# UBS (Lux) Strategy SICAV – Income (EUR)
| Three-year comparison |  |
| --- | --- |
|  | ISIN | 31.5.2020 | 31.5.2019 | 31.5.2018 |
| Net assets in EUR |  | 100 158 358.40 | 107 331 540.01 | 133 861 371.17 |
| Class K-1-acc | LU1097600727 |  |  |  |
| Shares outstanding |  | 2.6000 | 0.8000 | 0.3000 |
| Net asset value per share in EUR |  | 3 165 207.33 | 3 182 771.19 | 3 173 554.30 |
| Issue and redemption price per share in EUR 1 |  | 3 165 207.33 | 3 182 771.19 | 3 173 554.30 |
| Class P-acc | LU0994951464 |  |  |  |
| Shares outstanding |  | 625 633.7420 | 711 892.8620 | 930 438.4020 |
| Net asset value per share in EUR |  | 107.19 | 108.24 | 108.38 |
| Issue and redemption price per share in EUR 1 |  | 107.19 | 108.24 | 108.38 |
| Class P-dist | LU0994669793 |  |  |  |
| Shares outstanding |  | 93 314.8960 | 118 786.0750 | 149 115.7280 |
| Net asset value per share in EUR |  | 100.30 | 102.70 | 103.92 |
| Issue and redemption price per share in EUR 1 |  | 100.30 | 102.70 | 103.92 |
| Class Q-acc | LU1240801263 |  |  |  |
| Shares outstanding |  | 119 565.7870 | 116 025.6300 | 115 951.3180 |
| Net asset value per share in EUR |  | 105.39 | 105.84 | 105.40 |
| Issue and redemption price per share in EUR 1 |  | 105.39 | 105.84 | 105.40 |
| Class Q-dist | LU1240801347 |  |  |  |
| Shares outstanding |  | 29 564.9230 | 32 360.4170 | 42 782.5080 |
| Net asset value per share in EUR |  | 98.20 | 100.54 | 101.75 |
| Issue and redemption price per share in EUR 1 |  | 98.20 | 100.54 | 101.75 |
| 1  See note 1 |  |  |  |  |
| Performance |  |  |  |  |
|  | Currency | 2019/2020 | 2018/2019 | 2017/2018 |
| Class K-1-acc | EUR | -0.6% | 0.3% | -0.4% |
| Class P-acc | EUR | -1.0% | -0.1% | -0.8% |
| Class P-dist | EUR | -1.0% | -0.1% | -0.8% |
| Class Q-acc | EUR | -0.4% | 0.4% | -0.2% |
| Class Q-dist | EUR | -0.4% | 0.4% | -0.3% |
| 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.
UBS (Lux) Strategy SICAV – Income (EUR)
Annual report and audited financial statements as of 31 May 2020

## 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	64.17
| United States | 13.92 |
| --- | --- |
| Germany | 4.61 |
| France | 4.50 |
| Ireland | 1.39 |
| The Netherlands | 1.37 |
| Spain | 1.03 |
| Belgium | 0.85 |
| Sweden | 0.70 |
| Norway | 0.64 |
| Austria | 0.54 |
| United Kingdom | 0.50 |
| Supranationals | 0.46 |
| Australia | 0.42 |
| Japan | 0.40 |
| Venezuela | 0.39 |
| Finland | 0.31 |
| South Korea | 0.30 |
| Canada | 0.28 |
| Switzerland | 0.20 |
| China | 0.17 |
| Total | 97.15 |

Economic Breakdown as a % of net assets	
Investment funds	64.28
| Countries & central governments | 22.95 |
| --- | --- |
| Banks & credit institutions | 5.87 |
| Supranational organisations | 1.89 |
| Finance & holding companies | 0.99 |
| Public, non-profit institutions | 0.33 |
| Pharmaceuticals, cosmetics & medical products | 0.31 |
| Cantons, federal states | 0.30 |
| Traffic & transportation | 0.23 |
| Total | 97.15 |

UBS (Lux) Strategy SICAV – 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	91 111 307.19
| Investments in securities, unrealized appreciation (depreciation) | 	6 193 638.71	 |
| --- | --- |
| Total investments in securities (Note 1) | 97 304 945.90 |
| Cash at banks, deposits on demand and deposit accounts | 953 163.21 |
| Other liquid assets (Margins) | 609 413.72 |
| Receivable on securities sales (Note 1) | 445.99 |
| Interest receivable on securities | 176 981.54 |
| Other receivables | 29 319.59 |
| Interest receivable on liquid assets | 355.11 |
| Unrealized gain (loss) on financial futures (Note 1) | -37 330.33 |
| Unrealized gain (loss) on forward foreign exchange contracts (Note 1) | 1 274 544.60 |
| Unrealized gain (loss) on swaps (Note 1) | 32 759.31 |
| Total Assets | 100 344 598.64 |
|  |  |
| Liabilities |  |
| Bank overdraft | -1 078.39 |
| Interest payable on bank overdraft | -20.22 |
| Payable on redemptions | -115 662.61 |
| Provisions for flat fee (Note 2) | -44 982.95 |
| Provisions for taxe d’abonnement (Note 3) | -3 012.09 |
| Provisions for other commissions and fees (Note 2) | 	-21 483.98	 |
| Total provisions | -69 479.02 |
| Total Liabilities | -186 240.24 |
|  |  |
| Net assets at the end of the financial year | 100 158 358.40 |
| Statement of Operations | EUR |
| Income | 1.6.2019-31.5.2020 |
| Interest on liquid assets | 6 616.29 |
| Interest on securities | 692 263.74 |
| Interest received on swaps (Note 1) | 22 110.15 |
| Dividends | 114 919.28 |
| Income on securities lending (Note 15) | 25 871.67 |
| Other income (Note 4) | 39 703.20 |
| Total income | 901 484.33 |
|  |  |
| Expenses |  |
| Interest paid on swaps (Note 1) | -2 219.20 |
| Cost on securities lending (Note 15) | -10 348.67 |
| Flat fee (Note 2) | -1 245 860.24 |
| Taxe d’abonnement (Note 3) | -20 840.21 |
| Other commissions and fees (Note 2) | -21 483.98 |
| Interest on cash and bank overdraft | -26 288.67 |
| Total expenses | -1 327 040.97 |
|  |  |
| Net income (loss) on investments | -425 556.64 |
|  |  |
| Realized gain (loss) (Note 1) |  |
| Realized gain (loss) on market-priced securities without options | 4 027 856.01 |
| Realized gain (loss) on options | 99 232.60 |
| Realized gain (loss) on yield-evaluated securities and money market instruments | -8 979.03 |
| Realized gain (loss) on financial futures | -1 536 244.07 |
| Realized gain (loss) on forward foreign exchange contracts | -3 530 425.94 |
| Realized gain (loss) on swaps | 90 360.58 |
| Realized gain (loss) on foreign exchange | -726 387.90 |
| Total realized gain (loss) | -1 584 587.75 |
|  |  |
| Net realized gain (loss) of the financial year | -2 010 144.39 |
|  |  |
| Changes in unrealized appreciation (depreciation) (Note 1) |  |
| Unrealized appreciation (depreciation) on market-priced securities without options | -1 417 089.60 |
| Unrealized appreciation (depreciation) on options | 232 020.23 |
| Unrealized appreciation (depreciation) on yield-evaluated securities and money market instruments | -1 943.71 |
| Unrealized appreciation (depreciation) on financial futures | 89 484.89 |
| Unrealized appreciation (depreciation) on forward foreign exchange contracts | 2 053 789.41 |
| Unrealized appreciation (depreciation) on swaps | -21 980.36 |
| Total changes in unrealized appreciation (depreciation) | 934 280.86 |
|  |  |
| Net increase (decrease) in net assets as a result of operations | -1 075 863.53 |

UBS (Lux) Strategy SICAV – 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 |  | 107 331 540.01 |
| Subscriptions |  | 16 686 272.60 |
| Redemptions |  | 	-22 559 060.65	 |
| Total net subscriptions (redemptions) |  | -5 872 788.05 |
| Dividend paid |  | -224 530.03 |
| Net income (loss) on investments |  | -425 556.64 |
| Total realized gain (loss) |  | -1 584 587.75 |
| Total changes in unrealized appreciation (depreciation) |  | 	934 280.86	 |
| Net increase (decrease) in net assets as a result of operations |  | -1 075 863.53 |
| Net assets at the end of the financial year |  | 100 158 358.40 |
| Changes in the Number of Shares outstanding |  |  |
|  |  | 1.6.2019-31.5.2020 |
| Class |  | K-1-acc |
| Number of shares outstanding at the beginning of the financial year |  | 0.8000 |
| Number of shares issued |  | 2.1000 |
| Number of shares redeemed |  | -0.3000 |
| Number of shares outstanding at the end of the financial year |  | 2.6000 |
| Class |  | P-acc |
| Number of shares outstanding at the beginning of the financial year |  | 711 892.8620 |
| Number of shares issued |  | 59 934.5850 |
| Number of shares redeemed |  | -146 193.7050 |
| Number of shares outstanding at the end of the financial year |  | 625 633.7420 |
| Class |  | P-dist |
| Number of shares outstanding at the beginning of the financial year |  | 118 786.0750 |
| Number of shares issued |  | 3 722.7380 |
| Number of shares redeemed |  | -29 193.9170 |
| Number of shares outstanding at the end of the financial year |  | 93 314.8960 |
| Class |  | Q-acc |
| Number of shares outstanding at the beginning of the financial year |  | 116 025.6300 |
| Number of shares issued |  | 17 635.5280 |
| Number of shares redeemed |  | -14 095.3710 |
| Number of shares outstanding at the end of the financial year |  | 119 565.7870 |
| Class |  | Q-dist |
| Number of shares outstanding at the beginning of the financial year |  | 32 360.4170 |
| Number of shares issued |  | 8 544.4010 |
| Number of shares redeemed |  | -11 339.8950 |
| Number of shares outstanding at the end of the financial year |  | 29 564.9230 |
| Annual Distribution 1 |  |  |
| UBS (Lux) Strategy SICAV – Income (EUR)	Ex-Date | Pay-Date | Currency	Amount per share |
| P-dist	1.8.2019 | 6.8.2019 | EUR	1.45 |
| Q-dist	1.8.2019 | 6.8.2019 | EUR	1.96 |
| 1  See note 5 |  |  |

UBS (Lux) Strategy SICAV – 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 | 175 000.00 | 171 500.00 | 0.17 |
| EUR	NESTLE FINANCE INTERNATIONAL LTD-REG-S 0.37500% 20-12.05.32 | 78 000.00 | 76 544.21 | 0.08 |
| EUR	SWISSCOM FINANCE BV-REG-S 0.37500% 20-14.11.28 | 100 000.00 | 99 550.00 | 0.10 |
| Total EUR |  | 347 594.21 | 0.35 |
| Total Notes, fixed rate |  | 347 594.21 | 0.35 |
| Medium term notes, fixed rate |  |  |  |
| EUR |  |  |  |
| EUR	AUSTRIA, REPUBLIC OF-REG-S-144A 3.50000% 05-15.09.21 | 100 000.00 | 105 189.80 | 0.11 |
| EUR	AUSTRIA, REPUBLIC OF-144A-REG-S 0.75000% 18-20.02.28 | 200 000.00 | 215 361.20 | 0.22 |
| EUR	BNG BANK NV-REG-S 1.12500% 14-04.09.24 | 200 000.00 | 211 306.40 | 0.21 |
| EUR	COMMONWEALTH BANK OF AUSTRALIA 3.00000% 12-03.05.22 | 400 000.00 | 424 352.80 | 0.42 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.50000% 17-25.01.22 | 200 000.00 | 199 681.60 | 0.20 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.62500% 19-20.11.26 | 200 000.00 | 191 507.60 | 0.19 |
| EUR	DEUTSCHE POST AG-REG-S 0.37500% 20-20.05.26 | 233 000.00 | 232 396.53 | 0.23 |
| EUR	DNB BANK ASA-REG-S 0.05000% 19-14.11.23 | 325 000.00 | 321 659.65 | 0.32 |
| EUR	DNB BOLIGKREDIT A-REG-S 1.87500% 12-21.11.22 | 300 000.00 | 315 679.50 | 0.32 |
| EUR	EUROPEAN INVESTMENT BANK 1.37500% 13-15.09.21 | 200 000.00 | 204 720.00 | 0.20 |
| EUR	EUROPEAN INVESTMENT BANK 0.50000% 17-15.01.27 | 250 000.00 | 265 376.50 | 0.27 |
| EUR	EUROPEAN UNION 3.50000% 11-04.06.21 | 250 000.00 | 259 677.00 | 0.26 |
| EUR	EXPORT-IMPORT BANK OF KOREA-REG-S 0.37500% 19-26.03.24 | 300 000.00 | 299 437.50 | 0.30 |
| EUR	INSTITUTO DE CREDITO OFICIAL-REG-S 0.50000% 16-26.10.23 | 230 000.00 | 234 296.35 | 0.23 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 4.62500% 07-04.01.23 | 400 000.00 | 453 156.00 | 0.45 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 0.62500% 17-22.02.27 | 200 000.00 | 213 232.40 | 0.21 |
| EUR	LANDESBANK HESSEN-THUERINGEN GZ-REG-S 0.37500% 20-12.05.25 | 400 000.00 | 398 977.60 | 0.40 |
| EUR	LLOYDS BANK PLC-REG-S 0.25000% 19-25.03.24 | 120 000.00 | 121 775.76 | 0.12 |
| EUR	NATIONWIDE BUILDING SOCIETY 4.37500% 07-28.02.22 | 350 000.00 | 377 584.20 | 0.38 |
| EUR	NESTLE HOLDINGS INC-REG-S 0.87500% 17-18.07.25 | 280 000.00 | 291 340.00 | 0.29 |
| EUR	NORDEA MORTGAGE BANK PLC-REG-S 4.00000% 11-10.02.21 | 300 000.00 | 308 865.00 | 0.31 |
| EUR	SKANDINAVISKA ENSKILDA BANKEN AB-REG-S 0.25000% 20-19.05.23 | 234 000.00 | 234 052.88 | 0.23 |
| EUR	SUMITOMO MITSUI BANKING CORP-REG-S 0.26700% 19-18.06.26 | 400 000.00 | 404 828.00 | 0.40 |
| Total EUR |  | 6 284 454.27 | 6.27 |
| Total Medium term notes, fixed rate |  | 6 284 454.27 | 6.27 |
| Medium term notes, zero coupon |  |  |  |
| EUR |  |  |  |
| EUR	EUROPEAN STABILITY MECHANISM-REG-S 0.00000% 16-18.10.22 | 200 000.00 | 202 002.00 | 0.20 |
| EUR	NESTLE FINANCE INTERNATIONAL-REG-S 0.00000% 20-12.11.24 | 163 000.00 | 162 440.91 | 0.16 |
| Total EUR |  | 364 442.91 | 0.36 |
| Total Medium term notes, zero coupon |  | 364 442.91 | 0.36 |
| Bonds, fixed rate |  |  |  |
| EUR |  |  |  |
| EUR	AUSTRIA, REPUBLIC OF-REG-S 1.20000% 15-20.10.25 | 200 000.00 | 217 524.00 | 0.22 |
| EUR	BELGIUM, KINGDOM OF 4.25000% 11-28.09.21 | 100 000.00 | 106 320.00 | 0.11 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.80000% 15-22.06.25 | 200 000.00 | 212 030.00 | 0.21 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.50000% 17-22.10.24 | 200 000.00 | 208 220.00 | 0.21 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.80000% 18-22.06.28 | 100 000.00 | 107 748.20 | 0.11 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.90000% 19-22.06.29 | 200 000.00 | 217 835.20 | 0.22 |
| EUR	BNP PARIBAS HOME LOAN COVERED BONDS SFH 3.87500% 11-12.07.21 | 300 000.00 | 313 489.20 | 0.31 |
| EUR	CAISSE D'AMOR DE LA DETTE SOCIALE-REG-S 2.37500% 13-25.01.24 | 300 000.00 | 329 718.72 | 0.33 |
| EUR	EUROPEAN FINANCIAL STABILITY FAC-REG-S 0.12500% 17-17.10.23 | 300 000.00 | 305 798.40 | 0.31 |
| EUR	EUROPEAN INVESTMENT BANK-REG-S 0.37500% 16-14.04.26 | 250 000.00 | 262 092.50 | 0.26 |
| EUR	FRANCE, REPUBLIC OF OAT 2.25000% 12-25.10.22 | 460 000.00 | 491 054.60 | 0.49 |
| EUR	FRANCE, REPUBLIC OF-OAT 2.75000% 12-25.10.27 | 350 000.00 | 428 549.10 | 0.43 |
| EUR	FRANCE, REPUBLIC OF-OAT 1.75000% 14-25.11.24 | 400 000.00 | 440 388.00 | 0.44 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 1.00000% 15-25.11.25 | 450 000.00 | 484 586.10 | 0.48 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.25000% 15-25.11.26 | 350 000.00 | 362 488.00 | 0.36 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.75000% 17-25.05.28 | 200 000.00 | 215 116.00 | 0.21 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.75000% 18-25.11.28 | 250 000.00 | 269 345.00 | 0.27 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.50000% 19-25.05.29 | 200 000.00 | 211 208.40 | 0.21 |
| EUR	GERMANY, REPUBLIC OF 1.50000% 13-15.05.23 | 400 000.00 | 425 757.60 | 0.43 |
| EUR	GERMANY, REPUBLIC OF 1.00000% 14-15.08.24 | 400 000.00 | 428 272.80 | 0.43 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.25000% 17-15.02.27 | 150 000.00 | 158 740.50 | 0.16 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.50000% 17-15.08.27 | 200 000.00 | 215 860.00 | 0.22 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.50000% 18-15.02.28 | 100 000.00 | 108 322.00 | 0.11 |
| EUR	GERMANY, REPUBLIC OF 4.75000% 98-04.07.28 | 100 000.00 | 143 311.80 | 0.14 |
| EUR	GERMANY, REPUBLIC OF 5.50000% 00-04.01.31 | 400 000.00 | 656 119.20 | 0.66 |
| EUR	JOHNSON & JOHNSON 0.65000% 16-20.05.24 | 300 000.00 | 308 124.60 | 0.31 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 0.25000% 18-15.09.25 | 200 000.00 | 206 956.40 | 0.21 |
| EUR	NETHERLANDS, KINGDOM OF THE 3.75000% 06-15.01.23 | 300 000.00 | 334 582.80 | 0.33 |
| EUR	NETHERLANDS, KINGDOM OF THE 3.25000% 11-15.07.21 | 100 000.00 | 104 257.00 | 0.10 |
| EUR	NETHERLANDS, KINGDOM OF THE 2.00000% 14-15.07.24 | 300 000.00 | 332 206.56 | 0.33 |
| EUR	NORDRHEIN-WESTFALEN, STATE OF 4.37500% 07-29.04.22 | 280 000.00 | 304 892.00 | 0.30 |
| EUR	RABOBANK NEDERLAND NV-REG-S 0.25000% 19-30.10.26 | 300 000.00 | 291 858.00 | 0.29 |
| EUR	SKANDINAVISKA ENSKILDA BANKEN AB-REG-S 0.37500% 19-09.02.26 | 150 000.00 | 154 042.50 | 0.15 |
| EUR	SPAIN, KINGDOM OF 0.05000% 17-31.01.21 | 470 000.00 | 471 438.20 | 0.47 |
| EUR	SPAIN, KINGDOM OF-144A-REG-S 1.45000% 19-30.04.29 | 300 000.00 | 327 155.40 | 0.33 |
| EUR	STADSHYPOTEK AB-REG-S 0.50000% 18-11.07.25 | 300 000.00 | 309 934.74 | 0.31 |
| Total EUR |  | 10 465 343.52 | 10.46 |
| Total Bonds, fixed rate |  | 10 465 343.52 | 10.46 |
| UBS (Lux) Strategy SICAV – 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 | 200 000.00 | 202 114.80 | 0.20 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 17-25.03.23 | 300 000.00 | 304 552.80 | 0.31 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 18-25.03.24 | 200 000.00 | 203 932.00 | 0.20 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 19-25.03.25 | 250 000.00 | 255 324.00 | 0.26 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.00000% 16-15.08.26 | 250 000.00 | 259 784.50 | 0.26 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.00000% 19-15.08.29 | 300 000.00 | 313 599.60 | 0.31 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.00000% 17-08.04.22 | 100 000.00 | 101 187.75 | 0.10 |
| EUR	TORONTO DOMINION BANK-REG-S 0.00000% 19-09.02.24 | 280 000.00 | 280 911.12 | 0.28 |
| Total EUR |  | 1 921 406.57 | 1.92 |
| Total Bonds, zero coupon |  | 1 921 406.57 | 1.92 |
| Bonds, floating rate |  |  |  |
| EUR |  |  |  |
| EUR	UBS GROUP AG-REG-S 1.250%/VAR 18-17.04.25 | 200 000.00 | 202 924.00 | 0.20 |
| Total EUR |  | 202 924.00 | 0.20 |
| Total Bonds, floating rate |  | 202 924.00 | 0.20 |
| Treasury notes, fixed rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 5.37500% 01-15.02.31 | 383 000.00 | 513 434.44 | 0.51 |
| USD	AMERICA, UNITED STATES OF 4.37500% 08-15.02.38 | 940 000.00 | 1 314 824.02 | 1.31 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.08.27 | 1 670 000.00 | 1 687 994.75 | 1.69 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.11.27 | 1 355 000.00 | 1 373 312.08 | 1.37 |
| USD	AMERICA, UNITED STATES OF 2.75000% 14-15.02.24 | 400 000.00 | 392 974.34 | 0.39 |
| USD	AMERICA, UNITED STATES OF 2.62500% 10-15.11.20 | 105 000.00 | 95 438.24 | 0.10 |
| USD	AMERICA, UNITED STATES OF 1.12500% 16-31.07.21 | 600 000.00 | 545 213.93 | 0.54 |
| USD	AMERICA, UNITED STATES OF 1.75000% 12-15.05.22 | 420 000.00 | 389 201.33 | 0.39 |
| USD	AMERICA, UNITED STATES OF 1.37500% 16-30.09.23 | 420 000.00 | 392 195.43 | 0.39 |
| USD	AMERICA, UNITED STATES OF 1.75000% 13-15.05.23 | 3 000 000.00 | 2 820 464.42 | 2.82 |
| USD	AMERICA, UNITED STATES OF 2.12500% 15-15.05.25 | 1 740 000.00 | 1 702 655.73 | 1.70 |
| Total USD |  | 11 227 708.71 | 11.21 |
| Total Treasury notes, fixed rate |  | 11 227 708.71 | 11.21 |
| Treasury notes, floating rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 3.875%/CPI LINKED 99-15.04.29 | 90 000.00 | 175 904.69 | 0.18 |
| USD	AMERICA, UNITED STATES OF 2.375%/CPI LINKED 04-15.01.25 | 130 000.00 | 181 145.73 | 0.18 |
| USD	AMERICA, UNITED STATES OF 0.625%/CPI LINKED 16-15.01.26 | 370 000.00 | 383 897.82 | 0.38 |
| USD	AMERICA, UNITED STATES OF 1.125%/CPI LINKED 11-15.01.21 | 170 000.00 | 180 286.83 | 0.18 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 17-15.01.27 | 180 000.00 | 182 928.35 | 0.18 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI INDEX 13-15.07.23 | 180 000.00 | 184 203.90 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 15-15.07.25 | 185 000.00 | 189 645.54 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.750%/CPI LINKED 18-15.07.28 | 110 000.00 | 112 445.23 | 0.11 |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 20-15.01.30 | 180 000.00 | 171 974.77 | 0.17 |
| Total USD |  | 1 762 432.86 | 1.76 |
| Total Treasury notes, floating rate |  | 1 762 432.86 | 1.76 |
| Total Transferable securities and money market instruments listed on an official stock exchange |  | 32 576 307.05 | 32.53 |
| 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 | 180 000.00 | 183 532.96 | 0.18 |
| Total USD |  | 183 532.96 | 0.18 |
| Total Treasury notes, floating rate | 183 532.96 | 0.18 |
| Total Transferable securities and money market instruments traded on another regulated market | 183 532.96 | 0.18 |
| UCITS/Other UCIs in accordance with Article 41 (1) e) of the amended Luxembourg law of 17 December 2010 |  |  |
| Investment funds, open end |  |  |
| Ireland |  |  |
| USD	SOURCE MARKETS PLC - MSCI USA SOURCE ETF-A	9 397.00 | 693 528.76 | 0.69 |
| USD	UBS ETFS PLC - MSCI USA TRN INDEX SF (USD) A-ACC	9 360.00 | 693 869.38 | 0.70 |
| Total Ireland | 1 387 398.14 | 1.39 |
| Luxembourg |  |  |
| EUR	UBS (LUX) BOND FUND - EURO HIGH YIELD (EUR) I-X-ACC	16 133.00 | 2 016 625.00 | 2.01 |
| EUR	UBS (LUX) BOND SICAV - EUR CORPORATES (EUR) U-X-ACC	1 255.00 | 15 107 690.00 | 15.08 |
| USD	UBS (LUX) BOND SICAV - USD HIGH YIELD U-X-ACC	239.00 | 4 106 492.05 | 4.10 |
| USD	UBS (LUX) BOND SICAV - EMERGING ECONOMIES CORP (USD)-I-X-DIS	34 410.00 | 3 260 806.49 | 3.26 |
| USD	UBS (LUX) BOND SICAV - USD INVEST GRADE CORP USD U X ACC	1 706.12 | 17 976 207.23 | 17.95 |
| USD	UBS (LUX) EMERGING ECONOMIES FUND-GLOBAL BONDS (USD)-U-X ACC	490.00 | 5 686 427.20 | 5.68 |
| EUR	UBS (LUX) EQUITY FUND - EURO COUNTRIES OPPORT U-X-ACC	228.00 | 4 898 906.04 | 4.89 |
| USD	UBS (LUX) EQUITY FUND - GLOBAL SUSTAINABLE (USD) U-X-ACC	237.00 | 2 195 881.12 | 2.19 |
| USD	UBS (LUX) EQUITY SICAV - GLB EM OPP(USD)-U-X-ACC	13.00 | 309 656.76 | 0.31 |
| USD	UBS (LUX) EQUITY SICAV-GLOBAL QUANTITATIVE (USD) U-X-ACC	206.00 | 2 553 666.63 | 2.55 |

UBS (Lux) Strategy SICAV – 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) |  |
|  |  |  |  |  |
| USD | UBS (LUX) EQUITY SICAV - GLOBAL OPPORTUNITY (USD) U-X-ACC | 133.00 | 1 102 899.82 | 1.10 |
| USD | UBS (LUX) INST FUND-KEY SEL. GLOBAL EQUITY FA-USD | 142.00 | 3 037 939.59 | 3.03 |
| USD | UBS (LUX) INSTITUTION SICAV-EQUITIES GLB (EX USA) PASSIVE XA | 9 083.00 | 738 986.38 | 0.74 |
| Total Luxembourg |  | 62 992 184.31 | 62.89 |
| Total Investment funds, open end |  | 64 379 582.45 | 64.28 |
| Total UCITS/Other UCIs in accordance with Article 41 (1) e) of the amended Luxembourg law of 17 December 2010 |  | 64 379 582.45 | 64.28 |
| Derivative instruments listed on an official stock exchange |  |  |  |
| Options on indices, classic-styled |  |  |  |
| USD |  |  |  |
| USD	S&P 500 INDEX CALL 2600.00000 18.09.20 | 4.00 | 173 578.46 | 0.17 |
| USD	S&P 500 INDEX PUT 2225.00000 18.09.20 | -4.00 | -8 055.02 | -0.01 |
| Total USD |  | 165 523.44 | 0.16 |
| Total Options on indices, classic-styled |  | 165 523.44 | 0.16 |
| Total Derivative instruments listed on an official stock exchange |  | 165 523.44 | 0.16 |
| Total investments in securities |  | 97 304 945.90 | 97.15 |

| Derivative instruments |  |
| --- | --- |
| Derivative instruments listed on an official stock exchange |
| Financial Futures on bonds |
|  |  |  |  |
| USD	US 5YR TREASURY NOTE FUTURE 30.09.20 | -7.00 | -1 179.93 | 0.00 |
| Total Financial Futures on bonds |  | -1 179.93 | 0.00 |
| Financial Futures on Indices |  |  |  |
|  |  |  |  |
| EUR	EURO STOXX 50 INDEX FUTURE 19.06.20 | -59.00 | -259 270.86 | -0.26 |
| CHF	SWISS MARKET INDEX FUTURE 19.06.20 | 19.00 | 409 241.83 | 0.41 |
| GBP	FTSE 100 INDEX FUTURE 19.06.20 | 22.00 | 16 480.58 | 0.02 |
| AUD	SPI 200 INDEX FUTURES 18.06.20 | -3.00 | -25 905.43 | -0.03 |
| JPY	NIKKEI 225 (OSE) INDEX FUTURE 11.06.20 | -5.00 | -121 996.98 | -0.12 |
| CAD	S&P/TSX 60 INDEX FUTURE 18.06.20 | -3.00 | -54 699.54 | -0.05 |
| Total Financial Futures on Indices | -36 150.40 | -0.03 |
| Total Derivative instruments listed on an official stock exchange | -37 330.33 | -0.03 |
| 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	2 800 000.00 | 32 759.31 | 0.03 |
| Total Credit default swaps | 32 759.31 | 0.03 |
| Total Derivative instruments not listed on an official stock exchange and not traded on another regulated market | 32 759.31 | 0.03 |
| Total Derivative instruments | -4 571.02 | 0.00 |
| Forward Foreign Exchange contracts |  |  |
| Forward Foreign Exchange contracts (Purchase/Sale) |  |  |

| EUR | 128 670.20 | USD | 140 000.00 | 24.6.2020 | 2 869.63 | 0.00 |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 27 240.46 | NOK | 314 818.15 | 24.6.2020 | -1 868.27 | 0.00 |
| EUR | 301 600.84 | CHF | 317 329.02 | 24.6.2020 | 4 590.16 | 0.01 |
| EUR | 46 927.80 | DKK | 350 000.00 | 24.6.2020 | -29.58 | 0.00 |
| EUR | 443 818.65 | JPY | 51 918 704.00 | 24.6.2020 | 10 642.68 | 0.01 |
| EUR | 200 674.90 | AUD | 344 214.05 | 24.6.2020 | -4 643.72 | 0.00 |
| EUR | 346 192.79 | CAD | 532 662.61 | 24.6.2020 | -99.32 | 0.00 |
| EUR | 70 224.42 | SEK | 767 680.85 | 24.6.2020 | -3 033.38 | 0.00 |
| SGD | 70 000.00 | EUR | 45 118.68 | 24.6.2020 | -613.20 | 0.00 |
| GBP | 634 787.30 | EUR | 721 196.77 | 24.6.2020 | -15 936.25 | -0.02 |
| NZD | 5 000.00 | EUR | 2 754.13 | 24.6.2020 | 27.80 | 0.00 |
| EUR | 71 112.27 | HKD | 600 000.00 | 24.6.2020 | 1 588.19 | 0.00 |
| EUR | 25 857 495.33 | USD | 28 129 076.29 | 24.6.2020 | 581 395.58 | 0.58 |
| EUR | 82 929.90 | USD | 90 000.00 | 24.6.2020 | 2 058.10 | 0.00 |
| EUR | 57 074.57 | CHF | 60 000.00 | 24.6.2020 | 916.33 | 0.00 |
| CHF | 70 000.00 | EUR | 66 565.11 | 24.6.2020 | -1 047.16 | 0.00 |
| USD | 80 000.00 | EUR | 73 924.86 | 24.6.2020 | -2 038.82 | 0.00 |
| EUR | 23 722.41 | CHF | 25 000.00 | 24.6.2020 | 323.14 | 0.00 |
| USD | 250 000.00 | EUR | 230 544.36 | 24.6.2020 | -5 900.48 | -0.01 |
| GBP | 624 785.73 | EUR | 711 978.13 | 22.7.2020 | -18 166.07 | -0.02 |
| EUR | 37 132.28 | AUD | 61 973.63 | 22.7.2020 | 188.67 | 0.00 |
| EUR | 15 146.98 | SEK | 161 304.49 | 22.7.2020 | -240.60 | 0.00 |
| EUR | 46 930.07 | DKK | 350 000.00 | 22.7.2020 | -28.26 | 0.00 |
| EUR | 69 001.89 | HKD | 580 000.00 | 22.7.2020 | 1 884.39 | 0.00 |
| EUR | 65 155.62 | SGD | 100 000.00 | 22.7.2020 | 1 607.88 | 0.00 |
| EUR | 446 861.59 | JPY | 51 998 110.00 | 22.7.2020 | 13 092.28 | 0.01 |
| EUR | 26 515.33 | NOK | 295 137.99 | 22.7.2020 | -762.72 | 0.00 |
| CAD | 18 416.38 | EUR | 12 132.39 | 22.7.2020 | -166.73 | 0.00 |

* Positive nominal: the subfund is “Receiver”, negative nominal: the subfund is “Payer”.
UBS (Lux) Strategy SICAV – 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) |  |

Forward Foreign Exchange contracts (Continued)
Forward Foreign Exchange contracts (Purchase/Sale)
| EUR | 25 979 904.83 | USD | 28 149 096.98 | 22.7.2020 | 700 966.08 | 0.70 |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 4 291.96 | JPY | 500 000.00 | 24.6.2020 | 120.28 | 0.00 |
| EUR | 4 291.55 | JPY | 500 000.00 | 22.7.2020 | 120.54 | 0.00 |
| AUD | 53 010.74 | EUR | 31 510.44 | 22.7.2020 | 90.23 | 0.00 |
| AUD | 55 000.00 | EUR | 32 711.91 | 24.6.2020 | 94.78 | 0.00 |
| USD | 25 000.00 | EUR | 23 137.01 | 22.7.2020 | -686.08 | 0.00 |
| USD | 25 000.00 | EUR | 23 151.15 | 24.6.2020 | -686.76 | 0.00 |
| USD | 25 000.00 | EUR | 23 039.84 | 22.7.2020 | -588.91 | 0.00 |
| USD | 25 000.00 | EUR | 23 053.86 | 24.6.2020 | -589.47 | 0.00 |
| GBP | 36 000.00 | EUR | 40 341.47 | 24.6.2020 | -344.80 | 0.00 |
| USD | 81 000.00 | EUR | 74 941.92 | 24.6.2020 | -2 157.30 | 0.00 |
| GBP | 34 472.78 | EUR | 38 612.33 | 22.7.2020 | -331.00 | 0.00 |
| USD | 79 044.01 | EUR | 73 088.00 | 22.7.2020 | -2 103.53 | 0.00 |
| EUR | 128 805.66 | USD | 140 000.00 | 22.7.2020 | 3 080.44 | 0.00 |
| EUR | 128 884.68 | USD | 140 000.00 | 24.6.2020 | 3 084.11 | 0.01 |
| EUR | 57 643.18 | GBP | 51 500.00 | 24.6.2020 | 425.72 | 0.00 |
| EUR | 57 616.71 | GBP | 51 500.00 | 22.7.2020 | 426.99 | 0.00 |
| EUR | 68 530.48 | USD | 75 000.00 | 22.7.2020 | 1 177.68 | 0.00 |
| EUR | 68 572.22 | USD | 75 000.00 | 24.6.2020 | 1 179.05 | 0.00 |
| USD | 100 000.00 | EUR | 91 070.62 | 24.6.2020 | -1 213.07 | 0.00 |
| USD | 100 000.00 | EUR | 91 016.74 | 22.7.2020 | -1 213.01 | 0.00 |
| EUR | 4 265.69 | JPY | 500 000.00 | 24.6.2020 | 94.01 | 0.00 |
| EUR | 4 265.18 | JPY | 500 000.00 | 22.7.2020 | 94.17 | 0.00 |
| GBP | 935 000.00 | EUR | 1 044 681.77 | 24.6.2020 | -5 879.34 | -0.01 |
| GBP | 934 000.00 | EUR | 1 043 086.63 | 22.7.2020 | -5 898.31 | -0.01 |
| EUR | 558 938.97 | USD | 610 000.00 | 22.7.2020 | 11 136.22 | 0.01 |
| EUR | 559 276.78 | USD | 610 000.00 | 24.6.2020 | 11 145.70 | 0.01 |
| USD | 85 000.00 | EUR | 77 531.90 | 24.6.2020 | -1 152.98 | 0.00 |
| USD | 85 000.00 | EUR | 77 485.74 | 22.7.2020 | -1 152.57 | 0.00 |
| EUR | 52 185.45 | GBP | 46 500.00 | 22.7.2020 | 548.13 | 0.00 |
| EUR | 52 210.00 | GBP | 46 500.00 | 24.6.2020 | 547.63 | 0.00 |
| USD | 70 000.00 | EUR | 63 826.68 | 22.7.2020 | -964.07 | 0.00 |
| USD | 70 000.00 | EUR | 63 864.59 | 24.6.2020 | -964.30 | 0.00 |
| USD | 80 000.00 | EUR | 72 321.61 | 22.7.2020 | -478.63 | 0.00 |
| USD | 80 000.00 | EUR | 72 365.45 | 24.6.2020 | -479.41 | 0.00 |
| EUR | 5 982.84 | AUD | 10 000.00 | 24.6.2020 | 17.99 | 0.00 |
| EUR | 5 979.13 | AUD | 10 000.00 | 22.7.2020 | 17.95 | 0.00 |
| USD | 210 000.00 | EUR | 188 467.07 | 24.6.2020 | 233.79 | 0.00 |
| USD | 192 781.67 | EUR | 172 908.75 | 22.7.2020 | 216.38 | 0.00 |
| Total Forward Foreign Exchange contracts (Purchase/Sale) | 1 274 544.60 | 1.27 |
|  |  |  |
| Cash at banks, deposits on demand and deposit accounts and other liquid assets | 1 562 576.93 | 1.56 |
| Bank overdraft and other short-term liabilities | -1 078.39 | 0.00 |
| Other assets and liabilities | 21 940.38 | 0.02 |
| Total net assets | 100 158 358.40 | 100.00 |

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

Translation (ENDE, 2020-05-31):
# UBS (Lux) Strategy SICAV – Income (EUR)
| Dreijahresvergleich |  |
| --- | --- |
|  | ISIN | 31.5.2020 | 31.5.2019 | 31.5.2018 |
| Nettovermögen in EUR |  | 100 158 358.40 | 107 331 540.01 | 133 861 371.17 |
| Klasse K-1-acc | LU1097600727 |  |  |  |
| Aktien im Umlauf |  | 2.6000 | 0.8000 | 0.3000 |
| Nettoinventarwert pro Aktie in EUR |  | 3 165 207.33 | 3 182 771.19 | 3 173 554.30 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 3 165 207.33 | 3 182 771.19 | 3 173 554.30 |
| Klasse P-acc | LU0994951464 |  |  |  |
| Aktien im Umlauf |  | 625 633.7420 | 711 892.8620 | 930 438.4020 |
| Nettoinventarwert pro Aktie in EUR |  | 107.19 | 108.24 | 108.38 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 107.19 | 108.24 | 108.38 |
| Klasse P-dist | LU0994669793 |  |  |  |
| Aktien im Umlauf |  | 93 314.8960 | 118 786.0750 | 149 115.7280 |
| Nettoinventarwert pro Aktie in EUR |  | 100.30 | 102.70 | 103.92 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 100.30 | 102.70 | 103.92 |
| Klasse Q-acc | LU1240801263 |  |  |  |
| Aktien im Umlauf |  | 119 565.7870 | 116 025.6300 | 115 951.3180 |
| Nettoinventarwert pro Aktie in EUR |  | 105.39 | 105.84 | 105.40 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 105.39 | 105.84 | 105.40 |
| Klasse Q-dist | LU1240801347 |  |  |  |
| Aktien im Umlauf |  | 29 564.9230 | 32 360.4170 | 42 782.5080 |
| Nettoinventarwert pro Aktie in EUR |  | 98.20 | 100.54 | 101.75 |
| Ausgabe- und Rücknahmepreis pro Aktie in EUR 1 |  | 98.20 | 100.54 | 101.75 |
| 1  Siehe Erläuterung 1 |  |  |  |  |
| Performance |  |  |  |  |
|  | Währung | 2019/2020 | 2018/2019 | 2017/2018 |
| Klasse K-1-acc | EUR | -0.6% | 0.3% | -0.4% |
| Klasse P-acc | EUR | -1.0% | -0.1% | -0.8% |
| Klasse P-dist | EUR | -1.0% | -0.1% | -0.8% |
| Klasse Q-acc | EUR | -0.4% | 0.4% | -0.2% |
| Klasse Q-dist | EUR | -0.4% | 0.4% | -0.3% |
| 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.
UBS (Lux) Strategy SICAV – Income (EUR) Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020

## Bericht des Portfolio Managers
Das Rechnungsjahr vom 1. Juni 2019 bis zum 31. Mai 2020 war zunächst vom reichlichen Angebot an Zentral- bankliquidität und der Markterwartung anhaltend nied- riger Zinssätze geprägt. Vor diesem Hintergrund erzielten sowohl traditionelle defensive als auch risikoreichere 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.
UBS (Lux) Strategy SICAV – Income (EUR)
Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020

## Struktur des Wertpapierbestandes
Geographische Aufteilung in % des Nettovermögens	
Luxemburg	64.17
Vereinigte Staaten	13.92
Deutschland	4.61
Frankreich	4.50
Irland	1.39
Niederlande	1.37
Spanien	1.03
Belgien	0.85
Schweden	0.70
Norwegen	0.64
Österreich	0.54
Grossbritannien	0.50
Supranational	0.46
Australien	0.42
Japan	0.40
Venezuela	0.39
Finnland	0.31
Südkorea	0.30
Kanada	0.28
Schweiz	0.20
Total	97.15
China	0.17
Wirtschaftliche Aufteilung in % des Nettovermögens	
Anlagefonds	64.28
| Länder- & Zentralregierungen | 22.95 |
| --- | --- |
| Banken & Kreditinstitute | 5.87 |
| Supranationale Organisationen | 1.89 |
| Finanz- & Beteiligungsgesellschaften | 0.99 |
| Öffentlich-rechtliche Körperschaften | 0.33 |
| Pharmazeutik, Kosmetik & medizinische Produkte | 0.31 |
| Kantone, Bundesstaaten | 0.30 |
| Verkehr & Transport | 0.23 |
| Total | 97.15 |


## Nettovermögensaufstellung
Aktiva	31.5.2020
EUR
Wertpapierbestand, Einstandswert	91 111 307.19
| Wertpapierbestand, nicht realisierte Werterhöhung (-minderung) | 	6 193 638.71	 |
| --- | --- |
| Total Wertpapierbestand (Erläuterung 1) | 97 304 945.90 |
| Bankguthaben, Sicht- und Fristgelder | 953 163.21 |
| Andere liquide Mittel (Margins) | 609 413.72 |
| Forderungen aus Wertpapierverkäufen (Erläuterung 1) | 445.99 |
| Zinsforderungen aus Wertpapieren | 176 981.54 |
| Sonstige Forderungen | 29 319.59 |
| Zinsforderungen aus liquiden Mitteln | 355.11 |
| Nicht realisierter Kursgewinn (-verlust) aus Finanzterminkontrakten (Erläuterung 1) | -37 330.33 |
| Nicht realisierter Kursgewinn (-verlust) aus Devisenterminkontrakten (Erläuterung 1) | 1 274 544.60 |
| Nicht realisierter Kursgewinn (-verlust) aus Swaps (Erläuterung 1) | 32 759.31 |
| Total Aktiva | 100 344 598.64 |
|  |  |
| Passiva |  |
| Kontokorrentkredit | -1 078.39 |
| Zinsverbindlichkeiten aus Kontokorrentkredit | -20.22 |
| Verbindlichkeiten aus Rücknahmen | -115 662.61 |
| Rückstellungen für pauschale Verwaltungskommission (Erläuterung 2) | -44 982.95 |
| Rückstellungen für Abonnementsabgabe (Erläuterung 3) | -3 012.09 |
| Rückstellungen für sonstige Kommissionen und Gebühren (Erläuterung 2) | 	-21 483.98	 |
| Total Rückstellungen für Aufwendungen | -69 479.02 |
| Total Passiva | -186 240.24 |
|  |  |
| Nettovermögen am Ende des Geschäftsjahres | 100 158 358.40 |
| Ertrags- und Aufwandsrechnung | EUR |
| Erträge | 1.6.2019-31.5.2020 |
| Zinsertrag auf liquide Mittel | 6 616.29 |
| Zinsen auf Wertpapiere | 692 263.74 |
| Zinsertrag auf Swaps (Erläuterung 1) | 22 110.15 |
| Dividenden | 114 919.28 |
| Erträge aus Securities Lending (Erläuterung 15) | 25 871.67 |
| Sonstige Erträge (Erläuterung 4) | 39 703.20 |
| Total Erträge | 901 484.33 |
|  |  |
| Aufwendungen |  |
| Zinsaufwand auf Swaps (Erläuterung 1) | -2 219.20 |
| Kosten aus Securities Lending (Erläuterung 15) | -10 348.67 |
| Pauschale Verwaltungskommission (Erläuterung 2) | -1 245 860.24 |
| Abonnementsabgabe (Erläuterung 3) | -20 840.21 |
| Sonstige Kommissionen und Gebühren (Erläuterung 2) | -21 483.98 |
| Zinsaufwand auf liquide Mittel und Kontokorrentkredit | -26 288.67 |
| Total Aufwendungen | -1 327 040.97 |
|  |  |
| Nettoerträge (-verluste) aus Anlagen | -425 556.64 |
|  |  |
| Realisierte Gewinne (Verluste) (Erläuterung 1) |  |
| Realisierter Kursgewinn (-verlust) aus marktbewerteten Wertpapieren ausser Optionen | 4 027 856.01 |
| Realisierter Kursgewinn (-verlust) aus Optionen | 99 232.60 |
| Realisierter Kursgewinn (-verlust) aus renditebewerteten Wertpapieren und Geldmarktinstrumenten | -8 979.03 |
| Realisierter Kursgewinn (-verlust) aus Finanzterminkontrakten | -1 536 244.07 |
| Realisierter Kursgewinn (-verlust) aus Devisenterminkontrakten | -3 530 425.94 |
| Realisierter Kursgewinn (-verlust) aus Swaps | 90 360.58 |
| Realisierter Währungsgewinn (-verlust) | -726 387.90 |
| Total der realisierten Gewinne (Verluste) | -1 584 587.75 |
|  |  |
| Realisierter Nettogewinn (-verlust) des Geschäftsjahres | -2 010 144.39 |
|  |  |
| Veränderungen der nicht realisierten Werterhöhung (-minderung) (Erläuterung 1) |  |
| Nicht realisierte Werterhöhung (-minderung) marktbewerteter Wertpapiere ausser Optionen | -1 417 089.60 |
| Nicht realisierte Werterhöhung (-minderung) von Optionen | 232 020.23 |
| Nicht realisierte Werterhöhung (-minderung) renditebewerteter Wertpapiere und Geldmarktinstrumente | -1 943.71 |
| Nicht realisierte Werterhöhung (-minderung) von Finanzterminkontrakten | 89 484.89 |
| Nicht realisierte Werterhöhung (-minderung) von Devisenterminkontrakten | 2 053 789.41 |
| Nicht realisierte Werterhöhung (-minderung) von Swaps | -21 980.36 |
| Total der Veränderungen der nicht realisierten Werterhöhung (-minderung) | 934 280.86 |
|  |  |
| Nettoerhöhung (-minderung) des Nettovermögens infolge Geschäftstätigkeit | -1 075 863.53 |

UBS (Lux) Strategy SICAV – 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 |  | 107 331 540.01 |
| Zeichnungen |  | 16 686 272.60 |
| Rücknahmen |  | 	-22 559 060.65	 |
| Total Mittelzufluss (-abfluss) |  | -5 872 788.05 |
| Ausbezahlte Dividende |  | -224 530.03 |
| Nettoerträge (-verluste) aus Anlagen |  | -425 556.64 |
| Total der realisierten Gewinne (Verluste) |  | -1 584 587.75 |
| Total der Veränderungen der nicht realisierten Werterhöhung (-minderung) |  | 	934 280.86	 |
| Nettoerhöhung (-minderung) des Nettovermögens infolge Geschäftstätigkeit |  | -1 075 863.53 |
| Nettovermögen am Ende des Geschäftsjahres |  | 100 158 358.40 |
| Entwicklung der Aktien im Umlauf |  |  |
|  |  | 1.6.2019-31.5.2020 |
| Klasse |  | K-1-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 0.8000 |
| Anzahl der ausgegebenen Aktien |  | 2.1000 |
| Anzahl der zurückgegebenen Aktien |  | -0.3000 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 2.6000 |
| Klasse |  | P-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 711 892.8620 |
| Anzahl der ausgegebenen Aktien |  | 59 934.5850 |
| Anzahl der zurückgegebenen Aktien |  | -146 193.7050 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 625 633.7420 |
| Klasse |  | P-dist |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 118 786.0750 |
| Anzahl der ausgegebenen Aktien |  | 3 722.7380 |
| Anzahl der zurückgegebenen Aktien |  | -29 193.9170 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 93 314.8960 |
| Klasse |  | Q-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 116 025.6300 |
| Anzahl der ausgegebenen Aktien |  | 17 635.5280 |
| Anzahl der zurückgegebenen Aktien |  | -14 095.3710 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 119 565.7870 |
| Klasse |  | Q-dist |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 32 360.4170 |
| Anzahl der ausgegebenen Aktien |  | 8 544.4010 |
| Anzahl der zurückgegebenen Aktien |  | -11 339.8950 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 29 564.9230 |
| Jährliche Ausschüttung 1 |  |  |
| UBS (Lux) Strategy SICAV – Income (EUR)	Ex-Date | Pay-Date | Währung	Betrag pro Aktie |
| P-dist	1.8.2019 | 6.8.2019 | EUR	1.45 |
| Q-dist	1.8.2019 | 6.8.2019 | EUR	1.96 |
| 1  Siehe Erläuterung 5 |  |  |

UBS (Lux) Strategy SICAV – 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 | 175 000.00 | 171 500.00 | 0.17 |
| EUR	NESTLE FINANCE INTERNATIONAL LTD-REG-S 0.37500% 20-12.05.32 | 78 000.00 | 76 544.21 | 0.08 |
| EUR	SWISSCOM FINANCE BV-REG-S 0.37500% 20-14.11.28 | 100 000.00 | 99 550.00 | 0.10 |
| Total EUR |  | 347 594.21 | 0.35 |
| Total Notes, fester Zins |  | 347 594.21 | 0.35 |
| Medium-Term Notes, fester Zins |  |  |  |
| EUR |  |  |  |
| EUR	AUSTRIA, REPUBLIC OF-REG-S-144A 3.50000% 05-15.09.21 | 100 000.00 | 105 189.80 | 0.11 |
| EUR	AUSTRIA, REPUBLIC OF-144A-REG-S 0.75000% 18-20.02.28 | 200 000.00 | 215 361.20 | 0.22 |
| EUR	BNG BANK NV-REG-S 1.12500% 14-04.09.24 | 200 000.00 | 211 306.40 | 0.21 |
| EUR	COMMONWEALTH BANK OF AUSTRALIA 3.00000% 12-03.05.22 | 400 000.00 | 424 352.80 | 0.42 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.50000% 17-25.01.22 | 200 000.00 | 199 681.60 | 0.20 |
| EUR	CORPORACION ANDINA DE FOMENTO-REG-S 0.62500% 19-20.11.26 | 200 000.00 | 191 507.60 | 0.19 |
| EUR	DEUTSCHE POST AG-REG-S 0.37500% 20-20.05.26 | 233 000.00 | 232 396.53 | 0.23 |
| EUR	DNB BANK ASA-REG-S 0.05000% 19-14.11.23 | 325 000.00 | 321 659.65 | 0.32 |
| EUR	DNB BOLIGKREDIT A-REG-S 1.87500% 12-21.11.22 | 300 000.00 | 315 679.50 | 0.32 |
| EUR	EUROPEAN INVESTMENT BANK 1.37500% 13-15.09.21 | 200 000.00 | 204 720.00 | 0.20 |
| EUR	EUROPEAN INVESTMENT BANK 0.50000% 17-15.01.27 | 250 000.00 | 265 376.50 | 0.27 |
| EUR	EUROPEAN UNION 3.50000% 11-04.06.21 | 250 000.00 | 259 677.00 | 0.26 |
| EUR	EXPORT-IMPORT BANK OF KOREA-REG-S 0.37500% 19-26.03.24 | 300 000.00 | 299 437.50 | 0.30 |
| EUR	INSTITUTO DE CREDITO OFICIAL-REG-S 0.50000% 16-26.10.23 | 230 000.00 | 234 296.35 | 0.23 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 4.62500% 07-04.01.23 | 400 000.00 | 453 156.00 | 0.45 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 0.62500% 17-22.02.27 | 200 000.00 | 213 232.40 | 0.21 |
| EUR	LANDESBANK HESSEN-THUERINGEN GZ-REG-S 0.37500% 20-12.05.25 | 400 000.00 | 398 977.60 | 0.40 |
| EUR	LLOYDS BANK PLC-REG-S 0.25000% 19-25.03.24 | 120 000.00 | 121 775.76 | 0.12 |
| EUR	NATIONWIDE BUILDING SOCIETY 4.37500% 07-28.02.22 | 350 000.00 | 377 584.20 | 0.38 |
| EUR	NESTLE HOLDINGS INC-REG-S 0.87500% 17-18.07.25 | 280 000.00 | 291 340.00 | 0.29 |
| EUR	NORDEA MORTGAGE BANK PLC-REG-S 4.00000% 11-10.02.21 | 300 000.00 | 308 865.00 | 0.31 |
| EUR	SKANDINAVISKA ENSKILDA BANKEN AB-REG-S 0.25000% 20-19.05.23 | 234 000.00 | 234 052.88 | 0.23 |
| EUR	SUMITOMO MITSUI BANKING CORP-REG-S 0.26700% 19-18.06.26 | 400 000.00 | 404 828.00 | 0.40 |
| Total EUR |  | 6 284 454.27 | 6.27 |
| Total Medium-Term Notes, fester Zins |  | 6 284 454.27 | 6.27 |
| Medium-Term Notes, Nullcoupon |  |  |  |
| EUR |  |  |  |
| EUR	EUROPEAN STABILITY MECHANISM-REG-S 0.00000% 16-18.10.22 | 200 000.00 | 202 002.00 | 0.20 |
| EUR	NESTLE FINANCE INTERNATIONAL-REG-S 0.00000% 20-12.11.24 | 163 000.00 | 162 440.91 | 0.16 |
| Total EUR |  | 364 442.91 | 0.36 |
| Total Medium-Term Notes, Nullcoupon |  | 364 442.91 | 0.36 |
| Anleihen, fester Zins |  |  |  |
| EUR |  |  |  |
| EUR	AUSTRIA, REPUBLIC OF-REG-S 1.20000% 15-20.10.25 | 200 000.00 | 217 524.00 | 0.22 |
| EUR	BELGIUM, KINGDOM OF 4.25000% 11-28.09.21 | 100 000.00 | 106 320.00 | 0.11 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.80000% 15-22.06.25 | 200 000.00 | 212 030.00 | 0.21 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.50000% 17-22.10.24 | 200 000.00 | 208 220.00 | 0.21 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.80000% 18-22.06.28 | 100 000.00 | 107 748.20 | 0.11 |
| EUR	BELGIUM, KINGDOM OF-144A-REG-S 0.90000% 19-22.06.29 | 200 000.00 | 217 835.20 | 0.22 |
| EUR	BNP PARIBAS HOME LOAN COVERED BONDS SFH 3.87500% 11-12.07.21 | 300 000.00 | 313 489.20 | 0.31 |
| EUR	CAISSE D'AMOR DE LA DETTE SOCIALE-REG-S 2.37500% 13-25.01.24 | 300 000.00 | 329 718.72 | 0.33 |
| EUR	EUROPEAN FINANCIAL STABILITY FAC-REG-S 0.12500% 17-17.10.23 | 300 000.00 | 305 798.40 | 0.31 |
| EUR	EUROPEAN INVESTMENT BANK-REG-S 0.37500% 16-14.04.26 | 250 000.00 | 262 092.50 | 0.26 |
| EUR	FRANCE, REPUBLIC OF OAT 2.25000% 12-25.10.22 | 460 000.00 | 491 054.60 | 0.49 |
| EUR	FRANCE, REPUBLIC OF-OAT 2.75000% 12-25.10.27 | 350 000.00 | 428 549.10 | 0.43 |
| EUR	FRANCE, REPUBLIC OF-OAT 1.75000% 14-25.11.24 | 400 000.00 | 440 388.00 | 0.44 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 1.00000% 15-25.11.25 | 450 000.00 | 484 586.10 | 0.48 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.25000% 15-25.11.26 | 350 000.00 | 362 488.00 | 0.36 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.75000% 17-25.05.28 | 200 000.00 | 215 116.00 | 0.21 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.75000% 18-25.11.28 | 250 000.00 | 269 345.00 | 0.27 |
| EUR	FRANCE, REPUBLIC OF-OAT-REG-S 0.50000% 19-25.05.29 | 200 000.00 | 211 208.40 | 0.21 |
| EUR	GERMANY, REPUBLIC OF 1.50000% 13-15.05.23 | 400 000.00 | 425 757.60 | 0.43 |
| EUR	GERMANY, REPUBLIC OF 1.00000% 14-15.08.24 | 400 000.00 | 428 272.80 | 0.43 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.25000% 17-15.02.27 | 150 000.00 | 158 740.50 | 0.16 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.50000% 17-15.08.27 | 200 000.00 | 215 860.00 | 0.22 |
| EUR	GERMANY, REPUBLIC OF-REG-S 0.50000% 18-15.02.28 | 100 000.00 | 108 322.00 | 0.11 |
| EUR	GERMANY, REPUBLIC OF 4.75000% 98-04.07.28 | 100 000.00 | 143 311.80 | 0.14 |
| EUR	GERMANY, REPUBLIC OF 5.50000% 00-04.01.31 | 400 000.00 | 656 119.20 | 0.66 |
| EUR	JOHNSON & JOHNSON 0.65000% 16-20.05.24 | 300 000.00 | 308 124.60 | 0.31 |
| EUR	KREDITANSTALT FUER WIEDERAUFBAU 0.25000% 18-15.09.25 | 200 000.00 | 206 956.40 | 0.21 |
| EUR	NETHERLANDS, KINGDOM OF THE 3.75000% 06-15.01.23 | 300 000.00 | 334 582.80 | 0.33 |
| EUR	NETHERLANDS, KINGDOM OF THE 3.25000% 11-15.07.21 | 100 000.00 | 104 257.00 | 0.10 |
| EUR	NETHERLANDS, KINGDOM OF THE 2.00000% 14-15.07.24 | 300 000.00 | 332 206.56 | 0.33 |
| EUR	NORDRHEIN-WESTFALEN, STATE OF 4.37500% 07-29.04.22 | 280 000.00 | 304 892.00 | 0.30 |
| EUR	RABOBANK NEDERLAND NV-REG-S 0.25000% 19-30.10.26 | 300 000.00 | 291 858.00 | 0.29 |
| EUR	SKANDINAVISKA ENSKILDA BANKEN AB-REG-S 0.37500% 19-09.02.26 | 150 000.00 | 154 042.50 | 0.15 |
| EUR	SPAIN, KINGDOM OF 0.05000% 17-31.01.21 | 470 000.00 | 471 438.20 | 0.47 |
| EUR	SPAIN, KINGDOM OF-144A-REG-S 1.45000% 19-30.04.29 | 300 000.00 | 327 155.40 | 0.33 |
| EUR	STADSHYPOTEK AB-REG-S 0.50000% 18-11.07.25 | 300 000.00 | 309 934.74 | 0.31 |
| Total EUR |  | 10 465 343.52 | 10.46 |
| Total Anleihen, fester Zins |  | 10 465 343.52 | 10.46 |

UBS (Lux) Strategy SICAV – 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 | 200 000.00 | 202 114.80 | 0.20 |
| EUR | FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 17-25.03.23 | 300 000.00 | 304 552.80 | 0.31 |
| EUR | FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 18-25.03.24 | 200 000.00 | 203 932.00 | 0.20 |
| EUR | FRANCE, REPUBLIC OF-OAT-REG-S 0.00000% 19-25.03.25 | 250 000.00 | 255 324.00 | 0.26 |
| EUR | GERMANY, REPUBLIC OF-REG-S 0.00000% 16-15.08.26 | 250 000.00 | 259 784.50 | 0.26 |
| EUR | GERMANY, REPUBLIC OF-REG-S 0.00000% 19-15.08.29 | 300 000.00 | 313 599.60 | 0.31 |
| EUR | GERMANY, REPUBLIC OF-REG-S 0.00000% 17-08.04.22 | 100 000.00 | 101 187.75 | 0.10 |
| EUR | TORONTO DOMINION BANK-REG-S 0.00000% 19-09.02.24 | 280 000.00 | 280 911.12 | 0.28 |
| Total EUR |  |  | 1 921 406.57 | 1.92 |
| Total Anleihen, Nullcoupon |  | 1 921 406.57 | 1.92 |
| Anleihen, variabler Zins |  |  |  |
| EUR |  |  |  |
| EUR	UBS GROUP AG-REG-S 1.250%/VAR 18-17.04.25 | 200 000.00 | 202 924.00 | 0.20 |
| Total EUR |  | 202 924.00 | 0.20 |
| Total Anleihen, variabler Zins |  | 202 924.00 | 0.20 |
| Treasury-Notes, fester Zins |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 5.37500% 01-15.02.31 | 383 000.00 | 513 434.44 | 0.51 |
| USD	AMERICA, UNITED STATES OF 4.37500% 08-15.02.38 | 940 000.00 | 1 314 824.02 | 1.31 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.08.27 | 1 670 000.00 | 1 687 994.75 | 1.69 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.11.27 | 1 355 000.00 | 1 373 312.08 | 1.37 |
| USD	AMERICA, UNITED STATES OF 2.75000% 14-15.02.24 | 400 000.00 | 392 974.34 | 0.39 |
| USD	AMERICA, UNITED STATES OF 2.62500% 10-15.11.20 | 105 000.00 | 95 438.24 | 0.10 |
| USD	AMERICA, UNITED STATES OF 1.12500% 16-31.07.21 | 600 000.00 | 545 213.93 | 0.54 |
| USD	AMERICA, UNITED STATES OF 1.75000% 12-15.05.22 | 420 000.00 | 389 201.33 | 0.39 |
| USD	AMERICA, UNITED STATES OF 1.37500% 16-30.09.23 | 420 000.00 | 392 195.43 | 0.39 |
| USD	AMERICA, UNITED STATES OF 1.75000% 13-15.05.23 | 3 000 000.00 | 2 820 464.42 | 2.82 |
| USD	AMERICA, UNITED STATES OF 2.12500% 15-15.05.25 | 1 740 000.00 | 1 702 655.73 | 1.70 |
| Total USD |  | 11 227 708.71 | 11.21 |
| Total Treasury-Notes, fester Zins |  | 11 227 708.71 | 11.21 |
| Treasury-Notes, variabler Zins |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 3.875%/CPI LINKED 99-15.04.29 | 90 000.00 | 175 904.69 | 0.18 |
| USD	AMERICA, UNITED STATES OF 2.375%/CPI LINKED 04-15.01.25 | 130 000.00 | 181 145.73 | 0.18 |
| USD	AMERICA, UNITED STATES OF 0.625%/CPI LINKED 16-15.01.26 | 370 000.00 | 383 897.82 | 0.38 |
| USD	AMERICA, UNITED STATES OF 1.125%/CPI LINKED 11-15.01.21 | 170 000.00 | 180 286.83 | 0.18 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 17-15.01.27 | 180 000.00 | 182 928.35 | 0.18 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI INDEX 13-15.07.23 | 180 000.00 | 184 203.90 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 15-15.07.25 | 185 000.00 | 189 645.54 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.750%/CPI LINKED 18-15.07.28 | 110 000.00 | 112 445.23 | 0.11 |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 20-15.01.30 | 180 000.00 | 171 974.77 | 0.17 |
| Total USD |  | 1 762 432.86 | 1.76 |
| Total Treasury-Notes, variabler Zins | 1 762 432.86 | 1.76 |
| Total Wertpapiere und Geldmarktinstrumente, die an einer offiziellen Börse gehandelt werden | 32 576 307.05 | 32.53 |
| 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	180 000.00 | 183 532.96 | 0.18 |
| Total USD | 183 532.96 | 0.18 |
| Total Treasury-Notes, variabler Zins | 183 532.96 | 0.18 |
| Total Wertpapiere und Geldmarktinstrumente, die an einem anderen geregelten Markt gehandelt werden | 183 532.96 | 0.18 |

OGAW/Andere OGA im Sinne des Artikels 41 (1) e) des abgeänderten luxemburgischen Gesetzes vom 17. Dezember 2010
Investment Fonds, open end
| Irland |  |
| --- | --- |
| USD | SOURCE MARKETS PLC - MSCI USA SOURCE ETF-A | 9 397.00 | 693 528.76 | 0.69 |
| USD | UBS ETFS PLC - MSCI USA TRN INDEX SF (USD) A-ACC | 9 360.00 | 693 869.38 | 0.70 |
| Total Irland |  | 1 387 398.14 | 1.39 |
| Luxemburg |  |  |  |
| EUR	UBS (LUX) BOND FUND - EURO HIGH YIELD (EUR) I-X-ACC | 16 133.00 | 2 016 625.00 | 2.01 |
| EUR	UBS (LUX) BOND SICAV - EUR CORPORATES (EUR) U-X-ACC | 1 255.00 | 15 107 690.00 | 15.08 |
| USD	UBS (LUX) BOND SICAV - USD HIGH YIELD U-X-ACC | 239.00 | 4 106 492.05 | 4.10 |
| USD	UBS (LUX) BOND SICAV - EMERGING ECONOMIES CORP (USD)-I-X-DIS | 34 410.00 | 3 260 806.49 | 3.26 |
| USD	UBS (LUX) BOND SICAV - USD INVEST GRADE CORP USD U X ACC | 1 706.12 | 17 976 207.23 | 17.95 |
| USD	UBS (LUX) EMERGING ECONOMIES FUND-GLOBAL BONDS (USD)-U-X ACC | 490.00 | 5 686 427.20 | 5.68 |
| EUR	UBS (LUX) EQUITY FUND - EURO COUNTRIES OPPORT U-X-ACC | 228.00 | 4 898 906.04 | 4.89 |
| USD	UBS (LUX) EQUITY FUND - GLOBAL SUSTAINABLE (USD) U-X-ACC | 237.00 | 2 195 881.12 | 2.19 |
| USD	UBS (LUX) EQUITY SICAV - GLB EM OPP(USD)-U-X-ACC | 13.00 | 309 656.76 | 0.31 |
| USD	UBS (LUX) EQUITY SICAV-GLOBAL QUANTITATIVE (USD) U-X-ACC | 206.00 | 2 553 666.63 | 2.55 |

UBS (Lux) Strategy SICAV – 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) |  |
|  |  |  |  |  |
| USD | UBS (LUX) EQUITY SICAV - GLOBAL OPPORTUNITY (USD) U-X-ACC | 133.00 | 1 102 899.82 | 1.10 |
| USD | UBS (LUX) INST FUND-KEY SEL. GLOBAL EQUITY FA-USD | 142.00 | 3 037 939.59 | 3.03 |
| USD | UBS (LUX) INSTITUTION SICAV-EQUITIES GLB (EX USA) PASSIVE XA | 9 083.00 | 738 986.38 | 0.74 |
| Total Luxemburg |  | 62 992 184.31 | 62.89 |
| Total Investment Fonds, open end |  | 64 379 582.45 | 64.28 |
| Total OGAW/Andere OGA im Sinne des Artikels 41 (1) e) des abgeänderten luxemburgischen Gesetzes vom 17. Dezember 2010 |  | 64 379 582.45 | 64.28 |
| Derivative Instrumente, die an einer offiziellen Börse gehandelt werden |  |  |  |
| Optionen auf Indizes, klassisch |  |  |  |
| USD |  |  |  |
| USD	S&P 500 INDEX CALL 2600.00000 18.09.20 | 4.00 | 173 578.46 | 0.17 |
| USD	S&P 500 INDEX PUT 2225.00000 18.09.20 | -4.00 | -8 055.02 | -0.01 |
| Total USD |  | 165 523.44 | 0.16 |
| Total Optionen auf Indizes, klassisch |  | 165 523.44 | 0.16 |
| Total Derivative Instrumente, die an einer offiziellen Börse gehandelt werden |  | 165 523.44 | 0.16 |
| Total des Wertpapierbestandes |  | 97 304 945.90 | 97.15 |

| Derivative Instrumente |  |
| --- | --- |
| Derivative Instrumente, die an einer offiziellen Börse gehandelt werden |
| Finanzterminkontrakte auf Anleihen |
|  |  |  |  |
| USD	US 5YR TREASURY NOTE FUTURE 30.09.20 | -7.00 | -1 179.93 | 0.00 |
| Total Finanzterminkontrakte auf Anleihen |  | -1 179.93 | 0.00 |
| Finanzterminkontrakte auf Indizes |  |  |  |
|  |  |  |  |
| EUR	EURO STOXX 50 INDEX FUTURE 19.06.20 | -59.00 | -259 270.86 | -0.26 |
| CHF	SWISS MARKET INDEX FUTURE 19.06.20 | 19.00 | 409 241.83 | 0.41 |
| GBP	FTSE 100 INDEX FUTURE 19.06.20 | 22.00 | 16 480.58 | 0.02 |
| AUD	SPI 200 INDEX FUTURES 18.06.20 | -3.00 | -25 905.43 | -0.03 |
| JPY	NIKKEI 225 (OSE) INDEX FUTURE 11.06.20 | -5.00 | -121 996.98 | -0.12 |
| CAD	S&P/TSX 60 INDEX FUTURE 18.06.20 | -3.00 | -54 699.54 | -0.05 |
| Total Finanzterminkontrakte auf Indizes |  | -36 150.40 | -0.03 |
| Total Derivative Instrumente, die an einer offiziellen Börse gehandelt werden |  | -37 330.33 | -0.03 |

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 | 2 800 000.00 | 32 759.31 | 0.03 |
| --- | --- | --- | --- | --- |
| Total Credit-Default-Swaps | 32 759.31 | 0.03 |
| Total Derivative Instrumente, die nicht an einer offiziellen Börse oder einem anderen geregelten Markt gehandelt werden | 32 759.31 | 0.03 |
| Total Derivative Instrumente | -4 571.02 | 0.00 |
| Devisenterminkontrakte |  |  |
| Devisenterminkontrakte (Kauf/Verkauf) |  |  |

| EUR | 128 670.20 | USD | 140 000.00 | 24.6.2020 | 2 869.63 | 0.00 |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 27 240.46 | NOK | 314 818.15 | 24.6.2020 | -1 868.27 | 0.00 |
| EUR | 301 600.84 | CHF | 317 329.02 | 24.6.2020 | 4 590.16 | 0.01 |
| EUR | 46 927.80 | DKK | 350 000.00 | 24.6.2020 | -29.58 | 0.00 |
| EUR | 443 818.65 | JPY | 51 918 704.00 | 24.6.2020 | 10 642.68 | 0.01 |
| EUR | 200 674.90 | AUD | 344 214.05 | 24.6.2020 | -4 643.72 | 0.00 |
| EUR | 346 192.79 | CAD | 532 662.61 | 24.6.2020 | -99.32 | 0.00 |
| EUR | 70 224.42 | SEK | 767 680.85 | 24.6.2020 | -3 033.38 | 0.00 |
| SGD | 70 000.00 | EUR | 45 118.68 | 24.6.2020 | -613.20 | 0.00 |
| GBP | 634 787.30 | EUR | 721 196.77 | 24.6.2020 | -15 936.25 | -0.02 |
| NZD | 5 000.00 | EUR | 2 754.13 | 24.6.2020 | 27.80 | 0.00 |
| EUR | 71 112.27 | HKD | 600 000.00 | 24.6.2020 | 1 588.19 | 0.00 |
| EUR | 25 857 495.33 | USD | 28 129 076.29 | 24.6.2020 | 581 395.58 | 0.58 |
| EUR | 82 929.90 | USD | 90 000.00 | 24.6.2020 | 2 058.10 | 0.00 |
| EUR | 57 074.57 | CHF | 60 000.00 | 24.6.2020 | 916.33 | 0.00 |
| CHF | 70 000.00 | EUR | 66 565.11 | 24.6.2020 | -1 047.16 | 0.00 |
| USD | 80 000.00 | EUR | 73 924.86 | 24.6.2020 | -2 038.82 | 0.00 |
| EUR | 23 722.41 | CHF | 25 000.00 | 24.6.2020 | 323.14 | 0.00 |
| USD | 250 000.00 | EUR | 230 544.36 | 24.6.2020 | -5 900.48 | -0.01 |
| GBP | 624 785.73 | EUR | 711 978.13 | 22.7.2020 | -18 166.07 | -0.02 |
| EUR | 37 132.28 | AUD | 61 973.63 | 22.7.2020 | 188.67 | 0.00 |
| EUR | 15 146.98 | SEK | 161 304.49 | 22.7.2020 | -240.60 | 0.00 |
| EUR | 46 930.07 | DKK | 350 000.00 | 22.7.2020 | -28.26 | 0.00 |
| EUR | 69 001.89 | HKD | 580 000.00 | 22.7.2020 | 1 884.39 | 0.00 |
| EUR | 65 155.62 | SGD | 100 000.00 | 22.7.2020 | 1 607.88 | 0.00 |
| EUR | 446 861.59 | JPY | 51 998 110.00 | 22.7.2020 | 13 092.28 | 0.01 |
| EUR | 26 515.33 | NOK | 295 137.99 | 22.7.2020 | -762.72 | 0.00 |
| CAD | 18 416.38 | EUR | 12 132.39 | 22.7.2020 | -166.73 | 0.00 |

* Nominal positiv: der Subfonds ist «Receiver», Nominal negativ: der Subfonds ist «Payer».
UBS (Lux) Strategy SICAV – 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) |  |

Devisenterminkontrakte (Fortsetzung)
Devisenterminkontrakte (Kauf/Verkauf)
| EUR | 25 979 904.83 | USD | 28 149 096.98 | 22.7.2020 | 700 966.08 | 0.70 |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 4 291.96 | JPY | 500 000.00 | 24.6.2020 | 120.28 | 0.00 |
| EUR | 4 291.55 | JPY | 500 000.00 | 22.7.2020 | 120.54 | 0.00 |
| AUD | 53 010.74 | EUR | 31 510.44 | 22.7.2020 | 90.23 | 0.00 |
| AUD | 55 000.00 | EUR | 32 711.91 | 24.6.2020 | 94.78 | 0.00 |
| USD | 25 000.00 | EUR | 23 137.01 | 22.7.2020 | -686.08 | 0.00 |
| USD | 25 000.00 | EUR | 23 151.15 | 24.6.2020 | -686.76 | 0.00 |
| USD | 25 000.00 | EUR | 23 039.84 | 22.7.2020 | -588.91 | 0.00 |
| USD | 25 000.00 | EUR | 23 053.86 | 24.6.2020 | -589.47 | 0.00 |
| GBP | 36 000.00 | EUR | 40 341.47 | 24.6.2020 | -344.80 | 0.00 |
| USD | 81 000.00 | EUR | 74 941.92 | 24.6.2020 | -2 157.30 | 0.00 |
| GBP | 34 472.78 | EUR | 38 612.33 | 22.7.2020 | -331.00 | 0.00 |
| USD | 79 044.01 | EUR | 73 088.00 | 22.7.2020 | -2 103.53 | 0.00 |
| EUR | 128 805.66 | USD | 140 000.00 | 22.7.2020 | 3 080.44 | 0.00 |
| EUR | 128 884.68 | USD | 140 000.00 | 24.6.2020 | 3 084.11 | 0.01 |
| EUR | 57 643.18 | GBP | 51 500.00 | 24.6.2020 | 425.72 | 0.00 |
| EUR | 57 616.71 | GBP | 51 500.00 | 22.7.2020 | 426.99 | 0.00 |
| EUR | 68 530.48 | USD | 75 000.00 | 22.7.2020 | 1 177.68 | 0.00 |
| EUR | 68 572.22 | USD | 75 000.00 | 24.6.2020 | 1 179.05 | 0.00 |
| USD | 100 000.00 | EUR | 91 070.62 | 24.6.2020 | -1 213.07 | 0.00 |
| USD | 100 000.00 | EUR | 91 016.74 | 22.7.2020 | -1 213.01 | 0.00 |
| EUR | 4 265.69 | JPY | 500 000.00 | 24.6.2020 | 94.01 | 0.00 |
| EUR | 4 265.18 | JPY | 500 000.00 | 22.7.2020 | 94.17 | 0.00 |
| GBP | 935 000.00 | EUR | 1 044 681.77 | 24.6.2020 | -5 879.34 | -0.01 |
| GBP | 934 000.00 | EUR | 1 043 086.63 | 22.7.2020 | -5 898.31 | -0.01 |
| EUR | 558 938.97 | USD | 610 000.00 | 22.7.2020 | 11 136.22 | 0.01 |
| EUR | 559 276.78 | USD | 610 000.00 | 24.6.2020 | 11 145.70 | 0.01 |
| USD | 85 000.00 | EUR | 77 531.90 | 24.6.2020 | -1 152.98 | 0.00 |
| USD | 85 000.00 | EUR | 77 485.74 | 22.7.2020 | -1 152.57 | 0.00 |
| EUR | 52 185.45 | GBP | 46 500.00 | 22.7.2020 | 548.13 | 0.00 |
| EUR | 52 210.00 | GBP | 46 500.00 | 24.6.2020 | 547.63 | 0.00 |
| USD | 70 000.00 | EUR | 63 826.68 | 22.7.2020 | -964.07 | 0.00 |
| USD | 70 000.00 | EUR | 63 864.59 | 24.6.2020 | -964.30 | 0.00 |
| USD | 80 000.00 | EUR | 72 321.61 | 22.7.2020 | -478.63 | 0.00 |
| USD | 80 000.00 | EUR | 72 365.45 | 24.6.2020 | -479.41 | 0.00 |
| EUR | 5 982.84 | AUD | 10 000.00 | 24.6.2020 | 17.99 | 0.00 |
| EUR | 5 979.13 | AUD | 10 000.00 | 22.7.2020 | 17.95 | 0.00 |
| USD | 210 000.00 | EUR | 188 467.07 | 24.6.2020 | 233.79 | 0.00 |
| USD | 192 781.67 | EUR | 172 908.75 | 22.7.2020 | 216.38 | 0.00 |
| Total Devisenterminkontrakte (Kauf/Verkauf) | 1 274 544.60 | 1.27 |
|  |  |  |
| Bankguthaben, Sicht- und Fristgelder und andere liquide Mittel | 1 562 576.93 | 1.56 |
| Kontokorrentkredit und andere kurzfristige Verbindlichkeiten | -1 078.39 | 0.00 |
| Andere Aktiva und Passiva | 21 940.38 | 0.02 |
| Total des Nettovermögens | 100 158 358.40 | 100.00 |

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