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Hey Claus,
There are several 3rd party tools which make this transition possible, and in most cases, you won't lose anything (hot cues / crates / etc).
ATGR has a couple of tools depending on the application.
rekordcloud uses a cloud-based platform to migrate your data.
Rekord Buddy is an open-source option to convert your library into rekordbox.
As a Serato DJ since its inception, when I moved my collection over to rekordbox, I wanted to make sure it was done properly, and did not lose any grid changes or hot cues I added to the songs. While there is no built-in tool, these apps all provide great features I'd recommend you check out.