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: 811-21328

SMA Relationship Trust

(Exact name of registrant as specified in charter)

One North Wacker Drive, Chicago, IL 60606-2807

(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.

UBS Global Asset Management (Americas) Inc.

One North Wacker Drive

Chicago, IL 60606-2807

(Name and address of agent for service)

Copy to:

Bruce Leto, Esq.

Stradley Ronon Stevens & Young, LLP

2600 One Commerce Square

Philadelphia, PA 19103-7098

Registrant’s telephone number, including area code: 212-821 3000

Date of fiscal year end: December 31

Date of reporting period: June 30, 2011

Item 1. Reports to Stockholders.

   Semiannual Report

SMA Relationship Trust

Series A

Series G

Series M

Series S

Series T

Semiannual Report

June 30, 2011

Table of contents
SMA Relationship Trust—Series A
Letter to shareholders	1
Performance at a glance	6
Industry diversification	8
Portfolio of investments	10
SMA Relationship Trust—Series G
Letter to shareholders	26
Performance at a glance	30
Industry diversification	32
Portfolio of investments	34
SMA Relationship Trust—Series M
Letter to shareholders	40
Performance at a glance	45
Summary of municipal securities by state	46
Portfolio of investments	47
SMA Relationship Trust—Series S
Letter to shareholders	52
Performance at a glance	58
Industry diversification	60
Portfolio of investments	62
SMA Relationship Trust—Series T
Letter to shareholders	68
Performance at a glance	73
Industry diversification	75
Portfolio of investments	77
Explanation of expense disclosure	94
Statement of assets and liabilities	96
Statement of operations	98
Statement of changes in net assets	100
Financial highlights
SMA Relationship Trust—Series A	103
SMA Relationship Trust—Series G	104
SMA Relationship Trust—Series M	105
SMA Relationship Trust—Series S	106
SMA Relationship Trust—Series T	107
Notes to financial statements	108
General information	128
Board approval of investment advisory agreements	129

SMA Relationship Trust—Series A

August 15, 2011

Dear shareholder, We present you with the semiannual report for Series A (the “Fund”), a series of SMA Relationship Trust, for the six months ended June 30, 2011. Performance Over the six month reporting period, the Fund declined 2.69%, compared with the 1.51% return of the BofA Merrill Lynch US Treasury 1-5 Year Index, a return of 5.29% for the MSCI World Free Index (net), and a 2.99% increase in the US Consumer Price Index (CPI). (Please note that the Fund’s returns do not reflect the deduction of taxes that a shareholder would pay on Fund dividends/distributions and the redemption of Fund shares, while the Index returns do not reflect the deduction of fees and expenses. For more on the Fund’s performance, see “Performance at a glance” on page 6.)
	SMA Relationship Trust—Series A
	Investment goal:
	To maximize total return, consisting of capital appreciation and current income
	Portfolio managers:
	Curt Custard, Andreas Koester, Jonathan Davies and Phillip Torres UBS Global Asset Management (Americas) Inc.
	Commencement:
	April 2, 2008
	Dividend payments:
	Annually

An interview with the Portfolio Managers

Q.	How would you describe the economic environment during the reporting period?
A.	Looking back, gross domestic product (“GDP”)1 growth came in at 2.3% during the fourth quarter of 2010. The Commerce Department then reported that first and second quarter 2011 GDP numbers were 0.4% and 1.3%, respectively—reflecting, in part, a slowdown in growth due to tepid consumer and declining government spending.
	Despite the economy’s ongoing (albeit moderate) growth, the Federal Reserve (the “Fed”) remained concerned about continued high unemployment levels. As a result, the Fed maintained its highly accommodative monetary policy,

1	GDP is the market value of all final goods and services produced within a country in a given period of time.
	1

SMA Relationship Trust—Series A

	and launched another round of quantitative easing in an attempt to stimulate the economy. The plan (dubbed “QE2”) called for the purchase of an additional $600 billion of longer-term US Treasury securities by the end of the second quarter of 2011.
	At its June 2011 meeting, the Fed decided to keep the target range for the federal funds rate at 0 to 1/4 percent, with the intention of promoting “the ongoing economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate.” The Fed further noted that it “continues to anticipate that economic conditions—including low rates of resource utilization and a subdued outlook for inflation over the medium run—are likely to warrant exceptionally low levels for the federal funds rate for an extended period.”
	At this same meeting, the Fed additionally announced that it would be completing its QE2 plan on schedule at the end of June.
Q.	Which positions had a positive impact on performance during the reporting period?
A.	The Fund’s overweight to risk assets contributed to performance. For example, the Fund had a long position to equities throughout the period. This was rewarded as corporate profits often exceeded expectations and investor risk appetite was generally robust, especially during the first half of the period.
	Certain currency strategies were also positive for performance. The Fund’s long position to the Swedish krona was beneficial. The currency appreciated as Sweden’s economic fundamentals were relatively strong and its banking system was not as adversely impacted during the credit crisis. Long positions to Asia ex-Japan currencies also enhanced results as their economies continued to expand at a solid pace.
	Finally, security selection in the large cap growth space generated positive performance results.
Q.	Which positions hindered performance during the period?
A.	Several relative value trades detracted from performance. Having long positions to core European countries such as Germany and France, and short positions to peripheral countries such as Spain and Italy, generated negative results. A long position to large cap equities and a short position to small cap equities
2

SMA Relationship Trust—Series A

	worked against the Fund, as well. Elsewhere, a preference for European versus US equities was detrimental for performance.
	A number of currency strategies hurt the Fund’s performance. For example, the Fund’s short to the euro was not rewarded. Despite the European sovereign debt crisis, the euro strengthened during the period. Additionally, having a short to the strong-performing Australian dollar detracted from performance, as it benefited from rising commodity prices.
	Security selection was slightly negative during the reporting period, and produced disappointing results.
	Finally, having a short duration position during much of the period was not rewarded, as rates declined across the US yield curve.
Q.	How did the use of derivatives impact the Fund during the reporting period?
A.	During the review period, the Fund used derivatives for risk management purposes and as part of the Fund’s investment strategies to enhance return across markets, securities and currencies. Performance across market allocation and currencies was negatively impacted by the use of derivatives.
Q.	How was the Fund allocated at the end of the reporting period?
A.	Within global equities, the Fund has approximately a 30% long position. We still favor more developed countries, such as the US, and Germany and France in core Europe. Conversely, we feel that valuations of many developing country equity markets are fairly valued.
	Within fixed income, the Fund continues to have a long exposure to the investment grade credit markets. We believe that continued economic growth, low defaults and overall strong demand will support these securities. Toward the end of the period, the Fund moved to a long duration position as rates moved up somewhat in late June.
	From a currency perspective, we maintain our long positions in Asia ex-Japan and the US dollar, as we find them to be attractively valued on a relative basis. Conversely, we continue to be short the euro and commodity currencies, such as the Australian dollar, as we feel they offer less value at current levels.
3

SMA Relationship Trust—Series A

Q.	What is your outlook for the economy?
A.	The US economy hit a soft patch in the second half of the reporting period, and a number of headwinds could lead to continued muted growth as the year progresses. Unemployment remains stubbornly high, and the housing market continues to search for a bottom. With short-term interest rates already at a historical low, and given the completion of QE2, we believe the Fed may lack the tools to give the economy a much-needed boost. In addition, the issues related to the European sovereign debt crisis could negatively impact consumer confidence and lead to periods of heightened volatility. That said, we feel that the US economy has enough momentum to continue expanding, and we expect core inflation to remain relatively benign. We believe the Fund is appropriately positioned given this environment, and we continue to seek out what we consider to be attractively valued opportunities in the marketplace.
4

SMA Relationship Trust—Series A

We thank you for your continued support and welcome any comments or questions you may have.

Sincerely,

Mark E. Carver	Andreas J. Koester
President	Portfolio Manager
SMA Relationship Trust—Series A	SMA Relationship Trust—Series A
Managing Director	Managing Director
UBS Global Asset Management	UBS Global Asset Management
(Americas) Inc.	(Americas) Inc.

Curt Custard	Jonathan Davies
Portfolio Manager	Portfolio Manager
SMA Relationship Trust—Series A	SMA Relationship Trust—Series A
Group Managing Director	Executive Director
UBS Global Asset Management	UBS Global Asset Management
(Americas) Inc.	(Americas) Inc.

Phillip Torres

Portfolio Manager

SMA Relationship Trust—Series A

Executive Director

UBS Global Asset Management

(Americas) Inc.

This letter is intended to assist shareholders in understanding how the Fund performed during the six months ended June 30, 2011. The views and opinions in the letter were current as of August 15, 2011. They are not guarantees of future 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 Fund’s future investment intent. We encourage you to consult your financial advisor regarding your personal investment program.

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund’s investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses and more current performance for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568, or by visiting our Web site at www.ubs.com/globalam-us.

5

SMA Relationship Trust—Series A

Performance at a glance (unaudited)

Average annual total returns for periods ended 06/30/2011

					Since
	6 months		1 year		inception1
SMA Relationship Trust—Series A	(2.69	)%	2.48	%	(1.86	)%
BofA Merrill Lynch US Treasury 1-5 Year Index2	1.51	%	2.16	%	3.13	%
MSCI World Free Index (net)3	5.29	%	30.51	%	(0.09	)%
US Consumer Price Index (CPI)4	2.99	%	3.56	%	1.72	%

1	Since inception returns are calculated as of the performance inception date, April 2, 2008, of SMA Relationship Trust—Series A. Inception date of the indices, for the purpose of this illustration, is March 31, 2008, which is the nearest month-end to the inception date of the Fund.
2	The BofA Merrill Lynch US Treasury 1-5 Year Index is an unmanaged index designed to track US Treasury securities with maturities between 1 and 5 years. Investors should note that indices do not reflect the deduction of fees and expenses.
3	The MSCI World Free Index (net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of May 2010, the index consisted of 24 developed market country indices. Dividends are reinvested after deduction of withholding tax, using tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. Had US tax rates been applied, the performance of the index would be different. The index is constructed and managed with a view to being fully investable from the perspective of international institutional investors. Investors should note that indices do not reflect the deduction of fees and expenses.
4	The US Consumer Price Index (CPI) produces monthly data on changes in the prices paid by urban consumers for a representative basket of goods and services. The Index is calculated by the Bureau of Labor Statistics. Investors should note that indices do not reflect the deduction of fees and expenses.

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 Fund distributions or the redemption of Fund 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 the period of less than one year have not been annualized. Current performance may be higher or lower than the performance data quoted.

6

SMA Relationship Trust—Series A

Top ten equity holdings (unaudited)1
As a percentage of net assets
As of June 30, 2011
Sage Group PLC	1.1	%
Unilever PLC	0.9
ENI SpA	0.9
Henkel AG & Co., KGaA, Preference shares	0.8
Royal Dutch Shell PLC, Class A	0.8
GlaxoSmithKline PLC	0.8
Repsol YPF SA	0.7
Vodafone Group PLC	0.7
ING Groep NV CVA	0.7
SAP AG	0.6
Total	8.0	%

Country exposure by issuer, top five (unaudited)1
As a percentage of net assets
As of June 30, 2011
United Kingdom	10.2	%
United States	10.2
Netherlands	3.1
Germany	2.9
Switzerland	2.3
Total	28.7	%

¹ Figures represent the direct investments of SMA Relationship Trust—Series A. Figures would be different if a breakdown of the underlying investment companies was included.

7

SMA Relationship Trust—Series A

Industry diversification (unaudited)1
As a percentage of net assets
As of June 30, 2011
Common stocks
Aerospace & defense	0.59	%
Air freight & logistics	0.68
Airlines	0.19
Auto components	0.03
Automobiles	0.30
Beverages	0.98
Biotechnology	0.50
Building products	0.50
Capital markets	0.43
Chemicals	1.02
Commercial banks	3.08
Commercial services & supplies	0.16
Communications equipment	0.48
Computers & peripherals	0.73
Construction & engineering	0.08
Construction materials	0.61
Diversified consumer services	0.37
Diversified financial services	1.41
Diversified telecommunication services	0.70
Electric utilities	0.76
Electrical equipment	0.39
Electronic equipment, instruments & components	0.37
Energy equipment & services	0.49
Food & staples retailing	0.79
Food products	1.50
Gas utilities	0.02
Health care equipment & supplies	0.58
Health care providers & services	0.13
Hotels, restaurants & leisure	0.59
Household durables	0.18
Household products	0.48
Industrial conglomerates	0.47
Insurance	2.48
Internet & catalog retail	0.20
8

SMA Relationship Trust—Series A

Industry diversification (unaudited) (concluded)1
As a percentage of net assets
As of June 30, 2011
Common stocks (concluded)
Internet software & services	0.15	%
IT services	0.18
Leisure equipment & products	0.05
Machinery	0.60
Media	1.13
Metals & mining	1.34
Oil, gas & consumable fuels	4.17
Paper & forest products	0.02
Personal products	0.30
Pharmaceuticals	2.41
Real estate management & development	0.41
Road & rail	0.87
Semiconductors & semiconductor equipment	0.48
Software	2.29
Specialty retail	0.59
Textiles, apparel & luxury goods	0.06
Tobacco	0.79
Trading companies & distributors	0.65
Wireless telecommunication services	0.87
Total common stocks	39.63
Preferred stocks	0.85
Options purchased	3.31
Investment companies
UBS U.S. Equity Alpha Relationship Fund	22.36
UBS U.S. Large Cap Growth Equity Relationship Fund	28.24
Total investment companies	50.60
Short-term investment	2.16
Total investments	96.55
Cash and other assets, less liabilities	3.45
Net assets	100.00	%

1	Figures represent the industry breakdown of direct investments of the SMA Relationship Trust—Series A. Figures would be different if a breakdown of the underlying investment companies’ industry diversification and derivatives exposure was included.
	9

SMA Relationship Trust—Series A

Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—39.63%
Australia—0.59%
Brambles Ltd.		6,846		$53,186
Iluka Resources Ltd.		2,818		51,122
Qantas Airways Ltd.*		6,389		12,664
QBE Insurance Group Ltd.		3,534		65,609
Suncorp Group Ltd.		2,101		18,402
Total Australia common stocks				200,983
Austria—0.12%
BWIN.Party Digital Entertainment PLC*		9,808		23,539
Telekom Austria AG		687		8,763
Vienna Insurance Group		149		8,190
Total Austria common stocks				40,492
Canada—1.20%
Agrium, Inc.		180		15,806
Canadian Pacific Railway Ltd.		200		12,477
Cenovus Energy, Inc.		400		15,097
Encana Corp.		1,200		36,948
Goldcorp, Inc.		200		9,674
Intact Financial Corp.		400		22,977
Open Text Corp.*		600		38,412
Petrominerales Ltd.		700		20,547
Suncor Energy, Inc.		400		15,677
Toronto-Dominion Bank		2,000		169,589
TransCanada Corp.		900		39,520
Trican Well Service Ltd.		500		11,748
Total Canada common stocks				408,472
China—0.30%
CLP Holdings Ltd.		2,500		22,177
Esprit Holdings Ltd.		5,208		16,223
Hang Seng Bank Ltd.		800		12,794
New World Development Co., Ltd.		33,000		50,128
Total China common stocks				101,322
Denmark—0.26%
Jyske Bank A/S*		2,275		89,888
10

SMA Relationship Trust—Series A

Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Finland—0.56%
Sampo Oyj, Class A		5,700		$184,039
Stora Enso Oyj, Class R		645		6,767
Total Finland common stocks				190,806
France—1.40%
Alstom SA		253		15,582
BNP Paribas SA		426		32,855
Carrefour SA*		1,647		67,643
France Telecom SA		1,428		30,378
Sanofi-Aventis SA		937		75,311
Schneider Electric SA		431		72,008
Societe Generale		2,785		165,071
Thales SA		400		17,247
Total France common stocks				476,095
Germany—2.00%
Allianz SE		1,471		205,524
BASF SE		377		36,893
Bayer AG		242		19,456
Daimler AG		292		21,976
E.ON AG		529		15,017
Fresenius Medical Care AG & Co. KGaA		176		13,159
HeidelbergCement AG		510		32,511
Linde AG		149		26,124
Metro AG		417		25,244
SAP AG		3,594		217,373
Sky Deutschland AG*		9,145		49,394
Volkswagen AG		95		17,454
Total Germany common stocks				680,125
Greece—0.08%
Hellenic Telecommunications Organization SA		3,042		28,517
Guernsey—0.02%
Resolution Ltd.		1,655		7,810
Ireland—0.48%
Covidien PLC		200		10,646
CRH PLC		4,680		103,635
				11

SMA Relationship Trust—Series A

Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Ireland—(concluded)
James Hardie Industries SE CDI*		8,018		$50,741
Total Ireland common stocks				165,022
Italy—1.42%
Azimut Holding SpA		2,385		22,242
ENI SpA		12,396		293,866
Finmeccanica SpA		11,709		141,703
UniCredit SpA		11,590		24,514
Total Italy common stocks				482,325
Japan—2.04%
Bridgestone Corp.		400		9,206
Central Japan Railway Co.		4		31,439
Daito Trust Construction Co., Ltd.		600		50,957
FamilyMart Co., Ltd.		100		3,676
Gree, Inc.*		600		13,149
Honda Motor Co., Ltd.		1,300		50,107
ITOCHU Corp.		4,000		41,609
JFE Holdings, Inc.		600		16,510
JGC Corp.		1,000		27,386
JX Holdings, Inc.		1,800		12,155
KDDI Corp.		2		14,390
Kobe Steel Ltd.		8,000		18,201
Komatsu Ltd.		800		24,891
Lawson, Inc.		200		10,504
Marubeni Corp.		3,000		19,939
Mitsubishi Chemical Holdings Corp.		3,000		21,281
Mitsubishi UFJ Financial Group, Inc.		1,700		8,276
Mitsui Engineering & Shipbuilding Co., Ltd.		12,000		26,265
Mizuho Securities Co., Ltd.*		3,000		7,229
Nippon Electric Glass Co., Ltd.		4,000		51,241
Nippon Telegraph & Telephone Corp.		200		9,725
Nisshinbo Holdings, Inc.		2,000		19,032
Ono Pharmaceutical Co., Ltd.		800		42,705
Resona Holdings, Inc.		1,400		6,593
Sankyo Co., Ltd.		300		15,505
12

SMA Relationship Trust—Series A

Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Japan—(concluded)
Softbank Corp.		800		$30,300
Takeda Pharmaceutical Co., Ltd.		300		13,875
Tokyo Steel Manufacturing Co., Ltd.		1,300		13,720
Tokyo Tatemono Co., Ltd.		7,000		25,523
Toyo Suisan Kaisha Ltd.		1,000		23,636
Yamada Denki Co., Ltd.		430		35,078
Total Japan common stocks				694,103
Luxembourg—0.26%
ArcelorMittal		2,505		87,167
Netherlands—3.06%
Akzo Nobel NV		140		8,832
ASML Holding NV		572		21,074
Heineken NV		2,966		178,396
Hunter Douglas NV		841		41,173
ING Groep NV CVA*		19,153		236,258
Koninklijke Philips Electronics NV		1,071		27,486
Ordina NV*		4,834		23,320
Reed Elsevier NV		900		12,087
Royal Dutch Shell PLC, Class A		7,306		260,344
Royal Dutch Shell PLC, Class B		1,955		69,786
TNT Express NV*		7,988		82,847
PostNL NV		7,983		67,736
Wolters Kluwer NV		558		12,365
Total Netherlands common stocks				1,041,704
Norway—0.25%
Petroleum Geo-Services ASA*		2,147		30,685
Telenor ASA		3,332		54,567
Total Norway common stocks				85,252
Portugal—0.04%
Portugal Telecom SGPS SA		1,320		13,072
Singapore—0.09%
CapitaLand Ltd.		6,000		14,269
United Overseas Bank Ltd.		1,000		16,067
Total Singapore common stocks				30,336
				13

SMA Relationship Trust—Series A

Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Spain—1.13%
Acciona SA		308		$32,692
Banco Santander SA		7,793		89,919
Enagas SA		330		8,002
Repsol YPF SA		7,310		253,795
Total Spain common stocks				384,408
Sweden—1.66%
Assa Abloy AB, Class B		6,350		170,669
Hennes & Mauritz AB, Class B		616		21,230
Nordea Bank AB		13,789		148,172
Swedish Match AB		2,615		87,690
Telefonaktiebolaget LM Ericsson, Class B		9,516		136,864
Total Sweden common stocks				564,625
Switzerland—2.27%
ABB Ltd.*		1,689		43,798
Aryzta AG		877		46,994
Givaudan SA*		170		179,859
Nestle SA		2,020		125,541
Nobel Biocare Holding AG*		4,104		83,639
Novartis AG		1,652		101,197
Roche Holding AG		232		40,968
Roche Holding AG (NPV)		595		99,543
STMicroelectronics NV		5,077		50,599
Total Switzerland common stocks				772,138
United Kingdom—10.24%
Aberdeen Asset Management PLC		12,298		44,008
Admiral Group PLC		294		7,833
Anglo American PLC		1,758		87,122
BAE Systems PLC		7,878		40,273
Barclays PLC		37,606		154,794
BP PLC		14,950		110,152
Diageo PLC		1,023		20,902
Ensco PLC ADR		900		47,970
Firstgroup PLC		14,172		77,559
GlaxoSmithKline PLC		12,125		259,604
14

SMA Relationship Trust—Series A

Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
United Kingdom—(concluded)
Halma PLC		10,578		$70,340
Hiscox Ltd.		6,059		40,737
Imperial Tobacco Group PLC		3,981		132,362
Jardine Lloyd Thompson Group PLC		6,268		68,511
Kingfisher PLC		16,635		71,342
Pearson PLC		7,342		139,076
Prudential PLC		15,071		174,169
Reckitt Benckiser Group PLC		2,960		163,431
Rio Tinto PLC		436		31,483
Sage Group PLC		77,415		358,967
Scottish & Southern Energy PLC		320		7,157
Smiths Group PLC		3,712		71,554
Sportingbet PLC		60,052		52,976
Stagecoach Group PLC		42,087		172,457
Tesco PLC		13,756		88,843
Tullow Oil PLC		2,453		48,822
Unilever PLC		9,680		312,381
Vedanta Resources PLC		306		10,293
Vodafone Group PLC		93,200		247,691
William Hill PLC		23,218		85,199
Wolseley PLC*		4,912		160,204
Xstrata PLC		5,799		127,890
Total United Kingdom common stocks				3,486,102
United States—10.16%
Acorda Therapeutics, Inc.*		500		16,155
Aeropostale, Inc.*		500		8,750
Aflac, Inc.		1,500		70,020
Air Products & Chemicals, Inc.		200		19,116
Alexion Pharmaceuticals, Inc.*		600		28,218
Allergan, Inc.		520		43,290
Amazon.com, Inc.*		340		69,527
American Electric Power Co., Inc.		2,400		90,432
Amgen, Inc.*		1,000		58,350
Apollo Group, Inc., Class A*		2,900		126,672
				15

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
United States—(continued)
Apple, Inc.*		560		$187,975
AT&T, Inc.		2,900		91,089
Avon Products, Inc.		3,700		103,600
Baker Hughes, Inc.		200		14,512
Bank of America Corp.		2,700		29,592
Bank of New York Mellon Corp.		1,900		48,678
Becton Dickinson & Co.		100		8,617
Broadcom Corp., Class A*		700		23,548
CareFusion Corp.*		1,000		27,170
Carnival Corp.		1,000		37,630
Celanese Corp., Series A		200		10,662
Citigroup, Inc.		2,260		94,106
Comcast Corp., Class A		3,600		91,224
Dolby Laboratories, Inc., Class A*		100		4,246
Dow Chemical Co.		400		14,400
EOG Resources, Inc.		200		20,910
Exelon Corp.		1,100		47,124
Exxon Mobil Corp.		1,100		89,518
FedEx Corp.		800		75,880
Fidelity National Information Services, Inc.		1,200		36,948
FirstEnergy Corp.		1,000		44,150
Fortune Brands, Inc.		300		19,131
GameStop Corp., Class A*		1,100		29,337
General Electric Co.		3,200		60,352
General Motors Co.*		400		12,144
Hewlett-Packard Co.		1,700		61,880
Home Depot, Inc.		500		18,110
Illinois Tool Works, Inc.		2,300		129,927
Intel Corp.		800		17,728
Intersil Corp., Class A		1,600		20,560
Johnson & Johnson		500		33,260
JPMorgan Chase & Co.		2,400		98,256
Kroger Co.		1,400		34,720
Marvell Technology Group Ltd.*		600		8,859

16

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(concluded)
United States—(concluded)
Medtronic, Inc.		1,800		$69,354
Merck & Co., Inc.		1,200		42,348
Microsoft Corp.		5,700		148,200
Monsanto Co.		200		14,508
Morgan Stanley		1,000		23,010
Noble Corp.		1,600		63,056
PACCAR, Inc.		500		25,545
PepsiCo, Inc.		1,900		133,817
Pfizer, Inc.		2,300		47,380
Pharmasset, Inc.*		600		67,320
Philip Morris International, Inc.		700		46,739
QUALCOMM, Inc.		500		28,395
Southwest Airlines Co.		4,500		51,390
Sunoco, Inc.		700		29,197
Symantec Corp.*		2,800		55,216
Texas Instruments, Inc.		600		19,698
Thomson Reuters Corp.		600		22,527
Time Warner, Inc.		300		10,911
Ultra Petroleum Corp.*		2,400		109,920
United Parcel Service, Inc., Class B		100		7,293
UnitedHealth Group, Inc.		600		30,948
US Bancorp		2,300		58,673
Viacom, Inc., Class B		800		40,800
Vulcan Materials Co.		500		19,265
Wal-Mart Stores, Inc.		800		42,512
Wells Fargo & Co.		2,700		75,762
Total United States common stocks				3,460,157
Total common stocks (cost—$12,338,186)				13,490,921
Preferred stocks—0.85%
Germany—0.85%
Henkel AG & Co KGaA, Preference shares		3,863		267,823
Volkswagen AG, Preference shares		112		23,092
Total preferred stocks (cost—$198,740)				290,915

17

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

	Number of
Security description	contracts		Value
Options purchased—3.31%
Call options—3.31%
Dow Jones EURO STOXX 50 Index, strike @ EUR 2,850.00, expires August 2011*		425		$485,039
Dow Jones EURO STOXX 50 Index, strike @ EUR 2,850.00, expires September 2011*		217		320,661
S&P 500 Index, strike @ USD 1,310.00, expires September 2011*		82		319,800
				1,125,500
	Face amount
	covered by
	contracts
Put options—0.00%
Foreign Exchange Option, Buy AUD/USD, strike @ USD 0.976, expires July 2011*	AUD	723,000		0
Total options purchased (cost—$807,664)				1,125,500
	Shares
Investment companies—50.60%
UBS U.S. Equity Alpha Relationship Fund*1		639,129		7,613,112
UBS U.S. Large Cap Growth Equity Relationship Fund*1		658,673		9,613,195
Total investment companies (cost—$14,268,540)				17,226,307
Short-term investment—2.16%
Investment company—2.16%
JPMorgan Liquid Assets Money Market Fund
(cost—$735,343)		735,343		735,343
Total investments—96.55% (cost—$28,348,473)				32,868,986
Cash and other assets, less liabilities—3.45%				1,175,471
Net assets—100.00%			$	34,044,457

18

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Notes to portfolio of investments

Aggregate cost for federal income tax purposes was substantially the same as for book purposes; and net unrealized appreciation consisted of:

Gross unrealized appreciation	$5,115,476
Gross unrealized depreciation	(594,963	)
Net unrealized appreciation of investments	$4,520,513

For a listing of defined portfolio acronyms and currency abbreviations that are used throughout the Portfolio of investments as well as the tables that follow, please refer to page 93.

*	Non-income producing security.
1	The table below details the Fund’s investments in funds advised by the same advisor as the Fund. The advisor does not earn a management fee from the affiliated UBS Relationship Funds.

					Change in
					net unrealized
					appreciation/
		Purchases	Sales	Net realized	(depreciation)
		during the	during the	gain during the	during the
		six months	six months	six months	six months
Security	Value	ended	ended	ended	ended	Value
description	12/31/10	06/30/11	06/30/11	06/30/11	06/30/11	06/30/11
UBS U.S. Equity Alpha Relationship Fund	$7,231,105	$—	$—	$—	$382,007	$7,613,112
UBS U.S. Large Cap Growth Equity Relationship Fund	8,836,817	—	—	—	776,378	9,613,195
	$16,067,922	$—	$—	$—	$1,158,385	$17,226,307

19

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Forward foreign currency contracts

						Unrealized
	Contracts		In		Maturity	appreciation/
Counterparty	to deliver		exchange for		date	(depreciation)
Goldman Sachs International	AUD	975,000	USD	1,033,568	09/06/11	$(3,598	)
Goldman Sachs International	GBP	1,715,000	USD	2,811,219	09/06/11	60,874
Goldman Sachs International	SEK	17,770,000	EUR	1,927,102	09/06/11	(9,161	)
JPMorgan Chase Bank	AUD	3,250,000	USD	3,421,272	09/06/11	(35,948	)
JPMorgan Chase Bank	CAD	1,570,000	USD	1,600,759	09/06/11	(24,467	)
JPMorgan Chase Bank	CHF	965,000	USD	1,128,472	09/06/11	(19,750	)
JPMorgan Chase Bank	EUR	11,470,000	USD	16,263,887	09/06/11	(339,283	)
JPMorgan Chase Bank	GBP	2,620,000	USD	4,302,184	09/06/11	100,490
JPMorgan Chase Bank	NZD	5,645,000	USD	4,570,407	09/06/11	(86,323	)
JPMorgan Chase Bank	USD	179,373	CHF	150,000	09/06/11	(893	)
JPMorgan Chase Bank	USD	619,973	EUR	425,000	09/06/11	(4,773	)
JPMorgan Chase Bank	USD	1,340,527	JPY	108,500,000	09/06/11	7,688
JPMorgan Chase Bank	USD	2,764,153	KRW	3,015,000,000	09/06/11	48,516
JPMorgan Chase Bank	USD	4,406,685	MXN	51,920,000	09/06/11	1,975
JPMorgan Chase Bank	USD	2,988,856	MYR	9,119,000	09/06/11	16,421
JPMorgan Chase Bank	USD	178,353	NZD	220,000	09/06/11	3,132
JPMorgan Chase Bank	USD	2,020,946	PLN	5,710,000	09/06/11	47,095
JPMorgan Chase Bank	USD	2,336,753	SEK	14,720,000	09/06/11	(18,416	)
JPMorgan Chase Bank	USD	2,968,548	SGD	3,675,000	09/06/11	23,417
Morgan Stanley & Co., Inc.	MXN	16,746,728	USD	1,385,000	09/06/11	(37,007	)
Net unrealized depreciation on forward foreign currency contracts						$(270,011	)

20

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Futures contracts

	Expiration	Cost/				Unrealized
	date	(proceeds)		Value		depreciation
Index futures sell contracts:
Amsterdam Exchange Index, 10 contracts (EUR)	July 2011	$(977,271	)	$(987,136	)	$(9,865	)
CAC 40 Euro Index,10 contracts (EUR)	July 2011	(557,608	)	(578,265	)	(20,657	)
DAX Index, 4 contracts (EUR)	September 2011	(1,045,599	)	(1,072,854	)	(27,255	)
Dow Jones EURO STOXX 50 Index, 36 contracts (EUR)	September 2011	(1,443,918	)	(1,486,491	)	(42,573	)
FTSE 100 Index, 38 contracts (GBP)	September 2011	(3,513,408	)	(3,602,846	)	(89,438	)
FTSE/MIB Index, 4 contracts (EUR)	September 2011	(585,507	)	(587,225	)	(1,718	)
Hang Seng Stock Index, 1 contract (HKD)	July 2011	(140,148	)	(145,174	)	(5,026	)
IBEX 35 Index, 3 contracts (EUR)	July 2011	(435,070	)	(448,282	)	(13,212	)
NIKKEI 225 Index, 6 contracts (JPY)	September 2011	(710,247	)	(735,256	)	(25,009	)
OMX Stockholm 30 Index, 30 contracts (SEK)	July 2011	(524,365	)	(528,760	)	(4,395	)
Russell 2000 Mini Index, 18 contracts (USD)	September 2011	(1,393,887	)	(1,485,720	)	(91,833	)
S&P 500 E-mini Index, 278 contracts (USD)	September 2011	(17,782,474	)	(18,285,450	)	(502,976	)
S&P Toronto Stock Exchange 60 Index, 2 contracts (CAD)	September 2011	(309,685	)	(316,118	)	(6,433	)
SPI 200 Index, 2 contracts (AUD)	September 2011	(242,673	)	(247,389	)	(4,716	)
Index futures buy contracts:
Long Gilt, 56 contracts (GBP)	September 2011	10,848,534		10,798,746		(49,788	)
Interest rate futures sell contracts:
Japanese 10 Year Bond, 7 contracts (JPY)	September 2011	(12,220,786	)	(12,263,586	)	(42,800	)
Net unrealized depreciation on futures contracts						$(937,694	)

21

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Options written

	Expiration	Premiums
	date	received	Value
Call options
Dow Jones EURO STOXX 50 Index, 425 contracts, strike @ EUR 2,950.00	August 2011	$151,124	$(202,768	)
Put options
Foreign Exchange Option, Sell AUD/USD, AUD 723,000 face amount covered by contracts, strike @ USD 1.08	July 2011	5,849	(2,165	)
Total options written		$156,973	$(204,933	)

Written option activity for the period ended June 30, 2011 for SMA Relationship Trust—Series A was as follows:

			Amount of
	Number of		premiums
	contracts		received
Options outstanding at December 31, 2010	—		$—
Options written	467		192,998
Options terminated in closing purchase transactions	(42	)	(41,874	)
Options expired prior to exercise	—		—
Options outstanding at June 30, 2011	425		$151,124

Swaption & Foreign exchange option activity for the period ended June 30, 2011 for SMA Relationship Trust—Series A was as follows:

Swaptions & Foreign exchange options outstanding at December 31, 2010	$161,903
Swaptions & Foreign exchange options written	31,257
Swaptions & Foreign exchange options terminated in closing purchase transactions	(187,311	)
Swaptions & Foreign exchange options expired prior to exercise	—
Swaptions & Foreign exchange options outstanding at June 30, 2011	$5,849

22

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Interest rate swap agreements

				Payments		Payments
				made		received		Upfront			Unrealized
	Notional		Termination	by the		by the		payments			appreciation/
Counterparty	amount		date	Fund1		Fund1		made	Value		(depreciation)
Citibank, N.A.	CAD	1,700,000	06/13/21	3.2825	%	1.2900	%2	$—	$19,274		$19,274
Citibank, N.A.	USD	1,800,000	06/15/21	0.2470	3	3.0875		—	(20,548	)	(20,548	)
Citibank, N.A.	USD	4,300,000	06/20/41	0.2465	3	3.8963		—	(113,213	)	(113,213	)
Deutsche Bank AG	MXN	21,121,000	03/26/21	4.8600	4	7.7500		—	70,199		70,199
Deutsche Bank AG	USD	2,684,000	04/11/16	2.4940		0.2895	3	—	(86,024	)	(86,024	)
Goldman Sachs International	CAD	3,400,000	06/08/21	3.2813		1.2900	2	—	37,187		37,187
Goldman Sachs International	EUR	3,700,000	06/21/21	1.7590	5	3.3250		—	(44,860	)	(44,860	)
Goldman Sachs International	USD	3,400,000	06/10/21	0.2503	3	3.0550		—	(46,572	)	(46,572	)
								$—	$(184,557	)	$(184,557	)

1	Payments made or received are based on the notional amount.
2	Rate based on 3 month Canadian Bankers Acceptance Rate.
3	Rate based on 3 month LIBOR (USD BBA).
4	Rate based on MXIBTIIE.
5	Rate based on 6 month EURIBOR.

23

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

Credit default swaps on credit indices—buy protection¹

Counterparty—Deutsche Bank AG:

					Payments
			Payments		received		Upfront
Notional		Termination	made by		by the		payments			Unrealized
amount		date	the Fund2		Fund		made		Value	appreciation
EUR	7,300,000	06/20/16	1.0000	%	—	3	$(29,051	)	$48,458	$19,407

1	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
2	Payments made are based on the notional amount.
3	Payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the iTraxx Europe Series 15 Index.

Credit default swaps on credit indices—sell protection¹

Counterparty—Goldman Sachs International:

					Payments
			Payments		received		Upfront			Unrealized
Notional		Termination	made by		by the		payments			appreciation/		Credit
amount		date	the Fund		Fund2		made		Value	(depreciation)		spread3
USD	3,500,000	06/20/16	—	4	5.0000	%	$(92,847	)	$33,409	$(59,438	)	4.8062	%
USD	10,400,000	06/20/16	—	5	1.0000		(25,711	)	28,737	3,026		0.9484
							$(118,558	)	$62,146	$(56,412	)

1

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

2

Payments received are based on the notional amount.

24

SMA Relationship Trust—Series A
Portfolio of investments—June 30, 2011 (unaudited)

3	Credit spreads, represented in absolute terms, utilized in determining the market value as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event occurring for the credit derivative. The credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity.
4	Payment to the counterparty will be made upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the Dow Jones CDX.NA.HY Series 16 Index.
5	Payment to the counterparty will be made upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the Dow Jones CDX.NA.IG Series 16 Index.

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund’s investments:

Measurements at 06/30/11
	Unadjusted
	quoted prices
	in active		Other
	markets for		significant
	identical		observable		Unobservable
	investments		inputs		inputs
Description	(Level 1)		(Level 2)		(Level 3)	Total
Common stocks	$3,992,702		$9,498,219		$—	$13,490,921
Preferred stocks	—		290,915		—	290,915
Options purchased	1,125,500		0		—	1,125,500
Investment companies	—		17,226,307		—	17,226,307
Short-term investment	735,343		—		—	735,343
Forward foreign currency contracts	—		(270,011	)	—	(270,011	)
Futures contracts	(644,042	)	(293,652	)	—	(937,694	)
Options written	(202,768	)	(2,165	)	—	(204,933	)
Swap agreements	—		(73,953	)	—	(73,953	)
Total	$5,006,735		$26,375,660		$—	$31,382,395

See accompanying notes to financial statements

25

SMA Relationship Trust—Series G

August 15, 2011

Dear shareholder, We present you with the semiannual report for Series G (the “Fund”), a series of SMA Relationship Trust, for the period from its inception on May 6, 2011 through June 30, 2011. Performance Since the Fund’s inception on May 6, 2011 through June 30, 2011, the Fund has declined 2.60%. During the same period, its benchmark, the MSCI EAFE Free Index (gross), declined 2.02%. (Please note that the Fund’s returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares, while the Index returns do not reflect the deduction of fees and expenses. For more on the Fund’s performance, see “Performance at a glance” on page 30.)
	SMA Relationship Trust—Series G
	Investment goal:
	Long-term capital appreciation
	Portfolio manager:
	Vincent Willyard
	Commencement:
	May 6, 2011
	Dividend payments:
	Annually

The Fund’s underperformance versus its benchmark was largely due to stock selection. The portfolio was positioned for a global cyclical recovery which, while evident at the stock level, was tempered by global macro concerns, including a continuing developed markets debt crisis, inflation, political unrest and the natural disaster in Japan.

An interview with the Portfolio Manager
Q.	How would you describe the economic environment during the reporting period?
A.	Many developed countries experienced decelerating economic growth during the reporting period, as oil and food prices remained high and hurt consumer spending. In addition, supply disruptions following the March earthquake and tsunami in Japan negatively impacted the manufacturing sector. However, growth in most emerging market economies remained robust. Against a backdrop of higher inflation, the central banks of several emerging market countries increased interest rates and took other actions in an effort to cool growth and stem rising prices. By period end, commodity prices had retreated somewhat and inflationary pressures seemed to have eased.

26

SMA Relationship Trust—Series G

Q.	How did the overall international stock market perform during the reporting period?
A.	Stocks in both developed and emerging market countries performed poorly during the period, driven more by a focus on macro concerns than company-specific growth. Concerns regarding the sustainability of global economic growth amid emerging markets inflation and the European sovereign debt crisis triggered investor risk aversion, in turn dragging down stock prices.
Q.	What strategies contributed to the Fund’s performance during the reporting period?
A.	The Fund’s performance is typically driven by stock selection, and sector allocations are a byproduct of our bottom-up stock selection process. During the period, a number of individual stocks contributed to performance.
	Hyundai Mobis is the largest auto parts company in Korea, and it is a member of the Hyundai Motor Group. Its share price rose as the company reported strong auto sales in Korea, which was driven by rising global auto demand and robust interest in its new model lineup.
	Shares of UK-based temporary power solutions company Aggreko generated strong results as the need for temporary power, especially in Japan, continued to grow. The company’s shares were further supported as management raised its profit outlook.
	Melco Crown Entertainment, a gaming company with operations in Macau, continued to benefit from strong gaming revenue in Macau. Investors also reacted well to an announcement that the company had bought into another Macau casino, Macau Studio City.
	ThyssenKrupp, a German steel company, performed well as it reported solid earnings in May. In addition, its shares continued to benefit from a recently announced restructuring program.
Q.	Did any positions detract from performance?
A.	Several stocks produced disappointing results and detracted from performance during the reporting period. Youku.com, the leading Chinese online video content website, saw its shares decline as concerns of accounting fraud at other Chinese Internet companies negatively impacted the sector. In addition, we feel that investor profit taking, following a period of very strong performance, adversely effected its performance. However, we feel the

27

SMA Relationship Trust—Series G

	company is well-positioned for growth, as evident by a recent cooperative agreement with Warner Brothers to add between 400 and 450 movie titles to Youku.com’s video on demand channel.
	Tullow Oil, a UK-based energy exploration and production company, performed poorly given a decline in oil and other commodity prices. The company also announced that it experienced mixed drilling results in three of its wells in Ghana and Uganda.
	GAM Holding, a Swiss asset manager, detracted from results amid growing concerns over fund flows and the European sovereign debt crisis.
	Aixtron, a manufacturer of equipment for the semiconductor industry, also generated weak results. Aixtron’s growth is tied to demand for LEDs. Concerns over LED pricing and demand in key end markets, along with weakness in other semiconductor-related stocks during the period, negatively impacted Aixtron’s share price.
Q.	What is your outlook for the economy?
A.	We feel that recent weaker economic data was the result of factors that occurred earlier in the year. It appears that the significant rise in oil prices in the first quarter of 2011 had a negative effect on consumer confidence and spending. The Japan earthquake and tsunami contributed to slowing growth, as major industries such, as autos, experienced supply chain disruptions. Fortunately, the supply chain is coming back on line more quickly than expected. In the emerging market countries, it appears that inflation may have peaked, and we feel price pressures could moderate in the months ahead. The European credit crisis, in particular concerns regarding a default in Greece, has roiled both the credit markets and investor risk appetite in recent months. Fortunately, in late June this situation was, at least temporarily, resolved as additional European funding and private sector debt rollovers were agreed upon.
	The type of macro-driven volatility that has recently occurred in the market can make it difficult for stock pickers. Our strategy in this environment is to focus on company fundamentals and to have a more medium-term view as we seek to capitalize on macro-driven mispricings. The Fund continues to be positioned for economic growth, as we believe recent weakness was merely a soft patch. Additionally, the fact that the capital spending cycle and emerging market growth continue to be robust is encouraging.

28

SMA Relationship Trust—Series G

We thank you for your continued support, and welcome any comments or questions you may have.

Sincerely,

Mark E. Carver
President
SMA Relationship Trust—Series G
Managing Director
UBS Global Asset Management (Americas) Inc.

Vincent Willyard
Portfolio Manager
SMA Relationship Trust—Series G
Managing Director
UBS Global Asset Management (Americas) Inc.

This letter is intended to assist shareholders in understanding how the Fund performed during the period from the Fund’s inception on May 6, 2011 through June 30, 2011. The views and opinions in the letter were current as of August 15, 2011. They are not guarantees of future 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 Fund’s future investment intent. We encourage you to consult your financial advisor regarding your personal investment program.

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund’s investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses and more current performance for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568, or by visiting our Web site at www.ubs.com/globalam-us.

29

SMA Relationship Trust—Series G

Performance at a glance (unaudited)

Total returns for periods ended 06/30/2011

	Since inception1
SMA Relationship Trust—Series G	(2.60	)%
MSCI EAFE Free Index (gross)2	(2.02	)%

1

Since inception returns are calculated as of the performance inception date, May 6, 2011, of SMA Relationship Trust—Series G.

2

The MSCI EAFE Free Index (gross) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The index is constructed and managed with a view to being fully investable from the perspective of international institutional investors. The amount reinvested is the entire dividend distributed to individuals resident in the country of the company, but does not include tax credits. As of May 2010, the Index consisted of 22 developed market country indices. Investors should note that indices do not reflect the deduction of fees and expenses.

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 Fund distributions or the redemption of Fund 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 the period of less than one year have not been annualized. Current performance may be higher or lower than the performance data quoted.

30

SMA Relationship Trust—Series G

Top ten equity holdings (unaudited)
As a percentage of net assets
As of June 30, 2011
Baidu, Inc. ADR	2.5	%
Aggreko PLC	2.3
FANUC Corp.	2.2
Tullow Oil PLC	2.0
Saipem SpA	1.9
Komatsu Ltd.	1.7
Royal Dutch Shell PLC, Class A	1.6
Standard Chartered PLC	1.6
Novo Nordisk A/S, Class B	1.5
Bombardier, Inc. Class B	1.5
Total	18.8	%
Country exposure by issuer, top five (unaudited)
As a percentage of net assets
As of June 30, 2011
Japan	19.4	%
United Kingdom	16.6
China	8.0
Germany	7.4
Switzerland	5.4
Total	56.8	%

31

SMA Relationship Trust—Series G

Industry diversification (unaudited)
As a percentage of net assets
As of June 30, 2011
Common stocks
Aerospace & defense	1.52	%
Auto components	1.76
Automobiles	2.49
Beverages	0.59
Building products	1.91
Capital markets	1.06
Chemicals	3.79
Commercial banks	7.58
Commercial services & supplies	2.30
Computers & peripherals	1.30
Construction & engineering	0.99
Diversified financial services	3.24
Electrical equipment	1.04
Electronic equipment, instruments & components	0.79
Energy equipment & services	4.14
Food & staples retailing	1.25
Food products	2.90
Health care equipment & supplies	1.42
Hotels, restaurants & leisure	2.54
Household products	1.92
Industrial conglomerates	1.06
Insurance	1.18
Internet software & services	3.95
Machinery	9.70
Media	1.90
Metals & mining	9.36
Multiline retail	0.55
Office electronics	0.68
Oil, gas & consumable fuels	8.13
Pharmaceuticals	2.63
Semiconductors & semiconductor equipment	3.91
Specialty retail	1.23
Textiles, apparel & luxury goods	3.43

32

SMA Relationship Trust—Series G

Industry diversification (unaudited) (concluded)
As a percentage of net assets
As of June 30, 2011
Common stocks (concluded)
Thrifts & mortgage finance	1.00	%
Tobacco	1.09
Trading companies & distributors	1.33
Total common stocks	95.66
Warrants	3.20
Short-term investment	2.00
Total investments	100.86
Liabilities, in excess of cash and other assets	(0.86	)
Net assets	100.00	%

33

SMA Relationship Trust—Series G
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—95.66%
Australia—4.35%
Alumina Ltd.		1,188,448		$2,720,897
BHP Billiton Ltd.		40,128		1,896,580
Incitec Pivot Ltd.		576,311		2,401,657
Mount Gibson Iron Ltd.*		550,026		1,092,110
National Australia Bank Ltd.		82,684		2,281,276
Total Australia common stocks				10,392,520
Belgium—0.59%
Anheuser-Busch InBev NV		24,206		1,403,588
Brazil—1.25%
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR		63,400		2,976,630
Canada—5.30%
Bombardier, Inc., Class B		503,400		3,627,591
Imax Corp.*		44,800		1,452,864
Suncor Energy, Inc.		61,100		2,394,712
Teck Resources Ltd., Class B		49,800		2,531,179
Trican Well Service Ltd.		113,500		2,666,712
Total Canada common stocks				12,673,058
China—8.02%
Baidu, Inc. ADR*		43,100		6,039,602
Ctrip.com International Ltd. ADR*		49,600		2,136,768
Dongfang Electric Corp. Ltd., H Shares		669,800		2,493,784
Intime Department Store Group Co., Ltd.		769,000		1,307,877
Melco Crown Entertainment Ltd. ADR*		170,300		2,174,731
Sina Corp.*		19,200		1,998,720
Xinyi Glass Holdings Ltd.		1,600,000		1,594,728
Youku.com, Inc. ADR*		41,200		1,415,220
Total China common stocks				19,161,430
Denmark—1.54%
Novo Nordisk A/S, Class B		29,267		3,669,299
Finland—0.99%
YIT OYJ		94,511		2,362,861

34

SMA Relationship Trust—Series G
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
France—2.45%
BNP Paribas SA		41,993		$3,238,731
Valeo SA		38,413		2,622,759
Total France common stocks				5,861,490
Germany—7.35%
Aareal Bank AG*		69,921		2,393,251
Aixtron SE NA		58,398		1,993,051
Dialog Semiconductor PLC*		95,950		1,743,828
GEA Group AG		81,394		2,910,560
Kabel Deutschland Holding AG*		50,270		3,090,836
Lanxess AG		28,587		2,343,630
ThyssenKrupp AG		59,608		3,092,182
Total Germany common stocks				17,567,338
Hong Kong—1.86%
Hong Kong Exchanges & Clearing Ltd.		127,700		2,688,411
Shangri-La Asia Ltd.		716,000		1,763,386
Total Hong Kong common stocks				4,451,797
Italy—3.40%
DiaSorin SpA		24,464		1,174,319
Saipem SpA		86,598		4,470,929
Tod’s SpA		18,636		2,491,777
Total Italy common stocks				8,137,025
Japan—19.39%
Asahi Glass Co., Ltd.		253,000		2,954,171
Canon, Inc.		34,100		1,626,121
Denki Kagaku Kogyo KK		652,000		3,140,696
Disco Corp.		41,900		2,655,863
FANUC Corp.		31,300		5,219,326
Ibiden Co., Ltd.		60,700		1,898,477
Isuzu Motors Ltd.		596,000		2,824,343
Komatsu Ltd.		127,500		3,966,937
Makino Milling Machine Co., Ltd.		234,000		2,178,106
Mitsubishi Corp.		127,300		3,189,494
Mitsubishi UFJ Financial Group, Inc.		301,900		1,469,732
Nippon Sheet Glass Co., Ltd.		517,000		1,605,105

35

SMA Relationship Trust—Series G
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Japan—(concluded)
Nissan Motor Co., Ltd.		298,000		$3,128,186
ORIX Corp.		27,550		2,680,062
OSAKA Titanium Technologies Co.		43,800		3,216,201
THK Co., Ltd.		106,400		2,708,456
Toshiba Corp.		358,000		1,894,698
Total Japan common stocks				46,355,974
Netherlands—4.39%
ASM International NV		41,986		1,656,949
ASML Holding NV		34,908		1,286,099
Gemalto NV		25,446		1,216,627
ING Groep NV CVA*		193,481		2,386,646
Royal Dutch Shell PLC, Class A		110,977		3,954,360
Total Netherlands common stocks				10,500,681
Norway—2.33%
Storebrand ASA		330,197		2,813,041
Subsea 7 SA*		107,527		2,750,564
Total Norway common stocks				5,563,605
Russia—1.89%
NovaTek OAO GDR1		21,702		2,997,259
VTB Bank OJSC GDR1		245,787		1,513,942
Total Russia common stocks				4,511,201
Singapore—2.89%
Biosensors International Group Ltd.*		2,104,000		2,209,763
Golden Agri-Resources Ltd.		3,925,000		2,181,288
Keppel Corp. Ltd.		279,000		2,524,468
Total Singapore common stocks				6,915,519
Spain—1.71%
Inditex SA		32,172		2,937,846
Viscofan SA		28,929		1,152,553
Total Spain common stocks				4,090,399
Sweden—3.93%
JM AB, NPV		66,354		1,564,566
Skandinaviska Enskilda Banken AB, Class A		278,382		2,275,558
Swedish Match AB		77,896		2,612,134

36

SMA Relationship Trust—Series G
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(concluded)
Sweden—(concluded)
Volvo AB, Class B		169,224		$2,956,517
Total Sweden common stocks				9,408,775
Switzerland—5.42%
Compagnie Financiere Richemont SA, Class A		39,520		2,587,884
GAM Holding AG*		154,274		2,531,425
Meyer Burger Technology AG*		25,269		1,116,175
Nestle SA		57,871		3,596,639
Swatch Group AG		34,822		3,127,224
Total Switzerland common stocks				12,959,347
United Kingdom—16.61%
Afren PLC*		707,343		1,792,684
Aggreko PLC		177,449		5,494,059
Anglo American PLC		37,811		1,873,826
BG Group PLC		155,903		3,538,302
Croda International PLC		38,940		1,179,344
HSBC Holdings PLC		362,054		3,591,766
Reckitt Benckiser Group PLC		54,785		3,024,859
Rio Tinto PLC		43,918		3,171,288
Shire PLC		83,888		2,618,789
Standard Chartered PLC		142,521		3,745,112
Tullow Oil PLC		239,014		4,757,056
Weir Group PLC		62,185		2,122,980
Xstrata PLC		126,433		2,788,325
Total United Kingdom common stocks				39,698,390
Total common stocks (cost—$233,994,869)				228,660,927
	Number of
	warrants
Warrants—3.20%
South Korea—3.20%
Hyundai Mobis, strike @ USD 0.00001, expires 06/18/19* (cost—$6,679,527)		20,438		7,657,191

37

SMA Relationship Trust—Series G
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Short-term investment—2.00%
Investment company—2.00%
UBS Cash Management Prime Relationship Fund2
(cost—$4,773,919)		4,773,919		$4,773,919
Total investments—100.86% (cost—$245,448,315)				241,092,037
Liabilities, in excess of cash and other assets—(0.86)%				(2,054,582	)
Net assets—100.00%				$239,037,455

Notes to portfolio of investments

Aggregate cost for federal income tax purposes was substantially the same as for book purposes; and net unrealized depreciation consisted of:

Gross unrealized appreciation	$4,957,676
Gross unrealized depreciation	(9,313,954	)
Net unrealized depreciation of investments	$(4,356,278	)

For a listing of defined portfolio acronyms and currency abbreviations that are used throughout the Portfolio of investments as well as the tables that follow, please refer to page 93.

*	Non-income producing security.
1	Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2011, the value of these securities amounted to $4,511,201 or 1.89% of net assets.
2	The table below details the Fund’s investments in a fund that is advised by the same advisor as the Fund. The advisor does not earn a management fee from the affiliated UBS Relationship Fund.

					Income
		Purchases	Sales		earned from
		during the	during the		affiliate for the
Security	Value	period ended	period ended	Value	period ended
description	12/31/10	06/30/11	06/30/11	06/30/11	06/30/11
UBS Cash Management Prime Relationship Fund	$—	$242,084,371	$237,310,452	$4,773,919	$2,232

38

SMA Relationship Trust—Series G
Portfolio of investments—June 30, 2011 (unaudited)

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund’s investments:

Measurements at 06/30/11
	Unadjusted
	quoted prices
	in active	Other
	markets for	significant
	identical	observable	Unobservable
	investments	inputs	inputs
Description	(Level 1)	(Level 2)	(Level 3)	Total
Common stocks	$31,906,506	$196,754,421	$—	$228,660,927
Warrants	—	7,657,191	—	7,657,191
Short-term investment	—	4,773,919	—	4,773,919
Total	$31,906,506	$209,185,531	$—	$241,092,037

See accompanying notes to financial statements

39

SMA Relationship Trust—Series M

August 15, 2011

Dear shareholder, We present you with the semiannual report for Series M (the “Fund”), a series of SMA Relationship Trust, for the six months ended June 30, 2011. Performance Over the six month period, the Fund returned 4.45%, compared with the 4.42% return of its benchmark, the Barclays Capital Municipal Bond Index (the “Index”). (Please note that the Fund’s returns do not reflect the deduction of taxes that a shareholder could pay on Fund distributions or the redemption of Fund shares, while the Index returns do not reflect the deduction of fees and expenses. For more on the Fund’s performance, see “Performance at a glance” on page 45.)
	SMA Relationship Trust—Series M
	Investment goal:
	Total return consisting of capital appreciation and current income exempt from federal income tax
	Portfolio manager:
	Elbridge T. Gerry
	UBS Global Asset
	Management (Americas) Inc.
	Commencement:
	October 8, 2003
	Dividend payments:
	Monthly

An interview with Portfolio Manager Elbridge T. Gerry
Q.	How would you describe the economic environment during the reporting period?
A.	Looking back, gross domestic product (“GDP”)1 growth came in at 2.3% during the fourth quarter of 2010. The Commerce Department then reported that first and second quarter 2011 GDP numbers were 0.4% and 1.3%, respectively—reflecting, in part, a slowdown in growth due to tepid consumer and declining government spending.
	Despite the economy’s ongoing (albeit moderate) growth, the Federal Reserve (the “Fed”) remained concerned about continued high unemployment levels. As a result, the Fed maintained its highly accommodative monetary policy, and launched another round of quantitative easing in an attempt to stimulate the economy. The plan (dubbed “QE2”) called for the purchase of an additional $600 billion of longer-term US Treasury securities by the end of the second quarter of 2011.

1	GDP is the market value of all final goods and services produced within a country in a given period of time.
40

SMA Relationship Trust—Series M

	At its June 2011 meeting, the Fed decided to keep the target range for the federal funds rate at 0 to 1/4 percent, with the intention of promoting “the ongoing economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate.” The Fed further noted that it “continues to anticipate that economic conditions—including low rates of resource utilization and a subdued outlook for inflation over the medium run—are likely to warrant exceptionally low levels for the federal funds rate for an extended period.”
	At this same meeting, the Fed additionally announced that it would be completing its QE2 plan on schedule at the end of June.
Q.	How did the overall US bond and municipal markets perform during the reporting period?
A.	There was a meaningful shift in investor sentiment during the reporting period which, in turn, impacted the performance of the spread sectors (non-Treasuries). During the first half of the period, there were expectations for improving economic conditions, coupled with sharply rising oil and commodity prices. Despite hostilities in the Middle East and Northern Africa, the devastating earthquake in Japan and the ongoing European sovereign debt crisis, most spread sectors outperformed equal-duration Treasuries, and yields moved higher across the curve.
	It was quite a different story during the second half of the period. High oil prices crimped consumer spending, and a global supply disruption in the aftermath of the natural disaster in Japan negatively impacted the manufacturing sector. In addition, unemployment in the US moved higher, and the housing market remained weak. These factors, coupled with fears that Greece may default on its debt obligations, triggered a flight to quality. Against this backdrop, Treasury yields moved lower and nearly every spread sector lagged equal-duration Treasuries. In all, during the six months ended June 30, 2011, the spread sectors typically outperformed Treasuries, and the overall US bond market, as measured by the Barclays Capital US Aggregate Index, returned 2.72%.2

² The Barclays Capital US Aggregate Index is an unmanaged broad based index designed to measure the US-dollar-denominated, investment-grade, fixed rate taxable bond market. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed, asset-backed and commercial mortgage-backed sectors. US agency hybrid adjustable rate mortgage (ARM) securities were added to the index on April 1, 2007. Investors should note that indices do not reflect the deduction of fees and expenses.

41

SMA Relationship Trust—Series M

	Alternately, the municipal bond market generated a strong return and outperformed its taxable bond counterpart during the six months ended June 30, 2011. During the first half of the period, the municipal market experienced periods of weakness given continued concerns regarding the potential for increased defaults. This led to poor demand from individual investors. The municipal market then rallied as the period progressed. This was triggered by a number of factors, including a dramatic decline in new issuance, and increased demand from non-traditional muni buyers, including insurance companies and hedge funds. Rising tax revenues, low defaults and indications that many states were taking actions to reduce spending and address their pension and health care liabilities also supported the municipal market.
Q.	How did you manage the Fund over the reporting period?
A.	Given the relatively lackluster economic recovery, we maintained a defensive posture for the Fund. For example, the Fund’s duration was shorter than that of its benchmark. While this was beneficial during periods when the municipal market weakened, overall this positioning detracted from results as municipal yields declined over the reporting period. (Duration measures the price sensitivity of a portfolio to interest rate changes.)
	From a quality perspective, the Fund held an overweight to A rated securities and an underweight to lower-rated BBB3 municipal securities. This was rewarded, as A rated securities performed well, gaining 5.24% during the period, while BBB-rated issues rose 4.57%.
	The Fund’s yield curve positioning produced positive results as well. In particular, the Fund’s underweight to shorter term securities was beneficial, when these securities lagged other areas of the curve. Having an overweight to the strong-performing 15- to 20-year portion of the curve also enhanced the Fund’s performance. These positives were partially offset by the Fund’s underweight to securities with maturities of 22+ years, as it was among the best-performing portions of the yield curve during the period. (The yield curve plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.)

³ Bonds rated BBB are regarded as having an adequate capacity to pay principal and interest.

42

SMA Relationship Trust—Series M

Q.	How did your sector positioning impact the Fund’s performance?
A.	Overall, sector positioning was a positive for results during the reporting period. For example, overweights to the outperforming tobacco and state general obligation (GO) sectors benefited the Fund’s performance. In contrast, an underweight to the hospital sector, which generated good performance, was not rewarded.
Q.	What is your outlook for the economy and the municipal bond market?
A.	The US economy hit a soft patch in the second half of the reporting period, and a number of headwinds could lead to continued muted growth as the year progresses. Unemployment remains stubbornly high, and the housing market continues to search for a bottom. With short-term interest rates already at an historical low and with QE2 now complete, the Fed may lack the tools to give the economy a much needed boost. In addition, the issues related to the European sovereign debt crisis could negatively impact consumer confidence and lead to periods of heightened volatility. In sum, we feel that the US economy has enough momentum to continue expanding, and we expect core inflation to remain relatively benign.
	Turning to the municipal market, we feel that state and local municipalities will remain in the headlines as budgets are developed that seek to include spending cuts and tax increases. Municipal supply has recently increased, and we anticipate that this will continue given the low level of new issuance during the first half of 2011. With this in mind, we are optimistic that demand will be sufficient to absorb the new supply and not severely impact the overall municipal market. Against this backdrop, we feel the Fund is well-positioned by maintaining our defensive posture.
	We continue to conduct rigorous credit research to select those municipal bonds that we feel can perform well in a slow growth environment. In particular, we feel that liquidity and security selection will be instrumental in the months ahead.

43

SMA Relationship Trust—Series M

We thank you for your continued support and welcome any comments or questions you may have.

Sincerely,

Mark E. Carver

President

SMA Relationship Trust—Series M

Managing Director

UBS Global Asset Management (Americas) Inc.

Elbridge T. Gerry

Portfolio Manager

SMA Relationship Trust—Series M

Managing Director

UBS Global Asset Management (Americas) Inc.

This letter is intended to assist shareholders in understanding how the Fund performed during the six months ended June 30, 2011. The views and opinions in the letter were current as of August 15, 2011. They are not guarantees of future 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 Fund’s future investment intent. We encourage you to consult your financial advisor regarding your personal investment program.

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund’s investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses and more current performance for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568, or by visiting our Web site at www.ubs.com/globalam-us.

44

SMA Relationship Trust—Series M

Performance at a glance (unaudited)

Average annual total returns for periods ended 06/30/2011

				Since
	6 months	1 year	5 years	inception1
SMA Relationship Trust—Series M	4.45%	3.93%	4.32%	4.10%
Barclays Capital Municipal Bond Index2	4.42%	3.48%	4.93%	4.56%

1	Since inception returns are calculated as of the performance inception date, October 8, 2003, of SMA Relationship Trust—Series M.
2	The Barclays Capital Municipal Bond Index is an unmanaged, unleveraged index designed to measure the total return for municipal bonds issued across the United States. Investors should note that indices do not reflect the deduction of fees and expenses.

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 Fund distributions or the redemption of Fund 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 the period of less than one year have not been annualized. Current performance may be higher or lower than the performance data quoted.

45

SMA Relationship Trust—Series M

Summary of municipal securities by state (unaudited)

As a percentage of net assets
As of June 30, 2011
Long-term municipal bonds
Arizona	1.01	%
California	5.96
Florida	3.53
Georgia	3.39
Illinois	10.76
Indiana	0.95
Kentucky	4.60
Louisiana	1.47
Massachusetts	15.94
Minnesota	1.03
Missouri	0.46
New Jersey	3.00
New York	3.85
North Carolina	5.39
Ohio	1.61
Oregon	1.60
Pennsylvania	1.19
South Carolina	7.44
Tennessee	1.32
Texas	9.77
Washington	8.21
Wisconsin	7.41
Total long-term municipal bonds	99.89
Mortgage & agency debt security	1.35
Short-term investment	1.08
Total investments	102.32
Liabilities, in excess of other assets	(2.32	)
Net assets	100.00	%

46

SMA Relationship Trust—Series M
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount	Value
Long-term municipal bonds—99.89%
Arizona—1.01%
Salt River Project Agricultural Improvement & Power District
Revenue Bonds,
Series A, 5.125%, due 01/01/27	$2,285,000	$2,321,240
California—5.96%
California State Department of Water Resources Revenue Bonds,
Series L,
5.000%, due 05/01/15	5,000,000	5,719,100
5.000%, due 05/01/18	5,000,000	5,853,100
Series AE, 5.000%, due 12/01/28	2,000,000	2,135,980
		13,708,180
Florida—3.53%
Florida State Board of Education GO Bonds,
Series A, 5.000%, due 06/01/19	4,250,000	4,972,713
Jea Florida Water and Sewer System Revenue,
Series D, 5.000%, due 10/01/18	2,725,000	3,146,857
		8,119,570
Georgia—3.39%
City of Atlanta GA Revenue Bonds,
Series B, 5.000%, due 01/01/20	3,500,000	3,875,095
Municipal Electric Authority of Georgia Revenue Bonds,
Series A, 5.000%, due 01/01/21	3,500,000	3,912,300
		7,787,395
Illinois—10.76%
Railsplitter Tobacco Settlement Authority Revenue Bonds,
5.000%, due 06/01/18	8,000,000	8,400,160
5.250%, due 06/01/21	5,000,000	5,147,850
State of Illinois, GO, NATL-RE,
5.000%, due 09/01/13	2,885,000	3,087,267
5.000%, due 01/01/16	7,430,000	8,090,750
		24,726,027
Indiana—0.95%
Indiana Health & Educational Facilities Financing Authority
Hospital Revenue Bonds,
Series B, 5.000%, due 02/15/17	2,000,000	2,189,560

47

SMA Relationship Trust—Series M
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Long-term municipal bonds—(continued)
Kentucky—4.60%
Kentucky State Property & Building Commission Revenue Bonds,
NATL-RE, FGIC,
5.000%, due 11/01/19		$2,000,000		$2,218,820
5.000%, due 11/01/21		2,635,000		2,859,001
5.375%, due 11/01/23		5,000,000		5,484,050
				10,561,871
Louisiana—1.47%
City of New Orleans LA, GO, AGC-ICC, FGIC,
5.500%, due 12/01/21		3,010,000		3,375,354
Massachusetts—15.94%
Massachusetts Development Finance Agency Revenue Bonds,
5.250%, due 10/15/29		4,350,000		4,883,093
Massachusetts Health & Educational Facilities Authority Revenue Bonds,
Series A, 5.500%, due 11/15/36		12,000,000		13,083,240
Massachusetts Municipal Wholesale Electric Co. Revenue Bonds
5.000%, due 07/01/16		5,000,000		5,628,250
5.000%, due 07/01/19		5,260,000		5,796,888
Massachusetts State Department of Transportation Revenue Bonds,
Series B, 5.000%, due 01/01/14		4,000,000		4,356,040
Massachusetts State Water Pollution Abatement Revenue Bonds,
Series A, 5.250%, due 08/01/19		2,395,000		2,895,675
				36,643,186
Minnesota—1.03%
State of Minnesota, GO,
Series E, 5.000%, due 08/01/19		2,000,000		2,378,300
Missouri—0.46%
University of Missouri Revenue Bonds,
Series A, 5.000%, due 11/01/26		1,000,000		1,058,990
New Jersey—3.00%
State of New Jersey, GO,
Series Q, 5.000%, due 08/15/19		6,000,000		6,895,320

48

SMA Relationship Trust—Series M
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount	Value
Long-term municipal bonds—(continued)
New York—3.85%
City of New York, GO,
5.000%, due 08/01/23	$3,000,000	$3,359,250
New York State Dormitory Authority Revenue Bonds,
Series E, 5.000%, due 02/15/25	5,000,000	5,495,400
		8,854,650
North Carolina—5.39%
North Carolina Eastern Municipal Power Agency Power Systems
Revenue Bonds,
Series A, AMBAC, 5.000%, due 01/01/16	5,800,000	6,561,714
5.000%, due 01/01/21	4,045,000	4,497,352
6.400%, due 01/01/211	1,090,000	1,336,460
		12,395,526
Ohio—1.61%
State of Ohio, GO,
Series C, 5.000%, due 09/15/19	3,150,000	3,694,257
Oregon—1.60%
Portland Community College District GO,
5.000%, due 06/15/25	3,340,000	3,688,028
Pennsylvania—1.19%
City of Philadelphia Revenue Bonds,
Series A, 5.000%, due 06/15/14	2,500,000	2,729,525
South Carolina—7.44%
Piedmont Municipal Power Agency Revenue Bonds,
Series A-3, 5.000%, due 01/01/18	5,080,000	5,653,989
State of South Carolina, GO,
5.000%, due 03/01/15	10,000,000	11,439,100
		17,093,089
Tennessee—1.32%
State of Tennessee, GO,
Series C, 5.000%, due 05/01/27	2,795,000	3,037,187

49

SMA Relationship Trust—Series M
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Long-term municipal bonds—(concluded)
Texas—9.77%
North East Independent School District,
GO, PSF-GTD,
Series A, 5.000%, due 08/01/27	$	5,000,000		$5,376,550
San Antonio Electric & Gas Revenue Bonds,
5.000%, due 02/01/19		2,875,000		3,182,625
Texas State Transportation Commission Revenue Bonds,
Series A, 5.000%, due 04/01/20		7,105,000		7,973,302
University of Texas Revenue Bonds,
Series B, 5.000%, due 07/01/20		5,000,000		5,926,800
				22,459,277
Washington—8.21%
Energy Northwest Revenue Bonds,
Series A,
5.000%, due 07/01/19		6,000,000		6,579,240
5.000%, due 07/01/23		4,000,000		4,335,240
5.000%, due 07/01/24		5,000,000		5,358,050
State of Washington, GO, AMBAC,
Series D, 5.000%, due 01/01/29		2,500,000		2,588,800
				18,861,330
Wisconsin—7.41%
State of Wisconsin Revenue Bonds,
State Appropriation,
Series A,
5.750%, due 05/01/29		2,000,000		2,202,240
5.750%, due 05/01/33		8,680,000		9,371,362
6.000%, due 05/01/36		5,000,000		5,455,850
				17,029,452
Total long-term municipal bonds (cost—$224,741,996)				229,607,314
Mortgage & agency debt security—1.35%
United States—1.35%
Federal Home Loan Banks
5.500%, due 08/13/14 (cost—$3,081,961)		2,725,000		3,105,941

50

SMA Relationship Trust—Series M
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares	Value
Investment company—1.08%
JPMorgan Tax Free Money Market Fund (cost—$2,486,775)	2,486,775	$2,486,775
Total investments—102.32% (cost—$230,310,732)		235,200,030
Liabilities, in excess of cash and other assets—(2.32%)		(5,339,669	)
Net assets—100.00%		$229,860,361

Notes to portfolio of investments
Aggregate cost for federal income tax purposes was substantially the same as for book purposes; and net unrealized appreciation consisted of:

Gross unrealized appreciation	$5,529,317
Gross unrealized depreciation	(640,019	)
Net unrealized appreciation of investments	$4,889,298

For a listing of defined portfolio acronyms and currency abbreviations that are used throughout the Portfolio of investments as well as the tables that follow, please refer to page 93.

¹ Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the next reset date or the date of the prerefunded call.

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund’s investments:

Measurements at 06/30/11
Description	Unadjusted quoted prices in active markets for identical investments (Level 1)	Other significant observable inputs (Level 2)	Unobservable inputs (Level 3)	Total
Municipal bonds	$—	$229,607,314	$—	$229,607,314
Mortgage & agency debt security	—	3,105,941	—	3,105,941
Short-term investment	2,486,775	—	—	2,486,775
Total	$2,486,775	$232,713,255	$—	$235,200,030

See accompanying notes to financial statements

51

SMA Relationship Trust—Series S

August 15, 2011

Dear shareholder, We present you with the semiannual report for Series S (the “Fund”), a series of SMA Relationship Trust, for the period from its inception on May 2, 2011 through June 30, 2011. Performance Since the Fund’s inception on May 2, 2011 through June 30, 2011, the Fund has declined 4.10%. During the same period, its benchmark, the Russell 2000 Index, declined 2.96%. (Please note that the Fund’s returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares, while the Index returns do not reflect the deduction of fees and expenses. For more on the Fund’s performance, see “Performance at a glance” on page 58.) The Fund underperformed the benchmark primarily due to stock selection.
	SMA Relationship Trust—Series S
	Investment goal:
	Maximize total return, consisting of capital appreciation and current income, while controlling risk
	Portfolio manager:
	Wilfred Talbot
	Commencement:
	May 2, 2011
	Dividend payments:
	Annually

An interview with the Portfolio Manager
Q.	How would you describe the economic environment during the reporting period?
A.	Looking back, gross domestic product (“GDP”)1 growth came in at 2.3% during the fourth quarter of 2010. The Commerce Department then reported that first and second quarter 2011 GDP numbers were 0.4% and 1.3%, respectively—reflecting, in part, a slowdown in growth due to tepid consumer and declining government spending.
	Despite the economy’s ongoing (albeit moderate) growth, the Federal Reserve (the “Fed”) remained concerned about continued high unemployment levels. As a result, the Fed maintained its highly accommodative monetary policy, and launched another round of quantitative easing in an attempt to stimulate the

¹ GDP is the market value of all final goods and services produced within a country in a given period of time.

52

SMA Relationship Trust—Series S

	economy. The plan (dubbed “QE2”) called for the purchase of an additional $600 billion of longer-term US Treasury securities by the end of the second quarter of 2011.
	At its June 2011 meeting, the Fed decided to keep the target range for the federal funds rate at 0 to 1/4 percent, with the intention of promoting “the ongoing economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate.” The Fed further noted that it “continues to anticipate that economic conditions—including low rates of resource utilization and a subdued outlook for inflation over the medium run—are likely to warrant exceptionally low levels for the federal funds rate for an extended period.”
	At this same meeting, the Fed additionally announced that it would be completing its QE2 plan on schedule at the end of June
Q.	How did the overall US stock market perform during the reporting period?
A.	The US stock market performed poorly during the period. Concerns regarding the global economy and an escalation of the European sovereign debt crisis triggered increased investor risk aversion, which in turn caused stocks to fall.
Q.	What strategies contributed to the Fund’s performance during the reporting period?
A.	The Fund’s performance is typically driven by stock selection, while sector allocations are a byproduct of our bottom-up stock selection process. During the period, a number of individual stocks contributed to performance.
	The largest contributor at the stock level was Prestige Brands, a consumer staples company that sells over-the counter healthcare, household cleaning and personal care products. The company purchases its existing brands from either larger companies who consider them to be “non-core,” or from smaller companies who don’t have the resources to effectively compete. After Prestige Brands purchases a brand, it pursues reinvigorated growth by increased advertising and promotion, new marketing strategies, improved packaging and product line extensions. Some of their largest brands include Chloraseptic, Compound W, Clear Eyes, Spic and Span, and Comet. We agree with the strategy of the Prestige Brands management team, and believe that the company has made meaningful progress on many fronts. The company

53

SMA Relationship Trust—Series S

reported solid quarterly earnings in the middle of May, and its share price moved sharply higher. In addition, the company announced that they had gained market share and experienced solid organic growth from their brands.

A position in Campus Crest Communities, the third largest student housing real estate investment trust (REIT) in the US, generated positive results. The company owns a portfolio of real estate for student housing that is concentrated in medium sized (8,000 - 20,000 students) college and university markets. At the beginning of March 2011, Campus Crest’s management lowered its earnings guidance, and its shares sold off abruptly through mid-March. We believe the lower earnings estimate was due to higher bad debt expense and lower ancillary service revenue. Given our belief that the company was focused on improving its operational issues, as well as dynamics in the student housing industry, we bought a position in Campus Crest at the beginning of May. This was rewarded as its stock subsequently rallied, and the company was among the best performers in the Fund during the reporting period.

Stock selection within materials was also a large contributor to relative performance, mostly because the Fund held an underweight position in this weak-performing sector. Our holding in Cytec Industries, a global specialty chemicals and materials company, was a small contributor to performance, but not owning several stocks in the sector that fell sharply during the period, including Allied Nevada, Georgia Gulf and Solutia, was rewarded.

Another large contributor at the stock level was BE Aerospace. The company manufactures interior products for commercial and general aviation aircraft cabins. Their products include aircraft seating, food and beverage preparation, and storage equipment and oxygen delivery systems. BE Aerospace reported strong results in May and announced at an industry conference that it is seeing a “very, very robust environment.” The stock price moved steadily higher at the end of June, when there were reports of stronger airline passenger traffic.

Within health care, a top contributor in the Fund was Cooper Companies, a manufacturer of contact lenses. The company announced solid first quarter earnings results at the beginning of March 2011, and it shares surged higher. A royalty that the company pays will soon end, and we feel this will help boost its margins considerably. In addition, there is no reimbursement risk, since consumers are accustomed to paying out-of-pocket for contact lenses.

54

SMA Relationship Trust—Series S

Q.	Did any strategies detract from performance?
A.	Stock selection within the industrials sector was the largest detractor from performance, due in part to our holding in Trex, a manufacturer of non-wood decking alternative products made from recycled wood and reclaimed fibers. Trex’s share price declined due to poor weather and the unfavorable macroeconomic environment. Many parts of the country experienced major winter storms through April and heavy rainfall in May, which delayed the start of the decking season.
	Stock selection within information technology was also a large detractor over the reporting period. This was largely driven by three holdings: SMART Technologies, IntraLinks and Rofin-Sinar Technologies. Smart Technologies manufactures interactive whiteboards for classrooms. They closed 2010 with better top-line revenue growth, but cut their guidance for the next fiscal year. In addition, the stock sold off in May given flat earnings due to the slowdown in education spending. We feel that the company may be overly conservative in terms of decreasing its earnings estimate, and still believe in its longer-term prospects.
	IntraLinks is a leading provider of web-based solutions that enable collaboration among and within organizations. Their cloud-based solution provides a secure and auditable environment within which users can manage content and share, exchange, track and search critical information for business processes. This eliminates the need and risk associated with using e-mail, fax and courier services for collaborative business tasks. Intralinks’ share price fell in the middle of May after announcing an earnings forecast for the second quarter that disappointed investors. We believe that Intralinks has market leadership in a secular growth area, and that an improving business environment, along with the company’s focus on debt repayment, will lead to strong top line growth.
	Rofin-Sinar develops, manufactures and sells industrial lasers used for cutting, welding, marking and engraving. It has diverse end markets, with machine tool shops comprising 35% of revenue, semiconductor and electronics at 25%, automotive at 10%, and all other industries at 30%. They are also well-diversified geographically, with 20% of their revenue derived in the US, 50% from Europe, and 30% from Asia. The company’s share price fell at the beginning of May after reporting quarterly results that were disappointing due to revenue recognition delays for a large order. We believe that Rofin-Sinar will benefit from a recovery in global capital spending that is expected to accelerate in the second half of 2011 and into 2012.

55

SMA Relationship Trust—Series S

	Skechers, a footwear manufacturer, performed poorly after the company’s popular “Shape-ups” brand toning shoe line saw a decline in sales following a 2010 spike. The market is ascribing no value to the inventory of toning shoes. However, we are confident that toning shoe inventory does have value, and that the longer term earnings power for the company is intact.
	Another large detractor at the stock level was our industrial holding, American Reprographics. The company provides services, which include scanning, imaging and managing black and white and color documents, to the architectural, engineering and construction industry. American Reprographics reported earnings that disappointed investors. In addition, there continue to be concerns about the macro economy and the weakness in the non-residential construction market. We remain positive on the company’s long term prospects and added to our positions in March 2011.
Q.	What is your outlook for the economy?
A.	We feel that recent weaker economic data was the result of factors that occurred earlier in the year. It appears that the significant rise in oil prices in the first quarter of 2011 had a negative effect on consumer confidence and spending. The Japan earthquake and tsunami contributed to slowing growth, as major industries, such as autos, experienced supply chain disruptions. Fortunately, the supply chain is coming back on line quicker than expected. In the emerging market countries, it appears that inflation may have peaked, and we feel price pressures could moderate in the months ahead. The European credit crisis—in particular concerns regarding a default in Greece—has roiled both the credit markets and investor risk appetite in recent months. Fortunately, in late June this situation was, at least temporarily, resolved as additional European funding and private sector debt rollovers have been agreed upon.
	The type of macro-driven volatility that has recently occurred in the market can make it difficult for stock pickers. Our strategy in this environment is to focus on company fundamentals and to have a more medium-term view as we seek to capitalize on macro-driven mispricings. The Fund continues to be positioned for economic growth, as we believe recent weakness was merely a soft patch in growth.

56

SMA Relationship Trust—Series S

We thank you for your continued support, and welcome any comments or questions you may have.

Sincerely,

Mark E. Carver
President
SMA Relationship Trust—Series S
Managing Director
UBS Global Asset Management (Americas) Inc.

Wilfred Talbot
Portfolio Manager
SMA Relationship Trust—Series S
Managing Director
UBS Global Asset Management (Americas) Inc.

This letter is intended to assist shareholders in understanding how the Fund performed during the period from the Fund’s inception on May 2, 2011 through June 30, 2011. The views and opinions in the letter were current as of August 15, 2011. They are not guarantees of future 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 Fund’s future investment intent. We encourage you to consult your financial advisor regarding your personal investment program.

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund’s investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses and more current performance for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568, or by visiting our Web site at www.ubs.com/globalam-us.

57

SMA Relationship Trust—Series S

Performance at a glance (unaudited)

Total returns for periods ended 06/30/2011

	Since inception1
SMA Relationship Trust—Series S	(4.10)%
Russell 2000 Index2	(2.96)%

1

Since inception returns are calculated as of the performance inception date, May 2, 2011, of SMA Relationship Trust—Series S.

2

The Russell 2000 Index is designed to measure the performance of the small-cap segment of the US equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set. Investors should note that indices do not reflect the deduction of fees and expenses.

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 Fund distributions or the redemption of Fund 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 the period of less than one year have not been annualized. Current performance may be higher or lower than the performance data quoted.

58

SMA Relationship Trust—Series S

Top ten equity holdings (unaudited)1
As a percentage of net assets
As of June 30, 2011
Tenneco, Inc.	2.3	%
Bio-Rad Laboratories, Inc., Class A	2.2
ICU Medical, Inc.	2.0
BE Aerospace, Inc.	2.0
Cooper Companies, Inc.	1.9
Regal-Beloit Corp.	1.9
Tetra Technologies, Inc.	1.9
Spectrum Brands Holdings, Inc.	1.8
Campus Crest Communities, Inc.	1.7
Valassis Communications, Inc.	1.7
Total	19.4	%

¹ Figures represent the industry breakdown of direct investments of SMA Relationship Trust—Series S. Figures would be different if a breakdown of the underlying investment company’s industry diversification was included.

59

SMA Relationship Trust—Series S

Industry diversification (unaudited)1
As a percentage of net assets
As of June 30, 2011
Common stocks
Aerospace & defense	1.96	%
Air freight & logistics	1.38
Auto components	2.34
Building products	1.51
Capital markets	3.79
Chemicals	1.63
Commercial banks	3.11
Commercial services & supplies	1.90
Communications equipment	1.73
Computers & peripherals	1.33
Construction & engineering	1.21
Diversified consumer services	2.89
Diversified telecommunication services	0.91
Electronic equipment	1.92
Electronic equipment, instruments & components	1.44
Energy equipment & services	6.71
Health care equipment & supplies	9.28
Health care providers & services	3.57
Health care technology	0.64
Hotels, restaurants & leisure	1.99
Household products	1.82
Insurance	1.16
Internet software & services	3.95
Life sciences tools & services	2.19
Machinery	3.88
Media	4.00
Personal products	1.22
Real estate investment trust (REIT)	8.36
Software	6.97
Specialty retail	2.76
Textiles, apparel & luxury goods	2.03
Thrifts & mortgage finance	1.06
Trading companies & distributors	2.70
Total common stocks	93.34

60

SMA Relationship Trust—Series S

Industry diversification (unaudited)1
As a percentage of net assets
As of June 30, 2011
Investment company
iShares Russell 2000 Index Fund	2.02	%
Short-term investment	4.59
Total investments	99.95
Cash and other assets, less liabilities	0.05
Net assets	100.00	%

¹ Figures represent the industry breakdown of direct investments of SMA Relationship Trust—Series S. Figures would be different if a breakdown of the underlying investment company’s industry diversification was included.

61

SMA Relationship Trust—Series S
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—93.34%
Aerospace & defense—1.96%
BE Aerospace, Inc.*		27,700		$1,130,437
Air freight & logistics—1.38%
Hub Group, Inc., Class A*		21,200		798,392
Auto components—2.34%
Tenneco, Inc.*		30,700		1,352,949
Building products—1.51%
Trex Co., Inc.*		35,700		873,936
Capital markets—3.79%
Apollo Investment Corp.		74,400		759,624
Evercore Partners, Inc., Class A		29,100		969,612
Golub Capital BDC, Inc.		30,800		459,844
				2,189,080
Chemicals—1.63%
Cytec Industries, Inc.		16,500		943,635
Commercial banks—3.11%
Bank of Hawaii Corp.		11,700		544,284
Center Financial Corp.*		94,700		601,345
City National Corp.		12,000		651,000
				1,796,629
Commercial services & supplies—1.90%
American Reprographics Co.*		83,300		588,931
InnerWorkings, Inc.*		61,400		512,076
				1,101,007
Communications equipment—1.73%
Finisar Corp.*		18,100		326,343
NETGEAR, Inc.*		15,400		673,288
				999,631
Computers & peripherals—1.33%
Fusion-io, Inc.*		15,400		463,386
SMART Technologies, Inc., Class A*		53,100		302,670
				766,056
Construction & engineering—1.21%
MasTec, Inc.*		35,400		698,088

62

SMA Relationship Trust—Series S
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Diversified consumer services—2.89%
Coinstar, Inc.*		14,100		$769,014
Universal Technical Institute, Inc.*		45,600		901,512
				1,670,526
Diversified telecommunication services—0.91%
Cbeyond, Inc.*		39,600		523,908
Electrical equipment—1.92%
Regal-Beloit Corp.		16,600		1,108,382
Electronic equipment, instruments & components—1.44%
Rofin-Sinar Technologies, Inc.*		24,300		829,845
Energy equipment & services—6.71%
Bristow Group, Inc.		16,600		846,932
Dril-Quip, Inc.*		10,800		732,564
North American Energy Partners, Inc.*		65,300		500,198
Tetra Technologies, Inc.*		85,800		1,092,234
Willbros Group, Inc.*		82,700		706,258
				3,878,186
Health care equipment & supplies—9.28%
AngioDynamics, Inc.*		43,800		623,274
CONMED Corp.*		19,100		543,968
Cooper Companies, Inc.		14,100		1,117,284
Greatbatch, Inc.*		25,200		675,864
ICU Medical, Inc.*		26,400		1,153,680
Integra LifeSciences Holdings Corp.*		11,100		530,691
Synovis Life Technologies, Inc.*		41,300		719,446
				5,364,207
Health care providers & services—3.57%
Owens & Minor, Inc.		25,900		893,291
Patterson Cos., Inc.		18,300		601,887
PSS World Medical, Inc.*		20,200		565,802
				2,060,980
Health care technology—0.64%
ePocrates, Inc.*		20,200		372,488
Hotels, restaurants & leisure—1.99%
O’Charlelys, Inc.*		75,600		552,636

63

SMA Relationship Trust—Series S
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(continued)
Hotels, restaurants & leisure—(concluded)
WMS Industries, Inc.*		19,400	$595,968
			1,148,604
Household products—1.82%
Spectrum Brands Holdings, Inc.*		33,000	1,056,000
Insurance—1.16%
SeaBright Holdings, Inc.		67,600	669,240
Internet software & services—3.95%
Digital River, Inc.*		16,700	537,072
IntraLinks Holdings, Inc.*		22,800	393,984
RightNow Technologies, Inc.*		16,500	534,600
ValueClick, Inc.*		49,200	816,720
			2,282,376
Life sciences tools & services—2.19%
Bio-Rad Laboratories, Inc., Class A*		10,600	1,265,216
Machinery—3.88%
CIRCOR International, Inc.		13,600	582,488
Greenbrier Cos., Inc.*		24,700	488,072
Kaydon Corp.		18,500	690,420
Meritor, Inc.*		30,000	481,200
			2,242,180
Media—4.00%
Cinemark Holdings, Inc.		40,200	832,542
ReachLocal, Inc.*		24,000	499,920
Valassis Communications, Inc.*		32,600	987,780
			2,320,242
Personal products—1.22%
Prestige Brands Holdings, Inc.*		54,700	702,348
Real estate investment trust (REIT)—8.36%
American Campus Communities, Inc.		14,100	500,832
Campus Crest Communities, Inc.		76,600	991,204
Cypress Sharpridge Investments, Inc.		45,100	577,731
Entertainment Properties Trust		12,800	597,760
Hudson Pacific Properties, Inc.		45,900	712,827

64

SMA Relationship Trust—Series S
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares		Value
Common stocks—(concluded)
Real estate investment trust (REIT)—(concluded)
Invesco Mortgage Capital, Inc.		31,500		$665,595
Summit Hotel Properties, Inc.		69,900		793,365
				4,839,314
Software—6.97%
Blackboard, Inc.*		12,400		538,036
Cadence Design Systems, Inc.*		56,000		591,360
Nuance Communications, Inc.*		34,800		747,156
RealPage, Inc.*		16,000		423,520
Solera Holdings, Inc.		13,000		769,080
SS&C Technologies Holdings, Inc.*		28,500		566,295
Websense, Inc.*		15,200		394,744
				4,030,191
Specialty retail—2.76%
Children’s Place Retail Stores, Inc.*		19,500		867,555
PetSmart, Inc.		16,000		725,920
				1,593,475
Textiles, apparel & luxury goods—2.03%
Movado Group, Inc.		39,100		669,001
Skechers U.S.A., Inc., Class A*		34,900		505,352
				1,174,353
Thrifts & mortgage finance—1.06%
Brookline Bancorp, Inc.		65,900		610,893
Trading companies & distributors—2.70%
Beacon Roofing Supply, Inc.*		20,800		474,656
Interline Brands, Inc.*		26,900		494,153
United Rentals, Inc.*		23,400		594,360
				1,563,169
Total common stocks (cost—$56,304,966)				53,955,963
Investment company—2.02%
iShares Russell 2000 Index Fund (cost—$1,130,968)		14,100		1,167,480

65

SMA Relationship Trust—Series S
Portfolio of investments—June 30, 2011 (unaudited)

Security description	Shares	Value
Short-term investment—4.59%
Investment company—4.59%
UBS Cash Management Prime Relationship Fund1 (cost—$2,652,111)	2,652,111	$2,652,111
Total investments—99.95% (cost—$60,088,045)		57,775,554
Cash and other assets, less liabilities—0.05%		28,807
Net assets—100.00%		$57,804,361
Notes to portfolio of investments
Aggregate cost for federal income tax purposes was substantially the same as for book purposes; and net unrealized depreciation consisted of:
Gross unrealized appreciation		$1,203,468
Gross unrealized depreciation		(3,515,959	)
Net unrealized depreciation of investments		$(2,312,491	)

For a listing of defined portfolio acronyms and currency abbreviations that are used throughout the Portfolio of investments as well as the tables that follow, please refer to page 93.

*	Non-income producing security.
1	The table below details the Fund’s investments in a fund that is advised by the same advisor as the Fund. The advisor does not earn a management fee from the affiliated UBS Relationship Fund.

					Income
		Purchases	Sales		earned from
		during the	during the		affiliate for the
		period	period		period
	Value	ended	ended	Value	ended
Security description	12/31/10	06/30/11	06/30/11	06/30/11	06/30/11
UBS Cash Management Prime Relationship Fund	$—	$86,418,421	$83,766,310	$2,652,111	$945

66

SMA Relationship Trust—Series S
Portfolio of investments—June 30, 2011 (unaudited)

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund’s investments:

Measurements at 06/30/11
	Unadjusted
	quoted prices
	in active	Other
	markets for	significant
	identical	observable	Unobservable
	investments	inputs	inputs
Description	(Level 1)	(Level 2)	(Level 3)	Total
Common stocks	$53,955,963	$—	$—	$53,955,963
Investment company	1,167,480	—	—	1,167,480
Short-term investment	—	2,652,111	—	2,652,111
Total	$55,123,443	$2,652,111	$—	$57,775,554

See accompanying notes to financial statements

67

SMA Relationship Trust—Series T

August 15, 2011

Dear shareholder, We present you with the semiannual report for Series T (the “Fund”), a series of SMA Relationship Trust, for the six months ended June 30, 2011. Performance Over the six-month reporting period, the Fund returned 3.22%. During the same period, its benchmarks, the Barclays Capital US Credit Index and the Barclays Capital MBS Fixed Rate Index, returned 3.41% and 2.87%, respectively. (Please note that the Fund’s returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares, while the Index returns do not reflect the deduction of fees and expenses. For more on the Fund’s performance, see “Performance at a glance” on page 73.) Sector positioning and security selection of securitized products produced mixed results during the reporting period.
	SMA Relationship Trust—Series T
	Investment goal:
	Maximum total return, consisting of income and capital appreciation
	Portfolio manager:
	Michael Dow
	UBS Global Asset Management (Americas) Inc.
	Commencement:
	October 9, 2003
	Dividend payments:
	Monthly

An interview with Portfolio Manager Michael Dow
Q.	How would you describe the economic environment during the reporting period?
A.	Looking back, gross domestic product (“GDP”)1 growth came in at 2.3% during the fourth quarter of 2010. The Commerce Department then reported that first and second quarter 2011 GDP numbers were 0.4% and 1.3%, respectively—reflecting, in part, a slowdown in growth due to tepid consumer and declining government spending.
	Despite the economy’s ongoing (albeit moderate) growth, the Federal Reserve (the “Fed”) remained concerned about continued high unemployment levels.

¹ GDP is the market value of all final goods and services produced within a country in a given period of time.

68

SMA Relationship Trust—Series T

	As a result, the Fed maintained its highly accommodative monetary policy, and launched another round of quantitative easing in an attempt to stimulate the economy. The plan (dubbed “QE2”) called for the purchase of an additional $600 billion of longer-term US Treasury securities by the end of the second quarter of 2011.
	At its June 2011 meeting, the Fed decided to keep the target range for the federal funds rate at 0 to 1/4 percent, with the intention of promoting “the ongoing economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate.” The Fed further noted that it “continues to anticipate that economic conditions—including low rates of resource utilization and a subdued outlook for inflation over the medium run—are likely to warrant exceptionally low levels for the federal funds rate for an extended period.” At this same meeting, the Fed additionally announced that it would be completing its QE2 plan on schedule at the end of June.
Q.	How did the overall US bond market perform during the reporting period?
A.	There was a meaningful shift in investor sentiment during the reporting period which, in turn, impacted the performance of the spread sectors (non-Treasuries).
	During the first half of the period, there were expectations for improving economic conditions, coupled with sharply rising oil and commodity prices. Despite hostilities in the Middle East and Northern Africa, the devastating earthquake in Japan, and the ongoing European sovereign debt crisis, most spread sectors outperformed equal-duration Treasuries and yields moved higher across the curve.
	It was quite a different story during the second half of the period. High oil prices crimped consumer spending, and global supply disruption in the aftermath of the natural disaster in Japan negatively impacted the manufacturing sector. In addition, unemployment in the US moved higher and the housing market remained weak. These factors, coupled with fears that Greece may default on its debt obligations, triggered a flight to quality. Against this backdrop, Treasury yields moved lower and nearly every spread sector lagged equal-duration Treasuries. In all, during the six months ended

69

SMA Relationship Trust—Series T

	June 30, 2011, the spread sectors typically outperformed Treasuries and the overall US bond market, as measured by the Barclays Capital US Aggregate Index, returned 2.72%.2
Q.	What strategies contributed to its performance during the reporting period?
A.	The Fund’s overweight to several spread sectors was beneficial during the period. For example, an overweight to investment grade bonds was rewarded given generally solid investor demand from investors seeking higher yields. While they gave back a portion of their gains later in the period when investor risk aversion increased, overall, the Fund’s overweight to the sector added value. In particular, the Fund’s allocation to financials enhanced its results.
	The Fund’s overweight allocation to commercial mortgage-backed securities (CMBS) was a modest positive for performance as their spreads narrowed given overall solid demand. (The spread is the difference in yield between a fixed income security and a Treasury security of similar maturity.) An overweight to mortgage-backed securities was beneficial as well.
Q.	Did any strategies detract from performance?
A.	While the Fund’s spread sector overweights were generally beneficial for performance, this was somewhat offset by security selection in certain areas. For example, the Fund’s holdings of investment grade bonds issued by banks was a slight negative for results, as their spreads widened as the reporting period progressed. A number of high yield bond holdings also weakened in June 2011, and hindered the Fund’s performance. Within the CMBS sector, the Fund generally emphasized AAA-rated securities at the top of the capital structure (that is, senior debt).3 However, this portion of the CMBS sector lagged their lower-rated (less senior) counterparts during the reporting period. Elsewhere, certain of the Fund’s mortgage-backed securities produced disappointing results.
2	The Barclays Capital US Aggregate Index is an unmanaged broad based index designed to measure the US-dollar-denominated, investment-grade, fixed rate taxable bond market. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed, asset-backed and commercial mortgage-backed sectors. US agency hybrid adjustable rate mortgage (ARM) securities were added to the index on April 1, 2007. Investors should note that indices do not reflect the deduction of fees and expenses.
3	AAA rating is the highest rating assigned by Standard & Poor’s Ratings Group to a debt obligation and indicates an extremely strong capacity to pay principal and interest.

70

SMA Relationship Trust—Series T

Q.	Were any derivative instruments used during the reporting period?
A.	Certain derivative instruments, namely bond and interest rate futures, were used to facilitate specific duration and yield curve strategies. Credit default swaps were used to implement specific credit-related investment strategies. The use of these derivatives did not materially impact performance during the period.
Q.	What is your outlook for the economy?
A.	The US economy hit a soft patch in the second half of the reporting period, and a number of headwinds could lead to continued muted growth as the year progresses. Unemployment remains stubbornly high, and the housing market continues to search for a bottom. With short-term interest rates already at a historical low, and given the completion of QE2, we believe the Fed may lack the tools to give the economy a much-needed boost. In addition, the issues related to the European sovereign debt crisis could negatively impact consumer confidence and lead to periods of heightened volatility. That said, we feel that the US economy has enough momentum to continue expanding, and we expect core inflation to remain relatively benign. We believe the Fund is appropriately positioned given this environment, and we continue to seek out what we consider to be attractively valued opportunities in the marketplace.

71

SMA Relationship Trust—Series T

We thank you for your continued support, and welcome any comments or questions you may have.

Sincerely,

Mark E. Carver

President

SMA Relationship Trust—Series T

Managing Director

UBS Global Asset Management (Americas) Inc.

Michael Dow

Portfolio Manager

SMA Relationship Trust—Series T

Managing Director and Head of US Long Duration

UBS Global Asset Management (Americas) Inc.

This letter is intended to assist shareholders in understanding how the Fund performed during the six months ended June 30, 2011. The views and opinions in the letter were current as of August 15, 2011. They are not guarantees of future 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 Fund’s future investment intent. We encourage you to consult your financial advisor regarding your personal investment program.

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund’s investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses and more current performance for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568, or by visiting our Web site at www.ubs.com/globalam-us.

72

SMA Relationship Trust—Series T

Performance at a glance (unaudited)

Average annual total returns for periods ended 06/30/2011

							Since
	6 months		1 year		5 years		inception1
SMA Relationship Trust—Series T	3.22	%	6.85	%	(6.97	)%	(3.56	)%
Barclays Capital US Credit Index2	3.41	%	6.20	%	7.03	%	5.54	%
Barclays Capital MBS Fixed Rate Index3	2.87	%	3.77	%	6.95	%	5.63	%

1	Since inception returns are calculated as of the performance inception date, October 9, 2003, of SMA Relationship Trust—Series T.
2	The Barclays Capital US Credit Index is an unmanaged sub-index of the Barclays Capital US Government/Credit Index, which includes Treasuries (i.e., public obligations of the US Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and USD corporates. The US Credit Index includes publicly issued US corporates, specified foreign debentures and secured notes denominated in US dollars. Investors should note that indices do not reflect the deduction of fees and expenses.
3	The Barclays Capital MBS Fixed Rate Index is an unmanaged index which primarily covers the agency mortgage-backed pass-through securities issued by Ginnie Mae (formally known as the Government National Mortgage Association or GNMA), Freddie Mac (formally known as Federal Home Loan Mortgage Corporation or FHLMC), and Fannie Mae (formally known as Federal National Mortgage Association or FNMA). Investors should note that indices do not reflect the deduction of fees and expenses.

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 Fund distributions or the redemption of Fund 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 the period of less than one year have not been annualized. Current performance may be higher or lower than the performance data quoted.

73

SMA Relationship Trust—Series T

Top ten long-term fixed income holdings (unaudited)1
As a percentage of net assets
As of June 30, 2011
Federal National Mortgage Association Pools, 5.000%, TBA	4.1	%
Federal Home Loan Mortgage Corp. Gold Pools, #G05267, 5.500%, due 12/01/38	3.9
Federal National Mortgage Association Pools, #AH8643, 4.500%, due 04/01/41	3.5
Federal National Mortgage Association Pools, 4.500%, TBA	3.4
US Treasury Bonds, 4.750%, due 02/15/41	2.9
US Treasury Notes, 3.125%, due 05/15/21	2.6
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3, 5.765%, due 07/15/45	2.0
Federal Home Loan Mortgage Corp. Gold Pools, #G13223, 4.000%, due 05/01/23	1.9
Federal National Mortgage Association Pools, #971036, 4.500%, due 02/01/39	1.8
Federal National Mortgage Association Pools, #AD9114, 5.000%, due 07/01/40	1.8
Total	27.9	%
1 Figures represent the direct investments of SMA Relationship Trust—Series T. Figures would be different if a breakdown of the underlying investment companies was included.

74

SMA Relationship Trust—Series T

Industry diversification (unaudited)1
As a percentage of net assets
As of June 30, 2011
Bonds
Corporate bonds
Airlines	0.18	%
Beverages	0.29
Biotechnology	0.15
Building products	0.41
Capital markets	0.49
Chemicals	0.15
Commercial banks	5.76
Commercial services & supplies	0.14
Consumer finance	0.95
Diversified financial services	2.52
Diversified telecommunication services	0.52
Electric utilities	0.94
Energy equipment & services	0.26
Food products	0.90
Health care providers & services	0.82
Household durables	0.19
Household products	0.25
Insurance	1.81
Leisure equipment & products	0.15
Media	1.49
Metals & mining	1.20
Multi-utilities	0.13
Oil, gas & consumable fuels	2.60
Paper & forest products	0.54
Pharmaceuticals	0.24
Real estate investment trust (REIT)	0.51
Tobacco	0.30
Wireless telecommunication services	0.69
Total corporate bonds	24.58
Asset-backed securities	1.55
Commercial mortgage-backed securities	10.15
Mortgage & agency debt securities	45.34
Municipal bonds	1.45

75

SMA Relationship Trust—Series T

Industry diversification (unaudited)1
As a percentage of net assets
As of June 30, 2011
Bonds (concluded)
US government obligations	6.91	%
Supranational bond	0.36
Total bonds	90.34
Investment companies
UBS Credit Bond Relationship Fund	2.93
UBS High Yield Relationship Fund	2.88
UBS Opportunistic Emerging Markets Debt Relationship Fund	2.06
Total investment companies	7.87
Short-term investment	9.04
Total investments	107.25
Liabilities, in excess of cash and other assets	(7.25	)
Net assets	100.00	%
1 Figures represent the industry breakdown of direct investments of SMA Relationship Trust—Series T. Figures would be different if a breakdown of the underlying investment companies’ industry diversification and derivatives exposure was included.

76

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—90.34%
Corporate bonds—24.58%
Australia—0.11%
Rio Tinto Finance USA Ltd., 4.125%, due 05/20/21		$110,000		$109,264
Austria—0.35%
PE Paper Escrow GmbH, 12.000%, due 08/01/141		310,000		350,300
Brazil—0.25%
Petrobras International Finance Co., 5.375%, due 01/27/21		240,000		246,434
Canada—0.57%
Cenovus Energy, Inc., 4.500%, due 09/15/14		245,000		265,900
Teck Resources Ltd., 6.250%, due 07/15/41		300,000		302,884
Total Canada corporate bonds				568,784
Cayman Islands—0.86%
Transocean, Inc., 6.800%, due 03/15/38		240,000		257,691
Vale Overseas Ltd., 4.625%, due 09/15/20		410,000		407,761
6.875%, due 11/21/36		180,000		195,441
Total Cayman Islands corporate bonds				860,893
France—0.22%
RCI Banque SA, 4.600%, due 04/12/161		210,000		214,520
Ireland—0.85%
The Governor & Co. of the Bank of Ireland, 2.750%, due 03/02/121		900,000		843,827
Luxembourg—0.43%
Covidien International Finance SA, 4.200%, due 06/15/20		290,000		295,455
Telecom Italia Capital SA, 6.375%, due 11/15/33		146,000		130,195
Total Luxembourg corporate bonds				425,650

77

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
Mexico—0.26%
America Movil SAB de CV, 5.000%, due 03/30/20		$250,000		$260,800
Netherlands—0.16%
Siemens Financieringsmaatschappij NV, 6.125%, due 08/17/261		145,000		164,166
Netherlands Antilles—0.24%
Teva Pharmaceutical Finance II BV, 3.000%, due 06/15/15		230,000		236,672
South Africa—0.18%
AngloGold Ashanti Holdings PLC, 5.375%, due 04/15/20		180,000		177,230
Sweden—0.35%
Nordea Bank AB, 4.875%, due 05/13/211		360,000		345,734
United Kingdom—1.04%
Barclays Bank PLC, 5.140%, due 10/14/20		105,000		99,583
BP Capital Markets PLC, 3.875%, due 03/10/15		285,000		300,148
Lloyds TSB Bank PLC, 6.375%, due 01/21/21		320,000		333,138
PPL WEM Holdings PLC, 3.900%, due 05/01/161		145,000		148,796
Royal Bank of Scotland PLC, 5.625%, due 08/24/20		160,000		160,067
Total United Kingdom corporate bonds				1,041,732
United States—18.71%
Allied Waste North America, Inc., 6.875%, due 06/01/17		130,000		140,888
Altria Group, Inc., 9.950%, due 11/10/38		110,000		154,555
American International Group, Inc., 6.400%, due 12/15/20		120,000		129,166

78

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
Anheuser-Busch InBev Worldwide, Inc., 4.125%, due 01/15/15		$270,000		$290,375
Appalachian Power Co., 4.600%, due 03/30/21		320,000		322,280
Bank of America Corp., 5.625%, due 07/01/20		180,000		185,852
6.500%, due 08/01/16		595,000		663,576
Bunge Ltd. Finance Corp., 5.100%, due 07/15/15		375,000		403,216
Cellco Partnership, 8.500%, due 11/15/18		165,000		214,263
CIT Group, Inc., 7.000%, due 05/02/161		590,000		587,788
Citigroup, Inc., 8.500%, due 05/22/19		135,000		167,353
Comcast Corp., 6.300%, due 11/15/17		385,000		446,264
Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, due 08/10/22		172,677		179,584
Developers Diversified Realty Corp., 7.875%, due 09/01/20		445,000		510,222
DirecTV Holdings LLC, 6.000%, due 08/15/40		155,000		157,154
7.625%, due 05/15/16		265,000		288,850
Dow Chemical Co., 4.250%, due 11/15/20		155,000		151,273
Duke Energy Carolinas LLC, 5.100%, due 04/15/18		105,000		116,130
Ford Motor Credit Co. LLC, 5.000%, due 05/15/18		500,000		498,291
5.750%, due 02/01/21		440,000		439,458
7.800%, due 06/01/12		480,000		501,975
Fortune Brands, Inc., 6.375%, due 06/15/14		225,000		250,137

79

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
General Electric Capital Corp.,
2.950%, due 05/09/16		$330,000		$331,817
6.000%, due 08/07/19		690,000		764,009
Georgia-Pacific LLC,
5.400%, due 11/01/201		185,000		188,539
Hartford Financial Services Group, Inc.,
6.300%, due 03/15/18		325,000		353,406
Hasbro, Inc.,
6.350%, due 03/15/40		140,000		144,718
International Lease Finance Corp.,
7.125%, due 09/01/181		160,000		171,200
JP Morgan Chase Capital XXII,
Series V,6.450%, due 02/02/37		200,000		201,515
JPMorgan Chase & Co.,
3.450%, due 03/01/16		400,000		407,454
4.250%, due 10/15/20		360,000		352,201
4.400%, due 07/22/20		350,000		342,884
Kinder Morgan Energy Partners LP,
5.800%, due 03/15/35		205,000		198,347
5.950%, due 02/15/18		255,000		284,115
6.375%, due 03/01/41		375,000		383,868
Kraft Foods, Inc.,
6.500%, due 02/09/40		180,000		199,939
Laboratory Corp of America Holdings,
4.625%, due 11/15/20		205,000		208,197
Life Technologies Corp.,
6.000%, due 03/01/20		135,000		146,471
McKesson Corp.,
4.750%, due 03/01/21		300,000		311,303
Merrill Lynch & Co., Inc.,
6.875%, due 04/25/18		330,000		365,118
MetLife, Inc.,
6.400%, due 12/15/36		425,000		414,375

80

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
MidAmerican Energy Holding Co., 5.950%, due 05/15/37		$130,000		$136,734
Morgan Stanley, 5.500%, due 01/26/20		725,000		734,448
5.625%, due 09/23/19		120,000		123,138
Motiva Enterprises LLC, 5.750%, due 01/15/201		155,000		171,854
Mutual of Omaha Insurance Co., 6.800%, due 06/15/361		365,000		371,199
Nationwide Mutual Insurance Co., 9.375%, due 08/15/391		165,000		204,714
NBC Universal, Inc.,
5.950%, due 04/01/411		190,000		193,210
NuStar Logistics LP,
7.650%, due 04/15/18		185,000		220,977
Oncor Electric Delivery Co. LLC,
6.800%, due 09/01/18		185,000		216,207
Owens Corning,
6.500%, due 12/01/16		375,000		408,031
Prudential Financial, Inc.,
Series C,5.400%, due 06/13/35		120,000		109,929
Series D,6.100%, due 06/15/17		200,000		224,628
Qwest Corp.,
7.625%, due 06/15/15		340,000		384,200
Reynolds American, Inc.,
7.625%, due 06/01/16		125,000		149,928
Sempra Energy,
9.800%, due 02/15/19		100,000		134,141
Southern Natural Gas Co.,
8.000%, due 03/01/32		290,000		363,377
SunTrust Bank,
7.250%, due 03/15/18		270,000		311,491
Time Warner Cable, Inc.,
6.750%, due 07/01/18		280,000		324,714

81

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(concluded)
United States—(concluded)
Time Warner, Inc.,
6.100%, due 07/15/40		$70,000		$71,159
Tupperware Brands Corp.,
4.750%, due 06/01/211		190,000		187,352
Verizon Communications, Inc.,
6.100%, due 04/15/18		190,000		217,730
Wells Fargo & Co.,
3.676%, due 06/15/16		360,000		369,842
Williams Partners LP,
6.300%, due 04/15/40		145,000		150,321
WM Wrigley Jr. Co.,
3.700%, due 06/30/141		285,000		296,105
Total United States corporate bonds				18,643,555
Total corporate bonds (cost—$24,023,680)				24,489,561
Asset-backed securities—1.55%
United States—1.55%
Citibank Credit Card Issuance Trust,
Series 2006-C1, Class C1,
0.586%, due 02/20/152		575,000		570,588
Series 2008-C6, Class C6,
6.300%, due 06/20/14		925,000		970,189
Total asset-backed securities (cost—$1,502,595)				1,540,777
Commercial mortgage-backed securities—10.15%
United States—10.15%
Banc of America Commercial Mortgage, Inc.,
Series 2007-2, Class AM,
5.833%, due 04/10/492		375,000		355,058
Series 2007-4, Class AM,
5.997%, due 02/10/512		675,000		660,725
Bear Stearns Commercial Mortgage Securities,
Series 2006-PW14, Class AM,
5.243%, due 12/11/38		210,000		206,355

82

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Commercial mortgage-backed securities—(concluded)
United States—(concluded)
Commercial Mortgage Loan Trust,
Series 2008-LS1, Class AM,
6.213%, due 12/10/492		$725,000		$698,991
Commercial Mortgage Pass Through Certificates,
Series 2005-F10A, Class AJ2,
0.377%, due 04/15/171,2		575,000		555,311
FDIC Structured Sale Guaranteed Notes,
Series 2010-C1, Class A,
2.980%, due 12/06/201		1,180,410		1,201,557
GE Capital Commercial Mortgage Corp.,
Series 2007-C1, Class AM,
5.606%, due 12/10/49		650,000		595,987
GS Mortgage Securities Corp.II,
Series 2006-RR2, Class H,
5.758%, due 06/23/461,2		3,991,000		0
Series 2007-GG10, Class A4,
5.992%, due 08/10/452		715,000		767,624
JP Morgan Chase Commercial Mortgage Securities Corp.,
Series 2006-CB17, Class AM,
5.464%, due 12/12/43		325,000		323,329
Series 2006-LDP8, Class AJ,
5.480%, due 05/15/45		500,000		456,927
Series 2007-LD11, Class A4,
6.005%, due 06/15/492		1,050,000		1,132,423
Series 2006-LDP7, Class AJ,
6.067%, due 04/15/452		825,000		749,760
Morgan Stanley Dean Witter Capital I,
Series 2002-IQ3, Class B,
5.240%, due 09/15/37		400,000		410,566
Wachovia Bank Commercial Mortgage Trust,
Series 2006-C27, Class A3,
5.765%, due 07/15/45		1,820,000		1,994,267
Total commercial mortgage-backed securities (cost—$12,370,583)				10,108,880

83

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Mortgage & agency debt securities—45.34%
United Kingdom—1.61%
Fosse Master Issuer PLC,
Series 2011-1A, Class A2,
1.619%, due 10/18/541,2		$625,000		$626,112
Holmes Master Issuer PLC,
Series 2011-1A, Class A2,
1.628%, due 10/15/541,2		975,000		976,208
Total United Kingdom mortgage & agency debt securities				1,602,320
United States—43.74%
Banc of America Funding Corp.,
Series 2006-I, Class SB2,
3.336%, due 12/20/362,3		1,004,698		33,456
Series 2007-2, Class B1,
6.053%, due 03/25/372,3		553,426		55
Credit Suisse Mortgage Capital Certificates,
Series 2006-4, Class CB1,
5.488%, due 05/25/362		1,177,471		57,439
Federal Home Loan Mortgage Corp.Gold Pools,4
#G13223, 4.000%, due 05/01/23		1,784,121		1,866,737
#A96140, 4.000%, due 01/01/41		719,428		719,870
#Q01348, 4.500%, due 06/01/41		575,000		594,895
#G04437, 5.000%, due 08/01/37		663,732		706,038
#G02922, 5.500%, due 04/01/37		462,384		504,304
#G05267, 5.500%, due 12/01/38		3,556,915		3,847,707
#G06381, 5.500%, due 08/01/40		1,583,105		1,717,725
#C56030, 6.000%, due 03/01/31		13,491		14,971
#G06019, 6.000%, due 10/01/36		495,662		548,203
#C55783, 6.500%, due 01/01/29		124,371		140,942
#G00194, 7.500%, due 02/01/24		170,408		197,521
#C00410, 8.000%, due 07/01/25		61,661		73,261
#C37436, 8.000%, due 01/01/30		21,299		25,263
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates,
Series K-012, Class A1,
3.427%, due 10/25/204		1,064,432		1,102,529

84

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Mortgage & agency debt securities—(continued)
United States—(continued)
Federal National Mortgage Association Pools,4
#AE8715, 4.000%, due 11/01/40		$918,559		$919,855
#AH1560, 4.000%, due 01/01/41		618,720		619,593
#AH3347, 4.000%, due 01/01/41		959,734		961,089
#AI4815, 4.500%, due 06/01/41		355,000		367,837
#971036, 4.500%, due 02/01/39		1,768,912		1,834,952
#AC2174, 4.500%, due 07/01/39		1,189,749		1,233,051
#AH8643, 4.500%, due 04/01/41		3,361,319		3,482,870
#MA0693, 4.500%, due 04/01/41		889,997		922,180
4.500%, TBA		3,225,000		3,336,362
#975213, 5.000%, due 03/01/38		979,094		1,041,976
#975375, 5.000%, due 06/01/38		624,312		664,408
5.000%, TBA		3,865,000		4,106,563
#890209, 5.000%, due 05/01/40		43,848		46,664
#AD9114, 5.000%, due 07/01/40		1,642,972		1,752,998
#244450, 5.500%, due 11/01/23		60,723		65,896
#555591, 5.500%, due 07/01/33		1,145,985		1,247,911
#962129, 5.500%, due 03/01/38		309,109		334,573
5.500%, TBA		1,475,000		1,594,844
#708631, 6.000%, due 06/01/33		46,905		52,835
#901999, 6.000%, due 11/01/36		390,704		430,593
#918098, 6.000%, due 05/01/37		1,506,634		1,657,632
#AE0405, 6.000%, due 08/01/37		747,768		825,740
#990686, 6.000%, due 09/01/38		199,043		218,804
#872912, 6.500%, due 06/01/36		1,103,994		1,251,381
#675469, 7.000%, due 04/01/18		42,761		44,818
#253824, 7.000%, due 03/01/31		22,122		25,484
Federal National Mortgage Association Pools Re-REMIC,4
Series 2005-29, Class KA,
4.500%, due 02/25/35		596,851		629,405
First Horizon Asset Securities, Inc.,
Series 2004-FL1, Class 1A1,
0.456%, due 02/25/352		245,428		196,415

85

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Mortgage & agency debt securities—(concluded)
United States—(concluded)
GMAC Mortgage Corp. Loan Trust, Series 1982, Class 7,
11.625%, due 10/01/123,5		$1,222		$1,222
Government National Mortgage Association Pools,
#701813, 4.500%, due 04/15/39		839,448		889,465
#G2 2687, 6.000%, due 12/20/28		35,019		38,969
#495814, 6.000%, due 01/15/29		30,513		34,253
#G2 508540, 6.000%, due 02/20/34		398,171		444,242
#486873, 6.500%, due 01/15/29		14,927		17,031
#338523, 8.000%, due 12/15/22		2,718		3,197
#780339, 8.000%, due 12/15/23		26,645		31,343
Merrill Lynch Mortgage Investors, Inc.,
Series 2006-F1, Class M1,
6.000%, due 04/25/363		3,493,523		76,508
Washington Mutual MSC Mortgage Pass-Through Certificates,
Series 2002-MS6, Class 3A1,
6.500%, due 09/25/32		9,326		9,736
Total United States mortgage & agency debt securities				43,563,611
Total mortgage & agency debt securities (cost—$49,434,046)				45,165,931
Municipal bonds—1.45%
Chicago Transit Authority,
Series 2008-A,6.899%, due 12/01/40		190,000		202,114
Illinois State Taxable Pension,
Series 2003, 5.100%, due 06/01/33		395,000		336,647
Los Angeles Unified School District,
Series 2010, 6.758%, due 07/01/34		350,000		395,185
New York State Urban Development Corp. Revenue Bonds,
5.770%, due 03/15/39		155,000		160,677
State of California, GO Bonds,
Series 2009, 7.300%, due 10/01/39		310,000		346,636
Total municipal bonds (cost—$1,374,631)				1,441,259

86

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

	Face
Security description	amount		Value
Bonds—(concluded)
US government obligations—6.91%
US Treasury Bond,
4.750%, due 02/15/41		$2,760,000		$2,933,794
US Treasury Notes,
1.750%, due 05/31/16		1,310,000		1,312,044
3.125%, due 05/15/21		2,640,000		2,632,582
Total US government obligations (cost—$6,975,648)				6,878,420
Supranational bond—0.36%
European Investment Bank,
1.250%, due 09/17/13 (cost—$358,769)		360,000		363,751
Total bonds (cost—$96,039,952)				89,988,579
	Shares
Investment companies—7.87%
UBS Credit Bond Relationship Fund*6		199,077		2,913,551
UBS High Yield Relationship Fund*6		103,603		2,871,977
UBS Opportunistic Emerging Markets Debt Relationship Fund*6		118,773		2,052,822
Total investment companies (cost—$6,910,454)				7,838,350
Short-term investment—9.04%
Investment company—9.04%
JPMorgan Liquid Assets Money Market Fund (cost—$9,000,799)		9,000,799		9,000,799
Total investments—107.25% (cost—$111,951,205)				106,827,728
Liabilities, in excess of cash and other assets—(7.25%)				(7,217,038	)
Net assets—100.00%				$99,610,690
Notes to portfolio of investments
Aggregate cost for federal income tax purposes was substantially the same as for book purposes; and net unrealized depreciation consisted of:
Gross unrealized appreciation				$3,438,391
Gross unrealized depreciation				(8,561,868	)
Net unrealized depreciation of investments				$(5,123,477	)

87

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

For a listing of defined portfolio acronyms and currency abbreviations that are used throughout the Portfolio of investments as well as the tables that follow, please refer to page 93.

*	Non-income producing security.
1	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities are considered liquid, unless noted otherwise, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of these securities amounted to $7,942,172 or 7.97% of net assets.
2	Variable or floating rate security—The interest rate shown is the current rate as of June 30, 2011 and changes periodically.
3	Security is illiquid. At June 30, 2011, the value of these securities amounted to $111,241 or 0.11% of net assets.
4	On September 7, 2008, the Federal Housing Finance Agency placed the Federal Home Loan Mortgage Corporation and the Federal National Mortgage Association into conservatorship, and the US Treasury guaranteed the debt issued by those organizations.
5	Security is being fair valued by a valuation committee under the direction of the Board of Trustees. At June 30, 2011, the value of this security amounted to $1,222 or 0.00% of net assets.
6	The table below details the Fund’s investments in funds advised by the same advisor as the Fund. The advisor does not earn a management fee from the affiliated UBS Relationship Funds.

					Change in
					net unrealized
				Net	appreciation/
		Purchases	Sales	realized gain	(depreciation)
		during the	during the	during the	during the
		six months	six months	six months	six months
Security	Value	ended	ended	ended	ended		Value
description	12/31/10	06/30/11	06/30/11	06/30/11	06/30/11		06/30/11
UBS Credit Bond Relationship Fund	$6,198,526	$—	$3,500,000	$713,223	$(498,198	)	$2,913,551
UBS High Yield Relationship Fund	2,860,046	4,805,000	5,000,000	482,550	(275,619	)	2,871,977
UBS Opportunistic Emerging Markets Debt Relationship Fund	1,972,531	—	—	—	80,291		2,052,822
	$11,031,103	$4,805,000	$8,500,000	$1,195,773	$(693,526	)	$7,838,350

88

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

Futures contracts

SMA Relationship Trust—Series T had the following open futures contracts as of June 30, 2011:

						Unrealized
	Expiration	Cost/				appreciation/
	date	(proceeds)		Value		(depreciation)
US Treasury futures buy contracts:
US Ultra Bond Futures, 13 contracts (USD)	September 2011	$1,679,934		$1,641,250		$(38,684	)
US Treasury futures sell contracts:
US Long Bond, 8 contracts (USD)	September 2011	(1,001,500	)	(984,250	)	17,250
2 Year US Treasury Notes, 75 contracts (USD)	September 2011	(16,444,801	)	(16,450,781	)	(5,980	)
10 Year US Treasury Notes, 18 contracts (USD)	September 2011	(2,218,191	)	(2,201,906	)	16,285
Net unrealized depreciation on futures contracts						$(11,129	)

Credit default swaps on corporate issues—buy protection¹

Counterparty—Deutsche Bank AG:

			Payments
		Payments	received	Upfront
Notional	Termination	made by	by the	payments		Unrealized
amount	date	the Fund2	Fund	received	Value	depreciation
USD 1,135,000	03/20/14	1.0000%	— 3	$9,876	$(18,020)	$(8,144)

1	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
2	Payments made are based on the notional amount.
3	Payment from the counterparty will be received upon the occurrence of bankruptcy and/or restructuring event with respect to the Motorola Solutions, Inc. 6.500% bond, due 09/01/25.

89

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

Credit default swaps on corporate issues—sell protection¹

Counterparty—Deutsche Bank AG:

			Payments
		Payments	received	Upfront
Notional	Termination	made by	by the	payments		Unrealized	Credit
amount	date	the Fund	Fund2	received	Value	appreciation	spread3
USD 750,000	03/20/16	—4	1.0000%	$13,415	$3,730	$17,145	0.8829%

1	If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
2	Payments received are based on the notional amount.
3	Credit spreads, represented in absolute terms, utilized in determining the market value as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event occurring for the credit derivative. The credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity.
4	Payment from the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the Motorola Solutions, Inc. 6.500% bond, due 09/01/25.

90

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

The following is a summary of the inputs used as of June 30, 2011 in valuing the Fund’s investments:

Measurements at 06/30/11
	Unadjusted
	quoted prices
	in active		Other
	markets for		significant
	identical		observable		Unobservable
	investments		inputs		inputs
Description	(Level 1)		(Level 2)		(Level 3)	Total
Corporate bonds	$—		$24,489,561		$—	$24,489,561
Asset-backed securities	—		1,540,777		—	1,540,777
Commercial mortgage-backed securities	—		10,108,880		—	10,108,880
Mortgage & agency debt securities	—		45,164,709		1,222	45,165,931
Municipal bonds	—		1,441,259		—	1,441,259
US government obligations	—		6,878,420		—	6,878,420
Supranational bond	—		363,751		—	363,751
Investment companies	—		7,838,350		—	7,838,350
Short-term investment	9,000,799		—		—	9,000,799
Futures contracts	(11,129	)	—		—	(11,129	)
Swap agreements	—		(14,290	)	—	(14,290	)
Total	$8,989,670		$97,811,417		$1,222	$106,802,309

91

SMA Relationship Trust—Series T
Portfolio of investments—June 30, 2011 (unaudited)

Level 3 rollforward disclosure

The following is a rollforward of the Fund’s investments that were valued using unobservable inputs for the period:

	Mortgage &
	agency debt
	securities		Total
Assets
Beginning balance	$1,632		$1,632
Purchases	—		—
Issuances	—		—
Sales	(410	)	(410	)
Settlements	—		—
Accrued discounts (premiums)	—		—
Total realized gain (loss)	20		20
Net change in unrealized appreciation/depreciation	(20	)	(20	)
Transfers into Level 3	—		—
Transfers out of Level 3	—		—
Ending balance	$1,222		$1,222

The change in unrealized appreciation/depreciation relating to the Level 3 investments held at June 30, 2011 was $(20).

See accompanying notes to financial statements

92

SMA Relationship Trust
Portfolio of investments—June 30, 2011 (unaudited)

Portfolio acronyms
ADR	American depositary receipt
AGC-ICC	Agency Insured Custody Certificate
AMBAC	American Municipal Bond Assurance Corp.
BBA	British Bankers’ Association
BP	British Petroleum
CDI	Chess depositary interest
CVA	Dutch certification—depository certificate
EURIBOR	Euro Interbank Offered Rate
FGIC	Financial Guaranty Insurance Co.
GA	Georgia
GDR	Global depositary receipt
GE	General Electric
GMAC	General Motors Acceptance Corp.
GO	General Obligation
GS	Goldman Sachs
LIBOR	London Interbank Offered Rate
MXIBTIIE	Mexico Interbank TIIE 28 Day Rate
NATL-RE	National Public Finance Guarantee Corp.
NPV	No Par Value
OJSC	Open joint stock company
Preference shares	A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
PSF-GTD	Permanent School Fund Guaranteed
REIT	Real estate investment trust
Re-REMIC	Combined Real Estate Mortgage Investment Conduit
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.

Currency type abbreviations
AUD	Australian Dollar	MXN	Mexican Peso
CAD	Canadian Dollar	MYR	Malaysian Ringgit
CHF	Swiss Franc	NZD	New Zealand Dollar
EUR	Euro	PLN	Polish Zloty
GBP	Great Britain Pound	SEK	Swedish Krona
HKD	Hong Kong Dollar	SGD	Singapore Dollar
JPY	Japanese Yen	USD	United States Dollar
KRW	KoreanWon

See accompanying notes to financial statements

93

SMA Relationship Trust

Explanation of expense disclosure (unaudited)
As a shareholder of the Funds*, you may incur costs such as transactional costs (as applicable) or program fees. These examples are intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples below are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, January 1, 2011 to June 30, 2011.

Actual expenses
The first line in the table below for each Fund 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 for each Fund provides information about hypothetical account values and hypothetical expenses based on that Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not that Fund’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 a Fund 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 costs only and do not reflect any transactional costs (as applicable), such as program fees. Therefore, the second line in the table for each Fund is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

* Collectively refers to SMA Relationship Trust—Series A, SMA Relationship Trust—Series G, SMA Relationship Trust—Series M, SMA Relationship Trust—Series S and SMA Relationship Trust—Series T.

94

SMA Relationship Trust

Explanation of expense disclosure (unaudited) (concluded)

	Beginning	Ending	Expenses paid
	account value	account value	during period
Series A	January 1, 2011	June 30, 2011	01/01/11 to 6/30/111
Actual	$1,000.00	$973.10	$—
Hypothetical
(5% annual return before expenses)	1,000.00	1,024.79	—
Series G2
Actual	1,000.00	974.00	—
Hypothetical
(5% annual return before expenses)	1,000.00	1,024.79	—
Series M
Actual	1,000.00	1,044.50	—
Hypothetical
(5% annual return before expenses)	1,000.00	1,024.79	—
Series S3
Actual	1,000.00	959.00	—
Hypothetical
(5% annual return before expenses)	1,000.00	1,024.79	—
Series T
Actual	1,000.00	1,032.20	—
Hypothetical
(5% annual return before expenses)	1,000.00	1,024.79	—

1	Expenses are equal to each Fund’s annualized net expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 181 divided by 365 (to reflect the one-half year period). UBS Global Asset Management (Americas) Inc., the Funds’ advisor, is responsible for paying expenses it incurs in providing advisory services as well as the operating expenses of each Fund.
2	The Fund commenced operations on May 6, 2011. Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 56 divided by 365 (to reflect actual days in the period for the actual example) and multiplied by 181 divided by 365 (to reflect the one-half period for the hypothetical example).
3	The Fund commenced operations on May 2, 2011. Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 60 divided by 365 (to reflect actual days in the period for the actual example) and multiplied by 181 divided by 365 (to reflect the one-half period for the hypothetical example).

95

SMA Relationship Trust
Statement of assets and liabilities—June 30, 2011 (unaudited)

	Series A
Assets:
Investments in securities of unaffiliated issuers, at value (cost—$14,079,933, $240,674,396, $230,310,732, $57,435,934 and $105,040,751, respectively)	$15,642,679
Investments in securities of affiliated issuers, at value (cost—$14,268,540, $4,773,919, $—, $2,652,111 and $6,910,454, respectively)	17,226,307
Total investments (cost—$28,348,473, $245,448,315, $230,310,732, $60,088,045 and $111,951,205, respectively)	32,868,986
Foreign currency, at value (cost—$332,958, $806,228, $—, $— and $—, respectively)	336,058
Receivables:
Dividends and interest	22,375
Fund shares sold	17,970
Foreign tax reclaims	16,755
Investment securities sold	—
Due from custodian	—
Due from broker	—
Cash collateral for futures contracts	2,115,905
Outstanding swap agreements, at value1	237,264
Unrealized appreciation on forward foreign currency contracts	309,608
Total assets	35,924,921
Liabilities:
Payables:
Investment securities purchased	—
Fund shares redeemed	—
Due to broker	784,695
Options written, at value2	204,933
Outstanding swap agreements, at value1	311,217
Unrealized depreciation on forward foreign currency contracts	579,619
Total liabilities	1,880,464
Net assets	$34,044,457
Net assets consist of:
Beneficial interest	$46,153,101
Accumulated undistributed (distributions in excess of) net investment income	$(138,296	)
Accumulated net realized loss	(14,993,634	)
Net unrealized appreciation (depreciation)	3,023,286
Net assets	$34,044,457
Shares outstanding	5,240,151
Net asset value, offering and redemption proceeds per share	$6.50

1	Net upfront payments made by Series A were $147,609 and net upfront payments received by Series T were $23,291.
2	Premiums received by Series A were $156,973.

96

Series G		Series M		Series S		Series T
$236,318,118		$235,200,030		$55,123,443		$98,989,378
4,773,919		—		2,652,111		7,838,350
241,092,037		235,200,030		57,775,554		106,827,728
809,542		—		—		—
252,581		2,964,715		109,401		639,280
130,809		304,001		36,668		—
17,250		—		—		—
9,219,107		—		—		3,097,753
—		—		12,192		—
—		—		—		11,990
—		—		—		48,275
—		—		—		3,730
—		—		—		—
251,521,326		238,468,746		57,933,815		110,628,756
12,058,797		6,631,800		—		10,623,255
425,074		1,976,585		129,454		376,791
—		—		—		—
—		—		—		—
—		—		—		18,020
—		—		—		—
12,483,871		8,608,385		129,454		11,018,066
$239,037,455		$229,860,361		$57,804,361		$99,610,690
$245,125,859		$249,574,798		$61,105,596		$363,969,140
$643,849		$(1,070	)	$172,876		$(488,538	)
(2,340,975	)	(24,602,665	)	(1,161,620	)	(258,744,307	)
(4,391,278	)	4,889,298		(2,312,491	)	(5,125,605	)
$239,037,455		$229,860,361		$57,804,361		$99,610,690
24,553,763		22,723,688		6,029,264		22,734,555
$9.74		$10.12		$9.59		$4.38

See accompanying notes to financial statements

97

SMA Relationship Trust
Statement of operations
For the six months ended June 30, 2011 (unaudited)

	Series A
Investment income:
Dividends and other	$245,050
Interest	—
Affiliated interest	—
Foreign tax withheld	(19,802	)
Net investment income	225,248
Realized and unrealized gains/(losses) from investment activities:
Net realized gain (loss) on: Investments in unaffiliated issuers	346,941
Investments in affiliated issuers	—
Futures contracts	(1,210,001	)
Options written	(251,844	)
Swap agreements	364,589
Forward foreign currency contracts	(1,061,236	)
Foreign currency transactions	(62,576	)
Net realized loss	(1,874,127	)
Net change in unrealized appreciation/depreciation on:
Investments	1,635,943
Futures contracts	(760,353	)
Options written	192,957
Swap agreements	(479,532	)
Forward foreign currency contracts	(8,417	)
Translation of other assets and liabilities denominated in foreign currency	(10,647	)
Net change in unrealized appreciation/depreciation	569,951
Net realized and unrealized gain (loss) from investment activities	(1,304,176	)
Net increase (decrease) in net assets resulting from operations	$(1,078,928	)

1	For the period May 6, 2011 (commencement of operations) to June 30, 2011.
2	For the period May 2, 2011 (commencement of operations) to June 30, 2011.

98

Series G1		Series M		Series S2		Series T
$746,414		$—		$171,931		$1,804
—		4,057,944		—		2,015,754
2,232		—		945		—
(104,797	)	—		—		—
643,849		4,057,944		172,876		2,017,558
(1,433,694	)	(83,547	)	(1,161,620	)	(6,336,483	)
—		—		—		1,195,773
—		—		—		84,032
—		—		—		—
—		—		—		(1,946	)
(1,784,997	)	—		—		(35,178	)
877,716		—		—		35,859
(2,340,975	)	(83,547	)	(1,161,620	)	(5,057,943	)
(4,356,278	)	6,682,197		(2,312,491	)	6,917,337
—		—		—		(11,129	)
—		—		—		—
—		—		—		9,001
—		—		—		—
(35,000	)	—		—		—
(4,391,278	)	6,682,197		(2,312,491	)	6,915,209
(6,732,253	)	6,598,650		(3,474,111	)	1,857,266
$(6,088,404	)	$10,656,594		$(3,301,235	)	$3,874,824

See accompanying notes to financial statements

99

SMA Relationship Trust
Statement of changes in net assets
For the six months ended June 30, 2011 (unaudited)

	Series A
From operations:
Net investment income	$225,248
Net realized gain (loss) on:
Investment transactions	346,941
Futures contracts	(1,210,001	)
Options written	(251,844	)
Swap agreements	364,589
Forward foreign currency contracts	(1,061,236	)
Foreign currency transactions	(62,576	)
Net change in unrealized appreciation/depreciation on:
Investments	1,635,943
Futures contracts	(760,353	)
Options written	192,957
Swap agreements	(479,532	)
Forward foreign currency contracts	(8,417	)
Translation of other assets and liabilities denominated in foreign currency	(10,647	)
Net increase/(decrease) in net assets from operations	(1,078,928	)
Dividends and distributions to shareholders from:
Net investment income	—
From beneficial interest transactions:
Proceeds from shares sold	8,929,684
Cost of shares redeemed	(6,652,865	)
Net increase (decrease) in net assets resulting from beneficial
interest transactions	2,276,819
Increase (decrease) in net assets	1,197,891
Net assets:
Net assets, beginning of period	32,846,566
Net assets, end of period	$34,044,457
Accumulated undistributed (distributions in excess of) net investment income	$(138,296	)

100

Series G1		Series M		Series S2		Series T
$643,849		$4,057,944		$172,876		$2,017,558
(1,433,694	)	(83,547	)	(1,161,620	)	(5,140,710	)
—		—		—		84,032
—		—		—		—
—		—		—		(1,946	)
(1,784,997	)	—		—		(35,178	)
877,716		—		—		35,859
(4,356,278	)	6,682,197		(2,312,491	)	6,917,337
—		—		—		(11,129	)
—		—		—		—
—		—		—		9,001
—		—		—		—
(35,000	)	—		—		—
(6,088,404	)	10,656,594		(3,301,235	)	3,874,824
—		(4,059,014	)	—		(2,506,096	)
251,455,248		57,841,321		74,900,796		32,035,066
(6,329,389	)	(49,307,005	)	(13,795,200	)	(47,353,815	)
245,125,859		8,534,316		61,105,596		(15,318,749	)
239,037,455		15,131,896		57,804,361		(13,950,021	)
—		214,728,465		—		113,560,711
$239,037,455		$229,860,361		$57,804,361		$99,610,690
$643,849		$(1,070	)	$172,876		$(488,538	)

1	For the period May 6, 2011 (commencement of operations) to June 30, 2011.
2	For the period May 2, 2011 (commencement of operations) to June 30, 2011.

See accompanying notes to financial statements

101

SMA Relationship Trust

Statement of changes in net assets

	For the year ended December 31, 2010
	Series A		Series M		Series T
From operations:
Net investment income	$217,898		$7,748,274		$4,713,501
Net realized gain (loss) on:
Investment transactions	(135,203	)	2,570,949		(32,952,914	)
Futures contracts	(3,183,913	)	—		(176,724	)
Options written	10,142		—		45,956
Swap agreements	71,065		—		—
Forward foreign currency contracts	403,688		—		83,038
Foreign currency transactions	(103,382	)	—		(184,615	)
Net change in unrealized appreciation/depreciation on:
Investments	3,132,646		(6,298,235	)	39,486,112
Futures contracts	74,250		—		—
Options written	(240,917	)	—		—
Swap agreements	100,339		—		—
Forward foreign currency contracts	(438,694	)	—		—
Translation of other assets and liabilities denominated in foreign currency	(6,180	)	—		—
Net increase/(decrease) in net assets from operations	(98,261	)	4,020,988		11,014,354
Dividends and distributions to shareholders from:
Net investment income	(712,678	)	(7,751,364	)	(8,781,486	)
Return of capital	—		—		(300,917	)
Total dividends and distributions to shareholders	(712,678	)	(7,751,364	)	(9,082,403	)
From beneficial interest transactions:
Proceeds from shares sold	11,975,715		70,952,184		35,731,980
Cost of shares redeemed	(8,278,578	)	(70,970,428	)	(46,231,682	)
Net increase (decrease) in net assets resulting from beneficial interest transactions	3,697,137		(18,244	)	(10,499,702	)
Increase (decrease) in net assets	2,886,198		(3,748,620	)	(8,567,751	)
Net assets:
Net assets, beginning of year	29,960,368		218,477,085		122,128,462
Net assets, end of year	$32,846,566		$214,728,465		$113,560,711
Distributions in excess of net investment income	$(363,544	)	$—		$—

See accompanying notes to financial statements

102

SMA Relationship Trust—Series A

Financial highlights

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period presented.

	For the six		Year ended				For the
	months ended		December 31,				period ended
	June 30, 2011						December 31,
	(unaudited)		2010		2009		20083
Net asset value, beginning of period	$6.69		$6.85		$5.65		$10.00
Income (loss) from investment operations:
Net investment income1	0.04		0.05		0.06		0.12
Net realized and unrealized gain (loss) from investment activities	(0.23	)	(0.06	)	1.34		(2.44	)
Total income (loss) from investment operations	(0.19	)	(0.01	)	1.40		(2.32	)
Dividends and distributions:
From net investment income	—		(0.15	)	(0.20	)	(0.88	)
From net realized gains	—		—		—		(1.15	)
Total dividends and distributions	—		(0.15	)	(0.20	)	(2.03	)
Net asset value, end of period	$6.50		$6.69		$6.85		$5.65
Total investment return2	(2.69	)%	(0.37	)%	23.28	%	(21.27	)%
Ratio to average net assets:
Net investment income	1.26	%4	0.69	%	1.02	%	1.72	%4
Supplemental data:
Net assets, end of period (000’s)	$34,045		$32,847		$29,960		$23,623
Portfolio turnover	12	%	50	%	37	%	24	%

1	Calculated using the average shares method.
2	Total investment return is calculated assuming a $10,000 investment on the first day of each period reported, reinvestment of all dividends and 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. 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 Fund dividends/distributions or the redemption of Fund shares.
3	For the period April 2, 2008 (commencement of operations) to December 31, 2008.
4	Annualized.

See accompanying notes to financial statements

103

SMA Relationship Trust—Series G

Financial highlights

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period presented.

	For the
	period ended
	June 30, 20113
	(unaudited)
Net asset value, beginning of period	$10.00
Income (loss) from investment operations:
Net investment income1	0.03
Net realized and unrealized loss from investment activities	(0.29	)
Total loss from investment operations	(0.26	)
Net asset value, end of period	$9.74
Total investment return2	(2.60	)%
Ratio to average net assets:
Net investment income	1.92	%4
Supplemental data:
Net assets, end of period (000’s)	$239,037
Portfolio turnover	12	%

1	Calculated using the average shares method.
2	Total investment return is calculated assuming a $10,000 investment on the first day of each period reported, reinvestment of all dividends and 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. 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 Fund dividends/distributions or the redemption of Fund shares.
3	For the period May 6, 2011 (commencement of operations) to June 30, 2011.
4	Annualized.

See accompanying notes to financial statements

104

SMA Relationship Trust—Series M

Financial highlights

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period presented.

	For the six
	months ended		Year ended December 31,
	June 30, 2011
	(unaudited)		2010		2009		2008		2007		2006
Net asset value, beginning of period	$9.86		$10.08		$9.45		$10.27		$10.33		$10.20
Income (loss) from investment operations:
Net investment income1	0.17		0.37		0.40		0.45		0.43		0.42
Net realized and unrealized gain (loss) from investment activities	0.26		(0.21	)	0.63		(0.80	)	(0.04	)	0.13
Total income (loss) from investment operations	0.43		0.16		1.03		(0.35	)	0.39		0.55
Dividends and distributions:
From net investment income	(0.17	)	(0.38	)	(0.40	)	(0.46	)	(0.43	)	(0.42	)
From net realized gains	—		—		—		(0.01	)	(0.02	)	(0.00	)3
Total dividends and distributions	(0.17	)	(0.38	)	(0.40	)	(0.47	)	(0.45	)	(0.42	)
Net asset value, end of period	$10.12		$9.86		$10.08		$9.45		$10.27		$10.33
Total investment return2	4.45	%	1.52	%	11.08	%	(3.52	)%	3.79	%	5.51	%
Ratio to average net assets:
Net investment income	3.50	%4	3.69	%	4.06	%	4.44	%	4.18	%	4.13	%
Supplemental data:
Net assets, end of period (000’s)	$229,860		$214,728		$218,477		$268,174		$752,607		$421,179
Portfolio turnover	63	%	116	%	61	%	60	%	119	%	156	%

1	Calculated using the average shares method.
2	Total investment return is calculated assuming a $10,000 investment on the first day of each period reported, reinvestment of all dividends and 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. 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 could pay on Fund dividends/distributions or the redemption of Fund shares.
3	Amount represents less than $0.005 per share.
4	Annualized.

See accompanying notes to financial statements

105

SMA Relationship Trust—Series S

Financial highlights

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period presented.

	For the
	period ended
	June 30, 20113
	(unaudited)
Net asset value, beginning of period	$10.00
Income (loss) from investment operations:
Net investment income1	0.03
Net realized and unrealized loss from investment activities	(0.44	)
Total loss from investment operations	(0.41	)
Net asset value, end of period	$9.59
Total investment return2	(4.10	)%
Ratio to average net assets:
Net investment income	1.72	%4
Supplemental data:
Net assets, end of period (000’s)	$57,804
Portfolio turnover	28	%

1	Calculated using the average shares method.
2	Total investment return is calculated assuming a $10,000 investment on the first day of each period reported, reinvestment of all dividends and 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. 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 Fund dividends/distributions or the redemption of Fund shares.
3	For the period May 2, 2011 (commencement of operations) to June 30, 2011.
4	Annualized.

See accompanying notes to financial statements

106

SMA Relationship Trust—Series T

Financial highlights

The table below sets forth financial data for one share of beneficial interest outstanding throughout each period presented.

	For the six
	months ended		Year ended December 31,
	June 30, 2011
	(unaudited)		2010		2009		2008		2007		2006
Net asset value, beginning of period	$4.34		$4.28		$5.02		$9.10		$9.78		$9.75
Income (loss) from investment operations:
Net investment income1	0.08		0.19		0.12		0.003		0.01		0.003
Net realized and unrealized gain (loss) from investment activities	0.06		0.24		(0.33	)	(3.40	)	(0.10	)	0.54
Total income (loss) from investment operations	0.14		0.43		(0.21	)	(3.40	)	(0.09	)	0.54
Dividends and distributions:
From net investment income	(0.10	)	(0.36	)	(0.53	)	(0.68	)	(0.59	)	(0.51	)
Return of capital	—		(0.01	)	—		—		—		—
Total dividends and distributions	(0.10	)	(0.37	)	(0.53	)	(0.68	)	(0.59	)	(0.51	)
Net asset value, end of period	$4.38		$4.34		$4.28		$5.02		$9.10		$9.78
Total investment return2	3.22	%	10.08	%	(3.43	)%	(39.00	)%	(1.06	)%	5.68	%
Ratio to average net assets:
Net investment income	3.60	%4	4.32	%	2.78	%	0.02	%	0.08	%	0.04	%
Supplemental data:
Net assets, end of period (000’s)	$99,611		$113,561		$122,128		$135,121		$695,737		$513,770
Portfolio turnover	180	%	276	%	102	%5	9	%	21	%	19	%

1	Calculated using the average shares method.
2	Total investment return is calculated assuming a $10,000 investment on the first day of each period reported, reinvestment of all dividends and 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. 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 Fund dividends/distributions or the redemption of Fund shares.
3	Amount represents less than $0.005 per share.
4	Annualized.
5	The increase in portfolio turnover for the year ended December 31, 2009 is due to the increase in
	investment securities held directly by the Fund. In prior years, the majority of the Fund’s investments
	were comprised of investments in other investment companies.

See accompanying notes to financial statements

107

SMA Relationship Trust

Notes to financial statements (unaudited)

1. Organization and significant accounting policies
SMA Relationship Trust (the “Trust”) is an open-end management investment company registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended. The Trust has five separate investment portfolios available for investment, each having its own investment objectives and policies: Series A, Series G, Series S, Series M and Series T (each a “Fund”, and collectively, the “Funds”). Each series covered by this report is diversified except for SMA Relationship Trust—Series A and Series M, which are non-diversified. The investment objective of Series A is to maximize total return, consisting of capital appreciation and current income. Series A pursues its investment objective by investing in securities and financial instruments to gain exposure to the global equity, global fixed income and cash equivalents markets, including global currencies. The investment objective of Series G is to provide long-term capital appreciation. Series G pursues its investment objective by investing in equity securities of issuers economically tied to a number of countries throughout the world, excluding the US. The investment objective of Series M is to seek total return consisting of capital appreciation and current income exempt from federal income tax. Series M pursues its investment objective by investing primarily in municipal bonds. The investment objective of Series S is to maximize total return, consisting of capital appreciation and current income, while controlling risk. Series S pursues its investment objective by investing in equity securities of US small capitalization companies. The investment objective of Series T is to maximize total return, consisting of income and capital appreciation by investing in securities, financial instruments and affiliated investment companies to gain exposure to certain sectors of the fixed income market.

In the normal course of business, the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had any prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

The Trust accounts separately for the assets, liabilities and operations of each series.

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative US generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied

108

SMA Relationship Trust

Notes to financial statements (unaudited)

by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The Funds’ financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The following is a summary of significant accounting policies:

A. Valuation of investments—Each Fund calculates its net asset value based on the current market value, where available, for its portfolio securities. The Funds normally obtain market values for their securities and other instruments from independent pricing sources and broker-dealers. Independent pricing sources may use reported last sale prices, official market closing prices, current market quotations or valuations from computerized “matrix” systems that derive values based on comparable securities or instruments. A matrix system incorporates parameters such as security quality, maturity and coupon, and/or research and evaluations by its staff, including review of broker-dealer market price quotations, if available, in determining the valuation of the portfolio securities or instruments. Securities and other instruments also may be valued based on appraisals derived from information concerning the security or instrument or similar securities or instruments received from recognized dealers in those holdings. Securities and instruments 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. Other OTC securities are valued at the last bid price on the valuation date available prior to valuation. Securities and instruments which are listed on US and foreign stock exchanges normally are valued at the market closing price, 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 and instruments listed on foreign stock exchanges may be fair valued based on significant events that have occurred subsequent to the close of the foreign markets. In cases where securities or instruments are traded on more than one exchange, the securities or instruments are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc. (“UBS Global AM” or the “Advisor”), the investment advisor of the Funds. UBS Global AM is an indirect wholly owned asset management subsidiary of UBS AG, an internationally diversified organization with headquarters in Zurich and Basel, Switzerland and operations in many areas of the financial services industry. If a market value is not readily available from an independent pricing source for a particular security or instrument, that security

109

SMA Relationship Trust

Notes to financial statements (unaudited)

or instrument is valued at fair value 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 or instrument’s fair value. These factors include, but are not limited to, fundamental analytical data relating to the investment; the nature and duration of restrictions on disposition of the securities or instruments; and the evaluation of forces which influence the market in which the securities or instruments are purchased and sold. Foreign currency exchange rates are generally determined as of the close of the New York Stock Exchange (”NYSE”).

Certain securities or instruments in which the Funds invest are traded in markets that close before 4:00 p.m., Eastern time. Normally, developments that occur between the close of the foreign markets and 4:00 p.m., Eastern time, will not be reflected in the Fund’s net asset value. However, if any of the Funds determine that such developments are so significant that they will materially affect the value of the Fund’s securities or instruments, the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities or instruments as of 4:00 p.m., Eastern time.

Certain Funds may use a systematic fair valuation model provided by an independent third party to value securities or instruments 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. The systematic fair valuation model may use calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures contracts. If a security or instrument is valued at a “fair value,” that value is likely to be different from the last quoted market price for the security or instrument. The use of the fair valuation model may result in securities being transferred between Level 1 and Level 2 of the fair valuation hierarchy at the end of the reporting period.

The amortized cost method of valuation, which approximates market value, generally is used to value short-term debt instruments with 60 days or less remaining to maturity, unless the Board determines that this does not represent fair value. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Pursuant to the Funds’ use of the practical expedient within ASC Topic 820, investments in non-registered investment companies are also valued at the daily net asset value. All investments quoted in foreign currencies will be valued daily in US

110

SMA Relationship Trust

Notes to financial statements (unaudited)

dollars on the basis of the foreign currency exchange rates prevailing at the time such valuation is determined by the Funds’ custodian.

Futures contracts are generally valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using forward exchange rates quoted by independent pricing services.

Swaps are marked-to-market daily based upon values from third party vendors or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statement of assets and liabilities. In the event that market quotations are not readily available or deemed unreliable, the swap is valued at fair value as determined in good faith by or under the direction of the Board.

GAAP requires disclosure regarding the various inputs that are used in determining the value of the Funds’ investments. These inputs are summarized into the three broad levels listed below:

Level 1—Unadjusted quoted prices in active markets for identical investments.

Level 2—Other significant observable inputs, including but not limited to, quoted prices for similar investments, interest rates, prepayment speeds and credit risk.

Level 3—Unobservable inputs inclusive of the Funds’ own assumptions in determining the value of investments.

A fair value hierarchy has been included near the end of each Fund’s Portfolio of investments.

In January 2010, FASB issued Accounting Standards Update (“ASU”) No. 2010-06, “Improving Disclosures about Fair Value Measurements” (“ASU 2010-06”). ASU 2010-06 requires reporting entities to make new disclosures about amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, including information on purchases, sales, issuances and settlements on a gross basis in the reconciliation of activity in Level 3 fair value measurements. The new and revised disclosures have been implemented

111

SMA Relationship Trust

Notes to financial statements (unaudited)

for annual and interim periods beginning after December 15, 2009. The disclosures surrounding purchases, sales, issuances and settlements on a gross basis in the reconciliation of Level 3 fair value measurements, have been implemented for the interim period beginning after December 15, 2010.

In April 2011, the FASB issued Accounting Standards Update No. 2011-03 (“ASU 2011-03”) which relates to the accounting for repurchase agreements and similar agreements, including mortgage dollar rolls, that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. ASU 2011-03 modifies the criteria for determining effective control of transferred assets and as a result certain agreements may now be accounted for as secured borrowings. ASU 2011-03 is effective prospectively for new transfers and existing transactions that are modified in the first interim or annual period beginning on or after December 15, 2011. Management is currently evaluating the implications of this change and its impact on the financial statements.

In May 2011, FASB issued Accounting Standards Update No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

The provisions of ASC Topic 815 “Derivatives and Hedging” (“ASC Topic 815”) require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk related contingent features in derivative agreements. Since investment companies value their

112

SMA Relationship Trust

Notes to financial statements (unaudited)

derivatives at fair value and recognize changes in fair value through the statement of operations, they do not qualify for hedge accounting under ASC Topic 815. Accordingly, even though a fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for purposes of disclosure under ASC Topic 815. ASC Topic 815 requires that (1) objectives for using derivative instruments be disclosed in terms of underlying risk and accounting designation, (2) the fair values of derivative instruments and their gains and losses be disclosed in a tabular format, and (3) information be disclosed about credit-risk contingent features of derivatives contracts. Details of this disclosure can be found below as well as in the Portfolio of investments. The volume of derivatives as disclosed in each Fund’s Portfolio of investments is representative of the volume of derivatives outstanding during the six months ended June 30, 2011, except for forward foreign currency contracts for SMA Relationship Trust—Series A, for which the average volume during the six month period was greater than at period end. SMA Relationship Trust—Series A is a seller of protection through credit default swap agreements which are by nature credit-risk contingent (the terms of these agreements can be found within the Portfolio of investments, with further discussion in the Notes to financial statements); however, the Funds are not aware of any additional credit-risk contingent features on other derivative contracts held by the Funds.

Disclosure of derivatives by underlying risk for each Fund as of and for the period ended June 30, 2011 is as follows:

SMA Relationship Trust—Series A
Asset derivatives
				Foreign
	Interest	Equity	Credit	exchange
	rate risk	risk	risk	risk	Total
Forward contracts1	$—	$—	$—	$309,608	$309,608
Options purchased1	—	1,125,500	—	0	1,125,500
Swap agreements1	126,660	—	110,604	—	237,264
Total value	$126,660	$1,125,500	$110,604	$309,608	$1,672,372

¹ Statement of assets and liabilities location: Unrealized appreciation on forward foreign currency contracts, Options purchased are shown within Investments in securities of unaffiliated issuers, at value and Outstanding swap agreements, at value.

113

SMA Relationship Trust

Notes to financial statements (unaudited)

SMA Relationship Trust—Series A
Liability derivatives
					Foreign
	Interest		Equity		exchange
	rate risk		risk		risk		Total
Forward contracts1	$—		$—		$(579,619	)	$(579,619	)
Futures contracts2	(92,588	)	(845,106	)	—		(937,694	)
Options written1	—		(202,768	)	(2,165	)	(204,933	)
Swap agreements1	(311,217	)	—		—		(311,217	)
Total value	$(403,805	)	$(1,047,874	)	$(581,784	)	$(2,033,463	)

1	Statement of assets and liabilities location: Unrealized depreciation on forward foreign currency contracts, Options written, at value and Outstanding swap agreements, at value.
2	Includes cumulative depreciation of futures contracts as reported in the futures contracts table in the Portfolio of investments, but only the unpaid variation margin is reported within the Statement of assets and liabilities within Due to broker.

Activities in derivative instruments during the period ended June 30, 2011, were as follows:

SMA Relationship Trust—Series A
							Foreign
	Interest		Equity		Credit		exchange
	rate risk		risk		risk		risk		Total
Net realized gain (loss)1
Forward contracts	$—		$—		$—		$(1,061,236	)	$(1,061,236	)
Futures contracts	20,958		(1,230,959	)	—		—		(1,210,001	)
Options purchased3	(73,686	)	(47,074	)	—		(41,986	)	(162,746	)
Options written	(328,858	)	35,028		—		41,986		(251,844	)
Swap agreements	25,114		—		339,475		—		364,589
Total net realized gain (loss)	$(356,472	)	$(1,243,005	)	$339,475		$(1,061,236	)	$(2,321,238	)
Net change in unrealized appreciation/depreciation2
Forward contracts	$—		$—		$—		$(8,417	)	$(8,417	)
Futures contracts	(87,020	)	(673,333	)	—		—		(760,353	)
Options purchased3	60,977		264,315		—		9,789		335,081
Options written	239,702		(51,643	)	—		4,898		192,957
Swap agreements	(222,975	)	—		(256,557	)	—		(479,532	)
Total net change in unrealized appreciation/depreciation	$(9,316	)	$(460,661	)	$(256,557	)	$6,270		$(720,264	)

114

SMA Relationship Trust

Notes to financial statements (unaudited)

1	Statement of operations location: Net realized gain (loss) on forward contracts, futures contracts, options written and swap agreements.
2	Statement of operations location: Change in net unrealized appreciation/depreciation on forward contracts, futures contracts, options written and swap agreements.
3	Realized and unrealized gain (loss) is included in net realized gain (loss) on investments and net change in unrealized appreciation/depreciation on investments.

SMA Relationship Trust—Series T
Asset derivatives
	Interest	Credit
	rate risk	risk	Total
Futures contracts1	$33,535	$—	$33,535
Swap agreements2	—	3,730	3,730
Total value	$33,535	$3,730	$37,265

1	Includes cumulative appreciation of futures contracts as reported in the futures contracts table in the Portfolio of investments, but only the unpaid variation margin is reported within the Statement of assets and liabilities within Due from broker.
2	Statement of assets and liabilities location: Outstanding swap agreements, at value.

SMA Relationship Trust—Series T
Liability derivatives
	Interest		Credit
	rate risk		risk		Total
Futures contracts1	$(44,664	)	$—		$(44,664	)
Swap agreements2	—		(18,020	)	(18,020	)
Total value	$(44,664	)	$(18,020	)	$(62,684	)

1	Includes cumulative depreciation of futures contracts as reported in the futures contracts table in the Portfolio of investments, but only the unpaid variation margin is reported within the Statement of assets and liabilities within Due to broker.
2	Statement of assets and liabilities location: Outstanding swap agreements, at value.

115

SMA Relationship Trust

Notes to financial statements (unaudited)

Activities in derivative instruments during the period ended June 30, 2011, were as follows:

SMA Relationship Trust—Series T
					Foreign
	Interest		Credit		exchange
	rate risk		risk		risk		Total
Net realized gain (loss)1
Forward contracts	$—		$—		$(35,178	)	$(35,178	)
Futures contracts	84,032		—		—		84,032
Swap agreements	—		(1,946	)	—		(1,946	)
Total net realized gain (loss)	$84,032		$(1,946	)	$(35,178	)	$46,908
Net change in unrealized appreciation/depreciation2
Futures contracts	$(11,129	)	$—		$—		$(11,129	)
Swap agreements	—		9,001		—		9,001
Total net change in unrealized appreciation/depreciation	$(11,129	)	$9,001		$—		$(2,128	)

1	Statement of operations location: Net realized gain (loss) on futures contracts, swap agreements and forward foreign currency contracts.
2	Statement of operations location: Change in net unrealized appreciation/depreciation on futures contracts and swap agreements.

B. Restricted securities—The Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if any, is included in each Fund’s Portfolio of investments.

C. Investment transactions and investment income—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 and expense are recorded 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 Fund, using reasonable diligence, becomes aware of such dividends. Interest income is recorded on the accrual basis. Discounts are accreted and premiums are

116

SMA Relationship Trust

Notes to financial statements (unaudited)

amortized as adjustments to interest income and the identified cost of investments.

D. Foreign currency translation—The Funds use the foreign currency exchange rates determined as of the close of regular trading on the NYSE. For purposes of calculating the US dollar equivalent value of a non-US dollar denominated obligation, foreign currency amounts are translated into US dollars on the following basis: (1) market value of investment securities and other assets and liabilities—at the exchange rates prevailing at the end of a Fund’s fiscal period; and (2) purchases and sales of investment securities and income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets and the market value of a Fund’s portfolio are presented at the foreign exchange rates at the end of a Fund’s fiscal period, a Fund does not generally isolate the effect of fluctuations in foreign exchange rates from the effect of the changes in market prices of securities. However, the Funds do isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign currency-denominated securities pursuant to US federal income tax regulations. Certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in or are a reduction of ordinary income in accordance with US federal income tax regulations.

E. Forward foreign currency contracts—A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include movement in the value of the foreign currency relative to the US dollar and the potential inability of the counterparty to meet the terms of the contract. The Funds (except Series M) may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions, manage currency risk or to gain exposure to a currency without purchasing securities denominated in that currency. Forward foreign currency contracts involve, to varying degrees, elements of market risk (specifically foreign currency risk).

A Fund will enter into forward contracts to sell, for a fixed amount of US dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when a Fund

117

SMA Relationship Trust

Notes to financial statements (unaudited)

enters into a non-cash settled forward contract to sell an amount of foreign currency, its custodian or sub-custodian will place assets in a segregated account of the Fund in an amount equal to the contract’s full notional value. However, currency contracts with respect to identical currencies may be netted against each other and, in such cases, a Fund’s custodian or sub-custodian will place assets in a segregated account of the Fund in an amount equal to the net amount owed (the unrealized loss) by the Fund. If the assets placed in the account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contracts.

The unrealized gain, if any, represents the credit risk to each Fund on a forward foreign currency contract. Fluctuations in the value of the open forward foreign currency contracts are recorded daily for book purposes as net unrealized gains or losses on foreign forward currency contracts by the Funds. Realized gains and losses include net gains and losses recognized by the Funds on contracts which have been sold or matured.

F. Futures contracts—Each Fund may purchase or sell financial futures contracts. The Funds may purchase or sell futures contracts to increase or reduce their exposure to an asset class without purchasing or selling the underlying securities, to manage the average duration of the Fund, or either as a hedge or to enhance the Funds’ overall total return, income or gains. Using financial futures contracts involves various market risks, including interest rate and equity risk. Risks of entering into futures contracts include the possibility that there may be an illiquid market or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. To the extent that market prices move in an unexpected direction, there is a risk that a Fund will not achieve the anticipated benefits of the futures contract or may realize a loss.

Upon entering into a futures contract, the Fund is required to deliver to a broker an amount of cash and/or 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 Fund each day, depending on the daily fluctuations in the value of the underlying futures contracts. Such variation margin is recorded as part of Due to or Due from broker for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the futures contract is closed or expires, at which time the net gain or loss is reclassified to realized gain or loss on futures.

118

SMA Relationship Trust

Notes to financial statements (unaudited)

G. Securities traded on to-be-announced basis—Series A and Series T may from time to time purchase mortgage-backed securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Fund commits to purchasing 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 Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, US government securities or other liquid high grade debt obligations are segregated in the Funds’ records 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.

H. Swap agreements—The Funds may engage in swap agreements, including but not limited to interest rate, currency and total return swap agreements. Series A, Series M and Series T may also engage in credit default swaps. The Funds expect to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible or in an attempt to enhance income or gains.

Each Fund may enter into interest rate swap agreements with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap agreement 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. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.

Credit default swap agreements involve commitments to make or receive payments in the event of a default or a credit event of a referenced security. As a buyer, the Fund would make periodic payments to the counterparty, and the Fund would receive payments only upon the occurrence of a credit event. If no credit event occurs, the Fund will lose its periodic stream of payments over the term of the contract. However, if a credit event does occur, the Fund typically would receive full notional value for a reference obligation that may have little or no value. As a seller, the Fund would receive periodic payments from the

119

SMA Relationship Trust

Notes to financial statements (unaudited)

counterparty, and the Fund would make payments only upon the occurrence of a credit event. If no credit event occurs, the Fund will gain the periodic stream of payments it received over the term of the contract. However, if a credit event occurs, the Fund will pay full notional value for a reference obligation that may have little or no value. Credit default swaps may involve greater risks than if the Fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return or payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of referenced credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.

The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of June 30, 2011 for which a Fund is the seller of protection are disclosed under the section “Credit default swaps on credit indices—sell protection” and “Credit default swaps on corporate issues—sell protection” in the Portfolio of investments. These potential amounts would be partially offset by any recovery

120

SMA Relationship Trust

Notes to financial statements (unaudited)

values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into, if any, by a Fund for the same referenced entity or entities.

The use of swap agreements involves investment techniques and risks different from those associated with ordinary portfolio security transactions. If UBS Global AM is incorrect in its forecast of market values, interest rates and other applicable factors, the investment performance of the Fund will be less favorable than it would have been if this investment technique was never used. Swap agreements do not involve the delivery of securities and are subject to counterparty risk. If the other party to a swap agreement defaults and fails to consummate the transaction, a Fund’s risk of loss will consist of the net amount of interest or other payments that the Fund is contractually entitled to receive. Therefore, the Funds would consider the creditworthiness of the counterparty to a swap agreement in evaluating potential credit risk.

The Fund accrues for interim payments on swap agreements on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swap agreements on the Statement of assets and liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap agreements, in addition to realized gain/loss recorded upon the termination of swap agreements on the Statement of operations. Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation of swap agreements.

I. Option writing—Certain Funds may write (sell) put and call options on foreign or US securities, indices, foreign currencies and interest rate swaps (commonly referred to as swaptions), in order to gain exposure to or protect against changes in the markets or in an attempt to enhance income or gains. When a Fund writes a call or a put option, an amount equal to the premium received by the Fund is included in the Fund’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 Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund 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

121

SMA Relationship Trust

Notes to financial statements (unaudited)

to such option is extinguished. If a call option which the Fund has written is exercised, the Fund recognizes a realized 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 a Fund has written is exercised, the amount of the premium originally received reduces the cost of the security or derivative instrument which the Fund purchases upon exercise of the option.

In writing an option, the Fund bears the market risk of an unfavorable change in the price of the derivative instrument, security, index or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a derivative instrument, security or currency at a price different from current market value.

J. Purchased options—Certain Funds may purchase put and call options on foreign or US securities and indices and interest rate swaps (commonly referred to as swaptions), as well as exchange-listed call options on particular market segment indices to achieve temporary exposure to a specific security, industry or geographic region. Purchasing call options tends to increase exposure to the underlying instrument. Purchasing put options tends to decrease exposure to the underlying instrument. The Fund 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 futures, security or currency transaction to determine the realized gain or loss.

K. Dividends and distributions—It is each Fund’s policy to distribute its respective net investment income, if any, monthly, except for Series A, Series G and Series S, which will distribute their respective net investment income, if any, annually. The Funds will distribute their respective net capital gains, if any, typically in December. The Funds may pay additional dividends and/or capital gains distributions in a given year to the extent necessary to avoid the imposition of federal excise tax on the Fund. Dividends and distributions to shareholders are recorded on the ex-distribution date. The amounts of dividends from net investment income and distributions from net realized capital gains and/or return

122

SMA Relationship Trust

Notes to financial statements (unaudited)

of capital are determined in accordance with US federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent they 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.

L. 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 some Funds in the Trust invest.

Small capitalization (“small cap”) companies may be more vulnerable than larger capitalization (“large cap”) 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 large cap companies or the market averages in general and therefore may involve greater risk than investing in large cap 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 moderated growth prospects.

The ability of the issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region.

M. Commission recapture program—Series A, Series G and Series M participate in a brokerage commission recapture program, whereby the Funds have established commission recapture arrangements with certain participating brokers or dealers. If a Fund’s investment manager chooses to execute a transaction through a participating broker subject to best price and execution, the broker will rebate a portion of the commission back to the Fund. Any collateral benefit received through participation in the commission recapture

123

SMA Relationship Trust

Notes to financial statements (unaudited)

program is directed exclusively to the Fund. For the period ended June 30, 2011, the following Funds recorded recaptured commissions which are reflected on the Statement of operations within the net realized gains (losses) on investment activities:

Fund	Amount
Series G	$10,922

2. Investment advisory and administration fees and other transactions with affiliates
The Funds’ Board has approved an investment advisory and administration contract (“Advisory Contract”) with UBS Global AM under which UBS Global AM serves as investment advisor and administrator of the Funds. Pursuant to the Advisory Contract, the Funds will not pay a fee to UBS Global AM for investment advisory services provided by UBS Global AM.

UBS Global AM (not the Funds) pays all ordinary operating expenses, excluding extraordinary expenses, incurred by the Funds.

The Funds may invest in shares of certain affiliated investment companies also sponsored by the Advisor. Investments in affiliated investment companies for the period ended June 30, 2011 have been included near the end of each Fund’s Portfolio of investments.

3. Purchases and sales of securities
For the period ended June 30, 2011, aggregate purchases and sales of portfolio securities, excluding short-term investments and US Government and agency securities, were as follows:

		Sales
Fund	Purchases	proceeds
Series A	$3,715,536	$4,077,559
Series G1	269,330,682	27,211,669
Series M	161,366,442	144,182,955
Series S2	75,375,263	16,777,709
Series T	144,663,768	154,712,219

1	For the period May 6, 2011 (commencement of operations) through June 30, 2011.
2	For the period May 2, 2011 (commencement of operations) through June 30, 2011.

124

SMA Relationship Trust

Notes to financial statements (unaudited)

For the period ended June 30, 2011, aggregate purchases and sales of US Government and agency securities, excluding short-term investments, were as follows:

		Sales
Fund	Purchases	proceeds
Series T	$51,136,740	$51,091,911

4. Federal income taxes
It is each Fund’s policy to comply with all requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their taxable income to their shareholders. 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 Fund intends not to be subject to a federal excise tax. Accordingly, no federal income tax provision was required.

The tax character of distributions paid during the fiscal year ended December 31, 2010 were as follows:

	2010
	Distributions paid		Total
	from ordinary	Return of	distributions
Fund	income	capital	paid
Series A	$712,678	$—	$712,678
Series M	7,751,3641	—	7,751,364
Series T	8,781,486	300,917	9,082,403

¹ $7,710,679 considered tax exempt.

The tax character of distributions paid and components of accumulated earnings (deficit) on a tax basis for the current fiscal year will be determined after the Trust’s fiscal year ending December 31, 2011.

125

SMA Relationship Trust

Notes to financial statements (unaudited)

At December 31, 2010, the following Funds had net capital loss carryforwards for federal income tax purposes available to offset future capital gains through the indicated expiration dates:

	Expiration dates—December 31,
Fund	2014	2015	2016	2017	2018
Series A	$—	$—	$—	$10,658,528	$2,929,233
Series M	—	—	13,375,210	10,396,958	—
Series T	1,783,640	—	109,991,161	115,570,788	21,332,904

Post-October losses are deemed to arise on the first business day of a Fund’s next taxable year. For the year ended December 31, 2010, Series A incurred, and elected to defer, $158,375 of net realized foreign currency losses; Series M incurred, and elected to defer, $746,950 of net realized capital losses and Series T incurred, and elected to defer, $4,956,718 of net realized capital losses.

As of and during the period ended June 30, 2011, the Funds did not have any liabilities for any unrecognized tax positions. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as income tax expense in the Statement of operations. During the period ended June 30, 2011, the Funds did not incur any interest or penalties.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, each Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.

126

SMA Relationship Trust

Notes to financial statements (unaudited)

Each of the tax years in the four year period ended December 31, 2010, remains subject to examination by the Internal Revenue Service and state taxing authorities.

5. Shares of beneficial interest
For the period ended June 30, 2011 and the year ended December 31, 2010, transactions in shares of beneficial interest for each of the Funds were as follows:

	Period ended June 30, 2011
				Net increase
				(decrease) in
		Shares		shares
Fund	Shares sold	repurchased		outstanding
Series A	1,327,635	(999,725	)	327,910
Series G1	25,216,703	(662,940	)	24,553,763
Series M	5,903,805	(4,965,784	)	938,021
Series S2	7,521,323	(1,492,059	)	6,029,264
Series T	7,353,325	(10,795,821	)	(3,442,496	)

1	For the period May 6, 2011 (commencement of operations) through June 30, 2011.
2	For the period May 2, 2011 (commencement of operations) through June 30, 2011.

	Year ended December 31, 2010
				Net increase
				(decrease) in
		Shares		shares
Fund	Shares sold	repurchased		outstanding
Series A	1,771,651	(1,233,434	)	538,217
Series M	7,090,142	(6,989,495	)	100,647
Series T	8,193,921	(10,522,710	)	(2,328,789	)

127

SMA Relationship Trust

General information (unaudited)

Quarterly Form N-Q portfolio schedule
The Funds will file their 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 Funds’ Forms N-Q are available on the SEC’s Web site at http://www.sec.gov. The Funds’ 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 Funds upon request by calling 1-800-647 1568.

Proxy voting policies and procedures record
You may obtain a description of the Funds’ (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Funds 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 Funds directly at 1-800-647 1568, online on UBS’s Web site: www.ubs.com/ubsglobalam-proxy, or on the EDGAR Database on the SEC’s Web site (http://www.sec.gov).

128

SMA Relationship Trust

Board approval of investment advisory agreements (unaudited)

At the meeting of the Board of Trustees (the “Board”) of SMA Relationship Trust (the “Trust”), held on June 9 and 10, 2011 (the “Meeting”), the Board, consisting entirely of Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust or UBS Global Asset Management (Americas) Inc. (the “Advisor”) and its affiliates (together, the “Independent Trustees”), considered the continuation of the investment advisory agreements (the “Advisory Agreements”) between the Trust and the Advisor for Series A, Series M and Series T (each a “Fund,” and together, the “Funds”). Prior to the Meeting, the Independent Trustees’ counsel had sent to the Advisor a request detailing the information that the Independent Trustees wished to receive in connection with their consideration of the continuation of the Advisory Agreements. The Independent Trustees met with their independent counsel, as well as an independent consultant engaged by the Board to assist in the annual Advisory Agreement review process, on May 23, 2011, June 9, 2011 and June 10, 2011, to discuss the materials provided to them in response to the information request, including materials prepared by the Advisor, as well as reports prepared by Lipper Inc. (“Lipper Reports”), an independent statistical compilation company, providing comparative expense and performance information for the Funds. The Board also made reference to information and material that had been provided to the Independent Trustees throughout the year at quarterly Board meetings.

At the Meeting, the Board considered a number of factors in connection with its deliberations concerning the continuation of the Advisory Agreement for each Fund, including: (i) the nature, extent, and quality of the services provided by the Advisor to the Fund; (ii) the performance of the Fund and the Advisor; (iii) the Fund’s expenses, costs of the services to be provided and profits to be realized by the Advisor and its affiliates from the relationship with the Fund; and (iv) whether economies of scale are realized by the Advisor with respect to the Fund, as it grows larger, and the extent to which the economies of scale are reflected in the level of the management fees charged.

Nature, extent, and quality of services—In considering the nature, extent, and quality of the services provided by the Advisor to a Fund, the Board reviewed the material presented by the Advisor describing the various services provided to the Fund. The Board noted that in addition to investment management services, the Advisor provides each Fund with operational, legal, and compliance support. The Board also considered the scope and depth of the Advisor’s organization and the experience and expertise of the professionals currently providing investment management and other services to the Funds. The Board considered that the

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Board approval of investment advisory agreements (unaudited)

Advisor was a well-established investment management organization employing investment personnel with significant experience in the investment management industry. The Board also considered the Advisor’s in-house research capabilities, as well as other research services available to it, including research services available to the Advisor as a result of securities transactions effected for the Funds and the Advisor’s other investment management clients, and noted that the Advisor had extensive global research capabilities. The Board also evaluated the Advisor’s portfolio management process for each Fund, including the use of risk management techniques and the proprietary technologies utilized to structure the Fund’s portfolio. The Board noted that various presentations had been made by investment personnel at Board meetings throughout the year concerning the Funds’ investment performance and investment strategies.

The Board also noted and discussed the services that the Advisor and its affiliates provide to the Funds under other agreements with the Trust including administration services provided by the Advisor and underwriting services provided by UBS Global Asset Management (US) Inc. (“UBS Global AM (US)”). The Board also discussed the annual written compliance report from the Chief Compliance Officer and noted enhancements undertaken and planned with respect to the compliance program. After analyzing the services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent, and quality of services provided to each Fund were consistent with the operational requirements of each Fund, and met the needs of the Fund’s shareholders.

Performance—In evaluating the performance of each Fund, the Board analyzed the Lipper Reports, which compared the performance of each Fund with other funds in its respective peer universe for various time periods. In reviewing the Lipper Reports, the Board noted that Series M and Series T had each appeared in one of the top three performance quintiles for the one-year performance period. At the Board’s request, the Advisor addressed the performance data for Series A, which had appeared in the lowest performance quintile for the one-year period.

In explaining the performance of Series A, the Advisor discussed the factors that had affected the short-term and longer-term performance of the Fund. The Advisor explained that after the market turmoil in 2008, the Advisor implemented strategy enhancements to provide more protection for the Fund against downside risk in

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order to further the Fund’s goal of providing positive returns in a variety of market environments. The Advisor stated that during the one-year performance period, the Fund’s more conservative stance with respect to risk may have impacted the performance of Series A relative to its peers. The Advisor also described for the Board the modifications that had been made to the security selection process for Series A, which management believes will enhance the Fund’s performance.

The Board concluded that the Advisor’s explanations provided a sound basis for understanding the performance of Series A in comparison to its peer universe. The Board determined, after analyzing the performance data, that the performance of each Fund was acceptable as compared with relevant performance standards, given the investment strategies and risk profile of each Fund, the expectations of the shareholder base, the current market environment and the Advisor’s efforts to address the underperformance issues of Series A.

Costs and expenses—The Board noted that the Funds do not pay advisory fees to the Advisor under the Advisory Agreements and that the Advisor assumes all the ordinary operating expenses for the Funds.

Profitability—In considering the profitability of the Funds to the Advisor and its affiliates, the Board noted that neither the Advisor nor its affiliates receive any compensation for providing advisory or administrative services to the Funds. The Board also considered “fall-out” or ancillary benefits to the Advisor or its affiliates as the result of their relationship with the Funds; for example, the ability to attract other clients due to the Advisor’s role as investment advisor to the Funds, including the investment by wrap fee clients in the Funds as a means to deliver certain investment styles and the research services available to the Advisor through soft dollar brokerage commissions. The Independent Trustees also considered the ancillary benefits received by the Advisor’s affiliates, UBS Securities LLC and UBS AG, in the form of commissions for executing securities transactions for the Funds. Upon closely examining the information provided concerning the Advisor’s profitability, the Board concluded that the level of profits realized by the Advisor and its affiliates with respect to each Fund, if any, was reasonable in relation to the nature and quality of the services that were provided.

Economies of scale—The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of advisory fees charged. The Board

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concluded that economies of scale and the reflection of such economies of scale in the level of advisory fees charged were inapplicable to each Fund because each Fund was not charged an advisory fee under its Advisory Agreement.

After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, with the assistance of independent counsel, concluded that the continuation of the Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders.

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Trustees
Frank K. Reilly	John J. Murphy
Chairman
	Edward M. Roob
Adela Cepeda
	Abbie J. Smith
Shawn Lytle
	J. Mikesell Thomas
Principal Officers
Mark E. Carver	Thomas Disbrow
President	Vice President and Treasurer
Mark F. Kemper
Vice President and Secretary

Investment Advisor and Administrator

UBS Global Asset Management (Americas) Inc.

One North Wacker Drive

Chicago, IL 60606-2807

The financial information included herein is taken from the records of the Funds without examination by independent registered public accountants who do not express an opinion thereon.

This report is sent to the shareholders of the Funds for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.

© 2011 UBS Global Asset Management (Americas) Inc. All rights reserved.

© 2011 UBS Global Asset Management (Americas) Inc.

UBS Global Asset Management (Americas) Inc. is a

subsidiary of UBS AG.

All rights reserved.

August 2011

www.ubs.com/globalam-us

Item 2. Code of Ethics.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 3. Audit Committee Financial Expert.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 4. Principal Accountant Fees and Services.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 5. Audit Committee of Listed Registrants.

Not applicable to the registrant.

Item 6. Schedule of Investments.

(a) Included as part of the report to shareholders filed under Item 1 of this form.
(b) Not Applicable.

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 Committee will consider nominees recommended by Qualifying Fund Shareholders if an Independent Trustee vacancy on the Board occurs. A Qualifying Fund Shareholder is a shareholder that: (i) owns of record, or beneficially through a financial intermediary, 1/2 of 1% or more of the Trust’s outstanding shares and (ii) has been a shareholder of at least 1/2 of 1% of the Trust’s total outstanding shares for 12 months or more prior to submitting the recommendation to the Nominating Committee. In order to recommend a nominee, a Qualifying Fund Shareholder should send a letter to the chairperson of the Nominating Committee, Ms. Adela Cepeda, care of Mark Kemper, the Secretary of the SMA Relationship Trust, at UBS Global Asset Management, One North Wacker Drive, Chicago, Illinois 60606, and indicate on the envelope “Nominating Committee.” The Qualifying Fund Shareholder’s letter should include: (i) the name and address of the Qualifying Fund Shareholder making the recommendation; (ii) the number of shares of each class and series of shares of the Trust which are owned of record and beneficially by such Qualifying Fund Shareholder and the length of time that such shares have been so owned by the Qualifying Fund Shareholder; (iii) a description of all arrangements and understandings between such Qualifying Fund Shareholder and any other person or persons (naming such person or persons) pursuant to which the recommendation is being made; (iv) the name and address of the nominee; and (v) the nominee’s resume or curriculum vitae. The Qualifying Fund Shareholder’s letter 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 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 (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter 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 – Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.
(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.

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.

SMA Relationship Trust

By:	/s/ Mark E. Carver
	Mark E. Carver
	President
Date:	September 8, 2011

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/ Mark E. Carver
	Mark E. Carver
	President
Date:	September 8, 2011
By:	/s/ Thomas Disbrow
	Thomas Disbrow
	Vice President and Treasurer
Date:	September 8, 2011