Fidelity Merrimack Street Trust

Contents

Market Recap	3
Investment Summary	4
Schedule of Investments	6
Financial Statements	22
Notes to Financial Statements	27
Report of Independent Registered Public Accounting Firm	34
Trustees and Officers	35
Shareholder Expense Example	42
Distributions	43
Board Approval of Investment Advisory Contracts and Management Fees	44

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Annual Report

Table of Contents

Market Recap

The ICE BofA^® US High Yield Constrained Index returned -10.43% for the 12 months ending August 31, 2022, as a multitude of crosscurrents challenged the global economy and financial markets. Persistently high inflation, exacerbated by energy price shocks from the Russia–Ukraine conflict, spurred the U.S. Federal Reserve to hike interest rates more aggressively than anticipated, and concerns about the outlook for economic growth sent stocks into bear market territory. In early May, the Fed approved a rare half-percentage-point interest rate increase and announced plans to shrink its $9 trillion asset portfolio. June began with the Fed allowing up to billions in Treasuries and mortgage bonds to mature every month without investing the proceeds. Two weeks later, the central bank raised rates by 0.75 percentage points, its largest increase since 1994, and said it was becoming more difficult to achieve a soft landing, in which the economy slows enough to bring down inflation while avoiding a recession. Against this volatile backdrop, the index returned -14.03% in the first half of 2022. High yield sharply reversed course in July (+6.02%), even as the central bank again raised its benchmark interest rate by 0.75%, before a leg down in August (-2.39%). For the full 12 months, the health care and banking industries (-16% each) lagged most, followed by retail (-14%). In contrast, energy led the way, returning about -4% amid a surge in commodity prices, while transportation returned roughly -7%.

3	Annual Report

Table of Contents

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments August 31, 2022

Showing Percentage of Net Assets

Nonconvertible Bonds – 48.9%
	Principal Amount	Value
COMMUNICATION SERVICES – 5.4%
Diversified Telecommunication Services – 2.2%
Altice France Holding SA 6.00% 2/15/28 (a)	$ 16,000	$ 10,880
Level 3 Financing, Inc. 3.75% 7/15/29 (a)	23,000	18,466
Lumen Technologies, Inc. 5.375% 6/15/29 (a)	8,000	6,247
Telefonica Europe BV 2.502% (b)(c)	100,000	83,736
Verizon Communications, Inc.:
2.355% 3/15/32	40,000	32,816
3.875% 3/1/52	140,000	116,219
		268,364
Entertainment – 1.1%
Cinemark USA, Inc. 5.25% 7/15/28 (a)	5,000	4,050
Magallanes, Inc.:
4.279% 3/15/32 (a)	74,000	64,479
5.141% 3/15/52 (a)	76,000	60,830
		129,359
Interactive Media & Services – 0.0%
Match Group, Inc. 4.625% 6/1/28 (a)	5,000	4,450
Media – 1.5%
Altice Financing SA 5.75% 8/15/29 (a)	12,000	9,679
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (a)	4,000	2,727
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 5.875% 8/15/27 (a)	5,000	4,575
Front Range BidCo, Inc. 6.125% 3/1/28 (a)	9,000	6,892
Frontier Communications Holdings LLC 8.75% 5/15/30 (a)	5,000	5,147
News Corp. 3.875% 5/15/29 (a)	9,000	7,830
Nexstar Broadcasting, Inc. 4.75% 11/1/28 (a)	4,000	3,620
TEGNA, Inc. 4.75% 3/15/26 (a)	4,000	3,928
TELUS Corp. 3.40% 5/13/32	70,000	62,073
The Walt Disney Co. 2.65% 1/13/31	70,000	61,707
UPC Broadband Finco BV 4.875% 7/15/31 (a)	4,000	3,460


	Principal Amount	Value


Virgin Media Finance PLC 5.00% 7/15/30 (a)	$ 4,000	$ 3,160
		174,798
Wireless Telecommunication Services – 0.6%
Millicom International Cellular SA 4.50% 4/27/31 (a)	9,000	7,387
Rogers Communications, Inc.:
3.20% 3/15/27 (a)	30,000	28,543
4.55% 3/15/52 (a)	40,000	35,111
		71,041
TOTAL COMMUNICATION SERVICES		648,012
CONSUMER DISCRETIONARY – 5.2%
Automobiles – 0.2%
General Motors Co. 5.40% 10/15/29	20,000	19,513
Mclaren Finance PLC 7.50% 8/1/26 (a)	2,000	1,675
Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 6 month U.S. LIBOR + 5.625% 7.177% 10/15/26 (a)(c)(d)	9,000	8,347
		29,535
Diversified Consumer Services – 0.7%
Adtalem Global Education, Inc. 5.50% 3/1/28 (a)	5,000	4,750
GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC 7.125% 7/31/26 (a)	8,000	7,566
Ingersoll-Rand Luxembourg Finance SA 3.80% 3/21/29	70,000	65,957
Sotheby's 7.375% 10/15/27 (a)	5,000	4,714
StoneMor, Inc. 8.50% 5/15/29 (a)	3,000	2,610
		85,597
Hotels, Restaurants & Leisure – 0.4%
1011778 BC ULC / New Red Finance, Inc. 3.50% 2/15/29 (a)	9,000	7,728
Hilton Domestic Operating Co., Inc. 3.625% 2/15/32 (a)	13,000	10,495
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (a)	15,000	13,529
Yum! Brands, Inc. 4.625% 1/31/32	17,000	15,019
		46,771

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Nonconvertible Bonds – continued
	Principal Amount	Value
CONSUMER DISCRETIONARY – continued
Household Durables – 0.3%
Taylor Morrison Communities, Inc. 5.125% 8/1/30 (a)	$ 21,000	$18,020
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (a)	18,000	17,351
		35,371
Internet & Direct Marketing Retail – 0.1%
CMG Media Corp. 8.875% 12/15/27 (a)	8,000	6,880
Leisure Products – 0.1%
Constellation Merger Sub, Inc. 8.50% 9/15/25 (a)	4,000	3,600
Life Time, Inc. 8.00% 4/15/26 (a)	5,000	4,413
MajorDrive Holdings IV LLC 6.375% 6/1/29 (a)	6,000	4,610
		12,623
Multiline Retail – 0.0%
Nordstrom, Inc. 4.375% 4/1/30	6,000	4,571
Specialty Retail – 3.3%
Alimentation Couche-Tard, Inc. 3.625% 5/13/51 (a)	80,000	57,347
Ambience Merger Sub, Inc. 4.875% 7/15/28 (a)	4,000	2,929
Bath & Body Works, Inc. 6.95% 3/1/33	4,000	3,286
Carvana Co. 4.875% 9/1/29 (a)	15,000	8,528
LBM Acquisition LLC 6.25% 1/15/29 (a)	5,000	3,736
Lowe's Cos., Inc.:
3.75% 4/1/32	70,000	64,465
4.25% 4/1/52	70,000	59,618
Macy's Retail Holdings LLC 5.875% 4/1/29 (a)	4,000	3,462
Magic Mergeco, Inc. 5.25% 5/1/28 (a)	12,000	9,200
Tapestry, Inc. 3.05% 3/15/32	70,000	55,749
The Gap, Inc. 3.625% 10/1/29 (a)	6,000	4,179
The Home Depot, Inc. 3.25% 4/15/32	70,000	64,582
The TJX Cos., Inc. 3.875% 4/15/30	60,000	58,234
Victoria's Secret & Co. 4.625% 7/15/29 (a)	4,000	3,170
		398,485


	Principal Amount	Value

Textiles, Apparel & Luxury Goods – 0.1%
Crocs, Inc. 4.125% 8/15/31 (a)	$ 9,000	$7,084
Hanesbrands, Inc. 4.625% 5/15/24 (a)	5,000	4,816
		11,900
TOTAL CONSUMER DISCRETIONARY		631,733
CONSUMER STAPLES – 2.0%
Beverages – 0.0%
Triton Water Holdings, Inc. 6.25% 4/1/29 (a)	6,000	4,921
Food & Staples Retailing – 1.8%
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC 3.25% 3/15/26 (a)	6,000	5,408
Danone SA 1.00% (b)(c)	100,000	84,963
General Mills, Inc. 2.25% 10/14/31	150,000	124,147
TreeHouse Foods, Inc. 4.00% 9/1/28	4,000	3,354
U.S. Foods, Inc. 4.625% 6/1/30 (a)	4,000	3,450
		221,322
Food Products – 0.2%
Darling Ingredients, Inc. 5.25% 4/15/27 (a)	21,000	20,597
Personal Products – 0.0%
HLF Financing Sarl LLC / Herbalife International, Inc. 4.875% 6/1/29 (a)	1,000	789
TOTAL CONSUMER STAPLES		247,629
ENERGY – 1.6%
Energy Equipment & Services – 0.2%
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (a)	5,000	4,475
CGG SA 8.75% 4/1/27 (a)	9,000	7,967
TerraForm Power Operating LLC 4.75% 1/15/30 (a)	4,000	3,542
Transocean Guardian Ltd. 5.875% 1/15/24 (a)	5,970	5,657
Transocean Sentry Ltd. 5.375% 5/15/23 (a)	3,737	3,598
Weatherford International Ltd. 8.625% 4/30/30 (a)	4,000	3,615
		28,854

See accompanying notes which are an integral part of the financial statements.

7	Annual Report

Table of Contents

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Nonconvertible Bonds – continued
	Principal Amount	Value
ENERGY – continued
Oil, Gas & Consumable Fuels – 1.4%
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (a)	$ 6,000	$ 5,460
California Resources Corp. 7.125% 2/1/26 (a)	13,000	12,780
CCO Holdings LLC / CCO Holdings Capital Corp. 4.75% 2/1/32 (a)	14,000	11,581
CNX Resources Corp. 6.00% 1/15/29 (a)	2,000	1,880
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. 6.00% 2/1/29 (a)	5,000	4,619
CVR Energy, Inc. 5.25% 2/15/25 (a)	17,000	16,037
Energean PLC 6.50% 4/30/27 (a)	5,000	4,512
Holly Energy Partners LP / Holly Energy Finance Corp. 5.00% 2/1/28 (a)	5,000	4,656
Kinetik Holdings LP 5.875% 6/15/30 (a)	5,000	4,757
MEG Energy Corp. 5.875% 2/1/29 (a)	15,000	13,950
New Fortress Energy, Inc. 6.50% 9/30/26 (a)	26,000	24,631
Northern Oil and Gas, Inc. 8.125% 3/1/28 (a)	4,000	3,840
Occidental Petroleum Corp. 5.50% 12/1/25	18,000	18,484
Oceaneering International, Inc. 6.00% 2/1/28	6,000	5,122
SM Energy Co. 6.50% 7/15/28	4,000	3,852
Teine Energy Ltd. 6.875% 4/15/29 (a)	9,000	8,217
Western Midstream Operating LP 3.35% 2/1/25	19,000	17,926
		162,304
TOTAL ENERGY		191,158
FINANCIALS – 12.1%
Banks – 1.1%
AIB Group PLC 2.875% 5/30/31 (c)	100,000	91,901
Citigroup, Inc. 4.91% 5/24/33 (c)	40,000	39,129
		131,030


	Principal Amount	Value

Capital Markets – 1.4%
Coinbase Global, Inc. 3.625% 10/1/31 (a)	$ 5,000	$ 3,044
Goldman Sachs Group, Inc.:
3.102% 2/24/33 (c)	46,000	39,134
3.615% 3/15/28 (c)	70,000	66,245
State Street Corp. 3.031% 11/1/34 (c)	70,000	61,007
		169,430
Consumer Finance – 0.8%
Ally Financial, Inc.:
2.20% 11/2/28	70,000	57,785
4.70% (b)(c)	10,000	8,249
NextEra Energy Operating Partners LP 3.875% 10/15/26 (a)	5,000	4,660
OneMain Finance Corp. 3.875% 9/15/28	23,000	17,940
		88,634
Diversified Financial Services – 7.3%
Bank of America Corp.:
2.456% 10/22/25 (c)	130,000	124,048
2.687% 4/22/32 (c)	40,000	33,160
5.015% 7/22/33 (c)	71,000	70,337
Citigroup, Inc. 2.014% 1/25/26 (c)	130,000	122,150
Coinbase Global, Inc. 3.375% 10/1/28 (a)	4,000	2,585
Hightower Holding LLC 6.75% 4/15/29 (a)	5,000	4,202
JPMorgan Chase & Co.:
0.768% 8/9/25 (c)	130,000	121,136
2.963% 1/25/33 (c)	40,000	33,971
4.586% 4/26/33 (c)	59,000	56,811
4.912% 7/25/33 (c)	13,000	12,856
Morgan Stanley:
0.864% 10/21/25 (c)	140,000	129,305
2.943% 1/21/33 (c)	40,000	34,033
4.889% 7/20/33 (c)	31,000	30,859
NatWest Group PLC 2.057% 11/9/28 (c)	100,000	98,278
StoneX Group, Inc. 8.625% 6/15/25 (a)	3,000	3,052
		876,783
Insurance – 1.5%
Equitable Financial Life Global Funding 1.30% 7/12/26 (a)	100,000	88,723
Marsh & McLennan Cos., Inc. 2.375% 12/15/31	110,000	92,973
		181,696

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Nonconvertible Bonds – continued
	Principal Amount	Value
FINANCIALS – continued
Thrifts & Mortgage Finance – 0.0%
Radian Group, Inc. 6.625% 3/15/25	$ 4,000	$ 4,006
TOTAL FINANCIALS		1,451,579
HEALTH CARE – 4.1%
Biotechnology – 1.0%
Amgen, Inc. 3.00% 2/22/29	130,000	119,418
Emergent BioSolutions, Inc. 3.875% 8/15/28 (a)	5,000	3,500
		122,918
Health Care Providers & Services – 0.8%
Akumin Escrow, Inc. 7.50% 8/1/28 (a)	4,000	3,170
Cano Health LLC 6.25% 10/1/28 (a)	11,000	9,879
CHS /Community Health Systems, Inc. 6.875% 4/15/29 (a)	10,000	6,250
DaVita, Inc. 3.75% 2/15/31 (a)	5,000	3,679
Humana, Inc. 3.70% 3/23/29	70,000	66,099
Lifepoint Health, Inc. Co. 5.375% 1/15/29 (a)	6,000	4,548
Tenet Healthcare Corp.:
4.375% 1/15/30 (a)	4,000	3,500
6.125% 10/1/28 (a)	5,000	4,587
		101,712
Life Sciences Tools & Services – 0.1%
IQVIA, Inc. 5.00% 5/15/27 (a)	6,000	5,798
Pharmaceuticals – 2.2%
Astrazeneca Finance LLC 1.75% 5/28/28	70,000	61,796
Bristol-Myers Squibb Co. 2.95% 3/15/32	40,000	36,245
Catalent Pharma Solutions, Inc. 3.50% 4/1/30 (a)	9,000	7,412
Charles River Laboratories International, Inc. 3.75% 3/15/29 (a)	9,000	7,757
CHS/Community Health Systems, Inc. 5.25% 5/15/30 (a)	5,000	3,788
Cigna Corp. 3.40% 3/15/51	80,000	60,892
Darling Ingredients, Inc. 6.00% 6/15/30 (a)	5,000	5,006
Horizon Therapeutics USA, Inc. 5.50% 8/1/27 (a)	4,000	3,832


	Principal Amount	Value


Jazz Securities DAC 4.375% 1/15/29 (a)	$ 9,000	$ 8,116
Syneos Health, Inc. 3.625% 1/15/29 (a)	6,000	5,072
Zoetis, Inc. 2.00% 5/15/30	70,000	58,809
		258,725
TOTAL HEALTH CARE		489,153
INDUSTRIALS – 1.6%
Aerospace & Defense – 0.2%
Bombardier, Inc. 6.00% 2/15/28 (a)	16,000	14,145
Howmet Aerospace, Inc. 3.00% 1/15/29	4,000	3,376
Triumph Group, Inc. 8.875% 6/1/24 (a)	5,000	5,062
		22,583
Commercial Services & Supplies – 0.4%
APX Group, Inc. 5.75% 7/15/29 (a)	6,000	4,894
Covert Mergeco, Inc. 4.875% 12/1/29 (a)	10,000	8,437
HealthEquity, Inc. 4.50% 10/1/29 (a)	9,000	7,916
Nielsen Finance LLC / Nielsen Finance Co. 4.50% 7/15/29 (a)	7,000	7,026
Rent-A-Center, Inc. 6.375% 2/15/29 (a)	4,000	3,379
Stericycle, Inc. 3.875% 1/15/29 (a)	12,000	10,395
The Hertz Corp. 4.625% 12/1/26 (a)	6,000	5,139
		47,186
Construction & Engineering – 0.2%
AECOM 5.125% 3/15/27	6,000	5,820
Brand Industrial Services, Inc. 8.50% 7/15/25 (a)	7,000	5,670
HTA Group Ltd. 7.00% 12/18/25 (a)	4,000	3,746
Pike Corp. 5.50% 9/1/28 (a)	2,000	1,653
VM Consolidated, Inc. 5.50% 4/15/29 (a)	14,000	12,286
		29,175
Machinery – 0.5%
Otis Worldwide Corp. 2.565% 2/15/30	70,000	60,231

See accompanying notes which are an integral part of the financial statements.

9	Annual Report

Table of Contents

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Nonconvertible Bonds – continued
	Principal Amount	Value
INDUSTRIALS – continued
Marine – 0.0%
Seaspan Corp. 5.50% 8/1/29 (a)	$ 5,000	$ 4,118
Road & Rail – 0.2%
Uber Technologies, Inc. 4.50% 8/15/29 (a)	22,000	19,099
Trading Companies & Distributors – 0.1%
Fortress Transportation and Infrastructure Investors LLC 5.50% 5/1/28 (a)	6,000	5,105
TOTAL INDUSTRIALS		187,497
INFORMATION TECHNOLOGY – 3.0%
Communications Equipment – 0.0%
CommScope, Inc. 4.75% 9/1/29 (a)	8,000	6,808
Electronic Equipment, Instruments & Components – 0.6%
Atkore, Inc. 4.25% 6/1/31 (a)	4,000	3,359
Honeywell International, Inc. 1.75% 9/1/31	70,000	57,929
SBA Communications Corp. 3.125% 2/1/29	6,000	4,943
Sensata Technologies BV 4.00% 4/15/29 (a)	4,000	3,458
		69,689
IT Services – 0.4%
Austin BidCo, Inc. 7.125% 12/15/28 (a)	4,000	3,160
Black Knight InfoServ LLC 3.625% 9/1/28 (a)	4,000	3,500
Entegris Escrow Corp. 5.95% 6/15/30 (a)	5,000	4,744
Entegris, Inc. 3.625% 5/1/29 (a)	14,000	11,791
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.50% 3/1/29 (a)	14,000	11,847
Minerva Merger Sub, Inc. 6.50% 2/15/30 (a)	5,000	4,245
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 5.75% 6/1/25 (a)	3,000	2,974
The Dun & Bradstreet Corp. 5.00% 12/15/29 (a)	4,000	3,550
		45,811
Semiconductors & Semiconductor Equipment – 1.0%
Micron Technology, Inc. 2.703% 4/15/32	70,000	54,408


	Principal Amount	Value


NXP BV / NXP Funding LLC / NXP USA, Inc. 2.50% 5/11/31	$ 70,000	$ 56,227
ON Semiconductor Corp. 3.875% 9/1/28 (a)	6,000	5,351
		115,986
Software – 0.4%
Clarivate Science Holdings Corp. 3.875% 7/1/28 (a)	21,000	17,976
Elastic N.V. 4.125% 7/15/29 (a)	14,000	11,847
NortonLifeLock, Inc. 5.00% 4/15/25 (a)	5,000	4,935
Open Text Corp. 3.875% 12/1/29 (a)	2,000	1,613
Twilio, Inc. 3.625% 3/15/29	9,000	7,515
Twitter, Inc. 3.875% 12/15/27 (a)	5,000	4,652
		48,538
Technology Hardware, Storage & Peripherals – 0.6%
Dell International LLC / EMC Corp. 6.20% 7/15/30	60,000	62,347
NCR Corp. 5.125% 4/15/29 (a)	8,000	7,470
		69,817
TOTAL INFORMATION TECHNOLOGY		356,649
MATERIALS – 2.0%
Chemicals – 0.9%
International Flavors & Fragrances, Inc. 2.30% 11/1/30 (a)	80,000	65,542
Methanex Corp. 5.125% 10/15/27	5,000	4,553
NOVA Chemicals Corp.:
4.875% 6/1/24 (a)	5,000	4,778
5.25% 6/1/27 (a)	5,000	4,414
Nufarm Australia Ltd. / Nufarm Americas, Inc. 5.00% 1/27/30 (a)	5,000	4,150
Olympus Water US Holding Corp. 6.25% 10/1/29 (a)	7,000	5,285
Sunnova Energy Corp. 5.875% 9/1/26 (a)	10,000	9,225
The Chemours Co. LLC 4.625% 11/15/29 (a)	9,000	7,425
		105,372
Construction Materials – 0.6%
Carrier Global Corp. 2.493% 2/15/27	70,000	64,408

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Nonconvertible Bonds – continued
	Principal Amount	Value
MATERIALS – continued
Construction Materials – continued
Patrick Industries, Inc. 4.75% 5/1/29 (a)	$ 6,000	$4,912
Stericycle, Inc. 5.375% 7/15/24 (a)	1,000	978
		70,298
Containers & Packaging – 0.2%
Berry Global Escrow Corp. 5.625% 7/15/27 (a)	15,000	14,647
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (a)	5,000	4,800
Crown Americas LLC / Crown Americas Capital Corp. VI 4.75% 2/1/26	5,000	4,822
		24,269
Metals & Mining – 0.3%
ATI, Inc. 4.875% 10/1/29	6,000	5,368
Coeur Mining, Inc. 5.125% 2/15/29 (a)	3,000	2,185
Eldorado Gold Corp. 6.25% 9/1/29 (a)	5,000	3,998
ERO Copper Corp. 6.50% 2/15/30 (a)	10,000	7,406
IAMGOLD Corp. 5.75% 10/15/28 (a)	3,000	1,498
Infrabuild Australia Pty Ltd. 12.00% 10/1/24 (a)	4,000	3,773
Mineral Resources Ltd. 8.50% 5/1/30 (a)	10,000	10,073
		34,301
Paper & Forest Products – 0.0%
Mercer International, Inc. 5.125% 2/1/29	5,000	4,365
Pearl Merger Sub, Inc. 6.75% 10/1/28 (a)	4,000	3,594
		7,959
TOTAL MATERIALS		242,199
REAL ESTATE – 4.8%
Equity Real Estate Investment Trusts (REITs) – 3.2%
Alexandria Real Estate Equities, Inc. 2.00% 5/18/32	110,000	86,925
Boston Properties LP 2.45% 10/1/33	110,000	83,279
Duke Realty LP 2.875% 11/15/29	100,000	89,570
iStar, Inc. 5.50% 2/15/26	4,000	4,080


	Principal Amount	Value


MPT Operating Partnership LP/MPT Finance Corp.:
4.625% 8/1/29	$ 5,000	$ 4,260
5.00% 10/15/27	15,000	13,475
Rithm Capital Corp. 6.25% 10/15/25 (a)	4,000	3,548
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC 6.00% 1/15/30 (a)	17,000	11,987
WP Carey, Inc. 2.45% 2/1/32	110,000	87,584
		384,708
Real Estate Management & Development – 1.6%
CBRE Services, Inc. 2.50% 4/1/31	70,000	56,190
Corporate Office Properties LP 2.00% 1/15/29	80,000	63,191
Realogy Group LLC / Realogy Co-Issuer Corp. 5.25% 4/15/30 (a)	6,000	4,512
Vonovia SE 0.625% 3/24/31	100,000	75,767
		199,660
TOTAL REAL ESTATE		584,368
UTILITIES – 7.1%
Electric Utilities – 0.7%
Oncor Electric Delivery Co LLC 4.15% 6/1/32 (a)	70,000	69,783
Terraform Global Operating LP 6.125% 3/1/26 (a)	18,000	16,956
		86,739
Independent Power and Renewable Electricity Producers – 1.3%
The AES Corp.:
1.375% 1/15/26	70,000	62,105
2.45% 1/15/31	110,000	90,638
		152,743
Multi-Utilities – 5.1%
Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30	100,000	93,884
Dominion Energy, Inc. 2.25% 8/15/31	110,000	91,142
Duke Energy Carolinas LLC 3.95% 11/15/28	90,000	88,416
NextEra Energy Capital Holdings, Inc. 1.90% 6/15/28	70,000	60,561
NiSource, Inc. 1.70% 2/15/31	120,000	93,878
Northern States Power Co. 2.25% 4/1/31	110,000	95,284

See accompanying notes which are an integral part of the financial statements.

11	Annual Report

Table of Contents

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Nonconvertible Bonds – continued
	Principal Amount	Value
UTILITIES – continued
Multi-Utilities – continued
PG&E Corp. 5.00% 7/1/28	$ 5,000	$4,440
Puget Energy, Inc. 4.224% 3/15/32	100,000	92,128
		619,733
TOTAL UTILITIES		859,215
TOTAL NONCONVERTIBLE BONDS (Cost $6,238,462)		5,889,192
U.S. Treasury Obligations – 23.0%

U.S. Treasury Bill 1.94% 4/20/23 (e)	950,000	931,423
U.S. Treasury Bonds:
2.25% 2/15/52	1,300,000	1,038,375
3.375% 8/15/42	30,000	29,274
2.50% 4/30/24 to 3/31/27	790,000	771,308
TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,864,913)		2,770,380
U.S. Government Agency - Mortgage Securities – 14.4%

Fannie Mae – 0.4%
3.00% 5/1/52	24,681	22,858
4.50% 7/1/52	24,840	25,073
TOTAL FANNIE MAE		47,931
Freddie Mac – 0.4%
2.50% 12/1/51	49,814	44,606
Ginnie Mae – 3.0%
2.00% 9/1/52 (f)	100,000	88,332
2.00% 9/1/52 (f)(g)	75,000	66,264
2.50% 9/1/52 (f)	50,000	45,576
2.50% 9/1/52 (f)(g)	50,000	45,590
3.00% 9/1/52 (f)	75,000	70,390
3.50% 9/1/52 (f)	50,000	48,207
TOTAL GINNIE MAE		364,359
Uniform Mortgage Backed Securities – 10.6%
1.50% 9/1/52 (f)	50,000	40,965
2.00% 9/1/37 to 9/1/52 (f)	250,000	218,127
2.00% 9/1/37 to 9/1/52 (f)(g)	350,000	310,327
2.50% 9/1/52 (f)	325,000	290,266
3.00% 9/1/52 (f)	125,000	115,674
3.50% 9/1/52 (f)	100,000	95,328
4.00% 9/1/52 (f)	100,000	97,586
4.50% 9/1/52 (f)	75,000	74,537


	Principal Amount	Value

5.00% 9/1/52 (f)	$ 25,000	$ 25,227
TOTAL UNIFORM MORTGAGE BACKED SECURITIES		1,268,037
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,759,620)		1,724,933
Asset-Backed Securities – 8.2%

Allegro CLO XV Ltd. Series 2022-1A, Class A CME TERM SOFR 3 MONTH INDEX + 1.50% 3.181% 7/20/35 (a)(c)(d)	$ 250,000	$ 245,108
Cedar Funding CLO Ltd. Series 16-6A, Class ARR 3 month U.S. LIBOR + 1.050% 3.76% 4/20/34 (a)(c)(d)	100,000	96,601
Cedar Funding XIV CLO Ltd. Series 2021-14A, Class A 3 month U.S. LIBOR + 1.100% 3.612% 7/15/33 (a)(c)(d)	250,000	244,272
Planet Fitness Master Issuer LLC Series 2019-1A, Class A2 3.858% 12/5/49 (a)	48,750	41,577
Symphony CLO XXVI Ltd. Series 2026-A, Class AR 3 month U.S. LIBOR + 1.080% 3.79% 4/20/33 (a)(c)(d)	320,000	311,486
Verizon Master Trust Series 2021-2, Class A 0.99% 4/20/28	54,000	50,853
TOTAL ASSET-BACKED SECURITIES (Cost $1,010,811)		989,897
Collateralized Mortgage Obligations – 1.7%

PRIVATE SPONSOR – 1.7%
BXHPP Trust Series 2021-FILM, Class A 1 month U.S. LIBOR + 0.650% 3.041% 8/15/36 (a)(c)(d)	125,000	118,356
SLG Office Trust Series 2021-OVA, Class A 2.585% 7/15/41 (a)	100,000	84,976
TOTAL PRIVATE SPONSOR		203,332
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $209,008)		203,332

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Convertible Bonds – 0.1%
	Principal Amount	Value
COMMUNICATION SERVICES – 0.1%
Media – 0.1%
DISH Network Corp. 3.375% 8/15/26	$ 16,000	$ 11,513
FINANCIALS – 0.0%
Real Estate Management & Development – 0.0%
Redfin Corp. 0.50% 4/1/27	8,000	4,024
TOTAL CONVERTIBLE BONDS (Cost $18,154)		15,537

Common Stocks – 0.1%
	Shares
OIL, GAS & CONSUMABLE FUELS – 0.1%
Oil & Gas Exploration & Production – 0.1%
Denbury, Inc. (h)	19	1,689
EQT Corp.	30	1,434
		3,123
Oil & Gas Refining & Marketing – 0.0%
New Fortress Energy, Inc.	42	2,409
TOTAL OIL, GAS & CONSUMABLE FUELS		5,532
TOTAL COMMON STOCKS (Cost $4,516)		5,532

Bank Loan Obligations – 0.0%
	Principal Amount
INDUSTRIALS – 0.0%
Construction & Engineering – 0.0%
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan 3 month U.S. LIBOR + 4.250% 7.033% 6/21/24 (c)(d)(i)	$ 2,992	2,726
TOTAL BANK LOAN OBLIGATIONS (Cost $2,861)		2,726
TOTAL INVESTMENT IN SECURITIES – 96.4% (Cost $12,108,345)		11,601,529
NET OTHER ASSETS (LIABILITIES) – 3.6%		435,028
NET ASSETS – 100.0%		$ 12,036,557

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 $2,524,494 or 21.0% of net assets.
(b)	Security is perpetual in nature with no stated maturity date.
(c)	Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d)	Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e)	Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
(f)	Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g)	A portion of the security sold on a delayed delivery basis.
(h)	Non-income producing.
(i)	Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

See accompanying notes which are an integral part of the financial statements.

13	Annual Report

Table of Contents

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount	Value	Unrealized Appreciation/ (Depreciation)
Sold
Bond Index Contracts
Eurex Euro-Bobl Contracts (Germany)	1	September 2022	$ 123,689	$ 2,121	$ 2,121
Purchased
Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)	1	December 2022	$ 208,328	$ (727)	$ (727)
CBOT 5-Year U.S. Treasury Note Contracts (United States)	2	December 2022	221,641	(2,531)	(2,531)
Total Treasury Contracts					$ (3,258)
Total Futures Contracts					$ (1,137)

The notional amount of futures purchased as a percentage of Net Assets is 3.6%

The notional amount of futures sold as a percentage of Net Assets is 1.0%

Forward Foreign Currency Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealised Appreciation/ (Depreciation)
USD	113,747	GBP	93,000	Goldman Sachs Bank USA	9/15/22	$ 5,683
USD	360,170	EUR	352,000	BNP Paribas SA	9/15/22	6,126
GBP	1,000	USD	1,212	JPMorgan Chase Bank, N.A.	9/15/22	(50)
USD	1,536	EUR	1,500	BNP Paribas SA	9/15/22	27
USD	1,535	EUR	1,500	JPMorgan Chase Bank, N.A.	9/15/22	27
USD	1,543	EUR	1,500	BNP Paribas SA	9/15/22	34
GBP	1,000	USD	1,201	Citibank NA	9/15/22	(39)
EUR	2,000	USD	1,996	JPMorgan Chase Bank, N.A.	9/15/22	15
GBP	1,000	USD	1,184	JPMorgan Chase Bank, N.A.	9/15/22	(22)
EUR	1,000	USD	996	JPMorgan Chase Bank, N.A.	9/15/22	10
GBP	1,000	USD	1,181	Brown Brothers Harriman & Co.	9/15/22	(19)
EUR	6,000	USD	6,011	BNP Paribas SA	9/15/22	24
GBP	2,000	USD	2,328	Goldman Sachs Bank USA	9/15/22	(4)
EUR	8,500	USD	8,548	BNP Paribas SA	9/15/22	1
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS						$11,813
Unrealized Appreciation						11,947
Unrealized Depreciation						(134)

Currency Abbreviations
USD	United States Dollar
GBP	British Pound
EUR	Euro

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:
Corporate Bonds	$ 5,889,192	$ —	$ 5,889,192	$ —
U.S. Treasury Obligations	2,770,380	—	2,770,380	—
U.S. Government Agency - Mortgage Securities	1,724,933	—	1,724,933	—
Asset-Backed Securities	989,897	—	989,897	—
Collateralized Mortgage Obligations	203,332	—	203,332	—
Convertible Bonds	15,537	—	15,537	—
Common Stocks	5,532	5,532	—	—
Bank Loan Obligations	2,726	—	2,726	—
Total Investments in Securities:	$ 11,601,529	$ 5,532	$ 11,595,997	$ —

Derivative Instruments:
Assets
Forward Foreign Currency Contracts	$ 11,947	$ —	$ 11,947	$ —
Futures Contracts	2,121	2,121	—	—
Total Assets	$ 14,068	$ 2,121	$ 11,947	$ —
Liabilities
Futures Contracts	$ (3,258)	$ (3,258)	$ —	$ —
Forward Foreign Currency Contracts	(134)	—	(134)	—
Total Liabilities	$ (3,392)	$ (3,258)	$ (134)	$ —
Total Derivative Instruments:	$ 10,676	$ (1,137)	$ 11,813	$ —

Value of Derivative Instruments

The following table is a summary of the Fund’s value of derivative instruments by primary risk exposure as of August 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk/ Derivative Type	Value
	Asset	Liabilities
Foreign Exchange Risk
Forward Foreign Currency Contracts^(a)	$11,947	$ (134)
Total Foreign Exchange Risk	$11,947	$ (134)
Interest Rate Risk
Futures Contracts^(b)	2,121	(3,258)
Total Interest Rate Risk	$ 2,121	$(3,258)
Total Value of Derivatives	$14,068	$(3,392)

(a)	Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(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).

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America	81.1%
Cayman Islands	5.5%
Canada	2.2%
Jersey, Channel Islands	2.1%
Netherlands	1.3%
Others (Individually Less Than 1%)	4.2%
	96.4%

See accompanying notes which are an integral part of the financial statements.

15	Annual Report

Table of Contents

Fidelity® Sustainable Low Duration Bond ETF

Schedule of Investments August 31, 2022

Showing Percentage of Net Assets

Nonconvertible Bonds – 68.2%
	Principal Amount	Value
COMMUNICATION SERVICES – 1.0%
Diversified Telecommunication Services – 0.5%
AT&T, Inc. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.640% 2.635% 3/25/24 (a)(b)	$ 25,000	$ 24,842
Media – 0.5%
Discovery Communications LLC 2.95% 3/20/23	25,000	24,881
TOTAL COMMUNICATION SERVICES		49,723
CONSUMER DISCRETIONARY – 4.5%
Automobiles – 2.0%
American Honda Finance Corp. 0.40% 10/21/22	50,000	49,833
General Motors Financial Co., Inc. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.760% 2.525% 3/8/24 (a)(b)	50,000	49,268
		99,101
Hotels, Restaurants & Leisure – 0.5%
Starbucks Corp. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.420% 2.714% 2/14/24 (a)(b)	25,000	24,864
Specialty Retail – 2.0%
AutoZone, Inc. 3.125% 7/15/23	25,000	24,836
The Home Depot, Inc. 2.70% 4/1/23	75,000	74,668
		99,504
TOTAL CONSUMER DISCRETIONARY		223,469
CONSUMER STAPLES – 0.5%
Food Products – 0.5%
Conagra Brands, Inc. 3.20% 1/25/23	25,000	24,928
ENERGY – 3.5%
Oil, Gas & Consumable Fuels – 3.5%
Canadian Natural Resources Ltd. 2.95% 1/15/23	25,000	24,868
Chevron Corp. 1.141% 5/11/23	50,000	49,154
Enbridge, Inc. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX+ 0.400% 2.695% 2/17/23 (a)(b)	50,000	49,839
MPLX LP 3.375% 3/15/23	50,000	49,961
TOTAL ENERGY		173,822


	Principal Amount	Value
FINANCIALS – 36.6%
Banks – 14.4%
Bank of Nova Scotia U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.380% 2.665% 7/31/24 (a)(b)	$ 50,000	$ 49,271
Canadian Imperial Bank of Commerce U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.800% 2.751% 3/17/23 (a)(b)	75,000	75,037
Fifth Third Bancorp 1.625% 5/5/23	25,000	24,659
JPMorgan Chase & Co.:
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.580% 2.479% 3/16/24 (a)(b)	75,000	74,479
3 month U.S. LIBOR + 1.230% 4.013% 10/24/23 (a)(b)	75,000	75,058
Mitsubishi UFJ Financial Group, Inc. 3 month U.S. LIBOR + 0.740% 3.822% 3/2/23 (a)(b)	75,000	75,172
Royal Bank of Canada:
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.340% 2.443% 10/7/24 Series MTN (a)(b)	50,000	49,136
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.360% 2.645% 7/29/24 (a)(b)	50,000	49,269
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.450% 2.694% 10/26/23 (a)(b)	50,000	49,726
The Toronto-Dominion Bank:
0.75% 6/12/23	50,000	48,853
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.355% 2.048% 3/4/24 (a)(b)	50,000	49,505
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.480% 2.748% 1/27/23 (a)(b)	50,000	49,981
Wells Fargo & Co. 1.654% 6/2/24 (b)	50,000	48,988
		719,134
Capital Markets – 6.0%
Goldman Sachs Group, Inc.:
3.20% 2/23/23	75,000	74,864
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 1.390% 3.272% 3/15/24 (a)(b)	75,000	75,117

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Nonconvertible Bonds – continued
	Principal Amount	Value
FINANCIALS – continued
Capital Markets – continued
Morgan Stanley 3 month U.S. LIBOR + 1.400% 4.183% 10/24/23 (a)(b)	$ 75,000	$75,069
The Bank of New York Mellon Corp. 2.95% 1/29/23	75,000	74,776
		299,826
Consumer Finance – 5.4%
Air Lease Corp. 2.75% 1/15/23	50,000	49,725
American Express Co.:
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.230% 2.524% 11/3/23 (a)(b)	50,000	49,696
3.40% 2/27/23	75,000	74,941
Capital One Financial Corp.:
2.60% 5/11/23	25,000	24,817
3.20% 1/30/23	25,000	24,955
Toyota Motor Credit Corp.:
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.650% 2.691% 12/29/23 (a)(b)	20,000	20,029
2.90% 3/30/23	25,000	24,915
		269,078
Diversified Financial Services – 7.8%
Bank of America Corp. 3.30% 1/11/23	75,000	74,941
Bank of Nova Scotia 1.95% 2/1/23	50,000	49,681
BNP Paribas S.A. 3.25% 3/3/23	50,000	49,950
Capital One Financial Corp. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 1.350% 3.644% 5/9/25 (a)(b)	15,000	14,801
Citigroup, Inc. 3.375% 3/1/23	50,000	49,982
Mitsubishi UFJ Financial Group, Inc. 3.455% 3/2/23	75,000	74,962
Morgan Stanley 3.125% 1/23/23	75,000	74,894
		389,211
Insurance – 3.0%
Equitable Financial Life Global Funding U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX+ 0.390% 2.494% 4/6/23 (a)(b)(c)	75,000	74,893
Equitable Holdings, Inc. 3.90% 4/20/23	25,000	25,030


	Principal Amount	Value


Marsh & McLennan Cos, Inc. 3.30% 3/14/23	$ 50,000	$ 49,841
		149,764
TOTAL FINANCIALS		1,827,013
HEALTH CARE – 4.5%
Health Care Providers & Services – 2.5%
Elevance Health, Inc. 0.45% 3/15/23	25,000	24,546
Humana, Inc. 2.90% 12/15/22	25,000	24,965
UnitedHealth Group, Inc. 2.875% 3/15/23	75,000	74,861
		124,372
Pharmaceuticals – 2.0%
AbbVie, Inc. 2.85% 5/14/23	25,000	24,860
Bristol-Myers Squibb Co. 3.25% 2/20/23	75,000	74,920
		99,780
TOTAL HEALTH CARE		224,152
INDUSTRIALS – 3.0%
Machinery – 3.0%
Caterpillar Financial Services Corp. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.270% 2.085% 9/13/24 (a)(b)	75,000	74,314
John Deere Capital Corp. 2.70% 1/6/23	75,000	74,909
TOTAL INDUSTRIALS		149,223
INFORMATION TECHNOLOGY – 2.5%
Semiconductors & Semiconductor Equipment – 1.0%
Analog Devices, Inc. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.250% 2.302% 10/1/24 (a)(b)	50,000	49,297
Software – 1.0%
Microsoft Corp. 2.375% 5/1/23	50,000	49,671
Technology Hardware, Storage & Peripherals – 0.5%
Dell International LLC / EMC Corp. 5.45% 6/15/23	25,000	25,256
TOTAL INFORMATION TECHNOLOGY		124,224
MATERIALS – 0.5%
Chemicals – 0.5%
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (c)	25,000	24,974

See accompanying notes which are an integral part of the financial statements.

17	Annual Report

Table of Contents

Fidelity® Sustainable Low Duration Bond ETF

Schedule of Investments–continued

Nonconvertible Bonds – continued
	Principal Amount	Value
REAL ESTATE – 1.5%
Equity Real Estate Investment Trusts (REITs) – 1.5%
Simon Property Group LP U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.430% 2.547% 1/11/24 (a)(b)	$ 75,000	$ 74,309
UTILITIES – 10.1%
Electric Utilities – 1.0%
Duke Energy Corp. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX+ 0.250% 2.049% 6/10/23 (a)(b)	25,000	24,884
The Southern Co. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.370% 2.664% 5/10/23 (a)(b)	25,000	24,876
		49,760
Multi-Utilities – 9.1%
Duke Energy Carolinas LLC 3.05% 3/15/23	75,000	74,684
Eversource Energy U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX+ 0.250% 2.545% 8/15/23 (a)(b)	50,000	49,676
Mississippi Power Co. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.300% 2.314% 6/28/24 (a)(b)	50,000	49,201
NextEra Energy Capital Holdings, Inc. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.400% 2.694% 11/3/23 (a)(b)	50,000	49,572
Southern California Edison Co.:
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.470% 2.766% 12/2/22 (a)(b)	50,000	49,950
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.830% 2.882% 4/1/24 (a)(b)	75,000	74,331
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 2.095% 9/14/23 (a)(b)	50,000	49,752
Tampa Electric Co. 3.875% 7/12/24	7,000	6,969
Virginia Electric & Power Co. 2.75% 3/15/23	50,000	49,764
		453,899
TOTAL UTILITIES		503,659
TOTAL NONCONVERTIBLE BONDS (Cost $3,418,463)		3,399,496

U.S. Treasury Obligations – 23.7%
	Principal Amount	Value
U.S. Treasury Bill:
2.327% 12/8/22 (d)	$ 300,000	$ 297,715
2.984% 4/20/23 (d)	600,000	588,267
3.198% 2/2/23 (d)	300,000	295,961
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,183,061)		1,181,943
Asset-Backed Securities – 3.5%

BMW Vehicle Lease Trust Series 2021-2, Class A3 0.33% 12/26/24	20,000	19,450
BMW Vehicle Owner Trust Series 2022-A, Class A2B U.S. SECURED OVERNIGHT FINL RATE 30 DAY AVERAGE (SOFR30A) INDX + 0.520% 2.703% 12/26/24 (a)(b)	23,000	23,022
CarMax Auto Owner Trust 2022-2, Class A2B U.S. SECURED OVERNIGHT FINL RATE 30 DAY AVERAGE (SOFR30A) INDX + 0.600% 2.483% 5/15/25 (a)(b)	8,000	7,999
CarMax Auto Owner Trust Series 2021-1, Class A3 0.34% 12/15/25	9,379	9,132
Carmax Auto Owner Trust Series 2022-3, Class A2A 3.81% 9/15/25	12,000	11,979
Ford Credit Auto Lease Trust 2022-A, Class A2B U.S. SECURED OVERNIGHT FINL RATE 30 DAY AVERAGE (SOFR30A) INDX + 0.600% 2.483% 10/15/24 (a)(b)	8,000	8,003
Ford Credit Auto Owner Trust Series 2022-B, Class A2B U.S. SECURED OVERNIGHT FINL RATE 30 DAY AVERAGE (SOFR30A) INDX + 0.600% 2.483% 2/15/25 (a)(b)	11,000	11,007
GM Financial Automobile Leasing Trust 2022-2, Class A2 2.93% 10/21/24	10,000	9,918
GM Financial Automobile Leasing Trust Series 2021-3, Class A3 0.39% 10/21/24	25,000	24,209
GM Financial Consumer Automobile Receivables Trust 2022-3, Class A2A 3.50% 9/16/25	23,000	22,870
Hyundai Auto Receivables Trust Series 2022-B,Class A2A 3.64% 5/15/25	14,000	13,945

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Asset-Backed Securities – continued
	Principal Amount	Value
World Omni Auto Receivables Trust 2022-B, Class A2B U.S. SECURED OVERNIGHT FINL RATE 30 DAY AVERAGE (SOFR30A) INDX + 0.570% 2.453% 10/15/25 (a)(b)	$ 11,000	$ 11,021
TOTAL ASSET-BACKED SECURITIES (Cost $172,768)		172,555

Money Market Fund – 10.3%
	Shares
Fidelity Cash Central Fund, 2.33% (e) (Cost $513,294)	513,191	513,294
TOTAL INVESTMENT IN SECURITIES – 105.7% (Cost $5,287,586)		5,267,288
NET OTHER ASSETS (LIABILITIES) – (5.7%)		(286,289)
NET ASSETS – 100.0%		$ 4,980,999

Legend
(a)	Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(b)	Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c)	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 $99,867 or 2.0% of net assets.
(d)	Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
(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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including ownership percentage, is presented below.

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, 2.33%	$—		$2,094,838		$1,581,544		$850		$—		$—		$513,294	0.0%

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

See accompanying notes which are an integral part of the financial statements.

19	Annual Report

Table of Contents

Fidelity® Sustainable Low Duration Bond ETF

Schedule of Investments–continued

Investment Valuation

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:
Corporate Bonds	$ 3,399,496	$ —	$ 3,399,496	$ —
U.S. Treasury Obligations	1,181,943	—	1,181,943	—
Asset-Backed Securities	172,555	—	172,555	—
Money Market Funds	513,294	513,294	—	—
Total Investments in Securities:	$ 5,267,288	$ 513,294	$ 4,753,994	$ —

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America	90.8%
Canada	10.9%
Japan	3.0%
France	1.0%
	105.7%

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

Financial Statements

^{Statements of
Assets and Liabilities}

August 31, 2022

	Fidelity Sustainable Core Plus Bond ETF	Fidelity Sustainable Low Duration Bond ETF
Assets
Investments in securities, at value – See accompanying schedule:
Unaffiliated issuers	$11,601,529	$4,753,994
Fidelity Central Funds	—	513,294
Total Investments in Securities	$11,601,529	$5,267,288
Segregated cash with brokers for derivative instruments	6,818	—
Cash	1,389,962	—
Foreign currency held at value (cost $6,094 and $—, respectively)	6,061	—
Receivable for investments sold
Regular delivery	686,120	—
Delayed delivery	429,588	—
Unrealized appreciation on forward foreign currency contracts	11,947	—
Distributions receivable from Fidelity Central Funds	—	134
Dividends receivable	5	—
Interest receivable	81,351	19,528
Receivable for daily variation margin on futures contracts	934	—
Total assets	14,214,315	5,286,950
Liabilities
Payable for investments purchased
Regular delivery	33,339	296,006
Delayed delivery	2,109,352	—
Unrealized depreciation on forward foreign currency contracts	134	—
Dividends payable	31,250	8,700
Accrued management fees	3,683	1,245
Total liabilities	2,177,758	305,951
Net Assets	$12,036,557	$4,980,999
Net Assets consist of:
Paid in capital	$12,505,876	$5,000,824
Total accumulated earnings (loss)	(469,319)	(19,825)
Net Assets	$12,036,557	$4,980,999
Shares outstanding	250,000	100,000
Net Asset Value per share	$ 48.15	$ 49.81
Investments at cost – Unaffiliated issuers	$12,108,345	$4,774,292
Investments at cost – Fidelity Central Funds	—	513,294
Investments at cost	$12,108,345	$5,287,586

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

^{Statements of
Operations}

For the year ended August 31, 2022

	Fidelity Sustainable Core Plus Bond ETF^A	Fidelity Sustainable Low Duration Bond ETF^A
Investment Income
Dividends	$ 13	$ 1
Interest	141,137	32,528
Income from Fidelity Central Funds	—	850
Total income	141,150	33,379
Expenses
Management fees	16,387	5,548
Independent trustees' fees and expenses	10	4
Total expenses	16,397	5,552
Expense reductions	—	(12)
Total expenses	16,397	5,540
Net investment income (loss)	124,753	27,839
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investment securities	(2,213)	(265)
Net realized gain (loss) on forward foreign currency contracts	32,070	—
Net realized gain (loss) on futures contracts	(323)	—
Net realized gain (loss) on foreign currency transactions	(2,658)	—
Total net realized gain (loss)	26,876	(265)
Change in net unrealized appreciation (depreciation) on investment securities	(506,816)	(20,299)
Change in net unrealized appreciation (depreciation) on futures contracts	(1,137)	—
Change in net unrealized appreciation (depreciation) on forward foreign currency contracts	11,813	—
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies	(308)	—
Total change in net unrealized appreciation (depreciation)	(496,448)	(20,299)
Net gain (loss)	(469,572)	(20,564)
Net increase (decrease) in net assets resulting from operations	$(344,819)	$ 7,275

^A	For the period April 19, 2022 (commencement of operations) through August 31, 2022.

See accompanying notes which are an integral part of the financial statements.

23	Annual Report

Table of Contents

Financial Statements – continued

^{Statements of
Changes in Net Assets}

	Fidelity Sustainable Core Plus Bond ETF	Fidelity Sustainable Low Duration Bond ETF
	Year ended August 31, 2022^A	Year ended August 31, 2022^A
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 124,753	$ 27,839
Net realized gain (loss)	26,876	(265)
Change in net unrealized appreciation (depreciation)	(496,448)	(20,299)
Net increase (decrease) in net assets resulting from operations	(344,819)	7,275
Distributions to shareholders	(124,500)	(27,100)
Share transactions
Proceeds from sales of shares	12,505,876	5,000,824
Net increase (decrease) in net assets resulting from share transactions	12,505,876	5,000,824
Total increase (decrease) in net assets	12,036,557	4,980,999
Net Assets
Beginning of period	—	—
End of period	$12,036,557	$4,980,999
Other Information
Shares
Sold	250,000	100,000
Redeemed	—	—
Net increase (decrease)	250,000	100,000

^A	For the period April 19, 2022 (commencement of operations) through August 31, 2022.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Table of Contents

^{Financial
Highlights}

	Fidelity Sustainable Core Plus Bond ETF
	Year ended August 31, 2022^A
Selected Per-Share Data
Net asset value, beginning of period	$ 50.00
Income from Investment Operations
Net investment income (loss)^B,C	0.499
Net realized and unrealized gain (loss)	(1.851)
Total from investment operations	(1.352)
Distributions from net investment income	(0.498)
Total distributions	(0.498)
Net asset value, end of period	$ 48.15
Total Return^D,E	(2.72)%
Ratios to Average Net Assets^B,F,G,H
Expenses before reductions	.36%
Expenses net of fee waivers, if any	.36%
Expenses net of all reductions	.36%
Net investment income (loss)	2.77%
Supplemental Data
Net assets, end of period (000 omitted)	$12,037
Portfolio turnover rate^I,J	11%

^A	For the period April 19, 2022 (commencement of operations) through August 31, 2022.
^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	Annualized.
^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	Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
^J	Amount not annualized.

See accompanying notes which are an integral part of the financial statements.

25	Annual Report

Table of Contents

Financial Statements – continued

^{Financial
Highlights}

	Fidelity Sustainable Low Duration Bond ETF
	Year ended August 31, 2022^A
Selected Per-Share Data
Net asset value, beginning of period	$ 50.00
Income from Investment Operations
Net investment income (loss)^B,C	0.278
Net realized and unrealized gain (loss)	(0.197)
Total from investment operations	0.081
Distributions from net investment income	(0.271)
Total distributions	(0.271)
Net asset value, end of period	$ 49.81
Total Return^D,E	0.16%
Ratios to Average Net Assets^B,F,G,H
Expenses before reductions	.30%
Expenses net of fee waivers, if any	.30%
Expenses net of all reductions	.30%
Net investment income (loss)