CNA Financial Corporation

Supplemental Financial Information

September 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 September 30	Three Months						Nine Months
(In millions)	2022		2021		Change		2022		2021		Change
Revenues:
Net earned premiums	$	2,221	$	2,059	8	%	$	6,435	$	6,056	6	%
Net investment income	422		513		(18)		1,302		1,608		(19)
Net investment (losses) gains	(96)		22				(166)		117
Non-insurance warranty revenue	399		357				1,173		1,054
Other revenues	11		8				24		19
Total revenues	2,957		2,959		—		8,768		8,854		(1)
Claims, Benefits and Expenses:
Insurance claims and policyholders' benefits	1,665		1,632				4,703		4,684
Amortization of deferred acquisition costs	383		368				1,101		1,084
Non-insurance warranty expense	371		330				1,092		973
Other operating expenses	346		287				1,001		874
Interest	28		28				84		85
Total claims, benefits and expenses	2,793		2,645		(6)		7,981		7,700		(4)
Income (loss) before income tax	164		314				787		1,154
Income tax (expense) benefit	(36)		(58)				(141)		(218)
Net income (loss)	$	128	$	256	(50)	%	$	646	$	936	(31)	%

1

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

Periods ended September 30	Three Months						Nine Months
(In millions, except per share data)	2022			2021			2022			2021
Components of Income (Loss)
Core income (loss)	$	213		$	237		$	774		$	841
Net investment gains (losses)	(85)			19			(128)			95
Net income (loss)	$	128		$	256		$	646		$	936
Diluted Earnings (Loss) Per Common Share
Core income (loss)	$	0.78		$	0.87		$	2.84		$	3.08
Net investment gains (losses)	(0.31)			0.07			(0.47)			0.35
Diluted earnings (loss) per share	$	0.47		$	0.94		$	2.37		$	3.43
Weighted Average Outstanding Common Stock and Common Stock Equivalents
Basic	271.4			271.7			271.7			271.8
Diluted	272.3			272.7			272.6			272.8
Return on Equity
Net income (loss) (1)	5.8		%	8.1		%	8.2		%	9.8		%
Core income (loss) (2)	6.9			7.7			8.3			9.3

(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)	September 30, 2022		December 31, 2021
Total investments	$	42,137	$	50,328
Reinsurance receivables, net of allowance for uncollectible receivables	5,700		5,463
Total assets	60,215		66,639
Insurance reserves	41,349		43,171
Debt	2,780		2,779
Total liabilities	52,121		53,830
Accumulated other comprehensive income (loss) (1)	(4,139)		320
Total stockholders' equity	8,094		12,809
Book value per common share	$	29.88	$	47.20
Book value per common share excluding AOCI	$	45.16	$	46.02
Outstanding shares of common stock (in millions of shares)	270.9		271.4
Statutory capital and surplus - Combined Continental Casualty Companies (2)	$	10,382	$	11,321

Three Months Ended September 30	2022		2021
Net cash flows provided (used) by operating activities	$	737	$	669
Net cash flows provided (used) by investing activities	(641)		(395)
Net cash flows provided (used) by financing activities	(138)		(104)
Net cash flows provided (used) by operating, investing and financing activities	$	(42)	$	170

Nine Months Ended September 30	2022		2021
Net cash flows provided (used) by operating activities	$	1,990	$	1,354
Net cash flows provided (used) by investing activities	(1,072)		(597)
Net cash flows provided (used) by financing activities	(924)		(545)
Net cash flows provided (used) by operating, investing and financing activities	$	(6)	$	212

(1) As of September 30, 2022 and December 31, 2021, the net unrealized gains on investments included in AOCI were net of after-tax Shadow Adjustments of $46 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 is recorded, as a reduction of net unrealized gains (losses), net of tax, through Other comprehensive income (loss) (Shadow Adjustments).

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

3

Property & Casualty - Results of Operations

Periods ended September 30	Three Months								Nine Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	3,365		$	3,239		4	%	$	10,497		$	9,892		6	%
Gross written premiums ex. 3rd party captives	2,430			2,224			9		7,560			6,790			11
Net written premiums	2,060			1,909			8		6,379			5,755			11
Net earned premiums	2,103			1,937			9		6,080			5,688			7
Net investment income	230			271					692			872
Non-insurance warranty revenue	399			357					1,173			1,054
Other revenues	12			8					25			19
Total operating revenues	2,744			2,573			7		7,970			7,633			4
Insurance claims and policyholders' benefits	1,368			1,342					3,783			3,762
Amortization of deferred acquisition costs	383			368					1,101			1,084
Non-insurance warranty expense	371			330					1,092			973
Other insurance related expenses	268			228					771			694
Other expenses	29			25					86			60
Total claims, benefits and expenses	2,419			2,293			(5)		6,833			6,573			(4)
Core income (loss) before income tax	325			280					1,137			1,060
Income tax (expense) benefit on core income (loss)	(65)			(63)					(239)			(229)
Core income (loss)	$	260		$	217		20	%	$	898		$	831		8	%
Other Performance Metrics
Underwriting gain (loss)	$	84		$	(1)		N/M	%	$	425		$	148		187	%
Loss & LAE ratio	64.6		%	69.1		%	4.5	pts	61.9		%	65.8		%	3.9	pts
Expense ratio	30.8			30.7			(0.1)		30.8			31.3			0.5
Dividend ratio	0.4			0.2			(0.2)		0.3			0.3			—
Combined ratio	95.8		%	100.0		%	4.2	pts	93.0		%	97.4		%	4.4	pts
Combined ratio excluding catastrophes and development	91.1		%	91.1		%	—	pts	91.1		%	91.5		%	0.4	pts
Net accident year catastrophe losses incurred	$	114		$	178				$	171		$	357
Effect on loss & LAE ratio	5.5		%	9.2		%	3.7	pts	2.8		%	6.3		%	3.5	pts
Net prior year development and other: (favorable) / unfavorable	$	(15)		$	(5)				$	(56)		$	(17)
Effect on loss & LAE ratio	(0.8)		%	(0.3)		%	0.5	pts	(0.9)		%	(0.4)		%	0.5	pts
Rate	5		%	8		%	(3)	pts	6		%	10		%	(4)	pts
Renewal premium change	8		%	10		%	(2)	pts	8		%	11		%	(3)	pts
Retention	85		%	81		%	4	pts	85		%	82		%	3	pts
New business	$	455		$	405		12	%	$	1,406		$	1,189		18	%

4

Specialty - Results of Operations

Periods ended September 30	Three Months								Nine Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	1,890		$	1,953		(3)	%	$	5,640		$	5,650		—	%
Gross written premiums ex. 3rd party captives	958			943			2		2,816			2,656			6
Net written premiums	840			822			2		2,443			2,350			4
Net earned premiums	810			773			5		2,376			2,270			5
Net investment income	102			116					305			367
Non-insurance warranty revenue	399			357					1,173			1,054
Other revenues	(1)			1					—			1
Total operating revenues	1,310			1,247			5		3,854			3,692			4
Insurance claims and policyholders' benefits	461			446					1,365			1,314
Amortization of deferred acquisition costs	169			165					488			478
Non-insurance warranty expense	371			330					1,092			973
Other insurance related expenses	88			71					250			212
Other expenses	15			13					40			36
Total claims, benefits and expenses	1,104			1,025			(8)		3,235			3,013			(7)
Core income (loss) before income tax	206			222					619			679
Income tax (expense) benefit on core income (loss)	(45)			(49)					(134)			(148)
Core income (loss)	$	161		$	173		(7)	%	$	485		$	531		(9)	%
Other Performance Metrics
Underwriting gain (loss)	$	92		$	91		1	%	$	273		$	266		3	%
Loss & LAE ratio	56.7		%	57.7		%	1.0	pts	57.3		%	57.8		%	0.5	pts
Expense ratio	31.7			30.6			(1.1)		31.0			30.4			(0.6)
Dividend ratio	0.3			(0.1)			(0.4)		0.2			0.1			(0.1)
Combined ratio	88.7		%	88.2		%	(0.5)	pts	88.5		%	88.3		%	(0.2)	pts
Combined ratio excluding catastrophes and development	90.4		%	89.6		%	(0.8)	pts	89.8		%	89.6		%	(0.2)	pts
Net accident year catastrophe losses incurred	$	1		$	3				$	2		$	9
Effect on loss & LAE ratio	0.2		%	0.4		%	0.2	pts	0.1		%	0.4		%	0.3	pts
Net prior year development and other: (favorable) / unfavorable	$	(15)		$	(13)				$	(35)		$	(38)
Effect on loss & LAE ratio	(1.9)		%	(1.8)		%	0.1	pts	(1.4)		%	(1.7)		%	(0.3)	pts
Rate	5		%	10		%	(5)	pts	7		%	11		%	(4)	pts
Renewal premium change	6		%	11		%	(5)	pts	8		%	12		%	(4)	pts
Retention	87		%	80		%	7	pts	86		%	84		%	2	pts
New business	$	130		$	147		(12)	%	$	407		$	370		10	%

5

Commercial - Results of Operations

Periods ended September 30	Three Months								Nine Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	1,187		$	1,010		18	%	$	3,824		$	3,284		16	%
Gross written premiums ex. 3rd party captives	1,184			1,005			18		3,711			3,176			17
Net written premiums	962			831			16		3,097			2,622			18
Net earned premiums	1,023			893			15		2,901			2,629			10
Net investment income	112			141					343			463
Other revenues	13			7					25			17
Total operating revenues	1,148			1,041			10		3,269			3,109			5
Insurance claims and policyholders' benefits	738			725					1,931			1,963
Amortization of deferred acquisition costs	163			148					467			449
Other insurance related expenses	145			125					409			376
Other expenses	3			8					21			28
Total claims, benefits and expenses	1,049			1,006			(4)		2,828			2,816			—
Core income (loss) before income tax	99			35					441			293
Income tax (expense) benefit on core income (loss)	(19)			(8)					(91)			(60)
Core income (loss)	$	80		$	27		196	%	$	350		$	233		50	%
Other Performance Metrics
Underwriting gain (loss)	$	(23)		$	(105)		78	%	$	94		$	(159)		159	%
Loss & LAE ratio	71.5		%	80.6		%	9.1	pts	66.0		%	74.0		%	8.0	pts
Expense ratio	29.9			30.4			0.5		30.1			31.4			1.3
Dividend ratio	0.5			0.6			0.1		0.5			0.6			0.1
Combined ratio	101.9		%	111.6		%	9.7	pts	96.6		%	106.0		%	9.4	pts
Combined ratio excluding catastrophes and development	91.9		%	92.5		%	0.6	pts	92.1		%	92.8		%	0.7	pts
Net accident year catastrophe losses incurred	$	103		$	166				$	148		$	332
Effect on loss & LAE ratio	10.0		%	18.6		%	8.6	pts	5.0		%	12.6		%	7.6	pts
Net prior year development and other: (favorable) / unfavorable	$	—		$	5				$	(16)		$	19
Effect on loss & LAE ratio	—		%	0.5		%	0.5	pts	(0.5)		%	0.6		%	1.1	pts
Rate	4		%	6		%	(2)	pts	5		%	8		%	(3)	pts
Renewal premium change	8		%	9		%	(1)	pts	8		%	11		%	(3)	pts
Retention	84		%	83		%	1	pts	86		%	82		%	4	pts
New business	$	246		$	204		21	%	$	754		$	615		23	%

6

International - Results of Operations

Periods ended September 30	Three Months								Nine Months
(In millions)	2022			2021			Change		2022			2021			Change
Gross written premiums	$	288		$	276		4	%	$	1,033		$	958		8	%
Net written premiums	258			256			1		839			783			7
Net earned premiums	270			271			—		803			789			2
Net investment income	16			14					44			42
Other revenues	—			—					—			1
Total operating revenues	286			285			—		847			832			2
Insurance claims and policyholders' benefits	169			171					487			485
Amortization of deferred acquisition costs	51			55					146			157
Other insurance related expenses	35			32					112			106
Other expenses	11			4					25			(4)
Total claims, benefits and expenses	266			262			(2)		770			744			(3)
Core income (loss) before income tax	20			23					77			88
Income tax (expense) benefit on core income (loss)	(1)			(6)					(14)			(21)
Core income (loss)	$	19		$	17		12	%	$	63		$	67		(6)	%
Other Performance Metrics
Underwriting gain (loss)	$	15		$	13		15	%	$	58		$	41		41	%
Loss & LAE ratio	62.7		%	63.4		%	0.7	pts	60.7		%	61.5		%	0.8	pts
Expense ratio	31.7			32.1			0.4		32.1			33.3			1.2
Dividend ratio	—			—			—		—			—			—
Combined ratio	94.4		%	95.5		%	1.1	pts	92.8		%	94.8		%	2.0	pts
Combined ratio excluding catastrophes and development	90.3		%	91.0		%	0.7	pts	90.7		%	92.5		%	1.8	pts
Net accident year catastrophe losses incurred	$	10		$	9				$	21		$	16
Effect on loss & LAE ratio	4.1		%	3.4		%	(0.7)	pts	2.7		%	2.0		%	(0.7)	pts
Net prior year development and other: (favorable) / unfavorable	$	—		$	3				$	(5)		$	2
Effect on loss & LAE ratio	—		%	1.1		%	1.1	pts	(0.6)		%	0.3		%	0.9	pts
Rate	6		%	13		%	(7)	pts	7		%	14		%	(7)	pts
Renewal premium change	12		%	13		%	(1)	pts	11		%	13		%	(2)	pts
Retention	82		%	79		%	3	pts	79		%	77		%	2	pts
New business	$	79		$	54		46	%	$	245		$	204		20	%

7

Life & Group - Results of Operations

Periods ended September 30	Three Months				Nine Months
(In millions)	2022		2021		2022		2021
Net earned premiums	$	118	$	123	$	356	$	369
Net investment income	187		240		600		724
Other revenues	—		(1)		—		(1)
Total operating revenues	305		362		956		1,092
Insurance claims and policyholders' benefits	310		296		884		899
Other insurance related expenses	29		27		89		77
Other expenses	2		1		7		5
Total claims, benefits and expenses	341		324		980		981
Core income (loss) before income tax	(36)		38		(24)		111
Income tax (expense) benefit on core income (loss)	14		3		31		9
Core income (loss)	$	(22)	$	41	$	7	$	120

8

Corporate & Other - Results of Operations

Periods ended September 30	Three Months				Nine Months
(In millions)	2022		2021		2022		2021
Net earned premiums	$	—	$	(1)	$	(1)	$	(1)
Net investment income	5		2		10		12
Other revenues	(1)		1		(1)		1
Total operating revenues	4		2		8		12
Insurance claims and policyholders' benefits	(13)		(6)		36		23
Other insurance related expenses	—		(2)		3		8
Interest expense	28		28		84		84
Other expenses	18		8		45		31
Total claims, benefits and expenses	33		28		168		146
Core income (loss) before income tax	(29)		(26)		(160)		(134)
Income tax (expense) benefit on core income (loss)	4		5		29		24
Core income (loss)	$	(25)	$	(21)	$	(131)	$	(110)

9

Investment Summary - Consolidated

	September 30, 2022				June 30, 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	$	20,927	$	(2,167)	$	21,665	$	(941)	$	24,139	$	2,699
States, municipalities and political subdivisions:
Tax-exempt	4,632		(267)		5,635		88		7,781		1,119
Taxable	3,791		(554)		4,003		(272)		4,162		466
Total states, municipalities and political subdivisions	8,423		(821)		9,638		(184)		11,943		1,585
Asset-backed:
RMBS	2,689		(464)		2,743		(291)		2,956		63
CMBS	1,688		(233)		1,837		(158)		2,031		44
Other ABS	2,914		(347)		2,842		(216)		2,598		44
Total asset-backed	7,291		(1,044)		7,422		(665)		7,585		151
U.S. Treasury and obligations of government-sponsored enterprises	109		2		109		(6)		130		(2)
Foreign government	498		(46)		548		(29)		583		13
Redeemable preferred stock	3		—		3		—		—		—
Total fixed maturity securities	37,251		(4,076)		39,385		(1,825)		44,380		4,446
Equities:
Common stock	210		—		222		—		233		—
Non-redeemable preferred stock	681		—		676		—		802		—
Total equities	891		—		898		—		1,035		—
Limited partnership investments:
Hedge funds	464		—		465		—		595		—
Private equity funds	1,431		—		1,398		—		1,264		—
Total limited partnership investments	1,895		—		1,863		—		1,859		—
Other invested assets	73		—		71		—		91		—
Mortgage loans	953		—		949		—		973		—
Short term investments	1,074		1		1,114		1		1,990		—
Total investments	$	42,137	$	(4,075)	$	44,280	$	(1,824)	$	50,328	$	4,446
Net receivable/(payable) on investment activity	$	(14)			$	(134)			$	201
Effective duration (in years)	6.7				6.8				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

	September 30, 2022				June 30, 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	$	12,997	$	(1,458)	$	13,466	$	(934)	$	14,897	$	713
States, municipalities and political subdivisions:
Tax-exempt	1,275		(273)		1,397		(182)		1,604		92
Taxable	1,989		(484)		2,132		(343)		2,369		69
Total states, municipalities and political subdivisions	3,264		(757)		3,529		(525)		3,973		161
Asset-backed:
RMBS	2,669		(464)		2,714		(290)		2,899		60
CMBS	1,651		(231)		1,781		(156)		1,955		42
Other ABS	2,401		(266)		2,388		(175)		2,326		31
Total asset-backed	6,721		(961)		6,883		(621)		7,180		133
U.S. Treasury and obligations of government-sponsored enterprises	96		2		94		—		109		(2)
Foreign government	472		(35)		520		(21)		545		11
Redeemable preferred stock	3		—		3		—		—		—
Total fixed maturity securities	23,553		(3,209)		24,495		(2,101)		26,704		1,016
Equities:
Common stock	210		—		222		—		233		—
Non-redeemable preferred stock	140		—		144		—		179		—
Total equities	350		—		366		—		412		—
Limited partnership investments:
Hedge funds	257		—		257		—		329		—
Private equity funds	792		—		774		—		700		—
Total limited partnership investments	1,049		—		1,031		—		1,029		—
Other invested assets	73		—		71		—		91		—
Mortgage loans	729		—		729		—		741		—
Short term investments	1,048		1		1,067		1		1,887		—
Total investments	$	26,802	$	(3,208)	$	27,759	$	(2,100)	$	30,864	$	1,016
Net receivable/(payable) on investment activity	$	(2)			$	(98)			$	145
Effective duration (in years)	4.8				5.0				4.9
Weighted average rating	A-				A				A

11

Investment Summary - Life & Group

	September 30, 2022				June 30, 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	$	7,930	$	(709)	$	8,199	$	(7)	$	9,242	$	1,986
States, municipalities and political subdivisions:
Tax-exempt	3,357		6		4,238		270		6,177		1,027
Taxable	1,802		(70)		1,871		71		1,793		397
Total states, municipalities and political subdivisions	5,159		(64)		6,109		341		7,970		1,424
Asset-backed:
RMBS	20		—		29		(1)		57		3
CMBS	37		(2)		56		(2)		76		2
Other ABS	513		(81)		454		(41)		272		13
Total asset-backed	570		(83)		539		(44)		405		18
U.S. Treasury and obligations of government-sponsored enterprises	13		—		15		(6)		21		—
Foreign government	26		(11)		28		(8)		38		2
Redeemable preferred stock	—		—		—		—		—		—
Total fixed maturity securities	13,698		(867)		14,890		276		17,676		3,430
Equities:
Common stock	—		—		—		—		—		—
Non-redeemable preferred stock	541		—		532		—		623		—
Total equities	541		—		532		—		623		—
Limited partnership investments:
Hedge funds	207		—		208		—		266		—
Private equity funds	639		—		624		—		564		—
Total limited partnership investments	846		—		832		—		830		—
Other invested assets	—		—		—		—		—		—
Mortgage loans	224		—		220		—		232		—
Short term investments	26		—		47		—		103		—
Total investments	$	15,335	$	(867)	$	16,521	$	276	$	19,464	$	3,430
Net receivable/(payable) on investment activity	$	(12)			$	(36)			$	56
Effective duration (in years)	9.8				9.7				9.2
Weighted average rating	A				A				A

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Investments - Fixed Maturity Securities by Credit Rating

September 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	$	—		$	—	$	27		$	(3)	$	413		$	(42)	$	5,342		$	(430)	$	13,465		$	(1,496)	$	1,680		$	(196)	$	20,927		$	(2,167)
States, municipalities and political subdivisions	—			—		1,394			(80)		4,833			(577)		1,902			(82)		293			(82)		1			—		8,423			(821)
Asset-backed:
RMBS	2,342			(359)		251			(109)		5			—		13			—		20			—		58			4		2,689			(464)
CMBS	1			—		304			(30)		689			(107)		232			(33)		334			(47)		128			(16)		1,688			(233)
Other ABS	—			—		263			(23)		186			(45)		1,174			(105)		1,129			(148)		162			(26)		2,914			(347)
Total asset-backed	2,343			(359)		818			(162)		880			(152)		1,419			(138)		1,483			(195)		348			(38)		7,291			(1,044)
U.S. Treasury and obligations of government-sponsored enterprises	109			2		—			—		—			—		—			—		—			—		—			—		109			2
Foreign government	—			—		135			(5)		261			(21)		76			(17)		26			(3)		—			—		498			(46)
Redeemable preferred stock	—			—		—			—		—			—		—			—		—			—		3			—		3			—
Total fixed maturity securities	$	2,452		$	(357)	$	2,374		$	(250)	$	6,387		$	(792)	$	8,739		$	(667)	$	15,267		$	(1,776)	$	2,032		$	(234)	$	37,251		$	(4,076)
Percentage of total fixed maturity securities	7		%			6		%			17		%			24		%			41		%			5		%			100		%

13

Components of Net Investment Income

Periods ended September 30	Consolidated
	Three Months						Nine Months
(In millions)	2022			2021			2022			2021
Taxable fixed income securities	$	410		$	360		$	1,163		$	1,075
Tax-exempt fixed income securities	55			77			194			236
Total fixed income securities	465			437			1,357			1,311
Common stock	(9)			(8)			(40)			20
Limited partnerships - hedge funds	1			(14)			(44)			35
Limited partnerships - private equity funds	(36)			99			33			239
Total limited partnership and common stock investments	(44)			77			(51)			294
Other, net of investment expense	1			(1)			(4)			3
Net investment income	$	422		$	513		$	1,302		$	1,608
Effective income yield for fixed income securities portfolio	4.4		%	4.3		%	4.3		%	4.3		%
Limited partnership and common stock return	(2.1)			3.8			(2.4)			16.4

	Property & Casualty and Corporate & Other
Periods ended September 30
	Three Months						Nine Months
(In millions)	2022			2021			2022			2021
Taxable fixed income securities	$	247		$	221		$	709		$	666
Tax-exempt fixed income securities	11			12			34			37
Total fixed income securities	258			233			743			703
Common stock	(9)			(8)			(40)			20
Limited partnerships - hedge funds	1			(8)			(24)			19
Limited partnerships - private equity funds	(20)			55			18			133
Total limited partnership and common stock investments	(28)			39			(46)			172
Other, net of investment expense	5			1			5			9
Net investment income	$	235		$	273		$	702		$	884
Effective income yield for fixed income securities portfolio	3.8		%	3.6		%	3.7		%	3.7		%

Periods ended September 30	Life & Group
	Three Months						Nine Months
(In millions)	2022			2021			2022			2021
Taxable fixed income securities	$	163		$	139		$	454		$	409
Tax-exempt fixed income securities	44			65			160			199
Total fixed income securities	207			204			614			608
Common stock	—			—			—			—
Limited partnerships - hedge funds	—			(6)			(20)			16
Limited partnerships - private equity funds	(16)			44			15			106
Total limited partnership and common stock investments	(16)			38			(5)			122
Other, net of investment expense	(4)			(2)			(9)			(6)
Net investment income	$	187		$	240		$	600		$	724
Effective income yield for fixed income securities portfolio	5.5		%	5.5		%	5.4		%	5.5		%

14

Net Investment Gains (Losses)

Periods ended September 30	Consolidated
	Three Months				Nine Months
(In millions)	2022		2021		2022		2021
Fixed maturity securities: (1)
Corporate and other bonds	$	(41)	$	36	$	(68)	$	115
States, municipalities and political subdivisions	6		1		28		—
Asset-backed	(17)		(15)		(29)		(24)
Total fixed maturity securities	(52)		22		(69)		91
Non-redeemable preferred stock	(2)		(2)		(111)		17
Derivatives, short term and other	(34)		2		22		9
Mortgage loans	(8)		—		(8)		—
Net investment (losses) gains	(96)		22		(166)		117
Income tax benefit (expense) on net investment (losses) gains	11		(3)		38		(22)
Net investment (losses) gains, after tax	$	(85)	$	19	$	(128)	$	95

(1) Excludes the loss in the third quarter of 2022 on the assets supporting the funds withheld liability, which is reflected in the Derivatives, short term and other line

Derivatives, short term and other for the three months ended September 30, 2022 includes a $35 million non-economic net loss related to the expected novation of a coinsurance agreement on the Company's legacy annuity business in the Life & Group segment and the associated funds withheld embedded derivative.

15

Claim & Claim Adjustment Expense Reserve Rollforward

Three months ended September 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	$	6,861	$	8,954	$	2,307	$	18,122	$	3,670	$	2,767	$	24,559
Ceded	1,449		814		358		2,621		111		2,424		5,156
Net	5,412		8,140		1,949		15,501		3,559		343		19,403
Net incurred claim & claim adjustment expenses	459		732		169		1,360		266		4		1,630
Net claim & claim adjustment expense payments	(385)		(565)		(112)		(1,062)		(250)		(7)		(1,319)
Foreign currency translation adjustment and other	(1)		(2)		(122)		(125)		(36)		—		(161)
Claim & claim adjustment expense reserves, end of period
Net	5,485		8,305		1,884		15,674		3,539		340		19,553
Ceded	1,440		867		378		2,685		106		2,356		5,147
Gross	$	6,925	$	9,172	$	2,262	$	18,359	$	3,645	$	2,696	$	24,700

Nine months ended September 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	1,360		1,915		487		3,762		787		76		4,625
Net claim & claim adjustment expense payments	(1,139)		(1,673)		(304)		(3,116)		(748)		(30)		(3,894)
Foreign currency translation adjustment and other	(1)		(2)		(239)		(242)		(141)		—		(383)
Claim & claim adjustment expense reserves, end of period
Net	5,485		8,305		1,884		15,674		3,539		340		19,553
Ceded	1,440		867		378		2,685		106		2,356		5,147
Gross	$	6,925	$	9,172	$	2,262	$	18,359	$	3,645	$	2,696	$	24,700

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Life & Group Policyholder Reserves

September 30, 2022
(In millions)	Claim and claim adjustment expenses		Future policy benefits		Total
Long term care	$	2,959	$	10,109	$	13,068
Structured settlement annuities and other	521		—		521
Total	3,480		10,109		13,589
Shadow adjustments	59		—		59
Ceded reserves	106		346		452
Total gross reserves	$	3,645	$	10,455	$	14,100

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.

18

•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