Product/instrument Valuation methodology Classification in the valuation hierarchy Structured notes (included in deposits, short-term borrowings and long-term debt) • Valuations are based on discounted cash flow analyses that consider the embedded derivative and the terms and payment structure of the note. • The embedded derivative features are considered using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs, depending on the embedded derivative. The specific inputs used vary according to the nature of the embedded derivative features, as described in the discussion above regarding derivatives valuation. Adjustments are then made to this base valuation to reflect the Firm’s own credit risk (DVA). Refer to page 188 of this Note. Level 2 or 3 JPMorgan Chase & Co./2020 Form 10-K 175