# Unaudited Information
|  | UBS (Lux) Strategy SICAV – Income (EUR) | UBS (Lux) Strategy SICAV – Income (USD) | UBS (Lux) Strategy SICAV – Systematic Allocation Portfolio Defensive (USD) | UBS (Lux) Strategy SICAV – Systematic Allocation Portfolio Dynamic (USD) | UBS (Lux) Strategy SICAV – Systematic Allocation Portfolio Medium (USD) |
| --- | --- | --- | --- | --- | --- |
| French Republic | 3 570 965.63 | 1 732 492.66 | 21 200 372.58 | 10 019 259.21 | 34 278 027.85 |
| United Kingdom | 3 484 314.60 | 1 690 452.97 | 20 685 936.37 | 9 776 137.55 | 33 446 256.69 |
| Japan Government Ten | 1 064 483.03 | 516 445.47 | 6 319 701.50 | 2 986 679.94 | 10 218 070.61 |
| Federal Republic of Germany | 1 035 500.69 | 502 384.38 | 6 147 637.00 | 2 905 362.55 | 9 939 866.45 |
| United States | 851 869.79 | 413 293.86 | 5 057 443.54 | 2 390 139.02 | 8 177 176.59 |
| Amazon.Com Inc | 325 838.25 | 158 083.96 | 1 934 460.58 | 914 222.70 | 3 127 751.33 |
| State of North Rhine-Westphalia Germany | 308 166.70 | 149 510.42 | 1 829 546.86 | 864 640.67 | 2 958 120.57 |
| Alphabet Inc | 168 714.18 | 81 853.51 | 1 001 634.83 | 473 370.88 | 1 619 502.98 |
| Barclays Bank Plc | 144 430.95 | 70 072.24 | 857 468.31 | 405 238.03 | 1 386 405.95 |
| Netherlands Government Bond | 138 947.52 | 67 411.89 | 824 913.91 | 389 852.88 | 1 333 770.05 |

|  | UBS (Lux) Strategy SICAV – Systematic Allocation |  |
| --- | --- | --- |
| Portfolio Medium Classic | UBS (Lux) Strategy SICAV | UBS (Lux) Strategy SICAV |
| (USD) | – Xtra Balanced (EUR) | – Xtra Yield (EUR) |
| French Republic | 510 801.02 | 360 603.91 | 1 877 510.96 |
| United Kingdom | 498 406.22 | 351 853.70 | 1 831 952.34 |
| Japan Government Ten | 152 266.66 | 107 493.82 | 559 674.54 |
| Federal Republic of Germany | 148 120.95 | 104 567.12 | 544 436.46 |
| United States | 121 853.86 | 86 023.67 | 447 888.62 |
| Amazon.Com Inc | 46 608.82 | 32 903.86 | 171 316.37 |
| State of North Rhine-Westphalia Germany | 44 081.04 | 31 119.35 | 162 025.18 |
| Alphabet Inc | 24 133.35 | 17 037.13 | 88 705.06 |
| Barclays Bank Plc | 20 659.81 | 14 584.95 | 75 937.63 |
| Netherlands Government Bond | 19 875.45 | 14 031.22 | 73 054.61 |


## The ten largest issuers of SFTs
The counterparty to all securities lending transactions for the subfunds of this company is currently UBS Switzerland AG.

## Safekeeping of collateral received by the Company as part of SFTs
100% held by UBS Switzerland AG.

## Safekeeping of collateral granted by the Company through SFTs
None

## Aggregate transaction data separately broken down for each type of SFTs: Type and quality of collateral:
The information on
- Type of collateral is available in Note 15 “OTC-Derivatives and Securities Lending”.
- Quality of collateral is available in Unaudited Information 3) Collateral – Securities Lending “by Credit Rating (Bonds)”.


## Maturity tenor of collateral
|  | 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) |
| --- | --- | --- | --- | --- | --- |
| Up to 1 day | - | - | - | - | - |
| 1 day to 1 week | 238.54 | 5.62 | 35.05 | 44.17 | 38.88 |
| 1 week to 1 month | 1 177.52 | 27.76 | 173.03 | 218.04 | 191.94 |
| 1 month to 3 months | 870 529.12 | 20 520.88 | 127 921.94 | 161 197.89 | 141 896.91 |
| 3 months to 1 year | 1 940 494.65 | 45 743.04 | 285 150.53 | 359 325.89 | 316 302.10 |
| Above 1 year | 43 281 051.49 | 1 020 258.88 | 6 360 035.37 | 8 014 452.57 | 7 054 844.27 |
| Unlimited | 15 396 405.72 | 362 937.57 | 2 262 460.86 | 2 850 988.12 | 2 509 625.83 |

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