Cost
$29,850,967)(2) 29,951,783
15,000,000 Legacy Capital LLC, 5.20%, 7/6/07 (Acquired 1/12/07, Cost
$14,620,833)(2) 14,792,000
8,863,000 Lexington Parker Capital, 5.21%, 4/4/07 (Acquired 10/18/06, Cost
$8,647,511)(2) 8,859,151
800,000 Lexington Parker Capital, 5.34%, 4/16/07 (Acquired 3/30/07, Cost
$797,983)(2) 798,220
14,000,000 Lexington Parker Capital, 5.25%, 5/14/07 (Acquired 2/14/07, Cost
$13,818,465)(2) 13,912,292

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8

Prime Money Market
Principal Amount Value

$ 8,000,000 Lexington Parker Capital, 5.23%, 6/18/07 (Acquired 3/16/07, Cost
$7,890,751)(2) $ 7,909,347
12,000,000 Morgan Stanley, 5.24%, 4/5/07 11,993,014
14,186,000 Nieuw Amsterdam Receivables Corporation, 5.24%, 4/16/07 (Acquired
1/17/07, Cost $14,002,228)(2) 14,155,027
53,000,000 Nieuw Amsterdam Receivables Corporation, 5.25%, 4/23/07 (Acquired
1/23/07 - 3/19/07, Cost $52,449,188)(2) 52,829,897
14,800,000 Old Line Funding Corp., 5.26%, 4/3/07 (Acquired 2/26/07, Cost
$14,722,152)(2) 14,795,675
16,455,000 Old Line Funding Corp., 5.26%, 4/5/07 (Acquired 2/23/07, Cost
$16,356,425)(2) 16,445,383
15,225,000 Paradigm Funding LLC, 5.26%, 4/5/07 (Acquired 2/26/07, Cost
$15,140,467)(2) 15,216,102
1,847,000 Paradigm Funding LLC, 5.33%, 4/13/07 (Acquired 3/30/07, Cost
$1,843,172)(2) 1,843,719
2,765,000 Paradigm Funding LLC, 5.33%, 4/17/07 (Acquired 3/30/07, Cost
$2,757,631)(2) 2,758,450
12,000,000 Paradigm Funding LLC, 5.26%, 4/20/07 (Acquired 3/2/07, Cost
$11,914,087)(2) 11,966,687
2,200,000 Paradigm Funding LLC, 5.30%, 5/9/07 (Acquired 3/30/07, Cost
$2,187,044)(2) 2,187,692
30,000,000 Paradigm Funding LLC, 5.19%, 8/27/07 (Acquired 2/23/07, Cost
$29,199,875)(2) 29,359,899
15,000,000 Ranger Funding Co. LLC, 5.26%, 4/17/07 (Acquired 3/2/07, Cost
$14,899,183)(2) 14,964,933
3,781,000 Ranger Funding Co. LLC, 5.29%, 5/10/07 (Acquired 3/30/07, Cost
$3,758,221)(2) 3,759,332
20,000,000 Stadshypotek Deleware, Inc., 5.24%, 4/20/07 (Acquired 3/5/07,
Cost $19,866,089)(2) 19,944,689
65,000,000 Toronto Dominion Bank (New York), VRN, 5.32%, 4/2/07, resets
daily off the Federal Funds Target Rate with no caps 65,000,000
50,000,000 Toyota Motor Credit Corp., 5.22%, 5/18/07 49,659,250
15,000,000 UBS Finance LLC, 5.18%, 7/17/07 14,769,057

Principal Amount Value

$14,000,000 Variable Funding Capital Co. LLC, VRN, 5.28%, 4/23/07, resets
monthly off the 1-month LIBOR minus 0.04% with no caps (Acquired
2/23/07, Cost $14,000,000)(2) $ 14,000,000
5,470,000 Westpac Banking Corp., 5.22%, 6/13/07 (Acquired 2/16/07, Cost
$5,377,201)(2) 5,412,100
13,000,000 Westpac Banking Corp., 5.20%, 8/7/07 (Acquired 2/7/07, Cost
$12,660,122)(2) 12,759,645
38,000,000 Windmill Funding Corp., 5.25%, 4/11/07 (Acquired 3/5/07, Cost
$37,794,958)(2) 37,944,583
30,000,000 Yorktown Capital LLC, 5.24%, 5/2/07 (Acquired 2/1/07, Cost
$29,607,000)(2) 29,864,634
--------------
TOTAL COMMERCIAL PAPER 1,048,124,899
--------------

Corporate Bonds -- 23.6%

3,135,000 A&M Hospital Convention Center, VRN, 5.37%, 4/5/07 (LOC: Columbus
Bank & Trust) 3,135,000
1,250,000 A&M Hospitalities LLC, VRN, 5.37%, 4/5/07 (LOC: Columbus Bank &
Trust) 1,250,000
5,500,000 AIK Partners LLC, VRN, 5.32%, 4/5/07 (LOC: Wachovia Bank N.A.) 5,500,000
46,000,000 Berkshire Hathaway Finance Corp., VRN, 5.41%, 4/11/07, resets
quarterly off the 3-month LIBOR plus 0.05% with no caps 46,036,156
13,450,000 Berkshire Hathaway Finance Corp., 3.40%, 7/2/07 13,377,375
55,000,000 Calyon New York, VRN, 5.30%, 6/7/07, resets quarterly off the
Federal Funds Target Rate plus 0.05% with no caps 55,000,000
5,775,000 Capital Markets Access Co. LLC, VRN, 5.39%, 4/5/07 5,775,000
1,930,000 Capital Markets Access Co. LLC, VRN, 5.39%, 4/5/07 1,930,000
910,000 Capital Markets Access Co. LLC, VRN, 5.39%, 4/5/07 910,000
4,295,000 Chaffee Point Hospitalities LLC, VRN, 5.37%, 4/5/07 (LOC:
Columbus Bank & Trust) 4,295,000
13,170,000 Cityscape SCP LLC, VRN, 5.32%, 4/5/07 (LOC: Columbus Bank & Trust) 13,170,000

------
9

Prime Money Market
Principal Amount Value

$ 2,295,000 Coastal Area Stores Inc./ Tattnall Foods Inc., VRN, 5.37%, 4/5/07
(LOC: Columbus Bank & Trust) $ 2,295,000
4,025,000 Colorado Natural Gas Inc., VRN, 5.36%, 4/5/07 4,025,000
3,550,000 Colorado Natural Gas Inc., VRN, 5.36%, 4/5/07 (LOC: Harris Trust
& Savings Bank) 3,550,000
3,275,000 Delos LLC, VRN, 5.37%, 4/2/07 3,275,000
8,245,000 Fiore Capital LLC, VRN, 5.32%, 4/5/07 8,245,000
22,000,000 Florida Hurricane Catastrophe Fund, Series 2006 B, VRN, 5.33%,
4/16/07, resets monthly off the 1-month LIBOR plus 0.01% with no
caps 22,000,000
2,000,000 Freehold Young Men's Christian Association (The), VRN, 5.32%,
4/5/07 (LOC: Wachovia Bank N.A.) 2,000,000
11,165,000 General Electric Capital Corp., VRN, 5.41%, 6/22/07, resets
quarterly off the 3-month LIBOR plus 0.06% with no caps 11,167,465
21,000,000 Gwinnett Instructional LLC, VRN, 5.32%, 4/5/07 (LOC: Allied Irish
Bank plc) 21,000,000
1,505,000 Herman & Kittle Capital LLC, VRN, 5.37%, 4/5/07 (LOC: FHLB) 1,505,000
23,655,000 KMS Fed Ex L.P., VRN, 5.52%, 4/2/07 (LOC: Union Bank of
California) 23,655,000
7,100,000 Mullenix-St Charles Properties LP, VRN, 5.32%, 4/5/07 (LOC:
Wachovia Bank N.A.) 7,100,000
33,000,000 Natixis, VRN, 5.41%, 4/2/07, resets daily off the Federal Funds
Target Rate plus 0.16% with no caps 33,000,000
20,000,000 Natixis, VRN, 5.41%, 4/2/07, resets daily off the Federal Funds
Target Rate plus 0.16% with no caps 20,000,000
5,300,000 Oklahoma Christian University Inc., VRN, 5.37%, 4/5/07 (LOC: FHLB) 5,300,000
10,280,000 OSS Realty Co., VRN, 5.41%, 4/5/07 (LOC: SunTrust Bank) 10,280,000
5,450,000 Roman Catholic Bishop of San Jose, VRN, 5.32%, 4/5/07 (LOC:
Allied Irish Bank plc) 5,450,000

Principal Amount Value

$25,000,000 Royal Bank of Scotland Group plc, VRN, 5.35%, 6/21/07, resets
quarterly off the 3-month LIBOR with no caps (Acquired 1/8/07,
Cost $25,012,625)(2) $ 25,009,689
7,500,000 Salvation Army, Series 2003 A, VRN, 5.32%, 4/5/07 (LOC: Bank of
New York) 7,500,000
8,000,000 Salvation Army, Series 2004 A, VRN, 5.32%, 4/5/07 (LOC: Bank of
New York) 8,000,000
15,700,000 Signal International LLC/Signal International L.P., VRN, 5.32%,
4/5/07 (LOC: General Electric Capital Corporation) (Acquired
12/29/05, Cost $15,700,000)(2) 15,700,000
7,000,000 Southwest Georgia Oil Co. Inc., VRN, 5.37%, 4/5/07 7,000,000
2,695,000 Stephens & Stephens XII, LLC, VRN, 5.38%, 4/4/07 2,695,000
25,000,000 Toyota Motor Credit Corp., VRN, 5.39%, 4/3/07, resets weekly off
the 3-month T-Bill plus 0.32% with no caps 25,000,000
10,000,000 Toyota Motor Credit Corp., VRN, 5.39%, 4/3/07, resets weekly off
the 3-month T-Bill plus 0.32% with no caps 10,000,000
41,000,000 Travelers Insurance Co. Group, VRN, 5.42%, 5/7/07, resets
quarterly off the 3-month LIBOR plus 0.06% with no caps (Acquired
8/7/03, Cost $41,000,000)(2) 41,000,000
20,000,000 UBS AG, 5.40%, 11/28/07 20,000,000
30,000,000 Wal-Mart Stores, Inc., 5.88%, 6/1/07 30,025,409
10,790,000 Woodgrain Millwork, VRN, 5.35%, 4/5/07 (LOC: General Electric
Capital Corporation) 10,790,000
--------------
TOTAL CORPORATE BONDS 536,946,094
--------------

Municipal Securities -- 17.3%

4,380,000 Babylon Industrial Development Agency Rev., Series 2004 A,
(Topiderm Inc.), VRDN, 5.35%, 4/5/07 (LOC: Citibank N.A.) 4,380,000
5,255,000 Calexico Unified School District COP, (Refinancing Project),
VRDN, 5.35%, 4/5/07 (XLCA) (SBBPA: Wachovia Bank N.A.) 5,255,000

------
10

Prime Money Market
Principal Amount Value

$ 8,160,000 California Educational Facilities Auth. Rev., Series 2005 B,
(University La Verne), VRDN, 5.46%, 4/5/07 (LOC: Allied Irish
Bank plc) $ 8,160,000
12,350,000 California Statewide Communities Development Auth. Rev., Series
2002 B, (Biola University), VRDN, 5.35%, 4/5/07 (LOC: BNP Paribas) 12,350,000
35,000,000 Catholic Health Initiatives Rev., Series 2007 B, 5.37%, 6/5/07 35,000,000
5,420,000 City of Fairfield Rev., Series 2005 A, VRDN, 5.32%, 4/5/07 (LOC:
Landesbank Hessen-Thuringen Girozentrale) 5,420,000
38,000,000 City of Portland GO, (Taxable Pension), VRDN, 5.32%, 4/4/07
(SBBPA: Landesbank Hessen-Thuringen Girozentrale) 37,999,627
3,265,000 Columbus Development Auth. Rev., (Woodmont Properties LLC), VRDN,
5.37%, 4/5/07 (LOC: Columbus Bank & Trust) 3,265,000
19,665,000 Concordia College Rev., VRDN, 5.32%, 4/2/07 (LOC: Bank of America
N.A.) 19,665,000
20,000,000 Cook County GO, Series 2005 D, (Public Improvements), VRDN,
5.34%, 4/4/07 (SBBPA: Depfa Bank plc) 20,000,000
2,715,000 El Monte COP, Series 2003 B, (Community Improvement), VRDN,
5.37%, 4/5/07 (LOC: California State Teacher's Retirement System
and Union Bank of California N.A.) 2,715,000
6,905,000 Gadsden Alabama Airport Auth. Rev., VRDN, 5.32%, 4/5/07 (LOC:
Southtrust Bank N.A.) 6,905,000
7,670,000 Georgia Municipal Gas Auth. Rev., (National Gas Utility
Improvements), VRDN, 5.35%, 4/5/07 (LOC: Wachovia Bank N.A. and
JPMorgan Chase Bank) 7,670,000
15,000,000 Groton City GO, Series 2007 B, 6.00%, 10/10/07 15,045,862
5,750,000 JJB Properties LLC Rev., (Rental Property), VRDN, 5.32%, 4/5/07
(LOC: Arvest Bank and FHLB) 5,750,000

Principal Amount Value

$ 1,400,000 Las Cruces Industrial Rev., (F&A Dairy Products), VRDN, 5.40%,
6/1/07 (LOC: Wells Fargo Bank N.A.) $ 1,400,000
2,880,000 Long Beach Rev., Series 2004 A, (Towne Center Site), VRDN, 5.38%,
4/5/07 (LOC: Allied Irish Bank plc) 2,880,000
21,250,000 Louisiana State Agriculture Finance Auth. Rev., (Lacassine Syrup
Mill), VRDN, 5.36%, 4/5/07 (LOC: AmSouth Bank) 21,250,000
8,200,000 Lower Colorado River Auth. Rev., 5.30%, 7/3/07 8,200,000
6,400,000 Mississippi Business Finance Corp. Rev., (Medical Development
Properties), VRDN, 5.32%, 4/5/07 (LOC: BancorpSouth Bank and FHLB) 6,400,000
11,000,000 Mississippi Business Finance Corp. Rev., (Skyline Steel Pipe),
VRDN, 5.32%, 4/5/07 (LOC: Fortis Bank SA N.V.) 11,000,000
7,500,000 Mississippi Business Finance Corp. Rev., Series 2005, (Future
Pipe Industries, Inc.), VRDN, 5.32%, 4/5/07 (LOC: Mashreqbank and
Bank of New York) 7,500,000
5,000,000 Mississippi Business Finance Corp. Rev., Series 2006 R-1, (Brown
Bottling Group, Inc.), VRDN, 5.32%, 4/5/07 (LOC: Trustmark
National Bank and FHLB) 5,000,000
10,000,000 Mississippi Business Finance Corporation Industrial Development
Rev., (VC Regional Assembly), VRDN, 5.40%, 4/4/07 (LOC: JPMorgan
Chase Bank) 10,000,000
19,280,000 New Orleans Rev., VRDN, 5.32%, 4/5/07 (Ambac) (SBBPA: Bank One
Louisiana) 19,280,000
24,000,000 North Texas Higher Education Auth., Inc. Student Loan Rev.,
Series 2006 D, VRDN, 5.32%, 4/4/07 (Ambac/Guaranteed Student
Loans) (SBBPA: Lloyds TSB Bank plc) 24,000,000
1,200,000 Olathe Industrial Rev., (Zschoche Family), VRDN, 5.37%, 4/5/07
(LOC: U.S. Bank N.A.) 1,200,000

------
11

Prime Money Market
Principal Amount Value

$ 5,000,000 Omaha Special Obligation Rev., (Riverfront Redevelopment), VRDN,
5.37%, 4/4/07 (Ambac) (SBBPA: Dexia Credit Local) $ 5,000,000
9,900,000 Pasadena COP, (Los Robles Avenue Parking Facilities), VRDN,
5.32%, 4/3/07 (LOC: Bank of New York and California State
Teacher's Retirement System) 9,900,000
20,000,000 Pennsylvania Housing Finance Agency Single Family Mortgage Rev.,
Series 2007-97D, VRDN, 5.32%, 4/4/07 (SBBPA: Dexia Credit Local) 20,000,000
1,130,000 Plymouth Rev., (Carlson Center), VRDN, 5.37%, 4/5/07 (LOC: U.S.
Bank N.A.) 1,130,000
9,990,000 Putnam County Industrial Development Agency Rev., (Sincerity
Facility LLC), VRDN, 5.32%, 4/5/07 (LOC: Bank of New York) 9,990,000
5,700,000 Roman Catholic Diocese of Raleigh Rev., Series 2002 A, VRDN,
5.37%, 4/5/07 (LOC: Bank of America N.A.) 5,700,000
4,850,000 Santa Rosa Pension Obligation Rev., Series 2003 A, VRDN, 5.32%,
4/5/07 (LOC: Landesbank Hessen-Thuringen Girozentrale) 4,850,000
6,961,331 Savannah College of Art & Design Inc. Rev., Series 2004 BD, VRDN,
5.35%, 4/5/07 (LOC: Bank of America N.A.) 6,961,330
11,335,000 Southeast Alabama Gas District Rev., VRDN, 5.32%, 4/5/07 (XLCA)
(SBBPA: Southtrust Bank N.A.) 11,335,000
4,145,000 Sterling Tax Allocation Rev., (Rock River Redevelopment), VRDN,
5.39%, 4/4/07 (LOC: Wachovia Bank N.A.) 4,145,000
7,269,000 Texas Municipal Power Agency Rev., Series 2005 A, 5.35%, 4/4/07 7,269,000
--------------
TOTAL MUNICIPAL SECURITIES 393,970,819
--------------

Principal Amount Value

Certificates of Deposit -- 12.6%

$25,000,000 ABN AMRO Bank N.V., 5.25%, 7/3/07 $ 25,000,000
50,000,000 Citibank N.A., 5.31%, 5/18/07 50,000,000
30,000,000 Citizens Bank N.A., 5.32%, 6/18/07 30,000,000
25,000,000 Credit Suisse New York, 5.31%, 4/4/07 25,000,000
25,000,000 Credit Suisse New York, 5.31%, 5/1/07 25,000,000
20,000,000 HBOS Treasury Services plc (New York), 5.33%, 7/20/07 20,000,000
25,000,000 HBOS Treasury Services plc (New York), 5.26%, 1/8/08 25,000,000
25,000,000 Societe Generale (New York), VRN, 5.31%, 4/2/07, resets daily off
the Federal Funds Target Rate plus 0.06% with no caps 25,000,000
37,000,000 Societe Generale, VRN, 5.31%, 4/2/07, resets daily off the
Federal Funds Target Rate plus 0.06% with no caps 37,000,000
25,000,000 Societe Generale, VRN, 5.32%, 4/2/07, resets daily off the
Federal Funds Target Rate plus 0.07% with no caps 25,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT 287,000,000
--------------
TOTAL INVESTMENT SECURITIES -- 99.6% 2,266,041,812
--------------
OTHER ASSETS AND LIABILITIES -- 0.4% 9,306,355
--------------
TOTAL NET ASSETS -- 100.0% $2,275,348,167
==============

------
12

Prime Money Market

Notes to Schedule of Investments

Ambac = Ambac Assurance Corporation

COP = Certificates of Participation

FHLB = Federal Home Loan Bank

GO = General Obligation

LIBOR = London Interbank Offered Rate

LOC = Letter of Credit

resets = The frequency with which a security's coupon changes, based on
current market conditions or an underlying index. The more frequently a
security resets, the less risk the investor is taking that the coupon will
vary significantly from current market rates.

SBBPA = Standby Bond Purchase Agreement

VRDN = Variable Rate Demand Note. Interest reset date is indicated. Rate shown
is effective March 31, 2007.

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

XLCA = XL Capital Ltd.

(1) The rate indicated is the yield to maturity at purchase.

(2) Security was purchased under Rule 144A or Section 4(2) of the Securities
Act of 1933 or is a private placement and, unless registered under the Act or
exempted from registration, may only be sold to qualified institutional
investors. The aggregate value of restricted securities at March 31, 2007, was
$947,674,378, which represented 41.6% of total net assets. Restricted
securities considered illiquid represent 1.8% of total net assets.

See Notes to Financial Statements.

------
13

STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007

ASSETS

Investment securities, at value (amortized cost and cost for federal income tax
purposes) $2,266,041,812

Cash 867,506

Interest receivable 10,072,519

Prepaid portfolio insurance 340,725
--------------
2,277,322,562
--------------

LIABILITIES

Payable for investments purchased 797,983

Accrued management fees 1,005,964

Distribution fees payable 1,671

Service fees (and distribution fees -- A Class) payable 25,487

Dividends payable 143,290
--------------
1,974,395
--------------

NET ASSETS $2,275,348,167
==============

See Notes to Financial Statements.

------
14

MARCH 31, 2007

NET ASSETS CONSIST OF:

Capital paid in $2,275,390,687

Accumulated net realized loss on investment transactions (42,520)
--------------
$2,275,348,167
==============

INVESTOR CLASS
Net assets $2,155,799,728
Shares outstanding 2,155,839,696
Net asset value per share $1.00

ADVISOR CLASS
Net assets $4,185,449
Shares outstanding 4,184,759
Net asset value per share $1.00

A CLASS
Net assets $113,998,036
Shares outstanding 114,001,353
Net asset value per share $1.00

B CLASS
Net assets $838,421
Shares outstanding 838,470
Net asset value per share $1.00

C CLASS
Net assets $526,533
Shares outstanding 526,532
Net asset value per share $1.00

See Notes to Financial Statements.

------
15

STATEMENT OF OPERATIONS

YEAR ENDED MARCH 31, 2007

INVESTMENT INCOME (LOSS)

INCOME:

Interest $118,430,841
------------

EXPENSES:

Management fees 12,797,799

Distribution fees:
Advisor Class 8,519
B Class 9,097
C Class 3,423

Service fees:
Advisor Class 8,519
B Class 3,032
C Class 1,712

Distribution and service fees -- A Class 214,213

Trustees' fees and expenses 87,480

Portfolio insurance and other expenses 381,095
------------
13,514,889
------------
Amount waived (1,041,198)
------------
12,473,691
------------

NET INVESTMENT INCOME (LOSS) 105,957,150
------------

NET REALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS (3,528)
------------

NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $105,953,622
============

See Notes to Financial Statements.

------
16

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED MARCH 31, 2007 AND MARCH 31, 2006
2007 2006
OPERATIONS

Net investment income (loss) $ 105,957,150 $ 66,266,475

Net realized gain (loss) (3,528) (19,620)
-------------- --------------

Net increase (decrease) in net assets resulting from operations 105,953,622 66,246,855
-------------- --------------

DISTRIBUTIONS TO SHAREHOLDERS

From net investment income:
Investor Class (101,854,192) (65,870,629)
Advisor Class (153,038) (93,086)
A Class (3,877,527) (288,507)
B Class (45,130) (2,602)
C Class (27,263) (11,651)
-------------- --------------
Decrease in net assets from distributions (105,957,150) (66,266,475)
-------------- --------------

CAPITAL SHARE TRANSACTIONS

Net increase (decrease) in net assets from capital share
transactions 244,090,701 63,825,653
-------------- --------------

NET INCREASE (DECREASE) IN NET ASSETS 244,087,173 63,806,033

NET ASSETS

Beginning of period 2,031,260,994 1,967,454,961
-------------- --------------
End of period $2,275,348,167 $2,031,260,994
============== ==============

See Notes to Financial Statements.

------
17

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. Prime Money Market Fund (the fund) is one fund
in a series issued by the trust. The fund is diversified under Rule 2a-7 of
the 1940 Act. The fund's investment objective is to earn the highest level of
current income while preserving the value of your investment. The fund invests
most of its assets in high-quality, very short-term debt securities issued by
corporations, banks and governments. The following is a summary of the fund's
significant accounting policies.

MULTIPLE CLASS -- The fund is authorized to issue the Investor Class, the
Advisor Class, the A Class, the B Class and the C Class. The A Class may incur
an initial sales charge. The A Class, B Class and C Class may be subject to a
contingent deferred sales charge. The share classes differ principally in
their respective sales charges and distribution and shareholder servicing
expenses and arrangements. All shares of the fund represent an equal pro rata
interest in the assets of the class to which such shares belong, and have
identical voting, dividend, liquidation and other rights and the same terms
and conditions, except for class specific expenses and exclusive rights to
vote on matters affecting only individual classes. Income, non-class specific
expenses, and realized and unrealized capital gains and losses of the fund are
allocated to each class of shares based on their relative net assets.

SECURITY VALUATIONS -- Securities are generally valued at amortized cost,
which approximates current market value. When such valuations do not reflect
market value, securities may be valued as determined in accordance with
procedures adopted by the Board of Trustees.

SECURITY TRANSACTIONS -- Security transactions are accounted for as of the
trade date. Net realized gains and losses are determined on the identified
cost basis, which is also used for federal income tax purposes.

INVESTMENT INCOME -- Interest income is recorded on the accrual basis and
includes accretion of discounts and amortization of premiums.

REPURCHASE AGREEMENTS -- The fund may enter into repurchase agreements with
institutions that American Century Investment Management, Inc. (ACIM) (the
investment advisor) has determined are creditworthy pursuant to criteria
adopted by the Board of Trustees. Each repurchase agreement is recorded at
cost. The fund requires that the collateral, represented by securities,
received in a repurchase transaction be transferred to the custodian in a
manner sufficient to enable the fund to obtain those securities in the event
of a default under the repurchase agreement. ACIM monitors, on a daily basis,
the securities transferred to ensure the value, including accrued interest, of
the securities under each repurchase agreement is equal to or greater than
amounts owed to the fund under each repurchase agreement.

JOINT TRADING ACCOUNT -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other registered
investment companies having management agreements with ACIM or American
Century Global Investment Management, Inc. (ACGIM), may transfer uninvested
cash balances into a joint trading account. These balances are invested in one
or more repurchase agreements that are collateralized by U.S. Treasury or
Agency obligations.

WHEN-ISSUED AND FORWARD COMMITMENTS -- The fund may engage in securities
transactions on a when-issued or forward commitment basis. Under these
arrangements, the securities' prices and yields are fixed on the date of the
commitment, but payment and delivery are scheduled for a future date. During
this period, securities are subject to market fluctuations. The fund will
segregate cash, cash equivalents or other appropriate liquid securities on its
records in amounts sufficient to meet the purchase price.

INCOME TAX STATUS -- It is the fund's policy to distribute substantially all
net investment income and net realized gains to shareholders and to otherwise
qualify as a regulated investment company under provisions of the Internal
Revenue Code. Accordingly, no provision has been made for federal or state
income taxes.

------
18

DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income and
short-term capital gains, if any, are declared daily and paid monthly. The
fund does not expect to realize any long-term capital gains, and accordingly,
does not expect to pay any capital gains distributions.

INDEMNIFICATIONS -- Under the trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the fund. In addition, in the normal course of
business, the fund enters into contracts that provide general
indemnifications. The fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the fund.
The risk of material loss from such claims is considered by management to be
remote.

USE OF ESTIMATES -- The financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America,
which may require management to make certain estimates and assumptions at the
date of the financial statements. Actual results could differ from these
estimates.

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
ACIM, under which ACIM provides the fund with investment advisory and
management services in exchange for a single, unified management fee (the fee)
per class. The Agreement provides that all expenses of the fund, except
brokerage commissions, taxes, portfolio insurance, interest, fees and expenses
of those trustees who are not considered "interested persons" as defined in
the 1940 Act (including counsel fees) and extraordinary expenses, will be paid
by ACIM. The fee is computed and accrued daily based on the daily net assets
of the specific class of shares of the fund and paid monthly in arrears. The
fee consists of (1) an Investment Category Fee based on the daily net assets
of the fund and certain other accounts managed by the investment advisor that
are in the same broad investment category as the fund and (2) a Complex Fee
based on the assets of all the funds in the American Century family of funds.
The rates for the Investment Category Fee range from 0.2370% to 0.3500% and
the rates for the Complex Fee (Investor Class, A Class, B Class and C Class)
range from 0.2500% to 0.3100%. The Advisor Class is 0.2500% less at each point
within the Complex Fee range. From July 29, 2005 to July 31, 2006, the
investment advisor voluntarily agreed to waive 0.039% of its management fee.
Effective August 1, 2006, the investment advisor voluntarily agreed to waive
0.050% of its management fee. The total amount of the waiver for each class of
the fund for the year ended March 31, 2007 was $998,337, $1,592, $40,403, $552
and $314, for the Investor Class, Advisor Class, A Class, B Class and C Class,
respectively. This fee waiver may be revised or terminated at any time without
notice. The effective annual management fee before waiver for each class of
the fund for the year ended March 31, 2007 was 0.57% for the Investor Class, A
Class, B Class and C Class, and 0.32% for the Advisor Class. The effective
annual management fee after waiver for each class of the fund for the year
ended March 31, 2007 was 0.53% for the Investor Class, A Class, B Class and C
Class, and 0.28% for the Advisor Class.

DISTRIBUTION AND SERVICE FEES -- The Board of Trustees has adopted a Master
Distribution and Shareholder Services Plan for the Advisor Class (the Advisor
Class plan) and a separate Master Distribution and Individual Shareholder
Services Plan for each of the A Class, B Class and C Class (collectively with
the Advisor Class plan, the plans), pursuant to Rule 12b-1 of the 1940 Act.
The plans provide that the Advisor Class will pay American Century Investment
Services, Inc. (ACIS) an annual distribution fee of 0.25% and service fee of
0.25%. The plans provide that the A Class will pay ACIS an annual distribution
and service fee of 0.25%. The plans provide that the B Class will pay ACIS an
annual distribution fee of 0.75% and service fee of 0.25%. The plans provide
that the C Class will pay ACIS an annual distribution fee of 0.50% and service
fee of 0.25%. The fees are computed and accrued daily based on each class's
daily net assets and paid monthly in arrears. The distribution fee provides
compensation for expenses incurred in connection with distributing shares of
the classes including, but not limited to, payments to brokers, dealers, and
financial institutions that have entered into sales agreements with respect to
shares of the fund. The service fee provides compensation for shareholder and
administrative services rendered by ACIS, its affiliates or independent third
party providers for Advisor Class shares and for individual shareholder
services rendered by broker/dealers or other independent financial
intermediaries for A Class, B Class and C Class shares. Fees incurred under
the plans during the year ended March 31, 2007, are detailed in the Statement
of Operations.

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19

MONEY MARKET INSURANCE -- The fund, along with other money market funds
managed by ACIM, has entered into an insurance agreement with Ambac Assurance
Corporation (Ambac). Ambac provides limited coverage for certain loss events
including issuer defaults as to payment of principal or interest and
insolvency of a credit enhancement provider. The fund pays annual premiums to
Ambac, which are amortized daily over one year. For the year ended March 31,
2007, the annualized ratio of money market insurance expense to average net
assets was 0.02%.

JPMorgan Chase Bank is a custodian of the fund and a wholly owned subsidiary
of JPMorgan Chase & Co. (JPM). JPM is an equity investor in ACC.

3. CAPITAL SHARE TRANSACTIONS

Transactions in shares of the fund were as follows (unlimited number of shares
authorized):

Year ended March 31, 2007 Year ended March 31, 2006
Shares Amount Shares Amount
INVESTOR CLASS
Sold 2,293,636,505 $2,293,636,505 2,104,960,382 $2,104,960,382
Issued in
reinvestment of
distributions 97,522,574 97,522,574 64,257,188 64,257,188
Redeemed (2,217,321,520) (2,217,321,520) (2,151,370,189) (2,151,370,189)
--------------- --------------- --------------- ---------------
173,837,559 173,837,559 17,847,381 17,847,381
--------------- --------------- --------------- ---------------
ADVISOR CLASS
Sold 3,411,695 3,411,695 2,930,902 2,930,902
Issued in
reinvestment of
distributions 149,117 149,117 90,750 90,750
Redeemed (2,520,839) (2,520,839) (2,436,416) (2,436,416)
--------------- --------------- --------------- ---------------
1,039,973 1,039,973 585,236 585,236
--------------- --------------- --------------- ---------------
A CLASS
Sold 198,542,700 198,542,700 71,664,328 71,664,328
Issued in
reinvestment of
distributions 3,203,673 3,203,673 231,851 231,851
Redeemed (132,900,813) (132,900,813) (26,799,994) (26,799,994)
--------------- --------------- --------------- ---------------
68,845,560 68,845,560 45,096,185 45,096,185
--------------- --------------- --------------- ---------------
B CLASS
Sold 2,159,121 2,159,121 36,592 36,592
Issued in
reinvestment of
distributions 42,105 42,105 1,074 1,074
Redeemed (1,497,102) (1,497,102) -- --
--------------- --------------- --------------- ---------------
704,124 704,124 37,666 37,666
--------------- --------------- --------------- ---------------
C CLASS
Sold 821,690 821,690 831,364 831,364
Issued in
reinvestment of
distributions 26,399 26,399 11,443 11,443
Redeemed (1,184,604) (1,184,604) (583,622) (583,622)
--------------- --------------- --------------- ---------------
(336,515) (336,515) 259,185 259,185
--------------- --------------- --------------- ---------------
Net increase
(decrease) 244,090,701 $ 244,090,701 63,825,653 $ 63,825,653
=============== =============== =============== ===============

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20

4. FEDERAL TAX INFORMATION

As of March 31, 2007, the fund has accumulated net realized capital loss
carryovers for federal income tax purposes of $(41,623), which may be used to
offset future taxable gains. The capital loss carryovers expire as follows:

2010 2011 2013 2014 2015
$(13,456) $(36) $(11,584) $(2,029) $(14,518)

Capital loss deferrals of $(897) represent net capital losses incurred in the
five-month period ended March 31, 2007. The fund has elected to treat such
losses as having been incurred in the following fiscal year for federal income
tax purposes.

5. RECENTLY ISSUED ACCOUNTING STANDARDS

In June 2006, the Financial Accounting Standards Board (FASB) issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes - an
Interpretation of FASB Statement No. 109" (FIN 48). FIN 48 establishes a
minimum threshold for financial statement recognition of the benefit of
positions taken in filing tax returns (including whether an entity is taxable
in a particular jurisdiction), and requires certain expanded tax disclosures.
FIN 48 is effective for fiscal years beginning after December 15, 2006, and is
to be applied to all open tax years as of the date of effectiveness. The FASB
issued Statement of Financial Accounting Standards No. 157, "Fair Value
Measurements" (FAS 157), in September 2006, which is effective for fiscal
years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands the required
financial statement disclosures about fair value measurements. Management is
currently evaluating the impact of adopting FIN 48 and FAS 157.

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21

FINANCIAL HIGHLIGHTS
Prime Money Market

Investor Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value,
Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------
Income From Investment
Operations

Net
Investment
Income (Loss) 0.05 0.03 0.01 0.01 0.01
-------- -------- -------- -------- --------
Distributions

From Net
Investment
Income (0.05) (0.03) (0.01) (0.01) (0.01)
-------- -------- -------- -------- --------
Net Asset Value, End
of Period $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ========

TOTAL RETURN(1) 4.83% 3.28% 1.19% 0.58% 1.19%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating
Expenses to Average
Net Assets 0.55%(2) 0.57%(2) 0.60% 0.61% 0.61%

Ratio of Operating
Expenses to Average
Net Assets (Before
Expense Waiver) 0.59% 0.59% 0.60% 0.61% 0.61%

Ratio of Net
Investment Income
(Loss) to Average Net
Assets 4.73%(2) 3.24%(2) 1.17% 0.58% 1.19%

Ratio of Net
Investment Income
(Loss) to Average Net
Assets (Before Expense
Waiver) 4.69% 3.22% 1.17% 0.58% 1.19%

Net Assets, End of
Period (in thousands) $2,155,800 $1,981,964 $1,964,135 $2,126,433 $2,574,694

(1) Total return assumes reinvestment of net investment income and capital
gains distributions, if any.

(2) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

See Notes to Financial Statements.

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22

Prime Money Market

Advisor Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value,
Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- ------ ------ ------
Income From Investment Operations

Net Investment Income (Loss) 0.04 0.03 0.01 --(1) 0.01
-------- -------- ------ ------ ------
Distributions

From Net Investment Income (0.04) (0.03) (0.01) --(1) (0.01)
-------- -------- ------ ------ ------
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ====== ====== ======

TOTAL RETURN(2) 4.58% 3.02% 0.94% 0.33% 0.93%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net
Assets 0.80%(3) 0.82%(3) 0.85% 0.86% 0.86%

Ratio of Operating Expenses to Average Net
Assets (Before Expense Waiver) 0.84% 0.84% 0.85% 0.86% 0.86%

Ratio of Net Investment Income (Loss) to
Average Net Assets 4.48%(3) 2.99%(3) 0.92% 0.33% 0.94%

Ratio of Net Investment Income (Loss) to
Average Net Assets (Before Expense Waiver) 4.44% 2.97% 0.92% 0.33% 0.94%

Net Assets, End of Period (in thousands) $4,185 $3,145 $2,560 $3,055 $5,431

(1) Per-share amount was less than $0.005.

(2) Total return assumes reinvestment of net investment income and capital
gains distributions, if any.

(3) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

See Notes to Financial Statements.

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23

Prime Money Market

A Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- ------ -------- --------
Income From
Investment Operations

Net Investment
Income (Loss) 0.04 0.03 0.01 --(2) --(2)
-------- -------- ------ -------- --------
Distributions

From Net
Investment Income (0.04) (0.03) (0.01) --(2) --(2)
-------- -------- ------ -------- --------
Net Asset Value,
End of Period $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ====== ======== ========

TOTAL RETURN(3) 4.58% 3.05% 0.95% 0.38% 0.12%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average
Net Assets 0.80%(4) 0.82%(4) 0.85% 0.83%(5) 0.61%(5)(6)

Ratio of Operating Expenses to
Average
Net Assets (Before Expense Waiver) 0.84% 0.84% 0.85% 0.86% 0.86%(6)

Ratio of Net Investment Income
(Loss) to Average Net Assets 4.48%(4) 2.99%(4) 0.92% 0.36%(5) 0.76%(5)(6)

Ratio of Net Investment Income
(Loss) to Average Net Assets
(Before Expense Waiver) 4.44% 2.97% 0.92% 0.33% 0.51%(6)

Net Assets, End of Period (in
thousands) $113,998 $45,154 $60 $25 $25

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(2) Per-share amount was less than $0.005.

(4) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(5) The distributor voluntarily waived a portion of its distribution and
services fees.

(6) Annualized.

See Notes to Financial Statements.

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24

Prime Money Market

B Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)

PER-SHARE DATA

Net Asset Value, Beginning of
Period $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------
Income From Investment Operations

Net Investment
Income (Loss) 0.04 0.02 --(2) --(2) --(2)
-------- -------- -------- -------- --------
Distributions

From Net
Investment Income (0.04) (0.02) --(2) --(2) --(2)
-------- -------- -------- -------- --------
Net Asset Value,
End of Period $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ========

TOTAL RETURN(3) 3.80% 2.26% 0.34% 0.22% 0.12%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets(4) 1.55%(4) 1.57%(4) 1.48%(5) 0.99%(5) 0.61%(5)(6)

Ratio of Operating Expenses to
Average Net Assets (Before
Expense Waiver) 1.59% 1.59% 1.60% 1.61% 1.61%(6)

Ratio of Net Investment Income
(Loss) to Average
Net Assets(4) 3.73%(4) 2.24%(4) 0.29%(5) 0.20%(5) 0.76%(5)(6)

Ratio of Net Investment Income
(Loss) to Average
Net Assets (Before Expense
Waiver) 3.69% 2.22% 0.17% (0.42)% (0.24)%(6)

Net Assets, End of Period (in
thousands) $838 $134 $97 $74 $25

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(2) Per-share amount was less than $0.005.

(4) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(5) The distributor voluntarily waived a portion of its distribution and
service fees.

(6) Annualized.

See Notes to Financial Statements.

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25

Prime Money Market

C Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)

PER-SHARE DATA

Net Asset Value, Beginning of
Period $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------
Income From Investment Operations

Net Investment
Income (Loss) 0.04 0.02 0.01 --(2) --(2)
-------- -------- -------- -------- --------
Distributions

From Net
Investment Income (0.04) (0.02) (0.01) --(2) --(2)
-------- -------- -------- -------- --------
Net Asset Value,
End of Period $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ========

TOTAL RETURN(3) 4.06% 2.51% 0.57% 0.09% 0.40%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 1.30%(4) 1.32%(4) 1.28%(5) 1.10%(5) 1.34%(5)(6)

Ratio of Operating Expenses to
Average Net Assets (Before
Expense Waiver) 1.34% 1.34% 1.35% 1.36% 1.36%(6)

Ratio of Net Investment Income
(Loss) to Average
Net Assets 3.98%(4) 2.49%(4) 0.49%(5) 0.09%(5) 0.47%(5)(6)

Ratio of Net Investment Income
(Loss) to Average
Net Assets (Before Expense
Waiver) 3.94% 2.47% 0.42% (0.17)% 0.45%(6)

Net Assets, End of Period (in
thousands) $527 $863 $604 $96 $40

(1) May 7, 2002 (commencement of sale) through March 31, 2003.

(2) Per-share amount was less than $0.005.

(4) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(5) The distributor voluntarily waived a portion of its distribution and
service fees.

(6) Annualized.

See Notes to Financial Statements.

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26

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust and Shareholders of
the Prime Money Market Fund:

In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Prime Money
Market Fund (one of the ten funds comprising the American Century Investment
Trust, hereafter referred to as the "Fund") at March 31, 2007, 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 periods presented, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements 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 are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at March 31, 2007 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 16, 2007

------
27

MANAGEMENT

The individuals listed below serve as trustees or officers of the fund. Each
trustee serves until his or her successor is duly elected and qualified or
until he or she retires. Effective March 2004, mandatory retirement age for
independent trustees is 73. However, the mandatory retirement age may be
extended for a period not to exceed two years with the approval of the
remaining independent trustees. Those listed as interested trustees are
"interested" primarily by virtue of their engagement as trustees and/or
officers of, or ownership interest in, American Century Companies, Inc. (ACC)
or its wholly owned, direct or indirect, subsidiaries, including the fund's
investment advisor, American Century Investment Management, Inc. (ACIM); the
fund's principal underwriter, American Century Investment Services, Inc.
(ACIS); and the fund's transfer agent, American Century Services, LLC (ACS).

The other trustees (more than three-fourths of the total number) are
independent; that is, they have never been employees, trustees or officers of,
and have no financial interest in, ACC or any of its wholly owned, direct or
indirect, subsidiaries, including ACIM, ACIS, and ACS. The trustees serve in
this capacity for eight registered investment companies in the American
Century family of funds.

All persons named as officers of the fund also serve in similar capacities for
the other 14 investment companies advised by ACIM or American Century Global
Investment Management, Inc. (ACGIM), a wholly owned subsidiary of ACIM, unless
otherwise noted. Only officers with policy-making functions are listed. No
officer is compensated for his or her service as an officer of the fund. The
listed officers are interested persons of the fund and are appointed or
re-appointed on an annual basis.

INTERESTED TRUSTEE

JONATHAN S. THOMAS
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1963
POSITION(S) HELD WITH FUND: Advisory Board Member (since 2007) and President
(since 2007)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: President and Chief Executive
Officer, ACC (March 2007 to present), Chief Administrative Officer, ACC
(February 2006 to February 2007); Executive Vice President, ACC (November 2005
to February 2007). Also serves as: President, Chief Executive Officer and
Director, ACS; Executive Vice President, ACIM and ACGIM; Director, ACIM,
ACGIM, ACIS and other ACC subsidiaries; Managing Director, Morgan Stanley
(March 2000 to November 2005)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 109
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

INDEPENDENT TRUSTEES

JOHN FREIDENRICH
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1937
POSITION(S) HELD WITH FUND: Trustee (since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Member and Manager, Regis
Management Company, LLC (April 2004 to present); Partner and Founder, Bay
Partners (Venture capital firm, 1976 to present); Partner and Founder, Ware &
Freidenrich (1968 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

------
28

RONALD J. GILSON
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1946
POSITION(S) HELD WITH FUND: Trustee (since 1995) and Chairman of the Board
(since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Charles J. Meyers Professor of
Law and Business, Stanford Law School (1979 to present); Marc and Eva Stern
Professor of Law and Business, Columbia University School of Law (1992 to
present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

KATHRYN A. HALL
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUND: Trustee (since 2001)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Co-Chairman and Co-Chief
Executive Officer and Chief Investment Officer, Offit Hall Capital Management,
LLC (April 2002 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

PETER F. PERVERE
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUND: Advisory Board Member (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, formerly Vice President
and Chief Financial Officer, Commerce One, Inc. (software and services
provider)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Intraware, Inc.

MYRON S. SCHOLES
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1941
POSITION(S) HELD WITH FUND: Trustee (since 1980)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chairman, Platinum Grove Asset
Management, L.P., and a Partner, Oak Hill Capital Management (1999 to
present); Frank E. Buck Professor of Finance-Emeritus, Stanford Graduate
School of Business (1996 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Dimensional Fund Advisors
(investment advisor, 1982 to present); Director, Chicago Mercantile Exchange
(2000 to present)

JOHN B. SHOVEN
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUND: Trustee (since 2002)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Professor of Economics, Stanford
University (1973 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Cadence Design Systems (1992 to
present)

JEANNE D. WOHLERS
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1945
POSITION(S) HELD WITH FUND: Trustee (since 1984)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, Director and Partner,
Windy Hill Productions, LP (educational software)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

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29

OFFICERS

MARYANNE ROEPKE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1956
POSITION(S) HELD WITH FUND: Chief Compliance Officer (since 2006) and Senior
Vice President (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Compliance Officer, ACIM,
ACGIM and ACS (August 2006 to present); Assistant Treasurer, ACC (January 1995
to August 2006); Treasurer and Chief Financial Officer, various American
Century funds (July 2000 to August 2006); Also serves as: Senior Vice
President, ACS

CHARLES A. ETHERINGTON
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUND: General Counsel (since 2007) and Senior Vice
President (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACC (November
2005 to present); General Counsel, ACC (March 2007 to present). Also serves
as: General Counsel, ACIM, ACGIM, ACS, ACIS and other ACC subsidiaries; and
Senior Vice President, ACIM, ACGIM, and ACS

ROBERT LEACH
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1966
POSITION(S) HELD WITH FUND: Vice President, Treasurer and Chief Financial
Officer (all since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present) and Controller, various American Century funds (1997 to
September 2006)

C. JEAN WADE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1964
POSITION(S) HELD WITH FUND: Controller (since 1996)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present)

JON ZINDEL
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1967
POSITION(S) HELD WITH FUND: Tax Officer (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Financial Officer and Chief
Accounting Officer, ACC (March 2007 to present); Vice President, ACC (October
2001 to present); Vice President, certain ACC subsidiaries (October 2001 to
August 2006); Vice President, Corporate Tax, ACS (April 1998 to August 2006).
Also serves as: Chief Financial Officer, Chief Accounting Officer and Senior
Vice President, ACIM, ACGIM, ACS and other ACC subsidiaries; and Chief
Accounting Officer and Senior Vice President, ACIS

The SAI has additional information about the fund's trustees and is available
without charge, upon request, by calling 1-800-345-2021.

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30

SHARE CLASS INFORMATION

Five classes of shares are authorized for sale by the fund: Investor Class,
Advisor Class, A Class, B Class, and C Class. The total expense ratios of
Advisor Class, A Class, B Class, and C Class shares are higher than that of
Investor Class shares.

INVESTOR CLASS shares are available for purchase in two ways: 1) directly from
American Century without any commissions or other fees; or 2) through certain
financial intermediaries (such as banks, broker-dealers, insurance companies
and investment advisors), which may require payment of a transaction fee to
the financial intermediary.

ADVISOR CLASS shares are sold primarily through institutions such as
investment advisors, banks, broker-dealers, insurance companies, and financial
advisors. Advisor Class shares are subject to a 0.50% annual Rule 12b-1
distribution and service fee. The total expense ratio of Advisor Class shares
is 0.25% higher than the total expense ratio of Investor Class shares.

A CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. A Class shares are sold at their net asset value. If
you purchase A Class shares of the fund directly, a sales charge will apply
when you exchange into the A Class shares of another American Century Advisor
Fund, in accordance with the schedule set forth in that fund's prospectus. A
Class shares may be subject to a contingent deferred sales charge (CDSC).
There is no CDSC on shares acquired through reinvestment of dividends or
capital gains. The prospectus contains information regarding reductions and
waivers of sales charges for A Class shares. The unified management fee for A
Class shares is the same as for Investor Class shares. A Class shares also are
subject to a 0.25% annual Rule 12b-1 distribution and service fee.

B CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. B Class shares redeemed within six years of purchase
are subject to a CDSC that declines from 5.00% during the first year after
purchase to 0.00% after the sixth year. There is no CDSC on shares acquired
through reinvestment of dividends or capital gains. The unified management fee
for B Class shares is the same as for Investor Class shares. B Class shares
also are subject to a 1.00% annual Rule 12b-1 distribution and service fee. B
Class shares automatically convert to A Class shares (with lower expenses)
eight years after their purchase date.

C CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. C Class shares redeemed within 12 months of purchase
are subject to a CDSC of 0.75%. There is no CDSC on shares acquired through
reinvestment of dividends or capital gains. The unified management fee for C
Class shares is the same as for Investor Class shares. C Class shares also are
subject to a Rule 12b-1 distribution and service fee of 0.75%.

All classes of shares represent a pro rata interest in the fund and generally
have the same rights and preferences.

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31

ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION

As required by law, any distributions you receive from an IRA or certain
403(b), 457 and qualified plans [those not eligible for rollover to an IRA or
to another qualified plan] are subject to federal income tax withholding,
unless you elect not to have withholding apply. Tax will be withheld on the
total amount withdrawn even though you may be receiving amounts that are not
subject to withholding, such as nondeductible contributions. In such case,
excess amounts of withholding could occur. You may adjust your withholding
election so that a greater or lesser amount will be withheld.

If you don't want us to withhold on this amount, you must notify us to not
withhold the federal income tax. Even if you plan to roll over the amount you
withdraw to another tax-deferred account, the withholding rate still applies
to the withdrawn amount unless we have received notice not to withhold federal
income tax prior to the withdrawal. You may notify us in writing or in certain
situations by telephone or through other electronic means. You have the right
to revoke your withholding election at any time and any election you make may
remain in effect until revoked by filing a new election.

Remember, even if you elect not to have income tax withheld, you are liable
for paying income tax on the taxable portion of your withdrawal. If you elect
not to have income tax withheld or you don't have enough income tax withheld,
you may be responsible for payment of estimated tax. You may incur penalties
under the estimated tax rules if your withholding and estimated tax payments
are not sufficient.

State tax will be withheld if, at the time of your distribution, your address
is within one of the mandatory withholding states and you have federal income
tax withheld. State taxes will be withheld from your distribution in
accordance with the respective state rules.

PROXY VOTING GUIDELINES

American Century Investment Management, Inc., the fund's investment advisor,
is responsible for exercising the voting rights associated with the securities
purchased and/or held by the fund. A description of the policies and
procedures the advisor uses in fulfilling this responsibility is available
without charge, upon request, by calling 1-800-345-2021. It is also available
on American Century's website at americancentury.com and on the Securities and
Exchange Commission's website at sec.gov. Information regarding how the
investment advisor voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30 is available on the "About Us" page
at americancentury.com. It is also available at sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission (SEC) for the first and third quarters of each fiscal
year on Form N-Q. The fund's Form N-Q is available on the SEC's website at
sec.gov, and may be reviewed and copied at the SEC's Public Reference Room in
Washington, DC. Information on the operation of the Public Reference Room may
be obtained by calling 1-800-SEC-0330. The fund also makes its complete
schedule of portfolio holdings for the most recent quarter of its fiscal year
available on its website at americancentury.com and, upon request, by calling
1-800-345-2021.

------
32

INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as fund performance comparisons. They are not
investment products available for purchase.

The 90-DAY U.S. TREASURY BILL INDEX is derived from secondary market interest
rates as published by the Federal Reserve Bank and includes three-month,
six-month, and one-year instruments.

The LEHMAN BROTHERS U.S. AGENCY INDEX is composed of those securities included
in the Lehman Brothers U.S. Aggregate Index that are public obligations of
U.S. government agencies, quasi-federal corporations, and corporate or foreign
debt guaranteed by the U.S. government.

The LEHMAN BROTHERS U.S. AGGREGATE INDEX represents securities that are
taxable, registered with the Securities and Exchange Commission, and U.S.
dollar- denominated. The index covers the U.S. investment-grade fixed-rate
bond market, with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S.
dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond
market.

The LEHMAN BROTHERS U.S. CORPORATE INDEX is composed of those securities
included in the Lehman Brothers U.S. Aggregate Index that are U.S.
dollar-denominated, investment-grade, fixed-rate, taxable securities sold by
industrial, utility and financial issuers.

The LEHMAN BROTHERS U.S. FIXED-RATE MORTGAGE-BACKED SECURITIES (MBS) INDEX is
the MBS Fixed-Rate component of the Lehman Brothers U.S. Aggregate Index. It
covers the mortgage-backed pass-through securities of the Government National
Mortgage Association (GNMA), the Federal National Mortgage Association (FNMA),
and the Federal Home Loan Mortgage Corporation (FHLMC).

The LEHMAN BROTHERS U.S. TREASURY INDEX is composed of those securities
included in the Lehman Brothers U.S. Aggregate Index that are public
obligations of the U.S. Treasury with a remaining maturity of one year or more.

The LEHMAN BROTHERS U.S. TIPS (TREASURY INFLATION-PROTECTED SECURITIES) INDEX
measures the performance of coupon-bearing fixed-income securities that adjust
for inflation, as measured by the Consumer Price Index for All Urban Consumers.

------
33

NOTES

------
34

NOTES

------
35

NOTES

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36

[back cover]

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE:
1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

INVESTORS USING ADVISORS:
1-800-378-9878

BUSINESS, NOT-FOR-PROFIT,
EMPLOYER-SPONSORED RETIREMENT PLANS:
1-800-345-3533

BANKS AND TRUST COMPANIES, BROKER-DEALERS,
FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

THIS REPORT AND THE STATEMENTS IT CONTAINS ARE SUBMITTED FOR THE GENERAL
INFORMATION OF OUR SHAREHOLDERS. THE REPORT IS NOT AUTHORIZED FOR DISTRIBUTION
TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE
PROSPECTUS.

American Century Investments
P.O. Box 419200
Kansas City, MO 64141-6200

PRSRT STD
U.S. POSTAGE PAID
AMERICAN CENTURY
COMPANIES

American Century Investment Services, Inc., Distributor

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54184S

[front cover]

AMERICAN CENTURY INVESTMENTS
Annual Report March 31, 2007

[photo of spring]

Diversified Bond Fund
High-Yield Fund

[american century investments logo and text logo]

OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century® Diversified Bond and High-Yield funds for the 12 months ended March
31, 2007. We've gathered this information to help you monitor your investment.
Another resource is our website, americancentury.com, where we post company
news, portfolio commentaries, investment views, and other communications about
portfolio strategy, personal finance, government policy, and the markets.

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER AND CO-CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

/s/James E. Stowers III
James E. Stowers III
VICE CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

TABLE OF CONTENTS

Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . 2
U.S. Fixed-Income Total Returns. . . . . . . . . . . . . . . . . . . 2

DIVERSIFIED BOND

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 5
Portfolio at a Glance. . . . . . . . . . . . . . . . . . . . . . . . 5
Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Types of Investments in Portfolio. . . . . . . . . . . . . . . . . . 6
Portfolio Composition by Credit Rating . . . . . . . . . . . . . . . 6
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 7

HIGH-YIELD

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 18
Portfolio at a Glance. . . . . . . . . . . . . . . . . . . . . . . . 18
Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
Top Five Industries. . . . . . . . . . . . . . . . . . . . . . . . . 19
Portfolio Composition by Credit Rating . . . . . . . . . . . . . . . 19
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 20

Shareholder Fee Examples. . . . . . . . . . . . . . . . . . . . . . . 25

FINANCIAL STATEMENTS

Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 28
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 30
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . 31
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 32
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . 40
Report of Independent Registered Public Accounting Firm . . . . . . . 54

OTHER INFORMATION

Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Share Class Information . . . . . . . . . . . . . . . . . . . . . . . 58
Additional Information. . . . . . . . . . . . . . . . . . . . . . . . 60
Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . 61

The opinions expressed in the Market Perspective and each of the Portfolio
Commentaries reflect those of the portfolio management team as of the date of
the report, and do not necessarily represent the opinions of American Century
or any other person in the American Century organization. Any such opinions
are subject to change at any time based upon market or other conditions and
American Century disclaims any responsibility to update such opinions. These
opinions may not be relied upon as investment advice and, because investment
decisions made by American Century funds are based on numerous factors, may
not be relied upon as an indication of trading intent on behalf of any
American Century fund. Security examples are used for representational
purposes only and are not intended as recommendations to purchase or sell
securities. Performance information for comparative indices and securities is
provided to American Century by third party vendors. To the best of American
Century's knowledge, such information is accurate at the time of printing.

MARKET PERSPECTIVE

[photo of cio]

By David MacEwen, Chief Investment Officer, Fixed Income

FED PAUSE TRIGGERED BOND RALLY

TREASURY YIELD CURVE FELL, REMAINED FLAT

CORPORATES AND MBS OUTPACED TREASURYS AND TIPS

U.S. Fixed-Income Total Returns
For the 12 months ended March 31, 2007

TREASURY SECURITIES
3-Month Bill 5.10%
2-Year Note 4.97%
5-Year Note 5.60%
10-Year Note 5.82%
30-Year Bond 5.39%

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2

PERFORMANCE
Diversified Bond

Total Returns as of March 31, 2007
Average Annual Returns
Since Inception
1 year 5 years 10 years Inception Date

INVESTOR CLASS 6.05% 4.65% -- 4.16% 12/3/01

CITIGROUP US BROAD INVESTMENT-GRADE BOND
INDEX(1) 6.60% 5.40% 6.48% 4.95%(2) --

LEHMAN BROTHERS U.S. AGGREGATE INDEX(3) 6.59% 5.35% 6.46% 4.90%(2) --

Institutional Class 6.26% 4.86% 5.89% 5.72% 4/1/93

Advisor Class 5.77% 4.38% -- 3.90% 12/3/01

A Class 1/31/03
No sales charge* 5.79% -- -- 3.30%
With sales charge* 0.99% -- -- 2.16%

B Class 1/31/03
No sales charge* 5.00% -- -- 2.54%
With sales charge* 1.00% -- -- 2.09%

C Class 4.99% -- -- 2.59% 1/31/03

R Class 5.52% -- -- 3.06% 7/29/05

*Sales charges include initial sales charges and contingent deferred sales
charges (CDSCs), as applicable. A Class shares have a 4.50% maximum initial
sales charge for fixed income funds and may be subject to a maximum CDSC of
1.00%. B Class shares redeemed within six years of purchase are subject to a
CDSC that declines from 5.00% during the first year after purchase to 0.00%
the sixth year after purchase. C Class shares redeemed within 12 months of
purchase are subject to a maximum CDSC of 1.00%. Please see the Share Class
Information pages for more about the applicable sales charges for each share
class. The SEC requires that mutual funds provide performance information net
of maximum sales charges in all cases where charges could be applied.

Diversified Bond acquired all of the net assets of the American Century
Intermediate-Term Bond Fund, the American Century Bond Fund, and the American
Century Premium Bond Fund on December 3, 2001, pursuant to a plan of
reorganization approved by the acquired funds' shareholders on November 16,
2001. Financial information prior to December 3, 2001 is that of American
Century Premium Bond Fund and is used in calculating the performance of
Diversified Bond.

(1) In September of 2006, the fund's benchmark changed from the Lehman
Brothers U.S. Aggregate Index to the Citigroup US Broad Investment-Grade Bond
Index. The fund's investment advisor believes this index better represents the
fund's portfolio composition.

(2) Since 11/30/01, the date nearest the Investor Class's inception for which
data are available.

(3) Data provided by Lipper Inc. -- A Reuters Company. © 2007 Reuters. All
rights reserved. Any copying, republication or redistribution of Lipper
content, including by caching, framing or similar means, is expressly
prohibited without the prior written consent of Lipper. Lipper shall not be
liable for any errors or delays in the content, or for any actions taken in
reliance thereon.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the
indices are provided for comparison. The fund's total returns include
operating expenses (such as transaction costs and management fees) that reduce
returns, while the total returns of the indices do not.

------
3

Diversified Bond

Growth of $10,000 Over Life of Class

$10,000 investment made December 3, 2001

One-Year Returns Over Life of Class
Periods ended March 31
                                                 2002*       2003       2004      2005       2006      2007

Investor Class                                  -0.99%      9.93%      4.92%      0.63%     1.97%     6.05%

Citigroup US Broad Investment-Grade Bond
Index                                           -0.52%      11.56%     5.52%      1.23%     2.40%     6.60%

Lehman Brothers U.S. Aggregate Index            -0.54%      11.69%     5.40%      1.15%     2.26%     6.59%

*From 12/3/01, the Investor Class's inception date. Index data from 11/30/01,
the date nearest the Investor Class's inception for which data are available.
Not annualized.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the
indices are provided for comparison. The fund's total returns include
operating expenses (such as transaction costs and management fees) that reduce
returns, while the total returns of the indices do not.


------
4


PORTFOLIO COMMENTARY
Diversified Bond

Portfolio Managers: Dave MacEwen, Bob Gahagan, Jim Keegan, Jeff Houston, Hando
Aguilar, Brian Howell, John Walsh, and Dan Shiffman

PERFORMANCE SUMMARY

Diversified Bond returned 6.05%* for the 12 months ended March 31, 2007. By
comparison, two broad indices representing the taxable investment-grade U.S.
bond market -- the Citigroup US Broad Investment-Grade (BIG) Bond Index and
the Lehman Brothers U.S. Aggregate Index -- returned 6.60% and 6.59%,
respectively. The portfolio's results reflected fund operating expenses, while
the indices do not have expenses.

On an absolute basis, the fund and its comparative indices enjoyed the best
fiscal-year returns since the 12 months ended March 31, 2003. The latest
12-month returns were also well above the annual averages for the fund and the
indices since the fund's inception on December 3, 2001. The Federal Reserve's
(the Fed's) interest-rate pause and a strong bond rally that began in the
third quarter of 2006 boosted all sectors of the taxable investment-grade U.S.
bond market, which helped produce the favorable fiscal-year results. On a
relative basis, the portfolio's sector allocation was the largest positive
contributor to its performance versus the comparative indices.

SECTOR COMPOSITION OF THE PORTFOLIO AND THE INDICES

The market represented by the Citigroup BIG and the Lehman Aggregate consists
primarily of three bond sectors: fixed-rate mortgage-backed securities (MBS),
Treasury securities, and corporate bonds. MBS are part of a broader
"securitized" sector that includes asset-backed securities (ABS), which are
backed by payments from credit card debt, auto loans, and home equity lines of
credit; and commercial mortgage-backed securities (CMBS). This sector
represents over 40% of the taxable investment-grade market. Treasury and
corporate securities, by contrast, each represent approximately 20-25% of the
market, depending on what source you use and how you define the sectors.
Diversified Bond's market exposure is based on the Citigroup BIG.

Throughout the reporting period, we tended to maintain an overweight position
in the securitized sector because we anticipated that it would have higher
excess returns than the Treasury sector and less event risk than the corporate
sector. Mortgage-backed securities were among the top performers.

*All fund returns referenced in this commentary are for Investor Class shares.

Portfolio at a Glance
                                                As of           As of
                                               3/31/07         3/31/06

Average Duration (effective)                  4.6 years       4.7 years
Average Life                                  6.9 years       7.1 years

Yields as of March 31, 2007
30-day SEC Yield

Investor Class                                                       4.52%
Institutional Class                                                  4.72%
Advisor Class                                                        4.29%
A Class                                                              4.08%
B Class                                                              3.52%
C Class                                                              3.51%
R Class                                                              4.02%


------
5


Diversified Bond

PORTFOLIO POSITIONING

Our strategy to hold overweight positions in "spread product" (non-Treasury
securities such as corporates, MBS, ABS, and CMBS) enhanced performance as
spreads tightened to near-historic levels. Specifically, the fund's holdings
in collateralized mortgage obligations and conventional mortgage-backed
securities (such as Fannie Maes and Freddie Macs) benefited results.

Throughout the period, we maintained an underweight corporate position as a
means of protecting the fund from so-called event and "idiosyncratic" risks
(such as leveraged buyouts, share buybacks, and special dividends). Although
corporates performed well, the portfolio benefited from our reallocation of
those assets into CMBS, which also outperformed.

Our overweight position in Treasury Inflation-Protected Securities (TIPS) was
a slight drag on overall results. With long-term inflation appearing contained
for much of the reporting period, TIPS underperformed the conventional
Treasury market. However, when energy prices surged in early 2007, TIPS
offered stronger results than almost any other sector of the bond market.

Until the beginning of 2007, the portfolio benefited little from a yield
curve-steepening bias that we put in place using two-year and 10-year Treasury
futures. For most of the reporting period, the Treasury yield curve was either
flat or inverted (meaning that yields on short-term Treasurys were higher than
those of longer-term Treasurys). It wasn't until the first quarter of 2007
that the curve steepened 17 basis points between 2- and 10-year maturities (a
basis point is 0.01 percentage point).

STARTING POINT FOR NEXT REPORTING PERIOD

"We have begun to reduce the portfolio's exposure to spread product," says
lead portfolio manager, Dave MacEwen. "Spreads are historically tight, and we
believe that risk has been mispriced in the market." Given the apparent
slowing economy, low risk premiums and tight valuations, we plan to keep our
underweight position in corporates. As of March 31, 2007, we continued to see
potential in our yield-curve positioning and sector allocation, and we expect
to maintain our TIPS exposure as long as core inflation stays elevated above
the Fed's 1-2% comfort zone.

Types of Investments in Portfolio
                                                       % of fund         % of fund
                                                      investments       investments
                                                         as of             as of
                                                        3/31/07           9/30/06

Mortgage-Backed Securities                               24.0%             25.6%
U.S. Treasury Securities                                 16.1%             10.6%
CMOs                                                     11.7%             11.8%
Corporate Bonds                                          10.6%             13.2%
U.S. Government Agency Securities                        10.6%             14.1%
Asset-Backed Securities                                  4.7%               9.1%
Sovereign Governments & Agencies                         1.6%               0.4%
Municipal Securities                                     0.1%               1.3%
Temporary Cash Investments                               1.1%               4.7%
Temporary Cash Investments --
Securities Lending Collateral                            19.5%              9.2%

Portfolio Composition by Credit Rating
                                                       % of fund         % of fund
                                                      investments       investments
                                                         as of             as of
                                                        3/31/07           9/30/06

AAA                                                       85%               82%
AA                                                        3%                 3%
A                                                         5%                 7%
BBB                                                       7%                 8%


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6


SCHEDULE OF INVESTMENTS
Diversified Bond

MARCH 31, 2007

Principal Amount                                                                                        Value

U.S. Government Agency Mortgage-Backed Securities(1) -- 34.8%

              $ 15,270  FHLMC, 6.50%, 2/1/09                                                          $15,454
             1,838,633  FHLMC, 5.00%, 10/1/10(2)                                                    1,838,743
                21,742  FHLMC, 6.50%, 12/1/12                                                          22,270
               215,812  FHLMC, 6.00%, 1/1/13                                                          219,923
                38,162  FHLMC, 7.00%, 11/1/13                                                          39,331
                64,549  FHLMC, 7.00%, 6/1/14                                                           66,651
               212,441  FHLMC, 6.50%, 6/1/16                                                          217,801
               124,097  FHLMC, 6.50%, 6/1/16                                                          127,228
             2,706,370  FHLMC, 5.00%, 11/1/17(2)                                                    2,678,072
             4,445,567  FHLMC, 4.50%, 1/1/19(2)                                                     4,317,107
            11,247,587  FHLMC, 5.00%, 1/1/21(2)                                                    11,100,626
             8,474,695  FHLMC, 5.00%, 4/1/21(2)                                                     8,363,964
                22,908  FHLMC, 7.00%, 9/1/27                                                           23,835
                37,568  FHLMC, 6.50%, 1/1/28                                                           38,764
                 5,651  FHLMC, 7.00%, 2/1/28                                                            5,880
               216,587  FHLMC, 6.50%, 3/1/29                                                          223,473
               140,801  FHLMC, 6.50%, 6/1/29                                                          145,194
                21,913  FHLMC, 7.00%, 8/1/29                                                           22,811
                68,433  FHLMC, 7.50%, 8/1/29                                                           71,725
               147,439  FHLMC, 6.50%, 5/1/31                                                          151,851
                 2,867  FHLMC, 6.50%, 5/1/31                                                            2,952
                 1,986  FHLMC, 6.50%, 6/1/31                                                            2,045
                 3,706  FHLMC, 6.50%, 6/1/31                                                            3,817
                 9,171  FHLMC, 6.50%, 6/1/31                                                            9,445
                80,724  FHLMC, 6.50%, 6/1/31                                                           83,139
                10,956  FHLMC, 6.50%, 6/1/31                                                           11,284
                 4,105  FHLMC, 6.50%, 6/1/31                                                            4,228
             2,692,777  FHLMC, 5.50%, 12/1/33(2)                                                    2,671,670
            38,953,000  FNMA, 5.50%, settlement date 4/12/07(3)                                    38,551,318
            60,808,623  FNMA, 6.00%, settlement date 4/12/07(3)                                    61,264,689
            33,005,000  FNMA, 6.50%, settlement date 4/12/07(3)                                    33,675,399
                38,995  FNMA, 6.00%, 2/1/09                                                            39,247
                27,241  FNMA, 6.00%, 5/1/13                                                            27,759
                19,399  FNMA, 6.00%, 5/1/13                                                            19,741
                81,350  FNMA, 6.00%, 7/1/13                                                            82,899
               114,978  FNMA, 6.00%, 12/1/13                                                          117,168
                97,400  FNMA, 6.00%, 1/1/14                                                            99,255
               166,904  FNMA, 6.00%, 2/1/14                                                           170,083
               175,871  FNMA, 6.00%, 4/1/14                                                           179,222
             1,248,631  FNMA, 5.50%, 12/1/16(2)                                                     1,256,250
               657,970  FNMA, 5.50%, 12/1/16(2)                                                       661,985

Principal Amount                                                                                        Value

           $ 4,478,580  FNMA, 4.50%, 5/1/19(2)                                                    $ 4,343,063
               118,894  FNMA, 6.50%, 1/1/26                                                           122,047
                14,307  FNMA, 7.00%, 12/1/27                                                           14,909
                 6,472  FNMA, 6.50%, 1/1/28                                                             6,679
                 6,226  FNMA, 7.00%, 1/1/28                                                             6,488
                34,321  FNMA, 7.50%, 4/1/28                                                            36,011
               114,336  FNMA, 7.00%, 5/1/28                                                           119,202
                 7,002  FNMA, 7.00%, 6/1/28                                                             7,300
                28,780  FNMA, 6.50%, 1/1/29                                                            29,703
                75,222  FNMA, 6.50%, 4/1/29                                                            77,590
                42,297  FNMA, 7.00%, 7/1/29                                                            44,097
                34,324  FNMA, 7.00%, 7/1/29                                                            35,784
               107,134  FNMA, 7.50%, 7/1/29                                                           112,334
                10,738  FNMA, 7.00%, 5/1/30                                                            11,221
               145,739  FNMA, 7.50%, 8/1/30                                                           152,578
                59,800  FNMA, 7.50%, 9/1/30                                                            62,607
               301,412  FNMA, 7.00%, 9/1/31                                                           314,214
               166,523  FNMA, 6.50%, 1/1/32                                                           171,576
             1,534,251  FNMA, 7.00%, 6/1/32(2)                                                      1,599,288
               652,774  FNMA, 6.50%, 8/1/32(2)                                                        672,581
             3,561,027  FNMA, 5.50%, 6/1/33(2)                                                      3,532,959
            17,569,584  FNMA, 5.50%, 7/1/33(2)                                                     17,431,101
             2,989,488  FNMA, 5.50%, 8/1/33(2)                                                      2,965,925
             3,833,607  FNMA, 5.50%, 9/1/33(2)                                                      3,803,391
            24,530,210  FNMA, 5.00%, 11/1/33(2)                                                    23,770,093
             7,888,780  FNMA, 5.50%, 1/1/34(2)                                                      7,826,601
            15,250,000  FNMA, 5.00%, 8/1/35                                                        14,753,445
            16,134,927  FNMA, 4.50%, 9/1/35(2)                                                     15,175,690
            11,132,028  FNMA, 5.00%, 2/1/36(2)                                                     10,769,558
                44,205  GNMA, 7.50%, 8/20/17                                                           45,706
                64,326  GNMA, 7.00%, 11/15/22                                                          67,187
                58,230  GNMA, 8.75%, 3/15/25                                                           62,766
                15,345  GNMA, 7.00%, 4/20/26                                                           16,010
                30,567  GNMA, 7.50%, 8/15/26                                                           31,952
                14,685  GNMA, 8.00%, 8/15/26                                                           15,591
                 2,392  GNMA, 7.50%, 4/15/27                                                            2,501
                34,641  GNMA, 7.50%, 5/15/27                                                           36,210
                22,103  GNMA, 8.00%, 6/15/27                                                           23,466
                 2,345  GNMA, 7.50%, 11/15/27                                                           2,451
                10,786  GNMA, 7.00%, 2/15/28                                                           11,287
                27,268  GNMA, 7.50%, 2/15/28                                                           28,496
                16,187  GNMA, 6.50%, 3/15/28                                                           16,675
                23,107  GNMA, 7.00%, 4/15/28                                                           24,179
                54,063  GNMA, 6.50%, 5/15/28                                                           55,693
                13,766  GNMA, 6.50%, 5/15/28                                                           14,181
                 3,059  GNMA, 6.50%, 5/15/28                                                            3,151


------
7


Diversified Bond

Principal Amount                                                                                        Value

              $ 18,226  GNMA, 7.00%, 12/15/28                                                         $19,072
                 6,269  GNMA, 8.00%, 12/15/29                                                           6,660
               154,657  GNMA, 7.00%, 5/15/31                                                          161,772
                                                                                                -------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Cost $277,807,823)                                                                               277,237,339
                                                                                                -------------

U.S. Treasury Securities -- 23.2%

             2,180,000  U.S. Treasury Bonds, 8.125%, 8/15/21(2)(4)                                  2,901,785
            11,817,000  U.S. Treasury Bonds, 7.125%, 2/15/23(4)                                    14,674,315
            17,356,000  U.S. Treasury Bonds, 6.125%, 11/15/27(2)(4)                                20,043,472
             2,874,000  U.S. Treasury Bonds, 6.25%, 5/15/30(2)(4)                                   3,405,917
             5,765,000  U.S. Treasury Bonds, 4.50%, 2/15/36(2)(4)                                   5,437,121
            21,234,695  U.S. Treasury Inflation Indexed Notes, 2.375%, 1/15/17(2)(4)               21,555,721
            24,043,000  U.S. Treasury Notes, 4.625%, 10/31/11(2)(4)                                24,129,411
            66,940,000  U.S. Treasury Notes, 4.625%, 2/29/12(2)(4)                                 67,209,367
            11,500,000  U.S. Treasury Notes, 4.25%, 8/15/14(2)(4)                                  11,245,298
             8,853,000  U.S. Treasury Notes, 4.875%, 8/15/16(2)(4)                                  8,996,171
             5,800,000  U.S. Treasury Notes, 4.625%, 11/15/16(2)(4)                                 5,784,821
                                                                                                -------------
TOTAL U.S. TREASURY SECURITIES
(Cost $184,895,224)                                                                               185,383,399
                                                                                                -------------
Collateralized Mortgage Obligations(1) -- 16.9%

            19,513,835  Banc of America Commercial Mortgage Inc. STRIPS- COUPON, Series
                        2004-1, Class XP, VRN, 0.80%, 4/1/07                                          407,884
             6,766,366  Banc of America Commercial Mortgage Inc., Series 2000-2, Class
                        B, 7.38%, 9/15/32(2)                                                        7,201,951
             7,500,000  Banc of America Commercial Mortgage Inc., Series 2004-2, Class
                        A3 SEQ, 4.05%, 11/10/38(2)                                                  7,275,585
            13,300,000  Banc of America Commercial Mortgage Inc., Series 2006-6, Class
                        A3 SEQ, 5.37%, 12/10/16(2)                                                 13,348,093
             2,510,227  Banc of America Large Loan, Series 2005 MIB1, Class A1, VRN,
                        5.47%, 4/15/07, resets monthly off the 1-month LIBOR plus 0.15%
                        with no caps, (Acquired 11/18/05, Cost $2,510,227)(2)(5)                    2,511,867

Principal Amount                                                                                        Value

           $29,182,989  Bear Stearns Commercial Mortgage Securities Trust STRIPS -
                        COUPON, Series 2004 T16, Class X2, VRN, 0.93%, 4/1/07(2)                     $875,094
             4,650,000  Bear Stearns Commercial Mortgage Securities Trust, Series 2006
                        BBA7, Class A1, VRN, 5.43%, 4/16/07, resets monthly off the
                        1-month LIBOR plus 0.11% with no caps (Acquired 6/5/06, Cost
                        $4,650,000)(2)(5)                                                           4,652,888
            16,273,882  Commercial Mortgage Acceptance Corp. STRIPS- COUPON, Series
                        1998 C2, Class X, VRN, 1.11%, 4/1/07                                          396,447
               504,507  Commercial Mortgage Pass-Through Certificates, Series 2005
                        F10A, Class A1, VRN, 5.42%, 4/15/07, resets monthly off the
                        1-month LIBOR plus 0.10% with no caps (Acquired 3/18/05, Cost
                        $504,507)(2)(5)                                                               504,826
               661,177  Commercial Mortgage Pass-Through Certificates, Series 2005
                        FL11, Class A1, VRN, 5.47%, 4/16/07, resets monthly off the
                        1-month LIBOR plus 0.15% with no caps, (Acquired 11/18/05, Cost
                        $661,177)(2)(5)                                                               661,692
             6,242,621  FHLMC, Series 2567, Class OD, 5.00%, 8/15/15(2)                             6,213,817
             5,079,191  FHLMC, Series 2900, Class PA, 4.50%, 3/15/14(2)                             5,042,610
             2,603,076  FHLMC, Series 2937, Class KA, 4.50%, 12/15/14(2)                            2,583,787
                33,982  FNMA, Series 1989-35, Class G SEQ, 9.50%, 7/25/19                              36,316
             1,085,000  FNMA, Series 2003-92, Class PD, 4.50%, 3/25/17(2)                           1,064,046
             9,234,340  FNMA, Series 2005-63, Class HA SEQ, 5.00%, 4/25/23(2)                       9,165,175
             6,804,000  GMAC Commercial Mortgage Securities, Inc., Series 2005 C1,
                        Class A2 SEQ, 4.47%, 5/10/43(2)                                             6,693,945
             3,028,125  Greenwich Capital Commercial Funding Corp., Series 2006 FL4A,
                        Class A1, VRN, 5.41%, 4/5/07, resets monthly off the 1-month
                        LIBOR plus 0.09% with no caps (Acquired 12/14/06, Cost
                        $3,028,125)(2)(5)                                                           3,030,005


------
8


Diversified Bond

Principal Amount                                                                                        Value

           $ 7,000,000  LB-UBS Commercial Mortgage Trust, Series 2003 C5, Class A2 SEQ,
                        3.48%, 7/15/27(2)                                                         $ 6,856,185
            19,940,000  LB-UBS Commercial Mortgage Trust, Series 2005 C2, Class A2 SEQ,
                        4.82%, 4/15/30(2)                                                          19,815,515
             5,729,000  LB-UBS Commercial Mortgage Trust, Series 2005 C3, Class A3 SEQ,
                        4.65%, 7/30/30(2)                                                           5,623,667
               950,000  Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998
                        C1, Class C, 6.68%, 2/18/30(2)                                                957,811
               295,905  Lehman Brothers Floating Rate Commercial Mortgage Trust, Series
                        2005 LLFA, Class A1, VRN, 5.42%, 4/15/07, resets monthly off
                        the 1-month LIBOR plus 0.10% with no caps (Acquired 7/25/05,
                        Cost $295,906)(5)                                                             296,089
             2,277,824  Lehman Brothers Floating Rate Commercial Mortgage Trust, Series
                        2006 LLFA, Class A1, VRN, 5.40%, 4/16/07, resets monthly off
                        the 1-month LIBOR plus 0.08% with no caps (Acquired 8/7/06 -
                        9/25/06, Cost $2,277,700)(2)(5)                                             2,279,239
               196,226  MASTR Alternative Loans Trust, Series 2003-8, Class 4A1, 7.00%,
                        12/25/33                                                                      203,301
             2,721,913  Merrill Lynch Floating Trust, Series 2006-1, Class A1, VRN,
                        5.39%, 4/15/07, resets monthly off the 1-month LIBOR plus 0.07%
                        with no caps (Acquired 10/31/06, Cost $2,721,913)(2)(5)                     2,723,598
            14,500,000  Morgan Stanley Capital I STRIPS - COUPON, Series 2007 HQ11,
                        Class A2, 5.36%, 2/20/44(2)                                                14,622,061
               390,953  Morgan Stanley Capital I, Series 2006 XLF, Class A1, VRN,
                        5.41%, 4/16/07, resets monthly off the 1-month LIBOR plus 0.09%
                        with no caps (Acquired 7/28/06, Cost $390,953)(5)                             391,207
             2,995,708  Thornburg Mortgage Securities Trust, Series 2006-5, Class A1,
                        VRN, 5.44%, 4/25/07, resets monthly off the 1-month LIBOR plus
                        0.12% with no caps(2)                                                       2,992,937

Principal Amount                                                                                        Value

           $ 2,275,000  Washington Mutual, Inc., Series 2005 AR4, Class A3, 4.59%,
                        4/25/35(2)                                                                $ 2,241,187
             4,497,000  Washington Mutual, Inc., Series 2005 AR4, Class A4B, VRN,
                        4.68%, 4/25/35(2)                                                           4,440,162
                                                                                                -------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $135,151,074)                                                                               135,108,987
                                                                                                -------------

Corporate Bonds -- 15.3%

AEROSPACE & DEFENSE -- 0.8%
             1,700,000  Honeywell International Inc., 5.30%, 3/15/17(2)                             1,683,771
             1,206,000  Lockheed Martin Corp., 6.15%, 9/1/36(2)                                     1,255,551
             1,683,000  United Technologies Corp., 4.375%, 5/1/10(2)(4)                             1,654,142
             1,450,000  United Technologies Corp., 6.05%, 6/1/36(2)                                 1,490,880
                                                                                                -------------
                                                                                                    6,084,344
                                                                                                -------------
BEVERAGES -- 0.4%
             1,343,000  Miller Brewing Co., 4.25%, 8/15/08 (Acquired 8/6/03, Cost
                        $1,338,394)(2)(5)                                                           1,323,038
             2,090,000  SABMiller plc, 6.20%, 7/1/11 (Acquired 6/27/06, Cost
                        $2,088,516)(4)(5)                                                           2,160,010
                                                                                                -------------
                                                                                                    3,483,048
                                                                                                -------------
BIOTECHNOLOGY -- 0.2%
             1,459,000  Genentech, Inc., 4.75%, 7/15/15(2)                                          1,405,191
                                                                                                -------------
BUILDING PRODUCTS(6)
               350,000  Masco Corp., 5.85%, 3/15/17                                                   344,937
                                                                                                -------------
CAPITAL MARKETS -- 0.8%
             1,567,000  Lehman Brothers Holdings Inc., 5.00%, 1/14/11(2)                            1,555,127
             1,056,000  Merrill Lynch & Co., Inc., 4.25%, 2/8/10(2)(4)                              1,031,001
             1,943,000  Merrill Lynch & Co., Inc., 4.79%, 8/4/10(2)                                 1,924,913
               895,000  Morgan Stanley, 4.00%, 1/15/10(2)                                             870,454
               806,000  Morgan Stanley, 4.25%, 5/15/10(2)                                             787,976
                                                                                                -------------
                                                                                                    6,169,471
                                                                                                -------------
COMMERCIAL BANKS -- 1.3%
             1,460,000  Capital One Financial Corp., 5.70%, 9/15/11(2)                              1,476,234
             1,432,000  PNC Bank N.A., 4.875%, 9/21/17(2)                                           1,368,035
             1,047,000  PNC Funding Corp., 5.125%, 12/14/10(2)                                      1,049,553


------
9


Diversified Bond

Principal Amount                                                                                        Value

           $ 1,191,000  Wachovia Bank N.A., 4.80%, 11/1/14(2)                                     $ 1,147,974
             1,862,000  Wachovia Bank N.A., 4.875%, 2/1/15(2)                                       1,798,521
             1,525,000  Wachovia Corp., 5.625%, 10/15/16(2)                                         1,534,415
             1,647,000  Wells Fargo & Co., 4.625%, 8/9/10(2)                                        1,629,861
                                                                                                -------------
                                                                                                   10,004,593
                                                                                                -------------
CONSUMER FINANCE -- 0.1%
               806,000  American Express Centurion Bank, 4.375%, 7/30/09(2)                           796,515
                                                                                                -------------
DIVERSIFIED FINANCIAL SERVICES -- 1.8%
             2,641,000  Bank of America Corp., 4.375%, 12/1/10(2)(4)                                2,585,104
             1,340,000  Bank of America N.A., 5.30%, 3/15/17(2)                                     1,320,445
             1,160,000  Bank of America N.A., 6.00%, 10/15/36(2)                                    1,165,581
             2,306,000  Citigroup Inc., 5.00%, 9/15/14(2)                                           2,254,708
               890,000  Citigroup Inc., 6.125%, 8/25/36(2)                                            907,072
             1,083,000  General Electric Capital Corp., 6.125%, 2/22/11(2)                          1,123,336
             2,193,000  HSBC Finance Corp., 4.75%, 4/15/10(2)(4)                                    2,171,399
             1,647,000  John Deere Capital Corp.,4.50%, 8/25/08(2)                                  1,631,395
             1,388,000  JPMorgan Chase & Co., 6.75%, 2/1/11(2)                                      1,460,856
                                                                                                -------------
                                                                                                   14,619,896
                                                                                                -------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0%
             1,647,000  AT&T Corp., 7.30%, 11/15/11(2)                                              1,789,666
             1,150,000  AT&T Inc., 6.80%, 5/15/36(2)(4)                                             1,230,024
               246,000  BellSouth Corp., 6.875%, 10/15/31                                             261,751
               698,000  Embarq Corp., 7.08%, 6/1/16(2)                                                712,835
               590,000  Sprint Capital Corp., 6.875%, 11/15/28(2)                                     589,215
             1,763,000  Telecom Italia Capital SA, 4.00%, 1/15/10(2)                                1,704,393
               970,000  Verizon Communications Inc., 5.55%, 2/15/16(2)                                972,282
               690,000  Verizon Communications Inc., 6.25%, 4/1/37(2)                                 685,736
               320,000  Verizon Global Funding Corp., 5.85%, 9/15/35                                  303,632
                                                                                                -------------
                                                                                                    8,249,534
                                                                                                -------------

Principal Amount                                                                                        Value

ELECTRIC UTILITIES -- 0.8%
           $ 1,585,000  Carolina Power & Light Co., 5.15%, 4/1/15(2)                              $ 1,559,041
               770,000  Carolina Power & Light Co., 5.25%, 12/15/15(2)                                760,690
             1,280,000  Cleveland Electric Illuminating Co. (The), 5.70%, 4/1/17(2)                 1,274,698
               850,000  Florida Power Corp., 4.50%, 6/1/10(2)                                         835,025
             1,101,000  Southern California Edison Co., 5.625%, 2/1/36(2)                           1,070,170
               600,000  Toledo Edison Co., 6.15%, 5/15/37(2)                                          589,777
                                                                                                -------------
                                                                                                    6,089,401
                                                                                                -------------
FOOD & STAPLES RETAILING -- 0.4%
             1,432,000  Wal-Mart Stores, Inc., 4.125%, 7/1/10(2)                                    1,394,575
               246,000  Wal-Mart Stores, Inc., 7.55%, 2/15/30(4)                                      296,988
             1,495,000  Wal-Mart Stores, Inc., 5.25%, 9/1/35(2)                                     1,362,740
                                                                                                -------------
                                                                                                    3,054,303
                                                                                                -------------
FOOD PRODUCTS -- 0.3%
             2,211,000  Cadbury Schweppes U.S. Finance LLC, 3.875%, 10/1/08 (Acquired
                        6/14/05 - 11/28/05, Cost $2,162,585)(2)(5)                                  2,165,372
                                                                                                -------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.3%
             1,531,000  Baxter Finco BV, 4.75%, 10/15/10(2)                                         1,513,421
               880,000  Boston Scientific Corp., 6.40%, 6/15/16(2)                                    883,836
                                                                                                -------------
                                                                                                    2,397,257
                                                                                                -------------
HEALTH CARE PROVIDERS & SERVICES -- 0.2%
             1,826,000  Laboratory Corp. of America Holdings, 5.625%, 12/15/15(2)                   1,808,531
                                                                                                -------------
HOTELS, RESTAURANTS & LEISURE -- 0.2%
             1,390,000  Royal Caribbean Cruises Ltd., 7.00%, 6/15/13(2)                             1,443,256
                                                                                                -------------
HOUSEHOLD PRODUCTS -- 0.1%
             1,030,000  Procter & Gamble Co. (The), 5.55%, 3/5/37(2)                                1,005,718
                                                                                                -------------
INDUSTRIAL CONGLOMERATES -- 0.5%
             3,858,000  General Electric Co., 5.00%, 2/1/13(2)                                      3,833,563
                                                                                                -------------
INSURANCE -- 0.5%
             1,790,000  Allstate Financial Global Funding, 4.25%, 9/10/08 (Acquired
                        9/3/03, Cost $1,786,492)(2)(5)                                              1,766,231


------
10


Diversified Bond

Principal Amount                                                                                        Value

           $ 1,350,000  Hartford Financial Services Group Inc. (The), 5.375%, 3/15/17             $ 1,336,248
               850,000  Prudential Financial, Inc., 5.40%, 6/13/35(2)                                 789,126
                                                                                                -------------
                                                                                                    3,891,605
                                                                                                -------------
MEDIA -- 0.7%
             1,560,000  Comcast Corp., 5.90%, 3/15/16(2)(4)                                         1,589,779
             2,202,000  Cox Communications, Inc., 7.125%, 10/1/12(2)                                2,376,643
               895,000  News America Holdings, 7.75%, 1/20/24(2)                                    1,013,689
               630,000  Time Warner Inc., 5.50%, 11/15/11(2)                                          635,724
               246,000  Time Warner Inc., 7.625%, 4/15/31                                             277,267
                                                                                                -------------
                                                                                                    5,893,102
                                                                                                -------------
METALS & MINING -- 0.5%
               878,000  Alcan Inc., 4.50%, 5/15/13(2)                                                 832,770
               960,000  Alcoa Inc., 5.55%, 2/1/17(2)                                                  955,237
             1,475,000  Xstrata Finance Canada Ltd., 5.50%, 11/16/11 (Acquired 11/8/06
                        - 11/17/06, Cost $1,476,110)(2)(5)                                          1,484,804
               630,000  Xstrata Finance Canada Ltd., 5.80%, 11/15/16 (Acquired 11/8/06,
                        Cost $628,444)(2)(5)                                                          633,874
                                                                                                -------------
                                                                                                    3,906,685
                                                                                                -------------
MULTI-UTILITIES -- 1.0%
             1,690,000  CenterPoint Energy Resources Corp., 6.50%, 2/1/08(2)                        1,704,055
               950,000  CenterPoint Energy Resources Corp., 6.25%, 2/1/37(2)                          946,584
             1,450,000  Consolidated Edison Co. of New York, Inc., 5.50%, 9/15/16(2)                1,466,453
             2,059,000  Dominion Resources Inc., 4.125%, 2/15/08(2)                                 2,037,987
               824,000  Dominion Resources Inc., 4.75%, 12/15/10                                      813,000
               859,000  Pacific Gas & Electric Co., 6.05%, 3/1/34(2)                                  863,956
               520,000  Pacific Gas & Electric Co., 5.80%, 3/1/37(2)                                  503,069
                                                                                                -------------
                                                                                                    8,335,104
                                                                                                -------------
MULTILINE RETAIL -- 0.1%
               560,000  Federated Retail Holdings, Inc., 5.35%, 3/15/12(2)                            559,134
               537,000  May Department Stores Co. (The), 3.95%, 7/15/07(2)                            534,302
                                                                                                -------------
                                                                                                    1,093,436
                                                                                                -------------

Principal Amount                                                                                        Value

OIL, GAS & CONSUMABLE FUELS -- 1.4%
           $ 1,040,000  Anadarko Petroleum Corp., 5.95%, 9/15/16(2)                               $ 1,044,056
               320,000  Apache Corp., 5.625%, 1/15/17                                                 324,302
               560,000  Canadian Natural Resources Ltd., 5.70%, 5/15/17(2)(4)                         558,472
               246,000  Conoco Inc., 6.95%, 4/15/29                                                   279,761
               826,000  Devon Financing Corp., ULC, 7.875%, 9/30/31(2)                                982,024
             2,507,000  Enterprise Products Operating L.P., 4.95%, 6/1/10(2)                        2,487,185
               833,000  Enterprise Products Operating L.P., 6.65%, 10/15/34(2)                        855,939
             1,956,000  Premcor Refining Group Inc. (The), 6.125%, 5/1/11(2)                        2,020,024
               780,000  Tesoro Corp., 6.25%, 11/1/12(2)                                               794,625
             1,092,000  XTO Energy Inc., 5.30%, 6/30/15(2)                                          1,066,647
               868,000  XTO Energy Inc., 6.10%, 4/1/36(2)                                             843,314
                                                                                                -------------
                                                                                                   11,256,349
                                                                                                -------------
PHARMACEUTICALS -- 0.7%
             1,441,000  Abbott Laboratories, 5.875%, 5/15/16(2)                                     1,493,334
             1,600,000  Baxter International Inc., 5.90%, 9/1/16(2)                                 1,654,142
               716,000  Schering-Plough Corp., 5.55%, 12/1/13(2)                                      730,503
             1,700,000  Wyeth, 5.95%, 4/1/37(2)                                                     1,680,037
                                                                                                -------------
                                                                                                    5,558,016
                                                                                                -------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
             1,560,000  ProLogis, 5.625%, 11/15/16(2)                                               1,574,700
                                                                                                -------------
SOFTWARE -- 0.3%
               810,000  Intuit Inc., 5.75%, 3/15/17                                                   800,615
             1,741,000  Oracle Corp., 5.00%, 1/15/11(2)                                             1,736,073
                                                                                                -------------
                                                                                                    2,536,688
                                                                                                -------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
             2,417,000  Nextel Communications Inc., 5.95%, 3/15/14(2)                               2,381,201
             2,250,000  Vodafone Group plc, 5.625%, 2/27/17(2)(4)                                   2,234,709
               960,000  Vodafone Group plc, 6.15%, 2/27/37(2)                                         929,864
                                                                                                -------------
                                                                                                    5,545,774
                                                                                                -------------
TOTAL CORPORATE BONDS
(Cost $122,827,779)                                                                               122,546,389
                                                                                                -------------


------
11


Diversified Bond

Principal Amount                                                                                        Value

U.S. Government Agency Securities -- 15.3%

           $ 9,500,000  FHLB, 4.875%, 8/22/07(2)                                                  $ 9,486,662
             7,788,000  FHLB, 4.625%, 2/1/08(2)                                                     7,757,689
             8,990,000  FHLB, 5.125%, 9/29/10(2)                                                    9,075,657
            24,052,000  FHLMC, 5.00%, 9/16/08(2)(4)                                                24,090,130
            15,110,000  FHLMC, 5.75%, 1/15/12(2)(4)                                                15,701,073
             8,875,000  FHLMC, 4.75%, 1/19/16(2)(4)                                                 8,743,286
            25,863,000  FNMA, 4.75%, 8/3/07(2)                                                     25,819,809
             5,461,000  FNMA, 4.375%, 7/17/13(2)                                                    5,296,384
            16,293,000  FNMA, 5.80%, 2/9/26(2)                                                     16,309,016
                                                                                                -------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $121,787,608)                                                                               122,279,706
                                                                                                -------------

Asset-Backed Securities(1) -- 6.8%

             1,435,145  Accredited Mortgage Loan Trust, Series 2006-1, Class A1, VRN,
                        5.38%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.06%
                        with no caps(2)                                                             1,436,194
             2,701,710  Accredited Mortgage Loan Trust, Series 2006-2, Class A1, VRN,
                        5.36%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.04%
                        with no caps(2)                                                             2,703,533
                88,720  Ameriquest Mortgage Securities Inc., Series 2006 R1, Class A2A,
                        VRN, 5.40%, 4/25/07, resets monthly off the 1-month LIBOR plus
                        0.08% with no caps                                                             88,768
             2,220,934  Argent Securities Inc., Series 2006 M3, Class A2A, VRN, 5.37%,
                        4/25/07, resets monthly off the 1-month LIBOR plus 0.05% with
                        no caps(2)                                                                  2,222,433
             3,429,451  Capital One Prime Auto Receivables Trust, Series 2004-2, Class
                        A4, VRN, 5.38%, 4/15/07, resets monthly off the 1-month LIBOR
                        plus 0.06% with no caps(2)                                                  3,432,959
             2,585,467  Centex Home Equity, Series 2006 A, Class AV1, VRN, 5.37%,
                        4/25/07, resets monthly off the 1-month LIBOR plus 0.05% with
                        no caps(2)                                                                  2,587,077
             2,115,435  CNH Equipment Trust, Series 2004 A, Class A3A, VRN, 5.39%,
                        4/16/07, resets monthly off the 1-month LIBOR plus 0.07% with
                        no caps(2)                                                                  2,116,949

Principal Amount                                                                                        Value

           $ 1,483,783  Countrywide Asset-Backed Certificates, Series 2006-6, Class
                        2A1, VRN, 5.39%, 4/25/07, resets monthly off the 1-month LIBOR
                        plus 0.07% with no caps(2)                                                $ 1,484,789
             4,438,663  Countrywide Asset-Backed Certificates, Series 2006-22, Class
                        2A1, VRN, 5.37%, 4/25/07, resets monthly off the 1-month LIBOR
                        plus 0.05% with no caps(2)                                                  4,460,014
             1,285,578  Countrywide Asset-Backed Certificates, Series 2006 BC2, Class
                        2A1, VRN, 5.36%, 4/25/07, resets monthly off the 1-month LIBOR
                        plus 0.04% with no caps(2)                                                  1,286,443
             2,177,629  Credit-Based Asset Servicing and Securitization, Series 2006
                        CB3, Class AV1, VRN, 5.38%, 4/25/07, resets monthly off the
                        1-month LIBOR plus 0.06% with no caps(2)                                    2,179,092
             1,164,000  Detroit Edison Securitization Funding LLC, Series 2001-1, Class
                        A4 SEQ, 6.19%, 3/1/13(2)                                                    1,201,918
             4,047,238  First Franklin Mortgage Loan Asset Backed Certificates, Series
                        2006 FF11, Class 2A1, VRN, 5.36%, 4/25/07, resets monthly off
                        the 1-month LIBOR plus 0.04% with no caps(2)                                4,049,509
             5,340,456  First Franklin Mortgage Loan Asset Backed Certificates, Series
                        2006 FF12, Class A2, VRN, 5.36%, 4/25/07, resets monthly off
                        the 1-month LIBOR plus 0.04% with no caps(2)                                5,343,030
               768,100  IndyMac Residential Asset Backed Trust, Series 2006 B, Class
                        2A1, VRN, 5.38%, 4/25/07, resets monthly off the 1-month LIBOR
                        plus 0.06% with no caps(2)                                                    768,665
               505,672  Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A1, VRN,
                        5.39%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.07%
                        with no caps(2)                                                               506,039
             3,468,079  Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A1, VRN,
                        5.36%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.04%
                        with no caps(2)                                                             3,468,284


------
12


Diversified Bond

Principal Amount                                                                                        Value

             $ 199,947  Nomura Home Equity Loan, Inc., Series 2006 HE1, Class A1, VRN,
                        5.40%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.08%
                        with no caps                                                                 $200,108
               104,004  Nomura Home Equity Loan, Inc., Series 2006 HE2, Class A1, VRN,
                        5.38%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.06%
                        with no caps                                                                  104,074
               536,173  NovaStar Home Equity Loan, Series 2005-4, Class A2A, VRN,
                        5.41%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.09%
                        with a cap of 11.00%(2)                                                       536,459
               528,000  Residential Asset Securities Corp., Series 2004 KS2, Class MI1,
                        4.71%, 3/25/34(2)                                                             514,425
             2,037,691  SLC Student Loan Trust, Series 2006-2, Class A1, VRN, 5.33%,
                        6/15/07, resets quarterly off the 3-month LIBOR minus 0.02%
                        with no caps(2)                                                             2,038,843
             2,680,000  SLM Student Loan Trust, Series 2006-5, Class A2, VRN, 5.35%,
                        4/25/07, resets quarterly off the 3-month LIBOR minus 0.01%
                        with no caps(2)                                                             2,681,967
             2,876,056  SLM Student Loan Trust, Series 2006-7, Class A1, VRN, 5.32%,
                        4/25/07, resets quarterly off the 3-month LIBOR minus 0.04%
                        with no caps(2)                                                             2,876,769
             3,000,000  SLM Student Loan Trust, Series 2006-10, Class A2, VRN, 5.37%,
                        4/25/07, resets quarterly off the 3-month LIBOR plus 0.01% with
                        no caps(2)                                                                  3,003,021
             3,311,846  Soundview Home Equity Loan Trust, Series 2006-3, Class A1, VRN,
                        5.36%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.04%
                        with no caps(2)                                                             3,312,803
                                                                                                -------------
TOTAL ASSET-BACKED SECURITIES
(Cost $54,530,629)                                                                                 54,604,165
                                                                                                -------------

Sovereign Governments & Agencies -- 2.3%

               246,000  Hydro Quebec, 8.40%, 1/15/22                                                  320,575
                   JPY  KfW, VRN, 0.325%, 5/8/07, resets quarterly off the 3-month JPY
         1,874,000,000  LIBOR minus 0.22% with no caps                                             15,916,933

Principal Amount                                                                                        Value

           $ 1,835,000  Province of Quebec, 5.00%, 7/17/09(2)                                     $ 1,841,463
                                                                                                -------------
TOTAL SOVEREIGN GOVERNMENTS & AGENCIES
(Cost $17,570,378)                                                                                 18,078,971
                                                                                                -------------

Municipal Securities -- 0.2%

             1,477,000  Illinois GO, (Taxable Pension), 5.10%, 6/1/33(2)
(Cost $1,477,000)                                                                                   1,413,592
                                                                                                -------------

Temporary Cash Investments -- 1.6%

Repurchase Agreement, Credit Suisse First Boston, Inc., (collateralized by various U.S.
Treasury obligations, 6.125%, 8/15/07, valued at $13,118,300), in a joint trading
account at 5.05%, dated 3/30/07, due 4/2/07 (Delivery value $12,868,413)(2)
(Cost $12,863,000)                                                                                 12,863,000
                                                                                                -------------

Temporary Cash Investments -- Securities Lending Collateral(7) -- 28.2%

Repurchase Agreement, BNP Paribas, (collateralized by various U.S. Government Agency
obligations in a pooled account at the lending agent), 5.43%, dated 3/30/07, due 4/2/07
(Delivery value $35,015,838)                                                                       35,000,000

Repurchase Agreement, Citigroup Global Markets Inc., (collateralized by various U.S.
Government Agency obligations in a pooled account at the lending agent), 5.38%, dated
3/30/07, due 4/2/07 (Delivery value $40,286,772)                                                   40,268,718

Repurchase Agreement, Lehman Brothers Inc., (collateralized by various U.S. Government
Agency obligations in a pooled account at the lending agent), 5.44%, dated 3/30/07, due
4/2/07 (Delivery value $50,022,667)                                                                50,000,000

Repurchase Agreement, UBS AG, (collateralized by various U.S. Government Agency
obligations in a pooled account at the lending agent), 5.44%, dated 3/30/07, due 4/2/07
(Delivery value $100,045,333)                                                                     100,000,000
                                                                                                -------------
TOTAL TEMPORARY CASH INVESTMENTS -- SECURITIES LENDING COLLATERAL
(Cost $225,268,718)                                                                               225,268,718
                                                                                                -------------
TOTAL INVESTMENT SECURITIES -- 144.6%
(Cost $1,154,179,233)                                                                           1,154,784,266
                                                                                                -------------
OTHER ASSETS AND LIABILITIES -- (44.6)%                                                         (356,044,997)
                                                                                                -------------
TOTAL NET ASSETS -- 100.0%                                                                      $ 798,739,269
                                                                                                =============


------
13


Diversified Bond

Futures Contracts
                                                           Underlying Face Amount at       Unrealized Gain
Contracts Purchased                    Expiration Date               Value                     (Loss)

1,144        U.S. Treasury 2-Year
             Notes                        June 2007              $234,394,875                 $ 395,820

1,148        U.S. Treasury 5-Year
             Notes                        June 2007               121,454,813                  625,230
                                                                 ------------                -----------
                                                                 $355,849,688                $1,021,050
                                                                 ------------                -----------

                                                           Underlying Face Amount at       Unrealized Gain
Contracts Sold                         Expiration Date               Value                     (Loss)

153          U.S. Long Bond               June 2007              $ 17,021,250                 $ 24,757

1,323        U.S. Treasury 10-Year
             Notes                        June 2007               143,049,375                 (521,305)
                                                                 ------------                -----------
                                                                 $160,070,625                $(496,548)
                                                                 ------------                -----------

Swap Agreements
                                                                                             Unrealized Gain
Notional Amount       Description of Agreement                             Expiration Date        (Loss)

CREDIT DEFAULT

$10,500,000           Pay quarterly a fixed rate equal to 0.85%             December 2010       $(113,073)
                      multiplied by the notional amount and receive from
                      Barclays Bank plc upon each default event of one
                      of the issues of Dow Jones CDX N.A. Investment
                      Grade High Volume 5, par value of the proportional
                      notional amount.

3,425,000             Pay quarterly a fixed rate equal to 0.46%               March 2012         109,727
                      multiplied by the notional amount and receive from
                      Barclays Bank plc upon each default event of
                      Centex Corp., par value of the proportional
                      notional amount.

4,650,000             Pay quarterly a fixed rate equal to 0.55%               March 2012         119,388
                      multiplied by the notional amount and receive from
                      Deutsche Bank Securities Inc. upon each default
                      event of Lennar Corp., par value of the
                      proportional notional amount.

40,500,000            Pay quarterly a fixed rate equal to 0.35%               June 2012           57,460
                      multiplied by the notional amount and receive from
                      Barclays Bank plc upon each default event of one
                      of the issues of Dow Jones CDX N.A. Investment
                      Grade 8, par value of the proportional notional
                      amount.

7,600,000             Pay quarterly a fixed rate equal to 0.12%               March 2017         (16,374)
                      multiplied by the notional amount and receive from
                      Barclays Bank plc upon each default event of
                      Pfizer Inc., par value of the proportional
                      notional amount.

INTEREST RATE

5,736,000             Receive semiannually a fixed rate equal to 5.6965%    November 2030        319,222
                      and pay quarterly a variable rate based on the
                      3-month LIBOR with Barclays Bank plc.
                                                                                                ----------
                                                                                                $ 476,350
                                                                                                ----------


------
14


Diversified Bond

Notes to Schedule of Investments

CDX = Credit Derivative Indexes

FHLB = Federal Home Loan Bank

FHLMC = Federal Home Loan Mortgage Corporation

FNMA = Federal National Mortgage Association

GMAC = General Motors Acceptance Corporation

GNMA = Government National Mortgage Association

GO = General Obligation

JPY = Japanese Yen

LB-UBS = Lehman Brothers Inc. -- UBS AG

LIBOR = London Interbank Offered Rate

MASTR = Mortgage Asset Securitization Transactions, Inc.

resets = The frequency with which a security's coupon changes, based on
current market conditions or an underlying index. The more frequently a
security resets, the less risk the investor is taking that the coupon will
vary significantly from current market rates.

SEQ = Sequential Payer

STRIPS = Separate Trading of Registered Interest and Principal of Securities

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Final maturity indicated, unless otherwise noted.

(2) Security, or a portion thereof, has been segregated for forward
commitments, futures contracts and/or swap agreements.

(3) Forward commitment.

(4) Security, or a portion thereof, was on loan as of March 31, 2007.

(5) Security was purchased under Rule 144A of the Securities Act of 1933 or is
a private placement and, unless registered under the Act or exempted from
registration, may only be sold to qualified institutional investors. The
aggregate value of restricted securities at March 31, 2007, was $26,584,740,
which represented 3.3% of total net assets.

(6) Industry is less than 0.05% of total net assets.

(7) Investments represent purchases made by the lending agent with cash
collateral received through securities lending transactions.

See Notes to Financial Statements.


------
15


PERFORMANCE
High-Yield

Total Returns as of March 31, 2007
                                                                    Average Annual Returns
                                                                                    Since         Inception
                                                      1 year       5 years        Inception         Date

INVESTOR CLASS(1)                                     8.54%         8.22%           3.82%          9/30/97

MERRILL LYNCH US HIGH YIELD MASTER II
CONSTRAINED INDEX(2)                                  11.06%        10.18%          6.17%            --

CSFB HIGH YIELD INDEX II                              11.84%        11.18%          6.68%            --

LIPPER HIGH CURRENT YIELD FUNDS AVERAGE RETURN(3)     10.07%        9.17%           4.53%            --

Investor Class's Lipper Ranking(3)                  382 of 445    214 of 315     114 of 153          --

Institutional Class(1)                                8.76%           --            7.45%          8/2/04

Advisor Class(1)                                      8.27%         7.99%           8.07%          3/8/02

A Class(1)                                                                                         1/31/03
 No sales charge*                                     8.27%           --            9.15%
 With sales charge*                                   3.41%           --            7.95%

B Class(1)                                                                                         1/31/03
 No sales charge*                                     7.47%           --            8.34%
 With sales charge*                                   3.47%           --            7.96%

C Class(1)                                            7.46%         7.24%           7.08%         12/10/01

R Class(1)                                            8.00%           --            6.11%          7/29/05

*Sales charges include initial sales charges and contingent deferred sales
charges (CDSCs), as applicable. A Class shares have a 4.50% maximum initial
sales charge for fixed income funds and may be subject to a maximum CDSC of
1.00%. B Class shares redeemed within six years of purchase are subject to a
CDSC that declines from 5.00% during the first year after purchase to 0.00%
the sixth year after purchase. C Class shares redeemed within 12 months of
purchase are subject to a maximum CDSC of 1.00%. Please see the Share Class
Information pages for more about the applicable sales charges for each share
class. The SEC requires that mutual funds provide performance information net
of maximum sales charges in all cases where charges could be applied.

(1) Class returns would have been lower if American Century had not
voluntarily waived a portion of its management fees and reimbursed a portion
of its distribution and service fees, as applicable.

(2) In September of 2006, the fund's benchmark changed from the CSFB High
Yield Index II to the Merrill Lynch US High Yield Master II Constrained Index.
The fund's investment advisor believes this index better represents the fund's
portfolio composition.

(3) Data provided by Lipper Inc. -- A Reuters Company. © 2007 Reuters. All
rights reserved. Any copying, republication or redistribution of Lipper
content, including by caching, framing or similar means, is expressly
prohibited without the prior written consent of Lipper. Lipper shall not be
liable for any errors or delays in the content, or for any actions taken in
reliance thereon.

  Lipper Fund Performance -- Performance data is total return, and is
preliminary and subject to revision.

  Lipper Rankings -- Rankings are based only on the universe shown and are
based on average annual total returns. This listing might not represent the
complete universe of funds tracked by Lipper.

  The data contained herein has been obtained from company reports, financial
reporting services, periodicals and other resources believed to be reliable.
Although carefully verified, data on compilations is not guaranteed by Lipper
and may be incomplete. No offer or solicitations to buy or sell any of the
securities herein is being made by Lipper.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline. In
addition, the lower-rated securities in which the fund invests are subject to
greater credit risk, default risk and liquidity risk.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the
indices are provided for comparison. The fund's total returns include
operating expenses (such as transaction costs and management fees) that reduce
returns, while the total returns of the indices do not.


------
16


High-Yield

Growth of $10,000 Over Life of Class

$10,000 investment made September 30, 1997

One-Year Returns Over Life of Class
Periods ended March 31
1998* 1999 2000 2001 2002 2003 2004 2005 2006 2007

Investor Class 6.76% -2.41% 0.90% -8.15% -0.33% 5.90% 15.53% 5.17% 6.29%** 8.54%**

Merrill Lynch US High
Yield Master II
Constrained Index 5.36% 1.79% -1.09% 1.99% 0.51% 4.62% 22.20% 6.92% 6.96% 11.06%

CSFB High Yield Index II 5.29% -0.73% -0.10% 0.75% 3.41% 7.52% 22.86% 7.84% 6.61% 11.84%

* From 9/30/97, the Investor Class's inception date. Not annualized.

** Returns would have been lower, along with the ending value, if a portion of
the class's management fees had not been waived during the period.

------
17

PORTFOLIO COMMENTARY
High-Yield

Portfolio Manager: Michael Difley

PERFORMANCE SUMMARY

High-Yield returned 8.54%* during the 12 months ended March 31, 2007. By
comparison, its benchmark, the Merrill Lynch US High Yield Master II
Constrained Index, returned 11.06%. It's worth noting that the portfolio's
return is reduced by operating expenses, while the index's return is not.

The portfolio and the benchmark produced solid returns thanks to continued
outperformance by high-yield bonds. However, our higher overall credit quality
and defensive positioning detracted from performance relative to the benchmark
at a time when the lowest-rated segment of the market performed best.

RISK REIGNED IN THE HIGH-YIELD MARKET

High-yield bonds were the best-performing segment of the bond market during
the period (see the Market Perspective on page 2). The high-yield market was
helped by moderate economic growth, relatively tame inflation, and low, fairly
stable interest rates. In addition, default rates on high-yield bonds
approached record lows. Against that backdrop, investor demand for high-yield
bonds surged. Lower-rated, higher-yielding bonds performed best, as bonds
rated CCC almost doubled the return of bonds rated BB (just one step below
investment-grade), as measured by the respective credit tranches of the
benchmark. Looking at returns by sector, automotive and auto-related debt were
some of the best-performing segments of the index, while homebuilders and
housing-related bonds lagged.

PORTFOLIO STRATEGIES

During the reporting period, we maintained a bias toward higher-quality bonds,
with 90% of assets in bonds rated B or higher. This positioning was a source
of underperformance during the period, though we believe it made sense for
several reasons. First, the spread, or difference in yield, between the
highest- and lowest-rated slices of the market narrowed to the neighborhood of
record lows. This is a result of the significant outperformance of
lower-quality bonds, and means we're receiving less compensation for taking on
additional credit risk than at most times in the past. Second, weakness in the
housing market raised questions about the economy, which is a key support for
high-yield bonds at current prices. Third, we think credit quality is past its
peak--we're seeing new deals come to market with more leverage and lower
quality than in the past. And while it's true that default rates remained at
an all-time low, this tends to be a lagging indicator.

*All fund returns referenced in this commentary are for Investor Class shares.
Class returns would have been lower had management fees not been waived.

Portfolio at a Glance
As of As of
3/31/07 3/31/06

Weighted Average Maturity 4.7 years 6.6 years
Average Duration (effective) 3.5 years 3.9 years

Yields as of March 31, 2007(1)
30-day SEC Yield

Investor Class 5.84%
Institutional Class 6.05%
Advisor Class 5.65%
A Class 5.33%
B Class 4.83%
C Class 4.83%
R Class 5.33%

(1) The yields presented reflect the waiver of a portion of the fund's
management fees. Without such waiver, the 30-day yields would have been lower.

------
18

High-Yield

Given the historically low yield pickup found in the lowest-rated segment of
the market, we were reluctant to take additional credit risk and lower the
portfolio's overall credit quality for a small amount of additional yield.

In terms of our sector allocations, the portfolio was helped by an underweight
position in bonds in housing-related sectors, such as homebuilders. The
portfolio also benefited from exposure to the metals & mining industry, where
Freeport-McMoRan Copper & Gold was a top performer in 2007, when it paid down
a portion of its outstanding debt and received a credit rating upgrade.
However, an underweight position in automotive debt detracted from performance
relative to the benchmark.

STARTING POINT FOR NEXT REPORTING PERIOD

"While high-yield credit fundamentals are generally solid, we believe market
prices already reflect that fact," says portfolio manager Mike Difley. "In
addition, the market appears to be discounting a low default rate for the
foreseeable future. This despite the fact that economic growth has been below
trend for the last four quarters, and the pace of economic growth is directly
tied to the level of defaults," Difley avers. "We think effective credit
selection will be the key to relative performance going forward, and continue
to look for attractive opportunities in both the new issue and secondary
markets that offer the proper balance between risk and return."

Top Five Industries* as of March 31, 2007
% of % of
net assets net assets
as of as of
3/31/07 9/30/06

Media 10.9% 8.4%
Oil, Gas & Consumable Fuels 7.2% 7.8%
Hotels, Restaurants & Leisure 6.2% 7.4%
Diversified Telecommunication Services 5.0% 5.1%
Health Care Providers & Services 4.5% 1.6%

* Excludes securities in the Diversified industry category. These securities represent investments in
diversified pools of underlying securities in multiple industry categories.

Portfolio Composition by Credit Rating
% of fund % of fund
investments investments
as of as of
3/31/07 9/30/06

AAA 12% 13%
A 1% 1%
BBB 4% 3%
BB 24% 30%
B 50% 47%
CCC or lower 9% 6%

------
19

SCHEDULE OF INVESTMENTS
High-Yield

MARCH 31, 2007

Principal Amount Value

Corporate Bonds -- 83.7%

AEROSPACE & DEFENSE -- 1.2%
$ 400,000 DRS Technologies, Inc., 7.625%, 2/1/18(1) $418,000
350,000 L-3 Communications Corp., 6.125%, 7/15/13 346,500
250,000 L-3 Communications Corp., 6.375%, 10/15/15 249,063
------------
1,013,563
------------
BUILDING PRODUCTS -- 0.6%
500,000 Nortek Inc., 8.50%, 9/1/14(1) 488,750
------------
CHEMICALS -- 2.2%
400,000 Basell AF S.C.A., 8.375%, 8/15/15 (Acquired 8/4/05, Cost
$400,000)(1)(2) 419,000
550,000 Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.75%,
11/15/14 (Acquired 10/27/06 - 1/24/07, Cost $561,250)(2) 579,563
850,000 Lyondell Chemical Co., 8.25%, 9/15/16(3) 913,750
------------
1,912,313
------------
COMMERCIAL SERVICES & SUPPLIES -- 3.2%
750,000 Allied Waste North America, Inc., 6.375%, 4/15/11(3) 751,875
750,000 ARAMARK Corp., 8.50%, 2/1/15 (Acquired 1/17/07-- 1/19/07, Cost
$756,250)(2)(3) 783,750
500,000 Cenveo Corp., 7.875%, 12/1/13(1) 492,500
700,000 Corrections Corp. of America, 6.25%, 3/15/13(3) 703,500
------------
2,731,625
------------
COMMUNICATIONS EQUIPMENT -- 0.9%
675,000 Nordic Telephone Co. Holdings ApS, 8.875%, 5/1/16 (Acquired
4/26/06 - 5/5/06, Cost $693,594)(2) 725,625
------------
COMPUTERS & PERIPHERALS -- 0.6%
500,000 Xerox Corp., 6.875%, 8/15/11 528,710
------------
CONTAINERS & PACKAGING -- 2.6%
500,000 Ball Corp., 6.875%, 12/15/12 507,500
250,000 Ball Corp., 6.625%, 3/15/18 249,063
250,000 BWAY Corp., 10.00%, 10/15/10 263,438
250,000 Graham Packaging Co. Inc., 8.50%, 10/15/12(1) 255,000
500,000 Graham Packaging Co. Inc., 9.875%, 10/15/14(1) 512,499

Principal Amount Value

$ 400,000 Smurfit-Stone Container Enterprises, Inc., 8.00%, 3/15/17
(Acquired 3/12/07, Cost $400,000)(2) $393,000
------------
2,180,500
------------
DISTRIBUTORS -- 0.6%
500,000 Amscan Holdings Inc., 8.75%, 5/1/14 493,750
------------
DIVERSIFIED -- 4.9%
4,000,000 Dow Jones CDX N.A. High Yield Secured Note, 8.375%, 12/29/11
(Acquired 9/27/06 - 1/3/07, Cost $4,053,600)(1)(2) 4,149,800
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.9%
400,000 Ford Motor Credit Co., 6.625%, 6/16/08 398,851
600,000 Ford Motor Credit Co., 7.375%, 10/28/09 599,243
850,000 Ford Motor Credit Co., 7.25%, 10/25/11(3) 826,902
250,000 General Motors Acceptance Corp., 6.15%, 4/5/07 250,005
500,000 General Motors Acceptance Corp., 6.875%, 9/15/11 500,958
750,000 General Motors Acceptance Corp., 6.75%, 12/1/14(1) 738,405
------------
3,314,364
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.0%
586,000 AT&T Corp., 7.30%, 11/15/11(3) 636,759
325,000 Citizens Communications Co., 6.25%, 1/15/13 324,188
500,000 Embarq Corp., 7.08%, 6/1/16 510,627
200,000 Intelsat Bermuda Ltd., 9.25%, 6/15/16(1) 222,500
250,000 Intelsat Subsidiary Holding Co. Ltd., 8.25%, 1/15/13 261,875
500,000 Intelsat Subsidiary Holding Co. Ltd., 8.625%, 1/15/15 537,500
550,000 Level 3 Financing Inc., 9.25%, 11/1/14 (Acquired 10/25/06 -
12/4/06, Cost $553,750)(2) 567,875
550,000 Qwest Communications International Inc., 7.50%, 2/15/14(1) 569,250
550,000 Qwest Corp., 7.875%, 9/1/11 587,125
------------
4,217,699
------------
ELECTRICAL EQUIPMENT -- 0.3%
250,000 Baldor Electric Co., 8.625%, 2/15/17 265,625
------------

------
20

High-Yield

Principal Amount Value

ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.1%
$ 500,000 Celestica Inc., 7.625%, 7/1/13(1) $470,000
500,000 Flextronics International Ltd., 6.50%, 5/15/13 497,500
------------
967,500
------------
ENERGY EQUIPMENT & SERVICES -- 1.2%
600,000 Hanover Compressor Co., 8.625%, 12/15/10 633,000
400,000 Universal Compression Inc., 7.25%, 5/15/10 407,500
------------
1,040,500
------------
FOOD & STAPLES RETAILING -- 1.3%
500,000 Ingles Markets, Inc., 8.875%, 12/1/11(1) 522,500
550,000 SUPERVALU INC., 7.50%, 11/15/14 576,125
------------
1,098,625
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.8%
650,000 Universal Hospital Services Inc., 10.125%, 11/1/11(3) 693,875
------------
HEALTH CARE PROVIDERS & SERVICES -- 4.5%
585,000 Genesis HealthCare Corp., 8.00%, 10/15/13(3) 624,488
750,000 HCA Inc., 6.50%, 2/15/16(1) 642,188
1,000,000 HCA Inc., 9.25%, 11/15/16 (Acquired 11/9/06 - 2/28/07, Cost
$1,026,563)(2) 1,081,249
500,000 HealthSouth Corp., 10.75%, 6/15/16 (Acquired 6/9/06- 1/11/07, Cost
$517,825)(1)(2) 546,250
500,000 Omnicare Inc., 6.125%, 6/1/13 490,000
250,000 Omnicare Inc., 6.875%, 12/15/15 253,438
150,000 Sun Healthcare Group, Inc., 9.125%, 4/15/15 (Acquired 3/22/07,
Cost $150,000)(2) 154,500
------------
3,792,113
------------
HOTELS, RESTAURANTS & LEISURE -- 6.1%
500,000 Herbst Gaming Inc., 8.125%, 6/1/12 507,500
600,000 Majestic Star Casino LLC/Majestic Star Casino Capital Corp.,
9.50%, 10/15/10 632,250
34,000 Mandalay Resort Group, 9.375%, 2/15/10 36,805
500,000 MGM Mirage, 8.50%, 9/15/10 536,875
300,000 MGM Mirage, 6.75%, 9/1/12 299,625
400,000 Penn National Gaming, Inc., 6.875%, 12/1/11(1) 402,000

Principal Amount Value

$ 300,000 Royal Caribbean Cruises Ltd., 7.00%, 6/15/13 $311,494
300,000 Royal Caribbean Cruises Ltd., 6.875%, 12/1/13 308,458
250,000 Six Flags Inc., 8.875%, 2/1/10(1) 253,125
500,000 Six Flags Inc., 9.75%, 4/15/13(1) 478,750
500,000 Trump Entertainment Resorts, Inc., 8.50%, 6/1/15(1) 507,500
400,000 Wimar OpCo LLC/Wimar OpCo Finance Corp., 9.625%, 12/15/14
(Acquired 12/14/06, Cost $400,000)(2) 403,500
500,000 Wynn Las Vegas LLC, 6.625%, 12/1/14(1) 497,500
------------
5,175,382
------------
HOUSEHOLD DURABLES -- 1.2%
500,000 KB Home, 6.375%, 8/15/11 487,247
500,000 Sealy Mattress Co., 8.25%, 6/15/14 528,750
------------
1,015,997
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 1.4%
500,000 AES Corp. (The), 8.75%, 5/15/13 (Acquired 5/1/03, Cost $500,000)(2) 535,000
650,000 NRG Energy Inc., 7.375%, 2/1/16 669,500
------------
1,204,500
------------
IT SERVICES -- 1.6%
450,000 SunGard Data Systems Inc., 9.125%, 8/15/13 484,875
350,000 SunGard Data Systems Inc., 10.25%, 8/15/15(1) 383,688
500,000 Tube City IMS Corp., 9.75%, 2/1/15 (Acquired 1/18/07- 1/22/07,
Cost $511,313)(2) 522,500
------------
1,391,063
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.5%
400,000 Fisher Scientific International Inc., 6.75%, 8/15/14 411,301
------------
MACHINERY -- 0.6%
450,000 Rental Service Corp., 9.50%, 12/1/14 (Acquired 11/17/06, Cost
$454,500)(2) 481,500
21,000 Terex Corp., 7.375%, 1/15/14 21,735
------------
503,235
------------
MEDIA -- 10.9%
200,000 Cablevision Systems Corp., 8.00%, 4/15/12 204,000
350,000 Cadmus Communications Corp., 8.375%, 6/15/14 356,125

------
21

High-Yield

Principal Amount Value

$ 1,048,000 CCH I, LLC/CCH I Capital Corp., 11.00%, 10/1/15 $ 1,092,539
1,000,000 Cinemark Inc., VRN, 0.00%, 3/15/09(3)(4) 920,000
500,000 CSC Holdings, Inc., 8.125%, 8/15/09 520,000
250,000 CSC Holdings, Inc., 7.25%, 4/15/12 (Acquired 8/5/04, Cost
$241,250)(2) 249,375
500,000 Dex Media Inc., 8.00%, 11/15/13 526,250
500,000 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375%, 3/15/13 529,375
500,000 Echostar DBS Corp., 6.375%, 10/1/11 504,375
250,000 Fisher Communications, Inc., 8.625%, 9/15/14 269,063
950,000 Idearc Inc., 8.00%, 11/15/16 (Acquired 11/1/06 - 12/6/06, Cost
$955,938)(2)(3) 982,062
500,000 Mediacom LLC/Mediacom Capital Corp., 9.50%, 1/15/13(1) 516,875
800,000 MediaNews Group, Inc., 6.875%, 10/1/13(3) 732,000
650,000 Primedia Inc., 8.875%, 5/15/11(1) 671,125
300,000 Primedia Inc., 8.00%, 5/15/13 312,000
850,000 R.H. Donnelley Corp., 8.875%, 1/15/16(3) 907,375
------------
9,292,539
------------
METALS & MINING -- 1.7%
300,000 Freeport-McMoRan Copper & Gold, Inc., 8.25%, 4/1/15 323,625
500,000 Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17(3) 541,875
550,000 IPSCO Inc., 8.75%, 6/1/13 588,500
------------
1,454,000
------------
MULTI-UTILITIES -- 1.2%
500,000 CMS Energy Corp., 7.50%, 1/15/09(1) 515,625
500,000 CMS Energy Corp., 7.75%, 8/1/10 532,500
------------
1,048,125
------------
OIL, GAS & CONSUMABLE FUELS -- 7.2%
500,000 Chesapeake Energy Corp., 7.625%, 7/15/13 533,750
600,000 Chesapeake Energy Corp., 7.50%, 6/15/14(1) 631,500
650,000 Forest Oil Corp., 7.75%, 5/1/14(1) 662,999
390,000 Magnum Hunter Resources Inc., 9.60%, 3/15/12 409,500

Principal Amount Value

$ 400,000 Massey Energy Co., 6.625%, 11/15/10 $406,000
750,000 Massey Energy Co., 6.875%, 12/15/13(3) 715,312
520,000 Pacific Energy Partners L.P./Pacific Energy Finance Corp., 7.125%,
6/15/14 543,633
500,000 Peabody Energy Corp., 7.375%, 11/1/16(1) 528,750
500,000 Range Resources Corp., 7.375%, 7/15/13 513,125
400,000 Sabine Pass LNG, L.P., 7.50%, 11/30/16 (Acquired 11/1/06, Cost
$400,000)(2) 404,000
250,000 Tesoro Corp., 6.25%, 11/1/12 254,688
500,000 Williams Companies, Inc. (The), 8.125%, 3/15/12 546,250
------------
6,149,507
------------
PAPER & FOREST PRODUCTS -- 3.1%
400,000 Abitibi-Consolidated Inc., 6.95%, 4/1/08(1) 401,000
300,000 Boise Cascade LLC, 7.125%, 10/15/14 298,500
500,000 Catalyst Paper Corp., 7.375%, 3/1/14 486,250
500,000 Georgia-Pacific Corp., 7.70%, 6/15/15(1) 515,000
150,000 Georgia-Pacific Corp., 7.125%, 1/15/17 (Acquired 12/13/06, Cost
$150,000)(2) 151,125
21,000 Jefferson Smurfit Corp., 8.25%, 10/1/12 21,105
500,000 Verso Paper Holdings LLC/Verso Paper Inc., 9.125%, 8/1/14
(Acquired 7/26/06- 12/4/06, Cost $511,875)(2) 522,500
250,000 Verso Paper Holdings LLC/Verso Paper Inc., 11.375%, 8/1/16
(Acquired 1/12/07, Cost $265,000)(2) 263,125
------------
2,658,605
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
400,000 Host Marriott L.P., 7.00%, 8/15/12(1) 409,500
250,000 Host Marriott L.P., 6.75%, 6/1/16 253,125
------------
662,625
------------
ROAD & RAIL -- 1.4%
550,000 Hertz Corp., 8.875%, 1/1/14 595,375
500,000 Hertz Corp., 10.50%, 1/1/16(1) 572,500
------------
1,167,875
------------

------
22

High-Yield

Principal Amount Value

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.9%
$ 250,000 Freescale Semiconductor Inc., 8.875%, 12/15/14 (Acquired 11/16/06,
Cost $250,000)(1)(2) $251,563
500,000 Freescale Semiconductor Inc., 10.125%, 12/15/16 (Acquired
11/16/06, Cost $500,000)(1)(2) 503,750
------------
755,313
------------
SPECIALTY RETAIL -- 2.5%
250,000 Asbury Automotive Group Inc., 8.00%, 3/15/14 256,875
250,000 Asbury Automotive Group Inc., 7.625%, 3/15/17 (Acquired 3/12/07,
Cost $250,000)(2) 251,875
600,000 Couche-Tard U.S. L.P./Couche-Tard Finance Corp., 7.50%, 12/15/13(3) 619,500
650,000 GSC Holdings Corp., 8.00%, 10/1/12(3) 692,250
350,000 Toys "R" Us, Inc., 7.375%, 10/15/18 302,750
------------
2,123,250
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.8%
850,000 Hanesbrands Inc., VRN, 8.74%, 6/15/07, resets semiannually off the
6-month LIBOR plus 3.375% with no caps (Acquired 12/11/06 -
2/8/07, Cost $862,500)(1)(2) 870,188
625,000 Perry Ellis International, Inc., 8.875%, 9/15/13(3) 643,750
------------
1,513,938
------------
TRADING COMPANIES & DISTRIBUTORS -- 1.6%
675,000 Ashtead Capital Inc., 9.00%, 8/15/16 (Acquired 8/1/06 - 10/5/06,
Cost $690,500)(2)(3) 722,250
400,000 United Rentals North America, Inc., 6.50%, 2/15/12 401,000
271,000 United Rentals North America, Inc., 7.75%, 11/15/13(1) 279,808
------------
1,403,058
------------
WIRELESS TELECOMMUNICATION SERVICES -- 4.3%
200,000 Dobson Communications Corp., 8.875%, 10/1/13(1) 207,000
500,000 Nextel Communications Inc., 5.95%, 3/15/14 492,595
500,000 Nextel Communications Inc., 7.375%, 8/1/15 517,625

Principal Amount Value

$ 400,000 Nextel Partners Inc., 8.125%, 7/1/11 $417,836
650,000 Rogers Wireless Inc., 7.25%, 12/15/12(3) 697,937
300,000 Rogers Wireless Inc., 7.50%, 3/15/15 326,625
350,000 Rural Cellular Corp., 9.75%, 1/15/10(1) 362,250
300,000 Rural Cellular Corp., 9.875%, 2/1/10 318,000
300,000 Syniverse Technologies Inc., 7.75%, 8/15/13 296,250
------------
3,636,118
------------
TOTAL CORPORATE BONDS
(Cost $69,385,050) 71,181,368
------------

Sovereign Governments & Agencies -- 3.0%

JPY KfW, VRN, 0.325%, 5/8/07, resets quarterly off the 3-month JPY
302,000,000 LIBOR minus 0.22% with no caps
(Cost $2,483,751) 2,565,055
------------

Common Stocks -- 0.1%

HOTELS, RESTAURANTS & LEISURE -- 0.1%
4,076 Trump Entertainment Resorts, Inc.(1)(5)
(Cost $40,020) 73,653
------------

Temporary Cash Investments -- 12.5%

$10,633,000 FNMA Discount Notes, 5.00%, 4/2/07(3)(6)
(Cost $10,631,523) 10,633,000
------------

Temporary Cash Investments -- Securities Lending Collateral(7) -- 23.1%

Repurchase Agreement, Citigroup Global Markets Inc., (collateralized by various U.S.
Government Agency obligations in a pooled account at the lending agent), 5.38%, dated
3/30/07, due 4/2/07 (Delivery value $19,697,421)
(Cost $19,688,594) 19,688,594
------------
TOTAL INVESTMENT SECURITIES -- 122.4%
(Cost $102,228,938) 104,141,670
------------
OTHER ASSETS AND LIABILITIES -- (22.4)% (19,048,330)
------------
TOTAL NET ASSETS -- 100.0% $ 85,093,340
============

------
23

High-Yield

Futures Contracts
Contracts Purchased Expiration Date Underlying Face Amount at Value Unrealized Gain (Loss)

72 U.S. Treasury
2-Year Notes June 2007 $14,752,125 $40,338

26 U.S. Treasury
5-Year Notes June 2007 2,750,719 14,160
----------- ---------
$17,502,844 $54,498
=========== =========

Contracts Sold Expiration Date Underlying Face Amount at Value Unrealized Gain (Loss)

27 U.S.
Treasury
10-Year
Notes June 2007 $2,919,375 $(12,084)
========== =========

Swap Agreements
Unrealized Gain
Notional Amount Description of Agreement Expiration Date (Loss)

CREDIT DEFAULT

$3,400,000 Pay semiannually a fixed rate equal to 1.25%
multiplied by the notional amount and receive from
Barclays Bank plc upon each default event of one of
the issues of Dow Jones CDX Emerging Markets 7, par
value of the proportional notional amount. June 2012 $(12,360)
==========

Notes to Schedule of Investments

CDX = Credit Derivative Indexes

FNMA = Federal National Mortgage Association

JPY = Japanese Yen

LIBOR = London Interbank Offered Rate

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Security, or a portion thereof, was on loan as of March 31, 2007.

(2) Security was purchased under Rule 144A of the Securities Act of 1933 or is
a private placement and, unless registered under the Act or exempted from
registration, may only be sold to qualified institutional investors. The
aggregate value of restricted securities at March 31, 2007 was $16,514,925,
which represented 19.4% of total net assets. None of the restricted securities
were considered illiquid.

(3) Security, or a portion thereof, has been segregated for futures contracts
and/or swap agreements.

(4) Step-coupon security. These securities are issued with a zero-coupon and
become interest bearing at a predetermined rate and date and are issued at a
substantial discount from their value at maturity. Rate shown is effective
March 31, 2007.

(5) Non-income producing.

(6) The rate indicated is the yield to maturity at purchase.

(7) Investments represent purchases made by the lending agent with cash
collateral received through securities lending transactions.

See Notes to Financial Statements.

------
24

SHAREHOLDER FEE EXAMPLES (UNAUDITED)

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

------
25

Diversified Bond Shareholder Fee Example
Expenses Paid
Beginning Ending During
Account Account Period(1) Annualized
Value Value 10/1/06 - Expense
10/1/06 3/31/07 3/31/07 Ratio(1)

ACTUAL
Investor Class $1,000 $1,025.80 $3.13 0.62%
Institutional Class $1,000 $1,026.80 $2.12 0.42%
Advisor Class $1,000 $1,024.40 $4.39 0.87%
A Class $1,000 $1,024.50 $4.39 0.87%
B Class $1,000 $1,020.70 $8.16 1.62%
C Class $1,000 $1,020.70 $8.16 1.62%
R Class $1,000 $1,023.20 $5.65 1.12%

HYPOTHETICAL
Investor Class $1,000 $1,021.84 $3.13 0.62%
Institutional Class $1,000 $1,022.84 $2.12 0.42%
Advisor Class $1,000 $1,020.59 $4.38 0.87%
A Class $1,000 $1,020.59 $4.38 0.87%
B Class $1,000 $1,016.85 $8.15 1.62%
C Class $1,000 $1,016.85 $8.15 1.62%
R Class $1,000 $1,019.35 $5.64 1.12%

------
26

High-Yield Shareholder Fee Example
Expenses Paid
Beginning Ending During
Account Account Period(1) Annualized
Value Value 10/1/06 - Expense
10/1/06 3/31/07 3/31/07 Ratio(1)

ACTUAL
Investor Class
(after waiver)(2) $1,000 $1,057.20 $4.10 0.80%
Investor Class
(before waiver) $1,000 $1,057.20(3) $4.46 0.87%
Institutional Class
(after waiver)(2) $1,000 $1,058.30 $3.08 0.60%
Institutional Class
(before waiver) $1,000 $1,058.30(3) $3.44 0.67%
Advisor Class
(after waiver)(2) $1,000 $1,055.90 $5.38 1.05%
Advisor Class
(before waiver) $1,000 $1,055.90(3) $5.74 1.12%
A Class
(after waiver)(2) $1,000 $1,055.90 $5.38 1.05%
A Class
(before waiver) $1,000 $1,055.90(3) $5.74 1.12%
B Class
(after waiver)(2) $1,000 $1,052.00 $9.21 1.80%
B Class
(before waiver) $1,000 $1,052.00(3) $9.57 1.87%
C Class
(after waiver)(2) $1,000 $1,052.00 $9.21 1.80%
C Class
(before waiver) $1,000 $1,052.00(3) $9.57 1.87%
R Class
(after waiver)(2) $1,000 $1,054.60 $6.66 1.30%
R Class
(before waiver) $1,000 $1,054.60(3) $7.02 1.37%

HYPOTHETICAL
Investor Class
(after waiver)(2) $1,000 $1,020.94 $4.03 0.80%
Investor Class
(before waiver) $1,000 $1,020.59 $4.38 0.87%
Institutional Class
(after waiver)(2) $1,000 $1,021.94 $3.02 0.60%
Institutional Class
(before waiver) $1,000 $1,021.59 $3.38 0.67%
Advisor Class
(after waiver)(2) $1,000 $1,019.70 $5.29 1.05%
Advisor Class
(before waiver) $1,000 $1,019.35 $5.64 1.12%
A Class
(after waiver)(2) $1,000 $1,019.70 $5.29 1.05%
A Class
(before waiver) $1,000 $1,019.35 $5.64 1.12%
B Class
(after waiver)(2) $1,000 $1,015.96 $9.05 1.80%
B Class
(before waiver) $1,000 $1,015.61 $9.40 1.87%
C Class
(after waiver)(2) $1,000 $1,015.96 $9.05 1.80%
C Class
(before waiver) $1,000 $1,015.61 $9.40 1.87%
R Class
(after waiver)(2) $1,000 $1,018.45 $6.54 1.30%
R Class
(before waiver) $1,000 $1,018.10 $6.89 1.37%

(2) During the six months ended March 31, 2007, the class received a partial
waiver of its management fee.

(3) Ending account value assumes the return earned after waiver. The return
would have been lower had fees not been waived and may have resulted in a
lower ending account value.

------
27

STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007
Diversified Bond High-Yield
ASSETS

Investment securities, at value (cost of $928,910,515 and
$82,540,344, respectively) -- including $222,073,551 and $18,876,085
of securities on loan, respectively $ 929,515,548 $84,453,076

Investments made with cash collateral received for securities on
loan, at value (cost of $225,268,718 and $19,688,594, respectively) 225,268,718 19,688,594
------------- -----------

Total investment securities, at value (cost of $1,154,179,233 and
$102,228,938, respectively) 1,154,784,266 104,141,670

Receivable for investments sold 2,060,689 564,000

Receivable for capital shares sold -- 48,300

Receivable for variation margin on futures contracts 87,813 33,375

Unrealized appreciation on swap agreements 605,797 --

Interest receivable 5,630,816 1,533,841
------------- -----------
1,163,169,381 106,321,186
------------- -----------

LIABILITIES

Disbursements in excess of demand deposit cash 1,786,250 1,005,947

Payable for collateral received for securities on loan 225,268,718 19,688,594

Payable for investments purchased 134,963,357 150,355

Payable for capital shares redeemed 60 27,602

Unrealized depreciation on swap agreements 129,447 12,360

Accrued management fees 348,350 54,108

Distribution fees payable 3,019 2,277

Service fees (and distribution fees -- A Class and R Class) payable 3,161 3,227

Dividends payable 1,927,750 283,376
------------- -----------
364,430,112 21,227,846
------------- -----------

NET ASSETS $ 798,739,269 $85,093,340
============= ===========

See Notes to Financial Statements.

------
28

MARCH 31, 2007
Diversified Bond High-Yield
NET ASSETS CONSIST OF:

Capital paid in $805,067,708 $96,010,977

Accumulated net investment loss (163,172) (1,359)

Accumulated net realized loss on investment transactions (7,631,469) (12,870,782)

Net unrealized appreciation on investments 1,466,202 1,954,504
------------ ------------
$798,739,269 $85,093,340
============ ============

INVESTOR CLASS
Net assets $394,346,066 $51,717,428
Shares outstanding 39,342,955 7,982,647
Net asset value per share $10.02 $6.48

INSTITUTIONAL CLASS
Net assets $389,828,920 $18,177,108
Shares outstanding 38,892,287 2,805,658
Net asset value per share $10.02 $6.48

ADVISOR CLASS
Net assets $3,405,231 $900,211
Shares outstanding 339,732 138,949
Net asset value per share $10.02 $6.48

A CLASS
Net assets $7,609,158 $10,911,208
Shares outstanding 759,147 1,684,152
Net asset value per share $10.02 $6.48
Maximum offering price
(net asset value divided by 0.955) $10.49 $6.79

B CLASS
Net assets $805,842 $1,357,741
Shares outstanding 80,397 209,569
Net asset value per share $10.02 $6.48

C CLASS
Net assets $2,717,748 $2,001,514
Shares outstanding 271,143 308,936
Net asset value per share $10.02 $6.48

R CLASS
Net assets $26,304 $28,130
Shares outstanding 2,624 4,342
Net asset value per share $10.02 $6.48

See Notes to Financial Statements.

------
29

STATEMENT OF OPERATIONS

YEAR ENDED MARCH 31, 2007
Diversified Bond High-Yield
INVESTMENT INCOME (LOSS)

INCOME:

Interest $36,997,881 $5,561,173

Securities lending 121,754 23,958
----------- ----------
37,119,635 5,585,131
----------- ----------

EXPENSES:

Management fees 3,582,923 616,422

Distribution fees:

Advisor Class 11,672 1,515

B Class 6,262 9,200

C Class 18,068 14,759

Service fees:

Advisor Class 11,672 1,515

B Class 2,087 3,067

C Class 6,022 4,920

Distribution and service fees:

A Class 18,043 27,972

R Class 127 131

Trustees' fees and expenses 27,711 2,867
Other expenses 1,175 122
----------- ----------
3,685,762 682,490
Amount waived -- (58,626)
----------- ----------
3,685,762 623,864
----------- ----------

NET INVESTMENT INCOME (LOSS) 33,433,873 4,961,267
----------- ----------

REALIZED AND UNREALIZED GAIN (LOSS)

NET REALIZED GAIN (LOSS) ON:

Investment and foreign currency transactions (1,992,414) 124,330

Futures and swaps transactions (1,028,423) (106,606)
----------- ----------
(3,020,837) 17,724
----------- ----------
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:

Investments and translation of assets and liabilities in foreign
currencies 11,350,596 1,114,132

Futures and swaps 800,575 40,828
----------- ----------
12,151,171 1,154,960
----------- ----------

NET REALIZED AND UNREALIZED GAIN (LOSS) 9,130,334 1,172,684
----------- ----------

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $42,564,207 $6,133,951
=========== ==========

See Notes to Financial Statements.

------
30

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED MARCH 31, 2007 AND MARCH 31, 2006
Diversified Bond High-Yield
Increase (Decrease) in Net
Assets 2007 2006 2007 2006

OPERATIONS

Net investment income (loss) $ 33,433,873 $ 25,984,480 $ 4,961,267 $ 4,302,756

Net realized gain (loss) (3,020,837) (5,011,899) 17,724 (15,073)

Change in net unrealized
appreciation (depreciation) 12,151,171 (9,619,678) 1,154,960 (403,901)
------------ ------------ ----------- -----------
Net increase (decrease) in net
assets resulting from operations 42,564,207 11,352,903 6,133,951 3,883,782
------------ ------------ ----------- -----------

DISTRIBUTIONS TO SHAREHOLDERS

From net investment income:

Investor Class (13,796,392) (8,278,499) (3,048,546) (2,727,023)

Institutional Class (18,990,587) (17,369,743) (947,906) (419,682)

Advisor Class (202,222) (210,522) (38,759) (26,097)

A Class (313,123) (236,977) (717,605) (888,500)

B Class (29,896) (23,055) (69,352) (68,092)

C Class (85,835) (43,329) (111,418) (172,294)

R Class (1,039) (621) (1,617) (1,068)
------------ ------------ ----------- -----------
Decrease in net assets from
distributions (33,419,094) (26,162,746) (4,935,203) (4,302,756)
------------ ------------ ----------- -----------

CAPITAL SHARE TRANSACTIONS

Net increase (decrease) in net
assets from capital share
transactions 109,144,189 166,070,874 17,128,138 3,061,218
------------ ------------ ----------- -----------

NET INCREASE (DECREASE) IN NET
ASSETS 118,289,302 151,261,031 18,326,886 2,642,244

NET ASSETS

Beginning of period 680,449,967 529,188,936 66,766,454 64,124,210
------------ ------------ ----------- -----------
End of period $798,739,269 $680,449,967 $85,093,340 $66,766,454
============ ============ =========== ===========

Accumulated net investment loss $(163,172) -- $(1,359) --
============ ============ =========== ===========

See Notes to Financial Statements.

------
31

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. Diversified Bond Fund (Diversified Bond) and
High-Yield Fund (High-Yield) (the funds) are two funds in a series issued by
the trust. The funds are diversified under the 1940 Act. Diversified Bond's
investment objective is to seek a high level of income by investing in
non-money market debt securities. High-Yield's investment objective is to seek
high current income by investing in high-yield corporate bonds and other debt
securities. High-Yield invests primarily in lower-rated debt securities, which
are subject to greater credit risk and consequently offer higher yields. The
following is a summary of the funds' significant accounting policies.

MULTIPLE CLASS -- The funds are authorized to issue the Investor Class, the
Institutional Class, the Advisor Class, the A Class, the B Class, the C Class
and the R Class. The A Class may incur an initial sales charge. The A Class, B
Class and C Class may be subject to a contingent deferred sales charge. The
share classes differ principally in their respective sales charges and
distribution and shareholder servicing expenses and arrangements. All shares
of the funds represent an equal pro rata interest in the net assets of the
class to which such shares belong, and have identical voting, dividend,
liquidation and other rights and the same terms and conditions, except for
class specific expenses and exclusive rights to vote on matters affecting only
individual classes. Income, non-class specific expenses, and realized and
unrealized capital gains and losses of the funds are allocated to each class
of shares based on their relative net assets. The funds are closed to new
self-directed retail investors. Sale of the funds' R Class commenced on July
29, 2005.

SECURITY VALUATIONS -- Debt securities maturing in greater than 60 days are
valued at current market value as provided by a commercial pricing service or
at the mean of the most recent bid and asked prices. Debt securities maturing
within 60 days may be valued at cost, plus or minus any amortized discount or
premium. Discount notes may be valued through a commercial pricing service or
at amortized cost, which approximates fair value. Securities traded primarily
on a principal securities exchange are valued at the last reported sales
price, or at the mean of the latest bid and asked prices where no last sales
price is available. Securities traded on foreign securities exchanges and
over-the-counter markets are normally completed before the close of business
on days that the New York Stock Exchange (the Exchange) is open and may also
take place on days when the Exchange is not open. If an event occurs after the
value of a security was established but before the net asset value per share
was determined that was likely to materially change the net asset value, that
security would be valued at fair value as determined in accordance with
procedures adopted by the Board of Trustees. If the funds determine that the
market price of a portfolio security is not readily available, or that the
valuation methods mentioned above do not reflect the security's fair value,
such security is valued at its fair value as determined by, or in accordance
with procedures adopted by, the Board of Trustees or its designee if such fair
value determination would materially impact a fund's net asset value. Certain
other circumstances may cause the funds to fair value a security such as: a
security has been declared in default; trading in a security has been halted
during the trading day; or there is a foreign market holiday and no trading
will commence.

INVESTMENT INCOME -- Interest income less foreign taxes withheld, if any, is
recorded on the accrual basis and includes paydown gain (loss) and accretion
of discounts and amortization of premiums.

SECURITIES ON LOAN -- The funds may lend portfolio securities through their
lending agent to certain approved borrowers in order to earn additional
income. The funds continue to recognize any gain or loss in the market price
of the securities loaned and record any interest earned or dividends declared.

FOREIGN CURRENCY TRANSACTIONS -- All assets and liabilities initially
expressed in foreign currencies are translated into U.S. dollars at prevailing
exchange rates at period end. Purchases and sales of investment securities,
dividend and interest income, and certain expenses are translated at the rates
of exchange prevailing on the respective dates of such transactions. For
assets and liabilities, other than investments in securities, net realized and
unrealized gains and losses from foreign currency translations arise from
changes in currency exchange rates.

------
32

Net realized and unrealized foreign currency exchange gains or losses
occurring during the holding period of investment securities are a component
of realized gain (loss) on investment transactions and unrealized appreciation
(depreciation) on investments, respectively. Certain countries may impose
taxes on the contract amount of purchases and sales of foreign currency
contracts in their currency. The funds record the foreign tax expense, if any,
as a reduction to the net realized gain (loss) on foreign currency
transactions.

WHEN-ISSUED AND FORWARD COMMITMENTS -- The funds may engage in securities
transactions on a when-issued or forward commitment basis. In these
transactions, the securities' prices and yields are fixed on the date of the
commitment. In a when-issued transaction, the payment and delivery are
scheduled for a future date and during this period, securities are subject to
market fluctuations. In a forward commitment transaction, the funds may sell a
security and at the same time make a commitment to purchase the same security
at a future date at a specified price. Conversely, the funds may purchase a
security and at the same time make a commitment to sell the same security at a
future date at a specified price. These types of transactions are executed
simultaneously in what are known as "roll" transactions. The funds will
segregate cash, cash equivalents or other appropriate liquid securities on
their records in amounts sufficient to meet the purchase price. The funds
account for "roll" transactions as purchases and sales; as such these
transactions may increase portfolio turnover.

TRACERS(SM)/TRAINS(SM) -- The funds may invest in TRACERS and TRAINS which
represent ownership of a specified percentage of each security in an
underlying pool of securities. Owners are entitled to receive a pro rata share
of distributions from the underlying securities. In the event an underlying
security is downgraded by a rating agency, that portion of the investment
product will be redeemed and the underlying security will be distributed to
the owner pro rata or the owner may receive cash proceeds. The risk of owning
these products are the same as owning the individual securities, but enable
each fund to be more diversified by owning a single security.

FUTURES CONTRACTS -- The funds may enter into futures contracts in order to
manage the funds' exposure to changes in market conditions. One of the risks
of entering into futures contracts is the possibility that the change in value
of the contract may not correlate with the changes in value of the underlying
securities. Upon entering into a futures contract, the funds are required to
deposit either cash or securities in an amount equal to a certain percentage
of the contract value (initial margin). Subsequent payments (variation margin)
are made or received daily, in cash, by the funds. The variation margin is
equal to the daily change in the contract value and is recorded as unrealized
gains and losses. The funds recognize a realized gain or loss when the
contract is closed or expires. Net realized and unrealized gains or losses
occurring during the holding period of futures contracts are a component of
realized gain (loss) on futures and swaps transactions and unrealized
appreciation (depreciation) on futures and swaps, respectively.

SWAP AGREEMENTS -- The funds may enter into a swap agreement in order to
attempt to obtain or preserve a particular return or spread at a lower cost
than obtaining a return or spread through purchases and/or sales of
instruments in other markets; protect against currency fluctuations; attempt
to manage duration to protect against any increase in the price of securities
the funds anticipate purchasing at a later date; or gain exposure to certain
markets in the most economical way possible. A basic swap agreement is a
contract in which two parties agree to exchange the returns earned or realized
on predetermined investments or instruments. Credit default swaps enable an
investor to buy/sell protection against a credit event of a specific issuer.
The seller of credit protection against a security or basket of securities
receives an up-front or periodic payment to compensate against potential
default events. The funds may enhance returns by selling protection or attempt
to mitigate credit risk by buying protection. The funds will segregate cash,
cash equivalents or other appropriate liquid securities on their records in
amounts sufficient to meet requirements. Unrealized gains are reported as an
asset and unrealized losses are reported as a liability on the Statement of
Assets and Liabilities. Swap agreements are valued daily and changes in value,
including the periodic amounts of interest to be paid or received on swaps,
are recorded as unrealized appreciation (depreciation) on futures and swaps.
Realized gain or loss is recorded upon receipt or payment of a periodic
settlement or termination of swap agreements. The risks of entering into swap
agreements include the possible lack of liquidity, failure of the counterparty
to meet its obligations, and that there may be unfavorable changes in the
underlying investments and instruments.

------
33

obtain those securities in the event of a default under the repurchase
agreement. ACIM monitors, on a daily basis, the securities transferred to
ensure the value, including accrued interest, of the securities under each
repurchase agreement is equal to or greater than amounts owed to each fund
under each repurchase agreement.

JOINT TRADING ACCOUNT -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, each fund, along with other registered
investment companies having management agreements with ACIM or American
Century Global Investment Management, Inc. (ACGIM), may transfer uninvested
cash balances into a joint trading account. These balances are invested in one
or more repurchase agreements that are collateralized by U.S. Treasury or
Agency obligations.

INCOME TAX STATUS -- It is each fund's policy to distribute substantially all
net investment income and net realized gains to shareholders and to otherwise
qualify as a regulated investment company under provisions of the Internal
Revenue Code. Accordingly, no provision has been made for federal or state
income taxes.

DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income for
the funds are declared daily and paid monthly. Distributions from net realized
gains for the funds, if any, are generally declared and paid annually.

INDEMNIFICATIONS -- Under the trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the funds. In addition, in the normal course of
business, the funds enter into contracts that provide general
indemnifications. The funds' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the
funds. The risk of material loss from such claims is considered by management
to be remote.

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
ACIM, under which ACIM provides the funds with investment advisory and
management services in exchange for a single, unified management fee (the fee)
per class. The Agreement provides that all expenses of the funds, except
brokerage commissions, taxes, interest, fees and expenses of those trustees
who are not considered "interested persons" as defined in the 1940 Act
(including counsel fees) and extraordinary expenses, will be paid by ACIM. The
fee is computed and accrued daily based on the daily net assets of each
specific class of shares of each fund and paid monthly in arrears. The fee
consists of (1) an Investment Category Fee based on the daily net assets of
the funds and certain other accounts managed by the investment advisor that
are in the same broad investment category as each fund and (2) a Complex Fee
based on the assets of all the funds in the American Century family of funds.
The rates for the Investment Category Fee range from 0.2925% to 0.4100% for
Diversified Bond and from 0.5425% to 0.6600% for High-Yield. The rates for the
Complex Fee (Investor Class, A Class, B Class, C Class and R Class) range from
0.2500% to 0.3100%. The Institutional Class is 0.2000% less and the Advisor
Class is 0.2500% less at each point within the Complex Fee range. For the
period from July 29, 2005 through July 31, 2006, ACIM voluntarily agreed to
waive 0.095% of its management fee for High-Yield. Effective August 1, 2006,
ACIM voluntarily agreed to waive 0.071% of its management fee for High-Yield.
The total amount of the waiver for the year ended March 31, 2007, was $36,098,
$10,685, $464, $8,838, $963, $1,557 and $21 for the Investor Class,
Institutional Class, Advisor Class, A Class, B Class, C Class and R Class,
respectively. The fee waiver may be revised or terminated at any time without
notice.

The effective annual management fee for each class of each fund for the year
ended March 31, 2007, was as follows:

Investor, A, B, C & R Institutional Advisor
Diversified Bond 0.62% 0.42% 0.37%
High-Yield (before waiver) 0.87% 0.67% 0.62%
High-Yield (after waiver) 0.79% 0.59% 0.54%

------
34

DISTRIBUTION AND SERVICE FEES -- The Board of Trustees has adopted a Master
Distribution and Shareholder Services Plan for the Advisor Class (the Advisor
Class plan) and a separate Master Distribution and Individual Shareholder
Services Plan for each of the A Class, B Class, C Class and R Class
(collectively with the Advisor Class plan, the plans), pursuant to Rule 12b-1
of the 1940 Act. The plans provide that the Advisor Class will pay American
Century Investment Services, Inc. (ACIS) an annual distribution fee of 0.25%
and service fee of 0.25%. The plans provide that the A Class will pay ACIS an
annual distribution and service fee of 0.25%. The plans provide that the B
Class and the C Class will pay ACIS an annual distribution fee of 0.75% and
service fee of 0.25%. The plans provide that the R Class will pay ACIS an
annual distribution and service fee of 0.50%. The fees are computed and
accrued daily based on each class's daily net assets and paid monthly in
arrears. The distribution fee provides compensation for expenses incurred in
connection with distributing shares of the classes including, but not limited
to, payments to brokers, dealers, and financial institutions that have entered
into sales agreements with respect to shares of the funds. The service fee
provides compensation for shareholder and administrative services rendered by
ACIS, its affiliates or independent third party providers for Advisor Class
shares and for individual shareholder services rendered by broker/dealers or
other independent financial intermediaries for A Class, B Class, C Class and R
Class shares. Fees incurred under the plans during the year ended March 31,
2007, are detailed in the Statement of Operations.

RELATED PARTIES -- Certain officers and trustees of the trust are also
officers and/or directors, and, as a group, controlling stockholders of
American Century Companies, Inc. (ACC), the parent of the trust's investment
advisor, ACIM, the distributor of the trust, ACIS, and the trust's transfer
agent, American Century Services, LLC. American Century Asset Allocation
Portfolios, Inc. (ACAAP) owns 33% and 52% of the shares of Diversified Bond
and High-Yield, respectively. ACAAP does not invest in the funds for the
purpose of exercising management or control.

The funds have a bank line of credit agreement and securities lending
agreement with JPMorgan Chase Bank (JPMCB). JPMCB is a custodian of the funds
and a wholly owned subsidiary of JPMorgan Chase & Co. (JPM). JPM is an equity
investor in ACC.

3. INVESTMENT TRANSACTIONS

Investment transactions, excluding short-term investments, for the year ended
March 31, 2007, were as follows:

Diversified Bond High-Yield
PURCHASES

U.S. Treasury & Government Agency Obligations $2,150,000,327 --

Investment securities other than U.S. Treasury & Government Agency
Obligations $209,412,112 $38,174,021

PROCEEDS FROM SALES

U.S. Treasury & Government Agency Obligations $2,005,083,587 $994,118

Investment securities other than U.S. Treasury & Government Agency
Obligations $183,309,858 $27,959,814

For the year ended March 31, 2007, Diversified Bond incurred net realized
losses of $1,823,747 from a redemption in kind. A redemption in kind occurs
when a fund delivers securities from its portfolio in lieu of cash as payment
to a redeeming shareholder.

------
35

4. CAPITAL SHARE TRANSACTIONS

Transactions in shares of the funds were as follows (unlimited number of
shares authorized):

Diversified Bond
Year ended March 31, 2007 Year ended March 31, 2006(1)
Shares Amount Shares Amount

INVESTOR CLASS

Sold 19,083,598 $189,679,584 7,808,708 $ 78,850,698

Issued in reinvestment of
distributions 551,974 5,481,168 536,988 5,426,621

Redeemed (3,072,427) (30,463,768) (3,422,528) (34,610,361)
------------ ------------- ----------- ------------
16,563,145 164,696,984 4,923,168 49,666,958
------------ ------------- ----------- ------------

INSTITUTIONAL CLASS

Sold 12,690,857 125,229,593 16,101,487 162,621,605

Issued in reinvestment of
distributions 785,190 7,795,930 697,667 7,047,145

Redeemed (19,152,457) (188,236,458) (5,519,540) (55,648,083)
------------ ------------- ----------- ------------
(5,676,410) (55,210,935) 11,279,614 114,020,667
------------ ------------- ----------- ------------

ADVISOR CLASS

Sold 121,547 1,207,066 295,210 2,979,735

Issued in reinvestment of
distributions 18,205 180,700 19,229 194,316

Redeemed (370,803) (3,680,623) (280,450) (2,830,313)
------------ ------------- ----------- ------------
(231,051) (2,292,857) 33,989 343,738
------------ ------------- ----------- ------------

A CLASS

Sold 359,978 3,569,345 374,541 3,796,765

Issued in reinvestment of
distributions 27,435 272,444 20,028 201,978

Redeemed (329,552) (3,266,681) (192,740) (1,946,128)
------------ ------------- ----------- ------------
57,861 575,108 201,829 2,052,615
------------ ------------- ----------- ------------

B CLASS

Sold 30,434 301,436 15,070 152,344

Issued in reinvestment of
distributions 2,190 21,749 1,836 18,547

Redeemed (28,058) (279,528) (15,588) (157,463)
------------ ------------- ----------- ------------
4,566 43,657 1,318 13,428
------------ ------------- ----------- ------------

C CLASS

Sold 209,537 2,057,287 60,295 610,099

Issued in reinvestment of
distributions 6,593 65,583 2,887 29,170

Redeemed (79,977) (791,675) (68,596) (691,426)
------------ ------------- ----------- ------------
136,153 1,331,195 (5,414) (52,157)
------------ ------------- ----------- ------------

R CLASS

Sold -- -- 2,458 25,005

Issued in reinvestment of
distributions 104 1,037 62 620
------------ ------------- ----------- ------------
104 1,037 2,520 25,625
------------ ------------- ----------- ------------
Net increase (decrease) 10,854,368 $109,144,189 16,437,024 $166,070,874
============ ============= =========== ============

(1) July 29, 2005 (commencement of sale) through March 31, 2006 for R Class.

------
36

High-Yield
Year ended March 31, 2007 Year ended March 31, 2006(1)
Shares Amount Shares Amount

INVESTOR CLASS

Sold 3,955,742 $ 25,227,656 2,180,349 $ 13,942,540

Issued in reinvestment of
distributions 219,459 1,396,011 279,573 1,789,818

Redeemed (2,877,431) (18,220,571) (2,117,976) (13,561,048)
----------- ------------ ----------- ------------
1,297,770 8,403,096 341,946 2,171,310
----------- ------------ ----------- ------------

INSTITUTIONAL CLASS

Sold 1,774,286 11,314,912 1,066,108 6,808,122

Issued in reinvestment of
distributions 8,236 53,017 293 1,878

Redeemed (448,137) (2,872,655) (65,384) (417,123)
----------- ------------ ----------- ------------
1,334,385 8,495,274 1,001,017 6,392,877
----------- ------------ ----------- ------------

ADVISOR CLASS

Sold 93,171 593,364 22,380 143,515

Issued in reinvestment of
distributions 4,098 26,222 1,400 8,962

Redeemed (22,040) (141,034) (20,011) (128,011)
----------- ------------ ----------- ------------
75,229 478,552 3,769 24,466
----------- ------------ ----------- ------------

A CLASS

Sold 613,956 3,907,488 557,021 3,569,732

Issued in reinvestment of
distributions 99,327 632,705 124,590 797,794

Redeemed (799,098) (5,095,378) (1,327,233) (8,503,116)
----------- ------------ ----------- ------------
(85,815) (555,185) (645,622) (4,135,590)
----------- ------------ ----------- ------------

B CLASS

Sold 32,561 207,334 32,108 205,702

Issued in reinvestment of
distributions 6,257 39,884 6,435 41,186

Redeemed (14,471) (92,149) (25,271) (161,726)
----------- ------------ ----------- ------------
24,347 155,069 13,272 85,162
----------- ------------ ----------- ------------

C CLASS

Sold 130,824 831,650 84,511 542,886

Issued in reinvestment of
distributions 5,694 36,239 7,368 47,183

Redeemed (113,320) (718,696) (327,746) (2,093,146)
----------- ------------ ----------- ------------
23,198 149,193 (235,867) (1,503,077)
----------- ------------ ----------- ------------

R CLASS

Sold 82 527 3,840 25,003

Issued in reinvestment of
distributions 253 1,612 167 1,067
----------- ------------ ----------- ------------
335 2,139 4,007 26,070
----------- ------------ ----------- ------------
Net increase (decrease) 2,669,449 $ 17,128,138 482,522 $ 3,061,218
=========== ============ =========== ============

(1) July 29, 2005 (commencement of sale) through March 31, 2006 for R Class.

------
37

5. SECURITIES LENDING

As of March 31, 2007, securities in Diversified Bond and High-Yield valued at
$222,073,551 and $18,876,085, respectively, were on loan through the lending
agent, JPMCB, to certain approved borrowers. JPMCB receives and maintains
collateral in the form of cash and/or acceptable securities as approved by
ACIM. Cash collateral is invested in authorized investments by the lending
agent in a pooled account. The value of cash collateral received at period end
is disclosed in the Statement of Assets and Liabilities and investments made
with the cash by the lending agent are listed in the Schedule of Investments.
Any deficiencies or excess of collateral must be delivered or transferred by
the member firms no later than the close of business on the next business day.
The total value of all collateral received, at this date, was $227,233,062 and
$19,688,594, respectively. The funds' risks in securities lending are that the
borrower may not provide additional collateral when required or return the
securities when due. If the borrower defaults, receipt of the collateral by
the funds may be delayed or limited.

6. BANK LINE OF CREDIT

The funds, along with certain other funds managed by ACIM or ACGIM, have a
$500,000,000 unsecured bank line of credit agreement with JPMCB. The funds may
borrow money for temporary or emergency purposes to fund shareholder
redemptions. Borrowings under the agreement bear interest at the Federal Funds
rate plus 0.40%. The funds did not borrow from the line during the year ended
March 31, 2007.

7. RISK FACTORS

High-Yield invests primarily in lower-rated debt securities, which are subject
to substantial risks including price volatility, liquidity risk, and default
risk.

8. FEDERAL TAX INFORMATION

The tax character of distributions paid during the years ended March 31, 2007
and March 31, 2006 were as follows:

Diversified Bond High-Yield
2007 2006 2007 2006
DISTRIBUTIONS PAID FROM

Ordinary income $33,419,094 $26,162,746 $4,935,203 $4,302,756

Long-term capital gains -- -- -- --

The book-basis character of distributions made during the year from net
investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. These differences reflect
the differing character of paydown losses, certain income items and net
realized gains and losses for financial statement and tax purposes, and may
result in reclassification among certain capital accounts on the financial
statements. The reclassifications, which reflect character differences
primarily related to federal income tax treatment of a redemption in kind,
paydown losses and income, expense and gain (loss) settlements on swap
agreements, were as follows:

Diversified Bond High-Yield

Capital paid in $(1,897,834) --

Undistributed net investment income $(177,951) $(27,423)

Accumulated net realized loss $2,175,599 $26,479

Unrealized appreciation (depreciation) $(99,814) $944

------
38

As of March 31, 2007, the components of distributable earnings on a tax-basis
and the federal tax cost of investments were as follows:

Diversified Bond High-Yield

Federal tax cost of investments $1,154,204,712 $102,228,938
============== ============

Gross tax appreciation of investments $ 4,029,691 $2,208,127

Gross tax depreciation of investments (3,450,137) (295,395)
-------------- ------------
Net tax appreciation (depreciation) of investments $ 579,554 $1,912,732
============== ============
Net tax appreciation (depreciation) on derivatives and
translation of assets and liabilities in foreign currencies $334,296 $ (640)
-------------- ------------
Net tax appreciation (depreciation) $913,850 $1,912,092
============== ============

Accumulated net investment loss $(163,172) $(1,359)

Accumulated capital losses $(7,079,117) $(12,828,370)

The difference between book-basis and tax-basis cost and unrealized
appreciation (depreciation) is attributable primarily to the tax deferral of
losses on wash sales and the realization for tax purposes of unrealized gains
for certain futures contracts.

The accumulated capital losses listed above represent net capital loss
carryovers that may be used to offset future realized capital gains for
federal income tax purposes. Future capital loss carryover utilization in any
given year may be limited due to large shareholder redemptions. The capital
loss carryovers expire as follows:

2009 2010 2013 2014 2015
Diversified Bond -- -- $(1,154,579) $(591,687) $(5,332,851)

High-Yield $(2,522,625) $(10,290,681) -- $(15,064) --

9. RECENTLY ISSUED ACCOUNTING STANDARDS

In June 2006, the Financial Accounting Standards Board (FASB) issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes -- an
Interpretation of FASB Statement No. 109" (FIN 48). FIN 48 establishes a
minimum threshold for financial statement recognition of the benefit of
positions taken in filing tax returns (including whether an entity is taxable
in a particular jurisdiction), and requires certain expanded tax disclosures.
FIN 48 is effective for fiscal years beginning after December 15, 2006, and is
to be applied to all open tax years as of the date of effectiveness. The FASB
issued Statement of Financial Accounting Standards No. 157, "Fair Value
Measurements" (FAS 157), in September 2006, which is effective for fiscal
years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands the required
financial statement disclosures about fair value measurements. Management is
currently evaluating the impact of adopting FIN 48 and FAS 157.

------
39

FINANCIAL HIGHLIGHTS
Diversified Bond

Investor Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003
PER-SHARE DATA

Net Asset Value, Beginning of Period $9.89 $10.10 $10.49 $10.47 $9.98
-------- -------- -------- -------- --------
Income From Investment Operations

Net Investment
Income (Loss) 0.45(1) 0.41(1) 0.33(1) 0.36(1) 0.48

Net Realized and
Unrealized Gain (Loss) 0.13 (0.21) (0.27) 0.14 0.49
-------- -------- -------- -------- --------
Total From
Investment Operations 0.58 0.20 0.06 0.50 0.97
-------- -------- -------- -------- --------
Distributions

From Net
Investment Income (0.45) (0.41) (0.34) (0.37) (0.48)

From Net
Realized Gains -- -- (0.11) (0.11) --
-------- -------- -------- -------- --------
Total Distributions (0.45) (0.41) (0.45) (0.48) (0.48)
-------- -------- -------- -------- --------
Net Asset Value,
End of Period $10.02 $9.89 $10.10 $10.49 $10.47
======== ======== ======== ======== ========

TOTAL RETURN(2) 6.05% 1.97% 0.63% 4.92% 9.93%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 0.62% 0.62% 0.63% 0.64% 0.64%

Ratio of Net Investment Income
(Loss) to Average Net Assets 4.58% 4.04% 3.25% 3.38% 4.67%

Portfolio Turnover Rate 323% 341% 386% 324% 151%

Net Assets, End of Period (in
thousands) $394,346 $225,187 $180,346 $177,791 $198,835

(1) Computed using average shares outstanding throughout the period.

(2) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. The total return of the classes may not precisely
reflect the class expense differences because of the impact of calculating the
net asset values to two decimal places. If net asset values were calculated to
three decimal places, the total return differences would more closely reflect
the class expense differences. The calculation of net asset values to two
decimal places is made in accordance with SEC guidelines and does not result
in any gain or loss of value between one class and another.

See Notes to Financial Statements.

------
40

Diversified Bond

Institutional Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003
PER-SHARE DATA

Net Asset Value, Beginning of Period $9.89 $10.10 $10.49 $10.47 $9.98
-------- -------- -------- -------- --------
Income From
Investment Operations

Net Investment
Income (Loss) 0.47(1) 0.43(1) 0.35(1) 0.38(1) 0.50

Net Realized and
Unrealized Gain (Loss) 0.13 (0.21) (0.27) 0.14 0.49
-------- -------- -------- -------- --------
Total From
Investment Operations 0.60 0.22 0.08 0.52 0.99
-------- -------- -------- -------- --------
Distributions

From Net
Investment Income (0.47) (0.43) (0.36) (0.39) (0.50)

From Net
Realized Gains -- -- (0.11) (0.11) --
-------- -------- -------- -------- --------
Total Distributions (0.47) (0.43) (0.47) (0.50) (0.50)
-------- -------- -------- -------- --------
Net Asset Value,
End of Period $10.02 $9.89 $10.10 $10.49 $10.47
======== ======== ======== ======== ========

TOTAL RETURN(2) 6.26% 2.17% 0.83% 5.13% 10.15%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 0.42% 0.42% 0.43% 0.44% 0.44%

Ratio of Net Investment Income
(Loss) to Average Net Assets 4.78% 4.24% 3.45% 3.58% 4.87%

Portfolio Turnover Rate 323% 341% 386% 324% 151%

Net Assets, End of Period (in
thousands) $389,829 $440,579 $336,207 $309,579 $281,998

(1) Computed using average shares outstanding throughout the period.

See Notes to Financial Statements.

------
41

Diversified Bond

Advisor Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003
PER-SHARE DATA

Net Asset Value,
Beginning of Period $9.89 $10.10 $10.49 $10.47 $9.98
------- ------- ------- ------- -------
Income From
Investment Operations

Net Investment
Income (Loss) 0.43(1) 0.38(1) 0.31(1) 0.33(1) 0.46

Net Realized and
Unrealized Gain (Loss) 0.13 (0.21) (0.28) 0.14 0.49
------- ------- ------- ------- -------
Total From
Investment Operations 0.56 0.17 0.03 0.47 0.95
------- ------- ------- ------- -------
Distributions

From Net Investment Income (0.43) (0.38) (0.31) (0.34) (0.46)

From Net Realized Gains -- -- (0.11) (0.11) --
------- ------- ------- ------- -------
Total Distributions (0.43) (0.38) (0.42) (0.45) (0.46)
------- ------- ------- ------- -------
Net Asset Value,
End of Period $10.02 $9.89 $10.10 $10.49 $10.47
======= ======= ======= ======= =======

TOTAL RETURN(2) 5.77% 1.72% 0.38% 4.66% 9.66%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net
Assets 0.87% 0.87% 0.88% 0.89% 0.89%

Ratio of Net Investment Income (Loss) to
Average Net Assets 4.33% 3.79% 3.00% 3.13% 4.42%

Portfolio Turnover Rate 323% 341% 386% 324% 151%

Net Assets, End of Period (in thousands) $3,405 $5,642 $5,421 $7,107 $11,567

(1) Computed using average shares outstanding throughout the period.

See Notes to Financial Statements.

------
42

Diversified Bond

A Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)
PER-SHARE DATA

Net Asset Value,
Beginning of Period $9.89 $10.10 $10.49 $10.47 $10.40
------- ------- ------- ------- -------
Income From
Investment Operations

Net Investment
Income (Loss) 0.43(2) 0.39(2) 0.31(2) 0.33(2) 0.06

Net Realized and
Unrealized Gain (Loss) 0.13 (0.22) (0.28) 0.14 0.07
------- ------- ------- ------- -------
Total From
Investment Operations 0.56 0.17 0.03 0.47 0.13
------- ------- ------- ------- -------
Distributions

From Net Investment Income (0.43) (0.38) (0.31) (0.34) (0.06)

From Net Realized Gains -- -- (0.11) (0.11) --
------- ------- ------- ------- -------
Total Distributions (0.43) (0.38) (0.42) (0.45) (0.06)
------- ------- ------- ------- -------
Net Asset Value,
End of Period $10.02 $9.89 $10.10 $10.49 $10.47
======= ======= ======= ======= =======

TOTAL RETURN(3) 5.79% 1.72% 0.38% 4.65% 1.27%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net
Assets 0.87% 0.87% 0.88% 0.89% 0.88%(4)

Ratio of Net Investment Income (Loss) to
Average Net Assets 4.33% 3.79% 3.00% 3.13% 3.69%(4)

Portfolio Turnover Rate 323% 341% 386% 324% 151%(5)

Net Assets, End of Period (in thousands) $7,609 $6,932 $5,044 $3,625 $294

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(4) Annualized.

(5) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended March 31, 2003.

See Notes to Financial Statements.

------
43

Diversified Bond

B Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)
PER-SHARE DATA

Net Asset Value,
Beginning of Period $9.89 $10.10 $10.49 $10.47 $10.40
------- ------- ------- ------- -------
Income From
Investment Operations

Net Investment
Income (Loss) 0.35(2) 0.31(2) 0.23(2) 0.26(2) 0.05

Net Realized and
Unrealized Gain (Loss) 0.13 (0.21) (0.27) 0.14 0.07
------- ------- ------- ------- -------
Total From
Investment Operations 0.48 0.10 (0.04) 0.40 0.12
------- ------- ------- ------- -------
Distributions

From Net
Investment Income (0.35) (0.31) (0.24) (0.27) (0.05)

From Net Realized Gains -- -- (0.11) (0.11) --
------- ------- ------- ------- -------
Total Distributions (0.35) (0.31) (0.35) (0.38) (0.05)
------- ------- ------- ------- -------
Net Asset Value,
End of Period $10.02 $9.89 $10.10 $10.49 $10.47
======= ======= ======= ======= =======

TOTAL RETURN(3) 5.00% 0.96% (0.37)% 3.87% 1.20%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 1.62% 1.62% 1.63% 1.64% 1.61%(4)(5)

Ratio of Net Investment Income (Loss)
to Average Net Assets 3.58% 3.04% 2.25% 2.38% 2.98%(4)(5)

Portfolio Turnover Rate 323% 341% 386% 324% 151%(6)

Net Assets, End of Period (in
thousands) $806 $750 $753 $615 $84

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

(5) During the period ended March 31, 2003, the distributor voluntarily waived
a portion of its distribution and service fees. Had fees not been waived the
annualized ratio of operating expenses to average net assets and annualized
ratio of net investment income (loss) to average net assets would have been
1.63% and 2.96%, respectively.

(6) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended March 31, 2003.

See Notes to Financial Statements.

------
44

Diversified Bond

C Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)

PER-SHARE DATA

Net Asset Value,
Beginning of Period $9.89 $10.10 $10.49 $10.47 $10.40
------- ------- ------- ------- -------
Income From
Investment Operations

Net Investment
Income (Loss) 0.35(2) 0.31(2) 0.23(2) 0.28(2) 0.05

Net Realized and
Unrealized Gain (Loss) 0.13 (0.21) (0.27) 0.14 0.07
------- ------- ------- ------- -------
Total From
Investment Operations 0.48 0.10 (0.04) 0.42 0.12
------- ------- ------- ------- -------
Distributions

From Net Investment Income (0.35) (0.31) (0.24) (0.29) (0.05)

From Net Realized Gains -- -- (0.11) (0.11) --
------- ------- ------- ------- -------
Total Distributions (0.35) (0.31) (0.35) (0.40) (0.05)
------- ------- ------- ------- -------
Net Asset Value,
End of Period $10.02 $9.89 $10.10 $10.49 $10.47
======= ======= ======= ======= =======

TOTAL RETURN(3) 4.99% 0.96% (0.37)% 4.07% 1.20%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net
Assets 1.62% 1.62% 1.63% 1.47% 1.38%(4)

Ratio of Net Investment Income (Loss) to
Average Net Assets 3.58% 3.04% 2.25% 2.55% 3.23%(4)

Portfolio Turnover Rate 323% 341% 386% 324% 151%(5)

Net Assets, End of Period (in thousands) $2,718 $1,334 $1,418 $1,347 $342

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

(5) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended March 31, 2003.

See Notes to Financial Statements.

------
45

Diversified Bond

R Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)
PER-SHARE DATA

Net Asset Value, Beginning of Period $9.89 $10.17
------- -------
Income From Investment Operations

Net Investment Income (Loss)(2) 0.40 0.25

Net Realized and Unrealized Gain (Loss) 0.13 (0.28)
------- -------
Total From Investment Operations 0.53 (0.03)
------- -------
Distributions

From Net Investment Income (0.40) (0.25)
------- -------
Net Asset Value, End of Period $10.02 $9.89
======= =======

TOTAL RETURN(3) 5.52% (0.33)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.12% 1.12%(4)

Ratio of Net Investment Income (Loss)
to Average Net Assets 4.08% 3.68%(4)

Portfolio Turnover Rate 323% 341%(5)

Net Assets, End of Period (in thousands) $26 $25

(1) July 29, 2005 (commencement of sale) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(4) Annualized.

(5) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended March 31, 2006.

See Notes to Financial Statements.

------
46

High-Yield

Investor Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1) 2002
PER-SHARE DATA

Net Asset Value, Beginning
of Period $6.38 $6.42 $6.55 $6.13 $5.76 $6.18
-------- -------- ------- ------- -------- -------
Income From Investment
Operations

Net Investment
Income (Loss) 0.42 0.43 0.46 0.50 0.18 0.52

Net Realized
and Unrealized
Gain (Loss) 0.10 (0.04) (0.13) 0.42 0.37 (0.42)
-------- -------- ------- ------- -------- -------
Total From
Investment
Operations 0.52 0.39 0.33 0.92 0.55 0.10
-------- -------- ------- ------- -------- -------
Distributions

From Net
Investment
Income (0.42) (0.43) (0.46) (0.50) (0.18) (0.52)
-------- -------- ------- ------- -------- -------
Net Asset Value,
End of Period $6.48 $6.38 $6.42 $6.55 $6.13 $5.76
======== ======== ======= ======= ======== =======

TOTAL RETURN(2) 8.54% 6.29% 5.17% 15.53% 9.61% 1.43%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating
Expenses to Average Net
Assets 0.79%(3) 0.81%(3) 0.88% 0.89% 0.88%(4) 0.90%

Ratio of Operating
Expenses to Average Net
Assets (Before Expense
Waiver) 0.87% 0.87% 0.88% 0.89% 0.88%(4) 0.90%

Ratio of Net Investment
Income (Loss) to Average
Net Assets 6.69%(3) 6.74%(3) 7.04% 7.82% 7.22%(4) 8.37%

Ratio of Net Investment
Income (Loss) to Average
Net Assets (Before Expense
Waiver) 6.61% 6.68% 7.04% 7.82% 7.22%(4) 8.37%

Portfolio Turnover Rate 45% 40% 64% 80% 9% 80%

Net Assets, End of Period
(in thousands) $51,717 $42,650 $40,746 $54,074 $78,223 $50,287

(1) November 1, 2002 through March 31, 2003. The fund's fiscal year was
changed from October 31 to March 31, resulting in a five-month annual
reporting period. For the years before 2003, the fund's fiscal year end was
October 31.

(2) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(3) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) Annualized.

See Notes to Financial Statements.

------
47

High-Yield

Institutional Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005(1)
PER-SHARE DATA

Net Asset Value, Beginning of Period $6.38 $6.42 $6.43
-------- -------- --------
Income From Investment Operations

Net Investment Income (Loss) 0.44 0.44 0.30

Net Realized and Unrealized Gain (Loss) 0.10 (0.04) (0.01)
-------- -------- --------
Total From Investment Operations 0.54 0.40 0.29
-------- -------- --------
Distributions

From Net Investment Income (0.44) (0.44) (0.30)
-------- -------- --------
Net Asset Value, End of Period $6.48 $6.38 $6.42
======== ======== ========

TOTAL RETURN(2) 8.76% 6.50% 4.53%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.59%(3) 0.61%(3) 0.68%(4)

Ratio of Operating Expenses to Average Net Assets (Before Expense
Waiver) 0.67% 0.67% 0.68%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets 6.89%(3) 6.94%(3) 4.37%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets
(Before Expense Waiver) 6.81% 6.88% 4.37%(4)

Portfolio Turnover Rate 45% 40% 64%(5)

Net Assets, End of Period (in thousands) $18,177 $9,387 $3,021

(1) August 2, 2004 (commencement of sale) through March 31, 2005.

(3) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) Annualized.

(5) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for its year ended March 31, 2005.

See Notes to Financial Statements.

------
48

High-Yield

Advisor Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1) 2002(2)
PER-SHARE DATA

Net Asset
Value,
Beginning of
Period $6.38 $6.42 $6.55 $6.13 $5.76 $6.22
-------- -------- ------ -------- -------- --------

Income From
Investment
Operations

Net
Investment
Income
(Loss) 0.41 0.42 0.44 0.49 0.18 0.30

Net Realized
and
Unrealized
Gain (Loss) 0.10 (0.04) (0.13) 0.42 0.37 (0.46)
-------- -------- ------ -------- -------- --------
Total From
Investment
Operations 0.51 0.38 0.31 0.91 0.55 (0.16)
-------- -------- ------ -------- -------- --------
Distributions

From Net
Investment
Income (0.41) (0.42) (0.44) (0.49) (0.18) (0.30)
-------- -------- ------ -------- -------- --------
Net Asset
Value, End
of Period $6.48 $6.38 $6.42 $6.55 $6.13 $5.76
======== ======== ====== ======== ======== ========

TOTAL RETURN(3) 8.27% 6.02% 4.91% 15.35% 9.63% (2.72)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating
Expenses to Average
Net Assets 1.04%(4) 1.06%(4) 1.13% 1.12%(5) 0.84%(5)(6) 1.15%(6)

Ratio of Operating
Expenses to Average
Net Assets (Before
Expense Waiver) 1.12% 1.12% 1.13% 1.14% 1.13%(6) 1.15%(6)

Ratio of Net
Investment Income
(Loss) to Average Net
Assets 6.44%(4) 6.49%(4) 6.79% 7.59%(5) 7.27%(5)(6) 7.63%(6)

Ratio of Net
Investment Income
(Loss) to Average Net
Assets (Before
Expense Waiver) 6.36% 6.43% 6.79% 7.57% 6.98%(6) 7.63%(6)

Portfolio Turnover
Rate 45% 40% 64% 80% 9% 80%(7)

Net Assets, End of
Period (in thousands) $900 $407 $385 $242 $1 $4

(1) November 1, 2002 through March 31, 2003. The fund's fiscal year was
changed from October 31 to March 31, resulting in a five-month annual
reporting period.

(2) March 8, 2002 (commencement of sale) through October 31, 2002.

(4) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(5) During the period ended March 31, 2003 and the year ended March 31, 2004,
the distributor voluntarily waived a portion of its distribution and service
fees.

(6) Annualized.

(7) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended October 31, 2002.

See Notes to Financial Statements.

------
49

High-Yield

A Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)
PER-SHARE DATA

Net Asset Value, Beginning of Period $6.38 $6.42 $6.55 $6.13 $5.98
-------- -------- ------- ------- --------
Income From Investment Operations

Net Investment
Income (Loss) 0.41 0.42 0.44 0.49 0.07

Net Realized and
Unrealized Gain (Loss) 0.10 (0.04) (0.13) 0.42 0.15
-------- -------- ------- ------- --------
Total From Investment
Operations 0.51 0.38 0.31 0.91 0.22
-------- -------- ------- ------- --------
Distributions

From Net
Investment Income (0.41) (0.42) (0.44) (0.49) (0.07)
-------- -------- ------- ------- --------
Net Asset Value,
End of Period $6.48 $6.38 $6.42 $6.55 $6.13
======== ======== ======= ======= ========

TOTAL RETURN(2) 8.27% 6.02% 4.91% 15.24% 3.74%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average
Net Assets 1.04%(3) 1.06%(3) 1.13% 1.14% 1.13%(4)

Ratio of Operating Expenses to Average
Net Assets (Before Expense Waiver) 1.12% 1.12% 1.13% 1.14% 1.13%(4)

Ratio of Net Investment Income (Loss)
to Average Net Assets 6.44%(3) 6.49%(3) 6.79% 7.57% 8.01%(4)

Ratio of Net Investment Income (Loss)
to Average Net Assets (Before Expense
Waiver) 6.36% 6.43% 6.79% 7.57% 8.01%(4)

Portfolio Turnover Rate 45% 40% 64% 80% 9%(5)

Net Assets, End of Period (in
thousands) $10,911 $11,293 $15,517 $12,449 $763

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(2) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(3) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) Annualized.

(5) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the period ended March 31, 2003.

See Notes to Financial Statements.

------
50

High-Yield

B Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1)
PER-SHARE DATA

Net Asset Value,
Beginning of Period $6.38 $6.42 $6.55 $6.13 $5.98
-------- -------- ------ ------ --------
Income From Investment
Operations

Net Investment Income
(Loss) 0.36 0.37 0.39 0.44 0.07

Net Realized and
Unrealized Gain (Loss) 0.10 (0.04) (0.13) 0.42 0.15
-------- -------- ------ ------ --------
Total From Investment
Operations 0.46 0.33 0.26 0.86 0.22
-------- -------- ------ ------ --------
Distributions

From Net Investment
Income (0.36) (0.37) (0.39) (0.44) (0.07)
-------- -------- ------ ------ --------
Net Asset Value,
End of Period $6.48 $6.38 $6.42 $6.55 $6.13
======== ======== ====== ====== ========

TOTAL RETURN(2) 7.47% 5.23% 4.13% 14.38% 3.64%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 1.79%(3) 1.81%(3) 1.88% 1.89% 1.86%(4)(5)

Ratio of Operating Expenses to
Average Net Assets (Before Expense
Waiver) 1.87% 1.87% 1.88% 1.89% 1.88%(4)

Ratio of Net Investment Income (Loss)
to Average Net Assets 5.69%(3) 5.74%(3) 6.04% 6.82% 7.27%(4)(5)

Ratio of Net Investment Income (Loss)
to Average Net Assets (Before Expense
Waiver) 5.61% 5.68% 6.04% 6.82% 7.25%(4)

Portfolio Turnover Rate 45% 40% 64% 80% 9%(6)

Net Assets, End of Period (in
thousands) $1,358 $1,182 $1,105 $855 $57

(1) January 31, 2003 (commencement of sale) through March 31, 2003.

(3) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) Annualized.

(5) During the period ended March 31, 2003, the distributor voluntarily waived
a portion of its distribution and service fees.

(6) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the period ended March 31, 2003.

See Notes to Financial Statements.

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51

High-Yield

C Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006 2005 2004 2003(1) 2002(2)
PER-SHARE DATA

Net Asset Value, Beginning
of Period $6.38 $6.42 $6.55 $6.13 $5.76 $6.32
-------- -------- ------ ------ -------- --------
Income From Investment
Operations

Net Investment
Income (Loss) 0.36 0.37 0.39 0.45 0.16 0.41

Net Realized and
Unrealized Gain
(Loss) 0.10 (0.04) (0.13) 0.42 0.37 (0.56)
-------- -------- ------ ------ -------- --------
Total From
Investment
Operations 0.46 0.33 0.26 0.87 0.53 (0.15)
-------- -------- ------ ------ -------- --------
Distributions

From Net
Investment
Income (0.36) (0.37) (0.39) (0.45) (0.16) (0.41)
-------- -------- ------ ------ -------- --------
Net Asset Value, End of
Period $6.48 $6.38 $6.42 $6.55 $6.13 $5.76
======== ======== ====== ====== ======== ========

TOTAL RETURN(3) 7.46% 5.23% 4.13% 14.60% 9.28% (2.49)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses
to Average Net Assets 1.79%(4) 1.81%(4) 1.88% 1.72% 1.63%(5) 1.65%(5)

Ratio of Operating Expenses
to Average Net Assets
(Before Expense Waiver) 1.87% 1.87% 1.88% 1.72% 1.63%(5) 1.65%(5)

Ratio of Net Investment
Income (Loss) to Average
Net Assets 5.69%(4) 5.74%(4) 6.04% 6.99% 6.48%(5) 7.78%(5)

Ratio of Net Investment
Income (Loss) to Average
Net Assets (Before Expense
Waiver) 5.61% 5.68% 6.04% 6.99% 6.48%(5) 7.78%(5)

Portfolio Turnover Rate 45% 40% 64% 80% 9% 80%(6)

Net Assets, End of Period
(in thousands) $2,002 $1,823 $3,351 $3,590 $283 $31

(1) November 1, 2002 through March 31, 2003. The fund's fiscal year was
changed from October 31 to March 31, resulting in a five-month annual
reporting period.

(2) December 10, 2001 (commencement of sale) through October 31, 2002.

(4) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(5) Annualized.

(6) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended October 31, 2002.

See Notes to Financial Statements.

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52

High-Yield

R Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)
PER-SHARE DATA

Net Asset Value, Beginning of Period $6.38 $6.51
------- -------
Income From Investment Operations

Net Investment Income (Loss) 0.39 0.27

Net Realized and Unrealized Gain (Loss) 0.10 (0.13)
------- -------
Total From Investment Operations 0.49 0.14
------- -------
Distributions

From Net Investment Income (0.39) (0.27)
------- -------
Net Asset Value, End of Period $6.48 $6.38
======= =======

TOTAL RETURN(2) 8.00% 2.23%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets(3) 1.29% 1.27%(4)

Ratio of Operating Expenses to Average Net Assets (Before Expense Waiver) 1.37% 1.37%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets(3) 6.19% 6.39%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets (Before Expense
Waiver) 6.11% 6.29%(4)

Portfolio Turnover Rate 45% 40%(5)

Net Assets, End of Period (in thousands) $28 $26

(1) July 29, 2005 (commencement of sale) through March 31, 2006.

(3) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) Annualized.

(5) Portfolio turnover is calculated at the fund level. Percentage indicated
was calculated for the year ended March 31, 2006.

See Notes to Financial Statements.

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53

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust and Shareholders of
the Diversified Bond Fund and the High-Yield Fund:

In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Diversified
Bond Fund and High-Yield Fund (two of the ten funds comprising the American
Century Investment Trust, hereafter referred to as the "Funds") at March 31,
2007, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements 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 are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at March 31, 2007 by correspondence with the custodian and brokers,
provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 17, 2007

------
54

MANAGEMENT

The individuals listed below serve as trustees or officers of the funds. Each
trustee serves until his or her successor is duly elected and qualified or
until he or she retires. Effective March 2004, mandatory retirement age for
independent trustees is 73. However, the mandatory retirement age may be
extended for a period not to exceed two years with the approval of the
remaining independent trustees. Those listed as interested trustees are
"interested" primarily by virtue of their engagement as trustees and/or
officers of, or ownership interest in, American Century Companies, Inc. (ACC)
or its wholly owned, direct or indirect, subsidiaries, including the funds'
investment advisor, American Century Investment Management, Inc. (ACIM); the
funds' principal underwriter, American Century Investment Services, Inc.
(ACIS); and the funds' transfer agent, American Century Services, LLC (ACS).

All persons named as officers of the funds also serve in similar capacities
for the other 14 investment companies advised by ACIM or American Century
Global Investment Management, Inc. (ACGIM), a wholly owned subsidiary of ACIM,
unless otherwise noted. Only officers with policy-making functions are listed.
No officer is compensated for his or her service as an officer of the funds.
The listed officers are interested persons of the funds and are appointed or
re-appointed on an annual basis.

INTERESTED TRUSTEE

JONATHAN S. THOMAS
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1963
POSITION(S) HELD WITH FUNDS: Advisory Board Member (since 2007) and President
(since 2007)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: President and Chief Executive
Officer, ACC (March 2007 to present), Chief Administrative Officer, ACC
(February 2006 to February 2007); Executive Vice President, ACC (November 2005
to February 2007). Also serves as: President, Chief Executive Officer and
Director, ACS; Executive Vice President, ACIM and ACGIM; Director, ACIM,
ACGIM, ACIS and other ACC subsidiaries; Managing Director, Morgan Stanley
(March 2000 to November 2005)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 109
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

INDEPENDENT TRUSTEES

JOHN FREIDENRICH
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1937
POSITION(S) HELD WITH FUNDS: Trustee (since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Member and Manager, Regis
Management Company, LLC (April 2004 to present); Partner and Founder, Bay
Partners (Venture capital firm, 1976 to present); Partner and Founder, Ware &
Freidenrich (1968 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

------
55

RONALD J. GILSON
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1946
POSITION(S) HELD WITH FUNDS: Trustee (since 1995) and Chairman of the Board
(since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Charles J. Meyers Professor of
Law and Business, Stanford Law School (1979 to present); Marc and Eva Stern
Professor of Law and Business, Columbia University School of Law (1992 to
present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

KATHRYN A. HALL
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUNDS: Trustee (since 2001)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Co-Chairman and Co-Chief
Executive Officer and Chief Investment Officer, Offit Hall Capital Management,
LLC (April 2002 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

PETER F. PERVERE
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUNDS: Advisory Board Member (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, formerly Vice President
and Chief Financial Officer, Commerce One, Inc. (software and services
provider)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Intraware, Inc.

MYRON S. SCHOLES
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1941
POSITION(S) HELD WITH FUNDS: Trustee (since 1980)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chairman, Platinum Grove Asset
Management, L.P., and a Partner, Oak Hill Capital Management (1999 to
present); Frank E. Buck Professor of Finance-Emeritus, Stanford Graduate
School of Business (1996 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Dimensional Fund Advisors
(investment advisor, 1982 to present); Director, Chicago Mercantile Exchange
(2000 to present)

JOHN B. SHOVEN
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUNDS: Trustee (since 2002)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Professor of Economics, Stanford
University (1973 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Cadence Design Systems (1992 to
present)

JEANNE D. WOHLERS
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1945
POSITION(S) HELD WITH FUNDS: Trustee (since 1984)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, Director and Partner,
Windy Hill Productions, LP (educational software)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

------
56

OFFICERS

MARYANNE ROEPKE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1956
POSITION(S) HELD WITH FUNDS: Chief Compliance Officer (since 2006) and Senior
Vice President (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Compliance Officer, ACIM,
ACGIM and ACS (August 2006 to present); Assistant Treasurer, ACC (January 1995
to August 2006); Treasurer and Chief Financial Officer, various American
Century funds (July 2000 to August 2006); Also serves as: Senior Vice
President, ACS

CHARLES A. ETHERINGTON
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUNDS: General Counsel (since 2007) and Senior Vice
President (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACC (November
2005 to present); General Counsel, ACC (March 2007 to present). Also serves
as: General Counsel, ACIM, ACGIM, ACS, ACIS and other ACC subsidiaries; and
Senior Vice President, ACIM, ACGIM and ACS

ROBERT LEACH
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1966
POSITION(S) HELD WITH FUNDS: Vice President, Treasurer and Chief Financial
Officer (all since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present) and Controller, various American Century funds (1997 to
September 2006)

C. JEAN WADE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1964
POSITION(S) HELD WITH FUNDS: Controller (since 1996)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present)

JON ZINDEL
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1967
POSITION(S) HELD WITH FUNDS: Tax Officer (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Financial Officer and Chief
Accounting Officer, ACC (March 2007 to present); Vice President, ACC (October
2001 to present); Vice President, certain ACC subsidiaries (October 2001 to
August 2006); Vice President, Corporate Tax, ACS (April 1998 to August 2006).
Also serves as: Chief Financial Officer, Chief Accounting Officer and Senior
Vice President, ACIM, ACGIM, ACS and other ACC subsidiaries; and Chief
Accounting Officer and Senior Vice President, ACIS

The SAI has additional information about the funds' trustees and is available
without charge, upon request, by calling 1-800-345-2021.

------
57

SHARE CLASS INFORMATION

Seven classes of shares are authorized for sale by the funds: Investor Class,
Institutional Class, Advisor Class, A Class, B Class, C Class, and R Class.
The total expense ratio of Institutional Class shares is lower than that of
Investor Class shares; the total expense ratios of Advisor Class, A Class, B
Class, C Class, and R Class shares are higher than that of Investor Class
shares. The funds are available for purchase only through financial
intermediaries by investors who seek advice from them. The funds are closed to
other investors, but those with open accounts may make additional investments
and reinvest dividends and capital gains distributions as long as such
accounts remain open.

INSTITUTIONAL CLASS shares are available to large investors such as
endowments, foundations, and retirement plans, and to financial intermediaries
serving these investors. This class recognizes the relatively lower cost of
serving institutional customers and others who invest at least $5 million ($3
million for endowments and foundations) in an American Century fund or at
least $10 million in multiple funds. In recognition of the larger investments
and account balances and comparatively lower transaction costs, the unified
management fee of Institutional Class shares is 0.20% less than the unified
management fee of Investor Class shares.

A CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. A Class shares are sold at their offering price,
which is net asset value plus an initial sales charge that ranges from 4.50%
to 0.00% for fixed-income funds, depending on the amount invested. The initial
sales charge is deducted from the purchase amount before it is invested. A
Class shares may be subject to a contingent deferred sales charge (CDSC).
There is no CDSC on shares acquired through reinvestment of dividends or
capital gains. The prospectus contains information regarding reductions and
waivers of sales charges for A Class shares. The unified management fee for A
Class shares is the same as for Investor Class shares. A Class shares also are
subject to a 0.25% annual Rule 12b-1 distribution and service fee.

------
58

C CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. C Class shares redeemed within 12 months of purchase
are subject to a CDSC of 1.00%. There is no CDSC on shares acquired through
reinvestment of dividends or capital gains. The unified management fee for C
Class shares is the same as for Investor Class shares. C Class shares also are
subject to a Rule 12b-1 distribution and service fee of 1.00%.

R CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. The unified management fee for R Class shares is the
same as for Investor Class shares. R Class shares are subject to a 0.50%
annual Rule 12b-1 distribution and service fee.

All classes of shares represent a pro rata interest in the funds and generally
have the same rights and preferences.

------
59

ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION

PROXY VOTING GUIDELINES

American Century Investment Management, Inc., the funds' investment advisor,
is responsible for exercising the voting rights associated with the securities
purchased and/or held by the funds. A description of the policies and
procedures the advisor uses in fulfilling this responsibility is available
without charge, upon request, by calling 1-800-345-2021. It is also available
on American Century's website at americancentury.com and on the Securities and
Exchange Commission's website at sec.gov. Information regarding how the
investment advisor voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30 is available on the "About Us" page
at americancentury.com. It is also available at sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The funds file their complete schedule of portfolio holdings with the
Securities and Exchange Commission (SEC) for the first and third quarters of
each fiscal year on Form N-Q. The funds' Forms N-Q are available on the SEC's
website at sec.gov, and may be reviewed and copied at the SEC's Public
Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330. The funds also make
their complete schedule of portfolio holdings for the most recent quarter of
their fiscal year available on their website at americancentury.com and, upon
request, by calling 1-800-345-2021.

------
60

INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as fund performance comparisons. They are not
investment products available for purchase.

The CITIGROUP US BROAD INVESTMENT-GRADE (BIG) BOND INDEX is a market-
capitalization-weighted index that includes fixed-rate Treasury, government-
sponsored, mortgage, asset-backed, and investment-grade issues with a maturity
of one year or longer.

The CREDIT SUISSE FIRST BOSTON (CSFB) HIGH YIELD INDEX II is designed to
mirror the investable universe of the U.S. dollar-denominated high-yield debt
market. Prior to October 2001, the index was known as the Donaldson, Lufkin, &
Jenrette (DLJ) High-Yield Index.

The LEHMAN BROTHERS U.S. AGGREGATE INDEX represents securities that are
taxable, registered with the Securities and Exchange Commission, and U.S.
dollar-denominated. The index covers the U.S. investment-grade fixed-rate bond
market, with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S. dollar-
denominated, non-investment grade, fixed-rate, taxable corporate bond market.

The MERRILL LYNCH US HIGH YIELD MASTER II CONSTRAINED INDEX tracks the
performance of below investment-grade U.S. dollar-denominated corporate bonds
publicly issued in the U.S. domestic markets and limits any single issuer to
no more than 2% of the index.

------
61

NOTES

------
62

NOTES

------
63

NOTES

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64

[back cover]

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE:
1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

INVESTORS USING ADVISORS:
1-800-378-9878

BUSINESS, NOT-FOR-PROFIT,
EMPLOYER-SPONSORED RETIREMENT PLANS:
1-800-345-3533

BANKS AND TRUST COMPANIES, BROKER-DEALERS,
FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

American Century Investment Services, Inc., Distributor

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54182N

[front cover]

AMERICAN CENTURY INVESTMENTS
Annual Report March 31, 2007

[photo of spring]

Premium Money Market Fund

[american century investments logo and text logo]

OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century® Premium Money Market Fund for the 12 months ended March 31, 2007.
We've gathered this information to help you monitor your investment. Another
resource is our website, americancentury.com, where we post company news,
portfolio commentaries, investment views, and other communications about
portfolio strategy, personal finance, government policy, and the markets.

[photo of James E. Stowers, Jr. and James E. Stowers III]

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER AND CO-CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

/s/James E Stowers III
James E. Stowers III
VICE CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

TABLE OF CONTENTS

Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . 2
U.S. Fixed-Income Total Returns. . . . . . . . . . . . . . . . . . . 2

PREMIUM MONEY MARKET

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 4
Portfolio Composition by Credit Rating . . . . . . . . . . . . . . . 4
Portfolio Composition by Maturity. . . . . . . . . . . . . . . . . . 4
Yields and Weighted Average Maturity . . . . . . . . . . . . . . . . 5
Shareholder Fee Example . . . . . . . . . . . . . . . . . . . . . . . 6
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 8

FINANCIAL STATEMENTS

Statement of Assets and Liabilities. . . . . . . . . . . . . . . . . 13
Statement of Operations. . . . . . . . . . . . . . . . . . . . . . . 14
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . 15
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . 16
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . 18
Report of Independent Registered Public Accounting Firm. . . . . . . 19

OTHER INFORMATION

Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
Additional Information. . . . . . . . . . . . . . . . . . . . . . . . 23
Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . 24

MARKET PERSPECTIVE

[photo of cio]

By David MacEwen, Chief Investment Officer, Fixed Income

FED PAUSE TRIGGERED BOND RALLY

TREASURY YIELD CURVE FELL, REMAINED FLAT

CORPORATES AND MBS OUTPACED TREASURYS AND TIPS

U.S. Fixed-Income Total Returns
For the 12 months ended March 31, 2007

TREASURY SECURITIES
3-Month Bill 5.10%
2-Year Note 4.97%
5-Year Note 5.60%
10-Year Note 5.82%
30-Year Bond 5.39%

------
2

PERFORMANCE

Premium Money Market

Total Returns as of March 31, 2007

Average Annual Returns

Since Inception
1 year 5 years 10 years Inception Date

INVESTOR CLASS 4.98%(1) 2.34% 3.65% 3.90% 4/1/93

90-DAY U.S. TREASURY BILL INDEX 4.83% 2.51% 3.58% 3.89% --

LIPPER MONEY MARKET INSTRUMENT FUNDS
AVERAGE RETURN(2) 4.43% 1.90% 3.24% N/A --

Fund's Lipper Ranking among Money
Market Instrument Funds(2) 23 of 340 24 of 293 18 of 185 -- --

Premium Money Market acquired all of the net assets of American Century
Premium Capital Reserve Fund and the American Century Premium Government
Reserve Fund on December 3, 2001, pursuant to a plan of reorganization
approved by the acquired funds' shareholders on November 16, 2001. Performance
information prior to December 3, 2001 is that of the American Century Premium
Capital Reserve Fund.

(1) Class returns would have been lower if American Century had not
voluntarily waived a portion of its management fees.

(2) Data provided by Lipper Inc. - A Reuters Company. © 2007 Reuters. All
rights reserved. Any copying, republication or redistribution of Lipper
content, including by caching, framing or similar means, is expressly
prohibited without the prior written consent of Lipper. Lipper shall not be
liable for any errors or delays in the content, or for any actions taken in
reliance thereon.

Lipper Fund Performance -- Performance data is total return, and is
preliminary and subject to revision.

Lipper Rankings -- Rankings are based only on the universe shown and are
based on average annual total returns. This listing might not represent the
complete universe of funds tracked by Lipper.

The data contained herein has been obtained from company reports, financial
reporting services, periodicals and other resources believed to be
reliable. Although carefully verified, data on compilations is not
guaranteed by Lipper and may be incomplete. No offer or solicitations to
buy or sell any of the securities herein is being made by Lipper.

The 7-day current yield more closely reflects the current earnings of the fund
than the total return.

------
3

PORTFOLIO COMMENTARY

Premium Money Market

Portfolio Managers: Lynn Paschen and Steven Permut

PERFORMANCE SUMMARY

Premium Money Market returned 4.98%* for the 12 months ended March 31, 2007,
outperforming the 4.43% average return of the 340 funds in Lipper Inc.'s money
market funds category. The portfolio's 12-month return ranked in the top 7% of
the Lipper category, and its longer-term performance rankings were in the top
10% (see page 3).

MONEY MARKET RATES HELD STEADY

Money market rates rose modestly during the reporting period, with virtually
all of the increase occurring in the first few months of the period. The
Federal Reserve (the Fed) raised short-term interest rates in May and June
2006, the final two in a series of 17 rate hikes in a two-year period. Since
then, the Fed has held its federal funds rate target steady at 5.25% -- its
highest level in six years -- as U.S. economic growth cooled off.

The three-month Treasury bill yield -- a common benchmark for money market
rates -- tracked the federal funds rate during the reporting period. The
three-month T-bill yield rose from 4.63% at the beginning of the period to
5.01% by the end of June 2006, then fluctuated in a narrow range for the next
nine months, finishing the period at 5.04%.

PORTFOLIO STRATEGY

Premium Money Market's seven-day current yield increased from 4.31% to 4.99%
during the reporting period. The portfolio's yield peaked at 5.04%, its
highest point since March 2001.

Early in the period, we positioned the portfolio with a relatively short
average maturity of around 45 days, which allowed its yield to reflect the
Fed's rate hikes more quickly. We shifted to a longer average maturity in the
fall of 2006, extending out to about 55 days when it became clear that any
more Fed rate changes might be on hold indefinitely. More recently, however,
we shortened the average maturity back down to less than 40 days, taking
advantage of the inverted yield relationship in the money market. Increased
issuance of shorter-term securities (maturing in three months or less) caused
them to have higher yields than longer-term securities (maturing in six months
to a year).

*Class returns would have been lower had management fees not been waived.

Portfolio Composition by Credit Rating

% of fund investments % of fund investments
as of 3/31/07 as of 9/30/06

A-1+ 71% 62%
A-1 29% 38%

Ratings provided by independent research companies. These ratings are listed
in Standard & Poor's format even if they were provided by other sources.

Portfolio Composition by Maturity

% of fund investments % of fund investments
as of 3/31/07 as of 9/30/06

1 - 30 days 63% 52%
31 - 90 days 24% 34%
91 - 180 days 11% 11%
More than 180 days 2% 3%

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4

Premium Money Market

From a sector perspective, we modestly reduced our position in commercial
paper from 59% to 49% of the portfolio. We increased our holdings of
floating-rate corporate notes, many of which have yields that are higher than
prevailing commercial paper rates. In addition, we added a small position in
bank-issued floating-rate notes that are tied directly to the federal funds
rate target and reset their rates daily. These securities provide some measure
of protection from fluctuating Fed policy expectations while allowing the
portfolio to participate in any upward moves immediately.

STARTING POINT FOR NEXT REPORTING PERIOD

Yields and Weighted Average Maturity

3/31/07

7-Day Current Yield* 4.99%
7-Day Effective Yield* 5.11%

3/31/07 9/30/06

Weighted Average Maturity 38 days 49 days

*The yields presented reflect the waiver of a portion of the fund's management
fees. Without such waiver, the 7-day yields would have been lower.

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5

SHAREHOLDER FEE EXAMPLE (UNAUDITED)

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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6

Beginning Expenses Paid During
Account Value Ending Account Value Period(1) 10/1/06 - Annualized
10/1/06 3/31/07 3/31/07 Expense Ratio(1)

Premium Money Market -- Investor Class Shareholder Fee Example

Actual (after waiver)(2) $1,000 $1,025.00 $2.02 0.40%

Actual (before waiver) $1,000 $1,025.00(3) $2.37 0.47%

Hypothetical (after
waiver)(2) $1,000 $1,022.94 $2.02 0.40%

Hypothetical (before
waiver) $1,000 $1,022.59 $2.37 0.47%

(2) During the six months ended March 31, 2007, the fund received a partial
waiver of its management fees.

(3) Ending account value assumes the return earned after waiver. The return
would have been lower had fees not been waived and would have resulted in a
lower ending account value.

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7

SCHEDULE OF INVESTMENTS

Premium Money Market

MARCH 31, 2007

Principal Amount Value

Commercial Paper(1) -- 49.3%

$ 3,000,000 Allied Irish Banks N.A., 5.20%, 7/17/07 (Acquired 2/2/07, Cost
$2,928,500)(2) $ 2,953,633
3,200,000 Allied Irish Banks N.A., 5.20%, 8/9/07 (Acquired 2/14/07, Cost
$3,118,649)(2) 3,139,911
3,977,000 American Family Financial Services, 5.18%, 4/13/07 3,970,134
5,000,000 American Family Financial Services, 5.21%, 7/6/07 4,930,533
10,000,000 American Family Financial Services, 5.19%, 7/27/07 9,831,325
12,000,000 Amstel Funding Corp., 5.23%, 4/13/07 (Acquired 10/23/06, Cost
$11,700,147)(2) 11,979,079
4,686,000 Amstel Funding Corp., 5.26%, 4/16/07 (Acquired 1/26/07-2/14/07,
Cost $4,639,131)(2) 4,675,736
3,461,000 Amstel Funding Corp., 5.26%, 4/20/07 (Acquired 2/9/07-2/14/07, Cost
$3,427,815)(2) 3,451,392
2,900,000 Amsterdam Funding Corp., 5.28%, 4/5/07 (Acquired 3/14/07, Cost
$2,890,643)(2) 2,898,299
15,000,000 Amsterdam Funding Corp., 5.19%, 5/1/07 (Acquired 11/6/06, Cost
$14,619,400)(2) 14,935,125
10,000,000 Australia & New Zealand Banking Group Ltd., 5.21%, 6/18/07
(Acquired 1/18/07, Cost $9,781,469)(2) 9,887,117
4,000,000 Bank of America Corp., 5.18%, 4/4/07 3,998,275
2,900,000 BMW U.S. Capital LLC, 5.40%, 4/2/07 (Acquired 3/30/07, Cost
$2,898,695)(2) 2,899,565
1,700,000 Calyon North America Inc., 5.25%, 5/21/07 1,687,604
15,000,000 Canadian Imperial Holdings, 5.25%, 4/11/07 14,978,147
5,000,000 Cedar Springs Capital Co., 5.45%, 4/2/07 (Acquired 3/30/07, Cost
$4,997,729)(2) 4,999,243
9,500,000 Cedar Springs Capital Co., 5.27%, 4/5/07 (Acquired 3/5/07, Cost
$9,456,888)(2) 9,494,437
1,779,000 Cedar Springs Capital Co., 5.28%, 4/16/07 (Acquired 3/23/07, Cost
$1,772,738)(2) 1,775,086
4,500,000 Cedar Springs Capital Co., 5.25%, 4/23/07 (Acquired 1/23/07, Cost
$4,440,938)(2) 4,485,563

Principal Amount Value

$ 1,854,000 Cedar Springs Capital Co., 5.26%, 5/29/07 (Acquired 3/12/07, Cost
$1,832,871)(2) $ 1,838,288
3,809,000 Cedar Springs Capital Co., 5.25%, 6/7/07 (Acquired 3/12/07, Cost
$3,760,673)(2) 3,771,783
10,000,000 Credit Suisse First Boston, 5.23%, 4/4/07 (Acquired 1/4/07, Cost
$9,869,250)(2) 9,995,642
1,372,000 Crown Point Capital Co., 5.25%, 4/16/07 (Acquired 1/29/07, Cost
$1,356,594)(2) 1,368,999
10,700,000 Crown Point Capital Co., 5.21%, 4/17/07 (Acquired 10/18/06, Cost
$10,419,716)(2) 10,675,224
3,100,000 Crown Point Capital Co., 5.24%, 5/10/07 (Acquired 3/5/07, Cost
$3,070,219)(2) 3,082,402
10,000,000 Crown Point Capital Co., 5.22%, 6/20/07 (Acquired 2/20/07, Cost
$9,827,450)(2) 9,884,000
10,000,000 Danske Corporation, 5.20%, 4/10/07 (Acquired 10/30/06, Cost
$9,766,000)(2) 9,986,999
13,000,000 Depfa Bank plc, 5.24%, 5/10/07 (Acquired 2/12/07-3/5/07, Cost
$12,838,443)(2) 12,926,209
2,200,000 Depfa Bank plc, 5.20%, 8/2/07 (Acquired 2/7/07, Cost $2,144,071)(2) 2,160,913
5,500,000 Dexia Delaware LLC, 5.24%, 5/1/07 5,476,006
4,500,000 Emerald Notes of the BA Credit Card Trust, 5.27%, 4/10/07 (Acquired
1/24/07 - 3/5/07, Cost $4,466,366)(2) 4,494,076
4,700,000 Emerald Notes of the BA Credit Card Trust, 5.22%, 6/1/07 (Acquired
3/5/07, Cost $4,640,028)(2) 4,658,429
10,000,000 Emerald Notes of the BA Credit Card Trust, 5.25%, 6/26/07 (Acquired
3/30/07, Cost $9,871,667)(2) 9,874,583
12,500,000 Govco Incorporated, 5.24%, 4/12/07 (Acquired 1/16/07, Cost
$12,343,528)(2) 12,479,986
9,000,000 HBOS Treasury Services plc, 5.24%, 4/23/07 8,971,180
9,500,000 HBOS Treasury Services plc, 5.24%, 4/30/07 9,459,900
20,000,000 ING (U.S.) Funding LLC, 5.19%, 6/5/07 19,812,583
1,003,000 Legacy Capital LLC, 5.41%, 4/2/07 (Acquired 3/30/07, Cost
$1,002,548)(2) 1,002,849

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8

Premium Money Market

Principal Amount
Value
$ 322,000 Legacy Capital LLC, 5.44%, 4/5/07 (Acquired 3/30/07, Cost
$321,708)(2) $ 321,805
20,000,000 Legacy Capital LLC, 5.30%, 4/10/07 (Acquired 3/15/07, Cost
$19,926,389)(2) 19,973,499
1,900,000 Legacy Capital LLC, 5.25%, 6/5/07 (Acquired 3/19/07, Cost
$1,878,388)(2) 1,881,990
1,126,000 Lexington Parker Capital, 5.41%, 4/2/07 (Acquired 3/30/07, Cost
$1,125,492)(2) 1,125,831
11,000,000 Lexington Parker Capital, 5.24%, 5/3/07 (Acquired 2/2/07, Cost
$10,855,900)(2) 10,948,764
10,000,000 Lexington Parker Capital, 5.24%, 5/14/07 (Acquired 2/16/07, Cost
$9,873,367)(2) 9,937,411
1,175,000 Nestle Capital Corp., 5.17%, 8/13/07 (Acquired 8/23/06, Cost
$1,115,154)(2) 1,152,410
11,200,000 Nieuw Amsterdam Receivables Corporation, 5.26%, 4/6/07 (Acquired
2/27/07, Cost $11,137,815)(2) 11,191,818
10,000,000 Nieuw Amsterdam Receivables Corporation, 5.27%, 4/10/07 (Acquired
3/8/07, Cost $9,953,156)(2) 9,986,825
1,058,000 Nieuw Amsterdam Receivables Corporation, 5.29%, 4/16/07 (Acquired
3/23/07, Cost $1,054,269)(2) 1,055,668
1,000,000 Nieuw Amsterdam Receivables Corporation, 5.25%, 4/25/07 (Acquired
1/26/07, Cost $987,021)(2) 996,500
15,000,000 Old Line Funding Corp., 5.26%, 4/10/07 (Acquired 3/12/07, Cost
$14,936,442)(2) 14,980,275
8,000,000 Paradigm Funding LLC, 5.42%, 4/2/07 (Acquired 3/30/07, Cost
$7,996,387)(2) 7,998,796
18,000,000 Paradigm Funding LLC, 5.26%, 4/20/07 (Acquired 3/2/07, Cost
$17,871,130)(2) 17,950,030
1,777,000 Ranger Funding Co. LLC, 5.26%, 4/5/07 (Acquired 3/9/07, Cost
$1,769,990)(2) 1,775,961
6,500,000 Societe Generale, 5.23%, 4/3/07 6,498,112
2,476,000 Triple A One Funding Corp., 5.28%, 4/3/07 (Acquired 3/14/07, Cost
$2,468,737)(2) 2,475,274
5,600,000 Tulip Funding Corp., 5.26%, 4/3/07 (Acquired 3/9/07, Cost
$5,579,544)(2) 5,598,364

Principal Amount
Value
$ 3,000,000 UBS Finance LLC, 5.24%, 5/1/07 $ 2,986,900
1,500,000 UBS Finance LLC, 5.21%, 6/26/07 1,481,349
4,000,000 UBS Finance LLC, 5.20%, 8/10/07 3,924,311
15,000,000 Variable Funding Capital Co. LLC, VRN, 5.28%, 4/23/07, resets
monthly off the 1-month LIBOR minus 0.04% with no caps (Acquired
2/23/07, Cost $15,000,000)(2) 15,000,000
10,000,000 Westpac Banking Corp., 5.21%, 7/12/07 (Acquired 2/20/07, Cost
$9,794,692)(2) 9,852,525
15,000,000 Westpac Banking Corp., 5.20%, 8/8/07 (Acquired 2/9/07, Cost
$14,610,000)(2) 14,720,500
1,300,000 Westpac Securities NZ Ltd., 5.22%, 7/18/07 (Acquired 3/19/07, Cost
$1,277,192)(2) 1,279,642
12,000,000 Windmill Funding Corp., 5.19%, 4/20/07 (Acquired 10/11/06, Cost
$11,671,300)(2) 11,967,130
6,500,000 Yorktown Capital LLC, 5.26%, 4/11/07 (Acquired 3/13/07, Cost
$6,472,458)(2) 6,490,503
-----------
TOTAL COMMERCIAL PAPER 452,442,448
-----------

Corporate Bonds -- 27.4%

20,000,000 Berkshire Hathaway Finance Corp., VRN, 5.41%, 4/11/07, resets
quarterly off the 3-month LIBOR plus 0.05% with no caps 20,015,187
20,000,000 Branch Banking & Trust Co., VRN, 5.33%, 5/16/07, resets quarterly
off the 3-month LIBOR minus 0.02% with no caps 20,000,844
15,000,000 Calyon New York, VRN, 5.30%, 4/2/07, resets daily off the Federal
Funds Target Rate plus 0.05% with no caps 15,000,000
3,545,000 Christopher Place Inc., VRN, 5.42%, 4/5/07 (LOC: Fifth Third Bank) 3,545,000
2,315,000 Coastal Area Stores Inc./Tattnall Foods Inc., VRN, 5.37%, 4/5/07
(LOC: Columbus Bank & Trust) 2,315,000
3,465,000 CPR Investments LLC, VRN, 5.37%, 4/5/07 3,465,000
4,650,000 Crosspoint Community Church, VRN, 5.37%, 4/5/07, resets monthly off
the 1-month LIBOR plus 0.10% with no caps (LOC: AmSouth Bank) 4,650,000

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9

Premium Money Market

Principal Amount Value

$16,750,000 Cunat Sheffield Heights LLC, VRN, 5.35%, 4/5/07 $ 16,750,000
3,000,000 Delos LLC, VRN, 5.37%, 4/2/07 3,000,000
3,000,000 First Baptist Church of Opelika, VRN, 5.32%, 4/5/07 (LOC: FHLB) 3,000,000
8,000,000 Florida Hurricane Catastrophe Fund, Series 2006 B, VRN, 5.33%,
4/16/07, resets monthly off the 1-month LIBOR plus 0.01% with no
caps 8,000,000
10,000,000 General Electric Capital Corp., VRN, 5.41%, 6/22/07, resets
quarterly off the 3-month LIBOR plus 0.06% with no caps 10,002,442
4,205,000 Green Island Country Club Inc., VRN, 5.37%, 4/5/07 (LOC: Columbus
Bank & Trust) 4,205,000
8,510,000 Guardian Angel Homes Lewiston LLC, VRN, 5.36%, 4/5/07 (LOC: Bank of
America N.A.) 8,510,000
5,950,000 Lee Group Inc./ County Materials Inc./ Lees Aggregate & Trucking
Inc., VRN, 5.43%, 4/5/07 (LOC: Old National Bank) 5,950,000
2,560,000 Multimetco Inc., VRN, 5.39%, 4/5/07, resets monthly off the 1-month
LIBOR plus 0.10% with no caps (LOC: AmSouth Bank) 2,560,000
15,000,000 Natixis, VRN, 5.33%, 4/2/07, resets daily off the Federal Funds
Target Rate plus 0.08% with no caps 15,000,000
7,000,000 Natixis, VRN, 5.41%, 4/2/07, resets daily off the Federal Funds
Target Rate plus 0.16% with no caps 7,000,000
12,685,000 OSS Realty Co., VRN, 5.41%, 4/5/07 (LOC: SunTrust Bank) 12,685,000
18,100,000 Royal Bank of Scotland (New York), 5.26%, 4/16/07, resets monthly
off the 1-month LIBOR minus 0.06% with no caps 18,097,546
2,000,000 Salvation Army, Series 2004 A, VRN, 5.32%, 4/5/07 (LOC: Bank of New
York) 2,000,000
2,400,000 Santa Rosa Property Holding LLC, VRN, 5.37%, 4/5/07 2,400,000
3,830,000 Six Ten Properties LLC, VRN, 5.37%, 4/5/07 (LOC: Columbus Bank &
Trust) 3,830,000

Principal Amount Value

$ 1,860,000 St. Mary's Congregation, VRN, 5.47%, 4/5/07 (LOC: Marshall & Isley
Bank) $ 1,860,000
5,000,000 Toyota Motor Credit Corp., VRN, 5.39%, 4/3/07, resets weekly off
the 3-month T-Bill plus 0.32% with no caps 5,000,000
15,000,000 Toyota Motor Credit Corp., VRN, 5.39%, 4/3/07, resets weekly off
the 3-month T-Bill plus 0.32% with no caps 15,000,000
9,000,000 Travelers Insurance Co. Group, VRN, 5.42%, 5/7/07, resets quarterly
off the 3-month LIBOR plus 0.06% with no caps (Acquired 8/7/03,
Cost $9,000,000)(2) 9,000,000
10,000,000 UBS AG, 5.40%, 11/28/07 10,000,000
8,600,000 Wachovia Corp., VRN, 5.44%, 4/23/07, resets quarterly off the
3-month LIBOR plus 0.08% with no caps 8,603,026
10,000,000 Wal-Mart Stores, Inc., 5.88%, 6/1/07 10,008,470
-----------
TOTAL CORPORATE BONDS 251,452,515
-----------

Municipal Securities -- 12.8%

560,000 Board of Trustees of Morgan County Memorial Hospital Rev., (Johnson
County), VRDN, 5.49%, 4/5/07 (LOC: Fifth Third Bank) 560,000
1,625,000 Calexico Unified School District COP, (Refinancing Project), VRDN,
5.35%, 4/5/07 (XLCA) (SBBPA: Wachovia Bank N.A.) 1,625,000
1,260,000 California Infrastructure & Economic Development Bank Rev., Series
2000 B, (Metrotile Manufacturing), VRDN, 5.42%, 4/5/07 (LOC:
Comerica Bank) 1,260,000
300,000 California Statewide Communities Development Auth. Rev.,
(Industrial Improvements), VRDN, 5.45%, 4/5/07 (LOC: Bank of the
West) 300,000
810,000 Colorado Housing & Finance Auth. Rev., Series 2004 B, (Corey
Building), VRDN, 5.42%, 4/5/07 (LOC: Wells Fargo Bank N.A.) 810,000
790,000 Colorado Housing & Finance Auth. Rev., Series 2004 B, (Taxable
POPIEL Properties), VRDN, 5.40%, 4/5/07 (LOC: Guaranty Bank & Trust
and Wells Fargo Bank N.A.) 790,000

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10

Premium Money Market

Principal Amount Value

$ 1,925,000 Colorado Housing & Finance Auth. Rev., Series 2005 B, (Closet
Factory), VRDN, 5.42%, 4/5/07 (LOC: Colorado Business Bank and Bank
of New York) $ 1,925,000
1,000,000 Columbus Development Auth. Rev., (CEDC/ICFORM Inc.), VRDN, 5.42%,
4/5/07 (LOC: Columbus Bank & Trust) 1,000,000
2,000,000 Columbus Development Auth. Rev., (Columbus Park East), VRDN, 5.37%,
4/5/07 (LOC: Columbus Bank & Trust) 2,000,000
1,400,000 Columbus Development Auth. Rev., Series 2005 B, (Foundation
Properties, Inc., Student Housing), VRDN, 5.38%, 4/5/07 (LOC:
Columbus Bank & Trust) 1,400,000
3,055,000 Columbus Development Auth. Rev., VRDN, 5.37%, 4/5/07 (LOC: Columbus
Bank & Trust) 3,055,000
5,000,000 Cook County GO, Series 2005 D, (Public Improvements), VRDN, 5.34%,
4/4/07 (SBBPA: Depfa Bank plc) 5,000,000
5,105,000 Cook County Industrial Development Rev., Series 1999 B, (Devorahco
LLC), VRDN, 5.36%, 4/5/07 (LOC: LaSalle Bank N.A.) (Acquired
3/23/01, Cost $5,105,000)(2) 5,105,000
925,000 Crawford Education Facilities Corp. Rev., Series 2004 B, (Refunding
Taxable University Package), VRDN, 5.42%, 4/5/07 (LOC: BNP Paribas) 925,000
4,700,000 Fairfield Rev., Series 2005 A-2, VRDN, 5.32%, 4/5/07 (LOC:
Landesbank Hessen-Thuringen Girozentrale) 4,700,000
400,000 Greenville South Carolina Memorial Auditorium District COP, Series
1996 C, (BI-LO Center), VRDN, 5.44%, 4/4/07 (LOC: Bank of America
N.A.) 400,000
5,000,000 Groton City GO, Series 2007 B, 6.00%, 10/10/07 5,015,287
6,090,000 Kansas City Missouri Tax Increment Rev., Series 2003 B, (Chouteau
Development Company LLC), VRDN, 5.35%, 4/5/07 (MBIA) (SBBPA:
JPMorgan Chase Bank) 6,090,000
8,100,000 Lower Colorado River Auth. Rev., 5.30%, 7/3/07 8,100,000

Principal Amount Value

$ 7,500,000 Mississippi Business Finance Corp. Rev., Series 2005, (Future Pipe
Industries, Inc.), VRDN, 5.32%, 4/5/07 (LOC: Mashreqbank and Bank
of New York) $ 7,500,000
3,000,000 Mississippi Business Finance Corp. Rev., Series 2006 R-1, (Aurora
Flight Sciences Corporation), VRDN, 5.32%, 4/5/07 (LOC: Cadence
Bank N.A. and FHLB) 3,000,000
7,615,000 Montebello COP, VRDN, 5.37%, 4/4/07 (LOC: Union Bank of California
N.A. and California State Teacher's Retirement System) 7,615,000
280,000 Nebraska Investment Finance Auth. Multifamily Rev., Series 2001 B,
(Riverbend Apartments), VRDN, 5.44%, 4/5/07 (LOC: LaSalle Bank
N.A.) (Acquired 9/5/01, Cost $280,000)(2) 280,000
1,460,000 New Jersey Economic Development Auth. Rev., Series 2006 B,
(Accurate Box Co., Inc.), VRDN, 5.40%, 6/1/07 (LOC: Sun Bank N.A.
and Wells Fargo Bank N.A.) 1,460,000
4,820,000 New Orleans Rev., VRDN, 5.32%, 4/5/07 (Ambac) (SBBPA: Bank One
Louisiana) 4,820,000
2,385,000 New York GO, Series 2000 C, VRDN, 5.37%, 8/7/07 (LOC: Dexia Credit
Local) 2,385,000
3,000,000 Ogden City Redevelopment Ageny Rev., Series 2005 C1, VRDN, 5.47%,
4/3/07 (LOC: Bank of New York) 3,000,000
1,220,000 Ontario County Industrial Development Agency Rev., Series 2005 B,
(Friends of the Finger Lakes Performing Arts Center, Inc. Civic
Facility), VRDN, 5.60%, 4/2/07 (LOC: Citizens Bank N.A.) 1,220,000
315,000 Ontario County Industrial Development Agency Rev., Series 2006 B,
(CHF - Finger Lakes, LLC Civic Facility), VRDN, 5.37%, 4/5/07 (LOC:
Citizens Bank N.A.) 315,000
1,500,000 Oregon State Facilities Auth. Rev., (Hazelden Springbrook), VRDN,
5.45%, 4/5/07 (LOC: Allied Irish Bank plc) 1,500,000

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11

Premium Money Market

Principal Amount Value

$ 2,000,000 Osceola County Housing Finance Auth. Rev., Series 2002 B, (Regatta
Bay Apartments), VRDN, 5.44%, 4/4/07 (LOC: FNMA) $ 2,000,000
100,000 Palm Beach County Florida Housing Finance Auth. Rev., Series 2003
B, (Renaissance), VRDN, 5.44%, 4/4/07 (FNMA) (LIQ FAC: FNMA) 100,000
10,000,000 Pennsylvania Housing Finance Agency Single Family Mortgage Rev.,
Series 2007-97D, VRDN, 5.32%, 4/4/07 (SBBPA: Dexia Credit Local) 10,000,000
3,900,000 Southeast Alabama Gas District Rev., (Lateral Project), VRDN,
5.32%, 4/5/07 (Ambac) (SBBPA: AmSouth Bank of Alabama) 3,900,000
2,500,000 Southeast Industrial Development Agency Rev., (Powers Fasteners),
VRDN, 5.42%, 4/5/07 (LOC: Bank of New York) 2,500,000
2,250,000 Vermont Economic Development Auth. Rev., Series 2006 D, (Wake Robin
Corp.), VRDN, 5.34%, 4/5/07 (LOC: Sovereign Bank FSB and Lloyds TSB
Bank plc) 2,250,000
3,355,000 Washington Economic Development Finance Auth. Rev., Series 2006 G,
(Wesmar Company, Inc.), VRDN, 5.36%, 4/4/07 (LOC: U.S. Bank N.A.) 3,355,000
8,000,000 Washington Economic Development Finance Auth. Rev., Series 2007 B,
(Delta Marine Industries, Inc.), VRDN, 5.38%, 4/5/07 (LOC: KeyBank,
N.A.) 8,000,000
2,500,000 West Covina Public Financing Auth. Tax Allocation Rev., Series
1999, (Redevelopment Agency & Sub-Lien), VRDN, 5.40%, 4/5/07 (LOC:
Allied Irish Bank plc) 2,500,000
-----------
TOTAL MUNICIPAL SECURITIES 117,760,287
-----------

Certificates of Deposit - 10.4%

20,000,000 Barclays Bank plc (New York), 5.33%, 4/3/07 20,000,026
25,000,000 BNP Paribas (Chicago), 5.33%, 8/27/07 25,000,000
10,000,000 Citibank N.A., 5.31%, 5/22/07 10,000,000
15,000,000 Citizens Bank N.A., 5.33%, 4/9/07 15,000,000

Principal Amount Value

$15,000,000 Citizens Bank N.A., 5.32%, 6/18/07 $ 15,000,000
10,000,000 Toronto Dominion Bank (New York), 5.31%, 7/9/07 10,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT 95,000,026
------------
TOTAL INVESTMENT SECURITIES -- 99.9% 916,655,276
------------
OTHER ASSETS AND LIABILITIES -- 0.1% 1,123,134
------------
TOTAL NET ASSETS -- 100.0% $917,778,410
============

Notes to Schedule of Investments

Ambac = Ambac Assurance Corporation

COP = Certificates of Participation

FHLB = Federal Home Loan Bank

FNMA = Federal National Mortgage Association

GO = General Obligation

LIBOR = London Interbank Offered Rate

LIQ FAC = Liquidity Facilities

LOC = Letter of Credit

MBIA = MBIA Insurance Corporation

SBBPA = Standby Bond Purchase Agreement

VRDN = Variable Rate Demand Note. Interest reset date is indicated. Rate shown
is effective March 31, 2007.

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

XLCA = XL Capital Ltd.

(1) The rate indicated is the yield to maturity at purchase.

(2) Security was purchased under Rule 144A or Section 4(2) of the Securities
Act of 1933 or is a private placement and, unless registered under the Act or
exempted from registration, may only be sold to qualified institutional
investors. The aggregate value of restricted securities at March 31, 2007 was
$368,821,089, which represented 40.2% of total net assets. Restricted
securities considered illiquid represent 1.0% of total net assets.

See Notes to Financial Statements

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12

STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007

ASSETS

Investment securities, at value (amortized cost and cost for federal income tax purposes) $916,655,276
Receivable for capital shares sold 2,357
Interest receivable 3,183,028
Prepaid portfolio insurance 128,999
------------
919,969,660
------------

LIABILITIES
Disbursements in excess of demand deposit cash 1,239,577
Accrued management fees 292,832
Dividends payable 658,841
------------
2,191,250
------------

NET ASSETS $917,778,410
============

INVESTOR CLASS CAPITAL SHARES
Outstanding (unlimited number of shares authorized) 917,789,400
============

NET ASSET VALUE PER SHARE $1.00
============

NET ASSETS CONSIST OF:
Capital paid in $917,783,216
Accumulated net realized loss on investment transactions (4,806)
------------
$917,778,410
============

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13

STATEMENT OF OPERATIONS

YEAR ENDED MARCH 31, 2007

INVESTMENT INCOME (LOSS)
INCOME:
Interest $42,873,947
-----------

EXPENSES:
Management fees 3,647,641
Trustees' fees and expenses 30,507
Portfolio insurance and other expenses 122,242
-----------
3,800,390
Amount waived (476,473)
-----------
3,323,917
-----------

NET INVESTMENT INCOME (LOSS) 39,550,030
-----------

NET REALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS 164
-----------

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $39,550,194
===========

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14

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED MARCH 31, 2007 AND MARCH 31, 2006

Increase (Decrease) in Net Assets 2007 2006

OPERATIONS
Net investment income (loss) $39,550,030 $18,952,271
Net realized gain (loss) 164 (4,225)
------------- -------------
Net increase (decrease) in net assets resulting from operations 39,550,194 18,948,046
------------- -------------

DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (39,550,030) (18,952,271)
------------- -------------

CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold 913,300,007 492,713,081
Proceeds from reinvestment of distributions 31,468,928 15,788,464
Payments for shares redeemed (668,240,175) (340,201,909)
------------- -------------
Net increase in net assets from capital share transactions 276,528,760 168,299,636
------------- -------------

NET INCREASE (DECREASE) IN NET ASSETS 276,528,924 168,295,411

NET ASSETS
Beginning of period 641,249,486 472,954,075
------------- -------------
End of period $917,778,410 $641,249,486
============= =============

TRANSACTIONS IN SHARES OF THE FUND
Sold 913,300,007 492,713,081
Issued in reinvestment of distributions 31,468,928 15,788,464
Redeemed (668,240,175) (340,201,909)
------------- -------------
NET INCREASE (DECREASE) IN SHARES OF THE FUND 276,528,760 168,299,636
============= =============

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15

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. Premium Money Market Fund (the fund) is one
fund in a series issued by the trust. The fund is diversified under Rule 2a-7
of the 1940 Act. The fund's investment objective is to earn the highest level
of current income while preserving the value of your investment. The fund
invests most of its assets in high-quality, very short-term debt securities
issued by corporations, banks and governments. The following is a summary of
the fund's significant accounting policies.

INVESTMENT INCOME -- Interest income is recorded on the accrual basis and
includes accretion of discounts and amortization of premiums.

------
16

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
ACIM, under which ACIM provides the fund with investment advisory and
management services in exchange for a single, unified management fee (the
fee). The Agreement provides that all expenses of the fund, except brokerage
commissions, taxes, portfolio insurance, interest, fees and expenses of those
trustees who are not considered "interested persons" as defined in the 1940
Act (including counsel fees) and extraordinary expenses, will be paid by ACIM.
The fee is computed and accrued daily based on the daily net assets of the
specific class of shares of the fund and paid monthly in arrears. The fee
consists of (1) an Investment Category Fee based on the daily net assets of
the fund and certain other accounts managed by the investment manager that are
in the same broad investment category as the fund and (2) a Complex Fee based
on the assets of all the funds in the American Century family of funds. The
rates for the Investment Category Fee range from 0.1170% to 0.2300% and the
rates for the Complex Fee range from 0.2500% to 0.3100%. From July 29, 2005 to
July 31, 2006, the investment advisor voluntarily agreed to waive 0.030% of
its management fee. Effective August 1, 2006, the investment advisor
voluntarily agreed to waive 0.071% of its management fee. This fee waiver may
be revised or terminated at any time without notice. The effective annual
management fee before waiver for the fund for the year ended March 31, 2007,
was 0.45%. The effective annual management fee after waiver for the fund for
the year ended March 31, 2007, was 0.39%.

JPMorgan Chase Bank is a custodian of the fund and a wholly owned subsidiary
of JPMorgan Chase & Co. (JPM). JPM is an equity investor in ACC.

3. FEDERAL TAX INFORMATION

As of March 31, 2007, the fund has accumulated net realized capital loss
carryovers for federal income tax purposes of $(4,495), which may be used to
offset futures taxable realized gains. Capital loss carryovers of $(446),
$(885) and $(3,164) expire in 2013, 2014 and 2015, respectively.

Capital loss deferrals of ($311) represent net capital losses incurred in the
five-month period ended March 31, 2007. The fund has elected to treat such
losses as having been incurred in the following fiscal year for federal income
tax purposes.

4. RECENTLY ISSUED ACCOUNTING STANDARDS

------
17

FINANCIAL HIGHLIGHTS

Premium Money Market

For a Share Outstanding Throughout the Years Ended March 31

2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------

Income From Investment Operations
Net Investment Income
(Loss) 0.05 0.03 0.01 0.01 0.01
-------- -------- -------- -------- --------
Distributions

From Net Investment
Income (0.05) (0.03) (0.01) (0.01) (0.01)
-------- -------- -------- -------- --------
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ========

TOTAL RETURN(1) 4.98% 3.41% 1.33% 0.74% 1.32%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 0.41%(2) 0.45%(2) 0.48% 0.47% 0.47%

Ratio of Operating Expenses to
Average Net Assets (Before Expense
Waiver) 0.47% 0.47% 0.48% 0.47% 0.47%

Ratio of Net Investment Income
(Loss) to Average Net Assets 4.89%(2) 3.41%(2) 1.31% 0.73% 1.32%

Ratio of Net Investment Income
(Loss) to Average Net Assets (Before
Expense Waiver) 4.83% 3.39% 1.31% 0.73% 1.32%

Net Assets, End of Period (in
thousands) $917,778 $641,249 $472,954 $479,341 $560,991

(1) Total return assumes reinvestment of net investment income and capital
gains distributions, if any.

(2) Effective July 29, 2005, the investment advisor voluntarily agreed to
waive a portion of its management fee.

See Notes to Financial Statements.

------
18

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust and Shareholders of
the Premium Money Market Fund:

In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Premium Money
Market Fund (one of the ten funds comprising the American Century Investment
Trust, hereafter referred to as the "Fund") at March 31, 2007, 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 five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements 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 are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at March 31, 2007 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 15, 2007

------
19

MANAGEMENT

INTERESTED TRUSTEE

INDEPENDENT TRUSTEES

------
20

------
21

OFFICERS

The SAI has additional information about the fund's trustees and is available
without charge, upon request, by calling 1-800-345-2021.

------
22

ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION

PROXY VOTING GUIDELINES

QUARTERLY PORTFOLIO DISCLOSURE

------
23

INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as fund performance comparisons. They are not
investment products available for purchase.

The 90-DAY U.S. TREASURY BILL INDEX is derived from secondary market interest
rates as published by the Federal Reserve Bank and includes three-month,
six-month, and one-year instruments.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S. dollar-
denominated, non-investment grade, fixed-rate, taxable corporate bond market.

------
24

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE:
1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

BUSINESS, NOT-FOR-PROFIT,
EMPLOYER-SPONSORED RETIREMENT PLANS:
1-800-345-3533

BANKS AND TRUST COMPANIES, BROKER-DEALERS,
FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

American Century Investment Services, Inc., Distributor

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54183N

[front page]

AMERICAN CENTURY INVESTMENTS
ANNUAL REPORT MARCH 31, 2007

[photo of spring]

Inflation Protection Bond Fund

[american century investments logo and text logo]

OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century® Inflation Protection Bond Fund for the 12 months ended March 31,
2007. We've gathered this information to help you monitor your investment.
Another resource is our website, americancentury.com, where we post company
news, portfolio commentaries, investment views, and other communications about
portfolio strategy, personal finance, government policy, and the markets.

[photo of James E. Stowers III and James E. Stowers, Jr.]

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER AND CO-CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

/s/ James E. Stowers III
James E. Stowers III
VICE CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

[blank page]

TABLE OF CONTENTS

Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . 2
U.S. Fixed-Income Total Returns . . . . . . . . . . . . . . . . . 2

INFLATION PROTECTION BOND

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 5
Portfolio at a Glance . . . . . . . . . . . . . . . . . . . . . . 5
Yields. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Portfolio Composition by Maturity . . . . . . . . . . . . . . . . 6
Shareholder Fee Example . . . . . . . . . . . . . . . . . . . . . . . 7
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 9

FINANCIAL STATEMENTS

Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 11
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 13
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . 14
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 15
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . 21
Report of Independent Registered Public Accounting Firm . . . . . . . 27

OTHER INFORMATION

Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Share Class Information . . . . . . . . . . . . . . . . . . . . . . . 31
Additional Information. . . . . . . . . . . . . . . . . . . . . . . . 33
Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . 34

MARKET PERSPECTIVE

[photo of cio]

By David MacEwen, Chief Investment Officer, Fixed Income

FED PAUSE TRIGGERED BOND RALLY

TREASURY YIELD CURVE FELL, REMAINED FLAT

CORPORATES AND MBS OUTPACED TREASURYS AND TIPS

------
2

U.S. Fixed-Income Total Returns
For the 12 months ended March 31, 2007
TREASURY SECURITIES
3-Month Bill 5.10%
2-Year Note 4.97%
5-Year Note 5.60%
10-Year Note 5.82%
30-Year Bond 5.39%
LEHMAN BROTHERS U.S. BOND MARKET INDICES
Corporate High-Yield 11.58%
Corporate (investment-grade) 7.10%
Fixed-Rate Mortgage-Backed 6.94%
Aggregate (multi-sector) 6.59%
Agency 6.14%
Treasury 5.87%
Treasury Inflation-Protected (TIPS) 5.30%

PERFORMANCE
Inflation Protection Bond
Total Returns as of March 31, 2007
Average Annual Returns
Since Inception
1 year Inception Date
INVESTOR CLASS 4.46% 1.24% 5/31/05
CITIGROUP US INFLATION-LINKED SECURITIES INDEX(1) 5.27% 1.85% --
Institutional Class 4.81% 1.49% 5/31/05
A Class 5/31/05
No sales charge* 4.25% 0.98%
With sales charge* -0.49% -1.52%

B Class 5/31/05
No sales charge* 3.41% 0.25%
With sales charge* -0.59% -1.95%

C Class 3.54% 0.26% 5/31/05
R Class 4.03% 0.79% 5/31/05

(1) The Citigroup US Inflation-Linked Securities Index is not subject to the
tax code diversification and other regulatory requirements limiting the type
and amount of securities that the fund may own.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the index
are provided for comparison. The fund's total returns include operating
expenses (such as transaction costs and management fees) that reduce returns,
while the total returns of the index do not.

------
3

Inflation Protection Bond

Growth of $10,000 Over Life of Class

$10,000 investment made May 31, 2005

One-Year Returns Over Life of Class
Periods ended March 31
2006* 2007
Investor Class -2.09% 4.46%
Citigroup US Inflation-Linked Securities Index -1.76% 5.27%

*From 5/31/05 (fund inception) to 3/31/06. Not annualized.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the index
are provided for comparison. The fund's total returns include operating
expenses (such as transaction costs and management fees) that reduce returns,
while the total returns of the index do not.

------
4

PORTFOLIO COMMENTARY
Inflation Protection Bond

Portfolio Managers: Jeremy Fletcher, Seth Plunkett, and Bob Gahagan

PERFORMANCE SUMMARY
Inflation Protection Bond returned 4.46%* for the 12 months ended March 31,
2007. By comparison, the portfolio's benchmark, the Citigroup US
Inflation-Linked Securities Index, returned 5.27%. Portfolio returns reflect
operating expenses, while the benchmark's do not.

A pause in the Federal Reserve's (the Fed's) rate hikes, modest economic
growth, stock market volatility, continued geopolitical uncertainty, and a
weakening housing market boosted absolute bond returns during the reporting
period, benefiting the portfolio and the benchmark (though inflation-linked
bond performance lagged the broader market -- see page 2 and the next section).

INFLATION-LINKED BOND PERFORMANCE
Global inflation-linked securities returned 9.42% for the reporting period in
U.S. dollar terms, according to Lehman Brothers. U.S. Treasury
Inflation-Protected Securities (TIPS) Index, which represent the biggest
portion of the worldwide market for inflation-indexed bonds, returned 5.30%,
underperforming the double-digit returns of securities from Sweden, France,
Germany, and the U.K.

In the U.S., TIPS trailed the performance of other major taxable bond sectors
during the reporting period, reflecting Fed and investor opinion that
long-term inflation did not pose a threat. For the overall period, TIPS lagged
conventional Treasury securities by nearly 60 basis points (0.60%), according
to Lehman Brothers.

Although TIPS underperformed Treasurys for most of the period, they
outperformed in the first quarter of 2007 as near-term inflation fears
resurfaced. Those concerns were fueled by growing investor confidence that the
economic slowdown wouldn't lead to a recession and by a renewed surge in
energy prices. Those factors weighed on inflation-susceptible long-term
Treasurys and favored TIPS in the first three months of 2007.

BREAKEVEN RATES NARROWED
TIPS breakeven rates (representing the gap between TIPS yields and the yields
of their conventional Treasury counterparts, and used as a measure of
long-term inflation expectations) narrowed during the 12-month period. The
breakeven rate on five-year TIPS shrank eight basis points, while breakevens
on 10-year TIPS (the largest part of the TIPS market) dropped seven basis
points. Contributing factors to the decline in breakeven rates included
moderating expectations for long-term inflation, as evidenced by the Fed's
rate pause, as well as a softening economy and a decline in oil prices,
particularly in the second half of 2006.

Portfolio at a Glance
As of As of
3/31/07 3/31/06
Weighted Average Maturity 11.2 years 10.3 years
Average Duration (effective) 6.5 years 6.2 years

*All fund returns referenced in this commentary are for Investor Class shares.

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5

Inflation Protection Bond

Later, when near-term inflation fears resurfaced in the first three months of
2007, breakeven rates across all maturity bands expanded, erasing some of the
declines experienced during the first nine months.

PORTFOLIO STRATEGY

Early in the reporting period, we adjusted the portfolio's maturity structure
(to reflect the extension in the benchmark's weighted average maturity) by
reducing our holdings of bonds maturing within five years or fewer. We also
employed a Treasury overlay position (using futures contracts) that should
benefit the fund when the yield curve steepens.

When moderating economic growth supported a more bullish outlook, we
conservatively extended the portfolio's duration (a measure of the portfolio's
sensitivity to interest rate changes). This enabled the fund to benefit from
bond market strength in the fall of 2006, although we gave back those gains
when longer-term TIPS lost more ground than their shorter-term counterparts.

The portfolio received cash inflows from investors during the reporting
period, and we put that money to work across the inflation-linked yield curve.

STARTING POINT FOR NEXT REPORTING PERIOD

We continue to focus on our investment approach, which employs a consistent,
repeatable framework that helps us to identify the best relative values within
the U.S. inflation-linked securities universe. We actively apply a multi-step
process that includes yield-curve/duration positioning, security selection,
and attribution analysis.

As the reporting period concluded, we brought duration back to a neutral
position relative to the benchmark, where it had begun the reporting period.
We made this change in anticipation of weakening economic conditions and
moderating inflation over the longer-term.

Yields as of March 31, 2007
30-Day SEC Yield
Investor Class 4.89%
Institutional Class 5.10%
A Class 4.43%
B Class 3.89%
C Class 3.89%
R Class 4.40%

Portfolio Composition by Effective Maturity
% of fund % of fund
investments investments
as of 3/31/07 as of 9/30/06
0 - 5-Year Notes 32.2% 30.0%
5 - 10-Year Notes 38.5% 40.5%
10 - 30-Year Bonds 29.3% 29.5%

------
6

SHAREHOLDER FEE EXAMPLE (UNAUDITED)

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007.

ACTUAL EXPENSES
The table provides information about actual account values and actual expenses
for each class. You may use the information, together with the amount you
invested, to estimate the expenses that you paid over the period. First,
identify the share class you own. Then simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number under the heading "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The table also provides information about hypothetical account values and
hypothetical expenses based on the actual expense ratio of each class of your
fund and an assumed rate of return of 5% per year before expenses, which is
not the actual return of a fund's share class. The hypothetical account values
and expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in your fund and other funds. To do so, compare
this 5% hypothetical example with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.

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7

Inflation Protection Bond Shareholder Fee Example
Expenses Paid During
Beginning Account Ending Account Period* 10/1/06 - Annualized
Value 10/1/06 Value 3/31/07 3/31/07 Expense Ratio*
ACTUAL
Investor Class $1,000 $1,007.50 $2.95 0.59%
Institutional Class $1,000 $1,008.60 $1.95 0.39%
A Class $1,000 $1,006.20 $4.20 0.84%
B Class $1,000 $1,002.40 $7.94 1.59%
C Class $1,000 $1,003.50 $7.94 1.59%
R Class $1,000 $1,005.20 $5.45 1.09%
HYPOTHETICAL
Investor Class $1,000 $1,021.99 $2.97 0.59%
Institutional Class $1,000 $1,022.99 $1.97 0.39%
A Class $1,000 $1,020.74 $4.23 0.84%
B Class $1,000 $1,017.00 $8.00 1.59%
C Class $1,000 $1,017.00 $8.00 1.59%
R Class $1,000 $1,019.50 $5.49 1.09%

*Expenses are equal to the class's annualized expense ratio listed in the
table above, multiplied by the average account value over the period,
multiplied by 182, the number of days in the most recent fiscal half-year,
divided by 365, to reflect the one-half year period.

------
8

SCHEDULE OF INVESTMENTS
Inflation Protection Bond

MARCH 31, 2007

Principal Amount Value
U.S. Treasury Securities -- 94.1%
$1,181,224 U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/25 $1,189,252
1,376,784 U.S. Treasury Inflation Indexed Bonds, 2.00%, 1/15/26(1) 1,308,913
1,104,103 U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27(1) 1,113,549
863,528 U.S. Treasury Inflation Indexed Bonds, 3.625%, 4/15/28 1,051,380
535,611 U.S. Treasury Inflation Indexed Bonds, 3.875%, 4/15/29 680,059
655,713 U.S. Treasury Inflation Indexed Bonds, 3.375%, 4/15/32 799,714
375,876 U.S. Treasury Inflation Indexed Notes, 3.625%, 1/15/08 381,734
956,536 U.S. Treasury Inflation Indexed Notes, 3.875%, 1/15/09 991,771
782,015 U.S. Treasury Inflation Indexed Notes, 4.25%, 1/15/10 831,838
988,335 U.S. Treasury Inflation Indexed Notes, 0.875%, 4/15/10(1) 955,944
1,046,709 U.S. Treasury Inflation Indexed Notes, 3.50%, 1/15/11(1) 1,105,464
764,850 U.S. Treasury Inflation Indexed Notes, 2.375%, 4/15/11 775,039
854,970 U.S. Treasury Inflation Indexed Notes, 3.375%, 1/15/12 907,304
619,179 U.S. Treasury Inflation Indexed Notes, 3.00%, 7/15/12 649,219
551,050 U.S. Treasury Inflation Indexed Notes, 1.875%, 7/15/13 544,033
657,288 U.S. Treasury Inflation Indexed Notes, 2.00%, 1/15/14 651,075
966,456 U.S. Treasury Inflation Indexed Notes, 2.00%, 7/15/14 957,396
954,063 U.S. Treasury Inflation Indexed Notes, 1.625%, 1/15/15 916,199
1,196,748 U.S. Treasury Inflation Indexed Notes, 1.875%, 7/15/15(1) 1,170,242
1,019,840 U.S. Treasury Inflation Indexed Notes, 2.00%, 1/15/16 1,004,423
1,002,300 U.S. Treasury Inflation Indexed Notes, 2.50%, 7/15/16 1,028,807
702,611 U.S. Treasury Inflation Indexed Notes, 2.375%, 1/15/17 713,233
-----------
TOTAL U.S. TREASURY SECURITIES
(Cost $19,705,950) 19,726,588
-----------

Inflation Protection Bond

MARCH 31, 2007

Principal Amount Value

Collateralized Mortgage Obligations(2) -- 3.9%
$ 250,000 Credit Suisse First Boston Mortgage Securities Corp., Series 2002
CKN2, Class A3 SEQ, 6.13%, 4/15/37 $ 260,207
100,000 Credit Suisse First Boston Mortgage Securities Corp., Series 2002
CKP1, Class B, 6.57%, 12/15/35 106,122
125,000 J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002
C1, Class A3 SEQ, 5.38%, 7/12/37 126,308
320,000 Morgan Stanley Capital I STRIPS - COUPON, Series 2007 HQ11, Class A2,
5.36%, 2/20/44 322,695
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $810,974) 815,332
-----------
Sovereign Governments & Agencies -- 1.0%
JPY KfW, VRN, 0.325%, 5/8/07, resets quarterly off the 3-month JPY LIBOR
25,000,000 minus 0.22% with no caps
(Cost $206,617) 212,312
-----------
TOTAL INVESTMENT SECURITIES -- 99.0%
(Cost $20,723,541) 20,754,232
-----------
OTHER ASSETS AND LIABILITIES -- 1.0% 224,792
-----------
TOTAL NET ASSETS -- 100.0% $20,979,024
===========

------
10

Inflation Protection Bond

Futures Contracts
Contracts Purchased Expiration Date Underlying Face Amount at Value Unrealized Gain (Loss)
16 U.S. Treasury
2-Year Notes June 2007 $3,279,000 $9,000
=========== ===========

Contracts Sold Expiration Date Underlying Face Amount at Value Unrealized Gain (Loss)
8 U.S. Treasury
10-Year Notes June 2007 $866,000 $(2,660)
=========== ===========

Swap Agreements
Unrealized Gain
Notional Amount Description of Agreement Expiration Date (Loss)
TOTAL RETURN
Pay a fixed rate equal to 2.45%
and receive the return of the
U.S. CPI Urban Consumers NSA Index upon the
$800,000 termination date with Barclays Bank plc. January 2012 $8,883
===========

Notes to Schedule of Investments

CPI = Consumer Price Index

JPY = Japanese Yen

LIBOR = London Interbank Offered Rate

NSA = Not Seasonally Adjusted

SEQ = Sequential Payer

STRIPS = Separate Trading of Registered Interest and Principal of Securities

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Security, or a portion thereof, has been segregated for futures contracts
and/or swap agreements.

(2) Final maturity indicated, unless otherwise noted.

See Notes to Financial Statements.

------
11

STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007

ASSETS

Investment securities, at value (cost of $20,723,541) $20,754,232

Cash 89,267

Unrealized appreciation on swap agreements 8,883

Receivable for capital shares sold 36,023

Receivable for variation margin on futures contracts 250

Interest receivable 134,143
-----------
21,022,798
-----------

LIABILITIES

Payable for capital shares redeemed 20,493

Accrued management fees 10,640

Distribution fees payable 5,170

Service fees (and distribution fees -
A Class and R Class) payable 4,447

Dividends payable 3,024
-----------
43,774
-----------

NET ASSETS $20,979,024
===========

See Notes to Financial Statements.

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11

MARCH 31, 2007

NET ASSETS CONSIST OF:

Capital paid in $21,311,475

Undistributed net investment income 1,584

Accumulated net realized loss on investment transactions (379,949)

Net unrealized appreciation on investments 45,914
-----------
$20,979,024
===========

INVESTOR CLASS
Net assets $596,372
Shares outstanding 62,311
Net asset value per share $9.57

INSTITUTIONAL CLASS
Net assets $43,301
Shares outstanding 4,524
Net asset value per share $9.57

A CLASS
Net assets $12,402,095
Shares outstanding 1,302,524
Net asset value per share $9.52
Maximum offering price (net asset value divided by 0.955) $9.97

B CLASS
Net assets $1,132,264
Shares outstanding 119,180
Net asset value per share $9.50

C CLASS
Net assets $6,681,730
Shares outstanding 704,328
Net asset value per share $9.49

R CLASS
Net assets $123,262
Shares outstanding 12,655
Net asset value per share $9.74

See Notes to Financial Statements.

------
12

STATEMENT OF OPERATIONS

YEAR ENDED MARCH 31, 2007

INVESTMENT INCOME (LOSS)

INCOME:

Interest $737,892
---------

EXPENSES:

Management fees 111,897

Distribution fees:
B Class 7,287
C Class 46,905

Service fees:
B Class 2,429
C Class 15,635

Distribution and service fees -- A Class 28,095

Distribution and service fees -- R Class 342

Trustees' fees and expenses 729

Other expenses 329
---------
213,648
---------

NET INVESTMENT INCOME (LOSS) 524,244
---------

REALIZED AND UNREALIZED GAIN (LOSS)

Net realized gain (loss) on investment
and foreign currency transactions (311,252)

Change in net unrealized
appreciation (depreciation) on investments
and translation of assets and liabilities
in foreign currencies 529,124
---------

NET REALIZED AND UNREALIZED GAIN (LOSS) 217,872
---------

NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $742,116
=========

See Notes to Financial Statements.

------
13

STATEMENT OF CHANGES IN NET ASSETS

YEAR ENDED MARCH 31, 2007 AND PERIOD ENDED MARCH 31, 2006 (AS NOTED)
Increase (Decrease) in Net Assets 2007 2006(1)
OPERATIONS

Net investment income (loss) $ 524,244 $ 262,359

Net realized gain (loss) (311,252) (67,781)

Change in net unrealized appreciation (depreciation) 529,124 (483,210)
----------- -----------
Net increase (decrease) in net assets resulting from operations 742,116 (288,632)
----------- -----------

DISTRIBUTIONS TO SHAREHOLDERS
From net investment income:
Investor Class (19,831) (28,216)
Institutional Class (1,427) (23,866)
A Class (336,894) (100,237)
B Class (22,154) (29,331)
C Class (142,850) (60,961)
R Class (1,088) (19,748)

From return of capital:
Investor Class (83) --
Institutional Class -- --
A Class (20,050) --
B Class (3,328) --
C Class (30,712) --
R Class -- --
----------- -----------
Decrease in net assets from distributions (578,417) (262,359)
----------- -----------

CAPITAL SHARE TRANSACTIONS

Net increase (decrease) in net assets from capital share transactions 6,167,036 15,199,280
----------- -----------

NET INCREASE (DECREASE) IN NET ASSETS 6,330,735 14,648,289

NET ASSETS

Beginning of period 14,648,289 --
----------- -----------

End of period $20,979,024 $14,648,289
=========== ===========

Undistributed net investment income $1,584 --
=========== ===========

(1) May 31, 2005 (fund inception) through March 31, 2006.

See Notes to Financial Statements.

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14

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. Inflation Protection Bond Fund (the fund) is
one fund in a series issued by the trust. The fund is nondiversified under the
1940 Act. The fund's investment objective is to seek total return and
protection against U.S. inflation. The fund invests primarily in
inflation-linked debt securities. These securities include inflation-linked
securities issued by the U.S. Treasury, by U.S. government agencies and
instrumentalities, and by entities other than the U.S. Treasury or U.S.
government agencies and instrumentalities. The following is a summary of the
fund's significant accounting policies.

MULTIPLE CLASS -- The fund is authorized to issue the Investor Class, the
Institutional Class, the A Class, the B Class, the C Class, and the R Class.
The A Class may incur an initial sales charge. The A Class, B Class, and C
Class may be subject to a contingent deferred sales charge. The share classes
differ principally in their respective sales charges and distribution and
shareholder servicing expenses and arrangements. All shares of the funds
represent an equal pro rata interest in the assets of the class to which such
shares belong, and have identical voting, dividend, liquidation and other
rights and the same terms and conditions, except for class specific expenses
and exclusive rights to vote on matters affecting only individual classes.
Income, non-class specific expenses, and realized and unrealized capital gains
and losses of the funds are allocated to each class of shares based on their
relative net assets. All classes of the fund commenced sale on May 31, 2005,
the fund's inception date.

SECURITY VALUATIONS -- Debt securities maturing in greater than 60 days are
valued at current market value as provided by a commercial pricing service or
at the mean of the most recent bid and asked prices. Debt securities maturing
within 60 days may be valued at cost, plus or minus any amortized discount or
premium. Securities traded on foreign securities exchanges and
over-the-counter markets are normally completed before the close of business
on days that the New York Stock Exchange (the Exchange) is open and may also
take place on days when the Exchange is not open. If an event occurs after the
value of a security was established but before the net asset value per share
was determined that was likely to materially change the net asset value, that
security would be valued at fair value as determined in accordance with
procedures adopted by the Board of Trustees. If the fund determines that the
market price of a portfolio security is not readily available, or that the
valuation methods mentioned above do not reflect the security's fair value,
such security is valued at its fair value as determined by, or in accordance
with procedures adopted by, the Board of Trustees or its designee if such fair
value determination would materially impact a fund's net asset value. Certain
other circumstances may cause the fund to fair value a security such as: a
security has been declared in default; trading in a security has been halted
during the trading day; or there is a foreign market holiday and no trading
will commence.

INVESTMENT INCOME -- Interest income less foreign taxes withheld, if any, is
recorded on the accrual basis and includes accretion of discounts and
amortization of premiums. Inflation adjustments related to inflation-linked
debt securities are reflected as interest income.

FUTURES CONTRACTS -- The fund may enter into futures contracts in order to
manage the fund's exposure to changes in market conditions. One of the risks
of entering into futures contracts is the possibility that the change in value
of the contract may not correlate with the changes in value of the underlying
securities. Upon entering into a futures contract, the fund is required to
deposit either cash or securities in an amount equal to a certain percentage
of the contract value (initial margin). Subsequent payments (variation margin)
are made or received daily, in cash, by the fund. The variation margin is
equal to the daily change in the contract value and is recorded as unrealized
gains and losses. The fund recognizes a realized gain or loss when the
contract is closed or expires. Net realized and unrealized gains or losses
occurring during the holding period of futures contracts are a component of
realized gain (loss) on investment transactions and unrealized appreciation
(depreciation) on investments, respectively.
FOREIGN CURRENCY TRANSACTIONS -- All assets and liabilities initially
expressed in foreign currencies are translated into U.S. dollars at prevailing
exchange rates at period end. Purchases and sales of investment securities,
dividend and interest income, and certain expenses are translated at the rates
of exchange prevailing on the respective dates of such transactions. For
assets and liabilities, other than investments in securities, net realized and
unrealized gains and losses from foreign currency translations arise from
changes in currency exchange rates.

------
15

Net realized and unrealized foreign currency exchange gains or losses
occurring during the holding period of investment securities are a component
of realized gain (loss) on investment transactions and unrealized appreciation
(depreciation) on investments, respectively. Certain countries may impose
taxes on the contract amount of purchases and sales of foreign currency
contracts in their currency. The fund records the foreign tax expense, if any,
as a reduction to the net realized gain (loss) on foreign currency
transactions.

SWAP AGREEMENTS -- The fund may enter into a swap agreement in order to
attempt to obtain or preserve a particular return or spread at a lower cost
than obtaining a return or spread through purchases and/or sales of
instruments in other markets; protect against currency fluctuations; attempt
to manage duration to protect against any increase in the price of securities
the fund anticipates purchasing at a later date; or gain exposure to certain
markets in the most economical way possible. A basic swap agreement is a
contract in which two parties agree to exchange the returns earned or realized
on predetermined investments or instruments. The fund will segregate cash,
cash equivalents or other appropriate liquid securities on its records in
amounts sufficient to meet requirements. Unrealized gains are reported as an
asset and unrealized losses are reported as a liability on the Statement of
Assets and Liabilities. Swap agreements are valued daily and changes in value,
including the periodic amounts of interest to be paid or received on swaps,
are recorded as unrealized appreciation (depreciation) on investments.
Realized gain or loss is recorded upon receipt or payment of a periodic
settlement or termination of swap agreements. The risks of entering into swap
agreements include the possible lack of liquidity, failure of the counterparty
to meet its obligations, and that there may be unfavorable changes in the
underlying investments and instruments.

DISTRIBUTIONS TO SHAREHOLDERS -- Distributions to shareholders are recorded on
the ex-dividend date. Distributions from net investment income are declared
daily and paid monthly. Distributions from net realized gains, if any, are
generally declared and paid annually.

------
16

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
American Century Investment Management, Inc. (ACIM) (the investment advisor),
under which ACIM provides the fund with investment advisory and management
services in exchange for a single, unified management fee (the fee) per class.
The Agreement provides that all expenses of the fund, except brokerage
commissions, taxes, interest, fees and expenses of those trustees who are not
considered "interested persons" as defined in the 1940 Act (including counsel
fees) and extraordinary expenses, will be paid by ACIM. The fee is computed
and accrued daily based on the daily net assets of the specific class of
shares of the fund and paid monthly in arrears. The fee consists of (1) an
Investment Category Fee based on the daily net assets of the fund and certain
other accounts managed by the investment advisor that are in the same broad
investment category as the fund and (2) a Complex Fee based on the assets of
all the funds in the American Century family of funds. The rates for the
Investment Category Fee range from 0.2625% to 0.3800% and the rates for the
Complex Fee (except for Institutional Class) range from 0.2500% to 0.3100%.
The Institutional Class is 0.2000% less at each point within the Complex Fee
range. The effective annual management fee for the fund for the year ended
March 31, 2007 was 0.58% for all classes except Institutional Class, which was
0.38%.

DISTRIBUTION AND SERVICE FEES -- The Board of Trustees has adopted a separate
Master Distribution and Individual Shareholder Services Plan for each of the A
Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule
12b-1 of the 1940 Act. The plans provide that the B Class and C Class will pay
American Century Investment Services, Inc. (ACIS) an annual distribution fee
and service fee of 0.75% and 0.25%, respectively. The plans provide that the A
Class and the R Class will pay ACIS an annual distribution and service fee of
0.25% for the A Class and 0.50% for the R Class. The fees are computed and
accrued daily based on each class's daily net assets and paid monthly in
arrears. The distribution fee provides compensation for expenses incurred in
connection with distributing shares of the classes including, but not limited
to, payments to brokers, dealers, and financial institutions that have entered
into sales agreements with respect to shares of the fund. The service fee
provides compensation for individual shareholder services rendered by
broker/dealers or other independent financial intermediaries for A Class, B
Class, C Class and R Class shares. Fees incurred under the plans during the
year ended March 31, 2007, are detailed in the Statement of Operations.

The fund has a bank line of credit agreement with JPMorgan Chase Bank (JPMCB).
JPMCB is a wholly owned subsidiary of JPMorgan Chase & Co. (JPM). JPM is an
equity investor in ACC.

3. INVESTMENT TRANSACTIONS

Purchases and sales of investment securities, excluding short-term
investments, for the year ended March 31, 2007, were $15,862,690 and
$9,774,544, respectively.

------
17

4. CAPITAL SHARE TRANSACTIONS

Transactions in shares of the fund were as follows (unlimited number of shares
authorized):

Year ended March 31, 2007 Period ended March 31, 2006(1)
Shares Amount Shares Amount
INVESTOR CLASS
Sold 76,590 $722,622 125,108 $1,239,757
Issued in reinvestment of
distributions 521 4,911 2,261 22,063
Redeemed (54,375) (512,192) (87,794) (850,562)
--------- ---------- --------- ----------
22,736 215,341 39,575 411,258
--------- ---------- --------- ----------
INSTITUTIONAL CLASS
Sold 343 3,231 84,969 844,334
Issued in reinvestment of
distributions 152 1,427 2,439 23,789
Redeemed -- -- (83,379) (800,000)
--------- ---------- --------- ----------
495 4,658 4,029 68,123
--------- ---------- --------- ----------
A CLASS
Sold 947,874 8,907,190 1,039,894 10,109,268
Issued in reinvestment of
distributions 35,366 332,299 7,980 77,303
Redeemed (544,625) (5,108,120) (183,965) (1,783,726)
--------- ---------- --------- ----------
438,615 4,131,369 863,909 8,402,845
--------- ---------- --------- ----------
B CLASS
Sold 52,410 493,406 172,288 1,696,275
Issued in reinvestment of
distributions 1,858 17,462 2,629 25,579
Redeemed (22,981) (214,939) (87,024) (837,931)
--------- ---------- --------- ----------
31,287 295,929 87,893 883,923
--------- ---------- --------- ----------
C CLASS
Sold 356,677 3,342,230 638,149 6,208,377
Issued in reinvestment of
distributions 7,955 74,632 3,935 38,204
Redeemed (212,538) (1,992,934) (89,850) (866,471)
--------- ---------- --------- ----------
152,094 1,423,928 552,234 5,380,110
--------- ---------- --------- ----------
R CLASS
Sold 9,843 94,816 83,889 833,334
Issued in reinvestment of
distributions 113 1,088 2,020 19,687
Redeemed (10) (93) (83,200) (800,000)
--------- ---------- --------- ----------
9,946 95,811 2,709 53,021
--------- ---------- --------- ----------
Net increase (decrease) 655,173 $6,167,036 1,550,349 $15,199,280
========= ========== ========= ==========

(1) May 31, 2005 (fund inception) through March 31, 2006.

------
18

5. BANK LINE OF CREDIT

The fund, along with certain other funds managed by ACIM or American Century
Global Investment Management, Inc., has a $500,000,000 unsecured bank line of
credit agreement with JPMCB. The fund may borrow money for temporary or
emergency purposes to fund shareholder redemptions. Borrowings under the
agreement bear interest at the Federal Funds rate plus 0.40%. The fund did not
borrow from the line during the year ended March 31, 2007.

6. FEDERAL TAX INFORMATION

The tax character of distributions paid during the year ended March 31, 2007
and period May 31, 2005 (fund inception) through March 31, 2006, were as
follows:

2007 2006
DISTRIBUTIONS PAID FROM
Ordinary income $524,244 $262,359
Long-term capital gains -- --
Return of capital $54,173 --

As of March 31, 2007, the components of distributable earnings on a tax-basis
and the federal tax cost of investments were as follows:

Federal tax cost of investments $20,876,095
===========
Gross tax appreciation of investments $121,805

Gross tax depreciation of investments (243,668)
-----------
Net tax appreciation (depreciation) of investments $(121,863)
===========
Net tax appreciation/depreciation on derivatives and translation of assets and
liabilities in foreign currencies $8,832
-----------
Net tax appreciation (depreciation) $(113,031)
===========
Undistributed ordinary income $1,584

Accumulated capital losses $(33,021)

Capital loss deferral $(187,983)

The accumulated capital losses listed above represent net capital loss
carryovers that may be used to offset future realized capital gains for
federal income tax purposes. The capital loss carryovers of $6,481 and $26,540
expire in 2014 and 2015, respectively.

The capital loss deferral listed above represents net capital losses incurred
in the five-month period ended March 31, 2007. The fund has elected to treat
such losses as having been incurred in the following fiscal year for federal
income tax purposes.

------
19

7. RECENTLY ISSUED ACCOUNTING STANDARDS

------
20

FINANCIAL HIGHLIGHTS
Inflation Protection Bond

Investor Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.47 $10.00
-------- --------
Income From Investment Operations
Net Investment Income 0.33(2) 0.33
Net Realized and Unrealized Gain (Loss) 0.08 (0.53)
-------- --------
Total From Investment Operations 0.41 (0.20)
-------- --------
Distributions
From Net Investment Income (0.31) (0.33)
From Return of Capital --(3) --
-------- --------
Total Distributions (0.31) (0.33)
-------- --------
Net Asset Value, End of Period $9.57 $9.47
======== ========

TOTAL RETURN(4) 4.46% (2.09)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.59% 0.59%(5)
Ratio of Net Investment Income to Average Net Assets 3.26% 3.97%(5)
Portfolio Turnover Rate 52% 51%
Net Assets, End of Period (in thousands) $596 $375

(1) May 31, 2005 (fund inception) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(3) Per share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(5) Annualized.

See Notes to Financial Statements.

------
21

Inflation Protection Bond

Institutional Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.47 $10.00
------- -------
Income From Investment Operations
Net Investment Income 0.35(2) 0.34
Net Realized and Unrealized Gain (Loss) 0.11 (0.53)
------- -------
Total From Investment Operations 0.46 (0.19)
------- -------
Distributions
From Net Investment Income (0.36) (0.34)
Net Asset Value, End of Period $9.57 $9.47
======= =======

TOTAL RETURN(3) 4.81% (1.97)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.39% 0.39%(4)
Ratio of Net Investment Income to Average Net Assets 3.46% 4.17%(4)
Portfolio Turnover Rate 52% 51%
Net Assets, End of Period (in thousands) $43 $38

(1) May 31, 2005 (fund inception) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
22

Inflation Protection Bond

A Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.45 $10.00
------- -------
Income From Investment Operations
Net Investment Income 0.28(2) 0.33
Net Realized and Unrealized Gain (Loss) 0.11 (0.55)
------- -------
Total From Investment Operations 0.39 (0.22)
------- -------
Distributions
From Net Investment Income (0.30) (0.33)
From Return of Capital (0.02) --
Total Distributions (0.32) (0.33)
------- -------
Net Asset Value, End of Period $9.52 $9.45
======= =======

TOTAL RETURN(3) 4.25% (2.35)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.84% 0.84%(4)
Ratio of Net Investment Income to Average Net Assets 3.01% 3.72%(4)
Portfolio Turnover Rate 52% 51%
Net Assets, End of Period (in thousands) $12,402 $8,164

(1) May 31, 2005 (fund inception) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
23

Inflation Protection Bond

B Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.45 $10.00
------- -------
Income From Investment Operations
Net Investment Income 0.21(2) 0.27
Net Realized and Unrealized Gain (Loss) 0.11 (0.55)
------- -------
Total From Investment Operations 0.32 (0.28)
------- -------
Distributions
From Net Investment Income (0.23) (0.27)
From Return of Capital (0.04) --
------- -------
Total Distributions (0.27) (0.27)
------- -------
Net Asset Value, End of Period $9.50 $9.45
======= =======

TOTAL RETURN(3) 3.41% (2.87)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.59% 1.59%(4)
Ratio of Net Investment Income to Average Net Assets 2.26% 2.97%(4)
Portfolio Turnover Rate 52% 51%
Net Assets, End of Period (in thousands) $1,132 $830

(1) May 31, 2005 (fund inception) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
24

Inflation Protection Bond

C Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)
PER-SHARE DATA

Net Asset Value, Beginning of Period $9.44 $10.00
------- -------
Income From Investment Operations
Net Investment Income 0.21(2) 0.27
Net Realized and Unrealized Gain (Loss) 0.12 (0.56)
------- -------
Total From Investment Operations 0.33 (0.29)
------- -------
Distributions
From Net Investment Income (0.23) (0.27)
From Return of Capital (0.05) --
------- -------
Total Distributions (0.28) (0.27)
------- -------
Net Asset Value, End of Period $9.49 $9.44
======= =======

TOTAL RETURN(3) 3.54% (2.95)%

RATIOS/SUPPLEMENTAL DATA

(1) May 31, 2005 (fund inception) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
25

Inflation Protection Bond

R Class
For a Share Outstanding Throughout the Years Ended March 31 (except as noted)
2007 2006(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.46 $10.00
------- -------
Income From Investment Operations
Net Investment Income 0.15(2) 0.30
Net Realized and Unrealized Gain (Loss) 0.23 (0.54)
------- -------
Total From Investment Operations 0.38 (0.24)
------- -------
Distributions
From Net Investment Income (0.10) (0.30)
------- -------
Net Asset Value, End of Period $9.74 $9.46
======= =======

TOTAL RETURN(3) 4.03% (2.48)%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.09% 1.09%(4)
Ratio of Net Investment Income to Average Net Assets 2.76% 3.47%(4)
Portfolio Turnover Rate 52% 51%
Net Assets, End of Period (in thousands) $123 $26

(1) May 31, 2005 (fund inception) through March 31, 2006.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
26

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust
and Shareholders of the Inflation Protection Bond Fund:

In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Inflation
Protection Bond Fund (one of the ten funds comprising the American Century
Investment Trust, hereafter referred to as the "Fund") at March 31, 2007, the
results of its operations for the year then ended, the changes in it net
assets and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audit. We conducted our audit of these financial
statements 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 are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audit, which included confirmation of
securities at March 31, 2007 by correspondence with the custodian and brokers,
provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 17, 2007

------
27

MANAGEMENT

INTERESTED TRUSTEE

INDEPENDENT TRUSTEES

------
28

------
29

OFFICERS

CHARLES A. ETHERINGTON
4500 Main Street, Kansas City, MO 64111
Year of Birth: 1957
POSITION(S) HELD WITH FUND: General Counsel (since 2007) and Senior Vice
President (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACC (November
2005 to present); General Counsel, ACC (March 2007 to present). Also serves
as: General Counsel, ACIM, ACGIM, ACS, ACIS and other ACC subsidiaries; and
Senior Vice President, ACIM, ACGIM and ACS

The SAI has additional information about the fund's trustees and is available
without charge, upon request, by calling 1-800-345-2021.

------
30

SHARE CLASS INFORMATION

Six classes of shares are authorized for sale by the fund: Investor Class,
Institutional Class, A Class, B Class, C Class and R Class. The total expense
ratio of Institutional Class shares is lower than that of Investor Class
shares. The total expense ratios of A Class, B Class, C Class and R Class
shares are higher than that of Investor Class shares. The fund is available
for purchase only through financial intermediaries by investors who seek
advice from them. The fund is closed to other investors, but those with open
accounts may make additional investments and reinvest dividends and capital
gains distributions as long as such accounts remain open.

A CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. A Class shares are sold at their offering price,
which is net asset value plus an initial sales charge that ranges from 4.50%
to 0.00% for fixed-income funds, depending on the amount invested. The initial
sales charge is deducted from the purchase amount before it is invested. A
Class shares may be subject to a contingent deferred sales charge (CDSC).
There is no CDSC on shares acquired through reinvestment of dividends or
capital gains. The prospectus contains information regarding reductions and
waivers of sales charges for A Class shares. The unified management fee for A
Class shares is the same as for Investor Class shares. A Class shares also are
subject to a 0.25% annual Rule 12b-1 distribution and service fee.

C CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. C Class shares redeemed within 12 months of purchase
are subject to a CDSC of 1.00%. There is no CDSC on shares acquired through
reinvestment of dividends or capital gains. The unified management fee for C
Class shares is the same as for Investor Class shares. C Class shares also are
subject to a Rule 12b-1 distribution and service fee of 1.00%.

All classes of shares represent a pro rata interest in the fund and generally
have the same rights and preferences.

------
32

ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION
As required by law, any distributions you receive from an IRA or certain
403(b), 457 and qualified plans [those not eligible for rollover to an IRA or
to another qualified plan] are subject to federal income tax withholding,
unless you elect not to have withholding apply. Tax will be withheld on the
total amount withdrawn even though you may be receiving amounts that are not
subject to withholding, such as nondeductible contributions. In such case,
excess amounts of withholding could occur. You may adjust your withholding
election so that a greater or lesser amount will be withheld.

PROXY VOTING GUIDELINES
American Century Investment Management, Inc., the fund's investment advisor,
is responsible for exercising the voting rights associated with the securities
purchased and/or held by the fund. A description of the policies and
procedures the advisor uses in fulfilling this responsibility is available
without charge, upon request, by calling 1-800-345-2021. It is also available
on American Century's website at americancentury.com and on the Securities and
Exchange Commission's website at sec.gov. Information regarding how the
investment advisor voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30 is available on the "About Us" page
at americancentury.com. It is also available at sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE
The fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission (SEC) for the first and third quarters of each fiscal
year on Form N-Q. The fund's Form N-Q is available on the SEC's website at
sec.gov, and may be reviewed and copied at the SEC's Public Reference Room in
Washington, DC. Information on the operation of the Public Reference Room may
be obtained by calling 1-800-SEC-0330. The fund also makes its complete
schedule of portfolio holdings for the most recent quarter of its fiscal year
available on its website at americancentury.com and, upon request, by calling
1-800-345-2021.

------
33

INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as fund performance comparisons. They are not
investment products available for purchase.

The CITIGROUP US INFLATION-LINKED SECURITIES INDEX (ILSI) measures the return
of bonds with fixed-rate coupon payments that adjust for inflation as measured
by the Consumer Price Index (CPI).

The LEHMAN BROTHERS U.S. AGGREGATE INDEX represents securities that are
taxable, registered with the Securities and Exchange Commission, and U.S.
dollar-denominated. The index covers the U.S. investment-grade fixed-rate bond
market, with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S.
dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond
market.

------
34

NOTES

------
35

NOTES

------
36

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE: 1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

INVESTORS USING ADVISORS:
1-800-378-9878

BUSINESS, NOT-FOR-PROFIT,
EMPLOYER-SPONSORED RETIREMENT PLANS:
1-800-345-3533

BANKS AND TRUST COMPANIES, BROKER-DEALERS,
FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

THIS REPORT AND THE STATEMENTS IT CONTAINS ARE SUBMITTED FOR THE GENERAL
INFORMATION OF OUR SHAREHOLDERS. THE REPORT IS NOT AUTHORIZED FOR DISTriBUTION
TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE
PROSPECTUS.

American Century Investment Services, Inc., Distributor

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54181N

[front cover]

AMERICAN CENTURY INVESTMENTS
Annual Report March 31, 2007

[photo of spring]

American Century-Mason Street Select Bond Fund
American Century-Mason Street High-Yield Bond Fund

[american century investments logo and text logo]

OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century®-Mason Street Select Bond and High-Yield Bond funds for the 12 months
ended March 31, 2007. We've gathered this information to help you monitor your
investment. Another resource is our website, americancentury.com, where we
post company news, portfolio commentaries, investment views, and other
communications about portfolio strategy, personal finance, government policy,
and the markets.

[photo of James E. Stowers, Jr. and James E. Stowers III]

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER AND CO-CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

/s/James E. Stowers III
James E. Stowers III
VICE CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

TABLE OF CONTENTS

Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . 2
U.S. Fixed-Income Total Returns. . . . . . . . . . . . . . . . . . . 2

SELECT BOND

HIGH-YIELD BOND

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 17
Portfolio at a Glance. . . . . . . . . . . . . . . . . . . . . . . . 17
Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
Top Five Industries. . . . . . . . . . . . . . . . . . . . . . . . . 18
Portfolio Composition by Credit Rating . . . . . . . . . . . . . . . 18
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 19
Shareholder Fee Examples. . . . . . . . . . . . . . . . . . . . . . . 27

FINANCIAL STATEMENTS

Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 30
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 32
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . 33
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 34
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . 41
Report of Independent Registered Public Accounting Firm . . . . . . . 53

OTHER INFORMATION

Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Share Class Information . . . . . . . . . . . . . . . . . . . . . . . 57
Additional Information. . . . . . . . . . . . . . . . . . . . . . . . 59
Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . 60

MARKET PERSPECTIVE

[photo of cio]

By David MacEwen, Chief Investment Officer, Fixed Income

FED PAUSE TRIGGERED BOND RALLY

TREASURY YIELD CURVE FELL, REMAINED FLAT

CORPORATES AND MBS OUTPACED TREASURYS AND TIPS

U.S. Fixed-Income Total Returns
For the 12 months ended March 31, 2007

TREASURY SECURITIES
3-Month Bill 5.10%
2-Year Note 4.97%
5-Year Note 5.60%
10-Year Note 5.82%
30-Year Bond 5.39%

------
2

PERFORMANCE
Select Bond

Total Returns as of March 31, 2007
Average Annual Returns
Since Inception
1 year 5 years 10 years Inception Date

A CLASS 3/31/97
No sales charge* 5.86%(1) 5.24% 6.37% 6.37%
With sales charge* 1.09%(1) 4.27% 5.88% 5.88%

CITIGROUP US BROAD INVESTMENT-GRADE
BOND INDEX 6.60% 5.40% 6.48% 6.48% --

Investor Class -- -- -- 6.06%(2) 4/3/06

Institutional Class -- -- -- 6.27%(2) 4/3/06

B Class 3/31/97
No sales charge* 5.18%(1) 4.56%(1) 5.68% 5.68%
With sales charge* 1.18%(1) 4.39%(1) 5.68% 5.68%

C Class 4/3/06
No sales charge* -- -- -- 5.02%(2)
With sales charge* -- -- -- 4.02%(2)

R Class -- -- -- 5.54%(2) 4/3/06

Select Bond acquired all of the net assets of the Mason Street Select Bond
Fund on March 31, 2006, pursuant to a plan of reorganization approved by the
acquired fund's shareholders on March 23, 2006. Performance information prior
to April 1, 2006 is that of the Mason Street Select Bond Fund.

(1) Class returns would have been lower if fees had not been waived.

(2) Total returns for periods less than one year are not annualized.

Unless otherwise indicated, performance reflects A Class shares; performance
for other share classes will vary due to differences in fee structure. For
information about other share classes available, please consult the
prospectus. Data assumes reinvestment of dividends and capital gains, and none
of the charts reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. Returns for the index are
provided for comparison. The fund's total returns include operating expenses
(such as transaction costs and management fees) that reduce returns, while the
total returns of the index do not.

------
3

Select Bond

Growth of $10,000 Over 10 Years

$10,000 investment made March 31, 1997*

One-Year Returns Over 10 Years
Periods ended March 31
                        1998       1999      2000       2001       2002       2003       2004        2005       2006        2007

A Class** (no
sales charge)          12.11%     4.60%     2.26%      13.32%      5.76%     13.19%      6.50%      -0.27%      1.47%      5.86%

Citigroup US Broad
Investment-Grade
Bond Index             11.98%     6.50%     1.81%      12.57%      5.34%     11.56%      5.52%      1.23%       2.40%      6.60%

*Select Bond A Class's initial investment is $9,550 to reflect the maximum
4.50% initial sales charge.

**Class returns would have been lower, along with the ending value, if fees
had not been waived.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline.

Unless otherwise indicated, performance reflects A Class shares; performance
for other share classes will vary due to differences in fee structure. For
information about other share classes available, please consult the
prospectus. Data assumes reinvestment of dividends and capital gains, and none
of the charts reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. Returns for the index are
provided for comparison. The fund's total returns include operating expenses
(such as transaction costs and management fees) that reduce returns, while the
total returns of the index do not.


------
4


PORTFOLIO COMMENTARY
Select Bond

Portfolio Manager: David Ells

PERFORMANCE SUMMARY

Select Bond returned 5.86%* during the 12 months ended March 31, 2007. By
comparison, its benchmark, the Citigroup Broad US Investment-Grade (BIG) Bond
Index, returned 6.60%. It's worth noting that the portfolio's return is
reduced by operating expenses, while the index's return is not.

The portfolio and benchmark produced positive returns as economic growth
moderated and inflation remained relatively tame. Relative to the benchmark,
our sector allocation decisions contributed to performance, as it helped to
hold overweight positions in corporate and mortgage-backed bonds. However, we
kept the portfolio's duration (sensitivity to interest rate changes) slightly
short relative to the benchmark for much of the period, which detracted from
performance as bond yields in the two- to 30-year maturity range generally
declined.

SECTOR COMPOSITION OF THE BENCHMARK AND PORTFOLIO

Select Bond's market exposure is based on the benchmark, which focuses
primarily on three bond sectors: mortgage-backed securities (MBS), Treasury
securities, and corporate bonds. Mortgage- and related asset-backed securities
represent a little more than 40% of the benchmark. Treasurys represent about
25% of the index, and corporate securities about 20%.

PORTFOLIO STRATEGIES

We manage Select Bond for high current income by investing primarily in the
bond sectors described earlier. We attempt to add value over a complete market
cycle through sector weightings and security selection, looking for what we
believe are attractive relative values. We make only modest adjustments to the
portfolio's duration, typically keeping it in a relatively narrow range around
that of our benchmark.

In terms of sector allocation, it helped performance relative to the benchmark
to hold an overweight position in MBS. We favored MBS for their combination of
high credit quality and attractive yields--they offer more yield than
Treasurys and better credit quality than corporates. Within the MBS slice, we
favored high-quality government agency MBS. This positioning detracted
modestly from performance for the year, as non-agency MBS outperformed
overall. However, agency mortgages made up some ground in the first quarter of
2007, when non-agency bonds lagged on worries about defaults among subprime
loans and the health of the housing market.

Portfolio at a Glance
                                                As of           As of
                                               3/31/07         9/30/06

Weighted Average Maturity                     6.8 years       6.7 years
Average Duration (effective)                  4.6 years       4.1 years

Yields as of March 31, 2007

30-day SEC Yield

Investor Class                                                   3.79%
Institutional Class                                              3.99%
A Class(1)                                                       3.40%
B Class(1)                                                       2.91%
C Class                                                          2.79%
R Class                                                          3.29%

(1) The yields presented reflect the waiver of a portion of the class's
distribution and service fees. Without such waiver, the 30-day yields would
have been lower.

*All fund returns referenced in this commentary are for A Class shares and are
not reduced by sales charges. A Class shares are subject to a maximum sales
charge of 4.50%. Had the sales charge been applied or if distribution and
service fees had not been waived, returns would be lower than those shown.


------
5


Select Bond

In terms of our corporate bond allocation, the portfolio's slight overweight
position relative to the benchmark contributed to results. However, our higher
average credit quality limited performance, as BBB bonds (the lowest-rated
credit tranche in the index) outperformed AAA bonds (the highest-rated
segment) by a wide margin.

Looking at the portfolio's sensitivity to interest rate changes, we maintained
a slightly short duration relative to our benchmark. We thought this
positioning made sense because of the flat shape of the yield curve--there was
little difference in yield between short- and longer-term bonds. This meant we
were able to reduce the portfolio's interest rate risk while giving up little
additional yield. Though rates were volatile over the course of the 12 months,
they ultimately ended the period lower. As a result, this positioning
detracted from performance relative to the benchmark.

STARTING POINT FOR NEXT REPORTING PERIOD

We use a relative value approach to investing, looking for the most attractive
risk/reward tradeoffs we can find given our outlook for the economy and
markets. In terms of the economy, we think talk of recession is overdone;
instead, we see modest growth. That said, we are watching developments in the
housing market carefully, because it has important implications for growth.

Nevertheless, we're somewhat cautious on corporate bonds going forward because
their yields are in the neighborhood of all-time lows relative to Treasurys.
In other words, we don't believe we're being compensated with enough
additional yield to take on extra credit risk. This also argues for a
continued overweight position in government agency MBS, whose yield and credit
profile we like. In terms of duration, this outlook suggests we're likely to
keep the portfolio neutral to slightly short relative to the benchmark with
interest rates at current levels.

Types of Investments in Portfolio
                                                        % of net            % of net
                                                      assets as of        assets as of
                                                        3/31/07             9/30/06

Mortgage-Backed Securities                               38.8%               34.6%
Corporate Bonds                                          34.3%               28.3%
CMOs                                                     11.8%                8.9%
U.S. Treasury Securities                                  6.4%               15.6%
Asset-Backed Securities                                   5.8%                5.8%
Commercial Paper                                          4.7%                4.6%
Sovereign Governments & Agencies                          1.2%                0.7%
U.S. Government Agency Securities                         1.1%                2.3%
Temporary Cash Investments                                0.5%                0.4%
Other Assets and Liabilities                             (4.6)%              (1.2)%

Portfolio Composition by Credit Rating
                                                       % of fund          % of fund
                                                      investments        investments
                                                         as of              as of
                                                        3/31/07            9/30/06

AAA                                                       64%                71%
AA                                                        5%                  3%
A                                                         11%                10%
BBB                                                       17%                14%
BB                                                        3%                  2%


------
6


SCHEDULE OF INVESTMENTS
Select Bond

MARCH 31, 2007

Principal Amount                                                                                        Value

U.S. Government Agency Mortgage-Backed Securities(1) -- 38.8%

        $1,763,000  FHLMC, 6.00%, settlement date 4/12/07(2)                                      $ 1,777,324
           738,695  FHLMC, 4.50%, 5/1/19                                                              716,314
           314,790  FHLMC, 5.00%, 10/1/19                                                             311,021
         1,027,435  FHLMC, 5.00%, 11/1/19                                                           1,015,134
            96,676  FHLMC, 5.50%, 11/1/19                                                              97,025
           147,914  FHLMC, 5.50%, 11/1/19                                                             148,447
           103,333  FHLMC, 5.50%, 11/1/19                                                             103,706
            92,687  FHLMC, 5.50%, 11/1/19                                                              93,021
            71,898  FHLMC, 5.50%, 11/1/19                                                              72,157
            98,746  FHLMC, 5.50%, 12/1/19                                                              99,102
            31,878  FHLMC, 5.00%, 2/1/20                                                               31,461
            62,359  FHLMC, 5.00%, 2/1/20                                                               61,544
           367,233  FHLMC, 5.50%, 3/1/20                                                              368,251
           153,565  FHLMC, 5.50%, 3/1/20                                                              153,991
           176,332  FHLMC, 5.50%, 3/1/20                                                              176,821
            93,783  FHLMC, 5.00%, 5/1/20                                                               92,558
           215,523  FHLMC, 5.00%, 5/1/20                                                              212,707
            39,142  FHLMC, 5.00%, 5/1/20                                                               38,631
           144,359  FHLMC, 4.00%, 10/1/20                                                             136,366
           230,529  FHLMC, 6.50%, 5/1/34                                                              236,259
           559,593  FHLMC, 5.50%, 6/1/35                                                              554,469
         2,122,413  FHLMC, 5.00%, 11/1/35                                                           2,053,939
         2,196,639  FHLMC, 5.00%, 12/1/35(3)                                                        2,125,771
           119,936  FHLMC, 6.50%, 3/1/36                                                              122,349
           153,374  FHLMC, 6.50%, 3/1/36                                                              156,461
         2,104,489  FHLMC, 5.50%, 12/1/36(3)                                                        2,083,145
         1,855,790  FHLMC, 6.50%, 12/1/36                                                           1,893,136
         3,581,000  FNMA, 6.00%, settlement date 4/12/06(2)                                         3,607,858
           314,538  FNMA, 5.32%, 4/1/14                                                               318,623
           484,512  FNMA, 5.17%, 1/1/16                                                               483,865
         1,149,884  FNMA, 5.29%, 4/1/16                                                             1,165,647
           253,000  FNMA, 5.38%, 1/1/17                                                               255,364
           153,260  FNMA, 4.00%, 6/1/19                                                               144,915
         1,159,652  FNMA, 4.50%, 6/1/19                                                             1,124,562
           949,268  FNMA, 4.50%, 8/1/19                                                               920,544
           108,377  FNMA, 6.00%, 10/1/19                                                              110,234
           126,380  FNMA, 4.50%, 12/1/19                                                              122,556
           202,834  FNMA, 5.00%, 3/1/20                                                               200,401
           195,686  FNMA, 5.00%, 3/1/20                                                               193,112
           166,842  FNMA, 5.00%, 4/1/20                                                               164,647
           238,208  FNMA, 5.00%, 5/1/20                                                               235,074

Principal Amount                                                                                        Value

          $ 51,377  FNMA, 5.00%, 5/1/20                                                               $50,701
           411,831  FNMA, 5.00%, 5/1/20                                                               406,413
           595,305  FNMA, 4.50%, 7/1/20                                                               576,552
           479,034  FNMA, 5.50%, 9/1/34                                                               474,981
           877,412  FNMA, 6.00%, 10/1/34                                                              886,530
         1,587,077  FNMA, 5.00%, 11/1/34                                                            1,536,612
           631,119  FNMA, 6.00%, 11/1/34                                                              637,677
           320,917  FNMA, 5.50%, 3/1/35                                                               317,988
           384,665  FNMA, 5.50%, 3/1/35                                                               381,155
            59,418  FNMA, 5.50%, 3/1/35                                                                58,875
           100,553  FNMA, 5.50%, 3/1/35                                                                99,635
            52,895  FNMA, 5.50%, 3/1/35                                                                52,412
           451,808  FNMA, 5.00%, 4/1/35                                                               437,097
            59,586  FNMA, 6.00%, 5/1/35                                                                60,088
            54,297  FNMA, 6.00%, 6/1/35                                                                54,755
            11,945  FNMA, 6.00%, 6/1/35                                                                12,046
         1,508,373  FNMA, 5.00%, 7/1/35                                                             1,459,259
           284,673  FNMA, 5.50%, 7/1/35                                                               282,075
           295,720  FNMA, 6.00%, 7/1/35                                                               298,211
           471,676  FNMA, 5.50%, 8/1/35                                                               467,372
           219,997  FNMA, 6.00%, 8/1/35                                                               221,850
           326,440  FNMA, 5.50%, 9/1/35                                                               323,461
           143,232  FNMA, 5.50%, 9/1/35                                                               141,925
           545,442  FNMA, 5.50%, 9/1/35                                                               540,465
           632,705  FNMA, 5.50%, 9/1/35                                                               626,930
           326,705  FNMA, 5.50%, 9/1/35                                                               323,724
           526,698  FNMA, 5.00%, 10/1/35                                                              509,548
         1,314,004  FNMA, 5.50%, 10/1/35                                                            1,302,013
           239,534  FNMA, 6.00%, 10/1/35                                                              241,552
           495,279  FNMA, 5.50%, 11/1/35                                                              490,759
         1,997,557  FNMA, 5.50%, 11/1/35                                                            1,979,326
           152,124  FNMA, 6.50%, 11/1/35                                                              155,328
           282,013  FNMA, 6.50%, 11/1/35                                                              287,952
           812,077  FNMA, 6.50%, 12/1/35                                                              829,179
           229,419  FNMA, 6.50%, 4/1/36                                                               234,108
           544,085  FNMA, 6.00%, 9/1/36                                                               548,300
           133,185  FNMA, 5.50%, 12/1/36                                                              131,837
           226,601  FNMA, 5.50%, 12/1/36                                                              224,309
           197,542  FNMA, 5.50%, 1/1/37                                                               195,527
           163,907  FNMA, 5.50%, 2/1/37                                                               162,248
           229,848  GNMA, 5.50%, 2/15/32                                                              229,005
           138,616  GNMA, 5.50%, 2/15/32                                                              138,108
                                                                                                 ------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Cost $42,690,163)                                                                                 42,366,400
                                                                                                 ------------


------
7


Select Bond

Principal Amount                                                                                        Value

Corporate Bonds -- 34.3%

AEROSPACE & DEFENSE -- 1.9%

         $ 315,000  BAE Systems Holdings Inc., 4.75%, 8/15/10 (Acquired 3/21/06, Cost
                    $305,566)(4)                                                                    $ 310,765
           313,000  Boeing Capital Corp., 4.75%, 8/25/08                                              311,568
           316,000  General Dynamics Corp., 3.00%, 5/15/08                                            308,950
           109,000  General Dynamics Corp., 4.25%, 5/15/13                                            104,276
            65,000  Honeywell International Inc., 5.30%, 3/15/17                                       64,380
           370,000  L-3 Communications Corp., 6.375%, 10/15/15                                        368,612
            75,000  Lockheed Martin Corp., 6.15%, 9/1/36                                               78,082
           462,000  Raytheon Company, 5.50%, 11/15/12                                                 470,556
            50,000  United Technologies Corp., 6.35%, 3/1/11                                           52,357
                                                                                                 ------------
                                                                                                    2,069,546
                                                                                                 ------------
AUTO COMPONENTS -- 0.2%
           134,000  Johnson Controls, Inc., 5.50%, 1/15/16                                            132,930
            63,000  Johnson Controls, Inc., 6.00%, 1/15/36                                             61,601
                                                                                                 ------------
                                                                                                      194,531
                                                                                                 ------------
AUTOMOBILES -- 0.3%
           315,000  DaimlerChrysler N.A. Holding Corp., 5.75%, 5/18/09                                318,959
            25,000  DaimlerChrysler N.A. Holding Corp., 8.50%, 1/18/31                                 31,312
                                                                                                 ------------
                                                                                                      350,271
                                                                                                 ------------
BEVERAGES -- 0.7%
            45,000  Anheuser-Busch Companies, Inc., 4.375%, 1/15/13                                    43,175
            15,000  Anheuser-Busch Companies, Inc., 5.95%, 1/15/33                                     14,891
            55,000  Anheuser-Busch Companies, Inc., 5.75%, 4/1/36                                      53,084
           160,000  Constellation Brands Inc., 7.25%, 9/1/16                                          162,800
           163,000  Fortune Brands Inc., 5.375%, 1/15/16                                              156,915
            95,000  PepsiAmericas, Inc., 4.875%, 1/15/15                                               91,558
           285,000  SABMiller plc, 6.20%, 7/1/11 (Acquired 6/27/06, Cost $284,798)(4)                 294,547
                                                                                                 ------------
                                                                                                      816,970
                                                                                                 ------------

Principal Amount                                                                                        Value

CAPITAL MARKETS -- 1.6%
         $ 402,000  Goldman Sachs Group, Inc. (The), 5.15%, 1/15/14                                 $ 394,385
           195,000  Goldman Sachs Group, Inc. (The), 5.625%, 1/15/17                                  193,506
           235,000  Lehman Brothers Holdings Inc., 5.75%, 1/3/17                                      235,922
            75,000  Lehman Brothers Holdings Inc., 5.875%, 11/15/17                                    76,056
            50,000  Mellon Bank N.A., 5.45%, 4/1/16                                                    50,086
           205,000  Merrill Lynch & Co., Inc., 6.05%, 5/16/16                                         210,672
            20,000  Merrill Lynch & Co., Inc., 6.22%, 9/15/26                                          20,102
           181,000  Morgan Stanley, 5.375%, 10/15/15                                                  178,401
           110,000  Morgan Stanley, 6.25%, 8/9/26                                                     113,246
            80,000  Northern Trust Corp., 5.30%, 8/29/11                                               80,889
           250,000  State Street Bank & Trust Co., 5.30%, 1/15/16                                     248,647
                                                                                                 ------------
                                                                                                    1,801,912
                                                                                                 ------------
COMMERCIAL BANKS -- 2.5%
           186,000  Bank of New York Co. Inc. (The), 4.95%, 1/14/11                                   185,678
           422,000  Bank One Corp., 5.25%, 1/30/13                                                    422,810
           140,000  Barclays Bank plc, 5.93%, 12/15/49 (Acquired 9/21/06-3/7/07, Cost
                    $140,826)(4)                                                                      140,407
            67,000  BB&T Corp., 4.90%, 6/30/17                                                         63,853
            79,000  Deutsche Bank Capital Funding Trust VII, 5.63%, 1/19/16 (Acquired
                    5/9/06, Cost $74,765)(4)                                                           77,677
           240,000  Fifth Third Bancorp, 5.45%, 1/15/17                                               238,548
           250,000  M&I Marshall & Ilsley Bank, 5.15%, 2/22/12                                        250,402
           255,000  National Australia Bank Ltd., 4.80%, 4/6/10 (Acquired 3/30/05, Cost
                    $254,709)(4)                                                                      253,592
            60,000  PNC Funding Corp., 5.625%, 2/1/17                                                  60,544
            75,000  U.S. Bank N.A., 4.80%, 4/15/15                                                     72,037
            93,000  UnionBanCal Corp., 5.25%, 12/16/13                                                 92,226
           380,000  Wachovia Corp., 5.35%, 3/15/11                                                    384,801


------
8


Select Bond

Principal Amount                                                                                        Value

          $ 75,000  Wachovia Corp., 5.625%, 10/15/16                                                  $75,463
           100,000  Wells Fargo Bank N.A., 5.75%, 5/16/16                                             102,820
           279,000  Zions Bancorporation, 5.50%, 11/16/15                                             274,727
                                                                                                 ------------
                                                                                                    2,695,585
                                                                                                 ------------
COMMUNICATIONS EQUIPMENT(5)
            35,000  Cisco Systems Inc., 5.50%, 2/22/16                                                 35,304
                                                                                                 ------------
COMPUTERS & PERIPHERALS -- 0.1%
            70,000  Seagate Technology HDD Holdings, 6.80%, 10/1/16                                    70,700
                                                                                                 ------------
CONSTRUCTION MATERIALS -- 0.1%
            75,000  CRH America Inc., 6.00%, 9/30/16                                                   76,164
                                                                                                 ------------
CONSUMER FINANCE -- 0.3%
           285,000  SLM Corporation, 5.45%, 4/25/11                                                   288,702
                                                                                                 ------------
DIVERSIFIED FINANCIAL SERVICES -- 2.0%
           125,000  Bank of America Corp., 5.625%, 10/14/16                                           126,899
           335,000  Bank of America Corp., 5.42%, 3/15/17                                             332,152
           435,000  Citigroup Inc., 5.50%, 2/15/17                                                    433,546
           195,000  GMAC LLC, 6.00%, 12/15/11                                                         189,323
           425,000  HSBC Finance Corp., 4.125%, 11/16/09                                              415,167
           276,000  International Lease Finance Corp., 4.75%, 1/13/12                                 271,274
           197,000  John Deere Capital Corp., 4.50%, 8/25/08                                          195,133
           195,000  JPMorgan Chase Bank N.A., 5.875%, 6/13/16                                         200,669
                                                                                                 ------------
                                                                                                    2,164,163
                                                                                                 ------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.9%
           159,000  AT&T Corp., 7.30%, 11/15/11                                                       172,773
           224,000  AT&T Corp., 8.00%, 11/15/31                                                       277,648
            15,000  CenturyTel Inc., 6.00%, 4/1/17                                                     14,883
            85,000  Deutsche Telekom International Finance BV, 5.75%, 3/23/16                          85,146
           105,000  Embarq Corp., 6.74%, 6/1/13                                                       108,537
           115,000  Embarq Corp., 7.08%, 6/1/16                                                       117,444
            70,000  Embarq Corp., 8.00%, 3/1/36                                                        72,491
           125,000  France Telecom SA, 8.50%, 3/1/31                                                  162,935
           210,000  Sprint Capital Corp., 8.375%, 3/15/12                                             234,542
           100,000  Sprint Capital Corp., 6.90%, 5/1/19                                               103,771

Principal Amount                                                                                        Value

          $ 62,000  Sprint Capital Corp., 8.75%, 3/15/32                                              $73,334
           146,000  Telecom Italia Capital SA, 4.00%, 1/15/10                                         141,147
           175,000  Telecom Italia Capital SA, 6.20%, 7/18/11                                         179,781
           140,000  Verizon Communications Inc., 5.55%, 2/15/16                                       140,329
            45,000  Verizon Communications Inc., 5.50%, 4/1/17                                         44,744
           175,000  Verizon Global Funding Corp., 5.85%, 9/15/35                                      166,049
                                                                                                 ------------
                                                                                                    2,095,554
                                                                                                 ------------
ELECTRIC UTILITIES -- 4.4%
            60,000  Carolina Power & Light Co., 6.50%, 7/15/12                                         63,715
            35,000  Carolina Power & Light Co., 5.15%, 4/1/15                                          34,427
           634,000  DTE Energy Co., 7.05%, 6/1/11                                                     675,735
           268,000  Duquesne Light Holdings, Inc., 5.50%, 8/15/15                                     253,786
           153,000  Entergy Mississippi Inc., 6.25%, 4/1/34                                           149,023
           100,000  Florida Power & Light Co., 5.625%, 4/1/34                                          98,350
           469,000  Florida Power Corp., 4.50%, 6/1/10                                                460,736
           418,000  FPL Group Capital Inc., 5.55%, 2/16/08                                            418,521
           339,000  Indiana Michigan Power Co., 5.05%, 11/15/14                                       328,876
           166,476  Kiowa Power Partners LLC, 4.81%, 12/30/13 (Acquired 11/19/04, Cost
                    $162,531)(4)                                                                      162,186
           123,000  Kiowa Power Partners LLC, 5.74%, 3/30/21 (Acquired 11/19/04, Cost
                    $123,000)(4)                                                                      120,520
            30,000  MidAmerican Energy Holdings Co., 6.125%, 4/1/36                                    30,036
            80,000  Monongahela Power Co., 5.70%, 3/15/17 (Acquired 9/13/06, Cost
                    $79,708)(4)                                                                        80,389
           272,000  Nevada Power Co., 5.875%, 1/15/15                                                 275,611
            90,000  Nevada Power Co., 6.50%, 5/18/18                                                   94,426
           160,000  Oncor Electric Delivery Co., 6.375%, 1/15/15                                      166,745
           110,000  Oncor Electric Delivery Co., 7.00%, 9/1/22                                        118,123
           371,000  PacifiCorp, 5.45%, 9/15/13                                                        370,887
            75,000  PacifiCorp, 5.75%, 4/1/37                                                          73,778
           373,000  PPL Electric Utilities Corp., 4.30%, 6/1/13                                       350,324


------
9


Select Bond

Principal Amount                                                                                        Value

          $ 40,000  PPL Energy Supply LLC, 6.00%, 12/15/36                                            $38,002
           235,000  Southern California Edison Co., 5.00%, 1/15/16                                    228,877
            30,000  Southern California Edison Co., 5.55%, 1/15/37                                     28,833
           245,000  Toledo Edison Co., 6.15%, 5/15/37                                                 240,826
                                                                                                 ------------
                                                                                                    4,862,732
                                                                                                 ------------
ENERGY EQUIPMENT & SERVICES -- 0.3%
           268,000  Consolidated Natural Gas Co., 5.00%, 12/1/14                                      259,615
            10,000  Southern Natural Gas Co., 5.90%, 4/1/17 (Acquired 3/14/07, Cost
                    $9,983)(4)                                                                         10,050
            65,000  Weatherford International Ltd., 6.50%, 8/1/36                                      65,205
                                                                                                 ------------
                                                                                                      334,870
                                                                                                 ------------
FOOD & STAPLES RETAILING -- 0.6%
            45,000  Costco Wholesale Corp., 5.50%, 3/15/17                                             45,183
           123,000  CVS Corp., 4.875%, 9/15/14                                                        118,727
            70,000  CVS Corp., 6.125%, 8/15/16                                                         72,515
           285,000  Delhaize America Inc., 8.125%, 4/15/11                                            313,167
            35,000  Wal-Mart Stores, Inc., 5.375%, 4/5/17(6)                                           34,973
            85,000  Wal-Mart Stores, Inc., 5.875%, 4/5/27(6)                                           85,451
                                                                                                 ------------
                                                                                                      670,016
                                                                                                 ------------
FOOD PRODUCTS -- 0.6%
            85,000  General Mills, Inc., 5.70%, 2/15/17                                                85,401
           473,000  Kellogg Co., 6.60%, 4/1/11                                                        497,547
            68,000  Kraft Foods Inc., 6.25%, 6/1/12                                                    70,737
            25,000  Kraft Foods Inc., 5.25%, 10/1/13                                                   24,669
                                                                                                 ------------
                                                                                                      678,354
                                                                                                 ------------
HOTELS, RESTAURANTS & LEISURE -- 0.2%
            40,000  Harrah's Operating Co. Inc., 5.75%, 10/1/17                                        33,162
           170,000  Royal Caribbean Cruises Ltd., 7.00%, 6/15/13                                      176,513
                                                                                                 ------------
                                                                                                      209,675
                                                                                                 ------------
HOUSEHOLD DURABLES -- 0.6%
            45,000  Centex Corp., 7.875%, 2/1/11                                                       47,790
            95,000  Centex Corp., 5.45%, 8/15/12                                                       91,762
            15,000  D.R. Horton, Inc., 7.875%, 8/15/11                                                 15,996
            65,000  D.R. Horton, Inc., 5.375%, 6/15/12                                                 62,600

Principal Amount                                                                                        Value

         $ 145,000  KB Home, 7.75%, 2/1/10                                                          $ 143,912
           130,000  Lennar Corp., 5.95%, 10/17/11                                                     129,925
           150,000  Meritage Homes Corp., 6.25%, 3/15/15                                              136,125
                                                                                                 ------------
                                                                                                      628,110
                                                                                                 ------------
HOUSEHOLD PRODUCTS -- 1.1%
           399,000  Clorox Company, 4.20%, 1/15/10                                                    390,425
           745,000  Gillette Company (The), 2.50%, 6/1/08                                             722,956
            55,000  Procter & Gamble Co. (The), 5.55%, 3/5/37                                          53,703
                                                                                                 ------------
                                                                                                    1,167,084
                                                                                                 ------------
INDUSTRIAL CONGLOMERATES -- 0.1%
           110,000  Siemens Financieringsmaatschappij N.V., 5.75%, 10/17/16 (Acquired
                    8/9/06, Cost $109,721)(4)                                                         112,058
                                                                                                 ------------
INSURANCE -- 1.1%
           745,000  Berkley (W.R.) Corp., 9.875%, 5/15/08                                             777,616
           373,000  Berkshire Hathaway Finance Corp., 3.40%, 7/2/07                                   371,352
            10,000  Lincoln National Corp., 6.05%, 4/20/17                                              9,790
                                                                                                 ------------
                                                                                                    1,158,758
                                                                                                 ------------
MEDIA -- 1.8%
           180,000  Clear Channel Communications, Inc., 6.25%, 3/15/11                                179,285
           180,000  Comcast Corp., 6.50%, 1/15/17                                                     190,317
            70,000  Comcast Corp., 5.875%, 2/15/18                                                     70,329
            65,000  News America Inc., 6.40%, 12/15/35                                                 64,865
            20,000  News America Inc., 6.15%, 3/1/37 (Acquired 3/23/07, Cost $19,323)(4)               19,117
           340,000  Rogers Cable Inc., 5.50%, 3/15/14                                                 332,775
           125,000  TCI Communications, Inc., 8.75%, 8/1/15                                           147,865
           600,000  Time Warner Entertainment Co. L.P., 7.25%, 9/1/08                                 613,300
           105,000  Time Warner Entertainment Co. L.P., 8.375%, 3/15/23                               124,407
            20,000  Time Warner Inc., 6.625%, 5/15/29                                                  20,299
            90,000  Viacom Inc., 5.75%, 4/30/11                                                        91,317
            55,000  Viacom Inc., 6.625%, 5/15/11                                                       57,544
            25,000  Viacom Inc., 6.25%, 4/30/16                                                        25,387
                                                                                                 ------------
                                                                                                    1,936,807
                                                                                                 ------------


------
10


Select Bond

Principal Amount                                                                                        Value

METALS & MINING -- 0.2%

         $ 100,000  Alcoa Inc., 5.72%, 2/23/19 (Acquired 3/5/07, Cost $101,355)(4)                    $99,017
            95,000  Alcoa Inc., 5.90%, 2/1/27                                                          92,980
                                                                                                 ------------
                                                                                                      191,997
                                                                                                 ------------
MULTI-UTILITIES -- 2.6%
            25,000  CenterPoint Energy Houston Electric LLC, 5.70%, 3/15/13                            25,231
            30,000  CenterPoint Energy Houston Electric LLC, 6.95%, 3/15/33                            32,900
           313,000  CenterPoint Energy Transition Bond Co. II, LLC, 5.17%, 8/1/19                     312,584
           110,000  CMS Energy Corp., 6.875%, 12/15/15                                                115,225
            25,000  Consolidated Edison Co. of New York, Inc., Series 2005 C, 5.375%,
                    12/15/15                                                                           25,084
            55,000  Consolidated Edison Co. of New York, Inc., Series 2006 C, 5.50%,
                    9/15/16                                                                            55,624
           834,000  Consumers Energy Co., 4.80%, 2/17/09                                              826,721
            80,000  NiSource Finance Corp., 5.40%, 7/15/14                                             78,274
            30,000  NiSource Finance Corp., 5.25%, 9/15/17                                             28,390
            25,000  Northern States Power Co., 5.25%, 10/1/18                                          24,317
           110,000  Pacific Gas & Electric Co., 6.05%, 3/1/34                                         110,635
            20,000  Pacific Gas & Electric Co., 5.80%, 3/1/37                                          19,349
           115,000  Public Service Co. of Colorado, 5.50%, 4/1/14                                     116,161
           224,000  Public Service Electric & Gas Co., 5.00%, 1/1/13                                  220,312
           145,000  Public Service Electric & Gas Co., 5.70%, 12/1/36                                 140,043
           313,000  Puget Sound Energy, Inc., 3.36%, 6/1/08                                           305,918
            50,000  Puget Sound Energy, Inc., 6.27%, 3/15/37                                           50,526
            65,000  Tampa Electric Co., 6.55%, 5/15/36                                                 68,993
           180,000  Virginia Electric and Power Co., 6.00%, 1/15/36                                   180,078
            85,000  XCEL Energy Inc., 6.50%, 7/1/36                                                    89,650
                                                                                                 ------------
                                                                                                    2,826,015
                                                                                                 ------------

Principal Amount                                                                                        Value

MULTILINE RETAIL -- 1.1%
         $ 302,000  Federated Department Stores, Inc., 6.30%, 4/1/09                                $ 308,239
            20,000  Federated Department Stores, Inc., 7.00%, 2/15/28                                  20,362
            55,000  Federated Retail Holdings, Inc., 5.35%, 3/15/12                                    54,915
            50,000  Federated Retail Holdings, Inc., 5.90%, 12/1/16                                    49,904
            63,000  J.C. Penney Co., Inc., 6.875%, 10/15/15                                            66,659
            30,000  J.C. Penney Co., Inc., 7.95%, 4/1/17                                               34,119
            10,000  May Department Stores Co. (The), 6.65%, 7/15/24                                     9,852
           644,000  Target Corp., 5.40%, 10/1/08                                                      647,634
                                                                                                 ------------
                                                                                                    1,191,684
                                                                                                 ------------
OIL, GAS & CONSUMABLE FUELS -- 2.9%
            35,000  Amerada Hess Corp., 7.125%, 3/15/33                                                37,979
           115,000  Anadarko Finance Co., 7.50%, 5/1/31                                               127,314
            75,000  Anadarko Petroleum Corp., 5.95%, 9/15/16                                           75,293
            40,000  Anadarko Petroleum Corp., 6.45%, 9/15/36                                           39,711
            20,000  Apache Corp., 5.625%, 1/15/17                                                      20,269
            25,000  Apache Corp., 6.00%, 1/15/37                                                       24,981
            35,000  Canadian Natural Resources Ltd., 5.70%, 5/15/17                                    34,904
            30,000  Canadian Natural Resources Ltd., 6.50%, 2/15/37                                    30,531
            35,000  Canadian Natural Resources Ltd., 6.25%, 3/15/38                                    34,360
           475,000  Conoco Funding Co., 6.35%, 10/15/11                                               499,424
            35,000  ConocoPhillips Canada Funding Co. I, 5.625%, 10/15/16                              35,645
            25,000  Devon Energy Corp., 7.95%, 4/15/32                                                 30,071
           105,000  EnCana Holdings Finance Corp., 5.80%, 5/1/14                                      107,221
           225,000  Kinder Morgan Energy Partners L.P., 7.30%, 8/15/33                                243,786
           300,000  Kinder Morgan Finance Co., ULC, 5.35%, 1/5/11                                     295,833
           138,000  Nexen Inc., 5.875%, 3/10/35                                                       129,882
           430,000  Pemex Project Funding Master Trust, 5.75%, 12/15/15                               431,397
           125,000  Petro-Canada, 5.95%, 5/15/35                                                      119,640


------
11


Select Bond

Principal Amount                                                                                        Value

         $ 210,000  Pioneer Natural Resources Co., 6.875%, 5/1/18                                   $ 207,452
            75,000  Sunoco Inc., 5.75%, 1/15/17                                                        74,187
           257,000  Talisman Energy Inc., 5.85%, 2/1/37                                               232,410
           220,000  Tesoro Corp., 6.25%, 11/1/12                                                      224,125
            95,000  Valero Energy Corp., 7.50%, 4/15/32                                               108,276
            30,000  XTO Energy Inc., 5.30%, 6/30/15                                                    29,303
                                                                                                 ------------
                                                                                                    3,193,994
                                                                                                 ------------
PHARMACEUTICALS -- 0.2%
           186,000  Abbott Laboratories, 3.75%, 3/15/11                                               177,669
            65,000  Wyeth, 5.95%, 4/1/37                                                               64,237
                                                                                                 ------------
                                                                                                      241,906
                                                                                                 ------------
REAL ESTATE INVESTMENT TRUSTS -- 1.6%
           104,000  Archstone-Smith Operating Trust, 5.25%, 12/1/10                                   103,553
            50,000  AvalonBay Communities Inc., 5.50%, 1/15/12                                         50,501
            35,000  BRE Properties, Inc., 5.50%, 3/15/17                                               34,728
           231,000  Developers Diversified Realty Corp., 5.375%, 10/15/12                             231,152
            80,000  Duke Realty L.P., 5.95%, 2/15/17                                                   82,034
            35,000  Health Care Property Investors, Inc., 6.00%, 1/30/17                               35,180
           242,000  iStar Financial Inc., 5.15%, 3/1/12                                               237,647
           241,000  ProLogis, 5.50%, 3/1/13                                                           243,749
           150,000  ProLogis, 5.75%, 4/1/16                                                           152,787
           355,000  Simon Property Group L.P., 5.375%, 6/1/11                                         357,517
            85,000  Simon Property Group L.P., 5.60%, 9/1/11                                           86,403
           190,000  Simon Property Group L.P., 6.10%, 5/1/16                                          198,256
                                                                                                 ------------
                                                                                                    1,813,507
                                                                                                 ------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5%
            35,000  Colonial Realty L.P., 6.05%, 9/1/16                                                35,799
            91,000  ERP Operating L.P., 5.25%, 9/15/14                                                 90,349
           440,000  Rouse Co. L.P./TRC Co-Issuer Inc., 6.75%, 5/1/13 (Acquired 5/2/06,
                    Cost $438,627)(4)                                                                 450,618
                                                                                                 ------------
                                                                                                      576,766
                                                                                                 ------------

Principal Amount                                                                                        Value

ROAD & RAIL -- 1.2%
         $ 471,000  Burlington Northern Santa Fe Corp., 6.125%, 3/15/09                             $ 477,928
            98,000  Union Pacific Corp., 3.875%, 2/15/09                                               95,785
           671,000  Union Pacific Corp., 7.375%, 9/15/09                                              708,712
                                                                                                 ------------
                                                                                                    1,282,425
                                                                                                 ------------
SPECIALTY RETAIL -- 0.4%
           490,000  Home Depot, Inc. (The), 5.875%, 12/16/36                                          468,773
                                                                                                 ------------
THRIFTS & MORTGAGE FINANCE -- 0.6%
            90,000  Countrywide Financial Corp., 6.25%, 5/15/16                                        90,878
           290,000  Residential Capital Corp., 6.00%, 2/22/11                                         286,306
           280,000  Residential Capital Corp., 6.50%, 4/17/13                                         277,683
                                                                                                 ------------
                                                                                                      654,867
                                                                                                 ------------
TOBACCO -- 0.1%
            85,000  Reynolds American Inc., 7.625%, 6/1/16                                             90,851
                                                                                                 ------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
           160,000  Cingular Wireless LLC, 7.125%, 12/15/31                                           176,704
           350,000  Vodafone Group plc, 5.50%, 6/15/11                                                354,094
                                                                                                 ------------
                                                                                                      530,798
                                                                                                 ------------
TOTAL CORPORATE BONDS
(Cost $37,585,324)                                                                                 37,481,449
                                                                                                 ------------

Collateralized Mortgage Obligations(1) -- 11.8%

        11,589,317  Asset Securitization Corp., Series 1997 D5, Class PS1, STRIPS -
                    COUPON, VRN, 1.65%, 4/11/07                                                       393,260
           563,000  Banc of America Mortgage Securities, Series 2004 G, Class 2A6,
                    4.66%, 8/25/34                                                                    558,488
         1,417,000  Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-4, Class
                    A6, 3.51%, 6/25/34                                                              1,390,736
           422,337  Capital One Auto Finance Trust, Series 2006 A, Class A2 SEQ, 5.31%,
                    5/15/09                                                                           422,583
           435,024  Chase Manhattan Auto Owner Trust, Series 2004 A, Class A4 SEQ,
                    2.83%, 9/15/10                                                                    428,748
           510,168  Chase Manhattan Auto Owner Trust, Series 2005 A, Class A3 SEQ,
                    3.87%, 6/15/09                                                                    506,098


------
12


Select Bond

Principal Amount                                                                                        Value

         $ 436,483  Countrywide Alternative Loan Trust, Series 2006 OC2, Class 2A1, VRN,
                    5.41%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.09% with
                    no caps                                                                         $ 436,321
           447,000  Criimi Mae Commercial Mortgage Trust, Series 1998 C1, Class B,
                    7.00%, 6/2/33 (Acquired 3/9/99, Cost $354,178)(4)                                 458,466
        14,779,914  DLJ Commercial Mortgage Corp., Series 1998 CF1, Class S, STRIPS -
                    COUPON, VRN, 1.12%, 4/1/07                                                        171,344
        11,482,957  DLJ Mortgage Acceptance Corp., Series 1997 CF2, Class S, STRIPS -
                    COUPON, VRN, 0.68%, 4/1/07 (Acquired 1/22/98-2/25/98, Cost
                    $310,733)(4)                                                                      102,038
           269,850  FHLMC, Series 3065, Class TN, 4.50%, 10/15/33                                     262,916
         1,018,270  FHLMC, Series K001, Class A2, 5.65%, 4/25/16                                    1,036,319
           486,768  First Horizon Alternative Mortgage Securities, Series 2004 FA1,
                    Class 1A1 SEQ, 6.25%, 10/25/34                                                    491,074
           278,000  First Union-Lehman Brothers Commercial Mortgage Trust II, Series
                    1997 C2, Class B, 6.79%, 11/18/29                                                 280,589
         1,254,000  FNMA, Alternative Credit Enhancement Structures, Series 2006 M1,
                    Class C SEQ, 5.36%, 3/1/36                                                      1,264,594
           693,071  FNMA, Final Maturity Amortizing Notes, Series 2004-1, Class 1,
                    4.45%, 8/25/12                                                                    673,296
           933,137  FNMA, Series 2002 W4, Class A4 SEQ, 6.25%, 5/25/42                                947,288
           360,309  Greenwich Capital Commercial Funding Corp., Series 2006 FL4A, Class
                    A1, VRN, 5.41%, 4/5/07, resets monthly off the 1-month LIBOR plus
                    0.09% with no caps (Acquired 12/15/06, Cost $360,309)(4)                          360,532
           451,065  Merrill Lynch Alternative Note Asset, Series 2007 A1, Class A2A,
                    VRN, 5.39%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.07%
                    with no caps                                                                      451,476

Principal Amount                                                                                        Value

         $ 924,792  Midland Realty Acceptance Corp., Series 1996 C2, Class AEC, STRIPS -
                    COUPON, VRN, 1.36%, 4/1/07 (Acquired 11/26/97, Cost $73,033)(4)                      $609
           298,000  RMF Commercial Mortgage Pass-Through Certificates, Series 1997-1,
                    Class F, 7.47%, 1/15/19 (Acquired 11/24/97, Cost $291,617)(4)                     189,231
           461,844  TBW Mortgage Backed Pass-Through Certificates, Series 2007-1, Class
                    A1, VRN, 5.41%, 4/25/07, resets monthly off the 1-month LIBOR plus
                    0.09% with no caps                                                                462,174
           498,096  Washington Mutual Asset Securities Corp., Series 2003 C1A, Class A
                    SEQ, 3.83%, 1/25/35 (Acquired 2/3/06, Cost $482,510)(4)                           484,059
           282,000  Washington Mutual, Inc., Series 2003 AR10, Class A6, 4.08%, 10/25/33              277,932
           829,000  Wells Fargo Mortgage Backed Securities Trust, Series 2004 N, Class
                    A6, 4.00%, 8/25/34                                                                812,046
                                                                                                 ------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $12,929,866)                                                                                 12,862,217
                                                                                                 ------------

U.S. Treasury Securities -- 6.4%

         1,544,000  U.S. Treasury Bonds, 4.50%, 2/15/36                                             1,456,187
         1,240,000  U.S. Treasury Bonds, 4.75%, 2/15/37                                             1,221,013
            85,000  U.S. Treasury Notes, 4.75%, 1/31/12                                                85,767
         1,050,000  U.S. Treasury Notes, 4.625%, 2/29/12                                            1,054,225
         1,731,000  U.S. Treasury Notes, 4.625%, 11/15/16                                           1,726,470
         1,500,000  U.S. Treasury Notes, 4.625%, 2/15/17                                            1,497,423
                                                                                                 ------------
TOTAL U.S. TREASURY SECURITIES
(Cost $6,989,871)                                                                                   7,041,085
                                                                                                 ------------

Asset-Backed Securities(1) -- 5.8%

         2,242,000  AEP Texas Central Transition Funding II LLC, Series 2006 A-5, 5.31%,
                    6/14/19(3)                                                                      2,228,110
           456,881  Banc of America Funding Corp., Series 2007-1, Class TA1A, VRN,
                    5.38%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.06% with
                    no caps                                                                           456,881


------
13


Select Bond

Principal Amount                                                                                        Value

          $ 95,517  Capital Auto Receivables Asset Trust, Series 2006-2, Class A1 SEQ,
                    5.34%, 12/15/07                                                                   $95,571
           357,623  Honda Auto Receivables Owner Trust, Series 2005-1, Class A3 SEQ,
                    3.53%, 10/21/08                                                                   356,071
           222,116  Massachusetts RRB Special Purpose Trust WMECO-1, Series 2001-1,
                    Class A, 6.53%, 6/1/15                                                            232,894
           176,637  Mid-State Trust, Series 1997-6, Class A3 SEQ, 7.54%, 7/1/35                       189,011
           586,000  Wachovia Auto Loan Owner Trust, Series 2006-2A, Class A2 SEQ, 5.35%,
                    5/20/10 (Acquired 10/27/06, Cost $586,435)(4)                                     586,560
         1,778,000  World Omni Auto Receivables Trust, Series 2006 A, Class A3 SEQ,
                    5.01%, 10/15/10                                                                 1,776,089
           412,008  World Omni Auto Receivables Trust, Series 2006 B, Class A1 SEQ,
                    5.37%, 10/15/07                                                                   412,281
                                                                                                 ------------
TOTAL ASSET-BACKED SECURITIES
(Cost $6,344,429)                                                                                   6,333,468
                                                                                                 ------------

Commercial Paper(7) -- 4.7%

         2,000,000  Paccar Financial Corp., 5.29%, 4/4/07                                           1,999,412
         1,100,000  Rabobank USA Financial Corp., 5.37%, 4/2/07                                     1,100,000
         2,000,000  Sheffield Receivables, 5.28%, 4/2/07                                            2,000,000
                                                                                                 ------------
TOTAL COMMERCIAL PAPER
(Cost $5,098,661)                                                                                   5,099,412
                                                                                                 ------------

Sovereign Governments & Agencies -- 1.2%

               JPY  Government of Japan, 0.50%, 6/20/07
        66,000,000                                                                                    559,996
           521,750  Overseas Private Investment Corp., 4.10%, 11/15/14                                504,040
           260,000  United Mexican States, 5.625%, 1/15/17                                            262,730
                                                                                                 ------------
TOTAL SOVEREIGN GOVERNMENTS & AGENCIES
(Cost $1,331,140)                                                                                   1,326,766
                                                                                                 ------------

U.S. Government Agency Securities -- 1.1%

           559,000  Housing Urban Development, 6.08%, 8/1/13                                          583,032
           745,000  TVA STRIPS - PRINCIPAL, VRN, 0.00%, 4/15/12(8)                                    603,869
                                                                                                 ------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $1,191,650)                                                                                   1,186,901
                                                                                                 ------------

Principal Amount                                                                                        Value

Temporary Cash Investments -- 0.5%

         $ 500,000  FHLMC Discount Notes, 5.27%, 6/11/07(7)                                         $ 495,057
(Cost $494,925)
                                                                                                 ------------
TOTAL INVESTMENT SECURITIES -- 104.6%
(Cost $114,656,029)                                                                               114,192,755
                                                                                                 ------------
OTHER ASSETS AND LIABILITIES -- (4.6)%                                                            (4,989,014)
                                                                                                 ------------
TOTAL NET ASSETS -- 100.0%                                                                       $109,203,741
                                                                                                 ============

Notes to Schedule of Investments

FHLMC = Federal Home Loan Mortgage Corporation

FNMA = Federal National Mortgage Association

GMAC = General Motors Acceptance Corporation

GNMA = Government National Mortgage Association

JPY = Japanese Yen

LIBOR = London Interbank Offered Rate

resets = The frequency with which a security's coupon changes, based on
current market conditions or an underlying index. The more frequently a
security resets, the less risk the investor is taking that the coupon will
vary significantly from current market rates.

SEQ = Sequential Payer

STRIPS = Separate Trading of Registered Interest and Principal of Securities

TVA = Tennessee Valley Authority

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Final maturity indicated, unless otherwise noted.

(2) Forward commitment.

(3) Security, or a portion thereof, has been segregated for forward
commitments and/or when-issued securities.

(4) Security was purchased under Rule 144A of the Securities Act of 1933 or is
a private placement and, unless registered under the Act or exempted from
registration, may only be sold to qualified institutional investors. The
aggregate value of restricted securities at March 31, 2007 was $4,312,438,
which represented 3.9% of total net assets.

(5) Industry is less than 0.05% of total net assets.

(6) When-issued security.

(7) The rate indicated is the yield to maturity at purchase.

(8) Step-coupon security. These securities are issued with a zero-coupon and
become interest bearing at a predetermined rate and date and are issued at a
substantial discount from their value at maturity. Rate shown is effective
March 31, 2007.

See Notes to Financial Statements.


------
14


PERFORMANCE
High-Yield Bond

Total Returns as of March 31, 2007
                                                             Average Annual Returns
                                                                                   Since          Inception
                                        1 year        5 years     10 years       Inception          Date

A CLASS                                                                                            3/31/97
 No sales charge*                      9.99%(1)      8.88%(1)       6.11%          6.11%
 With sales charge*                    5.03%(1)      7.88%(1)       5.63%          5.63%

CITIGROUP HIGH-YIELD CASH-PAY INDEX     11.33%        10.14%        7.12%          7.12%             --

LEHMAN BROTHERS U.S. INTERMEDIATE
HIGH YIELD MARKET INDEX                 11.36%        10.00%        6.23%          6.23%             --

Investor Class                            --            --           --         9.73%(1)(2)        4/3/06

Institutional Class                       --            --           --         9.95%(1)(2)        4/3/06

B Class                                                                                            3/31/97
 No sales charge*                      9.18%(1)      8.15%(1)       5.39%          5.39%
 With sales charge*                    5.18%(1)      8.00%(1)       5.39%          5.39%

C Class                                                                                            4/3/06
 No sales charge*                         --            --           --         8.65%(1)(2)
 With sales charge*                       --            --           --         7.65%(1)(2)

R Class                                   --            --           --         9.19%(1)(2)        4/3/06

*Sales charges include initial sales charges and contingent deferred sales
charges (CDSCs), as applicable. A Class shares have a 4.50% maximum initial
sales charge for fixed income funds and may be subject to a maximum CDSC of
1.00%. B Class shares redeemed within six years of purchase are subject to a
CDSC that declines from 5.00% during the first year after purchase to 0.00%
the sixth year after purchase. C Class shares redeemed within 12 months of
purchase are subject to a maximum CDSC of 1.00%. Please see the Share Class
Information pages for more about the applicable sales charges for each share
class. The SEC requires that mutual funds provide performance information net
of maximum sales charges in all cases where charges could be applied.

High-Yield Bond acquired all of the net assets of the Mason Street High Yield
Bond Fund on March 31, 2006, pursuant to a plan of reorganization approved by
the acquired fund's shareholders on March 23, 2006. Performance information
prior to April 1, 2006 is that of the Mason Street Select Bond Fund.

(1) Class returns would have been lower if fees had not been waived.

(2) Total returns for periods less than one year are not annualized.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline. In
addition, the lower-rated securities in which the fund invests are subject to
greater credit risk, default risk and liquidity risk.

Unless otherwise indicated, performance reflects A Class shares; performance
for other share classes will vary due to differences in fee structure. For
information about other share classes available, please consult the
prospectus. Data assumes reinvestment of dividends and capital gains, and none
of the charts reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. Returns for the indices
are provided for comparison. The fund's total returns include operating
expenses (such as transaction costs and management fees) that reduce returns,
while the total returns of the indices do not.


------
15


High-Yield Bond

Growth of $10,000 Over 10 Years

$10,000 investment made March 31, 1997*

One-Year Returns Over 10 Years
Periods ended March 31
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

A Class** (no sales
charge) 22.95% -7.87% 0.12% 4.42% -0.08% 1.15% 22.79% 7.16% 4.55% 9.99%

Citigroup
High-Yield Cash-Pay
Index 15.87% 1.40% -3.00% 4.60% 2.97% 5.11% 21.65% 6.86% 6.55% 11.33%

Lehman Brothers
U.S. Intermediate
High Yield Market
Index 14.47% 0.01% -1.72% 1.65% -0.62% 4.01% 21.69% 6.49% 7.30% 11.36%

*High-Yield Bond A Class's initial investment is $9,550 to reflect the maximum
4.50% initial sales charge.

**Class returns would have been lower, along with ending value, if fees had
not been waived.

Unless otherwise indicated, performance reflects A Class shares; performance
for other share classes will vary due to differences in fee structure. For
information about other share classes available, please consult the
prospectus. Data assumes reinvestment of dividends and capital gains, and none
of the charts reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. Returns for the indices
are provided for comparison. The fund's total returns include operating
expenses (such as transaction costs and management fees) that reduce returns,
while the total returns of the indices do not.

------
16

PORTFOLIO COMMENTARY
High-Yield Bond

Portfolio Manager: Andrew Wassweiller

PERFORMANCE SUMMARY

High-Yield Bond returned 9.99%* during the 12 months ended March 31, 2007. By
comparison, its benchmark, the Citigroup High-Yield Cash-Pay Index, returned
11.33%, while the average return of the high-yield bond funds tracked by
Lipper Inc., was 10.07%**. The portfolio's return is reduced by operating
expenses, while the index's return is not.

The portfolio and benchmark produced solid returns thanks to a fourth-straight
year of outperformance by high-yield bonds. Our defensive positioning in terms
of credit exposure helps explain the portfolio's underperformance versus the
benchmark during a period in which the lowest-rated, riskiest assets performed
best. In addition, we essentially carried a structural underweight to
automotive debt, which outperformed the market last year.

RISK REIGNED IN THE HIGH-YIELD MARKET

High-yield bonds were the best-performing segment of the bond market during
the period (see the Market Perspective on page 2). The high-yield market was
helped by moderate economic growth, relatively tame inflation, and low, fairly
stable interest rates. In addition, default rates spent the year in the
neighborhood of record lows. Lower-rated, higher-yielding bonds performed
best, as bonds rated CCC more than doubled the return of bonds rated BB (just
one step below investment grade), as measured by the credit tranches of the
Citigroup index. Looking at returns by sector, automotive and auto-related
debt--which combine to form the largest slice of the index--returned more than
18% for the year, in line with the performance of CCC bonds.

PORTFOLIO STRATEGIES

We positioned the portfolio defensively because the market looked rich to us
after several years of strong performance. You can see this by looking at the
absolute spread, or difference in yield, between high-yield and
investment-grade bonds, as well as between CCC and higher-rated bonds within
the high-yield universe, which are near historic lows. The lower the credit
spread, the less you're being rewarded for taking on additional credit risk.
In addition, we're

Portfolio at a Glance
As of As of
3/31/07 9/30/06

Weighted Average Maturity 7.2 years 6.2 years
Average Duration (effective) 4.2 years 3.9 years

Yields as of March 31, 2007(1)

30-day SEC Yield

Investor Class 6.55%
Institutional Class 6.75%
A Class 6.02%
B Class 5.54%
C Class 5.53%
R Class 6.05%

(1) The yields presented reflect the waiver of a portion of the fund's
management fees. Without such waiver, the 30-day yields would have been lower.

*All fund returns referenced in this commentary are for A Class shares and are
not reduced by sales charges. A Class shares are subject to a maximum sales
charge of 4.50%. Had the sales charge been applied or if management fees had
not been waived, returns would be lower than those shown.

**The Lipper High Current Yield Bond Funds Average returned 9.17% and 5.54%
for the five- and 10-year periods ended March 31, 2007, respectively. Data
provided by Lipper Inc. - A Reuters Company. © 2007 Reuters. All rights
reserved. Any copying, republication or redistribution of Lipper content,
including by caching, framing or similar means, is expressly prohibited
without the prior written consent of Lipper. Lipper shall not be liable for
any errors or delays in the content, or for any actions taken in reliance
thereon.

------
17

High-Yield Bond

seeing a subtle but perceptible shift up in credit risk in the marketplace
because of the structure and amount of debt issued to finance leveraged
buyouts and equity-friendly behavior. But it limited performance relative to
the benchmark to be overweight BB bonds and underweight CCC because what was
rich kept getting richer and spreads that were tight only got tighter.

But one advantage to that positioning was that with credit spreads close to
historic lows, we were able to increase the portfolio's credit quality with
comparatively little give-up in yield.

In terms of sector allocations, the bonds of Ford, GM, and their financing
arms make up more than 10% of the index, and we typically do not concentrate
the portfolio so heavily in any single sector or issuer. That means we
essentially carried a structural underweight to automotive-related debt. In
periods when autos perform poorly, we should have a leg up on our benchmark.
But these bonds outperformed during the period, so that underweight limited
relative results.

However, it helped performance relative to the benchmark to be underweight
homebuilders and housing-related debt. We're carefully following the sub-prime
mortgage story and its implications for the economy. Downturns in the housing
market have historically presented attractive buying opportunities among the
homebuilders after a lag. We don't believe we are there yet, but we're
following this industry carefully.

STARTING POINT FOR NEXT REPORTING PERIOD

We're cautious on high-yield bonds after such a long period of outperformance.
We see an imbalance of risks in the market--yields and spreads are near
historic lows, while it appears the economy is slowing and the credit cycle
for high-yield may have peaked. Against that investment backdrop, we're likely
to continue to position the portfolio defensively, looking for bonds that we
believe have attractive risk/reward profiles as a result of their pricing and
stable or improving credit profiles.

Top Five Industries as of March 31, 2007
% of net % of net
assets as of assets as of
3/31/07 9/30/06

Media 10.5% 9.7%
Oil, Gas & Consumable Fuels 9.9% 10.2%
Hotels, Restaurants & Leisure 5.7% 7.0%
Diversified Financial Services 5.2% 4.0%
Diversified Telecommunication Services 4.8% 6.4%

Portfolio Composition by Credit Rating
% of fund % of fund
investments investments
as of as of
3/31/07 9/30/06

AAA 4% 6%
BBB 1% 2%
BB 39% 41%
B 46% 47%
CCC or lower 10% 4%

------
18

SCHEDULE OF INVESTMENTS
High-Yield Bond

MARCH 31, 2007

Principal Amount Value

Corporate Bonds -- 94.4%

AEROSPACE & DEFENSE -- 1.6%

$ 257,000 Bombardier Inc., 8.00%, 11/15/14 (Acquired 11/10/06, Cost
$257,000)(1) $ 267,280
360,000 DRS Technologies, Inc., 7.625%, 2/1/18 376,200
655,000 L-3 Communications Corp., 7.625%, 6/15/12 677,925
1,085,000 L-3 Communications Corp., 6.375%, 10/15/15 1,080,931
------------
2,402,336
------------
AUTO COMPONENTS -- 2.1%
492,000 American Axle & Manufacturing Inc., 7.875%, 3/1/17 493,230
240,000 ArvinMeritor Inc., 8.75%, 3/1/12 249,000
360,000 Cooper Tire & Rubber Co., 8.00%, 12/15/19 349,200
331,000 Goodyear Tire & Rubber Co. (The), 8.625%, 12/1/11 (Acquired
11/16/06, Cost $331,000)(1) 357,480
222,000 Lear Corp., 8.50%, 12/1/13 215,618
480,000 Lear Corp., 8.75%, 12/1/16 460,800
895,000 TRW Automotive Inc., 7.25%, 3/15/17 (Acquired 3/14/07, Cost
$879,517)(1) 881,575
245,000 Visteon Corp., 8.25%, 8/1/10 251,125
------------
3,258,028
------------
AUTOMOBILES -- 1.3%
1,450,000 Ford Motor Co., 7.45%, 7/16/31 1,129,188
940,000 General Motors Corp., 8.375%, 7/15/33 848,350
------------
1,977,538
------------
BEVERAGES -- 0.3%
495,000 Constellation Brands Inc., 7.25%, 9/1/16 503,663
------------
CAPITAL MARKETS -- 2.2%
429,000 BCP Caylux Holdings Luxembourg S.C.A., 9.625%, 6/15/14 489,455
665,000 E*TRADE Financial Corp., 7.875%, 12/1/15 720,693
140,000 LaBranche & Co. Inc., 9.50%, 5/15/09 147,700
413,000 LaBranche & Co. Inc., 11.00%, 5/15/12 452,235

Principal Amount Value

$ 615,000 NXP BV/NXP Funding LLC, 7.875%, 10/15/14 (Acquired 10/5/06, Cost
$615,000)(1) $ 638,063
275,000 NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Acquired 10/5/06, Cost
$275,000)(1) 285,313
665,000 Vanguard Health Holding Co. II, LLC/Vanguard Holding Co. II, Inc.,
9.00%, 10/1/14 676,637
------------
3,410,096
------------
CHEMICALS -- 4.2%
305,000 Berry Plastics Holding Corp., 8.875%, 9/15/14 313,388
720,000 Equistar Chemicals L.P./Equistar Funding Corp., 8.75%, 2/15/09 754,200
785,000 Equistar Chemicals L.P./Equistar Funding Corp., 10.625%, 5/1/11 832,100
1,072,000 Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.75%,
11/15/14 (Acquired 10/27/06, Cost $1,072,000)(1) 1,129,619
432,000 Huntsman LLC, 11.50%, 7/15/12 484,920
865,000 Lyondell Chemical Co., 8.00%, 9/15/17 910,413
245,000 Momentive Performance Materials Inc., 9.75%, 12/1/14 (Acquired
11/29/06, Cost $245,000)(1) 253,575
306,000 Momentive Performance Materials Inc., 10.125%, 12/1/14 (Acquired
11/29/06, Cost $306,000)(1) 319,770
184,000 Mosaic Co. (The), 7.375%, 12/1/14 (Acquired 11/16/06, Cost
$184,000)(1) 192,740
424,000 Mosaic Co. (The), 7.625%, 12/1/16 (Acquired 11/16/06-2/5/07, Cost
$430,600)(1) 449,440
661,000 Rockwood Specialties Group, Inc., 10.625%, 5/15/11 700,660
------------
6,340,825
------------
COMMERCIAL SERVICES & SUPPLIES -- 2.3%
689,000 Allied Waste North America, Inc., 7.25%, 3/15/15 706,225
430,000 Allied Waste North America, Inc., 6.875%, 6/1/17 433,225
329,000 ARAMARK Corp., 8.50%, 2/1/15 (Acquired 1/17/07, Cost $329,000)(1) 343,805

------
19

High-Yield Bond

Principal Amount Value

$ 219,000 ARAMARK Corp., VRN, 8.86%, 5/1/07, resets quarterly off the 3-month
LIBOR plus 3.50% with no caps (Acquired 1/17/07, Cost $219,000)(1) $ 226,118
730,000 Corrections Corp. of America, 6.25%, 3/15/13 733,649
485,000 Quebecor World Inc., 9.75%, 1/15/15 (Acquired 12/13/06, Cost
$485,000)(1) 511,675
495,000 WCA Waste Corp., 9.25%, 6/15/14 528,413
------------
3,483,110
------------
CONSTRUCTION MATERIALS -- 1.2%
110,000 Beazer Homes USA Inc., 8.375%, 4/15/12 106,425
269,000 Beazer Homes USA Inc., 6.50%, 11/15/13 241,764
151,000 Beazer Homes USA Inc., 6.875%, 7/15/15 135,523
1,105,000 FMG Finance Pty Ltd., 10.625%, 9/1/16 (Acquired 8/11/06-2/7/07, Cost
$1,135,000)(1) 1,276,274
------------
1,759,986
------------
CONSUMER FINANCE -- 0.3%
490,000 Sally Holdings LLC, 10.50%, 11/15/16 (Acquired 11/10/06, Cost
$490,000)(1) 505,925
------------
CONTAINERS & PACKAGING -- 2.8%
543,000 Crown Americas LLC/Crown Americas Capital Corp., 7.625%, 11/15/13 561,326
415,000 Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15 433,675
547,000 Graphic Packaging International Corp., 9.50%, 8/15/13 584,606
375,000 Norampac Inc., 6.75%, 6/1/13 372,656
795,000 Owens-Brockway Glass Container Inc., 7.75%, 5/15/11 824,813
626,000 Owens-Brockway Glass Container Inc., 6.75%, 12/1/14 622,870
530,000 Smurfit-Stone Container Enterprises, Inc., 8.375%, 7/1/12 533,975
360,000 Smurfit-Stone Container Enterprises, Inc., 8.00%, 3/15/17 (Acquired
3/12/07, Cost $360,000)(1) 353,700
------------
4,287,621
------------

Principal Amount Value

DIVERSIFIED CONSUMER SERVICES -- 1.1%
$ 670,000 Education Management LLC/Education Management Finance Corp., 10.25%,
6/1/16 $ 730,300
100,000 Service Corp. International, 7.375%, 10/1/14 104,500
445,000 Service Corp. International, 6.75%, 4/1/15 (Acquired 3/28/07, Cost
$443,144)(1)(2) 446,669
380,000 Service Corp. International, 6.75%, 4/1/16 380,000
------------
1,661,469
------------
DIVERSIFIED FINANCIAL SERVICES -- 5.2%
700,000 Arch Western Finance LLC, 6.75%, 7/1/13 692,125
430,000 Ford Motor Credit Co., 8.625%, 11/1/10 439,158
1,510,000 Ford Motor Credit Co., 9.875%, 8/10/11 1,600,504
630,000 Ford Motor Credit Co., 8.00%, 12/15/16 607,212
1,310,000 General Motors Acceptance Corp., 6.875%, 9/15/11 1,312,508
480,000 General Motors Acceptance Corp., 6.75%, 12/1/14 472,579
835,000 General Motors Acceptance Corp., 8.00%, 11/1/31 897,734
214,000 Hawker Beechcraft Acquisition Co. LLC, 8.50%, 4/1/15 (Acquired
3/16/07-3/22/07, Cost $216,363)(1) 222,828
144,000 Hawker Beechcraft Acquisition Co. LLC, 8.875%, 4/1/15 (Acquired
3/16/07, Cost $144,000)(1) 149,220
504,000 NSG Holdings LLC/NSG Holdings Inc., 7.75%, 12/15/25 (Acquired
3/6/07, Cost $504,000)(1) 529,200
715,000 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 9.25%,
4/1/15 (Acquired 3/21/07, Cost $715,000)(1)(2) 706,063
355,000 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625%,
4/1/17 (Acquired 3/21/07, Cost $355,000)(1)(2) 351,006
------------
7,980,137
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 4.8%
1,545,000 Citizens Communications Co., 9.25%, 5/15/11 1,730,399
600,000 Citizens Communications Co., 9.00%, 8/15/31 660,000

------
20

High-Yield Bond

Principal Amount Value

$ 380,000 Digicel Group Ltd., 8.875%, 1/15/15 (Acquired 2/22/07, Cost
$380,000)(1) $ 369,550
360,000 Embarq Corp., 8.00%, 3/1/36 372,809
371,000 Intelsat Bermuda Ltd., 11.25%, 6/15/16 422,940
497,000 Intelsat Bermuda Ltd., VRN, 11.35%, 6/15/07, resets semiannually off
the 6-month LIBOR plus 6.00% with no caps 535,518
380,000 Intelsat Subsidiary Holding Co. Ltd., 8.25%, 1/15/13 398,050
245,000 Nortel Networks Ltd., 10.75%, 7/15/16 (Acquired 6/29/06, Cost
$245,000)(1) 273,175
505,000 Qwest Capital Funding Inc., 7.90%, 8/15/10 528,988
275,000 Qwest Communications International Inc., 7.50%, 11/1/08 279,813
1,506,000 Qwest Corp., 7.875%, 9/1/11 1,607,654
124,000 Qwest Corp., 7.50%, 10/1/14 131,440
------------
7,310,336
------------
ELECTRIC UTILITIES -- 1.0%
41,000 Aquila, Inc., 9.95%, 2/1/11 45,100
188,796 Elwood Energy LLC, 8.16%, 7/5/26 197,743
490,000 Midwest Generation, LLC/Midwest Finance Corp., 8.75%, 5/1/34 534,100
495,000 Nevada Power Co., 8.25%, 6/1/11 546,788
202,000 Sierra Pacific Resources, 8.625%, 3/15/14 219,519
------------
1,543,250
------------
ELECTRICAL EQUIPMENT -- 0.1%
180,000 Belden CDT Inc., 7.00%, 3/15/17 (Acquired 3/13/07, Cost $180,000)(1) 184,504
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.6%
570,000 Flextronics International Ltd., 6.50%, 5/15/13 567,150
94,000 Flextronics International Ltd., 6.25%, 11/15/14 91,415
305,000 Sanmina-SCI Corp., 8.125%, 3/1/16 288,225
------------
946,790
------------
ENERGY EQUIPMENT & SERVICES -- 1.3%
216,000 Compagnie Generale de Geophysique, 7.50%, 5/15/15 223,560
360,000 Compagnie Generale de Geophysique, 7.75%, 5/15/17 377,100

Principal Amount Value

$ 89,000 Hanover Compressor Co., 7.50%, 4/15/13 $91,670
445,000 Hanover Compressor Co., 9.00%, 6/1/14 483,938
180,000 Seitel, Inc., 9.75%, 2/15/14 (Acquired 2/9/07, Cost $180,000)(1) 183,150
665,000 SESI LLC, 6.875%, 6/1/14 663,337
------------
2,022,755
------------
FOOD & STAPLES RETAILING -- 2.0%
730,000 Albertson's, Inc., 7.25%, 5/1/13 757,766
875,000 Rite Aid Corp., 8.125%, 5/1/10 903,437
180,000 Rite Aid Corp., 8.625%, 3/1/15 171,450
540,000 Rite Aid Corp., 7.50%, 3/1/17 535,950
612,000 SUPERVALU INC., 7.50%, 11/15/14 641,070
------------
3,009,673
------------
FOOD PRODUCTS -- 1.7%
550,000 B&G Foods Holding Corp., 8.00%, 10/1/11 559,625
753,000 Dole Food Company, Inc., 8.625%, 5/1/09 754,882
453,000 Pilgrim's Pride Corp., 7.625%, 5/1/15 454,133
217,000 Pilgrim's Pride Corp., 8.375%, 5/1/17 215,373
626,000 Smithfield Foods, Inc., 7.75%, 5/15/13 649,475
------------
2,633,488
------------
GAS UTILITIES -- 0.3%
470,000 Amerigas Partners L.P., 7.25%, 5/20/15 477,050
------------
HEALTH CARE PROVIDERS & SERVICES -- 3.7%
255,000 Fresenius Medical Care Capital Trust IV, 7.875%, 6/15/11 269,025
480,000 HCA Inc., 6.75%, 7/15/13 444,000
429,000 HCA Inc., 9.125%, 11/15/14 (Acquired 11/9/06, Cost $429,000)(1) 459,566
1,634,000 HCA Inc., 9.25%, 11/15/16 (Acquired 11/9/06-11/13/06, Cost
$1,648,138)(1) 1,766,762
644,000 HCA Inc., 9.625%, 11/15/16 (Acquired 11/9/06, Cost $644,000)(1) 697,130
633,000 IASIS Healthcare LLC/IASIS Capital Corp., 8.75%, 6/15/14 658,320
485,000 Tenet Healthcare Corp., 7.375%, 2/1/13 452,869

------
21

High-Yield Bond

Principal Amount Value

$ 365,000 Tenet Healthcare Corp., 9.875%, 7/1/14 $ 370,475
555,000 US Oncology, Inc., 9.00%, 8/15/12 595,238
------------
5,713,385
------------
HOTELS, RESTAURANTS & LEISURE -- 5.7%
525,000 American Casino & Entertainment Properties LLC, 7.85%, 2/1/12 548,625
485,000 American Real Estate Partners L.P., 7.125%, 2/15/13 (Acquired
1/11/07, Cost $482,575)(1) 481,363
155,000 American Real Estate Partners L.P./American Real Estate Finance
Corp., 7.125%, 2/15/13 153,838
670,000 Boyd Gaming Corp., 7.75%, 12/15/12 695,125
370,000 Mandalay Resort Group, 9.375%, 2/15/10 400,525
195,000 Mandalay Resort Group, 6.375%, 12/15/11 196,950
660,000 MGM Mirage, 8.50%, 9/15/10 708,674
795,000 MGM Mirage, 8.375%, 2/1/11 840,712
530,000 MGM Mirage, 6.75%, 9/1/12 529,338
980,000 Park Place Entertainment Corp., 8.125%, 5/15/11 1,042,474
218,000 Pokagon Gaming Authority, 10.375%, 6/15/14 (Acquired 6/15/06, Cost
$218,000)(1) 241,435
500,000 Royal Caribbean Cruises Ltd., 7.00%, 6/15/13 519,157
290,000 Seminole Hard Rock Entertainment Inc./Seminole Hard Rock
International LLC, VRN, 7.85%, 6/15/07, resets quarterly off the
3-month T-Bill plus 2.50% with no caps (Acquired 2/27/07, Cost
$290,000)(1) 297,250
310,000 Station Casinos Inc., 6.875%, 3/1/16 285,588
365,000 Station Casinos Inc., 6.625%, 3/15/18 326,675
365,000 Wimar OpCo LLC/Wimar OpCo Finance Corp., 9.625%, 12/15/14 (Acquired
12/14/06, Cost $365,000)(1) 368,194
1,093,000 Wynn Las Vegas LLC, 6.625%, 12/1/14 1,087,534
------------
8,723,457
------------

Principal Amount Value

HOUSEHOLD DURABLES -- 1.6%
$ 342,000 Jarden Corp., 7.50%, 5/1/17 $ 347,130
765,000 K. Hovnanian Enterprises, Inc., 7.75%, 5/15/13 699,975
525,000 KB Home, 7.75%, 2/1/10 521,063
378,000 Standard Pacific Corp., 7.75%, 3/15/13 364,770
300,000 Standard Pacific Corp., 6.25%, 4/1/14 265,500
300,000 Technical Olympic USA, Inc., 9.00%, 7/1/10 281,250
------------
2,479,688
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 3.1%
255,000 AES Corp. (The), 9.375%, 9/15/10 278,588
535,000 Dynegy Holdings Inc., 8.375%, 5/1/16 559,075
1,085,000 Indiantown Cogeneration L.P., 9.77%, 12/15/20 1,261,714
935,000 NRG Energy Inc., 7.25%, 2/1/14 960,713
255,000 NRG Energy Inc., 7.375%, 2/1/16 262,650
1,303,000 NRG Energy Inc., 7.375%, 1/15/17 1,340,460
------------
4,663,200
------------
INDUSTRIAL CONGLOMERATES -- 0.8%
1,185,000 Stena AB, 7.50%, 11/1/13 1,208,700
------------
INSURANCE -- 0.6%
430,000 Crum & Forster Holdings Corp., 10.375%, 6/15/13 466,550
420,000 UnumProvident Finance Co. plc, 6.85%, 11/15/15 438,682
------------
905,232
------------
INTEGRATED TELECOMMUNICATION SERVICES -- 1.1%
565,000 Windstream Corp., 8.125%, 8/1/13 614,438
620,000 Windstream Corp., 8.625%, 8/1/16 681,225
360,000 Windstream Corp., 7.00%, 3/15/19 (Acquired 2/12/07, Cost $360,000)(1) 361,800
------------
1,657,463
------------
IT SERVICES -- 0.5%
710,000 SunGard Data Systems Inc., 9.125%, 8/15/13 765,025
------------

------
22

High-Yield Bond

Principal Amount Value

LEISURE EQUIPMENT & PRODUCTS -- 0.7%

$ 495,000 Da-Lite Screen Co., Inc., 9.50%, 5/15/11 $ 519,750
60,000 TDS Investor Corp., 9.875%, 9/1/14 (Acquired 8/11/06, Cost
$60,000)(1) 63,150
495,000 TDS Investor Corp., 11.875%, 9/1/16 (Acquired 8/11/06, Cost
$495,000)(1) 545,119
------------
1,128,019
------------
LEISURE FACILITIES -- 0.5%
418,000 Universal City Development Partners, 11.75%, 4/1/10 444,648
256,000 Universal City Florida Holding Co. I/Universal City Florida Holdings
Co.II, 8.375%, 5/1/10 265,280
------------
709,928
------------
MACHINERY -- 0.8%
360,000 American Railcar Industries Inc., 7.50%, 3/1/14 (Acquired 2/23/07,
Cost $360,000)(1) 371,700
459,000 Rental Service Corp., 9.50%, 12/1/14 (Acquired 11/17/06, Cost
$459,000)(1) 491,130
385,000 Terex Corp., 7.375%, 1/15/14 398,475
------------
1,261,305
------------
MEDIA -- 10.5%
437,000 AMC Entertainment Inc., 11.00%, 2/1/16 499,819
495,000 CCH I, LLC/CCH I Capital Corp., 11.00%, 10/1/15 516,038
985,000 CCH II, LLC/CCH II Capital Corp., 10.25%, 9/15/10 1,042,868
480,000 CCO Holdings, LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 499,200
245,000 Charter Communications Holdings, LLC/CCH I, LLC, 11.00%, 10/1/15 254,188
530,000 CSC Holdings, Inc., 8.125%, 7/15/09 551,200
254,000 CSC Holdings, Inc., 8.125%, 8/15/09 264,160
810,000 CSC Holdings, Inc., 7.625%, 4/1/11 834,300
916,000 CSC Holdings, Inc., 7.875%, 2/15/18 945,770
250,000 DirecTV Holdings LLC/DirecTV Finance LLC, 6.375%, 6/15/15 238,750
500,000 Echostar DBS Corp., 6.375%, 10/1/11 504,375
365,000 EchoStar DBS Corp., 7.00%, 10/1/13 377,775

Principal Amount Value

$ 255,000 EchoStar DBS Corp., 7.125%, 2/1/16 $ 264,563
1,924,000 Idearc Inc., 8.00%, 11/15/16 (Acquired 11/1/06, Cost $1,924,000)(1) 1,988,934
495,000 Kabel Deutschland GmbH, 10.625%, 7/1/14 554,400
630,000 Lamar Media Corp., 6.625%, 8/15/15 617,400
655,000 LIN Television Corp., 6.50%, 5/15/13 644,356
220,000 Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50%, 10/15/15
(Acquired 9/28/06, Cost $218,350)(1) 218,378
320,000 Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50%, 10/15/15 328,800
265,000 Mediacom LLC/Mediacom Capital Corp., 7.875%, 2/15/11 266,325
275,000 Primedia Inc., 8.00%, 5/15/13 286,000
750,000 R.H. Donnelley Corp., 6.875%, 1/15/13 733,125
310,000 R.H. Donnelley Corp., 6.875%, 1/15/13 303,025
1,090,000 R.H. Donnelley Corp., 6.875%, 1/15/13 1,065,474
215,000 R.H. Donnelley Corp., 8.875%, 1/15/16 229,513
215,000 Reader's Digest Association Inc. (The), 9.00%, 2/15/17 (Acquired
2/27/07, Cost $215,000)(1) 208,013
552,000 Sinclair Broadcast Group, Inc., 8.00%, 3/15/12 574,080
960,000 Univision Communications Inc., 9.75%, 3/15/15 (Acquired 3/1/07, Cost
$960,000)(1) 961,199
235,000 Videotron Ltee, 6.375%, 12/15/15 232,063
------------
16,004,091
------------
METALS & MINING -- 1.5%
715,000 Freeport-McMoRan Copper & Gold, Inc., 8.25%, 4/1/15 771,306
955,000 Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17 1,034,981
399,000 Novelis Inc., 7.25%, 2/15/15 423,938
------------
2,230,225
------------
MULTI-UTILITIES -- 0.5%
595,000 Basic Energy Services Inc., 7.125%, 4/15/16 583,100
160,000 PSEG Energy Holdings Inc., 8.50%, 6/15/11 173,600
------------
756,700
------------

------
23

High-Yield Bond

Principal Amount Value

OFFICE ELECTRONICS -- 0.3%

$ 465,000 Xerox Corp., 7.625%, 6/15/13 $ 489,994
------------
OIL, GAS & CONSUMABLE FUELS -- 9.9%
185,000 Buffalo Thunder Development Authority, 9.375%, 12/15/14 (Acquired
12/8/06, Cost $185,000)(1) 189,625
605,000 Chaparral Energy Inc., 8.875%, 2/1/17 (Acquired 1/10/07-1/11/07,
Cost $602,000)(1) 611,050
375,000 Chesapeake Energy Corp., 7.625%, 7/15/13 400,313
235,000 Chesapeake Energy Corp., 7.50%, 9/15/13 246,750
383,000 Chesapeake Energy Corp., 6.375%, 6/15/15 383,000
862,000 Chesapeake Energy Corp., 6.625%, 1/15/16 872,774
485,000 Colorado Interstate Gas Co., 6.80%, 11/15/15 518,214
444,000 Complete Production Services Inc., 8.00%, 12/15/16 (Acquired
11/29/06, Cost $444,093)(1) 457,320
430,000 Denbury Resources Inc., 7.50%, 12/15/15 436,450
575,000 El Paso Performance-Linked Trust, 7.75%, 7/15/11 (Acquired 7/12/06,
Cost $575,000)(1) 614,531
796,000 El Paso Production Holding Co., 7.75%, 6/1/13 835,799
500,000 Kinder Morgan Finance Co., ULC, 5.35%, 1/5/11 493,056
730,000 Kinder Morgan Finance Co., ULC, 5.70%, 1/5/16 685,604
640,000 Massey Energy Co., 6.875%, 12/15/13 610,400
110,000 Newfield Exploration Co., 6.625%, 9/1/14 110,550
525,000 Newfield Exploration Co., 6.625%, 4/15/16 527,625
550,000 OPTI Canada Inc., 8.25%, 12/15/14 (Acquired 12/8/06, Cost
$550,000)(1) 574,750
515,000 Peabody Energy Corp., 7.375%, 11/1/16 544,613
871,000 Petrohawk Energy Corp., 9.125%, 7/15/13 931,969
360,000 Pioneer Natural Resources Co., 5.875%, 7/15/16 336,772
540,000 Pioneer Natural Resources Co., 6.65%, 3/15/17 536,885
360,000 Plains Exploration & Production Co., 7.00%, 3/15/17 363,600

Principal Amount Value

$ 429,000 Pogo Producing Co., 7.875%, 5/1/13 $ 434,363
594,000 Range Resources Corp., 6.375%, 3/15/15 588,060
130,000 Range Resources Corp., 7.50%, 5/15/16 134,550
365,000 Ship Finance International Ltd., 8.50%, 12/15/13 375,950
601,000 Stallion Oilfield Services/Stallion Oilfield Finance Corp., 9.75%,
2/1/15 (Acquired 1/19/07, Cost $601,000)(1) 614,523
670,000 Tesoro Corp., 6.625%, 11/1/15 681,725
668,000 Whiting Petroleum Corp., 7.25%, 5/1/13 659,650
293,000 Williams Partners L.P./Williams Partners Finance Corp., 7.25%,
2/1/17 (Acquired 12/6/06, Cost $293,000)(1) 311,313
------------
15,081,784
------------
PAPER & FOREST PRODUCTS -- 2.3%
365,000 Abitibi-Consolidated Co. of Canada, 8.375%, 4/1/15 344,925
908,000 Abitibi-Consolidated Inc., 7.75%, 6/15/11 871,680
385,000 Bowater Canada Finance, 7.95%, 11/15/11 376,338
252,000 Cascades Inc., 7.25%, 2/15/13 253,260
180,000 Catalyst Paper Corp., 8.625%, 6/15/11 183,600
879,000 Georgia-Pacific Corp., 7.00%, 1/15/15 (Acquired 12/13/06, Cost
$879,000)(1) 887,789
639,000 Georgia-Pacific Corp., 7.125%, 1/15/17 (Acquired 12/13/06, Cost
$639,000)(1) 643,793
------------
3,561,385
------------
PHARMACEUTICALS -- 0.3%
505,000 Omnicare Inc., 6.75%, 12/15/13 509,419
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
612,000 FelCor Lodging L.P., 8.50%, 6/1/11 658,665
171,000 Host Hotels & Resorts L.P., 6.875%, 11/1/14 174,420
1,515,000 Host Marriot, L.P., 7.125%, 11/1/13 1,556,663
425,000 Omega Healthcare Investors, Inc., 7.00%, 4/1/14 431,375
140,000 Omega Healthcare Investors, Inc., 7.00%, 1/15/16 142,100
384,000 Senior Housing Properties Trust, 8.625%, 1/15/12 421,440

------
24

High-Yield Bond

Principal Amount Value

$ 400,000 Ventas Realty L.P./Ventas Capital Corp., 9.00%, 5/1/12 $ 452,000
35,000 Ventas Realty L.P./Ventas Capital Corp., 6.50%, 6/1/16 36,006
------------
3,872,669
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.8%
665,000 Rouse Co. (The), 7.20%, 9/15/12 695,559
477,000 Rouse Co. L.P./TRC Co-Issuer Inc., 6.75%, 5/1/13 (Acquired 5/2/06,
Cost $475,512)(1) 488,511
------------
1,184,070
------------
ROAD & RAIL -- 1.1%
83,000 Grupo Transportacion Ferroviaria Mexicana SA de CV, 9.375%, 5/1/12 89,640
800,000 Grupo Transportacion Ferroviaria Mexicana SA de CV, 12.50%, 6/15/12 861,600
690,000 Hertz Corp., 8.875%, 1/1/14 746,925
------------
1,698,165
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.2%
490,000 Freescale Semiconductor Inc., 8.875%, 12/15/14 (Acquired 11/16/06,
Cost $490,000)(1) 493,063
735,000 Freescale Semiconductor Inc., 9.125%, 12/15/14 (Acquired 11/16/06,
Cost $735,000)(1) 733,162
184,000 Freescale Semiconductor Inc., 10.125%, 12/15/16 (Acquired 11/16/06,
Cost $184,000)(1) 185,380
342,000 STATS ChipPAC Ltd., 6.75%, 11/15/11 354,825
------------
1,766,430
------------
SPECIALTY RETAIL -- 2.2%
560,000 GSC Holdings Corp., 8.00%, 10/1/12 596,400
440,000 Michaels Stores Inc., 10.00%, 11/1/14 (Acquired 10/25/06, Cost
$440,000)(1) 473,000
315,000 Rent-A-Center Inc., 7.50%, 5/1/10 318,938
615,000 Simmons Bedding Co., 7.875%, 1/15/14 633,449
370,000 United Auto Group Inc., 7.75%, 12/15/16 (Acquired 11/30/06, Cost
$370,000)(1) 375,550
485,000 Visant Corp., 7.625%, 10/1/12 495,913
395,000 Warnaco Inc., 8.875%, 6/15/13 421,169
------------
3,314,419
------------

Principal Amount Value

TEXTILES, APPAREL & LUXURY GOODS -- 1.7%
$ 520,000 Invista, 9.25%, 5/1/12 $ 556,400
605,000 Levi Strauss & Co., 8.875%, 4/1/16 650,375
922,000 Oxford Industries, Inc., 8.875%, 6/1/11 958,880
412,000 Phillips-Van Heusen, 7.25%, 2/15/11 423,330
------------
2,588,985
------------
THRIFTS & MORTGAGE FINANCE -- 1.1%
480,000 Residential Capital Corp., 6.50%, 4/17/13 476,028
480,000 Residential Capital Corp., 6.875%, 6/30/15 485,034
764,000 Residential Capital Corp., VRN, 7.19%, 4/17/07, resets quarterly off
the 3-month LIBOR plus 1.83% with no caps (Acquired 4/11/06, Cost
$764,000)(1) 757,758
------------
1,718,820
------------
TOBACCO -- 0.8%
585,000 Reynolds American Inc., 7.25%, 6/1/13 615,952
505,000 Reynolds American Inc., 7.625%, 6/1/16 539,760
------------
1,155,712
------------
TRADING COMPANIES & DISTRIBUTORS -- 1.2%
305,000 Ashtead Capital Inc., 9.00%, 8/15/16 (Acquired 8/1/06, Cost
$305,000)(1) 326,350
180,000 TransDigm Inc., 7.75%, 7/15/14 186,750
1,243,000 United Rentals North America, Inc., 6.50%, 2/15/12 1,246,108
------------
1,759,208
------------
TRANSPORTATION INFRASTRUCTURE -- 0.6%
257,000 Kansas City Southern de Mexico SA de CV, 7.625%, 12/1/13 (Acquired
11/13/06, Cost $257,000)(1) 260,534
682,000 OMI Corp., 7.625%, 12/1/13 695,640
------------
956,174
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
542,000 Rogers Wireless Inc., 8.00%, 12/15/12 577,230
------------
TOTAL CORPORATE BONDS
(Cost $140,385,232) 144,139,462
------------

------
25

High-Yield Bond

Principal Amount Value

Commercial Paper(3) -- 4.6%

$2,000,000 Ranger Funding Co. LLC, 5.28%, 4/5/07 (Acquired 3/15/07, Cost
$1,993,840)(1) $ 1,999,104
2,000,000 Paccar Financial Corp., 5.29%, 4/4/07(4) 1,999,412
2,000,000 Sheffield Receivables, 5.31%, 4/12/07 1,997,018
1,100,000 Rabobank USA Financial Corp., 5.37%, 4/2/07 1,100,000
------------
TOTAL COMMERCIAL PAPER
(Cost $7,094,536) 7,095,534
------------

Common Stocks(5)

HOTELS, RESTAURANTS & LEISURE(5)

1,786 Shreveport Gaming Holdings Inc.(6) 31,755
(Cost $32,476)
------------
TOTAL INVESTMENT SECURITIES -- 99.0%
(Cost $147,512,244) 151,266,751
------------
OTHER ASSETS AND LIABILITIES -- 1.0% 1,500,168
------------
TOTAL NET ASSETS -- 100.0% $152,766,919
============

Notes to Schedule of Investments

LIBOR = London Interbank Offered Rate

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Security was purchased under Rule 144A or Section 4(2) of the Securities
Act of 1933 or is a private placement and, unless registered under the Act or
exempted from registration, may only be sold to qualified institutional
investors. The aggregate value of restricted securities at March 31, 2007 was
$31,925,946, which represented 20.9% of total net assets. Restricted
securities considered illiquid represent 0.6% of total net assets.

(2) When-issued security.

(3) The rate indicated is the yield to maturity at purchase.

(4) Security, or a portion thereof, has been segregated for a when-issued
security.

(5) Category is less than 0.05% of total net assets.

(6) Non-income producing.

See Notes to Financial Statements

------
26

SHAREHOLDER FEE EXAMPLES (UNAUDITED)

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007.

ACTUAL EXPENSES

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

------
27

Select Bond Shareholder Fee Example
Beginning Ending Expenses Paid
Account Value Account Value During Period(1) Annualized
10/1/06 3/31/07 10/1/06 - 3/31/07 Expense Ratio(1)

ACTUAL
Investor Class $1,000 $1,027.10 $3.13 0.62%
Institutional Class $1,000 $1,028.10 $2.12 0.42%
A Class (after waiver)(2) $1,000 $1,025.90 $4.29 0.85%
A Class (before waiver) $1,000 $1,025.90(3) $4.39 0.87%
B Class (after waiver)(2) $1,000 $1,022.60 $7.56 1.50%
B Class (before waiver) $1,000 $1,022.60(3) $8.17 1.62%
C Class $1,000 $1,021.90 $8.17 1.62%
R Class $1,000 $1,024.50 $5.65 1.12%
HYPOTHETICAL
Investor Class $1,000 $1,021.84 $3.13 0.62%
Institutional Class $1,000 $1,022.84 $2.12 0.42%
A Class (after waiver)(2) $1,000 $1,020.69 $4.28 0.85%
A Class (before waiver) $1,000 $1,020.59 $4.38 0.87%
B Class (after waiver)(2) $1,000 $1,017.45 $7.54 1.50%
B Class (before waiver) $1,000 $1,016.85 $8.15 1.62%
C Class $1,000 $1,016.85 $8.15 1.62%
R Class $1,000 $1,019.35 $5.64 1.12%

(2) During the six months ended March 31, 2007, the class received a partial
waiver of its distribution and service fees.

(3) Ending account value assumes the return earned after waiver. The return
would have been lower had fees not been waived and may have resulted in a
lower ending account value.

------
28

High-Yield Bond Shareholder Fee Example
Beginning Ending Expenses Paid
Account Value Account Value During Period(1) Annualized
10/1/06 3/31/07 10/1/06 - 3/31/07 Expense Ratio(1)

ACTUAL
Investor Class (after
waiver)(2) $1,000 $1,063.30 $4.12 0.80%
Investor Class (before
waiver) $1,000 $1,063.30(3) $4.48 0.87%
Institutional Class (after
waiver)(2) $1,000 $1,064.40 $3.09 0.60%
Institutional Class (before
waiver) $1,000 $1,064.40(3) $3.45 0.67%
A Class (after waiver)(2) $1,000 $1,062.00 $5.40 1.05%
A Class (before waiver) $1,000 $1,062.00(3) $5.76 1.12%
B Class (after waiver)(2) $1,000 $1,056.60 $9.23 1.80%
B Class (before waiver) $1,000 $1,056.60(3) $9.59 1.87%
C Class (after waiver)(2) $1,000 $1,058.00 $9.24 1.80%
C Class (before waiver) $1,000 $1,058.00(3) $9.59 1.87%
R Class (after waiver)(2) $1,000 $1,060.70 $6.68 1.30%
R Class (before waiver) $1,000 $1,060.70(3) $7.04 1.37%
HYPOTHETICAL
Investor Class (after
waiver)(2) $1,000 $1,020.94 $4.03 0.80%
Investor Class (before
waiver) $1,000 $1,020.59 $4.38 0.87%
Institutional Class (after
waiver)(2) $1,000 $1,021.94 $3.02 0.60%
Institutional Class (before
waiver) $1,000 $1,021.59 $3.38 0.67%
A Class (after waiver)(2) $1,000 $1,019.70 $5.29 1.05%
A Class (before waiver) $1,000 $1,019.35 $5.64 1.12%
B Class (after waiver)(2) $1,000 $1,015.96 $9.05 1.80%
B Class (before waiver) $1,000 $1,015.61 $9.40 1.87%
C Class (after waiver)(2) $1,000 $1,015.96 $9.05 1.80%
C Class (before waiver) $1,000 $1,015.61 $9.40 1.87%
R Class (after waiver)(2) $1,000 $1,018.45 $6.54 1.30%
R Class (before waiver) $1,000 $1,018.10 $6.89 1.37%

(2) During the six months ended March 31, 2007, the class received a partial
waiver of its management fees.

(3) Ending account value assumes the return earned after waiver. The return
would have been lower had fees not been waived and may have resulted in a
lower ending account value.

------
29

STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007
Select Bond High-Yield Bond

ASSETS

Investment securities, at value (cost of $114,656,029 and
$147,512,244, respectively) $114,192,755 $151,266,751

Cash -- 65,706

Receivable for investments sold 859,537 2,100,586

Receivable for capital shares sold 380 --

Interest receivable 946,344 3,036,922
------------ ------------
115,999,016 156,469,965
------------ ------------

LIABILITIES

Disbursements in excess of demand deposit cash 294,505 --

Payable for investments purchased 6,288,128 3,572,494

Payable for capital shares redeemed 138,506 42,466

Accrued management fees 51,924 80,811

Distribution fees payable 5,354 2,073

Service fees (and distribution fees -- A Class and R Class) payable 14,244 5,202

Dividends payable 2,614 --
------------ ------------
6,795,275 3,703,046
------------ ------------

NET ASSETS $109,203,741 $152,766,919
============ ============

See Notes to Financial Statements.

------
30

MARCH 31, 2007
Select Bond High-Yield Bond

NET ASSETS CONSIST OF:

Capital paid in $117,973,786 $156,264,659

Undistributed net investment income 195,339 193,295

Accumulated net realized loss on investment transactions (8,502,110) (7,445,542)

Net unrealized appreciation (depreciation) on investments (463,274) 3,754,507
------------ ------------
$109,203,741 $152,766,919
============ ============

INVESTOR CLASS
Net assets $102,479 $299,196
Shares outstanding 10,833 41,521
Net asset value per share $9.46 $7.21

INSTITUTIONAL CLASS
Net assets $33,942,528 $127,865,499
Shares outstanding 3,588,142 17,744,520
Net asset value per share $9.46 $7.21

A CLASS
Net assets $66,781,053 $21,335,834
Shares outstanding 7,059,577 2,960,882
Net asset value per share $9.46 $7.21
Maximum offering price (net asset value divided by 0.955) $9.91 $7.55

B CLASS
Net assets $8,209,539 $3,134,187
Shares outstanding 867,961 435,194
Net asset value per share $9.46 $7.20

C CLASS
Net assets $139,330 $104,828
Shares outstanding 14,727 14,546
Net asset value per share $9.46 $7.21

R CLASS
Net assets $28,812 $27,375
Shares outstanding 3,046 3,799
Net asset value per share $9.46 $7.21

See Notes to Financial Statements.

------
31

STATEMENT OF OPERATIONS

YEAR ENDED MARCH 31, 2007
Select Bond High-Yield Bond
INVESTMENT INCOME (LOSS)

INCOME:

Interest $ 6,015,912 $10,973,956
----------- -----------

EXPENSES:

Management fees 654,118 1,026,925

Distribution fees:
B Class 65,790 27,473
C Class 560 499

Service fees:
B Class 21,930 9,158
C Class 187 166

Distribution and service fees:
A Class 189,039 58,542
R Class 134 128

Trustees' fees and expenses 4,030 4,998

Other expenses 1,362 443
----------- -----------
937,150 1,128,332

Amount waived (25,650) (115,251)
----------- -----------
911,500 1,013,081
----------- -----------

NET INVESTMENT INCOME (LOSS) 5,104,412 9,960,875
----------- -----------

REALIZED AND UNREALIZED GAIN (LOSS)

NET REALIZED GAIN (LOSS) ON:

Investment and foreign currency transactions (1,862,598) 337,593

Futures transactions 55,314 --
----------- -----------
(1,807,284) 337,593
----------- -----------

CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:

Investments and translation of assets and liabilities in foreign
currencies 3,355,643 4,205,432

Futures (91,593) --
----------- -----------
3,264,050 4,205,432
----------- -----------

NET REALIZED AND UNREALIZED GAIN (LOSS) 1,456,766 4,543,025
----------- -----------

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,561,178 $14,503,900
=========== ===========

See Notes to Financial Statements.

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32

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED MARCH 31, 2007 AND MARCH 31, 2006
Select Bond High-Yield Bond
Increase (Decrease) in Net
Assets 2007 2006 2007 2006

OPERATIONS

Net investment income (loss) $ 5,104,412 $ 7,380,295 $ 9,960,875 $ 9,859,652

Net realized gain (loss) (1,807,284) (4,467,337) 337,593 (3,067,724)

Change in net unrealized
appreciation (depreciation) 3,264,050 107,551 4,205,432 (203,372)
------------ ------------ ------------ ------------

Net increase (decrease) in
net assets resulting from
operations 6,561,178 3,020,509 14,503,900 6,588,556
------------ ------------ ------------ ------------

DISTRIBUTIONS TO SHAREHOLDERS

From net investment income:
Investor Class (2,333) -- (9,834) --
Institutional
Class (1,540,109) -- (8,227,506) --
A Class (3,290,481) (7,506,310) (1,509,725) (9,895,183)
B Class (323,490) (317,474) (208,448) (274,427)
C Class (2,514) (67,368) (3,774) (27,679)
R Class (1,077) -- (1,589) --
------------ ------------ ------------ ------------

Decrease in net assets from
distributions (5,160,004) (7,891,152) (9,960,876) (10,197,289)
------------ ------------ ------------ ------------

CAPITAL SHARE TRANSACTIONS

Net increase (decrease) in
net assets from capital share
transactions (24,651,321) (70,178,940) 1,935,749 (12,651,620)
------------ ------------ ------------ ------------

NET INCREASE (DECREASE) IN
NET ASSETS (23,250,147) (75,049,583) 6,478,773 (16,260,353)

NET ASSETS

Beginning of period 132,453,888 207,503,471 146,288,146 162,548,499
------------ ------------ ------------ ------------

End of period $109,203,741 $132,453,888 $152,766,919 $146,288,146
============ ============ ============ ============

Accumulated undistributed net
investment income (loss) $195,339 $(193,145) $193,295 $(89,648)
============ ============ ============ ============

See Notes to Financial Statements.

------
33

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. American Century-Mason Street Select Bond Fund
(Select Bond) and American Century-Mason Street High-Yield Bond Fund
(High-Yield Bond) (the funds) are two funds in a series issued by the
corporation. The funds are diversified under the 1940 Act. Select Bond's
investment objective is to seek high income and capital appreciation,
consistent with capital preservation. Select Bond invests primarily in
investment-grade debt securities with maturities exceeding one year.
High-Yield Bond's investment objective is to seek high current income and
capital appreciation. High-Yield Bond invests primarily in non-
investment-grade debt securities, which are subject to greater credit risk and
consequently offer higher yields. The following is a summary of the funds'
significant accounting policies.

MULTIPLE CLASS -- The funds are authorized to issue the Investor Class, the
Institutional Class, the A Class, the B Class, the C Class and the R Class.
The A Class may incur an initial sales charge. The A Class, B Class and C
Class may be subject to a contingent deferred sales charge. The share classes
differ principally in their respective sales charges and distribution and
shareholder servicing expenses and arrangements. All shares of each fund
represent an equal pro rata interest in the net assets of the class to which
such shares belong, and have identical voting, dividend, liquidation and other
rights and the same terms and conditions, except for class specific expenses
and exclusive rights to vote on matters affecting only individual classes.
Income, non-class specific expenses, and realized and unrealized capital gains
and losses of the funds are allocated to each class of shares based on their
relative net assets. Sale of the funds' Investor Class, Institutional Class, C
Class and R Class commenced on April 3, 2006.

INVESTMENT INCOME -- Interest income less foreign taxes withheld, if any, is
recorded on the accrual basis and includes paydown gain (loss) and accretion
of discounts and amortization of premiums.

------
34

FUTURES CONTRACTS -- The funds may enter into futures contracts in order to
manage the funds' exposure to changes in market conditions. One of the risks
of entering into futures contracts is the possibility that the change in value
of the contract may not correlate with the changes in value of the underlying
securities. Upon entering into a futures contract, the funds are required to
deposit either cash or securities in an amount equal to a certain percentage
of the contract value (initial margin). Subsequent payments (variation margin)
are made or received daily, in cash, by the funds. The variation margin is
equal to the daily change in the contract value and is recorded as unrealized
gains and losses. The funds recognize a realized gain or loss when the
contract is closed or expires. Net realized and unrealized gains or losses
occurring during the holding period of futures contracts are a component of
realized gain (loss) on futures transactions and unrealized appreciation
(depreciation) on futures, respectively.

REPURCHASE AGREEMENTS -- The funds may enter into repurchase agreements with
institutions that American Century Investment Management, Inc. (ACIM) (the
investment advisor) has determined are creditworthy pursuant to criteria
adopted by the Board of Trustees. Each repurchase agreement is recorded at
cost. Each fund requires that the collateral, represented by securities,
received in a repurchase transaction be transferred to the custodian in a
manner sufficient to enable each fund to obtain those securities in the event
of a default under the repurchase agreement. ACIM monitors, on a daily basis,
the securities transferred to ensure the value, including accrued interest, of
the securities under each repurchase agreement is equal to or greater than
amounts owed to each fund under each repurchase agreement.

INDEMNIFICATIONS -- Under the trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the funds. In addition, in the normal course of
business, the funds enter into contracts that provide general
indemnifications. The funds' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the
funds. The risk of material loss from such claims is considered by management
to be remote.

------
35

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
ACIM, under which ACIM provides the funds with investment advisory and
management services in exchange for a single, unified management fee (the
fee). The Agreement provides that all expenses of the funds, except brokerage
commissions, taxes, interest, fees and expenses of those trustees who are not
considered "interested persons" as defined in the 1940 Act (including counsel
fees) and extraordinary expenses, will be paid by ACIM. The fee is computed
and accrued daily based on the daily net assets of each specific class of
shares of each fund and paid monthly in arrears. The fee consists of (1) an
Investment Category Fee based on the daily net assets of the funds and certain
other accounts managed by the investment advisor that are in the same broad
investment category as each fund and (2) a Complex Fee based on the assets of
all the funds in the American Century family of funds. The rates for the
Investment Category Fee range from 0.2925% to 0.4100% for Select Bond and from
0.5425% to 0.6600% for High-Yield Bond. The rates for the Complex Fee
(Investor Class, A Class, B Class, C Class and R Class) range from 0.2500% to
0.3100%. The Institutional Class is 0.2000% less at each point within the
Complex Fee range. For the period from April 1, 2006 through July 31, 2006,
ACIM voluntarily agreed to waive 0.095% of its management fee for High-Yield
Bond. Effective August 1, 2006, ACIM voluntarily agreed to waive 0.071% of its
management fee for High-Yield Bond. The total amount of the waiver for the
year ended March 31, 2007, was $105, $93,324, $18,829, $2,923, $50 and $20 for
the Investor Class, Institutional Class, A Class, B Class, C Class and R
Class, respectively. The fee waiver may be revised or terminated at any time
without notice.

The effective annual management fee for each class of each fund for the year
ended March 31, 2007, was as follows:

Investor, A, B, C & R Institutional
Select Bond 0.62% 0.42%
High-Yield Bond (before waiver) 0.87% 0.67%
High-Yield Bond (after waiver) 0.79% 0.59%

ACIM has entered into a Subadvisory Agreement with Mason Street Advisors LLC
(Mason Street) on behalf of the funds. The subadvisor makes investment
decisions for the funds in accordance with the funds' investment objectives,
policies, and restrictions under the supervision of ACIM and the Board of
Trustees. ACIM pays all costs associated with retaining Mason Street as the
subadvisor of the funds.

DISTRIBUTION AND SERVICE FEES -- The Board of Trustees has adopted a separate
Master Distribution and Individual Shareholder Services Plan for each of the A
Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule
12b-1 of the 1940 Act. The plans provide that the B Class and C Class will pay
American Century Investment Services, Inc. (ACIS) an annual distribution fee
and service fee of 0.75% and 0.25%, respectively. The plans provide that the A
Class and the R Class will pay ACIS an annual distribution and service fee of
0.25% for the A Class and 0.50% for the R Class. The fees are computed and
accrued daily based on each class's daily net assets and paid monthly in
arrears. The distribution fee provides compensation for expenses incurred in
connection with distributing shares of the classes including, but not limited
to, payments to brokers, dealers, and financial institutions that have entered
into sales agreements with respect to shares of the funds. The service fee
provides compensation for individual shareholder services rendered by
broker/dealers or other independent financial intermediaries for A Class, B
Class, C Class and R Class shares. ACIM has agreed to voluntarily waive a
portion of its distribution and service fees through March 31, 2008, by 0.02%
and 0.12% for the A Class and B Class, respectively, of Select Bond. The total
amount of the waiver for the year ended March 31, 2007, was $15,123 and
$10,527 for the A Class and B Class, respectively. Fees incurred under the
plans during the year ended March 31, 2007, are detailed in the Statement of
Operations.

The funds have a bank line of credit agreement with JPMorgan Chase Bank
(JPMCB). JPMCB is a custodian of the funds and a wholly owned subsidiary of
JPMorgan Chase & Co. (JPM). JPM is an equity investor in ACC.

------
36

3. INVESTMENT TRANSACTIONS

Investment transactions, excluding short-term investments, for the year ended
March 31, 2007, were as follows:

Select Bond High-Yield Bond
PURCHASES

U.S. Treasury & Government Agency Obligations $138,073,214 --

Investment securities other than U.S. Treasury & Government Agency
Obligations $40,273,007 $118,078,243

PROCEEDS FROM SALES

U.S. Treasury & Government Agency Obligations $156,387,729 --

Investment securities other than U.S. Treasury & Government Agency
Obligations $42,441,951 $116,379,367

4. CAPITAL SHARE TRANSACTIONS

Transactions in shares of the funds were as follows (unlimited number of
shares authorized):

Select Bond
Year ended March 31, 2007(1) Year ended March 31, 2006
Shares Amount Shares Amount

INVESTOR CLASS N/A
Sold 10,589 $ 99,072
Issued in reinvestment of
distributions 244 2,295
----------- -------------
10,833 101,367
----------- -------------
INSTITUTIONAL CLASS N/A
Sold 3,423,279 31,964,191
Issued in reinvestment of
distributions 164,863 1,540,109
----------- -------------
3,588,142 33,504,300
----------- -------------
A CLASS
Sold 1,553,876 14,580,154 4,874,382 $ 46,966,237
Issued in reinvestment of
distributions 319,707 2,996,126 737,390 7,047,017
Redeemed (8,005,164) (74,708,637) (13,112,351) (124,042,033)
----------- ------------- ----------- -------------
(6,131,581) (57,132,357) (7,500,579) (70,028,779)
----------- ------------- ----------- -------------
B CLASS
Sold 45,005 425,746 126,300 1,204,767
Issued in reinvestment of
distributions 29,408 275,223 28,159 268,789
Redeemed (212,818) (1,990,778) (195,688) (1,866,380)
----------- ------------- ----------- -------------
(138,405) (1,289,809) (41,229) (392,824)
----------- ------------- ----------- -------------
C CLASS N/A
Sold 14,458 134,369
Issued in reinvestment of
distributions 269 2,514
----------- -------------
14,727 136,883
----------- -------------
C CLASS -- ACQUIRED FUND
(SEE NOTE 8) N/A
Sold 73,088 703,421
Issued in reinvestment of
distributions 6,755 64,456
Redeemed (55,129) (525,214)
----------- -------------
24,714 242,663
----------- -------------
R CLASS N/A
Sold 4,489 41,957
Issued in reinvestment of
distributions 112 1,053
Redeemed (1,555) (14,715)
----------- -------------
3,046 28,295
----------- -------------
Net increase (decrease) (2,653,238) $(24,651,321) (7,517,094) $(70,178,940)
=========== ============= =========== =============

(1) April 3, 2006 (commencement of sale) through March 31, 2007 for Investor
Class, Institutional Class, C Class and R Class.

------
37

High-Yield Bond
Year ended March 31, 2007(1) Year ended March 31, 2006
Shares Amount Shares Amount

INVESTOR CLASS N/A
Sold 46,821 $ 329,531
Issued in reinvestment of
distributions 1,367 9,777
Redeemed (6,667) (47,688)
------------ -------------
41,521 291,620
------------ -------------
INSTITUTIONAL CLASS N/A
Sold 16,575,523 116,357,372
Issued in reinvestment of
distributions 1,168,997 8,227,506
------------ -------------
17,744,520 124,584,878
------------ -------------
A CLASS
Sold 738,562 5,219,940 839,989 $ 5,904,266
Issued in reinvestment of
distributions 158,029 1,136,977 1,337,933 9,395,137
Redeemed (18,265,197) (128,220,528) (3,924,491) (27,331,381)
------------ ------------- ----------- -------------
(17,368,606) (121,863,611) (1,746,569) (12,031,978)
------------ ------------- ----------- -------------
B CLASS
Sold 29,791 208,698 33,194 233,387
Issued in reinvestment of
distributions 23,801 167,556 32,661 229,202
Redeemed (224,281) (1,580,291) (164,718) (1,153,601)
------------ ------------- ----------- -------------
(170,689) (1,204,037) (98,863) (691,012)
------------ ------------- ----------- -------------
C CLASS N/A
Sold 14,012 96,457
Issued in reinvestment of
distributions 534 3,774
------------ -------------
14,546 100,231
------------ -------------
C CLASS -- ACQUIRED FUND
(SEE NOTE 8) N/A
Sold 24,422 171,671
Issued in reinvestment of
distributions 3,794 26,612
Redeemed (18,175) (126,913)
----------- -------------
10,041 71,370
----------- -------------
R CLASS N/A
Sold 3,724 26,166
Issued in reinvestment of
distributions 225 1,589
Redeemed (150) (1,087)
------------ -------------
3,799 26,668
------------ -------------
Net increase (decrease) 265,091 $ 1,935,749 (1,835,391) $(12,651,620)
============ ============= =========== =============

(1) April 3, 2006 (commencement of sale) through March 31, 2007 for Investor
Class, Institutional Class, C Class and R Class.

5. BANK LINE OF CREDIT

6. RISK FACTORS

High-Yield Bond invests primarily in lower-rated debt securities, which are
subject to substantial risks including price volatility, liquidity risk, and
default risk.

------
38

7. FEDERAL TAX INFORMATION

The tax character of distributions paid during the years ended March 31, 2007
and March 31, 2006 were as follows:

Select Bond High-Yield Bond
2007 2006 2007 2006
DISTRIBUTIONS PAID FROM
Ordinary income $5,160,004 $7,891,152 $9,960,876 $10,197,289
Long-term capital gains -- -- -- --

The book-basis character of distributions made during the year from net
investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. These differences reflect
the differing character of paydown losses, certain income items and net
realized gains and losses for financial statement and tax purposes, and may
result in reclassification among certain capital accounts on the financial
statements. Reclassifications between income and realized gain in Select Bond
relate primarily to the character of paydown losses.

As of March 31, 2007, the components of distributable earnings on a tax-basis
and the federal tax cost of investments were as follows:

Select Bond High-Yield Bond

Federal tax cost of investments $115,114,042 $147,710,635
============ ============

Gross tax appreciation of investments $ 340,824 $4,198,079

Gross tax depreciation of investments (1,262,111) (641,963)
------------ ------------

Net tax appreciation (depreciation) of investments $ (921,287) $3,556,116
============ ============

Undistributed ordinary income $215,926 $193,295

Accumulated capital losses $(7,963,150) $(7,247,151)

Capital loss deferrals $(101,534) --

The difference between book-basis and tax-basis cost and unrealized
appreciation (depreciation) is attributable primarily to the tax deferral of
losses on wash sales and merger related cost adjustments.

2011 2012 2013 2014 2015
Select Bond -- -- $(244,518) $(4,029,895) $(3,688,737)
High-Yield Bond $(4,165,343) -- -- $(2,056,361) $(1,025,447)

The capital loss deferrals listed above represent net capital losses incurred
in the five-month period ended March 31, 2007. The funds have elected to treat
such losses as having been incurred in the following fiscal year for federal
income tax purposes.

------
39

8. REORGANIZATION PLAN

As of the close of business on March 31, 2006, Select Bond and High-Yield Bond
acquired all of the net assets of two funds issued by Mason Street Funds,
Inc., Mason Street Select Bond Fund (Mason Street Select) and Mason Street
High Yield Bond Fund (Mason Street High Yield), respectively, pursuant to a
plan of reorganization approved by the acquired funds' shareholders on March
23, 2006. The surviving funds for the purposes of maintaining the financial
statements and performance history in the post-reorganization period are Mason
Street Select and Mason Street High Yield. These funds were also reorganized
as funds issued by American Century Investment Trust.

Prior to the reorganization, Mason Street Select and Mason Street High Yield
had A Class, B Class and C Class shares. At the close of business and as a
result of the reorganization, A Class shares and B Class shares of the
acquired funds were converted to A Class shares and B Class shares,
respectively, of the surviving funds. C Class shares of the acquired funds
were converted to A Class shares of the surviving funds.

A Class, B Class and C Class net assets of Mason Street Select before the
reorganization were $121,068,940, $9,387,851 and $1,997,097, respectively.
Immediately after the reorganization, A Class, B Class and C Class net assets
of Select Bond were $123,066,037, $9,387,851 and $-, respectively.

A Class, B Class and C Class net assets of Mason Street High Yield before the
reorganization were $141,592,864, $4,231,440 and $463,842, respectively.
Immediately after the reorganization, A Class, B Class and C Class net assets
of High-Yield Bond were $142,056,706, $4,231,440 and $-, respectively.

9. RECENTLY ISSUED ACCOUNTING STANDARDS

------
40

FINANCIAL HIGHLIGHTS
Select Bond

Investor Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.33
------

Income From Investment Operations

Net Investment Income (Loss)(2) 0.41

Net Realized and Unrealized Gain (Loss) 0.14
------

Total From Investment Operations 0.55
------

Distributions

From Net Investment Income (0.42)
------

Net Asset Value, End of Period $9.46
======

TOTAL RETURN(3) 6.06%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.62%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets 4.52%(4)

Portfolio Turnover Rate 161%

Net Assets, End of Period (in thousands) $102

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

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41

Select Bond

Institutional Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.33
------

Income From Investment Operations

Net Investment Income (Loss)(2) 0.44

Net Realized and Unrealized Gain (Loss) 0.13
------

Total From Investment Operations 0.57
------

Distributions

From Net Investment Income (0.44)
------

Net Asset Value, End of Period $9.46
======

TOTAL RETURN(3) 6.27%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.42%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets 4.72%(4)

Portfolio Turnover Rate 161%

Net Assets, End of Period (in thousands) $33,943

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

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42

Select Bond

A Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.33 $9.56 $10.01 $9.98 $9.50
------ ------ ------ ------ ------

Income From Investment Operations

Net Investment Income
(Loss)(1) 0.41 0.35 0.32 0.31 0.41

Net Realized and
Unrealized Gain (Loss) 0.12 (0.21) (0.34) 0.32 0.82
------ ------ ------ ------ ------

Total From Investment
Operations 0.53 0.14 (0.02) 0.63 1.23
------ ------ ------ ------ ------

Distributions

From Net Investment
Income (0.40) (0.37) (0.36) (0.36) (0.45)

From Net Realized Gains -- -- (0.07) (0.24) (0.30)
------ ------ ------ ------ ------

Total Distributions (0.40) (0.37) (0.43) (0.60) (0.75)
------ ------ ------ ------ ------

Net Asset Value, End of Period $9.46 $9.33 $9.56 $10.01 $9.98
====== ====== ====== ====== ======

TOTAL RETURN(2) 5.86% 1.47% (0.27)% 6.50% 13.19%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 0.85%(3) 0.85%(4) 0.85%(4) 0.85%(4) 0.85%(4)

Ratio of Operating Expenses to
Average Net Assets (Before Expense
Waiver) 0.87% 0.86% 0.88% 0.93% 0.96%

Ratio of Net Investment Income
(Loss) to Average Net Assets 4.29%(3) 3.66%(4) 3.29%(4) 3.08%(4) 4.13%(4)

Ratio of Net Investment Income
(Loss) to Average Net Assets (Before
Expense Waiver) 4.27% 3.65% 3.26% 3.00% 4.02%

Portfolio Turnover Rate 161% 251%(5) 233% 168% 214%

Net Assets, End of Period (in
thousands) $66,781 $121,069 $195,684 $146,431 $107,953

(1) Computed using average shares outstanding throughout the period.

(2) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
The total return of the classes may not precisely reflect the class expense
differences because of the impact of calculating the net asset values to two
decimal places. If net asset values were calculated to three decimal places,
the total return differences would more closely reflect the class expense
differences. The calculation of net asset values to two decimal places is made
in accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(3) During the year ended March 31, 2007, the distributor voluntarily waived a
portion of its distribution and service fees.

(4) The investment advisor voluntarily agreed to waive fees and absorb certain
operating expenses.

(5) Portfolio turnover rate excludes the impact of mortgage dollar roll
transactions.

See Notes to Financial Statements.

------
43

Select Bond

B Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.33 $9.56 $10.01 $9.98 $9.50
------ ------ ------ ------ ------

Income From Investment Operations

Net Investment Income
(Loss)(1) 0.35 0.29 0.25 0.24 0.34

Net Realized and
Unrealized Gain (Loss) 0.12 (0.21) (0.35) 0.33 0.82
------ ------ ------ ------ ------

Total From Investment
Operations 0.47 0.08 (0.10) 0.57 1.16
------ ------ ------ ------ ------

Distributions

From Net Investment
Income (0.34) (0.31) (0.29) (0.30) (0.38)

From Net Realized Gains -- -- (0.06) (0.24) (0.30)
------ ------ ------ ------ ------

Total Distributions (0.34) (0.31) (0.35) (0.54) (0.68)
------ ------ ------ ------ ------

Net Asset Value, End of Period $9.46 $9.33 $9.56 $10.01 $9.98
====== ====== ====== ====== ======

TOTAL RETURN(2) 5.18% 0.82% (0.91)% 5.80% 12.46%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 1.50%(3) 1.50%(4) 1.50%(4) 1.50%(4) 1.50%(4)

Ratio of Operating Expenses to
Average Net Assets (Before Expense
Waiver) 1.62% 1.54% 1.55% 1.57% 1.61%

Ratio of Net Investment Income
(Loss) to Average Net Assets 3.64%(3) 2.99%(4) 2.64%(4) 2.44%(4) 3.41%(4)

Ratio of Net Investment Income
(Loss) to Average Net Assets (Before
Expense Waiver) 3.52% 2.95% 2.59% 2.37% 3.30%

Portfolio Turnover Rate 161% 251%(5) 233% 168% 214%

Net Assets, End of Period (in
thousands) $8,210 $9,388 $10,010 $11,353 $10,082

(1) Computed using average shares outstanding throughout the period.

(3) During the year ended March 31, 2007, the distributor voluntarily waived a
portion of its distribution and service fees.

(4) The investment advisor voluntarily agreed to waive fees and absorb certain
operating expenses.

(5) Portfolio turnover rate excludes the impact of mortgage dollar roll
transactions.

See Notes to Financial Statements.

------
44

Select Bond

C Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.33
------

Income From Investment Operations

Net Investment Income (Loss)(2) 0.32

Net Realized and Unrealized Gain (Loss) 0.14
------

Total From Investment Operations 0.46
------

Distributions

From Net Investment Income (0.33)
------

Net Asset Value, End of Period $9.46
======

TOTAL RETURN(3) 5.02%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.62%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets 3.52%(4)

Portfolio Turnover Rate 161%

Net Assets, End of Period (in thousands) $139

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
45

Select Bond

R Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $9.33
------

Income From Investment Operations

Net Investment Income (Loss)(2) 0.38

Net Realized and Unrealized Gain (Loss) 0.13
------

Total From Investment Operations 0.51
------

Distributions

From Net Investment Income (0.38)
------

Net Asset Value, End of Period $9.46
======

TOTAL RETURN(3) 5.54%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.12%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets 4.02%(4)

Portfolio Turnover Rate 161%

Net Assets, End of Period (in thousands) $29

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(4) Annualized.

See Notes to Financial Statements.

------
46

High-Yield Bond

Investor Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $7.02
------

Income From Investment Operations

Net Investment Income (Loss) 0.47

Net Realized and Unrealized Gain (Loss) 0.19
------

Total From Investment Operations 0.66
------

Distributions

From Net Investment Income (0.47)
------

Net Asset Value, End of Period $7.21
======

TOTAL RETURN(2) 9.73%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.79%(3)(4)

Ratio of Operating Expenses to Average Net Assets (Before Expense Waiver) 0.87%(3)

Ratio of Net Investment Income (Loss) to Average Net Assets 6.71%(3)(4)

Ratio of Net Investment Income (Loss) to Average Net Assets (Before Expense Waiver) 6.63%(3)

Portfolio Turnover Rate 86%

Net Assets, End of Period (in thousands) $299

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(3) Annualized.

(4) Effective April 3, 2006, the investment advisor voluntarily agreed to
waive of portion of its management fee.

See Notes to Financial Statements.

------
47

High-Yield Bond

Institutional Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $7.02
------

Income From Investment Operations

Net Investment Income (Loss) 0.48

Net Realized and Unrealized Gain (Loss) 0.19
------

Total From Investment Operations 0.67
------

Distributions

From Net Investment Income (0.48)
------

Net Asset Value, End of Period $7.21
======

TOTAL RETURN(2) 9.95%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 0.59%(3)(4)

Ratio of Operating Expenses to Average Net Assets (Before Expense Waiver) 0.67%(3)

Ratio of Net Investment Income (Loss) to Average Net Assets 6.91%(3)(4)

Ratio of Net Investment Income (Loss) to Average Net Assets (Before Expense Waiver) 6.83%(3)

Portfolio Turnover Rate 86%

Net Assets, End of Period (in thousands) $127,865

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(3) Annualized.

(4) Effective April 3, 2006, the investment advisor voluntarily agreed to
waive of portion of its management fee.

See Notes to Financial Statements.

------
48

High-Yield Bond

A Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value, Beginning of Period $6.99 $7.14 $7.13 $6.25 $6.79
------ ------ ------ ------ ------

Income From Investment Operations

Net Investment Income
(Loss) 0.45 0.45(1) 0.48(1) 0.50(1) 0.57(1)

Net Realized and
Unrealized Gain (Loss) 0.22 (0.14) 0.02 0.88 (0.53)
------ ------ ------ ------ ------

Total From Investment
Operations 0.67 0.31 0.50 1.38 0.04
------ ------ ------ ------ ------

Distributions

From Net Investment
Income (0.45) (0.46) (0.49) (0.50) (0.58)
------ ------ ------ ------ ------

Net Asset Value, End of Period $7.21 $6.99 $7.14 $7.13 $6.25
====== ====== ====== ====== ======

TOTAL RETURN(2) 9.99% 4.55% 7.16% 22.79% 1.15%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 1.04%(3) 1.26% 1.30%(4) 1.30%(4) 1.30%(4)

Ratio of Operating Expenses to
Average Net Assets (Before Expense
Waiver) 1.12% 1.26% 1.31% 1.35% 1.46%

Ratio of Net Investment Income
(Loss) to Average Net Assets 6.45%(3) 6.38% 6.70%(4) 7.29%(4) 9.24%(4)

Ratio of Net Investment Income
(Loss) to Average Net Assets (Before
Expense Waiver) 6.37% 6.38% 6.69% 7.24% 9.08%

Portfolio Turnover Rate 86% 116% 141% 199% 78%

Net Assets, End of Period (in
thousands) $21,336 $141,593 $157,118 $140,330 $107,051

(1) Computed using average shares outstanding throughout the period.

(3) Effective April 1, 2006, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) The investment advisor voluntarily agreed to waive fees and absorb certain
operating expenses.

See Notes to Financial Statements.

------
49

High-Yield Bond

B Class
For a Share Outstanding Throughout the Years Ended March 31
2007 2006 2005 2004 2003

PER-SHARE DATA

Net Asset Value, Beginning of Period $6.98 $7.13 $7.13 $6.24 $6.78
------- ------- ------- ------- -------

Income From Investment Operations

Net Investment Income
(Loss) 0.40 0.40(1) 0.43(1) 0.45(1) 0.53(1)

Net Realized and
Unrealized Gain (Loss) 0.22 (0.14) 0.01 0.90 (0.53)
------- ------- ------- ------- -------

Total From Investment
Operations 0.62 0.26 0.44 1.35 --
------- ------- ------- ------- -------

Distributions

From Net Investment
Income (0.40) (0.41) (0.44) (0.46) (0.54)
------- ------- ------- ------- -------

Net Asset Value, End of Period $7.20 $6.98 $7.13 $7.13 $6.24
======= ======= ======= ======= =======

TOTAL RETURN(2) 9.18% 3.84% 6.32% 22.19% 0.48%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to
Average Net Assets 1.79%(3) 1.95%(4) 1.95%(4) 1.95%(4) 1.95%(4)

Ratio of Operating Expenses to
Average Net Assets (Before Expense
Waiver) 1.87% 1.99% 1.99% 2.00% 2.11%

Ratio of Net Investment Income
(Loss) to Average Net Assets 5.70%(3) 5.69%(4) 6.06%(4) 6.63%(4) 8.64%(4)

Ratio of Net Investment Income
(Loss) to Average Net Assets (Before
Expense Waiver) 5.62% 5.65% 6.02% 6.58% 8.48%

Portfolio Turnover Rate 86% 116% 141% 199% 78%

Net Assets, End of Period (in
thousands) $3,134 $4,231 $5,028 $5,316 $4,243

(1) Computed using average shares outstanding throughout the period.

(3) Effective April 1, 2006, the investment advisor voluntarily agreed to
waive a portion of its management fee.

(4) The investment advisor voluntarily agreed to waive fees and absorb certain
operating expenses.

See Notes to Financial Statements.

------
50

High-Yield Bond

C Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $7.02
------

Income From Investment Operations

Net Investment Income (Loss) 0.40

Net Realized and Unrealized Gain (Loss) 0.19
------

Total From Investment Operations 0.59
------

Distributions

From Net Investment Income (0.40)
------

Net Asset Value, End of Period $7.21
======

TOTAL RETURN(2) 8.65%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.79%(3)(4)

Ratio of Operating Expenses to Average Net Assets (Before Expense Waiver) 1.87%(3)

Ratio of Net Investment Income (Loss) to Average Net Assets 5.71%(3)(4)

Ratio of Net Investment Income (Loss) to Average Net Assets (Before Expense Waiver) 5.63%(3)

Portfolio Turnover Rate 86%

Net Assets, End of Period (in thousands) $105

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(3) Annualized.

(4) Effective April 3, 2006, the investment advisor voluntarily agreed to
waive of portion of its management fee.

See Notes to Financial Statements.

------
51

High-Yield Bond

R Class
For a Share Outstanding Throughout the Period Indicated
2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period $7.02
------

Income From Investment Operations

Net Investment Income (Loss) 0.43

Net Realized and Unrealized Gain (Loss) 0.19
------

Total From Investment Operations 0.62
------

Distributions

From Net Investment Income (0.43)
------

Net Asset Value, End of Period $7.21
======

TOTAL RETURN(2) 9.19%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets 1.29%(3)(4)

Ratio of Operating Expenses to Average Net Assets (Before Expense Waiver) 1.37%(3)

Ratio of Net Investment Income (Loss) to Average Net Assets 6.21%(3)(4)

Ratio of Net Investment Income (Loss) to Average Net Assets (Before Expense Waiver) 6.13%(3)

Portfolio Turnover Rate 86%

Net Assets, End of Period (in thousands) $27

(1) April 3, 2006 (commencement of sale) through March 31, 2007.

(3) Annualized.

(4) Effective April 3, 2006, the investment advisor voluntarily agreed to
waive of portion of its management fee.

See Notes to Financial Statements.

------
52

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust and Shareholders
of the American Century-Mason Street Select Bond Fund
and the American Century-Mason Street High-Yield Bond Fund:

In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the American
Century-Mason Street Select Bond Fund and the American Century-Mason Street
High-Yield Bond Fund (two of the ten funds comprising the American Century
Investment Trust, hereafter referred to as the "Funds") at March 31, 2007, the
results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended
and the financial highlights for each of the periods presented, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements 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 are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at March 31, 2007 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 17, 2007

------
53

MANAGEMENT

INTERESTED TRUSTEE

INDEPENDENT TRUSTEES

------
54

------
55

OFFICERS

The SAI has additional information about the funds' trustees and is available
without charge, upon request, by calling 1-800-345-2021.

------
56

SHARE CLASS INFORMATION

Six classes of shares are authorized for sale by the funds: Investor Class,
Institutional Class, A Class, B Class, C Class and R Class. The total expense
ratio of Institutional Class shares is lower than that of Investor Class
shares. The total expense ratios of A Class, B Class, C Class and R Class
shares are higher than that of Investor Class shares. The funds are available
for purchase only through financial intermediaries by investors who seek
advice from them. The funds are closed to other investors, but those with open
accounts may make additional investments and reinvest dividends and capital
gains distributions as long as such accounts remain open.

A CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. A Class shares are sold at their offering price,
which is net asset value plus an initial sales charge that ranges from 5.75%
to 0.00% for equity funds, depending on the amount invested. The initial sales
charge is deducted from the purchase amount before it is invested. A Class
shares may be subject to a contingent deferred sales charge (CDSC). There is
no CDSC on shares acquired through reinvestment of dividends or capital gains.
The prospectus contains information regarding reductions and waivers of sales
charges for A Class shares. The unified management fee for A Class shares is
the same as for Investor Class shares. A Class shares also are subject to a
0.25% annual Rule 12b-1 distribution and service fee.

------
57

C CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. C Class shares redeemed within 12 months of purchase
are subject to a CDSC of 1.00%. There is no CDSC on shares acquired through
reinvestment of dividends or capital gains. The unified management fee for C
Class shares is the same as for Investor Class shares. C Class shares also are
subject to a Rule 12b-1 distribution and service fee of 1.00%.

All classes of shares represent a pro rata interest in the funds and generally
have the same rights and preferences.

------
58

ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION

PROXY VOTING GUIDELINES

QUARTERLY PORTFOLIO DISCLOSURE

------
59

INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as fund performance comparisons. They are not
investment products available for purchase.

The CITIGROUP US HIGH-YIELD MARKET INDEX captures the performance of
below-investment-grade debt issued by corporations domiciled in the United
States or Canada. This index includes cash-pay and deferred-interest
securities that are publicly placed, have a fixed coupon, and are
nonconvertible.

The CITIGROUP HIGH-YIELD CASH-PAY INDEX is composed of those cash-pay
securities included in the Citigroup US High-Yield Market Index with remaining
maturities of at least one year.

The LEHMAN BROTHERS U.S. AGGREGATE INDEX represents securities that are
taxable, registered with the Securities and Exchange Commission, and U.S.
dollar-denominated. The index covers the U.S. investment-grade fixed-rate bond
market, with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S. dollar-
denominated, non-investment grade, fixed-rate, taxable corporate bond market.

The LEHMAN BROTHERS U.S. INTERMEDIATE HIGH YIELD MARKET INDEX covers the U.S.
dollar-denominated universe of fixed-rate, non-investment-grade debt with
remaining maturities of less than 10 years.

------
60

[back cover]

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE:
1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

INVESTORS USING ADVISORS:
1-800-378-9878

BUSINESS, NOT-FOR-PROFIT,
EMPLOYER-SPONSORED RETIREMENT PLANS:
1-800-345-3533

BANKS AND TRUST COMPANIES, BROKER-DEALERS,
FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

American Century Investment Services, Inc., Distributor

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54186N

[front cover]

AMERICAN CENTURY INVESTMENTS
Annual Report March 31, 2007

[photo of spring]

NT Diversified Bond Fund

[american century investments logo and text logo]

OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century® NT Diversified Bond Fund from its inception, May 12, 2006, through
March 31, 2007. We've gathered this information to help you monitor your
investment. Another resource is our website, americancentury.com, where we
post company news, portfolio commentaries, investment views, and other
communications about portfolio strategy, personal finance, government policy,
and the markets.

[photo of James E. Stowers, Jr. and James E. Stowers III]

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER AND CO-CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

/s/James E. Stowers III
James E. Stowers III
VICE CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

TABLE OF CONTENTS

Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . . 2
U.S. Fixed-Income Total Returns. . . . . . . . . . . . . . . . . . . 2

NT DIVERSIFIED BOND

Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . . 4
Portfolio at a Glance. . . . . . . . . . . . . . . . . . . . . . . . 4
Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Types of Investments in Portfolio. . . . . . . . . . . . . . . . . . 5
Portfolio Composition by Credit Rating . . . . . . . . . . . . . . . 5
Shareholder Fee Example . . . . . . . . . . . . . . . . . . . . . . . 6
Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . 8

FINANCIAL STATEMENTS

Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 17
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 18
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . 19
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 20
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . 25
Report of Independent Registered Public Accounting Firm . . . . . . . 26

OTHER INFORMATION

Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
Additional Information. . . . . . . . . . . . . . . . . . . . . . . . 30
Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . 31

MARKET PERSPECTIVE

[photo of cio]

By David MacEwen, Chief Investment Officer, Fixed Income

FED PAUSE TRIGGERED BOND RALLY

U.S. bonds mostly rallied during the reporting period, May 12, 2006 (the
inception date for American Century's NT tracker funds) through March 31,
2007. The rally followed the Federal Reserve's (the Fed's) decision in August
2006 to stop raising short-term interest rates, its first pause after 17
increases since June 2004. The change came in the face of falling energy
prices, a weakening economy, and expectations for longer-term inflation
containment.

During the reporting period, U.S. gross domestic product growth slowed to an
annual rate below 2.5%, less than the 3-4% rate of the past several calendar
years. Meanwhile, near-term inflation worries flared as the trailing 12-month
percentage change in core consumer prices (without volatile food and energy
prices) lingered at five-year highs. But forecasts of moderate economic growth
ahead limited longer-term inflation fears, and equity market volatility in the
first quarter of 2007 boosted bond demand and helped push down yields.

TREASURY YIELD CURVE FELL AND FLATTENED

The Treasury yield curve was relatively "flat" at the start of the reporting
period, with just a 19-basis-point difference between the 5.01% two-year
Treasury yield and the 5.20% 10-year yield (one basis point equals 0.01
percentage point). The curve flattened further as the two-year yield fell more
than the 10-year, finishing with just a seven-basis-point difference between
the 4.58% two-year note and the 4.65% 10-year note.

LONG-MATURITY, CORPORATE, AND MBS OUTPERFORMED

Corporate and long-term bonds generally delivered the strongest results of the
period as moderate-soft economic conditions, the flat Treasury yield curve,
and a relatively low yield environment guided investors to higher-risk,
higher-yielding securities. Mortgage-backed securities (MBS) also outperformed
the broad market. Inflation-linked securities also underperformed, reflecting
market and Fed beliefs that longer-term inflation pressures would remain
contained.

U.S. Fixed-Income Total Returns
From May 12, 2006 (fund inception) to March 31, 2007*

TREASURY SECURITIES
3-Month Bill 4.56%
2-Year Note 4.76%
5-Year Note 6.24%
10-Year Note 8.14%
30-Year Bond 11.47%

LEHMAN BROTHERS U.S. BOND MARKET INDICES
Corporate High-Yield 10.55%
Corporate (investment-grade) 8.06%
Fixed-Rate Mortgage-Backed 7.54%
Aggregate (multi-sector) 7.32%
Treasury 6.84%
Agency 6.44%
Treasury Inflation-Protected (TIPS) 5.65%

*Total returns for periods less than one year are not annualized.

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2

PERFORMANCE
NT Diversified Bond

Total Returns as of March 31, 2007
Since Inception(1) Inception Date

INSTITUTIONAL CLASS 6.96% 5/12/06

CITIGROUP US BROAD INVESTMENT-GRADE BOND INDEX(2) 7.37% --

LEHMAN BROTHERS U.S. AGGREGATE INDEX 7.32% --

(1) Total returns for periods less than one year are not annualized.

(2) In September of 2006, the fund's benchmark changed from the Lehman
Brothers U.S. Aggregate Index to the Citigroup US Broad Investment-Grade Bond
Index. The fund's investment advisor believes this index better represents the
fund's portfolio composition.

Growth of $10,000 Over Life of Class

$10,000 investment made May 12, 2006

*From 5/12/06, the Institutional Class's inception date. Not annualized.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline.

Data assumes reinvestment of dividends and capital gains, and none of the
charts reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. Returns for the indices are
provided for comparison. The fund's total returns include operating expenses
(such as transaction costs and management fees) that reduce returns, while the
total returns of the indices do not.


------
3


PORTFOLIO COMMENTARY
NT Diversified Bond

Portfolio Managers: Dave MacEwen, Bob Gahagan, Jim Keegan, Jeff Houston, Hando
Aguilar, Brian Howell, John Walsh, and Dan Shiffman

PERFORMANCE SUMMARY

NT Diversified Bond returned 6.96%* from its inception on May 12, 2006,
through March 31, 2007. By comparison, two broad indices representing the
taxable investment-grade U.S. bond market -- the Citigroup US Broad
Investment-Grade (BIG) Bond Index and the Lehman Brothers U.S. Aggregate Index
-- returned 7.37% and 7.32%, respectively, for the same period. The
portfolio's results reflected fund operating expenses, while the indices do
not have expenses.

The Federal Reserve's (the Fed's) interest-rate pause and a strong bond rally
that began in the third quarter of 2006 boosted all sectors of the taxable
investment-grade U.S. bond market. The portfolio's sector allocation was the
largest positive contributor to its performance versus the comparative indices.

SECTOR COMPOSITION OF THE PORTFOLIO AND THE INDICES

The market represented by the Citigroup BIG and the Lehman Aggregate consists
primarily of three bond sectors: fixed-rate mortgage-backed securities (MBS),
Treasury securities, and corporate bonds. MBS are part of a broader
"securitized" sector that includes asset-backed securities (ABS), which are
backed by payments from credit card debt, auto loans, and home equity lines of
credit; and commercial mortgage-backed securities (CMBS). This sector
represents over 40% of the taxable investment-grade market. Treasury and
corporate securities, by contrast, each represent approximately 20-25% of the
market, depending on what source you use and how you define the sectors. NT
Diversified Bond's market exposure is based on the Citigroup BIG.

Throughout the reporting period, we tended to maintain an overweight position
in the securitized sector because we anticipated that it would have higher
excess returns than the Treasury sector and less event risk than the corporate
sector. Mortgage-backed securities were among the top performers.

PORTFOLIO POSITIONING

Our strategy to hold overweight positions in "spread product" (non-Treasury
securities such as corporates, MBS, ABS, and CMBS) enhanced performance as
spreads tightened to near-historic levels. Specifically, the fund's holdings
in collateralized mortgage obligations and conventional mortgage-backed
securities (such as Fannie Maes and Freddie Macs) benefited results.

Throughout the period, we maintained an underweight corporate position as a
means of protecting the fund from so-called event and "idiosyncratic" risks
(such as leveraged buyouts, share buybacks, and special dividends). Although
corporates performed well, the portfolio benefited from our reallocation of
those assets into CMBS, which also outperformed.

Portfolio at a Glance
                                               As of 3/31/07

Average Duration (effective)                     4.6 years
Average Life                                     6.6 years

Yields as of March 31, 2007

30-day SEC Yield

Institutional Class                               4.72%

*Total returns for periods less than one year are not annualized.


------
4


NT Diversified Bond

Our overweight position in Treasury Inflation-Protected Securities (TIPS) was
a slight drag on overall results. With long-term inflation appearing contained
for much of the reporting period, TIPS underperformed the conventional
Treasury market. However, when energy prices surged in early 2007, TIPS
offered stronger results than almost any other sector of the bond market.

Until the beginning of 2007, the portfolio benefited little from a yield
curve-steepening bias that we put in place using two-year and 10-year Treasury
futures. For most of the reporting period, the Treasury yield curve was either
flat or inverted (meaning that yields on short-term Treasurys were higher than
those of longer-term Treasurys). It didn't steepen significantly until the
first quarter of 2007.

STARTING POINT FOR NEXT REPORTING PERIOD

"We have begun to reduce the portfolio's exposure to spread product," says
portfolio manager, Dave MacEwen. "Spreads are historically tight, and we
believe that risk has been mispriced in the market." Given the apparent
slowing economy, low risk premiums and tight valuations, we plan to keep our
underweight position in corporates. As of March 31, 2007, we continued to see
potential in our yield-curve positioning and sector allocation, and we expect
to maintain our TIPS exposure as long as core inflation stays elevated above
the Fed's 1-2% comfort zone.

Types of Investments in Portfolio
                                                                     % of fund          % of fund
                                                                    investments        investments
                                                                       as of              as of
                                                                      3/31/07            9/30/06

Mortgage-Backed Securities                                             23.3%              26.0%
U.S. Treasury Securities                                               15.6%              11.4%
CMOs                                                                   10.8%              13.3%
U.S. Government Agency Securities                                      10.7%              15.8%
Corporate Bonds                                                        9.7%               13.4%
Asset-Backed Securities                                                4.3%                9.0%
Sovereign Governments & Agencies                                       1.5%                0.4%
Municipal Securities                                                   0.1%                1.4%
Temporary Cash Investments                                             8.1%                9.3%
Temporary Cash Investments -- Securities Lending Collateral            15.9%                --

Portfolio Composition by Credit Rating
                                                                     % of fund          % of fund
                                                                    investments        investments
                                                                       as of              as of
                                                                      3/31/07            9/30/06

AAA                                                                     87%                83%
AA                                                                      3%                  3%
A                                                                       4%                  6%
BBB                                                                     6%                  8%


------
5


SHAREHOLDER FEE EXAMPLE (UNAUDITED)

Fund shareholders may incur two types of costs: (1) transaction costs,
including sales charges (loads) on purchase payments and redemption/exchange
fees; and (2) ongoing costs, including management fees; distribution and
service (12b-1) fees; and other fund expenses. This example is intended to
help you understand your ongoing costs (in dollars) of investing in your fund
and to compare these costs with the ongoing cost of investing in other mutual
funds.

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007.

ACTUAL EXPENSES

The table provides information about actual account values and actual expenses
for each class. You may use the information, together with the amount you
invested, to estimate the expenses that you paid over the period. First,
identify the share class you own. Then simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number under the heading "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.

If you hold Investor Class shares of any American Century fund, or
Institutional Class shares of the American Century Diversified Bond Fund, in
an American Century account (i.e., not a financial intermediary or retirement
plan account), American Century may charge you a $12.50 semiannual account
maintenance fee if the value of those shares is less than $10,000. We will
redeem shares automatically in one of your accounts to pay the $12.50 fee. In
determining your total eligible investment amount, we will include your
investments in all PERSONAL ACCOUNTS (including American Century Brokerage
accounts) registered under your Social Security number. PERSONAL ACCOUNTS
include individual accounts, joint accounts, UGMA/UTMA accounts, personal
trusts, Coverdell Education Savings Accounts and IRAs (including traditional,
Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement
accounts. If you have only business, business retirement, employer-sponsored
or American Century Brokerage accounts, you are currently not subject to this
fee. We will not charge the fee as long as you choose to manage your accounts
exclusively online. If you are subject to the Account Maintenance Fee, your
account value could be reduced by the fee amount.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The table also provides information about hypothetical account values and
hypothetical expenses based on the actual expense ratio of each class of your
fund and an assumed rate of return of 5% per year before expenses, which is
not the actual return of a fund's share class. The hypothetical account values
and expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in your fund and other funds. To do so, compare
this 5% hypothetical example with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption/exchange fees. Therefore, the table is useful in
comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transactional
costs were included, your costs would have been higher.


------
6


NT Diversified Bond -- Institutional Class Shareholder Fee Example
                           Beginning             Ending              Expenses Paid
                         Account Value        Account Value         During Period*            Annualized
                            10/1/06              3/31/07           10/1/06 - 3/31/07        Expense Ratio*

Actual                      $1,000              $1,026.50                $2.12                  0.42%
Hypothetical                $1,000              $1,022.84                $2.12                  0.42%

*Expenses are equal to the class's annualized expense ratio listed in the
table above, multiplied by the average account value over the period,
multiplied by 182, the number of days in the most recent fiscal half-year,
divided by 365, to reflect the one-half year period.


------
7


SCHEDULE OF INVESTMENTS
NT Diversified Bond

MARCH 31, 2007

Principal Amount                                                                                        Value

U.S. Government Agency Mortgage-Backed Securities(1) -- 35.1%

             $ 1,791  FHLMC, 6.50%, 2/1/09(2)                                                          $1,813
               2,543  FHLMC, 6.50%, 12/1/12(2)                                                          2,605
              25,275  FHLMC, 6.00%, 1/1/13(2)                                                          25,757
               4,437  FHLMC, 7.00%, 11/1/13(2)                                                          4,573
               7,572  FHLMC, 7.00%, 6/1/14(2)                                                           7,819
              14,561  FHLMC, 6.50%, 6/1/16(2)                                                          14,928
              24,921  FHLMC, 6.50%, 6/1/16(2)                                                          25,549
             316,541  FHLMC, 5.00%, 11/1/17(2)                                                        313,231
             520,653  FHLMC, 4.50%, 1/1/19(2)                                                         505,608
           1,896,145  FHLMC, 5.00%, 1/1/21(2)                                                       1,871,370
               2,671  FHLMC, 7.00%, 9/1/27(2)                                                           2,780
               4,403  FHLMC, 6.50%, 1/1/28(2)                                                           4,543
                 673  FHLMC, 7.00%, 2/1/28(2)                                                             700
              25,342  FHLMC, 6.50%, 3/1/29(2)                                                          26,148
              16,467  FHLMC, 6.50%, 6/1/29(2)                                                          16,981
               2,571  FHLMC, 7.00%, 8/1/29(2)                                                           2,676
               8,005  FHLMC, 7.50%, 8/1/29(2)                                                           8,390
              17,246  FHLMC, 6.50%, 5/1/31(2)                                                          17,762
                 327  FHLMC, 6.50%, 5/1/31(2)                                                             337
                 478  FHLMC, 6.50%, 6/1/31(2)                                                             492
               9,469  FHLMC, 6.50%, 6/1/31(2)                                                           9,752
               1,126  FHLMC, 6.50%, 6/1/31(2)                                                           1,160
                 453  FHLMC, 6.50%, 6/1/31(2)                                                             466
             315,071  FHLMC, 5.50%, 12/1/33(2)                                                        312,602
           7,776,000  FNMA, 5.50%, settlement date 4/12/07(3)                                       7,695,813
           9,506,354  FNMA, 6.00%, settlement date 4/12/07(3)                                       9,577,651
           5,000,000  FNMA, 6.50%, settlement date 4/12/07(3)                                       5,101,559
               4,555  FNMA, 6.00%, 2/1/09(2)                                                            4,584
               3,110  FNMA, 6.00%, 5/1/13(2)                                                            3,169
               2,248  FNMA, 6.00%, 5/1/13(2)                                                            2,288
               9,550  FNMA, 6.00%, 7/1/13(2)                                                            9,732
              13,489  FNMA, 6.00%, 12/1/13(2)                                                          13,746
              11,380  FNMA, 6.00%, 1/1/14(2)                                                           11,597
              19,502  FNMA, 6.00%, 2/1/14(2)                                                           19,873
              20,592  FNMA, 6.00%, 4/1/14(2)                                                           20,984
              76,983  FNMA, 5.50%, 12/1/16(2)                                                          77,453
             146,030  FNMA, 5.50%, 12/1/16(2)                                                         146,922
             523,949  FNMA, 4.50%, 5/1/19(2)                                                          508,095
              13,919  FNMA, 6.50%, 1/1/26(2)                                                           14,288

Principal Amount                                                                                        Value

             $ 1,679  FNMA, 7.00%, 12/1/27(2)                                                          $1,750
                 757  FNMA, 6.50%, 1/1/28(2)                                                              782
                 719  FNMA, 7.00%, 1/1/28(2)                                                              749
               4,020  FNMA, 7.50%, 4/1/28(2)                                                            4,218
              13,407  FNMA, 7.00%, 5/1/28(2)                                                           13,977
                 825  FNMA, 7.00%, 6/1/28(2)                                                              861
               3,363  FNMA, 6.50%, 1/1/29(2)                                                            3,471
               8,829  FNMA, 6.50%, 4/1/29(2)                                                            9,107
               4,961  FNMA, 7.00%, 7/1/29(2)                                                            5,172
               4,019  FNMA, 7.00%, 7/1/29(2)                                                            4,190
              12,557  FNMA, 7.50%, 7/1/29(2)                                                           13,167
               1,255  FNMA, 7.00%, 5/1/30(2)                                                            1,312
              17,056  FNMA, 7.50%, 8/1/30(2)                                                           17,856
               6,996  FNMA, 7.50%, 9/1/30(2)                                                            7,324
              35,267  FNMA, 7.00%, 9/1/31(2)                                                           36,765
              19,495  FNMA, 6.50%, 1/1/32(2)                                                           20,086
             179,517  FNMA, 7.00%, 6/1/32(2)                                                          187,127
              76,420  FNMA, 6.50%, 8/1/32(2)                                                           78,738
             416,504  FNMA, 5.50%, 6/1/33(2)                                                          413,221
           2,056,591  FNMA, 5.50%, 7/1/33(2)                                                        2,040,381
             349,686  FNMA, 5.50%, 8/1/33(2)                                                          346,929
             448,928  FNMA, 5.50%, 9/1/33(2)                                                          445,389
           3,216,413  FNMA, 5.00%, 11/1/33(2)                                                       3,116,746
             923,038  FNMA, 5.50%, 1/1/34(2)                                                          915,763
           2,225,000  FNMA, 5.00%, 8/1/35(2)                                                        2,152,556
           2,302,811  FNMA, 4.50%, 9/1/35(2)                                                        2,165,907
           1,306,551  FNMA, 5.00%, 2/1/36(2)                                                        1,264,008
               5,171  GNMA, 7.50%, 8/20/17(2)                                                           5,347
               7,511  GNMA, 7.00%, 11/15/22(2)                                                          7,845
               6,800  GNMA, 8.75%, 3/15/25(2)                                                           7,330
               1,781  GNMA, 7.00%, 4/20/26(2)                                                           1,858
               3,565  GNMA, 7.50%, 8/15/26(2)                                                           3,726
               1,713  GNMA, 8.00%, 8/15/26(2)                                                           1,819
                 275  GNMA, 7.50%, 4/15/27(2)                                                             287
               4,072  GNMA, 7.50%, 5/15/27(2)                                                           4,257
               2,595  GNMA, 8.00%, 6/15/27(2)                                                           2,754
                 272  GNMA, 7.50%, 11/15/27(2)                                                            285
               1,265  GNMA, 7.00%, 2/15/28(2)                                                           1,324
               3,205  GNMA, 7.50%, 2/15/28(2)                                                           3,349
               1,890  GNMA, 6.50%, 3/15/28(2)                                                           1,947
               2,701  GNMA, 7.00%, 4/15/28(2)                                                           2,826
               1,616  GNMA, 6.50%, 5/15/28(2)                                                           1,665
               6,339  GNMA, 6.50%, 5/15/28(2)                                                           6,530
               2,126  GNMA, 7.00%, 12/15/28(2)                                                          2,224


------
8


NT Diversified Bond

Principal Amount                                                                                        Value

                $728  GNMA, 8.00%, 12/15/29(2)                                                           $773
              18,110  GNMA, 7.00%, 5/15/31(2)                                                          18,943
                                                                                               --------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Cost $39,524,547)                                                                                 39,728,437
                                                                                               --------------

U.S. Treasury Securities -- 23.4%

           1,160,000  U.S. Treasury Bonds, 8.125%, 8/15/21(2)                                       1,544,069
           1,383,000  U.S. Treasury Bonds, 7.125%, 2/15/23(2)                                       1,717,405
           2,149,000  U.S. Treasury Bonds, 6.125%, 11/15/27(2)(4)                                   2,481,760
             336,000  U.S. Treasury Bonds, 6.25%, 5/15/30(2)(4)                                       398,187
             833,000  U.S. Treasury Bonds, 4.50%, 2/15/36(2)(4)                                       785,624
           2,710,535  U.S. Treasury Inflation Indexed Notes, 2.375%, 1/15/17(2)                     2,751,512
           5,287,000  U.S. Treasury Notes, 4.625%, 10/31/11(2)(4)                                   5,306,005
           7,950,000  U.S. Treasury Notes, 4.625%, 2/29/12(2)(4)                                    7,981,991
           1,700,000  U.S. Treasury Notes, 4.25%, 8/15/14(2)(4)                                     1,662,348
           1,416,000  U.S. Treasury Notes, 4.875%, 8/15/16(2)(4)                                    1,438,900
             500,000  U.S. Treasury Notes, 4.625%, 11/15/16(2)(4)                                     498,692
                                                                                               --------------
TOTAL U.S. TREASURY SECURITIES
(Cost $26,278,267)                                                                                 26,566,493
                                                                                               --------------

Collateralized Mortgage Obligations(1) -- 16.1%

           2,284,002  Banc of America Commercial Mortgage Inc. STRIPS - COUPON,
                      Series 2004-1, Class XP, VRN, 0.80%, 4/1/07(2)                                   47,187
             950,000  Banc of America Commercial Mortgage Inc., Series 2002 PB2,
                      Class B SEQ, 6.31%, 6/11/35(2)                                                  996,887
             600,000  Banc of America Commercial Mortgage Inc., Series 2004-2,
                      Class A3 SEQ, 4.05%, 11/10/38(2)                                                582,047
             526,259  Banc of America Commercial Mortgage Inc., Series 2004-3,
                      Class A2 SEQ, 4.35%, 6/10/39(2)                                                 521,030
           1,700,000  Banc of America Commercial Mortgage Inc., Series 2006-6,
                      Class A3 SEQ, 5.37%, 12/10/16(2)                                              1,706,147

Principal Amount                                                                                        Value

           $ 293,713  Banc of America Large Loan, Series 2005 MIB1, Class A1, VRN,
                      5.47%, 4/15/07, resets monthly off the 1-month LIBOR plus
                      0.15% with no caps (Acquired 5/12/06, Cost $293,825)(2)(5)                     $293,905
           3,415,387  Bear Stearns Commercial Mortgage Securities Trust STRIPS -
                      COUPON, Series 2004 T16, Class X2, VRN, 0.93%, 4/1/07(2)                        102,356
             550,000  Bear Stearns Commercial Mortgage Securities Trust, Series
                      2006 BBA7, Class A1, VRN, 5.43%, 4/16/07, resets monthly off
                      the 1-month LIBOR plus 0.11% with no caps (Acquired 6/5/06,
                      Cost $550,000)(2)(5)                                                            550,341
           1,200,000  Bear Stearns Commercial Mortgage Securities Trust, Series
                      2006 PW14, Class A4 SEQ, 5.20%, 12/1/38(2)                                    1,183,914
           1,904,518  Commercial Mortgage Acceptance Corp. STRIPS - COUPON, Series
                      1998 C2, Class X, VRN, 1.11%, 4/1/07(2)                                          45,823
              59,057  Commercial Mortgage Pass-Through Certificates, Series 2005
                      F10A, Class A1, VRN, 5.42%, 4/15/07, resets monthly off the
                      1-month LIBOR plus 0.10% with no caps (Acquired 5/12/06, Cost
                      $59,100)(2)(5)                                                                   59,094
              77,293  Commercial Mortgage Pass-Through Certificates, Series 2005
                      FL11, Class A1, VRN, 5.47%, 4/16/07, resets monthly off the
                      1-month LIBOR plus 0.15% with no caps (Acquired 5/12/06, Cost
                      $77,340)(2)(5)                                                                   77,353
             789,807  FHLMC, Series 2567, Class OD, 5.00%, 8/15/15(2)                                 786,163
             594,562  FHLMC, Series 2900, Class PA, 4.50%, 3/15/14(2)                                 590,280
             304,839  FHLMC, Series 2937, Class KA, 4.50%, 12/15/14(2)                                302,580
               3,973  FNMA, Series 1989-35, Class G SEQ, 9.50%, 7/25/19(2)                              4,245
             688,000  FNMA, Series 2003-92, Class PD, 4.50%, 3/25/17(2)                               674,713
           1,302,904  FNMA, Series 2005-63, Class HA SEQ, 5.00%, 4/25/23(2)                         1,293,146


------
9


NT Diversified Bond

Principal Amount                                                                                        Value

           $ 796,000  GMAC Commercial Mortgage Securities, Inc., Series 2005 C1,
                      Class A2 SEQ, 4.47%, 5/10/43(2)                                                $783,125
           1,437,401  Greenwich Capital Commercial Funding Corp., Series 2006 FL4A,
                      Class A1, VRN, 5.41%, 4/5/07, resets monthly off the 1-month
                      LIBOR plus 0.09% with no caps (Acquired 12/14/06, Cost
                      $1,437,401)(2)(5)                                                             1,438,294
           1,165,000  LB-UBS Commercial Mortgage Trust, Series 2003 C5, Class A2
                      SEQ, 3.48%, 7/15/27(2)                                                        1,141,065
             700,000  LB-UBS Commercial Mortgage Trust, Series 2005 C2, Class A2
                      SEQ, 4.82%, 4/15/30(2)                                                          695,630
             671,000  LB-UBS Commercial Mortgage Trust, Series 2005 C3, Class A3
                      SEQ, 4.65%, 7/30/30(2)                                                          658,663
              34,627  Lehman Brothers Floating Rate Commercial Mortgage Trust,
                      Series 2005 LLFA, Class A1, VRN, 5.42%, 4/15/07, resets
                      monthly off the 1-month LIBOR plus 0.10% with no caps
                      (Acquired 5/12/06, Cost $34,648)(2)(5)                                           34,649
             207,075  Lehman Brothers Floating Rate Commercial Mortgage Trust,
                      Series 2006 LLFA, Class A1, VRN, 5.40%, 4/16/07, resets
                      monthly off the 1-month LIBOR plus 0.08% with no caps
                      (Acquired 8/7/06, Cost $207,075)(2)(5)                                          207,204
              22,945  MASTR Alternative Loans Trust, Series 2003-8, Class 4A1,
                      7.00%, 12/25/33(2)                                                               23,772
             355,806  Merrill Lynch Floating Trust, Series 2006-1, Class A1, VRN,
                      5.39%, 4/15/07, resets monthly off the 1-month LIBOR plus
                      0.07% with no caps (Acquired 10/31/06, Cost $355,806)(2)(5)                     356,026
              48,068  Morgan Stanley Capital I, Series 2006 XLF, Class A1, VRN,
                      5.41%, 4/16/07, resets monthly off the 1-month LIBOR plus
                      0.09% with no caps (Acquired 7/28/06, Cost $48,068)(2)(5)                        48,099
             352,436  Thornburg Mortgage Securities Trust, Series 2006-5, Class A1,
                      VRN, 5.44%, 4/25/07, resets monthly off the 1-month LIBOR
                      plus 0.12% with no caps(2)                                                      352,110

Principal Amount                                                                                        Value

           $ 261,000  Wachovia Bank Commercial Mortgage Trust, Series 2006 C23,
                      Class A4, 5.42%, 1/15/45(2)                                                    $261,967
             275,000  Washington Mutual, Inc., Series 2005 AR4, Class A3, 4.59%,
                      4/25/35(2)                                                                      270,913
           1,642,000  Washington Mutual, Inc., Series 2005 AR4, Class A4B, VRN,
                      4.68%, 4/25/35(2)                                                             1,621,246
             600,000  Wells Fargo Mortgage Backed Securities Trust, Series 2004 N,
                      Class A4, 4.10%, 12/23/08(2)                                                    590,151
                                                                                               --------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $18,240,378)                                                                                 18,300,125
                                                                                               --------------

U.S. Government Agency Securities -- 16.1%

             750,000  FHLB, 4.875%, 8/22/07(2)                                                        748,947
             912,000  FHLB, 4.625%, 2/1/08(2)                                                         908,451
           1,055,000  FHLB, 5.125%, 9/29/10(2)                                                      1,065,052
           3,148,000  FHLMC, 5.00%, 9/16/08(2)(4)                                                   3,152,989
           2,200,000  FHLMC, 5.75%, 1/15/12(2)(4)                                                   2,286,059
             690,000  FHLMC, 4.75%, 1/19/16(2)                                                        679,760
           3,027,000  FNMA, 4.75%, 8/3/07(2)                                                        3,021,945
           3,000,000  FNMA, 6.625%, 9/15/09(2)                                                      3,123,210
             639,000  FNMA, 4.375%, 7/17/13(2)                                                        619,738
           1,907,000  FNMA, 5.80%, 2/9/26(2)                                                        1,908,875
             597,000  FNMA, 6.625%, 11/15/30(2)                                                       705,975
                                                                                               --------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $18,054,576)                                                                                 18,221,001
                                                                                               --------------

Corporate Bonds -- 14.5%

AEROSPACE & DEFENSE -- 0.7%
             220,000  Honeywell International Inc., 5.30%, 3/15/17(2)(4)                              217,900
             169,000  Lockheed Martin Corp., 6.15%, 9/1/36(2)                                         175,944
             197,000  United Technologies Corp., 4.375%, 5/1/10(2)                                    193,622
             230,000  United Technologies Corp., 6.05%, 6/1/36(2)                                     236,484
                                                                                               --------------
                                                                                                      823,950
                                                                                               --------------
BEVERAGES -- 0.4%
             207,000  Miller Brewing Co., 4.25%, 8/15/08 (Acquired 5/12/06 -
                      12/4/06, Cost $202,072)(2)(5)                                                   203,923
             240,000  SABMiller plc, 6.20%, 7/1/11 (Acquired 6/27/06, Cost
                      $239,830)(2)(5)                                                                 248,040
                                                                                               --------------
                                                                                                      451,963
                                                                                               --------------


------
10


NT Diversified Bond

Principal Amount                                                                                        Value

BIOTECHNOLOGY -- 0.1%

           $ 171,000  Genentech, Inc., 4.75%, 7/15/15(2)                                            $ 164,693
                                                                                               --------------
BUILDING PRODUCTS(6)
              40,000  Masco Corp., 5.85%, 3/15/17                                                      39,421
                                                                                               --------------
CAPITAL MARKETS -- 0.7%
             248,000  Lehman Brothers Holdings Inc., 5.00%, 1/14/11(2)(4)                             246,121
             124,000  Merrill Lynch & Co., Inc., 4.25%, 2/8/10(2)(4)                                  121,065
             292,000  Merrill Lynch & Co., Inc., 4.79%, 8/4/10(2)                                     289,281
             105,000  Morgan Stanley, 4.00%, 1/15/10(2)                                               102,120
              94,000  Morgan Stanley, 4.25%, 5/15/10(2)                                                91,898
                                                                                               --------------
                                                                                                      850,485
                                                                                               --------------
COMMERCIAL BANKS -- 1.2%
             185,000  Capital One Financial Corp., 5.70%, 9/15/11(2)                                  187,057
             178,000  PNC Bank N.A., 4.875%, 9/21/17(2)                                               170,049
             133,000  PNC Funding Corp., 5.125%, 12/14/10(2)(4)                                       133,324
             139,000  Wachovia Bank N.A., 4.80%, 11/1/14(2)                                           133,978
             218,000  Wachovia Bank N.A., 4.875%, 2/1/15(2)                                           210,568
             240,000  Wachovia Corp., 5.625%, 10/15/16(2)                                             241,482
             193,000  Wells Fargo & Co., 4.625%, 8/9/10(2)                                            190,992
                                                                                               --------------
                                                                                                    1,267,450
                                                                                               --------------
CONSUMER FINANCE -- 0.1%
              99,000  American Express Centurion Bank, 4.375%, 7/30/09(2)                              97,835
                                                                                               --------------
DIVERSIFIED FINANCIAL SERVICES -- 1.9%
             384,000  Bank of America Corp., 4.375%, 12/1/10(2)                                       375,873
             250,000  Bank of America N.A., 5.30%, 3/15/17(2)                                         246,352
             200,000  Bank of America N.A., 6.00%, 10/15/36(2)                                        200,962
             339,000  Citigroup Inc., 5.00%, 9/15/14(2)                                               331,460
             110,000  Citigroup Inc., 6.125%, 8/25/36(2)                                              112,110
             127,000  General Electric Capital Corp., 6.125%, 2/22/11(2)                              131,730
             257,000  HSBC Finance Corp., 4.75%, 4/15/10(2)                                           254,469

Principal Amount                                                                                        Value

           $ 193,000  John Deere Capital Corp., 4.50%, 8/25/08(2)                                    $191,171
             162,000  JPMorgan Chase & Co., 6.75%, 2/1/11(2)                                          170,503
                                                                                               --------------
                                                                                                    2,014,630
                                                                                               --------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0%
             193,000  AT&T Corp., 7.30%, 11/15/11(2)                                                  209,718
             195,000  AT&T Inc., 6.80%, 5/15/36(2)(4)                                                 208,569
              29,000  BellSouth Corp., 6.875%, 10/15/31(2)                                             30,857
              82,000  Embarq Corp., 7.08%, 6/1/16(2)                                                   83,743
              75,000  Sprint Capital Corp., 6.875%, 11/15/28(2)                                        74,900
             227,000  Telecom Italia Capital SA, 4.00%, 1/15/10(2)                                    219,455
             140,000  Verizon Communications Inc., 5.55%, 2/15/16(2)(4)                               140,329
              90,000  Verizon Communications Inc., 6.25%, 4/1/37(2)                                    89,444
              50,000  Verizon Global Funding Corp., 5.85%, 9/15/35(2)                                  47,442
                                                                                               --------------
                                                                                                    1,104,457
                                                                                               --------------
ELECTRIC UTILITIES -- 0.7%
             185,000  Carolina Power & Light Co., 5.15%, 4/1/15(2)                                    181,970
              90,000  Carolina Power & Light Co., 5.25%, 12/15/15(2)                                   88,912
             260,000  Cleveland Electric Illuminating Co. (The), 5.70%, 4/1/17(2)                     258,923
              60,000  Florida Power Corp., 4.50%, 6/1/10(2)                                            58,943
             179,000  Southern California Edison Co., 5.625%, 2/1/36(2)                               173,988
              80,000  Toledo Edison Co., 6.15%, 5/15/37(2)                                             78,637
                                                                                               --------------
                                                                                                      841,373
                                                                                               --------------
FOOD & STAPLES RETAILING -- 0.4%
             168,000  Wal-Mart Stores, Inc., 4.125%, 7/1/10(2)                                        163,609
              29,000  Wal-Mart Stores, Inc., 7.55%, 2/15/30(2)                                         35,011
             235,000  Wal-Mart Stores, Inc., 5.25%, 9/1/35(2)                                         214,210
                                                                                               --------------
                                                                                                      412,830
                                                                                               --------------
FOOD PRODUCTS -- 0.2%
             279,000  Cadbury Schweppes U.S. Finance LLC, 3.875%, 10/1/08 (Acquired
                      5/12/06 - 10/17/06, Cost $268,811)(2)(5)                                        273,242
                                                                                               --------------


------
11


NT Diversified Bond

Principal Amount                                                                                        Value

HEALTH CARE EQUIPMENT & SUPPLIES -- 0.2%

           $ 179,000  Baxter Finco BV, 4.75%, 10/15/10(2)                                            $176,945
             100,000  Boston Scientific Corp., 6.40%, 6/15/16(2)                                      100,436
                                                                                               --------------
                                                                                                      277,381
                                                                                               --------------
HEALTH CARE PROVIDERS & SERVICES -- 0.2%
             214,000  Laboratory Corp. of America Holdings, 5.625%, 12/15/15(2)                       211,953
                                                                                               --------------
HOTELS, RESTAURANTS & LEISURE -- 0.1%
             160,000  Royal Caribbean Cruises Ltd., 7.00%, 6/15/13(2)                                 166,130
                                                                                               --------------
HOUSEHOLD PRODUCTS -- 0.1%
             130,000  Procter & Gamble Co. (The), 5.55%, 3/5/37(2)                                    126,935
                                                                                               --------------
INDUSTRIAL CONGLOMERATES -- 0.4%
             502,000  General Electric Co., 5.00%, 2/1/13(2)                                          498,820
                                                                                               --------------
INSURANCE -- 0.5%
             210,000  Allstate Financial Global Funding, 4.25%, 9/10/08 (Acquired
                      5/12/06, Cost $204,511)(2)(5)                                                   207,212
             250,000  Hartford Financial Services Group Inc. (The), 5.375%, 3/15/17                   247,453
             100,000  Prudential Financial, Inc., 5.40%, 6/13/35(2)                                    92,838
                                                                                               --------------
                                                                                                      547,503
                                                                                               --------------
MEDIA -- 0.7%
             230,000  Comcast Corp., 5.90%, 3/15/16(2)                                                234,390
             308,000  Cox Communications, Inc., 7.125%, 10/1/12(2)                                    332,429
             105,000  News America Holdings, 7.75%, 1/20/24(2)                                        118,924
             130,000  Time Warner Inc., 5.50%, 11/15/11(2)                                            131,181
              29,000  Time Warner Inc., 7.625%, 4/15/31(2)                                             32,686
                                                                                               --------------
                                                                                                      849,610
                                                                                               --------------
METALS & MINING -- 0.4%
             102,000  Alcan Inc., 4.50%, 5/15/13(2)                                                    96,745
             130,000  Alcoa Inc., 5.55%, 2/1/17(2)                                                    129,355
             200,000  Xstrata Finance Canada Ltd., 5.50%, 11/16/11 (Acquired
                      11/8/06 - 11/17/06, Cost $200,159)(2)(5)                                        201,330
              80,000  Xstrata Finance Canada Ltd., 5.80%, 11/15/16 (Acquired
                      11/8/06, Cost $79,802)(2)(5)                                                     80,492
                                                                                               --------------
                                                                                                      507,922
                                                                                               --------------

Principal Amount                                                                                        Value

MULTI-UTILITIES -- 1.1%
           $ 215,000  CenterPoint Energy Resources Corp., 6.50%, 2/1/08(2)                           $216,788
             140,000  CenterPoint Energy Resources Corp., 6.25%, 2/1/37(2)                            139,497
             230,000  Consolidated Edison Co. of New York, Inc., 5.50%, 9/15/16(2)                    232,610
             291,000  Dominion Resources Inc., 4.125%, 2/15/08(2)                                     288,030
              96,000  Dominion Resources Inc., 4.75%, 12/15/10                                         94,718
             101,000  Pacific Gas & Electric Co., 6.05%, 3/1/34(2)                                    101,583
             100,000  Pacific Gas & Electric Co., 5.80%, 3/1/37(2)                                     96,744
                                                                                               --------------
                                                                                                    1,169,970
                                                                                               --------------
MULTILINE RETAIL -- 0.1%
             100,000  Federated Retail Holdings, Inc., 5.35%, 3/15/12(2)                               99,846
              63,000  May Department Stores Co. (The), 3.95%, 7/15/07(2)                               62,683
                                                                                               --------------
                                                                                                      162,529
                                                                                               --------------
OIL, GAS & CONSUMABLE FUELS -- 1.5%
             130,000  Anadarko Petroleum Corp., 5.95%, 9/15/16(2)                                     130,507
              40,000  Apache Corp., 5.625%, 1/15/17(2)(4)                                              40,538
             100,000  Canadian Natural Resources Ltd., 5.70%, 5/15/17(2)(4)                            99,727
              29,000  Conoco Inc., 6.95%, 4/15/29(2)                                                   32,980
             139,000  Devon Financing Corp., ULC, 7.875%, 9/30/31(2)                                  165,256
             343,000  Enterprise Products Operating L.P., 4.95%, 6/1/10(2)                            340,289
              97,000  Enterprise Products Operating L.P., 6.65%, 10/15/34(2)                           99,671
             279,000  Premcor Refining Group Inc. (The), 6.125%, 5/1/11(2)                            288,132
             100,000  Tesoro Corp., 6.25%, 11/1/12(2)                                                 101,875
             138,000  XTO Energy Inc., 5.30%, 6/30/15(2)                                              134,796
             102,000  XTO Energy Inc., 6.10%, 4/1/36(2)                                                99,099
                                                                                               --------------
                                                                                                    1,532,870
                                                                                               --------------
PHARMACEUTICALS -- 0.6%
             179,000  Abbott Laboratories, 5.875%, 5/15/16(2)                                         185,501
             230,000  Baxter International Inc., 5.90%, 9/1/16(2)                                     237,783


------
12


NT Diversified Bond

Principal Amount                                                                                        Value

            $ 84,000  Schering-Plough Corp., 5.55%, 12/1/13(2)                                        $85,701
             220,000  Wyeth, 5.95%, 4/1/37(2)                                                         217,417
                                                                                               --------------
                                                                                                      726,402
                                                                                               --------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
             250,000  ProLogis, 5.625%, 11/15/16(2)                                                   252,356
                                                                                               --------------
SOFTWARE -- 0.3%
             150,000  Intuit Inc., 5.75%, 3/15/17                                                     148,262
             164,000  Oracle Corp., 5.00%, 1/15/11(2)(4)                                              163,536
                                                                                               --------------
                                                                                                      311,798
                                                                                               --------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
             333,000  Nextel Communications Inc., 5.95%, 3/15/14(2)                                   328,068
             320,000  Vodafone Group plc, 5.625%, 2/27/17(2)(4)                                       317,825
             140,000  Vodafone Group plc, 6.15%, 2/27/37(2)                                           135,605
                                                                                               --------------
                                                                                                      781,498
                                                                                               --------------
TOTAL CORPORATE BONDS
(Cost $16,230,214)                                                                                 16,466,006
                                                                                               --------------

Asset-Backed Securities(1) -- 6.5%

             167,842  Accredited Mortgage Loan Trust, Series 2006-1, Class A1, VRN,
                      5.38%, 4/25/07, resets monthly off the 1-month LIBOR plus
                      0.06% with no caps(2)                                                           167,965
             321,320  Accredited Mortgage Loan Trust, Series 2006-2, Class A1, VRN,
                      5.36%, 4/25/07, resets monthly off the 1-month LIBOR plus
                      0.04% with no caps(2)                                                           321,537
              10,371  Ameriquest Mortgage Securities Inc., Series 2006 R1, Class
                      A2A, VRN, 5.40%, 4/25/07, resets monthly off the 1-month
                      LIBOR plus 0.08% with no caps(2)                                                 10,377
             268,044  Argent Securities Inc., Series 2006 M3, Class A2A, VRN,
                      5.37%, 4/25/07, resets monthly off the 1-month LIBOR plus
                      0.05% with no caps(2)                                                           268,225
             401,079  Capital One Prime Auto Receivables Trust, Series 2004-2,
                      Class A4, VRN, 5.38%, 4/15/07, resets monthly off the 1-month
                      LIBOR plus 0.06% with no caps(2)                                                401,490

Principal Amount                                                                                        Value

           $ 247,513  CNH Equipment Trust, Series 2004 A, Class A3A, VRN, 5.39%,
                      4/16/07, resets monthly off the 1-month LIBOR plus 0.07% with
                      no caps(2)                                                                     $247,690
             173,530  Countrywide Asset-Backed Certificates, Series 2006-6, Class
                      2A1, VRN, 5.39%, 4/25/07, resets monthly off the 1-month
                      LIBOR plus 0.07% with no caps(2)                                                173,648
           1,133,276  Countrywide Asset-Backed Certificates, Series 2006-22, Class
                      2A1, VRN, 5.37%, 4/25/07, resets monthly off the 1-month
                      LIBOR plus 0.05% with no caps(2)                                              1,138,726
             254,785  Credit-Based Asset Servicing and Securitization, Series 2006
                      CB3, Class AV1, VRN, 5.38%, 4/25/07, resets monthly off the
                      1-month LIBOR plus 0.06% with no caps(2)                                        254,956
             136,000  Detroit Edison Securitization Funding LLC, Series 2001-1,
                      Class A4 SEQ, 6.19%, 3/1/13(2)                                                  140,430
             454,080  First Franklin Mortgage Loan Asset Backed Certificates,
                      Series 2006 FF11, Class 2A1, VRN, 5.36%, 4/25/07, resets
                      monthly off the 1-month LIBOR plus 0.04% with no caps(2)                        454,335
             385,812  First Franklin Mortgage Loan Asset Backed Certificates,
                      Series 2006 FF12, Class A2, VRN, 5.36%, 4/25/07, resets
                      monthly off the 1-month LIBOR plus 0.04% with no caps(2)                        385,998
              89,793  IndyMac Residential Asset Backed Trust, Series 2006 B, Class
                      2A1, VRN, 5.38%, 4/25/07, resets monthly off the 1-month
                      LIBOR plus 0.06% with no caps(2)                                                 89,859
              59,038  Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A1,
                      VRN, 5.39%, 4/25/07, resets monthly off the 1-month LIBOR
                      plus 0.07% with no caps(2)                                                       59,081
             400,756  Long Beach Mortgage Loan Trust, Series 2006-6, Class 2A1,
                      VRN, 5.36%, 4/25/07, resets monthly off the 1-month LIBOR
                      plus 0.04% with no caps(2)                                                      400,779


------
13


NT Diversified Bond

Principal Amount                                                                                        Value

           $ 141,122  Nomura Home Equity Loan, Inc., Series 2006 HE1, Class A1,
                      VRN, 5.40%, 4/25/07, resets monthly off the 1-month LIBOR
                      plus 0.08% with no caps(2)                                                     $141,235
             284,718  Nomura Home Equity Loan, Inc., Series 2006 HE2, Class A1,
                      VRN, 5.38%, 4/25/07, resets monthly off the 1-month LIBOR
                      plus 0.06% with no caps(2)                                                      284,909
              66,662  NovaStar Home Equity Loan, Series 2005-4, Class A2A, VRN,
                      5.41%, 4/25/07, resets monthly off the 1-month LIBOR plus
                      0.09% with a cap of 11.00%(2)                                                    66,698
              62,000  Residential Asset Securities Corp., Series 2004 KS2, Class
                      MI1, 4.71%, 3/25/34(2)                                                           60,406
             240,672  SLC Student Loan Trust, Series 2006-2, Class A1, VRN, 5.33%,
                      6/15/07, resets quarterly off the 3-month LIBOR minus 0.02%
                      with no caps(2)                                                                 240,808
             300,000  SLM Student Loan Trust, Series 2006-5, Class A2, VRN, 5.35%,
                      4/25/07, resets quarterly off the 3-month LIBOR minus 0.01%
                      with no caps(2)                                                                 300,220
             357,028  SLM Student Loan Trust, Series 2006-7, Class A1, VRN, 5.32%,
                      4/25/07, resets quarterly off the 3-month LIBOR minus 0.04%
                      with no caps(2)                                                                 357,116
           1,000,000  SLM Student Loan Trust, Series 2006-10, Class A2, VRN, 5.37%,
                      4/25/07, resets quarterly off the 3-month LIBOR plus 0.01%
                      with no caps(2)                                                               1,001,008
             380,048  Soundview Home Equity Loan Trust, Series 2006-3, Class A1,
                      VRN, 5.36%, 4/25/07, resets monthly off the 1-month LIBOR
                      plus 0.04% with no caps(2)                                                      380,158
                                                                                               --------------
TOTAL ASSET-BACKED SECURITIES
(Cost $7,337,031)                                                                                   7,347,654
                                                                                               --------------

Principal Amount                                                                                        Value

Sovereign Governments & Agencies -- 2.2%

            $ 29,000  Hydro Quebec, 8.40%, 1/15/22(2)                                                 $37,791
                 JPY  KfW, VRN, 0.325%, 5/8/07, resets quarterly off the 3-month
         266,000,000  JPY LIBOR minus 0.22% with no caps                                            2,259,288
           $ 215,000  Province of Quebec, 5.00%, 7/17/09(2)                                           215,757
                                                                                               --------------
TOTAL SOVEREIGN GOVERNMENTS & AGENCIES
(Cost $2,436,718)                                                                                   2,512,836
                                                                                               --------------

Municipal Securities -- 0.1%

             173,000  Illinois GO, (Taxable Pension), 5.10%, 6/1/33(2)                                165,573
(Cost $154,068)
                                                                                               --------------

Temporary Cash Investments -- 12.1%

          13,783,000  FNMA Discount Notes, 5.00%, 4/2/07(2)(7)                                     13,783,000
(Cost $13,781,086)
                                                                                               --------------

Temporary Cash Investments -- Securities Lending Collateral(8) -- 23.8%

Repurchase Agreement, Citigroup Global Markets Inc., (collateralized by various
U.S. Government Agency obligations in a pooled account at the lending agent),
5.38%, dated 3/30/07, due 4/2/07 (Delivery value $27,020,884)                                      27,008,775
(Cost $27,008,775)
                                                                                               --------------
TOTAL INVESTMENT SECURITIES -- 149.9%
(Cost $169,045,660)                                                                               170,099,900
                                                                                               --------------
OTHER ASSETS AND LIABILITIES -- (49.9)%                                                          (56,646,392)
                                                                                               --------------
TOTAL NET ASSETS -- 100.0%                                                                       $113,453,508
                                                                                               ==============


------
14


NT Diversified Bond

Futures Contracts
                                                         Underlying Face Amount at
       Contracts Purchased           Expiration Date               Value              Unrealized Gain (Loss)

220       U.S. Treasury 2-Year
          Notes                         June 2007               $45,075,938                  $ 59,256
190       U.S. Treasury 5-Year
          Notes                         June 2007                20,101,406                   103,479
                                                                -----------                 -----------
                                                                $65,177,344                  $162,735
                                                                ===========                 ===========

                                                         Underlying Face Amount at
          Contracts Sold             Expiration Date               Value              Unrealized Gain (Loss)

24        U.S. Long Bond                June 2007               $ 2,670,000                   $ 3,884
170       U.S. Treasury 10-Year
          Notes                         June 2007                18,381,250                  (64,523)
                                                                -----------                 -----------
                                                                $21,051,250                  $(60,639)
                                                                ===========                 ===========

Swap Agreements
                                                                                            Unrealized Gain
Notional Amount    Description of Agreement                               Expiration Date   (Loss)

CREDIT DEFAULT

$ 500,000          Pay quarterly a fixed rate equal to 0.46% multiplied   March 2012        $16,018
                   by the notional amount and receive from Barclays
                   Bank plc upon each default event of Centex Corp.,
                   par value of the proportional notional amount.
5,150,000          Pay quarterly a fixed rate equal to 0.35% multiplied   June 2012         7,316
                   by the notional amount and receive from Barclays
                   Bank plc upon each default event of one of the
                   issues of Dow Jones CDX N.A. Investment Grade 8, par
                   value of the proportional notional amount.
1,100,000          Pay quarterly a fixed rate equal to 0.12% multiplied   March 2017        (2,370)
                   by the notional amount and receive from Barclays
                   Bank plc upon each default event of Pfizer Inc., par
                   value of the proportional notional amount.
                                                                                            -------
                                                                                            $20,964
                                                                                            =======


------
15


NT Diversified Bond

Notes to Schedule of Investments

CDX = Credit Derivative Indexes

FHLB = Federal Home Loan Bank

FHLMC = Federal Home Loan Mortgage Corporation

FNMA = Federal National Mortgage Association

GMAC = General Motors Acceptance Corporation

GNMA = Government National Mortgage Association

GO = General Obligation

JPY = Japanese Yen

LB-UBS = Lehman Brothers Inc. - UBS AG

LIBOR = London Interbank Offered Rate

MASTR = Mortgage Asset Securitization Transactions, Inc.

resets = The frequency with which a security's coupon changes, based on
current market conditions or an underlying index. The more frequently a
security resets, the less risk the investor is taking that the coupon will
vary significantly from current market rates.

SEQ = Sequential Payer

STRIPS = Separate Trading of Registered Interest and Principal of Securities

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Final maturity indicated, unless otherwise noted.

(2) Security, or a portion thereof, has been segregated for forward
commitments, futures contracts and/or swap agreements.

(3) Forward commitment.

(4) Security, or a portion thereof, was on loan as of March 31, 2007.

(5) Security was purchased under Rule 144A of the Securities Act of 1933 or is
a private placement and, unless registered under the Act or exempted from
registration, may only be sold to qualified institutional investors. The
aggregate value of restricted securities at March 31, 2007, was $4,279,204,
which represented 3.8% of total net assets.

(6) Industry is less than 0.05% of total net assets.

(7) The rate indicated is the yield to maturity at purchase.

(8) Investments represent purchases made by the lending agent with cash
collateral received through securities lending transactions.

See Notes to Financial Statements.


------
16


STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007

ASSETS

Investment securities, at value (cost of $142,036,885) -- including $25,228,878 of
securities on loan                                                                               $143,091,125

Investments made with cash collateral received for securities on loan, at value (cost of
$27,008,775)                                                                                       27,008,775
                                                                                                 ------------

Total investment securities, at value (cost of $169,045,660)                                      170,099,900

Receivable for investments sold                                                                     3,457,326

Receivable for variation margin on futures contracts                                                    6,555

Unrealized appreciation on swap agreements                                                             23,334

Interest receivable                                                                                   840,080
                                                                                                 ------------
                                                                                                  174,427,195
                                                                                                 ------------

LIABILITIES

Disbursements in excess of demand deposit cash                                                      3,214,982

Payable for collateral received for securities on loan                                             27,008,775

Payable for investments purchased                                                                  22,579,868

Payable for capital shares redeemed                                                                 7,648,043

Unrealized depreciation on swap agreements                                                              2,370

Dividends payable                                                                                     477,908

Accrued management fees                                                                                41,741
                                                                                                 ------------
                                                                                                   60,973,687
                                                                                                 ------------

NET ASSETS                                                                                       $113,453,508
                                                                                                 ============

INSTITUTIONAL CLASS CAPITAL SHARES

Outstanding (unlimited number of shares authorized)                                                11,131,440
                                                                                                 ============

NET ASSET VALUE PER SHARE                                                                              $10.19
                                                                                                 ============

NET ASSETS CONSIST OF:

Capital paid-in                                                                                  $112,056,733

Accumulated net investment loss                                                                       (1,197)

Undistributed net realized gain on investment transactions                                            224,769

Net unrealized appreciation on investments                                                          1,173,203
                                                                                                 ------------
                                                                                                 $113,453,508
                                                                                                 ============

See Notes to Financial Statements.


------
17


STATEMENT OF OPERATIONS

PERIOD ENDED MARCH 31, 2007(1)

INVESTMENT INCOME (LOSS)

INCOME:

Interest                                                                                           $4,418,625
                                                                                                   ----------

EXPENSES:

Management fees                                                                                       342,253

Directors' fees and expenses                                                                            2,578

Other expenses                                                                                             61
                                                                                                   ----------
                                                                                                      344,892
                                                                                                   ----------

NET INVESTMENT INCOME (LOSS)                                                                        4,073,733
                                                                                                   ----------

REALIZED AND UNREALIZED GAIN (LOSS)

NET REALIZED GAIN (LOSS) ON:

Investment and foreign currency transactions                                                        1,024,637

Futures and swaps transactions                                                                      (259,221)
                                                                                                   ----------
                                                                                                      765,416
                                                                                                   ----------

CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:

Investments and translation of assets and liabilities in foreign currencies                         1,054,240

Futures and swaps                                                                                     118,554
                                                                                                   ----------
                                                                                                    1,172,794
                                                                                                   ----------

NET REALIZED AND UNREALIZED GAIN (LOSS)                                                             1,938,210
                                                                                                   ----------

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS                                    $6,011,943
                                                                                              ==========

(1) May 12, 2006 (fund inception) through March 31, 2007.

See Notes to Financial Statements.


------
18


STATEMENT OF CHANGES IN NET ASSETS

PERIOD ENDED MARCH 31, 2007(1)

Increase (Decrease) in Net Assets                                                                        2007

OPERATIONS

Net investment income (loss)                                                                      $ 4,073,733

Net realized gain (loss)                                                                              765,416

Change in net unrealized appreciation (depreciation)                                                1,172,794
                                                                                                 ------------

Net increase (decrease) in net assets resulting from operations                                     6,011,943
                                                                                                 ------------

DISTRIBUTIONS TO SHAREHOLDERS

From net investment income                                                                        (4,058,434)

From net realized gains                                                                             (556,734)
                                                                                                 ------------

Decrease in net assets from distributions                                                         (4,615,168)
                                                                                                 ------------

CAPITAL SHARE TRANSACTIONS

Proceeds from shares sold                                                                         130,733,727

Payments for shares redeemed                                                                     (18,676,994)
                                                                                                 ------------

Net increase (decrease) in net assets from capital share transactions                             112,056,733
                                                                                                 ------------

NET INCREASE (DECREASE) IN NET ASSETS                                                             113,453,508

NET ASSETS

End of period                                                                                    $113,453,508
                                                                                                 ============

Accumulated net investment loss                                                                      $(1,197)
                                                                                                 ============

TRANSACTIONS IN SHARES OF THE FUND

Sold                                                                                               12,974,017

Redeemed                                                                                          (1,842,577)
                                                                                                 ------------

Net increase (decrease) in shares of the fund                                                      11,131,440
                                                                                                 ============

(1) May 12, 2006 (fund inception) through March 31, 2007.

See Notes to Financial Statements.


------
19


NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. NT Diversified Bond Fund (NT Diversified Bond)
(the fund) is one fund in a series issued by the trust. The fund is
diversified under the 1940 Act. The fund's investment objective is to seek a
high level of income by investing in non-money market debt securities. The
fund is not permitted to invest in any securities issued by companies assigned
by the Global Industry Classification Standard to the tobacco industry. The
fund incepted on May 12, 2006. The following is a summary of the fund's
significant accounting policies.

SECURITY VALUATIONS -- Debt securities maturing in greater than 60 days are
valued at current market value as provided by a commercial pricing service or
at the mean of the most recent bid and asked prices. Debt securities maturing
within 60 days may be valued at cost, plus or minus any amortized discount or
premium. Securities traded on foreign securities exchanges and
over-the-counter markets are normally completed before the close of business
on days that the New York Stock Exchange (the Exchange) is open and may also
take place on days when the Exchange is not open. If an event occurs after the
value of a security was established but before the net asset value per share
was determined that was likely to materially change the net asset value, that
security would be valued at fair value as determined in accordance with
procedures adopted by the Board of Trustees. If the fund determines that the
market price of a portfolio security is not readily available, or that the
valuation methods mentioned above do not reflect the security's fair value,
such security is valued at its fair value as determined by, or in accordance
with procedures adopted by, the Board of Trustees or its designee if such fair
value determination would materially impact a fund's net asset value. Certain
other circumstances may cause the fund to fair value a security such as: a
security has been declared in default; trading in a security has been halted
during the trading day; or there is a foreign market holiday and no trading
will commence.

SECURITY TRANSACTIONS -- Security transactions are accounted for as of the
trade date. Net realized gains and losses are determined on the identified
cost basis, which is also used for federal income tax purposes.

INVESTMENT INCOME -- Interest income less foreign taxes withheld, if any, is
recorded on the accrual basis and includes paydown gain (loss) and accretion
of discounts and amortization of premiums.

SECURITIES ON LOAN -- The fund may lend portfolio securities through its
lending agent to certain approved borrowers in order to earn additional
income. The fund continues to recognize any gain or loss in the market price
of the securities loaned and records any interest earned or dividends
declared.

FOREIGN CURRENCY TRANSACTIONS -- All assets and liabilities initially
expressed in foreign currencies are translated into U.S. dollars at prevailing
exchange rates at period end. Purchases and sales of investment securities,
dividend and interest income, and certain expenses are translated at the rates
of exchange prevailing on the respective dates of such transactions. For
assets and liabilities, other than investments in securities, net realized and
unrealized gains and losses from foreign currency translations arise from
changes in currency exchange rates.

Net realized and unrealized foreign currency exchange gains or losses
occurring during the holding period of investment securities are a component
of realized gain (loss) on investment transactions and unrealized appreciation
(depreciation) on investments, respectively. Certain countries may impose
taxes on the contract amount of purchases and sales of foreign currency
contracts in their currency. The funds record the foreign tax expense, if any,
as a reduction to the net realized gain (loss) on foreign currency
transactions.

WHEN-ISSUED AND FORWARD COMMITMENTS -- The fund may engage in securities
transactions on a when-issued or forward commitment basis. In these
transactions, the securities' prices and yields are fixed on the date of the
commitment. In a when-issued transaction, the payment and delivery are
scheduled for a future date and during this period, securities are subject to
market fluctuations. In a forward commitment transaction, the fund may sell a
security and at the same time make a commitment to purchase the same security
at a future date at a specified price. Conversely, the fund may purchase a
security and at the same time make a commitment to sell the same security at a
future date at a specified price. These types of transactions are executed
simultaneously in what are known as "roll" transactions. The fund will
segregate cash, cash equivalents or other appropriate liquid securities on its
records in amounts sufficient to meet the purchase price. The fund accounts
for "roll" transactions as purchases and sales; as such these transactions may
increase portfolio turnover.


------
20


FUTURES CONTRACTS -- The fund may enter into futures contracts in order to
manage the fund's exposure to changes in market conditions. One of the risks
of entering into futures contracts is the possibility that the change in value
of the contract may not correlate with the changes in value of the underlying
securities. Upon entering into a futures contract, the fund is required to
deposit either cash or securities in an amount equal to a certain percentage
of the contract value (initial margin). Subsequent payments (variation margin)
are made or received daily, in cash, by the fund. The variation margin is
equal to the daily change in the contract value and is recorded as unrealized
gains and losses. The fund recognizes a realized gain or loss when the
contract is closed or expires. Net realized and unrealized gains or losses
occurring during the holding period of futures contracts are a component of
realized gain (loss) on futures and swaps transactions and unrealized
appreciation (depreciation) on futures and swaps, respectively.

SWAP AGREEMENTS -- The fund may enter into a swap agreement in order to
attempt to obtain or preserve a particular return or spread at a lower cost
than obtaining a return or spread through purchases and/or sales of
instruments in other markets; protect against currency fluctuations; attempt
to manage duration to protect against any increase in the price of securities
the fund anticipates purchasing at a later date; or gain exposure to certain
markets in the most economical way possible. A basic swap agreement is a
contract in which two parties agree to exchange the returns earned or realized
on predetermined investments or instruments. Credit default swaps enable an
investor to buy/sell protection against a credit event of a specific issuer.
The seller of credit protection against a security or basket of securities
receives an up-front or periodic payment to compensate against potential
default events. The fund may enhance returns by selling protection or attempt
to mitigate credit risk by buying protection. The fund will segregate cash,
cash equivalents or other appropriate liquid securities on its records in
amounts sufficient to meet requirements. Unrealized gains are reported as an
asset and unrealized losses are reported as a liability on the Statement of
Assets and Liabilities. Swap agreements are valued daily and changes in value,
including the periodic amounts of interest to be paid or received on swaps,
are recorded as unrealized appreciation (depreciation) on futures and swaps.
Realized gain or loss is recorded upon receipt or payment of a periodic
settlement or termination of swap agreements. The risks of entering into swap
agreements include the possible lack of liquidity, failure of the counterparty
to meet its obligations, and that there may be unfavorable changes in the
underlying investments and instruments.

REPURCHASE AGREEMENTS -- The fund may enter into repurchase agreements with
institutions that American Century Investment Management, Inc. (ACIM) (the
investment advisor) has determined are creditworthy pursuant to criteria
adopted by the Board of Trustees. Each repurchase agreement is recorded at
cost. The fund requires that the collateral, represented by securities,
received in a repurchase transaction be transferred to the custodian in a
manner sufficient to enable the fund to obtain those securities in the event
of a default under the repurchase agreement. ACIM monitors, on a daily basis,
the securities transferred to ensure the value, including accrued interest, of
the securities under each repurchase agreement is equal to or greater than
amounts owed to the fund under each repurchase agreement.

JOINT TRADING ACCOUNT -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other registered
investment companies having management agreements with ACIM or American
Century Global Investment Management, Inc. (ACGIM), may transfer uninvested
cash balances into a joint trading account. These balances are invested in one
or more repurchase agreements that are collateralized by U.S. Treasury or
Agency obligations.

INCOME TAX STATUS -- It is the fund's policy to distribute substantially all
net investment income and net realized gains to shareholders and to otherwise
qualify as a regulated investment company under provisions of the Internal
Revenue Code. Accordingly, no provision has been made for federal or state
income taxes.

DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income for
the fund are declared daily and paid monthly. Distributions from net realized
gains for the fund, if any, are generally declared and paid annually.


------
21


INDEMNIFICATIONS -- Under the trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the fund. In addition, in the normal course of
business, the fund enters into contracts that provide general
indemnifications. The fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the fund.
The risk of material loss from such claims is considered by management to be
remote.

USE OF ESTIMATES -- The financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America,
which may require management to make certain estimates and assumptions at the
date of the financial statements. Actual results could differ from these
estimates.

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
ACIM, under which ACIM provides the fund with investment advisory and
management services in exchange for a single, unified management fee (the
fee). The Agreement provides that all expenses of the fund, except brokerage
commissions, taxes, interest, fees and expenses of those trustees who are not
considered "interested persons" as defined in the 1940 Act (including counsel
fees) and extraordinary expenses, will be paid by ACIM. The fee is computed
and accrued daily based on the daily net assets of the specific class of
shares of the fund and paid monthly in arrears. The fee consists of (1) an
Investment Category Fee based on the daily net assets of the funds and certain
other accounts managed by the investment advisor that are in the same broad
investment category as the fund and (2) a Complex Fee based on the assets of
all the funds in the American Century family of funds. The rates for the
Investment Category Fee range from 0.2925% to 0.4100% and the rates for the
Complex Fee range from 0.0500% to 0.1100%. The effective annual management fee
for the period May 12, 2006 (fund inception) through March 31, 2007 was 0.42%.

RELATED PARTIES -- Certain officers and trustees of the trust are also
officers and/or directors, and, as a group, controlling stockholders of
American Century Companies, Inc. (ACC), the parent of the trust's investment
advisor, ACIM, the distributor of the trust, American Century Investment
Services, Inc., and the trust's transfer agent, American Century Services,
LLC. The fund is wholly owned by American Century Asset Allocation Portfolios,
Inc. (ACAAP). ACAAP does not invest in the funds for the purpose of exercising
management or control.

The fund has a bank line of credit agreement and securities lending agreement
with JPMorgan Chase Bank (JPMCB). JPMCB is a custodian of the fund and a
wholly owned subsidiary of JPMorgan Chase & Co. (JPM). JPM is an equity
investor in ACC.

3. INVESTMENT TRANSACTIONS

Purchases of investment securities, excluding short-term investments, for the
period May 12, 2006 (fund inception) through March 31, 2007, totaled
$358,896,436, of which $312,432,401 represented U.S. Treasury and Agency
obligations. Sales of investment securities, excluding short-term investments,
for the period May 12, 2006 (fund inception) through March 31, 2007, totaled
$243,641,101, of which $226,596,875 represented U.S. Treasury and Agency
obligations.

On May 12, 2006, the fund incurred a purchase in kind of debt securities
valued at $72,678,664. A purchase in kind occurs when a fund receives
securities into its portfolio in lieu of cash as payment from a purchasing
shareholder.

4. SECURITIES LENDING

As of March 31, 2007, securities in the fund valued at $25,228,878 were on
loan through the lending agent, JPMCB, to certain approved borrowers. JPMCB
receives and maintains collateral in the form of cash and/or acceptable
securities as approved by ACIM. Cash collateral is invested in authorized
investments by the lending agent in a pooled account. The value of cash
collateral received at period end is disclosed in the Statement of Assets and
Liabilities and investments made with the cash by the lending agent are listed
in the Schedule of Investments. Any deficiencies or excess of collateral must
be delivered or transferred by the member firms no later than the close of
business on the next business day. The total value of all collateral received,
at this date, was $27,008,775. The fund's risks in securities lending are that
the borrower may not provide additional collateral when required or return the
securities when due. If the borrower defaults, receipt of the collateral by
the fund may be delayed or limited.


------
22


5. BANK LINE OF CREDIT

Effective December 13, 2006, the fund, along with certain other funds managed
by ACIM or ACGIM, has a $500,000,000 unsecured bank line of credit agreement
with JPMCB. The fund may borrow money for temporary or emergency purposes to
fund shareholder redemptions. Borrowings under the agreement bear interest at
the Federal Funds rate plus 0.40%. The fund did not borrow from the line
during the period ended March 31, 2007.

6. FEDERAL TAX INFORMATION

The tax character of distributions paid during the period May 12, 2006 (fund
inception) through March 31, 2007 were as follows:

DISTRIBUTIONS PAID FROM
Ordinary income                         $4,615,168
Long-term capital gains                     --

The book-basis character of distributions made during the year from net
investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. These differences reflect
the differing character of paydown losses, certain income items and net
realized gains and losses for financial statement and tax purposes, and may
result in reclassification among certain capital accounts on the financial
statements. The reclassifications, which reflect character differences
primarily related to federal income tax treatment of paydown losses and
income, expense and gain (loss) settlements on swap agreements, were as
follows:

Undistributed net investment income                         $(16,496)
Accumulated net realized loss                                $16,087
Unrealized appreciation (depreciation)                         $409

As of March 31, 2007, the components of distributable earnings on a tax-basis
and the federal tax cost of investments were as follows:

Federal tax cost of investments                                                                  $169,045,660
                                                                                                 ============

Gross tax appreciation of investments                                                              $1,200,095

Gross tax depreciation of investments                                                               (145,855)
                                                                                                 ------------

Net tax appreciation (depreciation) of investments                                                 $1,054,240
                                                                                                 ============

Net tax appreciation (depreciation) on derivatives and translation of assets and
liabilities in foreign currencies                                                                      16,871

Net tax appreciation (depreciation)                                                                $1,071,111
                                                                                                 ============

Accumulated net investment loss                                                                      $(1,197)

Accumulated long-term gains                                                                          $326,861

The cost of investments for federal income tax purposes was the same as the
cost for financial statement purposes. The difference between book-basis and
tax-basis unrealized appreciation (depreciation) is attributable primarily to
the realization for tax purposes of unrealized gains for certain futures
contracts.


------
23


7. RECENTLY ISSUED ACCOUNTING STANDARDS

In June 2006, the Financial Accounting Standards Board (FASB) issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes - an
Interpretation of FASB Statement No. 109" (FIN 48). FIN 48 establishes a
minimum threshold for financial statement recognition of the benefit of
positions taken in filing tax returns (including whether an entity is taxable
in a particular jurisdiction), and requires certain expanded tax disclosures.
FIN 48 is effective for fiscal years beginning after December 15, 2006, and is
to be applied to all open tax years as of the date of effectiveness. The FASB
issued Statement of Financial Accounting Standards No. 157, "Fair Value
Measurements" (FAS 157), in September 2006, which is effective for fiscal
years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands the required
financial statement disclosures about fair value measurements. Management is
currently evaluating the impact of adopting FIN 48 and FAS 157.

8. OTHER TAX INFORMATION (UNAUDITED)

The following information is provided pursuant to provisions of the Internal
Revenue Code.

The fund designates $556,734 of distributions as qualified short term capital
gains for purposes of Internal Revenue Code Section 871 for the period May 12,
2006 (fund inception) through March 31, 2007.


------
24


FINANCIAL HIGHLIGHTS
NT Diversified Bond

For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)

PER-SHARE DATA

Net Asset Value, Beginning of Period                                                         $10.00
                                                                                             ------

Income From Investment Operations

 Net Investment Income (Loss)(2)                                                               0.44

 Net Realized and Unrealized Gain (Loss)                                                       0.24
                                                                                             ------

 Total From Investment Operations                                                              0.68
                                                                                             ------
Distributions

 From Net Investment Income                                                                  (0.44)

 From Net Realized Gains                                                                     (0.05)
                                                                                             ------

 Total Distributions                                                                         (0.49)
                                                                                             ------

Net Asset Value, End of Period                                                               $10.19
                                                                                             ======

TOTAL RETURN(3)                                                                               6.96%

RATIOS/SUPPLEMENTAL DATA

Ratio of Operating Expenses to Average Net Assets                                          0.42%(4)

Ratio of Net Investment Income (Loss) to Average Net Assets                                4.95%(4)

Portfolio Turnover Rate                                                                        308%

Net Assets, End of Period (in thousands)                                                   $113,454

(1) May 12, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized.

(4) Annualized.

See Notes to Financial Statements.


------
25


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust
and Shareholders of the NT Diversified Bond Fund:

In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the NT Diversified
Bond Fund (one of the ten funds comprising the American Century Investment
Trust, hereafter referred to as the "Fund") at March 31, 2007, the results of
its operations, the changes in its net assets and the financial highlights for
the period May 12, 2006 (commencement of operations) through March 31, 2007,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of
the Fund's management; our responsibility is to express an opinion on these
financial statements based on our audit. We conducted our audit of these
financial statements 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 are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit, which included confirmation
of securities at March 31, 2007 by correspondence with the custodian and
brokers, provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 17, 2007


------
26


MANAGEMENT

The individuals listed below serve as trustees or officers of the fund. Each
trustee serves until his or her successor is duly elected and qualified or
until he or she retires. Effective March 2004, mandatory retirement age for
independent trustees is 73. However, the mandatory retirement age may be
extended for a period not to exceed two years with the approval of the
remaining independent trustees. Those listed as interested trustees are
"interested" primarily by virtue of their engagement as trustees and/or
officers of, or ownership interest in, American Century Companies, Inc. (ACC)
or its wholly owned, direct or indirect, subsidiaries, including the fund's
investment advisor, American Century Investment Management, Inc. (ACIM); the
fund's principal underwriter, American Century Investment Services, Inc.
(ACIS); and the fund's transfer agent, American Century Services, LLC (ACS).

The other trustees (more than three-fourths of the total number) are
independent; that is, they have never been employees, trustees or officers of,
and have no financial interest in, ACC or any of its wholly owned, direct or
indirect, subsidiaries, including ACIM, ACIS, and ACS. The trustees serve in
this capacity for eight registered investment companies in the American
Century family of funds.

All persons named as officers of the fund also serve in similar capacities for
the other 14 investment companies advised by ACIM or American Century Global
Investment Management, Inc. (ACGIM), a wholly owned subsidiary of ACIM, unless
otherwise noted. Only officers with policy-making functions are listed. No
officer is compensated for his or her service as an officer of the fund. The
listed officers are interested persons of the fund and are appointed or
re-appointed on an annual basis.

INTERESTED TRUSTEE

JONATHAN S. THOMAS
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1963
POSITION(S) HELD WITH FUND: Advisory Board Member (since 2007) and President
(since 2007)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: President and Chief Executive
Officer, ACC (March 2007 to present), Chief Administrative Officer, ACC
(February 2006 to February 2007); Executive Vice President, ACC (November 2005
to February 2007). Also serves as: President, Chief Executive Officer and
Director, ACS; Executive Vice President, ACIM and ACGIM; Director, ACIM,
ACGIM, ACIS and other ACC subsidiaries; Managing Director, Morgan Stanley
(March 2000 to November 2005)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 109
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

INDEPENDENT TRUSTEES

JOHN FREIDENRICH
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1937
POSITION(S) HELD WITH FUND: Trustee (since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Member and Manager, Regis
Management Company, LLC (April 2004 to present); Partner and Founder, Bay
Partners (Venture capital firm, 1976 to present); Partner and Founder, Ware &
Freidenrich (1968 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None


------
27


RONALD J. GILSON
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1946
POSITION(S) HELD WITH FUND: Trustee (since 1995) and Chairman of the Board
(since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Charles J. Meyers Professor of
Law and Business, Stanford Law School (1979 to present); Marc and Eva Stern
Professor of Law and Business, Columbia University School of Law (1992 to
present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

KATHRYN A. HALL
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUND: Trustee (since 2001)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Co-Chairman and Co-Chief
Executive Officer and Chief Investment Officer, Offit Hall Capital Management,
LLC (April 2002 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

PETER F. PERVERE
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUND: Advisory Board Member (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, formerly Vice President
and Chief Financial Officer, Commerce One, Inc. (software and services
provider)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Intraware, Inc.

MYRON S. SCHOLES
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1941
POSITION(S) HELD WITH FUND: Trustee (since 1980)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chairman, Platinum Grove Asset
Management, L.P., and a Partner, Oak Hill Capital Management (1999 to
present); Frank E. Buck Professor of Finance-Emeritus, Stanford Graduate
School of Business (1996 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Dimensional Fund Advisors
(investment advisor, 1982 to present); Director, Chicago Mercantile Exchange
(2000 to present)

JOHN B. SHOVEN
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUND: Trustee (since 2002)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Professor of Economics, Stanford
University (1973 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Cadence Design Systems (1992 to
present)

JEANNE D. WOHLERS
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1945
POSITION(S) HELD WITH FUND: Trustee (since 1984)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, Director and Partner,
Windy Hill Productions, LP (educational software)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None


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28


OFFICERS

MARYANNE ROEPKE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1956
POSITION(S) HELD WITH FUND: Chief Compliance Officer (since 2006) and Senior
Vice President (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Compliance Officer, ACIM,
ACGIM and ACS (August 2006 to present); Assistant Treasurer, ACC (January 1995
to August 2006); Treasurer and Chief Financial Officer, various American
Century funds (July 2000 to August 2006); Also serves as: Senior Vice
President, ACS

CHARLES A. ETHERINGTON
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUND: General Counsel (since 2007) and Senior Vice
President (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACC (November
2005 to present); General Counsel, ACC (March 2007 to present). Also serves
as: General Counsel, ACIM, ACGIM, ACS, ACIS and other ACC subsidiaries; and
Senior Vice President, ACIM, ACGIM and ACS

ROBERT LEACH
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1966
POSITION(S) HELD WITH FUND: Vice President, Treasurer and Chief Financial
Officer (all since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present) and Controller, various American Century funds (1997 to
September 2006)

C. JEAN WADE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1964
POSITION(S) HELD WITH FUND: Controller (since 1996)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present)

JON ZINDEL
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1967
POSITION(S) HELD WITH FUND: Tax Officer (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Financial Officer and Chief
Accounting Officer, ACC (March 2007 to present); Vice President, ACC (October
2001 to present); Vice President, certain ACC subsidiaries (October 2001 to
August 2006); Vice President, Corporate Tax, ACS (April 1998 to August 2006).
Also serves as: Chief Financial Officer, Chief Accounting Officer and Senior
Vice President, ACIM, ACGIM, ACS and other ACC subsidiaries; and Chief
Accounting Officer and Senior Vice President, ACIS

The SAI has additional information about the fund's trustees and is available
without charge, upon request, by calling 1-800-345-2021.


------
29


ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION

As required by law, any distributions you receive from an IRA or certain
403(b), 457 and qualified plans [those not eligible for rollover to an IRA or
to another qualified plan] are subject to federal income tax withholding,
unless you elect not to have withholding apply. Tax will be withheld on the
total amount withdrawn even though you may be receiving amounts that are not
subject to withholding, such as nondeductible contributions. In such case,
excess amounts of withholding could occur. You may adjust your withholding
election so that a greater or lesser amount will be withheld.

If you don't want us to withhold on this amount, you must notify us to not
withhold the federal income tax. Even if you plan to roll over the amount you
withdraw to another tax-deferred account, the withholding rate still applies
to the withdrawn amount unless we have received notice not to withhold federal
income tax prior to the withdrawal. You may notify us in writing or in certain
situations by telephone or through other electronic means. You have the right
to revoke your withholding election at any time and any election you make may
remain in effect until revoked by filing a new election.

Remember, even if you elect not to have income tax withheld, you are liable
for paying income tax on the taxable portion of your withdrawal. If you elect
not to have income tax withheld or you don't have enough income tax withheld,
you may be responsible for payment of estimated tax. You may incur penalties
under the estimated tax rules if your withholding and estimated tax payments
are not sufficient.

State tax will be withheld if, at the time of your distribution, your address
is within one of the mandatory withholding states and you have federal income
tax withheld. State taxes will be withheld from your distribution in
accordance with the respective state rules.

PROXY VOTING GUIDELINES

American Century Investment Management, Inc., the fund's investment advisor,
is responsible for exercising the voting rights associated with the securities
purchased and/or held by the fund. A description of the policies and
procedures the advisor uses in fulfilling this responsibility is available
without charge, upon request, by calling 1-800-345-2021. It is also available
on American Century's website at americancentury.com and on the Securities and
Exchange Commission's website at sec.gov. Information regarding how the
investment advisor voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30 is available on the "About Us" page
at americancentury.com. It is also available at sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission (SEC) for the first and third quarters of each fiscal
year on Form N-Q. The fund's Form N-Q is available on the SEC's website at
sec.gov, and may be reviewed and copied at the SEC's Public Reference Room in
Washington, DC. Information on the operation of the Public Reference Room may
be obtained by calling 1-800-SEC-0330. The fund also makes its complete
schedule of portfolio holdings for the most recent quarter of its fiscal year
available on its website at americancentury.com and, upon request, by calling
1-800-345-2021.


------
30


INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as a fund performance comparisons. They are not
investment products available for purchase.

The CITIGROUP US BROAD INVESTMENT-GRADE (BIG) BOND INDEX is a market-
capitalization-weighted index that includes fixed-rate Treasury, government-
sponsored, mortgage, asset-backed, and investment-grade issues with a maturity
of one year or longer.

The LEHMAN BROTHERS U.S. AGENCY INDEX is composed of those securities included
in the Lehman Brothers U.S. Aggregate Index that are public obligations of
U.S. government agencies, quasi-federal corporations, and corporate or foreign
debt guaranteed by the U.S. government.

The LEHMAN BROTHERS U.S. AGGREGATE INDEX represents securities that are
taxable, registered with the Securities and Exchange Commission, and U.S.
dollar-denominated. The index covers the U.S. investment-grade fixed-rate bond
market, with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.

The LEHMAN BROTHERS U.S. CORPORATE INDEX is composed of those securities
included in the Lehman Brothers U.S. Aggregate Index that are U.S.
dollar-denominated, investment-grade, fixed-rate, taxable securities sold by
industrial, utility and financial issuers.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S. dollar-
denominated, non-investment grade, fixed-rate, taxable corporate bond market.

The LEHMAN BROTHERS U.S. FIXED-RATE MORTGAGE-BACKED SECURITIES (MBS) INDEX is
the MBS Fixed-Rate component of the Lehman Brothers U.S. Aggregate Index. It
covers the mortgage-backed pass-through securities of the Government National
Mortgage Association (GNMA), the Federal National Mortgage Association (FNMA),
and the Federal Home Loan Mortgage Corporation (FHLMC).

The LEHMAN BROTHERS U.S. TREASURY INDEX is composed of those securities
included in the Lehman Brothers U.S. Aggregate Index that are public
obligations of the U.S. Treasury with a remaining maturity of one year or more.

The LEHMAN BROTHERS U.S. TIPS (TREASURY INFLATION-PROTECTED SECURITIES) INDEX
measures the performance of coupon-bearing fixed-income securities that adjust
for inflation, as measured by the Consumer Price Index for All Urban
Consumers.


------
31


NOTES


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32


[back cover]

CONTACT US

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE:
1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

BUSINESS, NOT-FOR-PROFIT,
EMPLOYER-SPONSORED RETIREMENT PLANS:
1-800-345-3533

BANKS AND TRUST COMPANIES, BROKER-DEALERS,
FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

THIS REPORT AND THE STATEMENTS IT CONTAINS ARE SUBMITTED FOR THE GENERAL
INFORMATION OF OUR SHAREHOLDERS. THE REPORT IS NOT AUTHORIZED FOR DISTRIBUTION
TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE
PROSPECTUS.

American Century Investment Services, Inc., Distributor

©2007 American Century Proprietary Holdings, Inc. All rights reserved.

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54187N






[front cover]

AMERICAN CENTURY INVESTMENTS
Annual Report                March 31, 2007

[photo of spring]

Short Duration Fund
Core Plus Fund

[american century investments logo and text logo]




OUR MESSAGE TO YOU

We have the privilege of providing you with the annual report for the American
Century® Short Duration and Core Plus funds from their inception, November 30,
2006, through March 31, 2007. We've gathered this information to help you
monitor your investment. Another resource is our website, americancentury.com,
where we post company news, portfolio commentaries, investment views, and
other communications about portfolio strategy, personal finance, government
policy, and the markets.

Speaking of company news, American Century announced the following leadership
changes. Chief Investment Officer Mark Mallon retired in the first quarter of
2007, after nearly a decade at American Century. Effective January 1, 2007,
former International Equity CIO Enrique Chang became CIO with responsibilities
for the entire investment management operation. Prior to joining American
Century in 2006, Enrique worked at Munder Capital Management, serving the last
four years as president and CIO. Before that, he held a series of senior
investment management positions at Vantage Global Advisors, J. & W. Seligman
and Co., and General Reinsurance Corp.

In January 2007, President and Chief Executive Officer Bill Lyons announced
his retirement after nearly 20 years at American Century. Chief Financial
Officer Jonathan Thomas was appointed president and CEO effective March 1,
2007. Since 2005, Jonathan has overseen American Century's financial area,
with additional responsibilities in purchasing, facilities, real estate,
information technology, operations, and human resources. Before joining
American Century, Jonathan was a managing director and global chief operating
officer of Morgan Stanley's investment division, and worked in senior
leadership roles for Bank of America, Boston Financial Services, and Fidelity
Investments.

We wish to thank Mark and Bill for their many years of distinguished service
-- American Century is a stronger company as a result of their hard work. And
we firmly believe their roles in our firm have transitioned to two talented,
committed, and experienced top executives.

[photo of James E. Stowers, Jr. and James E. Stowers III]

/s/James E. Stowers, Jr.
James E. Stowers, Jr.
FOUNDER AND CO-CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.

/s/James E Stowers III
James E. Stowers III
VICE CHAIRMAN OF THE BOARD
AMERICAN CENTURY COMPANIES, INC.




TABLE OF CONTENTS

      Market Perspective. . . . . . . . . . . . . . . . . . . . . . . . . .   2
         U.S. Fixed-Income Total Returns. . . . . . . . . . . . . . . . . .   2

SHORT DURATION

      Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . .   3
      Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . .   4
         Portfolio at a Glance. . . . . . . . . . . . . . . . . . . . . . .   4
         Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .   4
         Types of Investments in Portfolio. . . . . . . . . . . . . . . . .   5
      Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . .   6

CORE PLUS

      Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . .   9
      Portfolio Commentary. . . . . . . . . . . . . . . . . . . . . . . . .  10
         Portfolio at a Glance. . . . . . . . . . . . . . . . . . . . . . .  10
         Yields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  10
         Types of Investments in Portfolio. . . . . . . . . . . . . . . . .  11
         Portfolio Composition by Credit Rating . . . . . . . . . . . . . .  11
      Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . .  12

      Shareholder Fee Examples. . . . . . . . . . . . . . . . . . . . . . .  16

FINANCIAL STATEMENTS

      Statement of Assets and Liabilities . . . . . . . . . . . . . . . . .  18
      Statement of Operations . . . . . . . . . . . . . . . . . . . . . . .  20
      Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . .  21
      Notes to Financial Statements . . . . . . . . . . . . . . . . . . . .  22
      Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . .  28
      Report of Independent Registered Public Accounting Firm . . . . . . .  40

OTHER INFORMATION

      Management. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  41
      Share Class Information . . . . . . . . . . . . . . . . . . . . . . .  44
      Additional Information. . . . . . . . . . . . . . . . . . . . . . . .  46
      Index Definitions . . . . . . . . . . . . . . . . . . . . . . . . . .  47

The opinions expressed in the Market Perspective and each of the Portfolio
Commentaries reflect those of the portfolio management team as of the date of
the report, and do not necessarily represent the opinions of American Century
or any other person in the American Century organization. Any such opinions
are subject to change at any time based upon market or other conditions and
American Century disclaims any responsibility to update such opinions. These
opinions may not be relied upon as investment advice and, because investment
decisions made by American Century funds are based on numerous factors, may
not be relied upon as an indication of trading intent on behalf of any
American Century fund. Security examples are used for representational
purposes only and are not intended as recommendations to purchase or sell
securities. Performance information for comparative indices and securities is
provided to American Century by third party vendors. To the best of American
Century's knowledge, such information is accurate at the time of printing.




MARKET PERSPECTIVE

[photo of cio]

By Dave MacEwen, Chief Investment Officer, Fixed Income

MODEST ECONOMIC GROWTH, FED ON HOLD

The U.S. economy advanced at a modest pace from November 30, 2006 (the
inception date for the Short Duration and Core Plus portfolios) to March 31,
2007. U.S. gross domestic product grew at a 2.5% annual rate during the fourth
quarter of 2006, then slowed to a four-year low rate of just 1.3% in the first
quarter of 2007, according to initial government estimates.

The Federal Reserve (the Fed) left its interest rate target unchanged, still
weighing the impact of its 17 rate hikes from June 2004 to June 2006 and
responding to an economy that seemed perched precariously between potential
inflationary pressures and the weight of the housing market slump. Hopes for a
Fed rate cut in the first half of 2007 faded as core inflation numbers
stubbornly stayed above 2% and the labor market remained resilient. The
trailing 12-month percentage change in core consumer prices ranged from
2.5-2.7% during the period, well above the Fed's 1-2% comfort zone.

In spite of near-term inflation concerns, signs of softening economic
conditions convinced the Fed and the markets that long-term inflation should
remain under control, helping support bond prices. Stock market volatility
also boosted the bond market in February 2007, offsetting bond price declines
that occurred in December and January as the Fed made it clear that it had no
immediate plans to cut interest rates.

RETURNS MUTED BY LOSSES IN FIRST TWO MONTHS

Because of December and January, bond market returns were modest for the full
reporting period (shown in the table above). The small positive return for the
broad-market Lehman Brothers U.S. Aggregate Index reflected a price decline as
yields rose, offset by coupon returns. Longer-term Treasury notes and bonds
underperformed the broad market as the Treasury yield curve rose and steepened
-- it began the period "inverted" (with the two-year yield higher than the
10-year) and finished with a more normal slope (with the 10-year yield higher
than the two-year). Within the Lehman Aggregate the securitized sector
performed best, especially mortgage-backed securities.

U.S. Fixed-Income Total Returns
For the 4 months ended March 31, 2007

TREASURY SECURITIES
3-Month Bill                                               1.70%
2-Year Note                                                1.51%
5-Year Note                                                1.03%
10-Year Note                                              -0.11%
30-Year Bond                                              -3.22%

LEHMAN BROTHERS U.S. BOND MARKET INDICES
Corporate High-Yield                                       3.77%
Fixed-Rate Mortgage-Backed                                 1.29%
Agency                                                     1.06%
Aggregate (multi-sector)                                   0.91%
Treasury                                                   0.61%
Corporate (investment-grade)                               0.56%
Treasury Inflation-Protected (TIPS)                        0.12%


------
2


PERFORMANCE

Short Duration

Total Returns as of March 31, 2007
                                                                   Since Inception(1)       Inception Date

INVESTOR CLASS                                                           1.46%                 11/30/06

CITIGROUP GOVERNMENT/CORPORATE 1- TO 3-YEAR INDEX                        1.47%                    --

Institutional Class                                                      1.52%                 11/30/06

A Class                                                                                        11/30/06
   No sales charge*                                                      1.37%
   With sales charge*                                                    -0.91%

B Class                                                                                        11/30/06
   No sales charge*                                                      1.13%
   With sales charge*                                                    -3.87%

C Class                                                                                        11/30/06
   No sales charge*                                                      1.13%
   With sales charge*                                                    0.13%

R Class                                                                  1.29%                 11/30/06

*Sales charges include initial sales charges and contingent deferred sales
charges (CDSCs), as applicable. A Class shares have a 2.25% maximum initial
sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares
redeemed within six years of purchase are subject to a CDSC that declines from
5.00% during the first year after purchase to 0.00% the sixth year after
purchase. C Class shares redeemed within 12 months of purchase are subject to
a maximum CDSC of 1.00%. Please see the Share Class Information pages for more
about the applicable sales charges for each share class. The SEC requires that
mutual funds provide performance information net of maximum sales charges in
all cases where charges could be applied.

(1) Total returns for periods less than one year are not annualized.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline.
International investing involves special risks, such as political instability
and currency fluctuations. Investing in emerging markets may accentuate these
risks.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the index
are provided for comparison. The fund's total returns include operating
expenses (such as transaction costs and management fees) that reduce returns,
while the total returns of the index do not.


------
3


PORTFOLIO COMMENTARY

Short Duration

Portfolio Managers: Dave MacEwen, Bob Gahagan, Jim Keegan, Jeff Houston, Hando
Aguilar, Brian Howell, John Walsh, Dan Shiffman, and Michael Difley

PERFORMANCE SUMMARY

Short Duration returned 1.46%* from its November 30, 2006 inception to March
31, 2007. By comparison, its benchmark, the Citigroup Government/Corporate 1-
to 3-Year Index, returned 1.47%. It's worth noting that the portfolio's return
is reduced by operating expenses, while the index's return is not.

The portfolio and benchmark produced modest, positive returns for the four
months, reflecting the performance of the overall bond market (see the Market
Perspective on page 2). The portfolio's performance relative to its benchmark
was enhanced by our yield-curve positioning and non-dollar exposure; sector
allocation decisions also helped relative results.

MANAGEMENT AND COMPOSITION OF THE PORTFOLIO

In this, our first report to shareholders of this portfolio, we think it's
important to mention that Short Duration brings together all of American
Century's taxable fixed-income investment management expertise in a single,
diversified, taxable bond portfolio. Short Duration also has modest high-yield
and emerging markets exposure, in an attempt to maximize total return and
deliver a high level of income. The portfolio gives investors a portfolio
diversifier in a short-term, low- volatility fixed-income investment.

The majority of its assets will be invested in investment-grade, non-money
market debt securities. Its market exposure will reflect the composition of
the broad, taxable bond market, whose three main components are
mortgage-backed securities (MBS), Treasury securities, and corporate bonds.
However, up to 35% of portfolio assets may be invested in high-yield and/or
emerging markets securities, though no more than 10% of assets may be invested
in non-dollar denominated debt. The weighted average duration of the portfolio
must be three years or less.
*All fund returns referenced in this commentary are for Investor Class shares.
Total returns for periods less than one year are not annualized.

Portfolio at a Glance
                                               As of 3/31/07
Average Duration (effective)                     1.8 years
Average Life                                     2.5 years

Yields as of March 31, 2007
30-day SEC Yield
Investor                                           4.61%
Institutional                                      4.81%
A Class                                            4.25%
B Class                                            3.60%
C Class                                            3.60%
R Class                                            4.10%


------
4


Short Duration

PORTFOLIO STRATEGIES

Looking at performance relative to the benchmark, the fund's results were
enhanced by a yield curve-steepening bias we had in place using two- and
five-year Treasury futures. Although the Treasury yield curve was "inverted"
for much of the reporting period (with short-maturity yields higher than those
on longer-term bonds), it steepened between two- and five-year maturities as
short-term bonds rallied over concern about slowing economic growth. The
portfolio's relative performance also benefited from an overweight position in
the Japanese yen, added when the yen was at a 41/2-year low to the U.S. dollar
and a historic low to the euro.

An underweight position in the investment-grade corporate sector added value.
We've held underweight positions in this sector because relative valuations
for corporate bonds aren't particularly attractive at a time the economy
appears to be slowing. In addition, a wave of leveraged buyouts, mergers and
acquisitions, and stock buybacks favored equity investors at the expense of
corporate bondholders. Security selection also contributed positively. The
portfolio's zero exposure to the subprime lending sector, which declined
sharply during the period, was another positive.

As the difference in yield, or spread, between the yields of Treasury and
non-Treasury sectors of the Citigroup US Broad Investment-Grade Bond Index
tightened to near-historic levels (as the non-Treasury sectors outperformed;
see page 2), the portfolio's overweight position in the mortgage sector
enhanced relative performance. That was particularly true of our holdings in
collateralized obligations and conventional MBS (such as Fannie Maes and
Freddie Macs).

STARTING POINT FOR NEXT REPORTING PERIOD

"We have begun to reduce the portfolio's exposure to spread product," says
lead portfolio manager, Dave MacEwen. "Spreads are historically tight, and we
believe that risk has been mispriced in the market." Given the apparent
slowing economy, low risk premiums and tight valuations, we plan to keep our
underweight position in corporates. As of March 31, 2007, we continued to see
potential in our yield-curve positioning and sector allocation, and we expect
to maintain our TIPS exposure as long as core inflation stays elevated above
the Fed's 1-2% comfort zone.

Types of Investments in Portfolio
                                                                                          % of fund
                                                                                         investments
                                                                                            as of
                                                                                           3/31/07

CMOs                                                                                        57.1%
Mortgage-Backed Securities                                                                  11.9%
U.S. Government Agency Securities                                                           11.8%
U.S. Treasury Securities                                                                     5.7%
Asset-Backed Securities                                                                      4.4%
Sovereign Governments & Agencies                                                             1.0%
Temporary Cash Investments                                                                   1.8%
Temporary Cash Investments -- Securities Lending Collateral                                  6.3%


------
5


SCHEDULE OF INVESTMENTS

Short Duration

MARCH 31, 2007

Principal Amount                                                                                        Value

Collateralized Mortgage Obligations(1) -- 60.4%
          $ 300,000  Banc of America Commercial Mortgage Inc., Series 2000-2, Class B,
                     7.38%, 9/15/32(2)                                                              $ 319,312
            150,000  Banc of America Commercial Mortgage Inc., Series 2002 PB2, Class A3
                     SEQ, 6.09%, 6/11/35(2)                                                           152,781
            300,000  Banc of America Commercial Mortgage Inc., Series 2002 PB2, Class B
                     SEQ, 6.31%, 6/11/35(2)                                                           314,807
            250,000  Banc of America Commercial Mortgage Inc., Series 2004-2, Class A3
                     SEQ, 4.05%, 11/10/38(2)                                                          242,520
            241,202  Banc of America Commercial Mortgage Inc., Series 2004-3, Class A2
                     SEQ, 4.35%, 6/10/39(2)                                                           238,805
          1,396,315  Bear Stearns Commercial Mortgage Securities Trust STRIPS - COUPON,
                     Series 2004 T16, Class X2, VRN, 0.93%, 4/1/07(2)                                  41,846
            300,000  Chase Commercial Mortgage Securities Corp., Series 2000-2, Class C,
                     7.93%, 7/15/32(2)                                                                324,594
          1,203,868  Commercial Mortgage Acceptance Corp. STRIPS - COUPON, Series 1998 C2,
                     Class X, VRN, 1.11%, 4/1/07(2)                                                    28,965
            139,000  Credit Suisse First Boston Mortgage Securities Corp., Series 2000 C1,
                     Class B, VRN, 7.78%, 4/11/07(2)                                                  149,538
            211,356  FHLMC, Series 2522, Class XA SEQ, 5.00%, 8/15/16(2)                              210,508
            274,070  FHLMC, Series 2632, Class TE, 2.50%, 6/15/22(2)                                  269,833
            206,721  FHLMC, Series 2750, Class WD SEQ, 4.50%, 9/15/15(2)                              204,778
            233,094  FHLMC, Series 2763, Class PB, 4.50%, 6/15/14(2)                                  231,445
            250,000  FNMA, Series 2003-54, Class TC, 4.50%, 5/25/15(2)                                246,672
            315,855  FNMA, Series 2006-4, Class A SEQ, 6.00%, 11/25/22(2)                             319,580
            300,000  LB-UBS Commercial Mortgage Trust, Series 2003 C5, Class A2 SEQ,
                     3.48%, 7/15/27(2)                                                                293,837
            400,000  LB-UBS Commercial Mortgage Trust, Series 2005 C2, Class A2 SEQ,
                     4.82%, 4/15/30(2)                                                                397,502

Principal Amount                                                                                        Value

          $ 250,000  LB-UBS Commercial Mortgage Trust, Series 2005 C3, Class A3 SEQ,
                     4.65%, 7/30/30(2)                                                              $ 245,404
            300,000  Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998 C1,
                     Class C, 6.68%, 2/18/30(2)                                                       302,467
            200,000  Lehman Brothers Commercial Conduit Mortgage Trust, Series 1999 C1,
                     Class B, 6.93%, 6/15/31(2)                                                       206,751
            250,000  Merrill Lynch Mortgage Trust STRIPS - COUPON, Series 2006 C1, Class
                     A2, VRN, 5.80%, 4/1/07(2)                                                        254,949
            200,000  Morgan Stanley Capital I, Series 2004 HQ3, Class A2 SEQ, 4.05%,
                     1/13/41(2)                                                                       195,093
            157,000  Washington Mutual, Inc. Mortgage Pass-Through Certificates, Series
                     2003 AR9, Class 1A4, 3.70%, 4/15/08(2)                                           154,527
            245,000  Washington Mutual, Inc., Series 2004 AR4, Class A6, 3.81%, 6/25/34(2)            238,194
            195,000  Washington Mutual, Inc., Series 2004 AR9, Class A7, VRN, 4.15%,
                     4/1/07(2)                                                                        191,019
            350,000  Washington Mutual, Inc., Series 2005 AR4, Class A3, 4.59%, 4/25/35(2)            344,797
                                                                                                  -----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $6,092,860)                                                                                   6,120,524
                                                                                                  -----------
U.S. Government Agency Mortgage-Backed Securities(1) -- 12.7%
            420,259  FHLMC, 5.00%, 10/1/10(2)                                                         420,287
            442,900  FHLMC, 4.50%, 6/1/21(2)                                                          428,990
            436,316  FNMA, 5.00%, 7/1/20(2)                                                           430,576
                                                                                                  -----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Cost $1,279,862)                                                                                   1,279,853
                                                                                                  -----------
U.S. Government Agency Securities -- 12.4%
            100,000  FHLB, 5.125%, 9/29/10(2)                                                         100,953
            197,000  FHLMC, 5.00%, 9/16/08(2)                                                         197,312
            235,000  FHLMC, 6.625%, 9/15/09(2)                                                        244,655
            250,000  FHLMC, 4.75%, 11/3/09(2)(3)                                                      249,598
            450,000  FNMA, 6.625%, 9/15/09(2)                                                         468,482
                                                                                                  -----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $1,262,003)                                                                                   1,261,000
                                                                                                  -----------


------
6


Short Duration

Principal Amount                                                                                        Value

U.S. Treasury Securities - 6.0%
          $ 201,881  U.S. Treasury Inflation Indexed Notes, 2.375%, 4/15/11(2)                      $ 204,570
            300,000  U.S. Treasury Notes, 4.875%, 1/31/09(2)(3)                                       301,277
            106,000  U.S. Treasury Notes, 4.75%, 2/15/10(2)(3)                                        106,638
                                                                                                  -----------
TOTAL U.S. TREASURY SECURITIES
(Cost $609,034)                                                                                       612,485
                                                                                                  -----------
Asset-Backed Securities(1) - 4.7%
             76,584  Argent Securities Inc., Series 2006 M3, Class A2A, VRN, 5.37%,
                     4/25/07, resets monthly off the 1-month LIBOR plus 0.05% with no
                     caps(2)                                                                           76,636
            197,426  First Franklin Mortgage Loan Asset Backed Certificates, Series 2006
                     FF11, Class 2A1, VRN, 5.36%, 4/25/07, resets monthly off the 1-month
                     LIBOR plus 0.04% with no caps(2)                                                 197,537
            203,059  First Franklin Mortgage Loan Asset Backed Certificates, Series 2006
                     FF12, Class A2, VRN, 5.36%, 4/25/07, resets monthly off the 1-month
                     LIBOR plus 0.04% with no caps(2)                                                 203,157
                                                                                                  -----------
TOTAL ASSET-BACKED SECURITIES
(Cost $475,951)                                                                                       477,330
                                                                                                  -----------

Principal Amount                                                                                        Value

Sovereign Governments & Agencies -- 1.0%
                JPY  KfW, VRN, 0.325%, 5/8/07, resets quarterly off the 3-month JPY LIBOR
         12,000,000  minus 0.22% with no caps                                                       $ 101,923
(Cost $98,692)

Temporary Cash Investments -- 1.9%
Repurchase Agreement, Morgan Stanley Group, Inc., (collateralized by various U.S. Treasury
obligations, 6.00% - 6.25%, 8/15/23 - 2/15/26, valued at $200,319), in a joint trading
account at 5.10%, dated 3/30/07, due 4/2/07 (Delivery value $196,083)(2)
(Cost $196,000)                                                                                       196,000

Temporary Cash Investments -- Securities Lending Collateral(4) -- 6.7%
Repurchase Agreement, Citigroup Global Markets Inc., (collateralized by various U.S.
Government Agency obligations in a pooled account at the lending agent), 5.38%, dated
3/30/07, due 4/2/07 (Delivery value $678,928)                                                         678,624
(Cost $678,624)
                                                                                                  -----------
TOTAL INVESTMENT SECURITIES -- 105.8%
(Cost $10,693,026)                                                                                 10,727,739
                                                                                                  -----------
OTHER ASSETS AND LIABILITIES -- (5.8)%                                                              (584,388)
                                                                                                  -----------
TOTAL NET ASSETS -- 100.0%                                                                        $10,143,351
                                                                                                  ===========


------
7


Short Duration

Futures Contracts
Contracts Purchased                 Expiration Date      Underlying Face Amount at    Unrealized Gain (Loss)
                                                                   Value
30       U.S. Treasury 2-Year          June 2007                         $ 6,146,719                 $ 13,448
         Notes
                                                                         ===========              ===========

Contracts Sold                      Expiration Date      Underlying Face Amount at    Unrealized Gain (Loss)
                                                                   Value
23       U.S. Treasury 5-Year          June 2007                         $ 2,433,328               $ (12,271)
         Notes
6        U.S. Treasury 10-Year         June 2007                             648,750                  (2,685)
         Notes
                                                                         -----------              -----------
                                                                         $ 3,082,078               $ (14,956)
                                                                         ===========              ===========

Swap Agreements
Notional Amount   Description of Agreement                                  Expiration Date    Unrealized Gain
                                                                                                  (Loss)
CREDIT DEFAULT
$500,000          Pay semiannually a fixed rate equal to                       June 2012          $ (1,818)
                  1.25% multiplied by the notional amount and receive                              ==========
                  from Barclays Bank plc upon each default event of one
                  of the issues of Dow Jones CDX Emerging Markets 7,
                  par value of the proportional notional amount.

Notes to Schedule of Investments

CDX = Credit Derivative Indexes

FHLB = Federal Home Loan Bank

FHLMC = Federal Home Loan Mortgage Corporation

FNMA = Federal National Mortgage Association

JPY = Japanese Yen

LB-UBS = Lehman Brothers Inc. - UBS AG

LIBOR = London Interbank Offered Rate

resets = The frequency with which a security's coupon changes, based on
current market conditions or an underlying index. The more frequently a
security resets, the less risk the investor is taking that the coupon will
vary significantly from current market rates.

SEQ = Sequential Payer

STRIPS = Separate Trading of Registered Interest and Principal of Securities

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Final maturity indicated, unless otherwise noted.

(2) Security, or a portion thereof, has been segregated for futures contracts
and/or swap agreements.

(3) Security, or a portion thereof, was on loan as of March 31, 2007.

(4) Investments represent purchases made by the lending agent with cash
collateral received through securities lending transactions.

See Notes to Financial Statements.


------
8


PERFORMANCE

Core Plus

Total Returns as of March 31, 2007
                                                                         Since Inception(1)        Inception Date

INVESTOR CLASS                                                                     1.04%             11/30/06

CITIGROUP US BROAD INVESTMENT-GRADE BOND INDEX                                     0.89%                   --

Institutional Class                                                                1.11%             11/30/06

A Class                                                                                              11/30/06
No sales charge*                                                                   0.96%
With sales charge*                                                                -3.57%

B Class                                                                                              11/30/06
No sales charge*                                                                   0.71%
With sales charge*                                                                -4.29%

C Class                                                                                              11/30/06
No sales charge*                                                                   0.71%
With sales charge*                                                                -0.28%

R Class                                                                            0.88%             11/30/06

*Sales charges include initial sales charges and contingent deferred sales
charges (CDSCs), as applicable. A Class shares have a 4.50% maximum initial
sales charge and may be subject to a maximum CDSC of 1.00%. B Class shares
redeemed within six years of purchase are subject to a CDSC that declines from
5.00% during the first year after purchase to 0.00% the sixth year after
purchase. C Class shares redeemed within 12 months of purchase are subject to
a maximum CDSC of 1.00%. Please see the Share Class Information pages for more
about the applicable sales charges for each share class. The SEC requires that
mutual funds provide performance information net of maximum sales charges in
all cases where charges could be applied.

(1) Total returns for periods less than one year are not annualized.

Data presented reflect past performance. Past performance is no guarantee of
future results. Current performance may be higher or lower than the
performance shown. Investment return and principal value will fluctuate, and
redemption value may be more or less than original cost. To obtain performance
data current to the most recent month end, please call 1-800-345-2021 or visit
americancentury.com. As interest rates rise, bond values will decline.
International investing involves special risks, such as political instability
and currency fluctuations. Investing in emerging markets may accentuate these
risks.

Unless otherwise indicated, performance reflects Investor Class shares;
performance for other share classes will vary due to differences in fee
structure. For information about other share classes available, please consult
the prospectus. Data assumes reinvestment of dividends and capital gains, and
none of the charts reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. Returns for the index
are provided for comparison. The fund's total returns include operating
expenses (such as transaction costs and management fees) that reduce returns,
while the total returns of the index do not.


------
9


PORTFOLIO COMMENTARY

Core Plus

Portfolio Managers: Dave MacEwen, Bob Gahagan, Jim Keegan, Jeff Houston, Hando
Aguilar, Brian Howell, John Walsh, Dan Shiffman, and Michael Difley

PERFORMANCE SUMMARY

Core Plus returned 1.04%* from its November 30, 2006 inception to March 31,
2007. By comparison, its benchmark, the Citigroup US Broad Investment-Grade
(BIG) Bond Index, returned 0.89%. It's worth noting that the portfolio's
return is reduced by operating expenses, while the index's return is not.

In this, our first report to shareholders for this portfolio, we're happy to
report that the portfolio outperformed its benchmark. This outperformance was
largely a result of yield-curve positioning and non-dollar exposure; sector
allocation decisions also helped relative results. The portfolio's and the
benchmark's absolute levels of return were modest, reflecting the performance
of the overall bond market (see the Market Perspective on page 2).

MANAGEMENT AND COMPOSITION OF THE PORTFOLIO

Core Plus brings together all of American Century's taxable fixed-income
investment management expertise in a single, diversified, taxable bond
portfolio with modest high-yield and emerging markets exposure in an attempt
to maximize total return and deliver a high level of income.

The majority of its assets will be invested in investment-grade, non-money
market debt securities. Its market exposure is based on the Citigroup BIG
Index, which contains primarily three bond sectors: mortgage-backed securities
(MBS), Treasury securities, and corporate bonds. Mortgage- and related
asset-backed securities represent a little more than 40% of the index.
Treasurys represent about 25% of the index, and corporate securities about
20%. However, up to 35% of portfolio assets may be invested in high-yield
and/or emerging markets securities, though no more than 10% of assets may be
invested in non-dollar denominated debt. The weighted average maturity of the
portfolio must be 31/2 years or longer.

PORTFOLIO STRATEGIES

Looking at performance relative to the benchmark, the fund's results were
enhanced by a yield curve-steepening bias we had in place using two- and
10-year Treasury futures. Although the Treasury yield curve was "inverted" for
much of the reporting period (with short-maturity yields higher than those on
longer-term bonds), it steepened between two- and 10-year maturities as
short-term bonds rallied over concern about slowing economic growth. The
portfolio's relative performance also benefited from an overweight position in
the Japanese yen, added when the yen was at a 41/2-year low to the U.S. dollar
and a historic low to the euro.

*All fund returns referenced in this commentary are for Investor Class shares.
Total returns for periods less than one year are not annualized.

Portfolio at a Glance
                                               As of 3/31/07
Average Duration (effective)                     4.6 years
Average Life                                     6.7 years

Yields as of March 31, 2007
30-day SEC Yield
Investor Class                                     4.42%
Institutional Class                                4.63%
A Class                                            3.98%
B Class                                            3.42%
C Class                                            3.42%
R Class                                            3.92%


------
10


Core Plus

An underweight position in the investment-grade corporate sector added value.
We've held underweight positions in this sector because relative valuations
for corporate bonds aren't particularly attractive at a time the economy
appears to be slowing. In addition, a wave of leveraged buyouts, mergers and
acquisitions, and stock buybacks favored equity investors at the expense of
corporate bondholders. Security selection also contributed positively. The
portfolio's zero exposure to the subprime lending sector, which declined
sharply during the period, was another positive.

As the difference in yield, or spread, between the yields of Treasury and
non-Treasury sectors of the Citigroup BIG tightened to near-historic levels
(as the non-Treasury sectors outperformed; see page 2), the portfolio's
overweight position in the mortgage sector enhanced relative performance. That
was particularly true of our holdings in collateralized obligations and
conventional MBS (such as Fannie Maes and Freddie Macs).

STARTING POINT FOR NEXT REPORTING PERIOD

"We have begun to reduce the portfolio's exposure to spread product," says
lead portfolio manager, Dave MacEwen. "Spreads are historically tight, and we
believe that risk has been mispriced in the market." Given the apparent
slowing economy, low risk premiums and tight valuations, we plan to keep our
underweight position in corporates. As of March 31, 2007, we continued to see
potential in our yield-curve positioning and sector allocation, and we expect
to maintain our TIPS exposure as long as core inflation stays elevated above
the Fed's 1-2% comfort zone.

Types of Investments in Portfolio
                                                                % of fund investments as of
                                                                          3/31/07
Mortgage-Backed Securities                                                 28.9%
CMOs                                                                       24.9%
U.S. Treasury Securities                                                   12.7%
Corporate Bonds                                                            10.4%
U.S. Government Agency Securities                                          3.5%
Sovereign Governments & Agencies                                           3.0%
Asset-Backed Securities                                                    0.5%
Temporary Cash Investments                                                 4.6%
Temporary Cash Investments -- Securities Lending Collateral                11.5%

Portfolio Composition by Credit Rating
                                                                % of fund investments as of
                                                                          3/31/07
AAA                                                                         89%
AA                                                                          3%
A                                                                           3%
BBB                                                                         5%


------
11


SCHEDULE OF INVESTMENTS

Core Plus

MARCH 31, 2007

Principal Amount                                                                                        Value

U.S. Government Agency Mortgage-Backed Securities(1) -- 39.2%
         $ 1,050,647  FHLMC, 5.00%, 10/1/10(2)                                                    $ 1,050,711
             458,690  FHLMC, 4.50%, 6/1/21(2)                                                         444,285
           1,750,000  FNMA, 5.50%, settlement date 4/12/07(3)                                       1,731,954
           2,115,000  FNMA, 6.00%, settlement date 4/12/07(3)                                       2,130,863
           1,200,000  FNMA, 6.50%, settlement date 4/12/07(3)                                       1,224,374
             945,330  FNMA, 5.00%, 7/1/20(2)                                                          932,894
             485,219  FNMA, 5.00%, 11/1/33(2)                                                         470,184
             953,153  FNMA, 5.00%, 8/1/34(2)                                                          922,845
             500,000  FNMA, 5.00%, 8/1/35                                                             483,719
             548,539  FNMA, 4.50%, 9/1/35(2)                                                          515,927
                                                                                                  -----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Cost $9,917,767)                                                                                   9,907,756
                                                                                                  -----------
Collateralized Mortgage Obligations(1) -- 33.9%
             750,000  Banc of America Commercial Mortgage Inc., Series 2000-2, Class B,
                      7.38%, 9/15/32(2)                                                               798,281
             150,000  Banc of America Commercial Mortgage Inc., Series 2002 PB2, Class A3
                      SEQ, 6.09%, 6/11/35                                                             152,781
             750,000  Banc of America Commercial Mortgage Inc., Series 2002 PB2, Class B
                      SEQ, 6.31%, 6/11/35(2)                                                          787,016
           1,025,000  Banc of America Commercial Mortgage Inc., Series 2004-2, Class A3
                      SEQ, 4.05%, 11/10/38(2)                                                         994,330
             570,114  Banc of America Commercial Mortgage Inc., Series 2004-3, Class A2
                      SEQ, 4.35%, 6/10/39(2)                                                          564,449
           1,396,315  Bear Stearns Commercial Mortgage Securities Trust STRIPS - COUPON,
                      Series 2004 T16, Class X2, VRN, 0.93%, 4/1/07                                    41,846
             425,000  Chase Commercial Mortgage Securities Corp., Series 2000-2, Class C,
                      7.93%, 7/15/32                                                                  459,842
           1,203,868  Commercial Mortgage Acceptance Corp. STRIPS - COUPON, Series 1998
                      C2, Class X, VRN, 1.11%, 4/1/07                                                  28,965
             528,390  FHLMC, Series 2522, Class XA SEQ, 5.00%, 8/15/16(2)                             526,269

Principal Amount                                                                                        Value

           $ 685,175  FHLMC, Series 2632, Class TE, 2.50%, 6/15/22(2)                               $ 674,584
             123,435  FNMA, Series 2003-52, Class KF SEQ, VRN, 5.72%, 4/25/07, resets
                      monthly off the 1-month LIBOR plus 0.40% with a cap of 7.50%(2)                 124,295
             250,000  FNMA, Series 2003-54, Class TC, 4.50%, 5/25/15(2)                               246,672
             174,966  FNMA, Series 2005-63, Class HA SEQ, 5.00%, 4/25/23(2)                           173,656
             479,134  Greenwich Capital Commercial Funding Corp., Series 2006 FL4A, Class
                      A1, VRN, 5.41%, 4/5/07, resets monthly off the 1-month LIBOR plus
                      0.09% with no caps (Acquired 12/14/06, Cost $479,134)(2)(4)                     479,431
             750,000  LB-UBS Commercial Mortgage Trust, Series 2003 C5, Class A2 SEQ,
                      3.48%, 7/15/27(2)                                                               734,598
             500,000  LB-UBS Commercial Mortgage Trust, Series 2005 C3, Class A3 SEQ,
                      4.65%, 7/30/30(2)                                                               490,807
             750,000  Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998 C1,
                      Class C, 6.68%, 2/18/30(2)                                                      756,164
             211,000  Lehman Brothers Commercial Conduit Mortgage Trust, Series 1999 C1,
                      Class B, 6.93%, 6/15/31(2)                                                      218,123
             300,000  Washington Mutual, Inc., Series 2004 AR4, Class A6, 3.81%, 6/25/34(2)           291,666
                                                                                                  -----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $8,507,876)                                                                                   8,543,775
                                                                                                  -----------
U.S. Treasury Securities -- 17.3%
              27,000  U.S. Treasury Bonds, 8.125%, 8/15/21                                             35,940
             151,000  U.S. Treasury Bonds, 7.125%, 2/15/23(2)(5)                                      187,511
             712,000  U.S. Treasury Bonds, 6.125%, 11/15/27(2)(5)                                     822,248
              37,000  U.S. Treasury Bonds, 6.25%, 5/15/30(5)                                           43,848
             187,000  U.S. Treasury Bonds, 4.50%, 2/15/36(2)(5)                                       176,365
             796,803  U.S. Treasury Inflation Indexed Notes, 2.375%, 1/15/17(2)                       808,849
           1,700,000  U.S. Treasury Notes, 4.625%, 2/29/12(2)(5)                                    1,706,841
             400,000  U.S. Treasury Notes, 4.25%, 8/15/14(2)(5)                                       391,141


------
12


Core Plus

Principal Amount                                                                                        Value

           $ 110,000  U.S. Treasury Notes, 4.875%, 8/15/16(2)(5)                                    $ 111,779
              74,000  U.S. Treasury Notes, 4.625%, 11/15/16(2)(5)                                      73,806
                                                                                                  -----------
TOTAL U.S. TREASURY SECURITIES
(Cost $4,345,386)                                                                                   4,358,328
                                                                                                  -----------
Corporate Bonds -- 14.1%
AEROSPACE & DEFENSE -- 0.7%
              60,000  Honeywell International Inc., 5.30%, 3/15/17(5)                                  59,427
              30,000  Lockheed Martin Corp., 6.15%, 9/1/36                                             31,233
              95,000  United Technologies Corp., 6.05%, 6/1/36(2)                                      97,678
                                                                                                      188,338
BEVERAGES -- 0.3%
              85,000  Miller Brewing Co., 4.25%, 8/15/08 (Acquired 12/4/06, Cost
                      $83,900)(2)(4)                                                                   83,737
BUILDING PRODUCTS(6)
              10,000  Masco Corp., 5.85%, 3/15/17                                                       9,855
CAPITAL MARKETS -- 0.9%
             100,000  Lehman Brothers Holdings Inc., 5.00%, 1/14/11(2)(5)                              99,242
             125,000  Merrill Lynch & Co., Inc., 4.79%, 8/4/10(2)                                     123,837
                                                                                                      223,079
COMMERCIAL BANKS -- 0.7%
              90,000  PNC Bank N.A., 4.875%, 9/21/17(2)                                                85,980
              90,000  Wachovia Corp., 5.625%, 10/15/16(2)                                              90,556
                                                                                                      176,536
DIVERSIFIED FINANCIAL SERVICES -- 1.9%
             170,000  Bank of America Corp., 4.375%, 12/1/10(2)                                       166,401
              60,000  Bank of America N.A., 5.30%, 3/15/17                                             59,124
              75,000  Bank of America N.A., 6.00%, 10/15/36                                            75,361
             150,000  Citigroup Inc., 5.00%, 9/15/14(2)                                               146,664
                                                                                                      447,550
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
              70,000  AT&T Inc., 6.80%, 5/15/36(5)                                                     74,871
              30,000  Verizon Communications Inc., 5.55%, 2/15/16(5)                                   30,071
              10,000  Verizon Global Funding Corp., 5.85%, 9/15/35                                      9,488
                                                                                                      114,430

Principal Amount                                                                                        Value

ELECTRIC UTILITIES -- 0.5%
            $ 60,000  Cleveland Electric Illuminating Co. (The), 5.70%, 4/1/17                        $59,751
              70,000  Southern California Edison Co., 5.625%, 2/1/36                                   68,040
                                                                                                      127,791
FOOD & STAPLES RETAILING -- 0.3%
              95,000  Wal-Mart Stores, Inc., 5.25%, 9/1/35                                             86,596
HOUSEHOLD PRODUCTS -- 0.1%
              30,000  Procter & Gamble Co. (The), 5.55%, 3/5/37                                        29,293
INDUSTRIAL CONGLOMERATES -- 1.0%
             250,000  General Electric Co., 5.00%, 2/1/13(2)                                          248,417
INSURANCE -- 0.2%
              60,000  Hartford Financial Services Group Inc. (The), 5.375%, 3/15/17                    59,389
MEDIA -- 1.2%
             100,000  Comcast Corp., 5.90%, 3/15/16(2)                                                101,909
             150,000  Cox Communications, Inc., 7.125%, 10/1/12(2)                                    161,896
              50,000  Time Warner Inc., 5.50%, 11/15/11                                                50,454
                                                                                                      314,259
METALS & MINING -- 0.5%
              30,000  Alcoa Inc., 5.55%, 2/1/17                                                        29,851
              50,000  Freeport-McMoRan Copper & Gold, Inc., 8.25%, 4/1/15                              53,938
              50,000  Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/17                             54,187
                                                                                                      137,976
MULTI-UTILITIES -- 1.1%
              40,000  CenterPoint Energy Resources Corp., 6.25%, 2/1/37                                39,856
              90,000  Consolidated Edison Co. of New York, Inc., 5.50%, 9/15/16(2)                     91,021
             130,000  Dominion Resources Inc., 4.125%, 2/15/08(2)                                     128,674
              20,000  Pacific Gas & Electric Co., 5.80%, 3/1/37                                        19,349
                                                                                                      278,900
MULTILINE RETAIL -- 0.1%
              20,000  Federated Retail Holdings, Inc., 5.35%, 3/15/12                                  19,969


------
13


Core Plus

Principal Amount                                                                                        Value

OIL, GAS & CONSUMABLE FUELS -- 1.7%
            $ 10,000  Apache Corp., 5.625%, 1/15/17(5)                                                $10,134
              20,000  Canadian Natural Resources Ltd., 5.70%, 5/15/17(5)                               19,945
              50,000  Devon Financing Corp., ULC, 7.875%, 9/30/31                                      59,445
             160,000  Enterprise Products Operating L.P., 4.95%, 6/1/10(2)                            158,734
             150,000  Premcor Refining Group Inc. (The), 6.125%, 5/1/11(2)                            154,910
              30,000  Tesoro Corp., 6.25%, 11/1/12                                                     30,563
                                                                                                      433,731
PHARMACEUTICALS - 0.8%
              90,000  Abbott Laboratories, 5.875%, 5/15/16(2)                                          93,269
              50,000  Baxter International Inc., 5.90%, 9/1/16                                         51,692
              60,000  Wyeth, 5.95%, 4/1/37                                                             59,295
                                                                                                      204,256
REAL ESTATE INVESTMENT TRUSTS - 0.4%
              90,000  ProLogis, 5.625%, 11/15/16(2)                                                    90,848
SOFTWARE - 0.2%
              40,000  Intuit Inc., 5.75%, 3/15/17                                                      39,537
WIRELESS TELECOMMUNICATION SERVICES - 1.0%
             150,000  Nextel Communications Inc., 5.95%, 3/15/14(2)                                   147,779
              70,000  Vodafone Group plc, 5.625%, 2/27/17(2)                                           69,524
              30,000  Vodafone Group plc, 6.15%, 2/27/37                                               29,058
                                                                                                      246,361
                                                                                                  -----------
TOTAL CORPORATE BONDS
(Cost $3,586,095)                                                                                   3,560,848
                                                                                                  -----------
U.S. Government Agency Securities -- 4.8%
295,000               FHLB, 5.125%, 9/29/10(2)                                                        297,811
200,000               FHLMC, 4.75%, 1/19/16(2)                                                        197,032
700,000               FHLMC, 5.875%, 5/23/16(2)                                                       717,501
                                                                                                  -----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $1,218,213)                                                                                   1,212,344
                                                                                                  -----------

Principal Amount                                                                                        Value

Sovereign Governments & Agencies -- 4.1%
                 JPY  KfW, VRN, 0.325%, 5/8/07, resets quarterly off the 3-month JPY LIBOR
         121,000,000  minus 0.22% with no caps                                                    $ 1,027,721
(Cost $995,145)

Asset-Backed Securities(1) -- 0.7%
           $ 176,451  Soundview Home Equity Loan Trust, Series 2006-3, Class A1, VRN,
                      5.36%, 4/25/07, resets monthly off the 1-month LIBOR plus 0.04% with
                      no caps(2)                                                                      176,502
(Cost $176,257)

Temporary Cash Investments -- 6.2%
             301,000  FNMA Discount Notes, 5.00%, 4/2/07(2)(7)                                        301,000
Repurchase Agreement, Credit Suisse First Boston, Inc., (collateralized by various U.S.
Treasury obligations, 6.125%, 8/15/07, valued at $1,281,948), in a joint trading account
at 5.05%, dated 3/30/07, due 4/2/07 (Delivery value $1,257,529)(2)                                  1,257,000
                                                                                                  -----------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $1,557,958)                                                                                   1,558,000
                                                                                                  -----------

Temporary Cash Investments -- Securities Lending Collateral(8) - 15.6%
Repurchase Agreement, Citigroup Global Markets Inc., (collateralized by various U.S.
Government Agency obligations in a pooled account at the lending agent), 5.38%, dated
3/30/07, due 4/2/07 (Delivery value $3,932,755)
(Cost $3,930,993)                                                                                   3,930,993
                                                                                                  -----------
TOTAL INVESTMENT SECURITIES -- 135.9%
(Cost $34,235,690)                                                                                 34,276,267
                                                                                                  -----------
OTHER ASSETS AND LIABILITIES -- (35.9)%                                                           (9,045,796)
                                                                                                  -----------
TOTAL NET ASSETS - 100.0%                                                                         $25,230,471
                                                                                                  ===========


------
14


Core Plus

Futures Contracts
        Contracts Purchased                  Expiration Date      Underlying Face Amount at     Unrealized Gain (Loss)
                                                                            Value

38       U.S. Treasury 2-Year                 June 2007                          $ 7,785,844                 $ 1,806
         Notes
28       U.S. Treasury 5-Year                 June 2007                            2,962,312                  15,250
         Notes
                                                                                ------------              ----------
                                                                                $ 10,748,156                $ 17,056
                                                                                ============              ==========

        Contracts Sold                      Expiration Date      Underlying Face Amount at     Unrealized Gain (Loss)
                                                                   Value
35       U.S. Treasury 10-Year                June 2007                          $ 3,784,375              $ (11,329)
         Notes
                                                                                ============              ==========

Swap Agreements

Notional Amount    Description of Agreement                               Expiration Date           Unrealized Gain
                                                                                                        (Loss)

CREDIT DEFAULT
$ 100,000          Pay quarterly a fixed rate equal to 0.46% multiplied      March 2012               $ 3,190
                   by the notional amount and receive from Barclays
                   Bank plc upon each default event of Centex Corp.,
                   par value of the proportional notional amount.
1,200,000          Pay semiannually a fixed rate equal to 1.25%              June 2012                (4,348)
                   multiplied by the notional amount and receive from
                   Barclays Bank plc upon each default event of one of
                   the issues of Dow Jones CDX Emerging Markets 7, par
                   value of the proportional notional amount.
250,000            Pay quarterly a fixed rate equal to 0.12% multiplied      March 2017                 (539)
                   by the notional amount and receive from Barclays
                   Bank plc upon each default event of Pfizer Inc., par
                   value of the proportional notional amount.
                                                                                                   ----------
                                                                                                    $ (1,697)
                                                                                                   ==========

Notes to Schedule of Investments

CDX = Credit Derivative Indexes

FHLB = Federal Home Loan Bank

FHLMC = Federal Home Loan Mortgage Corporation

FNMA = Federal National Mortgage Association

JPY = Japanese Yen

LB-UBS = Lehman Brothers Inc. - UBS AG

LIBOR = London Interbank Offered Rate

resets = The frequency with which a security's coupon changes, based on
current market conditions or an underlying index. The more frequently a
security resets, the less risk the investor is taking that the coupon will
vary significantly from current market rates.

SEQ = Sequential Payer

STRIPS = Separate Trading of Registered Interest and Principal of Securities

VRN = Variable Rate Note. Interest reset date is indicated. Rate shown is
effective March 31, 2007.

(1) Final maturity indicated, unless otherwise noted.

(2) Security, or a portion thereof, has been segregated for forward
commitments, futures contracts and/or swap agreements.

(3) Forward commitment.

(4) Security was purchased under Rule 144A of the Securities Act of 1933 or is
a private placement and, unless registered under the Act or exempted from
registration, may only be sold to qualified institutional investors. The
aggregate value of restricted securities at March 31, 2007 was $563,168, which
represented 2.2% of total net assets.

(5) Security, or a portion thereof, was on loan as of March 31, 2007.

(6) Industry is less than 0.05% of total net assets.

(7) The rate indicated is the yield to maturity at purchase.

(8) Investments represent purchases made by the lending agent with cash
collateral received through securities lending transactions.

See Notes to Financial Statements.



------
15


SHAREHOLDER FEE EXAMPLES (UNAUDITED)

Fund shareholders may incur two types of costs: (1) transaction costs,
including sales charges (loads) on purchase payments and redemption/exchange
fees; and (2) ongoing costs, including management fees; distribution and
service (12b-1) fees; and other fund expenses. This example is intended to
help you understand your ongoing costs (in dollars) of investing in your fund
and to compare these costs with the ongoing cost of investing in other mutual
funds.

The example is based on an investment of $1,000 made at the beginning of the
period and held for the entire period from October 1, 2006 to March 31, 2007
(except as noted).

ACTUAL EXPENSES

The table provides information about actual account values and actual expenses
for each class. You may use the information, together with the amount you
invested, to estimate the expenses that you paid over the period. First,
identify the share class you own. Then simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then
multiply the result by the number under the heading "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.

If you hold Investor Class shares of any American Century fund, or
Institutional Class shares of the American Century Diversified Bond Fund, in
an American Century account (i.e., not a financial intermediary or retirement
plan account), American Century may charge you a $12.50 semiannual account
maintenance fee if the value of those shares is less than $10,000. We will
redeem shares automatically in one of your accounts to pay the $12.50 fee. In
determining your total eligible investment amount, we will include your
investments in all PERSONAL ACCOUNTS (including American Century Brokerage
accounts) registered under your Social Security number. PERSONAL ACCOUNTS
include individual accounts, joint accounts, UGMA/UTMA accounts, personal
trusts, Coverdell Education Savings Accounts and IRAs (including traditional,
Roth, Rollover, SEP-, SARSEP- and SIMPLE-IRAs), and certain other retirement
accounts. If you have only business, business retirement, employer-sponsored
or American Century Brokerage accounts, you are currently not subject to this
fee. We will not charge the fee as long as you choose to manage your accounts
exclusively online. If you are subject to the Account Maintenance Fee, your
account value could be reduced by the fee amount.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The table also provides information about hypothetical account values and
hypothetical expenses based on the actual expense ratio of each class of your
fund and an assumed rate of return of 5% per year before expenses, which is
not the actual return of a fund's share class. The hypothetical account values
and expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in your fund and other funds. To do so, compare
this 5% hypothetical example with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption/exchange fees. Therefore, the table is useful in
comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transactional
costs were included, your costs would have been higher.


------
16


                         Beginning Account   Ending Account Value   Expenses Paid During       Annualized
                           Value 10/1/06            3/31/07          Period(1) 10/1/06 -    Expense Ratio(1)
                                                                           3/31/07

Short Duration Shareholder Fee Example

ACTUAL
Investor Class                 $1,000            $1,014.60(2)             $2.07(3)               0.62%
Institutional Class            $1,000            $1,015.20(2)             $1.40(3)               0.42%
A Class                        $1,000            $1,013.70(2)             $2.90(3)               0.87%
B Class                        $1,000            $1,011.30(2)             $5.40(3)               1.62%
C Class                        $1,000            $1,011.30(2)             $5.40(3)               1.62%
R Class                        $1,000            $1,012.90(2)             $3.74(3)               1.12%

HYPOTHETICAL
Investor Class                 $1,000            $1,021.84(4)             $3.13(4)               0.62%
Institutional Class            $1,000            $1,022.84(4)             $2.12(4)               0.42%
A Class                        $1,000            $1,020.59(4)             $4.38(4)               0.87%
B Class                        $1,000            $1,016.85(4)             $8.15(4)               1.62%
C Class                        $1,000            $1,016.85(4)             $8.15(4)               1.62%
R Class                        $1,000            $1,019.35(4)             $5.64(4)               1.12%

Core Plus Shareholder Fee Example

ACTUAL
Investor Class                 $1,000            $1,010.40(2)             $2.23(3)               0.67%
Institutional Class            $1,000            $1,011.10(2)             $1.57(3)               0.47%
A Class                        $1,000            $1,009.60(2)             $3.06(3)               0.92%
B Class                        $1,000            $1,007.10(2)             $5.56(3)               1.67%
C Class                        $1,000            $1,007.10(2)             $5.56(3)               1.67%
R Class                        $1,000            $1,008.80(2)             $3.90(3)               1.17%

HYPOTHETICAL
Investor Class                 $1,000            $1,021.59(4)             $3.38(4)               0.67%
Institutional Class            $1,000            $1,022.59(4)             $2.37(4)               0.47%
A Class                        $1,000            $1,020.34(4)             $4.63(4)               0.92%
B Class                        $1,000            $1,016.60(4)             $8.40(4)               1.67%
C Class                        $1,000            $1,016.60(4)             $8.40(4)               1.67%
R Class                        $1,000            $1,019.10(4)             $5.89(4)               1.17%

(1) Expenses are equal to the class's annualized expense ratio listed in the
table above, multiplied by the average account value over the period,
multiplied by 182, the number of days in the most recent fiscal half-year,
divided by 365, to reflect the one-half year period.

(2) Ending account value based on actual return from November 30, 2006 (fund
inception) through March 31, 2007.

(3) Expenses are equal to the class's annualized expense ratio listed in the
table above, multiplied by the average account value over the period,
multiplied by 121, the number of days in the period from November 30, 2006
(fund inception) through March 31, 2007, divided by 365, to reflect the
period. Had the class been available for the full period, the expenses paid
during the period would have been higher.

(4) Ending account value and expenses paid during period assumes the class had
been available throughout the entire period and are calculated using the
class's annualized expense ratio listed in the table above.


------
17


STATEMENT OF ASSETS AND LIABILITIES

MARCH 31, 2007
                                                                              Short Duration       Core Plus
ASSETS
Investment securities, at value (cost of $10,014,402 and $30,304,697,           $10,049,115       $30,345,274
respectively) -- including $665,261 and $3,839,153 of securities on
loan, respectively

Investments made with cash collateral received for securities on loan,              678,624         3,930,993
at value (cost of $678,624 and $3,930,993, respectively)

Total investment securities, at value (cost of $10,693,026 and                   10,727,739        34,276,267
$34,235,690, respectively)

Cash                                                                                  2,070             8,742

Receivable for investments sold                                                     208,296            10,411

Receivable for variation margin on futures contracts                                    781               845

Unrealized appreciation on swap agreements                                               --             3,190

Interest receivable                                                                  45,736           156,429
                                                                                -----------       -----------
                                                                                 10,984,622        34,455,884
                                                                                -----------       -----------

LIABILITIES
Payable for collateral received for securities on loan                              678,624         3,930,993

Payable for investments purchased                                                   151,910         5,266,201

Unrealized depreciation on swap agreements                                            1,818             4,887

Accrued management fees                                                               4,991            13,524

Distribution fees payable                                                             2,142             5,348

Service fees (and distribution fees - A Class and R Class) payable                    1,786             4,460
                                                                                -----------       -----------
                                                                                    841,271         9,225,413
                                                                                -----------       -----------

NET ASSETS                                                                      $10,143,351       $25,230,471
                                                                                ===========       ===========

See Notes to Financial Statements.


------
18


MARCH 31, 2007
                                                                              Short Duration       Core Plus
NET ASSETS CONSIST OF:

Capital paid in                                                                 $10,143,481       $25,332,408

Accumulated net realized loss on investment transactions                           (33,250)         (150,726)

Net unrealized appreciation on investments                                           33,120            48,789
                                                                                -----------       -----------
                                                                                $10,143,351       $25,230,471
                                                                                ===========       ===========

INVESTOR CLASS
Net assets                                                                       $1,700,321        $4,211,293

Shares outstanding                                                                  170,040           422,880

Net asset value per share                                                            $10.00             $9.96

INSTITUTIONAL CLASS
Net assets                                                                       $1,692,601        $4,213,798

Shares outstanding                                                                  169,268           423,131

Net asset value per share                                                            $10.00             $9.96

A CLASS
Net assets                                                                       $1,690,068        $4,207,480
Shares outstanding                                                                  169,015           422,497
Net asset value per share                                                            $10.00             $9.96
Maximum offering price (net asset value divided by 0.955)                            $10.47            $10.43

B CLASS
Net assets                                                                       $1,685,850        $4,196,964
Shares outstanding                                                                  168,593           421,441
Net asset value per share                                                            $10.00             $9.96

C CLASS
Net assets                                                                       $1,685,850        $4,196,964
Shares outstanding                                                                  168,593           421,441
Net asset value per share                                                            $10.00             $9.96

R CLASS
Net assets                                                                       $1,688,661        $4,203,972
Shares outstanding                                                                  168,874           422,144
Net asset value per share                                                            $10.00             $9.96

See Notes to Financial Statements.


------
19


STATEMENT OF OPERATIONS

PERIOD ENDED MARCH 31, 2007(1)
                                                                                 Short Duration      Core Plus
INVESTMENT INCOME (LOSS)

INCOME:
Interest                                                                              $169,627       $423,058
                                                                                      --------       --------

EXPENSES:
Management fees                                                                         19,324         52,251
Distribution fees:
   B Class                                                                               4,151         10,340
   C Class                                                                               4,151         10,340
Service fees:
   B Class                                                                               1,384          3,447
   C Class                                                                               1,384          3,447
Distribution and service fees:
   A Class                                                                               1,385          3,450
   R Class                                                                               2,769          6,897
Trustees' fees and expenses                                                                 98            243
Other expenses                                                                               4             10
                                                                                      --------       --------
                                                                                        34,650         90,425
                                                                                      --------       --------

NET INVESTMENT INCOME (LOSS)                                                           134,977        332,633
                                                                                      --------       --------

REALIZED AND UNREALIZED GAIN (LOSS)

NET REALIZED GAIN (LOSS) ON:
Investment and foreign currency transactions                                          (33,151)      (120,299)
Futures and swaps transactions                                                         (1,335)       (34,028)
                                                                                      --------       --------
                                                                                      (34,486)      (154,327)
                                                                                      --------       --------

CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments and translation of assets and liabilities in foreign                        34,713         40,577
currencies
Futures and swaps                                                                      (1,732)          7,853
                                                                                      --------       --------
                                                                                        32,981         48,430
                                                                                      --------       --------

NET REALIZED AND UNREALIZED GAIN (LOSS)                                                (1,505)      (105,897)
                                                                                      --------       --------

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS                       $133,472       $226,736
                                                                                      ========       ========

(1) November 30, 2006 (fund inception) through March 31, 2007.

See Notes to Financial Statements.


------
20


STATEMENT OF CHANGES IN NET ASSETS

PERIOD ENDED MARCH 31, 2007(1)
Increase (Decrease) in Net Assets                                            Short Duration        Core Plus
OPERATIONS
Net investment income (loss)                                                       $134,977          $332,633
Net realized gain (loss)                                                           (34,486)         (154,327)
Change in net unrealized appreciation (depreciation)                                 32,981            48,430
                                                                                -----------       -----------
Net increase (decrease) in net assets resulting from operations                     133,472           226,736
                                                                                -----------       -----------

DISTRIBUTIONS TO SHAREHOLDERS
From net investment income:
   Investor Class                                                                  (24,692)          (60,762)
   Institutional Class                                                             (25,741)          (63,536)
   A Class                                                                         (23,233)          (57,289)
   B Class                                                                         (19,059)          (46,893)
   C Class                                                                         (19,059)          (46,893)
   R Class                                                                         (21,841)          (53,822)
                                                                                -----------       -----------
Decrease in net assets from distributions                                         (133,625)         (329,195)
                                                                                -----------       -----------

CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets from capital share transactions            10,143,504        25,332,930
                                                                                -----------       -----------

NET INCREASE (DECREASE) IN NET ASSETS                                            10,143,351        25,230,471

NET ASSETS
End of period                                                                   $10,143,351       $25,230,471
                                                                                ===========       ===========

(1) November 30, 2006 (fund inception) through March 31, 2007.

See Notes to Financial Statements.


------
21


NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2007

1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ORGANIZATION -- American Century Investment Trust (the trust) is registered
under the Investment Company Act of 1940 (the 1940 Act) as an open-end
management investment company. Short Duration Fund (Short Duration) and Core
Plus Fund (Core Plus) (the funds) are two funds in a series issued by the
trust. The funds are diversified under the 1940 Act. The funds' investment
objective is to seek to maximize total return by investing in non-money market
debt securities. As a secondary objective, the funds seek a high level of
income. The following is a summary of the funds' significant accounting
policies.

MULTIPLE CLASS -- The funds are authorized to issue the Investor Class, the
Institutional Class, the A Class, the B Class, the C Class and the R Class.
The A Class may incur an initial sales charge. The A Class, B Class and C
Class may be subject to a contingent deferred sales charge. The share classes
differ principally in their respective sales charges and distribution and
shareholder servicing expenses and arrangements. All shares of the funds
represent an equal pro rata interest in the net assets of the class to which
such shares belong, and have identical voting, dividend, liquidation and other
rights and the same terms and conditions, except for class specific expenses
and exclusive rights to vote on matters affecting only individual classes.
Income, non-class specific expenses, and realized and unrealized capital gains
and losses of the funds are allocated to each class of shares based on their
relative net assets. All classes of the funds commenced sale on November 30,
2006, the funds' inception date.

SECURITY VALUATIONS -- Debt securities maturing in greater than 60 days are
valued at current market value as provided by a commercial pricing service or
at the mean of the most recent bid and asked prices. Debt securities maturing
within 60 days may be valued at cost, plus or minus any amortized discount or
premium. Discount notes may be valued through a commercial pricing service or
at amortized cost, which approximates fair value. Securities traded on foreign
securities exchanges and over-the-counter markets are normally completed
before the close of business on days that the New York Stock Exchange (the
Exchange) is open and may also take place on days when the Exchange is not
open. If an event occurs after the value of a security was established but
before the net asset value per share was determined that was likely to
materially change the net asset value, that security would be valued at fair
value as determined in accordance with procedures adopted by the Board of
Trustees. If the funds determine that the market price of a portfolio security
is not readily available, or that the valuation methods mentioned above do not
reflect the security's fair value, such security is valued at its fair value
as determined by, or in accordance with procedures adopted by, the Board of
Trustees or its designee if such fair value determination would materially
impact a fund's net asset value. Certain other circumstances may cause the
funds to fair value a security such as: a security has been declared in
default; trading in a security has been halted during the trading day; or
there is a foreign market holiday and no trading will commence.

SECURITY TRANSACTIONS -- Security transactions are accounted for as of the
trade date. Net realized gains and losses are determined on the identified
cost basis, which is also used for federal income tax purposes.

INVESTMENT INCOME -- Interest income less foreign taxes withheld, if any, is
recorded on the accrual basis and includes paydown gain (loss) and accretion
of discounts and amortization of premiums.

SECURITIES ON LOAN -- The funds may lend portfolio securities through their
lending agent to certain approved borrowers in order to earn additional
income. The funds continue to recognize any gain or loss in the market price
of the securities loaned and record any interest earned or dividends declared.

FOREIGN CURRENCY TRANSACTIONS -- All assets and liabilities initially
expressed in foreign currencies are translated into U.S. dollars at prevailing
exchange rates at period end. Purchases and sales of investment securities,
dividend and interest income, and certain expenses are translated at the rates
of exchange prevailing on the respective dates of such transactions. For
assets and liabilities, other than investments in securities, net realized and
unrealized gains and losses from foreign currency translations arise from
changes in currency exchange rates.

Net realized and unrealized foreign currency exchange gains or losses
occurring during the holding period of investment securities are a component
of realized gain (loss) on investment transactions and unrealized appreciation
(depreciation) on investments, respectively. Certain countries may impose
taxes on the contract amount of purchases and sales of foreign currency
contracts in their currency. The funds record the foreign tax expense, if any,
as a reduction to the net realized gain (loss) on foreign currency
transactions.


------
22


WHEN-ISSUED AND FORWARD COMMITMENTS -- The funds may engage in securities
transactions on a when-issued or forward commitment basis. In these
transactions, the securities' prices and yields are fixed on the date of the
commitment. In a when-issued transaction, the payment and delivery are
scheduled for a future date and during this period, securities are subject to
market fluctuations. In a forward commitment transaction, the funds may sell a
security and at the same time make a commitment to purchase the same security
at a future date at a specified price. Conversely, the funds may purchase a
security and at the same time make a commitment to sell the same security at a
future date at a specified price. These types of transactions are executed
simultaneously in what are known as "roll" transactions. The funds will
segregate cash, cash equivalents or other appropriate liquid securities on
their records in amounts sufficient to meet the purchase price. The funds
account for "roll" transactions as purchases and sales; as such these
transactions may increase portfolio turnover.

FUTURES CONTRACTS -- The funds may enter into futures contracts in order to
manage the funds' exposure to changes in market conditions. One of the risks
of entering into futures contracts is the possibility that the change in value
of the contract may not correlate with the changes in value of the underlying
securities. Upon entering into a futures contract, the funds are required to
deposit either cash or securities in an amount equal to a certain percentage
of the contract value (initial margin). Subsequent payments (variation margin)
are made or received daily, in cash, by the funds. The variation margin is
equal to the daily change in the contract value and is recorded as unrealized
gains and losses. The funds recognize a realized gain or loss when the
contract is closed or expires. Net realized and unrealized gains or losses
occurring during the holding period of futures contracts are a component of
realized gain (loss) on futures and swaps transactions and unrealized
appreciation (depreciation) on futures and swaps, respectively.

SWAP AGREEMENTS -- The funds may enter into a swap agreement in order to
attempt to obtain or preserve a particular return or spread at a lower cost
than obtaining a return or spread through purchases and/or sales of
instruments in other markets; protect against currency fluctuations; attempt
to manage duration to protect against any increase in the price of securities
the funds anticipate purchasing at a later date; or gain exposure to certain
markets in the most economical way possible. A basic swap agreement is a
contract in which two parties agree to exchange the returns earned or realized
on predetermined investments or instruments. Credit default swaps enable an
investor to buy/sell protection against a credit event of a specific issuer.
The seller of credit protection against a security or basket of securities
receives an up-front or periodic payment to compensate against potential
default events. The funds may enhance returns by selling protection or attempt
to mitigate credit risk by buying protection. The funds will segregate cash,
cash equivalents or other appropriate liquid securities on their records in
amounts sufficient to meet requirements. Unrealized gains are reported as an
asset and unrealized losses are reported as a liability on the Statement of
Assets and Liabilities. Swap agreements are valued daily and changes in value,
including the periodic amounts of interest to be paid or received on swaps,
are recorded as unrealized appreciation (depreciation) on futures and swaps.
Realized gain or loss is recorded upon receipt or payment of a periodic
settlement or termination of swap agreements. The risks of entering into swap
agreements include the possible lack of liquidity, failure of the counterparty
to meet its obligations, and that there may be unfavorable changes in the
underlying investments and instruments.

REPURCHASE AGREEMENTS -- The funds may enter into repurchase agreements with
institutions that American Century Investment Management, Inc. (ACIM) (the
investment advisor) has determined are creditworthy pursuant to criteria
adopted by the Board of Trustees. Each repurchase agreement is recorded at
cost. Each fund requires that the collateral, represented by securities,
received in a repurchase transaction be transferred to the custodian in a
manner sufficient to enable each fund to obtain those securities in the event
of a default under the repurchase agreement. ACIM monitors, on a daily basis,
the securities transferred to ensure the value, including accrued interest, of
the securities under each repurchase agreement is equal to or greater than
amounts owed to each fund under each repurchase agreement.

JOINT TRADING ACCOUNT -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, each fund, along with other registered
investment companies having management agreements with ACIM or American
Century Global Investment Management, Inc. (ACGIM) , may transfer uninvested
cash balances into a joint trading account. These balances are invested in one
or more repurchase agreements that are collateralized by U.S. Treasury or
Agency obligations.

INCOME TAX STATUS -- It is each fund's policy to distribute substantially all
net investment income and net realized gains to shareholders and to otherwise
qualify as a regulated investment company under provisions of the Internal
Revenue Code. Accordingly, no provision has been made for federal or state
income taxes.


------
23


DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income for
the funds are declared daily and paid monthly. Distributions from net realized
gains for the funds, if any, are generally declared and paid annually.

INDEMNIFICATIONS -- Under the trust's organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the
performance of their duties to the funds. In addition, in the normal course of
business, the funds enter into contracts that provide general
indemnifications. The funds' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the
funds. The risk of material loss from such claims is considered by management
to be remote.

USE OF ESTIMATES -- The financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America,
which may require management to make certain estimates and assumptions at the
date of the financial statements. Actual results could differ from these
estimates.

2. FEES AND TRANSACTIONS WITH RELATED PARTIES

MANAGEMENT FEES -- The trust has entered into a Management Agreement with
ACIM, under which ACIM provides the funds with investment advisory and
management services in exchange for a single, unified management fee (the fee)
per class. The Agreement provides that all expenses of the funds, except
brokerage commissions, taxes, interest, fees and expenses of those trustees
who are not considered "interested persons" as defined in the 1940 Act
(including counsel fees) and extraordinary expenses, will be paid by ACIM. The
fee is computed and accrued daily based on the daily net assets of each
specific class of shares of each fund and paid monthly in arrears. The fee
consists of (1) an Investment Category Fee based on the daily net assets of
the funds and certain other accounts managed by the investment advisor that
are in the same broad investment category as each fund and (2) a Complex Fee
based on the assets of all the funds in the American Century family of funds.
The rates for the Investment Category Fee range from 0.2925% to 0.4100% for
Short Duration and from 0.3425% to 0.4600% for Core Plus. The rates for the
Complex Fee (Investor Class, A Class, B Class, C Class and R Class) range from
0.2500% to 0.3100%. The Institutional Class is 0.2000% less at each point
within the Complex Fee range.

The effective annual management fee for each class of each fund for the period
November 30, 2006 (fund inception) through March 31, 2007, was as follows:

                             Investor, A, B, C & R          Institutional
Short Duration                       0.62%                      0.42%
Core Plus                            0.67%                      0.47%

DISTRIBUTION AND SERVICE FEES -- The Board of Trustees has adopted a separate
Master Distribution and Individual Shareholder Services Plan for each of the A
Class, B Class, C Class and R Class (collectively the plans), pursuant to Rule
12b-1 of the 1940 Act. The plans provide that the B Class and C Class will pay
American Century Investment Services, Inc. (ACIS) an annual distribution fee
and service fee of 0.75% and 0.25%, respectively. The plans provide that the A
Class and the R Class will pay ACIS an annual distribution and service fee of
0.25% for the A Class and 0.50% for the R Class. The fees are computed and
accrued daily based on each class's daily net assets and paid monthly in
arrears. The distribution fee provides compensation for expenses incurred in
connection with distributing shares of the classes including, but not limited
to, payments to brokers, dealers, and financial institutions that have entered
into sales agreements with respect to shares of the funds. The service fee
provides compensation for individual shareholder services rendered by
broker/dealers or other independent financial intermediaries for A Class, B
Class, C Class and R Class shares. Fees incurred under the plans during the
period November 30, 2006 (fund inception) through March 31, 2007, are detailed
in the Statement of Operations.

RELATED PARTIES -- Certain officers and trustees of the trust are also
officers and/or directors, and, as a group, controlling stockholders of
American Century Companies, Inc. (ACC), the parent of the trust's investment
advisor, ACIM, the distributor of the trust, ACIS, and the trust's transfer
agent, American Century Services, LLC. ACIM owns 100% of the shares of the
fund.

The funds have a bank line of credit agreement and securities lending
agreement with JPMorgan Chase Bank (JPMCB). JPMCB is a custodian of the funds
and a wholly owned subsidiary of JPMorgan Chase & Co. (JPM). JPM is an equity
investor in ACC.


------
24


3. INVESTMENT TRANSACTIONS

Investment transactions, excluding short-term investments, for the period
November 30, 2006 (fund inception) through March 31, 2007, were as follows:

                                                                                 Short Duration        Core Plus
PURCHASES
U.S. Treasury & Government Agency Obligations                                   $17,847,709       $47,329,725
Investment securities other than U.S. Treasury & Government Agency               $4,498,381       $15,489,141
Obligations

PROCEEDS FROM SALES
U.S. Treasury & Government Agency Obligations                                   $13,184,340       $30,176,435
Investment securities other than U.S. Treasury & Government Agency                 $448,896        $4,633,778
Obligations

4. CAPITAL SHARE TRANSACTIONS

Transactions in shares of the funds were as follows (unlimited number of
shares authorized):

Short Duration
                                                                  Period ended March 31, 2007(1)
                                                                         Shares                 Amount
INVESTOR CLASS
Sold                                                                     167,571           $ 1,675,623
Issued in reinvestment of distributions                                    2,469                24,692
                                                                     -----------           -----------
                                                                         170,040             1,700,315
                                                                     -----------           -----------
INSTITUTIONAL CLASS
Sold                                                                     166,694             1,666,883
Issued in reinvestment of distributions                                    2,574                25,741
                                                                     -----------           -----------
                                                                         169,268             1,692,624
                                                                     -----------           -----------
A CLASS
Sold                                                                     166,692             1,666,863
Issued in reinvestment of distributions                                    2,323                23,233
                                                                     -----------           -----------
                                                                         169,015             1,690,096
                                                                     -----------           -----------
B CLASS
Sold                                                                     166,687             1,666,829
Issued in reinvestment of distributions                                    1,906                19,059
                                                                     -----------           -----------
                                                                         168,593             1,685,888
                                                                     -----------           -----------
C CLASS
Sold                                                                     166,687             1,666,829
Issued in reinvestment of distributions                                    1,906                19,059
                                                                     -----------           -----------
                                                                         168,593             1,685,888
                                                                     -----------           -----------
R CLASS
Sold                                                                     166,690             1,666,852
Issued in reinvestment of distributions                                    2,184                21,841
                                                                     -----------           -----------
                                                                         168,874             1,688,693
                                                                     -----------           -----------
Net increase (decrease)                                                1,014,383           $10,143,504
                                                                     -----------           -----------

(1) November 30, 2006 (fund inception) through March 31, 2007.


------
25


Core Plus
                                                                 Period ended March 31, 2007(1)
                                                                         Shares                 Amount
INVESTOR CLASS
Sold                                                                     416,804           $ 4,167,838
Issued in reinvestment of distributions                                    6,101                60,762
Redeemed                                                                    (25)                 (249)
                                                                     -----------           -----------
                                                                         422,880             4,228,351
                                                                     -----------           -----------
INSTITUTIONAL CLASS
Sold                                                                     416,752             4,167,312
Issued in reinvestment of distributions                                    6,379                63,536
                                                                     -----------           -----------
                                                                         423,131             4,230,848
                                                                     -----------           -----------
A CLASS
Sold                                                                     416,745             4,167,260
Issued in reinvestment of distributions                                    5,752                57,289
                                                                     -----------           -----------
                                                                         422,497             4,224,549
                                                                     -----------           -----------
B CLASS
Sold                                                                     416,733             4,167,172
Issued in reinvestment of distributions                                    4,708                46,893
                                                                     -----------           -----------
                                                                         421,441             4,214,065
                                                                     -----------           -----------
C CLASS
Sold                                                                     416,733             4,167,172
Issued in reinvestment of distributions                                    4,708                46,893
                                                                     -----------           -----------
                                                                         421,441             4,214,065
                                                                     -----------           -----------
R CLASS
Sold                                                                     416,740             4,167,230
Issued in reinvestment of distributions                                    5,404                53,822
                                                                     -----------           -----------
                                                                         422,144             4,221,052
                                                                     -----------           -----------
Net increase (decrease)                                                2,533,534           $25,332,930
                                                                     -----------           -----------

(1) November 30, 2006 (fund inception) through March 31, 2007.

5. SECURITIES LENDING

As of March 31, 2007, securities in Short Duration and Core Plus valued at
$665,261 and $3,839,153, respectively, were on loan through the lending agent,
JPMCB, to certain approved borrowers. JPMCB receives and maintains collateral
in the form of cash and/or acceptable securities as approved by ACIM. Cash
collateral is invested in authorized investments by the lending agent in a
pooled account. The value of cash collateral received at period end is
disclosed in the Statement of Assets and Liabilities and investments made with
the cash by the lending agent are listed in the Schedule of Investments. Any
deficiencies or excess of collateral must be delivered or transferred by the
member firms no later than the close of business on the next business day. The
total value of all collateral received, at this date, was $678,624 and
$3,930,993, respectively. The funds' risks in securities lending are that the
borrower may not provide additional collateral when required or return the
securities when due. If the borrower defaults, receipt of the collateral by
the funds may be delayed or limited.

6. BANK LINE OF CREDIT

Effective December 13, 2006, the funds, along with certain other funds managed
by ACIM or ACGIM, have a $500,000,000 unsecured bank line of credit agreement
with JPMCB. The funds may borrow money for temporary or emergency purposes to
fund shareholder redemptions. Borrowings under the agreement bear interest at
the Federal Funds rate plus 0.40%. The funds did not borrow from the line
during the period ended March 31, 2007.


------
26


7. RISK FACTORS

There are certain risks involved in investing in foreign securities. These
risks include those resulting from future adverse political, social, and
economic developments, fluctuations in currency exchange rates, the possible
imposition of exchange controls, and other foreign laws or restrictions.
Investing in emerging markets may accentuate these risks.

8. FEDERAL TAX INFORMATION

The tax character of distributions paid during the period November 30, 2006
(fund inception) through March 31, 2007, were as follows:

                                        Short Duration        Core Plus
DISTRIBUTIONS PAID FROM
Ordinary income                            $133,625            $329,195
Long-term capital gains                       --                  --

The book-basis character of distributions made during the year from net
investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. These differences reflect
the differing character of paydown losses, certain income items and net
realized gains and losses for financial statement and tax purposes, and may
result in reclassification among certain capital accounts on the financial
statements.

As of March 31, 2007, the components of distributable earnings on a tax-basis
and the federal tax cost of investments were as follows:

                                                                              Short Duration       Core Plus
Federal tax cost of investments                                                 $10,693,026       $34,235,690
                                                                                ===========       ===========
Gross tax appreciation of investments                                               $41,644          $130,401
Gross tax depreciation of investments                                               (6,931)          (89,824)
                                                                                -----------       -----------
Net tax appreciation (depreciation) of investments                                  $34,713           $40,577
                                                                                ===========       ===========
Net tax appreciation (depreciation) on derivatives and translation of               (3,109)             2,486
assets and liabilities in foreign currencies
                                                                                -----------       -----------
Net tax appreciation (depreciation)                                                 $31,604           $43,063
                                                                                ===========       ===========

Capital loss deferrals                                                            $(31,734)        $(145,000)

The cost of investments for federal income tax purposes was the same as the
cost for financial statement purposes. The difference between book-basis and
tax-basis unrealized appreciation (depreciation) is attributable primarily to
the realization for tax purposes of unrealized gains for certain futures
contracts.

The capital loss deferrals represent net capital losses incurred during the
period November 30, 2006 (fund inception) though March 31, 2007. The funds
have elected to treat such losses as having been incurred in the following
fiscal year for federal income tax purposes.

9. RECENTLY ISSUED ACCOUNTING STANDARDS

In June 2006, the Financial Accounting Standards Board (FASB) issued
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes -- an
Interpretation of FASB Statement No. 109" (FIN 48). FIN 48 establishes a
minimum threshold for financial statement recognition of the benefit of
positions taken in filing tax returns (including whether an entity is taxable
in a particular jurisdiction), and requires certain expanded tax disclosures.
FIN 48 is effective for fiscal years beginning after December 15, 2006, and is
to be applied to all open tax years as of the date of effectiveness. The FASB
issued Statement of Financial Accounting Standards No. 157, "Fair Value
Measurements" (FAS 157), in September 2006, which is effective for fiscal
years beginning after November 15, 2007. FAS 157 defines fair value,
establishes a framework for measuring fair value and expands the required
financial statement disclosures about fair value measurements. Management is
currently evaluating the impact of adopting FIN 48 and FAS 157.


------
27


FINANCIAL HIGHLIGHTS

Short Duration

Investor Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.15
   Net Realized and Unrealized Gain (Loss)                                                    --(3)
                                                                                           --------
   Total From Investment Operations                                                            0.15
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.15)
                                                                                           --------
Net Asset Value, End of Period                                                               $10.00
                                                                                           --------

TOTAL RETURN(4)                                                                               1.46%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          0.62%(5)
Ratio of Net Investment Income (Loss) to Average Net Assets                                4.48%(5)
Portfolio Turnover Rate                                                                        157%
Net Assets, End of Period (in thousands)                                                     $1,700

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Per-share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(5) Annualized.

See Notes to Financial Statements.


------
28


Short Duration

Institutional Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.15
   Net Realized and Unrealized Gain (Loss)                                                    --(3)
                                                                                           --------
   Total From Investment Operations                                                            0.15
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.15)
                                                                                           --------
Net Asset Value, End of Period                                                               $10.00
                                                                                           ========

TOTAL RETURN(4)                                                                               1.52%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          0.42%(5)
Ratio of Net Investment Income (Loss) to Average Net Assets                                4.68%(5)
Portfolio Turnover Rate                                                                        157%
Net Assets, End of Period (in thousands)                                                     $1,693

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Per-share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(5) Annualized.

See Notes to Financial Statements.


------
29


Short Duration

A Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.14
   Net Realized and Unrealized Gain (Loss)                                                    --(3)
                                                                                           --------
   Total From Investment Operations                                                            0.14
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.14)
                                                                                           --------
Net Asset Value, End of Period                                                               $10.00
                                                                                           ========

TOTAL RETURN(4)                                                                               1.37%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          0.87%(5)
Ratio of Net Investment Income (Loss) to Average Net Assets                                4.23%(5)
Portfolio Turnover Rate                                                                        157%
Net Assets, End of Period (in thousands)                                                     $1,690

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Per-share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(5) Annualized.

See Notes to Financial Statements.


------
30

Short Duration

B Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.11
   Net Realized and Unrealized Gain (Loss)                                                    --(3)
                                                                                           --------
   Total From Investment Operations                                                            0.11
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.11)
                                                                                           --------
Net Asset Value, End of Period                                                               $10.00
                                                                                           ========

Total Return(4)                                                                               1.13%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          1.62%(5)
Ratio of Net Investment Income (Loss) to Average Net Assets                                3.48%(5)
Portfolio Turnover Rate                                                                        157%
Net Assets, End of Period (in thousands)                                                     $1,686

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Per-share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(5) Annualized.

See Notes to Financial Statements.


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31


Short Duration

C Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.11
   Net Realized and Unrealized Gain (Loss)                                                    --(3)
                                                                                           --------
   Total From Investment Operations                                                            0.11
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.11)
                                                                                           --------
Net Asset Value, End of Period                                                               $10.00
                                                                                           ========

TOTAL RETURN(4)                                                                               1.13%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          1.62%(5)
Ratio of Net Investment Income (Loss) to Average Net Assets                                3.48%(5)
Portfolio Turnover Rate                                                                        157%
Net Assets, End of Period (in thousands)                                                     $1,686

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Per-share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(5) Annualized.

See Notes to Financial Statements.


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32


Short Duration

R Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.13
   Net Realized and Unrealized Gain (Loss)                                                    --(3)
                                                                                           --------
   Total From Investment Operations                                                            0.13
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.13)
                                                                                           --------
Net Asset Value, End of Period                                                               $10.00
                                                                                           ========

TOTAL RETURN(4)                                                                               1.29%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          1.12%(5)
Ratio of Net Investment Income (Loss) to Average Net Assets                                3.98%(5)
Portfolio Turnover Rate                                                                        157%
Net Assets, End of Period (in thousands)                                                     $1,689

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Per-share amount was less than $0.005.

(4) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(5) Annualized.

See Notes to Financial Statements.


------
33


Core Plus

Investor Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.14
   Net Realized and Unrealized Gain (Loss)                                                   (0.03)
                                                                                           --------
   Total From Investment Operations                                                            0.11
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.15)
                                                                                           --------
Net Asset Value, End of Period                                                                $9.96
                                                                                           ========

TOTAL RETURN(3)                                                                               1.04%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          0.67%(4)
Ratio of Net Investment Income (Loss) to Average Net Assets                                4.44%(4)
Portfolio Turnover Rate                                                                        133%
Net Assets, End of Period (in thousands)                                                     $4,211

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(4) Annualized.

See Notes to Financial Statements.


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34


Core Plus

Institutional Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.15
   Net Realized and Unrealized Gain (Loss)                                                   (0.04)
                                                                                           --------
   Total From Investment Operations                                                            0.11
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.15)
                                                                                           --------
Net Asset Value, End of Period                                                                $9.96
                                                                                           ========

TOTAL RETURN(3)                                                                               1.11%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          0.47%(4)
Ratio of Net Investment Income (Loss) to Average Net Assets                                4.64%(4)
Portfolio Turnover Rate                                                                        133%
Net Assets, End of Period (in thousands)                                                     $4,214

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(4) Annualized.

See Notes to Financial Statements.


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35


Core Plus

A Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.14
   Net Realized and Unrealized Gain (Loss)                                                   (0.04)
                                                                                           --------
   Total From Investment Operations                                                            0.10
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.14)
                                                                                           --------
Net Asset Value, End of Period                                                                $9.96
                                                                                           ========

TOTAL RETURN(3)                                                                               0.96%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          0.92%(4)
Ratio of Net Investment Income (Loss) to Average Net Assets                                4.19%(4)
Portfolio Turnover Rate                                                                        133%
Net Assets, End of Period (in thousands)                                                     $4,207

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(4) Annualized.

See Notes to Financial Statements.


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36


Core Plus

B Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.11
   Net Realized and Unrealized Gain (Loss)                                                   (0.04)
                                                                                           --------
   Total From Investment Operations                                                            0.07
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.11)
                                                                                           --------
Net Asset Value, End of Period                                                                $9.96
                                                                                           ========

TOTAL RETURN(3)                                                                               0.71%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          1.67%(4)
Ratio of Net Investment Income (Loss) to Average Net Assets                                3.44%(4)
Portfolio Turnover Rate                                                                        133%
Net Assets, End of Period (in thousands)                                                     $4,197

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(4) Annualized.

See Notes to Financial Statements.


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37


Core Plus

C Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.11
   Net Realized and Unrealized Gain (Loss)                                                   (0.04)
                                                                                           --------
   Total From Investment Operations                                                            0.07
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.11)
                                                                                           --------
Net Asset Value, End of Period                                                                $9.96
                                                                                           ========

TOTAL RETURN(3)                                                                               0.71%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          1.67%(4)
Ratio of Net Investment Income (Loss) to Average Net Assets                                3.44%(4)
Portfolio Turnover Rate                                                                        133%
Net Assets, End of Period (in thousands)                                                     $4,197

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any, and does not reflect applicable sales charges.
Total returns for periods less than one year are not annualized. The total
return of the classes may not precisely reflect the class expense differences
because of the impact of calculating the net asset values to two decimal
places. If net asset values were calculated to three decimal places, the total
return differences would more closely reflect the class expense differences.
The calculation of net asset values to two decimal places is made in
accordance with SEC guidelines and does not result in any gain or loss of
value between one class and another.

(4) Annualized.

See Notes to Financial Statements.


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38


Core Plus

R Class
For a Share Outstanding Throughout the Period Indicated
                                                                                            2007(1)
PER-SHARE DATA
Net Asset Value, Beginning of Period                                                         $10.00
                                                                                           --------
Income From Investment Operations
   Net Investment Income (Loss)(2)                                                             0.13
   Net Realized and Unrealized Gain (Loss)                                                   (0.04)
                                                                                           --------
   Total From Investment Operations                                                            0.09
                                                                                           --------
Distributions
   From Net Investment Income                                                                (0.13)
                                                                                           --------
Net Asset Value, End of Period                                                                $9.96
                                                                                           ========

TOTAL RETURN(3)                                                                               0.88%

RATIOS/SUPPLEMENTAL DATA
Ratio of Operating Expenses to Average Net Assets                                          1.17%(4)
Ratio of Net Investment Income (Loss) to Average Net Assets                                3.94%(4)
Portfolio Turnover Rate                                                                        133%
Net Assets, End of Period (in thousands)                                                     $4,204

(1) November 30, 2006 (fund inception) through March 31, 2007.

(2) Computed using average shares outstanding throughout the period.

(3) Total return assumes reinvestment of net investment income and capital
gains distributions, if any. Total returns for periods less than one year are
not annualized. The total return of the classes may not precisely reflect the
class expense differences because of the impact of calculating the net asset
values to two decimal places. If net asset values were calculated to three
decimal places, the total return differences would more closely reflect the
class expense differences. The calculation of net asset values to two decimal
places is made in accordance with SEC guidelines and does not result in any
gain or loss of value between one class and another.

(4) Annualized.

See Notes to Financial Statements.


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39


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of the American Century Investment Trust and Shareholders of
the Short Duration Fund and the Core Plus Fund:

In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Short Duration
Fund and the Core Plus Fund (two of the ten funds comprising the American
Century Investment Trust, hereafter referred to as the "Funds") at March 31,
2007, the results of each of their operations, the changes in each of their
net assets and the financial highlights for the period November 30, 2006
(commencement of operations) through March 31, 2007, in conformity with
accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audits of these financial statements 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 are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at March 31, 2007 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.

PricewaterhouseCoopers LLP
Kansas City, Missouri
May 16, 2007


------
40


MANAGEMENT

The individuals listed below serve as trustees or officers of the funds. Each
trustee serves until his or her successor is duly elected and qualified or
until he or she retires. Effective March 2004, mandatory retirement age for
independent trustees is 73. However, the mandatory retirement age may be
extended for a period not to exceed two years with the approval of the
remaining independent trustees. Those listed as interested trustees are
"interested" primarily by virtue of their engagement as trustees and/or
officers of, or ownership interest in, American Century Companies, Inc. (ACC)
or its wholly owned, direct or indirect, subsidiaries, including the funds'
investment advisor, American Century Investment Management, Inc. (ACIM); the
funds' principal underwriter, American Century Investment Services, Inc.
(ACIS); and the funds' transfer agent, American Century Services, LLC (ACS).

The other trustees (more than three-fourths of the total number) are
independent; that is, they have never been employees, trustees or officers of,
and have no financial interest in, ACC or any of its wholly owned, direct or
indirect, subsidiaries, including ACIM, ACIS, and ACS. The trustees serve in
this capacity for eight registered investment companies in the American
Century family of funds.

All persons named as officers of the funds also serve in similar capacities
for the other 14 investment companies advised by ACIM or American Century
Global Investment Management, Inc. (ACGIM), a wholly owned subsidiary of ACIM,
unless otherwise noted. Only officers with policy-making functions are listed.
No officer is compensated for his or her service as an officer of the funds.
The listed officers are interested persons of the funds and are appointed or
re-appointed on an annual basis.

INTERESTED TRUSTEE

JONATHAN S. THOMAS
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1963
POSITION(S) HELD WITH FUNDS: Advisory Board Member (since 2007) and President
(since 2007)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: President and Chief Executive
Officer, ACC (March 2007 to present), Chief Administrative Officer, ACC
(February 2006 to February 2007); Executive Vice President, ACC (November 2005
to February 2007). Also serves as: President, Chief Executive Officer and
Director, ACS; Executive Vice President, ACIM and ACGIM; Director, ACIM,
ACGIM, ACIS and other ACC subsidiaries; Managing Director, Morgan Stanley
(March 2000 to November 2005)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 109
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

INDEPENDENT TRUSTEES

JOHN FREIDENRICH
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1937
POSITION(S) HELD WITH FUNDS: Trustee (since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Member and Manager, Regis
Management Company, LLC (April 2004 to present); Partner and Founder, Bay
Partners (Venture capital firm, 1976 to present); Partner and Founder, Ware &
Freidenrich (1968 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None


------
41


RONALD J. GILSON
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1946
POSITION(S) HELD WITH FUNDS: Trustee (since 1995) and Chairman of the Board
(since 2005)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Charles J. Meyers Professor of
Law and Business, Stanford Law School (1979 to present); Marc and Eva Stern
Professor of Law and Business, Columbia University School of Law (1992 to
present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

KATHRYN A. HALL
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUNDS: Trustee (since 2001)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Co-Chairman and Co-Chief
Executive Officer and Chief Investment Officer, Offit Hall Capital Management,
LLC (April 2002 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None

PETER F. PERVERE
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUNDS: Advisory Board Member (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, formerly Vice President
and Chief Financial Officer, Commerce One, Inc. (software and services
provider)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Intraware, Inc.

MYRON S. SCHOLES
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1941
POSITION(S) HELD WITH FUNDS: Trustee (since 1980)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chairman, Platinum Grove Asset
Management, L.P., and a Partner, Oak Hill Capital Management (1999 to
present); Frank E. Buck Professor of Finance-Emeritus, Stanford Graduate
School of Business (1996 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Dimensional Fund Advisors
(investment advisor, 1982 to present); Director, Chicago Mercantile Exchange
(2000 to present)

JOHN B. SHOVEN
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1947
POSITION(S) HELD WITH FUNDS: Trustee (since 2002)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Professor of Economics, Stanford
University (1973 to present)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: Director, Cadence Design Systems (1992 to
present)

JEANNE D. WOHLERS
1665 Charleston Road, Mountain View, CA 94043
YEAR OF BIRTH: 1945
POSITION(S) HELD WITH FUNDS: Trustee (since 1984)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Retired, Director and Partner,
Windy Hill Productions, LP (educational software)
NUMBER OF PORTFOLIOS IN FUND COMPLEX OVERSEEN BY TRUSTEE: 43
OTHER DIRECTORSHIPS HELD BY TRUSTEE: None


------
42


OFFICERS

MARYANNE ROEPKE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1956
POSITION(S) HELD WITH FUNDS: Chief Compliance Officer (since 2006) and Senior
Vice President (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Compliance Officer, ACIM,
ACGIM and ACS (August 2006 to present); Assistant Treasurer, ACC (January 1995
to August 2006); Treasurer and Chief Financial Officer, various American
Century funds (July 2000 to August 2006); Also serves as: Senior Vice
President, ACS

CHARLES A. ETHERINGTON
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1957
POSITION(S) HELD WITH FUNDS: General Counsel (since 2007) and Senior Vice
President (since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACC (November
2005 to present); General Counsel, ACC (March 2007 to present). Also serves
as: General Counsel, ACIM, ACGIM, ACS, ACIS and other ACC subsidiaries; and
Senior Vice President, ACIM, ACGIM and ACS

ROBERT LEACH
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1966
POSITION(S) HELD WITH FUNDS: Vice President, Treasurer and Chief Financial
Officer (all since 2006)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present) and Controller, various American Century funds (1997 to
September 2006)

C. JEAN WADE
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1964
POSITION(S) HELD WITH FUNDS: Controller (since 1996)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Vice President, ACS (February
2000 to present)

JON ZINDEL
4500 Main Street, Kansas City, MO 64111
YEAR OF BIRTH: 1967
POSITION(S) HELD WITH FUNDS: Tax Officer (since 2000)
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: Chief Financial Officer and Chief
Accounting Officer, ACC (March 2007 to present); Vice President, ACC (October
2001 to present); Vice President, certain ACC subsidiaries (October 2001 to
August 2006); Vice President, Corporate Tax, ACS (April 1998 to August 2006).
Also serves as: Chief Financial Officer, Chief Accounting Officer and Senior
Vice President, ACIM, ACGIM, ACS and other ACC subsidiaries; and Chief
Accounting Officer and Senior Vice President, ACIS

The SAI has additional information about the funds' trustees and is available
without charge, upon request, by calling 1-800-345-2021.


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43


SHARE CLASS INFORMATION

Six classes of shares are authorized for sale by the funds: Investor Class,
Institutional Class, A Class, B Class, C Class and R Class. The total expense
ratio of Institutional Class shares is lower than that of Investor Class
shares. The total expense ratios of A Class, B Class, C Class and R Class
shares are higher than that of Investor Class shares.

INVESTOR CLASS shares are available for purchase in two ways: 1) directly from
American Century without any commissions or other fees; or 2) through certain
financial intermediaries (such as banks, broker-dealers, insurance companies
and investment advisors), which may require payment of a transaction fee to
the financial intermediary.

INSTITUTIONAL CLASS shares are available to large investors such as
endowments, foundations, and retirement plans, and to financial intermediaries
serving these investors. This class recognizes the relatively lower cost of
serving institutional customers and others who invest at least $5 million ($3
million for endowments and foundations) in an American Century fund or at
least $10 million in multiple funds. In recognition of the larger investments
and account balances and comparatively lower transaction costs, the unified
management fee of Institutional Class shares is 0.20% less than the unified
management fee of Investor Class shares.

A CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. A Class shares are sold at their offering price,
which is net asset value plus an initial sales charge that ranges from 4.50%
to 0.00% for fixed-income funds, depending on the amount invested. The initial
sales charge is deducted from the purchase amount before it is invested. A
Class shares may be subject to a contingent deferred sales charge (CDSC).
There is no CDSC on shares acquired through reinvestment of dividends or
capital gains. The prospectus contains information regarding reductions and
waivers of sales charges for A Class shares. The unified management fee for A
Class shares is the same as for Investor Class shares. A Class shares also are
subject to a 0.25% annual Rule 12b-1 distribution and service fee.

B CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. B Class shares redeemed within six years of purchase
are subject to a CDSC that declines from 5.00% during the first year after
purchase to 0.00% after the sixth year. There is no CDSC on shares acquired
through reinvestment of dividends or capital gains. The unified management fee
for B Class shares is the same as for Investor Class shares. B Class shares
also are subject to a 1.00% annual Rule 12b-1 distribution and service fee. B
Class shares automatically convert to A Class shares (with lower expenses)
eight years after their purchase date.

C CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. C Class shares redeemed within 12 months of purchase
are subject to a CDSC of 1.00%. There is no CDSC on shares acquired through
reinvestment of dividends or capital gains. The unified management fee for C
Class shares is the same as for Investor Class shares. C Class shares also are
subject to a Rule 12b-1 distribution and service fee of 1.00%.


------
44


R CLASS shares are sold primarily through employer-sponsored retirement plans
and through institutions such as investment advisors, banks, broker-dealers,
and insurance companies. The unified management fee for R Class shares is the
same as for Investor Class shares. R Class shares are subject to a 0.50%
annual Rule 12b-1 distribution and service fee.

All classes of shares represent a pro rata interest in the funds and generally
have the same rights and preferences.


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45


ADDITIONAL INFORMATION

RETIREMENT ACCOUNT INFORMATION

As required by law, any distributions you receive from an IRA or certain
403(b), 457 and qualified plans [those not eligible for rollover to an IRA or
to another qualified plan] are subject to federal income tax withholding,
unless you elect not to have withholding apply. Tax will be withheld on the
total amount withdrawn even though you may be receiving amounts that are not
subject to withholding, such as nondeductible contributions. In such case,
excess amounts of withholding could occur. You may adjust your withholding
election so that a greater or lesser amount will be withheld.

If you don't want us to withhold on this amount, you must notify us to not
withhold the federal income tax. Even if you plan to roll over the amount you
withdraw to another tax-deferred account, the withholding rate still applies
to the withdrawn amount unless we have received notice not to withhold federal
income tax prior to the withdrawal. You may notify us in writing or in certain
situations by telephone or through other electronic means. You have the right
to revoke your withholding election at any time and any election you make may
remain in effect until revoked by filing a new election.

Remember, even if you elect not to have income tax withheld, you are liable
for paying income tax on the taxable portion of your withdrawal. If you elect
not to have income tax withheld or you don't have enough income tax withheld,
you may be responsible for payment of estimated tax. You may incur penalties
under the estimated tax rules if your withholding and estimated tax payments
are not sufficient.

State tax will be withheld if, at the time of your distribution, your address
is within one of the mandatory withholding states and you have federal income
tax withheld. State taxes will be withheld from your distribution in
accordance with the respective state rules.

PROXY VOTING GUIDELINES

American Century Investment Management, Inc., the funds' investment advisor,
is responsible for exercising the voting rights associated with the securities
purchased and/or held by the funds. A description of the policies and
procedures the advisor uses in fulfilling this responsibility is available
without charge, upon request, by calling 1-800-345-2021. It is also available
on American Century's website at americancentury.com and on the Securities and
Exchange Commission's website at sec.gov. Information regarding how the
investment advisor voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30 is available on the "About Us" page
at americancentury.com. It is also available at sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The funds file their complete schedule of portfolio holdings with the
Securities and Exchange Commission (SEC) for the first and third quarters of
each fiscal year on Form N-Q. The funds' Forms N-Q are available on the SEC's
website at sec.gov, and may be reviewed and copied at the SEC's Public
Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330. The funds also make
their complete schedule of portfolio holdings for the most recent quarter of
their fiscal year available on their website at americancentury.com and, upon
request, by calling 1-800-345-2021.


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46


INDEX DEFINITIONS

The following indices are used to illustrate investment market, sector, or
style performance or to serve as fund performance comparisons. They are not
investment products available for purchase.

The CITIGROUP GOVERNMENT/CORPORATE 1- TO 3-YEAR INDEX is a
market-capitalization- weighted index that includes fixed-rate government and
corporate issues with maturities between one and three years.

The CITIGROUP US BROAD INVESTMENT-GRADE (BIG) BOND INDEX is a market-
capitalization-weighted index that includes fixed-rate Treasury, government-
sponsored, mortgage, asset-backed, and investment-grade issues with a maturity
of one year or longer.

The LEHMAN BROTHERS U.S. AGENCY INDEX is composed of those securities included
in the Lehman Brothers U.S. Aggregate Index that are public obligations of
U.S. government agencies, quasi-federal corporations, and corporate or foreign
debt guaranteed by the U.S. government.

The LEHMAN BROTHERS U.S. AGGREGATE INDEX represents securities that are
taxable, registered with the Securities and Exchange Commission, and U.S.
dollar- denominated. The index covers the U.S. investment-grade fixed-rate
bond market, with index components for government and corporate securities,
mortgage pass-through securities, and asset-backed securities.

The LEHMAN BROTHERS U.S. CORPORATE INDEX is composed of those securities
included in the Lehman Brothers U.S. Aggregate Index that are U.S.
dollar-denominated, investment-grade, fixed-rate, taxable securities sold by
industrial, utility and financial issuers.

The LEHMAN BROTHERS U.S. CORPORATE HIGH-YIELD INDEX covers the U.S. dollar-
denominated, non-investment grade, fixed-rate, taxable corporate bond market.

The LEHMAN BROTHERS U.S. FIXED-RATE MORTGAGE-BACKED SECURITIES (MBS) INDEX is
the MBS Fixed-Rate component of the Lehman Brothers U.S. Aggregate Index. It
covers the mortgage-backed pass-through securities of the Government National
Mortgage Association (GNMA), the Federal National Mortgage Association (FNMA),
and the Federal Home Loan Mortgage Corporation (FHLMC).

The LEHMAN BROTHERS U.S. TREASURY INDEX is composed of those securities
included in the Lehman Brothers U.S. Aggregate Index that are public
obligations of the U.S. Treasury with a remaining maturity of one year or more.

The LEHMAN BROTHERS U.S. TIPS (TREASURY INFLATION-PROTECTED SECURITIES) INDEX
measures the performance of coupon-bearing fixed-income securities that adjust
for inflation, as measured by the Consumer Price Index for All Urban Consumers.


------
47


NOTES

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48


CONTACT US

AMERICANCENTURY.COM

AUTOMATED INFORMATION LINE:
1-800-345-8765

INVESTOR SERVICES REPRESENTATIVE:
1-800-345-2021 or 816-531-5575

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1-800-378-9878

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1-800-345-3533

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FINANCIAL PROFESSIONALS, INSURANCE COMPANIES:
1-800-345-6488

TELECOMMUNICATIONS DEVICE FOR THE DEAF:
1-800-634-4113 or 816-444-3485

AMERICAN CENTURY INVESTMENT TRUST

INVESTMENT ADVISOR:
American Century Investment Management, Inc.
Kansas City, Missouri

THIS REPORT AND THE STATEMENTS IT CONTAINS ARE SUBMITTED FOR THE GENERAL
INFORMATION OF OUR SHAREHOLDERS. THE REPORT IS NOT AUTHORIZED FOR DISTriBUTION
TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE
PROSPECTUS.

American Century Investment Services, Inc., Distributor

©2007 American Century Proprietary Holdings, Inc. All rights reserved.

The American Century Investments logo, American Century and American Century
Investments are service marks of American Century Proprietary Holdings, Inc.

0705
SH-ANN-54188N






ITEM 2. CODE OF ETHICS.

a.   The registrant has adopted a Code of Ethics for Senior  Financial  Officers
     that applies to the registrant's  principal  executive  officer,  principal
     financial officer,  principal  accounting  officer,  and persons performing
     similar functions.

b.   No response required.

c.   None.

d.   None.

e.   Not applicable.

f.   The registrant's Code of Ethics for Senior Financial  Officers was filed as
     Exhibit 12 (a)(1) to American Century Asset Allocation  Portfolios,  Inc.'s
     Annual Certified  Shareholder Report on Form N-CSR, File No. 811-21591,  on
     September 29, 2005, and is incorporated herein by reference.



ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a)(1)    The registrant's board has determined that the registrant has at least
          one audit committee financial expert serving on its audit committee.

(a)(2)    Jeanne D. Wohlers and Ronald J. Gilson are the registrant's designated
          audit committee  financial experts.  They are "independent" as defined
          in Item 3 of Form N-CSR.

(a)(3)    Not applicable.

(b)       No response required.

(c)       No response required.

(d)       No response required.



ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)  Audit Fees.

The aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal  accountant for the audit of the registrant's
annual  financial  statements  or  services  that are  normally  provided by the
accountant in connection  with statutory and  regulatory  filings or engagements
for those fiscal years were as follows:

         FY 2006:  $91,409*
         FY 2007:  $191,721

(b)  Audit-Related Fees.

The aggregate fees billed in each of the last two fiscal years for assurance and
related services by the principal  accountant 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 were as follows:

         For services rendered to the registrant:

         FY 2006:  $0
         FY 2007:  $0

         Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule
         2-01 of Regulation S-X (relating to certain engagements for non-audit
         services with the registrant's investment adviser and its affiliates):

         FY 2006:  $0
         FY 2007:  $0

(c)  Tax Fees.

The aggregate fees billed in each of the last two fiscal years for  professional
services  rendered by the principal  accountant for tax compliance,  tax advice,
and tax planning were as follows:

         For services rendered to the registrant:

         FY 2006:  $14,999*
         FY 2007:  $29,733

         These services included review of federal and state income tax forms
         and federal excise tax forms.

         Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule
         2-01 of Regulation S-X (relating to certain engagements for non-audit
         services with the registrant's investment adviser and its affiliates):

         FY 2006:  $0
         FY 2007:  $0

(d)  All Other Fees.

The aggregate  fees billed in each of the last two fiscal years for products and
services provided by the principal accountant,  other than the services reported
in paragraphs (a) through (c) of this Item were as follows:

         For services rendered to the registrant:

         FY 2006:  $0
         FY 2007:  $0

         Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule
         2-01 of Regulation S-X (relating to certain engagements for non-audit
         services with the registrant's investment adviser and its affiliates):

         FY 2006:  $0
         FY 2007:  $0

(e)(1)   In accordance  with paragraph  (c)(7)(i)(A)  of Rule 2-01 of Regulation
         S-X, before the accountant is engaged by the registrant to render audit
         or non-audit  services,  the engagement is approved by the registrant's
         audit  committee.  Pursuant  to  paragraph  (c)(7)(ii)  of Rule 2-01 of
         Regulation S-X, the registrant's  audit committee also pre-approves its
         accountant's  engagements for non-audit  services with the registrant's
         investment adviser,  its parent company,  and any entity controlled by,
         or under common  control  with the  investment  adviser  that  provides
         ongoing services to the registrant,  if the engagement relates directly
         to the operations and financial reporting of the registrant.

(e)(2)   All services  described in each of  paragraphs  (b) through (d) of this
         Item were pre-approved  before the engagement by the registrant's audit
         committee pursuant to paragraph (c)(7)(i)(A) of Rule 2-01 of Regulation
         S-X.  Consequently,  none of such services were required to be approved
         by the audit committee pursuant to paragraph (c)(7)(i)(C).

(f)      The  percentage  of  hours  expended  on  the  principal   accountant's
         engagement to audit the registrant's  financial statements for the most
         recent fiscal year that were  attributed  to work  performed by persons
         other than the principal  accountant's  full-time,  permanent employees
         was less than 50%.

(g)      The aggregate non-audit fees billed by the registrant's  accountant for
         services  rendered to the registrant,  and rendered to the registrant's
         investment  adviser  (not  including  any  sub-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 adviser that provides ongoing services
         to the  registrant  for  each  of the  last  two  fiscal  years  of the
         registrant were as follows:

         FY 2006:  $214,332*
         FY 2007:  $198,380

(h)      The  registrant's  investment  adviser and accountant have notified the
         registrant's  audit  committee  of all  non-audit  services  that  were
         rendered by the registrant's  accountant to the registrant's investment
         adviser,  its parent  company,  and any entity  controlled by, or under
         common  control with the investment  adviser that provides  services to
         the  registrant,  which  services were not required to be  pre-approved
         pursuant to paragraph  (c)(7)(ii) of Rule 2-01 of  Regulation  S-X. The
         notification  provided to the  registrant's  audit  committee  included
         sufficient  details  regarding such services to allow the  registrant's
         audit  committee  to  consider  the  continuing   independence  of  its
         principal accountant.

*Revised to reflect  subsequent  adjustments to figure  reported in Registrant's
previous annual filing on Form N-CSR.



ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.



ITEM 6. SCHEDULE OF INVESTMENTS.

The schedule of  investments  is included as part of the report to  stockholders
filed under Item 1 of this Form.



ITEM 7.  DISCLOSURE  OF PROXY VOTING  POLICIES  AND  PROCEDURES  FOR  CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

Not applicable.



ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.



ITEM 9.  PURCHASES OF EQUITY  SECURITIES  BY  CLOSED-END  MANAGEMENT  INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.



ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

During the reporting period, there were no material changes to the procedures by
which shareholders may recommend nominees to the registrant's board.



ITEM 11. CONTROLS AND PROCEDURES.

(a)  The  registrant's  principal  executive  officer  and  principal  financial
     officer  have  concluded  that the  registrant's  disclosure  controls  and
     procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
     1940)  are  effective  based on their  evaluation  of  these  controls  and
     procedures as of a date within 90 days of the filing date of this report.

(b)  There were no changes in the  registrant's  internal control over financial
     reporting (as defined in Rule 30a-3(d) under the Investment  Company Act of
     1940) that occurred  during the  registrant's  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)    Registrant's  Code of Ethics for Senior Financial  Officers,  which is
          the subject of the  disclosure  required by Item 2 of Form N-CSR,  was
          filed  as  Exhibit  12(a)(1)  to  American  Century  Asset  Allocation
          Portfolios,  Inc.'s Certified  Shareholder  Report on Form N-CSR, File
          No. 811-21591, on September 29, 2005.

(a)(2)    Separate   certifications  by  the  registrant's  principal  executive
          officer and principal  financial  officer,  pursuant to Section 302 of
          the  Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment
          Company  Act of  1940,  are  filed  and  attached  hereto  as  Exhibit
          99.302CERT.

(a)(3)    Not applicable.

(b)       A certification by the registrant's  chief executive officer and chief
          financial  officer,  pursuant to Section 906 of the Sarbanes-Oxley Act
          of 2002, is furnished and attached hereto as Exhibit 99.906CERT.






                                   SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.


Registrant:   AMERICAN CENTURY INVESTMENT TRUST



By:      /s/  Jonathan S. Thomas
         --------------------------------------------
         Name:      Jonathan S. Thomas
         Title:     President


Date:    May 30, 2007



     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/  Jonathan S. Thomas
         --------------------------------------------
         Name:      Jonathan S. Thomas
         Title:     President
                    (principal executive officer)


Date:    May 30, 2007




By:      /s/  Robert J. Leach
         --------------------------------------------
         Name:      Robert J. Leach
         Title:     Vice President, Treasurer, and
                    Chief Financial Officer
                    (principal financial officer)


Date:    May 30, 2007