# Unaudited Information
- 
## Securities Financing Transaction Regulation (SFTR)
- The Company engages in Securities Financing Transactions (hereafter “SFT”) (as defined in Article 3 of Regula- tion (EU) 2015/2365). Securities Financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions through its exposure on reverse repurchase agreements during the year. In accordance with Article 13 of the Regulation, information on securities lendings are detailed below:


## Global Data
The following table details the value of securities lending as a proportion of the subfund’s Net Assets Value as well as a proportion of the total lendable securities, as at 31 May 2020.
| UBS (Lux) Strategy SICAV | Securities lent in % of Net Assets | Securities lent in % of Total Lendable Securities |
| --- | --- | --- |
| – Dynamic Income (USD) | 11.88% | 12.42% |
| – Fixed Income (CHF) | 3.98% | 4.05% |
| – Fixed Income (EUR) | 16.57% | 16.89% |
| – Fixed Income (USD) | 10.26% | 10.71% |
| – Income (CHF) | 11.51% | 11.98% |
| – Income (EUR) | 17.07% | 17.58% |
| – Income (USD) | 6.65% | 6.98% |
| – Systematic Allocation Portfolio Defensive (USD) | 9.32% | 10.28% |
| – Systematic Allocation Portfolio Dynamic (USD) | 9.79% | 10.85% |
| – Systematic Allocation Portfolio Medium (USD) | 8.16% | 8.83% |
| – Systematic Allocation Portfolio Medium Classic (USD) | 5.79% | 6.14% |
| – Xtra Balanced (EUR) | 4.74% | 5.32% |
| – Xtra Yield (EUR) | 7.94% | 8.92% |

The total amount (absolute value) of the securities lent is disclosed in Note 15 – OTC-Derivatives and Securities Lending.

## Data on collateral reused
Amount of collateral reused, compared with the maximum amount disclosed to investors: None Cash collateral reinvestment income to the Company: None

## Concentration Data
Ten largest collateral issuers of SFTs per subfund:
|  | UBS (Lux) Strategy SICAV – Dynamic Income (USD) | UBS (Lux) Strategy SICAV – Fixed Income (CHF) | UBS (Lux) Strategy SICAV – Fixed Income (EUR) | UBS (Lux) Strategy SICAV – Fixed Income (USD) | UBS (Lux) Strategy SICAV – Income (CHF) |
| --- | --- | --- | --- | --- | --- |
| French Republic | 12 130 413.83 | 285 948.75 | 1 782 532.04 | 2 246 216.83 | 1 977 266.67 |
| United Kingdom | 11 836 064.10 | 279 010.08 | 1 739 278.13 | 2 191 711.41 | 1 929 287.44 |
| Japan Government Ten | 3 616 002.23 | 85 239.57 | 531 361.91 | 669 583.51 | 589 411.11 |
| Federal Republic of Germany | 3 517 550.49 | 82 918.78 | 516 894.69 | 651 352.97 | 573 363.40 |
| United States | 2 893 764.38 | 68 214.35 | 425 230.98 | 535 845.05 | 471 685.79 |
| Amazon.Com Inc | 1 106 858.25 | 26 091.83 | 162 649.88 | 204 959.51 | 180 418.74 |
| State of North Rhine-Westphalia Germany | 1 046 828.80 | 24 676.77 | 153 828.71 | 193 843.71 | 170 633.89 |
| Alphabet Inc | 573 114.69 | 13 509.96 | 84 217.68 | 106 124.98 | 93 418.13 |
| Barclays Bank Plc | 490 625.60 | 11 565.46 | 72 096.13 | 90 850.28 | 79 972.34 |
| Netherlands Government Bond | 471 998.64 | 11 126.37 | 69 358.94 | 87 401.08 | 76 936.14 |

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

Translation (ENDE, 2020-05-31):
# Ungeprüfle Informationen
- 
## Gesamtengagement

Risikomanagement
Das Risikomanagement gemäss Verpflichtungsansatz und Value-at-Risk-Ansatz erfolgt entsprechend den geltenden Gesetzen und aufsichtsbehördlichen Bestimmungen.
Hebelwirkung
Die Hebelwirkung wird gemäss den geltenden ESMA-Richtlinien als Gesamtbetrag der Nominalwerte der Derivative definiert, die vom jeweiligen Subfonds verwendet werden. Gemäss dieser Definition kann die Hebelwirkung zu einer künstlich erhöhten Fremdkapitalquote führen, da bestimmte Derivate, die zu Absicherungszwecken eingesetzt wer- den können, unter Umständen in die Berechnung einfliessen. Daher spiegeln diese Informationen nicht notwendiger- weise das genaue tatsächliche Risiko der Hebelwirkung wider, dem der Anleger ausgesetzt ist.
Subfonds		Berechnungs-	Verwendetes		Min		Max		Avg Durchschnitt-			Bezugs- methode für das		Modell	VaR (%)	VaR (%)	VaR (%)	licher Hebel		portfolio globale Risiko			Auslastung Auslastung Auslastung 31.5.2020 (%)	(Benchmark)
| – Dynamic Income (USD) | Relativer VaR Ansatz | Historischer VaR | 34.20% | 59.00% | 44.11% | 30.25% | Das Referenzportfolio |
| --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  | reflektiert die |
|  |  |  |  |  |  |  | Eigenschaften |
|  |  |  |  |  |  |  | eines breit |
|  |  |  |  |  |  |  | gefächerten |
|  |  |  |  |  |  |  | Portfolios |
|  |  |  |  |  |  |  | bestehend aus |
|  |  |  |  |  |  |  | weltweiten Aktien |
|  |  |  |  |  |  |  | und festverzinslichen |
|  |  |  |  |  |  |  | Wertpapieren. |
| – Fixed Income (CHF) | Commitment-Ansatz |  |  |  |  |  |  |
| – Fixed Income (EUR) | Commitment-Ansatz |  |  |  |  |  |  |
| – Fixed Income (USD) | Commitment-Ansatz |  |  |  |  |  |  |
| – Income (CHF) | Commitment-Ansatz |  |  |  |  |  |  |
| – Income (EUR) | Commitment-Ansatz |  |  |  |  |  |  |
| – Income (USD) | Commitment-Ansatz |  |  |  |  |  |  |
| – Systematic Allocation |  |  |  |  |  |  |  |
| Portfolio Defensive (USD) | Relativer VaR Ansatz | Historischer VaR | 5.86% | 54.70% | 39.03% | 36.89% | Das Referenzportfolio |
|  |  |  |  |  |  |  | reflektiert die |
|  |  |  |  |  |  |  | Eigenschaften eines |
|  |  |  |  |  |  |  | breit gefächerten |
|  |  |  |  |  |  |  | Portfolios bestehend |
|  |  |  |  |  |  |  | aus weltweiten |
|  |  |  |  |  |  |  | Aktien und Anleihen in |
|  |  |  |  |  |  |  | variablem Verhältnis, |
|  |  |  |  |  |  |  | wobei der Anteil an |
|  |  |  |  |  |  |  | Anleihen üblicherweise |
|  |  |  |  |  |  |  | überwiegt. |
| – Systematic Allocation |  |  |  |  |  |  |  |
| Portfolio Dynamic (USD) | Relativer VaR Ansatz | Historischer VaR | 10.39% | 53.75% | 37.40% | 68.10% | Das Referenzportfolio |
|  | reflektiert die |
| Eigenschaften eines |
| breit gefächerten |
| Portfolios bestehend |
| aus weltweiten |
| Aktien und Anleihen |
| in variablem |
| Verhältnis, wobei der |
| Anteil an Aktien |
| üblicherweise höher ist als |
| beim Subfonds |
| Systematic Allocation |
| Portfolio Medium (USD). |

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