Annual Report 2009/2010.

Transcription

1 ab1 Annual Report 2009/2010. Investment Company under Luxembourg Law (SICAV) R.C.S. Luxembourg N B Audited annual report as of 31 May 2010 UBS (Lux) Strategy Sicav UBS (Lux) Strategy Sicav Fixed Income (CHF) UBS (Lux) Strategy Sicav Fixed Income () UBS (Lux) Strategy Sicav Fixed Income ()

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3 Audited annual report as of 31 May 2010 Table of contents Page ISIN Management and Administration 2 Features of the Company 4 Audit report 5 UBS (Lux) Strategy Sicav 7 UBS (Lux) Strategy Sicav Fixed Income (CHF) 8 LU UBS (Lux) Strategy Sicav Fixed Income () 16 LU UBS (Lux) Strategy Sicav Fixed Income () 22 LU Notes to the Financial Statements 28 Appendix 34 Sales restrictions Shares of this Company may not be offered, sold or distributed within the United States of America. Internet address 1

4 Management and Administration Annual Report as of 31 May 2010 UBS (Lux) Strategy Sicav Registered Office 33A, avenue J.F. Kennedy, P.O. Box 91, L-2010 Luxembourg R.C.S. Luxembourg N B Administrative agent UBS Fund Services (Luxembourg) S.A., 33A, avenue J.F. Kennedy, P.O. Box 91, L-2010 Luxembourg Board of Directors Robert Süttinger, Chairman Executive Director, UBS AG, Basel and Zurich Aloyse Hemmen, Member Executive Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Gilbert Schintgen, Member Executive Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Court Taylour, Member Director, UBS AG, Basel and Zurich Day to Day Manager Valérie Bernard (until 31 July 2009) Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Frédéric Delapierre (until 25 July 2009) Associate Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Christophe Hilbert Associate Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Olivier Humbert (since 31 July 2009) Associate Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Siobhan Ronan (since 25 July 2009) Director, UBS Fund Services (Luxembourg) S.A., Luxembourg Portfolio Manager UBS AG, UBS Global Asset Management, Basel and Zurich Auditor of the company PricewaterhouseCoopers S.à r.l., 400, Route d Esch, B.P. 1443, L-1014 Luxembourg Sale in Switzerland Representative UBS Fund Management (Switzerland) AG, Brunngässlein 12, CH-4002 Basel Paying agents UBS AG, Aeschenvorstadt 1, CH-4002 Basel UBS AG, Bahnhofstrasse 45, CH-8098 Zurich and its offices in Switzerland The sales prospectus and the simplified prospectuses, the articles of association of the company, the annual and semi-annual reports as well as the portfolio movements of the company mentioned in this publication are available free of charge from UBS AG, P.O. Box, CH-4002 Basel and from UBS Fund Management (Switzerland) AG, P.O. Box, CH-4002 Basel. Sale in the Federal Republic of Germany Sales support and information agent UBS Deutschland AG, Bockenheimer Landstr. 2-4, D Frankfurt Sales agency, paying and information agent UBS Deutschland AG, Bockenheimer Landstr. 2-4, D Frankfurt The sales prospectus and the simplified prospectuses, the articles of association of the company, the annual and semi-annual reports as well as the portfolio movements of the company mentioned in this publication are available free of charge from UBS Deutschland AG, Bockenheimer Landstr. 2-4, D Frankfurt. Custodian Bank, main paying agent and sales agency UBS (Luxembourg) S.A., 33A, avenue J.F. Kennedy, P.O. Box 2, L-2010 Luxembourg 2

5 UBS (Lux) Strategy Sicav Sale in the Principality of Liechtenstein Sales agency and paying agent Liechtensteinische Landesbank AG, Städtle 44, FL-9490 Vaduz Sale in Belgium, in France, in Italy, in the Netherlands, in the Republic of Austria, in Sweden, in Spain, in Singapore* and in the United Kingdom Shares of this fund may be sold in these countries. * Restricted foreign scheme The sales prospectus and the simplified prospectuses, the articles of association of the company, the annual and semi-annual reports as well as the portfolio movements of the company mentioned in this publication are available free of charge at the sales agencies and at the registered office of the company. 3

6 Features of the Company Annual Report as of 31 May 2010 UBS (Lux) Strategy Sicav UBS (Lux) Strategy Sicav (hereinafter called the company ) offers investors a range of different subfunds ( umbrella construction ) which invest in accordance with the investment policy described in the sales prospectus. The sales prospectus, which contains specific details on each subfund, will be brought up to date on the inception of each new subfund. UBS (Lux) Strategy Sicav was incorporated on 24 May 1993 as an open-end investment fund in the legal form of a Société d Investissement à Capital Variable (SICAV) in accordance with Part I of the Luxembourg law relating to undertakings for collective investment enacted on 30 March 1988 and adapted in December 2006 to the requirements applicable to self-administered SICAVs in accordance with the Luxembourg law relating to Undertakings for Collective Investment enacted on 20 December The Articles of Association were published in the Mémorial, Recueil des Sociétés et Associations, hereinafter called Mémorial, of 28 June 1993, and amendments were published on 3 May 1994, 30 December 1995 and 30 November 1998, and by means of a notice on 8 November The consolidated version is deposited at the Commercial and Company Register of the District Court in Luxembourg for inspection. All amendments are published in the Mémorial, in a Luxembourg daily newspaper and, if necessary, in the official publications specified for the respective countries in which Funds are marketed. Such amendments become legally binding in respect of all shareholders subsequent to their approval by the General Meeting of Shareholders. Currently, the following subfunds are available: The company is a single legal entity. With respect to the shareholders, each subfund is regarded as being separate from the others. However, the company is liable in its entirety for all the obligations of the subfunds, unless other terms have been specifically agreed with its creditors. The Board of Directors of the company is empowered at any time to liquidate subfunds and/or to set up new subfunds or different share classes with specific characteristics within such subfunds. The sales prospectus is brought up to date at the time of inception of each new subfund or of creation of an additional share class. The company is unlimited with regard to duration and total assets. The financial year of the company ends on 31 May. The ordinary general meeting takes place annually on 20 August, at 11:00 a.m. at the registered office of the company. If 20 August happens to be no working day in Luxembourg, the ordinary general meeting takes place on the next following working day. The shares of the subfunds of UBS (Lux) Strategy Sicav are listed on the Luxembourg Stock Exchange. The issue and redemption of shares of UBS (Lux) Strategy Sicav are subject to the regulations prevailing in the country concerned. Only the information contained in the sales prospectus and in one of the documents referred to therein shall be deemed to be valid. UBS (Lux) Strategy Sicav Currency of account Fixed Income (CHF) CHF Fixed Income () Fixed Income () The entirety of the subfunds net assets forms the total net assets of the company, which at any time correspond to the share capital of the company and consist of fully paid in and non-par-value shares (the shares ). The annual and semi-annual reports are available free of charge to shareholders at the registered office of the company and the custodian bank. No subscription may be accepted on the basis of the financial reports. Subscriptions are accepted only on the basis of the current prospectus accompanied by the latest annual report and the latest semi-annual report if available. At general meetings, the shareholder has the right to one vote per share held, irrespective of the difference in value of shares in the respective subfunds. Shares of a particular subfund carry the right of one vote per share held when voting at meetings affecting this subfund. 4

7 Audit report Annual Report as of 31 May 2010 UBS (Lux) Strategy Sicav To the Shareholders of PricewaterhouseCoopers Société à responsabilité limitée 400, Route d Esch B.P L-1014 Luxembourg Telephone Facsimile info@lu.pwc.com UBS (Lux) Strategy Sicav We have audited the accompanying financial statements of UBS (Lux) Strategy Sicav and of each of its subfunds, which comprise the statement of net assets and the statement of investments in securities and other net assets as at 31 May 2010 and the statement of operations and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Board of Directors of the SICAV s responsibility for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. This responsibility includes: designing, implementing and maintaining internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error; selecting and applying appropriate accounting policies; and making accounting estimates that are reasonable in the circumstances. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. Cabinet de révision agréé Expert comptable (autorisation gouvernementale n 95992) R.C.S. Luxembourg B Capital social TVA LU

8 UBS (Lux) Strategy Sicav We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, these financial statements give a true and fair view of the financial position of UBS (Lux) Strategy Sicav and of each of its subfunds as of 31 May 2010 and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Luxembourg, 30 September 2010 PricewaterhouseCoopers S.à r.l. Represented by Marc Schernberg 6

9 UBS (Lux) Strategy Sicav Annual Report as of 31 May 2010 Consolidated Statement of Net Assets Assets Investments in securities, cost Investments in securities, unrealized appreciation (depreciation) Total investments in securities (Note 1) Cash at banks, deposits on demand and deposit accounts Other liquid assets (Margins) Receivable on securities sales (Note 1) Receivable on subscriptions Interest receivable on securities Interest receivable on liquid assets Unrealized gain (loss) on financial futures (Note 1) Unrealized gain (loss) on forward foreign exchange contracts (Note 1) Unrealized gain (loss) on swaps (Note 1) Total Assets Liabilities Other short-term liabilities (Margins) Payable on redemptions Provisions for flat fee (Note 2) Provisions for taxe d abonnement (Note 3) Total provisions Total Liabilities Net assets at the end of the financial year Consolidated Statement of Operations Income Interest on liquid assets Interest on securities Interest received on swaps (Note 1) Income on securities lending (Note 4) Total income Expenses Interest paid on swaps (Note 1) Flat fee (Note 2) Taxe d abonnement (Note 3) Interest on cash liquidity and bank overdraft Total expenses Net income (loss) on investments Realized gain (loss) (Note 1) Realized gain (loss) on market-priced securities without options Realized gain (loss) on financial futures Realized gain (loss) on forward foreign exchange contracts Realized gain (loss) on swaps Realized result on subscriptions/redemptions (Note 5) Total realized gain (loss) on investments Realized gain (loss) on foreign exchange Total realized gain (loss) Net realized gain (loss) of the financial year Changes in unrealized appreciation (depreciation) (Note 1) Unrealized appreciation (depreciation) on market-priced securities without options Unrealized appreciation (depreciation) on yield-evaluated securities and money market instruments Unrealized appreciation (depreciation) on financial futures Unrealized appreciation (depreciation) on forward foreign exchange contracts Unrealized appreciation (depreciation) on swaps Total changes in unrealized appreciation (depreciation) Net increase (decrease) in net assets as a result of operations The notes are an integral part of the financial statements. 7

10 UBS (Lux) Strategy Sicav Fixed Income (CHF) Annual Report as of 31 May 2010 Three-year comparison ISIN Net assets in CHF LU Shares outstanding Net asset value per share in CHF Issue and redemption price per share in CHF See note 1 Performance Currency 2009/ / /2008 UBS (Lux) Strategy Sicav Fixed Income (CHF) CHF 8.3% 2.8% -0.2% Benchmark: UBS Cust. Benchmark Fix. Inc. (CHF) 1 CHF 6.5% 4.9% 1.9% 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 units. The performance data were not audited. 1 Please see the Appendix for the composition of the Customized Benchmark. Report of the Portfolio Manager During the year under review (1 June May 2010) yields fell for all domestic markets, with yield curves flat across the board.the liquidity provided by central banks stimulated demand for all maturity segments of the global fixed income markets. In addition, albeit less significantly, inflation expectations dissipated slightly. Central banks largely held their key interest rates at a low level. During the year under review, the subfund outperformed the benchmark (UBS Customized Benchmark Fixed Income (CHF)). The bond selection and credit strategy contributed positively to performance, but the duration strategy had a negative impact over the reporting year. Structure of the Securities Portfolio Geographical Breakdown as a % of net assets United States Germany Supranationals France 7.67 Netherlands 5.62 United Kingdom 4.40 Ireland 3.79 Sweden 3.66 Japan 3.55 Austria 3.34 Australia 3.24 Cayman Islands 3.20 Norway 2.31 Canada 2.13 Jersey 1.79 Denmark 1.23 South Korea 0.74 Luxembourg 0.67 Poland 0.60 United Arab Emirates 0.59 New Zealand 0.47 Bermuda 0.31 Guernsey 0.30 Spain 0.29 Greece 0.29 Italy 0.27 Croatia 0.18 Mexico 0.03 Total Economic Breakdown as a % of net assets Banks & credit institutions Countries & central governments Financial & investment companies Supranational organisations Non-classified institutions 3.25 Cantons, federal states 2.39 Public, non-profit institutions 1.95 Energy & water supply 1.22 Telecommunications 1.09 Traffic & transportation 1.08 Insurance 0.83 Issuance Centres 0.20 Mortgage & funding institutions 0.15 Textiles, garments & leather goods 0.13 Miscellaneous consumer goods 0.05 Petroleum 0.03 Total The notes are an integral part of the financial statements.

11 UBS (Lux) Strategy Sicav Fixed Income (CHF) Statement of Net Assets CHF Assets Investments in securities, cost Investments in securities, unrealized appreciation (depreciation) Total investments in securities (Note 1) Cash at banks, deposits on demand and deposit accounts Other liquid assets (Margins) Receivable on securities sales (Note 1) Receivable on subscriptions Interest receivable on securities Interest receivable on liquid assets Unrealized gain (loss) on financial futures (Note 1) Unrealized gain (loss) on forward foreign exchange contracts (Note 1) Unrealized gain (loss) on swaps (Note 1) Total Assets Liabilities Other short-term liabilities (Margins) Payable on redemptions Provisions for flat fee (Note 2) Provisions for taxe d abonnement (Note 3) Total provisions Total Liabilities Net assets at the end of the financial year Statement of Operations CHF Income Interest on liquid assets Interest on securities Interest received on swaps (Note 1) Income on securities lending (Note 4) Total income Expenses Interest paid on swaps (Note 1) Flat fee (Note 2) Taxe d abonnement (Note 3) Interest on cash liquidity and bank overdraft Total expenses Net income (loss) on investments Realized gain (loss) (Note 1) Realized gain (loss) on market-priced securities without options Realized gain (loss) on financial futures Realized gain (loss) on forward foreign exchange contracts Realized gain (loss) on swaps Realized result on subscriptions/redemptions (Note 5) Total realized gain (loss) on investments Realized gain (loss) on foreign exchange Total realized gain (loss) Net realized gain (loss) of the financial year Changes in unrealized appreciation (depreciation) (Note 1) Unrealized appreciation (depreciation) on market-priced securities without options Unrealized appreciation (depreciation) on financial futures Unrealized appreciation (depreciation) on forward foreign exchange contracts Unrealized appreciation (depreciation) on swaps Total changes in unrealized appreciation (depreciation) Net increase (decrease) in net assets as a result of operations The notes are an integral part of the financial statements. 9

12 UBS (Lux) Strategy Sicav Fixed Income (CHF) Statement of Changes in Net Assets CHF Net assets at the beginning of the financial year Subscriptions Redemptions Total net subscriptions (redemptions) Net income (loss) on investments Total realized gain (loss) Total changes in unrealized appreciation (depreciation) Net increase (decrease) in net assets as a result of operations Net assets at the end of the financial year Changes in the Number of Shares outstanding Number of shares outstanding at the beginning of the financial year Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the financial year The notes are an integral part of the financial statements.

13 UBS (Lux) Strategy Sicav Fixed Income (CHF) Statement of Investments in Securities and other Net Assets as of 31 May 2010 Description Quantity/ Valuation in CHF as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) Transferable securities and money market instruments listed on an official stock exchange Notes, fixed rate CAD CAD CANADA, GOVERNMENT % Total CAD CHF CHF GENERAL ELECTRIC CAPITAL CORP % CHF WL-BANK WESTF LANDSCHAFT BODENKB % Total CHF GOLDMAN SACHS GROUP INC % Total JPY JPY KREDITANSTALT FUER WIEDERAUFBAU % Total JPY BNP PARIBAS US MTN PROGR LLC-REG-S-SUB % CROATIA, REPUBLIC OF-REG-S % DEPFA ACS BANK % NORDIC INVESTMENT BANK % ONTARIO, PROVINCE OF % Total Total Notes, fixed rate Notes, floating rate AVIVA PLC-SUB %/FLR Total Total Notes, floating rate Medium term notes, fixed rate CAD CAD CAISSE D AMORTIS DE LA DETTE SOCIALE % Total CAD CHF CHF AEGON GLOBAL INSTITUTIONAL MARKETS PLC % CHF AKADEMISKA HUS AB % CHF AKADEMISKA HUS AB % CHF AMERICAN INTERNATIONAL GROUP % CHF AMERICAN INTERNATIONAL GROUP INC % CHF AUSTRALIA & NEW ZEALAND BANKING GROUP % CHF BANK OF SCOTLAND % CHF BAYERISCHE LANDESBANK % CHF BEAR STEARNS COMPANIES INC 2.625% CHF BMW AUSTRALIA FINANCE % CHF BRADFORD & BINGLEY PLC % CHF CITIGROUP INC % CHF CORPORACION ANDINA DE FOMENTO % CHF CREDIT AGRICOLE SA LONDON % CHF DANSKE BANK AS % CHF DEKABANK DEUTSCHE GIROZENTRALE % CHF DEUTSCHE BANK AG % CHF DNB NORWAY BANK ASA % CHF EFG HELLAS CAYMAN ISLAND LTD % CHF ENERGIE BEHEER NEDERLAND BV % CHF OPEAN INVESTMENT BANK % CHF FRANCE TELECOM % CHF GENERALITAT DE CATALUNYA % CHF GPB OBOND FINANCE PLC LPN % CHF GREECE, HELLENIC REPUBLIC OF % CHF HSBC BANK PLC % CHF HYPO ALPE-ADRIA-BANK INTERNATIONAL AG % CHF HYPO ALPE-ADRIA-BANK INTERNATIONAL AG % CHF HYPO ALPE-ADRIA-BANK INTERNATIONAL AG % CHF HYPO ALPE-ADRIA-BANK INTERNATIONAL AG % CHF HYPO INVESTMENTBANK AG % CHF HYPO TIROL BANK AG % The notes are an integral part of the financial statements. 11

14 UBS (Lux) Strategy Sicav Fixed Income (CHF) Description Quantity/ Valuation in CHF as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) CHF ILE DE FRANCE % CHF INTER-AMERICAN DEVELOPMENT BANK % CHF J.P.MORGAN CHASE & CO % CHF JACKSON NATIONAL LIFE FUNDING LLC % CHF KANSAI ELECTRIC POWER CO INC % CHF KOMMUNALKREDIT AUSTRIA AG % CHF KOREA DEVELOPMENT BANK % CHF KREDITANSTALT FUER WIEDERAUFBAU % CHF LANDESBANK RHEINLAND-PFALZ % CHF LANDESKREDITBANK B-WUERTT FOERDERBANK % CHF LVMH MOET HENNESSY LOUIS VUITTON % CHF METROPOLITAN LIFE GLOBAL FUNDING I % CHF METROPOLITAN LIFE GLOBAL FUNDING I % CHF MORGAN STANLEY % CHF MORGAN STANLEY % CHF NEW YORK LIFE FUNDING % CHF NORGES STATSBANER AS % CHF NORGES STATSBANER AS % CHF NOVARTIS SECURITIES INVESTMENT LTD % CHF PETROLEOS MEXICANOS % CHF POLAND, REPUBLIC OF % CHF PRICOA GLOBAL FUNDING I % CHF PRINCIPAL FINANCIAL GLOBAL FUNDING LLC % CHF RABOBANK NEDERLAND NV % CHF SWEDBANK MORTGAGE AB % CHF SWEDISH COVERED BOND CORP % CHF TERRA BOLIGKREDITT AS % CHF THE EXPORT-IMPORT BANK OF KOREA % CHF TOTAL CAPITTAL SA % CHF UNICREDIT BANK (IRELAND) PLC % CHF UNICREDIT BANK AUSTRIA AG-SUB % CHF WESTPAC BANKING CORP/SYDNEY % CHF WUERTH FINANCE INTERNATIONAL BV % Total CHF BANK OF IRELAND % BMW FINANCE NV % BMW FINANCE NV % CARGILL INC % FRANCE TELECOM SA % HOLCIM FINANCE SA % IMPERIAL TOBACCO FINANCE PLC % LANDESBANK HESSEN-THUERINGEN GZ % UBS AG LONDON BRANCH % Total GBP GBP GENERAL ELECTRIC CAPITAL CORP % GBP KREDITANSTALT FUER WIEDERAUFBAU % Total GBP JPY JPY BAYERISCHE LANDESBANK % JPY DEUTSCHE BAHN FINANCE BV % JPY DEXIA MUNICIPAL AGENCY % JPY GENERAL ELECTRIC CAPITAL CORP % JPY NV BANK NEDERLANDSE GEMEENTEN % JPY TOYOTA MOTOR CREDIT CORP % Total JPY COUNCIL OF OPE DEVELOPMENT BANK % COUNCIL OF OPE SOCIAL DEVELOPMENT % OFIMA OPEAN RAILROADMAT FIN CO % INTL BK FOR RECONSTR & DEVT WORLD BANK % NEDERLANDSE WATERSCHAPSBANK NV % Total Total Medium term notes, fixed rate Medium term notes, floating rate CHF CHF ASB FINANCE LTD 3M LIBOR+30BP CHF BANK OF AMERICA CORP %/3M LIBOR+95BP CHF CITIGROUP INC-SUB % FLR CHF COMMONWEALTH BANK OF AUSTRALIA FLR 3M LIBOR+30BP CHF DEXIA BANQUE INTL A-SUB 2.750%/3M LIBOR+57.5BP CHF ROYAL BANK OF SCOTLAND-SUB %/3M LIBOR+62B Total CHF The notes are an integral part of the financial statements.

15 UBS (Lux) Strategy Sicav Fixed Income (CHF) Description Quantity/ Valuation in CHF as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) BANK OF IRELAND-SUB STEP 3M IBOR+20BP/+70BP BBVA SUBOR CAP SA-SUB 3M IBOR+30BP BBVA SUBOR CAP SA-SUB 3M IBOR+22BP BNP PARIBAS-SUB 3M IBOR+22BP/72BP HSH NORDBANK AG-SUB 3M IBOR+30BP SANTANDER ISSUANCES SA-SUB 3M IBOR+20BP Total Total Medium term notes, floating rate Bonds, fixed rate CAD CAD CANADA, GOVERNMENT % Total CAD CHF CHF ABU DHABI COMMERCIAL BANK % CHF ASIAN DEVELOPMENT BANK % CHF BANK OF MOSCOW/KUZNETSKI CAPITAL LPN % CHF BERLIN, STATE OF % CHF BRADFORD & BINGLEY PLC % CHF CITIBANK CREDIT CARD ISSUANCE TRUST % CHF CITIBANK CREDIT CARD ISSUANCE TRUST % CHF CREDIT SUISSE GUERNSEY BRANCH-SUB % CHF OPEAN INVESTMENT BANK % CHF GENERAL ELECTRIC CAPITAL CORP % CHF GREECE, HELLENIC REPUBLIC OF % CHF HYPO INVESTMENTBANK AG % CHF LANDESBANK HESSEN-THUERINGEN GZ % CHF ROYAL BANK OF CANADA % CHF RSHB CAPITAL SA LPN % CHF TOTAL CAPITAL % CHF TOYOTA MOTOR CREDIT CORP % CHF UBS JERSEY BRANCH % CHF UBS JERSEY BRANCH-SUB % Total CHF AUSTRIA, REPUBLIC OF % BAVARIA, STATE OF % CREDIT AGRICOLE SA % FRANCE, REPUBLIC OF-OAT % FRANCE, REPUBLIC OF-OAT % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % IRELAND, REPUBLIC OF % NETHERLANDS, KINGDOM OF THE % Total GBP GBP UNITED KINGDOM OF GREAT BRITAIN & N IRL % Total GBP JPY JPY ASIAN DEVELOPMENT BANK % JPY JAPAN FINANCE ORG FOR MUNI % JPY JAPAN FINANCE ORG FOR MUNI % Total JPY INTL BK FOR RECONSTR & DEVT WORLD BANK % ITALY, REPUBLIC OF % KREDITANSTALT FUER WIEDERAUFBAU % Total Total Bonds, fixed rate Bonds, floating rate CHF CHF CREDIT SUISSE GRP CAP IV-SUB %/6M LIBOR+295BP 00-PRP CHF UBS AG JERSEY-SUB %/3M LIBOR+62.5BP Total CHF The notes are an integral part of the financial statements. 13

16 UBS (Lux) Strategy Sicav Fixed Income (CHF) Description Quantity/ Valuation in CHF as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) BNP PARIBAS %/3M IBOR+169BP 06-PRP BNP PARIBAS-SUB %/3M IBOR+172BP 07-PRP DEXIA FUNDING LUXBG-SUB %/3M IBOR+178BP 06-PRP HT1 FUNDING GMBH-SUB %/12M IBOR+200BP 06-PRP RZB FINANCE (JERSEY) IV 5.169%/3M IBOR+195BP 06-PRP Total Total Bonds, floating rate Treasury notes, fixed rate AMERICA, UNITED STATES OF % AMERICA, UNITED STATES OF % AMERICA, UNITED STATES OF % Total Total Treasury notes, fixed rate Total Transferable securities and money market instruments listed on an official stock exchange Transferable securities and money market instruments traded on another regulated market Treasury notes, fixed rate AMERICA, UNITED STATES OF % AMERICA, UNITED STATES OF % AMERICA, UNITED STATES OF % AMERICA, UNITED STATES OF % Total Total Treasury notes, fixed rate Total Transferable securities and money market instruments traded on another regulated market Transferable securities and money market instruments not listed on an official stock exchange and not traded on another regulated market Medium term notes, fixed rate AUD AUD INTER-AMERICAN DEVELOPMENT BANK % Total AUD Total Medium term notes, fixed rate Total Transferable securities and money market instruments not listed on an official stock exchange and not traded on another regulated market Total investments in securities Derivative instruments Derivative instruments listed on an official stock exchange Financial Futures on bonds JPY JPN GOVERNMENT 10Y BOND (TSE) FUTURE US 10YR TREASURY NOTE FUTURE Total Financial Futures on bonds Total Derivative instruments listed on an official stock exchange Derivative instruments not listed on an official stock exchange and not traded on another regulated market Swaps and forward swaps on interest rates GBP UBS/INTEREST RATE SWAP PAYER % GBP UBS/INTEREST RATE SWAP REC LIBOR 6M CHF ZKB/INTEREST RATE SWAP PAYER % SWAP CHF ZKB/INTEREST RATE SWAP REC 6ML The notes are an integral part of the financial statements.

17 UBS (Lux) Strategy Sicav Fixed Income (CHF) Description Quantity/ Valuation in CHF as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) CHF UBS/INTEREST RATE SWAP PAYER % CHF UBS/INTEREST RATE SWAP REC 6M LIBOR CHF UBS/INTEREST RATE SWAP PAYER % CHF UBS/INTEREST RATE SWAP REC 6M LIBOR CHF ZKB/INTEREST RATE SWAP PAYER % CHF ZKB/INTEREST RATE SWAP REC 6ML GBP UBS/INTEREST RATE SWAP PAYER % GBP UBS/INTEREST RATE SWAP REC 6M LIBOR GBP UBS/INTEREST RATE SWAP PAYER 6M LIBOR GBP UBS/INTEREST RATE SWAP REC % Total Swaps and forward swaps on interest rates Total Derivative instruments not listed on an official stock exchange and not traded on another regulated market Total Derivative instruments Forward Foreign Exchange contracts Forward Foreign Exchange contracts (Purchase/Sale) CHF CHF GBP CHF AUD CHF JPY CHF CAD CHF CHF JPY CHF CHF Total Forward Foreign Exchange contracts (Purchase/Sale) Cash at banks, deposits on demand and deposit accounts and other liquid assets Bank overdraft and other short-term liabilities Other assets and liabilities Total net assets The notes are an integral part of the financial statements. 15

18 UBS (Lux) Strategy Sicav Fixed Income () Annual Report as of 31 May 2010 Three-year comparison ISIN Net assets in LU Shares outstanding Net asset value per share in Issue and redemption price per share in See note 1 Performance Currency 2009/ / /2008 UBS (Lux) Strategy Sicav Fixed Income () 9.3% 6.5% 1.7% Benchmark: UBS Cust. Benchmark Fix. Inc. () 1 7.7% 9.4% 3.4% Historical performance is no indicator of current or future performance. The performance data does not take account of any commissions and costs charged when subscribing and redeeming units. The performance data were not audited. 1 Please see the Appendix for the composition of the Customized Benchmark. Report of the Portfolio Manager During the year under review (1 June May 2010) yields fell for all domestic markets, with yield curves flat across the board. The liquidity provided by central banks stimulated demand for all maturity segments of the global fixed income markets. In addition, albeit less significantly, inflation expectations dissipated slightly. Central banks largely held their key interest rates at a low level. During the year under review, the subfund outperformed the benchmark (UBS Customized Benchmark Fixed Income ()). The bond selection and credit strategy contributed positively to performance, but the duration strategy had a negative impact over the reporting year. Structure of the Securities Portfolio Geographical Breakdown as a % of net assets Germany France United States Supranationals 7.28 Netherlands 7.20 Slovenia 4.22 South Korea 3.74 Austria 3.16 Ireland 3.03 Japan 2.80 United Kingdom 2.74 Canada 0.98 Jersey 0.83 Luxembourg 0.38 Sweden 0.18 Spain 0.17 Italy 0.15 Total Economic Breakdown as a % of net assets Countries & central governments Financial & investment companies Banks & credit institutions Supranational organisations 7.28 Cantons, federal states 2.03 Pharmaceuticals, cosmetics & medical products 0.60 Public, non-profit institutions 0.51 Non-classified institutions 0.18 Investment funds & pension foundations 0.16 Miscellaneous consumer goods 0.11 Insurance 0.09 Total The notes are an integral part of the financial statements.

19 UBS (Lux) Strategy Sicav Fixed Income () Statement of Net Assets Assets Investments in securities, cost Investments in securities, unrealized appreciation (depreciation) Total investments in securities (Note 1) Cash at banks, deposits on demand and deposit accounts Receivable on subscriptions Interest receivable on securities Interest receivable on liquid assets 6.06 Unrealized gain (loss) on forward foreign exchange contracts (Note 1) Unrealized gain (loss) on swaps (Note 1) Total Assets Liabilities Payable on redemptions Provisions for flat fee (Note 2) Provisions for taxe d abonnement (Note 3) Total provisions Total Liabilities Net assets at the end of the financial year Statement of Operations Income Interest on liquid assets Interest on securities Interest received on swaps (Note 1) Income on securities lending (Note 4) Total income Expenses Interest paid on swaps (Note 1) Flat fee (Note 2) Taxe d abonnement (Note 3) Interest on cash liquidity and bank overdraft Total expenses Net income (loss) on investments Realized gain (loss) (Note 1) Realized gain (loss) on market-priced securities without options Realized gain (loss) on financial futures Realized gain (loss) on forward foreign exchange contracts Realized result on subscriptions/redemptions (Note 5) Total realized gain (loss) on investments Realized gain (loss) on foreign exchange Total realized gain (loss) Net realized gain (loss) of the financial year Changes in unrealized appreciation (depreciation) (Note 1) Unrealized appreciation (depreciation) on market-priced securities without options Unrealized appreciation (depreciation) on forward foreign exchange contracts Unrealized appreciation (depreciation) on swaps Total changes in unrealized appreciation (depreciation) Net increase (decrease) in net assets as a result of operations The notes are an integral part of the financial statements. 17

20 UBS (Lux) Strategy Sicav Fixed Income () Statement of Changes in Net Assets Net assets at the beginning of the financial year Subscriptions Redemptions Total net subscriptions (redemptions) Net income (loss) on investments Total realized gain (loss) Total changes in unrealized appreciation (depreciation) Net increase (decrease) in net assets as a result of operations Net assets at the end of the financial year Changes in the Number of Shares outstanding Number of shares outstanding at the beginning of the financial year Number of shares issued Number of shares redeemed Number of shares outstanding at the end of the financial year The notes are an integral part of the financial statements.

21 UBS (Lux) Strategy Sicav Fixed Income () Statement of Investments in Securities and other Net Assets as of 31 May 2010 Description Quantity/ Valuation in as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) Transferable securities and money market instruments listed on an official stock exchange Notes, fixed rate CAD CAD CANADA, GOVERNMENT % Total CAD AUSTRIA, REPUBLIC OF % GOLDMAN SACHS GROUP INC % SLOVENIA, REPUBLIC OF % Total GBP GBP OPEAN INVESTMENT BANK % Total GBP JPY JPY KREDITANSTALT FUER WIEDERAUFBAU % Total JPY BNP PARIBAS US MTN PROGR LLC-REG-S-SUB % OHYPO SA LUXEMBOURG % NORDIC INVESTMENT BANK % Total Total Notes, fixed rate Notes, floating rate AVIVA PLC-SUB %/FLR BANK OF AMERICA CORP-SUB %/FLR Total Total Notes, floating rate Medium term notes, fixed rate AUD AUD OHYPO AG % AUD NETWORK RAIL INFRASTRUCTURE FINANCE PLC % Total AUD BANK OF IRELAND % BANQUE FEDERATIVE DU CREDIT MUTUEL-SUB % BMW FINANCE NV % CARGILL INC % COMPAGNIE DE FINANCEMENT FONCIER % GE CAPITAL OPEAN FUNDING % GE CAPITAL OPEAN FUNDING % GLAXOSMITHKLINE CAPITAL PLC % MERRILL LYNCH & CO INC % OESTERREICHISCHE KONTROLLBANK AG % TOYOTA MOTOR CREDIT CORP % UBS AG LONDON BRANCH % Total JPY JPY BAYERISCHE LANDESBANK % JPY DEUTSCHE BAHN FINANCE BV % JPY DEXIA MUNICIPAL AGENCY % JPY DEXIA MUNICIPAL AGENCY % JPY GENERAL ELECTRIC CAPITAL CORP % JPY TOYOTA MOTOR CREDIT CORP % Total JPY OFIMA OPEAN RAILROADMAT FIN CO % INTL BK FOR RECONSTR & DEVT WORLD BANK % Total Total Medium term notes, fixed rate The notes are an integral part of the financial statements. 19

22 UBS (Lux) Strategy Sicav Fixed Income () Description Quantity/ Valuation in as a % Nominal Unrealized gain of net (loss) on Futures/ assets Options/Forward Exchange Contracts/ Swaps (Note 1) Medium term notes, floating rate BBVA SUBOR CAP SA-SUB 3M IBOR+22BP DEUTSCHE CAPITAL TRUST IV-SUB 3M IBOR+199BP PRP ERSTE CAP FI JER TIER-SUB %/3M IBOR+227BP 06-PRP SANTANDER ISSUANCES SA-SUB 3M IBOR+20BP SOCIETE GENERALE PARIS-SUB %/FLR SVENSKA HANDELSBANKEN-SUB %/3M IBOR+168BP 05-PRP UBS AG JERSEY-SUB %/FLR Total Total Medium term notes, floating rate Bonds, fixed rate CAD CAD CANADA, GOVERNMENT % CAD CANADA, GOVERNMENT % Total CAD BAVARIA, STATE OF % CREDIT AGRICOLE SA % FRANCE, REPUBLIC OF-OAT % FRANCE, REPUBLIC OF-OAT % FRANCE, REPUBLIC OF-OAT % FRANCE, REPUBLIC OF-OAT % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % GERMANY, REPUBLIC OF % KOREA, REPUBLIC OF % NETHERLANDS, KINGDOM OF THE % NETHERLANDS, KINGDOM OF THE % Total GBP GBP UNITED KINGDOM OF GREAT BRITAIN & N IRL % Total GBP JPY JPY ASIAN DEVELOPMENT BANK % JPY DEVELOPMENT BANK OF JAPAN-REG-S % JPY JAPAN FINANCE ORG FOR MUNI % JPY JAPAN FINANCE ORG FOR MUNI % JPY KREDITANSTALT FUER WIEDERAUFBAU % Total JPY INTL BK FOR RECONSTR & DEVT WORLD BANK % ITALY, REPUBLIC OF % Total Total Bonds, fixed rate Bonds, floating rate BNP PARIBAS-SUB %/3M IBOR+172BP 07-PRP RZB FINANCE (JERSEY) IV 5.169%/3M IBOR+195BP 06-PRP Total Total Bonds, floating rate Treasury notes, fixed rate AMERICA, UNITED STATES OF % AMERICA, UNITED STATES OF % Total Total Treasury notes, fixed rate Total Transferable securities and money market instruments listed on an official stock exchange The notes are an integral part of the financial statements.