EX-99.2 3 q12023exhibit992.htm EX-99.2

CNA Financial Corporation

Supplemental Financial Information

March 31, 2023

This report is for informational purposes only and includes consolidated financial statements and financial exhibits that are unaudited. This report should be read in conjunction with documents filed with the U.S. Securities and Exchange Commission, including the most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q.

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Table of Contents

			Page
Consolidated Results
Statements of Operations			1
Components of Income (Loss), Per Share Data and Return on Equity			2
Prior Year Quarterly Components of Income (Loss), Per Share Data and Return on Equity, As Adjusted for LDTI			3
Selected Balance Sheet Data and Statements of Cash Flows Data			4
Impacts of LDTI on Selected Balance Sheet Data			5
Results of Operations
Property & Casualty			6
Specialty			7
Commercial			8
International			9
Life & Group			10
Prior Year Quarterly Life & Group, As Adjusted for LDTI			11
Corporate & Other			12
Investment Information
Investment Summary - Consolidated			13
Investment Summary - Property & Casualty and Corporate & Other			14
Investment Summary - Life & Group			15
Investments - Fixed Maturity Securities by Credit Rating			16
Investments - Commercial Real Estate Exposure			17
Components of Net Investment Income			18
Net Investment Gains (Losses)			19
Other
Claim & Claim Adjustment Expense Reserve Rollforward			20
Life & Group Policyholder Reserves			21
Definitions and Presentation			22

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Statements of Operations

Three months ended March 31
(In millions)																								2023						2022 (1)						Change
Revenues:
Net earned premiums																								$	2,248					$	2,059					9			%
Net investment income																								525						448						17
Net investment (losses) gains																								(35)						(11)
Non-insurance warranty revenue																								407						382
Other revenues																								7						7
Total revenues																								3,152						2,885						9
Claims, Benefits and Expenses:
Insurance claims and policyholders' benefits (re-measurement gain (loss) of $1 and $5)																								1,653						1,478
Amortization of deferred acquisition costs																								379						344
Non-insurance warranty expense																								384						354
Other operating expenses																								337						326
Interest																								28						28
Total claims, benefits and expenses																								2,781						2,530						(10)
Income (loss) before income tax																								371						355
Income tax (expense) benefit																								(74)						(60)
Net income (loss)																								$	297					$	295					1			%

(1) As of January 1, 2023, the Company adopted Accounting Standards Update (ASU) 2018-12, Financial Services-Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts (LDTI), using the modified retrospective method applied as of the transition date of January 1, 2021. Prior period amounts have been adjusted to reflect application of the new guidance.

1

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Components of Income (Loss), Per Share Data and Return on Equity

Three months ended March 31
(In millions, except per share data)																		2023						2022 (1)
Components of Income (Loss)
Core income (loss)																		$	325					$	298
Net investment gains (losses)																		(28)						(3)
Net income (loss)																		$	297					$	295
Diluted Earnings (Loss) Per Common Share
Core income (loss)																		$	1.19					$	1.09
Net investment gains (losses)																		(0.10)						(0.01)
Diluted earnings (loss) per share																		$	1.09					$	1.08
Weighted Average Outstanding Common Stock and Common Stock Equivalents
Basic																		271.3						271.8
Diluted																		272.3						272.9
Return on Equity
Net income (loss) (2)																		13.8			%			11.3			%
Core income (loss) (3)																		10.8						9.7

(1) As of January 1, 2023, the Company adopted LDTI using the modified retrospective method applied as of the transition date of January 1, 2021. Prior period amounts have been adjusted to reflect application of the new guidance.

(2) Annualized net income (loss) divided by the average stockholders' equity including accumulated other comprehensive income (loss) (AOCI) for the period. Average equity including AOCI is calculated using a simple average of the beginning and ending balances for the period.

(3) Annualized core income (loss) divided by the average stockholders' equity excluding AOCI for the period. Average equity excluding AOCI is calculated using a simple average of the beginning and ending balances for the period.

2

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Prior Year Quarterly Components of Income (Loss), Per Share Data and Return on Equity, As Adjusted for LDTI

As of January 1, 2023, the Company adopted LDTI using the modified retrospective method applied as of the transition date of January 1, 2021. All prior periods presented have been adjusted to reflect application of the new guidance.

			2022																														2021
(In millions, except per share data)			Q1						Q2						Q3						Q4						Full Year						Full Year
Components of Income (Loss)
Core income (loss) (1)			$	298					$	230					$	43		(2)			$	265					$	836					$	1,088
Net investment gains (losses)			(3)						(40)						(85)						(26)						(154)						96
Net income (loss)			$	295					$	190					$	(42)					$	239					$	682					$	1,184
Diluted Earnings (Loss) Per Common Share
Core income (loss)			$	1.09					$	0.84					$	0.16					$	0.97					$	3.07					$	3.99
Net investment gains (losses)			(0.01)						(0.15)						(0.31)						(0.10)						(0.56)						0.35
Diluted earnings (loss) per share			$	1.08					$	0.69					$	(0.15)					$	0.87					$	2.51					$	4.34
Weighted Average Outstanding Common Stock and Common Stock Equivalents
Basic			271.8						271.7						271.4						271.3						271.6						271.8
Diluted			272.9						272.6						272.3						272.3						272.5						272.8
Return on Equity
Net income (loss) (3)			11.3			%			8.1			%			(2.0)			%			11.5			%			6.9			%			9.9			%
Core income (loss) (4)			9.7						7.6						1.4						8.8						6.8						8.9

(1) 2022 Core income decreased from what was previously reported generally driven by the cumulative effect of assumption differences and differences in reserving methodologies between legacy accounting guidance and LDTI.

(2) Q3 2022 Core income decreased $170 million from what was previously reported under legacy accounting guidance, primarily related to our Q3 2022 annual review of cash flow reserving assumptions. Under legacy accounting guidance, the Q3 2022 gross premium valuation assessment indicated a pretax margin of $125 million and no unlocking event occurred. Under LDTI favorable changes to the upper-medium grade (low credit risk) fixed income instrument discount rate were recorded through AOCI quarterly, while the net unfavorable impact of increased cost of care inflation offset by favorable premium rate action assumptions was recorded in income.

(3) Annualized net income (loss) divided by the average stockholders' equity including AOCI for the period. Average equity including AOCI is calculated using a simple average of the beginning and ending balances for the period.

(4) Annualized core income (loss) divided by the average stockholders' equity excluding AOCI for the period. Average equity excluding AOCI is calculated using a simple average of the beginning and ending balances for the period.

3

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Selected Balance Sheet Data and Statements of Cash Flows Data

(In millions, except per share data)			March 31, 2023						December 31, 2022 (1)
Total investments			$	44,023					$	43,177
Reinsurance receivables, net of allowance for uncollectible receivables			5,484						5,416
Total assets			62,055						61,000
Insurance reserves:
Claim and claim adjustment expenses (2)			22,409						22,120
Unearned premiums			6,581						6,374
Future policy benefits (2)			13,976						13,480
Debt			2,782						2,781
Total liabilities			53,388						52,452
Accumulated other comprehensive income (loss) (3)			(3,308)						(3,598)
Total stockholders' equity			8,667						8,548
Book value per common share			$	32.00					$	31.55
Book value per common share excluding AOCI			$	44.21					$	44.83
Outstanding shares of common stock (in millions of shares)			270.9						270.9
Statutory capital and surplus - Combined Continental Casualty Companies (4)			$	10,453					$	10,572

Three months ended March 31			2023						2022
Net cash flows provided (used) by operating activities			$	436					$	645
Net cash flows provided (used) by investing activities			51						(129)
Net cash flows provided (used) by financing activities			(480)						(688)
Net cash flows provided (used) by operating, investing and financing activities			$	7					$	(172)

(1) As of January 1, 2023, the Company adopted LDTI using the modified retrospective method applied as of the transition date of January 1, 2021. Prior period amounts have been adjusted to reflect application of the new guidance.

(2) In conjunction with the adoption of LDTI, at January 1, 2023, $3.0 billion of the long term care reserves for policyholders currently receiving benefits within the Life & Group segment were classified from Claim and claim adjustment expense to Future policy benefits. This change was applied retrospectively as of January 1, 2021.

(3) As of March 31, 2023 and December 31, 2022, AOCI included after-tax cumulative impacts of changes in discount rates used to measure long duration contracts of $(437) million and $(41) million.

(4) Statutory capital and surplus as of March 31, 2023 is preliminary.

4

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Impacts of LDTI on Selected Balance Sheet Data

As of January 1, 2023, the Company adopted LDTI using the modified retrospective method applied as of the transition date of January 1, 2021. All prior periods presented have been adjusted to reflect application of the new guidance.

(In millions)						December 31, 2022						December 31, 2021
Total Assets
Prior to adoption						$	60,927					$	66,639
Effect of adoption						73						453
As reported						$	61,000					$	67,092
Insurance Reserves:
Claim and claim adjustment expenses
Prior to adoption						$	25,099					$	24,174
Effect of adoption						(2,979)						(2,905)
As reported						$	22,120					$	21,269
Future policy benefits
Prior to adoption						$	10,151					$	13,236
Effect of adoption						3,329						5,062
As reported						$	13,480					$	18,298
Total Liabilities
Prior to adoption						$	52,102					$	53,830
Effect of adoption						350						2,157
As reported						$	52,452					$	55,987
Accumulated other comprehensive income (loss)
Prior to adoption						$	(3,557)					$	320
Effect of adoption						(41)						(1,680)
As reported						$	(3,598)					$	(1,360)
Total stockholders' equity
Prior to adoption						$	8,825					$	12,809
Effect of adoption						(277)						(1,704)
As reported						$	8,548					$	11,105

5

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Property & Casualty - Results of Operations

Three months ended March 31
(In millions)																								2023						2022						Change
Gross written premiums																								$	3,620					$	3,417					6			%
Gross written premiums ex. 3rd party captives																								2,724						2,454						11
Net written premiums																								2,247						2,023						11
Net earned premiums																								2,133						1,940						10
Net investment income																								301						235						28
Non-insurance warranty revenue																								407						382
Other revenues																								7						8
Total operating revenues																								2,848						2,565						11
Insurance claims and policyholders' benefits																								1,349						1,182
Amortization of deferred acquisition costs																								379						344
Non-insurance warranty expense																								384						354
Other insurance related expenses																								275						258
Other expenses																								21						21
Total claims, benefits and expenses																								2,408						2,159						(12)
Core income (loss) before income tax																								440						406
Income tax (expense) benefit on core income (loss)																								(94)						(85)
Core income (loss)																								$	346					$	321					8			%
Other Performance Metrics
Underwriting gain (loss)																								$	130					$	156					(17)			%
Loss & LAE ratio																								62.9			%			60.6			%			(2.3)			pts
Expense ratio																								30.7						31.0						0.3
Dividend ratio																								0.3						0.3						—
Combined ratio																								93.9			%			91.9			%			(2.0)			pts
Combined ratio excluding catastrophes and development																								90.8			%			91.4			%			0.6			pts
Net accident year catastrophe losses incurred																								$	52					$	19
Effect on loss & LAE ratio																								2.4			%			1.0			%			(1.4)			pts
Net prior year development and other: (favorable) / unfavorable																								$	15					$	(10)
Effect on loss & LAE ratio																								0.7			%			(0.5)			%			(1.2)			pts
Rate																								5			%			7			%			(2)			pts
Renewal premium change																								7			%			10			%			(3)			pts
Retention																								86			%			84			%			2			pts
New business																								$	503					$	451					12			%

6

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Specialty - Results of Operations

Three months ended March 31
(In millions)																								2023						2022						Change
Gross written premiums																								$	1,780					$	1,846					(4)			%
Gross written premiums ex. 3rd party captives																								886						885						—
Net written premiums																								788						771						2
Net earned premiums																								797						772						3
Net investment income																								129						103						25
Non-insurance warranty revenue																								407						382
Other revenues																								—						1
Total operating revenues																								1,333						1,258						6
Insurance claims and policyholders' benefits																								466						446
Amortization of deferred acquisition costs																								165						157
Non-insurance warranty expense																								384						354
Other insurance related expenses																								86						81
Other expenses																								14						13
Total claims, benefits and expenses																								1,115						1,051						(6)
Core income (loss) before income tax																								218						207
Income tax (expense) benefit on core income (loss)																								(47)						(44)
Core income (loss)																								$	171					$	163					5			%
Other Performance Metrics
Underwriting gain (loss)																								$	80					$	88					(9)			%
Loss & LAE ratio																								58.4			%			57.6			%			(0.8)			pts
Expense ratio																								31.4						30.9						(0.5)
Dividend ratio																								0.2						0.2						—
Combined ratio																								90.0			%			88.7			%			(1.3)			pts
Combined ratio excluding catastrophes and development																								90.0			%			90.0			%			—			pts
Net accident year catastrophe losses incurred																								$	—					$	—
Effect on loss & LAE ratio																								—			%			—			%			—			pts
Net prior year development and other: (favorable) / unfavorable																								$	—					$	(10)
Effect on loss & LAE ratio																								—			%			(1.3)			%			(1.3)			pts
Rate																								2			%			10			%			(8)			pts
Renewal premium change																								4			%			11			%			(7)			pts
Retention																								88			%			84			%			4			pts
New business																								$	108					$	145					(26)			%

7

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Commercial - Results of Operations

Three months ended March 31
(In millions)																								2023						2022						Change
Gross written premiums																								$	1,442					$	1,208					19			%
Gross written premiums ex. 3rd party captives																								1,440						1,206						19
Net written premiums																								1,188						1,001						19
Net earned premiums																								1,046						904						16
Net investment income																								149						118						26
Other revenues																								7						8
Total operating revenues																								1,202						1,030						17
Insurance claims and policyholders' benefits																								694						578
Amortization of deferred acquisition costs																								169						148
Other insurance related expenses																								142						130
Other expenses																								6						7
Total claims, benefits and expenses																								1,011						863						(17)
Core income (loss) before income tax																								191						167
Income tax (expense) benefit on core income (loss)																								(40)						(35)
Core income (loss)																								$	151					$	132					14			%
Other Performance Metrics
Underwriting gain (loss)																								$	41					$	48					(15)			%
Loss & LAE ratio																								65.7			%			63.3			%			(2.4)			pts
Expense ratio																								29.8						30.7						0.9
Dividend ratio																								0.5						0.5						—
Combined ratio																								96.0			%			94.5			%			(1.5)			pts
Combined ratio excluding catastrophes and development																								91.8			%			92.7			%			0.9			pts
Net accident year catastrophe losses incurred																								$	44					$	16
Effect on loss & LAE ratio																								4.2			%			1.8			%			(2.4)			pts
Net prior year development and other: (favorable) / unfavorable																								$	—					$	—
Effect on loss & LAE ratio																								—			%			—			%			—			pts
Rate																								7			%			5			%			2			pts
Renewal premium change																								9			%			8			%			1			pts
Retention																								86			%			87			%			(1)			pts
New business																								$	310					$	228					36			%

8

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International - Results of Operations

Three months ended March 31
(In millions)																								2023						2022						Change
Gross written premiums																								$	398					$	363					10			%
Net written premiums																								271						251						8
Net earned premiums																								290						264						10
Net investment income																								23						14						64
Other revenues																								—						(1)
Total operating revenues																								313						277						13
Insurance claims and policyholders' benefits																								189						158
Amortization of deferred acquisition costs																								45						39
Other insurance related expenses																								47						47
Other expenses																								1						1
Total claims, benefits and expenses																								282						245						(15)
Core income (loss) before income tax																								31						32
Income tax (expense) benefit on core income (loss)																								(7)						(6)
Core income (loss)																								$	24					$	26					(8)			%
Other Performance Metrics
Underwriting gain (loss)																								$	9					$	20					(55)			%
Loss & LAE ratio																								65.4			%			59.8			%			(5.6)			pts
Expense ratio																								31.8						32.6						0.8
Dividend ratio																								—						—						—
Combined ratio																								97.2			%			92.4			%			(4.8)			pts
Combined ratio excluding catastrophes and development																								89.3			%			91.2			%			1.9			pts
Net accident year catastrophe losses incurred																								$	8					$	3
Effect on loss & LAE ratio																								2.8			%			1.2			%			(1.6)			pts
Net prior year development and other: (favorable) / unfavorable																								$	15					$	—
Effect on loss & LAE ratio																								5.1			%			—			%			(5.1)			pts
Rate																								4			%			9			%			(5)			pts
Renewal premium change																								8			%			12			%			(4)			pts
Retention																								83			%			73			%			10			pts
New business																								$	85					$	78					9			%

9

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Life & Group - Results of Operations

Three months ended March 31
(In millions)																		2023						2022 (1)
Net earned premiums																		$	115					$	120
Net investment income																		214						212
Other revenues																		—						(1)
Total operating revenues																		329						331
Insurance claims and policyholders' benefits																		311						304
Other insurance related expenses																		29						31
Other expenses																		1						3
Total claims, benefits and expenses																		341						338
Core income (loss) before income tax																		(12)						(7)
Income tax (expense) benefit on core income (loss)																		9						12
Core income (loss)																		$	(3)					$	5

(1) As of January 1, 2023, the Company adopted LDTI using the modified retrospective method applied as of the transition date of January 1, 2021. Prior period amounts have been adjusted to reflect application of the new guidance.

10

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Prior Year Quarterly Life & Group - Results of Operations, As Adjusted for LDTI

As of January 1, 2023, the Company adopted LDTI using the modified retrospective method applied as of the transition date of January 1, 2021. All prior periods presented have been adjusted to reflect application of the new guidance.

			2022																														2021
(In millions)			Q1						Q2						Q3						Q4						Full Year						Full Year
Net earned premiums			$	120					$	118					$	118					$	117					$	473					$	491
Net investment income			212						201						187						204						804						966
Other revenues			(1)						1						—						(1)						(1)						—
Total operating revenues			331						320						305						320						1,276						1,457
Insurance claims and policyholders' benefits			304						311						525						329						1,469						1,261
Other insurance related expenses			31						29						29						29						118						103
Other expenses			3						2						2						2						9						10
Total claims, benefits and expenses			338						342						556						360						1,596						1,374
Core income (loss) before income tax			(7)						(22)						(251)						(40)						(320)						83
Income tax (expense) benefit on core income (loss)			12						13						59						15						99						25
Core income (loss) (1)			$	5					$	(9)					$	(192)		(2)			$	(25)					$	(221)					$	108

(1) 2022 Core income decreased from what was previously reported generally driven by the cumulative effect of assumption differences and differences in reserving methodologies between legacy accounting guidance and LDTI.

(2) Q3 2022 Core income decreased $170 million from what was previously reported under legacy accounting guidance, primarily related to our Q3 2022 annual review of cash flow reserving assumptions. Under legacy accounting guidance, the Q3 2022 gross premium valuation assessment indicated a pretax margin of $125 million and no unlocking event occurred. Under LDTI favorable changes to the upper-medium grade fixed income instrument discount rate were recorded through AOCI quarterly, while the net unfavorable impact of increased cost of care inflation offset by favorable premium rate action assumptions was recorded in income.

11

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Corporate & Other - Results of Operations

Three months ended March 31
(In millions)																		2023						2022
Net earned premiums																		$	—					$	(1)
Net investment income																		10						1
Other revenues																		—						—
Total operating revenues																		10						—
Insurance claims and policyholders' benefits																		(7)						(8)
Other insurance related expenses																		1						2
Other expenses																		38						39
Total claims, benefits and expenses																		32						33
Core income (loss) before income tax																		(22)						(33)
Income tax (expense) benefit on core income (loss)																		4						5
Core income (loss)																		$	(18)					$	(28)

12

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Investment Summary - Consolidated

			March 31, 2023																		December 31, 2022
(In millions)			Carrying Value						Net Unrealized Gains (Losses)																		Carrying Value						Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds			$	22,915					$	(1,238)																	$	21,429					$	(1,708)
States, municipalities and political subdivisions:
Tax-exempt			4,383						71																		4,633						(45)
Taxable			3,618						(402)																		3,684						(556)
Total states, municipalities and political subdivisions			8,001						(331)																		8,317						(601)
Asset-backed:
RMBS			2,659						(407)																		2,631						(442)
CMBS			1,631						(237)																		1,635						(251)
Other ABS			3,165						(298)																		2,927						(359)
Total asset-backed			7,455						(942)																		7,193						(1,052)
U.S. Treasury and obligations of government-sponsored enterprises			124						(2)																		110						(1)
Foreign government			609						(38)																		575						(42)
Redeemable preferred stock			3						—																		3						—
Total fixed maturity securities			39,107						(2,551)																		37,627						(3,404)
Equities:
Common stock			206						—																		185						—
Non-redeemable preferred stock			476						—																		489						—
Total equities			682						—																		674						—
Limited partnership investments:
Hedge funds			434						—																		456						—
Private equity funds			1,548						—																		1,470						—
Total limited partnership investments			1,982						—																		1,926						—
Other invested assets			79						—																		78						—
Mortgage loans			1,006						—																		1,040						—
Short term investments			1,167						—																		1,832						1
Total investments			$	44,023					$	(2,551)																	$	43,177					$	(3,403)
Net receivable/(payable) on investment activity			$	(1)																							$	8
Effective duration (in years)			6.8																								6.6
Weighted average rating			A																								A

RMBS - Residential mortgage-backed securities

CMBS - Commercial mortgage-backed securities

Other ABS - Other asset-backed securities

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Investment Summary - Property & Casualty and Corporate & Other

			March 31, 2023																		December 31, 2022
(In millions)			Carrying Value						Net Unrealized Gains (Losses)																		Carrying Value						Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds			$	13,881					$	(1,056)																	$	13,165					$	(1,260)
States, municipalities and political subdivisions:
Tax-exempt			1,200						(175)																		1,197						(211)
Taxable			1,955						(405)																		1,986						(486)
Total states, municipalities and political subdivisions			3,155						(580)																		3,183						(697)
Asset-backed:
RMBS			2,645						(407)																		2,617						(442)
CMBS			1,602						(234)																		1,606						(248)
Other ABS			2,564						(235)																		2,374						(276)
Total asset-backed			6,811						(876)																		6,597						(966)
U.S. Treasury and obligations of government-sponsored enterprises			123						(2)																		109						(1)
Foreign government			580						(30)																		546						(34)
Redeemable preferred stock			3						—																		3						—
Total fixed maturity securities			24,553						(2,544)																		23,603						(2,958)
Equities:
Common stock			206						—																		185						—
Non-redeemable preferred stock			62						—																		73						—
Total equities			268						—																		258						—
Limited partnership investments:
Hedge funds			240						—																		252						—
Private equity funds			857						—																		814						—
Total limited partnership investments			1,097						—																		1,066						—
Other invested assets			79						—																		78						—
Mortgage loans			797						—																		830						—
Short term investments			1,148						—																		1,772						1
Total investments			$	27,942					$	(2,544)																	$	27,607					$	(2,957)
Net receivable/(payable) on investment activity			$	(4)																							$	(3)
Effective duration (in years)			4.8																								4.7
Weighted average rating			A																								A

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Investment Summary - Life & Group

			March 31, 2023																		December 31, 2022
(In millions)			Carrying Value						Net Unrealized Gains (Losses)																		Carrying Value						Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds			$	9,034					$	(182)																	$	8,264					$	(448)
States, municipalities and political subdivisions:
Tax-exempt			3,183						246																		3,436						166
Taxable			1,663						3																		1,698						(70)
Total states, municipalities and political subdivisions			4,846						249																		5,134						96
Asset-backed:
RMBS			14						—																		14						—
CMBS			29						(3)																		29						(3)
Other ABS			601						(63)																		553						(83)
Total asset-backed			644						(66)																		596						(86)
U.S. Treasury and obligations of government-sponsored enterprises			1						—																		1						—
Foreign government			29						(8)																		29						(8)
Redeemable preferred stock			—						—																		—						—
Total fixed maturity securities			14,554						(7)																		14,024						(446)
Equities:
Common stock			—						—																		—						—
Non-redeemable preferred stock			414						—																		416						—
Total equities			414						—																		416						—
Limited partnership investments:
Hedge funds			194						—																		204						—
Private equity funds			691						—																		656						—
Total limited partnership investments			885						—																		860						—
Other invested assets			—						—																		—						—
Mortgage loans			209						—																		210						—
Short term investments			19						—																		60						—
Total investments			$	16,081					$	(7)																	$	15,570					$	(446)
Net receivable/(payable) on investment activity			$	3																							$	11
Effective duration (in years)			10.1																								9.9
Weighted average rating			A-																								A

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Investments - Fixed Maturity Securities by Credit Rating

March 31, 2023			U.S. Government, Government agencies and Government-sponsored enterprises												AAA												AA												A												BBB												Non-investment grade												Total
(In millions)			Fair Value						Net Unrealized Gains (Losses)						Fair Value						Net Unrealized Gains (Losses)						Fair Value						Net Unrealized Gains (Losses)						Fair Value						Net Unrealized Gains (Losses)						Fair Value						Net Unrealized Gains (Losses)						Fair Value						Net Unrealized Gains (Losses)						Fair Value						Net Unrealized Gains (Losses)
Corporate and other bonds			$	—					$	—					$	30					$	(1)					$	480					$	(28)					$	6,150					$	(221)					$	14,714					$	(852)					$	1,541					$	(136)					$	22,915					$	(1,238)
States, municipalities and political subdivisions			—						—						1,220						(3)						4,748						(291)						1,738						20						294						(57)						1						—						8,001						(331)
Asset-backed:
RMBS			2,357						(298)						249						(112)						—						—						10						—						13						—						30						3						2,659						(407)
CMBS			—						—						367						(29)						630						(97)						214						(34)						283						(51)						137						(26)						1,631						(237)
Other ABS			—						—						383						(9)						227						(39)						1,219						(95)						1,174						(128)						162						(27)						3,165						(298)
Total asset-backed			2,357						(298)						999						(150)						857						(136)						1,443						(129)						1,470						(179)						329						(50)						7,455						(942)
U.S. Treasury and obligations of government-sponsored enterprises			124						(2)						—						—						—						—						—						—						—						—						—						—						124						(2)
Foreign government			—						—						171						(6)						325						(18)						82						(12)						31						(2)						—						—						609						(38)
Redeemable preferred stock			—						—						—						—						—						—						—						—						—						—						3						—						3						—
Total fixed maturity securities			$	2,481					$	(300)					$	2,420					$	(160)					$	6,410					$	(473)					$	9,413					$	(342)					$	16,509					$	(1,090)					$	1,874					$	(186)					$	39,107					$	(2,551)
Percentage of total fixed maturity securities			6		%										6		%										16		%										25		%										42		%										5		%										100		%

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Investments - Commercial Real Estate Exposure

Fixed Income and Direct Mortgage Loans

			March 31, 2023															March 31, 2023
(In millions)			Estimated Fair Value						Net Unrealized Gains (Losses)						(In millions)			Estimated Fair Value						Net Unrealized Gains (Losses)
Commercial mortgage-backed:															Corporate and other bonds - REITs:
Single asset, single borrower:															Retail			$	452					$	(43)
Office			$	323					$	(67)					Office			261						(30)
Retail			304						(40)						Industrial			85						(3)
Lodging			201						(22)						Other (1)			418						(34)
Industrial			84						(7)						Total corporate and other bonds - REITs (2)			$	1,216					$	(110)
Multifamily			53						(4)
Total single asset, single borrower			965						(140)
Conduits (multi property, multi borrower pools)			666						(97)
Total commercial mortgage-backed			$	1,631					$	(237)
			March 31, 2023															March 31, 2023
(In millions)			Estimated Fair Value						Net Unrealized Gains (Losses)						(In millions)			Estimated Fair Value						Net Unrealized Gains (Losses)
Commercial mortgage-backed:															Corporate and other bonds - REITs:
AAA			$	367					$	(29)					AA			$	11					$	(1)
AA			630						(97)						A			239						(10)
A			214						(34)						BBB			948						(97)
BBB			283						(51)						Non-investment grade			18						(2)
Non-investment grade			137						(26)						Total corporate and other bonds - REITs (2)			$	1,216					$	(110)
Total commercial mortgage-backed			$	1,631					$	(237)
			March 31, 2023
(In millions)			Carrying Value						Percentage of Total
Mortgage loans:
Retail			$	461					44		%
Office			263						26		%
Industrial			119						12		%
Other			187						18		%
Total mortgage loans			$	1,030					100		%				(1) Other includes a diversified mix of property type strategies including self-storage, healthcare and apartments.
Less: Allowance for expected credit losses			(24)
Total mortgage loans - net of allowance			$	1,006											(2) REITs - Real estate investment trusts

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Components of Net Investment Income

Three months ended March 31															Consolidated
(In millions)															2023						2022
Taxable fixed income securities															$	430					$	368
Tax-exempt fixed income securities															49						73
Total fixed income securities															479						441
Common stock															3						(10)
Limited partnerships - hedge funds															14						(10)
Limited partnerships - private equity funds															11						28
Total limited partnership and common stock investments															28						8
Other, net of investment expense															18						(1)
Net investment income															$	525					$	448
Effective income yield for fixed income securities portfolio															4.6			%			4.3			%
Limited partnership and common stock return															1.3						0.4

															Property & Casualty and Corporate & Other
Three months ended March 31
(In millions)															2023						2022
Taxable fixed income securities															$	261					$	225
Tax-exempt fixed income securities															11						11
Total fixed income securities															272						236
Common stock															3						(10)
Limited partnerships - hedge funds															8						(5)
Limited partnerships - private equity funds															6						15
Total limited partnership and common stock investments															17						—
Other, net of investment expense															22						—
Net investment income															311						236
Effective income yield for fixed income securities portfolio															4.0			%			3.6			%

Three months ended March 31															Life & Group
(In millions)															2023						2022
Taxable fixed income securities															$	169					$	143
Tax-exempt fixed income securities															38						62
Total fixed income securities															207						205
Common stock															—						—
Limited partnerships - hedge funds															6						(5)
Limited partnerships - private equity funds															5						13
Total limited partnership and common stock investments															11						8
Other, net of investment expense															(4)						(1)
Net investment income															$	214					$	212
Effective income yield for fixed income securities portfolio															5.5			%			5.5			%

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Net Investment Gains (Losses)

Three months ended March 31															Consolidated
(In millions)															2023						2022
Fixed maturity securities:
Corporate and other bonds															$	(23)					$	3
States, municipalities and political subdivisions															10						3
Asset-backed															(9)						(8)
Total fixed maturity securities															(22)						(2)
Non-redeemable preferred stock															(14)						(38)
Derivatives, short term and other															1						29
Net investment gains (losses)															(35)						(11)
Income tax benefit (expense) on net investment gains (losses)															7						8
Net investment gains (losses), after tax															$	(28)					$	(3)

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Claim & Claim Adjustment Expense Reserve Rollforward

Three months ended March 31, 2023 (In millions)			Specialty						Commercial						International						P&C Operations						Life & Group (1)						Corporate & Other						Total Operations
Claim & claim adjustment expense reserves, beginning of period
Gross			$	6,878					$	9,395					$	2,403					$	18,676					$	695					$	2,749					$	22,120
Ceded			1,315						965						400						2,680						101						2,410						5,191
Net			5,563						8,430						2,003						15,996						594						339						16,929
Net incurred claim & claim adjustment expenses			465						687						189						1,341						8						1						1,350
Net claim & claim adjustment expense payments			(388)						(594)						(110)						(1,092)						(12)						(10)						(1,114)
Foreign currency translation adjustment and other			—						2						21						23						12						—						35
Claim & claim adjustment expense reserves, end of period
Net			5,640						8,525						2,103						16,268						602						330						17,200
Ceded			1,336						1,003						399						2,738						102						2,369						5,209
Gross			$	6,976					$	9,528					$	2,502					$	19,006					$	704					$	2,699					$	22,409

(1) In conjunction with the adoption of LDTI, at January 1, 2023, the Company reclassified $3.0 billion of the long term care reserves for policyholders currently receiving benefits from Claim and claim adjustment expense to Future policy benefits. This change was applied retrospectively as of January 1, 2021.

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Life & Group Policyholder Reserves

March 31, 2023
(In millions)			Claim and claim adjustment expenses						Future policy benefits						Total
Long term care			$	—					$	13,976					$	13,976
Structured settlement annuities and other			602						—						602
Total			602						13,976						14,578
Ceded reserves			102						—						102
Total gross reserves			$	704					$	13,976					$	14,680

December 31, 2022
(In millions)			Claim and claim adjustment expenses						Future policy benefits						Total
Long term care, as previously reported			$	2,979					$	10,151					$	13,130
Reclassification of reserves for policyholders currently receiving benefits to Future policy benefits (1)			(2,979)						2,979						—
Impact of LDTI			—						350						350
Long term care, as adjusted			$	—					$	13,480					$	13,480
Structured settlement annuities and other			594						—						594
Total			594						13,480						14,074
Ceded reserves			101						—						101
Total gross reserves			$	695					$	13,480					$	14,175

(1) In conjunction with the adoption of LDTI, at January 1, 2023 the Company reclassified the long term care reserves for policyholders currently receiving benefits from Claim and claim adjustment expense to Future policy benefits. This change was applied retrospectively as of January 1, 2021.

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Definitions and Presentation

•Collectively, CNA Financial Corporation (CNAF) and its subsidiaries are referred to as CNA or the Company.

•P&C Operations includes Specialty, Commercial and International.

•Life & Group segment includes the individual and group run-off long term care businesses as well as structured settlement obligations not funded by annuities related to certain property and casualty claimants.

•Corporate & Other segment primarily includes certain corporate expenses, including interest on corporate debt, and the results of certain property and casualty business in run-off, including CNA Re, asbestos and environmental pollution (A&EP), a legacy portfolio of excess workers' compensation (EWC) policies and certain legacy mass tort reserves.

•Management uses the core income (loss) financial measure to monitor the Company’s operations for the Specialty, Commercial and International segments. Core income (loss) is calculated by excluding from net income (loss) the after-tax effects of net investment gains or losses. The calculation of core income (loss) excludes net investment gains or losses because net investment gains or losses are generally driven by economic factors that are not necessarily reflective of our primary operations. Management monitors core income (loss) for each business segment to assess segment performance. Presentation of consolidated core income (loss) is deemed to be a non-GAAP financial measure and management believes some investors may find this measure useful to evaluate the Company's primary operations. Please refer to Note O to the Consolidated Financial Statements within the December 31, 2022 Form 10-K for further discussion regarding how the Company manages its business.

•This financial supplement may also reference or contain financial measures utilized to monitor the Company's investment portfolio that are not in accordance with GAAP. The Company's investment portfolio is monitored by management through analysis of various factors including unrealized gains and losses on securities, portfolio duration and exposure to market and credit risk.

•For reconciliations of non-GAAP measures to the most comparable GAAP measures and other information, please refer herein and/or to CNA's most recent 10-K on file with the Securities and Exchange Commission, as well as the press release, available at www.cna.com.

•In evaluating the results of the Specialty, Commercial and International segments, management uses the loss ratio, the expense ratio, the dividend ratio and the combined ratio. These ratios are calculated using financial results prepared in accordance with accounting principles generally accepted in the United States of America. The loss ratio is the percentage of net incurred claim and claim adjustment expenses to net earned premiums. The expense ratio is the percentage of insurance underwriting and acquisition expenses, including the amortization of deferred acquisition costs, to net earned premiums. The dividend ratio is the ratio of policyholders' dividends incurred to net earned premiums. The combined ratio is the sum of the loss, expense and dividend ratios. In addition, management also utilizes renewal premium change, rate, retention and new business in evaluating operating trends. Renewal premium change represents the estimated change in average premium on policies that renew, including rate and exposure changes. Rate represents the average change in price on policies that renew excluding exposure change. For certain products within Small Business, where quantifiable, rate includes the influence of new business as well. Exposure represents the measure of risk used in the pricing of the insurance product. The change in exposure represents the change in premium dollars on policies that renew as a result of the change in risk of the policy. Retention represents the percentage of premium dollars renewed, excluding rate and exposure changes, in comparison to the expiring premium dollars from policies available to renew. New business represents premiums from policies written with new customers and additional policies written with existing customers.

•Management uses underwriting gain (loss), calculated using GAAP financial results, to monitor insurance operations of our Specialty, Commercial and International segments. Underwriting gain (loss) is pretax and calculated as net earned premiums less total insurance expenses, which includes insurance claims and policyholders' benefits, amortization of deferred acquisition costs and other insurance related expenses.

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•Gross written premiums ex. 3rd party captives represents gross written premiums excluding business which is ceded to third party captives, including business related to large warranty programs.

•Statutory capital and surplus represents the excess of an insurance company's admitted assets over its liabilities, including loss reserves, as determined in accordance with statutory accounting practices.

•Pretax net prior year development and other represents net prior year loss reserve and premium development, and includes the effects of interest accretion and change in allowance for uncollectible reinsurance and deductible amounts.

•Net investment income from fixed income securities, as presented, includes both fixed maturity securities and non-redeemable preferred stock.

•Certain immaterial differences are due to rounding.

•N/M = Not Meaningful

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