ROYAL BK SCOTLAND GROUP PLC

CUSIP: 780097BB6 Class: NOTE 8.625%12/3

COMMONWEALTH OF PENNSYLVANIA PUBLIC SCHOOL EMPLS RETRMT SYS's Holding History (CIK: 0001083190)

Note: Option positions (PUT/CALL) are excluded.

Q2 2017
Shares 245,000 Value ($000) $267 Avg Close — Range —
Q1 2017
Shares 245,000 Value ($000) $255 Avg Close — Range —
Q4 2016
Shares 245,000 Value ($000) $250 Avg Close — Range —
Q3 2016
Shares 245,000 Value ($000) $240 Avg Close — Range —