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Legend | ||
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $44,833,252 or 18.1% of net assets. | |
(b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. | |
(c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. | |
(d) | Security is perpetual in nature with no stated maturity date. | |
(e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.07% | $12,316,151 | $24,885,972 | $26,033,680 | $3,399 | $— | $— | $11,168,443 | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 227,404,841 | $ — | $ 227,404,841 | $ — | ||||
U.S. Treasury Obligations | 8,303,223 | — | 8,303,223 | — | ||||
Municipal Securities | 440,399 | — | 440,399 | — | ||||
Asset-Backed Securities | 126,655 | — | 126,655 | — | ||||
Money Market Funds | 11,168,443 | 11,168,443 | — | — | ||||
Total Investments in Securities: | $ 247,443,561 | $ 11,168,443 | $ 236,275,118 | $ — |
United States of America | 79.7% |
United Kingdom | 5.8% |
Canada | 3.2% |
France | 2.3% |
Switzerland | 1.5% |
Ireland | 1.3% |
Others (Individually Less Than 1%) | 6.2% |
100.0% |
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Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.07% | $934,371 | $923,019 | $1,182,417 | $249 | $— | $— | $674,973 | 0.0% |
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Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 3,656,670 | $ — | $ 3,656,670 | $ — | ||||
U.S. Treasury Obligations | 3,420,124 | — | 3,420,124 | — | ||||
U.S. Government Agency - Mortgage Securities | 1,131,337 | — | 1,131,337 | — | ||||
Asset-Backed Securities | 740,693 | — | 740,693 | — | ||||
Collateralized Mortgage Obligations | 681,463 | — | 681,463 | — | ||||
Money Market Funds | 674,973 | 674,973 | — | — | ||||
Total Investments in Securities: | $ 10,305,260 | $ 674,973 | $ 9,630,287 | $ — |
United States of America | 91.4% |
Cayman Islands | 7.6% |
Italy | 2.2% |
United Kingdom | 2.1% |
Germany | 1.1% |
Others (Individually Less Than 1%) | 1.8% |
106.2% |
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Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT Long Bond U.S. Treasury Note Contracts (United States) | 2 | June 2022 | $ 313,375 | $ (4,117) | $ (4,117) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1 | June 2022 | 215,226 | 687 | 687 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 5 | June 2022 | 591,406 | (3,750) | (3,750) |
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 4 | June 2022 | 509,750 | 4,094 | 4,094 |
Total Treasury Contracts | $ (3,086) |
Swaps | |||||||||||
Underlying Reference | Maturity
Date |
Clearinghouse/
Counterparty |
Fixed
Payment Received/ (Paid) |
Payment
Frequency |
Notional
Amount |
Value | Upfront
Premium Received/ (Paid) |
Unrealized Appreciation/ (Depreciation) | |||
Credit Default Swaps | |||||||||||
Buy Protection | |||||||||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | (0.5%) | Monthly | $20,000 | $105 | $(96) | $201 | ||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | (0.5%) | Monthly | $10,000 | 53 | (35) | 88 | ||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | (0.5%) | Monthly | $55,000 | 290 | (71) | 361 |
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Swaps – continued | |||||||||||
Underlying Reference | Maturity
Date |
Clearinghouse/
Counterparty |
Fixed
Payment Received/ (Paid) |
Payment
Frequency |
Notional
Amount |
Value | Upfront
Premium Received/ (Paid) |
Unrealized Appreciation/ (Depreciation) | |||
Credit Default Swaps | |||||||||||
TOTAL CREDIT DEFAULT SWAPS | $448 | $(202) | $650 |
Payment Received | Payment
Frequency |
Payment Paid | Payment
Frequency |
Clearinghouse/
Counterparty1 |
Maturity
Date |
Notional
Amount |
Value | Upfront
Premium Received/ (Paid)2 |
Unrealized Appreciation/ (Depreciation) |
Interest Rate Swaps | |||||||||
1.25% | Semi-Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx3 | Quarterly | LCH | Mar. 2029 | $58,000 | $(1,375) | $0 | $(1,375) |
1 | Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
2 | Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
3 | Represents floating rate. |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.07% | $3,471,995 | $7,071,728 | $7,851,498 | $811 | $— | $— | $2,692,225 | 0.0% |
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Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
U.S. Government Agency - Mortgage Securities | $ 6,021,468 | $ — | $ 6,021,468 | $ — | ||||
Collateralized Mortgage Obligations | 832,244 | — | 832,244 | — | ||||
U.S. Treasury Obligations | 420,951 | — | 420,951 | — | ||||
Asset-Backed Securities | 84,208 | — | 84,208 | — | ||||
Money Market Funds | 2,692,225 | 2,692,225 | — | — | ||||
Total Investments in Securities: | $ 10,051,096 | $ 2,692,225 | $ 7,358,871 | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 4,781 | $ 4,781 | $ — | $ — | ||||
Swaps | 650 | — | 650 | — | ||||
Total Assets | $ 5,431 | $ 4,781 | $ 650 | $ — | ||||
Liabilities | ||||||||
Swaps | $ (1,375) | $ — | $ (1,375) | $ — | ||||
Futures Contracts | (7,867) | (7,867) | — | — | ||||
Total Liabilities | $ (9,242) | $ (7,867) | $ (1,375) | $ — | ||||
Total Derivative Instruments: | $ (3,811) | $ (3,086) | $ (725) | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Credit Risk | |||
Swaps (a) | $ 448 | $ 0 | |
Total Credit Risk | $ 448 | $ 0 | |
Interest Rate Risk | |||
Futures Contracts(b) | 4,781 | (7,867) | |
Swaps (a) | 0 | (1,375) | |
Total Interest Rate Risk | $4,781 | $(9,242) | |
Total Value of Derivatives | $5,229 | $(9,242) |
(a) | For bi-lateral over-the counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss). |
(b) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
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Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 54 | June 2022 | $6,387,188 | $40,098 | $40,098 |
Semi-Annual Report | 40 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.07% | $1,618,747 | $32,732,875 | $29,438,058 | $1,064 | $— | $— | $4,913,564 | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 172,864,176 | $ — | $ 172,864,176 | $ — | ||||
U.S. Treasury Obligations | 50,490,631 | — | 50,490,631 | — | ||||
Asset-Backed Securities | 33,448,393 | — | 33,448,393 | — | ||||
Collateralized Mortgage Obligations | 21,025,053 | — | 21,025,053 | — | ||||
U.S. Government Agency - Mortgage Securities | 2,100,645 | — | 2,100,645 | — | ||||
Municipal Securities | 223,834 | — | 223,834 | — | ||||
Foreign Government and Government Agency Obligations | 194,300 | — | 194,300 | — | ||||
Money Market Funds | 4,913,564 | 4,913,564 | — | — | ||||
Total Investments in Securities: | $ 285,260,596 | $ 4,913,564 | $ 280,347,032 | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 40,098 | $ 40,098 | $ — | $ — | ||||
Total Assets | $ 40,098 | $ 40,098 | $ — | $ — | ||||
Total Derivative Instruments: | $ 40,098 | $ 40,098 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Interest Rate Risk | |||
Futures Contracts(a) | $40,098 | $0 | |
Total Interest Rate Risk | $40,098 | $0 | |
Total Value of Derivatives | $40,098 | $0 |
(a) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
United States of America | 80.3% |
Cayman Islands | 4.4% |
United Kingdom | 3.5% |
Japan | 2.3% |
Canada | 1.9% |
France | 1.8% |
Netherlands | 1.6% |
Switzerland | 1.2% |
Germany | 1.2% |
Others (Individually Less Than 1%) | 3.1% |
101.3% |
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Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.07% | $3,328,989 | $39,528,159 | $36,882,195 | $1,115 | $983 | $(983) | $5,974,953 | 0.0% |
Semi-Annual Report | 50 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 199,533,427 | $ — | $ 199,533,427 | $ — | ||||
U.S. Treasury Obligations | 23,549,208 | — | 23,549,208 | — | ||||
Money Market Funds | 5,974,953 | 5,974,953 | — | — | ||||
Total Investments in Securities: | $ 229,057,588 | $ 5,974,953 | $ 223,082,635 | $ — |
United States of America | 65.2% |
Canada | 12.9% |
Australia | 5.6% |
Japan | 5.6% |
United Kingdom | 3.6% |
Switzerland | 3.5% |
France | 1.9% |
Netherlands | 1.8% |
Others (Individually Less Than 1%) | 2.3% |
102.4% |
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Security | Acquisition Date | Acquisition Cost |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20-1/19/22 | $ 29,173 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/5/20-1/19/22 | $ 50,201 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT Long Bond U.S. Treasury Note Contracts (United States) | 58 | June 2022 | 9,087,875 | (119,394) | (119,394) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 61 | June 2022 | 13,128,820 | 41,938 | 41,938 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 41 | June 2022 | 4,849,531 | (35,254) | (35,254) |
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 53 | June 2022 | 6,754,188 | 54,242 | 54,242 |
Total Treasury Contracts | $ (58,468) |
Swaps | |||||||||||
Underlying Reference | Maturity
Date |
Clearinghouse/
Counterparty |
Fixed
Payment Received/ (Paid) |
Payment
Frequency |
Notional
Amount |
Value | Upfront
Premium Received/ (Paid) |
Unrealized Appreciation/ (Depreciation) | |||
Credit Default Swaps | |||||||||||
Buy Protection | |||||||||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Goldman Sachs Bank USA | (0.5%) | Monthly | $1,720,000 | $ 9,066 | $ 7,522 | $1,544 | |||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Chase Bank, N.A. | (0.5%) | Monthly | $1,000,000 | 5,271 | 5,577 | (306) | |||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Chase Bank, N.A. | (0.5%) | Monthly | $1,730,000 | 9,118 | 7,801 | 1,317 | |||
TOTAL CREDIT DEFAULT SWAPS | $23,455 | $20,900 | $2,555 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 0.07% | $241,790,925 | $140,803,000 | $382,593,925 | $0 | $— | $— | $— | 0.0% |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period | ||||||
Fidelity Investments Money Market Government Portfolio Class I 0.01% | $— | $211,294,114 | $— | $56,515 | $— | $— | $211,294,114 |
Semi-Annual Report | 84 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 853,737,133 | $ — | $ 853,737,133 | $ — | ||||
U.S. Treasury Obligations | 815,792,959 | — | 815,792,959 | — | ||||
U.S. Government Agency - Mortgage Securities | 279,420,266 | — | 279,420,266 | — | ||||
Bank Loan Obligations | 143,164,463 | — | 143,164,463 | — | ||||
Asset-Backed Securities | 122,904,428 | — | 122,904,428 | — | ||||
Collateralized Mortgage Obligations | 67,482,240 | — | 67,482,240 | — | ||||
Foreign Government and Government Agency Obligations | 40,774,360 | — | 40,774,360 | — | ||||
Municipal Securities | 4,392,121 | — | 4,392,121 | — | ||||
Common Stocks | 2,731,850 | 2,359,897 | — | 371,953 | ||||
Convertible Bonds | 1,587,119 | — | 1,167,876 | 419,243 | ||||
Money Market Funds | 211,294,114 | 211,294,114 | — | — | ||||
Total Investments in Securities: | $ 2,543,281,053 | $ 213,654,011 | $ 2,328,835,846 | $ 791,196 |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 96,180 | $ 96,180 | $ — | $ — | ||||
Swaps | 2,861 | — | 2,861 | — | ||||
Total Assets | $ 99,041 | $ 96,180 | $ 2,861 | $ — | ||||
Liabilities | ||||||||
Swaps | $ (306) | $ — | $ (306) | $ — | ||||
Futures Contracts | (154,648) | (154,648) | — | — | ||||
Total Liabilities | $ (154,954) | $ (154,648) | $ (306) | $ — | ||||
Total Derivative Instruments: | $ (55,913) | $ (58,468) | $ 2,555 | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Credit Risk | |||
Swaps (a) | $ 23,455 | $ 0 | |
Total Credit Risk | $ 23,455 | $ 0 | |
Interest Rate Risk | |||
Futures Contracts(b) | 96,180 | (154,648) | |
Total Interest Rate Risk | $ 96,180 | $(154,648) | |
Total Value of Derivatives | $119,635 | $(154,648) |
(a) | For bi-lateral over-the counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss). |
(b) | Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in total accumulated earnings (loss). |
85 | Semi-Annual Report |
United States of America | 91.4% |
Cayman Islands | 4.7% |
United Kingdom | 1.3% |
Mexico | 1.3% |
Canada | 1.1% |
Others (Individually Less Than 1%) | 6.1% |
105.9% |
Semi-Annual Report | 86 |
Fidelity
Corporate Bond ETF |
Fidelity
Investment Grade Bond ETF |
Fidelity
Investment Grade Securitized ETF |
Fidelity
Limited Term Bond ETF | ||||
Assets | |||||||
Investments in securities, at value – See accompanying schedule: | |||||||
Unaffiliated issuers | $236,275,118 | $ 9,630,287 | $ 7,358,871 | $280,347,032 | |||
Fidelity Central Funds | 11,168,443 | 674,973 | 2,692,225 | 4,913,564 | |||
Other Affiliated issuers | — | — | — | — | |||
Total Investments in Securities | $247,443,561 | $10,305,260 | $10,051,096 | $285,260,596 | |||
Segregated cash with brokers for derivative instruments | — | — | 8,180 | 56,700 | |||
Cash | 111,311 | 8,881 | 24,848 | — | |||
Receivable for investments sold | |||||||
Regular delivery | 7,162,138 | — | — | 4,438,117 | |||
Delayed delivery | — | 72,833 | 4,360,969 | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Distributions receivable from Fidelity Central Funds | 594 | 38 | 150 | 208 | |||
Dividends receivable | — | — | — | — | |||
Interest receivable | 2,198,466 | 48,345 | 10,066 | 1,169,288 | |||
Bi-lateral OTC swaps, at value | — | — | 448 | — | |||
Receivable for daily variation margin on centrally cleared OTC swaps | — | — | 577 | — | |||
Total assets | 256,916,070 | 10,435,357 | 14,456,334 | 290,924,909 | |||
Liabilities | |||||||
Payable for investments purchased | |||||||
Regular delivery | 1,100,558 | 123,826 | 27,556 | 8,610,408 | |||
Delayed delivery | — | 595,578 | 8,424,712 | 280,668 | |||
Payable for fund shares redeemed | 7,742,276 | — | — | — | |||
Distributions payable | 553,700 | 13,200 | 8,500 | 255,300 | |||
Accrued management fees | 75,863 | 2,906 | 2,474 | 84,901 | |||
Payable for daily variation margin on futures contracts | — | — | 12,071 | 11,137 | |||
Total liabilities | 9,472,397 | 735,510 | 8,475,313 | 9,242,414 | |||
Net Assets | $247,443,673 | $ 9,699,847 | $ 5,981,021 | $281,682,495 | |||
Net Assets consist of: | |||||||
Paid in capital | $257,053,316 | $10,026,001 | $ 6,418,281 | $290,202,269 | |||
Total accumulated earnings (loss) | (9,609,643) | (326,154) | (437,260) | (8,519,774) | |||
Net Assets | $247,443,673 | $ 9,699,847 | $ 5,981,021 | $281,682,495 | |||
Shares outstanding | 4,750,000 | 200,000 | 125,000 | 5,550,000 | |||
Net Asset Value per share | $ 52.09 | $ 48.50 | $ 47.85 | $ 50.75 | |||
Investments at cost – Unaffiliated issuers | $246,157,808 | $ 9,900,445 | $ 7,414,967 | $287,992,045 | |||
Investments at cost – Fidelity Central Funds | 11,168,360 | 674,973 | 2,692,225 | 4,913,562 | |||
Investments at cost – Affiliated issuers | — | — | — | — | |||
Investments at cost | $257,326,168 | $10,575,418 | $10,107,192 | $292,905,607 |
Semi-Annual Report | 88 |
Fidelity
Low Duration Bond Factor ETF |
Fidelity
Total Bond ETF | ||
Assets | |||
Investments in securities, at value – See accompanying schedule: | |||
Unaffiliated issuers | $223,082,635 | $2,331,986,939 | |
Fidelity Central Funds | 5,974,953 | — | |
Other Affiliated issuers | — | 211,294,114 | |
Total Investments in Securities | $229,057,588 | $2,543,281,053 | |
Segregated cash with brokers for derivative instruments | — | 2,713,460 | |
Cash | 2,498 | 31,769,652 | |
Receivable for investments sold | |||
Regular delivery | 5,548,168 | 2,451,464 | |
Delayed delivery | — | 33,649,846 | |
Receivable for fund shares sold | — | 53,697,232 | |
Distributions receivable from Fidelity Central Funds | 115 | — | |
Dividends receivable | — | 1,621 | |
Interest receivable | 292,862 | 13,931,229 | |
Bi-lateral OTC swaps, at value | — | 23,455 | |
Receivable for daily variation margin on centrally cleared OTC swaps | — | — | |
Total assets | 234,901,231 | 2,681,519,012 | |
Liabilities | |||
Payable for investments purchased | |||
Regular delivery | 8,624,754 | 123,901,511 | |
Delayed delivery | — | 149,155,460 | |
Payable for fund shares redeemed | 2,523,941 | — | |
Distributions payable | 111,875 | 3,672,160 | |
Accrued management fees | 27,274 | 677,402 | |
Payable for daily variation margin on futures contracts | — | 2,823,686 | |
Total liabilities | 11,287,844 | 280,230,219 | |
Net Assets | $223,613,387 | $2,401,288,793 | |
Net Assets consist of: | |||
Paid in capital | $224,876,338 | $2,454,773,990 | |
Total accumulated earnings (loss) | (1,262,951) | (53,485,197) | |
Net Assets | $223,613,387 | $2,401,288,793 | |
Shares outstanding | 4,425,000 | 46,952,000 | |
Net Asset Value per share | $ 50.53 | $ 51.14 | |
Investments at cost – Unaffiliated issuers | $224,023,646 | $2,377,211,511 | |
Investments at cost – Fidelity Central Funds | 5,974,953 | — | |
Investments at cost – Affiliated issuers | — | 211,294,114 | |
Investments at cost | $229,998,599 | $2,588,505,625 |
89 | Semi-Annual Report |
Fidelity
Corporate Bond ETF |
Fidelity
Investment Grade Bond ETF |
Fidelity
Investment Grade Securitized ETF |
Fidelity
Limited Term Bond ETF | ||||
Investment Income | |||||||
Dividends Unaffiliated issuers | $ — | $ — | $ — | $ — | |||
Dividends Affiliated issuers | — | — | — | — | |||
Interest | 3,736,249 | 90,030 | 81,105 | 1,741,822 | |||
Income from Fidelity Central Funds | 3,399 | 249 | 811 | 1,064 | |||
Total income | 3,739,648 | 90,279 | 81,916 | 1,742,886 | |||
Expenses | |||||||
Management fees | 493,763 | 17,955 | 17,285 | 513,442 | |||
Independent trustees' fees and expenses | 477 | 17 | 17 | 503 | |||
Legal | — | — | — | — | |||
Total expenses before reductions | 494,240 | 17,972 | 17,302 | 513,945 | |||
Expense reductions | (24) | (5) | (3) | (20) | |||
Total expenses | 494,216 | 17,967 | 17,299 | 513,925 | |||
Net investment income (loss) | 3,245,432 | 72,312 | 64,617 | 1,228,961 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | 643,569 | (20,535) | (380,827) | (173,096) | |||
Net realized gain (loss) on Fidelity Central Funds | — | — | — | — | |||
Net realized gain (loss) on In-kind redemptions | 399,634 | — | — | (194,767) | |||
Net realized gain (loss) on futures contracts | — | — | 17,217 | (307,219) | |||
Net realized gain (loss) on Swaps | — | — | 1,019 | — | |||
Total net realized gain (loss) | 1,043,203 | (20,535) | (362,591) | (675,082) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (21,241,855) | (430,798) | (64,763) | (8,655,018) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | — | — | (3,206) | 38,926 | |||
Change in net unrealized appreciation (depreciation) on swaps | — | — | (2,323) | — | |||
Total change in net unrealized appreciation (depreciation) | (21,241,855) | (430,798) | (70,292) | (8,616,092) | |||
Net gain (loss) | (20,198,652) | (451,333) | (432,883) | (9,291,174) | |||
Net increase (decrease) in net assets resulting from operations | $(16,953,220) | $(379,021) | $(368,266) | $(8,062,213) |
Semi-Annual Report | 90 |
Fidelity
Low Duration Bond Factor ETF |
Fidelity
Total Bond ETF | ||
Investment Income | |||
Dividends Unaffiliated issuers | $ — | $ 220 | |
Dividends Affiliated issuers | — | 1,853 | |
Interest | 741,275 | 22,489,095 | |
Income from Fidelity Central Funds | 1,115 | 56,515 | |
Total income | 742,390 | 22,547,683 | |
Expenses | |||
Management fees | 173,050 | 3,902,460 | |
Independent trustees' fees and expenses | 396 | 3,481 | |
Legal | — | 1,571 | |
Total expenses before reductions | 173,446 | 3,907,512 | |
Expense reductions | (27) | (102) | |
Total expenses | 173,419 | 3,907,410 | |
Net investment income (loss) | 568,971 | 18,640,273 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on investment securities | (5,387) | (146,152) | |
Net realized gain (loss) on Fidelity Central Funds | — | 983 | |
Net realized gain (loss) on In-kind redemptions | — | — | |
Net realized gain (loss) on futures contracts | — | (114,788) | |
Net realized gain (loss) on Swaps | — | — | |
Total net realized gain (loss) | (5,387) | (259,957) | |
Change in net unrealized appreciation (depreciation) on investment securities | (1,686,260) | (103,857,414) | |
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — | (983) | |
Change in net unrealized appreciation (depreciation) on futures contracts | — | (58,468) | |
Change in net unrealized appreciation (depreciation) on swaps | — | 2,555 | |
Total change in net unrealized appreciation (depreciation) | (1,686,260) | (103,914,310) | |
Net gain (loss) | (1,691,647) | (104,174,267) | |
Net increase (decrease) in net assets resulting from operations | $(1,122,676) | $ (85,533,994) |
91 | Semi-Annual Report |
Fidelity Corporate Bond ETF |
Fidelity Investment Grade Bond ETF | ||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 |
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 3,245,432 | $ 6,342,736 | $ 72,312 | $ 57,072 | |||
Net realized gain (loss) | 1,043,203 | 780,162 | (20,535) | (28,844) | |||
Change in net unrealized appreciation (depreciation) | (21,241,855) | 701,763 | (430,798) | 160,640 | |||
Net increase (decrease) in net assets resulting from operations | (16,953,220) | 7,824,661 | (379,021) | 188,868 | |||
Distributions to shareholders | (3,244,850) | (7,401,950) | (72,600) | (63,400) | |||
Return of capital | — | — | — | — | |||
Total distributions | (3,244,850) | (7,401,950) | (72,600) | (63,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 11,095,233 | 119,871,987 | — | 10,026,000 | |||
Cost of shares redeemed | (37,914,666) | (32,765,280) | — | — | |||
Net increase (decrease) in net assets resulting from share transactions | (26,819,433) | 87,106,707 | — | 10,026,000 | |||
Total increase (decrease) in net assets | (47,017,503) | 87,529,418 | (451,621) | 10,151,468 | |||
Net Assets | |||||||
Beginning of period | 294,461,176 | 206,931,758 | 10,151,468 | — | |||
End of period | $247,443,673 | $294,461,176 | $ 9,699,847 | $10,151,468 | |||
Other Information | |||||||
Shares | |||||||
Sold | 200,000 | 2,150,000 | — | 200,000 | |||
Redeemed | (700,000) | (600,000) | — | — | |||
Net increase (decrease) | (500,000) | 1,550,000 | — | 200,000 |
A | For the period March 2, 2021 (commencement of operations) to August 31, 2021. |
Semi-Annual Report | 92 |
Fidelity Investment Grade Securitized ETF |
Fidelity Limited Term Bond ETF | ||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021A |
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 64,617 | $ 4,625 | $ 1,228,961 | $ 2,462,656 | |||
Net realized gain (loss) | (362,591) | 2,512 | (675,082) | 1,523,499 | |||
Change in net unrealized appreciation (depreciation) | (70,292) | 10,385 | (8,616,092) | (1,616,766) | |||
Net increase (decrease) in net assets resulting from operations | (368,266) | 17,522 | (8,062,213) | 2,369,389 | |||
Distributions to shareholders | (65,500) | (21,016) | (1,290,900) | (2,569,300) | |||
Return of capital | — | (28,984) | — | — | |||
Total distributions | (65,500) | (50,000) | (1,290,900) | (2,569,300) | |||
Share transactions | |||||||
Proceeds from sales of shares | — | 10,018,000 | 31,016,338 | 278,080,411 | |||
Cost of shares redeemed | (3,570,735) | — | (23,177,297) | (175,867,637) | |||
Net increase (decrease) in net assets resulting from share transactions | (3,570,735) | 10,018,000 | 7,839,041 | 102,212,774 | |||
Total increase (decrease) in net assets | (4,004,501) | 9,985,522 | (1,514,072) | 102,012,863 | |||
Net Assets | |||||||
Beginning of period | 9,985,522 | — | 283,196,567 | 181,183,704 | |||
End of period | $ 5,981,021 | $ 9,985,522 | $281,682,495 | $ 283,196,567 | |||
Other Information | |||||||
Shares | |||||||
Sold | — | 200,000 | 600,000 | 5,300,000 | |||
Redeemed | (75,000) | — | (450,000) | (3,350,000) | |||
Net increase (decrease) | (75,000) | 200,000 | 150,000 | 1,950,000 |
A | For the period March 2, 2021 (commencement of operations) to August 31, 2021. |
93 | Semi-Annual Report |
Fidelity Low Duration Bond Factor ETF |
Fidelity Total Bond ETF | ||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 |
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 568,971 | $ 1,263,316 | $ 18,640,273 | $ 31,981,427 | |||
Net realized gain (loss) | (5,387) | 232,909 | (259,957) | (4,537,476) | |||
Change in net unrealized appreciation (depreciation) | (1,686,260) | (716,238) | (103,914,310) | 7,451,419 | |||
Net increase (decrease) in net assets resulting from operations | (1,122,676) | 779,987 | (85,533,994) | 34,895,370 | |||
Distributions to shareholders | (576,725) | (1,253,350) | (19,335,926) | (65,488,188) | |||
Return of capital | — | — | — | — | |||
Total distributions | (576,725) | (1,253,350) | (19,335,926) | (65,488,188) | |||
Share transactions | |||||||
Proceeds from sales of shares | — | 58,685,085 | 457,513,044 | 727,338,753 | |||
Cost of shares redeemed | (10,129,547) | (13,985,293) | — | (13,321,769) | |||
Net increase (decrease) in net assets resulting from share transactions | (10,129,547) | 44,699,792 | 457,513,044 | 714,016,984 | |||
Total increase (decrease) in net assets | (11,828,948) | 44,226,429 | 352,643,124 | 683,424,166 | |||
Net Assets | |||||||
Beginning of period | 235,442,335 | 191,215,906 | 2,048,645,669 | 1,365,221,503 | |||
End of period | $223,613,387 | $235,442,335 | $2,401,288,793 | $2,048,645,669 | |||
Other Information | |||||||
Shares | |||||||
Sold | — | 1,150,000 | 8,750,000 | 13,500,000 | |||
Redeemed | (200,000) | (275,000) | — | (250,000) | |||
Net increase (decrease) | (200,000) | 875,000 | 8,750,000 | 13,250,000 |
Semi-Annual Report | 94 |
Fidelity Corporate Bond ETF | |||||||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 |
Year
ended August 31, 2020 |
Year
ended August 31, 2019 |
Year
ended August 31, 2018 |
Year
ended August 31, 2017 | ||||||
Selected Per-Share Data | |||||||||||
Net asset value, beginning of period | $ 56.09 | $ 55.93 | $ 53.26 | $ 48.64 | $ 50.97 | $ 51.20 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.645 | 1.321 | 1.546 | 1.732 | 1.599 | 1.444 | |||||
Net realized and unrealized gain (loss) | (3.998) | 0.387 | 2.655 | 4.610 | (2.311) | (0.243) | |||||
Total from investment operations | (3.353) | 1.708 | 4.201 | 6.342 | (0.712) | 1.201 | |||||
Distributions from net investment income | (0.647) | (1.308) | (1.531) | (1.722) | (1.618) | (1.431) | |||||
Distributions from net realized gain | — | (0.244) | — | — | — | — | |||||
Total distributions | (0.647) | (1.552) | (1.531) | (1.722) | (1.618) | (1.431) | |||||
Net asset value, end of period | $ 52.09 | $ 56.09 | $ 55.93 | $ 53.26 | $ 48.64 | $ 50.97 | |||||
Total ReturnC,D,E | (6.00)% | 3.11% | 8.06% | 13.39% | (1.41)% | 2.43% | |||||
Ratios to Average Net AssetsA,F,G | |||||||||||
Expenses before reductions | .36% H | .36% | .36% | .36% | .42% | .45% | |||||
Expenses net of fee waivers, if any | .36% H | .36% | .36% | .36% | .42% | .45% | |||||
Expenses net of all reductions | .36% H | .36% | .36% | .36% | .42% | .45% | |||||
Net investment income (loss) | 2.38% H | 2.38% | 2.88% | 3.45% | 3.22% | 2.87% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $247,444 | $294,461 | $206,932 | $127,822 | $58,362 | $63,711 | |||||
Portfolio turnover rateI | 16% J,K | 26% K | 31% K | 40% | 81% K | 29% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Total returns for periods of less than one year are not annualized. |
E | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
F | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
G | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
H | Annualized. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
J | Amount not annualized. |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
95 | Semi-Annual Report |
Fidelity Investment Grade Bond ETF | |||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 50.76 | $ 50.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.362 | 0.287 | |
Net realized and unrealized gain (loss) | (2.259) | 0.790 | |
Total from investment operations | (1.897) | 1.077 | |
Distributions from net investment income | (0.363) | (0.317) | |
Total distributions | (0.363) | (0.317) | |
Net asset value, end of period | $ 48.50 | $ 50.76 | |
Total ReturnD,E,F | (3.74)% | 2.16% | |
Ratios to Average Net AssetsB,G,H,I | |||
Expenses before reductions | .36% | .36% | |
Expenses net of fee waivers, if any | .36% | .36% | |
Expenses net of all reductions | .36% | .36% | |
Net investment income (loss) | 1.46% | 1.14% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 9,700 | $10,151 | |
Portfolio turnover rateJ,K | 16% | 19% |
A | For the period March 2, 2021 (commencement of operations) to August 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Annualized. |
H | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
I | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Amount not annualized. |
Semi-Annual Report | 96 |
Fidelity Investment Grade Securitized ETF | |||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 49.93 | $ 50.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.331 | 0.023 | |
Net realized and unrealized gain (loss) | (2.058) | 0.160 | |
Total from investment operations | (1.727) | 0.183 | |
Distributions from net investment income | (0.353) | (0.078) D | |
Distributions from net realized gain | — | (0.027) D | |
Return of capital | — | (0.145) | |
Total distributions | (0.353) | (0.250) | |
Net asset value, end of period | $ 47.85 | $ 49.93 | |
Total ReturnE,F,G | (3.47)% | 0.36% | |
Ratios to Average Net AssetsB,H,I,J | |||
Expenses before reductions | .36% | .36% | |
Expenses net of fee waivers, if any | .36% | .36% | |
Expenses net of all reductions | .36% | .36% | |
Net investment income (loss) | 1.35% | .09% | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 5,981 | $ 9,986 | |
Portfolio turnover rateK,L | 85% | 65% |
A | For the period March 2, 2021 (commencement of operations) to August 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
G | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
H | Annualized. |
I | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
J | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
K | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
L | Amount not annualized. |
97 | Semi-Annual Report |
Fidelity Limited Term Bond ETF | |||||||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 |
Year
ended August 31, 2020 |
Year
ended August 31, 2019 |
Year
ended August 31, 2018 |
Year
ended August 31, 2017 | ||||||
Selected Per-Share Data | |||||||||||
Net asset value, beginning of period | $ 52.44 | $ 52.52 | $ 51.07 | $ 49.42 | $ 50.60 | $ 50.85 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.223 | 0.470 | 1.039 | 1.344 | 1.072 | 0.767 | |||||
Net realized and unrealized gain (loss) | (1.679) | (0.044) | 1.495 | 1.687 | (1.201) | (0.131) | |||||
Total from investment operations | (1.456) | 0.426 | 2.534 | 3.031 | (0.129) | 0.636 | |||||
Distributions from net investment income | (0.234) | (0.486) C | (1.084) | (1.381) | (1.051) | (0.836) | |||||
Distributions from net realized gain | — | (0.020) C | — | — | — | (0.050) | |||||
Total distributions | (0.234) | (0.506) | (1.084) | (1.381) | (1.051) | (0.886) | |||||
Net asset value, end of period | $ 50.75 | $ 52.44 | $ 52.52 | $ 51.07 | $ 49.42 | $ 50.60 | |||||
Total ReturnD,E,F | (2.78)% | 0.83% | 5.04% | 6.22% | (0.23)% | 1.27% | |||||
Ratios to Average Net AssetsA,G,H | |||||||||||
Expenses before reductions | .36% I | .36% | .36% | .36% | .41% | .45% | |||||
Expenses net of fee waivers, if any | .36% I | .36% | .36% | .36% | .41% | .45% | |||||
Expenses net of all reductions | .36% I | .36% | .36% | .36% | .41% | .45% | |||||
Net investment income (loss) | .87% I | .90% | 2.02% | 2.69% | 2.15% | 1.54% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $281,682 | $283,197 | $181,184 | $127,663 | $190,278 | $103,725 | |||||
Portfolio turnover rateJ,K | 18% L | 75% | 102% | 32% | 113% | 206% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
I | Annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
L | Amount not annualized. |
Semi-Annual Report | 98 |
Fidelity Low Duration Bond Factor ETF | |||||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 |
Year
ended August 31, 2020 |
Year
ended August 31, 2019 |
Year
ended August 31, 2018A | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 50.91 | $ 50.99 | $ 50.71 | $ 50.10 | $ 50.00 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B,C | 0.125 | 0.275 | 0.913 | 1.479 | 0.279 | ||||
Net realized and unrealized gain (loss) | (0.378) | (0.085) | 0.325 | 0.469 | 0.096 | ||||
Total from investment operations | (0.253) | 0.190 | 1.238 | 1.948 | 0.375 | ||||
Distributions from net investment income | (0.127) | (0.270) | (0.958) | (1.338) | (0.275) | ||||
Total distributions | (0.127) | (0.270) | (0.958) | (1.338) | (0.275) | ||||
Net asset value, end of period | $ 50.53 | $ 50.91 | $ 50.99 | $ 50.71 | $ 50.10 | ||||
Total ReturnD,E,F | (0.48)% | 0.36% | 2.48% | 3.95% | 0.75% | ||||
Ratios to Average Net AssetsB,G,H | |||||||||
Expenses before reductions | .15% I | .15% | .15% | .15% | .15% I | ||||
Expenses net of fee waivers, if any | .15% I | .15% | .15% | .15% | .15% I | ||||
Expenses net of all reductions | .15% I | .15% | .15% | .15% | .15% I | ||||
Net investment income (loss) | .50% I | .54% | 1.81% | 2.90% | 2.51% I | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $223,613 | $235,442 | $191,216 | $109,024 | $10,020 | ||||
Portfolio turnover rateJ | 23% K | 40% | 43% L | 14% | 2% K |
A | For the period June 12, 2018 (commencement of operations) to August 31, 2018. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
I | Annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Amount not annualized. |
L | Portfolio turnover rate excludes securities received or delivered in-kind. |
99 | Semi-Annual Report |
Fidelity Total Bond ETF | |||||||||||
Six
months ended February 28, 2022 (Unaudited) |
Year
ended August 31, 2021 |
Year
ended August 31, 2020 |
Year
ended August 31, 2019 |
Year
ended August 31, 2018 |
Year
ended August 31, 2017 | ||||||
Selected Per-Share Data | |||||||||||
Net asset value, beginning of period | $ 53.63 | $ 54.71 | $ 51.95 | $ 48.80 | $ 50.51 | $ 50.82 | |||||
Income from Investment Operations | |||||||||||
Net investment income (loss)A,B | 0.452 | 0.988 | 1.323 | 1.502 | 1.334 | 1.225 | |||||
Net realized and unrealized gain (loss) | (2.479) | 0.023 | 2.812 | 3.147 | (1.690) | (0.242) | |||||
Total from investment operations | (2.027) | 1.011 | 4.135 | 4.649 | (0.356) | 0.983 | |||||
Distributions from net investment income | (0.463) | (0.951) C | (1.375) | (1.499) | (1.354) | (1.279) | |||||
Distributions from net realized gain | — | (1.143) C | — | — | — | — | |||||
Return of capital | — | — | — | — | — | (0.014) | |||||
Total distributions | (0.463) | (2.094) | (1.375) | (1.499) | (1.354) | (1.293) | |||||
Net asset value, end of period | $ 51.14 | $ 53.63 | $ 54.71 | $ 51.95 | $ 48.80 | $ 50.51 | |||||
Total ReturnD,E,F | (3.79)% | 1.90% | 8.10% | 9.73% | (0.69)% | 1.99% | |||||
Ratios to Average Net AssetsA,G,H | |||||||||||
Expenses before reductions | .36% I | .36% | .36% | .36% | .41% | .45% | |||||
Expenses net of fee waivers, if any | .36% I | .36% | .36% | .36% | .41% | .45% | |||||
Expenses net of all reductions | .36% I | .36% | .36% | .36% | .41% | .45% | |||||
Net investment income (loss) | 1.73% I | 1.84% | 2.51% | 3.01% | 2.70% | 2.45% | |||||
Supplemental Data | |||||||||||
Net assets, end of period (000 omitted) | $2,401,289 | $2,048,646 | $1,365,222 | $761,195 | $427,093 | $280,414 | |||||
Portfolio turnover rateJ | 29% K,L | 117% L | 112% L | 150% L | 91% L | 128% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
I | Annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Amount not annualized. |
L | Portfolio turnover rate excludes securities received or delivered in-kind. |
Semi-Annual Report | 100 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
101 | Semi-Annual Report |
Semi-Annual Report | 102 |
Tax cost | Gross
unrealized appreciation |
Gross
unrealized depreciation |
Net
unrealized appreciation (depreciation) | |
Fidelity Corporate Bond ETF | $ 257,386,024 | $ 1,305,574 | $ (11,248,037) | $ (9,942,463) |
Fidelity Investment Grade Bond ETF | 10,576,375 | 34,297 | (305,412) | (271,115) |
Fidelity Investment Grade Securitized ETF | 10,134,156 | 19,579 | (102,639) | (83,060) |
Fidelity Limited Term Bond ETF | 292,906,247 | 95,818 | (7,741,469) | (7,645,651) |
Fidelity Low Duration Bond Factor ETF | 230,008,954 | 310,675 | (1,262,041) | (951,366) |
Fidelity Total Bond ETF | 2,588,889,408 | 16,014,858 | (61,623,213) | (45,608,355) |
No-expiration
Short-term |
No-expiration
Long-term |
Total
capital loss carryforward | |
Fidelity Corporate Bond ETF | $ — | $ — | $ — |
Fidelity Investment Grade Bond ETF | (28,834) | — | (28,834) |
Fidelity Investment Grade Securitized ETF | — | — | — |
Fidelity Limited Term Bond ETF | — | — | — |
Fidelity Low Duration Bond Factor ETF | (327,240) | — | (327,240) |
Fidelity Total Bond ETF | (5,126,471) | — | (5,126,471) |
Capital Losses | |
Fidelity Corporate Bond ETF | $ (762,325) |
103 | Semi-Annual Report |
Semi-Annual Report | 104 |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change
in Net Unrealized Appreciation (Depreciation) | |
Fidelity Investment Grade Securitized ETF | |||
Credit Risk | |||
Swaps | $ 1,041 | $ 347 | |
Total Credit Risk | 1,041 | 347 | |
Interest Rate Risk | |||
Futures Contracts | 17,217 | (3,206) | |
Purchased Options | (299) | 245 | |
Swaps | (24) | (2,670) | |
Total Interest Rate Risk | 16,894 | (5,631) | |
Totals | $ 17,935 | $ (5,284) |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change
in Net Unrealized Appreciation (Depreciation) | |
Fidelity Limited Term Bond ETF | |||
Interest Rate Risk | |||
Futures Contracts | $ (307,219) | $ 38,926 | |
Total Interest Rate Risk | (307,219) | 38,926 | |
Totals | $ (307,219) | $ 38,926 |
105 | Semi-Annual Report |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change
in Net Unrealized Appreciation (Depreciation) | |
Fidelity Total Bond ETF | |||
Credit Risk | |||
Swaps | $ 0 | $ 2,555 | |
Total Credit Risk | 0 | 2,555 | |
Interest Rate Risk | |||
Futures Contracts | (114,788) | (58,468) | |
Total Interest Rate Risk | (114,788) | (58,468) | |
Totals | $ (114,788) | $ (55,913) |
Semi-Annual Report | 106 |
107 | Semi-Annual Report |
Purchases ($) | Sales ($) | |
Fidelity Corporate Bond ETF | 27,988,090 | 26,187,774 |
Fidelity Investment Grade Bond ETF | 562,651 | 121,820 |
Fidelity Investment Grade Securitized ETF | 468,225 | 457,594 |
Fidelity Limited Term Bond ETF | 41,943,318 | 36,238,401 |
Fidelity Low Duration Bond Factor ETF | 46,354,923 | 51,983,729 |
Fidelity Total Bond ETF | 386,667,868 | 133,127,895 |
In-kind
Subscriptions ($) |
In-kind
Redemptions ($) | |
Fidelity Corporate Bond ETF | 10,225,003 | 34,325,750 |
Fidelity Investment Grade Bond ETF | — | — |
Fidelity Investment Grade Securitized ETF | — | — |
Fidelity Limited Term Bond ETF | 27,555,608 | 21,071,872 |
Fidelity Low Duration Bond Factor ETF | — | — |
Fidelity Total Bond ETF | 290,979,988 | — |
Amount | |
Fidelity Total Bond ETF | $ 1 |
Semi-Annual Report | 108 |
Amount | |
Fidelity Corporate Bond ETF | $ 24 |
Fidelity Investment Grade Bond ETF | 5 |
Fidelity Investment Grade Securitized ETF | 3 |
Fidelity Limited Term Bond ETF | 20 |
Fidelity Low Duration Bond Factor ETF | 27 |
Fidelity Total Bond ETF | 102 |
109 | Semi-Annual Report |
Annualized
Expense RatioA |
Beginning
Account Value September 1, 2021 |
Ending
Account Value February 28, 2022 |
Expenses
Paid During PeriodB September 1, 2021 to February 28, 2022 | |
Fidelity Corporate Bond ETF | 0.36% | |||
Actual | $ 1,000.00 | $ 940.00 | $ 1.73 | |
Hypothetical C | $ 1,000.00 | $ 1,023.01 | $ 1.81 | |
Fidelity Investment Grade Bond ETF | 0.36% | |||
Actual | $ 1,000.00 | $ 962.60 | $ 1.75 | |
Hypothetical C | $ 1,000.00 | $ 1,023.01 | $ 1.81 | |
Fidelity Investment Grade Securitized ETF | 0.36% | |||
Actual | $ 1,000.00 | $ 965.30 | $ 1.75 | |
Hypothetical C | $ 1,000.00 | $ 1,023.01 | $ 1.81 | |
Fidelity Limited Term Bond ETF | 0.36% | |||
Actual | $ 1,000.00 | $ 972.20 | $ 1.76 | |
Hypothetical C | $ 1,000.00 | $ 1,023.01 | $ 1.81 | |
Fidelity Low Duration Bond Factor ETF | 0.15% | |||
Actual | $ 1,000.00 | $ 995.20 | $ 0.74 | |
Hypothetical C | $ 1,000.00 | $ 1,024.05 | $ 0.75 | |
Fidelity Total Bond ETF | 0.36% | |||
Actual | $ 1,000.00 | $ 962.10 | $ 1.75 | |
Hypothetical C | $ 1,000.00 | $ 1,023.01 | $ 1.81 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio. |
C | 5% return per year before expenses. |
Semi-Annual Report | 110 |
111 | Semi-Annual Report |
Semi-Annual Report | 112 |
113 | Semi-Annual Report |
Semi-Annual Report | 114 |
115 | Semi-Annual Report |
Semi-Annual Report | 116 |
117 | Semi-Annual Report |
Semi-Annual Report | 118 |