Exhibit 99.2
CNA Financial Corporation
Supplemental Financial Information
March 31, 2008
Supplemental Financial Information
March 31, 2008
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.
CNA Financial Corporation
Table of Contents
March 31, 2008
Table of Contents
March 31, 2008
| Page | ||
| Definitions and Presentation | i | |
| Statements of Operations | 1 | |
| Components of Net Income, Per Share Data and Return on Equity | 2 | |
| Selected Balance Sheets Data and Statements of Cash Flows Data | 3 | |
| Claim & Claim Adjustment Expense Reserve Rollforward | 4 | |
| Investments by Segment Aggregation | 5 | |
| Mortgage and Asset-Backed Holdings | 6-9 | |
| Property & Casualty Results of Operations | 10 | |
| Life & Group Non-Core and Corporate & Other Non-Core Segments Results of Operations | 11 | |
| Analysis of Pretax Net Investment Income | 12 | |
| Statutory Data — Preliminary | 13 | |
| Property & Casualty Operations Loss and LAE Ratio Analysis | 14 |
CNA Financial Corporation
Definitions and Presentation
Definitions and Presentation
| • | P&C Operationsincludes Standard Lines and Specialty Lines. | |
| • | Life & Group Non-Coresegment primarily includes the results of the life and group lines of business that are in run-off. | |
| • | Corporate & Other Non-Coresegment primarily includes certain corporate expenses including interest on corporate debt and the results of certain property and casualty business primarily in run-off, including CNA Re. This segment also includes the results related to the centralized adjusting and settlement of asbestos and environmental pollution claims (A&E). | |
| • | Property and Casualty Companiesincludes Standard Lines, Specialty Lines and P&C business written in the Life & Group Non-Core and Corporate & Other Non-Core segments. | |
| • | Management utilizes the net operating income financial measure to monitor the Company’s operations. Please refer to Note N of the Consolidated Financial Statements within the 2007 Form 10-K for further discussion of this measure. | |
| • | In evaluating the results of Standard Lines and Specialty Lines, management utilizes the combined ratio, the loss ratio, the expense ratio, and the dividend ratio. These ratios are calculated using financial results prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). 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. | |
| • | Limited partnerships (LPs) are a relatively small portion of CNA’s overall investment portfolio. The majority of the LPs employ strategies that generate returns through investing in a substantial number of securities that are readily marketable while engaging in various risk management techniques primarily in fixed and public equity markets. Some of these limited partnership investment strategies may include low levels of leverage and hedging that potentially introduce more volatility and risk to the partnership returns. | |
| • | Certain immaterial differences are due to rounding. | |
| • | N/M = Not Meaningful |
i
CNA FINANCIAL CORPORATION
Financial Supplement
Statements of Operations
Financial Supplement
Statements of Operations
| Three Months | ||||||||||||
| PERIOD ENDED MARCH 31 | Fav / | |||||||||||
| (Unfav) | ||||||||||||
| (In millions) | 2008 | 2007 | % Change | |||||||||
STATEMENTS OF OPERATIONS | ||||||||||||
| Revenues: | ||||||||||||
| Net earned premiums | $ | 1,813 | $ | 1,863 | (3) | % | ||||||
| Net investment income | 434 | 608 | (29 | ) | ||||||||
| Realized investment losses, net of participating policyholders’ and minority interests | (51 | ) | (21 | ) | (143 | ) | ||||||
| Other revenues | 86 | 67 | 28 | |||||||||
| Total revenues | 2,282 | 2,517 | (9 | ) | ||||||||
| Claims, benefits and expenses: | ||||||||||||
| Insurance claims and policyholders’ benefits | 1,389 | 1,448 | 4 | |||||||||
| Amortization of deferred acquisition costs | 368 | 381 | 3 | |||||||||
| Other operating expenses | 227 | 218 | (4 | ) | ||||||||
| Interest | 34 | 34 | — | |||||||||
| Total claims, benefits and expenses | 2,018 | 2,081 | 3 | |||||||||
| Income before income tax and minority interest | 264 | 436 | (39 | ) | ||||||||
| Income tax expense | (64 | ) | (132 | ) | 52 | |||||||
| Minority interest | (12 | ) | (10 | ) | (20 | ) | ||||||
| Income from continuing operations | 188 | 294 | (36 | ) | ||||||||
| Income (loss) from discontinued operations, net of tax | (1 | ) | 2 | (150 | ) | |||||||
| Net income | $ | 187 | $ | 296 | (37) | % | ||||||
1
CNA FINANCIAL CORPORATION
Financial Supplement
Components of Net Income, Per Share Data and Return on Equity
Financial Supplement
Components of Net Income, Per Share Data and Return on Equity
| PERIOD ENDED MARCH 31 | Three Months | |||||||||||
| Fav / | ||||||||||||
| (Unfav) | ||||||||||||
| (In millions, except per share data) | 2008 | 2007 | % Change | |||||||||
COMPONENTS OF NET INCOME | ||||||||||||
| Net operating income | $ | 221 | $ | 307 | (28 | )% | ||||||
| Net realized investment losses, net of participating policyholders’ and minority interests | (33 | ) | (13 | ) | (154 | ) | ||||||
| Income from continuing operations | 188 | 294 | (36 | ) | ||||||||
| Income (loss) from discontinued operations, net of tax | (1 | ) | 2 | (150 | ) | |||||||
| Net income | $ | 187 | $ | 296 | (37 | )% | ||||||
BASIC AND DILUTED EARNINGS PER SHARE | ||||||||||||
| Net operating income | $ | 0.82 | $ | 1.13 | (27 | )% | ||||||
| Net realized investment losses, net of participating policyholders’ and minority interests | (0.12 | ) | (0.05 | ) | (140 | ) | ||||||
| Income from continuing operations | 0.70 | 1.08 | (35 | ) | ||||||||
| Income (loss) from discontinued operations, net of tax | (0.01 | ) | 0.01 | (200 | ) | |||||||
| Basic earnings per share available to common stockholders | $ | 0.69 | $ | 1.09 | (37 | )% | ||||||
WEIGHTED AVERAGE OUTSTANDING COMMON STOCK AND COMMON STOCK EQUIVALENTS | ||||||||||||
| Basic | 270.7 | 271.3 | ||||||||||
| Diluted | 270.8 | 271.6 | ||||||||||
RETURN ON EQUITY | ||||||||||||
| Net income (1) | 7.7 | % | 11.9 | % | ||||||||
| Net operating income (2) | 8.8 | 13.1 | ||||||||||
| (1) | Annualized net income divided by the average stockholders’ equity including accumulated other comprehensive income (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 net operating income 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
CNA FINANCIAL CORPORATION
Financial Supplement
Selected Balance Sheets Data and Statements of Cash Flows Data
Financial Supplement
Selected Balance Sheets Data and Statements of Cash Flows Data
| (In millions, except per share data) | March 31, 2008 | December 31, 2007 | ||||||||
| Total assets | $ | 56,424 | $ | 56,732 | ||||||
| Insurance reserves | 40,148 | 40,222 | ||||||||
| Debt | 2,007 | 2,157 | ||||||||
| Total liabilities | 46,669 | 46,197 | ||||||||
| Minority interest | 395 | 385 | ||||||||
| Accumulated other comprehensive income (loss) | (763 | ) | 103 | |||||||
| Total stockholders’ equity | 9,360 | 10,150 | ||||||||
| Book value per common share | $ | 34.79 | $ | 37.36 | ||||||
| Book value per common share excluding AOCI | $ | 37.63 | $ | 36.98 | ||||||
| Outstanding shares of common stock (in millions of shares) | 269.0 | 271.7 | ||||||||
| THREE MONTHS ENDED | ||||||||
| MARCH 31 | ||||||||
| (In millions) | 2008 | 2007 | ||||||
| Net cash flows provided by operating activities (1) | $ | 303 | $ | 217 | ||||
| Net cash flows provided (used) by investing activities | 11 | (201 | ) | |||||
| Net cash flows used by financing activities | (273 | ) | (26 | ) | ||||
| Net cash flows from operating, investing and financing activities | $ | 41 | $ | (10 | ) | |||
| (1) | Operating cash flows for the three months ended March 31, 2008 and 2007 include $4 million and $(18) million related to discontinued operations. |
3
CNA FINANCIAL CORPORATION
Financial Supplement
Claim & Claim Adjustment Expense Reserve Rollforward
Financial Supplement
Claim & Claim Adjustment Expense Reserve Rollforward
| THREE MONTHS ENDED | ||||||||||||||||||||||||
| MARCH 31, 2008 | Life & Group | Corporate & | ||||||||||||||||||||||
| (In millions) | Standard Lines | Specialty Lines | P&C Operations | Non-Core | Other Non-Core | Total Operations | ||||||||||||||||||
| Claim & claim adjustment expense reserves, beginning of period | ||||||||||||||||||||||||
| Gross | $ | 12,048 | $ | 8,403 | $ | 20,451 | $ | 3,027 | $ | 5,110 | $ | 28,588 | ||||||||||||
| Ceded | 2,128 | 1,786 | 3,914 | 1,147 | 1,995 | 7,056 | ||||||||||||||||||
| Net | 9,920 | 6,617 | 16,537 | 1,880 | 3,115 | 21,532 | ||||||||||||||||||
| Net incurred claim & claim adjustment expenses | 577 | 570 | 1,147 | 118 | 24 | 1,289 | ||||||||||||||||||
| Net claim & claim adjustment expense payments | (617 | ) | (390 | ) | (1,007 | ) | (104 | ) | (145 | ) | (1,256 | ) | ||||||||||||
| Foreign currency translation adjustment | — | 10 | 10 | 1 | (2 | ) | 9 | |||||||||||||||||
| Claim & claim adjustment expense reserves, end of period | ||||||||||||||||||||||||
| Net | 9,880 | 6,807 | 16,687 | 1,895 | 2,992 | 21,574 | ||||||||||||||||||
| Ceded | 2,107 | 1,795 | 3,902 | 1,111 | 1,915 | 6,928 | ||||||||||||||||||
| Gross | $ | 11,987 | $ | 8,602 | $ | 20,589 | $ | 3,006 | $ | 4,907 | $ | 28,502 | ||||||||||||
4
CNA FINANCIAL CORPORATION
Financial Supplement
Investments by Segment Aggregation
Financial Supplement
Investments by Segment Aggregation
| March 31, 2008 | December 31, 2007 | ||||||||||||||||
| (In millions) | Book Value | Fair Value | Book Value | Fair Value | |||||||||||||
Property & Casualty and Corporate & Other Non-Core: | |||||||||||||||||
| Fixed maturities — taxable | $ | 19,240 | $ | 18,192 | $ | 19,351 | $ | 18,951 | |||||||||
| Fixed maturities — tax exempt | 5,318 | 5,202 | 5,815 | 5,810 | |||||||||||||
| Equities | 245 | 434 | 254 | 459 | |||||||||||||
| Short-term investments | 5,033 | 5,034 | 4,385 | 4,387 | |||||||||||||
| Limited partnership investments | 1,926 | 1,926 | 1,877 | 1,877 | |||||||||||||
| Other | 7 | 7 | 8 | 45 | |||||||||||||
Total investments | $ | 31,769 | $ | 30,795 | $ | 31,690 | $ | 31,529 | |||||||||
| Net receivable/(payable) | $ | 246 | $ | (265 | ) | ||||||||||||
| Securities lending collateral | (878 | ) | (53 | ) | |||||||||||||
Life & Group Non-Core: | |||||||||||||||||
| Fixed maturities — taxable | $ | 7,484 | $ | 7,347 | $ | 7,422 | $ | 7,631 | |||||||||
| Fixed maturities — tax exempt | 1,914 | 1,755 | 1,800 | 1,865 | |||||||||||||
| Equities | 42 | 40 | 112 | 109 | |||||||||||||
| Short-term investments | 313 | 313 | 290 | 290 | |||||||||||||
| Limited partnership investments | 319 | 319 | 337 | 337 | |||||||||||||
| Other | 2 | 2 | 1 | 1 | |||||||||||||
Total investments | $ | 10,074 | $ | 9,776 | $ | 9,962 | $ | 10,233 | |||||||||
| Net receivable/(payable) | $ | (17 | ) | $ | 1 | ||||||||||||
| Securities lending collateral | — | — | |||||||||||||||
Total investments | $ | 41,843 | $ | 40,571 | $ | 41,652 | $ | 41,762 | |||||||||
| Total net receivable/(payable) | $ | 229 | $ | (264 | ) | ||||||||||||
| Total securities lending collateral | (878 | ) | (53 | ) | |||||||||||||
The information above related to net receivable/(payable) and securities lending collateral is provided to facilitate an analysis of significant changes in book value. When compared to the net receivable/(payable) per the Consolidated Balance Sheets, the amounts above exclude $73 million and $53 million as of March 31, 2008 and December 31, 2007, where the net receivable/(payable) balance does not relate to change in book value.
5
CNA FINANCIAL CORPORATION
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
Invested Assets Fair Value By Segment
| P&C Operations and | Life & Group | |||||||||||||||||||||||
| Corporate & Other Non-Core | Non-Core | Total Operations | ||||||||||||||||||||||
| MBS/CMO/ABS/CDO | $ | 9,395 | 23.2 | % | $ | 961 | 2.4 | % | $ | 10,356 | 25.6 | % | ||||||||||||
| Other taxable fixed maturities | 8,797 | 21.7 | 6,386 | 15.7 | 15,183 | 37.4 | ||||||||||||||||||
| Tax exempt fixed maturities | 5,202 | 12.8 | 1,755 | 4.3 | 6,957 | 17.1 | ||||||||||||||||||
| All other | 7,401 | 18.2 | 674 | 1.7 | 8,075 | 19.9 | ||||||||||||||||||
| Total investments | $ | 30,795 | 75.9 | % | $ | 9,776 | 24.1 | % | $ | 40,571 | 100.0 | % | ||||||||||||
Invested Assets Amortized Cost By Segment
| P&C Operations and | Life & Group | |||||||||||||||||||||||
| Corporate & Other Non-Core | Non-Core | Total Operations | ||||||||||||||||||||||
| MBS/CMO/ABS/CDO | $ | 10,101 | 24.2 | % | $ | 1,038 | 2.5 | % | $ | 11,139 | 26.7 | % | ||||||||||||
| Other taxable fixed maturities | 9,139 | 21.8 | 6,446 | 15.4 | 15,585 | 37.2 | ||||||||||||||||||
| Tax exempt fixed maturities | 5,318 | 12.7 | 1,914 | 4.6 | 7,232 | 17.3 | ||||||||||||||||||
| All other | 7,211 | 17.2 | 676 | 1.6 | 7,887 | 18.8 | ||||||||||||||||||
| Total investments | $ | 31,769 | 75.9 | % | $ | 10,074 | 24.1 | % | $ | 41,843 | 100.0 | % | ||||||||||||
MBS/CMO/ABS/CDO Fair Value Distribution
| % of Total | ||||||||||||||||||||||||||||||||||||||||||||
| MBS | CMO | ABS | CDO | Total | Investments | |||||||||||||||||||||||||||||||||||||||
| U.S. Government Agencies | $ | 1,022 | 9.9 | % | $ | 1,229 | 11.9 | % | $ | — | — | % | $ | — | — | % | $ | 2,251 | 21.8 | % | 5.6 | % | ||||||||||||||||||||||
| AAA | — | — | 4,773 | 46.1 | 2,235 | 21.6 | 9 | 0.1 | 7,017 | 67.8 | 17.3 | |||||||||||||||||||||||||||||||||
| AA | — | — | 24 | 0.2 | 254 | 2.4 | 51 | 0.5 | 329 | 3.1 | 0.8 | |||||||||||||||||||||||||||||||||
| A | — | — | 23 | 0.2 | 157 | 1.5 | 126 | 1.2 | 306 | 2.9 | 0.8 | |||||||||||||||||||||||||||||||||
| BBB | — | — | 8 | 0.1 | 381 | 3.7 | 12 | 0.1 | 401 | 3.9 | 1.0 | |||||||||||||||||||||||||||||||||
| <BBB & Equity Tranches | — | — | 2 | — | 39 | 0.4 | 11 | 0.1 | 52 | 0.5 | 0.1 | |||||||||||||||||||||||||||||||||
| Total MBS/CMO/ABS/CDO | $ | 1,022 | 9.9 | % | $ | 6,059 | 58.5 | % | $ | 3,066 | 29.6 | % | $ | 209 | 2.0 | % | $ | 10,356 | 100.0 | % | 25.6 | % | ||||||||||||||||||||||
| Sub-prime (Included above) (1) | $ | — | $ | 5 | $ | 1,485 | $ | 18 | $ | 1,508 | 14.6 | % | 3.7 | % | ||||||||||||||||||||||||||||||
| Alt-A (Included above) | $ | — | $ | 1,213 | $ | 1 | $ | 32 | $ | 1,246 | 12.0 | % | 3.1 | % | ||||||||||||||||||||||||||||||
| MBS/CMO/ABS/CDO Amortized Cost Distribution | ||||||||||||||||||||||||||||||||||||||||||||
| % of Total | ||||||||||||||||||||||||||||||||||||||||||||
| MBS | CMO | ABS | CDO | Total | Investments | |||||||||||||||||||||||||||||||||||||||
| U.S. Government Agencies | $ | 1,018 | 9.1 | % | $ | 1,237 | 11.1 | % | $ | — | — | % | $ | — | — | % | $ | 2,255 | 20.2 | % | 5.4 | % | ||||||||||||||||||||||
| AAA | — | — | 5,073 | 45.6 | 2,309 | 20.8 | 10 | 0.1 | 7,392 | 66.5 | 17.7 | |||||||||||||||||||||||||||||||||
| AA | — | — | 27 | 0.2 | 344 | 3.1 | 90 | 0.8 | 461 | 4.1 | 1.1 | |||||||||||||||||||||||||||||||||
| A | — | — | 27 | 0.2 | 224 | 2.0 | 285 | 2.6 | 536 | 4.8 | 1.3 | |||||||||||||||||||||||||||||||||
| BBB | — | — | 6 | 0.1 | 391 | 3.5 | 16 | 0.1 | 413 | 3.7 | 1.0 | |||||||||||||||||||||||||||||||||
| <BBB & Equity Tranches | — | — | 2 | — | 68 | 0.6 | 12 | 0.1 | 82 | 0.7 | 0.2 | |||||||||||||||||||||||||||||||||
| Total MBS/CMO/ABS/CDO | $ | 1,018 | 9.1 | % | $ | 6,372 | 57.2 | % | $ | 3,336 | 30.0 | % | $ | 413 | 3.7 | % | $ | 11,139 | 100.0 | % | 26.7 | % | ||||||||||||||||||||||
| Sub-prime (Included above) (1) | $ | — | $ | 5 | $ | 1,634 | $ | 37 | $ | 1,676 | 15.0 | % | 4.0 | % | ||||||||||||||||||||||||||||||
| Alt-A (Included above) | $ | — | $ | 1,299 | $ | 1 | $ | 35 | $ | 1,335 | 12.0 | % | 3.2 | % | ||||||||||||||||||||||||||||||
| (1) | In addition to sub-prime exposure in fixed maturity securities, there is exposure of approximately $33 million through limited partnerships and credit default swaps. | |
| MBS | — Mortgage-backed securities | |
| CMO | — Collateralized mortgage obligation | |
| ABS | — Asset-backed securities | |
| CDO | — Collateralized debt obligation |
6
CNA FINANCIAL CORPORATION
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
Sub-Prime Fair Value Quality Distribution by Vintage Year
| <BBB & Equity | ||||||||||||||||||||||||||||||||||||||||||||||||
| AAA | AA | A | BBB | Tranches | Total | |||||||||||||||||||||||||||||||||||||||||||
| 2007 | $ | 161 | 10.7 | % | $ | 1 | 0.1 | % | $ | 5 | 0.3 | % | $ | — | — | % | $ | — | — | % | $ | 167 | 11.1 | % | ||||||||||||||||||||||||
| 2006 | 752 | 49.9 | 33 | 2.2 | 5 | 0.3 | — | — | 20 | 1.3 | 810 | 53.7 | ||||||||||||||||||||||||||||||||||||
| 2005 | 216 | 14.3 | 53 | 3.5 | 17 | 1.1 | 10 | 0.7 | 2 | 0.1 | 298 | 19.7 | ||||||||||||||||||||||||||||||||||||
| 2004 | 16 | 1.1 | 26 | 1.7 | 81 | 5.4 | 8 | 0.5 | 1 | 0.1 | 132 | 8.8 | ||||||||||||||||||||||||||||||||||||
| 2003 & prior | 9 | 0.6 | 27 | 1.8 | 36 | 2.4 | 15 | 1.0 | 14 | 0.9 | 101 | 6.7 | ||||||||||||||||||||||||||||||||||||
| Total sub-prime | $ | 1,154 | 76.6 | % | $ | 140 | 9.3 | % | $ | 144 | 9.5 | % | $ | 33 | 2.2 | % | $ | 37 | 2.4 | % | $ | 1,508 | 100.0 | % | ||||||||||||||||||||||||
Sub-Prime Amortized Cost Quality Distribution by Vintage Year
| <BBB & Equity | ||||||||||||||||||||||||||||||||||||||||||||||||
| AAA | AA | A | BBB | Tranches | Total | |||||||||||||||||||||||||||||||||||||||||||
| 2007 | $ | 157 | 9.4 | % | $ | 1 | 0.1 | % | $ | 5 | 0.3 | % | $ | — | — | % | $ | — | — | % | $ | 163 | 9.8 | % | ||||||||||||||||||||||||
| 2006 | 763 | 45.4 | 53 | 3.2 | 10 | 0.6 | — | — | 49 | 2.9 | 875 | 52.1 | ||||||||||||||||||||||||||||||||||||
| 2005 | 216 | 12.8 | 75 | 4.5 | 40 | 2.4 | 11 | 0.7 | 2 | 0.1 | 344 | 20.5 | ||||||||||||||||||||||||||||||||||||
| 2004 | 16 | 1.0 | 30 | 1.8 | 110 | 6.6 | 10 | 0.6 | 1 | 0.1 | 167 | 10.1 | ||||||||||||||||||||||||||||||||||||
| 2003 & prior | 9 | 0.5 | 35 | 2.1 | 51 | 3.0 | 18 | 1.1 | 14 | 0.8 | 127 | 7.5 | ||||||||||||||||||||||||||||||||||||
| Total sub-prime | $ | 1,161 | 69.1 | % | $ | 194 | 11.7 | % | $ | 216 | 12.9 | % | $ | 39 | 2.4 | % | $ | 66 | 3.9 | % | $ | 1,676 | 100.0 | % | ||||||||||||||||||||||||
Alt-A Fair Value Quality Distribution by Vintage Year
| <BBB & Equity | |||||||||||||||||||||||||||||||||||||||||||||||||
| AAA | AA | A | BBB | Tranches | Total | ||||||||||||||||||||||||||||||||||||||||||||
| 2007 | $ | 237 | 19.0 | % | $ | 16 | 1.3 | % | $ | 3 | 0.2 | % | $ | — | — | % | $ | 2 | 0.2 | % | $ | 258 | 20.7 | % | |||||||||||||||||||||||||
| 2006 | 127 | 10.2 | 20 | 1.6 | 18 | 1.4 | 12 | 1.0 | 2 | 0.2 | 179 | 14.4 | |||||||||||||||||||||||||||||||||||||
| 2005 | 146 | 11.7 | 2 | 0.2 | — | — | — | — | — | — | 148 | 11.9 | |||||||||||||||||||||||||||||||||||||
| 2004 | 518 | 41.5 | 1 | 0.1 | — | — | — | — | — | — | 519 | 41.6 | |||||||||||||||||||||||||||||||||||||
| 2003 & prior | 142 | 11.4 | — | — | — | — | — | — | — | — | 142 | 11.4 | |||||||||||||||||||||||||||||||||||||
| Total Alt-A | $ | 1,170 | 93.8 | % | $ | 39 | 3.2 | % | $ | 21 | 1.6 | % | $ | 12 | 1.0 | % | $ | 4 | 0.4 | % | $ | 1,246 | 100.0 | % | |||||||||||||||||||||||||
Alt-A Amortized Cost Quality Distribution by Vintage Year
| <BBB & Equity | ||||||||||||||||||||||||||||||||||||||||||||||||
| AAA | AA | A | BBB | Tranches | Total | |||||||||||||||||||||||||||||||||||||||||||
| 2007 | $ | 252 | 18.9 | % | $ | 16 | 3.1 | % | $ | 3 | 0.8 | % | $ | — | — | % | $ | 2 | 0.2 | % | $ | 273 | 23.0 | % | ||||||||||||||||||||||||
| 2006 | 121 | 4.8 | 23 | 1.3 | 18 | 3.0 | 10 | 1.2 | 2 | 0.1 | 174 | 10.4 | ||||||||||||||||||||||||||||||||||||
| 2005 | 164 | 8.8 | 3 | 0.2 | — | — | — | — | — | — | 167 | 9.0 | ||||||||||||||||||||||||||||||||||||
| 2004 | 559 | 45.1 | 2 | 0.2 | — | — | — | — | — | — | 561 | 45.3 | ||||||||||||||||||||||||||||||||||||
| 2003 & prior | 160 | 12.3 | — | — | — | — | — | — | — | — | 160 | 12.3 | ||||||||||||||||||||||||||||||||||||
| Total Alt-A | $ | 1,256 | 89.9 | % | $ | 44 | 4.8 | % | $ | 21 | 3.8 | % | $ | 10 | 1.2 | % | $ | 4 | 0.3 | % | $ | 1,335 | 100.0 | % | ||||||||||||||||||||||||
7
CNA FINANCIAL CORPORATION
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
MBS Distribution By Collateral Type & Quality
| 15 Year | 30 Year | ARM | Other | Total | ||||||||||||||||||||||||||||||||||||
| Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |||||||||||||||||||||||||||||||
| Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | |||||||||||||||||||||||||||||||
| U.S. Government Agencies | $ | 25 | $ | 26 | $ | 512 | $ | 512 | $ | 416 | $ | 412 | $ | 69 | $ | 68 | $ | 1,022 | $ | 1,018 | ||||||||||||||||||||
| AAA | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| AA | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| A | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| BBB | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| <BBB & Equity Tranches | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| Total MBS | $ | 25 | $ | 26 | $ | 512 | $ | 512 | $ | 416 | $ | 412 | $ | 69 | $ | 68 | $ | 1,022 | $ | 1,018 | ||||||||||||||||||||
| Included in Total MBS: | ||||||||||||||||||||||||||||||||||||||||
| Sub-prime | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
| Alt-A | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| Prime | 25 | 26 | 512 | 512 | 416 | 412 | 69 | 68 | 1,022 | 1,018 | ||||||||||||||||||||||||||||||
| Total MBS | $ | 25 | $ | 26 | $ | 512 | $ | 512 | $ | 416 | $ | 412 | $ | 69 | $ | 68 | $ | 1,022 | $ | 1,018 | ||||||||||||||||||||
CMO Distribution By Collateral Type & Quality
| 15 Year | 30 Year | ARM | Other | Total | ||||||||||||||||||||||||||||||||||||
| Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |||||||||||||||||||||||||||||||
| Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | |||||||||||||||||||||||||||||||
| U.S. Government Agencies | $ | 153 | $ | 151 | $ | 420 | $ | 416 | $ | — | $ | — | $ | 656 | $ | 670 | $ | 1,229 | $ | 1,237 | ||||||||||||||||||||
| AAA | 326 | 347 | 2,897 | 3,101 | 1,182 | 1,237 | 368 | 388 | 4,773 | 5,073 | ||||||||||||||||||||||||||||||
| AA | — | — | 3 | 5 | 21 | 22 | — | — | 24 | 27 | ||||||||||||||||||||||||||||||
| A | 16 | 16 | 6 | 10 | 1 | 1 | — | — | 23 | 27 | ||||||||||||||||||||||||||||||
| BBB | 1 | 1 | — | — | 7 | 5 | — | — | 8 | 6 | ||||||||||||||||||||||||||||||
| <BBB & Equity Tranches | 1 | 1 | — | — | 1 | 1 | — | — | 2 | 2 | ||||||||||||||||||||||||||||||
| Total CMO | $ | 497 | $ | 516 | $ | 3,326 | $ | 3,532 | $ | 1,212 | $ | 1,266 | $ | 1,024 | $ | 1,058 | $ | 6,059 | $ | 6,372 | ||||||||||||||||||||
| Included in Total CMO: | ||||||||||||||||||||||||||||||||||||||||
| Sub-prime | $ | 5 | $ | 5 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 5 | $ | 5 | ||||||||||||||||||||
| Alt-A | 90 | 94 | 915 | 999 | 208 | 206 | — | — | 1,213 | 1,299 | ||||||||||||||||||||||||||||||
| Prime | 402 | 417 | 2,411 | 2,533 | 1,004 | 1,060 | 1,024 | 1,058 | 4,841 | 5,068 | ||||||||||||||||||||||||||||||
| Total CMO | $ | 497 | $ | 516 | $ | 3,326 | $ | 3,532 | $ | 1,212 | $ | 1,266 | $ | 1,024 | $ | 1,058 | $ | 6,059 | $ | 6,372 | ||||||||||||||||||||
| ARM — | Adjustable rate mortgage | |
| MBS — | Mortgage-backed securities | |
| CMO — | Collateralized mortgage obligation |
8
CNA FINANCIAL CORPORATION
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
Financial Supplement
Mortgage and Asset-Backed Holdings
As of March 31, 2008
(In millions)
ABS Distribution By Collateral Type & Quality
| CMBS | RMBS | Auto Loans | Home Equity | Student Loans | Other | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |||||||||||||||||||||||||||||||||||||||||||
| Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | |||||||||||||||||||||||||||||||||||||||||||
| AAA | $ | 729 | $ | 796 | $ | 665 | $ | 663 | $ | 38 | $ | 39 | $ | 490 | $ | 498 | $ | 139 | $ | 148 | $ | 174 | $ | 165 | $ | 2,235 | $ | 2,309 | ||||||||||||||||||||||||||||
| AA | 114 | 150 | 54 | 76 | — | — | 85 | 117 | — | — | 1 | 1 | 254 | 344 | ||||||||||||||||||||||||||||||||||||||||||
| A | 21 | 34 | 98 | 144 | 11 | 11 | 26 | 34 | — | — | 1 | 1 | 157 | 224 | ||||||||||||||||||||||||||||||||||||||||||
| BBB | 14 | 19 | 15 | 19 | 315 | 311 | 18 | 20 | — | — | 19 | 22 | 381 | 391 | ||||||||||||||||||||||||||||||||||||||||||
| <BBB & Equity Tranches | — | — | 31 | 60 | 5 | 5 | 3 | 3 | — | — | — | — | 39 | 68 | ||||||||||||||||||||||||||||||||||||||||||
| Total ABS | $ | 878 | $ | 999 | $ | 863 | $ | 962 | $ | 369 | $ | 366 | $ | 622 | $ | 672 | $ | 139 | $ | 148 | $ | 195 | $ | 189 | $ | 3,066 | $ | 3,336 | ||||||||||||||||||||||||||||
| Included in Total ABS: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Sub-prime | $ | — | $ | — | $ | 863 | $ | 962 | $ | — | $ | — | $ | 622 | $ | 672 | $ | — | $ | — | $ | — | $ | — | $ | 1,485 | $ | 1,634 | ||||||||||||||||||||||||||||
| Alt-A | — | — | — | — | — | — | — | — | — | — | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||||||||||||||||||||
| Prime & Non-Residential Mortgages | 878 | 999 | — | — | 369 | 366 | — | — | 139 | 148 | 194 | 188 | 1,580 | 1,701 | ||||||||||||||||||||||||||||||||||||||||||
| Total ABS | $ | 878 | $ | 999 | $ | 863 | $ | 962 | $ | 369 | $ | 366 | $ | 622 | $ | 672 | $ | 139 | $ | 148 | $ | 195 | $ | 189 | $ | 3,066 | $ | 3,336 | ||||||||||||||||||||||||||||
CDO Distribution By Collateral Type & Quality
| CMBS | RMBS | CDS | Other | Total | ||||||||||||||||||||||||||||||||||||
| Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |||||||||||||||||||||||||||||||
| Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | |||||||||||||||||||||||||||||||
| AAA | $ | — | $ | — | $ | — | $ | — | $ | 9 | $ | 10 | $ | — | $ | — | $ | 9 | $ | 10 | ||||||||||||||||||||
| AA | 31 | 67 | 20 | 23 | — | — | — | — | 51 | 90 | ||||||||||||||||||||||||||||||
| A | 93 | 213 | 9 | 9 | 24 | 63 | — | — | 126 | 285 | ||||||||||||||||||||||||||||||
| BBB | 8 | 12 | 4 | 4 | — | — | — | — | 12 | 16 | ||||||||||||||||||||||||||||||
| <BBB & Equity Tranches | 6 | 7 | 3 | 3 | 2 | 2 | — | — | 11 | 12 | ||||||||||||||||||||||||||||||
| Total CDO | $ | 138 | $ | 299 | $ | 36 | $ | 39 | $ | 35 | $ | 75 | $ | — | $ | — | $ | 209 | $ | 413 | ||||||||||||||||||||
| Included in Total CDO: | ||||||||||||||||||||||||||||||||||||||||
| Sub-prime | $ | — | $ | — | $ | 4 | $ | 4 | $ | 14 | $ | 33 | $ | — | $ | — | $ | 18 | $ | 37 | ||||||||||||||||||||
| Alt-A | — | — | 32 | 35 | — | — | — | — | 32 | 35 | ||||||||||||||||||||||||||||||
| Prime & Non-Residential Mortgages | 138 | 299 | — | — | 21 | 42 | — | — | 159 | 341 | ||||||||||||||||||||||||||||||
| Total CDO | $ | 138 | $ | 299 | $ | 36 | $ | 39 | $ | 35 | $ | 75 | $ | — | $ | — | $ | 209 | $ | 413 | ||||||||||||||||||||
| ABS | — Asset-backed securities | |
| CMBS | — Commerical mortgage-backed securities | |
| RMBS | — Residential mortgage-backed securities | |
| CDO | — Collateralized debt obligation | |
| CDS | — Credit default swaps |
9
CNA FINANCIAL CORPORATION
Financial Supplement
Property & Casualty Results of Operations
Financial Supplement
Property & Casualty Results of Operations
| THREE MONTHS ENDED | Standard Lines | Specialty Lines | P&C Operations | |||||||||||||||||||||||||||||||||||
| MARCH 31 | Fav / (Unfav) | Fav / (Unfav) | Fav / (Unfav) | |||||||||||||||||||||||||||||||||||
| (In millions) | 2008 | 2007 | % Change | 2008 | 2007 | % Change | 2008 | 2007 | % Change | |||||||||||||||||||||||||||||
| Gross written premiums | $ | 832 | $ | 948 | (12) | % | $ | 1,293 | $ | 1,412 | (8) | % | $ | 2,125 | $ | 2,360 | (10) | % | ||||||||||||||||||||
| Net written premiums | 771 | 867 | (11 | ) | 848 | 864 | (2 | ) | 1,619 | 1,731 | (6 | ) | ||||||||||||||||||||||||||
| Net earned premiums | 783 | 863 | (9 | ) | 873 | 845 | 3 | 1,656 | 1,708 | (3 | ) | |||||||||||||||||||||||||||
| Net investment income | 164 | 220 | (25 | ) | 132 | 149 | (11 | ) | 296 | 369 | (20 | ) | ||||||||||||||||||||||||||
| Other revenues | 14 | 11 | 27 | 53 | 42 | 26 | 67 | 53 | 26 | |||||||||||||||||||||||||||||
| Total operating revenues | 961 | 1,094 | (12 | ) | 1,058 | 1,036 | 2 | 2,019 | 2,130 | (5 | ) | |||||||||||||||||||||||||||
| Claims, benefits and expenses: | ||||||||||||||||||||||||||||||||||||||
| Net incurred claims and benefits | 577 | 593 | 3 | 566 | 543 | (4 | ) | 1,143 | 1,136 | (1 | ) | |||||||||||||||||||||||||||
| Policyholders’ dividends | 4 | 3 | (33 | ) | 7 | 3 | (133 | ) | 11 | 6 | (83 | ) | ||||||||||||||||||||||||||
| Amortization of deferred acquisition costs | 179 | 194 | 8 | 184 | 182 | (1 | ) | 363 | 376 | 3 | ||||||||||||||||||||||||||||
| Other insurance related expenses | 58 | 65 | 11 | 50 | 41 | (22 | ) | 108 | 106 | (2 | ) | |||||||||||||||||||||||||||
| Other expenses | 12 | 10 | (20 | ) | 51 | 42 | (21 | ) | 63 | 52 | (21 | ) | ||||||||||||||||||||||||||
| Total claims, benefits and expenses | 830 | 865 | 4 | 858 | 811 | (6 | ) | 1,688 | 1,676 | (1 | ) | |||||||||||||||||||||||||||
| Operating income before income tax and minority interest | 131 | 229 | (43 | ) | 200 | 225 | (11 | ) | 331 | 454 | (27 | ) | ||||||||||||||||||||||||||
| Income tax expense on operating income | (36 | ) | (75 | ) | 52 | (64 | ) | (73 | ) | 12 | (100 | ) | (148 | ) | 32 | |||||||||||||||||||||||
| Minority interest | — | — | N/M | (12 | ) | (10 | ) | (20 | ) | (12 | ) | (10 | ) | (20 | ) | |||||||||||||||||||||||
| Net operating income from continuing operations | 95 | 154 | (38 | ) | 124 | 142 | (13 | ) | 219 | 296 | (26 | ) | ||||||||||||||||||||||||||
| Realized investment losses, net of participating policyholders’ and minority interests | (16 | ) | (24 | ) | 33 | (9 | ) | (14 | ) | 36 | (25 | ) | (38 | ) | 34 | |||||||||||||||||||||||
| Income tax benefit on realized investment losses | 5 | 9 | (44 | ) | 4 | 5 | (20 | ) | 9 | 14 | (36 | ) | ||||||||||||||||||||||||||
| Net income from continuing operations | $ | 84 | $ | 139 | (40) | % | $ | 119 | $ | 133 | (11) | % | $ | 203 | $ | 272 | (25) | % | ||||||||||||||||||||
FINANCIAL RATIOS | ||||||||||||||||||||||||||||||||||||||
| Loss & LAE | 73.7 | % | 68.7 | % | 64.8 | % | 64.2 | % | 69.0 | % | 66.5 | % | ||||||||||||||||||||||||||
| Acquisition expense | 16.9 | 17.0 | 17.0 | 16.9 | 16.9 | 16.9 | ||||||||||||||||||||||||||||||||
| Underwriting expense | 13.3 | 13.0 | 9.8 | 9.6 | 11.5 | 11.4 | ||||||||||||||||||||||||||||||||
| Expense | 30.2 | 30.0 | 26.8 | 26.5 | 28.4 | 28.3 | ||||||||||||||||||||||||||||||||
| Dividend | 0.5 | 0.4 | 0.8 | 0.3 | 0.7 | 0.3 | ||||||||||||||||||||||||||||||||
| Combined ratio | 104.4 | % | 99.1 | % | 92.4 | % | 91.0 | % | 98.1 | % | 95.1 | % | ||||||||||||||||||||||||||
LOSS RATIO IMPACTS | ||||||||||||||||||||||||||||||||||||||
Impact of catastrophe losses | ||||||||||||||||||||||||||||||||||||||
| Pretax net accident year catastrophe losses incurred | $ | 53 | $ | 30 | $ | — | $ | 2 | $ | 53 | $ | 32 | ||||||||||||||||||||||||||
| Impact on loss & LAE ratio | 6.8 | % | 3.5 | % | — | % | 0.3 | % | 3.2 | % | 1.9 | % | ||||||||||||||||||||||||||
Impact of development & other | ||||||||||||||||||||||||||||||||||||||
| Pretax net development: (favorable) / unfavorable | ||||||||||||||||||||||||||||||||||||||
| Prior year loss & ALAE reserve development | $ | (35 | ) | $ | 13 | $ | 17 | $ | 7 | $ | (18 | ) | $ | 20 | ||||||||||||||||||||||||
| Prior year premium development | 9 | (26 | ) | (19 | ) | (10 | ) | (10 | ) | (36 | ) | |||||||||||||||||||||||||||
| Other (1) | 7 | 5 | (5 | ) | — | 2 | 5 | |||||||||||||||||||||||||||||||
| Total development & other | $ | (19 | ) | $ | (8 | ) | $ | (7 | ) | $ | (3 | ) | $ | (26 | ) | $ | (11 | ) | ||||||||||||||||||||
| Impact of development & other on loss & LAE ratio | (2.6) | % | — | % | — | % | 0.1 | % | (1.3) | % | 0.1 | % | ||||||||||||||||||||||||||
| (1) | Other includes the impacts of change in allowance for uncollectible reinsurance and interest accretion. |
10
CNA FINANCIAL CORPORATION
Financial Supplement
Life & Group Non-Core and Corporate & Other Non-Core Segments Results of Operations
Financial Supplement
Life & Group Non-Core and Corporate & Other Non-Core Segments Results of Operations
| THREE MONTHS ENDED | Life & Group Non-Core | Corporate & Other Non-Core | Total Operations | ||||||||||||||||||||||||||||||||||||||||||||
| MARCH 31 | P&C Operations | Fav / (Unfav) | Fav / (Unfav) | Fav / (Unfav) | |||||||||||||||||||||||||||||||||||||||||||
| (In millions) | 2008 | 2007 | 2008 | 2007 | % Change | 2008 | 2007 | % Change | 2008 | 2007 | % Change | ||||||||||||||||||||||||||||||||||||
| Net earned premiums | $ | 1,656 | $ | 1,708 | $ | 157 | $ | 156 | 1 | % | $ | — | $ | (1 | ) | N/M | % | $ | 1,813 | $ | 1,863 | (3) | % | ||||||||||||||||||||||||
| Net investment income | 296 | 369 | 84 | 161 | (48 | ) | 54 | 78 | (31 | ) | 434 | 608 | (29 | ) | |||||||||||||||||||||||||||||||||
| Other revenues | 67 | 53 | 13 | 12 | 8 | 6 | 2 | 200 | 86 | 67 | 28 | ||||||||||||||||||||||||||||||||||||
| Total operating revenues | 2,019 | 2,130 | 254 | 329 | (23 | ) | 60 | 79 | (24 | ) | 2,333 | 2,538 | (8 | ) | |||||||||||||||||||||||||||||||||
| Claims, benefits and expenses: | |||||||||||||||||||||||||||||||||||||||||||||||
| Net incurred claims and benefits | 1,143 | 1,136 | 212 | 273 | 22 | 21 | 34 | 38 | 1,376 | 1,443 | 5 | ||||||||||||||||||||||||||||||||||||
| Policyholders’ dividends | 11 | 6 | 2 | (1 | ) | N/M | — | — | N/M | 13 | 5 | (160 | ) | ||||||||||||||||||||||||||||||||||
| Amortization of deferred acquisition costs | 363 | 376 | 4 | 5 | 20 | 1 | — | N/M | 368 | 381 | 3 | ||||||||||||||||||||||||||||||||||||
| Other insurance related expenses | 108 | 106 | 50 | 51 | 2 | 3 | 3 | — | 161 | 160 | (1 | ) | |||||||||||||||||||||||||||||||||||
| Other expenses | 63 | 52 | 5 | 9 | 44 | 32 | 31 | (3 | ) | 100 | 92 | (9 | ) | ||||||||||||||||||||||||||||||||||
| Total claims, benefits and expenses | 1,688 | 1,676 | 273 | 337 | 19 | 57 | 68 | 16 | 2,018 | 2,081 | 3 | ||||||||||||||||||||||||||||||||||||
| Operating income (loss) before income tax and minority interest | 331 | 454 | (19 | ) | (8 | ) | (138 | ) | 3 | 11 | (73 | ) | 315 | 457 | (31 | ) | |||||||||||||||||||||||||||||||
| Income tax (expense) benefit on operating income (loss) | (100 | ) | (148 | ) | 16 | 10 | 60 | 2 | (2 | ) | 200 | (82 | ) | (140 | ) | 41 | |||||||||||||||||||||||||||||||
| Minority interest | (12 | ) | (10 | ) | — | — | N/M | — | — | N/M | (12 | ) | (10 | ) | (20 | ) | |||||||||||||||||||||||||||||||
| Net operating income (loss) from continuing operations | 219 | 296 | (3 | ) | 2 | N/M | 5 | 9 | (44 | ) | 221 | 307 | (28 | ) | |||||||||||||||||||||||||||||||||
| Realized investment gains (losses), net of participating policyholders’ and minority interests | (25 | ) | (38 | ) | (17 | ) | 1 | N/M | (9 | ) | 16 | (156 | ) | (51 | ) | (21 | ) | (143 | ) | ||||||||||||||||||||||||||||
| Income tax (expense) benefit on realized investment gains (losses) | 9 | 14 | 6 | — | N/M | 3 | (6 | ) | 150 | 18 | 8 | 125 | |||||||||||||||||||||||||||||||||||
| Net income (loss) from continuing operations | $ | 203 | $ | 272 | $ | (14 | ) | $ | 3 | N/M | % | $ | (1 | ) | $ | 19 | (105) | % | $ | 188 | $ | 294 | (36) | % | |||||||||||||||||||||||
| Life & Group Non-Core | Corporate & Other Non-Core | Total Operations | |||||||||||||||||||||||||||||||||||||||||||||
| Other Financial Data | P&C Operations | Fav / (Unfav) | Fav / (Unfav) | Fav / (Unfav) | |||||||||||||||||||||||||||||||||||||||||||
| Property & Casualty Company Information | 2008 | 2007 | 2008 | 2007 | % Change | 2008 | 2007 | % Change | 2008 | 2007 | % Change | ||||||||||||||||||||||||||||||||||||
| Gross written premiums | $ | 2,125 | $ | 2,360 | $ | 163 | $ | 183 | (11 | )% | $ | (1 | ) | $ | 2 | (150) | % | $ | 2,287 | $ | 2,545 | (10 | )% | ||||||||||||||||||||||||
| Net written premiums | 1,619 | 1,731 | 162 | 162 | — | (3 | ) | (2 | ) | (50 | ) | 1,778 | 1,891 | (6 | ) | ||||||||||||||||||||||||||||||||
| Net earned premiums | 1,656 | 1,708 | 156 | 157 | (1 | ) | — | (2 | ) | N/M | 1,812 | 1,863 | (3 | ) | |||||||||||||||||||||||||||||||||
FINANCIAL RATIOS | |||||||||||||||||||||||||||||||||||||||||||||||
| Loss & LAE | 69.0 | % | 66.5 | % | N/M | % | N/M | % | N/M | % | N/M | % | 77.8 | % | 75.3 | % | |||||||||||||||||||||||||||||||
| Acquisition expense | 16.9 | 16.9 | N/M | N/M | N/M | N/M | 16.6 | 16.7 | |||||||||||||||||||||||||||||||||||||||
| Underwriting expense | 11.5 | 11.4 | N/M | N/M | N/M | N/M | 12.5 | 12.2 | |||||||||||||||||||||||||||||||||||||||
| Expense | 28.4 | 28.3 | N/M | N/M | N/M | N/M | 29.1 | 28.9 | |||||||||||||||||||||||||||||||||||||||
| Dividend | 0.7 | 0.3 | N/M | N/M | N/M | N/M | 0.6 | 0.3 | |||||||||||||||||||||||||||||||||||||||
| Combined ratio | 98.1 | % | 95.1 | % | N/M | % | N/M | % | N/M | % | N/M | % | 107.5 | % | 104.5 | % | |||||||||||||||||||||||||||||||
11
CNA FINANCIAL CORPORATION
Financial Supplement
Analysis of Pretax Net Investment Income
Financial Supplement
Analysis of Pretax Net Investment Income
| (In millions) | Standard Lines | ||||||||||||||||||||||||
| 1Q07 | 2Q07 | 3Q07 | 4Q07 | 2007 | 1Q08 | ||||||||||||||||||||
| Limited partnerships | $ | 23 | $ | 36 | $ | 12 | $ | 21 | $ | 92 | $ | (23 | ) | ||||||||||||
| Income (loss) from trading securities | — | — | — | — | — | (1 | ) | ||||||||||||||||||
| Other investment income | 197 | 199 | 197 | 193 | 786 | 188 | |||||||||||||||||||
| Net investment income | $ | 220 | $ | 235 | $ | 209 | $ | 214 | $ | 878 | $ | 164 | |||||||||||||
| Specialty Lines | |||||||||||||||||||||||||
| 1Q07 | 2Q07 | 3Q07 | 4Q07 | 2007 | 1Q08 | ||||||||||||||||||||
| Limited partnerships | $ | 12 | $ | 20 | $ | 7 | $ | 12 | $ | 51 | $ | (13 | ) | ||||||||||||
| Income (loss) from trading securities | — | — | — | — | — | — | |||||||||||||||||||
| Other investment income | 137 | 142 | 145 | 146 | 570 | 145 | |||||||||||||||||||
| Net investment income | $ | 149 | $ | 162 | $ | 152 | $ | 158 | $ | 621 | $ | 132 | |||||||||||||
| P&C Operations | |||||||||||||||||||||||||
| 1Q07 | 2Q07 | 3Q07 | 4Q07 | 2007 | 1Q08 | ||||||||||||||||||||
| Limited partnerships | $ | 35 | $ | 56 | $ | 19 | $ | 33 | $ | 143 | $ | (36 | ) | ||||||||||||
| Income (loss) from trading securities | — | — | — | — | — | (1 | ) | ||||||||||||||||||
| Other investment income | 334 | 341 | 342 | 339 | 1,356 | 333 | |||||||||||||||||||
| Net investment income | $ | 369 | $ | 397 | $ | 361 | $ | 372 | $ | 1,499 | $ | 296 | |||||||||||||
| Life & Group Non-Core | |||||||||||||||||||||||||
| 1Q07 | 2Q07 | 3Q07 | 4Q07 | 2007 | 1Q08 | ||||||||||||||||||||
| Limited partnerships | $ | 9 | $ | 3 | $ | (4 | ) | $ | 2 | $ | 10 | $ | 4 | ||||||||||||
| Income (loss) from trading securities | 3 | 40 | (2 | ) | (31 | ) | 10 | (76 | ) | ||||||||||||||||
| Other investment income | 149 | 145 | 151 | 157 | 602 | 156 | |||||||||||||||||||
| Net investment income | $ | 161 | $ | 188 | $ | 145 | $ | 128 | $ | 622 | $ | 84 | |||||||||||||
| Corporate & Other Non-Core | |||||||||||||||||||||||||
| 1Q07 | 2Q07 | 3Q07 | 4Q07 | 2007 | 1Q08 | ||||||||||||||||||||
| Limited partnerships | $ | 8 | $ | 12 | $ | 4 | $ | 6 | $ | 30 | $ | (7 | ) | ||||||||||||
| Income (loss) from trading securities | — | — | — | — | — | — | |||||||||||||||||||
| Other investment income | 70 | 74 | 70 | 68 | 282 | 61 | |||||||||||||||||||
| Net investment income | $ | 78 | $ | 86 | $ | 74 | $ | 74 | $ | 312 | $ | 54 | |||||||||||||
| Total Operations | |||||||||||||||||||||||||
| 1Q07 | 2Q07 | 3Q07 | 4Q07 | 2007 | 1Q08 | ||||||||||||||||||||
| Limited partnerships | $ | 52 | $ | 71 | $ | 19 | $ | 41 | $ | 183 | $ | (39 | ) | ||||||||||||
| Income (loss) from trading securities | 3 | 40 | (2 | ) | (31 | ) | 10 | (77 | ) | ||||||||||||||||
| Other investment income | 553 | 560 | 563 | 564 | 2,240 | 550 | |||||||||||||||||||
| Net investment income | $ | 608 | $ | 671 | $ | 580 | $ | 574 | $ | 2,433 | $ | 434 | |||||||||||||
12
CNA FINANCIAL CORPORATION
Financial Supplement
Statutory Data — Preliminary
Financial Supplement
Statutory Data — Preliminary
| PERIOD ENDED MARCH 31 | Three Months | |||||||||||
| Income Statement | (Preliminary) | Fav / (Unfav) | ||||||||||
| (In millions) | 2008 | 2007 | % Change | |||||||||
Property & Casualty Companies | ||||||||||||
| Gross written premiums | $ | 2,302 | $ | 2,474 | (7) | % | ||||||
| Net written premiums | 1,635 | 1,729 | (5 | ) | ||||||||
| Net earned premiums | 1,476 | 1,546 | (5 | ) | ||||||||
| Claim and claim adjustment expenses | 1,195 | 1,198 | — | |||||||||
| Acquisition expenses | 265 | 282 | 6 | |||||||||
| Underwriting expenses | 207 | 221 | 6 | |||||||||
| Policyholders’ dividends | 4 | 7 | 43 | |||||||||
| Underwriting loss | (195 | ) | (162 | ) | (20 | ) | ||||||
| Net investment income | 493 | 496 | (1 | ) | ||||||||
| Other revenues (expenses) | 6 | (5 | ) | N/M | ||||||||
| Income tax expense | (61 | ) | (101 | ) | 40 | |||||||
| Net realized gains (losses) | 5 | (17 | ) | 129 | ||||||||
| Net income | $ | 248 | $ | 211 | 18 | % | ||||||
Financial Ratios | ||||||||||||
| Loss and LAE | 81.0 | % | 77.4 | % | ||||||||
| Acquisition expense | 16.2 | 16.3 | ||||||||||
| Underwriting expense | 12.6 | 12.8 | ||||||||||
| Expense | 28.8 | 29.1 | ||||||||||
| Dividend | 0.3 | 0.5 | ||||||||||
| Combined ratio | 110.1 | % | 107.0 | % | ||||||||
Life Company | ||||||||||||
| Earned premium | $ | — | $ | — | ||||||||
SUPPLEMENTAL STATUTORY DATA
| (Preliminary) | ||||||||
| (In millions) | March 31, 2008 | December 31, 2007 | ||||||
Property & Casualty Companies | ||||||||
| Statutory surplus (1) | $ | 8,110 | $ | 8,511 | ||||
Life Company | ||||||||
| Statutory surplus | $ | 523 | $ | 471 | ||||
| (1) | Surplus includes the Property & Casualty Companies’ equity ownership of the life insurance subsidiary. |
13
CNA FINANCIAL CORPORATION
Financial Supplement
Property & Casualty Operations
Loss and LAE Ratio Analysis
Financial Supplement
Property & Casualty Operations
Loss and LAE Ratio Analysis
| Standard Lines | ||||||||||||
| 2008 YTD | 2007 FY | 2007 FY | ||||||||||
| Evaluated | Evaluated | Evaluated | ||||||||||
| at 03/31/08 | at 12/31/07 | at 03/31/08 | ||||||||||
| Gross Accident Year | 75.7 | % | 66.6 | % | 66.3 | % | ||||||
| Impact of Reinsurance | 0.6 | 3.5 | 3.5 | |||||||||
| Net Accident Year | 76.3 | 70.1 | 69.8 | % | ||||||||
| Impact of Development and Other (1) | (2.6 | ) | (2.7 | ) | ||||||||
| Net Calendar Year | 73.7 | % | 67.4 | % | ||||||||
| Specialty Lines | ||||||||||||
| 2008 YTD | 2007 FY | 2007 FY | ||||||||||
| Evaluated | Evaluated | Evaluated | ||||||||||
| at 03/31/08 | at 12/31/07 | at 03/31/08 | ||||||||||
| Gross Accident Year | 62.8 | % | 59.2 | % | 59.0 | % | ||||||
| Impact of Reinsurance | 2.0 | 4.6 | 4.4 | |||||||||
| Net Accident Year | 64.8 | 63.8 | 63.4 | % | ||||||||
| Impact of Development and Other (1) | — | (1.0 | ) | |||||||||
| Net Calendar Year | 64.8 | % | 62.8 | % | ||||||||
| P&C Operations | ||||||||||||
| 2008 YTD | 2007 FY | 2007 FY | ||||||||||
| Evaluated | Evaluated | Evaluated | ||||||||||
| at 03/31/08 | at 12/31/07 | at 03/31/08 | ||||||||||
| Gross Accident Year | 68.0 | % | 62.2 | % | 62.0 | % | ||||||
| Impact of Reinsurance | 2.3 | 4.7 | 4.5 | |||||||||
| Net Accident Year | 70.3 | 66.9 | 66.5 | % | ||||||||
| Impact of Development and Other (1) | (1.3 | ) | (1.8 | ) | ||||||||
| Net Calendar Year | 69.0 | % | 65.1 | % | ||||||||
| (1) | Other includes the impacts of change in allowance for uncollectible reinsurance and interest accretion. |
14