# EDGAR Filing Document

**Accession Number:** 0000945908
**File Stem:** 0000945908-26-000135
**Filing Date:** 2026-4
**Character Count:** 304412
**Document Hash:** bd73da2cddd92f495164437fd9da8f92
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000945908-26-000135.hdr.sgml**: 20260422

**ACCESSION NUMBER**: 0000945908-26-000135

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 42

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260422

**DATE AS OF CHANGE**: 20260422

**EFFECTIVENESS DATE**: 20260422

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY COVINGTON TRUST
- **CENTRAL INDEX KEY:** 0000945908

**ORGANIZATION NAME:**
- **EIN:** 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:** 26881775

**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 Enhanced High Yield ETF (Series ID: S000062078)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000201027 | Fidelity Enhanced High Yield ETF | FDHY            |

### Fidelity Preferred Securities & Income ETF (Series ID: S000072125)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000227886 | Fidelity Preferred Securities & Income ETF | FPFD            |

### Fidelity Sustainable High Yield ETF (Series ID: S000075296)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000234213 | Fidelity Sustainable High Yield ETF | FSYD            |

### Fidelity CLO ETF (Series ID: S000099376)

| Class ID   | Class Name       | Ticker Symbol   |
|:---|:---|:---|
| C000269152 | Fidelity CLO ETF | FCLO            |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

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 <u>811-07319</u>

<u>Fidelity Covington Trust</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, MA 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;August 31 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;February 28, 2026 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Preferred Securities & Income ETF<br> **Fidelity® Preferred Securities & Income ETF : FPFD** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Preferred Securities & Income ETF for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Preferred Securities & Income ETF  | $30  | 0.60% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $82104290<br>|
| Number of Holdings | 328<br>|
| Portfolio Turnover | 18%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| A | 6.0 |
| BBB | 26.0 |
| BB | 26.3 |
| B | 1.2 |
| CCC,CC,C | 0.5 |
| Equities | 34.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6414_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;A - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 26.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 26.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;B - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 34.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |
| 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. |

---

---

| | |
|:---|:---|
| Preferred Securities | 40.0 |
| Preferred Stocks | 34.3 |
| Corporate Bonds | 20.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6414_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Preferred Securities - 40.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 34.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Corporate Bonds - 20.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| United States | 85.1 |
| Canada | 6.3 |
| Japan | 4.3 |
| France | 1.7 |
| United Kingdom | 1.6 |
| Germany | 0.7 |
| Ireland | 0.2 |
| Netherlands | 0.1 |
| Bermuda | 0.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6414_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 85.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 6.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Ireland - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Bermuda - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Energy Transfer LP | 4.8<br>|
| Bank of New York Mellon Corp/The | 4.4<br>|
| Citigroup Inc | 3.5<br>|
| Goldman Sachs Group Inc/The | 3.2<br>|
| Enbridge Inc | 3.0<br>|
| Bank of America Corp | 2.2<br>|
| PNC Financial Services Group Inc/The | 1.8<br>|
| JPMorgan Chase & Co | 1.8<br>|
| Nippon Life Insurance Co | 1.7<br>|
| NextEra Energy Capital Holdings Inc | 1.5<br>|
|  | 27.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6414_20260228_1.jpg)<br>| ![](img126227_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915477.101 6414-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Enhanced High Yield ETF<br> **Fidelity® Enhanced High Yield ETF : FDHY** <br> **Principal U.S. Listing Exchange :** **NYSE Arca, Inc.**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Enhanced High Yield ETF for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Enhanced High Yield ETF  | $18  | 0.35% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $518929771<br>|
| Number of Holdings | 316<br>|
| Portfolio Turnover | 60%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| BBB | 3.0 |
| BB | 42.0 |
| B | 50.5 |
| CCC,CC,C | 2.5 |
| Not Rated | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.8 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3088_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;BBB - 3.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 42.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;B - 50.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;CCC,CC,C - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 1.8 |
| 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. |

---

Corporate Bonds 97.2 <br> Preferred Securities 1.0 <br> Short-Term Investments and Net Other Assets (Liabilities) 1.8

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img3088_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 97.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.8 |

---

---

| | |
|:---|:---|
| United States | 77.6 |
| Canada | 6.9 |
| United Kingdom | 2.8 |
| Australia | 2.1 |
| Guatemala | 1.2 |
| Italy | 1.2 |
| Cameroon | 1.1 |
| Denmark | 1.0 |
| Indonesia | 0.9 |
| Others | 5.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img3088_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 77.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 6.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 2.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Australia - 2.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Guatemala - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Cameroon - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Denmark - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Indonesia - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 5.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| TransDigm Inc | 2.5<br>|
| Resorts World Las Vegas LLC / RWLV Capital Inc | 1.5<br>|
| AmeriGas Partners LP / AmeriGas Finance Corp | 1.3<br>|
| Allison Transmission Inc | 1.3<br>|
| Delek Logistics Partners LP / Delek Logistics Finance Corp | 1.3<br>|
| Rithm Capital Corp | 1.2<br>|
| DaVita Inc | 1.2<br>|
| Millicom International Cellular SA | 1.2<br>|
| CoreWeave Inc | 1.2<br>|
| 1011778 BC ULC / New Red Finance Inc | 1.1<br>|
|  | 13.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img3088_20260228_1.jpg)<br>| ![](img126242_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915457.101 3088-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® CLO ETF<br> **Fidelity® CLO ETF : FCLO** <br> **Principal U.S. Listing Exchange :** **NASDAQ/NMS Global Market**<br>|

---

This semi-annual shareholder report contains information about Fidelity® CLO ETF for the period February 10, 2026 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® CLO ETF A | $0 B | 0.00%C |

---

A Expenses for the full reporting period would be higher.

B Amount represents less than $.50

C Amount represents less than 0.005%

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $24993375<br>|
| Number of Holdings | 22<br>|
| Portfolio TurnoverA | 0%<br>|

---

A Amount not annualized

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| AAA | 5.8 |
| AA | 3.0 |
| A | 4.0 |
| BBB | 4.0 |
| BB | 3.0 |
| Not Rated | 24.4 |
| Equities | 2.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 53.6 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img9166_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;AAA - 5.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 3.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 4.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 3.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Not Rated - 24.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Equities - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 53.6 |
| 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-Backed Securities | 40.2 |
| CMOs and Other Mortgage Related Securities | 4.0 |
| Fixed-Income Funds | 2.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 53.6 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img9166_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Asset-Backed Securities - 40.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 4.0 |
| Fixed-Income Funds - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - 53.6 |

---

---

| | |
|:---|:---|
| United States | 59.8 |
| Grand Cayman (UK Overseas Ter) | 31.7 |
| Bailiwick Of Jersey | 6.5 |
| Bermuda | 2.0 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img9166_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 59.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 31.7  |
| &nbsp;&nbsp;Bailiwick Of Jersey - 6.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Bermuda - 2.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Freddie Mac STACR REMIC Trust | 4.0<br>|
| Pstat | 3.0<br>|
| Midocean Credit Clo Xxii | 2.5<br>|
| Anchorage Capital CLO Ltd | 2.5<br>|
| OCP CLO Ltd | 2.5<br>|
| Galaxy Clo Ltd | 2.5<br>|
| Trestles CLO X Ltd | 2.5<br>|
| Fidelity AAA CLO ETF | 2.2<br>|
| Carlyle Us CLO Ltd | 2.0<br>|
| Fortress Credit Bsl VIII Ltd | 2.0<br>|
|  | 25.7 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img9166_20260228_1.jpg)<br>| ![](img126295_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9921392.100 9166-TSRS-0426 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 |
| Fidelity® Sustainable High Yield ETF<br> **Fidelity® Sustainable High Yield ETF : FSYD** <br> **Principal U.S. Listing Exchange :** **NYSE Arca, Inc.**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Sustainable High Yield ETF for the period September 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Sustainable High Yield ETF  | $28  | 0.56% |

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $110601210<br>|
| Number of Holdings | 431<br>|
| Portfolio Turnover | 102%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 0.2 |
| BBB | 2.2 |
| BB | 48.8 |
| B | 27.8 |
| CCC,CC,C | 14.9 |
| D | 0.1 |
| Not Rated | 2.9 |
| Equities | 1.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.1 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6508_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 0.2 |
| &nbsp;&nbsp;BBB - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 48.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;B - 27.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;CCC,CC,C - 14.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 2.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Short-Term Investments and Net Other Assets (Liabilities) - 2.1 |
| 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. |

---

---

| | |
|:---|:---|
| Corporate Bonds | 89.9 |
| Bank Loan Obligations | 6.3 |
| Common Stocks | 0.5 |
| Preferred Stocks | 0.5 |
| Preferred Securities | 0.5 |
| U.S. Treasury Obligations | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img6508_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Corporate Bonds - 89.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Bank Loan Obligations - 6.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.1 |

---

---

| | |
|:---|:---|
| United States | 93.0 |
| Canada | 1.9 |
| France | 0.9 |
| Switzerland | 0.9 |
| Luxembourg | 0.6 |
| Brazil | 0.6 |
| Ghana | 0.3 |
| South Africa | 0.3 |
| Colombia | 0.3 |
| Others | 1.2 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img6508_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 93.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Canada - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;France - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Switzerland - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Luxembourg - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Brazil - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ghana - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;South Africa - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Colombia - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| PG&E Corp | 2.4<br>|
| Block Inc | 2.4<br>|
| CVS Health Corp | 2.3<br>|
| Hilton Domestic Operating Co Inc | 2.3<br>|
| Tenet Healthcare Corp | 2.2<br>|
| Whirlpool Corp | 2.1<br>|
| Level 3 Financing Inc | 1.9<br>|
| XPLR Infrastructure Operating Partners LP | 1.7<br>|
| Celanese US Holdings LLC | 1.7<br>|
| Post Holdings Inc | 1.6<br>|
|  | 20.6 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6508_20260228_1.jpg)<br>| ![](img126194_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9915484.101 6508-TSRS-0426 <br>|

---

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

<u>Principal Accountant Fees and Services</u>

Not applicable.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Fidelity® Enhanced High Yield ETF**

**Fidelity® Preferred Securities & Income ETF**

**Semi-Annual Report**

**February 28, 2026**

![](img126678_1.jpg)

![](img126678_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_HIE-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Enhanced High Yield ETF](#Sub_Sec_Fund_3088_HIE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Preferred Securities & Income ETF](#Sub_Sec_Fund_6414_HIE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements3088_HIE-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_HIE-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_HIE-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_HIE-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_HIE-SANN)** |

---

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.© 2026 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.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Enhanced High Yield ETF**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 97.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 97.2%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 97.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 2.1%  |  |  |
| Materials - 2.1% |  |  |
| Chemicals - 0.3% |  |  |
| Nufarm Australia Ltd / Nufarm Americas Inc 5% 1/27/2030 (d) | 1755000 | 1609322 |
| Metals & Mining - 1.8% |  |  |
| Fortescue Treasury Pty Ltd 4.375% 4/1/2031 (d) | 1260000 | 1220758 |
| Fortescue Treasury Pty Ltd 5.875% 4/15/2030 (d) | 1428000 | 1471576 |
| Fortescue Treasury Pty Ltd 6.125% 4/15/2032 (d) | 750000 | 785604 |
| Mineral Resources Ltd 7% 4/1/2031 (d) | 1490000 | 1567495 |
| Mineral Resources Ltd 8.5% 5/1/2030 (d) | 4129000 | 4271520 |
|  |  | 9316953 |
| TOTAL AUSTRALIA |  | 10926275 |
| AUSTRIA - 0.3%  |  |  |
| Information Technology - 0.3% |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| ams-OSRAM AG 12.25% 3/30/2029 (d) | 1350000 | 1438241 |
| BRAZIL - 0.9%  |  |  |
| Energy - 0.9% |  |  |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |
| Karoon USA Finance Inc 10.5% 5/14/2029 (d) | 4262000 | 4415432 |
| CAMEROON - 1.1%  |  |  |
| Energy - 1.1% |  |  |
| Oil, Gas & Consumable Fuels - 1.1% |  |  |
| Golar LNG Ltd 7.5% 10/2/2030 (d) | 5604000 | 5611397 |
| CANADA - 6.9%  |  |  |
| Consumer Discretionary - 2.2% |  |  |
| Hotels, Restaurants & Leisure - 1.1% |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (d) | 2750000 | 2640844 |
| 1011778 BC ULC / New Red Finance Inc 4.375% 1/15/2028 (d) | 1240000 | 1234614 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (d) | 2000000 | 2056926 |
|  |  | 5932384 |
| Household Durables - 1.1% |  |  |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 4.875% 2/15/2030 (d) | 3200000 | 3007718 |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 5% 6/15/2029 (d) | 2784000 | 2696881 |
|  |  | 5704599 |
| TOTAL CONSUMER DISCRETIONARY |  | 11636983 |
| Energy - 1.3% |  |  |
| Energy Equipment & Services - 0.7% |  |  |
| Enerflex Inc 6.875% 1/15/2031 (d) | 3370000 | 3492598 |
| Oil, Gas & Consumable Fuels - 0.6% |  |  |
| Saturn Oil & Gas Inc 9.625% 6/15/2029 (d) | 3363000 | 3457954 |
| TOTAL ENERGY |  | 6950552 |
| Financials - 0.6% |  |  |
| Consumer Finance - 0.6% |  |  |
| goeasy Ltd 7.375% 10/1/2030 (d) | 1725000 | 1529259 |
| goeasy Ltd 9.25% 12/1/2028 (d) | 1575000 | 1558275 |
| TOTAL FINANCIALS |  | 3087534 |
| Industrials - 1.6% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| Bombardier Inc 6.75% 6/15/2033 (d) | 935000 | 985250 |
| Bombardier Inc 7.25% 7/1/2031 (d) | 430000 | 457482 |
|  |  | 1442732 |
| Machinery - 1.3% |  |  |
| ATS Corp 4.125% 12/15/2028 (d) | 1918000 | 1874097 |
| New Flyer Holdings Inc 9.25% 7/1/2030 (d) | 4465000 | 4819615 |
|  |  | 6693712 |
| TOTAL INDUSTRIALS |  | 8136444 |
| Materials - 0.6% |  |  |
| Metals & Mining - 0.6% |  |  |
| Champion Iron Canada Inc 7.875% 7/15/2032 (d) | 1000000 | 1063586 |
| Taseko Mines Ltd 8.25% 5/1/2030 (d) | 1880000 | 1990232 |
| TOTAL MATERIALS |  | 3053818 |
| Utilities - 0.6% |  |  |
| Electric Utilities - 0.4% |  |  |
| Emera Inc 6.75% 6/15/2076 (c) | 2050000 | 2060264 |
| Gas Utilities - 0.2% |  |  |
| AltaGas Ltd 7.2% 10/15/2054 (c)(d) | 1000000 | 1044812 |
| TOTAL UTILITIES |  | 3105076 |
| TOTAL CANADA |  | 35970407 |
| COTE D'IVOIRE - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Endeavour Mining PLC 7% 5/28/2030 (d) | 700000 | 723261 |
| DENMARK - 1.0%  |  |  |
| Health Care - 1.0% |  |  |
| Biotechnology - 1.0% |  |  |
| GENMAB A/S/GENMAB FINANCE LLC 6.25% 12/15/2032 (d) | 2370000 | 2460155 |
| GENMAB A/S/GENMAB FINANCE LLC 7.25% 12/15/2033 (d) | 2350000 | 2493855 |
| TOTAL DENMARK |  | 4954010 |
| FINLAND - 0.4%  |  |  |
| Consumer Discretionary - 0.4% |  |  |
| Leisure Products - 0.4% |  |  |
| Amer Sports Co 6.75% 2/16/2031 (d) | 2193000 | 2288167 |
| FRANCE - 0.2%  |  |  |
| Energy - 0.2% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| Viridien 10% 10/15/2030 (d) | 967000 | 1036931 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Financial Services - 0.5% |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (d) | 2715000 | 2798353 |
| GREECE - 0.5%  |  |  |
| Industrials - 0.5% |  |  |
| Marine Transportation - 0.5% |  |  |
| Danaos Corp 6.875% 10/15/2032 (d) | 2700000 | 2784375 |
| GUATEMALA - 1.2%  |  |  |
| Communication Services - 1.2% |  |  |
| Wireless Telecommunication Services - 1.2% |  |  |
| Millicom International Cellular SA 4.5% 4/27/2031 (d) | 4555000 | 4238630 |
| Millicom International Cellular SA 7.375% 4/2/2032 (d) | 1829000 | 1887634 |
| TOTAL GUATEMALA |  | 6126264 |
| INDONESIA - 0.9%  |  |  |
| Materials - 0.9% |  |  |
| Metals & Mining - 0.9% |  |  |
| Nickel Industries Ltd 9% 9/30/2030 (d) | 4700000 | 4900737 |
| IRELAND - 0.3%  |  |  |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| GGAM Finance Ltd 6.875% 4/15/2029 (d) | 380000 | 391429 |
| Industrials - 0.2% |  |  |
| Commercial Services & Supplies - 0.2% |  |  |
| Cimpress PLC 7.375% 9/15/2032 (d) | 1000000 | 1006031 |
| TOTAL IRELAND |  | 1397460 |
| ITALY - 1.2%  |  |  |
| Communication Services - 1.1% |  |  |
| Diversified Telecommunication Services - 1.1% |  |  |
| Telecom Italia Capital SA 7.2% 7/18/2036  | 1475000 | 1634369 |
| Telecom Italia Capital SA 7.721% 6/4/2038  | 3420000 | 3908005 |
| TOTAL COMMUNICATION SERVICES |  | 5542374 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| UniCredit SpA 5.459% 6/30/2035 (c)(d) | 150000 | 154222 |
| UniCredit SpA 7.296% 4/2/2034 (c)(d) | 328693 | 352605 |
| TOTAL FINANCIALS |  | 506827 |
| TOTAL ITALY |  | 6049201 |
| JAPAN - 0.2%  |  |  |
| Consumer Discretionary - 0.2% |  |  |
| Broadline Retail - 0.2% |  |  |
| Rakuten Group Inc 9.75% 4/15/2029 (d) | 1000000 | 1109162 |
| MEXICO - 0.2%  |  |  |
| Energy - 0.2% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| Borr IHC Ltd / Borr Finance LLC 10.375% 11/15/2030 (d) | 1230000 | 1280848 |
| SWEDEN - 0.1%  |  |  |
| Industrials - 0.1% |  |  |
| Commercial Services & Supplies - 0.1% |  |  |
| Stena International SA 7.625% 2/15/2031 (d) | 522000 | 543863 |
| TANZANIA - 0.6%  |  |  |
| Information Technology - 0.6% |  |  |
| Communications Equipment - 0.6% |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (d) | 3075000 | 3177679 |
| TURKEY - 0.5%  |  |  |
| Materials - 0.5% |  |  |
| Metals & Mining - 0.5% |  |  |
| Eldorado Gold Corp 6.25% 9/1/2029 (d) | 2767000 | 2777971 |
| UNITED KINGDOM - 2.5%  |  |  |
| Communication Services - 0.4% |  |  |
| Media - 0.3% |  |  |
| Virgin Media Secured Finance PLC 5.5% 5/15/2029 (d) | 1550000 | 1504943 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Zegona Finance PLC 8.625% 7/15/2029 (d) | 452000 | 477292 |
| TOTAL COMMUNICATION SERVICES |  | 1982235 |
| Consumer Discretionary - 0.6% |  |  |
| Specialty Retail - 0.6% |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (d) | 3200000 | 3270189 |
| Energy - 1.3% |  |  |
| Oil, Gas & Consumable Fuels - 1.3% |  |  |
| EnQuest PLC 11.625% 11/1/2027 (d) | 5272000 | 5347817 |
| Ithaca Energy North Sea PLC 8.125% 10/15/2029 (d) | 1255000 | 1321013 |
| TOTAL ENERGY |  | 6668830 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.2% |  |  |
| Marex Group PLC 5.829% 5/8/2028  | 1000000 | 1019930 |
| TOTAL UNITED KINGDOM |  | 12941184 |
| UNITED STATES - 75.4%  |  |  |
| Communication Services - 8.1% |  |  |
| Diversified Telecommunication Services - 1.6% |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (d) | 2060000 | 2162160 |
| Flash Compute LLC 7.25% 12/31/2030 (d) | 930000 | 951965 |
| GCI Liberty Inc 4.75% 10/15/2028 (d)(e) | 3830000 | 3763225 |
| Level 3 Financing Inc 8.5% 1/15/2036 (d) | 1450000 | 1509739 |
|  |  | 8387089 |
| Entertainment - 1.1% |  |  |
| Live Nation Entertainment Inc 4.75% 10/15/2027 (d)(e) | 5625000 | 5621398 |
| Media - 5.4% |  |  |
| AMC Networks Inc 10.25% 1/15/2029 (d) | 1400000 | 1501504 |
| AMC Networks Inc 10.5% 7/15/2032 (d) | 1160000 | 1188292 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (d)(e) | 2136000 | 1860672 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 2/1/2031 (d) | 75000 | 69908 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 6/1/2033 (d) | 1040000 | 928842 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (d)(e) | 1420000 | 1451873 |
| Directv Financing LLC / Directv Financing Co-Obligor Inc 10% 2/15/2031 (d)(e) | 2000000 | 2045545 |
| Directv Financing LLC / Directv Financing Co-Obligor Inc 5.875% 8/15/2027 (d) | 875000 | 876017 |
| Directv Financing LLC 8.875% 2/1/2030 (d)(e) | 3016000 | 3019477 |
| Directv Financing LLC 8.875% 2/1/2030 (d)(e) | 2210000 | 2210759 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  | 2045000 | 1467288 |
| Dotdash Meredith Inc 7.625% 6/15/2032 (d) | 2445000 | 2261845 |
| EchoStar Corp 10.75% 11/30/2029  | 2085000 | 2277279 |
| Lamar Media Corp 3.625% 1/15/2031 (e) | 2120000 | 2002708 |
| Lamar Media Corp 5.375% 11/1/2033 (d) | 845000 | 847207 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 4.25% 1/15/2029 (d) | 105000 | 103024 |
| Paramount Global 6.375% 3/30/2062 (c) | 2270000 | 1781950 |
| Univision Communications Inc 9.375% 8/1/2032 (d)(e) | 1865000 | 1973480 |
|  |  | 27867670 |
| TOTAL COMMUNICATION SERVICES |  | 41876157 |
| Consumer Discretionary - 10.2% |  |  |
| Automobile Components - 2.3% |  |  |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (d)(e) | 1110000 | 1128138 |
| Aptiv Swiss Holdings Ltd 6.875% 12/15/2054 (c) | 3000000 | 3127698 |
| Cooper-Standard Automotive Inc 9.25% 3/1/2031 (d)(f) | 1260000 | 1263553 |
| Garrett Motion Holdings Inc / Garrett LX I Sarl 7.75% 5/31/2032 (d) | 3138000 | 3316302 |
| Patrick Industries Inc 6.375% 11/1/2032 (d)(e) | 1000000 | 1027122 |
| Phinia Inc 6.625% 10/15/2032 (d)(e) | 2104000 | 2184299 |
|  |  | 12047112 |
| Automobiles - 0.1% |  |  |
| Thor Industries Inc 4% 10/15/2029 (d) | 707000 | 678650 |
| Broadline Retail - 1.0% |  |  |
| Wayfair LLC 6.75% 11/15/2032 (d)(e) | 775000 | 789876 |
| Wayfair LLC 7.75% 9/15/2030 (d)(e) | 4105000 | 4316860 |
|  |  | 5106736 |
| Diversified Consumer Services - 0.4% |  |  |
| Covista Inc 5.5% 3/1/2028 (d) | 1965000 | 1965000 |
| Hotels, Restaurants & Leisure - 4.1% |  |  |
| Acushnet Co 5.625% 12/1/2033 (d)(e) | 285000 | 290063 |
| Carnival Corp 5.75% 8/1/2032 (d) | 1000000 | 1037799 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (d)(e) | 1050000 | 1074843 |
| Light & Wonder International Inc 6.25% 10/1/2033 (d)(e) | 630000 | 632722 |
| Light & Wonder International Inc 7.25% 11/15/2029 (d) | 45000 | 46125 |
| Marriott Ownership Resorts Inc 6.5% 10/1/2033 (d) | 625000 | 606021 |
| Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp 4.875% 5/1/2029 (d) | 1972000 | 1937426 |
| NCL Corp Ltd 6.25% 9/15/2033 (d) | 840000 | 847878 |
| Resorts World Las Vegas LLC / RWLV Capital Inc 4.625% 4/16/2029 (d) | 2000000 | 1822950 |
| Resorts World Las Vegas LLC / RWLV Capital Inc 4.625% 4/6/2031 (d) | 1800000 | 1555099 |
| Resorts World Las Vegas LLC / RWLV Capital Inc 8.45% 7/27/2030 (d) | 3746000 | 3817931 |
| Viking Cruises Ltd 5.875% 10/15/2033 (d) | 2285000 | 2331066 |
| Wyndham Hotels & Resorts Inc 4.375% 8/15/2028 (d) | 1060000 | 1052510 |
| Wyndham Hotels & Resorts Inc 5.625% 3/1/2033 (d) | 1020000 | 1026404 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (d)(e) | 1000000 | 1021238 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 7.125% 2/15/2031 (d)(e) | 1527000 | 1649068 |
|  |  | 20749143 |
| Household Durables - 1.4% |  |  |
| Dream Finders Homes Inc 6.875% 9/15/2030 (d) | 620000 | 633939 |
| Installed Building Products Inc 5.625% 2/1/2034 (d)(e) | 1420000 | 1438845 |
| K Hovnanian Enterprises Inc 8.375% 10/1/2033 (d)(e) | 1300000 | 1333116 |
| LGI Homes Inc 4% 7/15/2029 (d)(e) | 883000 | 820335 |
| Somnigroup International Inc 3.875% 10/15/2031 (d)(e) | 3453000 | 3241337 |
|  |  | 7467572 |
| Specialty Retail - 0.3% |  |  |
| Advance Auto Parts Inc 7.375% 8/1/2033 (d)(e) | 1625000 | 1665308 |
| Textiles, Apparel & Luxury Goods - 0.6% |  |  |
| Kontoor Brands Inc 4.125% 11/15/2029 (d) | 2020000 | 1924771 |
| William Carter Co/The 7.38% 2/15/2031 (d) | 1155000 | 1189571 |
|  |  | 3114342 |
| TOTAL CONSUMER DISCRETIONARY |  | 52793863 |
| Consumer Staples - 1.1% |  |  |
| Consumer Staples Distribution & Retail - 0.5% |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (d)(e) | 385000 | 387591 |
| Performance Food Group Inc 4.25% 8/1/2029 (d)(e) | 1801000 | 1767017 |
| Performance Food Group Inc 5.625% 3/1/2034 (d) | 580000 | 581940 |
| US Foods Inc 4.75% 2/15/2029 (d) | 45000 | 44811 |
|  |  | 2781359 |
| Food Products - 0.6% |  |  |
| Post Holdings Inc 4.625% 4/15/2030 (d)(e) | 862000 | 843767 |
| Post Holdings Inc 6.375% 3/1/2033 (d)(e) | 1122000 | 1142064 |
| Post Holdings Inc 6.5% 3/15/2036 (d)(e) | 1125000 | 1144447 |
|  |  | 3130278 |
| TOTAL CONSUMER STAPLES |  | 5911637 |
| Energy - 10.1% |  |  |
| Energy Equipment & Services - 2.4% |  |  |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (d) | 1180000 | 1194731 |
| Bristow Group Inc 6.75% 2/1/2033 (d) | 4790000 | 4860298 |
| Nabors Industries Inc 7.625% 11/15/2032 (d)(e) | 725000 | 746884 |
| Noble Finance II LLC 8% 4/15/2030 (d) | 1028000 | 1069963 |
| Valaris Ltd 8.375% 4/30/2030 (d) | 2392000 | 2508522 |
| Weatherford International Ltd 6.75% 10/15/2033 (d) | 1900000 | 1986452 |
|  |  | 12366850 |
| Oil, Gas & Consumable Fuels - 7.7% |  |  |
| Alliance Resource Operating Partners LP / Alliance Resource Finance Corp 8.625% 6/15/2029 (d)(e) | 762000 | 802223 |
| BKV Upstream Midstream LLC 7.5% 10/15/2030 (d) | 855000 | 870906 |
| California Resources Corp 7% 1/15/2034 (d) | 1070000 | 1089583 |
| California Resources Corp 8.25% 6/15/2029 (d) | 2820000 | 2960462 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 2/15/2031 (d) | 1350000 | 1438196 |
| CNX Resources Corp 5.875% 3/1/2034 (d) | 535000 | 535978 |
| Comstock Resources Inc 6.75% 3/1/2029 (d) | 3303000 | 3285628 |
| Comstock Resources Inc 6.75% 3/1/2029 (d) | 1700000 | 1693428 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (d) | 365000 | 393745 |
| CVR Energy Inc 7.5% 2/15/2031 (d) | 1005000 | 1001594 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (d) | 820000 | 845748 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.125% 6/1/2028 (d) | 1711000 | 1719384 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (d) | 945000 | 977415 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (d) | 3668000 | 3829965 |
| Genesis Energy LP / Genesis Energy Finance Corp 6.75% 3/15/2034 (f) | 1010000 | 1021650 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (d)(e) | 981000 | 1015003 |
| Global Partners LP / GLP Finance Corp 8.25% 1/15/2032 (d)(e) | 335000 | 353921 |
| Harvest Midstream I LP 7.5% 5/15/2032 (d) | 565000 | 586461 |
| Harvest Midstream I LP 7.5% 9/1/2028 (d) | 50000 | 50557 |
| Kinetik Holdings LP 6.625% 12/15/2028 (d) | 1435000 | 1479370 |
| Matador Resources Co 6% 4/15/2034 (d) | 1020000 | 1018769 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (d) | 4000000 | 3941780 |
| Murphy Oil USA Inc 3.75% 2/15/2031 (d) | 1250000 | 1176090 |
| NGL Energy Operating LLC / NGL Energy Finance Corp 8.125% 2/15/2029 (d) | 2200000 | 2280010 |
| Northern Oil & Gas Inc 7.875% 10/15/2033 (d)(e) | 320000 | 327142 |
| Sunoco LP 6.625% 8/15/2032 (d)(e) | 1000000 | 1035096 |
| TGNR Intermediate Holdings LLC 5.5% 10/15/2029 (d) | 2590000 | 2562168 |
| Venture Global LNG Inc 9.5% 2/1/2029 (d)(e) | 1600000 | 1716085 |
|  |  | 40008357 |
| TOTAL ENERGY |  | 52375207 |
| Financials - 8.3% |  |  |
| Capital Markets - 0.4% |  |  |
| Focus Financial Partners LLC 6.75% 9/15/2031 (d) | 641000 | 637627 |
| Main Street Capital Corp 5.4% 8/15/2028  | 800000 | 802759 |
| Stonex Escrow Issuer LLC 6.875% 7/15/2032 (d) | 750000 | 778298 |
|  |  | 2218684 |
| Consumer Finance - 3.9% |  |  |
| Atlanticus Holdings Corp 9.75% 9/1/2030 (d) | 2055000 | 1867179 |
| Bread Financial Holdings Inc 6.75% 5/15/2031 (d)(e) | 1095000 | 1115625 |
| Bread Financial Holdings Inc 8.375% 6/15/2035 (c)(d)(e) | 2920000 | 2976630 |
| Credit Acceptance Corp 6.625% 3/15/2030 (d)(e) | 500000 | 497393 |
| Enova International Inc 9.125% 8/1/2029 (d) | 4836000 | 5079947 |
| FirstCash Inc 5.625% 1/1/2030 (d) | 1214000 | 1207872 |
| OneMain Finance Corp 3.875% 9/15/2028 (e) | 1857000 | 1796674 |
| OneMain Finance Corp 7.875% 3/15/2030  | 1166000 | 1219583 |
| PROG Holdings Inc 6% 11/15/2029 (d) | 1864000 | 1830112 |
| Synchrony Financial 7.25% 2/2/2033  | 1809000 | 1907662 |
|  |  | 19498677 |
| Financial Services - 1.7% |  |  |
| Block Inc 6% 8/15/2033 (d) | 305000 | 309936 |
| Burford Capital Global Finance LLC 8.5% 1/15/2034 (d)(e) | 955000 | 936077 |
| HA Sustainable Infrastructure Capital Inc 6.15% 1/15/2031 (e) | 1000000 | 1037976 |
| HA Sustainable Infrastructure Capital Inc 7.125% 11/15/2056 (c) | 1261000 | 1260653 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (d) | 1500000 | 1477500 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 4.375% 2/1/2029 (e) | 1047000 | 891633 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  | 2000000 | 1969939 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (d) | 1135000 | 1110941 |
|  |  | 8994655 |
| Insurance - 0.7% |  |  |
| Acrisure LLC / Acrisure Finance Inc 7.5% 11/6/2030 (d)(e) | 1055000 | 1073627 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.5% 10/1/2031 (d) | 500000 | 502744 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7% 1/15/2031 (d) | 725000 | 738159 |
| AmWINS Group Inc 6.375% 2/15/2029 (d)(e) | 500000 | 508807 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (d) | 854000 | 868813 |
|  |  | 3692150 |
| Mortgage Real Estate Investment Trusts (REITs) - 1.6% |  |  |
| Arbor Realty SR Inc 8.5% 12/15/2028 (d)(e) | 1500000 | 1459877 |
| EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM 7.375% 9/30/2030 (d) | 640000 | 646365 |
| Rithm Capital Corp 8% 4/1/2029 (d) | 5101000 | 5133361 |
| Rithm Capital Corp 8% 7/15/2030 (d) | 1305000 | 1311016 |
|  |  | 8550619 |
| TOTAL FINANCIALS |  | 42954785 |
| Health Care - 4.6% |  |  |
| Biotechnology - 0.4% |  |  |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (d) | 2525000 | 2207794 |
| Health Care Equipment & Supplies - 0.1% |  |  |
| Insulet Corp 6.5% 4/1/2033 (d) | 165000 | 171612 |
| Medline Borrower LP 5.25% 10/1/2029 (d) | 542000 | 541957 |
|  |  | 713569 |
| Health Care Providers & Services - 1.8% |  |  |
| DaVita Inc 3.75% 2/15/2031 (d)(e) | 1400000 | 1308290 |
| DaVita Inc 4.625% 6/1/2030 (d)(e) | 2199000 | 2152659 |
| DaVita Inc 6.75% 7/15/2033 (d)(e) | 1850000 | 1920824 |
| DaVita Inc 6.875% 9/1/2032 (d)(e) | 900000 | 935177 |
| LifePoint Health Inc 11% 10/15/2030 (d) | 2000000 | 2172244 |
| LifePoint Health Inc 9.875% 8/15/2030 (d)(e) | 492000 | 524948 |
| Tenet Healthcare Corp 6% 11/15/2033 (d)(e) | 355000 | 366868 |
|  |  | 9381010 |
| Health Care Technology - 0.2% |  |  |
| IQVIA Inc 6.25% 6/1/2032 (d) | 1240000 | 1275558 |
| Pharmaceuticals - 2.1% |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (d) | 1400000 | 1447786 |
| Endo Finance Holdings LP 8.5% 4/15/2031 (d) | 460000 | 488885 |
| HLF Financing Sarl LLC / Herbalife International Inc 12.25% 4/15/2029 (d) | 2843000 | 3036856 |
| HLF Financing Sarl LLC / Herbalife International Inc 4.875% 6/1/2029 (d)(e) | 2950000 | 2826179 |
| Jazz Securities DAC 4.375% 1/15/2029 (d) | 2623000 | 2585979 |
|  |  | 10385685 |
| TOTAL HEALTH CARE |  | 23963616 |
| Industrials - 12.2% |  |  |
| Aerospace & Defense - 2.7% |  |  |
| Axon Enterprise Inc 6.25% 3/15/2033 (d) | 490000 | 507894 |
| BWX Technologies Inc 4.125% 6/30/2028 (d) | 650000 | 643764 |
| TransDigm Inc 4.625% 1/15/2029  | 2600000 | 2592254 |
| TransDigm Inc 4.875% 5/1/2029 (e) | 2775000 | 2770127 |
| TransDigm Inc 6.125% 7/31/2034 (d) | 670000 | 680543 |
| TransDigm Inc 6.25% 1/31/2034 (d) | 135000 | 139657 |
| TransDigm Inc 6.375% 3/1/2029 (d) | 500000 | 513125 |
| TransDigm Inc 6.375% 5/31/2033 (d) | 3420000 | 3490566 |
| TransDigm Inc 6.875% 12/15/2030 (d)(e) | 2588000 | 2693469 |
|  |  | 14031399 |
| Building Products - 0.6% |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (d) | 510000 | 513886 |
| Builders FirstSource Inc 4.25% 2/1/2032 (d) | 500000 | 476860 |
| Builders FirstSource Inc 6.75% 5/15/2035 (d) | 1310000 | 1367070 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.75% 7/15/2031 (d)(e) | 375000 | 391017 |
| Miter Brands Acquisition Holdco Inc / MIWD Borrower LLC 6.75% 4/1/2032 (d)(e) | 240000 | 241992 |
|  |  | 2990825 |
| Commercial Services & Supplies - 2.8% |  |  |
| ACCO Brands Corp 4.25% 3/15/2029 (d)(e) | 643000 | 591537 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (d)(e) | 1356000 | 1432625 |
| Brink's Co/The 6.5% 6/15/2029 (d) | 590000 | 607581 |
| Enviri Corp 5.75% 7/31/2027 (d)(e) | 835000 | 835701 |
| GEO Group Inc/The 10.25% 4/15/2031  | 3381000 | 3630137 |
| GEO Group Inc/The 8.625% 4/15/2029  | 1310000 | 1363076 |
| GFL Environmental Holdings US Inc 5.5% 2/1/2034 (d) | 955000 | 958435 |
| GFL Environmental Inc 4% 8/1/2028 (d) | 3980000 | 3918407 |
| Pitney Bowes Inc 7.25% 3/15/2029 (d) | 1415000 | 1411169 |
|  |  | 14748668 |
| Construction & Engineering - 0.9% |  |  |
| AECOM 6% 8/1/2033 (d) | 810000 | 827627 |
| Arcosa Inc 4.375% 4/15/2029 (d) | 1037000 | 1021390 |
| Arcosa Inc 6.875% 8/15/2032 (d) | 1135000 | 1190765 |
| Dycom Industries Inc 4.5% 4/15/2029 (d) | 1463000 | 1440547 |
|  |  | 4480329 |
| Electrical Equipment - 0.9% |  |  |
| EnerSys 4.375% 12/15/2027 (d)(e) | 2988000 | 2975601 |
| WESCO Distribution Inc 5.5% 4/15/2034 (d) | 1530000 | 1541873 |
|  |  | 4517474 |
| Ground Transportation - 0.2% |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.375% 6/15/2032 (d)(e) | 950000 | 934195 |
| Machinery - 2.2% |  |  |
| Allison Transmission Inc 3.75% 1/30/2031 (d)(e) | 5233000 | 4977927 |
| Allison Transmission Inc 5.875% 12/1/2033 (d) | 725000 | 740384 |
| Allison Transmission Inc 5.875% 6/1/2029 (d) | 1157000 | 1169035 |
| Columbus McKinnon Corp/NY 7.125% 2/1/2033 (d)(e) | 560000 | 575713 |
| Enpro Inc 6.125% 6/1/2033 (d) | 900000 | 928843 |
| Wabash National Corp 4.5% 10/15/2028 (d)(e) | 3515000 | 3237909 |
|  |  | 11629811 |
| Passenger Airlines - 0.1% |  |  |
| Allegiant Travel Co 7.25% 8/15/2027 (d) | 500000 | 504639 |
| United Airlines Inc 4.625% 4/15/2029 (d) | 338000 | 337745 |
|  |  | 842384 |
| Professional Services - 0.5% |  |  |
| CACI International Inc 6.375% 6/15/2033 (d) | 715000 | 736087 |
| CACI International Inc 6.375% 6/15/2033 (d)(f) | 635000 | 653728 |
| Concentrix Corp 6.5% 3/1/2029 (e) | 1255000 | 1240413 |
|  |  | 2630228 |
| Trading Companies & Distributors - 1.3% |  |  |
| BlueLinx Holdings Inc 6% 11/15/2029 (d)(e) | 4138000 | 4080856 |
| Herc Holdings Inc 5.75% 3/15/2031 (d)(e) | 300000 | 304116 |
| United Rentals North America Inc 5.375% 11/15/2033 (d) | 2215000 | 2233060 |
|  |  | 6618032 |
| TOTAL INDUSTRIALS |  | 63423345 |
| Information Technology - 2.4% |  |  |
| Communications Equipment - 0.1% |  |  |
| Viasat Inc 7.5% 5/30/2031 (d) | 710000 | 700442 |
| Electronic Equipment, Instruments & Components - 0.2% |  |  |
| CPI CG Inc 10% 7/15/2029 (d) | 322000 | 340182 |
| Crane NXT Co 4.2% 3/15/2048  | 900000 | 597249 |
| Lightning Power LLC 7.25% 8/15/2032 (d) | 305000 | 323807 |
|  |  | 1261238 |
| IT Services - 1.4% |  |  |
| ASGN Inc 4.625% 5/15/2028 (d)(e) | 1000000 | 969694 |
| CoreWeave Inc 9% 2/1/2031 (d) | 605000 | 583744 |
| CoreWeave Inc 9.25% 6/1/2030 (d) | 5510000 | 5396769 |
|  |  | 6950207 |
| Software - 0.7% |  |  |
| Cloud Software Group Inc 6.5% 3/31/2029 (d) | 1009000 | 989503 |
| Consensus Cloud Solutions Inc 6.5% 10/15/2028 (d)(e) | 665000 | 660073 |
| Fair Isaac Corp 6% 5/15/2033 (d) | 910000 | 919806 |
| Pagaya US Holdings Co LLC 8.875% 8/1/2030 (d)(e) | 1000000 | 722984 |
|  |  | 3292366 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Seagate HDD Cayman 3.125% 7/15/2029  | 203 | 180 |
| TOTAL INFORMATION TECHNOLOGY |  | 12204433 |
| Materials - 6.8% |  |  |
| Chemicals - 3.5% |  |  |
| Chemours Co/The 5.75% 11/15/2028 (d)(e) | 2420000 | 2434070 |
| Chemours Co/The 7.875% 3/15/2034 (d)(f) | 510000 | 509363 |
| CVR Partners LP / CVR Nitrogen Finance Corp 6.125% 6/15/2028 (d) | 3984000 | 3973398 |
| LSB Industries Inc 6.25% 10/15/2028 (d) | 2470000 | 2482928 |
| Methanex US Operations Inc 6.25% 3/15/2032 (d)(e) | 600000 | 621002 |
| Minerals Technologies Inc 5% 7/1/2028 (d)(e) | 1600000 | 1594000 |
| Perimeter Holdings LLC 6.25% 1/15/2034 (d) | 2285000 | 2295419 |
| Rain Carbon Inc 12.25% 9/1/2029 (d)(e) | 3680000 | 3918780 |
|  |  | 17828960 |
| Construction Materials - 0.1% |  |  |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (d) | 600000 | 637430 |
| Containers & Packaging - 1.1% |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (d) | 325000 | 332641 |
| Clydesdale Acquisition Holdings Inc 6.625% 4/15/2029 (d) | 485000 | 490008 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (d)(e) | 500000 | 507665 |
| Owens-Brockway Glass Container Inc 7.25% 5/15/2031 (d)(e) | 2250000 | 2274872 |
| Sealed Air Corp 6.5% 7/15/2032 (d)(e) | 2063000 | 2124744 |
|  |  | 5729930 |
| Metals & Mining - 2.1% |  |  |
| Century Aluminum Co 6.875% 8/1/2032 (d) | 440000 | 455117 |
| Commercial Metals Co 5.75% 11/15/2033 (d) | 800000 | 816228 |
| Compass Minerals International Inc 8% 7/1/2030 (d) | 1690000 | 1783035 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (d)(e) | 655000 | 662295 |
| Novelis Corp 4.75% 1/30/2030 (d) | 3900000 | 3779509 |
| Novelis Corp 6.875% 1/30/2030 (d) | 1275000 | 1316154 |
| SunCoke Energy Inc 4.875% 6/30/2029 (d) | 2350000 | 2146621 |
|  |  | 10958959 |
| TOTAL MATERIALS |  | 35155279 |
| Real Estate - 7.1% |  |  |
| Diversified REITs - 0.8% |  |  |
| Iron Mountain Information Management Services Inc 5% 7/15/2032 (d)(e) | 4099000 | 3965989 |
| Health Care REITs - 0.3% |  |  |
| Diversified Healthcare Trust 7.25% 10/15/2030 (d) | 1265000 | 1315455 |
| Hotel & Resort REITs - 1.6% |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (d)(e) | 2500000 | 2455630 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (d) | 210000 | 217428 |
| RHP Hotel Properties LP / RHP Finance Corp 4.5% 2/15/2029 (d) | 1000000 | 986259 |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (d)(f) | 450000 | 453283 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 4/1/2032 (d)(e) | 3196000 | 3307147 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (d)(e) | 900000 | 934911 |
|  |  | 8354658 |
| Real Estate Management & Development - 1.9% |  |  |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (d) | 2096000 | 2118729 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (d) | 2695000 | 2903892 |
| Brandywine Operating Partnership LP 6.125% 1/15/2031 (e) | 640000 | 607311 |
| Five Point Operating Co LP 8% 10/1/2030 (d) | 1055000 | 1092516 |
| Greystar Real Estate Partners LLC 7.75% 9/1/2030 (d) | 130000 | 135840 |
| Howard Hughes Corp/The 4.125% 2/1/2029 (d) | 1544000 | 1494972 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (d)(e) | 777000 | 739014 |
| Howard Hughes Corp/The 5.875% 3/1/2032 (d) | 1000000 | 999499 |
|  |  | 10091773 |
| Retail REITs - 0.3% |  |  |
| Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL 5.75% 5/15/2026 (d) | 1457000 | 1453012 |
| Specialized REITs - 2.2% |  |  |
| Iron Mountain Inc 4.5% 2/15/2031 (d) | 2600000 | 2507739 |
| Millrose Properties Inc 6.25% 9/15/2032 (d) | 1890000 | 1913706 |
| Millrose Properties Inc 6.375% 8/1/2030 (d) | 3470000 | 3559873 |
| SBA Communications Corp 3.125% 2/1/2029  | 3750000 | 3605519 |
|  |  | 11586837 |
| TOTAL REAL ESTATE |  | 36767724 |
| Utilities - 4.5% |  |  |
| Electric Utilities - 2.1% |  |  |
| Edison International 7.875% 6/15/2054 (c) | 990000 | 1030627 |
| Edison International 8.125% 6/15/2053 (c) | 2900000 | 3014507 |
| EUSHI Finance Inc 6.25% 4/1/2056 (c) | 790000 | 795857 |
| NRG Energy Inc 3.375% 2/15/2029 (d) | 1334000 | 1285699 |
| NRG Energy Inc 6% 1/15/2036 (d)(e) | 1140000 | 1160141 |
| PacifiCorp 7.125% 8/15/2056 (c) | 2250000 | 2211380 |
| Topaz Solar Farms LLC 5.75% 9/30/2039 (d) | 1395184 | 1402160 |
|  |  | 10900371 |
| Gas Utilities - 1.5% |  |  |
| AmeriGas Partners LP / AmeriGas Finance Corp 5.75% 5/20/2027 (e) | 3100000 | 3125550 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.375% 6/1/2028 (d)(e) | 2721000 | 2812385 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.5% 6/1/2030 (d)(e) | 925000 | 990093 |
| Ferrellgas LP / Ferrellgas Finance Corp 9.25% 1/15/2031 (d) | 950000 | 985662 |
|  |  | 7913690 |
| Independent Power and Renewable Electricity Producers - 0.9% |  |  |
| Alpha Generation LLC 6.75% 10/15/2032 (d)(e) | 395000 | 410412 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (d) | 2480000 | 2523635 |
| Talen Energy Supply LLC 8.625% 6/1/2030 (d) | 1425000 | 1499388 |
|  |  | 4433435 |
| TOTAL UTILITIES |  | 23247496 |
| TOTAL UNITED STATES |  | 390673542 |
| ZAMBIA - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| First Quantum Minerals Ltd 6.375% 2/15/2036 (d) | 480000 | 481544 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $494,595,650) |  | <br> **504406304** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 1.0%** | &nbsp;&nbsp;**Preferred Securities - 1.0%** | &nbsp;&nbsp;**Preferred Securities - 1.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| FRANCE - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Societe Generale SA 7.125% (b)(c)(d) | 1695000 | 1703796 |
| UNITED KINGDOM - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Standard Chartered PLC 7% (b)(c)(d) | 1355000 | 1428539 |
| UNITED STATES - 0.4%  |  |  |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| Citigroup Inc 6.875% (b)(c) | 2010000 | 2065989 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $5,119,625) |  | <br> **5198324** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 11.9%** | &nbsp;&nbsp;**Money Market Funds - 11.9%** | &nbsp;&nbsp;**Money Market Funds - 11.9%** | &nbsp;&nbsp;**Money Market Funds - 11.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g) | 3.70 | 8673726 | 8675460 |
| Fidelity Securities Lending Cash Central Fund (g)(h) | 3.69 | 52855498 | 52860784 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $61,536,244) |  |  | **61536244** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 110.1%**<br> (Cost $561,251,519)<br>| <br>**571140872** |
| **NET OTHER ASSETS (LIABILITIES) - (10.1)%**  | **(52211101)** |
| **NET ASSETS - 100.0%** | **518929771** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 5Y US Treasury Notes Contracts (United States) | 10 | 6/2026 | 1101172 | 6528 |
| The notional amount of long futures as a percentage of Net Assets is 0.2%. | The notional amount of long futures as a percentage of Net Assets is 0.2%. | The notional amount of long futures as a percentage of Net Assets is 0.2%. | The notional amount of long futures as a percentage of Net Assets is 0.2%. | The notional amount of long futures as a percentage of Net Assets is 0.2%. |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security is perpetual in nature with no stated maturity date.

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

(d) 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 $449,766,432 or 86.7% of net assets.

(e) Security or a portion of the security is on loan at period end.

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

(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.

(h) Investment made with cash collateral received from securities on loan.

**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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1434208 | 95139581 | 87898169 | 107620 | (160) | - | 8675460 | 8673726 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | 37858903 | 103418414 | 88416287 | 42038 | (246) | - | 52860784 | 52855498 | 0.1% |
| Total | 39293111 | 198557995 | 176314456 | 149658 | (406) | - | 61536244 |  |  |

---

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 in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

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, 2026, 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:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 55527030 | - | 55527030 | - |
| Consumer Discretionary | 71098364 | - | 71098364 | - |
| Consumer Staples | 5911637 | - | 5911637 | - |
| Energy | 78339197 | - | 78339197 | - |
| Financials | 50758858 | - | 50758858 | - |
| Health Care | 28917626 | - | 28917626 | - |
| Industrials | 75894058 | - | 75894058 | - |
| Information Technology | 16820353 | - | 16820353 | - |
| Materials | 58018885 | - | 58018885 | - |
| Real Estate | 36767724 | - | 36767724 | - |
| Utilities | 26352572 | - | 26352572 | - |
|  **Preferred Securities** |  |  |  |  |
| Financials | 5198324 | - | 5198324 | - |
|  **Money Market Funds** | 61536244 | 61536244 | - | - |
| **Total Investments in Securities:** | 571140872 | 61536244 | 509604628 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 6528 | 6528 | - | - |
| Total Assets | 6528 | 6528 | - | - |
| **Total Derivative Instruments:** | 6528 | 6528 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 6528 | - |
| **Total Interest Rate Risk**  | 6528 | - |
| **Total Value of Derivatives** | 6528 | - |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Fidelity® Enhanced High Yield ETF**

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $50,862,113) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $499,715,275) | $509604628 |  |
| Fidelity Central Funds (cost $61,536,244) | 61536244 |  |
| Total Investment in Securities (cost $561,251,519) |  | $571140872 |
| Segregated cash with brokers for derivative instruments |  | 80625 |
| Cash |  | 146646 |
| Receivable for investments sold |  | 363355 |
| Receivable for fund shares sold |  | 12298333 |
| Interest receivable |  | 8842425 |
| Distributions receivable from Fidelity Central Funds |  | 26214 |
| Receivable for daily variation margin on futures contracts |  | 2969 |
| **Total assets** |  | 592901439 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $14299431 |  |
| Delayed delivery | 3883256 |  |
| Distributions payable | 2781000 |  |
| Accrued management fee | 146951 |  |
| Collateral on securities loaned | 52861030 |  |
| **Total liabilities** |  | 73971668 |
| **Net Assets**  |  | $518929771 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $542704749 |
| Total accumulated earnings (loss) |  | (23774978) |
| **Net Assets** |  | $518929771 |
| **Net Asset Value**, offering price and redemption price per share ($518,929,771 ÷ 10,550,000 shares) |  | $49.19 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $60427 |
| Interest  |  | 15201828 |
| Income from Fidelity Central Funds (including $42,038 from security lending)  |  | 149658 |
| **Total income** |  | 15411913 |
| **Expenses** |  |  |
| Management fee | $799328 |  |
| Independent trustees' fees and expenses | 845 |  |
| Total expenses before reductions | 800173 |  |
| Expense reductions | (4857) |  |
| Total expenses after reductions |  | 795316 |
| **Net Investment income (loss)** |  | 14616597 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 904059 |  |
| Fidelity Central Funds | (406) |  |
| Futures contracts | 65634 |  |
| Swaps | (39664) |  |
| Total net realized gain (loss) |  | 929623 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 1161943 |  |
| Futures contracts | (37794) |  |
| Total change in net unrealized appreciation (depreciation) |  | 1124149 |
| **Net gain (loss)** |  | 2053772 |
| **Net increase (decrease) in net assets resulting from operations** |  | $16670369 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $14616597 | $25111275 |
| &nbsp;&nbsp;Net realized gain (loss) | 929623<br>| (448210)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1124149 | 1333475<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 16670369<br>| 25996540<br>|
| Distributions to shareholders | (14846600)<br>| (24904300)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 98460852 | 138781750 |
| &nbsp;&nbsp;Cost of shares redeemed | - | (55382669) |
| **Net increase (decrease) in net assets resulting from share transactions** | 98460852<br>| 83399081<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 100284621<br>| 84491321<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 418645150 | 334153829<br>|
| &nbsp;&nbsp;End of period | $518929771 | $418645150 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 2000000 | 2850000 |
| &nbsp;&nbsp;Redeemed | - | (1150000) |
| &nbsp;&nbsp;Net increase (decrease) | 2000000 | 1700000 |

---

**Financial Highlights** 

**Fidelity® Enhanced High Yield ETF** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $48.96 | $48.78 | $46.49 | $46.22 | $56.07 | $54.49 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) A,B | 1.576  | 3.297  | 3.198  | 2.781  | 2.383  | 2.250  |
| Net realized and unrealized gain (loss)  | .228  | .125  | 2.264  | .297  | (8.748)  | 2.335  |
| Total from investment operations  | 1.804  | 3.422  | 5.462  | 3.078  | (6.365)  | 4.585  |
| Distributions from net investment income  | (1.574)  | (3.242)  | (3.172)  | (2.808)  | (2.355)  | (2.195)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (1.128)  | (.808)  |
| Total distributions  | (1.574)  | (3.242)  | (3.172)  | (2.808)  | (3.483)  | (3.003)  |
| Net asset value, end of period  | $49.19 | $48.96 | $48.78 | $46.49 | $46.22 | $56.07 |
| **Total Return** C,D,E | 3.72% <br>| 7.31%  | 12.20%  | 6.90%  | (11.85)%  | 8.66%  |
| **Ratios to Average Net Assets** B,F,G |  |  |  |  |  |  |
| Expenses before reductions  | .35% H | .36%  | .46%  | .45%  | .45%  | .45%  |
| Expenses net of fee waivers, if any  | .35% H<br>| .36%  | .46%  | .45%  | .45%  | .45%  |
| Expenses net of all reductions, if any  | .35% H | .36%  | .46%  | .45%  | .45%  | .45%  |
| Net investment income (loss)  | 6.47% H | 6.81%  | 6.76%  | 6.02%  | 4.64%  | 4.07%  |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $518930 | $418645 | $334154 | $288250 | $274996 | $277532 |
| Portfolio turnover rate I,J | 60% H<br>| 79%  | 51%  | 84%  | 72%  | 177%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Total returns for periods of less than one year are not annualized.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Based on net asset value.*

F*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.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment 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.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

J*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity® Preferred Securities & Income ETF**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.3%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.3%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.3%** |
|  | Shares | Value ($)<br>|
| CANADA - 0.1%  |  |  |
| Utilities - 0.1% |  |  |
| Multi-Utilities - 0.1% |  |  |
| Algonquin Power & Utilities Corp 3 month U.S. LIBOR + 4.01%, 8.6591% (b)(c) | 3000 | 77339 |
| UNITED STATES - 0.2%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Apollo Global Management Inc Series A, 6.75%  | 800 | 44822 |
| Information Technology - 0.1% |  |  |
| Software - 0.1% |  |  |
| Strategy Inc 8%  | 600 | 47376 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.1% |  |  |
| PG&E Corp Series A, 6%  | 1300 | 59683 |
| TOTAL UNITED STATES |  | 151881 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $227,175) |  | <br> **229220** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 20.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 20.0%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 20.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 5.1%  |  |  |
| Communication Services - 1.2% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| Bell Canada 6.875% 9/15/2055 (b) | 140000 | 146170 |
| Bell Canada 7% 9/15/2055 (b) | 140000 | 148182 |
|  |  | 294352 |
| Wireless Telecommunication Services - 0.8% |  |  |
| Rogers Communications Inc 5.25% 3/15/2082 (b)(f) | 510000 | 510653 |
| Rogers Communications Inc 7% 4/15/2055 (b) | 158000 | 165240 |
|  |  | 675893 |
| TOTAL COMMUNICATION SERVICES |  | 970245 |
| Energy - 3.6% |  |  |
| Oil, Gas & Consumable Fuels - 3.6% |  |  |
| Enbridge Inc 8.5% 1/15/2084 (b) | 1575000 | 1817738 |
| South Bow Canadian Infrastructure Holdings Ltd 7.625% 3/1/2055 (b) | 195000 | 203201 |
| TransCanada PipeLines Ltd 7% 6/1/2065 (b) | 135000 | 140395 |
| Transcanada Trust 5.3% 3/15/2077 (b) | 161000 | 161625 |
| Transcanada Trust 5.5% 9/15/2079 (b) | 128000 | 129390 |
| Transcanada Trust 5.6% 3/7/2082 (b) | 335000 | 336598 |
| Transcanada Trust 5.875% 8/15/2076 (b) | 129000 | 129281 |
| TOTAL ENERGY |  | 2918228 |
| Utilities - 0.3% |  |  |
| Electric Utilities - 0.1% |  |  |
| Emera Inc 6.75% 6/15/2076 (b) | 125000 | 125626 |
| Gas Utilities - 0.2% |  |  |
| AltaGas Ltd 7.2% 10/15/2054 (b)(f) | 200000 | 208962 |
| TOTAL UTILITIES |  | 334588 |
| TOTAL CANADA |  | 4223061 |
| GERMANY - 0.7%  |  |  |
| Financials - 0.7% |  |  |
| Insurance - 0.7% |  |  |
| Allianz SE 5.6% 9/3/2054 (b)(f) | 175000 | 178939 |
| Allianz SE 6.35% 9/6/2053 (b)(f) | 140000 | 150231 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 5.875% 5/23/2042 (b)(f) | 200000 | 210095 |
| TOTAL GERMANY |  | 539265 |
| IRELAND - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Consumer Finance - 0.2% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.95% 3/10/2055 (b) | 150000 | 158531 |
| JAPAN - 2.6%  |  |  |
| Financials - 2.6% |  |  |
| Insurance - 2.6% |  |  |
| Meiji Yasuda Life Insurance Co 5.1% 4/26/2048 (b)(f) | 200000 | 203238 |
| Meiji Yasuda Life Insurance Co 5.8% 9/11/2054 (b)(f) | 150000 | 152931 |
| Meiji Yasuda Life Insurance Co 6.1% 6/11/2055 (b)(f) | 290000 | 300443 |
| Nippon Life Insurance Co 2.75% 1/21/2051 (b)(f) | 200000 | 181385 |
| Nippon Life Insurance Co 3.4% 1/23/2050 (b)(f) | 100000 | 95341 |
| Nippon Life Insurance Co 5.95% 4/16/2054 (b)(f) | 260000 | 270943 |
| Nippon Life Insurance Co 6.25% 9/13/2053 (b)(f) | 200000 | 212683 |
| Nippon Life Insurance Co 6.5% 4/30/2055 (b)(f) | 400000 | 429892 |
| Sumitomo Life Insurance Co 4% 9/14/2077 (b)(f) | 270000 | 267862 |
| TOTAL JAPAN |  | 2114718 |
| UNITED KINGDOM - 1.1%  |  |  |
| Communication Services - 1.1% |  |  |
| Wireless Telecommunication Services - 1.1% |  |  |
| Vodafone Group PLC 3.25% 6/4/2081 (b) | 170000 | 168606 |
| Vodafone Group PLC 4.125% 6/4/2081 (b) | 180000 | 170291 |
| Vodafone Group PLC 5.125% 6/4/2081 (b) | 215000 | 173909 |
| Vodafone Group PLC 7% 4/4/2079 (b) | 400000 | 423512 |
| TOTAL UNITED KINGDOM |  | 936318 |
| UNITED STATES - 10.3%  |  |  |
| Communication Services - 0.2% |  |  |
| Media - 0.2% |  |  |
| Paramount Global 6.25% 2/28/2057 (b) | 80000 | 62024 |
| Paramount Global 6.375% 3/30/2062 (b) | 125000 | 98125 |
| TOTAL COMMUNICATION SERVICES |  | 160149 |
| Energy - 0.3% |  |  |
| Oil, Gas & Consumable Fuels - 0.3% |  |  |
| Energy Transfer LP 8% 5/15/2054 (b) | 35000 | 37548 |
| Enterprise Products Operating LLC 5.25% 8/16/2077 (b) | 126000 | 126101 |
| Enterprise Products Operating LLC 5.375% 2/15/2078 (b) | 67000 | 67188 |
| Enterprise Products Operating LLC CME Term SOFR 3 month Index + 2.986%, 6.9001% 8/16/2077 (b)(c) | 33000 | 32918 |
| TOTAL ENERGY |  | 263755 |
| Financials - 3.4% |  |  |
| Capital Markets - 0.1% |  |  |
| Ares Finance Co III LLC 4.125% 6/30/2051 (b)(f) | 75000 | 73811 |
| Financial Services - 0.2% |  |  |
| Corebridge Financial Inc 6.375% 9/15/2054 (b) | 130000 | 130039 |
| Insurance - 3.1% |  |  |
| Acrisure LLC / Acrisure Finance Inc 6% 8/1/2029 (f) | 420000 | 391990 |
| Assurant Inc 7% 3/27/2048 (b) | 61000 | 62781 |
| Liberty Mutual Group Inc 4.125% 12/15/2051 (b)(f) | 150000 | 148875 |
| Liberty Mutual Group Inc 4.3% 2/1/2061 (f) | 125000 | 84007 |
| MetLife Inc 10.75% 8/1/2069  | 128000 | 169562 |
| MetLife Inc 6.35% 3/15/2055 (b) | 130000 | 135025 |
| MetLife Inc 6.4% 12/15/2066 (b) | 319000 | 333767 |
| PartnerRe Finance B LLC 4.5% 10/1/2050 (b) | 67000 | 64755 |
| Prudential Financial Inc 3.7% 10/1/2050 (b) | 200000 | 186102 |
| Prudential Financial Inc 4.5% 9/15/2047 (b) | 125000 | 123146 |
| Prudential Financial Inc 5.125% 3/1/2052 (b) | 150000 | 147405 |
| Prudential Financial Inc 5.7% 9/15/2048 (b) | 120000 | 120842 |
| Prudential Financial Inc 6% 9/1/2052 (b) | 200000 | 206663 |
| Prudential Financial Inc 6.5% 3/15/2054 (b) | 120000 | 126459 |
| Prudential Financial Inc 6.75% 3/1/2053 (b) | 250000 | 268104 |
|  |  | 2569483 |
| TOTAL FINANCIALS |  | 2773333 |
| Health Care - 0.8% |  |  |
| Health Care Providers & Services - 0.8% |  |  |
| CVS Health Corp 6.75% 12/10/2054 (b) | 429000 | 446236 |
| CVS Health Corp 7% 3/10/2055 (b) | 164000 | 172499 |
| TOTAL HEALTH CARE |  | 618735 |
| Utilities - 5.6% |  |  |
| Electric Utilities - 2.8% |  |  |
| American Electric Power Co Inc 3.875% 2/15/2062 (b) | 135000 | 133036 |
| Edison International 7.875% 6/15/2054 (b) | 15000 | 15615 |
| NextEra Energy Capital Holdings Inc 3.8% 3/15/2082 (b) | 140000 | 137712 |
| NextEra Energy Capital Holdings Inc 4.8% 12/1/2077 (b) | 140000 | 138849 |
| NextEra Energy Capital Holdings Inc 5.65% 5/1/2079 (b) | 234000 | 236624 |
| NextEra Energy Capital Holdings Inc 6.375% 8/15/2055 (b) | 263000 | 273174 |
| NextEra Energy Capital Holdings Inc 6.5% 8/15/2055 (b) | 140000 | 148418 |
| NextEra Energy Capital Holdings Inc 6.7% 9/1/2054 (b) | 140000 | 145368 |
| NextEra Energy Capital Holdings Inc 6.75% 6/15/2054 (b) | 140000 | 148948 |
| PacifiCorp 7.375% 9/15/2055 (b) | 81000 | 82035 |
| PG&E Corp 7.375% 3/15/2055 (b) | 271000 | 280479 |
| Southern Co/The 3.75% 9/15/2051 (b) | 400000 | 396949 |
| Southern Co/The 6.375% 3/15/2055 (b) | 135000 | 141240 |
|  |  | 2278447 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| AES Corp/The 6.95% 7/15/2055 (b) | 140000 | 135278 |
| Multi-Utilities - 2.7% |  |  |
| CenterPoint Energy Inc 6.7% 5/15/2055 (b) | 138000 | 142652 |
| CMS Energy Corp 3.75% 12/1/2050 (b) | 409000 | 380710 |
| CMS Energy Corp 4.75% 6/1/2050 (b) | 150000 | 148389 |
| Dominion Energy Inc 6% 2/15/2056 (b) | 307000 | 311529 |
| Dominion Energy Inc 6.625% 5/15/2055 (b) | 500000 | 519024 |
| Sempra 4.125% 4/1/2052 (b) | 710000 | 700789 |
|  |  | 2203093 |
| TOTAL UTILITIES |  | 4616818 |
| TOTAL UNITED STATES |  | 8432790 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $15,834,166) |  | <br> **16404683** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 34.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 34.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 34.0%** |
|  | Shares | Value ($)<br>|
| BERMUDA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| RenaissanceRe Holdings Ltd Series G, 4.2%  | 1550 | 24707 |
| CANADA - 0.4%  |  |  |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| TransCanada PipeLines Ltd 6.25%  | 7100 | 175335 |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Brookfield Finance Inc 4.625%  | 2500 | 39649 |
| Industrials - 0.1% |  |  |
| Electrical Equipment - 0.1% |  |  |
| Brookfield BRP Holdings Canada Inc 7.25%  | 2100 | 51975 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.0% |  |  |
| Brookfield Infrastructure Finance ULC 7.25%  | 1100 | 27302 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| Brookfield Renewable Partners LP 5.25%  | 2395 | 42751 |
| Multi-Utilities - 0.0% |  |  |
| Brookfield Infrastructure Partners LP 5.125%  | 825 | 14124 |
| Brookfield Infrastructure Partners LP Series A, 5%  | 825 | 13794 |
|  |  | 27918 |
| TOTAL UTILITIES |  | 97971 |
| TOTAL CANADA |  | 364930 |
| NETHERLANDS - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Insurance - 0.1% |  |  |
| AEGON Funding Co LLC 5.1%  | 3950 | 78743 |
| UNITED STATES - 33.5%  |  |  |
| Communication Services - 5.4% |  |  |
| Diversified Telecommunication Services - 2.3% |  |  |
| AT&T Inc 5.35%  | 34986 | 792433 |
| AT&T Inc Series A, 5%  | 18800 | 392356 |
| AT&T Inc Series C 4.75%  | 23900 | 465811 |
| Qwest Corp 6.5%  | 5900 | 113339 |
| Qwest Corp 6.75%  | 7400 | 146594 |
|  |  | 1910533 |
| Wireless Telecommunication Services - 3.1% |  |  |
| T-Mobile USA Inc 5.5%  | 43956 | 1004834 |
| T-Mobile USA Inc 5.5%  | 39025 | 887429 |
| T-Mobile USA Inc 6.25%  | 22700 | 563414 |
| Telephone and Data Systems Inc 6%  | 3500 | 70245 |
| Telephone and Data Systems Inc 6.625%  | 1500 | 33225 |
|  |  | 2559147 |
| TOTAL COMMUNICATION SERVICES |  | 4469680 |
| Consumer Discretionary - 0.3% |  |  |
| Automobiles - 0.3% |  |  |
| Ford Motor Co 6%  | 5300 | 110876 |
| Ford Motor Co 6.2%  | 2600 | 55770 |
| Ford Motor Co 6.5%  | 2400 | 53904 |
| TOTAL CONSUMER DISCRETIONARY |  | 220550 |
| Financials - 17.4% |  |  |
| Banks - 8.2% |  |  |
| Bank of America Corp 4.25%  | 6032 | 107068 |
| Bank of America Corp 4.375%  | 9062 | 166741 |
| Bank of America Corp 4.75%  | 11500 | 230575 |
| Bank of America Corp 5%  | 8700 | 185310 |
| Bank of America Corp Series HH, 5.875%  | 14600 | 367190 |
| Bank of America Corp Series KK, 5.375%  | 8000 | 181440 |
| Bank of America Corp Series PP, 4.125%  | 7500 | 130725 |
| Citigroup Inc 6.25%  | 15600 | 395928 |
| Citizens Financial Group Inc 6.5% (b) | 5200 | 132600 |
| Citizens Financial Group Inc Series E, 5%  | 2000 | 39900 |
| Fifth Third Bancorp Series K, 4.95%  | 800 | 15928 |
| Huntington Bancshares Inc/OH Series C 5.7%  | 1200 | 27912 |
| Huntington Bancshares Inc/OH Series H 4.5%  | 3100 | 55304 |
| Huntington Bancshares Inc/OH Series L, 5.5%  | 2000 | 43080 |
| JPMorgan Chase & Co 4.55%  | 22900 | 447695 |
| JPMorgan Chase & Co 4.625%  | 12100 | 240790 |
| JPMorgan Chase & Co 4.75%  | 24705 | 504106 |
| JPMorgan Chase & Co 5.75%  | 24781 | 619029 |
| JPMorgan Chase & Co Series MM, 4.2%  | 15100 | 280558 |
| KeyCorp 5.625%  | 5400 | 119070 |
| KeyCorp 5.65%  | 5300 | 115540 |
| KeyCorp 6.2% (b) | 3300 | 83952 |
| M&T Bank Corp Series J, 7.5%  | 4100 | 109798 |
| Regions Financial Corp 4.45%  | 3600 | 63180 |
| Regions Financial Corp 5 year U.S. Treasury Index + 2.771%, 6.95% (b)(c) | 3300 | 85305 |
| Regions Financial Corp 5.7% (b) | 3000 | 73320 |
| Truist Financial Corp 4.75%  | 5900 | 113339 |
| Truist Financial Corp Series O 5.25%  | 3800 | 82802 |
| US Bancorp 4.5%  | 2800 | 51912 |
| US Bancorp Series K, 5.5%  | 3500 | 82075 |
| US Bancorp Series L, 3.75%  | 3500 | 54530 |
| US Bancorp Series M, 4%  | 5300 | 88245 |
| Webster Financial Corp Series F, 5.25%  | 750 | 15480 |
| Wells Fargo & Co 4.25%  | 10522 | 188344 |
| Wells Fargo & Co 4.7%  | 9400 | 183300 |
| Wells Fargo & Co Series Y, 5.625%  | 19600 | 484120 |
| Wells Fargo & Co Series Z, 4.75%  | 20800 | 412880 |
| Western Alliance Bancorp 4.25% (b) | 1500 | 34725 |
|  |  | 6613796 |
| Capital Markets - 4.5% |  |  |
| Affiliated Managers Group Inc 4.75%  | 3000 | 52500 |
| Affiliated Managers Group Inc 5.875%  | 2700 | 57186 |
| Brookfield Oaktree Holdings LLC Series A, 6.625%  | 7000 | 151760 |
| Brookfield Oaktree Holdings LLC Series B, 6.55%  | 7000 | 148190 |
| Charles Schwab Corp/The 4.45%  | 4500 | 84375 |
| Charles Schwab Corp/The 5.95%  | 4300 | 107930 |
| KKR & Co Inc 6.875%  | 3300 | 83127 |
| Morgan Stanley 5.85%  | 30700 | 761360 |
| Morgan Stanley 6.375%  | 6400 | 161856 |
| Morgan Stanley 6.5%  | 40100 | 1034580 |
| Morgan Stanley 6.625%  | 14500 | 381640 |
| Morgan Stanley 6.875%  | 600 | 15198 |
| Morgan Stanley Series L, 4.875%  | 5400 | 112212 |
| Morgan Stanley Series O, 4.25%  | 12800 | 230912 |
| Northern Trust Corp Series E, 4.7%  | 1500 | 29535 |
| State Street Corp 5.35% (b) | 1000 | 22990 |
| Stifel Financial Corp Series D, 4.5%  | 13000 | 224120 |
|  |  | 3659471 |
| Consumer Finance - 0.7% |  |  |
| Capital One Financial Corp 4.25%  | 3300 | 54450 |
| Capital One Financial Corp 5%  | 9900 | 192951 |
| Capital One Financial Corp Series J 4.8%  | 7400 | 136530 |
| Capital One Financial Corp Series L 4.375%  | 4900 | 83888 |
| Navient Corp 6%  | 1500 | 28890 |
| Synchrony Financial Series A 5.625%  | 4600 | 90850 |
|  |  | 587559 |
| Financial Services - 1.2% |  |  |
| Apollo Global Management Inc 7.625% (b) | 4100 | 105001 |
| Carlyle Finance LLC 4.625%  | 7400 | 130018 |
| Compass Diversified Holdings 7.875% (b) | 8092 | 164510 |
| Compass Diversified Holdings Series C, 7.875%  | 8038 | 162368 |
| Corebridge Financial Inc 6.375%  | 4400 | 103576 |
| Equitable Holdings Inc 4.3%  | 1000 | 16540 |
| Equitable Holdings Inc Series A, 5.25%  | 5700 | 116936 |
| KKR Group Finance Co IX LLC 4.625%  | 5000 | 88099 |
| Voya Financial Inc Series B, 5.35% (b) | 5000 | 119350 |
|  |  | 1006398 |
| Insurance - 2.8% |  |  |
| Allstate Corp/The Series H 5.1%  | 10000 | 211500 |
| Allstate Corp/The Series I, 4.75%  | 2000 | 39180 |
| Allstate Corp/The Series J, 7.375%  | 4100 | 109019 |
| American Financial Group Inc/OH 4.5%  | 6000 | 101940 |
| Arch Capital Group Ltd 5.45%  | 2000 | 41460 |
| Arch Capital Group Ltd Series G, 4.55%  | 2250 | 39555 |
| Assurant Inc 5.25%  | 2500 | 51125 |
| Athene Holding Ltd 7.25% (b) | 13100 | 328155 |
| Athene Holding Ltd Series A, 6.35% (b) | 6000 | 145980 |
| Athene Holding Ltd Series B, 5.625%  | 4300 | 83635 |
| Athene Holding Ltd Series D, 4.875%  | 4000 | 66840 |
| Axis Capital Holdings Ltd 5.5%  | 2800 | 57064 |
| Brighthouse Financial Inc 5.375%  | 4000 | 54740 |
| Brighthouse Financial Inc 6.25%  | 1600 | 28240 |
| Brighthouse Financial Inc Series A, 6.6%  | 3800 | 63555 |
| Brighthouse Financial Inc Series B 6.75%  | 3700 | 63085 |
| Brighthouse Financial Inc Series D, 4.625%  | 4000 | 48720 |
| Enstar Group Ltd 7% (b) | 3900 | 88335 |
| F&G Annuities & Life Inc 7.3%  | 2100 | 46200 |
| Hartford Insurance Group Inc/The 6%  | 300 | 7500 |
| MetLife Inc 5.625%  | 4500 | 108360 |
| MetLife Inc Series F, 4.75%  | 6400 | 124800 |
| Prudential Financial Inc 4.125%  | 3100 | 53568 |
| Prudential Financial Inc 5.625%  | 3800 | 91770 |
| Reinsurance Group of America Inc 7.125% (b) | 4000 | 102200 |
| Unum Group 6.25%  | 3500 | 81620 |
| W R Berkley Corp 4.25%  | 5000 | 87800 |
|  |  | 2325946 |
| TOTAL FINANCIALS |  | 14193170 |
| Industrials - 0.1% |  |  |
| Trading Companies & Distributors - 0.1% |  |  |
| FTAI Aviation Ltd Series C, 8.25% (b) | 4000 | 102360 |
| Information Technology - 1.2% |  |  |
| Software - 1.2% |  |  |
| Strategy Inc 11.25% (d) | 1600 | 160000 |
| Strategy Inc Series A, 10%  | 8100 | 799227 |
| TOTAL INFORMATION TECHNOLOGY |  | 959227 |
| Real Estate - 1.8% |  |  |
| Office REITs - 0.2% |  |  |
| Vornado Realty Trust Series L, 5.4%  | 8800 | 154792 |
| Real Estate Management & Development - 0.2% |  |  |
| Brookfield Property Partners LP 5.75%  | 1900 | 26249 |
| Brookfield Property Partners LP 6.375%  | 1700 | 25160 |
| Brookfield Property Partners LP 6.5%  | 1700 | 27200 |
| Brookfield Property Preferred LP 6.25%  | 4700 | 75012 |
|  |  | 153621 |
| Residential REITs - 0.0% |  |  |
| American Homes 4 Rent Series H, 6.25%  | 1000 | 24130 |
| Specialized REITs - 1.4% |  |  |
| Digital Realty Trust Inc 5.25%  | 4350 | 91263 |
| Digital Realty Trust Inc Series L, 5.2%  | 12600 | 261198 |
| Public Storage 3.875%  | 3600 | 55800 |
| Public Storage 3.95%  | 3500 | 55545 |
| Public Storage 4%  | 20000 | 321198 |
| Public Storage 4%  | 3300 | 52998 |
| Public Storage Operating Co 5.05% Series G  | 2600 | 54028 |
| Public Storage Series H, 5.6%  | 1500 | 35216 |
| Public Storage Series I, 4.875%  | 1500 | 29729 |
| Public Storage Series J, 4.7%  | 1700 | 32300 |
| Public Storage Series MM, 4.125%  | 3300 | 55242 |
| Public Storage Series O, 3.9%  | 3500 | 55300 |
| Public Storage Series S, 4.1%  | 3400 | 55794 |
|  |  | 1155611 |
| TOTAL REAL ESTATE |  | 1488154 |
| Utilities - 7.3% |  |  |
| Electric Utilities - 4.9% |  |  |
| Duke Energy Corp 5.625%  | 20900 | 514558 |
| Duke Energy Corp Series A 5.75%  | 6400 | 160000 |
| Entergy Arkansas LLC 4.875%  | 8600 | 181804 |
| Entergy Louisiana LLC 4.875%  | 1000 | 20600 |
| Entergy Mississippi LLC 4.9%  | 8600 | 179138 |
| Entergy New Orleans LLC 5.5%  | 7400 | 167462 |
| NextEra Energy Capital Holdings Inc 5.65%  | 5600 | 133728 |
| NextEra Energy Capital Holdings Inc 6.5%  | 4400 | 111452 |
| SCE Trust II 5.1%  | 8331 | 158955 |
| Southern Co/The 4.2%  | 66098 | 1212238 |
| Southern Co/The 5.25%  | 5084 | 112255 |
| Southern Co/The Series A, 4.95%  | 7838 | 164049 |
| Southern Co/The Series A, 6.5%  | 20300 | 528815 |
| Xcel Energy Inc 6.25%  | 15700 | 392500 |
|  |  | 4037554 |
| Multi-Utilities - 2.4% |  |  |
| CMS Energy Corp 5.875%  | 4700 | 109839 |
| CMS Energy Corp 5.875%  | 2400 | 56400 |
| CMS Energy Corp Series C 4.2%  | 1600 | 28656 |
| DTE Energy Co 4.375%  | 10425 | 183376 |
| DTE Energy Co 4.375%  | 8600 | 148264 |
| DTE Energy Co 5.25%  | 14239 | 315821 |
| DTE Energy Co Series H, 6.25%  | 26300 | 658815 |
| SCE Trust VI 5%  | 18775 | 346399 |
| Sempra 5.75%  | 5700 | 128135 |
|  |  | 1975705 |
| TOTAL UTILITIES |  | 6013259 |
| TOTAL UNITED STATES |  | 27446400 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $28,513,821) |  | <br> **27914780** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 40.0%** | &nbsp;&nbsp;**Preferred Securities - 40.0%** | &nbsp;&nbsp;**Preferred Securities - 40.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Enbridge Inc 5.5% 7/15/2077 (b) | 126000 | 127407 |
| Enbridge Inc 5.75% 7/15/2080 (b) | 126000 | 129139 |
| Enbridge Inc 6% 1/15/2077 (b) | 68000 | 69025 |
| Enbridge Inc 6.25% 3/1/2078 (b) | 123000 | 129174 |
| Enbridge Inc 8.25% 1/15/2084 (b) | 100000 | 108744 |
| TOTAL CANADA |  | 563489 |
| FRANCE - 1.7%  |  |  |
| Financials - 1.4% |  |  |
| Banks - 1.4% |  |  |
| BNP Paribas SA 6.875% (b)(e)(f) | 960000 | 978832 |
| BNP Paribas SA 7.375% (b)(e)(f) | 135000 | 146541 |
| TOTAL FINANCIALS |  | 1125373 |
| Utilities - 0.3% |  |  |
| Electric Utilities - 0.3% |  |  |
| Electricite de France SA 9.125% (b)(e)(f) | 200000 | 241715 |
| TOTAL FRANCE |  | 1367088 |
| JAPAN - 1.7%  |  |  |
| Consumer Discretionary - 0.4% |  |  |
| Broadline Retail - 0.4% |  |  |
| Rakuten Group Inc 8.125% (b)(e)(f) | 300000 | 315575 |
| Financials - 1.3% |  |  |
| Insurance - 1.3% |  |  |
| Dai-ichi Life Insurance Co Ltd/The 4% (b)(e)(f) | 200000 | 200552 |
| Dai-ichi Life Insurance Co Ltd/The 6.2% (b)(e)(f) | 260000 | 272961 |
| Nippon Life Insurance Co 2.9% 9/16/2051 (b)(f) | 190000 | 173655 |
| Sumitomo Life Insurance Co 3.375% 4/15/2081 (b)(f) | 220000 | 208707 |
| Sumitomo Life Insurance Co 5.875% (b)(e)(f) | 200000 | 204694 |
| TOTAL FINANCIALS |  | 1060569 |
| TOTAL JAPAN |  | 1376144 |
| UNITED KINGDOM - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Barclays PLC 7.625% (b)(e) | 200000 | 215590 |
| Standard Chartered PLC 7.625% (b)(e)(f) | 200000 | 216032 |
| TOTAL UNITED KINGDOM |  | 431622 |
| UNITED STATES - 35.4%  |  |  |
| Consumer Discretionary - 0.2% |  |  |
| Automobiles - 0.2% |  |  |
| General Motors Financial Co Inc 5.7% (b)(e) | 252000 | 259397 |
| Energy - 8.3% |  |  |
| Oil, Gas & Consumable Fuels - 8.3% |  |  |
| BP Capital Markets PLC 4.875% (b)(e) | 525000 | 528110 |
| BP Capital Markets PLC 6.125% (b)(e) | 275000 | 287629 |
| BP Capital Markets PLC 6.45% (b)(e) | 335000 | 367879 |
| Energy Transfer LP 6.625% (b)(e) | 3620000 | 3674673 |
| Energy Transfer LP Series G, 7.125% (b)(e) | 190000 | 200985 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (b)(c)(e) | 285000 | 285644 |
| Sunoco LP 7.875% (b)(e)(f) | 755000 | 807417 |
| Venture Global LNG Inc 9% (b)(e)(f) | 740000 | 675151 |
| TOTAL ENERGY |  | 6827488 |
| Financials - 24.8% |  |  |
| Banks - 12.6% |  |  |
| Bank of America Corp 4.375% (b)(e) | 350000 | 349134 |
| Bank of America Corp 5.875% (b)(e) | 340000 | 355644 |
| Bank of America Corp 6.125% (b)(e) | 440000 | 448316 |
| Bank of America Corp 6.25% (b)(e) | 584000 | 604361 |
| Bank of America Corp 6.625% (b)(e) | 30000 | 31564 |
| Citigroup Inc 4.15% (b)(e) | 89000 | 88901 |
| Citigroup Inc 6.25% (b)(e) | 230000 | 231617 |
| Citigroup Inc 6.625% (b)(e) | 555000 | 581968 |
| Citigroup Inc 6.75% (b)(e) | 200000 | 205120 |
| Citigroup Inc 6.875% (b)(e) | 735000 | 755473 |
| Citigroup Inc 6.95% (b)(e) | 275000 | 283475 |
| Citigroup Inc 7% (b)(e) | 270000 | 285440 |
| Citigroup Inc 7.125% (b)(e) | 220000 | 228008 |
| Citigroup Inc 7.625% (b)(e) | 220000 | 233822 |
| First Citizens BancShares Inc/NC 7% (b)(e) | 110000 | 115455 |
| Huntington Bancshares Inc/OH 5.625% (b)(e) | 226000 | 233192 |
| JPMorgan Chase & Co 6.5% (b)(e) | 255000 | 269825 |
| JPMorgan Chase & Co 6.875% (b)(e) | 145000 | 156401 |
| JPMorgan Chase & Co CME Term SOFR 3 month Index + 2.745%, 6.4058% (b)(c)(e) | 1005000 | 1019494 |
| KeyCorp 5% (b)(e) | 155000 | 156187 |
| M&T Bank Corp 5.125% (b)(e) | 50000 | 50897 |
| PNC Financial Services Group Inc/The 3.4% (b)(e) | 945000 | 940787 |
| PNC Financial Services Group Inc/The 6% (b)(e) | 170000 | 171747 |
| PNC Financial Services Group Inc/The 6.2% (b)(e) | 200000 | 205771 |
| PNC Financial Services Group Inc/The 6.25% (b)(e) | 160000 | 168042 |
| Truist Financial Corp 5.1% (b)(e) | 403000 | 417756 |
| Truist Financial Corp 5.125% (b)(e) | 60000 | 60502 |
| US Bancorp 3.7% (b)(e) | 815000 | 811264 |
| US Bancorp 5.3% (b)(e) | 170000 | 173954 |
| Wells Fargo & Co 3.9% (b)(e) | 556000 | 560011 |
| Wells Fargo & Co 7.625% (b)(e) | 75000 | 81244 |
|  |  | 10275372 |
| Capital Markets - 9.8% |  |  |
| Bank of New York Mellon Corp/The 3.7% (b)(e) | 3235000 | 3256175 |
| Bank of New York Mellon Corp/The 3.75% (b)(e) | 96000 | 95254 |
| Bank of New York Mellon Corp/The 5.95% (b)(e) | 225000 | 233573 |
| Charles Schwab Corp/The 4% (b)(e) | 831000 | 793391 |
| Charles Schwab Corp/The 4% (b)(e) | 200000 | 201321 |
| Goldman Sachs Group Inc/The 4.125% (b)(e) | 1109000 | 1116710 |
| Goldman Sachs Group Inc/The 5.3% (b)(e) | 79000 | 80741 |
| Goldman Sachs Group Inc/The 6.125% (b)(e) | 480000 | 503615 |
| Goldman Sachs Group Inc/The 6.85% (b)(e) | 680000 | 714533 |
| Goldman Sachs Group Inc/The 7.5% (b)(e) | 160000 | 174008 |
| Morgan Stanley 5.875% (b)(e) | 435000 | 448658 |
| Northern Trust Corp 4.6% (b)(e) | 155000 | 158019 |
| State Street Corp 6.7% (b)(e) | 250000 | 265273 |
|  |  | 8041271 |
| Consumer Finance - 2.3% |  |  |
| Ally Financial Inc 4.7% (b)(e) | 685000 | 648534 |
| Ally Financial Inc 4.7% (b)(e) | 130000 | 129854 |
| American Express Co 3.55% (b)(e) | 217000 | 217263 |
| Capital One Financial Corp 3.95% (b)(e) | 560000 | 561795 |
| Capital One Financial Corp 5.5% (b)(e) | 315000 | 322724 |
|  |  | 1880170 |
| Financial Services - 0.1% |  |  |
| Corebridge Financial Inc 6.875% (b)(e) | 110000 | 114965 |
| Insurance - 0.0% |  |  |
| SBL Holdings Inc 6.5% (b)(e)(f) | 34000 | 31347 |
| TOTAL FINANCIALS |  | 20343125 |
| Industrials - 0.8% |  |  |
| Trading Companies & Distributors - 0.8% |  |  |
| Air Lease Corp 4.125% (b)(e) | 261000 | 261055 |
| Air Lease Corp 4.65% (b)(e) | 300000 | 301045 |
| Air Lease Corp 6% (b)(e) | 70000 | 69131 |
| TOTAL INDUSTRIALS |  | 631231 |
| Utilities - 1.3% |  |  |
| Electric Utilities - 0.3% |  |  |
| Edison International 5% (b)(e) | 219000 | 221645 |
| Independent Power and Renewable Electricity Producers - 0.7% |  |  |
| Vistra Corp 7% (b)(e)(f) | 470000 | 482497 |
| Vistra Corp 8% (b)(e)(f) | 100000 | 104657 |
|  |  | 587154 |
| Multi-Utilities - 0.3% |  |  |
| Dominion Energy Inc 4.35% (b)(e) | 225000 | 227592 |
| TOTAL UTILITIES |  | 1036391 |
| TOTAL UNITED STATES |  | 29097632 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $31,740,196) |  | <br> **32835975** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.8%** | &nbsp;&nbsp;**Money Market Funds - 5.8%** | &nbsp;&nbsp;**Money Market Funds - 5.8%** | &nbsp;&nbsp;**Money Market Funds - 5.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $4,767,439)<br>| 3.70 | 4766486 | **4767439** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.1%**<br> (Cost $81,082,797)<br>| <br>**82152097** |
| **NET OTHER ASSETS (LIABILITIES) - (0.1)%**  | **(47807)** |
| **NET ASSETS - 100.0%** | **82104290** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT US Treasury Ultra Bond Contracts (United States) | (9) | 6/2026 | (1094063) | (12253) |
| The notional amount of short futures as a percentage of Net Assets is 1.3%. | The notional amount of short futures as a percentage of Net Assets is 1.3%. | The notional amount of short futures as a percentage of Net Assets is 1.3%. | The notional amount of short futures as a percentage of Net Assets is 1.3%. | The notional amount of short futures as a percentage of Net Assets is 1.3%. |

---

**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 initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(e) Security is perpetual in nature with no stated maturity date.

(f) 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 $9,132,614 or 11.1% of net assets.

(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,<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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1815336 | 17815286 | 14863273 | 53148 | 90 | - | 4767439 | 4766486 | 0.0% |
| Total | 1815336 | 17815286 | 14863273 | 53148 | 90 | - | 4767439 |  |  |

---

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, 2026, 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:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Financials | 44822 | - | 44822 | - |
| Information Technology | 47376 | - | 47376 | - |
| Utilities | 137022 | 77339 | 59683 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 2066712 | - | 2066712 | - |
| Energy | 3181983 | - | 3181983 | - |
| Financials | 5585847 | - | 5585847 | - |
| Health Care | 618735 | - | 618735 | - |
| Utilities | 4951406 | - | 4951406 | - |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Communication Services | 4469680 | 4469680 | - | - |
| Consumer Discretionary | 220550 | 220550 | - | - |
| Energy | 175335 | 175335 | - | - |
| Financials | 14336269 | 14336269 | - | - |
| Industrials | 154335 | 154335 | - | - |
| Information Technology | 959227 | 959227 | - | - |
| Real Estate | 1488154 | 1488154 | - | - |
| Utilities | 6111230 | 6111230 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Consumer Discretionary | 574972 | - | 574972 | - |
| Energy | 7390977 | - | 7390977 | - |
| Financials | 22960689 | - | 22960689 | - |
| Industrials | 631231 | - | 631231 | - |
| Utilities | 1278106 | - | 1278106 | - |
|  **Money Market Funds** | 4767439 | 4767439 | - | - |
| **Total Investments in Securities:** | 82152097 | 32759558 | 49392539 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (12253) | (12253) | - | - |
| Total Liabilities | (12253) | (12253) | - | - |
| **Total Derivative Instruments:** | (12253) | (12253) | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | - | (12253) |
| **Total Interest Rate Risk**  | - | (12253) |
| **Total Value of Derivatives** | - | (12253) |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Fidelity® Preferred Securities & Income ETF**

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $76,315,358) | $77384658 |  |
| Fidelity Central Funds (cost $4,767,439) | 4767439 |  |
| Total Investment in Securities (cost $81,082,797) |  | $82152097 |
| Segregated cash with brokers for derivative instruments |  | 87550 |
| Dividends receivable |  | 154335 |
| Interest receivable |  | 290397 |
| Distributions receivable from Fidelity Central Funds |  | 11676 |
| Other receivables |  | 376 |
| **Total assets** |  | 82696431 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $253788 |  |
| Distributions payable | 292500 |  |
| Accrued management fee | 39665 |  |
| Payable for daily variation margin on futures contracts | 6188 |  |
| **Total liabilities** |  | 592141 |
| **Net Assets**  |  | $82104290 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $86178075 |
| Total accumulated earnings (loss) |  | (4073785) |
| **Net Assets** |  | $82104290 |
| **Net Asset Value**, offering price and redemption price per share ($82,104,290 ÷ 3,750,000 shares) |  | $21.89 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $1557753 |
| Interest  |  | 466908 |
| Income from Fidelity Central Funds  |  | 53148 |
| **Total income** |  | 2077809 |
| **Expenses** |  |  |
| Management fee | $219288 |  |
| Independent trustees' fees and expenses | 134 |  |
| Total expenses before reductions | 219422 |  |
| Expense reductions | (607) |  |
| Total expenses after reductions |  | 218815 |
| **Net Investment income (loss)** |  | 1858994 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 90234 |  |
| Fidelity Central Funds | 90 |  |
| Futures contracts | (43909) |  |
| Total net realized gain (loss) |  | 46415 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 340630 |  |
| Futures contracts | (11808) |  |
| Total change in net unrealized appreciation (depreciation) |  | 328822 |
| **Net gain (loss)** |  | 375237 |
| **Net increase (decrease) in net assets resulting from operations** |  | $2234231 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1858994 | $2841485 |
| &nbsp;&nbsp;Net realized gain (loss) | 46415<br>| (299902)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 328822 | (69191)<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 2234231<br>| 2472392<br>|
| Distributions to shareholders | (1875800)<br>| (2789100)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 17634617 | 25162061 |
| &nbsp;&nbsp;Cost of shares redeemed | - | (3257514) |
| **Net increase (decrease) in net assets resulting from share transactions** | 17634617<br>| 21904547<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 17993048<br>| 21587839<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 64111242 | 42523403<br>|
| &nbsp;&nbsp;End of period | $82104290 | $64111242 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 800000 | 1150000 |
| &nbsp;&nbsp;Redeemed | - | (150000) |
| &nbsp;&nbsp;Net increase (decrease) | 800000 | 1000000 |

---

**Financial Highlights** 

**Fidelity® Preferred Securities & Income ETF** <br>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022**  | **2021** A  |
| **Selected Per-Share Data**  |  |  |  |  |  |  |
| Net asset value, beginning of period  | $21.73 | $21.81 | $20.06 | $20.67 | $25.20 | $25.00 |
| Income from Investment Operations  |  |  |  |  |  |  |
| Net investment income (loss) B,C | .548  | 1.118  | 1.034  | .937  | .886  | .170  |
| Net realized and unrealized gain (loss)  | .156  | (.114)  | 1.765  | (.510)  | (4.485)  | .187  |
| Total from investment operations  | .704  | 1.004  | 2.799  | .427  | (3.599)  | .357  |
| Distributions from net investment income  | (.544)  | (1.084)  | (1.049)  | (.856)  | (.931)  | (.157)  |
| Distributions from tax return of capital  | - | - | - | (.181) | - | - |
| Total distributions  | (.544)  | (1.084)  | (1.049)  | (1.037)  | (.931)  | (.157)  |
| Net asset value, end of period  | $21.89 | $21.73 | $21.81 | $20.06 | $20.67 | $25.20 |
| **Total Return** D,E,F | 3.29% <br>| 4.76%  | 14.31%  | 2.19%  | (14.50)%  | 1.44%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |  |  |
| Expenses before reductions  | .60% I | .59%  | .60%  | .59%  | .59%  | .59% I |
| Expenses net of fee waivers, if any  | .60% I<br>| .59%  | .60%  | .59%  | .59%  | .59% I |
| Expenses net of all reductions, if any  | .59% I | .59%  | .60%  | .59%  | .59%  | .59% I |
| Net investment income (loss)  | 5.05% I | 5.18%  | 4.95%  | 4.65%  | 3.98%  | 3.16% I |
| **Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $82104 | $64111 | $42523 | $32095 | $33069 | $6300 |
| Portfolio turnover rate J | 18% I<br>| 56%  | 28%  | 50%  | 21%  | 0%  |

---

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*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), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements** **(Unaudited)**

For the period ended February 28, 2026

**1. Organization.**

Fidelity Enhanced High Yield 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 RatioA** |
| 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. Each Fund operates as a single operating segment. Each Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. 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 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. 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, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 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 Enhanced High Yield 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, 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 futures contracts, swap agreements, passive foreign investment companies (PFIC), prior period premium and discount on debt securities, redemptions in-kind, equity-debt classifications, certain conversion ratio adjustments, partnerships (including allocations from Fidelity Central Funds), capital loss carryforwards and losses deferred due to wash sales.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Tax cost ($)**  | **Gross unrealized appreciation ($)** | **Gross unrealized depreciation ($)** | **Net unrealized appreciation (depreciation)($)** |
| **Fidelity Enhanced High Yield ETF**  | 561251468 | 12058834 | (2162902) | 9895932 |
| **Fidelity Preferred Securities & Income ETF**  | 81105918 | 2594039 | (1560113) | 1033926 |

---

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Short-term ($)** | **Long-term ($)** | **Total capital loss carryforward ($)** |
| **Fidelity Enhanced High Yield ETF**  | (13917163) | (20698198) | (34615361) |
| **Fidelity Preferred Securities & Income ETF**  | (2455354) | (2553794) | (5009148) |

---

**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. Derivative Instruments.**

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

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

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

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Enhanced High Yield ETF** |  |  |
| **Credit Risk** |  |  |
| Swaps | <u>(39664)</u> | <u>-</u> |
| **Total Credit Risk** | <u>(39664)</u> | <u>-</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | <u>65634</u> | <u>(37794)</u> |
| **Total Interest Rate Risk** | <u>65634</u> | <u>(37794)</u> |
| Totals | <u>25970</u> | <u>(37794)</u> |
| **Fidelity Preferred Securities & Income ETF** |  |  |
| **Interest Rate Risk** |  |  |
| Futures Contracts | <u>(43909)</u> | <u>(11808)</u> |
| **Total Interest Rate Risk** | <u>(43909)</u> | <u>(11808)</u> |
| Totals | <u>(43909)</u> | <u>(11808)</u> |

---

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

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

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

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period.

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**5. Purchases and Sales of Investments.**

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Enhanced High Yield ETF** | 131724419 | 129975179 |
| **Fidelity Preferred Securities & Income ETF** | 21137750 | 6281114 |

---

Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **In-Kind Subscriptions ($)** | **In-Kind Redemptions ($)** |
| **Fidelity Enhanced High Yield ETF** | 92844825 | - |

---

**6. Fees and Other Transactions with Affiliates.**

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

---

| | |
|:---|:---|
|  | **Fee Rate** |
| **Fidelity Enhanced High Yield ETF** | .35% |
| **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** | 115 |

---

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

**7. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Enhanced High Yield ETF** | 4400 | - | - |

---

**8. 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 Enhanced High Yield ETF**  | 4857 |
| **Fidelity Preferred Securities & Income ETF**  | 607 |

---

**9. 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.

**10. 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.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, 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.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img126678_4.jpg)<br>

1.9887635.107 HIE-SANN-0426

**Fidelity® Sustainable High Yield ETF**

**Semi-Annual Report**

**February 28, 2026**

![](img126696_1.jpg)

![](img126696_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_SHY-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Sustainable High Yield ETF](#Sub_Sec_Fund_6508_SHY-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6508_SHY-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SHY-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SHY-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SHY-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SHY-SANN)** |

---

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.© 2026 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.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Sustainable High Yield ETF**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 6.3%** | &nbsp;&nbsp;**Bank Loan Obligations - 6.3%** | &nbsp;&nbsp;**Bank Loan Obligations - 6.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd Tranche DIP 1LN, term loan CME Term SOFR 3 month Index + 9%, 13% 6/30/2026 (c)(e)(f)(g) | 16619 | 16619 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Altice France SA Tranche B13 1LN, term loan CME Term SOFR 1 month Index + 5.375%, 9.0472% 5/14/2029 (e)(f)(g) | 7577 | 7537 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.6722% 10/31/2027 (e)(f)(g) | 4974 | 3656 |
| NETHERLANDS - 0.1%  |  |  |
| Utilities - 0.1% |  |  |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.9336% 8/30/2028 (e)(f)(g) | 166678 | 70005 |
| SWITZERLAND - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (e)(f)(g)(i) | 65000 | 58175 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (e)(f)(g) | 69671 | 62290 |
| TOTAL SWITZERLAND |  | 120465 |
| UNITED KINGDOM - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| EG America LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 2/10/2031 (e)(f)(g)(i) | 140000 | 139685 |
| UNITED STATES - 6.0%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |
| Connect Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 10/3/2031 (e)(f)(g) | 11060 | 7853 |
| Connect Holdings LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9224% 4/3/2031 (e)(f)(g) | 190000 | 171950 |
| TOTAL COMMUNICATION SERVICES |  | 179803 |
| Consumer Discretionary - 1.2% |  |  |
| Broadline Retail - 0.0% |  |  |
| Saks Global Enterprises LLC Tranche SECOND OUT ROLL-UP DIP 1LN, term loan CME Term SOFR 1 month Index + 12.5%, 16.1556% 7/15/2026 (e)(f)(g) | 21143 | 6343 |
| Hotels, Restaurants & Leisure - 0.8% |  |  |
| Horizon US Finco LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 10/31/2031 (e)(f)(g) | 109457 | 106721 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (e)(f)(g) | 204556 | 189957 |
| Sizzling Platter LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.673% 7/2/2032 (e)(f)(g) | 43160 | 39060 |
| Sizzling Platter LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 5% 7/2/2032 (e)(f)(g)(h) | 1840 | 1665 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (e)(f)(g) | 373652 | 359079 |
| United PF Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 8.5%, 12.4285% 12/30/2026 (e)(f)(g) | 164870 | 159512 |
|  |  | 855994 |
| Household Durables - 0.1% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 6/29/2028 (e)(f)(g) | 193894 | 179397 |
| Specialty Retail - 0.3% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (e)(f)(g) | 64485 | 53071 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 2/19/2033 (e)(f)(g)(i) | 55000 | 52335 |
| SGUS LLC 1LN, term loan 16.1597% 7/15/2026 (e)(f) | 21559 | 6468 |
| SGUS LLC Tranche FIRST OUT DIP FINAL 1LN, term loan CME Term SOFR 1 month Index + 10%, 14.6597% 7/15/2026 (e)(f)(g) | 58687 | 53992 |
| SGUS LLC Tranche FIRST OUT DIP FINAL, term loan 14.677% 7/7/2026 (e)(f) | 24480 | 22522 |
| SGUS LLC Tranche THIRD OUT 1LN, term loan CME Term SOFR 1 month Index + 8%, 13.6597% 7/15/2026 (c)(e)(f)(g) | 49134 | 4995 |
| Staples Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 9.4136% 9/4/2029 (e)(f)(g) | 98797 | 88176 |
|  |  | 281559 |
| TOTAL CONSUMER DISCRETIONARY |  | 1323293 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6719% 9/20/2030 (e)(f)(g) | 54863 | 53765 |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% (c)(e)(f)(g)(j) | 1490 | 0 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% (c)(e)(f)(g)(j) | 430 | 0 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 1%, 13.2597% 3/30/2026 (c)(e)(f)(g) | 3769 | 3769 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 9.5%, 13.2643% 3/30/2026 (c)(e)(f)(g) | 5024 | 2486 |
|  |  | 6255 |
| TOTAL CONSUMER STAPLES |  | 60020 |
| Energy - 0.4% |  |  |
| Oil, Gas & Consumable Fuels - 0.4% |  |  |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 0% (e)(f)(g)(j) | 848125 | 402537 |
| Financials - 0.2% |  |  |
| Insurance - 0.2% |  |  |
| Asurion LLC Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.427% 2/23/2033 (e)(f)(g) | 215000 | 211059 |
| Health Care - 1.1% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC Tranche INITIAL EXCHANGE TERM LOANS 1LN, term loan CME Term SOFR 3 month Index + 10%, 13.6719% 6/28/2029 (c)(e)(f)(g) | 6719 | 5241 |
| ModivCare Inc Tranche EXIT 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6898% 12/29/2030 (e)(f)(g) | 6863 | 6314 |
| Team Public Choices LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 0% 1/31/2033 (e)(f)(g)(i) | 45000 | 42112 |
|  |  | 53667 |
| Pharmaceuticals - 1.1% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (e)(f)(g) | 1236799 | 1203134 |
| TOTAL HEALTH CARE |  | 1256801 |
| Industrials - 1.0% |  |  |
| Building Products - 0.1% |  |  |
| Cornerstone Building Brands Inc 1LN, term loan CME Term SOFR 1 month Index + 5.625%, 9.2847% 8/1/2028 (e)(f)(g) | 10944 | 7879 |
| Cornerstone Building Brands Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0097% 4/12/2028 (e)(f)(g) | 104817 | 76555 |
|  |  | 84434 |
| Commercial Services & Supplies - 0.9% |  |  |
| Artera Services LLC 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1719% 2/15/2031 (e)(f)(g) | 99975 | 81573 |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1636% 8/1/2030 (e)(f)(g) | 19736 | 16825 |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (e)(f)(g) | 720959 | 556942 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (c)(e)(f)(g) | 119536 | 121876 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7602% 2/3/2033 (e)(f)(g) | 205000 | 192751 |
|  |  | 969967 |
| Machinery - 0.0% |  |  |
| Columbus McKinnon Corp/NY Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1602% 2/3/2033 (e)(f)(g) | 40000 | 39850 |
| TOTAL INDUSTRIALS |  | 1094251 |
| Information Technology - 0.7% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Resilience Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 0% 1/21/2033 (e)(f)(g)(i) | 15000 | 14963 |
| IT Services - 0.5% |  |  |
| Constant Contact Inc 2LN, term loan CME Term SOFR 3 month Index + 7.5%, 11.4338% 2/12/2029 (e)(f)(g) | 11000 | 8962 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (e)(f)(g) | 108990 | 94072 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (e)(f)(g) | 478766 | 479762 |
|  |  | 582796 |
| Software - 0.2% |  |  |
| Polaris Newco LLC Tranche PIK TERM 2LN, term loan CME Term SOFR 1 month Index + 9%, 12.7727% 6/4/2029 (e)(f)(g) | 40000 | 30000 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (e)(f)(g) | 174561 | 180826 |
|  |  | 210826 |
| TOTAL INFORMATION TECHNOLOGY |  | 808585 |
| Materials - 1.0% |  |  |
| Chemicals - 0.8% |  |  |
| Advancion Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.7727% 11/24/2027 (e)(f)(g) | 35000 | 33513 |
| American Rock Salt Co LLC 1LN, term loan 2% 6/12/2028 (e)(f)(h) | 622 | 622 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.7875% 6/9/2028 (e)(f)(g) | 4897 | 4402 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 7%, 10.7875% 6/12/2028 (e)(f)(g) | 2365 | 2370 |
| Discovery Purchaser Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4192% 10/4/2029 (e)(f)(g) | 280000 | 274296 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (e)(f)(g) | 343180 | 305675 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (e)(f)(g) | 95015 | 93097 |
| Hexion Inc 2LN, term loan CME Term SOFR 1 month Index + 7.4375%, 11.2105% 3/15/2030 (e)(f)(g) | 49265 | 46227 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (e)(f)(g) | 159736 | 124194 |
|  |  | 884396 |
| Containers & Packaging - 0.2% |  |  |
| BradyPlus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1898% 12/29/2032 (e)(f)(g) | 210000 | 208032 |
| TOTAL MATERIALS |  | 1092428 |
| Utilities - 0.2% |  |  |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| MRP Buyer LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 6/4/2032 (e)(f)(g) | 164094 | 163958 |
| MRP Buyer LLC Tranche DD 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 5.4615% 6/4/2032 (e)(f)(g)(h) | 20906 | 20888 |
| TOTAL UTILITIES |  | 184846 |
| TOTAL UNITED STATES |  | 6613623 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $7,262,130) |  | <br> **6971590** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.5%** | &nbsp;&nbsp;**Common Stocks - 0.5%** | &nbsp;&nbsp;**Common Stocks - 0.5%** |
|  | Shares | Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (c) | 3726 | 67713 |
| Altice France Holding SA rights (b)(c)(d) | 106 | 1192 |
| TOTAL FRANCE |  | 68905 |
| TANZANIA - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Helios Towers PLC (b) | 38570 | 104218 |
| UNITED STATES - 0.4%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Specialty Retail - 0.0% |  |  |
| White Iris LLC (c) | 153 | 2306 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Hess Midstream LP Class A  | 4300 | 166324 |
| Health Care - 0.1% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Anteris Technologies Global Corp (b) | 7100 | 46221 |
| Health Care Providers & Services - 0.1% |  |  |
| Cano Health LLC (b)(c) | 981 | 8280 |
| Cano Health LLC warrants 6/28/2029 (b)(c) | 107 | 148 |
| ModivCare Inc (c) | 890 | 5006 |
| Surgery Partners Inc (b) | 6765 | 104858 |
|  |  | 118292 |
| TOTAL HEALTH CARE |  | 164513 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| ON Semiconductor Corp (b) | 940 | 62491 |
| TOTAL UNITED STATES |  | 395634 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $533,131) |  | <br> **568757** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 2.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 2.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 2.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CAMEROON - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Golar LNG Ltd 2.75% 12/15/2030 (d) | 111000 | 116939 |
| GHANA - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Kosmos Energy Ltd 3.125% 3/15/2030  | 160000 | 106960 |
| UNITED STATES - 1.9%  |  |  |
| Communication Services - 0.7% |  |  |
| Media - 0.7% |  |  |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind (e) | 214839 | 758919 |
| Financials - 0.4% |  |  |
| Financial Services - 0.4% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 421000 | 402055 |
| Information Technology - 0.7% |  |  |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |
| MKS Inc 1.25% 6/1/2030  | 59000 | 102631 |
| ON Semiconductor Corp 0% 5/1/2027 (l) | 57000 | 76751 |
| Wolfspeed Inc 2.5% 6/15/2031  | 19000 | 32122 |
| Wolfspeed Inc 2.5% 6/15/2031 (d) | 14000 | 23668 |
|  |  | 235172 |
| Software - 0.5% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030  | 218000 | 295717 |
| Terawulf Inc 0% 5/1/2032 (d)(l) | 174000 | 190808 |
|  |  | 486525 |
| TOTAL INFORMATION TECHNOLOGY |  | 721697 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.1% |  |  |
| PG&E Corp 4.25% 12/1/2027  | 159000 | 169939 |
| TOTAL UNITED STATES |  | 2052610 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $1,620,470) |  | <br> **2276509** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.4%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.4%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.4%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.4%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Household Durables - 0.1% |  |  |
| Whirlpool Corp Series A, 8.5%  | 3210 | 157643 |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| Acrisure Holdings Inc Series A-2 (c) | 3085 | 86935 |
| Information Technology - 0.2% |  |  |
| Software - 0.2% |  |  |
| Oracle Corp Series D 6.5%  | 4029 | 184811 |
| TOTAL UNITED STATES |  | 429389 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $437,610) |  | <br> **429389** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 87.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 87.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 87.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 87.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.1%  |  |  |  |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobiles - 0.1% |  |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (d) |  | 120000 | 96900 |
| BRAZIL - 0.6%  |  |  |  |
| Industrials - 0.1% |  |  |  |
| Commercial Services & Supplies - 0.1% |  |  |  |
| Ambipar Lux Sarl 9.875% (d)(j) |  | 411000 | 77063 |
| Passenger Airlines - 0.0% |  |  |  |
| Azul Secured Finance LLP 9.875% 2/15/2031 (d) |  | 50000 | 50230 |
| TOTAL INDUSTRIALS |  |  | 127293 |
| Materials - 0.5% |  |  |  |
| Metals & Mining - 0.5% |  |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (d) |  | 520000 | 522600 |
| TOTAL BRAZIL |  |  | 649893 |
| CAMEROON - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Golar LNG Ltd 7.5% 10/2/2030 (d) |  | 115000 | 115152 |
| CANADA - 1.9%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| TELUS Corp 6.625% 10/15/2055 (e) |  | 86000 | 88805 |
| TELUS Corp 7% 10/15/2055 (e) |  | 90000 | 94973 |
| TOTAL COMMUNICATION SERVICES |  |  | 183778 |
| Consumer Discretionary - 0.5% |  |  |  |
| Hotels, Restaurants & Leisure - 0.5% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (d) |  | 247000 | 237196 |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (d) |  | 162000 | 164863 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (d) |  | 121000 | 124444 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 526503 |
| Materials - 1.0% |  |  |  |
| Metals & Mining - 1.0% |  |  |  |
| Hudbay Minerals Inc 6.125% 4/1/2029 (d) |  | 1087000 | 1095604 |
| Utilities - 0.2% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |  |
| TransAlta Corp 5.875% 2/1/2034  |  | 155000 | 155969 |
| TransAlta Corp 6.5% 3/15/2040  |  | 100000 | 100972 |
| TOTAL UTILITIES |  |  | 256941 |
| TOTAL CANADA |  |  | 2062826 |
| COLOMBIA - 0.3%  |  |  |  |
| Energy - 0.3% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.3% |  |  |  |
| Canacol Energy Ltd 5.75% (d)(j) |  | 546000 | 161070 |
| Gran Tierra Energy Inc 9.5% 10/15/2029 (d) |  | 203000 | 162644 |
| TOTAL COLOMBIA |  |  | 323714 |
| FINLAND - 0.3%  |  |  |  |
| Consumer Discretionary - 0.3% |  |  |  |
| Leisure Products - 0.3% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (d) |  | 266000 | 277543 |
| FRANCE - 0.9%  |  |  |  |
| Communication Services - 0.5% |  |  |  |
| Diversified Telecommunication Services - 0.5% |  |  |  |
| Altice France SA 6.5% 4/15/2032 (d) |  | 402271 | 385257 |
| Altice France SA 6.875% 10/15/2030 (d) |  | 83841 | 81277 |
| Altice France SA 6.875% 7/15/2032 (d) |  | 49542 | 47562 |
| TOTAL COMMUNICATION SERVICES |  |  | 514096 |
| Consumer Discretionary - 0.3% |  |  |  |
| Automobile Components - 0.3% |  |  |  |
| Forvia SE 6.75% 9/15/2033 (d) |  | 309000 | 317529 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| Viridien 10% 10/15/2030 (d) |  | 170000 | 182294 |
| TOTAL FRANCE |  |  | 1013919 |
| GHANA - 0.2%  |  |  |  |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Kosmos Energy Ltd 7.5% 3/1/2028 (d) |  | 8000 | 6910 |
| Kosmos Energy Ltd 8.75% 10/1/2031 (d) |  | 80000 | 60000 |
| Tullow Oil PLC 10.25% 5/15/2026 (d) |  | 220000 | 195008 |
| TOTAL GHANA |  |  | 261918 |
| ISRAEL - 0.0%  |  |  |  |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 3.15% 10/1/2026  |  | 25000 | 24816 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 30000 | 31130 |
| TOTAL ISRAEL |  |  | 55946 |
| LUXEMBOURG - 0.6%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Media - 0.2% |  |  |  |
| Altice Financing SA 5.75% 8/15/2029 (d) |  | 195000 | 135275 |
| Altice Financing SA 9.625% 7/15/2027 (d) |  | 90000 | 67293 |
|  |  |  | 202568 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Altice France Lux 3 / Altice Holdings 1 10% 1/15/2033 (d) |  | 40400 | 37964 |
| TOTAL COMMUNICATION SERVICES |  |  | 240532 |
| Materials - 0.4% |  |  |  |
| Chemicals - 0.4% |  |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (d) |  | 470000 | 413609 |
| TOTAL LUXEMBOURG |  |  | 654141 |
| MAURITIUS - 0.1%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| Axian Telecom Holding & Management PLC 7.25% 7/11/2030 (d) |  | 60000 | 60798 |
| NIGERIA - 0.2%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (d) |  | 98000 | 97517 |
| IHS Holding Ltd 6.25% 11/29/2028 (d) |  | 26000 | 26073 |
| IHS Holding Ltd 7.875% 5/29/2030 (d) |  | 110000 | 114813 |
| IHS Holding Ltd 8.25% 11/29/2031 (d) |  | 20000 | 21301 |
| TOTAL NIGERIA |  |  | 259704 |
| SOUTH AFRICA - 0.3%  |  |  |  |
| Communication Services - 0.3% |  |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (d) |  | 362000 | 349384 |
| SWITZERLAND - 0.8%  |  |  |  |
| Materials - 0.8% |  |  |  |
| Chemicals - 0.8% |  |  |  |
| Consolidated Energy Finance SA 12% 2/15/2031 (d) |  | 135000 | 116775 |
| Consolidated Energy Finance SA 5.625% 10/15/2028 (d) |  | 460000 | 386400 |
| Consolidated Energy Finance SA 6.5% 5/15/2026 (d) |  | 335000 | 332624 |
| TOTAL SWITZERLAND |  |  | 835799 |
| UNITED STATES - 81.4%  |  |  |  |
| Communication Services - 6.7% |  |  |  |
| Diversified Telecommunication Services - 2.8% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (d) |  | 400000 | 419837 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (d) |  | 114000 | 116674 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (d) |  | 25000 | 24980 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (d) |  | 50000 | 49963 |
| Connect Holdings LLC 10.5% 4/3/2031 (d) |  | 45000 | 43517 |
| Flash Compute LLC 7.25% 12/31/2030 (d) |  | 165000 | 168897 |
| Level 3 Financing Inc 3.625% 1/15/2029 (d) |  | 20000 | 18800 |
| Level 3 Financing Inc 3.75% 7/15/2029 (d) |  | 147000 | 136260 |
| Level 3 Financing Inc 4.25% 7/1/2028 (d) |  | 10000 | 9640 |
| Level 3 Financing Inc 6.875% 6/30/2033 (d) |  | 1206500 | 1249542 |
| Level 3 Financing Inc 7% 3/31/2034 (d) |  | 145000 | 150734 |
| Level 3 Financing Inc 8.5% 1/15/2036 (d) |  | 505000 | 525806 |
| Lumen Technologies Inc 4.5% 1/15/2029 (d) |  | 7000 | 6663 |
| WULF Compute LLC 7.75% 10/15/2030 (d) |  | 170000 | 180032 |
|  |  |  | 3101345 |
| Interactive Media & Services - 0.1% |  |  |  |
| Snap Inc 6.875% 3/1/2033 (d) |  | 33000 | 32869 |
| Snap Inc 6.875% 3/15/2034 (d) |  | 60000 | 59817 |
|  |  |  | 92686 |
| Media - 3.8% |  |  |  |
| Advantage Sales & Marketing Inc 6.5% 11/15/2028 (d) |  | 95000 | 77900 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (d) |  | 1073000 | 934692 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (d) |  | 302000 | 280838 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (d) |  | 90000 | 92020 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7.375% 2/1/2036 (d) |  | 35000 | 35526 |
| CMG Media Corp 8.875% 6/18/2029 (d) |  | 14000 | 12218 |
| CSC Holdings LLC 3.375% 2/15/2031 (d) |  | 291000 | 173462 |
| CSC Holdings LLC 4.125% 12/1/2030 (d) |  | 170000 | 103712 |
| CSC Holdings LLC 4.5% 11/15/2031 (d) |  | 235000 | 141036 |
| CSC Holdings LLC 4.625% 12/1/2030 (d) |  | 108000 | 39972 |
| Discovery Communications LLC 6.35% 6/1/2040  |  | 167000 | 135955 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  |  | 70000 | 50225 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 86000 | 76801 |
| DISH DBS Corp 5.25% 12/1/2026 (d) |  | 85000 | 82563 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 25000 | 24121 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 320000 | 316036 |
| EW Scripps Co/The 9.875% 8/15/2030 (d) |  | 90000 | 90373 |
| Univision Communications Inc 8.5% 7/31/2031 (d) |  | 1479000 | 1513617 |
|  |  |  | 4181067 |
| TOTAL COMMUNICATION SERVICES |  |  | 7375098 |
| Consumer Discretionary - 11.0% |  |  |  |
| Automobile Components - 0.4% |  |  |  |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (d) |  | 97000 | 98719 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (d) |  | 230000 | 233759 |
| Cooper-Standard Automotive Inc 9.25% 3/1/2031 (d)(n) |  | 105000 | 105296 |
|  |  |  | 437774 |
| Automobiles - 0.1% |  |  |  |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (d) |  | 177000 | 167421 |
| Broadline Retail - 1.4% |  |  |  |
| GrubHub Holdings Inc 13% 7/31/2030 pay-in-kind (d) |  | 28245 | 18891 |
| Saks Global Enterprises LLC 11% (d)(j) |  | 1 | 0 |
| Saks Global Enterprises LLC 11% (c)(d)(j) |  | 46349 | 0 |
| Wayfair LLC 6.75% 11/15/2032 (d) |  | 204000 | 207915 |
| Wayfair LLC 7.25% 10/31/2029 (d) |  | 859000 | 887727 |
| Wayfair LLC 7.75% 9/15/2030 (d) |  | 418000 | 439573 |
|  |  |  | 1554106 |
| Diversified Consumer Services - 0.6% |  |  |  |
| Sotheby's 7.375% 10/15/2027 (d) |  | 402000 | 399550 |
| Sotheby's/Bidfair Holdings Inc 5.875% 6/1/2029 (d) |  | 10000 | 9621 |
| StoneMor Inc 8.5% 5/15/2029 (d) |  | 287000 | 278397 |
|  |  |  | 687568 |
| Hotels, Restaurants & Leisure - 4.0% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (d) |  | 35000 | 35621 |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (d) |  | 65000 | 59873 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (d) |  | 2083000 | 1940809 |
| Hilton Domestic Operating Co Inc 5.5% 3/31/2034 (d) |  | 140000 | 141494 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (d) |  | 321000 | 330384 |
| Hilton Domestic Operating Co Inc 6.125% 4/1/2032 (d) |  | 85000 | 87877 |
| Light & Wonder International Inc 6.25% 10/1/2033 (d) |  | 90000 | 90389 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (d) |  | 110000 | 81479 |
| NCL Corp Ltd 5.875% 1/15/2031 (d) |  | 275000 | 277832 |
| NCL Corp Ltd 6.25% 9/15/2033 (d) |  | 303000 | 305842 |
| Yum! Brands Inc 4.625% 1/31/2032  |  | 1057000 | 1039198 |
|  |  |  | 4390798 |
| Household Durables - 3.1% |  |  |  |
| Beazer Homes USA Inc 7.5% 3/15/2031 (d) |  | 252000 | 259276 |
| LGI Homes Inc 7% 11/15/2032 (d) |  | 425000 | 416645 |
| TopBuild Corp 5.625% 1/31/2034 (d) |  | 438000 | 441746 |
| Whirlpool Corp 5.75% 3/1/2034  |  | 263000 | 249730 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 704000 | 707160 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 1311000 | 1308307 |
|  |  |  | 3382864 |
| Specialty Retail - 1.4% |  |  |  |
| Advance Auto Parts Inc 7.375% 8/1/2033 (d) |  | 104000 | 106580 |
| Carvana Co 4.875% 9/1/2029 (d) |  | 25000 | 22750 |
| Carvana Co 9% 6/1/2030 pay-in-kind (d)(e) |  | 195847 | 203888 |
| Champions Financing Inc 8.75% 2/15/2029 (d) |  | 212000 | 200994 |
| LBM Acquisition LLC 6.25% 1/15/2029 (d) |  | 50000 | 38121 |
| Michaels Cos Inc/The 11% 3/15/2034 (d)(n) |  | 160000 | 149546 |
| Michaels Cos Inc/The 7.875% 5/1/2029 (d) |  | 99000 | 99445 |
| Michaels Cos Inc/The 8.5% 3/15/2033 (d)(n) |  | 160000 | 155633 |
| Staples Inc 10.75% 9/1/2029 (d) |  | 418000 | 383543 |
| Staples Inc 12.75% 1/15/2030 (d) |  | 325538 | 228837 |
|  |  |  | 1589337 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 12209868 |
| Consumer Staples - 2.9% |  |  |  |
| Consumer Staples Distribution & Retail - 1.1% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (d) |  | 237000 | 235044 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (d) |  | 70000 | 70471 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (d) |  | 189000 | 188060 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (d) |  | 176000 | 181488 |
| Albertsons Cos Inc 5.625% 3/31/2032 (d) |  | 180000 | 180709 |
| C&S Group Enterprises LLC 5% 12/15/2028 (d) |  | 171000 | 161660 |
| Performance Food Group Inc 4.25% 8/1/2029 (d) |  | 45000 | 44150 |
| Performance Food Group Inc 5.625% 3/1/2034 (d) |  | 115000 | 115385 |
| Performance Food Group Inc 6.125% 9/15/2032 (d) |  | 50000 | 51325 |
| US Foods Inc 5.75% 4/15/2033 (d) |  | 33000 | 33661 |
|  |  |  | 1261953 |
| Food Products - 1.6% |  |  |  |
| Post Holdings Inc 4.5% 9/15/2031 (d) |  | 881000 | 842869 |
| Post Holdings Inc 4.625% 4/15/2030 (d) |  | 234000 | 229051 |
| Post Holdings Inc 6.25% 10/15/2034 (d) |  | 204000 | 208351 |
| Post Holdings Inc 6.25% 2/15/2032 (d) |  | 87000 | 89497 |
| Post Holdings Inc 6.375% 3/1/2033 (d) |  | 300000 | 305365 |
| Post Holdings Inc 6.5% 3/15/2036 (d) |  | 110000 | 111901 |
|  |  |  | 1787034 |
| Household Products - 0.2% |  |  |  |
| Resideo Funding Inc 6.5% 7/15/2032 (d) |  | 194000 | 198058 |
| TOTAL CONSUMER STAPLES |  |  | 3247045 |
| Energy - 7.5% |  |  |  |
| Energy Equipment & Services - 0.9% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.25% 4/1/2028 (d) |  | 231000 | 231180 |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (d) |  | 138000 | 143609 |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (d) |  | 245000 | 248059 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (d) |  | 146000 | 150559 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (d) |  | 89000 | 92995 |
| Oceaneering International Inc 6% 2/1/2028  |  | 113000 | 114971 |
|  |  |  | 981373 |
| Oil, Gas & Consumable Fuels - 6.6% |  |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (d) |  | 133000 | 135015 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 7/1/2034 (d) |  | 165000 | 167579 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 2/15/2031 (d) |  | 80000 | 85226 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 7/15/2028 (d) |  | 207000 | 215115 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (d) |  | 723000 | 705117 |
| CNX Resources Corp 5.875% 3/1/2034 (d) |  | 110000 | 110201 |
| CNX Resources Corp 7.25% 3/1/2032 (d) |  | 277000 | 290461 |
| CNX Resources Corp 7.375% 1/15/2031 (d) |  | 159000 | 164905 |
| Energy Transfer LP 6.5% 2/15/2056 (e) |  | 50000 | 50522 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  |  | 716000 | 723041 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (d) |  | 307000 | 317641 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 1151000 | 1134065 |
| Sunoco LP 5.375% 7/15/2031 (d)(n) |  | 105000 | 105245 |
| Sunoco LP 5.625% 3/15/2031 (d) |  | 206000 | 207771 |
| Sunoco LP 5.625% 7/15/2034 (d)(n) |  | 105000 | 104984 |
| Sunoco LP 5.875% 3/15/2034 (d) |  | 327000 | 328306 |
| Sunoco LP 6.25% 7/1/2033 (d) |  | 795000 | 818791 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (d) |  | 847000 | 856005 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (d) |  | 764000 | 785166 |
|  |  |  | 7305156 |
| TOTAL ENERGY |  |  | 8286529 |
| Financials - 7.1% |  |  |  |
| Capital Markets - 0.4% |  |  |  |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (d) |  | 248000 | 235802 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (d) |  | 209000 | 203511 |
|  |  |  | 439313 |
| Consumer Finance - 1.8% |  |  |  |
| Ally Financial Inc 6.646% 1/17/2040 (e) |  | 929000 | 926823 |
| LFS Topco LLC 8.75% 7/15/2030 (d) |  | 165000 | 159632 |
| OneMain Finance Corp 3.5% 1/15/2027  |  | 94000 | 92899 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 202000 | 202793 |
| OneMain Finance Corp 6.5% 3/15/2033  |  | 155000 | 153588 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 213000 | 217447 |
| OneMain Finance Corp 6.75% 9/15/2033  |  | 40000 | 39700 |
| OneMain Finance Corp 7.125% 11/15/2031  |  | 93000 | 95088 |
| OneMain Finance Corp 7.125% 9/15/2032  |  | 45000 | 46019 |
| SLM Corp 6.5% 1/31/2030  |  | 77000 | 78193 |
|  |  |  | 2012182 |
| Financial Services - 2.9% |  |  |  |
| Block Inc 3.5% 6/1/2031  |  | 1040000 | 976552 |
| Block Inc 5.625% 8/15/2030 (d) |  | 202000 | 204648 |
| Block Inc 6% 8/15/2033 (d) |  | 291000 | 295710 |
| Block Inc 6.5% 5/15/2032  |  | 1081000 | 1112089 |
| Burford Capital Global Finance LLC 7.5% 7/15/2033 (d) |  | 192000 | 179581 |
| Clue Opco LLC 9.5% 10/15/2031 (d) |  | 42000 | 43493 |
| HA Sustainable Infrastructure Capital Inc 7.125% 11/15/2056 (e) |  | 105000 | 104971 |
| HA Sustainable Infrastructure Capital Inc 8% 6/1/2056 (e) |  | 108000 | 113785 |
| ION Platform Finance US Inc 7.875% 9/30/2032 (d) |  | 35000 | 28007 |
| NFE Financing LLC 12% (d)(j) |  | 267216 | 96599 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (d) |  | 38000 | 37560 |
| WEX Inc 6.5% 3/15/2033 (d) |  | 31000 | 31156 |
|  |  |  | 3224151 |
| Insurance - 0.8% |  |  |  |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (d) |  | 497000 | 522003 |
| Asurion LLC and Asurion Co-Issuer Inc 8.375% 2/1/2034 (d) |  | 345000 | 343333 |
|  |  |  | 865336 |
| Mortgage Real Estate Investment Trusts (REITs) - 1.2% |  |  |  |
| EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM 7.375% 9/30/2030 (d) |  | 65000 | 65646 |
| Starwood Property Trust Inc 3.625% 7/15/2026 (d) |  | 144000 | 143125 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (d) |  | 280000 | 281346 |
| Starwood Property Trust Inc 5.75% 1/15/2031 (d) |  | 60000 | 60627 |
| Starwood Property Trust Inc 6% 4/15/2030 (d) |  | 129000 | 131989 |
| Starwood Property Trust Inc 6.5% 10/15/2030 (d) |  | 285000 | 297016 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (d) |  | 237000 | 246486 |
| Starwood Property Trust Inc 7.25% 4/1/2029 (d) |  | 63000 | 66015 |
|  |  |  | 1292250 |
| TOTAL FINANCIALS |  |  | 7833232 |
| Health Care - 14.7% |  |  |  |
| Biotechnology - 0.3% |  |  |  |
| BioMarin Pharmaceutical Inc5.5% 2/15/2034 (d) |  | 100000 | 100879 |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (d) |  | 211000 | 184493 |
|  |  |  | 285372 |
| Health Care Providers & Services - 10.3% |  |  |  |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (d) |  | 146000 | 150723 |
| Accendra Health Inc 6.625% 4/1/2030 (d) |  | 528000 | 254041 |
| AMN Healthcare Inc 4% 4/15/2029 (d) |  | 348000 | 331438 |
| CHS/Community Health Systems Inc 4.75% 2/15/2031 (d) |  | 895000 | 821156 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (d) |  | 272000 | 261346 |
| CHS/Community Health Systems Inc 6.125% 4/1/2030 (d) |  | 183000 | 161792 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (d) |  | 170000 | 179149 |
| CVS Health Corp 6.75% 12/10/2054 (e) |  | 1755000 | 1825507 |
| CVS Health Corp 7% 3/10/2055 (e) |  | 681000 | 716294 |
| DaVita Inc 3.75% 2/15/2031 (d) |  | 797000 | 744791 |
| DaVita Inc 6.875% 9/1/2032 (d) |  | 529000 | 549676 |
| Encompass Health Corp 4.625% 4/1/2031  |  | 284000 | 278817 |
| Molina Healthcare Inc 3.875% 11/15/2030 (d) |  | 710000 | 646759 |
| Molina Healthcare Inc 6.25% 1/15/2033 (d) |  | 407000 | 400372 |
| Molina Healthcare Inc 6.5% 2/15/2031 (d) |  | 353000 | 354128 |
| National Mentor Holdings Inc 10.5% 12/15/2030 (d) |  | 150000 | 149446 |
| Pediatrix Medical Group Inc 5.375% 2/15/2030 (d) |  | 692000 | 687524 |
| Radiology Partners Inc 9.781% 2/15/2030 pay-in-kind (d)(e) |  | 10768 | 10067 |
| TEAM Services Holding Inc 9% 2/15/2033 (d) |  | 170000 | 166287 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (d) |  | 1060000 | 1073178 |
| Tenet Healthcare Corp 6% 11/15/2033 (d) |  | 259000 | 267658 |
| Tenet Healthcare Corp 6.125% 10/1/2028  |  | 1012000 | 1014336 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 80000 | 81596 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (d) |  | 304000 | 304095 |
|  |  |  | 11430176 |
| Health Care Technology - 1.4% |  |  |  |
| IQVIA Inc 5% 10/15/2026 (d) |  | 607000 | 606343 |
| IQVIA Inc 5% 5/15/2027 (d) |  | 558000 | 556780 |
| IQVIA Inc 6.25% 6/1/2032 (d) |  | 386000 | 397069 |
|  |  |  | 1560192 |
| Life Sciences Tools & Services - 1.0% |  |  |  |
| Charles River Laboratories International Inc 4.25% 5/1/2028 (d) |  | 1080000 | 1065634 |
| Fortrea Holdings Inc 7.5% 7/1/2030 (d) |  | 54000 | 51525 |
|  |  |  | 1117159 |
| Pharmaceuticals - 1.7% |  |  |  |
| Bausch Health Americas Inc 8.5% 1/31/2027 (d) |  | 55000 | 54505 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (d) |  | 15000 | 14725 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (d) |  | 1082000 | 961471 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 6.75% 5/15/2034 (d) |  | 265000 | 257050 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 7.875% 5/15/2034 (d) |  | 588000 | 547994 |
|  |  |  | 1835745 |
| TOTAL HEALTH CARE |  |  | 16228644 |
| Industrials - 7.6% |  |  |  |
| Aerospace & Defense - 1.8% |  |  |  |
| ATI Inc 4.875% 10/1/2029  |  | 328000 | 327573 |
| ATI Inc 7.25% 8/15/2030  |  | 126000 | 131981 |
| TransDigm Inc 4.875% 5/1/2029  |  | 126000 | 125779 |
| TransDigm Inc 6% 1/15/2033 (d) |  | 390000 | 396899 |
| TransDigm Inc 6.125% 7/31/2034 (d) |  | 135000 | 137124 |
| TransDigm Inc 6.25% 1/31/2034 (d) |  | 48000 | 49656 |
| TransDigm Inc 6.375% 3/1/2029 (d) |  | 518000 | 531598 |
| TransDigm Inc 6.375% 5/31/2033 (d) |  | 116000 | 118393 |
| TransDigm Inc 6.625% 3/1/2032 (d) |  | 32000 | 33151 |
| TransDigm Inc 6.75% 1/31/2034 (d) |  | 101000 | 104816 |
|  |  |  | 1956970 |
| Air Freight & Logistics - 0.2% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (d) |  | 215000 | 224271 |
| Building Products - 1.0% |  |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (d) |  | 105000 | 105801 |
| Advanced Drainage Systems Inc 6.375% 6/15/2030 (d) |  | 95000 | 96660 |
| Builders FirstSource Inc 6.375% 3/1/2034 (d) |  | 83000 | 85491 |
| Builders FirstSource Inc 6.75% 5/15/2035 (d) |  | 169000 | 176363 |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (d) |  | 664000 | 501328 |
| Cornerstone Building Brands Inc 6.125% 1/15/2029 (d) |  | 257000 | 128267 |
|  |  |  | 1093910 |
| Commercial Services & Supplies - 3.2% |  |  |  |
| ADT Security Corp/The 5.875% 10/15/2033 (d) |  | 153000 | 155504 |
| Artera Services LLC 8.5% 2/15/2031 (d) |  | 994000 | 830952 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (d) |  | 854000 | 797525 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (d) |  | 135000 | 132137 |
| OT Midco Inc 10% 2/15/2030 (d) |  | 110000 | 46703 |
| Reworld Holding Corp 4.875% 12/1/2029 (d) |  | 1613000 | 1554485 |
|  |  |  | 3517306 |
| Construction & Engineering - 0.1% |  |  |  |
| AECOM 6% 8/1/2033 (d) |  | 182000 | 185961 |
| Electrical Equipment - 0.3% |  |  |  |
| WESCO Distribution Inc 5.25% 4/15/2031 (d) |  | 120000 | 119787 |
| WESCO Distribution Inc 5.5% 4/15/2034 (d) |  | 160000 | 161242 |
|  |  |  | 281029 |
| Machinery - 0.4% |  |  |  |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (d)(e) |  | 126485 | 139766 |
| Columbus McKinnon Corp/NY 7.125% 2/1/2033 (d) |  | 105000 | 107946 |
| Enpro Inc 6.125% 6/1/2033 (d) |  | 55000 | 56763 |
| Terex Corp 6.25% 10/15/2032 (d) |  | 175000 | 180227 |
|  |  |  | 484702 |
| Trading Companies & Distributors - 0.6% |  |  |  |
| Herc Holdings Inc 5.75% 3/15/2031 (d) |  | 50000 | 50686 |
| Herc Holdings Inc 6% 3/15/2034 (d) |  | 145000 | 145774 |
| Herc Holdings Inc 7% 6/15/2030 (d) |  | 94000 | 98504 |
| Herc Holdings Inc 7.25% 6/15/2033 (d) |  | 129000 | 136362 |
| United Rentals North America Inc 5.375% 11/15/2033 (d) |  | 166000 | 167354 |
| United Rentals North America Inc 6.125% 3/15/2034 (d) |  | 67000 | 70187 |
|  |  |  | 668867 |
| TOTAL INDUSTRIALS |  |  | 8413016 |
| Information Technology - 4.6% |  |  |  |
| IT Services - 1.9% |  |  |  |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (d) |  | 276000 | 271274 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (d) |  | 121000 | 118778 |
| CoreWeave Inc 9% 2/1/2031 (d) |  | 510000 | 492082 |
| CoreWeave Inc 9.25% 6/1/2030 (d) |  | 91000 | 89130 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (d) |  | 1265000 | 1183439 |
|  |  |  | 2154703 |
| Semiconductors & Semiconductor Equipment - 1.8% |  |  |  |
| Entegris Inc 5.95% 6/15/2030 (d) |  | 1226000 | 1250196 |
| ON Semiconductor Corp 3.875% 9/1/2028 (d) |  | 719000 | 703835 |
| Wolfspeed Inc 7% 6/15/2031 pay-in-kind (e) |  | 24675 | 18282 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (d)(e) |  | 15525 | 16593 |
|  |  |  | 1988906 |
| Software - 0.7% |  |  |  |
| Oracle Corp 3.6% 4/1/2040  |  | 602000 | 454929 |
| Oracle Corp 4.95% 2/4/2031  |  | 50000 | 49898 |
| Oracle Corp 5.35% 5/4/2033  |  | 50000 | 50169 |
| Oracle Corp 5.7% 2/4/2036  |  | 50000 | 50028 |
| Oracle Corp 6.55% 2/4/2046  |  | 105000 | 102317 |
| Oracle Corp 6.7% 2/4/2056  |  | 50000 | 48488 |
| Oracle Corp 6.85% 2/4/2066  |  | 10000 | 9579 |
| Rackspace Finance LLC 3.5% 5/15/2028 (d) |  | 12525 | 5096 |
|  |  |  | 770504 |
| Technology Hardware, Storage & Peripherals - 0.2% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 4.125% 1/15/2031 (d) |  | 40000 | 38097 |
| Seagate Data Storage Technology Pte Ltd 5.75% 12/1/2034 (d) |  | 96000 | 98210 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (d) |  | 64000 | 65866 |
|  |  |  | 202173 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 5116286 |
| Materials - 7.8% |  |  |  |
| Chemicals - 5.6% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (d)(e) |  | 121992 | 105523 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 267000 | 273560 |
| Celanese US Holdings LLC 6.75% 4/15/2033  |  | 567000 | 581347 |
| Celanese US Holdings LLC 6.879% 7/15/2032 (e) |  | 305000 | 321536 |
| Celanese US Holdings LLC 7% 2/15/2031  |  | 215000 | 221472 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (e) |  | 70000 | 74632 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (e) |  | 200000 | 214869 |
| Celanese US Holdings LLC 7.375% 2/15/2034  |  | 175000 | 179780 |
| Chemours Co/The 4.625% 11/15/2029 (d) |  | 1373000 | 1300520 |
| GPD Cos Inc 12.5% 12/31/2029 pay-in-kind (d) |  | 49085 | 25854 |
| Mativ Holdings Inc 8% 10/1/2029 (d) |  | 130000 | 128299 |
| Olin Corp 5% 2/1/2030  |  | 654000 | 635995 |
| Olin Corp 6.625% 4/1/2033 (d) |  | 811000 | 791919 |
| Olympus Water US Holding Corp 6.75% 8/1/2032 (d) |  | 437000 | 430187 |
| Olympus Water US Holding Corp 7.25% 2/15/2033 (d) |  | 598000 | 595290 |
| Perimeter Holdings LLC 6.25% 1/15/2034 (d) |  | 95000 | 95433 |
| Tronox Inc 4.625% 3/15/2029 (d) |  | 235000 | 181698 |
|  |  |  | 6157914 |
| Construction Materials - 1.0% |  |  |  |
| Quikrete Holdings Inc 6.375% 3/1/2032 (d) |  | 754000 | 783631 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (d) |  | 273000 | 283771 |
|  |  |  | 1067402 |
| Containers & Packaging - 1.1% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (d) |  | 380000 | 362686 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (d) |  | 301000 | 308078 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (d) |  | 484000 | 497275 |
|  |  |  | 1168039 |
| Metals & Mining - 0.1% |  |  |  |
| Commercial Metals Co 5.75% 11/15/2033 (d) |  | 115000 | 117333 |
| Commercial Metals Co 6% 12/15/2035 (d) |  | 79000 | 80915 |
|  |  |  | 198248 |
| TOTAL MATERIALS |  |  | 8591603 |
| Real Estate - 3.1% |  |  |  |
| Diversified REITs - 0.4% |  |  |  |
| Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC 6% 1/15/2030 (d) |  | 80000 | 75598 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (d) |  | 260000 | 263694 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (d) |  | 135000 | 136918 |
|  |  |  | 476210 |
| Health Care REITs - 0.8% |  |  |  |
| MPT Operating Partnership LP / MPT Finance Corp 0.993% 10/15/2026  | EUR | 100000 | 115803 |
| MPT Operating Partnership LP / MPT Finance Corp 4.625% 8/1/2029  |  | 443000 | 382748 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 382000 | 374361 |
|  |  |  | 872912 |
| Hotel & Resort REITs - 0.1% |  |  |  |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (d)(n) |  | 95000 | 95694 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (d) |  | 60000 | 62327 |
|  |  |  | 158021 |
| Real Estate Management & Development - 1.8% |  |  |  |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (d) |  | 265000 | 267874 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.75% 1/15/2029 (d) |  | 240000 | 236583 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (d) |  | 200000 | 215502 |
| Taylor Morrison Communities Inc 5.125% 8/1/2030 (d) |  | 950000 | 958279 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (d) |  | 255000 | 263489 |
|  |  |  | 1941727 |
| TOTAL REAL ESTATE |  |  | 3448870 |
| Utilities - 8.4% |  |  |  |
| Electric Utilities - 6.9% |  |  |  |
| DPL LLC/Ohio 4.35% 4/15/2029  |  | 1008000 | 992820 |
| Edison International 4.8% 3/15/2031  |  | 105000 | 104937 |
| Edison International 7.875% 6/15/2054 (e) |  | 296000 | 308147 |
| Edison International 8.125% 6/15/2053 (e) |  | 154000 | 160081 |
| NRG Energy Inc 5.75% 1/15/2034 (d) |  | 212000 | 214899 |
| NRG Energy Inc 5.75% 7/15/2029 (d) |  | 62000 | 62107 |
| NRG Energy Inc 6% 1/15/2036 (d) |  | 165000 | 167915 |
| NRG Energy Inc 6% 2/1/2033 (d) |  | 511000 | 523373 |
| NRG Energy Inc 6.25% 11/1/2034 (d) |  | 631000 | 652561 |
| PG&E Corp 5.25% 7/1/2030  |  | 1550000 | 1551284 |
| PG&E Corp 6.85% 9/15/2056 (e) |  | 158000 | 157744 |
| PG&E Corp 7.375% 3/15/2055 (e) |  | 798000 | 825913 |
| XPLR Infrastructure Operating Partners LP 4.5% 9/15/2027 (d) |  | 656000 | 653194 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (d) |  | 429000 | 445281 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (d) |  | 293000 | 303797 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (d) |  | 325000 | 344126 |
| XPLR Infrastructure Operating Partners LP 8.625% 3/15/2033 (d) |  | 160000 | 169359 |
|  |  |  | 7637538 |
| Independent Power and Renewable Electricity Producers - 1.5% |  |  |  |
| AES Corp/The 6.95% 7/15/2055 (e) |  | 131000 | 126581 |
| Sunnova Energy Corp 5.875% (c)(d)(j) |  | 179000 | 448 |
| TerraForm Power Operating LLC 4.75% 1/15/2030 (d) |  | 1572000 | 1536836 |
|  |  |  | 1663865 |
| TOTAL UTILITIES |  |  | 9301403 |
| TOTAL UNITED STATES |  |  | 90051594 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $96,627,123) |  |  | <br> **97069231** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.1%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.1%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.1%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Information Technology - 0.1% |  |  |
| Software - 0.1% |  |  |
| Strategy Inc 11.25% (k)<br>(Cost $98,555)<br>| 1052 | **105199** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.5%** | &nbsp;&nbsp;**Preferred Securities - 0.5%** | &nbsp;&nbsp;**Preferred Securities - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.5%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.1% |  |  |
| BW Real Estate Inc 9.5% (d)(e)(m) | 100000 | 106220 |
| Consumer Finance - 0.1% |  |  |
| Ally Financial Inc 4.7% (e)(m) | 70000 | 69922 |
| Insurance - 0.0% |  |  |
| Alliant Holdings LP 10.5% (c)(e)(m) | 16452 | 16616 |
| TOTAL FINANCIALS |  | 192758 |
| Industrials - 0.3% |  |  |
| Trading Companies & Distributors - 0.3% |  |  |
| Air Lease Corp 4.125% (e)(m) | 320000 | 320082 |
| TOTAL UNITED STATES |  | 512840 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $500,756) |  | <br> **512840** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** |
|  | Yield (%) (o) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 2/15/2046 <br>(Cost $260,882)<br>| 4.57 | 259000 | **260821** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.2%** | &nbsp;&nbsp;**Money Market Funds - 1.2%** | &nbsp;&nbsp;**Money Market Funds - 1.2%** | &nbsp;&nbsp;**Money Market Funds - 1.2%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (p)<br>(Cost $1,356,472)<br>| 3.70 | 1356201 | **1356472** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.1%**<br> (Cost $108,697,129)<br>| <br>**109550808** |
| **NET OTHER ASSETS (LIABILITIES) - 0.9%**  | **1050402** |
| **NET ASSETS - 100.0%** | **110601210** |

---

**Currency Abbreviations**

EUR - European Monetary Unit (Euro)

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Non-income producing.

(c) Level 3 security.

(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 $74,032,131 or 66.9% of net assets.

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

(f) 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.

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

(h) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $4,485 and $4,308, respectively.

(i) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(j) Non-income producing - Security is in default.

(k) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(l) Zero coupon bond which is issued at a discount.

(m) Security is perpetual in nature with no stated maturity date.

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

(o) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(p) 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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 338417 | 15195831 | 14177734 | 23842 | (42) | - | 1356472 | 1356201 | 0.0% |
| Total | 338417 | 15195831 | 14177734 | 23842 | (42) | - | 1356472 |  |  |

---

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, 2026, 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:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 190996 | - | 190996 | - |
| Consumer Discretionary | 1323293 | - | 1318298 | 4995 |
| Consumer Staples | 60020 | - | 53765 | 6255 |
| Energy | 558841 | - | 542222 | 16619 |
| Financials | 211059 | - | 211059 | - |
| Health Care | 1256801 | - | 1251560 | 5241 |
| Industrials | 1094251 | - | 972375 | 121876 |
| Information Technology | 808585 | - | 808585 | - |
| Materials | 1212893 | - | 1212893 | - |
| Utilities | 254851 | - | 254851 | - |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 173123 | 104218 | - | 68905 |
| Consumer Discretionary | 2306 | - | - | 2306 |
| Energy | 166324 | 166324 | - | - |
| Health Care | 164513 | 151079 | - | 13434 |
| Information Technology | 62491 | 62491 | - | - |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 758919 | - | 758919 | - |
| Energy | 223899 | - | 223899 | - |
| Financials | 402055 | - | 402055 | - |
| Information Technology | 721697 | - | 721697 | - |
| Utilities | 169939 | - | 169939 | - |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 157643 | - | 157643 | - |
| Financials | 86935 | - | - | 86935 |
| Information Technology | 184811 | - | 184811 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 8983390 | - | 8983390 | - |
| Consumer Discretionary | 13428343 | - | 13428343 | - |
| Consumer Staples | 3247045 | - | 3247045 | - |
| Energy | 9169607 | - | 9169607 | - |
| Financials | 7833232 | - | 7833232 | - |
| Health Care | 16284590 | - | 16284590 | - |
| Industrials | 8540309 | - | 8540309 | - |
| Information Technology | 5116286 | - | 5116286 | - |
| Materials | 11459215 | - | 11459215 | - |
| Real Estate | 3448870 | - | 3448870 | - |
| Utilities | 9558344 | - | 9557896 | 448 |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Information Technology | 105199 | 105199 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Financials | 192758 | - | 176142 | 16616 |
| Industrials | 320082 | - | 320082 | - |
|  **U.S. Treasury Obligations** | 260821 | - | 260821 | - |
|  **Money Market Funds** | 1356472 | 1356472 | - | - |
| **Total Investments in Securities:** | 109550808 | 1945783 | 107261395 | 343630 |

---

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $107,340,657) | $108194336 |  |
| Fidelity Central Funds (cost $1,356,472) | 1356472 |  |
| Total Investment in Securities (cost $108,697,129) |  | $109550808 |
| Cash |  | 188525 |
| Foreign currency held at value (cost $2) |  | 2 |
| Receivable for investments sold |  |  |
| Regular delivery |  | 2971816 |
| Delayed delivery |  | 55138 |
| Receivable for fund shares sold |  | 6076014 |
| Dividends receivable |  | 755 |
| Interest receivable |  | 1574629 |
| Distributions receivable from Fidelity Central Funds |  | 5171 |
| Other receivables |  | 31 |
| **Total assets** |  | 120422889 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $8348213 |  |
| Delayed delivery | 991742 |  |
| Distributions payable | 434300 |  |
| Accrued management fee | 47132 |  |
| Other payables and accrued expenses | 292 |  |
| **Total liabilities** |  | 9821679 |
| **Net Assets**  |  | $110601210 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $109523476 |
| Total accumulated earnings (loss) |  | 1077734 |
| **Net Assets** |  | $110601210 |
| **Net Asset Value**, offering price and redemption price per share ($110,601,210 ÷ 2,275,000 shares) |  | $48.62 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** | **Six months ended February 28, 2026 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $16903 |
| Interest  |  | 2718347 |
| Income from Fidelity Central Funds  |  | 23842 |
| **Total income** |  | 2759092 |
| **Expenses** |  |  |
| Management fee | $219198 |  |
| Independent trustees' fees and expenses | 126 |  |
| Total expenses before reductions | 219324 |  |
| Expense reductions | (1299) |  |
| Total expenses after reductions |  | 218025 |
| **Net Investment income (loss)** |  | 2541067 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 410763 |  |
| Fidelity Central Funds | (42) |  |
| Foreign currency transactions | 47 |  |
| Total net realized gain (loss) |  | 410768 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 216999 |  |
| Assets and liabilities in foreign currencies | 3 |  |
| Total change in net unrealized appreciation (depreciation) |  | 217002 |
| **Net gain (loss)** |  | 627770 |
| **Net increase (decrease) in net assets resulting from operations** |  | $3168837 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** | **Year ended**<br> **August 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $2541067 | $2932932 |
| &nbsp;&nbsp;Net realized gain (loss) | 410768<br>| 317058<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 217002 | 209383<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 3168837<br>| 3459373<br>|
| Distributions to shareholders | (2467000)<br>| (2926125)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 53338187 | 30994139 |
| &nbsp;&nbsp;Cost of shares redeemed | - | (2270268) |
| **Net increase (decrease) in net assets resulting from share transactions** | 53338187<br>| 28723871<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 54040024<br>| 29257119<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 56561186 | 27304067<br>|
| &nbsp;&nbsp;End of period | $110601210 | $56561186 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 1100000 | 650000 |
| &nbsp;&nbsp;Redeemed | - | (50000) |
| &nbsp;&nbsp;Net increase (decrease) | 1100000 | 600000 |

---

**Financial Highlights** 

**Fidelity® Sustainable High Yield ETF** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)**  | **Years ended August 31, 2025**  | **2024**  | **2023**  | **2022** A |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $48.14 | $47.49 | $45.23 | $45.26 | $50.00 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) B,C | 1.548  | 3.290  | 3.195  | 3.045  | 1.404  |
| Net realized and unrealized gain (loss)  | .383  | .549  | 2.168  | (.092)  | (4.758)  |
| Total from investment operations  | 1.931  | 3.839  | 5.363  | 2.953  | (3.354)  |
| Distributions from net investment income  | (1.451)  | (3.189)  | (3.103)  | (2.983)  | (1.386)  |
| Total distributions  | (1.451)  | (3.189)  | (3.103)  | (2.983)  | (1.386)  |
| Net asset value, end of period  | $48.62 | $48.14 | $47.49 | $45.23 | $45.26 |
| **Total Return** D,E,F | 4.06% <br>| 8.40%  | 12.33%  | 6.83%  | (6.78)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |  |
| Expenses before reductions  | .56% I | .55%  | .56%  | .55%  | .55% I |
| Expenses net of fee waivers, if any  | .56% I<br>| .55%  | .56%  | .55%  | .55% I |
| Expenses net of all reductions, if any  | .56% I | .55%  | .56%  | .55%  | .55% I |
| Net investment income (loss)  | 6.47% I | 6.95%  | 6.95%  | 6.78%  | 5.49% I |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $110601 | $56561 | $27304 | $9046 | $9052 |
| Portfolio turnover rate J | 102% I,K<br>| 104% K | 71% K | 48%  | 24% L |

---

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*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), derivatives or securities that mature within one year from acquisition.* 

K*Portfolio turnover rate excludes securities received or delivered in-kind.*

L*Amount not annualized.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended February 28, 2026

**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 RatioA** |
| 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. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. 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 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, preferred securities and U.S. government and government agency 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. 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, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

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, 2026 is included at the end of the Fund's Schedule of Investments.

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

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

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

**Investment Transactions and Income.** For financial reporting purposes and for processing shareholder transactions, the 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, 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 Fund represent a return of capital or capital gain. The Fund determines 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

**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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to foreign currency transactions, passive foreign investment companies (PFIC), partnerships, prior period premium and discount on debt securities, certain conversion ratio adjustments, redemptions in-kind, capital loss carryforwards and losses deferred due to wash sales.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $2651142 |
| **Gross unrealized depreciation** | <u>(1790729)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$860413</u> |
| **Tax cost** | <u>$108690395</u> |

---

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

---

| | |
|:---|:---|
| Short-term | $(60087) |
| Long-term | <u>(212819)</u> |
| **Total capital loss carryforward** | <u>$(272906)</u> |

---

**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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Sustainable High Yield ETF** | 35267407 | 34519650 |

---

Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **In-Kind Subscriptions ($)** | **In-Kind Redemptions ($)** |
| **Fidelity Sustainable High Yield ETF** | 48948598 | - |

---

**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.

**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 Sustainable High Yield ETF** | 29 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. 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** | 61249 | 28213 | 6580 |

---

**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 $1,299.

**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 public health emergencies, military conflicts, terrorism, government restrictions, political changes, 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.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img126696_4.jpg)<br>

1.9904450.104 SHY-SANN-0426

**Fidelity® CLO ETF**

**Semi-Annual Report**

**February 28, 2026**

![](img126706_1.jpg)

![](img126706_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_CLO-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® CLO ETF](#Sub_Sec_Fund_9166_CLO-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements9166_CLO-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_CLO-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_CLO-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_CLO-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_CLO-SANN)** |

---

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.© 2026 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.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® CLO ETF**

**Schedule of Investments February 28, 2026 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 40.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 40.2%** | &nbsp;&nbsp;**Asset-Backed Securities - 40.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 6.5%  |  |  |
| Brant Point CLO Ltd Series 2026-3A Class D2R, CME Term SOFR 3 month Index + 4.1%, 7.7299% 1/20/2039 (b)(c)(d) | 500000 | 500198 |
| Ocp CLO Aegis Ltd Series 2026-39A Class D1R, CME Term SOFR 3 month Index + 2.6%, 0% 4/16/2038 (b)(c)(d) | 500000 | 500000 |
| OCP CLO Ltd Series 2026-31A Class D2R, CME Term SOFR 3 month Index + 3.6%, 3.6% 4/20/2039 (b)(c)(d) | 625000 | 624904 |
| TOTAL BAILIWICK OF JERSEY |  | 1625102 |
| BERMUDA - 2.0%  |  |  |
| RR Ltd Series 2026-25A Class C2R2, CME Term SOFR 3 month Index + 3.75%, 7.4191% 4/15/2041 (b)(c)(d) | 500000 | 500000 |
| GRAND CAYMAN (UK OVERSEAS TER) - 31.7%  |  |  |
| Aimco Series 2026-27A Class D2, CME Term SOFR 3 month Index + 3.4%, 3.4% 4/20/2039 (b)(c)(d)(e) | 500000 | 500000 |
| Anchorage Capital CLO Ltd Series 2026-37A Class D, CME Term SOFR 3 month Index + 3.1%, 3.1% 4/20/2039 (b)(c)(d)(e) | 625000 | 624934 |
| Carlyle Us CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.49%, 5.1576% 7/20/2037 (b)(c)(d) | 500000 | 500350 |
| Carval Clo II Ltd / Carval Clo II LLC Series 2024-1A Class CR2, CME Term SOFR 3 month Index + 1.8%, 5.4676% 4/20/2032 (b)(c)(d) | 250000 | 250430 |
| Cifc Series 2022-1A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9876% 4/17/2035 (b)(c)(d) | 500000 | 500199 |
| Fortress Credit Bsl VIII Ltd Series 2024-2A Class BR, CME Term SOFR 3 month Index + 1.6%, 5.2697% 10/20/2032 (b)(c)(d) | 500000 | 500332 |
| Galaxy Clo Ltd Series 2026-32A Class D1R, CME Term SOFR 3 month Index + 2.95%, 2.95% 1/20/2039 (b)(c)(d) | 625000 | 624904 |
| Garnet Series 2025-4A Class E, CME Term SOFR 3 month Index + 5%, 8.6589% 1/20/2039 (b)(c)(d) | 500000 | 492500 |
| Kkr CLO Ltd Series 2025-25 Class AR2, CME Term SOFR 3 month Index + 0.95%, 4.6222% 7/15/2034 (b)(c)(d) | 450000 | 449550 |
| Midocean Credit Clo Xxii Series 2026-22A Class E, CME Term SOFR 3 month Index + 4.9%, 4.9% 4/20/2039 (b)(c)(d)(e) | 625000 | 624935 |
| Pikes Peak Clo 6 / Pikes Peak Clo 6 LLC Series 2025-6A Class DRR, CME Term SOFR 3 month Index + 2.5%, 6.1553% 5/18/2034 (b)(c)(d) | 500000 | 496979 |
| Pstat Series 2026-1A Class DR, CME Term SOFR 3 month Index + 3.75%, 7.4096% 10/15/2032 (b)(c)(d) | 750000 | 743426 |
| Signal Peak CLO Ltd Series 2024-11A Class D1, CME Term SOFR 3 month Index + 3.1%, 6.7676% 7/18/2037 (b)(c)(d) | 500000 | 498470 |
| Trestles CLO X Ltd Series 2026-10A Class D1, CME Term SOFR 3 month Index + 2.65%, 2.65% 4/20/2039 (b)(c)(d)(e) | 625000 | 624904 |
| Trestles Clo X Ltd Series 2026-10A Class E, CME Term SOFR 3 month Index + 4.9%, 4.5% 4/20/2039 (b)(c)(d)(e) | 500000 | 500122 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 7932035 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $10,069,598) |  | <br> **10057137** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 4.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 4.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 4.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.0%  |  |  |
| Freddie Mac STACR REMIC Trust Series 2026-DNA1 Class A1, 4.5079% 2/25/2046 (c)(d)<br> (Cost $1,000,000) | 1000000 | **1000938** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 2.2%** | &nbsp;&nbsp;**Fixed-Income Funds - 2.2%** | &nbsp;&nbsp;**Fixed-Income Funds - 2.2%** |
|  | Shares | Value ($)<br>|
| Fidelity AAA CLO ETF (f)<br>(Cost $550,039)<br>| 10960 | **548931** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 71.5%** | &nbsp;&nbsp;**Money Market Funds - 71.5%** | &nbsp;&nbsp;**Money Market Funds - 71.5%** | &nbsp;&nbsp;**Money Market Funds - 71.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $17,854,495)<br>| 3.70 | 17850925 | **17854495** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 117.9%**<br> (Cost $29,474,132)<br>| <br>**29461501** |
| **NET OTHER ASSETS (LIABILITIES) - (17.9)%**  | **(4468126)** |
| **NET ASSETS - 100.0%** | **24993375** |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

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

(c) Security 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 $11,058,075 or 44.2% of net assets.

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

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

(f) Affiliated fund.

(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,<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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 25000000 | 7145505 | 36733 | - | - | 17854495 | 17850925 | 0.0% |
| Total | - | 25000000 | 7145505 | 36733 | - | - | 17854495 |  |  |

---

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.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 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 ($) | <br>Shares,<br> end<br> of period |
| Fidelity AAA CLO ETF | - | 550039 | - | 1282 | - | (1108) | 548931 | 10960 |
|  | - | 550039 | - | 1282 | - | (1108) | 548931 |  |

---

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, 2026, 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:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 10057137 | - | 10057137 | - |
|  **Collateralized Mortgage Obligations** | 1000938 | - | 1000938 | - |
|  **Fixed-Income Funds** | 548931 | 548931 | - | - |
|  **Money Market Funds** | 17854495 | 17854495 | - | - |
| **Total Investments in Securities:** | 29461501 | 18403426 | 11058075 | - |

---

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** | <br> **As of February 28, 2026 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $11,069,598) | $11058075 |  |
| Fidelity Central Funds (cost $17,854,495) | 17854495 |  |
| Other affiliated issuers (cost $550,039) | 548931 |  |
| Total Investment in Securities (cost $29,474,132) |  | $29461501 |
| Dividends receivable |  | 1282 |
| Interest receivable |  | 29359 |
| Distributions receivable from Fidelity Central Funds |  | 36733 |
| **Total assets** |  | 29528875 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $1625000 |  |
| Delayed delivery | 2875000 |  |
| Distributions payable | 35500 |  |
| **Total liabilities** |  | 4535500 |
| **Net Assets**  |  | $24993375 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $25000000 |
| Total accumulated earnings (loss) |  | (6625) |
| **Net Assets** |  | $24993375 |
| **Net Asset Value**, offering price and redemption price per share ($24,993,375 ÷ 500,000 shares) |  | $49.99 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br>**For the period February 10, 2026 (commencement of operations) through February 28, 2026 (Unaudited)**  | <br>**For the period February 10, 2026 (commencement of operations) through February 28, 2026 (Unaudited)**  | <br>**For the period February 10, 2026 (commencement of operations) through February 28, 2026 (Unaudited)**  |
| **Investment Income** |  |  |
| Dividends (including $1,282 earned from affiliated issuers) |  | $1282 |
| Interest  |  | 3491 |
| Income from Fidelity Central Funds  |  | 36733 |
| **Total income** |  | 41506 |
| **Expenses** |  |  |
| Management fee | $6417 |  |
| Total expenses before reductions | 6417 |  |
| Expense reductions | (6417) |  |
| **Net Investment income (loss)** |  | 41506 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (11523) |  |
| Affiliated issuers  | (1108) |  |
| Total change in net unrealized appreciation (depreciation) |  | (12631) |
| **Net gain (loss)** |  | (12631) |
| **Net increase (decrease) in net assets resulting from operations** |  | $28875 |

---

---

| | |
|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **For the period February 10, 2026 (commencement of operations) through February 28, 2026**<br> **(Unaudited)**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $41506 |
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (12631) |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 28875<br>|
| Distributions to shareholders | (35500)<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 25000000 |
| **Net increase (decrease) in net assets resulting from share transactions** | 25000000<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 24993375<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $24993375 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 500000 |
| &nbsp;&nbsp;Net increase (decrease) | 500000 |

---

**Financial Highlights** 

**Fidelity® CLO ETF** <br>

---

| | |
|:---|:---|
|  | **Six months ended**<br> **February 28, 2026**<br> **(Unaudited)** A |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $50.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | .083  |
| Net realized and unrealized gain (loss)  | (.022)  |
| Total from investment operations  | .061  |
| Distributions from net investment income  | (.071)  |
| Total distributions  | (.071)  |
| Net asset value, end of period  | $49.99 |
| **Total Return** D,E,F | .12% <br>|
| **Ratios to Average Net Assets** C,G,H |  |
| Expenses before reductions  | .45% I |
| Expenses net of fee waivers, if any  | -% I<br>|
| Expenses net of all reductions, if any  | -% I |
| Net investment income (loss)  | 3.19% I |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $24993 |
| Portfolio turnover rate J | 0% <br>|

---

A*For the period February 10, 2026 (commencement of operations) through February 28, 2026.*

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.*

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), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements** **(Unaudited)**

For the period ended February 28, 2026

**1. Organization.**

Fidelity CLO ETF (the Fund) is a non-diversified 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 RatioA** |
| 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 contain the significant accounting policies (including investment valuation policies) of those funds, and 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. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. 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 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. Asset backed securities and collateralized mortgage obligations 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.

Exchange-Traded Funds (ETFs) are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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, 2026 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the Nasdaq Stock Market. 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, 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.

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** | $6747 |
| **Gross unrealized depreciation** | <u>(19378)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(12631)</u> |
| **Tax cost** | <u>$29474132</u> |

---

**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 and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity CLO ETF** | 11619640 | - |

---

**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 Fund pays a monthly management fee that is based on an annual rate of .45% 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 of Trustees. 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.** 

The investment adviser contractually agreed to waive the Fund's management fee in an amount equal to .45% of average net assets until January 31, 2027. For the period, management fees were reduced by $6,417.

**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 public health emergencies, military conflicts, terrorism, government restrictions, political changes, 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.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity CLO ETF**

At its November 2025 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requested and considered a broad range of information.

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

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

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

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

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

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

**Competitiveness of Management Fee and Total Expense Ratio.** In reviewing the Advisory Contracts, the Board considered the fund's proposed all-inclusive management fee rate out of which FMR will pay all operating expenses of the fund, with certain limited exceptions, and the fund's projected total expense ratio. The Board noted that the fund's proposed management fee rate is below the median fee rate of funds with similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper), regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of the fund is below the median of those funds and classes used by the Board for management fee comparisons.

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

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

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

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be approved through May 31, 2027.

![](img126706_4.jpg)<br>

1.9921388.100 CLO-SANN-0426

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

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

Item 16.

<u>Controls and Procedures</u>

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

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

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(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.](ex99cert.htm)

(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.](ex99.906cert.htm)

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stacie M. Smith</u> |
|  | &nbsp;&nbsp; Stacie M. Smith |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

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.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stacie M. Smith</u> |
|  | &nbsp;&nbsp; Stacie M. Smith |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<u>Exhibit EX-99.CERT</u>

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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 22, 2026

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stacie M. Smith</u> |
| &nbsp;&nbsp;Stacie M. Smith |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

I, Stephanie Caron, 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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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 22, 2026

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**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:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;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 22, 2026

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stacie M. Smith</u> |
| &nbsp;&nbsp;Stacie M. Smith |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

Dated: April 22, 2026

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal 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.

<br>