Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
GENERAL
For the Company’s disclosures about market risk, please see Part II, Item 7A, Quantitative and Qualitative Disclosures About Market Risk in our Form 10-K . Except as set forth below, there have been no material changes to the Company’s disclosures about market risk in Part II, Item 7A. of our Form 10-K . For additional information regarding market risks to which we are subject, see Part I, Item 1, Note 5. Investments - "Valuation of Investments" in the notes to our consolidated financial statements herein.
MARKET RISK RELATED TO INTEREST RATES
Our exposure to interest rate changes results from our significant holdings of fixed maturity investments, which comprised 86.9% of our investment portfolio based on carrying value as of September 30, 2022. These investments are mainly exposed to changes in U.S. Treasury rates. Changes in interest rates typically have a sizable effect on the fair values of our fixed maturity securities. The interest rate of the ten-year U.S. Treasury bond increased to 3.83% at September 30, 2022 from 1.52% at December 31, 2021. Net unrealized losses on fixed maturity securities totaled $213.7 million at September 30, 2022, compared to net unrealized gains of $126.9 million at December 31, 2021, based upon bond interest rates in relation to the ten-year U.S. Treasury yield.
To manage interest risk, we perform periodic projections of asset and liability cash flows to evaluate the potential sensitivity of our investments and liabilities. We assess interest rate sensitivity annually with respect to our AFS fixed maturity security investments using hypothetical test scenarios that assume either upward or downward shifts in the prevailing interest rates. The changes in fair values of our fixed maturity securities as of September 30, 2022 were within the expected range of this analysis.
All of the Company's fixed maturity securities were classified as AFS at September 30, 2022. At September 30, 2022 and December 31, 2021, there were no fixed maturity securities or other investments classified as trading instruments nor were there any investments held in derivative instruments or subprime loans.
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