0000945908-23-000092.txt : 20230420 0000945908-23-000092.hdr.sgml : 20230420 20230420112946 ACCESSION NUMBER: 0000945908-23-000092 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 17 CONFORMED PERIOD OF REPORT: 20230228 FILED AS OF DATE: 20230420 DATE AS OF CHANGE: 20230420 EFFECTIVENESS DATE: 20230420 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY COVINGTON TRUST CENTRAL INDEX KEY: 0000945908 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07319 FILM NUMBER: 23831974 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 0000945908 S000062078 Fidelity High Yield Factor ETF C000201027 Fidelity High Yield Factor ETF FDHY 0000945908 S000072125 Fidelity Preferred Securities & Income ETF C000227886 Fidelity Preferred Securities & Income ETF FPFD 0000945908 S000075296 Fidelity Sustainable High Yield ETF C000234213 Fidelity Sustainable High Yield ETF FSYD N-CSRS 1 filing6239.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549



FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number    811-07319



Fidelity Covington Trust

 (Exact name of registrant as specified in charter)



245 Summer St., Boston, MA 02210

 (Address of principal executive offices)       (Zip code)



Margaret Carey, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)





Registrant's telephone number, including area code:

617-563-7000





Date of fiscal year end:

August 31





Date of reporting period:

February 28, 2023



Item 1.

Reports to Stockholders







Fidelity® High Yield Factor ETF
Fidelity® Preferred Securities & Income ETF
 
 
Semi-Annual Report
February 28, 2023

Contents

Fidelity® High Yield Factor ETF

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Preferred Securities & Income ETF

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Liquidity Risk Management Program

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
TransDigm, Inc.
3.7
 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
2.2
 
Occidental Petroleum Corp.
2.2
 
CCO Holdings LLC/CCO Holdings Capital Corp.
2.1
 
Ford Motor Credit Co. LLC
2.0
 
Royal Caribbean Cruises Ltd.
1.9
 
New Fortress Energy, Inc.
1.9
 
FMG Resources Pty Ltd.
1.6
 
Performance Food Group, Inc.
1.6
 
LPL Holdings, Inc.
1.5
 
 
20.7
 
 
Market Sectors (% of Fund's net assets)
 
Energy
17.2
 
Diversified Financial Services
11.7
 
Technology
4.6
 
Automotive & Auto Parts
4.4
 
Aerospace
4.3
 
 
Quality Diversification (% of Fund's net assets)
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 15.9%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of derivatives, if applicable.
 
 
Fidelity® High Yield Factor ETF
Showing Percentage of Net Assets
Nonconvertible Bonds - 96.6%
 
 
Principal
Amount (a)
 
Value ($)
 
Aerospace - 4.3%
 
 
 
Bombardier, Inc. 7.5% 2/1/29 (b)
 
1,500,000
1,470,064
Hexcel Corp. 4.95% 8/15/25
 
269,000
262,376
TransDigm, Inc.:
 
 
 
 4.875% 5/1/29
 
4,029,000
3,455,003
 6.25% 3/15/26 (b)
 
3,054,000
3,013,522
 6.75% 8/15/28 (b)(c)
 
3,630,000
3,611,850
 8% 12/15/25 (b)
 
133,000
135,926
TOTAL AEROSPACE
 
 
11,948,741
Air Transportation - 2.3%
 
 
 
Air Canada 3.875% 8/15/26 (b)
 
280,000
252,233
Allegiant Travel Co. 7.25% 8/15/27 (b)
 
320,000
314,400
American Airlines, Inc.:
 
 
 
 7.25% 2/15/28 (b)
 
215,000
210,313
 11.75% 7/15/25 (b)
 
534,900
586,668
American Airlines, Inc. / AAdvantage Loyalty IP Ltd. 5.5% 4/20/26 (b)
 
645,634
628,362
Bristow Group, Inc. 6.875% 3/1/28 (b)
 
166,000
156,267
Rand Parent LLC 8.5% 2/15/30 (b)
 
2,000,000
1,920,210
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b)
 
1,115,000
1,120,296
United Airlines, Inc. 4.375% 4/15/26 (b)
 
762,900
718,026
United Continental Holdings, Inc. 4.875% 1/15/25
 
369,000
358,557
TOTAL AIR TRANSPORTATION
 
 
6,265,332
Automotive & Auto Parts - 4.4%
 
 
 
Adient Global Holdings Ltd. 8.25% 4/15/31 (b)(c)
 
2,000,000
2,000,000
Allison Transmission, Inc. 3.75% 1/30/31 (b)
 
4,455,000
3,697,650
Ford Motor Credit Co. LLC:
 
 
 
 3.37% 11/17/23
 
787,000
771,063
 4.687% 6/9/25
 
1,143,000
1,092,805
 4.95% 5/28/27
 
2,400,000
2,236,056
 6.95% 3/6/26
 
1,400,000
1,399,832
Gates Global LLC/Gates Global Co. 6.25% 1/15/26 (b)
 
175,000
170,991
Jaguar Land Rover Automotive PLC 7.75% 10/15/25 (b)
 
175,000
172,375
LCM Investments Holdings 4.875% 5/1/29 (b)
 
276,000
224,331
Thor Industries, Inc. 4% 10/15/29 (b)
 
443,000
356,910
TOTAL AUTOMOTIVE & AUTO PARTS
 
 
12,122,013
Banks & Thrifts - 0.6%
 
 
 
AG TTMT Escrow Issuer LLC 8.625% 9/30/27 (b)
 
500,000
506,158
PennyMac Financial Services, Inc. 5.75% 9/15/31 (b)
 
600,000
478,046
UniCredit SpA 7.296% 4/2/34 (b)(d)
 
289,693
272,986
VistaJet Malta Finance PLC / XO Management Holding, Inc. 7.875% 5/1/27 (b)
 
450,000
429,194
TOTAL BANKS & THRIFTS
 
 
1,686,384
Broadcasting - 2.3%
 
 
 
DISH Network Corp. 11.75% 11/15/27 (b)
 
2,000,000
2,026,450
Nexstar Broadcasting, Inc. 4.75% 11/1/28 (b)
 
2,147,000
1,877,058
Sirius XM Radio, Inc. 3.125% 9/1/26 (b)
 
1,970,000
1,741,652
Univision Communications, Inc. 7.375% 6/30/30 (b)
 
505,000
478,943
WMG Acquisition Corp. 3.75% 12/1/29 (b)
 
300,000
253,250
TOTAL BROADCASTING
 
 
6,377,353
Building Materials - 1.0%
 
 
 
Builders FirstSource, Inc. 4.25% 2/1/32 (b)
 
1,880,000
1,578,307
Jeld-Wen, Inc. 4.625% 12/15/25 (b)
 
471,000
423,268
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b)
 
867,000
721,778
TOTAL BUILDING MATERIALS
 
 
2,723,353
Cable/Satellite TV - 3.4%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 1/15/34 (b)
 
3,045,000
2,279,342
 4.5% 5/1/32
 
2,005,000
1,586,857
 6.375% 9/1/29 (b)
 
1,640,000
1,529,029
 7.375% 3/1/31 (b)
 
500,000
485,053
CSC Holdings LLC 4.5% 11/15/31 (b)
 
1,550,000
1,100,467
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b)
 
613,000
548,033
DISH DBS Corp. 5.125% 6/1/29
 
2,100,000
1,240,859
Dolya Holdco 18 DAC 5% 7/15/28 (b)
 
650,000
564,205
TOTAL CABLE/SATELLITE TV
 
 
9,333,845
Capital Goods - 1.8%
 
 
 
ATS Automation Tooling System, Inc. 4.125% 12/15/28 (b)
 
480,000
419,055
Chart Industries, Inc.:
 
 
 
 7.5% 1/1/30 (b)
 
370,000
375,550
 9.5% 1/1/31 (b)
 
1,000,000
1,045,000
EnerSys 4.375% 12/15/27 (b)
 
1,247,000
1,132,092
Patrick Industries, Inc. 4.75% 5/1/29 (b)
 
897,000
762,549
Resideo Funding, Inc. 4% 9/1/29 (b)
 
1,523,000
1,247,961
TOTAL CAPITAL GOODS
 
 
4,982,207
Chemicals - 3.5%
 
 
 
Avient Corp. 5.75% 5/15/25 (b)
 
105,000
102,915
CVR Partners LP 6.125% 6/15/28 (b)
 
320,000
284,248
INEOS Finance PLC 6.75% 5/15/28 (b)
 
1,000,000
976,360
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b)
 
480,000
422,169
Koppers, Inc. 6% 2/15/25 (b)
 
750,000
725,078
NOVA Chemicals Corp. 4.25% 5/15/29 (b)
 
709,000
587,017
Nufarm Australia Ltd. 5% 1/27/30 (b)
 
455,000
397,217
Olin Corp. 5% 2/1/30
 
2,170,300
1,974,874
The Chemours Co. LLC:
 
 
 
 4.625% 11/15/29 (b)
 
2,280,000
1,850,379
 5.75% 11/15/28 (b)
 
2,000,000
1,756,565
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.125% 4/1/29 (b)
 
400,000
266,285
W.R. Grace Holding LLC 5.625% 8/15/29 (b)
 
270,000
216,487
TOTAL CHEMICALS
 
 
9,559,594
Consumer Products - 1.7%
 
 
 
BlueLinx Corp. 6% 11/15/29 (b)
 
425,000
362,954
Evergreen AcqCo./TVI, Inc. 9.75% 4/26/28 (b)
 
500,000
494,455
Ferrellgas LP/Ferrellgas Finance Corp. 5.375% 4/1/26 (b)
 
556,000
500,531
Grubhub Holdings, Inc. 5.5% 7/1/27 (b)
 
286,000
225,940
Prestige Brands, Inc. 3.75% 4/1/31 (b)
 
401,000
325,813
Rakuten Group, Inc. 10.25% 11/30/24 (b)
 
1,000,000
1,000,049
TripAdvisor, Inc. 7% 7/15/25 (b)
 
1,403,000
1,404,883
Vista Outdoor, Inc. 4.5% 3/15/29 (b)
 
510,000
413,738
TOTAL CONSUMER PRODUCTS
 
 
4,728,363
Containers - 0.7%
 
 
 
Ball Corp. 5.25% 7/1/25
 
263,000
258,775
BWAY Holding Co. 7.875% 8/15/26 (b)
 
600,000
603,750
Graphic Packaging International, Inc. 3.75% 2/1/30 (b)
 
273,000
232,651
Sealed Air Corp.:
 
 
 
 5% 4/15/29 (b)
 
400,000
365,273
 6.125% 2/1/28 (b)
 
390,000
384,131
TOTAL CONTAINERS
 
 
1,844,580
Diversified Financial Services - 11.7%
 
 
 
BrightSphere Investment Group, Inc. 4.8% 7/27/26
 
1,707,000
1,566,173
Burford Capital Global Finance LLC 6.25% 4/15/28 (b)
 
600,000
523,136
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b)
 
810,000
700,650
Castlelake Aviation Finance 5% 4/15/27 (b)
 
414,000
373,225
Compass Group Diversified Holdings LLC 5% 1/15/32 (b)
 
500,000
395,084
Credit Acceptance Corp. 6.625% 3/15/26
 
1,479,000
1,384,802
Enova International, Inc. 8.5% 9/15/25 (b)
 
525,000
503,891
First Cash Financial Services, Inc. 5.625% 1/1/30 (b)
 
3,060,000
2,706,690
goeasy Ltd. 4.375% 5/1/26 (b)
 
2,962,000
2,622,168
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
 
 
 
 4.375% 2/1/29
 
2,300,000
1,986,516
 5.25% 5/15/27
 
4,520,000
4,203,600
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (b)
 
345,000
291,356
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (b)
 
598,000
486,278
LPL Holdings, Inc.:
 
 
 
 4% 3/15/29 (b)
 
3,000,000
2,639,428
 4.375% 5/15/31 (b)
 
1,599,000
1,383,184
MidCap Financial Issuer Trust 5.625% 1/15/30 (b)
 
250,000
196,447
Nationstar Mortgage Holdings, Inc.:
 
 
 
 5.5% 8/15/28 (b)
 
44,000
37,373
 6% 1/15/27 (b)
 
500,000
460,000
Navient Corp. 4.875% 3/15/28
 
900,000
765,126
OneMain Finance Corp.:
 
 
 
 3.875% 9/15/28
 
4,014,000
3,191,130
 6.625% 1/15/28
 
371,000
345,478
Oxford Finance LLC / Oxford Finance Co. 6.375% 2/1/27 (b)
 
639,000
602,253
PRA Group, Inc.:
 
 
 
 5% 10/1/29 (b)
 
1,881,000
1,603,007
 7.375% 9/1/25 (b)
 
1,171,000
1,167,143
 8.375% 2/1/28 (b)
 
1,000,000
1,008,750
StoneX Group, Inc. 8.625% 6/15/25 (b)
 
1,240,000
1,247,172
TOTAL DIVERSIFIED FINANCIAL SERVICES
 
 
32,390,060
Diversified Media - 0.6%
 
 
 
Lamar Media Corp. 3.625% 1/15/31
 
2,069,000
1,704,090
Energy - 17.2%
 
 
 
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b)
 
185,000
177,939
Altus Midstream LP 5.875% 6/15/30 (b)
 
240,000
221,810
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.375% 6/15/29 (b)
 
633,000
569,700
Antero Resources Corp. 8.375% 7/15/26 (b)
 
275,000
284,297
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b)
 
102,000
96,827
Baytex Energy Corp. 8.75% 4/1/27 (b)
 
145,000
147,538
Buckeye Partners LP 4.5% 3/1/28 (b)
 
330,000
289,776
California Resources Corp. 7.125% 2/1/26 (b)
 
140,000
141,057
Chord Energy Corp. 6.375% 6/1/26 (b)
 
508,000
489,885
Citgo Petroleum Corp.:
 
 
 
 6.375% 6/15/26 (b)
 
715,000
690,322
 7% 6/15/25 (b)
 
624,000
614,253
Civitas Resources, Inc. 5% 10/15/26 (b)
 
1,088,000
1,005,849
CNX Midstream Partners LP 4.75% 4/15/30 (b)
 
403,000
330,393
CNX Resources Corp. 6% 1/15/29 (b)
 
105,000
95,196
Comstock Resources, Inc. 5.875% 1/15/30 (b)
 
3,000,000
2,580,000
Coronado Finance Pty Ltd. 10.75% 5/15/26 (b)
 
160,000
165,741
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (b)
 
409,000
372,067
CVR Energy, Inc. 5.75% 2/15/28 (b)
 
3,000,000
2,662,650
Delek Logistics Partners LP 7.125% 6/1/28 (b)
 
2,263,000
1,991,440
DT Midstream, Inc. 4.125% 6/15/29 (b)
 
800,000
686,000
Energy Ventures GoM LLC / EnVen Finance Corp. 11.75% 4/15/26 (b)
 
210,000
216,883
Genesis Energy LP/Genesis Energy Finance Corp. 8.875% 4/15/30
 
600,000
602,947
Harvest Midstream I LP 7.5% 9/1/28 (b)
 
250,000
241,090
Hess Midstream Partners LP:
 
 
 
 4.25% 2/15/30 (b)
 
175,000
147,767
 5.5% 10/15/30 (b)
 
125,000
112,500
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (b)
 
500,000
464,544
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b)
 
460,000
417,445
Independence Energy Finance LLC 7.25% 5/1/26 (b)
 
552,000
510,600
Leeward Renewable Energy LLC 4.25% 7/1/29 (b)
 
537,000
456,923
Matador Resources Co. 5.875% 9/15/26
 
165,300
159,383
Moss Creek Resources Holdings, Inc. 7.5% 1/15/26 (b)
 
310,000
278,644
Murphy Oil Corp.:
 
 
 
 5.75% 8/15/25
 
543,000
537,486
 6.375% 7/15/28
 
20,000
19,306
Nabors Industries, Inc. 7.375% 5/15/27 (b)
 
200,000
192,756
New Fortress Energy, Inc. 6.5% 9/30/26 (b)
 
5,873,000
5,373,783
Northern Oil & Gas, Inc. 8.125% 3/1/28 (b)
 
306,000
295,290
NuStar Logistics LP 5.625% 4/28/27
 
160,000
148,941
Occidental Petroleum Corp.:
 
 
 
 6.125% 1/1/31
 
3,410,000
3,434,245
 6.625% 9/1/30
 
2,201,000
2,261,528
 7.5% 5/1/31
 
260,000
278,200
Oceaneering International, Inc. 4.65% 11/15/24
 
301,000
289,736
Patterson-UTI Energy, Inc. 5.15% 11/15/29
 
270,000
239,974
PBF Holding Co. LLC/PBF Finance Corp. 6% 2/15/28
 
465,000
433,766
PDC Energy, Inc. 6.125% 9/15/24
 
433,000
428,645
Perenti Finance Pty Ltd. 6.5% 10/7/25 (b)
 
530,000
515,955
Range Resources Corp. 8.25% 1/15/29
 
799,000
819,974
Rockcliff Energy II LLC 5.5% 10/15/29 (b)
 
480,000
440,352
Rockies Express Pipeline LLC 4.8% 5/15/30 (b)
 
704,000
608,704
SM Energy Co. 6.75% 9/15/26
 
450,000
434,157
Summit Midstream Holdings LLC 8.5% (b)(e)
 
300,000
284,849
Sunoco LP/Sunoco Finance Corp.:
 
 
 
 4.5% 5/15/29
 
1,728,000
1,516,517
 4.5% 4/30/30
 
1,600,000
1,386,400
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.:
 
 
 
 6% 9/1/31 (b)
 
500,000
427,267
 7.5% 10/1/25 (b)
 
105,000
104,507
Talos Production, Inc. 12% 1/15/26
 
105,000
110,814
Tap Rock Resources LLC 7% 10/1/26 (b)
 
240,000
219,600
Tervita Corp. 11% 12/1/25 (b)
 
510,000
548,250
Transocean Titan Finance Ltd. 8.375% 2/1/28 (b)
 
222,000
226,595
U.S.A. Compression Partners LP:
 
 
 
 6.875% 4/1/26
 
2,131,000
2,042,329
 6.875% 9/1/27
 
196,000
185,581
Venture Global Calcasieu Pass LLC:
 
 
 
 4.125% 8/15/31 (b)
 
248,000
213,280
 6.25% 1/15/30 (b)
 
2,000,000
1,972,500
Vital Energy, Inc.:
 
 
 
 7.75% 7/31/29 (b)
 
114,000
98,725
 10.125% 1/15/28
 
76,000
74,688
W&T Offshore, Inc. 11.75% 2/1/26 (b)
 
500,000
505,105
Weatherford International Ltd. 6.5% 9/15/28 (b)
 
700,000
687,750
Western Gas Partners LP:
 
 
 
 3.35% 2/1/25
 
2,276,000
2,157,111
 4.3% 2/1/30
 
110,000
97,454
 4.5% 3/1/28
 
92,000
84,816
 5.5% 2/1/50
 
715,000
583,721
TOTAL ENERGY
 
 
47,502,123
Entertainment/Film - 0.5%
 
 
 
Live Nation Entertainment, Inc. 4.875% 11/1/24 (b)
 
1,364,000
1,323,080
Environmental - 1.0%
 
 
 
Clean Harbors, Inc. 6.375% 2/1/31 (b)
 
120,000
119,146
Covanta Holding Corp. 4.875% 12/1/29 (b)
 
630,000
532,134
GFL Environmental, Inc. 4% 8/1/28 (b)
 
2,426,000
2,111,129
TOTAL ENVIRONMENTAL
 
 
2,762,409
Food & Drug Retail - 0.6%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 6.5% 2/15/28 (b)
 
1,000,000
994,350
Parkland Corp. 5.875% 7/15/27 (b)
 
614,000
575,908
TOTAL FOOD & DRUG RETAIL
 
 
1,570,258
Food/Beverage/Tobacco - 2.9%
 
 
 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b)
 
82,000
79,890
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (b)
 
1,012,000
888,122
Performance Food Group, Inc. 4.25% 8/1/29 (b)
 
5,160,000
4,505,351
Turning Point Brands, Inc. 5.625% 2/15/26 (b)
 
1,420,000
1,285,196
Vector Group Ltd. 5.75% 2/1/29 (b)
 
1,330,000
1,144,715
TOTAL FOOD/BEVERAGE/TOBACCO
 
 
7,903,274
Gaming - 1.5%
 
 
 
Caesars Entertainment, Inc. 6.25% 7/1/25 (b)
 
832,300
825,378
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (b)
 
1,721,000
1,598,379
Churchill Downs, Inc. 5.5% 4/1/27 (b)
 
246,000
233,299
International Game Technology PLC 4.125% 4/15/26 (b)
 
105,000
97,913
MGM Resorts International 6.75% 5/1/25
 
151,000
151,373
Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875% 11/1/26 (b)
 
677,000
626,225
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 7.125% 2/15/31 (b)
 
600,000
598,800
TOTAL GAMING
 
 
4,131,367
Healthcare - 3.5%
 
 
 
AMN Healthcare 4% 4/15/29 (b)
 
1,180,000
1,008,900
Avantor Funding, Inc. 3.875% 11/1/29 (b)
 
1,394,000
1,205,810
Bausch Health Companies, Inc. 4.875% 6/1/28 (b)
 
3,392,000
2,115,777
Community Health Systems, Inc. 4.75% 2/15/31 (b)
 
2,000,000
1,545,000
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b)
 
345,000
293,139
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b)
 
2,124,000
1,750,537
Hologic, Inc. 4.625% 2/1/28 (b)
 
101,000
94,182
Modivcare, Inc. 5.875% 11/15/25 (b)
 
895,000
845,220
Mozart Borrower LP 5.25% 10/1/29 (b)
 
885,000
726,306
Tenet Healthcare Corp. 4.625% 7/15/24
 
204,000
200,685
TOTAL HEALTHCARE
 
 
9,785,556
Homebuilders/Real Estate - 3.9%
 
 
 
American Finance Trust, Inc./American Finance Operating Partnership LP 4.5% 9/30/28 (b)
 
1,015,000
801,109
Arcosa, Inc. 4.375% 4/15/29 (b)
 
270,000
235,920
Brookfield Property REIT, Inc./BPR Nimbus LLC/BPR Cumulus LLC/GGSI Sellco LLC 4.5% 4/1/27 (b)
 
1,093,000
936,450
HAT Holdings I LLC/HAT Holdings II LLC:
 
 
 
 3.375% 6/15/26 (b)
 
1,667,000
1,446,123
 6% 4/15/25 (b)
 
900,000
867,393
iStar Financial, Inc. 4.25% 8/1/25
 
365,000
363,160
Kennedy-Wilson, Inc.:
 
 
 
 4.75% 2/1/30
 
290,000
222,874
 5% 3/1/31
 
3,000,000
2,295,459
LGI Homes, Inc. 4% 7/15/29 (b)
 
860,000
673,445
Office Properties Income Trust 2.65% 6/15/26
 
153,000
121,135
Service Properties Trust:
 
 
 
 4.65% 3/15/24
 
113,000
110,366
 4.75% 10/1/26
 
155,000
134,463
 5.25% 2/15/26
 
181,000
164,258
 7.5% 9/15/25
 
408,300
404,699
Starwood Property Trust, Inc.:
 
 
 
 3.75% 12/31/24 (b)
 
977,000
919,496
 4.375% 1/15/27 (b)
 
502,000
435,210
Uniti Group LP / Uniti Group Finance, Inc. 10.5% 2/15/28 (b)
 
650,000
650,130
TOTAL HOMEBUILDERS/REAL ESTATE
 
 
10,781,690
Hotels - 1.3%
 
 
 
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (b)
 
625,000
668,750
Hilton Domestic Operating Co., Inc. 3.75% 5/1/29 (b)
 
2,050,000
1,777,452
Travel+Leisure Co. 6.625% 7/31/26 (b)
 
370,000
362,691
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b)
 
933,000
845,031
TOTAL HOTELS
 
 
3,653,924
Insurance - 0.5%
 
 
 
MGIC Investment Corp. 5.25% 8/15/28
 
645,000
603,075
NMI Holdings, Inc. 7.375% 6/1/25 (b)
 
747,000
743,265
TOTAL INSURANCE
 
 
1,346,340
Leisure - 3.3%
 
 
 
Carnival Corp.:
 
 
 
 4% 8/1/28 (b)
 
2,520,000
2,128,972
 6% 5/1/29 (b)
 
472,000
366,047
 7.625% 3/1/26 (b)
 
102,000
91,863
 9.875% 8/1/27 (b)
 
410,000
417,376
NCL Corp. Ltd. 8.375% 2/1/28 (b)
 
500,000
509,395
Royal Caribbean Cruises Ltd.:
 
 
 
 5.5% 8/31/26 (b)
 
1,300,000
1,194,466
 11.625% 8/15/27 (b)
 
4,000,000
4,268,200
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (b)
 
235,000
201,738
TOTAL LEISURE
 
 
9,178,057
Metals/Mining - 3.0%
 
 
 
Cleveland-Cliffs, Inc. 5.875% 6/1/27
 
596,000
578,400
Eldorado Gold Corp. 6.25% 9/1/29 (b)
 
300,000
263,796
ERO Copper Corp. 6.5% 2/15/30 (b)
 
500,000
423,125
First Quantum Minerals Ltd. 6.875% 10/15/27 (b)
 
390,000
364,894
FMG Resources Pty Ltd.:
 
 
 
 4.375% 4/1/31 (b)
 
127,000
107,332
 5.875% 4/15/30 (b)
 
4,740,000
4,461,666
HudBay Minerals, Inc. 4.5% 4/1/26 (b)
 
859,000
771,245
Mineral Resources Ltd.:
 
 
 
 8% 11/1/27 (b)
 
485,000
482,575
 8.125% 5/1/27 (b)
 
883,000
881,465
TOTAL METALS/MINING
 
 
8,334,498
Paper - 1.4%
 
 
 
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (b)
 
360,000
348,386
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (b)
 
2,000,000
1,874,920
Louisiana-Pacific Corp. 3.625% 3/15/29 (b)
 
700,000
584,871
Resolute Forest Products, Inc. 4.875% 3/1/26 (b)
 
515,000
527,556
Sylvamo Corp. 7% 9/1/29 (b)
 
600,000
593,990
TOTAL PAPER
 
 
3,929,723
Restaurants - 1.8%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:
 
 
 
 3.5% 2/15/29 (b)
 
370,000
313,778
 4% 10/15/30 (b)
 
3,015,000
2,490,149
Yum! Brands, Inc.:
 
 
 
 4.75% 1/15/30 (b)
 
130,000
118,463
 5.375% 4/1/32
 
2,230,000
2,066,074
 6.875% 11/15/37
 
123,000
127,873
TOTAL RESTAURANTS
 
 
5,116,337
Services - 3.9%
 
 
 
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6.625% 7/15/26 (b)
 
723,000
686,676
Aramark Services, Inc. 5% 4/1/25 (b)
 
150,000
145,504
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75% 7/15/27 (b)
 
518,000
486,887
Booz Allen Hamilton, Inc. 4% 7/1/29 (b)
 
502,000
440,390
CoreCivic, Inc. 8.25% 4/15/26
 
429,000
434,307
Fair Isaac Corp. 4% 6/15/28 (b)
 
2,023,000
1,837,208
Fluor Corp. 4.25% 9/15/28
 
517,000
466,485
Iron Mountain, Inc.:
 
 
 
 5% 7/15/28 (b)
 
2,507,000
2,272,395
 5.25% 7/15/30 (b)
 
711,000
619,949
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b)
 
900,000
850,860
TriNet Group, Inc. 3.5% 3/1/29 (b)
 
2,691,000
2,246,993
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b)
 
270,000
251,162
TOTAL SERVICES
 
 
10,738,816
Steel - 0.5%
 
 
 
Carpenter Technology Corp.:
 
 
 
 6.375% 7/15/28
 
36,000
34,491
 7.625% 3/15/30
 
500,000
498,529
Commercial Metals Co. 4.125% 1/15/30
 
1,000,000
871,932
TOTAL STEEL
 
 
1,404,952
Super Retail - 2.2%
 
 
 
Asbury Automotive Group, Inc.:
 
 
 
 4.75% 3/1/30
 
1,614,000
1,398,289
 5% 2/15/32 (b)
 
680,000
579,498
Bath & Body Works, Inc. 9.375% 7/1/25 (b)
 
980,000
1,036,350
Group 1 Automotive, Inc. 4% 8/15/28 (b)
 
2,423,000
2,080,703
Sally Holdings LLC 5.625% 12/1/25
 
105,000
102,375
Sonic Automotive, Inc.:
 
 
 
 4.625% 11/15/29 (b)
 
500,000
412,500
 4.875% 11/15/31 (b)
 
450,000
358,058
TOTAL SUPER RETAIL
 
 
5,967,773
Technology - 4.6%
 
 
 
Atkore, Inc. 4.25% 6/1/31 (b)
 
892,000
776,540
Consensus Cloud Solutions, Inc. 6.5% 10/15/28 (b)
 
988,000
862,030
Gen Digital, Inc.:
 
 
 
 5% 4/15/25 (b)
 
193,000
187,472
 6.75% 9/30/27 (b)
 
3,000,000
2,948,843
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b)
 
480,000
402,134
Iron Mountain Information Management Services, Inc. 5% 7/15/32 (b)
 
3,065,000
2,527,828
Match Group Holdings II LLC 5.625% 2/15/29 (b)
 
170,000
156,619
MicroStrategy, Inc. 6.125% 6/15/28 (b)
 
195,000
161,850
Open Text Holdings, Inc. 4.125% 12/1/31 (b)
 
2,100,000
1,671,075
Picard Midco, Inc. 6.5% 3/31/29 (b)
 
1,149,000
995,333
PTC, Inc. 3.625% 2/15/25 (b)
 
440,000
418,365
Seagate HDD Cayman 3.125% 7/15/29
 
203
163
Uber Technologies, Inc. 7.5% 5/15/25 (b)
 
1,387,000
1,401,060
Xerox Corp. 4.8% 3/1/35
 
250,000
163,846
Xerox Holdings Corp. 5% 8/15/25 (b)
 
105,000
97,730
TOTAL TECHNOLOGY
 
 
12,770,888
Telecommunications - 3.0%
 
 
 
Altice Financing SA 5.75% 8/15/29 (b)
 
700,000
572,467
Altice France SA:
 
 
 
 5.125% 7/15/29 (b)
 
1,390,000
1,072,553
 5.5% 10/15/29 (b)
 
410,000
319,672
Cogent Communications Group, Inc. 7% 6/15/27 (b)
 
2,055,000
1,988,213
Dycom Industries, Inc. 4.5% 4/15/29 (b)
 
1,155,000
1,012,386
Frontier Communications Holdings LLC:
 
 
 
 5% 5/1/28 (b)
 
1,163,000
1,020,533
 6% 1/15/30 (b)
 
355,000
283,556
 8.75% 5/15/30 (b)
 
305,000
308,431
Lumen Technologies, Inc. 4.5% 1/15/29 (b)
 
755,000
399,018
Sabre GLBL, Inc. 9.25% 4/15/25 (b)
 
254,900
250,909
Telecom Italia Capital SA 7.2% 7/18/36
 
1,031,000
905,610
Windstream Escrow LLC 7.75% 8/15/28 (b)
 
251,000
205,117
TOTAL TELECOMMUNICATIONS
 
 
8,338,465
Textiles/Apparel - 0.1%
 
 
 
Foot Locker, Inc. 4% 10/1/29 (b)
 
127,000
104,407
Kontoor Brands, Inc. 4.125% 11/15/29 (b)
 
250,000
211,875
TOTAL TEXTILES/APPAREL
 
 
316,282
Transportation Ex Air/Rail - 0.7%
 
 
 
XPO Escrow Sub LLC 7.5% 11/15/27 (b)
 
2,000,000
2,029,115
Utilities - 0.9%
 
 
 
Calpine Corp.:
 
 
 
 3.75% 3/1/31 (b)
 
1,176,000
954,713
 5.25% 6/1/26 (b)
 
105,000
100,638
Solaris Midstream Holdings LLC 7.625% 4/1/26 (b)
 
346,000
341,728
TerraForm Power Operating LLC 5% 1/31/28 (b)
 
153,000
140,760
Vistra Operations Co. LLC 5.625% 2/15/27 (b)
 
1,148,000
1,087,868
TOTAL UTILITIES
 
 
2,625,707
 
TOTAL NONCONVERTIBLE BONDS
  (Cost $287,955,146)
 
 
 
267,176,549
 
 
 
 
Money Market Funds - 3.2%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 4.63% (f)
 
  (Cost $8,906,567)
 
 
8,904,786
8,906,567
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.8%
  (Cost $296,861,713)
 
 
 
276,083,116
NET OTHER ASSETS (LIABILITIES) - 0.2%  
610,262
NET ASSETS - 100.0%
276,693,378
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $206,644,937 or 74.7% of net assets.
 
(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)
Security is perpetual in nature with no stated maturity date.
 
(f)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 4.63%
7,518,427
46,180,313
44,792,173
164,276
-
-
8,906,567
0.0%
Total
7,518,427
46,180,313
44,792,173
164,276
-
-
8,906,567
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of February 28, 2023, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Corporate Bonds
267,176,549
-
267,176,549
-
  Money Market Funds
8,906,567
8,906,567
-
-
 Total Investments in Securities:
276,083,116
8,906,567
267,176,549
-
 
Fidelity® High Yield Factor ETF
Financial Statements (Unaudited)
Statement of Assets and Liabilities
 
 
 
February 28, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $287,955,146)
$
267,176,549
 
 
Fidelity Central Funds (cost $8,906,567)
8,906,567
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $296,861,713)
 
 
$
276,083,116
Cash
 
 
35,751
Receivable for investments sold
 
 
2,803,912
Interest receivable
 
 
4,197,745
Distributions receivable from Fidelity Central Funds
 
 
20,303
  Total assets
 
 
283,140,827
Liabilities
 
 
 
 
Payable for investments purchased on a delayed delivery basis
$
4,970,000
 
 
Distributions payable
1,374,000
 
 
Accrued management fee
103,449
 
 
  Total Liabilities
 
 
 
6,447,449
Net Assets  
 
 
$
276,693,378
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
320,307,369
Total accumulated earnings (loss)
 
 
 
(43,613,991)
Net Assets
 
 
$
276,693,378
Net Asset Value , offering price and redemption price per share ($276,693,378 ÷ 6,000,000 shares)
 
 
$
46.12
 
Statement of Operations
 
 
 
Six months ended
February 28, 2023
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
5,273
Interest  
 
 
7,989,545
Income from Fidelity Central Funds  
 
 
164,276
 Total Income
 
 
 
8,159,094
Expenses
 
 
 
 
Management fee
$
600,477
 
 
Independent trustees' fees and expenses
409
 
 
 Total expenses before reductions
 
600,886
 
 
 Expense reductions
 
(1,147)
 
 
 Total expenses after reductions
 
 
 
599,739
Net Investment income (loss)
 
 
 
7,559,355
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(5,558,715)
 
 
   Redemptions in-kind
 
(1,920,614)
 
 
Total net realized gain (loss)
 
 
 
(7,479,329)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
6,393,338
Net gain (loss)
 
 
 
(1,085,991)
Net increase (decrease) in net assets resulting from operations
 
 
$
6,473,364
Statement of Changes in Net Assets
 
 
Six months ended
February 28, 2023
(Unaudited)
 
Year ended
August 31, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
7,559,355
$
13,042,306
Net realized gain (loss)
 
(7,479,329)
 
 
(16,010,975)
 
Change in net unrealized appreciation (depreciation)
 
6,393,338
 
(32,513,552)
 
Net increase (decrease) in net assets resulting from operations
 
6,473,364
 
 
(35,482,221)
 
Distributions to shareholders
 
(7,694,550)
 
 
(19,199,200)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
22,996,706
 
122,215,264
Cost of shares redeemed
 
(20,078,039)
 
(70,069,896)
  Net increase (decrease) in net assets resulting from share transactions
 
2,918,667
 
 
52,145,368
 
Total increase (decrease) in net assets
 
1,697,481
 
 
(2,536,053)
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
274,995,897
 
277,531,950
 
End of period
$
276,693,378
$
274,995,897
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
500,000
 
2,350,000
Redeemed
 
(450,000)
 
(1,350,000)
Net increase (decrease)
 
50,000
 
1,000,000
 
 
 
 
 
 
Financial Highlights
Fidelity® High Yield Factor ETF
 
 
Six months ended
(Unaudited) February 28, 2023  
 
Years ended August 31, 2022  
 
2021    
 
2020  
 
2019  
 
2018   A  
  Selected Per-Share Data  
 
 
 
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
46.22
$
56.07
$
54.49
$
52.32
$
50.21
$
50.00
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
 
1.305
 
2.383
 
2.250
 
2.518
 
2.589
 
.578
     Net realized and unrealized gain (loss)
 
(.075)
 
(8.748)
 
2.335
 
2.323
 
2.006
 
.209
  Total from investment operations
 
1.230  
 
(6.365)  
 
4.585  
 
4.841  
 
4.595
 
.787
  Distributions from net investment income
 
(1.330)
 
(2.355)
 
(2.195)
 
(2.429)
 
(2.485)
 
(.577)
  Distributions from net realized gain
 
-
 
(1.128)
 
(.808)
 
(.242)
 
-
 
-
     Total distributions
 
(1.330)
 
(3.483)
 
(3.003)
 
(2.671)
 
(2.485)
 
(.577)
  Net asset value, end of period
$
46.12
$
46.22
$
56.07
$
54.49
$
52.32
$
50.21
 Total Return   D,E,F
 
2.72%
 
(11.85)%
 
8.66%
 
9.61%
 
9.48%
 
1.59%
 Ratios to Average Net Assets C,G,H
 
 
 
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.45% I
 
.45%
 
.45%
 
.45%
 
.44% J
 
.45% I
    Expenses net of fee waivers, if any
 
.45% I
 
.45%
 
.45%
 
.45%
 
.44% J
 
.45% I
    Expenses net of all reductions
 
.45% I
 
.45%
 
.45%
 
.45%
 
.44% J
 
.45% I
    Net investment income (loss)
 
5.72% I
 
4.64%
 
4.07%
 
4.84%
 
5.03%
 
5.21% I
 Supplemental Data
 
 
 
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
276,693
$
274,996
$
277,532
$
114,421
$
68,016
$
12,553
    Portfolio turnover rate K
 
54% I,L
 
72% L
 
177% L
 
179% L
 
76%
 
8% M
 
A For the period June 12, 2018 (commencement of operations) through August 31, 2018.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Based on net asset value.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized.
 
J The size and fluctuation of net assets and expense amounts may cause ratios to differ from contractual rates.
 
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
L Portfolio turnover rate excludes securities received or delivered in-kind.
 
M Amount not annualized.
 
 
Top Holdings (% of Fund's net assets)
 
PNC Financial Services Group, Inc. 5%
4.7
 
Wells Fargo & Co. 5.9%
4.2
 
Truist Financial Corp. 5.125% 12/31/99
3.1
 
JPMorgan Chase & Co. 4.55%
3.0
 
Bank of America Corp. 5.875%
2.6
 
Goldman Sachs Group, Inc. 4.4%
2.5
 
Morgan Stanley 5.3%
2.4
 
Citigroup, Inc. 6.3%
2.3
 
Charles Schwab Corp. 4%
2.2
 
Goldman Sachs Group, Inc. 3 month U.S. LIBOR + 2.870% 7.7333%
1.9
 
 
28.9
 
 
Market Sectors (% of Fund's net assets)
 
Financials
71.8
 
Utilities
10.1
 
Energy
7.6
 
Communication Services
3.4
 
Industrials
1.6
 
Real Estate
1.6
 
Consumer Discretionary
0.7
 
 
Quality Diversification (% of Fund's net assets)
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 7.5%
 
Fidelity® Preferred Securities & Income ETF
Showing Percentage of Net Assets
Nonconvertible Bonds - 12.0%
 
 
Principal
Amount (a)
 
Value ($)
 
COMMUNICATION SERVICES - 1.6%
 
 
 
Media - 0.4%
 
 
 
Paramount Global 6.25% 2/28/57 (b)
 
153,000
126,225
Wireless Telecommunication Services - 1.2%
 
 
 
Vodafone Group PLC 7% 4/4/79 (b)
 
400,000
392,119
TOTAL COMMUNICATION SERVICES
 
 
518,344
ENERGY - 2.0%
 
 
 
Oil, Gas & Consumable Fuels - 2.0%
 
 
 
Enterprise Products Operating LP:
 
 
 
 3 month U.S. LIBOR + 2.980% 7.8576% 8/16/77 (b)(c)
 
33,000
31,565
 5.25% 8/16/77 (b)
 
126,000
112,505
 5.375% 2/15/78 (b)
 
67,000
55,945
Transcanada Trust:
 
 
 
 5.3% 3/15/77 (b)
 
161,000
142,083
 5.5% 9/15/79 (b)
 
128,000
112,877
 5.625% 5/20/75 (b)
 
95,000
90,497
 5.875% 8/15/76 (b)
 
129,000
122,556
 
 
 
668,028
FINANCIALS - 6.2%
 
 
 
Diversified Financial Services - 0.9%
 
 
 
Apollo Management Holdings LP 4.95% 1/14/50 (b)(d)
 
324,000
279,450
Insurance - 5.3%
 
 
 
American International Group, Inc. 5.75% 4/1/48 (b)
 
129,000
124,485
Assurant, Inc. 7% 3/27/48 (b)
 
61,000
60,441
Liberty Mutual Group, Inc.:
 
 
 
 4.125% 12/15/51 (b)(d)
 
150,000
125,141
 4.3% 2/1/61 (d)
 
125,000
75,927
MetLife, Inc.:
 
 
 
 6.4% 12/15/66 (b)
 
319,000
320,158
 10.75% 8/1/69 (b)
 
128,000
171,520
Nippon Life Insurance Co. 3.4% 1/23/50 (b)(d)
 
100,000
86,959
PartnerRe Finance B LLC 4.5% 10/1/50 (b)
 
67,000
59,821
Prudential Financial, Inc.:
 
 
 
 3.7% 10/1/50 (b)
 
200,000
168,625
 5.125% 3/1/52 (b)
 
150,000
137,078
 6% 9/1/52 (b)
 
200,000
192,933
 6.75% 3/1/53 (b)
 
200,000
201,000
 
 
 
1,724,088
TOTAL FINANCIALS
 
 
2,003,538
UTILITIES - 2.2%
 
 
 
Electric Utilities - 1.3%
 
 
 
Emera, Inc. 6.75% 6/15/76 (b)
 
125,000
119,934
NextEra Energy Capital Holdings, Inc. 5.65% 5/1/79 (b)
 
329,000
304,325
 
 
 
424,259
Multi-Utilities - 0.9%
 
 
 
CMS Energy Corp. 3.75% 12/1/50 (b)
 
359,000
285,407
TOTAL UTILITIES
 
 
709,666
 
TOTAL NONCONVERTIBLE BONDS
  (Cost $4,365,475)
 
 
 
3,899,576
 
 
 
 
Nonconvertible Preferred Stocks - 24.4%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 1.8%
 
 
 
Diversified Telecommunication Services - 1.5%
 
 
 
AT&T, Inc. 4.75%
 
25,000
498,750
Wireless Telecommunication Services - 0.3%
 
 
 
U.S. Cellular Corp. 5.50%
 
6,000
98,940
TOTAL COMMUNICATION SERVICES
 
 
597,690
ENERGY - 1.1%
 
 
 
Oil, Gas & Consumable Fuels - 1.1%
 
 
 
DCP Midstream Partners LP:
 
 
 
 7.95% (b)
 
775
19,654
 Series B, 7.875% (b)
 
775
19,422
Energy Transfer LP:
 
 
 
 7.60% (b)
 
6,755
164,147
 7.625% (b)
 
2,960
71,810
 Series C, 7.375% (b)
 
2,623
63,896
 
 
 
338,929
FINANCIALS - 16.2%
 
 
 
Banks - 7.9%
 
 
 
Associated Banc-Corp. 6.625% (b)(e)
 
1,000
25,400
Bank of America Corp.:
 
 
 
 4.25%
 
4,750
88,398
 4.375%
 
20,000
387,200
Cadence Bank 5.50%
 
1,000
21,580
Cullen/Frost Bankers, Inc. Series B 4.45%
 
3,000
59,640
Fifth Third Bancorp Series K 4.95%
 
1,500
34,035
First Republic Bank:
 
 
 
 4.125%
 
10,000
175,600
 Series M, 4.00%
 
10,000
171,100
Huntington Bancshares, Inc. Series H, 4.50%
 
6,950
136,012
JPMorgan Chase & Co. 4.55%
 
47,900
970,454
KeyCorp 5.625%
 
1,738
41,243
Regions Financial Corp.:
 
 
 
 4.45%
 
2,500
48,150
 5.75% (b)
 
3,000
73,830
Truist Financial Corp. 4.75%
 
3,025
63,011
U.S. Bancorp:
 
 
 
 4.50%
 
3,000
60,960
 Series L, 3.75%
 
2,000
34,400
 Series M, 4.00%
 
5,000
91,250
Wells Fargo & Co. Series Z, 4.75%
 
5,000
100,150
 
 
 
2,582,413
Capital Markets - 3.6%
 
 
 
Affiliated Managers Group, Inc. 4.75%
 
3,000
58,740
Charles Schwab Corp. 4.45%
 
27,500
571,175
Morgan Stanley:
 
 
 
 Series K, 5.85% (b)
 
11,275
282,439
 Series O, 4.50%
 
2,300
43,332
Northern Trust Corp. Series E, 4.70%
 
1,000
21,420
Oaktree Capital Group LLC 6.55%
 
2,000
47,580
SCE Trust III 5.75% (b)
 
1,550
36,193
Stifel Financial Corp. Series D, 4.50%
 
5,000
94,750
 
 
 
1,155,629
Consumer Finance - 0.1%
 
 
 
Navient Corp. 6.00%
 
1,500
29,175
Diversified Financial Services - 1.1%
 
 
 
Equitable Holdings, Inc.:
 
 
 
 4.30%
 
2,000
38,000
 Series A 5.25%
 
3,000
66,150
KKR Group Finance Co. IX LLC 4.625%
 
10,000
188,000
Voya Financial, Inc. Series B, 5.35% (b)
 
2,550
61,430
 
 
 
353,580
Insurance - 3.5%
 
 
 
Aegon Funding Co. LLC 5.10%
 
3,950
81,844
Allstate Corp.:
 
 
 
 5.10%
 
12,000
273,000
 Series I, 4.75%
 
2,000
44,480
American Financial Group, Inc.:
 
 
 
 4.50%
 
2,000
38,800
 5.125%
 
1,000
21,680
Athene Holding Ltd.:
 
 
 
 Series C, 6.375% (b)
 
4,000
100,840
 Series D, 4.875%
 
5,425
102,370
 Series E, 7.75% (b)
 
1,000
26,050
MetLife, Inc. Series F 4.75%
 
4,000
87,000
PartnerRe Ltd. 4.875%
 
3,150
66,710
Prudential Financial, Inc. 4.125%
 
3,000
58,650
RenaissanceRe Holdings Ltd. Series G, 4.20%
 
1,550
26,784
W.R. Berkley Corp. 4.25%
 
11,000
212,850
 
 
 
1,141,058
TOTAL FINANCIALS
 
 
5,261,855
REAL ESTATE - 1.6%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 1.5%
 
 
 
Digital Realty Trust, Inc.:
 
 
 
 5.25%
 
750
16,823
 Series L, 5.20%
 
3,000
66,930
Public Storage 4.00%
 
20,000
368,600
Summit Hotel Properties, Inc. Series F, 5.875%
 
775
14,795
 
 
 
467,148
Real Estate Management & Development - 0.1%
 
 
 
Brookfield Property Partners LP:
 
 
 
 5.75%
 
1,550
27,141
 6.375%
 
825
15,106
 
 
 
42,247
TOTAL REAL ESTATE
 
 
509,395
UTILITIES - 3.7%
 
 
 
Electric Utilities - 2.3%
 
 
 
Pacific Gas & Electric Co. Series A
 
8,000
177,600
SCE Trust II 5.10%
 
705
14,678
SCE Trust V 5.45% (b)
 
1,550
35,387
Southern Co.:
 
 
 
 4.20%
 
13,000
253,240
 Series A, 4.95%
 
11,825
259,086
 
 
 
739,991
Independent Power and Renewable Electricity Producers - 0.1%
 
 
 
Brookfield Renewable Partners LP 5.25%
 
2,395
48,523
Multi-Utilities - 1.3%
 
 
 
Algonquin Power & Utilities Corp. Series A, 6.20% (b)
 
4,000
92,516
Brookfield Infrastructure Partners LP:
 
 
 
 5.125%
 
825
15,551
 Class A 5.00%
 
825
15,205
CMS Energy Corp. 5.875%
 
4,000
97,920
DTE Energy Co. 4.375%
 
2,825
56,924
NiSource, Inc. 6.50% (b)
 
4,000
100,400
SCE Trust VI
 
2,375
47,666
 
 
 
426,182
TOTAL UTILITIES
 
 
1,214,696
 
TOTAL NONCONVERTIBLE PREFERRED STOCKS
  (Cost $9,039,678)
 
 
 
7,922,565
 
 
 
 
Preferred Securities - 60.4%
 
 
Principal
Amount (a)
 
Value ($)
 
CONSUMER DISCRETIONARY - 0.7%
 
 
 
Automobiles - 0.7%
 
 
 
General Motors Financial Co., Inc. 5.7% 12/31/99 (b)(f)
 
227,000
210,486
ENERGY - 4.5%
 
 
 
Oil, Gas & Consumable Fuels - 4.5%
 
 
 
BP Capital Markets PLC:
 
 
 
 4.375% (b)(f)
 
125,000
121,591
 4.875% (b)(f)
 
450,000
416,514
Enbridge, Inc.:
 
 
 
 5.5% 7/15/77 (b)
 
126,000
117,224
 5.75% 7/15/80 (b)
 
126,000
119,072
 6% 1/15/77 (b)
 
68,000
65,363
 6.25% 3/1/78 (b)
 
123,000
117,701
Energy Transfer LP:
 
 
 
 3 month U.S. LIBOR + 4.020% 8.8916% (b)(c)(f)
 
125,000
118,870
 7.125% (b)(f)
 
300,000
272,959
EnLink Midstream Partners LP 3 month U.S. LIBOR + 4.110% 8.879% 12/31/99 (b)(c)(f)
 
31,000
27,551
Plains All American Pipeline LP 3 month U.S. LIBOR + 4.110% 8.9736% (b)(c)(f)
 
95,000
87,727
 
 
 
1,464,572
FINANCIALS - 49.4%
 
 
 
Banks - 32.4%
 
 
 
Bank of America Corp.:
 
 
 
 5.875% (b)(f)
 
863,000
829,389
 6.1% (b)(f)
 
100,000
101,780
 6.125% (b)(f)
 
100,000
98,041
Citigroup, Inc.:
 
 
 
 3.875% (b)(f)
 
511,000
459,017
 4.15% (b)(f)
 
89,000
76,574
 5.95% (b)(f)
 
418,000
415,752
 6.3% (b)(f)
 
745,000
741,050
Citizens Financial Group, Inc. 6% (b)(f)
 
247,000
241,148
Fifth Third Bancorp 4.5% (b)(f)
 
50,000
48,207
Huntington Bancshares, Inc.:
 
 
 
 4.45% 12/31/99 (b)(f)
 
574,000
535,894
 5.625% (b)(f)
 
351,000
335,393
 5.7% (b)(f)
 
184,000
183,931
JPMorgan Chase & Co.:
 
 
 
 5% (b)(f)
 
351,000
342,266
 6.1% (b)(f)
 
321,000
327,317
KeyCorp 5% (b)(f)
 
75,000
71,576
M&T Bank Corp.:
 
 
 
 3.5% (b)(f)
 
30,000
24,301
 5.125% (b)(f)
 
450,000
426,483
PNC Financial Services Group, Inc.:
 
 
 
 5% (b)(f)
 
1,592,000
1,510,119
 6% (b)(f)
 
225,000
218,106
Regions Financial Corp. 5.75% 12/31/99 (b)
 
75,000
74,611
SVB Financial Group:
 
 
 
 4.25% 12/31/99 (b)(f)
 
125,000
88,661
 4.7% 12/31/99 (b)(f)
 
60,000
41,465
Truist Financial Corp.:
 
 
 
 4.95% (b)(f)
 
50,000
49,503
 5.1% (b)(f)
 
478,000
468,583
 5.125% 12/31/99 (b)(f)
 
1,130,000
1,007,342
U.S. Bancorp:
 
 
 
 3.7% (b)(f)
 
275,000
232,616
 5.3% (b)(f)
 
100,000
92,169
Wells Fargo & Co.:
 
 
 
 3.9% (b)(f)
 
141,000
127,268
 5.9% (b)(f)
 
1,371,000
1,358,316
 
 
 
10,526,878
Capital Markets - 13.5%
 
 
 
Bank of New York Mellon Corp.:
 
 
 
 3.7% (b)(f)
 
425,000
390,058
 3.75% (b)(f)
 
96,000
80,870
 4.625% (b)(f)
 
200,000
186,137
Charles Schwab Corp.:
 
 
 
 4% (b)(f)
 
831,000
710,837
 5% (b)(f)
 
75,000
71,438
Goldman Sachs Group, Inc.:
 
 
 
 3 month U.S. LIBOR + 2.870% 7.7333% (b)(c)(f)
 
616,000
612,601
 4.125% (b)(f)
 
29,000
25,271
 4.4% (b)(f)
 
894,000
813,218
 5.3% (b)(f)
 
279,000
275,973
Morgan Stanley:
 
 
 
 5.3% (b)(f)
 
765,000
774,891
 5.875% (b)(f)
 
125,000
126,832
Northern Trust Corp. 4.6% (b)(f)
 
50,000
47,138
State Street Corp. 5.625% (b)(f)
 
263,000
256,884
 
 
 
4,372,148
Consumer Finance - 2.5%
 
 
 
Ally Financial, Inc. 4.7% (b)(f)
 
250,000
196,375
American Express Co. 3.55% (b)(f)
 
232,000
198,684
Capital One Financial Corp. 3.95% (b)(f)
 
400,000
341,510
Discover Financial Services 5.5% 12/31/99 (b)(f)
 
100,000
87,095
 
 
 
823,664
Diversified Financial Services - 0.2%
 
 
 
Equitable Holdings, Inc. 4.95% (b)(f)
 
75,000
73,024
Insurance - 0.8%
 
 
 
Markel Corp. 6% (b)(f)
 
100,000
100,217
MetLife, Inc. 3.85% (b)(f)
 
125,000
119,601
SBL Holdings, Inc. 6.5% 12/31/99 (b)(d)(f)
 
34,000
26,238
 
 
 
246,056
TOTAL FINANCIALS
 
 
16,041,770
INDUSTRIALS - 1.6%
 
 
 
Trading Companies & Distributors - 1.6%
 
 
 
AerCap Holdings NV 5.875% 10/10/79 (b)
 
150,000
146,541
Air Lease Corp.:
 
 
 
 4.125% 12/31/99 (b)(f)
 
56,000
43,906
 4.65% (b)(f)
 
250,000
226,304
Aircastle Ltd. 5.25% 12/31/99 (b)(d)(f)
 
126,000
105,120
 
 
 
521,871
UTILITIES - 4.2%
 
 
 
Electric Utilities - 1.4%
 
 
 
Duke Energy Corp. 4.875% (b)(f)
 
225,000
222,717
Edison International:
 
 
 
 5% (b)(f)
 
64,000
56,591
 5.375% (b)(f)
 
191,000
178,609
 
 
 
457,917
Independent Power and Renewable Electricity Producers - 1.2%
 
 
 
Vistra Corp.:
 
 
 
 7% (b)(d)(f)
 
295,000
280,234
 8% (b)(d)(f)
 
90,000
89,110
 
 
 
369,344
Multi-Utilities - 1.6%
 
 
 
CenterPoint Energy, Inc. 6.125% 12/31/99 (b)
 
96,000
97,182
Dominion Energy, Inc.:
 
 
 
 4.35% (b)(f)
 
85,000
75,110
 4.65% (b)(f)
 
75,000
69,916
Sempra Energy 4.875% (b)(f)
 
301,000
289,253
 
 
 
531,461
TOTAL UTILITIES
 
 
1,358,722
 
TOTAL PREFERRED SECURITIES
  (Cost $21,232,616)
 
 
 
19,597,421
 
 
 
 
Money Market Funds - 2.8%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 4.63% (g)
 
  (Cost $915,749)
 
 
915,566
915,749
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.6%
  (Cost $35,553,518)
 
 
 
32,335,311
NET OTHER ASSETS (LIABILITIES) - 0.4%  
125,337
NET ASSETS - 100.0%
32,460,648
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(c)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(d)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,068,179 or 3.3% of net assets.
 
(e)
Non-income producing
 
(f)
Security is perpetual in nature with no stated maturity date.
 
(g)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 4.63%
1,165,886
4,633,463
4,883,600
11,189
-
-
915,749
0.0%
Total
1,165,886
4,633,463
4,883,600
11,189
-
-
915,749
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of February 28, 2023, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
597,690
597,690
-
-
Energy
338,929
338,929
-
-
Financials
5,261,855
5,236,455
25,400
-
Real Estate
509,395
509,395
-
-
Utilities
1,214,696
1,214,696
-
-
 Corporate Bonds
3,899,576
-
3,899,576
-
 Preferred Securities
19,597,421
-
19,597,421
-
  Money Market Funds
915,749
915,749
-
-
 Total Investments in Securities:
32,335,311
8,812,914
23,522,397
-
 
Fidelity® Preferred Securities & Income ETF
Financial Statements (Unaudited)
Statement of Assets and Liabilities
 
 
 
February 28, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $34,637,769)
$
31,419,562
 
 
Fidelity Central Funds (cost $915,749)
915,749
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $35,553,518)
 
 
$
32,335,311
Cash
 
 
14,924
Receivable for investments sold
 
 
152,003
Dividends receivable
 
 
44,152
Interest receivable
 
 
58,727
Distributions receivable from Fidelity Central Funds
 
 
2,133
  Total assets
 
 
32,607,250
Liabilities
 
 
 
 
Distributions payable
$
130,200
 
 
Accrued management fee
16,402
 
 
  Total Liabilities
 
 
 
146,602
Net Assets  
 
 
$
32,460,648
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
38,340,205
Total accumulated earnings (loss)
 
 
 
(5,879,557)
Net Assets
 
 
$
32,460,648
Net Asset Value , offering price and redemption price per share ($32,460,648 ÷ 1,550,000 shares)
 
 
$
20.94
 
Statement of Operations
 
 
 
Six months ended
February 28, 2023
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
798,681
Interest  
 
 
187,051
Income from Fidelity Central Funds  
 
 
11,189
 Total Income
 
 
 
996,921
Expenses
 
 
 
 
Management fee
$
93,193
 
 
Independent trustees' fees and expenses
48
 
 
 Total expenses before reductions
 
93,241
 
 
 Expense reductions
 
(46)
 
 
 Total expenses after reductions
 
 
 
93,195
Net Investment income (loss)
 
 
 
903,726
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(1,294,944)
 
 
Total net realized gain (loss)
 
 
 
(1,294,944)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
1,604,816
Net gain (loss)
 
 
 
309,872
Net increase (decrease) in net assets resulting from operations
 
 
$
1,213,598
Statement of Changes in Net Assets
 
 
Six months ended
February 28, 2023
(Unaudited)
 
Year ended
August 31, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
903,726
$
1,028,374
Net realized gain (loss)
 
(1,294,944)
 
 
(1,304,286)
 
Change in net unrealized appreciation (depreciation)
 
1,604,816
 
(4,847,016)
 
Net increase (decrease) in net assets resulting from operations
 
1,213,598
 
 
(5,122,928)
 
Distributions to shareholders
 
(806,000)
 
 
(1,189,250)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
-
 
34,118,167
Cost of shares redeemed
 
(1,015,599)
 
(1,037,642)
  Net increase (decrease) in net assets resulting from share transactions
 
(1,015,599)
 
 
33,080,525
 
Total increase (decrease) in net assets
 
(608,001)
 
 
26,768,347
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
33,068,649
 
6,300,302
 
End of period
$
32,460,648
$
33,068,649
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
-
 
1,400,000
Redeemed
 
(50,000)
 
(50,000)
Net increase (decrease)
 
(50,000)
 
1,350,000
 
 
 
 
 
 
Financial Highlights
Fidelity® Preferred Securities & Income ETF
 
 
Six months ended
(Unaudited) February 28, 2023  
 
Years ended August 31, 2022  
 
2021   A
  Selected Per-Share Data  
 
 
 
 
 
 
  Net asset value, beginning of period
$
20.67
$
25.20
$
25.00
  Income from Investment Operations
 
 
 
 
 
 
     Net investment income (loss) B,C
 
.581
 
.886
 
.170
     Net realized and unrealized gain (loss)
 
.209
 
(4.485)
 
.187
  Total from investment operations
 
.790  
 
(3.599)  
 
.357  
  Distributions from net investment income
 
(.520)
 
(.931)
 
(.157)
     Total distributions
 
(.520)
 
(.931)
 
(.157)
  Net asset value, end of period
$
20.94
$
20.67
$
25.20
 Total Return   D,E,F
 
3.97%
 
(14.50)%
 
1.44%
 Ratios to Average Net Assets C,G,H
 
 
 
 
 
 
    Expenses before reductions
 
.59% I
 
.59%
 
.59% I
    Expenses net of fee waivers, if any
 
.59% I
 
.59%
 
.59% I
    Expenses net of all reductions
 
.59% I
 
.59%
 
.59% I
    Net investment income (loss)
 
5.77% I
 
3.98%
 
3.16% I
 Supplemental Data
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
32,461
$
33,069
$
6,300
    Portfolio turnover rate J
 
35% I
 
21%
 
-%
 
A For the period June 15, 2021 (commencement of operations) through August 31, 2021.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Based on net asset value.
 
E Total returns for periods of less than one year are not annualized.
 
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized.
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
For the period ended February 28, 2023
 
1.   Organization.
Fidelity High Yield Factor ETF and Fidelity Preferred Securities & Income ETF (the Funds) are exchange-traded funds of Fidelity Covington Trust (the Trust) and are authorized to issue an unlimited number of shares. Fidelity Preferred Securities & Income ETF is a non-diversified exchange-traded fund. 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.
2.   Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3.   Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
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 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value each Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and preferred securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2023 is included at the end of each Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes   and for processing shareholder transactions, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period   and prior business day, respectively. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the New York Stock Exchange, Archipelago Exchange (NYSE Arca) for Fidelity High Yield Factor ETF, and of the Cboe BZX Exchange, Inc. (CboeBZX) for Fidelity Preferred Securities & Income ETF. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Funds represent a return of capital or capital gain. The Funds determine the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. 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.
 
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 partnerships, capital loss carryforwards, prior period premium and discount on debt securities, redemptions in kind, and losses deferred due to wash sales and excise tax regulations.
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
 
 
Tax cost
Gross unrealized appreciation
Gross unrealized depreciation
Net unrealized appreciation (depreciation)
Fidelity High Yield Factor ETF
$296,869,145
$1,109,350
$(21,895,379)
$(20,786,029)
Fidelity Preferred Securities & Income ETF  
35,575,241
296,988
  (3,536,918)
  (3,239,930)
 
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and maybe limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
 
 
Short-term
Long-term
Total capital loss carryforward
Fidelity High Yield Factor ETF
$-
$-
$-
Fidelity Preferred Securities & Income ETF  
(1,173,624)
(112,821)
(1,286,445)
 
Certain of the Funds elected to defer to the next fiscal year capital losses recognized during the period November 1, 2021 to August 31, 2022. Loss deferrals were as follows:
 
 
Capital Losses
Fidelity High Yield Factor ETF
$(15,325,843)
 
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4.   Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity High Yield Factor ETF
69,580,284
67,384,202
Fidelity Preferred Securities & Income ETF
5,316,140
6,251,926
 
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
 
 
In-Kind Subscriptions ($)
In-Kind Redemptions ($)
Fidelity High Yield Factor ETF
17,898,596
15,665,143
5.   Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
 
 
Fee Rate
Fidelity High Yield Factor ETF
.45%
Fidelity Preferred Securities & Income ETF
.59%
 
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
 
 
Amount
Fidelity Preferred Securities & Income ETF
15
 
Interfund Trades. 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6.   Expense Reductions.
Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
 
 
Custodian credits
Fidelity High Yield Factor ETF
$1,147
Fidelity Preferred Securities & Income ETF  
46
7.   Share Transactions.
Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.
8.   Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
9.   Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2022 to February 28, 2023).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value September 1, 2022
 
Ending Account Value February 28, 2023
 
Expenses Paid During Period- C September 1, 2022 to February 28, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® High Yield Factor ETF
 
 
 
.45%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,027.20
 
$ 2.26
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,022.56
 
$ 2.26
 
 
 
 
 
 
 
 
 
 
Fidelity® Preferred Securities & Income ETF
 
 
 
.59%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,039.70
 
$ 2.98
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,021.87
 
$ 2.96
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Funds have adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage each Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. Each Fund's Board of Trustees (the Board) has designated each Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factor specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable. 
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
  • Highly liquid investments - cash or convertible to cash within three business days or less
  • Moderately liquid investments - convertible to cash in three to seven calendar days
  • Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM).  The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022.  The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.  
 
1.9887635.104
HIE-SANN-0423
Fidelity® Sustainable High Yield ETF
 
 
Semi-Annual Report
February 28, 2023

Contents

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Liquidity Risk Management Program

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund 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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
 
 
Top Bond Issuers (% of Fund's net assets)
(with maturities greater than one year)
 
CCO Holdings LLC/CCO Holdings Capital Corp.
2.8
 
Uber Technologies, Inc.
2.5
 
New Fortress Energy, Inc.
2.2
 
Community Health Systems, Inc.
2.0
 
MPT Operating Partnership LP/MPT Finance Corp.
1.9
 
Tenet Healthcare Corp.
1.7
 
WASH Multifamily Acquisition Inc.
1.6
 
OneMain Finance Corp.
1.6
 
Stericycle, Inc.
1.6
 
Go Daddy Operating Co. LLC / GD Finance Co., Inc.
1.5
 
 
19.4
 
 
Market Sectors (% of Fund's net assets)
 
Energy
14.8
 
Technology
11.7
 
Services
8.4
 
Healthcare
8.0
 
Telecommunications
5.9
 
 
Quality Diversification (% of Fund's net assets)
 
 
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
 
Asset Allocation (% of Fund's net assets)
Foreign investments - 21%
Geographic Diversification (% of Fund's net assets)
 
*    Includes Short-Term investments and Net Other Assets (Liabilities).  
Percentages are based on country or territory of incorporation and are adjusted for the effect of derivatives, if applicable.
 
 
 
Showing Percentage of Net Assets
Corporate Bonds - 96.1%
 
 
Principal
Amount (a)
 
Value ($)
 
Convertible Bonds - 1.8%
 
 
 
Broadcasting - 1.0%
 
 
 
DISH Network Corp.:
 
 
 
 2.375% 3/15/24
 
20,000
18,370
 3.375% 8/15/26
 
120,000
76,690
 
 
 
95,060
Gaming - 0.1%
 
 
 
DraftKings, Inc. 0% 3/15/28
 
14,000
9,702
Homebuilders/Real Estate - 0.4%
 
 
 
Redfin Corp. 0.5% 4/1/27
 
61,000
36,685
Super Retail - 0.1%
 
 
 
Wayfair LLC 0.625% 10/1/25
 
12,000
8,905
Technology - 0.2%
 
 
 
MicroStrategy, Inc. 0% 2/15/27
 
18,000
8,424
Oak Street Health, Inc. 0% 3/15/26
 
8,000
7,401
 
 
 
15,825
TOTAL CONVERTIBLE BONDS
 
 
166,177
Nonconvertible Bonds - 94.3%
 
 
 
Aerospace - 2.4%
 
 
 
ATI, Inc. 4.875% 10/1/29
 
50,000
44,768
Bombardier, Inc. 6% 2/15/28 (b)
 
105,000
98,379
Howmet Aerospace, Inc. 3% 1/15/29
 
15,000
12,881
Triumph Group, Inc.:
 
 
 
 8.875% 6/1/24 (b)
 
34,000
35,371
 9% 3/15/28 (b)(c)
 
25,000
25,000
 
 
 
216,399
Air Transportation - 0.3%
 
 
 
Rand Parent LLC 8.5% 2/15/30 (b)
 
30,000
28,803
Automotive & Auto Parts - 1.0%
 
 
 
McLaren Finance PLC 7.5% 8/1/26 (b)
 
25,000
19,379
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (b)(d)(e)
 
70,000
68,250
 
 
 
87,629
Broadcasting - 0.6%
 
 
 
DISH Network Corp. 11.75% 11/15/27 (b)
 
20,000
20,265
TEGNA, Inc. 4.75% 3/15/26 (b)
 
30,000
28,500
 
 
 
48,765
Building Materials - 0.4%
 
 
 
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b)
 
40,000
29,001
Eco Material Technologies, Inc. 7.875% 1/31/27 (b)
 
10,000
9,543
 
 
 
38,544
Cable/Satellite TV - 3.6%
 
 
 
CCO Holdings LLC/CCO Holdings Capital Corp.:
 
 
 
 4.25% 1/15/34 (b)
 
50,000
37,428
 4.75% 2/1/32 (b)
 
265,000
214,645
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b)
 
50,000
44,701
DISH DBS Corp. 5.75% 12/1/28 (b)
 
5,000
3,994
UPC Broadband Finco BV 4.875% 7/15/31 (b)
 
30,000
25,328
 
 
 
326,096
Capital Goods - 0.7%
 
 
 
Patrick Industries, Inc. 4.75% 5/1/29 (b)
 
50,000
42,506
Regal Rexnord Corp.:
 
 
 
 6.05% 4/15/28 (b)
 
5,000
4,889
 6.3% 2/15/30 (b)
 
2,000
1,957
Vertical Holdco GmbH 7.625% 7/15/28 (b)
 
14,000
12,851
 
 
 
62,203
Chemicals - 4.4%
 
 
 
Methanex Corp.:
 
 
 
 5.125% 10/15/27
 
70,000
65,795
 5.65% 12/1/44
 
75,000
61,125
NOVA Chemicals Corp.:
 
 
 
 4.25% 5/15/29 (b)
 
30,000
24,839
 4.875% 6/1/24 (b)
 
20,000
19,601
Nufarm Australia Ltd. 5% 1/27/30 (b)
 
45,000
39,285
Olympus Water U.S. Holding Corp. 6.25% 10/1/29 (b)
 
60,000
48,634
The Chemours Co. LLC 4.625% 11/15/29 (b)
 
165,000
133,909
 
 
 
393,188
Consumer Products - 0.2%
 
 
 
Macy's Retail Holdings LLC 5.875% 4/1/29 (b)
 
16,000
14,534
Containers - 0.5%
 
 
 
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26
 
50,000
47,750
Diversified Financial Services - 3.3%
 
 
 
Coinbase Global, Inc.:
 
 
 
 3.375% 10/1/28 (b)
 
30,000
19,650
 3.625% 10/1/31 (b)
 
20,000
12,062
Fortress Transportation & Infrastructure Investors LLC 5.5% 5/1/28 (b)
 
40,000
35,722
Hightower Holding LLC 6.75% 4/15/29 (b)
 
40,000
33,838
HTA Group Ltd. 7% 12/18/25 (b)
 
30,000
28,356
OneMain Finance Corp. 3.875% 9/15/28
 
180,000
143,100
StoneX Group, Inc. 8.625% 6/15/25 (b)
 
25,000
25,145
 
 
 
297,873
Energy - 14.5%
 
 
 
Altus Midstream LP 5.875% 6/15/30 (b)
 
30,000
27,726
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b)
 
30,000
28,478
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b)
 
105,000
92,671
California Resources Corp. 7.125% 2/1/26 (b)
 
100,000
100,755
CGG SA 8.75% 4/1/27 (b)
 
67,000
58,700
CNX Resources Corp.:
 
 
 
 6% 1/15/29 (b)
 
40,000
36,265
 7.375% 1/15/31 (b)
 
5,000
4,764
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (b)
 
80,000
72,776
CVR Energy, Inc. 5.25% 2/15/25 (b)
 
131,000
125,760
Energean PLC 6.5% 4/30/27 (b)
 
40,000
36,800
Global Partners LP/GLP Finance Corp. 6.875% 1/15/29
 
35,000
32,376
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b)
 
40,000
36,300
MEG Energy Corp. 5.875% 2/1/29 (b)
 
100,000
93,267
New Fortress Energy, Inc.:
 
 
 
 6.5% 9/30/26 (b)
 
205,000
187,575
 6.75% 9/15/25 (b)
 
5,000
4,688
Northern Oil & Gas, Inc. 8.125% 3/1/28 (b)
 
30,000
28,950
Oceaneering International, Inc. 6% 2/1/28
 
50,000
47,431
SM Energy Co. 6.5% 7/15/28
 
30,000
27,675
Sunnova Energy Corp. 5.875% 9/1/26 (b)
 
80,000
69,712
Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29
 
60,000
52,657
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b)
 
25,000
23,212
Teine Energy Ltd. 6.875% 4/15/29 (b)
 
70,000
64,013
Transocean Titan Finance Ltd. 8.375% 2/1/28 (b)
 
8,000
8,166
Transocean, Inc. 8.75% 2/15/30 (b)
 
10,000
10,175
Weatherford International Ltd. 8.625% 4/30/30 (b)
 
30,000
29,960
 
 
 
1,300,852
Environmental - 2.9%
 
 
 
Covanta Holding Corp. 4.875% 12/1/29 (b)
 
136,000
114,873
Darling Ingredients, Inc. 6% 6/15/30 (b)
 
5,000
4,831
Stericycle, Inc.:
 
 
 
 3.875% 1/15/29 (b)
 
80,000
68,581
 5.375% 7/15/24 (b)
 
70,000
68,972
 
 
 
257,257
Food & Drug Retail - 1.5%
 
 
 
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:
 
 
 
 3.25% 3/15/26 (b)
 
50,000
45,879
 4.875% 2/15/30 (b)
 
25,000
22,433
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b)
 
35,000
21,175
Parkland Corp. 4.625% 5/1/30 (b)
 
55,000
45,788
 
 
 
135,275
Food/Beverage/Tobacco - 1.3%
 
 
 
HLF Financing SARL LLC / Herbalife International, Inc. 4.875% 6/1/29 (b)
 
5,000
3,874
Post Holdings, Inc. 4.5% 9/15/31 (b)
 
30,000
25,262
TreeHouse Foods, Inc. 4% 9/1/28
 
30,000
25,730
Triton Water Holdings, Inc. 6.25% 4/1/29 (b)
 
45,000
35,867
U.S. Foods, Inc. 4.625% 6/1/30 (b)
 
30,000
26,203
 
 
 
116,936
Gaming - 1.3%
 
 
 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b)
 
120,000
111,758
Healthcare - 8.0%
 
 
 
Akumin Escrow, Inc. 7.5% 8/1/28 (b)
 
30,000
21,000
Cano Health, Inc. 6.25% 10/1/28 (b)
 
59,000
38,350
Catalent Pharma Solutions 3.5% 4/1/30 (b)
 
70,000
60,797
Charles River Laboratories International, Inc. 3.75% 3/15/29 (b)
 
10,000
8,682
Community Health Systems, Inc.:
 
 
 
 4.75% 2/15/31 (b)
 
104,000
80,340
 5.25% 5/15/30 (b)
 
70,000
56,008
 6.875% 4/15/29 (b)
 
35,000
24,479
 8% 3/15/26 (b)
 
20,000
19,500
DaVita HealthCare Partners, Inc. 3.75% 2/15/31 (b)
 
75,000
56,633
Encompass Health Corp. 4.625% 4/1/31
 
30,000
25,652
HealthEquity, Inc. 4.5% 10/1/29 (b)
 
70,000
61,179
Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (b)
 
30,000
30,484
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b)
 
65,000
57,342
RegionalCare Hospital Partners Holdings, Inc. 5.375% 1/15/29 (b)
 
50,000
32,817
Tenet Healthcare Corp. 6.125% 10/1/28
 
160,000
148,000
 
 
 
721,263
Homebuilders/Real Estate - 4.1%
 
 
 
Howard Hughes Corp. 4.375% 2/1/31 (b)
 
65,000
52,962
MPT Operating Partnership LP/MPT Finance Corp.:
 
 
 
 4.625% 8/1/29
 
25,000
18,688
 5% 10/15/27
 
190,000
155,958
Railworks Holdings LP 8.25% 11/15/28 (b)
 
30,000
28,071
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b)
 
35,000
23,975
Rithm Capital Corp. 6.25% 10/15/25 (b)
 
30,000
27,371
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b)
 
50,000
44,125
Uniti Group LP / Uniti Group Finance, Inc. 10.5% 2/15/28 (b)
 
20,000
20,004
 
 
 
371,154
Hotels - 0.9%
 
 
 
Hilton Domestic Operating Co., Inc. 3.625% 2/15/32 (b)
 
100,000
82,099
Insurance - 0.3%
 
 
 
Radian Group, Inc. 6.625% 3/15/25
 
30,000
29,978
Leisure - 2.5%
 
 
 
Carnival Corp. 6% 5/1/29 (b)
 
125,000
96,940
Constellation Merger Sub, Inc. 8.5% 9/15/25 (b)
 
25,000
20,875
MajorDrive Holdings IV LLC 6.375% 6/1/29 (b)
 
35,000
27,051
Royal Caribbean Cruises Ltd. 5.5% 4/1/28 (b)
 
95,000
82,802
 
 
 
227,668
Metals/Mining - 3.4%
 
 
 
Coeur d'Alene Mines Corp. 5.125% 2/15/29 (b)
 
30,000
22,704
Eldorado Gold Corp. 6.25% 9/1/29 (b)
 
35,000
30,776
ERO Copper Corp. 6.5% 2/15/30 (b)
 
75,000
63,469
First Quantum Minerals Ltd. 6.875% 10/15/27 (b)
 
30,000
28,069
FMG Resources Pty Ltd. 6.125% 4/15/32 (b)
 
60,000
56,700
IAMGOLD Corp. 5.75% 10/15/28 (b)
 
40,000
29,900
Mineral Resources Ltd. 8.5% 5/1/30 (b)
 
75,000
75,091
 
 
 
306,709
Paper - 2.5%
 
 
 
Berry Global, Inc. 5.625% 7/15/27 (b)
 
70,000
67,375
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (b)
 
40,000
38,162
Domtar Corp. 6.75% 10/1/28 (b)
 
30,000
27,000
Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (b)
 
34,000
31,874
Mercer International, Inc. 5.125% 2/1/29
 
70,000
57,397
 
 
 
221,808
Restaurants - 1.7%
 
 
 
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 3.5% 2/15/29 (b)
 
40,000
33,922
Yum! Brands, Inc. 4.625% 1/31/32
 
130,000
114,912
 
 
 
148,834
Services - 8.2%
 
 
 
Adtalem Global Education, Inc. 5.5% 3/1/28 (b)
 
37,000
34,060
AECOM 5.125% 3/15/27
 
50,000
47,816
APX Group, Inc. 5.75% 7/15/29 (b)
 
40,000
33,513
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b)
 
55,000
46,020
Dun & Bradstreet Corp. 5% 12/15/29 (b)
 
12,000
9,927
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b)
 
25,000
24,317
Hertz Corp. 4.625% 12/1/26 (b)
 
50,000
44,527
KAR Auction Services, Inc. 5.125% 6/1/25 (b)
 
18,000
17,545
Life Time, Inc. 8% 4/15/26 (b)
 
30,000
28,907
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b)
 
20,000
18,908
Sotheby's 7.375% 10/15/27 (b)
 
30,000
28,301
StoneMor, Inc. 8.5% 5/15/29 (b)
 
30,000
21,690
Tempo Acquisition LLC 5.75% 6/1/25 (b)
 
30,000
29,700
Uber Technologies, Inc. 4.5% 8/15/29 (b)
 
233,000
205,991
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b)
 
155,000
144,186
 
 
 
735,408
Steel - 0.6%
 
 
 
Infrabuild Australia Pty Ltd. 12% 10/1/24 (b)
 
50,000
48,375
Super Retail - 3.9%
 
 
 
At Home Group, Inc. 4.875% 7/15/28 (b)
 
30,000
22,050
Bath & Body Works, Inc. 6.95% 3/1/33
 
30,000
26,100
Carvana Co. 4.875% 9/1/29 (b)
 
130,000
61,493
EG Global Finance PLC 6.75% 2/7/25 (b)
 
50,000
45,125
Hanesbrands, Inc. 4.625% 5/15/24 (b)
 
45,000
44,969
LBM Acquisition LLC 6.25% 1/15/29 (b)
 
40,000
28,498
Michaels Companies, Inc. 5.25% 5/1/28 (b)
 
70,000
58,256
Nordstrom, Inc. 4.375% 4/1/30
 
25,000
19,719
Upbound Group, Inc. 6.375% 2/15/29 (b)
 
50,000
42,894
 
 
 
349,104
Technology - 11.4%
 
 
 
Athenahealth Group, Inc. 6.5% 2/15/30 (b)
 
30,000
23,728
Atkore, Inc. 4.25% 6/1/31 (b)
 
30,000
26,117
Black Knight InfoServ LLC 3.625% 9/1/28 (b)
 
30,000
25,950
Broadcom, Inc. 2.6% 2/15/33 (b)
 
35,000
26,452
Coherent Corp. 5% 12/15/29 (b)
 
35,000
30,664
CommScope, Inc. 4.75% 9/1/29 (b)
 
45,000
36,675
Elastic NV 4.125% 7/15/29 (b)
 
110,000
90,276
Entegris Escrow Corp. 5.95% 6/15/30 (b)
 
76,000
70,687
Entegris, Inc. 3.625% 5/1/29 (b)
 
110,000
91,212
Gen Digital, Inc. 5% 4/15/25 (b)
 
55,000
53,425
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b)
 
160,000
134,045
Match Group Holdings II LLC 4.625% 6/1/28 (b)
 
50,000
44,413
MicroStrategy, Inc. 6.125% 6/15/28 (b)
 
10,000
8,300
NCR Corp. 6.125% 9/1/29 (b)
 
52,500
51,056
onsemi 3.875% 9/1/28 (b)
 
15,000
13,183
Open Text Corp. 3.875% 12/1/29 (b)
 
55,000
44,394
Open Text Holdings, Inc.:
 
 
 
 4.125% 2/15/30 (b)
 
10,000
8,229
 4.125% 12/1/31 (b)
 
3,000
2,387
Rackspace Hosting, Inc. 3.5% 2/15/28 (b)
 
15,000
9,131
Sensata Technologies BV 4% 4/15/29 (b)
 
30,000
26,459
Twilio, Inc. 3.625% 3/15/29
 
70,000
58,804
Uber Technologies, Inc. 8% 11/1/26 (b)
 
20,000
20,305
Virtusa Corp. 7.125% 12/15/28 (b)
 
40,000
33,219
VM Consolidated, Inc. 5.5% 4/15/29 (b)
 
110,000
97,412
 
 
 
1,026,523
Telecommunications - 5.9%
 
 
 
Altice Financing SA 5.75% 8/15/29 (b)
 
90,000
73,603
Altice France Holding SA 6% 2/15/28 (b)
 
120,000
82,500
Altice France SA 5.125% 7/15/29 (b)
 
35,000
27,007
Frontier Communications Holdings LLC 8.75% 5/15/30 (b)
 
25,000
25,281
Level 3 Financing, Inc. 3.75% 7/15/29 (b)
 
180,000
113,150
Millicom International Cellular SA 4.5% 4/27/31 (b)
 
40,000
32,300
SBA Communications Corp. 3.125% 2/1/29
 
40,000
33,028
Uniti Group, Inc. 6% 1/15/30 (b)
 
130,000
80,573
Virgin Media Finance PLC 5% 7/15/30 (b)
 
30,000
24,450
Zayo Group Holdings, Inc. 6.125% 3/1/28 (b)
 
55,000
34,647
 
 
 
526,539
Textiles/Apparel - 0.9%
 
 
 
Crocs, Inc. 4.125% 8/15/31 (b)
 
70,000
57,400
Victoria's Secret & Co. 4.625% 7/15/29 (b)
 
30,000
24,466
 
 
 
81,866
Transportation Ex Air/Rail - 0.3%
 
 
 
Seaspan Corp. 5.5% 8/1/29 (b)
 
40,000
30,102
Utilities - 0.8%
 
 
 
PG&E Corp. 5% 7/1/28
 
35,000
31,957
Pike Corp. 5.5% 9/1/28 (b)
 
15,000
13,017
TerraForm Power Operating LLC 4.75% 1/15/30 (b)
 
30,000
25,933
 
 
 
70,907
TOTAL NONCONVERTIBLE BONDS
 
 
8,462,199
 
TOTAL CORPORATE BONDS
  (Cost $9,329,233)
 
 
 
8,628,376
 
 
 
 
Common Stocks - 0.9%
 
 
Shares
Value ($)
 
Automotive & Auto Parts - 0.1%
 
 
 
Aptiv PLC (f)
 
100
11,628
Cable/Satellite TV - 0.1%
 
 
 
Charter Communications, Inc. Class A (f)
 
28
10,293
Capital Goods - 0.2%
 
 
 
Regal Rexnord Corp.
 
80
12,611
Energy - 0.3%
 
 
 
Denbury, Inc. (f)
 
150
12,506
New Fortress Energy, Inc.
 
400
13,196
TOTAL ENERGY
 
 
25,702
Healthcare - 0.0%
 
 
 
Cano Health, Inc. (f)
 
1,400
2,310
Technology - 0.1%
 
 
 
Coherent Corp. (f)
 
230
9,920
Utilities - 0.1%
 
 
 
EQT Corp.
 
230
7,631
 
TOTAL COMMON STOCKS
  (Cost $75,370)
 
 
 
80,095
 
 
 
 
Bank Loan Obligations - 0.2%
 
 
Principal
Amount (a)
 
Value ($)
 
Services - 0.2%
 
 
 
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 9.0646% 6/21/24 (d)(e)(g)
 
990
933
Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 9.735% 4/11/29 (d)(e)(g)
 
15,000
13,763
 
 
 
 
 
TOTAL BANK LOAN OBLIGATIONS
  (Cost $14,260)
 
 
 
14,696
 
 
 
 
Preferred Securities - 0.7%
 
 
Principal
Amount (a)
 
Value ($)
 
Banks & Thrifts - 0.7%
 
 
 
Ally Financial, Inc. 4.7% (d)(h)
  (Cost $76,525)
 
80,000
62,840
 
 
 
 
Money Market Funds - 1.4%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 4.63% (i)
 
  (Cost $128,398)
 
 
128,372
128,398
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.3%
  (Cost $9,623,786)
 
 
 
8,914,405
NET OTHER ASSETS (LIABILITIES) - 0.7%  
61,843
NET ASSETS - 100.0%
8,976,248
 
 
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,132,902 or 79.5% of net assets.
 
(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)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(f)
Non-income producing
 
(g)
Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower.  Such prepayments cannot be predicted with certainty.
 
(h)
Security is perpetual in nature with no stated maturity date.
 
(i)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 4.63%
299,904
763,797
935,303
2,434
-
-
128,398
0.0%
Total
299,904
763,797
935,303
2,434
-
-
128,398
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend 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.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of February 28, 2023, 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
  Investments in Securities:
 
 
 
 
 Equities:
 
 
 
 
Communication Services
10,293
10,293
-
-
Consumer Discretionary
11,628
11,628
-
-
Energy
33,333
33,333
-
-
Health Care
2,310
2,310
-
-
Industrials
12,611
12,611
-
-
Information Technology
9,920
9,920
-
-
 Corporate Bonds
8,628,376
-
8,628,376
-
 Bank Loan Obligations
14,696
-
14,696
-
 Preferred Securities
62,840
-
62,840
-
  Money Market Funds
128,398
128,398
-
-
 Total Investments in Securities:
8,914,405
208,493
8,705,912
-
 
Financial Statements   (Unaudited)
Statement of Assets and Liabilities
 
 
 
February 28, 2023
(Unaudited)
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
 
 
 
 
Unaffiliated issuers (cost $9,495,388)
$
8,786,007
 
 
Fidelity Central Funds (cost $128,398)
128,398
 
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $9,623,786)
 
 
$
8,914,405
Dividends receivable
 
 
35
Interest receivable
 
 
140,791
Distributions receivable from Fidelity Central Funds
 
 
268
  Total assets
 
 
9,055,499
Liabilities
 
 
 
 
Payable for investments purchased on a delayed delivery basis
$
25,000
 
 
Distributions payable
49,600
 
 
Accrued management fee
4,651
 
 
  Total Liabilities
 
 
 
79,251
Net Assets  
 
 
$
8,976,248
Net Assets consist of:
 
 
 
 
Paid in capital
 
 
$
10,029,358
Total accumulated earnings (loss)
 
 
 
(1,053,110)
Net Assets
 
 
$
8,976,248
Net Asset Value , offering price and redemption price per share ($8,976,248 ÷ 200,000 shares)
 
 
$
44.88
 
Statement of Operations
 
 
 
Six months ended
February 28, 2023
(Unaudited)
Investment Income
 
 
 
 
Dividends
 
 
$
3,219
Interest  
 
 
310,291
Income from Fidelity Central Funds  
 
 
2,434
 Total Income
 
 
 
315,944
Expenses
 
 
 
 
Management fee
$
24,601
 
 
Independent trustees' fees and expenses
14
 
 
 Total expenses before reductions
 
24,615
 
 
 Expense reductions
 
(66)
 
 
 Total expenses after reductions
 
 
 
24,549
Net Investment income (loss)
 
 
 
291,395
Realized and Unrealized Gain (Loss)
 
 
 
 
Net realized gain (loss) on:
 
 
 
 
 Investment Securities:
 
 
 
 
   Unaffiliated issuers  
 
(183,548)
 
 
Total net realized gain (loss)
 
 
 
(183,548)
Change in net unrealized appreciation (depreciation) on investment securities
 
 
 
102,896
Net gain (loss)
 
 
 
(80,652)
Net increase (decrease) in net assets resulting from operations
 
 
$
210,743
Statement of Changes in Net Assets
 
 
Six months ended
February 28, 2023
(Unaudited)
 
For the period February 15, 2022 (commencement of operations) through August 31, 2022
Increase (Decrease) in Net Assets
 
 
 
 
Operations
 
 
 
Net investment income (loss)
$
291,395
$
280,716
Net realized gain (loss)
 
(183,548)
 
 
(169,092)
 
Change in net unrealized appreciation (depreciation)
 
102,896
 
(812,277)
 
Net increase (decrease) in net assets resulting from operations
 
210,743
 
 
(700,653)
 
Distributions to shareholders
 
(286,000)
 
 
(277,200)
 
Share transactions
 
 
 
 
Proceeds from sales of shares
 
-
 
10,029,358
  Net increase (decrease) in net assets resulting from share transactions
 
-
 
 
10,029,358
 
Total increase (decrease) in net assets
 
(75,257)
 
 
9,051,505
 
 
 
 
 
 
Net Assets
 
 
 
 
Beginning of period
 
9,051,505
 
-
 
End of period
$
8,976,248
$
9,051,505
 
 
 
 
 
Other Information
 
 
 
 
Shares
 
 
 
 
Sold
 
-
 
200,000
Redeemed
 
-
 
-
Net increase (decrease)
 
-
 
200,000
 
 
 
 
 
 
Financial Highlights
Fidelity® Sustainable High Yield ETF
 
 
Six months ended
(Unaudited) February 28, 2023  
 
Years ended August 31, 2022   A
  Selected Per-Share Data  
 
 
 
 
  Net asset value, beginning of period
$
45.26
$
50.00
  Income from Investment Operations
 
 
 
 
     Net investment income (loss) B,C
 
1.457
 
1.404
     Net realized and unrealized gain (loss)
 
(.407)
 
(4.758)
  Total from investment operations
 
1.050  
 
(3.354)  
  Distributions from net investment income
 
(1.430)
 
(1.386)
     Total distributions
 
(1.430)
 
(1.386)
  Net asset value, end of period
$
44.88
$
45.26
 Total Return   D,E,F
 
2.41%
 
(6.78)%
 Ratios to Average Net Assets C,G,H
 
 
 
 
    Expenses before reductions
 
.55% I
 
.55% I
    Expenses net of fee waivers, if any
 
.55% I
 
.55% I
    Expenses net of all reductions
 
.55% I
 
.55% I
    Net investment income (loss)
 
6.57% I
 
5.49% I
 Supplemental Data
 
 
 
 
    Net assets, end of period (000 omitted)
$
8,976
$
9,052
    Portfolio turnover rate J
 
47% I
 
24% K
 
A For the period February 15, 2022 (commencement of operations) through August 31, 2022.
 
B Calculated based on average shares outstanding during the period.
 
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
 
D Total returns for periods of less than one year are not annualized.
 
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
F Based on net asset value.
 
G Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
 
I Annualized.
 
J Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
K Amount not annualized.
 
For the period ended February 28, 2023
 
1. Organization.
Fidelity Sustainable High Yield ETF (the Fund) is an exchange-traded fund of Fidelity Covington Trust (the Trust) and is 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.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense Ratio A
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A   Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies . The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
 
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value the Fund's investments by major category are as follows:
 
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank loan obligations and preferred securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
 
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2023 is included at the end of the Fund's Schedule of Investments.
 
Investment Transactions and Income. For financial reporting purposes   and for processing shareholder transactions, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period   and prior business day, respectively. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE)business (normally 4:00 p.m. Eastern time) of the New York Stock Exchange, Archipelago Exchange (NYSE Arca). Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, the 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The 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.
 
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to capital loss carryforwards, premium and discount on debt securities 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:
 
Gross unrealized appreciation
$87,434
Gross unrealized depreciation
(792,507)
Net unrealized appreciation (depreciation)
$(705,073)
Tax cost
$9,619,478
 
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
 
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
 
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Sustainable High Yield ETF
2,158,604
2,005,360
 
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of .55% of average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholders meeting expenses.
 
Interfund Trades. 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
 
 
Purchases ($)
Sales ($)
Realized Gain (Loss) ($)
Fidelity Sustainable High Yield ETF
9,020
-
-
 
6. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $66.
7. Share Transactions.
Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.
8. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2022 to February 28, 2023).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
 
Beginning Account Value September 1, 2022
 
Ending Account Value February 28, 2023
 
Expenses Paid During Period- C September 1, 2022 to February 28, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® Sustainable High Yield ETF
 
 
 
.55%
 
 
 
 
 
 
Actual
 
 
 
 
 
$ 1,000
 
$ 1,024.10
 
$ 2.76
Hypothetical- B
 
 
 
 
 
$ 1,000
 
$ 1,022.07
 
$ 2.76
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
  • Highly liquid investments - cash or convertible to cash within three business days or less
  • Moderately liquid investments - convertible to cash in three to seven calendar days
  • Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM).  The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022.  The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.  
 
1.9904450.101
SHY-SANN-0423


Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Covington Trusts Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Covington Trusts (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 Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trusts internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.



Item 13.

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.




SIGNATURES


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


Fidelity Covington Trust



By:

/s/Stacie M. Smith


Stacie M. Smith


President and Treasurer



Date:

April 20, 2023


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



By:

/s/Stacie M. Smith


Stacie M. Smith


President and Treasurer



Date:

April 20, 2023



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

April 20, 2023

 






EX-99.CERT 2 ex99.htm EX99.HTM Form of Certification required from Principal Executive Officer and Principal Financial Officer in connection with each Form N

                                                       Exhibit EX-99.CERT

     

I, Stacie M. Smith, certify that:



1.

I have reviewed this report on Form N-CSR of Fidelity Covington Trust;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant s internal control over financial reporting; and





5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.



Date:

 April 20, 2023

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer









I, John J. Burke III, certify that:

1.

I have reviewed this report on Form N-CSR of Fidelity Covington Trust;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant s internal control over financial reporting; and

5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):





a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.



Date:

April 20, 2023

/s/John J. Burke III

John J. Burke III

Chief Financial Officer















EX-99.906 CERT 3 ex99_906.htm EX99_906.HTM Exhibit 99

Exhibit EX-99.906CERT





Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)



In connection with the attached Report of Fidelity Covington Trust (the Trust ) on Form N-CSR to be filed with the Securities and Exchange Commission (the Report ), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer s knowledge:



1.

The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.



Dated: April 20, 2023





/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer





 

Dated: April 20, 2023





/s/John J. Burke III

John J. Burke III

Chief Financial Officer







A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.







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