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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08764
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UBS PACE Select Advisors Trust
(Exact name of registrant as specified in charter)
51 West 52nd Street, New York, New York 10019-6114
(Address of principal executive offices) (Zip code)
Mark F. Kemper, Esq.
UBS Global Asset Management
51 West 52nd Street
New York, NY 10019-6114
(Name and address of agent for service)
Copy to:
Jack W. Murphy, Esq.
Dechert LLP
1775 I Street, N.W.
Washington, DC 20006-2401
Registrant's telephone number, including area code: 212-882 5000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2006
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ITEM 1. REPORTS TO STOCKHOLDERS.
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[UBS Global Asset Management LOGO]
UBS PACE(SM)
ANNUAL REPORT
JULY 31, 2006
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UBS PACE Select Advisors Trust
TABLE OF CONTENTS
INTRODUCTION 3
UBS PACE Money Market Investments 4
UBS PACE Government Securities Fixed Income Investments 10
UBS PACE Intermediate Fixed Income Investments 16
UBS PACE Strategic Fixed Income Investments 22
UBS PACE Municipal Fixed Income Investments 28
UBS PACE Global Fixed Income Investments 34
UBS PACE High Yield Investments 41
UBS PACE Large Co Value Equity Investments 47
UBS PACE Large Co Growth Equity Investments 54
UBS PACE Small/Medium Co Value Equity Investments 61
UBS PACE Small/Medium Co Growth Equity Investments 68
UBS PACE International Equity Investments 76
UBS PACE International Emerging Markets Equity Investments 84
UBS PACE Alternative Strategies Investments 91
FINANCIAL STATEMENTS 98
QUARTERLY FORM N-Q PORTFOLIO SCHEDULE 317
PROXY VOTING POLICIES, PROCEDURES AND RECORD 317
BOARD APPROVAL OF MANAGEMENT AND SUB-ADVISORY AGREEMENTS 318
TRUSTEES & OFFICERS 344
UBS PACE SELECT ADVISORS TRUST OFFERS MULTIPLE SHARE CLASSES REPRESENTING
INTERESTS IN FOURTEEN SEPARATE PORTFOLIOS. (UBS PACE MONEY MARKET INVESTMENTS
OFFERS ONLY ONE SHARE CLASS.) DIFFERENT CLASSES OF SHARES AND/OR PORTFOLIOS ARE
OFFERED BY SEPARATE PROSPECTUSES.
FOR MORE INFORMATION ON A PORTFOLIO OR CLASS OF SHARES, CONTACT YOUR FINANCIAL
ADVISOR. HE OR SHE CAN SEND YOU A CURRENT PROSPECTUS RELATING TO A PORTFOLIO OR
CLASS OF SHARES, WHICH INCLUDES A DISCUSSION OF INVESTMENT RISKS, SALES CHARGES,
EXPENSES AND OTHER MATTERS OF INTEREST. PLEASE READ THE PROSPECTUS RELATED TO
THE PORTFOLIO OR CLASS OF SHARES YOU ARE INTERESTED IN CAREFULLY BEFORE YOU
INVEST.
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UBS PACE Select Advisors Trust
INTRODUCTION
September 22, 2006
Dear UBS PACE Shareholder,
We are pleased to provide you with the annual report for the UBS PACE
Portfolios, comprising the UBS PACE Select Advisors Trust. This report includes
summaries of the performance of each Portfolio and commentaries from the
individual investment advisors regarding the events that affected Portfolio
performance during the fiscal year ended July 31, 2006. Please note that the
opinions of the advisors do not necessarily represent those of UBS Global Asset
Management (Americas) Inc.
The past year was one marked by a number of challenges, but on the whole, it was
a period of continued economic improvement. The 12-month reporting period began
on a rather down note--in the middle of a devastating and record-breaking
hurricane season that sent already high oil and gas prices even higher. Although
energy prices have changed little since then, other economic factors have
offered decidedly more positive news. Unemployment, consumer confidence and
gross domestic product (GDP) data were all strong, showing the US economy
expanding at a solid annual rate, and more capable of adapting to the high cost
of energy and geopolitical uncertainty than some market observers had
speculated. Against this backdrop, US equities performed quite solidly, with
positive returns generally posted across investment styles and market
capitalizations.
The environment in fixed income markets was certainly more challenging.
Inflation was, and remains, a main concern of many economists, including former
Federal Reserve Chairman Alan Greenspan and his successor, Ben Bernanke. While
we believe the tandem has put in place a sound policy for maintaining price
stability, that policy placed significant downward pressure on bond prices
throughout the Portfolios' fiscal year.
On an international level, markets generally followed the same patterns: as
economies continued to strengthen, equity prices generally rose. At the same
time, a number of central banks raised interest rates, sending bond prices
lower. The one exception was within emerging markets, where both stocks and
bonds posted solid returns for the majority of the Portfolios' reporting period,
despite a sell-off in May.
We believe this volatility and the divergence of markets highlights the
importance of professional financial advice and the need for a well-diversified
portfolio. As always, we appreciate your continued support. If you have any
questions regarding your portfolio or your investment program, please contact
your financial advisor.
Sincerely,
/s/ Kai Sotorp
- ----------------------------------
Kai Sotorp
PRESIDENT, UBS PACE Select Advisors Trust
HEAD OF THE AMERICAS, UBS Global Asset Management (Americas) Inc.
THIS REPORT IS INTENDED TO ASSIST INVESTORS IN UNDERSTANDING HOW THE PORTFOLIOS
PERFORMED DURING THE FISCAL YEAR ENDED JULY 31, 2006. THE VIEWS EXPRESSED IN THE
ADVISORS' COMMENTS SECTIONS ARE AS OF THE END OF THE REPORTING PERIOD, REFLECT
PERFORMANCE RESULTS GROSS OF FEES AND EXPENSES, AND ARE THOSE OF THE INVESTMENT
ADVISORS. ADVISORS' COMMENTS ON PORTFOLIOS THAT HAVE MORE THAN ONE MANAGER ARE
REFLECTIVE OF THEIR PORTION OF THE PORTFOLIO ONLY. THE VIEWS AND OPINIONS IN
THIS REPORT WERE CURRENT AS OF SEPTEMBER 22, 2006. THEY ARE NOT GUARANTEES OF
PERFORMANCE OR INVESTMENT RESULTS AND SHOULD NOT BE TAKEN AS INVESTMENT ADVICE.
INVESTMENT DECISIONS REFLECT A VARIETY OF FACTORS, AND THE ADVISORS RESERVE THE
RIGHT TO CHANGE THEIR VIEWS ABOUT INDIVIDUAL SECURITIES, SECTORS AND THE MARKETS
AT ANY TIME. AS A RESULT, THE VIEWS EXPRESSED SHOULD NOT BE RELIED UPON AS A
FORECAST OF A PORTFOLIO'S FUTURE INVESTMENT INTENT.
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UBS PACE Select Advisors Trust
UBS PACE MONEY MARKET INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio returned 3.89% (before
the deduction of the maximum UBS PACE program fee; after the deduction of the
maximum program fee, the Portfolio returned 2.35%). In comparison, the 90-Day US
T-Bill Index returned 4.11% and the median return for the Lipper Money Market
Instrument Funds category was 3.66%. (Returns over various time periods are
shown in the "Performance at a glance" table on page 7. Please note that the
returns shown do not reflect the deduction of taxes that a shareholder would pay
on Portfolio distributions.)
MARKET REVIEW
The Federal Reserve Board (the "Fed") captured financial headlines throughout
the Portfolio's fiscal year. After raising rates in 17 consecutive meetings
dating back to 2004, the Fed finally paused, leaving short-term interest rates
unchanged at 5.25% at its August meeting. Although the series of rate increases
began primarily as an attempt to move from an exceptionally accommodative
monetary policy to more neutral ground, inflation has lately become much more of
a concern. Oil prices increased dramatically over the reporting period,
remaining above $65 a barrel for the majority of the past year.
During this time, Treasury yields rose across the maturity spectrum, most
dramatically on the shorter end of the yield curve. At several points during the
period, the yield curve inverted by some measures, meaning shorter-dated
securities offered higher yields than longer-dated Treasuries. An inverted yield
curve historically has indicated a pending economic slowdown, but over the past
year gross domestic product (GDP) and unemployment data have both remained quite
positive.
ADVISOR'S COMMENTS
During the course of the Portfolio's fiscal year, we most often implemented a
"bulleted" yield curve strategy to take advantage of the rising interest rate
environment. Generally, a bulleted strategy is expected to perform better in
such a market environment as it allows an investor to target certain maturities
while spreading out and ultimately reducing interest rate risk. In this case, we
frequently sought to own securities that matured shortly before Fed meetings,
allowing us to lock in higher yield opportunities as rates rose.
At the beginning of the period the yield curve inverted slightly, and we
selectively purchased one to three month securities as attractive levels
presented themselves. As interest rates continued to climb upwards, we took
advantage of a significant rise in the yield of one year securities and added
them to the Portfolio, locking in higher rates.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE MONEY MARKET INVESTMENTS
INVESTMENT ADVISOR:
UBS GLOBAL ASSET MANAGEMENT (AMERICAS) INC.
PORTFOLIO MANAGER:
Michael H. Markowitz
OBJECTIVE:
CURRENT INCOME CONSISTENT WITH PRESERVATION OF CAPITAL AND LIQUIDITY.
INVESTMENT PROCESS:
THE PORTFOLIO IS A MONEY MARKET MUTUAL FUND AND SEEKS TO MAINTAIN A STABLE PRICE
OF $1.00 PER SHARE, ALTHOUGH IT MAY BE POSSIBLE TO LOSE MONEY BY INVESTING IN
THIS PORTFOLIO. THE PORTFOLIO INVESTS IN A DIVERSIFIED PORTFOLIO OF HIGH-QUALITY
MONEY MARKET INSTRUMENTS OF GOVERNMENTAL AND PRIVATE ISSUERS. SECURITY SELECTION
IS BASED ON THE ASSESSMENT OF RELATIVE VALUES AND CHANGES IN MARKET AND ECONOMIC
CONDITIONS.
4
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ADVISOR'S COMMENTS - CONCLUDED
On a sector level, the Portfolio maintained relatively large positions in
commercial paper, corporate debt, and certificates of deposit. The Portfolio
also held government agency obligations and other US government securities.
Portfolio holdings were selected with an eye toward liquidity and quality, which
we maintained throughout the reporting period.
Looking ahead, the Fed has indicated that future interest rate setting activity
will be data dependent, specifically regarding sustained inflationary pressures
and economic growth. We feel the Fed will look to maintain its inflation
fighting credibility and put a greater significance on containing inflation over
accommodating economic growth. Moderation in the housing market and high energy
prices continue to be a point of concern, but overall, the Portfolio remains
well diversified, and we will continue to seek yield opportunities and liquidity
in the Portfolio.
5
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COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE PORTFOLIO AND THE
90-DAY US T-BILL INDEX
[CHART]
<Table>
<Caption>
UBS PACE MONEY UBS PACE MONEY
MARKET INVESTMENTS MARKET INVESTMENTS
(BEFORE DEDUCTING (AFTER DEDUCTING
MAXIMUM UBS PACE MAXIMUM UBS 90-DAY US
PROGRAM FEE) PACE PROGRAM FEE) T-BILL INDEX
------------------ ------------------ ------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,042 $10,029 $10,044
9/30/1996 $10,083 $10,057 $10,087
10/31/1996 $10,125 $10,087 $10,131
11/30/1996 $10,167 $10,116 $10,174
12/31/1996 $10,208 $10,145 $10,217
1/31/1997 $10,251 $10,175 $10,261
2/28/1997 $10,291 $10,201 $10,302
3/31/1997 $10,335 $10,232 $10,347
4/30/1997 $10,378 $10,262 $10,391
5/31/1997 $10,424 $10,294 $10,436
6/30/1997 $10,468 $10,325 $10,480
7/31/1997 $10,514 $10,358 $10,526
8/31/1997 $10,561 $10,391 $10,571
9/30/1997 $10,606 $10,422 $10,616
10/31/1997 $10,653 $10,455 $10,662
11/30/1997 $10,699 $10,487 $10,707
12/31/1997 $10,747 $10,521 $10,754
1/31/1998 $10,795 $10,555 $10,801
2/28/1998 $10,838 $10,584 $10,844
3/31/1998 $10,886 $10,617 $10,892
4/30/1998 $10,932 $10,649 $10,938
5/31/1998 $10,980 $10,682 $10,985
6/30/1998 $11,027 $10,714 $11,031
7/31/1998 $11,075 $10,748 $11,077
8/31/1998 $11,124 $10,781 $11,124
9/30/1998 $11,171 $10,813 $11,170
10/31/1998 $11,217 $10,844 $11,215
11/30/1998 $11,261 $10,873 $11,256
12/31/1998 $11,307 $10,904 $11,298
1/31/1999 $11,351 $10,933 $11,340
2/28/1999 $11,391 $10,958 $11,379
3/31/1999 $11,434 $10,986 $11,422
4/30/1999 $11,477 $11,012 $11,464
5/31/1999 $11,521 $11,041 $11,508
6/30/1999 $11,564 $11,069 $11,551
7/31/1999 $11,610 $11,099 $11,596
8/31/1999 $11,657 $11,130 $11,642
9/30/1999 $11,704 $11,161 $11,688
10/31/1999 $11,753 $11,194 $11,735
11/30/1999 $11,802 $11,226 $11,783
12/31/1999 $11,856 $11,263 $11,833
1/31/2000 $11,910 $11,300 $11,885
2/29/2000 $11,961 $11,335 $11,936
3/31/2000 $12,017 $11,373 $11,992
4/30/2000 $12,072 $11,411 $12,048
5/31/2000 $12,131 $11,453 $12,107
6/30/2000 $12,192 $11,496 $12,164
7/31/2000 $12,256 $11,541 $12,223
8/31/2000 $12,320 $11,587 $12,283
9/30/2000 $12,382 $11,632 $12,344
10/31/2000 $12,447 $11,678 $12,409
11/30/2000 $12,511 $11,723 $12,472
12/31/2000 $12,576 $11,770 $12,538
1/31/2001 $12,638 $11,813 $12,603
2/28/2001 $12,691 $11,847 $12,657
3/31/2001 $12,745 $11,883 $12,713
4/30/2001 $12,794 $11,914 $12,762
5/31/2001 $12,841 $11,942 $12,808
6/30/2001 $12,882 $11,966 $12,850
7/31/2001 $12,922 $11,988 $12,890
8/31/2001 $12,961 $12,009 $12,929
9/30/2001 $12,995 $12,025 $12,966
10/31/2001 $13,023 $12,036 $13,000
11/30/2001 $13,048 $12,044 $13,028
12/31/2001 $13,071 $12,050 $13,051
1/31/2002 $13,090 $12,053 $13,071
2/28/2002 $13,107 $12,053 $13,089
3/31/2002 $13,125 $12,055 $13,108
4/30/2002 $13,142 $12,056 $13,127
5/31/2002 $13,160 $12,057 $13,146
6/30/2002 $13,177 $12,057 $13,165
7/31/2002 $13,193 $12,057 $13,185
8/31/2002 $13,209 $12,057 $13,204
9/30/2002 $13,225 $12,056 $13,222
10/31/2002 $13,240 $12,055 $13,240
11/30/2002 $13,253 $12,052 $13,257
12/31/2002 $13,264 $12,047 $13,273
1/31/2003 $13,274 $12,040 $13,287
2/28/2003 $13,282 $12,032 $13,300
3/31/2003 $13,291 $12,025 $13,313
4/30/2003 $13,299 $12,017 $13,326
5/31/2003 $13,307 $12,010 $13,339
6/30/2003 $13,314 $12,001 $13,351
7/31/2003 $13,319 $11,991 $13,362
8/31/2003 $13,325 $11,981 $13,373
9/30/2003 $13,330 $11,971 $13,384
10/31/2003 $13,336 $11,961 $13,394
11/30/2003 $13,341 $11,950 $13,405
12/31/2003 $13,347 $11,941 $13,416
1/31/2004 $13,352 $11,931 $13,426
2/29/2004 $13,357 $11,920 $13,436
3/31/2004 $13,363 $11,910 $13,446
4/30/2004 $13,368 $11,900 $13,457
5/31/2004 $13,374 $11,890 $13,468
6/30/2004 $13,380 $11,881 $13,479
7/31/2004 $13,388 $11,873 $13,491
8/31/2004 $13,397 $11,867 $13,506
9/30/2004 $13,409 $11,862 $13,522
10/31/2004 $13,422 $11,859 $13,540
11/30/2004 $13,437 $11,857 $13,559
12/31/2004 $13,455 $11,858 $13,582
1/31/2005 $13,475 $11,861 $13,606
2/28/2005 $13,494 $11,863 $13,630
3/31/2005 $13,518 $11,869 $13,659
4/30/2005 $13,543 $11,876 $13,688
5/31/2005 $13,570 $11,885 $13,721
6/30/2005 $13,598 $11,895 $13,753
7/31/2005 $13,629 $11,907 $13,788
8/31/2005 $13,662 $11,921 $13,825
9/30/2005 $13,697 $11,936 $13,862
10/31/2005 $13,735 $11,955 $13,903
11/30/2005 $13,774 $11,974 $13,945
12/31/2005 $13,817 $11,996 $13,989
1/31/2006 $13,861 $12,019 $14,036
2/28/2006 $13,903 $12,040 $14,080
3/31/2006 $13,951 $12,067 $14,133
4/30/2006 $13,999 $12,094 $14,185
5/31/2006 $14,052 $12,123 $14,241
6/30/2006 $14,104 $12,153 $14,296
7/31/2006 $14,160 $12,186 $14,355
</Table>
The graph depicts the performance of UBS PACE Money Market Investments versus
the 90-Day US T-Bill Index over the 10 years ended July 31, 2006. Past
performance does not predict future performance and the performance provided
does not reflect the deduction of taxes that a shareholder would pay on
Portfolio distributions. It is important to note that UBS PACE Money Market
Investments is a professionally managed portfolio while the Index is not
available for investment and is unmanaged. The comparison is shown for
illustrative purposes only.
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PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS
- -------------------------------------------------------------------------------------
UBS PACE Money Market Investments before deducting
maximum UBS PACE program fee* 3.89% 1.85% 3.54%
UBS PACE Money Market Investments after deducting
maximum UBS PACE program fee* 2.35% 0.33% 2.00%
90-Day US T-Bill Index** 4.11% 2.18% 3.68%
Lipper Money Market Instrument Funds median 3.66% 1.62% 3.34%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum UBS PACE program fee, were as follows: 1-year period, 2.17%; 5-year
period, 0.31%; 10-year period, 2.00%.
For UBS PACE Money Market Investments, the 7-day current yield for the period
ended July 31, 2006 was 4.74% (without maximum UBS PACE program fee and after
fee waivers/expense reimbursements; the yield was 4.18% before fee
waivers/expense reimbursements). With the maximum UBS PACE program fee, the
7-day current yield was 3.24% after fee waivers/expense reimbursements; the
yield was 2.68% before fee waivers/expense reimbursements. The Portfolio's yield
quotation more closely reflects the current earnings of the Portfolio than the
total return quotation. Yields will fluctuate and reflect fee waivers.
* THE MAXIMUM ANNUAL UBS PACE PROGRAM FEE IS 1.5% OF THE VALUE OF UBS PACE
ASSETS.
** 90-DAY US T-BILLS ARE PROMISSORY NOTES ISSUED BY THE US TREASURY AND SOLD
THROUGH COMPETITIVE BIDDING, WITH A SHORT-TERM MATURITY DATE, IN THIS CASE,
OF THREE MONTHS. THIS INDEX IS DERIVED FROM SECONDARY MARKET INTEREST RATES
AS PUBLISHED BY THE FEDERAL RESERVE BANK.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS. THE RETURN OF AN INVESTMENT WILL
FLUCTUATE. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAIN DISTRIBUTIONS AT NET ASSET VALUE ON THE PAYABLE DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
AN INVESTMENT IN UBS PACE MONEY MARKET INVESTMENTS IS NOT INSURED OR GUARANTEED
BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00
PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO.
7
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UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1) ongoing
program fees; and (2) ongoing Portfolio costs, including management fees and
other Portfolio expenses. This example is intended to help you understand your
ongoing costs (in dollars) of investing in the Portfolio and to compare these
costs with the ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line in the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over a
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses paid during period" to
estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the table below provides information about hypothetical
account values and hypothetical expenses based on the Portfolio's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Portfolio's actual return. The hypothetical account values and expenses may
not be used to estimate the actual ending account balance or expenses you paid
for the period. You may use this information to compare the ongoing costs of
investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any program fees. Therefore, the
second line in the table is useful in comparing ongoing Portfolio costs only,
and will not help you determine the relative total costs of owning different
funds. In addition, if these program fees were included, your costs would have
been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class P Actual $1,000.00 $1,021.60 $3.01
Hypothetical (5% annual return before expenses) 1,000.00 1,021.82 3.01
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIO OF
0.60%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED
BY 181 DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
8
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PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- --------------------------------------------------------------------------
Net assets (mm) $342.6
Number of holdings (excluding US government agency obligations) 69
Weighted average maturity 40 days
PORTFOLIO COMPOSITION* 07/31/06
- --------------------------------------------------------------------------
Commercial paper 70.4%
Short-term corporate obligations 9.8
Certificates of deposit 9.3
US government agency obligations 6.8
Bank notes 2.0
Money market funds 1.7
Repurchase agreement 0.1
Other assets less liabilities (0.1)
- --------------------------------------------------------------------------
Total 100.0%
==========================================================================
TOP 10 SECURITIES (EXCLUDING US GOVERNMENT AGENCY OBLIGATIONS)* 07/31/06
- --------------------------------------------------------------------------
KFW International Finance 2.9%
Regency Markets 2.9
Bear Stearns 2.6
Atlantis One Funding 2.6
Scaldis Capital 2.6
Depfa Bank 2.6
Nordea 2.6
Beta Finance 2.5
Sanofi-Aventis 2.4
Allied Irish Banks 2.3
- --------------------------------------------------------------------------
Total 26.0%
==========================================================================
* Weightings represent percentages of net assets as of July 31, 2006. The
Portfolio is actively managed and its composition will vary over time.
9
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UBS PACE Select Advisors Trust
UBS PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
1.94% (before the deduction of the maximum UBS PACE program fee; 0.42% after the
deduction of the maximum program fee), compared with the Lehman Brothers
Mortgage-Backed Securities Index (the "Index") return of 2.35% and the 1.24%
median return of the Lipper Intermediate US Government Funds category. (Returns
for all share classes over various time periods are shown in the "Performance at
a glance" table on page 13. Please note that the returns shown do not reflect
the deduction of taxes that a shareholder would pay on Portfolio distributions
or the redemption of Portfolio shares.)
MARKET REVIEW
The bond markets were dominated during the period by speculation about the pace
and duration of the Federal Reserve Board's (the "Fed's") tightening cycle.
Market expectations of continued Fed tightening drove short-term rates higher
and helped produce a significant flattening of the yield curve. The Fed
continued to raise the federal funds rate (or "fed funds" rate, the rate that
banks charge one another for overnight loans), at a measured pace, increasing it
from 3.25% to 5.25% through the end of the period. The benchmark 10-year
Treasury yield ended the period at 4.98%, 0.70% higher than at the start of the
Portfolio's fiscal year.
During the first half of the reporting period, bonds gained ground, leaning
against the headwinds of Fed tightening and concerns that higher energy prices
would fuel inflation. These concerns continued through the second half of the
year; however, in the final month of the fiscal period, US Treasury yields
steadily declined on evidence that the US economy was beginning to slow. While
core rates of inflation rose above central banks' targets, other indicators
pointed to the potential for global growth to soften, thus increasing the risk
of a policy mistake by monetary authorities. The formerly robust residential
housing market in the US, a critical source of job creation as well as consumer
liquidity, showed signs of cooling as the inventory of unsold homes continued to
swell in the face of higher mortgage rates.
ADVISOR'S COMMENTS
The mortgage market was able to withstand the pressures of the dramatic
flattening of the Treasury yield curve during most of the 12-month period. As
mortgage securities fell in price, loss-constrained investors were less willing
to trade, straining liquidity. Not surprisingly, mortgage durations extended
along with the rise in interest rates.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE GOVERNMENT SECURITIES FIXED INCOME
INVESTMENTS
INVESTMENT ADVISOR:
PACIFIC INVESTMENT MANAGEMENT COMPANY LLC ("PIMCO")
PORTFOLIO MANAGER:
W. SCOTT SIMON
OBJECTIVE:
CURRENT INCOME.
INVESTMENT PROCESS:
THE PORTFOLIO INVESTS PRIMARILY IN MORTGAGE-BACKED SECURITIES, ALONG WITH
GOVERNMENT FIXED INCOME SECURITIES, INCLUDING OTHER TYPES OF BONDS. THE
PORTFOLIO ALSO INVESTS, TO A LESSER EXTENT, IN INVESTMENT GRADE BONDS OF PRIVATE
ISSUERS, INCLUDING THOSE BACKED BY MORTGAGES OR OTHER ASSETS. THE PORTFOLIO'S
DURATION NORMALLY RANGES BETWEEN ONE AND SEVEN YEARS. (DURATION IS A MEASURE OF
A BOND PORTFOLIO'S SENSITIVITY TO INTEREST RATE CHANGES.) PIMCO ESTABLISHES
DURATION TARGETS BASED ON ITS EXPECTATIONS FOR CHANGES IN INTEREST RATES, AND
THEN POSITIONS THE PORTFOLIO TO TAKE ADVANTAGE OF YIELD CURVE SHIFTS. SECURITIES
ARE CHOSEN FOR THEIR VALUE RELATIVE TO OTHER SIMILAR SECURITIES.
10
<Page>
ADVISOR'S COMMENTS - CONCLUDED
Government National Mortgage Association (Ginnie Mae) securities soared to their
most expensive levels relative to other mortgage-backed securities ever in late
2005. At the same time, the net issuance of Ginnie Mae securities has been
negative for over a year, as Ginnie Mae mortgage-backed securities (MBS) are
paying down faster than they are being created.
Mortgage investors expected issuance to decline in 2006 in response to higher
interest rates and rising mortgage rates. But the flat yield curve left
consumers with no rate incentive to choose adjustable-rate loans, making the
fixed rate supply higher than expected. To compensate for the oversupply, large
banks have absorbed most of the MBS issuance into their portfolios. Strong
deposit growth drove their demand, as banks' lower cost of funds via deposits
made MBS appear more attractive.
In this environment, we held the Portfolio's duration above the Index, which was
a negative for the portfolio as interest rates rose. Our overweight exposure to
30-year conventional (Fannie Mae and Freddie Mac) issues was positive, as these
securities outperformed their Ginnie Mae counterparts during the year. Favorable
coupon selection helped performance; an overweight to 30-year Fannie Mae 5.5%
coupons outperformed the broader Index. An emphasis on home equity asset-backed
securities also contributed to performance, as their yield advantage to
Treasuries attracted investors. In addition, an allocation to non-mortgage
asset-backed security positions enhanced results. This sector outperformed other
core fixed income sectors as global demand for structured top-rated assets made
these securities attractive to investors.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CURRENT INCOME
WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE FIXED INCOME MARKETS IN
RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE YIELD AND VALUE OF
THE PORTFOLIO CHANGE EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST RATES,
GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC DEVELOPMENTS,
AS WELL AS SPECIFIC MATTERS RELATING TO THE ISSUERS IN WHICH THE PORTFOLIO
INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN THE PORTFOLIO IS ONLY ONE
COMPONENT OF A BALANCED INVESTMENT PLAN.
11
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE LEHMAN BROTHERS MORTGAGE-BACKED SECURITIES INDEX
[CHART]
<Table>
<Caption>
UBS PACE GOVERNMENT SECURITIES UBS PACE GOVERNMENT SECURITIES
FIXED INCOME INVESTMENTS FIXED INCOME INVESTMENTS
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM LEHMAN BROTHERS MORTGAGE-BACKED
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) SECURITIES INDEX
------------------------------ ------------------------------ -------------------------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,024 $10,012 $10,000
9/30/1996 $10,184 $10,158 $10,167
10/31/1996 $10,385 $10,346 $10,367
11/30/1996 $10,553 $10,500 $10,515
12/31/1996 $10,484 $10,418 $10,460
1/31/1997 $10,535 $10,456 $10,538
2/28/1997 $10,560 $10,468 $10,573
3/31/1997 $10,472 $10,368 $10,473
4/30/1997 $10,628 $10,509 $10,640
5/31/1997 $10,718 $10,585 $10,745
6/30/1997 $10,839 $10,691 $10,870
7/31/1997 $11,042 $10,878 $11,075
8/31/1997 $11,016 $10,838 $11,048
9/30/1997 $11,139 $10,946 $11,188
10/31/1997 $11,281 $11,071 $11,313
11/30/1997 $11,334 $11,109 $11,350
12/31/1997 $11,431 $11,191 $11,453
1/31/1998 $11,532 $11,275 $11,567
2/28/1998 $11,547 $11,276 $11,591
3/31/1998 $11,585 $11,299 $11,640
4/30/1998 $11,650 $11,348 $11,706
5/31/1998 $11,741 $11,422 $11,784
6/30/1998 $11,812 $11,477 $11,840
7/31/1998 $11,858 $11,508 $11,901
8/31/1998 $11,994 $11,624 $12,009
9/30/1998 $12,098 $11,711 $12,154
10/31/1998 $12,061 $11,661 $12,138
11/30/1998 $12,096 $11,680 $12,199
12/31/1998 $12,165 $11,732 $12,251
1/31/1999 $12,263 $11,811 $12,338
2/28/1999 $12,188 $11,724 $12,289
3/31/1999 $12,270 $11,788 $12,371
4/30/1999 $12,312 $11,814 $12,428
5/31/1999 $12,249 $11,739 $12,359
6/30/1999 $12,177 $11,656 $12,315
7/31/1999 $12,098 $11,566 $12,232
8/31/1999 $12,084 $11,537 $12,232
9/30/1999 $12,270 $11,700 $12,430
10/31/1999 $12,313 $11,727 $12,502
11/30/1999 $12,327 $11,725 $12,508
12/31/1999 $12,288 $11,674 $12,478
1/31/2000 $12,237 $11,610 $12,370
2/29/2000 $12,413 $11,763 $12,513
3/31/2000 $12,572 $11,899 $12,650
4/30/2000 $12,581 $11,892 $12,658
5/31/2000 $12,547 $11,845 $12,665
6/30/2000 $12,792 $12,061 $12,936
7/31/2000 $12,867 $12,117 $13,019
8/31/2000 $13,054 $12,278 $13,216
9/30/2000 $13,172 $12,374 $13,354
10/31/2000 $13,283 $12,463 $13,450
11/30/2000 $13,503 $12,653 $13,652
12/31/2000 $13,700 $12,821 $13,872
1/31/2001 $14,030 $13,113 $14,088
2/28/2001 $14,207 $13,262 $14,169
3/31/2001 $14,235 $13,272 $14,251
4/30/2001 $14,229 $13,250 $14,271
5/31/2001 $14,345 $13,341 $14,365
6/30/2001 $14,378 $13,355 $14,396
7/31/2001 $14,696 $13,634 $14,652
8/31/2001 $14,823 $13,734 $14,781
9/30/2001 $15,018 $13,897 $15,002
10/31/2001 $15,231 $14,076 $15,210
11/30/2001 $15,091 $13,930 $15,069
12/31/2001 $15,027 $13,854 $15,012
1/31/2002 $15,145 $13,945 $15,151
2/28/2002 $15,298 $14,068 $15,324
3/31/2002 $15,145 $13,910 $15,161
4/30/2002 $15,404 $14,131 $15,448
5/31/2002 $15,504 $14,204 $15,561
6/30/2002 $15,636 $14,308 $15,689
7/31/2002 $15,849 $14,484 $15,869
8/31/2002 $15,934 $14,543 $15,993
9/30/2002 $16,056 $14,637 $16,107
10/31/2002 $16,093 $14,652 $16,168
11/30/2002 $15,983 $14,533 $16,157
12/31/2002 $16,082 $14,605 $16,326
1/31/2003 $16,122 $14,623 $16,366
2/28/2003 $16,198 $14,674 $16,475
3/31/2003 $16,236 $14,690 $16,477
4/30/2003 $16,319 $14,747 $16,545
5/31/2003 $16,320 $14,729 $16,559
6/30/2003 $16,373 $14,758 $16,586
7/31/2003 $16,063 $14,460 $16,276
8/31/2003 $16,195 $14,562 $16,391
9/30/2003 $16,450 $14,772 $16,671
10/31/2003 $16,396 $14,706 $16,613
11/30/2003 $16,457 $14,742 $16,647
12/31/2003 $16,557 $14,813 $16,826
1/31/2004 $16,682 $14,905 $16,932
2/29/2004 $16,819 $15,009 $17,074
3/31/2004 $16,879 $15,044 $17,149
4/30/2004 $16,597 $14,774 $16,844
5/31/2004 $16,550 $14,714 $16,807
6/30/2004 $16,688 $14,818 $16,956
7/31/2004 $16,861 $14,954 $17,108
8/31/2004 $17,101 $15,147 $17,372
9/30/2004 $17,134 $15,157 $17,398
10/31/2004 $17,245 $15,236 $17,538
11/30/2004 $17,202 $15,180 $17,494
12/31/2004 $17,292 $15,240 $17,618
1/31/2005 $17,370 $15,290 $17,711
2/28/2005 $17,269 $15,181 $17,629
3/31/2005 $17,273 $15,166 $17,597
4/30/2005 $17,463 $15,313 $17,791
5/31/2005 $17,581 $15,398 $17,931
6/30/2005 $17,639 $15,430 $17,997
7/31/2005 $17,554 $15,336 $17,906
8/31/2005 $17,722 $15,463 $18,065
9/30/2005 $17,611 $15,347 $17,970
10/31/2005 $17,486 $15,219 $17,845
11/30/2005 $17,510 $15,221 $17,903
12/31/2005 $17,659 $15,331 $18,078
1/31/2006 $17,720 $15,365 $18,136
2/28/2006 $17,812 $15,426 $18,221
3/31/2006 $17,638 $15,256 $18,066
4/30/2006 $17,663 $15,258 $18,067
5/31/2006 $17,604 $15,188 $18,033
6/30/2006 $17,616 $15,180 $18,068
7/31/2006 $17,894 $15,401 $18,327
</Table>
The graph depicts the performance of UBS PACE Government Securities Fixed Income
Investments Class P shares versus the Lehman Brothers Mortgage-Backed Securities
Index over the 10 years ended July 31, 2006. The performance of the other
classes will vary from the performance of the class shown based on the
difference in sales charges and fees paid by shareholders investing in different
share classes. Past performance does not predict future performance and the
performance provided does not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions or the redemption of Portfolio shares. It
is important to note that UBS PACE Government Securities Fixed Income
Investments is a professionally managed portfolio while the Index is not
available for investment and is unmanaged. The comparison is shown for
illustrative purposes only.
12
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ---------------------------------------------------------------------------------------------------------
Before deducting Class A* 1.61% 3.76% N/A 4.27%
maximum sales charge Class B** 0.92% 2.98% N/A 3.88%
or UBS PACE program fee Class C*** 1.09% 3.23% N/A 4.30%
Class Y**** 1.97% 4.09% N/A 4.60%
Class P***** 1.94% 4.02% 5.99% 5.88%
After deducting Class A* -2.94% 2.80% N/A 3.39%
maximum sales charge Class B** -3.90% 2.62% N/A 3.73%
or UBS PACE program fee Class C*** 0.36% 3.23% N/A 4.30%
Class P***** 0.42% 2.47% 4.41% 4.30%
Lehman Brothers Mortgage-Backed Securities Index 2.35% 4.58% 6.24% 6.24%
Lipper Intermediate US Government Funds median 1.24% 3.72% 5.35% 5.01%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, -4.80%; 5-year period, 2.98%; since inception, 3.17%; Class
B--1-year period, -5.78%; 5-year period, 2.77%; since inception, 3.51%; Class
C--1-year period, -1.52%; 5-year period, 3.37%; since inception, 4.10%; Class
Y--1-year period, 0.06%; 5-year period, 4.25%; since inception, 4.38%; Class
P--1-year period, -1.62%; 5-year period, 2.59%; 10-year period, 4.26%; since
inception, 4.19%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE OR
REISSUANCE ON AUGUST 24, 1995 FOR CLASS P SHARES, JANUARY 31, 2001 FOR
CLASS A SHARES, DECEMBER 18, 2000 FOR CLASS B SHARES, DECEMBER 4, 2000 FOR
CLASS C SHARES AND FEBRUARY 2, 2001 FOR CLASS Y SHARES. SINCE INCEPTION
RETURNS FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 24, 1995,
WHICH IS THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 4.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 0.75%
IMPOSED ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES
BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Lehman Brothers Mortgage-Backed Securities Index covers fixed rate
securitized issues backed by the mortgage pools of the Government National
Mortgage Association, the Federal Home Loan Mortgage Corporation and the Federal
National Mortgage Association. Graduated Payment Mortgages are included, but
Graduated Equity Mortgages are not. The average-weighted life is approximately
eight years.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
13
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,007.80 $5.58
Hypothetical (5% annual return before expenses) 1,000.00 1,019.24 5.61
Class B Actual 1,000.00 1,004.80 9.30
Hypothetical (5% annual return before expenses) 1,000.00 1,015.52 9.35
Class C Actual 1,000.00 1,005.20 8.05
Hypothetical (5% annual return before expenses) 1,000.00 1,016.76 8.10
Class Y Actual 1,000.00 1,009.20 4.13
Hypothetical (5% annual return before expenses) 1,000.00 1,020.68 4.16
Class P Actual 1,000.00 1,009.80 4.34
Hypothetical (5% annual return before expenses) 1,000.00 1,020.48 4.36
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.12%, CLASS B: 1.87%, CLASS C: 1.62%, CLASS Y: 0.83%, CLASS P: 0.87%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
14
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- --------------------------------------------------------------------------------
Weighted average duration 4.7 yrs.
Weighted average maturity 5.6 yrs.
Average coupon 4.93%
Average quality* AAA
Net assets (mm) $540.7
Number of holdings 381
PORTFOLIO COMPOSITION** 07/31/06
- --------------------------------------------------------------------------------
Bonds 120.7%
Options, futures and swaps 0.0***
Cash equivalents and other assets less liabilities (20.7)
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
ASSET ALLOCATION** 07/31/06
- --------------------------------------------------------------------------------
US government agency mortgage pass-through certificates 111.4%
Collateralized mortgage obligations 5.7
Asset-backed securities 3.4
Stripped mortgage-backed securities 0.2
Options, futures and swaps 0.0***
Cash equivalents and other assets less liabilities (20.7)
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
* Credit quality ratings shown are based on the ratings assigned to portfolio
holdings by Standard & Poor's Ratings Group, an independent rating agency.
** Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The portfolio is actively managed and its composition will vary
over time.
*** Weighting represents less than 0.05% of the Portfolio's net assets as of
July 31, 2006.
15
<Page>
UBS PACE Select Advisors Trust
UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
2.17% (before the deduction of the maximum UBS PACE program fee; 0.64% after the
deduction of the maximum program fee), compared with the Lehman Brothers
Intermediate Government/Credit Index (the "Index") return of 1.78% and the 1.61%
median return of the Lipper Short-Intermediate Investment Grade Debt Funds
category. (Returns for all share classes over various time periods are shown in
the "Performance at a glance" table on page 19. Please note that the returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Portfolio distributions or the redemption of Portfolio shares.)
MARKET REVIEW
While economic growth remained solid during the past fiscal year, Federal
Reserve Board (the "Fed") rate hikes and rising yields have created the
perception among investors that monetary policy has reached a critical juncture,
which reintroduced volatility to the fixed income markets. Recent periods of
higher yields, steeper curves, and wider spreads suggested that many investors
began to favor investments with smaller amounts of risk.
At the Fed's June meeting, the board voted to raise the federal funds rate (the
interest rate banks charge each other for overnight loans) by 0.25% to 5.25%.
This marked the 17th consecutive meeting in which the Fed tightened by 0.25%,
for a cumulative tightening of 4.25%. Although the Fed left rates unchanged in
its August meeting (after the Portfolio's fiscal year ended), the Federal Open
Market Committee (FOMC) seems to believe that at least some of the recent
acceleration of core inflation is related to energy price pass through. The
pick-up in inflation, however, was characterized as "broad based" and there may
be risk that the acceleration could be more lasting than originally anticipated.
ADVISOR'S COMMENTS
The Portfolio experienced strong relative performance over the past fiscal year.
Throughout the period, the Portfolio maintained its defensive duration stance
(duration is a measure of an investment's sensitivity to interest rate changes),
which has been advantageous in this rising rate environment. During the
Portfolio's fiscal year, the yield on the 5-year Treasury rose from 4.12% to
4.90%, while the yield on the 10-year Treasury rose from 4.28% to 4.98%.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
INVESTMENT ADVISOR:
BLACKROCK FINANCIAL MANAGEMENT, INC.
PORTFOLIO MANAGERS:
TEAM
OBJECTIVE:
CURRENT INCOME, CONSISTENT WITH REASONABLE STABILITY OF PRINCIPAL.
INVESTMENT PROCESS:
BLACKROCK DECIDES TO BUY SPECIFIC BONDS BASED ON ITS CREDIT ANALYSIS AND REVIEW.
BLACKROCK STRIVES TO ADD VALUE WHILE KEEPING THE PORTFOLIO'S DURATION WITHIN A
NARROW BAND RELATIVE TO THE LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CREDIT
INDEX. TO ACCOMPLISH THIS, BLACKROCK EMPLOYS AN ANALYTICAL PROCESS THAT INVOLVES
EVALUATING MACROECONOMIC TRENDS, TECHNICAL MARKET FACTORS, YIELD-CURVE EXPOSURE
AND MARKET VOLATILITY. ONCE BLACKROCK ESTABLISHES THE INVESTMENT THEMES ON
DURATION, YIELD CURVE EXPOSURE, CONVEXITY, SECTOR WEIGHTING, CREDIT QUALITY AND
LIQUIDITY, THE PORTFOLIO'S INVESTMENTS ARE DIVERSIFIED BY SECTOR, SUBSECTOR AND
SECURITY.
16
<Page>
ADVISOR'S COMMENTS - CONCLUDED
For the first half of the fiscal period, the Portfolio was structured with a
slight barbelled curve position, concentrating assets on short- and long-dated
securities at the expense of the middle part of the maturity spectrum. This
barbelled positioning was beneficial to the Portfolio's performance. During the
latter half of the period, however, we positioned the Portfolio in anticipation
of a steepening yield curve, which modestly detracted from relative performance
as the curve remained quite flat. During this time, the Portfolio maintained an
underweight in corporate credit versus its benchmark index, with a bias toward
short maturity issues and higher quality securities.
The Portfolio also maintained an allocation to mortgage-backed securities during
the period, which benefited performance as the sector performed well. Our
exposure was primarily concentrated in 15-year fixed rate pass-through
mortgages, floating rate securities and collateralized mortgage obligations
(CMOs). Within mortgage-backed securities, we favored commercial mortgage-backed
securities (CMBS), which we found to offer better relative value versus sectors
such as corporate bonds and agencies. Early in the Portfolio's fiscal year, our
CMBS position was relatively neutral in terms of performance impact. However,
the sector posted strong returns during the latter half of the period, which
contributed positively to performance.
Likewise, the Portfolio maintained a significant allocation to the asset-backed
securities (ABS) sector throughout the period. ABS spreads continued to
contract, in part due to increased demand. (In this case, "spread" refers to the
difference in yield between asset-backed securities and similarly dated
Treasuries.) By period end, spreads for many ABS sectors were near historically
tight levels, while liquidity remained high and risk premiums continued to
decline. We expect spreads to be firm in the near term due to continuing
investor demand, and we presently continue to favor short duration, high quality
names.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CURRENT INCOME
AND A REASONABLE STABILITY OF PRINCIPAL. INVESTORS SHOULD BE ABLE TO WITHSTAND
SHORT-TERM FLUCTUATIONS IN THE FIXED INCOME MARKETS. THE VALUE OF THE PORTFOLIO
CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST RATES, GENERAL
MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC DEVELOPMENTS, AS WELL
AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE SECURITIES THE PORTFOLIO
INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN THE PORTFOLIO IS ONLY ONE
COMPONENT OF A BALANCED INVESTMENT PLAN.
17
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CREDIT INDEX
[CHART]
<Table>
<Caption>
UBS PACE INTERMEDIATE FIXED UBS PACE INTERMEDIATE FIXED
INCOME INVESTMENTS (BEFORE DEDUCTING INCOME INVESTMENTS (AFTER DEDUCTING LEHMAN BROTHERS INTERMEDIATE
MAXIMUM UBS PACE PROGRAM FEE) MAXIMUM UBS PACE PROGRAM FEE) GOVERNMENT/CREDIT INDEX
------------------------------------ ----------------------------------- ----------------------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,021 $10,009 $10,008
9/30/1996 $10,143 $10,118 $10,147
10/31/1996 $10,292 $10,254 $10,327
11/30/1996 $10,408 $10,356 $10,463
12/31/1996 $10,350 $10,286 $10,396
1/31/1997 $10,385 $10,307 $10,437
2/28/1997 $10,405 $10,315 $10,456
3/31/1997 $10,348 $10,245 $10,384
4/30/1997 $10,449 $10,332 $10,507
5/31/1997 $10,532 $10,401 $10,594
6/30/1997 $10,624 $10,479 $10,690
7/31/1997 $10,814 $10,653 $10,907
8/31/1997 $10,747 $10,573 $10,853
9/30/1997 $10,894 $10,705 $10,979
10/31/1997 $11,005 $10,801 $11,101
11/30/1997 $11,020 $10,801 $11,125
12/31/1997 $11,121 $10,887 $11,214
1/31/1998 $11,266 $11,015 $11,361
2/28/1998 $11,236 $10,972 $11,351
3/31/1998 $11,259 $10,981 $11,388
4/30/1998 $11,306 $11,013 $11,445
5/31/1998 $11,402 $11,093 $11,528
6/30/1998 $11,483 $11,158 $11,602
7/31/1998 $11,507 $11,166 $11,643
8/31/1998 $11,697 $11,337 $11,825
9/30/1998 $11,963 $11,580 $12,122
10/31/1998 $11,903 $11,508 $12,110
11/30/1998 $11,880 $11,471 $12,109
12/31/1998 $11,939 $11,514 $12,157
1/31/1999 $11,997 $11,555 $12,224
2/28/1999 $11,830 $11,381 $12,045
3/31/1999 $11,916 $11,448 $12,135
4/30/1999 $11,937 $11,455 $12,172
5/31/1999 $11,843 $11,349 $12,079
6/30/1999 $11,837 $11,330 $12,087
7/31/1999 $11,830 $11,309 $12,076
8/31/1999 $11,843 $11,307 $12,086
9/30/1999 $11,937 $11,383 $12,198
10/31/1999 $11,963 $11,393 $12,230
11/30/1999 $11,971 $11,387 $12,245
12/31/1999 $11,926 $11,330 $12,204
1/31/2000 $11,876 $11,268 $12,159
2/29/2000 $11,987 $11,359 $12,259
3/31/2000 $12,131 $11,481 $12,386
4/30/2000 $12,069 $11,408 $12,358
5/31/2000 $12,079 $11,404 $12,378
6/30/2000 $12,308 $11,605 $12,596
7/31/2000 $12,391 $11,669 $12,691
8/31/2000 $12,527 $11,782 $12,841
9/30/2000 $12,664 $11,896 $12,958
10/31/2000 $12,676 $11,892 $13,017
11/30/2000 $12,821 $12,013 $13,194
12/31/2000 $13,003 $12,169 $13,437
1/31/2001 $13,213 $12,350 $13,657
2/28/2001 $13,347 $12,460 $13,786
3/31/2001 $13,416 $12,508 $13,892
4/30/2001 $13,381 $12,460 $13,855
5/31/2001 $13,466 $12,523 $13,933
6/30/2001 $13,542 $12,579 $13,986
7/31/2001 $13,802 $12,804 $14,276
8/31/2001 $13,895 $12,874 $14,419
9/30/2001 $13,920 $12,881 $14,629
10/31/2001 $14,116 $13,046 $14,872
11/30/2001 $14,017 $12,939 $14,723
12/31/2001 $13,976 $12,884 $14,641
1/31/2002 $14,014 $12,904 $14,717
2/28/2002 $14,106 $12,972 $14,834
3/31/2002 $13,990 $12,849 $14,609
4/30/2002 $14,016 $12,857 $14,850
5/31/2002 $14,152 $12,966 $14,998
6/30/2002 $13,739 $12,572 $15,128
7/31/2002 $13,300 $12,154 $15,307
8/31/2002 $13,434 $12,261 $15,535
9/30/2002 $13,636 $12,431 $15,813
10/31/2002 $13,582 $12,366 $15,751
11/30/2002 $13,694 $12,452 $15,738
12/31/2002 $13,973 $12,690 $16,081
1/31/2003 $13,955 $12,658 $16,080
2/28/2003 $14,148 $12,817 $16,307
3/31/2003 $14,195 $12,843 $16,324
4/30/2003 $14,291 $12,914 $16,448
5/31/2003 $14,571 $13,151 $16,779
6/30/2003 $14,555 $13,119 $16,768
7/31/2003 $14,143 $12,732 $16,312
8/31/2003 $14,200 $12,768 $16,351
9/30/2003 $14,544 $13,061 $16,765
10/31/2003 $14,404 $12,919 $16,607
11/30/2003 $14,426 $12,922 $16,629
12/31/2003 $14,534 $13,003 $16,774
1/31/2004 $14,618 $13,061 $16,885
2/29/2004 $14,740 $13,154 $17,057
3/31/2004 $14,849 $13,234 $17,190
4/30/2004 $14,520 $12,925 $16,782
5/31/2004 $14,456 $12,852 $16,706
6/30/2004 $14,506 $12,880 $16,756
7/31/2004 $14,617 $12,963 $16,897
8/31/2004 $14,833 $13,138 $17,179
9/30/2004 $14,870 $13,154 $17,209
10/31/2004 $14,946 $13,205 $17,325
11/30/2004 $14,856 $13,109 $17,167
12/31/2004 $14,933 $13,161 $17,285
1/31/2005 $14,945 $13,155 $17,318
2/28/2005 $14,830 $13,037 $17,223
3/31/2005 $14,817 $13,010 $17,134
4/30/2005 $14,962 $13,121 $17,330
5/31/2005 $15,055 $13,185 $17,486
6/30/2005 $15,124 $13,230 $17,559
7/31/2005 $15,007 $13,110 $17,414
8/31/2005 $15,154 $13,223 $17,617
9/30/2005 $15,051 $13,116 $17,468
10/31/2005 $14,988 $13,045 $17,372
11/30/2005 $15,045 $13,078 $17,448
12/31/2005 $15,132 $13,137 $17,558
1/31/2006 $15,135 $13,124 $17,555
2/28/2006 $15,157 $13,126 $17,568
3/31/2006 $15,150 $13,104 $17,490
4/30/2006 $15,156 $13,093 $17,499
5/31/2006 $15,151 $13,072 $17,500
6/30/2006 $15,172 $13,074 $17,527
7/31/2006 $15,332 $13,195 $17,724
</Table>
The graph depicts the performance of UBS PACE Intermediate Fixed Income
Investments Class P shares versus the Lehman Brothers Intermediate
Government/Credit Index over the 10 years ended July 31, 2006. The performance
of the other classes will vary from the performance of the class shown based on
the difference in sales charges and fees paid by shareholders investing in
different share classes. Past performance does not predict future performance
and the performance provided does not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of Portfolio
shares. It is important to note that UBS PACE Intermediate Fixed Income
Investments is a professionally managed portfolio while the Index is not
available for investment and is unmanaged. The comparison is shown for
illustrative purposes only.
18
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- -----------------------------------------------------------------------------------------------------------
Before deducting Class A* 1.90% 1.85% N/A 2.45%
maximum sales charge Class B** 1.13% 1.08% N/A 2.02%
or UBS PACE program fee Class C*** 1.30% 1.33% N/A 2.42%
Class Y**** 2.17% 2.11% N/A 2.74%
Class P***** 2.17% 2.12% 4.37% 4.32%
After deducting Class A* -2.69% 0.92% N/A 1.60%
maximum sales charge Class B** -3.80% 0.73% N/A 1.86%
or UBS PACE program fee Class C*** 0.56% 1.33% N/A 2.42%
Class P***** 0.64% 0.60% 2.81% 2.77%
Lehman Brothers Intermediate Government/Credit Index 1.78% 4.42% 5.89% 5.85%
Lipper Short-Intermediate Investment Grade Debt Funds median 1.61% 3.64% 5.17% 4.23%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, -4.33%; 5-year period, 1.10%; since inception, 1.45%; Class
B--1-year period, -5.47%; 5-year period, 0.92%; since inception, 1.73%; Class
C--1-year period, -1.18%; 5-year period, 1.51%; since inception, 2.30%; Class
Y--1-year period, 0.31%; 5-year period, 2.29%; since inception, 2.58%; Class
P--1-year period, -1.18%; 5-year period, 0.77%; 10-year period, 2.75%; since
inception, 2.70%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE OR
REISSUANCE ON AUGUST 24, 1995 FOR CLASS P SHARES, JANUARY 31, 2001 FOR
CLASS A SHARES, DECEMBER 14, 2000 FOR CLASS B SHARES, DECEMBER 1, 2000 FOR
CLASS C SHARES AND FEBRUARY 2, 2001 FOR CLASS Y SHARES. SINCE INCEPTION
RETURNS FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 24, 1995,
WHICH IS THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 4.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 0.75%
IMPOSED ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES
BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Lehman Brothers Intermediate Government/Credit Index is a subset of the
Lehman Brothers Government/Credit Index covering all investment grade issues
with maturities between one and 10 years. The average-weighted maturity is
typically between four and five years.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
19
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,011.70 $5.24
Hypothetical (5% annual return before expenses) 1,000.00 1,019.59 5.26
Class B Actual 1,000.00 1,007.90 8.96
Hypothetical (5% annual return before expenses) 1,000.00 1,015.87 9.00
Class C Actual 1,000.00 1,008.20 7.72
Hypothetical (5% annual return before expenses) 1,000.00 1,017.11 7.75
Class Y Actual 1,000.00 1,013.00 3.99
Hypothetical (5% annual return before expenses) 1,000.00 1,020.83 4.01
Class P Actual 1,000.00 1,013.00 3.99
Hypothetical (5% annual return before expenses) 1,000.00 1,020.83 4.01
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.05%, CLASS B: 1.80%, CLASS C: 1.55%, CLASS Y: 0.80%, CLASS P: 0.80%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
20
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- --------------------------------------------------------------------------------
Weighted average duration 3.1 yrs.
Weighted average maturity 3.8 yrs.
Average coupon 4.76%
Net assets (mm) $413.2
Number of holdings 260
PORTFOLIO COMPOSITION* 07/31/06
- --------------------------------------------------------------------------------
Long-term debt securities (bonds and notes) 111.7%
Futures 0.1
Cash equivalents and other assets less liabilities (11.8)
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
QUALITY DIVERSIFICATION* 07/31/06
- --------------------------------------------------------------------------------
US government and agency securities 44.7%
AAA 35.0
AA 6.8
A 11.8
BBB and below/non-rated 13.4
Futures 0.1
Cash equivalents and other assets less liabilities (11.8)
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
ASSET ALLOCATION* 07/31/06
- --------------------------------------------------------------------------------
Corporate notes 30.9%
Collateralized mortgage obligations 26.9
US government obligations 19.1
Asset-backed securities 17.8
US government agency mortgage pass-through certificates 16.7
International government obligations 0.3
Futures 0.1
Cash equivalents and other assets less liabilities (11.8)
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time. Credit quality ratings shown are based on the ratings assigned
to portfolio holdings by Standard & Poor's Ratings Group, an independent
rating agency.
21
<Page>
UBS PACE Select Advisors Trust
UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
0.34% (before the deduction of the maximum UBS PACE program fee; shares declined
1.16% after the deduction of the maximum program fee). In comparison, the Lehman
Brothers Government/Credit Index (the "Index") returned 0.90% and the median
return of the Lipper Intermediate Investment Grade Debt Funds category was
1.09%. (Returns for all share classes over various time periods are shown in the
"Performance at a glance" table on page 25. Please note that the returns shown
do not reflect the deduction of taxes that a shareholder would pay on Portfolio
distributions or the redemption of Portfolio shares.)
MARKET REVIEW
The bond markets were dominated during the period by speculation about the pace
and duration of the Federal Reserve Board's (the "Fed's") tightening cycle.
Market expectations of continued Fed tightening drove short-term rates higher
and helped produce a significant flattening of the yield curve. The Fed
continued to raise the federal funds rate (or "fed funds" rate, the rate that
banks charge one another for overnight loans), at a measured pace, increasing it
from 3.25% to 5.25% through the end of the period. The benchmark 10-year
Treasury yield ended the period at 4.98%, 70 basis points higher than at the
start of the Portfolio's fiscal year (a basis point is one one-hundreth of one
percent).
During the first half of the reporting period, bonds gained ground, leaning
against the headwinds of Fed tightening and concerns that higher energy prices
would fuel inflation. These concerns continued through the second half of the
year. However, in the final month of the fiscal period, US Treasury yields
steadily declined on evidence that the US economy was beginning to slow. While
core rates of inflation rose above central banks' targets, other indicators
pointed to the potential for global growth to soften, thus increasing the risk
of a policy mistake by monetary authorities. The formerly robust residential
housing market in the US, a critical source of job creation as well as consumer
liquidity, showed signs of cooling as the inventory of unsold homes continued to
swell in the face of higher mortgage rates.
ADVISOR'S COMMENTS
Broad diversification helped the Portfolio's returns for the 12-month period
amid a challenging environment. Mortgage-backed securities outperformed
like-duration Treasuries for the period as yield premiums narrowed. Corporate
bonds lagged Treasuries of similar duration for the period amid concern that
higher
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
INVESTMENT ADVISOR:
PACIFIC INVESTMENT MANAGEMENT COMPANY LLC ("PIMCO")
PORTFOLIO MANAGER:
WILLIAM C. POWERS
OBJECTIVE:
TOTAL RETURN CONSISTING OF INCOME AND CAPITAL APPRECIATION.
INVESTMENT PROCESS:
THE PORTFOLIO INVESTS PRIMARILY IN INVESTMENT-GRADE BONDS OF GOVERNMENTAL AND
PRIVATE ISSUERS IN THE UNITED STATES AND FOREIGN COUNTRIES. ITS DURATION (A
MEASURE OF SENSITIVITY TO INTEREST RATE CHANGES) NORMALLY RANGES BETWEEN THREE
AND EIGHT YEARS. PIMCO SEEKS TO INVEST IN THE AREAS OF THE BOND MARKET IT
CONSIDERS UNDERVALUED, BASED ON SUCH FACTORS AS QUALITY, SECTOR, COUPON AND
MATURITY. PIMCO DECIDES TO BUY OR SELL SPECIFIC BONDS BASED ON AN ANALYSIS OF
THEIR VALUES RELATIVE TO OTHER SIMILAR BONDS. PIMCO MONITORS THE PREPAYMENT
EXPERIENCE OF THE PORTFOLIO'S MORTGAGE-BACKED BONDS, AND WILL ALSO BUY AND SELL
SECURITIES TO ADJUST THE AVERAGE PORTFOLIO DURATION, CREDIT QUALITY, YIELD
CURVE, SECTOR AND PREPAYMENT EXPOSURE, AS APPROPRIATE.
22
<Page>
ADVISOR'S COMMENTS - CONCLUDED
interest rates would erode profits. Non-investment grade corporates fared better
than their high-grade counterparts due to their yield advantage. Real return
bonds outperformed comparable nominal Treasuries during the period as nominal
yields rose more than real yields. (Real return bonds pay a rate of return that
is adjusted for inflation. Unlike regular, or nominal, bonds, this feature
assures that purchasing power is maintained regardless of the future rate of
inflation.) Municipal securities, which have historically outperformed as rates
rise, outpaced Treasuries for the 12-month period.
Emerging market bonds were one of the best performing fixed income sectors
during the fiscal year. The sector was supported by a stable global monetary
system, continued improvement in credit quality and a growing institutional
perception of emerging markets as a strategic allocation. While developed global
bond market performance varied widely, most government bond markets outside the
US outperformed Treasuries as economic growth was generally slower and interest
rate increases were milder on the international stage.
The Portfolio's above-index duration detracted from performance as interest
rates rose during the period. An overweight to shorter maturities also hurt
returns, as the yield curve continued to flatten as short-term rates rose. An
underweight to corporates was positive, as they trailed Treasuries while credit
premiums widened. Elsewhere, a mortgage emphasis helped returns, as the sector
outperformed Treasuries. Municipal securities also helped returns by adding high
quality income to the Portfolio. Most real return bond holdings hurt performance
due to declining inflation expectations. Finally, emerging market bonds helped
performance, as investors continued to be drawn to their improving credit
fundamentals.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING TOTAL RETURN
CONSISTING OF INCOME AND CAPITAL APPRECIATION AND WHO ARE ABLE TO WITHSTAND
SHORT-TERM FLUCTUATIONS IN THE FIXED INCOME MARKETS IN RETURN FOR POTENTIALLY
HIGHER RETURNS OVER THE LONG TERM. THE VALUE OF THE PORTFOLIO CHANGES EVERY DAY
AND CAN BE AFFECTED BY CHANGES IN INTEREST RATES, GENERAL MARKET CONDITIONS AND
OTHER POLITICAL, SOCIAL AND ECONOMIC DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS
RELATING TO THE COMPANIES IN WHOSE SECURITIES THE PORTFOLIO INVESTS. IN
ADDITION, INVESTMENTS IN FOREIGN BONDS INVOLVE SPECIAL RISKS. IT IS IMPORTANT TO
NOTE THAT AN INVESTMENT IN THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED
INVESTMENT PLAN.
23
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE LEHMAN BROTHERS GOVERNMENT/CREDIT INDEX
[CHART]
<Table>
<Caption>
UBS PACE STRATEGIC UBS PACE STRATEGIC
FIXED INCOME FIXED INCOME
INVESTMENTS (BEFORE INVESTMENTS (AFTER LEHMAN BROTHERS
DEDUCTING MAXIMUM DEDUCTING MAXIMUM UBS GOVERNMENT/CREDIT
UBS PACE PROGRAM FEE) PACE PROGRAM FEE) INDEX
--------------------- --------------------- -----------------
31-Jul-96 $10,000 $10,000 $10,000
31-Aug-96 $ 9,963 $ 9,951 $ 9,976
30-Sep-96 $10,180 $10,154 $10,154
31-Oct-96 $10,429 $10,390 $10,390
30-Nov-96 $10,651 $10,598 $10,581
31-Dec-96 $10,520 $10,454 $10,464
31-Jan-97 $10,553 $10,474 $10,476
28-Feb-97 $10,581 $10,489 $10,498
31-Mar-97 $10,416 $10,312 $10,374
30-Apr-97 $10,596 $10,477 $10,525
31-May-97 $10,693 $10,560 $10,623
30-Jun-97 $10,816 $10,668 $10,750
31-Jul-97 $11,135 $10,969 $11,079
31-Aug-97 $10,995 $10,817 $10,955
30-Sep-97 $11,172 $10,978 $11,127
31-Oct-97 $11,376 $11,164 $11,305
30-Nov-97 $11,445 $11,218 $11,366
31-Dec-97 $11,593 $11,349 $11,485
31-Jan-98 $11,769 $11,507 $11,647
28-Feb-98 $11,723 $11,448 $11,624
31-Mar-98 $11,749 $11,458 $11,660
30-Apr-98 $11,808 $11,502 $11,718
31-May-98 $11,940 $11,616 $11,844
30-Jun-98 $12,083 $11,740 $11,965
31-Jul-98 $12,100 $11,742 $11,974
31-Aug-98 $12,282 $11,904 $12,208
30-Sep-98 $12,629 $12,225 $12,557
31-Oct-98 $12,436 $12,024 $12,468
30-Nov-98 $12,469 $12,040 $12,542
31-Dec-98 $12,546 $12,099 $12,573
31-Jan-99 $12,613 $12,148 $12,662
28-Feb-99 $12,257 $11,790 $12,360
31-Mar-99 $12,384 $11,898 $12,422
30-Apr-99 $12,425 $11,923 $12,453
31-May-99 $12,295 $11,783 $12,325
30-Jun-99 $12,191 $11,669 $12,287
31-Jul-99 $12,125 $11,591 $12,252
31-Aug-99 $12,122 $11,573 $12,243
30-Sep-99 $12,234 $11,666 $12,353
31-Oct-99 $12,262 $11,679 $12,385
30-Nov-99 $12,273 $11,674 $12,377
31-Dec-99 $12,202 $11,592 $12,302
31-Jan-00 $12,131 $11,510 $12,298
29-Feb-00 $12,295 $11,651 $12,452
31-Mar-00 $12,509 $11,839 $12,631
30-Apr-00 $12,376 $11,699 $12,569
31-May-00 $12,367 $11,676 $12,558
30-Jun-00 $12,660 $11,937 $12,814
31-Jul-00 $12,742 $11,999 $12,950
31-Aug-00 $12,838 $12,075 $13,133
30-Sep-00 $12,972 $12,186 $13,183
31-Oct-00 $13,029 $12,224 $13,265
30-Nov-00 $13,314 $12,475 $13,492
31-Dec-00 $13,615 $12,742 $13,758
31-Jan-01 $13,802 $12,901 $13,989
28-Feb-01 $13,980 $13,051 $14,133
31-Mar-01 $13,994 $13,048 $14,198
30-Apr-01 $13,848 $12,895 $14,092
31-May-01 $13,855 $12,885 $14,173
30-Jun-01 $13,893 $12,905 $14,241
31-Jul-01 $14,365 $13,326 $14,596
31-Aug-01 $14,519 $13,452 $14,783
30-Sep-01 $14,833 $13,726 $14,919
31-Oct-01 $15,171 $14,021 $15,298
30-Nov-01 $14,855 $13,712 $15,047
31-Dec-01 $14,757 $13,605 $14,928
31-Jan-02 $14,962 $13,777 $15,038
28-Feb-02 $15,146 $13,928 $15,165
31-Mar-02 $14,768 $13,564 $14,858
30-Apr-02 $15,155 $13,901 $15,146
31-May-02 $15,266 $13,986 $15,285
30-Jun-02 $15,307 $14,006 $15,415
31-Jul-02 $15,350 $14,028 $15,601
31-Aug-02 $15,666 $14,299 $15,951
30-Sep-02 $15,978 $14,565 $16,294
31-Oct-02 $15,845 $14,426 $16,138
30-Nov-02 $15,873 $14,434 $16,148
31-Dec-02 $16,249 $14,757 $16,576
31-Jan-03 $16,320 $14,803 $16,575
28-Feb-03 $16,617 $15,053 $16,870
31-Mar-03 $16,649 $15,063 $16,848
30-Apr-03 $16,880 $15,254 $17,028
31-May-03 $17,293 $15,607 $17,512
30-Jun-03 $17,142 $15,451 $17,442
31-Jul-03 $16,355 $14,724 $16,711
31-Aug-03 $16,511 $14,845 $16,821
30-Sep-03 $17,087 $15,345 $17,354
31-Oct-03 $16,876 $15,136 $17,134
30-Nov-03 $16,967 $15,199 $17,180
31-Dec-03 $17,183 $15,373 $17,349
31-Jan-04 $17,312 $15,469 $17,507
29-Feb-04 $17,576 $15,685 $17,721
31-Mar-04 $17,758 $15,828 $17,884
30-Apr-04 $17,166 $15,281 $17,335
31-May-04 $17,087 $15,191 $17,246
30-Jun-04 $17,180 $15,255 $17,317
31-Jul-04 $17,387 $15,420 $17,500
31-Aug-04 $17,757 $15,728 $17,870
30-Sep-04 $17,833 $15,776 $17,933
31-Oct-04 $17,984 $15,889 $18,088
30-Nov-04 $17,881 $15,779 $17,887
31-Dec-04 $18,031 $15,891 $18,077
31-Jan-05 $18,137 $15,965 $18,203
28-Feb-05 $18,067 $15,883 $18,083
31-Mar-05 $18,005 $15,809 $17,955
30-Apr-05 $18,314 $16,060 $18,225
31-May-05 $18,543 $16,240 $18,453
30-Jun-05 $18,693 $16,352 $18,574
31-Jul-05 $18,454 $16,122 $18,365
31-Aug-05 $18,729 $16,342 $18,639
30-Sep-05 $18,468 $16,094 $18,395
31-Oct-05 $18,236 $15,872 $18,237
30-Nov-05 $18,274 $15,885 $18,331
31-Dec-05 $18,469 $16,035 $18,505
31-Jan-06 $18,472 $16,017 $18,471
28-Feb-06 $18,497 $16,019 $18,521
31-Mar-06 $18,313 $15,840 $18,318
30-Apr-06 $18,293 $15,802 $18,260
31-May-06 $18,246 $15,742 $18,250
30-Jun-06 $18,241 $15,718 $18,292
31-Jul-06 $18,515 $15,934 $18,530
</Table>
The graph depicts the performance of UBS PACE Strategic Fixed Income Investments
Class P shares versus the Lehman Brothers Government/Credit Index over the 10
years ended July 31, 2006. The performance of the other classes will vary from
the performance of the class shown based on the difference in sales charges and
fees paid by shareholders investing in different share classes. Past performance
does not predict future performance and the performance provided does not
reflect the deduction of taxes that a shareholder would pay on Portfolio
distributions or the redemption of Portfolio shares. It is important to note
that UBS PACE Strategic Fixed Income Investments is a professionally managed
portfolio while the Index is not available for investment and is unmanaged. The
comparison is shown for illustrative purposes only.
24
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- -----------------------------------------------------------------------------------------------------
Before deducting Class A* 0.06% 4.91% N/A 5.60%
maximum sales charge Class B** -0.68% 4.13% N/A 4.56%
or UBS PACE program fee Class C*** -0.43% 4.40% N/A 5.20%
Class Y**** 0.41% 5.20% N/A 5.47%
Class P***** 0.34% 5.21% 6.35% 6.55%
After deducting Class A* -4.41% 3.95% N/A 4.74%
maximum sales charge Class B** -5.45% 3.78% N/A 4.41%
or UBS PACE program fee Class C*** -1.14% 4.40% N/A 5.20%
Class P***** -1.16% 3.64% 4.77% 4.97%
Lehman Brothers Government/Credit Index 0.90% 4.89% 6.36% 6.29%
Lipper Intermediate Investment Grade Debt Funds median 1.09% 4.13% 5.57% 4.90%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, -7.05%; 5-year period, 4.32%; since inception, 4.52%; Class
B--1-year period, -8.06%; 5-year period, 4.17%; since inception, 4.20%; Class
C--1-year period, -3.86%; 5-year period, 4.77%; since inception, 4.99%; Class
Y--1-year period, -2.28%; 5-year period, 5.58%; since inception, 5.26%; Class
P--1-year period, -3.88%; 5-year period, 4.02%; 10-year period, 4.61%; since
inception, 4.87%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE OR
REISSUANCE ON AUGUST 24, 1995 FOR CLASS P SHARES, DECEMBER 11, 2000 FOR
CLASS A SHARES, JANUARY 30, 2001 FOR CLASS B SHARES, DECEMBER 1, 2000 FOR
CLASS C SHARES AND FEBRUARY 2, 2001 FOR CLASS Y SHARES. SINCE INCEPTION
RETURNS FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 24, 1995,
WHICH IS THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 4.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 0.75%
IMPOSED ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES
BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Lehman Brothers Government/Credit Index is composed of all investment-grade
bonds that have at least one year to maturity. The Index's total return
comprises price appreciation/depreciation and income as a percentage of the
original investment. The Index is rebalanced monthly by market capitalization.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
25
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,001.80 $5.86
Hypothetical (5% annual return before expenses) 1,000.00 1,018.94 5.91
Class B Actual 1,000.00 997.50 9.56
Hypothetical (5% annual return before expenses) 1,000.00 1,015.22 9.64
Class C Actual 1,000.00 999.30 8.33
Hypothetical (5% annual return before expenses) 1,000.00 1,016.46 8.40
Class Y Actual 1,000.00 1,002.70 4.22
Hypothetical (5% annual return before expenses) 1,000.00 1,020.58 4.26
Class P Actual 1,000.00 1,002.30 4.62
Hypothetical (5% annual return before expenses) 1,000.00 1,020.18 4.66
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.18%, CLASS B: 1.93%, CLASS C: 1.68%, CLASS Y: 0.85%, CLASS P: 0.93%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
26
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- --------------------------------------------------------------------------------
Weighted average duration 5.2 yrs.
Weighted average maturity 8.0 yrs.
Average coupon 5.30%
Net assets (mm) $568.1
Number of holdings 264
PORTFOLIO COMPOSITION* 07/31/06
- --------------------------------------------------------------------------------
Long-term debt securities (bond and notes) 89.2%
Options, futures, swaps and forward foreign currency contracts 0.0**
Cash equivalents and other assets less liabilities 10.8
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
QUALITY DIVERSIFICATION* 07/31/06
- --------------------------------------------------------------------------------
US government and agency securities 39.1%
AAA 25.8
AA 4.8
A 6.1
BBB 7.0
BB 2.9
B 0.7
Below B/non-rated 2.8
Options, futures, swaps and forward foreign currency contracts 0.0**
Cash equivalents and other assets less liabilities 10.8
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
SECTOR ALLOCATION* 07/31/06
- --------------------------------------------------------------------------------
Collateralized mortgage obligations 43.4%
Corporate notes 15.1
US government agency mortgage pass-through certificates 12.2
Asset-backed securities 11.8
Municipal bonds and notes 3.3
International government obligations 2.9
US government obligations 0.5
Stripped mortgage-backed securities 0.0**
Options, futures, swaps and forward foreign currency contracts 0.0**
Cash equivalents and other assets less liabilities 10.8
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
* Weightings represent percentages of net assets as of July 31, 2006. The
Portfolio is actively managed and its composition will vary over time.
Credit quality ratings shown are based on the ratings assigned to portfolio
holdings by Standard & Poor's Ratings Group, an independent rating agency.
** Weighting represents less than 0.05% of the Portfolio's net assets as of
July 31, 2006.
27
<Page>
UBS PACE Select Advisors Trust
UBS PACE MUNICIPAL FIXED INCOME INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
1.66% (before the deduction of the maximum UBS PACE program fee; 0.15% after the
deduction of the maximum program fee), compared with the Lehman Brothers
Municipal Five-Year Index (the "Index") return of 1.81% and the 1.69% median
return of the Lipper Intermediate Municipal Debt Funds category. (Returns for
all share classes over various time periods are shown in the "Performance at a
glance" table on page 31. Please note that the returns shown do not reflect the
deduction of taxes that a shareholder could pay on Portfolio distributions or
the redemption of Portfolio shares.)
MARKET REVIEW
Over the reporting period, the bond markets saw a rise in yield levels and a
hawkish Federal Reserve Board (the "Fed"). Continuing a trend that began in
mid-2004, the Fed tightened monetary policy, raising the federal funds rate to
5.25% from 1.00%. Following seventeen consecutive rate hikes, cooling economic
indicators caused the Fed to pause after the reporting period ended.
Municipals outpaced Treasury and corporate bond returns over the period.
Municipals exhibited low volatility, with the five-year AAA-rated municipal
yield rising less than the five-year yield on Treasuries. Intermediate municipal
bonds delivered positive returns as coupon income offset modest price declines
resulting from rising interest rates.
During the first half of the reporting period, a heavy new issue supply of
municipal bonds was met with strong demand from individuals, property and
casualty insurers, and hedge fund and arbitrage players (the total municipal
issuance for 2005 reached an all time annual record of $408 billion). During the
second half of the fiscal year, issuance tapered off as interest rates rose and
refunding activity slowed dramatically. Municipalities were generally
well-funded, receiving higher than budgeted tax revenues from both individuals
and corporations.
ADVISOR'S COMMENTS
During the reporting period, the Portfolio benefited from targeted sector
selection, such as an overweight to revenue bonds and an underweight to
pre-refunded bonds.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE MUNICIPAL FIXED INCOME INVESTMENTS
INVESTMENT ADVISOR:
STANDISH MELLON ASSET MANAGEMENT COMPANY LLC ("STANDISH MELLON")
PORTFOLIO MANAGER:
CHRISTINE L. TODD
OBJECTIVE:
HIGH CURRENT INCOME EXEMPT FROM FEDERAL INCOME TAX.
INVESTMENT PROCESS:
IN DECIDING WHICH SECURITIES TO BUY FOR THE PORTFOLIO, STANDISH MELLON SEEKS TO
IDENTIFY UNDERVALUED SECTORS OR GEOGRAPHICAL REGIONS OF THE MUNICIPAL MARKET, OR
UNDERVALUED INDIVIDUAL SECURITIES. TO DO THIS, STANDISH MELLON USES CREDIT
RESEARCH AND VALUATION ANALYSIS, AND MONITORS THE RELATIONSHIP OF THE MUNICIPAL
YIELD CURVE TO THE TREASURY YIELD CURVE. STANDISH MELLON MAY ALSO MAKE MODEST
DURATION ADJUSTMENTS BASED ON ECONOMIC ANALYSES AND INTEREST RATE FORECASTS.
STANDISH MELLON GENERALLY SELLS SECURITIES IF IT IDENTIFIES MORE ATTRACTIVE
INVESTMENT OPPORTUNITIES WITHIN ITS INVESTMENT CRITERIA AND DOING SO MAY IMPROVE
THE PORTFOLIO'S RETURN. STANDISH MELLON ALSO MAY SELL SECURITIES WITH WEAKENING
CREDIT PROFILES OR TO ADJUST THE AVERAGE DURATION OF THE PORTFOLIO.
28
<Page>
ADVISOR'S COMMENTS - CONCLUDED
The higher-income revenue bond sectors that were most heavily weighted included
tobacco securitization, housing and hospitals. Together with strong security
selection, these sectors combined to produce the year's strongest investment
returns. Government-backed pre-refunded bonds, which comprise one-quarter of the
intermediate municipal market, performed relatively poorly. The Portfolio's
performance relative to the Index benefited from its sizeable underweight to
these lower-yielding securities.
However, periods when duration "drift" coincided with interest rate volatility
contributed to the Portfolio's lagging the Index. In addition, periods of low
supply led to some increase in cash equivalents, which slightly diluted the
yield of the Portfolio, while some of the insured names held in the Portfolio
detracted from returns.
The Portfolio maintained a neutral interest rate posture, with some drift to a
shorter-than-Index duration. Our relatively defensive interest rate position was
a positive as yields rose in the intermediate portion of the yield curve. The
Portfolio maintained broad exposure across that segment of the curve, while the
benchmark was concentrated solely in 4- to 6-year maturity bonds. The
Portfolio's diversified yield curve exposure benefited performance as longer
intermediate bonds outperformed the 5-year area of the curve. In anticipation of
yield curve steepening, yield curve exposure is expected to be tactically
modified to reflect more of a bulleted approach.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING HIGH CURRENT
INCOME EXEMPT FROM FEDERAL INCOME TAXES. INVESTORS SHOULD BE ABLE TO WITHSTAND
SHORT-TERM FLUCTUATIONS IN THE FIXED INCOME MARKETS IN RETURN FOR POTENTIALLY
HIGHER RETURNS OVER THE LONG TERM. THE YIELD AND VALUE OF THE PORTFOLIO CHANGE
EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST RATES, GENERAL MARKET
CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC DEVELOPMENTS, AS WELL AS
SPECIFIC MATTERS RELATING TO THE ISSUERS IN WHICH THE PORTFOLIO INVESTS. IT IS
IMPORTANT TO NOTE THAT AN INVESTMENT IN THE PORTFOLIO IS ONLY ONE COMPONENT OF A
BALANCED INVESTMENT PLAN.
29
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE LEHMAN BROTHERS MUNICIPAL FIVE-YEAR INDEX
[CHART]
<Table>
<Caption>
UBS PACE MUNICIPAL UBS PACE MUNICIPAL
FIXED INCOME INVESTMENTS FIXED INCOME INVESTMENTS LEHMAN BROTHERS
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM MUNICIPAL
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) FIVE-YEAR INDEX
------------------------- ------------------------ ---------------
31-Jul-96 $10,000 $10,000 $10,000
31-Aug-96 $10,048 $10,036 $10,009
30-Sep-96 $10,162 $10,137 $10,091
31-Oct-96 $10,245 $10,207 $10,179
30-Nov-96 $10,387 $10,335 $10,311
31-Dec-96 $10,354 $10,289 $10,291
31-Jan-97 $10,404 $10,326 $10,326
28-Feb-97 $10,510 $10,419 $10,402
31-Mar-97 $10,385 $10,281 $10,288
30-Apr-97 $10,427 $10,310 $10,332
31-May-97 $10,513 $10,382 $10,460
30-Jun-97 $10,600 $10,455 $10,540
31-Jul-97 $10,830 $10,669 $10,725
31-Aug-97 $10,739 $10,566 $10,670
30-Sep-97 $10,848 $10,659 $10,765
31-Oct-97 $10,950 $10,746 $10,821
30-Nov-97 $10,983 $10,766 $10,854
31-Dec-97 $11,080 $10,846 $10,947
31-Jan-98 $11,150 $10,901 $11,047
28-Feb-98 $11,174 $10,911 $11,064
31-Mar-98 $11,209 $10,932 $11,074
30-Apr-98 $11,171 $10,881 $11,028
31-May-98 $11,294 $10,987 $11,160
30-Jun-98 $11,327 $11,006 $11,198
31-Jul-98 $11,358 $11,022 $11,238
31-Aug-98 $11,506 $11,152 $11,375
30-Sep-98 $11,612 $11,241 $11,492
31-Oct-98 $11,619 $11,233 $11,526
30-Nov-98 $11,643 $11,242 $11,546
31-Dec-98 $11,677 $11,261 $11,587
31-Jan-99 $11,777 $11,343 $11,709
28-Feb-99 $11,734 $11,288 $11,697
31-Mar-99 $11,732 $11,271 $11,707
30-Apr-99 $11,773 $11,297 $11,742
31-May-99 $11,724 $11,236 $11,694
30-Jun-99 $11,590 $11,094 $11,562
31-Jul-99 $11,624 $11,112 $11,633
31-Aug-99 $11,546 $11,024 $11,628
30-Sep-99 $11,514 $10,979 $11,671
31-Oct-99 $11,416 $10,873 $11,642
30-Nov-99 $11,489 $10,928 $11,710
31-Dec-99 $11,426 $10,855 $11,671
31-Jan-00 $11,350 $10,769 $11,666
29-Feb-00 $11,482 $10,881 $11,705
31-Mar-00 $11,654 $11,030 $11,811
30-Apr-00 $11,605 $10,970 $11,784
31-May-00 $11,538 $10,893 $11,781
30-Jun-00 $11,760 $11,088 $11,997
31-Jul-00 $11,900 $11,207 $12,124
31-Aug-00 $12,024 $11,309 $12,255
30-Sep-00 $12,020 $11,291 $12,234
31-Oct-00 $12,086 $11,339 $12,319
30-Nov-00 $12,152 $11,387 $12,373
31-Dec-00 $12,371 $11,578 $12,572
31-Jan-01 $12,492 $11,676 $12,788
28-Feb-01 $12,542 $11,708 $12,824
31-Mar-01 $12,641 $11,786 $12,929
30-Apr-01 $12,525 $11,663 $12,856
31-May-01 $12,645 $11,760 $12,989
30-Jun-01 $12,733 $11,828 $13,056
31-Jul-01 $12,876 $11,945 $13,197
31-Aug-01 $13,058 $12,099 $13,375
30-Sep-01 $13,071 $12,096 $13,415
31-Oct-01 $13,182 $12,183 $13,526
30-Nov-01 $13,051 $12,047 $13,418
31-Dec-01 $12,975 $11,962 $13,353
31-Jan-02 $13,147 $12,105 $13,568
28-Feb-02 $13,294 $12,225 $13,722
31-Mar-02 $13,052 $11,987 $13,430
30-Apr-02 $13,308 $12,208 $13,740
31-May-02 $13,388 $12,266 $13,832
30-Jun-02 $13,498 $12,351 $13,983
31-Jul-02 $13,631 $12,457 $14,134
31-Aug-02 $13,749 $12,549 $14,270
30-Sep-02 $13,902 $12,673 $14,468
31-Oct-02 $13,742 $12,512 $14,320
30-Nov-02 $13,723 $12,478 $14,306
31-Dec-02 $13,985 $12,701 $14,591
31-Jan-03 $13,952 $12,655 $14,615
28-Feb-03 $14,129 $12,799 $14,774
31-Mar-03 $14,106 $12,763 $14,753
30-Apr-03 $14,179 $12,813 $14,823
31-May-03 $14,407 $13,003 $15,060
30-Jun-03 $14,348 $12,933 $15,021
31-Jul-03 $13,990 $12,594 $14,694
31-Aug-03 $14,095 $12,674 $14,798
30-Sep-03 $14,415 $12,944 $15,173
31-Oct-03 $14,341 $12,862 $15,073
30-Nov-03 $14,425 $12,922 $15,134
31-Dec-03 $14,463 $12,940 $15,193
31-Jan-04 $14,524 $12,978 $15,266
29-Feb-04 $14,688 $13,108 $15,452
31-Mar-04 $14,612 $13,023 $15,388
30-Apr-04 $14,331 $12,757 $15,079
31-May-04 $14,290 $12,704 $15,002
30-Jun-04 $14,329 $12,724 $15,057
31-Jul-04 $14,449 $12,814 $15,196
31-Aug-04 $14,686 $13,008 $15,463
30-Sep-04 $14,715 $13,018 $15,483
31-Oct-04 $14,790 $13,068 $15,569
30-Nov-04 $14,668 $12,943 $15,467
31-Dec-04 $14,801 $13,044 $15,607
31-Jan-05 $14,818 $13,043 $15,604
28-Feb-05 $14,755 $12,971 $15,526
31-Mar-05 $14,643 $12,857 $15,428
30-Apr-05 $14,814 $12,991 $15,607
31-May-05 $14,867 $13,021 $15,651
30-Jun-05 $14,933 $13,062 $15,723
31-Jul-05 $14,856 $12,979 $15,638
31-Aug-05 $14,957 $13,051 $15,736
30-Sep-05 $14,914 $12,997 $15,708
31-Oct-05 $14,837 $12,913 $15,642
30-Nov-05 $14,867 $12,924 $15,679
31-Dec-05 $14,947 $12,977 $15,755
31-Jan-06 $14,990 $12,998 $15,792
28-Feb-06 $15,022 $13,009 $15,820
31-Mar-06 $14,955 $12,935 $15,758
30-Apr-06 $14,974 $12,935 $15,792
31-May-06 $15,028 $12,966 $15,848
30-Jun-06 $14,974 $12,903 $15,774
31-Jul-06 $15,103 $12,998 $15,921
</Table>
The graph depicts the performance of UBS PACE Municipal Fixed Income Investments
Class P shares versus the Lehman Brothers Municipal Five-Year Index over the 10
years ended July 31, 2006. The performance of the other classes will vary from
the performance of the class shown based on the difference in sales charges and
fees paid by shareholders investing in different share classes. Past performance
does not predict future performance and the performance provided does not
reflect the deduction of taxes that a shareholder could pay on Portfolio
distributions or the redemption of Portfolio shares. It is important to note
that UBS PACE Municipal Fixed Income Investments is a professionally managed
portfolio while the Index is not available for investment and is unmanaged. The
comparison is shown for illustrative purposes only.
30
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ------------------------------------------------------------------------------------------------------
Before deducting Class A* 1.42% 3.02% N/A 3.26%
maximum sales charge Class B** 0.65% 2.24% N/A 2.49%
or UBS PACE program fee Class C*** 0.91% 2.49% N/A 3.14%
Class Y**** 1.75% 3.27% N/A 3.52%
Class P***** 1.66% 3.24% 4.21% 4.43%
After deducting Class A* -3.15% 2.08% N/A 2.40%
maximum sales charge Class B** -4.26% 1.88% N/A 2.33%
or UBS PACE program fee Class C*** 0.17% 2.49% N/A 3.14%
Class P***** 0.15% 1.70% 2.66% 2.88%
Lehman Brothers Municipal Five-Year Index 1.81% 3.82% 4.76% 4.69%
Lipper Intermediate Municipal Debt Funds median 1.69% 3.72% 4.57% 4.57%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, -4.44%; 5-year period, 2.12%; since inception, 2.28%; Class
B--1-year period, -5.49%; 5-year period, 1.95%; since inception, 2.23%; Class
C--1-year period, -1.20%; 5-year period, 2.54%; since inception, 3.04%; Class
Y--1-year period, 0.28%; 5-year period, 3.32%; since inception, 3.41%; Class
P--1-year period, -1.22%; 5-year period, 1.76%; 10-year period, 2.65%; since
inception, 2.83%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, JANUARY 23, 2001 FOR CLASS A SHARES,
FEBRUARY 23, 2001 FOR CLASS B SHARES, DECEMBER 4, 2000 FOR CLASS C SHARES
AND FEBRUARY 23, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS FOR THE
INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 31, 1995, WHICH IS THE
NEAREST MONTH-END OF THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS
P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 4.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 0.75%
IMPOSED ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES
BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Lehman Brothers Municipal Five-Year Index is a total return performance
benchmark for the tax-exempt bond market. The Index is a sub-index of the Lehman
Brothers Municipal Bond Index and includes all issues rated Aa/AA or higher with
an average maturity of five years.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
COULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
31
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,007.10 $5.03
Hypothetical (5% annual return before expenses) 1,000.00 1,019.79 5.06
Class B Actual 1,000.00 1,002.50 8.74
Hypothetical (5% annual return before expenses) 1,000.00 1,016.07 8.80
Class C Actual 1,000.00 1,004.60 7.51
Hypothetical (5% annual return before expenses) 1,000.00 1,017.31 7.55
Class Y Actual 1,000.00 1,008.30 3.78
Hypothetical (5% annual return before expenses) 1,000.00 1,021.03 3.81
Class P Actual 1,000.00 1,007.50 3.78
Hypothetical (5% annual return before expenses) 1,000.00 1,021.03 3.81
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.01%, CLASS B: 1.76%, CLASS C: 1.51%, CLASS Y: 0.76%, CLASS P: 0.76%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
32
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Weighted average duration 4.0 yrs.
Weighted average maturity 4.6 yrs.
Average coupon 5.25%
Net assets (mm) $258.0
Number of holdings 158
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Municipal bonds and notes 98.1%
Short-term municipal variable notes 1.6
Tax-free money market fund 0.0**
Other assets less liabilities 0.3
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
TOP FIVE SECTORS* 07/31/06
- ------------------------------------------------------------------------------
Insured 37.8%
Revenue 22.7
General obligations 15.5
Pre-refunded 7.8
Housing 2.7
- ------------------------------------------------------------------------------
Total 86.5%
==============================================================================
TOP FIVE STATES/COMMONWEALTHS* 07/31/06
- ------------------------------------------------------------------------------
New York 9.4%
Illinois 8.6
California 8.5
Puerto Rico 6.7
Tennessee 6.7
- ------------------------------------------------------------------------------
Total 39.9%
==============================================================================
QUALITY DIVERSIFICATION* 07/31/06
- ------------------------------------------------------------------------------
AAA and agency backed securities 49.2%
AA 16.1
A 12.1
BBB 16.8
A-1+/VMIG1 1.6
Non-rated 3.9
Tax-free money market fund 0.0**
Other assets less liabilities 0.3
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time. Credit quality ratings shown are based on the ratings assigned
to portfolio holdings by Standard & Poor's Ratings Group, an independent
rating agency.
** Weighting represents less than 0.05% of the Portfolio's net assets as of
July 31, 2006.
33
<Page>
UBS PACE Select Advisors Trust
UBS PACE GLOBAL FIXED INCOME INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
2.11% (before deduction of the maximum UBS PACE program fee; 0.58% after
deduction of the maximum program fee), compared to the 2.07% return for the
Lehman Brothers Global Aggregate Index (in USD), the 1.43% return for the
Citigroup World Government Bond Index (in US dollars or "USD"), the 2.44% return
for the Lehman Brothers Global Aggregate Ex US Index (in USD) and the 1.71%
median return for the Lipper Global Income Funds category. (Returns for all
share classes over various time periods are shown in the "Performance at a
glance" table on page 38. Please note that the returns shown do not reflect the
deduction of taxes that a shareholder would pay on Portfolio distributions or
the redemption of Portfolio shares.)
Please note that effective December 1, 2005, the Portfolio's benchmark index was
changed to the Lehman Brothers Global Aggregate Ex US Index from the Citigroup
World Government Bond Index (in USD) in order to reflect the Portfolio's
decreased exposure to US fixed income securities.
MARKET REVIEW
In the third quarter of 2005, the expected path of the US Federal Reserve's (the
"Fed's") rate hikes, as well as the potential for continued flattening of the
yield curve were both called into question after Hurricane Katrina hit in August
and inflation concerns grew. In the fourth quarter, the flattening trend
continued as the market showed strong faith in the ability of the Fed to fight
inflation in the future. The European Central Bank began raising European
interest rates in December and has touted hawkish intentions since. The Bank of
England dealt with a struggling economy and slowing housing market through the
end of 2005, but raised rates in July 2006. In Asia, the Bank of Japan lifted a
zero-interest-rate policy in July 2006 as the economy advanced.
In spread sectors, demand for the relatively higher-yielding characteristics of
corporate bonds compressed spreads to tighter levels in 2005 and into 2006. On a
fundamental basis, balance sheets are strong and default rates remain at
historic lows. In the mortgage sector, performance was very directional, doing
well in
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE GLOBAL FIXED INCOME INVESTMENTS
INVESTMENT ADVISORS:
ROGGE GLOBAL PARTNERS PLC ("ROGGE GLOBAL PARTNERS") AND FISCHER FRANCIS TREES &
WATTS, INC. (AND AFFILIATES) ("FFTW")
PORTFOLIO MANAGERS:
ROGGE GLOBAL PARTNERS: TEAM, LED BY OLAF ROGGE; FFTW: TEAM, LED BY RICHARD
WILLIAMS
OBJECTIVE:
HIGH TOTAL RETURN.
INVESTMENT PROCESS:
ROGGE GLOBAL PARTNERS SEEKS TO INVEST THE PORTFOLIO ASSETS IT MANAGES IN BONDS
OF ISSUERS IN FINANCIALLY HEALTHY COUNTRIES, BECAUSE IT BELIEVES THAT THESE
INVESTMENTS PRODUCE THE HIGHEST BOND AND CURRENCY RETURNS OVER TIME. IN DECIDING
WHICH BONDS TO BUY FOR THE PORTFOLIO, ROGGE GLOBAL PARTNERS USES A TOP-DOWN
ANALYSIS TO FIND VALUE ACROSS COUNTRIES AND TO FORECAST INTEREST AND
CURRENCY-EXCHANGE RATES OVER A ONE-YEAR HORIZON IN THOSE COUNTRIES. ROGGE GLOBAL
PARTNERS ALSO USES AN OPTIMIZATION MODEL TO HELP DETERMINE COUNTRY, CURRENCY AND
DURATION POSITIONS FOR THE PORTFOLIO. ROGGE GLOBAL PARTNERS GENERALLY SELLS
SECURITIES THAT NO LONGER MEET THESE SELECTION CRITERIA OR WHEN IT IDENTIFIES
MORE ATTRACTIVE INVESTMENT OPPORTUNITIES, AND MAY ALSO SELL SECURITIES TO ADJUST
THE AVERAGE DURATION OF THE PORTFOLIO ASSETS IT MANAGES.
FFTW DIVIDES THE INVESTMENT UNIVERSE INTO THREE MAJOR BLOCS (THE AMERICAS,
EUROZONE AND ASIA) PLUS EMERGING MARKETS AND ANALYZES IN EACH BLOC, TRENDS IN
ECONOMIC GROWTH, INFLATION, AND MONETARY AND FISCAL POLICIES. FFTW DECIDES WHICH
SECURITIES TO BUY FOR THE PORTFOLIO BY LOOKING FOR INVESTMENT OPPORTUNITIES
WHERE ITS OPINIONS ON THE CURRENT ECONOMIC ENVIRONMENT OF A BLOC OR COUNTRY
DIFFER FROM THOSE IT JUDGES
34
<Page>
MARKET REVIEW - CONCLUDED
interest rate rallies and poorly in interest rate sell-offs. In the first half
of 2006, Fed minutes reinforced a notion that the tightening cycle is near
completion amid signs of a softer housing market. More recently, the US dollar
has posted gains on the back of higher interest rates.
ADVISORS' COMMENTS
ROGGE
Solid security selection was a source of value added over the reporting period
for our portion of the Portfolio. Emerging market debt positions had a positive
net impact despite giving up some ground during the first half of 2006, while an
overweight exposure to the financial sector had a small negative impact. In
terms of our country allocations during the reporting period, we took the view
that dollar bloc markets were likely to offer more value than Eurozone or Japan.
A preference for Denmark and particularly Norway versus the Eurozone also added
value, while an underweight versus our benchmark in the British pound detracted
from returns. We maintain our overweight to Norway as we believe that the
country's current fiscal position and growth, combined with sound medium-term
debt dynamics, represent better opportunities than many other European economies
currently do.
In Japan, economic growth gathered strength as domestic consumer demand and the
labor market improves. Though deflation appeared to be ending, the country's
demographics remain a major problem for long-term government debt dynamics, and
we maintain an underweight position to Japanese bonds.
In light of modest growth deceleration in the first half of 2006 due to a weaker
housing market, rising oil prices, the potential for core inflation, and renewed
concerns regarding the current account and fiscal deficit, our portfolio
maintained an underweight position to the US. We remained strategically
overweight to Canada, where robust economic growth and strong domestic and
export demand have helped create modest inflationary pressures.
FISCHER FRANCIS TREES AND WATTS
Over the period, interest rate positions, which added to returns, were offset by
active currency positions, ultimately leading to negative returns relative to
the Portfolio's benchmark. In the third and fourth quarters of 2005, we sought
value in spread trades (trades between two similarly dated securities with
different yields). As a result, we were overweight European interest rate
exposure versus the US and Japan, which detracted from returns.
Moving into 2006, our portfolio took an overweight UK duration exposure versus
Europe and Japan. The UK was seen as a relatively attractive market due to a
sluggish economy, and we viewed the Bank of England as likely to ease policy
rates over the near term. Our overweight UK interest rate position was a major
positive contributor to returns.
Given slower growth and falling inflation expectations, we held duration
exposure in Mexico, which had a significant positive impact on our segment of
the Portfolio as well. Iceland, Japan and New Zealand inflation-linked
securities were held as inflation hedges but contributed minimally to
performance over the period. With relatively benign inflation data, exposure to
long-dated US inflation-linked securities was a significant detractor from
performance.
[SIDENOTE]
INVESTMENT PROCESS (CONCLUDED)
TO BE REFLECTED IN CURRENT MARKET VALUATIONS. FFTW GENERALLY SELLS SECURITIES
WHEN IT HAS IDENTIFIED MORE ATTRACTIVE INVESTMENT OPPORTUNITIES.
35
<Page>
ADVISOR'S COMMENTS - CONCLUDED
In spread sectors, we remained strategically underweight to corporate credit as
we believed high valuations were unjustified and tight spreads left little room
for opportunities. In Europe, financials suffered while industrials and
retailers outperformed, supported by an improving economic outlook. With heavy
overseas demand, we maintained an overweight mortgage position through the end
of November 2005. Overall, sector trades had a nominal impact on returns.
We made a number of tactical US dollar-denominated foreign exchange trades early
in the period as steady themes and trends failed to emerge in the currency
markets until mid-September. Early in the fourth quarter we favored commodity
currencies, including the Australian, Canadian and New Zealand dollars, and the
Mexican peso over the British pound, the euro and the Japanese yen, and these
positions detracted slightly from returns. We have maintained a short US dollar
bias for most of 2006 mainly versus the euro and Japanese yen. In general, we
have viewed the euro versus the Japanese yen as an unattractive trade, and our
avoidance of it detracted from returns. An overweight euro versus British pound
position added some value to total returns.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING HIGH TOTAL
RETURN AND WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE FIXED INCOME
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE YIELD
AND VALUE OF THE PORTFOLIO CHANGE EVERY DAY AND CAN BE AFFECTED BY CHANGES IN
INTEREST RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND
ECONOMIC DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE ISSUERS IN
WHICH THE PORTFOLIO INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN THE
PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN. THE VALUE OF THE
PORTFOLIO'S INVESTMENTS IN FOREIGN SECURITIES MAY FALL DUE TO ADVERSE POLITICAL,
SOCIAL AND ECONOMIC DEVELOPMENTS ABROAD AND DUE TO DECREASES IN FOREIGN CURRENCY
VALUES RELATIVE TO THE US DOLLAR. THESE RISKS ARE GREATER FOR INVESTMENTS IN
EMERGING MARKETS THAN IN MORE DEVELOPED COUNTRIES.
36
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE CITIGROUP WORLD GOVERNMENT BOND INDEX (IN USD), THE LEHMAN
BROTHERS GLOBAL AGGREGATE EX US INDEX (IN USD), AND THE LEHMAN BROTHERS GLOBAL
AGGREGATE INDEX (IN USD)
[CHART]
<Table>
<Caption>
UBS PACE GLOBAL FIXED UBS PACE GLOBAL FIXED CITIGROUP WORLD
INCOME INVESTMENTS INCOME INVESTMENTS GOVERNMENT LEHMAN BROTHERS LEHMAN BROTHERS
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM BOND INDEX GLOBAL AGGREGATE GLOBAL AGGREGATE
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) (IN USD) INDEX (IN USD) EX US INDEX (IN USD)
------------------------- ------------------------ --------------- ---------------- --------------------
31-Jul-96 $10,000 $10,000 $10,000 $10,000 $10,000
31-Aug-96 $10,016 $10,004 $10,039 $10,020 $10,071
30-Sep-96 $10,122 $10,097 $10,080 $10,129 $10,093
31-Oct-96 $10,351 $10,312 $10,269 $10,351 $10,310
30-Nov-96 $10,547 $10,495 $10,404 $10,513 $10,451
31-Dec-96 $10,434 $10,369 $10,320 $10,440 $10,411
31-Jan-97 $10,150 $10,074 $10,044 $10,272 $ 9,975
28-Feb-97 $10,142 $10,053 $ 9,969 $10,223 $ 9,828
31-Mar-97 $10,025 $ 9,925 $ 9,893 $10,128 $ 9,760
30-Apr-97 $ 9,890 $ 9,780 $ 9,806 $10,150 $ 9,606
31-May-97 $10,143 $10,017 $10,073 $10,330 $ 9,890
30-Jun-97 $10,287 $10,146 $10,193 $10,443 $ 9,983
31-Jul-97 $10,354 $10,200 $10,113 $10,490 $ 9,715
31-Aug-97 $10,227 $10,062 $10,107 $10,466 $ 9,782
30-Sep-97 $10,586 $10,402 $10,323 $10,679 $10,058
31-Oct-97 $10,715 $10,516 $10,537 $10,873 $10,294
30-Nov-97 $10,612 $10,401 $10,376 $10,814 $10,092
31-Dec-97 $10,538 $10,316 $10,345 $10,835 $ 9,994
31-Jan-98 $10,686 $10,448 $10,445 $10,938 $10,039
28-Feb-98 $10,782 $10,528 $10,530 $10,998 $10,186
31-Mar-98 $10,729 $10,464 $10,426 $10,970 $10,073
30-Apr-98 $10,851 $10,570 $10,592 $11,106 $10,303
31-May-98 $10,807 $10,514 $10,617 $11,183 $10,338
30-Jun-98 $10,860 $10,552 $10,633 $11,205 $10,309
31-Jul-98 $10,860 $10,539 $10,647 $11,271 $10,406
31-Aug-98 $11,100 $10,759 $10,936 $11,507 $10,668
30-Sep-98 $11,794 $11,417 $11,518 $12,052 $11,400
31-Oct-98 $12,098 $11,696 $11,859 $12,207 $11,721
30-Nov-98 $12,089 $11,673 $11,692 $12,133 $11,538
31-Dec-98 $12,498 $12,053 $11,927 $12,321 $11,837
31-Jan-99 $12,412 $11,954 $11,817 $12,272 $11,679
28-Feb-99 $11,893 $11,441 $11,438 $11,907 $11,212
31-Mar-99 $11,894 $11,427 $11,466 $11,923 $11,187
30-Apr-99 $11,874 $11,394 $11,462 $11,911 $11,136
31-May-99 $11,564 $11,083 $11,269 $11,737 $10,918
30-Jun-99 $11,399 $10,911 $11,072 $11,567 $10,653
31-Jul-99 $11,565 $11,056 $11,343 $11,745 $10,989
31-Aug-99 $11,575 $11,052 $11,395 $11,726 $10,961
30-Sep-99 $11,663 $11,122 $11,573 $11,871 $11,103
31-Oct-99 $11,644 $11,090 $11,567 $11,853 $11,036
30-Nov-99 $11,466 $10,907 $11,446 $11,723 $10,816
31-Dec-99 $11,433 $10,862 $11,418 $11,683 $10,791
31-Jan-00 $10,981 $10,419 $11,175 $11,484 $10,480
29-Feb-00 $10,950 $10,376 $11,095 $11,462 $10,332
31-Mar-00 $11,253 $10,650 $11,439 $11,691 $10,603
30-Apr-00 $10,776 $10,186 $11,065 $11,405 $10,143
31-May-00 $10,899 $10,290 $11,151 $11,458 $10,237
30-Jun-00 $11,185 $10,547 $11,422 $11,749 $10,538
31-Jul-00 $10,990 $10,350 $11,229 $11,631 $10,254
31-Aug-00 $10,815 $10,172 $11,145 $11,580 $10,031
30-Sep-00 $10,813 $10,157 $11,122 $11,613 $10,028
31-Oct-00 $10,653 $ 9,994 $10,981 $11,519 $ 9,827
30-Nov-00 $10,858 $10,174 $11,199 $11,717 $10,000
31-Dec-00 $11,289 $10,565 $11,600 $12,054 $10,370
31-Jan-01 $11,310 $10,571 $11,586 $12,112 $10,331
28-Feb-01 $11,255 $10,506 $11,581 $12,132 $10,290
31-Mar-01 $10,995 $10,251 $11,247 $11,883 $ 9,866
30-Apr-01 $10,956 $10,202 $11,207 $11,869 $ 9,879
31-May-01 $10,912 $10,148 $11,173 $11,891 $ 9,863
30-Jun-01 $10,832 $10,061 $11,071 $11,808 $ 9,706
31-Jul-01 $11,068 $10,268 $11,350 $12,078 $ 9,934
31-Aug-01 $11,454 $10,612 $11,777 $12,442 $10,393
30-Sep-01 $11,481 $10,625 $11,863 $12,539 $10,431
31-Oct-01 $11,620 $10,739 $11,957 $12,652 $10,425
30-Nov-01 $11,463 $10,582 $11,789 $12,505 $10,324
31-Dec-01 $11,151 $10,281 $11,485 $12,244 $ 9,981
31-Jan-02 $11,021 $10,148 $11,273 $12,134 $ 9,735
28-Feb-02 $11,090 $10,198 $11,331 $12,215 $ 9,773
31-Mar-02 $10,997 $10,100 $11,300 $12,143 $ 9,816
30-Apr-02 $11,345 $10,407 $11,704 $12,502 $10,202
31-May-02 $11,670 $10,692 $12,035 $12,783 $10,566
30-Jun-02 $12,151 $11,119 $12,617 $13,228 $11,185
31-Jul-02 $12,233 $11,179 $12,741 $13,347 $11,249
31-Aug-02 $12,426 $11,342 $12,963 $13,565 $11,429
30-Sep-02 $12,550 $11,440 $13,104 $13,714 $11,504
31-Oct-02 $12,463 $11,347 $13,051 $13,675 $11,483
30-Nov-02 $12,506 $11,372 $13,067 $13,711 $11,547
31-Dec-02 $13,094 $11,892 $13,724 $14,267 $12,214
31-Jan-03 $13,285 $12,051 $13,912 $14,427 $12,459
28-Feb-03 $13,491 $12,222 $14,107 $14,614 $12,613
31-Mar-03 $13,478 $12,195 $14,150 $14,650 $12,678
30-Apr-03 $13,721 $12,399 $14,320 $14,838 $12,891
31-May-03 $14,326 $12,929 $14,941 $15,366 $13,525
30-Jun-03 $14,117 $12,725 $14,700 $15,199 $13,287
31-Jul-03 $13,616 $12,258 $14,263 $14,756 $12,943
31-Aug-03 $13,599 $12,227 $14,185 $14,722 $12,826
30-Sep-03 $14,346 $12,883 $14,990 $15,430 $13,654
31-Oct-03 $14,239 $12,771 $14,914 $15,344 $13,615
30-Nov-03 $14,431 $12,927 $15,166 $15,544 $13,900
31-Dec-03 $14,968 $13,392 $15,771 $16,052 $14,579
31-Jan-04 $14,987 $13,391 $15,813 $16,112 $14,590
29-Feb-04 $14,994 $13,381 $15,837 $16,195 $14,608
31-Mar-04 $15,186 $13,535 $16,064 $16,374 $14,806
30-Apr-04 $14,584 $12,983 $15,376 $15,775 $14,155
31-May-04 $14,708 $13,076 $15,496 $15,853 $14,315
30-Jun-04 $14,739 $13,088 $15,530 $15,899 $14,329
31-Jul-04 $14,707 $13,043 $15,451 $15,896 $14,227
31-Aug-04 $15,014 $13,298 $15,816 $16,244 $14,565
30-Sep-04 $15,204 $13,450 $16,039 $16,436 $14,829
31-Oct-04 $15,637 $13,816 $16,513 $16,829 $15,342
30-Nov-04 $16,212 $14,305 $17,109 $17,275 $16,100
31-Dec-04 $16,470 $14,515 $17,403 $17,540 $16,408
31-Jan-05 $16,256 $14,309 $17,158 $17,355 $16,069
28-Feb-05 $16,304 $14,333 $17,184 $17,388 $16,177
31-Mar-05 $16,038 $14,082 $16,954 $17,178 $15,914
30-Apr-05 $16,218 $14,222 $17,206 $17,403 $16,116
31-May-05 $15,900 $13,925 $16,858 $17,170 $15,658
30-Jun-05 $15,795 $13,817 $16,712 $17,093 $15,488
31-Jul-05 $15,675 $13,694 $16,548 $16,956 $15,375
31-Aug-05 $15,954 $13,921 $16,846 $17,235 $15,664
30-Sep-05 $15,739 $13,716 $16,524 $16,960 $15,356
31-Oct-05 $15,392 $13,396 $16,223 $16,708 $15,059
30-Nov-05 $15,235 $13,243 $16,025 $16,589 $14,838
31-Dec-05 $15,484 $13,443 $16,206 $16,753 $14,989
31-Jan-06 $15,744 $13,651 $16,415 $16,964 $15,301
28-Feb-06 $15,625 $13,532 $16,330 $16,904 $15,180
31-Mar-06 $15,436 $13,352 $16,140 $16,736 $15,028
30-Apr-06 $15,897 $13,733 $16,526 $17,053 $15,515
31-May-06 $16,151 $13,935 $16,829 $17,273 $15,851
30-Jun-06 $15,897 $13,698 $16,652 $17,136 $15,629
31-Jul-06 $16,005 $13,775 $16,785 $17,307 $15,750
</Table>
The graph depicts the performance of UBS PACE Global Fixed Income Investments
Class P shares versus the Citigroup World Government Bond Index (in USD), the
Lehman Brothers Global Aggregate Ex US Index (in USD), and the Lehman Brothers
Global Aggregate Index (in USD) over the 10 years ended July 31, 2006. The
performance of the other classes will vary from the performance of the class
shown based on the difference in sales charges and fees paid by shareholders
investing in different share classes. Past performance does not predict future
performance and the performance provided does not reflect the deduction of taxes
that a shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares. It is important to note that UBS PACE Global Fixed Income
Investments is a professionally managed portfolio while the Index is not
available for investment and is unmanaged. The comparison is shown for
illustrative purposes only.
Effective December 1, 2005, the Portfolio's benchmark index was changed from the
Citigroup World Government Bond Index (in USD) to the Lehman Brothers Global
Aggregate Ex US Index to reflect the Portfolio's decreased exposure to US fixed
income securities.
37
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ------------------------------------------------------------------------------------------------------
Before deducting Class A* 1.86% 7.38% N/A 6.73%
maximum sales charge Class B** 1.08% 6.58% N/A 5.33%
or UBS PACE program fee Class C*** 1.35% 6.85% N/A 6.29%
Class Y**** 2.21% 7.69% N/A 6.58%
Class P***** 2.11% 7.66% 4.82% 5.01%
After deducting Class A* -2.70% 6.41% N/A 5.86%
maximum sales charge Class B** -3.68% 6.27% N/A 5.18%
or UBS PACE program fee Class C*** 0.64% 6.85% N/A 6.29%
Class P***** 0.58% 6.05% 3.25% 3.45%
Citigroup World Government Bond Index (in USD) 1.43% 8.14% 5.32% 5.39%
Lehman Brothers Global Aggregate Ex US Index (in USD) 2.44% 9.66% 4.65% 5.10%
Lehman Brothers Global Aggregate Index (in USD) 2.07% 7.46% 5.64% 5.74%
Lipper Global Income Funds median 1.71% 6.43% 5.31% 5.61%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, -4.04%; 5-year period, 6.72%; since inception, 5.84%; Class
B--1-year period, -4.98%; 5-year period, 6.61%; since inception, 5.17%; Class
C--1-year period, -0.72%; 5-year period, 7.18%; since inception, 6.29%; Class
Y--1-year period, 0.74%; 5-year period, 8.01%; since inception, 6.55%; Class
P--1-year period, -0.86%; 5-year period, 6.37%; 10-year period, 3.36%; since
inception, 3.42%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, DECEMBER 11, 2000 FOR CLASS A SHARES,
FEBRUARY 5, 2001 FOR CLASS B SHARES, DECEMBER 1, 2000 FOR CLASS C SHARES
AND JANUARY 16, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS FOR THE
INDICES AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 31, 1995, WHICH IS THE
NEAREST MONTH-END OF THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS
P).
EFFECTIVE DECEMBER 1, 2005, THE PORTFOLIO'S BENCHMARK INDEX WAS CHANGED
FROM THE CITIGROUP WORLD GOVERNMENT BOND INDEX (IN USD) TO THE LEHMAN
BROTHERS GLOBAL AGGREGATE EX US INDEX TO REFLECT THE PORTFOLIO'S DECREASED
EXPOSURE TO US FIXED INCOME SECURITIES.
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 4.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 0.75%
IMPOSED ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES
BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Citigroup World Government Bond Index (in USD) is a market
capitalization-weighted index composed of straight (i.e., not floating rate or
index-linked) government bonds with a one-year minimum maturity. The average
maturity is seven years. The Index includes the 21 government bond markets of
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece,
Ireland, Italy, Japan, the Netherlands, Norway, Poland, Portugal, Spain, Sweden,
Switzerland, the United Kingdom, and the United States.
The Lehman Brothers Global Aggregate Ex US Index (in USD) provides a broad-based
measure of the global investment-grade fixed income markets excluding the US
market. The two major components of this Index are the Pan-European Aggregate
and the Asian-Pacific Aggregate Indices. The Index also includes Eurodollar and
Euro-Yen corporate bonds, Canadian government, agency and corporate securities.
The Lehman Brothers Global Aggregate Index (in USD) provides a broad-based
measure of the global investment-grade fixed income markets. The three major
components of this Index are the US Aggregate, the Pan-European Aggregate, and
the Asian-Pacific Aggregate Indices. The Index also includes Eurodollar and
Euro-Yen corporate bonds, Canadian government securities, and USD investment
grade 144A securities.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
38
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,015.40 $ 6.90
Hypothetical (5% annual return before expenses) 1,000.00 1,017.95 6.90
Class B Actual 1,000.00 1,011.50 10.62
Hypothetical (5% annual return before expenses) 1,000.00 1,014.23 10.64
Class C Actual 1,000.00 1,012.80 9.38
Hypothetical (5% annual return before expenses) 1,000.00 1,015.47 9.39
Class Y Actual 1,000.00 1,017.20 5.35
Hypothetical (5% annual return before expenses) 1,000.00 1,019.49 5.36
Class P Actual 1,000.00 1,016.60 5.65
Hypothetical (5% annual return before expenses) 1,000.00 1,019.19 5.66
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.38%, CLASS B: 2.13%, CLASS C: 1.88%, CLASS Y: 1.07%, CLASS P: 1.13%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
39
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- -------------------------------------------------------------------------------
Net assets (mm) $489.2
Number of holdings 131
Portfolio composition* 07/31/06
Long-term global debt securities 84.8%
Futures and forward foreign currency contracts (0.6)
Cash equivalents and other assets less liabilities 15.8
- -------------------------------------------------------------------------------
Total 100.0%
===============================================================================
QUALITY DIVERSIFICATION* 07/31/06
- -------------------------------------------------------------------------------
US government and agency securities 1.9%
AAA 50.6
AA 15.0
A 5.9
BBB 1.1
BB 1.3
Non-rated 9.0
Futures and forward foreign currency contracts (0.6)
Cash equivalents and other assets less liabilities 15.8
- -------------------------------------------------------------------------------
Total 100.0%
===============================================================================
TOP FIVE COUNTRIES OF ORIGIN* 07/31/06
- -------------------------------------------------------------------------------
United States 17.9%
Germany 13.5
Japan 12.9
France 12.7
United Kingdom 11.0
- -------------------------------------------------------------------------------
Total 68.0%
===============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time. Credit quality ratings shown are based on the ratings assigned
to portfolio holdings by Standard & Poor's Ratings Group, an independent
rating agency.
40
<Page>
UBS PACE Select Advisors Trust
UBS PACE HIGH YIELD INVESTMENTS
PERFORMANCE
For the period since inception on April 10, 2006 through July 31, 2006, the
Portfolio's Class P shares returned 0.56% (before deduction of the maximum UBS
PACE program fee; 0.10% after deduction of the maximum program fee), compared
with the 1.53% return of the Merrill Lynch Global High Yield Index (hedged in
USD) (the "Index"). The median return of the Lipper High Current Yield Funds
category was 0.58%. (Returns for Class A shares since inception are also shown
in the "Performance at a glance" table on page 43. Please note that the returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Portfolio distributions or the redemption of Portfolio shares.)
MARKET REVIEW
Although spreads widened during the period, the high yield market performed in
line with most sovereign bond markets, outperforming the longer end of the yield
curve while underperforming the short end. (The "spread" is the difference in
yield between high-yield securities and similarly dated Treasuries.) All bond
markets, with the exception of emerging markets, outperformed equities between
the Portfolio's inception on April 3, 2006 and the end of the reporting period.
Despite the fact that riskier assets came under pressure beginning in May 2006,
high yield securities performed comparatively well. This divergence in returns
of equities and high-yield securities could potentially suggest the beginning of
a bear market for high-yield securities; other evidence suggests that investors
still face excess liquidity, cash levels are high and investment opportunities
scarce. Under these conditions, we do not expect a significant correction in the
high yield market unless there is a shock related to fundamentals. So far, a
strong world-wide economy makes such a shock unlikely. That said, we believe
core inflation measures may have understated the real rate of inflation, meaning
that past monetary policy may have been more stimulative than the Fed realizes,
and economic growth and inflation may be stronger than expected. Under such a
scenario, interest rates could rise higher and for longer than is presently
anticipated.
Issuer-specific volatility was relatively muted over this initial investment
period due to the very low incidence of credit problems. The most significant
positive sector performances were in cable, autos and airlines. Metals and
portions of the telecom sector were also strong. By far the most significant
name on the downside during the period was HCA, the large health care company,
whose more than $10 billion in public bonds fell 10-20% in July on news of a
possible leveraged buyout. Homebuilders sold off a like amount on fundamental
concerns, including heavy order cancellations, lower volumes and weak pricing.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE HIGH YIELD INVESTMENTS
INVESTMENT ADVISOR:
MACKAY SHIELDS LLC ("MACKAY SHIELDS")
PORTFOLIO MANAGERS:
TEAM
OBJECTIVE:
TOTAL RETURN.
INVESTMENT PROCESS:
MACKAY SHIELDS ATTEMPTS TO DELIVER ATTRACTIVE RISK ADJUSTED RETURNS BY AVOIDING
MOST OF THE UNUSUALLY LARGE LOSSES IN THE HIGH YIELD MARKET EVEN IF IT MEANS
GIVING UP MUCH OF THE LARGE GAINS. MACKAY SHIELDS BELIEVES THAT THERE IS A VERY
SMALL SUBSET OF BONDS THAT DELIVERS OUTSIZED GAINS IN THE MARKET. DUE TO THE
LIMITED UPSIDE INHERENT IN MOST BONDS, OVER TIME, OUTSIZED GAINS ARE EXPECTED TO
BE SMALLER THAN UNUSUALLY LARGE LOSSES. BY LIMITING THE PORTFOLIO'S
PARTICIPATION IN THE EXTREMES OF THE MARKET, MACKAY SHIELDS STRIVES TO ADD VALUE
OVER A MARKET CYCLE AND WITH LOWER VOLATILITY. MACKAY SHIELDS DOES THIS THROUGH
A RIGOROUS PROCESS THAT ATTEMPTS TO SCREEN OUT WHAT IT BELIEVES TO BE THE
RISKIEST ISSUERS IN THE MARKET.
41
<Page>
ADVISOR'S COMMENTS
As for the Portfolio itself, returns lagged the benchmark Index's performance,
primarily because of the transaction costs associated with getting the Portfolio
invested. A second contributing factor was our strategic underweight in the
riskiest parts of the market, which outperformed the high yield market on the
whole during the period. While nearly fully invested, the Portfolio is
positioned with a somewhat lower risk profile than the broader market.
Given still tight high yield spreads and the recent tightening mode of central
banks around the world, we believe this lower risk profile is prudent. Despite
excess global liquidity continuing to reward higher risk, we believe that the
opportunity cost of our present positioning is low. At current spreads and high
prices, we believe that the high yield market as a whole has relatively little
room to rally, and when a bear market does finally arrive, we expect the
sell-off to be more acute than in previous cycles. In this environment we are
content to attempt to focus on current income and error avoidance.
As for sector and issue selection factors that impacted performance, most
notable on the upside was our complete avoidance of the health care sector,
which was down during the period. Likewise, the Portfolio benefited from our
underweight in homebuilding. On the other hand, our substantial overweights in
more defensive sectors such as energy and gaming were a drag on performance.
Turning to specific issues, the Portfolio benefited from a number of positions
that outperformed the market over the period. Our positions in Ford and General
Motors (GM) fared well; GM itself was up solidly, while our holdings in its
finance subsidiary General Motors Acceptance Corporation also posted positive
returns. Elsewhere, Charter Communication was up on optimism relating to "triple
play" sales (bundled cable, phone and internet access). J.B. Poindexter, the
producer of truck bodies and step-up vans, performed well, as did Nutro
Products, the pet food maker. On the downside, the only real disappointment was
Ainsworth Lumber, a producer of structural building materials, whose bonds were
down in the low double-digit range over the period on concerns relating to
pricing, over-capacity and housing starts. Ainsworth is one of the Portfolio's
smaller positions.
There is no line graph shown for the Portfolio, as the Portfolio had completed
less than a half year of investment operations as of the date of this annual
report.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING TOTAL RETURN
AND WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE FIXED INCOME
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE FUND
SEEKS TO ACHIEVE ITS OBJECTIVE BY INVESTING PRIMARILY IN A PROFESSIONALLY
MANAGED, DIVERSIFIED PORTFOLIO OF FIXED INCOME SECURITIES RATED BELOW INVESTMENT
GRADE OR CONSIDERED TO BE OF COMPARABLE QUALITY (COMMONLY REFERRED TO AS "JUNK
BONDS"). THESE SECURITIES ARE SUBJECT TO HIGHER RISKS THAN INVESTMENT GRADE
SECURITIES, INCLUDING GREATER PRICE VOLATILITY AND A GREATER RISK OF LOSS OF
PRINCIPAL AND NON-PAYMENT OF INTEREST. ISSUERS OF SUCH SECURITIES ARE TYPICALLY
IN POOR FINANCIAL HEALTH, AND THEIR ABILITY TO PAY INTEREST AND PRINCIPAL IS
UNCERTAIN. THE PRICES OF SUCH SECURITIES MAY BE MORE VULNERABLE TO BAD ECONOMIC
NEWS, OR EVEN THE EXPECTATION OF BAD NEWS, THAN HIGHER RATED OR INVESTMENT GRADE
BONDS AND OTHER FIXED INCOME SECURITIES. THE VALUE OF THE PORTFOLIO CHANGES
EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST RATES, GENERAL MARKET
CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC DEVELOPMENTS, AS WELL AS
SPECIFIC MATTERS RELATING TO THE ISSUERS IN WHICH THE PORTFOLIO INVESTS. IN
ADDITION, INVESTMENTS IN FOREIGN BONDS INVOLVE SPECIAL RISKS. IT IS IMPORTANT TO
NOTE THAT AN INVESTMENT IN THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED
INVESTMENT PLAN.
42
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
SINCE
INCEPTION
TOTAL RETURNS FOR PERIODS ENDED 07/31/06 ~
- --------------------------------------------------------------------------------
Before deducting
maximum sales charge
or UBS PACE program fee Class A* 0.15%
Class P** 0.56%
After deducting
maximum sales charge
or UBS PACE program fee Class A* -4.37%
Class P** 0.10%
Merrill Lynch Global High Yield Index (hedged in USD) 1.53%
Lipper High Current Yield Funds median 0.58%
Total returns for periods ended June 30, 2006, after deduction of the maximum
sales charge or UBS PACE program fee, were as follows: Class A--since inception,
- -5.25%; Class Y--since inception, -0.86%; Class P--since inception, -0.70%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
APRIL 10, 2006 FOR CLASS P SHARES AND MAY 1, 2006 FOR CLASS A SHARES. THE
CLASS Y SHARES COMMENCED ON APRIL 3, 2006 AND HAD BEEN TOTALLY REDEEMED ON
JULY 24, 2006. SINCE INCEPTION RETURNS FOR THE INDEX AND LIPPER MEDIAN ARE
SHOWN AS OF MARCH 31, 2006, WHICH IS THE NEAREST MONTH-END OF THE INCEPTION
DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 4.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
Merrill Lynch Global High Yield Index (Hedged in USD): US dollar, Canadian
dollar, sterling and euro-denominated fixed rate debt of corporate issuers
domiciled in an investment grade rated country (i.e., BBB or higher foreign
currency long-term debt rating). Individual bonds must be rated below investment
grade (i.e., BB or lower based on a composite of Moody's and S&P) but not in
default; must have at least one year remaining term to maturity; a minimum face
value outstanding of $100 million, C$50 million, 50 million pounds silver, or 50
million euros; and have available price quotations. New issues qualify for
inclusion after they settle.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. TOTAL RETURNS FOR
PERIODS OF LESS THAN ONE YEAR HAVE NOT BEEN ANNUALIZED. CURRENT PERFORMANCE MAY
BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END PERFORMANCE
FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
43
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period ended July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
Please note that Class A and Class P commenced operations on May 1, and April
10, 2006, respectively, therefore "Actual" expenses paid during the period
reflect activity from the respective class' commencement dates through July 31,
2006.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
Please note that while Class A and Class P commenced operations on May 1, and
April 10, 2006 respectively, the "Hypothetical" expenses paid during the period
reflect projected activity for the full six month period for purposes of
comparability. This projection assumes that annualized expense ratios for both
share classes were in effect during the period from February 1, 2006 to each
class' respective commencement.
44
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED) (CONCLUDED)
EXPENSE EXAMPLE
<Table>
<Caption>
ENDING
BEGINNING ACCOUNT VALUE EXPENSES PAID
ACCOUNT VALUE JULY 31, 2006 DURING PERIOD
- -----------------------------------------------------------------------------------------------------------
Class A* Actual $1,000.00 $1,001.50 $3.41
Hypothetical (5% annual return before expenses) 1,000.00 1,018.10 6.76
Class P** Actual 1,000.00 1,005.60 3.42
Hypothetical (5% annual return before expenses) 1,000.00 1,019.34 5.51
</Table>
* THE PORTFOLIO'S CLASS A SHARES COMMENCED ON MAY 1, 2006. EXPENSES ARE EQUAL
TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIO: CLASS A: 1.35%, MULTIPLIED
BY 92 DIVIDED BY 365 (TO REFLECT THE ACTUAL DAYS IN THE PERIOD FOR THE
ACTUAL EXAMPLE) AND MULTIPLIED BY 181 DIVIDED BY 365 (TO REFLECT THE
ONE-HALF YEAR PERIOD FOR THE HYPOTHETICAL EXAMPLE).
** THE PORTFOLIO'S CLASS P SHARES COMMENCED ON APRIL 10, 2006. EXPENSES ARE
EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIO: CLASS P: 1.10%,
MULTIPLIED BY 113 DIVIDED BY 365 (TO REFLECT THE ACTUAL DAYS IN THE PERIOD
FOR THE ACTUAL EXAMPLE) AND MULTIPLIED BY 181 DIVIDED BY 365 (TO REFLECT
THE ONE-HALF YEAR PERIOD FOR THE HYPOTHETICAL EXAMPLE).
45
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Weighted average duration 4.3 yrs.
Weighted average maturity 7.7 yrs.
Average coupon 7.56%
Net assets (mm) $ 11.4
Number of holdings 104
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Long-term debt securities 88.3%
Cash equivalents and other assets less liabilities 11.7
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
QUALITY DIVERSIFICATION* 07/31/06
- ------------------------------------------------------------------------------
BB & higher 33.3%
B 49.5
CCC & lower 3.1
Not rated 2.4
Cash equivalents and other assets less liabilities 11.7
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
ASSET ALLOCATION* 07/31/06
- ------------------------------------------------------------------------------
Corporate bonds 88.3%
Cash equivalents and other assets less liabilities 11.7
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time. Credit quality ratings shown are based on the ratings assigned
to portfolio holdings by Standard & Poor's Ratings Group, an independent
rating agency.
46
<Page>
UBS PACE Select Advisors Trust
UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
12.07% (before deduction of the maximum UBS PACE program fee; 10.41% after
deduction of the maximum program fee), compared with the 11.61% return of the
Russell 1000 Value Index (the "Index") and the 8.89% median return for the
Lipper Large-Cap Value Funds category. (Returns for all share classes over
various time periods are shown in the "Performance at a glance" table on page
51. Please note that the returns shown do not reflect the deduction of taxes
that a shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.)
MARKET REVIEW
The stock market turned in positive results during the reporting period. With
the US economy continuing to expand, the broad market showed increases as
measured by the S&P 500 Index.
Nevertheless, there were some clouds on investors' horizons as hurricane damage
on the Gulf Coast, high oil prices and rising short-term interest rates fueled
fear over an impending recession, eroding investor confidence. Despite this,
many felt that the Fed was near the end of its rate hike cycle, with solid
corporate earnings reports fueling further optimism. Despite the US Treasury
yield curve inverting and the stock market finishing 2005 with a fourth quarter
sell-off, equity markets used a muted finish to 2005 as a springboard for solid
gains in 2006. While high volatility securities were market leaders during the
latter part of 2005, higher quality, lower volatility names have been market
leaders in 2006.
A hawkish stance on preserving price stability by the Federal Reserve Board (the
"Fed") and troublesome inflation data led to equity declines and increased
volatility in May 2006. This continued into mid-June, when the report of core
inflation matched its highest level since 2002, sealing the deal on a 17th
consecutive hike in the Fed funds target rate. Although the Fed paused after the
reporting period ended, this string of rate hikes was the longest on record in
50 years.
ADVISORS' COMMENTS
SSGA
Our portion of the Portfolio generated strong results during the reporting
period, outperforming the Index. Our
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
INVESTMENT ADVISORS:
SSGA FUNDS MANAGEMENT, INC. ("SSGA"), INSTITUTIONAL CAPITAL CORPORATION ("ICAP")
AND WESTWOOD MANAGEMENT CORPORATION ("WESTWOOD")
PORTFOLIO MANAGERS:
SSGA: TEAM;
ICAP: TEAM;
WESTWOOD: SUSAN M. BYRNE
OBJECTIVE:
CAPITAL APPRECIATION AND DIVIDEND INCOME.
INVESTMENT PROCESS:
SSGA USES SEVERAL INDEPENDENT VALUATION MEASURES TO IDENTIFY INVESTMENT
OPPORTUNITIES WITHIN A LARGE-CAP VALUE UNIVERSE AND COMBINES FACTORS TO PRODUCE
AN OVERALL RANK. COMPREHENSIVE RESEARCH DETERMINES THE OPTIMAL WEIGHTING OF
THESE PERSPECTIVES TO ARRIVE AT STRATEGIES THAT VARY BY INDUSTRY. SSGA
CONSTRUCTS THE PORTION OF THE PORTFOLIO IT ADVISES BY SELECTING THE
HIGHEST-RANKED STOCKS FROM THE INVESTABLE UNIVERSE, AND MANAGES DEVIATIONS FROM
THE BENCHMARK TO MAXIMIZE THE RISK/REWARD TRADE-OFF. THE RESULTING PORTFOLIO HAS
CHARACTERISTICS SIMILAR TO THE RUSSELL 1000 VALUE INDEX. SSGA GENERALLY SELLS
STOCKS THAT NO LONGER MEET ITS SELECTION CRITERIA OR THAT IT BELIEVES OTHERWISE
MAY ADVERSELY AFFECT PERFORMANCE RELATIVE TO THE INDEX.
ICAP USES ITS PROPRIETARY VALUATION MODEL TO IDENTIFY LARGE CAPITALIZATION
COMPANIES THAT IT BELIEVES OFFER THE BEST RELATIVE VALUES BECAUSE THEY SELL
BELOW THE PRICE-TO-EARNINGS RATIO WARRANTED BY THEIR PROSPECTS. ICAP LOOKS FOR
COMPANIES WHERE THERE IS A CATALYST FOR POSITIVE CHANGE WITH POTENTIAL TO
PRODUCE STOCK APPRECIATION OF 15% OR MORE RELATIVE TO THE MARKET OVER THE NEXT
12 TO 18 MONTHS. ICAP ALSO USES INTERNALLY
47
<Page>
ADVISORS' COMMENTS - CONTINUED
investment process incorporates perspectives on valuation, quality and
sentiment. These perspectives offered mixed performance for this time period.
Our "estimate revision model," a proxy for earnings growth, and our "price
reversal model," which assesses whether or not a stock has been "overbought" or
"oversold," accurately predicted strong returns for equities. Our valuation
factors, including price-to-earnings and cash flow, were weaker predictors of
stock returns over the period.
Stock selection decisions drove strong performance, with overweights among
energy, utilities and health care stocks leading the way. As energy prices
continued to climb during much of the reporting period, overweights to stocks
like Kerr-McGee, Valero Energy and Occidental Petroleum made strong
contributions to performance. Shares of Kerr-McGee soared after Anadarko
Petroleum agreed to buy the company, a move they hoped would help double
Anadarko's sales and create the largest independent oil and gas producer in the
US.
Additionally, a surge in costs for natural gas lifted electricity prices as
regulators allowed utility rate increases and some gas-fueled plants were idled.
TXU Corp., the largest Texas power producer, announced that fiscal second
quarter profit rose significantly, as gains in prices more than made up for
customer defections.
Our position in Apple Computer added the greatest value. In 2005, shares of the
company soared after it reported strong annual profits as sales of the iPod
music player fueled revenue and buoyed demand for the company's computers. In
consumer discretionary and technology positions, overweights to the lagging
McAfee, maker of antivirus software, and computer equipment maker
Hewlett-Packard worked to offset these gains, though their impact was ultimately
mild.
ICAP
During the reporting period, our portion of the Portfolio generated strong
results and outperformed its Index. This was primarily attributed to the energy,
transportation, financials, and consumer staples sectors.
During the period, we focused on the energy sector, which benefited from tight
supplies and strong customer demand. The demand for energy has been driven by
worldwide economic growth, not just in the United States, but also in rapidly
emerging China and India.
In another area of focus, the transportation sector, we continued to emphasize
railroad stocks. Rail has become a highly efficient mode of freight
transportation and railroads have increased their productivity, capturing an
increasing percentage of the nation's shipping traffic. As a group, they made a
significant positive contribution, with Norfolk Southern Railroad representing
one of the strongest individual stocks in our portion of the Portfolio.
At period end, our largest sector allocation was to financials, representing
about one-quarter of our equity investments. Among the top performers were JP
Morgan Chase and Bank of America. Despite this large
[SIDENOTE]
INVESTMENT PROCESS (CONCLUDED)
GENERATED RESEARCH TO EVALUATE THE FINANCIAL CONDITION AND BUSINESS PROSPECTS OF
EVERY COMPANY IT CONSIDERS. ICAP MONITORS EACH STOCK PURCHASED AND SELLS THE
STOCK WHEN ITS TARGET PRICE IS ACHIEVED, THE CATALYST BECOMES INOPERATIVE, OR
ICAP IDENTIFIES ANOTHER STOCK WITH GREATER OPPORTUNITY FOR APPRECIATION.
WESTWOOD MAINTAINS A LIST OF SECURITIES THAT IT BELIEVES HAVE PROVEN RECORDS AND
POTENTIAL FOR ABOVE-AVERAGE EARNINGS GROWTH. IT CONSIDERS PURCHASING A SECURITY
ON SUCH LIST IF WESTWOOD'S FORECASTED GROWTH RATES AND EARNINGS ESTIMATES EXCEED
WALL STREET EXPECTATIONS, OR WESTWOOD'S FORECASTED PRICE/EARNINGS RATIO IS LESS
THAN THE FORECASTED GROWTH RATE. WESTWOOD MONITORS THE ISSUING COMPANIES AND
SELLS A STOCK IF WESTWOOD EXPECTS LIMITED FUTURE PRICE APPRECIATION OR IF THE
PROJECTED PRICE/EARNINGS RATIO EXCEEDS THE THREE-YEAR GROWTH RATE.
48
<Page>
ADVISORS' COMMENTS - CONCLUDED
exposure, we maintained an underweight relative to the Russell 1000 Value Index
benchmark, emphasizing high-quality large-cap financial stocks, which we
believed were less sensitive to rising interest rates than their lower-quality
counterparts.
Our positions in travel-related stocks dragged on performance. Both Cendant,
which owns a wide variety of leisure and real estate brands, and Carnival Cruise
Lines struggled, and we have sold our positions in both companies. Other
laggards included medical device manufacturer Boston Scientific, its shares
falling on concerns over the company's purchase of Guidant, and
telecommunications giant Sprint Nextel, suffering in response to investors'
worries about pricing in the industry. Cable service provider Comcast also
declined as a result of a drop in its free cash flow.
It should be noted that in May 2006, the ICAP portion of the Portfolio was
transitioned from a stock portfolio normally consisting of holdings in 40 to 45
companies to a more concentrated stock portfolio normally consisting of holdings
in 20 to 30 companies.
WESTWOOD
Our exposure to high quality, attractively valued securities with strong
fundamentals allowed our portion of the Portfolio to outperform the Index during
the reporting period. Our belief in the sustainability of the global industrial
cycle, fueled by demand from emerging economies, such as India and China,
continues to lead us to what we see as values within the industrial segment of
the market.
Strong security selection in the energy, financial services and industrials
sectors was the primary contributor to our outperformance over the reporting
period. Top-performing securities in the energy sector included Baker Hughes,
Burlington Resources, Marathon Oil, Occidental Petroleum and ConocoPhillips,
which responded well to both the rise in commodity prices as well as a decline
in refining capacity.
Over the course of the reporting period, financial services companies climbed on
optimism over the potential end of the rate hike cycle. Top performers in this
sector included Bear Stearns and Lehman Brothers Holdings, which both benefited
from strong fundamentals within the securities brokerage industries. Within the
industrial sector, companies exposed to defense spending such as United
Technologies, Boeing and Lockheed Martin boosted performance, as did companies
exposed to international industrial and commodity price strength such as Phelps
Dodge and Burlington Northern Santa Fe.
On the downside, performance was hindered by security selection in the
technology and utilities sectors. Performance in the consumer discretionary
sectors was dragged down by Sears Holdings, Federated Department Stores and Best
Buy, the latter being sold off after earnings results proved a disappointment.
Other detractors from performance during the reporting period included Comcast,
which continued to be pressured by competitive threats; Microsoft, which sold
off after a disappointing earnings result; and IBM, hurt by fears over growth
prospects within its key markets.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE VALUE
OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST
RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC
DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE
SECURITIES THE PORTFOLIO INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN
THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN.
49
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE RUSSELL 1000 VALUE INDEX
[CHART]
<Table>
<Caption>
UBS PACE LARGE CO UBS PACE LARGE CO
VALUE EQUITY INVESTMENTS VALUE EQUITY INVESTMENTS
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) RUSSELL 1000 VALUE INDEX
------------------------- ------------------------- ------------------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,391 $10,378 $10,286
9/30/1996 $10,853 $10,826 $10,695
10/31/1996 $11,087 $11,046 $11,109
11/30/1996 $11,848 $11,789 $11,914
12/31/1996 $11,853 $11,779 $11,762
1/31/1997 $12,285 $12,193 $12,332
2/28/1997 $12,366 $12,259 $12,514
3/31/1997 $11,964 $11,845 $12,064
4/30/1997 $12,322 $12,184 $12,571
5/31/1997 $13,230 $13,066 $13,273
6/30/1997 $13,848 $13,659 $13,842
7/31/1997 $14,913 $14,691 $14,884
8/31/1997 $14,325 $14,094 $14,353
9/30/1997 $14,965 $14,705 $15,221
10/31/1997 $14,138 $13,876 $14,795
11/30/1997 $14,444 $14,158 $15,450
12/31/1997 $14,786 $14,475 $15,901
1/31/1998 $14,892 $14,560 $15,676
2/28/1998 $16,185 $15,805 $16,731
3/31/1998 $17,115 $16,692 $17,754
4/30/1998 $16,945 $16,506 $17,873
5/31/1998 $16,703 $16,249 $17,608
6/30/1998 $16,808 $16,331 $17,834
7/31/1998 $16,387 $15,903 $17,519
8/31/1998 $14,051 $13,618 $14,912
9/30/1998 $15,053 $14,572 $15,768
10/31/1998 $16,193 $15,655 $16,989
11/30/1998 $16,872 $16,292 $17,781
12/31/1998 $17,501 $16,877 $18,386
1/31/1999 $17,387 $16,747 $18,529
2/28/1999 $16,722 $16,086 $18,268
3/31/1999 $17,299 $16,621 $18,646
4/30/1999 $18,847 $18,085 $20,387
5/31/1999 $18,576 $17,803 $20,163
6/30/1999 $19,320 $18,492 $20,749
7/31/1999 $18,489 $17,675 $20,141
8/31/1999 $17,833 $17,026 $19,394
9/30/1999 $16,539 $15,771 $18,716
10/31/1999 $16,573 $15,784 $19,793
11/30/1999 $16,670 $15,856 $19,638
12/31/1999 $16,776 $15,938 $19,733
1/31/2000 $15,648 $14,847 $19,089
2/29/2000 $14,366 $13,614 $17,671
3/31/2000 $15,802 $14,956 $19,827
4/30/2000 $16,506 $15,603 $19,597
5/31/2000 $16,709 $15,775 $19,803
6/30/2000 $16,005 $15,091 $18,898
7/31/2000 $15,764 $14,845 $19,135
8/31/2000 $16,593 $15,607 $20,199
9/30/2000 $16,545 $15,542 $20,384
10/31/2000 $17,008 $15,957 $20,885
11/30/2000 $16,307 $15,280 $20,110
12/31/2000 $17,192 $16,090 $21,117
1/31/2001 $17,241 $16,115 $21,198
2/28/2001 $16,969 $15,840 $20,609
3/31/2001 $16,394 $15,285 $19,881
4/30/2001 $17,290 $16,100 $20,856
5/31/2001 $17,543 $16,315 $21,324
6/30/2001 $17,095 $15,879 $20,851
7/31/2001 $17,076 $15,841 $20,807
8/31/2001 $16,277 $15,082 $19,974
9/30/2001 $15,245 $14,108 $18,568
10/31/2001 $15,353 $14,189 $18,408
11/30/2001 $16,102 $14,863 $19,478
12/31/2001 $16,523 $15,233 $19,937
1/31/2002 $16,366 $15,069 $19,783
2/28/2002 $16,278 $14,969 $19,815
3/31/2002 $16,955 $15,573 $20,752
4/30/2002 $16,621 $15,247 $20,041
5/31/2002 $16,710 $15,309 $20,141
6/30/2002 $15,787 $14,445 $18,985
7/31/2002 $14,569 $13,315 $17,220
8/31/2002 $14,599 $13,325 $17,350
9/30/2002 $13,107 $11,948 $15,421
10/31/2002 $13,715 $12,487 $16,563
11/30/2002 $14,275 $12,980 $17,607
12/31/2002 $13,740 $12,479 $16,842
1/31/2003 $13,521 $12,265 $16,434
2/28/2003 $13,233 $11,988 $15,996
3/31/2003 $13,233 $11,973 $16,023
4/30/2003 $14,227 $12,857 $17,433
5/31/2003 $15,033 $13,567 $18,558
6/30/2003 $15,212 $13,712 $18,791
7/31/2003 $15,311 $13,784 $19,071
8/31/2003 $15,560 $13,990 $19,368
9/30/2003 $15,480 $13,901 $19,179
10/31/2003 $16,265 $14,588 $20,352
11/30/2003 $16,444 $14,730 $20,628
12/31/2003 $17,448 $15,610 $21,900
1/31/2004 $17,729 $15,842 $22,285
2/29/2004 $18,141 $16,190 $22,763
3/31/2004 $17,991 $16,035 $22,563
4/30/2004 $17,498 $15,577 $22,012
5/31/2004 $17,589 $15,638 $22,236
6/30/2004 $18,021 $16,002 $22,762
7/31/2004 $17,669 $15,670 $22,441
8/31/2004 $17,729 $15,704 $22,760
9/30/2004 $18,091 $16,004 $23,113
10/31/2004 $18,252 $16,126 $23,497
11/30/2004 $19,197 $16,940 $24,685
12/31/2004 $19,739 $17,397 $25,512
1/31/2005 $19,474 $17,142 $25,059
2/28/2005 $20,187 $17,747 $25,890
3/31/2005 $19,912 $17,483 $25,535
4/30/2005 $19,403 $17,015 $25,077
5/31/2005 $19,973 $17,493 $25,681
6/30/2005 $20,228 $17,694 $25,962
7/31/2005 $21,032 $18,374 $26,713
8/31/2005 $21,083 $18,396 $26,597
9/30/2005 $21,480 $18,719 $26,970
10/31/2005 $20,940 $18,226 $26,285
11/30/2005 $21,724 $18,885 $27,149
12/31/2005 $21,844 $18,964 $27,316
1/31/2006 $22,791 $19,763 $28,377
2/28/2006 $22,813 $19,756 $28,550
3/31/2006 $23,118 $19,996 $28,937
4/30/2006 $23,602 $20,389 $29,672
5/31/2006 $23,013 $19,855 $28,923
6/30/2006 $23,213 $20,003 $29,108
7/31/2006 $23,571 $20,284 $29,815
</Table>
The graph depicts the performance of UBS PACE Large Co Value Equity Investments
Class P shares versus the Russell 1000 Value Index over the 10 years ended July
31, 2006. The performance of the other classes will vary from the performance of
the class shown based on the difference in sales charges and fees paid by
shareholders investing in different share classes. Past performance does not
predict future performance and the performance provided does not reflect the
deduction of taxes that a shareholder would pay on Portfolio distributions or
the redemption of Portfolio shares. It is important to note that UBS PACE Large
Co Value Equity Investments is a professionally managed portfolio while the
Index is not available for investment and is unmanaged. The comparison is shown
for illustrative purposes only.
50
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ------------------------------------------------------------------------------------------------------
Before deducting Class A* 11.77% 6.40% N/A 6.44%
maximum sales charge Class B** 10.77% 5.52% N/A 5.61%
or UBS PACE program fee Class C*** 10.86% 5.56% N/A 5.65%
Class Y**** 12.20% 6.76% N/A 6.52%
Class P***** 12.07% 6.66% 8.95% 9.80%
After deducting Class A* 5.63% 5.20% N/A 5.38%
maximum sales charge Class B** 5.77% 5.20% N/A 5.47%
or UBS PACE program fee Class C*** 9.86% 5.56% N/A 5.65%
Class P***** 10.41% 5.07% 7.33% 8.16%
Russell 1000 Value Index 11.61% 7.46% 11.54% 12.02%
Lipper Large-Cap Value Funds median 8.89% 4.46% 8.87% 8.44%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, 8.13%; 5-year period, 4.85%; since inception, 5.18%; Class
B--1-year period, 8.48%; 5-year period, 4.84%; since inception, 5.28%; Class
C--1-year period, 12.52%; 5-year period, 5.21%; since inception, 5.46%; Class
Y--1-year period, 14.89%; 5-year period, 6.40%; since inception, 6.32%; Class
P--1-year period,13.05%; 5-year period, 4.73%; 10-year period, 6.64%; since
inception, 8.09%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, NOVEMBER 27, 2000 FOR CLASS A, B, AND
C SHARES AND JANUARY 19, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS
FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 24, 1995, WHICH IS
THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Russell 1000 Value Index measures the performance of a large universe of
stocks with lower price-to-book ratios and lower forecasted growth values.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
51
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD*
ACCOUNT VALUE ACCOUNT VALUE 02/01/06
FEBRUARY 1, 2006 JULY 31, 2006 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,032.80 $5.80
Hypothetical (5% annual return before expenses) 1,000.00 1,019.09 5.76
Class B Actual 1,000.00 1,028.60 9.86
Hypothetical (5% annual return before expenses) 1,000.00 1,015.08 9.79
Class C Actual 1,000.00 1,028.60 9.76
Hypothetical (5% annual return before expenses) 1,000.00 1,015.17 9.69
Class Y Actual 1,000.00 1,034.60 3.83
Hypothetical (5% annual return before expenses) 1,000.00 1,021.03 3.81
Class P Actual 1,000.00 1,034.20 4.34
Hypothetical (5% annual return before expenses) 1,000.00 1,020.53 4.31
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.15%, CLASS B: 1.96%, CLASS C: 1.94%, CLASS Y: 0.76%, CLASS P: 0.86%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
52
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Net assets (bn) $1.5
Number of holdings 155
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Common stocks 97.4%
ADRs 1.2
Cash equivalents and other assets less liabilities 1.4
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
TOP FIVE SECTORS* 07/31/06
- ------------------------------------------------------------------------------
Financials 30.2%
Energy 13.9
Industrials 11.0
Healthcare 9.1
Consumer discretionary 9.0
- ------------------------------------------------------------------------------
Total 73.2%
==============================================================================
TOP TEN EQUITY HOLDINGS* 07/31/06
- ------------------------------------------------------------------------------
Exxon Mobil 6.0%
Bank of America 4.3
Citigroup 4.0
J.P.Morgan Chase 3.4
General Electric 2.3
Altria Group 2.0
McDonald's 1.9
Hewlett Packard 1.8
Marathon Oil 1.5
Merck 1.5
- ------------------------------------------------------------------------------
Total 28.7%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
ADR American Depositary Receipt.
53
<Page>
UBS PACE Select Advisors Trust
UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares declined
0.20% (before deduction of the maximum UBS PACE program fee; the shares declined
1.69% after deduction of the maximum program fee). In comparison, the Russell
1000 Growth Index (the "Index") declined 0.76% and the return of the median
Lipper Large-Cap Growth Funds category was a 1.70% decline. (Returns for all
share classes over various time periods are shown in the "Performance at a
glance" table on page 58. Please note that the returns shown do not reflect the
deduction of taxes that a shareholder would pay on Portfolio distributions or
the redemption of Portfolio shares.)
MARKET REVIEW
Large cap value stocks led the pack over the reporting period, outpacing their
growth counterparts. During the year, the market behaved in fits and starts,
alternating between fears of potential inflation or the possibility of a severe
economic slowdown and a more positive economic outlook. Through this
uncertainty, corporate earnings growth remained remarkably strong, in the
double-digit range.
For much of the latter half of 2005, global economic resilience, combined with
healthy business prospects for companies involved in disaster recovery and
infrastructure repair, helped investors look past the potential for near-term
earnings disruptions in the wake of hurricanes Katrina and Rita. With crude oil
averaging over $67 a barrel during the year, however, investors also worried
about the sustainability of economic growth. Against this backdrop, the Federal
Reserve Board (the "Fed") endeavored to dampen the inflationary effects of high
energy costs, and tightened short rates at a measured pace, even as Ben Bernanke
took the reins from Alan Greenspan in February 2006.
Volatility also returned to the equity markets late in the fiscal year, and
global liquidity concerns drove stocks down in May.
ADVISORS' COMMENTS
GEAM
Our portion of the Portfolio underperformed the Index during the fiscal period
ending July 31, 2006. The energy and materials sectors provided the best
absolute
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
ADVISORS:
GE ASSET MANAGEMENT INCORPORATED ("GEAM"), MARSICO CAPITAL MANAGEMENT LLC
("MARSICO") AND SSGA FUNDS MANAGEMENT, INC. ("SSGA")
PORTFOLIO MANAGERS:
GEAM: DAVID B. CARLSON;
MARSICO: THOMAS F. MARSICO;
SSGA: TEAM
OBJECTIVE:
CAPITAL APPRECIATION.
INVESTMENT PROCESS:
GEAM INVESTS PRIMARILY IN A LIMITED NUMBER OF EQUITY SECURITIES BELIEVED TO HAVE
ABOVE-AVERAGE GROWTH HISTORIES AND/OR GROWTH POTENTIAL. GEAM SEEKS TO IDENTIFY
COMPANIES WITH CHARACTERISTICS SUCH AS: ABOVE-AVERAGE ANNUAL GROWTH RATES,
FINANCIAL STRENGTH, LEADERSHIP IN THEIR RESPECTIVE INDUSTRIES AND HIGH-QUALITY
MANAGEMENT FOCUSED ON GENERATING SHAREHOLDER VALUE.
MARSICO SEEKS TO IDENTIFY COMPANIES WITH EARNINGS GROWTH POTENTIAL THAT MAY NOT
BE RECOGNIZABLE BY THE MARKET AT LARGE. MARSICO'S STOCK SELECTION PROCESS
FOCUSES ON FACTORS SUCH AS MARKET EXPERTISE OR DOMINANCE, FRANCHISE DURABILITY
AND PRICING POWER, SOLID COMPANY FUNDAMENTALS, AS WELL AS STRONG MANAGEMENT AND
REASONABLE VALUATIONS. MARSICO'S DISCIPLINED INVESTMENT APPROACH COMBINES
TOP-DOWN ANALYSIS WITH BOTTOM-UP STOCK PICKING.
SSGA SEEKS TO OUTPERFORM THE RUSSELL 1000 GROWTH INDEX (BEFORE FEES AND
EXPENSES). SSGA USES SEVERAL INDEPENDENT VALUATION MEASURES TO IDENTIFY
INVESTMENT OPPORTUNITIES WITHIN A LARGE-CAP GROWTH UNIVERSE AND COMBINES FACTORS
TO PRODUCE AN OVERALL RANK. COMPREHENSIVE RESEARCH HELPS DETERMINE THE OPTIMAL
WEIGHTING OF
54
<Page>
ADVISORS' COMMENTS - CONTINUED
returns for our portion and had the largest positive impact versus the benchmark
during the period. Strong security selection and an overweight position in
energy versus the benchmark added to performance. Driving the strong returns in
the energy sector was oil services company Schlumberger, which posted strong
returns during the period. Our materials exposure also benefited performance
with our sole holding, Monsanto, posting solid double-digit returns over the
period.
The sectors which had the most negative impact on performance during the fiscal
year included health care, consumer discretionary and financials. Security
selection in the health care sector detracted from returns as Lincare, a large
provider of at-home oxygen therapy and other respiratory services, declined
during the period. The health care equipment and supply industry in general
dragged on performance, and our overweight position in orthopedic device maker
Zimmer and cardiac device maker Medtronic posted disappointing results.
The information technology and consumer discretionary sectors also declined
during the period. Together, those sectors represented approximately 40% of the
benchmark, and our portion of the Portfolio was impacted by an overweight
position in each of these sectors. Within the financial sector, positive
contributions from an overweight position did not offset the negative impact of
security selection, and performance was negatively impacted by not owning
certain capital markets companies, which rallied during the period, and by
owning Fannie Mae, which declined over the year.
Despite the challenging environment for growth investors, our investment
strategy, which has provided strong historical returns, remains unchanged. We
continue to focus our efforts on fundamental, bottom-up stock selection and
believe that our segment of the Portfolio remains well positioned for the long
term.
MARSICO CAPITAL
Our portion of the Portfolio outperformed its Index during the reporting period.
The reporting period began with large cap growth US equities posting solid
gains. However, these gains were offset during the later portion of the period,
as US equities were tested by a variety of headwinds, including rising interest
rates and energy prices, a softening housing market and questions regarding the
sustainability of consumer spending.
There were several contributing factors to our strong returns. The portfolio
benefited from our emphasis in the financials sector, and from good stock
selection in particular. Notably, our investments in Chicago Mercantile
Exchange, which offers the world's largest trading venue for futures and options
contracts, and diversified financials company Goldman Sachs Group both posted
strong returns.
Stock selection and an underweighted posture in the information technology
sector further benefited performance results. Google and Apple Computer posted
solid gains during the period they were held in our portion of the portfolio.
(Both Google and Apple Computer were sold prior to July 31, 2006.) Additionally,
the portfolio had little exposure to semiconductor-related companies. This
investment posture
[SIDENOTE]
INVESTMENT PROCESS (CONCLUDED)
THESE PERSPECTIVES TO ARRIVE AT STRATEGIES THAT VARY BY INDUSTRY. SSGA RANKS ALL
COMPANIES WITHIN THE INVESTABLE UNIVERSE FROM TOP TO BOTTOM BASED ON THEIR
RELATIVE ATTRACTIVENESS. SSGA CONSTRUCTS ITS PORTION OF THE PORTFOLIO BY
SELECTING THE HIGHEST-RANKED STOCKS FROM THE UNIVERSE, AND MANAGES DEVIATIONS
FROM THE BENCHMARK TO MAXIMIZE THE RISK/REWARD TRADE-OFF. THE PORTFOLIO HAS
CHARACTERISTICS SIMILAR TO THE INDEX. SSGA GENERALLY SELLS STOCKS THAT NO LONGER
MEET ITS SELECTION CRITERIA OR THAT IT BELIEVES OTHERWISE MAY ADVERSELY AFFECT
PERFORMANCE RELATIVE TO THE INDEX.
55
<Page>
ADVISORS' COMMENTS - CONCLUDED
aided performance relative to the benchmark index, as semiconductors were the
weakest performing area of the Russell 1000 Growth Index.
The portfolio's outperformance was tempered by the poor performance of some
stocks. Stock selection in the health care sector detracted from returns, with
positions in medical device manufacturer Zimmer Holdings and implantable device
maker Medtronic posting losses prior to being sold. Health care services
provider UnitedHealth Group and biotechnology company Genentech also combined to
have a negative effect on performance results for the reporting period.
Homebuilding and home improvement retailing positions including Lennar and
Lowe's declined sharply, in part due to a softening housing market and concerns
about retail spending.
SSGA
Our portion of the Portfolio generated positive results, outperforming its
Index. Our investment process incorporates perspectives on valuation, quality
and sentiment. For the reporting period, the components offered mixed
performance. While estimate revisions, a proxy for earnings growth, offered
relatively accurate forecasts of equity returns, our valuation factors
(price-to-earnings and cash flow) were weak predictors overall.
Over the course of the reporting period, solid performance was the result of
strong stock picking. Overweights among financial, health care and materials
stocks helped the portfolio finish the year in positive territory. An overweight
to First Marblehead bolstered performance, after the company posted strong
returns. Investors rewarded First Marblehead on news that the provider of
student loan services had completed the securitization of over $900 million,
leading to expected revenue increases. Later in the year, the stock moved higher
due to solid earnings news.
Copper producer Phelps Dodge recorded one of the highest return figures in our
portion of the Portfolio. Copper prices rose to a 16-year high due to
speculation that China's plan to revalue their currency would lead manufacturers
to import more metal, sending the stock upward. Shares of Kerr-McGee soared
after Anadarko Petroleum Corp. agreed to pay $21 billion in cash for the company
and Western Gas Resources, to more than double Anadarko's sales and create the
largest independent oil and gas producer in the US.
Despite strong returns overall, positions within technology and
telecommunication stocks dampened performance. McAfee, the world's largest maker
of anti-virus software, declined after the company's profit and sales forecasts
missed analysts' estimates. An overweight position in the stock dampened
performance. While an overweight to Merck served as one of the top contributors,
this position was offset by an overweight to Kos Pharmaceuticals, which declined
sharply, and represented the largest stock-level detractor from performance.
Shares of the drug maker plunged after a competitor announced plans to seek US
approval of rival cholesterol drugs.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE VALUE
OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST
RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC
DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE
SECURITIES THE PORTFOLIO INVESTS. ALSO, TO THE EXTENT THE PORTFOLIO INVESTS A
LARGE PORTION OF ITS ASSETS IN TECHNOLOGY COMPANIES, THE PORTFOLIO MAY
EXPERIENCE GREATER VOLATILITY AND RISK OF LOSS DUE TO UNFAVORABLE DEVELOPMENTS
IN THE TECHNOLOGY SECTOR. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN THE
PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN.
56
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE RUSSELL 1000 GROWTH INDEX
[CHART]
<Table>
<Caption>
UBS PACE LARGE CO UBS PACE LARGE CO
GROWTH EQUITY GROWTH EQUITY
INVESTMENTS INVESTMENTS
(BEFORE DEDUCTING (AFTER DEDUCTING
MAXIMUM UBS PACE MAXIMUM UBS PACE RUSSELL 1000
PROGRAM FEE) PROGRAM FEE) GROWTH INDEX
----------------- ----------------- ------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,369 $10,356 $10,258
9/30/1996 $11,304 $11,275 $11,005
10/31/1996 $11,432 $11,389 $11,071
11/30/1996 $12,042 $11,982 $11,902
12/31/1996 $11,676 $11,603 $11,669
1/31/1997 $12,333 $12,241 $12,488
2/28/1997 $11,978 $11,874 $12,403
3/31/1997 $11,117 $11,007 $11,732
4/30/1997 $11,925 $11,792 $12,511
5/31/1997 $12,590 $12,434 $13,414
6/30/1997 $13,187 $13,006 $13,951
7/31/1997 $14,561 $14,344 $15,185
8/31/1997 $13,647 $13,427 $14,296
9/30/1997 $14,463 $14,212 $14,999
10/31/1997 $14,055 $13,794 $14,445
11/30/1997 $14,206 $13,925 $15,059
12/31/1997 $14,570 $14,264 $15,227
1/31/1998 $14,875 $14,544 $15,683
2/28/1998 $16,332 $15,948 $16,862
3/31/1998 $16,964 $16,545 $17,535
4/30/1998 $17,244 $16,797 $17,777
5/31/1998 $17,060 $16,597 $17,273
6/30/1998 $18,093 $17,580 $18,331
7/31/1998 $18,405 $17,861 $18,209
8/31/1998 $14,787 $14,331 $15,477
9/30/1998 $15,483 $14,988 $16,665
10/31/1998 $17,244 $16,672 $18,005
11/30/1998 $18,373 $17,741 $19,374
12/31/1998 $20,406 $19,679 $21,121
1/31/1999 $21,793 $20,991 $22,362
2/28/1999 $20,917 $20,121 $21,340
3/31/1999 $21,666 $20,816 $22,464
4/30/1999 $21,708 $20,830 $22,493
5/31/1999 $21,129 $20,250 $21,801
6/30/1999 $22,959 $21,976 $23,328
7/31/1999 $22,023 $21,053 $22,587
8/31/1999 $22,423 $21,409 $22,956
9/30/1999 $21,606 $20,603 $22,474
10/31/1999 $23,231 $22,125 $24,171
11/30/1999 $23,589 $22,438 $25,475
12/31/1999 $25,558 $24,280 $28,125
1/31/2000 $24,344 $23,098 $26,806
2/29/2000 $24,152 $22,887 $28,116
3/31/2000 $27,086 $25,635 $30,129
4/30/2000 $26,248 $24,811 $28,695
5/31/2000 $25,016 $23,618 $27,251
6/30/2000 $26,248 $24,749 $29,316
7/31/2000 $25,933 $24,422 $28,093
8/31/2000 $27,863 $26,207 $30,637
9/30/2000 $25,235 $23,705 $27,739
10/31/2000 $24,056 $22,569 $26,427
11/30/2000 $20,611 $19,313 $22,531
12/31/2000 $20,429 $19,119 $21,818
1/31/2001 $21,612 $20,201 $23,325
2/28/2001 $17,911 $16,720 $19,366
3/31/2001 $15,706 $14,644 $17,258
4/30/2001 $17,921 $16,688 $19,441
5/31/2001 $17,921 $16,667 $19,155
6/30/2001 $17,628 $16,374 $18,711
7/31/2001 $17,071 $15,837 $18,243
8/31/2001 $15,565 $14,421 $16,752
9/30/2001 $13,835 $12,803 $15,079
10/31/2001 $14,644 $13,535 $15,870
11/30/2001 $16,080 $14,843 $17,395
12/31/2001 $16,040 $14,787 $17,362
1/31/2002 $15,524 $14,294 $17,055
2/28/2002 $14,533 $13,365 $16,348
3/31/2002 $15,190 $13,952 $16,913
4/30/2002 $13,946 $12,793 $15,533
5/31/2002 $13,582 $12,444 $15,157
6/30/2002 $12,500 $11,438 $13,755
7/31/2002 $11,661 $10,657 $12,999
8/31/2002 $11,792 $10,763 $13,038
9/30/2002 $10,771 $ 9,819 $11,685
10/31/2002 $11,529 $10,497 $12,757
11/30/2002 $11,883 $10,806 $13,450
12/31/2002 $11,115 $10,094 $12,521
1/31/2003 $10,882 $ 9,871 $12,217
2/28/2003 $10,852 $ 9,831 $12,161
3/31/2003 $11,064 $10,011 $12,387
4/30/2003 $11,843 $10,702 $13,303
5/31/2003 $12,510 $11,291 $13,967
6/30/2003 $12,601 $11,359 $14,159
7/31/2003 $12,996 $11,700 $14,512
8/31/2003 $13,259 $11,921 $14,873
9/30/2003 $13,147 $11,807 $14,714
10/31/2003 $13,946 $12,508 $15,540
11/30/2003 $13,967 $12,511 $15,703
12/31/2003 $14,412 $12,893 $16,246
1/31/2004 $14,584 $13,031 $16,578
2/29/2004 $14,624 $13,051 $16,683
3/31/2004 $14,493 $12,917 $16,373
4/30/2004 $14,189 $12,631 $16,183
5/31/2004 $14,351 $12,759 $16,484
6/30/2004 $14,543 $12,914 $16,691
7/31/2004 $13,774 $12,216 $15,747
8/31/2004 $13,825 $12,245 $15,669
9/30/2004 $14,219 $12,579 $15,819
10/31/2004 $14,341 $12,671 $16,065
11/30/2004 $15,059 $13,288 $16,618
12/31/2004 $15,686 $13,824 $17,269
1/31/2005 $15,140 $13,326 $16,693
2/28/2005 $15,271 $13,425 $16,871
3/31/2005 $15,049 $13,213 $16,563
4/30/2005 $14,755 $12,939 $16,248
5/31/2005 $15,352 $13,446 $17,034
6/30/2005 $15,443 $13,509 $16,972
7/31/2005 $16,202 $14,154 $17,801
8/31/2005 $15,959 $13,925 $17,572
9/30/2005 $16,101 $14,031 $17,653
10/31/2005 $15,878 $13,820 $17,481
11/30/2005 $16,546 $14,383 $18,235
12/31/2005 $16,534 $14,355 $18,178
1/31/2006 $17,081 $14,811 $18,497
2/28/2006 $16,939 $14,670 $18,468
3/31/2006 $17,151 $14,835 $18,741
4/30/2006 $17,162 $14,825 $18,715
5/31/2006 $16,544 $14,274 $18,081
6/30/2006 $16,493 $14,212 $18,010
7/31/2006 $16,169 $13,916 $17,667
</Table>
The graph depicts the performance of UBS PACE Large Co Growth Equity Investments
Class P shares versus the Russell 1000 Growth Index over the 10 years ended July
31, 2006. The performance of the other classes will vary from the performance of
the class shown based on the difference in sales charges and fees paid by
shareholders investing in different share classes. Past performance does not
predict future performance and the performance provided does not reflect the
deduction of taxes that a shareholder would pay on Portfolio distributions or
the redemption of Portfolio shares. It is important to note that UBS PACE Large
Co Growth Equity Investments is a professionally managed portfolio while the
Index is not available for investment and is unmanaged. The comparison is shown
for illustrative purposes only.
57
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS SINCE
ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- --------------------------------------------------------------------------------------------------
Before deducting Class A* -0.51% -1.35% N/A -5.42%
maximum sales charge Class B** -1.31% -2.18% N/A -6.18%
or UBS PACE program fee Class C*** -1.24% -2.15% N/A -6.14%
Class Y**** -0.10% -0.97% N/A -3.94%
Class P***** -0.20% -1.08% 4.92% 5.47%
After deducting Class A* -5.97% -2.46% N/A -6.36%
maximum sales charge Class B** -6.25% -2.57% N/A -6.34%
or UBS PACE program fee Class C*** -2.23% -2.15% N/A -6.14%
Class P***** -1.69% -2.55% 3.36% 3.90%
Russell 1000 Growth Index -0.76% -0.64% 5.86% 6.77%
Lipper Large-Cap Growth Funds median -1.70% -1.24% 6.06% 4.06%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, 0.63%; 5-year period, -2.70%; since inception, -6.12%; Class
B--1-year period, 0.50%; 5-year period, -2.84%; since inception, -6.11%; Class
C--1-year period, 4.56%; 5-year period, -2.39%; since inception, -5.89%; Class
Y--1-year period, 6.88%; 5-year period, -1.24%; since inception, -3.66%; Class
P--1-year period, 5.21%; 5-year period, -2.79%; 10-year period, 2.89%; since
inception, 4.13%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, NOVEMBER 27, 2000 FOR CLASS A, B, AND
C SHARES AND FEBRUARY 15, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS
FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 24, 1995, WHICH IS
THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Russell 1000 Growth Index measures the performance of a large universe of
stocks with higher price-to-book ratios and higher forecasted growth values.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
58
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- ---------------------------------------------------------------------------- ------------- --------------------
Class A Actual $1,000.00 $ 945.40 $ 5.88
Hypothetical (5% annual return before expenses) 1,000.00 1,018.74 6.11
Class B Actual 1,000.00 941.80 9.87
Hypothetical (5% annual return before expenses) 1,000.00 1,014.63 10.24
Class C Actual 1,000.00 941.90 9.82
Hypothetical (5% annual return before expenses) 1,000.00 1,014.68 10.19
Class Y Actual 1,000.00 946.90 4.10
Hypothetical (5% annual return before expenses) 1,000.00 1,020.58 4.26
Class P Actual 1,000.00 946.70 4.59
Hypothetical (5% annual return before expenses) 1,000.00 1,020.08 4.76
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.22%, CLASS B: 2.05%, CLASS C: 2.04%, CLASS Y: 0.85%, CLASS P: 0.95%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
59
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Net assets (bn) $ 1.1
Number of holdings 164
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Common stocks 92.7%
ADRs 1.3
Tracking stocks 1.3
Cash equivalents and other assets less liabilities 4.7
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
TOP FIVE SECTORS* 07/31/06
- ------------------------------------------------------------------------------
Information technology 20.0%
Consumer discretionary 18.9
Heath care 18.9
Financials 11.2
Industrials 11.0
- ------------------------------------------------------------------------------
Total 80.0%
==============================================================================
TOP TEN EQUITY HOLDINGS* 07/31/06
- ------------------------------------------------------------------------------
UnitedHealth Group 4.2%
Schlumberger 2.4
SLM 2.2
Genentech 2.0
Cisco Systems 1.9
Goldman Sachs 1.9
Intuit 1.7
Johnson & Johnson 1.6
FedEx 1.6
Microsoft 1.6
- ------------------------------------------------------------------------------
Total 21.1%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
ADR American Depositary Receipt.
60
<Page>
UBS PACE Select Advisors Trust
UBS PACE SMALL/MEDIUM CO VALUE EQUITY INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006 the Portfolio's Class P shares declined
3.95% (before deduction of the maximum UBS PACE program fee: shares declined
5.38% after deduction of the maximum program fee), compared with the 5.32%
return of the Russell 2500 Value Index (the "Index") and the 4.34% median return
for the Lipper Small-Cap Value Funds category. (Returns for all share classes
over various time periods are shown in the "Performance at a glance" table on
page 65. Please note that the returns shown do not reflect the deduction of
taxes that a shareholder would pay on Portfolio distributions or the redemption
of Portfolio shares.)
From August 1, 2005 through the end of September 2005, Ariel and ICM Asset
Management, Inc. ("ICM") managed portions of the Portfolio. ICM was replaced by
Opus and MetWest Capital effective in October 2005.
MARKET REVIEW
Market returns over the reporting period were generally positive, with US small
cap and large cap stocks posting low- to mid-single digit returns, and value
stocks outperforming growth stocks across all market cap spectrums. The US
market was buoyed by generally solid corporate earnings, and was able to shrug
off several factors that weighed against the strong earnings growth. These
included hurricane damage to the Gulf Coast, climbing inflation spurred by
higher oil prices, rising short-term interest rates and concerns about the
direction of monetary policy under the leadership of new Federal Reserve
Chairman Ben Bernanke.
International and emerging market stocks outpaced US stock market returns, in a
continuation of that trend. Over the reporting period, lower quality, higher
volatility stocks in the Index tended to outperform their higher quality, lower
risk counterparts. Performance by economic sectors varied widely over this
period, but overall, the market's ability to focus on solid corporate earnings
growth contributed to positive returns during the reporting period.
ADVISORS' COMMENTS
ARIEL
For the fiscal year ended July 31, 2006, our portion of the Portfolio trailed
the Index. Underperformance was
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE SMALL/MEDIUM CO VALUE EQUITY
INVESTMENTS
ADVISORS:
ARIEL CAPITAL MANAGEMENT, LLC ("ARIEL"), OPUS CAPITAL MANAGEMENT, INC. ("OPUS")
AND METROPOLITAN WEST CAPITAL MANAGEMENT, LLC ("METWEST CAPITAL")
PORTFOLIO MANAGERS:
ARIEL: JOHN W. ROGERS; OPUS: TEAM; METWEST CAPITAL: GARY W. LISENBEE
OBJECTIVE:
CAPITAL APPRECIATION.
INVESTMENT PROCESS:
ARIEL INVESTS IN STOCKS OF COMPANIES THAT IT BELIEVES ARE MISUNDERSTOOD OR
UNDERVALUED. IT SEEKS TO IDENTIFY COMPANIES IN CONSISTENT INDUSTRIES WITH
DISTINCT MARKET NICHES AND EXCELLENT MANAGEMENT TEAMS. IT FOCUSES ON VALUE
STOCKS, WHICH IT DEFINES AS STOCKS WITH A LOW P/E RATIO BASED ON FORWARD
EARNINGS AND THAT TRADE AT A SIGNIFICANT DISCOUNT TO THE PRIVATE MARKET VALUE
THAT ARIEL CALCULATES FOR EACH STOCK. ARIEL GENERALLY SELLS STOCKS THAT CEASE TO
MEET THESE CRITERIA OR THAT ARE AT RISK FOR FUNDAMENTAL DETERIORATION.
OPUS USES QUANTITATIVE AND QUALITATIVE ANALYSIS TO CONSTRUCT A VALUE-ORIENTED
PORTFOLIO OF STOCKS THAT ARE BELIEVED TO BE FUNDAMENTALLY UNDERVALUED,
FINANCIALLY STRONG, AND EXHIBIT STRONG EARNINGS GROWTH AND POSITIVE EARNINGS
MOMENTUM.
METWEST CAPITAL DIRECTLY RESEARCHES SMALLER CAPITALIZATION BUSINESSES IT VIEWS
AS "HIGH-QUALITY" FROM AN OBJECTIVE PERSPECTIVE. METWEST CAPITAL ATTEMPTS TO
IDENTIFY COMPANIES SELLING BELOW INTRINSIC VALUE WITH CLEAR CATALYSTS TO REALIZE
FULL VALUE WITHIN THEIR INVESTMENT TIME HORIZON (TYPICALLY THREE YEARS), AND
CONSTRUCTS A
61
<Page>
ADVISORS' COMMENTS - CONTINUED
primarily attributable to our media holdings within the consumer cyclicals
sector and our conscious avoidance of cyclical, commodity- and energy-related
holdings.
On a positive note, several holdings bolstered performance. Notably, Anixter
International recorded solid returns due to strong sales growth and record
operating margins. As Anixter expands its communications supply business
internationally, we believe the barriers to entry facing its competition become
more formidable, as most of the company's current competitors operate solely on
a regional basis. Sybron Dental Specialties was also up sharply after being
acquired by Danaher Corp. Finally, Investors Financial Services Corp.
appreciated due to significant revenue growth and renewal of its asset
administration outsourcing agreement with Barclays Global Investor. We are
optimistic regarding the company's future and ability to retain top clients and
continue winning new contracts.
Conversely, our results were diminished by Lee Enterprises, Inc. and McClatchy
Co. As a category, newspaper companies were down due to slumping circulations
and anemic ad sales. While these are legitimate issues, we believe fundamentals
in the industry are holding up quite well. Currently, our research indicates
that newspapers reach 54% of adults daily and 124 million every Sunday, which is
more than the Super Bowl's once-a-year audience of about 90 million.
Additionally, it is hard for well-known Internet brands to replicate the depth
of local coverage or level of trust of hometown papers. In the media world, we
believe content is still king, and as long as print media controls local
content, they can be expected to distribute it--and we believe advertisers will
follow media consumers wherever they are, whether in newsprint or online. With
that in mind, we believe that Lee Enterprises has amassed loyal local readership
through networks of smaller town and regional papers. McClatchy appears to have
strong growth potential after acquiring rival Knight Ridder. The company added
20 healthy papers in high-growth markets as a result, while disposing of 12 less
financially attractive papers.
OPUS
Opus assumed management of a portion of the Portfolio in October 2005. From that
period through July 31, 2006, Opus posted positive absolute returns but trailed
the benchmark.
The majority of the underperformance of our portion of the Portfolio was driven
by the underperformance of homebuilder and homebuilder-related stocks.
Homebuilding stock prices faced downward pressure as new home orders weakened
much more dramatically than anticipated. As fundamentals deteriorated, we
reduced our homebuilding exposure to less than 1% of our total portion of the
Portfolio.
Our technology holdings produced positive returns but could not keep pace with
the outsized gains of the growth-related portions of the index. Technology
distributors, home to the majority of our technology exposure, remained out of
favor despite positive company news and fundamentals. This was seen in Avnet
Inc., which declined sharply during the time period, despite posting positive
earnings.
Our energy stocks lagged the Index, as our holdings favor natural gas producers
and oil services firms over oil producers. Our auto and transportation stocks
outperformed their Index compatriots but the sector was out of favor, as the
market seems reluctant to reward solid company performance based on fears of a
slowing economy.
[SIDENOTE]
INVESTMENT PROCESS (CONCLUDED)
PORTFOLIO OF HIGHEST CONVICTION IDEAS. METWEST CAPITAL UTILIZES A BOTTOM-UP,
FUNDAMENTAL, RESEARCH-DRIVEN STYLE THAT IT BELIEVES IS IDEALLY SUITED TO THE
SMALL CAP MARKET SEGMENT.
62
<Page>
ADVISORS' COMMENTS - CONCLUDED
Our segment was helped by positive stock selection in the auto and
transportation sector and the consumer discretionary sector. The top performers
in auto and transportation included Greenbrier Companies, which capitalized on a
strong railroad market, and Tsakos Energy, an oil transportation company. The
top contributor in consumer discretionary was Men's Wearhouse, a retailer of
men's dress apparel, riding a string of positive earnings surprises, revisions
and same store sales increases. Our portion of the Portfolio was also helped by
an underweight position and positive security selection in the financial
services sector. Returns were aided by consumer finance companies, including a
buyout of Ace Cash Express and continued growth in Cash America and First Cash
Financial. Our two hotel REITs were also strong, aided by robust day rates and
occupancies.
METWEST CAPITAL
From October 2005 through July 31, 2006, our portion of the Portfolio posted a
strong absolute return but lagged the Index. The underperformance was
concentrated in the first quarter of 2006, in which the Index posted a mid-teens
advance. To control risk, we generally invest in higher quality companies than
the Index, which puts a drag on portfolio performance in times of small-cap
market strength, such as was seen over the reporting period. However, we believe
our focus on quality should enable us to add value relative to the Index with
lower volatility than the market over the long term.
Favorable stock selection in the already-strong energy sector contributed
positively to relative performance over the reporting period, as our holdings in
that sector on average posted a return more than twice that of the energy stocks
in the Index. Strong stock selection in utilities and an underweight in that
traditionally defensive sector, which lagged the market, also added to relative
return.
Weak holdings in the information technology, financials and industrials sectors
detracted from results. Business Objects, a leading provider of business
intelligence software, hindered our performance, experiencing a short-term
correction after posting a significant gain in 2005. The fundamentals appear to
remain intact, and we retain high conviction in its future prospects.
Within financials, title insurer Stewart Information Services declined, due to
what we believe was an overreaction by investors in response to rising interest
rates and a bleak projected real estate environment. However, we maintain our
positive outlook for what we view as a growing, technologically superior
company. In industrials, USA Truck, a medium-haul truckload carrier, retreated
on news that the company had settled some of its outstanding insurance claims,
resulting in increased expenses. Nonetheless, the firm's operational performance
remains strong, and we believe the decision to resolve outstanding claims
enhances its competitive position. Our position in Herley Industries, a provider
of microwave technologies for in-flight instrumentation also subtracted from
returns. We sold Herley in June 2006 due to the emergence of legal and
regulatory issues that increased the company's risk profile.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE VALUE
OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST
RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC
DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE
SECURITIES THE PORTFOLIO INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN
THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN. IN ADDITION,
SMALL- AND MID-CAP COMPANIES ARE TYPICALLY SUBJECT TO A GREATER DEGREE OF CHANGE
IN EARNINGS AND BUSINESS PROSPECTS THAN ARE LARGER, MORE ESTABLISHED COMPANIES.
THEREFORE, THEY ARE CONSIDERED TO HAVE A HIGHER LEVEL OF VOLATILITY AND RISK.
63
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE RUSSELL 2500 VALUE INDEX
[CHART]
<Table>
<Caption>
UBS PACE SMALL/MEDIUM CO UBS PACE SMALL/MEDIUM CO
VALUE EQUITY INVESTMENTS VALUE EQUITY INVESTMENTS
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM RUSSELL 2500
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) VALUE INDEX
------------------------- ------------------------ ------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,504 $10,491 $10,471
9/30/1996 $10,797 $10,770 $10,830
10/31/1996 $10,944 $10,903 $11,012
11/30/1996 $11,627 $11,569 $11,662
12/31/1996 $11,897 $11,823 $11,915
1/31/1997 $12,316 $12,224 $12,221
2/28/1997 $12,434 $12,325 $12,357
3/31/1997 $12,073 $11,953 $12,012
4/30/1997 $12,056 $11,921 $12,244
5/31/1997 $13,071 $12,909 $13,098
6/30/1997 $13,961 $13,770 $13,715
7/31/1997 $14,699 $14,480 $14,464
8/31/1997 $14,925 $14,685 $14,538
9/30/1997 $16,033 $15,755 $15,422
10/31/1997 $15,731 $15,438 $14,966
11/30/1997 $15,840 $15,526 $15,286
12/31/1997 $16,330 $15,986 $15,859
1/31/1998 $16,067 $15,710 $15,588
2/28/1998 $17,171 $16,767 $16,554
3/31/1998 $17,849 $17,408 $17,372
4/30/1998 $18,093 $17,624 $17,362
5/31/1998 $17,333 $16,863 $16,815
6/30/1998 $16,954 $16,473 $16,750
7/31/1998 $15,724 $15,259 $15,680
8/31/1998 $13,400 $12,988 $13,218
9/30/1998 $13,563 $13,129 $13,992
10/31/1998 $14,015 $13,550 $14,615
11/30/1998 $14,386 $13,891 $15,087
12/31/1998 $14,805 $14,278 $15,554
1/31/1999 $14,674 $14,133 $15,106
2/28/1999 $13,432 $12,921 $14,332
3/31/1999 $13,260 $12,740 $14,309
4/30/1999 $14,967 $14,361 $15,722
5/31/1999 $15,472 $14,827 $16,043
6/30/1999 $16,078 $15,389 $16,602
7/31/1999 $15,906 $15,206 $16,285
8/31/1999 $15,149 $14,463 $15,660
9/30/1999 $14,543 $13,867 $15,167
10/31/1999 $14,098 $13,427 $15,182
11/30/1999 $14,098 $13,410 $15,265
12/31/1999 $14,392 $13,672 $15,786
1/31/2000 $13,592 $12,896 $15,129
2/29/2000 $12,824 $12,152 $15,391
3/31/2000 $13,731 $12,995 $16,523
4/30/2000 $13,656 $12,908 $16,516
5/31/2000 $13,795 $13,023 $16,487
6/30/2000 $13,784 $12,997 $16,424
7/31/2000 $14,221 $13,393 $16,781
8/31/2000 $14,872 $13,988 $17,661
9/30/2000 $14,968 $14,061 $17,555
10/31/2000 $14,893 $13,973 $17,545
11/30/2000 $14,930 $13,990 $17,322
12/31/2000 $16,085 $15,053 $19,068
1/31/2001 $17,262 $16,134 $19,334
2/28/2001 $17,164 $16,023 $19,172
3/31/2001 $16,463 $15,349 $18,691
4/30/2001 $17,121 $15,943 $19,755
5/31/2001 $17,996 $16,736 $20,361
6/30/2001 $18,201 $16,906 $20,557
7/31/2001 $18,374 $17,045 $20,421
8/31/2001 $18,784 $17,404 $20,245
9/30/2001 $16,398 $15,174 $17,997
10/31/2001 $17,089 $15,794 $18,382
11/30/2001 $18,503 $17,080 $19,798
12/31/2001 $19,491 $17,969 $20,925
1/31/2002 $19,610 $18,056 $21,117
2/28/2002 $20,164 $18,543 $21,381
3/31/2002 $21,683 $19,915 $22,705
4/30/2002 $21,661 $19,870 $23,093
5/31/2002 $21,531 $19,726 $22,714
6/30/2002 $20,229 $18,510 $21,912
7/31/2002 $17,516 $16,007 $19,376
8/31/2002 $17,462 $15,938 $19,480
9/30/2002 $15,682 $14,295 $17,886
10/31/2002 $15,986 $14,554 $18,142
11/30/2002 $17,093 $15,543 $19,466
12/31/2002 $16,408 $14,901 $18,858
1/31/2003 $15,691 $14,233 $18,290
2/28/2003 $15,304 $13,864 $17,840
3/31/2003 $15,539 $14,059 $17,960
4/30/2003 $16,842 $15,220 $19,586
5/31/2003 $18,369 $16,579 $21,398
6/30/2003 $18,816 $16,960 $21,782
7/31/2003 $19,473 $17,531 $22,728
8/31/2003 $20,343 $18,291 $23,642
9/30/2003 $19,920 $17,888 $23,475
10/31/2003 $21,212 $19,024 $25,268
11/30/2003 $21,846 $19,569 $26,298
12/31/2003 $22,750 $20,353 $27,332
1/31/2004 $23,314 $20,832 $28,217
2/29/2004 $23,666 $21,120 $28,790
3/31/2004 $23,772 $21,188 $29,020
4/30/2004 $23,255 $20,701 $27,501
5/31/2004 $23,572 $20,958 $28,054
6/30/2004 $24,477 $21,734 $29,168
7/31/2004 $23,232 $20,603 $27,994
8/31/2004 $23,103 $20,463 $28,345
9/30/2004 $23,878 $21,123 $29,240
10/31/2004 $24,265 $21,439 $29,769
11/30/2004 $25,851 $22,811 $32,204
12/31/2004 $26,829 $23,645 $33,229
1/31/2005 $26,014 $22,898 $32,160
2/28/2005 $26,816 $23,574 $32,963
3/31/2005 $26,842 $23,567 $32,523
4/30/2005 $25,794 $22,620 $31,307
5/31/2005 $27,010 $23,656 $33,044
6/30/2005 $27,411 $23,977 $34,255
7/31/2005 $28,471 $24,873 $36,090
8/31/2005 $28,148 $24,560 $35,434
9/30/2005 $27,876 $24,293 $35,472
10/31/2005 $26,842 $23,362 $34,426
11/30/2005 $27,954 $24,299 $35,837
12/31/2005 $27,661 $24,015 $35,800
1/31/2006 $29,004 $25,149 $38,156
2/28/2006 $28,862 $24,995 $38,207
3/31/2006 $29,620 $25,619 $39,547
4/30/2006 $29,541 $25,519 $39,703
5/31/2006 $28,435 $24,533 $38,329
6/30/2006 $28,167 $24,271 $38,545
7/31/2006 $27,345 $23,534 $38,011
</Table>
The graph depicts the performance of UBS PACE Small/Medium Co Value Equity
Investments Class P shares versus the Russell 2500 Value Index over the 10 years
ended July 31, 2006. The performance of the other classes will vary from the
performance of the class shown based on the difference in sales charges and fees
paid by shareholders investing in different share classes. Past performance does
not predict future performance and the performance provided does not reflect the
deduction of taxes that a shareholder would pay on Portfolio distributions or
the redemption of Portfolio shares. It is important to note that UBS PACE
Small/Medium Co Value Equity Investments is a professionally managed portfolio
while the Index is not available for investment and is unmanaged. The comparison
is shown for illustrative purposes only.
64
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ------------------------------------------------------------------------------------------------------
Before deducting Class A* -4.10% 8.04% N/A 10.91%
maximum sales charge Class B** -4.93% 7.17% N/A 10.12%
or UBS PACE program fee Class C*** -4.86% 7.21% N/A 10.08%
Class Y**** -3.78% 8.36% N/A 11.67%
Class P***** -3.95% 8.28% 10.58% 9.91%
After deducting Class A* -9.38% 6.83% N/A 9.81%
maximum sales charge Class B** -8.77% 6.88% N/A 10.01%
or UBS PACE program fee Class C*** -5.63% 7.21% N/A 10.08%
Class P***** -5.38% 6.66% 8.94% 8.27%
Russell 2500 Value Index 5.32% 13.23% 14.29% 13.95%
Lipper Small-Cap Value Funds median 4.34% 11.76% 12.77% 12.11%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, -3.00%; 5-year period, 7.66%; since inception, 10.55%; Class
B--1-year period, -2.31%; 5-year period, 7.72%; since inception, 10.79%; Class
C--1-year period, 1.03%; 5-year period, 8.04%; since inception, 10.85%; Class
Y--1-year period, 3.02%; 5-year period, 9.21%; since inception, 12.46%; Class
P--1-year period, 1.23%; 5-year period, 7.50%; 10-year period, 8.73%; since
inception, 8.65%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, NOVEMBER 27, 2000 FOR CLASS A AND C
SHARES, NOVEMBER 28, 2000 FOR CLASS B SHARES, AND DECEMBER 20, 2000 FOR
CLASS Y SHARES. SINCE INCEPTION RETURNS FOR THE INDEX AND LIPPER MEDIAN
ARE SHOWN AS OF AUGUST 24, 1995, WHICH IS THE INCEPTION DATE OF THE OLDEST
SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Russell 2500 Value Index measures the performance of those Russell 2500
companies with lower price-to-book ratios and lower forecasted growth values.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
65
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $ 942.10 $ 6.31
Hypothetical (5% annual return before expenses) 1,000.00 1,018.30 6.56
Class B Actual 1,000.00 937.90 10.23
Hypothetical (5% annual return before expenses) 1,000.00 1,014.23 10.64
Class C Actual 1,000.00 938.60 10.00
Hypothetical (5% annual return before expenses) 1,000.00 1,014.48 10.39
Class Y Actual 1,000.00 943.60 4.72
Hypothetical (5% annual return before expenses) 1,000.00 1,019.93 4.91
Class P Actual 1,000.00 942.80 5.59
Hypothetical (5% annual return before expenses) 1,000.00 1,019.04 5.81
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.31%, CLASS B: 2.13%, CLASS C: 2.08%, CLASS Y: 0.98%, CLASS P: 1.16%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
66
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- -------------------------------------------------------------------------------
Net assets (mm) $450.8
Number of holdings 190
Portfolio composition*
07/31/06
- -------------------------------------------------------------------------------
Common stocks and warrants 95.8%
ADRs 0.4
Cash equivalents and other assets less liabilities 3.8
- -------------------------------------------------------------------------------
Total 100.0%
===============================================================================
TOP FIVE SECTORS* 07/31/06
- -------------------------------------------------------------------------------
Industrials 25.0%
Financials 24.9
Consumer discretionary 18.5
Information technology 7.5
Health care 4.5
- -------------------------------------------------------------------------------
Total 80.4%
===============================================================================
TOP TEN EQUITY SECURITIES* 07/31/06
- -------------------------------------------------------------------------------
HCC Insurance Holdings 2.2%
Markel 1.8
Energizer Holdings 1.6
Career Education 1.6
Investors Financial Services 1.6
Pitney Bowes 1.6
Hewitt Associates 1.4
Mohawk Industries 1.4
Black & Decker 1.4
IDEX Corp. 1.3
- -------------------------------------------------------------------------------
Total 15.9%
===============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
ADR American Depositary Receipt.
67
<Page>
UBS PACE Select Advisors Trust
UBS PACE SMALL/MEDIUM CO GROWTH EQUITY INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006 the Portfolio's Class P shares declined
4.05% (before deduction of the maximum UBS PACE program fee; the shares declined
5.48% after deduction of the maximum program fee). In comparison, the Russell
2500 Growth Index (the "Index") returned 2.38% and the median return of the
Lipper Mid-Cap Growth Funds category was 2.01%. (Returns for all share classes
over various time periods are shown in the "Performance at a glance" table on
page 73. Please note that the returns shown do not reflect the deduction of
taxes that a shareholder would pay on Portfolio distributions or the redemption
of Portfolio shares.)
From August 1, 2005 through the end of September 2005, Delaware was the sole
advisor to the Portfolio. Effective October 2005, two additional advisors,
ForstmannLeff and Riverbridge, began managing portions of the Portfolio.
MARKET REVIEW
Market returns over the reporting period were generally positive, with US small
cap and large cap stocks posting low- to mid-single digit returns, and value
stocks outperforming growth stocks across all market cap spectrums. The US
market was buoyed by generally solid corporate earnings, able to shrug off
several factors that weighed against the strong earnings growth. These included
climbing inflation spurred by higher oil prices, rising short-term interest
rates and concerns about the direction of monetary policy under the leadership
of new Federal Reserve Chairman Ben Bernanke, and hurricane damage to the Gulf
Coast.
Active managers generally trailed their style indexes, with value managers
trailing by a wide margin. International and emerging market stocks outpaced US
stock market returns, as they posted returns of approximately 25%. Over the
reporting period, lower quality, higher volatility stocks in the Index tended to
outperform their higher quality, lower risk counterparts. Performance by
economic sectors varied widely but overall the market's ability to focus on
solid corporate earning growth likely allowed for positive returns during the
reporting period.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE SMALL/MEDIUM CO GROWTH EQUITY
INVESTMENTS
ADVISOR:
DELAWARE MANAGEMENT COMPANY, INC. ("DELAWARE MANAGEMENT COMPANY"), FORSTMANNLEFF
LLC ("FORSTMANNLEFF") AND RIVERBRIDGE PARTNERS, LLC ("RIVERBRIDGE")
PORTFOLIO MANAGERS:
DELAWARE MANAGEMENT COMPANY: TEAM, LED BY MARSHALL T. BASSETT; FORSTMANNLEFF:
TEAM; RIVERBRIDGE: TEAM, LED BY MARK THOMPSON
OBJECTIVE:
CAPITAL APPRECIATION.
INVESTMENT PROCESS:
DELAWARE MANAGEMENT COMPANY INVESTS PRIMARILY IN STOCKS OF "EMERGING GROWTH"
COMPANIES THAT ARE BELIEVED TO HAVE POTENTIAL FOR HIGH FUTURE EARNINGS GROWTH
RELATIVE TO THE OVERALL MARKET WITH MARKET CAPITALIZATIONS OF LESS THAN $6
BILLION AT THE TIME OF PURCHASE. UP TO 5% OF THE TOTAL ASSETS MAY BE INVESTED IN
US DOLLAR-DENOMINATED FOREIGN SECURITIES. THE ADVISOR EMPLOYS BOTTOM-UP,
FUNDAMENTAL ANALYSIS TO IDENTIFY COMPANIES THAT HAVE SUBSTANTIALLY ABOVE-AVERAGE
EARNINGS GROWTH BECAUSE OF MANAGEMENT CHANGES, NEW PRODUCTS, GROWTH OF
ESTABLISHED PRODUCTS OR STRUCTURAL CHANGES IN THE ECONOMY. MANAGEMENT GENERALLY
SELLS STOCKS THAT NO LONGER MEET ITS SELECTION CRITERIA OR ARE AT RISK FOR
FUNDAMENTAL DETERIORATION, OR WHEN IT IDENTIFIES MORE ATTRACTIVE INVESTMENT
OPPORTUNITIES.
FORSTMANNLEFF SEEKS FUNDAMENTALLY STRONG AND DYNAMIC SMALL AND MID CAP COMPANIES
THAT ARE TRADING AT A DISCOUNT TO THEIR
68
<Page>
ADVISORS' COMMENTS
DELAWARE
Our portion of the Portfolio declined during the reporting period and trailed
the Russell 2500 Growth Index. Negative overall stock selection for the year was
the primary culprit, as strong performances from the capital goods and energy
sectors were erased by negative stock selection in the consumer cyclicals,
health care and technology sectors.
Further hindering relative performance was sector allocation, primarily our
underweights in energy and capital goods and overweights in the consumer-related
sectors. The vast majority of this negative impact occurred early in the period,
and throughout the year we actively brought our sector weightings more in line
with those of the benchmark.
The top ten contributors to performance over the past year came from five
different sectors and were led by the triple-digit return of Akamai
Technologies. The company continues to benefit from its position as the leader
in content and process delivery on the Internet. Other strong contributors
included Amylin Pharmaceuticals, based on the success of its diabetes drug (we
sold our position on strength before the period ended) and Allegheny
Technologies, also up triple digits on strong demand for its specialty metals
and alloys.
In contrast to the diversity of positive contributors, the biggest individual
detractors from performance were concentrated in the health care and technology
sectors. In the former, our high exposure to biotech and specialty
pharmaceuticals hurt performance, as sentiment toward those industries turned
markedly negative in March 2006. Individually, Encysive Pharmaceuticals fell by
more than half after approval for its drug to treat pulmonary arterial
hypertension was delayed. Nonetheless, we remain optimistic on our holdings in
the sector based on solid company-specific fundamentals and shifts in long-term
demographics.
In technology, O2Micro International fell significantly as slower sales of LCD
monitors, TVs and laptops caused the company to lower its sales forecasts for
its chips used in those products. Disc drive-component manufacturer Ixia saw its
share price drop as it announced a capital spending initiative that exceeded
analyst expectations.
We used the recent market decline as an opportunity to improve our portfolio's
overall quality by adding new stocks throughout various sectors that were
selling at attractive prices and we continue to be on the lookout for buying
opportunities.
RIVERBRIDGE
Riverbridge assumed management of a portion of the Portfolio in October 2005.
From that date through July 31, 2006, we modestly outperformed the benchmark.
The primary contributor to our performance during this time was stock selection,
with one of the most notable contributions coming from WebEx
[SIDENOTE]
INVESTMENT PROCESS (CONCLUDED)
GROWTH RATES. FORSTMANNLEFF'S GOAL IS TO ASCERTAIN A DYNAMIC OF GROWTH BEFORE IT
MANIFESTS IN CONSENSUS ESTIMATES. FORSTMANNLEFF BELIEVES THAT IT CAN BE
SUCCESSFUL BECAUSE THE SMALL AND MID CAP MARKET IS INHERENTLY LESS EFFICIENT
THAN THE LARGE CAP MARKET.
RIVERBRIDGE BELIEVES THAT EARNINGS POWER DETERMINES THE VALUE OF A FRANCHISE.
RIVERBRIDGE FOCUSES ON COMPANIES THAT ARE VIEWED AS BUILDING THEIR EARNINGS
POWER AND BUILDING THE INTRINSIC VALUE OF THE COMPANY OVER LONG PERIODS OF TIME.
RIVERBRIDGE LOOKS TO INVEST IN HIGH-QUALITY GROWTH COMPANIES THAT DEMONSTRATE
THE ABILITY TO SUSTAIN STRONG SECULAR EARNINGS GROWTH, REGARDLESS OF OVERALL
ECONOMIC CONDITIONS.
69
<Page>
ADVISORS' COMMENTS - CONTINUED
Communications. WebEx, the web conferencing leader, successfully transitioned to
a new pricing model, helping to generate a record level of new clients. Other
securities that performed well include Intuitive Surgical, primarily known for
its da Vinci robotically controlled surgical system. However, we eliminated the
stock from our portion of the Portfolio as its market capitalization exceeded
our size threshold. W-H Energy Services also made a significant contribution to
our segment's performance, increasing significantly over the period. Sterling
earnings reports, coupled with the strong investor interest in the energy
sector, propelled this stock higher.
The most significant detracting stock was Verint Systems. Verint, a security
services provider, fundamentally performed well. Its stock price was hindered
due to problems associated with its parent company, Comverse Technology.
Comverse is battling fraud allegations regarding option pricing practices by its
former management team. Aspect Medical has also struggled during this time
period as concerns swirl over product pricing issues and market penetration
potential.
From a sector perspective, the industrial sector benefited performance relative
to the benchmark. We also benefited from our stock selection in the energy
sector. The health care sector provided a significant headwind to performance.
Health care has been the worst performing small cap growth sector over this time
period, and it is the second largest sector weighting in our segment, with
short-term investor concerns over reimbursement issues coupled with uncertainty
over the upcoming elections roiling the space.
Riverbridge does not expect our positioning to meaningfully change in the near
future. Our portion of the Portfolio remains positioned with companies that have
very little debt on their balance sheets and appear capable of internally
financing their future growth. Consequently, we do not believe the holdings in
our segment will be vulnerable to increased costs for borrowing or raising
capital to grow their business.
FORSTMANNLEFF
ForstmannLeff began managing a portion of the Portfolio in October 2005. From
that date through July 31, 2006, our segment of the Portfolio underperformed the
Russell 2500 Growth Index.
Over the course of the period, our segment achieved significant gains in certain
areas, but found them largely eroded by underperformance within the health care
sector. During the reporting period, companies within the health care sector
reported a decline, while the Russell 2500 Growth Index made moderate advances.
While investments in some health care companies, including Covance, Alkermes,
West Pharmaceutical and Neurocrine Biosciences, proved to be rewarding, we were
disappointed by SFBC International, Lifepoint Hospitals, Encysive
Pharmaceuticals and PDL BioPharma.
The biotechnology sector includes a wide variety of companies, ranging from
service providers to device purveyors to pharmaceutical companies and
biotechnology research firms. As such, we remain optimistic that we will again
find good investment opportunities within the health care sector. At present,
however, we are underweight to the benchmark in this sector.
Within the financial services sector, our segment of the Portfolio achieved very
favorable results. Advances by both pawnshop operator Cash America and Knight
Capital, one of the largest stock traders in the world, boosted performance. In
the consumer discretionary sector, which received the largest weighting and
achieved positive relative returns, Gymboree, AnnTaylor and Monster Worldwide
were the best performers.
70
<Page>
ADVISORS' COMMENTS - CONCLUDED
Although the segment's technology holdings did not outperform their
corresponding sector of the Index, several of our technology holdings were our
largest contributors to performance. An improved outlook for capital
expenditures led to very good performance by Akamai, Redback, and ATI.
During the reporting period, market sentiment favored the more cyclical and
commoditized sectors of energy, materials and utilities, rather than the classic
growth sectors of technology, health care and consumer discretionary. However,
we continue to believe investment success should be derived more from the early
identification of small and dynamic companies that are growing as opposed to
positioning for macroeconomic themes, as they can be very difficult to predict
accurately. As always, we are devoting our efforts to identifying those
companies that appear poised to achieve growth in excess of the consensus.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE VALUE
OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST
RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC
DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE
SECURITIES THE PORTFOLIO INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN
THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN. IN ADDITION,
SMALL- AND MID-CAP COMPANIES ARE TYPICALLY SUBJECT TO A GREATER DEGREE OF CHANGE
IN EARNINGS AND BUSINESS PROSPECTS THAN ARE LARGER, MORE ESTABLISHED COMPANIES.
THEREFORE, THEY ARE CONSIDERED TO HAVE A HIGHER LEVEL OF VOLATILITY AND RISK.
ALSO, TO THE EXTENT THE PORTFOLIO INVESTS A LARGE PORTION OF ITS ASSETS IN
TECHNOLOGY COMPANIES, THE PORTFOLIO MAY EXPERIENCE GREATER VOLATILITY AND RISK
OF LOSS DUE TO UNFAVORABLE DEVELOPMENTS IN THE TECHNOLOGY SECTOR.
71
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE RUSSELL 2500 GROWTH INDEX
[CHART]
<Table>
<Caption>
UBS PACE SMALL/MEDIUM CO UBS PACE SMALL/MEDIUM CO
GROWTH EQUITY INVESTMENTS GROWTH EQUITY INVESTMENTS
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM RUSSELL 2500
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) GROWTH INDEX
------------------------- ------------------------- ------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,509 $10,496 $10,688
9/30/1996 $11,196 $11,168 $11,256
10/31/1996 $10,795 $10,754 $10,906
11/30/1996 $11,196 $11,141 $11,306
12/31/1996 $11,330 $11,260 $11,361
1/31/1997 $11,759 $11,671 $11,701
2/28/1997 $11,313 $11,214 $11,188
3/31/1997 $10,491 $10,387 $10,452
4/30/1997 $10,241 $10,126 $10,499
5/31/1997 $11,446 $11,304 $11,757
6/30/1997 $11,982 $11,818 $12,151
7/31/1997 $12,893 $12,701 $12,922
8/31/1997 $13,205 $12,992 $13,237
9/30/1997 $14,455 $14,204 $14,172
10/31/1997 $13,821 $13,565 $13,288
11/30/1997 $13,625 $13,355 $13,084
12/31/1997 $13,792 $13,502 $13,037
1/31/1998 $13,596 $13,294 $12,867
2/28/1998 $14,371 $14,034 $13,972
3/31/1998 $15,286 $14,909 $14,491
4/30/1998 $15,202 $14,808 $14,622
5/31/1998 $14,269 $13,881 $13,683
6/30/1998 $15,062 $14,635 $13,784
7/31/1998 $14,754 $14,318 $12,757
8/31/1998 $11,794 $11,431 $ 9,858
9/30/1998 $12,737 $12,330 $10,723
10/31/1998 $13,316 $12,874 $11,447
11/30/1998 $14,465 $13,967 $12,261
12/31/1998 $15,842 $15,278 $13,442
1/31/1999 $16,425 $15,820 $13,831
2/28/1999 $15,240 $14,660 $12,708
3/31/1999 $16,291 $15,652 $13,300
4/30/1999 $16,941 $16,256 $14,361
5/31/1999 $17,171 $16,456 $14,510
6/30/1999 $19,332 $18,504 $15,535
7/31/1999 $19,714 $18,846 $15,218
8/31/1999 $19,131 $18,266 $14,889
9/30/1999 $20,498 $19,546 $14,996
10/31/1999 $21,961 $20,915 $15,726
11/30/1999 $23,471 $22,326 $17,583
12/31/1999 $28,318 $26,902 $20,899
1/31/2000 $27,367 $25,966 $20,783
2/29/2000 $35,284 $33,436 $26,114
3/31/2000 $34,755 $32,894 $24,065
4/30/2000 $31,109 $29,406 $21,720
5/31/2000 $27,990 $26,425 $19,786
6/30/2000 $32,367 $30,519 $22,402
7/31/2000 $31,997 $30,132 $20,566
8/31/2000 $35,876 $33,743 $23,247
9/30/2000 $34,248 $32,172 $21,744
10/31/2000 $31,785 $29,821 $20,399
11/30/2000 $25,187 $23,601 $16,513
12/31/2000 $26,028 $24,358 $17,536
1/31/2001 $26,335 $24,615 $18,672
2/28/2001 $21,469 $20,041 $15,791
3/31/2001 $19,092 $17,801 $14,044
4/30/2001 $22,180 $20,654 $16,185
5/31/2001 $22,584 $21,004 $16,653
6/30/2001 $23,910 $22,209 $17,030
7/31/2001 $22,099 $20,501 $15,775
8/31/2001 $21,081 $19,532 $14,725
9/30/2001 $17,557 $16,246 $12,420
10/31/2001 $19,383 $17,915 $13,644
11/30/2001 $20,951 $19,340 $14,824
12/31/2001 $22,277 $20,538 $15,636
1/31/2002 $21,275 $19,589 $14,968
2/28/2002 $20,644 $18,985 $14,044
3/31/2002 $21,808 $20,030 $15,175
4/30/2002 $21,679 $19,886 $14,671
5/31/2002 $21,242 $19,462 $13,932
6/30/2002 $19,755 $18,076 $12,651
7/31/2002 $17,589 $16,074 $11,079
8/31/2002 $17,298 $15,788 $11,077
9/30/2002 $16,360 $14,914 $10,239
10/31/2002 $17,298 $15,749 $10,828
11/30/2002 $18,688 $16,993 $11,835
12/31/2002 $17,848 $16,209 $11,087
1/31/2003 $17,233 $15,631 $10,845
2/28/2003 $16,910 $15,319 $10,592
3/31/2003 $17,201 $15,563 $10,732
4/30/2003 $18,898 $17,077 $11,669
5/31/2003 $20,450 $18,457 $12,905
6/30/2003 $20,563 $18,536 $13,171
7/31/2003 $21,307 $19,182 $14,048
8/31/2003 $22,051 $19,827 $14,801
9/30/2003 $21,501 $19,308 $14,484
10/31/2003 $23,360 $20,952 $15,675
11/30/2003 $24,023 $21,519 $16,205
12/31/2003 $24,573 $21,984 $16,222
1/31/2004 $25,106 $22,433 $16,898
2/29/2004 $25,462 $22,723 $17,055
3/31/2004 $25,526 $22,752 $17,115
4/30/2004 $24,072 $21,428 $16,389
5/31/2004 $24,573 $21,847 $16,730
6/30/2004 $24,702 $21,934 $17,138
7/31/2004 $22,988 $20,387 $15,797
8/31/2004 $22,536 $19,961 $15,479
9/30/2004 $23,845 $21,094 $16,177
10/31/2004 $24,847 $21,954 $16,636
11/30/2004 $25,963 $22,910 $17,740
12/31/2004 $27,278 $24,041 $18,589
1/31/2005 $26,499 $23,325 $17,933
2/28/2005 $26,516 $23,311 $18,290
3/31/2005 $26,029 $22,854 $17,785
4/30/2005 $24,844 $21,787 $16,823
5/31/2005 $26,402 $23,124 $17,944
6/30/2005 $26,905 $23,535 $18,417
7/31/2005 $28,755 $25,122 $19,613
8/31/2005 $27,960 $24,396 $19,387
9/30/2005 $27,570 $24,027 $19,576
10/31/2005 $26,792 $23,319 $18,937
11/30/2005 $28,203 $24,517 $19,994
12/31/2005 $28,173 $24,460 $20,109
1/31/2006 $30,298 $26,272 $21,631
2/28/2006 $30,242 $26,190 $21,566
3/31/2006 $31,502 $27,247 $22,486
4/30/2006 $31,351 $27,083 $22,555
5/31/2006 $29,264 $25,248 $21,209
6/30/2006 $28,775 $24,795 $21,109
7/31/2006 $27,590 $23,744 $20,080
</Table>
The graph depicts the performance of UBS PACE Small/Medium Co Growth Equity
Investments Class P shares versus the Russell 2500 Growth Index over the 10
years ended July 31, 2006. The performance of the other classes will vary from
the performance of the class shown based on the difference in sales charges and
fees paid by shareholders investing in different share classes. Past performance
does not predict future performance and the performance provided does not
reflect the deduction of taxes that a shareholder would pay on Portfolio
distributions or the redemption of Portfolio shares. It is important to note
that UBS PACE Small/Medium Co Growth Equity Investments is a professionally
managed portfolio while the Index is not available for investment and is
unmanaged. The comparison is shown for illustrative purposes only.
72
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS FOR SINCE
PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ------------------------------------------------------------------------------------------------
Before deducting Class A* -4.22% 4.30% N/A -0.36%
maximum sales charge Class B** -5.13% 3.38% N/A -1.19%
or UBS PACE program fee Class C*** -4.98% 3.46% N/A -1.12%
Class Y**** -3.86% 4.59% N/A 2.54%
Class P***** -4.05% 4.54% 10.68% 9.05%
After deducting Class A* -9.49% 3.13% N/A -1.35%
maximum sales charge Class B** -9.18% 3.03% N/A -1.34%
or UBS PACE program fee Class C*** -5.80% 3.46% N/A -1.12%
Class P***** -5.48% 2.98% 9.03% 7.42%
Russell 2500 Growth Index 2.38% 4.94% 7.22% 7.06%
Lipper Mid-Cap Growth Funds median 2.01% 2.98% 8.24% 7.45%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, 0.92%; 5-year period, 2.36%; since inception, -0.62%; Class
B--1-year period, 1.23%; 5-year period, 2.27%; since inception, -0.60%; Class
C--1-year period, 4.96%; 5-year period, 2.70%; since inception, -0.38%; Class
Y--1-year period, 7.14%; 5-year period, 3.82%; since inception, 3.38%; Class
P--1-year period, 5.36%; 5-year period, 2.23%; 10-year period, 7.96%; since
inception, 7.91%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, NOVEMBER 27, 2000 FOR CLASS A, B, AND
C SHARES AND FEBRUARY 12, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS
FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 24, 1995, WHICH IS
THE INCEPTION DATE OF THE OLDEST SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The Russell 2500 Growth Index measures the performance of those Russell 2500
companies with higher price-to-book ratios and higher forecasted growth values.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
73
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $ 910.50 $ 6.30
Hypothetical (5% annual return before expenses) 1,000.00 1,018.20 6.66
Class B Actual 1,000.00 906.00 10.07
Hypothetical (5% annual return before expenses) 1,000.00 1,014.23 10.64
Class C Actual 1,000.00 906.30 10.02
Hypothetical (5% annual return before expenses) 1,000.00 1,014.28 10.59
Class Y Actual 1,000.00 911.50 4.55
Hypothetical (5% annual return before expenses) 1,000.00 1,020.03 4.81
Class P Actual 1,000.00 910.60 5.35
Hypothetical (5% annual return before expenses) 1,000.00 1,019.19 5.66
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.33%, CLASS B: 2.13%, CLASS C: 2.12%, CLASS Y: 0.96%, CLASS P: 1.13%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
74
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Net assets (mm) $440.7
Number of holdings 197
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Common stocks 95.2%
ADRs 0.5
Cash equivalents and other assets less liabilities 4.3
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
TOP FIVE SECTORS* 07/31/06
- ------------------------------------------------------------------------------
Information technology 24.8%
Health care 24.3
Industrials 15.5
Consumer discretionary 12.0
Financials 10.3
- ------------------------------------------------------------------------------
Total 86.9%
==============================================================================
TOP TEN EQUITY HOLDINGS* 07/31/06
- ------------------------------------------------------------------------------
Microsemi 2.3%
W-H Energy Services 1.5
Stericycle 1.4
WebEx Communications 1.4
Resources Connection 1.2
Gymboree 1.1
Akamai Technologies 1.1
Informatica 1.0
Activision 0.9
Techne 0.9
- ------------------------------------------------------------------------------
Total 12.8%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
ADR American Depositary Receipt.
75
<Page>
UBS PACE Select Advisors Trust
UBS PACE INTERNATIONAL EQUITY INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
25.17% (before deduction of the maximum UBS PACE program fee; 23.30% after
deduction of the maximum program fee), compared with the 23.94% return of the
MSCI Europe, Australasia and Far East Free Index (net LU) (in US dollars) (the
"Index") and the 21.20% median return for the Lipper International Large-Cap
Growth Funds category. (Returns for all share classes over various time periods
are shown in the "Performance at a glance" table on page 81. Please note that
the returns shown do not reflect the deduction of taxes that a shareholder would
pay on Portfolio distributions or the redemption of Portfolio shares.)
MARKET REVIEW
International equity markets performed very strongly over the reporting period.
The Index's performance was underpinned by robust global economic growth and
corporate restructuring, which increased earnings growth in Japan and
Continental Europe. Meanwhile, demand from the US consumer, an important driver
for many companies regardless of domicile, remained strong.
In May, a change in the outlook for inflation and, therefore, interest rates
precipitated a global reappraisal of valuations and risk. Compounded by
geopolitical concerns, markets retrenched. There was a sharp sell-off across
markets and across most sectors. However, equity markets subsequently rallied
towards the end of July, as Federal Reserve Board Chairman Ben Bernanke
indicated that slower US growth would likely reduce inflation over time and the
probability of an interest hike in August diminished. Elsewhere, the Bank of
Japan ended its zero-interest rate policy and raised rates to 0.25%, its first
rate increase in over six years, further signaling the normalization of Japan's
economy relative to its global peers.
From a sector perspective, nine of 10 Index sectors produced positive returns
over the 12-month period, ranging between 16% and 41%. The strongest-performing
sector was materials, which benefited from China's voracious appetite for
commodities. The laggard sector was telecommunication services, due to investor
concerns over possible margin erosion on the back of competitive pressures in
the industry.
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE INTERNATIONAL EQUITY INVESTMENTS
ADVISOR:
MARTIN CURRIE, INC. ("MARTIN CURRIE"), MONDRIAN INVESTMENT PARTNERS ("MONDRIAN")
AND J.P. MORGAN INVESTMENT MANAGEMENT, INC. ("J.P. MORGAN")
PORTFOLIO MANAGERS:
MARTIN CURRIE: TEAM, LED BY JAMES FAIRWEATHER; MONDRIAN: TEAM; J.P. MORGAN;
BELTRAN LASTRA AND JACO VENTER
OBJECTIVE:
CAPITAL APPRECIATION.
INVESTMENT PROCESS:
MARTIN CURRIE IS AN EXPERIENCED INTERNATIONAL EQUITY MANAGER. THE FIRM HAS A
HIGHLY ACTIVE "CONVICTION" APPROACH, SEEKING THE BEST OPPORTUNITIES FOR GROWTH
ACROSS GLOBAL STOCK MARKETS. MARTIN CURRIE IDENTIFIES "CHANGE" AS THE CENTRAL
DYNAMIC BEHIND STOCK PRICE MOVEMENT. THIS MEANS RECOGNIZING CHANGE AT COMPANY
LEVEL (MANAGEMENT CHANGES, PRODUCT STRATEGIES, ACQUISITIONS, ETC) AND AT MACRO
LEVEL (LEGISLATIVE CHANGES, ECONOMIC PROSPECTS, SECTOR DYNAMICS, ETC).
DETERMINING THE IMPACT OF THESE CHANGES MAY LEAD TO OUTPERFORMANCE. ITS
INVESTMENT PROCESS ALLOWS MARTIN CURRIE TO IDENTIFY, EVALUATE AND EXPLOIT CHANGE
AT AN EARLY STAGE IN CLIENTS' PORTFOLIOS. IN MANAGING ITS SEGMENT OF THE
PORTFOLIO'S ASSETS, MARTIN CURRIE USES A FULLY INTEGRATED INTERNATIONAL
INVESTMENT PROCESS. SO RATHER THAN RUNNING DISTINCT REGIONAL PORTFOLIOS, IT
COMPARES AND RANKS STOCK OPPORTUNITIES ACROSS THE WHOLE INVESTMENT UNIVERSE. TO
HELP IDENTIFY AND EVALUATE THE BEST STOCK IDEAS, MARTIN CURRIE EMPLOYS
FUNDAMENTAL COMPANY AND SECTOR RESEARCH, TOGETHER WITH ITS OWN PROPRIETARY
QUANTITATIVE SCREENING TOOL, THE DYNAMIC STOCK MATRIXTM. THE RESULT IS A
COMMITTED
76
<Page>
ADVISORS' COMMENTS
MONDRIAN
Our portion of the Portfolio achieved strong absolute returns during the fiscal
year, but slightly lagged the Index on a relative basis. Stock selection was a
positive contributor to the portfolio's performance. Overall, stock selection
was strongest in the UK, Germany, France and Italy. High energy prices helped
propel BG, the UK energy stock, up substantially. Brambles in the UK and Italy's
UniCredit Italiano were two other top performers. Overweight positions in the
outperforming information technology, materials and utilities sectors have been
beneficial, as have been our underweight positions in the underperforming
information technology sector.
However, market selection over the period was not a positive contributor to our
segment's performance. The underweight position in the outperforming Japanese
market was not beneficial nor was our overweight position in the underperforming
market of New Zealand. Non-Index positions in South Africa and South Korea were
beneficial as these markets performed strongly; our avoidance of the
underperforming Swedish market also benefited performance.
Our segment's defensive position in the British pound did not benefit
performance as UK sterling rose against the US dollar. The overweight position
in the New Zealand dollar was a detracting factor. The underweight position in
the underperforming Japanese yen was beneficial, however.
One of the main highlights of the strategy we are implementing is an underweight
position in the Japanese market. We believe that the Japanese market is more
expensive than most other major world markets. With Japanese companies'
increasing focus on capital investment and growth, investors must be wary of
being second-class stakeholders.
Our strategy focuses on companies with strong cash positions, positive cash
generation even after re-investment, and a willingness to compensate
shareholders through dividends and share buybacks.
[SIDENOTE]
INVESTMENT PROCESS (CONTINUED)
AND DISTINCTIVE EAFE (I.E., EUROPE, AUSTRALASIA, FAR EAST) PORTFOLIO THAT
REFLECTS WHAT MARTIN CURRIE BELIEVES ARE THE BEST INVESTMENT OPPORTUNITIES
INTERNATIONALLY.
MONDRIAN CONDUCTS RESEARCH ON A GLOBAL BASIS IN AN EFFORT TO IDENTIFY SECURITIES
THAT HAVE THE POTENTIAL FOR LONG-TERM TOTAL RETURN. THE CENTER OF THE RESEARCH
EFFORT IS A VALUE-ORIENTED DIVIDEND DISCOUNT METHODOLOGY TOWARD INDIVIDUAL
SECURITIES AND MARKET ANALYSIS THAT IDENTIFIES VALUE ACROSS COUNTRY BOUNDARIES.
THIS APPROACH FOCUSES ON FUTURE ANTICIPATED DIVIDENDS, AND DISCOUNTS THE VALUE
OF THOSE DIVIDENDS BACK TO WHAT THEY WOULD BE WORTH IF THEY WERE BEING PAID
TODAY. COMPARISONS OF THE VALUES OF DIFFERENT POSSIBLE INVESTMENTS ARE THEN
MADE. IN AN INTERNATIONAL PORTFOLIO, CURRENCY RETURNS CAN BE AN INTEGRAL
COMPONENT OF AN INVESTMENT'S TOTAL RETURN. MONDRIAN USES A PURCHASING POWER
PARITY APPROACH TO ASSESS THE VALUE OF INDIVIDUAL CURRENCIES. PURCHASING POWER
PARITY ATTEMPTS TO IDENTIFY THE AMOUNT OF GOODS AND SERVICES THAT A DOLLAR WILL
BUY IN THE UNITED STATES, AND COMPARES THAT TO THE AMOUNT OF A FOREIGN CURRENCY
REQUIRED TO BUY THE SAME AMOUNT OF GOODS AND SERVICES IN ANOTHER COUNTRY.
J.P. MORGAN MANAGES ITS SEGMENT OF THE PORTFOLIO'S ASSETS USING A BOTTOM-UP,
RESEARCH DRIVEN STRATEGY THAT SEEKS TO GENERATE RISK CHARACTERISTICS THAT
CLOSELY MATCH THOSE OF THE BENCHMARK, YET AT THE SAME TIME CAPITALIZE ON THE
INFORMATION ADVANTAGE CREATED BY THE FIRM'S PROPRIETARY RESEARCH CAPABILITIES TO
GENERATE OUTPERFORMANCE. THE STRATEGY IS DRIVEN BY VALUATION-BASED FUNDAMENTAL
ANALYSIS, FOCUSED ON NORMALIZED EARNINGS AND
77
<Page>
ADVISORS' COMMENTS - CONTINUED
J.P. MORGAN
During the reporting period, our portion of the Portfolio provided a strong
absolute return, outperforming the Index.
Our portion seeks to be diversified by both sector and region, with stock
selection as the primary source of performance. From a regional perspective, the
strategy was particularly successful in adding value in Europe (excluding the
UK) and Japan, but lost ground in the United Kingdom.
On a sector- by-sector basis, our portion of the portfolio's investments in the
technology, transportation and finance sectors combined to contribute positively
to relative returns over the reporting period. On the other hand, our holdings
in the energy, media and consumer non-durables sectors detracted from
performance.
From a stock-specific standpoint, the merger between Mittal Steel and Arcelor,
which created the world's largest steel group, significantly benefited Arcelor's
performance during the period. We believe that the Arcelor-Mittal merger should
support long term earnings and create major revenue synergies. Conversely, our
overweight exposure to TietoEnator undermined performance. The Nordic provider
of a range of information technology services reported lower first-quarter
profits, as rising wage costs and competitive pressures undermined margins, and
prompted the company to cut its full-year forecast.
MARTIN CURRIE
Our portion of the portfolio comfortably outperformed its index over the
reporting period. Stock selection was the main driver of performance, with
sector allocation proving favorable as well.
Our sector emphasis has favored industrials, energy, materials and financials.
We were underweight in consumer staples and information technology. In the
industrials sector, our holding in Vallourec, supplier of seamless steel tubes
to the energy and power generation sector was an outstanding performer. With
increasing expenditure on exploration in remote and harsh areas, demand for the
high-quality product that Vallourec supplies has increased, and the stock almost
quadrupled in value.
Power generation is a core theme of ours. Countries are investing in power
transmission and generation to a greater degree than they have in 20 years. This
is a long-term theme with exposure through companies such as ABB, Alstom and
Siemens and power generation companies such as RWE and Fortum.
We have also favored companies with attractive valuations, relative both to
their own history and to the market. As such, our segment of the Portfolio's
emphasis was in emerging markets, especially in South America and Japan. Our
Japanese investments emphasized the domestic recovery, with financials being the
main beneficiary. We hold companies like Sumitomo Mitsui Financial Group, a bank
with a large exposure to small and medium-sized enterprises, and Orix, a
financial conglomerate with exposure to business leasing, condominiums and real
estate. With rising incomes and a market that has been in decline for a decade,
housing is another main theme. We invest via Sekisui House and Daito Trust.
[SIDENOTE]
INVESTMENT PROCESS (CONCLUDED)
EARNINGS GROWTH. THE TEAM SEEKS TO MAINTAIN REGIONAL WEIGHTS AND SECTOR/INDUSTRY
WEIGHTS CLOSE TO THOSE OF THE BENCHMARK. STOCK SELECTION IS THE FOCUS, BEING THE
EXPECTED PRIMARY SOURCE OF ADDED VALUE.
78
<Page>
ADVISORS' COMMENTS - CONCLUDED
Our investment stance has placed emphasis on companies offering premium earnings
potential that we believe is unrecognized by the market. Recent volatility
notwithstanding, we think fundamental value and growth themes are very evident
into 2007 and beyond, and our strategy remains unchanged.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE VALUE
OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST
RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC
DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE
SECURITIES THE PORTFOLIO INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN
THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN. THE VALUE OF
THE PORTFOLIO'S INVESTMENTS IN FOREIGN SECURITIES MAY FALL DUE TO ADVERSE
POLITICAL, SOCIAL, AND ECONOMIC DEVELOPMENTS ABROAD AND DUE TO DECREASES IN
FOREIGN CURRENCY VALUES RELATIVE TO THE US DOLLAR. THESE RISKS ARE GREATER FOR
INVESTMENTS IN EMERGING MARKET ISSUERS THAN FOR ISSUERS IN MORE DEVELOPED
COUNTRIES.
79
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE MSCI EUROPE, AUSTRALASIA AND FAR EAST FREE INDEX (NET LU)
(IN USD)
[CHART]
<Table>
<Caption>
UBS PACE INTERNATIONAL UBS PACE INTERNATIONAL MSCI EUROPE, AUSTRALASIA
EQUITY INVESTMENTS EQUITY INVESTMENTS AND FAR EAST
(BEFORE DEDUCTING MAXIMUM (AFTER DEDUCTING MAXIMUM FREE INDEX
UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) (NET LU) (IN USD)
------------------------- ------------------------ ------------------------
7/31/1996 $10,000 $10,000 $10,000
8/31/1996 $10,055 $10,042 $10,022
9/30/1996 $10,328 $10,303 $10,288
10/31/1996 $10,164 $10,126 $10,183
11/30/1996 $10,586 $10,534 $10,588
12/31/1996 $10,668 $10,601 $10,452
1/31/1997 $10,493 $10,414 $10,086
2/28/1997 $10,707 $10,614 $10,251
3/31/1997 $10,683 $10,577 $10,288
4/30/1997 $10,779 $10,658 $10,343
5/31/1997 $11,556 $11,413 $11,016
6/30/1997 $12,088 $11,923 $11,623
7/31/1997 $12,430 $12,244 $11,811
8/31/1997 $11,406 $11,222 $10,929
9/30/1997 $12,152 $11,941 $11,541
10/31/1997 $11,223 $11,015 $10,654
11/30/1997 $11,295 $11,071 $10,546
12/31/1997 $11,677 $11,431 $10,638
1/31/1998 $11,865 $11,601 $11,124
2/28/1998 $12,555 $12,260 $11,838
3/31/1998 $13,007 $12,686 $12,202
4/30/1998 $13,179 $12,838 $12,299
5/31/1998 $13,294 $12,933 $12,239
6/30/1998 $13,294 $12,917 $12,332
7/31/1998 $13,582 $13,180 $12,457
8/31/1998 $11,841 $11,476 $10,914
9/30/1998 $11,348 $10,985 $10,579
10/31/1998 $12,292 $11,884 $11,682
11/30/1998 $12,990 $12,543 $12,280
12/31/1998 $13,584 $13,100 $12,759
1/31/1999 $13,652 $13,149 $12,710
2/28/1999 $13,177 $12,676 $12,399
3/31/1999 $13,779 $13,239 $12,937
4/30/1999 $14,153 $13,580 $13,464
5/31/1999 $13,559 $12,994 $12,789
6/30/1999 $14,288 $13,676 $13,296
7/31/1999 $14,577 $13,935 $13,685
8/31/1999 $14,764 $14,096 $13,740
9/30/1999 $14,815 $14,127 $13,878
10/31/1999 $15,358 $14,626 $14,387
11/30/1999 $16,545 $15,738 $14,880
12/31/1999 $18,428 $17,506 $16,207
1/31/2000 $17,306 $16,420 $15,166
2/29/2000 $18,320 $17,361 $15,571
3/31/2000 $18,508 $17,517 $16,190
4/30/2000 $17,225 $16,283 $15,344
5/31/2000 $16,562 $15,636 $14,986
6/30/2000 $17,288 $16,301 $15,577
7/31/2000 $16,750 $15,774 $14,917
8/31/2000 $16,974 $15,965 $15,051
9/30/2000 $16,086 $15,111 $14,317
10/31/2000 $15,332 $14,385 $13,970
11/30/2000 $14,545 $13,629 $13,440
12/31/2000 $14,681 $13,739 $13,911
1/31/2001 $14,797 $13,831 $13,903
2/28/2001 $13,612 $12,707 $12,861
3/31/2001 $12,592 $11,740 $12,004
4/30/2001 $13,408 $12,485 $12,838
5/31/2001 $13,029 $12,117 $12,385
6/30/2001 $12,650 $11,750 $11,878
7/31/2001 $12,232 $11,348 $11,662
8/31/2001 $11,853 $10,983 $11,367
9/30/2001 $10,717 $ 9,917 $10,215
10/31/2001 $10,940 $10,111 $10,477
11/30/2001 $11,202 $10,341 $10,863
12/31/2001 $11,284 $10,403 $10,928
1/31/2002 $10,714 $ 9,865 $10,347
2/28/2002 $10,812 $ 9,943 $10,420
3/31/2002 $11,314 $10,391 $10,983
4/30/2002 $11,314 $10,378 $11,056
5/31/2002 $11,432 $10,473 $11,196
6/30/2002 $10,930 $10,001 $10,751
7/31/2002 $ 9,917 $ 9,063 $ 9,689
8/31/2002 $ 9,887 $ 9,024 $ 9,667
9/30/2002 $ 8,510 $ 7,758 $ 8,629
10/31/2002 $ 9,041 $ 8,232 $ 9,093
11/30/2002 $ 9,700 $ 8,821 $ 9,506
12/31/2002 $ 9,129 $ 8,291 $ 9,186
1/31/2003 $ 8,784 $ 7,967 $ 8,802
2/28/2003 $ 8,567 $ 7,761 $ 8,601
3/31/2003 $ 8,290 $ 7,501 $ 8,432
4/30/2003 $ 9,208 $ 8,321 $ 9,259
5/31/2003 $ 9,790 $ 8,836 $ 9,819
6/30/2003 $ 9,988 $ 9,003 $10,057
7/31/2003 $10,225 $ 9,205 $10,300
8/31/2003 $10,491 $ 9,433 $10,548
9/30/2003 $10,708 $ 9,616 $10,873
10/31/2003 $11,429 $10,250 $11,550
11/30/2003 $11,754 $10,529 $11,807
12/31/2003 $12,757 $11,413 $12,729
1/31/2004 $12,906 $11,532 $12,909
2/29/2004 $13,194 $11,775 $13,207
3/31/2004 $13,283 $11,840 $13,278
4/30/2004 $12,926 $11,506 $12,977
5/31/2004 $12,916 $11,483 $13,021
6/30/2004 $13,224 $11,742 $13,306
7/31/2004 $12,876 $11,419 $12,874
8/31/2004 $12,906 $11,431 $12,930
9/30/2004 $13,283 $11,751 $13,267
10/31/2004 $13,681 $12,087 $13,719
11/30/2004 $14,535 $12,826 $14,656
12/31/2004 $15,132 $13,336 $15,298
1/31/2005 $14,831 $13,055 $15,017
2/28/2005 $15,542 $13,663 $15,666
3/31/2005 $15,082 $13,242 $15,269
4/30/2005 $14,691 $12,883 $14,910
5/31/2005 $14,731 $12,902 $14,916
6/30/2005 $14,982 $13,105 $15,115
7/31/2005 $15,472 $13,517 $15,573
8/31/2005 $15,862 $13,841 $15,967
9/30/2005 $16,553 $14,425 $16,676
10/31/2005 $16,012 $13,937 $16,189
11/30/2005 $16,393 $14,250 $16,585
12/31/2005 $17,250 $14,976 $17,356
1/31/2006 $18,308 $15,875 $18,421
2/28/2006 $18,288 $15,838 $18,381
3/31/2006 $19,010 $16,443 $18,982
4/30/2006 $20,079 $17,345 $19,888
5/31/2006 $19,254 $16,612 $19,116
6/30/2006 $19,193 $16,539 $19,114
7/31/2006 $19,366 $16,667 $19,302
</Table>
The graph depicts the performance of UBS PACE International Equity Investments
Class P shares versus the MSCI Europe, Australasia and Far East Free Index (net
LU) (in USD) over the 10 years ended July 31, 2006. The performance of the other
classes will vary from the performance of the class shown based on the
difference in sales charges and fees paid by shareholders investing in different
share classes. Past performance does not predict future performance and the
performance provided does not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions or the redemption of Portfolio shares. It
is important to note that UBS PACE International Equity Investments is a
professionally managed portfolio while the Index is not available for investment
and is unmanaged. The comparison is shown for illustrative purposes only.
80
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- -----------------------------------------------------------------------------------------------------------------
Before deducting Class A* 24.77% 9.33% N/A 4.57%
maximum sales charge Class B** 23.60% 8.25% N/A 3.59%
or UBS PACE program fee Class C*** 23.68% 8.43% N/A 3.74%
Class Y**** 25.25% 9.76% N/A 5.44%
Class P***** 25.17% 9.62% 6.83% 6.90%
After deducting Class A* 17.91% 8.10% N/A 3.53%
maximum sales charge Class B** 18.60% 7.96% N/A 3.44%
or UBS PACE program fee Class C*** 22.68% 8.43% N/A 3.74%
Class P***** 23.30% 7.99% 5.24% 5.30%
MSCI Europe, Australasia and Far East Free Index (net LU) (in USD) 23.94% 10.60% 6.80% 6.93%
Lipper International Large-Cap Growth Funds median 21.20% 6.39% 5.26% 5.44%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, 20.69%; 5-year period, 7.18%; since inception, 3.42%; Class
B--1-year period, 21.55%; 5-year period, 7.01%; since inception, 3.34%; Class
C--1-year period, 25.70%; 5-year period, 7.49%; since inception, 3.64%; Class
Y--1-year period, 28.27%; 5-year period, 8.81%; since inception, 5.35%; Class
P--1-year period, 26.21%; 5-year period, 7.08%; 10-year period, 4.74%; since
inception, 5.27%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, NOVEMBER 27, 2000 FOR CLASS A, B, AND
C SHARES AND JANUARY 17, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS
FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 31, 1995, WHICH IS
THE NEAREST MONTH-END OF THE INCEPTION DATE OF THE OLDEST SHARE CLASS
(CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The MSCI Europe, Australasia and Far East Free Index (net LU) (in USD) is an
index of stocks from 21 countries designed to measure the investment returns of
developed economies outside of North America.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
81
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,056.60 $ 7.24
Hypothetical (5% annual return before expenses) 1,000.00 1,017.75 7.10
Class B Actual 1,000.00 1,051.40 12.21
Hypothetical (5% annual return before expenses) 1,000.00 1,012.89 11.98
Class C Actual 1,000.00 1,051.90 11.80
Hypothetical (5% annual return before expenses) 1,000.00 1,013.29 11.58
Class Y Actual 1,000.00 1,058.90 5.36
Hypothetical (5% annual return before expenses) 1,000.00 1,019.59 5.26
Class P Actual 1,000.00 1,057.80 5.87
Hypothetical (5% annual return before expenses) 1,000.00 1,019.09 5.76
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.42%, CLASS B: 2.40%, CLASS C: 2.32%, CLASS Y: 1.05%, CLASS P: 1.15%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
82
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Net assets (bn) $1.1
Number of holdings 291
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Common and preferred stocks 95.0%
ADRs and GDRs 1.8
Futures and forward foreign currency contracts 0.0**
Cash equivalents and other assets less liabilities 3.2
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
REGIONAL ALLOCATION* 07/31/06
- ------------------------------------------------------------------------------
Europe 66.5%
Asia 24.4
Australia/New Zealand 5.6
Emerging markets 0.3
Futures and forward foreign currency contracts 0.0**
Cash equivalents and other assets less liabilities 3.2
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
TOP FIVE COUNTRIES (EQUITY INVESTMENTS)* 07/31/06
- ------------------------------------------------------------------------------
United Kingdom 24.7%
Japan 18.4
France 10.2
Germany 5.9
Italy 5.8
- ------------------------------------------------------------------------------
Total 65.0%
==============================================================================
TOP FIVE SECTORS* 07/31/06
- ------------------------------------------------------------------------------
Financials 29.1%
Industrials 9.8
Energy 9.7
Consumer discretionary 9.2
Materials 9.0
- ------------------------------------------------------------------------------
Total 66.8%
==============================================================================
TOP TEN EQUITY HOLDINGS* 07/31/06
- ------------------------------------------------------------------------------
BP 3.1%
GlaxoSmithKline 2.7
Royal Bank of Scotland Group 2.0
RWE AG 2.0
HSBC Holdings 1.8
UniCredito Italiano 1.7
Takeda Pharmaceutical 1.7
Telefonica SA 1.7
Total SA 1.6
ING Groep N.V. 1.5
- ------------------------------------------------------------------------------
Total 19.8%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
** Weighting represents less than 0.05% of net assets as of July 31, 2006.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
83
<Page>
UBS PACE Select Advisors Trust
UBS PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio's Class P shares returned
21.98% (before deduction of the maximum UBS PACE program fee; 20.16% after
deduction of the maximum program fee), compared with the 28.82% return of the
MSCI Emerging Markets Free (EMF) Index (the "Index") and the 26.90% median
return for the Lipper Emerging Markets Funds category. (Returns for all share
classes over various time periods are shown in the "Performance at a glance"
table on page 88. Please note that the returns shown do not reflect the
deduction of taxes that a shareholder would pay on Portfolio distributions or
the redemption of Portfolio shares.)
MARKET REVIEW
Emerging markets rose steadily throughout the initial nine months of the
reporting period, experiencing a widespread correction from May to June as a
rise in risk aversion led to declines across global equity markets. Liquidity
contracted sharply and the higher-risk emerging markets were the main casualties
as investors sought the relative safety of US equities. The drop was triggered
by, among other things, higher-than-expected US inflation and a depreciating US
dollar, raising the prospect of higher interest rates and slower global growth.
Nonetheless, the reporting period ended with the MSCI EMF Index posting solid
gains.
Meanwhile, Latin America was the strongest performing region, led by Brazil
advancing 60.4% as high commodity prices, moderate inflation and declining
interest rates continue to lift expectations. The continuing dominance of oil
was a large factor over the period, with Russia delivering dizzying gains.
Mexico also delivered significant returns, boosted in part by the marginal
victory of pro-business candidate Felipe Calderon in that country's presidential
elections.
By contrast, Taiwan rose only slightly, dragged by the poorly performing
information technology sector and by political concerns. We saw variable
performance of emerging market currencies, which added to returns slightly
overall. While the currencies of Brazil and Thailand both gained, helped by
strong exports, those of Turkey and South Africa were dragged down by external
imbalances.
[SIDE NOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE INTERNATIONAL EMERGING MARKETS EQUITY
INVESTMENTS
ADVISORS:
GARTMORE GLOBAL PARTNERS ("GGP") AND MONDRIAN INVESTMENT PARTNERS ("MONDRIAN")
PORTFOLIO MANAGERS:
GGP: CHRISTOPHER PALMER MONDRIAN: TEAM
OBJECTIVE:
CAPITAL APPRECIATION.
INVESTMENT PROCESS:
GGP SEEKS TO IDENTIFY AND QUANTIFY UNEXPECTED EARNINGS. THIS PROCESS IS DRIVEN
BY A DISCIPLINED AND CONSISTENT INVESTMENT PHILOSOPHY THAT ALLOWS GGP TO
IDENTIFY THOSE COMPANIES THAT GGP BELIEVES WILL DELIVER POSITIVE EARNINGS GROWTH
THAT WILL LIKELY EXCEED OR BE SUSTAINED BEYOND CONSENSUS EXPECTATIONS. TO FIND
THESE OPPORTUNITIES, GGP USES A TOP-DOWN AND BOTTOM-UP FUNDAMENTAL ANALYSIS. GGP
ALSO USES PORTFOLIO MONITORING TO MANAGE THE RISK SPECTRUM ON THE STOCK, SECTOR,
COUNTRY AND PORTFOLIO LEVEL. GGP GENERALLY SELLS A SECURITY THAT IT BELIEVES NO
LONGER HAS THE POTENTIAL FOR ABOVE-CONSENSUS EARNINGS.
MONDRIAN CONDUCTS RESEARCH ON A GLOBAL BASIS IN AN EFFORT TO IDENTIFY SECURITIES
THAT HAVE THE POTENTIAL FOR LONG-TERM TOTAL RETURN. THE CENTER OF THE RESEARCH
EFFORT IS A VALUE-ORIENTED DIVIDEND DISCOUNT METHODOLOGY TOWARD INDIVIDUAL
SECURITIES AND MARKET ANALYSIS THAT IDENTIFIES VALUE ACROSS COUNTRY BOUNDARIES.
THIS APPROACH FOCUSES ON FUTURE ANTICIPATED DIVIDENDS, AND DISCOUNTS THE VALUE
OF THOSE DIVIDENDS
84
<Page>
ADVISORS' COMMENTS
MONDRIAN
Our portion of the Portfolio achieved strong absolute returns, rising over the
course of the reporting period but lagging the Index. Our defensive investment
approach moved our segment away from previously strong markets, sectors and
stocks into neglected areas of perceived value. In this transitional period, the
stocks we have sold have continued to appreciate, powered by cash inflows into
the asset class with a greater emphasis on momentum than on value. At the same
time, the new holdings have not yet attracted mainstream investor attention and
lag the market.
Market selection was a detractor, with an overweight in the poorly performing
Malaysian market and underweight in Russia, weighing down performance. However,
our overweight in Brazil and underweight in the technology-heavy Taiwanese
market contributed positively to returns. From a sector perspective, our
underweight in the strongly performing energy sector was negative, as was our
overweight in the Telecom sector.
Stock selection overall has also been negative during this period. Two of the
worst performing stocks were large cap telecommunication companies MTS of Russia
and China Telecom. MTS was weak over concerns about market share and
profitability in a fiercely competitive environment. China Telecom was weighed
by concerns over the potentially high investment costs needed to restructure a
flagging fixed line business.
On the positive side, Kookmin Bank, the largest Korean lender, was one of the
best performing stocks during the period as an improved economic outlook and
moderating non-performing assets led to a strong rally. Our position in
Petrobras was also rewarded as high oil prices stimulated the Brazilian national
oil producer.
Our core strategy remains adopting a strong value oriented approach to selecting
stocks and markets. We remain underweight to India, where valuations remain
unappealing, while overweight to selected markets in South East Asia, such as
Thailand and Malaysia, where attractive company valuations may be further
supported by undervalued currencies and positive demographics. From a sector
perspective, we have a significant overweight in the telecommunications sector
where strong free cash flows support high dividend yields, while underweight
energy, where stock prices seem to ignore an eventual cyclical downturn in oil
prices as supply rises above demand.
GARTMORE
Our portion of the Portfolio underperformed the Index only slightly during the
reporting period. While country allocation decisions delivered strong returns,
sector allocation detracted from returns.
Over the course of the reporting period, overweights in Russia and Brazil were
particularly successful, as was an underweight in Chile. Russia benefited from
rising oil prices, while Brazil's economy continues to gain
[SIDE NOTE]
INVESTMENT PROCESS (CONCLUDED)
BACK TO WHAT THEY WOULD BE WORTH IF THEY WERE BEING PAID TODAY. COMPARISONS OF
THE VALUES OF DIFFERENT POSSIBLE INVESTMENTS ARE THEN MADE. IN AN INTERNATIONAL
PORTFOLIO, CURRENCY RETURNS CAN BE AN INTEGRAL COMPONENT OF AN INVESTMENT'S
TOTAL RETURN. MONDRIAN USES A PURCHASING POWER PARITY APPROACH TO ASSESS THE
VALUE OF INDIVIDUAL CURRENCIES. PURCHASING POWER PARITY ATTEMPTS TO IDENTIFY THE
AMOUNT OF GOODS AND SERVICES THAT A DOLLAR WILL BUY IN THE UNITED STATES, AND
COMPARES THAT TO THE AMOUNT OF A FOREIGN CURRENCY REQUIRED TO BUY THE SAME
AMOUNT OF GOODS AND SERVICES IN ANOTHER COUNTRY.
85
<Page>
ADVISORS' COMMENTS - CONCLUDED
strength as its central bank implements a steady policy of monetary expansion.
However, overweighting Thailand generated a small negative contribution, as the
surging oil price hurt net importers, most notably countries in the Asia Pacific
region.
Sector allocation decisions detracted from returns, although this was in large
part due to the average proportion of cash held by our portion of the Portfolio.
Overweighting the consumer discretionary sector had a negative impact on
returns. However, this was more than outweighed by the positive contribution
made by stock selection in the sector, which was largely due to our above-Index
positions in retailers Lojas Renner and Hyundai Department Store. Lojas Renner
was the top performing position in our segment as Brazilian consumers'
confidence was fueled by continued cuts in domestic interest rates. Our
selection of financial stocks was also beneficial for performance. Overweights
in Turkey's Denizbank and South Korea's Hana Financial Group once again boosted
performance.
Among the main detractors from performance were a number of Taiwanese technology
stocks, including Inventec Appliances, manufacturer of wireless communication
products, and Compal Electronics, one of the world's leading manufacturers of
computer notebooks. Taiwan's market lagged throughout the period, held back by
rising oil prices and concerns over pricing power in the technology sector.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR LONG-TERM INVESTORS SEEKING CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER THE LONG TERM. THE VALUE
OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN INTEREST
RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND ECONOMIC
DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE COMPANIES IN WHOSE
SECURITIES THE PORTFOLIO INVESTS. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN
THE PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN. THE VALUE OF
THE PORTFOLIO'S INVESTMENTS IN FOREIGN SECURITIES MAY FALL DUE TO ADVERSE
POLITICAL, SOCIAL, AND ECONOMIC DEVELOPMENTS ABROAD AND DUE TO DECREASES IN
FOREIGN CURRENCY VALUES RELATIVE TO THE US DOLLAR. THESE RISKS ARE GREATER FOR
INVESTMENTS IN EMERGING MARKET ISSUERS THAN FOR ISSUERS IN MORE DEVELOPED
COUNTRIES.
86
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE CLASS P SHARES OF
THE PORTFOLIO AND THE MSCI EMERGING MARKETS FREE (EMF) INDEX
[CHART]
<Table>
<Caption>
UBS PACE INTERNATIONAL UBS PACE INTERNATIONAL
EMERGING MARKETS EQUITY EMERGING MARKETS EQUITY MSCI EMERGING
INVESTMENTS (BEFORE DEDUCTING INVESTMENTS (AFTER DEDUCTING MARKETS FREE
MAXIMUM UBS PACE PROGRAM FEE) MAXIMUM UBS PACE PROGRAM FEE) (EMF) INDEX
----------------------------- ----------------------------- -------------
31-Jul-96 $10,000 $10,000 $10,000
31-Aug-96 $10,152 $10,139 $10,256
30-Sep-96 $10,152 $10,127 $10,345
31-Oct-96 $ 9,696 $ 9,659 $10,069
30-Nov-96 $ 9,928 $ 9,878 $10,238
31-Dec-96 $10,217 $10,154 $10,284
31-Jan-97 $10,748 $10,667 $10,985
28-Feb-97 $11,157 $11,060 $11,456
31-Mar-97 $11,013 $10,903 $11,155
30-Apr-97 $11,157 $11,032 $11,175
31-May-97 $11,695 $11,550 $11,494
30-Jun-97 $12,306 $12,138 $12,110
31-Jul-97 $12,531 $12,344 $12,290
31-Aug-97 $11,181 $11,001 $10,726
30-Sep-97 $11,695 $11,492 $11,024
31-Oct-97 $ 9,792 $ 9,610 $ 9,215
30-Nov-97 $ 9,599 $ 9,409 $ 8,879
31-Dec-97 $ 9,736 $ 9,531 $ 9,093
31-Jan-98 $ 9,219 $ 9,014 $ 8,379
28-Feb-98 $ 9,816 $ 9,586 $ 9,254
31-Mar-98 $10,171 $ 9,920 $ 9,656
30-Apr-98 $10,228 $ 9,962 $ 9,550
31-May-98 $ 8,872 $ 8,632 $ 8,242
30-Jun-98 $ 8,058 $ 7,829 $ 7,377
31-Jul-98 $ 8,397 $ 8,148 $ 7,611
31-Aug-98 $ 6,025 $ 5,840 $ 5,410
30-Sep-98 $ 6,324 $ 6,121 $ 5,754
31-Oct-98 $ 6,993 $ 6,761 $ 6,359
30-Nov-98 $ 7,316 $ 7,064 $ 6,888
31-Dec-98 $ 7,357 $ 7,095 $ 6,789
31-Jan-99 $ 7,381 $ 7,110 $ 6,679
28-Feb-99 $ 7,333 $ 7,054 $ 6,744
31-Mar-99 $ 8,178 $ 7,857 $ 7,633
30-Apr-99 $ 9,113 $ 8,744 $ 8,577
31-May-99 $ 8,983 $ 8,609 $ 8,527
30-Jun-99 $10,097 $ 9,664 $ 9,495
31-Jul-99 $ 9,796 $ 9,364 $ 9,237
31-Aug-99 $ 9,820 $ 9,376 $ 9,321
30-Sep-99 $ 9,365 $ 8,930 $ 9,006
31-Oct-99 $ 9,536 $ 9,082 $ 9,197
30-Nov-99 $10,365 $ 9,859 $10,022
31-Dec-99 $11,907 $11,312 $11,297
31-Jan-00 $11,710 $11,111 $11,364
29-Feb-00 $11,653 $11,043 $11,514
31-Mar-00 $11,817 $11,184 $11,570
30-Apr-00 $10,474 $ 9,901 $10,473
31-May-00 $10,007 $ 9,448 $10,040
30-Jun-00 $10,392 $ 9,799 $10,394
31-Jul-00 $ 9,794 $ 9,223 $ 9,860
31-Aug-00 $10,015 $ 9,420 $ 9,908
30-Sep-00 $ 9,008 $ 8,462 $ 9,043
31-Oct-00 $ 8,246 $ 7,737 $ 8,387
30-Nov-00 $ 7,411 $ 6,944 $ 7,654
31-Dec-00 $ 7,567 $ 7,081 $ 7,839
31-Jan-01 $ 8,533 $ 7,976 $ 8,918
28-Feb-01 $ 7,657 $ 7,148 $ 8,220
31-Mar-01 $ 6,813 $ 6,352 $ 7,412
30-Apr-01 $ 7,198 $ 6,703 $ 7,779
31-May-01 $ 7,362 $ 6,847 $ 7,872
30-Jun-01 $ 7,206 $ 6,694 $ 7,710
31-Jul-01 $ 6,568 $ 6,093 $ 7,223
31-Aug-01 $ 6,387 $ 5,918 $ 7,152
30-Sep-01 $ 5,438 $ 5,032 $ 6,045
31-Oct-01 $ 5,814 $ 5,374 $ 6,420
30-Nov-01 $ 6,486 $ 5,987 $ 7,090
31-Dec-01 $ 6,936 $ 6,395 $ 7,653
31-Jan-02 $ 7,100 $ 6,537 $ 7,912
28-Feb-02 $ 7,223 $ 6,642 $ 8,042
31-Mar-02 $ 7,616 $ 6,995 $ 8,526
30-Apr-02 $ 7,624 $ 6,994 $ 8,581
31-May-02 $ 7,501 $ 6,872 $ 8,444
30-Jun-02 $ 6,871 $ 6,287 $ 7,811
31-Jul-02 $ 6,379 $ 5,830 $ 7,217
31-Aug-02 $ 6,363 $ 5,808 $ 7,328
30-Sep-02 $ 5,716 $ 5,211 $ 6,537
31-Oct-02 $ 5,978 $ 5,443 $ 6,962
30-Nov-02 $ 6,322 $ 5,749 $ 7,441
31-Dec-02 $ 5,986 $ 5,437 $ 7,194
31-Jan-03 $ 5,937 $ 5,385 $ 7,162
28-Feb-03 $ 5,773 $ 5,230 $ 6,969
31-Mar-03 $ 5,585 $ 5,053 $ 6,771
30-Apr-03 $ 6,068 $ 5,483 $ 7,375
31-May-03 $ 6,559 $ 5,920 $ 7,904
30-Jun-03 $ 6,854 $ 6,178 $ 8,354
31-Jul-03 $ 7,321 $ 6,591 $ 8,877
31-Aug-03 $ 7,870 $ 7,076 $ 9,473
30-Sep-03 $ 7,886 $ 7,082 $ 9,543
31-Oct-03 $ 8,574 $ 7,690 $10,355
30-Nov-03 $ 8,623 $ 7,724 $10,482
31-Dec-03 $ 9,278 $ 8,301 $11,242
31-Jan-04 $ 9,491 $ 8,481 $11,641
29-Feb-04 $10,023 $ 8,945 $12,178
31-Mar-04 $10,122 $ 9,021 $12,335
30-Apr-04 $ 9,172 $ 8,165 $11,326
31-May-04 $ 9,000 $ 8,001 $11,103
30-Jun-04 $ 8,951 $ 7,948 $11,154
31-Jul-04 $ 8,713 $ 7,727 $10,957
31-Aug-04 $ 9,049 $ 8,015 $11,415
30-Sep-04 $ 9,524 $ 8,425 $12,075
31-Oct-04 $ 9,753 $ 8,617 $12,364
30-Nov-04 $10,621 $ 9,372 $13,509
31-Dec-04 $11,090 $ 9,774 $14,160
31-Jan-05 $11,189 $ 9,848 $14,204
28-Feb-05 $12,074 $10,614 $15,452
31-Mar-05 $11,279 $ 9,903 $14,434
30-Apr-05 $11,082 $ 9,718 $14,049
31-May-05 $11,369 $ 9,957 $14,544
30-Jun-05 $11,754 $10,282 $15,046
31-Jul-05 $12,500 $10,921 $16,110
31-Aug-05 $12,615 $11,007 $16,255
30-Sep-05 $13,754 $11,986 $17,771
31-Oct-05 $12,844 $11,179 $16,610
30-Nov-05 $13,672 $11,885 $17,985
31-Dec-05 $14,297 $12,412 $19,051
31-Jan-06 $15,917 $13,802 $21,190
28-Feb-06 $15,785 $13,670 $21,170
31-Mar-06 $15,992 $13,832 $21,360
30-Apr-06 $16,959 $14,650 $22,884
31-May-06 $15,215 $13,127 $20,491
30-Jun-06 $15,033 $12,954 $20,448
31-Jul-06 $15,247 $13,123 $20,754
</Table>
The graph depicts the performance of UBS PACE International Emerging Markets
Equity Investments Class P shares versus the MSCI Emerging Markets Free (EMF)
Index over the 10 years ended July 31, 2006. (The composition of the MSCI EMF
Index, like many indices, may change from time to time. At one point, Malaysia
was excluded from the Index, but as of July 31, 2001, was included.) The
performance of the other classes will vary from the performance of the class
shown based on the difference in sales charges and fees paid by shareholders
investing in different share classes. Past performance does not predict future
performance and the performance provided does not reflect the deduction of taxes
that a shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares. It is important to note that UBS PACE International Emerging
Markets Equity Investments is a professionally managed portfolio while the Index
is not available for investment and is unmanaged. The comparison is shown for
illustrative purposes only.
87
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
<Table>
<Caption>
SINCE
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06 1 YEAR 5 YEARS 10 YEARS INCEPTION ~
- ------------------------------------------------------------------------------------------------------
Before deducting maximum Class A* 21.97% 18.17% N/A 11.85%
sales charge or UBS PACE Class B** 20.96% 17.14% N/A 12.40%
program fee Class C*** 21.06% 17.21% N/A 12.34%
Class Y**** 22.52% 18.58% N/A 12.23%
Class P***** 21.98% 18.35% 4.31% 4.33%
After deducting maximum Class A* 15.27% 16.83% N/A 10.73%
sales charge or UBS PACE Class B** 15.96% 16.93% N/A 12.30%
program fee Class C*** 20.06% 17.21% N/A 12.34%
Class P***** 20.16% 16.58% 2.75% 2.77%
MSCI Emerging Markets Free (EMF) Index 28.82% 23.50% 7.57% 7.04%
Lipper Emerging Markets Funds median 26.90% 22.50% 8.28% 7.66%
</Table>
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum sales charge or UBS PACE program fee, were as follows: Class
A--1-year period, 20.88%; 5-year period, 14.36%; since inception, 10.62%; Class
B--1-year period, 21.81%; 5-year period, 14.40%; since inception, 12.22%; Class
C--1-year period, 25.89%; 5-year period, 14.70%; since inception, 12.27%; Class
Y--1-year period, 28.46%; 5-year period, 16.06%; since inception, 12.13%; Class
P--1-year period, 25.99%; 5-year period, 14.12%; 10-year period, 1.99%; since
inception, 2.67%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
AUGUST 24, 1995 FOR CLASS P SHARES, DECEMBER 11, 2000 FOR CLASS A SHARES,
DECEMBER 22, 2000 FOR CLASS B SHARES, DECEMBER 1, 2000 FOR CLASS C SHARES
AND FEBRUARY 9, 2001 FOR CLASS Y SHARES. SINCE INCEPTION RETURNS FOR THE
INDEX AND LIPPER MEDIAN ARE SHOWN AS OF AUGUST 31, 1995, WHICH IS THE
NEAREST MONTH-END OF THE INCEPTION DATE OF THE OLDEST SHARE CLASS
(CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** THE PORTFOLIO OFFERS CLASS Y SHARES TO A LIMITED GROUP OF ELIGIBLE
INVESTORS, INCLUDING CERTAIN QUALIFYING RETIREMENT PLANS. CLASS Y SHARES
DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR ONGOING 12b-1
SERVICE AND DISTRIBUTION FEES.
***** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
The MSCI Emerging Markets Free (EMF) Index is a market capitalization-weighted
index composed of companies representative of the market structure of 25
emerging market countries in Europe, Latin America, and the Pacific Basin. The
MSCI EMF Index excludes closed markets and those shares in otherwise free
markets that are not purchasable by foreigners.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END
PERFORMANCE FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
88
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------------------------------------
Class A Actual $1,000.00 $ 958.60 $ 9.62
Hypothetical (5% annual return before expenses) 1,000.00 1,014.98 9.89
Class B Actual 1,000.00 955.00 13.38
Hypothetical (5% annual return before expenses) 1,000.00 1,011.11 13.76
Class C Actual 1,000.00 954.50 13.57
Hypothetical (5% annual return before expenses) 1,000.00 1,010.91 13.96
Class Y Actual 1,000.00 960.10 7.53
Hypothetical (5% annual return before expenses) 1,000.00 1,017.11 7.75
Class P Actual 1,000.00 957.90 9.71
Hypothetical (5% annual return before expenses) 1,000.00 1,014.88 9.99
</Table>
* EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 1.98%, CLASS B: 2.76%, CLASS C: 2.80%, CLASS Y: 1.55%, CLASS P: 2.00%,
MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
89
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- ------------------------------------------------------------------------------
Net assets (mm) $307.2
Number of holdings 176
PORTFOLIO COMPOSITION* 07/31/06
- ------------------------------------------------------------------------------
Common stocks, preferred stocks and rights 75.5%
ADRs, GDRs and NVDRs 22.9
Corporate bond 0.0**
Cash equivalents and other assets less liabilities 1.6
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
REGIONAL ALLOCATION* 07/31/06
- ------------------------------------------------------------------------------
Asia 49.9%
Europe/Middle East/Africa 25.1
Latin America 23.4
Cash equivalents and other assets less liabilities 1.6
- ------------------------------------------------------------------------------
Total 100.0%
==============================================================================
TOP FIVE COUNTRIES (EQUITY INVESTMENTS)* 07/31/06
- ------------------------------------------------------------------------------
Brazil 14.3%
South Korea 14.2
Taiwan 11.8
South Africa 8.4
Mexico 6.8
- ------------------------------------------------------------------------------
Total 55.5%
==============================================================================
TOP TEN EQUITY HOLDINGS* 07/31/06
- ------------------------------------------------------------------------------
Petroleo Brasileiro SA--Petrobras 3.3%
Samsung Electronics 3.3
Companhia Vale do Rio Doce 2.5
Kookmin Bank 1.9
Taiwan Semiconductor Manufacturing 1.5
Hana Financial Group 1.4
Cemex SA de C.V 1.4
Gazprom 1.4
Sasol 1.3
Mobile TeleSystems 1.3
- ------------------------------------------------------------------------------
Total 19.3%
==============================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
** Weighting represents less than 0.05% of the Portfolio's net assets as of
July 31, 2006.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
NVDR Non Voting Depositary Receipt.
90
<Page>
UBS PACE Select Advisors Trust
UBS PACE ALTERNATIVE STRATEGIES INVESTMENTS
PERFORMANCE
For the period since inception on April 10, 2006 through July 31, 2006, the
Portfolio's Class P shares declined 0.70% (before deduction of the maximum UBS
PACE program fee; the shares declined 1.16% after deduction of the maximum
program fee). In comparison, the HFRI Fund of Funds Index (in USD) (the "Index")
declined 1.03% and the median return of the Lipper Global Flexible Portfolio
Funds category was a 0.07% decline. (Returns for all share classes since
inception are also shown in the "Performance at a glance" table on page 94.
Please note that the returns shown do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of Portfolio
shares.)
MARKET REVIEW
Global markets were virtually flat since inception of the Portfolio, with the
MSCI World Index up 0.03% for the four month period ended July 31, 2006.
Although returns were moderate, markets were fairly volatile during the period.
For example, the MSCI World Index was down 3.33% in May over concerns that
higher interest rates and rising inflation might significantly slow world
economic growth. This news kept world markets cautious about further investments
in equities and was one reason global equities moved lower. In addition, markets
continued to suffer from higher energy prices, and especially crude oil prices.
Oil prices broke $77 a barrel on July 14 amid elevated fears of supply
disruption due to continued violence in the Middle East, concerns over Iran's
nuclear research and the threat North Korea's missile tests pose to shipping
lines.
ADVISORS' COMMENTS
ANALYTIC INVESTORS
Our portion of the Portfolio returned 0.50% on a gross basis for the period.
Analytic used a combination of long equities, short equities and call options
during the four month period. Both equities and options contributed positively
to performance. Long and short currency positions were added late in the period
and did not have a material impact on performance.
During the reporting period, we established equity positions based on certain
valuation characteristics, such as above average price-to-earnings and
price-to-book ratios. This added value for our segment of the Portfolio, as
investors tended to favor these types of characteristics in this equity market
environment. In
[SIDENOTE]
UBS PACE SELECT ADVISORS TRUST - UBS PACE ALTERNATIVE STRATEGIES INVESTMENTS
ADVISORS:
ANALYTIC INVESTORS, INC. ("ANALYTIC INVESTORS") AND WELLINGTON MANAGEMENT
COMPANY, LLP ("WELLINGTON MANAGEMENT")
PORTFOLIO MANAGERS:
ANALYTIC INVESTORS: TEAM, LED BY GREGORY MCMURRAN AND DENNIS BEIN; WELLINGTON
MANAGEMENT: TEAM, LED BY SCOTT M. ELLIOTT, EVAN S. GRACE, CFA, JOHN R. ROBERTS
AND TROND SKRAMSTAD
OBJECTIVE:
LONG-TERM CAPITAL APPRECIATION.
INVESTMENT PROCESS:
ANALYTIC INVESTORS EMPLOYS A LONG/SHORT GLOBAL EQUITY STRATEGY. ANALYTIC
INVESTORS ALSO EMPLOYS AN INDEX OPTION STRATEGY, PURSUANT TO WHICH THE PORTFOLIO
WOULD WRITE INDEX CALL OPTIONS. IN ADDITION, ANALYTIC INVESTORS MAY EMPLOY A
GLOBAL TACTICAL ASSET ALLOCATION STRATEGY, COMPRISED OF INVESTMENTS IN THE
CURRENCY MARKETS AND A MARKET ALLOCATION COMPONENT THAT USES DERIVATIVES SUCH AS
SWAPS, FUTURES AND FORWARD CONTRACTS TO EXPRESS ITS MARKET VIEWS.
WELLINGTON MANAGEMENT PURSUES A DIVERSIFIED TOTAL RETURN STRATEGY. WELLINGTON
MANAGEMENT PURSUES THIS STRATEGY BY COMBINING DIVERSE SOURCES OF RETURN FROM
ACROSS THE GLOBAL CAPITAL MARKETS, INCLUDING, BUT NOT LIMITED TO, EQUITY, FIXED
INCOME, CURRENCY, CASH AND ASSET ALLOCATION STRATEGIES.
91
<Page>
ADVISORS' COMMENTS - CONTINUED
addition, an emphasis on companies with strong earnings estimate revisions or
above average profit margins helped performance, as these companies also
generally outperformed. We also took positions based on certain technical
factors, particularly an overweight position in companies with strong price
momentum. With the increased volatility in the market, this detracted somewhat
from performance.
Our top equity performers were short positions in Unisys Corporation, Ivanhoe
Mines and XM Satellite Radio, all of which declined during the reporting period.
(Short positions represent borrowed securities, which are sold and must be
repurchased and returned to the lender at a later date. A short position in a
declining security generally results in a profit.) A long position in Electronic
Data Systems, a short position in Westfield Group and a long position in Lehman
Brothers detracted from relative performance and were the worst performing
stocks selected. Our stock selection process generally added value over the
period, with consumer discretionary, materials, and information technology among
the best-performing sectors. Our positions in the energy and financial services
sectors, meanwhile, had a slightly negative impact on returns.
Our option positions also contributed positively to performance. Higher market
volatility typically increases option premiums, which is ideal for us as the
seller of the call options. In addition, by comparing our forecasted
volatilities and market implied volatilities, the team was able to
opportunistically identify and sell overvalued call options.
Currencies were added to the portfolio in July and did not materially impact
performance for the period. Long positions in the Australian dollar, Norwegian
kroner and Swedish krona added value, while short positions in the Swiss franc,
Euro, Japanese yen and British pound declined and offset those gains.
WELLINGTON MANAGEMENT
Our portion of the Portfolio was down 0.9% on a gross basis during the four
month period since the Portfolio's inception. Wellington uses a multi-strategy
approach to manage our Portfolio sleeve, which led to mixed results during what
was a volatile period for world equity markets. With US equity markets
struggling, US equity index shorts--specifically, the Russell 2000 Index and the
S&P 500 Index--were the largest positive contributors to performance. On a
sector level, our energy sector strategy holdings also contributed positively to
performance. Our energy holdings, representing an average of approximately 9.5%
of our segment of the Portfolio, benefited from an emphasis on larger cap fully
integrated companies, which outperformed smaller, more niche players.
Elsewhere, the health care sector rallied in June and July, and our health care
sector strategy contributed positively to overall returns. Our emphasis on
pharmaceutical stocks was particularly beneficial as they outperformed other
health care industries.
On the negative side, the biggest detractor from performance was our position in
Japanese equities, which consisted primarily of a Topix index future. The global
opportunities sub-portfolio strategy was the next biggest detractor. The
sub-portfolio represented roughly 24.5% of our segment of the Portfolio, and its
decline had a significant impact on total returns. Positions in the information
technology sector, which was one of the poorest performing global sectors during
the period, made up a large portion of the negative return.
Likewise, the emerging markets sub-portfolio also declined during the period as
the sector suffered from investors' "flight to quality" following an extended
period of strong performance. Although the emerging markets sub-portfolio
outperformed the emerging markets index, it nonetheless finished in negative
territory for the four month period. Positions in South Africa, one of the
weakest performing emerging markets,
92
<Page>
ADVISORS' COMMENTS - CONCLUDED
accounted for over half of the sub-portfolio's negative return. Another negative
contributor within our segment was the currency overlay. With the US dollar
weakening during the period, the portfolio's short foreign currency positions
hurt performance. While long positions in the Canadian dollar and the Swiss
franc helped returns, these positions were more than offset by short positions
in the British pound, Australian dollar, and Japanese yen.
Also detracting from performance was the metals sub-portfolio. The strong
performance of the underlying commodities was overwhelmed by weak local
currencies, specifically the South African rand.
There is no line graph shown for the Portfolio, as the Portfolio had completed
less than a half year of investment operations as of the date of this annual
report.
SPECIAL CONSIDERATIONS
THE PORTFOLIO MAY BE APPROPRIATE FOR INVESTORS SEEKING LONG TERM CAPITAL
APPRECIATION WHO ARE ABLE TO WITHSTAND SHORT-TERM FLUCTUATIONS IN THE EQUITY
MARKETS AND FIXED INCOME MARKETS IN RETURN FOR POTENTIALLY HIGHER RETURNS OVER
THE LONG-TERM. THE FUND MAY EMPLOY INVESTMENT STRATEGIES THAT INVOLVE GREATER
RISKS THAN THE STRATEGIES USED BY MANY OTHER MUTUAL FUNDS, INCLUDING INCREASED
USE OF SHORT SALES (WHICH INVOLVE THE RISK OF AN UNLIMITED INCREASE IN THE
MARKET VALUE OF THE SECURITY SOLD SHORT, WHICH COULD RESULT IN A THEORETICALLY
UNLIMITED LOSS), LEVERAGE AND DERIVATIVE TRANSACTIONS, AND HEDGING STRATEGIES.
THE VALUE OF THE PORTFOLIO CHANGES EVERY DAY AND CAN BE AFFECTED BY CHANGES IN
INTEREST RATES, GENERAL MARKET CONDITIONS AND OTHER POLITICAL, SOCIAL AND
ECONOMIC DEVELOPMENTS, AS WELL AS SPECIFIC MATTERS RELATING TO THE ISSUERS OF
SECURITIES IN WHICH THE PORTFOLIO INVESTS. THE VALUE OF THE PORTFOLIO'S
INVESTMENTS IN FOREIGN SECURITIES MAY FALL DUE TO ADVERSE POLITICAL, SOCIAL AND
ECONOMIC DEVELOPMENTS ABROAD AND DUE TO DECREASES IN FOREIGN CURRENCY VALUES
RELATIVE TO THE US DOLLAR. IT IS IMPORTANT TO NOTE THAT AN INVESTMENT IN THE
PORTFOLIO IS ONLY ONE COMPONENT OF A BALANCED INVESTMENT PLAN.
93
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
SINCE
TOTAL RETURNS FOR PERIODS ENDED 07/31/06 INCEPTION ~
- --------------------------------------------------------------
Before deducting Class A* -0.80%
maximum sales charge Class B** 0.71%
or UBS PACE program fee Class C*** -0.60%
Class P**** -0.70%
After deducting Class A* -6.23%
maximum sales charge Class B** -4.29%
or UBS PACE program fee Class C*** -1.60%
Class P**** -1.16%
HFRI Fund of Funds Index (in USD) -1.03%
Lipper Global Flexible Portfolio Funds median -0.07%
Total returns for periods ended June 30, 2006, after deduction of the maximum
sales charge or UBS PACE program fee, were as follows: Class A--since inception,
- -6.70%; Class B--since inception, -4.70%; Class C--since inception, -2.09%;
Class Y--since inception, -1.20%; Class P--since inception, -1.53%.
~ SINCE INCEPTION RETURNS ARE CALCULATED AS OF COMMENCEMENT OF ISSUANCE ON
APRIL 10, 2006 FOR CLASS P AND CLASS A SHARES, MAY 19, 2006 FOR CLASS B
SHARES, AND APRIL 11, 2006 FOR CLASS C SHARES. THE CLASS Y SHARES COMMENCED
ON APRIL 3, 2006 AND HAD BEEN TOTALLY REDEEMED ON JULY 26, 2006. SINCE
INCEPTION RETURNS FOR THE INDEX AND LIPPER MEDIAN ARE SHOWN AS OF MARCH 31,
2006, WHICH IS THE NEAREST MONTH-END OF THE INCEPTION DATE OF THE OLDEST
SHARE CLASS (CLASS P).
* MAXIMUM SALES CHARGE FOR CLASS A SHARES IS 5.5%. CLASS A SHARES BEAR
ONGOING 12b-1 SERVICE FEES.
** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS B SHARES IS 5% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER A MAXIMUM OF SIX YEARS. CLASS B
SHARES BEAR ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
*** MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C SHARES IS 1% IMPOSED
ON REDEMPTIONS AND IS REDUCED TO 0% AFTER ONE YEAR. CLASS C SHARES BEAR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES.
**** CLASS P SHARES DO NOT BEAR INITIAL OR CONTINGENT DEFERRED SALES CHARGES OR
ONGOING 12b-1 SERVICE AND DISTRIBUTION FEES, BUT ARE SUBJECT TO A MAXIMUM
ANNUAL UBS PACE PROGRAM FEE OF 1.5% OF THE VALUE OF CLASS P SHARES.
Hedge Fund Research Inc. (HFRI) Fund of Funds Index (in USD): HFRI Fund of Funds
Index (in USD) is an equally-weighted, unmanaged index comprised of domestic and
offshore hedge fund of funds. It is not possible to invest directly into an
index. The HFRI Indices are based on information self-reported by hedge fund
managers that decide, on their own, at any time, whether or not they want to
provide, or continue to provide, information to HFR Asset Management, L.L.C.
("HFR"). Results for funds that go out of business are included in the index
until the date that they cease operations. Therefore, these indices may not be
complete or accurate representations of the hedge fund universe, and may be
biased in several ways.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS OR THE REDEMPTION OF PORTFOLIO SHARES. THE
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS AT NET ASSET VALUE ON THE EX-DIVIDEND DATES. TOTAL RETURNS FOR
PERIODS OF LESS THAN ONE YEAR HAVE NOT BEEN ANNUALIZED. CURRENT PERFORMANCE MAY
BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED. FOR MONTH-END PERFORMANCE
FIGURES, PLEASE VISIT http://www.ubs.com.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
94
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1)
transactional costs (as applicable), including sales charges (loads), or ongoing
program fees; and (2) ongoing Portfolio costs, including management fees;
service and/or distribution (12b-1) fees (if applicable); and other Portfolio
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio and to compare these costs with the
ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period ended July 31, 2006.
ACTUAL EXPENSES
The first line for each class of shares in the table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over a period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line for each class of shares under the heading entitled
"Expenses paid during period" to estimate the expenses you paid on your account
during this period.
Please note that the Portfolio commenced operations on April 10, 2006 for Class
A and Class P, May 19, 2006 for Class B, and April 11, 2006 for Class C,
therefore, "Actual" expenses paid during the period reflect activity from the
respective class' commencement dates through July 31, 2006.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each class of shares in the table below provides information
about hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratios for each class of shares and an assumed rate
of return of 5% per year before expenses, which is not the Portfolio's actual
return for each class of shares. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid for the period. You may use this information to compare the ongoing costs
of investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any transactional costs (as
applicable), such as sales charges (loads), or program fees. Therefore, the
second line in the table for each class of shares is useful in comparing ongoing
Portfolio costs only, and will not help you determine the relative total costs
of owning different funds. In addition, if these transactional costs or program
fees were included, your costs would have been higher.
Please note that while the Portfolio commenced operations on April 10, 2006 for
Class A and Class P, May 19, 2006 for Class B, and April 11, 2006 for Class C,
the "Hypothetical" expenses paid during the period reflect projected activity
for the full six month period for purposes of comparability. This projection
assumes that the annualized expense ratios for all share classes were in effect
during the period from February 1, 2006 to each class' respective commencement.
95
<Page>
<Table>
<Caption>
ENDING
BEGINNING ACCOUNT VALUE EXPENSES PAID
ACCOUNT VALUE JULY 31, 2006 DURING PERIOD
- ------------------------------------------------------------------------------------------------------------
Class A* Actual $1,000.00 $ 992.00 $ 6.60
Hypothetical (5% annual return before expenses) 1,000.00 1,014.18 10.69
Class B** Actual 1,000.00 1,007.10 5.76
Hypothetical (5% annual return before expenses) 1,000.00 1,010.76 14.11
Class C*** Actual 1,000.00 994.00 8.69
Hypothetical (5% annual return before expenses) 1,000.00 1,010.71 14.16
Class P* Actual 1,000.00 993.00 5.86
Hypothetical (5% annual return before expenses) 1,000.00 1,015.37 9.49
</Table>
* THE PORTFOLIO'S CLASS A AND CLASS P SHARES COMMENCED ON APRIL 10, 2006.
EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIOS: CLASS
A: 2.14% AND CLASS P: 1.90%, MULTIPLIED BY 113 DIVIDED BY 365 (TO REFLECT
THE ACTUAL DAYS IN THE PERIOD FOR THE ACTUAL EXAMPLE) AND MULTIPLIED BY 181
DIVIDED BY 365 (TO REFLECT THE ONE-HALF YEAR PERIOD FOR THE HYPOTHETICAL
EXAMPLE).
** THE PORTFOLIO'S CLASS B SHARES COMMENCED ON MAY 19, 2006. EXPENSES ARE
EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIO: CLASS B: 2.83%,
MULTIPLIED BY 74 DIVIDED BY 365 (TO REFLECT THE ACTUAL DAYS IN THE PERIOD
FOR THE ACTUAL EXAMPLE) AND MULTIPLIED BY 181 DIVIDED BY 365 (TO REFLECT
THE ONE-HALF YEAR PERIOD FOR HYPOTHETICAL EXAMPLE).
*** THE PORTFOLIO'S CLASS C SHARES COMMENCED ON APRIL 11, 2006. EXPENSES ARE
EQUAL TO THE PORTFOLIO'S ANNUALIZED NET EXPENSE RATIO: CLASS C: 2.84%,
MULTIPLIED BY 112 DIVIDED BY 365 (TO REFLECT THE ACTUAL DAYS IN THE PERIOD
FOR THE ACTUAL EXAMPLE) AND MULTIPLIED BY 181 DIVIDED BY 365 (TO REFLECT
THE ONE-HALF YEAR PERIOD FOR HYPOTHETICAL EXAMPLE).
96
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- --------------------------------------------------------------------------------
Net assets (mm) $57.6
Number of holdings 343
PORTFOLIO COMPOSITION* 07/31/06
- --------------------------------------------------------------------------------
Common, preferred and tracking stocks 64.8%
ADRs and GDRs 3.3
Investments sold short (12.9)
Written options, futures and forward foreign currency contracts 0.1
Cash equivalents and other assets less liabilities 44.7
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
TOP FIVE COUNTRIES (LONG HOLDINGS)* 07/31/06
- --------------------------------------------------------------------------------
United States 59.5%
Japan 6.2
United Kingdom 4.8
Australia 3.1
Canada 3.0
- --------------------------------------------------------------------------------
Total 76.6%
================================================================================
TOP FIVE SECTORS (LONG HOLDINGS)* 07/31/06
- --------------------------------------------------------------------------------
Financials 14.3%
Materials 9.6
Health care 8.7
Energy 8.6
Consumer discretionary 7.6
- --------------------------------------------------------------------------------
Total 48.8%
================================================================================
TOP TEN EQUITY HOLDINGS (LONG HOLDINGS)* 07/31/06
- --------------------------------------------------------------------------------
Goldman Sachs Group 1.4%
Morgan Stanley 1.2
Electronics Data Systems 1.2
CSX 1.1
BG Group 1.0
Merrill Lynch & Co. 1.0
McKesson 1.0
BHP Billiton 1.0
Norsk Hydro ASA 1.0
Computer Sciences 0.9
- --------------------------------------------------------------------------------
Total 10.8%
================================================================================
TOP FIVE COUNTRIES (SHORT HOLDINGS)* 07/31/06
- --------------------------------------------------------------------------------
Canada (2.7)%
Australia (2.3)
United Kingdom (2.0)
United States (1.6)
Japan (0.9)
- --------------------------------------------------------------------------------
Total (9.5)%
================================================================================
TOP FIVE SECTORS (SHORT HOLDINGS)* 07/31/06
- --------------------------------------------------------------------------------
Financials (3.7)%
Consumer discretionary (2.3)
Industrials (1.8)
Materials (1.5)
Energy (1.2)
- --------------------------------------------------------------------------------
Total (10.5)%
================================================================================
TOP TEN EQUITY HOLDINGS (SHORT HOLDINGS) 07/31/06
- --------------------------------------------------------------------------------
Westfield Group (1.4)%
Imperial Oil (0.7)
Reed Elsevier (0.7)
Unisys (0.7)
Loblaw Cos. (0.6)
Perpetual (0.5)
Shell Canada (0.5)
MLP AG (0.5)
Thomson SA (0.4)
XL Capital (0.4)
- --------------------------------------------------------------------------------
Total (6.4)%
================================================================================
* Weightings represent percentages of the Portfolio's net assets as of July
31, 2006. The Portfolio is actively managed and its composition will vary
over time.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
97
<Page>
UBS PACE Select Advisors Trust
UBS PACE MONEY MARKET INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- -----------------------------------------------------------------------------------
US GOVERNMENT AGENCY OBLIGATIONS--6.79%
$ 5,000 Federal Farm Credit Bank 08/01/06 5.240%* $ 4,999,372
9,000 Federal Home Loan Bank 08/03/06 to 5.140 to
08/04/06 5.160@ 8,996,708
2,000 Federal Home Loan Bank 08/07/06 5.194* 1,999,555
7,250 Federal Home Loan Mortgage Corp. 10/23/06 to 4.250 to
07/09/07 5.500 7,250,000
- -----------------------------------------------------------------------------------
Total US government agency obligations (cost--$23,245,635) 23,245,635
===================================================================================
BANK NOTES--2.04%
BANKING-US--2.04%
2,000 Bank of America N.A. 08/01/06 5.310* 2,000,000
5,000 Wachovia Bank N.A. (Charlotte) 09/05/06 5.221 to
5.251* 4,999,370
- -----------------------------------------------------------------------------------
Total bank notes (cost--$6,999,370) 6,999,370
===================================================================================
CERTIFICATES OF DEPOSIT--9.34%
NON-US--5.55%
3,500 ABN AMRO Bank NV 01/24/07 4.850 3,500,000
2,000 Calyon N.A., Inc. 03/14/07 5.170 2,000,000
5,000 Deutsche Bank AG 08/03/06 to 4.170 to
03/06/07 5.090 5,000,000
3,000 Fortis Bank NV-SA 02/06/07 4.930 3,000,000
2,500 Svenska Handelsbanken 11/08/06 4.750 2,500,000
3,000 Toronto-Dominion Bank 08/14/06 5.310 3,000,000
19,000,000
US--3.79%
7,000 First Tennessee Bank N.A.
(Memphis) 08/24/06 5.180 7,000,000
3,000 SunTrust Bank 08/07/06 5.294* 3,000,000
3,000 Wachovia Bank N.A. (Charlotte) 09/29/06 5.459* 2,999,545
12,999,545
- -----------------------------------------------------------------------------------
Total certificates of deposit (cost--$31,999,545) 31,999,545
===================================================================================
COMMERCIAL PAPER@--70.39%
ASSET BACKED-BANKING--2.62%
9,000 Atlantis One Funding 08/17/06 to 5.060 to
08/24/06 5.320 8,974,010
ASSET BACKED-MISCELLANEOUS--16.75%
3,500 Amsterdam Funding Corp. 08/24/06 5.320 3,488,104
7,000 Bryant Park Funding LLC 08/01/06 to 5.270 to
08/11/06 5.300 6,997,056
4,000 Chariot Funding LLC 08/08/06 5.280 3,995,893
3,000 Falcon Asset Securitization Corp. 08/02/06 5.270 2,999,561
5,000 Kitty Hawk Funding Corp. 08/16/06 5.310 4,988,938
5,000 Old Line Funding Corp. 08/15/06 5.290 4,989,714
8,000 Ranger Funding Co. LLC 08/28/06 5.320 7,968,080
10,000 Regency Markets No.1 LLC 08/21/06 5.340 9,970,333
6,000 Variable Funding Capital Corp. 08/02/06 5.250 5,999,125
</Table>
98
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- -----------------------------------------------------------------------------------
COMMERCIAL PAPER--(CONTINUED)
ASSET BACKED-MISCELLANEOUS--(CONCLUDED)
$ 6,000 Yorktown Capital LLC 08/21/06 5.330% $ 5,982,233
57,379,037
ASSET BACKED-SECURITIES--16.69%
8,500 Beta Finance, Inc. 09/15/06 to 5.330 to
09/20/06 5.350 8,441,726
7,000 Cancara Asset Securitization LLC 08/01/06 to 5.270 to
08/11/06 5.290 6,995,017
4,800 CC (USA), Inc. (Centauri) 08/10/06 to 5.270 to
08/29/06 5.350 4,788,558
7,000 Dorada Finance, Inc. 09/28/06 5.370 6,939,438
8,000 Galaxy Funding, Inc. 08/17/06 to 5.240 to
09/19/06 5.320 7,961,720
5,000 Grampian Funding LLC 08/24/06 to 5.100 to
10/25/06 5.400 4,955,233
1,500 K2 (USA) LLC 09/25/06 5.390 1,487,648
4,700 Links Finance LLC 08/04/06 to 5.090 to
08/15/06 5.290 4,693,312
9,000 Scaldis Capital LLC 08/25/06 to 5.110 to
09/20/06 5.390 8,953,022
2,000 Solitaire Funding LLC 09/29/06 5.400 1,982,300
57,197,974
BANKING-NON-US--13.78%
6,500 Alliance & Leicester PLC 09/15/06 5.340 6,456,612
8,000 Allied Irish Banks N.A., Inc. 08/03/06 5.250 7,997,667
4,500 Bank of Ireland 09/01/06 5.100 4,480,237
5,000 Banque et Caisse d'Epargne
de L'Etat 10/05/06 5.360 4,951,611
3,000 Credit Suisse First Boston 10/10/06 5.370 2,968,675
9,000 Depfa Bank PLC 10/13/06 5.385 8,901,724
5,500 IXIS Commercial Paper Corp. 08/01/06 5.310 5,500,000
3,000 Northern Rock PLC 09/25/06 5.400 2,975,250
3,000 Westpac Trust Securities NZ Ltd. 10/10/06 5.380 2,968,617
47,200,393
BANKING-US--11.60%
7,000 Bank of America Corp. 08/01/06 5.250 7,000,000
5,000 Barclays US Funding Corp. 08/17/06 5.290 4,988,244
3,500 CBA (Delaware) Finance, Inc. 01/22/07 5.335 3,409,750
10,000 KFW International Finance, Inc. 08/04/06 5.250 9,995,625
9,000 Nordea N.A., Inc. 10/18/06 to 5.115 to
02/26/07 5.390 8,840,844
2,500 San Paolo IMI US Financial Co. 08/08/06 5.260 2,497,443
3,000 UniCredito Delaware, Inc. 08/11/06 5.060 2,995,783
39,727,689
</Table>
99
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------
COMMERCIAL PAPER--(CONCLUDED)
BROKERAGE--4.75%
$9,000 Bear Stearns Cos., Inc. 08/08/06 5.280% $ 8,990,760
4,300 Merrill Lynch & Co., Inc. 08/07/06 5.250 4,296,238
3,000 Morgan Stanley 08/01/06 5.320* 3,000,000
16,286,998
FINANCE-NONCAPTIVE DIVERSIFIED--0.57%
2,000 General Electric Capital Corp. 01/05/07 5.030 1,956,127
INSURANCE-LIFE--0.66%
2,250 Prudential PLC 08/01/06 5.270 2,250,000
PHARMACEUTICALS--2.39%
8,200 Sanofi-Aventis 08/07/06 to 5.230 to
08/23/06 5.270 8,178,289
UTILITIES-OTHER--0.58%
2,000 RWE AG 09/01/06 5.170 1,991,096
- --------------------------------------------------------------------------------------
Total commercial paper (cost--$241,141,613) 241,141,613
======================================================================================
SHORT-TERM CORPORATE OBLIGATIONS--9.78%
ASSET BACKED-SECURITIES--1.61%
1,500 CC (USA), Inc. (Centauri)** 04/30/07 5.315 1,499,944
2,000 K2 (USA) LLC** 08/01/06 5.315* 1,999,917
2,000 Links Finance LLC** 02/13/07 5.000 2,000,000
5,499,861
AUTOMOBILE OEM--1.17%
4,000 American Honda Finance Corp.** 09/08/06 to 5.260 to
09/12/06 5.270* 3,999,925
BANKING-NON-US--1.46%
2,000 Nationwide Building Society** 09/11/06 5.420* 2,001,028
3,000 Societe Generale** 08/02/06 5.316* 3,000,000
5,001,028
BROKERAGE--2.63%
3,000 Citigroup Global Markets Holdings, Inc. 08/01/06 5.480* 3,002,823
6,000 Greenwich Capital Holdings, Inc. 08/07/06 5.294* 6,000,000
9,002,823
FINANCE-CAPTIVE AUTOMOTIVE--0.58%
2,000 Toyota Motor Credit Corp. 08/01/06 5.300* 2,000,000
FINANCE-NONCAPTIVE CONSUMER--1.75%
6,000 HSBC Finance Corp. 08/01/06 5.485* 6,001,218
FINANCE-NONCAPTIVE DIVERSIFIED--0.58%
2,000 General Electric Capital Corp. 08/09/06 5.470* 2,000,000
- --------------------------------------------------------------------------------------
Total short-term corporate obligations
(cost--$33,504,855) 33,504,855
======================================================================================
</Table>
100
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATE RATES VALUE
- -----------------------------------------------------------------------------------
REPURCHASE AGREEMENT--0.10%
$ 327 Repurchase agreement dated 07/31/06 with
State Street Bank & Trust Co.,
collateralized by $329,894 US Treasury
Notes, 3.250% to 5.125% due 08/15/07 to
06/30/11 (value-- $334,085); proceeds:
$327,044 (cost--$327,000) 08/01/06 4.860% $ 327,000
MONEY MARKET FUNDS+--1.69%
3,411 AIM Liquid Assets Portfolio 5.175 3,410,915
2,395 BlackRock Provident Institutional
TempFund 5.127 2,394,969
- -----------------------------------------------------------------------------------
Total money market funds (cost--$5,805,884) 5,805,884
===================================================================================
Total investments (cost--$343,023,902
which approximates cost for federal
income tax purposes)--100.13% 343,023,902
===================================================================================
Liabilities in excess of other
assets--(0.13)% (451,011)
Net assets (applicable to 342,573,501
shares of beneficial interest
outstanding equivalent to $1.00 per
share)--100.00% $342,572,891
</Table>
* Variable rate securities--maturity dates reflect earlier of reset dates or
stated maturity dates. The interest rates shown are the current rates as of
July 31, 2006 and reset periodically.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 4.24% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
@ Interest rates shown are the discount rates at date of purchase.
+ Interest rates shown reflect yield at July 31, 2006.
OEM Original Equipment Manufacturer
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 79.2%
Ireland 6.2
United Kingdom 3.3
France 3.1
Germany 1.5
Luxembourg 1.4
Netherlands 1.0
Belgium 0.9
Canada 0.9
Switzerland 0.9
Australia 0.9
Sweden 0.7
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
Weighted average maturity--40 days
See accompanying notes to financial statements
101
<Page>
UBS PACE Select Advisors Trust
UBS PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--12.60%
$ 4 GNMA 12/15/07 8.000% $ 3,728
24 GNMA 08/15/09 8.000 25,030
324 GNMA 08/15/09 9.000 330,685
37 GNMA 02/15/19 10.500 40,541
721 GNMA 04/15/19 8.250 767,845
4 GNMA 05/15/19 11.500 4,586
44 GNMA 06/15/19 10.500 48,794
149 GNMA 07/15/19 10.500 164,631
24 GNMA 08/15/19 10.500 26,236
4 GNMA 07/15/20 10.500 4,825
60 GNMA 08/15/20 10.500 66,319
11 GNMA 09/15/20 10.500 12,116
11 GNMA 08/15/21 7.500 11,001
4 GNMA 02/15/23 8.000 3,918
1 GNMA 09/15/23 7.500 1,182
160 GNMA 12/15/32 5.500 156,486
251 GNMA 02/15/33 5.500 245,862
704 GNMA 03/15/33 5.500 690,123
1,093 GNMA 07/15/33 5.500 1,071,720
870 GNMA 01/15/34 5.500 852,950
321 GNMA 02/15/34 5.500 314,481
745 GNMA 03/15/34 5.500 729,623
879 GNMA 04/15/34 5.500 861,344
960 GNMA 05/15/34 5.500 941,097
212 GNMA 06/15/34 5.500 207,813
890 GNMA 07/15/35 5.500 871,315
374 GNMA 08/15/35 5.500 366,366
5,045 GNMA 10/15/35 5.500 4,942,155
416 GNMA 11/15/35 5.500 407,507
10,278 GNMA 12/15/35 5.500 10,066,248
5,516 GNMA 01/15/36 5.500 5,400,820
1,975 GNMA 02/15/36 6.000 1,976,633
1,972 GNMA 03/15/36 5.500 1,931,238
2,205 GNMA 04/15/36 5.500 2,158,970
3,174 GNMA 04/15/36 6.000 3,175,936
2,280 GNMA 05/15/36 5.500 2,232,127
2,240 GNMA 05/15/36 6.000 2,242,988
3,818 GNMA 06/15/36 6.000 3,820,302
6,792 GNMA 07/15/36 6.000 6,796,180
3,000 GNMA I TBA TBA 6.000 3,000,000
52 GNMA II 04/20/25 9.000 55,729
13 GNMA II 12/20/26 9.000 13,738
23 GNMA II 01/20/27 9.000 24,772
11 GNMA II 04/20/30 9.000 11,707
102
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--(CONTINUED)
$ 2 GNMA II 06/20/30 9.000% $ 2,039
13 GNMA II 07/20/30 9.000 14,358
6 GNMA II 09/20/30 9.000 6,440
39 GNMA II 10/20/30 9.000 42,541
60 GNMA II 11/20/30 9.000 65,186
27 GNMA II ARM 07/20/17 4.750 26,915
364 GNMA II ARM 01/20/18 5.625 366,959
30 GNMA II ARM 04/20/18 4.375 30,476
15 GNMA II ARM 05/20/18 4.875 15,052
107 GNMA II ARM 06/20/19 4.875 107,759
37 GNMA II ARM 05/20/21 4.375 36,828
343 GNMA II ARM 09/20/21 4.750 342,729
57 GNMA II ARM 11/20/21 5.125 56,902
324 GNMA II ARM 06/20/22 4.375 323,861
119 GNMA II ARM 11/20/22 5.125 119,187
253 GNMA II ARM 01/20/23 5.375 253,956
134 GNMA II ARM 03/20/23 5.375 133,959
340 GNMA II ARM 01/20/24 5.375 341,549
237 GNMA II ARM 04/20/24 4.375 236,512
2 GNMA II ARM 12/20/24 5.125 2,254
30 GNMA II ARM 01/20/25 5.375 29,763
83 GNMA II ARM 02/20/25 5.375 83,318
111 GNMA II ARM 03/20/25 5.375 111,864
83 GNMA II ARM 03/20/25 5.500 83,161
279 GNMA II ARM 05/20/25 4.375 279,300
109 GNMA II ARM 06/20/25 4.375 109,290
83 GNMA II ARM 08/20/25 4.750 82,941
90 GNMA II ARM 09/20/25 4.750 90,461
70 GNMA II ARM 10/20/25 5.125 70,007
13 GNMA II ARM 12/20/25 5.125 12,606
60 GNMA II ARM 03/20/26 5.375 59,766
606 GNMA II ARM 04/20/26 4.375 605,957
276 GNMA II ARM 06/20/26 4.375 275,654
104 GNMA II ARM 08/20/26 4.750 104,329
15 GNMA II ARM 09/20/26 4.750 15,353
51 GNMA II ARM 10/20/26 5.125 51,503
73 GNMA II ARM 12/20/26 5.125 72,936
443 GNMA II ARM 01/20/27 5.375 445,238
45 GNMA II ARM 02/20/27 5.375 44,801
201 GNMA II ARM 04/20/27 4.375 200,507
39 GNMA II ARM 07/20/27 4.750 39,574
111 GNMA II ARM 08/20/27 4.750 111,168
190 GNMA II ARM 11/20/27 5.125 190,625
22 GNMA II ARM 12/20/27 5.125 22,377
103
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--(CONCLUDED)
$ 41 GNMA II ARM 01/20/28 5.375% $ 41,197
11 GNMA II ARM 02/20/28 5.250 10,587
29 GNMA II ARM 02/20/28 5.375 28,948
50 GNMA II ARM 10/20/29 5.125 50,429
182 GNMA II ARM 04/20/30 4.375 182,046
3,234 GNMA II ARM 05/20/30 4.375 3,242,383
78 GNMA II ARM 06/20/30 4.500 78,349
772 GNMA II ARM 07/20/30 4.500 771,018
612 GNMA II ARM 08/20/30 4.500 611,779
95 GNMA II ARM 10/20/30 5.125 95,743
123 GNMA II ARM 09/20/31 5.125 123,263
85 GNMA II ARM 11/20/31 5.125 85,047
- --------------------------------------------------------------------------------
Total government national mortgage association certificates
(cost--$68,048,348) 68,116,417
================================================================================
FEDERAL HOME LOAN MORTGAGE CORPORATION CERTIFICATES--17.75%
379 FHLMC 07/01/08 6.000 378,332
3 FHLMC 07/01/09 9.000 3,179
9 FHLMC 02/01/10 9.000 8,995
12 FHLMC 05/01/10 11.500 12,089
10 FHLMC 08/01/10 11.500 10,404
13 FHLMC 11/01/10 11.500 14,070
15 FHLMC 05/01/11 11.000 15,214
238 FHLMC 03/01/13 8.000 251,221
4 FHLMC 03/01/13 11.000 4,556
2 FHLMC 09/01/14 11.500 2,365
7 FHLMC 07/01/15 11.000 8,274
12 FHLMC 09/01/15 11.000 12,678
2 FHLMC 10/01/15 11.000 2,615
17 FHLMC 12/01/15 11.000 18,164
4 FHLMC 01/01/16 11.500 4,131
87 FHLMC 05/01/16 8.500 88,555
52 FHLMC 11/01/16 9.750 53,965
6 FHLMC 10/01/17 7.500 5,778
13 FHLMC 01/01/18 11.500 14,022
6 FHLMC 04/01/19 11.000 6,449
8 FHLMC 05/01/19 11.500 8,333
1 FHLMC 06/01/19 11.000 573
24 FHLMC 06/01/19 11.500 26,104
+0 FHLMC 08/01/20 11.000 90
5 FHLMC 09/01/20 11.000 5,318
14 FHLMC 11/01/20 10.500 14,807
14 FHLMC 11/01/24 7.500 14,216
236 FHLMC 04/01/25 9.000 244,180
3 FHLMC 08/01/25 7.000 3,118
104
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION CERTIFICATES--(CONCLUDED)
$ 1,778 FHLMC 02/01/33 5.500% $ 1,735,000
715 FHLMC 03/01/33 5.500 697,366
849 FHLMC 04/01/33 5.500 828,527
936 FHLMC 05/01/33 5.500 913,616
4,151 FHLMC 06/01/33 5.500 4,050,306
949 FHLMC 10/01/33 5.500 925,575
485 FHLMC 12/01/33 5.500 473,438
164 FHLMC 03/01/34 5.500 160,024
1,364 FHLMC 10/01/34 5.500 1,331,007
939 FHLMC 12/01/34 5.500 915,131
8,400 FHLMC 02/01/35 5.500 8,187,263
266 FHLMC 05/01/35 5.500 258,603
1,687 FHLMC 06/01/35 5.500 1,640,320
995 FHLMC 07/01/35 5.000 941,036
18,139 FHLMC 08/01/35 5.000 17,162,621
24,020 FHLMC 09/01/35 5.000 22,727,325
5,849 FHLMC 11/01/35 5.000 5,534,707
4,816 FHLMC 12/01/35 5.000 4,556,714
980 FHLMC 02/01/36 5.000 926,790
366 FHLMC ARM 10/01/23 6.166 374,057
562 FHLMC ARM 07/01/24 6.440 573,469
840 FHLMC ARM 11/01/25 6.593 858,713
1,123 FHLMC ARM 10/01/27 6.285 1,150,714
833 FHLMC ARM 10/01/27 6.552 852,456
274 FHLMC ARM 11/01/27 6.360 276,995
206 FHLMC ARM 01/01/28 5.993 209,342
1,025 FHLMC ARM 06/01/28 6.503 1,050,388
923 FHLMC ARM 07/01/28 6.366 941,097
626 FHLMC ARM 01/01/29 6.607 645,783
778 FHLMC ARM 04/01/29 6.337 795,129
47 FHLMC ARM 10/01/29 6.966 47,618
1,428 FHLMC ARM 11/01/29 6.494 1,469,410
576 FHLMC ARM 12/01/29 6.464 587,158
187 FHLMC ARM 01/01/30 6.494 191,916
4,000 FHLMC TBA TBA 5.000 3,781,248
7,000 FHLMC TBA TBA 6.000 6,958,434
- --------------------------------------------------------------------------------
Total federal home loan mortgage corporation certificates
(cost--$98,476,670) 95,961,091
================================================================================
105
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
FEDERAL HOUSING ADMINISTRATION CERTIFICATES--0.59%
$ 205 FHA GMAC 04/01/19 7.480% $ 205,143
1,431 FHA GMAC 02/01/21 7.400 1,431,289
94 FHA GMAC 05/01/21 7.450 94,201
1,387 FHA Reilly 07/01/20 6.896 1,379,609
89 FHA Reilly 08/01/20 7.430 89,078
- --------------------------------------------------------------------------------
Total federal housing administration certificates
(cost--$3,209,149) 3,199,320
================================================================================
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--80.46%
138 FNMA 05/01/09 9.000 141,161
170 FNMA 07/01/09 7.249 175,110
5 FNMA 12/01/09 9.500 4,822
29 FNMA 04/01/10 9.250 29,443
6 FNMA 03/01/11 10.250 6,164
16 FNMA 04/01/11 10.250 16,715
2 FNMA 02/01/12 10.500 2,615
17 FNMA 09/01/12 6.500 17,696
37 FNMA 12/01/12 6.500 37,273
5 FNMA 01/01/13 6.500 5,269
36 FNMA 02/01/13 6.500 37,009
61 FNMA 03/01/13 6.500 61,631
34 FNMA 04/01/13 6.500 34,145
39 FNMA 04/01/13 9.250 40,457
103 FNMA 06/01/13 6.500 104,727
23 FNMA 07/01/13 6.500 22,837
3 FNMA 07/01/13 10.500 3,091
7 FNMA 07/01/13 11.000 7,183
27 FNMA 08/01/13 6.500 26,907
171 FNMA 09/01/13 6.500 173,917
47 FNMA 10/01/13 6.500 47,949
72 FNMA 11/01/13 6.500 72,684
1 FNMA 04/01/14 10.500 607
11 FNMA 05/01/14 5.500 10,803
55 FNMA 05/01/14 9.250 55,997
23 FNMA 09/01/15 10.500 24,979
16 FNMA 10/01/15 11.000 17,807
+0 FNMA 11/01/15 10.500 129
42 FNMA 11/01/15 11.000 44,531
21 FNMA 12/01/15 9.250 21,457
8 FNMA 01/01/16 11.000 8,061
11 FNMA 02/01/16 11.000 11,856
11 FNMA 03/01/16 11.000 11,161
343 FNMA 06/01/17 5.500 340,384
2,211 FNMA 10/01/17 5.000 2,156,750
1,167 FNMA 05/01/18 5.000 1,137,197
34 FNMA 07/01/18 5.000 33,527
106
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--(CONTINUED)
$ 567 FNMA 08/01/18 5.000% $ 552,922
1,815 FNMA 10/01/18 5.000 1,769,151
6,953 FNMA 11/01/18 5.000 6,775,953
2,172 FNMA 12/01/18 5.000 2,116,841
9,255 FNMA 02/01/19 5.000 9,004,234
2,263 FNMA 04/01/19 5.000 2,201,485
746 FNMA 05/01/19 5.000 725,639
1,968 FNMA 06/01/19 5.000 1,914,885
12,294 FNMA 07/01/19 5.000 11,961,061
153 FNMA 07/01/19 6.500 156,445
3,131 FNMA 08/01/19 5.000 3,045,607
65 FNMA 08/01/19 10.000 69,194
34 FNMA 09/01/19 5.000 32,910
1,711 FNMA 10/01/19 5.000 1,664,701
123 FNMA 10/01/19 9.000 132,343
2,278 FNMA 12/01/19 5.000 2,215,829
3,777 FNMA 01/01/20 5.000 3,670,893
4,626 FNMA 02/01/20 5.000 4,495,471
1,365 FNMA 03/01/20 5.000 1,326,287
4,734 FNMA 04/01/20 5.000 4,600,398
1,616 FNMA 05/01/20 5.000 1,569,812
9 FNMA 05/01/20 11.000 9,968
51 FNMA 06/01/20 5.000 49,458
5 FNMA 08/01/20 10.500 5,104
602 FNMA 09/01/20 5.000 584,801
32,794 FNMA 10/01/20 5.000 31,862,869
7 FNMA 09/01/21 10.500 7,400
13 FNMA 04/01/22 10.500 13,812
2 FNMA 06/01/24 7.500 2,503
45 FNMA 07/01/24 7.500 46,203
73 FNMA 08/01/24 7.500 76,162
3 FNMA 12/01/24 7.500 2,815
13 FNMA 06/01/25 7.500 13,027
22 FNMA 07/01/25 7.500 22,704
167 FNMA 09/01/25 8.500 178,607
63 FNMA 02/01/26 9.000 67,809
11 FNMA 04/01/26 6.500 11,404
128 FNMA 10/01/26 7.500 133,140
61 FNMA 11/01/26 7.500 62,883
81 FNMA 11/01/26 8.000 85,430
105 FNMA 03/01/29 6.500 106,858
262 FNMA 05/01/29 6.500 266,766
197 FNMA 01/01/32 6.000 196,992
100 FNMA 02/01/32 5.500 97,114
107
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES-(CONTINUED)
$ 231 FNMA 04/01/32 6.000% $ 230,238
199 FNMA 09/01/32 6.000 198,840
255 FNMA 10/01/32 6.000 254,226
2,101 FNMA 11/01/32 5.500 2,050,110
310 FNMA 12/01/32 6.000 309,161
1,088 FNMA 01/01/33 5.500 1,061,286
394 FNMA 01/01/33 6.000 392,591
651 FNMA 02/01/33 5.500 634,572
348 FNMA 02/01/33 6.000 347,344
202 FNMA 06/01/33 5.500 196,739
380 FNMA 06/01/33 6.000 379,300
283 FNMA 07/01/33 6.000 281,859
738 FNMA 09/01/33 5.500 719,772
1,147 FNMA 10/01/33 5.500 1,119,233
273 FNMA 10/01/33 6.000 271,749
277 FNMA 11/01/33 5.500 270,556
865 FNMA 11/01/33 6.000 862,856
1,085 FNMA 12/01/33 5.500 1,058,847
1,692 FNMA 01/01/34 5.500 1,650,246
282 FNMA 02/01/34 5.500 275,247
2,927 FNMA 02/01/34 6.000 2,918,414
694 FNMA 03/01/34 5.500 675,371
1,551 FNMA 04/01/34 5.500 1,510,886
237 FNMA 05/01/34 6.000 236,151
4,257 FNMA 06/01/34 5.500 4,145,249
2,098 FNMA 07/01/34 5.500 2,044,000
8,363 FNMA 09/01/34 5.500 8,144,552
506 FNMA 09/01/34 6.000 504,374
7,560 FNMA 11/01/34 5.500 7,362,286
517 FNMA 01/01/35 5.500 502,779
1,298 FNMA 01/01/35 6.000 1,292,177
1,544 FNMA 02/01/35 5.500 1,505,953
1,138 FNMA 02/01/35 6.000 1,132,011
5,702 FNMA 04/01/35 5.500 5,541,449
18 FNMA 04/01/35 6.000 18,066
4,426 FNMA 05/01/35 5.500 4,301,236
1,314 FNMA 05/01/35 6.000 1,307,003
2,435 FNMA 06/01/35 5.500 2,366,572
315 FNMA 06/01/35 6.000 312,937
658 FNMA 07/01/35 5.500 639,531
2,293 FNMA 07/01/35 6.000 2,280,228
622 FNMA 08/01/35 5.000 588,527
1,893 FNMA 08/01/35 5.500 1,839,780
</Table>
108
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--(CONCLUDED)
$ 992 FNMA 08/01/35 6.000% $ 986,006
320 FNMA 09/01/35 5.000 302,587
1,338 FNMA 09/01/35 6.000 1,330,107
352 FNMA 10/01/35 6.000 350,184
77 FNMA 11/01/35 6.000 76,667
49,367 FNMA 01/01/36 5.500 47,975,047
1,000 FNMA 02/01/36 5.500 971,904
2,000 FNMA 04/01/36 5.500 1,942,615
1,000 FNMA 06/01/36 5.500 971,308
1,000 FNMA 07/01/36 5.500 971,308
434 FNMA ARM 09/01/15 5.212 434,479
20 FNMA ARM 11/01/23 5.219 19,669
694 FNMA ARM 03/01/25 5.976 701,374
85 FNMA ARM 02/01/26 6.251 87,111
88 FNMA ARM 09/01/26 5.538 88,900
3,597 FNMA ARM 10/01/26 6.005 3,619,092
177 FNMA ARM 12/01/27 6.521 179,922
99 FNMA ARM 02/01/29 6.356 101,613
232 FNMA ARM 02/01/30 6.004 235,825
292 FNMA ARM 05/01/30 5.321 294,093
119 FNMA ARM 07/01/30 5.100 120,098
3,113 FNMA ARM 03/01/44 5.343 3,132,471
61,000 FNMA TBA TBA 5.000 58,600,018
91,000 FNMA TBA TBA 5.500 88,589,092
44,500 FNMA TBA TBA 6.000 44,207,991
16,000 FNMA TBA TBA 6.500 16,184,992
- ----------------------------------------------------------------------------------------------
Total federal national mortgage association certificates
(cost--$437,971,777) 435,058,718
==============================================================================================
COLLATERALIZED MORTGAGE OBLIGATIONS--5.74%
1,282 Chevy Chase Funding LLC, Series 2004-1,
Class A1 (2) 01/25/35 5.665^ 1,286,232
7,589 Countrywide Alternative Loan Trust, Series
2006-0A2, Class A1 05/20/46 5.588^ 7,601,670
1,137 Federal Agricultural Mortgage Corp. ARM,
Series 2002, Class AA1 04/25/11 7.826 1,161,562
155 FHLMC REMIC, Series 0023, Class KZ 11/25/23 6.500 158,054
42 FHLMC REMIC, Series 0159, Class H 09/15/21 4.500 41,498
203 FHLMC REMIC, Series 1003, Class H 10/15/20 6.125^ 202,724
8 FHLMC REMIC, Series 1349, Class PS 08/15/22 7.500 8,374
1,244 FHLMC REMIC, Series 1502, Class PX 04/15/23 7.000 1,272,637
639 FHLMC REMIC, Series 1534, Class Z 06/15/23 5.000 621,000
227 FHLMC REMIC, Series 1573, Class PZ 09/15/23 7.000 235,047
106 FHLMC REMIC, Series 1658, Class GZ 01/15/24 7.000 109,174
487 FHLMC REMIC, Series 1694, Class Z 03/15/24 6.500 486,253
21 FHLMC REMIC, Series 1775, Class Z 03/15/25 8.500 20,474
3 FHLMC REMIC, Series 2258, Class F 06/15/29 5.719^ 2,690
167 FHLMC REMIC, Series 2411, Class FJ 12/15/29 5.719^ 167,396
</Table>
109
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--(CONCLUDED)
$ 630 FNMA REMIC, Trust 1987-002, Class Z 11/25/17 11.000% $ 701,454
480 FNMA REMIC, Trust 1988-007, Class Z 04/25/18 9.250 506,089
5 FNMA REMIC, Trust 1992-074, Class Z 05/25/22 8.000 5,277
30 FNMA REMIC, Trust 1992-129, Class L 07/25/22 6.000 30,671
89 FNMA REMIC, Trust 1992-158, Class ZZ 08/25/22 7.750 93,603
1,188 FNMA REMIC, Trust 1993-037, Class PX 03/25/23 7.000 1,223,655
4 FNMA REMIC, Trust 1993-240, Class Z 12/25/13 6.250 4,038
50 FNMA REMIC, Trust 1993-250, Class Z 12/25/23 7.000 51,414
114 FNMA REMIC, Trust G92-040, Class ZC 07/25/22 7.000 118,101
144 FNMA REMIC, Trust G94-006, Class PJ 05/17/24 8.000 151,137
114 GNMA REMIC, Trust 2000-009, Class FH 02/16/30 5.869^ 115,197
5,160 Indymac Index Mortgage Loan Trust, Series
2005-AR2, Class 2A1A 02/25/35 5.705^ 5,186,859
1,488 Sequoia Mortgage Trust, Series 5, Class A 10/19/26 5.720^ 1,490,606
368 Small Business Administration, Series
2000-10, Class B1 08/01/10 7.449 385,366
4,779 Structured Asset Mortgage Investments, Inc.,
Series 2006-AR3, Class 11A1 04/25/36 5.595^ 4,778,423
2,797 Washington Mutual, Series 2003-R1, Class A1 12/25/27 5.655^ 2,795,206
- ---------------------------------------------------------------------------------------------
Total collateralized mortgage obligations
(cost--$30,632,170) 31,011,881
=============================================================================================
ASSET-BACKED SECURITIES--3.34%
216 Centex Home Equity Loan Trust, Series 2005-C,
Class AV1 06/25/35 5.413^ 215,823
5,148 Centex Home Equity Loan Trust, Series 2006-A,
Class AV1 06/25/36 5.435^ 5,147,036
587 Conseco Finance Securitizations Corp., Series
2000-5, Class M1 (1) 02/01/32 8.400 99,688
1,638 Embarcadero Aircraft Securitization Trust,
Series 2000-A, Class B (2)++* 08/15/25 6.470^ 16,381
671 EMC Mortgage Loan Trust, Series 2003-A,
Class A2 (2) 08/25/40 6.135^ 680,840
159 First Franklin Mortgage Loan Trust, Series
2003-FF5, Class A2 03/25/34 5.731^ 158,517
105 Green Tree Financial Corp., Series 1998-2,
Class A5 11/01/16 6.240 102,459
4,363 Long Beach Mortgage Loan Trust, Series
2006-WL1, Class 2A1 01/25/36 5.475^ 4,363,999
3,890 Merrill Lynch Mortgage Investors, Inc.,
Series 2006-WMC1, Class A2A 01/25/37 5.465^ 3,890,147
810 Renaissance Home Equity Loan Trust, Series
2003-2, Class A 08/25/33 5.825^ 812,538
58 Specialty Underwriting & Residential Financing,
Series 2003-BC1, Class A 01/25/34 5.725^ 57,858
2,538 Specialty Underwriting & Residential Financing,
Series 2006-BC1, Class A2A 12/25/36 5.403^ 2,538,302
- ---------------------------------------------------------------------------------------------
Total asset-backed securities (cost--$20,175,321) 18,083,588
=============================================================================================
STRIPPED MORTGAGE-BACKED SECURITIES+++--0.21%
438 FHLMC REMIC, Series 0013, Class B (1) 06/25/23 7.000 94,455
20 FHLMC REMIC, Series 1554, Class I (1) 08/15/08 6.500 881
354 FHLMC REMIC, Series 1627, Class PN (1) 09/15/22 6.000 6,248
34 FHLMC REMIC, Series 2136, Class GD (1) 03/15/29 7.000 7,875
</Table>
110
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------------------------
STRIPPED MORTGAGE-BACKED SECURITIES+++--(CONCLUDED)
$ 174 FHLMC REMIC, Series 2178, Class PI (1) 08/15/29 7.500% $ 39,091
+0 FNMA REMIC, Trust 1992-142, Class KB (1) 08/25/07 11.980 1,079
+0 FNMA REMIC, Trust 1992-157, Class JA (1) 09/25/07 10.146 1,087
39,630 Hilton Hotel Pool Trust, Series 2000-HLTA, Class X (2) 10/03/15 0.875+/- 968,745
- ----------------------------------------------------------------------------------------------------------
Total stripped mortgage-backed securities (cost--$1,101,752) 1,119,461
==========================================================================================================
CERTIFICATE OF DEPOSIT--2.22%
BANKING-US--2.22%
12,000 Citibank N.A. (cost--$12,000,000) 08/22/06 5.165 12,000,000
COMMERCIAL PAPER@--5.40%
BANKING-US--2.70%
14,800 Bank of America Corp. 10/27/06 5.375 14,607,754
FINANCE-NONCAPTIVE DIVERSIFIED--2.70%
14,800 General Electric Capital Corp. 10/26/06 5.350 14,610,848
- ----------------------------------------------------------------------------------------------------------
Total commercial paper (cost--$29,218,602) 29,218,602
==========================================================================================================
SHORT-TERM US GOVERNMENT AND AGENCY OBLIGATIONS@--7.18%
23,900 Federal Home Loan Mortgage Corp. 08/01/06 to 4.830 to
08/07/06 5.200 23,887,173
14,400 Federal National Mortgage Association 08/21/06 4.960 14,360,320
550 US Treasury Bills^^ 09/14/06 4.697 to
4.805 546,782
- ----------------------------------------------------------------------------------------------------------
Total short-term US government and agency obligations (cost--$38,794,275) 38,794,275
==========================================================================================================
REPURCHASE AGREEMENTS--4.52%
19,900 Repurchase agreement dated 07/31/06 with
Credit Suisse, collateralized by
$19,964,000 US Treasury Notes, 5.625%
due 05/15/08 (value--$20,420,440); proceeds:
$19,902,886 08/01/06 5.220 19,900,000
4,566 Repurchase agreement dated 07/31/06 with
State Street Bank & Trust Co., collateralized by
$4,595,000 US Treasury Notes, 5.125%
due 06/30/11; (value--$4,658,181); proceeds:
$4,566,616 08/01/06 4.860 4,566,000
- ----------------------------------------------------------------------------------------------------------
Total repurchase agreements (cost--$24,466,000) 24,466,000
==========================================================================================================
</Table>
<Table>
<Caption>
NUMBER OF
CONTRACTS
(000)
- ---------------------------------------------------------------------------------------------------------
OPTIONS--0.00%
CALL OPTIONS PURCHASED(1)--0.00%
100,000 3 Month LIBOR(3) Interest Rate Swap, strike @ 4.50%, expires 10/18/06 0
41,700 3 Month LIBOR(3) Interest Rate Swap, strike @ 4.73%, expires 02/01/07 17,514
Total options (cost--$577,822) 17,514
- ---------------------------------------------------------------------------------------------------------
Total investments (cost--$764,671,886)--140.01% 757,046,867
=========================================================================================================
Liabilities in excess of other assets--(40.01)% (216,338,822)
- ---------------------------------------------------------------------------------------------------------
Net assets--100.00% $ 540,708,045
=========================================================================================================
</Table>
111
<Page>
* Non-income producing security.
@ Interest rates shown are the discount rates at date of purchase.
+/- Annualized yield at date of purchase.
^ Floating rate securities. The interest rates shown are the current rates
as of July 31, 2006.
^^ Partial amount pledged as collateral for futures transactions.
+ Principal amount is less than $500.
++ Bond interest in default.
+++ Interest Only Security. This security entitles the holder to receive
interest payments from an underlying pool of mortgages. The risk
associated with this security is related to the speed of the principal
paydowns. High prepayments would result in a smaller amount of interest
being received and cause the yield to decrease. Low prepayments would
result in a greater amount of interest being received and cause the yield
to increase.
(1) Illiquid securities representing 0.15% of net assets as of July 31, 2006.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 0.55% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(3) 3 Month LIBOR (London Interbank Offered Rate) at July 31, 2006 was 5.466%.
ARM Adjustable Rate Mortgage--The interest rates shown are the current rates
as of July 31, 2006.
FHA Federal Housing Administration
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GMAC General Motors Acceptance Corporation
GNMA Government National Mortgage Association
REMIC Real Estate Mortgage Investment Conduit
TBA (To Be Announced) Securities are purchased on a forward commitment basis
with an approximate principal amount (generally +/- 1.0%) and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
WRITTEN OPTIONS
<Table>
<Caption>
NUMBER OF
CONTRACTS
(000) VALUE
- -------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN(1)
43,000 3 Month LIBOR(3) Interest Rate Swap, strike @ 4.56%, expires 10/18/06 $ 860
17,900 3 Month LIBOR(3) Interest Rate Swap, strike @ 4.78%, expires 02/01/07 20,227
- -------------------------------------------------------------------------------------------
Total written options (premiums received--$575,705) $21,087
===========================================================================================
</Table>
(1) Illiquid securities representing 0.15% of net assets as of July 31, 2006.
(3) 3 Month LIBOR (London Interbank Offered Rate) at July 31, 2006 was 5.466%.
FUTURES CONTRACTS
<Table>
<Caption>
NUMBER OF IN EXPIRATION UNREALIZED
CONTRACTS CONTRACTS TO RECEIVE EXCHANGE FOR DATES DEPRECIATION
- ---------------------------------------------------------------------------------------------
100 90 Day Euro Dollar Futures 23,710,000 December 2006 $ 72,500
112 90 Day Euro Dollar Futures 26,590,200 March 2007 91,000
172 90 Day Euro Dollar Futures 40,775,000 June 2007 32,500
112 90 Day Euro Dollar Futures 26,602,800 September 2007 53,200
112 90 Day Euro Dollar Futures 26,601,400 December 2007 46,200
295,400
CONTRACTS TO DELIVER
160 US Treasury Note 10 Year Futures 16,754,031 September 2006 210,969
$506,369
</Table>
See accompanying notes to financial statements
112
<Page>
UBS PACE Select Advisors Trust
UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ---------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS--19.06%
$ 9,685 US Treasury Notes (1) 09/30/07 4.000% $ 9,565,071
25,385 US Treasury Notes 10/31/07 4.250 25,135,110
1,200 US Treasury Notes (1) 02/29/08 4.625 1,192,781
10,545 US Treasury Notes (1) 05/31/08 4.875 10,519,871
10,000 US Treasury Notes 06/30/08 5.125 10,024,610
22,245 US Treasury Notes 11/15/08 4.375 21,966,937
345 US Treasury Notes 05/15/16 5.125 348,585
- ---------------------------------------------------------------------------------------
Total US government obligations (cost--$78,643,961) 78,752,965
=======================================================================================
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATE--0.35%
1,498 GNMA II ARM (cost--$1,468,576) 06/20/34 3.750 1,455,228
FEDERAL HOME LOAN BANK CERTIFICATES--5.00%
4,485 FHLB 03/07/07 3.050 4,417,039
7,400 FHLB 03/07/07 3.750 7,325,304
9,000 FHLB 05/08/07 4.250 8,919,351
- ---------------------------------------------------------------------------------------
Total federal home loan bank certificates (cost--$20,771,662) 20,661,694
=======================================================================================
FEDERAL HOME LOAN MORTGAGE CORPORATION CERTIFICATES--6.79%
4,200 FHLMC 03/16/07 2.700 4,128,306
3,875 FHLMC 04/19/07 3.010 3,809,086
1,125 FHLMC 02/27/09 3.750 1,080,759
182 FHLMC 08/01/20 5.000 176,197
806 FHLMC 09/01/20 5.000 782,185
1,005 FHLMC 10/01/20 5.000 975,995
840 FHLMC 11/01/20 5.000 814,978
8,130 FHLMC 12/01/20 5.000 7,892,542
1,209 FHLMC 01/01/21 5.000 1,173,655
173 FHLMC 03/01/21 5.000 168,182
3,448 FHLMC 04/01/21 5.000 3,347,196
240 FHLMC 05/01/21 5.000 232,904
1,379 FHLMC ARM 12/01/34 4.195 1,323,063
2,145 FHLMC ARM 05/01/36 5.432 2,128,493
- ---------------------------------------------------------------------------------------
Total federal home loan mortgage corporation certificates
(cost--$28,154,999) 28,033,541
=======================================================================================
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--4.54%
3,775 FNMA 01/30/07 2.710 3,724,200
1,915 FNMA 01/26/09 4.000 1,860,484
1,655 FNMA 11/01/11 5.793 1,670,974
1,460 FNMA 08/01/12 5.250 1,440,824
845 FNMA 05/01/13 4.625 801,995
548 FNMA ARM 08/01/32 5.547 546,050
1,966 FNMA ARM 04/01/34 3.999 1,910,780
1,437 FNMA ARM 06/01/34 3.851 1,380,716
5,574 FNMA ARM 07/01/35 4.658 5,429,816
- ---------------------------------------------------------------------------------------
Total federal national mortgage association certificates
(cost--$19,218,309) 18,765,839
=======================================================================================
</Table>
113
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ---------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--26.95%
$ 2,460 Banc of America Commercial Mortgage,
Inc., Series 2000-1, Class A2A 11/15/31 7.333% $ 2,582,905
1,975 Banc of America Commercial Mortgage,
Inc., Series 2001-1, Class A2 04/15/36 6.503 2,041,842
2,145 Banc of America Commercial Mortgage,
Inc., Series 2002-PB2, Class A4 06/11/35 6.186 2,206,404
1,997 Bear Stearns Alternative Loan Trust-A
Trust, Series 2004-13, Class A1 11/25/34 5.755^ 2,001,424
3,224 Bear Stearns ARM Trust, Series 2004-5,
Class 2A 07/25/34 4.014 3,111,828
2,400 Bear Stearns Commercial Mortgage
Securities, Series 2003-T12,
Class A4 08/13/39 4.680 2,273,550
2,000 Chase Commercial Mortgage Securities
Corp., Series 1999-2, Class A2 01/15/32 7.198 2,096,803
1,453 Commercial Mortgage Acceptance Corp.,
Series 1998-C2, Class A2 09/15/30 6.030 1,460,595
2,698 CS First Boston Mortgage Securities
Corp., Series 1998-C1, Class A1B 05/17/40 6.480 2,735,894
2,010 FHLMC REMIC Trust, Series 2626,
Class NA 06/15/23 5.000 1,987,059
2,916 FHLMC REMIC Trust, Series 3154,
Class PJ 03/15/27 5.500 2,909,320
3,439 FHLMC REMIC Trust, Series 3162,
Class OA 10/15/26 6.000 3,466,556
3,200 First Horizon Alternative Mortgage
Securities, Series 2006-FA2,
Class 1A5 05/25/36 6.000 3,213,379
1,285 First Union-Lehman Brothers-Bank of
America, Series 1998-C2, Class A2 11/18/35 6.560 1,300,933
3,125 First Union-National Bank Commercial
Mortgage Trust, Series 2001-C3,
Class A3 08/15/33 6.423 3,236,908
3,209 FNMA REMIC Trust, Series 2004-25,
Class PA 10/25/30 5.500 3,186,454
2,319 FNMA REMIC Trust, Series 2004-36,
Class BS 11/25/30 5.500 2,312,601
3,509 FNMA REMIC Trust, Series 2005-47,
Class PA 09/25/24 5.500 3,500,078
1,728 FNMA REMIC Trust, Series 2005-57,
Class PA 05/25/27 5.500 1,724,264
2,270 FNMA REMIC Trust, Series 2005-70,
Class KB 05/25/35 5.500 2,252,822
2,404 FNMA REMIC Trust, Series 2005-83,
Class LA 10/25/35 5.500 2,381,207
2,508 FNMA REMIC Trust, Series 2005-109,
Class PV 10/25/32 6.000 2,527,468
3,302 FNMA REMIC Trust, Series 2006-53,
Class BA 02/25/27 6.000 3,322,722
828 FNMA REMIC Trust, Series 2006-62,
Class TA 06/25/28 5.500 825,330
2,699 FNMA REMIC Trust, Series 2006-63,
Class QB 09/25/27 5.500 2,689,108
2,544 FNMA REMIC Trust, Series 2006-65,
Class HA 02/25/29 5.500 2,533,741
1,484 GMAC Commercial Mortgage Securities,
Inc., Series 1999-C3, Class A2 08/15/36 7.179 1,543,554
2,835 GMAC Commercial Mortgage Securities,
Inc., Series 2000-C3, Class A2 09/15/35 6.957 2,979,040
2,520 GMAC Commercial Mortgage Securities,
Inc., Series 2001-C1, Class A2 04/15/34 6.465 2,612,561
1,650 GMAC Commercial Mortgage Securities,
Inc., Series 2005-C1, Class AM 05/10/43 4.754 1,537,487
700 Goldman Sachs Mortgage Securities Corp.
II, Series 2005-GG4, Class A4A 07/10/39 4.751 655,561
</Table>
114
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- -----------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--(CONCLUDED)
$2,090 J.P. Morgan Chase Commercial Mortgage
Securities, Series 2004-CBX, Class A4 01/12/37 4.529% $ 1,997,929
3,956 J.P. Morgan Mortgage Trust, Series 2006-A2, Class 5A3 11/25/33 3.753 3,853,504
3,591 Lehman Brothers Commercial Conduit Mortgage
Trust, Series 1998-C1, Class A3 02/18/30 6.480 3,618,845
1,830 Lehman Brothers Commercial Conduit Mortgage
Trust, Series 1998-C4, Class A1B 10/15/35 6.210 1,853,133
366 Lehman Brothers Commercial Conduit Mortgage
Trust, Series 1999-C2, Class A1 10/15/32 7.105 367,343
2,500 Morgan Stanley Capital I, Series 1999-LIFE, Class A2 04/15/33 7.110 2,603,379
2,600 Morgan Stanley Capital I, Series 2005-HQ6, Class A2A 08/13/42 4.882 2,539,303
2,698 Nationslink Funding Corp., Series 1998-2, Class A2 08/20/30 6.476 2,733,022
62 Nationslink Funding Corp., Series 1999-SL, Class A6 11/10/30 6.608 61,977
3,177 Residential Accredit Loans, Inc., Series 2006-QS2, Class 1A9 02/25/36 5.500 3,152,839
1,740 Small Business Administration, Series 2004-P10B, Class 1 08/10/14 4.754 1,653,266
728 Structured ARM Loan Trust, Series 2004-13, Class A2 09/25/34 5.685 729,678
1,427 Structured Asset Securities Corp., Series 2003-2, Class C (3) 01/21/09 4.000^ 1,426,804
983 Structured Asset Securities Corp., Series 2003-AL1, Class A (2) 04/25/31 3.356 868,045
2,781 Structured Asset Securities Corp., Series 2004-6,
Class 4A1 ARM 06/25/34 4.843 2,711,139
2,311 TIAA Real Estate CDO Ltd., Series 2001-C1A, Class A3 (2) 06/19/26 6.560 2,339,831
2,860 Washington Mutual Asset Securities Corp.,
Series 2005-C1A, Class A2 (2) 05/25/36 5.150 2,825,754
2,885 Wells Fargo Mortgage Backed Securities Trust,
Series 2004-H, Class A1 06/25/34 4.523^ 2,787,722
- -----------------------------------------------------------------------------------------------------------------
Total collateralized mortgage obligations (cost--$112,902,987) 111,332,911
=================================================================================================================
ASSET-BACKED SECURITIES--17.83%
3,000 American Express Master Credit Card Trust,
Series 2005-5, Class A 02/15/13 5.409^ 3,000,418
2,800 Bank One Issuance Trust, Series 2003-A3, Class A3 12/15/10 5.479^ 2,805,045
3,800 Capital Auto Receivables Asset Trust, Series 2005-1, Class A4 07/15/09 4.050 3,751,499
3,800 Chase Credit Card Master Trust, Series 2003-6, Class A 02/15/11 5.479^ 3,808,748
2,800 Chase Issuance Trust, Series 2004-A9, Class A9 06/15/10 3.220 2,728,492
3,200 Chase Manhattan Auto Owner Trust,
Series 2006-A, Class A3 07/15/10 5.340 3,200,023
2,890 Citibank Credit Card Issuance Trust,
Series 1998-2, Class A 01/15/10 6.050 2,919,268
3,475 Citibank Credit Card Issuance Trust,
Series 2003-A6, Class A6 05/17/10 2.900 3,329,815
4,175 Citibank Credit Card Issuance Trust,
Series 2003-A9, Class A9 11/22/10 5.269^ 4,180,877
3,325 Citibank Credit Card Issuance Trust,
Series 2004-A1, Class A1 01/20/09 2.550 3,281,119
3,325 Citibank Credit Card Issuance Trust,
Series 2004-A4, Class A4 08/24/09 3.200 3,245,699
</Table>
115
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- -----------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--(concluded)
$1,234 Countrywide Asset-Backed Certificates,
Series 2005-4, Class AF1 10/25/35 5.515%^ $ 1,234,314
2,346 Countrywide Asset-Backed Certificates,
Series 2005-13, Class 3AV1 04/25/36 5.475^ 2,346,108
2,715 Countrywide Asset-Backed Certificates,
Series 2005-IM3, Class A1 03/25/36 5.505^ 2,715,265
1,915 Countrywide Asset-Backed Certificates,
Series 2006-IM1, Class A1 04/25/36 5.475^ 1,915,450
1,578 DaimlerChrysler Auto Trust, Series 2004-B, Class A3 09/08/08 3.180 1,563,701
3,075 DaimlerChrysler Auto Trust, Series 2005-B, Class A3 09/08/09 4.040 3,039,001
2,000 Epoch 2002 Ltd. (2) 05/30/07 5.410^ 2,012,000
3,325 Ford Credit Auto Owner Trust, Series 2006-A, Class A3 03/15/10 5.050 3,306,245
2,925 MBNA Master Credit Card Trust, Series 2004-A4, Class A4 09/15/09 2.700 2,870,457
3,775 Nissan Auto Receivables Owner Trust,
Series 2006-B, Class A3 02/15/10 5.160 3,762,432
3,725 Nissan Auto Receivables Owner Trust,
Series 2006-C, Class A4 06/15/12 5.450 3,736,641
2,432 Residential Asset Mortgage Products, Inc.,
Series 2006-RS2, Class A1 03/25/36 5.465^ 2,432,499
3,300 Sallie Mae Student Loan Trust, Series 2005-8, Class A4 01/25/28 4.250 3,220,107
3,275 Wachovia Auto Owner Trust, Series 2006-A, Class A3 02/22/11 5.350 3,275,685
- -----------------------------------------------------------------------------------------------------------------
Total asset-backed securities (cost--$74,195,878) 73,680,908
=================================================================================================================
CORPORATE NOTES--30.96%
AEROSPACE & DEFENSE--0.31%
565 Northrop Grumman Corp. 11/16/06 4.079 562,539
689 Raytheon Co. 08/15/07 6.750 695,603
1,258,142
AIRLINES--0.12%
514 Continental Airlines, Inc. 02/02/19 6.545 513,679
AUTOMOTIVE--0.39%
800 DaimlerChrysler N.A. Holding 06/15/10 4.875 770,825
200 DaimlerChrysler N.A. Holding 11/15/13 6.500 202,161
660 Johnson Controls, Inc. 01/15/11 5.250 647,182
1,620,168
BANKING-NON-US--1.19%
550 Barclays Bank PLC 12/15/34+++ 6.278+/- 497,035
310 HBOS PLC (2) 10/01/15+++ 5.920+/- 290,871
390 HBOS Treasury Services PLC (2) 01/12/07 3.125 385,892
500 HBOS Treasury Services PLC (2) 09/30/08 3.750 482,785
1,400 Kreditanstalt Fuer Wiederaufbau 09/21/07 3.250 1,367,152
650 National Westminster Bank 10/16/07+++ 7.750+/- 664,843
850 RBS Capital Trust III 09/30/14+++ 5.512+/- 804,643
425 Swedish Export Credit Corp. 01/15/08 3.500 415,059
4,908,280
</Table>
116
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ------------------------------------------------------------------------------------------
CORPORATE NOTES--(CONTINUED)
BANKING-US--6.49%
$ 200 BAC Capital Trust XI 05/23/36 6.625% $ 203,781
400 BankBoston N.A. 04/15/08 6.375 405,625
3,200 Bank of America Corp. 03/24/09 5.470^ 3,201,539
1,315 Bank of America Corp. 02/15/10 7.800 1,410,019
90 Bank of America Corp. 08/01/10 4.500 87,028
250 Bank One Corp. 06/30/08 2.625 237,356
975 Bank One N.A., Illinois^^^ 01/15/08 3.700 950,584
1,300 DEPFA Asset Covered Securities Bank (2) 10/28/15 4.875 1,248,121
825 Deutsche Bank AG NY 03/15/07 3.843^ 811,800
3,925 HSBC Bank USA 06/07/07 3.870 3,925,000
250 Huntington National Bank 10/16/06 2.750 248,586
635 Suntrust Bank 10/15/07 3.625 620,252
430 Suntrust Bank 10/15/08 4.000 417,353
500 Suntrust Bank 06/15/09 4.415 486,060
1,425 US Bank N.A. 03/12/07 2.400 1,396,157
860 US Bank N.A. 02/01/08 6.500 873,660
1,240 USB Capital IX 04/15/11+++ 6.189+/- 1,229,688
785 US Central Credit Union 05/30/08 2.750 748,516
1,875 Wachovia Bank N.A. 03/23/09 5.489^ 1,874,029
1,310 Wachovia Capital Trust III 03/15/11+++ 5.800+/- 1,288,775
1,500 Wachovia Corp. 11/01/06 4.950 1,497,170
840 Wachovia Corp. 12/15/08 5.625 843,068
1,150 Wells Fargo & Co. 08/15/08 3.120 1,101,387
1,545 Wells Fargo & Co. 01/15/10 4.200 1,486,111
220 Wells Fargo & Co. 01/12/11 4.875 214,884
26,806,549
DIVERSIFIED FINANCIALS--0.35%
450 Encana Holdings Financial Corp. 05/01/14 5.800 444,195
845 Nationwide Building Society (2) 01/30/07 2.625 833,345
180 Nationwide Building Society (2) 02/01/10 4.250 172,658
1,450,198
DIVERSIFIED MANUFACTURING--0.41%
690 Tyco International Group SA 08/01/06 5.800 690,000
975 Tyco International Group SA 10/15/11 6.375 1,005,572
1,695,572
ELECTRIC UTILITIES--0.80%
520 American Electric Power 08/16/07 4.709 515,171
625 DTE Energy Co. 08/16/07 5.630 624,449
650 PSEG Funding Trust 11/16/07 5.381 647,268
950 Scottish Power PLC 03/15/10 4.910 924,304
600 SP Powerassets Ltd. (2) 10/22/08 3.800 577,869
3,289,061
ELECTRONICS--0.03%
115 Loral Corp. 09/15/23 7.000 125,120
117
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ------------------------------------------------------------------------------------------
CORPORATE NOTES--(CONTINUED)
ENERGY--0.41%
$ 675 Anadarko Petroleum Corp. 05/01/08 3.250% $ 647,661
60 Conoco Funding Co. 10/15/06 5.450 59,992
340 Florida Power Corp. 03/01/13 4.800 322,340
675 Ocean Energy, Inc. 10/01/07 4.375 665,281
1,695,274
FINANCE-CONSUMER--0.29%
1,175 Commercial Credit Co. 07/01/07 6.750 1,184,686
FINANCIAL SERVICES--10.01%
450 Bank of New York Co., Inc. MTN^^^ 09/01/07 3.900 442,143
550 Bear Stearns Co., Inc. 03/25/09 3.250 520,353
670 Bear Stearns Co., Inc. 06/23/10 4.550 647,004
4,445 Citigroup, Inc. 02/22/10 4.125 4,257,319
340 Citigroup, Inc. 08/03/10 4.625 330,254
2,875 Eksportfinans A/S 07/15/09 4.375 2,802,030
1,900 Eksportfinans A/S 05/25/16 5.500 1,908,558
1,225 General Electric Capital Corp. 08/15/07 3.500 1,199,581
4,555 General Electric Capital Corp. 11/15/11 5.000 4,450,476
3,650 General Electric Capital Corp. MTN 01/15/08 5.550^ 3,652,993
695 General Electric Capital Corp. MTN 09/01/09 4.125 670,692
2,350 General Electric Capital Corp. MTN 10/21/10 4.875 2,300,041
3,925 Goldman Sachs Group, Inc. 01/15/11 5.000 3,828,398
350 HSBC Finance Corp. 01/30/07 5.750 350,464
50 HSBC Finance Corp. 08/01/10 6.375 51,422
1,530 J.P. Morgan Chase& Co. 02/01/08 4.000 1,497,298
450 Lehman Brothers Holdings, Inc. 03/13/09 3.600 429,874
895 Lehman Brothers Holdings, Inc. 04/25/11 5.750 900,318
905 Lehman Brothers Holdings, Inc. 07/18/11 5.750 908,472
800 Massmutual Global Funding (2) 07/15/08 2.550 757,070
4,775 Morgan Stanley 03/07/08 5.286^ 4,776,662
1,460 Morgan Stanley 01/21/11 5.050 1,427,975
250 Morgan Stanley 04/15/11 6.750 261,228
575 Morgan Stanley 04/01/12 6.600 601,134
1,000 New York Life Global Funding MTN (2) 01/15/09 3.875 963,660
455 Principal Life Global Funding (2) 04/30/08 3.625 440,400
345 State Street Corp. 06/15/10 7.650 369,032
250 TIAA Global Markets (2) 01/22/08 3.875 243,988
375 US Bancorp 08/23/07 3.950 367,834
41,356,673
INSURANCE--1.41%
575 Allstate Financial Global Funding II(2) 10/22/06 2.625 571,257
1,430 Berkshire Hathaway Finance Corp. 01/15/10 4.125 1,370,300
1,350 Chubb Corp. 11/16/07 4.934 1,339,616
1,465 Lincoln National Corp. 05/17/66 7.000^ 1,487,683
235 Metropolitan Life Global Funding (2) 07/30/09 4.250 228,627
</Table>
118
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ------------------------------------------------------------------------------------------
CORPORATE NOTES--(CONTINUED)
INSURANCE--(CONCLUDED)
$ 850 Prudential Financial, Inc. 05/01/08 3.750% $ 824,833
5,822,316
MEDIA--0.89%
1,525 Comcast Corp. 11/15/10 5.450 1,510,717
550 Comcast Corp. 03/15/16 5.900 535,849
745 Lenfest Communications, Inc. 02/15/08 7.625 765,013
225 News America Holdings 07/15/24 9.500 280,307
200 News America Holdings 02/23/25 8.500 228,578
350 Time Warner, Inc. 02/01/24 7.570 373,241
3,693,705
MEDICAL PROVIDERS--0.70%
1,980 Aetna, Inc. 06/15/16 6.000 1,979,962
950 WellPoint, Inc. 01/15/11 5.000 926,699
2,906,661
OIL & GAS--0.37%
1,250 ConocoPhillips Co. 05/25/10 8.750 1,388,091
150 Encana Corp. 08/15/09 4.600 145,772
1,533,863
OIL REFINING--0.13%
225 Enterprise Products Operating LP 10/15/07 4.000 220,225
300 Tosco Corp. 01/01/07 7.250 301,616
521,841
OIL SERVICES--0.21%
850 Halliburton Co. 10/15/10 5.500 847,408
PHARMACEUTICALS--0.95%
875 Abbott Laboratories 05/15/11 5.600 877,820
460 Merck& Co., Inc. 03/30/07 2.500 451,182
340 Schering-Plough Corp. 12/01/13 5.550 333,189
2,340 Wyeth 02/15/16 5.500 2,267,464
3,929,655
RAILROADS--0.30%
750 Canadian National Railway Co. 03/15/13 4.400 698,443
555 Union Pacific Corp. 12/01/06 6.700 556,758
1,255,201
REAL ESTATE INVESTMENT TRUSTS--0.90%
340 Archstone-Smith Operating Trust 08/15/07 5.000 337,620
555 AvalonBay Communities, Inc. MTN 08/01/07 5.000 547,693
280 AvalonBay Communities, Inc. MTN 11/01/12 6.125 285,263
780 ERP Operating LP 03/15/12 6.625 814,580
800 Prologis 11/15/10 5.250 784,726
225 Rouse Co. 03/15/09 3.625 209,324
315 Rouse Co. 11/26/13 5.375 287,922
460 Spieker Properties LP 01/15/08 6.750 465,073
3,732,201
</Table>
119
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
CORPORATE NOTES--(CONCLUDED)
RETAIL--0.15%
$ 130 Federated Department Stores 09/01/08 6.625% $ 132,530
440 May Department Stores Co. 10/15/16 7.450 473,476
606,006
SOFTWARE--0.48%
1,700 Oracle Corp./Ozark Holdings 01/15/11 5.000 1,655,700
350 Oracle Corp./Ozark Holdings 01/15/16 5.250 332,471
1,988,171
SPECIALTY PURPOSE ENTITY--0.41%
330 BAE Systems Holdings, Inc. (2) 08/15/15 5.200 307,643
1,425 UnitedHealth Group 03/15/11 5.250 1,403,709
1,711,352
TELECOMMUNICATIONS--1.91%
1,585 AT&T Broadband Corp. 03/15/13 8.375 1,775,180
110 Cox Communications, Inc. 11/01/10 7.750 117,528
350 Cox Communications, Inc. 10/01/12 7.125 364,453
725 SBC Communications, Inc. (2) 06/05/07 4.214 716,648
95 SBC Communications, Inc. 02/01/12 5.875 94,718
475 Sprint Capital Corp. 01/30/11 7.625 506,975
100 TCI Communications, Inc. 08/01/13 7.875 108,562
50 TCI Communications, Inc. 08/01/15 8.750 57,461
265 Telecom Italia Capital 11/15/13 5.250 248,345
205 Telecom Italia Capital 10/01/15 5.250 188,442
1,450 Telefonica Emisones SAU 06/20/16 6.421 1,468,051
235 Telefonica Europe BV 09/15/10 7.750 250,954
2,030 Verizon New Jersey, Inc. 01/17/12 5.875 2,012,053
7,909,370
UTILITIES--0.90%
875 Dominion Resources, Inc. 11/15/06 3.660 870,214
650 Dominion Resources, Inc. 12/15/09 5.125 638,961
100 Dominion Resources, Inc. 09/15/14 7.195 106,334
950 Nisource Finance Corp. 11/23/09 5.764^ 951,369
1,075 Nisource Finance Corp. 11/15/10 7.875 1,153,049
3,719,927
WIRELESS TELECOMMUNICATIONS--0.45%
900 Vodafone Group PLC 01/30/08 3.950 879,939
920 Vodafone Group PLC 02/15/10 7.750 977,541
1,857,480
- --------------------------------------------------------------------------------------------------
Total corporate notes (cost--$130,236,320) 127,938,559
==================================================================================================
INTERNATIONAL GOVERNMENT OBLIGATIONS--0.27%
685 United Mexican States 03/03/15 6.625 714,113
400 United Mexican States 09/27/34 6.750 407,400
- --------------------------------------------------------------------------------------------------
Total international government obligations (cost--$1,095,651) 1,121,513
==================================================================================================
</Table>
120
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
SHORT-TERM INTERNATIONAL GOVERNMENT OBLIGATIONS^^--1.25%
FRANCE--1.25%
EUR4,068 Republic of France Treasury Bills (cost--$5,151,478) 10/05/06 2.923 to
2.928% $5,164,590
SHORT-TERM US GOVERNMENT AGENCY OBLIGATION^^--0.51%
2,100 Federal Home Loan Bank (cost--$2,098,205) 08/07/06 5.130 2,098,205
REPURCHASE AGREEMENT--0.02%
91 Repurchase agreement dated 07/31/06 with State
Street Bank & Trust Co., collateralized by $95,454
US Treasury Notes, 3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$92,820); proceeds: $91,012
(cost--$91,000) 08/01/06 4.860 91,000
</Table>
<Table>
<Caption>
NUMBER OF
SHARES
(000)
- --------------------------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--2.55%
MONEY MARKET FUNDS+--0.37%
++0 AIM Prime Portfolio 5.216 222
1,543 UBS Private Money Market Fund LLC ** 5.195 1,543,142
- --------------------------------------------------------------------------------------------------
Total money market funds (cost--$1,543,364) 1,543,364
==================================================================================================
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)*
- -------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.18%
4,000 Repurchase agreement dated 07/31/06 with Barclays
Bank PLC, collateralized by $4,055,000 Federal Home
Loan Mortgage Corp. obligations, 4.790% due 08/04/10;
(value--$4,080,631); proceeds: $4,000,584 08/01/06 5.260 4,000,000
5,000 Repurchase agreement dated 07/31/06 with Deutsche
Bank Securities, Inc., collateralized by $5,137,000
Federal Home Loan Mortgage Corp. obligations, 2.700%
due 03/16/07; (value--$5,100,707); proceeds:
$5,000,731 08/01/06 5.260 5,000,000
- -------------------------------------------------------------------------------------------------------
Total repurchase agreements (cost--$9,000,000) 9,000,000
=======================================================================================================
Total investments of cash collateral from securities
loaned (cost--$10,543,364) 10,543,364
=======================================================================================================
Total investments (cost--$484,572,390)--116.08% 479,640,317
=======================================================================================================
Liabilities in excess of other assets--(16.08)% (66,446,059)
Net assets--100.00% $413,194,258
</Table>
* In US Dollars unless otherwise indicated.
(1) Security, or portion thereof, was on loan at July 31, 2006.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 3.94% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(3) Illiquid security representing 0.35% of net assets as of July 31, 2006.
^ Floating rate securities. The interest rates shown are the current rates as
of July 31, 2006.
121
<Page>
^^ Interest rate shown is the discount rate at date of purchase.
+ Interest rates shown reflect yield at July 31, 2006.
++ Amount represents less than 500 shares.
+++ Perpetual bond security. The maturity date reflects the next call date.
+/- Variable rate securities--The interest rates shown are the current rates
as of July 31, 2006, and reset at the next call date.
^^^ Entire amount pledged as collateral for futures transactions.
ARM Adjustable Rate Mortgage--The interest rates shown are the current rates
as of July 31, 2006.
CDO Collateralized Debt Obligation.
EUR Euro Dollar.
FHLB Federal Home Loan Bank.
FHLMC Federal Home Loan Mortgage Corporation.
FNMA Federal National Mortgage Association.
GMAC General Motors Acceptance Corporation.
GNMA Government National Mortgage Association.
MTN Medium Term Note.
REMIC Real Estate Mortgage Investment Conduit.
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
<Table>
<Caption>
INCOME
PURCHASES SALES EARNED FROM
DURING THE DURING THE AFFILIATE FOR
SECURITY VALUE AT YEAR ENDED YEAR ENDED VALUE AT THE YEAR ENDED
DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- -----------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $21,399,173 $314,784,667 $334,640,698 $1,543,142 $11,689
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
NUMBER OF IN EXPIRATION APPRECIATION
CONTRACTS CONTRACTS TO RECEIVE EXCHANGE FOR DATES (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
480 US Treasury Note 10 Year Futures $50,513,351 September 2006 $381,649
CONTRACTS TO DELIVER
5 US Treasury Bond 20 Year Futures 536,709 September 2006 (4,697)
41 US Treasury Note 5 Year Futures 4,263,632 September 2006 (9,337)
(14,034)
$367,615
</Table>
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 94.3%
United Kingdom 1.4
France 1.1
Norway 1.0
Luxembourg 0.4
Spain 0.3
Canada 0.3
Germany 0.3
Ireland 0.3
Mexico 0.2
Singapore 0.1
Italy 0.1
Sweden 0.1
Netherlands 0.1
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
122
<Page>
UBS PACE Select Advisors Trust
UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- ------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS--0.47%
$2,700 US Treasury Notes (cost--$2,634,546) 12/15/10 4.375% $ 2,643,787
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--0.10%
102 GNMA 06/15/17 8.000 107,251
117 GNMA 07/15/17 8.000 122,892
62 GNMA 09/15/17 8.000 65,446
138 GNMA 11/15/17 8.000 145,139
16 GNMA II ARM 11/20/23 5.125 16,002
19 GNMA II ARM 07/20/25 4.750 19,051
43 GNMA II ARM 01/20/26 5.375 42,993
63 GNMA II ARM 05/20/26 4.375 63,465
- ------------------------------------------------------------------------------------------------
Total government national mortgage
association certificates (cost--$585,976) 582,239
================================================================================================
FEDERAL HOME LOAN BANK CERTIFICATE--0.33%
1,900 FHLB (cost--$1,841,888) 12/20/11 5.000 1,852,610
FEDERAL HOME LOAN MORTGAGE CORPORATION CERTIFICATES--1.79%
3,747 FHLMC 11/01/08 4.500 3,656,920
1,531 FHLMC 05/01/25 7.645 1,609,915
2,272 FHLMC 05/01/35 5.500 2,192,555
376 FHLMC 09/01/35 5.000 355,722
189 FHLMC 10/01/35 5.000 178,648
1,674 FHLMC 11/01/35 5.000 1,584,075
599 FHLMC 04/01/36 5.500 578,881
- ------------------------------------------------------------------------------------------------
Total federal home loan mortgage
corporation certificates (cost--$10,313,919) 10,156,716
================================================================================================
FEDERAL HOUSING ADMINISTRATION CERTIFICATES--0.05%
174 FHA GMAC 06/30/21 7.430 174,352
82 FHA Reilly 08/01/20 7.430 82,225
43 FHA Reilly 10/01/20 7.430 43,008
- ------------------------------------------------------------------------------------------------
Total federal housing administration
certificates (cost--$311,630) 299,585
================================================================================================
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--9.85%
3,656 FNMA 12/01/09 6.970 3,801,158
73 FNMA 01/01/35 5.500 71,028
942 FNMA 09/01/35 5.000 892,140
1,000 FNMA 11/01/35 5.500 971,807
858 FNMA 01/01/36 5.500 833,594
1,182 FNMA 03/01/36 5.500 1,147,989
790 FNMA 04/01/36 5.500 767,725
4,528 FNMA 05/01/36 5.500 4,397,501
2,142 FNMA 06/01/36 5.500 2,080,549
82 FNMA ARM 04/01/27 6.205 83,518
114 FNMA ARM 05/01/27 6.191 116,004
292 FNMA ARM 05/01/30 5.321 294,093
3,029 FNMA ARM 07/01/34 4.518 2,978,761
18,233 FNMA ARM 11/01/34 4.192 17,951,990
</Table>
123
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- ------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--(CONCLUDED)
$ 556 FNMA ARM 08/01/40 5.543% $ 561,675
262 FNMA ARM COFI 11/01/26 3.498^ 262,755
16,000 FNMA TBA TBA 5.000 15,130,000
2,200 FNMA TBA TBA 5.500 2,136,064
1,500 FNMA TBA TBA 6.000 1,489,218
- ------------------------------------------------------------------------------------------------------
Total federal national mortgage association
certificates (cost--$56,077,132) 55,967,569
======================================================================================================
</Table>
<Table>
COLLATERALIZED MORTGAGE OBLIGATIONS--43.36%
7,495 Banc of America Funding Corp., Series 2005-D, Class A1 05/25/35 4.114^ 7,254,000
16 Bank of America Mortgage Securities, Inc.,
Series 2002-G, Class 1A3 07/20/32 6.691^ 15,884
5,500 Bear Stearns Commerical Mortgage Securities,
Series 2006-BBA7, Class A1 (1) 03/15/19 5.479^ 5,499,922
108 Bear Stearns, Series 2002-2, Class 3A 06/25/31 6.742^ 109,835
111 Bear Stearns, Series 2003-1, Class 5A1 04/25/33 5.450^ 109,079
354 Bear Stearns, Series 2003-1, Class 6A1 04/25/33 5.062^ 352,456
773 Bear Stearns, Series 2003-3, Class 1A 10/25/33 5.075^ 775,623
3,638 Bear Stearns, Series 2004-3, Class 1A2 07/25/34 3.831^ 3,619,937
5,400 Bear Stearns, Series 2004-6, Class 1A1 09/25/34 4.552^ 5,348,800
5,882 Bear Stearns, Series 2004-6, Class 2A1 09/25/34 5.095^ 5,824,289
5,598 Bear Stearns, Series 2004-7, Class 1A1 10/25/34 4.923^ 5,593,747
2,479 Bear Stearns, Series 2004-9, Class 2A1 09/25/34 5.344^ 2,459,616
335 Citicorp Mortgage Securities, Inc.,
Series 2002-12, Class 2A1 12/25/32 5.250 328,089
2,699 Citigroup Mortgage Loan Trust, Inc.,
Series 2005-11, Class A1A 12/25/35 4.900^ 2,659,716
5,011 Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR1, Class 1A1 10/25/35 4.900^ 4,921,521
1,588 Countrywide Alternative Loan Trust,
Series 2003-J3, Class 2A1 12/25/33 6.250 1,579,945
2,957 Countrywide Home Loans, Series 2003-R4, Class 2A (1) 01/25/34 6.500 2,995,640
3,246 Countrywide Home Loans, Series 2004-12, Class 11A2 08/25/34 4.227^ 3,203,918
297 FHLMC REMIC, Series 1278, Class K 05/15/22 7.000 296,159
5 FHLMC REMIC, Series 1367, Class KA 09/15/22 6.500 5,137
1,383 FHLMC REMIC, Series 1502, Class PXZ 04/15/23 7.000 1,415,737
464 FHLMC REMIC, Series 1503, Class PZ 05/15/23 7.000 474,018
511 FHLMC REMIC, Series 1534, Class Z 06/15/23 5.000 496,800
394 FHLMC REMIC, Series 1548, Class Z 07/15/23 7.000 403,641
583 FHLMC REMIC, Series 1562, Class Z 07/15/23 7.000 599,170
148 FHLMC REMIC, Series 1694, Class Z 03/15/24 6.500 148,149
1,139 FHLMC REMIC, Series 2061, Class Z 06/15/28 6.500 1,143,058
512 FHLMC REMIC, Series 2400, Class FQ 01/15/32 5.869^ 517,479
5,617 FHLMC REMIC, Series 2579, Class DZ 03/15/34 5.000 4,680,391
2,221 FHLMC REMIC, Series 2764, Class LZ 03/15/34 4.500 1,666,380
3,978 FHLMC REMIC, Series 2764, Class ZG 03/15/34 5.500 3,609,028
3,081 FHLMC REMIC, Series 2835, Class JZ 08/15/34 5.000 2,731,337
</Table>
124
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- -------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--(CONTINUED)
$10,673 FHLMC REMIC, Series 2849, Class PZ 07/15/33 5.000% $ 9,103,822
6,200 FHLMC REMIC, Series 2921, Class PG 01/15/35 5.000 5,615,395
4,134 FHLMC REMIC, Series 2981, Class XZ 03/15/35 5.000 3,471,106
4,611 FHLMC REMIC, Series 2983, Class TZ 05/15/35 6.000 4,444,279
6,421 FHLMC REMIC, Series 3149, Class CZ 05/15/36 6.000 5,997,955
352 FHLMC REMIC, Series G23, Class KZ 11/25/23 6.500 359,214
1,976 FHLMC REMIC, Series T-054, Class 2A 02/25/43 6.500 1,999,830
7,573 FHLMC REMIC, Series T-058, Class 2A 09/25/43 6.500 7,670,872
6,248 FHLMC REMIC, Series T-061, Class 1A1 07/25/44 5.543^ 6,304,651
236 FNMA REMIC, Series 1998-066, Class FG 12/25/28 5.685^ 236,734
40 FNMA REMIC, Series 2000-034, Class F 10/25/30 5.835^ 40,666
3,706 FNMA REMIC, Series 2002-080, Class A1 11/25/42 6.500 3,754,543
8,419 FNMA REMIC, Series 2003-064, Class AH 07/25/33 6.000 8,208,140
254 FNMA REMIC, Series 2003-W8, Class 2A 10/25/42 7.000 259,298
4,377 FNMA REMIC, Series 2004-T1, Class 1A1 01/25/44 6.000 4,368,129
5,543 FNMA REMIC, Series 2004-W8, Class 2A 06/25/44 6.500 5,623,762
3,664 FNMA REMIC, Series 2005-09, Class ZA 02/25/35 5.000 2,974,648
1,216 FNMA REMIC, Series 2005-024, Class ZE 04/25/35 5.000 989,598
422 FNMA REMIC, Series 2005-054, Class ZM 06/25/35 4.500 316,616
5,679 FNMA REMIC, Series 2005-116, Class TZ 01/25/36 5.500 5,023,738
6,195 FNMA REMIC, Series 2005-120, Class ZU 01/25/36 5.500 5,562,188
2,800 FNMA REMIC, Series 2006-065, Class GD 07/25/26 6.000 2,808,569
25 FNMA REMIC, Trust Series 1991-065, Class Z 06/25/21 6.500 25,188
57 FNMA REMIC, Trust Series 1992-040, Class ZC 07/25/22 7.000 59,223
30 FNMA REMIC, Trust Series 1992-129, Class L 07/25/22 6.000 29,742
82 FNMA REMIC, Trust Series 1993-037, Class PX 03/25/23 7.000 84,840
506 FNMA REMIC, Trust Series 1993-060, Class Z 05/25/23 7.000 523,561
591 FNMA REMIC, Trust Series 1993-065, Class ZZ 06/25/13 7.000 599,439
75 FNMA REMIC, Trust Series 1993-070, Class Z 05/25/23 6.900 77,196
434 FNMA REMIC, Trust Series 1993-096, Class PZ 06/25/23 7.000 447,782
68 FNMA REMIC, Trust Series 1993-160, Class ZB 09/25/23 6.500 67,980
38 FNMA REMIC, Trust Series 1993-163, Class ZA 09/25/23 7.000 39,021
431 FNMA REMIC, Trust Series 1994-023, Class PX 08/25/23 6.000 431,395
577 FNMA REMIC, Trust Series 1998-M5, Class B 09/25/07 6.270 576,222
2,032 FNMA REMIC, Trust Series 1998-M7, Class Z 05/25/36 6.390 2,082,660
1,786 FNMA REMIC, Trust Series 1999-W4, Class A9 02/25/29 6.250 1,784,609
299 GNMA REMIC, Trust Series 2000-009, Class FG 02/16/30 5.969^ 302,615
317 GNMA REMIC, Trust Series 2002-031, Class FW 06/16/31 5.768^ 319,779
11,730 GNMA REMIC, Trust Series 2003-98, Class Z 11/20/33 6.000 11,348,949
5,164 GNMA REMIC, Trust Series 2005-26, Class ZA 01/20/35 5.500 4,628,647
4,267 GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 09/25/35 4.541 4,173,492
745 Housing Security, Inc., Series 1992-8, Class B 06/25/24 5.230^ 739,808
384 Keycorp Student Loan Trust, Series 1996-A, Class A2 08/27/25 5.368^ 385,450
1,336 Lehman Brothers Mortgage Trust, Series 1991-2, Class A3 01/20/17 8.412^ 1,488,411
</Table>
125
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- ------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--(CONCLUDED)
$1,459 Residential Asset Mortgage Products, Inc.,
Series 2006-RS1, Class AI1 01/25/36 5.465%^ $ 1,458,968
2,123 Residential Funding Mortgage Security I,
Series 2004-S2, Class A1 03/25/34 5.250 2,068,192
2,300 Residential Funding Mortgage Security I,
Series 2004-S9, Class 1A23 12/25/34 5.500 2,111,447
1,145 Small Business Administration, Series 1999-20K, Class 1 11/01/19 7.060 1,188,378
1,456 Small Business Administration, Series 2000-20K, Class 1 11/01/20 7.220 1,537,720
2,708 Small Business Administration, Series 2001-P10B, Class 1 08/01/11 6.344 2,772,987
4,815 Small Business Administration, Series 2002-20K, Class 1 11/01/22 5.080 4,697,514
847 Small Business Administration, Series 2003-20I, Class 1 09/01/23 5.130 826,775
2,347 Small Business Administration, Series 2003-20L, Class 1 12/01/23 4.890 2,255,414
8,424 Small Business Administration, Series 2004-P10A, Class 1 02/10/14 4.504 8,017,887
2,746 Small Business Administration, Series 2005-20H, Class 1 08/01/25 5.110 2,659,564
2,722 Structured ARM Loan Trust, Series 2004-8, Class 3A 07/25/34 5.000 2,687,777
1,422 Structured Asset Mortgage Investments, Inc.,
Series 2002-AR3, Class A1 09/19/32 5.700^ 1,423,521
4,970 Structured Asset Mortgage Investments, Inc.,
Series 2006-AR3, Class 11A1 04/25/36 5.595^ 4,969,559
4,167 Structured Asset Securities Corp.,
Series 2001-SB1, Class A2 08/25/31 3.375 3,743,733
408 Washington Mutual Mortgage Securities Corp.,
Series 2002-AR6, Class A 06/25/42 5.682^ 408,900
160 Washington Mutual Mortgage Securities Corp.,
Series 2002-AR11, Class A1 10/25/32 5.119^ 158,892
569 Washington Mutual Mortgage Securities Corp.,
Series 2005-AR1, Class A1A 01/25/45 5.705^ 569,609
679 Washington Mutual Mortgage Securities Corp.,
Series 2005-AR2, Class 2A1A 01/25/45 5.695^ 681,985
5,588 Washington Mutual Mortgage Securities Corp.,
Series 2006-AR7, Class 3A 07/25/46 5.384^ 5,579,299
2,800 Washington Mutual Mortgage Securities Corp.,
Series 2006-AR9, Class 2A 08/25/46 5.384^ 2,794,750
2,881 Wells Fargo Mortgage Backed Securities Trust,
Series 2003-M, Class A1 12/25/33 4.713^ 2,755,691
4,855 Wells Fargo Mortgage Backed Securities Trust,
Series 2006-AR2, Class 2A1 03/25/36 4.950 4,770,400
- ------------------------------------------------------------------------------------------------------
Total collateralized mortgage obligations (cost--$253,055,422) 246,327,225
======================================================================================================
ASSET-BACKED SECURITIES--11.83%
2,353 Ace Securities Corp., Series 2005-HE6, Class A2A 10/25/35 5.495^ 2,352,972
1,325 Ace Securities Corp., Series 2006-HE3, Class A2A 06/25/36 5.435^ 1,324,566
4,745 Accredited Mortgage Loan Trust,
Series 2006-2, Class A1 09/25/36 5.425^ 4,744,928
3,035 Argent Securities, Inc., Series 2005-W4, Class A1A1 02/25/36 5.505^ 3,035,793
2,500 Argent Securities, Inc., Series 2005-W4, Class A2A 02/25/36 5.525^ 2,500,374
275 Asset Backed Funding Certificates,
Series 2005-HE2, Class A2A 06/25/35 5.495^ 274,781
</Table>
126
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- -----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--(CONCLUDED)
$5,372 Carrington Mortgage Loan Trust,
Series 2006-FRE1, Class A1 07/25/36 5.450%^ $ 5,371,801
5,529 Countrywide Asset-Backed Certificates,
Series 2006-8, Class 2A1 01/25/46 5.371^ 5,529,019
107 Delta Funding Home Equity Loan Trust,
Series 1999-003, Class A1A 09/15/29 6.189^ 107,351
2,811 Fannie Mae Grantor Trust,
Series 2005-T2, Class 2A2 11/28/35 5.261^ 2,812,122
1,554 First Franklin Mortgage Loan Asset Backed
Certificates, Series 2006-FF8, Class 2A1 07/25/36 5.415^ 1,554,068
3,004 Fremont Home Loan Trust,
Series 2006-A, Class 2A1 05/25/36 5.120^ 3,004,344
1,200 Fremont Home Loan Trust,
Series 2006-A, Class 2A2 05/25/36 5.485^ 1,199,979
376 Long Beach Mortgage Loan Trust,
Series 2006-2, Class 2A1 03/25/36 5.455^ 376,253
1,613 Long Beach Mortgage Loan Trust,
Series 2006-3, Class 2A1 04/25/36 5.445^ 1,613,528
5,147 Merrill Lynch Mortgage Investors, Inc.,
Series 2006-AHL1, Class A2A 05/25/37 5.435^ 5,145,927
2,401 Merrill Lynch Mortgage Investors, Inc.,
Series 2006-RM2, Class A2A 05/25/37 5.415^ 2,401,326
686 Mid-State Trust Series 4, Class A 04/01/30 8.330 706,814
5,181 Morgan Stanley ABS Capital I,
Series 2006-WMC2, Class A2A 07/25/36 5.425^ 5,180,488
2,344 New Century Home Equity Loan Trust,
Series 2006-2, Class A2A 08/25/36 5.455^ 2,343,731
1,647 Residential Asset Securities Corp.,
Series 2006-EMX4, Class A1 06/25/36 5.425^ 1,647,017
2,011 Residential Asset Securities Corp.,
Series 2006-KS4, Class A1 06/25/36 5.363^ 2,011,187
4,574 Residential Asset Securities Corp.,
Series 2006-KS5, Class A1 07/25/36 5.420^ 4,573,434
5,317 Soundview Home Equity Loan Trust,
Series 2006-OPT5, Class 2A1 07/25/36 5.415^ 5,317,182
2,100 Wachovia Student Loan Trust,
Series 2006-1, Class A1(1) 10/25/13 5.429^ 2,100,000
- -----------------------------------------------------------------------------------------------------
Total asset-backed securities (cost--$67,235,521) 67,228,985
=====================================================================================================
STRIPPED MORTGAGE-BACKED SECURITIES++--0.00%
17 FNMA REMIC, Trust Series 1993-40, Class P+ (cost--$723) 04/25/08 7.000 790
CORPORATE NOTES--15.13%
AEROSPACE& DEFENSE--0.21%
1,200 BAE Systems Holdings, Inc. (1) 08/15/08 5.570^ 1,202,258
AIRLINES--0.00%
348 United Air Lines, Inc.+ (a) 11/27/12 10.360 17,423
</Table>
127
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- --------------------------------------------------------------------------------------------
CORPORATE NOTES--(CONTINUED)
AUTOMOTIVE--0.60%
$2,900 DaimlerChrysler N.A. Holding 03/13/09 5.740%^ $ 2,903,019
500 DaimlerChrysler N.A. Holding 11/15/13 6.500 505,401
3,408,420
BANKING-NON-US--0.56%
2,900 Resona Bank Ltd. (1) 04/15/16++++ 5.850+/- 2,758,103
400 VTB Capital (Vneshtorgbank) (1) 09/21/07 6.174^ 399,600
3,157,703
BANKING-US--0.76%
2,800 Bank of America Corp. 06/19/09 5.406^ 2,799,437
1,500 Wachovia Bank N.A. 12/02/10 5.308^ 1,499,894
4,299,331
DIVERSIFIED FINANCIALS--3.49%
4,900 CIT Group, Inc. 11/24/08 5.000 4,852,298
3,300 CIT Group, Inc. 06/08/09 5.380^ 3,301,383
2,800 General Electric Capital Corp. 06/15/09 5.429^ 2,804,161
2,500 Goldman Sachs Group, Inc. 12/22/08 5.527^ 2,501,600
400 Goldman Sachs Group, Inc. 10/15/13 5.250 386,708
1,200 Hutchison Whampoa International Ltd. 11/24/10 5.450 1,182,968
2,600 Lehman Brothers Holdings, Inc. 01/23/09 5.601^ 2,601,828
2,300 Sumitomo Mitsui Banking (1) 10/15/15++++ 5.625+/- 2,182,219
19,813,165
ELECTRIC UTILITIES--0.30%
1,800 PSE&G Power LLC 04/01/14 5.000 1,681,250
ENERGY-INTEGRATED--0.28%
1,500 CMS Energy Corp. 07/15/08 8.900 1,563,750
FINANCE-NONCAPTIVE DIVERSIFIED--0.33%
800 Ford Motor Credit Corp. 03/13/07 5.510^ 789,280
1,100 Ford Motor Credit Corp. 03/21/07 6.374^ 1,097,575
1,886,855
FINANCIAL SERVICES--2.63%
900 Bear Stearns Co., Inc. 01/31/11 5.715^ 900,880
200 Bombardier Capital, Inc.+ 03/30/07 7.090 200,000
1,200 Citigroup, Inc. 05/02/08 5.199^ 1,201,231
700 Citigroup, Inc. 05/18/11 5.263^ 699,726
1,400 General Motors Acceptance Corp. (2) 09/15/06 6.125 1,399,423
3,500 General Motors Acceptance Corp. 03/20/07 6.039^ 3,486,441
1,400 HSBC Finance Capital Trust IX 11/30/35 5.911^ 1,363,904
300 HSBC Finance Corp. 09/15/08 5.459^ 300,663
2,800 HSBC Finance Corp. 06/19/09 5.504^ 2,800,787
2,600 SLM Corp. 03/15/11 5.529^ 2,597,933
14,950,988
</Table>
128
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- --------------------------------------------------------------------------------------------
CORPORATE NOTES--(CONCLUDED)
FOREST PRODUCTS--0.31%
$1,333 Koch Forest Products, Inc.+ 12/20/12 7.300%^ $ 1,333,382
333 Koch Forest Products, Inc. 12/20/12 7.350^ 333,346
75 Koch Forest Products, Inc.+ 12/20/12 7.499^ 74,586
1,741,314
HOTELS, RESTAURANTS & LEISURE--0.43%
1,200 Host Marriott LP 10/01/07 9.250 1,239,000
1,200 Starwood Hotels Resorts 05/01/07 7.375 1,207,500
2,446,500
HOTELS/GAMING--0.45%
1,100 MGM Mirage, Inc. 08/01/07 6.750 1,104,125
1,400 MGM Mirage, Inc. 09/15/10 8.500 1,461,250
2,565,375
MEDIA--0.87%
2,000 Cox Enterprises, Inc. (1) 02/15/07 8.000 2,016,802
200 Echostar DBS Corp. 10/01/08 5.750 197,500
1,300 Time Warner, Inc. 08/15/06 8.110 1,300,963
1,400 Viacom, Inc. (1) 06/16/09 5.691^ 1,399,894
4,915,159
MEDICAL PRODUCTS--0.17%
1,000 HCA, Inc. 11/06/08 5.250 980,000
OIL & GAS--0.63%
1,600 El Paso Corp. 12/15/07 6.950 1,608,000
2,000 Williams Cos., Inc. 02/16/07 5.935 1,997,500
3,605,500
OIL REFINING--0.17%
1,000 Enterprise Products Operating L.P. Series B 10/15/09 4.625 964,613
OIL SERVICES--0.61%
300 Pemex Project Funding Master Trust (1) 12/03/12 5.871^ 299,250
3,000 Pemex Project Funding Master Trust 12/15/14 7.375 3,195,084
3,494,334
PAPER & PACKAGING--0.15%
900 Packaging Corp. of America 08/01/13 5.750 868,390
SOFTWARE--0.25%
1,400 Oracle Corp./Ozark Holdings 01/13/09 5.730^ 1,401,273
TELECOMMUNICATIONS--1.93%
1,300 Embarq Corp. 06/01/13 6.738 1,312,484
2,800 Telefonica Emisones SAU 06/19/09 5.714^ 2,802,187
3,400 Verizon Communications 02/15/16 5.550 3,238,157
1,000 Verizon North, Inc.* 01/01/21 5.634 924,090
2,700 Vodafone Group PLC 06/29/07 5.560^ 2,699,438
10,976,356
- --------------------------------------------------------------------------------------------
Total corporate notes (cost--$86,820,603) 85,939,957
============================================================================================
</Table>
129
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- ------------------------------------------------------------------------------------------------------------
INTERNATIONAL GOVERNMENT OBLIGATIONS--2.93%
$ 432 Federal Republic of Brazil 01/15/18 8.000% $ 467,856
100 Federal Republic of Brazil 10/14/19 8.875 116,000
JPY992,000 Republic of Italy 10/10/06 0.375 8,655,160
JPY484,000 Republic of Italy 03/27/08 3.800 4,427,828
2,000 Russian Federation 06/26/07 10.000 2,072,600
75 Russian Federation 03/31/30 5.000^ 81,623
500 United Mexican States 09/24/22 8.000 578,250
200 United Mexican States 08/15/31 8.300 240,500
- ------------------------------------------------------------------------------------------------------------
Total international government obligations (cost--$16,878,628) 16,639,817
============================================================================================================
MUNICIPAL BONDS AND NOTES--3.33%
TOBACCO--2.31%
200 Golden State Tobacco Securitization Corp. 06/01/39 6.750 224,312
830 Golden State Tobacco Securitization Corp., Series 2003 A-1 06/01/33 6.250 906,842
3,100 Tobacco Settlement Funding Corp. 06/01/39 6.750 3,453,803
1,110 Tobacco Settlement Funding Corp., New Jersey 06/01/32 5.750 1,158,718
230 Tobacco Settlement Funding Corp., New Jersey 06/01/32 6.375 249,874
900 Tobacco Settlement Funding Corp., New Jersey 06/01/42 6.125 953,640
200 Tobacco Settlement Funding Corp., Rhode Island, Series A 06/01/42 6.250 209,560
1,075 Tobacco Settlement Funding Corp., Series 2001-B 05/15/39 5.875 1,128,557
204 Tobacco Settlement Funding Corp., Virginia 06/01/13 4.000 203,182
1,100 Tobacco Settlement Funding Corp., Virginia 06/01/37 5.625 1,136,806
94 Tobacco Settlement Revenue Management Authority,
South Carolina Tobacco Settlement Revenue, Series A 05/15/16 7.666 94,093
3,030 Tobacco Settlement Revenue Management Authority,
South Carolina Tobacco Settlement Revenue, Series B 05/15/30 6.375 3,405,750
13,125,137
UTILITIES--1.02%
3,200 New York City Municipal Finance Authority Water &
Sewer Systems Revenue, Series D 06/15/38 4.750 3,202,336
2,700 Tennessee Valley Authority 04/01/56 5.375 2,602,654
5,804,990
- ------------------------------------------------------------------------------------------------------------
Total municipal bonds and notes (cost--$18,078,988) 18,930,127
============================================================================================================
SHORT-TERM INTERNATIONAL GOVERNMENT OBLIGATIONS@--1.63%
EUR 6,660 Dutch Treasury Certificate 10/31/06 2.905 8,436,749
EUR 600 Federal Republic of Germany Treasury Bill 08/16/06 2.668 764,838
EUR 40 Republic of France Treasury Bill 08/03/06 2.646 50,837
- ------------------------------------------------------------------------------------------------------------
Total short-term international government obligations (cost--$9,155,882) 9,252,424
============================================================================================================
CERTIFICATES OF DEPOSIT--0.49%
NON-US--0.49%
2,800 UniCredito Italiano SpA (cost--$2,799,159) 12/13/07 5.298(b) 2,799,159
</Table>
130
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)# DATES RATES VALUE
- --------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER@--8.91%
BANKING-US--7.18%
$15,500 Barclays US Funding Corp. 10/26/06 5.385% $15,300,605
8,800 Dexia Delaware LLC 10/27/06 5.360 8,686,011
16,900 Societe Generale N.A., Inc. 08/22/06 to 4.985 to
10/12/06 5.380 16,811,017
40,797,633
OIL & GAS--1.73%
9,800 Total Fina Elf 08/01/06 5.290 9,800,000
- --------------------------------------------------------------------------------------------------------------
Total commercial paper (cost--$50,597,633) 50,597,633
==============================================================================================================
SHORT-TERM CORPORATE OBLIGATION--0.05%
HEALTHCARE--0.05%
300 Columbia HCA Healthcare Corp. (cost--$303,677) 01/01/07 8.850 302,691
SHORT-TERM US GOVERNMENT OBLIGATION@--0.35%
1,990 US Treasury Bills ^^ (cost--$1,979,798) 08/31/06 to 4.715 to
09/14/06 4.805 1,979,798
REPURCHASE AGREEMENTS--2.43%
10,000 Repurchase agreement dated 07/31/06 with
Lehman Brothers, collateralized by $10,140,000
US Treasury Notes, 5.125% due 06/30/08;
(value--$10,213,880); proceeds: $10,001,453 08/01/06 5.230 10,000,000
3,803 Repurchase agreement dated 07/31/06 with
State Street Bank & Trust Co., collateralized by
$3,830,000 US Treasury Notes, 5.125% due 06/30/11;
(value--$3,882,663); proceeds: $3,803,513 08/01/06 4.860 3,803,000
- --------------------------------------------------------------------------------------------------------------
Total repurchase agreements (cost--$13,803,000) 13,803,000
==============================================================================================================
</Table>
<Table>
<Caption>
NUMBER OF
CONTRACTS
(000)
- ---------------------------------------------------------------------------------------------
OPTIONS--0.06%
CALL OPTIONS PURCHASED--0.06%
27,000 3 Month LIBOR Interest Rate Swap(3), strike @ 4.50%, expires 10/18/06 + 0
29,900 3 Month LIBOR Interest Rate Swap(3), strike @ 5.08%, expires 04/19/07 + 72,956
22,100 3 Month LIBOR Interest Rate Swap(3), strike @ 5.37%, expires 07/02/07 + 121,108
19,100 3 Month LIBOR Interest Rate Swap(3), strike @ 5.50%, expires 06/30/07 + 131,026
156 US Treasury Note 5 Year Futures, strike @ 9.06%, expires 08/25/06 2,437
- ---------------------------------------------------------------------------------------------
Total call options purchased 327,527
=============================================================================================
PUT OPTIONS PURCHASED--0.00%
120 90 Day Euro Dollar Futures, strike @ 90.50, expires 09/17/07 300
1,580 Euro Dollar Options, strike @ 91.25, expires 06/18/07 3,950
100 Euro Dollar Options, strike @ 92.00, expires 03/19/07 250
395 Euro Dollar Options, strike @ 92.75, expires 12/18/06 988
- ---------------------------------------------------------------------------------------------
Total put options purchased 5,488
- ---------------------------------------------------------------------------------------------
Total options (cost--$406,063) 333,015
=============================================================================================
</Table>
131
<Page>
<Table>
<Caption>
NUMBER OF
SHARES MATURITY INTEREST
(000) DATE RATES VALUE
- -------------------------------------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--0.15%
MONEY MARKET FUNDS+++--0 .06%
- -------------------------------------------------------------------------------------------------------------
^^^ 0 DWS Money Market Series 5.216% $ 4
374 UBS Private Money Market Fund LLC** 5.195 374,261
- -------------------------------------------------------------------------------------------------------------
Total money market funds (cost--$374,265) 374,265
=============================================================================================================
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
- -----------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--0.09%
$500 Repurchase agreement dated 07/31/06 with
Barclays Bank PLC, collateralized by $507,000
Federal Home Loan Mortgage Corp. obligations,
4.790% due 08/04/10; (value--$510,205);
proceeds: $500,073 (cost--$500,000) 08/01/06 5.260 500,000
- -----------------------------------------------------------------------------------------------------------------
Total investments of cash collateral from securities loaned (cost--$874,265) 874,265
=================================================================================================================
Total investments (cost--$593,754,453)--103.24% 586,511,392
=================================================================================================================
Liabilities in excess of other assets--(3.24)% (18,395,741)
- -----------------------------------------------------------------------------------------------------------------
Net assets--100.00% $568,115,651
- -----------------------------------------------------------------------------------------------------------------
</Table>
# In US Dollars unless otherwise indicated.
+ Illiquid securities representing 0.35% of net assets as of July 31, 2006.
++ Interest Only Security. This security entitles the holder to receive
interest payments from an underlying pool of mortgages. The risk
associated with this security is related to the speed of the principal
paydowns. High prepayments would result in a smaller amount of interest
being received and cause the yield to decrease. Low prepayments would
result in a greater amount of interest being received and cause the yield
to increase.
+++ Interest rate shown reflects yield at July 31, 2006.
++++ Perpetual bond security. The maturity date reflects the next call date.
^ Floating rate securities. The interest rates shown are the current rates
as of July 31, 2006.
^^ Partial amount pledged as collateral for futures transactions.
^^^ Amount represents less than 500 shares.
+/- Variable rate securities--The interest rates shown are the current rates
as of July 31, 2006, and reset at the next call date.
@ Interest rates shown are the discount rates at date of purchase.
(1) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 3.67% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(2) Security, or portion thereof, was on loan at July 31, 2006.
(3) 3 Month LIBOR (London Interbank Offered Rate) at July 31, 2006 was 5.466%.
(a) Bond interest in default.
(b) Variable rate security--Maturity date reflects earlier of reset date or
stated maturity date. The interest rate shown is the current rate as of
July 31, 2006 and resets periodically.
ARM Adjustable Rate Mortgage--The interest rates shown are the current rates
as of July 31, 2006.
COFI Cost of Funds Index.
EUR Euro Dollars.
FHA Federal Housing Administration.
FHLB Federal Home Loan Bank.
FHLMC Federal Home Loan Mortgage Corporation.
FNMA Federal National Mortgage Association.
GMAC General Motors Acceptance Corporation.
GNMA Government National Mortgage Association.
JPY Japanese Yen.
REMIC Real Estate Mortgage Investment Conduit.
TBA (To Be Announced) Security is purchased on a forward commitment basis with
an approximate principal amount (generally +/- 1.0%) and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
132
<Page>
* Security exempt from registration under Rule 144A of the Securities Act of
1933. This security, which represents 0.16% of net assets as of July 31,
2006, is considered illiquid and restricted (see table below for more
information).
<Table>
<Caption>
ACQUISITION COST MARKET VALUE
AS A PERCENTAGE AS A PERCENTAGE
ILLIQUID AND ACQUISITION ACQUISITION OF PORTFOLIO'S MARKET OF PORTFOLIO'S
RESTRICTED SECURITY DATE COST NET ASSETS VALUE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
Verizon North, Inc. 5.634%, 01/01/21 04/25/03 $1,000,000 0.18% $924,090 0.16%
</Table>
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
<Table>
<Caption>
INCOME
EARNED FROM
PURCHASES DURING SALES DURING AFFILIATE FOR THE
SECURITY VALUE AT THE YEAR ENDED THE YEAR ENDED VALUE AT YEAR ENDED
DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- -----------------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $8,798,893 $62,647,489 $71,072,121 $374,261 $10,762
</Table>
WRITTEN OPTIONS
<Table>
<Caption>
NUMBER OF
CONTRACTS
(000) VALUE
- --------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN+
12,000 3 Month LIBOR Interest Rate Swap(3), strike @ 4.56%, expires 10/18/06 $ 240
13,000 3 Month LIBOR Interest Rate Swap(3), strike @ 5.22%, expires 04/19/07 90,350
7,200 3 Month LIBOR Interest Rate Swap(3), strike @ 5.50%, expires 07/02/07 113,832
8,300 3 Month LIBOR Interest Rate Swap(3), strike @ 5.60%, expires 06/29/07 134,294
17,000 FNCL 30 yr. TBA Interest Rate Swap, strike @ 6.00%, expires 08/25/06 664
- --------------------------------------------------------------------------------------------
Total written options (premiums received--$398,221) $339,380
============================================================================================
</Table>
(3) 3 Month LIBOR (London Interbank Offered Rate) at July 31, 2006 was 5.466%
+ Illiquid securities representing 0.35% of net assets as of July 31, 2006.
133
<Page>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
NUMBER OF IN EXPIRATION APPRECIATION
CONTRACTS CURRENCY CONTRACTS TO RECEIVE EXCHANGE FOR DATES (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------
115 USD 90 Day Euro Dollar Futures $ 27,393,625 March 2007 $(184,625)
295 USD 90 Day Euro Dollar Futures 69,979,925 June 2007 (101,800)
308 USD 90 Day Euro Dollar Futures 72,937,237 September 2007 74,163
488 USD 90 Day Euro Dollar Futures 115,784,163 December 2007 (79,363)
417 USD 90 Day Euro Dollar Futures 98,904,963 March 2008 (34,263)
237 USD 90 Day Euro Dollar Futures 56,293,250 June 2008 (112,400)
180 USD 90 Day Euro Dollar Futures 42,818,500 September 2008 (160,750)
383 USD US Treasury Note 5 Year Futures 39,853,125 September 2006 62,656
365 USD US Treasury Note 10 Year Futures 38,459,007 September 2006 242,399
24 JPY Japan Bonds 10 Year Futures 27,732,075 September 2006 (48,237)
(342,220)
CONTRACTS TO DELIVER
11 EUR Euro Bond 5 Year Futures 1,536,840 September 2006 (5,757)
$(347,977)
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- ------------------------------------------------------------------------------
Euro Dollar 728,000 USD 919,143 08/31/06 $(12,864)
Euro Dollar 1,393,000 USD 1,762,427 08/31/06 (20,934)
Great Britain Pound 28,000 USD 52,045 09/07/06 (304)
Japanese Yen 100,000,000 USD 874,051 08/15/06 (211)
Japanese Yen 488,864,000 USD 4,461,089 08/15/06 187,136
United States Dollar 52,080 GBP 28,000 09/07/06 269
United States Dollar 275,092 JPY31,838,000 08/29/06 3,854
$156,946
CURRENCY TYPE ABBREVIATIONS:
EUR Euro Dollar
GBP Great Britain Pound
JPY Japanese Yen
USD US Dollar
134
<Page>
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 93.1%
Italy 2.7
Netherlands 1.4
Japan 0.8
Spain 0.5
United Kingdom 0.5
Russia 0.4
Cayman Islands 0.2
Mexico 0.1
Germany 0.1
Brazil 0.1
Luxembourg 0.1
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
135
<Page>
UBS PACE Select Advisors Trust
UBS PACE MUNICIPAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--98.11%
ALABAMA--0.57%
$1,500 Montgomery Special Care Facilities Financing
Authority Revenue Capital Appreciation Refunding
Series B-2 (Escrowed to Maturity) (FSA Insured) 11/15/10 5.000%++ $1,467,540
ALASKA--3.09%
1,110 Alaska Housing Finance Corp. General Housing
Series C (MBIA Insured) 12/01/13 5.000 1,176,489
970 Alaska Housing Finance Corp. Mortgage Series A-2* 12/01/10 5.650 990,632
3,500 Alaska International Airports Revenue Refunding
Series A (MBIA Insured)* 10/01/15 5.500 3,752,000
1,155 Alaska Student Loan Corp. Revenue Series A
(AMBAC Insured)* 07/01/09 5.550 1,205,462
850 Northern Tobacco Securitization Corp. Alaska Tobacco
Settlement Asset-Backed Bonds 06/01/15 4.750 855,202
7,979,785
ARIZONA--1.96%
2,000 Maricopa County Pollution Control Revenue
Refunding Edison Co. Series A
(Mandatory Put 03/02/09 @ 100) 06/01/35 2.900# 1,924,500
25 Pima County Hospital Revenue St. Joseph Hospital Project
(Escrowed to Maturity) 01/01/09 7.500 26,089
1,290 Pima County Industrial Development Authority Single-
Family Mortgage Revenue Capital Appreciation Series B
(FNMA/GNMA Collateralized)* 09/01/25 4.550 1,302,848
1,800 San Manuel Entertainment Series 04-C** 12/01/16 4.500 1,794,744
5,048,181
ARKANSAS--0.00%
10 Springdale Residential Housing Mortgage Series A
(FNMA Collateralized) 09/01/11 7.650 10,552
CALIFORNIA--8.51%
60 California Pollution Control Financing Kaiser Steel Corp.
Project (Escrowed to Maturity) 10/01/08 7.250 61,940
1,465 California State 10/01/08 6.100 1,536,096
2,000 California State 02/01/10 5.000 2,075,300
1,000 California State 04/01/10 5.000 1,039,270
2,000 California State 10/01/10 5.250 2,107,120
1,000 California State 10/01/11 5.000 1,051,690
1,000 California State 02/01/12 5.000 1,052,870
2,000 California State 02/01/13 5.000 2,117,820
1,000 California State Department Water Resources Power
Supply Revenue Series A 05/01/10 5.500 1,056,330
1,000 California Statewide Communities Development Authority
Pollution Control Revenue Refunding Southern California
EdisonCompany Series A (Mandatory Put 04/01/13 @ 100) 04/01/28 4.100# 1,006,570
1,000 California Statewide Communities Development Authority
Revenue Kaiser Permanente Series B (Mandatory
Put 07/01/14 @ 100) 08/01/31 3.900# 971,020
</Table>
136
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONTINUED)
CALIFORNIA--(CONCLUDED)
$1,000 California Statewide Communities Development Authority
Revenue Kaiser Permanente Series E (Mandatory
Put 04/01/10 @ 100) 04/01/32 3.875% $ 987,510
1,000 California Statewide Communities Development Authority
Revenue Kaiser Permanente Series H (Mandatory
Put 05/01/08 @ 100) 04/01/34 2.625# 970,840
1,200 Golden State Tobacco Securitization Corp. Tobacco
Settlement Revenue Enhanced Asset-Backed Series A
(AMBAC Insured) 06/01/20 5.000 1,243,524
3,105 Golden State Tobacco Securitization Corp. Tobacco
Settlement Revenue Series A-1 06/01/21 5.000 3,115,309
40 Los Angeles Multi-Family Revenue Housing Earthquake
Rehabilitation Project Series C (FNMA Collateralized)* 07/01/07 5.150 40,386
355 Sacramento Utility District Electric Revenue, White Rock
Project (Escrowed to Maturity) 03/01/10 6.750 374,159
170 Sacramento Utility District Electric Revenue, White Rock
Project (Escrowed to Maturity) 05/01/10 6.800 180,008
980 Tobacco Securitization Authority Northern California
Tobacco Settlement Revenue Asset-Backed Bonds Series A-1 06/01/23 4.750 973,209
21,960,971
CONNECTICUT--0.78%
2,000 Stamford Housing Authority Multi-Family Revenue Refunding
Fairfield Apartments Project (Mandatory Put 12/01/08 @ 100)* 12/01/28 4.750 2,017,100
DISTRICT OF COLUMBIA--0.87%
145 District of Columbia Housing Finance Authority Certificates
of Participation (Asset Guaranty Insured) 06/01/08 4.850 145,098
1,000 Metropolitan Airport Authority System Refunding Series A
(MBIA Insured)* 10/01/12 5.000 1,047,990
1,000 Metropolitan Airport Authority System Refunding
Series D (MBIA Insured)* 10/01/12 5.250 1,061,490
2,254,578
FLORIDA--3.81%
500 Escambia County Health Facilities Authority Revenue
Ascension Health Credit Series A 11/15/11 5.250 528,105
4,000 Florida Hurricane Catastrophe Fund Financing Corp.
Revenue Series A 07/01/12 5.250 4,276,200
1,915 Leon County Educational Facilities Authority Certificates
of Participation (Escrowed to Maturity) 09/01/11 9.000 2,355,641
1,260 North Miami Educational Facilities Revenue Johnston &
Wales University Project Series A (XL Capital Insured) 04/01/09 5.000 1,296,326
1,305 Palm Beach County School Board Certificates of Participation
Series A (FSA Insured) 08/01/12 5.000 1,378,785
9,835,057
GEORGIA--1.77%
1,000 Atlanta Airport Revenue Refunding Series D (FGIC Insured)* 01/01/12 5.250 1,053,330
2,000 Georgia State Series D 10/01/10 6.000 2,173,180
1,250 Henry County School District Series A 08/01/11 6.450 1,348,700
4,575,210
</Table>
137
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONTINUED)
HAWAII--0.80%
$1,000 Hawaii State Department Budget & Finance
Special Purpose Revenue Hawaiian Electric
Co., Inc.
Series A (MBIA Insured)* 05/01/26 6.200% $ 1,011,780
1,000 Hawaii State Harbor Systems Revenue Series A
(FSA Insured)* 01/01/13 5.000 1,049,720
2,061,500
IDAHO--0.41%
695 Idaho Housing & Finance Association
Single-Family Mortgage Series G-2, Class III* 07/01/19 5.950 713,320
340 Idaho Housing & Finance Association Single-Family
Mortgage Subseries D-3* 07/01/13 5.150 341,435
1,054,755
ILLINOIS--8.64%
170 Belleville St. Clair County (Escrowed to Maturity)
(MGIC Insured) 11/01/09 7.250 180,156
1,000 Chicago O'Hare International Airport Revenue
Passenger Facility Second Lien Series A (AMBAC Insured)* 01/01/10 5.500 1,045,150
2,000 Chicago School Finance Authority Refunding
Series A (FGIC Insured) 06/01/09 6.250 2,099,980
1,000 Chicago Transit Authority Capital Grant Recipients
Revenue Federal Transit Administration Section 5307-A
(AMBAC Insured) 06/01/13 5.250 1,075,460
4,340 Cook County Community Consolidated School District
Number 15 Palatine Capital Appreciation (FGIC Insured) 12/01/15 5.440~ 2,896,733
4,890 Cook County Community Consolidated School District
Number 15 Palatine Capital Appreciation (FGIC Insured) 12/01/16 5.510~ 3,106,568
1,000 Illinois Development Finance Authority Revenue DePaul
University Series C 10/01/13 5.500 1,067,870
1,625 Illinois Development Finance Authority Revenue Refunding
Community Rehabilitation Providers Series A 07/01/09 5.900 1,653,892
660 Illinois Educational Facilities Authority Revenue
Evangelical Hospital Series A (Escrowed to Maturity) 04/15/17 6.750 774,596
700 Illinois Finance Authority Student Housing Revenue MJH
Education Assistance IV Senior Series A 06/01/08 5.000 707,399
810 Illinois Finance Authority Student Housing Revenue MJH
Education Assistance IV Senior Series A 06/01/10 5.000 821,786
5,990 Illinois Health Facilities Authority Revenue Advocate
Network Health Care 11/15/10 6.000 6,434,218
125 Illinois Health Facilities Authority Revenue Ravenswood
Hospital Medical Center (Escrowed to Maturity) 08/01/06 7.250 125,000
285 St. Clair County Certificates of Participation Series A
(FSA Insured) 10/01/08 5.000 291,735
22,280,543
INDIANA--3.55%
5,000 Indiana Health Facility Financing Authority Revenue
Ascension Health Subordinated Credit Series A 04/01/10 5.000 5,173,000
</Table>
138
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONTINUED)
INDIANA--(CONCLUDED)
$1,345 Indiana Health Facility Financing Authority Revenue
Health Systems Sisters of St. Francis 11/01/08 5.500% $ 1,387,327
1,500 Indianapolis Airport Authority Revenue Refunding
Special Facilities Federal Express Corp. Project
(Federal Express Co. Insured)* 01/15/17 5.100 1,540,095
1,000 Indianapolis Local Public Improvement Bond Bank
Airport Authority Series F (AMBAC Insured)* 01/01/13 5.250 1,063,110
9,163,532
IOWA--2.29%
3,310 Iowa Finance Authority Revenue Revolving Fund 02/01/14 5.250 3,548,485
2,175 Tobacco Settlement Authority Asset-Backed Revenue
Bonds Series B (Pre-refunded with Agency Securities to
06/01/11 @ 101) 06/01/35 5.600 2,351,371
5,899,856
KANSAS--0.01%
15 Wichita Hospital Revenue St. Francis Hospital & Nursing
Series A (Escrowed to Maturity) 10/01/07 6.750 15,245
KENTUCKY--0.41%
1,000 Louisville & Jefferson County Regional Airport Authority
Airport Systems Revenue Series C (FSA Insured)* 07/01/11 5.500 1,062,650
LOUISIANA--0.09%
170 East Baton Rouge Parish Woman's Hospital Foundation
(Escrowed to Maturity) 10/01/08 7.200 176,057
50 Jefferson Parish Home Mortgage Authority Single-Family
Housing Revenue Refunding Series D-1 (Mandatory
Put 06/01/10 @ 100) (FNMA/GNMA Collateralized)* 06/01/10 5.600 50,194
226,251
MAINE--0.05%
125 Maine State Housing Authority Mortgage
Purchase Series D-1 11/15/16 5.050 125,522
MASSACHUSETTS--4.43%
3,115 Massachusetts Municipal Wholesale Electric Co. Power
Supply Systems Revenue Nuclear Project 4-A (MBIA Insured) 07/01/11 5.000 3,268,289
3,100 Massachusetts State Consolidated Loan Series B
(Pre-refunded with US Government Securities to
03/01/12 @ 100) (FSA Insured) 03/01/16 5.500 3,350,294
2,500 Massachusetts State Consolidated Loan Series C
(Pre-refunded with US Government Securities to
10/01/10 @ 100) 10/01/19 5.750 2,684,100
2,000 Massachusetts State Development Finance Agency Solid
Waste Disposal Revenue Waste Management Income
Project (XL Capital Insured)* 06/01/14 5.450 2,117,780
11,420,463
MICHIGAN--0.31%
800 Michigan State Strategic Fund Waste Management Inc.
Project (Mandatory Put 08/01/07 @ 100)* 08/01/27 3.750# 795,736
</Table>
139
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONTINUED)
MINNESOTA--0.01%
$ 35 Moorhead Residential Mortgage (Escrowed to
Maturity) (FHA/VA Insured) 08/01/11 7.100% $ 37,741
MISSOURI--1.22%
1,375 St. Louis Airport Revenue Airport Development
Program Series A (Escrowed to Maturity) (MBIA Insured) 07/01/09 5.500 1,440,079
1,625 St. Louis Airport Revenue Airport Development
Program Unrefunded Balance Series A (MBIA Insured) 07/01/09 5.500 1,700,985
5 St. Louis County Single-Family Housing (AMBAC Insured) 10/01/16 9.250 5,036
3,146,100
NEVADA--0.75%
2,000 Clark County Pollution Control Revenue Refunding
Series C (Mandatory Put 03/02/09 @ 100)* 06/01/31 3.250# 1,932,600
NEW JERSEY--5.09%
1,500 New Jersey Economic Development Authority Market
Transition Facility Revenue Refunding Senior Lien Series A
(MBIA Insured) 07/01/11 5.000 1,577,235
1,000 New Jersey Economic Development Authority Revenue
School Facilities Construction Series I 09/01/14 5.000 1,062,280
1,000 New Jersey Economic Development Authority Revenue
School Facilities Construction Series O 03/01/11 5.000 1,045,600
1,000 New Jersey Health Care Facilities Financing Authority
Department of Human Services Greystone Park
Psychiatric Hospital 09/15/10 5.000 1,041,320
2,500 New Jersey State Transportation Trust Fund Authority
Transportation Systems Series B (FGIC Insured) 12/15/11 5.250 2,661,050
4,000 New Jersey State Transportation Trust Fund Authority
Transportation Systems Series C (FSA Insured) 12/15/10 5.500 4,259,920
460 Tobacco Settlement Financing Corp. 06/01/19 4.375 457,028
1,000 Tobacco Settlement Financing Corp. Asset-Backed
Revenue Bonds 06/01/11 5.500 1,036,350
13,140,783
NEW MEXICO--1.74%
2,000 Farmington Pollution Control Revenue Refunding
Series B (Mandatory Put 04/10/10 @ 100) (FGIC Insured) 04/01/29 3.550# 1,969,180
2,500 New Mexico State Severance Tax Refunding Series A
(Partially Pre-refunded with US Government Securities to
07/01/07 @ 100) 07/01/08 5.000 2,528,050
4,497,230
NEW YORK--9.37%
1,000 Nassau Health Care Corp. Health Systems Revenue
(Pre-refunded with cash and US Government Securities to
08/01/09 @ 102) (FSA Insured) 08/01/11 6.000 1,082,360
4,000 New York City Industrial Development Agency Special
Facility Revenue Terminal One Group Association Project* 01/01/11 5.000 4,121,120
1,000 New York City Refunding Series B 08/01/11 5.500 1,069,100
385 New York City Series A (Escrowed to Maturity) 11/01/08 5.250 398,167
750 New York City Series C 08/01/09 5.250 779,633
</Table>
140
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONTINUED)
NEW YORK--(CONCLUDED)
$3,000 New York City Series C 08/01/11 5.250% $ 3,174,960
65 New York City Series E (Pre-refunded with US
Government Securities to 08/01/06 @ 101.50) 08/01/16 6.000 65,975
3,045 New York City Series H 08/01/10 5.000 3,166,465
1,500 New York City Series J 06/01/11 5.250 1,585,155
2,000 New York City Transitional Finance Authority
Revenue Future Tax Secured Series A 11/01/26 5.500# 2,143,440
1,615 New York City Unrefunded Balance Series A 11/01/08 5.250 1,664,839
135 New York City Unrefunded Balance Series E 08/01/16 6.000 137,246
1,500 New York State Dorm Authority Lease Revenue,
Series B (Mandatory Put 07/01/13 @ 100)
(XL Capital Insured) 07/01/32 5.250# 1,610,400
2,000 New York State Dorm Authority Revenue Series B
(Mandatory Put 05/15/12 @ 100) 11/15/23 5.250# 2,119,760
1,000 New York State Urban Development Corp.
Correctional & Youth Facilities Service Series A
(Mandatory Put 01/01/11 @ 100) 01/01/17 5.500 1,060,560
24,179,180
NORTH CAROLINA--1.07%
2,650 North Carolina Municipal Power Agency No. 1
Catawba Electric Revenue Series A (MBIA Insured) 01/01/09 5.750 2,768,137
OHIO--2.24%
1,145 Butler County Transportation Improvement District
Series A (Pre-refunded with US Government Securities to
04/01/08 @ 102) (FSA Insured) 04/01/11 6.000 1,209,040
2,265 Cleveland Waterworks Revenue Refunding First Mortgage
Series G (MBIA Insured) 01/01/13 5.500 2,386,495
1,680 Franklin County Revenue Refunding Trinity Health
Credit Series A 06/01/11 5.000 1,754,810
425 Ohio Housing Finance Agency Mortgage Revenue
Residential Series B-2 (GNMA Collateralized)* 09/01/18 5.350 425,306
5,775,651
PENNSYLVANIA--4.37%
800 Allegheny County Sanitation Authority Sewer Revenue
(Pre-refunded with US Government Securities and a
Repurchase Agreement to 12/01/10 @ 101) (MBIA Insured) 12/01/15 5.750 866,536
20 Chester County Hospital Authority Revenue
(Escrowed to Maturity) 07/01/09 7.500 21,118
1,525 City of Pittsburgh Series A (MBIA Insured) 09/01/11 5.000 1,604,712
45 Lancaster Sewer Authority (Escrowed to Maturity) 04/01/12 6.000 47,397
2,000 Pennsylvania Economic Development Financing Authority
Resource Recovery Revenue Refunding Colver Project
Series F (AMBAC Insured)* 12/01/12 5.000 2,095,200
3,000 Pennsylvania State Higher Educational Facilities Authority
Revenue Waynesburg Series J-4 (Mandatory Put
05/01/09 @ 100) (PNC Bank N.A. Insured) 05/01/32 3.300# 2,943,480
1,000 Philadelphia Airport Revenue Series A (MBIA Insured)* 06/15/10 5.000 1,035,530
</Table>
141
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONTINUED)
PENNSYLVANIA--(CONCLUDED)
$ 1,500 Philadelphia School District Refunding
Series B (AMBAC Insured) 04/01/13 5.000% $ 1,592,340
1,000 Pittsburgh Refunding Series B (FSA Insured) 09/01/14 5.000 1,066,530
11,272,843
PUERTO RICO--6.74%
1,500 Puerto Rico Commonwealth Government
Development Bank Senior Notes Series B 12/01/14 5.000 1,563,405
1,000 Puerto Rico Commonwealth Government
Development Bank Senior Notes Series C* 01/01/15 5.250 1,051,310
1,000 Puerto Rico Commonwealth Refunding
Series A (Mandatory Put 07/01/12 @ 100) 07/01/30 5.000# 1,031,450
2,000 Puerto Rico Commonwealth Refunding
Series C (Mandatory Put 07/01/08 @ 100) 07/01/13 6.000 2,062,200
1,000 Puerto Rico Commonwealth Refunding
Series C (Mandatory Put 07/01/08 @ 100) 07/01/18 5.000# 1,014,180
3,000 Puerto Rico Public Buildings Authority
Revenue Guaranteed Refunding Government
Facilities Series J (Mandatory Put
07/01/12 @ 100) (Commonwealth GTD) 07/01/28 5.000# 3,094,350
2,800 Puerto Rico Public Finance Corp.
Commonwealth Appropriations Series E
(Pre-refunded with US Government Securities
to 02/01/12 @ 100) 08/01/29 5.500 3,030,944
4,250 Puerto Rico Public Finance Corp. Refunding
Commonwealth Appropriations Series A
(Mandatory Put 02/01/12 @ 100) (Government
Development Bank for Puerto Rico Insured) 08/01/27 5.750# 4,527,185
17,375,024
SOUTH CAROLINA--2.87%
2,000 Richland County Environmental Improvement
Revenue Refunding International Paper Co.
Projects Series A 10/01/07 4.250 1,996,860
5,070 South Carolina Transportation
Infrastructure Bank Revenue Series A
(MBIA Insured) 10/01/09 6.000 5,402,643
7,399,503
SOUTH DAKOTA--1.27%
3,030 South Dakota Health & Educational
Facilities Authority Revenue Refunding
Prairie Lakes Health Care (ACA/CBI Insured) 04/01/13 5.450 3,134,898
140 South Dakota State Health & Educational
Revenue St. Luke's Hospital Project
(Escrowed to Maturity) 10/01/07 6.800 142,292
3,277,190
TENNESSEE--6.71%
2,000 Clarksville Natural Gas Acquisition Corp.
Gas Revenue 12/15/14 5.000 2,101,920
8,300 Metropolitan Government Nashville &
Davidson County Water Sewer Revenue Cab
Converter Refunding (Mandatory Put
01/01/09 @ 100) (FGIC/TCRs) 01/01/12 7.700 9,433,531
2,500 Tennessee Energy Acquisition Corp. Series A 09/01/11 5.000 2,608,400
3,000 Tennessee Energy Acquisition Corp. Series A 09/01/13 5.000 3,153,690
17,297,541
</Table>
142
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES--(CONCLUDED)
TEXAS--5.39%
$ 3,400 Austin Texas Utility Systems Revenue
Refunding (AMBAC Insured) 11/15/09 6.750% $ 3,698,316
1,000 Harris County Health Facilities Development
Corp. Hospital Revenue Memorial Hospital
System Project Series A (MBIA Insured) 06/01/12 6.000 1,105,920
5,000 Harris County Refunding Tax & Subordinated
Lien Series B (Mandatory Put 08/15/12
@ 100) (FSA Insured) 08/15/32 5.000 5,246,100
1,500 Harris County Refunding Toll Road B-2
(Mandatory Put 08/15/09 @ 100)
(FGIC Insured) 08/15/21 5.000# 1,547,175
155 Houston Texas Airport Systems Revenue
(Escrowed to Maturity) 07/01/10 7.600 168,625
2,000 Katy Independent School District School
Building Series A (PSF-GTD) 02/15/14 5.000 2,112,280
25 Texas Municipal Power Agency Revenue
(Escrowed to Maturity) (MBIA Insured) 09/01/13 6.100~ 18,589
13,897,005
UTAH--0.45%
1,135 Utah State Housing Finance Agency
Single-Family Mortgage Series G-3,
Class III* 07/01/15 5.700 1,167,892
VIRGINIA--0.84%
2,000 Fairfax County Economic Development
Authority Resource Recovery Revenue
Refunding Series A (AMBAC Insured)* 02/01/11 6.100 2,159,360
WASHINGTON--3.47%
1,000 Energy Northwest Electric Revenue Refunding
Project 1 Series A 07/01/11 5.000 1,049,660
1,000 Energy Northwest Electric Revenue Refunding
Project 3 Series A 07/01/13 5.500 1,091,080
1,000 Washington Health Care Facilities Authority
Overlake Hospital Medical Center Series A
(Assured Guaranty Insured) 07/01/16 5.000 1,047,580
4,000 Washington State Public Power Supply
Systems Nuclear Project Number 1 Revenue
Refunding Series A (AMBAC Insured) 07/01/08 6.000 4,162,560
20 Washington State Series 93-A (Pre-refunded
with US Government Securities to
10/01/08 @ 100) 10/01/12 5.750 21,520
1,480 Washington State Unrefunded Balance Series
93-A (FSA Insured) 10/01/12 5.750 1,587,374
8,959,774
WISCONSIN--1.35%
2,150 Badger Tobacco Asset Securitization Corp. 06/01/10 5.500 2,213,339
1,200 Badger Tobacco Asset Securitization Corp.
Asset- Backed Revenue Bonds 06/01/11 5.750 1,256,472
3,469,811
WYOMING--0.81%
2,000 Sweetwater County Improvement Projects
Joint Powers Board Lease Revenue Bonds (a) 06/15/13 5.000 2,088,740
- --------------------------------------------------------------------------------------------
Total municipal bonds and notes (cost--$253,257,003) 253,097,132
============================================================================================
</Table>
143
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
SHORT-TERM MUNICIPAL NOTES^--1.55%
IDAHO--0.23%
$ 600 Idaho Health Facilities Authority Revenue St. Lukes
Regulation Medical Center Project (FSA Insured) 08/01/06 3.650% $ 600,000
INDIANA--0.04%
100 Indiana Health Facility Financing Authority Hospital
Revenue, Clarian Health Obligation Series B (Chase
Manhattan Bank Insured) 08/01/06 3.700 100,000
MASSACHUSETTS--1.28%
3,300 Massachusetts State Development Finance Agency
Boston University Series R-4 (XL Capital insured) 08/01/06 3.640 3,300,000
- --------------------------------------------------------------------------------------------------
Total short-term municipal notes (cost--$4,000,000) 4,000,000
==================================================================================================
NUMBER OF
SHARES
(000)
- --------------------------------------------------------------------------------------------------
TAX-FREE MONEY MARKET FUND+--0.00%
^^0 State Street Global Advisors Tax Free Money
Market Fund (cost--$6) 3.000 6
Total investments (cost--$257,257,009)--99.66% 257,097,138
Other assets in excess of liabilities--0.34% 868,006
Net assets--100.00% $257,965,144
</Table>
~ Zero coupon bond; interest rate represents annualized yield at date of
purchase.
# Floating rate securities. The interest rates shown are the current rates as
of July 31, 2006.
* Security subject to Alternative Minimum Tax.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. This security, which represents 0.70% of net assets as of July 31,
2006, is considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Interest rate shown reflects yield at July 31, 2006.
++ Step-up bond that converts to the noted fixed rate at a designated future
date.
^ Variable rate demand notes are payable on demand. The maturity dates shown
are the next interest rate reset dates. The interest rates shown are the
current rates as of July 31, 2006.
^^ Amount represents less than 500 shares.
(a) Security purchased on a when-issued basis. When issued refers to a
transaction made conditionally because a security, although authorized, has
not yet been issued.
ACA American Capital Access.
AMBAC American Municipal Bond Assurance Corporation.
CBI Certificates of Bond Insurance.
FGIC Federal Guaranty Insurance Corporation.
FHA Federal Housing Authority.
FNMA Federal National Mortgage Association.
FSA Financial Security Assurance.
GNMA Government National Mortgage Association.
GTD Guaranteed.
MBIA Municipal Bond Investors Assurance.
MGIC Mortgage Guaranty Insurance Corporation.
PSF Permanent School Fund.
TCRs Transferable Custodial Receipts.
VA Veterans Administration.
See accompanying notes to financial statements
144
<Page>
UBS PACE Select Advisors Trust
UBS PACE GLOBAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ------------------------------------------------------------------------------------------
LONG-TERM GLOBAL DEBT SECURITIES--84.82%
AUSTRALIA--0.12%
EUR 450 Australia & New Zealand Banking Group Ltd. 02/05/15 4.450% $ 583,735
AUSTRIA--6.21%
9,910 Republic of Austria 07/15/09 4.000 12,791,906
13,770 Republic of Austria 10/20/13 3.800 17,567,075
30,358,981
BELGIUM--1.27%
250 Kingdom of Belgium 03/28/15 8.000 414,292
3,830 Kingdom of Belgium 03/28/28 5.500 5,789,335
6,203,627
BRAZIL--0.73%
USD 3,300 Federal Republic of Brazil 01/15/18 8.000 3,573,900
CANADA--2.80%
9,640 Government of Canada 06/01/33 5.750 10,345,304
3,430 Government of Canada 06/01/37 5.000 3,366,019
13,711,323
CAYMAN ISLANDS--1.04%
EUR 1,250 Hutchison Whampoa Finance 07/08/13 5.875 1,715,229
EUR 590 Mizuho Finance 04/15/14 4.750+ 765,247
GBP 1,400 Pacific Life Funding LLC 01/20/15 5.125 2,592,455
5,072,931
CHANNEL ISLANDS--0.43%
EUR 550 Credit Suisse Group Finance 06/07/13 6.375 786,582
EUR 1,000 HSBC Capital Funding LP 03/24/14++++ 5.369^^ 1,329,390
2,115,972
DENMARK--0.72%
EUR 920 Danske Bank A/S 11/12/12 5.125+ 1,216,235
EUR 1,400 Dong A/S 06/29/12 3.500 1,717,500
3,110 Kingdom of Denmark 11/15/11 6.000 587,765
3,521,500
FINLAND--1.28%
4,500 Government of Finland 02/23/11 5.750 6,236,976
FRANCE--12.70%
1,500 BNP Paribas 01/23/14 5.250+ 1,974,367
750 BNP Paribas 12/06/15 3.125+ 922,604
1,950 ERAP 04/25/08 3.375 2,484,766
705 France Telecom 01/28/33 8.125 1,197,754
11,250 Republic of France 04/25/09 4.000 14,514,949
11,720 Republic of France 04/25/10 5.500 15,925,540
9,150 Republic of France 10/25/32 5.750 14,490,192
7,080 Republic of France 04/25/55 4.000 8,668,668
1,600 Societe Generale 01/26/15++++ 4.196^^ 1,948,835
62,127,675
</Table>
145
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- -------------------------------------------------------------------------------------
LONG-TERM GLOBAL DEBT SECURITIES--(CONTINUED)
GERMANY--13.45%
18,000 Federal Republic of Germany 09/22/06 2.500% $22,974,396
235 Federal Republic of Germany 01/04/12 5.000 318,442
1,410 Federal Republic of Germany 01/04/13 4.500 1,872,895
7,295 Federal Republic of Germany 07/04/13 3.750 9,287,138
935 Federal Republic of Germany 01/04/14 4.250 1,225,900
3,080 Federal Republic of Germany 07/04/14 4.250 4,038,139
14,740 Federal Republic of Germany 01/04/16 3.500 18,250,400
2,310 Federal Republic of Germany 01/04/37 4.000 2,854,781
2,300 Kreditanstalt Fuer Wiederaufbau 08/18/06 4.750 2,939,607
1,610 Kreditanstalt Fuer Wiederaufbau 04/17/09 3.500 2,049,445
65,811,143
IRELAND--1.24%
1,500 Bank of Ireland 02/27/19 4.625+ 1,943,363
1,100 Bank of Ireland Mortgage Bank 09/22/09 3.500 1,394,748
2,100 UT2 Funding PLC 06/30/16 5.321 2,741,100
6,079,211
ITALY--0.76%
1,200 Edison SpA 12/10/10 5.125 1,592,580
580 Sanpaolo IMI SpA 04/06/10 6.375 797,758
400 Telecom Italia SpA 01/29/19 5.375 507,587
700 UniCredito Italiano 02/01/16 3.950 831,602
3,729,527
JAPAN--12.87%
EUR 1,000 Bank of Tokyo-Mitsubishi UFJ 12/16/15 3.500+ 1,239,313
905,800 Government of Japan 09/20/06 0.500 7,902,610
371,000 Government of Japan 07/20/07 0.100 3,221,456
606,600 Government of Japan 08/20/07 0.100 5,264,539
527,000 Government of Japan 09/20/13 1.400 4,505,474
2,244,386 Government of Japan 09/10/15 0.800 19,181,381
128,000 Government of Japan 09/20/15 1.400 1,070,788
1,428,000 Government of Japan 03/20/16 2.000 12,531,922
335,000 Government of Japan 09/20/25 2.100 2,824,835
253,000 Government of Japan 03/20/36 2.500 2,182,478
230,000 Japan Finance Corp. for
Municipal Entities 05/09/16 2.000 2,018,906
EUR 850 Sumitomo Mitsui Banking 10/15/15++++ 4.375+ 1,029,625
62,973,327
LUXEMBOURG--0.88%
3,200 Gaz Capital (Gazprom) 12/09/12 4.560 3,980,175
270 Glencore Finance Europe 09/30/11 5.375 348,381
4,328,556
MALAYSIA--0.06%
EUR 200 Petronas Capital Ltd. 05/22/09 6.375 271,910
</Table>
146
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- -------------------------------------------------------------------------------------
LONG-TERM GLOBAL DEBT SECURITIES--(CONTINUED)
MEXICO--0.43%
EUR 800 United Mexican States 03/08/10 7.500% $ 1,132,390
6,040 United Mexican States 12/18/14 9.500 586,904
EUR 300 United Mexican States 02/17/20 5.500 391,306
2,110,600
NETHERLANDS--4.32%
1,800 BHP Billiton Finance BV 10/10/07 4.375 2,317,009
1,200 BMW Finance NV 08/06/18 5.000 1,599,847
955 Deutsche Telekom International
Finance 03/29/18 6.625 1,388,876
420 EADS Finance BV 03/03/10 4.625 544,444
1 Government of the Netherlands 07/15/08 5.250 1,913
7,040 Government of the Netherlands 01/15/10 3.000 8,810,315
2,020 Government of the Netherlands 01/15/23 7.500 3,616,787
1 Government of the Netherlands 01/15/28 5.500 755
700 ING Bank NV 09/16/20 3.500+ 827,768
1,500 RWE Finance BV 07/23/18 5.125 2,019,738
21,127,452
NEW ZEALAND--0.64%
1,080 Government of New Zealand 04/15/15 6.000 673,010
2,910 Government of New Zealand 02/15/16 4.500 2,440,367
3,113,377
NORWAY--3.13%
35,260 Government of Norway 05/15/13 6.500 6,498,233
51,440 Government of Norway 05/15/15 5.000 8,793,452
15,291,685
PERU--0.54%
USD 2,716 Republic of Peru 03/07/17 5.000+ 2,648,100
POLAND--0.91%
5,000 Government of Poland 11/24/10 6.000 1,654,503
8,310 Government of Poland 10/24/15 6.250 2,816,602
4,471,105
SOUTH KOREA--0.59%
700,000 Republic of South Korea 04/10/07 7.170 744,453
2,000,000 Republic of South Korea 07/10/07 6.150 2,118,185
2,862,638
SWEDEN--0.36%
EUR 1,400 Nordea Bank AB 09/30/16 4.000+ 1,775,801
UNITED KINGDOM--9.86%
1,400 Alliance & Leicester PLC 03/22/49 5.827+ 2,613,369
EUR 1,500 Aviva PLC 10/02/23 5.250+ 1,993,837
EUR 550 Barclays Bank PLC 03/08/11 5.750 752,210
EUR 2,200 Barclays Bank PLC 03/04/19 4.500+ 2,835,379
EUR 1,900 HBOS PLC 10/30/19 4.375+ 2,421,296
EUR 310 Imperial Tobacco Finance 06/06/07 6.250 404,300
370 Mitchells & Butlers Finance 09/15/30 6.469 786,678
</Table>
147
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- -----------------------------------------------------------------------------------------------------------
LONG-TERM GLOBAL DEBT SECURITIES--(CONTINUED)
UNITED KINGDOM--(CONCLUDED)
EUR 1,750 Nationwide Building Society 08/17/15 3.375%+ $ 2,181,552
EUR 180 RBS Capital Trust I 06/30/12++++ 6.467^^ 253,408
EUR 1,800 Rio Tinto Finance PLC 05/10/07 5.125 2,326,324
EUR 1,100 Rolls-Royce Group PLC Euro MTN 03/16/11 4.500 1,424,683
EUR 1,400 Standard Chartered Bank 02/03/17 3.625+ 1,728,996
5 United Kingdom Treasury Bonds 12/07/09 5.750 9,631
7,960 United Kingdom Treasury Bonds 03/07/11 4.250 14,597,140
4,670 United Kingdom Treasury Bonds 09/07/16 4.000 8,304,915
2,850 United Kingdom Treasury Bonds 12/07/55 4.250 5,600,104
48,233,822
UNITED STATES--7.48%
1,480 Banc of America Commercial Mortgage, Inc.,
Series 2006-2, Class A4 05/10/45 5.741+ 1,490,789
GBP 1,600 Bear Stearns Co., Inc. 01/20/10 5.125 2,970,672
1,560 Bear Stearns Commercial Mortgage Securities,
Inc., Series 2006-PW11, Class A4 03/11/39 5.625+ 1,541,951
2,090 Bear Stearns Commercial Mortgage Securities,
Inc., Series 2006-PW12, Class A4 09/11/38 5.711+ 2,105,179
1,100 Bear Stearns Commercial Mortgage Securities,
Inc., Series 2006-T22, Class A4 04/12/38 5.634+ 1,090,082
EUR 1,150 BMW U.S. Capital LLC 09/23/10 2.750 1,399,860
GBP 550 Capital One Multi-Asset 06/17/14 6.625 1,082,110
EUR 1,150 Citigroup, Inc. 11/14/07 4.625 1,487,273
JPY74,000 Citigroup, Inc. 10/31/25 2.400 613,668
4,180 Discover Card Master Trust I, Series 2003-2, Class A 08/15/10 5.499+ 4,188,085
EUR 740 Goldman Sachs Group, Inc. 02/04/13 3.750 912,437
1,670 Greenwich Capital Commercial Funding Corp., Series
2006-GG7, Class A4 07/10/38 6.110 1,703,597
1,200 GS Mortgage Securities Corp. II, Series 2006-GG6,
Class A4 04/10/38 5.553+ 1,186,652
1,103 INTERSTAR Millennium Trust, Series 2005-1G, Class A 12/08/36 5.390+ 1,107,968
581 INTERSTAR Millennium Trust, Series 2005-2L, Class A1 (1) 07/27/38 5.650+ 584,710
139 Long Beach Mortgage Loan Trust, Series 2004-1, Class A3 02/25/34 5.685+ 138,836
GBP 230 MBNA Credit Card, Series 03C4 05/17/13 6.100 439,883
334 Option One Trust 02/25/32 5.965+ 334,377
62 Residential Asset Securities Corp., Series 2003-KS6,
Class A2 08/25/33 5.685+ 62,142
112 Residential Asset Securities Corp., Series 2003-KS7,
Class AIIB 09/25/33 5.705+ 112,577
663 Residential Asset Securities Corp., Series 2003-RS4,
Class AIIB 05/25/33 5.715+ 670,173
181 Residential Asset Securities Corp., Series 2004-RS4,
Class A2B1 04/25/34 5.645+ 181,342
EUR 855 Residential Capital Corp. 05/17/12 5.125 1,094,744
649 SMHL Global Fund, Series 6, Class A 11/09/35 5.326+ 649,326
</Table>
148
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)* DATES RATES VALUE
- ----------------------------------------------------------------------------------------------------------
LONG-TERM GLOBAL DEBT SECURITIES--(CONCLUDED)
UNITED STATES--(CONCLUDED)
5 US Treasury Bonds 05/15/30 6.250% $ 5,754
4,418 US Treasury Inflation Index Bonds (2) 01/15/25 2.375 4,382,477
4,631 US Treasury Inflation Index Bonds (2) 01/15/26 2.000 4,326,786
640 US Treasury Notes 05/15/16 5.125 646,650
180 US Treasury Stripped Principal Payment Bonds # 02/15/19 8.875+/- 94,679
36,604,779
- ----------------------------------------------------------------------------------------------------------
Total long-term global debt securities (cost--$409,470,144) 414,939,653
==========================================================================================================
COMMERCIAL PAPER@--1.10%
UNITED KINGDOM--1.10%
BANKING--NON-US--1.10%
USD 5,438 HBOS Treasury Services PLC (cost--$5,365,267) 10/30/06 5.350 5,365,267
SHORT-TERM US GOVERNMENT AND AGENCY OBLIGATIONS@--3.05%
12,500 Federal Home Loan Bank 08/04/06 to 5.170 to
08/23/06 5.205% 12,467,115
2,500 US Treasury Bills^ 11/09/06 4.830 2,466,451
- ----------------------------------------------------------------------------------------------------------
Total short-term US government and agency obligations (cost--$14,933,566) 14,933,566
==========================================================================================================
REPURCHASE AGREEMENT--7.35%
USD35,953 Repurchase agreement dated 07/31/06 with State
Street Bank & Trust Co., collateralized by $37,712,833
US treasury notes, 3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$36,672,073); proceeds: $35,957,854
(cost--$35,953,000) 08/01/06 4.860 35,953,000
</Table>
<Table>
<Caption>
NUMBER OF
SHARES
(000)
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET FUND++--0.00%
+++ 0 DWS Money Market Series (cost--$107) 5.216 107
Total investments (cost--$465,722,084)--96.32% 471,191,593
Other assets in excess of liabilities--3.68% 17,983,729
Net assets--100.00% $489,175,322
</Table>
Note: The Portfolio of investments is listed by the issuer's country of origin.
* In local currency unless otherwise indicated.
+ Floating rate securities. The interest rates shown are the current rates
as of July 31, 2006.
++ Interest rates shown reflect yield at July 31, 2006.
+++ Amount represents less than 500 shares.
++++ Perpetual bond security. The maturity date reflects the next call date.
^^ Variable rate security--The interest rate shown is the current rate as of
July 31, 2006, and resets at the next call date.
^ Entire amount pledged as collateral for futures transactions.
+/- Annualized yield at date of purchase.
# Principal Only Security. This security entitles the holder to receive
principal payments from an underlying pool of assets. High prepayments
return principal faster than expected and cause the yield to increase. Low
prepayments return principal more slowly than expected and cause the yield
to decrease.
@ Interest rates shown are the discount rates at date of purchase.
149
<Page>
(1) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security, which represents 0.12% of net assets as of July 31,
2006, is considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(2) Principal amount for accrual purposes is adjusted based on changes in the
Consumer Price Index.
EUR Euro Dollar
GBP Great Britain Pound
JPY Japanese Yen
MTN Medium Term Note
USD United States Dollar
Note: There are no investments in affiliated issuers at July 31, 2006. The table
below details the Portfolio's transaction activity in an affiliated issuer
during the year ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES DURING INCOME EARNED
DURING THE THE YEAR FROM AFFILIATE
SECURITY VALUE AT YEAR ENDED ENDED VALUE AT FOR THE YEAR
DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 ENDED 07/31/06
- ---------------------------------------------------------------------------------------
UBS Private Money
Market Fund LLC $2,554,483 $77,225,870 $79,780,353 -- $6,506
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
NUMBER OF IN EXCHANGE EXPIRATION APPRECIATION
CONTRACTS CURRENCY CONTRACTS TO RECEIVE FOR DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
283 EUR Euro Bond 2 Year Futures $37,611,379 September 2006 $ 16,884
156 EUR Euro Bond 5 Year Futures 21,777,839 September 2006 98,995
12 JPY Japan Bond 10 Year Futures 13,944,394 September 2006 (102,451)
30 GBP United Kingdom Long Gilt
10 Year Futures 6,138,894 September 2006 7,251
20,679
CONTRACTS TO DELIVER
178 EUR Euro Bond 10 Year Futures 26,336,341 September 2006 (195,326)
34 USD US Treasury Bond 20 Year Futures 3,640,005 September 2006 (41,557)
74 USD US Treasury Note 2 Year Futures 15,061,677 September 2006 4,989
515 USD US Treasury Note 5 Year Futures 53,670,843 September 2006 (1,813)
47 USD US Treasury Note 10 Year Futures 4,926,472 September 2006 (56,996)
(290,703)
$(270,024)
</Table>
CURRENCY TYPE ABBREVIATIONS:
EUR Euro Dollar
GBP Great Britain Pound
JPY Japanese Yen
USD United States Dollar
150
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- -----------------------------------------------------------------------------------
Australian Dollar 7,000,000 CAD 5,859,350 08/22/06 $ (90,432)
Australian Dollar 2,200,000 CAD 1,837,506 08/22/06 (30,192)
Australian Dollar 48,025,135 EUR27,766,293 08/16/06 (640,784)
Australian Dollar 4,960,000 NZD 6,053,432 08/22/06 (32,843)
Australian Dollar 2,400,000 NZD 2,985,456 08/22/06 1,494
Australian Dollar 10,400,000 NZD12,698,949 08/22/06 (66,930)
Australian Dollar 3,780,000 NZD 4,597,652 08/22/06 (29,855)
Australian Dollar 3,220,000 NZD 3,914,393 08/22/06 (26,088)
Australian Dollar 3,720,000 NZD 4,590,740 08/22/06 (9,007)
Australian Dollar 8,180,000 NZD 9,779,247 08/22/06 (117,085)
Australian Dollar 9,427,337 USD 6,980,000 08/16/06 (242,026)
Australian Dollar 15,004,427 USD11,178,298 08/16/06 (316,185)
Australian Dollar 1,720,000 USD 1,274,537 08/22/06 (42,962)
Australian Dollar 2,160,000 USD 1,626,984 08/22/06 (27,549)
Australian Dollar 1,600,000 USD 1,219,736 08/22/06 (5,844)
Australian Dollar 4,250,000 USD 3,207,337 08/22/06 (48,111)
Australian Dollar 640,000 USD 477,622 08/22/06 (12,610)
Canadian Dollar 537,600 AUD 640,000 08/22/06 7,433
Canadian Dollar 675,620 AUD 800,000 08/22/06 7,691
Canadian Dollar 6,535,822 AUD 7,780,000 08/22/06 90,086
Canadian Dollar 1,201,788 AUD 1,400,000 11/29/06 2,151
Canadian Dollar 2,177,796 AUD 2,540,000 11/29/06 5,051
Canadian Dollar 13,126,068 EUR 9,063,149 08/16/06 (6,935)
Canadian Dollar 8,050,811 GBP 3,881,780 08/16/06 68,194
Canadian Dollar 8,017,774 USD 7,203,750 08/16/06 115,477
Canadian Dollar 2,136,346 USD 1,920,000 08/22/06 30,966
Canadian Dollar 4,915,771 USD 4,420,000 08/22/06 73,296
Canadian Dollar 4,160,842 USD 3,730,000 08/22/06 50,832
Canadian Dollar 11,459,854 USD10,300,714 08/22/06 167,495
Canadian Dollar 2,748,593 USD 2,492,865 08/22/06 62,459
Danish Krone 136,502,412 EUR18,296,929 08/16/06 2,686
Danish Krone 78,298,613 USD13,518,407 08/16/06 99,566
Euro Dollar 18,616,631 CAD26,653,430 08/16/06 (122,278)
Euro Dollar 11,503,587 CAD16,304,034 08/16/06 (148,782)
Euro Dollar 6,400,000 CHF 9,981,656 08/22/06 (27,851)
</Table>
151
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS--(CONTINUED)
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- -----------------------------------------------------------------------------------
Euro Dollar 2,020,000 CHF 3,154,255 08/22/06 $ (7,245)
Euro Dollar 5,260,000 CHF 8,180,352 08/22/06 (32,390)
Euro Dollar 1,820,000 CHF 2,844,806 11/29/06 (249)
Euro Dollar 18,341,965 DKK 136,814,917 08/16/06 (4,704)
Euro Dollar 23,672,936 DKK 176,595,366 08/16/06 (4,692)
Euro Dollar 17,358,009 GBP 12,006,187 08/16/06 118,733
Euro Dollar 2,200,000 GBP 1,513,952 08/22/06 7,408
Euro Dollar 2,340,000 GBP 1,606,597 08/22/06 4,424
Euro Dollar 26,140,000 GBP 18,022,381 08/22/06 119,679
Euro Dollar 3,560,000 GBP 2,459,989 08/22/06 21,462
Euro Dollar 4,620,000 GBP 3,166,548 08/22/06 3,641
Euro Dollar 3,140,000 GBP 2,154,166 11/29/06 (3,495)
Euro Dollar 2,180,000 GBP 1,493,823 11/29/06 (4,060)
Euro Dollar 6,700,000 JPY 951,211,970 08/22/06 (123,508)
Euro Dollar 6,200,000 JPY 871,501,840 08/22/06 (152,468)
Euro Dollar 4,520,000 JPY 635,121,200 08/22/06 (112,168)
Euro Dollar 1,460,000 JPY 204,290,500 08/22/06 (39,991)
Euro Dollar 8,620,000 JPY1,220,426,280 08/22/06 (173,656)
Euro Dollar 4,260,000 NOK 33,354,376 08/22/06 (10,876)
Euro Dollar 2,420,000 NOK 19,117,334 08/22/06 7,619
Euro Dollar 990,148 PLN 4,000,000 08/16/06 15,248
Euro Dollar 2,966,405 PLN 12,000,000 08/16/06 48,328
Euro Dollar 13,730,354 SEK 126,593,859 08/16/06 16,179
Euro Dollar 9,280,000 SEK 86,024,991 08/22/06 43,942
Euro Dollar 1,760,000 SEK 16,343,686 08/22/06 10,322
Euro Dollar 2,092,652 SKK 80,000,000 08/16/06 4,129
Euro Dollar 3,250,000 USD 4,127,975 08/22/06 (30,099)
Euro Dollar 1,650,000 USD 2,085,732 08/22/06 (25,290)
Euro Dollar 33,260,000 USD 42,678,333 08/22/06 125,245
Euro Dollar 1,870,000 USD 2,391,169 08/22/06 (1,323)
Euro Dollar 20,860,000 USD 26,505,665 08/22/06 (182,772)
Euro Dollar 2,490,000 USD 3,188,498 08/22/06 2,774
Euro Dollar 7,380,000 USD 9,354,445 11/29/06 (142,694)
Euro Dollar 1,840,000 USD 2,330,452 11/29/06 (37,398)
Euro Dollar 650,000 USD 824,551 11/29/06 (11,918)
</Table>
152
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS--(CONTINUED)
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- -----------------------------------------------------------------------------------
Euro Dollar 290,000 USD 367,511 11/29/06 $ (5,683)
Euro Dollar 3,010,000 USD 3,820,142 11/29/06 (53,353)
Great Britain Pound 10,504,640 AUD 26,334,923 08/16/06 272,244
Great Britain Pound 9,012,664 AUD 22,626,023 08/16/06 245,625
Great Britain Pound 8,340,000 CHF 18,779,952 08/22/06 (143,116)
Great Britain Pound 60,000 CHF 135,357 08/22/06 (928)
Great Britain Pound 540,000 CHF 1,216,620 08/22/06 (9,001)
Great Britain Pound 100,000 CHF 225,576 08/22/06 (1,554)
Great Britain Pound 40,000 CHF 91,217 11/29/06 90
Great Britain Pound 3,740,000 CHF 8,523,759 11/29/06 6,356
Great Britain Pound 6,384,955 EUR 9,280,000 08/22/06 (30,155)
Great Britain Pound 11,305,419 EUR 16,320,000 08/22/06 (124,710)
Great Britain Pound 5,219,553 EUR 7,560,000 08/22/06 (41,401)
Great Britain Pound 1,437,674 EUR 2,060,000 08/22/06 (25,686)
Great Britain Pound 1,444,779 EUR 2,100,000 11/29/06 (1,496)
Great Britain Pound 9,445,747 JPY1,970,892,926 08/16/06 (208,910)
Great Britain Pound 3,792,926 USD 7,062,201 08/16/06 (25,626)
Great Britain Pound 80,676 USD 148,985 08/16/06 (1,774)
Great Britain Pound 1,320,000 USD 2,469,232 08/22/06 2,208
Great Britain Pound 910,000 USD 1,704,330 08/22/06 3,579
Great Britain Pound 120,400 USD 222,576 08/22/06 (2,447)
Great Britain Pound 850,000 USD 1,591,822 08/22/06 3,208
Great Britain Pound 2,184,130 USD 4,118,275 08/22/06 36,229
Japanese Yen 883,785,976 AUD 10,610,949 08/16/06 200,485
Japanese Yen 1,559,252,662 EUR 10,805,632 08/16/06 92,419
Japanese Yen 1,654,947,750 EUR 11,500,000 08/22/06 114,535
Japanese Yen 135,235,450 EUR 940,000 08/22/06 9,531
Japanese Yen 106,463,800 EUR 740,000 08/22/06 7,495
Japanese Yen 9,376,843 USD 80,573 08/16/06 (1,417)
Japanese Yen 908,750,591 USD 7,940,000 08/22/06 (13,392)
Japanese Yen 2,372,396,950 USD 21,320,000 08/22/06 556,765
Japanese Yen 2,250,405,530 USD 20,169,666 08/22/06 474,101
Japanese Yen 892,302,492 USD 8,086,052 08/22/06 276,614
Japanese Yen 1,079,297,030 USD 9,639,819 08/22/06 193,804
Japanese Yen 513,320,480 USD 4,660,000 08/22/06 167,415
</Table>
153
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS--(CONTINUED)
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- ------------------------------------------------------------------------------------
Japanese Yen 1,088,483,510 USD 9,570,000 08/22/06 $ 43,584
Japanese Yen 1,096,322,346 USD 9,574,868 08/22/06 (20,153)
Japanese Yen 45,880,400 USD 400,000 11/29/06 (6,957)
Japanese Yen 86,056,500 USD 750,000 11/29/06 (13,317)
Japanese Yen 656,155,060 USD 5,720,000 11/29/06 (100,067)
Mexican Peso 118,662,649 USD10,788,494 08/22/06 (25,463)
Mexican Peso 35,572,752 USD 3,180,000 08/22/06 (61,814)
New Zealand Dollar 6,006,034 AUD 5,000,000 08/22/06 62,779
New Zealand Dollar 12,932,894 AUD10,800,000 08/22/06 147,982
New Zealand Dollar 6,510,048 AUD 5,440,000 08/22/06 75,865
New Zealand Dollar 1,195,968 AUD 960,000 11/29/06 50
New Zealand Dollar 9,160,108 AUD 7,360,000 11/29/06 3,135
New Zealand Dollar 322,998 AUD 260,000 11/29/06 293
New Zealand Dollar 2,950,000 USD 1,829,963 08/22/06 10,472
New Zealand Dollar 17,829,195 USD11,107,588 08/22/06 110,963
Norwegian Krone 55,944,760 EUR 7,181,612 08/16/06 41,612
Norwegian Krone 12,166,596 EUR 1,560,000 08/22/06 7,863
Norwegian Krone 12,933,917 GBP 1,149,099 08/16/06 21,619
Norwegian Krone 13,000,000 SEK15,342,860 08/22/06 8,730
Norwegian Krone 42,620,000 SEK49,459,793 08/22/06 (29,859)
Norwegian Krone 4,500,000 SEK 5,209,587 08/22/06 (4,028)
Norwegian Krone 13,648,736 USD 2,259,725 08/16/06 39,359
Norwegian Krone 6,364,587 USD 1,012,577 08/16/06 (22,809)
Norwegian Krone 29,363,040 USD 4,801,805 08/22/06 22,883
Polish Zloty 4,000,000 EUR 972,266 08/16/06 (26,683)
Polish Zloty 12,000,000 EUR 2,916,444 08/16/06 (80,275)
Polish Zloty 7,919,382 EUR 2,040,000 08/22/06 20,997
Polish Zloty 28,525,945 USD 9,428,818 08/22/06 178,784
Singapore Dollar 6,443,217 USD 4,070,000 08/22/06 (15,823)
Singapore Dollar 3,354,900 USD 2,120,000 08/22/06 (7,435)
Singapore Dollar 2,767,687 USD 1,750,000 08/22/06 (5,067)
Singapore Dollar 1,170,865 USD 740,000 08/22/06 (2,478)
Slovakia Koruna 80,000,000 EUR 2,063,451 08/16/06 (22,801)
South Korean Won 7,511,313,645 USD 7,872,669 08/22/06 3,804
South Korean Won 4,708,542,000 USD 4,960,000 08/22/06 27,324
</Table>
154
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS--(CONTINUED)
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- -----------------------------------------------------------------------------------
Swedish Krona 2,233,788 EUR 240,000 08/22/06 $ (1,762)
Swedish Krona 45,261,236 EUR 4,840,000 08/22/06 (50,361)
Swedish Krona 3,556,762 EUR 380,000 08/22/06 (4,176)
Swedish Krona 42,641,747 EUR 4,580,000 08/22/06 (34,579)
Swedish Krona 31,570,790 NOK26,380,000 08/22/06 (48,066)
Swedish Krona 34,347,184 NOK28,680,000 08/22/06 (53,912)
Swedish Krona 62,668,453 USD 8,764,328 08/16/06 55,888
Swedish Krona 10,322,892 USD 1,410,000 08/22/06 (25,279)
Swiss Franc 7,915,199 EUR 5,080,000 08/22/06 25,260
Swiss Franc 10,204,064 EUR 6,540,000 08/22/06 26,806
Swiss Franc 10,624,265 EUR 6,820,000 08/22/06 34,745
Swiss Franc 4,133,192 GBP 1,840,000 08/22/06 35,692
Swiss Franc 8,586,182 GBP 3,800,000 08/22/06 53,244
Swiss Franc 10,475,330 GBP 4,640,000 08/22/06 68,619
Swiss Franc 3,100,101 GBP 1,380,000 08/22/06 26,685
Swiss Franc 2,555,370 GBP 1,120,000 11/29/06 (3,056)
Swiss Franc 6,079,696 GBP 2,660,000 11/29/06 (11,658)
Swiss Franc 34,154 USD 28,156 08/22/06 329
Swiss Franc 4,363,758 USD 3,540,000 08/22/06 (15,350)
Swiss Franc 7,714,162 USD 6,340,000 08/22/06 54,924
Swiss Franc 2,292,566 USD 1,910,000 08/22/06 42,143
United States Dollar 63,141 AUD 84,866 08/16/06 1,873
United States Dollar 1,450,000 AUD 1,904,037 08/16/06 8,631
United States Dollar 2,703,419 AUD 3,589,640 08/16/06 46,507
United States Dollar 635,586 AUD 840,000 08/22/06 7,844
United States Dollar 4,586,782 AUD 6,130,000 08/22/06 108,722
United States Dollar 1,992,598 AUD 2,660,000 08/22/06 44,930
United States Dollar 8,435,945 AUD10,941,563 08/22/06 (54,843)
United States Dollar 1,980,000 CAD 2,188,792 08/22/06 (44,590)
United States Dollar 1,410,000 CAD 1,574,063 08/22/06 (18,156)
United States Dollar 11,528,309 CAD12,923,899 08/22/06 (100,528)
United States Dollar 5,772,717 CAD 6,340,640 08/22/06 (166,093)
United States Dollar 8,405,974 CAD 9,339,037 08/22/06 (148,058)
United States Dollar 4,645,833 CHF 5,606,934 08/22/06 (77,611)
United States Dollar 2,080,000 CHF 2,531,758 08/22/06 (17,262)
</Table>
155
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS--(CONTINUED)
<Table>
<Caption>
UNREALIZED
CONTRACTS TO MATURITY APPRECIATION
DELIVER IN EXCHANGE FOR DATES (DEPRECIATION)
- ----------------------------------------------------------------------------------
United States Dollar 3,870,000 CHF 4,778,334 08/22/06 $ 23,124
United States Dollar 1,040,000 CHF 1,264,588 11/29/06 907
United States Dollar 1,416,365 DKK 8,299,898 08/22/06 6,657
United States Dollar 557,228 EUR 438,974 08/16/06 4,158
United States Dollar 2,795,177 EUR 2,170,843 08/16/06 (18,975)
United States Dollar 3,120,000 EUR 2,491,416 08/16/06 66,170
United States Dollar 4,952,067 EUR 3,830,000 08/22/06 (51,937)
United States Dollar 15,065,487 EUR 11,730,000 08/22/06 (58,039)
United States Dollar 34,240,851 EUR 26,728,659 08/22/06 (44,008)
United States Dollar 3,419,220 EUR 2,665,204 08/22/06 (9,339)
United States Dollar 10,754,652 EUR 8,440,000 08/22/06 43,546
United States Dollar 14,597,437 EUR 11,400,000 08/22/06 (12,193)
United States Dollar 849,721 EUR 670,000 08/22/06 7,482
United States Dollar 7,199,700 EUR 5,630,000 11/29/06 45,407
United States Dollar 7,986,187 EUR 6,270,000 11/29/06 82,521
United States Dollar 4,082,824 EUR 3,190,000 11/29/06 22,308
United States Dollar 2,741,386 EUR 2,160,000 11/29/06 38,265
United States Dollar 7,970,000 GBP 4,329,969 08/16/06 121,396
United States Dollar 1,144,941 GBP 611,700 08/22/06 (1,700)
United States Dollar 1,562,206 GBP 850,936 08/22/06 28,158
United States Dollar 1,340,338 GBP 720,000 08/22/06 5,312
United States Dollar 4,875,503 GBP 2,585,726 08/22/06 (42,891)
United States Dollar 7,511,344 GBP 4,098,066 11/29/06 162,516
United States Dollar 267,261 HUF 54,951,550 08/22/06 (9,584)
United States Dollar 36,789,145 JPY4,125,773,801 08/16/06 (713,537)
United States Dollar 720,000 JPY 79,763,760 08/16/06 (22,549)
United States Dollar 8,240,000 JPY 921,661,850 08/22/06 (173,609)
United States Dollar 16,510,000 JPY1,873,681,150 08/22/06 (111,529)
United States Dollar 3,954,824 JPY 438,132,250 08/22/06 (120,287)
United States Dollar 74,457,149 JPY8,211,650,024 08/22/06 (2,588,728)
United States Dollar 6,720,000 JPY 760,668,350 08/22/06 (62,625)
United States Dollar 1,960,000 JPY 218,502,960 08/22/06 (47,661)
United States Dollar 1,809,911 JPY 195,517,495 08/22/06 (98,741)
United States Dollar 3,980,000 JPY 451,248,300 11/29/06 22,553
United States Dollar 510,000 JPY 57,615,720 11/29/06 1,049
</Table>
156
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS--(CONCLUDED)
<Table>
<Caption>
UNREALIZED
CONTRACTS TO MATURITY APPRECIATION
DELIVER IN EXCHANGE FOR DATES (DEPRECIATION)
- ----------------------------------------------------------------------------------
United States Dollar 5,410,000 JPY 619,934,605 11/29/06 $ 88,793
United States Dollar 1,030,000 JPY 115,705,050 11/29/06 (3,701)
United States Dollar 7,655,607 KRW7,331,392,000 08/22/06 24,772
United States Dollar 5,226,347 KRW4,888,463,645 08/22/06 (105,184)
United States Dollar 7,898,332 KRW7,511,313,645 11/29/06 (7,306)
United States Dollar 4,707,605 KRW4,500,000,000 12/06/06 20,862
United States Dollar 1,469,195 MXN 16,820,691 08/22/06 63,707
United States Dollar 820,474 MXN 9,024,395 08/22/06 1,936
United States Dollar 9,781,658 MXN 111,382,932 08/22/06 368,884
United States Dollar 1,203,186 MXN 13,751,214 08/22/06 49,989
United States Dollar 2,235,886 MYR 8,000,000 09/20/06 (42,573)
United States Dollar 3,498,850 NOK 21,395,465 08/22/06 (16,674)
United States Dollar 127,197 NZD 210,000 08/22/06 2,326
United States Dollar 839,998 NZD 1,390,000 08/22/06 17,321
United States Dollar 3,219,296 NZD 5,330,000 08/22/06 68,122
United States Dollar 1,076,751 PLN 3,435,914 08/22/06 37,403
United States Dollar 2,690,035 PLN 8,285,309 08/22/06 (3,380)
United States Dollar 1,583,714 PLN 4,791,367 08/22/06 (30,030)
United States Dollar 3,243,149 PLN 10,459,157 08/22/06 148,414
United States Dollar 11,941,800 SEK 86,418,031 08/22/06 73,632
United States Dollar 270,000 SEK 1,935,630 08/22/06 (873)
United States Dollar 230,000 SGD 359,157 08/22/06 (2,249)
United States Dollar 2,930,000 SGD 4,577,878 08/22/06 (27,041)
United States Dollar 6,222,793 SGD 9,707,558 08/22/06 (66,962)
United States Dollar 2,133,333 THB 80,000,000 09/20/06 (18,982)
United States Dollar 1,348,179 ZAR 8,211,220 08/22/06 (167,814)
$(2,721,721)
</Table>
CURRENCY TYPE ABBREVIATIONS:
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro Dollar
GBP Great Britain Pound
HUF Hungarian Forint
157
<Page>
CURRENCY TYPE ABBREVIATIONS--(CONCLUDED):
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
NZD New Zealand Dollar
NOK Norwegian Krone
PLN Polish Zloty
SEK Swedish Krona
SGD Singapore Dollar
SKK Slovakia Koruna
THB Thai Baht
USD United States Dollar
ZAR South African Rand
INVESTMENTS BY TYPE OF ISSUER (UNAUDITED)
PERCENTAGE
OF PORTFOLIO ASSETS
----------------------
LONG-TERM SHORT-TERM
- --------------------------------------------------------------------------------
Government and other public issuers 66.78% 3.17%
Repurchase agreement -- 7.63
Bank and other financial institutions 16.81 1.14
Industrial 4.47 --
Money market fund -- 0.00*
88.06% 11.94%
* Weighting represents less than 0.01% of portfolio assets as of July 31,
2006.
See accompanying notes to financial statements
158
<Page>
UBS PACE Select Advisors Trust
UBS PACE HIGH YIELD INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)+ DATES RATES VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS--88.31%
AEROSPACE & DEFENSE--4.21%
$ 75 Alliant Techsystems, Inc. 04/01/16 6.750% $ 72,750
110 DRS Technologies, Inc. 11/01/13 6.875 106,425
85 Hexcel Corp. 02/01/15 6.750 81,387
210 Sequa Corp. 08/01/09 9.000 221,025
481,587
AIRLINES--2.27%
205 American Airlines, Inc., Series
2001-1, Class B 05/23/19 7.377 184,886
75 Continental Airlines, Inc., Series D 12/01/06 7.568 74,842
259,728
APPAREL/TEXTILES--0.45%
50 Phillips Van Heusen 05/01/13 8.125 51,250
AUTO & TRUCK--3.79%
200 Ford Motor Co. 07/16/31 7.450 147,000
350 General Motors (1) 07/15/33 8.375 287,000
434,000
AUTOMOTIVE--2.02%
70 Ashtead Holdings PLC* 08/01/15 8.625 69,125
85 Avis Budget Car Rental* 05/15/14 7.625 83,300
55 Hertz Corp.* 01/01/14 8.875 57,337
20 Hertz Corp.* 01/01/16 10.500 21,750
231,512
AUTOMOTIVE PARTS--0.48%
65 J.B. Poindexter & Co. 03/15/14 8.750 54,600
BEVERAGES--1.71%
190 Constellation Brands, Inc., Series B 01/15/12 8.125 195,700
BUILDING MATERIALS--0.57%
60 Interface, Inc. 02/01/10 10.375 65,550
BUILDING PRODUCTS--1.98%
75 Ainsworth Lumber 03/15/14 6.750 55,125
40 K. Hovnanian Enterprises 05/15/13 7.750 35,900
50 Nortek, Inc. 09/01/14 8.500 46,750
90 US Concrete, Inc. 04/01/14 8.375 89,100
226,875
BUILDING PRODUCTS-CEMENT--0.54%
62 Texas Industries, Inc. 07/15/13 7.250 62,078
CABLE--3.11%
120 CCH I Holdings LLC 01/15/15 12.125# 72,600
35 Charter Communications Operating LLC* 04/30/14 8.375 35,262
50 DIRECTV Holdings Finance 03/15/13 8.375 52,375
200 EchoStar DBS Corp. 10/01/11 6.375 195,500
355,737
CHEMICALS--6.38%
65 Chemtura Corp. 06/01/16 6.875 62,725
70 Hexion US Finance Nova Scotia 07/15/14 9.000 71,575
159
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)+ DATES RATES VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS--(CONTINUED)
CHEMICALS--(CONCLUDED)
$175 Huntsman LLC 07/15/12 11.500% $195,125
100 Innophos, Inc. 08/15/14 8.875 100,000
65 Lyondell Chemical Co. 07/15/12 11.125 70,769
80 Nalco Co. 11/15/11 7.750 80,400
50 Nova Chemicals Corp. 01/15/12 6.500 46,500
100 OM Group, Inc. 12/15/11 9.250 103,500
730,594
COMMERCIAL SERVICES--2.43%
180 Iron Mountain, Inc. 01/15/15 7.750 175,500
105 Lamar Media Corp. 01/01/13 7.250 103,162
278,662
COMMUNICATIONS EQUIPMENT--2.20%
250 American Tower Corp. 10/15/12 7.125 251,250
COMPUTER SOFTWARE & SERVICES--0.94%
105 Sungard Data Systems, Inc. 08/15/13 9.125 107,231
CONSUMER PRODUCTS--0.71%
85 Scotts Co. 11/15/13 6.625 81,706
CONTAINERS & PACKAGING--2.17%
50 Ball Corp. 12/15/12 6.875 49,750
65 Crown Americas* 11/15/13 7.625 64,188
70 Owens-Brockway Glass Container, Inc. 11/15/12 8.750 73,850
EUR 50 Owens-Brockway Glass Container, Inc. 12/01/14 6.750 60,836
248,624
ELECTRIC UTILITIES--3.07%
90 Edison Mission Energy* 06/15/13 7.500 88,875
60 Midwest Generation LLC 05/01/34 8.750 63,825
100 MSW Energy Holdings Finance 09/01/10 8.500 102,000
98 Tenaska Alabama Partners* 06/30/21 7.000 96,196
350,896
ELECTRONICS--0.84%
100 L-3 Communications Corp., Series B 10/15/15 6.375 96,000
ENERGY--1.59%
55 Alpha Natural Resources 06/01/12 10.000 58,437
75 Foundation PA Coal Co. 08/01/14 7.250 72,750
55 Massey Energy Co. 12/15/13 6.875 50,738
181,925
ENERGY-INDEPENDENT--1.45%
170 NRG Energy, Inc. 02/01/14 7.250 166,388
FINANCE-CAPTIVE AUTOMOTIVE--3.48%
175 Ford Motor Credit Co. 10/01/13 7.000 153,707
250 General Motors Acceptance Corp. 11/01/31 8.000 245,176
398,883
FINANCE-DIVERSIFIED--0.87%
95 UCAR Finance, Inc. 02/15/12 10.250 99,394
160
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)+ DATES RATES VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS--(CONTINUED)
FINANCE-OTHER--1.66%
$200 Arch Western Finance 07/01/13 6.750% $190,500
GAMING--4.79%
85 Isle of Capri Casinos 03/01/14 7.000 81,175
165 Mandalay Resort Group 12/15/11 6.375 157,575
75 Mohegan Tribal Gaming 02/15/13 6.125 71,250
65 River Rock Entertainment 11/01/11 9.750 68,250
180 Wynn Las Vegas LLC Corp. 12/01/14 6.625 169,650
547,900
INDUSTRIAL PRODUCTS & SERVICES--2.11%
255 Allied Waste North America, Series B 02/15/11 5.750 240,975
MACHINERY--1.73%
200 Terex Corp. 01/15/14 7.375 198,500
MACHINERY-AGRICULTURE & CONSTRUCTION--1.84%
200 Case New Holland, Inc. 08/01/11 9.250 210,750
MANUFACTURING-DIVERSIFIED--0.29%
45 Koppers Holdings, Inc. 11/15/14 9.875# 32,963
METALS--6.08%
125 California Steel Industries 03/15/14 6.125 116,250
85 Century Aluminum Co. 08/15/14 7.500 84,575
70 Jorgensen Earle M. Co. 06/01/12 9.750 74,550
117 Mueller Group, Inc. 05/01/12 10.000 126,360
200 Novelis, Inc.* 02/15/15 7.250 193,500
50 RathGibson, Inc.* 02/15/14 11.250 51,750
50 Ryerson, Inc. 12/15/11 8.250 49,250
696,235
OIL & GAS--2.09%
200 Pacific Energy Partners 09/15/15 6.250 194,000
45 SemGroup LP* 11/15/15 8.750 45,225
239,225
OIL EQUIPMENT--2.60%
45 Dynegy Holdings, Inc. 02/15/12 8.750 46,125
35 Markwest Energy Partners* 07/15/16 8.500 35,350
65 Range Resources Corp. 07/15/13 7.375 65,406
75 Sonat, Inc. 07/15/11 7.625 75,937
75 Universal Compression, Inc. 05/15/10 7.250 75,188
298,006
OIL REFINING--2.62%
210 Frontier Oil Corp. 10/01/11 6.625 203,700
100 Tesoro Corp.* 11/01/12 6.250 95,875
299,575
OIL SERVICES--6.46%
85 Basic Energy Services* 04/15/16 7.125 79,262
200 Chesapeake Energy Corp. 09/15/13 7.500 201,250
5 Chesapeake Energy Corp. 06/15/15 6.375 4,700
161
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000)+ DATES RATES VALUE
- --------------------------------------------------------------------------------
CORPORATE BONDS--(CONCLUDED)
OIL SERVICES--(CONCLUDED)
$ 60 Delta Petroleum Corp. 04/01/15 7.000% $ 56,400
50 Hilcorp Energy Co.* 06/01/16 9.000 51,750
180 Hornbeck Offshore Services,
Series B 12/01/14 6.125 167,850
110 Houston Exploration Co. 06/15/13 7.000 107,800
70 Williams Partners LP* 06/15/11 7.500 70,175
739,187
PAPER & FOREST PRODUCTS--1.00%
115 Georgia-Pacific Corp. 05/15/11 8.125 114,713
PERSONAL PRODUCTS--0.73%
80 Nutro Products, Inc.* 04/15/14 10.750 83,400
RETAIL--2.58%
185 Inergy LP 12/15/14 6.875 174,362
85 Neiman Marcus Group, Inc. 10/15/15 9.000 89,569
30 Neiman Marcus Group, Inc. 10/15/15 10.375 31,838
295,769
RETAIL (FOOD)--0.36%
40 Domino's, Inc. 07/01/11 8.250 41,300
TELECOMMUNICATIONS--0.32%
35 Windstream Corp.* 08/01/13 8.125 36,400
TELECOMMUNICATION SERVICES--2.21%
50 Rogers Wireless, Inc. 12/15/12 8.000 51,500
185 Ubiquitel Operating Co. 03/01/11 9.875 201,187
252,687
TEXTILE MILL PRODUCTS--0.63%
70 Invista* 05/01/12 9.250 72,450
TRANSPORTATION SERVICES--0.95%
62 Bristow Group, Inc. 06/15/13 6.125 57,505
55 PHI, Inc.* 04/15/13 7.125 51,563
109,068
- --------------------------------------------------------------------------------
Total corporate bonds (cost--$10,268,389) 10,109,773
================================================================================
REPURCHASE AGREEMENT--15.40%
1,763 Repurchase agreement dated
07/31/06 with State Street Bank &
Trust Co., collateralized by
$1,849,296 US Treasury Notes,
3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$1,798,261);
proceeds: $1,763,238
(cost--$1,763,000) 08/01/06 4.860 1,763,000
NUMBER OF
SHARES
(000)
- --------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--2.70%
MONEY MARKET FUNDS++--2.70%
7 AIM Liquid Assets Portfolio 5.175 6,858
285 AIM Prime Portfolio 5.216 285,445
17 UBS Private Money Market Fund LLC** 5.195 16,547
- --------------------------------------------------------------------------------
Total money market funds and investments of
cash collateral from securities loaned
(cost--$308,850) 308,850
================================================================================
162
<Page>
VALUE
- --------------------------------------------------------------------------------
Total investments (cost--$12,340,239)--106.41% $12,181,623
Liabilities in excess of other assets--(6.41)% (733,502)
- --------------------------------------------------------------------------------
Net assets--100.00% $11,448,121
================================================================================
+ In US Dollars unless otherwise indicated.
++ Interest rates shown reflect yield at July 31, 2006.
* Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 12.08% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
# Denotes a step-up bond that converts to the noted fixed rate at a
designated future date.
(1) Security, or portion thereof, was on loan at July 31, 2006.
EUR Euro Dollar
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the period ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE
VALUE AT PERIOD ENDED PERIOD ENDED VALUE AT FOR THE PERIOD
SECURITY DESCRIPTION 04/03/06^ 07/31/06 07/31/06 07/31/06 ENDED 07/31/06
- -------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $-- $426,946 $410,399 $16,547 $162
</Table>
^ The Portfolio commenced operations on April 3,2006.
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 96.6%
Canada 2.8
United Kingdom 0.6
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
163
<Page>
UBS PACE SELECT ADVISORS TRUST
UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--98.56%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE--2.42%
Boeing Co. 27,300 $ 2,113,566
Lockheed Martin Corp. 213,000 16,971,840
Raytheon Co. 254,100 11,452,287
United Technologies Corp. 74,498 4,633,031
35,170,724
AIR FREIGHT & COURIERS--0.32%
FedEx Corp. 44,300 4,638,653
AUTOMOBILES--0.50%
Ford Motor Co. (1) 1,087,000 7,250,290
BANKS--7.28%
Bank of America Corp. (1) 1,214,100 62,562,573
KeyCorp 289,100 10,667,790
PNC Financial Services Group, Inc. 159,700 11,313,148
SunTrust Banks, Inc. 10,700 843,909
US Bancorp 147,900 4,732,800
Washington Mutual, Inc. (1) 353,500 15,801,450
105,921,670
BEVERAGES--0.57%
Coca-Cola Enterprises, Inc. 150,500 3,229,730
Pepsi Bottling Group, Inc. 151,100 5,024,075
8,253,805
BIOTECHNOLOGY--0.02%
MedImmune, Inc.* 14,100 357,858
CHEMICALS--0.84%
FMC Corp. 52,600 3,244,894
Hercules, Inc.* 97,500 1,355,250
Lyondell Chemical Co. 126,600 2,819,382
PPG Industries, Inc. 72,500 4,461,650
Tronox, Inc., Class B 24,398 320,834
12,202,010
COMMERCIAL SERVICES & SUPPLIES--0.95%
Apollo Group, Inc., Class A* 137,400 6,501,768
Career Education Corp. (1)* 118,600 3,375,356
Cendant Corp. 206,500 3,099,565
Corinthian Colleges, Inc.* 60,000 805,200
13,781,889
COMMUNICATIONS EQUIPMENT--1.69%
Harris Corp. 104,400 4,755,420
Motorola, Inc. 869,500 19,789,820
24,545,240
COMPUTERS & PERIPHERALS--3.28%
Hewlett-Packard Co. (1) 836,800 26,702,288
International Business Machines Corp. 172,150 13,326,131
Lexmark International, Inc., Class A* 142,900 7,723,745
47,752,164
DIVERSIFIED FINANCIALS--13.84%
American Express Co. 361,381 18,813,495
AmeriCredit Corp.* 277,800 6,831,102
Ameriprise Financial, Inc. 115,100 5,133,460
Bear Stearns Cos., Inc. (1) 49,900 7,079,313
Capital One Financial Corp. (1) 163,800 12,669,930
CapitalSource, Inc. (1) 149,100 3,517,269
Citigroup, Inc. (1) 1,210,399 58,474,376
E*TRADE Financial Corp.* 271,600 6,330,996
Franklin Resources, Inc. 103,800 9,492,510
J.P. Morgan Chase & Co. 1,082,570 49,386,843
Lehman Brothers Holdings, Inc. 71,900 4,669,905
Morgan Stanley & Co. 139,000 9,243,500
Principal Financial Group, Inc. 169,300 9,142,200
Raymond James Financial, Inc. 24,700 717,782
201,502,681
DIVERSIFIED TELECOMMUNICATION SERVICES--3.72%
ALLTEL Corp. 84,700 4,672,899
AT&T, Inc. (1) 461,259 13,833,157
CenturyTel, Inc. (1) 132,800 5,122,096
Sprint Corp. 464,190 9,190,962
Verizon Communications, Inc. 630,401 21,320,162
54,139,276
ELECTRIC UTILITIES--4.52%
American Electric Power Co., Inc. 194,900 7,039,788
Dominion Resources, Inc. (1) 189,650 14,883,732
DTE Energy Co. 111,600 4,722,912
Entergy Corp. 196,150 15,123,165
Exelon Corp. 150,800 8,731,320
FPL Group, Inc. (1) 108,700 4,689,318
PG&E Corp. 218,000 9,086,240
PPL Corp. (1) 47,000 1,598,940
65,875,415
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.19%
Agilent Technologies, Inc.* 98,600 2,804,184
ENERGY EQUIPMENT & SERVICES--1.12%
Baker Hughes, Inc. 58,000 4,637,100
Halliburton Co. 349,650 11,664,324
16,301,424
FOOD & DRUG RETAILING--0.50%
SUPERVALU, INC 270,400 7,330,544
FOOD PRODUCTS--1.00%
ConAgra Foods, Inc. (1) 206,600 4,441,900
Del Monte Foods Co. 119,500 1,252,360
General Mills, Inc. (1) 171,300 8,890,470
14,584,730
164
<Page>
UBS PACE Select Advisors Trust
UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
GAS UTILITIES--0.38%
National Fuel Gas Co. 41,300 $ 1,533,882
Sempra Energy 84,400 4,073,144
5,607,026
HEALTH CARE EQUIPMENT & SUPPLIES--1.15%
Baxter International, Inc. 399,150 16,764,300
HEALTH CARE PROVIDERS & SERVICES--2.30%
AmerisourceBergen Corp. 269,600 11,592,800
Coventry Health Care, Inc.* 33,900 1,786,530
Health Net, Inc.* 108,600 4,557,942
Humana, Inc.* 219,700 12,287,821
WellCare Health Plans, Inc.* 68,100 3,340,986
33,566,079
HOTELS, RESTAURANTS & LEISURE--3.22%
Darden Restaurants, Inc. (1) 277,400 9,376,120
McDonald's Corp. 801,050 28,349,160
Starwood Hotels & Resorts Worldwide, Inc. (1) 173,700 9,133,146
46,858,426
HOUSEHOLD PRODUCTS--0.91%
Colgate-Palmolive Co. 142,700 8,464,964
Procter & Gamble Co. 85,400 4,799,480
13,264,444
INDUSTRIAL CONGLOMERATES--3.36%
General Electric Co. 1,009,200 32,990,748
Honeywell International, Inc. 292,750 11,329,425
Textron, Inc. 51,200 4,603,392
48,923,565
INSURANCE--8.78%
Allstate Corp. 319,700 18,165,354
American International Group, Inc. 322,350 19,556,974
Aon Corp. (1) 426,296 14,592,112
Assurant, Inc. 92,400 4,450,908
Chubb Corp. 233,300 11,762,986
First American Corp. 135,900 5,029,659
Hartford Financial Services Group, Inc. 105,300 8,933,652
MetLife, Inc. (1) 209,300 10,883,600
Prudential Financial, Inc. (1) 119,100 9,366,024
RenaissanceRe Holdings Ltd. 47,000 2,435,070
St. Paul Cos., Inc. (1) 227,372 10,413,638
W.R. Berkley Corp. 226,925 8,169,300
XL Capital Ltd., Class A (1) 63,100 4,019,470
127,778,747
INTERNET SOFTWARE & SERVICES--0.82%
Automatic Data Processing, Inc. 198,500 8,686,360
McAfee, Inc.* 153,900 3,316,545
12,002,905
IT CONSULTING & SERVICES--0.08%
Computer Sciences Corp.* 23,100 1,210,209
MACHINERY--1.74%
AGCO Corp.* 64,200 1,474,032
Caterpillar, Inc. 162,400 11,509,288
Cummins, Inc. (1) 18,600 2,176,200
Ingersoll-Rand Co. Ltd., Class A 29,900 1,070,420
ITT Industries, Inc. 178,800 9,038,340
25,268,280
MARINE--0.52%
Overseas Shipholding Group, Inc. 117,400 7,559,386
MEDIA--1.46%
CBS Corp., Class B 475,450 13,041,594
Omnicom Group, Inc. 18,800 1,663,988
Walt Disney Co. (1) 223,100 6,623,839
21,329,421
METALS & MINING--2.70%
IPSCO, Inc. 49,800 4,686,678
Nucor Corp. 29,500 1,568,515
Phelps Dodge Corp. 104,200 9,100,828
Steel Dynamics, Inc. 129,900 7,536,798
US Steel Corp. 259,800 16,385,586
39,278,405
MULTI-LINE RETAIL--2.27%
Big Lots, Inc.* 207,300 3,349,968
Federated Department Stores, Inc. 258,400 9,072,424
Sears Holdings Corp.* 31,813 4,366,334
Wal-Mart Stores, Inc. 364,450 16,218,025
33,006,751
MULTI-UTILITIES--0.40%
Duke Energy Corp. 193,000 5,851,760
OIL & GAS--12.80%
Apache Corp. 135,602 9,555,873
ChevronTexaco Corp. 99,200 6,525,376
ConocoPhillips 144,300 9,904,752
Equitable Resources, Inc. 70,300 2,531,503
Exxon Mobil Corp. (1) 1,293,512 87,622,503
Frontier Oil Corp. 254,300 8,964,075
Marathon Oil Corp. 245,800 22,279,312
Murphy Oil Corp. (1) 161,006 8,285,369
165
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
OIL & GAS--(CONCLUDED)
Occidental Petroleum Corp. 173,700 $ 18,716,175
Sunoco, Inc. 116,600 8,108,364
Tesoro Corp. 51,000 3,814,800
186,308,102
PAPER & FOREST PRODUCTS--0.36%
Louisiana-Pacific Corp. 259,000 5,180,000
PHARMACEUTICALS--5.60%
Abbott Laboratories (1) 215,650 10,301,600
Bristol-Myers Squibb Co. 375,700 9,005,529
King Pharmaceuticals, Inc.* 149,400 2,542,788
Merck & Co., Inc. 552,000 22,229,040
Novartis AG, ADR 320,250 18,004,455
Pfizer, Inc. 748,400 19,450,916
81,534,328
REAL ESTATE--0.47%
Annaly Mortgage Management, Inc. 108,000 1,383,480
General Growth Properties, Inc. 81,700 3,728,788
Host Hotels & Resorts, Inc. (1) 81,200 1,723,064
6,835,332
ROAD & RAIL--1.69%
Burlington Northern Santa Fe Corp. 139,200 9,592,272
CSX Corp. 125,000 7,585,000
Norfolk Southern Corp. 170,650 7,409,623
24,586,895
SOFTWARE--0.76%
BMC Software, Inc. (1)* 92,500 $ 2,166,350
Microsoft Corp. 188,100 4,520,043
Oracle Corp.* 291,300 4,360,761
11,047,154
SPECIALTY RETAIL--1.44%
AnnTaylor Stores Corp. (1)* 205,600 8,441,936
AutoNation, Inc. (1)* 84,552 1,665,674
OfficeMax, Inc. 76,100 3,128,471
Payless ShoeSource, Inc. (1)* 300,000 7,764,000
21,000,081
TOBACCO--2.59%
Altria Group, Inc. 365,300 29,213,041
Loews Corp. - Carolina Group 147,000 8,434,860
37,647,901
- --------------------------------------------------------------------------------
Total common stocks (cost--$1,281,866,092) 1,434,822,054
================================================================================
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATE RATES VALUE
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT--1.21%
$17,615 Repurchase agreement dated
07/31/06 with State Street Bank
& Trust Co., collateralized by
$18,353,629 US Treasury Notes,
3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$17,970,131);
proceeds: $17,617,378
(cost--$17,615,000) 08/01/06 4.860% 17,615,000
NUMBER OF
SHARES
(000)
- --------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--15.45%
MONEY MARKET FUNDS+-- 5.49%
3 AIM Liquid Assets Portfolio 5.175 2,549
39 AIM Prime Portfolio 5.216 38,787
^0 BlackRock Provident
Institutional TempFund 5.127 60
50,007 DWS Money Market Series 5.216 50,007,454
29,789 UBS Private Money Market Fund
LLC** 5.195 29,788,941
- --------------------------------------------------------------------------------
Total money market funds (cost--$79,837,791) 79,837,791
================================================================================
166
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATE RATES VALUE
- -----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS-- 9.96%
$ 75,000 Repurchase agreement dated
07/31/06 with Barclays Bank PLC,
collateralized by $66,348,000
Federal Home Loan Mortgage Corp.
obligations, zero coupon due
10/31/06 and $10,958,000 Federal
National Mortgage Association
obligations, 5.250% due
12/03/07; (value--$76,500,193);
proceeds: $75,010,958 08/01/06 5.260 $ 75,000,000
70,000 Repurchase agreement dated
07/31/06 with Deutsche Bank
Securities, Inc., collateralized
by $71,050,000 Federal Home Loan
Bank obligations, 3.750% to
5.375% due 09/29/06 to 08/15/24;
(value--$71,404,096); proceeds:
$70,010,228 08/01/06 5.260 70,000,000
- -----------------------------------------------------------------------------------
Total repurchase agreements
(cost--$145,000,000) 145,000,000
- -----------------------------------------------------------------------------------
Total investments of cash collateral from
securities loaned (cost--$224,837,791) 224,837,791
- -----------------------------------------------------------------------------------
Total investments
(cost--$1,524,318,883)--115.22% 1,677,274,845
Liabilities in excess of other
assets--(15.22)% (221,525,130)
- -----------------------------------------------------------------------------------
Net assets--100.00% $1,455,749,715
===================================================================================
</Table>
* Non-income producing security.
(1) Security, or portion thereof, was on loan at July 31, 2006.
+ Interest rates shown reflect yield at July 31, 2006.
^ Amount represents less than 500 shares.
ADR American Depositary Receipt.
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE FOR
VALUE AT YEAR ENDED YEAR ENDED VALUE AT THE YEAR ENDED
SECURITY DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- ----------------------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $124,567,523 $1,226,654,511 $1,321,433,093 $29,788,941 $23,215
</Table>
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 98.2%
Switzerland 1.1
Canada 0.3
Bermuda 0.2
Cayman Islands 0.2
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
167
<Page>
UBS PACE Select Advisors Trust
UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--94.04%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE--2.64%
General Dynamics Corp. 110,092 $ 7,378,366
Lockheed Martin Corp. 132,383 10,548,277
Northrop Grumman Corp. 9,500 628,805
Raytheon Co. 40,400 1,820,828
United Technologies Corp. 121,700 7,568,523
27,944,799
AIR FREIGHT & COURIERS--1.62%
FedEx Corp. 164,322 17,206,157
AUTOMOBILES--1.03%
Toyota Motor Corp., ADR 103,859 10,928,044
BANKS--0.52%
PNC Financial Services Group, Inc. 48,600 3,442,824
Wells Fargo & Co. 28,488 2,060,822
5,503,646
BEVERAGES--0.99%
Coca-Cola Co. 178,400 3,828,464
Pepsi Bottling Group, Inc. 98,600 3,278,450
PepsiCo, Inc. 52,900 3,352,802
10,459,716
BIOTECHNOLOGY--4.22%
Amgen, Inc.* 222,519 15,518,475
Biogen Idec, Inc.* 111,100 4,679,532
Genentech, Inc.* 258,016 20,852,853
Genzyme Corp.* 28,564 1,950,350
Gilead Sciences, Inc.* 14,000 860,720
Invitrogen Corp.* 12,700 784,733
44,646,663
BUILDING PRODUCTS--0.88%
Lennar Corp., Class A 142,314 6,365,705
Masco Corp. (1) 110,100 2,942,973
9,308,678
CHEMICALS--1.50%
Monsanto Co. 324,038 13,930,394
Rohm and Haas Co. 41,600 1,918,592
15,848,986
COMMERCIAL SERVICES & SUPPLIES--2.77%
Apollo Group, Inc., Class A* 71,500 3,383,380
Career Education Corp. (1)* 93,700 2,666,702
Cendant Corp. 270,300 4,057,203
First Data Corp. 370,182 15,121,935
Hewitt Associates, Inc., Class A* 12,400 278,628
Paychex, Inc. 112,798 3,855,435
29,363,283
COMMUNICATIONS EQUIPMENT--4.28%
Cisco Systems, Inc.* 1,155,050 $ 20,617,643
Motorola, Inc. 474,394 10,797,207
QUALCOMM, Inc. (1) 394,721 13,917,863
45,332,713
COMPUTERS & PERIPHERALS--2.68%
Dell, Inc.* 133,309 2,890,139
EMC Corp.* 126,200 1,280,930
Hewlett-Packard Co. 145,300 4,636,523
International Business Machines Corp. 129,000 9,985,890
Lexmark International, Inc., Class A* 95,100 5,140,155
NVIDIA Corp.* 81,600 1,805,808
Western Digital Corp. (1)* 148,600 2,606,444
28,345,889
DIVERSIFIED FINANCIALS--9.47%
American Express Co. 80,500 4,190,830
Ameriprise Financial, Inc. 93,100 4,152,260
Capital One Financial Corp. 58,400 4,517,240
Chicago Mercantile Exchange Holdings, Inc. 15,421 7,112,165
Citigroup, Inc. 101,500 4,903,465
Fannie Mae (1) 123,052 5,895,421
Goldman Sachs Group, Inc. 128,529 19,632,805
Lehman Brothers Holdings, Inc. 156,722 10,179,094
SLM Corp. (1) 470,073 23,644,672
State Street Corp. 267,705 16,078,362
100,306,314
DIVERSIFIED TELECOMMUNICATION SERVICES--0.24%
Embarq Corp.* 5,645 255,436
Sprint Nextel Corp. 112,900 2,235,420
2,490,856
ELECTRICAL EQUIPMENT--1.37%
Emerson Electric Co. 18,000 1,420,560
Molex, Inc., Class A 482,979 13,054,922
14,475,482
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.07%
Waters Corp.* 18,900 768,852
ENERGY EQUIPMENT & SERVICES--4.38%
Halliburton Co. 326,902 10,905,451
Schlumberger Ltd. (1) 388,194 25,950,769
Transocean, Inc. (1)* 124,078 9,582,544
46,438,764
FOOD PRODUCTS--0.33%
General Mills, Inc. 64,900 3,368,310
Sara Lee Corp. 10,400 175,760
3,544,070
168
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--3.02%
Baxter International, Inc. 42,300 $ 1,776,600
Becton, Dickinson and Co. 87,600 5,774,592
Kinetic Concepts, Inc.* 45,700 2,036,392
Medtronic, Inc. (1) 253,282 12,795,807
Zimmer Holdings, Inc.* 152,560 9,647,894
32,031,285
HEALTH CARE PROVIDERS & SERVICES--7.08%
Cardinal Health, Inc. 65,600 4,395,200
Coventry Health Care, Inc.* 99,000 5,217,300
Health Net, Inc.* 15,300 642,141
Humana, Inc.* 73,000 4,082,890
Lincare Holdings, Inc. (1)* 257,384 8,959,537
McKesson Corp. 43,300 2,181,887
UnitedHealth Group, Inc. (1) 919,098 43,960,457
Universal Health Services, Inc., Class B (1) 15,100 845,600
WellCare Health Plans, Inc.* 95,000 4,660,700
74,945,712
HOTELS, RESTAURANTS & LEISURE--4.63%
Carnival Corp. (1) 270,716 10,547,095
Darden Restaurants, Inc. (1) 8,800 297,440
Four Seasons Hotels, Inc. (1) 37,859 2,082,624
Las Vegas Sands Corp.* 144,254 8,948,076
MGM Mirage* 276,868 9,839,889
Starbucks Corp.* 243,650 8,347,449
Wynn Resorts, Ltd. (1)* 140,134 8,969,977
49,032,550
HOUSEHOLD DURABLES--0.27%
Newell Rubbermaid, Inc. (1) 107,500 2,833,700
HOUSEHOLD PRODUCTS--1.39%
Procter & Gamble Co. 262,337 14,743,339
INSURANCE--2.63%
AFLAC, Inc. 287,122 12,673,565
American Financial Group, Inc. 19,300 812,723
American International Group, Inc. 15,500 940,385
CNA Financial Corp.* 20,000 679,000
Genworth Financial, Inc., Class A 263,773 9,047,414
St. Paul Travelers Cos., Inc. (1) 68,500 3,137,300
W.R. Berkley Corp. 16,875 607,500
27,897,887
INTERNET & CATALOG RETAIL--0.71%
eBay, Inc.* 311,093 7,488,009
INTERNET SOFTWARE & SERVICES--1.41%
Google, Inc., Class A* 2,400 927,840
McAfee, Inc. (1)* 217,500 4,687,125
Yahoo!, Inc.* 343,520 9,323,133
14,938,098
IT CONSULTING & SERVICES--0.42%
Computer Sciences Corp.* 85,600 4,484,584
LEISURE EQUIPMENT & PRODUCTS--0.29%
Harley-Davidson, Inc. 54,800 3,123,600
MACHINERY--4.11%
Caterpillar, Inc. 194,440 13,779,963
Cummins, Inc. 21,800 2,550,600
Danaher Corp. (1) 92,000 5,998,400
Deere & Co. (1) 29,138 2,114,545
Dover Corp. 345,572 16,290,264
Illinois Tool Works, Inc. 60,600 2,771,238
43,505,010
MARINE--0.06%
Overseas Shipholding Group, Inc. 10,600 682,534
MEDIA--4.92%
CBS Corp., Class B 127,700 3,502,811
Comcast Corp., Class A* 420,068 14,441,938
Comcast Corp., Special Class A (1)* 371,207 12,724,976
Liberty Global, Inc. (1)* 619,364 13,118,129
Omnicom Group, Inc. 44,000 3,894,440
Viacom, Inc., Class B* 29,900 1,042,015
Walt Disney Co. 114,800 3,408,412
52,132,721
METALS & MINING--1.25%
Freeport-McMoRan Copper & Gold, Inc. Class B (1) 35,000 1,909,600
Nucor Corp. (1) 58,800 3,126,396
Phelps Dodge Corp. 48,000 4,192,320
Steel Dynamics, Inc. 52,000 3,017,040
United States Steel Corp. 15,200 958,664
13,204,020
MULTI-LINE RETAIL--1.59%
Costco Wholesale Corp. 68,700 3,624,612
J.C. Penney Co., Inc. (Holding Co.) (1) 58,700 3,695,752
Kohl's Corp.* 74,300 4,207,609
Sears Holdings Corp.* 22,100 3,033,225
Wal-Mart Stores, Inc. 51,200 2,278,400
16,839,598
OFFICE ELECTRONICS--0.10%
Xerox Corp.* 77,500 1,091,975
169
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
OIL & GAS--0.62%
Exxon Mobil Corp. 52,700 $ 3,569,898
Sunoco, Inc. 42,700 2,969,358
6,539,256
PAPER & FOREST PRODUCTS--0.13%
Weyerhaeuser Co. (1) 23,800 1,396,108
PHARMACEUTICALS--4.58%
Abbott Laboratories 36,441 1,740,787
Forest Laboratories, Inc. (1)* 107,000 4,955,170
Johnson & Johnson 277,268 17,343,113
Merck & Co., Inc. (1) 228,452 9,199,762
Pfizer, Inc. 587,166 15,260,444
48,499,276
REAL ESTATE--1.14%
CB Richard Ellis Group, Inc., Class A* 18,457 434,293
ProLogis REIT 210,509 11,651,673
12,085,966
ROAD & RAIL--2.18%
Burlington Northern Santa Fe Corp. 163,079 11,237,774
Norfolk Southern Corp. 75,200 3,265,184
Union Pacific Corp. 100,795 8,567,575
23,070,533
SEMICONDUCTOR EQUIPMENT & PRODUCTS--3.85%
Analog Devices, Inc. 268,604 8,683,967
Intel Corp. 381,700 6,870,600
Lam Research Corp.* 78,000 3,244,020
Linear Technology Corp. (1) 190,731 6,170,148
Maxim Integrated Products, Inc. 52,000 1,527,760
National Semiconductor Corp. 105,100 2,444,626
Texas Instruments, Inc. 395,992 11,792,642
40,733,763
SOFTWARE--3.33%
Intuit, Inc.* 588,992 $ 18,182,183
Microsoft Corp. 690,803 16,599,996
Red Hat, Inc.* 21,700 513,856
35,296,035
SPECIALTY RETAIL--5.00%
American Eagle Outfitters, Inc. 108,200 3,555,452
AnnTaylor Stores Corp. (1)* 80,000 3,284,800
AutoZone, Inc.* 34,700 3,049,089
Bed, Bath & Beyond, Inc.* 319,937 10,711,491
CDW Corp. 9,000 531,720
Home Depot, Inc. 317,884 11,033,754
Lowe's Cos., Inc. (1) 492,984 13,976,096
Sherwin-Williams Co. (1) 73,600 3,724,160
Staples, Inc. 142,650 3,084,093
52,950,655
TEXTILES & APPAREL--0.03%
Coach, Inc.* 12,800 367,488
WIRELESS TELECOMMUNICATIONS SERVICES--0.31%
Vodafone Group PLC, ADR 152,534 3,306,926
- --------------------------------------------------------------------------------
Total common stocks (cost--$927,380,634) 996,133,540
================================================================================
TRACKING STOCKS--1.29%
DIVERSIFIED FINANCIALS--0.15%
SPDR Trust, Series 1 (1) 12,700 1,623,695
MEDIA--1.14%
Liberty Media Holding Corp. - Capital, Series A* 73,318 5,983,482
Liberty Media Holding Corp. - Interactive, Class A* 366,593 6,037,787
12,021,269
- --------------------------------------------------------------------------------
Total tracking stocks (cost--$11,613,271) 13,644,964
================================================================================
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATE RATE VALUE
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT--5.24%
$55,519 Repurchase agreement dated
07/31/06 with State Street Bank
& Trust Co., collateralized by
$58,179,004 US Treasury Notes,
3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$56,630,912);
proceeds: $55,526,495
(cost--$55,519,000) 08/01/06 4.860% 55,519,000
170
<Page>
NUMBER OF
SHARES INTEREST
(000) RATES VALUE
- --------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--10.86%
MONEY MARKET FUNDS+--2.75%
380 AIM Liquid Assets Portfolio 5.175% $ 380,128
43 AIM Prime Portfolio 5.216 42,502
8 BlackRock Provident
Institutional TempFund 5.127 7,976
25,010 DWS Money Market Series 5.216 25,010,254
3,764 UBS Private Money Market Fund
LLC** 5.195 3,764,297
- --------------------------------------------------------------------------------
Total money market funds (cost--$29,205,157) 29,205,157
================================================================================
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY
(000) DATES
- -----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS-- 8.11%
$35,885 Repurchase agreement dated
07/31/06 with Barclays Bank PLC,
collateralized by $37,404,000
Federal Home Loan Mortgage Corp.
obligations, zero coupon due
12/26/06; (value--$36,603,554);
proceeds: $35,890,506 08/01/06 5.260 35,885,263
50,000 Repurchase agreement dated
07/31/06 with Deutsche Bank
Securities Inc., collateralized
by $46,935,000 Federal Home Loan
Mortgage Corp. obligations,
5.125% due 10/15/08 and
$3,524,000 Federal National
Mortgage Association
obligations, 3.875% due
02/01/08; (value--$51,000,291);
proceeds: $50,007,306 08/01/06 5.260 50,000,000
Total repurchase agreements
(cost--$85,885,263) 85,885,263
- -----------------------------------------------------------------------------------
Total investments of cash collateral from
securities loaned (cost--$115,090,420) 115,090,420
- -----------------------------------------------------------------------------------
Total investments
(cost--$1,109,603,325)--111.43% 1,180,387,924
Liabilities in excess of other
assets--(11.43)% (121,125,745)
- -----------------------------------------------------------------------------------
Net assets--100.00% $1,059,262,179
===================================================================================
</Table>
* Non-income producing security.
(1) Security, or portion thereof, was on loan at July 31, 2006.
+ Interest rates shown reflect yield at July 31, 2006.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
SPDR Standard & Poor's Depositary Receipts
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the the year ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE FOR
SECURITY VALUE AT YEAR ENDED YEAR ENDED VALUE AT THE YEAR ENDED
DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- ---------------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $46,286,284 $941,050,765 $983,572,752 $3,764,297 $80,972
</Table>
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 94.7%
Netherlands Antilles 2.2
Japan 0.9
Panama 0.9
Cayman Islands 0.8
United Kingdom 0.3
Canada 0.2
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
171
<Page>
UBS PACE Select Advisors Trust
UBS PACE SMALL/MEDIUM CO VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--96.23%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.91%
Armor Holdings, Inc. (1)* 47,600 $ 2,459,016
Hexcel Corp.* 114,000 1,638,180
4,097,196
AIRLINES--0.90%
AMR Corp. (1)* 80,000 1,760,000
Mesa Air Group, Inc. (1)* 158,000 1,336,680
SkyWest, Inc. 39,400 955,450
4,052,130
AUTO COMPONENTS--1.24%
Aftermarket Technology Corp.* 88,000 1,923,680
BorgWarner, Inc. 40,970 2,458,200
Commercial Vehicle Group, Inc.* 67,100 1,208,471
5,590,351
AUTOMOBILES--0.55%
Thor Industries, Inc. (1) 32,000 1,370,880
Winnebago Industries, Inc. (1) 38,000 1,098,580
2,469,460
BANKS--7.29%
Boston Private Financial Holdings, Inc. 67,000 1,683,710
Cathay General Bancorp 30,000 1,102,500
City National Corp. 38,800 2,588,348
First Republic Bank 63,500 2,700,655
IBERIABANK Corp. 23,130 1,329,281
Investors Financial Services Corp. (1) 157,600 7,063,632
Popular, Inc. (1) 206,482 3,714,611
Prosperity Bancshares, Inc. 61,000 2,145,370
Sky Financial Group, Inc. 147,500 3,618,175
Superior Bancorp (1)* 137,000 1,505,630
TD Banknorth, Inc. 139,042 4,032,218
W Holding Co., Inc. 266,000 1,401,820
32,885,950
BUILDING PRODUCTS--0.29%
ElkCorp 52,800 1,316,832
CHEMICALS--1.33%
Agrium, Inc. (1) 97,800 2,370,672
Landec Corp.* 180,000 1,744,200
RPM International, Inc. (1) 100,000 1,874,000
5,988,872
COMMERCIAL SERVICES & SUPPLIES--10.46%
Adesa, Inc. 18,400 375,544
ARAMARK Corp., Class B 82,800 2,657,880
Central Parking Corp. (1) 103,000 1,584,140
Dun & Bradstreet Corp.* 35,200 2,348,544
Equifax, Inc. 134,000 4,325,520
H&R Block, Inc. 181,300 4,124,575
Herman Miller, Inc. 160,400 4,556,964
Hewitt Associates, Inc., Class A (1)* 288,500 6,482,595
LECG Corp.* 88,100 1,622,802
Navigant Consulting, Inc.* 97,800 1,866,024
Pitney Bowes, Inc. 170,700 7,053,324
ServiceMaster Co. (1) 301,700 3,104,493
Steelcase, Inc., Class A 217,900 3,200,951
Valassis Communications, Inc.* 188,700 3,874,011
47,177,367
COMMUNICATIONS EQUIPMENT--0.21%
Andrew Corp. (1)* 114,000 963,300
COMPUTERS & PERIPHERALS--0.07%
Avid Technology, Inc. (1)* 8,600 303,064
CONTAINERS & PACKAGING--0.42%
AptarGroup, Inc. 36,400 1,874,600
DIVERSIFIED CONSUMER SERVICES--2.37%
Career Education Corp. (1)* 250,675 7,134,211
Corinthian Colleges, Inc.* 114,000 1,529,880
DeVry, Inc. (1)* 95,800 2,021,380
10,685,471
DIVERSIFIED FINANCIALS--5.84%
Ace Cash Express, Inc.* 55,300 1,629,691
Affiliated Managers Group, Inc. (1)* 23,100 2,114,805
A.G. Edward, Inc. 85,000 4,586,600
American Capital Strategies, Ltd. (1) 49,200 1,722,000
Ares Capital Corp. (1) 73,700 1,202,047
Asset Acceptance Capital Corp.* 74,100 1,347,138
ASTA Funding, Inc. (1) 72,700 2,427,453
Cash America International, Inc. 54,900 1,880,325
CompuCredit Corp.* 48,500 1,584,495
Janus Capital Group, Inc. (1) 325,700 5,273,083
MCG Capital Corp. 156,500 2,549,385
26,317,022
DIVERSIFIED TELECOMMUNICATION SERVICES--0.49%
General Communication, Inc., Class A* 184,000 2,195,120
ELECTRICAL EQUIPMENT--3.29%
AMETEK, Inc. 32,000 1,357,440
Brady Corp., Class A 139,300 4,702,768
Energizer Holdings, Inc. (1)* 114,300 7,272,909
Genlyte Group, Inc.* 21,300 1,481,415
14,814,532
ELECTRIC UTILITIES--0.41%
ITC Holdings Corp. 59,000 1,835,490
172
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--5.62%
Anixter International, Inc. 91,700 $ 5,055,421
Arrow Electronics, Inc.* 43,800 1,237,788
Avnet, Inc.* 60,200 1,095,640
Benchmark Electronics, Inc. (1)* 188,600 4,588,638
Celestica, Inc. (1)* 140,300 1,331,447
Coherent, Inc.* 40,500 1,298,430
Global Imaging Systems, Inc.* 24,800 1,048,544
Ingram Micro, Inc., Class A* 120,400 2,122,652
Insight Enterprises, Inc. (1)* 94,200 1,595,748
Lipman (1)* 71,000 1,901,380
LoJack Corp.* 87,000 1,375,470
Methode Electronics, Inc. 114,000 912,000
Roper Industries, Inc. 39,000 1,762,800
25,325,958
ENERGY EQUIPMENT & SERVICES--2.79%
Maverick Tube Corp. (1)* 49,200 3,138,468
Oceaneering International, Inc. (1)* 59,000 2,579,480
Oil States International, Inc.* 47,100 1,514,736
Unit Corp.* 43,500 2,550,840
Veritas DGC, Inc.* 49,000 2,806,230
12,589,754
FOOD & DRUG RETAILING--0.33%
Performance Food Group Co. (1)* 53,000 1,477,110
FOOD PRODUCTS--3.02%
Brooklyn Cheesecake & Desserts Co., Inc. (2)* 34,680 9,017
Delta & Pine Land Co. 56,500 1,932,865
Fresh Del Monte Produce, Inc. (1) 57,000 957,600
J&J Snack Foods Corp. 58,000 1,745,220
J.M. Smucker Co. 108,600 4,846,818
McCormick & Co., Inc. 118,200 4,144,092
13,635,612
GAS UTILITIES--1.52%
Atmos Energy Corp. 72,900 2,097,333
New Jersey Resources Corp. (1) 50,500 2,521,465
UGI Corp. (1) 90,600 2,251,410
6,870,208
HEALTH CARE EQUIPMENT & SUPPLIES--1.52%
Advanced Medical Optics, Inc. (1)* 49,000 2,413,250
Cooper Cos., Inc. (1) 36,000 1,591,200
Invacare Corp. 134,600 2,830,638
6,835,088
HEALTH CARE PROVIDERS & SERVICES--2.88%
AMN Healthcare Services, Inc.* 64,000 1,437,440
AmSurg Corp. (1)* 53,800 1,192,746
IMS Health, Inc. 201,700 5,534,648
LifePoint Hospitals, Inc.* 54,100 1,822,629
Option Care, Inc. (1) 103,000 1,164,930
Triad Hospitals, Inc.* 46,500 1,812,105
12,964,498
HOTELS, RESTAURANTS & LEISURE--1.02%
Brinker International, Inc. 49,700 1,610,280
CEC Entertainment, Inc.* 44,800 1,322,944
Landry's Restaurants, Inc. (1) 58,900 1,666,281
4,599,505
HOUSEHOLD DURABLES--4.26%
ACCO Brands Corp.* 130,400 2,559,752
American Greetings Corp., Class A 137,800 3,104,634
Beazer Homes USA, Inc. (1) 20,700 862,983
Black & Decker Corp. 89,500 6,310,645
Mohawk Industries, Inc. (1)* 92,100 6,356,742
19,194,756
INDUSTRIAL CONGLOMERATES--0.32%
Tredegar Corp. 91,000 1,439,620
INSURANCE--10.67%
Ambac Financial Group, Inc. (1) 29,900 2,484,989
American Financial Group, Inc. 54,800 2,307,628
AmerUs Group Co. 41,000 2,750,690
Arch Capital Group, Ltd.* 34,600 2,105,756
Delphi Financial Group, Inc., Class A 55,050 2,096,855
HCC Insurance Holdings, Inc. (1) 319,701 9,747,683
Infinity Property & Casualty Corp. 54,000 2,218,860
Markel Corp. (1)* 24,100 8,209,665
Max Re Capital, Ltd. 72,200 1,624,500
MBIA, Inc. 93,800 5,516,378
Navigators Group, Inc.* 48,100 2,044,731
Selective Insurance Group, Inc. 41,000 2,091,000
StanCorp Financial Group, Inc. 81,400 3,507,526
Stewart Information Services Corp. 41,000 1,409,580
48,115,841
INTERNET SOFTWARE & SERVICES--0.27%
Schawk, Inc. (1) 73,000 1,208,880
IT CONSULTING & SERVICES--1.38%
BearingPoint, Inc. (1)* 437,700 3,501,600
Gartner, Inc.* 190,000 2,705,600
6,207,200
LEISURE EQUIPMENT & PRODUCTS--2.99%
Hasbro, Inc. 189,000 3,534,300
K2, Inc.* 138,000 1,451,760
173
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--(CONCLUDED)
MarineMax, Inc. (1)* 86,900 $ 1,829,245
Mattel, Inc. 288,350 5,201,834
RC2 Corp.* 43,500 1,473,345
13,490,484
MACHINERY--3.82%
AGCO Corp.* 103,000 2,364,880
Barnes Group, Inc. 42,000 714,420
Harsco Corp. 30,500 2,458,605
IDEX Corp. 135,600 5,891,820
Terex Corp. (1)* 65,000 2,914,600
Timken Co. 45,200 1,455,440
Watts Water Technologies, Inc., Class A (1) 48,500 1,412,805
17,212,570
MEDIA--5.24%
Carmike Cinemas, Inc. (1) 45,000 946,350
Central European Media Enterprises Ltd.,
Class A (1)* 41,000 2,494,440
Harte-Hanks, Inc. 80,050 1,952,420
Interpublic Group of Cos., Inc. (1)* 506,700 4,149,873
Lee Enterprises, Inc. 119,350 2,963,460
McClatchy Co., Class A 119,000 5,044,410
Radio One, Inc., Class D* 114,000 818,520
Saga Communications, Inc., Class A* 59,900 455,240
Tribune Co. (1) 162,000 4,813,020
23,637,733
METALS & MINING--0.70%
Gibraltar Industries, Inc. 84,500 2,334,735
Quanex Corp. (1) 22,300 809,267
3,144,002
MULTI-LINE RETAIL--0.61%
Fred's, Inc. 227,900 2,732,521
MULTI-UTILITIES--0.46%
Dynegy, Inc., Class A (1)* 372,000 2,094,360
OIL & GAS--1.94%
Edge Petroleum Corp.* 32,000 678,080
Energy Partners, Ltd. (1)* 44,600 810,382
Pioneer Drilling Co.* 119,100 1,818,657
Quicksilver Resources, Inc. (1)* 49,500 1,750,320
Tsakos Energy Navigation, Ltd. (1)* 82,300 3,679,633
8,737,072
PAPER & FOREST PRODUCTS--0.42%
Neenah Paper, Inc. 65,000 1,913,600
PHARMACEUTICALS--0.14%
Par Pharmaceutical Cos, Inc. (1)* 42,000 640,080
REAL ESTATE--1.92%
Bluegreen Corp. (1)* 95,300 $ 1,115,963
Equity Inns, Inc. 130,600 2,059,562
Highland Hospitality Corp. 137,800 1,839,630
LaSalle Hotel Properties 54,300 2,243,133
Pan Pacific Retail Properties, Inc. 20,000 1,382,000
8,640,288
ROAD & RAIL--2.16%
Arkansas Best Corp. (1) 41,000 1,821,630
Con-way, Inc.* 37,600 1,860,448
Greenbrier Cos, Inc. (1) 30,400 844,512
Landstar System, Inc. 57,500 2,454,675
USA Truck, Inc.* 63,000 1,206,450
YRC Worldwide, Inc.* 39,400 1,567,332
9,755,047
SOFTWARE--1.13%
Business Objects S.A., ADR (1)* 74,000 1,800,420
Hyperion Solutions Corp.* 53,000 1,651,480
Manhattan Associates, Inc.* 77,500 1,632,150
5,084,050
SPECIALTY RETAIL--2.42%
Claire's Stores, Inc. 72,700 1,819,681
Men's Wearhouse, Inc. 85,300 2,653,683
Regis Corp. 43,500 1,465,080
Rent-Way, Inc. (1)* 230,000 1,869,900
Sonic Automotive, Inc. 100,700 2,316,100
Stage Stores, Inc. 27,000 800,820
10,925,264
TEXTILES & APPAREL--0.42%
UniFirst Corp. 61,000 1,896,490
TRADING COMPANIES & DISTRIBUTORS--0.19%
Huttig Building Products, Inc.* 149,000 876,120
- --------------------------------------------------------------------------------
Total common stocks (cost--$406,481,238) 433,810,468
================================================================================
NUMBER OF
WARRANTS VALUE
- --------------------------------------------------------------------------------
WARRANTS--0.00%
CONSUMER PRODUCTS-DURABLES--0.00%
American Banknote Corp. strike price $10.00, expires
10/01/07 (2)++ 122 0
American Banknote Corp. strike price $12.50, expires
10/01/07 (2)++ 122 0
0
DIVERSIFIED FINANCIALS--0.00%
Imperial Credit Industries, Inc. strike price $2.15,
expires 01/31/08 (2)++ 4,914 0
- --------------------------------------------------------------------------------
Total warrants (cost--$0) 0
================================================================================
174
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENT--3.19%
$14,378 Repurchase agreement dated
07/31/06 with State Street Bank&
Trust Co., collateralized by
$15,081,777 US Treasury Notes,
3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$14,665,565);
proceeds: $14,379,941
(cost--$14,378,000) 08/01/06 4.860% $ 14,378,000
NUMBER OF
SHARES
(000)
- ----------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--22.97%
MONEYMARKETFUNDS+--11.44%
332 AIM Liquid Assets Portfolio 5.175 331,696
68 AIM Prime Portfolio 5.216 67,953
25,008 DWS Money Market Series 5.216 25,008,326
26,144 UBS Private Money Market Fund
LLC ** 5.195 26,143,715
- ----------------------------------------------------------------------------------
Total moneymarketfunds (cost--$51,551,690) 51,551,690
==================================================================================
PRINCIPAL
AMOUNT
(000)
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--11.53%
$27,000 Repurchase agreement dated
07/31/06 with Barclays Bank PLC,
collateralized by $27,838,000
Federal Home Loan Bank
obligations, zero coupon due
10/13/06; (value--$27,540,133);
proceeds: $27,003,945 08/01/06 5.260 27,000,000
25,000 Repurchase agreement dated
07/31/06 with Deutsche Bank
Securities Inc., collateralized
by $25,215,000 Federal Home Loan
Mortgage Corp. obligations,
5.000% to 5.500% due 11/13/14 to
07/28/15; (value--$25,500,527);
proceeds: $25,003,653 08/01/06 5.260 25,000,000
- ----------------------------------------------------------------------------------
Total repurchase agreements
(cost--$52,000,000) 52,000,000
- ----------------------------------------------------------------------------------
Total investments of cash collateral fom
securities loaned (cost--$103,551,690) 103,551,690
- ----------------------------------------------------------------------------------
Total investments
(cost--$524,410,928)--122.39% 551,740,158
Liabilities in excess of other
assets--(22.39)% (100,921,875)
- ----------------------------------------------------------------------------------
Net assets--100.00% $ 450,818,283
==================================================================================
</Table>
* Non-income producing security.
+ Interest rates shown reflect yield at July 31, 2006.
++ Security is being fair valued by a valuation committee under the direction
of the board of trustees.
(1) Security, or portion thereof, was on loan at July 31, 2006.
(2) Illiquid securities representing 0.00% of net assets as of July 31, 2006.
ADR American Depositary Receipt.
175
<Page>
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE FOR
VALUE AT YEAR ENDED YEAR ENDED VALUE AT THE YEAR ENDED
SECURITY DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- ----------------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $76,244,751 $611,371,757 $661,472,793 $26,143,715 $40,678
</Table>
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 95.8%
Bermuda 1.8
Puerto Rico 0.9
Canada 0.7
Israel 0.3
France 0.3
Cayman Islands 0.2
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
176
<Page>
UBS PACE Select Advisors Trust
UBS PACE SMALL/MEDIUM CO GROWTH EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--95.72%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE--1.54%
BE Aerospace, Inc. * 104,300 $ 2,581,425
TransDigm Group, Inc. * 48,630 1,244,928
World Fuel Services Corp. 62,900 2,976,428
6,802,781
AIR FREIGHT & COURIERS--0.28%
UTI Worldwide, Inc. 53,300 1,241,890
AUTO COMPONENTS--1.05%
Gentex Corp. 282,000 3,761,880
Wabtec Corp. 33,400 887,104
4,648,984
BANKS--1.28%
City National Corp. 25,000 1,667,750
Colonial BancGroup, Inc. 89,200 2,265,680
East West Bancorp, Inc. 41,943 1,692,400
5,625,830
BIOTECHNOLOGY--5.48%
Cepheid, Inc. * 226,410 2,064,859
CV Therapeutics, Inc. (1) * 102,200 1,251,950
Invitrogen Corp. (1) * 32,300 1,995,817
Neogen Corp. * 95,882 1,887,917
PDL BioPharma, Inc. * 204,894 3,690,141
Progenics Pharmaceuticals, Inc. * 82,551 1,812,820
Rigel Pharmaceuticals, Inc. (1) * 112,400 1,146,480
Tanox, Inc. (1) * 74,800 1,066,648
Techne Corp. * 82,000 4,074,580
Telik, Inc. (1) * 124,500 2,111,520
United Therapeutics Corp. (1) * 51,800 3,072,258
24,174,990
BUILDING PRODUCTS--0.36%
Watsco, Inc. 35,400 1,568,928
CHEMICALS--1.70%
Balchem Corp. 64,900 1,447,919
Spartech Corp. 128,000 2,954,240
Symyx Technologies, Inc. * 125,000 3,076,250
7,478,409
COMMERCIAL SERVICES & SUPPLIES--9.66%
BISYS Group, Inc. * 220,780 2,711,178
Bright Horizons Family Solutions, Inc. (1) * 48,600 1,868,670
Cogent, Inc. (1) * 114,200 1,615,930
Covanta Holding Corp. * 130,300 2,299,795
First Consulting Group, Inc. * 413,341 3,662,201
G & K Services, Inc., Class A * 78,000 2,630,940
Global Cash Access Holdings, Inc. * 99,300 1,487,514
Mobile Mini, Inc. (1) * 95,000 2,908,900
MoneyGram International, Inc. 84,700 2,596,055
Monster Worldwide, Inc. * 58,684 2,347,360
Resources Connection, Inc. * 222,820 5,274,150
Rollins, Inc. (1) 96,000 2,028,480
Stericycle, Inc. * 94,000 6,314,920
24/7 Real Media, Inc. * 205,200 1,627,236
Universal Technical Institute, Inc. (1) * 66,000 1,328,580
Waste Connections, Inc. * 50,013 1,869,486
42,571,395
COMMUNICATIONS EQUIPMENT--1.70%
Digi International, Inc. * 205,000 2,564,550
Echelon Corp. (1) * 160,000 1,276,800
F5 Networks, Inc. * 22,695 1,051,686
Polycom, Inc. * 73,300 1,627,260
Tellabs, Inc. * 102,400 962,560
7,482,856
COMPUTERS & PERIPHERALS--0.63%
Rackable Systems, Inc. * 37,900 808,028
Stratasys, Inc. (1) * 72,000 1,991,520
2,799,548
CONTAINERS & PACKAGING--0.67%
Jarden Corp. (1) * 101,300 2,936,687
DISTRIBUTORS--1.09%
Pool Corp. 33,600 1,308,048
WESCO International, Inc. * 60,025 3,496,456
4,804,504
DIVERSIFIED FINANCIALS--6.32%
Affiliated Managers Group, Inc. (1) * 23,300 2,133,115
AmeriCredit Corp. * 60,100 1,477,859
Cash America International, Inc. 85,467 2,927,245
Eaton Vance Corp. (1) 56,500 1,398,940
Euronet Worldwide, Inc. (1) * 99,601 2,530,861
First Cash Financial Services, Inc. * 87,900 1,672,737
Home Bancshares, Inc. (1) * 44,400 967,920
IndyMac Bancorp, Inc. 57,643 2,435,417
Investment Technology Group, Inc. * 70,900 3,570,524
Knight Capital Group, Inc., Class A * 127,700 2,112,158
Nasdaq Stock Market, Inc. * 97,000 2,670,410
Nuveen Investments, Class A 39,900 1,894,851
Portfolio Recovery Associates, Inc. (1) * 48,000 2,055,360
27,847,397
ELECTRICAL EQUIPMENT--1.02%
AMETEK, Inc. 35,900 1,522,878
Regal-Beloit Corp. 34,500 1,371,375
Woodward Governor Co. 54,100 1,585,671
4,479,924
177
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--1.51%
Greatbatch, Inc. * 140,000 $ 3,431,400
Intersil Corp., Class A 54,800 1,288,348
Tech Data Corp. * 51,900 1,929,642
6,649,390
ENERGY EQUIPMENT & SERVICES--4.21%
Atwood Oceanics, Inc. * 36,200 1,698,866
Cooper Cameron Corp. * 64,400 3,246,404
Grant Prideco, Inc. * 51,500 2,343,765
Oil States International, Inc. * 48,700 1,566,192
Veritas DGC, Inc. * 52,200 2,989,494
W-H Energy Services, Inc. * 122,000 6,712,440
18,557,161
FOOD & DRUG RETAILING--1.52%
Performance Food Group Co. (1) * 102,000 2,842,740
United Natural Foods, Inc. * 127,348 3,838,269
6,681,009
FOOD PRODUCTS--1.24%
Central Garden & Pet Co. * 70,700 2,795,478
USANA Health Sciences, Inc. (1) * 60,000 2,661,000
5,456,478
HEALTH CARE EQUIPMENT & SUPPLIES--8.41%
American Medical Systems Holdings, Inc. (1) * 93,300 1,702,725
AngioDynamics, Inc. * 87,000 2,001,000
ArthroCare Corp. (1) * 60,000 2,642,400
Aspect Medical Systems, Inc. * 41,760 611,784
Dade Behring Holdings, Inc. 49,200 2,003,916
Endologix, Inc. * 194,800 755,824
Fisher Scientific International, Inc. * 12,500 926,375
Hologic, Inc. (1) * 68,700 3,085,317
I-Flow Corp. (1) * 115,841 1,267,300
Immucor, Inc. * 84,825 1,688,866
Integra LifeSciences Holdings (1) * 80,390 2,963,175
Intuitive Surgical, Inc. * 28,100 2,675,120
Kinetic Concepts, Inc. * 30,800 1,372,448
Kyphon, Inc. * 70,000 2,384,200
Micrus Endovascular Corp. * 124,400 1,624,664
Millipore Corp. * 36,500 2,286,725
SurModics, Inc. (1) * 86,000 3,074,500
Synovis Life Technologies, Inc. * 158,744 1,406,472
West Pharmaceutical Services, Inc. 67,000 2,599,600
37,072,411
HEALTH CARE PROVIDERS & SERVICES--3.70%
Centene Corp. (1) * 85,100 $ 1,382,875
Community Health Systems, Inc. * 58,738 2,129,840
Covance, Inc. * 46,836 2,986,263
Express Scripts, Inc. * 31,700 2,441,851
MAXIMUS, Inc. 65,000 1,764,100
Omnicare, Inc. (1) 13,600 615,536
Pediatrix Medical Group, Inc. * 82,694 3,506,226
Sierra Health Services, Inc. * 33,936 1,465,356
16,292,047
HOTELS, RESTAURANTS & LEISURE--2.99%
Boyd Gaming Corp. 45,869 1,538,446
Cheesecake Factory, Inc. (1) * 65,000 1,485,250
Penn National Gaming, Inc. * 54,279 1,795,007
Scientific Games Corp., Class A * 90,586 3,077,206
Sonic Corp. * 74,089 1,458,072
Vail Resorts, Inc. * 66,100 2,285,077
Wynn Resorts Ltd. (1) * 24,200 1,549,042
13,188,100
INDUSTRIAL CONGLOMERATES--0.62%
Chemed Corp. 75,000 2,758,500
INSURANCE--0.71%
AmCOMP, Inc. (1) * 145,900 1,442,951
HCC Insurance Holdings, Inc. 55,293 1,685,884
3,128,835
INTERNET SOFTWARE & SERVICES--4.60%
Akamai Technologies, Inc. (1) * 118,169 4,683,037
CNET Networks, Inc. * 260,100 2,195,244
Digital Insight Corp. * 80,000 1,888,000
Equinix, Inc. (1) * 59,968 3,141,124
Jupitermedia Corp. (1) * 159,423 1,595,824
Openwave Systems, Inc. (1) * 115,822 763,267
WebEx Communications, Inc. * 175,100 6,002,428
20,268,924
IT CONSULTING & SERVICES--1.90%
Keane, Inc. (1) * 210,970 3,042,187
Perot Systems Corp., Class A * 125,500 1,671,660
Redback Networks, Inc. (1) * 108,614 1,679,173
Satyam Computer Services Ltd., ADR (1) 56,600 1,995,150
8,388,170
MACHINERY--1.64%
Dynamic Materials Corp. (1) 69,200 2,128,592
Joy Global, Inc. 71,300 2,675,176
Middleby Corp. (1) * 31,000 2,424,820
7,228,588
178
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
METALS & MINING--1.63%
Allegheny Technologies, Inc. 41,300 $ 2,638,657
Foundation Coal Holdings, Inc. 63,400 2,418,076
RTI International Metals, Inc. * 45,800 2,110,464
7,167,197
MULTI-LINE RETAIL--0.30%
Fred's, Inc. 111,000 1,330,890
OIL & GAS--2.13%
Delek US Holdings, Inc. * 109,800 1,789,740
Denbury Resources, Inc. * 93,864 3,254,265
Encore Acquisition Co. * 56,213 1,712,248
Helix Energy Solutions Group, Inc. * 68,000 2,651,320
9,407,573
PHARMACEUTICALS--1.92%
Anadys Pharmaceuticals, Inc. * 116,400 386,448
Medicis Pharmaceutical Corp., Class A (1) 65,000 1,791,400
MGI Pharma, Inc. (1) * 117,500 1,716,675
Nastech Pharmaceutical Co., Inc. (1) * 159,200 2,166,712
Sciele Pharma, Inc. (1) * 116,617 2,383,651
8,444,886
REAL ESTATE--1.99%
Brookdale Senior Living, Inc. 25,000 1,162,500
Host Hotels & Resorts, Inc. (1) 72,300 1,534,206
Jones Lang LaSalle, Inc. 29,900 2,442,830
Strategic Hotel Capital, Inc. 93,400 1,863,330
Williams Scotsman International, Inc. * 83,100 1,772,523
8,775,389
ROAD & RAIL--1.31%
Florida East Coast Industries, Inc. (1) 63,800 2,988,392
J.B. Hunt Transport Services, Inc. 38,200 785,774
Landstar System, Inc. 46,600 1,989,354
5,763,520
SEMICONDUCTOR EQUIPMENT & PRODUCTS--7.36%
Cree, Inc. (1) * 95,100 1,876,323
Cymer, Inc. * 34,400 1,345,728
Entegris, Inc. * 348,002 3,288,619
Integrated Device Technology, Inc. * 143,000 2,212,210
Lam Research Corp. * 48,119 2,001,269
Microsemi Corp. (1) * 404,598 10,236,330
O2Micro International Ltd. * 167,900 1,005,721
Power Integrations, Inc. * 110,000 1,749,000
RF Micro Devices, Inc. * 348,400 2,146,144
Rudolph Technologies, Inc. * 88,623 1,232,746
Semtech Corp. * 127,300 1,642,170
Trident Microsystems, Inc. * 47,400 816,228
Varian Semiconductor Equipment Associates, Inc. * 90,639 2,873,256
32,425,744
SOFTWARE--7.34%
Activision, Inc. * 347,432 $ 4,151,812
Amdocs Ltd. * 67,800 2,459,784
Informatica Corp. * 315,249 4,404,029
National Instruments Corp. 114,000 3,163,500
Nuance Communications, Inc. (1) * 248,800 2,303,888
Quest Software, Inc. * 151,700 2,073,739
Salesforce.com, Inc. (1) * 35,400 909,780
TIBCO Software, Inc. * 167,500 1,333,300
Transaction Systems Architects, Inc. * 104,808 3,879,992
Ultimate Software Group, Inc. * 105,500 2,188,070
Unica Corp. * 148,000 1,333,480
Verint Systems, Inc. * 117,000 3,199,950
Witness Systems, Inc. * 60,300 960,579
32,361,903
SPECIALTY RETAIL--2.66%
AnnTaylor Stores Corp. * 58,350 2,395,851
Gymboree Corp. * 141,900 4,756,488
Hibbett Sporting Goods, Inc. * 89,400 1,766,544
Pacific Sunwear of California, Inc. * 85,515 1,426,390
PetSmart, Inc. 57,900 1,364,124
11,709,397
TEXTILES & APPAREL--1.89%
Carter's, Inc. * 93,200 2,032,692
Coach, Inc. * 61,700 1,771,407
Polo Ralph Lauren Corp. 29,192 1,665,112
Under Armour, Inc., Class A (1) * 71,500 2,870,725
8,339,936
TRADING COMPANIES & DISTRIBUTORS--0.43%
MSC Industrial Direct Co., Inc., Class A 46,000 1,896,580
WIRELESS TELECOMMUNICATION SERVICES--0.93%
Crown Castle International Corp. * 95,445 3,362,527
Syniverse Holdings, Inc. * 52,559 734,775
4,097,302
- --------------------------------------------------------------------------------
Total common stocks (cost--$401,807,731) 421,854,053
================================================================================
179
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------
REPURCHASE AGREEMENT--5.43%
$23,940 Repurchase agreement dated
07/31/06 with State Street Bank
& Trust Co., collateralized by
$25,111,819 US Treasury Notes,
3.500% to 5.125% due 08/15/09 to
06/30/11; (value--$24,418,808);
proceeds: $23,943,232
(cost--$23,940,000) 08/01/06 4.860% $ 23,940,000
NUMBER OF
SHARES
(000)
- ---------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--17.07%
MONEY MARKET FUNDS+--11.17%
868 AIM Liquid Assets Portfolio 5.175 868,019
15 AIM Prime Portfolio 5.216 14,604
^0 BlackRock Provident Institutional
TempFund 5.127 61
8 DWS Money Market Series 5.216 8,300
48,338 UBS Private Money Market Fund
LLC ** 5.195 48,337,832
- ---------------------------------------------------------------------------------
Total money market funds (cost--$49,228,816) 49,228,816
=================================================================================
PRINCIPAL
AMOUNT
(000)
- ---------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--5.90%
$13,000 Repurchase agreement dated
07/31/06 with Barclays Bank PLC,
collateralized by $13,177,000
Federal Home Loan Mortgage Corp.
obligations, 4.790% due
08/04/10; (value--$13,260,290);
proceeds: $13,001,899 08/01/06 5.260 13,000,000
13,000 Repurchase agreement dated
07/31/06 with Deutsche Bank
Securities, Inc., collateralized
by $12,880,000 Federal Home Loan
Bank obligations, 5.625% due
03/14/36; (value--$13,264,355);
proceeds: $13,001,899 08/01/06 5.260 13,000,000
- ---------------------------------------------------------------------------------
Total repurchase agreements
(cost--$26,000,000) 26,000,000
- ---------------------------------------------------------------------------------
Total investments of cash collateral from
securities loaned (cost--$75,228,816) 75,228,816
- ---------------------------------------------------------------------------------
Total investments
(cost--$500,976,547)--118.22% 521,022,869
Liabilities in excess of other
assets--(18.22)% (80,317,654)
- ---------------------------------------------------------------------------------
Net assets--100.00% $440,705,215
=================================================================================
</Table>
* Non-income producing security.
(1) Security, or portion thereof, was on loan at July 31, 2006.
+ Interest rates shown reflect yield at July 31, 2006.
^ Amount represents less than 500 shares.
ADR American Depositary Receipt.
180
<Page>
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE
VALUE AT YEAR ENDED YEAR ENDED VALUE AT FOR YEAR ENDED
SECURITY DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- -------------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $139,819,700 $482,453,771 $573,935,639 $48,337,832 $121,895
</Table>
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF
PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 98.7%
Guernsey 0.5
India 0.4
Cayman Islands 0.2
Virgin Islands 0.2
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
See accompanying notes to financial statements
181
<Page>
UBS PACE Select Advisors Trust
UBS PACE INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--96.49%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AUSTRALIA--5.32%
BANKS--1.33%
Australia & New Zealand Banking Group Ltd. 102,178 $ 1,977,050
Macquarie Bank Ltd. 37,126 1,759,611
National Australia Bank Ltd. (1) 381,994 10,508,719
14,245,380
BEVERAGES--0.77%
Foster's Group Ltd. 2,010,176 8,287,340
CONTAINERS & PACKAGING--0.37%
Amcor Ltd. (1) 775,494 4,023,147
DIVERSIFIED TELECOMMUNICATION SERVICES--0.56%
Telstra Corp. Ltd. (1) 2,051,941 6,006,577
FOOD & DRUG RETAILING--0.53%
Coles Myer Ltd. (1) 651,341 5,675,024
INDUSTRIAL CONGLOMERATES--0.35%
Wesfarmers Ltd. (1) 137,116 3,719,548
METALS & MINING--1.12%
BHP Billiton Ltd. 143,790 3,059,872
Oxiana Ltd. (1) 1,726,086 4,034,234
Zinifex Ltd. (1) 603,327 4,877,576
11,971,682
OIL & GAS--0.10%
Santos Ltd. 126,550 1,115,216
REAL ESTATE--0.04%
Westfield Group 30,686 432,670
TRANSPORTATION INFRASTRUCTURE--0.15%
Macquarie Infrastructure Group 680,474 1,418,337
Sydney Roads Group* 226,825 199,888
1,618,225
- --------------------------------------------------------------------------------
Total Australia common stocks 57,094,809
================================================================================
AUSTRIA--0.31%
BUILDING PRODUCTS--0.14%
Wienerberger AG 32,878 1,558,559
MACHINERY--0.17%
Andritz AG 10,453 1,829,315
Total Austria common stocks 3,387,874
BELGIUM--1.77%
BANKS--0.62%
KBC Bancassurance Holding 61,396 6,689,846
CHEMICALS--0.11%
Solvay SA 9,856 1,169,616
DIVERSIFIED FINANCIALS--1.04%
Fortis 313,405 11,146,255
- --------------------------------------------------------------------------------
Total Belgium common stocks 19,005,717
================================================================================
BERMUDA--0.02%
HOTELS, RESTAURANTS & LEISURE--0.02%
Li & Fung Ltd. 110,000 $ 230,187
DENMARK--0.05%
PHARMACEUTICALS--0.05%
Novo-Nordisk AS 8,858 545,915
FINLAND--1.84%
COMMUNICATIONS EQUIPMENT--0.37%
Nokia Oyj 200,288 3,973,318
IT CONSULTING & SERVICES--0.07%
Tietoenator Oyj 30,026 715,708
MACHINERY--0.16%
Metso Oyj 47,610 1,716,865
OIL & GAS--0.56%
Fortum Oyj 222,892 6,041,807
PAPER & FOREST PRODUCTS--0.68%
Stora Enso Oyj 89,866 1,328,177
UPM-Kymmene Oyj 270,500 5,998,518
7,326,695
- --------------------------------------------------------------------------------
Total Finland common stocks 19,774,393
================================================================================
FRANCE--10.19%
AIRLINES--0.15%
Air France-KLM (1) 63,574 1,569,778
AUTOMOBILES--0.73%
Renault SA 71,288 7,790,466
BANKS--1.78%
BNP Paribas SA 44,132 4,295,716
Credit Agricole SA 53,092 2,134,287
Societe Generale 84,833 12,657,113
19,087,116
BUILDING PRODUCTS--0.88%
Cie de Saint-Gobain 132,678 9,474,095
CHEMICALS--0.23%
Arkema* 34,546 1,338,876
Rhodia SA* 601,899 1,168,676
2,507,552
COMMERCIAL SERVICES & SUPPLIES--0.18%
Bacou Dalloz 16,400 1,966,098
CONSTRUCTION & ENGINEERING--0.63%
Alstom* 77,414 6,719,485
CONSTRUCTION MATERIALS--0.22%
Lafarge SA 19,511 2,360,242
DIVERSIFIED TELECOMMUNICATION SERVICES--0.18%
France Telecom 93,145 1,951,328
182
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
FRANCE--(CONCLUDED)
ELECTRICAL EQUIPMENT--0.50%
Schneider Electric SA 51,980 $ 5,345,141
FOOD & DRUG RETAILING--0.74%
Carrefour SA 126,996 7,918,189
INSURANCE--0.37%
Axa 116,597 4,021,408
IT CONSULTING & SERVICES--0.05%
Cap Gemini SA 10,878 584,447
MEDIA--0.23%
Societe Television Francaise 1 7,222 230,173
Vivendi Universal SA 66,385 2,248,054
2,478,227
METALS & MINING--0.78%
Arcelor (1) 37,257 1,986,970
Vallourec SA 29,585 6,432,179
8,419,149
MULTI-UTILITIES--0.00%
Suez SA STRIP VVPR* 24,336 311
OIL & GAS--1.64%
Total SA 259,622 17,659,894
PHARMACEUTICALS--0.13%
Sanofi-Synthelabo SA 14,634 1,391,729
TEXTILES & APPAREL--0.77%
LVMH Moet Hennessy Louis Vuitton SA 82,060 8,244,365
- --------------------------------------------------------------------------------
Total France common stocks 109,489,020
================================================================================
GERMANY--5.71%
AUTO COMPONENTS--0.03%
Continental AG 3,062 312,912
AUTOMOBILES--0.07%
Bayerische Motoren Werke (BMW) AG 13,729 708,687
BANKS--0.94%
Commerzbank AG 199,895 7,006,692
Deutsche Bank AG 27,223 3,138,414
10,145,106
CHEMICALS--1.40%
Bayer AG (1) 264,603 13,036,811
Lanxess* 54,441 2,038,304
15,075,115
ELECTRICAL EQUIPMENT--0.61%
Siemens AG 80,936 6,524,796
HEALTH CARE PROVIDERS & SERVICES--0.57%
Celesio AG 6,410 299,686
Fresenius Medical Care AG (1) 48,314 5,788,990
6,088,676
INSURANCE--0.04%
Muenchener Rueckversicherungs-
Gesellschaft AG (MunichRe) 3,268 450,141
METALS & MINING--0.06%
ThyssenKrupp AG 17,723 620,319
MULTI-UTILITIES--1.99%
RWE AG 243,980 21,432,866
- --------------------------------------------------------------------------------
Total Germany common stocks 61,358,618
================================================================================
GREECE--1.62%
BANKS--0.76%
National Bank of Greece SA 179,133 6,960,842
Piraeus Bank SA 46,930 1,174,989
8,135,831
BUILDING PRODUCTS-CEMENT--0.37%
Titan Cement Co. 81,875 3,995,229
DIVERSIFIED TELECOMMUNICATION SERVICES--0.35%
Hellenic Telecommunications Organization SA* 164,088 3,743,564
GAMING--0.14%
OPAP SA 40,727 1,478,541
- --------------------------------------------------------------------------------
Total Greece common stocks 17,353,165
================================================================================
HONG KONG--1.47%
DIVERSIFIED FINANCIALS--0.05%
Swire Pacific Ltd. 56,500 586,072
ELECTRIC UTILITIES--0.61%
CLP Holdings Ltd. 89,500 530,997
Hong Kong Electric Holdings 1,254,000 5,971,275
6,502,272
INDUSTRIAL CONGLOMERATES--0.07%
Hutchison Whampoa Ltd. 82,836 755,313
REAL ESTATE--0.66%
Cheung Kong Holdings Ltd. 55,500 601,413
Henderson Land Development 181,000 992,330
Sun Hung Kai Properties Ltd. 58,000 609,843
Wharf Holdings Ltd. 1,317,000 4,889,893
7,093,479
SPECIALTY RETAIL--0.08%
Esprit Holdings Ltd. 107,000 813,840
- --------------------------------------------------------------------------------
Total Hong Kong common stocks 15,750,976
================================================================================
183
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
INDONESIA--0.43%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.43%
PT Telekomunikasi Indonesia, ADR 138,409 $ 4,613,172
IRELAND--0.27%
BANKS--0.15%
Allied Irish Banks PLC 68,214 1,649,495
CONSTRUCTION MATERIALS--0.09%
CRH PLC 30,168 971,123
MEDIA--0.03%
Independent News & Media PLC 107,049 317,247
- --------------------------------------------------------------------------------
Total Ireland common stocks 2,937,865
================================================================================
ITALY--5.80%
AUTOMOBILES--0.69%
Fiat SpA (1)* 523,821 7,407,259
BANKS--3.85%
Banca Intesa SpA 2,326,389 13,454,507
Banca Popolare Italiana (1)* 43,473 508,399
Banche Popolari Unite Scrl* 13,043 350,883
Banco Popolare di Verona e Novara 23,181 660,335
Capitalia SpA 914,463 7,674,649
UniCredito Italiano SpA 2,431,123 18,710,740
41,359,513
CONSTRUCTION MATERIALS--0.11%
Buzzi Unicem SpA (1) 50,577 1,154,528
DIVERSIFIED FINANCIALS--0.04%
Mediolanum SpA 65,484 454,216
DIVERSIFIED TELECOMMUNICATION SERVICES--0.55%
Telecom Italia SpA 238,560 641,471
Telecom Italia SpA ^^ 2,182,934 5,267,439
5,908,910
OIL & GAS--0.56%
ENI SpA 77,311 2,371,158
Saras SpA Raffinerie Sarne* 578,396 3,646,191
6,017,349
- --------------------------------------------------------------------------------
Total Italy common stocks 62,301,775
================================================================================
JAPAN--18.36%
AUTO COMPONENTS--0.54%
Denso Corp. 169,900 5,824,127
AUTOMOBILES--1.90%
Honda Motor Co. Ltd. 81,400 2,683,868
Mazda Motor Corp. 95,000 618,169
Nissan Motor Co. Ltd. 121,300 1,307,748
Toyota Motor Corp. 299,300 15,820,646
20,430,431
BANKS--1.41%
Chugoku Bank Ltd. 24,000 321,340
Joyo Bank Ltd. 77,000 470,819
Mitsubishi Tokyo Financial Group, Inc. 320 4,521,785
Nishi-Nippon City Bank Ltd. 82,000 362,632
Sumitomo Mitsui Financial Group, Inc. 819 8,715,426
Sumitomo Trust & Banking Co. Ltd. 75,000 796,153
15,188,155
BEVERAGES--0.06%
ITO EN Ltd. 8,400 303,336
Kirin Brewery Co. Ltd. 21,000 311,396
614,732
BUILDING PRODUCTS--0.14%
JS Group Corp. 15,900 326,613
Nippon Sheet Glass Co. Ltd. (1) 255,000 1,227,790
1,554,403
CHEMICALS--0.75%
Shin-Etsu Chemical Co. Ltd. 99,200 5,745,457
Sumitomo Chemical Co. Ltd. 56,000 442,549
Ube Industries Ltd. 482,000 1,231,855
Zeon Corp. 63,900 683,339
8,103,200
COMMERCIAL SERVICES & SUPPLIES--0.29%
Benesse Corp. (1) 73,000 2,585,198
Dai Nippon Printing Co. Ltd. 33,000 519,848
3,105,046
COMPUTERS & PERIPHERALS--0.34%
Elpida Memory, Inc. (1)* 30,500 1,221,117
Fujitsu Ltd. 273,000 2,116,944
Toshiba Corp. 45,000 290,854
3,628,915
CONSTRUCTION & ENGINEERING--0.33%
Kajima Corp. 290,000 1,219,242
Obayashi Corp. 365,000 2,359,152
3,578,394
DIVERSIFIED FINANCIALS--1.41%
Daiwa Securities Group, Inc. 108,000 1,206,751
Hokuhoku Financial Group, Inc. 101,000 381,465
Nomura Holdings Co. Ltd. 292,900 5,199,106
Orix Corp. 31,810 8,337,830
15,125,152
DIVERSIFIED TELECOMMUNICATION SERVICES--0.17%
Nippon Telegraph & Telephone Corp. (NTT) 342 1,786,890
184
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN--(CONTINUED)
ELECTRIC UTILITIES--0.39%
Kyushu Electric Power Co., Inc. 18,900 $ 440,992
Tokyo Electric Power Co., Inc. 140,200 3,766,549
4,207,541
ELECTRICAL EQUIPMENT--0.65%
Fujikura Ltd. 59,200 737,902
Mitsubishi Electric Corp. 161,000 1,263,902
Nitto Denko Corp. 10,500 762,920
Sumitomo Electric Industries Ltd. 317,900 4,167,680
6,932,404
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.65%
Citizen Watch Co. Ltd. (1) 32,600 279,238
Hitachi Ltd. 549,000 3,514,903
Hoya Corp. 11,300 395,246
Kyocera Corp. 26,500 2,170,483
TDK Corp. 7,300 570,526
6,930,396
FOOD PRODUCTS--0.20%
Maruha Group, Inc. (1) 256,000 656,496
Yakult Honsha Co. Ltd. (1) 56,500 1,468,621
2,125,117
GAS UTILITIES--0.19%
Tokyo Gas Co. Ltd. 403,000 2,003,664
HEALTHCARE EQUIPMENT & SUPPLIES--0.12%
Olympus Corp. 46,000 1,324,087
HOUSEHOLD DURABLES--1.36%
Daito Trust Construction Co., Ltd. 95,500 5,189,629
Matsushita Electric Industrial Co. Ltd. 108,900 2,265,485
Sekisui House Ltd. (1) 357,600 5,065,571
Sharp Corp. 62,000 1,047,529
Sony Corp. 22,700 1,045,453
14,613,667
HOUSEHOLD PRODUCTS--0.39%
Kao Corp. 136,000 3,535,087
Uni-Charm Corp. 11,600 642,505
4,177,592
INSURANCE--0.41%
Millea Holdings, Inc. 229 4,434,384
INTERNET SOFTWARE & SERVICES--0.02%
Softbank Corp. (1) 10,300 189,119
IT CONSULTING & SERVICES--0.15%
CSK Corp. 26,300 1,080,492
Hitachi Information Systems Ltd. 12,500 278,032
Itochu Techno-Science Corp. 6,500 291,421
1,649,945
MACHINERY--0.72%
Amada Co. Ltd. 86,000 912,923
Hitachi Construction Machinery Co. Ltd. 224,100 5,267,997
Kubota Corp. 124,000 1,140,006
Minebea Co. Ltd. 81,000 411,906
7,732,832
METALS & MINING--0.03%
Mitsui Mining & Smelting Co. Ltd. 50,000 284,356
MULTI-LINE RETAIL--0.04%
Hankyu Department Stores (1) 61,000 473,017
OFFICE ELECTRONICS--1.11%
Canon, Inc. 228,650 10,989,241
Ricoh Co. Ltd. 46,000 926,861
11,916,102
OIL & GAS--0.67%
Nippon Mining Holdings, Inc. 844,500 7,145,231
PERSONAL PRODUCTS--0.06%
Shiseido Co. Ltd. 34,000 679,140
PHARMACEUTICALS--2.05%
Chugai Pharmaceutical Co. Ltd. 42,500 876,728
Daiichi Sankyo Co. Ltd. 56,100 1,541,411
Mitsubishi Chemical Holdings Corp. 156,500 984,225
Takeda Pharmaceutical Co. 287,900 18,583,104
21,985,468
ROAD & RAIL--0.25%
West Japan Railway Co. 646 2,699,062
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.06%
Advantest Corp. 3,400 329,190
Tokyo Electron Ltd. 4,200 267,068
596,258
SPECIALTY RETAIL--0.03%
Nitori Co. Ltd. 6,250 279,123
TEXTILES & APPAREL--0.03%
Onward Kashiyama Co. Ltd. 24,000 319,037
TOBACCO--0.02%
Japan Tobacco, Inc. 68 260,386
TRADING COMPANIES & DISTRIBUTORS--0.55%
Itochu Corp. 239,000 2,153,491
Marubeni Corp. 431,000 2,289,493
Mitsui & Co. Ltd. 32,700 498,294
Sumitomo Corp. 72,000 1,019,914
5,961,192
WIRELESS TELECOMMUNICATIONS SERVICES--0.87%
KDDI Corp. 1,436 9,319,063
- --------------------------------------------------------------------------------
Total Japan common stocks 197,177,628
================================================================================
185
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
NETHERLANDS--3.24%
COMMERCIAL SERVICES & SUPPLIES--0.11%
USG People NV 17,450 $ 1,222,641
CONSTRUCTION & ENGINEERING--0.04%
Koninklijke BAM Groep N.V. 21,055 428,986
DIVERSIFIED FINANCIALS--1.51%
ING Groep N.V. 398,309 16,169,664
DIVERSIFIED TELECOMMUNICATION SERVICES--0.07%
Koninklijke (Royal) KPN N.V. 63,304 718,886
HOUSEHOLD DURABLES--0.61%
Koninklijke (Royal) Philips Electronics N.V.* 199,278 6,580,318
INSURANCE--0.07%
Aegon N.V. (1) 46,906 796,307
MEDIA--0.69%
Reed Elsevier N.V. (1)* 494,894 7,352,227
TRADING COMPANIES & DISTRIBUTORS--0.14%
Hagemeyer N.V. (1)* 308,672 1,494,388
- --------------------------------------------------------------------------------
Total Netherlands common stocks 34,763,417
================================================================================
NEW ZEALAND--0.33%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.33%
Telecom Corp. of New Zealand Ltd. 1,409,594 3,551,906
NORWAY--0.77%
BEVERAGES--0.14%
Orkla ASA 33,597 1,523,042
COMMERCIAL SERVICES & SUPPLIES--0.06%
Petrojarl ASA* 107,577 685,193
INDUSTRIAL CONGLOMERATES--0.33%
Crew Gold Corp.* 1,769,657 3,565,480
OIL & GAS--0.15%
Statoil ASA (1) 52,875 1,567,907
TRANSPORTATION SERVICES--0.09%
Bergesen Worldwide Gas ASA 70,668 1,004,704
- --------------------------------------------------------------------------------
Total Norway common stocks 8,346,326
================================================================================
SINGAPORE--1.43%
AIRLINES--0.03%
Singapore Airlines Ltd. 34,000 279,951
BANKS--0.62%
Oversea-Chinese Banking Corp. 1,298,400 5,222,054
United Overseas Bank Ltd. 150,000 1,482,091
6,704,145
DIVERSIFIED FINANCIALS--0.15%
Jardine Matheson Holdings Ltd. 82,400 1,565,600
DIVERSIFIED TELECOMMUNICATION SERVICES--0.37%
Singapore Telecommunications Ltd. 2,413,860 3,959,779
OIL & GAS--0.26%
Singapore Petroleum Co. Ltd. 897,400 2,841,942
- --------------------------------------------------------------------------------
Total Singapore common stocks 15,351,417
================================================================================
SOUTH AFRICA--0.31%
OIL & GAS--0.31%
Sasol Ltd. 92,864 3,342,794
SOUTH KOREA--1.82%
BANKS--0.40%
Kookmin Bank, ADR 49,928 4,305,791
METALS & MINING--0.72%
POSCO 18,156 4,428,756
POSCO, ADR 53,400 3,296,916
7,725,672
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.33%
Samsung Electronics Co. Ltd., GDR 10,906 3,470,835
WIRELESS TELECOMMUNICATIONS SERVICES--0.37%
LG Telecom Ltd.* 369,846 4,007,439
- --------------------------------------------------------------------------------
Total South Korea common stocks 19,509,737
================================================================================
SPAIN--4.47%
BANKS--0.96%
Banco Bilbao Vizcaya Argentaria SA 134,810 2,865,513
Banco Santander Central Hispano SA (1) 490,125 7,425,378
10,290,891
CONSTRUCTION & ENGINEERING--0.48%
ACS Actividades de Contruccion y Servicios SA 23,140 1,012,988
Tecnicas Reunidas SA* 162,542 4,111,098
5,124,086
DIVERSIFIED TELECOMMUNICATION SERVICES--1.67%
Telefonica SA 1,058,078 17,895,039
ELECTRIC UTILITIES--1.01%
Iberdrola SA 306,558 10,886,404
OIL & GAS--0.19%
Repsol YPF SA 74,377 2,090,202
SPECIALTY RETAIL--0.16%
Inditex SA 39,167 1,701,586
- --------------------------------------------------------------------------------
Total Spain common stocks 47,988,208
================================================================================
SWEDEN--0.99%
BANKS--0.11%
Svenska Handelsbanken, Series A 46,098 1,167,313
DIVERSIFIED FINANCIALS--0.05%
D. Carnegie & Co. AB 27,070 505,188
MEDIA--0.05%
Eniro AB 45,866 528,216
METALS & MINING--0.75%
AB SKF, B Shares 570,705 8,077,079
SPECIALTY RETAIL--0.03%
Hennes & Mauritz AB 10,082 374,208
- --------------------------------------------------------------------------------
Total Sweden common stocks 10,652,004
================================================================================
186
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
SWITZERLAND--4.59%
BANKS--1.69%
Credit Suisse Group 248,418 $13,919,321
Julius Baer Holding Ltd. 45,947 4,264,067
18,183,388
BIOTECHNOLOGY--0.13%
Serono SA 2,032 1,374,702
CHEMICALS--0.10%
Clariant AG* 79,838 1,089,983
ELECTRICAL EQUIPMENT--0.64%
ABB Ltd. (1) 526,439 6,802,145
FOOD PRODUCTS--0.74%
Barry Callebaut AG* 3,313 1,467,299
Nestle SA 19,802 6,489,096
7,956,395
INSURANCE--0.56%
Swiss Re 83,992 6,040,626
MACHINERY--0.07%
Georg Fischer AG* 1,590 718,411
PHARMACEUTICALS--0.45%
Roche Holding Genussehein AG 26,955 4,797,160
SPECIALTY RETAIL--0.21%
Compagnie Financiere Richemont AG 50,772 2,289,908
- --------------------------------------------------------------------------------
Total Switzerland common stocks 49,252,718
================================================================================
TAIWAN--0.85%
COMPUTER & PERIPHERALS--0.53%
High Tech Computer Corp. 254,400 5,655,060
DIVERSIFIED TELECOMMUNICATION SERVICES--0.32%
Chunghwa Telecom Co. Ltd., ADR 184,500 3,426,165
- --------------------------------------------------------------------------------
Total Taiwan common stocks 9,081,225
================================================================================
UNITED KINGDOM--24.53%
AIRLINES--0.15%
British Airways PLC* 215,953 1,561,158
AUTO COMPONENTS--0.30%
GKN PLC 670,708 3,251,230
BANKS--6.14%
Barclays PLC 395,325 4,637,572
HBOS PLC 649,788 11,828,518
HSBC Holdings PLC 1,055,361 19,142,430
Lloyds TSB Group PLC 843,905 8,496,873
Royal Bank of Scotland Group PLC* 671,872 21,863,087
65,968,480
CHEMICALS--0.02%
Yule Catto & Co. PLC* 60,210 242,940
COMMERCIAL SERVICES & SUPPLIES--0.38%
Brambles Industries PLC 337,829 2,756,174
Michael Page International PLC 212,390 1,308,265
4,064,439
DIVERSIFIED FINANCIALS--0.21%
3i Group PLC 12,510 216,861
Man Group PLC 45,190 2,071,542
2,288,403
DIVERSIFIED TELECOMMUNICATION SERVICES--0.62%
BT Group PLC 1,494,720 6,638,304
ELECTRIC UTILITIES--0.25%
International Power PLC 273,082 1,502,295
Scottish & Southern Energy PLC* 52,250 1,180,996
2,683,291
FOOD & DRUG RETAILING--0.49%
Premier Foods PLC 84,626 506,256
RHM PLC 167,873 918,025
Tesco PLC* 567,963 3,814,132
5,238,413
FOOD PRODUCTS--0.03%
Cadbury Schweppes PLC* 31,083 303,960
HOTELS, RESTAURANTS & LEISURE--0.56%
Compass Group PLC* 260,360 1,241,415
Intercontinental Hotels Group PLC 295,093 4,776,439
6,017,854
HOUSEHOLD DURABLES--0.06%
Taylor Woodrow PLC 102,563 659,540
HOUSEHOLD PRODUCTS--0.21%
Reckitt Benckiser PLC 57,400 2,303,154
INDUSTRIAL CONGLOMERATES--0.53%
Smiths Group PLC 340,705 5,737,478
INSURANCE--1.74%
Aviva PLC* 433,117 5,809,068
Chaucer Holdings PLC 326,880 403,004
Old Mutual PLC 1,722,842 5,213,595
Prudential PLC 690,657 7,257,077
18,682,744
IT CONSULTING & SERVICES--0.03%
LogicaCMG PLC* 85,253 271,526
MEDIA--0.04%
Taylor Nelson Sofres PLC 145,349 484,649
187
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
UNITED KINGDOM--(CONCLUDED)
METALS & MINING--0.98%
Anglo American PLC 62,093 $ 2,592,370
BHP Billiton PLC 378,176 7,163,227
Corus Group PLC 26,858 215,358
Rio Tinto PLC* 11,168 576,829
10,547,784
MULTI-LINE RETAIL--1.30%
Alliance Boots PLC 361,806 5,312,208
Debenhams PLC* 203,187 683,196
Unilever PLC 338,835 8,013,067
14,008,471
MULTI-UTILITIES--0.27%
National Grid PLC 254,042 2,892,384
OIL & GAS--5.34%
BG Group PLC 811,452 10,913,703
BP PLC 2,792,186 33,641,926
Royal Dutch Shell PLC, A Shares ++ 87,617 3,091,699
Royal Dutch Shell PLC, A Shares +++ 275,042 9,721,542
57,368,870
PHARMACEUTICALS--3.11%
Astra Zeneca PLC* 75,977 4,639,529
GlaxoSmithKline PLC* 1,038,642 28,734,109
33,373,638
SOFTWARE--0.03%
Sage Group PLC 65,336 283,761
TOBACCO--0.15%
British America Tobacco PLC 58,463 1,575,884
TRADING COMPANIES & DISTRIBUTORS--0.31%
Wolseley PLC 154,499 3,290,087
WATER UTILITIES--0.05%
Northumbrian Water Group PLC 106,078 517,181
WIRELESS TELECOMMUNICATIONS SERVICES--1.23%
Vodafone Group PLC 6,097,224 13,240,424
- --------------------------------------------------------------------------------
Total United Kingdom common stocks 263,496,047
- --------------------------------------------------------------------------------
Total common stocks (cost--$865,844,011) 1,036,356,913
================================================================================
GERMANY--0.15%
AUTOMOBILES--0.07%
Volkswagen AG 13,606 $ 728,930
MEDIA--0.08%
ProSieben SAT.1 Media AG 35,160 899,166
- --------------------------------------------------------------------------------
Total Germany preferred stocks 1,628,096
================================================================================
UNITED KINGDOM--0.19%
WIRELESS TELECOMMUNICATION SERVICES--0.19%
Vodafone Group Red N C 6,968,256 1,952,505
- --------------------------------------------------------------------------------
Total preferred stocks (cost--$3,215,027) 3,580,601
================================================================================
188
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------
SHORT TERM US GOVERNMENT OBLIGATION@--0.05%
$ 560 US Treasury Bills^
(cost--$555,798) 09/28/06 4.640 to $ 555,798
4.761%
REPURCHASE AGREEMENT--1.98%
21,258 Repurchase agreement dated
07/31/06 with State Street
Bank & Trust Co.,
collateralized by
$22,298,540 US Treasury
Notes, 3.500% to 5.125% due
08/15/09 to 06/30/11;
(value--$21,683,167);
proceeds: $21,260,870
(cost--$21,258,000) 08/01/06 4.860 21,258,000
NUMBER OF
SHARES
(000)
- --------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--8.54%
MONEY MARKET FUNDS+--6.68%
317 AIM Liquid Assets Portfolio 5.175 316,810
56 AIM Prime Portfolio 5.216 55,722
^^^0 BlackRock Provident Institutional TempFund 5.127 234
24,760 DWS Money Market Series 5.216 24,760,029
46,602 UBS Private Money Market Fund LLC** 5.195 46,602,044
- --------------------------------------------------------------------------------
Total money market funds (cost--$71,734,839) 71,734,839
================================================================================
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS-- 1.86%
$ 5,000 Repurchase agreement dated
07/31/06 with Barclays Bank
PLC, collateralized by
$5,068,000 Federal National
Mortgage Association
obligations, 4.790% due
08/04/10;
(value--$5,100,034);
proceeds: $5,000,731 08/01/06 5.260 5,000,000
15,000 Repurchase agreement dated
07/31/06 with Deutsche Bank
Securities, Inc.,
collateralized by $534,000
Federal Home Loan Mortgage
Corp. obligations, 3.500% due
09/15/07 and $15,609,000
Federal National Mortgage
Association obligations,
5.630% due 04/19/35;
(value--$15,300,745);
proceeds: $15,002,192 08/01/06 5.260 15,000,000
- --------------------------------------------------------------------------------
Total repurchase agreements (cost--$20,000,000) 20,000,000
- --------------------------------------------------------------------------------
Total investments of cash collateral from securities loaned
(cost--$91,734,839) 91,734,839
- --------------------------------------------------------------------------------
Total investments (cost--$982,607,675)--107.40% 1,153,486,151
Liabilities in excess of other assets--(7.40)% (79,434,420)
Net assets--100.00% $1,074,051,731
================================================================================
</Table>
* Non-income producing security.
(1) Security, or portion thereof, was on loan at July 31, 2006.
+ Interest rates shown reflect yield at July 31, 2006.
++ Security is traded on the London Exchange.
+++ Security is traded on the Netherlands Exchange.
^ Entire amount pledged as collateral for futures transactions.
^^ Non-convertible savings shares.
^^^ Amount represents less than 500 shares.
@ Interest rate shown is discount rate at date of purchase.
ADR American Depositary Receipt.
189
<Page>
GDR Global Depositary Receipt.
STRIP Separate Trading of Registered Interest and Principal of Securities.
VVPR Verminderde Voorheffing Precompte Reduit (Belgium dividend coupon).
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE FOR
VALUE AT YEAR ENDED YEAR ENDED VALUE AT THE YEAR ENDED
SECURITY DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- --------------------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $64,652,176 $1,300,222,494 $1,318,272,626 $46,602,044 $169,281
</Table>
FUTURES CONTRACTS
<Table>
<Caption>
NUMBER OF IN EXPIRATION UNREALIZED
CONTRACTS CURRENCY CONTRACTS TO RECEIVE EXCHANGE FOR DATES APPRECIATION
- -----------------------------------------------------------------------------------------------------
35 EUR Dow Jones Euro STOXX 50 Futures $1,538,335 September 2006 $112,046
12 GBP FTSE 100 Index Futures 1,275,952 September 2006 49,443
9 JPY TOPIX Index Futures 1,217,766 September 2006 17,272
$178,761
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- --------------------------------------------------------------------------------
Euro Dollar 4,232,742 SEK 39,059,970 10/05/06 $ 9,743
Pound Sterling 5,619,962 AUD 13,897,254 10/05/06 62,119
Pound Sterling 8,268,500 USD 15,423,398 10/31/06 (51,923)
United States Dollar 2,238,782 JPY257,340,659 10/05/06 26,677
$ 46,616
CURRENCY TYPE ABBREVIATIONS:
AUD Australian Dollar
EUR Euro Dollar
GBP Great Britain Pound
JPY Japanese Yen
SEK Swedish Krona
USD United States Dollar
See accompanying notes to financial statements
190
<Page>
UBS PACE Select Advisors Trust
UBS PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--89.68%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
BERMUDA--0.48%
MARINE--0.48%
COSCO Pacific Ltd. 665,600 $ 1,481,928
BRAZIL--7.28%
BANKS--0.40%
Unibanco - Uniao de Bancos
Brasileiros SA, GDR (1)* 17,800 1,234,786
ELECTRIC UTILITIES--1.19%
AES Tiete SA 32,600,000 813,539
Companhia Energetica de Minas
Gerais-CEMIG, ADR (1)* 31,600 1,378,076
CPFL Energia SA 58,500 727,384
CPFL Energia SA, ADR 19,500 727,155
3,646,154
INSURANCE--0.42%
Porto Seguro SA* 71,200 1,302,579
METALS & MINING--1.06%
Companhia Siderurgica Nacional SA 45,200 1,448,145
Companhia Vale do Rio Doce
(CVRD), ADR* 90,400 1,798,960
3,247,105
OIL & GAS--1.18%
Petroleo Brasileiro SA- Petrobras 39,522 3,631,281
PAPER & FOREST PRODUCTS--0.89%
Votorantim Celulose e Papel SA,
ADR (1)* 174,750 2,724,353
REAL ESTATE--0.32%
Rossi Residencial SA 125,400 979,336
RETAIL--1.05%
Lojas Renner SA 55,900 3,237,601
TRANSPORTATION INFRASTRUCTURE--0.77%
Companhia de Concessoes
Rodoviarias (CCR) 252,000 2,368,835
- --------------------------------------------------------------------------------
Total Brazil common stocks 22,372,030
================================================================================
CAYMAN ISLANDS--0.03%
HOTEL, MOTEL OR LODGING--0.03%
Kingdom Hotel Investments, GDR* 14,400 97,920
CHILE--0.85%
BANKS--0.60%
Banco Santander Chile SA, ADR 47,300 1,849,430
WATER UTILITIES--0.25%
Inversiones Aguas Metropolitanas
SA, ADR (2) 36,000 773,870
- --------------------------------------------------------------------------------
Total Chile common stocks 2,623,300
================================================================================
CHINA--5.17%
CONSTRUCTION MATERIALS--0.44%
Anhui Conch Cement Co. Ltd.,
Class H (1) 800,800 1,344,938
DIVERSIFIED TELECOMMUNICATION SERVICES--0.76%
China Telecom Corp. Ltd. 7,084,000 2,333,922
INSURANCE--0.60%
China Life Insurance Co. Ltd., Class H 1,089,700 1,834,351
MARINE--0.61%
China Shipping Development Co. Ltd.,
Class H 2,244,000 1,862,732
OIL & GAS--0.79%
PetroChina Co. Ltd., Class H 2,140,000 2,426,373
ROAD & RAIL--0.26%
Guangshen Railway Co. Ltd. 1,964,000 788,613
TECHNOLOGY, HARDWARE & EQUIPMENT--0.26%
TPV Technology Ltd. 814,000 806,646
TEXTILES & APPAREL--0.52%
Fountain Set (Holdings) Ltd. 1,404,000 402,939
Texwinca Holdings Ltd. (1) 1,890,000 1,213,753
1,616,692
TRANSPORTATION INFRASTRUCTURE--0.93%
China Merchants Holdings
International Co. Ltd. 306,000 927,428
Zhejiang Expressway Co. Ltd. (1) 3,156,000 1,937,417
2,864,845
- --------------------------------------------------------------------------------
Total China common stocks 15,879,112
================================================================================
CZECH REPUBLIC--1.53%
BANKS--0.80%
Komercni Banka A.S 16,685 2,453,341
ELECTRIC UTILITIES--0.73%
CEZ 61,200 2,233,506
- --------------------------------------------------------------------------------
Total Czech Republic common stocks 4,686,847
================================================================================
EGYPT--0.89%
INDUSTRIAL CONGLOMERATES--0.56%
Orascom Telecom Holding SAE, GDR (1) 35,900 1,716,020
WIRELESS TELECOMMUNICATIONS SERVICES--0.33%
Egyptian Co. for Mobile Services
(MobiNil) 41,245 1,012,444
- --------------------------------------------------------------------------------
Total Egypt common stocks 2,728,464
================================================================================
HONG KONG--3.30%
AUTOMOBILES--0.49%
Dongfeng Motor Corp. Ltd.* 3,329,800 1,491,300
DISTRIBUTORS--0.51%
China Resources Enterprise Ltd. 715,300 1,576,013
191
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
HONG KONG--(CONCLUDED)
OIL & GAS--1.25%
China Petroleum & Chemical Corp. (Sinopec) 3,950,300 $ 2,216,585
CNOOC Ltd. 1,914,100 1,633,225
3,849,810
WIRELESS TELECOMMUNICATIONS SERVICES--1.05%
China Mobile (Hong Kong) Ltd. 498,000 3,207,755
- --------------------------------------------------------------------------------
Total Hong Kong common stocks 10,124,878
================================================================================
HUNGARY--1.14%
BANKS--0.67%
OTP Bank Rt. 56,739 1,691,229
OTP Bank Rt., ADR (1)(2) 5,800 346,840
2,038,069
DIVERSIFIED TELECOMMUNICATION SERVICES--0.47%
Magyar Tavkozlesi Rt. (Matav)* 344,461 1,450,144
- --------------------------------------------------------------------------------
Total Hungary common stocks 3,488,213
================================================================================
INDIA--3.72%
AUTOMOBILES--0.96%
Hero Honda Motors Ltd. 98,184 1,476,661
Tata Motors Ltd., ADR (1) 93,300 1,472,274
2,948,935
BEVERAGES--0.07%
McDowell & Co Ltd., GDR*#(3) 40,700 231,385
CHEMICALS--0.48%
Reliance Industries Ltd. 70,559 1,483,618
CONSTRUCTION MATERIALS--0.77%
India Cements Ltd.* 598,547 2,352,537
DIVERSIFIED TELECOMMUNICATION SERVICES--0.94%
Bharti Tele-Ventures Ltd.* 351,150 2,873,457
METALS & MINING--0.50%
Tata Steel Ltd. 145,760 1,546,665
- --------------------------------------------------------------------------------
Total India common stocks 11,436,597
================================================================================
INDONESIA--0.99%
BANKS--0.67%
PT Bank Internasional Indonesia Tbk 104,476,100 2,073,396
DIVERSIFIED TELECOMMUNICATION SERVICES--0.32%
PT Telekomunikasi Indonesia, Series B 1,182,000 970,882
- --------------------------------------------------------------------------------
Total Indonesia common stocks 3,044,278
================================================================================
ISRAEL--2.37%
BANKS--1.44%
Bank Hapoalim Ltd. 613,967 2,745,861
Bank Leumi Le-Israel 468,600 1,660,367
4,406,228
CHEMICALS--0.57%
Israel Chemicals Ltd. 371,933 1,760,805
DIVERSIFIED TELECOMMUNICATION SERVICES--0.36%
Bezeq Israeli Telecommunication. Corp. Ltd. 928,440 1,108,686
- --------------------------------------------------------------------------------
Total Israel common stocks 7,275,719
================================================================================
KAZAKHSTAN--0.45%
METALS & MINING--0.45%
KazakhGold Group Ltd.* 6,300 135,450
KazakhGold Group Ltd., GDR* 58,202 1,251,343
1,386,793
- --------------------------------------------------------------------------------
Total Kazakhstan common stocks 1,386,793
================================================================================
LUXEMBOURG--1.30%
ENERGY EQUIPMENT & SERVICES--0.58%
Tenaris SA, ADR 46,100 1,794,212
METALS & MINING--0.72%
Ternium SA, ADR* 89,200 2,194,320
- --------------------------------------------------------------------------------
Total Luxembourg common stocks 3,988,532
================================================================================
MALAYSIA--5.81%
BANKS--1.89%
Commerce Asset-Holding Berhad 1,352,800 2,274,701
Hong Leong Bank Berhad 1,392,800 2,018,275
Public Bank Berhad 836,500 1,520,909
5,813,885
CONSUMER SERVICES--0.68%
Tanjong PLC 555,400 2,095,563
MARINE--0.73%
Malaysia International Shipping Co. Berhad 1,030,000 2,238,824
PLANTATIONS--0.87%
IOI Corp. Berhad 598,500 2,667,273
TRANSPORTATION INFRASTRUCTURE--0.50%
PLUS (Projek Lebuhraya Utara Selatan)
Expressways Berhad 2,105,000 1,548,175
WIRELESS TELECOMMUNICATIONS SERVICES--1.14%
Maxis Communications Berhad 1,474,400 3,486,961
- --------------------------------------------------------------------------------
Total Malaysia common stocks 17,850,681
================================================================================
MEXICO--6.83%
BANKS--0.71%
Grupo Financiero Banorte SA de C.V., Series O 791,829 2,174,392
BEVERAGES--0.69%
Grupo Modelo, SA de C.V., Series C 486,000 2,128,224
CONSTRUCTION MATERIALS--1.39%
Cemex SA de C.V., ADR (1) 150,962 4,275,244
192
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
MEXICO--(CONCLUDED)
HOUSEHOLD PRODUCTS--0.82%
Kimberly-Clark de Mexico SA de C.V., Series A 671,800 $ 2,512,834
MEDIA--0.56%
Grupo Televisa SA, ADR 93,000 1,722,360
METALS & MINING--0.45%
Industrias CH, SA, Series B* 464,800 1,361,166
MULTI-LINE RETAIL--0.65%
Wal-Mart de Mexico SA de C.V., Series V 648,600 2,000,016
TRANSPORTATION INFRASTRUCTURE--0.56%
Grupo Aeroportuario del Pacifico SA de C.V.,ADR 29,500 882,935
Grupo Aeroportuario del Sureste SA de C.V., ADR (1) 25,000 846,500
1,729,435
WIRELESS TELECOMMUNICATIONS SERVICES--1.00%
America Movil SA de C.V., ADR, Series L 85,988 3,076,651
- --------------------------------------------------------------------------------
Total Mexico common stocks 20,980,322
================================================================================
MOROCCO--0.29%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.29%
Maroc Telecom 67,368 882,073
PANAMA--0.38%
BANKS--0.38%
Banco Latinoamericano de Exportaciones SA, Class E 71,800 1,177,520
PERU--0.54%
METALS & MINING--0.54%
Compania de Minas Buenaventura SA, ADR 56,600 1,647,626
PHILIPPINES--0.43%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.43%
Philippine Long Distance Telephone Co., ADR (1) 33,600 1,316,784
POLAND--1.37%
BANKS--0.81%
Bank Pekao SA 36,240 2,494,978
DIVERSIFIED TELECOMMUNICATION SERVICES--0.56%
Telekomunikacja Polska SA 250,012 1,717,182
- --------------------------------------------------------------------------------
Total Poland common stocks 4,212,160
================================================================================
RUSSIA--5.80%
AUTO MANUFACTURING/SUPPLIERS--0.36%
JSC Severstal-Auto (3)* 59,800 1,100,320
BANKS--0.29%
Sberbank* 505 898,900
ELECTRIC UTILITIES--0.60%
RAO Unified Energy System (UES), GDR 25,000 1,837,500
OIL & GAS--3.21%
Gazprom, ADR 101,350 4,224,268
LUKOIL, ADR 16,112 1,396,910
NovaTek OAO, GDR 34,242 1,602,526
OAO Rosneft Oil Co., GDR (1)* 171,400 1,299,212
Surgutneftegaz OJSC, ADR 18,300 1,346,880
9,869,796
WIRELESS TELECOMMUNICATIONS SERVICES--1.34%
Mobile TeleSystems, ADR 128,500 4,104,290
- --------------------------------------------------------------------------------
Total Russia common stocks 17,810,806
================================================================================
SOUTH AFRICA--8.41%
BANKS--1.54%
ABSA Group Ltd. 184,892 2,729,831
African Bank Investments Ltd. 557,981 1,988,858
4,718,689
DIVERSIFIED FINANCIALS--1.35%
Alexander Forbes Ltd.* 614,584 1,304,631
Standard Bank Group Ltd. 257,539 2,833,645
4,138,276
DIVERSIFIED TELECOMMUNICATION SERVICES--0.45%
Telkom South Africa Ltd. 73,470 1,385,029
FOOD PRODUCTS--0.21%
Tiger Brands Ltd. 30,557 660,102
HEALTH CARE EQUIPMENT & SUPPLIES--0.21%
Aspen Pharmacare Holdings Ltd.* 129,987 660,072
HOUSEHOLD DURABLES--0.35%
Steinhoff International Holdings Ltd.* 352,124 1,080,150
INDUSTRIAL CONGLOMERATES--1.22%
Barloworld Ltd. 79,869 1,330,479
Remgro Ltd. 116,881 2,405,388
3,735,867
METALS & MINING--0.52%
Harmony Gold Mining Co. Ltd. (1)* 111,519 1,581,955
OIL & GAS--1.34%
Sasol Ltd. 114,572 4,124,209
SPECIALTY RETAIL--0.39%
Ellerine Holdings Ltd. 3,500 33,268
Truworths International Ltd. 363,100 1,176,570
1,209,838
WIRELESS TELECOMMUNICATIONS SERVICES--0.83%
MTN Group Ltd. 331,945 2,538,456
- --------------------------------------------------------------------------------
Total South Africa common stocks 25,832,643
================================================================================
193
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
SOUTH KOREA--12.52%
BANKS--2.48%
Industrial Bank of Korea (IBK) 106,000 $ 1,897,613
Kookmin Bank 65,780 5,714,208
7,611,821
CONSTRUCTION & ENGINEERING--1.28%
Daelim Industrial Co., Ltd. 21,305 1,416,319
GS Engineering & Construction Corp. 17,000 1,139,028
Hyundai Development Co. 29,760 1,380,201
3,935,548
DIVERSIFIED FINANCIALS--1.43%
Hana Financial Group, Inc. 98,443 4,400,666
DIVERSIFIED TELECOMMUNICATION SERVICES--0.93%
KT Corp. 44,190 1,813,493
KT Corp., ADR (1) 48,400 1,043,988
2,857,481
ELECTRIC UTILITIES--0.45%
Korea Electric Power Corp. (KEPCO) 37,020 1,387,475
ELECTRICAL EQUIPMENT--0.06%
KH Vatec Co. Ltd.* 13,288 186,410
GAS UTILITIES--0.62%
Korea Gas Corp. 52,580 1,915,603
MACHINERY--0.42%
Hanjin Heavy Industries & Construction Co., Ltd. 45,700 1,291,771
METALS & MINING--0.51%
Korea Zinc Co., Ltd. 17,500 1,551,769
OIL & GAS--0.55%
SK Corp. 24,000 1,680,905
RETAIL--0.59%
Lotte Shopping Co., Ltd., GDR (1)(2)* 106,730 1,822,948
SEMICONDUCTOR EQUIPMENT & PRODUCTS--2.16%
Samsung Electronics Co. Ltd. 10,434 6,641,407
TOBACCO--0.93%
KT&G Corp. 47,208 2,846,714
TRANSPORTATION INFRASTRUCTURE--0.11%
Macquarie Korea Infrastructure Fund, GDR* 50,400 338,688
- --------------------------------------------------------------------------------
Total South Korea common stocks 38,469,206
================================================================================
TAIWAN--11.75%
BANKS--1.43%
Mega Financial Holding Co. Ltd. 4,952,000 3,311,414
Ta Chong Bank Ltd.* 3,860,802 1,079,845
4,391,259
CHEMICALS--0.41%
Taiwan Fertilizer Co. Ltd. 792,000 $ 1,269,618
COMPUTERS & PERIPHERALS--1.80%
Asustek Computer, Inc. 1,367,500 3,073,221
Lite-On Technology Corp. 1,821,000 2,457,655
5,530,876
CONSTRUCTION MATERIALS--0.66%
Taiwan Cement Corp. 2,756,100 2,032,361
DIVERSIFIED TELECOMMUNICATION SERVICES--1.41%
Chunghwa Telecom Co. Ltd. 1,444,000 2,658,724
Chunghwa Telecom Co. Ltd., ADR 90,700 1,684,299
4,343,023
ELECTRONIC EQUIPMENT & INSTRUMENTS--1.34%
Delta Electronics, Inc. 562,500 1,516,603
HON HAI Precision Industry Co. Ltd. (Foxconn) 286,000 1,694,168
Synnex Technology International Corp. 1,029,820 905,613
4,116,384
FOOD & DRUG RETAILING--0.79%
President Chain Store Corp. 1,159,000 2,424,168
HEALTH CARE EQUIPMENT & SUPPLIES--0.15%
Pihsiang Machinery Manufacturing Co. Ltd. 226,350 449,935
INSURANCE--0.64%
Shin Kong Financial Holding Co., Ltd. 1,884,000 1,958,785
SEMICONDUCTOR EQUIPMENT & PRODUCTS--3.12%
MediaTek, Inc. 196,000 1,786,443
Taiwan Semiconductor Manufacturing Co. Ltd. 2,773,398 4,640,678
Unimicron Technology Corp. 1,139,000 1,391,145
Vanguard International Semiconductor Corp. 2,883,513 1,747,717
9,565,983
- --------------------------------------------------------------------------------
Total Taiwan common stocks 36,082,392
================================================================================
THAILAND--4.48%
BANKS--0.65%
Kasikornbank Public Co. Ltd., NVDR 737,700 1,198,324
Siam City Bank Public Co. Ltd. 1,765,300 792,660
1,990,984
CONSTRUCTION MATERIALS--1.09%
Siam Cement Public Co. Ltd., NVDR 597,600 3,346,308
FINANCIAL SERVICES--0.20%
Phatra Securities Co. Ltd., NVDR 577,200 613,637
FOOD PRODUCTS--0.21%
Thai Union Frozen Products Public Co. Ltd, NVDR (3) 1,088,700 658,511
194
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
THAILAND--(CONCLUDED)
HOME BUILDERS--0.56%
Land & Houses Public Co. Ltd, NVDR (1) 9,368,200 $ 1,719,730
INDUSTRIAL CONGLOMERATES--0.47%
Banpu Public Co. Ltd., NVDR 391,300 1,436,627
OIL REFINING, DISTRIBUTION--0.48%
Thai Oil Public Co. Ltd., NVDR 861,000 1,466,838
WIRELESS TELECOMMUNICATIONS SERVICES--0.82%
Advanced Information Services Public Co. Ltd. 1,090,200 2,534,010
- --------------------------------------------------------------------------------
Total Thailand common stocks 13,766,645
================================================================================
TURKEY--1.57%
AUTOMOBILES--0.28%
Tofas Turk Otomobil Fabrikasi A.S. 313,074 844,564
BANKS--0.63%
Akbank T.A.S. 404,964 1,946,942
DIVERSIFIED FINANCIALS--0.50%
Turkiye Vakiflar Bankasi T.A.O., Class D 368,269 1,549,209
HOUSEHOLD DURABLES--0.16%
Vestel Elektronik Sanayi ve Ticaret A.S.* 195,503 493,457
- --------------------------------------------------------------------------------
Total Turkey common stocks 4,834,172
================================================================================
Total common stocks (cost--$246,133,011) 275,477,641
================================================================================
PREFERRED STOCKS--8.73%
BRAZIL--7.00%
BANKS--1.21%
Banco Bradesco SA 50,200 1,679,871
Itausa--Investimentos Itau SA* 494,139 2,044,243
3,724,114
BEVERAGES--0.47%
Cia Brasileira Bebida 3,580,500 1,433,517
CHEMICALS--0.21%
Ultrapar Participacoes SA 43,040 641,198
DIVERSIFIED TELECOMMUNICATION SERVICES--0.37%
Brasil Telecom SA* 272,795 1,073
Tele Norte Leste Participacoes SA, ADR (1) 85,400 1,133,258
1,134,331
ELECTRIC UTILITIES--0.21%
AES Tiete SA 26,400,000 657,967
METALS & MINING--2.38%
Companhia Vale do Rio Doce (CVRD), Class A 297,186 5,915,033
Usinas Siderurgicas de Minas Gerais SA
(Usiminas), Class A 40,200 1,385,888
7,300,921
OIL & GAS--2.15%
Petroleo Brasileiro SA--Petrobras 97,220 2,006,517
Petroleo Brasileiro SA--Petrobras, ADR* 55,628 4,608,224
6,614,741
- --------------------------------------------------------------------------------
Total Brazil preferred stocks 21,506,789
================================================================================
SOUTH KOREA--1.73%
AUTOMOBILES--0.62%
Hyundai Motor Co. 39,670 1,906,253
SEMICONDUCTOR EQUIPMENT & PRODUCTS--1.11%
Samsung Electronics Co. Ltd. 7,133 3,394,000
- --------------------------------------------------------------------------------
Total South Korea preferred stocks 5,300,253
================================================================================
Total preferred stocks (cost--$16,850,572) 26,807,042
================================================================================
NUMBER OF
RIGHTS VALUE
- --------------------------------------------------------------------------------
RIGHTS--0.00%
THAILAND--0.00%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.00%
True Corporation Public Company Ltd.
exercise price $0.351, expires 04/03/08*#(3) 218,684 0
- --------------------------------------------------------------------------------
Total rights (cost--$0) 0
================================================================================
195
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ---------------------------------------------------------------------------------------------------
CORPORATE BOND--0.00%
BRAZIL--0.00%
METALS & MINING--0.00%
$10 Companhia Vale do Rio Doce (a)#(3) (cost--$0) 09/29/49+++ 1.000%+/- $ 0
REPURCHASE AGREEMENT--1.72%
5,296 Repurchase agreement dated 07/31/06 with
State Street Bank & Trust Co., collateralized
by $5,555,229 US Treasury Notes, 3.500% to
5.125% due 08/15/09 to 06/30/11;
(value--$5,401,922); proceeds: $5,296,715
(cost--$5,296,000) 08/01/06 4.860 5,296,000
</Table>
<Table>
<Caption>
NUMBER OF
SHARES
(000)
- -------------------------------------------------------------------------------------------------
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED--6.15%
MONEY MARKET FUNDS+-- 2.57%
## 0 AIM Liquid Assets Portfolio 5.175 103
12 AIM Prime Portfolio 5.216 12,156
## 0 BlackRock Provident Institutional TempFund 5.127 105
7,876 UBS Private Money Market Fund LLC** 5.195 7,875,884
- -------------------------------------------------------------------------------------------------
Total money market funds (cost--$7,888,248) 7,888,248
=================================================================================================
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT
(000)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.58%
$4,000 Repurchase agreement dated 07/31/06 with
Barclays Bank PLC, collateralized by
$4,055,000 Federal Home Loan Mortgage Corp.
obligations, 4.790% due 08/04/10;
(value--$4,080,631); proceeds: $4,000,584 08/01/06 5.260 4,000,000
7,000 Repurchase agreement dated 07/31/06 with
Deutsche Bank Securities Inc., collateralized
by $6,165,000 Federal Home Loan Bank
obligations, 4.500% due 04/17/07, $265,000
Federal Home Loan Mortgage Corp. obligations,
zero coupon due 11/14/06 and $668,000 Federal
National Mortgage Association obligations,
6.000% due 05/25/11 (value--$7,140,342);
proceeds: $7,001,023 08/01/06 5.260 7,000,000
Total repurchase agreements (cost--$11,000,000) 11,000,000
- -------------------------------------------------------------------------------------------------
Total investments of cash collateral from securities
loaned (cost--$18,888,248) 18,888,248
=================================================================================================
Total investments (cost--$287,167,831)--106.28% 326,468,931
Liabilities in excess of other assets--(6.28)% (19,289,599)
- -------------------------------------------------------------------------------------------------
Net assets--100.00% $307,179,332
=================================================================================================
</Table>
196
<Page>
* Non-income producing security.
(a) Bond interest in default.
(1) Security, or portion thereof, was on loan at July 31, 2006.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 0.96% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(3) Illiquid securities representing 0.65% of net assets.
+ Interest rates shown reflect yields at July 31, 2006.
# Security is being fair valued by a valuation committee under the direction
of the board of trustees.
## Amount represents less than 500 shares.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
NVDR Non Voting Depositary Receipt.
** The table below details the Portfolio's transaction activity in an
affiliated issuer during the year ended July 31, 2006.
+++ Perpetual bond security. The maturity date represents the final maturity.
+/- Variable rate security--The interest rate shown is the current rate as of
July 31, 2006, and resets periodically.
<Table>
<Caption>
PURCHASES SALES INCOME EARNED
DURING THE DURING THE FROM AFFILIATE FOR
SECURITY VALUE AT YEAR ENDED YEAR ENDED VALUE AT THE YEAR ENDED
DESCRIPTION 07/31/05 07/31/06 07/31/06 07/31/06 07/31/06
- ----------------------------------------------------------------------------------------------------------
UBS Private Money Market Fund LLC $22,579,243 $198,993,711 $213,697,070 $7,875,884 $41,034
</Table>
See accompanying notes to financial statements
197
<Page>
UBS PACE SELECT ADVISORS TRUST
UBS PACE ALTERNATIVE STRATEGIES INVESTMENTS
PORTFOLIO OF INVESTMENTS--JULY 31, 2006
COMMON STOCKS--67.84%
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AUSTRALIA--3.13%
BANKS--0.10%
Westpac Banking Corp. 3,468 $ 58,465
METALS & MINING--2.13%
Alumina Ltd. 46,054 224,805
BHP Billiton Ltd. 26,072 554,816
Rio Tinto Ltd. 7,865 448,164
1,227,785
OIL & GAS--0.78%
Santos Ltd. 50,820 447,849
REAL ESTATE--0.12%
ING Industrial Fund 42,713 70,699
- --------------------------------------------------------------------------------
Total Australia common stocks 1,804,798
================================================================================
AUSTRIA--0.15%
BANKS--0.11%
Erste Bank der Oesterreichischen
Sparkassen AG 1,088 62,764
INSURANCE--0.04%
Wiener Staedtische Versicherung AG 404 23,533
- --------------------------------------------------------------------------------
Total Austria common stocks 86,297
================================================================================
BELGIUM--0.75%
FOOD & DRUG RETAILING--0.62%
Delhaize Group 4,930 358,647
PHARMACEUTICALS--0.13%
UCB SA 1,223 71,286
- --------------------------------------------------------------------------------
Total Belgium common stocks 429,933
================================================================================
BERMUDA--0.24%
ENERGY EQUIPMENT & SERVICES--0.14%
Nabors Industries Ltd.* 500 17,660
Weatherford International Ltd.* 1,400 65,576
83,236
INDUSTRIAL CONGLOMERATES--0.03%
Tyco International Ltd. 701 18,289
REAL ESTATE--0.07%
Kerry Properties Ltd. 12,000 39,536
- --------------------------------------------------------------------------------
Total Bermuda common stocks 141,061
================================================================================
BRAZIL--1.47%
AIRLINES--0.09%
Gol--Linhas Aereas Inteligentes SA 1,700 54,434
BANKS--0.08%
Banco Itau Holding Financiera SA, ADR 1,400 43,204
ELECTRIC UTILITIES--0.06%
CPFL Energia SA, ADR 1,000 37,290
FOOD & DRUG RETAILING--0.07%
Companhia Brasileira de Distribuicao Grupo
Pao de Acucar, ADR 1,300 38,935
METALS & MINING--0.81%
Companhia Vale do Rio Doce
(CVRD), ADR 20,000 464,000
OIL & GAS--0.30%
Petroleo Brasileiro SA, ADR 1,900 174,572
WIRELESS TELECOMMUNICATIONS SERVICES--0.06%
Tim Participacoes SA, ADR 1,300 32,240
- --------------------------------------------------------------------------------
Total Brazil common stocks 844,675
================================================================================
CANADA--2.99%
BANKS--0.37%
Bank of Nova Scotia 1,100 44,274
National Bank of Canada 1,100 56,910
Royal Bank of Canada 2,700 110,079
211,263
BIOTECHNOLOGY--0.01%
QLT, Inc. * 1,100 7,776
CHEMICALS--0.28%
Agrium, Inc. 1,706 41,320
Methanex Corp. (1) 1,300 24,856
Methanex Corp. (2) 5,000 95,652
161,828
DIVERSIFIED TELECOMMUNICATION SERVICES--0.50%
Telus Corp. 6,700 289,503
INSURANCE--0.57%
Manulife Financial Corp. 10,500 331,135
IT CONSULTING & SERVICES--0.30%
CGI Group, Inc. * 29,400 171,978
METALS & MINING--0.41%
Algoma Steel, Inc. * 2,900 92,943
Cameco Corp. 1,700 67,830
IPSCO, Inc. 700 66,035
Teck Cominco Ltd., Class B 100 6,618
233,426
OIL & GAS--0.55%
Canadian Natural Resources Ltd. 800 42,485
Canadian Oil Sands Trust 1,200 39,466
Encana Corp. 1,600 86,298
Shell Canada Ltd. 1,200 41,810
Suncor Energy, Inc. 500 40,315
Talisman Energy, Inc. 4,000 67,969
318,343
- --------------------------------------------------------------------------------
Total Canada common stocks 1,725,252
================================================================================
198
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
CAYMAN ISLANDS--0.28%
ENERGY EQUIPMENT & SERVICES--0.12%
GlobalSantaFe Corp. 500 $ 27,465
Transocean, Inc.* 500 38,615
66,080
WIRELESS TELECOMMUNICATIONS SERVICES--0.16%
Foxconn International Holdings Ltd.* 40,000 93,074
- --------------------------------------------------------------------------------
Total Cayman Islands common stocks 159,154
================================================================================
CHILE--0.12%
BANKS--0.12%
Banco Santander Chile SA, ADR 1,800 70,380
CHINA--0.17%
AIRLINES--0.06%
Air China Ltd., Class H 94,000 36,293
METALS & MINING--0.09%
China Shenhua Energy Co. Ltd., Class H 29,000 52,176
OIL & GAS--0.02%
China Petroleum and Chemical Corp.
(Sinopec), ADR 200 11,504
- --------------------------------------------------------------------------------
Total China common stocks 99,973
================================================================================
DENMARK--0.18%
BANKS--0.18%
Danske Bank A/S 2,144 82,217
Jyske Bank A/S * 400 22,289
- --------------------------------------------------------------------------------
Total Denmark common stocks 104,506
================================================================================
EGYPT--0.05%
TELECOMMUNICATIONS--0.05%
Orascom Telecom Holdings SAE 596 28,538
FINLAND--0.55%
OIL & GAS--0.55%
Fortum Oyj 11,606 314,597
FRANCE--1.99%
AUTOMOBILES--0.14%
PSA Peugeot Citroen 1,540 80,832
BANKS--0.45%
BNP Paribas 599 58,305
Credit Agricole SA 2,201 88,480
Societe Generale 760 113,392
260,177
CONSTRUCTION MATERIALS--0.16%
Lafarge SA 776 93,873
HEALTH CARE EQUIPMENT & SUPPLIES--0.19%
Essilor International SA 1,069 106,922
INSURANCE--0.10%
Axa 1,721 59,357
MULTI-LINE RETAIL--0.11%
PPR 460 61,463
OIL & GAS--0.13%
Gaz de France (GDF) 74 2,633
Total SA 1,078 73,327
75,960
PHARMACEUTICALS--0.34%
Sanofi-Aventis 2,063 196,196
WIRELESS TELECOMMUNICATIONS SERVICES--0.37%
Bouygues SA 4,205 209,971
- --------------------------------------------------------------------------------
Total France common stocks 1,144,751
================================================================================
GERMANY--1.45%
AUTOMOBILES--0.07%
Volkswagen AG 529 39,700
CHEMICALS--0.09%
Bayer AG 1,025 50,501
DIVERSIFIED TELECOMMUNICATION SERVICES--0.10%
Deutsche Telekom AG 3,931 60,760
HOUSEHOLD PRODUCTS--0.18%
Henkel KGaA 881 104,661
INSURANCE--0.25%
Muenchener Rueckver AG 1,053 145,042
PHARMACEUTICALS--0.62%
Merck KGaA 3,911 356,808
SOFTWARE--0.14%
SAP AG 428 78,330
- --------------------------------------------------------------------------------
Total Germany common stocks 835,802
================================================================================
GREECE--0.16%
CONSTRUCTION & ENGINEERING--0.16%
Technical Olympic SA 22,085 89,712
HONG KONG--1.43%
DIVERSIFIED FINANCIALS--0.87%
Swire Pacific Ltd. 48,500 503,089
INDUSTRIAL CONGLOMERATES--0.05%
Hutchison Whampoa Ltd. 3,000 27,355
REAL ESTATE--0.41%
New World Development Co. Ltd. 138,000 237,631
WIRELESS TELECOMMUNICATIONS SERVICES--0.10%
China Mobile (Hong Kong) Ltd. 9,000 57,971
- --------------------------------------------------------------------------------
Total Hong Kong common stocks 826,046
================================================================================
HUNGARY--0.04%
OIL & GAS--0.04%
MOL Hungarian Oil and Gas Nyrt. 230 25,529
199
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
INDIA--0.20%
IT CONSULTING & SERVICES--0.10%
Infosys Technologies Ltd., ADR 1,400 $ 57,526
METALS & MINING--0.10%
Hindalco Industries Ltd., GDR (4) 16,622 58,676
- --------------------------------------------------------------------------------
Total India common stocks 116,202
================================================================================
INDONESIA--0.16%
AUTOMOBILES--0.04%
PT Astra International Tbk 21,000 22,227
DIVERSIFIED TELECOMMUNICATION SERVICES--0.07%
PT Telekomunikasi Indonesia, ADR 1,300 43,329
INDUSTRIAL CONGLOMERATES--0.05%
PT Bakrie and Brothers Tbk * 1,443,500 27,056
- --------------------------------------------------------------------------------
Total Indonesia common stocks 92,612
================================================================================
IRELAND--0.97%
BANKS--0.15%
Allied Irish Banks PLC 3,500 84,634
INDUSTRIAL CONGLOMERATES--0.02%
DCC PLC 540 12,968
INSURANCE--0.80%
Irish Life & Permanent PLC 19,921 459,320
- --------------------------------------------------------------------------------
Total Ireland common stocks 556,922
================================================================================
ISRAEL--0.14%
PHARMACEUTICALS--0.14%
Teva Pharmaceutical Industries Ltd., ADR 2,400 79,392
ITALY--2.02%
BANKS--0.67%
Banca Intesa SpA 36,533 211,286
Banca Monte dei Paschi di Siena SpA 9,069 54,535
UniCredito Italiano SpA 15,521 119,455
385,276
CONSTRUCTION MATERIALS--0.90%
Italcementi SpA 20,886 519,189
OIL & GAS--0.09%
ENI SpA 1,759 53,949
TEXTILES & APPAREL--0.36%
Benetton Group SpA 13,978 203,910
- --------------------------------------------------------------------------------
Total Italy common stocks 1,162,324
================================================================================
JAPAN--6.17%
BANKS--0.23%
Bank of Fukuoka Ltd. 5,000 37,245
Bank of Kyoto Ltd. 3,000 30,983
Shinsei Bank Ltd. 10,000 62,366
130,594
CHEMICALS--0.36%
Sumitomo Chemical Co. Ltd. 26,000 205,469
DIVERSIFIED FINANCIALS--0.04%
Matsui Securities Co. Ltd. 3,100 24,796
DIVERSIFIED TELECOMMUNICATION SERVICES--0.43%
Nippon Telephone & Telegraph Corp. 47 245,567
ELECTRONIC EQUIPMENT & INSTRUMENTS--1.02%
Citizen Watch Co. Ltd. 11,200 95,934
Hitachi Ltd. 77,000 492,983
588,917
FOOD & DRUG RETAILING--0.14%
Seven & I Holdings Co. Ltd. 2,300 80,248
FOOD PRODUCTS--0.53%
Ajinomoto Co., Inc. 11,000 123,773
Katokichi Co. Ltd. 1,200 11,472
Nissin Food Products Co. Ltd. 4,700 172,184
307,429
HOUSEHOLD DURABLES--0.88%
Matsushita Electric Industrial Co. Ltd. 17,000 353,657
Pioneer Corp. 7,000 114,545
Sony Corp. 800 36,844
505,046
INTERNET & CATALOG RETAIL--0.07%
Rakuten, Inc. 90 42,784
LEISURE EQUIPMENT & PRODUCTS--0.29%
Fuji Photo Film Co. Ltd. 1,100 37,036
NAMCO BANDAI Holdings, Inc. 9,100 130,652
167,688
MACHINERY--0.57%
Glory Ltd. 500 8,548
Mitsubishi Heavy Industries Ltd. 79,000 323,180
331,728
PHARMACEUTICALS--1.11%
Astellas Pharma, Inc. 4,600 182,965
Daiichi Sankyo Co. Ltd. 5,000 137,381
Eisai Co. Ltd. 3,900 179,955
Kyowa Hakko Kogyo Co. Ltd. 12,000 87,086
Takeda Pharmaceutical Co. Ltd. 800 51,638
639,025
TRADING COMPANIES & DISTRIBUTORS--0.50%
Marubeni Corp. 54,000 286,851
- --------------------------------------------------------------------------------
Total Japan common stocks 3,556,142
================================================================================
MALAYSIA--0.05%
OIL & GAS--0.05%
Shell Refining Co. (Federation of Malaya)
Berhad 10,200 29,282
200
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
MEXICO--0.46%
BEVERAGES--0.11%
Fomento Economico Mexicano SA de C.V., ADR 700 $ 61,460
MULTI-LINE RETAIL--0.06%
Wal-Mart de Mexico SA de CV, Series V 10,700 32,994
TRANSPORTATION INFRASTRUCTURE--0.09%
Grupo Aeroportuario del Pacifico SA de CV, ADR 1,800 53,874
WIRELESS TELECOMMUNICATIONS SERVICES--0.20%
America Movil SA de C.V., ADR, Series L 3,300 118,074
- --------------------------------------------------------------------------------
Total Mexico common stocks 266,402
================================================================================
NETHERLANDS--0.80%
CHEMICALS--0.48%
Akzo Nobel N.V. * 4,958 275,881
ENERGY EQUIPMENT & SERVICES--0.08%
Schlumberger Ltd. 700 46,795
HOUSEHOLD DURABLES--0.15%
Koninklijke (Royal) Philips Electronics N.V.* 2,607 86,085
PHARMACEUTICALS--0.09%
Zentiva N.V. 980 51,269
- --------------------------------------------------------------------------------
Total Netherlands common stocks 460,030
================================================================================
NEW ZEALAND--0.47%
CONSTRUCTION MATERIALS--0.47%
Fletcher Building Ltd. 50,647 272,758
NORWAY--1.23%
BANKS--0.01%
DNB NOR ASA 663 8,403
BEVERAGES--0.06%
Orkla ASA 760 34,453
OIL & GAS--1.16%
Norsk Hydro ASA 19,260 547,648
Statoil ASA 4,000 118,612
666,260
- --------------------------------------------------------------------------------
Total Norway common stocks 709,116
================================================================================
POLAND--0.07%
MEDIA--0.07%
TVN SA * 1,175 40,542
RUSSIA--0.32%
OIL & GAS--0.32%
Gazprom, ADR (1) 866 36,095
Gazprom, ADR (3) 671 27,967
LUKOIL, ADR 1,400 121,380
- --------------------------------------------------------------------------------
Total Russia common stocks 185,442
================================================================================
SINGAPORE--0.77%
BANKS--0.14%
United Overseas Bank Ltd. 8,000 79,045
BEVERAGES--0.19%
Fraser and Neave Ltd. 44,000 112,588
DIVERSIFIED TELECOMMUNICATION SERVICES--0.44%
Singapore Telecommunications 155,000 254,268
- --------------------------------------------------------------------------------
Total Singapore common stocks 445,901
================================================================================
SOUTH AFRICA--0.79%
METALS & MINING--0.51%
Anglo Platinum Ltd. 2,853 291,722
OIL & GAS--0.12%
Sasol Ltd. 1,944 69,977
SPECIALTY RETAIL--0.09%
Truworths International Ltd. 16,108 52,196
WIRELESS TELECOMMUNICATIONS SERVICES--0.07%
MTN Group Ltd. 5,117 39,131
- --------------------------------------------------------------------------------
Total South Africa common stocks 453,026
================================================================================
SOUTH KOREA--0.50%
DIVERSIFIED FINANCIALS--0.10%
Shinhan Financial Group Co. Ltd., ADR 600 59,052
METALS & MINING--0.04%
POSCO, ADR 106 25,856
MULTI-LINE RETAIL--0.09%
Shinsegae Co. Ltd. 102 50,402
OIL & GAS--0.05%
S-Oil Corp. 390 27,478
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.22%
Samsung Electronics Co. Ltd., GDR (4) 392 124,754
- --------------------------------------------------------------------------------
Total South Korea common stocks 287,542
================================================================================
SPAIN--1.77%
BANKS--0.44%
Banco Bilbao Vizcaya Argentaria SA 5,184 110,191
Banco Santander Central Hispano SA 9,420 142,712
252,903
CONSTRUCTION & ENGINEERING--0.05%
Fomento de Construcciones y Contratas SA 345 26,905
DIVERSIFIED TELECOMMUNICATION SERVICES--0.00%
Telefonica SA 13 220
OIL & GAS--0.73%
Repsol YPF SA 15,056 423,116
WATER UTILITIES--0.55%
Sociedad General de Aguas de Barcelona SA, Class A 11,500 315,837
- --------------------------------------------------------------------------------
Total Spain common stocks 1,018,981
================================================================================
201
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
SWEDEN--0.50%
BANKS--0.30%
Nordea Bank AB 7,861 $ 98,439
Skandinaviska Enskilda Banken AB 3,107 76,521
174,960
MACHINERY--0.13%
Volvo AB, Class B 1,353 71,620
PAPER & FOREST PRODUCTS--0.07%
Holmen AB, Class B 1,000 42,736
- --------------------------------------------------------------------------------
Total Sweden common stocks 289,316
================================================================================
SWITZERLAND--0.77%
BANKS--0.19%
Credit Suisse Group 1,962 109,934
FOOD PRODUCTS--0.45%
Nestle SA 792 259,538
INSURANCE--0.13%
Zurich Financial Services AG 319 71,613
- --------------------------------------------------------------------------------
Total Switzerland common stocks 441,085
================================================================================
TAIWAN--0.48%
COMPUTER & PERIPHERALS--0.06%
Asustek Computer, Inc. 16,566 36,776
DIVERSIFIED FINANCIALS--0.09%
Yuanta Core Pacific Securities Co. 79,000 50,295
DIVERSIFIED TELECOMMUNICATION SERVICES--0.15%
Chunghwa Telecom Co. Ltd., ADR 4,600 85,422
INDUSTRIAL CONGLOMERATES--0.05%
Far EasTone Telecommunications Co. Ltd 26,000 28,858
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.13%
Taiwan Semiconductor Manufacturing Co. Ltd., ADR 8,516 73,833
- --------------------------------------------------------------------------------
Total Taiwan common stocks 275,184
================================================================================
TURKEY--0.04%
FOOD & DRUG RETAILING--0.04%
BIM Birlesik Magazalar A. S. 708 22,338
UNITED KINGDOM--4.82%
AIRLINES--0.16%
British Airways PLC * 12,680 91,666
BANKS--0.02%
Barclays PLC 727 8,528
FOOD & DRUG RETAILING--0.12%
Tesco PLC 10,000 67,155
FOOD PRODUCTS--0.04%
Tate & Lyle PLC 1,808 23,135
HOTELS, RESTAURANTS & LEISURE--1.39%
Ladbrokes PLC 26,710 192,717
Mitchells & Butlers PLC 16,239 160,772
Punch Taverns PLC 27,156 446,401
799,890
INSURANCE--0.19%
Old Mutual PLC 36,786 111,320
MEDIA--0.09%
EMI Group PLC 11,302 53,942
METALS & MINING--0.96%
Anglo American PLC 9,268 386,937
Corus Group PLC 9,688 77,682
Xstrata PLC 2,060 88,391
553,010
OIL & GAS--1.20%
BG Group PLC 43,293 582,274
BP PLC 4,202 50,628
Royal Dutch Shell PLC 1,583 58,283
691,185
PHARMACEUTICALS--0.54%
AstraZeneca PLC 5,081 310,271
SPECIALTY RETAIL--0.11%
DSG International PLC 17,599 65,585
- --------------------------------------------------------------------------------
Total United Kingdom common stocks 2,775,687
================================================================================
UNITED STATES--29.19%
AEROSPACE & DEFENSE--1.05%
Boeing Co. 1,500 116,130
Lockheed Martin Corp. 1,200 95,616
Northrop Grumman Corp.+ 5,866 388,270
Raytheon Co.+ 100 4,507
604,523
AIR FREIGHT & COURIERS--0.15%
United Parcel Service, Inc., Class B 1,300 89,583
AIRLINES--0.12%
Southwest Airlines Co. 3,800 68,362
AUTO COMPONENTS--0.49%
Johnson Controls, Inc.+ 3,676 282,170
BANKS--0.43%
Bank of America Corp. 3,100 159,743
PNC Financial Services Group, Inc.+ 1,286 91,100
250,843
202
<Page>
COMMON STOCKS--(CONTINUED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
UNITED STATES--(CONTINUED)
BIOTECHNOLOGY--0.68%
Amgen, Inc.* 3,600 $ 251,064
Genzyme Corp.* 800 54,624
Gilead Sciences, Inc.* 1,400 86,072
391,760
COMMERCIAL SERVICES & SUPPLIES--1.02%
Convergys Corp. +* 12,353 235,695
Manpower, Inc. + 5,900 350,932
586,627
COMMUNICATIONS EQUIPMENT--0.42%
Cisco Systems, Inc.* 6,700 119,595
Corning, Inc.* 2,700 51,489
Qualcomm, Inc. 2,000 70,520
241,604
COMPUTERS & PERIPHERALS--1.03%
Hewlett-Packard Co. + 10,568 337,225
Lexmark International, Inc., Class A +* 2,834 153,178
Network Appliance, Inc.* 3,500 103,915
594,318
DIVERSIFIED FINANCIALS--5.30%
Ameriprise Financial, Inc. + 44 1,962
CIT Group, Inc. + 5,239 240,522
Countrywide Financial Corp. + 1,576 56,468
E*TRADE Financial Corp. +* 5,900 137,529
Federal Home Loan Mortgage Corp. + 1,097 63,472
Goldman Sachs Group, Inc. + 5,415 827,141
Lehman Brothers Holdings, Inc. + 5,710 370,865
Merrill Lynch& Co., Inc. + 7,958 579,502
Morgan Stanley + 10,827 719,996
Nasdaq Stock Market, Inc.* 2,000 55,060
3,052,517
DIVERSIFIED TELECOMMUNICATION SERVICES--0.41%
AT&T, Inc. + 2,904 87,091
Qwest Communications
International, Inc. +* 11,147 89,064
Sprint Nextel Corp. 3,200 63,360
239,515
ENERGY EQUIPMENT & SERVICES--0.12%
Baker Hughes, Inc. 500 39,975
Halliburton Co. 800 26,688
66,663
FOOD & DRUG RETAILING--0.15%
CVS Corp. 2,600 85,072
FOOD PRODUCTS--0.55%
Kraft Foods, Inc., Class A + 9,790 317,196
HEALTH CARE EQUIPMENT & SUPPLIES--0.77%
Baxter International, Inc. 2,600 109,200
Boston Scientific Corp.* 3,200 54,432
Medtronic, Inc. 5,600 282,912
446,544
HEALTH CARE PROVIDERS & SERVICES--2.52%
Aetna, Inc. 2,800 88,172
Cardinal Health, Inc. 1,000 67,000
CIGNA Corp. + 281 25,641
Laboratory Corp. of America Holdings +* 4,160 267,987
McKesson Corp. + 11,392 574,043
Omnicare, Inc. + 5,738 259,702
UnitedHealth Group, Inc. 3,500 167,405
1,449,950
HOTELS, RESTAURANTS & LEISURE--0.09%
Hilton Hotels Corp. 2,200 52,646
HOUSEHOLD DURABLES--0.01%
Whirlpool Corp. + 51 3,937
INSURANCE--1.25%
AON Corp. + 3,706 126,857
Genworth Financial, Inc., Class A + 2,544 87,259
Hartford Financial Services Group, Inc. 1,300 110,292
Lincoln National Corp. + 6,577 372,784
Radian Group, Inc. + 364 22,397
719,589
INTERNET SOFTWARE & SERVICES--0.13%
Google, Inc., Class A* 190 73,454
IT CONSULTING & SERVICES--2.10%
Computer Sciences Corp. +* 10,017 524,791
Electronic Data Systems Corp. + 28,578 683,014
1,207,805
MACHINERY--0.22%
Cummins, Inc. + 1,100 128,700
MEDIA--1.49%
Comcast Corp., Class A +* 4,830 166,055
DIRECTV Group, Inc. +* 18,809 320,694
Tribune Co. + 8,693 258,269
Walt Disney Co. 3,800 112,822
857,840
METALS & MINING--1.65%
Alcoa, Inc. 12,900 386,355
CONSOL Energy, Inc. 600 24,696
Freeport-McMoRan Copper &
Gold, Inc., Class B + 9,271 505,826
Peabody Energy Corp. 700 34,930
951,807
203
<Page>
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
UNITED STATES--(CONCLUDED)
MULTI-LINE RETAIL--0.49%
Federated Department Stores, Inc. + 7,100 $249,281
Sears Holdings Corp. +* 264 36,234
285,515
MULTI-UTILITIES--0.01%
Duke Energy Corp. + 107 3,244
OIL & GAS--2.14%
Anadarko Petroleum Corp. + 378 17,290
Chevron Corp. + 4,343 285,683
ConocoPhillips 3,100 212,784
EOG Resources, Inc. 300 22,245
Equitable Resources, Inc. 800 28,808
Exxon Mobil Corp. 1,500 101,610
Hess Corp. 400 21,160
Marathon Oil Corp. 400 36,256
Occidental Petroleum Corp. + 3,090 332,947
Sunoco, Inc. 300 20,862
Valero Energy Corp. 1,100 74,173
XTO Energy, Inc. 1,700 79,883
1,233,701
PHARMACEUTICALS--1.59%
Abbott Laboratories 5,200 248,404
Bristol-Myers Squibb Co. 2,200 52,734
Eli Lilly & Co. 3,400 193,018
Forest Laboratories, Inc.* 2,700 125,037
Medco Health Solutions, Inc.* 600 35,598
Schering-Plough Corp. 12,800 261,632
916,423
ROAD & RAIL--1.17%
CSX Corp. + 10,263 622,759
Union Pacific Corp. + 600 51,000
673,759
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.17%
Lam Research Corp.* 2,300 95,657
SOFTWARE--0.40%
Adobe Systems, Inc.* 2,500 71,275
Electronic Arts, Inc.* 1,800 84,798
Microsoft Corp. 3,100 74,493
230,566
SPECIALTY RETAIL--0.99%
Abercrombie & Fitch Co., Class A + 505 26,745
AutoNation, Inc. + 22,663 446,461
Circuit City Stores, Inc. + 3,900 95,550
568,756
TOBACCO--0.08%
Altria Group, Inc. 600 47,982
Total United States common stocks 16,818,628
Total common stocks (cost--$39,742,046) 39,085,858
PREFERRED STOCK--0.08%
BRAZIL--0.08%
METALS & MINING--0.08%
Gerdau S.A. (cost--$40,830) 2,900 45,323
TRACKING STOCK--0.15%
UNITED STATES--0.15%
FINANCE-DIVERSIFIED--0.15%
iShares MSCI Emerging Markets Index (cost--$91,547) 900 86,490
204
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- -------------------------------------------------------------------------------------------------------------------
SHORT-TERM US GOVERNMENT AGENCY
OBLIGATIONS@--16.13%
$5,000 Federal Home Loan Bank 08/02/06 to 5.180 to
09/13/06 5.250% $4,983,963
600 Federal Home Loan Mortgage Corp.^ 09/19/06 5.250 595,712
3,750 Federal National Mortgage Association^ 10/04/06 5.447 3,714,667
- -------------------------------------------------------------------------------------------------------------------
Total short-term US government agency obligations (cost--$9,294,342) 9,294,342
===================================================================================================================
REPURCHASE AGREEMENT--14.00%
8,067 Repurchase agreement dated 07/31/06 with State Street
Bank & Trust Co., collateralized by $8,461,865 US Treasury
Notes, 3.500% to 5.125% due 08/15/09 to 06/30/11
(value--$8,228,343); proceeds: $8,068,089 (cost--$8,067,000) 08/01/06 4.860 8,067,000
- -------------------------------------------------------------------------------------------------------------------
Total investments before investments sold short (cost--$57,235,765)--98.20% 56,579,013
===================================================================================================================
</Table>
INVESTMENTS SOLD SHORT--(12.87)%
COMMON STOCKS--(12.87)%
SECURITY NUMBER OF
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------------
AUSTRALIA--(2.27)%
DIVERSIFIED FINANCIALS--(0.62)%
Challenger Financial Services Group Ltd. (23,278) $ (53,870)
Perpetual Ltd. (5,713) (305,751)
(359,621)
METALS & MINING--(0.30)%
Alumina Ltd. (35,053) (171,105)
REAL ESTATE--(1.35)%
Westfield Group (55,114) (777,103)
Total Australia common stocks (1,307,829)
AUSTRIA--(0.26)%
ELECTRIC UTILITIES--(0.26)%
Oesterreichische Elektrizitaetswirtschafts-
AG (Verbund), Class A (3,143) (152,043)
CANADA--(2.72)%
COMMUNICATIONS EQUIPMENT--(0.13)%
Research In Motion Ltd.* (1,100) (72,193)
FOOD & DRUG RETAILING--(0.64)%
Loblaw Cos. Ltd. (8,500) (369,983)
HOTELS, RESTAURANTS & LEISURE--(0.08)%
Four Seasons Hotels, Inc. (800) (44,008)
METALS & MINING--(0.69)%
Goldcorp, Inc. (500) (14,635)
Ivanhoe Mines Ltd.* (32,100) (188,748)
Meridian Gold, Inc.* (1,200) (32,351)
Novelis, Inc. (8,300) (163,593)
(399,327)
OIL & GAS--(1.18)%
Husky Energy, Inc. (200) (13,583)
Imperial Oil Ltd. (10,700) (386,702)
Shell Canada Ltd. (8,000) (278,731)
(679,016)
- --------------------------------------------------------------------------------
Total Canada common stocks (1,564,527)
================================================================================
CAYMAN ISLANDS--(0.42)%
INSURANCE--(0.42)%
XL Capital Ltd., Class A (3,800) (242,060)
DENMARK--(0.16)%
INSURANCE--(0.16)%
Topdanmark A/S* (660) (92,311)
FINLAND--(0.54)%
BANKS--(0.40)%
OKO Bank (OKO Osuuspankkien Keskuspankki Oyj) (14,836) (231,777)
BUILDING PRODUCTS--(0.14)%
Uponor Oyj (2,854) (77,836)
- --------------------------------------------------------------------------------
Total Finland common stocks (309,613)
================================================================================
FRANCE--(0.44)%
HOUSEHOLD DURABLES--(0.44)%
Thomson SA* (15,115) (253,899)
GERMANY--(0.73)%
INSURANCE--(0.45)%
MLP AG (13,493) (258,023)
MEDIA--(0.28)%
Premiere AG* (13,082) (162,096)
- --------------------------------------------------------------------------------
Total Germany common stocks (420,119)
================================================================================
205
<Page>
INVESTMENTS SOLD SHORT--(CONCLUDED)
COMMON STOCKS--(CONCLUDED)
NUMBER OF
SECURITY DESCRIPTION SHARES VALUE
- -------------------------------------------------------------------------------
JAPAN--(0.85)%
BUILDING PRODUCTS--(0.22)%
Central Glass Co. Ltd. (23,000) $(128,597)
ELECTRICAL EQUIPMENT--(0.03)%
Furukawa Electric Co. Ltd. (3,000) $ (19,390)
LEISURE EQUIPMENT & PRODUCTS--(0.15)%
Shimano, Inc. (2,800) (84,260)
MARINE--(0.15)%
Nippon Yusen Kabushiki Kaisha (13,000) (83,684)
METALS & MINING--(0.21)%
Daido Steel Co. Ltd. (16,000) (121,279)
REAL ESTATE--(0.09)%
Tokyu Land Corp. (7,000) (53,670)
Total Japan common stocks (490,880)
NEW ZEALAND--(0.20)%
MEDIA--(0.06)%
Sky Network Television Ltd. (9,408) (34,514)
TRANSPORTATION INFRASTRUCTURE--(0.14)%
Auckland International Airport Ltd. (63,709) (82,628)
Total New Zealand common stocks (117,142)
NORWAY--(0.15)%
COMMERCIAL SERVICES & SUPPLIES--(0.00)%
Petrojarl ASA* (99) (631)
ENERGY EQUIPMENT & SERVICES--(0.01)%
Petroleum Geo-Services ASA* (99) (5,357)
OIL & GAS--(0.14)%
Det Norske Oljeselskap (DNO) ASA* (43,000) (83,142)
Total Norway common stocks (89,130)
SINGAPORE--(0.41)%
AIR FREIGHT & COURIERS--(0.09)%
Singapore Post Ltd. (77,000) (52,671)
DISTRIBUTORS--(0.07)%
Olam International Ltd. (49,000) (42,829)
MACHINERY--(0.21)%
SembCorp Marine Ltd. (56,000) (118,466)
ROAD & RAIL--(0.04)%
SMRT Corp. Ltd. (29,000) (19,837)
Total Singapore common stocks (233,803)
SWEDEN--(0.16)%
REAL ESTATE--(0.16)%
Kungsleden AB (7,943) (90,924)
UNITED KINGDOM--(1.96)%
DIVERSIFIED FINANCIALS--(0.20)%
ICAP PLC (13,376) (117,623)
ELECTRIC UTILITIES--(0.06)%
Scottish Power PLC (2,926) (33,068)
INDUSTRIAL CONGLOMERATES--(0.30)%
Burberry Group PLC (19,141) (169,838)
MEDIA--(0.79)%
Aegis Group PLC (36,406) (82,118)
Reed Elsevier PLC (37,514) (374,206)
(456,324)
ROAD & RAIL--(0.36)%
Stagecoach Group PLC (98,647) (206,846)
SOFTWARE--(0.25)%
Misys PLC (32,052) (145,941)
Total United Kingdom common stocks (1,129,640)
UNITED STATES--(1.60)%
BUILDING PRODUCTS--(0.13)%
American Standard Cos., Inc. (1,883) (72,740)
CONTAINERS & PACKAGING--(0.07)%
Owens-Illinois, Inc.* (2,613) (39,535)
HEALTH CARE EQUIPMENT & SUPPLIES--(0.04)%
Patterson Cos., Inc.* (707) (23,515)
HEALTH CARE PROVIDERS & SERVICES--(0.17)%
Tenet Healthcare Corp.* (16,343) (96,751)
HOTELS, RESTAURANTS & LEISURE--(0.05)%
Wendy's International, Inc. (477) (28,696)
INTERNET SOFTWARE & SERVICES--(0.11)%
Google, Inc., Class A* (169) (65,335)
IT CONSULTING & SERVICES--(0.65)%
Unisys Corp.* (72,771) (372,588)
MEDIA--(0.35)%
Cablevision Systems Corp., Class A (1,835) (40,829)
Interpublic Group Cos., Inc.* (9,745) (79,811)
XM Satellite Radio Holdings, Inc.* (7,158) (83,033)
(203,673)
REAL ESTATE--(0.03)%
The St. Joe Co. (445) (19,980)
Total United States common stocks (922,813)
Total investments sold short
(proceeds--$7,803,030)--(12.87)% (7,416,733)
Other assets in excess of liabilities--14.67% 8,455,834
- --------------------------------------------------------------------------------
Net assets--100.00% $57,618,114
- --------------------------------------------------------------------------------
* Non-income producing security.
@ Interest rates shown are the discount rates at date of purchase.
^ Partial amount pledged as collateral for futures transactions.
+ Security, or portion thereof pledged as collateral for investments sold
short and written options.
(1) Security is traded on the NASDAQ Exchange.
(2) Security is traded on the Toronto Stock Exchange.
(3) Security is traded on the London Stock Exchange.
(4) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 0.32% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
206
<Page>
WRITTEN OPTIONS
NUMBER OF
CONTRACTS VALUE
- --------------------------------------------------------------------------------
CALL OPTIONS WRITTEN
43 FTSE 100 Index, strike @ $775, expires 08/18/06 $128,920
49 S&P 500 Index, strike @ $250, expires 08/19/06 169,050
- --------------------------------------------------------------------------------
Total written options (premiums received--$140,808) $297,970
================================================================================
FUTURES CONTRACTS
<Table>
<Caption>
UNREALIZED
NUMBER OF IN EXPIRATION APPRECIATION
CONTRACTS CURRENCY CONTRACTS TO RECEIVE EXCHANGE FOR DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
5 EUR Amsterdam Index Futures $ 543,704 August 2006 $ 31,113
20 EUR CAC 40 10 Euro Futures 1,195,760 September 2006 87,821
5 EUR DAX Index Futures 860,856 September 2006 49,014
8 GBP FTSE 100 Index Futures 871,614 September 2006 11,994
37 SEK OMX 30 Stock Index Futures 477,172 August 2006 7,964
3 EUR S&P MIB Index Futures 665,480 September 2006 38,480
13 JPY TOPIX Index Futures 1,734,172 September 2006 49,714
276,100
CONTRACTS TO DELIVER
8 USD Canadian Dollar Futures 708,480 September 2006 533
2 USD Euro Currency Futures 316,550 September 2006 (3,782)
12 HKD Hang Seng Stock Index Futures 1,280,562 August 2006 (30,138)
2 USD Japanese Yen Futures 220,575 September 2006 968
18 SGD MSCI Singapore Index Futures 643,542 August 2006 (13,360)
50 USD Russell 2000 E-Mini Index Futures 3,516,730 September 2006 (6,383)
42 USD S&P 500 Mini Index Futures 2,689,252 September 2006 (2,623)
11 AUD SPI 200 Index Futures 1,062,092 September 2006 14,500
(40,285)
--------
$235,815
========
</Table>
CURRENCY TYPE ABBREVIATIONS:
AUD Australian Dollar
EUR Euro Dollar
GBP Great Britain Pound
HKD Hong Kong Dollar
JPY Japanese Yen
SEK Swedish Krona
SGD Singapore Dollar
USD United States Dollar
207
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- -------------------------------------------------------------------------------
Euro Dollar 1,200,000 USD 1,520,460 09/20/06 $(17,567)
Great Britain Pound 800,000 USD 1,480,168 09/20/06 (15,861)
Japanese Yen 175,000,000 USD 1,508,894 09/20/06 (28,686)
Swiss Franc 1,000,000 USD 808,368 09/20/06 (8,892)
United States Dollar 1,502,720 AUD 2,000,000 09/20/06 28,467
United States Dollar 800,239 CAD 903,742 09/20/06 (364)
United States Dollar 1,438,787 NOK 9,000,000 09/20/06 28,716
United States Dollar 963,655 SEK 7,000,000 09/20/06 11,832
--------
$ (2,355)
========
CURRENCY TYPE ABBREVIATIONS:
AUD Australian Dollar
CAD Canadian Dollar
NOK Norwegian Krone
SEK Swedish Krona
USD United States Dollar
See accompanying notes to financial statements
208
<Page>
(This page has been left blank intentionally)
209
<Page>
UBS PACE Select Advisors Trust
STATEMENT OF ASSETS AND LIABILITIES
JULY 31, 2006
<Table>
<Caption>
UBS PACE
GOVERNMENT UBS PACE
UBS PACE SECURITIES INTERMEDIATE
MONEY MARKET FIXED INCOME FIXED INCOME
INVESTMENTS INVESTMENTS INVESTMENTS
- --------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value (cost - $342,696,902;
$740,205,886; $473,938,248; $579,077,192; $257,257,009 $429,769,084;
$10,560,692, respectively)* $342,696,902 $732,580,867 $469,006,175
Investments in an affiliated security, at value (cost - $0; $0; $1,543,142;
$374,261; $0; $0; $16,547, respectively) -- -- 1,543,142
Investments in repurchase agreements, at value (cost - $327,000; $24,466,000;
$9,091,000; $14,303,000; $0; $35,953,000; $1,763,000, respectively) 327,000 24,466,000 9,091,000
- --------------------------------------------------------------------------------------------------------------------------
Total investments in securities, at value (cost - $343,023,902; $764,671,886;
$484,572,390; $593,754,453; $257,257,009; $465,722,084; $12,340,239,
respectively) $343,023,902 $757,046,867 $479,640,317
==========================================================================================================================
Cash 18 336 3,725,299
Foreign currency, at value (cost - $0; $0; $3,954,166; $1,415,951; $0;
$16,243,146; $139,767, respectively) -- -- 4,057,588
Receivable from affiliates 87,555 -- --
Receivable for investments sold -- 105,692,344 1,192,905
Receivable for shares of beneficial interest sold 800,442 719,794 360,530
Receivable for dividends and interest 1,019,337 2,568,580 3,786,328
Receivable for swap contracts, net (cost - $0; $688,631; $0; $640,311;
$0; $0; $0, respectively) -- 773,454 --
Unrealized appreciation of forward foreign currency contracts -- -- --
Receivable for variation margin -- 20,400 13,078
Receivable for foreign tax reclaims -- -- 12,548
Prepaid offering expense -- -- --
Other assets 22,421 42,870 38,550
- --------------------------------------------------------------------------------------------------------------------------
Total assets 344,953,675 866,864,645 492,827,143
==========================================================================================================================
LIABILITIES:
Payable for shares of beneficial interest repurchased 1,262,254 802,573 1,008,249
Dividends payable to shareholders 647,312 -- --
Payable to custodian 4,302 18,149 13,975
Payable for investments purchased -- 324,683,047 67,645,965
Payable to affiliates -- 327,166 221,203
Payable for options written, at value (premiums received - $0; $575,705;
$0; $398,221; $0; $0; $0, respectively) -- 21,087 --
Payable for cash collateral from securities loaned -- -- 10,543,364
Unrealized depreciation of forward foreign currency contracts -- -- --
Payable for foreign withholding taxes -- -- --
Accrued expenses and other liabilities 466,916 304,578 200,129
- --------------------------------------------------------------------------------------------------------------------------
Total liabilities 2,380,784 326,156,600 79,632,885
==========================================================================================================================
</Table>
* Includes $0; $0; $15,069,419; $830,658; $0; $0; $291,100, respectively, of
investments in securities on loan, at value.
+ Includes restricted cash of $3,540,127 on deposit as initial margin for
futures contracts for UBS PACE Global Fixed Income Investments.
210
<Page>
<Table>
<Caption>
UBS PACE UBS PACE UBS PACE
STRATEGIC MUNICIPAL GLOBAL FIXED UBS PACE
FIXED INCOME FIXED INCOME INCOME HIGH YIELD
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value (cost - $342,696,902;
$740,205,886; $473,938,248; $579,077,192; $257,257,009 $429,769,084;
$10,560,692, respectively)* $571,834,131 $257,097,138 $435,238,593 $10,402,076
Investments in an affiliated security, at value (cost - $0; $0; $1,543,142;
$374,261; $0; $0; $16,547, respectively) 374,261 -- -- 16,547
Investments in repurchase agreements, at value (cost - $327,000; $24,466,000;
$9,091,000; $14,303,000; $0; $35,953,000; $1,763,000, respectively) 14,303,000 -- 35,953,000 1,763,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total investments in securities, at value (cost - $343,023,902; $764,671,886;
$484,572,390; $593,754,453; $257,257,009; $465,722,084; $12,340,239,
respectively) $586,511,392 $257,097,138 $471,191,593 $12,181,623
====================================================================================================================================
Cash 1,095 -- 3,540,541+ 902
Foreign currency, at value (cost - $0; $0; $3,954,166; $1,415,951; $0;
$16,243,146; $139,767, respectively) 1,439,408 -- 16,805,490 142,086
Receivable from affiliates -- -- -- 72,274
Receivable for investments sold 50,575,660 -- 1,720,505 41,936
Receivable for shares of beneficial interest sold 1,018,631 366,899 699,123 253,632
Receivable for dividends and interest 3,093,528 3,004,838 6,410,016 198,545
Receivable for swap contracts, net (cost - $0; $688,631; $0; $640,311;
$0; $0; $0, respectively) 442,081 -- -- --
Unrealized appreciation of forward foreign currency contracts 191,259 -- 7,115,343 --
Receivable for variation margin 169,637 -- -- --
Receivable for foreign tax reclaims 933 -- 17,949 --
Prepaid offering expense -- -- -- 56,808
Other assets 43,759 29,784 36,567 3,740
- ------------------------------------------------------------------------------------------------------------------------------------
Total assets 643,487,383 260,498,659 507,537,127 12,951,546
====================================================================================================================================
LIABILITIES:
Payable for shares of beneficial interest repurchased 1,496,343 163,123 883,368 3,884
Dividends payable to shareholders -- -- -- --
Payable to custodian 19,003 8,692 40,947 581
Payable for investments purchased 71,959,801 2,082,840 6,871,188 1,107,785
Payable to affiliates 300,202 149,642 296,883 --
Payable for options written, at value (premiums received - $0; $575,705;
$0; $398,221; $0; $0; $0, respectively) 339,380 -- -- --
Payable for cash collateral from securities loaned 874,265 -- -- 308,850
Unrealized depreciation of forward foreign currency contracts 34,313 -- 9,837,064 --
Payable for foreign withholding taxes 1,866 -- 28,626 --
Accrued expenses and other liabilities 346,559 129,218 403,729 82,325
- ------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 75,371,732 2,533,515 18,361,805 1,503,425
====================================================================================================================================
</Table>
See accompanying notes to financial statements
211
<Page>
<Table>
<Caption>
UBS PACE
GOVERNMENT UBS PACE
UBS PACE SECURITIES INTERMEDIATE
MONEY MARKET FIXED INCOME FIXED INCOME
INVESTMENTS INVESTMENTS INVESTMENTS
- --------------------------------------------------------------------------------------------------------
NET ASSETS:
Beneficial interest shares of $0.001 par value (unlimited
amount authorized) $342,573,501 $556,958,009 $464,876,117
Accumulated undistributed (distributions in excess of) net
investment income -- 91,442 183,918
Accumulated net realized losses from investments, futures,
options written, short sales, swaps, forward foreign currency
contracts and foreign currency transactions (610) (8,849,459) (47,404,743)
Net unrealized appreciation (depreciation) of investments,
other assets and liabilities denominated in foreign currency,
futures, options written, short sales, swaps and forward
foreign currency contracts -- (7,491,947) (4,461,034)
- --------------------------------------------------------------------------------------------------------
Net assets $342,572,891 $540,708,045 $413,194,258
- --------------------------------------------------------------------------------------------------------
CLASS A:
Net assets $ -- $114,662,741 $ 59,884,176
Shares outstanding -- 9,018,765 5,312,430
- --------------------------------------------------------------------------------------------------------
Net asset value per share $ -- $ 12.71 $ 11.27
- --------------------------------------------------------------------------------------------------------
Maximum offering price per share $ -- $ 13.31 $ 11.80
- --------------------------------------------------------------------------------------------------------
CLASS B:
Net assets $ -- $ 2,775,902 $ 637,020
Shares outstanding -- 218,276 56,405
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per share $ -- $ 12.72 $ 11.29
- --------------------------------------------------------------------------------------------------------
CLASS C:
Net assets $ -- $ 30,337,516 $ 5,301,438
Shares outstanding -- 2,384,848 469,882
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per share $ -- $ 12.72 $ 11.28
- --------------------------------------------------------------------------------------------------------
CLASS Y:
Net assets $ -- $ 8,459,619 $ 1,073,890
Shares outstanding -- 665,020 95,204
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption value per share $ -- $ 12.72 $ 11.28
- --------------------------------------------------------------------------------------------------------
CLASS P:
Net assets $342,572,891 $384,472,267 $346,297,734
Shares outstanding 342,573,501 30,229,356 30,702,184
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption value per share $ 1.00 $ 12.72 $ 11.28
- --------------------------------------------------------------------------------------------------------
</Table>
212
<Page>
<Table>
<Caption>
UBS PACE UBS PACE UBS PACE
STRATEGIC MUNICIPAL GLOBAL FIXED UBS PACE
FIXED INCOME FIXED INCOME INCOME HIGH YIELD
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beneficial interest shares of $0.001 par value (unlimited
amount authorized) $590,218,361 $260,857,236 $491,902,185 $11,649,871
Accumulated undistributed (distributions in excess of) net
investment income (310,902) 1,184 (935,868) 1,980
Accumulated net realized losses from investments, futures,
options written, short sales, swaps, forward foreign currency
contracts and foreign currency transactions (14,159,820) (2,733,405) (4,993,096) (47,440)
Net unrealized appreciation (depreciation) of investments,
other assets and liabilities denominated in foreign currency,
futures, options written, short sales, swaps and forward
foreign currency contracts (7,631,988) (159,871) 3,202,101 (156,290)
- ---------------------------------------------------------------------------------------------------------------------
Net assets $568,115,651 $257,965,144 $489,175,322 $11,448,121
- ---------------------------------------------------------------------------------------------------------------------
CLASS A:
Net assets $ 20,735,310 $ 99,168,914 $124,045,224 $ 344,921
Shares outstanding 1,563,260 8,081,955 11,076,325 35,149
- ---------------------------------------------------------------------------------------------------------------------
Net asset value per share $ 13.26 $ 12.27 $ 11.20 $ 9.81
- ---------------------------------------------------------------------------------------------------------------------
Maximum offering price per share $ 13.88 $ 12.85 $ 11.73 $ 10.27
- ---------------------------------------------------------------------------------------------------------------------
CLASS B:
Net assets $ 1,097,970 $ 984,724 $ 878,181 $ --
Shares outstanding 82,813 80,227 78,253 --
- ---------------------------------------------------------------------------------------------------------------------
Net asset value and offering price per share $ 13.26 $ 12.27 $ 11.22 $ --
- ---------------------------------------------------------------------------------------------------------------------
CLASS C:
Net assets $ 6,279,689 $ 17,314,954 $ 7,498,740 $ --
Shares outstanding 473,428 1,411,105 669,553 --
- ---------------------------------------------------------------------------------------------------------------------
Net asset value and offering price per share $ 13.26 $ 12.27 $ 11.20 $ --
- ---------------------------------------------------------------------------------------------------------------------
CLASS Y:
Net assets $ 716,385 $ 176,170 $ 7,077,044 $ --
Shares outstanding 54,045 14,351 632,570 --
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption value per share $ 13.26 $ 12.28 $ 11.19 $ --
- ---------------------------------------------------------------------------------------------------------------------
CLASS P:
Net assets $539,286,297 $140,320,382 $349,676,133 $11,103,200
Shares outstanding 40,675,167 11,434,500 31,226,374 1,131,415
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption value per share $ 13.26 $ 12.27 $ 11.20 $ 9.81
- ---------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
213
<Page>
<Table>
<Caption>
UBS PACE
UBS PACE UBS PACE SMALL/MEDIUM
LARGE CO LARGE CO CO VALUE
VALUE EQUITY GROWTH EQUITY EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS
- ----------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value (cost - $1,331,914,942;
$964,434,765; $431,889,213; $402,698,715; $894,747,631; $262,995,947;
$49,168,765, respectively)* $1,484,870,904 $1,035,219,364 $459,218,443
Investments in an affiliated security, at value (cost - $29,788,941;
$3,764,297; $26,143,715; $48,337,832; $46,602,044; $7,875,884; $0,
respectively) 29,788,941 3,764,297 26,143,715
Investments in repurchase agreements, at value (cost - $162,615,000;
$141,404,263; $66,378,000; $49,940,000; $41,258,000; $16,296,000;
$8,067,000, respectively) 162,615,000 141,404,263 66,378,000
- ----------------------------------------------------------------------------------------------------------------------
Total investments in securities, at value (cost - $1,524,318,883;
$1,109,603,325; $524,410,928; $500,976,547; $982,607,675; $287,167,831;
$57,235,765, respectively) $1,677,274,845 $1,180,387,924 $551,740,158
======================================================================================================================
Cash 1,271 1,348 1,044
Foreign currency, at value (cost - $0; $0; $0; $0; $4,856,626;
$4,221,482; $105,375, respectively) -- -- --
Receivable from affiliates -- -- --
Receivable for investments sold 11,429,529 1,719,440 5,461,590
Receivable for shares of beneficial interest sold 1,581,419 1,598,299 590,245
Receivable for dividends and interest 1,246,857 1,117,092 122,042
Unrealized appreciation of forward foreign currency contracts -- -- --
Unrealized appreciation of foreign exchange currency contracts -- -- --
Receivable for variation margin -- -- --
Receivable for foreign tax reclaims -- -- --
Prepaid offering expense -- -- --
Other assets 63,513 53,899 38,721
- ----------------------------------------------------------------------------------------------------------------------
Total assets 1,691,597,434 1,184,878,002 557,953,800
======================================================================================================================
LIABILITIES:
Payable for cash collateral from securities loaned 224,837,791 115,090,420 103,551,690
Payable for investments purchased 6,309,570 7,690,578 2,065,444
Payable for shares of beneficial interest repurchased 3,219,012 1,695,861 840,357
Payable to affiliates 936,338 688,440 285,421
Payable to custodian 48,610 35,846 15,369
Payable for foreign withholding taxes -- -- 421
Unrealized depreciation of forward foreign currency contracts -- -- --
Unrealized depreciation of foreign exchange currency contracts -- -- --
Investments sold short, at value (proceeds - $0; $0; $0; $0; $0; $0;
$7,803,030, respectively) -- -- --
Payable for options written, at value (premiums received - $0; $0; $0;
$0; $0; $0; $140,808, respectively) -- -- --
Payable for variation margin -- -- --
Payable for dividends sold short -- -- --
Accrued expenses and other liabilities 496,398 414,678 376,815
- ----------------------------------------------------------------------------------------------------------------------
Total liabilities 235,847,719 125,615,823 107,135,517
======================================================================================================================
</Table>
* Includes $216,666,592; $111,827,132; $99,365,881; $72,255,185; $85,973,114;
$17,779,898; $0, respectively, of investments in securities on loan, at
value.
+ Includes restricted cash of $5,335,633 on deposit as initial margin for
investments sold short for UBS PACE Alternative Strategies Investments.
214
<Page>
<Table>
<Caption>
UBS PACE UBS PACE
SMALL/MEDIUM UBS PACE INTERNATIONAL UBS PACE
CO GROWTH INTERNATIONAL EMERGING ALTERNATIVE
EQUITY EQUITY MARKETS EQUITY STRATEGIES
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value (cost - $1,331,914,942;
$964,434,765; $431,889,213; $402,698,715; $894,747,631; $262,995,947;
$49,168,765, respectively)* $422,745,037 $1,065,626,107 $302,297,047 $48,512,013
Investments in an affiliated security, at value (cost - $29,788,941;
$3,764,297; $26,143,715; $48,337,832; $46,602,044; $7,875,884; $0,
respectively) 48,337,832 46,602,044 7,875,884 --
Investments in repurchase agreements, at value (cost - $162,615,000;
$141,404,263; $66,378,000; $49,940,000; $41,258,000; $16,296,000;
$8,067,000, respectively) 49,940,000 41,258,000 16,296,000 8,067,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total investments in securities, at value (cost - $1,524,318,883;
$1,109,603,325; $524,410,928; $500,976,547; $982,607,675; $287,167,831;
$57,235,765, respectively) $521,022,869 $1,153,486,151 $326,468,931 $56,579,013
===================================================================================================================================
Cash 1,754 2,153 696,261 5,336,591+
Foreign currency, at value (cost - $0; $0; $0; $0; $4,856,626;
$4,221,482; $105,375, respectively) -- 4,816,189 4,229,262 103,472
Receivable from affiliates -- -- -- 58,418
Receivable for investments sold 837,512 7,319,880 563,343 7,933
Receivable for shares of beneficial interest sold 564,628 1,361,830 400,436 4,137,978
Receivable for dividends and interest 80,774 4,173,756 920,438 22,949
Unrealized appreciation of forward foreign currency contracts -- 98,539 -- 69,015
Unrealized appreciation of foreign exchange currency contracts -- -- 34 83
Receivable for variation margin -- 38,955 -- --
Receivable for foreign tax reclaims -- 99,212 4,933 14,769
Prepaid offering expense -- -- -- 56,808
Other assets 57,389 51,253 33,148 19,155
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets 522,564,926 1,171,447,918 333,316,786 66,406,184
===================================================================================================================================
LIABILITIES:
Payable for cash collateral from securities loaned 75,228,816 91,734,839 18,888,248 --
Payable for investments purchased 5,219,210 2,523,990 3,327,742 815,415
Payable for shares of beneficial interest repurchased 756,104 1,669,504 2,996,508 13,856
Payable to affiliates 268,869 821,500 295,041 --
Payable to custodian 14,972 88,873 77,225 4,555
Payable for foreign withholding taxes -- 83,751 221,609 1,039
Unrealized depreciation of forward foreign currency contracts -- 51,923 -- 71,370
Unrealized depreciation of foreign exchange currency contracts -- 12,141 1,074 70
Investments sold short, at value (proceeds - $0; $0; $0; $0; $0; $0;
$7,803,030, respectively) -- -- -- 7,416,733
Payable for options written, at value (premiums received - $0; $0; $0;
$0; $0; $0; $140,808, respectively) -- -- -- 297,970
Payable for variation margin -- -- -- 28,942
Payable for dividends sold short -- -- -- 6,349
Accrued expenses and other liabilities 371,740 409,666 330,007 131,771
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities 81,859,711 97,396,187 26,137,454 8,788,070
===================================================================================================================================
</Table>
See accompanying notes to financial statements
215
<Page>
<Table>
<Caption>
UBS PACE UBS PACE UBS PACE
LARGE CO LARGE CO SMALL/MEDIUM CO
VALUE EQUITY GROWTH EQUITY VALUE EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS
- -----------------------------------------------------------------------------------------
NET ASSETS:
Beneficial interest shares of $0.001 par
value (unlimited amount authorized) $1,148,584,241 $1,102,747,022 $414,264,642
Accumulated undistributed net investment
income 9,242,787 828,584 --
Accumulated net realized gains (losses)
from investments, futures, options
written, short sales, forward foreign
currency contracts and foreign
currency transactions 144,966,725 (115,098,026) 9,224,411
Net unrealized appreciation
(depreciation) of investments, other
assets and liabilities denominated in
foreign currency, futures, options
written, short sales and forward
foreign currency contracts 152,955,962 70,784,599 27,329,230
- ----------------------------------------------------------------------------------------
Net assets $1,455,749,715 $1,059,262,179 $450,818,283
- ----------------------------------------------------------------------------------------
CLASS A:
Net assets $ 292,631,540 $ 82,201,126 $ 45,582,979
Shares outstanding 13,094,541 5,217,736 2,670,534
- ----------------------------------------------------------------------------------------
Net asset value per share $ 22.35 $ 15.75 $ 17.07
- ----------------------------------------------------------------------------------------
Maximum offering price per share $ 23.65 $ 16.67 $ 18.06
- ----------------------------------------------------------------------------------------
CLASS B:
Net assets $ 5,288,800 $ 1,449,697 $ 1,858,757
Shares outstanding 236,723 96,356 115,059
- ----------------------------------------------------------------------------------------
Net asset value and offering price per
share $ 22.34 $ 15.05 $ 16.15
- ----------------------------------------------------------------------------------------
CLASS C:
Net assets $ 36,373,922 $ 7,586,123 $ 11,551,523
Shares outstanding 1,631,738 503,130 713,583
- ----------------------------------------------------------------------------------------
Net asset value and offering price per
share $ 22.29 $ 15.08 $ 16.19
- ----------------------------------------------------------------------------------------
CLASS Y:
Net assets $ 43,234,417 $ 22,667,502 $ 4,310,809
Shares outstanding 1,926,136 1,412,300 247,939
- ----------------------------------------------------------------------------------------
Net asset value, offering price and
redemption value per share $ 22.45 $ 16.05 $ 17.39
- ----------------------------------------------------------------------------------------
CLASS P:
Net assets $1,078,221,036 $ 945,357,731 $387,514,215
Shares outstanding 48,174,053 59,185,513 22,389,520
- ----------------------------------------------------------------------------------------
Net asset value, offering price and
redemption value per share $ 22.38 $ 15.97 $ 17.31
- ----------------------------------------------------------------------------------------
</Table>
216
<Page>
<Table>
<Caption>
UBS PACE
UBS PACE UBS PACE INTERNATIONAL UBS PACE
SMALL/MEDIUM CO INTERNATIONAL EMERGING MARKETS ALTERNATIVE
GROWTH EQUITY EQUITY EQUITY STRATEGIES
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- --------------------------------------------------------------------------------------------------------
NET ASSETS:
Beneficial interest shares of $0.001 par
value (unlimited amount authorized) $410,155,328 $ 823,629,639 $222,180,086 $57,845,471
Accumulated undistributed net investment
income -- 13,811,276 2,325,449 251,968
Accumulated net realized gains (losses)
from investments, futures, options
written, short sales, forward foreign
currency contracts and foreign
currency transactions 10,503,565 65,503,675 43,445,851 (283,213)
Net unrealized appreciation
(depreciation) of investments, other
assets and liabilities denominated in
foreign currency, futures, options
written, short sales and forward
foreign currency contracts 20,046,322 171,107,141 39,227,946 (196,112)
- --------------------------------------------------------------------------------------------------------
Net assets $440,705,215 $1,074,051,731 $307,179,332 $57,618,114
- --------------------------------------------------------------------------------------------------------
CLASS A:
Net assets $ 48,824,309 $ 111,152,576 $ 21,651,291 $10,393,016
Shares outstanding 3,379,327 5,840,657 1,183,059 1,046,519
- --------------------------------------------------------------------------------------------------------
Net asset value per share $ 14.45 $ 19.03 $ 18.30 $ 9.93
- --------------------------------------------------------------------------------------------------------
Maximum offering price per share $ 15.29 $ 20.14 $ 19.37 $ 10.51
- --------------------------------------------------------------------------------------------------------
CLASS B:
Net assets $ 695,519 $ 740,278 $ 522,147 $ 3,024
Shares outstanding 50,835 39,806 29,675 305
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per
share $ 13.68 $ 18.60 $ 17.60 $ 9.91
- --------------------------------------------------------------------------------------------------------
CLASS C:
Net assets $ 6,708,891 $ 8,168,164 $ 5,483,766 $ 301,803
Shares outstanding 488,164 437,946 311,253 30,443
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per
share $ 13.74 $ 18.65 $ 17.62 $ 9.91
- --------------------------------------------------------------------------------------------------------
CLASS Y:
Net assets $ 4,279,035 $ 53,387,512 $ 20,200,960 $ --
Shares outstanding 290,624 2,801,008 1,090,048 --
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and
redemption value per share $ 14.72 $ 19.06 $ 18.53 $ --
- --------------------------------------------------------------------------------------------------------
CLASS P:
Net assets $380,197,461 $ 900,603,201 $259,321,168 $46,920,271
Shares outstanding 25,909,351 47,326,861 14,059,772 4,718,838
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and
redemption value per share $ 14.67 $ 19.03 $ 18.44 $ 9.94
- --------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
217
<Page>
UBS PACE Select Advisors Trust
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JULY 31, 2006
<Table>
<Caption>
UBS PACE
GOVERNMENT UBS PACE
UBS PACE SECURITIES INTERMEDIATE
MONEY MARKET FIXED INCOME FIXED INCOME
INVESTMENTS INVESTMENTS INVESTMENTS
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of
$0; $0; $3,048; $1,223; $0; $43,505; $0, respectively) $12,904,778 $ 26,584,273 $18,040,178
Securities lending income
(includes $0; $0; $11,689; $10,762; $0; $6,506; $162,
respectively, earned from an affiliated entity) -- -- 41,881
- -------------------------------------------------------------------------------------------------------------------
12,904,778 26,584,273 18,082,059
- -------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment management and administration fees 1,006,253 3,647,595 2,446,289
Service fees-Class A -- 317,423 168,123
Service and distribution fees-Class B -- 33,901 9,275
Service and distribution fees-Class C -- 247,348 48,376
Transfer agency and related services fees 1,179,686 705,750 397,033
Reports and notices to shareholders 462,220 112,355 63,670
Professional fees 73,664 117,668 106,017
Federal and state registration fees 42,371 64,892 62,965
Custody and accounting fees 36,887 243,449 190,240
Trustees' fees 14,614 17,142 15,986
Offering expenses -- -- --
Other expenses 24,390 50,670 44,198
- -------------------------------------------------------------------------------------------------------------------
2,840,085 5,558,193 3,552,172
- -------------------------------------------------------------------------------------------------------------------
Less: Fee waivers and/or expense reimbursements
by investment manager and administrator (1,115,063) (436,299) (59,483)
- -------------------------------------------------------------------------------------------------------------------
Net expenses 1,725,022 5,121,894 3,492,689
- -------------------------------------------------------------------------------------------------------------------
Net investment income 11,179,756 21,462,379 14,589,370
- -------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT ACTIVITIES:
Net realized losses from:
Investments (323) (8,489,450) (3,478,820)
Futures -- (385,537) (2,578,119)
Options written -- 516,958 84,763
Short sales -- (27,891) (3,234)
Swaps -- 1,182,346 --
Forward foreign currency contracts and foreign currency transactions -- -- (468,066)
- -------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of:
Investments -- (4,531,296) (619,947)
Futures -- (568,127) 936,293
Options written -- 129,818 (80,013)
Swaps -- 84,823 --
Other assets and liabilities denominated in foreign currency
and forward foreign currency contracts -- -- 74,643
- -------------------------------------------------------------------------------------------------------------------
Net realized and unrealized losses from investment activities (323) (12,088,356) (6,132,500)
- -------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $11,179,433 $ 9,374,023 $ 8,456,870
- -------------------------------------------------------------------------------------------------------------------
</Table>
* For the period April 3, 2006 (commencement of operations) through July 31,
2006.
218
<Page>
<Table>
<Caption>
UBS PACE UBS PACE UBS PACE
STRATEGIC MUNICIPAL GLOBAL FIXED UBS PACE
FIXED INCOME FIXED INCOME INCOME HIGH YIELD
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS*
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of
$0; $0; $3,048; $1,223; $0; $43,505; $0, respectively) $ 29,146,904 $10,498,636 $16,529,731 $ 251,027
Securities lending income
(includes $0; $0; $11,689; $10,762; $0; $6,506; $162,
respectively, earned from an affiliated entity) 17,123 -- 17,272 1,249
- ----------------------------------------------------------------------------------------------------------------------------------
29,164,027 10,498,636 16,547,003 252,276
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment management and administration fees 3,578,631 1,504,062 3,658,098 28,151
Service fees-Class A 55,272 265,743 328,418 120
Service and distribution fees-Class B 13,944 15,870 11,302 --
Service and distribution fees-Class C 53,655 145,463 60,909 --
Transfer agency and related services fees 822,899 179,114 1,021,095 3,043
Reports and notices to shareholders 115,278 34,867 163,313 4,786
Professional fees 119,223 98,324 118,381 89,283
Federal and state registration fees 73,433 55,830 65,632 2,472
Custody and accounting fees 236,993 116,948 531,203 2,111
Trustees' fees 16,882 14,168 16,179 3,686
Offering expenses -- -- -- 7,811
Other expenses 50,263 34,731 47,145 7,022
- ----------------------------------------------------------------------------------------------------------------------------------
5,136,473 2,465,120 6,021,675 148,485
- ----------------------------------------------------------------------------------------------------------------------------------
Less: Fee waivers and/or expense reimbursements
by investment manager and administrator (246,669) (154,037) (473,401) (109,662)
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses 4,889,804 2,311,083 5,548,274 38,823
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income 24,274,223 8,187,553 10,998,729 213,453
- ----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT ACTIVITIES:
Net realized losses from:
Investments (4,577,101) (1,028,724) (4,383,314) (47,440)
Futures (2,632,886) -- 1,632,510 --
Options written 227,318 -- -- --
Short sales -- -- -- --
Swaps (5,648,845) -- -- --
Forward foreign currency contracts and foreign currency transactions (1,237,245) -- (2,491,172) 981
- ----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of:
Investments (10,956,981) (3,344,981) 4,527,450 (158,616)
Futures 135,874 -- (745,979) --
Options written 77,120 -- -- --
Swaps 2,627,771 -- -- --
Other assets and liabilities denominated in foreign currency
and forward foreign currency contracts 215,454 -- 58,111 2,326
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized losses from investment activities (21,769,521) (4,373,705) (1,402,394) (202,749)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 2,504,702 $ 3,813,848 $ 9,596,335 $ 10,704
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
219
<Page>
<Table>
<Caption>
UBS PACE UBS PACE UBS PACE
LARGE CO LARGE CO SMALL/MEDIUM CO
VALUE EQUITY GROWTH EQUITY VALUE EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $0; $0; $0; $0; $0;
$208; $0, respectively) $ 1,056,669 $ 1,481,764 $ 563,891
Dividends (net of foreign withholding taxes of $24,242; $19,566;
$14,057; $665; $2,076,687; $877,443; $30,809, respectively) 27,861,407 9,000,700 4,480,023
Securities lending income (includes $23,215; $80,972; $40,678;
$121,895; $169,281; $41,034; $0, respectively, earned from an
affiliated entity) 89,253 268,282 97,996
- ------------------------------------------------------------------------------------------------------------------
29,007,329 10,750,746 5,141,910
- ------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment management and administration fees 10,836,882 8,014,940 3,620,368
Service fees-Class A 747,408 224,029 127,814
Service and distribution fees-Class B 63,502 21,022 28,280
Service and distribution fees-Class C 376,035 87,178 131,383
Transfer agency and related services fees 1,335,102 1,112,231 994,116
Custody and accounting fees 620,713 464,498 209,985
Reports and notices to shareholders 234,869 163,172 191,868
Professional fees 109,306 107,051 104,974
Federal and state registration fees 82,296 83,351 69,330
Trustees' fees 25,245 21,937 16,274
Interest expense -- -- 720
Dividend and interest expense for securities sold short -- -- --
Offering expenses -- -- --
Other expenses 100,070 76,938 51,647
- ------------------------------------------------------------------------------------------------------------------
14,531,428 10,376,347 5,546,759
- ------------------------------------------------------------------------------------------------------------------
Less: Fee waivers and/or expense reimbursements by investment
manager and administrator (1,708,391) (456,581) (84,446)
- ------------------------------------------------------------------------------------------------------------------
Net expenses 12,823,037 9,919,766 5,462,313
- ------------------------------------------------------------------------------------------------------------------
Net investment income (loss) 16,184,292 830,980 (320,403)
- ------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT
ACTIVITIES:
Net realized gains (losses) from:
Investments (net of foreign tax expense of $0; $0; $0; $0; $0;
$95,632; $0) 192,558,425 65,261,567 42,359,397
Commissions recaptured 354,442 96,049 51,769
Futures -- -- --
Options written -- -- --
Short sales -- -- --
Forward foreign currency contracts and foreign currency
transactions 166 238 --
- ------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of:
Investments (57,561,205) (72,027,369) (61,059,149)
Futures -- -- --
Options written -- -- --
Short sales -- -- --
Other assets and liabilities denominated in foreign currency and
forward foreign currency contracts -- -- --
- ------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses) from investment
activities 135,351,828 (6,669,515) (18,647,983)
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from operations $151,536,120 $ (5,838,535) $(18,968,386)
- ------------------------------------------------------------------------------------------------------------------
</Table>
* For the period April 3, 2006 (commencement of operations) through July 31,
2006.
220
<Page>
<Table>
<Caption>
UBS PACE
UBS PACE UBS PACE INTERNATIONAL UBS PACE
SMALL/MEDIUM CO INTERNATIONAL EMERGING MARKETS ALTERNATIVE
GROWTH EQUITY EQUITY EQUITY STRATEGIES
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS*
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $0; $0; $0; $0;
$0; $208; $0, respectively) $ 851,577 $ 770,182 $ 161,488 $ 308,509
Dividends (net of foreign withholding taxes of $24,242; $19,566;
$14,057; $665; $2,076,687; $877,443; $30,809, respectively) 1,336,111 29,498,061 8,934,416 289,728
Securities lending income (includes $23,215; $80,972; $40,678;
$121,895; $169,281; $41,034; $0, respectively, earned from an
affiliated entity) 231,778 454,835 143,869 --
- ------------------------------------------------------------------------------------------------------------------------------------
2,419,466 30,723,078 9,239,773 598,237
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment management and administration fees 3,568,631 8,443,962 3,453,411 233,282
Service fees-Class A 138,235 264,684 51,715 2,830
Service and distribution fees-Class B 12,220 7,700 5,929 6
Service and distribution fees-Class C 76,984 80,751 55,384 658
Transfer agency and related services fees 1,005,449 1,056,631 870,021 5,741
Custody and accounting fees 206,260 1,084,871 913,479 16,663
Reports and notices to shareholders 175,105 169,791 126,940 5,913
Professional fees 104,687 114,985 103,760 135,998
Federal and state registration fees 61,166 77,045 56,913 6,765
Trustees' fees 16,298 21,337 14,740 3,893
Interest expense -- 3,754 10,662 --
Dividend and interest expense for securities sold short -- -- -- 66,523
Offering expenses -- -- -- 7,811
Other expenses 53,222 98,999 62,016 10,119
- ------------------------------------------------------------------------------------------------------------------------------------
5,418,257 11,424,510 5,724,970 496,202
- ------------------------------------------------------------------------------------------------------------------------------------
Less: Fee waivers and/or expense reimbursements by investment
manager and administrator (189,097) -- -- (191,026)
- ------------------------------------------------------------------------------------------------------------------------------------
Net expenses 5,229,160 11,424,510 5,724,970 305,176
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss) (2,809,694) 19,298,568 3,514,803 293,061
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT
ACTIVITIES:
Net realized gains (losses) from:
Investments (net of foreign tax expense of $0; $0; $0; $0; $0;
$95,632; $0) 59,012,301 112,215,810 49,032,547 (207,723)
Commissions recaptured 131,315 65,193 14,060 --
Futures -- 570,528 -- (381,333)
Options written -- -- -- 187,030
Short sales -- -- -- 118,813
Forward foreign currency contracts and foreign currency
transactions -- (887,095) (360,380) (41,093)
- ------------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of:
Investments (75,433,598) 73,611,810 1,136,749 (656,752)
Futures -- 13,370 -- 235,815
Options written -- -- -- (157,162)
Short sales -- -- -- 386,297
Other assets and liabilities denominated in foreign currency and
forward foreign currency contracts -- 211,075 (19,913) (4,310)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gains (losses) from investment
activities (16,289,982) 185,800,691 49,803,063 (520,418)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from operations $(19,099,676) $205,099,259 $53,317,866 $(227,357)
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
221
<Page>
UBS PACE Select Advisors Trust
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
UBS PACE GOVERNMENT
UBS PACE MONEY SECURITIES FIXED
MARKET INVESTMENTS INCOME INVESTMENTS
---------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2006 JULY 31, 2005 JULY 31, 2006 JULY 31, 2005
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 11,179,756 $ 3,634,028 $ 21,462,379 $ 12,954,024
Net realized gains (losses) from:
Investments, futures, options written, short
sales and swaps (323) (126) (7,203,574) 7,458,542
Forward foreign currency contracts and foreign
currency transactions -- -- -- --
Net change in unrealized
appreciation/depreciation of:
Investments, futures, options written, short
sales and swaps -- -- (4,884,782) (1,472,002)
Other assets and liabilities denominated in
foreign currency and forward foreign currency
contracts -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations 11,179,433 3,633,902 9,374,023 18,940,564
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income-Class A -- -- (5,200,522) (4,052,501)
Net investment income-Class B -- -- (112,615) (113,234)
Net investment income-Class C -- -- (1,180,698) (852,567)
Net investment income-Class Y -- -- (406,081) (309,378)
Net investment income-Class P (11,179,756) (3,634,028) (15,351,768) (8,525,424)
Net realized gains from investment
activities-Class A -- -- (1,629,364) --
Net realized gains from investment
activities-Class B -- -- (42,754) --
Net realized gains from investment
activities-Class C -- -- (423,048) --
Net realized gains from investment
activities-Class Y -- -- (118,841) --
Net realized gains from investment
activities-Class P -- -- (4,301,214) --
Return of capital-Class A -- -- -- --
Return of capital-Class B -- -- -- --
Return of capital-Class C -- -- -- --
Return of capital-Class Y -- -- -- --
Return of capital-Class P -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
(11,179,756) (3,634,028) (28,766,905) (13,853,104)
- ----------------------------------------------------------------------------------------------------------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares 348,451,721 224,445,629 137,685,258 119,794,862
Cost of shares repurchased (244,003,932) (166,362,878) (113,305,282) (99,721,593)
Proceeds from dividends reinvested 10,597,316 3,378,866 25,934,155 12,161,782
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
beneficial interest transactions 115,045,105 61,461,617 50,314,131 32,235,051
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 115,044,782 61,461,491 30,921,249 37,322,511
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 227,528,109 166,066,618 509,786,796 472,464,285
End of period $ 342,572,891 $ 227,528,109 $ 540,708,045 509,786,796
- ----------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in
excess of) net investment income $ -- $ -- $ 91,442 $ --
- ----------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
222
<Page>
<Table>
<Caption>
UBS PACE UBS PACE
INTERMEDIATE FIXED STRATEGIC FIXED
INCOME INVESTMENTS INCOME INVESTMENTS
----------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2006 JULY 31, 2005 JULY 31, 2006 JULY 31, 2005
- -----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 14,589,370 $ 11,979,348 $ 24,274,223 $ 14,904,819
Net realized gains (losses) from:
Investments, futures, options written, short
sales and swaps (5,975,410) 722,344 (12,631,514) 10,817,038
Forward foreign currency contracts and foreign
currency transactions (468,066) 721,567 (1,237,245) 2,314,558
Net change in unrealized
appreciation/depreciation of:
Investments, futures, options written, short
sales and swaps 236,333 (3,368,192) (8,116,216) (3,637,089)
Other assets and liabilities denominated in
foreign currency and forward foreign currency
contracts 74,643 (444,969) 215,454 (154,439)
- -----------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations 8,456,870 9,610,098 2,504,702 24,244,887
- -----------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income-Class A (2,250,715) (2,461,828) (1,003,597) (771,766)
Net investment income-Class B (23,500) (60,885) (52,194) (87,621)
Net investment income-Class C (182,084) (216,782) (291,408) (237,708)
Net investment income-Class Y (38,941) (39,084) (41,788) (28,544)
Net investment income-Class P (12,137,687) (9,313,207) (23,095,693) (14,147,579)
Net realized gains from investment
activities-Class A -- -- -- (548,508)
Net realized gains from investment
activities-Class B -- -- -- (90,297)
Net realized gains from investment
activities-Class C -- -- -- (198,165)
Net realized gains from investment
activities-Class Y -- -- -- (16,511)
Net realized gains from investment
activities-Class P -- -- -- (8,912,182)
Return of capital-Class A -- -- (36,696) --
Return of capital-Class B -- -- (1,909) --
Return of capital-Class C -- -- (10,655) --
Return of capital-Class Y -- -- (1,528) --
Return of capital-Class P -- -- (844,488) --
- -----------------------------------------------------------------------------------------------------------------
(14,632,927) (12,091,786) (25,379,956) (25,038,881)
- -----------------------------------------------------------------------------------------------------------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares 123,568,034 125,092,768 206,862,456 165,854,478
Cost of shares repurchased (116,411,193) (102,710,498) (104,406,874) (112,018,802)
Proceeds from dividends reinvested 13,601,315 11,049,220 24,799,319 24,338,634
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
beneficial interest transactions 20,758,156 33,431,490 127,254,901 78,174,310
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 14,582,099 30,949,802 104,379,647 77,380,316
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 398,612,159 367,662,357 463,736,004 386,355,688
End of period $ 413,194,258 $ 398,612,159 $ 568,115,651 $ 463,736,004
- -----------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in
excess of) net investment income $ 183,918 $ 122,681 $ (310,902) $ 3,295,114
- -----------------------------------------------------------------------------------------------------------------
<Caption>
UBS PACE UBS PACE UBS PACE
MUNICIPAL FIXED GLOBAL FIXED HIGH YIELD
INCOME INVESTMENTS INCOME INVESTMENTS INVESTMENTS
------------------------------------------------------------------------------
FOR THE PERIOD
FOR THE FOR THE FOR THE FOR THE APRIL 3, 2006*
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
JULY 31, 2006 JULY 31, 2005 JULY 31, 2006 JULY 31, 2005 JULY 31, 2006
- -------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 8,187,553 $ 8,052,730 $ 10,998,729 $ 8,980,486 $ 213,453
Net realized gains (losses) from:
Investments, futures, options written, short
sales and swaps (1,028,724) 941,267 (2,750,804) 11,805,323 (47,440)
Forward foreign currency contracts and foreign
currency transactions -- -- (2,491,172) 15,854,189 981
Net change in unrealized
appreciation/depreciation of:
Investments, futures, options written, short
sales and swaps (3,344,981) (2,299,471) 3,781,471 (10,440,003) (158,616)
Other assets and liabilities denominated in
foreign currency and forward foreign currency
contracts -- -- 58,111 (2,146,423) 2,326
- -------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations 3,813,848 6,694,526 9,596,335 24,053,572 10,704
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income-Class A (3,376,147) (3,913,061) (6,619,593) (9,288,996) (3,482)
Net investment income-Class B (37,964) (85,409) (51,482) (93,928) --
Net investment income-Class C (517,502) (605,527) (371,525) (484,134) --
Net investment income-Class Y (6,218) (6,550) (430,898) (608,419) (122,377)
Net investment income-Class P (4,248,538) (3,444,998) (16,051,437) (14,601,051) (86,595)
Net realized gains from investment
activities-Class A -- -- (2,103,145) (275,150) --
Net realized gains from investment
activities-Class B -- -- (20,197) (3,248) --
Net realized gains from investment
activities-Class C -- -- (131,657) (15,545) --
Net realized gains from investment
activities-Class Y -- -- (130,019) (17,005) --
Net realized gains from investment
activities-Class P -- -- (4,705,956) (402,636) --
Return of capital-Class A -- -- -- -- --
Return of capital-Class B -- -- -- -- --
Return of capital-Class C -- -- -- -- --
Return of capital-Class Y -- -- -- -- --
Return of capital-Class P -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
(8,186,369) (8,055,545) (30,615,909) (25,790,112) (212,454)
- -------------------------------------------------------------------------------------------------------------------------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares 55,762,391 43,903,633 132,320,827 110,053,612 21,517,226
Cost of shares repurchased (51,579,006) (54,324,278) (88,454,425) (76,153,174) (10,078,087)
Proceeds from dividends reinvested 6,818,706 6,533,146 27,961,635 22,748,986 210,732
- -------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
beneficial interest transactions 11,002,091 (3,887,499) 71,828,037 56,649,424 11,649,871
- -------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 6,629,570 (5,248,518) 50,808,463 54,912,884 11,448,121
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 251,335,574 256,584,092 438,366,859 383,453,975 --
End of period $257,965,144 $251,335,574 $489,175,322 $438,366,859 $ 11,448,121
- -------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in
excess of) net investment income $ 1,184 $ -- $ (935,868) $ 14,329,633 $ 1,980
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
223
<Page>
<Table>
<Caption>
UBS PACE UBS PACE
LARGE CO VALUE LARGE CO GROWTH
EQUITY INVESTMENTS EQUITY INVESTMENTS
----------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2006 JULY 31, 2005 JULY 31, 2006 JULY 31, 2005
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 16,184,292 $ 14,166,765 $ 830,980 $ 1,012,868
Net realized gains (losses) from:
Investments, futures, options written and
short sales 192,912,867 74,056,309 65,357,616 38,148,379
Forward foreign currency contracts and
foreign currency transactions 166 (40) 238 16
Net change in unrealized appreciation/
depreciation of:
Investments, futures, options written and
short sales (57,561,205) 104,074,063 (72,027,369) 87,547,937
Other assets and liabilities denominated in
foreign currency and forward foreign currency
contracts -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 151,536,120 192,297,097 (5,838,535) 126,709,200
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income-Class A (2,811,131) (3,302,996) -- --
Net investment income-Class B -- -- -- --
Net investment income-Class C (40,382) (94,894) -- --
Net investment income-Class Y (494,689) (518,871) (38,639) --
Net investment income-Class P (10,815,370) (8,802,029) (976,879) --
Net realized gains from investment
activities-Class A (6,563,489) -- -- --
Net realized gains from investment
activities-Class B (139,073) -- -- --
Net realized gains from investment
activities-Class C (826,430) -- -- --
Net realized gains from investment a
ctivities-Class Y (925,110) -- -- --
Net realized gains from investment
activities-Class P (20,225,631) -- -- --
- ----------------------------------------------------------------------------------------------------------------
(42,841,305) (12,718,790) (1,015,518) --
- ----------------------------------------------------------------------------------------------------------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares 316,889,241 262,895,159 325,300,486 259,793,530
Cost of shares repurchased (246,832,494) (225,829,854) (174,278,739) (157,328,240)
Proceeds from dividends reinvested 41,467,832 12,283,985 1,000,787 --
- ----------------------------------------------------------------------------------------------------------------
Net increase in net assets from beneficial
interest transactions 111,524,579 49,349,290 152,022,534 102,465,290
- ----------------------------------------------------------------------------------------------------------------
Redemption fees -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Net increase in net assets 220,219,394 228,927,597 145,168,481 229,174,490
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 1,235,530,321 1,006,602,724 914,093,698 684,919,208
End of period $1,455,749,715 $1,235,530,321 $1,059,262,179 $ 914,093,698
- ----------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in
excess of) net investment income $ 9,242,787 $ 7,219,901 $ 828,584 $ 1,012,884
- ----------------------------------------------------------------------------------------------------------------
</Table>
* Commencement of operations
224
<Page>
<Table>
<Caption>
UBS PACE UBS PACE
SMALL/MEDIUM CO VALUE SMALL/MEDIUM CO GROWTH
EQUITY INVESTMENTS EQUITY INVESTMENTS
-------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JULY 31, 2006 JULY 31, 2005 JULY 31, 2006 JULY 31, 2005
- -------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ (320,403) $ (661,592) $ (2,809,694) $ (2,956,668)
Net realized gains (losses) from:
Investments, futures, options written and
short sales 42,411,166 62,560,612 59,143,616 20,928,779
Forward foreign currency contracts and
foreign currency transactions -- 388 -- 45
Net change in unrealized appreciation/
depreciation of:
Investments, futures, options written and
short sales (61,059,149) 18,054,483 (75,433,598) 66,820,351
Other assets and liabilities denominated in
foreign currency and forward foreign currency
contracts -- -- -- --
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations (18,968,386) 79,953,891 (19,099,676) 84,792,507
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income-Class A -- -- -- --
Net investment income-Class B -- -- -- --
Net investment income-Class C -- -- -- --
Net investment income-Class Y -- -- -- --
Net investment income-Class P -- -- -- --
Net realized gains from investment
activities-Class A (9,372,561) (5,167,885) (7,647,042) (246,244)
Net realized gains from investment
activities-Class B (526,355) (576,683) (183,663) (10,739)
Net realized gains from investment
activities-Class C (2,507,674) (1,406,141) (1,102,955) (37,275)
Net realized gains from investment a
ctivities-Class Y (817,914) (394,662) (543,931) (13,563)
Net realized gains from investment
activities-Class P (66,750,635) (29,368,166) (49,707,564) (1,173,710)
- -------------------------------------------------------------------------------------------------------------
(79,975,139) (36,913,537) (59,185,155) (1,481,531)
- -------------------------------------------------------------------------------------------------------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares 118,318,169 98,632,360 118,906,392 95,303,311
Cost of shares repurchased (92,470,385) (84,662,517) (89,503,586) (86,010,378)
Proceeds from dividends reinvested 78,650,332 36,228,640 58,111,178 1,450,971
- -------------------------------------------------------------------------------------------------------------
Net increase in net assets from beneficial
interest transactions 104,498,116 50,198,483 87,513,984 10,743,904
- -------------------------------------------------------------------------------------------------------------
Redemption fees -- -- -- --
- -------------------------------------------------------------------------------------------------------------
Net increase in net assets 5,554,591 93,238,837 9,229,153 94,054,880
- -------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 445,263,692 352,024,855 431,476,062 337,421,182
End of period $450,818,283 $445,263,692 $440,705,215 $431,476,062
- -------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in
excess of) net investment income $ -- $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
<Caption>
UBS PACE
UBS PACE UBS PACE ALTERNATIVE
INTERNATIONAL INTERNATIONAL EMERGING STRATEGIES
EQUITY INVESTMENTS MARKETS EQUITY INVESTMENTS INVESTMENTS
------------------------------------------------------------- FOR THE PERIOD
FOR THE FOR THE FOR THE FOR THE APRIL 3, 2006*
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
JULY 31, 2006 JULY 31, 2005 JULY 31, 2006 JULY 31, 2005 JULY 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income (loss) $ 19,298,568 $ 11,962,129 $ 3,514,803 $ 2,357,525 $ 293,061
Net realized gains (losses) from:
Investments, futures, options written and
short sales 112,851,531 27,977,503 49,046,607 29,966,063 (283,213)
Forward foreign currency contracts and
foreign currency transactions (887,095) (272,002) (360,380) (582,938) (41,093)
Net change in unrealized appreciation/
depreciation of:
Investments, futures, options written and
short sales 73,625,180 78,881,825 1,136,749 33,018,810 (191,802)
Other assets and liabilities denominated in
foreign currency and forward foreign currency
contracts 211,075 (162,864) (19,913) 32,868 (4,310)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 205,099,259 118,386,591 53,317,866 64,792,328 (227,357)
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income-Class A (1,382,690) (407,967) (165,084) (743) --
Net investment income-Class B (1,002) -- -- -- --
Net investment income-Class C (42,341) -- (8,961) -- --
Net investment income-Class Y (868,192) (366,534) (195,302) (22,732) --
Net investment income-Class P (12,323,927) (3,759,389) (2,035,705) (144,070) --
Net realized gains from investment
activities-Class A -- -- -- -- --
Net realized gains from investment
activities-Class B -- -- -- -- --
Net realized gains from investment
activities-Class C -- -- -- -- --
Net realized gains from investment a
ctivities-Class Y -- -- -- -- --
Net realized gains from investment
activities-Class P -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
(14,618,152) (4,533,890) (2,405,052) (167,545) --
- ------------------------------------------------------------------------------------------------------------------------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares 272,356,127 218,161,287 97,379,050 69,352,891 107,953,964
Cost of shares repurchased (179,259,703) (126,855,189) (79,425,875) (37,568,480) (50,108,493)
Proceeds from dividends reinvested 14,298,782 4,442,443 2,371,526 165,698 --
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from beneficial
interest transactions 107,395,206 95,748,541 20,324,701 31,950,109 57,845,471
- ------------------------------------------------------------------------------------------------------------------------------
Redemption fees 1,045 15 13,890 499 --
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets 297,877,358 209,601,257 71,251,405 96,575,391 57,618,114
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 776,174,373 566,573,116 235,927,927 139,352,536 --
End of period $1,074,051,731 $ 776,174,373 $307,179,332 $235,927,927 $ 57,618,114
- ------------------------------------------------------------------------------------------------------------------------------
Accumulated undistributed (distributions in
excess of) net investment income $ 13,811,276 $ 8,733,781 $ 2,325,449 $ 1,551,321 $ 251,968
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
225
<Page>
UBS PACE Select Advisors Trust
NOTES TO FINANCIAL STATEMENTS
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
UBS PACE Select Advisors Trust (the "Trust") is registered with the Securities
and Exchange Commission under the Investment Company Act of 1940, as amended, as
an open-end management investment company currently composed of fourteen
separate investment portfolios and was organized as a Delaware statutory trust
under the laws of the State of Delaware by Certificate of Trust dated September
9, 1994, as amended June 9, 1995 and thereafter. The trustees of the Trust have
authority to issue an unlimited number of shares of beneficial interest, par
value $0.001 per share.
The Trust has fourteen portfolios available for investment, each having its own
investment objectives and policies: UBS PACE Money Market Investments, UBS PACE
Government Securities Fixed Income Investments, UBS PACE Intermediate Fixed
Income Investments, UBS PACE Strategic Fixed Income Investments, UBS PACE
Municipal Fixed Income Investments, UBS PACE Global Fixed Income Investments,
UBS PACE High Yield Investments, UBS PACE Large Co Value Equity Investments, UBS
PACE Large Co Growth Equity Investments, UBS PACE Small/Medium Co Value Equity
Investments, UBS PACE Small/Medium Co Growth Equity Investments, UBS PACE
International Equity Investments, UBS PACE International Emerging Markets Equity
Investments and UBS PACE Alternative Strategies Investments (collectively, the
"Portfolios").
Each of the Portfolios is classified as a diversified investment company with
the exception of UBS PACE Intermediate Fixed Income Investments, UBS PACE Global
Fixed Income Investments and UBS PACE Alternative Strategies Investments. With
the exception of UBS PACE Money Market Investments (which currently offers Class
P shares only), each Portfolio currently offers Class A, Class B, Class C, Class
Y and Class P shares. Each class represents interests in the same assets of the
applicable Portfolio and the classes are identical except for differences in
their sales charge structures, ongoing service and distribution charges and
certain transfer agency and related services expenses. In addition, Class B
shares and all corresponding reinvested dividend shares automatically convert to
Class A shares within a certain number of years after issuance which varies
depending upon the amount invested. All classes of shares have equal voting
privileges except that each class has exclusive voting rights with respect to
its service and/or distribution plan, if any. Class Y and Class P shares have no
service or distribution plan. The Portfolios' Class P shares currently are
available only to participants in the UBS PACE(SM) Select Advisors Program,
except that UBS PACE Money Market Investments shares are also available to
participants in the UBS PACE(SM) Multi Advisor Program.
In the normal course of business, the Portfolios may enter into contracts that
contain a variety of representations or that provide indemnification for certain
liabilities. The Portfolios' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the
Portfolios that have not yet occurred. However, the Portfolios have not had
prior claims or losses pursuant to these contracts and expect the risk of loss
to be remote.
The preparation of financial statements in accordance with US generally accepted
accounting principles requires the Trust's management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. The following is a
summary of significant accounting policies:
VALUATION OF INVESTMENTS--Each Portfolio (except UBS PACE Money Market
Investments) calculates its net asset value based on the current market value
for its portfolio securities. The Portfolios normally obtain market values for
their securities from independent pricing sources. Independent pricing sources
may use last reported sale prices, current market quotations or valuations from
computerized "matrix" systems that derive values based on comparable securities.
Securities traded in the over-the-counter ("OTC") market and listed on The
Nasdaq Stock Market, Inc. ("Nasdaq") normally are valued at the Nasdaq Official
Closing Price.
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<Page>
Other OTC securities are valued at the last bid price available prior to
valuation. Securities which are listed on US and foreign stock exchanges
normally are valued at the last sale price on the day the securities are valued
or, lacking any sales on such day, at the last available bid price. Securities
listed on foreign stock exchanges may be fair valued based on significant events
that have occurred subsequent to the close of the foreign markets. UBS PACE
International Equity Investments, UBS PACE International Emerging Markets Equity
Investments and UBS PACE Alternative Strategies Investments may use a systematic
fair valuation model provided by an independent third party to value securities
principally traded in foreign markets in order to adjust for possible stale
pricing that may occur between the close of the foreign exchanges and the time
for valuation. If a security is valued at a "fair value", that value is likely
to be different from the last quoted market price for the security. In cases
where securities are traded on more than one exchange, the securities are valued
on the exchange designated as the primary market by UBS Global Asset Management
(Americas) Inc. If a market value is not available from an independent pricing
source for a particular security, that security is valued at fair value as
determined in good faith by or under the direction of the Trust's Board of
Trustees (the "Board"). Various factors may be reviewed in order to make a good
faith determination of a security's fair value. These factors include, but are
not limited to, the type and cost of the security; contractual or legal
restrictions on resale of the security; relevant financial or business
developments of the issuer; actively traded similar or related securities;
conversion or exchange rights on the security; related corporate actions; and
changes in overall market conditions. If events occur that materially affect the
value of securities (particularly non-US securities) between the close of
trading in those securities and the close of regular trading on the New York
Stock Exchange ("NYSE"), the securities are fair valued. The amortized cost
method of valuation, which approximates market value, generally is used to value
short-term debt instruments with sixty days or less remaining to maturity,
unless the Board determines that this does not represent fair value. Investments
of the UBS PACE Money Market Investments Portfolio are valued using the
amortized cost method of valuation. All investments quoted in foreign currencies
will be valued daily in US dollars on the basis of the foreign currency exchange
rates prevailing at the time such valuation is determined by the Portfolios'
custodian.
Prior to November 1, 2005, foreign currency exchange rates were generally
determined prior to the close of the NYSE. Occasionally, events affecting the
value of foreign investments and such exchange rates occurred between the time
at which they were determined and the close of the NYSE, which would not have
been reflected in the computation of the Portfolios' net asset value. If events
materially affecting the value of such securities or currency exchange rates
occurred during such time periods, the securities were valued at their fair
value as determined in good faith by or under the direction of the Board.
Effective November 1, 2005, the Portfolios began using the foreign currency
exchange rates determined as of the close of regular trading on the NYSE.
REPURCHASE AGREEMENTS--The Portfolios may purchase securities or other
obligations from a bank or securities dealer (or its affiliate), subject to the
seller's agreement to repurchase them at an agreed upon date (or upon demand)
and price. The Portfolios maintain custody of the underlying obligations prior
to their repurchase, either through its regular custodian or through a special
"tri-party" custodian or sub-custodian that maintains a separate account for
both the Portfolios and their counterparty. The underlying collateral is valued
daily to ensure that the value, including accrued interest, is at least equal to
the repurchase price. In the event of default of the obligation to repurchase,
the Portfolios generally have the right to liquidate the collateral and apply
the proceeds in satisfaction of the obligation. Repurchase agreements involving
obligations other than US government securities (such as commercial paper,
corporate bonds and mortgage loans) may be subject to special risks and may not
have the benefit of certain protections in the event of counterparty insolvency.
If the seller (or seller's guarantor, if any) becomes insolvent, the Portfolios
may suffer delays, costs and possible losses in connection with the disposition
or
227
<Page>
retention of the collateral. Under certain circumstances, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. Each Portfolio
(with the exception of UBS PACE Municipal Fixed Income Investments) may
participate in joint repurchase agreement transactions with other funds managed,
advised or sub-advised by UBS Global Asset Management (Americas) Inc.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES--Investment transactions
are recorded on the trade date. Realized gains and losses from investment
transactions and foreign exchange transactions are calculated using the
identified cost method. Dividend income is recorded net of withholding taxes on
the ex-dividend date ("ex-date") (except in the case of certain dividends from
foreign securities which are recorded as soon after the ex-date as the
respective Portfolio, using reasonable diligence, becomes aware of such
dividends). Interest income is recorded on an accrual basis. Discounts are
accreted and premiums are amortized as adjustments to interest income and the
identified cost of investments.
Income, expenses (excluding class-specific expenses) and realized/unrealized
gains/losses are allocated proportionately to each class of shares based upon
the relative net asset value of outstanding shares (or the value of
dividend-eligible shares, as appropriate) of each class at the beginning of the
day (after adjusting for current capital share activity of the respective
classes). Class-specific expenses are charged directly to the applicable class
of shares.
FOREIGN CURRENCY TRANSLATION--The books and records of the Portfolios are
maintained in US dollars. Foreign currency amounts are translated into US
dollars as follows: (1) the foreign currency market value of investment
securities and other assets and liabilities stated in foreign currencies are
translated using foreign currency exchange rates determined as of the close of
regular trading on the NYSE; and (2) purchases, sales, income and expenses are
translated at the rate of exchange prevailing on the respective dates of such
transactions. The resulting exchange gains and losses are included in the
Statement of operations.
The Portfolios do not generally isolate the effects of fluctuations in foreign
exchange rates from the effects of fluctuations in the market prices of
securities. However, the Portfolios do isolate the effect of fluctuations in
foreign exchange rates when determining the realized gain or loss upon the sale
or maturity of foreign currency-denominated debt obligations pursuant to US
federal income tax regulations; such amount is categorized as realized foreign
currency transaction gain or loss for both financial reporting and income tax
purposes. Net realized foreign currency transaction gain (loss) is treated as
ordinary income (loss) for income tax reporting purposes.
FORWARD FOREIGN CURRENCY CONTRACTS--Certain Portfolios may enter into forward
foreign currency contracts ("forward contracts") in connection with planned
purchases or sales of securities or to hedge the US dollar value of portfolio
securities denominated in a particular currency. The Portfolios may also engage
in cross-hedging by using forward contracts in one currency to hedge
fluctuations in the value of securities denominated in a different currency if
the applicable investment sub-advisor anticipates that there is a correlation
between the two currencies. Forward contracts may also be used to shift a
Portfolio's exposure to foreign currency fluctuations from one country to
another. UBS PACE Alternative Strategies Investments may also enter into foreign
currency strategies for purposes of risk management, efficient asset allocation
and in pursuit of its investment objective.
The Portfolios have no specific limitation on the percentage of assets which may
be committed to such contracts; however, the value of all forward contracts will
not exceed the value of a Portfolio's total assets. The Portfolios may enter
into forward contracts or maintain a net exposure to forward contracts only if
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<Page>
(1) the consummation of the contracts would not obligate the Portfolios to
deliver an amount of foreign currency in excess of the value of the positions
being hedged by such contracts or (2) the Portfolios maintain cash or liquid
securities in a segregated account in an amount not less than the value of a
Portfolio's total assets committed to the consummation of the forward contracts
and not covered as provided in (1) above, as marked-to-market daily.
Risks may arise upon entering into forward contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currencies relative to the US
dollar.
Fluctuations in the value of open forward contracts are recorded for book
purposes as unrealized gains or losses on forward foreign currency contracts by
the Portfolios. Realized gains and losses on forward foreign currency contracts
include net gains or losses recognized by the Portfolios on contracts which have
matured.
SECURITIES TRADED ON TO-BE-ANNOUNCED BASIS--The Portfolios may from time to time
purchase securities on a to-be-announced ("TBA") basis. In a TBA transaction,
the Portfolio commits to purchasing or selling securities for which all specific
information is not yet known at the time of the trade, particularly the face
amount and maturity date of the underlying security transactions. Securities
purchased on a TBA basis are not settled until they are delivered to the
Portfolio, normally 15 to 45 days later. Beginning on the date the Portfolio
enters into a TBA transaction, cash, US government securities or other liquid
securities are segregated in an amount equal in value to the purchase price of
the TBA security. These transactions are subject to market fluctuations, and
their current value is determined in the same manner as for other securities.
At July 31, 2006, UBS PACE Government Securities Fixed Income Investments and
UBS PACE Strategic Fixed Income Investments held TBA securities with a total
cost of $219,592,773 and $18,718,418, respectively.
OPTION WRITING--Certain Portfolios may write (sell) put and call options on
securities or derivative instruments in order to gain exposure to or protect
against changes in the markets. When a Portfolio writes a call or a put option,
an amount equal to the premium received by the Portfolio is included in the
Portfolio's Statement of Assets and Liabilities as an asset and as an equivalent
liability. The amount of the liability is subsequently marked-to-market to
reflect the current market value of the option written. If an option which the
Portfolio has written either expires on its stipulated expiration date or the
Portfolio enters into a closing purchase transaction, the Portfolio realizes a
gain (or loss if the cost of a closing purchase transaction exceeds the premium
received when the option was written) without regard to any unrealized gain or
loss on the underlying security or derivative instrument, and the liability
related to such option is extinguished. If a call option which the Portfolio has
written is exercised, the Portfolio recognizes a realized capital gain or loss
(long-term or short-term, depending on the holding period of the underlying
security) from the sale of the underlying security or derivative instrument and
the proceeds from the sale are increased by the premium originally received. If
a put option which the Portfolio has written is exercised, the amount of the
premium originally received reduces the cost of the security or derivative
instrument which the Portfolio purchases upon exercise of the option.
In writing an option, the Portfolios bear the market risk of an unfavorable
change in the price of the derivative instrument, security or currency
underlying the written option. Exercise of an option written by a Portfolio
could result in the Portfolio selling or buying a derivative instrument,
security or currency at a price different from current market value.
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<Page>
Written option activity for the year ended July 31, 2006 for UBS PACE Government
Securities Fixed Income Investments, UBS PACE Intermediate Fixed Income
Investments, UBS PACE Strategic Fixed Income Investments and UBS PACE
Alternative Strategies Investments was as follows:
<Table>
<Caption>
UBS PACE
GOVERNMENT UBS PACE UBS PACE UBS PACE
SECURITIES INTERMEDIATE STRATEGIC ALTERNATIVE
FIXED FIXED INCOME FIXED INCOME STRATEGIES
INCOME INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS+
----------------------------------------------------------------------------------------
NUMBER OF AMOUNT OF AMOUNT OF NUMBER OF AMOUNTS OF AMOUNTS OF
CONTRACTS PREMIUMS NUMBER OF PREMIUMS CONTRACTS PREMIUMS NUMBER OF PREMIUMS
(000) RECEIVED CONTRACTS RECEIVED (000) RECEIVED CONTRACTS RECEIVED
----------------------------------------------------------------------------------------
Options outstanding at July 31, 2005 30,000 $ 433,500 116 $84,763 0* $ 103,346 -- $ --
Options written 60,901 713,028 -- -- 75,000 523,746 515 650,622
Options terminated in closing purchase
transactions (0)* (57,698) -- -- (17,500) (125,525) (149) (183,375)
Options expired prior to exercise (30,001) (513,125) 116 84,763 (0)* (103,346) (274) (326,439)
Options outstanding at July 31, 2006** 60,900 $ 575,705 -- $ -- 57,500 $ 398,221 92 $ 140,808
</Table>
* Amount represents less than 500 contracts.
** For additional information regarding the written options outstanding at
July 31, 2006, please refer to the footnotes in the Portfolio of
Investments for the respective Portfolios.
+ Commencement of operations was April 3, 2006.
WRITTEN CALL OPTIONS--In the event that the counterparty to the written options
contracts defaults on its obligation under the contracts, the maximum loss
related to these contracts is limited to the market value of the securities
subject to the written call options outstanding, which aggregated $21,087,
$339,380 and $297,970 for UBS PACE Government Securities Fixed Income
Investments, UBS PACE Strategic Fixed Income Investments and UBS PACE
Alternative Strategies Investments, respectively, at July 31, 2006.
WRITTEN PUT OPTIONS--In the event that the counterparty to the written options
contracts defaults on its obligation under the contracts, the maximum loss
related to these contracts is limited to the notional amount of the written put
options outstanding. At July 31, 2006, none of the Portfolios held written put
options.
PURCHASED OPTIONS--Certain Portfolios may also purchase put and call options.
Purchasing call options tends to increase exposure to the underlying instrument.
Purchasing put options tends to decrease exposure to the underlying instrument.
The Portfolio pays a premium which is included in the Statement of Assets and
Liabilities as an investment and subsequently marked to market to reflect the
current value of the option. Premiums paid for purchasing options which expire
are treated as realized losses. The risk associated with purchasing put and call
options is limited to the premium paid. Premiums paid for purchasing options
which are exercised or closed are added to the amounts paid or offset against
the proceeds on the underlying future, security or currency transaction to
determine the realized gain or loss.
FUTURES CONTRACTS--Certain Portfolios may use financial futures contracts for
hedging purposes and to adjust exposure to US and foreign equity markets in
connection with a reallocation of the Portfolios' assets or to manage the
average duration of a Portfolio. In addition, a Portfolio may purchase or sell
futures contracts or purchase options thereon to increase or reduce its exposure
to an asset class without purchasing or selling the underlying securities,
either as a hedge or to enhance return or realize gains. Using
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<Page>
financial futures contracts involves various market risks. However, imperfect
correlations between futures contracts and the related securities or markets, or
market disruptions, do not normally permit full control of these risks at all
times. The maximum amount at risk from the purchase of a futures contract is the
contract value.
Upon entering into a financial futures contract, a Portfolio is required to
deliver to a broker an amount of cash and/or government securities equal to a
certain percentage of the contract amount. This amount is known as the "initial
margin". Subsequent payments, known as "variation margin", are made or received
by the Portfolio each day depending on the fluctuations in the value of the
underlying financial futures contracts, except that in the case of UBS PACE
Global Fixed Income Investments, for which certain futures contracts may call
for payments to be made or received at settlement. Such variation margin is
recorded for financial statement purposes on a daily basis as an unrealized gain
or loss on futures until the financial futures contract is closed, at which time
the net gain or loss is reclassified to realized gain or loss on futures.
SHORT SALES "AGAINST THE BOX"--Each Portfolio (other than UBS PACE Money Market
Investments and UBS PACE Municipal Fixed Income Investments) may engage in short
sales of securities it owns or has the right to acquire at no added cost through
conversion or exchange of other securities it owns (short sales "against the
box"). To make delivery to the purchaser in a short sale, the executing broker
borrows the securities being sold short on behalf of a Portfolio, and that
Portfolio is obligated to replace the securities borrowed at a date in the
future. When a Portfolio sells short, it establishes a margin account with the
broker effecting the short sale and deposits collateral with the broker. In
addition, the Portfolio maintains, in a segregated account with its custodian,
the securities that could be used to cover the short sale. Each Portfolio incurs
transaction costs, including interest expense, in connection with opening,
maintaining and closing short sales "against the box".
A Portfolio might make a short sale "against the box" to hedge against market
risks when its investment manager or sub-advisor believes that the price of a
security may decline, thereby causing a decline in the value of a security owned
by the Portfolio or a security convertible into or exchangeable for a security
owned by the Portfolio. In such case, any loss in the Portfolio's long position
after the short sale should be reduced by a corresponding gain in the short
position. Conversely, any gain in the long position after the short sale should
be reduced by a corresponding loss in the short position. The extent to which
gains or losses in the long position are reduced will depend upon the amount of
the securities sold short relative to the amount of the securities a Portfolio
owns, either directly or indirectly, and in the case where the Portfolio owns
convertible securities, changes in the investment values or conversion premiums
of such securities.
SHORT SALES--UBS PACE Alternative Strategies Investments enters into short sales
whereby it sells a security it generally does not own, in anticipation of a
decline in the security's price. The initial amount of a short sale is recorded
as a liability which is marked to market daily. Fluctuations in the value of
this liability are recorded as unrealized gains or losses on the Statement of
operations. If UBS PACE Alternative Strategies Investments shorts a security
when also holding a long position in the security (a "short against the box"),
as the security price declines, the short position increases in value,
offsetting the long position's decrease in value. The opposite effect occurs if
the security price rises. UBS PACE Alternative Strategies Investments will
realize a gain or loss upon closing of the short sale (returning the security to
the counterparty by way of purchase or delivery of a long position owned). UBS
PACE Alternative Strategies Investments is liable to the buyer for any dividends
payable on securities while those securities are in a short position. These
dividends are booked as an expense of the Portfolio. UBS PACE Alternative
Strategies Investments will maintain an account containing cash or liquid assets
at such a level that the amount deposited in the account plus that
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<Page>
amount deposited with the broker as collateral will, at minimum, equal the
current value of the stock sold short.
REVERSE REPURCHASE AGREEMENTS--Certain Portfolios may enter into reverse
repurchase agreements with qualified third party broker-dealers. Interest on the
value of reverse repurchase agreements issued and outstanding is based upon
competitive market rates at the time of issuance. At the time the Portfolio
enters into reverse repurchase agreements, the Portfolio establishes and
maintains a segregated account with the Portfolio's custodian containing liquid
securities having a value not less than the repurchase price, including accrued
interest, of the reverse repurchase agreement. The Portfolios did not enter into
any reverse repurchase agreements during the year ended July 31, 2006.
INTEREST RATE SWAP AGREEMENTS--Certain Portfolios may enter into interest rate
swap agreements to protect themselves from interest rate fluctuations. UBS PACE
Alternative Strategies Investments may also enter into swap transactions for
purposes of risk management, efficient asset allocation and in pursuit of its
investment objective. This type of swap is an agreement that obligates two
parties to exchange a series of cash flows at specified intervals based upon or
calculated by reference to a specified interest rate(s) for a specified amount.
The payment flows are usually netted against each other, with the difference
being paid by one party to the other.
Risks may arise as a result of the failure of the counterparty to the swap
contract to comply with the terms of the contract. The loss incurred by the
failure of a counterparty is generally limited to the net interest payment to be
received by the Portfolio. Therefore, the Portfolio considers the
creditworthiness of the counterparty to a swap contract in evaluating potential
credit risk.
The Portfolio accrues for interim payments on swap contracts on a daily basis,
with the net amount recorded within unrealized appreciation/depreciation of swap
contracts on the Statement of Assets and Liabilities. Once interim payments are
settled in cash, the net amount is recorded as realized gain/loss on swaps, in
addition to realized gain/loss recorded upon the termination of swap contracts
on the Statement of Operations. Fluctuations in the value of swap contracts are
recorded for financial statement purposes as unrealized appreciation or
depreciation of swaps.
At July 31, 2006, UBS PACE Government Securities Fixed Income Investments and
UBS PACE Strategic Fixed Income Investments had outstanding interest rate swap
contracts with the following terms:
UBS PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS
RATE TYPE
----------------------
NOTIONAL PAYMENTS PAYMENTS UNREALIZED
AMOUNT TERMINATION MADE BY RECEIVED APPRECIATION
(000) DATES THE FUND BY THE FUND (DEPRECIATION)
- ----------------------------------------------------------------------
USD 5,700 12/20/13 5.466%+ 5.000% $ (222)
USD 8,100 12/20/13 5.466+ 5.000 (315)
USD 3,000 12/15/15 5.000 5.466+ 116,474
USD 10,000 12/20/16 5.000 5.466+ (14,958)
USD 15,100 12/20/16 5.000 5.466+ (16,156)
$ 84,823
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<Page>
UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
RATE TYPE
----------------------
NOTIONAL PAYMENTS PAYMENTS UNREALIZED
AMOUNT TERMINATION MADE BY RECEIVED APPRECIATION
(000) DATES THE FUND BY THE FUND (DEPRECIATION)
- -----------------------------------------------------------------------
EUR 6,700 12/15/11 4.000% 3.334%++ $ (9,256)
EUR 19,000 12/15/11 4.000 3.334++ (26,245)
EUR 27,100 12/15/11 4.000 3.334++ (37,443)
EUR 900 06/18/34 3.334++ 6.000 9,653
EUR 8,300 06/18/34 3.334++ 6.000 155,034
GBP 21,300 09/20/09 4.869+++ 4.500 (434,389)
GBP 7,100 09/15/10 4.869+++ 5.000 (131,239)
GBP 19,200 09/15/10 4.869+++ 5.000 (354,902)
GBP 300 12/15/35 4.000 4.869+++ (2,694)
GBP 9,300 12/15/35 4.000 4.869+++ (105,786)
JPY 3,000,000 06/15/12 2.000 0.486++++ 60,762
USD 234,600 12/15/07 5.466+ 5.000 (853,877)
USD 15,000 06/18/10 5.000 5.466+ 4,507
USD 8,300 12/20/11 5.466+ 5.000 7,384
USD 10,700 12/20/11 5.466+ 5.000 9,520
USD 45,500 12/20/11 5.466+ 5.000 41,165
USD 1,200 12/20/16 5.466+ 5.000 1,284
USD 30,100 06/18/18 5.000 5.466+ 590,038
USD 8,900 12/15/25 5.000 5.466+ 1,118,452
USD 1,700 06/15/31 6.000 5.466+ (192,091)
USD 2,500 12/17/31 6.000 5.466+ (202,063)
$(352,186)
+ Rate based on 3 Month LIBOR (London Interbank Offered Rate).
++ Rate based on 6 Month LIBOR (EUR on Interbank Offered Rate).
+++ Rate based on 6 Month LIBOR (GBP on Interbank Offered Rate).
++++ Rate based on 6 Month LIBOR (JPY on Interbank Offered Rate).
EUR Euro Dollars
GBP Great Britain Pounds
JPY Japanese Yen
USD United States Dollars
CREDIT DEFAULT SWAP AGREEMENTS--Credit default swap agreements involve
commitments to pay interest and principal in the event of a default of a
security or a credit event. The Portfolio would receive periodic payments from
the counterparty, and the Portfolio would make payments only upon the occurrence
of a default or credit event.
The Portfolio accrues for interim payments on swap contracts on a daily basis,
with the net amount recorded within unrealized appreciation/depreciation of swap
contracts on the Statement of Assets and Liabilities. Once interim payments are
settled in cash, the net amount is recorded as realized gain/loss on swaps, in
addition to realized gain/loss recorded upon termination of swap contracts on
the Statement of Operations. Fluctuations in the value of swap contracts are
recorded for financial statement purposes as unrealized appreciation or
depreciation of swaps.
If no default or credit event occurs, the counterparty will lose its periodic
stream of payments over the term of the contract. However, if a default or
credit event occurs, the Portfolio typically pays full notional value for a
reference obligation that may have little or no value. Credit default swaps may
involve greater risks than if the Portfolio had invested in the reference
obligation directly. Credit default swaps are subject to general market risk,
liquidity risk, and credit risk.
233
<Page>
At July 31, 2006, UBS PACE Strategic Fixed Income Investments had outstanding
credit default swap contracts with the following terms:
RATE TYPE
----------------------
NOTIONAL PAYMENTS PAYMENTS UNREALIZED
AMOUNT TERMINATION MADE BY RECEIVED APPRECIATION
(000) DATES THE FUND BY THE FUND (DEPRECIATION)
- -----------------------------------------------------------------------
USD 2,500 11/20/06 0.000%* 0.340% $ 1,065
USD 3,300 03/20/07 0.000** 4.650 69,232
USD 6,000 03/20/07 0.000*** 4.100 83,659
- -----------------------------------------------------------------------
$153,956
=======================================================================
* Payment to the counterparty will be made upon the occurrence of bankruptcy
and/or by a restructuring event with respect to the Russian Federation
bond, 5.000%, due 03/31/30.
** Payment to the counterparty will be made upon the occurrence of bankruptcy
and/or by a restructuring event with respect to the General Motors
Acceptance Corporation bond, 6.875%, due 08/28/12.
*** Payment to the counterparty will be made upon the occurrence of bankruptcy
and/or by a restructuring event with respect to the Ford Motor Credit Co.
bond, 7.000%, due 10/01/13.
DIVIDENDS AND DISTRIBUTIONS--Dividends and distributions to shareholders are
recorded on the ex-dividend date. The amounts of dividends and distributions are
determined in accordance with federal income tax regulations, which may differ
from US generally accepted accounting principles. These "book/tax" differences
are either considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within the
capital accounts based on their federal tax-basis treatment; temporary
differences do not require reclassification.
CONCENTRATION OF RISK
Investing in securities of foreign issuers and currency transactions may involve
certain considerations and risks not typically associated with investments in
the United States. These risks include revaluation of currencies, adverse
fluctuations in foreign currency values and possible adverse political, social
and economic developments, including those particular to a specific industry,
country or region, which could cause the securities and their markets to be less
liquid and prices more volatile than those of comparable US companies and US
government securities. These risks are greater with respect to securities of
issuers located in emerging market countries in which the UBS PACE Global Fixed
Income Investments, UBS PACE International Equity Investments, UBS PACE
International Emerging Markets Equity Investments and UBS PACE Alternative
Strategies Investments Portfolios are authorized to invest.
Small capitalization ("small cap") companies may be more vulnerable than larger
capitalization companies to adverse business or economic developments. Small cap
companies may also have limited product lines, markets or financial resources,
and may be dependent on a relatively small management group. Securities of such
companies may be less liquid and more volatile than securities of larger
capitalization companies or the market averages in general and therefore may
involve greater risk than investing in larger capitalization companies. In
addition, small cap companies may not be well-known to the investing public, may
not have institutional ownership and may have only cyclical, static or moderate
growth prospects. These risks are greater with respect to the securities in
which the UBS PACE Small/Medium Co Value Equity Investments and UBS PACE
Small/Medium Co Growth Equity Investments Portfolios tend to invest.
The ability of the issuers of debt securities held by the Portfolios to meet
their obligations may be affected by economic and political developments
particular to a specific industry, country, state or region.
234
<Page>
INVESTMENT MANAGER AND ADMINISTRATOR
UBS Global Asset Management (US) Inc. ("UBS Global AM--US") served as the
Trust's investment manager and administrator from August 1, 2005 until April 1,
2006. On April 1, 2006, the Trust's investment Management and Administration
Agreement ("Management Contract") was transferred from UBS Global AM--US to UBS
Global Asset Management (Americas) Inc. ("UBS Global AM--Americas").
The transfer of the Management Contract between sister companies occurred in
connection with an internal reorganization involving UBS Global AM--US and UBS
Global AM--Americas. The Trust's Board of Trustees approved the transfer of the
Management Contract effective April 1, 2006. All of the personnel of UBS Global
AM--US who previously provided investment management services to the Trust
continue to provide investment management services to the Trust as employees of
UBS Global AM--Americas. UBS Global AM--Americas has the same contractual rights
and responsibilities under the Management Contract as those previously held by
UBS Global AM--US. UBS Global AM--US and UBS Global AM--Americas are both
indirect wholly owned subsidiaries of UBS AG. UBS Global AM--US continues to
serve as each Portfolio's principal underwriter. In accordance with the
Management Contract, each Portfolio pays UBS Global AM-Americas investment
management and administration fees, which are accrued daily and paid monthly, in
accordance with the following schedule:
<Table>
<Caption>
ANNUAL RATE
AS A PERCENTAGE OF
EACH PORTFOLIO'S
PORTFOLIO AVERAGE DAILY NET ASSETS
- -----------------------------------------------------------------------------------
UBS PACE Money Market Investments 0.350%
UBS PACE Government Securities Fixed Income Investments 0.700% up to $500 million
0.650% above $500 million
up to $1 billion
0.625% above $1 billion
up to $1.5 billion
0.600% above $1.5 billion
up to $2 billion
0.575% above $2 billion
UBS PACE Intermediate Fixed Income Investments 0.600% up to $500 million
0.550% above $500 million
up to $1 billion
0.525% above $1 billion
up to $1.5 billion
0.500% above $1.5 billion
up to $2 billion
0.475% above $2 billion
UBS PACE Strategic Fixed Income Investments 0.700% up to $500 million
0.650% above $500 million
up to $1 billion
0.625% above $1 billion
up to $1.5 billion
0.600% above $1.5 billion
up to $2 billion
0.575% above $2 billion
</Table>
235
<Page>
<Table>
<Caption>
ANNUAL RATE
AS A PERCENTAGE OF
EACH PORTFOLIO'S
PORTFOLIO AVERAGE DAILY NET ASSETS
- --------------------------------------------------------------------------------------
UBS PACE Municipal Fixed Income Investments 0.600% up to $500 million
0.550% above $500 million
up to $1 billion
0.525% above $1 billion
up to $1.5 billion
0.500% above $1.5 billion
up to $2 billion
0.475% above $2 billion
UBS PACE Global Fixed Income Investments 0.800% up to $1 billion
0.775% above $1 billion
up to $2 billion
0.750% above $2 billion
UBS PACE High Yield Investments 0.800% up to $500 million
0.750% above $500 million
up to $1 billion
0.725% above $1 billion
up to $1.5 billion
0.700% above $1.5 billion
up to $2 billion
0.675% above $2 billion
UBS PACE Large Co Value Equity Investments 0.800%*
UBS PACE Large Co Growth Equity Investments 0.800% up to $500 million
0.775% above $500 million
up to $1 billion
0.750% above $1 billion
up to $2 billion
0.725% above $2 billion
UBS PACE Small/Medium Co Value Equity Investments 0.800% up to $750 million
0.775% above $750 million
UBS PACE Small/Medium Co Growth Equity Investments 0.800% up to $750 million
0.775% above $750 million
UBS PACE International Equity Investments 0.900% up to $500 million
0.875% above $500 million
up to $1 billion
0.850% above $1 billion
up to $2 billion
0.825% above $2 billion
UBS PACE International Emerging Markets Equity Investments 1.100% up to $500 million
1.075% above $500 million
up to $1 billion
1.050% above $1 billion
up to $2 billion
1.025% above $2 billion
UBS PACE Alternative Strategies Investments 1.400% up to $500 million
1.350% above $500 million
up to $1 billion
1.300% above $1 billion
up to $1.5 billion
1.275% above $1.5 billion
up to $2 billion
1.250% above $2 billion
</Table>
* See page 238 for additional information.
236
<Page>
Under separate Sub-Advisory Agreements, with the exception of UBS PACE Money
Market Investments, UBS Global AM-Americas (not the Portfolios) pays each
investment sub-advisor a fee from the investment management and administration
fees which UBS Global AM-Americas receives, which is accrued daily and paid
monthly, in accordance with the following schedule (prior to April 1, 2006, UBS
Global AM-US paid sub-advisors pursuant to contracts similar to those currently
in place with UBS Global AM-Americas):
<Table>
<Caption>
ANNUAL RATE
AS A PERCENTAGE OF
EACH PORTFOLIO'S
PORTFOLIO INVESTMENT SUB-ADVISOR AVERAGE DAILY NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Pacific Investment Management Company LLC 0.225%
Investments
UBS PACE Intermediate Fixed Income Investments BlackRock Financial Management, Inc. 0.200% up to $120 million
0.100% above $120 million
UBS PACE Strategic Fixed Income Investments Pacific Investment Management Company LLC 0.250%
UBS PACE Municipal Fixed Income Investments Standish Mellon Asset Management Company LLC 0.200% up to $60 million
0.150% above $60 million
UBS PACE Global Fixed Income Investments Fischer Francis Trees & Watts, Inc. (and affiliates) 0.250% up to $400 million
0.200% above $400 million
Rogge Global Partners plc 0.250%
UBS PACE High Yield Investments MacKay Shields LLC. 0.350%
UBS PACE Large Co Value Equity Investments Institutional Capital Corp. 0.300%
SSgA Funds Management, Inc. 0.150%
Westwood Management Corp. 0.300%
UBS PACE Large Co Growth Equity Investments GE Asset Management, Inc. 0.300%
Marsico Capital Management, LLC 0.300%
SSgA Funds Management, Inc. 0.150%
UBS PACE Small/Medium Co Value Equity Ariel Capital Management, LLC 0.300%
Investments Metropolitan West Capital Management, LLC 0.400%
Opus Capital Management, Inc. 0.500% up to $75 million
0.450% above $75 million
UBS PACE Small/Medium Co Growth Equity Delaware Management Company, Inc. 0.400%
Investments ForstmannLeff Associates, LLC* 0.450% up to $100 million
0.400% above $100 million
ForstmannLeff 0.450% up to $100 million
0.400% above $100 million
Riverbridge Partners, LLC 0.400%
UBS PACE International Equity Investments J.P. Morgan Investment Management, Inc. 0.200%
Martin Currie, Inc. 0.350% up to $150 million
0.300% above $150 million
up to $250 million
0.250% above $250 million
up to $350 million
0.200% above $350 million
Mondrian Investment Partners Ltd. 0.350% up to $150 million
0.300% above $150 million
UBS PACE International Emerging Markets Equity Mondrian Investment Partners Ltd. 0.650% up to $150 million
Investments 0.550% above $150 million
up to $250 million
0.500% above $250 million
Gartmore Global Partners 0.500%
UBS PACE Alternative Strategies Investments Analytic Investors, Inc. 0.750% up to $200 million
0.700% above $200 million
up to $400 million
0.650% above $400 million
Wellington Management Company, LLP 0.750% up to $200 million
0.725% above $200 million
</Table>
* ForstmannLeff acquired substantially all of the assets and investment
management contracts of ForstmannLeff Associates, LLC on April 28, 2006.
237
<Page>
At July 31, 2006, certain Portfolios owed UBS Global AM-Americas for investment
management and administration fees as follows:
PORTFOLIO AMOUNTS OWED
- -------------------------------------------------------------------------
UBS PACE Money Market Investments $107,551
UBS PACE Government Securities Fixed Income Investments 316,155
UBS PACE Intermediate Fixed Income Investments 209,628
UBS PACE Strategic Fixed Income Investments 330,027
UBS PACE Municipal Fixed Income Investments 130,381
UBS PACE Global Fixed Income Investments 327,573
UBS PACE High Yield Investments 7,333
UBS PACE Large Co Value Equity Investments 814,443
UBS PACE Large Co Growth Equity Investments 663,627
UBS PACE Small/Medium Co Value Equity Investments 307,383
UBS PACE Small/Medium Co Growth Equity Investments 299,434
UBS PACE International Equity Investments 787,272
UBS PACE International Emerging Markets Equity Investments 283,157
UBS PACE Alternative Strategies Investments 60,145
UBS Global AM-Americas has entered into a written agreement with each of UBS
PACE Large Co Value Equity Investments and UBS PACE Large Co Growth Equity
Investments under which UBS Global AM-Americas is contractually obligated to
waive its management fees to the extent necessary to reflect the lower overall
fees paid to the Portfolios' investment sub-advisors as a result of the lower
sub-advisory fees paid by UBS Global AM-Americas to SSgA Funds Management, Inc.
Additionally, UBS PACE Large Co Value Equity Investments and UBS Global
AM-Americas have entered into additional fee waivers, effective December 1, 2003
with respect to UBS Global AM-America's predecessor, whereby, UBS Global
AM-Americas has agreed to permanently reduce its management fees based on the
Portfolio's average daily net assets to the following rates: $0 to $250
million-0.60%; in excess of $250 million up to $500 million-0.57%; in excess of
$500 million up to $1 billion-0.53%; and over $1 billion-0.50%.
For the year ended July 31, 2006, UBS Global AM-Americas (or UBS Global AM-US
for periods prior to April 1, 2006) was contractually obligated to waive
$1,708,391 and $453,235 in investment management and administration fees for UBS
PACE Large Co Value Equity Investments and UBS PACE Large Co Growth Investments,
respectively. Additionally, for the period ended July 31, 2006, UBS Global
AM-Americas or (UBS Global AM-US for periods prior to April 1, 2006) had the
following voluntary expense reimbursements and recoupments. The recoupments are
included in the investment management and administration fees on the Statement
of operations. The expense reimbursements for the period ended July 31, 2006,
which are subject to repayment by the Portfolios through December 1, 2009, were
as follows:
<Table>
<Caption>
EXPENSE
PORTFOLIO REIMBURSEMENTS RECOUPMENTS
- --------------------------------------------------------------------------------------
UBS PACE Money Market Investments $1,115,063 --
UBS PACE Government Securities Fixed Income Investments 436,299 --
UBS PACE Intermediate Fixed Income Investments 59,483 --
UBS PACE Strategic Fixed Income Investments 246,669 $ 2,754
UBS PACE Municipal Fixed Income Investments 154,037 --
UBS PACE Global Fixed Income Investments 473,401 1,861
UBS PACE High Yield Investments 109,662 --
UBS PACE Large Co Value Equity Investments -- 91,511
UBS PACE Large Co Growth Equity Investments 3,346 96,135
</Table>
238
<Page>
<Table>
<Caption>
EXPENSE
PORTFOLIO REIMBURSEMENTS RECOUPMENTS
- -----------------------------------------------------------------------------------------
UBS PACE Small/Medium Co Value Equity Investments $ 84,446 $ 432
UBS PACE Small/Medium Co Growth Equity Investments 189,097 --
UBS PACE International Equity Investments -- 39,401
UBS PACE International Emerging Markets Equity Investments -- 257,639
UBS PACE Alternative Strategies Investments 191,026 --
</Table>
UBS Global AM-Americas is contractually obligated to waive all or a portion of
its investment management and administration fees and/or to reimburse certain
operating expenses for the twelve months ending December 1, 2006 to maintain the
total annual operating expenses at a level not to exceed the following:
EFFECTIVE
PORTFOLIO 12/01/05
- ----------------------------------------------------------------------------
UBS PACE Money Market Investments 0.60%
UBS PACE Government Securities Fixed Income Investments--Class A 1.12
UBS PACE Government Securities Fixed Income Investments--Class B 1.87
UBS PACE Government Securities Fixed Income Investments--Class C 1.62
UBS PACE Government Securities Fixed Income Investments--Class Y 0.87
UBS PACE Government Securities Fixed Income Investments--Class P 0.87
UBS PACE Intermediate Fixed Income Investments--Class A 1.05
UBS PACE Intermediate Fixed Income Investments--Class B 1.80
UBS PACE Intermediate Fixed Income Investments--Class C 1.55
UBS PACE Intermediate Fixed Income Investments--Class Y 0.80
UBS PACE Intermediate Fixed Income Investments--Class P 0.80
UBS PACE Strategic Fixed Income Investments--Class A 1.18
UBS PACE Strategic Fixed Income Investments--Class B 1.93
UBS PACE Strategic Fixed Income Investments--Class C 1.68
UBS PACE Strategic Fixed Income Investments--Class Y 0.93
UBS PACE Strategic Fixed Income Investments--Class P 0.93
UBS PACE Municipal Fixed Income Investments--Class A 1.01
UBS PACE Municipal Fixed Income Investments--Class B 1.76
UBS PACE Municipal Fixed Income Investments--Class C 1.51
UBS PACE Municipal Fixed Income Investments--Class Y 0.76
UBS PACE Municipal Fixed Income Investments--Class P 0.76
UBS PACE Global Fixed Income Investments--Class A 1.38
UBS PACE Global Fixed Income Investments--Class B 2.13
UBS PACE Global Fixed Income Investments--Class C 1.88
UBS PACE Global Fixed Income Investments--Class Y 1.13
UBS PACE Global Fixed Income Investments--Class P 1.13
UBS PACE High Yield Investments--Class A **** 1.35
UBS PACE High Yield Investments--Class B 2.10
UBS PACE High Yield Investments--Class C 1.85
UBS PACE High Yield Investments--Class Y * 1.10
UBS PACE High Yield Investments--Class P ** 1.10
UBS PACE Large Co Value Equity Investments--Class A 1.27
UBS PACE Large Co Value Equity Investments--Class B 2.02
UBS PACE Large Co Value Equity Investments--Class C 2.02
UBS PACE Large Co Value Equity Investments--Class Y 1.02
239
<Page>
EFFECTIVE
PORTFOLIO 12/01/05
- --------------------------------------------------------------------------------
UBS PACE Large Co Value Equity Investments--Class P 1.02%
UBS PACE Large Co Growth Equity Investments--Class A 1.30
UBS PACE Large Co Growth Equity Investments--Class B 2.05
UBS PACE Large Co Growth Equity Investments--Class C 2.05
UBS PACE Large Co Growth Equity Investments--Class Y 1.05
UBS PACE Large Co Growth Equity Investments--Class P 1.05
UBS PACE Small/Medium Co Value Equity Investments--Class A 1.41
UBS PACE Small/Medium Co Value Equity Investments--Class B 2.16
UBS PACE Small/Medium Co Value Equity Investments--Class C 2.16
UBS PACE Small/Medium Co Value Equity Investments--Class Y 1.16
UBS PACE Small/Medium Co Value Equity Investments--Class P 1.16
UBS PACE Small/Medium Co Growth Equity Investments--Class A 1.38
UBS PACE Small/Medium Co Growth Equity Investments--Class B 2.13
UBS PACE Small/Medium Co Growth Equity Investments--Class C 2.13
UBS PACE Small/Medium Co Growth Equity Investments--Class Y 1.13
UBS PACE Small/Medium Co Growth Equity Investments--Class P 1.13
UBS PACE International Equity Investments--Class A 1.65
UBS PACE International Equity Investments--Class B 2.40
UBS PACE International Equity Investments--Class C 2.40
UBS PACE International Equity Investments--Class Y 1.40
UBS PACE International Equity Investments--Class P 1.40
UBS PACE International Emerging Markets Equity Investments--Class A 2.25
UBS PACE International Emerging Markets Equity Investments--Class B 3.00
UBS PACE International Emerging Markets Equity Investments--Class C 3.00
UBS PACE International Emerging Markets Equity Investments--Class Y 2.00
UBS PACE International Emerging Markets Equity Investments--Class P 2.00
UBS PACE Alternative Strategies Investments--Class A ** 1.95
UBS PACE Alternative Strategies Investments--Class B ***** 2.70
UBS PACE Alternative Strategies Investments--Class C *** 2.70
UBS PACE Alternative Strategies Investments--Class Y * 1.70
UBS PACE Alternative Strategies Investments--Class P ** 1.70
* The share class' effective date is 04/03/06 (commencement of issuance).
** The share class' effective date is 04/10/06 (commencement of issuance).
*** The share class' effective date is 04/11/06 (commencement of issuance).
**** The share class' effective date is 05/01/06 (commencement of issuance).
***** The share class' effective date is 05/19/06 (commencement of issuance).
Each Portfolio will repay UBS Global AM-Americas for any such reimbursed
payments during a three-year period following December 1, 2006, to the extent
that operating expenses are otherwise below the expense caps.
Portfolio expense caps were changed effective December 1, 2005. For this reason
the current expense caps may not correspond directly to the expense ratios
disclosed in the financial highlights as the periods reflected differ.
240
<Page>
At July 31, 2006, the following Portfolios had remaining expense reimbursements
subject to repayment to UBS Global AM-Americas and respective dates of
expiration as follows:
<Table>
<Caption>
EXPENSE
REIMBURSEMENTS EXPIRES EXPIRES EXPIRES
SUBJECT TO JULY 31, JULY 31, JULY 31,
PORTFOLIO REPAYMENT 2007 2008 2009
- --------------------------------------------------------------------------------------------------------------------
UBS PACE Money Market Investments $2,344,079 $510,180 $718,836 $1,115,063
UBS PACE Government Securities Fixed Income Investments--Class A 427,793 216,241 131,857 79,695
UBS PACE Government Securities Fixed Income Investments--Class B 20,272 12,369 5,606 2,297
UBS PACE Government Securities Fixed Income Investments--Class C 164,417 75,838 47,054 41,525
UBS PACE Government Securities Fixed Income Investments--Class Y 26,836 15,212 8,778 2,846
UBS PACE Government Securities Fixed Income Investments--Class P 870,577 295,474 265,167 309,936
UBS PACE Intermediate Fixed Income Investments--Class A 111,277 62,979 18,529 29,769
UBS PACE Intermediate Fixed Income Investments--Class B 5,721 3,162 1,730 829
UBS PACE Intermediate Fixed Income Investments--Class C 10,471 5,375 2,749 2,347
UBS PACE Intermediate Fixed Income Investments--Class Y 1,829 941 606 282
UBS PACE Intermediate Fixed Income Investments--Class P 173,829 105,228 42,345 26,256
UBS PACE Strategic Fixed Income Investments--Class A 3,670 3,670 -- --
UBS PACE Strategic Fixed Income Investments--Class B 2,380 977 770 633
UBS PACE Strategic Fixed Income Investments--Class P 646,854 186,960 213,858 246,036
UBS PACE Municipal Fixed Income Investments--Class A 318,405 175,866 92,476 50,063
UBS PACE Municipal Fixed Income Investments--Class B 11,156 7,322 2,881 953
UBS PACE Municipal Fixed Income Investments--Class C 55,292 30,233 15,723 9,336
UBS PACE Municipal Fixed Income Investments--Class Y 693 313 214 166
UBS PACE Municipal Fixed Income Investments--Class P 257,989 98,160 66,310 93,519
UBS PACE Global Fixed Income Investments--Class A 256,098 150,181 72,872 33,045
UBS PACE Global Fixed Income Investments--Class B 3,488 2,095 977 416
UBS PACE Global Fixed Income Investments--Class C 15,635 7,929 5,871 1,835
UBS PACE Global Fixed Income Investments--Class Y 2,390 2,390 -- --
UBS PACE Global Fixed Income Investments--Class P 1,141,772 334,334 369,333 438,105
UBS PACE High Yield Investments--Class A 2,976 -- -- 2,976
UBS PACE High Yield Investments--Class Y 28,988 -- -- 28,988
UBS PACE High Yield Investments--Class P 77,698 -- -- 77,698
UBS PACE Large Co Growth Equity Investments--Class B 11,133 5,487 2,941 2,705
UBS PACE Large Co Growth Equity Investments--Class C 2,345 1,704 -- 641
UBS PACE Small/Medium Co Value Equity Investments--Class P 209,778 93,704 31,628 84,446
UBS PACE Small/Medium Co Growth Equity Investments--Class B 1,628 590 143 895
UBS PACE Small/Medium Co Growth Equity Investments--Class P 444,470 101,672 154,596 188,202
UBS PACE Alternative Strategies Investments--Class A 23,838 -- -- 23,838
UBS PACE Alternative Strategies Investments--Class B 13 -- -- 13
UBS PACE Alternative Strategies Investments--Class C 998 -- -- 998
UBS PACE Alternative Strategies Investments--Class Y 61,695 -- -- 61,695
UBS PACE Alternative Strategies Investments--Class P 104,482 -- -- 104,482
</Table>
UBS PACE Strategic Fixed Income Investments Class C and Class Y, UBS PACE Large
Co Value Equity Investments Class A, Class B, Class C, Class Y and Class P, UBS
PACE Large Co Growth Equity Investments Class A, Class Y and Class P, UBS PACE
Small/Medium Co Value Equity Investments Class A, Class B, Class C
241
<Page>
and Class Y, UBS PACE Small/Medium Co Growth Equity Investments Class A, Class C
and Class Y, UBS PACE International Equity Investments Class A, Class B, Class
C, Class Y and Class P and UBS PACE International Emerging Markets Equity
Investments Class A, Class B, Class C, Class Y and Class P have no remaining
expense reimbursements subject to repayment.
At July 31, 2006, UBS Global AM-Americas owed (was owed by) certain Portfolios
for expense reimbursements (recouped expense reimbursements) as follows:
AMOUNTS
PORTFOLIO DUE (OWED)
- ---------------------------------------------------------------------------
UBS PACE Money Market Investments $195,106
UBS PACE Government Securities Fixed Income Investments 34,779
UBS PACE Intermediate Fixed Income Investments 5,453
UBS PACE Strategic Fixed Income Investments 39,234
UBS PACE Municipal Fixed Income Investments 13,668
UBS PACE Global Fixed Income Investments 62,309
UBS PACE High Yield Investments 79,887
UBS PACE Large Co Value Equity Investments (20,874)
UBS PACE Large Co Growth Equity Investments 5,515
UBS PACE Small/Medium Co Value Equity Investments 46,488
UBS PACE Small/Medium Co Growth Equity Investments 54,313
UBS PACE International Equity Investments (229)
UBS PACE International Emerging Markets Equity Investments 896
UBS PACE Alternative Strategies Investments 120,433
During the year ended July 31, 2006, UBS PACE Large Co Value Equity Investments,
UBS PACE Small/Medium Co Value Equity Investments and UBS PACE Alternative
Strategies Investments paid $18,137, $460 and $28, respectively, in brokerage
commissions to UBS Securities LLC, an indirect wholly owned subsidiary of UBS
AG. UBS PACE International Emerging Markets Equity paid $105,163 in brokerage
commissions to UBS Warburg LLC, an indirect wholly owned subsidiary of UBS AG.
UBS PACE International Equity Investments, UBS PACE International Emerging
Markets Equity Investments and UBS PACE Alternative Strategies Investments paid
$660, $98,643 and $58, respectively, in brokerage commissions to UBS AG, for
transactions executed on behalf of the respective Portfolios.
ADDITIONAL INFORMATION REGARDING COMPENSATION TO AFFILIATE OF A BOARD MEMBER
Effective March 1, 2005, Professor Meyer Feldberg accepted the position of
senior advisor to Morgan Stanley, resulting in him becoming an interested
trustee of the Portfolios. The Portfolios have been informed that Professor
Feldberg's role at Morgan Stanley does not involve matters directly affecting
any UBS funds. Portfolio transactions are executed through Morgan Stanley based
on that firm's ability to provide best execution of the transactions. For the
period ended July 31, 2006, the following Portfolios paid brokerage commissions
to Morgan Stanley in the amounts as follows:
UBS PACE Large Co Value Equity Investments $ 61,489
UBS PACE Large Co Growth Equity Investments 27,747
UBS PACE Small/Medium Co Value Equity Investments 10,311
UBS PACE Small/Medium Co Growth Equity Investments 27,483
UBS PACE International Equity Investments 153,441
UBS PACE International Emerging Markets Equity Investments 91,801
UBS PACE Alternative Strategies Investments 2,308
242
<Page>
During the period ended July 31, 2006, the following Portfolios purchased and
sold certain securities (e.g., fixed income securities) in principal trades with
Morgan Stanley having aggregate values as follows:
UBS PACE Money Market Investments $280,859,118
UBS PACE Government Securities Fixed Income Investments 673,818,526
UBS PACE Intermediate Fixed Income Investments 84,759,820
UBS PACE Strategic Fixed Income Investments 915,113,625
UBS PACE Municipal Fixed Income Investments 25,542,815
UBS PACE Global Fixed Income Investments 166,695,710
UBS PACE High Yield Investments 488,425
UBS PACE Large Co Growth Equity Investments 2,553,145
UBS PACE Small/Medium Co Growth Equity Investments 136,400
UBS PACE International Equity Investments 223,047
UBS PACE International Emerging Markets Equity Investments 4,170,573
Morgan Stanley received compensation in connection with these trades, which may
have been in the form of a "mark-up" or "mark-down" of the price of the
securities, a fee from the issuer for maintaining a commercial paper program, or
some other form of compensation. Although the precise amount of this
compensation is not generally known by the investment manager, it is believed
that under normal circumstances it represents a small portion of the total value
of the transactions.
SERVICE AND DISTRIBUTION PLANS
UBS Global AM-US is the principal underwriter of each Portfolios' shares. Under
separate plans of service and/or distribution pertaining to Class A, Class B and
Class C shares, the Portfolios (with the exception of UBS PACE Money Market
Investments) pay UBS Global AM-US monthly service fees at the annual rate of
0.25% of the average daily net assets of Class A, Class B and Class C shares and
monthly distribution fees (1) at the annual rate of 0.75% of the average daily
net assets on Class B and Class C shares for UBS PACE Large Co Value Equity
Investments, UBS PACE Large Co Growth Equity Investments, UBS PACE Small/Medium
Co Value Equity Investments, UBS PACE Small/Medium Co Growth Equity Investments,
UBS PACE International Equity Investments, UBS PACE International Emerging
Markets Equity Investments and UBS PACE Alternative Strategies Investments
Portfolios and (2) at the annual rate of 0.75% and 0.50% of the average daily
net assets of Class B and Class C shares, respectively, for UBS PACE Government
Securities Fixed Income Investments, UBS PACE Intermediate Fixed Income
Investments, UBS PACE Strategic Fixed Income Investments, UBS PACE Municipal
Fixed Income Investments and UBS PACE Global Fixed Income Investments Portfolios
and UBS PACE High Yield Investments.
UBS Global AM-US also receives the proceeds of the initial sales charges paid
upon the purchase of Class A and the contingent deferred sales charges paid by
shareholders upon certain redemptions of Class A, Class B and Class C shares.
243
<Page>
At July 31, 2006, certain Portfolios owed UBS Global AM-US service and
distribution fees, and for the period ended July 31, 2006, certain Portfolios
were informed by UBS Global AM-US that it had earned sales charges as follows:
<Table>
<Caption>
SERVICE AND SALES
DISTRIBUTION CHARGES
PORTFOLIO FEES OWED EARNED
- --------------------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Investments--Class A $24,251 $20,498
UBS PACE Government Securities Fixed Income Investments--Class B 2,392 5,417
UBS PACE Government Securities Fixed Income Investments--Class C 19,147 2,262
UBS PACE Intermediate Fixed Income Investments--Class A 12,775 2,935
UBS PACE Intermediate Fixed Income Investments--Class B 547 528
UBS PACE Intermediate Fixed Income Investments--Class C 3,364 473
UBS PACE Strategic Fixed Income Investments--Class A 4,356 1,584
UBS PACE Strategic Fixed Income Investments--Class B 924 2,947
UBS PACE Strategic Fixed Income Investments--Class C 4,022 9
UBS PACE Municipal Fixed Income Investments--Class A 21,052 20,003
UBS PACE Municipal Fixed Income Investments--Class B 834 13,984
UBS PACE Municipal Fixed Income Investments--Class C 11,043 --
UBS PACE Global Fixed Income Investments--Class A 26,132 5,692
UBS PACE Global Fixed Income Investments--Class B 741 3,591
UBS PACE Global Fixed Income Investments--Class C 4,746 259
UBS PACE High Yield Investments--Class A 71 6,068
UBS PACE Large Co Value Equity Investments--Class A 61,654 32,816
UBS PACE Large Co Value Equity Investments--Class B 4,498 11,781
UBS PACE Large Co Value Equity Investments--Class C 30,537 1,298
UBS PACE Large Co Growth Equity Investments--Class A 17,571 19,363
UBS PACE Large Co Growth Equity Investments--Class B 1,246 4,768
UBS PACE Large Co Growth Equity Investments--Class C 6,460 466
UBS PACE Small/Medium Co Value Equity Investments--Class A 9,851 18,201
UBS PACE Small/Medium Co Value Equity Investments--Class B 1,627 4,277
UBS PACE Small/Medium Co Value Equity Investments--Class C 9,996 282
UBS PACE Small/Medium Co Growth Equity Investments--Class A 10,433 10,225
UBS PACE Small/Medium Co Growth Equity Investments--Class B 601 2,938
UBS PACE Small/Medium Co Growth Equity Investments--Class C 5,788 411
UBS PACE International Equity Investments--Class A 23,129 21,701
UBS PACE International Equity Investments--Class B 615 1,138
UBS PACE International Equity Investments--Class C 6,802 549
UBS PACE International Emerging Markets Equity Investments--Class A 4,346 42,742
UBS PACE International Emerging Markets Equity Investments--Class B 441 1,325
UBS PACE International Emerging Markets Equity Investments--Class C 4,591 638
UBS PACE Alternative Strategies Investments--Class A 1,635 30,194
UBS PACE Alternative Strategies Investments--Class B 3 --
UBS PACE Alternative Strategies Investments--Class C 232 --
</Table>
REDEMPTION FEES
UBS PACE High Yield Investments, UBS PACE International Equity Investments, UBS
PACE International Emerging Markets Equity Investments and UBS PACE Alternative
Strategies Investments charge a 1.00% redemption fee if you sell or exchange
Class A shares or sell Class Y shares less than 90 days after you
244
<Page>
purchase them. This amount will be paid to the applicable Portfolio not to UBS
Global AM-US. For the year ended July 31, 2006 redemption fees paid to UBS PACE
High Yield Investments, UBS PACE International Equity Investments, UBS PACE
International Emerging Markets Equity Investments and UBS PACE Alternative
Strategies Investments were $0, $1,045, $13,890 and $0, respectively.
TRANSFER AGENCY AND RELATED SERVICES FEES
UBS Financial Services Inc. provides transfer agency related services to the
Portfolios pursuant to a delegation of authority from PFPC Inc. ("PFPC"), the
Portfolios' transfer agent, and was compensated for these services by PFPC, not
the Portfolios.
For the period ended July 31, 2006, UBS Financial Services Inc. received from
PFPC, not the Portfolios, total transfer agency related services fees as
follows:
TRANSFER AGENCY
RELATED SERVICES
PORTFOLIO FEES EARNED
- -----------------------------------------------------------------------------
UBS PACE Money Market Investments $595,700
UBS PACE Government Securities Fixed Income Investments 388,106
UBS PACE Intermediate Fixed Income Investments 214,478
UBS PACE Strategic Fixed Income Investments 472,491
UBS PACE Municipal Fixed Income Investments 93,010
UBS PACE Global Fixed Income Investments 571,004
UBS PACE High Yield Investments 2,419
UBS PACE Large Co Value Equity Investments 755,563
UBS PACE Large Co Growth Equity Investments 643,896
UBS PACE Small/Medium Co Value Equity Investments 583,965
UBS PACE Small/Medium Co Growth Equity Investments 588,402
UBS PACE International Equity Investments 607,541
UBS PACE International Emerging Markets Equity Investments 512,011
UBS PACE Alternative Strategies Investments 4,543
For the period ended July 31, 2006, each Portfolio accrued transfer agency and
related services fees payable to PFPC on each class as follows:
<Table>
<Caption>
TRANSFER AGENCY
AND RELATED
PORTFOLIO SERVICES FEES
- ----------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Investments--Class A $133,652
UBS PACE Government Securities Fixed Income Investments--Class B 3,834
UBS PACE Government Securities Fixed Income Investments--Class C 60,186
UBS PACE Government Securities Fixed Income Investments--Class Y 2,336
UBS PACE Government Securities Fixed Income Investments--Class P 505,742
UBS PACE Intermediate Fixed Income Investments--Class A 89,811
UBS PACE Intermediate Fixed Income Investments--Class B 1,645
UBS PACE Intermediate Fixed Income Investments--Class C 7,904
UBS PACE Intermediate Fixed Income Investments--Class Y 1,194
UBS PACE Intermediate Fixed Income Investments--Class P 296,479
UBS PACE Strategic Fixed Income Investments--Class A 26,237
UBS PACE Strategic Fixed Income Investments--Class B 2,308
UBS PACE Strategic Fixed Income Investments--Class C 8,198
UBS PACE Strategic Fixed Income Investments--Class Y 326
UBS PACE Strategic Fixed Income Investments--Class P 785,830
</Table>
245
<Page>
<Table>
<Caption>
TRANSFER AGENCY
AND RELATED
PORTFOLIO SERVICES FEES
- -------------------------------------------------------------------------------------
UBS PACE Municipal Fixed Income Investments--Class A $ 51,297
UBS PACE Municipal Fixed Income Investments--Class B 902
UBS PACE Municipal Fixed Income Investments--Class C 10,912
UBS PACE Municipal Fixed Income Investments--Class Y 188
UBS PACE Municipal Fixed Income Investments--Class P 115,815
UBS PACE Global Fixed Income Investments--Class A 187,262
UBS PACE Global Fixed Income Investments--Class B 1,732
UBS PACE Global Fixed Income Investments--Class C 10,956
UBS PACE Global Fixed Income Investments--Class Y 1,695
UBS PACE Global Fixed Income Investments--Class P 819,450
UBS PACE High Yield Investments--Class A 59
UBS PACE High Yield Investments--Class Y 4
UBS PACE High Yield Investments--Class P 2,980
UBS PACE Large Co Value Equity Investments--Class A 308,004
UBS PACE Large Co Value Equity Investments--Class B 15,524
UBS PACE Large Co Value Equity Investments--Class C 53,759
UBS PACE Large Co Value Equity Investments--Class Y 3,073
UBS PACE Large Co Value Equity Investments--Class P 954,742
UBS PACE Large Co Growth Equity Investments--Class A 135,977
UBS PACE Large Co Growth Equity Investments--Class B 8,279
UBS PACE Large Co Growth Equity Investments--Class C 21,531
UBS PACE Large Co Growth Equity Investments--Class Y 1,067
UBS PACE Large Co Growth Equity Investments--Class P 945,377
UBS PACE Small/Medium Co Value Equity Investments--Class A 57,368
UBS PACE Small/Medium Co Value Equity Investments--Class B 5,326
UBS PACE Small/Medium Co Value Equity Investments--Class C 17,991
UBS PACE Small/Medium Co Value Equity Investments--Class Y 1,561
UBS PACE Small/Medium Co Value Equity Investments--Class P 911,870
UBS PACE Small/Medium Co Growth Equity Investments--Class A 76,321
UBS PACE Small/Medium Co Growth Equity Investments--Class B 4,100
UBS PACE Small/Medium Co Growth Equity Investments--Class C 13,626
UBS PACE Small/Medium Co Growth Equity Investments--Class Y 645
UBS PACE Small/Medium Co Growth Equity Investments--Class P 910,757
UBS PACE International Equity Investments--Class A 142,514
UBS PACE International Equity Investments--Class B 2,605
UBS PACE International Equity Investments--Class C 16,680
UBS PACE International Equity Investments--Class Y 3,268
UBS PACE International Equity Investments--Class P 891,564
UBS PACE International Emerging Markets Equity Investments--Class A 30,891
UBS PACE International Emerging Markets Equity Investments--Class B 1,377
UBS PACE International Emerging Markets Equity Investments--Class C 9,014
UBS PACE International Emerging Markets Equity Investments--Class Y 2,625
UBS PACE International Emerging Markets Equity Investments--Class P 826,114
</Table>
246
<Page>
TRANSFER AGENCY
AND RELATED
PORTFOLIO SERVICES FEES
- ----------------------------------------------------------------------
UBS PACE Alternative Strategies Investments--Class A $1,456
UBS PACE Alternative Strategies Investments--Class B 4
UBS PACE Alternative Strategies Investments--Class C 90
UBS PACE Alternative Strategies Investments--Class Y 7
UBS PACE Alternative Strategies Investments--Class P 4,184
SECURITIES LENDING
Each Portfolio may lend securities up to 331/3% of its total assets to qualified
broker-dealers or institutional investors. The loans are secured at all times by
cash, US government securities or irrevocable letters of credit in an amount at
least equal to the market value of the securities loaned, plus accrued interest
and dividends, determined on a daily basis and adjusted accordingly. The
Portfolio will regain ownership of loaned securities to exercise certain
beneficial rights; however, each Portfolio may bear the risk of delay in
recovery of, or even loss of rights in, the securities loaned should the
borrower fail financially. Each Portfolio receives compensation for lending its
securities from interest or dividends earned on the cash, US government
securities or irrevocable letters of credit held as collateral, net of fee
rebates paid to the borrower plus reasonable administrative and custody fees.
UBS Financial Services Inc., an indirect wholly owned subsidiary of UBS AG, and
other affiliated broker-dealers have been approved as borrowers under the
Portfolios' securities lending program. UBS Securities LLC is each Portfolio's
lending agent.
For the period ended July 31, 2006, UBS Securities LLC earned compensation from
certain Portfolios as the Portfolios' lending agent as follows:
PORTFOLIO COMPENSATION
- -------------------------------------------------------------------------
UBS PACE Intermediate Fixed Income Investments $ 12,882
UBS PACE Strategic Fixed Income Investments 6,044
UBS PACE Global Fixed Income Investments 5,834
UBS PACE High Yield Investments 436
UBS PACE Large Co Value Equity Investments 29,999
UBS PACE Large Co Growth Equity Investments 93,583
UBS PACE Small/Medium Co Value Equity Investments 36,385
UBS PACE Small/Medium Co Growth Equity Investments 72,130
UBS PACE International Equity Investments 159,214
UBS PACE International Emerging Markets Equity Investments 48,059
At July 31, 2006, certain Portfolios owed UBS Securities LLC compensation as the
Portfolios' lending agent as follows:
PORTFOLIO AMOUNTS OWED
- -------------------------------------------------------------------------
UBS PACE Intermediate Fixed Income Investments $ 342
UBS PACE Strategic Fixed Income Investments 107
UBS PACE High Yield Investments 209
UBS PACE Large Co Value Equity Investments 4,332
UBS PACE Large Co Growth Equity Investments 5,051
UBS PACE Small/Medium Co Value Equity Investments 3,052
UBS PACE Small/Medium Co Growth Equity Investments 6,926
UBS PACE International Equity Investments 3,453
UBS PACE International Emerging Markets Equity Investments 3,402
247
<Page>
At July 31, 2006 UBS PACE Intermediate Fixed Income Investments and UBS PACE
Large Co Growth Equity Investments had securities on loan having a market value
of $15,069,419 and $111,827,132, respectively. The custodian for UBS PACE
Intermediate Fixed Income Investments and UBS PACE Large Co Growth Equity
Investments held cash and cash equivalents as collateral for securities loaned
of $10,543,364 and $115,090,420, respectively. In addition UBS PACE Intermediate
Fixed Income Investments and UBS PACE Large Co Growth Equity Investments held US
Government and agency securities having an aggregate value of $5,094,492 and
$823,817, respectively as collateral for portfolio securities loaned as follows:
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ------------------------------------------------------------------------------------
UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
$5,375 Federal National Mortgage Association 03/16/19 3.125% $5,094,492
UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
$423 US Treasury Bond 05/15/17 8.750% $ 559,000
200 US Treasury Bond 02/15/25 7.625 264,817
$ 823,817
</Table>
BANK LINE OF CREDIT
Each Portfolio, other than UBS PACE Money Market Investments, UBS PACE Large Co
Value Equity Investments, UBS PACE Large Co Growth Equity Investments and UBS
PACE Alternative Strategies Investments, participates with other funds managed,
advised or sub-advised by UBS Global AM-Americas in a $100 million committed
credit facility with State Street Bank and Trust Company ("Committed Credit
Facility"), to be utilized for temporary financing until the settlement of sales
or purchases of portfolio securities, the repurchase or redemption of shares of
each Portfolio at the request of shareholders and other temporary or emergency
purposes. Under the Committed Credit Facility arrangement, each Portfolio has
agreed to pay commitment fees, pro rata, based on the relative asset size of the
funds in the Committed Credit Facility. Interest is charged to each Portfolio at
the overnight federal funds rate in effect at the time of borrowings, plus
0.50%. For the year ended July 31, 2006, the following Portfolios had
borrowings:
<Table>
<Caption>
AVERAGE DAILY WEIGHTED AVERAGE
AMOUNT OF BORROWING DAYS ANNUALIZED INTEREST
PORTFOLIO OUTSTANDING OUTSTANDING INTEREST RATE EXPENSE
- ----------------------------------------------------------------------------------------------------------------------------
UBS PACE Small/Medium Co. Value Equity Investments $1,030,505 5 5.030% $ 720
UBS PACE International Equity Investments 3,472,247 7 5.560 3,754
UBS PACE International Emerging Markets Equity Investments 1,677,921 43 5.320 10,662
</Table>
UBS PACE Large Co Value Equity Investments and UBS PACE Large Co Growth Equity
Investments participate with funds advised by UBS Global AM-Americas, in a $50
million committed credit facility with JPMorgan Chase Bank ("JPMorgan Chase Bank
Facility"), to be utilized for temporary financing until the settlement of sales
or purchases of portfolio securities, the repurchase or redemption of shares of
each Portfolio at the request of shareholders and other temporary or emergency
purposes. Under the JPMorgan Chase Bank Facility arrangement, each Portfolio has
agreed to pay commitment fees, pro rata, based on the relative asset size of the
funds in the JPMorgan Chase Bank Facility. Interest will be charged to each
Portfolio at the overnight federal funds rate in effect at the time of
borrowings, plus 0.50%. For the year ended July 31, 2006, none of the Portfolios
borrowed under the JPMorgan Chase Bank Facility. Effective September 12, 2006
the amount of the committed credit facility increased from $50 million to $75
million. Also, UBS PACE Alternative Strategies Investments was added to the $75
million credit facility with JPMorgan Chase Bank.
248
<Page>
PURCHASES AND SALES OF SECURITIES
For the period ended July 31, 2006, aggregate purchases and sales of portfolio
securities, excluding short-term securities and US government and agency
securities, were as follows:
<Table>
<Caption>
PORTFOLIO PURCHASES SALES
- --------------------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Investments $ 33,298,343 $ 30,535,432
UBS PACE Intermediate Fixed Income Investments 184,051,828 136,833,933
UBS PACE Strategic Fixed Income Investments 192,725,963 99,322,536
UBS PACE Municipal Fixed Income Investments 76,629,765 66,813,449
UBS PACE Global Fixed Income Investments 516,332,055 467,945,244
UBS PACE High Yield Investments 14,074,942 3,757,124
UBS PACE Large Co Value Equity Investments 1,338,117,910 1,242,781,295
UBS PACE Large Co Growth Equity Investments 764,817,928 622,127,600
UBS PACE Small/Medium Co Value Equity Investments 389,613,667 358,279,875
UBS PACE Small/Medium Co Growth Equity Investments 583,673,141 576,589,602
UBS PACE International Equity Investments 601,996,400 482,236,042
UBS PACE International Emerging Markets Equity Investments 265,842,884 239,273,998
UBS PACE Alternative Strategies Investments 57,387,959 25,299,660
</Table>
For the period ended July 31, 2006, aggregate purchases and sales of US
government and agency securities, excluding short-term securities, were as
follows:
<Table>
<Caption>
PORTFOLIO PURCHASES SALES
- --------------------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Investments $3,802,720,385 $3,718,876,099
UBS PACE Intermediate Fixed Income Investments 1,326,709,475 1,296,265,027
UBS PACE Strategic Fixed Income Investments 753,606,390 803,971,502
UBS PACE Global Fixed Income Investments 232,730,719 315,022,415
UBS PACE Large Co Value Equity Investments 1,092,540 6,623,152
UBS PACE Large Co Growth Equity Investments 736,277 3,427,312
UBS PACE Alternative Strategies Investments 129,590 60,347
</Table>
COMMISSION RECAPTURE PROGRAM
Effective November 1, 2005, the Board approved a brokerage commission recapture
program for the following Portfolios: UBS PACE Large Co Value Equity
Investments, UBS PACE Large Co Growth Equity Investments, UBS PACE Small/Medium
Co Value Equity Investments, UBS PACE Small/Medium Co Growth Equity Investments,
UBS PACE International Equity Investments and UBS PACE International Emerging
Markets Equity Investments. These Portfolios have established commission
recapture arrangements with certain participating brokers or dealers. If a
Portfolio's investment sub-advisor chooses to execute a transaction through a
participating broker, the broker will rebate a portion of the commission back to
the Portfolio. Any collateral benefit received through participation in the
commission recapture program is directed exclusively to the Portfolio. The
recaptured commissions are reflected on the Statement of Operations within the
net realized and unrealized gains (losses) on investment activities.
FEDERAL TAX STATUS
Each of the Portfolios intends to distribute substantially all of its income and
to comply with the other requirements of the Internal Revenue Code applicable to
regulated investment companies. Accordingly, no provision for federal income
taxes is required. In addition, by distributing during each calendar year
substantially all of its net investment income, net realized capital gains and
certain other amounts, if any, each Portfolio intends not to be subject to a
federal excise tax.
249
<Page>
The tax character of distributions paid during the fiscal years ended July 31,
2006 and July 31, 2005 were as follows:
<Table>
<Caption>
2006 2005
---------------------------------------------------- ----------------------------------------
LONG TERM LONG TERM
TAX-EXEMPT ORDINARY REALIZED RETURN OF TAX-EXEMPT ORDINARY REALIZED
PORTFOLIO INCOME INCOME CAPITAL GAINS CAPITAL INCOME INCOME CAPITAL GAINS
- -----------------------------------------------------------------------------------------------------------------------------------
UBS PACE Money Market Investments -- $11,179,756 -- -- -- $ 3,634,028 --
UBS PACE Government Securities
Fixed Income Investments -- 28,579,154 $ 187,751 -- -- 13,853,104 --
UBS PACE Intermediate Fixed
Income Investments -- 14,632,927 -- -- -- 12,091,786 --
UBS PACE Strategic Fixed Income
Investments -- 24,484,680 -- $895,276 -- 18,253,107 $ 6,785,774
UBS PACE Municipal Fixed Income
Investments $8,175,630 10,739 -- -- $8,042,174 13,371 --
UBS PACE Global Fixed Income
Investments -- 27,895,802 2,720,107 -- -- 25,076,528 713,584
UBS PACE High Yield Investments -- 212,454 -- -- -- -- --
UBS PACE Large Co Value Equity
Investments -- 14,161,572 28,679,733 -- -- 12,718,790 --
UBS PACE Large Co Growth Equity
Investments -- 1,015,518 -- -- -- -- --
UBS PACE Small/Medium Co Value
Equity Investments -- 5,242,333 74,732,806 -- -- -- 36,913,537
UBS PACE Small/Medium Co Growth
Equity Investments -- 7,275,452 51,909,703 -- -- -- 1,481,531
UBS PACE International Equity
Investments -- 14,618,152 -- -- -- 4,533,890 --
UBS PACE International Emerging
Markets Equity Investments -- 2,405,052 -- -- -- 167,545 --
</Table>
At July 31, 2006, the components of accumulated earnings (deficit) on a tax
basis were as follows:
<Table>
<Caption>
ACCUMULATED
UNDISTRIBUTED REALIZED
UNDISTRIBUTED LONG-TERM CAPITAL AND UNREALIZED
ORDINARY CAPITAL OTHER APPRECIATION
PORTFOLIO INCOME GAINS LOSSES (DEPRECIATION) TOTAL
- --------------------------------------------------------------------------------------------------------------------
UBS PACE Money Market Investments $ 647,312 -- $ (610) -- $ 646,702
UBS PACE Government Securities Fixed
Income Investments 91,442 -- (9,321,360) $ (7,020,046) (16,249,964)
UBS PACE Intermediate Fixed Income
Investments 183,918 -- (46,857,955) (5,007,822) (51,681,859)
UBS PACE Strategic Fixed Income
Investments -- -- (14,412,374) (7,690,336) (22,102,710)
UBS PACE Municipal Fixed Income
Investments 1,184 -- (2,728,413) (164,863) (2,892,092)
UBS PACE Global Fixed Income
Investments -- -- (6,332,265) 3,605,402 (2,726,863)
UBS PACE High Yield Investments 1,980 -- (37,499) (166,231) (201,750)
UBS PACE Large Co Value Equity
Investments 40,040,841 $118,842,100 -- 148,282,533 307,165,474
UBS PACE Large Co Growth Equity
Investments 828,584 -- (105,450,236) 61,136,809 (43,484,843)
UBS PACE Small/Medium Co Value
Equity Investments -- 9,691,643 -- 26,861,998 36,553,641
</Table>
250
<Page>
<Table>
<Caption>
ACCUMULATED
UNDISTRIBUTED REALIZED
UNDISTRIBUTED LONG-TERM CAPITAL AND UNREALIZED
ORDINARY CAPITAL OTHER APPRECIATION
PORTFOLIO INCOME GAINS LOSSES (DEPRECIATION) TOTAL
- ---------------------------------------------------------------------------------------------------------------------
UBS PACE Small/Medium Co Growth Equity
Investments -- $11,632,319 -- $ 18,917,568 $ 30,549,887
UBS PACE International Equity
Investments $17,728,477 68,873,542 $(495,539) 164,315,612 250,422,092
UBS PACE International Emerging Markets
Equity Investments 17,245,389 29,128,013 (141,467) 38,767,311 84,999,246
UBS PACE Alternative Strategies
Investments 250,763 -- (311,525) (166,595) (227,357)
</Table>
At July 31, 2006, the following Portfolios had net capital loss carryforwards
available as reductions, to the extent provided in the regulations, of future
net realized gains. These losses expire as follows:
<Table>
<Caption>
UBS PACE
GOVERNMENT UBS PACE UBS PACE UBS PACE UBS PACE
UBS PACE SECURITIES INTERMEDIATE STRATEGIC MUNICIPAL UBS PACE LARGE CO UBS PACE
ISCAL MONEY FIXED FIXED FIXED FIXED HIGH GROWTH ALTERNATIVE
YEAR MARKET INCOME INCOME INCOME INCOME YIELD EQUITY STRATEGIES
ENDING INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------------
2006 -- -- -- -- -- -- -- --
2007 $161 -- $19,243,361 $3,237,458 -- -- -- --
2008 -- -- 3,620,638 -- $1,519,395 -- -- --
2009 -- -- -- -- -- -- -- --
2010 -- -- -- -- -- -- -- --
2011 -- -- 9,353,216 -- -- -- $105,450,236 --
2012 -- -- 7,849,781 -- -- -- -- --
2013 -- -- -- -- -- -- -- --
2014 272 $754,479 3,023,333 4,672,538 -- $37,499 -- $311,525
- ------------------------------------------------------------------------------------------------------------------------
Total $433 $754,479 $43,090,329 $7,909,996 $1,519,395 $37,499 $105,450,236 $311,525
========================================================================================================================
</Table>
During the fiscal year, the following Portfolios utilized capital loss
carryforwards to offset current year realized gains:
CAPITAL LOSS
CARRYFORWARDS
PORTFOLIO UTILIZED
- -----------------------------------------------------------
UBS PACE Municipal Fixed Income Investments $ 179,275
UBS PACE Large Co Value Equity Investments 13,004,616
UBS PACE Large Co Growth Equity Investments 65,854,731
UBS PACE International Equity Investments 43,798,411
UBS PACE International Emerging Markets
Equity Investments 5,417,228
251
<Page>
In accordance with US Treasury regulations, the following Portfolios have
elected to defer realized capital losses, foreign currency losses and passive
foreign investment company losses ("PFIC") arising after October 31, 2005. Such
losses are treated for tax purposes as arising on August 1, 2006:
<Table>
<Caption>
FOREIGN
CAPITAL CURRENCY PFIC
PORTFOLIO LOSSES LOSSES LOSSES
- --------------------------------------------------------------------------------------------
UBS PACE Money Market Investments $ 177 -- --
UBS PACE Government Securities Fixed Income Investments 8,566,881 -- --
UBS PACE Intermediate Fixed Income Investments 3,767,626 -- --
UBS PACE Strategic Fixed Income Investments 6,502,378 -- --
UBS PACE Municipal Fixed Income Investments 1,209,018 -- --
UBS PACE Global Fixed Income Investments 5,047,351 $697,526 --
UBS PACE International Equity Investments -- 409,104 $86,435
UBS PACE International Emerging Markets Equity Investments -- 141,467 --
</Table>
For federal income tax purposes the tax cost of investments and the components
of net unrealized appreciation (depreciation) of investments at July 31, 2006
were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
TAX COST OF UNREALIZED UNREALIZED APPRECIATION
PORTFOLIO INVESTMENTS APPRECIATION DEPRECIATION (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------------------
UBS PACE Money Market Investments $ 343,023,902 -- -- --
UBS PACE Government Securities Fixed Income Investments 764,706,351 $ 2,846,640 $(10,506,124) $ (7,659,484)
UBS PACE Intermediate Fixed Income Investments 484,751,562 575,097 (5,686,342) (5,111,245)
UBS PACE Strategic Fixed Income Investments 593,844,119 3,180,985 (10,513,712) (7,332,727)
UBS PACE Municipal Fixed Income Investments 257,262,001 2,222,186 (2,387,049) (164,863)
UBS PACE Global Fixed Income Investments 467,992,384 9,114,400 (5,915,191) 3,199,209
UBS PACE High Yield Investments 12,350,180 46,798 (215,355) (168,557)
UBS PACE Large Co Value Equity Investments 1,528,992,312 169,387,640 (21,105,107) 148,282,533
UBS PACE Large Co Growth Equity Investments 1,119,251,115 114,691,723 (53,554,914) 61,136,809
UBS PACE Small/Medium Co Value Equity Investments 524,878,160 60,298,832 (33,436,834) 26,861,998
UBS PACE Small/Medium Co Growth Equity Investments 502,105,301 51,702,530 (32,784,962) 18,917,568
UBS PACE International Equity Investments 989,352,588 182,900,637 (18,767,074) 164,133,563
UBS PACE International Emerging Markets Equity Investments 287,628,466 49,508,296 (10,667,831) 38,840,465
UBS PACE Alternative Strategies Investments 57,299,897 980,923 (1,701,807) (720,884)
</Table>
252
<Page>
At July 31, 2006, the effect of permanent "book/tax" reclassifications resulted
in increases and decreases to components of the Portfolios' net assets as
follows:
<Table>
<Caption>
ACCUMULATED ACCUMULATED
NET INVESTMENT NET REALIZED BENEFICIAL
PORTFOLIO INCOME/LOSS GAIN/LOSS INTEREST
- -------------------------------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Investments $ 880,747 $ (880,747) --
UBS PACE Intermediate Fixed Income Investments 104,794 (104,794) --
UBS PACE Strategic Fixed Income Investments (2,500,283) 3,395,559 $ (895,276)
UBS PACE Global Fixed Income Investments (2,739,295) 2,795,429 (56,134)
UBS PACE High Yield Investments 981 (981) --
UBS PACE Large Co Value Equity Investments 166 (166) --
UBS PACE Large Co Growth Equity Investments 238 (238) --
UBS PACE Small/Medium Co Value Equity Investments 320,403 (73,548) (246,855)
UBS PACE Small/Medium Co Growth Equity Investments 2,809,694 (2,809,694) --
UBS PACE International Equity Investments 397,079 (397,079) --
UBS PACE International Emerging Markets Equity Investments (335,623) 335,623 --
UBS PACE Alternative Strategies Investments (41,093) 41,093 --
</Table>
These differences are primarily due to tax treatment of foreign currency and
futures transactions, net operating losses, paydown gains and losses,
distributions in excess of net investment income, disposition of PFIC
investments, swap adjustments, tax return of capital and adjustments for certain
debt obligations.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Portfolios' tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48, and its impact on the financial
statements has not yet been determined.
253
<Page>
SHARES OF BENEFICIAL INTEREST
There is an unlimited amount of $0.001 par value shares of beneficial interest
authorized. Transactions in shares of beneficial interest for each of the
Portfolios, except UBS PACE Money Market Investments, about which similar
information is provided in the Statement of changes in net assets, were as
follows:
UBS PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 119,930 $ 1,541,052 6,877 $ 89,990 9,740 $ 124,745
Shares repurchased (2,193,158) (28,268,978) (53,936) (695,900) (481,288) (6,214,052)
Shares converted from Class B to Class A 66,135 857,342 (66,135) (857,342) -- --
Dividends reinvested 363,468 4,676,245 7,817 100,712 102,071 1,314,160
Net decrease (1,643,625) $(21,194,339) (105,377) $(1,362,540) (369,477) $(4,775,147)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 56,979 $ 734,234 10,488,906 $135,195,237
Shares repurchased (194,684) (2,506,140) (5,872,595) (75,620,212)
Dividends reinvested 40,052 515,657 1,503,288 19,327,381
Net increase (decrease) (97,653) $(1,256,249) 6,119,599 $ 78,902,406
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 240,905 $ 3,196,768 12,070 $ 159,555 16,006 $ 212,204
Shares repurchased (2,187,606) (28,947,549) (130,237) (1,723,279) (507,096) (6,716,124)
Shares converted from Class B to Class A 205,408 2,713,937 (205,408) (2,713,937) -- --
Dividends reinvested 206,517 2,732,966 5,889 77,950 51,924 687,575
Net decrease (1,534,776) $(20,303,878) (317,686) $(4,199,711) (439,166) $(5,816,345)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 106,763 $ 1,414,427 8,665,864 $114,811,908
Shares repurchased (167,064) (2,211,297) (4,539,551) (60,123,344)
Dividends reinvested 22,900 303,063 631,549 8,360,228
Net increase (decrease) (37,401) $ (493,807) 4,757,862 $ 63,048,792
</Table>
254
<Page>
UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 144,344 $ 1,634,312 70 $ 785 16,431 $ 186,675
Shares repurchased (1,608,717) (18,243,585) (13,718) (155,416) (227,310) (2,579,489)
Shares converted from Class B to Class A 58,434 663,974 (58,327) (663,974) -- --
Dividends reinvested 135,952 1,539,224 1,242 14,117 10,369 117,585
Net decrease (1,269,987) $(14,406,075) (70,733) $(804,488) (200,510) $(2,275,229)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 32,822 $ 371,976 10,698,506 $121,374,286
Shares repurchased (37,806) (429,209) (8,383,191) (95,003,494)
Dividends reinvested 3,434 38,888 1,050,386 11,891,501
Net increase (decrease) (1,550) $ (18,345) 3,365,701 $ 38,262,293
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 145,415 $ 1,683,948 7,980 92,835 122,415 $ 1,421,230
Shares repurchased (1,803,042) (20,853,484) (81,133) (940,154) (295,408) (3,420,813)
Shares converted from Class B to Class A 212,304 2,457,451 (212,022) (2,457,451) -- --
Dividends reinvested 147,589 1,705,775 3,673 42,600 12,260 141,912
Net decrease (1,297,734) $(15,006,310) (281,502) $(3,262,170) (160,733) $(1,857,671)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 24,593 $ 284,804 10,515,412 $121,609,951
Shares repurchased (39,334) (454,827) (6,656,590) (77,041,220)
Dividends reinvested 3,376 39,036 789,224 9,119,897
Net increase (decrease) (11,365) $(130,987) 4,648,046 $ 53,688,628
</Table>
255
<Page>
UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
---------------------- --------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 245,115 $ 3,295,291 2,478 $ 33,312 17,839 $ 241,745
Shares repurchased (477,132) (6,423,257) (20,214) (275,864) (144,787) (1,954,494)
Shares converted from Class B to Class A 58,725 805,296 (58,740) (805,296) -- --
Dividends reinvested 60,755 819,199 2,573 34,801 18,302 246,924
Net decrease (112,537) $(1,503,471) (73,903) $(1,013,047) (108,646) $(1,465,825)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 35,268 $ 475,173 15,053,005 $202,816,935
Shares repurchased (53,564) (719,561) (7,062,349) (95,033,698)
Dividends reinvested 3,211 43,316 1,758,547 23,655,079
Net increase (decrease) (15,085) $(201,072) 9,749,203 $131,438,316
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
---------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 259,448 $ 3,627,280 13,622 $ 189,336 12,382 $ 173,278
Shares repurchased (590,864) (8,262,922) (77,946) (1,089,750) (101,174) (1,417,727)
Shares converted from Class B to Class A 162,313 2,264,103 (162,388) (2,264,103) -- --
Dividends reinvested 73,892 1,028,986 9,451 131,517 25,348 352,832
Net decrease (95,211) $(1,342,553) (217,261) $(3,033,000) (63,444) $ (891,617)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 56,004 $ 782,946 11,528,532 $ 161,081,638
Shares repurchased (28,134) (392,683) (7,251,291) (100,855,720)
Dividends reinvested 3,239 45,055 1,636,913 22,780,244
Net increase 31,109 $ 435,318 5,914,154 $ 83,006,162
</Table>
256
<Page>
UBS PACE MUNICIPAL FIXED INCOME INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 188,769 $ 2,329,335 4,662 $ 57,964 11,097 $ 136,271
Shares repurchased (1,584,062) (19,592,475) (81,648) (1,013,255) (338,225) (4,177,074)
Shares converted from Class B to Class A 57,785 714,611 (57,765) (714,611) -- --
Dividends reinvested 186,656 2,305,611 1,611 19,953 33,062 408,429
Net decrease (1,150,852) $(14,242,918) (133,140) $(1,649,949) (294,066) $(3,632,374)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
----------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 8 $ 95 4,309,033 $ 53,238,726
Shares repurchased (786) (9,734) (2,166,439) (26,786,468)
Dividends reinvested 256 3,165 330,686 4,081,548
Net increase (decrease) (522) $(6,474) 2,473,280 $ 30,533,806
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 184,806 $ 2,333,285 7,648 $ 96,838 8,468 $ 107,288
Shares repurchased (1,765,519) (22,295,464) (88,323) (1,114,684) (347,520) (4,385,586)
Shares converted from Class B to Class A 96,378 1,215,210 (96,366) (1,215,210) -- --
Dividends reinvested 213,046 2,688,917 3,358 42,444 37,894 478,372
Net decrease (1,271,289) $(16,058,052) (173,683) $(2,190,612) (301,158) $(3,799,926)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
----------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 18 $ 231 3,274,677 $ 41,365,991
Shares repurchased (1,340) (16,963) (2,097,752) (26,511,581)
Dividends reinvested 295 3,725 263,129 3,319,688
Net increase (decrease) (1,027) $(13,007) 1,440,054 $ 18,174,098
</Table>
257
<Page>
UBS PACE GLOBAL FIXED INCOME INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- -------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 384,370 $ 4,334,016 4,197 $ 48,867 38,437 $ 437,093
Shares repurchased (2,200,009) (24,934,708) (22,590) (253,820) (147,790) (1,667,050)
Shares converted from Class B to Class A 30,391 333,149 (29,598) (333,149) -- --
Dividends reinvested 586,170 6,526,303 3,175 35,374 35,870 398,917
Net decrease (1,199,078) $(13,741,240) (44,816) $(502,728) (73,483) $ (831,040)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 74,327 $ 832,061 11,202,280 $126,668,790
Shares repurchased (281,401) (3,175,093) (5,168,419) (58,423,754)
Dividends reinvested 49,346 549,341 1,837,524 20,451,700
Net increase (decrease) (157,728) $(1,793,691) 7,871,385 $ 88,696,736
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 225,024 $ 2,745,706 7,353 $ 89,537 73,884 $ 905,666
Shares repurchased (2,127,576) (25,994,815) (37,812) (457,120) (107,392) (1,312,955)
Shares converted from Class B to Class A 12,406 151,246 (12,385) (151,246) -- --
Dividends reinvested 564,268 6,963,736 3,740 46,325 30,887 381,495
Net decrease (1,325,878) $(16,134,127) (39,104) $(472,504) (2,621) $ (25,794)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 94,818 $ 1,163,420 8,613,309 $105,149,283
Shares repurchased (178,850) (2,170,550) (3,785,099) (46,217,734)
Dividends reinvested 49,769 613,403 1,196,101 14,744,027
Net increase (decrease) (34,263) $ (393,727) 6,024,311 $ 73,675,576
</Table>
258
<Page>
UBS PACE HIGH YIELD INVESTMENTS
FOR THE PERIOD ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A (a) CLASS Y (b) CLASS P (c)
----------------- ------------------------ -----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 35,047 $344,952 1,000,000 $10,000,361 1,138,080 $11,171,913
Shares repurchased (99) (968) (1,012,429) (9,925,339) (15,510) (151,780)
Dividends reinvested 201 1,960 12,429 122,377 8,845 86,395
Net increase 35,149 $345,944 -- $ 197,399 1,131,415 $11,106,528
</Table>
(a) For the period May 1, 2006 (commencement of issuance) through July 31,
2006.
(b) For the period April 3, 2006 (commencement of issuance) through July 24,
2006.
(c) For the period April 10, 2006 (commencement of issuance) through July 31,
2006.
UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 298,811 $ 6,412,644 8,552 $ 184,505 25,853 $ 551,145
Shares repurchased (2,598,811) (55,492,178) (75,526) (1,602,926) (381,789) (8,102,680)
Shares converted from
Class B to Class A 116,905 2,468,395 (117,027) (2,468,395) -- --
Dividends reinvested 408,766 8,539,044 5,820 122,164 38,531 806,834
Net decrease (1,774,329) $(38,072,095) (178,181) $(3,764,652) (317,405) $(6,744,701)
</Table>
CLASS Y CLASS P
---------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 169,473 $ 3,664,657 14,281,941 $ 306,076,290
Shares repurchased (341,642) (7,358,722) (8,123,091) (174,275,988)
Dividends reinvested 67,344 1,409,511 1,464,350 30,590,279
Net increase (decrease) (104,825) $(2,284,554) 7,623,200 $ 162,390,581
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 237,169 $ 4,518,236 18,861 $ 360,045 34,191 $ 650,755
Shares repurchased (3,635,348) (69,095,333) (214,846) (4,023,485) (472,818) (8,931,212)
Shares converted from
Class B to Class A 717,005 13,504,079 (718,811) (13,504,079) -- --
Dividends reinvested 157,944 3,021,455 -- -- 4,610 88,379
Net decrease (2,523,230) $(48,051,563) (914,796) $(17,167,519) (434,017) $(8,192,078)
</Table>
CLASS Y CLASS P
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 209,247 $ 4,027,746 13,233,106 $ 253,338,377
Shares repurchased (326,471) (6,183,235) (7,213,855) (137,596,589)
Dividends reinvested 26,899 515,123 452,878 8,659,028
Net increase (decrease) (90,325) $(1,640,366) 6,472,129 $ 124,400,816
259
<Page>
UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 367,264 $ 5,968,036 6,255 $ 97,390 24,651 $ 382,048
Shares repurchased (1,248,657) (20,117,497) (35,441) (542,060) (172,510) (2,667,738)
Shares converted from
Class B to Class A 80,059 1,287,253 (83,381) (1,287,253) -- --
Net decrease (801,334) $(12,862,208) (112,567) $(1,731,923) (147,859) $(2,285,690)
</Table>
CLASS Y CLASS P
---------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 179,452 $ 2,959,772 19,306,063 $ 315,893,240
Shares repurchased (324,418) (5,392,719) (8,913,379) (145,558,725)
Dividends reinvested 2,340 38,639 58,525 962,148
Net increase (decrease) (142,626) $(2,394,308) 10,451,209 $ 171,296,663
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 232,651 $ 3,403,013 7,926 $ 112,555 28,985 $ 411,639
Shares repurchased (1,674,724) (24,482,064) (103,152) (1,446,913) (226,619) (3,239,241)
Shares converted from
Class B to Class A 151,027 2,186,315 (156,001) (2,186,315) -- --
Net decrease (1,291,046) $(18,892,736) (251,227) $(3,520,673) (197,634) $(2,827,602)
</Table>
CLASS Y CLASS P
---------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 191,086 $ 2,848,767 17,006,259 $ 253,017,556
Shares repurchased (293,232) (4,297,181) (8,374,548) (123,862,841)
Net increase (decrease) (102,146) $(1,448,414) 8,631,711 $ 129,154,715
260
<Page>
UBS PACE SMALL/MEDIUM CO VALUE EQUITY INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
----------------------- --------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 176,973 $ 3,302,432 2,431 $ 41,745 18,816 $ 341,172
Shares repurchased (636,857) (12,011,649) (42,830) (780,734) (143,564) (2,596,404)
Shares converted from Class B to Class A 77,554 1,542,871 (81,018) (1,542,871) -- --
Dividends reinvested 516,462 8,919,301 28,265 464,391 147,996 2,436,018
Net increase (decrease) 134,132 $ 1,752,955 (93,152) $(1,817,469) 23,248 $ 180,786
</Table>
<Table>
<Caption>
CLASS Y CLASS P
--------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 67,834 $ 1,295,458 5,922,341 $113,337,362
Shares repurchased (92,594) (1,792,323) (3,928,219) (75,289,275)
Dividends reinvested 46,375 813,889 3,772,384 66,016,733
Net increase 21,615 $ 317,024 5,766,506 $104,064,820
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
----------------------- ---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 146,353 $ 3,026,191 31,123 $ 605,486 34,122 $ 689,414
Shares repurchased (556,214) (11,383,972) (81,082) (1,588,431) (121,732) (2,403,231)
Shares converted from Class B to Class A 114,676 2,339,460 (118,313) (2,339,460) -- --
Dividends reinvested 244,664 4,934,880 27,036 527,738 69,868 1,365,226
Net decrease (50,521) $ (1,083,441) (141,236) $(2,794,667) (17,742) $ (348,591)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
--------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 94,103 $ 1,956,643 4,461,851 $ 92,354,626
Shares repurchased (76,715) (1,567,364) (3,280,232) (67,719,519)
Dividends reinvested 19,175 390,589 1,425,562 29,010,207
Net increase 36,563 $ 779,868 2,607,181 $ 53,645,314
</Table>
261
<Page>
UBS PACE SMALL/MEDIUM CO GROWTH EQUITY INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
----------------------- ------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 186,722 $ 2,997,208 5,156 $ 79,675 36,244 $ 572,111
Shares repurchased (790,803) (12,675,151) (27,402) (417,208) (117,262) (1,797,998)
Shares converted from Class B to Class A 49,563 806,026 (51,891) (806,026) -- --
Dividends reinvested 489,892 7,206,309 11,359 159,136 75,965 1,068,066
Net decrease (64,626) $ (1,665,608) (62,778) $(984,423) (5,053) $ (157,821)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
--------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 117,708 $ 1,906,674 7,008,102 $113,350,724
Shares repurchased (92,125) (1,469,870) (4,526,925) (73,143,359)
Shares converted from Class B to Class A -- -- -- --
Dividends reinvested 36,383 543,931 3,293,145 49,133,736
Net increase 61,966 $ 980,735 5,774,322 $ 89,341,101
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- --------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 118,813 $ 1,868,161 20,426 $ 313,371 14,635 $ 220,203
Shares repurchased (1,021,850) (16,014,530) (58,745) (892,669) (169,665) (2,578,180)
Shares converted from Class B to Class A 54,193 843,088 (56,013) (843,088) -- --
Dividends reinvested 14,305 232,734 589 9,273 2,291 36,156
Net decrease (834,539) $(13,070,547) (93,743) $(1,413,113) (152,739) $(2,321,821)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 127,804 $ 2,048,643 5,695,228 $ 90,852,933
Shares repurchased (109,677) (1,719,002) (4,097,108) (64,805,997)
Dividends reinvested 823 13,539 70,515 1,159,269
Net increase 18,950 $ 343,180 1,668,635 $ 27,206,205
</Table>
262
<Page>
UBS PACE INTERNATIONAL EQUITY INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
----------------------- ------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 270,130 $ 4,838,446 8,490 $ 146,423 24,571 $ 424,129
Shares repurchased (794,492) (13,853,925) (10,150) (167,635) (123,358) (2,066,602)
Shares converted from Class B to Class A 13,374 232,277 (13,695) (232,277) -- --
Dividends reinvested 74,768 1,259,848 58 953 2,415 40,091
Net decrease (436,220) $ (7,523,354) (15,297) $(252,536) (96,372) $(1,602,382)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 355,967 $ 6,340,447 14,854,389 $ 260,606,682
Shares repurchased (519,152) (9,332,907) (8,675,219) (153,838,634)
Dividends reinvested 51,414 865,304 721,319 12,132,586
Net increase (decrease) (111,771) $(2,127,156) 6,900,489 $ 118,900,634
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
------------------------- ------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 208,491 $ 3,056,846 8,746 $ 124,528 44,799 $ 631,687
Shares repurchased (1,115,794) (16,162,878) (14,700) (209,809) (104,347) (1,482,780)
Shares converted from Class B to Class A 15,391 226,205 (15,731) (226,205) -- --
Dividends reinvested 25,177 372,620 -- -- -- --
Net decrease (866,735) $(12,507,207) (21,685) $(311,486) (59,548) $ (851,093)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
---------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 419,174 $ 6,185,638 14,243,186 $ 208,162,588
Shares repurchased (571,956) (8,253,189) (6,927,175) (100,746,533)
Dividends reinvested 24,728 365,478 250,802 3,704,345
Net increase (decrease) (128,054) $(1,702,073) 7,566,813 $ 111,120,400
</Table>
263
<Page>
UBS PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS
FOR THE YEAR ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A CLASS B CLASS C
---------------------- ------------------- ---------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 504,023 $ 9,028,037 13,457 $ 231,908 79,594 $ 1,382,483
Shares repurchased (456,144) (8,253,777) (7,947) (132,821) (85,983) (1,429,206)
Shares converted from Class B to Class A 22,391 380,107 (23,285) (380,107) -- --
Dividends reinvested 9,331 157,418 -- -- 518 8,446
Net increase (decrease) 79,601 $ 1,311,785 (17,775) $(281,020) (5,871) $ (38,277)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
----------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 759,791 $ 13,493,360 4,117,657 $ 73,243,262
Shares repurchased (629,821) (11,231,839) (3,249,872) (58,378,232)
Dividends reinvested 11,459 195,256 118,259 2,010,406
Net increase 141,429 $ 2,456,777 986,044 $ 16,875,436
</Table>
FOR THE YEAR ENDED JULY 31, 2005:
<Table>
<Caption>
CLASS A CLASS B CLASS C
---------------------- ------------------- -------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 201,368 $ 2,725,911 2,218 $ 29,682 17,564 $ 224,150
Shares repurchased (257,510) (3,294,141) (11,500) (147,232) (67,992) (858,524)
Shares converted from Class B to Class A 25,999 333,114 (26,895) (333,114) -- --
Dividends reinvested 54 706 -- -- -- --
Net decrease (30,089) $ (234,410) (36,177) $(450,664) (50,428) $(634,374)
</Table>
<Table>
<Caption>
CLASS Y CLASS P
--------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 666,527 $9,014,442 4,332,885 $ 57,358,706
Shares repurchased (190,073) (2,429,464) (2,335,253) (30,839,119)
Dividends reinvested 1,728 22,725 10,835 142,267
Net increase 478,182 $6,607,703 2,008,467 $ 26,661,854
</Table>
264
<Page>
UBS PACE ALTERNATIVE STRATEGIES INVESTMENTS
FOR THE PERIOD ENDED JULY 31, 2006:
<Table>
<Caption>
CLASS A (a) CLASS B (b) CLASS C (c)
------------------------ --------------- -----------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Shares sold 1,067,618 $ 10,487,126 305 $3,000 30,443 $305,060
Shares repurchased (21,099) (206,196) -- -- -- --
Net increase 1,046,519 $ 10,280,930 305 $3,000 30,443 $305,060
</Table>
<Table>
<Caption>
CLASS Y (d) CLASS P (a)
------------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
Shares sold 5,000,000 $ 50,000,164 4,809,469 $47,158,614
Shares repurchased (5,000,000) (49,019,007) (90,631) (883,290)
Net increase -- $ 981,157 4,718,838 $46,275,324
</Table>
(a) For the period April 10, 2006 (commencement of issuance) through July 31,
2006.
(b) For the period May 19, 2006 (commencement of issuance) through July 31,
2006.
(c) For the period April 11, 2006 (commencement of issuance) through July 31,
2006.
(d) For the period April 3, 2006 (commencement of issuance) through July 26,
2006.
265
<Page>
SUBSEQUENT EVENT
Effective August 1, 2006, UBS Global AM-Americas agreed to reduce its management
and administration fee rates with respect to certain fixed income Portfolios
(UBS PACE Government Securities Fixed Income Investments, UBS PACE Intermediate
Fixed Income Investments, UBS PACE Strategic Fixed Income Investments, UBS PACE
Municipal Fixed Income Investments and UBS PACE Global Fixed Income
Investments). The changes lower the asset levels at which fee reductions occur,
known as fee "breakpoints." The combined management and administrative services
fees, applicable effective August 1, 2006, are as follows:
ANNUAL RATE AS A
PERCENTAGE OF EACH
PORTFOLIO'S AVERAGE
PORTFOLIO DAILY NET ASSETS
- ------------------------------------------------------------------------------
UBS PACE Government Securities Fixed Income Investments 0.700% up to $250
million
0.650% above $250
million up to $500
million
0.625% above $500
million up to $750
million
0.600% above $750
million up to $1
billion
0.575% above $1
billion
UBS PACE Intermediate Fixed Income Investments 0.600% up to $250
million
0.550% above $250
million up to $500
million
0.525% above $500
million up to $750
million
0.500% above $750
million up to $1
billion
0.475% above $1
billion
UBS PACE Strategic Fixed Income Investments 0.700% up to $250
million
0.650% above $250
million up to $500
million
0.625% above $500
million up to $750
million
0.600% above $750
million up to $1
billion
0.575% above $1
billion
UBS PACE Municipal Fixed Income Investments 0.600% up to $250
million 0.550% above
$250 million up to
$500 million
0.525% above $500
million up to $750
million
0.500% above $750
million up to $1
billion
0.475% above $1
billion
UBS PACE Global Fixed Income Investments 0.800% up to $500
million
0.775% above $500
million up to $1
billion
0.750% above $1
billion
266
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE MONEY MARKET INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.038 0.018 0.005 0.009 0.021
Dividends from net investment income (0.038) (0.018) (0.005) (0.009) (0.021)
NET ASSET VALUE, END OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 3.89% 1.80% 0.51% 0.96% 2.10%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $342,573 $227,528 $166,067 $123,915 $12,001
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by manager 0.60% 0.60% 0.60% 0.57% 0.50%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 0.99% 0.97% 0.96% 1.13% 1.43%
Net investment income to average net assets 3.89% 1.85% 0.51% 0.94% 2.03%
</Table>
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the payable dates, and a sale
at net asset value on the last day of each year reported. The figures do
not include program fees; results would be lower if these fees were
included. Returns do not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions.
267
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006 2005 2004+ 2003 2002
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 13.20 $ 13.05 $ 12.81 $ 13.08 $ 12.84
Net investment income 0.51 0.34 0.26 0.33 0.64
Net realized and unrealized gains (losses) from
investment activities (0.31) 0.17 0.34 (0.18) 0.29
Net increase from operations 0.20 0.51 0.60 0.15 0.93
Dividends from net investment income (0.53) (0.36) (0.36) (0.42) (0.64)
Distributions from net realized gains from
investment activities (0.16) -- -- -- (0.05)
Total dividends and distributions (0.69) (0.36) (0.36) (0.42) (0.69)
NET ASSET VALUE, END OF YEAR $ 12.71 $ 13.20 $ 13.05 $ 12.81 $ 13.08
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.61% 3.97% 4.75% 1.13% 7.47%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $114,663 $140,734 $159,227 $190,933 $213,835
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by manager 1.11% 1.08% 1.08% 1.04% 0.96%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 1.17% 1.17% 1.20% 1.20% 1.15%
Net investment income to average net assets 3.97% 2.54% 2.08% 2.57% 4.92%
Portfolio turnover 575% 665% 805% 741% 369%
</Table>
+ As of August 1, 2003, the Portfolio has adopted the method of accounting
for interim payments on swap contracts in accordance with Financial
Accounting Standards Board Statement No. 133. These interim payments are
reflected within net realized and unrealized gain (loss) from investment
activities, however, prior to August 1, 2003, these interim payments were
reflected within interest income (or as an offset to interest income) on
the Statement of Operations. The effect of this change for the year ended
July 31, 2004 was to decrease net investment income per share by $0.01 on
all share classes and increase net realized and unrealized gain (loss) from
investment activities per share by $0.01 on all share classes, and decrease
the ratio of net investment income by 0.05%, 0.04% and 0.05% on Class A,
Class B and Class C, respectively.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
268
<Page>
<Table>
<Caption>
CLASS B
--------------------------------------------
FOR THE YEARS ENDED JULY 31,
--------------------------------------------
2006 2005 2004+ 2003 2002
- -------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $13.20 $13.05 $12.81 $ 13.08 $ 12.83
Net investment income 0.40 0.22 0.14 0.23 0.53
Net realized and unrealized gains (losses) from
investment activities (0.29) 0.19 0.36 (0.18) 0.31
Net increase from operations 0.11 0.41 0.50 0.05 0.84
Dividends from net investment income (0.43) (0.26) (0.26) (0.32) (0.54)
Distributions from net realized gains from
investment activities (0.16) -- -- -- (0.05)
Total dividends and distributions (0.59) (0.26) (0.26) (0.32) (0.59)
NET ASSET VALUE, END OF YEAR $12.72 $13.20 $13.05 $ 12.81 $ 13.08
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 0.92% 3.17% 3.94% 0.34% 6.63%
=================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $2,776 $4,273 $8,373 $15,056 $16,966
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by manager 1.86% 1.84% 1.84% 1.82% 1.76%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 1.93% 1.93% 1.95% 1.94% 1.90%
Net investment income to average net assets 3.20% 1.69% 1.33% 1.79% 4.12%
Portfolio turnover 575% 665% 805% 741% 369%
<Caption>
CLASS C
-----------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------
2006 2005 2004+ 2003 2002
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 13.21 $ 13.06 $ 12.82 $ 13.09 $ 12.84
Net investment income 0.45 0.27 0.19 0.26 0.57
Net realized and unrealized gains (losses) from
investment activities (0.32) 0.17 0.34 (0.18) 0.30
Net increase from operations 0.13 0.44 0.53 0.08 0.87
Dividends from net investment income (0.46) (0.29) (0.29) (0.35) (0.57)
Distributions from net realized gains from
investment activities (0.16) -- -- -- (0.05)
Total dividends and distributions (0.62) (0.29) (0.29) (0.35) (0.62)
NET ASSET VALUE, END OF YEAR $ 12.72 $ 13.21 $ 13.06 $ 12.82 $ 13.09
- ----------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.09% 3.40% 4.18% 0.59% 6.99%
====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $30,338 $36,372 $41,707 $50,245 $56,849
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by manager 1.62% 1.62% 1.62% 1.57% 1.48%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 1.75% 1.74% 1.78% 1.77% 1.73%
Net investment income to average net assets 3.45% 2.00% 1.54% 2.04% 4.40%
Portfolio turnover 575% 665% 805% 741% 369%
</Table>
269
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
----------------------------------------------
FOR THE YEARS ENDED JULY 31,
----------------------------------------------
2006 2005 2004+ 2003 2002
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $13.20 $ 13.05 $ 12.80 $ 13.07 $ 12.84
Net investment income 0.55 0.38 0.29 0.37 0.68
Net realized and unrealized gains (losses)
from investment activities (0.30) 0.17 0.36 (0.18) 0.29
Net increase from operations 0.25 0.55 0.65 0.19 0.97
Dividends from net investment income (0.57) (0.40) (0.40) (0.46) (0.69)
Distributions from net realized gains from
investment activities (0.16) -- -- -- (0.05)
Total dividends and distributions (0.73) (0.40) (0.40) (0.46) (0.74)
NET ASSET VALUE, END OF YEAR $12.72 $ 13.20 $ 13.05 $ 12.80 $ 13.07
- --------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.97% 4.24% 5.12% 1.46% 7.77%
============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $8,460 $10,069 $10,441 $16,466 $19,250
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager 0.81% 0.76% 0.76% 0.72% 0.64%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 0.84% 0.85% 0.88% 0.88% 0.80%
Net investment income to average net assets 4.27% 2.88% 2.41% 2.89% 5.32%
Portfolio turnover 575% 665% 805% 741% 369%
</Table>
- ----------
+ As of August 1, 2003, the Portfolio has adopted the method of accounting
for interim payments on swap contracts in accordance with Financial
Accounting Standards Board Statement No. 133. These interim payments are
reflected within net realized and unrealized gain (loss) from investment
activities, however, prior to August 1, 2003, these interim payments were
reflected within interest income (or as an offset to interest income) on
the Statement of Operations. The effect of this change for the year ended
July 31, 2004 was to decrease net investment income per share by $0.01 on
all share classes and increase net realized and unrealized gain (loss) from
investment activities per share by $0.01 on all share classes, and decrease
the ratio of net investment income by 0.04% and 0.05% on Class Y and Class
P, respectively.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
270
<Page>
<Table>
<Caption>
CLASS P
-----------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------------
2006 2005 2004+ 2003 2002
- ---------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 13.20 $ 13.06 $ 12.82 $ 13.09 $ 12.84
Net investment income 0.54 0.37 0.30 0.36 0.67
Net realized and unrealized gains (losses)
from investment activities (0.30) 0.16 0.33 (0.18) 0.31
Net increase from operations 0.24 0.53 0.63 0.18 0.98
Dividends from net investment income (0.56) (0.39) (0.39) (0.45) (0.68)
Distributions from net realized gains from
investment activities (0.16) -- -- -- (0.05)
Total dividends and distributions (0.72) (0.39) (0.39) (0.45) (0.73)
NET ASSET VALUE, END OF YEAR $ 12.72 $ 13.20 $ 13.06 $ 12.82 $ 13.09
- ---------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.94% 4.11% 4.97% 1.35% 7.84%
===================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $384,472 $318,339 $252,716 $207,466 $201,378
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager 0.87% 0.87% 0.87% 0.83% 0.70%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 0.96% 0.96% 1.00% 0.98% 0.93%
Net investment income to average net assets 4.22% 2.82% 2.27% 2.76% 5.18%
Portfolio turnover 575% 665% 805% 741% 369%
</Table>
271
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006 2005 2004 2003 2002 ~
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 11.44 $ 11.51 $ 11.46 $ 11.13 $ 12.32
Net investment income 0.38@ 0.34@ 0.29 0.33 0.75
Net realized and unrealized gains (losses)
from investment activities (0.17) (0.07) 0.06 0.34 (1.19)
Net increase (decrease) from operations 0.21 0.27 0.35 0.67 (0.44)
Dividends from net investment income (0.38) (0.34) (0.30) (0.34) (0.75)
NET ASSET VALUE, END OF YEAR $ 11.27 $ 11.44 $ 11.51 $ 11.46 $ 11.13
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.90% 2.38% 3.08% 6.05% (3.90)%
===========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $59,884 $75,331 $90,732 $113,500 $129,520
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager 1.06% 1.07% 1.07% 1.03% 0.96%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.10% 1.09% 1.13% 1.14% 1.10%
Net investment income to average net assets 3.36% 2.93% 2.52% 2.86% 6.14%
Portfolio turnover 349% 221% 299% 294% 121%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
~ Investment advisory functions for this Portfolio were transferred from
Metropolitan West Asset Management, LLC to BlackRock Financial Management,
Inc. on July 29, 2002.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
272
<Page>
<Table>
<Caption>
CLASS B CLASS C
------------------------------------------ -------------------------------------------
FOR THE YEARS ENDED JULY 31, FOR THE YEARS ENDED JULY 31,
------------------------------------------ -------------------------------------------
2006 2005 2004 2003 2002 ~ 2006 2005 2004 2003 2002 ~
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $11.46 $11.53 $11.47 $11.15 $ 12.33 $11.46 $11.53 $11.48 $ 11.15 $ 12.33
Net investment income 0.28@ 0.24@ 0.21 0.24 0.65 0.32@ 0.28@ 0.24 0.27 0.69
Net realized and unrealized gains (losses)
from investment activities (0.15) (0.06) 0.06 0.33 (1.18) (0.17) (0.06) 0.05 0.34 (1.19)
Net increase (decrease) from operations 0.13 0.18 0.27 0.57 (0.53) 0.15 0.22 0.29 0.61 (0.50)
Dividends from net investment income (0.30) (0.25) (0.21) (0.25) (0.65) (0.33) (0.29) (0.24) (0.28) (0.68)
NET ASSET VALUE, END OF YEAR $11.29 $11.46 $11.53 $11.47 $ 11.15 $11.28 $11.46 $11.53 $ 11.48 $ 11.15
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.13% 1.60% 2.37% 5.13% (4.57)% 1.30% 1.87% 2.56% 5.49% (4.31)%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 637 $1,458 $4,712 $9,871 $11,626 $5,301 $7,684 $9,583 $12,281 $15,508
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager 1.80% 1.81% 1.81% 1.79% 1.74% 1.55% 1.56% 1.56% 1.53% 1.47%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.89% 1.87% 1.85% 1.87% 1.82% 1.59% 1.59% 1.61% 1.63% 1.58%
Net investment income to average net assets 2.56% 2.15% 1.75% 2.10% 5.35% 2.86% 2.44% 2.03% 2.37% 5.63%
Portfolio turnover 349% 221% 299% 294% 121% 349% 221% 299% 294% 121%
</Table>
273
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
---------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------
2006 2005 2004 2003 2002 ~
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $11.45 $11.52 $11.47 $11.14 $12.33
Net investment income 0.41@ 0.37@ 0.34 0.36 0.78
Net realized and unrealized gains (losses) from investment activities (0.17) (0.07) 0.04 0.34 (1.19)
Net increase (decrease) from operations 0.24 0.30 0.38 0.70 (0.41)
Dividends from net investment income (0.41) (0.37) (0.33) (0.37) (0.78)
NET ASSET VALUE, END OF YEAR $11.28 $11.45 $11.52 $11.47 $11.14
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 2.17% 2.66% 3.34% 6.32% (3.64)%
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $1,074 $1,108 $1,246 $1,730 $2,589
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by manager 0.80% 0.81% 0.81% 0.77% 0.71%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 0.83% 0.86% 0.87% 0.89% 0.84%
Net investment income to average net assets 3.63% 3.20% 2.79% 3.15% 6.39%
Portfolio turnover 349% 221% 299% 294% 121%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
~ Investment advisory functions for this Portfolio were transferred from
Metropolitan West Asset Management, LLC to BlackRock Financial Management,
Inc. on July 29, 2002.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
274
<Page>
<Table>
<Caption>
CLASS P
-----------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------------
2006 2005 2004 2003 2002 ~
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 11.45 $ 11.52 $ 11.47 $ 11.14 $ 12.33
Net investment income 0.41@ 0.37@ 0.33 0.36 0.77
Net realized and unrealized gains (losses) from investment activities (0.17) (0.07) 0.05 0.34 (1.18)
Net increase (decrease) from operations 0.24 0.30 0.38 0.70 (0.41)
Dividends from net investment income (0.41) (0.37) (0.33) (0.37) (0.78)
NET ASSET VALUE, END OF YEAR $ 11.28 $ 11.45 $ 11.52 $ 11.47 $ 11.14
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 2.17% 2.66% 3.36% 6.34% (3.64)%
=============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $346,298 $313,031 $261,390 $210,860 $161,702
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by manager 0.80% 0.80% 0.80% 0.77% 0.70%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 0.81% 0.82% 0.84% 0.87% 0.82%
Net investment income to average net assets 3.64% 3.22% 2.81% 3.10% 6.45%
Portfolio turnover 349% 221% 299% 294% 121%
</Table>
275
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
---------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------
2006 2005 2004** 2003 2002
- -------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 13.89 $ 13.88 $ 13.44 $ 13.16 $ 12.91
Net investment income 0.60@ 0.45@ 0.36@ 0.57@ 0.58@
Net realized and unrealized gains (losses)
from investment activities (0.59) 0.35 0.44 0.25 0.25
Net increase (decrease) from operations 0.01 0.80 0.80 0.82 0.83
Dividends from net investment income (0.62) (0.46) (0.36) (0.54) (0.58)
Distributions from net realized gains from
investment activities -- (0.33) -- -- --
Return of capital (0.02) -- -- -- --
Total dividends, distributions and return of
capital (0.64) (0.79) (0.36) (0.54) (0.58)
NET ASSET VALUE, END OF YEAR $ 13.26 $ 13.89 $ 13.88 $ 13.44 $ 13.16
- -------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 0.06% 5.88% 6.00% 6.22% 6.55%
===========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $20,735 $23,269 $24,587 $26,814 $26,242
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to advisor 1.20%+ 1.23%+ 1.21% 1.21% 1.14%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
advisor 1.20% 1.23% 1.25% 1.25% 1.27%
Net investment income to average net assets 4.46%+ 3.20%+ 2.56% 4.13% 4.41%
Portfolio turnover 196% 147% 185% 357% 375%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
+ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions if any, at net asset value on the ex-dividend dates and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
** As of August 1, 2003, the Portfolio has adopted the method of accounting
for interim payments on swap contracts in accordance with Financial
Accounting Standards Board Statement No. 133. These interim payments are
reflected within net realized and unrealized gain (loss) from investment
activities, however, prior to August 1, 2003, these interim payments were
reflected within interest income (or as an offset to interest income) on
the Statement of Operations. The effect of this change for the year ended
July 31, 2004 was to increase net investment income per share by $0.02 on
all share classes and decrease net realized and unrealized gain (loss) from
investment activities per share by $0.02 on all share classes, and increase
the ratio of net investment income by 0.16%, 0.15%, and 0.16% on Class A,
Class B and Class C, respectively.
276
<Page>
<Table>
<Caption>
CLASS B CLASS C
----------------------------------------- ------------------------------------------
FOR THE YEARS ENDED JULY 31, FOR THE YEARS ENDED JULY 31,
----------------------------------------- ------------------------------------------
2006 2005 2004** 2003 2002 2006 2005 2004** 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $13.88 $13.88 $13.44 $ 13.15 $ 12.91 $13.89 $13.88 $13.44 $ 13.16 $ 12.91
Net investment income 0.48@ 0.33@ 0.25@ 0.48@ 0.48@ 0.54@ 0.38@ 0.29@ 0.50@ 0.51@
Net realized and unrealized gains (losses)
from investment activities (0.56) 0.36 0.45 0.25 0.24 (0.60) 0.35 0.44 0.25 0.25
Net increase (decrease) from operations (0.08) 0.69 0.70 0.73 0.72 (0.06) 0.73 0.73 0.75 0.76
Dividends from net investment income (0.52) (0.36) (0.26) (0.44) (0.48) (0.55) (0.39) (0.29) (0.47) (0.51)
Distributions from net realized gains from
investment activities -- (0.33) -- -- -- -- (0.33) -- -- --
Return of capital (0.02) -- -- -- -- (0.02) -- -- -- --
Total dividends, distributions and return of
capital (0.54) (0.69) (0.26) (0.44) (0.48) (0.57) (0.72) (0.29) (0.47) (0.51)
NET ASSET VALUE, END OF YEAR $13.26 $13.88 $13.88 $ 13.44 $ 13.15 $13.26 $13.89 $13.88 $ 13.44 $ 13.16
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (0.68)% 5.06% 5.22% 5.52% 5.66% (0.43)% 5.38% 5.49% 5.69% 6.01%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $1,098 $2,175 $5,190 $11,227 $16,337 $6,280 $8,082 $8,960 $10,827 $13,325
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to advisor 1.93% 1.94% 1.94% 1.93% 1.90% 1.68%+ 1.70%+ 1.70% 1.70% 1.65%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
advisor 1.98% 1.96% 1.95% 1.95% 1.93% 1.68% 1.70% 1.71% 1.72% 1.70%
Net investment income to average net assets 3.64% 2.45% 1.83% 3.49% 3.64% 3.97%+ 2.73%+ 2.08% 3.67% 3.90%
Portfolio turnover 196% 147% 185% 357% 375% 196% 147% 185% 357% 375%
</Table>
277
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
----------------------------------------
FOR THE YEARS ENDED JULY 31,
----------------------------------------
2006 2005 2004** 2003 2002
- ---------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $13.88 $13.87 $13.43 $13.16 $12.91
Net investment income 0.65@ 0.51@ 0.40@ 0.61@ 0.61@
Net realized and unrealized gains (losses)
from investment activities (0.59) 0.34 0.44 0.23 0.25
Net increase from operations 0.06 0.85 0.84 0.84 0.86
Dividends from net investment income (0.66) (0.51) (0.40) (0.57) (0.61)
Distributions from net realized gains from
investment activities -- (0.33) -- -- --
Return of capital (0.02) -- -- -- --
Total dividends, distributions and return of
capital (0.68) (0.84) (0.40) (0.57) (0.61)
NET ASSET VALUE, END OF YEAR $13.26 $13.88 $13.87 $13.43 $13.16
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 0.41% 6.25% 6.27% 6.39% 6.80%
=======================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $716 $959 $527 $ 551 $342
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to advisor 0.85% 0.89%+ 0.96%+ 0.98% 0.89%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
advisor 0.85% 0.89% 0.96% 0.98% 0.99%
Net investment income to average net assets 4.79% 3.58%+ 2.81%+ 4.19% 4.65%
Portfolio turnover 196% 147% 185% 357% 375%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
+ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions if any, at net asset value on the ex-dividend dates and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
** As of August 1, 2003, the Portfolio has adopted the method of accounting
for interim payments on swap contracts in accordance with Financial
Accounting Standards Board Statement No. 133. These interim payments are
reflected within net realized and unrealized gain (loss) from investment
activities, however, prior to August 1, 2003, these interim payments were
reflected within interest income (or as an offset to interest income) on
the Statement of Operations. The effect of this change for the year ended
July 31, 2004 was to increase net investment income per share by $0.02 on
all share classes and decrease net realized and unrealized gain (loss) from
investment activities per share by $0.02 on all share classes, and increase
the ratio of net investment income by 0.16% and 0.17% on Class Y and Class
P, respectively.
278
<Page>
<Table>
<Caption>
CLASS P
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006 2005 2004** 2003 2002
- -----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 13.88 $ 13.88 $ 13.44 $ 13.16 $ 12.91
Net investment income 0.64@ 0.49@ 0.42@ 0.61@ 0.61@
Net realized and unrealized gains (losses)
from investment activities (0.59) 0.34 0.42 0.25 0.26
Net increase from operations 0.05 0.83 0.84 0.86 0.87
Dividends from net investment income (0.65) (0.50) (0.40) (0.58) (0.62)
Distributions from net realized gains from
investment activities -- (0.33) -- -- --
Return of capital (0.02) -- -- -- --
Total dividends, distributions and return of
capital (0.67) (0.83) (0.40) (0.58) (0.62)
NET ASSET VALUE, END OF YEAR $13.26 $ 13.88 $ 13.88 $ 13.44 $ 13.16
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 0.34% 6.13% 6.31% 6.54% 6.86%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $539,286 $429,250 $347,091 $252,219 $241,140
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to advisor 0.93% 0.93% 0.93% 0.90% 0.85%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
advisor 0.98% 0.98% 0.99% 1.00% 0.96%
Net investment income to average net assets 4.77% 3.51% 2.85% 4.44% 4.70%
Portfolio turnover 196% 147% 185% 357% 375%
</Table>
279
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE MUNICIPAL FIXED INCOME INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006 2005 2004 2003 2002
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 12.49 $ 12.56 $ 12.56 $ 12.70 $ 12.52
Net investment income 0.39@ 0.40@ 0.39 0.45 0.51
Net realized and unrealized gains (losses)
from investment activities (0.22) (0.07) 0.00^ (0.14) 0.18
Net increase from operations 0.17 0.33 0.39 0.31 0.69
Dividends from net investment income (0.39) (0.40) (0.39) (0.45) (0.51)
NET ASSET VALUE, END OF YEAR $ 12.27 $ 12.49 $ 12.56 $ 12.56 $ 12.70
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.42% 2.61% 3.09% 2.42% 5.62%
=============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $99,169 $115,286 $131,888 $153,966 $167,685
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager 0.99% 0.96% 0.96% 0.93% 0.87%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.04% 1.03% 1.08% 1.06% 1.05%
Net investment income to average net assets 3.19% 3.12% 3.03% 3.49% 4.01%
Portfolio turnover 27% 35% 46% 42% 20%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
^ Amount represents less than $0.005 per share.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder could pay on Portfolio distributions or the redemption of
Portfolio shares.
280
<Page>
<Table>
<Caption>
CLASS B CLASS C
--------------------------------------- --------------------------------------------
FOR THE YEARS ENDED JULY 31, FOR THE YEARS ENDED JULY 31,
--------------------------------------- --------------------------------------------
2006 2005 2004 2003 2002 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $12.49 $12.56 $12.56 $12.70 $ 12.52 $ 12.49 $ 12.56 $ 12.56 $ 12.70 $ 12.52
Net investment income 0.29@ 0.30@ 0.30 0.35 0.41 0.33@ 0.33@ 0.32 0.38 0.44
Net realized and unrealized gains (losses)
from investment activities (0.21) (0.07) (0.01) (0.14) 0.18 (0.22) (0.07) 0.00^ (0.14) 0.18
Net increase from operations 0.08 0.23 0.29 0.21 0.59 0.11 0.26 0.32 0.24 0.62
Dividends from net investment income (0.30) (0.30) (0.29) (0.35) (0.41) (0.33) (0.33) (0.32) (0.38) (0.44)
NET ASSET VALUE, END OF YEAR $12.27 $12.49 $12.56 $12.56 $ 12.70 $ 12.27 $ 12.49 $ 12.56 $ 12.56 $ 12.70
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 0.65% 1.82% 2.31% 1.65% 4.81% 0.91% 2.07% 2.56% 1.88% 5.07%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 985 $2,665 $4,861 $7,870 $10,949 $17,315 $21,291 $25,191 $28,882 $30,776
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager 1.74% 1.71% 1.71% 1.68% 1.62% 1.50% 1.48% 1.48% 1.45% 1.39%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.80% 1.79% 1.83% 1.80% 1.80% 1.55% 1.55% 1.59% 1.56% 1.57%
Net investment income to average net assets 2.43% 2.37% 2.28% 2.75% 3.26% 2.68% 2.61% 2.51% 2.96% 3.50%
Portfolio turnover 27% 35% 46% 42% 20% 27% 35% 46% 42% 20%
</Table>
281
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------
2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $12.49 $12.56 $12.56 $12.70 $12.52
Net investment income 0.43@ 0.42@ 0.41 0.48 0.54
Net realized and unrealized gains (losses) from investment activities (0.22) (0.07) 0.00^ (0.14) 0.18
Net increase from operations 0.21 0.35 0.41 0.34 0.72
Dividends from net investment income (0.42) (0.42) (0.41) (0.48) (0.54)
NET ASSET VALUE, END OF YEAR $12.28 $12.49 $12.56 $12.56 $12.70
- ------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.75% 2.83% 3.29% 2.65% 5.87%
==================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 176 $ 186 $ 200 $ 194 $ 316
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by manager 0.75% 0.74% 0.74% 0.69% 0.63%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 0.84% 0.85% 0.90% 0.85% 0.84%
Net investment income to average net assets 3.44% 3.35% 3.26% 3.73% 4.25%
Portfolio turnover 27% 35% 46% 42% 20%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
^ Amount represents less than $0.005 per share.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder could pay on Portfolio distributions or the redemption of
Portfolio shares.
282
<Page>
<Table>
<Caption>
CLASS P
-------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------
2006 2005 2004 2003 2002
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 12.49 $ 12.56 $ 12.56 $ 12.70 $ 12.52
Net investment income 0.42@ 0.42@ 0.41 0.47 0.54
Net realized and unrealized gains (losses) from investment activities (0.22) (0.07) 0.00^ (0.14) 0.18
Net increase from operations 0.20 0.35 0.41 0.33 0.72
Dividends from net investment income (0.42) (0.42) (0.41) (0.47) (0.54)
NET ASSET VALUE, END OF YEAR $ 12.27 $ 12.49 $ 12.56 $ 12.56 $ 12.70
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.66% 2.81% 3.29% 2.64% 5.86%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $140,320 $111,908 $94,445 $69,938 $61,739
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by manager 0.76% 0.76% 0.76% 0.72% 0.64%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 0.84% 0.82% 0.88% 0.84% 0.85%
Net investment income to average net assets 3.43% 3.33% 3.24% 3.69% 4.24%
Portfolio turnover 27% 35% 46% 42% 20%
</Table>
283
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE GLOBAL FIXED INCOME INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
Class A
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
----------------------------------------------------
2006 2005 2004 2003 2002+
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $11.76 $11.74 $11.78 $10.91 $10.27
Net investment income 0.25@ 0.24@ 0.22@ 0.27@ 0.35@
Net realized and unrealized gains
(losses) from investment activities (0.06) 0.52 0.70 0.92 0.67
Net increase from operations 0.19 0.76 0.92 1.19 1.02
Dividends from net investment income (0.57) (0.72) (0.96) (0.32) --
Distributions from net realized
gains from investment activities (0.18) (0.02) -- -- --
Distributions from paid in capital -- -- -- -- (0.38)
Total dividends and distributions (0.75) (0.74) (0.96) (0.32) (0.38)
NET ASSET VALUE, END OF YEAR $11.20 $11.76 $11.74 $11.78 $10.91
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.86% 6.33% 7.76% 11.01% 10.20%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $124,045 $144,325 $159,669 $176,124 $177,870
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by manager 1.37% 1.37%# 1.36% 1.33% 1.24%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by manager 1.40% 1.41%# 1.45% 1.45% 1.42%
Net investment income to average net assets 2.25% 1.98% 1.83% 2.32% 3.40%
Portfolio turnover 175% 260% 244% 274% 328%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
# Includes 0.01% of interest expense related to the reverse repurchase
agreement during the year ended July 31, 2005.
+ As required, effective August 1, 2001, the UBS PACE Global Fixed Income
Investments Portfolio has adopted the provisions of the AICPA Audit and
Accounting Guide, Audits of Investment Companies, and began amortizing
premium on debt securities for financial statement reporting purposes only.
The effect of this change for the year ended July 31, 2002 was to decrease
net investment income per share by $0.03 on all share classes, increase net
realized and unrealized gains from investment activities per share by $0.03
on all share classes, and decrease the ratio of net investment income to
average net assets, net of fee waivers and expense reimbursements from
3.67% to 3.40% for Class A, from 2.91% to 2.65% for Class B and from 3.15%
to 2.89% for Class C.
284
<Page>
<Table>
<Caption>
CLASS B
------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------
2006 2005 2004 2003 2002+
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $11.78 $11.76 $11.80 $10.93 $10.28
Net investment income 0.17@ 0.15@ 0.13@ 0.18@ 0.27@
Net realized and unrealized gains
(losses) from investment activities (0.06) 0.52 0.70 0.92 0.68
Net increase from operations 0.11 0.67 0.83 1.10 0.95
Dividends from net investment income (0.49) (0.63) (0.87) (0.23) --
Distributions from net realized
gains from investment activities (0.18) (0.02) -- -- --
Distributions from paid in capital -- -- -- -- (0.30)
Total dividends and distributions (0.67) (0.65) (0.87) (0.23) (0.30)
NET ASSET VALUE, END OF YEAR $11.22 $11.78 $11.76 $11.80 $10.93
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.08% 5.52% 6.94% 10.16% 9.44%
=============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $878 $1,450 $1,907 $2,233 $1,863
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by manager 2.12% 2.12%# 2.11% 2.09% 2.01%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by manager 2.16% 2.17%# 2.21% 2.21% 2.29%
Net investment income to average net assets 1.50% 1.22% 1.08% 1.56% 2.65%
Portfolio turnover 175% 260% 244% 274% 328%
<Caption>
CLASS C
-------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------
2006 2005 2004 2003 2002+
- ----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $11.76 $11.74 $11.78 $10.91 $10.27
Net investment income 0.20@ 0.18@ 0.16@ 0.21@ 0.30@
Net realized and unrealized gains
(losses) from investment activities (0.06) 0.53 0.70 0.92 0.67
Net increase from operations 0.14 0.71 0.86 1.13 0.97
Dividends from net investment income (0.52) (0.67) (0.90) (0.26) --
Distributions from net realized
gains from investment activities (0.18) (0.02) -- -- --
Distributions from paid in capital -- -- -- -- (0.33)
Total dividends and distributions (0.70) (0.69) (0.90) (0.26) (0.33)
NET ASSET VALUE, END OF YEAR $11.20 $11.76 $11.74 $11.78 $10.91
- ----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 1.35% 5.82% 7.24% 10.43% 9.63%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $7,499 $8,736 $8,754 $9,633 $13,025
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by manager 1.87% 1.86%# 1.85% 1.83% 1.76%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by manager 1.89% 1.92%# 1.93% 1.97% 1.90%
Net investment income to average net assets 1.75% 1.50% 1.34% 1.84% 2.89%
Portfolio turnover 175% 260% 244% 274% 328%
</Table>
285
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
---------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------
2006 2005 2004 2003 2002+
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $11.75 $11.73 $11.78 $10.91 $ 10.27
Net investment income 0.29@ 0.28@ 0.26@ 0.30@ 0.36@
Net realized and unrealized gains (losses)
from investment activities (0.06) 0.52 0.69 0.92 0.69
Net increase from operations 0.23 0.80 0.95 1.22 1.05
Dividends from net investment income (0.61) (0.76) (1.00) (0.35) --
Distributions from net realized gains from
investment activities (0.18) (0.02) -- -- --
Distributions from paid in capital -- -- -- -- (0.41)
Total dividends and distributions (0.79) (0.78) (1.00) (0.35) (0.41)
NET ASSET VALUE, END OF YEAR $11.19 $11.75 $11.73 $ 11.78 $ 10.91
- --------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 2.21% 6.67% 8.01% 11.34% 10.49%
============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $7,077 $9,285 $9,673 $12,429 $10,360
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 1.05%^ 1.06%^# 1.05% 1.04% 0.99%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.05% 1.06%# 1.08% 1.09% 1.08%
Net investment income to average net assets 2.57%^ 2.30%^ 2.14% 2.61% 3.62%
Portfolio turnover 175% 260% 244% 274% 328%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
# Includes 0.01% of interest expense related to the reverse repurchase
agreement during the year ended July 31, 2005.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
+ As required, effective August 1, 2001, the UBS PACE Global Fixed Income
Investments Portfolio has adopted the provisions of the AICPA Audit and
Accounting Guide, Audits of Investment Companies, and began amortizing
premium on debt securities for financial statement reporting purposes only.
The effect of this change for the year ended July 31, 2002 was to decrease
net investment income per share by $0.03 on all share classes, increase net
realized and unrealized gains from investment activities per share by $0.03
on all share classes, and decrease the ratio of net investment income to
average net assets, net of fee waivers and expense reimbursements from
3.88% to 3.62% for Class Y and from 3.95% to 3.68% for Class P.
286
<Page>
<Table>
<Caption>
CLASS P
-------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------
2006 2005 2004 2003 2002+
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 11.76 $ 11.74 $ 11.78 $ 10.91 $ 10.27
Net investment income 0.28@ 0.27@ 0.25@ 0.30@ 0.38@
Net realized and unrealized gains (losses)
from investment activities (0.06) 0.52 0.70 0.92 0.67
Net increase from operations 0.22 0.79 0.95 1.22 1.05
Dividends from net investment income (0.60) (0.75) (0.99) (0.35) --
Distributions from net realized gains from
investment activities (0.18) (0.02) -- -- --
Distributions from paid in capital -- -- -- -- (0.41)
Total dividends and distributions (0.78) (0.77) (0.99) (0.35) (0.41)
NET ASSET VALUE, END OF YEAR $ 11.20 $ 11.76 $ 11.74 $ 11.78 $ 10.91
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 2.11% 6.58% 8.02% 11.31% 10.52%
================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $349,676 $274,572 $203,450 $139,300 $114,790
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 1.13% 1.14%# 1.13% 1.07% 0.95%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.27% 1.29%# 1.32% 1.30% 1.27%
Net investment income to average net assets 2.49% 2.25% 2.07% 2.57% 3.68%
Portfolio turnover 175% 260% 244% 274% 328%
</Table>
287
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE HIGH YIELD INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
period is presented below:
<Table>
<Caption>
CLASS A CLASS Y CLASS P
------------ -------------- ------------
FOR THE FOR THE PERIOD FOR THE
PERIOD ENDED APRIL 3, 2006 PERIOD ENDED
JULY 31, TO JULY 24, JULY 31,
2006(a) 2006(b) 2006(c)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.95 $10.00 $ 9.95
Net investment income 0.11@ 0.17@ 0.14@
Net realized and unrealized (losses) from investment activities (0.10) (0.22) (0.09)
Net increase (decrease) from operations 0.01 (0.05) 0.05
Dividends from net investment income (0.15) (0.14) (0.19)
NET ASSET VALUE, END OF PERIOD $ 9.81 $ 9.81 $ 9.81
- ----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 0.15% (0.45)% 0.56%
================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 345 $ -- $11,103
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by manager 1.35%* 1.10%* 1.10%*
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 7.56%* 2.32%* 8.16%*
Net investment income to average net assets 6.04%* 5.94%* 6.34%*
Portfolio turnover 39% 39% 39%
</Table>
* Annualized.
@ Calculated using the average month-end shares outstanding for the period.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each period reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each period reported. The
figures do not include any applicable sales charges or program fees;
results would be lower if they were included. Total investment return for
periods of less than one year has not been annualized. Returns do not
reflect the deduction of taxes that a shareholder would pay on Portfolio
distributions or the redemption of Portfolio shares.
(a) For the period May 1, 2006 (commencement of issuance) through July 31,
2006.
(b) For the period April 3, 2006 (commencement of issuance) through July 24,
2006.
(c) For the period April 10, 2006 (commencement of issuance) through July 31,
2006.
288
<Page>
(This page has been left blank intentionally)
289
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------------
2006 2005 2004 2003 2002
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 20.64 $ 17.56 $ 15.39 $ 14.83 $ 17.52
Net investment income (loss) 0.22@ 0.22@ 0.18 0.15 0.12
Net realized and unrealized gains (losses) from
investment activities 2.16 3.06 2.13 0.55 (2.71)
Net increase (decrease) from operations 2.38 3.28 2.31 0.70 (2.59)
Dividends from net investment income (0.20) (0.20) (0.14) (0.14) (0.10)
Distributions from net realized gains from
investment activities (0.47) -- -- -- --
Total dividends and distributions (0.67) (0.20) (0.14) (0.14) (0.10)
NET ASSET VALUE, END OF YEAR $ 22.35 $ 20.64 $ 17.56 $ 15.39 $ 14.83
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 11.77% 18.78% 15.06% 4.82% (14.85)%
============================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $292,632 $306,916 $305,359 $296,936 $325,252
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments
to manager 1.14%^ 1.15%^ 1.21% 1.21% 1.14%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 1.27% 1.27% 1.31% 1.33% 1.28%
Net investment income (loss) to average net assets 1.03%^ 1.16%^ 0.98% 1.01% 0.71%
Portfolio turnover 95% 74% 73% 72% 79%
</Table>
- ----------
@ Calculated using the average month-end shares outstanding for the year.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
290
<Page>
<Table>
<Caption>
CLASS B
-----------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------
2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $20.62 $17.50 $ 15.34 $ 14.75 $ 17.46
Net investment income (loss) 0.03@ 0.07@ 0.02 0.02 (0.02)
Net realized and unrealized gains (losses) from
investment activities 2.16 3.05 2.14 0.57 (2.69)
Net increase (decrease) from operations 2.19 3.12 2.16 0.59 (2.71)
Dividends from net investment income -- -- -- -- --
Distributions from net realized gains from
investment activities (0.47) -- -- -- --
Total dividends and distributions (0.47) -- -- -- --
NET ASSET VALUE, END OF YEAR $22.34 $20.62 $ 17.50 $ 15.34 $ 14.75
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 10.77% 17.83% 14.08% 4.00% (15.52)%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $5,289 $8,554 $23,273 $58,523 $77,722
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments
to manager 2.00% 2.02%^ 2.04%^ 2.01% 1.92%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 2.13% 2.13% 2.14% 2.13% 2.06%
Net investment income (loss) to average net assets 0.16% 0.36%^ 0.16%^ 0.21% (0.07)%
Portfolio turnover 95% 74% 73% 72% 79%
<Caption>
CLASS C
--------------------------------------------------
FOR THE YEARS ENDED JULY 31,
--------------------------------------------------
2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 20.58 $ 17.50 $ 15.34 $ 14.75 $ 17.46
Net investment income (loss) 0.05@ 0.07@ 0.03 0.03 (0.02)
Net realized and unrealized gains (losses) from
investment activities 2.15 3.05 2.14 0.57 (2.69)
Net increase (decrease) from operations 2.20 3.12 2.17 0.60 (2.71)
Dividends from net investment income (0.02) (0.04) (0.01) (0.01) --
Distributions from net realized gains from
investment activities (0.47) -- -- -- --
Total dividends and distributions (0.49) (0.04) (0.01) (0.01) --
NET ASSET VALUE, END OF YEAR $ 22.29 $ 20.58 $ 17.50 $ 15.34 $ 14.75
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 10.86% 17.87% 14.14% 4.04% (15.52)%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $36,374 $40,113 $41,701 $46,437 $52,912
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments
to manager 1.93%^ 1.94%^ 2.00%^ 2.00% 1.92%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 2.06% 2.06% 2.10% 2.12% 2.06%
Net investment income (loss) to average net assets 0.24%^ 0.38%^ 0.19%^ 0.22% (0.07)%
Portfolio turnover 95% 74% 73% 72% 79%
</Table>
291
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006 2005 2004 2003 2002
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 20.70 $ 17.60 $ 15.41 $ 14.85 $ 17.54
Net investment income 0.30@ 0.28@ 0.24 0.20 0.16
Net realized and unrealized gains (losses) from investment activities 2.17 3.07 2.14 0.55 (2.71)
Net increase (decrease) from operations 2.47 3.35 2.38 0.75 (2.55)
Dividends from net investment income (0.25) (0.25) (0.19) (0.19) (0.14)
Distributions from net realized gains from investment activities (0.47) -- -- -- --
Total dividends and distributions (0.72) (0.25) (0.19) (0.19) (0.14)
NET ASSET VALUE, END OF YEAR $ 22.45 $ 20.70 $ 17.60 $ 15.41 $ 14.85
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 12.20% 19.17% 15.49% 5.19% (14.63)%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $43,234 $42,046 $37,336 $36,448 $41,046
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 0.77% 0.83%^ 0.85%^ 0.87% 0.84%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 0.90% 0.95% 0.95% 0.97% 0.93%
Net investment income to average net assets 1.40% 1.48%^ 1.33%^ 1.35% 0.99%
Portfolio turnover 95% 74% 73% 72% 79%
</Table>
@ Calculated using the average month-end shares outstanding for the year.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
292
<Page>
<Table>
<Caption>
CLASS P
--------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
--------------------------------------------------------
2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 20.66 $ 17.58 $ 15.40 $ 14.84 $ 17.54
Net investment income 0.28@ 0.26@ 0.19 0.17 0.15
Net realized and unrealized gains (losses) from investment activities 2.16 3.07 2.18 0.57 (2.71)
Net increase (decrease) from operations 2.44 3.33 2.37 0.74 (2.56)
Dividends from net investment income (0.25) (0.25) (0.19) (0.18) (0.14)
Distributions from net realized gains from investment activities (0.47) -- -- -- --
Total dividends and distributions (0.72) (0.25) (0.19) (0.18) (0.14)
NET ASSET VALUE, END OF YEAR $ 22.38 $ 20.66 $ 17.58 $ 15.40 $ 14.84
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 12.07% 19.03% 15.40% 5.09% (14.68)%
================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $1,078,221 $837,901 $598,934 $400,188 $338,732
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 0.86% 0.91%^ 0.96% 0.97% 0.89%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 0.99% 1.03% 1.06% 1.07% 1.03%
Net investment income to average net assets 1.30% 1.38%^ 1.21% 1.24% 0.96%
Portfolio turnover 95% 74% 73% 72% 79%
</Table>
293
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006 2005 2004 2003+ 2002
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.83 $ 13.50 $ 12.78 $ 11.49 $ 16.86
Net investment loss (0.03)@ (0.02)@ (0.07)@ (0.05)@ (0.08)@
Net realized and unrealized gains (losses) from investment activities (0.05) 2.35 0.79 1.34 (5.29)
Net increase (decrease) from operations (0.08) 2.33 0.72 1.29 (5.37)
NET ASSET VALUE, END OF YEAR $15.75 $ 15.83 $ 13.50 $12.78 $ 11.49
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (0.51)% 17.26% 5.63% 11.23% (31.85)%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $82,201 $95,264 $98,710 $109,326 $115,625
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 1.23% 1.28%^ 1.30%^ 1.25% 1.14%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 1.28% 1.32% 1.36% 1.40% 1.31%
Net investment loss to average net assets (0.18)% (0.11)%^ (0.48)%^ (0.46)% (0.52)%
Portfolio turnover 64% 79% 82% 107% 57%
</Table>
+ A portion of the investment advisory function for this Portfolio was
transferred from Alliance Capital Management L.P. to GE Asset Management,
Inc. and Marsico Capital Management, LLC on September 16, 2002. SSgA Funds
Management, Inc. continues to provide a portion of the investment advisory
function.
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
294
<Page>
<Table>
<Caption>
CLASS B
--------------------------------------------
FOR THE YEARS ENDED JULY 31,
--------------------------------------------
2006 2005 2004 2003+ 2002
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $15.25 $13.12 $12.53 $ 11.36 $ 16.80
Net investment loss (0.16)@ (0.13)@ (0.18)@ (0.15)@ (0.19)@
Net realized and unrealized gains (losses) from investment activities (0.04) 2.26 0.77 1.32 (5.25)
Net increase (decrease) from operations (0.20) 2.13 0.59 1.17 (5.44)
NET ASSET VALUE, END OF YEAR $15.05 $15.25 $13.12 $ 12.53 $ 11.36
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (1.31)% 16.24% 4.71% 10.30% (32.38)%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $1,450 $3,185 $6,038 $10,503 $12,853
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 2.10% 2.16% 2.16% 2.09% 1.94%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 2.27% 2.27% 2.27% 2.31% 2.20%
Net investment loss to average net assets (1.09)% (0.98)% (1.35)% (1.29)% (1.32)%
Portfolio turnover 64% 79% 82% 107% 57%
<Caption>
CLASS C
-----------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------
2006 2005 2004 2003+ 2002
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $15.27 $13.14 $ 12.54 $ 11.36 $ 16.81
Net investment loss (0.16)@ (0.13)@ (0.17)@ (0.14)@ (0.19)@
Net realized and unrealized gains (losses) from investment activities (0.03) 2.26 0.77 1.32 (5.26)
Net increase (decrease) from operations (0.19) 2.13 0.60 1.18 (5.45)
NET ASSET VALUE, END OF YEAR $15.08 $15.27 $ 13.14 $ 12.54 $ 11.36
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (1.24)% 16.21% 4.78% 10.39% (32.42)%
=======================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $7,586 $9,944 $11,152 $12,598 $13,845
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 2.07%^ 2.11%^ 2.11% 2.05% 1.92%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 2.12% 2.15% 2.19% 2.24% 2.15%
Net investment loss to average net assets (1.03)%^ (0.94)%^ (1.29)% (1.26)% (1.29)%
Portfolio turnover 64% 79% 82% 107% 57%
</Table>
295
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006 2005 2004 2003+ 2002
- -----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 16.09 $ 13.67 $ 12.88 $ 11.54 $ 16.88
Net investment income (loss) 0.03@ 0.04@ (0.01)@ (0.01)@ (0.03)@
Net realized and unrealized gains (losses)
from investment activities (0.04) 2.38 0.80 1.35 (5.31)
Net increase (decrease) from operations (0.01) 2.42 0.79 1.34 (5.34)
Distributions from net investment income (0.03) -- -- -- --
NET ASSET VALUE, END OF YEAR $ 16.05 $ 16.09 $ 13.67 $ 12.88 $ 11.54
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (0.10)% 17.70% 6.13% 11.61% (31.64)%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $22,668 $25,014 $22,647 $23,829 $20,990
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 0.85%^ 0.85% 0.89% 0.90% 0.85%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 0.89% 0.90% 0.93% 0.98% 0.95%
Net investment income (loss) to average net
asets 0.20%^ 0.30% (0.07)% (0.11)% (0.23)%
Portfolio turnover 64% 79% 82% 107% 57%
</Table>
+ A portion of the investment advisory function for this Portfolio was
transferred from Alliance Capital Management L.P. to GE Asset Management,
Inc. and Marsico Capital Management, LLC on September 16, 2002. SSgA Funds
Management, Inc. continues to provide a portion of the investment advisory
function.
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
296
<Page>
<Table>
<Caption>
CLASS P
--------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
--------------------------------------------------------
2006 2005 2004 2003+ 2002
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 16.02 $ 13.62 $ 12.85 $ 11.53 $ 16.88
Net investment income (loss) 0.02@ 0.03@ (0.02)@ (0.03)@ (0.04)@
Net realized and unrealized gains (losses)
from investment activities (0.05) 2.37 0.79 1.35 (5.31)
Net increase (decrease) from operations (0.03) 2.40 0.77 1.32 (5.35)
Distributions from net investment income (0.02) -- -- -- --
NET ASSET VALUE, END OF YEAR $ 15.97 $ 16.02 $ 13.62 $ 12.85 $ 11.53
- -------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (0.20)% 17.62% 5.99% 11.45% (31.69)%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $945,358 $780,687 $546,373 $389,805 $299,959
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 0.95%^ 0.97%^ 1.00% 1.01% 0.91%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.00% 1.01% 1.05% 1.10% 1.05%
Net investment income (loss) to average net
asets 0.12%^ 0.18%^ (0.18)% (0.22)% (0.28)%
Portfolio turnover 64% 79% 82% 107% 57%
</Table>
297
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE SMALL/MEDIUM CO VALUE EQUITY INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006# 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 21.80 $ 19.63 $ 16.49 $ 16.10 $ 17.00
Net investment loss (0.03)@ (0.05)@ (0.07)@ (0.04)@ (0.05)
Net realized and unrealized gains (losses)
from investment activities (0.82) 4.27 3.21 1.57 (0.79)
Net increase (decrease) from operations (0.85) 4.22 3.14 1.53 (0.84)
Dividends from net investment income -- -- -- -- (0.04)
Distributions from net realized gains from
investment activities (3.88) (2.05) -- (1.14) (0.02)
Total dividends and distributions (3.88) (2.05) -- (1.14) (0.06)
NET ASSET VALUE, END OF YEAR $ 17.07 $ 21.80 $ 19.63 $ 16.49 $ 16.10
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (4.10)% 22.35% 19.04% 10.88% (4.95)%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $45,583 $55,299 $50,786 $44,758 $44,464
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to manager 1.30% 1.33%^ 1.36%^ 1.36% 1.30%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.30% 1.33% 1.36% 1.40% 1.32%
Net investment loss to average net assets (0.16)% (0.27)%^ (0.38)%^ (0.27)% (0.19)%
Portfolio turnover 81% 55% 36% 32% 44%
</Table>
# A portion of the investment advisory function for this Portfolio was
transferred from ICM Asset Management, Inc. to Metropolitan West Capital
Management, LLC and Opus Capital Management, Inc. on October 1, 2005. Ariel
Capital Management LLC continues to provide a portion of the investment
advisory function.
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
298
<Page>
<Table>
<Caption>
CLASS B
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006# 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $21.00 $19.12 $16.19 $ 15.95 $ 16.94
Net investment loss (0.18)@ (0.21)@ (0.21)@ (0.16)@ (0.16)
Net realized and unrealized gains (losses)
from investment activities (0.79) 4.14 3.14 1.54 (0.81)
Net increase (decrease) from operations (0.97) 3.93 2.93 1.38 (0.97)
Dividends from net investment income -- -- -- -- --
Distributions from net realized gains from
investment activities (3.88) (2.05) -- (1.14) (0.02)
Total dividends and distributions (3.88) (2.05) -- (1.14) (0.02)
NET ASSET VALUE, END OF YEAR $16.15 $21.00 $19.12 $ 16.19 $ 15.95
- --------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (4.93)% 21.38% 18.10% 10.00% (5.72)%
============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $1,859 $4,373 $6,683 $10,877 $12,953
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to manager 2.14%^ 2.14%^ 2.16%^ 2.17% 2.09%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 2.14% 2.14% 2.16% 2.20% 2.11%
Net investment loss to average net assets (0.97)%^ (1.09)%^ (1.19)%^ (1.08)% (0.98)%
Portfolio turnover 81% 55% 36% 32% 44%
<Caption>
CLASS C
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006# 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 21.03 $ 19.13 $ 16.19 $ 15.95 $ 16.94
Net investment loss (0.17)@ (0.20)@ (0.21)@ (0.15)@ (0.17)
Net realized and unrealized gains (losses)
from investment activities (0.79) 4.15 3.15 1.53 (0.80)
Net increase (decrease) from operations (0.96) 3.95 2.94 1.38 (0.97)
Dividends from net investment income -- -- -- -- --
Distributions from net realized gains from
investment activities (3.88) (2.05) -- (1.14) (0.02)
Total dividends and distributions (3.88) (2.05) -- (1.14) (0.02)
NET ASSET VALUE, END OF YEAR $ 16.19 $ 21.03 $ 19.13 $ 16.19 $ 15.95
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (4.86)% 21.48% 18.16% 10.00% (5.72)%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $11,552 $14,515 $13,548 $12,759 $13,450
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to manager 2.08% 2.08%^ 2.13%^ 2.16% 2.09%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 2.08% 2.08% 2.13% 2.19% 2.10%
Net investment loss to average net assets (0.93)% (1.03)%^ (1.15)%^ (1.07)% (0.98)%
Portfolio turnover 81% 55% 36% 32% 44%
</Table>
299
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
-----------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------
2006# 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $22.07 $19.78 $16.56 $16.13 $17.02
Net investment income (loss) 0.03@ 0.02@ (0.01)@ (0.01)@ 0.01
Net realized and unrealized gains (losses)
from investment activities (0.83) 4.32 3.23 1.58 (0.81)
Net increase (decrease) from operations (0.80) 4.34 3.22 1.57 (0.80)
Dividends from net investment income -- -- -- -- (0.07)
Distributions from net realized gains from
investment activities (3.88) (2.05) -- (1.14) (0.02)
Total dividends and distributions (3.88) (2.05) -- (1.14) (0.09)
NET ASSET VALUE, END OF YEAR $17.39 $22.07 $19.78 $16.56 $16.13
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (3.78)% 22.82% 19.44% 11.12% (4.73)%
==============================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $4,311 $4,994 $3,754 $1,813 $1,481
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments to manager 0.97% 0.98%^ 1.04%^ 1.14% 1.06%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 0.97% 0.98% 1.04% 1.16% 1.08%
Net investment income (loss) to average net assets 0.17% 0.08%^ (0.05)%^ (0.05)% 0.07%
Portfolio turnover 81% 55% 36% 32% 44%
</Table>
# A portion of the investment advisory function for this Portfolio was
transferred from ICM Asset Management, Inc. to Metropolitan West Capital
Management, LLC and Opus Capital Management, Inc. on October 1, 2005. Ariel
Capital Management LLC continues to provide a portion of the investment
advisory function.
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
+ Amount represents less than $0.005 per share.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
300
<Page>
<Table>
<Caption>
CLASS P
----------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
----------------------------------------------------------
2006# 2005 2004 2003 2002
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 22.02 $ 19.78 $ 16.58 $ 16.14 $ 17.02
Net investment income (loss) (0.00)+@ (0.02)@ (0.03)@ (0.00)+@ 0.02
Net realized and unrealized gains (losses)
from investment activities (0.83) 4.31 3.23 1.58 (0.81)
Net increase (decrease) from operations (0.83) 4.29 3.20 1.58 (0.79)
Dividends from net investment income -- -- -- -- (0.07)
Distributions from net realized gains from
investment activities (3.88) (2.05) -- (1.14) (0.02)
Total dividends and distributions (3.88) (2.05) -- (1.14) (0.09)
NET ASSET VALUE, END OF YEAR $ 17.31 $ 22.02 $ 19.78 $ 16.58 $ 16.14
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (3.95)% 22.55% 19.30% 11.18% (4.67)%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $387,514 $366,083 $277,254 $204,028 $179,315
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments to manager 1.16% 1.16% 1.16% 1.11% 0.99%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 1.18% 1.17% 1.20% 1.25% 1.10%
Net investment income (loss) to average net assets (0.03)% (0.10)% (0.17)% (0.01)% 0.12%
Portfolio turnover 81% 55% 36% 32% 44%
</Table>
301
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE SMALL/MEDIUM CO GROWTH EQUITY INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
-------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------
2006+ 2005 2004 2003 2002
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 17.52 $ 14.08 $ 13.08 $ 10.84 $ 13.65
Net investment loss (0.12)@ (0.14)@ (0.13)@ (0.10)@ (0.11)@
Net realized and unrealized gains (losses)
from investment activities (0.58) 3.64 1.13 2.34 (2.70)
Net increase (decrease) from operations (0.70) 3.50 1.00 2.24 (2.81)
Distributions from net realized gains from
investment activities (2.37) (0.06) -- -- --
NET ASSET VALUE, END OF YEAR $ 14.45 $ 17.52 $ 14.08 $ 13.08 $ 10.84
- ---------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (4.22)% 24.91 7.65% 20.66% (20.59)%
=============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $48,824 $60,328 $60,329 $63,435 $61,535
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to manager 1.32% 1.33%^ 1.37%^ 1.38% 1.30%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.32% 1.33% 1.37% 1.41% 1.34%
Net investment loss to average net assets (0.78) (0.92)%^ (0.88)%^ (0.87)% (0.88)%
Portfolio turnover 134% 60% 85% 50% 48%
</Table>
+ A portion of the investment advisory function for this Portfolio was
transferred from Delaware Management Co., Inc. to ForstmannLeff Associates,
LLC and Riverbridge Partners, LLC on October 1, 2005.
@ Calculated using average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
302
<Page>
<Table>
<Caption>
CLASS B
-------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------
2006+ 2005 2004 2003 2002
- ---------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $16.86 $13.68 $12.82 $10.71 $ 13.60
Net investment loss (0.24)@ (0.28)@ (0.24)@ (0.19)@ (0.20)@
Net realized and unrealized gains (losses)
from investment activities (0.57) 3.52 1.10 2.30 (2.69)
Net increase (decrease) from operations (0.81) 3.24 0.86 2.11 (2.89)
Distributions from net realized gains from
investment activities (2.37) (0.06) -- -- --
NET ASSET VALUE, END OF YEAR $13.68 $16.86 $13.68 $12.82 $ 10.71
- ---------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (5.13)% 23.73 6.71% 19.70% (21.25)%
=======================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 696 $1,915 $2,836 $5,334 $ 6,795
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to manager 2.19% 2.27% 2.23% 2.24% 2.08%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 2.27% 2.28% 2.24% 2.30% 2.22%
Net investment loss to average net assets (1.62)% (1.85)% (1.74)% (1.72)% (1.63)%
Portfolio turnover 134% 60% 85% 50% 48%
<Caption>
CLASS C
---------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------
2006+ 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $16.90 $13.70 $12.83 $10.71 $ 13.60
Net investment loss (0.24)@ (0.26)@ (0.24)@ (0.18)@ (0.21)@
Net realized and unrealized gains (losses)
from investment activities (0.55) 3.52 1.11 2.30 (2.68)
Net increase (decrease) from operations (0.79) 3.26 0.87 2.12 (2.89)
Distributions from net realized gains from
investment activities (2.37) (0.06) -- -- --
NET ASSET VALUE, END OF YEAR $13.74 $16.90 $13.70 $12.83 $ 10.71
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (4.98)% 23.84 6.78% 19.79% (21.25)%
=========================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $6,709 $8,337 $8,850 $9,459 $ 9,380
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
and recoupments to manager 2.11% 2.15%^ 2.16%^ 2.18% 2.08%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 2.11% 2.15% 2.16% 2.22% 2.14%
Net investment loss to average net assets (1.56)% (1.74)%^ (1.68)%^ (1.67)% (1.65)%
Portfolio turnover 134% 60% 85% 50% 48%
</Table>
303
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006+ 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 17.74 $14.21 $13.15 $10.87 $ 13.68
Net investment loss (0.07)@ (0.09)@ (0.07)@ (0.08)@ (0.02)@
Net realized and unrealized gains (losses) from
investment activities (0.58) 3.68 1.13 2.36 (2.79)
Net increase (decrease) from operations (0.65) 3.59 1.06 2.28 (2.81)
Distributions from net realized gains from
investment activities (2.37) (0.06) -- -- --
NET ASSET VALUE, END OF YEAR $ 14.72 $17.74 $14.21 $13.15 $ 10.87
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (3.86)% 25.32% 8.06% 20.97% (20.54)%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 4,279 $4,057 $2,980 $1,372 $ 284
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments
to manager 0.95% 0.96% 0.97%^ 1.22%^ 1.04%^
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 0.95% 0.96% 0.97% 1.16% 1.00%
Net investment loss to average net assets (0.41)% (0.55)% (0.50)%^ (0.69)%^ (0.21)%^
Portfolio turnover 134% 60% 85% 50% 48%
</Table>
+ A portion of the investment advisory function for this Portfolio was
transferred from Delaware Management Co., Inc. to ForstmannLeff Associates,
LLC and Riverbridge Partners, LLC on October 1, 2005.
@ Calculated using average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
304
<Page>
<Table>
<Caption>
CLASS P
------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------------
2006+ 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 17.72 $ 14.22 $ 13.18 $ 10.88 $ 13.67
Net investment loss (0.10)@ (0.11)@ (0.10)@ (0.06)@ (0.07)@
Net realized and unrealized gains (losses) from
investment activities (0.58) 3.67 1.14 2.36 (2.72)
Net increase (decrease) from operations (0.68) 3.56 1.04 2.30 (2.79)
Distributions from net realized gains from
investment activities (2.37) (0.06) -- -- --
NET ASSET VALUE, END OF YEAR $ 14.67 $ 17.72 $ 14.22 $ 13.18 $ 10.88
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (4.05)% 25.08% 7.89% 21.14% (20.41)%
===========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $380,197 $356,839 $262,516 $16,911 $77,119
Expenses to average net assets, net of fee waivers
and/or expense reimbursements by and recoupments
to manager 1.13% 1.13% 1.13% 1.09% 0.98%
Expenses to average net assets, before fee waivers
and/or expense reimbursements by manager 1.18% 1.18% 1.17% 1.22% 1.11%
Net investment loss to average net assets (0.59)% (0.72)% (0.65)% (0.57)% (0.56)%
Portfolio turnover 134% 60% 85% 50% 48%
</Table>
305
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE INTERNATIONAL EQUITY INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
-----------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-----------------------------------------------------
2006 2005 ~ 2004 ~ 2003 2002
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.46 $ 12.96 $ 10.37 $ 10.08 $ 12.58
Net investment income (loss) 0.30@ 0.21@ 0.04@ 0.09 0.04
Net realized and unrealized gains (losses)
from investment activities 3.50 2.35 2.60 0.21 (2.43)
Net increase (decrease) from operations 3.80 2.56 2.64 0.30 (2.39)
Dividends from net investment income (0.23) (0.06) (0.05) (0.01) (0.11)
NET ASSET VALUE, END OF YEAR $ 19.03 $ 15.46 $ 12.96 $ 10.37 $ 10.08
- ----------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 24.77% 19.78% 25.47% 2.95% (19.09)%
====================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $111,153 $97,046 $92,590 $90,630 $94,785
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 1.47%+ 1.55%+ 1.59%+ 1.58% 1.52%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 1.47% 1.55% 1.59% 1.62% 1.60%
Net investment income (loss) to average net
assets 1.73%+ 1.45%+ 0.33%+ 0.92% 0.20%
Portfolio turnover 52% 39% 117% 88% 109%
</Table>
~ A portion of the investment advisory function for this Portfolio was
transferred to J.P. Morgan Investment Management, Inc. and Delaware
International Advisors Ltd. on April 1, 2004. Delaware International
Advisors Ltd. changed its name to Mondrian Investment Partners Ltd. on
September 24, 2004. Martin Currie, Inc. continues to provide a portion of
the investment advisory function.
@ Calculated using the average month-end shares outstanding for the year.
+ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
^ Amount represents less than $0.005 per share.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
306
<Page>
<Table>
<Caption>
CLASS B
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006 2005 ~ 2004 ~ 2003 2002
- -----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $15.07 $12.71 $10.23 $10.05 $ 12.53
Net investment income (loss) 0.12@ 0.05@ (0.09)@ (0.03) (0.03)
Net realized and unrealized gains (losses)
from investment activities 3.43 2.31 2.57 0.21 (2.45)
Net increase (decrease) from operations 3.55 2.36 2.48 0.18 (2.48)
Dividends from net investment income (0.02) -- -- -- --
NET ASSET VALUE, END OF YEAR $18.60 $15.07 $12.71 $10.23 $ 10.05
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 23.60% 18.57% 24.24% 1.79% (19.79)%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 740 $ 831 $ 976 $1,235 $ 2,023
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 2.45%+ 2.55%+ 2.63% 2.58% 2.37%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 2.45% 2.55% 2.64% 2.65% 2.62%
Net investment income (loss) to average net
assets 0.73%+ 0.39%+ (0.73)% (0.18)% (0.73)%
Portfolio turnover 52% 39% 117% 88% 109%
<Caption>
CLASS C
------------------------------------------------
FOR THE YEARS ENDED JULY 31,
------------------------------------------------
2006 2005 ~ 2004 ~ 2003 2002
- -----------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $15.16 $12.76 $10.25 $10.04 $ 12.53
Net investment income (loss) 0.14@ 0.09@ (0.06)@ 0.00^ (0.05)
Net realized and unrealized gains (losses)
from investment activities 3.44 2.31 2.57 0.21 (2.42)
Net increase (decrease) from operations 3.58 2.40 2.51 0.21 (2.47)
Dividends from net investment income (0.09) -- -- -- (0.02)
NET ASSET VALUE, END OF YEAR $18.65 $15.16 $12.76 $10.25 $ 10.04
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 23.68% 18.81% 24.49% 2.09% (19.75)%
===============================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $8,168 $8,099 $7,576 $7,598 $ 8,972
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by and
recoupments to manager 2.32%+ 2.35%+ 2.44%+ 2.41% 2.30%
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager 2.32% 2.35% 2.44% 2.48% 2.42%
Net investment income (loss) to average net
assets 0.84%+ 0.64%+ (0.53)% 0.05% (0.59)%
Portfolio turnover 52% 39% 117% 88% 109%
</Table>
307
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
----------------------------------------------------
FOR THE YEARS ENDED JULY 31,
----------------------------------------------------
2006 2005 ~ 2004 ~ 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.49 $ 12.98 $ 10.37 $ 10.09 $ 12.59
Net investment income 0.38@ 0.28@ 0.10@ 0.13 0.07
Net realized and unrealized gains (losses) from investment activities 3.49 2.36 2.60 0.19 (2.43)
Net increase (decrease) from operations 3.87 2.64 2.70 0.32 (2.36)
Dividends from net investment income (0.30) (0.13) (0.09) (0.04) (0.14)
NET ASSET VALUE, END OF YEAR $ 19.06 $ 15.49 $ 12.98 $ 10.37 $ 10.09
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 25.25% 20.35% 26.12% 3.24% (18.84)%
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $53,388 $45,107 $39,474 $33,813 $45,674
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 1.06% 1.11% 1.15% 1.21%+ 1.20%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 1.06% 1.11% 1.15% 1.19% 1.20%
Net investment income to average net assets 2.14% 1.93% 0.80% 1.25%+ 0.61%
Portfolio turnover 52% 39% 117% 88% 109%
</Table>
~ A portion of the investment advisory function for this Portfolio was
transferred to J.P. Morgan Investment Management, Inc. and Delaware
International Advisors Ltd. on April 1, 2004. Delaware International
Advisors Ltd. changed its name to Mondrian Investment Partners Ltd. on
September 24, 2004. Martin Currie, Inc. continues to provide a portion of
the investment advisory function.
@ Calculated using the average month-end shares outstanding for the year.
+ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable program fees; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
308
<Page>
<Table>
<Caption>
CLASS P
-------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------------
2006 2005 ~ 2004 ~ 2003 2002
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.46 $ 12.96 $ 10.36 $ 10.08 $ 12.59
Net investment income 0.37@ 0.27@ 0.09@ 0.11 0.06
Net realized and unrealized gains (losses) from investment activities 3.48 2.34 2.59 0.20 (2.43)
Net increase (decrease) from operations 3.85 2.61 2.68 0.31 (2.37)
Dividends from net investment income (0.28) (0.11) (0.08) (0.03) (0.14)
NET ASSET VALUE, END OF YEAR $ 19.03 $ 15.46 $ 12.96 $ 10.36 $ 10.08
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 25.17% 20.16% 25.93% 3.10% (18.93)%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $900,603 $625,091 $425,956 $250,224 $203,148
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 1.17% 1.24%+ 1.30% 1.35%+ 1.30%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 1.17% 1.24% 1.30% 1.31% 1.34%
Net investment income to average net assets 2.09% 1.83%+ 0.73% 1.21%+ 0.52%
Portfolio turnover 52% 39% 117% 88% 109%
</Table>
309
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
UBS PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS A
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006 2005 ~ 2004 2003 ~ 2002
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.13 $ 10.55 $ 8.88 $ 7.74 $ 8.01
Net investment income (loss) 0.21@ 0.15@ 0.02@ 0.07@ (0.03)
Net realized and unrealized gains (losses) from investment activities 3.10 4.43 1.65 1.07 (0.24)
Net increase (decrease) from operations 3.31 4.58 1.67 1.14 (0.27)
Dividends from net investment income (0.14) (0.00)# -- -- --
NET ASSET VALUE, END OF YEAR $ 18.30 $ 15.13 $ 10.55 $ 8.88 $ 7.74
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 21.97% 43.42% 18.81% 14.73% (3.37)%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $21,651 $16,691 $11,965 $9,810 $5,566
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 1.97%^ 2.09%^ 2.13%^ 2.18% 1.87%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 1.97% 2.09% 2.13% 2.36% 2.27%
Net investment income (loss) to average net assets 1.20%^ 1.13%^ 0.20%^ 0.91% (0.23)%
Portfolio turnover 84% 119% 128% 214% 129%
</Table>
# Amount of dividend paid represents less than $0.005 per share.
~ Investment advisory functions for this Portfolio were transferred from
Schroder Investment Management North America Inc. to Baring International
Investment Limited and Gartmore Global Partners on August 2, 2002. Mondrian
Investment Partners Ltd. replaced Baring International Investments Ltd. on
September 28, 2004. Gartmore Global Partners continues to provide a portion
of the investment advisory function.
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each year reported. The figures
do not include any applicable sales charges; results would be lower if they
were included. Returns do not reflect the deduction of taxes that a
shareholder would pay on Portfolio distributions or the redemption of
Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the expense
cap.
310
<Page>
<Table>
<Caption>
CLASS B
-------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------
2006 2005 ~ 2004 2003 ~ 2002
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $14.55 $10.25 $ 8.70 $ 7.66 $ 7.98
Net investment income (loss) 0.05@ 0.01@ (0.09)@ (0.04)@ (0.11)
Net realized and unrealized gains (losses) from investment activities 3.00 4.29 1.64 1.08 (0.21)
Net increase (decrease) from operations 3.05 4.30 1.55 1.04 (0.32)
Dividends from net investment income -- -- -- -- --
NET ASSET VALUE, END OF YEAR $17.60 $14.55 $10.25 $ 8.70 $ 7.66
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 20.96% 41.95% 17.82% 13.58% (4.01)%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 522 $ 690 $ 857 $2,235 $5,426
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 2.86%^ 3.02%^ 3.03%^ 2.91% 2.66%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 2.86% 3.02% 3.03% 3.18% 3.05%
Net investment income (loss) to average net assets 0.29%^ 0.11%^ (0.90)%^ (0.51)% (1.05)%
Portfolio turnover 84% 119% 128% 214% 129%
<Caption>
CLASS C
-------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------
2006 2005 ~ 2004 2003 ~ 2002
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $14.58 $10.25 $ 8.69 $ 7.66 $ 7.98
Net investment income (loss) 0.07@ 0.04@ (0.07)@ (0.01)@ (0.10)
Net realized and unrealized gains (losses) from investment activities 3.00 4.29 1.63 1.04 (0.22)
Net increase (decrease) from operations 3.07 4.33 1.56 1.03 (0.32)
Dividends from net investment income (0.03) -- -- -- --
NET ASSET VALUE, END OF YEAR $17.62 $14.58 $10.25 $ 8.69 $ 7.66
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 21.06% 42.24% 17.95% 13.45% (4.01)%
=========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $5,484 $4,625 $3,768 $3,752 $3,497
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 2.78%^ 2.86%^ 2.91%^ 2.96% 2.67%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 2.78% 2.86% 2.91% 3.15% 3.07%
Net investment income (loss) to average net assets 0.40%^ 0.35%^ (0.64)%^ (0.17)% (1.05)%
Portfolio turnover 84% 119% 128% 214% 129%
</Table>
311
<Page>
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
<Table>
<Caption>
CLASS Y
---------------------------------------------------
FOR THE YEARS ENDED JULY 31,
---------------------------------------------------
2006 2005 ~ 2004 2003 ~ 2002
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.30 $ 10.66 $ 8.94 $ 7.77 $ 8.02
Net investment income (loss) 0.30@ 0.23@ 0.09@ 0.16@ (0.01)
Net realized and unrealized gains (losses) from investment activities 3.13 4.45 1.63 1.01 (0.24)
Net increase (decrease) from operations 3.43 4.68 1.72 1.17 (0.25)
Dividends from net investment income (0.20) (0.04) -- -- --
NET ASSET VALUE, END OF YEAR $ 18.53 $ 15.30 $10.66 $ 8.94 $ 7.77
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 22.52% 43.97% 19.24% 15.06% (3.12)%
===========================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $20,201 $14,518 $5,017 $1,380 $ 462
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 1.56% 1.67% 1.71%^ 1.96% 1.67%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 1.56% 1.67% 1.71% 2.01% 2.07%
Net investment income (loss) to average net assets 1.64% 1.72% 0.78%^ 2.03% (0.05)%
Portfolio turnover 84% 119% 128% 214% 129%
</Table>
~ Investment advisory functions for this Portfolio were transferred from
Schroder Investment Management North America Inc. to Baring International
Investment Limited and Gartmore Global Partners on August 2, 2002.
Mondrian Investment Partners Ltd. replaced Baring International
Investments Ltd. on September 28, 2004. Gartmore Global Partners
continues to provide a portion of the investment advisory function.
@ Calculated using the average month-end shares outstanding for the year.
(1) Total investment return is calculated assuming a $10,000 investment on
the first day of each year reported, reinvestment of all dividends and
other distributions, if any, at net asset value on the ex-dividend dates,
and a sale at net asset value on the last day of each year reported. The
figures do not include any applicable program fees; results would be
lower if they were included. Returns do not reflect the deduction of
taxes that a shareholder would pay on Portfolio distributions or the
redemption of Portfolio shares.
^ The investment manager recouped expenses previously reimbursed by the
investment manager on behalf of the Portfolio, not to exceed the
Portfolio's expense cap.
312
<Page>
<Table>
<Caption>
CLASS P
-------------------------------------------------------
FOR THE YEARS ENDED JULY 31,
-------------------------------------------------------
2006 2005 ~ 2004 2003 ~ 2002
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR $ 15.25 $ 10.64 $ 8.94 $ 7.79 $ 8.02
Net investment income (loss) 0.21@ 0.17@ 0.04@ 0.07@ 0.01
Net realized and unrealized gains (losses) from investment activities 3.13 4.45 1.66 1.08 (0.24)
Net increase (decrease) from operations 3.34 4.62 1.70 1.15 (0.23)
Dividends from net investment income (0.15) (0.01) -- -- --
NET ASSET VALUE, END OF YEAR $ 18.44 $ 15.25 $ 10.64 $ 8.94 $ 7.79
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) 21.98% 43.46% 19.02% 14.76% (2.87)%
===============================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $259,321 $199,403 $117,746 $78,462 $62,376
Expenses to average net assets, net of fee waivers and/or expense
reimbursements by and recoupments to manager 1.98%^ 2.00% 2.00% 1.84% 1.50%
Expenses to average net assets, before fee waivers and/or expense
reimbursements by manager 1.98% 2.05% 2.08% 2.30% 2.18%
Net investment income (loss) to average net assets 1.20%^ 1.28% 0.37% 0.98% 0.13%
Portfolio turnover 84% 119% 128% 214% 129%
</Table>
313
<Page>
UBS PACE Select Advisors Trust
FINANCIAL HIGHLIGHTS
PACE ALTERNATIVE STRATEGIES INVESTMENTS
Selected data for a share of beneficial interest outstanding throughout each
period is presented below:
<Table>
<Caption>
CLASS A CLASS B CLASS C CLASS Y CLASS P
---------------- ---------------- ---------------- ---------------- ----------------
FOR THE FOR THE FOR THE FOR THE PERIOD FOR THE
PERIOD ENDED PERIOD ENDED PERIOD ENDED APRIL 3, 2006(d) PERIOD ENDED
JULY 31, 2006(a) JULY 31, 2006(b) JULY 31, 2006(c) TO JULY 26, 2006 JULY 31, 2006(a)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.01 $9.84 $ 9.97 $10.00 $ 10.01
Net investment income 0.03@ 0.01@ 0.02@ 0.06@ 0.03@
Net realized and unrealized gains (losses)
from investment activities (0.11) 0.06 (0.08) (0.20) (0.10)
Net increase (decrease) from operations (0.08) 0.07 (0.06) (0.14) (0.07)
NET ASSET VALUE, END OF PERIOD $ 9.93 $9.91 $ 9.91 $ 9.86 $ 9.94
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(1) (0.80)% 0.71% (0.60)% (1.40)% (0.70)%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $10,393 $ 3 $ 302 $ -- $46,920
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager including interest expense for
securities sold short 2.14%* 2.83%* 2.84%* 1.76%* 1.90%*
Expenses to average net assets, before fee
waivers and/or expense reimbursements by
manager including interest expense for
securities sold short 4.24%* 5.09%* 4.35%* 2.34%* 4.12%*
Expenses to average net assets, net of fee
waivers and/or expense reimbursements by
manager excluding interest expense for
securities sold short 1.95%* 2.70%* 2.70%* 1.70%* 1.70%*
Net investment income to average net
assets 1.30%* 0.41%* 0.66%* 1.94%* 1.47%*
Portfolio turnover 54% 54% 54% 54% 54%
</Table>
* Annualized.
@ Calculated using the average month-end shares outstanding for the period.
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each period reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the ex-dividend dates, and a
sale at net asset value on the last day of each period reported. The
figures do not include any applicable sales charges or program fees;
results would be lower if they were included. Total investment return for
periods of less than one year has not been annualized. Returns do not
reflect the deduction of taxes that a shareholder would pay on Portfolio
distributions or the redemption of Portfolio shares.
(a) For the period April 10, 2006 (commencement of issuance) through July 31,
2006.
(b) For the period May 19, 2006 (commencement of issuance) through July 31,
2006.
(c) For the period April 11, 2006 (commencement of issuance) through July 31,
2006.
(d) For the period April 3, 2006 (commencement of issuance) through July 26,
2006.
314
<Page>
UBS PACE Select Advisors Trust
REPORT OF ERNST & YOUNG LLP, INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of
UBS PACE Select Advisors Trust
We have audited the accompanying statements of assets and liabilities of UBS
PACE Select Advisors Trust (comprising, respectively, UBS PACE Money Market
Investments, UBS PACE Government Securities Fixed Income Investments, UBS PACE
Intermediate Fixed Income Investments, UBS PACE Strategic Fixed Income
Investments, UBS PACE Municipal Fixed Income Investments, UBS PACE Global Fixed
Income Investments, UBS PACE High Yield Investments, UBS PACE Large Co Value
Equity Investments, UBS PACE Large Co Growth Equity Investments, UBS PACE
Small/Medium Co Value Equity Investments, UBS PACE Small/Medium Co Growth Equity
Investments, UBS PACE International Equity Investments, UBS PACE International
Emerging Markets Equity Investments and UBS Alternative Strategies Investments),
collectively (the "Trust"), including the portfolios of investments, as of July
31, 2006, and the related statements of operations and changes in net assets and
financial highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Trust's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Trust's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of July 31, 2006, by correspondence with the custodian and
others, or by other appropriate auditing procedures where replies from others
were not received. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting UBS PACE Select Advisors Trust at July
31, 2006, and the results of their operations, the changes in their net assets,
and the financial highlights for each of the indicated periods, in conformity
with US generally accepted accounting principles.
/s/ Ernst & Young LLP
New York, New York
September 15, 2006
315
<Page>
UBS PACE Select Advisors Trust
TAX INFORMATION (UNAUDITED)
We are required by subchapter M of the Internal Revenue Code of 1986, as
amended, to advise you within 60 days of each Portfolio's fiscal year end (July
31, 2006) as to the federal tax status of distributions received by shareholders
during such fiscal year. Accordingly, the percentage of dividends paid that
qualify for the dividends received deduction for corporate shareholders and the
amount of foreign tax credit to be passed through to shareholders are as
follows:
<Table>
<Caption>
DIVIDEND FOREIGN
RECEIVED TAX
PORTFOLIO DEDUCTION CREDIT
- -----------------------------------------------------------------------------------
UBS PACE Large Co Value Equity Investments 79% --
UBS PACE Large Co Growth Equity Investments 100%
UBS PACE Small/Medium Co Value Equity Investments 52%
UBS PACE Small/Medium Co Growth Equity Investments 12%
UBS PACE International Equity Investments -- $2,076,687
UBS PACE International Emerging Markets Equity Investments -- 973,075
</Table>
Also, for the fiscal year ended July 31, 2006, the foreign source income for
information reporting purposes for UBS PACE International Equity Investments and
UBS PACE International Emerging Markets Equity Investments is $30,159,476 and
$9,103,499, respectively.
For the fiscal year ended July 31, 2006, certain dividends paid by UBS PACE
Large Co Value Equity Investments, UBS PACE Large Co Growth Equity Investments,
UBS PACE Small/Medium Co Value Equity Investments, UBS PACE Small/Medium Co
Growth Equity Investments, UBS PACE International Equity Investments and UBS
PACE International Emerging Markets Equity Investments may be subject to a
maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief
Reconciliation Act of 2003. Of the distributions paid during the fiscal year,
$14,161,572, $1,015,518, $5,242,333, $7,275,452, $14,618,152, and $2,405,052,
respectively, represents the maximum amount that may be considered qualified
dividend income.
Dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be
reported as taxable income. Some retirement trusts (e.g., corporate, Keogh and
403(b)(7) plans) may need this information for their annual information
reporting.
Shareholders should not use the above information to prepare their tax returns.
Since each Portfolio's fiscal year is not the calendar year, another
notification will be sent with respect to calendar year 2006. Such notification,
which will reflect the amount to be used by calendar year taxpayers on their
federal income tax returns, will be made in conjunction with Form 1099 DIV and
will be mailed in January 2007. Shareholders are advised to consult their own
tax advisers with respect to the tax consequences of their investment in each of
the Portfolios.
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UBS PACE Select Advisors Trust
GENERAL INFORMATION (UNAUDITED)
QUARTERLY FORM N-Q PORTFOLIO SCHEDULE
Each Portfolio will file its complete schedule of portfolio holdings with the
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. The Portfolios' Forms N-Q are available on the
SEC's Web site at http://www.sec.gov. The Portfolios' Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, D.C. Information on
the operation of the SEC's Public Reference Room may be obtained by calling
1-800-SEC 0330. Additionally, you may obtain copies of Forms N-Q from the
Portfolios upon request by calling 1-800-647 1568.
PROXY VOTING POLICIES, PROCEDURES AND RECORD
You may obtain a description of each Portfolio's (1) proxy voting policies, (2)
proxy voting procedures and (3) information regarding how a Portfolio voted any
proxies related to portfolio securities during the most recent 12-month period
ended June 30 for which an SEC filing has been made, without charge, upon
request by contacting a Portfolio directly at 1-800-647 1568, online on a
Portfolio's Web site: www.ubs.com/ubsglobalam-proxy, or on the EDGAR Database on
the SEC's Web site (http://www.sec.gov).
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UBS PACE Select Advisors Trust
BOARD APPROVALS OF INVESTMENT ADVISORY AND ADMINISTRATION
AGREEMENTS AND/OR SUBADVISORY AGREEMENTS DURING THE PERIOD
FEBRUARY 1, 2006 THROUGH JULY 31, 2006 (UNAUDITED)
FEBRUARY 8, 2006 BOARD MEETING:
UBS PACE ALTERNATIVE STRATEGIES INVESTMENTS AND UBS PACE HIGH YIELD
INVESTMENTS--BOARD APPROVAL OF INVESTMENT MANAGEMENT AND ADMINISTRATION
AGREEMENT AND SUBADVISORY AGREEMENTS:
BACKGROUND--At meetings of UBS PACE Select Advisors Trust's (the "Trust") board
on February 8, 2006 (for UBS PACE Alternative Strategies Investments (the
"Alternative Strategies Portfolio")) and February 8, 2006 and November 16, 2005
(for UBS PACE High Yield Investments (the "High Yield Portfolio" and, together
with the Alternative Strategies Portfolio, the "Portfolios")), the members of
the board, including the Trustees who are not "interested persons" of the Trust
("Independent Trustees"), as defined in the Investment Company Act of 1940, as
amended, considered and approved (a) the applicability of an Investment
Management and Administration Agreement of the Trust to each of Alternative
Strategies Portfolio and High Yield Portfolio, each a new portfolio of the Trust
(such agreement to be similar to the then current agreement for the other
portfolios of the Trust, but with UBS Global Asset Management (Americas) Inc.
("UBS Global AM") and not UBS Global Asset Management (US) Inc. to be the
investment manager and administrator), (b) the proposed subadvisory agreements
between UBS Global AM and each of Analytic Investors, Inc. and Wellington
Management Company, LLP with respect to the Alternative Strategies Portfolio;
and (c) the proposed subadvisory agreement between UBS Global AM and MacKay
Shields LLC with respect to the High Yield Portfolio. In considering the
approval of the Investment Management and Administration Agreement and the three
new subadvisory agreements (together, the "Agreements"), the board of trustees
was able to draw on its knowledge of the Trust, its other portfolios and UBS
Global AM and its sister firm, UBS Global Asset Management (US) Inc. ("UBS
Global AM--US"). The board took note of its knowledge of UBS Global AM--US and
UBS Global AM and the advisory, subadvisory and distribution agreements for the
other portfolios of the Trust, including the extensive materials it had reviewed
at its July 2005 annual contract renewal meeting for the other portfolios, and
noted that it had at that time received a memorandum from its independent legal
counsel discussing, among other things, the duties of board members in
considering approval of advisory, subadvisory and administration agreements. The
board was provided with information about the proposed subadvisers for the
Portfolios, including information about the qualifications, backgrounds and
responsibilities of each proposed subadviser's portfolio management team, assets
under management and investment philosophy and process. The board was also
provided by UBS Global AM--US with memoranda with additional information about
each proposed subadviser and UBS Global AM--US's discussion of reasons for
recommending the proposed subadvisers to the board, and a summary of each
subadviser's responses to certain compliance-related questions. The board also
met with members of the portfolio management team for each proposed subadviser.
In its consideration of the approval of the Investment Management and
Administration Agreement and the proposed subadvisory agreements, the board
considered the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE INVESTMENT MANAGEMENT AND
ADMINISTRATION AGREEMENT AND THE SUBADVISORY AGREEMENTS--The board took note
that at its last annual contract renewal meeting for the Trust, in connection
with its review of the Trust's advisory, subadvisory and distribution
agreements, it had received and considered extensive information regarding the
nature, extent and quality of management services generally provided to the
Trust portfolios by UBS Global AM--US under the Investment Management and
Administration Agreement, and a description of the administrative and other
services rendered to the Trust portfolios and their shareholders by UBS Global
AM--US and UBS Global AM--US's role in coordinating providers of other services
to the portfolios, including custody, accounting and transfer agency services
and oversight of the provision of subadvisory services by the subadvisers to the
portfolios. UBS Global AM was expected to provide similar services to the
Portfolios. The
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board's evaluation of the services to be provided by UBS Global AM and the
proposed subadvisers to the two new Portfolios took into account the board's
knowledge and familiarity gained as board members of funds in the UBS New York
Fund complex, including the scope and quality of its sister company's, UBS
Global AM-US's, investment management and other capabilities and the quality of
its administrative and other services and the expectation that the same types of
services would be provided to the Portfolios under the Investment Management and
Administration Agreement with UBS Global AM. The board observed that the scope
of services provided by UBS Global AM--US had expanded over time as a result of
regulatory and other developments, including maintaining and monitoring its own
and the UBS funds' (including the Trust's) expanded compliance programs, and
similar services were expected to be provided by UBS Global AM. As noted above,
the board also received extensive materials from UBS Global AM--US and from the
proposed subadvisers about the subadvisers. The board also considered, based on
its knowledge of UBS Global AM and its affiliates, the financial resources
available to UBS Global AM and its parent organization, UBS AG.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services expected to be provided to the Portfolios under the
Investment Management and Administration Agreement and the proposed subadvisory
agreements.
MANAGEMENT AND SUBADVISORY FEES--For each Portfolio, the board reviewed and
considered the proposed contractual management fee to be payable by the
Portfolio to UBS Global AM in light of the nature, extent and quality of the
management and administrative services anticipated to be provided by UBS Global
AM. The board also reviewed and considered the proposed fee waiver for each
Portfolio, noting that UBS Global AM was proposing a written fee waiver
agreement/expense reimbursement agreement with the Trust on behalf of each
Portfolio whereby UBS Global AM would be contractually obligated to waive its
management fees and/or reimburse the applicable Portfolio so that the total
operating expenses of each class of the Alternative Investments Portfolio
through December 1, 2006 (excluding interest expense, if any) would not exceed
1.95% for Class A, 2.70% for Class B, 2.70% for Class C and 1.70% for Class Y
and Class P and the total operating expenses of each class of the High Yield
Portfolio through December 1, 2006 (excluding interest expense, if any) would
not exceed 1.35% for Class A, 2.10% for Class B, 1.85% for Class C and 1.10% for
Class Y and Class P. The board also noted that under the terms of each fee
waiver/expense reimbursement agreement, a Portfolio would be expected to repay
UBS Global AM for any reimbursed expenses to the extent that it can do so over
the following three fiscal years without causing the Portfolio's expenses in any
of those three years to exceed these expense caps. The board also received
information from UBS Global AM for each Portfolio comparing the proposed
Contractual Management Fee to advisory fees for similar funds. The board did not
receive comparative information with respect to the proposed subadvisory fees.
The board noted that the compensation to be paid to the proposed subadvisers
would be paid by UBS Global AM, not the particular Portfolio and, accordingly,
that the retention of the subadvisers would not increase the fees otherwise
incurred by a Portfolio's shareholders.
Taking all of the above into consideration, the board determined that the
proposed management fee and the subadvisory fees were reasonable in light of the
nature, extent and quality of the services proposed to be provided to the
Portfolios under the Investment Management and Administration Agreement and the
subadvisory agreements, respectively.
PORTFOLIO PERFORMANCE--As the Portfolios had not yet commenced operations,
Portfolio performance was not a factor considered by the board. In its
consideration of the proposed subadvisers, the board did receive and consider
information with respect to the proposed subadvisers' overall investment
performance with funds and other accounts similar to the Portfolios, to the
extent such information was available.
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ADVISER PROFITABILITY--As the Portfolios had not yet commenced operations,
profitability of UBS Global AM or its affiliates in providing services to the
Portfolios was not a factor considered by the board.
ECONOMIES OF SCALE--The board considered whether economies of scale in the
provision of services to the Portfolios would be passed along to the
shareholders. The board noted that each Portfolio's proposed contractual
management fee contained multiple breakpoints which, if the Portfolio were to
exceed the asset level of its first breakpoint, would provide economies of
scale. Accordingly, the board determined that potential economies of scale
existed for each Portfolio in the form of breakpoints to the contractual
management fee. The board also noted that to the extent a Portfolio's assets
were to increase over time, it would realize other economies of scale as certain
expenses, such as fees for trustees, auditors and legal fees, become a smaller
percentage of overall assets. The board also noted that, as the subadvisory fee
for each Portfolio would be paid by UBS Global AM, not the Portfolio, separate
considerations of economies of scale with respect to the subadvisory fee were
not relevant. The board believed that UBS Global AM's sharing of potential
economies of scale with the Portfolios was acceptable.
OTHER BENEFITS TO UBS GLOBAL AM AND THE SUBADVISERS--The board considered other
benefits received by UBS Global AM and its affiliates as a result of its
relationship with the Portfolios, including the opportunity to offer additional
products and services to Portfolio shareholders. The board was informed by
management that the proposed subadvisers' relationships with the Portfolios
would be limited to their provision of subadvisory services to the Portfolios
and that therefore management believed that the subadvisers did not receive
ancillary tangible benefits as a result of their relationships with the
Portfolios, with the exception of possible benefits from soft dollars for the
Portfolios (which would also potentially benefit the Portfolios).
In light of the costs of providing investment management, administrative and
other services to the Portfolios and UBS Global AM's ongoing commitment to the
Portfolios, the ancillary benefits that UBS Global AM and its affiliates
received were considered reasonable.
In light of all of the foregoing, the board approved the Investment Management
and Administration Agreement and the subadvisory agreements for each Portfolio.
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the Investment Management and
Administration Agreement or the subadvisory agreements. The Independent Trustees
were advised by separate independent legal counsel throughout the process. The
board discussed the proposed approval of the Investment Management and
Administration Agreement and the subadvisory agreements in a private session
with their independent legal counsel at which no representatives of UBS Global
AM were present.
FEBRUARY 8, 2006 BOARD MEETING:
ALL PORTFOLIOS--BOARD APPROVAL OF TRANSFER OF INVESTMENT MANAGEMENT AND
ADMINISTRATION AGREEMENT AND NEW RELATED SUBADVISORY AGREEMENTS; UBS PACE
SMALL/MEDIUM CO GROWTH EQUITY INVESTMENTS--BOARD APPROVAL OF ADDITIONAL NEW
SUBADVISORY AGREEMENT(S) WITH RESPECT TO FORSTMANNLEFF LLC
BACKGROUND--At a meeting of the board of UBS PACE Select Advisors Trust (the
"Trust") on February 8, 2006, the members of the board, including the board
members who are not "interested persons" of the Trust ("Independent Trustees"),
as defined in the Investment Company Act of 1940, as amended (the
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"1940 Act"), considered and approved the transfer of the current Investment
Management and Administration Agreement of the Trust with respect to its
portfolios (the "Portfolios"), with UBS Global Asset Management (US) Inc. ("UBS
Global AM") to UBS Global Asset Management (Americas) Inc. ("UBS Global
Americas"), an affiliate of UBS Global AM. The board also considered and
approved new related subadvisory agreements between UBS Global Americas and each
Portfolio's sub-advisors to replace the then current subadvisory agreements with
UBS Global AM (each a "New Subadvisory Agreement"). The New Subadvisory
Agreements were substantially similar to the existing subadvisory agreements
except that UBS Global Americas was substituted for UBS Global AM and certain
other minor changes, such as updating names and reflecting the provisions of a
new SEC rule, were made. The board received information and materials about the
proposed transfer both at its November 2005 meeting and at its February 2006
meeting. In considering the approval of the transfer of the Investment Advisory
and Administration Agreement (such transfer referred to as the "New Investment
Advisory and Administration Agreement") and the New Subadvisory Agreements, the
board reviewed a memorandum from UBS Global AM explaining the reasons for the
proposed transfer, including that the transfer would result in management
efficiencies and eliminate the duplication of function that had resulted from
having two registered investment advisors, UBS Global AM and UBS Global
Americas, providing investment advisory services to the UBS funds. The board
also reviewed materials provided by UBS Global AM on UBS Global Americas,
including that the current personnel involved with the Portfolios would not
change as a result of the transfer from UBS Global AM to UBS Global Americas.
The board also considered management's explanation that any expenses resulting
from the transfer and the New Subadvisory Agreements would be borne by UBS
Global AM, and not the Portfolios. The board also received and reviewed a draft
of an opinion to be provided by Dechert LLP, counsel to the Trust, that the
proposed transfer would not be considered an "assignment" of the existing
investment management contract under the Investment Company Act of 1940, as
amended, because (1) there would be no change of actual control of the
investment manager to the Portfolios; (2) there would be no change of management
of the investment manager to the Portfolios; (3) the nature, quality and extent
of the investment management services provided by UBS Global AM under the
current Investment Management and Administration Agreement would not change as a
result of the transfer; (4) the transfer would not result in any change in the
fundamental investment processes, investment strategies or investment techniques
currently employed by UBS Global AM or other investment professionals in
providing services to the Portfolios; and (5) there would be no change to any of
the material terms of the Investment Management and Administration Agreement as
a result of the transfer. The Dechert materials also noted that the New
Subadvisory Agreements could be entered into as part of the transition pursuant
to SEC exemptive relief previously obtained by the Trust. The board took note of
its knowledge of UBS Global AM and its affiliates, including UBS Global
Americas, and the current Investment Advisory and Administration Agreement and
related subadvisory agreements for the Portfolios, including the extensive
materials it had reviewed at its annual contract renewal meeting in the summer
of 2005 for the Portfolios, and noted that it had at that time received a
memorandum from its independent legal counsel discussing, among other things,
the duties of board members in considering approval of management, subadvisory
and administration agreements.
The board was also requested to consider the approval of additional New
Subadvisory Agreement(s) with Forstmann-Leff Associates, LLC ("Forstmann-Leff")
for UBS PACE Small/Medium Co Growth Equity Investments because Forstmann-Leff
had announced a proposed change in its ownership and control which would have
resulted in the assignment and automatic termination of the current subadvisory
agreement under the 1940 Act. In considering whether to approve the additional
New Subadvisory Agreement(s) for Forstmann-Leff (which would only become
effective if the transaction giving rise to a change in control occurred), the
board received information on the proposed transaction and the new proposed
controlling entity and considered certain other factors, including the effect on
Forstmann-Leff and the portfolio
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management team of the proposed change of control, UBS Global AM's continued
recommendation of Forstmann-Leff, the expected continuity of the portfolio
management team and the resources which UBS Global AM believed would be
available to Forstmann-Leff after the change in control. As the additional New
Subadvisory Agreement(s) with Forstmann-Leff would be substantially similar to
the current subadvisory agreement with Forstmann-Leff and as the subadvisory fee
would not change, the factors considered by the board and the determinations
made by the board set forth below with respect to the other Portfolios were
considered equally applicable to the New Subadvisory Agreement(s) with
Forstmann-Leff. Management explained to the board that it was requesting that
the board approve the New Subadvisory Agreement(s) for Forstmann-Leff to take
effect upon the closing of the anticipated transaction. Given that the closing
might occur prior to or after the transfer of the Investment Management and
Administration Agreement from UBS Global AM to UBS Global Americas, the board
was asked to approve New Subadvisory Agreement(s) between Forstmann-Leff and UBS
Global AM and between Forstmann-Leff and UBS Global Americas as necessary to
facilitate both the (1) UBS Global AM transfer to UBS Global Americas and (2)
the Forstmann-Leff transaction in such a way that a contract would continue to
exist between the relevant parties and there would be no gap in the provision of
services to the Portfolio. Given the timing uncertainties, various permutations
were possible and would be covered by the approvals discussed.
In its consideration of the approval of the New Investment Management and
Administration Agreement and the New Subadvisory Agreements, the board
considered the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE NEW INVESTMENT MANAGEMENT
AND ADMINISTRATION AGREEMENT AND RELATED SUBADVISORY AGREEMENTS--The board took
note that at its last annual contract renewal meeting for the Portfolios, in
connection with its review of the Portfolios' management, subadvisory and
distribution agreements, it had received and considered extensive information
regarding the nature, extent and quality of management services generally
provided to the Portfolios by UBS Global AM under the Investment Management and
Administration Agreement, and a description of the administrative and other
services rendered to the Portfolios and their shareholders by UBS Global AM and
UBS Global AM's role in coordinating providers of other services to the
Portfolios, including subadvisory, custody, accounting and transfer agency
services. The board considered management's explanation that UBS Global Americas
would provide identical services under the New Investment Management and
Administration Agreement as were provided by UBS Global AM under the current
Investment Management and Administration Agreement. The board's evaluation of
the services to be provided by UBS Global Americas to the Portfolios took into
account the board's knowledge and familiarity gained as board members of funds
in the UBS New York fund complex, including the scope and quality of investment
management and other capabilities and the quality of administrative and other
services, and considered that based on the materials presented to them these
services would remain the same. The board also considered, based on its
knowledge of UBS Global AM and UBS Global Americas, the financial resources
available to UBS Global Americas and its parent organization, UBS AG, one of the
leading financial services companies in the world. The board also considered the
nature of the services to be provided under the New Subadvisory Agreements and
that such agreements were very similar to those currently in place for each
Portfolio.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services expected to be provided to the Portfolios under the New
Investment Management and Administration Agreement and the New Subadvisory
Agreements.
MANAGEMENT AND SUBADVISORY FEES--The board considered that the current
contractual management fee rates for the Portfolios under the current Investment
Management and Administration Agreement and
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subadvisory agreements were not proposed to be changed under the New Investment
Advisory and Administration Agreement and the New Subadvisory Agreements. The
board also considered that at its most recent annual contract renewal meeting
during the summer of 2005 it had received and reviewed information on the
contractual management fees payable by the Portfolios to UBS Global AM,
including information on management fees paid by comparable funds. The board
also noted that it had received information with regard to fees paid to the
sub-advisors at that meeting (as well as at subsequent meetings with respect to
sub-advisors appointed after the summer of 2005). The board recognized that the
current fee arrangements would not change as a result of the transfer.
Taking all of the above into consideration, the board determined that the
proposed contractual management and subadvisory fees were reasonable in light of
the nature, extent and quality of the services proposed to be provided to the
Portfolios under the New Investment Management and Administration Agreement and
the New Subadvisory Agreements.
PORTFOLIO PERFORMANCE--The board took into consideration the reports on
Portfolio performance received by the board at each meeting and the more
extensive review and discussion of Portfolio performance at its most recent
annual contract renewal meeting. The board also noted that the transfer would
not result in any change in the fundamental investment processes, investment
strategies or investment techniques of the Portfolios and that no changes in the
current personnel overseeing Portfolio management were proposed or anticipated
as a result of the transfer.
Based on its prior review and the more updated performance information provided,
the board concluded that the Portfolios' investment performance was
satisfactory.
ADVISER PROFITABILITY--As UBS Global Americas would be a new adviser to the
Portfolios, profitability of UBS Global Americas in providing services to the
Portfolios was not a primary factor considered by the board. The board did note
that at its most recent annual contract renewal meeting it received and
considered a profitability analysis of UBS Global AM and its affiliates in
providing services to the Portfolios and had determined at that time that UBS
Global AM's profitability was considered not excessive in light of the nature,
extent and quality of the services provided to the Portfolios. The board also
recognized that the management fee would not change as a result of the transfer
and the services provided to the Portfolios by UBS Global Americas would be
identical to those currently provided by UBS Global AM, making the profitability
data received at its last contract renewal meeting still of some relevance. UBS
Global AM also noted that a significant benefit of the transfer of the
Investment Management and Administration Agreement to UBS Global Americas was to
reduce a regulatory capital requirement imposed on UBS Global AM, which was
expected to permit the eventual transfer of certain financial assets owned by
UBS Global AM to satisfy regulatory requirements to other parts of UBS AG for
other corporate purposes. As the subadvisory fees would be paid by UBS Global
Americas (and not the Portfolios) to the sub-advisors, the profitability of the
sub-advisors was not considered relevant in connection with the transfer of
subadvisory arrangements from UBS Global AM to UBS Global Americas.
ECONOMIES OF SCALE--The board noted that it had previously considered whether
economies of scale in the provision of services to the Portfolios would be
passed along to the shareholders during its most recent consideration of the
annual renewal of the Investment Management and Administration Agreement and did
not see the need to reconsider this factor again in the context of the transfer
of the agreement to a sister investment advisor or the entering into of the New
Subadvisory Agreements.
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OTHER BENEFITS TO UBS GLOBAL AMERICAS AND THE SUB-ADVISORS--The board considered
other benefits received by UBS Global Americas and its affiliates as a result of
its proposed relationship with the Portfolios, including the potential
opportunity to offer additional products and services to Portfolio shareholders.
The board also considered the benefits to be realized when certain assets of UBS
Global AM were freed from certain regulatory requirements and were available to
be paid as a dividend from one part of UBS AG to another part of UBS AG for such
purposes as UBS AG deemed appropriate. The board also considered benefits to be
received by sub-advisors in connection with the continuance of their services as
sub-advisors to the Portfolios.
In light of the costs of providing investment management, administrative and
other services to the Portfolios and UBS Global America's expected ongoing
commitment to the Portfolios, the profits and other ancillary benefits that UBS
Global Americas and its affiliates received or would receive were considered
reasonable.
In light of all of the foregoing, the board approved the New Investment
Management and Administration Agreement and the New Subadvisory Agreements for
the Portfolios (in the case of the Forstmann-Leff agreement(s) for UBS PACE
Small/Medium Co Growth Equity Investments, such approval to be for such similar
New Subadvisory Agreements as were necessary to effectuate the continuance of
sub-advisory services for the Portfolio).
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the New Investment Management
and Administration Agreement and the New Subadvisory Agreements. The Independent
Trustees were advised by separate independent legal counsel throughout the
process. The board discussed the proposed approval of the New Investment
Management and Administration Agreement and the New Subadvisory Agreements in a
private session with their independent legal counsel at which no representatives
of UBS Global AM or UBS Global Americas were present.
MAY 10, 2006 BOARD MEETING:
UBS PACE SMALL/MEDIUM CO VALUE EQUITY INVESTMENTS--BOARD APPROVAL OF NEW
SUBADVISORY AGREEMENT:
BACKGROUND--At a meeting of UBS PACE Select Advisors Trust's (the "Trust") board
on May 10, 2006, the members of the board, including the Trustees who are not
"interested persons" of the Trust ("Independent Trustees"), as defined in the
Investment Company Act of 1940, as amended (the "1940 Act"), considered and
approved the proposed subadvisory agreement between the Trust and Metropolitan
West Capital Management, LLC ("Metropolitan West") with respect to UBS PACE
Small/Medium Co Value Equity Investments (the "Portfolio"). In considering the
approval of the new subadvisory agreement, the board of trustees was able to
draw on its knowledge of the Trust, its portfolios and UBS Global Asset
Management (Americas) Inc. ("UBS Global AM"). The board had initially approved
Metropolitan West as a subadviser to the Portfolio at its September 2005
meeting, and had again approved Metropolitan West as a subadviser at its
February 2006 meeting in connection with the transfer of the Trust's subadvisory
agreements from UBS Global Asset Management (US) Inc. to UBS Global AM. The
board was requested to again consider the approval of Metropolitan West as a
subadviser to the Portfolio at its May 2006 meeting because subsequent to its
appointment as subadviser at the September 2005 meeting, Metropolitan West had
announced a proposed change in its ownership and control which would have
resulted in the assignment and automatic termination of the subadvisory
agreement under the 1940 Act.
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In addition to the information and factors discussed below, the board also
received information on the proposed change of control and considered certain
other factors, including the effect on Metropolitan West and the portfolio
management team of the proposed change of control, UBS Global AM's continued
recommendation of Metropolitan West and the expected continuity of the portfolio
management team. The board noted UBS Global AM's explanation that UBS Global AM
had been told by Metropolitan West that Metropolitan West would continue to
maintain its operating independence and autonomy after the change in control,
but would have access to non-investment related resources in, among other
things, operations, technology, systems, compliance and risk management. The
board also noted that Metropolitan West anticipated that there would be no
material changes in Metropolitan West's personnel as a result of the change in
control and that retention agreements would be in place to help ensure
continuity. The board took note that it had been provided with extensive
information about Metropolitan West at the time of its initial approval in
September 2005, including information about the qualifications, backgrounds and
responsibilities of Metropolitan West's portfolio management team, assets under
management and investment philosophy and process. The board also considered that
the proposed subadvisory agreement was substantially identical to the
Metropolitan West subadvisory agreement approved by the board in September 2005.
In its consideration of the approval of the proposed subadvisory agreement, the
board considered the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE SUBADVISORY AGREEMENT--The
board took note that at its last annual contract renewal meeting for the Trust,
in connection with its review of the Trust's advisory, subadvisory and
distribution agreements, it had received and considered extensive information
regarding UBS Global Asset Management (US) Inc. ("UBS Global AM--US"), which at
that time had served as investment manager and administrator of the Trust, which
similar services were now being provided by UBS Global AM, and a description of
UBS Global AM--US's role in coordinating providers of other services to the
portfolios (similar services now being provided by UBS Global AM). The board's
evaluation of the services to be provided by Metropolitan West took into account
the board's knowledge and familiarity gained as board members of funds in the
UBS New York Fund complex. As noted above, the board, in its initial approval of
Metropolitan West as a subadviser to the Portfolio, had received extensive
materials from UBS Global AM--US and from Metropolitan West, including a
memorandum from UBS Global AM--US discussing its reasons for recommending
Metropolitan West.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services currently provided and expected to be provided to the
Portfolio under the subadvisory agreement.
SUBADVISORY FEE--The board noted that the proposed contractual subadvisory fee
to be payable by UBS Global AM to Metropolitan West was identical to the current
subadvisory fee paid to Metropolitan West, and considered the fee in light of
the nature, extent and quality of the subadvisory services provided by
Metropolitan West. The board noted that the compensation paid to Metropolitan
West is paid by UBS Global AM, not the Portfolio and, accordingly, that the
continued retention of Metropolitan West would not increase the fees otherwise
incurred by the Portfolio's shareholders.
Taking all of the above into consideration, the board determined that the
proposed subadvisory fee was reasonable in light of the nature, extent and
quality of the services provided and proposed to be provided to the Portfolio
under the subadvisory agreement.
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PORTFOLIO PERFORMANCE--The board reviewed the information regarding Metropolitan
West's performance which it receives at each meeting. The Board also took note
that it had received and considered information with respect to Metropolitan
West's overall investment performance with other advisory clients similar to the
Portfolio at the time of its recent initial approval of Metropolitan West. The
board noted management's explanation for the Portfolio's current
underperformance of its benchmark and also noted that Metropolitan West had been
a subadviser for slightly more than seven months and thus that any performance
could only be considered in the short-term and also noted that Metropolitan West
was one of three subadvisers for the Portfolio. Overall, based on management's
explanation, the board was satisfied with Metropolitan West's performance.
ADVISER PROFITABILITY--Profitability of UBS Global AM or its affiliates in
providing services to the Portfolio was not a factor considered by the board, as
the subadvisory fee would be paid by UBS Global AM out of the management fee
paid to it by the Portfolio, and not by the Portfolio.
ECONOMIES OF SCALE--The board noted that, as the subadvisory fee for the
Portfolio would be paid by UBS Global AM, not by the Portfolio, consideration of
economies of scale with respect specifically to the subadvisory fee were not
relevant.
OTHER BENEFITS TO THE SUBADVISER--The board took note that at its recent initial
approval of Metropolitan West, it was informed by management that Metropolitan
West's relationship with the Portfolio would be limited to its provision of
subadvisory services to the Portfolio and that therefore management believed
that Metropolitan West did not receive tangible ancillary benefits as a result
of its relationship with the Portfolio, with the exception of possible benefits
from soft dollars for the Portfolio (which would also potentially benefit the
Portfolio).
In light of all of the foregoing, the board approved the proposed subadvisory
agreement for the Portfolio with Metropolitan West.
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the subadvisory agreement.
The Independent Trustees were advised by separate independent legal counsel
throughout the process. The board discussed the proposed approval of the
subadvisory agreement in a private session with their independent legal counsel
at which no representatives of UBS Global AM or Metropolitan West were present.
JUNE 26, 2006 BOARD MEETING:
UBS PACE LARGE CO VALUE EQUITY INVESTMENTS--BOARD APPROVAL OF NEW SUBADVISORY
AGREEMENT:
BACKGROUND--At a meeting of UBS PACE Select Advisors Trust's (the "Trust") board
on June 26, 2006, the members of the board, including the Trustees who are not
"interested persons" of the Trust ("Independent Trustees"), as defined in the
Investment Company Act of 1940, as amended (the "1940 Act"), considered and
approved the proposed subadvisory agreement between UBS Global Asset Management
(Americas) Inc. ("UBS Global AM") and Institutional Capital LLC ("ICAP") with
respect to UBS PACE Large Co Value Equity Investments (the "Portfolio"). The
board was requested to consider the approval of a new subadvisory agreement with
ICAP, which has been a subadviser to the Portfolio since 2000, because ICAP had
announced a proposed change in its ownership and control which would have
resulted in the assignment and automatic termination of the subadvisory
agreement under the 1940 Act.
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In addition to the information and factors discussed below, the board also
received information on the proposed change of control and considered certain
other factors, including the effect on ICAP and the portfolio management team of
the proposed change of control, UBS Global AM's continued recommendation of ICAP
and the expected continuity of the portfolio management team. The board noted
that ICAP anticipated that there would be no material changes in ICAP's
personnel as a result of the change in control. The board took note that it had
been provided with extensive information about ICAP at the time of its annual
contract approval consideration in July 2005, including information about the
investment performance of the Portfolio. The board also considered that the
proposed subadvisory agreement was substantially identical to the ICAP
subadvisory agreement approved by the board in July 2005.
In its consideration of the approval of the proposed subadvisory agreement, the
board considered the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE SUBADVISORY AGREEMENT--The
board took note that at its last annual contract renewal meeting for the Trust,
in connection with its review of the Trust's advisory, subadvisory and
distribution agreements, it had received and considered extensive information
regarding UBS Global AM's sister company, UBS Global Asset Management (US) Inc.
("UBS Global AM--US"), which at that time had served as investment manager and
administrator of the Trust, which similar services were now being provided by
UBS Global AM, and a description of UBS Global AM--US's role in coordinating
providers of other services to the portfolios, including oversight of the
provision of subadvisory services by the subadvisers to the portfolios (similar
services now being provided by UBS Global AM). The board's evaluation of the
services to be provided by ICAP took into account the board's knowledge and
familiarity gained as board members of funds in the UBS New York Fund complex,
including the Trust and its portfolios. As noted above, the board, in its
reapproval of ICAP in July 2005 as a subadviser to the Portfolio, had received
extensive materials from UBS Global AM--US, including information on ICAP's
investment process, compliance procedures and brokerage policies.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services currently provided and expected to be provided to the
Portfolio under the subadvisory agreement.
SUBADVISORY FEE--The board noted that the proposed contractual subadvisory fee
to be payable by UBS Global AM to ICAP was identical to the current subadvisory
fee paid to ICAP, and considered the fee in light of the nature, extent and
quality of the subadvisory services provided by ICAP. The board noted that the
compensation paid to ICAP is paid by UBS Global AM, not the Portfolio and,
accordingly, that the continued retention of ICAP would not increase the fees
otherwise incurred by the Portfolio's shareholders.
Taking all of the above into consideration, the board determined that the
proposed subadvisory fee was reasonable in light of the nature, extent and
quality of the services provided and proposed to be provided to the Portfolio
under the subadvisory agreement.
PORTFOLIO PERFORMANCE--The board considered the information regarding
Portfolio's performance which it had received at its previous meeting. The Board
also took note that it had received and considered information with respect to
ICAP's overall investment performance at the time of its reapproval of ICAP in
July 2005. The board took note of the Portfolio's outperformance of its index
since ICAP and the other two subadvisers to the Portfolio began to subadvise the
Portfolio and management's explanation that ICAP had outperformed the
Portfolio's benchmark for the one-year period ended March 31, 2006. Overall the
board was satisfied with ICAP's performance.
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ADVISER PROFITABILITY--Profitability of UBS Global AM or its affiliates in
providing services to the Portfolio was not a factor considered by the board, as
the subadvisory fee would be paid by UBS Global AM out of the management fee
paid to it by the Portfolio, and not by the Portfolio.
ECONOMIES OF SCALE--The board noted that, as the subadvisory fee for the
Portfolio would be paid by UBS Global AM, not by the Portfolio, consideration of
economies of scale with respect specifically to the subadvisory fee were not
relevant.
OTHER BENEFITS TO THE SUBADVISER--The board took note that at its July 2005
reapproval of ICAP, it was informed by management that ICAP's relationship with
the Portfolio would be limited to its provision of subadvisory services to the
Portfolio and that therefore management believed that ICAP did not receive
tangible ancillary benefits as a result of its relationship with the Portfolio,
with the exception of possible benefits from soft dollars for the Portfolio
(which would also potentially benefit the Portfolio).
In light of all of the foregoing, the board approved the proposed subadvisory
agreement for the Portfolio with ICAP.
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the subadvisory agreement.
The Independent Trustees were advised by separate independent legal counsel
throughout the process. The board discussed the proposed approval of the
subadvisory agreement in a private session with their independent legal counsel
at which no representatives of UBS Global AM or ICAP were present.
JULY 19, 2006 BOARD MEETING:
BOARD APPROVAL OF INVESTMENT MANAGEMENT AND ADMINISTRATION AGREEMENT AND
SUBADVISORY AGREEMENTS
ANNUAL CONTRACT RENEWAL CONSIDERATIONS--ALL PORTFOLIOS--AND OTHER APPROVALS:
BACKGROUND--At a meeting of the Trust's board on July 19, 2006, the members of
the board, including the Trustees who are not "interested persons" of the Trust
("Independent Trustees"), as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), considered and approved the continuance of the
Investment Management and Administration Agreement between UBS Global Asset
Management (Americas) Inc. ("UBS Global AM") and the Trust, on behalf of each
series of the Trust (each a "Portfolio" and together the "Portfolios") and, for
those Portfolios with Subadvisers, the subadvisory agreements for the
Portfolios. In preparing for the meeting, the board members had requested and
received extensive information from UBS Global AM to assist them, including,
with respect to each Portfolio, performance and expense information for other
investment companies with similar investment objectives. The board received and
considered a variety of information about UBS Global AM and, where applicable,
the Portfolios' subadvisers, as well as the advisory, subadvisory,
administrative and distribution arrangements for the Portfolios. The Independent
Trustees discussed the materials initially provided by management prior to the
scheduled board meeting in a session with their independent legal counsel and
requested, and received from management, supplemental materials to assist them
in their consideration of the Investment Management and Administration Agreement
and subadvisory agreements. The board also received a summary prepared by the
Trust's counsel of each Subadviser's responses to requests for due diligence
materials in connection with the board's consideration of the approvals of the
Subadvisory Agreements, including the Subadvisers' soft dollar and trade
allocation practices and current litigation that might affect a
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Subadviser's performance of subadvisory services for the applicable Portfolio.
The board also received materials detailing the administrative services provided
to the Portfolios by UBS Global AM, which include providing accounting and
financial analysis for the Portfolios, ensuring that all financial and tax
regulatory reporting requirements were met, certifying required Securities and
Exchange Commission documentation and monitoring the performance of the
Portfolio's service providers.
The Independent Trustees also met for several hours the evening before the board
meeting and met again after management's presentation was completed to review
the disclosure that had been made to them at the meeting. At all of these
sessions the Independent Trustees met in session with their independent legal
counsel. The Independent Trustees also received a memorandum from their
independent legal counsel discussing the duties of board members in considering
approval of advisory, subadvisory, administration and distribution agreements.
Throughout this discussion, each subadviser to a Portfolio is referred to as a
"Subadviser" and each subadvisory agreement is referred to as a "Subadvisory
Agreement."
In its consideration of the approval of the Investment Management and
Administration Agreement and the Subadvisory Agreements, the board considered
the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE INVESTMENT MANAGEMENT AND
ADMINISTRATION AGREEMENT AND THE SUBADVISORY AGREEMENTS--The board received and
considered information regarding the nature, extent and quality of management
services provided to the Portfolios by UBS Global AM under the Investment
Management and Administration Agreement and, for those Portfolios with
Subadviser(s), subadvisory services provided by the particular Subadviser under
the Subadvisory Agreements during the past year. The board also received a
description of the administrative and other services rendered to the Portfolios
and their shareholders by UBS Global AM, including in particular UBS Global AM's
oversight of each Subadviser's provision of subadvisory services. The board
considered the nature, extent and quality of administrative, distribution, and
shareholder services performed by UBS Global AM and its affiliates for the
Portfolios. The board also considered the resources devoted to, and the record
of compliance with, each Portfolio's compliance policies and procedures. The
board noted that it received information at regular meetings throughout the year
regarding the services rendered by UBS Global AM concerning the management of
each Portfolio's affairs and UBS Global AM's role in coordinating providers of
other services to the Portfolios, including custody, accounting and transfer
agency services and, for each subadvised Portfolio, overseeing the Subadviser's
provision of subadvisory services to the Portfolio. The board noted the
complexity of this process for the Portfolios, given their broad range of
investment strategies. The board noted that UBS Global AM provided extensive
oversight of the almost two dozen Subadvisers for the Portfolios and reported to
the board at each meeting on the Subadvisers' performance. The board also noted
that particularly during the past year there had been a number of subadvisory
changes due to management's recommendations to change the subadvisers for
certain Portfolios. The board also noted that this past year two new Portfolios
had been launched, increasing the amount of subadvisory and other oversight
performed by UBS Global AM. The board's evaluation of the services provided by
UBS Global AM and the Subadvisers took into account the board's knowledge and
familiarity gained as board members of funds in the UBS New York Fund complex,
including the scope and quality of UBS Global AM's investment management and
other capabilities and the quality of its administrative and other services. The
board observed that the scope of services provided by UBS Global AM had expanded
over time as a result of regulatory and other developments, including
maintaining and monitoring its own and the Portfolios' expanded compliance
programs.
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The board had available to it the qualifications, backgrounds and
responsibilities of each Portfolio's senior personnel at UBS Global AM and had
received information regarding the person, persons or portfolio management team
primarily responsible for the day-to-day portfolio management of each Portfolio
and recognized that the Portfolios' senior personnel at UBS Global AM report to
the board regularly, some at every board meeting, and that at each regular
meeting the board receives a detailed report on each Portfolio's performance and
receives more extensive information periodically from each Subadviser. The board
also considered, based on its knowledge of UBS Global AM and its affiliates, the
financial resources available to UBS Global AM and its parent organization, UBS
AG. In that regard, the board received extensive financial information regarding
UBS Global AM and noted that it was a wholly owned, indirect subsidiary of one
of the largest financial services firms in the world. It was also noted that UBS
Global AM had well over $100 billion in assets under management and was part of
the UBS Global Asset Management Division, which had over $600 billion of assets
under management worldwide.
The board reviewed how transactions in Portfolio assets are effected. The board
also reviewed, with respect to the non-money market Portfolios, brokerage
policies and practices, the standards applied in seeking best execution,
policies and practices regarding soft dollars, the use of a broker affiliated
with UBS Global AM or a Subadviser and the existence of quality controls
applicable to brokerage allocation procedures. In addition, UBS Global AM also
reported to the board on, among other things, its disaster recovery plans and
portfolio manager compensation plan.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services provided (and expected to be provided) to the Portfolios
under the Investment Management and Administration Agreement and, for the
subadvised Portfolios, the Subadvisory Agreements.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--For each Portfolio, the
board reviewed and considered the contractual management fee (each, a
"Contractual Management Fee") payable by the Portfolio to UBS Global AM in light
of the nature, extent and quality of the management and administrative services
provided by UBS Global AM. The board also reviewed and considered the fee waiver
and/or expense reimbursement arrangements currently in place for the Portfolio,
if any, and considered the actual fee rate (after taking any waivers and
reimbursements into account) (the "Actual Management Fee"). Additionally, the
board received and considered information comparing each Portfolio's Contractual
Management Fee, Actual Management Fee and overall expenses with those of funds
in a group of funds selected and provided by Lipper, Inc. ("Lipper"), an
independent provider of investment company data (the "Expense Group"). A
discussion of the board's considerations with respect to each Portfolio's fees
is set forth below.
In connection with its consideration of each Portfolio's management fees, the
board also received information on UBS Global AM's standard institutional
account fees for accounts of a similar investment type to each of the
Portfolios. The board noted that, in general, these fees were lower than the
Contractual Management Fees and Actual Management Fees for the Portfolios, but
also noted management's explanation that comparisons with such accounts may be
of limited relevance given the different structures and regulatory requirements
of mutual funds versus such accounts and the differences in the levels of
services required by mutual funds and such accounts. The board also received
information on fees charged to other mutual funds managed by UBS Global AM. The
board did not receive comparative information from Lipper with respect to the
subadvisory fees for those Portfolios with Subadvisers in connection with its
consideration of subadvisory fees. The board observed that it had received
certain information regarding fees, profitability, compensation from other
similar funds and economies of scale from certain Subadvisers as part of the
summary of each Subadviser's responses to requests for due diligence materials
in connection with the board's consideration of the approvals of the Subadvisory
Agreements; however, the board also
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observed that the compensation paid to a Subadviser is paid by UBS Global AM,
not the particular Portfolio and, accordingly, that the retention of a
Subadviser does not increase the fees otherwise incurred by a Portfolio's
shareholders.
PORTFOLIO PERFORMANCE--For each Portfolio, the board received and considered
performance information of the Portfolio compared to other funds (the
"Performance Universe") selected by Lipper over the one-, three-, five-, ten-
and since inception periods (or shorter for newer Portfolios) ended April 30,
2006. The board was provided with a description of the methodology Lipper used
to determine the similarity of a Portfolio with the funds included in its
Performance Universe. The board also took note of management's statement that it
considered the Lipper peer groups useful in evaluating Portfolio expenses
relative to peers but less useful in evaluating performance, as the Performance
Universe peer group was broad-based and consisted of funds that did not
necessarily have similar parameters to the relevant Portfolio. The board also
noted that it had received information throughout the year at periodic intervals
with respect to each Portfolio's performance, including in most cases with
respect to certain benchmark indices. Further discussion of the board's
considerations with respect to each Portfolio's performance is set forth below.
ADVISER PROFITABILITY--The board received and considered a profitability
analysis of UBS Global AM and its affiliates in providing services to each
Portfolio. The board also received profitability information with respect to the
UBS New York fund complex as a whole. In addition, the board received
information with respect to UBS Global AM's allocation methodologies used in
preparing this profitability data. UBS Global AM's profitability was considered
not excessive in light of the nature, extent and quality of the services
provided to the Portfolios. The board was not provided with similar detailed
information regarding the profitability of the Subadvisers in providing services
to the subadvised Portfolios, although the board had received some limited
information from certain Subadvisers with respect to a profitability analysis as
part of the summary of Subadviser responses to a detailed questionnaire which
the Subadvisers had completed in connection with contract renewal
considerations. The board did not consider such Subadviser profitability
information particularly relevant as the subadvisory fees are paid by UBS Global
AM, not by the relevant Portfolio.
ECONOMIES OF SCALE--The board received and considered information from
management regarding whether there have been economies of scale with respect to
the management of the Portfolios, whether the Portfolios have appropriately
benefited from any economies of scale, and whether there is potential for
realization of any further economies of scale for the Portfolios. The board
considered whether economies of scale in the provision of services to the
Portfolios were being passed along to the shareholders. The board noted that,
with the exception of UBS PACE Money Market Investments, each Portfolio's
Contractual Management Fee contained breakpoints (with respect to the UBS PACE
Large Co Value Equity Investments, the equivalent of breakpoints in the form of
a permanent fee waiver which reduced the Contractual Management Fee as assets
increased, as explained below). The board also considered that, based on UBS
Global AM's proposed changes in breakpoint levels for most of the fixed-income
Portfolios, discussed below, each fixed-income Portfolio's (with the exception
of UBS PACE Global Fixed Income Investments and UBS PACE High Yield Investments)
asset level would exceed its first breakpoint, allowing for economies of scale.
The board also noted that, with the exception of UBS PACE Large Co Growth Equity
Investments, each equity Portfolio's asset level did not yet exceed its first
breakpoint; therefore, there were potential (but not yet actual, with the
exception of UBS PACE Large Co Growth Equity Investments) economies of scale for
the equity Portfolios because, at such time as a Portfolio's assets did exceed
the first breakpoint, the total expense ratio of the Portfolio would be lower
than if no breakpoints had been in place. Accordingly, the board determined that
actual economies of scale existed (or, under the proposed new breakpoint levels,
would exist) for those Portfolios whose assets had reached the first breakpoint
level and potential economies of scale existed for those Portfolios whose assets
had not yet reached their first breakpoint level.
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The board also noted that to the extent a Portfolio's assets have increased over
time, it has realized other economies of scale as certain expenses, such as fees
for Trustees, auditor and legal fees and printing and postage, become a smaller
percentage of overall assets. The board also observed that most of the
Portfolios' subadvisory fees did not contain breakpoints but also that, as the
subadvisory fee is paid by UBS Global AM, not the Portfolio, separate
considerations of economies of scale with respect to the subadvisory fee were
not relevant. The board also took note of management's explanation that such
subadvisory fee breakpoints were not always negotiable and that if at some point
it had to replace such Subadviser, it might not be able to negotiate a similar
subadvisory fee with breakpoints and, in that case, it would have no choice but
to bear the higher cost or go to shareholders for approval to amend the
Investment Management and Administration Agreement to increase the management
fee. The board also took note of the relationship between any breakpoints in a
subadvisory fee and the breakpoints in fees paid by the Portfolios to UBS Global
AM.
Generally, in light of UBS Global AM's profitability data, the Actual Management
Fee, the Contractual Management Fee and the breakpoints currently in place for
most of the Portfolios, the board believed that UBS Global AM's sharing of
potential and current economies of scale with the Portfolios was acceptable.
OTHER BENEFITS TO UBS GLOBAL AM AND THE SUBADVISERS--The board considered other
benefits received by UBS Global AM and its affiliates as a result of its
relationship with the Portfolios, including the opportunity to offer additional
products and services to Portfolio shareholders. The board was informed by
management that the subadvisers' relationships with the sub-advised Portfolios
were limited to their provision of subadvisory services to these Portfolios and
that therefore management believed that the subadvisers did not receive tangible
ancillary benefits as a result of their relationships with the subadvised
Portfolios, with the exception of possible benefits from soft dollars for the
equity Portfolios (which would also potentially benefit such Portfolios). The
board recognized that certain Subadvisers could receive intangible benefits from
their association with the Trust, such as increased name recognition or
publicity from being selected as Subadvisers to the Trust after an extensive
review process.
In light of the costs of providing investment management, administrative and
other services to the Portfolios and UBS Global AM's ongoing commitment to the
Portfolios, the profits and other ancillary benefits that UBS Global AM and its
affiliates received were considered reasonable.
UBS PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreement with Pacific Investment Management Company LLC, the board,
including the Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the first (i.e., top) quintile for the one- and
three-year periods and the second quintile for the five-year period and since
inception. Based on its review, the board concluded that the Portfolio's
investment performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to considering
the Contractual and Actual Management Fees, the board also considered that UBS
Global AM had entered into a fee waiver/expense reimbursement agreement with the
Portfolio under which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse the Portfolio so that the total operating
expenses of each class of the Portfolio through December 1, 2006 (excluding
interest expense, if any) would not exceed 1.12% for Class A, 1.87% for Class B,
1.62% for Class C, 0.87% for Class Y and 0.87% for Class P.
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The board also considered that the Portfolio has agreed to repay UBS Global AM
for those reimbursed expenses if the Portfolio can do so over the following
three fiscal years without causing its expenses in any of those years to exceed
these expense caps. The comparative Lipper information showed that the
Portfolio's Contractual Management Fee was in the fourth quintile, its Actual
Management Fee was in the third quintile and its total expenses were in the
fifth quintile (with the first quintile representing that fifth of the funds in
the Expense Group with the lowest level of fees or expenses, as applicable and
the fifth quintile representing that fifth of the funds in the Expense Group
with the highest level of fees or expenses, as applicable) in the Portfolio's
Expense Group for the comparison periods utilized in the Lipper report. The
board noted the reason for the higher total expenses was that the Portfolio had
slightly higher custodian fees than other funds in its Expense Group, which were
addressed through fee reductions in custodian fees effective December 1, 2005
(and therefore not fully reflected in the Lipper data). Recognizing the
Portfolio's relatively high expenses, UBS Global AM proposed a reduction in the
Portfolio's management fee breakpoints such that the breakpoint levels would be
reduced by one-half (with the corresponding Contractual Management Fee rate for
each breakpoint tier remaining the same). Management explained that the
reduction in the breakpoint levels would mean that the Portfolio's asset level
would exceed its first breakpoint; allowing the Portfolio to experience
economies of scale.
Taking all of the above into consideration, including management's proposed
change in the Portfolio's Contractual Management Fee breakpoint levels, the
board determined that the management fee and the subadvisory fee were reasonable
in light of the nature, extent and quality of the services provided to the
Portfolio under the Investment Management and Administration Agreement and the
Subadvisory Agreement, respectively.
UBS PACE INTERMEDIATE FIXED INCOME INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreement with BlackRock Financial Management, Inc., the board,
including the Independent Trustees, also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the third quintile for the one- and three-year
periods and the fifth quintile for the five-year period and since inception,
showing overall that the Portfolio's performance relative to its Performance
Universe had improved over time. Based on its review, the board concluded that
the Portfolio's investment performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board also considered that UBS
Global AM had entered into a fee waiver/expense reimbursement agreement with the
Portfolio under which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse the Portfolio so that the total operating
expenses of each class of the Portfolio through December 1, 2006 (excluding
interest expense, if any) would not exceed 1.05% for Class A, 1.80% for Class B,
1.55% for Class C and 0.80% for Class Y and Class P. The board also considered
that the Portfolio has agreed to repay UBS Global AM for those reimbursed
expenses if the Portfolio can do so over the following three fiscal years
without causing its expenses in any of those years to exceed these expense caps.
The comparative Lipper information showed that the Portfolio's Contractual
Management Fee was in the second quintile, its Actual Management Fee was in the
fifth quintile and its total expenses were in the fifth quintile in the
Portfolio's Expense Group for the comparison periods utilized in the Lipper
report. The board noted management's explanation that contributing factors to
the Portfolio's relatively higher total expenses were slightly higher custodian
fees, which were addressed through fee reductions in custodian fees effective
December 1, 2005 (and therefore not fully reflected in the Lipper data)
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and higher actual advisory/administrative fees. Recognizing the Portfolio's
relatively high expenses, UBS Global AM proposed a reduction in the Portfolio's
management fee breakpoints such that the breakpoint levels would be reduced by
one-half (with the corresponding Contractual Management Fee rate for each
breakpoint tier remaining the same). Management explained that the reduction in
the breakpoint levels would mean that the Portfolio's asset level would exceed
its first breakpoint; allowing the Portfolio to experience economies of scale.
Taking all of the above into consideration, including management's proposed
reduction in advisory fee breakpoint levels, the board determined that the
management fee and the subadvisory fee were reasonable in light of the nature,
extent and quality of the services provided to the Portfolio under the
Investment Management and Administration Agreement and the Subadvisory
Agreement, respectively.
UBS PACE STRATEGIC FIXED INCOME INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreement with Pacific Investment Management Company LLC, the board,
including the Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the fifth quintile for the one-year period, in
the third quintile for the three-year period, the first quintile for the
five-year period and the second quintile since inception. Management explained
that the Portfolio's recent short-term underperformance was due to the fact that
the Subadviser was early in extending the duration of the Portfolio in
anticipation that the Federal Reserve would end interest rate tightening, which
hurt performance. Management also explained that they continued to remain
confident of the Subadviser's capabilities in light of the Subadviser's
outperformance for other time periods. Based on its review, the board concluded
that the Portfolio's investment performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board also reviewed and considered
the fee waiver currently in place for the Portfolio and considered the actual
fee rate (after taking any waivers and reimbursements into account) (the "Actual
Management Fee"). The board also considered that UBS Global AM had entered into
a fee waiver/expense reimbursement agreement with the Portfolio under which UBS
Global AM was contractually obligated to waive its management fees and/or
reimburse the Portfolio so that the total operating expenses of each class of
the Portfolio through December 1, 2006 (excluding interest expense, if any)
would not exceed 1.18% for Class A, 1.93% for Class B, 1.68% for Class C and
0.93% for Class Y and Class P. The board also considered that the Portfolio has
agreed to repay UBS Global AM for those reimbursed expenses if the Portfolio can
do so over the following three fiscal years without causing its expenses in any
of those years to exceed these expense caps. The comparative Lipper information
showed that the Portfolio's Contractual Management Fee was in the fourth
quintile, its Actual Management Fee was in the fifth quintile and its total
expenses were in the fifth quintile in the Portfolio's Expense Group for the
comparison periods utilized in the Lipper report. The board noted management's
explanation that contributing factors to the Portfolio's relatively higher total
expenses were slightly higher transfer agency fees caused by relatively low
average account size balances, slightly higher custodian fees, which were
addressed through fee reductions in custodian fees effective December 1, 2005
(and therefore not fully reflected in the Lipper data) and higher actual
advisory/administrative fees. Recognizing the Portfolio's relatively high
expenses, UBS Global AM proposed a reduction in the Portfolio's management fee
breakpoints such that the breakpoint levels would be reduced by one-half (with
the corresponding Contractual Management Fee rate for each breakpoint tier
remaining the same). Management explained that the reduction in the breakpoint
levels
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would mean that the Portfolio's asset level would exceed its first breakpoint;
allowing the Portfolio to experience economies of scale.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fee were reasonable in light of the nature,
extent and quality of the services provided to the Portfolio under the
Investment Management and Administration Agreement and the Subadvisory
Agreement, respectively.
UBS PACE MUNICIPAL FIXED INCOME INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreement with Standish Mellon Asset Management Company LLC, the
board, including the Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the third quintile for the one-year period, the
fourth quintile for the three-year period and the fifth quintile for the
five-year period and since inception. UBS Global AM noted that this Portfolio
was being managed with a shorter duration than many other funds in its peer
group and that this more conservative positioning impacted performance over the
longer-term. Based on its review and management's explanation, the board
concluded that the Portfolio's investment performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board also considered that UBS
Global AM had entered into a fee waiver/expense reimbursement agreement with the
Portfolio under which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse the Portfolio so that the total operating
expenses of each class of the Portfolio through December 1, 2006 (excluding
interest expense, if any) would not exceed 1.01% for Class A, 1.76% for Class B,
1.51% for Class C and 0.76% for Class Y and Class P. The board also considered
that the Portfolio has agreed to repay UBS Global AM for those reimbursed
expenses if the Portfolio can do so over the following three fiscal years
without causing its expenses in any of those years to exceed these expense caps.
The comparative Lipper information showed that the Portfolio's Contractual
Management Fee was in the fourth quintile, its Actual Management Fee was in the
fifth quintile and its total expenses were in the fourth quintile in the
Portfolio's Expense Group for the comparison periods utilized in the Lipper
report. The board noted management's explanation that contributing factors to
the Portfolio's relatively higher total expenses were slightly higher custodian
fees, which were addressed through fee reductions in custodian fees effective
December 1, 2005 (and therefore not fully reflected in the Lipper data) and
higher actual advisory/administrative fees. Recognizing the Portfolio's
relatively high expenses, UBS Global AM proposed a reduction in the Portfolio's
management fee breakpoints such that the breakpoint levels would be reduced by
one-half (with the corresponding Contractual Management Fee rate for each
breakpoint tier remaining the same). Management explained that the reduction in
the breakpoint levels would mean that the Portfolio's asset level would exceed
its first breakpoint; allowing the Portfolio to experience economies of scale.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fee were reasonable in light of the nature,
extent and quality of the services provided to the Portfolio under the
Investment Management and Administration Agreement and the Subadvisory
Agreement, respectively.
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UBS PACE GLOBAL FIXED INCOME INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with each of Rogge Global Partners plc ("Rogge") and
Fischer Francis Trees & Watts, Inc. (and affiliates) ("FFTW"), the board,
including the Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the fourth quintile for the one- period, the
third quintile for the three-year period, the second quintile for the five-year
period and the third quintile for the period since inception. Management
explained that the Portfolio's recent performance was impacted by the strong
dollar; the fund's Performance Universe consists of both hedged and unhedged
funds. The Portfolio is unhedged; when the dollar is strong, underhedged funds
typically underperform hedged funds as they do not hedge the non-U.S. dollar
exposure. Management also noted that effective December 2005, the Portfolio
modified its strategy from global to international, i.e., it now focuses on
non-U.S. (as opposed to U.S. and non-U.S.) fixed income investment
opportunities. Management explained that while the Portfolio continues to invest
in U.S. securities on an opportunistic basis, the Portfolio is not expected to
continue to have as significant a U.S. component as it had prior to the change
in focus. Management anticipated, however, that the Portfolio would still invest
differently than many of the funds comprising its Performance Universe, as the
Performance Universe consists of both global and international funds (i.e.,
those primarily focused outside the US as well as those focused on both the US
and non-US investment universe). Based on its review and management's
explanation, the board concluded that the Portfolio's investment performance was
satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board also considered that UBS
Global AM had entered into a fee waiver/expense reimbursement agreement with the
Portfolio under which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse the Portfolio so that the total operating
expenses of each class of the Portfolio through December 1, 2006 (excluding
interest expense, if any) would not exceed 1.38% for Class A, 2.13% for Class B,
1.88% for Class C and 1.13% for Class Y and Class P. The board also considered
that the Portfolio has agreed to repay UBS Global AM for those reimbursed
expenses if the Portfolio can do so over the following three fiscal years
without causing its expenses in any of those years to exceed these expense caps.
The comparative Lipper information showed that the Portfolio's Contractual
Management Fee and Actual Management Fee were each in the fourth quintile and
its total expenses were in the fifth quintile in the Portfolio's Expense Group
for the comparison periods utilized in the Lipper report. The board noted
management's explanation that contributing factors to the Portfolio's relatively
higher total expenses were slightly higher custodian fees, which were addressed
through fee reductions in custodian fees effective December 1, 2005 (and
therefore not fully reflected in the Lipper data) and higher actual
advisory/administrative fees. Recognizing the Portfolio's relatively high
expenses, UBS Global AM proposed a reduction in the Portfolio's management fee
breakpoints such that the breakpoint levels would be reduced by one-half (with
the corresponding Contractual Management Fee rate for each breakpoint tier
remaining the same). Management explained that although the reduction in the
breakpoint levels would not mean that the Portfolio's asset level would exceed
its first breakpoint at the present time, if the Portfolio grew slightly in the
future economies of scale would be realized due to the breakpoint change as the
Portfolio's asset level was currently close to its first breakpoint.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fees paid to each of Rogge and FFTW were
reasonable in light of the nature, extent and quality of the services provided
to the Portfolio under the Investment Management and Administration Agreement
and the Subadvisory Agreements, respectively.
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UBS PACE LARGE CO VALUE EQUITY INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with each of SSgA Funds Management, Inc. ("SSgA"),
Westwood Management Corporation ("Westwood") and Institutional Capital LLC
("ICAP"), the board, including the Independent Trustees also considered the
following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the first quintile for the one-year and five-year
periods and the second quintile for the three-year period and since inception.
Based on its review, the board concluded that the Portfolio's investment
performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board also considered that UBS
Global AM had entered into a fee waiver agreement with the Portfolio under which
UBS Global AM was contractually obligated to waive its management fees through
December 1, 2006 to the extent necessary to reflect the lower overall fees paid
as a result of the lower subadvisory fee paid by UBS Global AM to SSgA. The
board also noted that the fee waiver/expense reimbursement agreement between the
Portfolio and UBS Global AM provided that UBS Global AM was contractually
obligated to waive its management fees and/or reimburse expenses so that the
total operating expenses of each class of the Portfolio through December 1, 2006
(excluding interest expense, if any) would not exceed 1.27% for Class A, 2.02%
for Class B and Class C and 1.02% for Class Y and Class P. The board also
considered that the Portfolio has agreed to repay UBS Global AM for those
reimbursed expenses if the Portfolio can do so over the following three fiscal
years without causing its expenses in any of those years to exceed the expense
caps set forth in the previous sentence. The board also considered that the
Portfolio and UBS Global AM have entered into an additional permanent fee waiver
agreement pursuant to which UBS Global AM has agreed to permanently reduce its
Contractual Management Fee based on the Portfolio's average daily net assets as
follows: $0 to $250 million--0.60%; in excess of $250 million up to $500
million--0.57%; in excess of $500 million up to $1 billion--0.53%; and over $1
billion--0.50%. The comparative Lipper information showed that the Portfolio's
Contractual Management Fee was in the fourth quintile but that its Actual
Management Fee and total expenses were in the second quintile in the Portfolio's
Expense Group for the comparison periods utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fees paid to each of SSgA, Westwood and ICAP
were reasonable in light of the nature, extent and quality of the services
provided to the Portfolio under the Investment Management and Administration
Agreement and the Subadvisory Agreements, respectively.
UBS PACE LARGE CO GROWTH EQUITY INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with each of GE Asset Management, Inc. ("GEAM"), Marsico
Capital Management, LLC ("Marsico") and SSgA, the board, including the
Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the third quintile for the one- and five-year
periods and since inception and was in the second quintile for the three-year
period. Based on its review, the board concluded that the Portfolio's investment
performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board also considered that UBS
Global AM had entered into a fee waiver agreement
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with the Portfolio under which UBS Global AM was contractually obligated to
waive its management fees through December 1, 2006 to the extent necessary to
reflect the lower overall fees paid as a result of the lower subadvisory fee
paid by UBS Global AM to SSgA. The board also noted that the fee waiver/expense
reimbursement agreement between the Portfolio and UBS Global AM provided that
UBS Global AM was contractually obligated to waive its management fees and/or
reimburse expenses so that the total operating expenses of each class of the
Portfolio through December 1, 2006 (excluding interest expense, if any) would
not exceed 1.30% for Class A, 2.05% for Class B and Class C and 1.05% for Class
Y and Class P. The board also considered that the Portfolio has agreed to repay
UBS Global AM for those reimbursed expenses if the Portfolio can do so over the
following three fiscal years without causing its expenses in any of those years
to exceed these expense caps. The comparative Lipper information showed that the
Portfolio's Contractual Management Fee was in the fourth quintile but that its
Actual Management Fee and total expenses were in the third quintile in the
Portfolio's Expense Group for the comparison periods utilized in the Lipper
report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fees paid to each of GEAM, Marsico and SSgA
were reasonable in light of the nature, extent and quality of the services
provided to the Portfolio under the Investment Management and Administration
Agreement and the Subadvisory Agreements, respectively.
UBS PACE SMALL/MEDIUM CO VALUE EQUITY INVESTMENTS
BACKGROUND--In approving the Investment Management and Administration Agreement
and the Subadvisory Agreements with each of Ariel Capital Management, LLC
("Ariel"), Metropolitan West Capital Management, LLC ("Metropolitan West") and
Opus Capital Management, Inc. ("Opus"), the board, including the Independent
Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the fifth quintile for all periods presented.
Management explained that one of the Subadvisers continued to underperform
because its investment focus was currently out of favor. Management noted it was
recommending continuing with the Subadviser for now and would continue to
closely monitor performance. Management noted that Metropolitan West and Opus
were new Subadvisers to the Portfolio, each having begun in October 2005 because
of management's concerns about the previous subadviser, and that management
expected that the change to the new Subadvisers would have a positive impact on
the Portfolio's performance by providing additional diversification. Management
also noted that the Portfolio's Performance Universe included funds that were
primarily managed by small cap managers, in distinction to the Portfolio's
small/medium company investment focus. The board discussed the Portfolio's
underperformance and asked that the underperforming Subadviser be requested to
attend a future board meeting to discuss the underperformance and that
management continue to monitor the Subadviser closely and to recommend changes
if believed appropriate. Based on its review, and management's statement that it
would continue to monitor performance closely and consider whether any other
changes should be made in the Subadvisers to the Portfolio, the board concluded
that the Portfolio's investment performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board noted that the Portfolio and
UBS Global AM have entered into a fee waiver/expense reimbursement agreement
pursuant to which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse expenses so that the total operating expenses
of each class of the Portfolio through December 1, 2006 (excluding interest
expense, if any) would not exceed 1.41% for Class A, 2.16% for Class B and Class
C and 1.16% for Class Y and Class P. The board also considered that
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the Portfolio has agreed to repay UBS Global AM for those reimbursed expenses if
the Portfolio can do so over the following three fiscal years without causing
its expenses in any of those years to exceed these expense caps. (It was noted
that the expense ratios for each class of shares, other than Class P, were below
the levels at which the caps would become effective.) The comparative Lipper
information showed that the Portfolio's Contractual Management Fee and total
expenses were in the second quintile and that its Actual Management Fee was in
the third quintile in the Portfolio's Expense Group for the comparison periods
utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fees paid to each of Ariel, Metropolitan West
and Opus were reasonable in light of the nature, extent and quality of the
services provided to the Portfolio under the Investment Management and
Administration Agreement and the Subadvisory Agreements, respectively.
UBS PACE SMALL/MEDIUM CO GROWTH EQUITY INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with Delaware Management Company, Inc. ("Delaware"),
ForstmannLeff LLC ("ForstmannLeff") and Riverbridge Partners, LLC
("Riverbridge"), the board, including the Independent Trustees also considered
the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the fourth quintile for the one- and three-year
periods, the second quintile for the five-year period and the third quintile
since inception. Management noted that two of the Subadvisers -- ForstmannLeff
and Riverbridge -- were relatively new Subadvisers to the Portfolio, having been
added in October 2005. This had been done in order to provide better
risk-adjusted returns by complementing Delaware and that there was some
evidence, not reflected in the Lipper reports, that this had recently occurred.
Management noted that it believed that the recent additions of the two new
Subadvisers should provide better protection in down markets and that UBS Global
AM would continue to monitor the Portfolio and the performance of the
Subadvisers closely. Based on its review and management's explanation, the board
concluded that the Portfolio's investment performance was acceptable although
they requested continued close review of the Subadvisers.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board noted that the Portfolio and
UBS Global AM have entered into a fee waiver/expense reimbursement agreement
pursuant to which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse expenses so that the total operating expenses
of each class of the Portfolio through December 1, 2006 (excluding interest
expense, if any) would not exceed 1.38% for Class A, 2.13% for Class B and Class
C and 1.13% for Class Y and Class P. The board also considered that the
Portfolio has agreed to repay UBS Global AM for those reimbursed expenses if the
Portfolio can do so over the following three fiscal years without causing its
expenses in any of those years to exceed these expense caps. The comparative
Lipper information showed that the Portfolio's Contractual Management Fee and
total expenses were each in the third quintile and that its Actual Management
Fee was in the second quintile in the Portfolio's Expense Group for the
comparison periods utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fee paid to each of Delaware, ForstmannLeff
and Riverbridge were reasonable in light of the nature, extent and quality of
the services provided to the Portfolio under the Investment Management and
Administration Agreement and the Subadvisory Agreements, respectively.
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UBS PACE INTERNATIONAL EQUITY INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with each of Martin Currie, Inc. ("Martin Currie"),
Mondrian Investment Partners Ltd. ("Mondrian") and J.P. Morgan Investment
Management, Inc. ("JP Morgan"), the board, including the Independent Trustees
also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the first quintile for the three- and five-year
periods and since inception and in the second quintile for the one-year period.
Based on its review, the board concluded that the Portfolio's investment
performance was satisfactory.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board noted that the Portfolio and
UBS Global AM have entered into a fee waiver/expense reimbursement agreement
pursuant to which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse expenses so that the total operating expenses
of each class of the Portfolio through December 1, 2006 (excluding interest
expense, if any) would not exceed 1.65% for Class A, 2.40% for Class B and Class
C and 1.40% for Class Y and Class P. The board also considered that the
Portfolio has agreed to repay UBS Global AM for those reimbursed expenses if the
Portfolio can do so over the following three fiscal years without causing its
expenses in any of those years to exceed these expense caps. The comparative
Lipper information showed that the Portfolio's Contractual Management Fee was in
the third quintile and its Actual Management Fee was in the second quintile in
the Portfolio's Expense Group for the comparison periods utilized in the Lipper
report. The board also noted that the Portfolio's total expenses were in the
fourth quintile in the Portfolio's Expense Group for the comparison periods
utilized in the Lipper report. Management explained that the Portfolio's total
expenses were slightly higher than the average in its Expense Group at least
partly due to the Portfolio's higher custodian fees, which were addressed
through fee reductions in custodian fees effective December 1, 2005 (and
therefore not fully reflected in the Lipper data).
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fees paid to each of Martin Currie, Mondrian
and JP Morgan were reasonable in light of the nature, extent and quality of the
services provided to the Portfolio under the Investment Management and
Administration Agreement and the Subadvisory Agreements, respectively.
UBS PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with each of Gartmore Global Partners ("Gartmore") and
Mondrian, the board, including the Independent Trustees also considered the
following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the fifth quintile for the one-year and five-year
periods and since inception and the fourth quintile for the three-year period.
The board questioned management regarding the Portfolio's performance.
Management noted that emerging markets had been one of the strongest performing
asset classes over the last few years and that Mondrian, which is a
value-oriented, defensive manager, tends not to perform well in this type of
environment. It noted that Gartmore's performance had not been enough to offset
Mondrian's performance. Management also noted that Mondrian was a relatively
recent Subadviser to the Portfolio, having replaced an underperforming
subadviser in 2004 and that the Portfolio's long-term underperformance also was
attributable to the previous subadviser. Management noted that as the emerging
markets environment had begun to change during parts of 2006, Mondrian had begun
to
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outperform the market, although that was not reflected in the Lipper report.
Management noted that it believed that the two Subadvisers complemented each
other well. Based on its review and management's explanation, the board
concluded that the Portfolio's investment performance had been acceptable
although it requested that management continue to monitor the Subadvisers
closely.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board noted that the Portfolio and
UBS Global AM have entered into a fee waiver/expense reimbursement agreement
pursuant to which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse expenses so that the total operating expenses
of each class of the Portfolio through December 1, 2006 (excluding interest
expense, if any) would not exceed 2.25% for Class A, 3.00% for Class B and Class
C and 2.00% for Class Y and Class P. The board also considered that the
Portfolio has agreed to repay UBS Global AM for those reimbursed expenses if the
Portfolio can do so over the following three fiscal years without causing its
expenses in any of those years to exceed these expense caps. The comparative
Lipper information showed that the Portfolio's Contractual Management Fee was in
the second quintile and its Actual Management Fee and total expenses were in the
third quintile in the Portfolio's Expense Group for the comparison periods
utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fees paid to each of Mondrian and Gartmore
were reasonable in light of the nature, extent and quality of the services
provided to the Portfolio under the Investment Management and Administration
Agreement and the Subadvisory Agreements, respectively.
UBS PACE EMERGING MARKETS EQUITY INVESTMENTS--GARTMORE CHANGE OF CONTROL
The board was also requested to consider the approval of a new subadvisory
agreement with Gartmore, which has been a Subadviser to UBS PACE International
Emerging Markets Equity Investments since 2002, because Gartmore had announced a
proposed change in its ownership and control which would have resulted in the
assignment and automatic termination of the current Subadvisory Agreement under
the 1940 Act. In considering whether to approve the new subadvisory agreement,
the board received information from UBS Global AM that Gartmore had advised UBS
Global AM that there would be no significant changes within Gartmore adversely
impacting the Portfolio as a result of the transaction. Management did note that
there would be some changes in the Gartmore portfolio management team, including
the departure of two portfolio managers responsible for managing the global
emerging markets strategy used in the Portfolio, with a previous portfolio
manager for the global emerging markets strategy becoming lead portfolio manager
for the strategy. UBS Global AM advised the board that, given these changes,
they intended to closely monitor and evaluate the investment team at Gartmore
after the closing of the transaction. As the new subadvisory agreement with
Gartmore would be substantially similar to the current Subadvisory Agreement
with Gartmore and as the subadvisory fee would not change, the factors
considered by the board and the determinations made by the board in relation to
the current Subadvisory Agreement with Gartmore were considered equally
applicable to the new subadvisory agreement. The board considered Gartmore's
portfolio manager changes but also considered UBS Global AM's recommendation to
approve the new subadvisory agreement and that UBS Global AM would closely
monitor the Gartmore investment team after the closing of the transaction.
UBS PACE MONEY MARKET INVESTMENTS
In approving the Investment Management and Administration Agreement, the board,
including the Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--The comparative Lipper information showed that the
Portfolio's performance was in the second quintile for the one-, three- and
ten-year periods and since inception and in the first quintile
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for the five-year period. Based on its review, the board concluded that the
Portfolio's investment performance was satisfactory.
MANAGEMENT FEES AND EXPENSE RATIOS--In addition to the Contractual and Actual
Management Fees, the board also considered that UBS Global AM had entered into a
fee waiver/expense reimbursement agreement with the Portfolio under which UBS
Global AM was contractually obligated to waive its management fees and/or
reimburse the Portfolio so that the total operating expenses of the Portfolio
through December 1, 2006 (excluding interest expense, if any) would not exceed
0.60%. The board also considered that the Portfolio has agreed to repay UBS
Global AM for those reimbursed expenses if the Portfolio can do so over the
following three fiscal years without causing its expenses in any of those years
to exceed this expense cap. The comparative Lipper information showed that the
Portfolio's Contractual Management Fee and total expenses were in the third
quintile, and its Actual Management Fee was in the first quintile in the
Portfolio's Expense Group for the comparison periods utilized in the Lipper
report.
Taking all of the above into consideration, the board determined that the
management fee was reasonable in light of the nature, extent and quality of the
services provided to the Portfolio under the Investment Management and
Administration Agreement.
UBS PACE HIGH YIELD INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreement with MacKay Shields LLC ("MacKay Shields"), the board,
including the Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--Because the Portfolio had been in existence for less than
a year, Lipper comparative information was not available. Management reviewed
the Portfolio's performance since its inception in April 2006. Management noted
that the Portfolio had underperformed its benchmark during this period. The
board considered that the period being reviewed from inception of the Portfolio
was only the initial quarter, that the period had been a challenging one for the
markets and that too much weight should not be given to such a brief period
since commencement. Based on its review and management's explanation, the board
concluded that the Portfolio's investment performance during its initial period
had been acceptable.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board noted that the Portfolio and
UBS Global AM have entered into a fee waiver/expense reimbursement agreement
pursuant to which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse expenses so that the total operating expenses
of each class of the Portfolio through December 1, 2006 (excluding interest
expense, if any) would not exceed 1.35% for Class A, 2.10% for Class B, 1.85%
for Class C and 1.10% for Class Y and Class P. The board also considered that
the Portfolio has agreed to repay UBS Global AM for those reimbursed expenses if
the Portfolio can do so over the following three fiscal years without causing
its expenses in any of those years to exceed these expense caps. The comparative
Lipper information showed that the Portfolio's Contractual Management Fee and
total expense were in the fourth quintile and its Actual Management Fee was in
the first quintile in the Portfolio's Expense Group for the comparison periods
utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fee paid to MacKay Shields were reasonable in
light of the nature, extent and quality of the services provided to the
Portfolio under the Investment Management and Administration Agreement and the
Subadvisory Agreement, respectively.
342
<Page>
UBS PACE ALTERNATIVE STRATEGIES INVESTMENTS
In approving the Investment Management and Administration Agreement and the
Subadvisory Agreements with each of Analytic Investors, Inc. ("Analytic") and
Wellington Management Company, LLP ("Wellington"), the board, including the
Independent Trustees also considered the following factors:
PORTFOLIO PERFORMANCE--Because the Portfolio had been in existence for less than
a year, Lipper comparative information was not available. Management reviewed
the Portfolio's performance since its inception in April 2006. Management noted
that the Portfolio had underperformed its benchmark during this period, due
primarily to Wellington's aggressive investment stance. Management noted that
the Portfolio had underperformed during this period, but that the period was
very brief and that too much weight should not be given to such a brief period
since commencement. The board considered that the period being reviewed from
inception of the Portfolio was only the initial quarter, that the period had
been a challenging one for the markets and that too much weight should not be
given to such a brief period since commencement. Based on its review and
management's explanation, the board concluded that the Portfolio's investment
performance during its initial period had been acceptable.
MANAGEMENT AND SUBADVISORY FEES AND EXPENSE RATIOS--In addition to the
Contractual and Actual Management Fees, the board noted that the Portfolio and
UBS Global AM have entered into a fee waiver/expense reimbursement agreement
pursuant to which UBS Global AM was contractually obligated to waive its
management fees and/or reimburse expenses so that the total operating expenses
of each class of the Portfolio through December 1, 2006 (excluding interest
expense, if any) would not exceed 1.95% for Class A, 2.70% for Class B and Class
C and 1.70% for Class Y and Class P. The board also considered that the
Portfolio has agreed to repay UBS Global AM for those reimbursed expenses if the
Portfolio can do so over the following three fiscal years without causing its
expenses in any of those years to exceed these expense caps. The comparative
Lipper information showed that the Portfolio's Contractual Management Fee and
Actual Management fee were in the third quintile and its total expenses were in
the fourth quintile in the Portfolio's Expense Group for the comparison periods
utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee and the subadvisory fee paid to each of Analytic and Wellington
were reasonable in light of the nature, extent and quality of the services
provided to the Portfolio under the Investment Management and Administration
Agreement and the Subadvisory Agreements, respectively.
In light of all of the foregoing, the board approved the Investment Management
and Administration Agreement for each Portfolio and, for those Portfolios with
Subadvisers, the Subadvisory Agreement(s) to continue for another year (and, in
the case of Gartmore, to also approve the new subadvisory agreement that would
become effective upon the automatic termination of the current Gartmore
Subadvisory Agreement upon the consummation of the anticipated transaction that
would result in a change of control).
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the Investment Management and
Administration Agreement or, for the subadvised Portfolios, the Subadvisory
Agreements. The Independent Trustees were advised by separate independent legal
counsel throughout the process. The board discussed the proposed continuance of
the Investment Management and Administration Agreement and the Subadvisory
Agreements in a private session with their independent legal counsel at which no
representatives of UBS Global AM were present.
343
<Page>
UBS PACE Select Advisors Trust
SUPPLEMENTAL INFORMATION (UNAUDITED)
BOARD OF TRUSTEES & OFFICERS
The Trust is governed by a Board of Trustees which oversees the Portfolios'
operations. Each trustee serves an indefinite term of office. Officers are
appointed by the trustees and serve at the pleasure of the Board. The table
below shows, for each trustee and officer, his or her name, address and age, the
position held with the Trust, the length of time served as a trustee and officer
of the Trust, the trustee's or officer's principal occupations during the last
five years, the number of portfolios in the UBS fund complex overseen by the
trustee or for which a person served as an officer, and other directorships held
by the trustee.
The Trust's Statement of Additional Information contains additional information
about the trustees and is available, without charge, upon request by calling
1-800-647 1568.
INTERESTED TRUSTEE
<Table>
<Caption>
POSITION(S) TERM OF OFFICE+ PRINCIPAL NUMBER OF PORTFOLIOS
HELD WITH AND LENGTH OF OCCUPATION(S) DURING IN FUND COMPLEX OTHER DIRECTORSHIPS
NAME, ADDRESS, AND AGE TRUST TIME SERVED PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
- ---------------------- ----------- --------------- --------------------- --------------------- ---------------------------
Meyer Feldberg++; 64 Trustee Since 2001 Professor Feldberg is Professor Feldberg is Professor Feldberg is also
Morgan Stanley Dean Emeritus and a director or trustee a director of Primedia Inc.
1585 Broadway Sanford Bernstein of 29 investment (publishing), Federated
33rd Floor Professor of companies (consisting Department Stores, Inc.
New York, NY 10036 Leadership and Ethics of 48 portfolios) for (operator of department
at Columbia Business which UBS Global AM stores), Revlon, Inc.
School, although on a or one of its (cosmetics), and SAPPI,
two year leave of affiliates serves as Ltd. (producer of paper).
absence. He is also a investment advisor,
senior advisor to sub-advisor or
Morgan Stanley manager.
(financial services)
(since March 2005).
Prior to July 2004,
he was Dean and
Professor of
Management of the
Graduate School of
Business at Columbia
University (since
1989).
INDEPENDENT TRUSTEES
Richard Q. Armstrong; Trustee and Since 2001 Mr. Armstrong is Mr. Armstrong is a None
71 c/o Willkie Farr & Chairman of (Trustee) chairman and director or trustee
Gallagher LLP 787 the Board Since 2004 principal of R.Q.A. of 16 investment
Seventh Avenue New of Trustees (Chairman Enterprises companies (consisting
York, NY 10019-6099 of the Board of (management of 35 portfolios) for
Trustees) consulting firm) which UBS Global AM
(since April 1991 and or one of its
principal occupation affiliates serves as
since March 1995). investment advisor,
sub-advisor or
manager.
</Table>
344
<Page>
<Table>
<Caption>
POSITION(S) TERM OF OFFICE+ PRINCIPAL NUMBER OF PORTFOLIOS
HELD WITH AND LENGTH OF OCCUPATION(S) DURING IN FUND COMPLEX OTHER DIRECTORSHIPS
NAME, ADDRESS, AND AGE TRUST TIME SERVED PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
- ---------------------- ----------- --------------- --------------------- --------------------- ---------------------------
David J. Beaubien; 72 Trustee Since 1995 Mr. Beaubien is Mr. Beaubien is a Mr. Beaubien is also a
84 Doane Road Ware, MA retired (since 2003). director or trustee director of IEC
01082 He was chairman of of 16 investment Electronics, Inc., a
Yankee Environmental companies (consisting manufacturer of electronic
Systems, Inc., a of 35 portfolios) for assemblies.
manufacturer of which UBS Global AM
meteorological or one of its
measuring systems affiliates serves as
(since 1991). investment advisor,
sub-advisor or
manager.
Alan S. Bernikow; 65 Trustee Since 2005 Mr. Bernikow is a Mr. Bernikow is a Mr. Bernikow is also a
207 Benedict Ave. consultant on director or trustee director of Revlon, Inc.
Staten Island, NY non-management of 16 investment (cosmetics) (and serves as
10314 matters for the firm companies (consisting the chair of its audit
of Deloitte & Touche of 35 portfolios) for committee), a director of
(international which UBS Global AM Mack-Cali Realty
accounting and or one of its Corporation (real estate
consulting firm) affiliates serves as investment trust) (and
(since June 2003). investment advisor, serves as the chair of its
Previously, he was sub-advisor or audit committee) and a
Deputy Chief manager. director of the Casual Male
Executive Officer at Retail Group, Inc.
Deloitte & Touche. (menswear).
Richard R. Burt; 59 Trustee Since 2001 Mr. Burt is chairman Mr. Burt is a Mr. Burt is also a director
1275 Pennsylvania of Diligence Inc. director or trustee of The Central European
Ave., N.W. Washington, (information and risk of 16 investment Fund, Inc., The Germany
D.C. 20004 management firm) and companies (consisting Fund, Inc., The New Germany
IEP Advisors of 35 portfolios) for Fund, Inc., IGT, Inc.
(international which UBS Global AM (provides technology to
investments and or one of its gaming and wagering
consulting firm). affiliates serves as industry) and The
investment advisor, Protective Group, Inc.
sub-advisor or (produces armor products).
manager.
Bernard H. Garil; 66 Trustee Since 2005 Mr. Garil is retired Mr. Garil is a Mr. Garil is also a
6754 Casa Grande Way (since 2001). He was director or trustee director of OFI Trust
Delray Beach, FL 33446 a Managing Director of 16 investment Company (commercial trust
at PIMCO Advisory companies (consisting company) and a trustee for
Services (from 1999 of 35 portfolios) for the Brooklyn College
to 2001) where he which UBS Global AM Foundation, Inc.
served as President or one of its (charitable foundation).
of closed-end funds affiliates serves as
and Vice-President of investment advisor,
the variable sub-advisor or
insurance product manager.
funds advised by
OpCap Advisors (until
2001).
Term of
</Table>
345
<Page>
<Table>
<Caption>
TERM OF
OFFICE+
AND PRINCIPAL
POSITION(S) LENGTH OF OCCUPATION(S) NUMBER OF PORTFOLIOS
HELD WITH TIME DURING PAST IN FUND COMPLEX OTHER DIRECTORSHIPS
NAME, ADDRESS, AND AGE TRUST SERVED 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
- ---------------------- ----------- --------- ------------------- -------------------- -------------------
Heather R. Higgins; 47 Trustee Since Ms. Higgins is the Ms. Higgins is a None
255 E. 49th St., 2005 President and director or trustee
Suite 23D Director of The of 16 investment
New York, NY 10017 Randolph Foundation companies
(charitable (consisting of 35
foundation) (since portfolios) for
1991). Ms. Higgins which UBS Global AM
also serves on the or one of its
boards of several affiliates serves as
non-profit investment advisor,
charitable groups, sub-advisor or
including the manager.
Independent Women's
Forum (chairman),
the Philanthropy
Roundtable (vice
chairman) and the
Hoover Institution
(executive
committee).
</Table>
OFFICERS
<Table>
<Caption>
TERM OF
OFFICE+
AND
POSITION(S) LENGTH OF
HELD WITH TIME PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS;
NAME, ADDRESS, AND AGE TRUST SERVED NUMBER OF PORTFOLIOS IN FUND COMPLEX FOR WHICH PERSON SERVES AS OFFICER
- ---------------------- ----------- ----------- -----------------------------------------------------------------------
Joseph Allessie*; 41 Vice Since Mr. Allessie is a director and deputy general counsel at UBS Global
President 2005 Asset Management (US) Inc. and UBS Global Asset Management (Americas)
and Inc. (collectively, "UBS Global AM-Americas region") (since 2005).
Assistant Prior to joining UBS Global AM-Americas region, he was senior vice
Secretary president and general counsel of Kenmar Advisory Corp. (from 2004 to
2005). Prior to that Mr. Allessie was general counsel and secretary of
GAM USA Inc., GAM Investments, GAM Services, GAM Funds, Inc. and the
GAM Avalon Funds (from 1999 to 2004). Mr. Allessie is a vice president
and assistant secretary of 20 investment companies (consisting of 91
portfolios) for which UBS Global AM-Americas region or one of its
affiliates serves as investment advisor, sub-advisor or manager.
Rose Ann Bubloski*; 38 Vice Since Ms. Bubloski is an associate director (since 2003) and a senior
President 2006 manager of the US mutual fund treasury administration department of
and UBS Global AM-Americas region. Ms. Bubloski is a vice president and
Assistant assistant treasurer of 20 investment companies (consisting of 91
Treasurer portfolios) for which UBS Global AM-Americas region or one of its
affiliates serves as investment advisor, sub-advisor or manager.
</Table>
346
<Page>
<Table>
<Caption>
TERM OF
OFFICE+
AND
POSITION(S) LENGTH OF
HELD WITH TIME PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS;
NAME, ADDRESS, AND AGE TRUST SERVED NUMBER OF PORTFOLIOS IN FUND COMPLEX FOR WHICH PERSON SERVES AS OFFICER
- ---------------------- ----------- ----------- -----------------------------------------------------------------------
Thomas Disbrow*; 40 Vice Since Mr. Disbrow is a director (since 2001) and head of US mutual fund
President 2000 (Vice treasury administration department (since 2006) of UBS Global
and President) AM-Americas region. Mr. Disbrow is a vice president and treasurer
Treasurer Since and/or principal accounting officer of 20 investment companies
2004 (consisting of 91 portfolios) for which UBS Global AM-Americas region
(Treasurer) or one of its affiliates serves as investment advisor, sub-advisor or
manager.
Michael J. Flook*; 41 Vice Since Mr. Flook is an associate director and a senior manager of the US
President 2006 mutual fund treasury administration department of UBS Global
and AM-Americas region (since 2006). Prior to joining UBS Global
Assistant AM-Americas region, he was a senior manager with The Reserve (asset
Treasurer management firm) from May 2005 to May 2006. Prior to that he was a
senior manager with PFPC Worldwide since October 2000. Mr. Flook is a
vice president and assistant treasurer of 20 investment companies
(consisting of 91 portfolios) for which UBS Global AM-Americas region
or one of its affiliates serves as investment advisor, sub-advisor or
manager.
Mark F. Kemper**; 48 Vice Since Mr. Kemper is general counsel of UBS Global AM-Americas region (since
President 2004 2004). Mr. Kemper also is a managing director of UBS Global
and AM-Americas region (since 2006). He was deputy general counsel of UBS
Secretary Global Asset Management (Americas) Inc. ("UBS Global AM (Americas)")
from July 2001 to July 2004. He has been secretary of UBS Global
AM-Americas since 1999 and assistant secretary of UBS Global Asset
Management Trust Company since 1993. Mr. Kemper is secretary of UBS
Global AM-Americas region (since 2004). Mr. Kemper is vice president
and secretary of 20 investment companies (consisting of 91 portfolios)
for which UBS Global AM-Americas region or one of its affiliates
serves as investment advisor, sub-advisor or manager.
Joanne M. Kilkeary*; Vice Since Ms. Kilkeary is an associate director (since 2000) and a senior
38 President 1999 manager (since 2004) of the US mutual fund treasury administration
and department of UBS Global AM-Americas region. Ms. Kilkeary is a vice
Assistant president and assistant treasurer of 20 investment companies
Treasurer (consisting of 91 portfolios) for which UBS Global AM-Americas region
or one of its affiliates serves as investment advisor, sub-advisor or
manager.
Tammie Lee*; 35 Vice Since Ms. Lee is a director and associate general counsel of UBS Global
President 2005 AM-Americas region (since 2005). Prior to joining UBS Global
and AM-Americas region, she was vice president and counsel at Deutsche
Assistant Asset Management/Scudder Investments from 2003 to 2005. Prior to that
Secretary she was assistant vice president and counsel at Deutsche Asset
Management/Scudder Investments from 2000 to 2003. Ms. Lee is a vice
president and assistant secretary of 20 investment companies
(consisting of 91 portfolios) for which UBS Global AM-Americas region
or one of its affiliates serves as investment advisor, sub-advisor or
manager.
Michael H. Vice Since Mr. Markowitz is a managing director (since 2004), portfolio manager
Markowitz**; 41 President 2001 and head of U.S. short duration fixed income (since 2003) of UBS
Global AM-Americas region. Mr. Markowitz is a vice president of five
investment companies (consisting of 23 portfolios) for which UBS
Global AM-Americas region or one of its affiliates serves as
investment advisor, sub-advisor or manager.
</Table>
347
<Page>
<Table>
<Caption>
TERM OF
OFFICE+
AND
POSITION(S) LENGTH OF
HELD WITH TIME PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS;
NAME, ADDRESS, AND AGE TRUST SERVED NUMBER OF PORTFOLIOS IN FUND COMPLEX FOR WHICH PERSON SERVES AS OFFICER
- ---------------------- ----------- ----------- -----------------------------------------------------------------------
Joseph McGill*; 44 Vice Since Mr. McGill is a managing director (since 2006) and chief compliance
President 2004 officer (since 2003) at UBS Global AM-Americas region. Prior to
and Chief joining UBS Global AM-Americas region, he was assistant general
Compliance counsel at J. P. Morgan Investment Management (from 1999 to 2003). Mr.
Officer McGill is a vice president and chief compliance officer of 20
investment companies (consisting of 91 portfolios) for which UBS
Global AMAmericas region or one of its affiliates serves as investment
advisor, sub-advisor or manager.
Eric Sanders*; 40 Vice Since Mr. Sanders is a director and associate general counsel of UBS Global
President 2005 AM-Americas region (since 2005). From 1996 until June 2005, he held
and various positions at Fred Alger & Company, Incorporated, the most
Assistant recent being assistant vice president and associate general counsel.
Secretary Mr. Sanders is a vice president and assistant secretary of investment
companies (consisting of 91 portfolios) for which UBS Global
AMAmericas region or one of its affiliates serves as investment
advisor, sub-advisor or manager.
Andrew Shoup*; 50 Vice Since Mr. Shoup is a managing director and senior member of the US mutual
President 2006 fund treasury administration department of UBS Global AM-Americas
and Chief region (since July 2006). Prior to joining UBS Global AM-Americas
Operating region, he was Chief Administrative Officer for the Legg Mason Partner
Officer Funds (formerly Smith Barney, Salomon Brothers, and CitiFunds mutual
funds) from November 2003 to July 2006. Prior to that, he held various
positions with Citigroup Asset Management and related companies with
their domestic and offshore mutual funds since 1993. Additionally, he
has worked for another mutual fund complex as well as spending eleven
years in public accounting. Mr. Shoup is a vice president of 20
investment companies (consisting of 91 portfolios) for which UBS
Global AM-Americas region or one of its affiliates serves as
investment advisor, sub-advisor or manager.
Kai R. Sotorp**; 47 President Since Mr. Sotorp is the Head of the Americas for UBS Global Asset Management
2006 (since 2004); a member of the UBS Group Managing Board (since 2003)
and a member of the UBS Global Asset Management Executive Committee
(since 2001). Prior to his current role, Mr. Sotorp was Head of UBS
Global Asset Management--Asia Pacific (2002-2004), covering Australia,
Japan, Hong Kong, Singapore and Taiwan; Head of UBS Global Asset
Management (Japan) Ltd. (2001-2004) and Representative Director and
President of UBS Global Asset Management (Japan) Ltd. (2000-2004). Mr.
Sotorp is president of 16 investment companies (consisting of 35
portfolios) for which UBS Global Asset Management--Americas region or
one of its affiliates serves as investment advisor, sub-advisor or
manager.
Keith A. Weller*; 45 Vice Since Mr. Weller is an executive director and senior associate general
President 2000 counsel of UBS Global AM-Americas region (since 2005) and has been an
and attorney with affiliated entities since 1995. Mr. Weller is a vice
Assistant president and assistant secretary of 20 investment companies
Secretary (consisting of 91 portfolios) for which UBS Global AM-Americas region
or one of its affiliates serves as investment advisor, sub-advisor or
manager.
</Table>
* This person's business address is 51 West 52nd Street, New York, New York
10019-6114.
** This person's business address is One North Wacker Drive, Chicago, Illinois
60606.
+ Each trustee holds office for an indefinite term. Each trustee who has
attained the age of seventy-two (72) years will be subject to retirement on
the last day of the month in which he or she attains such age. Officers are
appointed by the trustees and serve at the pleasure of the board.
++ Professor Feldberg is deemed an "interested person" of the Trust as defined
in the Investment Company Act because he is a senior advisor to Morgan
Stanley, a financial services firm with which the Trust may conduct
transactions.
348
<Page>
[UBS LOGO]
-------------
PRESORTED
STANDARD
U.S. POSTAGE
PAID
COMPUTERSHARE
-------------
UBS GLOBAL ASSET MANAGEMENT (AMERICAS) INC.
51 West 52nd Street
New York, New York 10019
<Page>
[UBS Global Asset Management LOGO]
UBS PACE Money Market
Investments
Annual Report
July 31, 2006
<Page>
UBS PACE Money Market Investments
September 22, 2006
DEAR SHAREHOLDER,
PERFORMANCE
For the fiscal year ended July 31, 2006, the Portfolio returned 3.89% (before
the deduction of the maximum UBS PACE program fee; after the deduction of the
maximum program fee, the Portfolio returned 2.35%). In comparison, the 90-Day US
T-Bill Index returned 4.11% and the median return for the Lipper Money Market
Instrument Funds category was 3.66%. (Returns over various time periods are
shown in the "Performance at a glance" table on page 5. Please note that the
returns shown do not reflect the deduction of taxes that a shareholder would pay
on Portfolio distributions.)
MARKET REVIEW
The Federal Reserve Board (the "Fed") captured financial headlines throughout
the Portfolio's fiscal year. After raising rates in 17 consecutive meetings
dating back to 2004, the Fed finally paused, leaving short-term interest rates
unchanged at 5.25% at its August meeting. Although the series of rate increases
began primarily as an attempt to move from an exceptionally accommodative
monetary policy to more neutral ground, inflation has lately become much more of
a concern. Oil prices increased dramatically over the reporting period,
remaining above $65 a barrel for the majority of the past year.
During this time, Treasury yields rose across the maturity spectrum, most
dramatically on the shorter end of the yield curve. At several points during the
[SIDENOTE]
UBS PACE MONEY MARKET INVESTMENTS
INVESTMENT ADVISOR:
UBS Global Asset Management (Americas) Inc.
PORTFOLIO MANAGER:
Michael H. Markowitz
OBJECTIVE:
Current income consistent with preservation of capital and liquidity.
INVESTMENT PROCESS:
The Portfolio is a money market mutual fund and seeks to maintain a stable price
of $1.00 per share, although it may be possible to lose money by investing in
this Portfolio. The Portfolio invests in a diversified portfolio of high-quality
money market instruments of governmental and private issuers. Security selection
is based on the assessment of relative values and changes in market and economic
conditions.
1
<Page>
period, the yield curve inverted by some measures, meaning shorter-dated
securities offered higher yields than longer-dated Treasuries. An inverted yield
curve historically has indicated a pending economic slowdown, but over the past
year gross domestic product (GDP) and unemployment data have both remained quite
positive.
ADVISOR'S COMMENTS
During the course of the Portfolio's fiscal year, we most often implemented a
"bulleted" yield curve strategy to take advantage of the rising interest rate
environment. Generally, a bulleted strategy is expected to perform better in
such a market environment as it allows an investor to target certain maturities
while spreading out and ultimately reducing interest rate risk. In this case, we
frequently sought to own securities that matured shortly before Fed meetings,
allowing us to lock in higher yield opportunities as rates rose.
At the beginning of the period the yield curve inverted slightly, and we
selectively purchased one to three month securities as attractive levels
presented themselves. As interest rates continued to climb upwards, we took
advantage of a significant rise in the yield of one year securities and added
them to the Portfolio, locking in higher rates.
On a sector level, the Portfolio maintained relatively large positions in
commercial paper, corporate debt and certificates of deposit. The Portfolio also
held government agency obligations. Portfolio holdings were selected with an eye
toward liquidity and quality, which we maintained throughout the reporting
period.
Looking ahead, the Fed has indicated that future interest rate setting activity
will be data dependent, specifically regarding sustained inflationary pressures
and economic growth. We feel the Fed will look to maintain its inflation
fighting credibility and put a greater significance on containing inflation over
accommodating economic growth. Moderation in the housing market and high energy
prices continue to be a point of concern, but overall, the Portfolio remains
2
<Page>
well diversified, and we will continue to seek yield opportunities and liquidity
in the Portfolio.
As always, we thank you for your continued support and welcome any comments or
questions you may have.
Sincerely,
/s/ Kai Sotorp /s/ Michael Markowitz
- ------------------------------------- ----------------------------------------
Kai Sotorp Michael Markowitz
PRESIDENT PORTFOLIO MANAGER
UBS PACE Select Advisors Trust UBS PACE Money Market
HEAD OF THE AMERICAS Investments
UBS Global Asset Management MANAGING DIRECTOR
(Americas) Inc. UBS Global Asset Management
(Americas) Inc.
THIS LETTER IS INTENDED TO ASSIST SHAREHOLDERS IN UNDERSTANDING HOW THE
PORTFOLIO PERFORMED DURING THE FISCAL YEAR ENDED JULY 31, 2006. THE VIEWS AND
OPINIONS IN THIS LETTER WERE CURRENT AS OF SEPTEMBER 22, 2006. THEY ARE NOT
GUARANTEES OF PERFORMANCE OR INVESTMENT RESULTS AND SHOULD NOT BE TAKEN AS
INVESTMENT ADVICE. INVESTMENT DECISIONS REFLECT A VARIETY OF FACTORS, AND WE
RESERVE THE RIGHT TO CHANGE OUR VIEWS ABOUT INDIVIDUAL SECURITIES, SECTORS AND
MARKETS AT ANY TIME. AS A RESULT, THE VIEWS EXPRESSED SHOULD NOT BE RELIED UPON
AS A FORECAST OF THE PORTFOLIO'S FUTURE INVESTMENT INTENT. WE ENCOURAGE YOU TO
CONSULT YOUR FINANCIAL ADVISOR REGARDING YOUR PERSONAL INVESTMENT PROGRAM.
3
<Page>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE PORTFOLIO AND THE
90-DAY US T-BILL INDEX
[CHART]
<Table>
<Caption>
UBS PACE MONEY MARKET UBS PACE MONEY MARKET
INVESTMENTS (BEFORE DEDUCTING INVESTMENTS (AFTER DEDUCTING MAXIMUM
MAXIMUM UBS PACE PROGRAM FEE) UBS PACE PROGRAM FEE) 90-DAY US T-BILL INDEX
- ---------------------------------------------------------------------------------------------------------
31-Jul-96 $10,000 $10,000 $10,000
31-Aug-96 $10,042 $10,029 $10,044
30-Sep-96 $10,083 $10,057 $10,087
31-Oct-96 $10,125 $10,087 $10,131
30-Nov-96 $10,167 $10,116 $10,174
31-Dec-96 $10,208 $10,145 $10,217
31-Jan-97 $10,251 $10,175 $10,261
28-Feb-97 $10,291 $10,201 $10,302
31-Mar-97 $10,335 $10,232 $10,347
30-Apr-97 $10,378 $10,262 $10,391
31-May-97 $10,424 $10,294 $10,436
30-Jun-97 $10,468 $10,325 $10,480
31-Jul-97 $10,514 $10,358 $10,526
31-Aug-97 $10,561 $10,391 $10,571
30-Sep-97 $10,606 $10,422 $10,616
31-Oct-97 $10,653 $10,455 $10,662
30-Nov-97 $10,699 $10,487 $10,707
31-Dec-97 $10,747 $10,521 $10,754
31-Jan-98 $10,795 $10,555 $10,801
28-Feb-98 $10,838 $10,584 $10,844
31-Mar-98 $10,886 $10,617 $10,892
30-Apr-98 $10,932 $10,649 $10,938
31-May-98 $10,980 $10,682 $10,985
30-Jun-98 $11,027 $10,714 $11,031
31-Jul-98 $11,075 $10,748 $11,077
31-Aug-98 $11,124 $10,781 $11,124
30-Sep-98 $11,171 $10,813 $11,170
31-Oct-98 $11,217 $10,844 $11,215
30-Nov-98 $11,261 $10,873 $11,256
31-Dec-98 $11,307 $10,904 $11,298
31-Jan-99 $11,351 $10,933 $11,340
28-Feb-99 $11,391 $10,958 $11,379
31-Mar-99 $11,434 $10,986 $11,422
30-Apr-99 $11,477 $11,012 $11,464
31-May-99 $11,521 $11,041 $11,508
30-Jun-99 $11,564 $11,069 $11,551
31-Jul-99 $11,610 $11,099 $11,596
31-Aug-99 $11,657 $11,130 $11,642
30-Sep-99 $11,704 $11,161 $11,688
31-Oct-99 $11,753 $11,194 $11,735
30-Nov-99 $11,802 $11,226 $11,783
31-Dec-99 $11,856 $11,263 $11,833
31-Jan-00 $11,910 $11,300 $11,885
29-Feb-00 $11,961 $11,335 $11,936
31-Mar-00 $12,017 $11,373 $11,992
30-Apr-00 $12,072 $11,411 $12,048
31-May-00 $12,131 $11,453 $12,107
30-Jun-00 $12,192 $11,496 $12,164
31-Jul-00 $12,256 $11,541 $12,223
31-Aug-00 $12,320 $11,587 $12,283
30-Sep-00 $12,382 $11,632 $12,344
31-Oct-00 $12,447 $11,678 $12,409
30-Nov-00 $12,511 $11,723 $12,472
31-Dec-00 $12,576 $11,770 $12,538
31-Jan-01 $12,638 $11,813 $12,603
28-Feb-01 $12,691 $11,847 $12,657
31-Mar-01 $12,745 $11,883 $12,713
30-Apr-01 $12,794 $11,914 $12,762
31-May-01 $12,841 $11,942 $12,808
30-Jun-01 $12,882 $11,966 $12,850
31-Jul-01 $12,922 $11,988 $12,890
31-Aug-01 $12,961 $12,009 $12,929
30-Sep-01 $12,995 $12,025 $12,966
31-Oct-01 $13,023 $12,036 $13,000
30-Nov-01 $13,048 $12,044 $13,028
31-Dec-01 $13,071 $12,050 $13,051
31-Jan-02 $13,090 $12,053 $13,071
28-Feb-02 $13,107 $12,053 $13,089
31-Mar-02 $13,125 $12,055 $13,108
30-Apr-02 $13,142 $12,056 $13,127
31-May-02 $13,160 $12,057 $13,146
30-Jun-02 $13,177 $12,057 $13,165
31-Jul-02 $13,193 $12,057 $13,185
31-Aug-02 $13,209 $12,057 $13,204
30-Sep-02 $13,225 $12,056 $13,222
31-Oct-02 $13,240 $12,055 $13,240
30-Nov-02 $13,253 $12,052 $13,257
31-Dec-02 $13,264 $12,047 $13,273
31-Jan-03 $13,274 $12,040 $13,287
28-Feb-03 $13,282 $12,032 $13,300
31-Mar-03 $13,291 $12,025 $13,313
30-Apr-03 $13,299 $12,017 $13,326
31-May-03 $13,307 $12,010 $13,339
30-Jun-03 $13,314 $12,001 $13,351
31-Jul-03 $13,319 $11,991 $13,362
31-Aug-03 $13,325 $11,981 $13,373
30-Sep-03 $13,330 $11,971 $13,384
31-Oct-03 $13,336 $11,961 $13,394
30-Nov-03 $13,341 $11,950 $13,405
31-Dec-03 $13,347 $11,941 $13,416
31-Jan-04 $13,352 $11,931 $13,426
29-Feb-04 $13,357 $11,920 $13,436
31-Mar-04 $13,363 $11,910 $13,446
30-Apr-04 $13,368 $11,900 $13,457
31-May-04 $13,374 $11,890 $13,468
30-Jun-04 $13,380 $11,881 $13,479
31-Jul-04 $13,388 $11,873 $13,491
31-Aug-04 $13,397 $11,867 $13,506
30-Sep-04 $13,409 $11,862 $13,522
31-Oct-04 $13,422 $11,859 $13,540
30-Nov-04 $13,437 $11,857 $13,559
31-Dec-04 $13,455 $11,858 $13,582
31-Jan-05 $13,475 $11,861 $13,606
28-Feb-05 $13,494 $11,863 $13,630
31-Mar-05 $13,518 $11,869 $13,659
30-Apr-05 $13,543 $11,876 $13,688
31-May-05 $13,570 $11,885 $13,721
30-Jun-05 $13,598 $11,895 $13,753
31-Jul-05 $13,629 $11,907 $13,788
31-Aug-05 $13,662 $11,921 $13,825
30-Sep-05 $13,697 $11,936 $13,862
31-Oct-05 $13,735 $11,955 $13,903
30-Nov-05 $13,774 $11,974 $13,945
31-Dec-05 $13,817 $11,996 $13,989
31-Jan-06 $13,861 $12,019 $14,036
28-Feb-06 $13,903 $12,040 $14,080
31-Mar-06 $13,951 $12,067 $14,133
30-Apr-06 $13,999 $12,094 $14,185
31-May-06 $14,052 $12,123 $14,241
30-Jun-06 $14,104 $12,153 $14,296
31-Jul-06 $14,160 $12,186 $14,355
</Table>
The graph depicts the performance of UBS PACE Money Market Investments versus
the 90-Day US T-Bill Index over the 10 years ended July 31, 2006. Past
performance does not predict future performance and the performance provided
does not reflect the deduction of taxes that a shareholder would pay on
Portfolio distributions. It is important to note that UBS PACE Money Market
Investments is a professionally managed portfolio while the Index is not
available for investment and is unmanaged. The comparison is shown for
illustrative purposes only.
4
<Page>
PERFORMANCE AT A GLANCE (UNAUDITED)
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED 07/31/06
1 YEAR 5 YEARS 10 YEARS
- ---------------------------------------------------------------
UBS PACE Money Market Investments
before deducting maximum
UBS PACE program fee* 3.89% 1.85% 3.54%
UBS PACE Money Market Investments
after deducting maximum
UBS PACE program fee* 2.35% 0.33% 2.00%
90-Day US T-Bill Index** 4.11% 2.18% 3.68%
Lipper Money Market
Instrument Funds median 3.66% 1.62% 3.34%
Average annual total returns for periods ended June 30, 2006, after deduction of
the maximum UBS PACE program fee, were as follows: 1-year period, 2.17%; 5-year
period, 0.31%; 10-year period, 2.00%.
For UBS PACE Money Market Investments, the 7-day current yield for the period
ended July 31, 2006 was 4.74% (without maximum UBS PACE program fee and after
fee waivers/expense reimbursements; the yield was 4.18% before fee
waivers/expense reimbursements). With the maximum UBS PACE program fee, the
7-day current yield was 3.24% after fee waivers/expense reimbursements; the
yield was 2.68% before fee waivers/expense reimbursements. The Portfolio's yield
quotation more closely reflects the current earnings of the Portfolio than the
total return quotation. Yields will fluctuate and reflect fee waivers.
* THE MAXIMUM ANNUAL UBS PACE PROGRAM FEE IS 1.5% OF THE VALUE OF UBS PACE
ASSETS.
** 90-DAY US T-BILLS ARE PROMISSORY NOTES ISSUED BY THE US TREASURY AND SOLD
THROUGH COMPETITIVE BIDDING, WITH A SHORT-TERM MATURITY DATE, IN THIS CASE,
OF THREE MONTHS. THIS INDEX IS DERIVED FROM SECONDARY MARKET INTEREST RATES
AS PUBLISHED BY THE FEDERAL RESERVE BANK.
PAST PERFORMANCE DOES NOT PREDICT FUTURE PERFORMANCE AND THE PERFORMANCE
INFORMATION PROVIDED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER
WOULD PAY ON PORTFOLIO DISTRIBUTIONS. THE RETURN OF AN INVESTMENT WILL
FLUCTUATE. PERFORMANCE RESULTS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAIN DISTRIBUTIONS AT NET ASSET VALUE ON THE PAYABLE DATES. CURRENT PERFORMANCE
MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED.
Lipper peer group data calculated by Lipper Inc.; used with permission. The
Lipper median is the return of the fund that places in the middle of a Lipper
peer group.
AN INVESTMENT IN UBS PACE MONEY MARKET INVESTMENTS IS NOT INSURED OR GUARANTEED
BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00
PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO.
5
<Page>
UNDERSTANDING YOUR PORTFOLIO'S EXPENSES (UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1) ongoing
program fees; and (2) ongoing Portfolio costs, including management fees and
other Portfolio expenses. This example is intended to help you understand your
ongoing costs (in dollars) of investing in the Portfolio and to compare these
costs with the ongoing costs of investing in other mutual funds.
The example below is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period, February 1, 2006 to July 31, 2006.
ACTUAL EXPENSES
The first line in the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over a
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses paid during period" to
estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the table below provides information about hypothetical
account values and hypothetical expenses based on the Portfolio's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Portfolio's actual return. The hypothetical account values and expenses may
not be used to estimate the actual ending account balance or expenses you paid
for the period. You may use this information to compare the ongoing costs of
investing in the Portfolio and other funds. To do so, compare this 5%
hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
6
<Page>
Please note that the expenses shown in the table are meant to highlight your
ongoing Portfolio costs only and do not reflect any program fees. Therefore, the
second line in the table is useful in comparing ongoing Portfolio costs only,
and will not help you determine the relative total costs of owning different
funds. In addition, if these program fees were included, your costs would have
been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
FEBRUARY 1, 2006 JULY 31, 2006 02/01/06 TO 07/31/06
- -------------------------------------------------------------------------------------
Class P Actual $1,000.00 $1,021.60 $3.01
Hypothetical
(5% annual return
before expenses) 1,000.00 1,021.82 3.01
</Table>
* Expenses are equal to the Portfolio's annualized net expense ratio of
0.60%, multiplied by the average account value over the period, multiplied
by 181 divided by 365 (to reflect the one-half year period).
7
<Page>
PORTFOLIO STATISTICS (UNAUDITED)
CHARACTERISTICS 07/31/06
- --------------------------------------------------------------------------------
Net assets (mm) $342.6
Number of holdings (excluding US government agency obligations) 69
Weighted average maturity 40 days
PORTFOLIO COMPOSITION* 07/31/06
- --------------------------------------------------------------------------------
Commercial paper 70.4%
Short-term corporate obligations 9.8
Certificates of deposit 9.3
US government agency obligations 6.8
Bank notes 2.0
Money market funds 1.7
Repurchase agreement 0.1
Other assets less liabilities (0.1)
- --------------------------------------------------------------------------------
TOTAL 100.0%
================================================================================
TOP 10 SECURITIES (EXCLUDING US GOVERNMENT AGENCY OBLIGATIONS)* 07/31/06
- --------------------------------------------------------------------------------
KFW International Finance 2.9%
Regency Markets 2.9
Bear Stearns 2.6
Atlantis One Funding 2.6
Scaldis Capital 2.6
Depfa Bank 2.6
Nordea 2.6
Beta Finance 2.5
Sanofi-Aventis 2.4
Allied Irish Banks 2.3
- --------------------------------------------------------------------------------
TOTAL 26.0%
================================================================================
* Weightings represent percentages of net assets as of July 31, 2006. The
Portfolio is actively managed and its composition will vary over time.
8
<Page>
UBS PACE Money Market Investments
Statement of net assets--July 31, 2006
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------
US GOVERNMENT AGENCY OBLIGATIONS--6.79%
$5,000 Federal Farm Credit Bank 08/01/06 5.240%* $ 4,999,372
9,000 Federal Home Loan Bank 08/03/06 to 5.140 to
08/04/06 5.160@ 8,996,708
2,000 Federal Home Loan Bank 08/07/06 5.194* 1,999,555
7,250 Federal Home Loan 10/23/06 to 4.250 to
Mortgage Corp. 07/09/07 5.500 7,250,000
- ----------------------------------------------------------------------------
Total US government agency obligations (cost--$23,245,635) 23,245,635
============================================================================
BANK NOTES--2.04%
BANKING-US--2.04%
2,000 Bank of America N.A. 08/01/06 5.310* 2,000,000
5,000 Wachovia Bank N.A. 09/05/06 5.221 to
(Charlotte) 5.251* 4,999,370
- ----------------------------------------------------------------------------
Total bank notes (cost--$6,999,370) 6,999,370
============================================================================
CERTIFICATES OF DEPOSIT--9.34%
NON-US--5.55%
3,500 ABN AMRO Bank NV 01/24/07 4.850 3,500,000
2,000 Calyon N.A., Inc. 03/14/07 5.170 2,000,000
5,000 Deutsche Bank AG 08/03/06 to 4.170 to
03/06/07 5.090 5,000,000
3,000 Fortis Bank NV-SA 02/06/07 4.930 3,000,000
2,500 Svenska Handelsbanken 11/08/06 4.750 2,500,000
3,000 Toronto-Dominion Bank 08/14/06 5.310 3,000,000
19,000,000
US--3.79%
7,000 First Tennessee Bank N.A.
(Memphis) 08/24/06 5.180 7,000,000
3,000 SunTrust Bank 08/07/06 5.294* 3,000,000
3,000 Wachovia Bank N.A.
(Charlotte) 09/29/06 5.459* 2,999,545
12,999,545
- ----------------------------------------------------------------------------
Total certificates of deposit (cost--$31,999,545) 31,999,545
============================================================================
COMMERCIAL PAPER@--70.39%
ASSET BACKED-BANKING--2.62%
9,000 Atlantis One Funding 08/17/06 to 5.060 to
08/24/06 5.320 8,974,010
9
<Page>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------
COMMERCIAL PAPER--(CONTINUED)
ASSET BACKED-MISCELLANEOUS--16.75%
$3,500 Amsterdam Funding Corp. 08/24/06 5.320% $ 3,488,104
7,000 Bryant Park Funding LLC 08/01/06 to 5.270 to
08/11/06 5.300 6,997,056
4,000 Chariot Funding LLC 08/08/06 5.280 3,995,893
3,000 Falcon Asset
Securitization Corp. 08/02/06 5.270 2,999,561
5,000 Kitty Hawk Funding Corp. 08/16/06 5.310 4,988,938
5,000 Old Line Funding Corp. 08/15/06 5.290 4,989,714
8,000 Ranger Funding Co. LLC 08/28/06 5.320 7,968,080
10,000 Regency Markets No.1 LLC 08/21/06 5.340 9,970,333
6,000 Variable Funding
Capital Corp. 08/02/06 5.250 5,999,125
6,000 Yorktown Capital LLC 08/21/06 5.330 5,982,233
57,379,037
ASSET BACKED-SECURITIES--16.69%
8,500 Beta Finance, Inc. 09/15/06 to 5.330 to
09/20/06 5.350 8,441,726
7,000 Cancara Asset 08/01/06 to 5.270 to
Securitization LLC 08/11/06 5.290 6,995,017
4,800 CC (USA), Inc. (Centauri) 08/10/06 to 5.270 to
08/29/06 5.350 4,788,558
7,000 Dorada Finance, Inc. 09/28/06 5.370 6,939,438
8,000 Galaxy Funding, Inc. 08/17/06 to 5.240 to
09/19/06 5.320 7,961,720
5,000 Grampian Funding LLC 08/24/06 to 5.100 to
10/25/06 5.400 4,955,233
1,500 K2 (USA) LLC 09/25/06 5.390 1,487,648
4,700 Links Finance LLC 08/04/06 to 5.090 to
08/15/06 5.290 4,693,312
9,000 Scaldis Capital LLC 08/25/06 to 5.110 to
09/20/06 5.390 8,953,022
2,000 Solitaire Funding LLC 09/29/06 5.400 1,982,300
57,197,974
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------
COMMERCIAL PAPER--(CONTINUED)
BANKING-NON-US--13.78%
$6,500 Alliance & Leicester PLC 09/15/06 5.340% $ 6,456,612
8,000 Allied Irish Banks N.A., Inc. 08/03/06 5.250 7,997,667
4,500 Bank of Ireland 09/01/06 5.100 4,480,237
5,000 Banque et Caisse d'Epargne de L'Etat 10/05/06 5.360 4,951,611
3,000 Credit Suisse First Boston 10/10/06 5.370 2,968,675
9,000 Depfa Bank PLC 10/13/06 5.385 8,901,724
5,500 IXIS Commercial Paper Corp. 08/01/06 5.310 5,500,000
3,000 Northern Rock PLC 09/25/06 5.400 2,975,250
3,000 Westpac Trust Securities NZ Ltd. 10/10/06 5.380 2,968,617
47,200,393
BANKING-US--11.60%
7,000 Bank of America Corp. 08/01/06 5.250 7,000,000
5,000 Barclays US Funding Corp. 08/17/06 5.290 4,988,244
3,500 CBA (Delaware) Finance, Inc. 01/22/07 5.335 3,409,750
10,000 KFW International
Finance, Inc. 08/04/06 5.250 9,995,625
9,000 Nordea N.A., Inc. 10/18/06 to 5.115 to
02/26/07 5.390 8,840,844
2,500 San Paolo IMI US
Financial Co. 08/08/06 5.260 2,497,443
3,000 UniCredito Delaware, Inc. 08/11/06 5.060 2,995,783
39,727,689
BROKERAGE--4.75%
9,000 Bear Stearns Cos., Inc. 08/08/06 5.280 8,990,760
4,300 Merrill Lynch & Co., Inc. 08/07/06 5.250 4,296,238
3,000 Morgan Stanley 08/01/06 5.320* 3,000,000
16,286,998
FINANCE-NONCAPTIVE DIVERSIFIED--0.57%
2,000 General Electric Capital Corp. 01/05/07 5.030 1,956,127
INSURANCE-LIFE--0.66%
2,250 Prudential PLC 08/01/06 5.270 2,250,000
</Table>
11
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- -----------------------------------------------------------------------------------------
COMMERCIAL PAPER--(CONCLUDED)
PHARMACEUTICALS--2.39%
$8,200 Sanofi-Aventis 08/07/06 to 5.230 to
08/23/06 5.270% $ 8,178,289
UTILITIES-OTHER--0.58%
2,000 RWE AG 09/01/06 5.170 1,991,096
- -----------------------------------------------------------------------------------------
Total commercial paper (cost--$241,141,613) 241,141,613
=========================================================================================
SHORT-TERM CORPORATE OBLIGATIONS--9.78%
ASSET BACKED-SECURITIES--1.61%
1,500 CC (USA), Inc. (Centauri)** 04/30/07 5.315 1,499,944
2,000 K2 (USA) LLC** 08/01/06 5.315* 1,999,917
2,000 Links Finance LLC** 02/13/07 5.000 2,000,000
5,499,861
AUTOMOBILE OEM--1.17%
4,000 American Honda 09/08/06 to 5.260 to
Finance Corp.** 09/12/06 5.270* 3,999,925
BANKING-NON-US--1.46%
2,000 Nationwide Building
Society** 09/11/06 5.420* 2,001,028
3,000 Societe Generale** 08/02/06 5.316* 3,000,000
5,001,028
BROKERAGE--2.63%
3,000 Citigroup Global Markets
Holdings, Inc. 08/01/06 5.480* 3,002,823
6,000 Greenwich Capital
Holdings, Inc. 08/07/06 5.294* 6,000,000
9,002,823
FINANCE-CAPTIVE AUTOMOTIVE--0.58%
2,000 Toyota Motor Credit Corp. 08/01/06 5.300* 2,000,000
FINANCE-NONCAPTIVE CONSUMER--1.75%
6,000 HSBC Finance Corp. 08/01/06 5.485* 6,001,218
FINANCE-NONCAPTIVE DIVERSIFIED--0.58%
2,000 General Electric
Capital Corp. 08/09/06 5.470* 2,000,000
- -----------------------------------------------------------------------------------------
Total short-term corporate obligations (cost--$33,504,855) 33,504,855
=========================================================================================
</Table>
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATE RATES VALUE
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT--0.10%
$ 327 Repurchase agreement dated
07/31/06 with State Street Bank &
Trust Co., collateralized by
$329,894 US Treasury Notes, 3.250%
to 5.125% due 08/15/07 to 06/30/11
(value-$334,085); proceeds:
$327,044 (cost--$327,000) 08/01/06 4.860% $ 327,000
MONEY MARKET FUNDS+--1.69%
3,411 AIM Liquid Assets Portfolio 5.175 3,410,915
2,395 BlackRock Provident Institutional
TempFund 5.127 2,394,969
- -------------------------------------------------------------------------------------------------
Total money market funds (cost--$5,805,884) 5,805,884
=================================================================================================
Total investments (cost--$343,023,902 which
approximates cost for federal income tax purposes)--100.13% 343,023,902
Liabilities in excess of other assets--(0.13)% (451,011)
Net assets (applicable to 342,573,501 shares of beneficial
interest outstanding equivalent to $1.00 per share)--100.00% $342,572,891
</Table>
* Variable rate securities--maturity dates reflect earlier of reset dates or
stated maturity dates. The interest rates shown are the current rates as of
July 31, 2006 and reset periodically.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities, which represent 4.24% of net assets as of July 31,
2006, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
@ Interest rates shown are the discount rates at date of purchase.
+ Interest rates shown reflect yield at July 31, 2006.
OEM Original Equipment Manufacturer
13
<Page>
UBS PACE Money Market Investments
Statement of net assets--July 31, 2006
ISSUER BREAKDOWN BY COUNTRY (UNAUDITED)
PERCENTAGE OF PORTFOLIO ASSETS
- --------------------------------------------------------------------------------
United States 79.2%
Ireland 6.2
United Kingdom 3.3
France 3.1
Germany 1.5
Luxembourg 1.4
Netherlands 1.0
Belgium 0.9
Canada 0.9
Switzerland 0.9
Australia 0.9
Sweden 0.7
- --------------------------------------------------------------------------------
Total 100.0%
================================================================================
Weighted average maturity -- 40 days
See accompanying notes to financial statements
14
<Page>
UBS PACE Money Market Investments
Statement of operations
<Table>
<Caption>
FOR THE
YEAR ENDED
JULY 31, 2006
- --------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $12,904,778
EXPENSES:
Transfer agency and related services fees 1,179,686
Investment management and administration fees 1,006,253
Reports and notices to shareholders 462,220
Professional fees 73,664
Federal and state registration fees 42,371
Custody and accounting fees 36,887
Trustees' fees 14,614
Other expenses 24,390
2,840,085
Less: Fee waivers and/or expense reimbursements by investment
manager and administrator (1,115,063)
Net expenses 1,725,022
Net investment income 11,179,756
Net realized loss from investment activities (323)
Net increase in net assets resulting from operations $11,179,433
</Table>
Statement of changes in net assets
<Table>
<Caption>
FOR THE YEARS ENDED
JULY 31,
---------------------------
2006 2005
- --------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 11,179,756 $ 3,634,028
Net realized losses from investment
activities (323) (126)
Net increase in net assets resulting from
operations 11,179,433 3,633,902
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income (11,179,756) (3,634,028)
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net increase in net assets from beneficial
interest transactions 115,045,105 61,461,617
Net increase in net assets 115,044,782 61,461,491
NET ASSETS:
Beginning of year 227,528,109 166,066,618
End of year $342,572,891 $227,528,109
Accumulated undistributed net investment income $ -- $ --
</Table>
See accompanying notes to financial statements
15
<Page>
UBS PACE Money Market Investments
Notes to financial statements
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
UBS PACE Money Market Investments (the "Portfolio") is a diversified portfolio
of UBS PACE Select Advisors Trust (the "Trust"), which was organized as a
Delaware statutory trust under the laws of the State of Delaware by Certificate
of Trust dated September 9, 1994, as amended June 9, 1995 and thereafter, and is
registered with the Securities and Exchange Commission under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The trustees of the Trust have authority to issue an unlimited number of shares
of beneficial interest, par value $0.001 per share.
The Trust currently offers fourteen Portfolios available for investment, each
having its own investment objectives and policies. Shares of the Portfolio
currently are available only to participants in the UBS PACE(SM) Select Advisors
Program and the UBS PACE(SM) Multi Advisor Program.
The Trust accounts separately for the assets, liabilities and operations for
each Portfolio. Expenses directly attributable to each Portfolio are charged to
that Portfolio's operations; expenses which are applicable to all Portfolios are
allocated among them on a pro rata basis.
In the normal course of business the Portfolio may enter into contracts that
contain a variety of representations or that provide indemnification for certain
liabilities. The Portfolio's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the
Portfolio that have not yet occurred. However, the Portfolio has not had prior
claims or losses pursuant to these contracts and expects the risk of loss to be
remote.
The preparation of financial statements in accordance with US generally accepted
accounting principles requires the Portfolio's management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements.
16
<Page>
Actual results could differ from those estimates. The following is a summary of
significant accounting policies:
VALUATION AND ACCOUNTING FOR INVESTMENTS AND INVESTMENT INCOME--Investments are
valued at amortized cost, unless the Trust's Board of Trustees (the "Board")
determines that this does not represent fair value. Periodic review and
monitoring of the valuation of the securities held by the Portfolio is performed
in an effort to ensure amortized cost approximates market value. Investment
transactions are recorded on the trade date. Realized gains and losses from
investment transactions are calculated using the identified cost method.
Interest income is recorded on an accrual basis. Premiums are amortized and
discounts are accreted as adjustments to interest income and the identified cost
of investments.
REPURCHASE AGREEMENTS--The Portfolio may purchase securities or other
obligations from a bank or securities dealer (or its affiliate), subject to the
seller's agreement to repurchase them at an agreed upon date (or upon demand)
and price. The Portfolio maintains custody of the underlying obligations prior
to their repurchase, either through its regular custodian or through a special
"tri-party" custodian or sub-custodian that maintains a separate account for
both the Portfolio and its counterparty. The underlying collateral is valued
daily to ensure that the value, including accrued interest, is at least equal to
the repurchase price. In the event of default of the obligation to repurchase,
the Portfolio generally has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. Repurchase agreements involving
obligations other than US government securities (such as commercial paper,
corporate bonds and mortgage loans) may be subject to special risks and may not
have the benefit of certain protections in the event of counterparty insolvency.
If the seller (or seller's guarantor, if any) becomes insolvent, the Portfolio
may suffer delays, costs and possible losses in connection with the disposition
or retention of the collateral. Under certain circumstances, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention
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of the collateral may be subject to legal proceedings. The Portfolio may
participate in joint repurchase agreement transactions with other funds managed,
advised or sub-advised by UBS Global Asset Management (Americas) Inc.
DIVIDENDS AND DISTRIBUTIONS--Dividends and distributions to shareholders are
recorded on the ex-dividend date. The amount of dividends and distributions is
determined in accordance with federal income tax regulations, which may differ
from US generally accepted accounting principles. These "book/tax" differences
are either considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified within the
capital accounts based on their federal tax-basis treatment; temporary
differences do not require reclassification.
CONCENTRATION OF RISK
The ability of the issuers of debt securities held by the Portfolio to meet
their obligations may be affected by economic and political developments,
including those particular to a specific industry, country, state or region.
INVESTMENT MANAGER AND ADMINISTRATOR
UBS Global Asset Management (US) Inc. ("UBS Global AM--US") served as the
Trust's investment manager and administrator from August 1, 2005 until April 1,
2006. On April 1, 2006, the Trust's Investment Management and Administration
Agreement ("Management Contract") was transferred from UBS Global AM--US to UBS
Global Asset Management (Americas) Inc. ("UBS Global AM--Americas").
The transfer of the Management Contract between sister companies occurred in
connection with an internal reorganization involving UBS Global AM--US and UBS
Global AM--Americas. The Trust's Board of Trustees approved the transfer of the
Management Contract effective April 1, 2006. All of the personnel of UBS Global
AM--US who previously provided investment management services to the Trust
continue to provide investment
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management services to the Trust as employees of UBS Global AM--Americas. UBS
Global AM--Americas has the same contractual rights and responsibilities under
the Management Contract as those previously held by UBS Global AM--US. UBS
Global AM--US and UBS Global AM--Americas are both indirect wholly-owned
subsidiaries of UBS AG. UBS Global AM--US continues to serve as each Fund's
principal underwriter. In accordance with the Management Contract, the Portfolio
pays UBS Global AM--Americas an investment management and administration fee,
which is accrued daily and paid monthly, at an annual rate of 0.35% of the
Portfolio's average daily net assets. At July 31, 2006, the Portfolio owed UBS
Global AM--Americas $107,551 for investment management and administration fees.
UBS Global AM--Americas has contractually undertaken to waive a portion of the
Portfolio's investment management and administration fees and reimburse a
portion of the Portfolio's other expenses, when necessary, to maintain the total
annual operating expenses at a level not exceeding 0.60% through December 1,
2006. The Portfolio will make a payment to UBS Global AM--Americas for any
previously reimbursed expenses during a three year period to the extent that
operating expenses are otherwise below the expense cap. For the year ended July
31, 2006, UBS Global AM--Americas (or UBS Global AM--US for periods prior to
April 1, 2006) reimbursed the Portfolio for non-management fee expenses totaling
$1,115,063. At July 31, 2006, UBS Global AM--Americas owed the portfolio
$195,106 for expense reimbursements.
At July 31, 2006, the Portfolio had expense reimbursements subject to repayment
and respective dates of expirations as follows:
EXPENSE EXPIRES EXPIRES EXPIRES
REIMBURSEMENTS JULY 31, JULY 31, JULY 31,
SUBJECT TO REPAYMENT 2007 2008 2009
- -------------------------------------------------------
$2,344,079 $510,180 $718,836 $1,115,063
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ADDITIONAL INFORMATION REGARDING COMPENSATION TO AFFILIATE OF A BOARD MEMBER
Effective March 1, 2005, Professor Meyer Feldberg accepted the position of
senior advisor to Morgan Stanley, resulting in him becoming an interested
trustee of the Portfolio. The Portfolio has been informed that Professor
Feldberg's role at Morgan Stanley does not involve matters directly affecting
any UBS funds. Portfolio transactions are executed through Morgan Stanley based
on that firm's ability to provide best execution of the transactions. During the
year ended July 31, 2006, the Portfolio purchased and sold certain securities
(e.g., fixed income securities) in principal trades with Morgan Stanley having
an aggregate value of $280,859,118.
Morgan Stanley received compensation in connection with these trades, which may
have been in the form of a "mark-up" or "mark-down" of the price of the
securities, a fee from the issuer for maintaining a commercial paper program, or
some other form of compensation. Although the precise amount of this
compensation is not generally known by the Portfolio's investment manager, it is
believed that under normal circumstances it represents a small portion of the
total value of the transactions.
TRANSFER AGENCY AND RELATED SERVICES FEES
UBS Financial Services Inc. provides transfer agency related services to the
Portfolio pursuant to a delegation of authority from PFPC Inc. ("PFPC"), the
Portfolio's transfer agent, and was compensated for these services by PFPC, not
the Portfolio.
For the year ended July 31, 2006, UBS Financial Services Inc. received from
PFPC, not the Portfolio, $595,700 of the total transfer agency and related
services fees paid by the Portfolio to PFPC.
OTHER LIABILITIES AND COMPONENTS OF NET ASSETS
At July 31, 2006, payable for shares of beneficial interest repurchased,
dividends payable and other accrued expenses
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(excluding investment management and administration fees) were $1,262,254,
$647,312 and $471,218 respectively.
At July 31, 2006, the Portfolio had the following components of net assets: paid
in capital of $342,573,501 and an accumulated net realized loss of $610 for
total net assets of $342,572,891.
FEDERAL TAX STATUS
The Portfolio intends to distribute substantially all of its income and to
comply with the other requirements of the Internal Revenue Code applicable to
regulated investment companies. Accordingly, no provision for federal income
taxes is required. In addition, by distributing during each calendar year
substantially all of its net investment income, net realized capital gains and
certain other amounts, if any, the Portfolio intends not to be subject to a
federal excise tax.
The tax character of distributions paid during the fiscal years ended July 31,
2006 and July 31, 2005 was ordinary income.
At July 31, 2006 the components of accumulated earnings on a tax basis was
undistributed ordinary income of $647,312 and accumulated realized capital and
other losses of $610.
At July 31, 2006, the Portfolio has a net capital loss carryforward of $433.
This loss carryforward is available as a reduction, to the extent provided in
the regulations, of any future net realized capital gains; and $161 will expire
by July 31, 2007 and $272 will expire by July 31, 2014.
In accordance with US Treasury regulations, the Fund has elected to defer
realized capital losses of $177 arising after October 31, 2005. Such losses are
treated for tax purposes as arising on August 1, 2006.
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SHARES OF BENEFICIAL INTEREST
There is an unlimited amount of $0.001 par value shares of beneficial interest
authorized. Transactions in shares of beneficial interest, at $1.00 per share,
were as follows:
FOR THE YEARS ENDED JULY 31,
----------------------------
2006 2005
- -------------------------------------------------------------------------------
Shares sold 348,451,721 224,445,629
Shares repurchased (244,003,932) (166,362,878)
Dividends reinvested 10,597,316 3,378,866
- -------------------------------------------------------------------------------
Net increase in shares outstanding 115,045,105 61,461,617
===============================================================================
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UBS PACE Money Market Investments
Financial highlights
Selected data for a share of beneficial interest outstanding throughout each
year is presented below:
FOR THE YEARS ENDED JULY 31,
----------------------------------------------------
2006 2005 2004 2003 2002
- -------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment income 0.038 0.018 0.005 0.009 0.021
Dividends from net
investment income (0.038) (0.018) (0.005) (0.009) (0.021)
NET ASSET VALUE,
END OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
TOTAL INVESTMENT
RETURN(1) 3.89% 1.80% 0.51% 0.96% 2.10%
RATIOS/SUPPLEMENTAL
DATA:
Net assets,
end of year (000's) $342,573 $227,528 $166,067 $123,915 $112,001
Expenses to average
net assets, net of
fee waivers and/or
expense reimbursements
by manager 0.60% 0.60% 0.60% 0.57% 0.50%
Expenses to average
net assets, before
fee waivers and/or
expense reimbursements
by manager 0.99% 0.97% 0.96% 1.13% 1.43%
Net investment income
to average net assets 3.89% 1.85% 0.51% 0.94% 2.03%
(1) Total investment return is calculated assuming a $10,000 investment on the
first day of each year reported, reinvestment of all dividends and other
distributions, if any, at net asset value on the payable dates, and a sale
at net asset value on the last day of each year reported. The figures do
not include program fees; results would be lower if these fees were
included. Returns do not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions.
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UBS PACE Money Market Investments
Report of Ernst & Young LLP, independent registered public accounting firm
The Board of Trustees and Shareholders of
UBS PACE Select Advisors Trust
We have audited the accompanying statement of net assets of UBS PACE Money
Market Investments (the "Portfolio") (one of the portfolios comprising the UBS
PACE Select Advisors Trust), as of July 31, 2006, and the related statement of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended and financial highlights for each
of the five years in the period then ended. These financial statements and
financial highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Portfolio's internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Portfolio's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of July 31, 2006, by correspondence with the custodian
and others. We believe that our audits provide a reasonable basis for our
opinion.
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In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of UBS
PACE Money Market Investments at July 31, 2006, the results of its operations
for the year then ended, the changes in its net assets for each of the two years
in the period then ended and the financial highlights for each of the five years
in the period then ended, in conformity with U.S. generally accepted accounting
principles.
/s/ Ernst & Young LLP
New York, New York
September 15, 2006
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UBS PACE Money Market Investments
General information (unaudited)
QUARTERLY FORM N-Q PORTFOLIO SCHEDULE
The Portfolio will file its complete schedule of portfolio holdings with the
Securities and Exchange Commission ("SEC") for the first and third quarters of
each fiscal year on Form N-Q. The Portfolio's Forms N-Q are available on the
SEC's Web site at http://www.sec.gov. The Portfolio's Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, D.C. Information on
the operation of the SEC's Public Reference Room may be obtained by calling
1-800-SEC 0330. Additionally, you may obtain copies of Forms N-Q from the
Portfolio upon request by calling 1-800-647 1568.
PROXY VOTING POLICIES, PROCEDURES AND RECORD
You may obtain a description of the Portfolio's (1) proxy voting policies, (2)
proxy voting procedures and (3) information regarding how the Portfolio voted
any proxies related to portfolio securities during the most recent 12-month
period ended June 30 for which an SEC filing has been made, without charge, upon
request by contacting the Fund directly at 1-800-647 1568, online on a
Portfolio's Web site: www.ubs.com/ubsglobalam-proxy, or on the EDGAR Database on
the SEC's Web site (http://www.sec.gov).
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Board approvals of investment advisory and administration agreement during
period February 1, 2006 through July 31, 2006 (unaudited)
FEBRUARY 8, 2006 BOARD MEETING:
BACKGROUND--At a meeting of the board of UBS PACE Select Advisors Trust (the
"Trust") on February 8, 2006, the members of the board, including the board
members who are not "interested persons" of the Trust ("Independent Trustees"),
as defined in the Investment Company Act of 1940, as amended, considered and
approved the transfer of the current Investment Management and Administration
Agreement of the Trust with respect to UBS PACE Money Market Investments (the
"Portfolio") with UBS Global Asset Management (US) Inc. ("UBS Global AM") to UBS
Global Asset Management (Americas) Inc. ("UBS Global Americas"), an affiliate of
UBS Global AM. The board received information and materials about the proposed
transfer both at its November 2005 meeting and at its February 2006 meeting. In
considering the approval of the transfer of the Investment Advisory and
Administration Agreement (such transfer referred to as the "New Investment
Advisory and Administration Agreement"), the board reviewed a memorandum from
UBS Global AM explaining the reasons for the proposed transfer, including that
the transfer would result in management efficiencies and eliminate the
duplication of functions that had resulted from having two registered investment
advisors, UBS Global AM and UBS Global Americas, providing investment advisory
services to the UBS funds. The board also reviewed materials provided by UBS
Global AM on UBS Global Americas, including that the current personnel involved
with the Portfolio would not change as a result of the transfer from UBS Global
AM to UBS Global Americas. The board also noted management's explanation that
any expenses resulting from the transfer would be borne by UBS Global AM, and
not the Portfolio. The board also received and reviewed a draft of an opinion to
be provided by Dechert LLP, counsel to the Trust, that the proposed transfer
would not be considered an "assignment" of the existing investment management
contract under the Investment Company Act of 1940, as amended, because (1) there
would be no change of actual control of the investment manager to the Portfolio;
(2) there would be no change of management of the investment manager to the
Portfolio; (3) the nature, quality and extent of the investment management
services provided by UBS Global AM under the current Investment Management and
Administration Agreement would not change as a result of the transfer; (4) the
transfer would not result in any change in the fundamental investment processes,
investment strategies or investment techniques
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currently employed by UBS Global AM in providing services to the Portfolio; and
(5) there would be no change to any of the material terms of the Investment
Management and Administration Agreement as a result of the transfer. The board
took note of its knowledge of UBS Global AM and its affiliates, including UBS
Global Americas, and the current Investment Advisory and Administration
Agreement, including the extensive materials it had reviewed at its annual
contract renewal meeting in the summer of 2005 for the Portfolio and the other
series of the Trust, and noted that it had at that time received a memorandum
from its independent legal counsel discussing, among other things, the duties of
board members in considering approval of management, sub-advisory and
administration agreements.
In its consideration of the approval of the New Investment Advisory and
Administration Agreement, the board considered the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE NEW INVESTMENT MANAGEMENT
AND ADMINISTRATION AGREEMENT--The board took note that at its last annual
contract renewal meeting for the Portfolio and the other series of the Trust, in
connection with its review of the management and distribution agreements for the
Portfolio and the other series of the Trust, it had received and considered
extensive information regarding the nature, extent and quality of management
services generally provided to the Portfolio and the other series of the Trust
by UBS Global AM under the Investment Management and Administration Agreement,
and a description of the administrative and other services rendered to the
Portfolio and the other series of the Trust and their shareholders by UBS Global
AM and UBS Global AM's role in coordinating providers of other services to the
Portfolio and the other series of the Trust, including custody, accounting and
transfer agency services. The board considered management's explanation that UBS
Global Americas would provide identical services under the New Investment
Management and Administration Agreement as were provided by UBS Global AM under
the current Investment Management and Administration Agreement. The board's
evaluation of the services to be provided by UBS Global Americas to the
Portfolio took into account the board's knowledge and familiarity gained as
board members of funds in the UBS New York fund complex, including the scope and
quality of investment management and other capabilities and the quality of
administrative and other services, and considered that based on the materials
presented to them these services would remain the
28
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same. The board also considered, based on its knowledge of UBS Global AM and UBS
Global Americas, the financial resources available to UBS Global Americas and
its parent organization, UBS AG, one of the leading financial services companies
in the world.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services expected to be provided to the Portfolio under the New
Investment Management and Administration Agreement.
MANAGEMENT FEE--The board noted that the current contractual management fee rate
for the Portfolio under the current Investment Management and Administration
Agreement was not proposed to be changed under the New Investment Advisory and
Administration Agreement. The board also considered that at its most recent
annual contract renewal meeting during the summer of 2005 it had received and
reviewed information on the contractual management fee payable by the Portfolio
to UBS Global AM, including information on management fees paid by comparable
funds. The board recognized that the current fee arrangement would not change as
a result of the transfer.
Taking all of the above into consideration, the board determined that the
proposed contractual management fee was reasonable in light of the nature,
extent and quality of the services proposed to be provided to the Portfolio
under the New Investment Management and Administration Agreement.
PORTFOLIO PERFORMANCE--The board took into consideration the reports on
Portfolio performance received by the board at each meeting and the more
extensive review and discussion of Portfolio performance at its most recent
annual contract renewal meeting. The board also noted that the transfer would
not result in any change in the fundamental investment processes, investment
strategies or investment techniques of the Portfolio and that no changes in the
current personnel overseeing Portfolio management were proposed or anticipated
as a result of the transfer.
Based on its prior review and the more updated performance information provided,
the board concluded that the Portfolio's investment performance was
satisfactory.
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ADVISER PROFITABILITY--As UBS Global Americas would be a new adviser to the
Portfolio, profitability of UBS Global Americas in providing services to the
Portfolio was not a primary factor considered by the board. The board did note
that at its most recent annual contract renewal meeting it received and
considered a profitability analysis of UBS Global AM and its affiliates in
providing services to the Portfolio and the other series of the Trust and had
determined at that time that UBS Global AM's profitability was considered not
excessive in light of the nature, extent and quality of the services provided to
the Portfolio and the other series of the Trust. The board also recognized that
the management fee would not change as a result of the transfer and the services
provided to the Portfolio by UBS Global Americas would be identical to those
currently provided by UBS Global AM, making the profitability data received at
its last contract renewal meeting still of some relevance. UBS Global AM also
noted that a significant benefit of the transfer of the Investment Management
and Administration Agreement to UBS Global Americas was to reduce a regulatory
capital requirement imposed on UBS Global AM, which was expected to permit the
eventual transfer of certain financial assets owned by UBS Global AM to satisfy
regulatory requirements to other parts of UBS AG for other corporate purposes.
ECONOMIES OF SCALE--The board noted that it had previously considered whether
economies of scale in the provision of services to the Portfolio would be passed
along to the shareholders during its most recent consideration of the annual
renewal of the Investment Management and Administration Agreement and did not
see the need to reconsider this factor again in the context of the transfer of
the agreement to a sister investment advisor.
OTHER BENEFITS TO UBS GLOBAL AMERICAS--The board considered other benefits
received by UBS Global Americas and its affiliates as a result of its proposed
relationship with the Portfolio, including the potential opportunity to offer
additional products and services to Portfolio shareholders. The board also
considered the benefits to be realized when certain assets of UBS Global AM were
freed from certain regulatory requirements and were available to be paid as a
dividend from one part of UBS AG to another part of UBS AG for such purposes as
UBS AG deemed appropriate.
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In light of the costs of providing investment management, administrative and
other services to the Portfolio and UBS Global America's expected ongoing
commitment to the Portfolio, the profits and other ancillary benefits that UBS
Global Americas and its affiliates received or would receive were considered
reasonable.
In light of all of the foregoing, the board approved the New Investment
Management and Administration Agreement.
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the New Investment Management
and Administration Agreement. The Independent Trustees were advised by separate
independent legal counsel throughout the process. The board discussed the
proposed approval of the New Investment Management and Administration Agreement
in a private session with their independent legal counsel at which no
representatives of UBS Global AM or UBS Global Americas were present.
JULY 19, 2006 BOARD MEETING:
BACKGROUND--At a meeting of the Trust's board on July 19, 2006, the members of
the board, including the Trustees who are not "interested persons" of the Trust
("Independent Trustees"), as defined in the Investment Company Act of 1940, as
amended, considered and approved the continuance of the Investment Management
and Administration Agreement between UBS Global Asset Management (Americas) Inc.
("UBS Global AM") and the Trust, on behalf of UBS PACE Money Market Investments
(the "Portfolio"). In preparing for the meeting, the board members had requested
and received extensive information from UBS Global AM to assist them, including
performance and expense information for other investment companies with similar
investment objectives. The board received and considered a variety of
information about UBS Global AM as well as the advisory, administrative and
distribution arrangements for the Portfolio. The Independent Trustees discussed
the materials initially provided by management prior to the scheduled board
meeting in a session with their independent legal counsel and requested, and
received from management, supplemental materials to assist them in their
consideration of the Investment Management and Administration Agreement. The
board also received materials detailing the administrative services provided
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to the Portfolio by UBS Global AM, which include providing accounting and
financial analysis for the Portfolio, ensuring that all financial and tax
regulatory reporting requirements were met, certifying required Securities and
Exchange Commission documentation and monitoring the performance of the
Portfolio's service providers. The board noted the complexity of this process
for the Portfolio and the other series of the Trust, given their broad range of
investment strategies.
The Independent Trustees also met for several hours the evening before the board
meeting and met again after management's presentation was completed to review
the disclosure that had been made to them at the meeting. At all of these
sessions the Independent Trustees met in session with their independent legal
counsel. The Independent Trustees also received a memorandum from their
independent legal counsel discussing the duties of board members in considering
approval of advisory, administration and distribution agreements.
In its consideration of the approval of the Investment Management and
Administration Agreement, the board considered the following factors:
NATURE, EXTENT AND QUALITY OF THE SERVICES UNDER THE INVESTMENT MANAGEMENT AND
ADMINISTRATION AGREEMENT--The board received and considered information
regarding the nature, extent and quality of management services provided to the
Portfolio by UBS Global AM under the Investment Management and Administration
Agreement during the past year. The board also received a description of the
administrative and other services rendered to the Portfolio and its shareholders
by UBS Global AM. The board considered the nature, extent and quality of
administrative, distribution, and shareholder services performed by UBS Global
AM and its affiliates for the Portfolio. The board also considered the resources
devoted to, and the record of compliance with, the Portfolio's compliance
policies and procedures. The board noted that it received information at regular
meetings throughout the year regarding the services rendered by UBS Global AM
concerning the management of the Portfolio's affairs and UBS Global AM's role in
coordinating providers of other services to the Portfolio, including custody,
accounting and transfer agency services. The board's evaluation of the services
provided by UBS Global AM took into account the board's knowledge and
familiarity gained as board members of funds in the UBS New York Fund complex,
including the scope and
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quality of UBS Global AM's investment management and other capabilities and the
quality of its administrative and other services. The board observed that the
scope of services provided by UBS Global AM had expanded over time as a result
of regulatory and other developments, including maintaining and monitoring the
expanded compliance programs for the Portfolio and the other series of the
Trust.
The board had available to it the qualifications, backgrounds and
responsibilities of the Portfolio's senior personnel at UBS Global AM and had
received information regarding the persons primarily responsible for the
day-to-day portfolio management of the Portfolio and recognized that the
Portfolio's senior personnel at UBS Global AM report to the board regularly,
some at every board meeting, and that at each regular meeting the board receives
a detailed report on the Portfolio's performance. The board also considered,
based on its knowledge of UBS Global AM and its affiliates, the financial
resources available to UBS Global AM and its parent organization, UBS AG. In
that regard, the board received extensive financial information regarding UBS
Global AM and noted that it was a wholly-owned, indirect subsidiary of one of
the largest financial services firms in the world. It was also noted that UBS
Global AM had well over $100 billion in assets under management and was part of
the UBS Global Asset Management Division, which had over $600 billion of assets
under management worldwide. In addition, UBS Global AM also reported to the
board on, among other things, its disaster recovery plans and portfolio manager
compensation plan.
The board concluded that, overall, it was satisfied with the nature, extent and
quality of services provided (and expected to be provided) to the Portfolio
under the Investment Management and Administration Agreement.
MANAGEMENT FEE AND EXPENSE RATIO--The board reviewed and considered the
contractual management fee (the "Contractual Management Fee") payable by the
Portfolio to UBS Global AM in light of the nature, extent and quality of the
management and administrative services provided by UBS Global AM. The board also
reviewed and considered the fee waiver and/or expense reimbursement arrangements
currently in place for the Portfolio and considered the actual fee rate (after
taking any waivers and reimbursements into account) (the "Actual Management
Fee"). Additionally, the board received and considered information comparing
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the Portfolio's Contractual Management Fee, Actual Management Fee and overall
expenses with those of funds in a group of funds selected and provided by
Lipper, Inc. ("Lipper"), an independent provider of investment company data (the
"Expense Group").
In connection with its consideration of the Portfolio's management fees, the
board also received information on UBS Global AM's standard institutional
account fees for accounts of a similar investment type to the Portfolio. The
board noted that, in general, these fees were lower than the Contractual
Management Fee for the Portfolio, but also noted management's explanation that
comparisons with such accounts may be of limited relevance given the different
structures and regulatory requirements of mutual funds versus such accounts and
the differences in the levels of services required by mutual funds and such
accounts.
In addition to the Contractual and Actual Management Fees, the board also
considered that UBS Global AM had entered into a fee waiver/expense
reimbursement agreement with the Portfolio under which UBS Global AM was
contractually obligated to waive its management fees and/or reimburse the
Portfolio so that the total operating expenses of the Portfolio through December
1, 2006 (excluding interest expense, if any) would not exceed 0.60%. The board
also considered that the Portfolio has agreed to repay UBS Global AM for those
reimbursed expenses if the Portfolio can do so over the following three fiscal
years without causing its expenses in any of those years to exceed this expense
cap. The comparative Lipper information showed that the Portfolio's Contractual
Management Fee and total expenses were in the third quintile, and its Actual
Management Fee was in the first quintile (with the first quintile representing
that fifth of the funds in the Expense Group with the lowest fees or expenses,
as applicable) in the Portfolio's Expense Group for the comparison periods
utilized in the Lipper report.
Taking all of the above into consideration, the board determined that the
management fee was reasonable in light of the nature, extent and quality of the
services provided to the Portfolio under the Investment Management and
Administration Agreement.
PORTFOLIO PERFORMANCE--The board received and considered performance information
compared to other funds (the "Performance Universe")
34
<Page>
selected by Lipper over the one-, three-, five-, ten- and since inception
periods ended April 30, 2006. The board was provided with a description of the
methodology Lipper used to determine the similarity of the Portfolio with the
funds included in its Performance Universe. The board also took note of
management's statement that it considered the Lipper peer groups useful in
evaluating Portfolio expenses relative to peers but less useful in evaluating
performance, as the Performance Universe peer group was broad-based and
consisted of funds that did not necessarily have similar parameters to the
Portfolio. The board also noted that it had received information throughout the
year at periodic intervals with respect to the Portfolio's performance. The
comparative Lipper information showed that the Portfolio's performance was in
the second quintile for the one-, three- and ten-year periods and since
inception and in the first quintile for the five-year period (with the first
quintile representing that fifth of the funds in the Performance Universe with
the best relative performance). Based on its review, the board concluded that
the Portfolio's investment performance was satisfactory.
ADVISER PROFITABILITY--The board received and considered a profitability
analysis of UBS Global AM and its affiliates in providing services to the
Portfolio. The board also received profitability information with respect to the
UBS fund complex as a whole. In addition, the board received information with
respect to UBS Global AM's allocation methodologies used in preparing this
profitability data. UBS Global AM's profitability was considered not excessive
in light of the nature, extent and quality of the services provided to the
Portfolio.
ECONOMIES OF SCALE--The board received and considered information from
management regarding whether there have been economies of scale with respect to
the management of the Portfolio, whether the Portfolio has appropriately
benefited from any economies of scale, and whether there is potential for
realization of any further economies of scale for the Portfolio. The board
considered whether economies of scale in the provision of services to the
Portfolio were being passed along to the shareholders. The board noted that the
Portfolio's Contractual Management Fee did not contain breakpoints. The board
considered that to the extent the Portfolio's assets have increased over time,
however, it has realized other economies of scale as certain expenses, such as
fees for Trustees, auditor and legal fees and printing and postage, become a
smaller percentage of overall assets.
35
<Page>
Generally, in light of UBS Global AM's profitability data, the Actual Management
Fee and the Contractual Management Fee, the board believed that UBS Global AM's
sharing of economies of scale with the Portfolio was acceptable.
OTHER BENEFITS TO UBS GLOBAL AM--The board considered other benefits received by
UBS Global AM and its affiliates as a result of its relationship with the
Portfolio, including the opportunity to offer additional products and services
to Portfolio shareholders. In light of the costs of providing investment
management, administrative and other services to the Portfolio and UBS Global
AM's ongoing commitment to the Portfolio, the profits and other ancillary
benefits that UBS Global AM and its affiliates received were considered
reasonable.
In light of all of the foregoing, the board approved the Investment Management
and Administration Agreement for the Portfolio.
No single factor reviewed by the board was identified by the board as the
principal factor in determining whether to approve the Investment Management and
Administration Agreement. The Independent Trustees were advised by separate
independent legal counsel throughout the process. The board discussed the
proposed continuance of the Investment Management and Administration Agreement
in a private session with their independent legal counsel at which no
representatives of UBS Global AM were present.
36
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37
<Page>
UBS PACE Money Market Investments
Supplemental information (unaudited)
BOARD OF TRUSTEES & OFFICERS
The Trust is governed by a Board of Trustees which oversees the Portfolios'
operations. Each trustee serves an indefinite term of office. Officers are
appointed by the Trustees and serve at the pleasure of the Board. The table
below shows, for each Trustee and Officer, his or her name, address and age, the
position held with the Trust, the length of time served as a Trustee and Officer
of the Trust, the Trustee's or Officer's principal occupations during the last
five years, the number of portfolios in the UBS fund complex overseen by the
Trustee or for which a person served as an Officer, and other directorships held
by the Trustee.
The Trust's Statement of Additional Information contains additional information
about the Trustees and is available, without charge, upon request by calling
1-800-647 1568.
INTERESTED TRUSTEE
POSITION(S)
HELD WITH TERM OF OFFICE+ AND
NAME, ADDRESS, AND AGE TRUST LENGTH OF TIME SERVED
- ------------------------------------------------------------------------------
Meyer Feldberg++; 64 Trustee Since 2001
Morgan Stanley
1585 Broadway
33rd Floor
New York, NY 10036
INDEPENDENT TRUSTEES
Richard Q. Armstrong; 71 Trustee and Since 2001 (Trustee)
c/o Willkie Farr & Gallagher LLP Chairman of the Since 2004 (Chairman of
787 Seventh Avenue Board of Trustees the Board of Trustees)
New York, NY 10019-6099
38
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<Table>
<Caption>
NUMBER OF
PRINCIPAL OCCUPATION(S) PORTFOLIOS IN FUND COMPLEX OTHER DIRECTORSHIPS HELD BY
DURING PAST 5 YEARS OVERSEEN BY TRUSTEE TRUSTEE
- -------------------------------------------------------------------------------------------------------
Professor Feldberg is Dean Emeritus Professor Feldberg is a Professor Feldberg is also a
and Sanford Bernstein Professor of director or trustee of 29 director of Primedia Inc.
Leadership and Ethics at Columbia investment companies (publishing), Federated
Business School, although on a two (consisting of 48 portfolios) Department Stores, Inc.
year leave of absence. He is also a for which UBS Global AM or one (operator of department
senior advisor to Morgan Stanley of its affiliates serves as stores), Revlon, Inc.
(financial services) (since March investment advisor, sub-advisor (cosmetics), and SAPPI, Ltd.
2005). Prior to July 2004, he was or manager. (producer of paper).
Dean and Professor of Management of
the Graduate School of Business at
Columbia University (since 1989).
Mr. Armstrong is chairman and Mr. Armstrong is a director or None
principal of R.Q.A. Enterprises trustee of 16 investment
(management consulting firm) (since companies (consisting of 35
April 1991 and principal occupation portfolios) for which UBS
since March 1995). Global AM or one of its
affiliates serves as investment
advisor, sub-advisor or
manager.
</Table>
39
<Page>
<Table>
<Caption>
TERM OF OFFICE+ AND
NAME, ADDRESS, AND AGE POSITION(S) HELD WITH TRUST LENGTH OF TIME SERVED
- -------------------------------------------------------------------------------------------------------
David J. Beaubien; 72 Trustee Since 1995
84 Doane Road
Ware, MA 01082
Alan S. Bernikow; 65 Trustee Since 2005
207 Benedict Ave.
Staten Island, NY 10314
Richard R. Burt; 59 Trustee Since 2001
1275 Pennsylvania Ave., N.W.
Washington, D.C. 20004
</Table>
40
<Page>
<Table>
<Caption>
NUMBER OF PORTFOLIOS OTHER
PRINCIPAL OCCUPATION(S) IN FUND COMPLEX OVERSEEN DIRECTORSHIPS HELD
DURING PAST 5 YEARS BY TRUSTEE BY TRUSTEE
- -------------------------------------------------------------------------------------------------------
Mr. Beaubien is retired (since Mr. Beaubien is a director or Mr. Beaubien is also a
2003). He was chairman of trustee of 16 investment director of IEC Electronics,
Yankee Environmental Systems, companies (consisting of 35 Inc., a manufacturer of
Inc., a manufacturer of portfolios) for which UBS electronic assemblies.
meteorological measuring Global AM or one of its
systems (since 1991). affiliates serves as
investment advisor, sub-
advisor or manager.
Mr. Bernikow is a consultant Mr. Bernikow is a director or Mr. Bernikow is also a
on non-management matters for trustee of 16 investment director of Revlon, Inc.
the firm of Deloitte & Touche companies (consisting of 35 (cosmetics) (and serves as the
(international accounting and portfolios) for which UBS chair of its audit committee),
consulting firm) (since June Global AM or one of its a director of Mack-Cali Realty
2003). Previously, he was affiliates serves as Corporation (real estate
Deputy Chief Executive Officer investment advisor, investment trust) (and serves
at Deloitte & Touche. sub-advisor or manager. as the chair of its audit
committee) and a director of
the Casual Male Retail Group,
Inc. (menswear).
Mr. Burt is chairman of Mr. Burt is a director or Mr. Burt is also a director of
Diligence Inc. (information trustee of 16 investment The Central European Fund,
and risk management firm) and companies (consisting of 35 Inc., The Germany Fund, Inc.,
IEP Advisors (international portfolios) for which UBS The New Germany Fund, Inc.,
investments and consulting Global AM or one of its IGT, Inc. (provides technology
firm). affiliates serves as to gaming and wagering
investment advisor, industry) and The Protective
sub-advisor or manager. Group, Inc. (produces armor
products).
</Table>
41
<Page>
UBS PACE Money Market Investments
Supplemental information (unaudited)
INDEPENDENT TRUSTEES (CONCLUDED)
<Table>
<Caption>
TERM OF OFFICE+ AND
NAME, ADDRESS, AND AGE POSITION(S) HELD WITH TRUST LENGTH OF TIME SERVED
- -------------------------------------------------------------------------------------------------------
Bernard H. Garil; 66 6754 Casa Trustee Since 2005
Grande Way Delray Beach, FL
33446
Heather R. Higgins; 47 255 E. Trustee Since 2005
49th St., Suite 23D New York,
NY 10017
</Table>
42
<Page>
<Table>
<Caption>
NUMBER OF
PRINCIPAL OCCUPATION(S) PORTFOLIOS IN FUND COMPLEX OTHER DIRECTORSHIPS
DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
- -------------------------------------------------------------------------------------------------------
Mr. Garil is retired (since Mr. Garil is a director or Mr. Garil is also a director
2001). He was a Managing trustee of 16 investment of OFI Trust Company
Director at PIMCO Advisory companies (consisting of 35 (commercial trust company) and
Services (from 1999 to 2001) portfolios) for which UBS a trustee for the Brooklyn
where he served as President Global AM or one of its College Foundation, Inc.
of closed-end funds and affiliates serves as (charitable foundation).
Vice-President of the variable investment advisor,
insurance product funds sub-advisor or manager.
advised by OpCap Advisors
(until 2001).
Ms. Higgins is the President Ms. Higgins is a director or None
and Director of The Randolph trustee of 16 investment
Foundation (charitable companies (consisting of 35
foundation) (since 1991). Ms. portfolios) for which UBS
Higgins also serves on the Global AM or one of its
boards of several non-profit affiliates serves as
charitable groups, including investment advisor,
the Independent Women's Forum sub-advisor or manager.
(chairman), the Philanthropy
Roundtable (vice chairman) and
the Hoover Institution
(executive committee).
</Table>
43
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UBS PACE Money Market Investments
Supplemental information (unaudited)
OFFICERS
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Joseph Allessie*; 41 Vice President Since 2005 Mr. Allessie is a director
and Assistant and deputy general counsel at
Secretary UBS Global Asset Management
(US) Inc. and UBS Global
Asset Management (Americas)
Inc. (collectively, "UBS
Global AM-Americas region")
(since 2005). Prior to
joining UBS Global
AM-Americas region, he was
senior vice president and
general counsel of Kenmar
Advisory Corp. (from 2004 to
2005). Prior to that Mr.
Allessie was general counsel
and secretary of GAM USA
Inc., GAM Investments, GAM
Services, GAM Funds, Inc. and
the GAM Avalon Funds (from
1999 to 2004). Mr. Allessie
is a vice president and
assistant secretary of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
44
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Rose Ann Bubloski*; Vice President Since 2006 Ms. Bubloski is an associate
38 and Assistant director (since 2003) and a
Treasurer senior manager of the US
mutual fund treasury
administration department of
UBS Global AM-Americas
region. Ms. Bubloski is a
vice president and assistant
treasurer of 20 investment
companies (consisting of 91
portfolios) for which UBS
Global AM-Americas region or
one of its affiliates serves
as investment advisor,
sub-advisor or manager.
Thomas Disbrow*; 40 Vice President Since 2000 Mr. Disbrow is a director
and Treasurer (Vice (since 2001) and head of the
President) US mutual fund treasury
Since 2004 administration department
(Treasurer) (since 2006) of UBS Global
AM-Americas region. Mr.
Disbrow is a vice president
and treasurer and/or
principal accounting officer
of 20 investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
45
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Michael J. Flook*; Vice President Since 2006 Mr. Flook is an associate
41 and Assistant director and a senior manager
Treasurer of the US mutual fund
treasury administration
department of UBS Global
AM-Americas region (since
2006). Prior to joining UBS
Global AM-Americas region, he
was a senior manager with The
Reserve (asset management
firm) from May 2005 to May
2006. Prior to that he was a
senior manager with PFPC
Worldwide since October 2000.
Mr. Flook is a vice president
and assistant treasurer of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
46
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Mark F. Kemper**; 48 Vice President Since 2004 Mr. Kemper is general
and Secretary counsel of UBS Global
AM-Americas region (since
2004). Mr. Kemper also is a
managing director of UBS
Global AM-Americas region
(since 2006). He was deputy
general counsel of UBS
Global Asset Management
(Americas) Inc. ("UBS Global
AM (Americas)") from July
2001 to July 2004. He has
been secretary of UBS Global
AM- Americas since 1999 and
assistant secretary of UBS
Global Asset Management
Trust Company since 1993.
Mr. Kemper is secretary of
UBS Global AM-Americas
region (since 2004). Mr.
Kemper is vice president and
secretary of 20 investment
companies (consisting of 91
portfolios) for which UBS
Global AM-Americas region or
one of its affiliates
serves as investment advisor,
sub-advisor or manager.
Joanne M. Kilkeary*; Vice President Since 1999 Ms. Kilkeary is an associate
38 and Assistant director (since 2000) and a
Treasurer senior manager (since 2004)
of the US mutual fund
treasury administration
department of UBS Global
AM-Americas region. Ms.
Kilkeary is a vice president
and assistant treasurer of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
47
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Tammie Lee*; 35 Vice President Since 2005 Ms. Lee is a director and
and Assistant associate general counsel of
Secretary UBS Global AM-Americas region
(since 2005). Prior to
joining UBS Global AM-
Americas region, she was vice
president and counsel at
Deutsche Asset
Management/Scudder
Investments from 2003 to
2005. Prior to that she was
assistant vice president and
counsel at Deutsche Asset
Management/Scudder
Investments from 2000 to
2003. Ms. Lee is a vice
president and assistant
secretary of 20 investment
companies (consisting of 91
portfolios) for which UBS
Global AM-Americas region or
one of its affiliates serves
as investment advisor,
sub-advisor or manager.
Michael H. Vice President Since 2001 Mr. Markowitz is a managing
Markowitz**; 41 director (since 2004),
portfolio manager and head of
U.S. short duration fixed
income (since 2003) of UBS
Global AM-Americas region.
Mr. Markowitz is a vice
president of five investment
companies (consisting of 23
portfolios) for which UBS
Global AM-Americas region or
one of its affiliates serves
as investment advisor,
sub-advisor or manager.
</Table>
48
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Joseph McGill*; 44 Vice President Since 2004 Mr. McGill is a managing
and Chief director (since 2006) and
Compliance chief compliance officer
Officer (since 2003) at UBS Global
AM-Americas region. Prior to
joining UBS Global
AM-Americas region, he was
assistant general counsel at
J. P. Morgan Investment
Management (from 1999 to
2003). Mr. McGill is a vice
president and chief
compliance officer of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
Eric Sanders*; 40 Vice President Since 2005 Mr. Sanders is a director and
and Assistant associate general counsel of
Secretary UBS Global AM-Americas region
(since 2005). From 1996 until
June 2005, he held various
positions at Fred Alger &
Company, Incorporated, the
most recent being assistant
vice president and associate
general counsel. Mr. Sanders
is a vice president and
assistant secretary of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global AM-
Americas region or one of its
affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
49
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Andrew Shoup*; 50 Vice President Since 2006 Mr. Shoup is a managing
and Chief director and senior member of
Operating the US mutual fund treasury
Officer administration department of
UBS Global AM-Americas region
(since July 2006). Prior to
joining UBS Global AM-
Americas region, he was Chief
Administrative Officer for
the Legg Mason Partner Funds
(formerly Smith Barney,
Salomon Brothers, and
CitiFunds mutual funds) from
November 2003 to July 2006.
Prior to that, he held
various positions with
Citigroup Asset Management
and related companies with
their domestic and offshore
mutual funds since 1993.
Additionally, he has worked
for another mutual fund
complex as well as spending
eleven years in public
accounting. Mr. Shoup is a
vice president of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
50
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Kai R. Sotorp**; 47 President Since 2006 Mr. Sotorp is the Head of the
Americas for UBS Global Asset
Management (since 2004); a
member of the UBS Group
Managing Board (since 2003)
and a member of the UBS
Global Asset Management
Executive Committee (since
2001). Prior to his current
role, Mr. Sotorp was Head of
UBS Global Asset
Management-Asia Pacific
(2002-2004), covering
Australia, Japan, Hong Kong,
Singapore and Taiwan; Head of
UBS Global Asset Management
(Japan) Ltd. (2001-2004) and
Representative Director and
President of UBS Global Asset
Management (Japan) Ltd.
(2000-2004). Mr. Sotorp is
President of 16 investment
companies (consisting of 35
portfolios) for which UBS
Global Asset
Management-Americas region or
one of its affiliates serves
as investment advisor,
sub-advisor or manager.
</Table>
51
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- -----------------------------------------------------------------------------------
Keith A. Weller*; 45 Vice President Since 2000 Mr. Weller is an executive
and Assistant director and senior associate
Secretary general counsel of UBS Global
AM-Americas region (since
2005) and has been an
attorney with affiliated
entities since 1995. Mr.
Weller is a vice president
and assistant secretary of 20
investment companies
(consisting of 91 portfolios)
for which UBS Global
AM-Americas region or one of
its affiliates serves as
investment advisor,
sub-advisor or manager.
</Table>
* This person's business address is 51 West 52nd Street, New York, New York
10019-6114.
** This person's business address is One North Wacker Drive, Chicago, Illinois
60606.
+ Each trustee holds office for an indefinite term. Each trustee who has
attained the age of seventy-two (72) years will be subject to retirement on
the last day of the month in which he or she attains such age. Officers are
appointed by the trustees and serve at the pleasure of the board.
++ Professor Feldberg is deemed an "interested person" of the Trust as defined
in the Investment Company Act because he is a senior advisor to Morgan
Stanley, a financial services firm with which the Trust may conduct
transactions.
52
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53
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54
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55
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56
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TRUSTEES
Richard Q. Armstrong Meyer Feldberg
CHAIRMAN Bernard H. Garil
David J. Beaubien Heather R. Higgins
Alan S. Bernikow
Richard R. Burt
PRINCIPAL OFFICERS
Kai Sotorp Thomas Disbrow
PRESIDENT VICE PRESIDENT AND TREASURER
Mark F. Kemper Michael H. Markowitz
VICE PRESIDENT AND SECRETARY VICE PRESIDENT
INVESTMENT MANAGER AND
ADMINISTRATOR
UBS Global Asset Management (Americas) Inc.
51 West 52nd Street
New York, New York 10019-6114
PRINCIPAL UNDERWRITER
UBS Global Asset Management (US) Inc.
51 West 52nd Street
New York, New York 10019-6114
This report is not to be used in connection with the offering of shares of the
Portfolio unless accompanied or preceded by an effective prospectus.
(C) 2006 UBS Global Asset Management (Americas) Inc. All rights reserved.
<Page>
[UBS LOGO] PRESORTED
STANDARD
U.S. POSTAGE
PAID
COMPUTERSHARE
UBS GLOBAL ASSET MANAGEMENT (AMERICAS) INC.
51 West 52nd Street
New York, New York 10019-6114
<Page>
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to its principal
executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions pursuant to Section 406 of
the Sarbanes-Oxley Act of 2002. (The registrant has designated the code of
ethics adopted pursuant to Sarbanes-Oxley as a "Code of Conduct" to lessen the
risk of confusion with its separate code of ethics adopted pursuant to Rule
17j-1 under the Investment Company Act of 1940, as amended.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board has determined that the following person serving on the
registrant's Audit Committee is an "audit committee financial expert" as defined
in item 3 of Form N-CSR: Alan S. Bernikow. Mr. Bernikow is independent as
defined in item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES:
For the fiscal years ended July 31, 2006 and July 31, 2005, the
aggregate Ernst & Young LLP (E&Y) audit fees for professional services
rendered to the registrant were approximately $711,600 and $522,904,
respectively.
Fees included in the audit fees category are those associated with the
annual audits of financial statements and services that are normally
provided in connection with statutory and regulatory filings.
(b) AUDIT-RELATED FEES:
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the
aggregate audit-related fees billed by E&Y for services rendered to
the registrant that are reasonably related to the performance of the
audits of the financial statements, but not reported as audit fees,
were approximately $35,076 and $33,744, respectively.
Fees included in the audit-related fees category are those associated
with (1) the reading and providing of comments on the 2006 and 2005
semiannual financial statements and (2) review of the consolidated
2005 and 2004 reports on the profitability of the UBS Funds to UBS
Global Asset Management (US) Inc. and its affiliates to assist the
board members in their annual advisory/administration contract and
service/distribution plan reviews.
There were no audit-related fees required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal
years indicated above.
(c) TAX FEES:
<Page>
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the
aggregate tax fees billed by E&Y for professional services rendered to
the registrant were approximately $189,180 and $181,250, respectively.
Fees included in the tax fees category comprise all services performed
by professional staff in the independent accountant's tax division
except those services related to the audits. This category comprises
fees for review of tax compliance, tax return preparation and excise
tax calculations.
There were no tax fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(d) ALL OTHER FEES:
In each of the fiscal years ended July 31, 2006 and July 31, 2005,
there were no fees billed by E&Y for products and services, other than
the services reported in Item 4(a)-(c) above, rendered to the
registrant.
Fees included in the all other fees category would consist of services
related to internal control reviews, strategy and other consulting,
financial information systems design and implementation, consulting on
other information systems, and other tax services unrelated to the
registrant.
There were no "all other fees" required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal
years indicated above.
(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES:
The registrant's Audit Committee ("audit committee") has adopted
an "Audit Committee Charter (Amended and Restated as of May 12,
2004 - Revised as of February 3, 2006)" (the "charter"). The
charter contains the audit committee's pre-approval policies and
procedures. Reproduced below is an excerpt from the charter
regarding pre-approval policies and procedures:
The [audit ]Committee shall:
2. Pre-approve (a) all audit and permissible non-audit
services(1) to be provided to the Fund and (b) all
permissible non-audit services to be provided by the
Fund's independent auditors to UBS Global Asset
Management (Americas) Inc. ("UBS Global AM") and any
Covered Service Providers, if the engagement relates
directly to the operations and financial reporting of
the Fund. In carrying out this responsibility, the
Committee shall seek periodically from UBS Global [AM]
and from the independent auditors a list of such audit
and permissible non-audit services that can be expected
to be rendered to the Fund, UBS Global [AM] or any
Covered Service Providers by the Fund's independent
auditors, and an estimate of the fees sought to be paid
in connection with such services. The Committee may
delegate its responsibility to pre-approve any such
audit and permissible non-audit services to a
sub-committee consisting of the Chairperson of the
Committee
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and two other members of the Committee as the
Chairperson, from time to time, may determine and
appoint, and such sub-committee shall report to the
Committee, at its next regularly scheduled meeting
after the sub-committee's meeting, its decision(s).
From year to year, the Committee shall report to the
Board whether this system of pre-approval has been
effective and efficient or whether this Charter should
be amended to allow for pre-approval pursuant to such
policies and procedures as the Committee shall approve,
including the delegation of some or all of the
Committee's pre-approval responsibilities to other
persons (other than UBS Global [AM] or the Fund's
officers).
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(1) The Committee will not approve non-audit services
that the Committee believes may taint the
independence of the auditors. Currently,
permissible non-audit services include any
professional services (including tax services)
that are not prohibited services as described
below, provided to the Fund by the independent
auditors, other than those provided to the Fund in
connection with an audit or a review of the
financial statements of the Fund. Permissible
non-audit services may NOT include: (i)
bookkeeping or other services related to the
accounting records or financial statements of the
Fund; (ii) financial information systems design
and implementation; (iii) appraisal or valuation
services, fairness opinions or
contribution-in-kind reports; (iv) actuarial
services; (v) internal audit outsourcing services;
(vi) management functions or human resources;
(vii) broker or dealer, investment adviser or
investment banking services; (viii) legal services
and expert services unrelated to the audit; and
(ix) any other service the Public Company
Accounting Oversight Board determines, by
regulation, is impermissible.
Pre-approval by the Committee of any permissible
non-audit services is not required so long as: (i)
the aggregate amount of all such permissible
non-audit services provided to the Fund, UBS
Global [AM] and any service providers controlling,
controlled by or under common control with UBS
Global [AM] that provide ongoing services to the
Fund ("Covered Service Providers") constitutes not
more than 5% of the total amount of revenues paid
to the independent auditors (during the fiscal
year in which the permissible non-audit services
are provided) by (a) the Fund, (b) its investment
adviser and (c) any entity controlling, controlled
by, or under common control with the investment
adviser that provides ongoing services to the Fund
during the fiscal year in which the services are
provided that would have to be approved by the
Committee; (ii) the permissible non-audit services
were not recognized by the Fund at the time of the
engagement to be non-audit services; and (iii)
such services are promptly brought to the
attention of the Committee and approved by the
Committee (or its delegate(s)) prior to the
completion of the audit.
(e) (2) Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01
of Regulation S-X:
AUDIT-RELATED FEES:
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There were no amounts that were approved by the audit committee
pursuant to the de minimis exception for the fiscal years ended July
31, 2006 and July 31, 2005 on behalf of the registrant.
There were no amounts that were required to be approved by the audit
committee pursuant to the de minimis exception for the fiscal years
ended July 31, 2006 and July 31, 2005 on behalf of the registrant's
service providers that relate directly to the operations and financial
reporting of the registrant.
TAX FEES:
There were no amounts that were approved by the audit committee
pursuant to the de minimis exception for the fiscal years ended July
31, 2006 and July 31, 2005 on behalf of the registrant.
There were no amounts that were required to be approved by the audit
committee pursuant to the de minimis exception for the fiscal years
ended July 31, 2006 and July 31, 2005 on behalf of the registrant's
service providers that relate directly to the operations and financial
reporting of the registrant.
ALL OTHER FEES:
There were no amounts that were approved by the audit committee
pursuant to the de minimis exception for the fiscal years ended July
31, 2006 and July 31, 2005 on behalf of the registrant.
There were no amounts that were required to be approved by the audit
committee pursuant to the de minimis exception for the fiscal years
ended July 31, 2006 and July 31, 2005 on behalf of the registrant's
service providers that relate directly to the operations and financial
reporting of the registrant.
(f) According to E&Y, for the fiscal year ended July 31, 2006, the
percentage of hours spent on the audit of the registrant's financial
statements for the most recent fiscal year that were attributed to
work performed by persons who are not full-time, permanent employees
of E&Y was 0%.
(g) For the fiscal years ended July 31, 2006 and July 31, 2005, the
aggregate fees billed by E&Y of $2,116,477 and $3,003,959,
respectively, for non-audit services rendered on behalf of the
registrant ("covered"), its investment adviser (not including any
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser) and any
entity controlling, controlled by, or under common control with the
adviser ("non-covered") that provides ongoing services to the
registrant for each of the last two fiscal years of the registrant is
shown in the table below:
2006 2005
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Covered Services $ 224,256 $ 214,994
Non-Covered Services 1,892,221 2,788,965
(h) The registrant's audit committee was not required to consider whether
the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any sub-adviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under
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common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Included as part of the report to shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant's Board has established a Nominating and Corporate Governance
Committee. The Nominating and Corporate Governance Committee will consider
nominees recommended by shareholders if a vacancy occurs among those board
members who are not "interested persons" as defined in Section 2(a)(19) of the
Investment Company Act of 1940, as amended. In order to recommend a nominee, a
shareholder should send a letter to the chairperson of the Nominating and
Corporate Governance Committee, Richard R. Burt, care of the Secretary of the
registrant at UBS Global Asset Management (Americas) Inc., 51 West 52nd Street,
New York, New York 10019-6114, and indicate on the envelope "Nominating and
Corporate Governance Committee." The shareholder's letter should state the
nominee's name and should include the nominee's resume or curriculum vitae, and
must be accompanied by a written consent of the individual to stand for election
if nominated for the Board and to serve if elected by shareholders.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have concluded that the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment
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Company Act of 1940, as amended) are effective based on their
evaluation of these controls and procedures as of a date within 90
days of the filing date of this document.
(b) The registrant's principal executive officer and principal financial
officer are aware of no changes in the registrant's internal control
over financial reporting that occurred during the registrant's most
recent fiscal half-year that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 12. EXHIBITS.
(a) (1) Code of Ethics as required pursuant to Section 406 of the
Sarbanes-Oxley Act of 2002 (and designated by registrant as a "Code of
Conduct") is incorporated by reference herein from Exhibit EX-99.CODE
ETH to the registrant's Report on Form N-CSR filed October 8, 2004
(Accession Number: 0001047469-04-030769)(SEC File No. 811-08764).
(a) (2) Certifications of principal executive officer and principal
financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 is attached hereto as Exhibit EX-99.CERT.
(a) (3) Written solicitation to purchase securities under Rule 23c-1 under
the Investment Company Act of 1940 sent or given during the period
covered by the report by or on behalf of the registrant to 10 or more
persons - not applicable to the registrant.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 is
attached hereto as Exhibit EX-99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
UBS PACE Select Advisors Trust
By: /s/ Kai Sotorp
---------------------------------
Kai Sotorp
President
Date: OCTOBER 9, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Kai Sotorp
---------------------------------
Kai Sotorp
President
Date: OCTOBER 9, 2006
By: /s/ Thomas Disbrow
---------------------------------
Thomas Disbrow
Vice President and Treasurer
Date: OCTOBER 9, 2006