CNA Financial Corporation

03/31/2024 | Press release | Archived content

Q1 2024 Financial Supplement (Excel)

Cover Page

CNA Financial Corporation
Supplemental Financial Information
March 31, 2024
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.

Table of Contents

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

1. Statements of Operations

Statements of Operations
Three months ended March 31
(In millions) 2024 2023 Change
Revenues:
Net earned premiums $ 2,441 $ 2,248 9 %
Net investment income 609 525 16
Net investment (losses) gains (22) (35)
Non-insurance warranty revenue 407 407
Other revenues 9 7
Total revenues 3,444 3,152 9
Claims, Benefits and Expenses:
Insurance claims and policyholders' benefits (re-measurement (loss) gain of $(15) and $1) 1,807 1,653
Amortization of deferred acquisition costs 444 379
Non-insurance warranty expense 394 384
Other operating expenses 337 337
Interest 35 28
Total claims, benefits and expenses 3,017 2,781 (8)
Income (loss) before income tax 427 371
Income tax (expense) benefit (89) (74)
Net income (loss) $ 338 $ 297 14 %

2. Components of Income (Loss)

Components of Income (Loss), Per Share Data and Return on Equity
Three months ended March 31
(In millions, except per share data) 2024 2023
Components of Income (Loss)
Core income (loss) $ 355 $ 325
Net investment gains (losses) (17) (28)
Net income (loss) $ 338 $ 297
Diluted Earnings (Loss) Per Common Share
Core income (loss) $ 1.30 $ 1.19
Net investment gains (losses) (0.06) (0.10)
Diluted earnings (loss) per share $ 1.24 $ 1.09
Weighted Average Outstanding Common Stock and Common Stock Equivalents
Basic 271.6 271.3
Diluted 272.7 272.3
Return on Equity
Net income (loss) (1) 13.8 % 13.8 %
Core income (loss) (2) 11.5 10.8
(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.

3. Selected Balance Sheet Data

Selected Balance Sheet Data and Statements of Cash Flows Data
(In millions, except per share data) March 31, 2024 December 31, 2023
Total investments $ 46,674 $ 46,562
Reinsurance receivables, net of allowance for uncollectible receivables 5,574 5,412
Total assets 65,075 64,711
Insurance reserves 44,147 44,196
Claim and claim adjustment expenses 23,588 23,304
Unearned premiums 7,046 6,933
Future policy benefits 13,513 13,959
Debt 3,520 3,031
Total liabilities 55,413 54,818
Accumulated other comprehensive income (loss) (1) (2,572) (2,672)
Total stockholders' equity 9,662 9,893
Book value per common share $ 35.62 $ 36.52
Book value per common share excluding AOCI $ 45.10 $ 46.39
Outstanding shares of common stock (in millions of shares) 271.3 270.9
Statutory capital and surplus - Combined Continental Casualty Companies (2) $ 10,947 $ 10,946
Three Months Ended March 31 2024 2023
Net cash flows provided (used) by operating activities $ 504 $ 436
Net cash flows provided (used) by investing activities (249) 51
Net cash flows provided (used) by financing activities (189) (480)
Net cash flows provided (used) by operating, investing and financing activities $ 66 $ 7
(1) As of March 31, 2024 and December 31, 2023, AOCI included after-tax cumulative impacts of changes in discount rates used to measure long duration contracts of $(18) million and $(359) million.
(2) Statutory capital and surplus as of March 31, 2024 is preliminary.

4. Property & Casualty - Result

Property & Casualty - Results of Operations
Three months ended March 31
(In millions) 2024 2023 Change
Gross written premiums $ 3,742 $ 3,620 3 %
Gross written premiums ex. 3rd party captives 2,936 2,724 8
Net written premiums 2,390 2,247 6
Net earned premiums 2,331 2,133 9
Net investment income 357 301 19
Non-insurance warranty revenue 407 407
Other revenues 9 7
Total operating revenues 3,104 2,848 9
Insurance claims and policyholders' benefits 1,503 1,349
Amortization of deferred acquisition costs 444 379
Non-insurance warranty expense 394 384
Other insurance related expenses 258 275
Other expenses 29 21
Total claims, benefits and expenses 2,628 2,408 (9)
Core income (loss) before income tax 476 440
Income tax (expense) benefit on core income (loss) (104) (94)
Core income (loss) $ 372 $ 346 8 %
Other Performance Metrics
Underwriting gain (loss) $ 126 $ 130 (3) %
Loss & LAE ratio 64.1 % 62.9 % (1.2) pts
Expense ratio 30.1 30.7 0.6
Dividend ratio 0.4 0.3 (0.1)
Combined ratio 94.6 % 93.9 % (0.7) pts
Underlying combined ratio 91.0 % 90.8 % (0.2) pts
Net accident year catastrophe losses incurred $ 88 $ 52
Effect on loss & LAE ratio 3.8 % 2.4 % (1.4) pts
Development-related items: (favorable) / unfavorable $ (5) $ 15
Effect on loss & LAE ratio (0.2) % 0.7 % 0.9 pts
Rate 4 % 5 % (1) pts
Renewal premium change 6 % 7 % (1) pts
Retention 85 % 86 % (1) pts
New business $ 529 $ 503 5 %

5. Specialty - Results of Opera

Specialty - Results of Operations
Three months ended March 31
(In millions) 2024 2023 Change
Gross written premiums $ 1,682 $ 1,780 (6) %
Gross written premiums ex. 3rd party captives 880 886 (1)
Net written premiums 792 788 1
Net earned premiums 814 797 2
Net investment income 150 129 16
Non-insurance warranty revenue 407 407
Other revenues 1 -
Total operating revenues 1,372 1,333 3
Insurance claims and policyholders' benefits 479 466
Amortization of deferred acquisition costs 178 165
Non-insurance warranty expense 394 384
Other insurance related expenses 81 86
Other expenses 15 14
Total claims, benefits and expenses 1,147 1,115 (3)
Core income (loss) before income tax 225 218
Income tax (expense) benefit on core income (loss) (48) (47)
Core income (loss) $ 177 $ 171 4 %
Other Performance Metrics
Underwriting gain (loss) $ 76 $ 80 (5) %
Loss & LAE ratio 58.6 % 58.4 % (0.2) pts
Expense ratio 31.8 31.4 (0.4)
Dividend ratio 0.3 0.2 (0.1)
Combined ratio 90.7 % 90.0 % (0.7) pts
Underlying combined ratio 91.3 % 90.0 % (1.3) pts
Net accident year catastrophe losses incurred $ - $ -
Effect on loss & LAE ratio - % - % - pts
Development-related items: (favorable) / unfavorable $ (5) $ -
Effect on loss & LAE ratio (0.6) % - % 0.6 pts
Rate 2 % 2 % - pts
Renewal premium change 3 % 4 % (1) pts
Retention 88 % 88 % - pts
New business $ 94 $ 108 (13) %

6. Commercial - Results of Oper

Commercial - Results of Operations
Three months ended March 31
(In millions) 2024 2023 Change
Gross written premiums $ 1,686 $ 1,442 17 %
Gross written premiums ex. 3rd party captives 1,682 1,440 17
Net written premiums 1,338 1,188 13
Net earned premiums 1,202 1,046 15
Net investment income 176 149 18
Other revenues 8 7
Total operating revenues 1,386 1,202 15
Insurance claims and policyholders' benefits 835 694
Amortization of deferred acquisition costs 200 169
Other insurance related expenses 138 142
Other expenses 12 6
Total claims, benefits and expenses 1,185 1,011 (17)
Core income (loss) before income tax 201 191
Income tax (expense) benefit on core income (loss) (43) (40)
Core income (loss) $ 158 $ 151 5 %
Other Performance Metrics
Underwriting gain (loss) $ 29 $ 41 (29) %
Loss & LAE ratio 68.8 % 65.7 % (3.1) pts
Expense ratio 28.2 29.8 1.6
Dividend ratio 0.6 0.5 (0.1)
Combined ratio 97.6 % 96.0 % (1.6) pts
Underlying combined ratio 90.8 % 91.8 % 1.0 pts
Net accident year catastrophe losses incurred $ 82 $ 44
Effect on loss & LAE ratio 6.8 % 4.2 % (2.6) pts
Development-related items: (favorable) / unfavorable $ - $ -
Effect on loss & LAE ratio - % - % - pts
Rate 6 % 7 % (1) pts
Renewal premium change 8 % 9 % (1) pts
Retention 85 % 86 % (1) pts
New business $ 367 $ 310 18 %

7. International - Results of O

International - Results of Operations
Three months ended March 31
(In millions) 2024 2023 Change
Gross written premiums $ 374 $ 398 (6) %
Net written premiums 260 271 (4)
Net earned premiums 315 290 9
Net investment income 31 23 35
Other revenues - -
Total operating revenues 346 313 11
Insurance claims and policyholders' benefits 189 189
Amortization of deferred acquisition costs 66 45
Other insurance related expenses 39 47
Other expenses 2 1
Total claims, benefits and expenses 296 282 (5)
Core income (loss) before income tax 50 31
Income tax (expense) benefit on core income (loss) (13) (7)
Core income (loss) $ 37 $ 24 54 %
Other Performance Metrics
Underwriting gain (loss) $ 21 $ 9 133 %
Loss & LAE ratio 60.1 % 65.4 % 5.3 pts
Expense ratio 33.2 31.8 (1.4)
Dividend ratio - - -
Combined ratio 93.3 % 97.2 % 3.9 pts
Underlying combined ratio 91.3 % 89.3 % (2.0) pts
Net accident year catastrophe losses incurred $ 6 $ 8
Effect on loss & LAE ratio 2.0 % 2.8 % 0.8 pts
Development-related items: (favorable) / unfavorable $ - $ 15
Effect on loss & LAE ratio - % 5.1 % 5.1 pts
Rate 1 % 4 % (3) pts
Renewal premium change 3 % 8 % (5) pts
Retention 82 % 83 % (1) pts
New business $ 68 $ 85 (20) %

8. Life & Group - Results of Op

Life & Group - Results of Operations
Three months ended March 31
(In millions) 2024 2023
Net earned premiums $ 110 $ 115
Net investment income 231 214
Other revenues - -
Total operating revenues 341 329
Insurance claims and policyholders' benefits 312 311
Other insurance related expenses 29 29
Other expenses - 1
Total claims, benefits and expenses 341 341
Core income (loss) before income tax - (12)
Income tax (expense) benefit on core income (loss) 5 9
Core income (loss) $ 5 $ (3)

9. Corporate & Other - Results

Corporate & Other - Results of Operations
Three months ended March 31
(In millions) 2024 2023
Net earned premiums $ - $ -
Net investment income 21 10
Other revenues - -
Total operating revenues 21 10
Insurance claims and policyholders' benefits (8) (7)
Other insurance related expenses - 1
Interest expense 34 28
Other expenses 22 10
Other expenses (Total) 56 38
Total claims, benefits and expenses 48 32
Core income (loss) before income tax (27) (22)
Income tax (expense) benefit on core income (loss) 5 4
Core income (loss) $ (22) $ (18)

10. Investment Summary - Consol

Investment Summary - Consolidated
March 31, 2024 December 31, 2023
(In millions) Carrying Value Net Unrealized Gains (Losses) Carrying Value Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds $ 24,329 $ (889) $ 24,268 $ (748)
States, municipalities and political subdivisions:
Tax-exempt 3,431 4 3,722 88
Taxable 3,857 (442) 3,670 (409)
Total states, municipalities and political subdivisions 7,288 (438) 7,392 (321)
Asset-backed:
RMBS 3,090 (473) 3,002 (409)
CMBS 1,645 (185) 1,631 (223)
Other ABS 3,345 (232) 3,268 (243)
Total asset-backed 8,080 (890) 7,901 (875)
U.S. Treasury and obligations of government-sponsored enterprises 179 (2) 151 (1)
Foreign government 729 (34) 713 (28)
Redeemable preferred stock - - - -
Total fixed maturity securities 40,605 (2,253) 40,425 (1,973)
Equities:
Common stock 206 - 191 -
Non-redeemable preferred stock 485 - 492 -
Total equities 691 - 683 -
Limited partnership investments:
Hedge funds 338 332 -
Private equity funds 1,936 1,842 -
Total limited partnership investments 2,274 - 2,174 -
Other invested assets 79 - 80 -
Mortgage loans 1,029 - 1,035 -
Short term investments 1,996 - 2,165 1
Total investments $ 46,674 $ (2,253) $ 46,562 $ (1,972)
Net receivable/(payable) on investment activity $ (128) $ 36
Effective duration (in years) 6.4 6.5
Weighted average rating (1) A A
RMBS - Residential mortgage-backed securities
CMBS - Commercial mortgage-backed securities
Other ABS - Other asset-backed securities
(1) Obligations of the U.S. Government, U.S. Government agencies and U.S. Government-sponsored enterprises were classified as AAA for purposes of calculating the weighted average rating.

11. Investment Summary - Proper

Investment Summary - Property & Casualty and Corporate & Other
March 31, 2024 December 31, 2023
(In millions) Carrying Value Net Unrealized Gains (Losses) Carrying Value Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds $ 14,533 $ (750) $ 14,424 $ (756)
States, municipalities and political subdivisions:
Tax-exempt 1,074 (184) 1,160 (159)
Taxable 2,247 (407) 2,076 (399)
Total states, municipalities and political subdivisions 3,321 (591) 3,236 (558)
Asset-backed:
RMBS 3,088 (473) 3,000 (409)
CMBS 1,623 (182) 1,601 (221)
Other ABS 2,766 (145) 2,676 (170)
Total asset-backed 7,477 (800) 7,277 (800)
U.S. Treasury and obligations of government-sponsored enterprises 179 (2) 150 (1)
Foreign government 687 (25) 685 (20)
Redeemable preferred stock - - - -
Total fixed maturity securities 26,197 (2,168) 25,772 (2,135)
Equities:
Common stock 206 - 191 -
Non-redeemable preferred stock 85 - 82 -
Total equities 291 - 273 -
Limited partnership investments:
Hedge funds 187 184 -
Private equity funds 1,071 1,019 -
Total limited partnership investments 1,258 - 1,203 -
Other invested assets 79 - 80 -
Mortgage loans 838 - 842 -
Short term investments 1,969 - 2,094 1
Total investments $ 30,632 $ (2,168) $ 30,264 $ (2,134)
Net receivable/(payable) on investment activity $ (128) $ 33
Effective duration (in years) 4.5 4.5
Weighted average rating (1) A A
(1) Obligations of the U.S. Government, U.S. Government agencies and U.S. Government-sponsored enterprises were classified as AAA for purposes of calculating the weighted average rating.

12. Investment Summary - Life &

Investment Summary - Life & Group
March 31, 2024 December 31, 2023
(In millions) Carrying Value Net Unrealized Gains (Losses) Carrying Value Net Unrealized Gains (Losses)
Fixed maturity securities:
Corporate and other bonds $ 9,796 $ (139) $ 9,844 $ 8
States, municipalities and political subdivisions:
Tax-exempt 2,357 188 2,562 247
Taxable 1,610 (35) 1,594 (10)
Total states, municipalities and political subdivisions 3,967 153 4,156 237
Asset-backed:
RMBS 2 - 2 -
CMBS 22 (3) 30 (2)
Other ABS 579 (87) 592 (73)
Total asset-backed 603 (90) 624 (75)
U.S. Treasury and obligations of government-sponsored enterprises - - 1 -
Foreign government 42 (9) 28 (8)
Redeemable preferred stock - - - -
Total fixed maturity securities 14,408 (85) 14,653 162
Equities:
Common stock - - - -
Non-redeemable preferred stock 400 - 410 -
Total equities 400 - 410 -
Limited partnership investments:
Hedge funds 151 148 -
Private equity funds 865 823 -
Total limited partnership investments 1,016 - 971 -
Other invested assets - - - -
Mortgage loans 191 - 193 -
Short term investments 27 - 71 -
Total investments $ 16,042 $ (85) $ 16,298 $ 162
Net receivable/(payable) on investment activity $ - $ 3
Effective duration (in years) 10.0 10.2
Weighted average rating (1) A- A-
(1) Obligations of the U.S. Government, U.S. Government agencies and U.S. Government-sponsored enterprises were classified as AAA for purposes of calculating the weighted average rating.

13. Investments - Fixed Maturit

Investments - Fixed Maturity Securities by Credit Rating
March 31, 2024 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 $ - $ - $ 25 $ (2) $ 625 $ (32) $ 7,274 $ (197) $ 14,733 $ (618) $ 1,672 $ (40) $ 24,329 $ (889)
States, municipalities and political subdivisions - - 1,152 (39) 4,508 (313) 1,337 (34) 272 (47) 19 (5) 7,288 (438)
Asset-backed:
RMBS 2,683 (353) 387 (123) 7 - 4 - - - 9 3 3,090 (473)
CMBS - - 632 (21) 594 (81) 191 (28) 188 (33) 40 (22) 1,645 (185)
Other ABS - - 448 (14) 259 (55) 1,207 (62) 1,251 (88) 180 (13) 3,345 (232)
Total asset-backed 2,683 (353) 1,467 (158) 860 (136) 1,402 (90) 1,439 (121) 229 (32) 8,080 (890)
U.S. Treasury and obligations of government-sponsored enterprises 179 (2) - - - - - - - - - - 179 (2)
Foreign government - - 206 (4) 391 (15) 46 (6) 86 (9) - - 729 (34)
Redeemable preferred stock - - - - - - - - - - - - - -
Total fixed maturity securities $ 2,862 $ (355) $ 2,850 $ (203) $ 6,384 $ (496) $ 10,059 $ (327) $ 16,530 $ (795) $ 1,920 $ (77) $ 40,605 $ (2,253)
Percentage of total fixed maturity securities 7 % 7 % 16 % 25 % 40 % 5 % 100 %

14. Components of Net Investmen

Components of Net Investment Income
Three months ended March 31 Consolidated
(In millions) 2024 2023
Taxable fixed income securities $ 472 $ 430
Tax-exempt fixed income securities 38 49
Total fixed income securities 510 479
Common stock 14 3
Limited partnerships - hedge funds 12 14
Limited partnerships - private equity funds 42 11
Total limited partnership and common stock investments 68 28
Other, net of investment expense 31 18
Net investment income $ 609 $ 525
Effective income yield for fixed income securities portfolio 4.7 % 4.6 %
Limited partnership and common stock return 2.9 1.3
Property & Casualty and Ccorporate & Other
Three months ended March 31
(In millions) 2024 2023
Taxable fixed income securities $ 291 $ 261
Tax-exempt fixed income securities 10 11
Total fixed income securities 301 272
Common stock 14 3
Limited partnerships - hedge funds 7 8
Limited partnerships - private equity funds 23 6
Total limited partnership and common stock investments 44 17
Other, net of investment expense 33 22
Net investment income $ 378 $ 311
Effective income yield for fixed income securities portfolio 4.3 % 4.0 %
Three months ended March 31 Life & Group
(In millions) 2024 2023
Taxable fixed income securities $ 181 $ 169
Tax-exempt fixed income securities 28 38
Total fixed income securities 209 207
Common stock - -
Limited partnerships - hedge funds 5 6
Limited partnerships - private equity funds 19 5
Total limited partnership and common stock investments 24 11
Other, net of investment expense (2) (4)
Net investment income $ 231 $ 214
Effective income yield for fixed income securities portfolio 5.6 % 5.5 %

15. Net Investment Gains (Losse

Net Investment Gains (Losses)
Three months ended March 31
Consolidated
(In millions) 2024 2023
Fixed maturity securities:
Corporate and other bonds $ (17) $ (23)
States, municipalities and political subdivisions - 10
Asset-backed (15) (9)
Total fixed maturity securities (32) (22)
Non-redeemable preferred stock 11 (14)
Derivatives, short term and other (1) 1
Mortgage loans - -
Net investment gains (losses) (22) (35)
Income tax benefit (expense) on net investment gains (losses) 5 7
Net investment gains (losses), after tax $ (17) $ (28)

16. Claim and Claim Adjustment

Claim & Claim Adjustment Expense Reserve Rollforward
Three months ended March 31, 2024 (In millions) Specialty Commercial International P&C Operations Life & Group Corporate & Other Total Operations
Claim & claim adjustment expense reserves, beginning of period
Gross $ 7,131 $ 10,103 $ 2,709 $ 19,943 $ 675 $ 2,686 $ 23,304
Ceded 1,215 1,082 433 2,730 93 2,318 5,141
Net 5,916 9,021 2,276 17,213 582 368 18,163
Net incurred claim & claim adjustment expenses 477 827 189 1,493 9 4 1,506
Net claim & claim adjustment expense payments (490) (634) (134) (1,258) (11) (12) (1,281)
Foreign currency translation adjustment and other (1) 1 (32) (32) (9) - (41)
Claim & claim adjustment expense reserves, end of period
Net 5,902 9,215 2,299 17,416 571 360 18,347
Ceded 1,319 1,117 446 2,882 92 2,267 5,241
Gross $ 7,221 $ 10,332 $ 2,745 $ 20,298 $ 663 $ 2,627 $ 23,588

17. Life & Group Policyholder R

Life & Group Policyholder Reserves
March 31, 2024 (In millions) Claim and claim adjustment expenses Future policy benefits Total
Beginning of Period $ 582 $ 13,959 $ 14,541
Incurred claims and policyholders' benefits (1) 9 306 315
Benefit and expense payments (11) (321) (332)
Change in discount rate assumptions and other (AOCI) (9) (431) (440)
End of Period $ 571 $ 13,513 $ 14,084
December 31, 2023 (In millions) Claim and claim adjustment expenses Future policy benefits Total
Beginning of Period $ 594 $ 13,480 $ 14,074
Incurred claims and policyholders' benefits (1) 29 1,284 1,313
Benefit and expense payments (50) (1,207) (1,257)
Change in discount rate assumptions and other (AOCI) 9 402 411
End of Period $ 582 $ 13,959 $ 14,541
(1) Incurred claims and policyholders' benefits above does not agree to Net incurred claims and benefits as reflected in Note J to the Condensed Consolidated Financial Statements included under Part I, Item 1 of the Quarterly Report on Form 10-Q due to the timing of benefit and expense cash flows in determining Future Policy Benefit reserves, along with the allowable expenses in the reserve.

18. Definitions and Presentatio

Definitions and Presentation
• Collectively, CNA Financial Corporation (CNAF) and its subsidiaries are referred to as CNA or the Company.
• P&C Operations includes Specialty, Commercial and International.
• Life & Group segment includes the individual and group run-off long-term care businesses as well as structured settlement obligations not funded by annuities related to certain property and casualty claimants.
• Corporate & Other segment primarily includes certain corporate expenses, including interest on corporate debt, and the results of certain property and casualty business in run-off, including CNA Re, asbestos and environmental pollution (A&EP), a legacy portfolio of excess workers' compensation (EWC) policies and certain legacy mass tort reserves.
• Management uses the core income (loss) financial measure to monitor the Company's operations for the Specialty, Commercial and International segments. Core income (loss) is calculated by excluding from net income (loss) the after-tax effects of net investment gains or losses. The calculation of core income (loss) excludes net investment gains or losses because net investment gains or losses are generally driven by economic factors that are not necessarily reflective of our primary operations. Management monitors core income (loss) for each business segment to assess segment performance. Presentation of consolidated core income (loss) is deemed to be a non-GAAP financial measure and management believes some investors may find this measure useful to evaluate the Company's primary operations. Please refer to Note P to the Consolidated Financial Statements within the 45291 Form 10-K for further discussion regarding how the Company manages its business..
• This financial supplement may also reference or contain financial measures utilized to monitor the Company's investment portfolio that are not in accordance with GAAP. The Company's investment portfolio is monitored by management through analysis of various factors including unrealized gains and losses on securities, portfolio duration and exposure to market and credit risk.
• For reconciliations of non-GAAP measures to the most comparable GAAP measures and other information, please refer herein and/or to CNA's most recent 10-K on file with the Securities and Exchange Commission, as well as the press release, available at www.cna.com.
• In evaluating the results of the Specialty, Commercial and International segments, management uses the loss ratio, the underlying loss ratio, the expense ratio, the dividend ratio, the combined ratio and the underlying 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 underlying loss ratio excludes the impact of catastrophe losses and development-related items from the loss ratio. Development-related items represents net prior year loss reserve and premium development, and includes the effects of interest accretion and change in allowance for uncollectible reinsurance and deductible amounts. 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. The underlying combined ratio is the sum of the underlying loss ratio, the expense ratio and the dividend ratio. In addition, management also utilizes renewal premium change, rate, retention and new business in evaluating operating trends. Renewal premium change represents the estimated change in average premium on policies that renew, including rate and exposure changes. Rate represents the average change in price on policies that renew excluding exposure change. For certain products within Small Business, where quantifiable, rate includes the influence of new business as well. Exposure represents the measure of risk used in the pricing of the insurance product. The change in exposure represents the change in premium dollars on policies that renew as a result of the change in risk of the policy. Retention represents the percentage of premium dollars renewed, excluding rate and exposure changes, in comparison to the expiring premium dollars from policies available to renew. New business represents premiums from policies written with new customers and additional policies written with existing customers.
• Management uses underwriting gain (loss), calculated using GAAP financial results, to monitor insurance operations of our Specialty, Commercial and International segments. Underwriting gain (loss) is pretax and calculated as net earned premiums less total insurance expenses, which includes insurance claims and policyholders' benefits, amortization of deferred acquisition costs and other insurance related expenses.
• 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.
• 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