# UBS (Lux) Strategy SICAV – Income (CHF)
| Three-year comparison |  |
| --- | --- |
|  | ISIN | 31.5.2020 | 31.5.2019 | 31.5.2018 |
| Net assets in CHF |  | 82 257 623.49 | 102 171 516.65 | 131 864 793.04 |
| Class P-acc | LU0994951381 |  |  |  |
| Shares outstanding |  | 451 753.2550 | 527 042.0760 | 655 677.0710 |
| Net asset value per share in CHF |  | 101.73 | 104.38 | 104.79 |
| Issue and redemption price per share in CHF 1 |  | 101.73 | 104.38 | 104.67 |
| Class P-dist | LU0994669108 |  |  |  |
| Shares outstanding |  | 309 841.5230 | 394 930.3790 | 536 076.2700 |
| Net asset value per share in CHF |  | 96.52 | 100.21 | 101.43 |
| Issue and redemption price per share in CHF 1 |  | 96.52 | 100.21 | 101.32 |
| Class Q-acc | LU1240800968 |  |  |  |
| Shares outstanding |  | 35 216.8830 | 42 301.7850 | 46 670.7960 |
| Net asset value per share in CHF |  | 101.37 | 103.44 | 103.27 |
| Issue and redemption price per share in CHF 1 |  | 101.37 | 103.44 | 103.16 |
| Class Q-dist | LU1240801008 |  |  |  |
| Shares outstanding |  | 29 581.3760 | 32 372.9400 | 39 508.4240 |
| Net asset value per share in CHF |  | 95.47 | 99.12 | 100.34 |
| Issue and redemption price per share in CHF 1 |  | 95.47 | 99.12 | 100.23 |
| 1  See note 1 |  |  |  |  |
| Performance |  |  |  |  |
|  | Currency | 2019/2020 | 2018/2019 | 2017/2018 |
| Class P-acc | CHF | -2.5% | -0.3% | -1.5% |
| Class P-dist | CHF | -2.5% | -0.3% | -1.5% |
| Class Q-acc | CHF | -2.0% | 0.3% | -1.0% |
| Class Q-dist | CHF | -2.0% | 0.3% | -1.0% |

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 (CHF)
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	62.79
| United States | 14.12 |
| --- | --- |
| Switzerland | 6.38 |
| South Korea | 1.51 |
| Ireland | 1.50 |
| Supranationals | 1.33 |
| United Kingdom | 1.21 |
| Australia | 1.14 |
| Germany | 1.03 |
| Canada | 0.92 |
| Austria | 0.52 |
| The Netherlands | 0.51 |
| Spain | 0.46 |
| Mexico | 0.44 |
| France | 0.44 |
| United Arab Emirates | 0.39 |
| Finland | 0.25 |
| Norway | 0.24 |
| Denmark | 0.24 |
| Bermuda | 0.24 |
| Cayman Islands | 0.23 |
| New Zealand | 0.19 |
| Honduras | 0.18 |
| Chile | 0.12 |
| Philippines | 0.10 |
| Total | 96.48 |

Economic Breakdown as a % of net assets	
| Investment funds | 63.74 |
| --- | --- |
| Countries & central governments | 12.93 |
| Banks & credit institutions | 9.97 |
| Finance & holding companies | 2.64 |
| Supranational organisations | 2.06 |
| Mortgage & funding institutions | 1.82 |
| Petroleum | 0.87 |
| Cantons, federal states | 0.62 |
| Cities & municipal authorities | 0.47 |
| Miscellaneous services | 0.34 |
| Food & soft drinks | 0.30 |
| Insurance | 0.18 |
| Public, non-profit institutions | 0.14 |
| Retail trade, department stores | 0.12 |
| Telecommunications | 0.12 |
| Traffic & transportation | 0.10 |
| Computer hardware & network equipment providers | 0.06 |
| Total | 96.48 |

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

## Statement of Net Assets
Assets	31.5.2020
CHF
Investments in securities, cost	75 861 330.44
| Investments in securities, unrealized appreciation (depreciation) | 	3 497 635.20	 |
| --- | --- |
| Total investments in securities (Note 1) | 79 358 965.64 |
| Cash at banks, deposits on demand and deposit accounts | 1 842 636.75 |
| Other liquid assets (Margins) | 1 229 777.68 |
| Receivable on securities sales (Note 1) | 1 681.30 |
| Receivable on subscriptions | 12 758.48 |
| Interest receivable on securities | 96 122.06 |
| Other receivables | 33 518.53 |
| Interest receivable on liquid assets | 185.00 |
| Unrealized gain (loss) on financial futures (Note 1) | -307 700.40 |
| Unrealized gain (loss) on forward foreign exchange contracts (Note 1) | 235 026.91 |
| Unrealized gain (loss) on swaps (Note 1) | 31 256.91 |
| Total Assets | 82 534 228.86 |
|  |  |
| Liabilities |  |
| Bank overdraft | -41.09 |
| Interest payable on bank overdraft | -63.57 |
| Payable on securities purchases (Note 1) | -200 050.00 |
| Payable on redemptions | -15 953.42 |
| Provisions for flat fee (Note 2) | -39 037.00 |
| Provisions for taxe d’abonnement (Note 3) | -2 517.44 |
| Provisions for other commissions and fees (Note 2) | 	-18 942.85	 |
| Total provisions | -60 497.29 |
| Total Liabilities | -276 605.37 |
|  |  |
| Net assets at the end of the financial year | 82 257 623.49 |
| Statement of Operations | CHF |
| Income | 1.6.2019-31.5.2020 |
| Interest on liquid assets | 6 400.12 |
| Interest on securities | 499 294.77 |
| Interest received on swaps (Note 1) | 20 330.85 |
| Dividends | 108 359.00 |
| Income on securities lending (Note 15) | 19 127.85 |
| Other income (Note 4) | 27 530.12 |
| Total income | 681 042.71 |
|  |  |
| Expenses |  |
| Interest paid on swaps (Note 1) | -2 155.44 |
| Cost on securities lending (Note 15) | -7 651.14 |
| Flat fee (Note 2) | -1 174 004.08 |
| Taxe d’abonnement (Note 3) | -19 388.60 |
| Other commissions and fees (Note 2) | -19 228.69 |
| Interest on cash and bank overdraft | -5 846.04 |
| Total expenses | -1 228 273.99 |
|  |  |
| Net income (loss) on investments | -547 231.28 |
|  |  |
| Realized gain (loss) (Note 1) |  |
| Realized gain (loss) on market-priced securities without options | 4 065 994.61 |
| Realized gain (loss) on options | 64 766.87 |
| Realized gain (loss) on yield-evaluated securities and money market instruments | -11 287.18 |
| Realized gain (loss) on financial futures | -989 122.62 |
| Realized gain (loss) on forward foreign exchange contracts | 1 220 069.84 |
| Realized gain (loss) on swaps | 83 028.47 |
| Realized gain (loss) on foreign exchange | -1 005 341.92 |
| Total realized gain (loss) | 3 428 108.07 |
|  |  |
| Net realized gain (loss) of the financial year | 2 880 876.79 |
|  |  |
| Changes in unrealized appreciation (depreciation) (Note 1) |  |
| Unrealized appreciation (depreciation) on market-priced securities without options | -5 129 723.60 |
| Unrealized appreciation (depreciation) on options | 183 924.92 |
| Unrealized appreciation (depreciation) on yield-evaluated securities and money market instruments | 4 493.34 |
| Unrealized appreciation (depreciation) on financial futures | -471 835.81 |
| Unrealized appreciation (depreciation) on forward foreign exchange contracts | 428 558.13 |
| Unrealized appreciation (depreciation) on swaps | -18 943.45 |
| Total changes in unrealized appreciation (depreciation) | -5 003 526.47 |
|  |  |
| Net increase (decrease) in net assets as a result of operations | -2 122 649.68 |

UBS (Lux) Strategy SICAV – Income (CHF)
Annual report and audited financial statements as of 31 May 2020
| Statement of Changes in Net Assets |  |
| --- | --- |
|  |  | CHF |
|  |  | 1.6.2019-31.5.2020 |
| Net assets at the beginning of the financial year |  | 102 171 516.65 |
| Subscriptions |  | 2 868 450.37 |
| Redemptions |  | 	-20 143 845.58	 |
| Total net subscriptions (redemptions) |  | -17 275 395.21 |
| Dividend paid |  | -515 848.27 |
| Net income (loss) on investments |  | -547 231.28 |
| Total realized gain (loss) |  | 3 428 108.07 |
| Total changes in unrealized appreciation (depreciation) |  | 	-5 003 526.47	 |
| Net increase (decrease) in net assets as a result of operations |  | -2 122 649.68 |
| Net assets at the end of the financial year |  | 82 257 623.49 |
| 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 |  | 527 042.0760 |
| Number of shares issued |  | 15 584.2630 |
| Number of shares redeemed |  | -90 873.0840 |
| Number of shares outstanding at the end of the financial year |  | 451 753.2550 |
| Class |  | P-dist |
| Number of shares outstanding at the beginning of the financial year |  | 394 930.3790 |
| Number of shares issued |  | 11 855.6200 |
| Number of shares redeemed |  | -96 944.4760 |
| Number of shares outstanding at the end of the financial year |  | 309 841.5230 |
| Class |  | Q-acc |
| Number of shares outstanding at the beginning of the financial year |  | 42 301.7850 |
| Number of shares issued |  | 671.2770 |
| Number of shares redeemed |  | -7 756.1790 |
| Number of shares outstanding at the end of the financial year |  | 35 216.8830 |
| Class |  | Q-dist |
| Number of shares outstanding at the beginning of the financial year |  | 32 372.9400 |
| Number of shares issued |  | 254.3490 |
| Number of shares redeemed |  | -3 045.9130 |
| Number of shares outstanding at the end of the financial year |  | 29 581.3760 |
| Annual Distribution 1 |  |  |
| UBS (Lux) Strategy SICAV – Income (CHF)	Ex-Date | Pay-Date | Currency	Amount per share |
| P-dist	1.8.2019 | 6.8.2019 | CHF	1.20 |
| Q-dist	1.8.2019 | 6.8.2019 | CHF	1.73 |
| 1  See note 5 |  |  |

UBS (Lux) Strategy SICAV – Income (CHF) 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 CHF | 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, zero coupon |  |  |  |
| CHF |  |  |  |
| CHF	CREDIT SUISSE SCHWEIZ AG-REG-S 0.00000% 20-31.07.25 | 250 000.00 | 251 625.00 | 0.31 |
| Total CHF |  | 251 625.00 | 0.31 |
| Total Notes, zero coupon |  | 251 625.00 | 0.31 |
| Medium term notes, fixed rate |  |  |  |
| CHF |  |  |  |
| CHF	ADCB FINANCE CAYMAN LTD-REG-S 0.37500% 18-23.01.23 | 150 000.00 | 145 650.00 | 0.18 |
| CHF	ADCB FINANCE CAYMAN LTD 0.72500% 18-15.02.24 | 50 000.00 | 46 369.00 | 0.06 |
| CHF	AMP GROUP FINANCE SERVICES LTD-REG-S 0.80000% 19-18.07.23 | 190 000.00 | 191 425.00 | 0.23 |
| CHF	AMP GROUP FINANCE SERVICES LTD-REG-S 0.20310% 20-03.06.24 | 60 000.00 | 59 280.00 | 0.07 |
| CHF	AUCKLAND COUNCIL 1.12500% 13-07.02.24 | 150 000.00 | 157 800.00 | 0.19 |
| CHF	BANCO DE CREDITO E INVERSIONES-REG-S 0.40000% 19-22.11.24 | 50 000.00 | 47 294.50 | 0.06 |
| CHF	BANCO SANTANDER CHILE-REG-S 0.38400% 19-27.09.24 | 50 000.00 | 48 000.00 | 0.06 |
| CHF	BANK OF MONTREAL-REG-S 0.05000% 18-30.12.22 | 200 000.00 | 199 200.00 | 0.24 |
| CHF	BANK OF NOVA SCOTIA-REG-S 0.20000% 18-19.11.25 | 200 000.00 | 204 200.00 | 0.25 |
| CHF	BASELLANDSCHAFTLICHE KANTONALBANK 0.05000% 20-28.01.31 | 100 000.00 | 98 700.00 | 0.12 |
| CHF	BNP PARIBAS HOME LOAN COVERED BONDS SFH 2.37500% 11-07.10.20 | 50 000.00 | 50 460.00 | 0.06 |
| CHF	BNZ INTERNATIONAL FUND LTD/LONDON-REG-S 0.11100% 20-24.07.28 | 100 000.00 | 97 400.00 | 0.12 |
| CHF	CBQ FINANCE LTD-REG-S 0.69700% 18-22.03.21 | 200 000.00 | 197 875.00 | 0.24 |
| CHF	CENTRAL AMERICAN BK ECO INTEGRAT 0.19400% 15-19.11.21 | 300 000.00 | 298 800.00 | 0.36 |
| CHF	CENTRAL AMERICAN BK ECO INTEGRAT-REG-S 0.20000% 19-25.03.24 | 150 000.00 | 147 525.00 | 0.18 |
| CHF	CITIGROUP INC-REG-S 0.50000% 19-01.11.28 | 100 000.00 | 97 100.00 | 0.12 |
| CHF	COMMONWEALTH BANK OF AUSTRALIA 1.50000% 14-07.02.22 | 140 000.00 | 142 940.00 | 0.17 |
| CHF	CORP ANDINA DE FOMENTO 1.37500% 13-11.02.21 | 250 000.00 | 251 225.00 | 0.31 |
| CHF	CORPORACION ANDINA DE FOMENTO 0.50000% 15-26.02.26 | 350 000.00 | 342 475.00 | 0.42 |
| CHF	CREDIT AGRICOLE HOME LOAN SFH SA-REG-S 0.25000% 18-08.12.25 | 200 000.00 | 205 200.00 | 0.25 |
| CHF	CREDIT AGRICOLE HOME LOAN SFH SA-REG-S 0.50000% 18-03.10.28 | 100 000.00 | 104 050.00 | 0.13 |
| CHF	CREDIT SUISSE LONDON BRANCH-REG-S 1.00000% 14-24.09.21 | 300 000.00 | 303 360.00 | 0.37 |
| CHF	DANSKE BANK AS-REG-S 0.62500% 19-24.11.22 | 200 000.00 | 198 100.00 | 0.24 |
| CHF	DEUTSCHE BAHN FINANCE BV 1.37500% 13-24.07.23 | 50 000.00 | 52 550.00 | 0.06 |
| CHF	DEUTSCHE BAHN FINANCE GMBH-REG-S 0.50000% 18-18.07.28 | 200 000.00 | 206 480.00 | 0.25 |
| CHF	DNB BANK ASA-REG-S 0.05000% 19-13.03.24 | 200 000.00 | 200 000.00 | 0.24 |
| CHF	DVB BANK SE 0.57500% 15-17.06.22 | 150 000.00 | 142 275.00 | 0.17 |
| CHF	EXPORT-IMPORT BANK OF KOREA-REG-S 0.25300% 18-06.03.23 | 300 000.00 | 299 250.00 | 0.36 |
| CHF	EXPORT-IMPORT BANK OF KOREA-REG-S 0.38250% 18-11.07.24 | 120 000.00 | 120 000.00 | 0.15 |
| CHF	FIRST ABU DHABI BANK PJSC-REG-S 0.07000% 19-18.10.27 | 250 000.00 | 225 250.00 | 0.27 |
| CHF	FIRST ABU DHABI BANK PJSC-REG-S 0.20500% 19-04.12.25 | 100 000.00 | 96 031.25 | 0.12 |
| CHF	HYPO NOE GRUPPE BANK AG-REG-S 0.10000% 19-27.11.24 | 100 000.00 | 98 050.00 | 0.12 |
| CHF	INSTITUTO DE CREDITO OFICIAL 3.25000% 07-28.06.24 | 100 000.00 | 113 350.00 | 0.14 |
| CHF	JACKSON NATIONAL LIFE GLOBAL FUND-REG-S 0.30000% 18-18.12.23 | 100 000.00 | 100 300.00 | 0.12 |
| CHF	JACKSON NATIONAL LIFE GLOBAL FUND-REG-S 0.12500% 20-14.07.28 | 100 000.00 | 96 450.00 | 0.12 |
| CHF	JPMORGAN CHASE & CO 0.50000% 15-04.12.23 | 50 000.00 | 50 750.00 | 0.06 |
| CHF	KOREA DEVELOPMENT BANK-REG-S 0.44500% 20-08.05.25 | 50 000.00 | 50 575.00 | 0.06 |
| CHF	KOREA NATIONAL OIL CORP-REG-S 0.37300% 18-01.06.23 | 200 000.00 | 200 300.00 | 0.24 |
| CHF	LAFARGEHOLCIM HELVETIA FINANCE-REG-S 1.05000% 20-11.04.22 | 100 000.00 | 100 950.00 | 0.12 |
| CHF	LUZERNER KANTONALBANK-REG-S 0.10000% 18-08.05.24 | 100 000.00 | 100 500.00 | 0.12 |
| CHF	MUENCHENER HYPOTHEKENBANK EG-REG-S 0.00100% 19-19.02.24 | 250 000.00 | 252 375.00 | 0.31 |
| CHF	MUENCHENER HYPOTHEKENBANK EG-REG-S 0.20000% 19-18.06.31 | 100 000.00 | 103 700.00 | 0.13 |
| CHF	MUNICIPALITY FINANCE PLC 0.87500% 13-01.02.23 | 200 000.00 | 207 600.00 | 0.25 |
| CHF	NATIONAL AUSTRALIA BANK LTD 0.25000% 18-13.03.24 | 350 000.00 | 350 350.00 | 0.43 |
| CHF	NATIONAL AUSTRALIA BANK LTD-REG-S 0.06500% 20-29.01.29 | 200 000.00 | 196 800.00 | 0.24 |
| CHF	NATIONWIDE BUILDING SOCIETY-REG-S 0.16750% 19-11.07.31 | 50 000.00 | 50 875.00 | 0.06 |
| CHF	NATWEST MARKETS PLC-REG-S 0.12500% 19-13.09.23 | 200 000.00 | 193 300.00 | 0.24 |
| CHF	NEDERLANDSE WATERSCHAPSBANK NV 1.37500% 12-13.09.27 | 100 000.00 | 111 900.00 | 0.14 |
| CHF	ONTARIO, PROVINCE OF 0.25000% 17-28.06.29 | 100 000.00 | 102 200.00 | 0.12 |
| CHF	PETROLEOS MEXICANOS 1.50000% 15-08.12.20 | 370 000.00 | 363 710.00 | 0.44 |
| CHF	PFANDBRIEFBK SCHWEIZERISCHER HYPO INST 0.25000% 17-12.10.27 | 200 000.00 | 204 720.00 | 0.25 |
| CHF	PFANDBRIEFBK SCHWEIZER HYPO INST-REG-S 0.12500% 19-08.05.29 | 125 000.00 | 126 537.50 | 0.15 |
| CHF	RABOBANK NEDERLAND NV 2.00000% 10-16.09.21 | 150 000.00 | 153 975.00 | 0.19 |
| CHF	ROYAL BANK OF CANADA-REG-S 0.10000% 18-18.07.23 | 50 000.00 | 49 700.00 | 0.06 |
| CHF	SANTANDER CONSUMER FINANCE SA-REG-S 0.15000% 19-10.12.24 | 75 000.00 | 74 625.00 | 0.09 |
| CHF	SHELL INTERNATIONAL FINANCE BV 0.37500% 15-21.08.23 | 100 000.00 | 100 500.00 | 0.12 |
| CHF	UBS GROUP AG-REG-S 0.87500% 19-30.01.25 | 200 000.00 | 202 500.00 | 0.25 |
| CHF	VERIZON COMMUNICATIONS INC-REG-S 0.37500% 17-31.05.23 | 100 000.00 | 101 100.00 | 0.12 |
| CHF	WELLS FARGO & CO-REG-S 0.75000% 20-27.05.25 | 100 000.00 | 99 900.00 | 0.12 |
| Total CHF |  | 8 933 857.25 | 10.86 |
| Total Medium term notes, fixed rate |  | 8 933 857.25 | 10.86 |
| Medium term notes, zero coupon |  |  |  |
| CHF |  |  |  |
| CHF	BANK OF THE PHILIPPINE ISLANDS-REG-S 0.00000% 19-24.09.21 | 80 000.00 | 77 608.00 | 0.09 |
| CHF	HYPO NOE GRUPPE BANK AG 0.00000% 17-30.12.20 | 100 000.00 | 100 050.00 | 0.12 |
| CHF	KOREA HYDRO & NUCLEAR POWER CO-REG-S 0.00000% 19-19.07.24 | 200 000.00 | 199 100.00 | 0.24 |
| CHF	NATIONWIDE BUILDING SOCIETY-REG-S 0.00000% 19-11.07.25 | 150 000.00 | 151 875.00 | 0.19 |
| Total CHF |  | 528 633.00 | 0.64 |
| Total Medium term notes, zero coupon |  | 528 633.00 | 0.64 |

UBS (Lux) Strategy SICAV – Income (CHF)
Annual report and audited financial statements as of 31 May 2020
| Description | Quantity/ | Valuation in CHF | as a % |
| --- | --- | --- | --- |
|  | Nominal | Unrealized gain | of net |
|  |  | (loss) on Futures/ | assets |
|  |  | Forward |  |
|  |  | Exchange Contracts/ |  |
|  |  | Swaps (Note 1) |  |

Bonds, fixed rate
| CHF |  |
| --- | --- |
| CHF | AARGAUISCHE KANTONALBANK 0.15000% 15-18.05.22 | 200 000.00 | 201 000.00 | 0.25 |
| CHF | APPLE INC-REG-S 0.37500% 15-25.11.24 | 45 000.00 | 46 192.50 | 0.06 |
| CHF | BANCO BILBAO VIZCAYA ARGENTARIA-REG-S 0.12500% 20-27.08.26 | 200 000.00 | 189 100.00 | 0.23 |
| CHF | BASLER KANTONALBANK 0.15000% 19-02.04.27 | 100 000.00 | 100 950.00 | 0.12 |
| CHF | CENTRAL AMERICAN BK ECO INTEGRAT 1.12500% 14-24.02.23 | 200 000.00 | 202 800.00 | 0.25 |
| CHF | COOP-GRUPPE GENOSSENSCHAFT-REG-S 0.75000% 20-05.05.23 | 100 000.00 | 101 750.00 | 0.12 |
| CHF | DEUTSCHE PFANDBRIEFBANK AG-REG-S 0.12500% 19-05.06.23 | 150 000.00 | 145 875.00 | 0.18 |
| CHF | EUROPEAN INVESTMENT BANK 2.62500% 10-11.02.25 | 200 000.00 | 228 400.00 | 0.28 |
| CHF | EUROPEAN INVESTMNT BANK 1.62500% 12-02.04.26 | 200 000.00 | 223 200.00 | 0.27 |
| CHF | FLUGHAFEN ZUERICH AG-REG-S 0.70000% 20-22.05.24 | 80 000.00 | 81 600.00 | 0.10 |
| CHF | FREIBURGER KANTONALBANK 0.14000% 20-12.06.30 | 200 000.00 | 198 878.00 | 0.24 |
| CHF | GRAUBUENDNER KANTONALBANK 1.37500% 13-11.03.25 | 250 000.00 | 266 875.00 | 0.33 |
| CHF | KEB HANA BANK-REG-S 0.40750% 18-14.09.23 | 100 000.00 | 99 350.00 | 0.12 |
| CHF | KOREA NATIONAL OIL CORP-REG-S 0.87500 20-21.04.25 | 100 000.00 | 102 500.00 | 0.13 |
| CHF | MONDELEZ INTERNATIONAL INC-REG-S 0.61700% 17-30.09.24 | 200 000.00 | 200 500.00 | 0.24 |
| CHF | MONDELEZ INTL-REG-S 0.62500% 15-30.12.21 | 50 000.00 | 50 000.00 | 0.06 |
| CHF | NEW BRUNSWICK, PROVINCE OF 0.20000% 16-07.11.31 | 100 000.00 | 100 100.00 | 0.12 |
| CHF | NEW BRUNSWICK, PROVINCE OF 0.25000% 17-19.01.29 | 100 000.00 | 101 850.00 | 0.12 |
| CHF | OESTERREICHISCHE KONTROLLBANK AG 2.62500% 06-22.11.24 | 200 000.00 | 226 600.00 | 0.28 |
| CHF | PFANDBRIEFBK SCHWEIZERISCHER HYPO INST 1.87500% 10-15.09.31 | 200 000.00 | 241 060.00 | 0.29 |
| CHF | PFANDBRIEFBK SCHWEIZERISCHER HYPO INST 1.50000% 14-15.12.25 | 200 000.00 | 218 500.00 | 0.27 |
| CHF | PFANDBRIEFZENTR SCHWEIZ KANTONALBANKEN 0.01000% 17-05.02.24 | 100 000.00 | 100 830.00 | 0.12 |
| CHF | PFANDBRIEFZENTR SCHWEIZ KANTONAL-REG-S 0.25000% 18-20.07.26 | 50 000.00 | 51 160.00 | 0.06 |
| CHF | PFANDBRIEFZENTR SCHWEIZ KANTONAL-REG-S 0.12500% 18-31.10.24 | 100 000.00 | 101 380.00 | 0.12 |
| CHF | PFANDBRIEFZENTR SCHWEIZ KANTONAL-REG-S 0.10000% 19-03.12.31 | 200 000.00 | 199 920.00 | 0.24 |
| CHF | ROCHE KAPITALMARKT AG 0.10000% 17-23.09.24 | 75 000.00 | 76 237.50 | 0.09 |
| CHF | SGS SA-REG-S 0.45000% 20-06.11.23 | 80 000.00 | 80 360.00 | 0.10 |
| CHF | UBS AG/LONDON-REG-S 0.17000% 20-13.05.22 | 200 000.00 | 200 500.00 | 0.24 |
| CHF | UBS GROUP AG-REG-S 0.62500% 17-18.05.24 | 200 000.00 | 201 200.00 | 0.25 |
| CHF | ZUERCHER KANTONALBANK 1.50000% 14-27.01.23 | 200 000.00 | 208 500.00 | 0.25 |
| CHF | ZUERCHER KANTONALBANK 0.04000% 15-09.12.22 | 200 000.00 | 200 800.00 | 0.24 |
| CHF | ZUERCHER KANTONALBANK 0.03000% 16-11.02.22 | 50 000.00 | 50 125.00 | 0.06 |
| CHF | ZUERICH, CITY OF-REG-S 2.75000% 05-14.02.25 | 200 000.00 | 228 000.00 | 0.28 |
| CHF | ZUGER KANTONALBANK 0.12500% 19-03.12.29 | 200 000.00 | 199 700.00 | 0.24 |
| Total CHF |  |  | 5 225 793.00 | 6.35 |
| Total Bonds, fixed rate |  | 5 225 793.00 | 6.35 |
| Bonds, zero coupon |  |  |  |
| CHF |  |  |  |
| CHF	BALOISE HOLDING AG-REG-S 0.00000% 19-23.09.22 | 150 000.00 | 149 490.00 | 0.18 |
| CHF	BASEL-STADT, CANTON OF 0.00000% 16-05.09.23 | 100 000.00 | 101 250.00 | 0.12 |
| CHF	BASEL-STADT, CANTON OF 0.00000% 16-04.09.26 | 100 000.00 | 101 850.00 | 0.13 |
| CHF	BASLER KANTONALBANK-REG-S 0.00000% 18-11.04.22 | 150 000.00 | 150 225.00 | 0.18 |
| CHF	KOREA GAS CORP-REG-S 0.00000% 19-28.11.23 | 120 000.00 | 119 100.00 | 0.15 |
| CHF	KOREA NATIONAL OIL CORP-REG-S 0.00000% 19-04.10.24 | 50 000.00 | 49 225.00 | 0.06 |
| CHF	PFANDBRIEFBK SCHWEIZERISCHER HYPO-REG-S 0.00000% 19-06.04.27 | 100 000.00 | 100 800.00 | 0.12 |
| CHF	PFANDBRIEFZENTR SCHWEIZ KANTONALBANKEN 0.00000% 15-25.07.23 | 150 000.00 | 151 050.00 | 0.18 |
| CHF	VALIANT BANK AG-REG-S 0.00000% 19-31.10.25 | 200 000.00 | 201 000.00 | 0.25 |
| CHF	WALLISER KANTONALBANK-REG-S 0.00000% 20-14.02.29 | 100 000.00 | 98 500.00 | 0.12 |
| Total CHF |  | 1 222 490.00 | 1.49 |
| Total Bonds, zero coupon |  | 1 222 490.00 | 1.49 |
| Treasury notes, fixed rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 5.37500% 01-15.02.31 | 280 000.00 | 401 119.25 | 0.49 |
| USD	AMERICA, UNITED STATES OF 4.37500% 08-15.02.38 | 720 000.00 | 1 076 221.15 | 1.31 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.08.27 | 1 290 000.00 | 1 393 392.85 | 1.69 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.11.27 | 1 045 000.00 | 1 131 815.10 | 1.38 |
| USD	AMERICA, UNITED STATES OF 2.75000% 14-15.02.24 | 315 000.00 | 330 707.47 | 0.40 |
| USD	AMERICA, UNITED STATES OF 2.62500% 10-15.11.20 | 85 000.00 | 82 562.23 | 0.10 |
| USD	AMERICA, UNITED STATES OF 1.12500% 16-31.07.21 | 290 000.00 | 281 606.67 | 0.34 |
| USD	AMERICA, UNITED STATES OF 1.75000% 12-15.05.22 | 330 000.00 | 326 789.59 | 0.40 |
| USD	AMERICA, UNITED STATES OF 1.37500% 16-30.09.23 | 330 000.00 | 329 303.56 | 0.40 |
| USD	AMERICA, UNITED STATES OF 1.75000% 13-15.05.23 | 2 305 000.00 | 2 315 792.00 | 2.82 |
| USD	AMERICA, UNITED STATES OF 2.12500% 15-15.05.25 | 1 340 000.00 | 1 401 237.16 | 1.70 |
| Total USD |  | 9 070 547.03 | 11.03 |
| Total Treasury notes, fixed rate |  | 9 070 547.03 | 11.03 |
| Treasury notes, floating rate |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 3.875%/CPI LINKED 99-15.04.29 | 75 000.00 | 156 648.21 | 0.19 |
| USD	AMERICA, UNITED STATES OF 2.375%/CPI LINKED 04-15.01.25 | 105 000.00 | 156 351.95 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.625%/CPI LINKED 16-15.01.26 | 140 000.00 | 155 228.41 | 0.19 |
| USD	AMERICA, UNITED STATES OF 1.125%/CPI LINKED 11-15.01.21 | 135 000.00 | 152 995.31 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 17-15.01.27 | 145 000.00 | 157 472.89 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI INDEX 13-15.07.23 | 145 000.00 | 158 570.94 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 15-15.07.25 | 145 000.00 | 158 843.03 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.750%/CPI LINKED 18-15.07.28 | 140 000.00 | 152 934.56 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 20-15.01.30 | 155 000.00 | 158 253.45 | 0.19 |
| Total USD |  | 1 407 298.75 | 1.71 |
| Total Treasury notes, floating rate |  | 1 407 298.75 | 1.71 |
| Total Transferable securities and money market instruments listed on an official stock exchange |  | 26 640 244.03 | 32.39 |

UBS (Lux) Strategy SICAV – Income (CHF) Annual report and audited financial statements as of 31 May 2020
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 | 145 000.00 | 157 993.37 | 0.19 |
| --- | --- | --- | --- | --- |
| Total USD | 157 993.37 | 0.19 |
| Total Treasury notes, floating rate | 157 993.37 | 0.19 |
| Total Transferable securities and money market instruments traded on another regulated market | 157 993.37 | 0.19 |
| 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	7 800.00 | 615 175.60 | 0.75 |
| USD	UBS ETFS PLC - MSCI USA TRN INDEX SF (USD) A-ACC	7 800.00 | 617 910.71 | 0.75 |
| Total Ireland | 1 233 086.31 | 1.50 |
| Luxembourg |  |  |
| EUR | UBS (LUX) BOND FUND - EURO HIGH YIELD (EUR) I-X-ACC | 13 016.00 | 1 738 668.57 | 2.11 |
| EUR | UBS (LUX) BOND SICAV - EUR CORPORATES (EUR) U-X-ACC | 640.00 | 8 233 103.27 | 10.01 |
| USD | UBS (LUX) BOND SICAV - SHORT TERM USD CORPORATES (USD) U-X-A | 235.00 | 2 495 020.57 | 3.03 |
| USD | UBS (LUX) BOND SICAV - USD CORPORATES U-X-ACC | 141.00 | 1 669 378.12 | 2.03 |
| USD | UBS (LUX) BOND SICAV - USD HIGH YIELD U-X-ACC | 187.00 | 3 433 554.47 | 4.18 |
| USD | UBS (LUX) BOND SICAV - EMERGING ECONOMIES CORP (USD)-I-X-DIS | 26 578.00 | 2 691 484.61 | 3.27 |
| USD | UBS (LUX) BOND SICAV - USD INVEST GRADE CORP USD U X ACC | 1 299.00 | 14 626 053.15 | 17.78 |
| USD | UBS (LUX) EMERGING ECONOMIES FUND-GLOBAL BONDS (USD)-U-X ACC | 379.00 | 4 700 151.57 | 5.72 |
| USD | UBS (LUX) EQUITY FUND - GLOBAL SUSTAINABLE (USD) U-X-ACC | 180.00 | 1 782 223.78 | 2.17 |
| USD | UBS (LUX) EQUITY SICAV - GLB EM OPP(USD)-U-X-ACC | 11.00 | 280 000.72 | 0.34 |
| USD | UBS (LUX) EQUITY SICAV-GLOBAL QUANTITATIVE (USD) U-X-ACC | 142.39 | 1 886 225.10 | 2.29 |
| USD | UBS (LUX) EQUITY SICAV - GLOBAL OPPORTUNITY (USD) U-X-ACC | 106.00 | 939 332.92 | 1.14 |
| USD | UBS (LUX) INST FUND-KEY SEL. GLOBAL EQUITY FA-USD | 82.52 | 1 886 483.20 | 2.29 |
| USD | UBS (LUX) INSTITUTION SICAV-EQUITIES GLB (EX USA) PASSIVE XA | 7 435.00 | 646 423.81 | 0.79 |
| CHF | UBS ETF - MSCI SWITZERLAND 20/35 UCITS A-CAP | 192 500.00 | 4 186 875.00 | 5.09 |
| Total Luxembourg |  | 51 194 978.86 | 62.24 |
| Total Investment funds, open end |  | 52 428 065.17 | 63.74 |
| Total UCITS/Other UCIs in accordance with Article 41 (1) e) of the amended Luxembourg law of 17 December 2010 |  | 52 428 065.17 | 63.74 |
| 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 | 3.00 | 139 118.97 | 0.17 |
| USD	S&P 500 INDEX PUT 2225.00000 18.09.20 | -3.00 | -6 455.90 | -0.01 |
| Total USD |  | 132 663.07 | 0.16 |
| Total Options on indices, classic-styled |  | 132 663.07 | 0.16 |
| Total Derivative instruments listed on an official stock exchange |  | 132 663.07 | 0.16 |
| Total investments in securities |  | 79 358 965.64 | 96.48 |

| Derivative instruments |  |
| --- | --- |
| Derivative instruments listed on an official stock exchange Financial Futures on bonds |
|  |  |  |  |
| USD	US 5YR TREASURY NOTE FUTURE 30.09.20 | -5.00 | -900.66 | 0.00 |
| Total Financial Futures on bonds |  | -900.66 | 0.00 |
| Financial Futures on Indices |  |  |  |
|  |  |  |  |
| EUR	EURO STOXX 50 INDEX FUTURE 19.06.20 | -74.00 | -504 171.58 | -0.61 |
| CHF	SWISS MARKET INDEX FUTURE 19.06.20 | -3.00 | -3 210.00 | -0.01 |
| GBP	FTSE 100 INDEX FUTURE 19.06.20 | 41.00 | 277 454.24 | 0.34 |
| USD	S&P500 EMINI FUTURE 19.06.20 | 7.00 | 74 857.28 | 0.09 |
| AUD	SPI 200 INDEX FUTURES 18.06.20 | -2.00 | -26 576.68 | -0.03 |
| JPY	NIKKEI 225 (OSE) INDEX FUTURE 11.06.20 | -3.00 | -97 198.03 | -0.12 |
| CAD	S&P/TSX 60 INDEX FUTURE 18.06.20 | -2.00 | -27 954.97 | -0.04 |
| Total Financial Futures on Indices |  | -306 799.74 | -0.38 |
| Total Derivative instruments listed on an official stock exchange |  | -307 700.40 | -0.38 |

UBS (Lux) Strategy SICAV – Income (CHF)
Annual report and audited financial statements as of 31 May 2020
| Description	Quantity/ | Valuation in CHF | as a % |
| --- | --- | --- |
| Nominal | Unrealized gain | of net |
|  | (loss) on Futures/ | assets |
|  | Forward |  |
|  | Exchange Contracts/ |  |
|  | Swaps (Note 1) |  |

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 | 2 500 000.00 | 31 256.91 | 0.04 |
| --- | --- | --- | --- | --- |
| Total Credit default swaps | 31 256.91 | 0.04 |
| Total Derivative instruments not listed on an official stock exchange and not traded on another regulated market | 31 256.91 | 0.04 |
| Total Derivative instruments | -276 443.49 | -0.34 |
| Forward Foreign Exchange contracts |  |  |
| Forward Foreign Exchange contracts (Purchase/Sale) |  |  |

| CHF | 104 918.09 | USD | 108 500.00 | 24.6.2020 | 753.04 | 0.00 |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 85 000.00 | CHF | 89 444.31 | 24.6.2020 | 1 370.49 | 0.00 |
| SGD | 45 000.00 | CHF | 30 515.65 | 24.6.2020 | 52.25 | 0.00 |
| CHF | 5 689 950.99 | EUR | 5 407 932.71 | 24.6.2020 | -87 935.45 | -0.11 |
| GBP | 1 072 183.44 | CHF | 1 281 570.14 | 24.6.2020 | -8 863.94 | -0.01 |
| CHF | 67 957.04 | HKD | 545 000.00 | 24.6.2020 | 485.88 | 0.00 |
| CHF | 60 745.59 | CAD | 88 842.21 | 24.6.2020 | -963.26 | 0.00 |
| CHF | 34 923.67 | NOK | 383 648.73 | 24.6.2020 | -2 975.96 | 0.00 |
| CHF | 170 123.18 | AUD | 277 365.86 | 24.6.2020 | -6 639.45 | -0.01 |
| NZD | 10 000.00 | CHF | 5 794.88 | 24.6.2020 | 149.60 | 0.00 |
| CHF | 352 255.42 | JPY | 39 171 190.00 | 24.6.2020 | 3 078.93 | 0.00 |
| CHF | 33 919.35 | SEK | 352 473.77 | 24.6.2020 | -2 017.31 | 0.00 |
| CHF | 62 767.48 | DKK | 445 000.00 | 24.6.2020 | -1 019.72 | 0.00 |
| CHF | 22 815 152.64 | USD | 23 591 062.69 | 24.6.2020 | 166 633.60 | 0.20 |
| CHF | 52 302.56 | USD | 54 000.00 | 24.6.2020 | 460.04 | 0.00 |
| GBP | 44 000.00 | CHF | 52 566.32 | 24.6.2020 | -337.32 | 0.00 |
| EUR | 150 000.00 | CHF | 157 740.30 | 24.6.2020 | 2 521.12 | 0.00 |
| USD | 165 000.00 | CHF | 160 247.67 | 24.6.2020 | -1 839.98 | 0.00 |
| GBP | 80 000.00 | CHF | 96 152.00 | 24.6.2020 | -1 190.18 | 0.00 |
| CHF | 31 566.09 | EUR | 30 000.00 | 24.6.2020 | -486.19 | 0.00 |
| USD | 40 000.00 | CHF | 38 853.40 | 24.6.2020 | -451.54 | 0.00 |
| CHF | 61 261.28 | EUR | 58 000.00 | 24.6.2020 | -706.47 | 0.00 |
| CHF | 24 420.76 | CAD | 35 000.00 | 24.6.2020 | 110.13 | 0.00 |
| USD | 75 000.00 | CHF | 72 989.78 | 24.6.2020 | -986.29 | 0.00 |
| USD | 25 000.00 | CHF | 24 268.00 | 24.6.2020 | -266.84 | 0.00 |
| CHF | 2 993.71 | GBP | 2 500.00 | 24.6.2020 | 26.15 | 0.00 |
| JPY | 850 000.00 | CHF | 7 795.47 | 24.6.2020 | -218.47 | 0.00 |
| EUR | 32 000.00 | CHF | 33 709.54 | 24.6.2020 | 479.56 | 0.00 |
| EUR | 45 000.00 | CHF | 47 393.46 | 24.6.2020 | 684.97 | 0.00 |
| USD | 115 000.00 | CHF | 111 673.63 | 24.6.2020 | -1 268.27 | 0.00 |
| JPY | 4 134 213.00 | CHF | 37 779.21 | 24.6.2020 | -926.36 | 0.00 |
| CHF | 5 514.58 | JPY | 610 000.00 | 24.6.2020 | 76.97 | 0.00 |
| CHF | 10 515.90 | EUR | 10 000.00 | 24.6.2020 | -168.19 | 0.00 |
| CHF | 5 512.67 | JPY | 610 000.00 | 22.7.2020 | 77.16 | 0.00 |
| CHF | 10 513.51 | EUR | 10 000.00 | 22.7.2020 | -168.16 | 0.00 |
| GBP | 1 147 675.77 | CHF | 1 374 582.75 | 22.7.2020 | -13 235.46 | -0.02 |
| CHF | 85 599.08 | SGD | 125 000.00 | 22.7.2020 | 749.62 | 0.00 |
| AUD | 26 385.99 | CHF | 16 614.60 | 22.7.2020 | 186.77 | 0.00 |
| CHF | 62 716.41 | DKK | 445 000.00 | 22.7.2020 | -1 057.59 | 0.00 |
| CHF | 30 290.36 | SEK | 306 840.78 | 22.7.2020 | -975.90 | 0.00 |
| CHF | 33 935.57 | NOK | 359 397.44 | 22.7.2020 | -1 545.95 | 0.00 |
| CHF | 4 986 749.44 | EUR | 4 744 522.58 | 22.7.2020 | -81 191.53 | -0.10 |
| CHF | 66 885.88 | HKD | 535 000.00 | 22.7.2020 | 755.58 | 0.00 |
| CHF | 150 903.66 | CAD | 217 938.17 | 22.7.2020 | -349.56 | 0.00 |
| CHF | 308 775.17 | JPY | 34 192 990.00 | 22.7.2020 | 4 092.79 | 0.01 |
| CHF | 22 887 104.57 | USD | 23 592 569.59 | 22.7.2020 | 255 852.67 | 0.31 |
| CHF | 7 987.64 | JPY | 885 000.00 | 24.6.2020 | 98.65 | 0.00 |
| CHF | 7 984.97 | JPY | 885 000.00 | 22.7.2020 | 99.03 | 0.00 |
| CHF | 123 427.64 | USD | 127 500.00 | 22.7.2020 | 1 122.84 | 0.00 |
| CHF | 123 535.50 | USD | 127 500.00 | 24.6.2020 | 1 129.56 | 0.00 |
| CHF | 95 907.75 | USD | 99 000.00 | 22.7.2020 | 941.67 | 0.00 |
| CHF | 95 989.25 | USD | 99 000.00 | 24.6.2020 | 944.64 | 0.00 |
| CHF | 83 231.49 | EUR | 78 500.00 | 24.6.2020 | -638.65 | 0.00 |
| CHF | 83 210.41 | EUR | 78 500.00 | 22.7.2020 | -640.68 | 0.00 |
| CHF | 101 606.15 | EUR | 96 000.00 | 24.6.2020 | -961.16 | 0.00 |
| CHF | 101 582.94 | EUR | 96 000.00 | 22.7.2020 | -961.06 | 0.00 |
| CHF | 477 563.71 | USD | 492 500.00 | 22.7.2020 | 5 131.42 | 0.01 |
| CHF | 477 960.46 | USD | 492 500.00 | 24.6.2020 | 5 137.52 | 0.01 |
| GBP | 669 000.00 | CHF | 791 643.09 | 24.6.2020 | 2 475.17 | 0.00 |
| GBP | 668 000.00 | CHF | 789 910.00 | 22.7.2020 | 2 456.64 | 0.00 |
| CHF | 83 156.07 | EUR | 78 500.00 | 24.6.2020 | -714.07 | 0.00 |
| CHF | 84 981.68 | GBP | 71 500.00 | 22.7.2020 | 169.98 | 0.00 |
| CHF | 85 041.17 | GBP | 71 500.00 | 24.6.2020 | 169.04 | 0.00 |
| CHF | 83 137.00 | EUR | 78 500.00 | 22.7.2020 | -714.09 | 0.00 |
| CHF | 45 374.95 | JPY | 5 050 000.00 | 22.7.2020 | 376.08 | 0.00 |
| CHF | 45 390.36 | JPY | 5 050 000.00 | 24.6.2020 | 374.08 | 0.00 |
| USD | 514 263.68 | CHF | 494 198.14 | 22.7.2020 | -888.97 | 0.00 |
| USD | 515 000.00 | CHF | 495 316.70 | 24.6.2020 | -892.71 | 0.00 |
| Total Forward Foreign Exchange contracts (Purchase/Sale) | 235 026.91 | 0.29 |
|  |  |  |
| Cash at banks, deposits on demand and deposit accounts and other liquid assets | 3 072 414.43 | 3.74 |
| Bank overdraft and other short-term liabilities | -41.09 | 0.00 |
| Other assets and liabilities | -132 298.91 | -0.17 |
| Total net assets | 82 257 623.49 | 100.00 |
| * Positive nominal: the subfund is “Receiver”, negative nominal: the subfund is “Payer”. |  |  |

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

Translation (ENDE, 2020-05-31):
# UBS (Lux) Strategy SICAV – Income (CHF)
| Dreijahresvergleich |  |
| --- | --- |
|  | ISIN | 31.5.2020 | 31.5.2019 | 31.5.2018 |
| Nettovermögen in CHF |  | 82 257 623.49 | 102 171 516.65 | 131 864 793.04 |
| Klasse P-acc | LU0994951381 |  |  |  |
| Aktien im Umlauf |  | 451 753.2550 | 527 042.0760 | 655 677.0710 |
| Nettoinventarwert pro Aktie in CHF |  | 101.73 | 104.38 | 104.79 |
| Ausgabe- und Rücknahmepreis pro Aktie in CHF 1 |  | 101.73 | 104.38 | 104.67 |
| Klasse P-dist | LU0994669108 |  |  |  |
| Aktien im Umlauf |  | 309 841.5230 | 394 930.3790 | 536 076.2700 |
| Nettoinventarwert pro Aktie in CHF |  | 96.52 | 100.21 | 101.43 |
| Ausgabe- und Rücknahmepreis pro Aktie in CHF 1 |  | 96.52 | 100.21 | 101.32 |
| Klasse Q-acc | LU1240800968 |  |  |  |
| Aktien im Umlauf |  | 35 216.8830 | 42 301.7850 | 46 670.7960 |
| Nettoinventarwert pro Aktie in CHF |  | 101.37 | 103.44 | 103.27 |
| Ausgabe- und Rücknahmepreis pro Aktie in CHF 1 |  | 101.37 | 103.44 | 103.16 |
| Klasse Q-dist | LU1240801008 |  |  |  |
| Aktien im Umlauf |  | 29 581.3760 | 32 372.9400 | 39 508.4240 |
| Nettoinventarwert pro Aktie in CHF |  | 95.47 | 99.12 | 100.34 |
| Ausgabe- und Rücknahmepreis pro Aktie in CHF 1 |  | 95.47 | 99.12 | 100.23 |
| 1  Siehe Erläuterung 1 |  |  |  |  |
| Performance |  |  |  |  |
|  | Währung | 2019/2020 | 2018/2019 | 2017/2018 |
| Klasse P-acc | CHF | -2.5% | -0.3% | -1.5% |
| Klasse P-dist | CHF | -2.5% | -0.3% | -1.5% |
| Klasse Q-acc | CHF | -2.0% | 0.3% | -1.0% |
| Klasse Q-dist | CHF | -2.0% | 0.3% | -1.0% |

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

## Struktur des Wertpapierbestandes
Geographische Aufteilung in % des Nettovermögens	
Luxemburg	62.79
| Vereinigte Staaten | 14.12 |
| --- | --- |
| Schweiz | 6.38 |
| Südkorea | 1.51 |
| Irland | 1.50 |
| Supranational | 1.33 |
| Grossbritannien | 1.21 |
| Australien | 1.14 |
| Deutschland | 1.03 |
| Kanada | 0.92 |
| Österreich | 0.52 |
| Niederlande | 0.51 |
| Spanien | 0.46 |
| Mexiko | 0.44 |
| Frankreich | 0.44 |
| Vereinigte Arabische Emirate | 0.39 |
| Finnland | 0.25 |
| Norwegen | 0.24 |
| Dänemark | 0.24 |
| Bermuda | 0.24 |
| Cayman-Inseln | 0.23 |
| Neuseeland | 0.19 |
| Honduras | 0.18 |
| Chile | 0.12 |
| Philippinen | 0.10 |
| Total | 96.48 |

Wirtschaftliche Aufteilung in % des Nettovermögens	
| Anlagefonds | 63.74 |
| --- | --- |
| Länder- & Zentralregierungen | 12.93 |
| Banken & Kreditinstitute | 9.97 |
| Finanz- & Beteiligungsgesellschaften | 2.64 |
| Supranationale Organisationen | 2.06 |
| Pfandbriefinstitute & Refinanzierungsgesellschaften | 1.82 |
| Erdöl | 0.87 |
| Kantone, Bundesstaaten | 0.62 |
| Städte, Gemeinden | 0.47 |
| Diverse Dienstleistungen | 0.34 |
| Nahrungsmittel & Softdrinks | 0.30 |
| Versicherungen | 0.18 |
| Öffentlich-rechtliche Körperschaften | 0.14 |
| Detailhandel, Warenhäuser | 0.12 |
| Telekommunikation | 0.12 |
| Verkehr & Transport | 0.10 |
| Computer & Netzwerkausrüster | 0.06 |
| Total | 96.48 |


## Nettovermögensaufstellung
Aktiva	31.5.2020
CHF
Wertpapierbestand, Einstandswert	75 861 330.44
| Wertpapierbestand, nicht realisierte Werterhöhung (-minderung) | 	3 497 635.20	 |
| --- | --- |
| Total Wertpapierbestand (Erläuterung 1) | 79 358 965.64 |
| Bankguthaben, Sicht- und Fristgelder | 1 842 636.75 |
| Andere liquide Mittel (Margins) | 1 229 777.68 |
| Forderungen aus Wertpapierverkäufen (Erläuterung 1) | 1 681.30 |
| Forderungen aus Zeichnungen | 12 758.48 |
| Zinsforderungen aus Wertpapieren | 96 122.06 |
| Sonstige Forderungen | 33 518.53 |
| Zinsforderungen aus liquiden Mitteln | 185.00 |
| Nicht realisierter Kursgewinn (-verlust) aus Finanzterminkontrakten (Erläuterung 1) | -307 700.40 |
| Nicht realisierter Kursgewinn (-verlust) aus Devisenterminkontrakten (Erläuterung 1) | 235 026.91 |
| Nicht realisierter Kursgewinn (-verlust) aus Swaps (Erläuterung 1) | 31 256.91 |
| Total Aktiva | 82 534 228.86 |
|  |  |
| Passiva |  |
| Kontokorrentkredit | -41.09 |
| Zinsverbindlichkeiten aus Kontokorrentkredit | -63.57 |
| Verbindlichkeiten aus Wertpapierkäufen (Erläuterung 1) | -200 050.00 |
| Verbindlichkeiten aus Rücknahmen | -15 953.42 |
| Rückstellungen für pauschale Verwaltungskommission (Erläuterung 2) | -39 037.00 |
| Rückstellungen für Abonnementsabgabe (Erläuterung 3) | -2 517.44 |
| Rückstellungen für sonstige Kommissionen und Gebühren (Erläuterung 2) | 	-18 942.85	 |
| Total Rückstellungen für Aufwendungen | -60 497.29 |
| Total Passiva | -276 605.37 |
|  |  |
| Nettovermögen am Ende des Geschäftsjahres | 82 257 623.49 |
| Ertrags- und Aufwandsrechnung | CHF |
| Erträge | 1.6.2019-31.5.2020 |
| Zinsertrag auf liquide Mittel | 6 400.12 |
| Zinsen auf Wertpapiere | 499 294.77 |
| Zinsertrag auf Swaps (Erläuterung 1) | 20 330.85 |
| Dividenden | 108 359.00 |
| Erträge aus Securities Lending (Erläuterung 15) | 19 127.85 |
| Sonstige Erträge (Erläuterung 4) | 27 530.12 |
| Total Erträge | 681 042.71 |
|  |  |
| Aufwendungen |  |
| Zinsaufwand auf Swaps (Erläuterung 1) | -2 155.44 |
| Kosten aus Securities Lending (Erläuterung 15) | -7 651.14 |
| Pauschale Verwaltungskommission (Erläuterung 2) | -1 174 004.08 |
| Abonnementsabgabe (Erläuterung 3) | -19 388.60 |
| Sonstige Kommissionen und Gebühren (Erläuterung 2) | -19 228.69 |
| Zinsaufwand auf liquide Mittel und Kontokorrentkredit | -5 846.04 |
| Total Aufwendungen | -1 228 273.99 |
|  |  |
| Nettoerträge (-verluste) aus Anlagen | -547 231.28 |
|  |  |
| Realisierte Gewinne (Verluste) (Erläuterung 1) |  |
| Realisierter Kursgewinn (-verlust) aus marktbewerteten Wertpapieren ausser Optionen | 4 065 994.61 |
| Realisierter Kursgewinn (-verlust) aus Optionen | 64 766.87 |
| Realisierter Kursgewinn (-verlust) aus renditebewerteten Wertpapieren und Geldmarktinstrumenten | -11 287.18 |
| Realisierter Kursgewinn (-verlust) aus Finanzterminkontrakten | -989 122.62 |
| Realisierter Kursgewinn (-verlust) aus Devisenterminkontrakten | 1 220 069.84 |
| Realisierter Kursgewinn (-verlust) aus Swaps | 83 028.47 |
| Realisierter Währungsgewinn (-verlust) | -1 005 341.92 |
| Total der realisierten Gewinne (Verluste) | 3 428 108.07 |
|  |  |
| Realisierter Nettogewinn (-verlust) des Geschäftsjahres | 2 880 876.79 |
|  |  |
| Veränderungen der nicht realisierten Werterhöhung (-minderung) (Erläuterung 1) |  |
| Nicht realisierte Werterhöhung (-minderung) marktbewerteter Wertpapiere ausser Optionen | -5 129 723.60 |
| Nicht realisierte Werterhöhung (-minderung) von Optionen | 183 924.92 |
| Nicht realisierte Werterhöhung (-minderung) renditebewerteter Wertpapiere und Geldmarktinstrumente | 4 493.34 |
| Nicht realisierte Werterhöhung (-minderung) von Finanzterminkontrakten | -471 835.81 |
| Nicht realisierte Werterhöhung (-minderung) von Devisenterminkontrakten | 428 558.13 |
| Nicht realisierte Werterhöhung (-minderung) von Swaps | -18 943.45 |
| Total der Veränderungen der nicht realisierten Werterhöhung (-minderung) | -5 003 526.47 |
|  |  |
| Nettoerhöhung (-minderung) des Nettovermögens infolge Geschäftstätigkeit | -2 122 649.68 |

UBS (Lux) Strategy SICAV – Income (CHF) Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020
| Veränderungen des Nettovermögens |  |
| --- | --- |
|  |  | CHF |
|  |  | 1.6.2019-31.5.2020 |
| Nettovermögen zu Beginn des Geschäftsjahres |  | 102 171 516.65 |
| Zeichnungen |  | 2 868 450.37 |
| Rücknahmen |  | 	-20 143 845.58	 |
| Total Mittelzufluss (-abfluss) |  | -17 275 395.21 |
| Ausbezahlte Dividende |  | -515 848.27 |
| Nettoerträge (-verluste) aus Anlagen |  | -547 231.28 |
| Total der realisierten Gewinne (Verluste) |  | 3 428 108.07 |
| Total der Veränderungen der nicht realisierten Werterhöhung (-minderung) |  | 	-5 003 526.47	 |
| Nettoerhöhung (-minderung) des Nettovermögens infolge Geschäftstätigkeit |  | -2 122 649.68 |
| Nettovermögen am Ende des Geschäftsjahres |  | 82 257 623.49 |
| Entwicklung der Aktien im Umlauf |  |  |
|  |  | 1.6.2019-31.5.2020 |
| Klasse |  | P-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 527 042.0760 |
| Anzahl der ausgegebenen Aktien |  | 15 584.2630 |
| Anzahl der zurückgegebenen Aktien |  | -90 873.0840 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 451 753.2550 |
| Klasse |  | P-dist |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 394 930.3790 |
| Anzahl der ausgegebenen Aktien |  | 11 855.6200 |
| Anzahl der zurückgegebenen Aktien |  | -96 944.4760 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 309 841.5230 |
| Klasse |  | Q-acc |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 42 301.7850 |
| Anzahl der ausgegebenen Aktien |  | 671.2770 |
| Anzahl der zurückgegebenen Aktien |  | -7 756.1790 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 35 216.8830 |
| Klasse |  | Q-dist |
| Anzahl der Aktien im Umlauf zu Beginn des Geschäftsjahres |  | 32 372.9400 |
| Anzahl der ausgegebenen Aktien |  | 254.3490 |
| Anzahl der zurückgegebenen Aktien |  | -3 045.9130 |
| Anzahl der Aktien im Umlauf am Ende des Geschäftsjahres |  | 29 581.3760 |
| Jährliche Ausschüttung 1 |  |  |
| UBS (Lux) Strategy SICAV – Income (CHF)	Ex-Date | Pay-Date | Währung	Betrag pro Aktie |
| P-dist	1.8.2019 | 6.8.2019 | CHF	1.20 |
| Q-dist	1.8.2019 | 6.8.2019 | CHF	1.73 |
| 1  Siehe Erläuterung 5 |  |  |

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

## Aufstellung der Wertpapierbestände und anderer Nettovermögenswerte per 31. Mai 2020
| Bezeichnung | Anzahl/ | Bewertung in CHF | 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, Nullcoupon |  |  |  |
| CHF |  |  |  |
| CHF	CREDIT SUISSE SCHWEIZ AG-REG-S 0.00000% 20-31.07.25 | 250 000.00 | 251 625.00 | 0.31 |
| Total CHF |  | 251 625.00 | 0.31 |
| Total Notes, Nullcoupon |  | 251 625.00 | 0.31 |
| Medium-Term Notes, fester Zins |  |  |  |
| CHF |  |  |  |
| CHF	ADCB FINANCE CAYMAN LTD-REG-S 0.37500% 18-23.01.23 | 150 000.00 | 145 650.00 | 0.18 |
| CHF	ADCB FINANCE CAYMAN LTD 0.72500% 18-15.02.24 | 50 000.00 | 46 369.00 | 0.06 |
| CHF	AMP GROUP FINANCE SERVICES LTD-REG-S 0.80000% 19-18.07.23 | 190 000.00 | 191 425.00 | 0.23 |
| CHF	AMP GROUP FINANCE SERVICES LTD-REG-S 0.20310% 20-03.06.24 | 60 000.00 | 59 280.00 | 0.07 |
| CHF	AUCKLAND COUNCIL 1.12500% 13-07.02.24 | 150 000.00 | 157 800.00 | 0.19 |
| CHF	BANCO DE CREDITO E INVERSIONES-REG-S 0.40000% 19-22.11.24 | 50 000.00 | 47 294.50 | 0.06 |
| CHF	BANCO SANTANDER CHILE-REG-S 0.38400% 19-27.09.24 | 50 000.00 | 48 000.00 | 0.06 |
| CHF	BANK OF MONTREAL-REG-S 0.05000% 18-30.12.22 | 200 000.00 | 199 200.00 | 0.24 |
| CHF	BANK OF NOVA SCOTIA-REG-S 0.20000% 18-19.11.25 | 200 000.00 | 204 200.00 | 0.25 |
| CHF	BASELLANDSCHAFTLICHE KANTONALBANK 0.05000% 20-28.01.31 | 100 000.00 | 98 700.00 | 0.12 |
| CHF	BNP PARIBAS HOME LOAN COVERED BONDS SFH 2.37500% 11-07.10.20 | 50 000.00 | 50 460.00 | 0.06 |
| CHF	BNZ INTERNATIONAL FUND LTD/LONDON-REG-S 0.11100% 20-24.07.28 | 100 000.00 | 97 400.00 | 0.12 |
| CHF	CBQ FINANCE LTD-REG-S 0.69700% 18-22.03.21 | 200 000.00 | 197 875.00 | 0.24 |
| CHF	CENTRAL AMERICAN BK ECO INTEGRAT 0.19400% 15-19.11.21 | 300 000.00 | 298 800.00 | 0.36 |
| CHF	CENTRAL AMERICAN BK ECO INTEGRAT-REG-S 0.20000% 19-25.03.24 | 150 000.00 | 147 525.00 | 0.18 |
| CHF	CITIGROUP INC-REG-S 0.50000% 19-01.11.28 | 100 000.00 | 97 100.00 | 0.12 |
| CHF	COMMONWEALTH BANK OF AUSTRALIA 1.50000% 14-07.02.22 | 140 000.00 | 142 940.00 | 0.17 |
| CHF	CORP ANDINA DE FOMENTO 1.37500% 13-11.02.21 | 250 000.00 | 251 225.00 | 0.31 |
| CHF	CORPORACION ANDINA DE FOMENTO 0.50000% 15-26.02.26 | 350 000.00 | 342 475.00 | 0.42 |
| CHF	CREDIT AGRICOLE HOME LOAN SFH SA-REG-S 0.25000% 18-08.12.25 | 200 000.00 | 205 200.00 | 0.25 |
| CHF	CREDIT AGRICOLE HOME LOAN SFH SA-REG-S 0.50000% 18-03.10.28 | 100 000.00 | 104 050.00 | 0.13 |
| CHF	CREDIT SUISSE LONDON BRANCH-REG-S 1.00000% 14-24.09.21 | 300 000.00 | 303 360.00 | 0.37 |
| CHF	DANSKE BANK AS-REG-S 0.62500% 19-24.11.22 | 200 000.00 | 198 100.00 | 0.24 |
| CHF	DEUTSCHE BAHN FINANCE BV 1.37500% 13-24.07.23 | 50 000.00 | 52 550.00 | 0.06 |
| CHF	DEUTSCHE BAHN FINANCE GMBH-REG-S 0.50000% 18-18.07.28 | 200 000.00 | 206 480.00 | 0.25 |
| CHF	DNB BANK ASA-REG-S 0.05000% 19-13.03.24 | 200 000.00 | 200 000.00 | 0.24 |
| CHF	DVB BANK SE 0.57500% 15-17.06.22 | 150 000.00 | 142 275.00 | 0.17 |
| CHF	EXPORT-IMPORT BANK OF KOREA-REG-S 0.25300% 18-06.03.23 | 300 000.00 | 299 250.00 | 0.36 |
| CHF	EXPORT-IMPORT BANK OF KOREA-REG-S 0.38250% 18-11.07.24 | 120 000.00 | 120 000.00 | 0.15 |
| CHF	FIRST ABU DHABI BANK PJSC-REG-S 0.07000% 19-18.10.27 | 250 000.00 | 225 250.00 | 0.27 |
| CHF	FIRST ABU DHABI BANK PJSC-REG-S 0.20500% 19-04.12.25 | 100 000.00 | 96 031.25 | 0.12 |
| CHF	HYPO NOE GRUPPE BANK AG-REG-S 0.10000% 19-27.11.24 | 100 000.00 | 98 050.00 | 0.12 |
| CHF	INSTITUTO DE CREDITO OFICIAL 3.25000% 07-28.06.24 | 100 000.00 | 113 350.00 | 0.14 |
| CHF	JACKSON NATIONAL LIFE GLOBAL FUND-REG-S 0.30000% 18-18.12.23 | 100 000.00 | 100 300.00 | 0.12 |
| CHF	JACKSON NATIONAL LIFE GLOBAL FUND-REG-S 0.12500% 20-14.07.28 | 100 000.00 | 96 450.00 | 0.12 |
| CHF	JPMORGAN CHASE & CO 0.50000% 15-04.12.23 | 50 000.00 | 50 750.00 | 0.06 |
| CHF	KOREA DEVELOPMENT BANK-REG-S 0.44500% 20-08.05.25 | 50 000.00 | 50 575.00 | 0.06 |
| CHF	KOREA NATIONAL OIL CORP-REG-S 0.37300% 18-01.06.23 | 200 000.00 | 200 300.00 | 0.24 |
| CHF	LAFARGEHOLCIM HELVETIA FINANCE-REG-S 1.05000% 20-11.04.22 | 100 000.00 | 100 950.00 | 0.12 |
| CHF	LUZERNER KANTONALBANK-REG-S 0.10000% 18-08.05.24 | 100 000.00 | 100 500.00 | 0.12 |
| CHF	MUENCHENER HYPOTHEKENBANK EG-REG-S 0.00100% 19-19.02.24 | 250 000.00 | 252 375.00 | 0.31 |
| CHF	MUENCHENER HYPOTHEKENBANK EG-REG-S 0.20000% 19-18.06.31 | 100 000.00 | 103 700.00 | 0.13 |
| CHF	MUNICIPALITY FINANCE PLC 0.87500% 13-01.02.23 | 200 000.00 | 207 600.00 | 0.25 |
| CHF	NATIONAL AUSTRALIA BANK LTD 0.25000% 18-13.03.24 | 350 000.00 | 350 350.00 | 0.43 |
| CHF	NATIONAL AUSTRALIA BANK LTD-REG-S 0.06500% 20-29.01.29 | 200 000.00 | 196 800.00 | 0.24 |
| CHF	NATIONWIDE BUILDING SOCIETY-REG-S 0.16750% 19-11.07.31 | 50 000.00 | 50 875.00 | 0.06 |
| CHF	NATWEST MARKETS PLC-REG-S 0.12500% 19-13.09.23 | 200 000.00 | 193 300.00 | 0.24 |
| CHF	NEDERLANDSE WATERSCHAPSBANK NV 1.37500% 12-13.09.27 | 100 000.00 | 111 900.00 | 0.14 |
| CHF	ONTARIO, PROVINCE OF 0.25000% 17-28.06.29 | 100 000.00 | 102 200.00 | 0.12 |
| CHF	PETROLEOS MEXICANOS 1.50000% 15-08.12.20 | 370 000.00 | 363 710.00 | 0.44 |
| CHF	PFANDBRIEFBK SCHWEIZERISCHER HYPO INST 0.25000% 17-12.10.27 | 200 000.00 | 204 720.00 | 0.25 |
| CHF	PFANDBRIEFBK SCHWEIZER HYPO INST-REG-S 0.12500% 19-08.05.29 | 125 000.00 | 126 537.50 | 0.15 |
| CHF	RABOBANK NEDERLAND NV 2.00000% 10-16.09.21 | 150 000.00 | 153 975.00 | 0.19 |
| CHF	ROYAL BANK OF CANADA-REG-S 0.10000% 18-18.07.23 | 50 000.00 | 49 700.00 | 0.06 |
| CHF	SANTANDER CONSUMER FINANCE SA-REG-S 0.15000% 19-10.12.24 | 75 000.00 | 74 625.00 | 0.09 |
| CHF	SHELL INTERNATIONAL FINANCE BV 0.37500% 15-21.08.23 | 100 000.00 | 100 500.00 | 0.12 |
| CHF	UBS GROUP AG-REG-S 0.87500% 19-30.01.25 | 200 000.00 | 202 500.00 | 0.25 |
| CHF	VERIZON COMMUNICATIONS INC-REG-S 0.37500% 17-31.05.23 | 100 000.00 | 101 100.00 | 0.12 |
| CHF	WELLS FARGO & CO-REG-S 0.75000% 20-27.05.25 | 100 000.00 | 99 900.00 | 0.12 |
| Total CHF |  | 8 933 857.25 | 10.86 |
| Total Medium-Term Notes, fester Zins |  | 8 933 857.25 | 10.86 |
| Medium-Term Notes, Nullcoupon |  |  |  |
| CHF |  |  |  |
| CHF	BANK OF THE PHILIPPINE ISLANDS-REG-S 0.00000% 19-24.09.21 | 80 000.00 | 77 608.00 | 0.09 |
| CHF	HYPO NOE GRUPPE BANK AG 0.00000% 17-30.12.20 | 100 000.00 | 100 050.00 | 0.12 |
| CHF	KOREA HYDRO & NUCLEAR POWER CO-REG-S 0.00000% 19-19.07.24 | 200 000.00 | 199 100.00 | 0.24 |
| CHF	NATIONWIDE BUILDING SOCIETY-REG-S 0.00000% 19-11.07.25 | 150 000.00 | 151 875.00 | 0.19 |
| Total CHF |  | 528 633.00 | 0.64 |
| Total Medium-Term Notes, Nullcoupon |  | 528 633.00 | 0.64 |

UBS (Lux) Strategy SICAV – Income (CHF) Jahresbericht und geprüfter Jahresabschluss per 31. Mai 2020
| Bezeichnung | Anzahl/ | Bewertung in CHF | in % des |
| --- | --- | --- | --- |
|  | Nominal | NR Kursgewinn | Netto- |
|  |  | (-verlust) auf Futures/ | vermögens |
|  |  | Devisentermin- |  |
|  |  | kontrakten/ |  |
|  |  | Swaps (Erl. 1) |  |
| Anleihen, fester Zins |  |  |  |
| CHF |  |  |  |
| CHF	AARGAUISCHE KANTONALBANK 0.15000% 15-18.05.22 | 200 000.00 | 201 000.00 | 0.25 |
| CHF	APPLE INC-REG-S 0.37500% 15-25.11.24 | 45 000.00 | 46 192.50 | 0.06 |
| CHF	BANCO BILBAO VIZCAYA ARGENTARIA-REG-S 0.12500% 20-27.08.26 | 200 000.00 | 189 100.00 | 0.23 |
| CHF	BASLER KANTONALBANK 0.15000% 19-02.04.27 | 100 000.00 | 100 950.00 | 0.12 |
| CHF	CENTRAL AMERICAN BK ECO INTEGRAT 1.12500% 14-24.02.23 | 200 000.00 | 202 800.00 | 0.25 |
| CHF	COOP-GRUPPE GENOSSENSCHAFT-REG-S 0.75000% 20-05.05.23 | 100 000.00 | 101 750.00 | 0.12 |
| CHF	DEUTSCHE PFANDBRIEFBANK AG-REG-S 0.12500% 19-05.06.23 | 150 000.00 | 145 875.00 | 0.18 |
| CHF	EUROPEAN INVESTMENT BANK 2.62500% 10-11.02.25 | 200 000.00 | 228 400.00 | 0.28 |
| CHF	EUROPEAN INVESTMNT BANK 1.62500% 12-02.04.26 | 200 000.00 | 223 200.00 | 0.27 |
| CHF	FLUGHAFEN ZUERICH AG-REG-S 0.70000% 20-22.05.24 | 80 000.00 | 81 600.00 | 0.10 |
| CHF	FREIBURGER KANTONALBANK 0.14000% 20-12.06.30 | 200 000.00 | 198 878.00 | 0.24 |
| CHF	GRAUBUENDNER KANTONALBANK 1.37500% 13-11.03.25 | 250 000.00 | 266 875.00 | 0.33 |
| CHF	KEB HANA BANK-REG-S 0.40750% 18-14.09.23 | 100 000.00 | 99 350.00 | 0.12 |
| CHF	KOREA NATIONAL OIL CORP-REG-S 0.87500 20-21.04.25 | 100 000.00 | 102 500.00 | 0.13 |
| CHF	MONDELEZ INTERNATIONAL INC-REG-S 0.61700% 17-30.09.24 | 200 000.00 | 200 500.00 | 0.24 |
| CHF	MONDELEZ INTL-REG-S 0.62500% 15-30.12.21 | 50 000.00 | 50 000.00 | 0.06 |
| CHF	NEW BRUNSWICK, PROVINCE OF 0.20000% 16-07.11.31 | 100 000.00 | 100 100.00 | 0.12 |
| CHF	NEW BRUNSWICK, PROVINCE OF 0.25000% 17-19.01.29 | 100 000.00 | 101 850.00 | 0.12 |
| CHF	OESTERREICHISCHE KONTROLLBANK AG 2.62500% 06-22.11.24 | 200 000.00 | 226 600.00 | 0.28 |
| CHF	PFANDBRIEFBK SCHWEIZERISCHER HYPO INST 1.87500% 10-15.09.31 | 200 000.00 | 241 060.00 | 0.29 |
| CHF	PFANDBRIEFBK SCHWEIZERISCHER HYPO INST 1.50000% 14-15.12.25 | 200 000.00 | 218 500.00 | 0.27 |
| CHF	PFANDBRIEFZENTR SCHWEIZ KANTONALBANKEN 0.01000% 17-05.02.24 | 100 000.00 | 100 830.00 | 0.12 |
| CHF	PFANDBRIEFZENTR SCHWEIZ KANTONAL-REG-S 0.25000% 18-20.07.26 | 50 000.00 | 51 160.00 | 0.06 |
| CHF	PFANDBRIEFZENTR SCHWEIZ KANTONAL-REG-S 0.12500% 18-31.10.24 | 100 000.00 | 101 380.00 | 0.12 |
| CHF	PFANDBRIEFZENTR SCHWEIZ KANTONAL-REG-S 0.10000% 19-03.12.31 | 200 000.00 | 199 920.00 | 0.24 |
| CHF	ROCHE KAPITALMARKT AG 0.10000% 17-23.09.24 | 75 000.00 | 76 237.50 | 0.09 |
| CHF	SGS SA-REG-S 0.45000% 20-06.11.23 | 80 000.00 | 80 360.00 | 0.10 |
| CHF	UBS AG/LONDON-REG-S 0.17000% 20-13.05.22 | 200 000.00 | 200 500.00 | 0.24 |
| CHF	UBS GROUP AG-REG-S 0.62500% 17-18.05.24 | 200 000.00 | 201 200.00 | 0.25 |
| CHF	ZUERCHER KANTONALBANK 1.50000% 14-27.01.23 | 200 000.00 | 208 500.00 | 0.25 |
| CHF	ZUERCHER KANTONALBANK 0.04000% 15-09.12.22 | 200 000.00 | 200 800.00 | 0.24 |
| CHF	ZUERCHER KANTONALBANK 0.03000% 16-11.02.22 | 50 000.00 | 50 125.00 | 0.06 |
| CHF	ZUERICH, CITY OF-REG-S 2.75000% 05-14.02.25 | 200 000.00 | 228 000.00 | 0.28 |
| CHF	ZUGER KANTONALBANK 0.12500% 19-03.12.29 | 200 000.00 | 199 700.00 | 0.24 |
| Total CHF |  | 5 225 793.00 | 6.35 |
| Total Anleihen, fester Zins |  | 5 225 793.00 | 6.35 |
| Anleihen, Nullcoupon |  |  |  |
| CHF |  |  |  |
| CHF	BALOISE HOLDING AG-REG-S 0.00000% 19-23.09.22 | 150 000.00 | 149 490.00 | 0.18 |
| CHF	BASEL-STADT, CANTON OF 0.00000% 16-05.09.23 | 100 000.00 | 101 250.00 | 0.12 |
| CHF	BASEL-STADT, CANTON OF 0.00000% 16-04.09.26 | 100 000.00 | 101 850.00 | 0.13 |
| CHF	BASLER KANTONALBANK-REG-S 0.00000% 18-11.04.22 | 150 000.00 | 150 225.00 | 0.18 |
| CHF	KOREA GAS CORP-REG-S 0.00000% 19-28.11.23 | 120 000.00 | 119 100.00 | 0.15 |
| CHF	KOREA NATIONAL OIL CORP-REG-S 0.00000% 19-04.10.24 | 50 000.00 | 49 225.00 | 0.06 |
| CHF	PFANDBRIEFBK SCHWEIZERISCHER HYPO-REG-S 0.00000% 19-06.04.27 | 100 000.00 | 100 800.00 | 0.12 |
| CHF	PFANDBRIEFZENTR SCHWEIZ KANTONALBANKEN 0.00000% 15-25.07.23 | 150 000.00 | 151 050.00 | 0.18 |
| CHF	VALIANT BANK AG-REG-S 0.00000% 19-31.10.25 | 200 000.00 | 201 000.00 | 0.25 |
| CHF	WALLISER KANTONALBANK-REG-S 0.00000% 20-14.02.29 | 100 000.00 | 98 500.00 | 0.12 |
| Total CHF |  | 1 222 490.00 | 1.49 |
| Total Anleihen, Nullcoupon |  | 1 222 490.00 | 1.49 |
| Treasury-Notes, fester Zins |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 5.37500% 01-15.02.31 | 280 000.00 | 401 119.25 | 0.49 |
| USD	AMERICA, UNITED STATES OF 4.37500% 08-15.02.38 | 720 000.00 | 1 076 221.15 | 1.31 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.08.27 | 1 290 000.00 | 1 393 392.85 | 1.69 |
| USD	AMERICA, UNITED STATES OF 2.25000% 17-15.11.27 | 1 045 000.00 | 1 131 815.10 | 1.38 |
| USD	AMERICA, UNITED STATES OF 2.75000% 14-15.02.24 | 315 000.00 | 330 707.47 | 0.40 |
| USD	AMERICA, UNITED STATES OF 2.62500% 10-15.11.20 | 85 000.00 | 82 562.23 | 0.10 |
| USD	AMERICA, UNITED STATES OF 1.12500% 16-31.07.21 | 290 000.00 | 281 606.67 | 0.34 |
| USD	AMERICA, UNITED STATES OF 1.75000% 12-15.05.22 | 330 000.00 | 326 789.59 | 0.40 |
| USD	AMERICA, UNITED STATES OF 1.37500% 16-30.09.23 | 330 000.00 | 329 303.56 | 0.40 |
| USD	AMERICA, UNITED STATES OF 1.75000% 13-15.05.23 | 2 305 000.00 | 2 315 792.00 | 2.82 |
| USD	AMERICA, UNITED STATES OF 2.12500% 15-15.05.25 | 1 340 000.00 | 1 401 237.16 | 1.70 |
| Total USD |  | 9 070 547.03 | 11.03 |
| Total Treasury-Notes, fester Zins |  | 9 070 547.03 | 11.03 |
| Treasury-Notes, variabler Zins |  |  |  |
| USD |  |  |  |
| USD	AMERICA, UNITED STATES OF 3.875%/CPI LINKED 99-15.04.29 | 75 000.00 | 156 648.21 | 0.19 |
| USD	AMERICA, UNITED STATES OF 2.375%/CPI LINKED 04-15.01.25 | 105 000.00 | 156 351.95 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.625%/CPI LINKED 16-15.01.26 | 140 000.00 | 155 228.41 | 0.19 |
| USD	AMERICA, UNITED STATES OF 1.125%/CPI LINKED 11-15.01.21 | 135 000.00 | 152 995.31 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 17-15.01.27 | 145 000.00 | 157 472.89 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI INDEX 13-15.07.23 | 145 000.00 | 158 570.94 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.375%/CPI LINKED 15-15.07.25 | 145 000.00 | 158 843.03 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.750%/CPI LINKED 18-15.07.28 | 140 000.00 | 152 934.56 | 0.19 |
| USD	AMERICA, UNITED STATES OF 0.125%/CPI LINKED 20-15.01.30 | 155 000.00 | 158 253.45 | 0.19 |
| Total USD |  | 1 407 298.75 | 1.71 |
| Total Treasury-Notes, variabler Zins |  | 1 407 298.75 | 1.71 |
| Total Wertpapiere und Geldmarktinstrumente, die an einer offiziellen Börse gehandelt werden |  | 26 640 244.03 | 32.39 |

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

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 | 145 000.00 | 157 993.37 | 0.19 |
| Total USD |  |  | 157 993.37 | 0.19 |
| Total Treasury-Notes, variabler Zins | 157 993.37 | 0.19 |
| Total Wertpapiere und Geldmarktinstrumente, die an einem anderen geregelten Markt gehandelt werden | 157 993.37 | 0.19 |

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 | 7 800.00 | 615 175.60 | 0.75 |
| USD | UBS ETFS PLC - MSCI USA TRN INDEX SF (USD) A-ACC | 7 800.00 | 617 910.71 | 0.75 |
| Total Irland | 1 233 086.31 | 1.50 |
| Luxemburg |  |  |
| EUR	UBS (LUX) BOND FUND - EURO HIGH YIELD (EUR) I-X-ACC	13 016.00 | 1 738 668.57 | 2.11 |
| EUR	UBS (LUX) BOND SICAV - EUR CORPORATES (EUR) U-X-ACC	640.00 | 8 233 103.27 | 10.01 |
| USD	UBS (LUX) BOND SICAV - SHORT TERM USD CORPORATES (USD) U-X-A	235.00 | 2 495 020.57 | 3.03 |
| USD	UBS (LUX) BOND SICAV - USD CORPORATES U-X-ACC	141.00 | 1 669 378.12 | 2.03 |
| USD	UBS (LUX) BOND SICAV - USD HIGH YIELD U-X-ACC	187.00 | 3 433 554.47 | 4.18 |
| USD	UBS (LUX) BOND SICAV - EMERGING ECONOMIES CORP (USD)-I-X-DIS	26 578.00 | 2 691 484.61 | 3.27 |
| USD	UBS (LUX) BOND SICAV - USD INVEST GRADE CORP USD U X ACC	1 299.00 | 14 626 053.15 | 17.78 |
| USD	UBS (LUX) EMERGING ECONOMIES FUND-GLOBAL BONDS (USD)-U-X ACC	379.00 | 4 700 151.57 | 5.72 |
| USD	UBS (LUX) EQUITY FUND - GLOBAL SUSTAINABLE (USD) U-X-ACC	180.00 | 1 782 223.78 | 2.17 |
| USD	UBS (LUX) EQUITY SICAV - GLB EM OPP(USD)-U-X-ACC	11.00 | 280 000.72 | 0.34 |
| USD	UBS (LUX) EQUITY SICAV-GLOBAL QUANTITATIVE (USD) U-X-ACC	142.39 | 1 886 225.10 | 2.29 |
| USD	UBS (LUX) EQUITY SICAV - GLOBAL OPPORTUNITY (USD) U-X-ACC	106.00 | 939 332.92 | 1.14 |
| USD	UBS (LUX) INST FUND-KEY SEL. GLOBAL EQUITY FA-USD	82.52 | 1 886 483.20 | 2.29 |
| USD	UBS (LUX) INSTITUTION SICAV-EQUITIES GLB (EX USA) PASSIVE XA	7 435.00 | 646 423.81 | 0.79 |
| CHF	UBS ETF - MSCI SWITZERLAND 20/35 UCITS A-CAP	192 500.00 | 4 186 875.00 | 5.09 |
| Total Luxemburg | 51 194 978.86 | 62.24 |
| Total Investment Fonds, open end | 52 428 065.17 | 63.74 |
| Total OGAW/Andere OGA im Sinne des Artikels 41 (1) e) des abgeänderten luxemburgischen Gesetzes vom 17. Dezember 2010 | 52 428 065.17 | 63.74 |
| 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	3.00 | 139 118.97 | 0.17 |
| USD	S&P 500 INDEX PUT 2225.00000 18.09.20	-3.00 | -6 455.90 | -0.01 |
| Total USD | 132 663.07 | 0.16 |
| Total Optionen auf Indizes, klassisch | 132 663.07 | 0.16 |
| Total Derivative Instrumente, die an einer offiziellen Börse gehandelt werden | 132 663.07 | 0.16 |
| Total des Wertpapierbestandes | 79 358 965.64 | 96.48 |

| Derivative Instrumente |  |
| --- | --- |
| Derivative Instrumente, die an einer offiziellen Börse gehandelt werden Finanzterminkontrakte auf Anleihen |
|  |  |  |  |
| USD	US 5YR TREASURY NOTE FUTURE 30.09.20 | -5.00 | -900.66 | 0.00 |
| Total Finanzterminkontrakte auf Anleihen |  | -900.66 | 0.00 |
| Finanzterminkontrakte auf Indizes |  |  |  |
|  |  |  |  |
| EUR	EURO STOXX 50 INDEX FUTURE 19.06.20 | -74.00 | -504 171.58 | -0.61 |
| CHF	SWISS MARKET INDEX FUTURE 19.06.20 | -3.00 | -3 210.00 | -0.01 |
| GBP	FTSE 100 INDEX FUTURE 19.06.20 | 41.00 | 277 454.24 | 0.34 |
| USD	S&P500 EMINI FUTURE 19.06.20 | 7.00 | 74 857.28 | 0.09 |
| AUD	SPI 200 INDEX FUTURES 18.06.20 | -2.00 | -26 576.68 | -0.03 |
| JPY	NIKKEI 225 (OSE) INDEX FUTURE 11.06.20 | -3.00 | -97 198.03 | -0.12 |
| CAD	S&P/TSX 60 INDEX FUTURE 18.06.20 | -2.00 | -27 954.97 | -0.04 |
| Total Finanzterminkontrakte auf Indizes |  | -306 799.74 | -0.38 |
| Total Derivative Instrumente, die an einer offiziellen Börse gehandelt werden |  | -307 700.40 | -0.38 |

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

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 | 2 500 000.00 | 31 256.91 | 0.04 |
| --- | --- | --- | --- | --- |
| Total Credit-Default-Swaps | 31 256.91 | 0.04 |
| Total Derivative Instrumente, die nicht an einer offiziellen Börse oder einem anderen geregelten Markt gehandelt werden | 31 256.91 | 0.04 |
| Total Derivative Instrumente | -276 443.49 | -0.34 |
| Devisenterminkontrakte |  |  |
| Devisenterminkontrakte (Kauf/Verkauf) |  |  |

| CHF | 104 918.09 | USD | 108 500.00 | 24.6.2020 | 753.04 | 0.00 |
| --- | --- | --- | --- | --- | --- | --- |
| EUR | 85 000.00 | CHF | 89 444.31 | 24.6.2020 | 1 370.49 | 0.00 |
| SGD | 45 000.00 | CHF | 30 515.65 | 24.6.2020 | 52.25 | 0.00 |
| CHF | 5 689 950.99 | EUR | 5 407 932.71 | 24.6.2020 | -87 935.45 | -0.11 |
| GBP | 1 072 183.44 | CHF | 1 281 570.14 | 24.6.2020 | -8 863.94 | -0.01 |
| CHF | 67 957.04 | HKD | 545 000.00 | 24.6.2020 | 485.88 | 0.00 |
| CHF | 60 745.59 | CAD | 88 842.21 | 24.6.2020 | -963.26 | 0.00 |
| CHF | 34 923.67 | NOK | 383 648.73 | 24.6.2020 | -2 975.96 | 0.00 |
| CHF | 170 123.18 | AUD | 277 365.86 | 24.6.2020 | -6 639.45 | -0.01 |
| NZD | 10 000.00 | CHF | 5 794.88 | 24.6.2020 | 149.60 | 0.00 |
| CHF | 352 255.42 | JPY | 39 171 190.00 | 24.6.2020 | 3 078.93 | 0.00 |
| CHF | 33 919.35 | SEK | 352 473.77 | 24.6.2020 | -2 017.31 | 0.00 |
| CHF | 62 767.48 | DKK | 445 000.00 | 24.6.2020 | -1 019.72 | 0.00 |
| CHF | 22 815 152.64 | USD | 23 591 062.69 | 24.6.2020 | 166 633.60 | 0.20 |
| CHF | 52 302.56 | USD | 54 000.00 | 24.6.2020 | 460.04 | 0.00 |
| GBP | 44 000.00 | CHF | 52 566.32 | 24.6.2020 | -337.32 | 0.00 |
| EUR | 150 000.00 | CHF | 157 740.30 | 24.6.2020 | 2 521.12 | 0.00 |
| USD | 165 000.00 | CHF | 160 247.67 | 24.6.2020 | -1 839.98 | 0.00 |
| GBP | 80 000.00 | CHF | 96 152.00 | 24.6.2020 | -1 190.18 | 0.00 |
| CHF | 31 566.09 | EUR | 30 000.00 | 24.6.2020 | -486.19 | 0.00 |
| USD | 40 000.00 | CHF | 38 853.40 | 24.6.2020 | -451.54 | 0.00 |
| CHF | 61 261.28 | EUR | 58 000.00 | 24.6.2020 | -706.47 | 0.00 |
| CHF | 24 420.76 | CAD | 35 000.00 | 24.6.2020 | 110.13 | 0.00 |
| USD | 75 000.00 | CHF | 72 989.78 | 24.6.2020 | -986.29 | 0.00 |
| USD | 25 000.00 | CHF | 24 268.00 | 24.6.2020 | -266.84 | 0.00 |
| CHF | 2 993.71 | GBP | 2 500.00 | 24.6.2020 | 26.15 | 0.00 |
| JPY | 850 000.00 | CHF | 7 795.47 | 24.6.2020 | -218.47 | 0.00 |
| EUR | 32 000.00 | CHF | 33 709.54 | 24.6.2020 | 479.56 | 0.00 |
| EUR | 45 000.00 | CHF | 47 393.46 | 24.6.2020 | 684.97 | 0.00 |
| USD | 115 000.00 | CHF | 111 673.63 | 24.6.2020 | -1 268.27 | 0.00 |
| JPY | 4 134 213.00 | CHF | 37 779.21 | 24.6.2020 | -926.36 | 0.00 |
| CHF | 5 514.58 | JPY | 610 000.00 | 24.6.2020 | 76.97 | 0.00 |
| CHF | 10 515.90 | EUR | 10 000.00 | 24.6.2020 | -168.19 | 0.00 |
| CHF | 5 512.67 | JPY | 610 000.00 | 22.7.2020 | 77.16 | 0.00 |
| CHF | 10 513.51 | EUR | 10 000.00 | 22.7.2020 | -168.16 | 0.00 |
| GBP | 1 147 675.77 | CHF | 1 374 582.75 | 22.7.2020 | -13 235.46 | -0.02 |
| CHF | 85 599.08 | SGD | 125 000.00 | 22.7.2020 | 749.62 | 0.00 |
| AUD | 26 385.99 | CHF | 16 614.60 | 22.7.2020 | 186.77 | 0.00 |
| CHF | 62 716.41 | DKK | 445 000.00 | 22.7.2020 | -1 057.59 | 0.00 |
| CHF | 30 290.36 | SEK | 306 840.78 | 22.7.2020 | -975.90 | 0.00 |
| CHF | 33 935.57 | NOK | 359 397.44 | 22.7.2020 | -1 545.95 | 0.00 |
| CHF | 4 986 749.44 | EUR | 4 744 522.58 | 22.7.2020 | -81 191.53 | -0.10 |
| CHF | 66 885.88 | HKD | 535 000.00 | 22.7.2020 | 755.58 | 0.00 |
| CHF | 150 903.66 | CAD | 217 938.17 | 22.7.2020 | -349.56 | 0.00 |
| CHF | 308 775.17 | JPY | 34 192 990.00 | 22.7.2020 | 4 092.79 | 0.01 |
| CHF | 22 887 104.57 | USD | 23 592 569.59 | 22.7.2020 | 255 852.67 | 0.31 |
| CHF | 7 987.64 | JPY | 885 000.00 | 24.6.2020 | 98.65 | 0.00 |
| CHF | 7 984.97 | JPY | 885 000.00 | 22.7.2020 | 99.03 | 0.00 |
| CHF | 123 427.64 | USD | 127 500.00 | 22.7.2020 | 1 122.84 | 0.00 |
| CHF | 123 535.50 | USD | 127 500.00 | 24.6.2020 | 1 129.56 | 0.00 |
| CHF | 95 907.75 | USD | 99 000.00 | 22.7.2020 | 941.67 | 0.00 |
| CHF | 95 989.25 | USD | 99 000.00 | 24.6.2020 | 944.64 | 0.00 |
| CHF | 83 231.49 | EUR | 78 500.00 | 24.6.2020 | -638.65 | 0.00 |
| CHF | 83 210.41 | EUR | 78 500.00 | 22.7.2020 | -640.68 | 0.00 |
| CHF | 101 606.15 | EUR | 96 000.00 | 24.6.2020 | -961.16 | 0.00 |
| CHF | 101 582.94 | EUR | 96 000.00 | 22.7.2020 | -961.06 | 0.00 |
| CHF | 477 563.71 | USD | 492 500.00 | 22.7.2020 | 5 131.42 | 0.01 |
| CHF | 477 960.46 | USD | 492 500.00 | 24.6.2020 | 5 137.52 | 0.01 |
| GBP | 669 000.00 | CHF | 791 643.09 | 24.6.2020 | 2 475.17 | 0.00 |
| GBP | 668 000.00 | CHF | 789 910.00 | 22.7.2020 | 2 456.64 | 0.00 |
| CHF | 83 156.07 | EUR | 78 500.00 | 24.6.2020 | -714.07 | 0.00 |
| CHF | 84 981.68 | GBP | 71 500.00 | 22.7.2020 | 169.98 | 0.00 |
| CHF | 85 041.17 | GBP | 71 500.00 | 24.6.2020 | 169.04 | 0.00 |
| CHF | 83 137.00 | EUR | 78 500.00 | 22.7.2020 | -714.09 | 0.00 |
| CHF | 45 374.95 | JPY | 5 050 000.00 | 22.7.2020 | 376.08 | 0.00 |
| CHF | 45 390.36 | JPY | 5 050 000.00 | 24.6.2020 | 374.08 | 0.00 |
| USD | 514 263.68 | CHF | 494 198.14 | 22.7.2020 | -888.97 | 0.00 |
| USD | 515 000.00 | CHF | 495 316.70 | 24.6.2020 | -892.71 | 0.00 |
| Total Devisenterminkontrakte (Kauf/Verkauf) | 235 026.91 | 0.29 |
|  |  |  |
| Bankguthaben, Sicht- und Fristgelder und andere liquide Mittel | 3 072 414.43 | 3.74 |
| Kontokorrentkredit und andere kurzfristige Verbindlichkeiten | -41.09 | 0.00 |
| Andere Aktiva und Passiva | -132 298.91 | -0.17 |
| Total des Nettovermögens | 82 257 623.49 | 100.00 |
| * Nominal positiv: der Subfonds ist «Receiver», Nominal negativ: der Subfonds ist «Payer». |  |  |

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