Notes to consolidated financial statements JPMorgan Chase & Co./2020 Form 10-K 180 (a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ. (b) Comprises U.S. GSE and government agency securities of $449 million, nonagency securities of $28 million and non-trading loans of $805 million. (c) Comprises nonagency securities of $3 million, trading loans of $43 million and non-trading loans of $420 million. (d) Comprises trading loans of $850 million and non-trading loans of $1.1 billion. (e) Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are financial instruments that typically contain embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables. (f) Includes level 3 assets and liabilities that are insignificant both individually and in aggregate. (g) Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100. (h) Forward equity price is expressed as a percentage of the current equity price. (i) Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used. Level 3 inputs December 31, 2020 Product/Instrument Fair value  (in millions) Principal valuation technique Unobservable inputs Range of input values Average Residential mortgage-backed securities and loans $ 1,282  Discounted cash flows Yield 0% – 18% 6% Prepayment speed 0% – 46% 10% Conditional default rate 0% – 30% 14% Loss severity 0% – 107% 7% Commercial mortgage-backed securities and loans 466  Market comparables Price $0 – $101 $84 Corporate debt securities 507  Market comparables Price $2 – $116 $85 Loans 1,930  Market comparables Price $10 – $104 $72 Asset-backed securities 28  Market comparables Price $1 – $97 $57 Net interest rate derivatives 238  Option pricing Interest rate volatility 7bps – 513bps 101bps Interest rate spread volatility 11bps – 23bps 15bps Interest rate correlation (65)% – 99% 35% IR-FX correlation (35)% – 50% 0% 20  Discounted cash flows Prepayment speed 0% – 30% 8% Net credit derivatives (260) Discounted cash flows Credit correlation 34% – 65% 48% Credit spread 3bps – 1,302bps 441bps Recovery rate 0% – 67% 46% Conditional default rate 2% – 100% 58% Loss severity 100% 100% 36  Market comparables Price $1 – $115 $71 Net foreign exchange derivatives (298) Option pricing IR-FX correlation (40)% – 65% 18% (136) Discounted cash flows Prepayment speed 9% 9% Net equity derivatives (3,862) Option pricing Forward equity price 61% – 106% 99% Equity volatility 5% – 138% 35% Equity correlation 18% – 99% 60% Equity-FX correlation (79)% – 55% (27)% Equity-IR correlation 20% – 50% 28% Net commodity derivatives (731) Option pricing Oil Commodity Forward $600 / MT – $609 / MT $605 / MT Forward power price $12 / MWH – $55 / MWH $34 / MWH Commodity volatility 1% – 58% 29% Commodity correlation (49)% – 95% 23% MSRs 3,276  Discounted cash flows Refer to Note 15 Other assets 299  Discounted cash flows Credit spread 45bps 45bps Yield 4% 30% 7% 585  Market comparables Price $29 – $29 $29 Long-term debt, short-term borrowings, and deposits 27,912  Option pricing Interest rate volatility 7bps – 513bps 101bps Interest rate correlation (65)% – 99% 35% IR-FX correlation (35)% – 50% 0% Equity correlation 18% – 99% 60% Equity-FX correlation (79)% – 55% (27)% Equity-IR correlation 20% – 50% 28% 818  Discounted cash flows Credit correlation 34% – 65% 48% Other level 3 assets and liabilities, net 250  (a) (g) (i) (b) (c) (d) (h) (e) (f)