# UBS (Lux) Strategy SICAV – Fixed Income (EUR)
| Three-year comparison |  |
| --- | --- |
|  | ISIN | 31.5.2020 |  | 31.5.2019 | 31.5.2018 |
| Net assets in EUR |  | 51 504 345.32 |  | 60 292 836.90 | 64 789 906.75 |
| Class P-acc | LU0042744747 |  |  |  |  |
| Shares outstanding |  | 210 065.5140 |  | 246 933.4080 | 264 379.0170 |
| Net asset value per share in EUR |  | 219.79 |  | 221.34 | 218.74 |
| Issue and redemption price per share in EUR 1 |  | 219.79 |  | 221.34 | 218.59 |
| Class Q-acc | LU0943062561 |  |  |  |  |
| Shares outstanding |  | 50 100.4780 |  | 52 804.2170 | 66 256.1030 |
| Net asset value per share in EUR |  | 106.46 |  | 106.75 | 105.04 |
| Issue and redemption price per share in EUR 1 |  | 106.46 |  | 106.75 | 104.97 |
| 1  See note 1 |  |  |  |  |  |
| Performance |  |  |  |  |  |
|  |  | Currency | 2019/2020 | 2018/2019 | 2017/2018 |
| Class P-acc |  | EUR | -0.7% | 1.3% | -1.8% |
| Class Q-acc |  | EUR | -0.3% | 1.7% | -1.4% |

Historical performance is no indicator of current or future performance.
The performance data does not take account of any commissions and costs charged when subscribing and redeeming shares. The performance data were not audited.
The subfund has no benchmark.

## Report of the Portfolio Manager
The financial year from 1 June 2019 to 31 May 2020 was initially driven by the ample supply of central bank liquidity and the market’s expectation of continuously low rates. In this environment both traditional risk-off and risk-on assets posted positive returns.
Over the financial year, the subfund generated a slightly negative return despite the strong recovery from April 2020.
Since year-end we have seen the development of the coronavirus Covid-19 outbreak initially in China and now reaching most continents. At present it is not possible to assess the detailed impact of the emerging risk on the companies in our portfolio but there is growing concern about the impact on the world economy. There has been a significant correction in the financial markets in the last few weeks. The Board and the Manager continue to watch the efforts of governments to contain the spread of the virus and monitor the economic impact, if any, on the companies in our portfolio.

## Structure of the Securities Portfolio
Geographical Breakdown as a % of net assets	
Luxembourg	51.89
| France | 12.36 |
| --- | --- |
| Germany | 10.46 |
| United States | 7.39 |
| The Netherlands | 3.10 |
| Spain | 2.09 |
| Norway | 2.05 |
| United Kingdom | 1.18 |
| Belgium | 1.11 |
| Sweden | 0.97 |
| Venezuela | 0.95 |
| Australia | 0.93 |
| Finland | 0.60 |
| Supranationals | 0.59 |
| Japan | 0.59 |
| South Korea | 0.58 |
| Canada | 0.55 |
| Switzerland | 0.39 |
| China | 0.29 |
| Total | 98.07 |

Economic Breakdown as a % of net assets	
| Investment funds | 50.58 |
| --- | --- |
| Countries & central governments | 26.17 |
| Banks & credit institutions | 13.40 |
| Supranational organisations | 2.34 |
| Finance & holding companies | 1.71 |
| Cantons, federal states | 1.16 |
| Public, non-profit institutions | 1.07 |
| Pharmaceuticals, cosmetics & medical products | 0.60 |
| Insurance | 0.59 |
| Traffic & transportation | 0.45 |
| Total | 98.07 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR) Annual report and audited financial statements as of 31 May 2020

## Statement of Net Assets
Assets	31.5.2020
EUR
Investments in securities, cost	48 499 290.96
| Investments in securities, unrealized appreciation (depreciation) | 	2 008 739.16	 |
| --- | --- |
| Total investments in securities (Note 1) | 50 508 030.12 |
| Cash at banks, deposits on demand and deposit accounts | 413 101.49 |
| Other liquid assets (Margins) | 32 850.41 |
| Interest receivable on securities | 127 416.04 |
| Other receivables | 33 788.03 |
| Unrealized gain (loss) on financial futures (Note 1) | 1 151.84 |
| Unrealized gain (loss) on forward foreign exchange contracts (Note 1) | 508 694.48 |
| Unrealized gain (loss) on swaps (Note 1) | 15 794.67 |
| Total Assets | 51 640 827.08 |
|  |  |
| Liabilities |  |
| Bank overdraft | -18.45 |
| Payable on securities purchases (Note 1) | -222.37 |
| Payable on redemptions | -102 329.02 |
| Provisions for flat fee (Note 2) | -20 402.18 |
| Provisions for taxe d’abonnement (Note 3) | -2 062.96 |
| Provisions for other commissions and fees (Note 2) | 	-11 446.78	 |
| Total provisions | -33 911.92 |
| Total Liabilities | -136 481.76 |
|  |  |
| Net assets at the end of the financial year | 51 504 345.32 |
| Statement of Operations | EUR |
| Income | 1.6.2019-31.5.2020 |
| Interest on liquid assets | 2 899.96 |
| Interest on securities | 476 484.34 |
| Interest received on swaps (Note 1) | 11 866.07 |
| Dividends | 62 108.84 |
| Income on securities lending (Note 15) | 15 317.85 |
| Other income (Note 4) | 8 273.98 |
| Total income | 576 951.04 |
|  |  |
| Expenses |  |
| Interest paid on swaps (Note 1) | -1 054.28 |
| Cost on securities lending (Note 15) | -6 127.14 |
| Flat fee (Note 2) | -575 005.85 |
| Taxe d’abonnement (Note 3) | -14 372.10 |
| Other commissions and fees (Note 2) | -11 446.78 |
| Interest on cash and bank overdraft | -2 624.20 |
| Total expenses | -610 630.35 |
|  |  |
| Net income (loss) on investments | -33 679.31 |
|  |  |
| Realized gain (loss) (Note 1) |  |
| Realized gain (loss) on market-priced securities without options | 489 515.74 |
| Realized gain (loss) on yield-evaluated securities and money market instruments | -18 494.72 |
| Realized gain (loss) on financial futures | -5 211.47 |
| Realized gain (loss) on forward foreign exchange contracts | -1 521 124.02 |
| Realized gain (loss) on swaps | 48 489.16 |
| Realized gain (loss) on foreign exchange | -319 660.87 |
| Total realized gain (loss) | -1 326 486.18 |
|  |  |
| Net realized gain (loss) of the financial year | -1 360 165.49 |
|  |  |
| Changes in unrealized appreciation (depreciation) (Note 1) |  |
| Unrealized appreciation (depreciation) on market-priced securities without options | 207 591.97 |
| Unrealized appreciation (depreciation) on yield-evaluated securities and money market instruments | 883.89 |
| Unrealized appreciation (depreciation) on financial futures | 4 833.04 |
| Unrealized appreciation (depreciation) on forward foreign exchange contracts | 853 196.07 |
| Unrealized appreciation (depreciation) on swaps | -13 233.94 |
| Total changes in unrealized appreciation (depreciation) | 1 053 271.03 |
|  |  |
| Net increase (decrease) in net assets as a result of operations | -306 894.46 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR)
Annual report and audited financial statements as of 31 May 2020
| Statement of Changes in Net Assets |  |
| --- | --- |
|  | EUR |
|  | 1.6.2019-31.5.2020 |
| Net assets at the beginning of the financial year | 60 292 836.90 |
| Subscriptions | 482 970.95 |
| Redemptions | 	-8 964 568.07	 |
| Total net subscriptions (redemptions) | -8 481 597.12 |
| Net income (loss) on investments | -33 679.31 |
| Total realized gain (loss) | -1 326 486.18 |
| Total changes in unrealized appreciation (depreciation) | 	1 053 271.03	 |
| Net increase (decrease) in net assets as a result of operations | -306 894.46 |
| Net assets at the end of the financial year | 51 504 345.32 |
| Changes in the Number of Shares outstanding |  |
|  | 1.6.2019-31.5.2020 |
| Class | P-acc |
| Number of shares outstanding at the beginning of the financial year | 246 933.4080 |
| Number of shares issued | 1 977.4470 |
| Number of shares redeemed | -38 845.3410 |
| Number of shares outstanding at the end of the financial year | 210 065.5140 |
| Class | Q-acc |
| Number of shares outstanding at the beginning of the financial year | 52 804.2170 |
| Number of shares issued | 400.0000 |
| Number of shares redeemed | -3 103.7390 |
| Number of shares outstanding at the end of the financial year | 50 100.4780 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR) Annual report and audited financial statements as of 31 May 2020

## Statement of Investments in Securities and other Net Assets as of 31 May 2020
| Description | Quantity/ | Valuation in EUR | as a % |
| --- | --- | --- | --- |
|  | Nominal | Unrealized gain | of net |
|  |  | (loss) on Futures/ | assets |
|  |  | Forward |  |
|  |  | Exchange Contracts/ |  |
|  |  | Swaps (Note 1) |  |
| Transferable securities and money market instruments listed on an official stock exchange |  |  |  |
| Notes, fixed rate |  |  |  |
| EUR |  |  |  |
| EUR	CHINA, PEOPLE'S REPUBLIC OF-REG-S 0.12500% 19-12.11.26 | 150 000.00 | 147 000.00 | 0.29 |
| EUR	NESTLE FINANCE INTERNATIONAL LTD-REG-S 0.37500% 20-12.05.32 | 104 000.00 | 102 058.95 | 0.20 |
| EUR	SWISSCOM FINANCE BV-REG-S 0.37500% 20-14.11.28 | 100 000.00 | 99 550.00 | 0.19 |
| Total EUR |  | 348 608.95 | 0.68 |
| Total Notes, fixed rate |  | 348 608.95 | 0.68 |
| Medium term notes, fixed rate |  |  |  |
| EUR |  |  |  |
| EUR	BNG BANK NV-REG-S 1.12500% 14-04.09.24 | 300 000.00 | 316 959.60 | 0.62 |
| EUR	COMMONWEALTH BANK OF AUSTRALIA 3.00000% 12-03.05.22 | 450 000.00 | 477 396.90 | 0.93 |
| EUR	COMPAGNIE DE FINANCEMENT FONCIER-REG-S 0.20000% 17-16.09.22 | 400 000.00 | 403 740.00 | 0.78 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.50000% 17-25.01.22 | 200 000.00 | 199 681.60 | 0.39 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.62500% 19-20.11.26 | 300 000.00 | 287 261.40 | 0.56 |
| EUR	DEUTSCHE POST AG-REG-S 0.37500% 20-20.05.26 | 233 000.00 | 232 396.53 | 0.45 |
| EUR	DEXIA CREDIT LOCAL SA-REG-S 0.25000% 17-02.06.22 | 200 000.00 | 201 536.26 | 0.39 |
| EUR	DNB BANK ASA-REG-S 0.05000% 19-14.11.23 | 325 000.00 | 321 659.65 | 0.62 |
| EUR	DNB BOLIGKREDIT A-REG-S 1.87500% 12-21.11.22 | 700 000.00 | 736 585.50 | 1.43 |
| EUR	EUROPEAN INVESTMENT BANK-REG-S 0.25000% 17-14.10.24 | 200 000.00 | 206 518.00 | 0.40 |
| EUR	EXPORT-IMPORT BANK OF KOREA-REG-S 0.37500% 19-26.03.24 | 300 000.00 | 299 437.50 | 0.58 |
| EUR	INSTITUTO DE CREDITO OFICIAL-REG-S 0.50000% 16-26.10.23 | 244 000.00 | 248 557.87 | 0.48 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 4.62500% 07-04.01.23 | 650 000.00 | 736 378.50 | 1.43 |
| EUR	LANDESBANK HESSEN-THUERINGEN GZ-REG-S 0.37500% 20-12.05.25 | 400 000.00 | 398 977.60 | 0.77 |
| EUR	LLOYDS BANK PLC-REG-S 0.25000% 19-25.03.24 | 120 000.00 | 121 775.76 | 0.24 |
| EUR	METROPOLITAN LIFE GLOBAL FUNDING-REG-S 1.25000% 14-17.09.21 | 300 000.00 | 303 942.00 | 0.59 |
| EUR	NATIONWIDE BUILDING SOCIETY 4.37500% 07-28.02.22 | 450 000.00 | 485 465.40 | 0.94 |
| EUR	NESTLE HOLDINGS INC-REG-S 0.87500% 17-18.07.25 | 300 000.00 | 312 150.00 | 0.61 |
| EUR	NORDEA MORTGAGE BANK PLC-REG-S 4.00000% 11-10.02.21 | 300 000.00 | 308 865.00 | 0.60 |
| EUR	SKANDINAVISKA ENSKILDA BANKEN AB-REG-S 0.25000% 20-19.05.23 | 292 000.00 | 292 065.99 | 0.57 |
| EUR	SUMITOMO MITSUI BANKING CORP-REG-S 0.26700% 19-18.06.26 | 300 000.00 | 303 621.00 | 0.59 |
| Total EUR |  | 7 194 972.06 | 13.97 |
| Total Medium term notes, fixed rate |  | 7 194 972.06 | 13.97 |
| Medium term notes, zero coupon |  |  |  |
| EUR |  |  |  |
| EUR	EUROPEAN STABILITY MECHANISM-REG-S 0.00000% 16-18.10.22 | 200 000.00 | 202 002.00 | 0.39 |
| EUR	NESTLE FINANCE INTERNATIONAL-REG-S 0.00000% 20-12.11.24 | 163 000.00 | 162 440.91 | 0.32 |
| Total EUR |  | 364 442.91 | 0.71 |
| Total Medium term notes, zero coupon |  | 364 442.91 | 0.71 |
| Bonds, fixed rate |  |  |  |
| EUR |  |  |  |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.20000% 16-22.10.23 | 150 000.00 | 153 582.00 | 0.30 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.50000% 17-22.10.24 | 400 000.00 | 416 440.00 | 0.81 |
| EUR	BNP PARIBAS HOME LOAN COVERED BONDS SFH 3.87500% 11-12.07.21 | 300 000.00 | 313 489.20 | 0.61 |
| EUR	CAISSE D'AMOR DE LA DETTE SOCIALE-REG-S 2.37500% 13-25.01.24 | 500 000.00 | 549 531.20 | 1.07 |
| EUR	EUROPEAN FINANCIAL STABILITY FAC-REG-S 0.12500% 17-17.10.23 | 100 000.00 | 101 932.80 | 0.20 |
| EUR	EUROPEAN FINANCIAL STABILITY FAC-REG-S 0.05000% 19-17.10.29 | 100 000.00 | 102 833.55 | 0.20 |
| EUR	EUROPEAN INVESTMENT BANK 0.05000% 20-16.01.30 | 100 000.00 | 103 257.60 | 0.20 |
| EUR	FRANCE, REPUBLIC OF OAT 2.25000% 12-25.10.22 | 400 000.00 | 427 004.00 | 0.83 |
| EUR	FRANCE, REPUBLIC OF-OAT 3.50000% 10-25.04.26 | 300 000.00 | 368 911.80 | 0.72 |
| EUR	FRANCE, REPUBLIC OF-OAT 2.75000% 12-25.10.27 | 300 000.00 | 367 327.80 | 0.71 |
| EUR	FRANCE, REPUBLIC OF-OAT 1.75000% 14-25.11.24 | 650 000.00 | 715 630.50 | 1.39 |
| EUR	FRANCE, REPUBLIC OF-OAT 0.50000% 15-25.05.25 | 1 000 000.00 | 1 047 224.00 | 2.03 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.50000% 16-25.05.26 | 300 000.00 | 315 408.00 | 0.61 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.75000% 17-25.05.28 | 300 000.00 | 322 674.00 | 0.63 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.50000% 19-25.05.29 | 300 000.00 | 316 812.60 | 0.62 |
| EUR	GERMANY, REPUBLIC OF 1.50000% 13-15.05.23 | 300 000.00 | 319 318.20 | 0.62 |
| EUR	GERMANY, REPUBLIC OF 1.00000% 14-15.08.24 | 400 000.00 | 428 272.80 | 0.83 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.50000% 16-15.02.26 | 300 000.00 | 319 785.00 | 0.62 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.25000% 17-15.02.27 | 250 000.00 | 264 567.50 | 0.51 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.25000% 19-15.02.29 | 300 000.00 | 320 354.40 | 0.62 |
| EUR	GERMANY, REPUBLIC OF 4.75000% 98-04.07.28 | 400 000.00 | 573 247.20 | 1.11 |
| EUR	GERMANY, REPUBLIC OF 5.50000% 00-04.01.31 | 350 000.00 | 574 104.30 | 1.11 |
| EUR	JOHNSON & JOHNSON 0.65000% 16-20.05.24 | 300 000.00 | 308 124.60 | 0.60 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 0.37500% 16-09.03.26 | 150 000.00 | 156 599.22 | 0.30 |
| EUR	NETHERLANDS, KINGDOM OF THE 3.75000% 06-15.01.23 | 650 000.00 | 724 929.40 | 1.41 |
| EUR	NETHERLANDS, KINGDOM OF THE 2.00000% 14-15.07.24 | 150 000.00 | 166 103.28 | 0.32 |
| EUR	NORDRHEIN-WESTFALEN, STATE OF 4.37500% 07-29.04.22 | 550 000.00 | 598 895.00 | 1.16 |
| EUR	RABOBANK NEDERLAND NV-REG-S 0.25000% 19-30.10.26 | 300 000.00 | 291 858.00 | 0.57 |
| EUR	SPAIN, KINGDOM OF 0.05000% 17-31.01.21 | 500 000.00 | 501 530.00 | 0.97 |
| EUR	SPAIN, KINGDOM OF-144A-REG-S 1.45000% 19-30.04.29 | 300 000.00 | 327 155.40 | 0.64 |
| EUR	STADSHYPOTEK AB-REG-S 0.50000% 18-11.07.25 | 200 000.00 | 206 623.16 | 0.40 |
| Total EUR |  | 11 703 526.51 | 22.72 |
| Total Bonds, fixed rate |  | 11 703 526.51 | 22.72 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR)
Annual report and audited financial statements as of 31 May 2020
| Description | Quantity/ | Valuation in EUR | as a % |
| --- | --- | --- | --- |
|  | Nominal | Unrealized gain | of net |
|  |  | (loss) on Futures/ | assets |
|  |  | Forward |  |
|  |  | Exchange Contracts/ |  |
|  |  | Swaps (Note 1) |  |
| Bonds, zero coupon |  |  |  |
| EUR |  |  |  |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 16-25.05.22 | 50 000.00 | 50 528.70 | 0.10 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 17-25.03.23 | 750 000.00 | 761 382.00 | 1.48 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 19-25.03.25 | 200 000.00 | 204 259.20 | 0.40 |
| EUR	GERMANY, REPUBLIC OF 0.00000% 19-18.10.24 | 150 000.00 | 154 301.70 | 0.30 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.00000% 16-15.08.26 | 300 000.00 | 311 741.40 | 0.60 |
| EUR	TORONTO DOMINION BANK-REG-S 0.00000% 19-09.02.24 | 280 000.00 | 280 911.12 | 0.54 |
| Total EUR |  | 1 763 124.12 | 3.42 |
| Total Bonds, zero coupon |  | 1 763 124.12 | 3.42 |
| Bonds, floating rate |  |  |  |
| EUR |  |  |  |
| EUR	UBS GROUP AG-REG-S 1.250%/VAR 18-17.04.25 | 200 000.00 | 202 924.00 | 0.39 |
| Total EUR |  | 202 924.00 | 0.39 |
| Total Bonds, floating rate |  | 202 924.00 | 0.39 |
| Treasury notes, fixed rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 5.37500% 01-15.02.31 | 20 000.00 | 26 811.20 | 0.05 |
| USD	AMERICA, UNITED STATES OF 4.37500% 08-15.02.38 | 50 000.00 | 69 937.45 | 0.14 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.08.27 | 100 000.00 | 101 077.53 | 0.20 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.11.27 | 75 000.00 | 76 013.58 | 0.15 |
| USD	AMERICA, UNITED STATES OF 2.75000% 14-15.02.24 | 170 000.00 | 167 014.10 | 0.32 |
| USD	AMERICA, UNITED STATES OF 2.62500% 10-15.11.20 | 50 000.00 | 45 446.78 | 0.09 |
| USD	AMERICA, UNITED STATES OF 1.12500% 16-31.07.21 | 315 000.00 | 286 237.31 | 0.56 |
| USD	AMERICA, UNITED STATES OF 1.75000% 12-15.05.22 | 175 000.00 | 162 167.22 | 0.31 |
| USD	AMERICA, UNITED STATES OF 1.37500% 16-30.09.23 | 175 000.00 | 163 414.76 | 0.32 |
| USD	AMERICA, UNITED STATES OF 1.75000% 13-15.05.23 | 160 000.00 | 150 424.77 | 0.29 |
| USD	AMERICA, UNITED STATES OF 2.12500% 15-15.05.25 | 100 000.00 | 97 853.78 | 0.19 |
| Total USD |  | 1 346 398.48 | 2.62 |
| Total Treasury notes, fixed rate |  | 1 346 398.48 | 2.62 |
| Treasury notes, floating rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 3.875%/CPI LINKED 99-15.04.29 | 80 000.00 | 156 359.73 | 0.30 |
| USD	AMERICA, UNITED STATES OF 2.375%/CPI LINKED 04-15.01.25 | 110 000.00 | 153 277.16 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.625%/CPI LINKED 16-15.01.26 | 150 000.00 | 155 634.26 | 0.30 |
| USD	AMERICA, UNITED STATES OF 1.125%/CPI LINKED 11-15.01.21 | 125 000.00 | 132 563.85 | 0.26 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 17-15.01.27 | 155 000.00 | 157 521.64 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI INDEX 13-15.07.23 | 220 000.00 | 225 138.10 | 0.44 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 15-15.07.25 | 150 000.00 | 153 766.65 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.750%/CPI LINKED 18-15.07.28 | 150 000.00 | 153 334.40 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 20-15.01.30 | 125 000.00 | 119 426.94 | 0.23 |
| Total USD |  | 1 407 022.73 | 2.73 |
| Total Treasury notes, floating rate |  | 1 407 022.73 | 2.73 |
| Total Transferable securities and money market instruments listed on an official stock exchange |  | 24 331 019.76 | 47.24 |
| Transferable securities and money market instruments traded on another regulated market |  |  |  |
| Treasury notes, floating rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 12-15.07.22 | 125 000.00 | 127 453.45 | 0.25 |
| Total USD |  | 127 453.45 | 0.25 |
| Total Treasury notes, floating rate | 127 453.45 | 0.25 |
| Total Transferable securities and money market instruments traded on another regulated market | 127 453.45 | 0.25 |
| UCITS/Other UCIs in accordance with Article 41 (1) e) of the amended Luxembourg law of 17 December 2010 |  |  |
| Investment funds, open end |  |  |
| Luxembourg |  |  |
| EUR | UBS (LUX) BOND FUND - EURO HIGH YIELD (EUR) I-X-ACC | 8 039.00 | 1 004 875.00 | 1.95 |
| EUR | UBS (LUX) BOND SICAV - EUR CORPORATES (EUR) U-X-ACC | 647.00 | 7 788 586.00 | 15.12 |
| USD | UBS (LUX) BOND SICAV - SHORT TERM USD CORPORATES (USD) U-X-A | 67.00 | 665 659.02 | 1.29 |
| USD | UBS (LUX) BOND SICAV - USD CORPORATES U-X-ACC | 38.00 | 421 007.61 | 0.82 |
| USD | UBS (LUX) BOND SICAV - USD HIGH YIELD U-X-ACC | 120.00 | 2 061 837.01 | 4.00 |
| USD | UBS (LUX) BOND SICAV - EMERGING ECONOMIES CORP (USD)-I-X-DIS | 17 582.00 | 1 666 129.02 | 3.24 |
| USD | UBS (LUX) BOND SICAV - USD INVEST GRADE CORP USD U X ACC | 894.45 | 9 424 175.35 | 18.30 |
| USD | UBS (LUX) EMERGING ECONOMIES FUND-GLOBAL BONDS (USD)-U-X ACC | 260.00 | 3 017 287.90 | 5.86 |
| Total Luxembourg | 26 049 556.91 | 50.58 |
| Total Investment funds, open end | 26 049 556.91 | 50.58 |
| Total UCITS/Other UCIs in accordance with Article 41 (1) e) of the amended Luxembourg law of 17 December 2010 | 26 049 556.91 | 50.58 |
| Total investments in securities | 50 508 030.12 | 98.07 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR) Annual report and audited financial statements as of 31 May 2020
| Description	Quantity/ | Valuation in EUR | as a % |
| --- | --- | --- |
| Nominal | Unrealized gain | of net |
|  | (loss) on Futures/ | assets |
|  | Forward |  |
|  | Exchange Contracts/ |  |
|  | Swaps (Note 1) |  |
| Derivative instruments |  |  |  |
| Derivative instruments listed on an official stock exchange |  |  |  |
| Financial Futures on bonds |  |  |  |
|  |  |  |  |
| USD	US 5YR TREASURY NOTE FUTURE 30.09.20 | 4.00 | 1 151.84 | 0.00 |
| Total Financial Futures on bonds | 1 151.84 | 0.00 |
| Total Derivative instruments listed on an official stock exchange | 1 151.84 | 0.00 |
| Derivative instruments not listed on an official stock exchange and not traded on another regulated market |  |  |
| Credit default swaps* |  |  |
|  |  |  |
| USD	ICE/CDX.NA.IG.34 CDI REC 1.00000% 20-20.06.25	1 350 000.00 | 15 794.67 | 0.03 |
| Total Credit default swaps | 15 794.67 | 0.03 |
| Total Derivative instruments not listed on an official stock exchange and not traded on another regulated market | 15 794.67 | 0.03 |
| Total Derivative instruments | 16 946.51 | 0.03 |
| Forward Foreign Exchange contracts |  |  |
| Forward Foreign Exchange contracts (Purchase/Sale) |  |  |

| EUR | 68 930.47 | USD | 75 000.00 | 24.6.2020 | 1 537.30 | 0.00 |
| --- | --- | --- | --- | --- | --- | --- |
| GBP | 443 785.81 | EUR | 504 195.49 | 24.6.2020 | -11 141.18 | -0.02 |
| EUR | 10 602 463.30 | USD | 11 533 889.70 | 24.6.2020 | 238 392.20 | 0.46 |
| USD | 92 000.00 | EUR | 84 896.07 | 24.6.2020 | -2 227.12 | 0.00 |
| USD | 91 000.00 | EUR | 83 921.78 | 22.7.2020 | -2 200.39 | 0.00 |
| GBP | 442 865.78 | EUR | 504 670.22 | 22.7.2020 | -12 876.63 | -0.03 |
| EUR | 10 664 437.72 | USD | 11 554 864.95 | 22.7.2020 | 287 738.12 | 0.56 |
| EUR | 232 280.37 | USD | 253 500.00 | 22.7.2020 | 4 627.92 | 0.01 |
| EUR | 232 420.76 | USD | 253 500.00 | 24.6.2020 | 4 631.86 | 0.01 |
| USD | 95 000.00 | EUR | 85 258.91 | 24.6.2020 | 105.77 | 0.00 |
| USD | 95 000.00 | EUR | 85 206.91 | 22.7.2020 | 106.63 | 0.00 |
| Total Forward Foreign Exchange contracts (Purchase/Sale) | 508 694.48 | 0.99 |
|  |  |  |
| Cash at banks, deposits on demand and deposit accounts and other liquid assets | 445 951.90 | 0.87 |
| Bank overdraft and other short-term liabilities | -18.45 | 0.00 |
| Other assets and liabilities | 24 740.76 | 0.04 |
| Total net assets | 51 504 345.32 | 100.00 |
| * Positive nominal: the subfund is “Receiver”, negative nominal: the subfund is “Payer”. |  |  |

UBS (Lux) Strategy SICAV – Fixed Income (EUR)
Annual report and audited financial statements as of 31 May 2020

Translation (ENDE, 2020-05-31):
# UBS (Lux) Strategy SICAV – Fixed Income (EUR)
| Dreijahresvergleich |  |
| --- | --- |
|  | ISIN | 31.5.2020 |  | 31.5.2019 | 31.5.2018 |
| Nettovermögen in EUR |  | 51 504 345.32 |  | 60 292 836.90 | 64 789 906.75 |
| Klasse P-acc | LU0042744747 |  |  |  |  |
| Aktien im Umlauf |  | 210 065.5140 |  | 246 933.4080 | 264 379.0170 |
| Nettoinventarwert pro Aktie in EUR |  | 219.79 |  | 221.34 | 218.74 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 219.79 |  | 221.34 | 218.59 |
| Klasse Q-acc | LU0943062561 |  |  |  |  |
| Aktien im Umlauf |  | 50 100.4780 |  | 52 804.2170 | 66 256.1030 |
| Nettoinventarwert pro Aktie in EUR |  | 106.46 |  | 106.75 | 105.04 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 106.46 |  | 106.75 | 104.97 |
| 1  Siehe Erläuterung 1 |  |  |  |  |  |
| Performance |  |  |  |  |  |
|  |  | Währung | 2019/2020 | 2018/2019 | 2017/2018 |
| Klasse P-acc |  | EUR | -0.7% | 1.3% | -1.8% |
| Klasse Q-acc |  | EUR | -0.3% | 1.7% | -1.4% |

Die historische Performance stellt keinen Indikator für die laufende oder zukünftige Performance dar.
Die Performancedaten lassen die bei der Ausgabe und Rücknahme der Aktien erhobenen Kommissionen und Kosten unberücksichtigt. Die Performancedaten sind ungeprüft.
Der Subfonds verfügt über keine Benchmark.

## Bericht des Portfolio Managers
Das Rechnungsjahr vom 1. Juni 2019 bis zum 31. Mai 2020 war zunächst vom reichlichen Angebot an Zent- ralbankliquidität und der Markterwartung anhaltend niedriger Zinssätze geprägt. Vor diesem Hintergrund erzielten sowohl traditionelle defensive als auch risikorei- chere Anlagen positive relative Erträge.
Der Subfonds verzeichnete im Rechnungsjahr einen leicht negativen Ertrag, auch wenn er sich ab April 2020 kräftig erholte.
Die bedeutendste Entwicklung seit dem Jahresende war der Ausbruch von Covid-19, die zunächst in China auf- trat, aber mittlerweile die meisten Kontinente erfasst hat. Derzeit ist es nicht möglich, abzuschätzen, wie dieses neu entstehende Risiko die Unternehmen in unserem Portfo- lio genau beeinflussen wird. Doch die Besorgnis über die Auswirkungen auf die Weltwirtschaft nimmt zu. An den Finanzmärkten ist es in den letzten Wochen zu bedeuten- den Korrekturen gekommen. Der Verwaltungsrat und die Manager behalten die Bemühungen der Regierungen zur Eindämmung der Virusausbreitung aufmerksam im Auge und beobachten die möglichen wirtschaftlichen Auswir- kungen auf die Unternehmen in unserem Portfolio.

## Struktur des Wertpapierbestandes
Geographische Aufteilung in % des Nettovermögens	
Luxemburg	51.89
Frankreich	12.36
Deutschland	10.46
Vereinigte Staaten	7.39
Niederlande	3.10
Spanien	2.09
Norwegen	2.05
Grossbritannien	1.18
Belgien	1.11
Schweden	0.97
Venezuela	0.95
Australien	0.93
Finnland	0.60
Supranational	0.59
Japan	0.59
Südkorea	0.58
Kanada	0.55
Schweiz	0.39
Total	98.07
China	0.29
Wirtschaftliche Aufteilung in % des Nettovermögens	
| Anlagefonds | 50.58 |
| --- | --- |
| Länder- & Zentralregierungen | 26.17 |
| Banken & Kreditinstitute | 13.40 |
| Supranationale Organisationen | 2.34 |
| Finanz- & Beteiligungsgesellschaften | 1.71 |
| Kantone, Bundesstaaten | 1.16 |
| Öffentlich-rechtliche Körperschaften | 1.07 |
| Pharmazeutik, Kosmetik & medizinische Produkte | 0.60 |
| Versicherungen | 0.59 |
| Verkehr & Transport | 0.45 |
| Total | 98.07 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR)
Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020

## Nettovermögensaufstellung
Aktiva	31.5.2020
EUR
Wertpapierbestand, Einstandswert	48 499 290.96
| Wertpapierbestand, nicht realisierte Werterhöhung (-minderung) | 	2 008 739.16	 |
| --- | --- |
| Total Wertpapierbestand (Erläuterung 1) | 50 508 030.12 |
| Bankguthaben, Sicht- und Fristgelder | 413 101.49 |
| Andere liquide Mittel (Margins) | 32 850.41 |
| Zinsforderungen aus Wertpapieren | 127 416.04 |
| Sonstige Forderungen | 33 788.03 |
| Nicht realisierter Kursgewinn (-verlust) aus Finanzterminkontrakten (Erläuterung 1) | 1 151.84 |
| Nicht realisierter Kursgewinn (-verlust) aus Devisenterminkontrakten (Erläuterung 1) | 508 694.48 |
| Nicht realisierter Kursgewinn (-verlust) aus Swaps (Erläuterung 1) | 15 794.67 |
| Total Aktiva | 51 640 827.08 |
|  |  |
| Passiva |  |
| Kontokorrentkredit | -18.45 |
| Verbindlichkeiten aus Wertpapierkäufen (Erläuterung 1) | -222.37 |
| Verbindlichkeiten aus Rücknahmen | -102 329.02 |
| Rückstellungen für pauschale Verwaltungskommission (Erläuterung 2) | -20 402.18 |
| Rückstellungen für Abonnementsabgabe (Erläuterung 3) | -2 062.96 |
| Rückstellungen für sonstige Kommissionen und Gebühren (Erläuterung 2) | 	-11 446.78	 |
| Total Rückstellungen für Aufwendungen | -33 911.92 |
| Total Passiva | -136 481.76 |
|  |  |
| Nettovermögen am Ende des Geschäftsjahres | 51 504 345.32 |
| Ertrags- und Aufwandsrechnung | EUR |
| Erträge | 1.6.2019-31.5.2020 |
| Zinsertrag auf liquide Mittel | 2 899.96 |
| Zinsen auf Wertpapiere | 476 484.34 |
| Zinsertrag auf Swaps (Erläuterung 1) | 11 866.07 |
| Dividenden | 62 108.84 |
| Erträge aus Securities Lending (Erläuterung 15) | 15 317.85 |
| Sonstige Erträge (Erläuterung 4) | 8 273.98 |
| Total Erträge | 576 951.04 |
|  |  |
| Aufwendungen |  |
| Zinsaufwand auf Swaps (Erläuterung 1) | -1 054.28 |
| Kosten aus Securities Lending (Erläuterung 15) | -6 127.14 |
| Pauschale Verwaltungskommission (Erläuterung 2) | -575 005.85 |
| Abonnementsabgabe (Erläuterung 3) | -14 372.10 |
| Sonstige Kommissionen und Gebühren (Erläuterung 2) | -11 446.78 |
| Zinsaufwand auf liquide Mittel und Kontokorrentkredit | -2 624.20 |
| Total Aufwendungen | -610 630.35 |
|  |  |
| Nettoerträge (-verluste) aus Anlagen | -33 679.31 |
|  |  |
| Realisierte Gewinne (Verluste) (Erläuterung 1) |  |
| Realisierter Kursgewinn (-verlust) aus marktbewerteten Wertpapieren ausser Optionen | 489 515.74 |
| Realisierter Kursgewinn (-verlust) aus renditebewerteten Wertpapieren und Geldmarktinstrumenten | -18 494.72 |
| Realisierter Kursgewinn (-verlust) aus Finanzterminkontrakten | -5 211.47 |
| Realisierter Kursgewinn (-verlust) aus Devisenterminkontrakten | -1 521 124.02 |
| Realisierter Kursgewinn (-verlust) aus Swaps | 48 489.16 |
| Realisierter Währungsgewinn (-verlust) | -319 660.87 |
| Total der realisierten Gewinne (Verluste) | -1 326 486.18 |
|  |  |
| Realisierter Nettogewinn (-verlust) des Geschäftsjahres | -1 360 165.49 |
|  |  |
| Veränderungen der nicht realisierten Werterhöhung (-minderung) (Erläuterung 1) |  |
| Nicht realisierte Werterhöhung (-minderung) marktbewerteter Wertpapiere ausser Optionen | 207 591.97 |
| Nicht realisierte Werterhöhung (-minderung) renditebewerteter Wertpapiere und Geldmarktinstrumente | 883.89 |
| Nicht realisierte Werterhöhung (-minderung) von Finanzterminkontrakten | 4 833.04 |
| Nicht realisierte Werterhöhung (-minderung) von Devisenterminkontrakten | 853 196.07 |
| Nicht realisierte Werterhöhung (-minderung) von Swaps | -13 233.94 |
| Total der Veränderungen der nicht realisierten Werterhöhung (-minderung) | 1 053 271.03 |
|  |  |
| Nettoerhöhung (-minderung) des Nettovermögens infolge Geschäftstätigkeit | -306 894.46 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR) Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020
| Veränderungen des Nettovermögens |  |
| --- | --- |
|  | EUR |
|  | 1.6.2019-31.5.2020 |
| Nettovermögen zu Beginn des Geschäftsjahres | 60 292 836.90 |
| Zeichnungen | 482 970.95 |
| Rücknahmen | 	-8 964 568.07	 |
| Total Mittelzufluss (-abfluss) | -8 481 597.12 |
| Nettoerträge (-verluste) aus Anlagen | -33 679.31 |
| Total der realisierten Gewinne (Verluste) | -1 326 486.18 |
| Total der Veränderungen der nicht realisierten Werterhöhung (-minderung) | 	1 053 271.03	 |
| Nettoerhöhung (-minderung) des Nettovermögens infolge Geschäftstätigkeit | -306 894.46 |
| Nettovermögen am Ende des Geschäftsjahres | 51 504 345.32 |
| Entwicklung der Aktien im Umlauf |  |
|  | 1.6.2019-31.5.2020 |
| Klasse | P-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres | 246 933.4080 |
| Anzahl der ausgegebenen Aktien | 1 977.4470 |
| Anzahl der zurückgegebenen Aktien | -38 845.3410 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres | 210 065.5140 |
| Klasse | Q-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres | 52 804.2170 |
| Anzahl der ausgegebenen Aktien | 400.0000 |
| Anzahl der zurückgegebenen Aktien | -3 103.7390 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres | 50 100.4780 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR)
Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020

## Aufstellung der Wertpapierbestände und anderer Nettovermögenswerte per 31. Mai 2020
| Bezeichnung | Anzahl/ | Bewertung in EUR | in % des |
| --- | --- | --- | --- |
|  | Nominal | NR Kursgewinn | Netto- |
|  |  | (-verlust) auf Futures/ | vermögens |
|  |  | Devisentermin- |  |
|  |  | kontrakten/ |  |
|  |  | Swaps (Erl. 1) |  |
| Wertpapiere und Geldmarktinstrumente, die an einer offiziellen Börse gehandelt werden |  |  |  |
| Notes, fester Zins |  |  |  |
| EUR |  |  |  |
| EUR	CHINA, PEOPLE'S REPUBLIC OF-REG-S 0.12500% 19-12.11.26 | 150 000.00 | 147 000.00 | 0.29 |
| EUR	NESTLE FINANCE INTERNATIONAL LTD-REG-S 0.37500% 20-12.05.32 | 104 000.00 | 102 058.95 | 0.20 |
| EUR	SWISSCOM FINANCE BV-REG-S 0.37500% 20-14.11.28 | 100 000.00 | 99 550.00 | 0.19 |
| Total EUR |  | 348 608.95 | 0.68 |
| Total Notes, fester Zins |  | 348 608.95 | 0.68 |
| Medium-Term Notes, fester Zins |  |  |  |
| EUR |  |  |  |
| EUR	BNG BANK NV-REG-S 1.12500% 14-04.09.24 | 300 000.00 | 316 959.60 | 0.62 |
| EUR	COMMONWEALTH BANK OF AUSTRALIA 3.00000% 12-03.05.22 | 450 000.00 | 477 396.90 | 0.93 |
| EUR	COMPAGNIE DE FINANCEMENT FONCIER-REG-S 0.20000% 17-16.09.22 | 400 000.00 | 403 740.00 | 0.78 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.50000% 17-25.01.22 | 200 000.00 | 199 681.60 | 0.39 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.62500% 19-20.11.26 | 300 000.00 | 287 261.40 | 0.56 |
| EUR	DEUTSCHE POST AG-REG-S 0.37500% 20-20.05.26 | 233 000.00 | 232 396.53 | 0.45 |
| EUR	DEXIA CREDIT LOCAL SA-REG-S 0.25000% 17-02.06.22 | 200 000.00 | 201 536.26 | 0.39 |
| EUR	DNB BANK ASA-REG-S 0.05000% 19-14.11.23 | 325 000.00 | 321 659.65 | 0.62 |
| EUR	DNB BOLIGKREDIT A-REG-S 1.87500% 12-21.11.22 | 700 000.00 | 736 585.50 | 1.43 |
| EUR	EUROPEAN INVESTMENT BANK-REG-S 0.25000% 17-14.10.24 | 200 000.00 | 206 518.00 | 0.40 |
| EUR	EXPORT-IMPORT BANK OF KOREA-REG-S 0.37500% 19-26.03.24 | 300 000.00 | 299 437.50 | 0.58 |
| EUR	INSTITUTO DE CREDITO OFICIAL-REG-S 0.50000% 16-26.10.23 | 244 000.00 | 248 557.87 | 0.48 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 4.62500% 07-04.01.23 | 650 000.00 | 736 378.50 | 1.43 |
| EUR	LANDESBANK HESSEN-THUERINGEN GZ-REG-S 0.37500% 20-12.05.25 | 400 000.00 | 398 977.60 | 0.77 |
| EUR	LLOYDS BANK PLC-REG-S 0.25000% 19-25.03.24 | 120 000.00 | 121 775.76 | 0.24 |
| EUR	METROPOLITAN LIFE GLOBAL FUNDING-REG-S 1.25000% 14-17.09.21 | 300 000.00 | 303 942.00 | 0.59 |
| EUR	NATIONWIDE BUILDING SOCIETY 4.37500% 07-28.02.22 | 450 000.00 | 485 465.40 | 0.94 |
| EUR	NESTLE HOLDINGS INC-REG-S 0.87500% 17-18.07.25 | 300 000.00 | 312 150.00 | 0.61 |
| EUR	NORDEA MORTGAGE BANK PLC-REG-S 4.00000% 11-10.02.21 | 300 000.00 | 308 865.00 | 0.60 |
| EUR	SKANDINAVISKA ENSKILDA BANKEN AB-REG-S 0.25000% 20-19.05.23 | 292 000.00 | 292 065.99 | 0.57 |
| EUR	SUMITOMO MITSUI BANKING CORP-REG-S 0.26700% 19-18.06.26 | 300 000.00 | 303 621.00 | 0.59 |
| Total EUR |  | 7 194 972.06 | 13.97 |
| Total Medium-Term Notes, fester Zins |  | 7 194 972.06 | 13.97 |
| Medium-Term Notes, Nullcoupon |  |  |  |
| EUR |  |  |  |
| EUR	EUROPEAN STABILITY MECHANISM-REG-S 0.00000% 16-18.10.22 | 200 000.00 | 202 002.00 | 0.39 |
| EUR	NESTLE FINANCE INTERNATIONAL-REG-S 0.00000% 20-12.11.24 | 163 000.00 | 162 440.91 | 0.32 |
| Total EUR |  | 364 442.91 | 0.71 |
| Total Medium-Term Notes, Nullcoupon |  | 364 442.91 | 0.71 |
| Anleihen, fester Zins |  |  |  |
| EUR |  |  |  |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.20000% 16-22.10.23 | 150 000.00 | 153 582.00 | 0.30 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.50000% 17-22.10.24 | 400 000.00 | 416 440.00 | 0.81 |
| EUR	BNP PARIBAS HOME LOAN COVERED BONDS SFH 3.87500% 11-12.07.21 | 300 000.00 | 313 489.20 | 0.61 |
| EUR	CAISSE D'AMOR DE LA DETTE SOCIALE-REG-S 2.37500% 13-25.01.24 | 500 000.00 | 549 531.20 | 1.07 |
| EUR	EUROPEAN FINANCIAL STABILITY FAC-REG-S 0.12500% 17-17.10.23 | 100 000.00 | 101 932.80 | 0.20 |
| EUR	EUROPEAN FINANCIAL STABILITY FAC-REG-S 0.05000% 19-17.10.29 | 100 000.00 | 102 833.55 | 0.20 |
| EUR	EUROPEAN INVESTMENT BANK 0.05000% 20-16.01.30 | 100 000.00 | 103 257.60 | 0.20 |
| EUR	FRANCE, REPUBLIC OF OAT 2.25000% 12-25.10.22 | 400 000.00 | 427 004.00 | 0.83 |
| EUR	FRANCE, REPUBLIC OF-OAT 3.50000% 10-25.04.26 | 300 000.00 | 368 911.80 | 0.72 |
| EUR	FRANCE, REPUBLIC OF-OAT 2.75000% 12-25.10.27 | 300 000.00 | 367 327.80 | 0.71 |
| EUR	FRANCE, REPUBLIC OF-OAT 1.75000% 14-25.11.24 | 650 000.00 | 715 630.50 | 1.39 |
| EUR	FRANCE, REPUBLIC OF-OAT 0.50000% 15-25.05.25 | 1 000 000.00 | 1 047 224.00 | 2.03 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.50000% 16-25.05.26 | 300 000.00 | 315 408.00 | 0.61 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.75000% 17-25.05.28 | 300 000.00 | 322 674.00 | 0.63 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.50000% 19-25.05.29 | 300 000.00 | 316 812.60 | 0.62 |
| EUR	GERMANY, REPUBLIC OF 1.50000% 13-15.05.23 | 300 000.00 | 319 318.20 | 0.62 |
| EUR	GERMANY, REPUBLIC OF 1.00000% 14-15.08.24 | 400 000.00 | 428 272.80 | 0.83 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.50000% 16-15.02.26 | 300 000.00 | 319 785.00 | 0.62 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.25000% 17-15.02.27 | 250 000.00 | 264 567.50 | 0.51 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.25000% 19-15.02.29 | 300 000.00 | 320 354.40 | 0.62 |
| EUR	GERMANY, REPUBLIC OF 4.75000% 98-04.07.28 | 400 000.00 | 573 247.20 | 1.11 |
| EUR	GERMANY, REPUBLIC OF 5.50000% 00-04.01.31 | 350 000.00 | 574 104.30 | 1.11 |
| EUR	JOHNSON & JOHNSON 0.65000% 16-20.05.24 | 300 000.00 | 308 124.60 | 0.60 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 0.37500% 16-09.03.26 | 150 000.00 | 156 599.22 | 0.30 |
| EUR	NETHERLANDS, KINGDOM OF THE 3.75000% 06-15.01.23 | 650 000.00 | 724 929.40 | 1.41 |
| EUR	NETHERLANDS, KINGDOM OF THE 2.00000% 14-15.07.24 | 150 000.00 | 166 103.28 | 0.32 |
| EUR	NORDRHEIN-WESTFALEN, STATE OF 4.37500% 07-29.04.22 | 550 000.00 | 598 895.00 | 1.16 |
| EUR	RABOBANK NEDERLAND NV-REG-S 0.25000% 19-30.10.26 | 300 000.00 | 291 858.00 | 0.57 |
| EUR	SPAIN, KINGDOM OF 0.05000% 17-31.01.21 | 500 000.00 | 501 530.00 | 0.97 |
| EUR	SPAIN, KINGDOM OF-144A-REG-S 1.45000% 19-30.04.29 | 300 000.00 | 327 155.40 | 0.64 |
| EUR	STADSHYPOTEK AB-REG-S 0.50000% 18-11.07.25 | 200 000.00 | 206 623.16 | 0.40 |
| Total EUR |  | 11 703 526.51 | 22.72 |
| Total Anleihen, fester Zins |  | 11 703 526.51 | 22.72 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR) Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020
| Bezeichnung | Anzahl/ | Bewertung in EUR | in % des |
| --- | --- | --- | --- |
|  | Nominal | NR Kursgewinn | Netto- |
|  |  | (-verlust) auf Futures/ | vermögens |
|  |  | Devisentermin- |  |
|  |  | kontrakten/ |  |
|  |  | Swaps (Erl. 1) |  |

Anleihen, Nullcoupon
| EUR |  |
| --- | --- |
| EUR | FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 16-25.05.22 | 50 000.00 | 50 528.70 | 0.10 |
| EUR | FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 17-25.03.23 | 750 000.00 | 761 382.00 | 1.48 |
| EUR | FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 19-25.03.25 | 200 000.00 | 204 259.20 | 0.40 |
| EUR | GERMANY, REPUBLIC OF 0.00000% 19-18.10.24 | 150 000.00 | 154 301.70 | 0.30 |
| EUR | GERMANY, REPUBLIC OF-REG-S 0.00000% 16-15.08.26 | 300 000.00 | 311 741.40 | 0.60 |
| EUR | TORONTO DOMINION BANK-REG-S 0.00000% 19-09.02.24 | 280 000.00 | 280 911.12 | 0.54 |
| Total EUR |  |  | 1 763 124.12 | 3.42 |
| Total Anleihen, Nullcoupon |  | 1 763 124.12 | 3.42 |
| Anleihen, variabler Zins |  |  |  |
| EUR |  |  |  |
| EUR	UBS GROUP AG-REG-S 1.250%/VAR 18-17.04.25 | 200 000.00 | 202 924.00 | 0.39 |
| Total EUR |  | 202 924.00 | 0.39 |
| Total Anleihen, variabler Zins |  | 202 924.00 | 0.39 |
| Treasury-Notes, fester Zins |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 5.37500% 01-15.02.31 | 20 000.00 | 26 811.20 | 0.05 |
| USD	AMERICA, UNITED STATES OF 4.37500% 08-15.02.38 | 50 000.00 | 69 937.45 | 0.14 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.08.27 | 100 000.00 | 101 077.53 | 0.20 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.11.27 | 75 000.00 | 76 013.58 | 0.15 |
| USD	AMERICA, UNITED STATES OF 2.75000% 14-15.02.24 | 170 000.00 | 167 014.10 | 0.32 |
| USD	AMERICA, UNITED STATES OF 2.62500% 10-15.11.20 | 50 000.00 | 45 446.78 | 0.09 |
| USD	AMERICA, UNITED STATES OF 1.12500% 16-31.07.21 | 315 000.00 | 286 237.31 | 0.56 |
| USD	AMERICA, UNITED STATES OF 1.75000% 12-15.05.22 | 175 000.00 | 162 167.22 | 0.31 |
| USD	AMERICA, UNITED STATES OF 1.37500% 16-30.09.23 | 175 000.00 | 163 414.76 | 0.32 |
| USD	AMERICA, UNITED STATES OF 1.75000% 13-15.05.23 | 160 000.00 | 150 424.77 | 0.29 |
| USD	AMERICA, UNITED STATES OF 2.12500% 15-15.05.25 | 100 000.00 | 97 853.78 | 0.19 |
| Total USD |  | 1 346 398.48 | 2.62 |
| Total Treasury-Notes, fester Zins |  | 1 346 398.48 | 2.62 |
| Treasury-Notes, variabler Zins |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 3.875%/CPI LINKED 99-15.04.29 | 80 000.00 | 156 359.73 | 0.30 |
| USD	AMERICA, UNITED STATES OF 2.375%/CPI LINKED 04-15.01.25 | 110 000.00 | 153 277.16 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.625%/CPI LINKED 16-15.01.26 | 150 000.00 | 155 634.26 | 0.30 |
| USD	AMERICA, UNITED STATES OF 1.125%/CPI LINKED 11-15.01.21 | 125 000.00 | 132 563.85 | 0.26 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 17-15.01.27 | 155 000.00 | 157 521.64 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI INDEX 13-15.07.23 | 220 000.00 | 225 138.10 | 0.44 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 15-15.07.25 | 150 000.00 | 153 766.65 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.750%/CPI LINKED 18-15.07.28 | 150 000.00 | 153 334.40 | 0.30 |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 20-15.01.30 | 125 000.00 | 119 426.94 | 0.23 |
| Total USD |  | 1 407 022.73 | 2.73 |
| Total Treasury-Notes, variabler Zins | 1 407 022.73 | 2.73 |
| Total Wertpapiere und Geldmarktinstrumente, die an einer offiziellen Börse gehandelt werden | 24 331 019.76 | 47.24 |
| Wertpapiere und Geldmarktinstrumente, die an einem anderen geregelten Markt gehandelt werden |  |  |
| Treasury-Notes, variabler Zins |  |  |
| USD |  |  |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 12-15.07.22	125 000.00 | 127 453.45 | 0.25 |
| Total USD | 127 453.45 | 0.25 |
| Total Treasury-Notes, variabler Zins | 127 453.45 | 0.25 |
| Total Wertpapiere und Geldmarktinstrumente, die an einem anderen geregelten Markt gehandelt werden | 127 453.45 | 0.25 |

OGAW/Andere OGA im Sinne des Artikels 41 (1) e) des abgeänderten luxemburgischen Gesetzes vom 17. Dezember 2010
Investment Fonds, open end
Luxemburg
| EUR | UBS (LUX) BOND FUND - EURO HIGH YIELD (EUR) I-X-ACC | 8 039.00 | 1 004 875.00 | 1.95 |
| --- | --- | --- | --- | --- |
| EUR | UBS (LUX) BOND SICAV - EUR CORPORATES (EUR) U-X-ACC | 647.00 | 7 788 586.00 | 15.12 |
| USD | UBS (LUX) BOND SICAV - SHORT TERM USD CORPORATES (USD) U-X-A | 67.00 | 665 659.02 | 1.29 |
| USD | UBS (LUX) BOND SICAV - USD CORPORATES U-X-ACC | 38.00 | 421 007.61 | 0.82 |
| USD | UBS (LUX) BOND SICAV - USD HIGH YIELD U-X-ACC | 120.00 | 2 061 837.01 | 4.00 |
| USD | UBS (LUX) BOND SICAV - EMERGING ECONOMIES CORP (USD)-I-X-DIS | 17 582.00 | 1 666 129.02 | 3.24 |
| USD | UBS (LUX) BOND SICAV - USD INVEST GRADE CORP USD U X ACC | 894.45 | 9 424 175.35 | 18.30 |
| USD | UBS (LUX) EMERGING ECONOMIES FUND-GLOBAL BONDS (USD)-U-X ACC | 260.00 | 3 017 287.90 | 5.86 |
| Total Luxemburg | 26 049 556.91 | 50.58 |
| Total Investment Fonds, open end | 26 049 556.91 | 50.58 |
| Total OGAW/Andere OGA im Sinne des Artikels 41 (1) e) des abgeänderten luxemburgischen Gesetzes vom 17. Dezember 2010 | 26 049 556.91 | 50.58 |
| Total des Wertpapierbestandes | 50 508 030.12 | 98.07 |

UBS (Lux) Strategy SICAV – Fixed Income (EUR)
Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020
| Bezeichnung	Anzahl/ | Bewertung in EUR | in % des |
| --- | --- | --- |
| Nominal | NR Kursgewinn | Netto- |
|  | (-verlust) auf Futures/ | vermögens |
|  | Devisentermin- |  |
|  | kontrakten/ |  |
|  | Swaps (Erl. 1) |  |
| Derivative Instrumente |  |  |  |
| Derivative Instrumente, die an einer offiziellen Börse gehandelt werden Finanzterminkontrakte auf Anleihen |  |  |  |
|  |  |  |  |
| USD	US 5YR TREASURY NOTE FUTURE 30.09.20 | 4.00 | 1 151.84 | 0.00 |
| Total Finanzterminkontrakte auf Anleihen |  | 1 151.84 | 0.00 |
| Total Derivative Instrumente, die an einer offiziellen Börse gehandelt werden |  | 1 151.84 | 0.00 |

Derivative Instrumente, die nicht an einer offiziellen Börse oder einem anderen geregelten Markt gehandelt werden
Credit-Default-Swaps*
| USD | ICE/CDX.NA.IG.34 CDI REC 1.00000% 20-20.06.25 | 1 350 000.00 | 15 794.67 | 0.03 |
| --- | --- | --- | --- | --- |
| Total Credit-Default-Swaps | 15 794.67 | 0.03 |
| Total Derivative Instrumente, die nicht an einer offiziellen Börse oder einem anderen geregelten Markt gehandelt werden | 15 794.67 | 0.03 |
| Total Derivative Instrumente | 16 946.51 | 0.03 |
| Devisenterminkontrakte |  |  |
| Devisenterminkontrakte (Kauf/Verkauf) |  |  |

| EUR | 68 930.47 | USD | 75 000.00 | 24.6.2020 | 1 537.30 | 0.00 |
| --- | --- | --- | --- | --- | --- | --- |
| GBP | 443 785.81 | EUR | 504 195.49 | 24.6.2020 | -11 141.18 | -0.02 |
| EUR | 10 602 463.30 | USD | 11 533 889.70 | 24.6.2020 | 238 392.20 | 0.46 |
| USD | 92 000.00 | EUR | 84 896.07 | 24.6.2020 | -2 227.12 | 0.00 |
| USD | 91 000.00 | EUR | 83 921.78 | 22.7.2020 | -2 200.39 | 0.00 |
| GBP | 442 865.78 | EUR | 504 670.22 | 22.7.2020 | -12 876.63 | -0.03 |
| EUR | 10 664 437.72 | USD | 11 554 864.95 | 22.7.2020 | 287 738.12 | 0.56 |
| EUR | 232 280.37 | USD | 253 500.00 | 22.7.2020 | 4 627.92 | 0.01 |
| EUR | 232 420.76 | USD | 253 500.00 | 24.6.2020 | 4 631.86 | 0.01 |
| USD | 95 000.00 | EUR | 85 258.91 | 24.6.2020 | 105.77 | 0.00 |
| USD | 95 000.00 | EUR | 85 206.91 | 22.7.2020 | 106.63 | 0.00 |
| Total Devisenterminkontrakte (Kauf/Verkauf) | 508 694.48 | 0.99 |
|  |  |  |
| Bankguthaben, Sicht- und Fristgelder und andere liquide Mittel | 445 951.90 | 0.87 |
| Kontokorrentkredit und andere kurzfristige Verbindlichkeiten | -18.45 | 0.00 |
| Andere Aktiva und Passiva | 24 740.76 | 0.04 |
| Total des Nettovermögens | 51 504 345.32 | 100.00 |
| * Nominal positiv: der Subfonds ist «Receiver», Nominal negativ: der Subfonds ist «Payer». |  |  |

UBS (Lux) Strategy SICAV – Fixed Income (EUR) Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020