Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Market risk is the risk to earnings or asset and liability values resulting from movements in market prices. Our market risk exposures include (i) interest rate risk due to changes in the relationship between the interest rates on our assets (such as loans, receivables and investment securities) and the interest rates on our liabilities (such as debt and deposits); and (ii) foreign exchange risk related to transactions, funding, investments and earnings in currencies other than the U.S. dollar. Due to the evolving mix of fixed and floating rate assets and liabilities on our balance sheet, as of September 30, 2021 a hypothetical immediate 100 basis point increase in market interest rates would have a detrimental impact of approximately $206 million on our annual net interest income. There were no material changes in foreign exchange risk related to transactions, funding, investments and earnings in currencies other than the U.S. dollar since December 31, 2020.