Yes. Iron ore pellets fall under CN code 2601 12 00 ‘Agglomerated iron ores and concentrates, other than roasted iron pyrites’. They are considered a precursor ("sintered ore") in the production of pig iron or Direct Reduced Iron (DRI).

Source: EC’s Questions and Answers on CBAM 

• EU to support energy-intensive sectors with temporary decarbonization fund propos
• Why is the EU putting in place a Carbon Border Adjustment Mechanism?
• What is the current stage of implementation of CBAM?
• How does the CBAM work?
• How does CBAM interact with the EU Emissions Trading System (ETS)?