FIDELITY MERRIMACK STREET TRUST

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This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund’s portfolio holdings, view the most recent holdings listing on Fidelity’s web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

The information provided in the tables below shows you the performance of Fidelity^® Corporate Bond ETF, with comparisons over different time periods to the fund’s relevant benchmark. Seeing the returns over different time periods can help you assess the fund’s performance against relevant measurements. The performance information includes average annnual total returns and is further explained in this section.*

The fund’s net asset value (NAV) performance is based on the NAV calculated each business day. It is calculated in accordance with the standard formula for valuing investment company shares as of the close of regular trading hours on NYSE Arca, Inc. (NYSE Arca) (normally 4:00 p.m. Eastern Time). The fund’s market price performance is based on the daily closing price of the shares of the fund on NYSE Arca. Since ETFs are bought and sold at prices set by the market – which can result in a premium or discount to NAV – the returns calculated using market price (market return) can differ from those calculated using NAV (NAV return). For information on these differences, please visit Fidelity.com or see the prospectus. The fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Current performance may be higher or lower than the performance data quoted. For month-end performance figures, please visit fidelity.com/etfs/actively-managed-fixed-income-etfs/overview or call Fidelity. The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate; therefore, you may have a gain or loss when you sell your shares.

The fund’s expense ratio is 0.45%. Expense ratio is the total annual operating expense ratio from the most recent prospectus. A fund’s net expenses paid may be different. Please refer to the most recent prospectus for more information on a fund’s expenses.

The information provided in the tables below shows you the performance of Fidelity^® Limited Term Bond ETF, with comparisons over different time periods to the fund’s relevant benchmarks. Seeing the returns over different time periods can help you assess the fund’s performance against relevant measurements. The performance information includes average annnual total returns and is further explained in this section.*


Fiscal Periods Ended February 28, 2018
Average Annual Total Returns	Past 1 Year		Life of fund
Fidelity Limited Term Bond ETF – NAV^A		0.34%		1.36%
Fidelity Limited Term Bond ETF – Market Price^B		0.49%		1.24%
Bloomberg Barclays U.S. 1-5 Year Government/Credit Bond Index^A		0.02%		0.96%
Fidelity Limited Term Composite Index^SMA		0.50%		1.36%
Bloomberg Barclays U.S. 1-5 Year Credit Bond Index^A		0.71%		1.54%
Bloomberg Barclays U.S. 1-5 Year Government Bond Index^A		-0.36%		0.65%

Average annual total returns represent just that – the average return on an annual basis for Fidelity^® Limited Term Bond ETF and the fund’s benchmarks, assuming consistent performance over the periods shown, based on the cumulative return and the length of the period. This information represents returns as of the end of the fund’s fiscal period.

The information provided in the tables below shows you the performance of Fidelity^® Total Bond ETF, with comparisons over different time periods to the fund’s relevant benchmarks. Seeing the returns over different time periods can help you assess the fund’s performance against relevant measurements. The performance information includes average annnual total returns and is further explained in this section.*


Nonconvertible Bonds – 94.0%
	Principal Amount		Value
CONSUMER DISCRETIONARY – 5.6%
Hotels, Restaurants & Leisure – 0.8%
McDonald’s Corp.:
4.875% 12/9/45	$	350,000	$	379,072
6.30% 3/1/38		200,000		257,201

				636,273

Household Durables – 1.4%
DR Horton, Inc.:
2.55% 12/1/20		109,000		107,620
4.00% 2/15/20		400,000		408,639
Toll Brothers Finance Corp.:
4.35% 2/15/28		400,000		378,000
4.375% 4/15/23		255,000		257,869

				1,152,128

Internet & Direct Marketing Retail – 0.6%
Amazon.com, Inc.:
2.80% 8/22/24 (a)		113,000		109,410
4.25% 8/22/57 (a)		168,000		167,567
4.80% 12/5/34		200,000		221,487

				498,464

Media – 2.8%
21st Century Fox America, Inc.:
3.00% 9/15/22		27,000		26,750
4.50% 2/15/21		57,000		59,445
4.75% 11/15/46		200,000		215,922
Comcast Corp.:
3.125% 7/15/22		1,000,000		998,487
4.50% 1/15/43		306,000		309,602
TELUS Corp. 3.70% 9/15/27		500,000		491,487
Time Warner Cable, Inc.:
4.50% 9/15/42		53,000		47,877
5.875% 11/15/40		150,000		158,300

				2,307,870


TOTAL CONSUMER DISCRETIONARY				4,594,735


CONSUMER STAPLES – 4.4%
Beverages – 2.0%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21		300,000		297,215
4.70% 2/1/36		207,000		217,528
4.90% 2/1/46		665,000		709,017
Constellation Brands, Inc. 3.75% 5/1/21		425,000		433,468

				1,657,228

Food & Staples Retailing – 1.3%
Alimentation Couche-Tard, Inc.:
3 month U.S. LIBOR + 5.000% 2.074% 12/13/19 (a)(b)		147,000		147,161
2.35% 12/13/19 (a)		410,000		406,555



	Principal Amount		Value
CVS Health Corp.:
1.90% 7/20/18	$	50,000	$	49,928
2.80% 7/20/20		50,000		49,648
4.875% 7/20/35		150,000		155,817
5.125% 7/20/45		250,000		260,771

				1,069,880

Food Products – 0.2%
Kraft Heinz Foods Co. 4.375% 6/1/46		100,000		90,844
The JM Smucker Co. 2.50% 3/15/20		47,000		46,707

				137,551

Tobacco – 0.9%
Altria Group, Inc. 2.85% 8/9/22		206,000		202,537
BAT Capital Corp. 4.54% 8/15/47 (a)		225,000		218,839
Reynolds American, Inc.:
4.45% 6/12/25		200,000		205,899
5.85% 8/15/45		100,000		115,823

				743,098


TOTAL CONSUMER STAPLES				3,607,757


CONSUMER, NON-CYCLICAL – 1.9%
Health Care Providers & Services – 0.7%
Humana, Inc. 2.50% 12/15/20		110,000		108,534
McKesson Corp. 3.95% 2/16/28		425,000		422,614

				531,148

Oil, Gas & Consumable Fuels – 0.0%
MPLX LP 4.875% 12/1/24		30,000		31,562

Pharmaceuticals – 1.2%
Teva Pharmaceutical Finance Netherlands III BV 2.80% 7/21/23		1,100,000		962,822


TOTAL CONSUMER, NON-CYCLICAL				1,525,532


ENERGY – 16.1%
Energy Equipment & Services – 0.3%
TransCanada PipeLines Ltd. 4.625% 3/1/34		238,000		251,845

Oil, Gas & Consumable Fuels – 14.2%
Anadarko Finance Co. 7.50% 5/1/31		12,000		15,178
Anadarko Petroleum Corp.:
3.45% 7/15/24		500,000		489,490
5.55% 3/15/26		200,000		218,423
6.60% 3/15/46		100,000		124,669

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


Nonconvertible Bonds – continued
	Principal Amount		Value
ENERGY – continued
Oil, Gas & Consumable Fuels – continued
Antero Resources Corp. 5.00% 3/1/25	$	300,000	$	302,250
Apache Corp. 4.25% 1/15/44		125,000		115,011
Canadian Natural Resources Ltd.:
3.90% 2/1/25		522,000		519,252
4.95% 6/1/47		150,000		155,590
Cenovus Energy, Inc.:
3.00% 8/15/22		325,000		315,105
4.25% 4/15/27		250,000		244,312
5.20% 9/15/43		58,000		55,766
5.70% 10/15/19		50,000		51,889
ConocoPhillips 6.50% 2/1/39		400,000		523,118
ConocoPhillips Holding Co. 6.95% 4/15/29		220,000		281,643
Continental Resources, Inc. 5.00% 9/15/22		300,000		304,500
DCP Midstream Operating LP 3 month U.S. LIBOR + 3.850% 5.85% 5/21/43 (a)(b)(c)		400,000		379,000
Empresa Nacional del Petroleo 4.50% 9/14/47 (a)		200,000		186,000
Enable Midstream Partners LP 4.40% 3/15/27		250,000		246,101
Enbridge, Inc.:
4.25% 12/1/26		14,000		14,092
5.50% 12/1/46		130,000		146,340
Encana Corp.:
3.90% 11/15/21		500,000		508,855
7.20% 11/1/31		260,000		319,989
8.125% 9/15/30		150,000		195,448
EnLink Midstream Partners LP 2.70% 4/1/19		255,000		253,509
EQT Corp.:
2.50% 10/1/20		59,000		58,113
3.00% 10/1/22		500,000		486,836
3.90% 10/1/27		325,000		310,230
Exxon Mobil Corp. 4.114% 3/1/46		130,000		135,569
Kinder Morgan Energy Partners LP 5.00% 10/1/21		238,000		250,269
Kinder Morgan, Inc. 3.05% 12/1/19		300,000		300,198
Magellan Midstream Partners LP 4.20% 10/3/47		225,000		214,301
Marathon Petroleum Corp. 2.70% 12/14/18		340,000		340,920



	Principal Amount		Value
Noble Energy, Inc. 5.05% 11/15/44	$	200,000	$	207,419
Petroleos Mexicanos:
5.35% 2/12/28 (a)		450,000		442,350
6.35% 2/12/48 (a)		277,000		270,047
6.50% 3/13/27 (a)		200,000		213,774
6.75% 9/21/47		127,000		129,142
6.875% 8/4/26		75,000		82,305
Plains All American Pipeline LP / PAA Finance Corp. 3.65% 6/1/22		139,000		137,296
Schlumberger Holdings Corp. 3.625% 12/21/22 (a)		150,000		152,008
Shell International Finance BV:
3.25% 5/11/25		200,000		197,526
4.125% 5/11/35		200,000		206,292
Spectra Energy Partners LP 3.375% 10/15/26		154,000		146,658
Suncor Energy, Inc. 6.85% 6/1/39		98,000		132,040
The Williams Companies., Inc. 5.75% 6/24/44		255,000		270,938
Western Gas Partners LP 5.375% 6/1/21		450,000		471,022
Williams Partners LP 3.35% 8/15/22		425,000		420,940

				11,541,723

Pipeline – 1.6%
Boardwalk Pipelines LP 3.375% 2/1/23		550,000		534,532
Enterprise Products Operating LLC:
4.85% 3/15/44		200,000		208,373
4.90% 5/15/46		175,000		183,959
Sunoco Logistics Partners Operations LP:
4.00% 10/1/27		250,000		238,102
5.40% 10/1/47		108,000		105,591

				1,270,557


TOTAL ENERGY				13,064,125


FINANCIALS – 34.1%
Banks – 16.1%
Bank of America Corp.: 3 month U.S. LIBOR + 0.930% 2.816% 7/21/23 (b)(c)		825,000		802,901
3 month U.S. LIBOR + 1.160% 3.124% 1/20/23 (b)(c)		550,000		546,777
3 month U.S. LIBOR + 1.512% 3.705% 4/24/28 (b)(c)		250,000		245,371
4.20% 8/26/24		255,000		260,098

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


Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Banks – continued
4.25% 10/22/26	$	40,000	$	40,385
4.45% 3/3/26		50,000		51,124
Barclays PLC:
3.684% 1/10/23		400,000		397,161
4.836% 5/9/28		415,000		408,765
BPCE SA 4.875% 4/1/26 (a)		1,000,000		1,035,017
CIT Group, Inc. 3.875% 2/19/19		425,000		427,125
Citigroup, Inc.:
2.70% 10/27/22		530,000		514,342
4.05% 7/30/22		400,000		409,207
4.40% 6/10/25		400,000		410,570
Citizens Bank N.A. 2.25% 10/30/20		550,000		539,682
Citizens Financial Group, Inc. 4.35% 8/1/25		145,000		147,116
Compass Bank 2.875% 6/29/22		250,000		242,808
Credit Suisse Group Funding Guernsey Ltd. 4.55% 4/17/26		250,000		259,207
Discover Bank 3.20% 8/9/21		756,000		751,391
Fifth Third Bancorp 8.25% 3/1/38		170,000		246,924
HSBC Holdings PLC:
2.95% 5/25/21		200,000		198,274
3 month U.S. LIBOR + 1.546% 4.041% 3/13/28 (b)(c)		500,000		501,995
Intesa Sanpaolo SpA:
3.375% 1/12/23 (a)		250,000		244,912
5.017% 6/26/24 (a)		500,000		498,909
JPMorgan Chase & Co.:
4.125% 12/15/26		300,000		303,279
4.95% 6/1/45		200,000		215,822
Lloyds Banking Group PLC 2.907% 11/7/23 (b)		500,000		483,219
Royal Bank of Scotland Group PLC 6.00% 12/19/23		408,000		435,614
Santander Holdings USA, Inc. 3.40% 1/18/23 (a)		550,000		537,878
Synchrony Bank 3.00% 6/15/22		250,000		244,195
Synovus Financial Corp. 3.125% 11/1/22		399,000		389,791
The Bank of Nova Scotia 4.50% 12/16/25		300,000		306,562



	Principal Amount		Value
The Huntington National Bank 2.375% 3/10/20	$	250,000	$	248,106
UBS Group Funding Switzerland AG 3.491% 5/23/23 (a)		350,000		350,230
US Bancorp 3.10% 4/27/26		250,000		238,895
Wells Fargo & Co. 4.65% 11/4/44		200,000		202,251

				13,135,903

Capital Markets – 6.6%
Ares Capital Corp. 4.25% 3/1/25		400,000		392,105
Credit Suisse Group AG:
3.574% 1/9/23 (a)		250,000		249,879
3.869% 1/12/29 (a)(b)		500,000		485,673
Goldman Sachs Group, Inc.:
2.625% 4/25/21		288,000		283,227
2.876% 10/31/22 (b)		525,000		514,731
2.905% 7/24/23 (b)		700,000		682,035
3.50% 11/16/26		190,000		183,035
3.75% 5/22/25 to 2/25/26		400,000		396,132
3.85% 7/8/24		255,000		256,873
Morgan Stanley:
2.50% 4/21/21		200,000		196,410
3.625% 1/20/27		200,000		196,067
4.875% 11/1/22		408,000		430,172
5.50% 7/28/21		260,000		278,884
S&P Global, Inc.:
3.30% 8/14/20		145,000		146,250
4.00% 6/15/25		162,000		165,805
State Street Corp.
3.10% 5/15/23		500,000		493,042

				5,350,320

Consumer Finance – 2.8%
Ally Financial, Inc. 4.75% 9/10/18		408,000		411,594
Capital One Financial Corp. 2.50% 5/12/20		250,000		247,045
Discover Financial Services 5.20% 4/27/22		391,000		412,899
Ford Motor Credit Co. LLC:
3.339% 3/28/22		300,000		295,508
5.875% 8/2/21		352,000		377,694
Hyundai Capital America 2.875% 8/9/18 (a)		250,000		250,239
Synchrony Financial 3.00% 8/15/19		255,000		255,148

				2,250,127

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


Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Diversified Financial Services – 4.2%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.30% 1/23/23	$	450,000	$	440,273
Aon PLC 4.75% 5/15/45		161,000		169,482
Deutsche Bank AG:
2.70% 7/13/20		450,000		443,527
4.875% 12/1/32 (b)		283,000		263,846
GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35		300,000		294,583
General Motors Financial Co., Inc. 3.10% 1/15/19		300,000		300,730
International Lease Finance Corp. 4.625% 4/15/21		400,000		413,303
Moody’s Corp.:
2.625% 1/15/23 (a)		370,000		357,217
2.75% 12/15/21		11,000		10,841
4.50% 9/1/22		408,000		426,519
UniCredit SpA 3.75% 4/12/22 (a)		300,000		299,310

				3,419,631

Insurance – 4.4%
American International Group, Inc. 4.50% 7/16/44		300,000		297,976
Marsh & McLennan Companies, Inc. 4.05% 10/15/23		238,000		244,210
Massachusetts Mutual Life Insurance Co. 4.50% 4/15/65 (a)		61,000		59,234
Pacific LifeCorp. 5.125% 1/30/43 (a)		306,000		323,334
Prudential Financial, Inc. 3 month U.S. LIBOR + 3.031% 5.375% 5/15/45 (b)(c)		34,000		35,360
The Guardian Life Insurance Co. of America 4.85% 1/24/77 (a)		300,000		307,000
The Hartford Financial Services Group, Inc. 5.125% 4/15/22		374,000		399,555
Unum Group 4.00% 3/15/24		685,000		695,353
Voya Financial, Inc.:
3.65% 6/15/26		250,000		245,306
4.70% 1/23/48 (a)(b)		410,000		391,747
4.80% 6/15/46		200,000		207,302
5.70% 7/15/43		64,000		74,882



	Principal Amount		Value
Willis North America, Inc. 3.60% 5/15/24	$	320,000	$	317,830

				3,599,089


TOTAL FINANCIALS				27,755,070


HEALTH CARE – 4.9%
Health Care Equipment & Supplies – 3.0%
Abbott Laboratories 4.90% 11/30/46		400,000		429,252
Becton Dickinson & Co.:
2.404% 6/5/20		280,000		275,445
2.894% 6/6/22		278,000		270,862
4.669% 6/6/47		300,000		298,946
Cardinal Health, Inc.:
4.60% 3/15/43		240,000		235,187
4.90% 9/15/45		110,000		111,833
Shire Acquisitions Investments Ireland DAC:
2.875% 9/23/23		450,000		430,297
3.20% 9/23/26		400,000		372,043

				2,423,865

Health Care Providers & Services – 1.3%
Anthem, Inc.:
3.30% 1/15/23		49,000		48,612
3.35% 12/1/24		400,000		389,525
UnitedHealth Group, Inc.:
3.75% 7/15/25 to 10/15/47		400,000		387,499
4.75% 7/15/45		222,000		244,867

				1,070,503

Pharmaceuticals – 0.6%
Allergan Funding SCS:
3.00% 3/12/20		330,000		329,797
4.55% 3/15/35		157,000		156,657

				486,454


TOTAL HEALTH CARE				3,980,822


INDUSTRIALS – 5.7%
Aerospace & Defense – 1.6%
Lockheed Martin Corp.
4.09% 9/15/52		166,000		160,913
Northrop Grumman Corp.:
2.93% 1/15/25		830,000		796,768
4.03% 10/15/47		330,000		316,880

				1,274,561

Air Freight & Logistics – 0.7%
FedEx Corp.:
3.25% 4/1/26		300,000		292,556
4.05% 2/15/48		350,000		329,811

				622,367

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


Nonconvertible Bonds – continued
	Principal Amount		Value
INDUSTRIALS – continued
Airlines – 1.4%
American Airlines Pass Through Trust:
3.70% 4/15/27	$	850,000	$	831,096
3.75% 4/15/27		300,000		294,570

				1,125,666

Electronic Equipment, Instruments & Components – 0.5%
Hubbell, Inc. 3.50% 2/15/28		450,000		438,928

Industrial Conglomerates – 1.1%
Ingersoll-Rand Global Holding Co. Ltd. 3.75% 8/21/28		410,000		405,609
Roper Technologies, Inc.:
2.05% 10/1/18		350,000		349,107
2.80% 12/15/21		59,000		57,929
3.80% 12/15/26		61,000		61,147

				873,792

Machinery – 0.4%
John Deere Capital Corp. 2.65% 6/10/26		350,000		330,476


TOTAL INDUSTRIALS				4,665,790


INFORMATION TECHNOLOGY – 3.1%
Electronic Equipment, Instruments & Components – 0.0%
Amphenol Corp. 3.20% 4/1/24		17,000		16,661

Semiconductors & Semiconductor Equipment – 0.3%
Applied Materials, Inc.
4.35% 4/1/47		250,000		258,736

Software – 0.4%
Microsoft Corp.
4.25% 2/6/47		325,000		346,703

Technology Hardware, Storage & Peripherals – 2.4%
Apple, Inc.:
3.20% 5/11/27		400,000		389,805
3.75% 9/12/47		300,000		285,798
Dell International LLC / EMC Corp.:
4.42% 6/15/21 (a)		220,000		224,523
6.02% 6/15/26 (a)		150,000		160,472
Hewlett Packard Enterprise Co. 4.40% 10/15/22		840,000		871,043

				1,931,641


TOTAL INFORMATION TECHNOLOGY				2,553,741


MATERIALS – 1.8%
Chemicals – 1.5%
LYB International Finance BV 4.875% 3/15/44		221,000		231,594



	Principal Amount		Value
Monsanto Co. 4.20% 7/15/34	$	255,000	$	255,229
Potash Corp. of Saskatchewan, Inc. 4.00% 12/15/26		35,000		35,186
The Mosaic Co. 4.25% 11/15/23		650,000		668,281

				1,190,290

Metals & Mining – 0.3%
BHP Billiton Finance (USA) Ltd. 6.75% 10/19/75 (a)(b)		200,000		227,000
Vale Overseas Ltd. 6.875% 11/10/39		7,000		8,487

				235,487


TOTAL MATERIALS				1,425,777


REAL ESTATE – 3.3%
Equity Real Estate Investment Trusts (REITs) – 2.1%
DDR Corp. 4.625% 7/15/22		350,000		364,267
Healthcare Trust of America Holdings LP 2.95% 7/1/22		87,000		85,344
Hudson Pacific Properties LP 3.95% 11/1/27		250,000		239,137
Kimco Realty Corp. 3.30% 2/1/25		305,000		293,722
Lexington Realty Trust 4.40% 6/15/24		255,000		251,602
Omega Healthcare Investors, Inc.:
4.375% 8/1/23		280,000		278,915
4.50% 1/15/25		200,000		194,669

				1,707,656

Real Estate Management & Development – 1.2%
Brandywine Operating Partnership LP 3.95% 2/15/23		68,000		68,180
Corporate Office Properties LP:
3.60% 5/15/23		200,000		197,316
3.70% 6/15/21		425,000		426,752
Mack-Cali Realty LP 4.50% 4/18/22		255,000		250,291

				942,539


TOTAL REAL ESTATE				2,650,195


TELECOMMUNICATION SERVICES – 3.4%
Diversified Telecommunication Services – 2.6%
AT&T, Inc.:
3.40% 8/14/24		350,000		347,550
4.50% 5/15/35 to 3/9/48		615,000		565,671
4.75% 5/15/46		62,000		58,742
5.45% 3/1/47		100,000		103,734

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


Nonconvertible Bonds – continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES – continued
Diversified Telecommunication Services – continued
5.55% 8/15/41	$	221,000	$	234,917
Verizon Communications, Inc.:
4.522% 9/15/48		500,000		472,401
4.862% 8/21/46		325,000		322,236

				2,105,251

Media – 0.5%
Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/47		397,000		392,965

Wireless Telecommunication Services – 0.3%
Rogers Communications, Inc. 4.30% 2/15/48		275,000		271,714


TOTAL TELECOMMUNICATION SERVICES				2,769,930


UTILITIES – 9.7%
Electric Utilities – 6.2%
Cleco Corporate Holdings LLC 3.743% 5/1/26		436,000		419,909
DPL, Inc.:
6.75% 10/1/19		350,000		367,500
7.25% 10/15/21		306,000		333,540
Duke Energy Indiana, Inc. 4.90% 7/15/43		100,000		113,175
Duquesne Light Holdings, Inc. 3.616% 8/1/27 (a)		102,000		98,687
Emera US Finance LP 3.55% 6/15/26		550,000		529,489
Eversource Energy 2.90% 10/1/24		350,000		336,229
Exelon Corp.:
3.40% 4/15/26		500,000		486,555
3.497% 6/1/22		737,000		736,076
3.95% 6/15/25		30,000		30,226
Florida Gas Transmission Co., LLC 4.35% 7/15/25 (a)		150,000		155,413
IPALCO Enterprises, Inc. 3.45% 7/15/20		52,000		52,136
ITC Holdings Corp. 2.70% 11/15/22 (a)		101,000		98,535
Puget Energy, Inc. 3.65% 5/15/25		528,000		525,127
The Southern Co.:
1.55% 7/1/18		500,000		498,732
1.85% 7/1/19		230,000		227,446

				5,008,775



	Principal Amount		Value
Gas Utilities – 0.2%
Southern Co. Gas Capital Corp. 4.40% 5/30/47	$	200,000	$	201,279

Multi-Utilities – 3.3%
Dominion Energy, Inc.:
2.579% 7/1/20		94,000		92,875
4.104% 4/1/21 (b)		250,000		256,442
Duke Energy Corp. 2.65% 9/1/26		500,000		459,102
Florida Power & Light Co. 3 month U.S. LIBOR + 0.280% 2.069% 11/6/20 (b)(c)		400,000		399,998
NiSource Finance Corp.:
2.65% 11/17/22		143,000		139,766
3.49% 5/15/27		200,000		196,023
3.85% 2/15/23		500,000		511,328
Public Service Enterprise Group, Inc. 2.65% 11/15/22		111,000		107,930
Sempra Energy 3.80% 2/1/38		320,000		303,166
The Cleveland Electric Illuminating Co. 3.50% 4/1/28 (a)		220,000		212,119

				2,678,749


TOTAL UTILITIES				7,888,803


TOTAL NONCONVERTIBLE BONDS (Cost $77,788,714)				76,482,277


U.S. Treasury Obligations – 1.2%
U.S. Treasury Bonds:
2.50%, 2/15/46		761,000		671,434
3.00%, 11/15/45		65,000		63,467
U.S. Treasury Notes
2.25% 11/15/25		283,000		271,547


TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,014,751)				1,006,448


Municipal Securities – 1.1%
Illinois Gen. Oblig. Series 2011 5.877% 3/1/19		425,000		435,289
State of California 7.550% 4/1/39		300,000		451,695


TOTAL MUNICIPAL SECURITIES (Cost $897,688)				886,984

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


Foreign Government and Government Agency Obligations – 0.4%
	Principal Amount		Value
Mexico Government International Bond 4.600% 2/10/48 (Cost $321,446)	$	325,000	$	305,012


Money Market Funds – 3.1%
	Shares
Fidelity Cash Central Fund, 1.41% (d) (Cost $2,494,016)		2,493,548		2,494,047


TOTAL INVESTMENT IN SECURITIES – 99.8% (Cost $82,516,615)				81,174,768

NET OTHER ASSETS (LIABILITIES) – 0.2%				176,372


NET ASSETS – 100.0%			$	81,351,140

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 $9,260,039 or 11.4% of net assets.

(b)

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

(c)

Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(d)

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.

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

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

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

The following is a summary of the inputs used, as of February 28, 2018, 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.

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

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


Nonconvertible Bonds – 57.6%
	Principal Amount		Value
CONSUMER DISCRETIONARY – 4.5%
Automobiles – 1.4%
BMW US Capital LLC:
2.15% 4/6/20 (a)	$	294,000	$	290,362
2.70% 4/6/22 (a)		237,000		232,874
Daimler Finance North America LLC:
1.65% 5/18/18 (a)		200,000		199,813
2.25% 3/2/20 (a)		500,000		493,851
2.30% 2/12/21 (a)		200,000		195,808
2.45% 5/18/20 (a)		500,000		494,544
Volkswagen Group of America Finance LLC 2.40% 5/22/20 (a)		200,000		197,166
Volkswagen International Finance N.V. 2.125% 11/20/18 (a)		250,000		249,373

				2,353,791

Hotels, Restaurants & Leisure – 0.7%
McDonald’s Corp. 2.75% 12/9/20		1,170,000		1,168,455

Internet & Direct Marketing Retail – 0.1%
Amazon.com, Inc. 2.80% 8/22/24 (a)		184,000		178,155

Media – 2.3%
21st Century Fox America, Inc. 4.50% 2/15/21		553,000		576,718
CBS Corp. 2.30% 8/15/19		1,282,000		1,275,594
Comcast Corp.:
1.625% 1/15/22		227,000		215,296
5.15% 3/1/20		550,000		576,170
The Walt Disney Co. 1.85% 5/30/19		115,000		114,281
Time Warner Cable LLC 6.75% 7/1/18		191,000		193,552
Time Warner, Inc. 2.10% 6/1/19		1,114,000		1,107,527

				4,059,138


TOTAL CONSUMER DISCRETIONARY				7,759,539


CONSUMER STAPLES – 2.8%
Beverages – 0.4%
Anheuser-Busch InBev Finance, Inc.:
2.15% 2/1/19		514,000		511,689
2.65% 2/1/21		68,000		67,369
PepsiCo, Inc. 1.70% 10/6/21		135,000		129,518

				708,576

Food & Staples Retailing – 0.6%
Alimentation Couche-Tard, Inc. 2.35% 12/13/19 (a)		450,000		446,219



	Principal Amount		Value
CVS Health Corp.:
2.25% 12/5/18 to 8/12/19	$	271,000	$	269,454
2.80% 7/20/20		144,000		142,987
The Kroger Co. 2.30% 1/15/19		155,000		154,621

				1,013,281

Food Products – 0.3%
The JM Smucker Co. 2.50% 3/15/20		136,000		135,153
Tyson Foods, Inc. 2.65% 8/15/19		314,000		313,133

				448,286

Tobacco – 1.5%
BAT International Finance PLC:
1.85% 6/15/18 (a)		273,000		272,316
2.75% 6/15/20 (a)		1,003,000		995,721
Imperial Brands Finance PLC 2.05% 7/20/18 (a)		500,000		499,067
Philip Morris International, Inc. 1.875% 1/15/19 to 2/25/21		554,000		545,695
Reynolds American, Inc. 3.25% 6/12/20		317,000		317,944

				2,630,743


TOTAL CONSUMER STAPLES				4,800,886


CONSUMER, NON-CYCLICAL – 0.5%
Health Care Providers & Services – 0.1%
Humana, Inc. 2.50% 12/15/20		140,000		138,134

Pharmaceuticals – 0.4%
Perrigo Finance Unlimited Co. 3.50% 12/15/21		211,000		211,779
Teva Pharmaceutical Finance Netherlands III BV:
1.70% 7/19/19		406,000		396,155
2.20% 7/21/21		166,000		153,832

				761,766


TOTAL CONSUMER, NON-CYCLICAL				899,900


ENERGY – 5.7%
Energy Equipment & Services – 0.6%
Schlumberger Holdings Corp. 2.35% 12/21/18 (a)		1,059,000		1,057,427

Oil, Gas & Consumable Fuels – 5.1%
Canadian Natural Resources Ltd. 3.45% 11/15/21		171,000		172,599
Cenovus Energy, Inc. 3.00% 8/15/22		56,000		54,295
Chevron Corp. 1.961% 3/3/20		417,000		411,440

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


Nonconvertible Bonds – continued
	Principal Amount		Value
ENERGY – continued
Oil, Gas & Consumable Fuels – continued
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.70% 5/1/18 (a)	$	105,000	$	104,913
Columbia Pipeline Group, Inc.:
2.45% 6/1/18		60,000		59,995
3.30% 6/1/20		41,000		41,154
DCP Midstream Operating LP 2.70% 4/1/19		11,000		10,876
Enterprise Products Operating LLC:
1.65% 5/7/18		92,000		91,919
2.80% 2/15/21		81,000		80,451
2.85% 4/15/21		950,000		943,207
EQT Corp. 2.50% 10/1/20		93,000		91,602
Exxon Mobil Corp. 2.222% 3/1/21		496,000		487,526
Kinder Morgan, Inc. 3.05% 12/1/19		1,111,000		1,111,733
Marathon Petroleum Corp. 2.70% 12/14/18		133,000		133,360
MPLX LP 3.375% 3/15/23		130,000		129,027
Petroleos Mexicanos 6.375% 2/4/21		300,000		320,550
Plains All American Pipeline LP / PAA Finance Corp. 3.65% 6/1/22		176,000		173,842
Shell International Finance BV:
2.125% 5/11/20		621,000		613,321
2.25% 11/10/20		66,000		65,061
Total Capital International S.A.:
2.125% 1/10/19		978,000		975,227
2.75% 6/19/21		221,000		220,046
TransCanada PipeLines Ltd.:
2.125% 11/15/19		220,000		217,792
2.50% 8/1/22		197,000		191,617
3.125% 1/15/19		625,000		626,922
Western Gas Partners LP 5.375% 6/1/21		200,000		209,343
Williams Partners LP 3.60% 3/15/22		1,200,000		1,203,600

				8,741,418


TOTAL ENERGY				9,798,845


FINANCIALS – 27.3%
Banks – 14.3%
Bank of America Corp.:
2.625% 10/19/20 to 4/19/21		1,322,000		1,303,410



	Principal Amount		Value
2.65% 4/1/19	$	1,577,000	$	1,577,786
Barclays PLC:
2.75% 11/8/19		554,000		550,682
3.25% 1/12/21		1,203,000		1,194,550
BNP Paribas S.A. 2.375% 5/21/20		500,000		493,963
CIT Group, Inc. 3.875% 2/19/19		94,000		94,470
Citigroup, Inc.:
2.15% 7/30/18		66,000		65,943
2.50% 7/29/19		1,596,000		1,590,083
2.65% 10/26/20		52,000		51,477
2.70% 10/27/22		1,200,000		1,164,548
Citizens Bank N.A.:
2.30% 12/3/18		250,000		249,493
2.55% 5/13/21		1,500,000		1,470,332
Credit Suisse AG 2.30% 5/28/19		1,000,000		994,729
Credit Suisse Group Funding Guernsey Ltd. 3.45% 4/16/21		1,500,000		1,504,088
Discover Bank:
2.60% 11/13/18		516,000		516,360
3.20% 8/9/21		800,000		795,123
3.35% 2/6/23		250,000		248,236
Fifth Third Bancorp 2.875% 7/27/20		99,000		98,804
First Horizon National Corp. 3.50% 12/15/20		103,000		103,984
ING Groep N.V. 3.15% 3/29/22		250,000		247,779
Intesa Sanpaolo SpA 3.375% 1/12/23 (a)		225,000		220,421
JPMorgan Chase & Co.:
2.20% 10/22/19		264,000		261,688
2.25% 1/23/20		162,000		160,479
2.55% 10/29/20 to 3/1/21		1,646,000		1,625,446
2.75% 6/23/20		624,000		622,175
KeyCorp 2.90% 9/15/20		1,034,000		1,031,434
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21		1,510,000		1,506,181
Mizuho Bank Ltd. 2.40% 3/26/20 (a)		350,000		346,469
Regions Financial Corp.:
2.75% 8/14/22		160,000		155,983
3.20% 2/8/21		1,500,000		1,505,073
Royal Bank of Canada 2.35% 10/30/20		757,000		747,448
Santander Holdings USA, Inc. 3.40% 1/18/23 (a)		200,000		195,592

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


Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Banks – continued
SunTrust Banks, Inc.:
2.50% 5/1/19	$	316,000	$	315,415
2.90% 3/3/21		247,000		245,865
Synovus Financial Corp. 3.125% 11/1/22		271,000		264,745
The Bank of Nova Scotia 2.35% 10/21/20		144,000		142,145
The Bank of Tokyo-Mitsubishi UFJ Ltd. 2.30% 3/5/20 (a)		449,000		443,262
The Huntington National Bank 2.50% 8/7/22		250,000		240,543
Wells Fargo & Co. 2.60% 7/22/20		104,000		103,226

				24,449,430

Capital Markets – 3.5%
Goldman Sachs Group, Inc.:
2.625% 1/31/19 to 4/25/21		1,112,000		1,110,387
3.20% 2/23/23		1,200,000		1,181,577
Morgan Stanley:
2.375% 7/23/19		1,403,000		1,396,410
2.50% 4/21/21		151,000		148,290
2.625% 11/17/21		1,277,000		1,250,358
2.65% 1/27/20		464,000		462,064
4.875% 11/1/22		45,000		47,445
UBS AG 2.375% 8/14/19		400,000		397,577

				5,994,108

Consumer Finance – 2.7%
American Express Credit Corp. 2.25% 5/5/21		1,108,000		1,081,390
American Honda Finance Corp.:
1.70% 9/9/21		1,000,000		958,155
2.15% 3/13/20		131,000		129,363
Capital One Financial Corp. 3.20% 1/30/23		250,000		244,934
Caterpillar Financial Services Corp.:
1.80% 11/13/18		96,000		95,672
2.25% 12/1/19		193,000		191,771
Ford Motor Credit Co. LLC 3.157% 8/4/20		1,045,000		1,040,966
Hyundai Capital America:
2.00% 7/1/19 (a)		135,000		133,142
2.60% 3/19/20 (a)		88,000		86,845
Moody’s Corp. 2.75% 7/15/19		196,000		195,971
Synchrony Financial:
2.60% 1/15/19		109,000		108,820
3.00% 8/15/19		124,000		124,072



	Principal Amount		Value
Toyota Motor Credit Corp. 2.60% 1/11/22	$	239,000	$	235,552

				4,626,653

Diversified Financial Services – 4.6%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.30% 1/23/23		300,000		293,515
Aon PLC 2.80% 3/15/21		114,000		112,939
BP Capital Markets PLC:
1.375% 5/10/18		57,000		56,930
1.676% 5/3/19		46,000		45,575
2.237% 5/10/19		56,000		55,779
2.521% 1/15/20		977,000		972,969
Deutsche Bank AG:
2.50% 2/13/19		445,000		443,155
2.85% 5/10/19		166,000		165,740
3.15% 1/22/21		125,000		123,856
3.30% 11/16/22		1,250,000		1,218,889
General Motors Financial Co., Inc.:
3.20% 7/13/20		1,290,000		1,289,968
3.25% 1/5/23		1,000,000		979,099
4.20% 3/1/21		136,000		139,187
Intercontinental Exchange, Inc. 2.75% 12/1/20		232,000		230,871
International Lease Finance Corp. 5.875% 8/15/22		200,000		218,141
Moody’s Corp.:
2.625% 1/15/23 (a)		1,250,000		1,206,815
2.75% 12/15/21		43,000		42,379
UBS AG 2.45% 12/1/20 (a)		200,000		196,913
Washington Prime Group LP 3.85% 4/1/20		115,000		113,762

				7,906,482

Insurance – 2.2%
Aflac, Inc. 2.40% 3/16/20		191,000		189,531
American International Group, Inc.:
2.30% 7/16/19		128,000		127,108
3.30% 3/1/21		441,000		442,016
4.875% 6/1/22		130,000		137,730
Aon Corp. 5.00% 9/30/20		95,000		99,576
Liberty Mutual Group, Inc. 5.00% 6/1/21 (a)		575,000		606,100
Marsh & McLennan Cos., Inc.:
2.75% 1/30/22		115,000		113,119
4.80% 7/15/21		457,000		480,628
New York Life Global Funding 1.55% 11/2/18 (a)		141,000		140,330

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


Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Insurance – continued
Nuveen Finance LLC 2.95% 11/1/19 (a)	$	141,000	$	141,066
Principal Life Global Funding II 2.20% 4/8/20 (a)		76,000		75,064
The Hartford Financial Services Group, Inc. 5.50% 3/30/20		914,000		962,530
Unum Group 5.625% 9/15/20		116,000		123,189

				3,637,987


TOTAL FINANCIALS				46,614,660


HEALTH CARE – 4.6%
Biotechnology – 0.8%
Amgen, Inc.:
2.125% 5/1/20		115,000		113,184
2.20% 5/22/19		1,298,000		1,291,723

				1,404,907

Health Care Equipment & Supplies – 1.5%
Abbott Laboratories:
2.35% 11/22/19		277,000		275,552
2.90% 11/30/21		277,000		274,664
Becton Dickinson & Co.:
2.675% 12/15/19		102,000		101,601
3 month U.S. LIBOR + 0.875% 2.881% 12/29/20 (b)(c)(d)		250,000		250,290
2.894% 6/6/22		500,000		487,161
Shire Acquisitions Investments Ireland DAC 2.40% 9/23/21		1,144,000		1,104,818

				2,494,086

Health Care Providers & Services – 0.4%
Anthem, Inc. 2.95% 12/1/22		143,000		139,961
Cardinal Health, Inc. 1.95% 6/15/18		125,000		124,887
Express Scripts Holding Co.:
2.60% 11/30/20		48,000		47,375
4.75% 11/15/21		84,000		87,982
UnitedHealth Group, Inc.:
1.90% 7/16/18		107,000		106,887
2.125% 3/15/21		103,000		100,736
2.70% 7/15/20		124,000		123,867

				731,695

Life Sciences Tools & Services – 0.1%
Thermo Fisher Scientific, Inc. 2.40% 2/1/19		97,000		96,840



	Principal Amount		Value
Pharmaceuticals – 1.8%
AbbVie, Inc.:
1.80% 5/14/18	$	112,000	$	111,895
2.50% 5/14/20		286,000		283,465
Allergan Funding SCS:
3.00% 3/12/20		415,000		414,745
3.45% 3/15/22		700,000		696,819
Mylan N.V.:
2.50% 6/7/19		208,000		206,749
3.15% 6/15/21		1,361,000		1,348,774
Zoetis, Inc. 3.45% 11/13/20		29,000		29,323

				3,091,770


TOTAL HEALTH CARE				7,819,298


INDUSTRIALS – 1.9%
Aerospace & Defense – 0.7%
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a)		405,000		403,168
Lockheed Martin Corp. 2.50% 11/23/20		315,000		312,050
Rockwell Collins, Inc. 1.95% 7/15/19		90,000		89,098
The Boeing Co. 1.65% 10/30/20		358,000		349,812

				1,154,128

Airlines – 0.1%
Delta Air Lines, Inc. 2.875% 3/13/20		245,000		244,408

Industrial Conglomerates – 0.7%
General Electric Co. 2.20% 1/9/20		490,000		483,450
Ingersoll-Rand Global Holding Co. Ltd. 2.90% 2/21/21		162,000		161,342
Roper Technologies, Inc.:
2.05% 10/1/18		133,000		132,661
2.80% 12/15/21		185,000		181,641
3.00% 12/15/20		148,000		148,277

				1,107,371

Trading Companies & Distributors – 0.4%
Air Lease Corp.:
2.50% 3/1/21		122,000		119,815
2.625% 9/4/18 to 7/1/22		293,000		284,568
3.375% 6/1/21		240,000		241,599
4.75% 3/1/20		109,000		112,774

				758,756


TOTAL INDUSTRIALS				3,264,663

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


Nonconvertible Bonds – continued
	Principal Amount		Value
INFORMATION TECHNOLOGY – 2.5%
Communications Equipment – 0.1%
Cisco Systems, Inc.:
1.40% 9/20/19	$	135,000	$	132,770
1.85% 9/20/21		135,000		130,286

				263,056

Electronic Equipment, Instruments & Components – 0.3%
Amphenol Corp.:
2.20% 4/1/20		294,000		290,681
3.20% 4/1/24		37,000		36,261
Tyco Electronics Group S.A. 2.35% 8/1/19		183,000		182,015

				508,957

IT Services – 0.1%
The Western Union Co. 3.65% 8/22/18		98,000		98,606
Xerox Corp. 2.75% 3/15/19		63,000		62,866

				161,472

Software – 0.6%
Oracle Corp. 1.90% 9/15/21		1,144,000		1,105,625

Technology Hardware, Storage & Peripherals – 1.4%
Dell International LLC / EMC Corp.:
3.48% 6/1/19 (a)		1,026,000		1,031,926
4.42% 6/15/21 (a)		1,141,000		1,164,456
Hewlett Packard Enterprise Co. 2.85% 10/5/18		118,000		118,227

				2,314,609


TOTAL INFORMATION TECHNOLOGY				4,353,719


MATERIALS – 0.8%
Chemicals – 0.8%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.30% 5/1/23 (c)		119,000		119,106
The Mosaic Co. 3.25% 11/15/22		1,250,000		1,226,248


TOTAL MATERIALS				1,345,354


REAL ESTATE – 0.9%
Equity Real Estate Investment Trusts (REITs) – 0.6%
Boston Properties LP 3.20% 1/15/25		100,000		96,979
Brixmor Operating Partnership LP 3.875% 8/15/22		59,000		59,464
DDR Corp. 4.625% 7/15/22		200,000		208,153
Digital Realty Trust LP 3.40% 10/1/20		156,000		157,738



	Principal Amount		Value
Federal Realty Investment Trust 2.55% 1/15/21	$	113,000	$	111,700
Healthcare Trust of America Holdings LP 2.95% 7/1/22		155,000		152,050
Omega Healthcare Investors, Inc. 4.375% 8/1/23		105,000		104,593
Simon Property Group LP 2.75% 6/1/23		180,000		175,324

				1,066,001

Real Estate Management & Development – 0.3%
American Campus Communities Operating Partnership LP 3.35% 10/1/20		36,000		36,377
Brandywine Operating Partnership LP 3.95% 2/15/23		10,000		10,026
ERP Operating LP 2.375% 7/1/19		194,000		193,283
Ventas Realty LP 3.125% 6/15/23		34,000		33,310
Ventas Realty LP / Ventas Capital Corp. 2.70% 4/1/20		193,000		192,116

				465,112


TOTAL REAL ESTATE				1,531,113


TELECOMMUNICATION SERVICES – 2.6%
Diversified Telecommunication Services – 1.4%
AT&T, Inc.:
2.375% 11/27/18		144,000		144,019
2.45% 6/30/20		1,415,000		1,399,915
2.80% 2/17/21		124,000		123,063
British Telecommunications PLC 2.35% 2/14/19		200,000		199,461
Verizon Communications, Inc.:
2.625% 2/21/20		495,000		493,989
2.946% 3/15/22		99,000		97,663

				2,458,110

Media – 1.2%
Charter Communications Operating LLC / Charter Communications Operating Capital 3.579% 7/23/20		1,709,000		1,721,552
Discovery Communications LLC 2.95% 3/20/23		250,000		241,681

				1,963,233


TOTAL TELECOMMUNICATION SERVICES				4,421,343

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


Nonconvertible Bonds – continued
	Principal Amount		Value
UTILITIES – 3.5%
Electric Utilities – 1.5%
Berkshire Hathaway Energy Co.:
2.375% 1/15/21 (a)	$	211,000	$	208,168
2.80% 1/15/23 (a)		231,000		226,105
Duke Energy Corp. 1.80% 9/1/21		934,000		893,419
Emera US Finance LP:
2.15% 6/15/19		31,000		30,703
2.70% 6/15/21		31,000		30,415
Eversource Energy 2.50% 3/15/21		138,000		135,968
Exelon Corp.:
2.85% 6/15/20		207,000		206,132
3.497% 6/1/22		95,000		94,881
ITC Holdings Corp. 2.70% 11/15/22 (a)		132,000		128,778
NextEra Energy Capital Holdings, Inc. 1.649% 9/1/18		51,000		50,727
TECO Finance, Inc. 3 month U.S. LIBOR + 0.600% 2.308% 4/10/18 (b)(d)		102,000		102,034
The Southern Co.:
1.85% 7/1/19		135,000		133,501
2.35% 7/1/21		227,000		220,573
Xcel Energy, Inc. 2.40% 3/15/21		66,000		64,902

				2,526,306

Independent Power and Renewable Electricity Producers – 0.0%
Southern Power Co. 2.375% 6/1/20		27,000		26,696

Multi-Utilities – 2.0%
American Electric Power Co., Inc. 2.15% 11/13/20		132,000		129,514
CenterPoint Energy, Inc. 2.50% 9/1/22		46,000		44,426
Consolidated Edison, Inc. 2.00% 5/15/21		457,000		443,397
Dominion Energy, Inc.:
1.90% 6/15/18		501,000		500,464
2.00% 8/15/21		47,000		45,148
2.50% 12/1/19		138,000		136,864
NiSource Finance Corp. 2.65% 11/17/22		186,000		181,793
Public Service Enterprise Group, Inc.:
2.00% 11/15/21		94,000		89,767
2.65% 11/15/22		141,000		137,100
Sempra Energy:
1.625% 10/7/19		115,000		112,901
2.40% 3/15/20		973,000		963,140



	Principal Amount		Value
2.85% 11/15/20	$	120,000	$	120,118
2.90% 2/1/23		40,000		39,289
Virginia Electric & Power Co. 2.75% 3/15/23		250,000		244,496
WEC Energy Group, Inc. 2.45% 6/15/20		153,000		152,034

				3,340,451


TOTAL UTILITIES				5,893,453


TOTAL NONCONVERTIBLE BONDS (Cost $99,704,348)				98,502,773


U.S. Treasury Obligations – 36.8%

U.S. Treasury Notes:
1.375%, 1/31/21		15,000,000		14,556,445
1.75%, 6/30/22		6,000,000		5,789,766
1.875%, 9/30/22		4,500,000		4,353,574
2.125%, 11/30/24		821,000		787,294
2.25% 2/29/20 to 12/31/24		27,609,000		27,566,179
2.375%, 1/31/23		10,000,000		9,873,828


TOTAL U.S. TREASURY OBLIGATIONS (Cost $63,267,252)				62,927,086


Collateralized Mortgage Obligations – 2.9%

PRIVATE SPONSOR – 2.4%
BENCHMARK Mortgage Trust Series 2018-B2, Class A2 3.662% 2/15/51		215,000		220,403
CGDB Commercial Mortgage Trust Series 2017-BIO, Class A 1 month U.S. LIBOR + 0.750% 2.338% 5/15/30 (a)(b)(d)		160,000		160,253
COMM Mortgage Trust Series 2013-LC6, Class ASB 2.478% 1/10/46		368,986		366,015
COMM Mortgage Trust Series 2014-CR15, Class A2 2.928% 2/10/47		420,807		422,066
COMM Mortgage Trust Series 2014-CR20, Class A2 2.801% 11/10/47		41,000		41,098
GS Mortgage Securities Trust Series 2012-GC6, Class A3 3.482% 1/10/45		113,571		115,005
GS Mortgage Securities Trust Series 2012-GC6, Class AS 4.948% 1/10/45 (a)		257,000		270,732

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


Collateralized Mortgage Obligations – continued
	Principal Amount		Value
PRIVATE SPONSOR – continued
Morgan Stanley BAML Trust Series 2013-C12, Class ASB 3.824% 10/15/46	$	500,000	$	511,764
Morgan Stanley Capital I Trust Series 2011-C1, Class A4 5.033% 9/15/47 (a)(d)		1,067,000		1,108,411
SCG Trust Series 2013-SRP1, Class A 1 month U.S. LIBOR + 1.650% 3.238% 11/15/26 (a)(b)(d)		231,000		231,000
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class AAB 2.687% 3/10/46		518,793		516,710
Wells Fargo Commercial Mortgage Trust 2016-C37, Class A1 1.944% 12/15/49		122,824		121,089


TOTAL PRIVATE SPONSOR				4,084,546


U.S. GOVERNMENT AGENCY – 0.5%
Fannie Mae guaranteed REMIC Series 2015-28, Class P 2.50% 5/25/45		117,496		114,382
Fannie Mae REMICS Series 2018-3, Class LP 3.00% 2/25/47		695,623		686,430


TOTAL U.S. GOVERNMENT AGENCY				800,812


TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $5,030,394)				4,885,358


Asset-Backed Securities – 1.5%

Ally Master Owner Trust Series 2015-3, Class A 1.63% 5/15/20		90,000		89,930
AmeriCredit Automobile Receivables Trust Series 2015-2, Class A3 1.27% 1/8/20		2,775		2,774
AmeriCredit Automobile Receivables Trust Series 2016-1, Class A3 1.81% 10/8/20		67,790		67,702
Capital One Multi-Asset Execution Trust Series 2016-A4, Class A4 1.33% 6/15/22		169,000		165,968
Enterprise Fleet Financing LLC Series 2015-2, Class A3 2.09% 2/22/21 (a)		1,000,000		997,127
Ford Credit Floorplan Master Owner Trust Series 2016-1, Class A1 1.76% 2/15/21		121,000		120,258



	Principal Amount		Value
Ford Credit Floorplan Master Owner Trust Series 2016-3, Class A1 1.55% 7/15/21	$	235,000	$	231,811
Ford Credit Floorplan Master Owner Trust Series 2017-2, Class A1 2.16% 9/15/22		205,000		201,787
GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1 1.96% 5/17/21 (a)		250,000		248,170
Mercedes-Benz Auto Receivables Trust Series 2016-1, Class A3 1.26% 2/16/21		256,000		253,677
Santander Retail Auto Lease Trust Series 2017-A, Class A3 2.22% 1/20/21 (a)		210,000		207,950


TOTAL ASSET-BACKED SECURITIES (Cost $2,611,139)				2,587,154


Municipal Securities – 0.4%

Illinois Gen. Oblig. Series 2011 5.877% 3/1/19		170,000		174,116
New York State Urban Development Corp.:
2.55% 3/15/22		285,000		280,565
2.70% 3/15/23		235,000		231,698


TOTAL MUNICIPAL SECURITIES (Cost $694,145)				686,379


Money Market Funds – 0.3%
	Shares

Fidelity Cash Central Fund, 1.41% (e) (Cost $442,178)		442,098		442,186


TOTAL INVESTMENT IN SECURITIES – 99.5% (Cost $171,749,456)				170,030,936

NET OTHER ASSETS (LIABILITIES) – 0.5%				909,665


NET ASSETS – 100.0%			$	170,940,601

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

Legend

(a)

(b)

Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(c)

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

(d)

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

(e)

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

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

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


U.S. Treasury Obligations – 42.9%
	Principal Amount		Value
U.S. Treasury Bonds:
2.25%, 2/15/27	$	2,233,000	$	2,121,350
2.75%, 11/15/47		1,443,000		1,336,917
3.00% 11/15/45 to 5/15/47		15,388,200		15,006,666
U.S. Treasury Inflation Indexed Bonds:
0.375%, 1/15/27		2,919,034		2,827,624
0.75%, 2/15/45		492,366		465,602
0.875%, 2/15/47		3,096,317		3,010,239
1.00%, 2/15/46		1,161,662		1,167,003
1.375%, 2/15/44		2,686,389		2,934,705
U.S. Treasury Inflation Indexed Notes:
0.125%, 7/15/26		5,698,602		5,442,851
0.375% 7/15/25 to 7/15/27		8,037,135		7,817,198
0.625%, 1/15/26		4,390,723		4,367,185
U.S. Treasury Notes:
0.75% 7/31/18 to 9/30/18		14,545,100		14,457,303
1.125%, 8/31/21		3,225,100		3,074,931
1.25% 3/31/21 to 10/31/21		6,352,200		6,092,460
1.75% 12/31/20 to 6/30/22		9,940,200		9,696,656
1.875% 3/31/22 to 7/31/22		32,182,900		31,261,603
2.00%, 12/31/21		23,681,100		23,200,078
2.125% 12/31/22 to 11/30/24		19,376,600		18,736,082
2.25% 12/31/24 to 11/15/27		6,098,200		5,875,503


TOTAL U.S. TREASURY OBLIGATIONS (Cost $163,281,625)				158,891,956


Nonconvertible Bonds – 30.9%

CONSUMER DISCRETIONARY – 2.1%
Automobiles – 0.0%
General Motors Co. 3.50% 10/2/18		10,000		10,051

Diversified Consumer Services – 0.2%
Global Partners LP / GLP Finance Corp. 7.00% 6/15/23		220,000		224,125
Ingersoll-Rand Luxembourg Finance S.A. 2.625% 5/1/20		14,000		13,907
Laureate Education, Inc. 8.25% 5/1/25 (a)		388,000		413,220

				651,252

Hotels, Restaurants & Leisure – 0.2%
1011778 BC ULC / New Red Finance, Inc. 4.25% 5/15/24 (a)		70,000		66,850
Golden Nugget, Inc.
6.75% 10/15/24 (a)		8,000		8,200
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. 4.625% 4/1/25		75,000		75,281



	Principal Amount		Value
McDonald’s Corp. 2.75% 12/9/20	$	24,000	$	23,968
Penn National Gaming, Inc. 5.625% 1/15/27 (a)		70,000		69,475
Scientific Games International, Inc.:
5.00% 10/15/25 (a)		45,000		44,494
10.00% 12/1/22		322,000		349,370
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 5.50% 3/1/25 (a)		75,000		76,031

				713,669

Internet & Direct Marketing Retail – 0.0%
Zayo Group LLC / Zayo Capital, Inc. 6.375% 5/15/25		200,000		209,250

Media – 1.7%
Altice US Finance I Corp.:
5.375% 7/15/23 (a)		200,000		203,250
5.50% 5/15/26 (a)		200,000		198,000
AMC Entertainment Holdings, Inc. 5.75% 6/15/25		80,000		77,800
CCO Holdings LLC / CCO Holdings Capital Corp.:
5.125% 5/1/27 (a)		200,000		192,250
5.375% 5/1/25 (a)		322,000		323,208
5.875% 5/1/27 (a)		322,000		327,233
Charter Communications Operating LLC / Charter Communications Operating Capital:
4.464% 7/23/22		334,000		341,946
6.484% 10/23/45		77,000		86,741
CSC Holdings LLC:
5.50% 4/15/27 (a)		100,000		98,500
6.625% 10/15/25 (a)		400,000		420,000
MDC Partners, Inc.
6.50% 5/1/24 (a)		414,000		412,965
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.50 Cash or 9.25 Pay-in-kind 8.50% 8/1/19 (a)(b)		449,000		446,755
Sirius XM Radio, Inc.:
4.625% 5/15/23 (a)		200,000		199,500
5.375% 4/15/25 to 7/15/26 (a)		385,000		390,863
Time Warner Cable LLC:
4.00% 9/1/21		1,413,000		1,426,629
5.50% 9/1/41		16,000		16,242
6.55% 5/1/37		26,000		29,571
6.75% 6/15/39		220,000		252,438
7.30% 7/1/38		211,000		253,026

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


Nonconvertible Bonds – continued
	Principal Amount		Value
CONSUMER DISCRETIONARY – continued
Media – continued
Time Warner, Inc. 3.60% 7/15/25	$	473,000	$	459,542

				6,156,459


TOTAL CONSUMER DISCRETIONARY				7,740,681


CONSUMER STAPLES – 1.4%
Beverages – 0.5%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21		1,197,000		1,185,889
3.30% 2/1/23		491,000		488,907
4.90% 2/1/46		304,000		324,122
Constellation Brands, Inc. 3.875% 11/15/19		10,000		10,172
Cott Holdings, Inc. 5.50% 4/1/25 (a)		55,000		54,786

				2,063,876

Food & Staples Retailing – 0.1%
CVS Health Corp. 4.00% 12/5/23		200,000		202,776
FAGE International SA / FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (a)		15,000		14,091
Walgreens Boots Alliance, Inc. 3.30% 11/18/21		34,000		34,051

				250,918

Food Products – 0.2%
JBS U.S.A. LLC / JBS U.S.A. Finance, Inc. (Reg. S) 5.75% 6/15/25		473,000		451,715
JBS USA LUX S.A. / JBS USA Finance, Inc. 6.75% 2/15/28 (a)		75,000		74,265
Lamb Weston Holdings, Inc. 4.875% 11/1/26 (a)		105,000		105,000
Post Holdings, Inc.:
5.00% 8/15/26 (a)		100,000		95,000
5.50% 3/1/25 (a)		100,000		100,625
US Foods, Inc. 5.875% 6/15/24 (a)		45,000		46,688

				873,293

Hotels, Restaurants & Leisure – 0.0%
Caesars Resort Collection LLC / CRC Finco, Inc. 5.25% 10/15/25 (a)		160,000		156,400

Household Products – 0.1%
Energizer Holdings, Inc. 5.50% 6/15/25 (a)		220,000		220,000



	Principal Amount		Value
Tobacco – 0.5%
Altria Group, Inc. 2.625% 1/14/20	$	100,000	$	99,699
Imperial Brands Finance PLC 3.75% 7/21/22 (a)		400,000		404,999
Reynolds American, Inc.:
2.30% 6/12/18		48,000		47,984
3.25% 6/12/20		21,000		21,063
4.00% 6/12/22		73,000		74,524
4.45% 6/12/25		53,000		54,563
4.85% 9/15/23		220,000		235,165
5.70% 8/15/35		28,000		31,889
5.85% 8/15/45		180,000		208,482
Vector Group Ltd. 6.125% 2/1/25 (a)		526,000		537,177

				1,715,545


TOTAL CONSUMER STAPLES				5,280,032


CONSUMER, NON-CYCLICAL – 0.4%
Health Care Providers & Services – 0.0%
Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics S.A. 6.625% 5/15/22 (a)		115,000		114,137

Oil, Gas & Consumable Fuels – 0.1%
MPLX LP 4.875% 12/1/24		119,000		125,197

Pharmaceuticals – 0.3%
Catalent Pharma Solutions, Inc. 4.875% 1/15/26 (a)		85,000		84,150
Perrigo Finance Unlimited Co. 3.90% 12/15/24		200,000		199,392
Teva Pharmaceutical Finance Netherlands III BV:
2.20% 7/21/21		136,000		126,031
2.80% 7/21/23		459,000		401,759
3.15% 10/1/26		309,000		252,017

				1,063,349


TOTAL CONSUMER, NON-CYCLICAL				1,302,683


ENERGY – 5.8%
Energy Equipment & Services – 0.2%
DCP Midstream Operating LP 8.125% 8/16/30		215,000		262,568
Ensco PLC 4.50% 10/1/24		140,000		114,100
Halliburton Co.:
3.80% 11/15/25		63,000		62,966
4.85% 11/15/35		55,000		58,906
Nabors Industries, Inc. 5.50% 1/15/23		75,000		74,437

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


Nonconvertible Bonds – continued
	Principal Amount		Value
ENERGY – continued
Energy Equipment & Services – continued
Noble Holding International Ltd. 7.75% 1/15/24	$	113,000	$	103,254
Precision Drilling Corp. 7.75% 12/15/23		85,000		89,675

				765,906

Oil, Gas & Consumable Fuels – 5.3%
Anadarko Finance Co. 7.50% 5/1/31		238,000		301,036
Anadarko Petroleum Corp.:
4.85% 3/15/21		47,000		49,042
5.55% 3/15/26		766,000		836,559
6.45% 9/15/36		38,000		45,267
6.60% 3/15/46		130,000		162,070
Antero Resources Corp. 5.125% 12/1/22		220,000		221,925
Canadian Natural Resources Ltd. 5.85% 2/1/35		90,000		101,959
Cenovus Energy, Inc. 4.25% 4/15/27		266,000		259,948
Chesapeake Energy Corp. 8.00% 12/15/22 to 1/15/25 (a)		402,000		420,765
CITGO Petroleum Corp. 6.25% 8/15/22 (a)		323,000		323,404
Columbia Pipeline Group, Inc.:
2.45% 6/1/18		20,000		19,998
3.30% 6/1/20		99,000		99,372
4.50% 6/1/25		30,000		30,783
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.:
5.75% 4/1/25		80,000		81,000
6.25% 4/1/23		105,000		108,150
CVR Refining LLC / Coffeyville Finance, Inc. 6.50% 11/1/22		70,000		71,663
Denbury Resources, Inc. 4.625% 7/15/23		85,000		62,900
Empresa Nacional del Petroleo 4.375% 10/30/24 (a)		200,000		204,944
Enbridge Energy Partners LP 4.375% 10/15/20		69,000		70,956
Enbridge, Inc.:
4.25% 12/1/26		66,000		66,433
5.50% 12/1/46		77,000		86,678
Encana Corp.:
6.625% 8/15/37		185,000		228,903
7.375% 11/1/31		283,000		353,196
8.125% 9/15/30		260,000		338,777



	Principal Amount		Value
Enterprise Products Operating LLC 3.70% 2/15/26	$	90,000	$	89,839
EP Energy LLC / Everest Acquisition Finance, Inc. 8.00% 11/29/24 (a)		110,000		113,300
Hess Corp. 7.875% 10/1/29		113,000		140,530
Hess Infrastructure Partners LP / Hess Infrastructure Partners Finance Corp. 5.625% 2/15/26 (a)		45,000		45,000
Hilcorp Energy I LP / Hilcorp Finance Co. 5.00% 12/1/24 (a)		200,000		201,000
Indigo Natural Resources LLC 6.875% 2/15/26 (a)		40,000		39,109
Jonah Energy LLC / Jonah Energy Finance Corp. 7.25% 10/15/25 (a)		45,000		42,750
Kinder Morgan Energy Partners LP:
3.50% 3/1/21		60,000		60,244
5.00% 10/1/21		69,000		72,557
5.50% 3/1/44		280,000		288,967
6.55% 9/15/40		13,000		14,994
Kinder Morgan, Inc.:
5.00% 2/15/21 (a)		74,000		77,215
5.05% 2/15/46		34,000		33,334
PBF Holding Co. LLC / PBF Finance Corp. 7.00% 11/15/23		200,000		208,000
Petrobras Global Finance BV:
5.625% 5/20/43		102,000		87,210
5.75% 2/1/29		770,000		741,125
6.25% 3/17/24		220,000		229,350
6.75% 1/27/41		50,000		48,300
7.25% 3/17/44		1,068,000		1,084,020
7.375% 1/17/27		651,000		705,684
Petrobras International Finance Co. Ltd. 5.375% 1/27/21		1,272,000		1,310,160
Petroleos Mexicanos:
4.50% 1/23/26		200,000		193,500
4.625% 9/21/23		1,392,000		1,399,099
5.50% 1/21/21		460,000		481,390
5.625% 1/23/46		1,433,000		1,283,108
6.35% 2/12/48 (a)		250,000		243,725
6.375% 1/23/45		650,000		630,500
6.50% 3/13/27 to 3/13/27 (a)		594,000		634,909
6.75% 9/21/47		835,000		849,086
6.75% 9/21/47 (a)		35,000		35,590
Phillips 66 4.30% 4/1/22		651,000		675,971

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


Nonconvertible Bonds – continued
	Principal Amount		Value
ENERGY – continued
Oil, Gas & Consumable Fuels – continued
Phillips 66 Partners LP 2.646% 2/15/20	$	5,000	$	4,969
Range Resources Corp. 5.00% 8/15/22		200,000		197,000
Southwestern Energy Co.:
4.10% 3/15/22		200,000		187,500
7.50% 4/1/26		30,000		30,300
Sunoco LP / Sunoco Finance Corp.:
4.875% 1/15/23 (a)		65,000		64,513
5.50% 2/15/26 (a)		60,000		60,000
5.875% 3/15/28 (a)		60,000		60,225
Teine Energy Ltd. 6.875% 9/30/22 (a)		200,000		204,000
Western Gas Partners LP:
4.50% 3/1/28 (c)		300,000		301,888
4.65% 7/1/26		35,000		35,548
5.375% 6/1/21		774,000		810,157
Williams Partners LP:
3.60% 3/15/22		103,000		103,309
3.90% 1/15/25		507,000		503,288
4.00% 11/15/21 to 9/15/25		226,000		226,357
4.50% 11/15/23		51,000		52,747

				19,447,095

Pipeline – 0.3%
Cheniere Corpus Christi Holdings LLC 7.00% 6/30/24		145,000		162,255
Cheniere Energy Partners LP 5.25% 10/1/25 (a)		175,000		176,750
SemGroup Corp. / Rose Rock Finance Corp. 5.625% 7/15/22		200,000		198,000
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 5.75% 4/15/25		120,000		120,000
Sunoco Logistics Partners Operations LP 5.40% 10/1/47		455,000		444,853
Targa Resources Partners LP / Targa Resources Partners Finance Corp.:
5.125% 2/1/25		105,000		104,606
5.375% 2/1/27		105,000		105,000

				1,311,464


TOTAL ENERGY				21,524,465


FINANCIALS – 9.5%
Banks – 4.1%
Bank of America Corp.:
2.25% 4/21/20		213,000		210,426
2.60% 1/15/19		15,000		15,004



	Principal Amount		Value
2.65% 4/1/19	$	22,000	$	22,011
3.004% 12/20/23 (a)(b)		805,000		787,657
3.419% 12/20/28 (a)(b)		237,000		226,915
3.50% 4/19/26		227,000		223,557
3.95% 4/21/25		229,000		228,651
4.20% 8/26/24		160,000		163,199
4.25% 10/22/26		1,225,000		1,236,799
6.10% 12/29/49 (b)		204,000		216,240
Bank of America N.A. 1.65% 3/26/18		250,000		249,928
Barclays Bank PLC 7.625% 11/21/22		200,000		222,625
Barclays PLC:
2.00% 3/16/18		200,000		200,000
2.75% 11/8/19		400,000		397,604
4.375% 1/12/26		200,000		200,211
Citigroup, Inc.:
2.40% 2/18/20		672,000		665,595
3 month U.S. LIBOR + 0.950% 2.876% 7/24/23 (b)(d)		250,000		244,005
3.142% 1/24/23 (b)		267,000		265,057
3.875% 3/26/25		278,000		276,086
4.00% 8/5/24		115,000		116,301
5.50% 9/13/25		734,000		802,866
Citizens Bank N.A. 2.50% 3/14/19		250,000		249,629
Credit Suisse Group Funding Guernsey Ltd.:
2.75% 3/26/20		250,000		248,130
3.75% 3/26/25		250,000		246,795
3.80% 6/9/23		906,000		911,643
Intesa Sanpaolo SpA 5.71% 1/15/26 (a)		415,000		423,724
JPMorgan Chase & Co.:
2.75% 6/23/20		75,000		74,781
2.95% 10/1/26		2,424,000		2,278,128
3.875% 9/10/24		190,000		191,289
4.125% 12/15/26		415,000		419,537
Regions Financial Corp. 3.20% 2/8/21		81,000		81,274
Royal Bank of Scotland Group PLC:
5.125% 5/28/24		989,000		1,013,281
6.00% 12/19/23		512,000		546,653
6.125% 12/15/22		1,446,000		1,542,118

				15,197,719

Capital Markets – 1.8%
Affiliated Managers Group, Inc.:
3.50% 8/1/25		81,000		79,368
4.25% 2/15/24		138,000		142,180

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


Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Capital Markets – continued
Credit Suisse Group AG 3.869% 1/12/29 (a)(b)	$	250,000	$	242,837
Goldman Sachs Group, Inc.:
2.876% 10/31/22 (b)		100,000		98,044
3.20% 2/23/23		1,540,000		1,516,357
3 month U.S. LIBOR + 1.510% 3.691% 6/5/28 (b)(d)		1,084,000		1,054,805
3.75% 5/22/25		200,000		199,231
Lazard Group LLC 4.25% 11/14/20		249,000		256,880
Morgan Stanley:
3.125% 7/27/26		2,578,000		2,445,235
3.70% 10/23/24		86,000		85,954
4.875% 11/1/22		473,000		498,704
UBS AG
1.80% 3/26/18		250,000		249,962

				6,869,557

Consumer Finance – 1.2%
Ally Financial, Inc.:
4.125% 2/13/22		130,000		130,325
5.75% 11/20/25		200,000		208,500
8.00% 11/1/31 to 11/1/31		404,000		500,450
Capital One Financial Corp. 3.80% 1/31/28		258,000		250,481
Discover Financial Services:
3.75% 3/4/25		572,000		561,712
3.85% 11/21/22		1,084,000		1,091,247
4.10% 2/9/27		253,000		250,235
Ford Motor Credit Co. LLC 5.875% 8/2/21		750,000		804,747
Hyundai Capital America 2.00% 3/19/18 (a)		96,000		95,991
Navient Corp. 8.00% 3/25/20		200,000		214,250
Quicken Loans, Inc. 5.25% 1/15/28 (a)		85,000		82,025
Synchrony Financial 3.00% 8/15/19		342,000		342,198

				4,532,161

Diversified Financial Services – 1.3%
AerCap Global Aviation Trust 6.50% 6/15/45 (a)(b)		100,000		108,500
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust:
4.50% 5/15/21		260,000		267,954
4.625% 7/1/22		150,000		155,647
Deutsche Bank AG:
3.15% 1/22/21		372,000		368,597
3.30% 11/16/22		247,000		240,852



	Principal Amount		Value
4.50% 4/1/25	$	1,000,000	$	979,670
General Motors Financial Co., Inc.:
3.15% 1/15/20		75,000		75,115
3.25% 5/15/18		15,000		15,022
3.50% 7/10/19		1,679,000		1,688,939
4.00% 1/15/25		50,000		49,567
4.20% 3/1/21		138,000		141,234
4.25% 5/15/23		5,000		5,098
Icahn Enterprises LP / Icahn Enterprises Finance Corp. 5.875% 2/1/22		230,000		230,000
Intercontinental Exchange, Inc. 2.75% 12/1/20		43,000		42,791
Moody’s Corp.:
3.25% 1/15/28 (a)		108,000		102,740
4.875% 2/15/24		101,000		107,545
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 6.75% 6/1/25 (a)		211,000		212,582
UBS Group Funding Switzerland AG 4.125% 9/24/25 (a)		200,000		203,196

				4,995,049

Insurance – 0.8%
Acrisure LLC / Acrisure Finance, Inc. 7.00% 11/15/25 (a)		55,000		53,762
American International Group, Inc. 3.30% 3/1/21		69,000		69,159
Hartford Financial Services Group, Inc. 4.30% 4/15/43		590,000		589,809
Liberty Mutual Group, Inc. (Reg. S) 5.00% 6/1/21		130,000		137,031
Nuveen Finance LLC:
2.95% 11/1/19 (a)		14,000		14,007
4.125% 11/1/24 (a)		21,000		21,628
Pacific LifeCorp. 5.125% 1/30/43 (a)		540,000		570,588
Teachers Insurance & Annuity Association of America 4.90% 9/15/44 (a)		322,000		350,762
Unum Group:
3.875% 11/5/25		349,000		347,298
4.00% 3/15/24		473,000		480,149
USIS Merger Sub, Inc. 6.875% 5/1/25 (a)		100,000		101,250
Voya Financial, Inc. 3.125% 7/15/24		130,000		126,546

				2,861,989

Real Estate Investment Trusts (REITs) – 0.1%
MPT Operating Partnership LP / MPT Finance Corp. 5.25% 8/1/26		180,000		178,875

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


Nonconvertible Bonds – continued
	Principal Amount		Value
FINANCIALS – continued
Real Estate Investment Trusts (REITs) – continued
Starwood Property Trust, Inc. 4.75% 3/15/25 (a)	$	35,000	$	33,950

				212,825

Thrifts & Mortgage Finance – 0.2%
Prime Security Services Borrower LLC / Prime Finance, Inc. 9.25% 5/15/23 (a)		600,000		653,250


TOTAL FINANCIALS				35,322,550

HEALTH CARE – 1.9%
Health Care Equipment & Supplies – 0.1%
Hologic, Inc. 4.375% 10/15/25 (a)		150,000		146,438
Teleflex, Inc. 4.875% 6/1/26		85,000		84,150

				230,588

Health Care Providers & Services – 0.7%
CHS / Community Health Systems, Inc.:
6.25% 3/31/23		40,000		36,400
8.00% 11/15/19		210,000		196,350
CHS/Community Health Systems, Inc. 5.125% 8/1/21		210,000		193,725
HCA, Inc.:
4.75% 5/1/23		5,000		5,088
5.25% 4/15/25		322,000		330,855
5.375% 2/1/25		274,000		278,540
5.875% 3/15/22		5,000		5,300
6.50% 2/15/20		560,000		589,400
Kindred Healthcare, Inc. 8.75% 1/15/23		220,000		235,400
Sabra Health Care LP / Sabra Capital Corp. 5.50% 2/1/21		342,000		349,695
Tenet Healthcare Corp.:
4.375% 10/1/21		200,000		199,000
6.75% 6/15/23		5,000		5,000
8.125% 4/1/22		200,000		210,500
Vizient, Inc. 10.375% 3/1/24 (a)		110,000		123,200

				2,758,453

Life Sciences Tools & Services – 0.3%
Thermo Fisher Scientific, Inc. 4.15% 2/1/24		943,000		970,383

Pharmaceuticals – 0.8%
Allergan Funding SCS 3.45% 3/15/22		943,000		938,714
Mylan N.V.:
2.50% 6/7/19		73,000		72,561



	Principal Amount		Value
3.15% 6/15/21	$	613,000	$	607,494
3.95% 6/15/26		90,000		87,051
Valeant Pharmaceuticals International, Inc.:
5.50% 3/1/23 to 11/1/25 (a)		295,000		281,950
6.125% 4/15/25 (a)		100,000		87,687
6.50% 3/15/22 (a)		130,000		135,200
7.00% 3/15/24 (a)		200,000		210,750
9.00% 12/15/25 (a)		115,000		115,216
Valeant Pharmaceuticals International, Inc. (Reg. S) 6.125% 4/15/25		279,000		244,648
Zoetis, Inc. 3.25% 2/1/23		100,000		99,228

				2,880,499


TOTAL HEALTH CARE				6,839,923


INDUSTRIALS – 1.1%
Aerospace & Defense – 0.1%
Bombardier, Inc. 6.00% 10/15/22 (a)		115,000		114,713
KLX, Inc. 5.875% 12/1/22 (a)		200,000		206,000

				320,713

Commercial Services & Supplies – 0.5%
ADT Corp. 6.25% 10/15/21		200,000		212,375
APX Group, Inc.:
6.375% 12/1/19		86,000		87,290
7.625% 9/1/23		322,000		342,527
8.75% 12/1/20		762,000		767,715
Covanta Holding Corp. 5.875% 3/1/24		65,000		65,163
The ADT Corp. 4.875% 7/15/32 (a)		185,000		168,350

				1,643,420

Construction & Engineering – 0.1%
AECOM:
5.125% 3/15/27		322,000		311,841
5.875% 10/15/24		105,000		109,462
Brand Industrial Services, Inc. 8.50% 7/15/25 (a)		20,000		20,650

				441,953

Containers & Packaging – 0.1%
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. 6.00% 2/15/25 (a)		100,000		102,500
Crown Americas LLC / Crown Americas Capital Corp. 4.75% 2/1/26 (a)		65,000		64,025

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


Nonconvertible Bonds – continued
	Principal Amount		Value
INDUSTRIALS – continued
Containers & Packaging – continued
Crown Americas LLC / Crown Americas Capital Corp. V 4.25% 9/30/26	$	45,000	$	42,637
Crown Cork & Seal Co., Inc. 7.375% 12/15/26		35,000		39,725
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.125% 7/15/23 (a)		200,000		203,970

				452,857

IT Services – 0.0%
TTM Technologies, Inc. 5.625% 10/1/25 (a)		130,000		129,350

Trading Companies & Distributors – 0.3%
Air Lease Corp.:
2.125% 1/15/20		322,000		317,488
2.625% 9/4/18		99,000		99,051
3.375% 6/1/21		72,000		72,480
3.75% 2/1/22		51,000		51,699
4.25% 9/15/24		125,000		128,087
4.75% 3/1/20		125,000		129,328
Fly Leasing Ltd. 5.25% 10/15/24		100,000		98,750
FLY Leasing Ltd. 6.375% 10/15/21		200,000		208,000

				1,104,883


TOTAL INDUSTRIALS				4,093,176


INFORMATION TECHNOLOGY – 0.8%
IT Services – 0.0%
Conduent Finance, Inc. / Conduent Business Services LLC 10.50% 12/15/24 (a)		70,000		82,404

Semiconductors & Semiconductor Equipment – 0.1%
Entegris, Inc. 4.625% 2/10/26 (a)		105,000		103,163
Qorvo, Inc. 7.00% 12/1/25		220,000		239,250
Sensata Technologies BV 4.875% 10/15/23 (a)		200,000		203,000

				545,413

Software – 0.7%
Ascend Learning LLC 6.875% 8/1/25 (a)		75,000		77,250
IHS Markit Ltd. 4.75% 2/15/25 (a)		180,000		184,050
IMS Health, Inc. 5.00% 10/15/26 (a)		100,000		100,300



	Principal Amount		Value
MSCI, Inc. 4.75% 8/1/26 (a)	$	115,000	$	114,138
Open Text Corp. 5.625% 1/15/23 (a)		200,000		208,250
Rackspace Hosting, Inc. 8.625% 11/15/24 (a)		343,000		357,577
Solera LLC / Solera Finance, Inc. 10.50% 3/1/24 (a)		429,000		481,681
Sophia LP / Sophia Finance, Inc. 9.00% 9/30/23 (a)		200,000		210,750
Symantec Corp. 5.00% 4/15/25 (a)		85,000		86,709
The Nielsen Co. (Luxembourg) Sarl 5.00% 2/1/25 (a)		526,000		525,179
Veritas U.S., Inc. / Veritas Bermuda Ltd. 10.50% 2/1/24 (a)		80,000		76,400

				2,422,284


TOTAL INFORMATION TECHNOLOGY				3,050,101


MATERIALS – 1.0%
Chemicals – 0.7%
CF Industries, Inc.:
3.45% 6/1/23		200,000		193,750
4.95% 6/1/43		200,000		182,000
5.15% 3/15/34		200,000		196,000
Consolidated Energy Finance S.A. 6.875% 6/15/25 (a)		350,000		367,500
NOVA Chemicals Corp. 4.875% 6/1/24 (a)		230,000		227,125
Olin Corp. 5.00% 2/1/30		155,000		149,575
Platform Specialty Products Corp.:
5.875% 12/1/25 (a)		235,000		233,825
6.50% 2/1/22 (a)		200,000		205,250
The Chemours Co. 5.375% 5/15/27		280,000		280,700
TPC Group, Inc. 8.75% 12/15/20 (a)		225,000		226,125
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc. 5.375% 9/1/25 (a)		90,000		91,012
Tronox Finance LLC 7.50% 3/15/22 (a)		65,000		67,438
Valvoline, Inc. 4.375% 8/15/25		90,000		87,975
Venator Finance Sarl / Venator Materials LLC 5.75% 7/15/25 (a)		115,000		117,012

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


Nonconvertible Bonds – continued
	Principal Amount		Value
MATERIALS – continued
Chemicals – continued
W.R. Grace & Co.-Conn. 5.625% 10/1/24 (a)	$	100,000	$	105,000

				2,730,287

Metals & Mining – 0.3%
BHP Billiton Finance (USA) Ltd. 6.75% 10/19/75 (a)(b)		200,000		227,000
Corp. Nacional del Cobre de Chile 4.50% 8/1/47 (a)		200,000		199,512
Corporacion Nacional del Cobre de Chile (Codelco) (Reg. S) 4.50% 8/13/23		200,000		208,275
First Quantum Minerals Ltd. 6.50% 3/1/24 (a)		200,000		198,750
Freeport-McMoRan, Inc. 3.55% 3/1/22		308,000		299,623

				1,133,160

TOTAL MATERIALS				3,863,447


REAL ESTATE – 3.3%
Equity Real Estate Investment Trusts (REITs) – 1.9%
American Tower Corp. 2.80% 6/1/20		100,000		99,446
Brixmor Operating Partnership LP:
3.25% 9/15/23		194,000		187,824
3.85% 2/1/25		100,000		97,521
3.875% 8/15/22		71,000		71,558
4.125% 6/15/26		530,000		521,775
CoreCivic, Inc. 5.00% 10/15/22		85,000		86,913
DDR Corp.:
3.625% 2/1/25		39,000		37,672
4.25% 2/1/26		191,000		189,377
Digital Realty Trust LP:
3.40% 10/1/20		99,000		100,103
3.95% 7/1/22		405,000		416,025
4.75% 10/1/25		310,000		327,178
Duke Realty LP 3.75% 12/1/24		18,000		18,212
Equinix, Inc. 5.75% 1/1/25		200,000		209,000
Government Properties Income Trust 3.75% 8/15/19		191,000		192,409
HCP, Inc.:
3.875% 8/15/24		195,000		195,466
4.00% 6/1/25		943,000		946,371
Lexington Realty Trust 4.40% 6/15/24		444,000		438,083



	Principal Amount		Value
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. 4.50% 9/1/26	$	305,000	$	290,512
Omega Healthcare Investors, Inc.:
4.375% 8/1/23		647,000		644,492
4.50% 1/15/25 to 4/1/27		1,524,000		1,465,794
4.75% 1/15/28		283,000		273,940
Regency Centers Corp. 3.75% 11/15/22		190,000		191,197
Retail Opportunity Investments Partnership LP 4.00% 12/15/24		11,000		10,570

				7,011,438

Real Estate Management & Development – 1.4%
Brandywine Operating Partnership LP:
3.95% 11/15/27		190,000		183,044
4.10% 10/1/24		1,156,000		1,154,745
CBRE Services, Inc. 5.00% 3/15/23		347,000		355,901
Corporate Office Properties LP:
5.00% 7/1/25		96,000		99,601
5.25% 2/15/24		1,194,000		1,255,670
Liberty Property LP:
3.75% 4/1/25		50,000		50,037
4.125% 6/15/22		473,000		488,165
Mack-Cali Realty LP 3.15% 5/15/23		468,000		425,917
Tanger Properties LP:
3.125% 9/1/26		96,000		87,984
3.75% 12/1/24		35,000		34,332
The Howard Hughes Corp. 5.375% 3/15/25 (a)		100,000		98,625
Ventas Realty LP:
3.125% 6/15/23		38,000		37,229
3.50% 2/1/25		486,000		476,588
3.75% 5/1/24		201,000		201,896
4.00% 3/1/28		130,000		128,667
4.125% 1/15/26		34,000		34,326
WP Carey, Inc. 4.00% 2/1/25		182,000		179,966

				5,292,693

TOTAL REAL ESTATE				12,304,131


TELECOMMUNICATION SERVICES – 2.2%
Communications Equipment – 0.1%
Radiate Holdco LLC / Radiate Finance, Inc. 6.625% 2/15/25 (a)		200,000		191,500

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


Nonconvertible Bonds – continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES – continued
Diversified Telecommunication Services – 1.3%
Altice Financing S.A. 7.50% 5/15/26 (a)	$	300,000	$	302,250
Altice Finco S.A. 8.125% 1/15/24 (a)		200,000		204,500
AT&T, Inc.:
2.45% 6/30/20		524,000		518,414
3.60% 2/17/23		171,000		171,385
6.30% 1/15/38		290,000		334,374
Frontier Communications Corp. 7.05% 10/1/46		214,000		119,305
Intelsat Jackson Holdings S.A.:
8.00% 2/15/24 (a)		403,000		423,150
9.50% 9/30/22 (a)		200,000		229,000
Level 3 Financing, Inc.:
5.375% 1/15/24		105,000		104,475
5.625% 2/1/23		211,000		213,110
Qwest Corp.:
6.75% 12/1/21		130,000		138,826
7.25% 9/15/25		90,000		96,832
SFR Group S.A. 7.375% 5/1/26 (a)		200,000		193,060
Telecom Italia SpA 5.303% 5/30/24 (a)		200,000		207,250
Verizon Communications, Inc.:
2.625% 2/21/20		359,000		358,266
5.012% 8/21/54		220,000		217,925
5.50% 3/16/47		809,000		883,816

				4,715,938

Media – 0.4%
Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/47		1,301,000		1,287,776
DISH DBS Corp. 5.00% 3/15/23		322,000		295,837

				1,583,613

Wireless Telecommunication Services – 0.4%
Sable International Finance Ltd. 6.875% 8/1/22 (a)		100,000		106,000
Sprint Corp.:
7.125% 6/15/24		200,000		196,875
7.875% 9/15/23		419,000		433,665
T-Mobile USA, Inc.:
4.50% 2/1/26		155,000		152,094
4.75% 2/1/28		50,000		48,769
5.125% 4/15/25		322,000		325,220



	Principal Amount		Value
6.375% 3/1/25	$	259,000	$	273,245

				1,535,868


TOTAL TELECOMMUNICATION SERVICES				8,026,919


UTILITIES – 1.4%
Electric Utilities – 1.2%
DPL, Inc. 7.25% 10/15/21		701,000		764,090
Dynegy, Inc. 8.00% 1/15/25 (a)		527,000		572,454
Emera US Finance LP:
2.15% 6/15/19		37,000		36,645
2.70% 6/15/21		36,000		35,321
3.55% 6/15/26		57,000		54,874
Exelon Corp. 2.85% 6/15/20		473,000		471,017
FirstEnergy Corp.:
4.25% 3/15/23		1,171,000		1,205,216
7.375% 11/15/31		473,000		623,650
InterGen N.V. 7.00% 6/30/23 (a)		90,000		89,775
IPALCO Enterprises, Inc.:
3.45% 7/15/20		154,000		154,402
3.70% 9/1/24		100,000		97,791
NextEra Energy Operating Partners LP 4.25% 9/15/24 (a)		20,000		19,725
NSG Holdings LLC / NSG Holdings, Inc. 7.75% 12/15/25 (a)		196,805		215,501
The Cleveland Electric Illuminating Co. 5.95% 12/15/36		146,000		175,049

				4,515,510

Independent Power and Renewable Electricity Producers – 0.1%
NRG Energy, Inc. 6.25% 5/1/24		125,000		129,375
The AES Corp. 4.875% 5/15/23		125,000		126,094

				255,469

Multi-Utilities – 0.1%
Dominion Energy, Inc. 3 month U.S. LIBOR + 2.300% 3.993% 9/30/66 (b)(d)		22,000		20,735
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a)		175,000		180,469

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


Nonconvertible Bonds – continued
	Principal Amount		Value
UTILITIES – continued
Multi-Utilities – continued
Sempra Energy 6.00% 10/15/39	$	106,000	$	130,682

				331,886


TOTAL UTILITIES				5,102,865


TOTAL NONCONVERTIBLE BONDS (Cost $115,307,829)				114,450,973


U.S Government Agency – Mortgage Securities – 17.7%
Fannie Mae – 9.6%
Fannie Mae:
2.50% 4/1/32		119,603		116,894
3.00% 5/1/31 to 2/1/48		9,329,327		9,105,076
3.00% 3/1/48 (c)		500,000		484,518
3.50% 12/1/25 to 12/1/47		9,492,361		9,524,437
3.50% 3/1/48 (c)		300,000		299,452
4.00% 9/1/41 to 10/1/47		4,211,435		4,338,293
4.00% 4/1/48 (c)		4,700,000		4,806,852
4.50% 8/1/33 to 3/1/47		3,012,058		3,173,606
4.50% 3/1/48 (c)		900,000		942,680
5.00% 2/1/38 to 1/1/44		1,536,250		1,656,125
5.50% 6/1/38 to 5/1/44		820,682		899,576
6.00% 7/1/37		278,761		305,456


TOTAL FANNIE MAE				35,652,965


Freddie Mac – 3.4%
Freddie Mac:
2.50% 7/1/31		74,993		73,391
3.00% 10/1/28 to 1/1/47		3,451,218		3,362,253
3.50% 3/1/32 to 12/1/47		5,984,582		6,009,652
4.00% 5/1/37 to 1/1/45		2,084,972		2,156,691
4.50% 1/1/42		516,158		546,281
5.00% 2/1/38		216,518		233,764
5.50% 6/1/41		43,458		47,864


TOTAL FREDDIE MAC				12,429,896


Ginnie Mae – 4.7%
Ginnie Mae:
3.00% 12/20/42 to 2/20/48		5,074,700		4,972,526
3.50% 12/20/41 to 10/20/47		7,145,855		7,206,547
4.00% 12/15/40 to 7/20/47		3,075,526		3,170,466
4.50% 5/20/41 to 2/20/44		133,664		139,967



	Principal Amount		Value
4.50% 4/1/48 (c)	$	1,650,000	$	1,714,226


TOTAL GINNIE MAE				17,203,732


TOTAL U.S GOVERNMENT AGENCY – MORTGAGE SECURITIES (Cost $66,828,565)				65,286,593


Collateralized Mortgage Obligations – 1.0%
PRIVATE SPONSOR – 1.0%
Citigroup Mortgage Loan Trust Series 2010-4, Class 4A5 5.00% 10/25/35 (a)		7,069		7,098
CSMC Trust Series 2017-PFHP, Class D 1 Month U.S. LIBOR + 2.250% 3.838% 12/15/30 (a)(b)		809,000		809,000
GAHR Commericial Mortgage Trust Series 2015-NRF, Class BFX 3.382% 12/15/34 (a)(b)		1,050,000		1,052,810
GAHR Commericial Mortgage Trust Series 2015-NRF, Class DFX 3.382% 12/15/34 (a)(b)		1,283,000		1,278,744
MSCG Trust Series 2016-SNR, Class A 3.348% 11/15/34 (a)(b)		205,000		200,675
MSCG Trust Series 2016-SNR, Class B 4.181% 11/15/34 (a)		72,000		71,058
MSCG Trust Series 2016-SNR, Class C 5.205% 11/15/34 (a)		51,000		51,048


TOTAL PRIVATE SPONSOR				3,470,433


U.S. GOVERNMENT AGENCY – 0.0%
Ginnie Mae Series 2015-H21, Class JA 2.50% 6/20/65 (e)		97,354		97,081


TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,616,515)				3,567,514


Municipal Securities – 1.0%
Chicago Gen. Oblig. (Taxable Proj.) Series 2011-C1, 7.781% 1/1/35		90,000		103,709
Illinois Gen. Oblig. Series 2003:
4.35% 6/1/18		14,000		14,053
4.95% 6/1/23		960,000		989,962
5.10% 6/1/33		1,670,000		1,574,526
Illinois Gen. Oblig. Series 2011:
5.665% 3/1/18		10,000		10,000
5.877% 3/1/19		30,000		30,726
State of California:
7.30% 10/1/39		450,000		648,630

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


Municipal Securities – continued
	Principal Amount		Value
7.50% 4/1/34	$	100,000	$	142,774


TOTAL MUNICIPAL SECURITIES (Cost $3,563,066)				3,514,380


Foreign Government and Government Agency Obligations – 0.8%

Argentine Republic Government International Bond 5.875% 1/11/28		1,282,000		1,198,029
Brazilian Government International Bond 4.625% 1/13/28		1,028,000		1,011,552
Dominican Republic International Bond 5.950% 1/25/27 (a)		400,000		423,400
Dominican Republic International Bond (Reg. S) 5.500% 1/27/25		400,000		412,500


TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,128,735)				3,045,481


Asset-Backed Securities – 0.8%

AASET Trust Series 2017-1A, Class A 3.967% 5/16/42 (a)		1,091,583		1,086,807
Apollo Aviation Securitization Equity Trust Series 2018-1A, Class A 3.844% 1/16/38 (a)		276,880		276,879
Blackbird Capital Aircraft Lease Securitization Ltd. Series 2016-1A, Class A 4.213% 12/16/41 (a)(b)		347,745		354,672
CAM Mortgage Trust Series 2016-2, Class A2 5.00% 6/15/57 (a)(b)		600,000		596,075
DB Master Finance LLC:
3.629% 3.629% 11/20/47 (a)		168,577		166,765
4.03% 4.030% 11/20/47 (a)		291,270		291,641



	Principal Amount		Value
Thunderbolt Aircraft Lease Ltd. Series 2017-A, Class A 4.212% 5/17/32 (a)(b)	$	236,607	$	238,491


TOTAL ASSET-BACKED SECURITIES (Cost $3,015,079)				3,011,330


Money Market Funds – 6.1%
	Shares

Fidelity Cash Central Fund, 1.41% (f) (Cost $22,666,950)		22,663,239		22,667,772


TOTAL INVESTMENT IN SECURITIES – 101.2% (Cost $381,408,364)				374,435,999

NET OTHER ASSETS (LIABILITIES) – (1.2%)				(4,357,691	)


NET ASSETS – 100.0%			$	370,078,308

Legend

(a)

(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)

Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e)

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.

(f)

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

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

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

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

Fidelity Corporate Bond ETF, Fidelity Limited Term Bond ETF and Fidelity Total 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.

The Funds 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. Each Fund’s Schedule of Investments lists each of the Fidelity Central Funds held as of year end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management Inc. (FIMM) an affiliate of Fidelity Management & Research Company (FMR). Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are 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 (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

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 – Investments 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. The following summarizes the significant accounting policies of the Funds:

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 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, 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 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:

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, 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.

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 February 28, 2018, is included at the end of each Fund’s Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Funds’ investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of NYSE Arca, normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on 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. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statements of Operations. Debt obligations 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. 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. 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 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 redemptions in kind, financing transactions, capital loss carryforwards 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:

Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal year end and is subject to adjustment.

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. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. The Funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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.

Restricted Securities. The 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 is included at the end of each applicable Fund’s Schedule of Investments.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, certain Funds transacted in TBA securities that involved 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. The Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the 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 each 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, the Fund’s 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.

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, were as follows:

Securities received or delivered in-kind through subscriptions and redemptions were as follows:

Management Fee. Fidelity Investments Money Management Inc. (the investment adviser), an affiliate of FMR, 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 .45% of each Fund’s average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense and taxes. The management fee is reduced by an amount equal to the fees and expenses paid by each fund to the independent Trustees.

Effective April 1, 2018, the Board approved an amendment to the management contract to reduce the management fee from an annual rate of .45% to .36% of each Fund’s average net assets.

Interfund Trades. The Funds may purchase from or sell securities to other Fidelity Funds 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

The Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the “line of credit”) to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statements of Operations, and are as follows:

Through arrangements with each applicable Fund’s custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund’s management fee. During the period, these credits reduced management fees by the following amounts:

The 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 stocks 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 defray the costs associated with the issuance and redemption of Creation Units.

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

The Funds may invest a portion of their 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.

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2017 to February 28, 2018).

For each fund, 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 each Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in each Fund’s annualized expense ratio used to calculate the expense estimates in the table below.

For each fund, the second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in each Fund’s annualized expense ratio used to calculate the expense estimates 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.

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Investments Money Management, Inc. (FIMM), an affiliate of Fidelity Management & Research Company (FMR), and the sub-advisory agreements (together, the Advisory Contracts) for each fund. FIMM and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of each fund’s Advisory Contracts, including the services and support provided to each fund and its shareholders. The Board has established four standing committees (Committees) – Operations, Audit, FairValuation, and Governance and Nominating – each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of each fund’s Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of each fund’s Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board’s annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2017 meeting, the Board unanimously determined to renew each fund’s Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness of each fund’s management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with each fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as each fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for each fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees’ counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of each fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board’s decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of each fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity’s competitors, and that each fund’s shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in that fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity’s staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity, and also considered the funds’ investment objectives, strategies, and related investment philosophies. The Independent Trustees also had discussions with senior management of Fidelity’s investment operations and investment groups. 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 each fund. Additionally, the Board considered the portfolio managers’ investments, if any, in the funds that they manage.

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, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity’s global investment organization. The Board also noted 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, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers, and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping services for each fund; (ii) the nature and extent of the supervision of third party service providers, principally State Street Bank and Trust Company, each fund’s transfer agent and custodian, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, each fund’s compliance policies and procedures.

Board Approval of Investment Advisory Contracts and Management Fees – continued

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 or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity’s investment research process, which includes meetings with management of issuers in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity’s global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain lower-priced share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for certain funds; (ix) introducing a new pricing structure for certain funds of funds that is expected to reduce overall expenses paid by shareholders; (x) rationalizing product lines and gaining increased efficiencies through proposals for fund mergers and share class consolidations; (xi) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xii) implementing enhancements to further strengthen Fidelity’s product line to increase investors’ probability of success in achieving their investment goals, including retirement income goals.

Investment Performance. The Board considered whether each fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and performance history. The Board noted that there were portfolio management changes for Fidelity Corporate Bond ETF in September 2016 and for Fidelity Total Bond ETF in September 2016.

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for each fund for different time periods, measured against a securities market index (“benchmark index”) and a peer group of funds with similar objectives (“peer group”), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund’s benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund’s performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for each fund and an appropriate benchmark index and peer group for the most recent one-year period.

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

Competitiveness of Management Fee and Total Expense Ratio. The Board considered each fund’s management fee and total expense ratio compared to “mapped groups” of competitive funds and classes created for the purpose of facilitating the Trustees’ competitive analysis of management fees and total expenses. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board’s management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the charts below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group.” The Total Mapped Group comparison focuses on a fund’s standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than a fund’s. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had

lower, management fees than a fund. The funds’ actual TMG %s and the number of funds in the Total Mapped Group are in the charts below. The “Asset-Size Peer Group” (ASPG) comparison focuses on a fund’s standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund’s management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which a fund’s management fee rate ranked, is also included in the charts and considered by the Board.

Board Approval of Investment Advisory Contracts and Management Fees – continued

The Board noted that each fund’s management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2016.

The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the “group fee” component of the management fee of funds with such management fee structures. The Committee’s focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component (such as the funds) and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that each fund’s management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each fund’s total expense ratio, the Board considered the fund’s all-inclusive 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 FIMM under the all-inclusive arrangement. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for each fund. As part of its review, the Board also considered the current and historical total expense ratios of each fund compared to competitive fund median expenses. Each fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that each fund’s total expense ratio ranked equal to the competitive median for 2016.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that an ad hoc joint committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity’s institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that each fund’s total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund’s shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with each fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity’s audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity’s profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity’s non-fund businesses and potential fall-out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the funds’ business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of each fund and was satisfied that the profitability was not excessive.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including each fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which each fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board recognized that due to each fund’s current contractual arrangements its expense ratio will not decline if the fund’s operating costs decrease as assets grow, or rise as assets decrease. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds’ advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity’s fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity’s compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) the terms of Fidelity’s contractual and voluntary expense cap and waiver arrangements with the funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity’s transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity’s long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the approach to considering “fall-out” benefits; (xi) the impact of money market reform on Fidelity’s money market funds, including with respect to costs and profitability; (xii) the funds’ share class structures and distribution channels, including the impact of the Department of Labor’s new fiduciary rule on the funds’ distribution arrangements; and (xiii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds’ fair valuation policies.

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 structures are fair and reasonable, and that each fund’s Advisory Contracts should be renewed.

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Merrimack Street Trust’s Board of Trustees.

(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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

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.

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.



Performance and Investment Summary			3

Investments			6

Financial Statements			34

Notes			41

Shareholder Expense Example			45

Board Approval of Investment Advisory Contracts and Management Fees			47


Fiscal Periods Ended February 28, 2018
Average Annual Total Returns	Past 1 Year		Life of fund
Fidelity Corporate Bond ETF – NAV^A		1.72%		2.74%
Fidelity Corporate Bond ETF – Market Price^B		1.50%		2.55%
Bloomberg Barclays U.S. Credit Bond Index^A		2.12%		2.75%


Periods Ended March 31, 2018
Average Annual Total Returns	Past 1 Year		Life of fund
Fidelity Corporate Bond ETF – NAV^A		1.94%		2.69%
Fidelity Corporate Bond ETF – Market Price^B		1.22%		2.41%
Bloomberg Barclays U.S. Credit Bond Index^A		2.59%		2.77%


Periods Ended March 31, 2018
Average Annual Total Returns	Past 1 Year		Life of fund
Fidelity Limited Term Bond ETF – NAV^A		0.29%		1.34%
Fidelity Limited Term Bond ETF – Market Price^B		0.47%		1.24%
Bloomberg Barclays U.S. 1-5 Year Government/Credit Bond Index^A		0.19%		1.01%
Fidelity Limited Term Composite Index^SMA		0.55%		1.37%
Bloomberg Barclays U.S. 1-5 Year Credit Bond Index^A		0.70%		1.53%
Bloomberg Barclays U.S. 1-5 Year Government Bond Index^A		-0.09%		0.72%


Fiscal Periods Ended February 28, 2018
Average Annual Total Returns	Past 1 Year		Life of fund
Fidelity Total Bond ETF – NAV^A		0.83%		2.27%
Fidelity Total Bond ETF – Market Price^B		0.91%		2.18%
Bloomberg Barclays U.S. Aggregate Bond Index^A		0.51%		1.72%
Bloomberg Barclays U.S. Universal Bond Index^A		0.97%		2.13%


Valuation Inputs at Reporting Date:
Description	Total		Level 1		Level 2		Level 3
Investments in Securities:
Corporate Bonds	$	76,482,277	$	—	$	76,482,277	$	—
U.S. Treasury Obligations		1,006,448		—		1,006,448		—
Municipal Securities		886,984		—		886,984		—
Foreign Government and Government Agency Obligations		305,012		—		305,012		—
Money Market Funds		2,494,047		2,494,047		—		—

Total Investments in Securities:	$	81,174,768	$	2,494,047	$	78,680,721	$	—


United States	79.1	%
Canada	5.6	%
United Kingdom	3.2	%
Netherlands	2.0	%
Ireland	1.9	%
Mexico	1.8	%
Switzerland	1.3	%
Italy	1.3	%
France	1.3	%
Others (Individually Less Than 1%)	2.3	%

	99.8	%


United States	85.8	%
United Kingdom	2.9	%
Netherlands	1.9	%
Canada	1.5	%
Japan	1.4	%
Germany	1.1	%
France	1.0	%
Ireland	1.0	%
Others (Individually Less Than 1%)	2.9	%

	99.5	%


United States	92.0	%
Mexico	1.5	%
Netherlands	1.3	%
United Kingdom	1.3	%
Luxembourg	1.2	%
Canada	1.2	%
Others (Individually Less Than 1%)	2.7	%

	101.2	%


Statements of Assets and Liabilities
February 28, 2018 (Unaudited)
	Fidelity Corporate Bond ETF			Fidelity Limited Term Bond ETF			Fidelity Total Bond ETF
Assets
Investments in securities, at value – See accompanying schedule:
Unaffiliated issuers	$	78,680,721		$	169,588,750		$	351,768,227
Fidelity Central Funds		2,494,047			442,186			22,667,772

Total Investments in Securities	$	81,174,768		$	170,030,936		$	374,435,999
Cash		—			—			94,531
Receivable for investments sold
Regular delivery		—			15,996,603			2,928,076
Delayed delivery		—			—			9,320,774
Receivable for fund shares sold		—			69,396,518			—
Interest receivable		804,583			802,665			2,253,389

Total assets		81,979,351			256,226,722			389,032,769


Liabilities
Payable for investments purchased
Regular delivery		379,753			84,709,185			472,823
Delayed delivery		—			368,925			17,589,250
Distributions payable		217,800			168,100			755,200
Accrued management fees		30,658			39,911			137,188

Total liabilities		628,211			85,286,121			18,954,461


Net Assets	$	81,351,140		$	170,940,601		$	370,078,308

Net Assets consist of:
Paid in capital	$	83,239,545		$	173,869,671		$	378,972,542
Distributions in excess of net investment income		(800	)		(150,139	)		(796,733	)
Accumulated undistributed net realized gain (loss) on investments		(545,758	)		(1,060,410	)		(1,125,136	)
Net unrealized appreciation (depreciation) on investments		(1,341,847	)		(1,718,521	)		(6,972,365	)


Net Assets	$	81,351,140		$	170,940,601		$	370,078,308

Shares outstanding		1,650,000			3,450,000			7,552,000

Net Asset Value, offering price and redemption price per share	$	49.30		$	49.55		$	49.00

Investments at cost – Unaffiliated issuers	$	80,022,599		$	171,307,278		$	358,741,414
Investments at cost – Fidelity Central Funds		2,494,016			442,178			22,666,950


Investments at cost	$	82,516,615		$	171,749,456		$	381,408,364


Statements of Operations
For the six months ended February 28, 2018 (Unaudited)
	Fidelity Corporate Bond ETF			Fidelity Limited Term Bond ETF			Fidelity Total Bond ETF
Investment Income
Interest	$	1,318,966		$	1,171,618		$	4,595,080
Income from Fidelity Central Funds		12,422			3,861			94,683

Total income		1,331,388			1,175,479			4,689,763


Expenses
Management fees		174,792			238,052			744,852
Independent trustees’ compensation		141			199			598
Miscellaneous		102			151			432

Total expenses before reductions		175,035			238,402			745,882
Expense reductions		(223	)		(79	)		(442	)

Total expenses		174,812			238,323			745,440


Net investment income (loss)		1,156,576			937,156			3,944,323

Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investment securities		53,247			(211,390	)		(288,512	)

Total net realized gain (loss)		53,247			(211,390	)		(288,512	)

Change in net unrealized appreciation (depreciation) on investment securities		(2,799,595	)		(2,018,223	)		(10,068,562	)
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds		1			(5	)		—
Change in net unrealized appreciation (depreciation) on Delayed delivery commitments		—			—			1,464

Total change in net unrealized appreciation (depreciation)		(2,799,594	)		(2,018,228	)		(10,067,098	)

Net gain (loss)		(2,746,347	)		(2,229,618	)		(10,355,610	)

Net increase (decrease) in net assets resulting from operations	$	(1,589,771	)	$	(1,292,462	)	$	(6,411,287	)


Statements of Changes in Net Assets
	Fidelity Corporate Bond ETF						Fidelity Limited Term Bond ETF
	Six months ended February 28, 2018 (Unaudited)			Year ended August 31, 2017			Six months ended February 28, 2018 (Unaudited)			Year ended August 31, 2017
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,156,576		$	1,394,453		$	937,156		$	2,293,672
Net realized gain (loss)		53,247			(274,714	)		(211,390	)		(1,365,621	)
Change in net unrealized appreciation (depreciation)		(2,799,594	)		444,394			(2,018,228	)		(674,742	)

Net increase (decrease) in net assets resulting from operations		(1,589,771	)		1,564,133			(1,292,462	)		253,309

Distributions to shareholders from net investment income		(1,157,800	)		(1,393,000	)		(944,700	)		(2,390,750	)
Distributions to shareholders from net realized gain		—			—			—			(270,000	)
Return of capital		—			—			—			—

Total distributions		(1,157,800	)		(1,393,000	)		(944,700	)		(2,660,750	)

Share transactions
Proceeds from sales of shares		20,387,851			22,580,772			74,432,862			157,030,081
Cost of shares redeemed		—			—			(4,980,509	)		(185,655,781	)

Net increase (decrease) in net assets resulting from share transactions		20,387,851			22,580,772			69,452,353			(28,625,700	)

Total increase (decrease) in net assets		17,640,280			22,751,905			67,215,191			(31,033,141	)

Net Assets
Beginning of period		63,710,860			40,958,955			103,725,410			134,758,551

End of period	$	81,351,140		$	63,710,860		$	170,940,601		$	103,725,410

Undistributed (distributions in excess of) net investment income included in net assets at end of period	$	(800	)	$	424		$	(150,139	)	$	(142,595	)

Other Information
Shares
Sold		400,000			450,000			1,500,000			3,100,000
Redeemed		—			—			(100,000	)		(3,700,000	)

Net increase (decrease)		400,000			450,000			1,400,000			(600,000	)


Statements of Changes in Net Assets
	Fidelity Total Bond ETF
	Six months ended February 28, 2018 (Unaudited)			Year ended August 31, 2017
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	3,944,323		$	5,747,835
Net realized gain (loss)		(288,512	)		(699,506	)
Change in net unrealized appreciation (depreciation)		(10,067,098	)		615,140

Net increase (decrease) in net assets resulting from operations		(6,411,287	)		5,663,469

Distributions to shareholders from net investment income		(4,146,636	)		(6,113,660	)
Distributions to shareholders from net realized gain		—			—
Return of capital		—			(68,676	)

Total distributions		(4,146,636	)		(6,182,336	)

Share transactions
Proceeds from sales of shares		100,221,808			108,035,520
Cost of shares redeemed		—			—

Net increase (decrease) in net assets resulting from share transactions		100,221,808			108,035,520

Total increase (decrease) in net assets		89,663,885			107,516,653

Net Assets
Beginning of period		280,414,423			172,897,770

End of period	$	370,078,308		$	280,414,423

Undistributed (distributions in excess of) net investment income included in net assets at end of period	$	(796,733	)	$	(594,420	)

Other Information
Shares
Sold		2,000,000			2,150,000
Redeemed		—			—

Net increase (decrease)		2,000,000			2,150,000


Financial Highlights
				Fidelity Corporate Bond ETF
	Six months ended February 28, 2018 (Unaudited)			Year ended August 31, 2017			Year ended August 31, 2016			Year ended August 31, 2015^A
Selected Per-Share Data
Net asset value, beginning of period	$	50.97		$	51.20		$	48.59		$	50.06

Income from Investment Operations
Net investment income (loss)^B		0.752			1.444			1.587			1.342
Net realized and unrealized gain (loss)		(1.684	)		(0.243	)^C		2.805			(1.448	)

Total from investment operations		(0.932	)		1.201			4.392			(0.106	)

Distributions from net investment income		(0.738	)		(1.431	)		(1.594	)		(1.364	)
Distributions from net realized gain		—			—			(0.188	)		—

Total distributions		(0.738	)		(1.431	)		(1.782	)		(1.364	)

Net asset value, end of period	$	49.30		$	50.97		$	51.20		$	48.59

Total Return^D,E		(1.84	)%		2.43	%		9.30	%		(0.26	)%
Ratios to Average Net Assets^F,G
Expense before reductions		.45	%^H		.45	%		.45	%		.45	%^H
Expenses net of fee waivers, if any		.45	%^H		.45	%		.45	%		.45	%^H
Expenses net of all reductions		.45	%^H		.45	%		.45	%		.45	%^H
Net investment income (loss)		3.00	%^H		2.87	%		3.24	%		2.96	%^H
Supplemental Data
Net assets, end of period (000 omitted)	$	81,351		$	63,711		$	40,959		$	29,152
Portfolio turnover rate^I		36	%^J		29	%		37	%		28	%^J,K


	Tax cost		Gross unrealized appreciation		Gross unrealized depreciation			Net unrealized appreciation (depreciation) on securities and other investments
Fidelity Corporate Bond ETF	$	82,539,692	$	333,631	$	(1,698,555	)	$	(1,364,924	)
Fidelity Limited Term Bond ETF		171,756,570		47,295		(1,772,929	)		(1,725,634	)
Fidelity Total Bond ETF		381,460,601		1,235,693		(8,260,295	)		(7,024,602	)


*Semiannual Report*		2


		3		*Semiannual Report*


*Semiannual Report*		4


		5		*Semiannual Report*


	No-expiration Short-term			No-expiration Long-term			Total capital loss carryforward
Fidelity Corporate Bond ETF	$	(134,504	)	$	(429,850	)	$	(564,354	)
Fidelity Limited Term Bond ETF		(839,640	)		(9,167	)		(848,807	)
Fidelity Total Bond ETF		(629,036	)		(194,998	)		(824,034	)


	Purchases		Sales
Fidelity Corporate Bond ETF	$	39,477,916	$	16,268,968
Fidelity Limited Term Bond ETF		28,223,733		9,056,995
Fidelity Total Bond ETF		30,281,285		16,774,898


	In-kind Subscriptions		In-kind Redemptions
Fidelity Corporate Bond ETF	$	—	$	—
Fidelity Limited Term Bond ETF		—		—
Fidelity Total Bond ETF		16,205,628		—


	Amount
Fidelity Corporate Bond ETF	$	223
Fidelity Limited Term Bond ETF		79
Fidelity Total Bond ETF		442


	Annualized Expense Ratio^A		Beginning Account Value September 1, 2017		Ending Account Value February 28, 2018		Expenses Paid During Period^BSeptember 1, 2017 to February 28, 2018
Fidelity Corporate Bond ETF		0.45%
Actual			$	1,000.00	$	981.60	$	2.21	^D
Hypothetical^C			$	1,000.00	$	1,022.56	$	2.26	^D
Fidelity Limited Term Bond ETF		0.45%
Actual			$	1,000.00	$	988.10	$	2.22	^D
Hypothetical^C			$	1,000.00	$	1,022.56	$	2.26	^D
Fidelity Total Bond ETF		0.45%
Actual			$	1,000.00	$	982.30	$	2.21	^D
Hypothetical^C			$	1,000.00	$	1,022.56	$	2.26	^D


	Annualized Expense Ratio^A		Expenses Paid
Fidelity Corporate Bond ETF		0.36%
Actual			$	1.77
Hypothetical^B			$	1.81
Fidelity Limited Term Bond ETF		0.36%
Actual			$	1.77
Hypothetical^B			$	1.81
Fidelity Total Bond ETF		0.36%
Actual			$	1.77
Hypothetical^B			$	1.81


Item 12.		Exhibits

(a)	(1)	Not applicable.

(a)	(2)	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.

(a)	(3)	Not applicable.

(b)		Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.


By:		/s/ Stephanie J. Dorsey
		Stephanie J. Dorsey
		President and Treasurer

Date:		April 24, 2018