ELLINGTON MANAGEMENT GROUP LLC

Holdings History for ISHARES TR - MSCI EMG MKT ETF (EEM)

Symbol: EEM
Investment type: Equity / MSCI EMG MKT ETF

Holdings date	Option	Weight	Change	Value $	Shares	Change	Activity %	Price	All Holders
31 Dec 2017	put		-9.2%	$0	0	-500,000	-100%	$60.86	Q4 2017
30 Sep 2017	put	9.2%	+9.2%	$22,405,000	500,000	+500,000	NEW	$44.81	Q3 2017
31 Mar 2017	put		-8.6%	$0	0	-896,600	-100%	$60.86	Q1 2017
31 Dec 2016	put	8.6%	+8.6%	$31,390,000	896,600	+896,600	NEW	$35.01	Q4 2016

* Reported Price is the price of the security as of the portfolio date. This value is significant in that it is the last known price at which the security was still held.
An asterisk sign (*) next to the price indicates that the price is likely invalid.