Notes to Consolidated Financial Statements

March 31, 2023

1. Organization

StepStone Private Markets (“Fund”) (formerly known as Conversus StepStone Private Markets) was organized as a Delaware statutory trust under the Delaware Statutory Trust Act on September 6, 2019 and is registered under the Investment Company Act of 1940, as amended, as a non-diversified, closed-end management investment company. The Fund is offered to accredited investors as defined in Rule 501(a) of Regulation D promulgated under the Securities Act of 1933. The Fund commenced operations on October 1, 2020. Effective November 10, 2022, the Fund was renamed StepStone Private Markets.

The Fund offers Class I shares, Class D shares, Class S shares and Class T shares (together, “Shares”) to accredited investors (“Shareholders”) under the Securities Act of 1933, as amended. The Shares are continuously offered with subscriptions accepted on a monthly basis at the then-current-month net asset value (“NAV”) per share, adjusted for sales load, if applicable. The Fund may, from time to time, offer to repurchase Shares pursuant to written tender offers by Shareholders. Repurchases will be made at such times, in such amounts and on such terms as determined by the Fund’s Board of Trustees (“Board”).

The Board provides broad oversight over the Fund’s investment program, management and operations and has the right to delegate management responsibilities. StepStone Group Private Wealth LLC (formerly known as StepStone Conversus LLC) serves as the Fund’s investment adviser (“Adviser”). The Adviser oversees the management of the Fund’s day-to-day activities including structuring, governance, distribution, reporting and oversight. StepStone Group LP (“StepStone”) serves as the Fund’s investment sub-adviser (“Sub-Adviser”) and is responsible for the day-to-day management of the Fund’s assets. StepStone Group Private Wealth LLC is a wholly owned subsidiary of StepStone.

The Fund’s investment objective is to achieve long-term capital appreciation and provide current income by investing in private market assets (“Private Assets”). To achieve its investment objective, the Fund will allocate its assets across private equity, private debt and real assets by making primary and secondary investments in private funds (“Investment Funds”) as well as making direct investments in the equity and/or debt of operating companies, projects or properties (“Co-Investments”).

Master-Feeder Structure

The Fund and StepStone Private Markets Feeder Ltd. (“Feeder Fund”) (formerly known as Conversus StepStone Private Markets Feeder Ltd.) are part of a “master-feeder” structure. The Feeder Fund invests substantially all of its assets in the Fund. At March 31, 2023, the Feeder Fund invests in Class I shares and owned 18.5% of the Fund’s net assets.

2. Summary of Significant Accounting Policies

The accompanying consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are presented in U.S. dollars which is the functional currency of the Fund. The Fund is an investment company and therefore applies the accounting and reporting guidance issued by the U.S. Financial Accounting Standards Board (“FASB”) in Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. The following are significant accounting policies which are consistently followed in the preparation of the consolidated financial statements.

Basis of Consolidation

The consolidated financial statements include the accounts of subsidiaries wholly-owned by the Fund: SPRIM LLC (Series A and Series B) (formerly known as CPRIM LLC (Series A and Series B)), a Delaware limited liability company, as well as SPRIM Cayman LLC (formerly CPRIM Cayman LLC), SPRIM Cayman II LLC (formerly CPRIM Cayman II LLC) and SPRIM Cayman III LLC (formerly CPRIM Cayman III LLC) (together, “SPRIM Cayman”), which are limited liability companies registered in the Cayman Islands. All intercompany accounts and transactions have been eliminated in consolidation.

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StepStone Private Markets

Notes to Consolidated Financial Statements

March 31, 2023 (continued)

2. Summary of Significant Accounting Policies (continued)

Use of Estimates

The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. Changes in the economic environment, financial markets, and any other factors or parameters used in determining these estimates could cause actual results to differ materially.

Net Asset Value Determination

The NAV of the Fund is determined as of the close of business on the last business day of each calendar month, each date the Shares are offered or repurchased, as of the date of any distribution and at such other times as the Board determines (each, a “Determination Date”). In determining NAV, the Fund’s investments are valued as of the relevant Determination Date. The NAV of the Fund will equal, unless otherwise noted, the value of the total assets of the Fund, less all of its liabilities, including accrued fees and expenses allocated to Shares based on the relative net assets of each class to the total net assets of the Fund, each determined as of the relevant Determination Date.

Valuation of Investments

The Fund’s investments are valued as of each Determination Date at fair value consistent with the principles of ASC Topic 820, Fair Value Measurements. The Board has chosen to designate the Fund’s Adviser to perform fair value determination relating to any or all Fund investments and has adopted valuation policies and procedures (“Valuation Procedures”). The Adviser has appointed a pricing committee (“Pricing Committee”) to manage the valuation process of the Fund. The Pricing Committee is responsible for determining, in good faith, the fair value of all investments held by the Fund and utilizes the resources and personnel of the Adviser, the Sub-Adviser and the Fund’s administrator in carrying out its responsibilities. The Board receives reports from the Adviser on at least a quarterly basis summarizing material fair value matters that occurred during the quarter, including any changes in valuation risks, deviations from established Valuation Procedures and pricing service changes.

Investments held by the Fund in Private Assets include investments in Investment Funds and Co-Investments. These types of investments normally do not have readily available market prices and therefore will be fair valued according to the Valuation Procedures. The Valuation Procedures require evaluation of all relevant factors reasonably available to the Adviser at the time the Fund’s investments are valued. The fair value of the Fund’s investments in Private Assets are estimates.

Ordinarily, the fair value of an Investment Fund is based on the net asset value of the Investment Fund reported by its investment manager. In determining fair value, the Fund also incorporates public benchmark returns that are relevant to the Investment Funds under consideration to adjust fair values for the relevant Determination Date. The public benchmark returns are adjusted for long-term, historical correlations between public and private investment returns and other relevant factors. If the Pricing Committee determines that the most recent net asset value reported by the investment manager of the Investment Fund does not represent fair value or if the investment manager of the Investment Fund does not report a net asset value to the Fund, a fair value determination is made by the Pricing Committee in accordance with the Valuation Procedures. In making that determination, the Pricing Committee will consider whether it is appropriate, in light of all relevant circumstances, to value such Investment Fund at the net asset value last reported by its investment manager, or whether to adjust such net asset value to reflect a premium or discount (adjusted net asset value). The net asset values or adjusted net asset values are net of management fees and performance/incentive fees or allocations (carried interest) payable pursuant to the respective organizational documents of the Investment Funds.

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StepStone Private Markets

Notes to Consolidated Financial Statements

March 31, 2023 (continued)

2. Summary of Significant Accounting Policies (continued)

In assessing the fair value of the Fund’s Co-Investments in accordance with the Valuation Procedures, the Pricing Committee uses a variety of methods such as earnings and multiple analysis, discounted cash flow analysis and market data from third party pricing services. The Pricing Committee makes assumptions that are based on market conditions existing at the Determination Date. Key inputs and assumptions include, but are not limited to, reported net asset values, capital calls, distributions and revenue and EBITDA multiples. Other techniques, such as option pricing models and estimated discounted value of future cash flows, may be used to determine fair value.

In certain circumstances, the Pricing Committee may determine that cost best approximates the fair value of a particular Private Asset. For investments held by the Fund that are publicly traded and for which market quotations are available, valuations are generally based on the closing sales prices, or an average of the closing bid and ask prices, as of the Determination Date.

The Sub-Adviser and one or more of its affiliates acts as investment adviser to clients other than the Fund. However, the value attributed to a Private Asset held by the Fund and the value attributed to the same Private Asset held by another client of the Sub-Adviser or one of its affiliates might differ as a result of differences in accounting, regulatory, timing and other factors applicable to the Fund when compared to such other client.

Foreign Currency Translation

The books and records of the Fund are maintained in U.S. dollars. The value of investments, assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon current foreign exchange rates on the Determination Date. Purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based on currency exchange rates prevailing on the date of the relevant transaction. The Fund does not isolate the net realized and unrealized gain or loss resulting from changes in exchange rates from fluctuations in the fair value of investments. Such fluctuations are included within the net realized gain distributions from investments and foreign currency transactions and the net change in unrealized appreciation (depreciation) on investments and foreign currency translation in the Consolidated Statement of Operations. As of March 31, 2023, the Fund held investments in sixteen Investment Funds and five Co-Investments denominated in foreign currencies.

Realized Gain (Loss) on Investments, Interest Income and Dividend Income

Distributions received from Investment Funds and Co-Investments occur at irregular intervals and the exact timing of the distributions cannot be determined. The classification of distributions received, including return of capital, realized gains, dividend income, net of withholding tax, and interest income, is based on information received from the investment manager of the Investment Fund or Co-Investment. Dividend income and interest income are recorded on an accrual basis.

Fund Expenses

The Fund bears all expenses incurred in the course of its operations, including, but not limited to, the following: all fees and expenses of the Private Assets in which the Fund invests (“Acquired Fund Fees”), management fees, fees and expenses associated with a credit facility, legal fees, administrator fees, audit and tax preparation fees, custodial fees, transfer agency fees, registration expenses, expenses of the Board and other administrative expenses. Certain of these operating expenses are subject to an expense limitation agreement which expired on September 30, 2022 (the “Expense Limitation and Reimbursement Agreement” as further discussed in Note 4). Expenses are recorded on an accrual basis and allocated to Shares based upon ownership percentage. Closing costs associated with the purchase of Investment Funds and Co-Investments are included in the cost of the investment.

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StepStone Private Markets

Notes to Consolidated Financial Statements

March 31, 2023 (continued)

2. Summary of Significant Accounting Policies (continued)

Offering Costs

Offering costs are treated as deferred charges and amortized over the subsequent 12-month period using the straight-line method. During the year ended March 31, 2023, $0.2 million of offering costs were amortized into expense and are included in the Consolidated Statement of Operations. Prior to September 30, 2022, these costs were subject to the Expense Limitation and Reimbursement Agreement. Offering costs consist primarily of legal fees, filing fees and printing costs in connection with the preparation of the registration statement and related filings. The Fund will continue to incur offering costs due to its continuously offered status.

Federal Income Taxes

For U.S. federal income tax purposes, the Fund has elected to be treated, and intends to qualify annually, as a Regulated Investment Company (“RIC”) under Subchapter M of the Internal Revenue Code by distributing substantially all of its taxable net investment income and net realized capital gains to Shareholders each year and by meeting certain diversification and income requirements with respect to investments. If the Fund were to fail to meet the requirements to qualify as a RIC, and if the Fund were ineligible to or otherwise unable to cure such failure, the Fund would be subject to tax on its taxable income at corporate rates, whether or not distributed to Shareholders, and all distributions of earnings and profits would be taxable to Shareholders as ordinary income.

The Fund’s tax year is the 12-month period ending September 30. The Fund files tax returns as prescribed by the tax laws of the jurisdictions in which it operates. In the normal course of business, the Fund is subject to examination by federal, state, local and foreign jurisdictions, where applicable. As of September 30, 2022, the tax years from the year 2021 forward remain subject to examination by the major tax jurisdictions under the statute of limitations (generally, the three prior taxable years).

Distributions are determined in accordance with federal income tax regulations, which may differ from net investment income and net realized capital gains for financial statement purposes (U.S. GAAP). Differences may be permanent or temporary. Permanent differences, including book/tax differences relating to Shareholder distributions, are reclassified among capital accounts in the consolidated financial statements to reflect the applicable tax characterization. Temporary differences arise when certain items of income, expense, gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse in the future. The tax basis components of distributable earnings differ from the amounts reflected in the Consolidated Statement of Assets and Liabilities due to temporary book/tax differences. These amounts will be finalized before filing the Fund’s federal tax return.

SPRIM LLC, a wholly-owned subsidiary of the Fund, is a domestic limited liability company that has elected to be treated as a C-corporation for federal and state income tax purposes and is required to account for its estimate of income taxes through the establishment of a deferred tax asset or liability. The Fund recognizes deferred income taxes for temporary differences in the basis of assets and liabilities for financial and income tax purposes. Deferred tax assets are recognized for deductible temporary differences, tax credit carryforwards or net operating loss carryforwards and deferred tax liabilities are recognized for taxable temporary differences. To the extent SPRIM LLC has a deferred tax asset, consideration is given to whether or not a valuation allowance is required.

The SPRIM Cayman subsidiaries, wholly-owned by the Fund, will continue to be treated as separate entities from their sole owner, the Fund, and thus are disregarded for U.S. federal income tax purposes.

Cash and Cash Equivalents and Cash Denominated in Foreign Currency

Cash and cash equivalents and cash denominated in a foreign currency include monies on deposit with U.S. Bank National Association (“U.S. Bank”), the Fund’s custodian, and investments in the First American Government Obligations Fund Class X money market mutual fund. The money market mutual fund invests primarily in government securities and other

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StepStone Private Markets

Notes to Consolidated Financial Statements

March 31, 2023 (continued)

2. Summary of Significant Accounting Policies (continued)

short-term, highly liquid instruments with low risk of loss, and is recorded at NAV per share which approximates fair value. Deposits, at times, may exceed the insurance limit guaranteed by the Federal Deposit Insurance Corporation. The Fund has not experienced any losses on deposits and does not believe it is exposed to significant credit risk on such deposits. There are no restrictions on cash and cash equivalents and cash denominated in foreign currency held by U.S. Bank on the Fund’s behalf.

Cash Held in Escrow

Cash held in escrow represents restricted monies received in advance of the effective date of a Shareholder’s subscription. The monies are on deposit with UMB Bank, N.A. under the authorization of UMB Fund Services, Inc. (the Fund’s transfer agent, as described in Note 5) and are released from escrow upon the determination of NAV as of the effective date of the subscription. The liability for subscriptions received in advance is included in the Consolidated Statement of Assets and Liabilities.

Deferred Costs Relating to Purchases of Investment Funds

Deferred costs relating to purchases of Investment Funds are amortized monthly over the term of the deferral until the due date of the deferred payment. At the due date, the value of the payment equals the notional amount due to the respective counterparty.

Recently Adopted Regulatory Matters

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treats derivatives as senior securities and requires funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. The Fund is a limited user of derivatives as specified in the rule. The Fund implemented Rule 18f-4 on August 19, 2022.

In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Fund implemented Rule 2a-5 on August 31, 2022. The Board designated the Adviser to perform fair value determinations relating to any or all Fund investments.

3. Fair Value Measurements

In accordance with U.S. GAAP, ASC Topic 820, Fair Value Measurements, the fair value of the Fund’s investments is disclosed in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. A three-tier hierarchy is used to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would

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StepStone Private Markets

Notes to Consolidated Financial Statements

March 31, 2023 (continued)

3. Fair Value Measurements (continued)

use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three broad levels:

An investment’s categorization within the valuation hierarchy described above is based upon the lowest level of input that is significant to the fair value measurement. Investments valued using the practical expedient at NAV or adjusted NAV as reported by the investment managers are excluded from the hierarchy.

The following table summarizes the Fund’s investments classified in the fair value hierarchy as of March 31, 2023:

The following table shows a reconciliation of the investments for which significant unobservable inputs (Level 3) were used in determining fair value:

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StepStone Private Markets

Notes to Consolidated Financial Statements

March 31, 2023 (continued)

3. Fair Value Measurements (continued)

Changes in inputs or methodologies used for valuing investments, including timing of reported net asset values of Investment Funds and Co-Investments reported by their investment managers, may result in transfers in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments may not necessarily be an indication of the risk associated with investing in those investments. Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. All transfers out during the year ended March 31, 2023 were the result of reported net asset values by their investment managers.

The following table summarizes quantitative information related to significant unobservable inputs (Level 3) used in determining fair value for investments held as of March 31, 2023: