UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22796

Fidelity Merrimack Street Trust

(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210

(Address of principal executive offices) (Zip code)

Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts 02210

(Name and address of agent for service)

Registrant’s telephone number, including area code: 617-563-7000

Date of fiscal year end: August 31

Date of reporting period: May 31, 2016

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity^® Corporate Bond ETF

May 31, 2016

1.9862233.101

T12-QTLY-0716

Investments May 31, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds – 90.9%
	Principal Amount		Value
CONSUMER DISCRETIONARY – 8.3%
Automobiles – 0.7%
General Motors Co.:
5.20% 4/1/45	$	200,000	$	194,269
6.75% 4/1/46		22,000		25,737
				220,006
Hotels, Restaurants & Leisure – 0.9%
McDonald’s Corp.:
3.70% 1/30/26		15,000		15,943
4.875% 12/9/45		12,000		13,293
6.30% 3/1/38		200,000		250,495
				279,731
Household Durables – 0.9%
Toll Brothers Finance Corp. 4.375% 4/15/23		255,000		254,363
Media – 5.8%
Comcast Corp. 4.50% 1/15/43		306,000		333,306
Discovery Communications LLC 4.875% 4/1/43		255,000		225,780
Time Warner Cable, Inc.:
4.50% 9/15/42		100,000		89,103
5.85% 5/1/17		765,000		792,899
6.20% 3/15/40		221,000		262,921
				1,704,009
TOTAL CONSUMER DISCRETIONARY				2,458,109
CONSUMER STAPLES – 5.9%
Beverages – 4.1%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21		300,000		305,291
3.65% 2/1/26		65,000		67,548
4.70% 2/1/36		207,000		223,670
4.90% 2/1/46		165,000		183,881
Constellation Brands, Inc. 3.75% 5/1/21		425,000		439,875
				1,220,265
Food & Staples Retailing – 0.9%
CVS Health Corp.:
1.90% 7/20/18		27,000		27,254
2.80% 7/20/20		26,000		26,733
4.875% 7/20/35		150,000		170,141
Walgreens Boots Alliance, Inc. 1.75% 5/30/18		42,000		42,045
				266,173
Food Products – 0.2%
The JM Smucker Co. 2.50% 3/15/20		47,000		47,864
Tobacco – 0.7%
Reynolds American, Inc. 4.45% 6/12/25		200,000		219,436
TOTAL CONSUMER STAPLES				1,753,738

	Principal Amount		Value
ENERGY – 14.1%
Energy Equipment & Services – 1.8%
DCP Midstream LLC 5.85% 5/21/43(a)(b)	$	400,000	$	272,000
Ensco PLC 5.75% 10/1/44		16,000		9,320
TransCanada PipeLines Ltd. 4.625% 3/1/34		238,000		244,239
				525,559
Oil, Gas & Consumable Fuels – 12.3%
Anadarko Petroleum Corp. 6.375% 9/15/17		48,000		50,506
Apache Corp. 4.25% 1/15/44		125,000		112,828
Canadian Natural Resources Ltd. 3.90% 2/1/25		172,000		158,762
Cenovus Energy, Inc. 5.70% 10/15/19		27,000		27,633
EnLink Midstream Partners LP 2.70% 4/1/19		255,000		236,989
Exxon Mobil Corp. 4.114% 3/1/46		130,000		138,243
Kinder Morgan Energy Partners LP 5.00% 10/1/21		238,000		245,884
Kinder Morgan, Inc. 3.05% 12/1/19		300,000		298,956
Noble Energy, Inc. 5.05% 11/15/44		200,000		189,973
Petrobras International Finance Co. Ltd. 5.375% 1/27/21		306,000		270,810
Petroleos Mexicanos:
5.50% 6/27/44		200,000		167,040
5.625% 1/23/46		165,000		140,044
6.875% 8/4/26(a)		75,000		81,495
Phillips 66 Co. 4.875% 11/15/44		170,000		176,155
Schlumberger Holdings Corp. 3.625% 12/21/22(a)		150,000		155,330
Shell International Finance BV:
3.25% 5/11/25		200,000		204,732
4.125% 5/11/35		200,000		204,194
Southwestern Energy Co. 4.95% 1/23/25		100,000		83,750
The Williams Companies., Inc. 5.75% 6/24/44		255,000		207,825
Weatherford International Ltd. 5.95% 4/15/42		221,000		140,887
Williams Partners LP 3.35% 8/15/22		425,000		366,581
				3,658,617
TOTAL ENERGY				4,184,176
FINANCIALS – 45.0%
Banks – 14.8%
Bank of America Corp.:
4.20% 8/26/24		255,000		260,391
4.25% 10/22/26		40,000		40,593
4.45% 3/3/26		29,000		29,932
5.75% 12/1/17		250,000		264,462

Quarterly Report 2

Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Banks – continued
Bank of America N.A. 2.05% 12/7/18	$	250,000	$	251,931
CIT Group, Inc. 3.875% 2/19/19		425,000		426,993
Citigroup, Inc. 4.40% 6/10/25		400,000		410,928
Citizens Financial Group, Inc. 4.35% 8/1/25		145,000		149,067
Discover Bank 3.20% 8/9/21		256,000		258,297
Fifth Third Bancorp 8.25% 3/1/38		170,000		246,279
HSBC Holdings PLC 2.95% 5/25/21		200,000		200,596
JPMorgan Chase & Co.:
4.125% 12/15/26		300,000		310,594
4.95% 6/1/45		200,000		214,411
PNC Bank N.A. 2.15% 4/29/21		300,000		300,770
Regions Bank 7.50% 5/15/18		250,000		272,760
Royal Bank of Scotland Group PLC:
5.125% 5/28/24		100,000		98,786
6.00% 12/19/23		408,000		425,328
Wells Fargo & Co. 4.65% 11/4/44		200,000		206,755
				4,368,873
Capital Markets – 4.0%
Goldman Sachs Group, Inc.:
2.625% 4/25/21		28,000		28,086
3.75% 5/22/25		150,000		154,375
3.85% 7/8/24		255,000		265,982
Morgan Stanley:
4.875% 11/1/22		408,000		442,635
5.50% 7/28/21		260,000		292,623
				1,183,701
Consumer Finance – 5.9%
Ally Financial, Inc. 4.75% 9/10/18		408,000		419,220
Discover Financial Services 5.20% 4/27/22		391,000		422,632
Ford Motor Credit Co. LLC 5.875% 8/2/21		352,000		400,272
Hyundai Capital America 2.875% 8/9/18(a)		250,000		254,447
Synchrony Financial 3.00% 8/15/19		255,000		257,815
				1,754,386
Diversified Financial Services – 4.9%
Aon PLC 4.75% 5/15/45		161,000		166,858
Diamond 1 Finance Corp. / Diamond 2 Finance Corp. 6.02% 6/15/26(a)		150,000		151,356
General Motors Financial Co., Inc. 3.10% 1/15/19		300,000		305,591
Janus Capital Group, Inc. 4.875% 8/1/25		43,000		45,512
Moody’s Corp. 4.50% 9/1/22		408,000		449,133

	Principal Amount		Value
S&P Global, Inc.:
3.30% 8/14/20	$	145,000	$	149,854
4.00% 6/15/25		162,000		172,909
				1,441,213
Insurance – 5.6%
Hartford Financial Services Group, Inc. 5.125% 4/15/22		374,000		420,493
Marsh & McLennan Companies, Inc. 4.05% 10/15/23		238,000		255,074
Massachusetts Mutual Life Insurance Co. 4.50% 4/15/65(a)		61,000		55,665
Pacific LifeCorp. 5.125% 1/30/43(a)		306,000		318,410
Prudential Financial, Inc. 5.375% 5/15/45(b)		34,000		34,892
Unum Group 4.00% 3/15/24		255,000		260,429
Voya Financial, Inc.:
5.50% 7/15/22		221,000		246,747
5.70% 7/15/43		64,000		72,752
				1,664,462
Real Estate Investment Trusts (REITs) – 3.9%
DDR Corp.:
3.50% 1/15/21		255,000		259,716
7.50% 4/1/17		374,000		391,612
Healthcare Trust of America Holdings LP 3.375% 7/15/21		255,000		256,923
Lexington Realty Trust 4.40% 6/15/24		255,000		256,493
				1,164,744
Real Estate Management & Development – 5.9%
Corporate Office Properties LP:
3.60% 5/15/23		169,000		159,607
3.70% 6/15/21		425,000		421,901
Essex Portfolio LP 5.50% 3/15/17		391,000		402,505
Liberty Property LP 4.40% 2/15/24		238,000		251,400
Mack-Cali Realty LP 4.50% 4/18/22		255,000		255,865
Ventas Realty LP 3.75% 5/1/24		255,000		260,409
				1,751,687
TOTAL FINANCIALS				13,329,066
HEALTH CARE – 4.3%
Health Care Equipment & Supplies – 0.5%
Becton Dickinson & Co. 3.734% 12/15/24		134,000		142,014
Health Care Providers & Services – 0.7%
UnitedHealth Group, Inc.:
3.75% 7/15/25		150,000		161,514
4.75% 7/15/45		52,000		59,397
				220,911

3 Quarterly Report

Investments (Unaudited) – continued

Nonconvertible Bonds – continued
	Principal Amount		Value
HEALTH CARE – continued
Life Sciences Tools & Services – 0.3%
Thermo Fisher Scientific, Inc. 3.30% 2/15/22	$	84,000	$	86,074
Pharmaceuticals – 2.8%
AbbVie, Inc.:
1.75% 11/6/17		250,000		250,531
3.20% 11/6/22		32,000		32,543
Actavis Funding SCS 4.55% 3/15/35		157,000		154,707
Actavis, Inc. 1.875% 10/1/17		250,000		250,399
Mylan N.V. 3.95% 6/15/26(a)		157,000		155,793
				843,973
TOTAL HEALTH CARE				1,292,972
INDUSTRIALS – 2.5%
Air Freight & Logistics – 1.0%
FedEx Corp. 3.25% 4/1/26		300,000		306,146
Trading Companies & Distributors – 1.5%
Air Lease Corp. 3.875% 4/1/21		425,000		438,583
TOTAL INDUSTRIALS				744,729
INFORMATION TECHNOLOGY – 0.5%
Technology Hardware, Storage & Peripherals – 0.5%
Hewlett Packard Enterprise Co. 4.40% 10/15/22(a)		140,000		147,995
MATERIALS – 2.3%
Chemicals – 0.8%
Monsanto Co. 4.20% 7/15/34		255,000		246,138
Metals & Mining – 1.5%
BHP Billiton Finance (USA) Ltd. 6.75% 10/19/75(a)(b)		200,000		208,000
Freeport-McMoRan, Inc.:
2.30% 11/14/17		28,000		27,300
5.45% 3/15/43		255,000		192,446
				427,746
TOTAL MATERIALS				673,884
TELECOMMUNICATION SERVICES – 3.2%
Diversified Telecommunication Services – 2.3%
AT&T, Inc.:
4.50% 5/15/35		115,000		115,009
4.75% 5/15/46		62,000		61,477

	Principal Amount		Value
5.55% 8/15/41	$	221,000	$	241,000
Verizon Communications, Inc. 5.012% 8/21/54		250,000		258,387
				675,873
Media – 0.9%
21st Century Fox America, Inc. 6.15% 2/15/41		221,000		269,218
TOTAL TELECOMMUNICATION SERVICES				945,091
UTILITIES – 4.8%
Electric Utilities – 3.7%
Cleco Corporate Holdings LLC 3.743% 5/1/26(a)		36,000		35,927
Exelon Corp. 3.95% 6/15/25		30,000		31,469
FirstEnergy Corp. 2.75% 3/15/18		250,000		251,805
Florida Gas Transmission Co., LLC 4.35% 7/15/25(a)		150,000		144,949
IPALCO Enterprises, Inc. 3.45% 7/15/20		52,000		52,520
Puget Energy, Inc. 3.65% 5/15/25		78,000		78,644
The Southern Co. 1.55% 7/1/18		500,000		500,434
				1,095,748
Multi-Utilities – 1.1%
DPL, Inc. 7.25% 10/15/21		306,000		319,036
TOTAL UTILITIES				1,414,784
TOTAL NONCONVERTIBLE BONDS (Cost $27,216,656)				26,944,544
U.S. Treasury Obligations – 3.4%
U.S. Treasury Bonds 3.00% 11/15/45		651,000		699,266
U.S. Treasury Notes 2.00% 8/15/25		300,000		304,230
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,002,364)				1,003,496
Municipal Securities – 1.5%
Illinois Gen. Oblig. Series 2011 5.877% 3/1/19 (Cost $455,153)		425,000		460,279

Quarterly Report 4

Money Market Funds – 4.6%
	Shares		Value
Fidelity Cash Central Fund, 0.40% (c) (Cost $1,360,546)		1,360,546	$	1,360,546
TOTAL INVESTMENT PORTFOLIO – 100.4% (Cost $30,034,719)				29,768,865
NET OTHER ASSETS (LIABILITIES) – (0.4%)				(133,322	)
NET ASSETS – 100%			$	29,635,543

Legend

(a) Security 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 $1,981,367 or 6.7% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund’s holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund’s financial statements are available on the SEC’s website or upon request.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income Earned
Fidelity Cash Central Fund	$	2,465

Other Information

The following is a summary of the inputs used, as of May 31, 2016, 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 at the end of this listing.

Valuation Inputs at Reporting Date:
Description	Total		Level 1		Level 2		Level 3
Investments in Securities:
Corporate Bonds	$	26,944,544	$	—	$	26,944,544	$	—
U.S. Treasury Obligations		1,003,496		—		1,003,496		—
Municipal Securities		460,279		—		460,279		—
Money Market Funds		1,360,546		1,360,546		—		—
Total Investments in Securities:	$	29,768,865	$	1,360,546	$	28,408,319	$	—

Income Tax Information

At May 31, 2016, the cost of investment securities for income tax purposes was $30,034,719. Net unrealized depreciation aggregated $265,854, of which $408,101 related to appreciated investment securities and $673,955 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund’s investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the 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 the Fund’s investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 – 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the 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, municipal securities and U.S government 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. 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

5 Quarterly Report

Investments (Unaudited) – continued

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.

Investments in open-end mutual funds, including Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

For additional information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

Quarterly Report 6

The fund’s schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund’s shareholders. For more information regarding the fund and its holdings, please see the fund’s most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

7 Quarterly Report

Quarterly Holdings Report

for

Fidelity^® Limited Term Bond ETF

May 31, 2016

1.9862237.101

T13-QTLY-0716

Investments May 31, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds – 75.4%
	Principal Amount		Value
CONSUMER DISCRETIONARY – 7.1%
Automobiles – 1.4%
Daimler Finance North America LLC:
1.65% 5/18/18 (a)	$	400,000	$	399,394
1.875% 1/11/18 (a)		302,000		303,429
2.45% 5/18/20 (a)		500,000		505,904
Volkswagen Group of America Finance LLC 2.40% 5/22/20 (a)		200,000		198,169
Volkswagen International Finance N.V. 2.125% 11/20/18 (a)		250,000		248,915
				1,655,811
Hotels, Restaurants & Leisure – 0.5%
McDonald’s Corp. 2.75% 12/9/20		583,000		598,554
Household Durables – 0.1%
DR Horton, Inc. 3.75% 3/1/19		72,000		73,980
Internet & Catalog Retail – 0.9%
Amazon.com, Inc. 2.60% 12/5/19		1,092,000		1,132,269
Media – 4.2%
CBS Corp. 2.30% 8/15/19		854,000		862,598
Charter Communications Operating LLC / Charter Communications Operating Capital 3.579% 7/23/20 (a)		676,000		697,049
Comcast Corp. 5.15% 3/1/20		1,201,000		1,349,188
Cox Communications, Inc. 6.25% 6/1/18 (a)		191,000		203,828
Discovery Communications LLC 5.05% 6/1/20		147,000		160,126
Sky PLC 2.625% 9/16/19 (a)		750,000		754,450
The Walt Disney Co. 1.85% 5/30/19		223,000		226,476
Time Warner Cable, Inc. 5.85% 5/1/17		127,000		131,631
Time Warner, Inc. 2.10% 6/1/19		446,000		449,421
Viacom, Inc.:
2.20% 4/1/19		150,000		149,592
6.125% 10/5/17		150,000		157,882
				5,142,241
TOTAL CONSUMER DISCRETIONARY				8,602,855
CONSUMER STAPLES – 5.6%
Beverages – 1.5%
Anheuser-Busch InBev Finance, Inc.:
1.25% 1/17/18		114,000		113,887
2.15% 2/1/19		1,389,000		1,403,932
2.65% 2/1/21		122,000		124,152
Heineken N.V. 1.40% 10/1/17 (a)		138,000		138,263
				1,780,234

	Principal Amount		Value
Food & Staples Retailing – 0.9%
CVS Health Corp.:
2.25% 12/5/18 to 8/12/19	$	381,000	$	387,531
2.80% 7/20/20		253,000		260,136
Kroger Co. 2.30% 1/15/19		317,000		321,624
Walgreens Boots Alliance, Inc. 1.75% 5/30/18		171,000		171,184
				1,140,475
Food Products – 1.2%
ConAgra Foods, Inc. 2.10% 3/15/18		59,000		59,307
General Mills, Inc. 5.70% 2/15/17		181,000		187,015
Kraft Heinz Foods Co. 1.60% 6/30/17 (a)		181,000		181,669
The JM Smucker Co.:
1.75% 3/15/18		157,000		157,628
2.50% 3/15/20		191,000		194,512
Tyson Foods, Inc. 2.65% 8/15/19		639,000		654,229
				1,434,360
Tobacco – 2.0%
BAT International Finance PLC:
1.85% 6/15/18 (a)		300,000		302,024
2.75% 6/15/20 (a)		197,000		202,629
Imperial Brands Finance PLC 2.05% 2/11/18 to 7/20/18		700,000		703,782
Philip Morris International, Inc. 1.875% 1/15/19 to 2/25/21		492,000		495,233
Reynolds American, Inc. 3.25% 6/12/20		698,000		727,328
				2,430,996
TOTAL CONSUMER STAPLES				6,786,065
ENERGY – 5.1%
Energy Equipment & Services – 0.1%
Noble Holding International Ltd.:
2.50% 3/15/17		64,000		62,240
5.00% 3/16/18		9,000		8,723
				70,963
Oil, Gas & Consumable Fuels – 5.0%
Canadian Natural Resources Ltd. 5.90% 2/1/18		132,000		137,669
Chevron Corp. 1.961% 3/3/20		852,000		854,502
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.70% 5/1/18 (a)		213,000		211,624
Columbia Pipeline Group, Inc.:
2.45% 6/1/18		60,000		59,895
3.30% 6/1/20		41,000		41,127

Quarterly Report 2

Nonconvertible Bonds – continued
	Principal Amount		Value
ENERGY – continued
Oil, Gas & Consumable Fuels – continued
ConocoPhillips Co.:
1.50% 5/15/18	$	189,000	$	187,633
2.20% 5/15/20		146,000		145,443
DCP Midstream Operating LP 2.70% 4/1/19		11,000		10,302
Enterprise Products Operating LLC:
1.65% 5/7/18		203,000		202,639
2.85% 4/15/21		90,000		91,081
Exxon Mobil Corp. 2.222% 3/1/21		1,093,000		1,107,205
Kinder Morgan, Inc.:
2.00% 12/1/17		100,000		98,855
3.05% 12/1/19		168,000		167,415
Marathon Petroleum Corp. 2.70% 12/14/18		49,000		49,686
Petrobras International Finance Co. Ltd. 5.875% 3/1/18		125,000		126,250
Petroleos Mexicanos:
3.50% 7/18/18		235,000		235,705
5.50% 2/4/19 (a)		300,000		313,350
6.375% 2/4/21 (a)		300,000		321,780
Shell International Finance BV:
2.125% 5/11/20		480,000		481,909
2.25% 11/10/20		120,000		120,953
Southwestern Energy Co. 3.30% 1/23/18		84,000		81,060
Total Capital Canada Ltd. 1.45% 1/15/18		200,000		200,507
Total Capital International S.A.:
2.125% 1/10/19		148,000		149,829
2.75% 6/19/21		464,000		475,070
TransCanada PipeLines Ltd.:
1.625% 11/9/17		129,000		128,789
1.875% 1/12/18		54,000		53,971
3.125% 1/15/19		74,000		75,649
				6,129,898
TOTAL ENERGY				6,200,861
FINANCIALS – 40.4%
Banks – 19.7%
Bank of America Corp.:
1.70% 8/25/17		136,000		136,160
2.00% 1/11/18		252,000		252,931
2.625% 10/19/20 to 4/19/21		673,000		675,938
2.65% 4/1/19		2,133,000		2,171,409
Barclays PLC:
2.75% 11/8/19		554,000		553,245
3.25% 1/12/21		703,000		708,761
CIT Group, Inc. 3.875% 2/19/19		148,000		148,694

	Principal Amount		Value
Citigroup, Inc.:
1.75% 5/1/18	$	885,000	$	885,159
1.85% 11/24/17		85,000		85,224
2.05% 12/7/18		191,000		191,766
2.15% 7/30/18		99,000		99,736
2.50% 7/29/19		579,000		586,602
2.65% 10/26/20		106,000		106,560
Citizens Bank N.A. 2.30% 12/3/18		250,000		251,231
Commonwealth Bank of Australia 2.30% 3/12/20		250,000		252,232
Credit Suisse AG 2.30% 5/28/19		500,000		505,349
Credit Suisse Group Funding Guernsey Ltd. 3.45% 4/16/21 (a)		500,000		504,099
Discover Bank:
2.00% 2/21/18		1,000,000		997,637
2.60% 11/13/18		516,000		519,014
Fifth Third Bancorp 2.875% 7/27/20		153,000		155,555
First Horizon National Corp. 3.50% 12/15/20		157,000		157,433
HSBC U.S.A, Inc. 2.375% 11/13/19		500,000		503,333
Intesa Sanpaolo SpA 3.875% 1/16/18		315,000		322,908
JPMorgan Chase & Co.:
1.625% 5/15/18		305,000		304,847
2.20% 10/22/19		535,000		538,441
2.25% 1/23/20		324,000		325,155
2.55% 10/29/20		281,000		283,609
2.75% 6/23/20		1,258,000		1,281,365
KeyCorp 2.90% 9/15/20		312,000		317,782
Manufacturers & Traders Trust Co. 2.10% 2/6/20		350,000		350,076
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21		1,510,000		1,542,788
Mizuho Corporate Bank Ltd. 2.40% 3/26/20 (a)		350,000		352,325
PNC Bank N.A. 2.15% 4/29/21		500,000		501,283
Regions Bank 2.25% 9/14/18		1,350,000		1,356,518
Regions Financial Corp.:
2.00% 5/15/18		187,000		186,946
3.20% 2/8/21		97,000		98,025
Royal Bank of Canada 2.35% 10/30/20		968,000		982,989
Sumitomo Mitsui Banking Corp. 2.45% 1/16/20		500,000		506,013
SunTrust Banks, Inc.:
2.50% 5/1/19		697,000		706,957
2.90% 3/3/21		382,000		388,178

3 Quarterly Report

Investments (Unaudited) – continued

Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Banks – continued
The Bank of Nova Scotia:
2.35% 10/21/20	$	253,000	$	256,161
2.80% 7/21/21		464,000		478,135
The Bank of Tokyo-Mitsubishi UFJ Ltd. 2.30% 3/5/20 (a)		449,000		451,276
The Toronto Dominion Bank:
1.40% 4/30/18		269,000		268,980
2.50% 12/14/20		191,000		194,634
Wells Fargo & Co.:
2.15% 1/15/19		996,000		1,009,301
2.60% 7/22/20		212,000		216,198
Westpac Banking Corp. 1.60% 1/12/18		250,000		250,732
				23,919,690
Capital Markets – 4.6%
Goldman Sachs Group, Inc. 2.625% 1/31/19 to 4/25/21		1,845,000		1,873,790
Morgan Stanley:
1.875% 1/5/18		279,000		279,959
2.375% 7/23/19		1,116,000		1,127,804
2.50% 4/21/21		292,000		291,196
2.65% 1/27/20		1,007,000		1,022,105
4.875% 11/1/22		72,000		78,112
The Bank of New York Mellon Corp. 2.60% 8/17/20		191,000		195,846
UBS AG:
1.80% 3/26/18		250,000		251,027
2.375% 8/14/19		400,000		405,670
				5,525,509
Consumer Finance – 6.9%
American Express Credit Corp.:
2.125% 3/18/19		1,155,000		1,170,620
2.25% 5/5/21		464,000		463,713
American Honda Finance Corp.:
1.70% 2/22/19		147,000		148,280
2.125% 10/10/18		106,000		107,823
2.15% 3/13/20		138,000		140,255
Capital One Financial Corp. 2.45% 4/24/19		387,000		390,445
Caterpillar Financial Services Corp.:
1.80% 11/13/18		151,000		152,992
2.25% 12/1/19		382,000		389,510
Discover Financial Services 6.45% 6/12/17		110,000		114,805
Ford Motor Credit Co. LLC:
2.875% 10/1/18		538,000		548,952
3.157% 8/4/20		2,545,000		2,608,750

	Principal Amount		Value
Hyundai Capital America:
2.00% 3/19/18 (a)	$	161,000	$	161,207
2.60% 3/19/20 (a)		142,000		142,751
John Deere Capital Corp.:
1.60% 7/13/18		151,000		152,179
1.95% 1/8/19		856,000		868,575
Moody’s Corp. 2.75% 7/15/19		385,000		394,135
Synchrony Financial:
2.60% 1/15/19		217,000		218,437
3.00% 8/15/19		126,000		127,391
Toyota Motor Credit Corp. 1.375% 1/10/18		107,000		107,254
				8,408,074
Diversified Financial Services – 3.6%
Aon PLC 2.80% 3/15/21		222,000		223,433
BP Capital Markets PLC:
1.375% 5/10/18		84,000		83,693
1.676% 5/3/19		73,000		72,965
2.237% 5/10/19		83,000		84,130
2.521% 1/15/20		637,000		648,585
Deutsche Bank AG:
1.35% 5/30/17		166,000		165,378
2.50% 2/13/19		464,000		462,644
2.85% 5/10/19		328,000		328,151
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.:
3.48% 6/1/19 (a)		250,000		253,322
4.42% 6/15/21 (a)		250,000		255,248
General Motors Financial Co., Inc.:
2.40% 4/10/18		219,000		219,737
3.20% 7/13/20		839,000		846,772
4.20% 3/1/21		191,000		199,542
Intercontinental Exchange, Inc. 2.75% 12/1/20		418,000		429,783
Washington Prime Group LP 3.85% 4/1/20		117,000		119,363
				4,392,746
Insurance – 3.0%
Aflac, Inc. 2.40% 3/16/20		380,000		388,859
American International Group, Inc.:
2.30% 7/16/19		182,000		183,502
3.30% 3/1/21		931,000		954,885
4.875% 6/1/22		185,000		202,085
Aon Corp. 5.00% 9/30/20		97,000		107,344
Berkshire Hathaway Finance Corp. 1.30% 5/15/18		180,000		180,359
Marsh & McLennan Cos., Inc. 2.35% 3/6/20		32,000		32,238
MetLife, Inc. 1.756% 12/15/17		100,000		100,617
Metropolitan Life Global Funding I 2.00% 4/14/20 (a)		650,000		647,849

Quarterly Report 4

Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Insurance – continued
New York Life Global Funding 1.55% 11/2/18 (a)	$	196,000	$	196,708
Principal Life Global Funding II 2.20% 4/8/20 (a)		76,000		76,087
Prudential Financial, Inc. 2.30% 8/15/18		186,000		188,992
TIAA Asset Management Finance Co. LLC 2.95% 11/1/19 (a)		196,000		199,110
Unum Group 5.625% 9/15/20		118,000		130,028
				3,588,663
Real Estate Investment Trusts (REITs) – 0.4%
American Campus Communities Operating Partnership LP 3.35% 10/1/20		36,000		36,841
Boston Properties LP 3.70% 11/15/18		106,000		110,684
Federal Realty Investment Trust 2.55% 1/15/21		167,000		168,840
Simon Property Group LP 1.50% 2/1/18 (a)		104,000		104,079
				420,444
Real Estate Management & Development – 2.2%
ERP Operating LP 2.375% 7/1/19		413,000		419,693
Liberty Property LP 6.625% 10/1/17		557,000		591,107
Tanger Properties LP 6.125% 6/1/20		1,011,000		1,142,871
Ventas Realty LP 3.125% 6/15/23		34,000		33,921
Ventas Realty LP / Ventas Capital Corp.:
2.70% 4/1/20		382,000		384,043
4.00% 4/30/19		76,000		79,481
				2,651,116
TOTAL FINANCIALS				48,906,242
HEALTH CARE – 4.4%
Biotechnology – 1.3%
Amgen, Inc.:
2.125% 5/1/20		169,000		169,826
2.20% 5/22/19		903,000		915,808
Celgene Corp. 2.125% 8/15/18		438,000		442,417
				1,528,051
Health Care Equipment & Supplies – 0.2%
Becton Dickinson & Co. 2.675% 12/15/19		179,000		182,668

	Principal Amount		Value
Zimmer Biomet Holdings, Inc. 2.00% 4/1/18	$	84,000	$	84,339
				267,007
Health Care Providers & Services – 1.1%
Aetna, Inc. 1.50% 11/15/17		189,000		188,982
Cardinal Health, Inc. 1.95% 6/15/18		179,000		180,383
Express Scripts Holding Co. 1.25% 6/2/17		152,000		151,752
UnitedHealth Group, Inc.:
1.70% 2/15/19		152,000		152,943
1.90% 7/16/18		161,000		163,002
2.125% 3/15/21		211,000		211,619
2.70% 7/15/20		232,000		239,995
				1,288,676
Life Sciences Tools & Services – 0.4%
Thermo Fisher Scientific, Inc.:
1.85% 1/15/18		106,000		106,551
2.15% 12/14/18		203,000		204,499
2.40% 2/1/19		151,000		152,714
				463,764
Pharmaceuticals – 1.4%
AbbVie, Inc.:
1.80% 5/14/18		114,000		114,205
2.50% 5/14/20		559,000		564,053
Actavis Funding SCS:
1.30% 6/15/17		194,000		193,399
2.35% 3/12/18		344,000		346,765
Mylan N.V.:
2.50% 6/7/19		64,000		63,928
3.15% 6/15/21		131,000		130,848
Zoetis, Inc.:
1.875% 2/1/18		282,000		281,752
3.45% 11/13/20		29,000		29,772
				1,724,722
TOTAL HEALTH CARE				5,272,220
INDUSTRIALS – 4.1%
Aerospace & Defense – 2.0%
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a)		840,000		851,079
Lockheed Martin Corp.:
1.85% 11/23/18		191,000		192,695
2.50% 11/23/20		666,000		677,977
The Boeing Co. 1.65% 10/30/20		763,000		761,041
				2,482,792
Industrial Conglomerates – 1.5%
Danaher Corp.:
1.65% 9/15/18		149,000		150,590
2.40% 9/15/20		104,000		107,192

5 Quarterly Report

Investments (Unaudited) – continued

Nonconvertible Bonds – continued
	Principal Amount		Value
INDUSTRIALS – continued
Industrial Conglomerates – continued
General Electric Co. 2.20% 1/9/20	$	1,087,000	$	1,110,635
Roper Technologies, Inc.:
2.05% 10/1/18		188,000		189,576
3.00% 12/15/20		283,000		289,751
				1,847,744
Trading Companies & Distributors – 0.6%
Air Lease Corp.:
2.625% 9/4/18		43,000		42,831
3.375% 6/1/21		459,000		463,122
4.75% 3/1/20		163,000		174,002
				679,955
TOTAL INDUSTRIALS				5,010,491
INFORMATION TECHNOLOGY – 1.4%
Communications Equipment – 0.3%
Cisco Systems, Inc.:
1.65% 6/15/18		197,000		199,030
2.45% 6/15/20		205,000		211,514
				410,544
Electronic Equipment, Instruments & Components – 0.3%
Tyco Electronics Group S.A. 2.35% 8/1/19		402,000		405,259
IT Services – 0.2%
The Western Union Co. 3.65% 8/22/18		152,000		156,883
Xerox Corp. 2.75% 3/15/19		63,000		62,191
				219,074
Software – 0.2%
Oracle Corp. 2.25% 10/8/19		196,000		200,900
Technology Hardware, Storage & Peripherals – 0.4%
Hewlett Packard Enterprise Co.:
2.369% 10/5/17 (a)(b)		191,000		192,199
2.85% 10/5/18 (a)		172,000		174,974
3.60% 10/15/20 (a)		148,000		152,052
				519,225
TOTAL INFORMATION TECHNOLOGY				1,755,002
MATERIALS – 0.4%
Chemicals – 0.2%
Ecolab, Inc. 1.55% 1/12/18		181,000		181,063
Metals & Mining – 0.2%
Freeport-McMoRan, Inc. 2.30% 11/14/17		103,000		100,425
Rio Tinto Finance (U.S.A.) PLC 6.50% 7/15/18		158,000		172,711
				273,136
TOTAL MATERIALS				454,199

	Principal Amount		Value
TELECOMMUNICATION SERVICES – 3.7%
Diversified Telecommunication Services – 3.3%
AT&T, Inc.:
1.75% 1/15/18	$	165,000	$	165,517
2.375% 11/27/18		309,000		313,841
2.45% 6/30/20		1,125,000		1,130,487
2.80% 2/17/21		232,000		235,131
British Telecommunications PLC 2.35% 2/14/19		500,000		508,740
CenturyLink, Inc. 5.15% 6/15/17		140,000		143,571
Verizon Communications, Inc.:
2.625% 2/21/20		1,001,000		1,025,442
3.65% 9/14/18		259,000		271,656
5.50% 2/15/18		146,000		155,899
				3,950,284
Wireless Telecommunication Services – 0.4%
Vodafone Group PLC 1.50% 2/19/18		493,000		491,796
TOTAL TELECOMMUNICATION SERVICES				4,442,080
UTILITIES – 3.2%
Electric Utilities – 2.2%
American Electric Power Co., Inc. 1.65% 12/15/17		205,000		204,941
Duke Energy Carolinas LLC 5.10% 4/15/18		108,000		115,715
Duke Energy Corp.:
1.009% 4/3/17 (b)		191,000		190,762
1.625% 8/15/17		143,000		143,632
Eversource Energy 4.50% 11/15/19		78,000		84,723
Exelon Corp.:
1.55% 6/9/17		200,000		200,008
2.85% 6/15/20		314,000		320,968
FirstEnergy Corp. 2.75% 3/15/18		139,000		140,003
TECO Finance, Inc. 1.229% 4/10/18 (b)		210,000		206,565
The Cleveland Electric Illuminating Co. 5.70% 4/1/17		62,000		64,060
The Southern Co.:
1.30% 8/15/17		129,000		128,902
1.85% 7/1/19		300,000		300,744
2.35% 7/1/21		500,000		500,926
Xcel Energy, Inc. 2.40% 3/15/21		69,000		70,009
				2,671,958
Independent Power and Renewable Electricity Producers – 0.0%
Southern Power Co. 2.375% 6/1/20		27,000		27,205

Quarterly Report 6

Nonconvertible Bonds – continued
	Principal Amount		Value
UTILITIES – continued
Multi-Utilities – 1.0%
Dominion Resources, Inc.:
1.90% 6/15/18	$	98,000	$	98,052
2.50% 12/1/19		303,000		307,035
NiSource Finance Corp. 6.40% 3/15/18		104,000		112,199
PacifiCorp 5.50% 1/15/19		75,000		82,492
Sempra Energy:
2.40% 3/15/20		167,000		168,620
2.85% 11/15/20		122,000		124,748
WEC Energy Group, Inc. 2.45% 6/15/20		294,000		299,489
				1,192,635
TOTAL UTILITIES				3,891,798
TOTAL NONCONVERTIBLE BONDS (Cost $91,145,601)				91,321,813
U.S. Treasury Obligations – 12.6%
U.S. Treasury Notes:
0.75% 2/15/19		10,368,000		10,299,146
0.875% 11/30/17		3,209,500		3,211,756
1.625% 7/31/20		1,747,800		1,771,081
TOTAL U.S. TREASURY OBLIGATIONS (Cost $15,333,343)				15,281,983
Collateralized Mortgage Obligations – 5.8%
PRIVATE SPONSOR – 5.6%
Banc of America Commercial Mortgage Trust Series 2006-3, Class A4
5.889% 7/10/44(b)		273,113		272,762
Banc of America Commercial Mortgage Trust Series 2007-2, Class A4
5.625% 4/10/49(b)		735,617		741,302
CD Mortgage Trust Series 2006-CD3, Class A5
5.617% 10/15/48		113,247		113,564
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class A
1.835% 12/15/27(a)(b)		283,647		283,829
Citigroup Commercial Mortgage Trust Series 2006-C5, Class A4
5.431% 10/15/49		42,994		43,139
COMM Mortgage Trust Series 2013-LC6, Class ASB
2.478% 1/10/46		375,000		379,078
COMM Mortgage Trust Series 2014-CR15, Class A2
2.928% 2/10/47		457,657		469,803

	Principal Amount		Value
COMM Mortgage Trust Series 2014-CR20, Class A2
2.801% 11/10/47	$	41,000	$	42,131
JPMorgan Chase Commercial Mortgage Securities Trust Series 2006-CB16, Class A4
5.552% 5/12/45		34,925		34,927
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CIBC18, Class A4
5.44% 6/12/47		890,319		903,459
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-LDP10, Class A3
5.42% 1/15/49		1,026,882		1,043,813
LB-UBS Commercial Mortgage Trust Series 2007-C1, Class A4
5.424% 2/15/40		257,700		261,198
ML-CFC Commercial Mortgage Trust Series 2007-5, Class A4
5.378% 8/12/48		225,589		228,731
Morgan Stanley BAML Trust Series 2013-C12, Class ASB
3.824% 10/15/46		500,000		537,170
Morgan Stanley Capital I Trust Series 2007-IQ14, Class A4
5.692% 4/15/49(b)		397,000		405,221
SCG Trust Series 2013-SRP1, Class A
1.835% 11/15/26(a)(b)		231,000		230,587
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class AAB
2.687% 3/10/46		500,000		507,257
Wachovia Bank Commercial Mortgage Trust Series 2006-C27, Class A1A
5.749% 7/15/45(b)		84,209		84,297
Wachovia Bank Commercial Mortgage Trust Series 2006-C29, Class A1A
5.297% 11/15/48		184,223		186,231
Wachovia Bank Commercial Mortgage Trust Series 2007-C31, Class A4
5.509% 4/15/47		38,000		38,598
TOTAL PRIVATE SPONSOR				6,807,097

7 Quarterly Report

Investments (Unaudited) – continued

Collateralized Mortgage Obligations – continued
	Principal Amount		Value
U.S. GOVERNMENT AGENCY – 0.2%
Fannie Mae guaranteed REMIC Series 2015-28, Class P
2.50% 5/25/45	$	168,706	$	171,606
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $7,050,463)				6,978,703
Asset-Backed Securities – 4.4%
Ally Master Owner Trust Series 2014-4, Class A2
1.43% 6/17/19		312,000		312,155
Ally Master Owner Trust Series 2014-5, Class A2
1.60% 10/15/19		165,000		165,320
Ally Master Owner Trust Series 2015-3, Class A
1.63% 5/15/20		90,000		89,743
AmeriCredit Automobile Receivables Trust Series 2013-5, Class A3
0.90% 9/10/18		12,996		12,993
AmeriCredit Automobile Receivables Trust Series 2015-2, Class A3
1.27% 1/8/20		103,000		102,873
AmeriCredit Automobile Receivables Trust Series 2016-1, Class A3
1.81% 10/8/20		101,000		101,345
Capital Auto Receivables Asset Trust Series 2014-3, Class A2
1.18% 12/20/17		35,794		35,807
Chrysler Capital Auto Receivables Trust Series 2015-AA, Class A3
1.22% 7/15/19(a)		53,000		52,963
Chrysler Capital Auto Receivables Trust Series 2015-BA, Class A2
1.46% 12/17/18(a)		118,818		118,974
Citibank Credit Card Issuance Trust Series 2014-A6, Class A6
2.15% 7/15/21		530,000		540,984
Dell Equipment Finance Trust Series 2015-2, Class A2A
1.42% 12/22/17(a)		300,000		299,720
Discover Card Execution Note Trust Series 2015-A4, Class A4
2.19% 4/17/23		500,000		509,749
Enterprise Fleet Financing LLC Series 2015-1, Class A2
1.30% 9/20/20(a)		156,245		155,934
Ford Credit Auto Owner Trust Series 2016-REV1, Class A
2.31% 8/15/27(a)		1,000,000		1,009,231

	Principal Amount		Value
Ford Credit Floorplan Master Owner Trust Series 2012-5, Class A
1.49% 9/15/19	$	1,000,000	$	1,001,868
Ford Credit Floorplan Master Owner Trust Series 2014-1, Class A1
1.20% 2/15/19		191,000		190,901
Ford Credit Floorplan Master Owner Trust Series 2015-4, Class A1
1.77% 8/15/20		94,000		94,075
Ford Credit Floorplan Master Owner Trust Series 2016-1, Class A1
1.76% 2/15/21		121,000		120,722
GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1 1.96% 5/15/19(a)		250,000		249,950
Volvo Financial Equipment LLC Series 2015-1A, Class A3 1.51% 6/17/19(a)		194,000		193,889
TOTAL ASSET-BACKED SECURITIES (Cost $5,346,474)				5,359,196
Municipal Securities – 0.1%
Illinois Gen. Oblig. Series 2011 5.877% 3/1/19 (Cost $181,071)		170,000		184,112
Money Market Funds – 2.2%
	Shares
Fidelity Cash Central Fund, 0.40% (c) (Cost $2,625,581)		2,625,581		2,625,581
TOTAL INVESTMENT PORTFOLIO – 100.5% (Cost $121,682,533)				121,751,388
NET OTHER ASSETS (LIABILITIES) – (0.5%)				(599,936	)
NET ASSETS – 100%			$	121,151,452

Legend

(a) Security 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 $12,995,701 or 10.7% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund’s holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund’s financial statements are available on the SEC’s website or upon request.

Quarterly Report 8

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Cash Central Fund	$	22,901

Other Information

The following is a summary of the inputs used, as of May 31, 2016, 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 at the end of this listing.

Valuation Inputs at Reporting Date:
Description	Total		Level 1		Level 2		Level 3
Investments in Securities:
Corporate Bonds	$	91,321,813	$	—	$	91,321,813	$	—
U.S. Treasury Obligations		15,281,983		—		15,281,983		—
Collateralized Mortgage Obligations		6,978,703		—		6,978,703		—
Asset-Backed Securities		5,359,196		—		5,359,196		—
Municipal Securities		184,112		—		184,112		—
Money Market Funds		2,625,581		2,625,581		—		—
Total Investments in Securities:	$	121,751,388	$	2,625,581	$	119,125,807	$	—

Income Tax Information

At May 31, 2016, the cost of investment securities for income tax purposes was $121,683,407. Net unrealized appreciation aggregated $67,981, of which $436,109 related to appreciated investment securities and $368,128 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund’s investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the 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 the Fund’s investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 – 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the 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, 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 and collateralized mortgage obligations 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 of 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.

Investments in open-end mutual funds, including Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

9 Quarterly Report

Investments (Unaudited) – continued

Credit Risk

The Fund may invest a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

Quarterly Report 10

The fund’s schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund’s shareholders. For more information regarding the fund and its holdings, please see the fund’s most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

11 Quarterly Report

Quarterly Holdings Report

for

Fidelity^® Total Bond ETF

May 31, 2016

1.9862235.101

T14-QTLY-0716

Investments May 31, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds – 45.9%
	Principal Amount		Value
CONSUMER DISCRETIONARY – 4.6%
Automobiles – 0.2%
General Motors Co.:
3.50% 10/2/18	$	10,000	$	10,255
5.20% 4/1/45		55,000		53,424
6.60% 4/1/36		67,000		76,415
6.75% 4/1/46		113,000		132,197
				272,291
Diversified Consumer Services – 0.1%
Ingersoll-Rand Luxembourg Finance S.A. 2.625% 5/1/20		14,000		14,052
Laureate Education, Inc. (Reg. S) 9.25% 9/1/19		200,000		184,000
				198,052
Hotels, Restaurants & Leisure – 0.2%
McDonald’s Corp.:
2.75% 12/9/20		24,000		24,640
3.70% 1/30/26		62,000		65,897
4.70% 12/9/35		32,000		34,396
4.875% 12/9/45		51,000		56,497
Scientific Games International, Inc. 6.625% 5/15/21		100,000		60,500
				241,930
Household Durables – 0.1%
William Lyon Homes, Inc. 8.50% 11/15/20		100,000		104,000
Media – 3.8%
Altice Finco S.A. 9.875% 12/15/20 (a)		250,000		270,625
Altice Luxembourg S.A. 7.75% 5/15/22 (a)		750,000		768,281
Charter Communications Operating LLC/Charter Communications Operating Capital 4.464% 7/23/22 (a)		352,000		370,778
Clear Channel Worldwide Holdings, Inc. Series B 6.50% 11/15/22		250,000		250,937
Columbus International, Inc. (Reg. S) 7.375% 3/30/21		230,000		241,098
Comcast Corp. 3.60% 3/1/24		500,000		536,553
iHeartCommunications, Inc. 5.50% 12/15/16		100,000		95,000
Time Warner Cable, Inc.:
4.00% 9/1/21		1,500,000		1,561,305
5.50% 9/1/41		16,000		16,114
6.55% 5/1/37		26,000		29,274
6.75% 6/15/39		250,000		283,558
7.30% 7/1/38		241,000		289,802
Time Warner, Inc. 3.60% 7/15/25		500,000		518,581
				5,231,906

	Principal Amount		Value
Multiline Retail – 0.2%
JC Penney Corp., Inc.:
7.40% 4/1/37	$	230,000	$	177,100
8.125% 10/1/19		150,000		153,375
				330,475
TOTAL CONSUMER DISCRETIONARY				6,378,654
CONSUMER STAPLES – 2.0%
Beverages – 0.7%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21		276,000		280,868
3.30% 2/1/23		298,000		306,293
4.90% 2/1/46		322,000		358,847
Constellation Brands, Inc. 3.875% 11/15/19		10,000		10,475
				956,483
Food & Staples Retailing – 0.2%
ESAL GmbH (Reg. S) 6.25% 2/5/23		270,000		261,900
Walgreens Boots Alliance, Inc. 3.30% 11/18/21		34,000		35,134
				297,034
Food Products – 0.5%
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. (Reg. S) 5.75% 6/15/25		500,000		477,500
Post Holding, Inc. (Reg. S) 6.75% 12/1/21		200,000		211,000
				688,500
Tobacco – 0.6%
Altria Group, Inc. 2.625% 1/14/20		100,000		102,839
Reynolds American, Inc.:
2.30% 6/12/18		48,000		48,703
3.25% 6/12/20		21,000		21,882
4.00% 6/12/22		73,000		78,446
4.45% 6/12/25		53,000		58,151
4.85% 9/15/23		250,000		280,663
5.70% 8/15/35		28,000		32,899
5.85% 8/15/45		200,000		244,124
				867,707
TOTAL CONSUMER STAPLES				2,809,724
ENERGY – 7.7%
Energy Equipment & Services – 0.4%
DCP Midstream LLC (Reg. S) 5.35% 3/15/20		250,000		240,657
Halliburton Co.:
3.80% 11/15/25		63,000		63,715
4.85% 11/15/35		55,000		56,460
5.00% 11/15/45		76,000		77,728

Quarterly Report 2

Nonconvertible Bonds – continued
	Principal Amount		Value
ENERGY – continued
Energy Equipment & Services – continued
Noble Holding International Ltd.:
5.00% 3/16/18	$	5,000	$	4,846
6.95% 4/1/25		32,000		23,440
7.95% 4/1/45		31,000		20,460
				487,306
Oil, Gas & Consumable Fuels – 7.3%
Anadarko Finance Co. 7.50% 5/1/31		76,000		85,981
Anadarko Petroleum Corp.:
4.85% 3/15/21		38,000		39,378
5.55% 3/15/26		98,000		104,458
6.375% 9/15/17		4,000		4,209
6.60% 3/15/46		130,000		144,509
Canadian Natural Resources Ltd. 1.75% 1/15/18		21,000		20,629
Cenovus Energy, Inc. 5.70% 10/15/19		68,000		69,594
Chesapeake Energy Corp.:
5.75% 3/15/23		200,000		122,000
6.125% 2/15/21		1,000,000		630,000
Columbia Pipeline Group, Inc.:
2.45% 6/1/18		20,000		19,965
3.30% 6/1/20		99,000		99,306
4.50% 6/1/25		30,000		31,003
DCP Midstream Operating LP:
2.70% 4/1/19		41,000		38,399
3.875% 3/15/23		500,000		443,750
5.60% 4/1/44		21,000		17,273
DCP Midstream Operating LP (Reg. S) 4.75% 9/30/21		400,000		369,000
Empresa Nacional del Petroleo 4.375% 10/30/24 (a)		200,000		205,427
Enbridge Energy Partners LP 4.375% 10/15/20		69,000		69,613
Enterprise Products Operating LLC 3.70% 2/15/26		100,000		101,226
EP Energy LLC / Everest Acquisition Finance, Inc.:
6.375% 6/15/23		500,000		255,000
7.75% 9/1/22		230,000		120,750
Kinder Morgan Energy Partners LP:
2.65% 2/1/19		12,000		11,886
3.50% 3/1/21		60,000		58,796
3.95% 9/1/22		97,000		95,022
4.25% 9/1/24		23,000		22,378
5.00% 10/1/21		69,000		71,286
5.50% 3/1/44		302,000		272,847
6.55% 9/15/40		13,000		12,650

	Principal Amount		Value
Kinder Morgan, Inc.:
2.00% 12/1/17	$	18,000	$	17,794
3.05% 12/1/19		35,000		34,878
5.00% 2/15/21 (a)		74,000		76,458
5.05% 2/15/46		34,000		29,850
MPLX LP 4.00% 2/15/25		8,000		7,179
Petrobras Global Finance BV:
4.875% 3/17/20		1,350,000		1,219,320
5.625% 5/20/43		102,000		67,830
6.25% 3/17/24		250,000		210,175
6.75% 1/27/41		50,000		35,985
7.25% 3/17/44		204,000		155,234
Petrobras International Finance Co. Ltd.:
5.375% 1/27/21		1,350,000		1,194,750
5.875% 3/1/18		22,000		22,220
Petroleos Mexicanos:
3.50% 7/23/20		55,000		53,831
4.50% 1/23/26		200,000		187,680
5.50% 1/21/21		460,000		477,825
5.625% 1/23/46		373,000		316,584
6.375% 1/23/45		750,000		702,225
Phillips 66 Partners LP 2.646% 2/15/20		5,000		4,933
Southwestern Energy Co.:
3.30% 1/23/18		20,000		19,300
4.05% 1/23/20		1,036,000		927,220
The Williams Companies., Inc.:
4.55% 6/24/24		580,000		506,050
5.75% 6/24/44		31,000		25,265
Williams Partners LP:
3.60% 3/15/22		75,000		66,002
4.00% 11/15/21 to 9/15/25		246,000		215,153
4.50% 11/15/23		51,000		46,322
				10,156,398
TOTAL ENERGY				10,643,704
FINANCIALS – 20.2%
Banks – 7.6%
Bank of America Corp.:
2.25% 4/21/20		243,000		242,061
2.60% 1/15/19		100,000		101,564
2.65% 4/1/19		22,000		22,396
3.875% 8/1/25		82,000		85,568
3.95% 4/21/25		419,000		418,375
4.00% 1/22/25		41,000		41,079
4.20% 8/26/24		180,000		183,806
4.25% 10/22/26		300,000		304,450
4.45% 3/3/26		147,000		151,724
Bank of America N.A. 1.65% 3/26/18		250,000		250,117

3 Quarterly Report

Investments (Unaudited) – continued

Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Banks – continued
Barclays PLC:
2.00% 3/16/18	$	200,000	$	199,675
2.75% 11/8/19		200,000		199,728
4.375% 1/12/26		200,000		203,774
Capital One N.A. 1.65% 2/5/18		1,000,000		997,725
Citigroup, Inc.:
1.80% 2/5/18		750,000		750,810
1.85% 11/24/17		250,000		250,659
2.40% 2/18/20		1,000,000		1,005,846
3.875% 3/26/25		300,000		299,733
4.00% 8/5/24		125,000		127,485
Citizens Bank N.A. 2.50% 3/14/19		250,000		251,809
Credit Suisse Group Funding Guernsey Ltd.:
2.75% 3/26/20		250,000		247,170
3.75% 3/26/25		250,000		244,659
First Tennessee Bank N.A. 2.95% 12/1/19		250,000		249,236
Intesa Sanpaolo SpA 5.71% 1/15/26 (a)		200,000		196,620
JPMorgan Chase & Co.:
2.75% 6/23/20		75,000		76,393
3.875% 9/10/24		233,000		237,794
4.125% 12/15/26		703,000		727,825
Regions Financial Corp. 3.20% 2/8/21		81,000		81,856
Royal Bank of Canada 4.65% 1/27/26		148,000		154,565
Royal Bank of Scotland Group PLC:
5.125% 5/28/24		989,000		976,994
6.125% 12/15/22		1,000,000		1,061,325
The Bank of Tokyo-Mitsubishi UFJ Ltd. 1.70% 3/5/18 (a)		200,000		199,882
				10,542,703
Capital Markets – 1.8%
Affiliated Managers Group, Inc.:
3.50% 8/1/25		63,000		61,328
4.25% 2/15/24		138,000		142,608
Goldman Sachs Group, Inc.:
2.55% 10/23/19		100,000		101,371
2.60% 4/23/20		1,000,000		1,009,762
Lazard Group LLC 4.25% 11/14/20		265,000		278,301
Morgan Stanley:
1.875% 1/5/18		124,000		124,426
4.875% 11/1/22		500,000		542,445
UBS AG 1.80% 3/26/18		250,000		251,027
				2,511,268

	Principal Amount		Value
Consumer Finance – 2.3%
Ally Financial, Inc.:
3.25% 2/13/18	$	400,000	$	399,000
3.60% 5/21/18		500,000		503,500
3.75% 11/18/19		250,000		250,000
4.125% 2/13/22		150,000		149,437
Discover Financial Services 3.75% 3/4/25		612,000		610,930
Ford Motor Credit Co. LLC 5.875% 8/2/21		750,000		852,852
Hyundai Capital America:
2.00% 3/19/18 (a)		96,000		96,124
2.125% 10/2/17 (a)		132,000		132,659
Synchrony Financial 3.00% 8/15/19		250,000		252,759
				3,247,261
Diversified Financial Services – 2.7%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
4.50% 5/15/21		260,000		267,475
4.625% 7/1/22		150,000		153,750
Aon PLC 4.75% 5/15/45		500,000		518,193
BP Capital Markets PLC 3.535% 11/4/24		584,000		596,860
Deutsche Bank AG 2.85% 5/10/19		270,000		270,124
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:
6.02% 6/15/26 (a)		50,000		50,452
8.35% 7/15/46 (a)		55,000		55,922
General Motors Financial Co., Inc.:
3.15% 1/15/20		75,000		75,764
3.25% 5/15/18		15,000		15,283
3.50% 7/10/19		744,000		763,653
4.00% 1/15/25		50,000		49,733
4.20% 3/1/21		158,000		165,066
4.25% 5/15/23		5,000		5,107
4.75% 8/15/17		20,000		20,655
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.875% 2/1/22		260,000		239,200
Intercontinental Exchange, Inc.:
2.75% 12/1/20		43,000		44,212
3.75% 12/1/25		76,000		78,751
Navient Corp. 5.50% 1/15/19		125,000		125,000
UBS Group Funding Jersey Ltd. 4.125% 9/24/25 (a)		200,000		205,100
				3,700,300
Insurance – 0.7%
American International Group, Inc. 3.30% 3/1/21		69,000		70,770
Chubb INA Holdings, Inc. 2.875% 11/3/22		75,000		77,049

Quarterly Report 4

Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Insurance – continued
Liberty Mutual Group, Inc. (Reg. S) 5.00% 6/1/21	$	150,000	$	163,784
TIAA Asset Management Finance Co. LLC:
2.95% 11/1/19 (a)		14,000		14,222
4.125% 11/1/24 (a)		21,000		21,615
Unum Group:
3.875% 11/5/25		127,000		126,026
4.00% 3/15/24		500,000		510,645
				984,111
Real Estate Investment Trusts (REITs) – 3.0%
American Tower Corp. 2.80% 6/1/20		100,000		100,975
Brixmor Operating Partnership LP:
3.85% 2/1/25		100,000		97,048
3.875% 8/15/22		71,000		71,113
DDR Corp.:
3.625% 2/1/25		24,000		23,512
4.25% 2/1/26		41,000		41,947
Digital Realty Trust LP:
3.40% 10/1/20		109,000		111,768
3.95% 7/1/22		72,000		74,058
4.75% 10/1/25		78,000		81,547
Duke Realty LP 3.75% 12/1/24		18,000		18,330
Equity One, Inc. 3.75% 11/15/22		220,000		219,593
Government Properties Income Trust 3.75% 8/15/19		200,000		203,434
HCP, Inc.:
3.875% 8/15/24		225,000		222,684
4.00% 6/1/25		1,000,000		993,000
Lexington Realty Trust 4.40% 6/15/24		245,000		246,435
Omega Healthcare Investors, Inc. 4.50% 1/15/25 to 4/1/27		1,556,000		1,495,301
Retail Opportunity Investments Partnership LP 4.00% 12/15/24		11,000		10,468
Welltower, Inc. 4.00% 6/1/25		73,000		74,683
				4,085,896
Real Estate Management & Development – 2.1%
Brandywine Operating Partnership LP 4.10% 10/1/24		1,225,000		1,228,866
CBRE Services, Inc. 5.00% 3/15/23		125,000		128,243
Corporate Office Properties LP 5.00% 7/1/25		51,000		52,416
Liberty Property LP:
3.75% 4/1/25		50,000		50,542
4.125% 6/15/22		500,000		522,308

	Principal Amount		Value
Mack-Cali Realty LP 3.15% 5/15/23	$	495,000	$	442,795
Mid-America Apartments LP 4.00% 11/15/25		30,000		31,091
Tanger Properties LP 3.75% 12/1/24		35,000		35,339
Ventas Realty LP:
3.125% 6/15/23		38,000		37,912
3.50% 2/1/25		23,000		23,010
3.75% 5/1/24		220,000		224,666
4.125% 1/15/26		34,000		35,575
WP Carey, Inc. 4.00% 2/1/25		65,000		62,276
				2,875,039
TOTAL FINANCIALS				27,946,578
HEALTH CARE – 3.3%
Health Care Providers & Services – 1.6%
CHS/Community Health Systems, Inc. 8.00% 11/15/19		240,000		237,000
HCA Holdings, Inc.:
3.75% 3/15/19		80,000		82,400
4.25% 10/15/19		35,000		36,313
4.75% 5/1/23		5,000		5,100
5.375% 2/1/25		300,000		304,500
5.875% 3/15/22		5,000		5,400
6.50% 2/15/20		600,000		660,000
Sabra Health Care LP/Sabra Capital Corp. 5.50% 2/1/21		600,000		622,500
Tenet Healthcare Corp.:
6.75% 6/15/23		5,000		4,700
8.125% 4/1/22		230,000		231,437
				2,189,350
Life Sciences Tools & Services – 0.8%
Thermo Fisher Scientific, Inc. 4.15% 2/1/24		1,000,000		1,071,863
Pharmaceuticals – 0.9%
AbbVie, Inc. 3.60% 5/14/25		828,000		848,430
Mylan N.V.:
2.50% 6/7/19 (a)		73,000		72,918
3.15% 6/15/21 (a)		149,000		148,827
Valeant Pharmaceuticals International, Inc. (Reg. S) 6.125% 4/15/25		305,000		255,057
				1,325,232
TOTAL HEALTH CARE				4,586,445
INDUSTRIALS – 1.2%
Airlines – 0.4%
Air Canada:
6.75% 10/1/19 (a)		125,000		130,312
7.75% 4/15/21 (a)		250,000		259,375
American Airlines Group, Inc. 5.50% 10/1/19 (a)		100,000		100,813

5 Quarterly Report

Investments (Unaudited) – continued

Nonconvertible Bonds – continued
	Principal Amount		Value
INDUSTRIALS – continued
Airlines – continued
Southwest Airlines Co. 2.75% 11/6/19	$	100,000	$	102,403
				592,903
Commercial Services & Supplies – 0.3%
APX Group, Inc. 6.375% 12/1/19		260,000		257,400
Garda World Security Corp. 7.25% 11/15/21 (a)		150,000		121,875
				379,275
Road & Rail – 0.1%
Hertz Corp. 5.875% 10/15/20		200,000		202,750
Trading Companies & Distributors – 0.4%
Air Lease Corp.:
2.625% 9/4/18		99,000		98,611
3.375% 6/1/21		72,000		72,647
3.75% 2/1/22		51,000		51,743
4.25% 9/15/24		125,000		125,868
4.75% 3/1/20		125,000		133,437
				482,306
TOTAL INDUSTRIALS				1,657,234
INFORMATION TECHNOLOGY – 0.4%
Communications Equipment – 0.2%
Alcatel-Lucent USA, Inc. 6.45% 3/15/29		270,000		286,200
Technology Hardware, Storage & Peripherals – 0.2%
Hewlett Packard Enterprise Co.:
3.60% 10/15/20 (a)		104,000		106,847
4.90% 10/15/25 (a)		104,000		106,371
6.35% 10/15/45 (a)		104,000		99,356
				312,574
TOTAL INFORMATION TECHNOLOGY				598,774
MATERIALS – 0.8%
Containers & Packaging – 0.1%
Ardagh Finance Holdings S.A. (Reg. S) pay-in-kind 8.625% 6/15/19		217,622		215,496
Metals & Mining – 0.7%
Anglo American Capital PLC:
3.625% 5/14/20 (a)		250,000		236,875
4.875% 5/14/25 (a)		136,000		123,760
BHP Billiton Finance (USA) Ltd. 6.75% 10/19/75 (a)(b)		200,000		208,000
Corporacion Nacional del Cobre de Chile (Codelco) (Reg. S) 4.50% 8/13/23		200,000		206,110
Freeport-McMoRan, Inc. 2.30% 11/14/17		68,000		66,300

	Principal Amount		Value
JMC Steel Group, Inc. (Reg. S) 8.25% 3/15/18	$	100,000	$	102,000
				943,045
TOTAL MATERIALS				1,158,541
TELECOMMUNICATION SERVICES – 3.3%
Diversified Telecommunication Services – 2.9%
AT&T, Inc.:
2.45% 6/30/20		554,000		556,702
3.60% 2/17/23		191,000		195,944
6.30% 1/15/38		316,000		372,373
Embarq Corp. 7.995% 6/1/36		1,000,000		999,000
Verizon Communications, Inc.:
2.625% 2/21/20		74,000		75,807
3.45% 3/15/21		450,000		475,989
3.65% 9/14/18		1,100,000		1,153,750
5.012% 8/21/54		250,000		258,387
				4,087,952
Media – 0.1%
21st Century Fox America, Inc. 6.15% 2/15/41		75,000		91,364
Wireless Telecommunication Services – 0.3%
Digicel Group Ltd. (Reg. S) 7.125% 4/1/22		260,000		200,538
Digicel Ltd. 6.75% 3/1/23 (a)		200,000		176,000
				376,538
TOTAL TELECOMMUNICATION SERVICES				4,555,854
UTILITIES – 2.4%
Electric Utilities – 1.6%
Dynegy, Inc. 7.375% 11/1/22		100,000		96,500
Exelon Corp.:
1.55% 6/9/17		21,000		21,001
3.95% 6/15/25		100,000		104,897
FirstEnergy Corp.:
2.75% 3/15/18		36,000		36,260
4.25% 3/15/23		750,000		774,141
7.375% 11/15/31		500,000		609,228
IPALCO Enterprises, Inc. 3.45% 7/15/20		174,000		175,740
NSG Holdings LLC / NSG Holdings, Inc. 7.75% 12/15/25 (a)		215,100		230,694
The Cleveland Electric Illuminating Co. 5.95% 12/15/36		159,000		170,249
				2,218,710

Quarterly Report 6

Nonconvertible Bonds – continued
	Principal Amount		Value
UTILITIES – continued
Independent Power and Renewable Electricity Producers – 0.2%
NRG Energy, Inc. 6.25% 5/1/24	$	125,000	$	121,524
The AES Corp. 4.875% 5/15/23		125,000		123,437
				244,961
Multi-Utilities – 0.6%
Dominion Resources, Inc. 2.929% 9/30/66 (b)		22,000		16,283
DPL, Inc. 7.25% 10/15/21		400,000		417,040
NiSource Finance Corp. 5.45% 9/15/20		250,000		280,792
Sempra Energy 6.00% 10/15/39		106,000		127,224
				841,339
TOTAL UTILITIES				3,305,010
TOTAL NONCONVERTIBLE BONDS (Cost $64,962,280)				63,640,518
U.S. Treasury Obligations – 22.5%
U.S. Treasury Bonds:
2.50% 2/15/46		197,000		191,082
3.00% 11/15/45		3,851,000		4,136,517
U.S. Treasury Inflation Indexed Bonds 1.375% 2/15/44		2,758,401		3,039,449
U.S. Treasury Inflation Indexed Notes:
0.375% 7/15/25		2,098,423		2,122,154
0.625% 1/15/26		1,503,075		1,553,109
U.S. Treasury Notes:
1.00% 12/31/17		5,000,000		5,012,305
1.125% 1/15/19		2,926,000		2,936,060
1.25% 3/31/21		5,230,000		5,198,536
1.375% 4/30/21		4,380,000		4,378,804
1.75% 12/31/20		2,495,000		2,538,468
TOTAL U.S. TREASURY OBLIGATIONS (Cost $30,651,788)				31,106,484
U.S Government Agency – Mortgage Securities – 14.0%
Fannie Mae – 8.1%
Fannie Mae:
2.50% 1/1/28		81,417		83,858
2.50% 6/1/31 (c)		100,000		102,518
3.00% 1/1/43 to 9/1/45		1,579,287		1,623,234
3.50% 9/1/29 to 5/1/46		3,094,367		3,258,135
4.00% 9/1/41 to 2/1/46		2,931,445		3,145,554
4.50% 6/1/41 to 2/1/45		1,069,437		1,174,458

	Principal Amount		Value
5.00% 2/1/38 to 1/1/44	$	1,308,623	$	1,459,263
5.50% 6/1/38		321,879		360,567
Total Fannie Mae				11,207,587
Freddie Mac – 3.8%
Freddie Mac:
3.00% 11/1/42 to 6/1/45		861,623		883,656
3.00% 6/1/46 (c)		900,000		920,973
3.50% 4/1/43 to 5/1/46		1,566,853		1,645,072
4.00% 1/1/41 to 1/1/45		863,201		929,454
4.50% 1/1/42		792,409		865,659
5.50% 6/1/41		71,769		81,082
Total Freddie Mac				5,325,896
Ginnie Mae – 2.1%
Ginnie Mae:
3.00% 12/20/42 to 1/20/43		365,860		379,292
3.00% 6/1/40 (c)		280,000		289,668
3.50% 11/20/41 to 9/20/43		1,330,921		1,409,541
3.50% 6/1/46 (c)		270,000		284,969
4.00% 12/15/40 to 6/20/45		244,463		263,262
4.50% 5/20/41 to 2/20/44		214,788		233,328
Total Ginnie Mae				2,860,060
TOTAL U.S GOVERNMENT AGENCY—MORTGAGE SECURITIES (Cost $19,217,704)				19,393,543
Collateralized Mortgage Obligations – 3.1%
PRIVATE SPONSOR – 3.0%
Banc of America Commercial Mortgage Trust Series 2007-2, Class A4 5.625% 4/10/49 (b)		1,022,110		1,030,009
BBCMS Trust Series 2015-RRI, Class C 2.485% 5/15/32 (a)(b)		500,000		491,788
BBCMS Trust Series 2015-RRI, Class D 3.335% 5/15/32 (a)(b)		500,000		479,078
CD Mortgage Trust Series 2006-CD3, Class A5 5.617% 10/15/48		6,874		6,894
CDGJ Commercial Mortgage Trust Series 2014-BXCH, Class DPA 3.435% 12/15/27 (a)(b)		1,000,000		971,882
Citigroup Mortgage Loan Trust Series 2010-4, Class 4A5 5.00% 10/25/35 (a)		40,485		40,957

7 Quarterly Report

Investments (Unaudited) – continued

Collateralized Mortgage Obligations – continued
	Principal Amount		Value
PRIVATE SPONSOR – continued
CSMC Series 2015-TOWN, Class B 2.335% 3/15/17 (a)(b)	$	14,000	$	13,690
CSMC Series 2015-TOWN, Class C 2.685% 3/15/17 (a)(b)		13,000		12,646
CSMC Series 2015-TOWN, Class D 3.635% 3/15/17 (a)(b)		20,000		19,550
CSMC Series 2015-TOWN, Class E 4.585% 3/15/17 (a)(b)		101,000		98,729
GAHR Commericial Mortgage Trust Series 2015-NRF, Class BFX 3.382% 12/15/19 (a)(b)		50,000		50,945
GAHR Commericial Mortgage Trust Series 2015-NRF, Class DFX 3.382% 12/15/19 (a)(b)		38,000		37,160
GCCFC Commercial Mortgage Trust Series 2006-GG7, Class A4 5.921% 7/10/38 (b)		5,086		5,083
GE Commercial Mortgage Corp. Series Trust Series 2007-C1, Class A4 5.543% 12/10/49		40,000		40,820
GS Mortgage Securities Trust Series 2006-GG8, Class A4 5.56% 11/10/39		55,161		55,294
JPMorgan Chase Commercial Mortgage Securities Trust Series 2006-CB16, Class A4 5.552% 5/12/45		10,683		10,684
Wachovia Bank Commercial Mortgage Trust Series 2007-C30, Class A5 5.342% 12/15/43		82,000		83,284
Wachovia Bank Commercial Mortgage Trust Series 2007-C31, Class A4 5.509% 4/15/47		23,000		23,362
Wachovia Bank Commercial Mortgage Trust Series 2007-C33, Class A4 5.948% 2/15/51 (b)		701,358		715,564
TOTAL PRIVATE SPONSOR				4,187,419
U.S. Government Agency – 0.1%
Ginnie Mae Series 2015-H21, Class JA 2.50% 6/20/65 (d)		151,590		153,741
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $4,499,486)				4,341,160
Municipal Securities – 2.9%
Chicago Gen. Oblig. (Taxable Proj.) Series 2011-C1, 7.781% 1/1/35		90,000		96,861
Chicago Gen. Oblig. (Taxable Proj.) Series 2014-B, 6.314% 1/1/44		195,000		177,284

	Principal Amount		Value
Illinois Gen. Oblig. Series 2003:
4.35% 6/1/18	$	35,000	$	35,728
4.95% 6/1/23		1,005,000		1,061,049
5.10% 6/1/33		1,760,000		1,684,461
Illinois Gen. Oblig. Series 2011:
5.665% 3/1/18		10,000		10,550
5.877% 3/1/19		30,000		32,490
State of California:
7.30% 10/1/39		500,000		738,495
7.50% 4/1/34		100,000		149,869
TOTAL MUNICIPAL SECURITIES (Cost $4,004,362)				3,986,787
Foreign Government and Government Agency Obligations – 2.5%
Argentina Bonar Bonds 7.00% 4/17/17		1,000,000		1,026,944
Banco Nacional de Desenvolvimento Economico e Social (Reg. S):
4.00% 4/14/19		600,000		587,250
5.50% 7/12/20		200,000		200,250
Belarus Republic (Reg. S) 8.95% 1/26/18		250,000		260,938
Brazilian Government International Bond 4.875% 1/22/21		1,000,000		1,010,000
Dominican Republic International Bond (Reg. S) 5.50% 1/27/25		400,000		398,000
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,497,271)				3,483,382
Asset-Backed Securities – 1.9%
AmeriCredit Automobile Receivables Trust Series 2013-3, Class D, 3.00% 7/8/19		485,000		489,734
AmeriCredit Automobile Receivables Trust Series 2013-5, Class D, 2.86% 12/9/19		750,000		760,143
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C, 2.18% 6/8/20		324,000		324,878
Invitation Homes Trust Series 2015-SFR3, Class E, 4.184% 8/17/32 (a)(b)		100,000		98,471
Santander Drive Auto Receivables Trust Series 2014-4, Class C, 2.60% 11/16/20		1,000,000		1,010,679
TOTAL ASSET-BACKED SECURITIES (Cost $2,675,087)				2,683,905

Quarterly Report 8

Money Market Funds – 8.1%
	Shares		Value
Fidelity Cash Central Fund, 0.40% (e) (Cost $11,175,144)		11,175,144	$	11,175,144
TOTAL INVESTMENT PORTFOLIO – 100.9% (Cost $140,683,122)				139,810,923
NET OTHER ASSETS (LIABILITIES) – (0.9%)				(1,250,231	)
NET ASSETS – 100%			$	138,560,692

Legend

(a) Security 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 $7,101,084 or 5.1% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(d) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund’s holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund’s financial statements are available on the SEC’s website or upon request.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Cash Central Fund	$	13,318

Other Information

The following is a summary of the inputs used, as of May 31, 2016, 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 at the end of this listing.

Valuation Inputs at Reporting Date:
Description	Total		Level 1		Level 2		Level 3
Investments in Securities:
Corporate Bonds	$	63,640,518	$	—	$	63,640,518	$	—
U.S. Treasury Obligations		31,106,484		—		31,106,484		—
U.S Government Agency – Mortgage Securities		19,393,543		—		19,393,543		—
Collateralized Mortgage Obligations		4,341,160		—		4,341,160		—
Municipal Securities		3,986,787		—		3,986,787		—
Foreign Government and Government Agency Obligations		3,483,382		—		3,483,382		—
Asset-Backed Securities		2,683,905		—		2,683,905		—
Money Market Funds		11,175,144		11,175,144		—		—
Total Investments in Securities:	$	139,810,923	$	11,175,144	$	128,635,779	$	—

Income Tax Information

At May 31, 2016, the cost of investment securities for income tax purposes was $140,683,122. Net unrealized depreciation aggregated $872,199, of which $1,786,846 related to appreciated investment securities and $2,659,045 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund’s investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the 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 the Fund’s investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 – 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

9 Quarterly Report

Investments (Unaudited) – continued

on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the 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, 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 of 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.

Investments in open-end mutual funds, including Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Credit Risk

The Fund may invest a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

Quarterly Report 10

The fund’s schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund’s shareholders. For more information regarding the fund and its holdings, please see the fund’s most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

11 Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Merrimack Street Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Merrimack Street Trust

By:	/s/ Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer
Date:	July 28, 2016

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

By:	/s/ Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer
Date:	July 28, 2016

By:	/s/ Howard J. Galligan III
	Howard J. Galligan III
	Chief Financial Officer
Date:	July 28, 2016