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

2

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

Fidelity® Sustainable Core Plus Bond ETF

Investment Summary (Unaudited)    

 

Fidelity® Sustainable Low Duration Bond ETF

Investment Summary (Unaudited)    

 

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments August 31, 2022 

Showing Percentage of Net Assets

Annual Report

6

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

7	Annual Report

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Annual Report

8

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

9	Annual Report

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Annual Report

10

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

11	Annual Report

Fidelity^® Sustainable Core Plus Bond ETF

Schedule of Investments–continued

Annual Report

12

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

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

14

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

Fidelity® Sustainable Low Duration Bond ETF

Schedule of Investments August 31, 2022 

Showing Percentage of Net Assets

Annual Report

16

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

17	Annual Report

Fidelity® Sustainable Low Duration Bond ETF

Schedule of Investments–continued

Annual Report

18

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.

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

19	Annual Report

Fidelity® Sustainable Low Duration Bond ETF

Schedule of Investments–continued

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		$ 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

20

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21

Financial Statements

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

22

For the year ended August 31, 2022

	Fidelity Sustainable Core Plus Bond ETFA		Fidelity Sustainable Low Duration Bond ETFA
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

Financial Statements  – continued

	Fidelity Sustainable Core Plus Bond ETF		Fidelity Sustainable Low Duration Bond ETF
	Year ended August 31, 2022A		Year ended August 31, 2022A
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

24

	Fidelity Sustainable Core Plus Bond ETF
	Year ended August 31, 2022A
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 ReturnD,E	(2.72)%
Ratios to Average Net AssetsB,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 rateI,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

Financial Statements  – continued

	Fidelity Sustainable Low Duration Bond ETF
	Year ended August 31, 2022A
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 ReturnD,E	0.16%
Ratios to Average Net AssetsB,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)	1.52%
Supplemental Data
Net assets, end of period (000 omitted)	$ 4,981
Portfolio turnover rateI,J	4%

    

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.

Annual Report

26

Notes to Financial Statements
For the period ended August 31, 2022

1. Organization.

Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF (the Funds) are exchange-traded funds of Fidelity Merrimack Street Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Application of FMR's environmental, social, and governance (ESG) ratings process and/or its sustainable investing exclusion criteria may affect exposure to certain issuers, sectors, regions, and countries and may affect performance depending on whether certain investments are in or out of favor. The criteria related to ESG ratings process and/or adherence to its sustainable investing exclusion criteria may result in forgoing opportunities to buy certain securities when it might otherwise be advantageous to do so, or selling securities for ESG reasons when it might be otherwise disadvantageous for it to do so. As a result, performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. There are significant differences in interpretations of what it means for an issuer to have positive ESG factors. While the investment adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other investors’ or advisers’ views.

2. Investments in Fidelity Central Funds.

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

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%

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund’s Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of each Fund’s investments to the Fair Value Committee (the Committee) established by each Fund’s investment adviser. In accordance with valuation policies and procedures approved by the Board, each Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each Fund’s valuation policies and procedures and reports to the Board on the Committee’s activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing each Fund’s investments and ratifies the fair value determinations of the Committee.

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

27	Annual Report

Notes to Financial Statements  – continued

3. Significant Accounting Policies – continued
    

Level 1 – unadjusted quoted prices in active markets for identical investments

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 – unobservable inputs (including the Fund’s own assumptions based on the best information available)

Valuation techniques used to value each Fund’s investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, municipal securities and U.S government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2022 is included at the end of each Fund’s Schedule of Investments.

Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes and for processing shareholder transactions, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period and prior business day, respectively. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the New York Stock Exchange, Archipelago Exchange (NYSE Arca). Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations

Annual Report

28

3. Significant Accounting Policies – continued
    
may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund’s expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2022, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Fund and is not distributed to shareholders of the Fund. Foreign taxes are provided for based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to capital loss carryforwards, premium and discount on debt securities, equity-debt classifications, foreign currency transactions, futures transactions, and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:

	Tax cost	Gross unrealized appreciation	Gross unrealized depreciation	Net unrealized appreciation (depreciation)
Fidelity Sustainable Core Plus Bond ETF	$ 12,122,995	$ 2,199	$ (523,665)	$ (521,466)
Fidelity Sustainable Low Duration Bond ETF	5,287,586	148	(20,446)	(20,298)

The tax-based components of distributable earnings as of period end were as follows for each Fund:

	Undistributed ordinary income	Undistributed capital gains	Capital loss carryforward	Net unrealized appreciation (depreciation)
Fidelity Sustainable Core Plus Bond ETF	$ 49,401	$ —	$ —	$ (521,774)
Fidelity Sustainable Low Duration Bond ETF	739	—	(265)	(20,298)

Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

	Short-term	Long-term	Total capital loss carryforward
Fidelity Sustainable Low Duration Bond ETF	$ (265)	$ —	$ (265)

29	Annual Report

Notes to Financial Statements  – continued

3. Significant Accounting Policies – continued
    
The tax character of distributions paid was as follows:

August 31, 2022
	Ordinary Income	Long-Term Capital Gain	Tax Return Of Capital	Total
Fidelity Sustainable Core Plus Bond ETFA	$ 124,500	$ —	$ —	$ 124,500
Fidelity Sustainable Low Duration Bond ETFA	27,100	—	—	27,100

    

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

Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic, or other factors.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund’s portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a Funds' right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of each applicable Fund's Schedule of Investments under the caption "TBA Sale Commitments.” The proceeds and value of these commitments are reflected in the each applicable Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. Investment objectives allow a fund to enter into various types of derivative contracts, including futures contracts and forward foreign currency contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

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30

4. Derivative Instruments – continued
    
Foreign Exchange Risk        Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Interest Rate Risk        Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty’s unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)		Change in Net Unrealized Appreciation (Depreciation)
Fidelity Sustainable Core Plus Bond ETF
Foreign Exchange Risk
Forward Foreign Currency Contracts	$ 32,070		$ 11,813
Total Foreign Exchange Risk	32,070		11,813
Interest Rate Risk
Futures Contracts	(323)		(1,137)
Total Interest Rate Risk	(323)		(1,137)
Totals	$ 31,747		$ 10,676

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

31	Annual Report

Notes to Financial Statements  – continued

4. Derivative Instruments – continued
    
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption “Forward Foreign Currency Contracts.” The contract amount and unrealized appreciation (depreciation) reflects each contract’s exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statements of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption “Futures Contracts”. The notional amount at value reflects each contract’s exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statements of Assets and Liabilities.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity Sustainable Core Plus Bond ETF	7,668,603	196,947
Fidelity Sustainable Low Duration Bond ETF	1,861,187	75,621

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund’s average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

	Fee Rate
Fidelity Sustainable Core Plus Bond ETF	.36%
Fidelity Sustainable Low Duration Bond ETF	.30%

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.

7. Expense Reductions.

Through arrangements with each applicable Fund’s custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund’s expenses by the following amounts:

	Amount
Fidelity Sustainable Low Duration Bond ETF	$ 12

8. Share Transactions.

Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a fund and redemption proceeds are paid with a basket of securities from a fund’s portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund’s shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.

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32

9. Other.

A fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

10. Risk and Uncertainties.

Many factors affect a fund’s performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund’s investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund’s level of investment in the securities of that issuer.

33	Annual Report

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Merrimack Street Trust and the Shareholders of Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF (the “Funds”), each a fund of Fidelity Merrimack Street Trust, including the schedules of investments, as of August 31, 2022, the related statements of operations, the statements of changes in net assets and the financial highlights for the period from April 19, 2022 (commencement of operations) through August 31, 2022, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2022, and the results of their operations, the changes in their net assets and the financial highlights for the period from April 19, 2022 (commencement of operations) through August 31, 2022, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 19, 2022

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

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34

Trustees and Officers (Unaudited)

The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Each of the Trustees oversees 297 funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the funds is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The funds’ Statement of Additional Information (SAI) includes more information about the Trustees. To request a fee copy, call Fidelity at 1-800-FIDELITY.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the funds, is provided below.

Fidelity^® funds are overseen by different Boards of Trustees. The funds’ Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity^® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity^® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

35	Annual Report

Trustees and Officers (Unaudited)  – continued

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds’ activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds’ business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates, and other service providers, the funds’ exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds’ activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the funds’ Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds’ Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Abigail P. Johnson (1961)

Year of Election or Appointment: 2012

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity^® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity^® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity^® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity^® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.

* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Annual Report

36

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity^® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity^® funds (2013-2016).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee of other Fidelity^® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity^® funds (2018).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity^® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity^® funds (2014-2016).

Robert F. Gartland (1951)

Year of Election or Appointment: 2013

Trustee

Mr. Gartland also serves as Trustee of other Fidelity^® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2013

37	Annual Report

Trustees and Officers (Unaudited)  – continued

Trustee

Mr. Johnson also serves as Trustee of other Fidelity^® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity^® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2013

Trustee

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity^® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity^® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2013

Trustee

Ms. Knowles also serves as Trustee of other Fidelity^® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity^® funds.

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity^® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity^® funds (2016).

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

Laura M. Bishop (1961)

Annual Report

38

Year of Election or Appointment: 2022

Member of the Advisory Board

Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).

Robert W. Helm (1957)

Year of Election or Appointment: 2021

Member of the Advisory Board

Mr. Helm also serves as a Member of the Advisory Board of other Fidelity^® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

David J. Carter (1973)

Year of Election or Appointment: 2020

Assistant Secretary

Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).

Jonathan Davis (1968)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity^® funds (2016-2020) and Assistant Treasurer of certain Fidelity^® funds (2016-2018).

39	Annual Report

Trustees and Officers (Unaudited)  – continued

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2020

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.

Kenneth B. Robins (1969)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity^® funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Annual Report

40

Deputy Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity^® funds (2019-2021).

41	Annual Report

Shareholder Expense Example (Unaudited)

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 19, 2022 to August 31, 2022) for Fidelity Sustainable Core Plus Bond ETF and Fidelity Sustainable Low Duration Bond ETF.

The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (March 1, 2022 to August 31, 2022).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	Annualized Expense RatioA	Beginning Account Value March 1, 2022	Ending Account Value August 31, 2022	Expenses Paid During Period March 1, 2022
Fidelity Sustainable Core Plus Bond ETF	0.36%
Actual		$ 1,000.00	$ 972.80	$ 1.79B
Hypothetical C		$ 1,000.00	$ 1,023.39	$ 1.84D
Fidelity Sustainable Low Duration Bond ETF	0.30%
Actual		$ 1,000.00	$ 1,001.60	$ 1.51B
Hypothetical C		$ 1,000.00	$ 1,023.69	$ 1.53D

B	Actual expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 134/365 (to reflect the period April 19, 2022 to August 31, 2022).
A	Annualized expense ratio reflects expenses net of applicable fee waivers.
C	5% return per year before expenses.
D	Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

Annual Report

42

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

A percentage of the dividends distributed during the fiscal year for the following funds were derived from interest on U.S. Government securities which is generally exempt from state income tax:

Fidelity Sustainable Core Plus Bond ETF	15%
Fidelity Sustainable Low Duration Bond ETF	18%

The funds hereby designate the amounts noted below as distributions paid during the period January 1, 2022 to August 31, 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:

Fidelity Sustainable Core Plus Bond ETF	$104,053
Fidelity Sustainable Low Duration Bond ETF	$ 22,506

The funds will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

43	Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Sustainable Core Plus Bond ETF

At its March 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity’s staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund’s investment objectives, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity’s investment staff, including its size, education, experience, and resources, as well as Fidelity’s approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity’s global investment organization and that Fidelity’s analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity’s investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity’s trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping and securities lending services for the fund. The Board also considered the nature and extent of the supervision of third party service providers, principally transfer agents, custodians, subcustodians, and pricing vendors.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund’s Advisory Contracts. The Board considered the Investment Advisers’ strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds. The Board also considered the fact that it oversees funds managed by FMR that have similar investment objectives and policies as the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. In reviewing the Advisory Contracts, the Board considered the fund’s proposed all-inclusive (subject to certain exceptions) fee rate. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FMR under the all-inclusive arrangement. The Board noted that the fund’s proposed management fee rate is below the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

Based on its review, the Board concluded that the fund’s management fee and projected total expense ratio were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund’s Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund’s shareholders.

Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

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44

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund’s Advisory Contracts should be approved.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Sustainable Low Duration Bond ETF

At its March 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity’s staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund’s investment objectives, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity’s investment staff, including its size, education, experience, and resources, as well as Fidelity’s approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity’s global investment organization and that Fidelity’s analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity’s investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity’s trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping and securities lending services for the fund. The Board also considered the nature and extent of the supervision of third party service providers, principally transfer agents, custodians, subcustodians, and pricing vendors.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund’s Advisory Contracts. The Board considered the Investment Advisers’ strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds. The Board also considered the fact that it oversees funds managed by FMR that have similar investment objectives and policies as the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. In reviewing the Advisory Contracts, the Board considered the fund’s proposed all-inclusive (subject to certain exceptions) fee rate. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FMR under the all-inclusive arrangement. The Board noted that the fund’s proposed management fee rate is below the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

Based on its review, the Board concluded that the fund’s management fee and projected total expense ratio were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund’s Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund’s shareholders.

45	Annual Report

Board Approval of Investment Advisory Contracts and Management Fees  – continued

Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund’s Advisory Contracts should be approved.

Annual Report

46

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47	Annual Report

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