Earnings-at-risk scenarios estimate the potential change to a net interest income baseline, over the following 12 months utilizing multiple assumptions. These scenarios include a parallel shift involving changes to both short-term and long-term rates by an equal amount; a steeper yield curve involving holding short-term rates constant and increasing long-term rates; and a flatter yield curve involving increasing short-term rates and holding long-term rates constant. These scenarios consider many different factors, including: The Firm’s earnings-at-risk scenarios are periodically evaluated and enhanced in response to changes in the composition of the Firm’s balance sheet, changes in market conditions, improvements in the Firm’s simulation and other factors. While a relevant measure of the Firm’s interest rate exposure, the earnings at risk analysis does not represent a forecast of the Firm’s net interest income (Refer to Outlook on page 49 for additional information). The change in the Firm’s U.S. dollar sensitivities as of December 31, 2020 compared to December 31, 2019 reflected updates to the Firm’s baseline for lower short-term and long-term rates as well as the impact of changes in the Firm’s balance sheet. In addition, during the fourth quarter of 2020 as part of the Firm’s continuous evaluation and periodic enhancement to its earnings-at-risk calculations, the Firm updated the deposit rates paid betas for consumer deposit products based upon observed pricing during the most recent economic cycle. In the absence of this update, the Firm’s U.S. dollar sensitivities as of December 31, 2020 would have been lower by $2.0 billion to the +100bps shift in short-term and parallel rate scenarios. The Firm’s sensitivity to rates is primarily a result of assets repricing at a faster pace than deposits. The results of the non-U.S. dollar interest rate scenario involving a steeper yield curve with long-term rates rising by 100 basis points and short-term rates staying at current levels were not material to the Firm’s earnings-at-risk at December 31, 2020 and 2019. 141 JPMorgan Chase & Co./2020 Form 10-K December 31, (in billions) 2020 2019 Parallel shift: +100 bps shift in rates $ 0.9 $ 0.5  Flatter yield curve: +100 bps shift in short-term rates 0.8 0.5  December 31, (in billions) 2020 2019 Parallel shift: +100 bps shift in rates $ 6.9 $ 0.3  Steeper yield curve: +100 bps shift in long-term rates 2.4 1.2  Flatter yield curve: +100 bps shift in short-term rates 4.5 (0.9) The Firm’s U.S. dollar sensitivities are presented in the table below. • The impact on exposures as a result of instantaneous changes in interest rates from baseline rates. • Forecasted balance sheet, as well as modeled prepayment and reinvestment behavior, but do not include assumptions about actions that could be taken by the Firm or its clients and customers in response to any such instantaneous rate changes. Mortgage prepayment assumptions are based on the interest rates used in the scenarios compared with underlying contractual rates, the time since origination, and other factors which are updated periodically based on historical experience. • The pricing sensitivity of deposits, known as deposit betas, represent the amount by which deposit rates paid could change upon a given change in market interest rates over the cycle. The deposit rates paid in these scenarios may differ from actual deposit rates paid, due to repricing lags and other factors. Based upon current and implied market rates as of December 31, 2020, scenarios reflecting lower rates could result in negative interest rates. The U.S. has never experienced an interest rate environment where the Federal Reserve has a negative interest rate policy. While the impact of negative interest rates on the Firm's earnings-at-risk would vary by scenario, a parallel shift downward of up to 100bps would negatively impact net interest income. In a negative interest rate environment, the modeling assumptions used for certain assets and liabilities require additional management judgment and therefore, the actual outcomes may differ from these assumptions. The Firm’s non-U.S. dollar sensitivities are presented in the table below.