# EDGAR Filing Document

**Accession Number:** 0001562565
**File Stem:** 0001752724-23-014698
**Filing Date:** 2023-1
**Character Count:** 67031
**Document Hash:** c330a758dc84055b0056597264ac0bd8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014698.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014698

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Merrimack Street Trust
- **CENTRAL INDEX KEY:** 0001562565
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22796
- **FILM NUMBER:** 23556553

**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

## Series and Classes Contracts Data

### Fidelity Sustainable Low Duration Bond ETF (Series ID: S000075901)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000235242 | Fidelity Sustainable Low Duration Bond ETF | FSLD            |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Sustainable Low Duration Bond ETF**

**November 30, 2022**

LDB-NPRT1-0123

1.9904953.100 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 76.6%** | &nbsp;&nbsp;**Nonconvertible Bonds - 76.6%** | &nbsp;&nbsp;**Nonconvertible Bonds - 76.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 4.1%  |  |  |
| Diversified Telecommunication Services - 2.6% |  |  |
| AT&T, Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.640% 3.9758% 3/25/24 (b)(c) | 25000  | 24815  |
|  0.9% 3/25/24  | 35000  | 33224  |
| Verizon Communications, Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.500% 3.8058% 3/22/24 (b)(c) | 50000  | 49672  |
|  0.75% 3/22/24  | 25000  | 23767  |
|  |  | 131478 |
| Media - 1.5% |  |  |
| Discovery Communications LLC 2.95% 3/20/23  | 25000 | 24834 |
| Magallanes, Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 4.9944% 3/15/24 (b)(c)(d) | 25000  | 24916  |
|  3.428% 3/15/24 (d) | 25000  | 24274  |
|  |  | 74024 |
| TOTAL COMMUNICATION SERVICES |  | 205502 |
| CONSUMER DISCRETIONARY - 4.0%  |  |  |
| Automobiles - 1.5% |  |  |
| General Motors Financial Co., Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.000% 4.0908% 10/15/24 (b)(c) | 25000  | 24261  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 3.8989% 3/8/24 (b)(c) | 50000  | 49020  |
|  |  | 73281 |
| Hotels, Restaurants & Leisure - 0.5% |  |  |
| Starbucks Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 4.2185% 2/14/24 (b)(c) | 25000 | 24853 |
| Specialty Retail - 2.0% |  |  |
| AutoZone, Inc. 3.125% 7/15/23  | 25000 | 24712 |
| The Home Depot, Inc. 2.7% 4/1/23  | 75000 | 74519 |
|  |  | 99231 |
| TOTAL CONSUMER DISCRETIONARY |  | 197365 |
| CONSUMER STAPLES - 0.5%  |  |  |
| Food Products - 0.5% |  |  |
| Conagra Brands, Inc. 3.2% 1/25/23  | 25000 | 24943 |
| ENERGY - 2.5%  |  |  |
| Oil, Gas & Consumable Fuels - 2.5% |  |  |
| Canadian Natural Resources Ltd. 2.95% 1/15/23  | 25000 | 24979 |
| Chevron Corp. 1.141% 5/11/23  | 50000 | 49253 |
| Enbridge, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 4.2026% 2/17/23 (b)(c) | 50000 | 49953 |
|  |  | 124185 |
| FINANCIALS - 40.1%  |  |  |
| Banks - 23.1% |  |  |
| Bank of America Corp. 3.3% 1/11/23  | 75000 | 74875 |
| Bank of Montreal: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.460% 3.8839% 1/10/25 (b)(c) | 40000  | 39216  |
|  3.3% 2/5/24  | 25000  | 24541  |
| Bank of Nova Scotia: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 4.0268% 7/31/24 (b)(c) | 50000  | 49400  |
|  1.95% 2/1/23  | 50000  | 49789  |
| BNP Paribas SA 3.25% 3/3/23  | 50000 | 49803 |
| Canadian Imperial Bank of Commerce U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 4.1063% 3/17/23 (b)(c) | 75000 | 75027 |
| Citigroup, Inc.: |  |  |
|  3 month U.S. LIBOR + 1.020% 4.044% 6/1/24 (b)(c) | 35000  | 34718  |
|  3.375% 3/1/23  | 50000  | 49794  |
| Fifth Third Bancorp 1.625% 5/5/23  | 25000 | 24639 |
| JPMorgan Chase & Co.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 3.8064% 3/16/24 (b)(c) | 75000  | 74547  |
|  3.375% 5/1/23  | 25000  | 24835  |
|  4.023% 12/5/24 (b) | 25000  | 24699  |
| Mitsubishi UFJ Financial Group, Inc.: |  |  |
|  3 month U.S. LIBOR + 0.740% 3.8397% 3/2/23 (b)(c) | 75000  | 75069  |
|  3.455% 3/2/23  | 75000  | 74726  |
| Royal Bank of Canada: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 3.7524% 10/7/24 (b)(c) | 50000  | 49127  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.360% 4.0068% 7/29/24 (b)(c) | 50000  | 49330  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.450% 4.0468% 10/26/23 (b)(c) | 50000  | 49765  |
| The Toronto-Dominion Bank: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 3.4477% 3/4/24 (b)(c) | 50000  | 49520  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 4.0928% 1/27/23 (b)(c) | 50000  | 50007  |
|  0.75% 6/12/23  | 50000  | 48928  |
| Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 3.5488% 6/9/25 (b)(c) | 25000 | 24423 |
| Wells Fargo & Co.: |  |  |
|  1.654% 6/2/24 (b) | 50000  | 49096  |
|  4.125% 8/15/23  | 35000  | 34854  |
|  |  | 1150728 |
| Capital Markets - 7.0% |  |  |
| Bank of New York Mellon Corp. 2.95% 1/29/23  | 75000 | 74773 |
| Goldman Sachs Group, Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.390% 4.6044% 3/15/24 (b)(c) | 75000  | 75084  |
|  3.2% 2/23/23  | 75000  | 74730  |
| Morgan Stanley: |  |  |
|  0.791% 1/22/25 (b) | 25000  | 23513  |
|  3.125% 1/23/23  | 75000  | 74856  |
| State Street Corp. 3.7% 11/20/23  | 25000 | 24712 |
|  |  | 347668 |
| Consumer Finance - 6.7% |  |  |
| American Express Co.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.230% 3.9783% 11/3/23 (b)(c) | 50000  | 49578  |
|  3.4% 2/27/23  | 75000  | 74799  |
| Capital One Financial Corp.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 5.1503% 5/9/25 (b)(c) | 15000  | 14777  |
|  2.6% 5/11/23  | 25000  | 24729  |
|  3.2% 1/30/23  | 25000  | 24934  |
|  3.9% 1/29/24  | 25000  | 24640  |
| John Deere Capital Corp. 2.7% 1/6/23  | 75000 | 74868 |
| Toyota Motor Credit Corp.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.0114% 12/29/23 (b)(c) | 20000  | 19969  |
|  2.9% 3/30/23  | 25000  | 24854  |
|  |  | 333148 |
| Diversified Financial Services - 1.3% |  |  |
| Athene Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 4.5% 5/24/24 (b)(c)(d) | 40000 | 39230 |
| Equitable Holdings, Inc. 3.9% 4/20/23  | 25000 | 24895 |
|  |  | 64125 |
| Insurance - 2.0% |  |  |
| Equitable Financial Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.390% 3.8096% 4/6/23 (b)(c)(d) | 75000 | 74868 |
| Marsh & McLennan Companies, Inc. 3.875% 3/15/24  | 25000 | 24661 |
|  |  | 99529 |
| TOTAL FINANCIALS |  | 1995198 |
| HEALTH CARE - 5.8%  |  |  |
| Biotechnology - 0.5% |  |  |
| AbbVie, Inc. 2.85% 5/14/23  | 25000 | 24754 |
| Health Care Providers & Services - 3.1% |  |  |
| Cigna Corp. 0.613% 3/15/24  | 35000 | 33119 |
| Elevance Health, Inc. 0.45% 3/15/23  | 25000 | 24689 |
| Humana, Inc. 2.9% 12/15/22  | 25000 | 24983 |
| UnitedHealth Group, Inc. 2.875% 3/15/23  | 75000 | 74627 |
|  |  | 157418 |
| Life Sciences Tools & Services - 0.7% |  |  |
| Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 4.0097% 10/18/24 (b)(c) | 35000 | 34676 |
| Pharmaceuticals - 1.5% |  |  |
| Bristol-Myers Squibb Co. 3.25% 2/20/23  | 75000 | 74805 |
| TOTAL HEALTH CARE |  | 291653 |
| INDUSTRIALS - 2.5%  |  |  |
| Machinery - 1.5% |  |  |
| Caterpillar Financial Services Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.270% 3.4396% 9/13/24 (b)(c) | 75000 | 74574 |
| Trading Companies & Distributors - 1.0% |  |  |
| Air Lease Corp. 2.75% 1/15/23  | 50000 | 49807 |
| TOTAL INDUSTRIALS |  | 124381 |
| INFORMATION TECHNOLOGY - 3.7%  |  |  |
| Electronic Equipment & Components - 0.5% |  |  |
| Dell International LLC/EMC Corp. 5.45% 6/15/23  | 25000 | 25015 |
| Semiconductors & Semiconductor Equipment - 1.0% |  |  |
| Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.6231% 10/1/24 (b)(c) | 50000 | 49317 |
| Software - 2.2% |  |  |
| Microsoft Corp. 2.375% 5/1/23  | 50000 | 49547 |
| Roper Technologies, Inc.: |  |  |
|  2.35% 9/15/24  | 25000  | 23925  |
|  3.65% 9/15/23  | 35000  | 34581  |
|  |  | 108053 |
| TOTAL INFORMATION TECHNOLOGY |  | 182385 |
| MATERIALS - 0.5%  |  |  |
| Chemicals - 0.5% |  |  |
| The Mosaic Co. 4.25% 11/15/23  | 25000 | 24752 |
| REAL ESTATE - 1.5%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 1.5% |  |  |
| Simon Property Group LP U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.430% 3.8489% 1/11/24 (b)(c) | 75000 | 74482 |
| UTILITIES - 11.4%  |  |  |
| Electric Utilities - 9.6% |  |  |
| Duke Energy Carolinas LLC 3.05% 3/15/23  | 75000 | 74660 |
| Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.4091% 6/10/23 (b)(c) | 25000 | 24885 |
| Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 4.0491% 8/15/23 (b)(c) | 50000 | 49790 |
| Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 3.656% 6/28/24 (b)(c) | 50000 | 48860 |
| NextEra Energy Capital Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 4.1483% 11/3/23 (b)(c) | 50000 | 49573 |
| Southern California Edison Co.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 4.2031% 4/1/24 (b)(c) | 75000  | 74455  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 3.5457% 12/2/22 (b)(c) | 50000  | 50000  |
| Southern Co.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.370% 4.1681% 5/10/23 (b)(c) | 25000  | 24920  |
|  2.95% 7/1/23  | 25000  | 24721  |
| Tampa Electric Co. 3.875% 7/12/24  | 7000 | 6838 |
| Virginia Electric & Power Co. 2.75% 3/15/23  | 50000 | 49698 |
|  |  | 478400 |
| Gas Utilities - 1.0% |  |  |
| Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 3.6201% 9/14/23 (b)(c) | 50000 | 49876 |
| Multi-Utilities - 0.8% |  |  |
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.4485% 5/13/24 (b)(c) | 40000 | 39426 |
| TOTAL UTILITIES |  | 567702 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $3,831,771) |  | <br> **3812548** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 15.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 15.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 15.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bills, yield at date of purchase 3% to 4.32% 4/20/23 to 6/15/23 <br>(Cost $786,890) <br>| 800000 | **783060** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 4.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BMW Vehicle Owner Trust Series 2022-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 4.0408% 12/26/24 (b)(c) | 21817 | 21792 |
| BMWLT 2021 Series 2021-2 Class A3, 0.33% 12/26/24  | 20000 | 19449 |
| CarMax Auto Owner Trust: |  |  |
|  Series 2021-1 Class A3, 0.34% 12/15/25  | 7869 | 7599 |
|  Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 3.8177% 5/15/25 (b)(c) | 6731 | 6719 |
|  Series 2022-3 Class A2A, 3.81% 9/15/25  | 12000 | 11856 |
| Ford Credit Auto Lease Trust Series 2022-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 3.8177% 10/15/24 (b)(c) | 7002 | 6994 |
| Ford Credit Auto Owner Trust Series 2022-C Class A2A, 4.52% 4/15/25  | 10000 | 9949 |
| FORDO Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.840% 3.8177% 2/15/25 (b)(c) | 11000 | 11000 |
| GM Financial Automobile Leasing Trust: |  |  |
|  Series 2021-3 Class A3, 0.39% 10/21/24  | 25000 | 24170 |
|  Series 2022-2 Class A2, 2.93% 10/21/24  | 9129 | 9000 |
| GM Financial Consumer Automobile Receivables Trust: |  |  |
|  Series 2022-3 Class A2A, 3.5% 9/16/25  | 23000 | 22707 |
|  Series 2022-4 Class A2A, 4.6% 11/17/25  | 9000 | 8940 |
| Hyundai Auto Receivables Trust: |  |  |
|  Series 2022-B Class A2A, 3.64% 5/15/25  | 14000 | 13851 |
|  Series 2022-C Class A2A, 5.35% 11/17/25  | 17000 | 16987 |
| Toyota Auto Receivables Series 2022-D Class A2A, 5.27% 1/15/26  | 19000 | 18988 |
| World Omni Auto Receivables Trust Series 2022-B, Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 3.7877% 10/15/25 (b)(c) | 11000 | 10968 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $222,142) |  | **220969** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.9%** | &nbsp;&nbsp;**Money Market Funds - 2.9%** | &nbsp;&nbsp;**Money Market Funds - 2.9%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (e) <br>(Cost $144,257) <br>| 144228 | **144257** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.7%**<br> (Cost $4,985,060)<br>| <br>**4960834** |
| **NET OTHER ASSETS (LIABILITIES) - 0.3%**  | **14883** |
| **NET ASSETS - 100.0%** | **4975717** |

---

**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 $163,288 or 3.3% of net assets.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 513294 | 687882 | 1056919 | 1112 | - | - | 144257 | 0.0% |
| Total | 513294 | 687882 | 1056919 | 1112 | - | - | 144257 |  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. 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 inputs to valuation techniques used to value investments are categorized 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 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. Nonconvertible Bonds and U.S. Treasury Obligations 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. Asset-Backed Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in any open-end mutual 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.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent annual shareholder report.

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Fidelity Merrimack Street Trust

- **b. Investment Company Act file number:** 811-22796

- **c. CIK number of Registrant:** 0001562565

- **d. LEI of Registrant:** 549300782HVYOIE6CE74

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

**Item A.2. Information about the Series.**

- **a. Name of Series:** Fidelity Sustainable Low Duration Bond ETF

- **b. EDGAR series identifier (if any):** S000075901

- **c. LEI of Series:** 549300WIZG14N75QR427

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $4990080.59

**Total Liabilities:** $14544.04

**Net Assets:** $4975536.55

**Cash Not Reported:** $1631.16

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 105.17374766 | **1-Year:** 171.84736769 | **5-Year:** 74.40105214 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 20.78820500 | **1-Year:** 13.43169000 | **5-Year:** 8.55744250 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000235242 | 0.00%                | 0.14%                | 0.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-870.42                 | $-9539.68                                  |
| Month 2  | $16.58                   | $-4392.53                                  |
| Month 3  | $-2030.36                | $9960.34                                   |

### Schedule of Portfolio Investments

| Name                                              | Title                                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS GROUP INC (THE)                     | GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023                       | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74730.00     | 1.50%             | 2023-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                 | STATE STREET CORP 3.7% 11/20/2023                                   | CUSIP: 857477AM5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24711.79     | 0.50%             | 2023-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                  | SOUTHERN COMPANY 2.95% 07/01/2023                                   | CUSIP: 842587CU9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24721.13     | 0.50%             | 2023-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                      | THERMO FISHER SCIENTIFIC INC FRN SFRIX+53 10/18/2024                | CUSIP: 883556CQ3<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34676.28     | 0.70%             | 2024-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | HOME DEPOT INC 2.7% 04/01/2023                                      | CUSIP: 437076AZ5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74518.50     | 1.50%             | 2023-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                    | VIRGINIA ELECTRIC AND POWER CO 2.75% 03/15/2023                     | CUSIP: 927804FN9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49698.47     | 1.00%             | 2023-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | ROYAL BANK OF CANADA FRN SFRIX+36 07/29/2024                        | CUSIP: 78016EZV2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49330.12     | 0.99%             | 2024-07-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                    | MICROSOFT CORP 2.375% 05/01/2023                                    | CUSIP: 594918AT1<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49547.16     | 1.00%             | 2023-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                              | BANK OF MONTREAL QUE FRN SFRIX+46.5 01/10/2025                      | CUSIP: 06368FAF6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $39215.73     | 0.79%             | 2025-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2021-1                       | CARMAX AUTO OWNER TR 2021-1 A3 0.34% 12/15/2025                     | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7869 | PA      | $7599.49      | 0.15%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                             | JPMORGAN CHASE and CO 3.375% 05/01/2023                             | CUSIP: 46625HJJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24835.40     | 0.50%             | 2023-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING           | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING FRN SOFR+39 04/06/2023 144A | CUSIP: 29449WAH0<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74867.57     | 1.50%             | 2023-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                 | DELL INTL/EMC CORP 5.45% 06/15/2023                                 | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $25014.64     | 0.50%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | CITIGROUP INC 3.375% 03/01/2023                                     | CUSIP: 172967GL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49793.75     | 1.00%             | 2023-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                          | GENERAL MTRS FINL CO INC FRN SOFR+76 03/08/2024                     | CUSIP: 37045XDF0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49019.88     | 0.99%             | 2024-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                        | CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023                          | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24728.88     | 0.50%             | 2023-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST        | TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST 5.27% 01/15/2026         | CUSIP: 89239HAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     19000 | PA      | $18987.70     | 0.38%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2022-B             | HYUNDAI AUTO RECEIVABLES TRUST 2022-B 3.64% 05/15/2025              | CUSIP: 44918MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     14000 | PA      | $13850.51     | 0.28%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY 0.791%/VAR 01/22/2025                                | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23512.94     | 0.47%             | 2025-01-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                         | TORONTO DOMINION BANK 0.75% 06/12/2023                              | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $48928.48     | 0.98%             | 2023-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BMW VEH OWNER TR 2022-A                           | BMW VEH OWNER TR 2022-A SOFR30A+95 12/26/2024                       | CUSIP: 05602RAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21817 | PA      | $21792.24     | 0.44%             | 2024-12-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | ENBRIDGE INC FRN SOFR+40 02/17/2023                                 | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49953.08     | 1.00%             | 2023-02-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY 3.125% 01/23/2023                                    | CUSIP: 61744YAN8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74856.13     | 1.50%             | 2023-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                              | DUKE ENERGY CORP NEW FRN SOFR+25 06/10/2023                         | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24884.59     | 0.50%             | 2023-06-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-2      | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-2 2.93% 10/21/2024       | CUSIP: 36266FAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9129 | PA      | $9000.08      | 0.18%             | 2024-10-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                    | STARBUCKS CORP FRN SFRIX+0 02/14/2024                               | CUSIP: 855244BB4<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24853.12     | 0.50%             | 2024-02-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                             | JPMORGAN CHASE and CO FRN SOFR+58 03/16/2024                        | CUSIP: 46647PCA2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74546.77     | 1.50%             | 2024-03-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                              | BANK OF MONTREAL QUE 3.3% 02/05/2024                                | CUSIP: 06367WHH9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $24540.54     | 0.49%             | 2024-02-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | ROYAL BANK OF CANADA FRN SFRIX+45 10/26/2023                        | CUSIP: 78015K7K4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49764.99     | 1.00%             | 2023-10-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | BRISTOL-MYERS SQUIBB CO 3.25% 02/20/2023                            | CUSIP: 110122CZ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74804.75     | 1.50%             | 2023-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMWLT 2021                                        | BMWLT 2021 0.33% 12/26/2024                                         | CUSIP: 09690AAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20000 | PA      | $19449.47     | 0.39%             | 2024-12-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                           | BANK OF NOVA SCOTIA 1.95% 02/01/2023                                | CUSIP: 064159TE6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49788.72     | 1.00%             | 2023-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                     | SOUTHERN CALIFORNIA EDISON CO FRN SFRIX+83 04/01/2024               | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74454.62     | 1.50%             | 2024-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                         | TORONTO DOMINION BANK FRN SOFR+35.5 03/04/2024                      | CUSIP: 89114QCR7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49520.27     | 1.00%             | 2024-03-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                        | VERIZON COMMUNICATIONS INC 0.75% 03/22/2024                         | CUSIP: 92343VGF5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23766.56     | 0.48%             | 2024-03-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-4 | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-4 4.6% 11/17/2025   | CUSIP: 36265QAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9000 | PA      | $8939.83      | 0.18%             | 2025-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                         | BANK NEW YORK MELLON CORP 2.95% 01/29/2023                          | CUSIP: 06406RAE7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74772.61     | 1.50%             | 2023-01-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2022-3                       | CARMAX AUTO OWNER TR 2022-3 3.81% 09/15/2025                        | CUSIP: 14318MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12000 | PA      | $11856.49     | 0.24%             | 2025-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                     | SOUTHERN CALIFORNIA EDISON CO FRN SOFR+0 12/02/2022                 | CUSIP: 842400HL0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50000.00     | 1.00%             | 2022-12-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                    | MAGALLANES INC 3.428% 03/15/2024 144A                               | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24273.94     | 0.49%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | HUMANA INC 2.9% 12/15/2022                                          | CUSIP: 444859BJ0<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24983.42     | 0.50%             | 2022-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                | MITSUBISHI UFJ FIN GRP INC FRN 3ML+74 03/02/2023                    | CUSIP: 606822AS3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     75000 | PA      | $75068.80     | 1.51%             | 2023-03-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS 3.25% 03/03/2023                                        | CUSIP: 05574LFY9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     50000 | PA      | $49802.66     | 1.00%             | 2023-03-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                      | AT and T INC FRN SFRIX+64 03/25/2024                                | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24814.79     | 0.50%             | 2024-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                        | CAPITAL ONE FINANCIAL CORP 3.2% 01/30/2023                          | CUSIP: 14040HBU8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24933.75     | 0.50%             | 2023-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                       | BANK OF AMERICA CORPORATION 3.3% 01/11/2023                         | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74875.38     | 1.50%             | 2023-01-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                | WELLS FARGO and CO NEW 1.654%/VAR 06/02/2024                        | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49096.05     | 0.99%             | 2024-06-02      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                          | GENERAL MTRS FINL CO INC FRN SOFR+0 10/15/2024                      | CUSIP: 37045XDN3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24260.53     | 0.49%             | 2024-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                               | FIFTH THIRD BANCORP 1.625% 05/05/2023                               | CUSIP: 316773CZ1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24638.98     | 0.50%             | 2023-05-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                                         | MOSAIC CO NEW 4.25% 11/15/2023                                      | CUSIP: 61945CAC7<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24752.07     | 0.50%             | 2023-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                         | TORONTO DOMINION BANK FRN SOFR+48 01/27/2023                        | CUSIP: 89114QCF3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $50006.52     | 1.01%             | 2023-01-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | AMERICAN EXPRESS CO FRN SFRIX+23 11/03/2023                         | CUSIP: 025816CJ6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49578.39     | 1.00%             | 2023-11-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                            | ROPER TECHNOLOGIES INC 3.65% 09/15/2023                             | CUSIP: 776743AE6<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34580.77     | 0.70%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2022-C             | HYUNDAI AUTO RECEIVABLES TRUST 2022-C 5.35% 11/17/2025              | CUSIP: 44933DAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17000 | PA      | $16986.89     | 0.34%             | 2025-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                | CONAGRA BRANDS INC 3.2% 01/25/2023                                  | CUSIP: 205887BR2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24943.30     | 0.50%             | 2023-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                           | SIMON PROPERTY GROUP LP FRN SFRIX+0 01/11/2024                      | CUSIP: 828807DR5<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74482.14     | 1.50%             | 2024-01-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 22-C                 | FORD CREDIT AUTO OWNER TRUST 22-C 4.52% 04/15/2025                  | CUSIP: 34535AAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10000 | PA      | $9948.75      | 0.20%             | 2025-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                        | CAPITAL ONE FINANCIAL CORP FRN SOFR+135 05/09/2025                  | CUSIP: 14040HCR4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14776.58     | 0.30%             | 2025-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                     | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+139 03/15/2024               | CUSIP: 38141GZQ0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75084.08     | 1.51%             | 2024-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                    | AIR LEASE CORP 2.75% 01/15/2023                                     | CUSIP: 00912XAX2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49806.91     | 1.00%             | 2023-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                          | TOYOTA MOTOR CREDIT CORP 2.9% 03/30/2023                            | CUSIP: 89236TGW9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24854.47     | 0.50%             | 2023-03-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                         | UST BILLS 0% 04/20/2023                                             | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $294914.50    | 5.93%             | 2023-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                | CANADIAN IMPERIAL BK OF COMM FRN SOFR+80 03/17/2023                 | CUSIP: 13607GKW3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $75027.38     | 1.51%             | 2023-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP NEW                                  | CHEVRON CORP NEW 1.141% 05/11/2023                                  | CUSIP: 166764BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $49253.16     | 0.99%             | 2023-05-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                            | CENTERPOINT ENERGY INC FRN SFRIX+65 05/13/2024                      | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39425.97     | 0.79%             | 2024-05-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                         | UST BILLS 0% 06/15/2023                                             | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $488151.53    | 9.81%             | 2023-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                      | DISCOVERY COMMUNICATIONS LLC 2.95% 03/20/2023                       | CUSIP: 25470DAQ2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24833.52     | 0.50%             | 2023-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | ROYAL BANK OF CANADA FRN SFRIX+34 10/07/2024                        | CUSIP: 78016EZY6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49126.87     | 0.99%             | 2024-10-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                            | ROPER TECHNOLOGIES INC 2.35% 09/15/2024                             | CUSIP: 776743AH9<br>LEI: 549300LJXD867XMVE759 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23925.28     | 0.48%             | 2024-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UNITEDHEALTH GROUP INC 2.875% 03/15/2023                            | CUSIP: 91324PCC4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74626.59     | 1.50%             | 2023-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | ELEVANCE HEALTH INC 0.45% 03/15/2023                                | CUSIP: 036752AQ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24688.59     | 0.50%             | 2023-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                           | DEERE JOHN CAPITAL CORP 2.7% 01/06/2023                             | CUSIP: 24422EUA5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74867.88     | 1.50%             | 2023-01-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                      | Fidelity Cash Central Fund                                          | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |    144228 | NS      | $144257.07    | 2.90%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                        | ABBVIE INC 2.85% 05/14/2023                                         | CUSIP: 00287YAX7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24754.00     | 0.50%             | 2023-05-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                         | DUKE ENERGY CAROLINAS LLC 3.05% 03/15/2023                          | CUSIP: 26442CAV6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74660.08     | 1.50%             | 2023-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SVCS CORP                        | CATERPILLAR FINL SVCS CORP FRN SOFR+27 09/13/2024                   | CUSIP: 14913R2R7<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74573.55     | 1.50%             | 2024-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FORDO 2022-B A2B                                  | FORDO 2022-B A2B SOFR30A+184 02/15/2025                             | CUSIP: 34534LAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11000 | PA      | $10999.96     | 0.22%             | 2025-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | CITIGROUP INC 4.044/VAR 06/01/2024                                  | CUSIP: 172967LZ2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34717.99     | 0.70%             | 2024-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINL AUTOMOBILE LEASING TR 2021-3              | GM FINL AUTOMOBILE LEASING TR 2021-3 0.39% 10/21/2024               | CUSIP: 36262XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25000 | PA      | $24169.66     | 0.49%             | 2024-10-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                        | CIGNA CORP 0.613% 03/15/2024                                        | CUSIP: 125523CN8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33118.76     | 0.67%             | 2024-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS CO                        | SOUTHERN CALIFORNIA GAS CO FRN 3ML+35 09/14/2023                    | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49876.02     | 1.00%             | 2023-09-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                | MITSUBISHI UFJ FIN GRP INC 3.455% 03/02/2023                        | CUSIP: 606822AT1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     75000 | PA      | $74725.74     | 1.50%             | 2023-03-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                            | EQUITABLE HOLDINGS INC 3.9% 04/20/2023                              | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24895.16     | 0.50%             | 2023-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                | WELLS FARGO and CO NEW 4.125% 08/15/2023                            | CUSIP: 94974BFN5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34854.10     | 0.70%             | 2023-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                      | AT and T INC 0.9% 03/25/2024                                        | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33223.75     | 0.67%             | 2024-03-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST 2022-A               | FORD CREDIT AUTO LEASE TRUST 2022-A SOFR30A+119 10/15/2024          | CUSIP: 34528LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      7002 | PA      | $6993.66      | 0.14%             | 2024-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | TRUIST FINANCIAL CORP FRN SOFR+40 06/09/2025                        | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24423.00     | 0.49%             | 2025-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER CO                              | MISSISSIPPI PWR CO FRN SOFR+30 06/28/2024                           | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48859.69     | 0.98%             | 2024-06-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                        | CAPITAL ONE FINANCIAL CORP 3.9% 01/29/2024                          | CUSIP: 14040HCA1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24640.42     | 0.50%             | 2024-01-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AUTOZONE INC 3.125% 07/15/2023                                      | CUSIP: 053332AP7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24711.67     | 0.50%             | 2023-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                  | SOUTHERN COMPANY FRN SOFR+37 05/10/2023                             | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24919.96     | 0.50%             | 2023-05-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                 | TAMPA ELECTRIC CO 3.875% 07/12/2024                                 | CUSIP: 875127BK7<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6838.10      | 0.14%             | 2024-07-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2022-2                       | CARMAX AUTO OWNER TR 2022-2 SOFR30A+74 05/15/2025                   | CUSIP: 14317HAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6731 | PA      | $6718.61      | 0.14%             | 2025-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                      | NEXTERA ENERGY CAP HLDGS INC FRN SFRIX+40 11/03/2023                | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49572.89     | 1.00%             | 2023-11-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                             | JPMORGAN CHASE and CO 4.023/VAR 12/05/2024                          | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24699.32     | 0.50%             | 2024-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                        | MARSH and MCLENNAN COS INC 3.875% 03/15/2024                        | CUSIP: 571748BF8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24660.76     | 0.50%             | 2024-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                    | CANADIAN NATL RESOURCES LTD 2.95% 01/15/2023                        | CUSIP: 136385AW1<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $24979.29     | 0.50%             | 2023-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | AMERICAN EXPRESS CO 3.4% 02/27/2023                                 | CUSIP: 025816BS7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74799.28     | 1.50%             | 2023-02-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | EVERSOURCE ENERGY FRN SFRIX+25 08/15/2023                           | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49789.74     | 1.00%             | 2023-08-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                          | TOYOTA MOTOR CREDIT CORP FRN SFRIX+65 12/29/2023                    | CUSIP: 89236TKB0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19968.89     | 0.40%             | 2023-12-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                    | MAGALLANES INC FRN SFRIX+178 03/15/2024 144A                        | CUSIP: 55903VAA1<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24915.61     | 0.50%             | 2024-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-3 | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-3 3.5% 09/16/2025   | CUSIP: 36265WAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23000 | PA      | $22706.55     | 0.46%             | 2025-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                           | BANK OF NOVA SCOTIA FRN SOFR+38 07/31/2024                          | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49399.76     | 0.99%             | 2024-07-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                        | VERIZON COMMUNICATIONS INC FRN SFRIX+50 03/22/2024                  | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49671.90     | 1.00%             | 2024-03-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | ATHENE GLOBAL FUNDING FRN SFRIX+70 05/24/2024 144A                  | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39230.37     | 0.79%             | 2024-05-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                | ANALOG DEVICES INC FRN SOFR+0 10/01/2024                            | CUSIP: 032654AT2<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49316.90     | 0.99%             | 2024-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2022-B             | WORLD OMNI AUTO RECEIVABLES TR 2022-B SOFR30A+105 10/15/2025        | CUSIP: 98163QAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11000 | PA      | $10968.13     | 0.22%             | 2025-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer