Mortgage Aggregator Series Trust Administrator, L.P.

(A Delaware series limited partnership)

Financial Statements as of and

for the year ended December 31, 2024 and Independent Auditor’s Report

MORTGAGE AGGREGATOR SERIES TRUST ADMINISTRATOR, L.P.

(A DELAWARE SERIES LIMITED PARTNERSHIP)

TABLE OF CONTENTS

Page

INDEPENDENT AUDITOR’S REPORT 1

FINANCIAL STATEMENTS AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2024:

Statements of Assets, Liabilities, and Partners’ Capital 3

Condensed Schedules of Investments 4

Statements of Operations 5

Statements of Changes in Partners’ Capital 6

Statements of Cash Flows 7

Notes to Financial Statements 9

INDEPENDENT AUDITOR’S REPORT

To Mortgage Aggregator Series Trust Administrator, L.P.:

Opinion

We have audited the statements of assets, liabilities, and partners’ capital of Mortgage Aggregator Series Trust Administrator, L.P. (the “Partnership”), comprising Mortgage Aggregator Series Trust Administrator,

L.P. – Series A, Mortgage Aggregator Series Trust Administrator, L.P. – Series C, Mortgage Aggregator Series Trust Administrator, L.P. – Series D and Mortgage Aggregator Series Trust Administrator, L.P. – Series E (“Series E”) (collectively, the "Series"), including the condensed schedules of investments, as of December 31, 2024, and the related statements of operations, changes in partners’ capital, and cash flows for the year then ended for the Series, except for Series E; the related statements of operations, changes in partners’ capital, and cash flows for the period from May 29, 2024 (commencement of operations) through December 31, 2024 for Series E; and the related notes to the financial statements (collectively referred to as the “financial statements”).

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of each of the Series, except Series E as of December 31, 2024, and the results of their operations, changes in their partners’ capital, and their cash flows for the year then ended, in accordance with accounting principles generally accepted in the United States of America. Also, in our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of Series E as of December 31, 2024, and the results of its operations, changes in its partner’s capital, and its cash flows for the period from May 29, 2024 (commencement of operations) through December 31, 2024 in accordance with accounting principles generally accepted in the United States of America.

Basis for Opinion

We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Partnership and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Responsibilities of Management for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America, and for the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Series’ ability to continue as a going concern for one year after the date that the financial statements are available to be issued.

Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements.

In performing an audit in accordance with GAAS, we:

We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control-related matters that we identified during the audit.

March 21, 2025

STATEMENTS OF ASSETS, LIABILITIES, AND PARTNERS’ CAPITAL DECEMBER 31, 2024

A All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on December 29, 2024.

B All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on February 12, 2025.

CONDENSED SCHEDULES OF INVESTMENTS

DECEMBER 31, 2024

A Includes investments pledged as collateral for borrowings under repurchase agreements as described in Note 4.

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED DECEMBER 31, 2024

A All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on December 29, 2024.

B All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on February 12, 2025.

C For the period from May 29, 2024 (commencement of operations) to December 31, 2024.

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL FOR THE YEAR ENDED DECEMBER 31, 2024

A All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on December 29, 2024.

B All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on February 12, 2025.

C For the period from May 29, 2024 (commencement of operations) to December 31, 2024.

STATEMENTS OF CASH FLOWS

FOR THE YEAR ENDED DECEMBER 31, 2024

A All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on December 29, 2024.

B All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on February 12, 2025.

C For the period from May 29, 2024 (commencement of operations) to December 31, 2024.

STATEMENTS OF CASH FLOWS (CONTINUED)

FOR THE YEAR ENDED DECEMBER 31, 2024

A All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on December 29, 2024.

B All the investments were sold during the year ended December 31, 2024. Final distribution payment was made on February 12, 2025.

C For the period from May 29, 2024 (commencement of operations) to December 31, 2024.

Mortgage Aggregator Series Trust Administrator, L.P. is an investment company organized as a series limited partnership under the laws of Delaware. The “Partnership” as used hereafter will refer to Mortgage Aggregator Series Trust Administrator, L.P. The Partnership was formed on February 17, 2022.

Apollo Principal Holdings VI, L.P. (the “General Partner”), a Cayman Islands exempted limited partnership, is the general partner of the Partnership. The Partnership has entered into an agreement with Apollo Global Real Estate Management, L.P. (the “Investment Manager”) to provide administrative and management services to the Partnership. The Investment Manager, a Delaware limited partnership, is an affiliate of Apollo Global Management, Inc. and its subsidiaries (“Apollo”). The Limited Partners of the Partnership and the General Partner are collectively referred to as the “Partners.”

The Partnership has established a designated series of partnership interests (“Series”) in accordance with amended and restated Limited Partnership Agreement (the “Agreement”) and Section 17-218 of the Delaware Revised Uniform Limited Liability Partnership Act (the “Act”). Each Series will be treated as a completely distinct investment portfolio with (i) separate rights, powers, duties and management from other Series Interests, and (ii) exclusive rights with respect to the property, obligations, profits, and losses associated with the Series Interests and all proceeds derived therefrom.

The Partnership has established several Series with different investment strategies. Below are the investment strategies of each Series:

Series B was inactive as of and during the year ended December 31, 2024. Series C and Series D sold all the investments during the year ended December 31, 2024 and are inactive as of December 31, 2024. The final distribution payments for Series C and Series D were made on December 29, 2024 and February 12, 2025, respectively.

Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the amended and restated exempted limited Partnership agreement and Supplements (the “Partnership Agreement”).

The following is a summary of significant accounting policies followed by the Partnership in the preparation of the financial statements.

Investments held by the Partnership that are listed on a securities exchange or in comparable over-the-counter quotation systems are valued based on the last reported sale price as of the date of determination. If no sales of such investments are reported on such date, and in the case of over-the-counter positions for which the last sales price is not available, valuations are based on independent market quotations obtained from market participants, recognized pricing services, or other sources deemed relevant when available. Prices are based on the average of the “bid” and “ask” prices, or at ascertainable prices at the close of business on such day. Market quotations are generally based on valuation pricing models or market transactions of similar investments adjusted for investment-specific factors, such as relative capital structure priority and interest and yield risks, among other factors.

Fair values of investments that are quoted in established dealer or other similar markets are determined by the Investment Manager as of the date of determination (or the nearest date to such date if quotations are not available) from a reputable third-party market maker or financial institution regularly engaged in the practice of trading in or pricing such instruments.

If market quotations are not available from a third-party pricing service or a dealer, the fair value of the investment is determined by the Investment Manager using valuation approaches that may include the use of unobservable inputs. Valuation approaches include the market approach, the income approach, and the recovery approach. The market approach provides an indication of fair value based on comparison of the subject investment to comparable investments and transactions in the industry. This approach is driven by current market conditions of actual trading levels and transaction data of similar investments. The fair value under the market approach is also derived by reference to observable valuation measures for comparable companies by utilizing key performance metrics of the investee company and relevant valuation multiples observed in the range of comparable companies. The income approach provides an indication of fair value based on the present value of cash flows that a business or financial instrument is expected to generate in the future. The most widely used methodology in the income approach is the discounted cash flow method. Inherent in the discounted cash flow method are assumptions of expected results and a calculated discount rate. In the recovery approach, the Investment Manager assesses an investment’s value based on the underlying recoverable assets netted against any related liabilities. The Partnership carries the related investment based on its portion of the recoverable assets, which approximates the value the Investment Manager believes would be recovered in the event of a sale. Because of the inherent uncertainty of valuation, estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.

On a quarterly basis, the Investment Manager utilizes a valuation committee, consisting of members from Apollo senior management, to review and approve the valuation results related to certain investments. The Investment Manager also retains independent valuation firms to provide third-party valuation consulting services to Apollo, which consist of certain limited valuation procedures identified by management. The limited procedures provided by the independent valuation firms assist management with validating their valuation results or determining fair value. The Investment Manager performs various back-testing procedures to validate its valuation approaches, including comparisons between expected and observed outcomes, forecast evaluations and variance analyses.

Interest income from investments in debt instruments is accrued according to contractual terms, provided that management believes collection of such amounts is reasonably assured.

$3,518.

Borrowings under repurchase agreements are carried at their contractual amount, which approximates fair value.

U.S. GAAP guidance applicable to fair value measurements clarifies the definition of fair value for financial reporting, establishes a hierarchical framework that prioritizes and ranks the level of market price observability used in measuring fair value and requires enhanced disclosures about fair value measurements. Market price observability is impacted by a number of factors, including the type of investment, the characteristics specific to the investment, and the state of the marketplace (including the existence and transparency of transactions between market participants). Investments with readily available actively quoted prices or for which fair value can be measured from actively quoted prices in an orderly market will generally have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments recorded at fair value in the accompanying Statements of Assets, Liabilities, and Partners’ Capital are categorized based upon the level of judgment associated with the inputs used to measure their fair value. Hierarchical levels directly related to the amount of subjectivity associated with inputs to the fair valuation of these assets are as follows:

Level I ― Quoted prices are available in active markets that the Partnership has the ability to access for identical assets or liabilities as of the reporting date. Level I assets or liabilities generally include listed equities, listed money market funds, and listed derivatives. As required by U.S. GAAP, the Partnership does not adjust the quoted price for these assets and liabilities, even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

Level II ― Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. These inputs may include quoted prices for identical instruments on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curve, default rate, and similar data. Level II assets or liabilities generally include certain corporate bonds, convertible bonds, bank loans, digital assets and certain derivatives whose fair value is determined through the use of broker or third party pricing service quotes with higher levels of liquid market observability than Level III assets or liabilities.

Level III ― Significant pricing inputs are unobservable and include situations where there is little, if any, market activity for the asset or liability, including situations whereby the Partnership is restricted from redeeming all or a portion of the asset or liability. The inputs into the determination of fair value require significant management judgment or estimation. Level III assets or liabilities generally include private or restricted common equity and preferred interests in companies, corporate bonds and bank loans, and certain derivatives. Fair value is determined through the use of models or other valuation methodologies that are not based on market-corroborated inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Partnership’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.

The following table summarizes the valuation of the Partnership’s investments within the fair value hierarchy levels as of December 31, 2024:

The additions and transfers of assets (liabilities) classified as Level III investments for the year ended December 31, 2024, are shown in the below table. Classifications of the investment description may vary from prior year:

Transfers of investments in or out of Level III, if any, are recorded as of the end of the reporting period. Assets and liabilities are transferred from Level II to Level III or from Level III to Level II as a result of changes in levels of liquid market observability when subject to various criteria, as discussed above.

The table below summarizes information about the significant unobservable inputs used in determining the fair value of the Level III assets and liabilities, as of December 31, 2024:

There have been no material changes to the valuation approaches utilized during the year ended December 31, 2024.

As of December 31, 2024, the Partnership’s Series E had outstanding borrowings under repurchase agreements with one counterparty. The following table presents certain characteristics of the repurchase agreements as of December 31, 2024:

A Carrying value plus accrued interest approximates fair value.

B At December 31, 2024, the fair value of assets pledged as collateral was $277.1 million.

The Partnership has elected not to offset assets and liabilities in the accompanying Statements of Assets, Liabilities, and Partners’ Capital that may be received or paid as part of collateral arrangements, even when an enforceable master netting arrangement or other agreement is in place that provides the Partnership, in the event of counterparty default, the right to liquidate collateral and the right to offset a counterparty’s rights and obligations. The following tables present the offsetting of financial assets and liabilities as of December 31, 2024:

Amounts in the preceding table have been limited to the liability balance, and accordingly, do not include any excess collateral pledged.

Limited Partners, with the approval of the General Partner, may make capital contributions to the Partnership on the first calendar day of each calendar month and at such other times as the General Partner may permit.

From time to time, The General Partner may, in its sole discretion, make cash distributions to Limited Partners. Furthermore, a Limited Partner may withdraw all or a portion of its capital balance as of any calendar day consented to by the General Partner.

In accordance with the Partnership Agreement, net income and losses of each Series in the Partnership are generally allocated to the Series’ Partners in proportion to their respective “partnership percentage” for the Series, as defined in the Partnership Agreement, as of the beginning of each month.

The Partnership is responsible for all costs and expenses incurred in connection with the Partnership’s operations (“Operating Expenses”) as defined in the Partnership Agreement. To the extent such Operating Expenses are paid by the Investment Manager or the General Partner, those entities shall be reimbursed by the Partnership. Included in professional fees are audit, legal, tax preparation and tax compliance. Other expenses include but are not limited to custody fees, transfer agent expenses, bank charges, brokerage commissions and other investment costs, costs of preparing reports to the Limited Partners, consultants and other outside advisors (e.g., consultants for special projects relating to the operation of the Partnership, operating partners for specific deal related work including out of pocket expenses) including financial and tax accounting reporting services and fund administrative services, costs or expenses incurred with respect to any market information systems, pricing and valuation services including expenses of any appraiser in connection with the valuation of investments or other property of the Partnership, costs associated with the establishment and maintenance of any credit facility, costs of maintaining compliance with all federal, state, and local rules or regulations or any other regulatory agency, insurance, taxes, and costs of litigation relating to the business of the Partnership.

Included in affiliated expenses are fees, costs, and expenses (including associated overhead costs) incurred in connection with services performed by personnel or employees of Apollo. These services may include, without limitation, reimbursement to Apollo of the compensation paid to employees for certain bookkeeping and record keeping services, investor relations assistance, valuation, finance, administration, accounting, legal, tax, risk, audit support, and systems support.

The foregoing categories of fees, costs, expenses, and other liabilities shall be Operating Expenses regardless of whether the person providing or performing the service or output giving rise to such fees, costs, expenses, or other liabilities is the General Partner, the Investment Manager or any of their affiliates or a third-party. The General Partner, the Investment Manager, and their respective affiliates shall be entitled to reimbursement from the Partnership for any such Operating Expenses paid and/or incurred by them on behalf of the Partnership, including fees, costs and expenses, and allocated portions of Overhead incurred in connection with services performed by personnel or employees of the General Partner, the Investment Manager, and/or their affiliates that are deemed to be services, fees, costs, and expenses for which constitute Operating Expenses.

The Partnership has entered into an administration agreement with Citco Fund Services (the “Administrator”), pursuant to which the Administrator maintains the Partnership’s official books and records and provides accounting services, investor relations, and audit support. A fee is charged to the Partnership for such services as negotiated by Apollo and the Administrator. The fee charged by the Administrator is reflected in administration fees in the accompanying Statements of Operations. Administration fees may also include fees charged by other administrators which are utilized for local administration services. Any incurred but not yet paid administration fees as of December 31, 2024, are included in administration fees payable in the accompanying Statements of Assets, Liabilities, and Partners’ Capital.

For the year ended December 31, 2024, there were no fees allocable to Series A, Series C, Series D and Series E, respectively and no fees were paid to consolidated affiliates of Apollo for Capital Solution services performed. The Partnership or the Partnership’s portfolio companies may have directly or indirectly paid Capital Solution fees to non-consolidated affiliates of Apollo.

The Partnership’s investment activities expose it to various types of risk, both on- and off-balance sheet, which are associated with the financial instruments and markets in which it invests. These financial instruments expose the Partnership in varying degrees to elements of credit, market, interest rate, currency, and liquidity risk. Credit risk is the potential loss that may be incurred from the failure of a counterparty or brokers to make payments according to the terms of a contract. Market risk is the potential loss that may be incurred as a result of changes in the fair value of a particular financial instrument. Interest rate risk is the potential loss that may be incurred as a result of fluctuations in interest rates, and currency risk is the potential loss that may be incurred as a result of fluctuations in the currency in which a particular financial instrument is denominated. Liquidity risk is the risk that arises from the difficulty of selling an asset in a timely manner at prevailing fair value in an orderly market.

The Partnership’s investments include lower-rated and comparable quality unrated distressed investments and other instruments. Investments in such debt instruments are accompanied by a greater degree of risk of loss due to default by the issuer because such debt instruments are generally unsecured and subordinated to other creditors of the issuer. These issuers usually have high levels of indebtedness and are more sensitive to adverse market conditions, such as a recession or increasing interest rates, than are higher rated issuers. In order to manage such risk, the Investment Manager subjects each prospective investment to rigorous credit analysis and makes an investment decision only on those instruments based upon objectives that include capital preservation, high income, and prudent industry and issuer diversification. In connection with purchasing loans in the form of participations in loans or assignments, the Partnership generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Partnership may not benefit directly from any collateral supporting the loan. As a result, the Partnership may assume the credit risk of both the borrower and the lender that is selling the loan on participation. The Partnership’s investment in loan participation interests also bears the risk of insolvency of the financial intermediaries who are parties to the transactions.

The Partnership (through Series A and Series E) may make investments and hold cash balances that are denominated in currencies other than the U.S. Dollar. Consequently, the Partnership is exposed to risks that the exchange rate of the U.S. Dollar relative to other currencies may change in a manner that has an adverse effect on the reported value of that portion of the Partnership’s assets or liabilities which are denominated in currencies other than the U.S. Dollar.

The following represents the financial highlights for the Limited Partner class for the year ended December 31, 2024 for Series A, Series C, Series D and Series E. For Series C and Series D, the following represents the financial highlights calculated through the October 31, 2024 and December 29, 2024, respectively, the date all investments were sold and final distributions were determined.

The ratios are computed based upon the simple average of each Series’ net assets at the end of each month of the Series. The net investment income (loss) and expense ratios for Series E have been annualized, excluding Professional fees, non-recurring fees and expenses while the net investment income (loss) and expense ratios for Series A, Series C and Series D have been calculated as a whole.

Total return is calculated separately for each Series.

Calculations of these ratios and total return on an individual Limited Partner basis may yield results that vary from those stated above based upon the timing of individual capital transactions.

For the period from January 1, 2025 to March 21, 2025, Series D had paid the remaining distributions payable amounting to $3,518.

Management has evaluated all subsequent events or transactions for potential recognition or disclosure through March 21, 2025, the date on which these financial statements were available to be issued and has determined that there were no additional subsequent events requiring adjustment to or disclosure in the accompanying financial statements.

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