Item 3. Quantitative and Qualitative Disclosures About Market Risk

Our 2020 Annual Report described our Quantitative and Qualitative Disclosures About Market Risk. As of September 30, 2021, due to the closing of the Global Preneed transaction in August 2021, there were material decreases to interest rate risk, inflation risk and foreign exchange risk.

Interest Rate Risk

Our interest rate sensitivity has decreased by approximately 68% given that: (i) the duration of the fixed maturity portfolio has decreased from 7.5 years to 4.7 years as the anticipated cash outflow characteristics of our remaining insurance liabilities are now substantially shorter, and (ii) our fixed maturity investments decreased $6.76 billion, or approximately 50%.

Our exposure to interest rate risk on reserves is immaterial given that a majority of our interest-sensitive reserves, mainly group long-term disability and group term life of waiver premium, were included in the disposed Global Preneed business.

Inflation Risk

Inflation risk arises as we invest in assets that are not indexed to the level of inflation, whereas the corresponding liabilities are indexed to the level of inflation. All of our insurance policies that had death benefits that were guaranteed to grow with the CPI were included in the disposed Global Preneed business and therefore the risk is mitigated.

Foreign Exchange Risk

Our exposure to Canadian dollar foreign exchange risk has also been significantly reduced, by approximately 80%. Total invested Canadian assets as of December 31, 2020 and September 30, 2021 were $2.29 billion and $426.6 million, respectively. The remaining Canadian assets are held to match expected Canadian liabilities.