CNA Financial Corporation

Supplemental Financial Information

June 30, 2022

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.

Table of Contents

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

Statements of Operations

Periods ended June 30	Three Months						Six Months
(In millions)	2022		2021		Change		2022		2021		Change
Revenues:
Net earned premiums	$	2,155	$	2,035	6	%	$	4,214	$	3,997	5	%
Net investment income	432		591		(27)		880		1,095		(20)
Net investment (losses) gains	(59)		38				(70)		95
Non-insurance warranty revenue	392		359				774		697
Other revenues	6		6				13		11
Total revenues	2,926		3,029		(3)		5,811		5,895		(1)
Claims, Benefits and Expenses:
Insurance claims and policyholders' benefits	1,583		1,546				3,038		3,052
Amortization of deferred acquisition costs	374		357				718		716
Non-insurance warranty expense	367		332				721		643
Other operating expenses	329		303				655		587
Interest	28		29				56		57
Total claims, benefits and expenses	2,681		2,567		(4)		5,188		5,055		(3)
Income (loss) before income tax	245		462				623		840
Income tax (expense) benefit	(40)		(94)				(105)		(160)
Net income (loss)	$	205	$	368	(44)	%	$	518	$	680	(24)	%

1

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

Periods ended June 30	Three Months						Six Months
(In millions, except per share data)	2022			2021			2022			2021
Components of Income (Loss)
Core income (loss)	$	245		$	341		$	561		$	604
Net investment gains (losses)	(40)			27			(43)			76
Net income (loss)	$	205		$	368		$	518		$	680
Diluted Earnings (Loss) Per Common Share
Core income (loss)	$	0.90		$	1.25		$	2.06		$	2.21
Net investment gains (losses)	(0.15)			0.10			(0.16)			0.28
Diluted earnings (loss) per share	$	0.75		$	1.35		$	1.90		$	2.49
Weighted Average Outstanding Common Stock and Common Stock Equivalents
Basic	271.7			271.9			271.8			271.9
Diluted	272.6			272.8			272.7			272.9
Return on Equity
Net income (loss) (1)	8.1		%	11.9		%	9.3		%	10.7		%
Core income (loss) (2)	8.1			11.3			9.1			10.0

(1) 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.

(2) 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

Selected Balance Sheet Data and Statements of Cash Flows Data

(In millions, except per share data)	June 30, 2022		December 31, 2021
Total investments	$	44,280	$	50,328
Reinsurance receivables, net of allowance for uncollectible receivables	5,753		5,463
Total assets	62,229		66,639
Insurance reserves	41,774		43,171
Debt	2,780		2,779
Total liabilities	52,717		53,830
Accumulated other comprehensive income (loss) (1)	(2,713)		320
Total stockholders' equity	9,512		12,809
Book value per common share	$	35.06	$	47.20
Book value per common share excluding AOCI	$	45.06	$	46.02
Outstanding shares of common stock (in millions of shares)	271.3		271.4
Statutory capital and surplus - Combined Continental Casualty Companies (2)	$	10,625	$	11,321

Three Months Ended June 30	2022		2021
Net cash flows provided (used) by operating activities	$	608	$	603
Net cash flows provided (used) by investing activities	(302)		(610)
Net cash flows provided (used) by financing activities	(98)		(120)
Net cash flows provided (used) by operating, investing and financing activities	$	208	$	(127)

Six Months Ended June 30	2022		2021
Net cash flows provided (used) by operating activities	$	1,253	$	685
Net cash flows provided (used) by investing activities	(431)		(202)
Net cash flows provided (used) by financing activities	(786)		(441)
Net cash flows provided (used) by operating, investing and financing activities	$	36	$	42

(1) As of June 30, 2022 and December 31, 2021, the net unrealized gains on investments included in AOCI were net of after-tax Shadow Adjustments of $482 million and $2,477 million. To the extent that unrealized gains on fixed income securities supporting the reserves of certain products within the Life & Group segment would result in a premium deficiency, or would impact the reserve balance if realized, a related increase in Insurance reserves are recorded, net of tax, as a reduction of net unrealized gains (losses) through Other comprehensive income (loss) (Shadow Adjustments).

(2) Statutory capital and surplus as of June 30, 2022 is preliminary.

3

Property & Casualty - Results of Operations

Periods ended June 30	Three Months								Six Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	3,715		$	3,403		9	%	$	7,132		$	6,653		7	%
Gross written premiums ex. 3rd party captives	2,676			2,296			17		5,130			4,566			12
Net written premiums	2,296			1,909			20		4,319			3,846			12
Net earned premiums	2,037			1,909			7		3,977			3,751			6
Net investment income	227			322					462			601
Non-insurance warranty revenue	392			359					774			697
Other revenues	5			6					13			11
Total operating revenues	2,661			2,596			3		5,226			5,060			3
Insurance claims and policyholders' benefits	1,233			1,193					2,415			2,420
Amortization of deferred acquisition costs	374			357					718			716
Non-insurance warranty expense	367			332					721			643
Other insurance related expenses	245			246					503			466
Other expenses	36			20					57			35
Total claims, benefits and expenses	2,255			2,148			(5)		4,414			4,280			(3)
Core income (loss) before income tax	406			448					812			780
Income tax (expense) benefit on core income (loss)	(89)			(97)					(174)			(166)
Core income (loss)	$	317		$	351		(10)	%	$	638		$	614		4	%
Other Performance Metrics
Underwriting gain (loss)	$	185		$	113		64	%	$	341		$	149		129	%
Loss & LAE ratio	60.2		%	62.1		%	1.9	pts	60.4		%	64.2		%	3.8	pts
Expense ratio	30.5			31.6			1.1		30.7			31.5			0.8
Dividend ratio	0.3			0.3			—		0.3			0.3			—
Combined ratio	91.0		%	94.0		%	3.0	pts	91.4		%	96.0		%	4.6	pts
Combined ratio excluding catastrophes and development	90.8		%	91.4		%	0.6	pts	91.0		%	91.6		%	0.6	pts
Net accident year catastrophe losses incurred	$	37		$	54				$	57		$	179
Effect on loss & LAE ratio	1.8		%	2.8		%	1.0	pts	1.4		%	4.7		%	3.3	pts
Net prior year development and other: (favorable) / unfavorable	$	(31)		$	(1)				$	(41)		$	(12)
Effect on loss & LAE ratio	(1.6)		%	(0.2)		%	1.4	pts	(1.0)		%	(0.3)		%	0.7	pts
Rate	6		%	10		%	(4)	pts	6		%	10		%	(4)	pts
Renewal premium change	8		%	11		%	(3)	pts	9		%	11		%	(2)	pts
Retention	85		%	81		%	4	pts	84		%	82		%	2	pts
New business	$	500		$	393		27	%	$	951		$	786		21	%

4

Specialty - Results of Operations

Periods ended June 30	Three Months								Six Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	1,904		$	1,903		—	%	$	3,750		$	3,697		1	%
Gross written premiums ex. 3rd party captives	973			897			8		1,858			1,713			8
Net written premiums	832			786			6		1,603			1,528			5
Net earned premiums	794			762			4		1,566			1,497			5
Net investment income	100			134					203			251
Non-insurance warranty revenue	392			359					774			697
Other revenues	—			—					1			—
Total operating revenues	1,286			1,255			2		2,544			2,445			4
Insurance claims and policyholders' benefits	458			440					904			868
Amortization of deferred acquisition costs	162			159					319			313
Non-insurance warranty expense	367			332					721			643
Other insurance related expenses	81			71					162			141
Other expenses	12			12					25			23
Total claims, benefits and expenses	1,080			1,014			(7)		2,131			1,988			(7)
Core income (loss) before income tax	206			241					413			457
Income tax (expense) benefit on core income (loss)	(45)			(53)					(89)			(99)
Core income (loss)	$	161		$	188		(14)	%	$	324		$	358		(9)	%
Other Performance Metrics
Underwriting gain (loss)	$	93		$	92		1	%	$	181		$	175		3	%
Loss & LAE ratio	57.5		%	57.7		%	0.2	pts	57.5		%	57.9		%	0.4	pts
Expense ratio	30.4			30.0			(0.4)		30.7			30.2			(0.5)
Dividend ratio	0.2			0.2			—		0.2			0.2			—
Combined ratio	88.1		%	87.9		%	(0.2)	pts	88.4		%	88.3		%	(0.1)	pts
Combined ratio excluding catastrophes and development	89.2		%	89.2		%	—	pts	89.6		%	89.6		%	—	pts
Net accident year catastrophe losses incurred	$	1		$	1				$	1		$	6
Effect on loss & LAE ratio	0.1		%	—		%	(0.1)	pts	0.1		%	0.3		%	0.2	pts
Net prior year development and other: (favorable) / unfavorable	$	(10)		$	(10)				$	(20)		$	(25)
Effect on loss & LAE ratio	(1.2)		%	(1.3)		%	(0.1)	pts	(1.3)		%	(1.6)		%	(0.3)	pts
Rate	7		%	12		%	(5)	pts	8		%	11		%	(3)	pts
Renewal premium change	8		%	12		%	(4)	pts	9		%	12		%	(3)	pts
Retention	85		%	85		%	—	pts	85		%	86		%	(1)	pts
New business	$	132		$	121		9	%	$	277		$	224		24	%

5

Commercial - Results of Operations

Periods ended June 30	Three Months								Six Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	1,429		$	1,161		23	%	$	2,637		$	2,274		16	%
Gross written premiums ex. 3rd party captives	1,321			1,060			25		2,527			2,171			16
Net written premiums	1,134			831			36		2,135			1,791			19
Net earned premiums	974			881			11		1,878			1,736			8
Net investment income	113			174					231			322
Other revenues	4			5					12			10
Total operating revenues	1,091			1,060			3		2,121			2,068			3
Insurance claims and policyholders' benefits	615			594					1,193			1,238
Amortization of deferred acquisition costs	156			148					304			301
Other insurance related expenses	134			136					264			251
Other expenses	11			11					18			20
Total claims, benefits and expenses	916			889			(3)		1,779			1,810			2
Core income (loss) before income tax	175			171					342			258
Income tax (expense) benefit on core income (loss)	(37)			(34)					(72)			(52)
Core income (loss)	$	138		$	137		1	%	$	270		$	206		31	%
Other Performance Metrics
Underwriting gain (loss)	$	69		$	3		N/M	%	$	117		$	(54)		N/M	%
Loss & LAE ratio	62.7		%	66.7		%	4.0	pts	63.0		%	70.7		%	7.7	pts
Expense ratio	30.0			32.3			2.3		30.3			31.8			1.5
Dividend ratio	0.5			0.6			0.1		0.5			0.6			0.1
Combined ratio	93.2		%	99.6		%	6.4	pts	93.8		%	103.1		%	9.3	pts
Combined ratio excluding catastrophes and development	92.0		%	93.0		%	1.0	pts	92.3		%	92.8		%	0.5	pts
Net accident year catastrophe losses incurred	$	29		$	51				$	45		$	166
Effect on loss & LAE ratio	3.0		%	5.8		%	2.8	pts	2.4		%	9.6		%	7.2	pts
Net prior year development and other: (favorable) / unfavorable	$	(16)		$	10				$	(16)		$	14
Effect on loss & LAE ratio	(1.8)		%	0.8		%	2.6	pts	(0.9)		%	0.7		%	1.6	pts
Rate	5		%	8		%	(3)	pts	5		%	9		%	(4)	pts
Renewal premium change	8		%	10		%	(2)	pts	8		%	11		%	(3)	pts
Retention	86		%	80		%	6	pts	86		%	81		%	5	pts
New business	$	280		$	201		39	%	$	508		$	412		23	%

6

International - Results of Operations

Periods ended June 30	Three Months								Six Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	382		$	339		13	%	$	745		$	682		9	%
Net written premiums	330			292			13		581			527			10
Net earned premiums	269			266			1		533			518			3
Net investment income	14			14					28			28
Other revenues	1			1					—			1
Total operating revenues	284			281			1		561			547			3
Insurance claims and policyholders' benefits	160			159					318			314
Amortization of deferred acquisition costs	56			50					95			102
Other insurance related expenses	30			39					77			74
Other expenses	13			(3)					14			(8)
Total claims, benefits and expenses	259			245			(6)		504			482			(5)
Core income (loss) before income tax	25			36					57			65
Income tax (expense) benefit on core income (loss)	(7)			(10)					(13)			(15)
Core income (loss)	$	18		$	26		(31)	%	$	44		$	50		(12)	%
Other Performance Metrics
Underwriting gain (loss)	$	23		$	18		28	%	$	43		$	28		54	%
Loss & LAE ratio	59.5		%	59.5		%	—	pts	59.6		%	60.5		%	0.9	pts
Expense ratio	32.1			33.5			1.4		32.4			33.9			1.5
Dividend ratio	—			—			—		—			—			—
Combined ratio	91.6		%	93.0		%	1.4	pts	92.0		%	94.4		%	2.4	pts
Combined ratio excluding catastrophes and development	90.6		%	92.5		%	1.9	pts	91.0		%	93.2		%	2.2	pts
Net accident year catastrophe losses incurred	$	7		$	2				$	11		$	7
Effect on loss & LAE ratio	2.8		%	0.8		%	(2.0)	pts	2.0		%	1.4		%	(0.6)	pts
Net prior year development and other: (favorable) / unfavorable	$	(5)		$	(1)				$	(5)		$	(1)
Effect on loss & LAE ratio	(1.8)		%	(0.3)		%	1.5	pts	(1.0)		%	(0.2)		%	0.8	pts
Rate	7		%	14		%	(7)	pts	8		%	14		%	(6)	pts
Renewal premium change	10		%	14		%	(4)	pts	10		%	13		%	(3)	pts
Retention	85		%	77		%	8	pts	79		%	76		%	3	pts
New business	$	88		$	71		24	%	$	166		$	150		11	%

7

Life & Group - Results of Operations

Periods ended June 30	Three Months				Six Months
(In millions)	2022		2021		2022		2021
Net earned premiums	$	118	$	126	$	238	$	246
Net investment income	201		265		413		484
Other revenues	1		(1)		—		—
Total operating revenues	320		390		651		730
Insurance claims and policyholders' benefits	293		322		574		603
Other insurance related expenses	29		25		60		50
Other expenses	2		2		5		4
Total claims, benefits and expenses	324		349		639		657
Core income (loss) before income tax	(4)		41		12		73
Income tax (expense) benefit on core income (loss)	10		2		17		6
Core income (loss)	$	6	$	43	$	29	$	79

8

Corporate & Other - Results of Operations

Periods ended June 30	Three Months				Six Months
(In millions)	2022		2021		2022		2021
Net earned premiums	$	—	$	—	$	(1)	$	—
Net investment income	4		4		5		10
Other revenues	—		1		—		—
Total operating revenues	4		5		4		10
Insurance claims and policyholders' benefits	57		31		49		29
Other insurance related expenses	1		—		3		10
Interest expense	28		28		56		56
Other expenses	16		11		27		23
Total claims, benefits and expenses	102		70		135		118
Core income (loss) before income tax	(98)		(65)		(131)		(108)
Income tax (expense) benefit on core income (loss)	20		12		25		19
Core income (loss)	$	(78)	$	(53)	$	(106)	$	(89)

9

Investment Summary - Consolidated

	June 30, 2022				March 31, 2022				December 31, 2021
(In millions)	Carrying Value		Net Unrealized Gains (Losses)		Carrying Value		Net Unrealized Gains (Losses)		Carrying Value		Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds	$	21,665	$	(941)	$	22,786	$	791	$	24,139	$	2,699
States, municipalities and political subdivisions:
Tax-exempt	5,635		88		7,091		485		7,781		1,119
Taxable	4,003		(272)		3,968		58		4,162		466
Total states, municipalities and political subdivisions	9,638		(184)		11,059		543		11,943		1,585
Asset-backed:
RMBS	2,743		(291)		2,848		(135)		2,956		63
CMBS	1,837		(158)		1,940		(68)		2,031		44
Other ABS	2,842		(216)		2,623		(82)		2,598		44
Total asset-backed	7,422		(665)		7,411		(285)		7,585		151
U.S. Treasury and obligations of government-sponsored enterprises	109		(6)		120		(5)		130		(2)
Foreign government	548		(29)		549		(10)		583		13
Redeemable preferred stock	3		—		20		—		—		—
Total fixed maturity securities	39,385		(1,825)		41,945		1,034		44,380		4,446
Equities:
Common stock	222		—		220		—		233		—
Non-redeemable preferred stock	676		—		761		—		802		—
Total equities	898		—		981		—		1,035		—
Limited partnership investments:
Hedge funds	465		—		512		—		595		—
Private equity funds	1,398		—		1,328		—		1,264		—
Total limited partnership investments	1,863		—		1,840		—		1,859		—
Other invested assets	71		—		97		—		91		—
Mortgage loans	949		—		942		—		973		—
Short term investments	1,114		1		1,301		—		1,990		—
Total investments	$	44,280	$	(1,824)	$	47,106	$	1,034	$	50,328	$	4,446
Net receivable/(payable) on investment activity	$	(134)			$	(94)			$	201
Effective duration (in years)	6.8				6.5				6.6
Weighted average rating	A				A				A

RMBS - Residential mortgage-backed securities

CMBS - Commercial mortgage-backed securities

Other ABS - Other asset-backed securities

10

Investment Summary - Property & Casualty and Corporate & Other

	June 30, 2022				March 31, 2022				December 31, 2021
(In millions)	Carrying Value		Net Unrealized Gains (Losses)		Carrying Value		Net Unrealized Gains (Losses)		Carrying Value		Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds	$	13,466	$	(934)	$	14,296	$	(173)	$	14,897	$	713
States, municipalities and political subdivisions:
Tax-exempt	1,397		(182)		1,518		(80)		1,604		92
Taxable	2,132		(343)		2,268		(154)		2,369		69
Total states, municipalities and political subdivisions	3,529		(525)		3,786		(234)		3,973		161
Asset-backed:
RMBS	2,714		(290)		2,802		(135)		2,899		60
CMBS	1,781		(156)		1,871		(67)		1,955		42
Other ABS	2,388		(175)		2,328		(74)		2,326		31
Total asset-backed	6,883		(621)		7,001		(276)		7,180		133
U.S. Treasury and obligations of government-sponsored enterprises	94		—		102		(2)		109		(2)
Foreign government	520		(21)		515		(7)		545		11
Redeemable preferred stock	3		—		20		—		—		—
Total fixed maturity securities	24,495		(2,101)		25,720		(692)		26,704		1,016
Equities:
Common stock	222		—		220		—		233		—
Non-redeemable preferred stock	144		—		171		—		179		—
Total equities	366		—		391		—		412		—
Limited partnership investments:
Hedge funds	257		—		283		—		329		—
Private equity funds	774		—		735		—		700		—
Total limited partnership investments	1,031		—		1,018		—		1,029		—
Other invested assets	71		—		97		—		91		—
Mortgage loans	729		—		722		—		741		—
Short term investments	1,067		1		1,286		—		1,887		—
Total investments	$	27,759	$	(2,100)	$	29,234	$	(692)	$	30,864	$	1,016
Net receivable/(payable) on investment activity	$	(98)			$	(132)			$	145
Effective duration (in years)	5.0				5.0				4.9
Weighted average rating	A				A-				A

11

Investment Summary - Life & Group

	June 30, 2022				March 31, 2022				December 31, 2021
(In millions)	Carrying Value		Net Unrealized Gains (Losses)		Carrying Value		Net Unrealized Gains (Losses)		Carrying Value		Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds	$	8,199	$	(7)	$	8,490	$	964	$	9,242	$	1,986
States, municipalities and political subdivisions:
Tax-exempt	4,238		270		5,573		565		6,177		1,027
Taxable	1,871		71		1,700		212		1,793		397
Total states, municipalities and political subdivisions	6,109		341		7,273		777		7,970		1,424
Asset-backed:
RMBS	29		(1)		46		—		57		3
CMBS	56		(2)		69		(1)		76		2
Other ABS	454		(41)		295		(8)		272		13
Total asset-backed	539		(44)		410		(9)		405		18
U.S. Treasury and obligations of government-sponsored enterprises	15		(6)		18		(3)		21		—
Foreign government	28		(8)		34		(3)		38		2
Redeemable preferred stock	—		—		—		—		—		—
Total fixed maturity securities	14,890		276		16,225		1,726		17,676		3,430
Equities:
Common stock	—		—		—		—		—		—
Non-redeemable preferred stock	532		—		590		—		623		—
Total equities	532		—		590		—		623		—
Limited partnership investments:
Hedge funds	208		—		229		—		266		—
Private equity funds	624		—		593		—		564		—
Total limited partnership investments	832		—		822		—		830		—
Other invested assets	—		—		—		—		—		—
Mortgage loans	220		—		220		—		232		—
Short term investments	47		—		15		—		103		—
Total investments	$	16,521	$	276	$	17,872	$	1,726	$	19,464	$	3,430
Net receivable/(payable) on investment activity	$	(36)			$	38			$	56
Effective duration (in years)	9.7				8.9				9.2
Weighted average rating	A				A				A

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Investments - Fixed Maturity Securities by Credit Rating

June 30, 2022	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)	$	442		$	(19)	$	5,282		$	(132)	$	14,290		$	(606)	$	1,621		$	(183)	$	21,665		$	(941)
States, municipalities and political subdivisions	—			—		1,673			25		5,451			(208)		2,039			42		472			(43)		3			—		9,638			(184)
Asset-backed:
RMBS	2,344			(211)		276			(88)		2			—		15			—		14			1		92			7		2,743			(291)
CMBS	2			—		291			(15)		796			(68)		246			(24)		371			(38)		131			(13)		1,837			(158)
Other ABS	—			—		229			(6)		164			(29)		1,149			(68)		1,142			(95)		158			(18)		2,842			(216)
Total asset-backed	2,346			(211)		796			(109)		962			(97)		1,410			(92)		1,527			(132)		381			(24)		7,422			(665)
U.S. Treasury and obligations of government-sponsored enterprises	109			(6)		—			—		—			—		—			—		—			—		—			—		109			(6)
Foreign government	—			—		145			(2)		281			(11)		94			(13)		28			(3)		—			—		548			(29)
Redeemable preferred stock	—			—		—			—		—			—		—			—		—			—		3			—		3			—
Total fixed maturity securities	$	2,455		$	(217)	$	2,644		$	(87)	$	7,136		$	(335)	$	8,825		$	(195)	$	16,317		$	(784)	$	2,008		$	(207)	$	39,385		$	(1,825)
Percentage of total fixed maturity securities	6		%			7		%			18		%			23		%			41		%			5		%			100		%

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Components of Net Investment Income

Periods ended June 30	Consolidated
	Three Months						Six Months
(In millions)	2022			2021			2022			2021
Taxable fixed income securities	$	385		$	356		$	753		$	715
Tax-exempt fixed income securities	66			79			139			159
Total fixed income securities	451			435			892			874
Common stock	(21)			10			(31)			28
Limited partnerships - hedge funds	(35)			43			(45)			49
Limited partnerships - private equity funds	41			103			69			140
Total limited partnership and common stock investments	(15)			156			(7)			217
Other, net of investment expense	(4)			—			(5)			4
Net investment income	$	432		$	591		$	880		$	1,095
Effective income yield for fixed income securities portfolio	4.3		%	4.3		%	4.3		%	4.4		%
Limited partnership and common stock return	(0.7)			8.3			(0.3)			12.1

	Property & Casualty and Corporate & Other
Periods ended June 30
	Three Months						Six Months
(In millions)	2022			2021			2022			2021
Taxable fixed income securities	$	237		$	220		$	462		$	445
Tax-exempt fixed income securities	12			13			23			25
Total fixed income securities	249			233			485			470
Common stock	(21)			10			(31)			28
Limited partnerships - hedge funds	(20)			24			(25)			27
Limited partnerships - private equity funds	23			57			38			78
Total limited partnership and common stock investments	(18)			91			(18)			133
Other, net of investment expense	—			2			—			8
Net investment income	$	231		$	326		$	467		$	611
Effective income yield for fixed income securities portfolio	3.7		%	3.7		%	3.7		%	3.7		%

Periods ended June 30	Life & Group
(In millions)	Three Months						Six Months
	2022			2021			2022			2021
Taxable fixed income securities	$	148		$	136		$	291		$	270
Tax-exempt fixed income securities	54			66			116			134
Total fixed income securities	202			202			407			404
Common stock	—			—			—			—
Limited partnerships - hedge funds	(15)			19			(20)			22
Limited partnerships - private equity funds	18			46			31			62
Total limited partnership and common stock investments	3			65			11			84
Other, net of investment expense	(4)			(2)			(5)			(4)
Net investment income	$	201		$	265		$	413		$	484
Effective income yield for fixed income securities portfolio	5.4		%	5.5		%	5.4		%	5.5		%

14

Net Investment Gains (Losses)

Periods ended June 30	Consolidated
	Three Months				Six Months
(In millions)	2022		2021		2022		2021
Fixed maturity securities:
Corporate and other bonds	$	(30)	$	43	$	(27)	$	79
States, municipalities and political subdivisions	19		—		22		(1)
Asset-backed	(4)		(12)		(12)		(9)
Total fixed maturity securities	(15)		31		(17)		69
Non-redeemable preferred stock	(71)		17		(109)		19
Short term and other	27		(10)		56		7
Net investment (losses) gains	(59)		38		(70)		95
Income tax benefit (expense) on net investment (losses) gains	19		(11)		27		(19)
Net investment (losses) gains, after tax	$	(40)	$	27	$	(43)	$	76

15

Claim & Claim Adjustment Expense Reserve Rollforward

Three months ended June 30, 2022 (In millions)	Specialty		Commercial		International		P&C Operations		Life & Group		Corporate & Other		Total Operations
Claim & claim adjustment expense reserves, beginning of period
Gross	$	6,623	$	8,934	$	2,316	$	17,873	$	3,712	$	2,763	$	24,348
Ceded	1,240		823		347		2,410		112		2,480		5,002
Net	5,383		8,111		1,969		15,463		3,600		283		19,346
Net incurred claim & claim adjustment expenses	456		611		160		1,227		250		68		1,545
Net claim & claim adjustment expense payments	(427)		(582)		(90)		(1,099)		(251)		(8)		(1,358)
Foreign currency translation adjustment and other	—		—		(90)		(90)		(40)		—		(130)
Claim & claim adjustment expense reserves, end of period
Net	5,412		8,140		1,949		15,501		3,559		343		19,403
Ceded	1,449		814		358		2,621		111		2,424		5,156
Gross	$	6,861	$	8,954	$	2,307	$	18,122	$	3,670	$	2,767	$	24,559

Six months ended June 30, 2022 (In millions)	Specialty		Commercial		International		P&C Operations		Life & Group		Corporate & Other		Total Operations
Claim & claim adjustment expense reserves, beginning of period
Gross	$	6,433	$	8,890	$	2,280	$	17,603	$	3,754	$	2,817	$	24,174
Ceded	1,168		825		340		2,333		113		2,523		4,969
Net	5,265		8,065		1,940		15,270		3,641		294		19,205
Net incurred claim & claim adjustment expenses	901		1,183		318		2,402		521		72		2,995
Net claim & claim adjustment expense payments	(754)		(1,108)		(192)		(2,054)		(498)		(23)		(2,575)
Foreign currency translation adjustment and other	—		—		(117)		(117)		(105)		—		(222)
Claim & claim adjustment expense reserves, end of period
Net	5,412		8,140		1,949		15,501		3,559		343		19,403
Ceded	1,449		814		358		2,621		111		2,424		5,156
Gross	$	6,861	$	8,954	$	2,307	$	18,122	$	3,670	$	2,767	$	24,559

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Life & Group Policyholder Reserves

June 30, 2022
(In millions)	Claim and claim adjustment expenses		Future policy benefits		Total
Long term care	$	2,936	$	10,065	$	13,001
Structured settlement annuities and other	528		—		528
Total	3,464		10,065		13,529
Shadow adjustments	95		515		610
Ceded reserves	111		346		457
Total gross reserves	$	3,670	$	10,926	$	14,596

December 31, 2021
(In millions)	Claim and claim adjustment expenses		Future policy benefits		Total
Long term care	$	2,905	$	10,012	$	12,917
Structured settlement annuities and other	536		—		536
Total	3,441		10,012		13,453
Shadow adjustments	200		2,936		3,136
Ceded reserves	113		288		401
Total gross reserves	$	3,754	$	13,236	$	16,990

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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 primarily includes the results of long term care businesses that are in run-off.

•Corporate & Other segment primarily includes certain corporate expenses including interest on corporate debt and the results of certain property and casualty businesses in run-off, including CNA Re, asbestos and environmental pollution, excess workers' compensation and legacy mass tort. Intersegment eliminations are also included in this segment.

•Management uses the core income (loss) financial measure to monitor the Company’s operations. Please refer to Note O to the Consolidated Financial Statements within the December 31, 2021 Form 10-K for further discussion of this non-GAAP financial measure.

•Management uses underwriting results to monitor insurance operations. Underwriting results are pretax and are 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.

•In the evaluation of the results of Specialty, Commercial and International, 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. 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. Rate, renewal premium change and retention presented for the prior year is updated to reflect subsequent activity on policies written in the period. New business represents premiums from policies written with new customers and additional policies written with existing customers.

•This financial supplement may also reference or contain financial measures that are not in accordance with GAAP. Management utilizes these financial measures to monitor the Company's insurance operations and investment portfolio. Core income, which is derived from certain income statement amounts, is used by management to monitor performance of the Company's insurance operations. 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.

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•Core income (loss) is calculated by excluding from net income (loss) the after-tax effects of net investment gains or losses and any cumulative effects of changes in accounting guidance. 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. 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.

•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 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

19